CAPITAL MARKETS PERSPECTIVES

SECOND QUARTER 2020 TABLE OF CONTENTS

Co-CIO Overview 3 Economic Dashboard and Market Indices 4 Investment Strategies Performing Credit 7 Distressed Debt 9 Commercial Real Estate Debt 11 Residential and Consumer Debt (RMBS/ABS) 13 Energy 15 Middle Market Direct Lending 17 Merger Arbitrage 18 Convertible Arbitrage 19 U.S. Real Estate 20 Europe Real Estate 22 Asia Real Estate 24 Net Lease Real Estate 29 Private Equity 30

Angelo Gordon is a privately-held registered investment advisor dedicated to alternative investing. The firm was founded in 1988 and currently manages approximately $35 billion. We seek to generate absolute returns with low volatility by exploiting inefficiencies in selected markets and capitalizing on situations that are not in the mainstream of investment opportunities. We creatively seek out new opportunities that allow us to remain a leader in alternative investments.

We have expertise in a broad range of absolute return strategies for both institutional and high net worth investors. Our dedicated team of employees seeks to deliver consistent, positive returns in all market environments. We have built our name on our breadth of talent, intensive research, and risk averse approach to investing. Our long-term experience gives us the insight and patience to turn our vision into profitable, stable businesses. CO-CIO OVERVIEW

Co-CIO Overview The first quarter of 2020 will likely be characterized as greater the job losses, and the more financial damage one of the most challenging and volatile market periods inflicted on corporations and individuals, the longer and that many investors have ever experienced, and certainly harder the recovery will be. the most dramatic since the onset of the global financial crisis. Uncertainty around the global spread of COVID-19, April has been a month for the real estate industry to focus in combination with oil pricing/production tensions between on rent collections and how to manage potential loan Saudi Arabia and Russia, led to sharp declines across risk defaults. Across sectors, the percentage of rent received assets worldwide. Major equity indices generally fell 20% was in the high 80s to low 90s on average, with the or more during the quarter, while non-investment grade exception of retail, where it was much lower. Loan defaults loan and bond indices ended with percentage losses in will begin to increase accordingly. the mid-teens in both the U.S. and Europe. The frequency, Capital markets activity—across both debt and equity—has magnitude, and velocity of the market swings were notable, plummeted, causing a lack of transparency on asset values with several of the largest daily price movements on record as the impact of COVID-19 on real estate fundamentals occurring in the month of March. and investor risk premiums is still unknown. The limited Not surprisingly, these dynamics—coupled with widespread transactions taking place are reportedly seeing 5-15% work from home orders in major centers globally—created price declines as a result of the uncertainty. This is largely significant and unprecedented challenges for a number consistent with the value declines witnessed in public of credit strategies. The corporate loan and high yield REIT markets globally, which saw significant declines to a markets fell precipitously in March, with U.S. high yield trough in late March and subsequent recoveries—ending bonds experiencing their second-largest monthly decline the quarter with net declines of around 20% from the prior ever behind October 2008. In structured credit, technical peak earlier in the first quarter. Significant variation exists market factors created severe liquidity disruptions; for between asset classes, with data center, industrial, and example, a sudden volume of redemptions from ETFs and self-storage down the least, retail and lodging down the 40 Act mutual funds led to indiscriminate selling in higher- most, and office and apartments in the middle. quality tranches by investors needing immediate liquidity. With travel restrictions in place, physical assets will remain Oil was particularly hard hit, with WTI declining 66.5% in the hard to utilize, buy, sell, or finance. Therefore, we will not first quarter, as demand destruction due to the pandemic witness the real impact of COVID-19 until such restrictions outweighed coordinated production cuts. Convertible bond are eased. Longer term, we expect a slow recovery back to and arbitrage indexes traded down, and convertible primary prior usage and valuation levels, with questions remaining market activity slowed in the face of increased volatility. on any enduring pattern changes in how tenants use real In the private debt space, origination volume dropped estate. Industrial and manufacturing should see the quickest sharply in March, as both lenders and sponsors focused recovery, and consumption will follow, though may be on managing their existing portfolios through unchartered challenged by corporates’ and individuals’ compromised waters. Although central bank intervention and government balance sheets. Leisure and travel will likely be last to stimulus programs provided some relief near quarter-end, recover. Apartments will remain well occupied, as people we expect that market volatility will remain elevated and always need places to live, but tenants’ financial strength challenges across the credit landscape will persist, as there will become increasingly challenged as the pandemic- continues to be significant uncertainty around the course of related shutdowns persist. this pandemic, the duration of the economic slowdown it has caused, and the shape and timing of recovery. Europe has begun to ease restrictions, while Asia is in various phases, with China being the earliest country to With millions of jobs lost and the way people shop, travel, experience COVID-19 and results consistent with the work, and play massively impacted, real estate will also reopening patterns described above. undoubtedly see significant challenges globally in 2020. The extent of these challenges will depend largely on the Through these challenging and unprecedented times, we duration of the COVID-19-related lockdown measures hope that you, your families, and your colleagues have in place around the world. The longer the lockdown, the stayed and will remain healthy and safe.

Michael Gordon Josh Baumgarten Adam Schwartz Chief Executive Officer, Co-Chief Investment Officer, Co-Chief Investment Officer, Co-Chief Investment Officer Head of Credit Head of Real Estate

3 Return to Table of Contents ECONOMIC DASHBOARD In Progress Ready for Review Approved ECONOMIC DASHBOARD In Progress Ready for Review Approved

Job Market Inflation Housing Job Market Inflation Housing US -- Unemployment Rate US Consumer Price Index (CPI) Existing Home Sales US -- Unemployment Rate US Consumer Price Index (CPI) Existing Home Sales 8% 3.0% 6.0 8% 3.0% 6.0 Millions Millions 3% (0.2%) 4.0Millions 3%2016 2017 2018 2019 2020 (0.2%)2016 2017 2018 2019 2020 4.02016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

US – Non-Farm Payroll US CPI Goods Less Food and Energy New Home Sales US – Non-Farm Payroll US CPI Goods Less Food and Energy New Home Sales 350 2.5% 725 350 2.5% 725 Thousands Thousands Thousands Thousands

0Thousands 1.0% 325Thousands 02016 2017 2018 2019 2020 1.0%2016 2017 2018 2019 2020 3252016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

US – Labor Participation Rate US Producer Price Index (PPI) Y-o-Y % Housing Starts US – Labor Participation Rate US Producer Price Index (PPI) Y-o-Y % Housing Starts ECONOMIC DASHBOARDECONOMIC & MARKET DASHBOARD INDICES64% 2.8% In Progress Ready1,350 for Review Approved 64% 2.8% 1,350

ECONOMIC DASHBOARD In Progress Ready Thousands for Review Approved

In Progress Ready Thousands for Review Approved ECONOMIC DASHBOARD62% 1.0% In Progress Ready400 Thousands for Review Approved ECONOMIC DASHBOARD62%2016 2017 2018 2019 2020 1.0%2016 2017 2018 2019 2020 4002016 2017 2018 2019 2020 Economic DashboardJob &Market 2016Market2017 2018 2019 Indices2020 Inflation2016 2017 2018 2019 2020 Housing2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

US -- U-6US Unemployed -- JobUnemployment Market & Margin Rate & Part-Time as % of Labor Force & Margin US ConsumerInflation Price Index (CPI) ExistingCaseHousing Home-Shiller Sales Index of Home Value in 20 Cities JOB MARKET US -- U-6 Unemployed & Margin & Part-Time as %GDP of Labor GROWTH Force & Margin GDP Growth Case-Shiller Index of Home Value in 20 Cities US -- U8%-6 UnemployedJob Market & Margin & Part-Time as % of Labor Force & Margin 3.0% Inflation GDP Growth 6.0 CaseHousing-Shiller Index of Home Value in 20 Cities Five-Year Trend Job Market12% Five-Year Trend Inflation GDP Growth Housing225 US -- Unemployment12% Rate US Consumer Price IndexUS – (CPI)GDP Y-o-Y % 0 Existing Home225 Sales US -- Unemployment Rate US Consumer Price IndexUS – (CPI)GDP Y-o-Y % 0 Existing Home Sales

As of 3/31/2020 US – GDPAs Yof-o 3/31/2020-Y % Millions U.S. – Unemployment Rate 8%US -- Unemployment Rate U.S. – GDP Y-o-Y (%) US3.0% Consumer Price Index (CPI) 6.02 Existing HomeLevel Sales

8% 3.0% 8.0% 6.02 Level 3% (0.2%) 4.02 Level 8% 6% 3.0% 8.0% 6.02 175 2016 2017 2018 2019 2020 2016 2017 8.0%2018 2019 2020 2016 2017 2018 2019 2020 Latest Level 4.4 6% Latest Level 2.1 2 175 6%2016 2017 2018 2019 2020 9Millions 1752016 2017 2018 2019 2020

2016 2017 2018 2019 2020 Millions 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 9Millions 2016 2017 2018 2019 2020 3% (0.2%) 4.09

Change from Prior Period 0.9 Change from Prior Period (1.9) Millions 3%2016 2017 2018 2019 2020 (0.2%)2016 2017 0.0%2018 2019 2020 4.02016 2017 2018 2019 2020 2016US –2017Non-Farm2018 Payroll2019 2020 US CPI 2016Goods2017 Less2018 Food2019 and Energy2020 2016 New2017 Home2018 Sales2019 2020 3%2016 2017 2018 2019 2020 (0.2%)2016 2017 0.0%2018 20192016 20202017 2018 2019 2020 4.02016 2017 2018 2019 2020 Frequency Monthly 2016 2017 2018 2019 2020 Frequency Quarterly2016 2017 2018 20192016 20202017 2018 2019 2020 2016 2017 2018 2019 2020 350 2.5% 2016 2017 2018 2019 2020 725 US – Non-FarmEurozone Payroll Unemployment Rate US CPI Goods Less FoodEurozone and Energy – GDP Y-o-Y % New Home Sales U.S. – Non-Farm Payroll US – Non-FarmAsEurozone of Payroll 3/31/2020 Unemployment RateEurozone – GDP Y-o-Y US(%) CPI Goods Less FoodEurozone and Energy –AsGDP of 3/31/2020Y-o-Y % New Home Sales 350 US – Non-FarmEurozone Payroll Unemployment Rate US 2.5%CPI Goods Less FoodEurozone and Energy – GDP Y-o-Y % 725 New Home Sales Thousands 12% 3.0% Thousands 350 2.5% 725 Latest Level (701.0) 0 12% Latest Level 1.0% (3.3) 3.0% 325 350 12% 2.5% 725 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

Change from Prior Period (976.0) Thousands Change from Prior Period (4.3) Thousands Thousands Thousands 0Thousands 7% 1.0% (3.0%) 325Thousands

0Thousands 2016 2017 2018 2019 2020 1.0%2016 2017 2018 2019 2020 325Thousands 2016 2017 2018 2019 2020 US – Labor Participation7% 2016 Rate2017 2018 2019 2020 US Producer Price Index(3.0%) (PPI)2016 Y-2017o-Y %2018 2019 2020 Housing Starts Frequency Monthly 02016 2017 20187% 2019 2020 Frequency 1.0%Quarterly2016 2017 2018 2019 2020 3252016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 20192016 20202017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 64% 2.8% 1,350 As of 3/31/2020 As of 3/31/2020 U.S. – Labor Participation Rate US – Labor Participation Rate China – GDP Y-o-Y (%)US Producer Price IndexChina (PPI) Y–-GDPo-Y % Y-o-Y % Housing Starts US – Labor Participation Rate US Producer Price IndexChina (PPI) Y–-GDPo-Y % Y-o-Y % Housing Starts 64% 2.8% China – GDP Y-o-Y % 1,350 Latest Level 62.7 US – Labor Participation Rate Latest Level US Producer(6.8) Price Index8.0% (PPI) Y-o-Y % Thousands Housing Starts 64% 2.8% 8.0% 1,350 62% 1.0% 8.0% 400 64% 2.8% 1,350 Change from Prior Period (0.7) 2016 2017 2018 2019 2020 Change from Prior Period 2016 (12.8)2017 2018 2019 2020 2016 2017 2018 2019 2020 Thousands Thousands 62% 1.0% -8.0% 400Thousands Frequency Monthly 62% Frequency In1.0%Quarterly Progress Ready for Review Approved 400Thousands ECONOMIC DASHBOARD 62%2016 2017 2018 2019 2020 1.0%2016 2017 -8.0%2018 20192016 20172020 2018 2019 2020 4002016 2017 2018 2019 2020 US -- U-6 Unemployed & Margin2016 2017 & Part2018-Time2019 as % 2020of Labor Force & Margin InIn ProgressProgress2016 2017 2018 2019Ready2020 for Review Approved Case-Shiller2016 Index2017 of Home2018 Value2019 in2020 20 Cities ECONOMIC DASHBOARD 62%2016 2017 2018 2019 2020 1.0%2016 GDP2017 Growth2018 20192016 20172020 2018 2019 2020 4002016 2017 2018 2019 2020 2016 2017 2018 2019 2020 In Progress2016 2017 2018 2019Ready2020 for Review Approved 2016 2017 2018 2019 2020 ECONOMIC DASHBOARDU.S. – U-6 Unemployed & Margin & Part-12% 225 US -- U-6 Unemployed & Margin & Part-Time as % of Labor Force & Margin US – GDP Y-o-Y % 0 Case-Shiller Index of Home Value in 20 Cities Time as Percent of LaborUS -- U -Force6 Unemployed & Margin & Margin & PartAs-Time of 3/31/2020 as % of Labor Force & Margin GDP Growth Case-Shiller Index of Home Value in 20 Cities

GDP Growth 2 Level 12% GDP Growth 225 Job Market US -- U-6 Unemployed & Margin & Part-Time as %Inflation of Labor Force & Margin 8.0% Housing Case-Shiller Index of Home Value in 20 Cities 12% HOUSING GDP Growth 0 225 JobJobLatest MarketMarket Level 8.7 6% InflationInflation US – GDP Y-o-Y % Housing 2 175 12% 0 225 Job Market 2016 2017 2018 2019 Inflation2020 Five-Year Trend US – GDP Y-o-Y % Housing 2016 2017 2018 2019 2020 US -- Unemployment Rate US Consumer Price Index (CPI) US – GDP Y-o-YExisting % Home Sales 092 Level

2 Level USUS ----UnemploymentUnemploymentChange from RateRate Prior Period 1.7 USUS ConsumerConsumer PricePrice IndexIndex (CPI)(CPI) 8.0% ExistingExisting HomeHome SalesSales 2 Level 8.0% 2 6% Existing Home Sales 8.0% As of 3/31/2020 2 175Level 8%US -- Unemployment Rate US3.0% Consumer Price Index (CPI) 0.0% 6.0 Existing Home Sales 2 8%8% 6%2016 2017 20183.0%3.0% 2019 2020 8.0% 6.06.0 1752016 2017 2018 2019 2020 Frequency Monthly 2016 2017 2018 2019 2020 29 8% 6%2016 2017 20183.0% 2019 2020 6.0 9 1752016 2017 2018 2019 2020 2016 2017 2018 2019 2020 Latest Level 5.3 2016 2017 2018 2019 2020

Millions 9 0.0% Millions Eurozone Unemployment Rate As of 3/31/2020 Millions 3% Eurozone Unemployment(0.2%) Rate 0.0%Eurozone2016 2017– GDP4.02018 Y-2019o-Y %2020

Change from Prior Period (0.5) Millions 3%3% 2016 2017 2018 2019 2020 (0.2%)(0.2%) 2016 2017 2018 2019 2020 0.0% 2016 20174.04.020182016 201920172020 2018 2019 2020 3.0% 3%20162016 20172017 Latest20182018 Level20192019 20202020 7.3 12% (0.2%)20162016 20172017 20182018 20192019 20202020 2016 20174.0201820162016 201920172017202020182018 20192019 20202020 2016 2017 2018 2019 2020 Eurozone Unemployment2016 2017Rate 2018 2019 Frequency2020 MonthlyEurozone – GDP2016 Y-o-2017Y % 2018 2019 2020 Change from Prior Period (0.1) Eurozone Unemployment Rate Eurozone – GDP Y-o-Y % US – Non-Farm Payroll Eurozone12% UnemploymentUS CPI Goods Rate Less Food and Energy 3.0%Eurozone – GDP Y-oNew-Y % HomeAs of Sales 3/31/2020 USUS ––NonNon--FarmFarm PayrollPayroll 12% USUS CPICPI GoodsGoods LessLess FoodFood andand EnergyNewEnergy Home Sales 3.0% NewNew HomeHome SalesSales 7% (3.0%) 350 US – NonFrequency-Farm Payroll Quarterly 12% US CPI2.5% Goods Less Food and Energy 3.0% 725 New Home Sales 350350 2016 20172.5%2.5%2018 2019 2020 Latest Level 627.02016 20177257252018 2019 2020 350 2.5% In Progress Ready725 for Review Approved ECONOMIC DASHBOARD 7% In Progress (3.0%) Ready for Review Approved

