Credit Markets: Whats Next? Mark Attanasio Richard Cantor Joshua - PowerPoint PPT Presentation

European CLO: Munda CLO I CLO Tranche Overview  Managed by Munda Asset Management, Cohen & Issued December 2007 Company’s corporate credit asset management platform At-Issue Rating (Current Rating) Baa3/BBB- (Ba2/B+) in Europe € 88.05 Price  Cohen & Company has € 1.77 billion of assets in Europe, 7.3% (E+626bps) Yield to Worst (Discount Margin) mainly in CDOs and separately managed accounts E+375 bps Current Coupon  Reinvestment period end just ended in January and CLO 6.0 Years Average Life to Worst will begin to pay down senior debt at par January 2014 Reinvestment Period End Date July 2024 Legal Final Upside Return Scenarios Underlying CLO Portfolio Characteristics 17.6% 20.0% 92.5% / 38.4% 15.0% Underlying Portfolio Price / Ranking 15.0% 8.7% % Immediate Defaulted 7.3% 10.0% CLO Tranche Metrics 5.0% 103.0% Market Value Coverage 0.0% 111.3% Par Value Coverage Base Bear Yield to Maturity 17.8% 1 Yr Spread 1 Yr Spread Base Case X/X/5 Break Point Tightening Tightening 24.5% Forward 3/X/X/5 Break Point (E+338) (E+438) 29.3% Forward 3/5/X/X/5 Break Point 15.1% Bear Case X/X/5 Break Point

ABS CDO: Lakeside 2004-1A A-1 Opportunity to buy the 1st pay tranche of a seasoned high grade ABS CDO that is a very well protected, short duration bond. Investment Overview Investment Thesis  Attractive Return Profile: Price $93.5 – 18.5% return potential with attractive financing, offering positive convexity & levered exposure to hard-to-source seasoned senior / mezzanine subprime Risk Adjusted  High Margin of Safety against Defaults: 4.5% Yield (375bps DM) – 151% Market Value OC (“MVOC”) vs. 135% MVOC typical AAA CLO debt (Base Case) – Seasoned subprime asset performance has stabilized Weighted  Catalyst for Additional Total Return: 2.0yrs Average Life – Improving housing fundamentals; home price appreciation with potential for higher prepayments – Potential ratings upgrade on Class A-1 notes opens market to broader set of investors Total Return 18 - 22% Potential – Potential for asset sales resulting in faster pay down Transaction Overview Underlying Assets (% of Market Value) - $243.5 million Capital Class A-1 Structure 46.0% $141.5 23.0% 17.0% 14.0% $ Millions Class A-2 Seasoned Subprime Alt A TRUPS ABS CDO (2004 or earlier)

Mike Milken

Increase in U.S. Corporate Cash Balances US$ billions Q4 2007 Q1 2014 147 133 140 120 100 77 80 62 61 60 51 37 34 40 25 23 22 18 17 15 15 20 8 8 7 0 Apple GE Microsoft Google Cisco Oracle Pfizer Merck Chevron +854% +118% +229% +303% +127% +430% +32% +121% +113% Source: Bloomberg. Notes: Data are for cash and marketable securities. Some companies are as of Q4 2013.

Increase in Corporate Cash Balances 2005 to 2014 Cash holdings of publicly listed companies, percent of GDP Percent of GDP Q4 2005 Q1 2014 45% 38% 40% 36% 35% 35% 30% 25% 25% 19% 20% 17% 15% 14% 15% 10% 9% 8% 8% 8% 10% 8% 7% 7% 6% 7% 6% 6% 4% 4% 4% 3% 3% 5% 1% 0% China U.K. Japan France Spain Korea U.S. Brazil Germany Italy Russia India Mexico Source: Bloomberg and International Monetary Fund. Note: Includes cash and near cash items.

Japanese Companies’ Cash Stockpiles US$ billions 2007 2013 40 37 35 30 25 21 20 20 15 15 15 14 15 11 11 8 8 10 7 3 2 5 0 Toyota Softbank Rakuten Sony Mitsubishi Mitsui Honda Motor Source: Bloomberg.

Institutional investor base for non-investment grade loans Banks CLOs Hedge, distressed and Prime rates funds, financial high-yield funds and insurance companies 100% 80% 60% 40% 20% 0% Sources: S&P LCD / JPMorgan.

Wealth Generation January 2013-2014YTD Stock market performance by nation 40% 30% 20% 10% 0% Japan United Spain Switzerland France Germany Australia States Source: Bloomberg 4/15/14.

