RESEARCH QUARTERLY Third Quarter 2015 RESEARCH REPORT . RESEARCH QUARTERLY RESEARCH REPORT | 3Q | 2015 TABLE OF CONTENTS Table of Contents .................................................................................................................................. i Capital Markets Overview ................................................................................................................... 2 Municipal Bond Market ....................................................................................................................... 3 Treasury Market ....................................................................................................................................

4 Federal Agency Debt Market .............................................................................................................. 6 Funding and Money Market Instruments ......................................................................................... 7 Mortgage-Related Securities ................................................................................................................

8 Asset-Backed Securities........................................................................................................................ 9 U.S. Collateralized Loan Obligations...............................................................................................

10 Corporate Bond Market ..................................................................................................................... 11 Equity and Other Markets ................................................................................................................. 13 Derivatives ...........................................................................................................................................

16 Global Primary Loan Market ............................................................................................................ 16 Secondary Loan Market ..................................................................................................................... 20 The report is subject to the Terms of US applicable to SIFMA's website, available here: http://www.sifma.org/legal/ The Securities Industry and Financial Markets (SIFMA) brings together the shared interests of hundreds of securities firms, banks and asset managers.

SIFMA's mission is to support a strong financial industry, investor opportunity, capital formation, job creation and economic growth, while building trust and confidence in the financial markets. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit www.sifma.org. i .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY CAPITAL MARKETS OVERVIEW Total Capital Markets Issuance Issuance in U.S. Capital Markets 3Q'14 vs. 3Q'15 600 $ Billions 3v 2014 500 3v 2015 400 300 200 100 0 Municipal Treasury Mortgage-Related Corporate Federal Agency Asset-Backed Equity Note: Includes long-term issuance only Source: Thomson Reuters, U.S. Treasury, U.S.

Federal Agencies Issuance Highlights - Year-Over-Year(1) $ Billions 2015:Q3 Municipal 88.2 Treasury 536.3 Mortgage-Related 443.8 Corporate 324.1 Federal Agency 107.5 Asset-Backed 36.9 Equity 43.6 2014:Q3 77.3 553.0 360.7 302.3 91.9 54.0 88.6 % Change 14.1% -3.0% 23.0% 7.2% 17.0% -31.7% -50.8% Issuance Highlights - Quarter-Over-Quarter(1) $ Billions 2015:Q3 2015:Q2 Municipal 88.2 116.5 Treasury 536.3 530.9 Mortgage-Related 443.8 441.2 Corporate 324.1 450.0 Federal Agency 107.5 89.0 Asset-Backed 36.9 60.3 Equity 43.6 82.2 (1) Includes long-term issuance only % Change -24.3% 1.0% 0.6% -28.0% 20.8% -38.9% -46.9% Long-term securities issuance totaled $1.58 trillion in 3Q’15, a 10.7 percent decline from $1.77 trillion in 2Q’15 and a 3.4 percent increase year-over-year (yo-y) from $1.52 trillion in 3Q’14. Issuance fell quarter-over-quarter (q-o-q) across four asset classes: municipal, corporate, asset-backed and equity while the remainder recorded slight increases and federal agency recording the highest increase. Long-term public municipal issuance volume totaled $86.0 billion in the third quarter of 2015, a decline of 22.4 percent from the prior quarter ($110.9 billion) but an 18.9 percent increase y-o-y ($72.4 billion). Including private placements 1 ($2.4 billion), long-term municipal issuance for 3Q’15 was $88.4 billion. Total gross issuance of Treasury bills and coupons, including cash management bills, Floating Rate Notes and Treasury Inflation-Protected Securities, was $1.74 trillion in 3Q’15, up 0.7 percent from $1.72 trillion in 2Q’15 but a 3.9 percent decrease from 3Q’14’s issuance of $1.81 trillion.

U.S. Treasury net issuance, including CMBs, increased significantly to a net $132.9 billion in the third quarter, more than double the $56.6 billion in the previous quarter but a 35.0 percent decrease from 3Q’14’s net issuance of $204.5 billion. Third quarter net issuance was 4.6 percent above the Treasury’s August net borrowing estimate of $127.0 billion. Federal agency long-term debt issuance was $107.5 billion in the third quarter, a 20.8 percent increase from $89.0 billion in 2Q’15 and 17.0 percent above $91.9 billion issued in 3Q’14. Mortgage-related securities issuance, which includes agency and non-agency passthroughs as well as collateralized mortgage obligations, reached $443.8 billion in 3Q’15, a 0.6 percent increase q-o-q ($441.2 billion) and a 23 percent gain y-o-y ($360.7 billion).

Quarterly increase was driven by an increase in non-agency issuance while yearly increase was driven by agency volumes. Asset-backed securities issuance totaled $36.9 billion in the third quarter, a decline of 38.9 percent q-o-q and 31.7 percent y-o-y. The auto sector continued to lead issuance totals ($21.2 billion or 57.4 percent of 3Q’15 total issuance), followed by credit cards ($4.6 billion, or 12.6 percent). Corporate bond issuance totaled $324.1 billion in 3Q’15, down 28.0 percent from the $450.0 billion issued in 2Q’15 but 7.2 percent above 3Q’14’s issuance of $302.3 billion. Both the investment grade sector and high yield issuance recorded quarterly declines with high yield bonds’ issuance decreasing at a slightly faster pace. Equity underwriting decreased by 46.9 percent to $43.6 billion in the third quarter from $82.2 billion in 2Q’15 and was 50.8 percent below the $88.6 billion issued in 3Q’14.

“True” initial public offerings (IPOs), which exclude closed-end mutual funds, decreased to $5.2 billion on 33 deals in 3Q’15, a 62.8 percent decrease from $14.2 billion and an 87.2 percent fall from $41.0 billion on 64 deals in 3Q’14. Secondary market issuance fell to $30.6 billion on 156 deals in 3Q’15, down from $55.0 billion on 215 deals in 2Q’15 (down 44.5 percent in volume and 27.4 percent in number of deals). 1 Private placement figures are included in top line totals, but figures in charts and tables exclude this subset. 2 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY MUNICIPAL BOND MARKET According to Thomson Reuters, long-term public municipal issuance volume totaled $86.0 billion in the third quarter of 2015, a decline of 22.4 percent from the prior quarter ($110.9 billion) but an 18.9 percent increase y-o-y ($72.4 billion). Including private placements2 ($2.4 billion), long-term municipal issuance for 3Q’15 was $88.4 billion. Short-1 and Long-Term Municipal Issuance 2008 - 2015:Q3 600 $ Billions 500 400 300 200 Short-Term Long-Term 100 0 YTD 2008 2009 2010 2011 2012 2013 2014 2014 2015 2015 Q3 1 Includes maturities of 13 months or less Source: Thomson Reuters Municipal GO AAA and 10-Yr Treasury Ratio Oct. 2008 - Sep. 2015 1.8 % Yield 1.6 1.4 1.2 1.0 0.8 0.6 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Source: Bloomberg, MMA By use of proceeds, general purpose led issuance totals in 3Q’15 ($23.0 billion), followed by primary & secondary education ($16.8 billion), and higher education ($8.0 billion).

Other notable sectors that saw an increase in issuance were mass transportation ($4.1 billion, an increase of 124.5 percent and 56.7 percent q-o-q and y-o-y, respectively), civic and convention centers ($1.1 billion, an increase of 370.9 percent and 583.9 percent q-o-q and y-o-y respectively), and single-family housing ($2.4 billion, an increase of 70.7 percent and 113.7 percent q-o-q and y-o-y, respectively). Refunding volumes as a percentage of issuance increased slightly from the prior quarter, with 48.9 percent of issuance refunded compared to 49.7 percent in 2Q’15 and 50.4 percent in 3Q’14. 3 Yields, Inflows, and Total Return AQerage Daily Trading Volume of Municipal Securities1 2011:Q2 -2015:Q3 13.0 Tax-exempt issuance totaled $75.5 billion in 3Q’15, a decline of 24.7 percent qo-q but an increase of 15.3 percent y-o-y. Taxable issuance totaled $7.9 billion in 3Q’15, nearly unchanged q-o-q and a 68.5 percent increase y-o-y.

AMT issuance was $2.7 billion, a decline of 2.3 percent q-o-q but an increase of 21.0 percent y-o-y. Year-to-date, municipal issuance totaled $301.0 billion, up 39.7 percent from last year and well above the 10-year average of $271.2 billion. Ratios of 10-year tax-exempt AAA GOs and similar-maturity Treasuries rose slightly in the third quarter on a q-o-q basis and a y-o-y basis, ending at 102.7 percent end-September from 100.9 percent end-June and 89.4 percent endSeptember 2014. $ Billions 12.0 11.0 According to the Investment Company Institute (ICI), third quarter net flow into long-term municipal funds was negative and more severe than the quarter prior, with $3.4 billion of outflow in 3Q’15 compared to $2.0 billion of outflow from 2Q’15 and $7.7 billion of inflow y-o-y. 10.0 9.0 8.0 7.0 11:Q2 11:Q4 12:Q2 12:Q4 13:Q2 1Includes 13:Q4 According to Bank of America-Merrill Lynch indices, municipals returned 1.23 percent in the third quarter of 2015, outperforming most asset classes in what was a turbulent quarter. Build America Bonds (BABs) also returned 1.97 percent, performing better than similarly-rated corporates (1.70 percent).

