Large Bank Supervision Forum 2023

U.S. Loan Market Default Experience

Defaults by Issuer Count January 1, 2000 to December 31, 2022

80

70

60

50

40

30

20

10

0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

Originally BB-Rated Originally B-Rated Broad Loan Market

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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Credit Stats: Average Debt Multiples of Highly Leveraged Loans In 1991, there were insufficient deals to form a meaningful sample. Media and telecom deals are excluded prior to 2011. For 1987-1996, breakouts of first-lien debt & second-lien debt were not available; therefore the lower portion of the column reflects Bank Debt/EBITDA and top reflects all Non Bank Debt/EBITDA

8x

6x

5.2 5.2 5.1 5.3 5.3

5.0 5.0

4.9

4.7 4.9 4.7

4.4 4.5

4.3

4.2 4.3 4.4

3.8 4.0 3.9

4x

2x

0x

FLD/EBITDA SLD/EBITDA Other Sr Debt/EBITDA Sub Debt/EBITDA

Pre-1996: L+250 and Higher; 1996 to 2021: L+225 and higher; 2022 to date: SOFR+225 and higher 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.

18