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

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 21 216 7/17 TTM 217F All Issuers 1.7 1.8 1.9 2. Energy 9.8 14.2 17.4 18. Retail..4.4 9. 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 +1 212 98-286 eric.rosenthal@fitchratings.com Michael Paladino, CFA +1 212 98-9113 michael.paladino@fitchratings.com Sharon Bonelli +1 212 98-81 sharon.bonelli@fitchratings.com John Kempf, CFA +1 646 82-471 john.kempf@fitchratings.com Brendan Hoelmer +1 646 82-4781 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 98.4. 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 1 8 6 4 2 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. www.fitchratings.com August 18, 217 Ocean Rig J.Crew, True Religion (No.) 4 3 2 1

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 719.3 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. 497. Retail Pinnacle Holdco Sarl 48. Services & Miscellaneous Proserv Global Inc. 48. Energy J.G. Wentworth Inc. 449. 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. 293. 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

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. 328. 8/14/16 Missed Payment Energy Foresight Energy LP 297.8 8/3/16 Restructuring Metals & Mining Subtotal 2,7.8 September 216 No Activity October 216 Tervita Corp. 244.6 1/18/16 Chapter 1 Filing Services & Miscellaneous Key Energy Services Inc. 289.7 1/24/16 Chapter 11 Filing Energy Performance Sports Group Ltd. 33. 1/31/16 Chapter 11 Filing Consumer Products Subtotal 864.7 November 216 Bennu Oil & Gas LLC 487. 11/3/16 Chapter 7 Filing Energy Subtotal 487. December 216 TwentyEighty Inc. 39. 12//16 Missed Payment Services & Miscellaneous La Paloma Generating Co. LLC 411.7 12/6/16 Chapter 11 Filing Utilities, Power & Gas Cumulus Media Inc. 28.7 12/3/16 Distressed Exchange Broadcasting & Media Subtotal 799.4 January 217 Shelf Drilling Holdings Ltd. 3. 1/11/17 Distressed Exchange Energy Avaya Inc. 3,247.8 1/19/17 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. 382.8 3/1/17 Distressed Exchange Energy Montco Offshore Inc. 7. 3/17/17 Chapter 11 Filing Transportation SquareTwo Financial Corp. 146.1 3/19/17 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. 66. 4/4/17 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. 662.1 4/3/17 Chapter 11 Filing Industrial/Manufacturing Subtotal 1,927.1 May 217 rue21, Inc. 21. /1/17 Chapter 11 Filing Retail Mood Media Corp. 228. /22/17 Chapter 1 Filing Leisure & Entertainment Total Safety US Inc. 4. /22/17 Distressed Exchange Services & Miscellaneous 21st Century Oncology Inc. 62.4 /2/17 Chapter 11 Filing Healthcare & Pharmaceutical Subtotal 1,76.9 June 217 Ignite Restaurant Group Inc. 11.3 6/6/17 Chapter 11 Filing Gaming, Lodging & Restaurants Ascent Resources - Marcellus LLC 1,6. 6/7/17 Missed Payment Energy The Gymboree Corp. 76.6 6/11/17 Chapter 11 Filing Retail Subtotal 1,931.9 July 217 True Religion Apparel Inc. 471. 7//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

Exhibits Index Institutional Leveraged Loan Market Profile... 4 Statistics... 12 Profile of Institutional Leveraged Loan s: 27 216... 17 Secondary Leveraged Loan Market Profile... 19 Credit Availability Indicators... 2 Appendix A Institutional Leveraged Loan Post- Price Data... 22 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 21. 2 39 3 398.9 86 14 94 6 74 6 Banking & Finance 7.3 79 6 481.3 83 17 94 6 64 62 Broadcasting & Media 4.4 4 4 667. 89 11 97 3 2 64 Building & Materials 2. 2 29 2 46.7 77 23 93 7 66 68 Cable 11.1 1 11 1 63.6 9 1 28 1 Chemicals 36. 3 67 44.7 9 1 9 47 7 Consumer Products 16.9 2 26 2 376. 76 24 93 7 8 64 Energy 36.3 3 2 4 47.8 83 17 8 1 47 4 Food, Beverage & Tobacco 22. 2 38 3 449.8 76 24 96 4 1 Gaming, Lodging & Restaurants 43.2 4 4 3 697.2 89 11 99 1 4 9 Healthcare & Pharmaceutical 18.6 1 143 1 9.2 9 1 9 9 1 Industrial/Manufacturing 37.8 4 3 4 429. 81 19 94 6 78 8 Insurance 2. 2 32 2 69. 92 8 83 17 86 76 Leisure & Entertainment 39. 4 42 3 638.8 91 9 9 61 68 Metals & Mining 12. 1 26 2 379.8 76 24 98 2 29 Paper & Containers 19.6 2 26 2 3.4 91 9 96 4 66 64 Real Estate 13.9 1 14 1 631. 92 8 9 4 61 Retail 6.9 6 7 69.1 89 11 93 7 71 76 Services & Miscellaneous 136.6 13 246 18 391. 79 21 9 1 74 66 Supermarkets & Drug Stores 11.6 1 13 1 611.4 9 9 1 72 81 Technology 139.1 13 174 12 69.9 88 12 92 8 78 71 Telecommunications 66.8 6 4 3 867.1 9 93 7 31 1 Transportation 39.2 4 48 3 49.3 86 14 98 2 6 4 Utilities, Power & Gas 3.7 3 33 2 7.6 87 13 1 2 47 Total 1,6.6 1 1,41 1 24.9 86 14 94 6 62 62 BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. 92% of Outstanding Fitch-Rated and Credit Opinion Institutional Loans Bid Above 9 8 7 6 4 3 2 1 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 8 7 6 4 3 2 1 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

