Retail, Energy Drive U.S. Leveraged Loan Defaults; Post-Default Prices Strong Special Report. No defaults. Note: Full list of defaults on page 3.

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1 Leveraged Finance / U.S.A. Fitch U.S. Leveraged Loan Insight Retail, Energy Drive U.S. Leveraged Loan s; Post- Prices Strong Special Report U.S. Leveraged Loan Rate Breakdown /17 TTM 217F All Issuers Energy Retail F Forecast. Source: Fitch U.S. Leveraged Loan Index. Related Research Fitch U.S. High Yield Insight (U.S. High Yield TTM Rate Falls to Lowest Level Since March 214) (August 217) Healthcare, Food Beverage and Consumer Bankruptcy Enterprise Values and Creditor Recoveries (Fitch Case Studies 14th Edition) (June 217) The Annual Manual (U.S. Leveraged Finance Primer) (May 217) Bridging the Refinancing Cliff Update (Funding Gap Minimal; Refinancings Push Maturities to 22 and Beyond) (February 217) Energy, Power and Commodities Bankruptcy Enterprise Valuations and Creditor Recoveries (Fitch Case Studies 12th Edition) (January 217) U.S. Leveraged Finance: Road to Recovery Ratings (December 216) Retail Bankruptcy Enterprise Value and Creditor Recoveries (Fitch Case Studies 1th Edition) (September 216) Analysts Eric Rosenthal eric.rosenthal@fitchratings.com Michael Paladino, CFA michael.paladino@fitchratings.com Sharon Bonelli sharon.bonelli@fitchratings.com John Kempf, CFA john.kempf@fitchratings.com Brendan Hoelmer brendan.hoelmer@fitchratings.com Retail, Energy Impact s: Retail and energy remain the key sectors driving the TTM U.S. institutional leveraged loan default rate, contributing 8% of volume. J.Crew Group Inc. s distressed debt exchange and True Religion Apparel Inc. s bankruptcy propelled the TTM retail rate to.4%, with $3.8 billion of defaults over the past five months. Energy accounts for $7. billion of TTM volume, leading to a 17.4% July sector rate. Fitch anticipates the energy rate to finish 217 at 18%, with Seadrill Ltd. and Pacific Drilling near-term default candidates. Rate Below 2%: The default rate has remained in a tight 1.7% 2.% band since November. With no August defaults thus far, the rate falls to 1.7% from July s 1.9%. Fitch believes the rate has troughed and will climb to 2.% by year-end 217. Along with some energy and retail bankruptcies, there are a few defaults expected from other sectors later this year, notably iheartcommunications, Inc. Loans of Concern: With $34 billion outstanding, the Loans of Concern table highlights potential defaults over the next 12 months. Energy and metals/mining comprise 32% of the total, well below 6% seen one year prior. Retail contributes 14% of the current total. CLO Exposure: From the Loans list, the top five names held in Fitch-rated CLOs at the end of last month were Checkout Holding Corp. (84), Concordia International Corp. (72), Seadrill Ltd. (63), Getty Images Inc. (62) and Walter Investment Management Corp. (8). Fitch is monitoring Forterra Finance, LLC (held in 137 CLOs) and CPI Card Group Inc. (3) following weaker than expected earnings and a material drop in loan prices. The default rate for the overall Fitchrated CLO index is.4% at July 31. Post- Prices Steady: The July TTM 3-day, post-default, par-weighted bid price is 72% of par, up from 4% one year ago and above the historical 61% average. Energy is now 79%, significantly improved from 23% seen last year. The recent retail defaults have not fared as well. The post-default prices are at 44%, the lowest of any sector. Loan-Only Capital Structure: Nearly 6% of the $1.6 trillion institutional leveraged loan universe is made up of issuance by companies that have no high yield bonds in the capital structure from Fitch s bond index. That figure is essentially unchanged from one year earlier. However, the overall number rises to 78% when examining the universe based on issuance count due to the lack of bonds in large middle market transactions. Secondary Bids Rise: Average secondary bid prices for first-lien loans are at 98, with 67% above par. The broadly syndicated loan segment is even higher, at Nevertheless, retail continues to languish with 31% bid below 9 versus 27% last month and 19% last August. Retail, Energy Comprise 8% of TTM Par- Institutional Loan s Par- (LHS) Count (RHS) Ascent Resources, Gymboree a a 8/16 9/16 1/16 11/16 12/16 1/17 2/17 3/17 4/17 /17 6/17 7/17 a No defaults. Note: Full list of defaults on page 3. Source: Fitch U.S. Leveraged Loan Index. August 18, 217 Ocean Rig J.Crew, True Religion (No.)