Year to date, municipals have outperformed both BABs and corporates, returning 1.80 percent compared to 0.27 percent (BABs) and 0.76 percent (corporates). Within the municipal asset class, toll/turnpike, health, and utilities had the greatest positive returns, while pollution control, transportation, and leasing/rental underperformed municipals generally in 3Q’15. Year to date, hospital, health, and tobacco led returns within the municipal sector. 14:Q2 14:Q4 15:Q2 both dealer-to-dealer and customer-to-dealer transactions. Source: Municipal Securities Rulemaking Board Trading Activity and Broker-Dealers Trading activity fell q-o-q to $7.6 billion daily in 3Q’15, a 30.2 percent decline from 2Q’15 ($10.9 billion) and 19.8 percent from 3Q’14 ($9.5 billion).

By number of trades, trading activity also declined on a q-o-q basis, falling 10.5 percent q-o-q but rising 6.8 percent y-o-y. 2 Private placement figures are included in top line totals, but figures in charts and tables exclude this subset. Percentages represent both full refundings and the half the dollar amount of deals that contain both refundings and new financing. For just refunding, refunding volumes represent 38.0 percent of issuance in 3Q’15, 38.8 percent in 2Q’15, and 40.1 percent in 3Q’14. 3 3 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY TREASURY MARKET Gross Issuance of U.S. Treasury Securities Quaterly Gross Issuance of U.S. Treasury Securities 2010:Q3 - 2015:Q3 2,600 $ Billions 2,400 2,200 2,000 1,800 1,600 1,400 1,200 1,000 FRNs 800 TIPS 600 Coupons 400 CMBs 200 0 Bills 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 Source: U.S. Treasury Net Issuances of Treasury Marketable Debt Sept.

2010 - Sept. 2015 450 $ Billions Net Coupon Issuance (Notes and Bonds only) Net Issuance (including CMBs) Net Issuance (excluding CMBs) 300 Excluding cash management bills (CMBs), total net issuance of Treasury bills, notes, and bonds in 3Q’15 stood at $57.9 billion, a 117.8 percent increase from the net issuance of $26.6 billion in the prior quarter but 69.5 percent below the $189.5 billion issued on net in 3Q’14. In the third quarter, $75.0 billion of CMBs were issued, much higher than the $30.0 billion issued in 2Q’15 and $15.0 billion issued in 3Q’14. Approximately $536.3 billion in Treasury coupons, FRNs and TIPS were issued in the third quarter, up 1.0 percent from $530.8 billion issued in the prior quarter but 3.0 percent below the issuance of $553.0 billion in 3Q’145. 150 0 (150) (300) Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Sep-13 Mar-13 Mar-14 Sep-14 Mar-15 Sep-15 Source: U.S.

Treasury Gross Issuance of U.S. Treasury Marketable Coupon Securities 2005 - 2015:Q3 2,500 Total gross issuance of Treasury bills and coupons, including cash management bills (CMBs), Floating Rate Notes (FRNs) and Treasury InflationProtected Securities (TIPS), was $1.74 trillion in 3Q’15, up 0.7 percent from $1.72 trillion in 2Q’15 but a 3.9 percent decrease from 3Q’14’s issuance of $1.81 trillion. U.S.

Treasury net issuance, including CMBs, increased significantly to a net $132.9 billion in the third quarter, more than double the $56.6 billion in the previous quarter but a 35.0 percent decrease from 3Q’14’s net issuance of $204.5 billion. Third quarter net issuance was 4.6 percent above the Treasury’s August net borrowing estimate of $127.0 billion. 4 $ Billions Excluding TIPS and FRNs, total gross issuance of Treasury marketable coupon securities was $451.3 billion, unchanged from $492.7 billion issued in 2Q’15 but 3.6 percent below the $468.0 billion issued in 3Q’14.

Net coupon issuance was $169.8 billion, a 21.8 percent increase from $139.5 billion in 2Q’15 but down 6.4 percent y-o-y. In 3Q’15, $41.0 billion in FRNs was issued, consistent with the $41.0 billion in 2Q’15 and each quarter since the inaugural FRN auction in January 2014. The demand for FRNs has been steadily declining since the first auction with the average bid-to-cover ratio of 3.5 in 3Q’15, down from 3.8 in the previous quarter and from 4.3 in 3Q’14. 2,000 1,500 1,000 500 0 2005 2006 2007 2008 2009 2010 2011 2012 2014 2015 2014 3Q Source: U.S. Treasury 2013 Quaterly Summary of Bill, Coupon, and TIPS Issuance 2010:Q3 - 2015:Q3 600 $ Billions 500 400 300 200 100 0 3Q'10 1Q'11 3Q'11 CMBs 52-week Bills 7-year Notes FRNs 1Q'12 3Q'12 4-week Bills 2-year Notes 10-year Notes 1Q'13 3Q'13 1Q'14 3Q'14 13-week Bills 3-year Notes 30-year Notes 1Q'15 3Q'15 26-week Bills 5-year Notes TIPS Source: U.S.

Treasury 4 5 Treasury’s August borrowing estimates can be found here. Treasury started issuing Floating Rate Notes in January 2014. 4 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY Trading Activity Average Daily Trading Volume of Treasury Securities1 2010:Q3 - 2015:Q3 650 Daily trading volume of Treasury securities by primary dealers averaged $489.1 billion in 3Q’15, a 2.4 percent increase from $477.6 billion in the previous quarter and a 0.4 percent increase from the $487.3 billion traded daily in 3Q’14. The 5-year average of daily trading volume of Treasuries increased to $519.9 billion, up 1.8 percent from $529.1 billion in the prior quarter. $ Billions 600 550 500 Treasury Yield Curve 450 400 350 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 1Primary dealer activity Source: Federal Reserve Bank of New York Treasury Yields and Target Fed Fund Rate Sept. 2010 - Sept. 2015 % Yield 4.0 10-yr Treasury 5-yr Treasury 2-yr Treasury 3.5 Fed Funds Target 3.0 2.5 2.0 1.5 In 3Q’15, the Treasury yields decreased for almost all maturities with larger decreases in the medium term securities.

Two-year rates stayed flat at 0.64 percent at the end of September, the 5-year yields decreased to 1.37 percent in 3Q’15 from 1.63 percent in the end of June, the 10-year yields decreased to 2.06 percent from 2.92 percent in 2Q’15, and 30-year yields decreased to 2.87 percent in September 2015 from 3.11 percent in June. The SIFMA Government Issuance and Rates Forecast 6 survey respondents forecast benchmark yields to continue gradually increasing across all maturities through the end of 2015 and in the first quarter of 2016 (summary of the projections in the table on the left). FOMC Meeting Summary 1.0 0.5 0.0 2010 2011 2012 2013 2014 2015 Note: Since December 2008, the rate has been 0 - 0.25% Source: Federal Reserve Treasury Yield Projections and Ranges Sep 30, 2015 2 year Treasury Note 0.64 5 year Treasury Note 1.37 10 year Treasury Note 2.06 30 year Treasury Bond 2.87 Dec. 31, 2015E Mar. 31, 2016E The Fed reaffirmed that a highly accommodative stance of monetary policy and the exceptionally low range for the target Fed Funds rate of 0-0.25 percent remains appropriate.

The Committee anticipates that it will be appropriate to raise the target range for the federal funds rate when it has seen some further improvement in the labor market and inflation moves closer to its 2 percent objective over the medium term. The Committee currently anticipates that, even after employment and inflation are near mandate-consistent levels, economic conditions may, for some time, warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run.7 0.83 (0.50 - 1.05) 1.63 (1.10 - 1.80) 2.23 (1.75 - 2.45) 2.95 (2.75 - 3.20) Source: 4Q'15 SIFMA Government Forecast Survey During the most recent FOMC meeting on October 27-28, 2015, the Committee judged that the economic growth has been expanding at a moderate pace, the labor market has been continuing to improve with solid job gains and falling unemployment rate and growth in household spending and business fixed investment has been increasing at solid rates in recent months. 0.95 (0.50 - 1.30) 1.73 (0.90 - 1.95) 2.28 (1.90 - 2.60) 2.98 (2.80 - 3.30) The SIFMA Government Issuance and Rates Forecast survey asked participants when they expect the Fed to raise the target rate. Majority of respondents (80 percent) expect the first rate hike to come in December 2015 with the remaining votes (20 percent) pointing to March 2016 as the more likely time the Fed raises the target rate.8 6 7 8 Government Issuance and Rates Forecast, 4Q’2015. Statement from the Federal Open Market Committee Meeting, October 27-28, 2015. Op.

