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The base loan factors primarily relate to the variables present in a loan structured by a bank for a particular borrower. In exhibit 8, the base loan is defined as a core sponsored covenant-lite first-lien loan issued by a US utility company with an EBITDA between USD 30 million and USD 50 million, an LTV below 40% and leverage above 6x. The return of such a loan can be broken down as follows:

 Risk-free base rate: This would be the floating base rate over which the margin is added; LIBOR is used as the base rate for a majority of loans.

 Credit premium: A portion of the interest margin will be related to the borrower’s creditworthiness. If the bank deems the borrower to be of higher credit quality, a lower premium will be charged to reflect a lower risk profile.

 Illiquidity premium: There is no active secondary market for loans made to middle-market companies. Hence, loan pricing includes an illiquidity premium to compensate lenders for the risk that holding these assets implies.