Credit Suisse Leverage Loan Market

ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE DISCLOSURE APPENDIX. FOR OTHER IMPORTANT DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com.

Leveraged Finance Market Update

Weekly and Month-to-Date Results for High Yield and Leveraged Loans for the Week Ending December 1, 2011

High Yield: The Credit Suisse High Yield Index returned 0.58% for the week ending December 1, 2011, 0.26% month to date, and 3.19% year to date. The spread tightened 18 bp during the week to 752 bp, while the yield fell to 8.65%, a 10 bp decrease. The average price rose to 97.31, a 0.46-point increase. Leveraged Loans: The Credit Suisse Leveraged Loan Index returned -0.05% for the week ending December 1, 2011, 0.02% month to date, and 1.33% year to date. The discount margin, assuming a three-year average life, widened 3 bp during the week to 669 bp. The average price fell to 91.88, a -0.16-point decrease. Western European High Yield: The Credit Suisse Western European High Yield Index (hedged, in euro) returned -0.95% for the week ending December 1, 2011, 0.28% month to date, and -2.78% year to date. The spread widened 14 bp during the week to 907 bp, while the yield rose to 10.07%, a 14 bp increase. The average price fell to 89.73, a -1.02-point decrease. Western European Leveraged Loans: The Credit Suisse Western European Leveraged Loan Index (hedged, in euro) returned -0.13% for the week ending December 1, 2011, 0.05% month to date, and -0.95% year to date. The discount margin, assuming a three-year average life, widened 9 bp during the week to 836 bp. The average price fell to 83.12, a -0.33-point decrease.

Table of Contents

High Yield Market 2 Leveraged Loan Market 26 Western European High Yield Market 30 Western European Leveraged Loan Market 41 Visit our website at: http://research-and-analytics.csfb.com/R2Action.do

02 December 2011Fixed Income Research

Global Leveraged Finance Strategyhttp://www.credit-suisse.com/researchandanalytics

Research Analysts

Jonathan Blau +1 212 538 3533

[email protected]

Daniel Sweeney (1) 212 538 8213

[email protected]

Karen Friedlander (1) 212 325 8459

[email protected]

02 December 2011

Market Update 2

High Yield Market The Credit Suisse High Yield Index returned 0.58% for the week ending December 1, 2011, 0.26% month to date, and 3.19% year to date. The spread tightened 18 bp during the week to 752 bp, while the yield fell to 8.65%, a 10 bp decrease. The average price rose to 97.31, a 0.46-point increase.

The primary market priced four new issues during the week, raising $1.34 billion. The forward calendar declined during the week, as it stood at $0.78 billion at the end of the week. High yield mutual funds saw an outflow of $817.2 million. The advance/decline ratio rose to 1.4x from last week's 0.2x.

The most liquid issues in the Credit Suisse High Yield Index, those over $1bn in size, increased 1.17 points this week. The total return of these issues is 2.52% year to date versus 3.19% for the overall HY Index.

Exhibit 1: High Yield Index Summary for the Week Ending December 01, 2011 Outperforming Assets Total Return Underperforming Assets Total ReturnCredit Suisse Leveraged Equity Index 5.62% 10-year Treasury note -1.46%Russell 2000 5.00% LUCI (Liquid US Corporate Index) -1.16%S&P 500 4.85% Credit Suisse Leveraged Loan Index -0.05%

Outperforming Industries Underperforming IndustriesWireless Communications 2.54% Aerospace -0.73%Cable/Wireless Video 1.24% Financial -0.02%Transportation 1.05% Housing 0.18%

Outperforming Sectors Underperforming SectorsDeferred Interest (Goes Cash-Pay In < 2Yrs) 2.30% Distressed Securities -0.59%Non-European Developed 1.17% Defaulted Issues -0.48%5 To 6 Years Duration 1.03% Western Europe -0.16%

Source: Credit Suisse

02 December 2011

Market Update 3

Exhibit 2: High Yield Market Monitor Week Ending Cumulative Tota l Return (1)

TOTAL RETURN 10/27/2011 11/3/2011 11/10/2011 11/17/2011 11/22/2011 12/1/2011 1Q '11 2Q '11 3Q '11 Sep-11 Oct-11 Nov-11 2010 YTD (2)

10-YEAR TREASURY -1.76% 2.91% 0.43% 0.89% 0.41% -1.46% -0.14% 3.72% 12.31% 2.95% -1.56% 0.78% 8.30% 15.21% CREDIT SUISSE LUCI (LIQUID US CORPORATE INDEX) 0.17% 1.67% -0.63% -0.14% -0.50% -1.16% 0.76% 2.36% 3.39% 0.37% 1.58% -2.00% 9.48% 5.99% CREDIT SUISSE HIGH YIELD INDEX 2.49% -0.02% -0.58% -0.47% -0.93% 0.58% 3.77% 1.04% -5.12% -2.81% 5.37% -1.81% 14.42% 3.19% CREDIT SUISSE HIGH YIELD INDEX, DEV'D COUNTRIES ONLY 2.50% -0.03% -0.59% -0.48% -0.94% 0.58% 3.74% 1.04% -5.13% -2.81% 5.41% -1.83% 14.39% 3.16% CREDIT SUISSE INSTITUTIONAL HIGH YIELD INDEX 2.51% -0.03% -0.61% -0.45% -0.95% 0.60% 3.78% 1.04% -5.00% -2.74% 5.40% -1.82% 13.98% 3.36%

CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (3 ) 2.79% -0.78% -0.47% -0.19% -0.88% -0.97% 2.80% 0.66% -8.66% -3.30% 6.73% -3.84% 15.04% -2.70% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (4) 2.75% -0.77% -0.48% -0.19% -0.88% -0.95% 2.83% 0.82% -8.63% -3.44% 6.54% -3.94% 14.63% -2.78% CREDIT SUISSE LEVERAGED LOAN INDEX 1.20% 0.12% 0.23% -0.07% -0.40% -0.05% 2.65% 0.33% -3.76% 0.25% 2.59% -0.38% 9.97% 1.33% CREDIT SUISSE LEVERAGED EQUITY INDEX 8.77% -1.94% -2.92% -2.39% -2.87% 5.62% 8.41% -1.45% -25.78% -13.98% 15 .37% -1.40% 24.85% -9.86% DJIA 5.78% -1.33% -1.11% -0.94% -2.32% 4.72% 7.07% 1.42% -11.49% -5.91% 9.72% 1.18% 14.06% 6.47% S&P 500 5.70% -1.79% -1.61% -1.84% -2.29% 4.85% 5.92% 0.10% -13.87% -7.03% 10.93% -0.22% 15.07% 0.89% NASDAQ COMPOSITE 5.39% -1.44% -2.68% -1.32% -2.55% 4.18% 5.05% -0.03% -12.70% -6.31% 11.20% -2.18% 18.15% -0.06% WILSHIRE 5000 6.29% -1.73% -1.91% -1.71% -2.35% 4.78% 6.06% -0.03% -15.31% -7.84% 11.62% -0.37% 17.81% -0.40% RUSSELL 2000 9.93% -1.80% -3.42% -0.91% -3.12% 5.00% 7.94% -1.61% -21.86% -11.21% 15.13% -0.36% 26.86% -5.66% CREDIT SUISSE HIGH YIELD INDEX VALUE (12/31/85=100) 951.55 951.52 945.98 941.58 932.83 938.26 943.52 953.32 904 .52 904.52 953.14 935.87 909.28 938.26MARKET MOMENTUMINFLOWS (see foo tnote for weeks, $mm) (5) 1,632 2,120 1,847 1,469 158 (817) 5,090 (4,032) (2,025) 971 9,372 (186) 7,960 8,219ADVANCE/DECLINE RATIO 8.3 1.0 0.5 0.5 0.2 1.4 3.8 0.4 0.1 0.1 6.3 0.3 5.2 0.4LEVELS/SPREAD 10-YEAR TREASURY YIELD 2.40% 2.07% 2.06% 1.96% 1.92% 2.09% 3.47% 3.16% 1.92% 1.92% 2.11% 2.07% 3.30% 2.09%TREASURY YIELD increase (decrease) 21bp (32)bp (2)bp (10)bp (4 )bp 17bp 18bp (31)bp (125)bp (31 )bp 20bp (4)bp (54)bp (121)bpCREDIT SUISSE HIGH YIELD INDEX YIELD 8.06% 8.16% 8.34% 8.48% 8.75% 8.65% 6.96% 7.41% 9.25% 9.25% 8.06% 8.71% 7.45% 8.65%CREDIT SUISSE HIGH YIELD INDEX SPREAD (bp) 684bp 714bp 731bp 746bp 771bp 752bp 505bp 569bp 811bp 811bp 703bp 759bp 571bp 752bpCREDIT SUISSE HIGH YIELD INDEX SPREAD tighten (widen) 67bp (30)bp (17)bp (15)bp (25 )bp 18bp 66bp (64)bp (242)bp (88 )bp 108bp (56)bp 62bp (181)bpSUPPLY/DEMANDNEW ISSUES (# of issues) 8 8 14 9 3 4 182 175 48 14 14 34 601 453NEW ISSUE VOLUME ($billions) 5.8 4.6 13.6 3.9 1.7 1.3 79.4 81.8 24.2 6.7 9.3 22.3 276.8 217.0FORWARD CALENDAR ($billions) 0.6 1.8 1.6 1.7 1.0 0.8 1.3 0.5 0.4 0.4 1.1 0.6 0.0 0.8SPREADSB 710bp 733bp 753bp 768bp 795bp 773bp 525bp 594bp 836bp 836bp 723bp 780bp 578bp 773bpBB 459bp 489bp 507bp 522bp 539bp 527bp 364bp 412bp 573bp 573bp 479bp 533bp 414bp 527bpB vs. BB 240bp 235bp 237bp 240bp 250bp 240bp 138bp 176bp 261bp 261bp 237bp 240bp 138bp 240bpCyclical vs. Defensive (4)bp 4bp 6bp 7bp (4 )bp 7bp (34)bp (0)bp (0)bp (0 )bp (1)bp 6bp (37)bp 7bpDeferred vs. Cash 572bp 592bp 695bp 679bp 679bp 678bp 438bp 287bp 591bp 591bp 574bp 685bp 97bp 678bp(1) Cumula tive Monthly Total Return; (2 ) As of 12/1/11(3) Multiple currencies; returns converted hedged to $US(4) Multiple currencies; returns converted hedged to Euro(5) Inflows for 12/1/11 are actual; prior weeks are 4-week rolling average

Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service, ICI, & Lipper FMI

Exhibit 3: Credit Suisse High Yield Index Total Return[1] Cred it Su iss e H ig h Yie ld In de x T o ta l Re tu rn (1 )

11 /17 /2011 11/22 /2011 12 /1 /2011 1Q '11 2Q '11 3Q '11 N ov-11 YT D (2)

U p per T ie r (3) - 0.24% -0 .55% 0.17% 3.17% 1.70% - 1.60% - 1.03% 6.05%M id dle Tie r - 0.49% -1 .02% 0.76% 3.90% 0.78% - 5.45% - 1.77% 3.18%L ow er T ie r - 1.10% -1 .65% 0.88% 4.53% 0.50% - 13.13% - 4.36% -4 .89%Price >= 80 (4 ) - 0.42% -0 .90% 0.52% 3.75% 1.09% - 4.82% - 1.72% 3.31%Price < 80 - 1.25% -1 .59% 1.53% 4.74% -3 .50% - 17.99% - 4.56% -12 .28%C yc lical Issu es - 0.45% -0 .76% 0.42% 3.45% 0.88% - 5.36% - 1.71% 2.18%D efen sive Issu es - 0.51% -1 .19% 0.80% 3.89% 1.36% - 5.59% - 1.95% 3.47%C ash- Pay Securit ies - 0.45% -0 .94% 0.59% 3.80% 1.00% - 5.10% - 1.81% 3.25%D ef In t (cash- pay in < 2yrs ) 0.00% -1 .01% 2.30% 4.52% 3.26% - 7.58% - 3.88% 6.04%D ef In t (cash- pay in >= 2yrs) 0.49% -0 .75% 0.32% 8.57% 0.60% - 11.10% - 1.83% -0 .88%D efau lted Securi ties - 1.55% -0 .60% -0 .48% 0.03% 6.00% - 4.76% - 1.86% 0.25%D ist ressed Securities (5) - 1.64% -0 .32% -0 .59% 0.56% 4.62% - 10.09% - 1.71% -4 .68%3 - 4 y r D u rat io n - 0.37% -0 .82% 0.51% 4.58% 0.63% - 6.36% - 1.87% 1.92%5 - 6 y r D u rat io n - 0.65% -1 .43% 1.03% 4.40% 1.09% - 6.75% - 2.52% 3.42%7 - 10 y r D u ra tion - 0.33% -1 .33% 0.52% 4.00% 3.04% - 2.96% - 1.43% 6.36%$0 - $100m m in Size 0.21% -0 .14% 0.18% 4.43% 1.64% - 1.14% 0.77% 5.88%$101 - $299m m in Size - 0.13% -0 .41% 0.13% 3.77% 1.38% - 4.71% - 0.47% 2.56%$300m m an d Over in S ize - 0.53% -1 .03% 0.66% 3.76% 0.98% - 5.21% - 2.05% 3.28%Sen io r Secured - 0.61% -1 .00% 0.80% 3.49% 0.59% - 6.44% - 2.43% 0.73%Sen io r - 0.41% -0 .93% 0.52% 3.77% 1.23% - 4.63% - 1.65% 3.99%Sen io r Su bo rdinated - 0.48% -0 .78% 0.36% 4.43% 0.85% - 5.06% - 1.34% 3.85%Ju nior S ub ord in at ed - 0.49% -0 .45% 0.86% 4.56% 1.25% - 5.80% - 1.40% 3.45%U n ited Sta tes - 0.50% -0 .93% 0.64% 3.84% 1.05% - 5.03% - 1.74% 3.49%W estern Eu rop e (6) - 0.49% -1 .06% -0 .16% 3.13% 1.29% - 6.83% - 3.29% -0 .08%L atin A m erica 0.73% -0 .08% 0.35% 8.55% 2.15% - 4.93% 0.35% 8.64%A sia 1.53% -0 .91% 0.67% 3.61% -0 .91% - 0.73% 3.28% 2.73%A ll D evelo ping 0.95% -0 .31% 0.43% 6.72% 1.19% - 3.72% 1.08% 6.45%C redit Su isse H Y In dex -0 .47% -0 .93% 0.58% 3.77% 1.04% -5 .12% -1.81% 3.19%(1 ) C um u la t iv e To ta l R etu rn(3 ) U pper Tie r: Sp lit BB B and BB; M idd le Tie r: Sp lit BB , B and Sp lit B ; Low er T ier : C C C /Sp lit CC C and Default(4 ) Pe rcen t o f P ar Va lue (accre ted va lue ) used fo r d isc oun t secu rities(5 ) Includes C C , C and D efau lted ; (6 ) $U S-denom ina ted secu rities on ly

(2 ) As of 12 /1 /11


02 December 2011

Market Update 4

Exhibit 4: Number of New Issues Exhibit 5: Historical Growth of the High Yield Market

61

47

74

58

80

3730

4

14 14

34

00

10

20

30

40

50

60

70

80

90

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11

Latest month is Month-to-Date

181 206 214 205 205

881 848

242

580668

363283

467

10121068

136

1098

853 876 888

737

308247

878

652

928

47 43 45

72

103

46

9167

88

128 137

55

218

142 140

30 32 28

279

33

168

215

150133

77

0

200

400

600

800

1000

1200

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

Mar

ket S

ize

($ b

illio

ns)

020406080100120140160180200220240260280300320340360

New

Issue Volume ($ billions)

High Yield Market Size New Issue Volume

* As of 11/30/2011 Includes non-investment grade $US-denominated straight corporate debt. Floating-rate and convertible bonds and preferred stock are not included.

Source: Credit Suisse Source: Credit Suisse

Exhibit 6: Total Weekly Forward Calendar Exhibit 7: Weekly New Issue Volume

0

2000

4000

6000

8000

10000

12000

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Jun-11

Jul-11

Aug-11

Sep-11

Oct-11

Nov-11

$ Milli

ons

Gross Public Shadow Calendar Gross Private Shadow Calendar

0.000

2.000

4.000

6.000

8.000

10.000

12.000

14.000

16.000

18.000

12/16/

10

12/30/1

01/1

3/111/2

7/112/1

0/112/2

4/113/1

0/113/2

4/11

4/7/11

4/21/1

15/5

/115/1

9/11

6/2/11

6/16/1

16/29

/117/1

4/117/2

8/118/1

1/118/2

5/11

9/8/11

9/22/11

10/6/1

1

10/20/1

111/

3/11

11/10/

11

11/22/1

1

$ Billi

ons

144A Public


Exhibit 8: Average Price Exhibit 9: Average Price YTD 5/31/2011 104.33%

59.76%11/28/08

105.33%1/31/94

68.21%10/31/02

67.09%1/31/91

102.02%2/28/05

50.0%

60.0%

70.0%

80.0%

90.0%

100.0%

110.0%

Jan-86Jan-87

Jan-88Jan-89

Jan-90Jan-91

Jan-92Jan-93

Jan-94Jan-95

Jan-96Jan-97

Jan-98Jan-99

Jan-00Jan-01

Jan-02Jan-03

Jan-04Jan-05

Jan-06Jan-07

Jan-08Jan-09

Jan-10Jan-11

Aver

age P

rice 97.31%

12/1/11

10/28/201199.79%

100.89%

5/11/11104.96%

10/4/201192.82%

90%

92%

94%

96%

98%

100%

102%

104%

106%

12/3

1/20

10

1/31

/201

1

2/28

/201

1

3/31

/201

1

4/30

/201

1

5/31

/201

1

6/30

/201

1

7/31

/201

1

8/31

/201

1

9/30

/201

1

10/3

1/20

11

11/3

0/20

11

CS

HY

Inde

x Av

erag

e Pr

ice

97.31%


Exhibit 10: Average Spread Exhibit 11: Average Spread YTD

307 bp2/28/05

271 bp5/31/07

1080 bp10/31/02

1079 bp12/31/90

307 bp2/28/97

1816 bp11/28/08

0bps

400bps

800bps

1200bps

1600bps

2000bps

Jan-86Jan-88

Jan-90Jan-92

Jan-94Jan-96

Jan-98Jan-00

Jan-02Jan-04

Jan-06Jan-08

Jan-10

Spre

ad to

Wor

st

752 bps 12/1/11

10/5/2011 863 bp

571 bp

4/11/11492 bp

3/16/11543 bp

2/8/11488 bp

400 bp450 bp500 bp550 bp600 bp650 bp700 bp750 bp800 bp850 bp900 bp

12/3

1/20

101/

14/2

011

1/28

/201

12/

11/2

011

2/25

/201

13/

11/2

011

3/25

/201

14/

8/20

114/

22/2

011

5/6/

2011

5/20

/201

16/

3/20

116/

17/2

011

7/1/

2011

7/15

/201

17/

29/2

011

8/12

/201

18/

26/2

011

9/9/

2011

9/23

/201

110

/7/2

011

10/2

1/20

1111

/4/2

011

11/1

8/20

11

CS

HY

Inde

x Sp

read

-to-W

orst

752 bp


02 December 2011

Market Update 5

Exhibit 12: Average Yield Exhibit 13: Average Yield YTD

1/31/19948.87% 5/31/2007

7.59%

10/31/199019.10%

11/30/200015.04%

11/28/200820.47%

2/28/20056.98%

0%

5%

10%

15%

20%

25%

1/31

/198

6

1/31

/198

8

1/31

/199

0

1/31

/199

2

1/31

/199

4

1/31

/199

6

1/31

/199

8

1/31

/200

0

1/31

/200

2

1/31

/200

4

1/31

/200

6

1/31

/200

8

1/31

/201

0

YTW

CS HY Index YTW

8.65% 12/1/2011

10/5/2011 9.80%

3/3/116.77%

7.45%

7/27/2011 7.13%

6.00%6.40%6.80%7.20%7.60%8.00%8.40%8.80%9.20%9.60%

10.00%

12/3

1/20

10

1/31

/201

1

2/28

/201

1

3/31

/201

1

4/30

/201

1

5/31

/201

1

6/30

/201

1

7/31

/201

1

8/31

/201

1

9/30

/201

1

10/3

1/20

11

11/3

0/20

11

CS

HY

Inde

x Yi

eld-

to-W

orst

8.65%


Exhibit 14: YTD Total Return of CS HY Index Exhibit 15: Duration

10/4/2011 -2.70%

8/11/2011 1.02%

7/27/2011 6.32%

3/9/113.63%

3/15/112.91%

5/20/115.80%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

12/3

1/20

10

1/14

/201

1

1/28

/201

1

2/11

/201

1

2/25

/201

1

3/11

/201

1

3/25

/201

1

4/8/

2011

4/22

/201

1

5/6/

2011

5/20

/201

1

6/3/

2011

6/17

/201

1

7/1/

2011

7/15

/201

1

7/29

/201

1

8/12

/201

1

8/26

/201

1

9/9/

2011

9/23

/201

1

10/7

/201

1

10/2

1/20

11

11/4

/201

1

11/1

8/20

11

CS H

Y In

dex

Cum

ulat

ive

Tota

l Ret

urn

3.19%

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

Jan-86Jul-

86Jan

-87Jul-87

Jan-88Jul-

88Jan-8

9Jul-

89Jan

-90Jul-90

Jan-91Jul-91

Jan-92Jul-

92Jan

-93Jul-93

Jan-94Jul-

94Jan

-95Jul-95Jan

-96Jul-96

Jan-97Jul-

97Jan

-98Jul-98

Jan-99Jul-

99Jan

-00Jul-00

Jan-01Jul-

01Jan

-02Jul-02Jan-0

3Jul-

03Jan

-04Jul-04

Jan-05Jul-

05Jan

-06Jul-06

Jan-07Jul-

07Jan

-08Jul-08

Jan-09Jul-

09Jan

-10Jul-10

Jan-11Jul-

11

Dura

tion

(yea

rs)

4.1 yrs


Exhibit 16: Inflows into High Yield Mutual Funds Exhibit 17: Inflows into Equity Funds

($1,500)

($1,000)

($500)

$0

$500

$1,000

$1,500

$2,000

$2,500

Jan-93

Sep-93Jun

-94Feb-

95Oct-9

5Jun

-96Feb-

97Oct-9

7Jun

-98Feb-

99Oct-9

9Jun

-00Feb-

01Oct-0

1Jun

-02Feb-

03Oct-0

3Jul

-04Mar-

05Nov-

05Jul

-06Mar-

07Nov-

07Jul

-08Mar-

09Nov-

09Jul

-10Mar-

11Nov-

11

Millio

ns

Net Fund Flows ($ millions)1996: $12,486.4 1999: -$2,546.0 2002: $10,756.9 2005: -$34.0 2008: $1,022.11997: $16,850.7 2000: -$12,299.8 2003: $26,237.2 2006: -$482.1 2009: $16,432.41998: $13,601.6 2001: $7,079.0 2004: -$592.4 2007: $351.7 2010: $6,700.7

YTD '11: $4,326.5

*4 week rolling average

($440.4)*

($15,000)

($10,000)

($5,000)

$0

$5,000

$10,000

$15,000

$20,000

Jan-93

Oct-93Jun

-94Feb-

95Nov-

95Jul

-96Mar-

97Nov-

97Aug-

98Apr-9

9Dec-

99Aug-

00May-

01Jan

-02Oct-0

2Jun

-03Feb-

04Oct-0

4Jul

-05Mar-

06Nov-

06Aug-

07Apr-0

8Dec-

08Aug-

09May-

10Jan

-11Sep-

11

Millio

ns

Net Fund Flows ($ millions)1996: $295,254.3 1999: $120,660.8 2002: $6,682.0 2005: $86,622.0 2008: ($97,021.0)1997: $179,878.8 2000: $179,991.8 2003: $44,867.6 2006: $6,105.0 2009: ($17,318.0)1998: $108,427.1 2001: $30,798.6 2004: $105,869.0 2007: $191.0 2010: $1,909.0

YTD '11: $7,854.0


($1,219.8)*

Source: Lipper FMI Source: Lipper FMI

Exhibit 18: Inflows into Money Market Funds Exhibit 19: Inflows into Taxable Bond Funds

($50,000)

($40,000)

($30,000)

($20,000)

($10,000)