2 Top Five Loans of Concern Industries Industry % of Leveraged Loan Outstanding Energy 29 Broadcasting & Media 2 Retail 7 Banking & Finance 3 Utilities, Power & Gas 2 Note: Percentage of institutional leveraged loans outstanding takes the amount outstanding from the Loans of Concern list divided by the amount outstanding within each industry. Source: Fitch U.S. Leveraged Loan Index. Loans of Concern Issuer Amount Outstanding ($ Mil.) Industry iheartcommunications, Inc. 6,3. Broadcasting & Media Fieldwood Energy LLC 3,286.4 Energy Seadrill Ltd. 2,86.7 Energy Getty Images Inc. 1,89. Broadcasting & Media Cumulus Media Inc. 1,81.3 Broadcasting & Media Sears Holdings Corp. 1,9. Retail Checkout Holding Corp. 1,1. Broadcasting & Media Walter Investment Management Corp. 1,416. Banking & Finance Concordia International Corp. 1,7.3 Healthcare & Pharmaceutical Harvey Gulf International Marine Corp. 87. Transportation Nine West Holdings Inc. 74. Retail Pacific Drilling SA Energy ExGen Texas Power LLC 69.6 Utilities, Power & Gas Millennium Health LLC 6. Healthcare & Pharmaceutical 99 Cents Only Stores LLC 92.3 Retail Philadelphia Energy Solutions Refining & Marketing LLC 26.6 Energy David's Bridal Inc Retail Pinnacle Holdco Sarl 48. Services & Miscellaneous Proserv Global Inc. 48. Energy J.G. Wentworth Inc Banking & Finance Triple Point Technology 43. Technology W&T Offshore Inc. 37. Energy Velocity Pooling Vehicle LLC 37. Automotive Azure Midstream Energy LLC 36.6 Energy Reddy Ice Corp. 34. Services & Miscellaneous TOMS Shoes LLC 36. Retail Caelus Energy Alaska O3 LLC 3. Energy Longview Power LLC 3. Utilities, Power & Gas RGL Reservoir Management Inc Energy Dixie Electric LLC 28. Energy Cactus Wellhead LLC 27. Energy Prowler Acquisition Corp. 27. Energy Isola AG 2. Chemicals Larchmont Resources LLC 2. Energy Everest Holdings LLC 22. Retail Express Energy Services 22. Energy Charlotte Russe Inc. 2. Retail Abaco Energy Technologies LLC 17. Energy Charming Charlie LLC 1. Retail Production Resource Group 1. Leisure & Entertainment NYDJ Apparel LLC 1. Retail Valitas Health Services Inc. 1. Healthcare & Pharmaceutical Vince, LLC 4. Retail Total 34,18.6 Note: Names above reflect our view of the most concerning issuers in the institutional leveraged loan market. Sorted by amount outstanding based on SEC Filings or available market information. Source: Fitch U.S. Leveraged Loan Index. Fitch U.S. Leveraged Loan Insight 2 August 18, 217