World stock market performance Source: Bloomberg, April 22, 2014.

World stock market performance Source: Bloomberg, April 22, 2014.

World stock market performance Source: Bloomberg, April 22, 2014.

Terms of Buying a Car 1981 2014 • 3-year loan • 5-year loan • $10,000 car • $25,000 car • 18% interest • 2.91% interest $796* monthly $728 monthly payment payment Source: Bankrate. Note: 2014 data represents national overnight averages for 60 month new car loan. * = 2012 dollars

Interest Rates and Buying a Car 1981 2014 • 3-year loan • 5-year loan • $25,000 car • $25,000 car • 18% interest • 2.91% interest $2,006* monthly $728 monthly payment payment Source: Bankrate. Note: 2014 data represents national overnight averages for 60 month new car loan. * = 2012 dollars

Dow Industrials: 1973-77 and 2008-14 DJIA, 1973-1979 DJIA, 2008-2014 1100 17000 1000 15000 900 13000 800 11000 700 9000 600 578 on Dec. 6, 1974 7000 6,547 on March 9, 2009 500 5000 3/28/2014

Equity market capitalization: 2009 to present Country 3/1/2009 4/15/2014 Increase U.S. (S&P 500) $6.6 T $16.9 T 155% U.K. (FTSE 100) $1.4 T $3.0 T 116% Japan (Nikkei 225) $1.6 T $2.6 T 58% Germany (DAX) $583 B $1.3 T 116% Mexico (Bolsa IPC) $115 B $337 B 193% Source: Bloomberg.

Many advanced economies are struggling with high debt and excessive leverage 204% Household Debt (% of GDP) 95% 95% 90% 81% 59% 58% Germany Italy U.S. South Korea Canada Australia U.K. Source: Federal Reserve Bank of St. Louis (2013). .

European Credit is a Bank Market Bonds and loans as a share of total corporate debt Bonds Loans 100% 80% 60% 40% 20% 0% Spain Germany Ireland Portugal Italy France UK Sources: ECB

EU vs U.S. Total Banking System Assets (% of GDP)) 724% 723% 396% 338% 335% 309% 270% 220% 85% Data as of 2011. Sources: World Bank’s Financial Development and Structure.

Assets of the 4 Biggest Banks (% of GDP, 2013) 375% 313% 243% 241% 182% 181% 157% 122% 112% 65% Sources: Bankscope, IMF WEO, Milken Institute. U.S. ratio reflects IFRS accounting treatment for derivatives; under GAAP, the ratio is 47%.

Sovereign Debt Defaults Brazil Ecuador Greece Nigeria Russia Turkey Venezuela • 1828 • 1832 • 1982 • 1839 • 1826 • 1876 • 1826 • 1898 • 1868 • 1986 • 1885 • 1848 • 1915 • 1843 • 1902 • 1911 • 1992 • 1917 • 1860 • 1931 • 1852 • 1914 • 1914 • 2001 • 1918 • 1865 • 1940 • 1893 • 1931 • 1931 • 2004 • 1947 • 1892 • 1959 • 1932 • 1937 • 1982 • 1957 • 1898 • 1965 • 2011 • 1961 • 1999 • 1991 • 1983 • 1978 • 1964 • 2008 • 1998 • 1990 • 1982 • 1983 • 1995 • 2000 • 1986 • 1998 • 1990 • 2004 Sources : This Time is Different Chartbook: Country Histories on Debt, Default, and Financial Crises, Carmen M. Reinhart / Milken Institute

U.S. vs. Europe high yield debt markets Issuance, US$ billions Europe U.S. 400 336 329 350 300 264 250 224 200 147 148 136 128 150 89 100 66 61 56 43 41 39 50 7 0 2006 2007 2008 2009 2010 2011 2012 2013 Source: SIFMA. Note: Data as of Q3 2013. Europe includes Western and Eastern Europe.

Historical Growth of U.S. High-Yield Market US$ trillions 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 1972 1976 1980 1984 1988 1992 1997 2001 2005 2009 2013 Sources: Edward Altman; FitchRatings

High-Yield Bonds vs. Inflation and Treasuries Index, December 1979 = 100 2,500 High Yield 2,000 1,500 1,000 Treasuries 500 Inflation 0 1979 1984 1988 1992 1996 2000 2004 2009 2013 March 31, 2014.

High-Yield Annual Returns 2004 - 2014 Percent 60 40 20 0 -20 -40 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 YTD Sources: Bank of America; Merrill Lynch, March 23, 2012

Milken Institute

Global corporate bond issuance US$ trillions 5.0 4.0 3.0 2.0 1.0 0.0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Source: Bloomberg.