$0

$10,000

$20,000

$30,000

$40,000

$50,000

Jan-93

Oct-93Jun

-94Feb-

95Nov-

95Jul

-96Mar-

97Nov-

97Aug-

98Apr-

99Dec-

99Aug-

00May-

01Jan

-02Oct-0

2Jun

-03Feb-

04Oct-0

4Jul

-05Mar-

06Nov-

06Aug-

07Apr-

08Dec-

08Aug-

09May-

10Jan

-11Sep-

11

Millio

ns

Net Fund Flows ($ millions) 1996: $103,737.6 1999: $219,989.8 2002: -$65,428.2 2005: $124,951.6 2008: $626,060.0 1997: $149,166.0 2000: $225,350.0 2003: -$197,765.1 2006: $330,110.0 2009:-$469,214.0 1998: $299,854.0 2001: $449,882.4 2004: -$107,082.6 2007: $631,611.3 2010:-$416,475.0

YTD '11: -$125,250.8

$6,060.0 *


($6,000)

($4,000)

($2,000)

$0

$2,000

$4,000

$6,000

Jan-93

Oct-93Jun

-94Feb-

95Nov-

95Jul

-96Mar-

97Nov-

97Aug-

98Apr-9

9Dec-

99Aug-

00May-

01Jan

-02Oct-0

2Jun

-03Feb-

04Oct-0

4Jul

-05Mar-

06Nov-

06Aug-

07Apr-0

8Dec-

08Aug-

09May-

10Jan

-11Sep-

11

Millio

ns

Net Fund Flows ($ millions)1996: $45,756.6 1999: $2,078.7 2002: $74,298.3 2005: $13,467.7 2008: ($18,029.0)1997: $46,926.6 2000: ($26,174.0) 2003: $43,672.0 2006: $24,996.0 2009: $124,407.01998: $43,579.6 2001: $43,789.4 2004: $6,484.0 2007: $51,757.0 2010: $127,801.0

YTD '11: $99,097.0


$1,400.0 *

Source: Lipper FMI Source: Lipper FMI

02 December 2011

Market Update 6

Exhibit 20: DIS vs. Cash-Pay Cumulative Returns 1986 to Present

Exhibit 21: B vs. BB Cumulative returns 1986 to Present

-300.0%

-250.0%

-200.0%

-150.0%

-100.0%

-50.0%

0.0%

50.0%

100.0%

150.0%

200.0%

Jan-86Sep-

86May-

87Jan

-88Sep-

88May-

89Jan

-90Sep-

90May-

91Jan

-92Sep-

92May-

93Jan

-94Sep-

94May-

95Jan

-96Sep-

96May-

97Jan

-98Sep-

98May-

99Jan

-00Sep-

00May-

01Jan

-02Sep-

02May-

03Jan

-04Sep-

04May-

05Jan

-06Sep-

06May-

07Jan

-08Sep-

08May-

09Jan

-10Sep-

10May-

11

Perc

enta

ge C

hang

e

-200.0%

-150.0%

-100.0%

-50.0%

0.0%

50.0%

100.0%

Jan-86Sep-

86May-

87Jan

-88Sep-

88May-

89Jan

-90Sep-

90May-

91Jan

-92Sep-

92May-

93Jan

-94Sep-

94May-

95Jan

-96Sep-

96May-

97Jan

-98Sep-

98May-

99Jan

-00Sep-

00May-

01Jan

-02Sep-

02May-

03Jan

-04Sep-

04May-

05Jan

-06Sep-

06May-

07Jan

-08Sep-

08May-

09Jan

-10Sep-

10May-

11

Perc

enta

ge C

hang

e


Exhibit 22: Small vs. Large Issue Cumulative Returns1986 to Present

Exhibit 23: High Yield Index vs. ML Corp Index and vs. S&P 500 Index Cumulative Returns

-150.0%

-100.0%

-50.0%

0.0%

50.0%

100.0%

150.0%

Jan-86Sep-

86May-

87Jan

-88Sep-

88May-

89Jan

-90Sep-

90May-

91Jan

-92Sep-

92May-

93Jan

-94Sep-

94May-

95Jan

-96Sep-

96May-

97Jan

-98Sep-

98May-

99Jan

-00Sep-

00May-

01Jan

-02Sep-

02May-

03Jan

-04Sep-

04May-

05Jan

-06Sep-

06May-

07Jan

-08Sep-

08May-

09Jan

-10Sep-

10May-

11

Perc

enta

ge C

hang

e

-800.0%

-600.0%

-400.0%

-200.0%

0.0%

200.0%

400.0%

600.0%

Jan-86Jul

-86Jan

-87Jul

-87Jan

-88Jul

-88Jan

-89Jul

-89Jan

-90Jul

-90Jan

-91Jul

-91Jan

-92Jul

-92Jan

-93Jul

-93Jan

-94Jul

-94Jan

-95Jul

-95Jan

-96Jul

-96Jan

-97Jul

-97Jan

-98Jul

-98Jan

-99Jul

-99Jan

-00Jul

-00Jan

-01Jul

-01Jan

-02Jul

-02Jan

-03Jul

-03Jan

-04Jul

-04Jan

-05Jul

-05Jan

-06Jul

-06Jan

-07Jul

-07Jan

-08Jul

-08Jan

-09Jul

-09Jan

-10Jul

-10Jan

-11Jul

-11

Perc

enta

ge C

hang

e

High Yield vs. ML Corp. HighYield vs. S&P 500


Exhibit 24: Cyclical vs. Defensive Cumulative Returns1986 to Present

Exhibit 25: Short vs. Long Duration Cumulative Returns1986 to Present

-200.0%

-150.0%

-100.0%

-50.0%

0.0%

50.0%

Jan-86Jul

-86Jan

-87Jul

-87Jan

-88Jul

-88Jan

-89Jul

-89Jan

-90Jul

-90Jan

-91Jul

-91Jan

-92Jul

-92Jan

-93Jul

-93Jan

-94Jul

-94Jan

-95Jul

-95Jan

-96Jul

-96Jan

-97Jul

-97Jan

-98Jul

-98Jan

-99Jul

-99Jan

-00Jul

-00Jan

-01Jul

-01Jan

-02Jul

-02Jan

-03Jul

-03Jan

-04Jul

-04Jan

-05Jul

-05Jan

-06Jul

-06Jan

-07Jul

-07Jan

-08Jul

-08Jan

-09Jul

-09Jan

-10Jul

-10Jan

-11Jul

-11

Perc

enta

ge C

hang

e

-600.0%

-500.0%

-400.0%

-300.0%

-200.0%

-100.0%

0.0%

100.0%

Jan-86Jul

-86Jan

-87Jul

-87Jan

-88Jul

-88Jan

-89Jul

-89Jan

-90Jul

-90Jan

-91Jul

-91Jan

-92Jul

-92Jan

-93Jul

-93Jan

-94Jul

-94Jan

-95Jul

-95Jan

-96Jul

-96Jan

-97Jul

-97Jan

-98Jul

-98Jan

-99Jul

-99Jan

-00Jul

-00Jan

-01Jul

-01Jan

-02Jul

-02Jan

-03Jul

-03Jan

-04Jul

-04Jan

-05Jul

-05Jan

-06Jul

-06Jan

-07Jul

-07Jan

-08Jul

-08Jan

-09Jul

-09Jan

-10Jul

-10Jan

-11Jul

-11

Perc

enta

ge C

hang

e


Exhibit 26: Historical Premium Over Treasury & Spread to Worst 1986 to Present

Exhibit 27: Credit Suisse HY Index Weekly Advance to Decline Ratio

0bps

200bps

400bps

600bps

800bps

1000bps

1200bps

1400bps

1600bps

1800bps

2000bps

86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11

Spre

ad to

Wor

st

30.0%

230.0%

430.0%

630.0%

830.0%

1030.0%

1230.0%

1430.0%

Premium

Over Treasury

Spread to Worst Premium to Treasury

Median Premium=90.88%

0.01

0.10

1.00

10.00

100.00

Jan-97May-

97Sep-

97Jan

-98May-

98Sep-

98Jan

-99May-

99Sep-

99Jan

-00May-

00Sep-

00Jan

-01May-

01Sep-

01Jan

-02May-

02Sep-

02Jan

-03May-

03Sep-

03Jan

-04May-

04Sep-

04Jan

-05May-

05Sep-

05Jan

-06May-

06Sep-

06Jan

-07May-

07Sep-

07Jan

-08May-

08Sep-

08Jan

-09May-

09Sep-

09Jan

-10May-

10Sep-

10Jan

-11May-

11Sep-

11

1.35


02 December 2011

Market Update 7

Exhibit 28: Summary Profile by Rating Exhibit 29: Spreads by Rating Rating Coupon Current Yield Duration YTW STWSplit BBB 7.07% 6.58% 5.27 yrs 5.39% 408 bpBB 7.33% 7.12% 4.30 yrs 6.36% 527 bpSplit BB 8.19% 8.05% 4.15 yrs 7.36% 628 bpB 8.82% 8.94% 3.93 yrs 8.76% 773 bpSplit B 9.50% 10.24% 3.71 yrs 11.08% 1005 bpCCC/Split CCC 9.85% 11.74% 3.57 yrs 15.02% 1383 bp

0

500

1000

1500

2000

2500

3000

3500

4000

Jan-86Jul-

86Jan

-87Jul-87Jan

-88Jul-88Jan

-89Jul-89Jan

-90Jul-90Jan

-91Jul-91Jan-9

2Jul-92

Jan-93

Jul-93Jan

-94Jul-94Jan

-95Jul-95Jan

-96Jul-96Jan

-97Jul-97Jan

-98Jul-98Jan

-99Jul-99Jan-0

0Jul-00

Jan-01

Jul-01Jan

-02Jul-02Jan

-03Jul-03Jan

-04Jul-04Jan

-05Jul-05Jan

-06Jul-06Jan

-07Jul-07Jan

-08Jul-08Jan-0

9Jul-09

Jan-10

Jul-10Jan

-11Jul-11

Spre

ad to

Wor

st (b

p)

BB B CCC/Split CCC

773 bp527 bp

1383 bp


Exhibit 30: B vs. BB Spread Exhibit 31: BB vs. BBB Spread

-200 bp

-100 bp

0 bp

100 bp

200 bp

300 bp

400 bp

500 bp

600 bp

700 bp

Jan-86Jul

-86Jan

-87Jul

-87Jan

-88Jul

-88Jan

-89Jul

-89Jan

-90Jul

-90Jan

-91Jul

-91Jan

-92Jul

-92Jan

-93Jul

-93Jan

-94Jul

-94Jan

-95Jul

-95Jan

-96Jul

-96Jan

-97Jul

-97Jan

-98Jul

-98Jan

-99Jul

-99Jan

-00Jul

-00Jan

-01Jul

-01Jan

-02Jul

-02Jan

-03Jul

-03Jan

-04Jul

-04Jan

-05Jul

-05Jan

-06Jul

-06Jan

-07Jul

-07Jan

-08Jul

-08Jan

-09Jul

-09Jan

-10Jul

-10Jan

-11Jul

-11

Diffe

renc

e in

YTW

(bp)

240 bp

0

100

200

300

400

500

600

Apr-91Oct-9

1Apr-

92Oct-9

2Apr-

93Oct-9

3Apr-

94Oct-9

4Apr-

95Oct-9

5Apr-

96Oct-9

6Apr-

97Oct-9

7Apr-

98Oct-9

8Apr-

99Oct-9

9Apr-

00Oct-0

0Apr-

01Oct-0

1Apr-

02Oct-0

2Apr-

03Oct-0

3Apr-

04Oct-0

4Apr-

05Oct-0

5Apr-

06Oct-0

6Apr-

07Oct-0

7Apr-

08Oct-0

8Apr-

09Oct-0

9Apr-

10Oct-1

0Apr-

11Oct-1

1

Diffe

renc

e in

YTW

(bp)

213 bp


Exhibit 32: DIS vs. Cash-pay Spread Exhibit 33: Cyclical vs. Defensive Spread

-400

-200

0

200

400

600

800

1000

1200

1400

Jun-87Dec-

87Jun

-88Dec-8

8Jun-8

9Dec-

89Jun

-90Dec-

90Jun

-91Dec-

91Jun

-92Dec-9

2Jun

-93Dec-

93Jun

-94Dec-

94Jun

-95Dec-

95Jun

-96Dec-

96Jun

-97Dec-

97Jun

-98Dec-

98Jun

-99Dec-

99Jun

-00Dec-

00Jun

-01Dec-

01Jun

-02Dec-

02Jun-0

3Dec-0

3Jun-0

4Dec-

04Jun

-05Dec-

05Jun

-06Dec-0

6Jun-0

7Dec-

07Jun

-08Dec-

08Jun

-09Dec-

09Jun

-10Dec-1

0Jun

-11Dec-

11

Diffe

renc

e in

YTW

(bp)

678 bp

-400

-200

0

200

400

600

800

Jan-86Jul-

86Jan

-87Jul-87Jan

-88Jul-88Jan

-89Jul-89Jan

-90Jul-90Jan

-91Jul-91Jan

-92Jul-92Jan

-93Jul-93Jan-9

4Jul-

94Jan

-95Jul-95Jan

-96Jul-

96Jan-9

7Jul-

97Jan

-98Jul-98Jan

-99Jul-

99Jan-0

0Jul-

00Jan

-01Jul-01Jan

-02Jul-

02Jan

-03Jul-03Jan

-04Jul-04Jan

-05Jul-05Jan

-06Jul-06Jan

-07Jul-07Jan

-08Jul-08Jan

-09Jul-09Jan

-10Jul-10Jan

-11Jul-11

Diffe

renc

e in

YTW

(bp)

7 bp


02 December 2011

Market Update 8

Exhibit 34: CS High Yield Index: Total Return by Industry, MTD December 01, 2011

Exhibit 35: CS High Yield Index: Total Return by Industry, YTD December 01, 2011

0.35% 0.34% 0.32% 0.30% 0.30% 0.28% 0.26% 0.26% 0.25% 0.25% 0.23% 0.23% 0.21%

0.11% 0.10% 0.09%0.04% 0.01%

-0.21%

0.37%

0.57%

-0.30%-0.20%

-0.10%0.00%

0.10%

0.20%0.30%

0.40%0.50%

0.60%0.70%

Tran

spor

tation

Metal

s/Mine

rals

Media

/Tele

com

Reta

il

Ener

gy

Fore

st Pr

oduc

ts

Manu

factu

ring

Healt

hcar

e

Gami

ng/Le

isure

CS H

igh Y

ield

Index Se

rvice

Utilit

y

Food

& D

rug

Hous

ing

Food

/Tob

acco

Cons

umer

Dura

bles

Cons

Non

-Dur

ables

Chem

icals

Infor

matio

nTe

chno

logy

Finan

cial

Aero

spac

e

6.26% 6.07%5.28% 5.20% 4.99%

4.19%3.41% 3.19% 2.95% 2.68% 2.60% 2.56% 2.13%

1.57% 1.53% 1.49% 1.24%

-0.63% -0.68%

6.27%

10.55%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Food

& D

rug

Ener

gy

Utilit

y

Infor

matio

nTe

chno

logy

Manu

factu

ring

Food

/Tob

acco

Cons

umer

Dura

bles

Healt

hcar

e

Cons

Non

-Dur

ables

CS H

igh Y

ield

Index

Metal

s/Mine

rals

Aero

spac

e

Servi

ce

Gami

ng/Le

isure

Chem

icals

Finan

cial

Media

/Tele

com

Fore

st Pr

oduc

ts

Reta

il

Hous

ing

Tran

spor

tation


Exhibit 36: CS High Yield Index: Total Return by Industry November 2011

Exhibit 37: YTD Total Return of Most Liquid High Yield Issues vs. Overall Market

-0.35%

-1.52%-1.75% -1.81% -1.90% -1.91% -1.93%

-2.08% -2.14%-2.33%

-2.48% -2.56%-2.70%

-1.44%

-0.36%-0.50%

-0.20%

-0.97%

-1.39%

-0.42%

-1.39%

-3.00%

-2.50%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

Food

& D

rug

Manu

factur

ing

Food

/Tob

acco

Cons

Non

-Dur

ables

Cons

umer

Dura

bles

Fore

st Pr

oduc

ts

Hous

ing

Utilit

y

Gami

ng/Le

isure

Retai

l

Ener

gy

CS H

igh Y

ield

Index

Infor

matio

nTe

chno

logy

Metal

s/Mine

rals

Aero

spac

e

Healt

hcar

e

Chem

icals

Media

/Tele

com

Finan

cial

Tran

spor

tation

Servi

ce

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

12/31/2010

1/31/2011

2/28/2011

3/31/2011

4/30/2011

5/31/2011

6/30/2011

7/31/2011

8/31/2011

9/30/2011

10/31/2011

11/30/2011

Cum

ulat

ive

Tota

l Ret

urn

HY Issues > $1bn Size Cumulative Total Return HY Index Cumulative Total Return

2.52%3.19%

12/1/11


Exhibit 38: Credit Suisse High Yield Index vs. Issues in Index >= $1bn in Size High Yield Index Issues >= $1bn

in Size as of 11/22/2011

High Yield Index Issues >= $1bn

in Size as of 12/1/2011

Credit Suisse High Yield Index as of 11/22/2011

Credit Suisse High Yield Index as of 12/1/2011

Average Price 94.87 96.05 96.86 97.31Spread 760 bp 725 bp 771 bp 752 bp

YTD Return 1.24% 2.52% 2.59% 3.19% Source: Credit Suisse

02 December 2011

Market Update 9

Best and Worst Performers in the Credit Suisse High Yield Index

Exhibit 39: Best & Worst Performers Sorted by Total Return: This Week PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersMajestic Star 9.750% 1/15/2011 C D Sr Nts 200 14.500 2.500 20.83% 20.83% 20.83% DefaultedClearwire Communications 12.000% 12/1/2015 B3 CCC Sr Sec Nts 920 89.000 11.750 15.21% 14.45% 14.13% 15.82% 1514 bpClearwire Communications 12.000% 12/1/2015 B3 CCC Sr Sec Nts 1,775 89.000 11.750 15.21% 14.45% 14.13% 15.82% 1514 bpDelta Petroleum 7.000% 4/1/2015 Ca CC Sr Nts 150 87.750 10.750 13.96% 13.96% 13.76% 11.54% 1105 bpNebraska Book 8.625% 3/15/2012 Ca D Sr Sub Nts 175 32.250 3.500 12.17% 12.17% 12.17% DefaultedBon-Ton Stores 10.250% 3/15/2014 Caa1 B- Sr Nts 510 67.750 5.750 9.27% 9.33% 8.97% 30.97% 3068 bpBarrington Broadcasting 10.500% 8/15/2014 Caa1 CCC+ Sr Sub Nts 55 103.000 8.000 8.42% 8.40% 8.16% 5.98% 591 bpReal Mex Restaurants 14.000% 1/1/2013 Caa3 D Sr Sec 2nd Lien Nts 130 45.750 3.250 7.65% 7.65% 7.65% DefaultedRiver Rock Entertainment Author 9.750% 11/1/2011 Ca NR Sr Nts 200 75.000 5.000 7.14% 7.14% 7.14% DefaultedChrysler Group 8.250% 6/15/2021 B2 B Sr Sec 2nd Lien Nts 1,700 87.000 5.500 6.75% 6.63% 6.42% 10.44% 843 bp

Worst PerformersRadio One 12.500% 5/11/2016 Caa2 CCC Sr Sub PIK Election Nt 306 70.000 -14.250 -16.91% -16.50% -16.82% 23.59% 2278 bpAhern Rentals 9.250% 8/15/2013 Ca D Sr Sec 2nd Pr Nts 237 25.000 -4.000 -13.79% -13.79% -13.79% DefaultedPly Gem Industries 13.125% 7/15/2014 Caa3 CCC Sr Sub Nts 150 85.000 -10.500 -10.99% -10.17% -10.46% 20.84% 2050 bpAmerican Airlines 7.500% 3/15/2016 Ca D Sr Sec Nts 1,000 68.500 -7.500 -9.87% -9.87% -9.87% DefaultedProvident Funding Associates 10.125% 2/15/2019 B2 B Sr Nts 200 81.000 -9.000 -10.00% -9.45% -9.69% 14.45% 1288 bpMidwest Vanadium 11.500% 2/15/2018 B3 B- Sr Sec Nts 335 72.000 -8.000 -10.00% -9.30% -9.60% 19.46% 1814 bpAGY Holding 11.000% 11/15/2014 Caa3 CC Sr Sec 2nd Lien Nts 175 57.000 -6.000 -9.52% -9.08% -9.46% 35.78% 3539 bpRadian Group 5.375% 6/15/2015 Caa1 CCC+ Sr Nts 250 42.500 -4.500 -9.57% -8.86% -9.10% 35.00% 3445 bpVerso Paper Holdings 8.750% 2/1/2019 B2 B Sr Sec 2nd Pr Nts 396 63.000 -6.000 -8.70% -8.08% -8.35% 18.19% 1662 bpGeokinetics Holdings USA 9.750% 12/15/2014 Caa2 CCC+ Sr Sec Nts 300 62.000 -5.250 -7.81% -7.02% -7.33% 29.61% 2921 bp


Exhibit 40: Best & Worst Performers Sorted by Total Return: Year to Date PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersAltos Hornos de Mexico 11.375% 4/30/2002 NR D Bds 189 39.500 14.500 58.00% 58.00% 58.00% DefaultedAltos Hornos de Mexico 11.875% 4/30/2004 NR D Bds 213 39.500 14.500 58.00% 58.00% 58.00% DefaultedProvident Financing Trust I 7.405% 3/15/2038 Ba1 BB Cap Nts 226 102.750 29.375 40.03% 47.86% 38.85% 7.17% 427 bpDelta Petroleum 7.000% 4/1/2015 Ca CC Sr Nts 150 87.750 21.750 32.95% 41.56% 32.07% 11.54% 1105 bpNCO Group 11.875% 11/15/2014 Caa3 CCC- Sr Sub Nts 200 99.250 19.250 24.06% 36.95% 23.58% 12.18% 1179 bpTelcordia Technologies 11.000% 5/1/2018 Caa2 CCC+ Sr Sec 2nd Lien Nts 350 124.500 24.000 23.88% 33.30% 23.42% 2.64% 233 bpNortel Networks 10.750% 7/15/2016 Ca D Sr Nts 1,125 111.375 26.875 31.80% 31.80% 31.80% DefaultedNortel Networks 10.125% 7/15/2013 Ca D Sr Nts 550 110.250 25.750 30.47% 30.47% 30.47% DefaultedSymbion 11.000% 8/23/2015 Caa2 CCC+ Sr PIK Election Nts 175 100.500 15.000 17.54% 28.05% 16.75% 10.65% 1044 bpHercules Offshore 10.500% 10/15/2017 Caa1 B- Sr Sec Nts 300 96.500 13.750 16.62% 27.51% 16.16% 11.33% 1011 bp

Worst PerformersGeneral Maritime 12.000% 11/15/2017 C D Sr Nts 300 10.250 -86.250 -89.38% -83.45% -87.86% DefaultedVeraSun Energy 9.375% 6/1/2017 NR D Sr Nts 450 1.000 -4.500 -81.82% -81.82% -81.82% DefaultedNewPage 10.000% 5/1/2012 NR NR Sr Sec 2nd Lien Nts 806 9.000 -48.000 -84.21% -76.18% -81.66% DefaultedDirectBuy Holdings 12.000% 2/1/2017 Caa2 CC Sr Sec 2nd Lien Nts 335 20.000 -77.000 -79.38% -68.73% -79.38% 70.19% 6918 bpMashantucket (Western) Pequot 8.500% 11/15/2015 Ca D Sr Nts 500 4.500 -8.625 -65.71% -65.71% -65.71% DefaultedNorske Skog Canada 7.375% 3/1/2014 Caa2 CC Sr Nts 250 19.000 -55.500 -74.50% -63.24% -72.04% 112.71% 9999 bpWil liam Lyon Homes 10.750% 4/1/2013 C D Sr Nts 139 29.000 -57.250 -66.38% -61.40% -64.28% DefaultedNebraska Book 8.625% 3/15/2012 Ca D Sr Sub Nts 175 32.250 -55.250 -63.14% -59.44% -61.30% DefaultedCMA CGM 8.500% 4/15/2017 B3 B- Sr Nts 475 37.500 -62.500 -62.50% -57.19% -62.50% 35.14% 3407 bpHawker Beechcraft Acquisition 8.500% 4/1/2015 Ca CC Sr Nts 183 23.000 -51.250 -69.02% -56.80% -67.02% 72.26% 7177 bp