3 Institutional Leveraged Loan s on TTM Basis Month Issuer Par Value ($ Mil.) Date Source Industry August 216 Templar Energy LLC 1,4. 8//16 Missed Payment Energy Stallion Oilfield Holding Inc /14/16 Missed Payment Energy Foresight Energy LP /3/16 Restructuring Metals & Mining Subtotal 2,7.8 September 216 No Activity October 216 Tervita Corp /18/16 Chapter 1 Filing Services & Miscellaneous Key Energy Services Inc /24/16 Chapter 11 Filing Energy Performance Sports Group Ltd /31/16 Chapter 11 Filing Consumer Products Subtotal November 216 Bennu Oil & Gas LLC /3/16 Chapter 7 Filing Energy Subtotal 487. December 216 TwentyEighty Inc //16 Missed Payment Services & Miscellaneous La Paloma Generating Co. LLC /6/16 Chapter 11 Filing Utilities, Power & Gas Cumulus Media Inc /3/16 Distressed Exchange Broadcasting & Media Subtotal January 217 Shelf Drilling Holdings Ltd. 3. 1/11/17 Distressed Exchange Energy Avaya Inc. 3, /19/17 Chapter 11 Filing Telecommunications Subtotal 3,97.8 February 217 No Activity March 217 Answers Corp.. 3/3/17 Chapter 11 Filing Technology EXCO Resources Inc /1/17 Distressed Exchange Energy Montco Offshore Inc. 7. 3/17/17 Chapter 11 Filing Transportation SquareTwo Financial Corp /19/17 Chapter 11 Filing Banking & Finance Ocean Rig UDW Inc. 3,19. 3/27/17 Chapter 1 Filing Energy Subtotal 4,14.4 April 217 Payless Inc /4/17 Chapter 11 Filing Retail Sprint Industrial Holdings LLC 22. 4/13/17 Distressed Exchange Transportation Panda Temple Power LLC 38. 4/17/17 Chapter 11 Filing Utilities, Power & Gas AFGlobal Corp /3/17 Chapter 11 Filing Industrial/Manufacturing Subtotal 1,927.1 May 217 rue21, Inc. 21. /1/17 Chapter 11 Filing Retail Mood Media Corp /22/17 Chapter 1 Filing Leisure & Entertainment Total Safety US Inc. 4. /22/17 Distressed Exchange Services & Miscellaneous 21st Century Oncology Inc /2/17 Chapter 11 Filing Healthcare & Pharmaceutical Subtotal 1,76.9 June 217 Ignite Restaurant Group Inc /6/17 Chapter 11 Filing Gaming, Lodging & Restaurants Ascent Resources - Marcellus LLC 1,6. 6/7/17 Missed Payment Energy The Gymboree Corp /11/17 Chapter 11 Filing Retail Subtotal 1,931.9 July 217 True Religion Apparel Inc //17 Chapter 11 Filing Retail J.Crew Group Inc. 1,37. 7/11/17 Distressed Exchange Retail Subtotal 1,841. Source: Fitch U.S. Leveraged Loan Index. Fitch U.S. Leveraged Loan Insight 3 August 18, 217

4 Exhibits Index Institutional Leveraged Loan Market Profile... 4 Statistics Profile of Institutional Leveraged Loan s: Secondary Leveraged Loan Market Profile Credit Availability Indicators... 2 Appendix A Institutional Leveraged Loan Post- Price Data Appendix B Institutional Leveraged Loan Emergence Prices... 2 Fitch U.S. Institutional Leveraged Loan Index This index comprises rated and unrated, active institutional leveraged loans with a minimum deal size of $1 million. The loan facilities are all denominated in U.S. dollars and are comprised of institutional terms loans, drawn acquisition facilities, and bridge loans. Rated issuers in the index encompass companies with senior debt ratings from Fitch, Moody s, or S&P. Unrated issuers are included based on spread and leverage statistics. Broadly syndicated loans (BSLs) are defined as loans with a total deal size in excess of $ million, while large middle market (LMM) consists of loans with deal value of $1 million $ million. Those LMM loans with revenue of at least $ million are classified as BSL. Traditional middle market deals (under $1 million) are not included. A default is recorded when an index company: 1) files for bankruptcy protection, 2) after a 3-day grace period expires for a missed bond payment or a five-day grace period expires for a missed loan payment without a forbearance, or 3) there is a distressed exchange, which affects the loan facilities. The default rate is calculated by dividing the par value of affected loans by the average size of the market over a stated time horizon. Source: Fitch Ratings, Thomson Reuters LPC, Bloomberg, SEC Filings. Institutional Leveraged Loan Market Profile Institutional Leveraged Loan Industry Composition Industry Amount Outstanding ($ Bil.) No. Issuers Average Issue Size ($ Mil.) BSL LMM % of Industry First Second Sponsored Cov- Lien Lien Lite Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total 1, , BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. 92% of Outstanding Fitch-Rated and Credit Opinion Institutional Loans Bid Above Bid 8/12/16 Bid 8/11/17 93% of Outstanding Fitch-Rated and Credit Opinion Institutional Loans Bid Above 9, Excluding Energy, Metals/Mining Bid 8/12/16 Bid 8/11/17 Note: Sample based on 32 Fitch Ratings and Credit Opinions completed over the past year that includes issuers with institutional term loans with available secondary pricing. Advantage Data, Note: Sample based on 31 Fitch Ratings and Credit Opinions completed over the past year that includes issuers with institutional term loans with available secondary pricing. Advantage Data, Fitch U.S. Leveraged Loan Insight 4 August 18, 217

