Large Bank Supervision Forum 2023

Defaults: Percent of Issuers in Payment Default or Bankruptcy

Based on Morningstar LSTA US Leveraged Loan Index

10%

9.6%

8.9% 8.6%

8%

7.3%

6.3%

6%

5.3%

4.3%

4%

3.1%

2.4%

2.3%

1.9% 1.7%

1.9%

1.8%

2%

1.5%

1.3% 1.5% 1.2% 1.3%

1.3%

1.2%

1.0%

0.8%

0.6% 0.6% 0.7%

0.6%

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.

15

Defaults: Par Amount Outstanding in Payment Default or Bankruptcy

Based on Morningstar LSTA US Leveraged Loan Index

$60B

56.7

$50B

$40B

30.7

$30B

26.1

25.4

23.7

22.1

$20B

15.0

13.8

12.8 13.2

12.1 13.0

11.0

10.2

8.8 7.7

8.6 9.5

8.4

8.3

$10B

7.1

6.5

4.9

4.0

3.5

0.3 0.7

$0B

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.

16