Cit. 3. 5 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY FEDERAL AGENCY DEBT MARKET Federal agency long-term debt (LTD) issuance was $107.5 billion in the third quarter, a 20.8 percent increase from $89.0 billion in 2Q’15 and 17.0 percent above $91.9 billion issued in 3Q’14. Long-Term Federal Agency Debt Issuance 1 2008 - 2015:Q3 1,400 $ Billions 1,200 1,000 800 600 400 200 0 2014 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q3 1Excludes maturities of one year or less * Beginning in 2004, Sallie Mae has been excluded due to privatization Sources: Thomson Reuters Long-Term Federal Agency Debt Issuance by Agency 2015:Q3 Fannie Mae, $13.0B, 12% Federal Farm Credit, $19.3B, 18% Federal Home Loan Banks, $49.1B, 46% Sources: Thomson Reuters Summary of Agency Issuance 2013:Q4 - 2015:Q4E $ Billions Federal Farm Credit Banks Funding Corporation Federal Home Loan Bank System - Office of Finance Freddie Mac Fannie Mae 160 140 120 100 80 60 40 20 0 4Q'13 1Q'14 2Q'14 3Q'14 4Q'14 1Q'15 2Q'15 3Q'15 4Q'15E Source: U.S. Trea sury, 4Q'15 SIFMA Government Forecast Survey TRACE Average Daily Trading Volume - Federal Agency Securities 2010:Q3 - 2015:Q3 14 $ Billions Other Federal Home Loan Banks Freddie Mac Fannie Mae 12 Freddie Mac’s gross debt issuance totaled $165.2 billion in 3Q’15, a 56.3 percent increase from $16.9 billion in 2Q’15. As of quarter-end, Freddie Mac had $104.8 billion STD and $309.3 billion LTD outstanding, in comparison with $93.2 billion STD and $327.8 billion LTD in the prior quarter. The 12 Federal Home Loan Banks (FHLB) issued $57.5 billion in LTD in the third quarter, a slight increase from $53.6 billion in 2Q’15.In 3Q’15, $604.1 billion of short-term debt (STD) was issued, down from $1.1 trillion issued in 2Q’15. Total FHLB LTD outstanding was $447.0 billion at quarter-end, down from $454.6 billion outstanding at the end of second quarter and down from $489.3 billion y-o-y.

Discount notes increased to $409.5 billion in 3Q’15 from $398.2 billion in 2Q’15 and increased y-o-y from $327.7 billion in 3Q’14. Freddie Mac, $26.1B, 24% 180 Fannie Mae’s 3Q’15 gross debt issuance, both short term debt (STD) and LTD, totaled $41.8 billion, a decrease from $56.9 billion in 2Q’15. STD issuance decreased to $41.8 billion compared with $49.2 billion in the second quarter, while LTD issuance decreased to $14.7 billion in 3Q’15 from $16.5 billion in the prior quarter. Fannie Mae had $95.5 billion in STD outstanding at the end of 3Q’15, up from $81.4 billion as of end 2Q’15, and had $325.4 billion LTD outstanding, a decrease from $347.2 billion in 2Q’15. Total Farm Credit System gross debt issuance for 3Q’15 totaled $85.7 billion. Total debt outstanding at quarter end was $230.9 billion, of which $23.2 billion was short-term and $207.7 billion was long-term compared to $19.5 billion short-term and $205.3 billion long-term in the prior quarter. Primary dealers polled by SIFMA in the third quarter Government Forecast survey expected total gross coupon issuance by the four largest Federal agencies to increase by 55.7 percent to $167.5 billion in the fourth quarter of 2015. The projections reflect an increase in all four agencies issuance.

Fannie Mae is expected to issue $17.5 billion in 4Q’15, up 33.6 percent from 3Q’15, Freddie Mac’s issuance is expected to increase by 34.1 percent to $35.0 billion, the Federal Home Loan Banks are expected to issue $90.0 billion in coupons in 4Q’15, an 83.3 percent increase from their 3Q’15 issuance of $49.1 billion and Federal Farm Credit Banks’ issuance is projected to increase to $25.0 billion from $19.3 billion in 3Q’15.9 Trading Activity Average daily trading volume of agency securities in the third quarter was $3.9 billion, down 15.7 percent from $4.6 billion traded in 2Q’15 and down 25.4 percent from $5.2 billion traded in 3Q’14. 10 8 6 4 2 0 10:Q3 11:Q1 11:Q3 12:Q1 12:Q3 13:Q1 13:Q3 14:Q1 14:Q3 15:Q1 15:Q3 Source: FINRA 9 Op. Cit. 6. 6 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY FUNDING AND MONEY MARKET INSTRUMENTS 7,000 Total Repurchase Activity Financing by U.S. Government Securities Dealers Average Daily Amount Outstanding 2005 - 2015:Q3 $ Billions Reverse Repurchases 6,000 Repurchases 5,000 The average daily amount of total repurchase (repo) and reverse repo agreement contracts outstanding was $3.88 trillion in 3Q’15, a decrease of 2.8 percent from 2Q’15’s $3.99 trillion and a decrease of 9.8 percent y-o-y. Daily average outstanding repo transactions totaled $2.15 trillion in 3Q’15, a decline of 3.6 percent from $2.23 trillion in 2Q’15 and a decline of 11.6 percent from $2.44 trillion in 3Q’14. Reverse repo transactions in 3Q’15 averaged $1.72 trillion daily, a decrease of 1.9 percent from $1.76 trillion in 2Q’15 and a decrease of 7.4 percent y-o-y. 4,000 3,000 2,000 1,000 0 2014 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q3 GCF Repo Rates 0.2 DTCC general collateral finance (GCF) repo rates increased for Treasuries, agency, and MBS in 3Q’15: the average repo rate for Treasuries (30-year and less) rose to 20.8 basis points (bps) from 2Q’15’s average rate of 17.7 bps and more than doubled from 8.3 bps in 3Q’14, the average agency repo rate increased to 22.3 bps from 19.4 bps in the previous quarter and from 9.1 bps in 3Q’14, and the average MBS repo rate rose to 22.5 bps from 19.7 bps in 2Q’15 and 9.6 bps in 3Q’14. 0.1 Total Money Market Instruments Outstanding Note: Data include corporate securities. Source: Federal Reserve Bank of NY Financial & Nonfinancial Commercial Paper 3-Month Interest Rates Sept. 2010 - Sep.

2015 0.3 Percent 0.3 0.2 0.1 Nonfinancial CP Financial CP 0.0 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Sources: Federal Reserve DTCC GCF Repo IndexTM Sept. 2010 - Sep. 2015 0.35 Percent Treasuries 0.30 Agency The outstanding volume of total money market instruments (MMI), including commercial paper (CP) and large time deposits, stood at $2.67 trillion at the end of the third quarter, down 0.8 percent from the prior quarter’s $2.69 trillion but up 1.1 percent y-o-y.