1% of Outstanding Overall Institutional Loans Bid Under 9 7 6 4 3 2 1 Bid 8/12/16 Bid 8/11/17 1% 9% of Outstanding Overall Institutional Loans Excluding Energy, Metals/Mining Bid Under 9 7 6 4 3 2 1 Bid 8/12/16 Bid 8/11/17 9% Advantage Data, Advantage Data, 32% of Outstanding Energy, Metals/Mining Institutional Loans Bid Under 9 4 3 2 1 Bid 8/12/16 Bid 8/11/17 32% 44% of Outstanding Retail Institutional Loans Bid Under 9 4 3 3 2 2 1 1 Bid 8/12/16 Bid 8/11/17 44% Advantage Data, Advantage Data, 6% of Outstanding Healthcare/ Pharmaceutical Institutional Loans Bid Under 9 7 6 4 3 2 1 Bid 8/12/16 Bid 8/11/17 6% 16% of Outstanding TMT Institutional Loans Bid Under 9 7 6 4 3 2 1 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

9% of Outstanding Overall BSL Institutional Loans Bid Under 9 Bid 8/12/16 Bid 8/11/17 7 6 Average bid: 98.4 4 3 2 1 14% of Outstanding Overall LMM Institutional Loans Bid Under 9 4 3 2 1 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

Rating of First Lien Loans by Industry % of Sector Rated BB % of Sector Rated B % of Sector Rated CCC-C Automotive 37 6 3 Banking & Finance a 32 62 6 Broadcasting & Media 33 4 21 Building & Materials 2 78 1 Cable a 6 33 2 Chemicals 39 61 Consumer Products a 23 72 4 Energy 26 38 3 Food, Beverage & Tobacco 48 2 Gaming, Lodging & Restaurants a 44 Healthcare & Pharmaceutical a 4 7 3 Industrial/Manufacturing 13 83 4 Insurance 16 83 1 Leisure & Entertainment a 26 73 1 Metals & Mining 3 92 Paper & Containers 26 7 4 Real Estate 6 3 Retail a 24 61 1 Services & Miscellaneous a 28 68 3 Supermarkets & Drug Stores 91 9 Technology a 37 61 2 Telecommunications 73 27 Transportation a 8 3 6 Utilities, Power & Gas 64 32 4 Total a 38 7 6 a Issues rated BBB are included in percent of Sector Rated BB. Thomson Reuters LPC, Bloomberg. Monthly Institutional Covenant-Lite Issuance 1 8 6 4 2 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% 4 2 63% 74% 46% 6% Pre-214 214 21 216 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

Institutional Leveraged Loan Maturities Shrink ($ Bil.) 3 2 Only $83 billion due through 219. July 216 July 217 24 244 182 181 196 2 234 1 11 18 11 7 19 24 4 1 216 217 218 219 22 221 222 223 224 Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Maturity Schedule by Industry ($ Bil.) 217 218 219 22 221 222 223 224 Automotive.1.7. 1. 6. 3.4 2.8 6.8 Banking & Finance.. 1.3 7.6 6.3 12.7 13.3 1.8 Broadcasting & Media.2.4 9.1 4.1 4.9 4. 7.7 13.9 Building & Materials..2..3 1.4 4.3 8..3 Cable.. 1. 1. 2.6.2 2.6 3.8 Chemicals.2..8 4.1 4.8 8.3 6.1 1.9 Consumer Products..2 1..7 1. 4.4 3.2 6. Energy. 4.2 1.2 6.8 13.4 2.1 3.9 4. Food, Beverage & Tobacco.2.6.4 1. 2.8 4. 8..6 Gaming, Lodging & Restaurants..3 1.7 4.2 8.7 2. 14. 11.4 Healthcare & Pharmaceutical. 1.9 8.7.2 23.2 26.6 24.1 17. Industrial/Manufacturing.1.3 2.1.1 1. 4.7 8.8 6.2 Insurance..3 1.1 3.3 4.1 7.2.2 3.8 Leisure & Entertainment..6.6 2.7 8.2 7.6.8 13. Metals & Mining..3 1.8 3.4 1.6 3.3 1..7 Paper & Containers...8 2.7 1.3 4.4 6.8 3.7 Real Estate..2.3.8 2.7 2.9 3.6 3.4 Retail. 1.3 4. 7.7 7.4 1.3 2.3 4.4 Services & Miscellaneous.3.8 8.3 13.8 29.4 32.9 26. 24. Supermarkets & Drug Stores.. 1.1.8 4.3 1.7 3.1. Technology.2 1.9 3.6 8.6 21.3 28.2 4.8 29.1 Telecommunications..9 3.6 1.8 4.9 4.2 6.6 3.7 Transportation. 1. 1.8 8.3 7.3 9.3 8.2 2.8 Utilities, Power & Gas.2 7. 1. 4.2 3.4 1. 13.3 4.6 Total 1. 24.4 6.8 18.4 181.6 19.7 2.1 233.8 Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 8 August 18, 217