Global high-yield corporate bond issuance US$ billions 600 500 400 300 200 100 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Source: Bloomberg.

Global high-yield bond market has surpassed $2 trillion Market value, US$ trillions 2 1.6 1.2 0.8 0.4 0 Source: BofA Merrill Lynch Global High-Yield.

U.S. high-yield bond market Market value US$ trillions 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 1971 1975 1979 1983 1987 1991 1996 2000 2004 2008 2012 Source: Edward Altman; BofA Merrill Lynch U.S. High-Yield Master II Index (market value); data as of April 2014.

Global real short-term interest rates 3-month real interest rate, percent 5 4 3 2 1 0 -1 -2 -3 1996 1998 2000 2002 2004 2006 2008 2010 2012 2013 Q4 Source: Datastream, IMF, Milken Institute. Note: 3-month interest rates: Canada, China, France, Germany, Italy, Japan, United Kingdom, United States; Weighted by GDP.

Real short-term interest rates Percent Percent China Japan U.S. Eurozone UK 12 10 8 6 4 2 0 -2 -4 -6 1998 2002 2006 2010 Sources: Datastream, OECD Statistics, Oxford Economics.

Central bank assets BoE BoJ Fed ECB US$ trillions 10 8 6 4 2 0 2006 2007 2008 2009 2010 2011 2012 2013 Source: Datastream.

Central bank target interest rates in advanced countries remain low Policy rate, percent 6 United Kingdom 5 4 3 Eurozone United States 2 Japan 1 0 2007 2008 2009 2010 2011 2012 2013 2014 Source: Bloomberg.

Seven-year asset class real return forecasts As of April 2013 Percent 5.4 6 4.3 5 4 2.5 3 2.1 2 1 0.7 0.5 0.3 1 0 -1 -0.4 -2 -1.3 -3 -2.3 -4 -5 -5 -6 Timber Emerging Emerging U.S. high Int'l large Inflation U.S. Int'l Cash U.S. large Int'l U.S. small equity debt quality cap linked bonds small cap cap hedged cap equity equity bonds equity equity bonds equity Source: GMO.

10-year U.S. Treasury yield Percent 18 16 14 12 10 8 6 4 Average: 6.6 percent 2 0 1964 1971 1978 1985 1992 1999 2006 2013 Source: Bloomberg.

Long-term U.S. Treasury yields have dropped Treasury yield curves Percent 5 1/1/14 4 3 2 3/28/14 1 0 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y Source: Bloomberg.

Foreign holdings of U.S. Treasuries Three largest holders US$ billions 1,400 China 1,200 1,000 800 Japan 600 400 Belgium 200 0 2007 2008 2009 2010 2011 2012 2013 Source: Datastream.

Markets are pricing in lower sovereign yields in a year 10-year sovereign bonds 1 year forward rates, percent U.S. 3.5 3 U.K. 2.5 2 Eurozone 1.5 1 2012 2013 2014 Source: Bloomberg.

Total U.S. credit market debt US$ trillions 70 Debt/GDP Debt/GDP 60 (2013): 3.5+ (1950-1980): 1.5 50 Total credit market 40 debt outstanding 30 20 10 GDP 0 '45 '49 '53 '57 '61 '65 '69 '73 '77 '81 '85 '89 '93 '97 '01 '05 '09 '13 Source: Federal Reserve, BEA. Note: Total credit market debt includes that owed by domestic nonfinancial, the financial sectors, and the rest of the world.

U.S. corporate bond issuance Investment Grade High Yield Issuances, US$ trillions 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 YTD Source: SIFMA.

U.S. corporate bond average maturity extended Years 14 13 12 11 10 9 8 7 6 1996 1999 2002 2005 2008 2011 2014 Source: Bloomberg.

U.S. high-yield corporate bond yield Percent 25 20 15 10 5 0 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 Source: Bloomberg. Note: Bank of America Merrill Lynch U.S. HY Master II.

Corporate bond spreads near lows Corporate bond spreads over U.S. Treasuries Basis points 700 600 BBB rated 500 400 300 200 A rated 100 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Bloomberg.

IG corporate bond spreads: U.S. vs Eurozone Option-adjusted spreads, bps 325 275 225 U.S. IG 175 125 EUR IG 75 2010 2011 2012 2013 2014 Source: Bloomberg.

The premium paid for high-yield corporate bonds in U.S. and Eurozone Option-adjusted spreads, bps 750 650 550 U.S. IG-HY spread 450 350 250 EUR IG-HY spread 150 2010 2011 2012 2013 2014 Source: Bloomberg.