ECONOMIC DASHBOARDThousands Thousands 7% 2016 2017 2018 2019 2020 Change from Prior Period (3.0%) (114.0)2016 2017 2018 2019 2020 Thousands Thousands

Thousands China – GDPThousands Y-o-Y % 0 7% 2016 2017 1.0%2018 2019 2020 (3.0%) 2016 20173252018 2019 2020

Thousands 0 1.0% 325Thousands 0 2016 2017 2018 2019 2020 2016 20171.0%201820162019 20172020 2018 2019 2020 8.0% 2016 201732520182016 201920172020 2018 2019 2020 020162016 20172017 INFLATION20182018 20192019 20202020 1.0%20162016 20172017 20182018 20192019 Frequency20202020 Monthly 32520162016 20172017 20182018 20192019 20202020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 China – GDP 2016Y-o-Y2017 % 2018 2019 2020 Job Market Five-Year Trend Inflation China Housing– GDP Y-o-Y % Job MarketUS – Labor Participation Rate InflationUS Producer Price Index (PPI) HousingY-o-Y % Starts 8.0% China Housing– GDP Y-o-Y Housing% As ofStarts 3/31/2020 US – Labor Participation Rate US Producer Price Index (PPI) Y-o-Y % 8.0% Housing Starts US – Labor Participation Rate US ProducerAs of 3/31/2020 Price Index (PPI) Y-o-Y % -8.0% Housing Starts US -- Unemployment RateU.S. Consumer Price Index (CPI) Y-o-YUS Consumer(%) Price Index (CPI) 8.0% Existing Home Sales US -- UnemploymentUS64% – Labor Rate Participation Rate US ConsumerUS PriceProducer2.8% Index Price (CPI) Index (PPI) YLatest-o-Y % Level 1,216.0Existing2016 2017 Home1,3502018 Sales2019Housing2020 Starts US -- Unemployment64%64% Rate US Consumer Price2.8%2.8% Index (CPI) Existing Home1,3501,350 Sales 8% 64% Latest Level 1.5 3.0% 2.8% 6.0 1,350 8% 3.0% Change from Prior Period -8.0%6.0 (348.0) -8.0% 2016 2017 2018Thousands 2019 2020 Thousands 2016 2017 Thousands 2018 2019 2020 62% Change from Prior Period (0.8) 1.0% -8.0%Millions 2016 2017 4002018 2019 2020 Millions Thousands

62%62% 2016 2017 2018 2019 2020 1.0%1.0% 2016 2017 2018 2019 Frequency2020 MonthlyMillions 2016 2017 400400201820162019 20172020 2018 2019 2020 3% 62%20162016 20172017 20182018 20192019 20202020 (0.2%) 1.0%20162016 20172017 20182018 20192019 20202020 4.0 40020162016 20172017 20182018 20192019 20202020 3%2016 2017 20182016 20192017Frequency20202018 2019 2020 Monthly (0.2%)2016 2017 20182016 20192017 20202018 2019 2020 4.02016 2017 2018 20162019201720202018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 Case-Shiller Index of Home2016 Value2017 2018 2019 2020 US -- U-6 Unemployed & Margin & Part-Time as % of Labor Force & Margin Case-Shiller Index of Home Value in 20 Cities USUS ----UU--66 UnemployedUnemployed && MarginMargin && PartU.S.Part--TimeTime CPI asas Goods %% ofof LaborLabor Less ForceForce Food && MarginMargin & Energy GDP Growth in 20 Cities CaseCase--ShillerShiller IndexIndex ofof HomeAsHome of 2/29/2020 ValueValue inin 2020 CitiesCities US – Non-Farm Payroll US CPI Goods Less FoodGDP and Energy Growth New Home Sales US -- U-6 UnemployedUS – Non-Farm &12% Margin Payroll & PartY-o-Y-Time (%) as % of Labor Force & Margin US CPI Goods LessAs Foodof 3/31/2020GDP and Energy Growth NewCase Home-Shiller225 Sales Index of Home Value in 20 Cities US – Non-Farm12%12% Payroll US CPI Goods Less FoodUS and – GDPEnergy Y-o-Y % Latest Level 0 222.0New Home225225 Sales 350 12% 2.5% US – GDP Y-o-Y % 07250 225 350 2.5% US – GDP Y-o-Y % 725 Latest Level 2.1 US – GDP Y-o-Y % 02 Level

2 Level 8.0% Change from Prior Period 2 1.0 Level 8.0% 2 6% 8.0% 2 175Level

Thousands 22Thousands Thousands 6%6% 2016 2017Change2018 2019 from2020 Prior Period (0.3) 8.0% Thousands 175175 2016 2017 2018 2019 2020 0Thousands 1.0% Frequency 23259MonthlyThousands 0 6%20162016 20172017 20182018 20192019 20202020 1.0% 93259 17520162016 20172017 20182018 20192019 20202020 02016 2017 20182016 20192017Frequency20202018 2019 2020 Monthly 1.0%2016 2017 2018 2019 2020 93252016 2017 20182016 20192017 20202018 2019 2020 2016 2017 2018 2019 2020 2016 2017 0.0%2018 2019 2020 2016 2017 2018 2019 2020 0.0%0.0% 2016 2017 2018 2019 2020 U.S. Producer Price Index (PPI) Y-o-Y (%) As0.0% of 3/31/202020162016 20172017 20182018 20192019 20202020 US – Labor Participation Rate US Producer Price Index (PPI)2016 Y2017-o-Y2018 % 2019 2020 Housing Starts US – Labor ParticipationEurozone RateUnemployment Rate US Producer Price IndexEurozone (PPI) Y –-oGDP-Y % Y-o-Y % Housing Starts 64% Eurozone UnemploymentLatest Level Rate 1.2 2.8% Eurozone – GDP Y-o-Y % 1,350 64% Eurozone Unemployment Rate 2.8% Eurozone – GDP Y-o-Y % 1,350 Eurozone12% Unemployment Rate 3.0%Eurozone – GDP Y-o-Y % 12%12% Change from Prior Period 0.1 3.0%3.0%

12% 3.0% Thousands Thousands Thousands 62% 1.0% 400 62%2016 2017 2018 2019 Frequency2020 Monthly 1.0%2016 2017 2018 2019 2020 4002016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 (3.0%)2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 20187% 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 7%7% 2016 2017 2018 2019 2020 (3.0%)(3.0%) 2016 2017 2018 2019 2020 7% 20162016 20172017 20182018 20192019 20202020 (3.0%) 20162016 20172017 20182018 20192019 20202020 2016 2017 2018 2019 2020 US -- U-6 Unemployed & Margin & Part-Time2016 as %2017 of Labor2018 2019Force2020 & Margin GDP Growth Case-Shiller Index of Home Value in 20 Cities US -- U-6 Unemployed & Margin & Part-Time as % of Labor Force & Margin GDP GrowthChina – GDP Y-o-Y % Case-Shiller Index of Home Value in 20 Cities 12% China – GDP Y-o-Y % 225 12% China – GDP Y-o-Y % 0 225 US – GDP8.0% Y-oChina-Y % – GDP Y-o-Y % 0 US – GDP8.0%8.0% Y-o-Y % 0

2 Level

8.0% 2 Level

8.0% 2 Level Source: Bloomberg (All). 8.0% 2 6% 8.0% 2 175 6%2016 2017 2018 2019 2020 -8.0% 9 1752016 2017 2018 2019 2020 2016 2017 2018 2019 2020 -8.0%-8.0% 2016 2017 20184 2019 2020 9 2016 2017 Return2018 2019 to Table2020 of Contents -8.0% 20162016 20172017 20182018 20192019 20202020 0.0% 2016 2017 2018 2019 2020 0.0% 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 Eurozone Unemployment Rate Eurozone – GDP Y-o-Y % Eurozone Unemployment Rate Eurozone – GDP Y-o-Y % 12% 3.0% 12% 3.0%

7% (3.0%) 7% 2016 2017 2018 2019 2020 (3.0%) 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

China – GDP Y-o-Y % China – GDP Y-o-Y % 8.0% 8.0%

-8.0% -8.0% 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 ECONOMIC DASHBOARD In Progress Ready for Review Approved ECONOMIC DASHBOARD In Progress Ready for Review Approved

Economic & Market Confidence (9) Economic & Market Confidence (9) Capacity Utilization as a % of Capacity ISM Manufacturing Index Shipping Rates Capacity Utilization as a % of Capacity ISM Manufacturing Index Shipping Rates 80% 62 2,400 80% 62 2,400 Level Level Level Level Level Level 70% 46 300 70%2016 2017 2018 2019 2020 462016 2017 2018 2019 2020 3002016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

Private Fixed Investment Nonresidential SAAR Manufacturing Inventory Change Q-o-Q $ Personal Income Level Private Fixed Investment Nonresidential SAAR Manufacturing Inventory Change Q-o-Q $ Personal Income Level $3,000 In Progress Ready for Review$50 Approved $19,000 ECONOMIC DASHBOARD $3,000 $50 $19,000 $ Billions $ Billions $ Billions $ $ Billions $ Billions $ Billions $ $2,000 Billions $ ($20) Billions $ Billions $ $0 $2,000 2016 2017 2018 2019 2020 ($20) 2016 2017 2018 2019 2020 $02016 2017 2018 2019 2020 Economic & Market Confidence2016 (9)2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

Capacity Utilization as a % of Capacity ISM ManufacturingResidential Index Fixed Investment as a % of GDP Shipping Rates Exports of Goods/Services Michigan Consumer Confidence Sentiment ECONOMIC DASHBOARD & MARKET INDICES Residential Fixed Investment as a % of GDP Exports of Goods/Services Michigan Consumer Confidence Sentiment 80% 62 3.5% 2,400 $2,600 105 3.5% $2,600 105 Level Level Level $ Billions $ Level Level $ Billions $

In Progress Ready Billions $ for Review Approved ECONOMIC70% DASHBOARD (continued)46 2.8% In Progress300 Ready$2,250 for Review Approved 85 EconomicECONOMIC Dashboard2016 DASHBOARD2017 2018 2019&2020 Market Indices 2016 2017 2018 2019 2.8%2020 2016 2017 2018 2019 2020 In Progress2016 2017 2018 Ready2019 $2,2502020 for2016 Review2017 2018 2019 2020Approved 852016 2017 2018 2019 2020 ECONOMIC DASHBOARD 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 ECONOMIC & MARKET CONFIDENCE EQUITY Private Fixed Investment Nonresidential SAAR Manufacturing Inventory Change Q-o-Q $ Personal Income Level Equity (9) Five-Year Trend Five-Year Trend Economic & Market Confidence (9) In Progress EquityReady (9)for Review Approved ECONOMIC$3,000 DASHBOARD $50 Economic & Market Confidence (9) $19,000 Equity (9) Economic & MarketUS Equity Confidence Markets – Russell (9) 3000 Trailing P/E on S&P 500 Equity Markets – Euro Stoxx Capacity Utilization as a Percent ofCapacity Capacity UtilizationAs as ofa %3/31/2020 of Capacity U.S. Equity Markets – RussellISM 3000 ManufacturingUS Equity Index MarketsAs – ofRussell 3/31/2020 3000 Shipping RatesTrailing P/E on S&P 500 Equity Markets – Euro Stoxx 2,000 23x 450

$ Billions $ Capacity Utilization as a % of Capacity Billions $ ISM Manufacturing Index Billions $ Shipping Rates Latest Level 72.7Capacity80% Utilization as a % of Capacity Latest Level 621,489.6ISM Manufacturing2,000 Index 2,400 Shipping23x Rates 450 $2,000 80% ($20) 62 $0 2,400 201680%2017 2018 2019 2020 2016 622017 2018 2019 2020 2016 20172,400 2018 2019 2020 EconomicLevel & Market Confidence (9) Level Level Level Level Level Level Level Level Change from Prior Period (4.2) Change from Prior Period Level (398.5) Level

In ProgressLevel 1,000 Ready for Review Approved Level 14x 250

ECONOMIC DASHBOARD Capacity Utilization as a % of Capacity Level 1,000ISM Manufacturing Index Level 14x Shipping Rates 250 ECONOMIC DASHBOARD 70% In46 Progress 1,0002016 Ready2017 2018 for2019 Review2020 Approved 300 14x2016 2017 2018 2019 2020 2502016 2017 2018 2019 2020 Frequency ResidentialMonthly Fixed Investment70%2016 2017 as a2018 % of 2019GDP 2020 Frequency ExportsIn of46 Monthly Progress2016Goods/Services2017 2018 20162019 Ready20172020 2018 for2019 Review2020 ApprovedMichigan Consumer3002016 Confidence2017 2018 Sentiment2016 20192017 20202018 2019 2020 2016 2017 2018 2019 2020 ECONOMIC DASHBOARD 70%2016 2017 80%2018 2019 2020 462016 2017 201862 2019 2020 3002016 2017 2,4002018 2019 2020 3.5% 2016 2017 2018 2019 2020 $2,600 2016 2017 2018 2019 2020 105 2016 2017 2018 2019 2020 Private Fixed Investment Nonresidential U.S. Equity – VIX US EquityAs – ofVIX 3/31/2020 S&P 500 Historical Valuation Levels Equity Markets – MSCI EAFE Private Fixed Investment Nonresidential SAAR Manufacturing InventoryLevel ChangeUS Equity Q-o- –Q VIX$ PersonalS&P IncomeLevel 500 HistoricalLevel Valuation Levels Equity Markets – MSCI EAFE SAAR EconomicAs of 3/31/2020 & Market Confidence (9) 60 Level 25 16 2,200

Private Fixed Investment Nonresidential SAAR Billions $ Manufacturing Inventory Change Q-o-Q $ Personal Income Level 70% Latest Level 53.5 6046 25 300 16 2,200 Private Fixed$3,000 InvestmentEconomic Nonresidential & Market SAAR Confidence (9) Manufacturing$50 Inventory60 Change Q-o-Q $ S&P $19,000500 P/EPersonal25 Income Level 16 2,200 2.8% 2016 2017 2018 2019 2020 $2,250 2016 2017 2018 2019 2020 85 2016 2017 2018 2019 2020 $3,000 Economic & Market Confidence (9) $50 S&P 500$19,000 P/E Capacity UtilizationLatest as a %Level of Capacity 2,806.8 2016 $3,0002017 2018 2019 2020ISM Manufacturing Index 2016 $502017 2018 2019 2020 Shipping Rates 2016 2017$19,0002018 2019 2020 Change from Prior Period 34.7 Level Level

Capacity Utilization as a % of Capacity ISM Manufacturing Index Level Shipping Rates Enterprise Value / Level Level In Progress EnterpriseReady Value / for Review Approved Level Capacity80% Utilization as a % of CapacityECONOMIC DASHBOARD Billions $ 62 ISM Manufacturing Index Billions $ 2,400 Shipping Rates EnterpriseTrailing Billions $ 12m Value EBITDA / Change from Prior Period (55.7) 10 Trailing 12m EBITDA 11 7 1,500 80% Billions $ 62 Billions $ 2,400 Trailing 12m Billions $ EBITDA $2,000 Private Fixed Investment NonresidentialFrequency SAAR ($20)MonthlyManufacturing102016 2017 Inventory2018 Change2019 2020 Q-o-Q $ $0 112016 Personal2017 Income Level2018 2019 2020 7 1,5002016 2017 2018 2019 2020 80% Billions $ 62 Billions $ 2,400 Billions $ $2,000 2016 2017 2018 2019 2020 Equity($20) 2016(9) 2017 20162018 20192017 20202018 2019 2020 $02016 2017 20162018 2019 20172020 2018 2019 2020 2016 2017 2018 2019 2020 Frequency Quarterly $2,000 2016 2017$3,000Level 2018 2019 2020 ($20) 2016 2017$50Level 2018 2019 2020 $02016 2017 $19,0002018 2019 2020 2016 2017Level 2018 2019 2020 S&P 500 Percentage Exceeding2016 Earning2017 Level 2018 2019 2020 2016 2017 2018 2019 2020