Institutional Leveraged Loan Maturity Schedule by Industry BSL ($ Bil.) 217 218 219 22 221 222 223 224 Automotive..7.4..8 2.8 1.9 6.4 Banking & Finance...7 6. 4.3 1.6 11.9 14. Broadcasting & Media.. 9. 3.1 4.4 2.8 7. 13.4 Building & Materials.....9 2.8 7.2 4. Cable.. 1..8 2.6.2 2.3 3.8 Chemicals..2.6 3.1 3.6 7.9 6.1 1.8 Consumer Products...7.4.2 3.6 2.6. Energy. 3..9 4.3 11.7 1.8 3. 4. Food, Beverage & Tobacco..6.. 1. 3.4 7.1 4.6 Gaming, Lodging & Restaurants..3 1.2 3.4 7.8 1. 14.3 1.3 Healthcare & Pharmaceutical. 1.8 7. 4.1 21.3 23.4 22.6 16. Industrial/Manufacturing...6 3. 8.7 3.2 8.7.9 Insurance..3 1. 3. 4.1 6.2 4.8 3.6 Leisure & Entertainment..4.2 2. 8. 6.3.7 12.6 Metals & Mining.. 1.6 2.4.8 3.3.7.7 Paper & Containers...6 2.2 1.3 4. 6.3 3.4 Real Estate.... 2. 2.9 3.6 3.3 Retail..8 3.8 6.9 6.2 13.6 19. 3.7 Services & Miscellaneous..2 4.4 11. 21.8 27.4 22. 2.1 Supermarkets & Drug Stores.. 1.1. 4.3 1.7 2.9. Technology. 1. 2.9 6.7 17. 24.7 44.4 2. Telecommunications..7 3.1 1.3 4.2 4..6 3.2 Transportation. 1.1 1.6 7.1 6. 8.3 7.2 2. Utilities, Power & Gas. 7..8 3.1 2.8.6 12.7 4.3 Total. 18. 42.8 8.2 11.9 166.6 23. 21. Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Maturity Schedule by Industry LMM ($ Bil.) 217 218 219 22 221 222 223 224 Automotive.1..1..2.6.9.4 Banking & Finance...6 1.7 2. 2.1 1.4 1.7 Broadcasting & Media.2.4.1 1.1. 1.7.8.6 Building & Materials..2..3. 1.4 1.3.8 Cable....3...3. Chemicals.2.3.2 1. 1.2.4..1 Consumer Products..2.8.4.9.8.6. Energy..7.3 2. 1.7.4.. Food, Beverage & Tobacco.2..4 1. 1.3.6.9 1. Gaming, Lodging & Restaurants...6.8 1. 1..2 1.1 Healthcare & Pharmaceutical..1 1.7 1.2 1.8 3.2 1. 1. Industrial/Manufacturing.1.3 1. 1.6 1.8 1..1.3 Insurance...1.3. 1..4.3 Leisure & Entertainment..2.4.2.1 1.3.2.9 Metals & Mining..3.2 1.1.7..8. Paper & Containers...2.4..4..3 Real Estate..2.3.3.2...1 Retail...7.8 1.2 1.6 1.3.7 Services & Miscellaneous.3.6 4. 2.9 7.6. 4. 3.9 Supermarkets & Drug Stores....4...2. Technology.2.8.7 1.9 4.3 3. 1.4 3.6 Telecommunications..2...7.3 1.. Transportation..4.2 1.2 1.3 1..9.2 Utilities, Power & Gas.2..2 1.1.6 1..6.3 Total 1.4.9 14. 23.2 29.7 29.2 2.1 18.8 Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 9 August 18, 217

Market Size and Growth Rate ($ Bil.) Market Size (LHS) Growth Rate (RHS) 1,2 6 1, 8 6 4 2 27 28 29 21 211 212 213 214 21 216 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.) 7 6 4 3 2 1 Institutional Loans 62 28 Refinancings drove 412 new issuance. 41 41 33 2 289 26 281 27 263 24 18 192 2 17 13 147 128 124 7 48 3 Cross-Market Trends Size and Growth Rate High-Yield Bonds Refinancing activity increased again. 27 28 29 21 211 212 213 214 21 216 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 1,2 9 6 3 27 28 29 21 211 212 213 214 21 216 July 217 4 2 (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, 6 9 7 6 4 3 1 27 28 29 21 211 212 213 214 21 216 July 217 BSL Broadly syndicated loans. LMM Large middle market. Note: July 217 growth rate year over year. Thomson Reuters LPC, Bloomberg. 4 3 1 (1) (3) Fitch U.S. Leveraged Loan Insight 1 August 18, 217

