Large Bank Supervision Forum 2023

Fundamentals

Total 1 st Lien Leverage for New Issues Moved lower in Q4 but remain inside issuer valuations

Interest Coverage for New Issues Decreased to 3.9x during the quarter given higher borrowing costs

8.0x

8.0x

6.0x

6.0x

4.9 4.7 5.0 5.0 5.2 5.2 5.1 5.3 5.3

4.9

4.4 4.5 4.7

4.3

4.3 4.4

2.9 3.8 3.9 4.1 3.9 3.8 4.1 4.1 4.2 3.8 4.0 3.6 3.4 4.0 4.1 3.9 3.9

3.8 4.0 3.9

3.5 3.0

4.0x

4.0x

2.0x

2.0x

0.0x

0.0x

EBITDA-Capex/Cash Interest

EBITDA/Cash Interest

FLD/EBITDA Total SL and Other Sub Debt/EBITDA

Trailing 12-Month Loan Default Rate Declined to 0.72%, remains close to historical low for asset class

Downgrade to Upgrade Ratios Down substantially since 2020; although 3M ticked up to 2.77x from 2.28x in Q3

12%

10x 15x 20x 25x 30x 35x 40x 45x

10%

8%

6%

4%

2%

0x 5x

0%

By Principal Amount

Average by Principal Amount

Rolling 3-Months

Rolling 12-Months

Source: LCD. Data as of 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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Inflation and Fed Policy

Inflation Falling But Remains Elevated

Implied Fed Funds Target Rate and Fed Funds Futures

December 2022

CPI

10.0

1.5

6.0

5.5

8.0

1.0

5.0

6.0

0.5

4.5

4.0

4.0

YoY %

0.0 MoM %

2.0

3.5

-0.5

3.0

0.0

FOMC Members December Meeting FOMC DOT Median December Meeting Fed Funds Futures 12/20/22/22

2.5

-2.0

-1.0

Feb-19 Sep-19 Apr-20 Nov-20 Jun-21 Jan-22 Aug-22

2.0

2023

2024

2025

Longer Term

0 6 12 18 24 30 36 42 48

MoM

YoY

Source: Bloomberg, Federal Reserve and Voya Investment Management Left display as of 1/12/2023. On right display, FOMC Members and FOMC DOT Median as of 12/14/22 and Fed Funds Futures as of 12/20/22.

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

44