70% US Equity Markets – Russell46 3000Level Trailing P/E on S&P 500300Level Equity Markets – Euro Stoxx 70%2016 2017Residential2018 2019 2020 Fixed Investment as a Percent 462016 2017 2018 2019 2020Estimates Economic & MarketS&P Confidence 500 Percentage3002016 (9)2017 ExceedingAs2018 of 3/31/2020 2019Earning2020 Estimates Russell 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM

Residential Fixed Investment Billions $ as a % of GDP ExportsS&P 500 of Goods/Services Percentage Billions $ Exceeding Earning Estimates Michigan ConsumerRussell Confidence Billions $ 3000 – MSCI Sentiment EAFE – MSCI EM Equity Markets – MSCI EM 70%2016 2017 2018 2019 2020 462016 2017 2018 2019 2020 S&P 500 Percentage3002016 2017 Exceeding2018 2019Earning2020 Estimates Russell 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM of GDP 2,000 Residential Fixed InvestmentAs of 3/31/2020 as a % of GDP In Progress23x ExportsReady of Goods/Services84% for Review Approved 450 Michigan Consumer160 Confidence Sentiment 1,300 ECONOMIC DASHBOARD2016 2017 2018 2019 2020 Residential3.5% Fixed Investment$2,0002016 as2017 a %2018 of GDP2019 2020Latest Level In Progress $2,600Exports71.1Ready of Goods/Services84%($20) 2016for Review2017 2018 2019 2020Approved Michigan105 Consumer160 Confidence$0 Sentiment 1,300 ECONOMIC DASHBOARD Capacity Utilization as a % of Capacity2016 2017 2018 2019 2020 ISM Manufacturing Index 2016 2017 2018 2019 2020 Shipping Rates 2016 2017 2018 2019 2020 3.5% In Progress $2,600 Ready for Review Approved RAY Index105 Private Fixed Investment Nonresidential SAAR Level 3.5% Manufacturing Inventory Change Q-o-Q $ Level $2,600 Personal Income Level Level RAY Index105 ECONOMIC DASHBOARD Level RAY Index Level Latest Level 80%3.3 62 2,400 MXEA Index Private Fixed Investment Nonresidential SAAR Manufacturing Inventory Change Q-o-Q $ Level Personal Income Level MXEA Index Level

Change from Prior Period 1.1 Level Level MXEFMXEA IndexLevel

$3,000 $50 Billions $ $19,000 Beginning 3/31/14 Private Fixed Investment Nonresidential SAAR 1,000 Manufacturing Inventory Change Q-o-Q $ 14x Personal Income Level 250 Normalized at 100 64% MXEF IndexLevel 40 700 Beginning 3/31/14 Normalized at 100 $3,000 $50 Billions $ $19,000 Beginning 3/31/14 Normalized at 100 Change from Prior Period 0.22016 20172.8% 2018Residential2019 2020 Fixed Investment as a % of GDP 2016 2017$2,2502018 2019 64%Exports20202016 2017 of Goods/Services2018 2019 2020 2016 2017 85 Level 2018 Michigan20194020162020 Consumer2017 Confidence 2018Sentiment 2019 2020 7002015 2016 2017 2018 2019 $ Billions $ $3,000 $50 Frequency Level Monthly $19,000 Level Economic2.8% &2016 Market2017 2018 Confidence2019 2020 (9) $2,250 2016 2017 20182016 2019201720202018 2019 2020 852016 2017 20162018 2019 20202017 2018 2019 2020 2015 2016 2017 2018 2019 2.8% 3.5% $2,250 $2,600 85 105

$ Billions $ Economic &2016 Market2017 Billions $ 2018 Confidence2019 2020 (9) 2016 2017 Billions $ 2018 2019 2020 2016 2017 2018 2019 2020 Frequency Quarterly70% 2016 2017 2018 2019 2020 46 2016 2017 2018 2019 2020 300 2016 2017 2018 2019 2020 $ Billions $ Economic & Market Billions $ Confidence (9) Billions $ Capacity Utilization$2,000 as a % of Capacity 2016 2017 ISM2018 Manufacturing2019 ($20)2020 Index S&P 500 Historical Valuation2016 2017 2018LevelsShipping2019 2020 Rates$0 As of 3/31/2020 2016 2017 2018 2019 2020

$ Billions $ US Equity – VIX Billions $ S&P 500 Historical Valuation Levels Billions $ Equity Markets – MSCI EAFE

Capacity Utilization$2,000 as a % 2016of Capacity2017 2018 2019 2020 ISM Manufacturing($20) 2016Index2017 2018 2019 2020 Shipping Rates$02016 2017 2018 2019 2020 Level 2016 ISM2017 2018 Manufacturing2019 2020 Index As of 3/31/20202016 2017 2018 2019 2020 Equity Billions $ (9)2016 2017 2018 2019 2020 Capacity80% Utilization$2,000 as a % of Capacity 60 62 ISM Manufacturing($20) Index 25 2,400 ShippingEquity Rates $0(9) 16 2,200 80% 2016 2017 2018 2019 2020 Private Fixed Investment62 Nonresidential2.8% SAAR2016 2017 2018 2019 2020 S&P 500 P/E Manufacturing Inventory2,400 ChangeEquity$2,250 Q (9)-o2016-Q $ 2017 2018 2019 2020 Personal Income Level85 80% Latest Level 49.1 US62 Equity Markets – Russell2016 30002017 2018 2019 2020 2,400Trailing P/E on S&P 2016500 2017 2018 2019 2020 Equity Markets –2016Euro 2017Stoxx 2018 2019 2020 Level Level Residential Fixed Investment as a % of GDP Level Exports of Goods/Services Michigan Consumer Confidence Sentiment Level $3,000 US Equity Markets – Russell 3000 Enterprise Value / $50 Trailing P/E on S&P 500 $19,000 Equity Markets – Euro Stoxx Residential Fixed Investment as a % of GDP US2,000 Level Equity MarketsExports – Russell of 3000Goods/Services 23xLevel TrailingMichigan P/E on ConsumerS&P 500 Confidence Sentiment 450Equity Markets – Euro Stoxx 3.5% $2,600 Trailing 12m EBITDA 105 70% Residential Fixed InvestmentChange as from a % Priorof GDP Period 10 (1.0) 462,000Level Exports of Goods/Services 11 23x300Level Michigan Consumer Confidence Sentiment7 1,500 450 70%2016 2017 3.5%2018 2019 2020 2016 2017462,00020162018 20172019 2018$2,6002020 2019 2020 2016 23x30020172016 2017 20181052018 2019Equity20192020 (9) 2020 2016 2017450 2018 2019 2020 2016 2017 3.5%2018 2019 2020 2016 2017 2018$2,600 2019 2020 2016 2017 1052018 2019 2020

70% Billions $ 46 Billions $ 300 Billions $ Level Level Level

Frequency Monthly Level

2016 2017 2018 2019 2020 Level 2016 2017 2018 2019 2020 Level 2016 2017 2018 2019 2020 Level $ Billions $ As of 3/31/2020 $2,000 Trailing P/E on S&P($20) 500 Level $0 Level Level Level

US Billions $ Equity Markets – Russell 3000 Trailing P/E on S&P 500 Equity Markets – Euro Stoxx 20161,0002017 2018 2019 2020 201614x2017 2018 2019 2020 2016 2502017 2018 2019 2020 Private Fixed Investment2.8% Nonresidential SAAR Manufacturing Inventory$2,250 Change Q-o-Q $ Personal Income85Level Level

S&P 500 Percentage Exceeding1,0002016 2017 Earning2018 Billions $ Estimates2019 2020 Russell 3000 – MSCI14x2016 EAFE2017 – MSCI2018 EM2019 2020 Equity Markets2502016 –2017MSCI2018 EM 2019 2020 2.8% 2016 2017Manufacturing2018 2019 2020 Inventory Change Q-o-Q ($) As$2,250 of 3/31/20202016 2017 2018 2019 2020 852016 2017 2018 2019 2020 Private Fixed Investment Nonresidential SAAR Manufacturing1,0002016 Inventory2017 2,0002018 Change2019 2020Q-o-Q $ Latest Level 14x2016Personal17.42017 Income23x2018 2019Level 2020 2502016 2017 4502018 2019 2020 Private Fixed$3,000 Investment2.8% Nonresidential2016 2017 2018SAAR2019 2020 84% Manufacturing$50 2016 Inventory2017 $2,2502018 Change20192016 20172020Q-o-2018Q $ 2019 2020 160 $19,0002016Personal2017 Income2018852016 2019Level2017 20202018 2019 2020 1,300 2016 2017 2018 2019 2020 $3,000 2016 2017Latest2018 Level2019 2020 4.4 $50 2016 2017 2018 2019 2020 $19,000 2016 2017 2018 2019 2020

Residential Fixed Investment as a %Level of GDP RAY Index Exports of Goods/ServicesLevel Michigan Consumer Confidence Level Sentiment $3,000 $50 US Equity – VIX Change from Prior Period S&P$19,000 500 (3.8) Historical Valuation Levels Equity Markets – MSCI EAFE Level MXEA Index Level $ Billions $ 3.5% Billions $ US Equity – VIXEquity (9) $2,600 S&P Billions $ 500 Historical Valuation Levels 105 Equity Markets – MSCI EAFE Change from Prior Period (24.8) 1,000 MXEF Index 14x 250 $ Billions $ 60 Billions $ US Equity – VIXEquity (9) 25S&P Billions $ 500 Historical Valuation Levels 16 2,200Equity Markets – MSCI EAFE Beginning 3/31/14 $2,000 64% ($20)60 2016 2017 2018 2019 2020Frequency Normalized at 100 40 25 Monthly$0 2016 2017 2018 2019 2020 16 700 2,200 2016 2017 2018 2019 2020

$ Billions $ Billions $ Equity (9) S&P 500 P/E Billions $ $2,000 2016 2017 2018 2019 2020 ($20) 2016 2017 2018 2019 2020 $02016 2017 2018 2019 2020 US Equity Markets – Russell 3000 2016 201760 2018 2019 2020Trailing P/E on S&P 500 S&P 500 P/E2016 25 2017 2018Equity Markets2019 – Euro Stoxx2020 16 2015 20162,2002017 2018 2019 2016 2017 2018 2019 Frequency2020 Quarterly 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 Level

$2,000 US Equity Markets – Russell 3000 ($20) Trailing P/E on S&P 500 Billions $ $0 Equity Markets – Euro Stoxx Level S&P 500 P/E Level 2,000 23x Equity MarketsEnterprise – Euro Value / Stoxx 450 As of 3/31/2020 2016 US2017 Equity2018 2019 Markets2020 – Russell 3000 Level 2016 2017 2018Trailing2019 P/E2020 on S&P 500 2016 2017 Equity2018 2019 Markets2020 – Euro Stoxx Level 2,000 2.8% 23x $2,250 450 85 Level TrailingEnterprise 12m Value EBITDA / Level In Progress 10 ReadyAs offor 3/31/2020US Review Equity – VIX Approved 11 S&P 500 Historical Valuation Levels 7 1,500 Equity Markets – MSCI EAFE ECONOMIC DASHBOARD Residential Fixed Investment2,000 as a Exports% of GDP of Goods/Services 2016 2017Exports2018 of2019 Goods/Services23x2020 TrailingEnterprise 12m Value EBITDA / Michigan2016 2017 Consumer2018 2019450 Confidence2020 Sentiment 2016 2017 2018 2019 2020 In Progress 102016 2017Ready2018 for2019 Review2020 LatestApproved Level Trailing 12m EBITDA 112016 303.2 2017 2018 2019 2020 7 1,5002016 2017 2018 2019 2020 ECONOMIC DASHBOARD Residential Fixed InvestmentLevel as a % of GDP In Progress 102016Exports2017Ready of Goods/Services602018Level for2019 Review2020 Approved Michigan112016 Consumer252017 ConfidenceLevel 2018 Sentiment 2019 2020 7 16 1,5002016 2017 2,2002018 2019 2020 ECONOMIC DASHBOARD Residential3.5% Fixed InvestmentLevel as a Latest% of GDP Level 2,480 $2,6002016Exports2017 of Goods/Services2018Level 2019 2020 MichiganS&P 5002016105 P/E Consumer2017 ConfidenceLevel 2018 Sentiment 2019 2020 2016 2017 2018 2019 2020 3.5% 1,000Level $2,600 14xLevel Change from Prior Period 105 (93.5) 250Level

3.5% 1,0002016 2017 2018 2019 2020 $2,600 14xLevel 2016 2017 2018 2019 2020 105 2502016 2017 2018 2019 2020 Level S&P 500 Percentage Exceeding Earning Estimates RussellEnterpriseEquity 3000Value (9)/ – MSCI EAFE – MSCI EM Equity Markets – MSCI EM 1,0002016 2017Change2018 2019 from2020 Prior Period (57) 14x2016 2017 2018 2019 2020 Level 2502016 2017 2018 2019 2020

S&P 500 Percentage Billions $ Exceeding Earning Estimates RussellTrailing 12m 3000 EBITDA – MSCI EAFE – MSCI EM Equity Markets – MSCI EM Economic & Market 2016Confidence2017 2018 (9)2019 2020 10 2016 2017 2018 2019 Frequency2020 MonthlyLevel 11 2016 2017 2018 2019 2020 7 1,500

S&P 500 Percentage84% Billions $ Exceeding Earning Estimates Russell160 3000 – MSCI EAFE – MSCI EM 1,300Equity Markets – MSCI EM

Economic2.8% & Market Confidence (9) US Equity Markets$2,25084% – Russell 30002016 2017 2018 2019 2020 Trailing160 P/E85Level on S&P 5002016 2017 2018 2019 2020Equity Markets1,300 – Euro Stoxx2016 2017 2018 2019 2020 Frequency Quarterly Billions $ Economic2.8% &2016 Market2017 2018 ConfidenceUS2019 Equity2020 – VIX (9) $2,25084% 2016 S&P2017 5002018 Historical2019 2020 Valuation LevelsEquity MarketsRAY Index– MSCI EAFE160 852016 2017 2018Equity2019 Markets2020As – ofMSCI 3/31/2020 EAFE 1,300 Capacity Utilization as a % of Capacity 2.8%ISM Manufacturing2016 2017 2018 US 2019Index Equity2020 – VIX 2,000 $2,250 Shipping2016 S&P2017 500Rates2018 Historical2019 2020 Valuation Levels RAY Index23x 852016 2017 2018Equity2019 Markets2020 – MSCI EAFE 450 Level MXEA Index Level Capacity Utilization as a % of Capacity ISM Manufacturing60 Index Shipping25 Rates RAY Index 16 2,200 2016 2017 2018 US2019 Equity2020 – VIX Level 2016 S&P2017 5002018 Historical2019 2020 Valuation Levels MXEA Index 2016 2017 2018Equity2019 Markets2020 – MSCI EAFE Level 80% 62 60 Shipping Rates 2,400 25As of 3/31/2020 MXEF Index 16 2,200 Level Level Beginning 3/31/14 Capacity Utilization as a % of Capacity ISM Manufacturing Index S&P 500 P/E Shipping Rates MXEA Index Normalized at 100 64% S&P 500 Percentage Exceeding EarningLatest Estimates Level MXEF Index 40 1,559.6Russell 3000 – MSCI EAFE – MSCI EM 700 Equity Markets – MSCI EM Level Level Level Beginning 3/31/14 80% 62 60 2,400 25 16 Normalized at 100 2,200 S&P 50064% P/E2016 2017Equity2018 (9)2019 2020 MXEF Index 402016 2017 2018 2019 2020 7002015 2016 2017 2018 2019 Beginning 3/31/14 Normalized at 100 80% 62 Level Latest Level 626 S&P 2,40050064% P/E2016 2017 84%2018 2019 2020 402016 1602017Level 2018 2019 2020 7002015 2016 1,3002017 2018 2019

Level EnterpriseLevel Value / Equity (9) Level 1,000 2016 2017 2018 2019 2020 Change from Prior Period14x 2016 (434.1) 2017Level 2018 2019 2020 250 2015 2016 2017 2018 2019 EnterpriseTrailing 12m Value EBITDA / Equity (9)