CP outstanding totaled approximately $991.3 billion, a 1.3 percent increase from the $978.8 billion in 2Q’15 but a 0.5 percent decline y-o-y. Large time deposits outstanding totaled $1.68 trillion in 3Q’15, a decline of 1.9 percent from 2Q’15 but an increase of 2.1 percent y-o-y. Financial and Nonfinancial 3-Month CP Interest Rates MBS 0.25 Interest rates for nonfinancial CP rose to 22 bps end-September 2015, up from 14 bps end-June and 10 bps end-September 2014, while financial CP rose to 27 bps end-September, up from 18 bps end-June and 12 bps end-September 2014. 0.20 0.15 0.10 0.05 0.00 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Sources: The Depository Trust & Clearing Corporation Outstanding Money Market Instruments 2005 - 2015:Q3 4.5 $ Trillions Large Time Deposits 4.0 Commercial Paper 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015Q3 Sources: Federal Reserve Note: Not Seasonally adjusted 7 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY MORTGAGE-RELATED SECURITIES Mortgage-Related Issuance Issuance of Mortgage-Related Securities 2005 - 2015:Q3 3,000 $ Billions Agency MBS/CMO 2,500 Non-Agency MBS 2,000 1,500 1,000 Overall, the agency share of issuance increased to 93.2 percent of total issuance in 3Q’15 from 90.4 percent in the prior quarter and 87.9 percent in 3Q’14. 500 0 2014 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q3 Sources: Federal Agencies, Thomson Reuters Issuance of Non-Agency Mortgage-Backed Securities 2008 - 2015:Q3 180 $ Billions RMBS 160 CMBS 140 120 100 According to Freddie Mac, average rates on conventional 30-year fixed-rate mortgages in the third quarter rose 13 bps to 3.95 percent from 3.82 percent in the second quarter but fell 19 bps y-o-y. Agency Issuance Agency mortgage-related issuance totaled $413.7 billion in 3Q’15, a decrease of 3.5 percent from $428.7 billion in 2Q’15 but a 21.1 percent increase y-o-y ($341.6 billion). Non-Agency Issuance 80 60 Non-agency issuance totaled $30.1 billion in 3Q’15, a decrease of 33.7 percent from 2Q’15 ($45.4 billion) and 35.8 percent below $46.9 billion in 3Q’14. 40 20 0 2014 2008 2009 2010 2011 2012 2013 2014 2015 Q3 Sources: Bloomberg, Thomson Reuters Average Daily Trading Volume - Agency Mortgage-Related Securities 2011:Q2 - 2015:Q3 350 Issuance of mortgage-related securities, including agency and non-agency passthroughs and collateralized mortgage obligations (CMOs), totaled $443.8 billion in the third quarter, a 6.4 percent decrease from 2Q’15 ($474.1 billion) but a 14.2 percent increase y-o-y ($388.4 billion). Quarterly decrease was driven by a large decrease in non-agency issuance while y-o-y increase was driven by increase in agency volumes. $ Billions Agency MBS 300 Agency CMO TBA 250 200 150 100 Trading Activity Daily trading volumes for mortgage-related securities declined in the second quarter, with declines in both agency and non-agency trading. Average daily trading volume of agency mortgage-related securities, including passthroughs, CMOs and TBAs, was $188.7 billion in 3Q’15, a decline of 1.3 percent from $191.3 in 2Q’15 but a 4.2 percent increase y-o-y. Average daily trading volumes of non-agency securities declined by 29.6 percent to $2.4 billion in 3Q’15 and by 32.2 percent y-o-y.

Broken out, CMBS trading declined 31.3 percent q-o-q to $1.4 billion and RMBS trading declined 27.3 percent q-o-q to $1.1 billion daily. 50 0 Q2'11 Q4'11 Q2'12 Q4'12 Q2'13 Q4'13 2Q'14 4Q'14 2Q'15 Sources: FINRA TRACE Note: Data is available beginning May 15, 2011 8 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY ASSET-BACKED SECURITIES Asset-Backed Market Issuance Issuance of Asset-Backed Securities 2008 - 2015:Q3 250 Asset-backed securities (ABS) issuance totaled $36.9 billion in the third quarter, a decline of 38.9 percent q-o-q and 31.7 percent y-o-y. The auto sector continued to lead issuance totals with $21.2 billion (57.4 percent of 3Q’15 total issuance), followed by credit cards ($4.6 billion, or 12.6 percent). $ Billions 200 150 100 50 0 2008 2009 2010 2011 2012 2013 2014 YTD 2015 2014 2015 Q3 Source: Thomson Reuters, SIFMA ABS Issuance by Major Types of Credit 2015:Q3 All sectors experienced a decline in issuance volume in the third quarter. Equipment, student loan and housing related issuances saw the highest drops in issuance volume (70.1 percent, 58.1 percent and 52.7 percent, respectively), followed by credit cards, esoteric ABS and Auto (44.3 percent, 36.3 percent and 25.7 percent, respectively) Trading Activity Daily average trading activity in ABS fell in the third quarter to $0.9 billion, a decline of 30.4 percent from $1.3 billion in 2Q’15 and 33.8 percent below $1.4 billion in 3Q’14. Including CDOs, average trading activity in 3Q’15 was $1.1 billion daily, a 29.3 percent decrease from $1.6 billion in 2Q’15 and down 27.8 percent y-o-y. Student Loans, $2.1B Other, $4.3B Housing Related, $3.2B Global CDO Issuance Auto, $21.2B Equipment, $1.5B Credit Cards, $4.6B According to Thomson Reuters, global funded collateralized debt obligation (CDO) issuance totaled $12.8 billion in 3Q’15, a decline of 44.9 percent q-o-q ($23.3 billion) and 68.7 percent y-o-y ($48.0 billion). U.S.

CLO issuance continues to drive most of new global CDO volume in 2015. Source: Thomson Reuters, SIFMA Asset-Backed Securities Average Daily Trading Volume 2012:Q2 - 2015:Q2 1.6 $ Billions 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2Q'12 3Q'12 4Q'12 1Q'13 2Q'13 3Q'13 4Q''13 1Q'14 2Q'14 3Q'14 4Q'14 1Q'15 2Q'15 Source: FINRA Trace 9 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY U.S. COLLATERALIZED LOAN OBLIGATIONS 10 CLO Issuance A variety of economic stresses, combined with the traditional summer slowdown in the financial markets, brought about a sharp decline in primary CLO issuance in the third quarter. Primary U.S. CLO Issuance Volumes 2012:Q3 - 2015:Q3 45 $ Billions 40 35 Just 45 deals priced globally in the three months to September, for a total of $22.9 billion. This is 41 percent lower than the previous quarter’s total and 45 percent lower than the same period in 2014.

Overall, 3Q’15 was the quietest period in the CLO primary market since 3Q’13, when $19.1 billion of CLO paper was issued across 40 deals. 30 25 20 15 10 5 0 Q3 Q4 Q1 Q2 Q3 Q4 Q1 2013 Q2 Q3 Q4 Q1 2014 Q2 In the U.S., primary issuance was hampered by the drought in loan issuance: just $50 billion of leveraged loans were priced in 3Q’15, down 50 percent from 3Q’14. Meanwhile, struggling commodities, credits and emerging market volatility combined to drive CLO debt spreads wider, putting significant pressure on the arb. Triple-A spreads widened out past 160 bps for several deals – more than 20 bps wide of the year’s tights – as the senior buyer base dried up. Q3 2015 Source: Creditflux, CLO-i Secondary U.S.

CLO Trading Volumes 2012:Q3 - 2015:Q3 14 $ Billions 12 Despite the slow pace of issuance, there were some signs of encouragement: the U.S. CLO market welcomed another debut issuer in Wellfleet Capital Management, while Loomis Sayles priced its first CLO since 2006. 10 8 6 CLO Secondary Market 4 The secondary CLO market was much quieter in 3Q’15, with just $7.9 billion appearing on b-wics globally. This represents a 40 percent decline on the previous quarter, which saw $13.2 billion in CLO bid lists. 2 0 Q3 Q4 Q1 2012 Q2 Q3 2013 Q4 Q1 Q2 Q3 Q4 Q1 2014 Q2 2015 Q3 Source: Creditflux, CLO-i Current Rank Manager 1 2 3 4 5 6 7 8 9 10 Credit Suisse Asset Management Apollo Global Management Carlyle Group CIFC Asset Management Ares Management GSO Capital Partners Highland Capital Management MJX Asset Management Voya Alternative Asset Management Prudential Investment Management Current Rank Arranger 1 2 3 4 5 6 7 8 9 10 $ Billion # Deals 14.66 14.03 13.23 13.17 12.49 12.07 10.86 9.12 8.92 8.47 23 21 29 32 28 24 26 17 20 18 $ Billion # Deals 4.26 3.92 2.46 2.08 1.59 1.41 0.81 0.71 0.71 0.51 9 7 5 4 3 3 1 2 1 1 Citi Morgan Stanley Bank of America Wells Fargo Credit Suisse JP Morgan Barclays Deutsche Bank Goldman Sachs RBC A widespread sell-off in the loan market during the summer combined with the heavily distressed commodities sectors to cause a sharp decline in CLO net asset values.

According to research published by Wells Fargo, CLO equity NAVs fell by 20 points to an average figure of 33.5 percent. As a result, secondary bid prices for CLO equity tranches fell significantly, as CLO traders adjusted their modelling assumptions to take account of struggling credits. Meanwhile, European CLO triple-A paper widened significantly as a leaked European Commission proposal raised doubts about the legality of the “originator” route for risk retention compliance. According to JP Morgan, “originator” deals traded 20 bps wide of “sponsor” deals in secondary following the leak. U.S.

Risk Retention U.S. CLO managers began to explore a variety of solutions to forthcoming risk retention requirements in 3Q’15. Creditflux reported in October that Zais Group had launched a majorityowned affiliate to act as retention holder in all of its future CLOs, while Dallasbased Triumph Capital Advisors held a first close on a capitalised manager vehicle (CMV). Other managers opted to obtain financing for vertical retention strips.