02 December 2011

Market Update 10

Best and Worst Performers in the Credit Suisse High Yield Index

Exhibit 41: Best & Worst Performers Sorted by Price Move: This Week (1) PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersClearwire Communications 12.000% 12/1/2015 B3 CCC Sr Sec Nts 920 89.000 11.750 15.21% 14.45% 14.13% 15.82% 1514 bpClearwire Communications 12.000% 12/1/2015 B3 CCC Sr Sec Nts 1,775 89.000 11.750 15.21% 14.45% 14.13% 15.82% 1514 bpDelta Petroleum 7.000% 4/1/2015 Ca CC Sr Nts 150 87.750 10.750 13.96% 13.96% 13.76% 11.54% 1105 bpBarrington Broadcasting 10.500% 8/15/2014 Caa1 CCC+ Sr Sub Nts 55 103.000 8.000 8.42% 8.40% 8.16% 5.98% 591 bpBon-Ton Stores 10.250% 3/15/2014 Caa1 B- Sr Nts 510 67.750 5.750 9.27% 9.33% 8.97% 30.97% 3068 bpChrysler Group 8.000% 6/15/2019 B2 B Sr Sec 2nd Lien Nts 1,500 87.500 5.500 6.71% 6.60% 6.39% 10.44% 880 bpChrysler Group 8.250% 6/15/2021 B2 B Sr Sec 2nd Lien Nts 1,700 87.000 5.500 6.75% 6.63% 6.42% 10.44% 843 bpJ. Crew Group 8.125% 3/1/2019 Caa1 CCC+ Sr Nts 400 94.000 5.000 5.62% 5.70% 5.50% 9.28% 770 bpNCO Group 11.875% 11/15/2014 Caa3 CCC- Sr Sub Nts 200 99.250 5.000 5.31% 5.56% 5.28% 12.18% 1179 bpRiver Rock Entertainment Author 9.750% 11/1/2011 Ca NR Sr Nts 200 75.000 5.000 7.14% 7.14% 7.14% Defaulted

Worst PerformersRadio One 12.500% 5/11/2016 Caa2 CCC Sr Sub PIK Election Nt 306 70.000 -14.250 -16.91% -16.50% -16.82% 23.59% 2278 bpPly Gem Industries 13.125% 7/15/2014 Caa3 CCC Sr Sub Nts 150 85.000 -10.500 -10.99% -10.17% -10.46% 20.84% 2050 bpProvident Funding Associates 10.125% 2/15/2019 B2 B Sr Nts 200 81.000 -9.000 -10.00% -9.45% -9.69% 14.45% 1288 bpMidwest Vanadium 11.500% 2/15/2018 B3 B- Sr Sec Nts 335 72.000 -8.000 -10.00% -9.30% -9.60% 19.46% 1814 bpAmerican Airlines 7.500% 3/15/2016 Ca D Sr Sec Nts 1,000 68.500 -7.500 -9.87% -9.87% -9.87% DefaultedKeyCorp Capital III 7.750% 7/15/2029 Baa3 BB Cap Nts 103 99.500 -6.500 -6.13% -5.82% -5.98% 7.80% 532 bpAGY Holding 11.000% 11/15/2014 Caa3 CC Sr Sec 2nd Lien Nts 175 57.000 -6.000 -9.52% -9.08% -9.46% 35.78% 3539 bpExpro Finance 8.500% 12/15/2016 B3 B- Sr Sec Nts 1,400 86.000 -6.000 -6.52% -6.06% -6.26% 12.32% 1134 bpVedanta Resources 8.250% 6/7/2021 Ba2 BB Sr Nts 900 81.000 -6.000 -6.90% -6.40% -6.60% 11.60% 960 bpVerso Paper Holdings 8.750% 2/1/2019 B2 B Sr Sec 2nd Pr Nts 396 63.000 -6.000 -8.70% -8.08% -8.35% 18.19% 1662 bp

(1) Includes only issues priced 50 or higher at beginning of period


Exhibit 42: Best & Worst Performers Sorted by Price Move: Year to Date(1) PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersProvident Financing Trust I 7.405% 3/15/2038 Ba1 BB Cap Nts 226 102.750 29.375 40.03% 47.86% 38.85% 7.17% 427 bpNortel Networks 10.750% 7/15/2016 Ca D Sr Nts 1,125 111.375 26.875 31.80% 31.80% 31.80% DefaultedNortel Networks 10.125% 7/15/2013 Ca D Sr Nts 550 110.250 25.750 30.47% 30.47% 30.47% DefaultedTelcordia Technologies 11.000% 5/1/2018 Caa2 CCC+ Sr Sec 2nd Lien Nts 350 124.500 24.000 23.88% 33.30% 23.42% 2.64% 233 bpDelta Petroleum 7.000% 4/1/2015 Ca CC Sr Nts 150 87.750 21.750 32.95% 41.56% 32.07% 11.54% 1105 bpDiversey Holdings 10.500% 5/15/2020 NR B- Sr PIK Election Nts 175 136.500 21.500 18.70% 26.75% 18.46% 1.56% 89 bpGreat Atlantic & Pacific Tea 11.375% 8/1/2015 NR D Sr Sec 2nd Lien Nts 260 111.000 21.000 23.33% 23.33% 23.33% DefaultedNCO Group 11.875% 11/15/2014 Caa3 CCC- Sr Sub Nts 200 99.250 19.250 24.06% 36.95% 23.58% 12.18% 1179 bpDiversey 8.250% 11/15/2019 B3 B Sr Nts 260 124.500 16.000 14.75% 21.51% 14.59% 1.14% 75 bpSymbion 11.000% 8/23/2015 Caa2 CCC+ Sr PIK Election Nts 175 100.500 15.000 17.54% 28.05% 16.75% 10.65% 1044 bp

Worst PerformersGeneral Maritime 12.000% 11/15/2017 C D Sr Nts 300 10.250 -86.250 -89.38% -83.45% -87.86% DefaultedDirectBuy Holdings 12.000% 2/1/2017 Caa2 CC Sr Sec 2nd Lien Nts 335 20.000 -77.000 -79.38% -68.73% -79.38% 70.19% 6918 bpCMA CGM 8.500% 4/15/2017 B3 B- Sr Nts 475 37.500 -62.500 -62.50% -57.19% -62.50% 35.14% 3407 bpAES Eastern Energy 9.670% 1/2/2029 Caa2 CC P-T Certs 268 46.000 -61.250 -57.11% -48.78% -57.07% 21.78% 1933 bpReal Mex Restaurants 14.000% 1/1/2013 Caa3 D Sr Sec 2nd Lien Nts 130 45.750 -58.250 -56.01% -49.35% -55.93% DefaultedWilliam Lyon Homes 10.750% 4/1/2013 C D Sr Nts 139 29.000 -57.250 -66.38% -61.40% -64.28% DefaultedNorske Skog Canada 7.375% 3/1/2014 Caa2 CC Sr Nts 250 19.000 -55.500 -74.50% -63.24% -72.04% 112.71% 9999 bpAquilex Holdings 11.125% 12/15/2016 C C Sr Nts 225 46.000 -55.250 -54.57% -44.20% -54.24% 34.43% 3346 bpNebraska Book 8.625% 3/15/2012 Ca D Sr Sub Nts 175 32.250 -55.250 -63.14% -59.44% -61.30% DefaultedAES Eastern Energy 9.000% 1/2/2017 Caa2 CC P-T Certs 193 51.000 -53.500 -51.20% -43.25% -51.16% 27.44% 2645 bp

(1) Includes only issues priced 50 or higher at beginning of period


02 December 2011

Market Update 11

Exhibit 43: Capital Markets – Shadow Calendar

Issuer

Procee

dsIss

ueMatu

rity

Call Pro

vision

Offer Ty

pe

Underwrite

rs

Moodys SP

Compan

y Desc

ription

DEALS EXPECTED TO PRICE BY 12/9/11PHH 250.0 Sr Nts 7 Pub CITI/JPM/BAML/GS/RBS/WFS;SCOTIA;RBC Ba2 / BB+ mortgage origination services

Straight Debt, $US 250.0Straight Debt, Non-$US (Equiv $US) 0.0

Preferreds & Floaters 0.0Other 144A 0.0

TOTAL 250.0

DEALS EXPECTED TO PRICE AFTER 12/9/11A.M. Castle & Co. 225.0 Sr Sec Nts 5 3 144A JEFF NR / NR specialty metals & industrial plastic prod.Expert Global Solutions 300.0 Sr Nts 8 144A DB/BARC/JPM/RBS Caa1 / NR accts receivables mgmt services

Straight Debt, $US 525.0Straight Debt, Non-$US (Equiv $US) 0.0

Preferreds & Floaters 0.0Other 144A 0.0

TOTAL 525.0

$MM # Issues144A Straight Debt, $US 525.0 2

Public Straight Debt, $US 250.0 1Total Straight Debt, $US 775.0 3

Other Subtotals

Emerging Market 0.0 0Non-$US (Equiv $US) 0.0 0Preferreds & Floaters 0.0 0

Non-US issuer, $US issuance 0 0European Issuance 0.0 0

Total Number of Non-US issues 0Total Number of US issues 3


Exhibit 44: Capital Markets – Shadow Calendar Pie Chart

Deals Expected to Price by 12/9/11

Financial100%


Registration statements relating to the above public securities have been filed with the Securities and Exchange Commission but have not yet become effective. These securities may not be sold nor may offers to buy be accepted prior to the time the registration statements become effective. This calendar shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of these securities in any State in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such States. A prospectus may be obtained by contacting one of the managing underwriters.

02 Decem

ber 2011

Market U

pdate

12

Exhibit 45: 2011 New High Yield Issues *Deals listed as of trade date; 144(a) deals shown after closing date.

Date Issue ty

pe

Issuer

Procee

dsIss

ue Desc

ription

Country

Indust

ry

Issuer d

escrip

tion

Coupon

Maturity

Issuance

price

Issuanc

e yield

Issuance

spread

First call

MoodysSP

11/30/11 Pub CCO Holdings/CCO Capita l 750.000 Sr Nts Media/Te lecom national cab le operator 7 .375% 6/1/20 100.000 7.375% 558 12/1/15 @ 103.688 B1 BB-11/18/11 144A Entercom Radio 217.078 Sr Nts Media/Te lecom Radio broadcaster 10.500% 12/1/19 98.672 10.750% 911 12/1/15 @ 105.25 Caa1 B-11/18/11 144A Kodiak Oil & Gas 650.000 Sr Nts CAN Energy o il and gas exploration and production 8.125% 12/1/19 100.000 8.125% 648 12/1/15 @ 104.063 Caa1 B-11/16/11 Pub American Greetings 225.000 Sr Nts Cons N-Dur g reeting cards 7.375% 12/1/21 100.000 7.375% 538 12/1/16 @ 103.688 Ba3 BB+11/16/11 144A Atlas Pipeline Partners 155.250 Sr Nts Energy midstream gas supplier 8 .750% 6/15/18 103.500 8.051% 677 6/15/13 @ 104.375 B3 B11/16/11 Pub Plains Exploration & Production 1000.000 Sr Nts Energy o il & gas exploration & development 6 .750% 2/1/22 100.000 6.750% 475 2/1 /17 @ 103.375 B1 BB11/15/11 144A Pioneer Drilling 176.750 Sr Nts Energy d rilling and o ther oilfie ld services 9.875% 3/15/18 101.000 9.654% 834 3/15/14 @ 104.938 B3 B11/15/11 144A Swift Energy 247.890 Sr Nts Energy o il & gas exploration and production 7.875% 3/1/22 99.156 8.000% 593 3/1 /17 @ 103.938 B3 B+11/14/11 144A Carrizo Oil & Gas 197.002 Sr Nts Energy p roduce r of natu ral gas and o il 8 .625% 10 /15/18 98.501 8.918% 746 10/15/14 @ 104.313 B3 B-11/14/11 144A CHS/Community Health Systems 1000.000 Sr Nts Healthcare acute care hosp itals in non-u rban communities 8.000% 11 /15/19 100.000 8.000% 634 11/15/15 @ 104 B3 B11/14/11 144A Host Hotels & Resorts 300.000 Sr Nts Gaming/Leisure upsca le & luxury hote ls 6 .000% 10/1/21 100.000 6.000% 394 maturity Ba1 BB+11/10/11 Pub Amerigroup 400.000 Sr Nts Healthcare healthcare insurance services 7.500% 11 /15/19 100.000 7.500% 584 11/15/15 @ 103.75 Ba3 BB+11/9/11 144A Green Field Energy Services 247.500 Sr Nts Energy o ilfie ld services 13.000% 11 /15/16 99.000 13.280% 1241 11/15/14 @ 109.75 Caa2 CCC+11/9/11 144A HeidelbergCement Finance EUR 215.000 Sr Nts GER Housing cement, concrete , o ther building products 9 .500% 12 /15/18 107.500 8.077% 688 maturity Ba2 BB+11/9/11 144A Petroleum Geo-Services 295.914 Sr Nts NORWY Energy o ilfie ld services 7.375% 12 /15/18 98.638 7.625% 622 12/15/15 @ 103.688 Ba2 BB11/8/11 144A Cara Operations CAD 75.240 Sr Sec 2nd L ien Nts CAN Food/Tob franchise restaurants in Canada 9.125% 12/1/15 99.000 9.431% 811 12/1/12 @ 104.563 NR BB-11/8/11 144A Ford Credit Canada CAD 449.771 Sr Nts Trans automobile mfr 4 .200% 11 /14/13 99.949 4.227% 325 maturity Ba1 BB+11/8/11 144A Health Management Associates 875.000 Sr Nts Healthcare acute care hosp ital operator 7 .375% 1/15/20 100.000 7.375% 568 1/15/16 @ 103.688 B3 B-11/8/11 144A NewAlta CAD 125.000 Sr Nts CAN Service recycles industrial waste 7.750% 11 /14/19 100.000 7.750% 586 11/14/15 @ 103.875 B1 NR11/8/11 144A UPCB Finance 750.000 Sr Sec Nts NETH Media/Te lecom broadband cable ope rator 7 .250% 11 /15/21 100.000 7.250% 517 11/15/16 @ 103.625 Ba3 B+11/7/11 144A Peabody Energy 1600.000 Sr Nts Metals/Mins coa l producer 6 .000% 11 /15/18 100.000 6.000% 454 maturity Ba1 BB+11/7/11 144A Peabody Energy 1500.000 Sr Nts Metals/Mins coa l producer 6 .250% 11 /15/21 100.000 6.250% 422 maturity Ba1 BB+11/7/11 144A Windstream 500.000 Sr Nts Media/Te lecom wireline communications 7.500% 6/1/22 100.000 7.500% 544 6/1 /17 @ 103.75 Ba3 B+11/7/11 144A WPX Energy 400.000 Sr Nts Energy o il and natural gas exploration and production 5.250% 1/15/17 100.000 5.250% 435 maturity Ba1 BB+11/7/11 144A WPX Energy 1100.000 Sr Nts Energy o il and natural gas exploration and production 6.000% 1/15/22 100.000 6.000% 397 maturity Ba1 BB+11/4/11 144A LyondellBase ll Industries 1000.000 Sr Nts NETH Chemicals chemicals producer 6 .000% 11 /15/21 100.000 6.000% 397 maturity Ba1 BB+11/4/11 144A Norcell Sweden Holding EUR 272.648 Sr Nts SWED Media/Te lecom Swedish cable TV operator 10.750% 9/29/19 94.980 11.750% 1026 11/14/15 @ 105.375 Caa1 CCC+11/4/11 144A Sprint Nexte l 1000.000 Sr Nts Media/Te lecom wireless telecom 11.500% 11 /15/21 100.000 11.500% 947 maturity B3 B+11/4/11 144A Sprint Nexte l 3000.000 Guar Nts Media/Te lecom wireless telecom 9.000% 11 /15/18 100.000 9.000% 755 maturity Ba3 BB-11/4/11 144A Tenet Healthcare 900.000 Sr Sec Nts Healthcare Owns & opera tes acute care hosp itals 6 .250% 11/1/18 100.000 6.250% 480 maturity B1 BB-11/3/11 144A Faurecia EUR 348.177 Sr Nts FRA Trans car parts manufacturer in France 9.375% 12 /15/16 99.479 9.500% 846 maturity Ba3 NR11/3/11 144A Sally Holdings 750.000 Sr Nts Retail beauty pdts stores 6.875% 11 /15/19 100.000 6.875% 519 11/15/15 @ 103.438 B1 BB+11/3/11 144A SM Energy 350.000 Sr Nts Energy o il & gas exploration and production 6.500% 11 /15/21 100.000 6.500% 443 11/15/16 @ 103.25 B1 BB11/2/11 144A Spectrum Brands 217.000 Sr Nts Cons N-Dur battery & ligh ting device mfr & distrib 9 .500% 6/15/18 108.500 7.824% 653 6/15/14 @ 104.75 B1 B11/1/11 144A CNH Capita l 500.000 Sr Nts Mfg agricultu ral equipment 6 .250% 11/1/16 100.000 6.250% 534 maturity Ba2 BB10/31/11 Pub American Axle & Mfg 200.000 Sr Nts Trans d riveline systems for light trucks and SUVs 7.750% 11 /15/19 100.000 7.750% 601 maturity B1 B10/31/11 144A CSC Holdings 1000.000 Sr Nts Media/Te lecom cable TV operator 6 .750% 11 /15/21 100.000 6.750% 464 maturity Ba3 BB10/28/11 Pub Ford Motor Credit 1250.000 Sr Nts Trans automobile mfr 3 .875% 1/15/15 100.000 3.875% 339 maturity Ba1 BB+10/28/11 Shelf Sherritt International CAD 400.000 Sr Nts CAN Metals/Mins mining and refining of nickel 8 .000% 11 /15/18 100.000 8.000% 605 11/15/17 @ 100 NR NR10/27/11 144A Acadia Healthcare 147.485 Sr Nts Healthcare p rovides inpatient psychiatric hea lthcare services 12.875% 11/1/18 98.323 13.25 0% 1143 11/1/15 @ 106.438 B3 B-10/27/11 Pub Oasis Petro leum 400.000 Sr Nts Energy o il & gas exploration and production 6.500% 11/1/21 100.000 6.500% 410 11/1/16 @ 103.25 Caa1 B-10/26/11 144A Atlan tic Power 448.367 Sr Nts CAN Utility e lectric power generation facilities 9 .000% 11 /15/18 97.471 9.500% 784 11/15/14 @ 104.5 B1 BB-10/25/11 144A Chesapeake Oilfie ld Operating 650.000 Sr Nts Energy o ilfie ld services 6.625% 11 /15/19 100.000 6.625% 488 11/15/15 @ 103.313 Ba3 BB+10/25/11 144A FMG Resources 1500.000 Sr Nts AUSTRAL Metals/Mins Australian iron ore mining co . 8 .250% 11/1/19 100.000 8.250% 650 11/1/15 @ 104.125 B1 B+10/25/11 144A Kinetic Concepts 1718.465 Sr Sec 2nd L ien Nts Healthcare mfr & dist of medica l devices 10.500% 11/1/18 98.198 10.875% 931 11/1/15 @ 105.25 B3 B10/25/11 Shelf MarkWest Energy Partners 700.000 Sr Nts Energy natura l gas producer 6 .250% 6/15/22 100.000 6.250% 411 12/15/16 @ 103.125 Ba3 BB10/21/11 144A J.M. Huber 223.477 Sr Nts Mfg p rovides engineered mate rials and wood products 9 .875% 11/1/19 99.323 10.000% 815 11/1/15 @ 104.938 B2 BB-10/14/11 144A Beagle Acquisition 375.000 Sr Nts Healthcare revenue and paymen t services for healthcare industry 11.000% 12 /31/19 100.000 11.000% 911 12/31/15 @ 105.5 Caa1 CCC+