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 27 88.8 41.3 88.8 88.8 88.8 28 49.4 18. 48. 8.6 37.6 4.3 6.4 39.9 7. 29 4.9 31.9 6.1 39.7 42. 63. 42.1 4.7 63.6 21 77.9 12.1 84.7 64.9 82.7 76. 78.6 76.1 211 6. 13. 68.9 4. 97. 49.2.3 76.9 212 6. 26. 67.3 6. 9. 68.9 64. 66. 64. 213 69.4 4. 68.8 93.6 4.1 71. 66.7 64. 71.6 214 78.4 3.3 78. 77.6 78.3 8.1 76.8 94.6 21 49.9 49.6 2.3 39. 32.9 3.3 44.3 62.1 42.8 216.1 23.7 46. 4.7 43.1 48.2 2. 49.2.7 July 217 TTM 72.2 24.3 71.2 78. 6.3 73.6 68. 67.8 77.2 27 216 6.7 32. 61.3 6.4 43.8 64.4.1 8.7 63.4 Observations ($ Bil.) 27.8.4.8.8.8 28 16.7 1. 14.4 2.3.9 1. 6.2 11.4.3 29 48.1 2.3 44.7 3.4 4.1 29.4 18.6 23.4 24.7 21 7.3 1.8 4.8 2. 1.6.7.2 2. 211 1..4.4.6.2.7.6.4 212 9.3.9 6.9 2.3 2.9 2.1 7.2 6. 3.2 213 9.1.2 8.9.2 1.7.2 4. 2.6 6. 214 24. 2.3 22.6 1.4 21.7 2.3 21.8 2.3 21 9.8 2.2 8. 1.8 4.3 6.2 3.6 3.6 6.2 216 11.6 1.7 9.2 2.4..9.7 4. 7.1 July 217 TTM 14.8 2. 12.9 1.9 9.6 11. 3.8 7.9 6.9 27 216 137.7 13.8 12.9 16.8 19.3 83.6 4.1 79.2 8. a Par weighted and based on market prices post-default. The year above is specific to defaulted loans with price data (see pages 22 24 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 27 74.7 2.6 74.7 74.7 74.7 28 8.6 2.3 9.6 48.2 8.3 7. 23.3 71. 27.4 29 78.9 29.2 8.7.7 8.7 89.3.7 62.8 89.6 21 76.2 6. 86. 8. 6.9 81.7 73.7 83.6 211 67.. 67. 78.. 67. 212 7.1 8.8 43. 3.9 4.2 63.9 8.8 213 77.1 76.8 99. 1. 87. 9..7 81.1 214 7.2 6.8 76. 47.3 9. 8.7. 77.6 21 36.3 19. 31.9 68. 37.1 43.1 32.6 31.1 38. 216 68.9 11. 6.8 83.3 79.9 7.2 67. 3. 76. 27 216 71.2 27. 72.4 9.7 6. 8.9 3.3 63.3 77.3 Observations ($ Bil.) 27.8.4.8.8.8 28 13. 1. 12.4 1.1.9 1.1 3.4 9.7 3.8 29 38.8 1.2 36.1 2.8 3.2 26.9 11.9 1. 23.4 21 3. 1.1 1.9 1.1.8 2.2 2.2.8 211.3..3.2.1.3 212 2.1 1.9.2 1.3 1..6 1.9 213 8. 7.9.1 1..2 2.8 1.8 6.4 214 2.7 1.9 2.1.6 1. 1.7.9 1.8 21 4.3 1.6 3.8. 2.8 1. 2.8 1.2 3.1 216 6.4.2.2 1.1 2.2 3.7 2.7 2. 4.4 27 216 8. 7.3 72.2 7.8 11.9 1.6 28.3 3.2 44.8 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

Statistics Institutional Leveraged Loan Rate 12 1 1. 8 6 4 2.2 2.9 1.9.6 1.8 1.6 3.2 1.7 1.8 1.9 27 28 29 21 211 212 213 214 21 216 July 217 TTM Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Rate: BSL Versus LMM 14 12 1 8 6 4 2.3.1 2.9 2.8 12. 4.6 BSL 3. 1.6..9 1.8 2.2 2..2 3.6 1. 1.7 1.9 1.7 2.2 1.9 2.1 27 28 29 21 211 212 213 214 21 216 July 217 TTM BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Rate: Sponsored Versus Non-Sponsored 16 14 12 1 8 6 4 2.. 3.3 2.4 7.2 1.1 Sponsored 2.3 1.3.8.3 1.8 1.9.6 3.2 LMM Non-Sponsored 4.4 1.7 2.2 2.6 1. 1.3 1.8 2.2 27 28 29 21 211 212 213 214 21 216 July 217 TTM Thomson Reuters LPC, Bloomberg. Fitch-Rated CLO Index 2. Institutional Loan Rate Fitch-Rated CLO Index Rate 2. 1. 1... 7/16 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