5 1% of Outstanding Overall Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 1% 9% of Outstanding Overall Institutional Loans Excluding Energy, Metals/Mining Bid Under Bid 8/12/16 Bid 8/11/17 9% Advantage Data, Advantage Data, 32% of Outstanding Energy, Metals/Mining Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 32% 44% of Outstanding Retail Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 44% Advantage Data, Advantage Data, 6% of Outstanding Healthcare/ Pharmaceutical Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 6% 16% of Outstanding TMT Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 16% Advantage Data, TMT Technology, Media and Telecommunications. Advantage Data, Fitch U.S. Leveraged Loan Insight August 18, 217

6 9% of Outstanding Overall BSL Institutional Loans Bid Under 9 Bid 8/12/16 Bid 8/11/ Average bid: % of Outstanding Overall LMM Institutional Loans Bid Under Bid 8/12/16 Bid 8/11/17 Average bid: 97. BSL Broadly syndicated loans. Advantage Data, Rating of First-Lien Institutional Loans CCC 6% BBB 3% BB 3% LMM Large middle market. Advantage Data, Rating of First-Lien Energy and Metals/Mining Institutional Loans CCC 28% BB 2% B 6% Note: Based on 1,138 issues rated by at least one of three rating agencies. Advantage Data, Rating of First-Lien BSL Institutional Loans CCC % BBB 3% B 2% Note: Based on 74 issues rated by at least one of three rating agencies. Advantage Data, Rating of First-Lien LMM Institutional Loans CCC 1% BBB 1% BB 8% B 4% BB 38% B 81% BSL Broadly syndicated loans. Note: Based on 836 issues rated by at least one of three rating agencies. Advantage Data, Rating of First-Lien Sponsored Institutional Loans CCC 7% BBB 1% BB 1% LMM Large middle market. Note: Based on 32 issues rated by at least one of three rating agencies. Advantage Data, Rating of First-Lien Non- Sponsored Institutional Loans B 32% CCC 4% BBB % B 74% Note: Based on 71 issues rated by at least one of three rating agencies. Advantage Data, BB 9% Note: Based on 437 issues rated by at least one of three rating agencies. Advantage Data, Fitch U.S. Leveraged Loan Insight 6 August 18, 217

7 Rating of First Lien Loans by Industry % of Sector Rated BB % of Sector Rated B % of Sector Rated CCC-C Automotive Banking & Finance a Broadcasting & Media Building & Materials Cable a Chemicals Consumer Products a Energy Food, Beverage & Tobacco 48 2 Gaming, Lodging & Restaurants a 44 Healthcare & Pharmaceutical a Industrial/Manufacturing Insurance Leisure & Entertainment a Metals & Mining 3 92 Paper & Containers Real Estate 6 3 Retail a Services & Miscellaneous a Supermarkets & Drug Stores 91 9 Technology a Telecommunications Transportation a Utilities, Power & Gas Total a a Issues rated BBB are included in percent of Sector Rated BB. Thomson Reuters LPC, Bloomberg. Monthly Institutional Covenant-Lite Issuance Covenant-Lite Covenants Note: Covenant-lite is defined as deals that do not have maintenance covenants. Thomson Reuters LPC, Bloomberg. Outstanding Covenant-Lite Constitutes 67% of BSL Market ($ Bil.) Covenant-Lite Covenants 1, 67% 8 6 7% % 74% 46% 6% Pre July 217 Total BSL Broadly syndicated loans. Note: Covenant-lite percentages shown. Outstanding institutional leveraged loan market profile at end of July. s reflect the vintage of current loans outstanding and not total issuance. Covenant-lite is defined as deals that do not have maintenance covenants. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 7 August 18, 217