THL Credit Advisors and Fifth Street Asset Management both issued risk retention-compliant CLOs using this route. 10 The author of the CLO section is James Harvey, Creditflux. For any questions, please contact James Harvey at james.harvey@creditflux.com. 10 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY CORPORATE BOND MARKET Corporate Bond Issuance Corporate Bond Issuance 1 2005 - 2015:Q3 1,600 Corporate bond issuance totaled $324.1 billion in 3Q’15, down 28.0 percent from the $450.0 billion issued in 2Q’15 but 7.2 percent above 3Q’14’s issuance of $302.3 billion. Both the investment grade (IG) sector and high yield (HY) issuance recorded quarterly declines with HY bonds’ issuance decreasing at a slightly faster pace. The vast majority of the bonds issued in the third quarter were for general corporate purposes (94.9 percent of total issuance), followed by funds for redemption of shares (1.9 percent), and future acquisitions (1.6 percent). $ Billions High Yield 1,400 Investment Grade 1,200 1,000 800 600 400 200 0 2005 2006 2007 1Includes 2014 2015 2014 3Q 2008 2009 2010 2011 2012 2013 all nonconvertible debt, MTNs Yankee bonds, and TLGP debt, but excludes all issues with maturities of one year or less, CDs, and federal agency debt Source: Thomson Reuters U.S. Corporate Option Adjusted Spreads to U.S.

Treasury - 1-10 Year Sept. 2005 - Sept. 2015 700 Basis Points AA-AAA Industrial 600 BBB-A Industrial 500 400 300 200 100 0 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Source: Bank of America Merrill Lynch U.S.

Corporate: AAA - Yield Curves 5.0 4.0 3.5 3.0 2.5 2.0 1.5 1.0 9/30/2015 0.5 9/30/2014 Years to Maturity 1-3 3-5 5-7 7-10 10-15 15+ Source: Bank of America Merrill Lynch U.S. Corporate: BBB - Yield Curves 6.0 Issuance of HY bonds decreased to $42.8 billion in 3Q’15, 53.9 percent below the 2Q’15’s total of $92.9 billion and fell by 37.7 percent from $68.8 billion issued in 3Q’14. Two sectors made up over half of total HY issuance in the third quarter: financials (41.4 percent, $17.7 billion) and telecommunications (17.1 percent, $7.3 billion). Bond Spreads and U.S.

Default Rate According to Bank of America-Merrill Lynch, the option adjusted spread for AA-AAA industrial bonds and BBB-A industrial bonds widened in the third quarter of 2015. Spreads of IG bond finished the quarter at 84 bps, up 10 bps from 74 bps at the end of June and up 35 bps from 61 bps at the end of 3Q’14. HY bond spreads also tightened q-o-q, ending 3Q’15 at 178 bps, 43 bps above 135 bps in 2Q’15 and up 69 bps from 142 bps at the end of 3Q’14. % Yield 4.5 0.0 IG bond issuance decreased to $281.2 billion in 3Q’15, down 21.2 percent from $357.1 billion in the previous quarter but up 20.4 percent y-o-y.

The top four industries accounted for almost 75 percent of 3Q’15 IG issuance. Financial companies remained the leading IG debt issuance sector, representing about 42.2 percent ($118.6 billion) of all IG issuance followed by healthcare sector with 13.5 percent ($37.9 billion) of 3Q’15’s issuance, high technology with 9.2 percent ($25.8 billion) and media and entertainment with 7.9 percent ($22.2 billion). % Yield 5.5 S&P’s Global Fixed Income Research reported the number of defaulted issuers declined to 16 in the third quarter from 20 in 2Q’15 but up from only 7 in 3Q’14. Year to date, the number of defaults increased to 48 through September 30, compared with 24 over the same period in 2014.

The U.S. trailing 12month speculative-grade corporate default rate increased to 2.5 percent in September 2015, up from 2.0 percent in June 2015 and is expected to increase to 2.9 percent by June 2016. 11 In 3Q’15, S&P Ratings Services downgraded 85 and upgraded 57 U.S.

issuers, a much more positive ratio of downgrades to upgrades than in the previous quarter, when there were 132 downgrades versus 66 upgrades. The ratio of downgrades to upgrades decreased to 1.5 in 3Q’15 from 2.0 in 2Q’15. 5.0 4.5 4.0 3.5 3.0 2.5 2.0 9/30/2015 1.5 1.0 9/30/2014 Years to Maturity 1-3 3-5 5-7 7-10 10-15 15+ Source: Bank of America Merrill Lynch S&P US Corporate Rating Actions 2015:Q3 2015:Q2 Upgrades 57 66 Downgrades 85 132 2014:Q3 58 61 Q-o-Q -13.6% -35.6% Y-o-Y -1.7% 39.3% Source: S&P Fixed Income Research 11 Standard & Poor’s Rating Services, The U.S. Speculative-Grade Corporate Default Rate, October 1, 2015. 11 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY TRACE Average Daily Trading Volume - Corporate Bonds 2010:Q3 - 2015:Q3 32 $ Billions 30 Private Placements 28 Convertibles 26 24 High Yield 22 Investment Grade 20 18 16 14 12 10 8 6 4 2 0 Q3'10 Q3'11 3Q'14 3Q'15 Q3'12 Q3'13 Note: Private placements trading volume only available from 2Q'14 on. Source: FINRA Trading Activity According to the FINRA TRACE data, trading volumes decreased for all types of corporate bonds in 3Q’15. IG average daily trading volume fell to $12.9 billion, down 8.6 percent from $14.1 billion in 2Q’15 but up 10.5 percent from $11.7 billion y-o-y. HY average daily trading volume was $6.6 billion in 3Q’15, a 9.7 percent decrease from $7.3 billion in the second quarter and a 6.0 percent decrease from $7.0 billion in the same year-earlier period. The average daily trading volume of convertible bonds (CVs) decreased to $0.74 billion in 3Q’15, 7.0 percent below 2Q’15’s $0.79 but 16.3 percent above $0.64 billion a year ago. Private placements trading volume decreased in line with publicly traded bond falling by 6.8 percent to $5.6 billion in 3Q’15 but was up 13.0 percent from $4.9 billion in 3Q’14. 12 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY EQUITY AND OTHER MARKETS Daily Closing Stock Prices Sept. 2010 - Sept. 2015 6,000 S&P 500, NASDAQ Composite 5,500 NASDAQ Composite 20,000 Dow Jones Industrial Average 18,000 S&P 500 5,000 16,000 Dow Jones Industrial Average 4,500 14,000 4,000 3,500 12,000 3,000 10,000 2,500 8,000 2,000 6,000 1,500 4,000 1,000 2,000 500 0 2010 0 2011 2012 2013 2014 2015 Source: Bloomberg NASDAQ and NYSE Average Daily Share Volume 2010:Q3 - 2015:Q3 4,500 Millions of Shares NAS5Av 4,000 NYSE 3,500 NYSE and NASDAQ’s Daily Share and Dollar Volume The New York Stock Exchange’s (NYSE) 3Q’15 average daily share volume increased by 13.3 percent to 1.25 billion shares from the previous quarter’s 1.11 billion and by 34.3 percent from 934.0 million y-o-y. The NYSE’s average daily trading dollar volume increased by 6.1 percent to $45.7 billion in 3Q’15 from the previous quarter’s $43.0 billion and was 23.6 percent higher than 3Q’14’s average of $37.0 billion. NASDAQ’s average daily share volume increased by 7.7 percent to 1.97 billion shares in 3Q’15 from 1.83 billion in the previous quarter and up 11.6 percent yo-y.

The daily trading dollar volume increased to $81.2 billion in 3Q’15, up 12.2 percent from $72.3 billion in 2Q’15 and up 25.0 percent from 3Q’14’s $64.9 billion. 3,000 2,500 2,000 1,500 1,000 500 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Sources: NASDAQ, NYSE NASDAQ & NYSE AQerage Daily Trading Volume 2010:Q3 - 2015:Q3 140 The S&P 500 closed the third quarter of 2015 at 1,920.03, a 6.9 percent decrease from the prior quarter and down 2.6 percent y-o-y. The NASDAQ Composite Index finished 3Q’15 at 4,620.17, a 7.4 percent loss from 2Q’15 but a 2.8 percent increase y-o-y. The Dow Jones Industrial Average (DJIA) recorded losses as well finishing 3Q’15 at 16,284.70, a 7.6 percent loss q-o-q and a 4.4 percent decrease y-o-y.

Despite quarterly loss, NASDAQ Composite recorded its all-time high during the 3Q’15 when it closed at record 5,218.86 on 7/20/2015. $ Billions NAS5AQ NYSE 120 100 NYSE Short Interest The number of shares sold short on the NYSE averaged 17.4 billion in 3Q’15, up 10.3 percent from 15.8 billion during the previous quarter and up 17.0 percent from 14.9 billion in 3Q’14. The NYSE short interest was 22.4 percent above the five-year average of 14.2 billion and the highest since 3Q’08. Out of approximately 6,100 issues, a short position was shown in 5,159 issues with 4,150 issues with short position of 5,000 shares or more.12 80 60 40 20 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Sources: NASDAQ, NYSE NYSE Short Interest Sept.