Institutional Leveraged Loan Industry Rates 27 28 29 21 211 212 213 214 21 216 July 217 27 TTM 216 Automotive 2.7 19.3 2.4 2.8 Banking & Finance 33.4 2.1.4.8 1..3 4.1 Broadcasting & Media 8.8 19. 6..4 1. 17.6 1.1..4.1 7. Building & Materials 13.8 31.2 4.2 3. 1.9.8 Cable 28.1 2.3 3.8 Chemicals 3.7 44.2 1.3 6.7 Consumer Products.9 8.1 3.2. 1.6 3. 2.7 2.3 2.1 Energy 1.7 2.6 2.1 1.1 9.8 14.2 17.4 3.7 Food, Beverage & Tobacco 1.2.8.3.2 Gaming, Lodging & Restaurants 13.4 2. 3.9.6 4.1 2. 2.1 13..3 4. Healthcare & Pharmaceutical.2.3 1. 1.7.4.1.3 2.3.6.7 Industrial/Manufacturing 4. 1.9 1.8. Insurance Leisure & Entertainment 1.3 32.8 1. 2.6.8.1.7 3. Metals & Mining 1.1 4.1 2.3 12.9 23.6 2.2 4.4 Paper & Containers 1.3 1.9 11.8 2.9 12.9.3 4.2 Real Estate 19.8 21.1.9 6.3 Retail 2.1 1.1.7 4. 2.8 3.4..1..4.4 1.8 Services & Miscellaneous 1.2.6 1. 2. 1.2 1.9.6..7.9 Supermarkets & Drug Stores 4.2 2.2.6 Technology 1.9.2.2.1.4.4.3 Telecommunications 2..2. 2. 1.9.9 1.2 Transportation 4.6 1.2.1 9.8 1. 3.3. 1.7 Utilities, Power & Gas.7.2 1..9 1. 2.4 7.2 Total Index.2 2.9 1. 1.9.6 1.8 1.6 3.2 1.7 1.8 1.9 2.7 Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 13 August 18, 217

Institutional Leveraged Loan Profile ($ Bil.) 216 July 217 TTM Issuance Pre 21.. 21.3. 211. 1.4 212 1.1. 213 7.6 6.6 214.4 7.6 21 3. 3.7 216..2 Total Volume 17.4 19.4 Source Bankruptcy 13.2 13.2 Missed Payment 3.1 3.2 Distressed Exchange and Non-Bankruptcy Restructurings 1.1 3.1 Market Share BSL 14.2 16. LMM 3.3 3. Covenant Status Covenants 9.1 6.9 Covenant Lite 8.3 12.6 Priority First Lien 14.1 1.9 Second Lien 3.4 3. Capital Structure Loans and Bond Issuers 7.1 11.6 Loan Only Issuers 1.4 7.8 BSL Broadly syndicated loans. LMM Large middle market. Thomson Reuters LPC, Bloomberg, SEC filings. Time to (s) 4 3 2 1 Cumulative Rates by Vintage 3 2 2 1 1 Note: 27 217 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

Fitch U.S. Leveraged Loan Rate, Post- Prices and Loss Rate by Industry Rate 214 21 216 Post- Prices Loss Rate Rate Post- Prices Loss Rate Rate Post- Prices Automotive 2.4 67.4.8 Banking & Finance 1. 4.9.9 Broadcasting & Media 1.1 4.8....4.4 34.6 3. Building & Materials Cable Chemicals 1.3 6.. Consumer Products 3. 38. 2.2 2.7 98.9. Energy 9.8 28.8 7. 14.2 43. 8.1 Food, Beverage & Tobacco Gaming, Lodging & Restaurants 2.1 36.3 1.3 13. 9. 1.2 Healthcare & Pharmaceutical.3 89.. 2.3 44.9 1.2 Industrial/Manufacturing Insurance Leisure & Entertainment.8.1 41..1 Metals & Mining 2.3 99.9. 12.9 44.2 7.2 23.6 38.8 14.4 Paper & Containers.3 2.8 4.2 Real Estate Retail.1 93.8.. 99...4 14..4 Services & Miscellaneous 1.9 3.8.9.6 96.8.. 71.1.1 Supermarkets & Drug Stores 2.2 93.1.1 Technology.2 92.8..1 3.8.1.4 98.. Telecommunications 1.9 1.. Transportation 3.3 9..3 Utilities, Power & Gas.9 77.4 11. 1. 47.1.8 Total Market 3.2 76.3.8 1.7 49.9.9 1.8 46.2 1. 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