02 Decem

ber 2011

Market U

pdate

13


Date Issue ty

pe

Issuer

Procee

dsIss

ue Desc

ription

Country

Indust

ry

Issuer d

escrip

tion

Coupon

Maturity

Issuance

price

Issuanc

e yield

Issuance

spread

First call

MoodysSP

10/12/11 144A Laredo Petroleum 202.000 Sr Nts Energy o il exploration and production 9.500% 2/15/19 101.000 9.252% 747 2/15/15 @ 104.75 Caa2 CCC+10/10/11 144A Float FMC Finance VIII EUR 100.000 Sr Nts GER Healthcare p rovider of dia lysis products and services L+350 10 /15/16 100.000 maturity Ba2 BB10/10/11 144A HeidelbergCement CHF 150.000 Sr Nts GER Housing cement, concrete , o ther building products 7 .250% 11 /14/17 100.000 7.250% 645 maturity Ba2 BB10/3/11 Shelf American Tower 499.290 Sr Nts Media/Te lecom communica tions towers operator 5 .900% 11/1/21 99.858 5.918% 416 maturity Baa3 BB+9/28/11 144A HeidelbergCement Finance EUR 297.912 Sr Nts GER Housing cement, concrete , o ther building products 9 .500% 12 /15/18 99.304 9.625% 809 maturity Ba2 BB9/27/11 Pub HCA 500.000 Sr Nts Healthcare hospitals and related hea lthcare facilities 8 .000% 10/1/18 100.000 8.000% 655 maturity B3 B-9/27/11 144A JELD-WEN Escrow 448.127 Sr Sec 2nd Pr Nts Housing door and window manufacturer 12.250% 10 /15/17 97.419 12.875% 1168 10/15/14 @ 106.125 B3 B-9/27/11 Shelf Newfie ld Explora tion 749.670 Sr Nts Energy o il & gas exploration & production 5.750% 1/30/22 99.956 5.750% 375 maturity Ba1 BBB-9/27/11 144A Peugeot EUR 497.940 Sr Nts FRA Trans automobile mfr 6 .875% 3/30/16 99.588 7.000% 597 maturity Baa3 BB+9/26/11 144A Dolphin Subsidary II 450.000 Sr Nts Utility e lectic utility 6 .500% 10 /15/16 100.000 6.500% 560 maturity Ba1 BB+9/26/11 144A Dolphin Subsidary II 800.000 Sr Nts Utility e lectic utility 7 .250% 10 /15/21 100.000 7.250% 535 maturity Ba1 BB+9/26/11 144A Platinum Energy Solutions 47.500 Sr Sec PIK Election Nts Energy o ilfie ld services 14.250% 3/1/15 95.000 16.196% 1568 3/1 /13 @ 107.125 NR NR9/21/11 144A AE Escrow 250.000 Sr Nts Service rental cars 9 .750% 3/15/20 100.000 9.750% 815 9/15/15 @ 104.875 B2 B9/20/11 Shelf Bill Barrett 400.000 Sr Nts Energy natura l gas and oil exploration and development 7 .625% 10/1/19 100.000 7.625% 606 10/1/15 @ 103.813 B1 BB-9/20/11 Shelf Iron Mountain 400.000 Sr Nts Info Tech records & information management 7 .750% 10/1/19 100.000 7.750% 619 10/1/15 @ 103.875 B1 B+9/16/11 144A Sealed Air 750.000 Sr Nts Forest Prod/Cont mfr of pkg and performance-based mat'ls and equ ip sy 8.125% 9/15/19 100.000 8.125% 646 9/15/15 @ 104.063 B1 BB9/16/11 144A Sealed Air 750.000 Sr Nts Forest Prod/Cont mfr of pkg and performance-based mat'ls and equ ip sy 8.375% 9/15/21 100.000 8.375% 633 9/15/16 @ 104.188 B1 BB9/15/11 Pub El Paso Pipeline Partners Operating 496.685 Sr Nts Utility gas pipe line 5.000% 10/1/21 99.337 5.085% 300 maturity Ba1 BB9/15/11 Shelf Omnicare 150.375 Sr Nts Healthcare geriatric pharmaceutical care services 7.750% 6/1/20 100.250 7.698% 590 6/1 /15 @ 103.875 Ba3 BB9/8/11 144A Calumet Specialty Products Partners 186.000 Sr Nts Energy p roduces hydrocarbon products 9 .375% 5/1/19 93.000 10.739% 924 5/1 /15 @ 104.688 B3 B9/8/11 144A FMC Finance VIII EUR 394.492 Sr Nts GER Healthcare p rovider of dia lysis products and services 6.500% 9/15/18 98.623 6.750% 539 maturity Ba2 BB9/8/11 144A Fresenius Medica l Care US Finance II 394.492 Sr Nts GER Healthcare p rovider of dia lysis products and services 6.500% 9/15/18 98.623 6.750% 535 maturity Ba2 BB8/16/11 144A Immucor 394.856 Sr Nts Healthcare b lood screening company 11.125% 8/15/19 98.714 11.375% 962 8/15/15 @ 105.563 Caa1 B-8/12/11 144A CrownRock 139.022 Sr Nts Energy o il E&P in Texas 10.000% 8/15/16 92.681 12.000% 1104 2/15/14 @ 105 Caa2 CCC8/11/11 144A ROC Finance 373.411 Sr Sec 2nd L ien Nts Gaming/Leisure opera tes casinos in Ohio 12.125% 9/1/18 98.266 12.500% 1086 9/1 /14 @ 109.094 Caa1 B8/2/11 Pub Reckson Operating Partnership 249.543 Sr Nts Housing o ffice and industrial p roperties in NY area 5.000% 8/15/18 99.817 5.031% 310 maturity Ba1 BBB-7/28/11 144A Fiesta Restaurant Group 200.000 Sr Sec 2nd L ien Nts Food/Tob quick-casua l resturants including Taco Cabana 8.875% 8/15/16 100.000 8.875% 735 2/15/14 @ 104.438 B2 B7/28/11 144A Tempel Steel 130.950 Sr Sec Nts Mfg mfr of magnetic steel laminations used in motors 12.000% 8/15/16 97.000 12.829% 1130 2/15/14 @ 109 B3 B7/27/11 Pub AmeriGas Partners 450.000 Sr Nts Energy retail propane distributor 6 .250% 8/20/19 100.000 6.250% 375 8/20/15 @ 103.125 Ba3 NR7/27/11 144A Antero Resources Finance 400.000 Sr Nts Energy o il and gas e&p 7.250% 8/1/19 100.000 7.250% 475 8/1 /14 @ 105.438 B3 B7/27/11 Pub Ford Motor Credit 1000.000 Sr Nts Trans automobile mfr 5 .875% 8/2/21 100.000 5.875% 289 maturity Ba2 BB-7/26/11 144A Bormioli Rocco Holdings EUR 250.000 Sr Sec Nts ITALY Forest Prod/Cont pharma and consumer glass packaging 10.000% 8/1/18 100.000 10.000% 767 8/1 /14 @ 107.5 B1 BB-7/26/11 Pub HCA 3000.000 Sr Sec Nts Healthcare hospitals and related hea lthcare facilities 6 .500% 2/15/20 100.000 6.500% 391 maturity Ba3 BB7/26/11 Pub HCA 2000.000 Sr Nts Healthcare hospitals and related hea lthcare facilities 7 .500% 2/15/22 100.000 7.500% 451 maturity B3 B-7/26/11 144A Precision Drilling 400.000 Sr Nts CAN Energy o ilfie ld services 6.500% 12 /15/21 100.000 6.500% 351 12/15/16 @ 103.25 Ba1 BB+7/26/11 144A Reynolds Group Issuer 1489.020 Sr Sec Nts Forest Prod/Cont beverage packaging, foil, wraps and bags 7.875% 8/15/19 99.268 8.000% 553 8/15/15 @ 103.938 Ba3 BB-7/26/11 144A Reynolds Group Issuer 993.180 Sr Nts Forest Prod/Cont beverage packaging, foil, wraps and bags 9.875% 8/15/19 99.318 10.000% 753 8/15/15 @ 104.938 Caa1 B-7/25/11 144A Academy 450.000 Sr Nts Retail sporting goods retaile r 9 .250% 8/1/19 100.000 9.250% 674 8/1 /14 @ 106.938 Caa1 CCC+7/22/11 144A MTR Gaming Group 548.050 Sr Sec 2nd L ien PIK Election Nts Gaming/Leisure owns/operates race tracks 11.500% 8/1/19 97.000 12.097% 962 8/1 /15 @ 106 B3 B-7/21/11 144A North Atlantic Trad ing 200.900 Sr Sec 2nd L ien Nts Cons N-Dur maker of zigzag cigarette rolling papers 11.500% 7/15/16 98.000 12.050% 1050 7/15/13 @ 108.625 B2 B-7/21/11 144A North Atlantic Trad ing 77.600 Sr Sec 3nd L ien PIK Election Nts Cons N-Dur maker of zigzag cigarette rolling papers 19.000% 1/15/17 97.000 19.935% 1820 7/15/13 @ 114.25 Caa2 CCC7/20/11 144A Capsugel FinanceCo EUR 325.000 Sr Nts Healthcare p ill casings & drug delivery technologies 9.875% 8/1/19 100.000 9.875% 739 8/1 /14 @ 107.406 Caa1 B7/20/11 144A SunCoke Energy 400.000 Sr Nts Metals/Mins metallurgica l coke producer 7 .625% 8/1/19 100.000 7.625% 518 8/1 /14 @ 105.719 B1 B+7/20/11 144A Trader 288.164 Sr Sec Nts CAN Media/Te lecom publisher of automotive and real estate magazines 9.875% 8/15/18 99.367 10.000% 780 8/15/14 @ 107.406 B3 B7/19/11 144A TMX Finance/TitleMax Finance 64.200 Sr Sec Nts Financial consumer auto lender 13.250% 7/15/15 107.000 11.028% 1000 7/15/13 @ 106.625 B2 B+7/15/11 144A SRA International 400.000 Sr Nts Service technology consu lting services to gov't o rgan izations 11.000% 10/1/19 100.000 11.000% 858 10/1/15 @ 105.5 Caa1 CCC+7/14/11 144A ExamWorks Group 250.000 Sr Nts Healthcare p rovides medical exams & bill review for insurance com 9.000% 7/15/19 100.000 9.000% 653 7/15/15 @ 104.5 B3 CCC+7/14/11 144A GFI Group 250.000 Sr Nts Financial b rokerage, clearing & electronic execution services 8.375% 7/19/18 100.000 8.375% 614 maturity Ba2 BBB-


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7/14/11 144A Kratos Defense & Security Solu tions 120.750 Sr Sec Nts Aerospace defense contractor 10.000% 6/1/17 105.000 8.880% 701 6/1 /14 @ 105 B3 B+7/14/11 144A Level 3 Escrow 591.270 Sr Nts Media/Te lecom fiber-based telecom network 8.125% 7/1/19 98.545 8.375% 590 7/1 /15 @ 104.063 Caa1 CCC7/14/11 144A WMG Acquisition 157.125 Sr Sec Nts Media/Te lecom music reco rding/pub lishing 9.500% 6/15/16 104.750 8.305% 681 6/15/13 @ 104.75 Ba2 BB-7/14/11 144A WMG Acquisition 747.198 Sr Nts Media/Te lecom music reco rding/pub lishing 11.500% 10/1/18 97.673 12.000% 976 10/1/14 @ 108.625 B3 B-7/14/11 144A WMG Holdings 150.000 Sr Nts Media/Te lecom music reco rding/pub lishing 13.750% 10/1/19 100.000 13.750% 1128 10/1/15 @ 106.875 B3 B-7/12/11 144A Dynacast International 350.000 Sr Sec 2nd L ien Nts Mfg mfr of precision die cast components 9.250% 7/15/19 100.000 9.250% 685 7/15/15 @ 104.625 B2 B7/12/11 144A RAAM Global Energy 51.250 Sr Sec Nts Energy o il and gas exploration and production 12.500% 10/1/15 102.500 11.718% 1071 10/1/14 @ 106.25 NR NR7/8/11 144A Brenn tag Finance EUR 397.284 Sr Nts GER Chemicals specialty chemicals supplier 5 .500% 7/19/18 99.321 5.620% 319 maturity Ba1 BBB-7/8/11 144A Greif Luxembourg Finance EUR 200.000 Sr Nts Forest Prod/Cont mfr corruga ted, fiber, steel, plastic containers 7.375% 7/15/21 100.000 7.375% 457 maturity Ba2 BB7/7/11 144A INC Research 300.000 Sr Nts Healthcare clinical research services 11.500% 7/15/19 100.000 11.500% 881 7/15/15 @ 105.75 Caa1 B-7/7/11 144A Saratoga Resources 125.232 Sr Sec 2nd L ien Nts Energy o il & gas exploration and production 12.500% 7/1/16 98.221 13.000% 1127 1 /1 /14 @ 106.25 NR NR7/6/11 Shelf Equinix 750.000 Sr Nts Info Tech data centers 7 .000% 7/15/21 100.000 7.000% 389 7/15/16 @ 103.5 Ba2 BB-7/6/11 144A Nara Cable Funding EUR 297.000 Sr Sec Nts SPAIN Media/Te lecom te lecom & cable TV in Spain 8.875% 12/1/18 99.000 9.060% 645 12/1/13 @ 108.875 NR B7/5/11 144A Fiat Finance & Trade EUR 600.000 Sr Nts ITALY Trans auto mfr 7 .375% 7/8/18 100.000 7.375% 473 maturity Ba1 BB7/5/11 144A Fiat Finance & Trade EUR 900.000 Sr Nts ITALY Trans auto mfr 6 .125% 7/8/14 100.000 6.125% 438 maturity Ba1 BB6/30/11 144A inVentiv Health 370.500 Sr Nts Healthcare marketing services to pharmaceutical industry 10.000% 8/15/18 95.000 11.031% 853 8/15/14 @ 105 Caa2 CCC+6/30/11 144A SoftBrands/Lawson Software 516.001 Sr Nts Info Tech p rovides enterprise software 11.500% 7/15/18 92.143 13.250% 1075 7/15/15 @ 105.75 Caa1 B-6/29/11 144A Crown Media Holdings 300.000 Sr Nts Media/Te lecom owns cable TV channels 10.500% 7/15/19 100.000 10.500% 787 7/15/15 @ 105.25 B3 B-6/29/11 144A National CineMedia 200.000 Sr Nts Media/Te lecom movie theater advertising services 7.875% 7/15/21 100.000 7.875% 476 7/15/16 @ 103.938 B2 B6/27/11 144A Husky Injection Molding Systems 570.000 Sr PIK Election Nts CAN Mfg Mfr of injection mold ing equipment to the plastic industr 10.500% 6/30/19 100.000 10.500% 808 6/30/14 @ 105.25 Caa1 CCC+6/24/11 144A WP Rocket Merger Sub 200.000 Sr Nts Healthcare Provides health & sa fety serv 10.125% 7/15/19 100.000 10.125% 777 7/15/15 @ 105.063 Caa1 CCC+6/23/11 144A Ducommun 200.000 Sr Nts Aerospace mfrs parts fo r aircraft and space programs 9.750% 7/15/18 100.000 9.750% 757 7/15/15 @ 104.875 B3 B-6/23/11 144A Harbinger Group 151.500 Sr Sec Nts Financial makes strategic investments in businesses 10.625% 11 /15/15 101.000 10.328% 908 5/15/13 @ 105.313 Caa1 NR6/22/11 144A AMC Networks 700.000 Sr Nts Media/Te lecom opera tes cab le TV networks 7.750% 7/15/21 100.000 7.750% 477 7/15/16 @ 103.875 B2 B+6/22/11 Shelf US Airways Pass-Thru Trusts 83.193 P-T Certs Aerospace a irline 10.875% 10 /22/14 100.000 10.875% 998 maturity B3 B6/21/11 Shelf US Airways Pass-Thru Trusts 293.944 P-T Certs Aerospace a irline 7.125% 10 /22/23 100.000 7.125% 399 maturity Ba2 BBB6/21/11 Shelf US Airways Pass-Thru Trusts 94.283 P-T Certs Aerospace a irline 9.750% 10 /22/18 100.000 9.750% 737 maturity B2 B+6/21/11 Pub Wienerberger EUR 99.230 Sr Nts AUSTRIA Housing manuf. bricks, concrete, pavers, roofing & p ipes 5.250% 7/4/18 99.230 5.385% 278 maturity Ba1 BB6/17/11 144A Downstream Developmen t Authority Quap 293.044 Sr Sec Nts Gaming/Leisure casinos in Oklahoma 10.500% 7/1/19 99.337 10.625% 815 7/1 /15 @ 105.25 B3 B6/17/11 144A Kinove German Bondco 350.000 Sr Sec Nts GER Chemicals p roduces carbon black 9.625% 6/15/18 100.000 9.625% 739 6/15/14 @ 107.219 B2 B6/17/11 144A Kinove German Bondco EUR 355.000 Sr Sec Nts GER Chemicals p roduces carbon black 10.000% 6/15/18 100.000 10.000% 743 6/15/14 @ 107.5 B2 B6/16/11 144A Goodman Networks 221.114 Sr Sec Nts Media/Te lecom installs and maintains te lecom equipment 12.125% 7/1/18 98.273 12.500% 1028 7/1 /15 @ 106.063 B2 B+6/16/11 144A TFS 150.000 Sr Sec Nts AUSTRAL Forest Prod/Cont owns and manages forests 11.000% 7/15/18 100.000 11.000% 878 7/15/15 @ 108 B3 B6/16/11 144A Videotron CAD 300.000 Sr Nts CAN Media/Te lecom cable oper in Quebec 6.875% 7/15/21 100.000 6.875% 392 7/15/16 @ 103.438 Ba1 BB6/15/11 144A Merge Hea lthcare 53.560 Sr Sec Nts Healthcare healthcare da ta and diagnostic software 11.750% 5/1/15 103.000 10.771% 965 5/1 /13 @ 105.875 B2 B+6/14/11 144A Universal Hosp ital Services 178.938 Sr Sec 2nd L ien PIK Election Nts Healthcare movable medica l equipment rental 8 .500% 6/1/15 102.250 7.826% 659 6/1 /12 @ 102.125 B3 B+6/10/11 144A Aston Martin Capital GBP 300.105 Sr Sec Nts UK Trans automobile mfr 9 .250% 7/15/18 98.719 9.500% 693 7/15/14 @ 106.9375 B2 BB-6/10/11 144A Audatex North America 450.000 Sr Nts Info Tech p rovides software to the auto insurance industry 6 .750% 6/15/18 100.000 6.750% 449 6/15/14 @ 103.375 Ba2 BB-6/10/11 144A Kabel Deutschland Vertrieb Und Service EUR 500.000 Sr Sec Nts GER Media/Te lecom cable TV and internet svcs in Germany 6.500% 6/29/18 100.000 6.500% 393 6/29/14 @ 103.25 Ba2 BB-6/10/11 144A Quadra FNX Mining 500.000 Sr Nts CAN Metals/Mins mines copper and precious metals 7 .750% 6/15/19 100.000 7.750% 525 6/15/15 @ 103.875 B1 BB-6/9/11 Pub Centu ryLink 349.125 Sr Nts Media/Te lecom te lecom provider 5 .150% 6/15/17 99.750 5.199% 326 maturity Baa3 BB6/9/11 Pub Centu ryLink 1245.738 Sr Nts Media/Te lecom te lecom provider 6 .450% 6/15/21 99.659 6.497% 350 maturity Baa3 BB6/9/11 144A Clear Channel Communications 703.838 Sr Nts Media/Te lecom radio broadcasting 9.000% 3/1/21 93.845 10.000% 712 3/1 /16 @ 104.5 Caa1 CCC+6/9/11 144A Float Stolt-Nielsen NOK 1600.000 Sr Nts UK Trans ships chemicals and other bulk liquids L+475 6/22/16 100.000 maturity NR NR6/8/11 144A Arch Coal 1000.000 Sr Nts Metals/Mins coa l producer in western US 7.000% 6/15/19 100.000 7.000% 454 6/15/15 @ 103.5 B1 B+6/8/11 144A Arch Coal 1000.000 Sr Nts Metals/Mins coa l producer in western US 7.250% 6/15/21 100.000 7.250% 431 6/15/16 @ 103.625 B1 B+6/8/11 Pub Barry Callebaut Services EUR 248.150 Sr Nts SWISS Food/Tob choco late supplier 5 .375% 6/15/21 99.260 5.473% 242 maturity Baa3 BB+6/8/11 144A Basic Energy Services 202.000 Sr Nts Energy o il & gas services 7.750% 2/15/19 101.000 7.573% 524 2/15/15 @ 103.875 B3 B-


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6/8/11 Shelf Teleflex 250.000 Sr Sub Nts Healthcare mfrs specia lty medical devices 6.875% 6/1/19 100.000 6.875% 442 6/1 /15 @ 103.438 B1 BB-6/8/11 144A Float Telenet Finance IV Luxembourg EUR 400.000 Sr Sec Nts BELGIUM Media/Te lecom cable svcs provider L+387.5 6/15/21 100.000 6/15/14 @ 102 Ba3 NR6/7/11 144A Freescale Semiconductor 735.000 Sr Nts Info Tech semiconductor mfr and supplier 8 .050% 2/1/20 98.000 8.375% 574 6/1 /15 @ 104.025 Caa2 CCC+6/7/11 144A Norske Skog industrier EUR 143.237 Sr Nts NORWY Forest Prod/Cont newsprint & specialty papers 11.750% 6/15/16 95.491 13.000% 1063 maturity B2 B-6/7/11 144A Symbion 344.722 Sr Sec Nts Healthcare opera tes surgical facilities 8 .000% 6/15/16 98.492 8.375% 680 6/15/14 @ 104 B2 B6/7/11 144A WireCo WorldGroup 157.125 Sr Nts Mfg mfr of wire, wire rope, electromechan ical cable 9.500% 5/15/17 104.750 8.462% 654 5/15/13 @ 104.75 B2 B6/3/11 144A Endo Pharmaceuticals Holdings 500.000 Sr Nts Healthcare specialty pharmaceuticals 7 .000% 7/15/19 100.000 7.000% 448 7/15/15 @ 103 Ba3 BB-6/3/11 144A Endo Pharmaceuticals Holdings 400.000 Sr Nts Healthcare specialty pharmaceuticals 7 .250% 1/15/22 100.000 7.250% 423 7/15/16 @ 103.625 Ba3 BB-6/3/11 Shelf Vulcan Materials 500.000 Sr Nts Housing p roduces construction materials, including crushed sto 6.500% 12/1/16 100.000 6.500% 473 maturity Ba1 BB6/3/11 Shelf Vulcan Materials 600.000 Sr Nts Housing p roduces construction materials, including crushed sto 7.500% 6/15/21 100.000 7.500% 451 maturity Ba1 BB6/3/11 144A W&T Offshore 600.000 Sr Nts Energy o il & gas exploration & development 8 .500% 6/15/19 100.000 8.500% 598 6/15/15 @ 104.25 Caa1 B6/2/11 Shelf Coventry Health Care 598.800 Sr Nts Healthcare p rovides managed care services 5.450% 6/15/21 99.800 5.476% 245 maturity Ba1 BBB-6/2/11 144A International Wire Group Holdings 100.000 Sr PIK Election Nts Mfg designs, mfrs & markets wire products 11.500% 4/15/15 100.000 11.500% 1029 10/15/11 @ 110 Caa1 CCC+6/2/11 144A Southern Natural Gas 299.733 Sr Nts Utility gas pipe line 4.400% 6/15/21 99.911 4.411% 138 3/15/21 @ 100 Baa3 BB6/2/11 144A Sunstate Equipment 170.000 Sr Sec 2nd Pr PIK Election Nts Service equipment rental 12 .000% 6/15/16 100.000 12.000% 1035 12/15/13 @ 106 Caa2 CCC+6/1/11 144A AES 1000.000 Sr Nts Utility g lobal power producer 7 .375% 7/1/21 100.000 7.375% 443 maturity B1 BB-5/31/11 144A Cinemark USA 200.000 Sr Sub Nts Media/Te lecom movie theatres 7.375% 6/15/21 100.000 7.375% 431 6/15/16 @ 103.688 B3 B5/31/11 144A Puget Energy 500.000 Sr Sec Nts Utility e lectric & gas utility 6 .000% 9/1/21 100.000 6.000% 291 maturity Ba1 BB+5/30/11 144A Garda World Security CAD 53.250 Sr Nts CAN Service security services 9.750% 3/15/17 106.500 8.307% 580 3/15/14 @ 104.875 B2 B5/26/11 144A General Motors Financial 500.000 Sr Nts Financial auto finance 6.750% 6/1/18 100.000 6.750% 439 maturity B1 B5/26/11 144A International Au tomotive Components Gro 300.000 Sr Sec 2nd Pr Nts LUXEM Trans auto components and systems supp lier 9 .125% 6/1/18 100.000 9.125% 676 6/1 /15 @ 104.563 B3 B5/26/11 144A Lonking Ho ldings 350.000 Sr Nts HK Mfg mfrs construction machinery 8.500% 6/3/16 100.000 8.500% 677 6/3 /14 @ 104.25 Ba3 BB5/26/11 144A OGX Petroleo e Gas Participacoes 2563.000 Sr Nts BRAZIL Energy o il and gas exploration and production 8.500% 6/1/18 100.000 8.500% 614 6/1 /15 @ 104.25 B1 B5/26/11 144A Oil States International 600.000 Sr Nts Energy o ilfie ld services 6.500% 6/1/19 100.000 6.500% 391 6/1 /14 @ 104.875 Ba3 BB5/26/11 144A Vedanta Resources 750.000 Sr Nts UK Metals/Mins metal/mining focusing on zinc & aluminum in India 6.750% 6/7/16 100.000 6.750% 502 maturity Ba2 BB5/26/11 144A Vedanta Resources 900.000 Sr Nts UK Metals/Mins metal/mining focusing on zinc & aluminum in India 8.250% 6/7/21 100.000 8.250% 519 maturity Ba2 BB5/26/11 144A WCA Waste 175.000 Sr Nts Service solid waste management 7 .500% 6/15/19 100.000 7.500% 491 6/15/14 @ 105.625 B3 B-5/26/11 144A Xefin Lux EUR 300.000 Sr Sec Nts GER Housing mfrs construction materials and produces lime 8.000% 6/1/18 100.000 8.000% 534 6/1/14 @ 106 Ba3 B+5/25/11 144A Compagnie Generale de Geophysique-Ve 626.899 Sr Nts FRA Energy o ilfie ld services; mfr. geophysica l equ ip. 6 .500% 6/1/21 96.446 7.000% 387 6/1 /16 @ 103.25 Ba3 BB-5/25/11 144A Duquesne Light Ho ldings 349.269 Sr Nts Utility e lectric utility 5 .900% 12/1/21 99.791 5.927% 277 maturity Ba1 BBB-5/25/11 144A Exopack Holding 235.000 Sr Nts Forest Prod/Cont paper and plastic packaging company 10.000% 6/1/18 100.000 10.000% 755 6/1 /14 @ 107.5 Caa1 CCC+5/25/11 144A Flint Energy Services CAD 173.250 Sr Nts CAN Energy o il fie ld services 7.500% 6/15/19 99.000 7.669% 480 6/15/15 @ 103.75 B2 BB-5/25/11 144A Level 3 Escrow 595.584 Sr Nts Media/Te lecom fiber-based telecom network 8.125% 7/1/19 99.264 8.250% 557 7/1 /15 @ 104.063 Caa1 CCC5/24/11 144A Eagle Rock Energy Partners 297.837 Sr Nts Energy gathers, transports and sells natural gas liquids 8.375% 6/1/19 99.279 8.500% 583 6/1 /15 @ 104.188 B3 B-5/24/11 144A Forbes Energy Services 280.000 Sr Nts Energy o ilfie ld svcs 9.000% 6/15/19 100.000 9.000% 633 6/15/15 @ 104.5 Caa1 B-5/24/11 Pub Rexel EUR 499.965 Sr Nts FRA Mfg e lectrical parts d istributor 7 .000% 12 /17/18 99.993 7.000% 420 6/17/15 @ 103.5 Ba3 BB-5/23/11 144A Gala Electric Casinos GBP 268.037 Sr Nts UK Gaming/Leisure gaming and gambling g roup 11.500% 6/1/19 97.468 12.000% 898 6/1 /15 @ 105.75 Caa2 CCC+5/23/11 144A Gala Group Finance GBP 350.000 Sr Sec Nts UK Gaming/Leisure gaming and gambling g roup 8.875% 9/1/18 100.000 8.875% 601 6/1 /14 @ 106.656 B2 B+5/23/11 144A House o f Fraser (Funding) GBP 249.865 Sr Sec Nts UK Retail opera tes department stores 8.875% 8/15/18 99.946 8.875% 616 8/15/14 @ 106.6563 B3 B+5/23/11 144A Norcraft Companies/Norcra ft Finance 62.400 Sr Sec 2nd L ien Nts Housing mfr kitchen & bathroom cabinetry 10.500% 12 /15/15 104.000 9.397% 783 12/15/12 @ 105.25 B3 B-5/23/11 Shelf Regency Energy Partners 500.000 Sr Nts Energy midstream gas gathering and processing company 6.500% 7/15/21 100.000 6.500% 337 7/15/16 @ 103.25 B1 BB-5/20/11 144A Connacher Oil and Gas 550.000 Sr Sec 2nd L ien Nts CAN Energy Canad ian o il sands 8.500% 8/1/19 100.000 8.500% 580 8/1 /15 @ 104.25 Caa2 BB-5/20/11 144A Connacher Oil and Gas CAD 350.000 Sr Sec 2nd L ien Nts CAN Energy Canad ian o il sands 8.750% 8/1/18 100.000 8.750% 597 8/1 /15 @ 104.375 Caa2 BB-5/20/11 144A JBS USA 638.690 Sr Nts Food/Tob beef & pork processor 7 .250% 6/1/21 98.260 7.500% 435 6/1 /15 @ 105.438 B1 BB5/20/11 144A Kindred Healthcare 550.000 Sr Nts Healthcare long-term acute-care hospitals 8 .250% 6/1/19 100.000 8.250% 555 6/1 /14 @ 106.188 B3 B-5/20/11 144A Vantage Drilling 240.750 Sr Sec Nts Energy contract drilling services 11.500% 8/1/15 107.000 9.421% 807 2/1 /13 @ 108.625 B3 B-5/20/11 144A Xerium Technologies 240.000 Sr Nts Forest Prod/Cont mfr products used to produce paper 8 .875% 6/15/18 100.000 8.875% 640 6/15/14 @ 106.656 B3 B5/19/11 144A Chrysler Group 1500.000 Sr Sec 2nd L ien Nts Trans automobile mfr 8 .000% 6/15/19 100.000 8.000% 527 6/15/15 @ 104 B2 B