2010 - Sept. 2015 19 Billions of Shares 18 17 16 15 14 13 12 2010 2011 2012 2013 2014 2015 Source: NYSE Note: Starting in July 2015 totals include short interest on NYSE MKT 12 NYSE, NYSE Arca and NYSE MKT Short Interest Reports, October 9, 2015. 13 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY Equity Underwriting Volume Total Equity Underwriting 2010:Q3 - 2015:Q3 120 400 # of Deals $ Billions 350 100 300 80 250 60 200 150 40 100 20 Volume Billions) ($ 50 0 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Source: Thomson Reuters "True" IPO - Excluding Closed-End Funds 2010:Q3 - 2015:Q3 45 $ Billions 100 # of Deals 90 Volume 40 Deals 80 35 70 30 60 25 50 20 40 15 30 10 20 5 10 0 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Source: Thomson Reuters Secondary Stock Offerings 2010:Q3 - 2015:Q3 80 300 # of Deals $ Billions Volume 70 5eals 250 60 200 50 40 150 30 100 20 50 10 0 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Source: Thomson Reuters U.S. Mergers and Acquisitions - Announced Deals 2010:Q3 - 2015:Q3 800 # of Deals $ Billions Volume 700 5,000 4,500 Deals 4,000 600 3,500 500 Equity underwriting decreased by 46.9 percent to $43.6 billion in the third quarter from $82.2 billion in 2Q’15 and was 50.8 percent below the $88.6 billion issued in 3Q’14. Equity underwriting volume in 3Q’15 decreased 38.3 percent below the five-year average of $70.7 billion. The number of equity underwriting deals fell to 210, down 31.1 percent q-o-q and 18.3 percent y-o-y. The average deal size decreased to $207.7 million in the third quarter, a decline of 22.9 percent q-o-q and 39.8 percent y-o-y. IPO Volume “True” initial public offerings (IPOs), which exclude closed-end mutual funds, decreased to $5.2 billion on 33 deals in 3Q’15, a 62.8 percent decrease from $14.2 billion in 2Q’14 and an 87.2 percent fall from $41.0 billion on 64 deals in 3Q’14.

The IPO volume fell to a three-year low (lowest quarterly volume since 3Q’12). The leading sector in IPOs in the third quarter was healthcare with $2.0 billion raised on 14 deals, followed by energy and power ($961.8 million on 3 deals), and consumer products and services ($831.1 million on 2 deals). Secondary Offerings Secondary market issuance fell to $30.6 billion on 156 deals in 3Q’15, down from $55.0 billion on 215 deals in 2Q’15 (down 44.5 percent in volume and 27.4 percent in number of deals). The average deal size for the quarter decreased by 23.5 percent to $195.9 million from $255.9 million in the previous quarter and by 9.5 percent y-o-y. Announced M&A Volume Announced U.S.

mergers and acquisitions (M&A) volume stood at $775.7 billion in 3Q’15, an 18.7 percent increase from the previous quarter’s $653.7 billion and a 40.0 percent increase y-o-y. M&A volume was well above the 5-year quarterly average of $397.2 billion. The number of deals decreased by 4.0 percent to 3,311 in 3Q’15 from 3,185 in 2Q’15, while the average deal size increased by 14.2 percent to $234.3 million from $205.2 million in the previous quarter. According to data from Dealogic, the amount of “U.S.

Inbound” M&A (money invested in U.S. companies by those outside the U.S. through M&A) more than doubled to $193.6 billion in 3Q’15 from $70.2 billion in the previous quarter and 54.4 percent up from $125.4 billion in 3Q’14.

Similarly, the dollar amount U.S. companies invested in other countries through M&A (“US Outbound”) increased in 3Q’15; American firms invested $77.4 billion in deals outside of the U.S., a 63.1 percent increase from $47.5 billion in 2Q’15 and flat from $77.9 billion in 3Q’14. 3,000 400 2,500 2,000 300 1,500 200 1,000 100 500 0 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Source: Dealogic 14 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY S&P P/E Ratio The S&P 500’s P/E ratio averaged 17.9 in 3Q’15, down 3.5 percent from the previous quarter’s 18.6 but a 0.9 percent increase from 17.8 in 3Q’14. The S&P P/E ratio stood 10.0 percent above the 5-year average of 16.3 in 3Q’15 but 37.7 percent below the high of 28.4 in 1Q’00.13 S&P 500 P/E Ratio Sept. 2010 - Sept. 2015 20 19 18 CBOE VIX Index 17 16 15 14 13 12 2010 2011 2012 2013 2014 2015 Source: S&P SPX Volatility Index (VIX) Sept.

2010 - Sept. 2015 Venture Capital Volume 40 35 30 25 20 15 10 5 0 2010 2011 2012 2013 2015 2014 Source: Chicago Board of Options Exchange Venture Capital Investments in U.S. Companies 2010:Q3 - 2015:Q3 18 $ Billions 1,400 # of Deals Investment 16 The Chicago Board Options Exchange Volatility Index (VIX) rose to an average of 19.3 in the third quarter from an average of 13.7 in 2Q’15.

The index decreased to a low of 12.0 on July 17 and then spiked in the middle of the quarter to a high of 40.7 on August 24, the highest value since September 26, 2011. The spike was caused largely by investor concerns over a stalling Chinese economy. The spread between high and low values for the VIX was much wider in 3Q’15 than in the previous quarter. 1,200 # of Deals 14 1,000 12 10 800 8 Venture capitalists invested $16.3 billion in 1,070 deals in the third quarter of 2015, according to the MoneyTree™ Report from PricewaterhouseCoopers LLP (PwC) and the National Venture Capital Association (NVCA), based on data provided by Thomson Reuters.

Quarterly venture capital (VC) investment activity decreased by 5.5 percent in dollars terms and by 11.0 percent in the number of deals compared to the second quarter of 2015 when $17.3 billion was invested in 1,202 deals. The third quarter is the seventh consecutive quarter of more than $10 billion of venture capital invested in a single quarter. The software industry continued to receive the highest level of funding of all industries with $5.8 billion on 412 deals in 3Q’15, down 20.5 percent in volume and 17.0 percent in number of deals from 2Q’15. The biotechnology industry received second most funding with $2.1 billion going into 121 deals followed by media and entertainment industry with $1.4 billion in funding received on 90 deals.14 600 6 400 4 200 2 0 0 10:Q3 11:Q3 12:Q3 13:Q3 14:Q3 15:Q3 Source: Pricewaterhouse/Venture Economics/NVCA MoneyTree Survey 13 14 SIFMA records start in January 2000. Q3 2015 Press Release, October 16, 2015. 15 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY DERIVATIVES According to the most recent Bank of International Settlements (BIS) Semiannual Over-the-Counter (OTC) Derivatives Markets Statistics Report 15 , the gross notional amount outstanding of OTC derivatives totaled $552.9 trillion as of end-June 2015 (down 12.1 percent from end-December 2014). Credit default swaps (CDS) (down 11.0 percent to $14.6 trillion), commodity swaps (down 10.6 percent to $1.7 trillion), interest rate swaps (IRS) (down 14.0 percent to $434.7 trillion), foreign exchange contracts (down 1.8 percent to $74.5 trillion) and unallocated contracts (down 12.1 percent to $19.8 trillion) all decreased from end-December 2014. Only equities (up 8.3 percent to $7.5 trillion) saw increases from end-June 2014. The gross credit exposure of outstanding OTC derivatives decreased 14.5 percent to $2.9 trillion during the same period. Gross Notional Amounts Outstanding: OTC Derivatives Jun.

2015 $552.91 Trillion CDS, $14.60T Unallocated, $19.84T Commodities, $1.67T Equities, $7.55T FX, $74.52T Interest Rates, $434.74T Source: BIS Semiannual OTC Derivatives Statistics (end June 2015) Interest Rate Swaps Gross Notional Value of Interest Rate Swaps Sep. 2014 - Sep. 2015 700 $ Trillions 6,000 Thousands 600 500 5,500 400 300 5,000 200 Gross Notional Outstanding 100 Trade Count (right) 4,500 0 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Source: DTCC Gross Notional Value of Interest Rate Swaps Sep.

25, 2015 OIS 60,722 Basis Swap 32,130 Swaption 26,110 CC-Swap 25,221 Cap/Floor 3,980 Swap Exotic 2,938 Option Exotic 1,202 Callable Swap 412 Debt Option 135 CC-Swap Exotic 63 $ Billions 0 10,000 20,000 30,000 40,000 50,000 60,000 70,000 Source: DTCC CDS Market Risk Activity By Sector, Weekly Jul. 2015 - Sep. 2015 140 120 $ Billions Utilities Technology Industrials Government The number of contracts outstanding decreased 4.2 percent q-o-q to 5.3 million.