Default levels remain low Historic global single B default rates, percent 18 16 14 12 10 8 LT avg: 5.2% 6 4 10-yr avg: 1.9% 2 0 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 Sources: Bloomberg, Bond Vigilantes.

High-yield credit rating upgrades have outnumbered downgrades Ratio of credit rating upgrades to downgrades 4 3 Q4 2013: 1.2 2 LT average: 0.7 1 0 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Sources: Bloomberg, Datastream, JPMorgan, IIF.

Negative bias fell to a new low in Q4 2013 Proportion of high-yield companies with negative credit outlooks 50 45 40 35 30 25 Q4 2013: 12% 20 15 10 5 0 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Source: S&P.

Markets are pricing in further ECB easing 3-month Euribor futures Percent 4 Euribor 3M, 12/31/13 3 2 Euribor 3M, 3/28/14 1 0 2013 2014 2015 2016 2017 2018 2019 Source: Bloomberg.

German sovereign bond spreads have tightened Spread of 10-year Bunds over 2-year Bunds Bps 250 200 150 100 50 0 -50 2008 2010 2012 2014 Source: Bloomberg.

European peripheral sovereign default risks have fallen Sovereign 5-year credit default swap rates Index, 100=4/18/13 640 Portugal 540 440 340 Italy 240 140 Ireland Spain 40 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Source: Bloomberg.

Corporate default risks across the EU have fallen 5-year credit default swap rates Index, 100=1/18/13 120 110 100 90 80 Euro IG 70 60 Euro HY 50 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Source: Bloomberg. Note: The Markit iTraxx Europe index is composed of entities incorporated in the EU and EFTA member countries.

Nonbank direct loans to European companies increase Deal count Deal location 60 Rest of Europe 50 France 14% 25% Germany 40 11% 30 20 U.K. 50% 10 0 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Source: Deloitte.

Most European alternative lending deals are LBO-related Deal purpose, percent 50 U.K. 45 40 Euro 35 30 25 20 15 10 5 0 LBO Dividend recap Refinancing Bolt-on M&A Growth capital Source: Deloitte.

Unitranche is a popular structure for European direct lending Deal structure, percent 50 45 Euro 40 U.K. 35 30 25 20 15 10 5 0 Senior Unitranche Second lien Mezzanine PIK/other First lien Source: Deloitte. Note: “PIK” refers to payment in kind lending.

EM corporates are raising more international debt Outstanding, US$ billions 600 Latin America & Caribbean Asia & Pacific Europe Africa & Middle East 500 400 300 200 100 0 '93 '94 '95 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 Source: BIS. Note: Non-financial corporate international debt securities outstanding.

China’s debt is on the rise RMB trillions 60 Non-bank debt 50 40 Bank loans 30 20 10 0 -10 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Datastream. Note: “Non - bank debt” refers to entrusted loans, trust loans, bank acceptance, and corporate bond financing.

Decline in China’s NPL to total loans ratio RMB trillions 80 40 70 35 Total loans 60 30 50 25 Non-performing loans, percent of total 40 20 30 15 20 10 10 5 0 0 Sources: Economist, Bloomberg.

China relies on increasing domestic credit to support growth Percent of GDP Percent of GDP 140 12 Domestic credit to private sector 10 130 8 120 6 4 110 2 Current account balance 100 0 1997 2000 2003 2006 2009 2012 Source: World Bank.

China dim sum bond issuance By country US$ trillions 45 40 Other 35 Hong Kong 30 25 China 20 15 10 5 0 2011 2012 2013 2014 Source: Bloomberg.

CNYs onshore-offshore funding costs converge Percent 6.9 6.8 6.7 6.6 Onshore CNY 6.5 6.4 6.3 6.2 Offshore CYN 6.1 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 Source: Bloomberg.

Financial issuers have dominated the dim sum bond market Issuance, US$ billions 40 Other sectors 35 30 Financials 25 20 15 10 5 0 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Source: Bloomberg.

A bulk of total lending goes to support Chinese real estate Top 10 industries US$ billion Percent 70 25 60 20 Total loan tranche size (left) 50 15 40 Market share (right) 30 10 20 5 10 0 0 Source: Bloomberg. Note: “M&M” refers to metals and mining, and “ Govt ” refers to local and regional government. Only loans from ICBC, Bank of China, BoAg, BoCom, China Construction Bank, China Merchants, Minsheng, Everbright, and Citic are included.