8 Institutional Leveraged Loan Maturities Shrink ($ Bil.) 3 2 Only $83 billion due through 219. July 216 July Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Maturity Schedule by Industry ($ Bil.) Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 8 August 18, 217

9 Institutional Leveraged Loan Maturity Schedule by Industry BSL ($ Bil.) Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Maturity Schedule by Industry LMM ($ Bil.) Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 9 August 18, 217

10 Market Size and Growth Rate ($ Bil.) Market Size (LHS) Growth Rate (RHS) 1,2 6 1, July 217 Note: July 217 growth rate year over year. Thomson Reuters LPC, Bloomberg. 4 2 (2) (4) Institutional Loan and High-Yield Bond Issuance ($ Bil.) Institutional Loans Refinancings drove 412 new issuance Cross-Market Trends Size and Growth Rate High-Yield Bonds Refinancing activity increased again July 216 Source: Fitch Ratings, Thomson Reuters LPC, Bloomberg. YTD July 217 YTD Loans (LHS) High Yield (LHS) ($ Bil.) Loans Growth Rate (RHS) High-Yield Growth Rate (RHS) 1, 6 1, July (2) (4) Note: July 217 growth rate year over year. Thomson Reuters LPC, Bloomberg. BSL Versus LMM Size and Growth Rate BSL (LHS) LMM (LHS) BSL Growth Rate (RHS) LMM Growth Rate (RHS) ($ Bil.) 1, July 217 BSL Broadly syndicated loans. LMM Large middle market. Note: July 217 growth rate year over year. Thomson Reuters LPC, Bloomberg (1) (3) Fitch U.S. Leveraged Loan Insight 1 August 18, 217

11 Institutional Leveraged Loan 3-Day Post- Prices a First Lien First Second Bond and Loan Loan Only Non- Lien Lien BSL LMM Cov Lite Issuers Issuers Sponsored Sponsored July 217 TTM Observations ($ Bil.) July 217 TTM a Par weighted and based on market prices post-default. The year above is specific to defaulted loans with price data (see pages for more details). BSL Broadly syndicated loans. LMM Large middle market. Institutional Leveraged Loan Emergence Prices a First Lien First Second Bond and Loan Loan Only Non- Lien Lien BSL LMM Cov Lite Issuers Issuers Sponsored Sponsored Observations ($ Bil.) a Par weighted and based on market prices at emergence. The year above is specific to issuers that have emerged from bankruptcy with loan-price data (See pages 2 27 for more details). BSL Broadly syndicated loans. LMM Large middle market. Fitch U.S. Leveraged Loan Insight 11 August 18, 217

12 Statistics Institutional Leveraged Loan Rate July 217 TTM Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Rate: BSL Versus LMM BSL July 217 TTM BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Rate: Sponsored Versus Non-Sponsored Sponsored LMM Non-Sponsored July 217 TTM Thomson Reuters LPC, Bloomberg. Fitch-Rated CLO Index 2. Institutional Loan Rate Fitch-Rated CLO Index Rate /16 8/16 9/16 1/16 11/16 12/16 1/17 2/17 3/17 4/17 /17 6/17 7/17 Source: Fitch Ratings. Fitch U.S. Leveraged Loan Insight 12 August 18, 217

13 Institutional Leveraged Loan Industry Rates July TTM 216 Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total Index Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 13 August 18, 217

14 Institutional Leveraged Loan Profile ($ Bil.) 216 July 217 TTM Issuance Pre Total Volume Source Bankruptcy Missed Payment Distressed Exchange and Non-Bankruptcy Restructurings Market Share BSL LMM Covenant Status Covenants Covenant Lite Priority First Lien Second Lien Capital Structure Loans and Bond Issuers Loan Only Issuers BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg, SEC filings. Time to (s) Cumulative Rates by Vintage Note: average: 2.9 years. time measured from date of issuance. Thomson Reuters LPC, Bloomberg. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 14 August 18, 217