Level 2016 2017 2018 2019 2020 2016 2017 2018 2019 Level 2020 2016 2017 2018 2019 2020 Level 10 Level 11 7 RAY Index 1,500 70% US46 Equity Markets – Russell 3000 EnterpriseTrailing300 12m TrailingValue EBITDA / P/E on S&P 500 Equity Markets – Euro Stoxx Level Level US Equity Markets102016 – Russell2017 3000Change2018 2019 from2020 Prior Period 139 Trailing P/E112016 onLevel S&P 5002017 2018 2019 2020 7 MXEA IndexEquity Markets1,500 –2016Euro 2017Stoxx2018 2019 2020 Level 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 Trailing 12m2016 EBITDA2017 2018 2019 2020 Frequency Monthly 70% US462,000 Equity Markets102016 – Russell2017 30002018 2019 2020 23x300Trailing P/E112016 on S&P 5002017 2018 2019 2020 7 MXEF450 IndexEquity Markets1,500 –2016Euro 2017Stoxx2018 2019 2020 Beginning 3/31/14 70%2016 2017 2018 2019 2020 462,0002016 2017 20182016 20192017 2020Frequency2018 2019 2020 Quarterly 23x3002016 2017 201664%2018 2019 20172020 2018 2019 2020 450 Normalized at 100 40 2016 2017 2018 2019 2020 700 2016 2017 2018 2019 2020 2,0002016 2017 2018 2019 2020 US Equity23x 2016 – VIX2017 20182016 20192017 20202018 2019 2020Equity Markets –S&P MSCI 500 HistoricalEM450 Valuation2016 Levels 2017As of 3/31/20202018 2019 Equity2020 Markets – MSCI EAFE2015 2016 2017 2018 2019 Level S&P 500 Percentage Exceeding Earning Estimates Level Russell 3000 – MSCI EAFE – MSCI EM Level Equity Markets – MSCI EM 60 25 16 2,200

Private Fixed Investment Nonresidential SAAR ManufacturingLevel Inventory Change Q-o-Q $ Level Personal Income Level Level S&P 500 Percentage Exceeding Earning Estimates RussellAs of3000 3/31/2020 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM 84% Personal Income Level 160 S&P 500 P/E 1,300 Private Fixed Investment Nonresidential SAAR Manufacturing1,000Level S&P 500Inventory Percentage Change Exceeding Q-o-Q $ Earning Estimates 14xLevel PersonalRussell Income 3000 Level – MSCI EAFE – MSCILatest EM Level 250Level 848.6 Equity Markets – MSCI EM Private Fixed$3,000 Investment Nonresidential SAAR Manufacturing1,000$50 2016 Inventory2017 84%2018 Change2019 2020Q-o-Q $ $19,00014x2016Personal2017 160 Income2018 2019Level 2020 2502016 2017 1,3002018 2019 2020

Level RAY Index Level $3,000 1,000$50 2016 2017 84%2018 2019 2020 $19,00014x2016 2017 160 2018 2019 2020 2502016 2017 1,3002018 2019 2020 Latest Level 18,696 RAY Index Enterprise Value / $3,000 $50 2016 2017 2018Level 2019 2020 MXEA$19,000 Index2016 2017 2018 2019 2020 ChangeTrailing from 12m EBITDA Prior Period (213.8)2016 2017 2018Level 2019 2020

Level 10 MXEARAY Index Index 11 Level 7 1,500

$ Billions $ Billions $ MXEF Index Billions $ Beginning 3/31/14 Normalized at 100 64%Level Change from Prior Period (382)2016 MXEFMXEA2017 Index2018 201940 2020 2016 2017 2018700Level 2019 2020 2016 2017 2018 2019 2020

$ Billions $ Billions $ US Equity – VIX S&P Billions $ 500 Historical Valuation Levels Equity Markets – MSCI EAFE Beginning 3/31/14 $2,000 ($20) $0 Normalized at 100 US Equity64% –2016VIX 2017 2018 2019 2020 MXEFS&P Index 500 Historical402016 Valuation Levels2017 2018Frequency 2019 2020 MonthlyEquity Markets700 –2015MSCI2016 EAFE2017 2018 2019 $ Billions $ Billions $ Billions $ Beginning 3/31/14 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 Normalized at 100 2017 2018 2019 2020 $2,000 ($20)60 US Equity64% –2016VIX 2017 Frequency2018 2019 2020 Monthly S&P25 500$0 Historical402016 Valuation Levels2017 2018 201916 2020 2,200Equity Markets700 –2015MSCI2016 EAFE2017 2018 2019 $2,000 2016 2017 2018 2019 2020 ($20)60 2016 2017 20182016 2019201720202018 2019 2020 S&P 500 P/E 25 $02016 2017 20162018 2019 20202017 2018Russell 3000201916 & MSCI2020 EAFE2,200 & MSCI EM2015 2016 As2017 of 3/31/20202018 2019 2016 2017 2018 2019 2020 60 2016 2017 2018 2019 2020 S&PS&P 500 500 P/EPercentage25 Exceeding2016 2017 Earning2018 Estimates2019 2020 16 Russell 3000 – 2,200MSCI EAFE – MSCI EM Equity Markets – MSCI EM

Level S&P 500 P/E Level Michigan Consumer ConfidenceEnterprise Value84% / Sentiment As of 3/31/2020 160 1,300

Residential Fixed Investment as a % of GDP Level Exports of Goods/Services Michigan Consumer Confidence Sentiment Level TrailingEnterprise 12m Value EBITDA /

Residential Fixed Investment as a % of GDP 10 Level Exports of Goods/Services Michigan11 Consumer Confidence Sentiment 7 1,500Level Trailing 12m EBITDA RAY Index Residential3.5% Fixed Investment as a % of GDP $2,600102016Exports2017 of Goods/Services2018 2019 Latest2020 Level Enterprise Value89.1 / Michigan112016105 Consumer2017 Confidence2018 Sentiment 2019 2020 7 1,5002016 2017 2018 2019 2020

Trailing 12m EBITDALevel Level 3.5% $2,600102016 2017 2018 2019 2020 112016105 2017 2018 2019 MXEA2020 Index7 1,5002016 2017 2018 2019 2020 3.5% $2,6002016 2017 2018 2019 2020 2016105 2017 2018 2019 MXEF2020 Index 2016 2017 2018 2019 2020 Beginning 3/31/14 Normalized at 100 Change from Prior Period (12.0)64% Level 40 700 $ Billions $ 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 Level

2.8% S&P 500 Percentage$2,250 Billions $ Exceeding Earning Estimates Russell85 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM S&P 500 Percentage Exceeding Earning Estimates RussellLevel 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM $ Billions $ Frequency Monthly 2.8% 2016 2017 2018 2019 2020 S&P 500 Percentage$2,25084% 2016 Exceeding2017 2018 2019Earning2020 Estimates Russell160 852016 3000 2017– MSCI2018 EAFE2019 – MSCI2020 EM 1,300Equity Markets – MSCI EM 2.8% 2016 2017 2018 2019 2020 $2,25084% 2016 2017 2018 2019 2020 160 852016 2017 2018 2019 2020 1,300 2016 2017 2018 2019 2020 84% 2016 2017 2018 2019 2020 RAY Index 160 2016 2017 2018 2019 2020 1,300 RAY Index Level MXEA Index Level

Level Equity (9) MXEFMXEARAY Index Index Level Beginning 3/31/14 Normalized at 100

64%Level MXEFMXEA Index 40 700Level

Equity (9) Beginning 3/31/14 64%2016 Equity2017 2018 (9)2019 2020 MXEF Index Normalized at 100 402016 2017 2018 2019 2020 7002015 2016 2017 2018 2019 Beginning 3/31/14 US Equity Markets – Russell 3000 64%Trailing2016 2017 P/E 2018on S&P2019 5002020 Normalized at 100 402016Equity Markets2017 – Euro Stoxx2018 2019 2020 7002015 2016 2017 2018 2019 US Equity Markets – Russell 3000 Trailing2016 2017 P/E 2018on S&P2019 500Source:2020 Bloomberg (All). 2016Equity Markets2017 – Euro Stoxx2018 2019 2020 2015 2016 2017 2018 2019 US2,000 Equity Markets – Russell 3000 23x Trailing P/E on S&P 500 450Equity Markets – Euro Stoxx 2,000 23x 450 5 Return to Table of Contents 2,000 23x 450 Level Level Level Level Level Level 1,000 14x 250 Level Level Level 1,0002016 2017 2018 2019 2020 14x2016 2017 2018 2019 2020 2502016 2017 2018 2019 2020 1,0002016 2017 2018 2019 2020 14x2016 2017 2018 2019 2020 2502016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 US Equity – VIX S&P 500 Historical Valuation Levels Equity Markets – MSCI EAFE US Equity – VIX S&P 500 Historical Valuation Levels Equity Markets – MSCI EAFE 60 US Equity – VIX S&P25 500 Historical Valuation Levels 16 2,200Equity Markets – MSCI EAFE 60 S&P 500 P/E 25 16 2,200 60 S&P 500 P/E 25 16 2,200 Level EnterpriseS&P 500 P/E Value / Level Level Trailing 12m EBITDA Level 10 Enterprise Value / 11 7 1,500 Level EnterpriseTrailing 12m Value EBITDA / Level 102016 2017 2018 2019 2020 112016 2017 2018 2019 2020 7 1,5002016 2017 2018 2019 2020 Trailing 12m EBITDA 102016 2017 2018 2019 2020 112016 2017 2018 2019 2020 7 1,5002016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 S&P 500 Percentage Exceeding Earning Estimates Russell 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM S&P 500 Percentage Exceeding Earning Estimates Russell 3000 – MSCI EAFE – MSCI EM Equity Markets – MSCI EM S&P 500 Percentage84% Exceeding Earning Estimates Russell160 3000 – MSCI EAFE – MSCI EM 1,300Equity Markets – MSCI EM 84% 160 1,300 RAY Index 84% 160 1,300

Level RAYMXEA Index Index Level RAY Index Level MXEAMXEF Index Level Beginning 3/31/14 64% Normalized at 100 40 700 Level MXEFMXEA Index Level Beginning 3/31/14 64%2016 2017 2018 2019 2020 MXEF Index Normalized at 100 402016 2017 2018 2019 2020 7002015 2016 2017 2018 2019 Beginning 3/31/14 64%2016 2017 2018 2019 2020 Normalized at 100 402016 2017 2018 2019 2020 7002015 2016 2017 2018 2019 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 ECONOMIC DASHBOARD & MARKET INDICES

ECONOMIC DASHBOARD ECONOMIC DASHBOARD In Progress Ready for Review ApprovedIn Progress Ready for Review Approved ECONOMIC DASHBOARD ECONOMIC DASHBOARD In Progress Ready for Review ApprovedIn Progress Ready for Review Approved ECONOMIC DASHBOARDEconomicECONOMIC Dashboard DASHBOARD & Market Indices (continued)In Progress Ready for Review ApprovedIn Progress Ready for Review Approved CommoditiesCOMMODITIES (3) Commodities (3)Rates (4) FOREIGN EXCHANGE RATESRatesForeign (4) Exchange Rate (3) Foreign Exchange Rate (3) Commodities (3) Commodities (3)Rates (4) RatesForeign (4) Exchange Rate (3) Foreign Exchange Rate (3) Five-Year Trend Five-Year Trend CommoditiesWTI Crude Oil Price (3) CommoditiesWTI Crude Oil Price (3)RatesLIBOR 3M(4) LIBORRatesForeign 3MEuro (4) Spot Exchange Rate vs. 1 Rate USD (3) ForeignEuro Spot Exchange Rate vs. 1 RateUSD (3) WTI Crude Oil Price WTI Crude Oil PriceLIBOR 3M LIBOR Euro3M Spot Rate vs. 1 USD Euro Spot Rate vs. 1 USD $100 WTI CrudeWTI Oil Crude Price Oil Price $100 WTI CrudeAs3% Oilof 3/31/2020PriceLIBOR 3M Euro Spot Rate vs. 1 USD 3% LIBOR$1.4Euro 3M Spot RateAs of vs. 3/31/2020 1 USD $1.4 Euro Spot Rate vs. 1 USD $100 $100 3% 3% $1.4 $1.4 $100 Latest Level 20.5 $100 3% Latest Level 3% 1.10 $1.4 $1.4 Price Price Price Price Price Price Price Price $0 0% $1.0 Price Price Price $0 Change from Prior Period (31.1) 0% Change from Prior Period (0.01) $1.0Price $02016 2017 2018 2019 2020 $02016 2017 20180% 2016 201920172020 2018 2019 2020 0%2016 2017 $1.020182016 20192017 20202018 2019 2020 $1.02016 2017 2018 2019 2020 $02016 2017 2018 2019 2020 $02016 2017 0%20182016 20192017 20202018 2019 2020 0%2016 2017 $1.020182016 20192017 20202018 2019 2020 $1.02016 2017 2018 2019 2020 2016 2017 Frequency2018 2019 2020 Monthly 2016 2017 20182016 20192017 20202018 2019 Frequency2020 Monthly2016 2017 20182016 20192017 20202018 2019 2020 2016 2017 2018 2019 2020 Reuters/Jefferies Commodity Index Reuters/Jefferies CommodityTreasury Index 10 Yr Yield Treasury 10 YuanYr Yield Spot Rate vs. 1 USD Yuan Spot Rate vs. 1 USD Reuters/JefferiesReuters/Jefferies Commodity Index Commodity IndexReuters/JefferiesAs Commodity of Treasury3/31/2020 Index 10 Yr Yield Yuan Spot Rate vs. 1 USD Treasury 10Yuan Yr Yield Spot RateAs of vs. 3/31/2020 1 USD Yuan Spot Rate vs. 1 USD Reuters/Jefferies210 Commodity Index Reuters/Jefferies210 4.0% CommodityTreasury Index 10 Yr Yield 4.0% Treasury 10$0.17Yuan Yr Yield Spot Rate vs. 1 USD $0.17Yuan Spot Rate vs. 1 USD 210 Latest Level 121.8 210 4.0% Latest Level 4.0%0.1412 $0.17 $0.17 210 210 4.0% 4.0% $0.17 $0.17 Level Price Level Price Level Price Level Change from Prior Period (48.5) Change from Prior Period (0.0035) Price 110 0.0% $0.13

110 Level 0.0% $0.13 Price Level Price 110 2016 2017 2018 2019 2020 1102016 2017 20180.0% 20162019 20172020 2018 2019 2019 0.0%2016 2017 $0.132018 20162019201720192018 2019 2020 $0.132016 2017 2018 2019 2020 1102016 2017 Frequency2018 2019 2020 Monthly 1102016 2017 0.0%201820162019201720202018 2019 Frequency2019 0.0%Monthly2016 2017 $0.1320182016 20192017 20192018 2019 2020 $0.132016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 20182016 20192017 20202018 2019 2019 2016 2017 20182016 20192017 20192018 2019 2020 2016 2017 2018 2019 2020 GoldGold GoldAs of 3/31/2020Swaps 2Y vs 10Y Yen Spot Rate vs. 1 USD Swaps 2Y vsYen 10Y Spot RateAs of vs. 3/31/2020 1 USD Yen Spot Rate vs. 1 USD Gold Gold Swaps 2Y vs 10Y Swaps 2Y vsYen 10Y Spot Rate vs. 1 USD Yen Spot Rate vs. 1 USD $1,600 LatestGold Level 1,577.2 $1,600 Gold95 Swaps 2Y vs 10Y Latest Level 950.0093Swaps 2Y0.011 Yenvs 10Y Spot Rate vs. 1 USD 0.011Yen Spot Rate vs. 1 USD $1,600 $1,600 95 95 0.011 0.011 $1,600 $1,600 95 0.011 0.011

95 bps bps Price Level Price Change from Prior Period (12.0) Change from Prior Period 0.0001 Level bps bps Price Level Price In Progress Ready for Review ApprovedLevel bps $1,000 bps (15) 0.008 Price Level ECONOMIC DASHBOARD $1,000Price (15) 0.008 Level Frequency Monthly 2016 2017 2018 2019 2020 Frequency In Progress Monthly2016 Ready2017 2018 for 2019Review2020 Approved 2016 2017 2018 2019 2020 ECONOMIC DASHBOARD$1,000 2016 2017 2018 2019 2020 $1,000 (15) 2016 2017 2018 2019 2020 In Progress (15) Ready0.008 for2016 Review2017 2018 2019 Approved2020 0.008 ECONOMIC DASHBOARD$1,0002016 2017 2018 2019 2020 $1,0002016 2017 (15)20182016 20192017 20202018 2019 2020 (15)2016 2017 0.00820182016 20192017 20202018 2019 2020 0.0082016 2017 2018 2019 2020 ECONOMIC DASHBOARD2016 2017 2018 2019 2020 2016 2017 20182016 20192017 20202018 2019 2020 In Progress 2016 Ready2017 2018 for2016 Review20192017 20202018 2019 Approved2020 2016 2017 2018 2019 2020 30-Yr Mortgage and 10-Yr Treasury Rates 30-Yr Mortgage and 10-Yr Treasury Rates Commodities (3) Rates (4) 30-Yr Mortgage and 10-Yr Treasury RatesForeign Exchange30 Rate-Yr Mortgage (3) and 10-Yr Treasury Rates Commodities (3) 4%Rates30-Yr Mortgage (4) and 10-Yr Treasury Rates 4%30Foreign-Yr Mortgage Exchange and 10-Yr TreasuryRate (3) Rates RATES 4% 4% Commodities (3) Mortgage Bankers Rates (4) Mortgage Bankers Foreign Exchange Rate (3) WTI Crude Oil Price LIBOR 3M FRM 30-Year Euro SpotFRM 30-Year Rate vs. 1 USD Five-Year Trend Mortgage Bankers 4% Mortgage Bankers 4% Commodities (3) Contract Rates (4) Contract Foreign Exchange Rate (3) WTI Crude Oil Price FRM 30-Year LIBOR 3M FRM 30-Year Euro Spot Rate vs. 1 USD Mortgage Bankers Mortgage Bankers $100 3% Contract10YR $1.4 10YRContract WTI Crude Oil Price FRM 30-Year LIBOR 3M FRM 30-Year Euro Spot Rate vs. 1 USD As of 3/31/2020 10YR 0% $100 WTI Crude Oil Price Libor 3M Contract10YR3% 0%LIBOR 3M Contract $1.4Euro Spot Rate vs. 1 USD $100 10YR3% 0%2016 2017 2018 2019 10YR 2020 0%2016 $1.4 2017 2018 2019 2020