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 98.9 98.9 98.9 98.9 98.9.3 Technology 98. 98. 98. 98..4 Supermarket & Drug Stores 93.1 93.1 93.1 93.1.3 Automotive 71.4 6.9 71.4 71.4 71.4.4 Services & Miscellaneous 71.1 98.7 4.8 98.7 4.8 4.8 98.7. Chemicals 6. 6. 6. 6.. Energy 3.6 2. 47.9 73.3 38.6 6.2 1.9 14.2 62.6 3.4 Banking & Finance. 9.3.... Leisure & Entertainment 41. 41. 41. 41.. Metals & Mining 38.8 41. 21.7 39.9 39.9 1.1 7.8 34. 3.2 Broadcasting & Media 34.6 34. 3. 6.2 33.8 6.2 34.6 1. Paper & Containers 2.8 2.8 2.8 2.8.7 Retail 14. 14. 14. 14..3 Utilities, Power & Gas 47.1 July 217 TTM Leisure & Entertainment 99.3 99.3 99.3 99.3.2 Consumer Products 98.9 98.9 98.9 98.9 98.9.3 Healthcare & Pharmaceutical 94. 94. 94. 94..6 Metals & Mining 92. 92. 92. 92. 92..3 Utilities, Power & Gas 9.6 47.1 9.6 9.6 9.6.4 Services & Miscellaneous 81.9 26.2 98.7 73.9 99.4 98.7 73.9 73.9 98.7.8 Transportation 8. 3. 8. 8. 8..2 Telecommunications 79. 79. 79. 79. 79. 3.2 Energy 79.2 26. 81.1 67.8 68.4 82.6 66.8 79.2 4.8 Broadcasting & Media 6.2 6.2 6.2 6.2 6.2. Industrial/Manufacturing 7. 9.8 7. 7. 7. 7.. Technology 4. 1.3 4. 4. 4. 4..3 Retail 43.7 8. 43.7 43.7 42. 49.8 46. 34.8 3.2 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

Profile of Institutional Leveraged Loan s: 27 216 Volume and Issuer Count Volume (LHS) Number of Issuer Deals (RHS) ($ Bil.) (Count) 9 12 7 1 6 8 4 6 3 4 1 2 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

27 216 Industry Profile of High Yield and Institutional Leveraged Loan s ($ Bil.) Industry Loans Bonds Total % of Total Energy 13.4 6. 78.4 14.2 Banking & Finance 12. 63.9 7.9 13.7 Broadcasting & Media 3. 27.8 63.3 11. Utilities, Power & Gas 23.9 28. 1.9 9.4 Gaming, Lodging & Restaurants 14.8 33. 48.4 8.8 Metals & Mining 7.7 2.1 27.8. Chemicals 17.6 6.3 23.9 4.3 Paper & Containers.9 18. 23.9 4.3 Automotive 6.2 16.7 22.9 4.1 Cable 7.8 12.6 2.4 3.7 Service & Miscellaneous 7.4 8.8 16.2 2.9 Telecommunications 4. 9.9 14.4 2.6 Retail 7.7 6. 14.3 2.6 Building & Materials 6.6 6.2 12.8 2.3 Leisure & Entertainment 6. 4.8 1.8 2. Transportation. 4.6 9.6 1.7 Healthcare & Pharmaceutical.1 3. 8.6 1.6 Technology 1.8 6.7 8. 1. Real Estate 4.7 2.9 7.6 1.4 Consumer Products 3.8 2.3 6.2 1.1 Food, Beverage & Tobacco. 2. 2.9. Industrial/Manufacturing 1.3 1.3 2.6. Supermarkets & Drug Stores..6 1.2.2 Insurance.... Total 199.7 32.6 2.3 1. Thomson Reuters LPC, Bloomberg. Institutional Leveraged Loan Versus High Yield Average Annual Industry Rates: 27 216 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 1 2 3 4 6 7 8 Note: Ranked by highest to lowest loan default rate. Thomson Reuters LPC, Bloomberg. Fitch U.S. Leveraged Loan Insight 18 August 18, 217

Secondary Leveraged Loan Market Profile Historical Secondary Trading Volume ($ Bil.) 7 6 4 3 2 1 a Indicative July 217 numbers. Source: LSTA. Monthly Secondary Trading Volume ($ Bil.) 7 6 4 3 2 1 a Indicative July 217 numbers. Source: LSTA. Fitch U.S. Leveraged Loan Insight 19 August 18, 217

Credit Availability Indicators U.S. CLO Issuance ($ Bil.) U.S. CLO Issuance (LHS) Count (RHS) (Count) 1 2 12 2 1 1 7 1 2 Source: Federal Reserve Senior Loan Officer Survey Percentage of Banks Tightening Standards on C&I Loans 1 8 6 4 2 (2) (4) C&I Commercial and industrial. Source: The Federal Reserve. Commercial and Industrial Loans Bank Delinquency Rates 4. 4. 3. 3. 2. 2. 1. 1... Source: The Federal Reserve Board. Commercial and Industrial Loans Bank Charge-Off Rates 3. 2. 2. 1. 1... Source: The Federal Reserve Board. Fitch U.S. Leveraged Loan Insight 2 August 18, 217

Primary Market Spreads Term Loan B BB BB/B B (TLB Drawn Spreads bps) 7 6 4 3 2 Source: High Yield Bond and Bank Loan Mutual Fund Flows ($ Bil.) 6 4 2 (2) (4) (6) High Yield Bonds Bank Loans Source: Lipper FMI. Fitch U.S. Leveraged Loan Insight 21 August 18, 217