Increases in inflation swaps (up 6.0 percent) and basis swaps (up 4.6 percent) were offset by decreases in cross-currency swaps exotic (down 22.0 percent), forward rate agreements (down 18.0 percent), overnight index swaps (down 5.4 percent), swaps (down 4.2 percent) and debt options (down 4.1 percent). Credit Default Swaps 7,472 Inflation Swap According to DTCC data, the gross notional value outstanding of IRS at endSeptember 2015 was $500.0 trillion, down 7.0 percent from end-June 2015’s $537.7 trillion. While q-o-q increases were found in debt options (up 85.0 percent), inflation swaps (up 4.7 percent) and basis swaps (up 4.6 percent), these were more than offset by decreases in forward rate agreements (down 19.3 percent), overnight index swaps (down 8.3 percent), swaps (down 4.7 percent), cross-currency exotic swaps (down 4.6 percent) and callable swaps (down 4.2 percent). According to DTCC data, the gross notional value outstanding of CDS, including single names, tranches and indices, declined 2.9 percent to $13.6 trillion at end-September 2015 from end-June, and fell 24.0 percent y-o-y. Single name CDS gross notional outstanding decreased 4.0 percent q-o-q to $7.3 trillion at end-September 2015.

The most oft-referenced entities outstanding by gross notional exposure in the third quarter were concentrated in sovereigns, led by Italy ($354.0 billion), Turkey ($133.6 billion), Brazil ($129.8 billion), Russia ($127.7 billion), Spain ($116.5 billion) and France ($93.8 billion). Telecommunications Energy Health Care Financials 100 80 60 40 20 0 7/3/15 7/24/15 8/14/15 9/4/15 15 9/25/15 Source: DTCC Based on data from most recent report released, available at: http://www.bis.org/statistics/derstats.htm. 16 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY GLOBAL PRIMARY LOAN MARKET 16 Volatility Returns to Global Markets; 3Q15 Loan Volume Down 31 Percent Global High Yield Bond Issuance 2010:Q3 - 2015:Q3 180 Growing concerns around the global economy, and more specifically, unease around a possible slowdown in China, coupled with fears of possible risks to other economies and industry sectors set the stage for market jitters and a lending slowdown across regions in 3Q’15. $ Billions 160 140 120 100 As the equities markets backed up amid a flight to quality, the global high yield bond market tumbled as yields widened and prices declined. By the end of the quarter, global issuers had raised a paltry $52.3 billion, the lowest quarterly total since the end of 2011 and a 57 percent drop compared to 2Q’15 totals. 80 60 40 20 0 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 Source: Thomson Reuters Global Loan Volume 2010:Q3 - 2015:Q3 1,400 $ Billions Japan APAC (ex. Japan) EMEA Americas 1,200 1,000 800 600 400 200 0 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 Source: Thomson Reuters LPC The reasoning for the pullback was slightly different across the Americas, Europe, the Middle East and Africa (EMEA) and Asia Pacific (APAC). In the Americas, the China slowdown combined with sliding oil prices to aggravate market conditions.

In EMEA, while concerns around China were real, the fears were rooted less in lower commodities valuations and more around possible contagion and the impact on trade balance. And in APAC, unease was based squarely on fallout from the weaker Chinese economy and subsequent currency devaluation. Market jitters as a result of the Federal Reserve’s announcement to delay an anticipated rate increase were limited, according to sources, with most noting that “no one expects rates to go anywhere but if cross border investors take a hit in the U.S., they will be less inclined to put money to work elsewhere.” Against this backdrop, the global loan market saw a substantial slump in 3Q’15 volume, raising less than $698 billion, the lowest quarterly total in five years. At just over $2.5 trillion, 1-3Q’15 global loan volume was down 21 percent compared to the same time last year. Across regions, lending declined with Europe, the Middle East and Africa observing the greatest year-over-year drop at 46 percent ($683 billion), while Asia Pacific (ex.

Japan) was down 31 percent ($324 billion) and the Americas logged a 25 percent drop ($389 billion). At $1.33 trillion, the Americas represented 53 percent of total 1-3Q’15 global volume and a 22 percent decline in syndicated loan volume compared to the year ago period. Quarter-over-quarter, Americas loan volume was down 31 percent in 3Q’15. EMEA logged just over $162 billion in syndicated loan volume in 3Q’15, a 46 percent drop yearover-year and 37 percent drop compared to 2Q’15 ($255.6 billion). Total issuance for the first nine months of the year was down 24 percent compared to the year ago period at less than $683 billion. Consistent with trends observed in the first half of the year, both the Americas and EMEA totals were due in large part to the dramatic falloff in refinancing activity.

In the Americas, nearly $242 billion in refinancing volume, or 62 percent of total 3Q’15 issuance, worked its way through the market, down from $393 billion last quarter and a 70 percent pro rata share of the market. In EMEA, refinancings made up 56 percent of 3Q’15 volume at $90.2 billion, down 43 percent compared to 2Q’15 totals and the lowest quarterly total in three years. In sync with its regional peers, 3Q’15 Asia Pacific loan volume, at under $90.5 billion, was down 28 percent compared to 2Q’15 totals ($125.3 billion) as regional growth stalled amid stock market gyrations and China’s economic slowdown. Volume for the first nine months of year totaled $324 billion, down 16 percent compared to the same time last year ($384 billion). 16 The author of the primary loan section is Maria Dikeos, Thomson Reuters LPC.

For any questions, please contact Maria Dikeos: maria.dikeos@thomsonreuters.com 17 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY New money lending supports limited pipeline At nearly $314 billion, new money represented 49 percent of total global volume for the quarter, up from 39 percent in 2Q’15 and 45 percent during the same time last year. 1-3Q’15 new money totaled nearly $1.1 trillion, down 9 percent compared to the year ago period, but represented a robust 43 percent of total global volume. Global New Money Volume 2009:Q2 - 2015:Q2 500 $ Billions Japan Asia Pacific (ex Japan) EMEA Americas 450 400 350 300 250 200 150 100 50 0 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 Source: Thomson Reuters LPC Global M&A Lending 2010:Q3 - 2015:Q3 250 $ Billions Japan APAC (ex Japan) 200 EMEA Americas 150 100 50 0 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 Source: Thomson Reuters LPC Proportionally, in the Americas, new loan assets ($148 billion) represented 38 percent of total regional issuance during the quarter, up from the 30 percent pro rata share observed in both 2Q’15 and the year ago period. At $470 billion, 1-3Q’15 new money raised in the Americas represented 43 percent of total new dollars raised during the first nine months of the year. At nearly $72 billion, EMEA new money lending represented 44 percent of total regional volume, up from the 38 percent logged in 2Q’15. More significantly, 3Q’15 total new money loan volume for the region was down 42 percent year-over-year and once again, reminiscent of historical quarterly lows.

At $267 billion, 1-3Q’15 EMEA new money was down 8 percent year-over-year. In Asia Pacific, $47.2 billion in new money lending worked its way through the market in 3Q’15, the lowest quarterly total since 4Q’12, and down 46 percent compared to the year ago period. Despite the market uncertainty around China’s economic growth, China’s lending led regional volumes fueling 31 percent of APAC loan volume. In contrast, lending in Southeast Asia struggled amid sluggish M&A activity and a meaningful slowdown in the sub-region’s economic prospects. Limited visibility to developing M&A calendar M&A delivered a number of opportunities across the regions, but was ultimately heavily concentrated on a pipeline driven out of the Americas and set in motion in the first half of the year.

In 3Q’15 global M&A volume totaled $151 billion, down 26 percent compared to 3Q’14 results. Global M&A loan volume for the first nine months of the year closed out at over $484 billion, down 8 percent compared to the same time last year. At less than $120 billion, 3Q’15 M&A issuance in the Americas was up 36 percent compared to 2Q’15 totals and a substantial 19 percent greater than year ago levels. It also represented over 79 percent of total global M&A volume during the quarter. M&A lending remained constrained in Latin America – although total quarterly issuance in the sub-region was up both quarter over quarter and year-over-year – as the market struggled with lower commodities prices and general market volatility.

As a result, it was the US market that provided the backbone of M&A financing opportunities to lenders, pushing over $120 billion of M&A loan volume through the market. M&A lending for the region for the first nine months of the year totaled $317 billion, up modestly from the same time last year, but making up over 65 percent of global new money loan assets. In EMEA, less than $23 billion of M&A issuance cleared the market in 3Q, a 57 percent drop compared to 2Q’15 totals (over $53.6 billion) and off 72 percent compared to the $80 billion raised in 3Q14. More significantly, M&A lending made up only 15 percent of global M&A loan volume for the quarter.