Price Price 2016 2017 2018 2019 2020 $100 Latest Level 1.45 3% 0%2016 2017 2018 2019 2020 0% $1.4 Price 2016 2017 2018 2019 2020 2016 Price 2017 2018 2019 2020 $0 0% $1.0 Price Price 2016 2017 2018 2019 $02020 2016 2017 2018 20190% 2020 2016 2017 2018 2019$1.0 2020 Price Change from Prior Period (0.30) Price $02016 2017 2018 2019 2020 0%2016 2017 2018 2019 2020 $1.02016 2017 2018 2019 2020 $02016 2017 2018 2019 2020Frequency Monthly 0%2016 2017 2018 2019 2020 $1.02016 2017 2018 2019 2020 Reuters/Jefferies Commodity Index2016 2017 2018 2019 2020 Treasury 10 Yr Yield 2016 2017 2018 2019 2020 Yuan Spot Rate vs. 1 USD2016 2017 2018 2019 2020 Reuters/Jefferies Commodity Index Treasury 10 Yr Yield Yuan Spot Rate vs. 1 USD 210 Reuters/Jefferies Commodity IndexTreasury 10-Yr Yield4.0% Treasury 10As Yrof Yield3/31/2020 $0.17 Yuan Spot Rate vs. 1 USD Reuters/Jefferies210 Commodity Index 4.0% Treasury 10 Yr Yield $0.17Yuan Spot Rate vs. 1 USD 210 4.0% $0.17

Level Latest Level 0.67 210 4.0% Price $0.17 Level Price 110 0.0% $0.13 Level Change from Prior Period (0.84) Price 2016 2017 2018 2019 1102020 2016 2017 2018 20190.0%2019 2016 2017 2018 2019 $0.132020 Level Price 1102016 2017 2018 2019 2020 0.0%2016 2017 2018 2019 2019 $0.132016 2017 2018 2019 2020 1102016 2017 2018 2019 2020Frequency Monthly 0.0%2016 2017 2018 2019 2019 $0.132016 2017 2018 2019 2020 Gold 2016 2017 2018 2019 2020 Swaps 2Y vs 10Y 2016 2017 2018 2019 2019 Yen Spot Rate vs. 1 USD 2016 2017 2018 2019 2020 Gold Swaps 2-Yr vs. 10-Yr Swaps 2YAs vs of 10Y 3/31/2020 Yen Spot Rate vs. 1 USD $1,600 Gold 95 Swaps 2Y vs 10Y 0.011 Yen Spot Rate vs. 1 USD $1,600 Gold Latest Level 22.53 95 Swaps 2Y vs 10Y 0.011Yen Spot Rate vs. 1 USD $1,600 0.011

bps 95 Price $1,600 Level 0.011

95bps Price Change from Prior Period 15.06 Level

$1,000 (15) bps 0.008 Price Level 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 2016 2017 2018 2019 2020 $1,000 (15)bps 0.008 Price Level $1,0002016 2017 2018 2019 2020Frequency Monthly (15)2016 2017 2018 2019 2020 0.0082016 2017 2018 2019 2020 $1,0002016 2017 2018 2019 2020 (15)2016 2017 2018 2019 2020 0.0082016 2017 2018 2019 2020 2016 2017 2018 2019 202030-Yr Mortgage30 -&Yr 10-Yr Mortgage Treasury and 10-Yr Treasury2016 Rates2017 As2018 of 3/31/20202019 2020 2016 2017 2018 2019 2020 30-Yr Mortgage and 10-Yr Treasury Rates 4% 30-Yr Mortgage and 10-Yr Treasury Rates Mortgage Bankers 4%30-Yr Mortgage and 10-Yr Treasury Rates FRM 30-Year Mortgage Bankers 4% Contract FRM 30-Year 4% 10YR ContractMortgage Bankers FRM 30-Year Mortgage Bankers 0% Contract10YR 2016 FRM 201730-Year 2018 2019 2020 Contract10YR 0% 10YR 0%2016 2017 2018 2019 2020 0%2016 2017 2018 2019 2020 2016 2017 2018 2019 2020

Source: Bloomberg (All). 6 Return to Table of Contents CREDIT

Performing Credit As COVID-19 negatively impacted economies and capital 2020, and rating agencies have been actively downgrading markets around the globe, price volatility in leveraged companies and placing ratings on negative watch. The pace loans hit a record level in the first quarter of 2020. The J.P. of these downgrades has exceeded the pace experienced Morgan U.S. Leveraged Loan Index began the year with during the global financial crisis, and downgrades can a weighted average price of $97.29 and yield to a 3-year add another level of selling pressure from CLOs—the takeout of 6.29%. As concerns about the COVID-19 largest holders of leveraged loans. CLOs are ratings-based pandemic intensified, leveraged loan prices declined vehicles and heavily reliant on passing tests—tied to the dramatically to $77.01, bringing the year-to-date return ratings of the underlying assets—to make distributions to to -20.04% through the last week of March. The drivers equity investors. The rapid increase in CCC-rated debt has of price volatility were both technical and fundamental; made trading more restrictive for CLO managers. In part redemptions from retail funds put pressure on price, and due to the investment limitations on CLOs, there has been investors pushed prices lower as they demanded a higher a bifurcation between BB, B, and CCC loans. The year-to- yield for loans that were inherently riskier. The longer social date return for Ba3-rated loans was -6.75% on April 21st, distancing guidelines remain in place, the harder it becomes versus -9.9% for B2 and -22.9% for Caa1. for management teams and investors to forecast earnings for the balance of 2020. When we start to see economic In this environment, we believe prudent leveraged loan activity recover, many companies’ balance sheets will have investors are focused on monitoring the liquidity in their more leverage due to the incurrence of incremental debt— underlying assets so they can identify companies that will in an abundance of caution, companies have been drawing face a liquidity squeeze and help those management teams down on their credit facilities—and the lack of cash flow get through the financial challenges they are facing. being generated in a large number of industries. PC: 1433 After bottoming on March 23rd, the J.P. Morgan Leveraged In Progress Ready for Review Approved Loan Index quickly began to rally. At quarter-end, the weighted average price was $83.70, and leveraged loans have continued to rebound since then. As of April 15th, the weighted average price was $87.17, and the index was down 10.40% year-to-date—coming back from the March low of -20.04%. There is uncertainty regarding budgets for

Institutional Loan New Issuance $ Billions $140 11% Institutional Loan New Issuance (LHS) $120 10% Yield to 3-Year Takeout (RHS)

$100 9%

$80 8%

$60 7%

$40 6%

$20 5%

$0 4% Jan '19 Feb '19 Mar '19 Apr '19 May '19 Jun '19 Jul '19 Aug '19 Sep '19 Oct '19 Nov '19 Dec '19 Jan '20 Feb '20 Mar '20 Note: Excludes refinancing and re-pricing volume. Source: J.P. Morgan. In March, loan issuance ground to a halt as yields skyrocketed.

In March, loan issuance ground to a halt as yields skyrocketed.7 Return to Table of Contents PC: 1436 In Progress Ready for Review Approved

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Performing Credit (continued)

Moody’s Rated Loan Year-to-Date Returns Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 NR 0%

(5%) (3.01%) (4.51%) (4.82%) (4.57%) (6.76%) (10%) (8.48%) (8.40%) (9.91%)

(15%) (13.68%)

(20%)

PC: 1434 (25%) PC: 1435 In Progress Ready for Review(22.93%) Approved In Progress Ready for Review Approved

(30%) (30.87%) (35%)

Source: J.P. Morgan, Moody’s. Lower-rated loans underperformed investment grade-rated loans in Q1.

J.P. Morgan Leveraged Loan Index J.P. Morgan Leveraged Loan Index - B vs. BB Lower-rated loans underperformed investment grade-rated loans in Q1. 105 105

100 100

95 95

90 90

85 85

80 80 BB Average Price Leveraged Loans Average Price B Average Price 75 75 Jan '19 Apr '19 Jul '19 Oct '19 Jan '20 Apr '20 Jan '19 Apr '19 Jul '19 Oct '19 Jan '20 Apr '20

Source: J.P. Morgan, Bloomberg. Source: J.P. Morgan, Bloomberg. Leveraged loan prices have started rebounding after a BB-rated loans experienced a sharper recovery than sharp decline in March. B-rated loans in April.

Leveraged loan prices have started reboundingMaureen afterD’Alleva a sharpBB-rated decline loans in experiencedMarch. a sharper recovery than B-rated loans in April. Portfolio Manager

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Distressed Debt The U.S. and European high yield markets declined March produced the second-largest number of U.S. bond sharply in the first quarter of 2020 in reaction to the global downgrades on record, with 124 issuers dropping in rating. COVID-19 outbreak and plummeting oil prices. U.S. high The U.S. high yield default rate rose slightly to 3.5% at the yield fell 14.3% over the first three months of the year, led end of March, effectively matching the long-term average. by a 12.6% drop in March, which was the second-largest Conversely, in Europe, the high yield default rate actually monthly decline ever behind October 2008. Euro-currency declined modestly to 1.3% at quarter-end. high yield fared worse, delivering a 16.0% loss for the quarter following a -14.5% return in March. The results U.S. high yield new issuance began the quarter strong, with in both regions came despite a recovery off the year-to- $64.8 billion of volume in January and February. However, date lows, as reaction to central bank intervention and only five bonds totaling $4.2 billion were issued in March, government stimulus programs drove prices higher in the and four of those priced within the first three business days final week of the quarter. of the month. In Europe, high yield new issuance came in at €24 billion for the quarter, with supply reaching new records In the U.S., spreads widened from 424 basis points at the for both January and February before the primary markets start of the year to a peak of 1,139 basis points on March closed completely for the month of March. 23rd, before retracing modestly and ending the quarter at approximately 950 basis points. Several of the largest U.S. high yield mutual funds reported $16.7 billion of daily spread movements of all time occurred in March, outflows in the first quarter of 2020, a significant reversal highlighting the magnitude and velocity of daily volatility from the $18.8 billion of inflows to the asset class in 2019. throughout the month. Yields in Europe trended similarly, The majority of the year-to-date outflows occurred in March; rising 565 basis points over the quarter to settle at 941 the $13.0 billion in withdrawals was the second-largest basis points on March 31st. The performance underlying monthly outflow on record. European high yield funds lost DIST: 6034 the U.S.DIST: and European 6035 markets was similar. Higher-rated In Progressnearly €8 billionReady in the for first Review quarter, Approvedmostly in March as well,In Progress Ready for Review Approved BB bonds fell less dramatically than lower-quality CCCs, which offset the entire inflow of capital achieved in all of and energy, gaming, and transportation were the bottom 2019. performing sectors in both regions. In the first quarter, 195 high yield bonds were downgraded, led by 51 in the energy sector and 27 in the gaming industry.

Distress Ratios High Yield Spreads Price <80 Spread to Worst (bps) 40% 1,200 Broad U.S. High Yield U.S. High Yield 35% 1,100 Euro High Yield Euro High Yield 30% 1,000

900 25% 800 20% 700 15% 600 10% 500

5% 400

0% 300 Sep '17 Mar '18 Sep '18 Mar '19 Oct '19 Apr '20 Jan '20 Feb '20 Mar '20 Apr '20

Source: Credit Suisse. Source: J.P. Morgan. After remaining generally consistent over the past three High yield spreads widened considerably over Q1, with U.S. years, high yield distress ratios jumped to 35% (U.S.) and and European high yields, respectively, jumping from 420 and 37% (Euro) in the last week of March. 360 basis points to peaks of 1,139 and 1,044 basis points and then settling at 949 and 901 basis points at quarter-end.

After remaining generally consistent over the past three Highyears, yield high spreads yield distress widened ratios9 considerably jumped to over 35% Q1, with U.S.Return and Europeanto Table of Contents high yields, respectively, (U.S.) and 37% (Euro) in the last week of March. jumping from 420 and 360 basis points to peaks of 1,139 and 1,044 basis points and then settling at 949 and 901 basis points at quarter-end. DIST: 6036 In Progress Ready for Review Approved

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Distressed Debt (continued)

High Yield Cumulative Spread Changes bps 1,000 Sep '08 900 Jul '11 800 Nov '15 Feb '20 700

600

500

400

300

DIST: 6037 200 In Progress Ready for Review Approved

100

0 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48 50 Days of Spread Change Source: FTSE Fixed Income LLC, Morgan Stanley Research. Cumulative high yield spreads changed at a faster rate in Q1 than during the global financial crisis.

U.S. High Yield Index Largest Monthly Losses CumulativeU.S. HY Index Monthly high Return yield spreads changed at a faster rate in Q1 than during the global financial crisis.

Nov '00 Sep '01 Jun '02 Jul '07 Sep '08 Oct '08 Nov '08 May '10 Aug '11 Mar '20 0%

(2%)

(4%) (3.15%) (3.27%) (3.88%) (3.46%) (3.51%) (6%)

(8%) (6.62%) (6.92%) (8.51%) (10%)

(12%)

(14%) (12.64%)

(16%) (16.01%) (18%)

Source: J.P. Morgan. March 2020 was U.S. high yield’s second-largest monthly loss on record, only behind the global financial crisis in October 2008.

March 2020Ryan was Mollett U.S. high yield's second-largest monthlyDan loss Pound on record, only behind the global financial crisis in OctoberGlobal Head 2008. of Distressed Distressed & Corporate & Corporate Special Situations Special Situations, Europe

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Commercial Real Estate Debt Although the commercial real estate debt markets started as the dispersion in bond pricing based upon specific deal the year with a positive underlying tone from both a characteristics. Although most conduit deals are diversified fundamental and technical perspective, they cracked under by geography and property type, those with higher hotel extreme strain from forced selling into an increasingly illiquid and retail exposure are facing greater pressure. The retail market during March. Numerous types of investors sold, sector has already been in the spotlight for the past several including both levered investors and daily liquidity 40 Act years and the immediate impact of stay-at-home orders on funds. Bond fund outflows totaled in excess of $215 billion that sector and the hotel sector reverberated throughout in a three-week span. Dealer balance sheets at quarter-end the CMBS market. Furthermore, Single-Asset/Single- could not absorb the sheer volume of selling, and market Borrower deals collateralized by hotel properties are under prices moved down in a sharp and often violent fashion. Bid substantial pressure. There is also significant uncertainty list volume spiked and reached nearly ten times the normal around the duration of the current economic slowdown and amount as forced sellers sought liquidity in order to meet the shape and timing of the ensuing recovery. redemptions. As a result, the CMBS market ended the first quarter at its most distressed levels in years. Conduit AAA Although March was the most challenging month for spreads ended February at swaps plus 90 basis points CMBS investors in many years, we believe it also created and traded as wide as swaps plus 325 basis points before an opportunity for experienced managers that can properly tightening into the low 200s at the very end of March. assess the underlying real estate fundamentals in today’s Further down in the capital structure, the move was much new economic reality. While delinquencies, defaults, and more significant, with BBB bonds widening from swaps plus ultimately losses will all rise, we believe that astute managers 340 at the end of February to swaps plus 1,200 at the end should be well-positioned to generate attractive returns of March. BBB bonds did not enjoy the same stabilization through diligent underwriting and careful asset selection. CMBS: 2043 into month-end as bonds at the top of the capital structure. In Progress Ready for Review Approved While the CMBS market traditionally trades on spread and it is informative to consider spread movements, these movements were so extreme that the credit-centric tranches of the capital structure shifted to trading on dollar price. What these spread movements fail to fully capture is the wide bid-offer spread in the market as well

Historical CMBS Corrections Corrections (T + Spread) 1,400 6/98 - 11/98 5/11 - 10/11 1,200 Current sell-off 4/12 - 7/12 5/13 - 7/13 7/14 - 10/14 5/15 - 3/16 10/18 - 12/18 2/20 - 3/20 1,000

800

600

400

200

0 0 3 6 9 12 15 18 21 24 27 30 33 36 39 42 Weeks Source: Morgan Stanley Research. Both the speed and magnitude of this sell-off exceeded the previous seven historical corrections of more than 100 basis points in CMBS BBB-.

