Large Bank Supervision Forum 2023

Downgrades/Defaults Ratios and LTM #Defaults/Total Issuers

Versus pandemic-onset peak, downgrades/defaults remain light

Source: PitchBook | 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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Defaults: Percent of Outstanding Loans in Payment Default or Bankruptcy

Based on Morningstar LSTA US Leveraged Loan Index

12%

10.7%

9.9%10.0%

10%

8%

7.4%

7.0%

6%

5.0%

4.0%

3.7%

4%

3.6%

3.5%

2.9%

2.6%

2.4% 2.4%

2.2%

1.9%

2%

1.6%

1.2%

1.1% 1.3%

1.0% 1.0%

0.6%

0.6%

0.5% 0.6% 0.7%

0%

Includes all loans including those not included in the LSTA/TRLPC mark-to-market service. Primarily institutional tranches.

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

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