Large Bank Supervision Forum 2023

Credit Stats: Average Cash Flow Multiples of Highly Leveraged Loans

Pre-1996: L+250 and Higher; 1996 to 2021: L+225 and higher; 2022 to date: SOFR+225 and higher In 1991, there were insufficient deals to form a meaningful sample. Media and telecom deals are excluded prior to 2011.

6.0x

5.0x

4.1

3.9 3.8 4.1 4.1 4.2

4.0 4.1 3.9 3.9

4.0

3.8 4.0

3.8 3.9

4.0x

3.6

3.5

3.4

3.0 2.9

3.0x

2.0x

1.0x

0.0x

EBITDA-Capex/Cash Interest

EBITDA/Cash Interest

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.

19

Pricing: Weighted Average Absolute Institutional Rate - BB/BB

Three month LIBOR (prior to 2022) or SOFR (2022 or later) plus weighted average institutional spread. X-axis reflects period (observations). Base rate reflects the average during the quarter

10%

8%

6%

4%

2%

0%

2Q12 (27)

1Q13 (48)

4Q13 (40)

3Q14 (25)

2Q15 (45)

1Q16 (19)

4Q16 (46)

3Q17 (46)

2Q18 (65)

1Q19 (21)

4Q19 (51)

3Q20 (10)

2Q21 (43)

1Q22 (12)

4Q22 (18)

3-Month Base Rate

Institutional Spread

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.

20