Both the speed and magnitude of this sell-off exceeded11 the previous seven historical correctionsReturn to Table of of moreContents than 100 basis points in CMBS BBB-. CMBS: 2040 CMBS: 2041 In Progress Ready for Review Approved In Progress Ready for Review Approved

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Commercial Real Estate Debt (continued)

Agency CMBS Eligible for Fed Purchase Historical BWIC Weekly Volumes $ Millions $7,000 BWIC Volume $6,000 6M-mo Ave

Eligible $5,000 30% $4,000

$3,000

Ineligible $2,000 70% In Progress Ready for Review Approved CMBS: 2042 $1,000

$0 Jul '18 Dec '18 May '19 Oct '19 Mar '20

Source: Morgan Stanley Research, Federal Reserve, Fannie Mae, Bloomberg, Trepp. Source: Deutsche Bank. Approximately 30% or $223 billion of outstanding Agency March saw a sharp spike in CMBS bid list volume. CMBS is eligible for purchase in the Fed’s open market purchase operations.

Approximately 30% or $223 billionCash of CMBS outstanding and Corporate AgencyMarch CMBS Spreads saw is aeligible sharp forspike purchase in CMBS in thebid Fed’slist volume. open market purchase operations.Spread (S + bps) 400 1,400 AAA (LHS) 350 IG (LHS) 1,200 BBB- (RHS) HY (RHS) 300 1,000

250 800 200

600 150

400 100

50 200 Mar '15 Sep '15 Feb '16 Aug '16 Jan '17 Jul '17 Dec '17 Jun '18 Nov '18 May '19 Oct '19 Apr '20

Source: The Yield Bank, Morgan Stanley (closing spreads as of April 17, 2020). The spread widening experienced by CMBS was much more violent than the widening experienced by the corporate credit market.

Andrew Solomon The spreadPortfolio widening Manager experienced by CMBS was much more violent than the widening experienced by the corporate credit market.

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Residential & Consumer Debt (RMBS/ABS) The sell-off in securitized credit was triggered by considerable Policymakers also took steps to protect consumers, redemptions out of daily liquidity funds, which created a run passing the CARES Act. Most relevant to RMBS and ABS on high-quality fixed income markets and pressured spreads was its relief for homeowners, which largely solidified into at the top of the securitized capital structure. In early March, law efforts already announced by the GSEs, as well as relief short-duration AAA ABS were trading around 15-25 basis for renters and some federal student-loan borrowers. The points over Libor but quickly widened to as much as 350 basis Act also expanded unemployment insurance to include points. Eventually, forced sellers had few short-duration AAA workers beyond its eligibility, such as self-employed assets left to sell and looked to other asset classes, including workers. States announced similar directives, and many Credit Risk Transfer—given its historically high liquidity and other lenders developed relief plans for their borrowers. market pricing transparency—and Agency MBS, which saw spreads violently widen to levels not seen since the global In contrast to the GFC, households entered this pandemic financial crisis (GFC). The scale of the redemptions and on strong footing, systemic leverage is comparatively low, need to de-lever forced sellers to liquidate positions over and conservative underwriting in the post-GFC era has a weekend for Monday settlement. Throughout this period, largely prevailed. These will prove to be important factors dealers were largely sidelined because of already heavy that shape the inevitable rise in delinquency curves across balance sheets heading into quarter-end, and an initial surge mortgage and consumer sectors. in gross origination overwhelmed tepid demand at all-time Mortgage delinquency will rise given expansive payment lows in U.S. benchmark yields. forbearance programs, but collateral losses are likely to The Fed sought to address the problems quickly and be muted given the ongoing fundamental and technical aggressively, announcing multiple rate cuts, unlimited strength of the housing market. An Urban Institute analysis quantitative easing (QE) via purchases of Agency MBS and forecasts an annual shortage of 350,000 units to meet RMBS: 3040 Treasurys, asset purchase programs, and financing facilities, expected new household formationsIn Progress over the nextReady several for Review Approved including a GFC-era program for newly originated ABS. The years. Additionally, foreclosure moratoriums will limit the Fed indicated a willingness to do whatever needed to be downward pressure that distressed inventory coming to done, underscoring the degree to which the fixed income market would otherwise create. We expect consumers to markets were not functioning, and its QE generated an prioritize loan payments to preserve good standing for high- unprecedented $291 billion of Agency MBS purchases in utility credit, such as credit cards and internet services. the final two weeks of the quarter, which helped stabilize spreads.

AAA Credit Spreads 600 2-yr Credit Cards 500 2-yr Auto 5-yr FFELP (Student Loans) 400

300

200

100

0

(100) 2006 2008 2010 2012 2014 2016 2018 2020

Source: J.P. Morgan, BofA Global Research. The widening in AAA credit spreads illustrates the violent price volatility in March.

The widening in AAA credit spreads illustrates the violent13 price volatility in March. Return to Table of Contents RMBS: 3041 In Progress Ready for Review Approved

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Residential & Consumer Debt (continued)

Job Creation and Loss $ Millions $30 Change in non-farm payrolls from July 2009 to February 2020 $25

DB estimates of jobless claims $20 for the week of 4/13/2020

$15

$10 Sum of initial jobless claims RMBS: 3042 RMBS: 3043 In forProgress the prior three weeksReady for Review Approved In Progress Ready for Review Approved $5

$0 Jobs created since Job losses due to COVID-19 Jobs lost during Jobs lost during 2008 recession ended the 1930s Depression the 2008-09 Recession Source: BLS, Dept. of Labor, CRS, Haver Analytics, DB Global Research. By mid-April, all of the jobs created since the end of the global financial crisis had been lost.

Tight Supply Has Supported Home Prices TRACE Trading Activity ByY-o- Ymid-April, all of the jobs created since the end of the $global Millions financial crisis had been lost. 16 0 $14 Case-Shiller (LHS) Non-Agency Months Supply (RHS, inverted) CMBS $12 ABS

8 3 $10

$8 0 6 $6

$4 (8) 9

$2

(16) 12 $0 '05 '07 '09 '11 '13 '15 '17 '19 May '18 Sep '18 Dec '18 Apr '19 Jul '19 Nov '19 Mar '20

Source: Bloomberg, Case-Shiller. Source: FINRA, BofA Global Research. In stark contrast to the global financial crisis, the housing In March, weekly trading volumes for securitized products market is entering this recession on very stable ground. were well above long-term averages.

In stark contrast to the global financial crisis,TJ Durkin the housingIn market March, is weekly entering trading this recession volumesYong Joe foron securitizedvery stable products were well above long-term averages. ground. Co-Portfolio Manager Co-Portfolio Manager

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Energy After a brief but intense price war, OPEC and allies agreed Credit Suisse Energy High Yield Index offers a yield north of to a cut totaling 10% of global crude production, or 9.7 17%, while exploration and production credits yield 21%. million barrels per day through June, with more modest Oil and gas producers have experienced over 75 ratings reductions persisting through April 2022. Despite the downgrades year-to-date, more than a third of which largest coordinated reduction in history, WTI tumbled to an occurred in April. all-time low of -$37.63 before recovering to the teens by late April, as the COVID-19 pandemic had already reduced Bank borrowing base redetermination season has also demand by two-to-three times the level of such cuts. It is begun. In response to falling oil prices, bank price decks clear that in the short to medium term, demand destruction have declined precipitously. As many borrowers are already will outweigh supply destruction. heavily drawn on current lines, any decrease in availability is likely to have a significant impact. Many borrowers will In response to the sudden and violent downward shift in be in breach. It is clear this mismatch of long-term asset commodity prices, and in contrast to a slower reaction bases and short-term bank-funded liabilities will result in to the 2015-2016 dislocation, virtually every U.S. oil and numerous bankruptcies. Participant banks are increasingly gas producer has been quick to cut both 2020 capex and exiting the space, and lead agent money centers are production—the market-driven domestic contribution to reportedly preparing independent vehicles with which they the global production cuts. Rig count is declining rapidly can assume direct ownership of assets—a move last seen and projections suggest that U.S. crude production could nearly 40 years ago. fall by two million barrels per day or more by 2021, if not shut-in at an earlier date by a lack of physical storage or pipeline capacity—both of which will be tested to the limits this quarter. In this environment, it is wise to rotate ENER: 1376 to creditsENER: that have 1377 sufficient liquidity to withstand a multi- In Progress Ready for Review Approved In Progress Ready for Review Approved month revenue shutdown, while avoiding too much reliance on liquidity sourced from nervous, and likely to retrench, commercial banks. Energy credit spreads have widened considerably this year, though have tightened from late March peaks. The

Recent Bankruptcy Filings: RBL Utilization Global Crude Storage Capacity Running Short 100% Million Barrels per Day 7,000 90% NGLs/Other Pacific Inventories 80% 6,000 European Inventories U.S. Inventories 70% 5,000 Global Storage Capacity 60% 4,000 50% 3,000 40%

30% 2,000

20% 1,000 10% 0 0% 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q Companies '18 '18 '18 '18 '19 '19 '19 '19 '20 '20 '20 '20

Source: Company Filings. Source: BMO Capital Markets, Bloomberg. Excessive borrowing base reliance is a reliable predictor of At the projected pace of crude storage additions, inventories bankruptcy. may reach and exceed global storage capacity over the next two months.

Excessive borrowing base reliance is a reliable predictorAt of the bankruptcy. projected pace of crude15 storage additions, inventoriesReturn may toreach Table ofand Contents exceed global storage capacity over the next two months. ENER: 1378 In Progress Ready for Review Approved

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Energy (continued)

Rising Supply and Unprecedented Drop in Demand Roil Crude Markets Million Barrels per Day 4

2

0

(2)

(4)

(6)

(8)

ENER: 1379 (10) ENER: 1380 In Progress Ready for Review Approved In Progress Ready for Review Approved Y Change in Crude Supply and and Demand Supply Y Crude Change in - o

- Demand Y (12) Supply (14) 1Q '19 2Q '19 3Q '19 4Q '19 1Q '20 2Q '20 3Q '20 4Q '20

Source: BMO Capital Markets. The twin specters of oversupply and pandemic-driven demand destruction have caused crude prices to languish at multi- decade lows.

Bank Exposure to the Sector is Significant Energy Yields Have Widened The twin specters of oversupply and pandemic-driven demand destruction have caused crude prices to $ Billions 60% languish at multi-decade lows. $300 HY Energy HY Midstream Not Rated 50% HY E&P $250 HY Rated HY OFS IG Rated HY All 40% $200

30% $150

$100 20%

$50 10%

$0 0% Exploration & Integrated Oilfield Pipeline Refining Jan '20 Feb '20 Mar '20 Apr '20 Production Oils Services Source: JP Morgan Research. Source: Credit Suisse. Banks maintain over $650 billion in exposure to the sector, Energy credit spreads have widened considerably this year, or 38% of tangible equity for all U.S. depositories. Exposure though have tightened from late March peaks. to high yield and unrated borrowers is significant and will likely weigh on earnings.

Banks maintain over $650 billion in exposureTodd Dittmannto the sector,Energy or 38% credit of tangiblespreads equityhave widened for all U.S. considerably this year, though have tightened from late March depositories. Exposure to high yield andPortfolio unrated Manager borrowerspeaks. is significant and will likely weigh on earnings.

For more information on Energy, visit angelogordon.com/strategies/credit/energy-credit/.

16 Return to Table of Contents CREDIT

Middle Market Direct Lending Quarterly syndicated middle market loan issuance declined are several factors that may challenge this comparison. The approximately 21% quarter-over-quarter, which is not explosive growth of direct lending as an asset class over the unusual, as the first quarter is often the lightest of the last several years has coincided with, until now, a generally year. However, the sharp drop in origination volume in benign credit environment. This has helped contribute to March and the origination outlook going forward were both weakening deal structures, looser documentation, and unprecedented and can be tied to the widely felt impacts the rise of covenant-lite loans. Without covenants or with of COVID-19. Lenders and sponsors alike have turned their covenants that have extremely wide cushions, lenders will focus to their existing portfolios as they seek to navigate lack the fee income associated with amendments and may unchartered territory. While a significant decline in deal be forced to wait for a payment default before they are at volume as LBO activity slows dramatically is to be expected, the table with the borrower, which will likely ultimately result we believe sponsors may pursue more add-on acquisitions in lower recoveries. Lenders that maintained discipline with as acquisition costs decline and attractive opportunities arise. respect to covenants, EBITDA adjustments, and cushions will likely enjoy superior recoveries. Sector exposure will In early March, as pandemic fears accelerated sharply in also play a significant role in performance, as COVID-19 the U.S., borrowers responded by reaching for all available has effectively shut down many sectors of the economy. liquidity, resulting in large-scale revolver draws that, for many lenders, far exceeded the level of draws at the height of the As noted in the past, we have always believed that manager In Progress Ready for Review Approved In Progress Ready for Review Approved MMDL: 600 global financialMMDL: crisis. 608 In a late March survey, nearly 20% of differentiation would be key to performance during a cycle. lenders indicated that their revolvers were 60-80% drawn, Over the coming quarters, we believe experienced managers with another 43% indicating that 40-60% of their revolving that have extensive workout expertise and have maintained commitments were drawn down. With the economic fall-out stringent underwriting standards will be better-positioned from the crisis ongoing and the depth of the recession and than those that lack said experience and expertise. Finally, for shape of recovery unknown, lenders are now contending lenders that successfully navigate the current environment, with potentially broad-based challenges in their portfolios. we believe the pressure on pricing and structure that have While it is natural to look to the last crisis for insight into grown over the last several years will abate significantly and potential default rates and expected recovery rates, there that market terms will be very lender-friendly.

Average Loan Spread: Middle Market vs. Middle Market Sponsored New Money Large Corporates Issuance $ Billions L+700 Average Difference in Spread $25 L+650 2003 to 2007 54 bps New Money - Other 2010 to 2019 153 bps Dividend Recap L+600 Currently 126 bps Add-on acquisition $20 LBO L+550

L+500 $15 L+450

L+400 126 bps $10 L+350

L+300 Middle Market Leveraged Loan $5 L+250 Large Corporates Leveraged Loan

L+200 '03 '05 '07 '09 '11 '13 '15 '17 '20 $0 '04 '06 '08 '10 '12 '14 '16 '18 '20 Middle market leveraged loan includes issuers with less than $50m EBITDA. Average spread includes any LIBOR floor benefit. Source: S&P Capital IQ LCD. Source: Refinitiv LPC. Despite the spread widening seen in corporate credit Using the global financial crisis as a guide, middle market markets, middle market loans are still offering an attractive sponsored issuance is expected to slow in the coming spread compared to leveraged loans. quarters.

Trevor Clark Despite the spread widening seen in corporatePortfolio creditManager markets,Using the middle global market financial loans crisis are asstill a offering guide, middle an market sponsored issuance is expected to slow in the attractive spread compared to leveraged loans. coming quarters.

For more information on Middle Market Direct Lending, visit angelogordon.com/strategies/credit/middle-market-direct-lending/.

