Large Bank Supervision Forum 2023

Optimizing a Bank’s Portfolio One Loan at a Time

Filter 1a: Loans that fit the parameters of the bank’s local leveraged lending credit policy Filter 1b: Avoid vulnerable industry sectors

Filter 2: Loans that provide appropriate and attractive yield

Filter 3: Loans with acceptable default probability and recovery given default

Filter 4: Loans with superior call protection; i.e., time to call date

Filter 5: Loans with lower relative price volatility in the secondary market

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

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04. Summary and Q&A

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

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