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5/19/11 144A Chrysler Group 1700.000 Sr Sec 2nd L ien Nts Trans automobile mfr 8 .250% 6/15/21 100.000 8.250% 508 6/15/16 @ 104.125 B2 B5/19/11 144A Eldorado Resorts 180.000 Sr Sec Nts Gaming/Leisure casino ope rator 8 .625% 6/15/19 100.000 8.625% 589 6/15/15 @ 104.313 B2 B+5/19/11 144A Host Hotels & Resorts 74.531 Sr Nts Gaming/Leisure upsca le & luxury hote ls 5 .875% 6/15/19 99.375 5.972% 324 6/15/15 @ 102.938 Ba1 BB+5/19/11 Shelf International Lease Finance 1250.000 Sr Nts Financial a ircraft leasing 6.250% 5/15/19 100.000 6.250% 352 maturity B1 BBB-5/19/11 Shelf International Lease Finance 1000.000 Sr Nts Financial a ircraft leasing 5.750% 5/15/16 100.000 5.750% 393 maturity B1 BBB-5/19/11 144A Savanna Energy Services CAD 125.000 Sr Nts CAN Energy o il services 7.000% 5/25/18 100.000 7.000% 415 5/25/14 @ 103.5 NR B+5/18/11 Shelf Alpha Natural Resources 800.000 Sr Nts Metals/Mins coa l mining 6.000% 6/1/19 100.000 6.000% 325 6/1 /14 @ 103 Ba3 BB5/18/11 Shelf Alpha Natural Resources 700.000 Sr Nts Metals/Mins coa l mining 6.250% 6/1/21 100.000 6.250% 307 6/1 /16 @ 103.125 Ba3 BB5/18/11 144A China Shanshui Cement Group 400.000 Sr Nts HK Housing p roduces cement and clinker 8 .500% 5/25/16 100.000 8.500% 665 5/25/14 @ 104.25 NR BB-5/18/11 Shelf Concho Resources 600.000 Sr Nts Energy develops and explores for oil and natural gas 6.500% 1/15/22 100.000 6.500% 329 1/15/17 @ 103.25 B3 BB5/18/11 144A Cricket Communications 396.772 Sr Nts Media/Te lecom wireless communications 7.750% 10 /15/20 99.193 7.875% 480 10/15/15 @ 103.875 B3 CCC+5/17/11 144A Amkor Technology 400.000 Sr Nts Info Tech Semiconductor packaging and test svcs 6.625% 6/1/21 100.000 6.625% 351 6/1 /15 @ 104.969 Ba3 BB5/17/11 144A BakerCorp Interna tional 240.000 Sr Nts Service rents waste -containment equipment 8 .250% 6/1/19 100.000 8.250% 557 6/1 /14 @ 106.188 Caa1 CCC+5/17/11 Shelf Centene 246.883 Sr Nts Healthcare Medicaid managed care and specialty healthcare svcs 5.750% 6/1/17 98.753 6.000% 388 maturity Ba2 BB5/17/11 144A EH Holding 1100.000 Sr Sec Nts Media/Te lecom provides broadcast sa tellite equipment and services 6.500% 6/15/19 100.000 6.500% 382 maturity Ba3 B+5/17/11 144A EH Holding 900.000 Sr Nts Media/Te lecom provides broadcast sa tellite equipment and services 7.625% 6/15/21 100.000 7.625% 451 maturity B3 B-5/17/11 144A First Wind Capita l 200.000 Sr Sec Nts Energy wind energy developer 10.250% 6/1/18 100.000 10.250% 779 6/1 /14 @ 107.688 B3 B+5/17/11 144A Longview Fibre Paper and Packag ing 477.552 Sr Sec Nts Forest Prod/Cont mfrs Kraft paper, corrugated containers and containerb 8.000% 6/1/16 99.490 8.125% 634 6/1 /13 @ 104 B2 B+5/17/11 144A Petrohawk Energy 600.000 Sr Nts Energy o il & gas exploration & development 6 .250% 6/1/19 100.000 6.250% 357 6/1 /15 @ 103.125 B3 B+5/17/11 Shelf R.R. Donne lley & Sons 600.000 Sr Nts Media/Te lecom commercial printing 7.250% 5/15/18 100.000 7.250% 479 maturity Ba1 BB+5/17/11 Pub Renault EUR 497.295 Sr Nts FRA Trans automobile manufacturer 4 .625% 5/25/16 99.459 4.749% 230 maturity Ba1 BB+5/16/11 144A Brigham Exploration 300.000 Sr Nts Energy o il & gas exploration & development 6 .875% 6/1/19 100.000 6.875% 417 6/1 /15 @ 103.438 Caa1 CCC+5/16/11 Shelf E*TRADE Financial 435.000 Sr Nts Financial online brokerage 6.750% 6/1/16 100.000 6.750% 495 maturity B2 B-5/13/11 144A ARD Finance 345.000 Sr PIK Nts IRE Forest Prod/Cont g lass packager 11.125% 6/1/18 100.000 11.123% 862 6/1 /14 @ 105.563 Caa1 B-5/13/11 144A ARD Finance EUR 185.000 Sr PIK Nts IRE Forest Prod/Cont g lass packager 11.125% 6/1/18 100.000 11.123% 836 6/1 /14 @ 105.563 Caa1 B-5/13/11 144A CDRT Merger Sub 950.000 Sr Nts Healthcare ambulance services & emergency physician sta ffing 8.125% 6/1/19 100.000 8.125% 540 6/1 /14 @ 106.094 Caa1 B-5/13/11 144A CoreLogic 400.000 Sr Nts Info Tech information and analytics so ftware 7.250% 6/1/21 100.000 7.250% 408 6/1 /16 @ 103.625 Ba3 B+5/13/11 144A Houghton Mifflin Harcourt Publishers 300.000 Sr Sec Nts Media/Te lecom publisher 10.500% 6/1/19 100.000 10.500% 777 6/1 /15 @ 105.25 Caa1 NR5/13/11 144A ODEON & UCI Finco GBP 300.000 Sr Sec Nts UK Media/Te lecom cinema opera tor 9 .000% 8/1/18 100.000 9.000% 622 8/1 /14 @ 106.75 B3 B5/13/11 144A Float ODEON & UCI Finco EUR 200.000 Sr Sec Nts UK Media/Te lecom cinema opera tor L+500 8 /1/18 100.000 8/1 /12 @ 101 B3 B5/13/11 144A Seven Seas Cruises 225.000 Sr Sec 2nd L ien Nts Gaming/Leisure cruise lines 9.125% 5/15/19 100.000 9.125% 640 5/15/15 @ 104.563 B3 B-5/13/11 144A Thompson Creek Metals 350.000 Sr Nts Metals/Mins mines and processes molybdenum 7.375% 6/1/18 100.000 7.375% 487 6/1 /14 @ 105.531 B3 B5/12/11 144A EarthL ink 289.665 Sr Nts Info Tech In ternet service provider 8 .875% 5/15/19 96.555 9.500% 673 5/15/15 @ 104.438 B2 B-5/12/11 Pub FCE Bank EUR 499.410 Sr Nts UK Trans automobile mfr 4 .750% 1/19/15 99.882 4.793% 272 maturity Ba2 BB5/12/11 Pub Gerresheimer EUR 298.200 Sr Nts GER Forest Prod/Cont mfr of high quality glass and plastic packaging 5.000% 5/19/18 99.400 5.104% 229 maturity Ba1 BBB-5/12/11 144A Ideal Standard EUR 25.688 Sr Sec Nts BELGIUM Cons Dur bathroom fixtures and products 11.750% 5/1/18 102.750 11.167% 837 5/1 /14 @ 108.8125 Caa1 NR5/12/11 144A Jaguar Land Rover 410.000 Sr Nts UK Trans automobile mfr 7 .750% 5/15/18 100.000 7.750% 520 5/15/14 @ 105.813 B1 B+5/12/11 144A Jaguar Land Rover 410.000 Sr Nts UK Trans automobile mfr 8 .125% 5/15/21 100.000 8.125% 490 5/15/16 @ 104.063 B1 B+5/12/11 144A Jaguar Land Rover GBP 500.000 Sr Nts UK Trans automobile mfr 8 .125% 5/15/18 100.000 8.125% 533 5/15/14 @ 106.094 B1 B+5/12/11 144A Navios Maritime Acquisition 107.363 1st Mtg Nts GREC Trans cargo transporter 8 .625% 11/1/17 102.250 8.166% 579 11/1/13 @ 104.313 B2 B5/12/11 144A PagesJaunes Finance EUR 347.736 Sr Sec Nts FRA Media/Te lecom French directory co. 8 .875% 6/1/18 99.353 9.000% 621 6/1 /14 @ 106.656 B2 NR5/12/11 144A Styrolution Group EUR 480.000 Sr Sec Nts GER Chemicals styrene-derived petrochemical p roducts 7 .625% 5/15/16 100.000 7.625% 519 5/15/13 @ 105.719 B2 B+5/11/11 144A Barrett Xplore CAD 230.000 Sr Sec PIK Election Nts CAN Media/Te lecom rural b roadband services 13.000% 5/15/17 100.000 13.000% 1028 5/15/14 @ 106.5 NR NR5/11/11 144A Eagle Parent 465.000 Sr Nts Info Tech enterprise applications software 8.625% 5/1/19 100.000 8.625% 589 5/1 /15 @ 104.313 Caa1 CCC+5/11/11 Shelf Range Resources 500.000 Sr Sub Nts Energy indep oil & gas producer 5 .750% 6/1/21 100.000 5.750% 259 6/1 /16 @ 102.875 Ba3 BB5/11/11 144A Float Refresco Group EUR 300.000 Sr Sec Nts NETH Food/Tob beverage mfr L+400 5/15/18 100.000 5/15/12 @ 101 B1 BB-5/11/11 144A Refresco Group EUR 360.000 Sr Sec Nts NETH Food/Tob beverage mfr 7 .375% 5/15/18 100.000 7.375% 456 5/15/14 @ 105.5313 B1 BB-5/11/11 Shelf Unit 250.000 Sr Sub Nts Energy contract drilling 6.625% 5/15/21 100.000 6.625% 346 5/15/16 @ 103.313 B3 BB-


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5/10/11 144A Delphi 500.000 Sr Nts Trans auto parts mfg 5.875% 5/15/19 100.000 5.875% 308 5/15/14 @ 104.406 Ba3 BB5/10/11 144A Delphi 500.000 Sr Nts Trans auto parts mfg 6.125% 5/15/21 100.000 6.125% 291 5/15/16 @ 103.063 Ba3 BB5/10/11 144A EC Finance EUR 109.750 Sr Sec Nts FRA Service car rental 9 .750% 8/1/17 109.750 7.740% 507 8/1 /14 @ 104.875 B2 B+5/10/11 144A IPALCO Enterprises 399.708 Sr Sec Nts Utility e lectric utility 5 .000% 5/1/18 99.927 5.013% 243 maturity Ba1 BB+5/10/11 144A Linn Energy 744.240 Sr Nts Energy natura l gas exploration & development 6 .500% 5/15/19 99.232 6.625% 383 5/15/15 @ 103.25 B2 B5/10/11 144A NRG Energy 800.000 Sr Nts Utility e lectric power generation 7.625% 5/15/19 100.000 7.625% 483 5/15/14 @ 103.813 B1 BB-5/10/11 144A NRG Energy 1200.000 Sr Nts Utility e lectric power generation 7.875% 5/15/21 100.000 7.875% 466 5/15/16 @ 103.938 B1 BB-5/9/11 Shelf CMS Energy 249.855 Sr Nts Utility e lectric and gas utility 2 .750% 5/15/14 99.942 2.770% 185 maturity Ba1 BB+5/9/11 144A GCI 325.000 Sr Nts Media/Te lecom cable tv & ld serv provider in Alaska 6.750% 6/1/21 100.000 6.750% 359 6/1 /16 @ 103.375 B2 BB-5/9/11 144A Lions Gate Enterta inment 204.438 Sr Sec 2nd L ien Nts Media/Te lecom movie studio 10.250% 11/1/16 102.219 9.719% 770 11/1/13 @ 105.125 B1 B-5/9/11 Shelf Western Gas Partners 493.890 Sr Nts Energy gathers and transports natural gas 5.375% 6/1/21 98.778 5.535% 237 maturity NR BB+5/6/11 144A China Liansu Group Ho ldings 298.479 Sr Nts CHINA Mfg mfr plastic pipe and fittings 7.875% 5/13/16 99.493 8.000% 614 5/13/14 @ 103.9375 Ba2 NR5/6/11 144A Cyfrowy Polsat Finance EUR 350.000 Sr Sec Nts POL Media/Te lecom broadcast satellite subscription TV services 7.125% 5/20/18 100.000 7.125% 425 5/20/14 @ 105.344 Ba3 BB-5/6/11 144A Harmony Foods 115.000 Sr Sec Nts Cons N-Dur mfrs gummy dietary supplements 10.000% 5/1/16 100.000 10.000% 814 11/1/13 @ 105 B3 B-5/6/11 144A Heckler & Koch EUR 291.313 Sr Sec Nts GER Aerospace defense contractor in small arms 9.500% 5/15/18 98.750 9.750% 687 5/15/14 @ 107.125 Caa1 CCC+5/6/11 144A Kansas City Southern De Mexico 200.000 Sr Nts MEX Trans Mexican railroad operator 6 .125% 6/15/21 100.000 6.125% 298 6/15/16 @ 103.063 Ba3 BB-5/6/11 144A Neff Rental 200.000 Sr Sec 2nd L ien Nts Service Equipment rental services 9.625% 5/15/16 100.000 9.625% 776 5/15/13 @ 107.219 Caa1 B-5/6/11 144A Sensata Technologies 700.000 Sr Nts NETH Info Tech engineered sensors & controls 6 .500% 5/15/19 100.000 6.500% 377 5/15/15 @ 103.25 B3 B5/6/11 144A U.S. Foodservice 400.000 Sr Nts Food/Tob food distributor 8 .500% 6/30/19 100.000 8.500% 577 6/30/14 @ 106.375 Caa2 CCC+5/6/11 144A Zinc Cap ital EUR 300.000 Sr Sec Nts SPAIN Service recycles industrial steel wastes 8.875% 5/15/18 100.000 8.875% 598 5/15/14 @ 106.656 B2 B+5/5/11 144A Finansbank 496.920 Sr Nts TURK Financial retail bank in Turkey 5.500% 5/11/16 99.384 5.643% 376 maturity Ba1 NR5/5/11 144A Fosun International 300.000 Sr Nts CHINA Metals/Mins conglomerate with major steel operations 7.500% 5/12/16 100.000 7.500% 562 5/12/14 @ 103.75 Ba2 BB+5/5/11 144A Host Hotels & Resorts 421.592 Sr Nts Gaming/Leisure upsca le & luxury hote ls 5 .875% 6/15/19 99.198 6.000% 326 6/15/15 @ 102.938 Ba1 BB+5/5/11 144A MIE Holdings 400.000 Sr Nts CHINA Energy o il exploration & production company 9.750% 5/12/16 100.000 9.750% 787 5/12/14 @ 104.875 NR B+5/4/11 144A Milagro Oil & Gas 242.955 Sr Sec 2nd L ien Nts Energy o il and gas exploration and production 10.500% 5/15/16 97.182 11.250% 931 5/15/14 @ 110.5 Caa2 B-5/4/11 144A Seagate HDD Cayman 600.000 Sr Nts Info Tech mfr of ha rd disk drives 7.000% 11/1/21 100.000 7.000% 375 5/1 /16 @ 103.5 Ba1 BB+5/3/11 144A ARS Intermediate Ho ldings 49.125 Sr Sec PIK Election Nts Service HVAC, plumbing 13.625% 11 /15/15 98.250 14.158% 1245 5/15/12 @ 106 NR NR5/3/11 Shelf CCO Holdings/CCO Capita l 1500.000 Sr Nts Media/Te lecom national cab le operator 6 .500% 4/30/21 100.000 6.500% 325 4/30/15 @ 104.875 B1 BB-5/3/11 144A Shea Homes 750.000 Sr Sec Nts Housing homebuilder 8 .625% 5/15/19 100.000 8.625% 579 5/15/15 @ 104.313 B2 B5/3/11 144A Speedy Cash Intermedia te Holdings 250.000 Sr Sec Nts Financial financial services to underbanked consumers 10.750% 5/15/18 100.000 10.750% 812 5/15/15 @ 105.375 B3 B5/2/11 Shelf Celanese US Holdings 400.000 Sr Nts Chemicals g lobal industrial chemicals co. 5 .875% 6/15/21 100.000 5.875% 259 maturity Ba3 BB-5/2/11 144A DISH DBS 1981.860 Sr Nts Media/Te lecom Direct broadcast satellite TV system 6.750% 6/1/21 99.093 6.875% 359 maturity Ba3 BB-5/2/11 144A Satelites Mexicanos 325.000 Sr Sec Nts MEX Media/Te lecom Sate llite transmission 9.500% 5/15/17 100.000 9.500% 719 5/15/14 @ 104.75 B3 B4/29/11 144A Cumu lus Media 610.000 Sr Nts Media/Te lecom Radio Broadcasting 7.750% 5/1/19 100.000 7.750% 487 5/1 /15 @ 103.875 B3 CCC+4/29/11 144A iPayment 400.000 Sr Nts Service debit and cred it-card based services 10.250% 5/15/18 100.000 10.250% 758 5/15/15 @ 105.125 B3 CCC+4/29/11 144A iPayment Holdings 125.000 Sr PIK Election Nts Service debit and cred it-card based services 15.000% 11 /15/18 100.000 15.000% 1222 5/15/15 @ 107.5 Caa1 CCC+4/29/11 Shelf K. Hovnanian Enterprises 12.660 Sr Sec Nts Housing home builder 10.625% 10 /15/16 105.500 9.312% 717 10/15/12 @ 107.969 B1 CCC+4/29/11 144A Xinergy 200.000 Sr Sec Nts Metals/Mins coa l miner 9 .250% 5/15/19 100.000 9.250% 637 5/15/15 @ 104.625 Caa1 B-4/29/11 144A Yonkers Racing 109.500 Sr Sec 2nd L ien Nts Gaming/Leisure gaming and entertainmen t facility 11.375% 7/15/16 109.500 9.029% 706 7/15/13 @ 105.688 B1 B+4/28/11 144A Brightstar 105.750 Sr Nts Media/Te lecom provides distribution services to te lecom industry 9 .500% 12/1/16 105.750 8.192% 602 12/1/14 @ 104.75 B1 BB-4/28/11 Shelf Ford Motor Credit 1250.000 Sr Nts Trans automobile mfr 5 .000% 5/15/18 100.000 5.000% 233 maturity Ba2 BB-4/28/11 144A RadioShack 322.511 Sr Nts Retail e lectronics stores 6.750% 5/15/19 99.234 6.875% 399 maturity Ba2 BB4/27/11 144A Allison Transmission 500.000 Sr Nts Trans mfr of au to transmissions 7.125% 5/15/19 100.000 7.125% 419 5/15/15 @ 103.563 Caa1 CCC+4/27/11 144A Brown Shoe 198.498 Sr Nts Retail footwear retailer and wholesa ler 7 .125% 5/15/19 99.249 7.250% 432 5/15/14 @ 105.344 B3 B+4/27/11 144A IASIS Healthcare 843.855 Sr Nts Healthcare medium-sized acute care hospitals 8 .375% 5/15/19 99.277 8.500% 557 5/15/14 @ 106.281 Caa1 CCC+4/26/11 144A Building Mate rials 1000.971 Sr Nts Housing mfrs roofing products and accessories 6.750% 5/1/21 99.106 6.875% 357 5/1 /16 @ 103.375 Ba3 BB+4/26/11 144A Clayton Williams Energy 49.500 Sr Nts Energy o il & natural gas exp loration 7.750% 4/1/19 99.000 7.919% 502 4/1 /15 @ 103.875 Caa1 B4/26/11 144A FelCor Escrow Holdings 525.000 Sr Sec Nts Gaming/Leisure REIT focusing on all-suite hotels 6 .750% 6/1/19 100.000 6.750% 385 6/1 /15 @ 103.375 B2 B-