The tables and charts on pages 22 24 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 2 27. Appendix A Institutional Leveraged Loan Post- Price Data 3-Day Post- Prices First Lien ($137.7 Bil.) 27 88.8 92.9 92.9 2 28 49.4 9. 6.8 32 29 4.9 2. 48.1 68 21 77.9 71.8 7.3 23 211 6. 62.3 3.8 6 212 6. 66.2 68. 24 213 69.4 72.1 73.9 1 214 78.4 78.9 82. 1 21 49.9.6 43.2 16 216.1 4.9 2. 3 27 216 6.7 6. 63.3 231 2 2 1 1 Average 6.7%, Median 63.3% 3-Day Post- Prices Second Lien ($13.8 Bil.) 27 41.3 41.6 41.6 2 28 18. 16. 1. 11 29 31.9 24.2 11.3 18 21 12.1 12.3 1.8 8 211 13. 29.6 24.8 4 212 26. 21.1 8.6 6 213 4. 4. 4. 1 214 3.3 39.3 43.4 4 21 49.6 2.1 4.8 7 216 23.7 37.1 26.6 9 27 216 32. 27.7 1.1 7 3-Day Post- Prices First-Lien BSL ($12.9 Bil.) 27 88.8 92.9 92.9 2 28 48..9 7. 19 29 6.1.8 6.2 47 21 84.7 83. 83.2 11 211 68.9 8.1 8.1 2 212 67.3 68.1 68. 14 213 68.8 68.8 71. 13 214 78. 74.3 79. 9 21 2.3.8 49.3 1 216 46.. 7.6 2 27 216 61.3 62. 66. 147 BSL Broadly syndicated loans. 4 4 3 3 2 2 1 1 Average 32.%, Median 1.1% 2 18 16 14 12 1 8 6 4 2 Average 61.3%, Median 66.% Fitch U.S. Leveraged Loan Insight 22 August 18, 217

3-Day Post- Prices First-Lien LMM ($16.8 Bil.) 27 28 8.6 63.4 67. 13 29 39.7 4.3 4. 21 21 64.9 61. 69.9 12 211 4. 3.3 43.9 4 212 6. 63.6 66.6 1 213 93.6 93.6 93.6 2 214 77.6 8.9 93.3 6 21 39. 41.8 3.9 6 216 4.7 4.9 47. 1 27 216 6.4 7.8 4.8 84 LMM Large middle market. 3-Day Post- Prices First-Lien Loans and Bonds ($83.6 Bil.) 27 88.8 92.9 92.9 2 28 4.3 63.8 7. 11 29 63. 61.7 66.1 33 21 82.7 78.6 93. 211 97. 97. 97. 2 212 68.9 81.4 94. 213 71. 78.2 84.3 4 214 78.3 76.6 79. 9 21 3.3 49.4 42.4 1 216 48.2 9. 4. 12 27 216 64.4 6.9 71.8 93 3-Day Post- Prices First-Lien Loans Only ($4.1 Bil.) 27 28 6.4 6. 6. 21 29 42.1 43.8 4. 3 21 76. 69.8 74.6 18 211 49.2 44.6 43.9 4 212 64. 62.2 66.7 19 213 66.7 69.9 71. 11 214 8.1 82.4 89.8 6 21 44.3 2. 48.1 6 216 2. 1.9 2. 18 27 216.1 6.9 6.6 138 2 2 1 1 Average 6.4%, Median 4.8% 3 3 2 2 1 1 Average 64.4%, Median 71.8% 18 16 14 12 1 8 6 4 2 Average.1%, Median 6.6% Fitch U.S. Leveraged Loan Insight 23 August 18, 217

3-Day Post- Prices First-Lien Covenant Lite ($19.3 Bil.) 27 28 37.6 37.6 37.6 1 29 42. 33. 34.2 8 21 211 212 9. 6.4 7.8 213 4.1 8.8 39.1 214 21 32.9 33. 3.7 6 216 43.1 1.2 42.8 13 27 216 43.8 46. 39. 38 3-Day Post- Prices First-Lien Sponsored ($79.2 Bil.) 27 28 39.9. 6. 19 29 4.7.8. 37 21 78.6 73. 7.3 1 211.3 44.7 43.3 3 212 66. 66.7 76.8 16 213 64. 7. 71. 1 214 76.8 7.2 78.7 1 21 62.1 9.2 61.3 216 49.2 3.1. 13 27 216 8.7 9. 6.8 128 3-Day Post- Prices First-Lien Non-Sponsored ($8. Bil.) 27 88.8 92.9 92.9 2 28 7. 64.1 67. 13 29 63.6 4.6 4. 31 21 76.1 69. 76. 8 211 76.9 79.8 97.3 3 212 64. 6.2 64.8 8 213 71.6 76.4 73.9 214 94.6 96.4 99. 21 42.8 46.6 41.7 11 216.7 6.3 4. 17 27 216 63.4 61.8 62. 13 3 2 2 1 1 Average 43.8%, Median 39.% 18 16 14 12 1 8 6 4 2 Average 8.7%, Median 6.8% 3 2 2 1 1 Average 63.4%, Median 62.% Fitch U.S. Leveraged Loan Insight 24 August 18, 217