15 Fitch U.S. Leveraged Loan Rate, Post- Prices and Loss Rate by Industry Rate Post- Prices Loss Rate Rate Post- Prices Loss Rate Rate Post- Prices Automotive Banking & Finance Broadcasting & Media Building & Materials Cable Chemicals Consumer Products Energy Food, Beverage & Tobacco Gaming, Lodging & Restaurants Healthcare & Pharmaceutical Industrial/Manufacturing Insurance Leisure & Entertainment Metals & Mining Paper & Containers Real Estate Retail Services & Miscellaneous Supermarkets & Drug Stores Technology Telecommunications Transportation Utilities, Power & Gas Total Market Note: Post-default prices based on price of defaulted issues 3 days after default. Includes first- and second-lien issues. Loss Rate = Rate x (1-Post- Prices). Thomson Reuters LPC, Bloomberg. Loss Rate Fitch U.S. Leveraged Loan Insight 1 August 18, 217

16 Institutional Leveraged Loan 3-Day Post- Prices a First Lien Bond First Second Cov- and Loan 216 Lien Lien BSL LMM Lite Issuers Loan Only Issuers Sponsored Non- Sponsored ($ Bil.) Consumer Products Technology Supermarket & Drug Stores Automotive Services & Miscellaneous Chemicals Energy Banking & Finance Leisure & Entertainment Metals & Mining Broadcasting & Media Paper & Containers Retail Utilities, Power & Gas 47.1 July 217 TTM Leisure & Entertainment Consumer Products Healthcare & Pharmaceutical Metals & Mining Utilities, Power & Gas Services & Miscellaneous Transportation Telecommunications Energy Broadcasting & Media Industrial/Manufacturing Technology Retail a Par weighted and based on market prices post-default. BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 16 August 18, 217

17 Profile of Institutional Leveraged Loan s: Volume and Issuer Count Volume (LHS) Number of Issuer Deals (RHS) ($ Bil.) (Count) Source Missed Payment 17% Distressed Exchanges and Non- Bankruptcy Restructurings 6% Bankruptcy 77% Thomson Reuters LPC, Bloomberg. Thomson Reuters LPC, Bloomberg. Market Share Covenant Status BSL 86% LMM 14% Covenant Lite 13% Covenants 87% BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. Thomson Reuters LPC, Bloomberg. Priority Second Lien 14% Unsecured 1% Capital Structure Loan Only 41% First Lien 8% Loan and Bond Issuers 9% Thomson Reuters LPC, Bloomberg. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 17 August 18, 217

18 Industry Profile of High Yield and Institutional Leveraged Loan s ($ Bil.) Industry Loans Bonds Total % of Total Energy Banking & Finance Broadcasting & Media Utilities, Power & Gas Gaming, Lodging & Restaurants Metals & Mining Chemicals Paper & Containers Automotive Cable Service & Miscellaneous Telecommunications Retail Building & Materials Leisure & Entertainment Transportation Healthcare & Pharmaceutical Technology Real Estate Consumer Products Food, Beverage & Tobacco Industrial/Manufacturing Supermarkets & Drug Stores Insurance.... Total Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Versus High Yield Average Annual Industry Rates: Utilities, Power & Gas Broadcasting & Media Chemicals Real Estate Building & Materials Gaming, Lodging & Restaurants Metals & Mining Paper & Containers Banking & Finance Cable Energy Leisure & Entertainment Automotive Consumer Products Retail Transportation Telecommunications Services & Miscellaneous Healthcare & Pharmaceutical Supermarkets & Drug Stores Industrial/Manufacturing Technology Food, Beverage & Tobacco Insurance Total Market Institutional Leveraged Loan Rate High Yield Rate Note: Ranked by highest to lowest loan default rate. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 18 August 18, 217

19 Secondary Leveraged Loan Market Profile Historical Secondary Trading Volume ($ Bil.) a Indicative July 217 numbers. Source: LSTA. Monthly Secondary Trading Volume ($ Bil.) a Indicative July 217 numbers. Source: LSTA. Fitch U.S. Leveraged Loan Insight 19 August 18, 217