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4/26/11 144A Sanmina-SCI 500.000 Sr Nts Info Tech e lectronics contract & circuit board mfr 7 .000% 5/15/19 100.000 7.000% 410 5/15/14 @ 105.25 B1 B4/25/11 144A Univision Communications 600.000 Sr Sec Nts Media/Te lecom Spanish-language broadcasting 6.875% 5/15/19 100.000 6.875% 392 5/15/15 @ 103.438 B2 B4/21/11 144A Consolidated Minerals 402.988 Sr Sec Nts AUSTRAL Metals/Mins manganese o re producer 8 .875% 5/1/16 99.503 9.000% 689 5/1 /14 @ 104.4375 B2 BB-4/20/11 144A CDW Escrow 450.000 Sr Nts Info Tech p rovides technology pdts and svcs 8.500% 4/1/19 100.000 8.500% 550 4/1 /15 @ 104.25 Caa1 CCC+4/20/11 144A Community Choice Financial 395.000 Sr Sec Nts Financial p rovides payday loans and check cashing 10.750% 5/1/19 100.000 10.750% 775 5/1 /15 @ 105.375 B3 B-4/20/11 Pub Co-operative Bank GBP 142.676 Sr Sub Nts UK Financial commercial bank 9.250% 4/28/21 100.000 9.250% 564 maturity Ba1 NR4/20/11 144A Ideal Standard International EUR 250.000 Sr Sec Nts BELGIUM Cons Dur bathroom fixtures and products 11.750% 5/1/18 100.000 11.750% 879 5/1 /14 @ 108.8125 Caa1 NR4/20/11 144A SESI 500.000 Sr Nts Energy o il fie ld p roducts and svcs 6.375% 5/1/19 100.000 6.375% 337 5/1 /15 @ 103.188 Ba3 BB+4/19/11 144A Dematic 300.000 Sr Sec Nts GER Service manufacturing and supply chain mgmt solu tions 8.750% 5/1/16 100.000 8.750% 668 5/1 /13 @ 104.375 B3 B4/19/11 144A MPT Operating Partnership 450.000 Sr Nts Healthcare healthcare facility REIT 6.875% 5/1/21 100.000 6.875% 351 5/1 /16 @ 103.438 Ba2 BB4/18/11 144A Calcipar 450.000 Sr Sec Nts BELGIUM Chemicals p roduce r of lime and lime-related products 6 .875% 5/1/18 100.000 6.875% 412 5/1 /15 @ 103.438 B1 BB-4/15/11 144A American Rock Salt 175.000 Sr Sec 2nd L ien Nts Metals/Mins salt-mine operator 8 .250% 5/1/18 100.000 8.250% 545 5/1 /14 @ 104.125 B3 CCC+4/15/11 144A Calumet Specialty Products Partners 400.000 Sr Nts Energy p roduces hydrocarbon products 9 .375% 5/1/19 100.000 9.375% 637 5/1 /15 @ 104.688 B3 B4/15/11 144A Frostbite 1 EUR 197.960 Sr PIK Nts SWED Cons Dur coo ling equ ipment and appliances for vehicles 12.750% 5/4/19 98.000 13.019% 986 5/4 /14 @ 106.375 Caa1 CCC+4/15/11 144A GCL Holdings EUR 200.000 Sr Nts ITALY Forest Prod/Cont mfrs containers fo r consumer products 9 .375% 4/15/18 100.000 9.375% 635 4/15/14 @ 107.031 Caa1 CCC+4/15/11 144A Geo Travel Finance EUR 175.000 Sr Nts LUXEM Service online travel agency services 10.375% 5/1/19 100.000 10.375% 722 5/1 /14 @ 107.781 Caa1 B-4/15/11 144A Goodyear Dunlop Tires Europe EUR 250.000 Sr Nts Trans tire mfg 6.750% 4/15/19 100.000 6.750% 359 4/15/15 @ 103.375 Ba2 BB4/14/11 144A ALBA Group EUR 200.299 Sr Nts GER Service waste management solutions 8.000% 5/15/18 98.669 8.250% 518 5/15/14 @ 106 B3 B4/14/11 144A Boparan Finance EUR 337.892 Sr Nts UK Food/Tob food supplie r 9 .750% 4/30/18 99.380 9.873% 681 4/30/14 @ 107.313 Ba3 B+4/14/11 144A Boparan Finance GBP 397.520 Sr Nts UK Food/Tob food supplie r 9 .875% 4/30/18 99.380 9.998% 688 4/30/14 @ 107.406 Ba3 B+4/14/11 144A Burge r King Capital Ho ldings 401.499 Sr Disc Nts Food/Tob worldwide chain of fast-food hamburger restaurants 0.000%/11.000% 4/15/19 58.613 11.000% 790 4/15/15 @ 94.786 Caa1 CCC+4/14/11 144A Chesapeake Midstream Partners 350.000 Sr Nts Energy natura l gas gathering systems 5.875% 4/15/21 100.000 5.875% 237 4/15/15 @ 104.406 Ba3 BB+4/14/11 144A CMA CGM 475.000 Sr Nts FRA Trans container shipping 8.500% 4/15/17 100.000 8.500% 594 4/15/14 @ 104.25 B2 B-4/14/11 144A CMA CGM EUR 325.000 Sr Nts FRA Trans container shipping 8.875% 4/15/19 100.000 8.875% 567 4/15/15 @ 104.438 B2 B-4/14/11 144A Elster Finance EUR 250.000 Sr Nts GER Mfg makes gas, electricity and water me ters 6.250% 4/15/18 100.000 6.250% 318 4/15/14 @ 104.688 Ba2 BB-4/14/11 144A iGATE 770.000 Sr Nts Info Tech designs and supports business software and systems 9.000% 5/1/16 100.000 9.000% 677 5/1 /14 @ 104.5 B2 B+4/14/11 144A MDC Partners 61.050 Sr Nts CAN Media/Te lecom marketing, communications, and consulting services 11.000% 11/1/16 111.000 8.467% 607 11/1/13 @ 105.5 B2 B+4/14/11 144A Sizzling Platter 130.179 Sr Sec Nts Food/Tob owns chain restaurants 12.250% 4/15/16 96.429 13.253% 1102 4/15/14 @ 106.125 Caa1 B-4/14/11 Pub Southern Water (Greensands) Financing GBP 250.000 Sr Sec Nts UK Utility water and sewage utility provider 8 .500% 4/15/19 100.000 8.500% 510 maturity NR BB-4/14/11 144A Texas Competitive Electric Holdings 1737.663 Sr Sec Nts Utility e lectric utility 11.500% 10/1/20 99.295 11.625% 824 4/1 /16 @ 105.75 B2 CCC4/13/11 Float Ally Financial 750.000 Sr Nts Financial auto financing, mortgages & insurance L+340 6/20/14 100.000 maturity B1 B4/13/11 Shelf Ally Financial 750.000 Sr Nts Financial auto financing, mortgages & insurance 4.500% 2/11/14 100.000 4.500% 326 maturity B1 B4/13/11 144A China Automation Group 197.972 Sr Nts CHINA Service p rovides safety systems for a variety of industries 7.750% 4/20/16 98.986 8.000% 583 4/20/14 @ 103.875 Ba3 BB-4/13/11 144A Commercial Vehicle Group 250.000 Sr Sec 2nd Pr Nts Trans integrated solutions for commercial vehicle market 7 .875% 4/15/19 100.000 7.875% 482 4/15/14 @ 105.906 B2 B-4/13/11 144A Ocean Rig UDW 500.000 Sr Nts CYPR Energy o ff-shore contract d rilling 9.500% 4/27/16 100.000 9.500% 733 4/27/14 @ 104.5 NR NR4/13/11 144A Turkiye Garanti Bankasi 495.430 Sr Nts TURK Financial retail bank in Turkey 6.250% 4/20/21 99.086 6.375% 292 maturity Ba1 NR4/12/11 144A Nortek 500.000 Sr Nts Housing residential, commercial & industrial bldg prod 8.500% 4/15/21 100.000 8.500% 501 4/15/16 @ 104.25 Caa1 B4/12/11 144A Sugarhouse HSP Gaming Prop. Mezz 235.000 Sr Sec 2nd L ien Nts Gaming/Leisure Philadelphia area casino operator 8 .625% 4/15/16 100.000 8.625% 642 10/15/13 @ 104.313 B3 B-4/12/11 Shelf Taseko Mines 200.000 Sr Nts CAN Metals/Mins mining company in Canada 7.750% 4/15/19 100.000 7.750% 467 4/15/15 @ 103.875 B3 B4/11/11 Pub Air Berlin EUR 150.000 Sr Nts GER Aerospace German Airline 8.250% 4/19/18 100.000 8.250% 509 maturity NR NR4/11/11 144A Spencer Sp irit Holdings 175.000 Sr Sec Nts Retail specialty retailer of accessory items 11.000% 5/1/17 100.000 11.000% 834 5/1 /14 @ 105.5 B2 B4/11/11 144A Vail Resorts 390.000 Sr Sub Nts Gaming/Leisure mtn resort oper in CO 6.500% 5/1/19 100.000 6.500% 331 5/1 /14 @ 104.875 Ba3 BB4/11/11 Pub Wendel EUR 297.972 Sr Nts FRA Financial investment sponsor specializing in mfg and service com 6.750% 4/20/18 99.324 6.875% 371 maturity NR BB-4/8/11 144A Franshion Development 500.000 Sr Nts HK Housing real estate developer 6 .750% 4/15/21 100.000 6.750% 317 maturity Ba1 BB+4/8/11 144A Masonite International 275.000 Sr Nts CAN Housing doors and fiberboard products 8 .250% 4/15/21 100.000 8.250% 467 4/15/15 @ 106.188 B3 B+4/8/11 144A Pittsburgh Glass Works 325.000 Sr Sec Nts Trans makes g lass for automobiles 8.500% 4/15/16 100.000 8.500% 619 4/15/13 @ 104.25 B2 B+4/8/11 144A Production Resource Group 400.000 Sr Nts Media/Te lecom supplies enterainment tech (video, lighting, etc.) 8 .875% 5/1/19 100.000 8.875% 569 5/1 /14 @ 106.656 B3 B-4/8/11 144A Sheridan Group 141.000 Sr Sec Nts Media/Te lecom specialty printer 12.500% 4/15/14 94.000 15.059% 1375 4/15/12 @ 106.25 B3 B-


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4/8/11 Pub Trident Exploration CAD 175.000 Sr Nts CAN Energy natura l gas exploration and development co. 8 .250% 4/13/18 100.000 8.250% 523 4/13/15 @ 104.125 NR B4/7/11 144A AEP Industries 200.000 Sr Nts Forest Prod/Cont p lastic pkg films, incl polyethylene 8.250% 4/15/19 100.000 8.250% 510 4/15/14 @ 106.188 B2 B-4/7/11 Shelf Gap 1245.625 Sr Nts Retail specialty retailer 5 .950% 4/12/21 99.650 5.997% 245 maturity Baa3 BB+4/7/11 144A Kennedy-Wilson 50.750 Sr Nts Housing real estate investment services & property managemen 8.750% 4/1/19 101.500 8.487% 533 4/1 /15 @ 104.375 B1 BB-4/7/11 144A Float KION Finance EUR 175.000 Sr Sec Nts GER Mfg mfrs forklifts and other industrial equipment L+425 4/15/18 100.000 4/15/12 @ 101 B2 B4/7/11 144A KION Finance EUR 325.000 Sr Sec Nts GER Mfg mfrs forklifts and other industrial equipment 7 .875% 4/15/18 100.000 7.875% 481 4/15/14 @ 103.9375 B2 B4/7/11 144A Mirabe la Nickel 395.000 Sr Nts AUSTRAL Metals/Mins n ickel miner in Brazil 8 .750% 4/15/18 100.000 8.750% 579 4/15/15 @ 104.375 B2 B-4/6/11 144A Fufeng Group 300.000 Sr Nts CHINA Food/Tob mfrs biochemica ls mainly used in food products 7 .625% 4/13/16 100.000 7.625% 531 4/13/14 @ 103.8125 NR BB4/6/11 144A Matalan Finance GBP 247.500 Sr Sec Nts UK Retail UK clothing retaile r 8 .875% 4/30/16 99.000 9.124% 660 4/30/13 @ 104.438 Ba1 BB4/6/11 144A Navios South American Logistics 200.000 Sr Nts ARG Trans cargo transporter in South America 9.250% 4/15/19 100.000 9.250% 608 4/15/14 @ 106.938 B3 B+4/6/11 144A Oppenheimer Holdings 200.000 Sr Sec Nts Financial b roker-dealer and asset management firm 8.750% 4/15/18 100.000 8.750% 577 4/15/14 @ 106.563 B2 B+4/5/11 144A Crown Newco 3 GBP 208.060 Sr Sec Nts UK Healthcare opera tes nursing homes and treatment centers 7 .000% 2/15/18 101.000 6.811% 358 2/15/14 @ 105.25 B1 BB4/5/11 144A Liz Cla iborne 15.094 Sr Sec Nts Cons N-Dur b randed apparel 10.500% 4/15/19 100.625 10.382% 728 4/15/14 @ 105.25 B2 B-4/5/11 Shelf Penn Virginia 300.000 Sr Nts Energy o il and gas exploration and production 7.250% 4/15/19 100.000 7.250% 414 4/15/15 @ 103.625 B2 BB-4/4/11 144A ARAMARK Hold ings 594.000 Sr PIK Election Nts Food/Tob food and support services 8.625% 5/1/16 99.000 8.874% 669 5/1 /12 @ 102 B3 B-4/4/11 144A DJO Finance 300.000 Sr Nts Healthcare o rthopedic and medical devices 7.750% 4/15/18 100.000 7.750% 490 4/15/14 @ 105.813 B3 B-4/4/11 Pub OTE EUR 498.370 Sr Nts GREC Media/Te lecom fixed-line voice telephony and internet access services 7.250% 4/8/14 99.674 7.375% 530 maturity Baa3 BB4/4/11 144A Pernod Ricard 990.650 Sr Nts FRA Food/Tob wine and spirits producer 5 .750% 4/7/21 99.065 5.875% 245 maturity Ba1 BB+4/4/11 144A Stewart Enterprises 200.000 Sr Nts Service opera tes funera l homes and cemeteries 6.500% 4/15/19 100.000 6.500% 346 4/15/14 @ 104.875 B1 BB-4/1/11 144A Liz Cla iborne 205.000 Sr Sec Nts Cons N-Dur b randed apparel 10.500% 4/15/19 100.000 10.500% 742 4/15/14 @ 105.25 B2 B-4/1/11 144A SPG Land (Holdings) 196.488 Sr Nts CHINA Housing real estate developer 13.500% 4/8/16 98.244 14.000% 1176 4/8 /14 @ 106.75 B1 B+4/1/11 Pub Thames Water (Kemble) Finance GBP 400.000 Sr Sec Nts UK Utility water and wastewater utility 7 .750% 4/1/19 100.000 7.750% 430 maturity B1 NR4/1/11 144A Winsway Coking Coal Holdings 500.000 Sr Nts HK Metals/Mins supplies imported coking coa l to China 8.500% 4/8/16 100.000 8.500% 626 4/8 /14 @ 104.25 B1 BB-3/31/11 144A Ameristar Casinos 793.000 Sr Nts Gaming/Leisure gaming properties 7.500% 4/15/21 99.125 7.627% 416 4/15/15 @ 105.625 B3 B+3/31/11 144A CNL Lifestyle Properties 396.996 Sr Nts Gaming/Leisure lifestyle properties REIT (ski, golf, marinas) 7 .250% 4/15/19 99.249 7.375% 427 4/15/15 @ 103.625 Ba3 BB-3/31/11 144A Ferrexpo Finance 500.000 Sr Nts SWISS Metals/Mins iron ore pellet p roducer in the Ukarine 7.875% 4/7/16 100.000 7.875% 560 maturity B3 B+3/31/11 144A Heidelberger Druckmaschinen EUR 300.154 Sr Nts GER Mfg manufactures printing presses for paper & envelopes 9.250% 4/15/18 98.735 9.500% 650 4/15/14 @ 106.9375 Caa1 B-3/31/11 144A Kennedy-Wilson 198.594 Sr Nts Housing real estate investment services & property managemen 8.750% 4/1/19 99.297 8.875% 577 4/1 /15 @ 104.375 B1 BB-3/31/11 144A Longfor Properties 750.000 Sr Nts CHINA Housing p roperty developer in China 9.500% 4/7/16 100.000 9.500% 722 4/7 /14 @ 104.75 Ba3 BB3/31/11 144A Millar W estern Forest Products 210.000 Sr Nts CAN Forest Prod/Cont integrated fo rest products 8 .500% 4/1/21 100.000 8.500% 503 4/1 /16 @ 104.25 B3 B-3/31/11 144A Park-Ohio Industries 250.000 Sr Nts Mfg industria l logistics and diversified mfg 8.125% 4/1/21 100.000 8.125% 465 4/1 /16 @ 104.063 B3 CCC+3/31/11 144A Visteon 500.000 Sr Nts Trans supplier of automotive components 6.750% 4/15/19 100.000 6.750% 365 4/15/14 @ 105.063 B2 B+3/30/11 144A First Data 750.000 Sr Sec Nts Service credit card transaction processing 7.375% 6/15/19 100.000 7.375% 433 6/15/15 @ 103.688 B1 B+3/29/11 144A CDW Escrow 725.000 Sr Nts Info Tech p rovides technology pdts and svcs 8.500% 4/1/19 100.000 8.500% 540 4/1 /15 @ 104.25 Caa1 CCC+3/29/11 Pub Fiat Finance & Trade EUR 1000.000 Sr Nts ITALY Trans auto mfr 6 .375% 4/1/16 100.000 6.375% 372 maturity Ba1 BB3/29/11 Shelf Verisk Analytics 448.956 Sr Nts Service risk management tools 5 .800% 5/1/21 99.768 5.830% 234 maturity Ba1 BBB-3/25/11 144A Aperam 250.000 Sr Nts LUXEM Metals/Mins p roduce r of stainless steel and o ther specialty metals 7 .750% 4/1/18 100.000 7.750% 491 4/1 /15 @ 103.875 B1 BB3/25/11 144A Aperam 250.000 Sr Nts LUXEM Metals/Mins p roduce r of stainless steel and o ther specialty metals 7 .375% 4/1/16 100.000 7.375% 522 10/1/13 @ 103.688 B1 BB3/25/11 144A Crestwood Midstream Partners 200.000 Sr Nts Energy gathers, p rocesses, transports natural gas 7.750% 4/1/19 100.000 7.750% 471 4/1 /15 @ 103.875 B3 B-3/24/11 144A eAccess 420.000 Sr Nts JAPAN Media/Te lecom mobile broadband and voice services in Japan 8.250% 4/1/18 100.000 8.250% 545 4/1 /15 @ 104.125 Ba3 BB3/24/11 144A eAccess EUR 200.000 Sr Nts JAPAN Media/Te lecom mobile broadband and voice services in Japan 8.375% 4/1/18 100.000 8.375% 550 4/1 /15 @ 104.188 Ba3 BB3/24/11 144A James River Coal 275.000 Sr Nts Metals/Mins p rod o f steam and industrial-grade coal 7 .875% 4/1/19 100.000 7.875% 487 4/1 /15 @ 103.938 B2 B+3/24/11 Pub NII Capita l 750.000 Sr Nts Media/Te lecom wireless telecom in Latin America 7.625% 4/1/21 100.000 7.625% 422 4/1 /16 @ 103.813 B2 B+3/24/11 144A Ontex IV EUR 235.000 Sr Nts BELGIUM Cons N-Dur sells femin ine, baby and senior hyg ienic disposables 9.000% 4/15/19 100.000 9.000% 598 4/15/15 @ 104.5 B3 B-3/24/11 144A Ontex IV EUR 320.000 Sr Sec Nts BELGIUM Cons N-Dur sells femin ine, baby and senior hyg ienic disposables 7.500% 4/15/18 100.000 7.500% 463 4/15/14 @ 103.75 Ba3 B+3/24/11 144A Float Ontex IV EUR 280.000 Sr Sec Nts BELGIUM Cons N-Dur sells femin ine, baby and senior hyg ienic disposables L+412.5 4/15/18 100.000 4/15/12 @ 101 Ba3 B+3/24/11 144A Phones4U Finance GBP 430.000 Sr Sec Nts UK Retail te lecom equipment retailer 9 .500% 4/1/18 100.000 9.500% 645 4/1 /14 @ 104.75 B3 B+3/24/11 Shelf Plains Exploration & Production 600.000 Sr Nts Energy o il & gas exploration & development 6 .625% 5/1/21 100.000 6.625% 322 5/1 /16 @ 103.313 B1 BB-


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3/23/11 144A CIT Group 1300.000 Sr Sec 2nd Pr Nts Financial finance co. 5 .250% 4/1/14 100.000 5.250% 412 maturity B3 B+3/23/11 144A CIT Group 700.000 Sr Sec 2nd Pr Nts Financial finance co. 6 .625% 4/1/18 100.000 6.625% 388 maturity B3 B+3/23/11 144A Kabel BW 500.000 Sr Sec Nts GER Media/Te lecom cable TV and internet services in Germany 7.500% 3/15/19 100.000 7.500% 456 3/15/15 @ 103.75 B1 B+3/23/11 144A Float Kabel BW EUR 420.000 Sr Sec Nts GER Media/Te lecom cable TV and internet services in Germany L+425 3/15/18 100.000 3/15/12 @ 101 B1 B+3/23/11 144A Kabel BW EUR 800.000 Sr Sec Nts GER Media/Te lecom cable TV and internet services in Germany 7.500% 3/15/19 100.000 7.500% 448 3/15/15 @ 103.75 B1 B+3/23/11 144A KWG Property Holding 350.000 Sr Nts HK Housing p roperty developer in China 12.750% 3/30/16 100.000 12.750% 1070 3/30/14 @ 106.375 B1 B+3/23/11 144A Magyar Telecom EUR 79.200 Sr Sec Nts HNGRY Media/Te lecom te lecom services in Hungary 9.500% 12 /15/16 99.000 9.726% 712 12/15/12 @ 109.5 NR NR3/23/11 144A Musketeer EUR 680.000 Sr Nts GER Media/Te lecom cable TV and internet services in Germany 9.500% 3/15/21 100.000 9.500% 629 3/15/16 @ 104.75 Caa1 B-3/22/11 144A Acquisition Co. Lanza Parent 304.950 Sr Sec Nts Aerospace defense contractor 10.000% 6/1/17 107.000 8.515% 614 6/1 /14 @ 105 B3 B+3/22/11 144A ADS Tactical 275.000 Sr Sec Nts Aerospace equipment and clothing provider to the US military 11.000% 4/1/18 100.000 11.000% 828 4/1 /15 @ 108.25 B3 B3/22/11 Prfd Ally Financial 1021.764 Non-Cum Perp Pfd Financial auto financing, mortgages & insurance 8.500% 100.000 8.500% 5/15/16 @ 100 Caa1 CC3/22/11 144A Aviv Hea lthcare Properties 102.750 Sr Nts Healthcare skilled nursing facilities 7 .750% 2/15/19 102.750 7.281% 436 2/15/15 @ 103.875 B1 B+3/22/11 Shelf Copano Energy 360.000 Sr Nts Energy midstream energy co. 7 .125% 4/1/21 100.000 7.125% 380 4/1 /16 @ 103.563 B1 B+3/22/11 144A Intelsa t Jackson Hold ings 1500.000 Guar Sr Nts BERMUDA Media/Te lecom communica tion sate llites 7.250% 4/1/19 100.000 7.250% 433 4/1 /15 @ 103.625 B3 B3/22/11 144A Intelsa t Jackson Hold ings 1150.000 Guar Sr Nts BERMUDA Media/Te lecom communica tion sate llites 7.500% 4/1/21 100.000 7.500% 417 4/1 /16 @ 103.75 B3 B3/22/11 Shelf Limited Brands 1000.000 Sr Nts Retail specialty retailer 6 .625% 4/1/21 100.000 6.625% 330 maturity Ba1 BB+3/22/11 144A Yanlord Land Group 400.000 Sr Nts CHINA Housing h igh-end residential p rope rty developer in China 10.625% 3/29/18 100.000 10.625% 791 3/29/15 @ 105.3125 Ba2 BB3/21/11 Pub Associated Banc-Corp 298.590 Sr Nts Financial commercial bank 5.125% 3/28/16 99.530 5.233% 320 maturity Baa1 BB-3/21/11 144A Clean Harbors 261.250 Sr Sec Nts Service environmenta l & hazardous waste mgt 7 .625% 8/15/16 104.500 6.617% 442 8/15/12 @ 103.813 Ba2 BB-3/18/11 144A Boart Longyear Management 300.000 Sr Nts Metals/Mins mineral exploration 7.000% 4/1/21 100.000 7.000% 373 4/1 /16 @ 103.5 Ba2 BB-3/18/11 Pub Obrascon Huarte Lain EUR 425.000 Sr Nts SPAIN Service construction and eng ineering 8.750% 3/15/18 100.000 8.750% 593 3/15/15 @ 104.375 Ba2 NR3/17/11 144A EV Energy Partners 300.000 Sr Nts Energy independent o il and gas E&P 8.000% 4/15/19 100.000 8.000% 518 4/15/15 @ 104 B3 B-3/17/11 144A Hyva Global 375.000 Sr Sec Nts NETH Trans hydraulic power parts and systems for com'l vehicles 8.625% 3/24/16 100.000 8.625% 671 3/24/14 @ 104.3125 B1 B+3/17/11 144A Pretium Packaging 150.000 Sr Sec 2nd Pr Nts Forest Prod/Cont mfrs plastic bottles and conta iners 11.500% 4/1/16 100.000 11.500% 959 4/1 /14 @ 105.75 B3 B3/16/11 144A Lantheus Medical Imag ing 152.250 Sr Nts Healthcare d iagnostic medical imaging products 9 .750% 5/15/17 101.500 9.418% 724 5/15/14 @ 104.875 B3 B+3/15/11 Pub Scandinavian Airlines System SEK 1300.000 Sr Nts SWED Aerospace a irline 10.500% 6/16/14 100.000 10.500% 814 maturity Caa1 B-3/15/11 Pub Scandinavian Airlines System EUR 75.000 Sr Nts SWED Aerospace a irline 9.650% 6/16/14 100.000 9.650% 770 maturity Caa1 B-3/14/11 144A Griffon 550.000 Sr Nts Mfg d iversified mfr 7 .125% 4/1/18 100.000 7.125% 443 4/1 /14 @ 105.344 Ba3 BB-3/14/11 144A MEG Energy 750.000 Sr Nts CAN Energy o il sands development and production 6.500% 3/15/21 100.000 6.500% 314 3/15/15 @ 104.875 B3 BB3/14/11 144A Windstream 446.022 Sr Nts Media/Te lecom wireline communications 7.750% 10/1/21 99.116 7.875% 449 10/1/16 @ 103.875 Ba3 B+3/11/11 144A Clayton Williams Energy 300.000 Sr Nts Energy o il & natural gas exp loration 7.750% 4/1/19 100.000 7.750% 477 4/1 /15 @ 103.875 Caa1 B3/11/11 144A Euramax International 375.000 Sr Sec Nts Housing residential and commercial build ing materials 9 .500% 4/1/16 100.000 9.500% 744 4/1 /13 @ 107.125 Caa1 B-3/11/11 144A Hillman Group 54.625 Sr Nts Mfg fasteners and key duplication systems 10.875% 6/1/18 109.250 9.092% 633 6/1 /14 @ 105.438 B3 CCC+3/11/11 144A LBI Media 216.907 Sr Sec Nts Media/Te lecom Spanish radio & TV 9.250% 4/15/19 98.594 9.500% 652 4/15/15 @ 104.625 B2 B-3/11/11 144A STHI Holding 475.000 Sr Sec 2nd L ien Nts Healthcare contract sterilization and irrad iation services 8.000% 3/15/18 100.000 8.000% 524 3/15/14 @ 106 B2 B3/10/11 144A Dresser-Rand Group 375.000 Sr Sub Nts Energy compression and turbine equ ipment for energy ind. 6 .500% 5/1/21 100.000 6.500% 314 5/1 /16 @ 103.25 B1 B+3/10/11 144A Eastman Kodak 246.715 Sr Sec 2nd L ien Nts Cons N-Dur photographic and imaging products 10.625% 3/15/19 98.686 10.875% 794 3/15/15 @ 105.313 B1 CCC3/10/11 144A HOA Restaurant Group/HOA Finance 180.000 Sr Sec 2nd L ien Nts Food/Tob restaurant chain 11.250% 4/1/17 100.000 11.250% 887 4/1 /14 @ 105.625 B3 B3/10/11 144A Moto Finance GBP 170.321 Sr Sec 2nd L ien Nts UK Trans motor service area operator 10.250% 3/15/17 96.773 11.000% 828 3/15/14 @ 107.6875 NR CCC+3/10/11 144A Perpe tual Energy CAD 150.000 Sr Nts CAN Energy natura l gas-focused e&p 8.750% 3/15/18 100.000 8.750% 593 3/15/15 @ 104.375 B3 B-3/10/11 144A Precision Drilling CAD 200.000 Sr Nts CAN Energy o ilfie ld services 6.500% 3/15/19 100.000 6.500% 351 3/15/15 @ 103.25 Ba2 BB+3/10/11 144A Rotech Healthcare 284.771 Sr Sec 2nd L ien Nts Healthcare p rvds home respirato ry therapy 10.500% 3/15/18 98.197 10.875% 815 3/15/15 @ 105.25 B3 B3/9/11 144A American Airlines 1000.000 Sr Sec Nts Aerospace a irlines 7.500% 3/15/16 100.000 7.500% 535 3/15/13 @ 105.625 B2 B+3/9/11 144A CKE Ho ldings 196.230 Sr PIK Election Nts Food/Tob opera tes quick service restarants 10.500% 3/14/16 98.115 11.000% 885 3/14/13 @ 105.25 Caa1 CCC3/9/11 144A Deluxe 200.000 Sr Nts Media/Te lecom check prin ting & financial services 7.000% 3/15/19 100.000 7.000% 395 3/15/15 @ 103.5 Ba2 BB-3/8/11 144A Ford Credit Canada CAD 500.000 Sr Nts Trans automobile mfr 4 .875% 3/17/14 100.000 4.875% 264 maturity Ba2 BB3/8/11 144A Float Grohe Holding EUR 500.000 Sr Sec Nts GER Housing mfr of sanitary fittings and plumbing fixtures L+400 9/15/17 100.000 3/15/12 @ 101 B2 B-3/8/11 144A Headwaters 400.000 Sr Sec Nts Energy concrete construction materials & a lternative energy 7.625% 4/1/19 100.000 7.625% 449 4/1 /15 @ 103.813 B2 B+


