Large Bank Supervision Forum 2023

i. U.S. Loan Market Update

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

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U.S. Senior Loan Market Profile

Morningstar ® LSTA ® Leveraged Loan Index (“Index”) as of December 31, 2022

Notables

The amount of Index outstandings declined by $17.3 billion in Q4 and now stands at $1.41 trillion Refinancing activity was the main driver of Q4 new issuance, although LBO/M&A were prevalent as well Overall credit quality remains primarily concentrated in single B, and to a lesser degree, BB loans



Market Size Total Outstanding ($ Bn)

Document Stats Cov-Lite

89%

$1,413.24

YTD Institutional Issuance ($ Bn)

$225.1

% of Floors >0 (by par)

63.35%



Number of Issuers Number of Industries

1175

New Issuance Tied to SOFR YTD ($bn) SOFR Issuance as a % of Index Size New-Issue US Loans by Purpose – Q4 (%) LBO, Merger, Acquisition

218.1

65

15.43%

Ratings Breakdown by Par Value (%) BBB- and Above



5.16% 23.79% 61.80% 7.46% 1.78% 12.01% 5.65% 5.36% 4.77% 4.20%

36.39% 60.85% 0.21% 0.52% 2.02%

BB

Refinancing

B

Recap/Dividend Corp Purpose

Technology and healthcare related companies well represented



CCC and Below

Not Rated

All Other

CLOs continue to be the majority holder of institutional loans New issue loans no longer tied to LIBOR; legacy loans have until June 2023 to transition



Top 5 Industries by Par Value (%) 1 Software Health Care Providers & Services



Hotels, Restaurants & Leisure

Media

IT Services

Source: LCD. The Morningstar ® LSTA ® Leveraged Loan Index is an unmanaged total return index that captures accrued interest, repayments, and market value changes of fully-funded institutional term loans. Investors cannot invest directly in an index. Past performance is no guarantee of future results . 1 The Global Industry Classification Standard (GICS®) industries are being shown.

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

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