20 Credit Availability Indicators U.S. CLO Issuance ($ Bil.) U.S. CLO Issuance (LHS) Count (RHS) (Count) Source: Federal Reserve Senior Loan Officer Survey Percentage of Banks Tightening Standards on C&I Loans (2) (4) C&I Commercial and industrial. Source: The Federal Reserve. Commercial and Industrial Loans Bank Delinquency Rates Source: The Federal Reserve Board. Commercial and Industrial Loans Bank Charge-Off Rates Source: The Federal Reserve Board. Fitch U.S. Leveraged Loan Insight 2 August 18, 217

21 Primary Market Spreads Term Loan B BB BB/B B (TLB Drawn Spreads bps) Source: High Yield Bond and Bank Loan Mutual Fund Flows ($ Bil.) (2) (4) (6) High Yield Bonds Bank Loans Source: Lipper FMI. Fitch U.S. Leveraged Loan Insight 21 August 18, 217

22 The tables and charts on pages show 3-day post-default prices of loans broken down into five categories: 1. Seniority First-lien Loans Second-lien Loans 2. Market Type First-lien broadly syndicated loans First-lien large middle market 3. Capital Structure Issuers of loans and bonds Issuers of loans only 4. Covenant-Lite Loans. Sponsored First-lien sponsored First-lien non-sponsored These tables and charts can be compared to similar data based on emergence prices, which is located on pages Appendix A Institutional Leveraged Loan Post- Price Data 3-Day Post- Prices First Lien ($137.7 Bil.) Average 6.7%, Median 63.3% 3-Day Post- Prices Second Lien ($13.8 Bil.) Day Post- Prices First-Lien BSL ($12.9 Bil.) BSL Broadly syndicated loans Average 32.%, Median 1.1% Average 61.3%, Median 66.% Fitch U.S. Leveraged Loan Insight 22 August 18, 217

23 3-Day Post- Prices First-Lien LMM ($16.8 Bil.) LMM Large middle market. 3-Day Post- Prices First-Lien Loans and Bonds ($83.6 Bil.) Day Post- Prices First-Lien Loans Only ($4.1 Bil.) Average 6.4%, Median 4.8% Average 64.4%, Median 71.8% Average.1%, Median 6.6% Fitch U.S. Leveraged Loan Insight 23 August 18, 217

24 3-Day Post- Prices First-Lien Covenant Lite ($19.3 Bil.) Day Post- Prices First-Lien Sponsored ($79.2 Bil.) Day Post- Prices First-Lien Non-Sponsored ($8. Bil.) Average 43.8%, Median 39.% Average 8.7%, Median 6.8% Average 63.4%, Median 62.% Fitch U.S. Leveraged Loan Insight 24 August 18, 217

25 The tables and charts on pages 2 27 show emergence prices of loans broken down into five categories: 1. Seniority First-lien Loans Second-lien Loans 2. Market Type First-lien broadly syndicated loans First-lien large middle market 3. Capital Structure Issuers of loans and bonds Issuers of loans only 4. Covenant-Lite Loans. Sponsored First-lien sponsored First-lien non-sponsored Appendix B Institutional Leveraged Loan Emergence Prices Emergence Prices First Lien ($8. Bil.) Average 71.2%, Median 74.1% Emergence Prices Second Lien ($7.3 Bil.) Emergence Prices First-Lien BSL ($72.2 Bil.) BSL Broadly syndicated loans Average 27.%, Median.% Average 72.4%, Median 7.8% Fitch U.S. Leveraged Loan Insight 2 August 18, 217

26 Emergence Prices First-Lien LMM ($7.8 Bil.) LMM Large middle market. Emergence Prices First-Lien Loans and Bonds ($1.6 Bil.) Average 9.7%, Median 6.3% Average 8.9%, Median 92.% Emergence Prices First-Lien Loans Only ($28.3 Bil.) Average 3.3%, Median 2.% Fitch U.S. Leveraged Loan Insight 26 August 18, 217

27 Emergence Prices First-Lien Covenant Lite ($11.9 Bil.) Average 6.%, Median 73.2% Emergence Prices First-Lien Sponsored ($3.2 Bil.) Average 63.3%, Median 6.3% Emergence Prices First-Lien Non-Sponsored ($44.8 Bil.) Average 77.3%, Median 87.8% Fitch U.S. Leveraged Loan Insight 27 August 18, 217

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