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3/8/11 Pub Pernod Ricard EUR 995.950 Sr Nts FRA Food/Tob wine and spirits producer 5 .000% 3/15/17 99.595 5.080% 229 maturity Ba1 BB+3/8/11 144A SkyLink Aviation CAD 110.000 Sr Sec 2nd L ien Nts CAN Aerospace aviation transport and logistics services 12.250% 3/15/16 100.000 12.250% 945 3/15/14 @ 106.125 NR B3/7/11 144A Bumble Bee Ho ldco 147.207 Sr PIK Election Nts Food/Tob produce r of shelf-stab le seafood 9.625% 3/15/18 98.138 10.000% 710 3/15/14 @ 104.813 Caa1 CCC+3/7/11 Pub Fiat Industria l Finance Europe EUR 1000.000 Sr Nts ITALY Mfg mfrs trucks and agricultu ral/construction equ ipment 5 .250% 3/11/15 100.000 5.250% 292 maturity Ba2 BB+3/7/11 Pub Fiat Industria l Finance Europe EUR 1200.000 Sr Nts ITALY Mfg mfrs trucks and agricultu ral/construction equ ipment 6 .250% 3/9/18 100.000 6.250% 330 maturity Ba2 BB+3/7/11 144A Hertz 501.875 Sr Nts Service car and equipment rentals 6 .750% 4/15/19 100.375 6.690% 358 4/15/15 @ 103.375 B2 B-3/4/11 144A Huntington Ingalls Industries 600.000 Sr Nts Aerospace shipbu ilding contractor to the US Navy 6.875% 3/15/18 100.000 6.875% 399 3/15/15 @ 103.438 Ba3 B+3/4/11 144A Huntington Ingalls Industries 600.000 Sr Nts Aerospace shipbu ilding contractor to the US Navy 7.125% 3/15/21 100.000 7.125% 363 3/15/16 @ 103.563 Ba3 B+3/4/11 144A JMC Steel Group 725.000 Sr Nts Metals/Mins stee l pipe and tube mfr 8 .250% 3/15/18 100.000 8.250% 536 3/15/14 @ 106.188 B3 B3/3/11 144A Akbank 498.280 Sr Nts TURK Financial retail bank in Turkey 6.500% 3/9/18 99.656 6.562% 358 maturity Ba1 NR3/3/11 144A Jo-Ann Stores 450.000 Sr Nts Retail fabric and cra ft retailer 8 .125% 3/15/19 100.000 8.125% 495 3/15/14 @ 104.063 Caa1 CCC+3/3/11 144A MEMC Electron ic Materials 550.000 Sr Nts Info Tech makes silicon wafers for the semiconductor and solar in 7 .750% 4/1/19 100.000 7.750% 458 4/1 /14 @ 105.813 B1 BB3/3/11 144A Valeant Pharmaceutica ls International 950.000 Sr Nts Healthcare specialty pharmaceuticals 6 .500% 7/15/16 100.000 6.500% 404 7/15/13 @ 103.25 Ba3 BB-3/3/11 144A Valeant Pharmaceutica ls International 539.688 Sr Nts Healthcare specialty pharmaceuticals 7 .250% 7/15/22 98.125 7.500% 386 7/15/16 @ 103.625 Ba3 BB-3/2/11 144A CONSOL Energy 250.000 Sr Nts Metals/Mins coa l producer 6 .375% 3/1/21 100.000 6.375% 290 3/1 /16 @ 103.188 B1 BB3/2/11 Pub Developers Diversified Realty 297.945 Sr Nts Retail shopping centers 4 .750% 4/15/18 99.315 4.864% 199 maturity Baa3 BB+3/2/11 Pub HealthSouth 61.950 Sr Nts Healthcare outpatient surgery and rehab services 7.250% 10/1/18 103.250 6.695% 372 10/1/14 @ 103.625 B2 B+3/2/11 Pub HealthSouth 62.100 Sr Nts Healthcare outpatient surgery and rehab services 7.750% 9/15/22 103.500 7.295% 374 9/15/15 @ 103.875 B2 B+3/2/11 144A Isle of Capri Casinos 297.792 Sr Nts Gaming/Leisure Owns & ops rive rboat, dockside, land casinos 7.750% 3/15/19 99.264 7.875% 480 3/15/15 @ 103.875 B3 B-3/2/11 Pub Jones Group 300.000 Sr Nts Cons N-Dur apparel designer 6 .875% 3/15/19 100.000 6.875% 380 maturity Ba3 B+3/2/11 Pub MarkWest Energy Partners 199.000 Sr Nts Energy natura l gas producer 6 .500% 8/15/21 99.500 6.567% 307 2/15/16 @ 103.25 B1 BB-3/2/11 Pub Perry Ellis International 150.000 Sr Sub Nts Cons N-Dur men's apparel mfr 7 .875% 4/1/19 100.000 7.875% 480 4/1 /14 @ 105.906 B2 B+3/2/11 144A SandRidge Energy 900.000 Sr Nts Energy exp loration & production co . 7 .500% 3/15/21 100.000 7.500% 403 maturity B3 B3/2/11 144A Windstream 600.000 Sr Nts Media/Te lecom wireline communications 7.500% 4/1/23 100.000 7.500% 392 maturity Ba3 B+3/1/11 144A American Renal Holdings 132.300 Sr PIK Election Nts Healthcare d ialysis clinics 9 .750% 3/1/16 98.000 10.273% 818 3/1 /13 @ 105 Caa2 CCC+3/1/11 144A J. Crew Group 400.000 Sr Nts Retail sells clothing via its retail stores, cata log and website 8 .125% 3/1/19 100.000 8.125% 513 3/1 /14 @ 104.063 Caa1 CCC+3/1/11 Pub Key Energy Services 475.000 Sr Nts Energy rig-based well services 6.750% 3/1/21 100.000 6.750% 336 3/1 /16 @ 103.375 B1 BB-3/1/11 144A Level 3 Financing 490.005 Sr Nts Media/Te lecom fiber-based telecom network 9.375% 4/1/19 98.001 9.735% 674 4/1 /15 @ 104.688 Caa1 CCC3/1/11 144A Shimao Property Ho ldings 350.000 Sr Nts CHINA Housing Chinese real estate developer 11.000% 3/8/18 100.000 11.000% 820 3/8 /15 @ 105.5 B1 BB-2/28/11 Shelf Comstock Resources 300.000 Sr Nts Energy o il & gas exploration & development 7 .750% 4/1/19 100.000 7.750% 472 4/1 /15 @ 103.875 B2 B2/28/11 144A Credit Acceptance 106.000 Sr Sec Nts Financial auto finance co. 9 .125% 2/1/17 106.000 7.835% 535 2/1 /14 @ 104.563 B1 BB2/28/11 144A Platinum Energy Solutions 112.429 Sr Sec PIK Election Nts Energy o ilfie ld services 14.250% 3/1/15 97.764 14.946% 1329 3/1 /13 @ 107.125 NR NR2/25/11 144A Acosta 525.000 Sr Nts Service sales and marketing services to the consumer package 10.500% 3/15/19 100.000 10.500% 747 3/15/15 @ 105.25 NR NR2/25/11 144A Goodrich Petroleum 275.000 Sr Nts Energy independent o il and gas E&P 8.875% 3/15/19 100.000 8.875% 585 3/15/15 @ 104.438 Caa1 CCC+2/25/11 144A United Refin ing 352.021 Sr Sec Nts Energy o il re finery, operates gas/convenience stores 10.500% 2/28/18 96.444 11.250% 842 2/28/15 @ 105.25 B3 B2/23/11 144A Nexeo Solutions 175.000 Sr Sub Nts Chemicals chemicals distribution 8.375% 3/1/18 100.000 8.375% 551 3/1 /14 @ 104.188 B3 B-2/23/11 Shelf Wyndham Worldwide 247.835 Sr Nts Gaming/Leisure hotels 5 .625% 3/1/21 99.134 5.740% 225 maturity Ba1 BBB-2/18/11 144A Palace Entertainment Holdings 430.000 Sr Sec Nts Gaming/Leisure family recreation and theme parks 8.875% 4/15/17 100.000 8.875% 626 4/15/14 @ 104.438 B2 B-2/17/11 144A Burlington Coat Factory Warehouse 450.000 Sr Nts Retail o ff-price appare l stores 10.000% 2/15/19 100.000 10.000% 683 2/15/15 @ 105 Caa1 CCC2/17/11 144A Claire's Escrow 450.000 Sr Sec 2nd L ien Nts Retail teenage constume jewelry and accessories 8.875% 3/15/19 100.000 8.875% 570 3/15/15 @ 104.438 Caa3 CCC2/16/11 144A Country Garden Holdings 894.645 Sr Nts CHINA Housing integrated prope rty developer in China 11.125% 2/23/18 99.405 11.250% 821 2/23/15 @ 105.5625 Ba3 BB-2/16/11 144A Dave & Buster's 100.000 Sr Disc Nts Food/Tob restaurant/entertainment complexes 0.000% 2/15/16 55.313 12.250% 990 8/15/13 @ 78.93 NR NR2/15/11 144A Clear Channel Communications 1000.000 Sr Nts Media/Te lecom outdoor advertising 9.000% 3/1/21 100.000 9.000% 539 3/1 /16 @ 104.5 Caa1 CCC+2/14/11 144A Camb ium Learning Group 174.024 Sr Sec Nts Media/Te lecom publish educationa l books 9.750% 2/15/17 99.442 9.875% 718 2/15/14 @ 104.875 B2 B2/11/11 144A Afren 50.696 Sr Sec Nts UK Energy o il & gas exploration & production in Africa 11.500% 2/1/16 101.392 11.125% 877 maturity NR B-2/10/11 144A ACL I 245.625 Sr PIK Election Nts Trans marine transportation services 10.625% 2/15/16 98.250 11.090% 870 2/15/13 @ 105 Caa1 CCC+2/10/11 144A Baytex Energy 150.000 Sr Nts CAN Energy o il & gas exploration & development 6 .750% 2/17/21 100.000 6.750% 305 2/17/16 @ 103.375 B3 B+2/10/11 144A Energy XXI Gulf Coast 250.000 Sr Nts Energy o il & gas exploration & development 7 .750% 6/15/19 100.000 7.750% 435 6/15/15 @ 103.875 Caa1 B


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2/10/11 144A Provident Funding Associates 200.000 Sr Nts Financial residential mtg loans 10.125% 2/15/19 100.000 10.125% 683 2/15/15 @ 105.063 B2 B2/10/11 Shelf Regal Entertainment Group 104.500 Sr Nts Media/Te lecom movie theatre cha in 9.125% 8/15/18 104.500 8.307% 511 8/15/14 @ 104.563 B3 B-2/10/11 144A Venoco 500.000 Sr Nts Energy o il & gas exploration & development 8 .875% 2/15/19 100.000 8.875% 558 2/15/15 @ 104.438 Caa1 B2/9/11 144A Florida East Coast Holdings 127.725 Sr PIK Election Nts Trans opera tes freight railroad 11.250%/10.500% 8/1/17 98.250 10.877% 801 8/1 /12 @ 107.5 Caa3 CCC2/9/11 Shelf MarkWest Energy Partners 300.000 Sr Nts Energy natura l gas producer 6 .500% 8/15/21 100.000 6.500% 283 2/15/16 @ 103.25 B1 BB-2/9/11 144A Midwest Vanad ium 335.000 Sr Sec Nts AUSTRAL Metals/Mins vanadium producer 11.500% 2/15/18 100.000 11.500% 845 2/15/15 @ 105.75 B3 B-2/9/11 144A Ply Gem Industries 800.000 Sr Sec Nts Housing mfr & mkts building products 8 .250% 2/15/18 100.000 8.250% 520 2/15/14 @ 106.188 Caa1 B-2/9/11 144A Telenet Finance Luxembourg III EUR 300.000 Sr Sec Nts BELGIUM Media/Te lecom cable svcs provider 6 .625% 2/15/21 100.000 6.625% 335 2/15/16 @ 103.313 Ba3 NR2/8/11 Shelf Ally Financial 1000.000 Sr Nts Financial auto financing, mortgages & insurance 4.500% 2/11/14 100.000 4.500% 314 maturity B1 B2/8/11 144A Avaya 1009.000 Sr Sec Nts Info Tech te lecom equipment provider 7 .000% 4/1/19 100.000 7.000% 367 4/1 /15 @ 103.5 B1 B2/8/11 Shelf Chesapeake Energy 1000.000 Sr Nts Energy o il & gas exploration & development 6 .125% 2/15/21 100.000 6.125% 239 maturity Ba3 BB2/7/11 144A ACE Cash Express 350.000 Sr Sec Nts Financial fin' l svcs: check cashing, payday loans, bill pay'ts 11.000% 2/1/19 100.000 11.000% 778 2/1 /15 @ 105.5 B3 B2/7/11 144A Chaparral Energy 400.000 Sr Nts Energy o il & gas exploration & development 8 .250% 9/1/21 100.000 8.250% 459 9/1 /16 @ 104.125 Caa1 B-2/7/11 144A UPCB Finance 1000.000 Sr Sec Nts NETH Media/Te lecom broadband cable ope rator 6 .625% 7/1/20 100.000 6.625% 310 7/1 /15 @ 103.313 Ba3 B+2/7/11 144A Verso Paper Holdings 37.170 Sr Sec 2nd Pr Nts Forest Prod/Cont paper producer 8 .750% 2/1/19 103.250 8.186% 497 2/1 /15 @ 104.375 B2 B2/4/11 144A Aleris In ternationa l 500.000 Sr Nts Metals/Mins recycler of alum & zinc 7.625% 2/15/18 100.000 7.625% 462 2/15/14 @ 105.719 B1 B+2/4/11 144A Energy Partners 210.000 Sr Nts Energy o il and gas exploration and production 8.250% 2/15/18 100.000 8.250% 525 2/15/15 @ 104.125 Caa1 B-2/4/11 144A GMX Resources 193.666 Sr Nts Energy o il and gas exploration and production 11.375% 2/15/19 96.833 12.000% 879 maturity Caa2 B-2/4/11 144A Towergate Finance GBP 230.000 Sr Sec Nts UK Financial insurance and financial advisory services 8.500% 2/15/18 100.000 8.500% 513 2/15/14 @ 106.375 B1 NR2/4/11 144A Towergate Finance GBP 290.000 Sr Nts UK Financial insurance and financial advisory services 10.500% 2/15/19 100.000 10.500% 685 2/15/15 @ 105.25 B3 NR2/4/11 144A YCC Holdings/Yankee Finance 308.700 Sr PIK Election Nts Cons N-Dur mfr and dist of scented cand les 10.250% 2/15/16 98.000 10.775% 851 2/15/12 @ 105 Caa1 CCC+2/3/11 144A Basic Energy Services 275.000 Sr Nts Energy o il & gas services 7.750% 2/15/19 100.000 7.750% 462 2/15/15 @ 103.875 B3 B-2/3/11 144A CPI International Acquisition 215.000 Sr Nts Mfg mfr & distrib of vacuum electron devices 8.000% 2/15/18 100.000 8.000% 508 2/15/15 @ 104 B3 CCC+2/3/11 Pub Denbury Resources 400.000 Sr Sub Nts Energy o il & gas exploration & development 6 .375% 8/15/21 100.000 6.375% 280 8/15/16 @ 103.188 B1 BB-2/3/11 Shelf K. Hovnanian Enterprises 151.052 Sr Nts Housing home builder 11.875% 10 /15/15 97.453 12.625% 1070 maturity Caa2 CCC-2/3/11 144A Valeant Pharmaceutica ls International 650.000 Sr Nts Healthcare specialty pharmaceuticals 6 .750% 8/15/21 100.000 6.750% 317 2/15/16 @ 103.375 B1 BB-2/3/11 144A Vermilion Energy CAD 225.000 Sr Nts CAN Energy o il & gas exploration and production 6.500% 2/10/16 100.000 6.500% 379 2/10/14 @ 103.25 NR BB-2/2/11 Shelf Ford Motor Credit 1250.000 Sr Nts Trans automobile mfr 5 .750% 2/1/21 100.000 5.750% 227 maturity Ba2 BB-2/2/11 144A Kraton Po lymers 250.000 Sr Nts Chemicals specialty chemicals (styrenic block copolymers) 6 .750% 3/1/19 100.000 6.750% 370 maturity B2 BB-2/2/11 144A Peninsula Gaming 84.000 Sr Sec Nts Gaming/Leisure riverboa t casino/racetrack 8.375% 8/15/15 105.000 7.062% 522 8/15/12 @ 104.188 Ba3 BB2/1/11 144A Ardagh Packaging Finance EUR 211.750 Sr Nts IRE Forest Prod/Cont g lass packager 9 .250% 10 /15/20 105.875 8.350% 518 10/15/15 @ 104.625 B3 B-2/1/11 144A Blue Merger Sub 1300.000 Sr Nts Food/Tob mfr & distrib of processed fruits/veg 7.625% 2/15/19 100.000 7.625% 463 2/15/14 @ 103.813 B3 B-2/1/11 144A GEO Group 300.000 Sr Nts Service correctional services 6.625% 2/15/21 100.000 6.625% 318 2/15/16 @ 103.3125 B1 B+2/1/11 144A MedImpact Holdings 227.238 Sr Sec Nts Healthcare p rovides prescrip tion drug management 10.500% 2/1/18 98.799 10.750% 797 2/1 /15 @ 105.25 Caa2 NR2/1/11 144A Westmoreland Coa l 142.500 Sr Sec Nts Metals/Mins coa l mining and power generation 10.750% 2/1/18 95.000 11.821% 904 2/1 /15 @ 103.583 Caa2 CCC1/31/11 144A SM Energy 350.000 Sr Nts Energy o il & gas exploration and production 6.625% 2/15/19 100.000 6.625% 370 2/15/15 @ 103.313 B1 BB1/28/11 144A Bakkavor Finance 2 GBP 350.000 Sr Sec Nts ICELAND Food/Tob provider of prepared fresh food 8.250% 2/15/18 100.000 8.250% 509 2/15/15 @ 104.125 B2 B1/28/11 144A National MENTOR Holdings 244.343 Sr Nts Healthcare health services for peop le w/mental and deve lopmenta 12.500% 2/15/18 97.737 13.000% 1034 2/15/14 @ 106.25 Caa2 CCC+1/28/11 144A Oasis Petro leum 400.000 Sr Nts Energy o il & gas exploration and production 7.250% 2/1/19 100.000 7.250% 437 2/1 /15 @ 103.625 Caa1 B-1/27/11 144A Afren 445.847 Sr Sec Nts UK Energy o il & gas exploration & production in Africa 11.500% 2/1/16 99.077 11.750% 976 maturity NR B-1/27/11 144A Aviv Hea lthcare Properties 200.000 Sr Nts Healthcare skilled nursing facilities 7 .750% 2/15/19 100.000 7.750% 481 2/15/15 @ 103.875 B1 B+1/27/11 144A BI-LO Finance 285.000 Sr Sec Nts Food & Drug supermaket cha in in southeast US 9.250% 2/15/19 100.000 9.250% 631 maturity B2 B1/27/11 144A Crown Newco 3 GBP 175.000 Sr Nts UK Healthcare opera tes nursing homes and treatment centers 8 .875% 2/15/19 100.000 8.875% 537 2/15/15 @ 104.4375 B3 B1/27/11 144A Crown Newco 3 GBP 425.000 Sr Sec Nts UK Healthcare opera tes nursing homes and treatment centers 7 .000% 2/15/18 100.000 7.000% 380 2/15/14 @ 105.25 Ba3 BB1/27/11 144A Paramount Resources CAD 72.100 Sr Nts CAN Energy o il & gas exploration & development 8 .250% 12 /13/17 103.000 7.602% 478 12/13/13 @ 104.125 Caa1 B+1/27/11 144A Peninsula Gaming 54.000 Sr Nts Gaming/Leisure riverboa t casino/racetrack 10.750% 8/15/17 108.000 9.098% 657 8/15/13 @ 105.375 Caa1 B1/27/11 144A Realogy 700.000 Sr Sec 2nd Pr Nts Housing real estate broker 7 .875% 2/15/19 100.000 7.875% 494 2/15/15 @ 103.938 Caa1 CC1/27/11 144A Reynolds Group Issuer 1000.000 Sr Sec Nts Forest Prod/Cont beverage packaging, foil, wraps and bags 6.875% 2/15/21 100.000 6.875% 349 2/15/16 @ 103.438 Ba3 BB