China’s biggest maturing loans concentrated in real estate Percent of total expiring loans 70 64 60 50 42 41 40 30 19 17 20 14 10 5 0 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Source:

Importance of China’s property market to wider economy Property market, percent of each category 45 39 40 33 35 30 26 25 20 20 16 15 10 5 0 GDP Fixed asset Outstanding loans New loans Government investment revenues Source: Nomura.

Non-loan credit extension has accelerated substantially China, moving 12-month average RMB billions 18 16 Social financing 14 12 Alternative 10 financing 8 6 RMB loans 4 2 0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Sources: PBOC, Datastream.

Chinese banks’ wealth management products continue to rise Assets under management CNY billions 120 WMP 100 Deposits 80 60 40 20 0 Q3 2010 Q1 2011 Q3 2011 Q1 2012 Q3 2012 Q1 2013 Q3 2013 Sources: CEIC, Standard Chartered.

Lack of access to bank loans for small and medium-sized enterprises in China Percent Small and medium-sized enterprises Large enterprises 100 1 20 80 40 60 90 99 40 80 60 20 10 0 Proportion of GDP Proportion of Access to bank enterprises employees loans Sources: China Association of Small and Medium Enterprises, Milken Institute.

Puerto Rico bond yields 10-year municipal bond yields Percent Puerto Rico 12 10 8 B 6 4 2 A AA 0 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 Source: Bloomberg.

U.S. municipal bonds issuance Issuance, US$ billions 500 450 400 350 300 250 200 150 100 50 0 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 YTD Source: SIFMA.

U.S. municipal bond holdings Outstanding US$ trillions 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 Individuals Mutual Funds Banking Institutions Insurance Companies Other Source: SIFMA.

U.S. average municipal bond maturity Years 22 21 20 19 18 17 16 15 1996 1999 2002 2005 2008 2011 2014 Source: SIFMA.

Banks vs. non-bank banks G-20 countries Total assets, percent of GDP Non-bank banks Banks 1,200 800 400 0 Source: Financial Stability Board.

Assets of non-bank financial intermediaries G-20 member countries US$ trillions 80 70 60 50 40 30 20 10 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Source: Global Shadow Banking Monitoring Report 2013 , Financial Stability Board.

U.S. commercial bank lending and leasing grow Quarterly change, percent 120 100 80 60 40 20 0 -20 -40 -60 -80 -100 2007 2008 2009 2010 2011 2012 2013 Source: FDIC.

Stronger U.S. demand for commercial and industrial loans Percent of banks reporting stronger C&I demand 60 Medium and large firms 40 20 0 -20 -40 Small firms -60 -80 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Source: FDIC.

Fewer U.S. banks increased lending rates Percent of banks increasing loan rates over cost of funds 120 100 To medium and large firms 80 60 40 20 0 -20 To small firms -40 -60 -80 '90 '91 '92 '93 '94 '95 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 Source: FDIC.

U.S. commercial and industrial loan standards Percent of banks tightening C&I lending standards 100 To medium and large firms 80 60 40 20 0 To small firms -20 -40 '90 '91 '92 '93 '94 '95 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 Source: FDIC.

European companies have borrowed more from U.S. loan market By currency of loan deal Percent USD EUR GBP Other 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Bloomberg. Note: Loans include first lien leveraged loan tranches, excluding revolvers and term loan A.

U.S. vs. European leveraged loan performance Index, 100=1/1/07 U.S. 105 100 95 90 85 Europe 80 75 70 65 60 55 2007 2008 2009 2010 2011 2012 2013 2014 Source: S&P, Bloomberg. Notes: S&P/LSTA U.S. Leveraged Loan Index, S&P European Leveraged Loan Index.

U.S. vs. European leveraged loan issuance US$ billions US Euro 350 300 250 200 150 100 50 0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Bloomberg.

European leveraged loan issuance By currency of issuance US$ billions EUR GBP USD Other 140 120 100 80 60 40 20 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Bloomberg.

More subordinated debt issuance in Europe By largest issuers US$ billions Other U.K. France Italy Spain Germany 100 90 80 70 60 50 40 30 20 10 0 2007 2008 2009 2010 2011 2012 2013 2014 YTD Source: Bloomberg.

Covenant-lite loans increase in the U.S. Number of loans Covenant-lite Other leveraged loans 600 500 400 300 200 100 0 2010 2011 2012 2013 2014 Source: Bloomberg.

Global CDOs outstanding CDO CLO SF Other US$ billions 1,600 1,400 1,200 1,000 800 600 400 200 0 2006 2007 2008 2009 2010 2011 2012 2013 Source: SIFMA.