Large Bank Supervision Forum 2023

Par Amount of Outstanding Senior Secured Loans by S&P Rating

30%

Less Suitable

Not Suitable

Bank Suitable

25.3%

24.4%

25%

Cautionary selection in Single B issuers

Approximately 41.05% of market considered bank suitable

20%

15%

11.8% 12.1%

10%

6.5%

4.9%

5.5%

4.0%

5%

1.8%

2.0%

0.6%

0.5% 0.3% 0.0%

0.0% 0.3%

0%

As of December 31, 2022 Includes all loans including those not included in the LSTA/LPC mark-to-market service Vast majority are institutional tranches Source: LCD. Data represented by the Morningstar ® LSTA ® Leveraged Loan Index.

Source: LCD. Data represented by the Morningstar ® LSTA ® Leveraged Loan Index, December 31, 2022

For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to the general public.

11

The Current Default Rate Remains Well Below Historical Avg.

12%

A year-end 2022 survey by LCD projects expected default to peak at 2.0-2.49% on 12/31/2023.

10%

Energy Future Holdings Corp. (EFH) filed for bankruptcy and added over $19 billion to the default volume

8%

6%

Historical default rate average of 2.73%

4.17%

4%

2%

0.72%

0.18%

0%

Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 All Loans Default rate is LTM total default amount over par outstanding at the beginning of the 12 month period. Includes all loans including those not included in the LSTA/TRLPC mark-to-market service. Primarily institutional tranches.

Source: LCD. Data represented by the Morningstar ® LSTA ® Leveraged Loan Index, December 31, 2022

For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to the general public.

12