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.

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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.

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