17 Return to Table of Contents CREDIT

Merger Arbitrage Merger arbitrage spreads ended the first quarter with Merger arbitrage continues to prove itself as a steady an average gross spread of 8%, which is 1,500 basis strategy capable of weathering even the most severe market points tighter than the widest levels seen in mid-March. dislocations. It is important to remember that historically, This compares to the average gross spread of 4% at the over 95% of announced mergers and acquisitions have beginning of 2020—a multi-year low. What began as an closed. Looking back at the global financial crisis (GFC), only equity market sell-off quickly turned into a credit crunch. 3.5% of announced deals were terminated by the acquirer Merger arbitrage investors pay very close attention to and/or financing banks—an astonishingly low percentage the credit market that is used to finance M&A; however, given the circumstances. Also accounting for transactions it was non-arbitrage selling, quant arbitrage unwinding, that were terminated due to regulatory issues or target forced de-leveraging, and a few fund liquidations—instead company shareholder opposition, 94% of announced of specific deal and financing concerns—that caused deals during April 2007 through December 2010 closed. spreads to widen rapidly over a one-week period. Although While it is difficult to draw parallels between the GFC and spreads abruptly widened, they quickly snapped backed the COVID-19 pandemic, it is worth mentioning that the as several deals closed in the last four trading days of the M&A landscape has included far fewer LBOs in recent MERG: 59 first quarter, restoring a level of calmness to the merger years, with those still executedIn Progress being smaller Readyin size for and Review Approved arbitrage community. The days of the “set it and forget it” having significantly larger equity checks than those of the strategy deployed by some arbitrage investors are over, GFC-era. Merger agreements and debt commitment letters and we believe active managers will now be rewarded for are more robust and tighter today than they were in 2008. their ability to assess the idiosyncratic aspects of individual Additionally, the health and outcome of the banks who deals. finance the debt portion of M&A deals are not in question this time around.

Quarterly North America M&A Volume vs. S&P 500 and Consumer Confidence $ Billions Normalized at 100 - March 2010 $700 300 Quarterly M&A Volume (LHS) $600 S&P 500 (RHS) 250 Conference Board Consumer Confidence (RHS)

$500 200

$400 150 $300

100 $200

50 $100

$0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Source: Bloomberg. First quarter deal volume was significantly below average, as deal activity was halted in March.

First quarter deal volume was significantly below average, as deal activity was halted in March. Mark Wojtusiak Head of Merger Arbitrage

For more information on Merger Arbitrage, visit angelogordon.com/strategies/multi-strategy/arbitrage/merger-arbitrage/.

18 Return to Table of Contents CREDIT

Convertible Arbitrage The first quarter of 2020 was one of the worst in history for the year before the crisis set in. The U.S. primary market most equity markets around the world, as affected countries recorded $12.9 billion of new convertibles, followed by responded to the COVID-19 pandemic by effectively Europe at $4.2 billion and Asia excluding Japan at $4 billion, shutting down their economies. The scale of the economic while Japan remained quiet. and societal disruption caused by nationwide lockdowns was unprecedented in peacetime. Against this backdrop, Convertible bond valuations declined from stretched levels the MSCI World Index lost 20.49% in local currency terms as credit market dislocations fed through and liquidity during the first quarter. Volatility spiked sharply, with the VIX quickly evaporated. Long-only mandates faced redemption Index, for example, surging above 80 in March. The distress levels not seen since 2011, which forced sellers into an extended into almost all asset classes. Oil was particularly increasingly illiquid market. However, the primary market hard hit, with WTI declining 66.5% in the first quarter. was quick to reopen, and we are seeing good value on Convertible bonds were no exception, and the ICE BofA offer from high-quality issuers. Volatility will remain elevated, Global 300 Convertible Index—a performance indicator in our view, as markets cautiously observe the course of for long-only strategies—dropped 10.55%. Convertible the pandemic, assess initial steps to relax lockdowns, and evaluate the implementation and unintended consequences CONV: 515 arbitrageCONV: strategies 519 fared somewhat better, with the HFRX In Progress Ready for Review Approved In Progress Ready for Review Approved Relative Value Fixed Income Convertible Arbitrage Index of the unprecedented monetary and fiscal policy responses losing 5.75% in the first quarter. that central banks and governments have launched to mitigate the economic fallout. Convertible primary market activity unsurprisingly slowed down amidst the rising volatility. However, first quarter deal volume still reached a respectable $21.4 billion, almost in- line with the first quarter of 2019, due to a strong start to

Annual Convertible Issuance by Region Market Size by Region $ Billions $ Billions $180 $600 167 Japan 159 163 Japan Asia $160 Asia $500 Europe Europe $140 U.S. U.S. $120 112 $400 101 96 98 $100 93 93 89 83 85 81 85 85 $300 76 77 $80 72 75 63 55 $60 47 $200 $40 21 $100 $20

$0 $0 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20Q1 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 ‘20 Source: Bank of America Merrill Lynch. Source: Bank of America Merrill Lynch. The primary market reopened very quickly in March. The global convertible market cap remains above $300 billion.

The primary market reopened very quickly in March. The global convertible market cap remains above $300 billion. Gary Wolf Head of Convertible Arbitrage

For more information on Convertible Arbitrage, visit angelogordon.com/strategies/multi-strategy/arbitrage/convertible-arbitrage/.

19 Return to Table of Contents REAL ESTATE

U.S. Real Estate Commercial property transactions in the first quarter were action, which—while generally supportive for commercial higher by 11% year-over-year, though most of the deals real estate long term—is currently a second order input. closed were the result of agreements entered in prior With a broad slowing of economic activity, fundamentals quarters. Leading indicators suggest transactions came to will soften, to varying degrees, across property types and a near standstill in mid-March, and recovery is not expected geographies. The recent slowing of supply growth won’t to begin until COVID-19-related state lockdowns are lifted. provide much buffer, but new supply will stall quickly, which When transactions resume, entity-level and portfolio sales, should be of some assistance once the economy begins excluding loan portfolios, are likely to recover slowly—at to heal. least initially—as surgical underwriting will be favored over broad underwriting assumptions and deals dependent on On the valuation front, the Green Street Commercial access to debt in large scale. Property Price Index declined 1.4% over the last three months, primarily driven by lower values for lodging, The concerning trend in international capital flows that senior housing, and malls. The REIT market posted sharp existed prior to the pandemic is likely to muddle any broader declines in company valuations that imply significantly recovery in sales volume. Cross-border capital represented larger corrections in property valuations are coming. Listed only 9% of 2019 volume versus the trailing 4-year average REITs ended the quarter at a discount to NAV of 22%, while of 15.25%, and with a contagion fresh in investors’ minds, the core sectors of apartment, industrial, retail, and office a home bias will likely persist. Also of note was the industrial were priced at a 41% discount, though NAV revisions are sector surpassing the apartment sector and emerging as probable. Green Street Advisor’s model, which tracks the the most traded asset class in 2020. This trend will likely relative value relationship between real estate and fixed endure, as one of the longer-term impacts of the current income (investment grade and high yield), pegged real crisis will be the continued evolution and adoption of estate at about 19% overvalued. On the debt side, lenders US RE: 32 logistics, causing the asset class to remain sought after. have tightened standards, loweringIn Progress LTVs andReady increasing for Review Approved In contrast, lodging transactions and prices were already spreads, and many are effectively on the sidelines. shrinking, and we expect that to continue as risk premiums expand to encompass a broad set of concerns. The initial sharp decline in employment and economic indicators prompted the Federal Reserve to take emergency

Commercial Real Estate Price Indices Index 180 Moody's/RCA CPPI - Major Markets (all trades over $2.5M) 160 Moody's/RCA CPPI - Non-Major Markets (all trades over $2.5M) 140 Green Street CPPI (proxy for core assets)

120

100

80

60

40

20 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Note: For this chart, Green Street CPPI was indexed to 100 at it's 2007 peak (Aug 2007) and Moody’s CPPI was indexed at 100 in Dec 2006. Major markets include Boston, Chicago, Washington D.C. Metro, Los Angeles Metro, New York City Metro, and San Francisco Metro. Sources: Moody’s CPPI = Moody’s/RCA All Property Types; Green Street CPPI = Major Sectors; Sources: Moody’s – Commercial Property Price Index (Moody’s CPPI) (data through May ‘19), Green Street Advisors – Commercial Property Price Index (Green St CPPI); (data through May ’19).

Across the major sectors, apartments led price growth in Q1, while office, industrial, and strip retail grew modestly. Malls continued their sharp decline.

Across the major sectors, apartments led price growth20 in Q1, while office, industrial, andReturn strip to retailTable of grew Contents modestly. Malls continued their sharp decline. US RE: 406 US RE: 930 In Progress Ready for Review Approved In Progress Ready for Review Approved

REAL ESTATE

U.S. Real Estate (continued)

Unlevered Total Return Expectations on Public-Private Price Divergence Signals Real Estate vs. Corporate Bond Yields Decline in Property Prices 22% 50% Real Estate IRRs U.S. REITs Baa Corporates 40% 14% Average U.S. Premium / Discount High Yield Bond 30% 12% 20% 10% 10% 8% 0% 6% (10%)

4% (20%)

2% (30%) US RE: 931 In Progress Ready for Review Approved 0% (40%) '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 (50%) Note: Real Estate IRRs is an equal-weighted average of the asset-weighted averages for the five major property sectors (apartment, industrial, mall, office, and strip center). '90 '95 '00 '05 '10 '15 '20 Source: Green Street Advisors (Jun ‘19), Moody’s (Baa Corporates), BAML (High Yield Bonds). Source: Green Street Advisors. Unlevered real estate has historically offered a return between Discounts and premiums to net asset values—underlying­ investment grade and high yield bonds. Real estate ended property values—are typically leading indicators of changes the quarter overpriced on a relative basis compared to debt. in real asset values in the private markets.

Unlevered real estate has historicallySupply byoffered Sector a return betweenDiscounts investment and premiums grade andto net high asset yield values bonds. – underlying property values – are typically leading Real estate ended the quarter overpriced on a relative basisindicators compared of changes to debt. in real asset values in the private markets. 12.3%6.0% 95-'09 19-'20 5.0% 21-'23

4.0%

3.0%

2.0%

1.0%

0.0% Apt Ind Mall Office Strip Lodging Man Home Sr Housing Storage Student Note: Shaded area represents new supply from anchor closures. Strip retail faces similar dynamic. Estimates are not shown because impact has not been quantified. Source: Green Street Advisors.

Supply estimates are likely to be revised materially lower.

Adam Schwartz Reid Liffmann Supply estimatesPortfolio Managerare likely to be revised materially lower.Co-Portfolio Manager Head of Real Estate U.S. Real Estate

For more information on U.S. Real Estate, visit angelogordon.com/strategies/real-estate/u-s-real-estate/.

21 Return to Table of Contents REAL ESTATE

Europe Real Estate The COVID-19 pandemic has brought the European already pursuing legal action against retail tenants that economy to a halt. Business survey data across Europe have failed to pay rent, while other landlords are offering has collapsed, and the labor markets are unravelling. rent holidays to their hardest-hit tenants. Office, multifamily, Even with government sponsored programs to assist and industrial/logistics properties will likely fare better in the those affected by the economic shock, unemployment near term; however, these sectors are all interconnected. is increasing rapidly, and there are predictions that the Retailers accounted for the significant majority of UK eurozone unemployment rate will more than double in logistics take-up in 2019. Reduced consumer spending, the coming months to 15%. Spain, one of the continent’s rising unemployment, corporate insolvencies, and supply hardest hit countries, saw its GDP contract 3% quarter- chain disruptions will have an impact on demand across over-quarter in the first quarter. Additionally, Spanish all sectors, with repercussions already being felt in the unemployment rose from 13.8% in February to over 15% real estate financing market. Consistent data showing in March. Air travel across the continent has plummeted, the impact to real estate is not yet available, but CBRE with London’s Heathrow Airport expecting the number of produced an initial report that suggests values fell by 3% passengers coming through its terminals to fall more than across UK commercial properties and total returns were 90% in April and other major European airports reporting down 2.6%. The heightened uncertainty and stay-at-home similar drops. Capital Economics estimates that economic orders have—not surprisingly—slowed transaction volume activity will likely be 25% below fourth quarter 2019 levels as well. Colliers reported that investment volume in the City for the duration of the lockdown. Each 1% drop in GDP of London was down 25% year-over-year in the first quarter, could result in an additional 250 corporate insolvencies per and Cushman & Wakefield reported that the first quarter of quarter, a harrowing consequence of this unprecedented 2020 was the weakest quarter for UK commercial property slowdown. While there will eventually be an end to this sales in seven years. Europe RE: 549 health crisis,Europe it is unclear RE: 550 how quickly the economy will be In Progress Ready for Review Approved In Progress Ready for Review Approved able to recover. The pandemic is expected to impact demand across all real estate sectors, with hospitality and retail properties suffering the immediate effects most acutely in light of travel restrictions, forced closures, and quarantine measures. The Financial Times reported that some UK landlords are

Spain Employment (Social Security Flight Departures in Largest Airports in Major Registration) Eurozone Economies Millions 700 19.6 Charles de Gaulle 600 Frankfurt Am Main 19.4 Adolfo Suárez Madrid – Barajas Fiumicino/ Leonardo da Vinci - Rome 19.2 500 19.0 400 18.8

18.6 300

18.4 200 18.2 100 18.0

17.8 0 Dec '19 Jan '20 Feb '20 Mar '20 Mar 04 '20 Mar 12 '20 Mar 20 '20 Mar 28 '20 Apr 05 '20

Source: Spanish Ministry of Labour. Source: https://www.flightradar24.com/data/airports/mad/statistics. Spanish employment levels plummeted in March. Airport traffic across major European airports has fallen to historic lows.

Spanish employment levels plummeted in March. Airport traffic across major22 European airports has fallen to historicReturn to lows. Table of Contents Europe RE: 551 In Progress Ready for Review Approved

REAL ESTATE

Europe Real Estate (continued)

UK GDP & Insolvencies Business Insolvencies GDP Y-o-Y 8,000 8.0% Business Insolvencies (per quarter; LHS) GDP (Y-o-Y; RHS) 7,000 6.0%

6,000 4.0%

5,000 2.0%

4,000 0.0%

3,000 (2.0%)

2,000 (4.0%) In Progress Ready for Review Approved Europe RE: 552 1,000 (6.0%)

0 (8.0%) 1977 1980 1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 2016 2019

Sources: Refinitiv, Capital Economics.

Even small drops in GDP growth can lead to severe corporate solvency issues.

EvenUK Share small of drops Logistics in GDP Take growth-Up canin 2019 lead to severe corporate solvency issues. 45%

40%

35%

30%

25%

20%

15%

10%

5%

0% Retail 3PL Motor Industry Manufacturing Food Industry Other

Source: CBRE. Logistics properties have held up relatively well so far, but struggles in the retail sector will likely cause strain.

Anuj Mittal Logistics propertiesCo-Portfolio haveManager held up relatively well so far, but struggles in the retail sector will likely cause strain. Europe Real Estate

For more information on Europe Real Estate, visit angelogordon.com/strategies/real-estate/europe-real-estate/.

23 Return to Table of Contents REAL ESTATE

Asia Real Estate China Hong Kong In 2019, China’s economy grew 6.1% year-over-year, Last year, Hong Kong’s headlines were dominated by the the slowest since 1991 but in-line with the Chinese ongoing social unrest triggered by the recent extradition law. government’s target of 6.0-6.5%. Last year, U.S–China The situation became less contentious after the Legislative trade tensions, slowing exports, and industrial output Council election in September; however, uncertainties growth weighed on the economy. This was countered continue to linger. Now, with the COVID-19 outbreak, we with a domestic stimulus program, in the form of individual expect further pressure on the local economy and the real income tax and value-added tax cuts worth RMB 2 trillion estate sector. as well as local infrastructure investments, which helped to stabilize the economy. However, given the impacts of In 2019, Hong Kong’s GDP declined by 1.2%, the first full- COVID-19 and the related slowdown in many parts of the year negative growth since 2009. Unemployment edged country, we expect slower economic growth in 2020. up to 3.3% from the historical low of 2.8%, and this could possibly rise further due to the impact of COVID-19. With At year-end, trade tensions continued to affect the office social unrest calming towards year-end, residential unit leasing market in Beijing and Shanghai, resulting in a transaction volume recovered in the fourth quarter and full- softer leasing environment. Year-over-year, office rents in year volume dropped by a modest 1.9% year-over-year, Shanghai’s Puxi and Pudong central business districts fell with prices still up 5.4% year-over-year. The commercial by 1.6% and 9.9%, respectively, though vacancy improved investment market continued to be anemic in 2019—down to 12% and 8.4%, respectively. In Beijing, office market 63% year-over-year—and we expect that to persist during performance varied by submarket. Finance Street and this health crisis in 2020. As of year-end, Hong Kong’s office Zhongguancun—where the major tenants are domestic vacancy was 4.8% and rents declined 4.7% year-over-year. finance firms and tech companies—continued to perform We expect to see further deterioration of fundamentals in ASR-C: 39 ASR-C: 103 In Progress Ready for Review Approved In Progress Ready for Review Approved well, with vacancy levels of 1% to 2%. In other Beijing the first half of 2020 as tenants hold off on committing to markets, office vacancy increased, and rents softened as relocations or expansions in this time of uncertainty. a result of new supply and weaker leasing demand. Going forward, there will be very limited new office supply in Beijing Looking forward over the next few quarters, given the as there is a moratorium on new office construction within volatility of the political situation and COVID-19 fears, we Beijing’s 5th Ring Road. expect that Hong Kong will be a difficult market, with leasing demand and transaction volumes declining as tenants and buyers take a wait-and-see attitude.