At about $123 billion, 1-3Q’15 EMEA M&A volume was down 18 percent compared to 1-3Q14 figures, and made up less than 20 percent of total volume for the region. Despite some promising signs of a possible pick up in acquisition financings observed in 2Q, M&A lending in APAC slowed in 3Q’15 to close less than $8 billion. This marked a 57 percent drop compared to 2Q’15 totals ($18 billion) and a 61 percent decline compared to year ago results. At less than $31 billion, 1-3Q’15 APAC M&A loan volume was down 37 percent compared to the same time last year. 18 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY More of a correction? Unsurprisingly, amid the market jumpiness – and occasional freefall – leveraged issuers saw the greatest dislocation. Nevertheless leveraged loan investors saw little in the way of a back up. Global Leveraged Loan Volume 2010:Q3 - 2015:Q3 450 $ Billions 400 Asia-Pacific 350 EMEA At $166 billion, 3Q’15 global leveraged loan volume slipped 36 percent yearover-year and down 46 percent compared to 2Q’15 totals. 1-3Q’15 global leveraged loan volume, at $653 billion, was down 31 percent year-over-year. Americas 300 250 200 150 100 50 0 1Q'10 3Q'10 1Q'11 3Q'11 1Q'12 3Q'12 1Q'13 3Q'13 1Q'14 3Q'14 1Q'15 3Q'15 “It could be better,” said one Europe based leveraged loan lender. “We are not seeing large, chunky leveraged or semi-leveraged deals, but small to mid-size deals.” At less than $28 billion, 3Q’15 EMEA leveraged loan volume was down 52 percent year-over-year and 55 percent compared to last quarter, marking the lowest quarterly totals in two years. Source: Thomson Reuters LPC In the Americas, over $135 billion in leveraged loan volume worked its way through the market in 3Q’15 to bring regional totals to over $518 billion for the first nine months of the year.

Although regional issuance made up 79 percent of total global leveraged loan volume year to date, lending in the Americas was down 31 percent year-over-year. Although the market has largely absorbed everything thus far, “we can’t draw any conclusions,” notes one lender. “It feels like there is a bias to drift a bit wider – maybe 25-50 bps on average and then a few outliers will be wider. It’s a voyage of discovery, but it doesn’t feel like we are being set up for a massive correction.” 19 .

RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY SECONDARY LOAN MARKET 17 Global Economic Concerns, Market Volatility Pushes Secondary Prices Lower Secondary Loan Prices Sept. 2013 - Sept. 2015 101 The third quarter was marked by an uptick in volatility as investors became more risk averse in the face of global economic concerns and declines in the equity markets. U.S.

institutional term loans ended the quarter down 170 bps to 96, following drops of nearly 100 bps in both August and September. The flow name SMi100 was down 100 bps to 98.44. European loans held their ground better than their U.S.

counterparts. The European Lev40 edged 36 bps lower in 3Q’15, finishing at 99.44. % of Par 100 99 98 97 U.S. SMi100 96 Euro Lev 40 U.S.

multi-quote Inst. TLs 95 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Sources: LSTA/Thomson Reuters LPC MTM Pricing, Thomson Reuters LPC European MTM Pricing Distribution of U.S Loans Prices 2015:Q3 55% Average Bid (% of Par) 50% Number of Loans 45% The drop in secondary loan prices pushed year to date U.S. loan returns down to 1.44 percent through September, following a 1.35 percent loss in 3Q’15, according to the S&P/LSTA loan index.

Open-end loan mutual funds in comparison have returned 1.10 percent so far in 2015. Weighted Volume of Loans 40% 35% 30% 25% 20% The downward pressure on secondary prices has continued in early October, with U.S. and European bids down around a quarter of a point. 15% 10% 5% 0% <80 >=101 100 to <101 Source: Thomson Reuters LPC 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 U.S. and European CLO AUM Sept.

2013 - Sept. 2015 600 $ Billions Europe 500 U.S. 400 300 200 100 0 During the quarter, U.S. secondary prices became more dispersed, with loans bid below 95 growing to 15 percent of the market.

Still, at the other end of the scale, the majority of loans (62 percent) are bid above 99. Riskier credits saw the biggest declines amid the risk-off environment, with CCC+ and below credits falling 7 points, with BB+/BB loans in contrast off less than 1 point. 9/13 11/13 1/14 3/14 5/14 7/14 9/14 Despite the pull-back, loans still fell less than other asset classes. U.S.

high yield bonds lost nearly 5 percent in 3Q’15 and are down 2.5 percent this year, according to Bank of America Merrill Lynch. As with loans, European high yield bonds outperformed the U.S. market.

Euro bonds fell 2.3 percent in 3Q’15, pushing the YTD return to -0.50 percent. Sterling high yields bonds were down only 0.76 percent in 3Q’15 and were still up 3.22 percent in the first three quarters of the year. Factors contributing to the European out performance in the high yield market include the much more limited role of the beleaguered oil and gas sector, a better credit rating profile, and the difference stage of monetary policy in Europe where quantitative easing is still in place. Providing some support for secondary loan prices in the third quarter was the lack of new issue supply.

New money U.S. institutional loan issuance is down Source: Thomson Reuters LPC Collateral 25 percent this year. High purchase price multiples and competition from strategic buyers have kept the volume of deals backed by private equity firms down.

More recently, macro volatility has also impacted activity. Given the lack of new money issuance, the U.S. institutional loan market grew by less than $9 billion in 3Q’15 to $843 billion.

On a percentage basis this translates into growth of 1 percent in 3Q’15 and an increase of only 1.4 percent year to date. 11/14 1/15 3/15 5/15 7/15 9/15 Lack of new issue loan supply is also an issue in Europe this year as demand from CLOs has been robust. One European CLO deal (€517m) priced in September, bringing 3Q’15 issuance to €2.54 billion, down from €4.50 billion in 2Q15. Still, European CLO issuance is at €10.3 billion so far this year, just above the figure of €9.9 billion recorded in the same period a year ago.

European CLO assets under management (AUM) are now at €66 billion, while U.S. CLOs now have $414 billion in assets. In turn, the U.S.

CLO share of institutional loan outstandings increased to 50 percent, up six percentage points since the start of the year. 17 The author of the secondary loan market section is Colm Doherty, Thomson Reuters LPC. For any questions, please contact Colm Doherty: colm.doherty@thomsonreuters.com 20 . RESEARCH REPORT | 3Q | 2015 RESEARCH QUARTERLY Oil & Gas Loan Bids Sept. 2014 - Sept. 2015 105 Oil ($) Average Bid (% of 105 95 100 85 95 75 90 65 55 85 45 80 U.S. multi-quote Inst.

TLs Oil & Gas loans 35 Oil 75 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 25 Sources: LSTA/Thomson Reuters LPC MTM Pricing, Thomson Reuters LPC European MTM Pricing In the face of the uptick in volatility, demand for U.S. loans eased as CLO issuance slowed and loan fund outflows continued in the third quarter. U.S.

CLO issuance fell for the third consecutive month in September, posting $4.9 billion in deal volume. For the quarter, issuance amounted to $18.2 billion, down from $30.6 billion in 2Q’15 and $29.8 billion in 1Q’15. Loan mutual funds & ETFs experienced further outflows again in 3Q’15 with $5.4 billion exiting, and fund flows were not helped by the Federal Reserve’s decision not to raise interest rates in September. This took year to date outflows to $12.1 billion and assets under management to $128 billion, down 9 percent this year. On the positive side, the pull-back in secondary market prices in recent months has provided the opportunity for portfolio managers with money to invest to pick up some assets at more attractive prices than in previous months. At an industry level, falling oil prices driven by concerns around a slowdown in the Chinese economy has kept the oil and gas sector in the headlines this year, though it represents only 3.5 percent of the U.S.

institutional loan market. Oil and gas loan bids declined by over 300 bps in September to the 78 area. Year-to-date, oil & gas bids are down 12 points on average.

The only industry trading at a lower level than oil & gas is the mining sector which has been pressured by falling commodity prices. Though oil and gas is a small part of the loan market and of CLO portfolios overall, looking at a more granular level, there is a small share of U.S. CLOs (14 percent) which have over 5 percent of their assets invested in oil & gas credits. The good news on the European side is that the impact of the oil and gas industry’s troubles has been much smaller than in the U.S., given the sectors more limited issuance in both the European leveraged loan and high yield bond markets. 21 . RESEARCH QUARTERLY RESEARCH REPORT | 3Q | 2015 Kyle Brandon Managing Director, Director of Research Sharon Sung – Assistant Vice President, Research Justyna Podziemska – Senior Associate, Research Sheeba Ogirala – Intern, Research SIFMA RESEARCH General Research Contact: research@sifma.org Joseph Cox – Assistant Vice President, Capital Markets Craig Griffith – Assistant Vice President, Capital Markets SIFMA CAPITAL MARKETS 22 .