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.) 27 74.7 83.2 83.2 2 28 8.6. 1.9 19 29 78.9 74.1 89.3 49 21 76.2 73.2 84. 9 211 67. 66. 66. 2 212 7.1 7.4 4.9 4 213 77.1 66. 7. 9 214 7.2 74.8 79. 21 36.3 42. 39. 6 216 68.9 68.4 77.3 12 27 216 71.2 66.8 74.1 117 3 3 2 2 1 1 Average 71.2%, Median 74.1% Emergence Prices Second Lien ($7.3 Bil.) 27 2.6 2.6 2.6 2 28 2.3 2. 2. 6 29 29.2 1.1.3 1 21 6. 6.2.8 4 211... 1 212 213 214 6.8 61.2 61.2 2 21 19. 24.7 18. 3 216 11. 11. 11. 1 27 216 27. 17.1. 29 Emergence Prices First-Lien BSL ($72.2 Bil.) 27 74.7 83.2 83.2 2 28 9.6 44.6 44.6 13 29 8.7 78.8 91.2 34 21 86. 88.6 91.2 4 211 212 8.8 62.1 6. 3 213 76.8 62.4 9.3 8 214 76. 81. 79. 3 21 31.9 3.3 34.7 4 216 6.8 64.7 69. 9 27 216 72.4 67.6 7.8 8 BSL Broadly syndicated loans. 7 6 4 3 2 1 Average 27.%, Median.% 4 3 3 2 2 1 1 Average 72.4%, Median 7.8% Fitch U.S. Leveraged Loan Insight 2 August 18, 217

Emergence Prices First-Lien LMM ($7.8 Bil.) 27 28 48.2 61.7 7.8 6 29.7 63.6 66. 1 21 8. 6.8 61. 211 67. 66. 66. 2 212 43. 43. 43. 1 213 99. 99. 99. 1 214 47.3 6. 6. 2 21 68. 67. 67. 2 216 83.3 79.6 8. 3 27 216 9.7 6.1 6.3 37 LMM Large middle market. Emergence Prices First-Lien Loans and Bonds ($1.6 Bil.) 27 74.7 83.2 83.2 2 28 7. 67.8 7. 1 29 89.3 87.8 94.3 28 21 6.9 4.3 4.3 2 211 78. 78. 78. 1 212 4.2 4.9 4.9 2 213 87. 84.3 94. 4 214 9. 89.3 89.3 2 21 43.1.1 4. 3 216 7.2 72.4 91.9 6 27 216 8.9 78.6 92. 6 3 3 2 2 1 1 Average 9.7%, Median 6.3% 6 4 3 2 1 Average 8.9%, Median 92.% Emergence Prices First-Lien Loans Only ($28.3 Bil.) 27 28 23.3 3.1 2.8 9 29.7.9 46. 21 21 81.7 78. 84. 7 211... 1 212 63.9 9.9 9.9 2 213 9. 2.3 39.1 214 8.7 6.2 64. 3 21 32.6 29.9 38. 3 216 67. 64.4 62. 6 27 216 3.3 4.4 2. 7 2 2 1 1 Average 3.3%, Median 2.% Fitch U.S. Leveraged Loan Insight 26 August 18, 217

Emergence Prices First-Lien Covenant Lite ($11.9 Bil.) 27 28 8.3 8.3 8.3 1 29 8.7 79. 94.8 7 21 211 212 3.9 3.9 3.9 1 213 1. 3. 39.1 4 214 21 37.1 3.4 3.4 2 216 79.9 74.9 8. 3 27 216 6. 66.6 73.2 18 3 3 2 2 1 1 Average 6.%, Median 73.2% Emergence Prices First-Lien Sponsored ($3.2 Bil.) 27 28 71. 49.8 2. 12 29 62.8 67.1 84.6 24 21 73.7 71.2 8.9 6 211 212 8.8 62.1 6. 3 213.7 63.6 4. 6 214... 2 21 31.1 33.7 33.7 2 216 3. 8.8 62. 4 27 216 63.3 61.3 6.3 9 3 2 2 1 1 Average 63.3%, Median 6.3% Emergence Prices First-Lien Non-Sponsored ($44.8 Bil.) 27 74.7 83.2 83.2 2 28 27.4.2 32. 7 29 89.6 8.9 92. 2 21 83.6 77.1 84. 3 211 67. 66. 66. 2 212 43. 43. 43. 1 213 83.3 72.3 74.1 3 214 77.6 87.7 99. 3 21 38. 46.9 4.8 4 216 76. 73.2 89.8 8 27 216 77.3 72.4 87.8 8 4 4 3 3 2 2 1 1 Average 77.3%, Median 87.8% Fitch U.S. Leveraged Loan Insight 27 August 18, 217

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