China GDP Growth Rate USD vs. CNY Y-o-Y ¥ 7.0% 7.2

6.8% 7.0 6.6%

6.4% 6.8 6.2%

(6.0%)6.0% 6.6

(6.2%) 6.4 (6.4%)

(6.6%) 6.2 (6.8%)

(7.0%) 6.0 '17 '18 '19 '20 2016 2017 2018 2019 2020

Source: National Bureau of Statistics of China. Source: Bloomberg. As expected, China’s first quarter GDP growth fell CNY continued to show weakness against USD in Q1 dramatically to -6.8% due to COVID-19. 2020.

As expected, China’s first quarter GDP growth fell dramaticallyCNY continued to -6.8% to due show to COVID weakness24 -19. against USD in Q1 2020.Return to Table of Contents REAL ESTATE

Asia Real Estate (continued) Japan In the final quarter of 2019, Japan’s real GDP shrunk at an Logistics demand also remained strong, as the third-party annualized pace of 6.3%, driven by declines in consumer logistics and e-commerce markets continued to grow. As spending following the consumption tax hike from 8% to rents increase in prime areas, demand is also creeping 10%. In December, the Japanese government announced outward to more affordable sites in less established a new ¥26 trillion ($239 billion) stimulus package—one of industrial submarkets. Investor interest in the sector the largest in recent history. Considering the COVID-19 continues to grow, from both domestic and overseas outbreak, the government began planning for possible buyers. While cap rates have approached or fallen below additional measures to underpin economic stability, 4.0% for assets in prime areas of Greater Tokyo, we are including financial support to corporates facing cash now seeing high-quality facilities in less desirable locations flow shortages. The Bank of Japan also announced that trade at similar cap rate levels as buyers chase a limited it will take necessary steps to stabilize markets, growing number of investment opportunities. Again, despite the expectations that fiscal policy will be further loosened. COVID-19 outbreak, we continued to see stabilized assets trade late into the first quarter of 2020. Given the uncertainties around the current COVID-19 outbreak, it is possible that we will see a slowing of tenant While investor appetite for Japan real estate continues demand, particularly in retail; however, Japan appeared to in 2020, the current COVID-19 situation could dampen be relatively unscathed as of mid-April. Japan’s office market that interest and/or encourage a flight to quality in office, fundamentals continued to be positive as tenants competed logistics, and residential assets. We may also see some for limited available space. As of year-end, strong tenant distressed opportunities arise in the hospitality sector, demand pushed Grade A office vacancy down to 0.5% in which has been hard hit by the sudden decline in foreign Tokyo and 0.2% in Osaka, and we continued to see leasing and domestic tourism as well as the postponement of the ASR-J: 41 In Progress Ready for Review Approved interest at our office properties in early 2020 despite global 2020 Tokyo Olympics. COVID-19 concerns. Vacancy levels for Grade B properties have also remained at 0.7% in Tokyo and 0.5% in Osaka. Much of the strong demand is attributed to companies upgrading workplaces in order to attract workers in a very tight labor market.

Tokyo's 23 Wards Grade A & B Office Rent And Vacancy JPY/tsubo/mon 70,000 14% Grade A Average Assumed Achievable Rent (LHS) 60,000 Grade B Average Assumed Achievable Rent (LHS) 12% Grade A Vacancy rate (RHS) Grade B Vacancy rate (RHS) 50,000 10%

40,000 8%

30,000 6%

20,000 4%

10,000 2%

0 0% '05 '07 '09 '11 '13 '15 '17 '19 Note: One tsubo is equal to approximately 3.3 square meters. Source: CBRE (September 2019). Office occupancy and rent fundamentals were strong through the end of 2019. Early indicators in Q1 2020 show that the office sector has not been significantly impacted by COVID-19, although there is typically a lag.

Office occupancy and rent fundamentals were strong25 through the end of 2019. Early indicatorsReturn to Table in Q1 of Contents 2020 show that the office sector has not been significantly impacted by COVID-19, although there is typically a lag. ASR-J: 43 In Progress Ready for Review Approved

REAL ESTATE

Asia Real Estate (continued)

Tokyo Grade A Office Cap Rates vs. Borrowing Costs bps 7.5% 600 Spread (RHS) 6.5% 10-year Japanese Government Bond Yield (LHS) Grade A Office Building in Central Tokyo (LHS) 500 5.5% 400 4.5%

3.5% 300

2.5% 200 ASR-J: 44 1.5% In Progress Ready for Review Approved 100 0.5%

(0.5%) 0 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19

Source: Japan Real Estate Institute. Cap rate spreads widened by 10 basis points in the last quarter of 2019 to 361 basis points.

Japanese Real Estate Investment Trust (J-REIT) Index And Dividend Yield CapNormalized rate at spreads 100 - September widened 2001 by 10 basis points in the last quarter of 2019 to 361 basis points. 250 4.3% Index Value (LHS) Expected Dividend Yield (RHS) 230 4.1%

210 3.9%

190 3.7%

170 3.5%

150 3.3% Aug '17 Nov '17 Feb '18 May '18 Aug '18 Nov '18 Feb '19 May '19 Aug '19 Nov '19 Feb '20

Source: Sumitomo Mitsui Trust Research Institute Co. The J-REIT index fell precipitously alongside global equity declines.

The J-REIT index fell precipitously alongside global equity declines.

26 Return to Table of Contents REAL ESTATE

Asia Real Estate (continued) South Korea In 2019, South Korea’s economy grew 2.0%, in-line with the forecast from the Bank of Korea (BoK). As expected, the BoK forecasts for 2020 are much dimmer, stemming from the impact of the COVID-19 outbreak. At year-end, the spread between prime office cap rates and Korean government bond yields (i.e., 5-year treasury bonds) remained at 290 basis points, which is above the 10-year average of approximately 250 basis points. As of mid-March 2020, the 5-year treasury bond yield had fallen 20-25 basis points due to the COVID-19 outbreak, but there have been no office transactions to gauge the outbreak’s effect on cap rates. Investment activity in the commercial office sector was robust in 2019 at $10 billion; however, we expect 2020 to be much slower. Prime office vacancy in Seoul’s major business districts declined by nearly 2 percentage points to 7.7% in 2019, the lowest in ten years, but leasing may also slow given current COVID-19 concerns.

ASR-SK: 45 In Progress Ready for Review Approved

Seoul Office Vacancy Rate 16%

14%

12%

10%

8%

6%

4%

2%

0% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Source: Jones Lang Lasalle Research. Office absorption continued to increase, driving vacancy levels down to the lowest point in a decade.

Office absorption continued increase, driving vacancy27 levels down to the lowest point inReturn a decade. to Table of Contents ASR-SK: 46 In Progress Ready for Review Approved

REAL ESTATE

Asia Real Estate (continued)

Seoul Prime Office Cap Rate and Spread Over 5-Year Treasury Yield bps 10% 900 Spread (RHS) 9% Cap Rate (LHS) 800 5-Year Treasury Bond (LHS) 8% 700 7% 600 6% 500 5% 400 4% 300 3% In Progress Ready for Review Approved ASR-SK: 48 2% 200

1% 100

0% 0 2005 2007 2009 2011 2013 2015 2017 2019 Note: 5-year treasury is average for quarter. Source: Savills Research. Cap rate spreads edged down slightly to 310 basis points as Korean treasury yields increased.

Korea GDP Growth Cap rate spreads edged down slightly to 310 basis points as Korean treasury yields increased. Y-o-Y 10.0%

8.0%

6.0%

4.0%

2.0%

0.0%

-2.0%

-4.0% 2003 2005 2007 2009 2011 2013 2015 2017 2019

Source: Bank of Korea. GDP is expected to remain sluggish and is likely to turn negative in 2020 due to COVID-19.

GDP is expectedWilson Leungto remain sluggish and is likely to turnSteven negative Cha in 2020 due to COVID-19. Portfolio Manager Co-Portfolio Manager Head of Asia Real Estate Asia Real Estate

For more information on Asia Real Estate, visit angelogordon.com/strategies/real-estate/asia-real-estate/.

28 Return to Table of Contents REAL ESTATE

Net Lease Real Estate As of the first quarter of 2020, the trailing 12-month Real estate buyers and lenders with available capital will U.S. single-tenant transaction volume totaled $78 billion, remain selective but will continue to close transactions. according to Real Capital Analytics (RCA). COVID-19 may have impacted volume in the last few weeks of the first quarter, but overall volume was up modestly compared to the fourth quarter of 2019. Cap rates told a similar story as volume in the first quarter, with industrial and office cap rates tightening slightly and retail remaining flat. The longer- term effects of COVID-19 remain to be seen, but near-term results are starting to unfold. Looking to public REITS, those with retail and entertainment exposure appear to have a larger percentage of tenants requesting rent relief or deferral than those with more office and industrial exposure. For example, single-tenant net lease REITs Spirit Realty NET: 66 Capital NET:(SRC) 67and Essential Properties (EPRT) reported In Progress Ready for Review Approved In Progress Ready for Review Approved rent deferral requests equal to 42% and 47% of in-place rents, respectively, compared to more industrial- and office- focused Lexington Realty Trust (LXP) and Stag Industrial (STAG), which both reported deferral requests of less than 5%. Post-COVID-19, we expect to see an increase in sale- leaseback volume from tenants that need to raise capital.

Average Single-Tenant Cap Rates 12-Month Rolling Single-Tenant Deal Volume 9.0% $ Billions U.S. Single-Tenant Office $40 U.S. Single-Tenant Industrial 8.5% U.S. Single-Tenant Retail $35

8.0% $30

7.5% $25

$20 7.0% $15 6.5% $10 U.S. Single-Tenant Office 6.0% $5 U.S. Single-Tenant Industrial U.S. Single-Tenant Retail 5.5% $0 Q1 '06 Q1 '08 Q1 '10 Q1 '12 Q1 '14 Q1 '16 Q1 '18 Q1 '20 Q1 '06 Q1 '08 Q1 '10 Q1 '12 Q1 '14 Q1 '16 Q1 '18 Q1 '20

Source: Real Capital Analytics. Source: Real Capital Analytics. Cap rates remained fairly flat in Q1 2020. After growing substantially for most of 2019, single-tenant volume remained fairly flat in Q4 2019 and Q1 2020.

Cap rates remained fairly flat in Q1 2020. After growing substantially for most of 2019, single-tenant volume remained fairly flat in Q4 2019 and Q1 Gordon Whiting Portfolio Manager 2020.

For more information on Net Lease Real Estate, visit angelogordon.com/strategies/real-estate/net-lease-re/.

29 Return to Table of Contents PRIVATE EQUITY

Private Equity First quarter activity cannot adequately demonstrate the for the overwhelming majority of portfolio companies will profound effect the COVID-19 pandemic will have on undoubtedly be materially lower, resulting in covenant private equity going forward, though we will provide a defaults with lenders. Furthermore, companies will be review for the sake of completeness. First quarter 2020 suffering liquidity constraints, despite government efforts deal volume, on both a global and North American basis, to provide capital. From a capital deployment perspective, decreased year-over-year. In North America, there were private equity managers will therefore be principally focused $53 billion of transactions in the first quarter of 2020, as on a two-pronged approach of shoring up their existing compared to $74 billion in the first quarter of 2019—a portfolios by providing equity infusions and opportunistically year-over-year decrease of 28%. Global deal volume in the considering situations where capital can help stabilize first three months of 2020 decreased 15% year-over-year companies not in their portfolios; as a result, traditional deal to $96 billion. Dry powder at March 31st declined 1% to volume will be down considerably for the time being. At $753 billion­—down from the all-time high of $759 billion present, lenders will likely prioritize current portfolio credits at December 31, 2019. Average multiples paid in the first and those borrower needs—including but not limited quarter of 2020 were strong at 11.2x EBITDA, consistent to add-on acquisitions and working capital lines—over with the 11.5x level achieved in calendar 2019. Average increasing exposure to new borrowers. A risk-off lender leverage for buyouts in the first three months of 2020 was mentality will contribute to the aforementioned decline in 5.3x multiple of EBITDA, which is lower than the 5.8x we deal volume and translate into future leverage levels being have seen over the prior three years. Equity contribution more moderate than those before COVID-19. as a percentage of total capitalization was at 47%, which is higher than prior years. In the first quarter of 2020, the In the near term, all of these factors will result in lower number of exits decreased approximately 25% year-over- multiples paid, and exits – in terms of volume and dollars— year, with dollar volume decreasing approximately 33.6%. will decrease significantly, as public and private markets PE: 28 PE: 28B In Progressneed stability andReady time for toReview recover. Approved In Progress Ready for Review Approved As noted before, the global economic destruction resulting from this pandemic will certainly have a significant and long-lasting impact on the private equity industry. With many industries effectively shut down, near-term GDP declines are being projected and U.S. unemployment is at levels not seen since the Great Depression. Earnings

Global LBO Deal Value North America LBO Deal Value $ Billions $ Billions $800 $500

$700 $450 $400 $600 EMC/ $350 EMC/ $500 Kraft $300 Kraft $107 $107 $400 $250

$300 $200 $150 $200 $100 $100 $50

$0 $0 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 Q1 Q1 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 Q1 Q1 ‘19 ‘20 ‘19 ‘20 Source: Preqin. Source: Preqin. For the first three months of 2020, year-over-year deal volume decreased 28% in North America and 15% globally.

For the first three months of 2020, year-over-year deal volumeSame asdecreased 28 28% in 30North America and Return to Table of Contents 15% globally. PE: 29 PE: 105 In Progress Ready for Review Approved In Progress Ready for Review Approved

PRIVATE EQUITY

Private Equity (continued)

Global Private Equity Dry Powder Private Equity Exits $ Billions Number of Exits Value of Exits ($ Billions) $2,500 2,400 $600 Sale to Strategic (LHS) All Other PE Sale to Sponsor (LHS) IPO (LHS) Buyout 2,000 $500 $2,000 Aggregate Exit Value (RHS)

1,600 $400 $1,500

1,200 $300 $1,000 800 $200

$500 PE: 30 400 In Progress Ready$100 for Review Approved

$0 '04 '06 '08 '10 '12 '14 '16 '18 '20 0 $0 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 Q1 Q1 Note: All other PE Funds = Real Estate, Venture, Infrastructure, Growth, Distressed, '19 '20 Mezzanine, Other. Note: Sale to Sponsor includes management-led buyouts. Source: Preqin. Source: Preqin. Buyout dry powder at March 31, 2020 stood at $752 The first three months of 2020 were weaker year-over- billion­—a modest 1% decline from the all-time record of year, with the number of exits decreasing 25% and dollar $759 billion at December 31, 2019. volume down 33.6%.

Buyout dry powder at March 31,LBO 2020 Purchase stood at Price $752 Breakdown billionThe – firsta modest three months 1% decline of 2020 from were the allweaker-time year-over-year, with the number of exits decreasing 25% record of $759 billion at December 31, 2019. and dollar volume down 33.6%. 11.5x 12.0x 11.2x 10.7x 10.6x 10.3x 10.0x 9.7x 9.7x 10.0x 9.1x Equity / EBITDA 8.8x 8.7x 8.8x 8.4x 8.4x 8.5x Total Leverage 7.7x 8.0x 7.1x 7.3x 6.7x 6.6x 3.5x 6.0x 3.9x 4.5x 4.9x 4.8x 5.6x 3.0x 3.4x 4.5x 6.0x 3.1x 4.0x 3.7x 3.5x 5.9x 2.6x 3.8x 2.7x 2.8x 2.8x 3.8x 4.0x 2.4x 6.2x 5.8x 5.8x 5.8x 5.8x 5.9x 5.5x 5.3x 5.1x 5.1x 5.2x 5.4x 5.5x 5.3x 4.3x 4.7x 4.7x 2.0x 4.1x 3.6x 3.8x 3.9x

0.0x '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 Q1'20 ‘20 Equity Contribution 34% 35% 37% 35% 33% 30% 31% 31% 39% 46% 41% 38% 38% 36% 37% 40% 41% 41% 43% 46% 47%

Source: S&P Capital IQ LCD. LBO multiples in the first quarter of 2020 stood at 11.2x, which is high from a historical perspective.

Art Peponis LBO multiplesPortfolio in the Manager first quarter of 2020 stood at 11.2x, which is high from a historical perspective.

For more information on Private Equity, visit angelogordon.com/strategies/real-estate/global-real-estate/.

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