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First call

MoodysSP

1/27/11 144A Reynolds Group Issuer 1000.000 Sr Nts Forest Prod/Cont beverage packaging, foil, wraps and bags 8.250% 2/15/21 100.000 8.250% 486 2/15/16 @ 104.125 Caa1 B-1/27/11 Shelf Steelcase 249.883 Sr Nts Housing o ffice furniture 6.375% 2/15/21 99.953 6.381% 299 maturity Ba1 BBB-1/26/11 144A Casella Waste Systems 200.000 Sr Sub Nts Service waste mgmt in NE US 7.750% 2/15/19 100.000 7.750% 478 2/15/14 @ 103.875 Caa1 B-1/26/11 144A FMC Finance VII EUR 300.000 Sr Nts GER Healthcare p rovider of dia lysis products and services 5.250% 2/15/21 100.000 5.250% 209 maturity Ba2 BB1/26/11 144A Fresenuis Medica l Care US Finance 643.890 Sr Nts GER Healthcare p rovider of dia lysis products and services 5.750% 2/15/21 99.060 5.875% 246 maturity Ba2 BB1/25/11 Shelf Dana 400.000 Sr Nts Trans auto/truck parts, service and equip 6.500% 2/15/19 100.000 6.500% 361 maturity B3 BB-1/25/11 Shelf Dana 350.000 Sr Nts Trans auto/truck parts, service and equip 6.750% 2/15/21 100.000 6.750% 342 maturity B3 BB-1/25/11 144A Great Lakes Dredge & Dock 250.000 Sr Nts Service Dredging svcs in the US 7.375% 2/1/19 100.000 7.375% 449 2/1 /15 @ 103.688 B3 B1/25/11 144A Hertz 500.000 Sr Nts Service car and equipment rentals 6 .750% 4/15/19 100.000 6.750% 386 4/15/15 @ 103.375 B2 B-1/25/11 144A Packaging Dynamics 425.000 Sr Sec Nts Forest Prod/Cont food packaging materials 8 .750% 2/1/16 100.000 8.750% 681 2/1 /13 @ 104.375 B3 B1/24/11 144A Aguila 3 425.000 Sr Sec Nts SWISS Aerospace a irport ground and cargo handling 7.875% 1/31/18 100.000 7.875% 513 1/31/14 @ 105.906 B2 B1/24/11 144A Aguila 3 CHF 350.000 Sr Sec Nts SWISS Aerospace a irport ground and cargo handling 7.875% 1/31/18 100.000 7.875% 636 1/31/14 @ 105.906 B2 B1/24/11 144A Isbank 495.660 Sr Nts TURK Financial retail bank in Turkey 5.100% 2/1/16 99.132 5.300% 329 maturity Ba1 BBB-1/21/11 144A Anglian Water/Osprey Financing GBP 350.000 Sr Nts UK Food/Tob drinking water supplie r 7 .000% 1/31/18 100.000 7.000% 378 maturity Ba3 NR1/21/11 144A DirectBuy Holdings 324.950 Sr Sec 2nd L ien Nts Retail membership-based consumer buying club 12.000% 2/1/17 97.000 12.720% 1035 2/1 /14 @ 106 B2 B1/21/11 144A ONO Finance 2 225.000 Sr Nts SPAIN Media/Te lecom te lecom & cable TV in Spain 10.875% 7/15/19 100.000 10.875% 780 1/15/14 @ 110.875 Caa2 CCC1/21/11 144A ONO Finance 2 EUR 295.000 Sr Nts SPAIN Media/Te lecom te lecom & cable TV in Spain 11.125% 7/15/19 100.000 11.125% 812 1/15/14 @ 111.125 Caa2 CCC1/21/11 144A Vanguard Health Holding II 350.000 Sr Nts Healthcare owns/operates acuate care hospitals 7 .750% 2/1/19 100.000 7.750% 478 2/1 /14 @ 105.813 B3 B-1/21/11 144A Vanguard Health Systems 444.655 Sr Disc Nts Healthcare owns/operates acuate care hospitals 0 .000% 2/1/16 59.508 10.625% 861 2/1 /13 @ 77.52 Caa1 CCC+1/20/11 144A Constellation Enterprises 128.158 Sr Sec Nts Mfg engineered specialty metal pdts 10.625% 2/1/16 98.583 11.000% 895 8/1 /13 @ 105.313 B2 B1/20/11 Pub Peugeot EUR 348.509 Sr Nts FRA Trans automobile mfr 4 .000% 10 /28/13 99.574 4.161% 254 maturity Baa3 BB+1/20/11 Pub Peugeot EUR 148.977 Sr Nts FRA Trans automobile mfr 5 .000% 10 /28/16 99.318 5.135% 258 maturity Baa3 BB+1/20/11 144A Phibro Animal Hea lth 25.375 Sr Nts Food & Drug animal health products 9 .250% 7/1/18 101.500 8.966% 606 7/1 /14 @ 104.625 B3 B-1/20/11 144A Speedway Motorsports 150.000 Sr Nts Gaming/Leisure p romoter/marketer of motorsports ente rtainment 6 .750% 2/1/19 100.000 6.75 0% 373 2/1 /15 @ 103.375 Ba2 BB1/20/11 144A UPCB Finance EUR 750.000 Sr Sec Nts NETH Media/Te lecom broadband cable ope rator 6 .375% 7/1/20 100.000 6.375% 328 7/1 /16 @ 103.188 Ba3 B+1/19/11 144A CCO Holdings/CCO Capita l 298.500 Sr Nts Media/Te lecom national cab le operator 7 .000% 1/15/19 99.500 7.082% 418 1/15/14 @ 105.25 B2 B+1/19/11 144A Florida East Coast Railway 475.000 Sr Sec Nts Trans opera tes freight railroad 8.125% 2/1/17 100.000 8.125% 582 2/1 /14 @ 104.063 B3 B1/19/11 144A Inergy/Inergy Finance 750.000 Sr Nts Energy mktr and d ist of propane 6.875% 8/1/21 100.000 6.875% 350 8/1 /16 @ 103.438 Ba3 B+1/19/11 144A Targa Resources Partners 325.000 Sr Nts Energy natura l gas midstream supplie r 6 .875% 2/1/21 100.000 6.875% 353 2/1 /16 @ 103.438 B1 B+1/18/11 144A Crown Americas 700.000 Sr Nts Forest Prod/Cont packaging products 6 .250% 2/1/21 100.000 6.250% 288 2/1 /16 @ 103.125 Ba3 BB-1/18/11 144A Empire Today 148.412 Sr Sec Nts Housing residential carpet and hard surface flooring 11.375% 2/1/17 98.941 11.850% 952 2/1 /14 @ 105.688 B3 B1/18/11 144A West China Cement 400.000 Sr Nts CHINA Housing cement maker 7 .500% 1/25/16 100.000 7.500% 555 1/25/14 @ 103.75 Ba3 BB-1/14/11 144A Hopson Development Holdings 300.000 Sr Nts HK Housing residential p roperty developer in China 11.750% 1/21/16 100.000 11.750% 983 maturity B2 B1/14/11 144A Labco EUR 500.000 Sr Sec Nts FRA Healthcare clinical labora tory services provider 8 .500% 1/15/18 100.000 8.500% 588 1/15/14 @ 106.375 B3 B+1/14/11 144A Petrohawk Energy 407.500 Sr Nts Energy o il & gas exploration & development 7 .250% 8/15/18 101.875 6.926% 417 8/15/14 @ 103.625 B3 B+1/13/11 144A AS America 187.500 Sr Sec Nts Housing mfr of plumbing, bath, kitchen prod 10.750% 1/15/16 100.000 10.750% 885 1/15/13 @ 105.375 B3 B1/13/11 144A Cequel Communications Holdings 642.969 Sr Nts Media/Te lecom cable co. 8 .625% 11 /15/17 102.875 8.065% 544 11/15/12 @ 106.469 B3 B-1/13/11 144A CityCenter Ho ldings 900.000 Sr Sec Nts Gaming/Leisure hotel & gaming company 7.625% 1/15/16 100.000 7.625% 572 1/15/14 @ 103.813 B2 B1/13/11 144A CityCenter Ho ldings 600.000 Sr Sec 2nd L ien PIK Election Nts Gaming/Leisure hotel & gaming company 11.500%/10.750% 1/15/17 100.000 10.750% 849 1/15/14 @ 105.375 Caa2 CCC1/13/11 144A Columbus McKinnon 147.818 Sr Sub Nts Mfg Material handling & lifting pdts 7 .875% 2/1/19 98.545 8.125% 528 2/1 /15 @ 103.938 B1 B+1/13/11 144A Elizabeth Arden 250.000 Sr Nts Cons N-Dur mfr & distributor of prestige fragrance & skin care prod 7.375% 3/15/21 100.000 7.375% 408 3/15/16 @ 103.688 B1 B1/13/11 144A Exide Technologies 675.000 Sr Sec Nts Trans mfr of lead acid batteries 8.625% 2/1/18 100.000 8.625% 600 2/1 /15 @ 104.313 B2 B1/13/11 144A Navios Maritime Holdings 350.000 Sr Nts GREC Trans cargo transporter 8 .125% 2/15/19 100.000 8.125% 528 2/15/15 @ 104.063 B3 B+1/13/11 144A Nuveen Investments 154.125 Sr Nts Financial investment manager 10.500% 11 /15/15 102.750 9.764% 786 11/15/11 @ 105.25 Caa3 CCC1/13/11 144A Polymer Group 560.000 Sr Sec Nts Chemicals Po lyolefin pdts 7 .750% 2/1/19 100.000 7.750% 490 2/1 /15 @ 103.875 B1 B1/13/11 144A RSC Equipment Rental 650.000 Sr Nts Service equipment rentals 8 .250% 2/1/21 100.000 8.250% 495 2/1 /16 @ 104.125 Caa2 B-1/13/11 144A Valassis Communications 260.000 Sr Nts Media/Te lecom publishes promotional inserts & coupons 6.625% 2/1/21 100.000 6.625% 333 2/1 /16 @ 103.313 Ba3 BB-1/12/11 144A Grifols 1100.000 Sr Nts SPAIN Healthcare pharmaceuticals and biotechno logy pd ts 8 .250% 2/1/18 100.000 8.250% 554 2/1 /14 @ 106.188 B3 B


02 Decem

ber 2011

Market U

pdate

24


Date Issue ty

pe

Issuer

Procee

dsIss

ue Desc

ription

Country

Indust

ry

Issuer d

escrip

tion

Coupon

Maturity

Issuance

price

Issuanc

e yield

Issuance

spread

First call

MoodysSP

1/12/11 144A Laredo Petroleum 350.000 Sr Nts Energy o il exploration and production 9.500% 2/15/19 100.000 9.500% 657 2/15/15 @ 104.75 Caa2 CCC1/11/11 144A Cirsa Funding Luxembourg EUR 281.400 Sr Nts SPAIN Gaming/Leisure Spanish leisure and gaming company 8.750% 5/15/18 100.500 8.652% 608 5/15/14 @ 104.375 B3 B+1/11/11 144A Cogent Communications Group 175.000 Sr Sec Nts Media/Te lecom multinational internet service provider 8 .375% 2/15/18 100.000 8.375% 568 2/15/15 @ 104.188 B2 B-1/11/11 144A CommScope 1500.000 Sr Nts Mfg coaxial & fiber optic cable 8.250% 1/15/19 100.000 8.250% 534 1/15/15 @ 104.125 B3 B1/11/11 144A Dycom Industries 187.500 Sr Sub Nts Service specialty contracting services 7.125% 1/15/21 100.000 7.125% 378 1/15/16 @ 103.563 Ba3 BB-1/11/11 144A Level 3 Communications 299.428 Sr Nts Media/Te lecom fiber-based telecom network 11.875% 2/1/19 98.173 12.250% 934 2/1 /15 @ 105.938 Caa3 CCC1/11/11 144A NRG Energy 1200.000 Sr Nts Utility e lectric power generation 7.625% 1/15/18 100.000 7.625% 493 maturity B1 BB-1/11/11 144A Texhong Textile Group 200.000 Sr Nts HK Cons N-Dur manufactures co tton & spandex products 7 .625% 1/19/16 100.000 7.625% 566 maturity Ba2 BB1/11/11 144A UCI International 400.000 Sr Nts Trans mfr & distrib of vehicle replacement parts 8 .625% 2/15/19 100.000 8.625% 572 2/15/15 @ 104.313 B3 CCC+1/11/11 144A Verso Paper Holdings 357.448 Sr Sec 2nd Pr Nts Forest Prod/Cont paper producer 8 .750% 2/1/19 99.291 8.875% 597 2/1 /15 @ 104.375 B2 B1/10/11 144A Calpine 1200.000 Sr Sec Nts Utility independent power producer 7 .875% 1/15/23 100.000 7.875% 447 1/15/17 @ 103.938 B1 B+1/10/11 144A Univision Communications 320.513 Sr Nts Media/Te lecom Spanish-language broadcasting 8.500% 5/15/21 101.750 8.191% 488 11/15/15 @ 104.25 Caa2 CCC+1/7/11 144A China South City Holdings 243.453 Sr Nts HK Housing developer of large-scale trade centres 13.500% 1/14/16 97.381 14.250% 1229 maturity B2 B1/7/11 144A Windstream 206.000 Sr Nts Media/Te lecom wireline communications 7.750% 10 /15/20 103.000 7.311% 398 10/15/15 @ 103.875 Ba3 B+1/5/11 Pub AmeriGas Partners 470.000 Sr Nts Energy retail propane distributor 6 .500% 5/20/21 100.000 6.500% 301 5/20/16 @ 103.25 Ba3 NR1/5/11 144A STATS ChipPAC 200.000 Sr Nts SING Info Tech p rovider of pkg, testing svcs for semiconductor ind 5.375% 3/31/16 100.000 5.375% 323 3/31/14 @ 102.6875 Ba1 BB+1/4/11 Shelf CCO Holdings/CCO Capita l 1091.706 Sr Nts Media/Te lecom national cab le operator 7 .000% 1/15/19 99.246 7.125% 420 1/15/14 @ 105.25 B2 B+1/4/11 Shelf Regal Entertainment Group 156.750 Sr Nts Media/Te lecom movie theatre cha in 9.125% 8/15/18 104.500 8.312% 549 8/15/14 @ 104.563 B3 B-

Issue Type # Issues144A 180995.207 397Public (incl shelf) 45344.824 79Floating rate 750.000 1Preferred stock 1021.764 1Non-$US ($US equiv) 52856.423 116Total Issuance 280968.218 594


02 Decem

ber 2011

Market U

pdate

25

Exhibit 58: 2011 New High Yield Issues by Industry

Healthcare12%

Retail3%

Service3%

Transportation7%

Energy15%

Utility5%

Food and Drug0%

Financial5%

Media/Telecom: Telecom3%

Media/Telecom: W'less Comm

3%

Media/Telecom: Diversified Media

2%

Media/Telecom: Cable/Wireless Video

7%

Metals/Minerals7%

Media/Telecom: B'casting2%

Consumer Non-Durables1%

Chemicals1%

Aerospace2%

Forest Prod/Containers4%

Food/Tobacco2%

Gaming/Leisure4%

Manufacturing2%

Information Technology4%

Housing3%


02 December 2011

Market Update 26

Leveraged Loan Market

The Credit Suisse Leveraged Loan Index returned -0.05% for the week ending December 1, 2011, 0.02% month to date, and 1.33% year to date. The discount margin, assuming a three-year average life, widened 3 bp during the week to 669 bp. The average price fell to 91.88, a -0.16-point decrease.

The most liquid loan facilities in the Credit Suisse Leveraged Loan Index, those over $1bn in size, decreased 0.17 points this week. These issues are trading 1.36 points below and 1 bp wider than the overall index.

Exhibit 59: Leveraged Loan Index Summary for the Week Ending December 01, 2011 Outperforming Industries Underperforming IndustriesTransportation 0.64% Utility -0.34%Housing 0.34% Consumer Non-Durables -0.31%Food And Drug 0.27% Broadcasting -0.30%

Outperforming Sectors Underperforming SectorsUnsecured 0.30% Third Lien -2.43%Cyclical 0.08% Lower Tier -0.37%L+125-224 0.07% Second Lien -0.17%


Exhibit 60: Leveraged Loan Secondary Market Monitor Week Ending Cumulative Total Return (1)

TOTAL RETURN 10/27/2011 11/3/2011 11/10/2011 11/17/2011 11/22/2011 12/1/2011 1Q11 2Q11 3Q11 Sep-11 Oct-11 Nov-11 2010 YTD (2)10 Year Treasury -1.76% 2.91% 0.43% 0.89% 0.41% -1.46% -0.14% 3.72% 12.31% 2.95% -1.56% 0.78% 8.30% 15.21%Credit Suisse LUCI (Liquid US Corporate Index) 0.17% 1.67% -0.63% -0.14% -0.50% -1.16% 0.76% 2.36% 3.39% 0.37% 1.58% -2.00% 9.48% 5.99%CS Leveraged Loan Index 1.20% 0.12% 0.23% -0.07% -0.40% -0.05% 2.65% 0.33% -3.76% 0.25% 2.59% -0.38% 9.97% 1.33%CS Institutional Leveraged Loan Index 0.86% 0.18% 0.26% 0.00% -0.33% -0.03% 2.08% 0.45% -2.64% 1.15% 2.19% -0.17% 7.63% 1.89%CS Distressed Loan Index 2.58% -0.19% 0.16% -0.22% -0.86% -0.21% 5.32% -0.38% -9.36% -2.53% 4.37% -1.52% 13.98% -2.25%CS High Yield Index 2.49% -0.02% -0.58% -0.47% -0.93% 0.58% 3.77% 1.04% -5.12% -2.81% 5.37% -1.81% 14.42% 3.19%CS West Euro HY Index (Hedged, In Euro) (4) 2.75% -0.77% -0.48% -0.19% -0.88% -0.95% 2.83% 0.82% -8.63% -3.44% 6.54% -3.94% 14.63% -2.78%DJIA 5.78% -1.33% -1.11% -0.94% -2.32% 4.72% 7.07% 1.42% -11.49% -5.91% 9.72% 1.18% 14.06% 6.47%S&P 500 5.70% -1.79% -1.61% -1.84% -2.29% 4.85% 5.92% 0.10% -13.87% -7.03% 10.93% -0.22% 15.07% 0.89%NASDAQ COMPOSITE 5.39% -1.44% -2.68% -1.32% -2.55% 4.18% 5.05% -0.03% -12.70% -6.31% 11.20% -2.18% 18.15% -0.06%WILSHIRE 5000 6.29% -1.73% -1.91% -1.71% -2.35% 4.78% 6.06% -0.03% -15.31% -7.84% 11.62% -0.37% 17.81% -0.40%RUSSELL 2000 9.93% -1.80% -3.42% -0.91% -3.12% 5.00% 7.94% -1.61% -21.86% -11.21% 15.13% -0.36% 26.86% -5.66%CS Leveraged Loan Index Value (12/31/91=100) 311.08 311.47 312.16 311.97 310.72 310.58 314.63 315.68 303.82 303.82 311.69 310.50 306.50 310.58

LEVELS / SPREADS3 month LIBOR YIELD 0.43% 0.44% 0.45% 0.48% 0.50% 0.53% 0.30% 0.25% 0.37% 0.37% 0.43% 0.53% 0.30% 0.53%LIBOR Yield increase/(decrease) 1 bp 1 bp 2 bp 3 bp 2 bp 3 bp 0 bp (6 bp) 13 bp 5 bp 6 bp 10 bp 5 bp 22 bp

CS Lev Loan Index DM (3) 652 bp 650 bp 645 bp 648 bp 666 bp 669 bp 503 bp 549 bp 722 bp 722 bp 648 bp 669 bp 558 bp 669 bpCS Lev Loan Index DM (3) tighten (widen) 36 bp 2 bp 5 bp (3 bp) (18 bp) (3 bp) 55 bp (46 bp) (174 bp) 2 bp 74 bp (21 bp) 139 bp (111 bp)

B DM (3) 733 bp 730 bp 723 bp 731 bp 751 bp 738 bp 582 bp 601 bp 838 bp 838 bp 725 bp 739 bp 661 bp 738 bpBB DM (3) 441 bp 443 bp 436 bp 438 bp 453 bp 456 bp 357 bp 392 bp 505 bp 505 bp 439 bp 457 bp 401 bp 456 bp(1) Cumulative Monthly Total Return (2) As of 12/01/11(3) Discount Margin - 3-year average life (4) Multiple currencies; returns converted hedged to Euro(5) Non-institutional loans include TL-a and Revolvers(6) Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service

02 December 2011

Market Update 27

Exhibit 61: Leveraged Loan Primary Market Monitor 2008 2009 3Q10 4Q10 2010 1Q11 2Q11 3Q11 Sep-11 Oct-11 Nov-11 L3M (1)(4) LTM (1)(4) YTD (4)

LIBOR3 month LIBOR YIELD 1.43% 0.25% 0.29% 0.30% 0.30% 0.30% 0.25% 0.37% 0.37% 0.43% 0.53% 0.53% 0.53% 0.53%LIBOR YIELD increase (decrease) (328) bp (117) bp (24) bp 1 bp 5 bp 0 bp (6) bp 13 bp 5 bp 6 bp 10 bp 20 bp 23 bp 23 bp

ISSUANCENON-INSTITUTIONAL(2) ($billions) 224.9 182.9 32.8 49.0 169.2 50.0 67.4 63.7 31.3 10.9 9.2 51.4 215.3 201.1INSTITUTIONAL(3) ($billions) 98.7 56.3 31.8 56.7 152.3 88.1 74.8 28.7 4.9 6.2 8.9 20.0 233.0 206.6OVERALL ($billions) 323.6 239.2 64.7 105.7 321.5 138.1 142.2 92.4 36.3 17.1 18.0 71.4 448.3 407.7FORWARD CALENDAR ($billions) 14.8 4.4 13.3 22.1 22.1 9.7 19.4 10.5 10.5 8.2 5.9 5.9 5.9 5.9

AVERAGE NEW ISSUE SPREADSInstitutionalB 389 bp 436 bp 508 bp 471 bp 457 bp 414 bp 428 bp 551 bp 592 bp 625 bp 540 bp 586 bp 485 bp 486bpBB 289 bp 345 bp 412 bp 370 bp 376 bp 320 bp 309 bp 372 bp 425 bp 408 bp 356 bp 397 bp 345 bp 343bpB vs. BB 99bp 91bp 96bp 101bp 81bp 93bp 119bp 179bp 167bp 217bp 183bp 189bp 140bp 143bpNon-InstitutionalB 308 bp 426 bp 474 bp 447 bp 435 bp 415 bp 389 bp 502 bp 545 bp 577 bp 506 bp 542 bp 454 bp 454bpBB 272 bp 403 bp 324 bp 324 bp 332 bp 264 bp 244 bp 197 bp 200 bp 278 bp 256 bp 245 bp 248 bp 241bpB vs. BB 36bp 23bp 150bp 123bp 103bp 151bp 145bp 305bp 345bp 299bp 249bp 298bp 206bp 213bpInstitutional vs. Non-InstitutionalB 81 bp 10 bp 34 bp 24 bp 21 bp (1) bp 39 bp 49 bp 47 bp 48 bp 34 bp 43 bp 30 bp 31 bpBB 17 bp (58) bp 88 bp 46 bp 43 bp 56 bp 66 bp 175 bp 225 bp 131 bp 100 bp 152 bp 97 bp 102 bp

(1) After a review of market data sources, we have revised both the 2010 loan market size and the 2010 new loan issue volume. Some new loan facilities were re-categorized as extensions, and we made adjustments to refinancing amounts.(2) Non-institutional loans include TL-a and Revolvers. This data is revised often as more complete information becomes available.(3) Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors(4) As of 11/30/11

Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service, S&P LCD, LPC

Exhibit 62: Credit Suisse Leveraged Loan Index Total Return[1]

11/17/2011 11/22/2011 12/1/2011 1Q11 2Q11 3Q11 Nov-11 2010 YTD (2)

Upper Tier (3) -0.06% -0.29% -0.01% 1.21% 0.58% -1.70% -0.14% 7.36% 2.16%Middle Tier (3) -0.09% -0.56% -0.09% 3.20% 0.07% -4.51% -0.66% 10.25% 0.98%Lower Tier (3) -0.16% -0.58% -0.37% 4.79% -0.61% -12.84% -1.26% 14.08% -4.81%Price >= 90 -0.04% -0.31% -0.01% 2.02% 0.48% -2.55% -0.16% 7.51% 1.81%Price < 90 -0.21% -0.84% -0.21% 7.10% -0.98% -9.36% -1.43% 16.60% -1.05%Cyclical -0.13% -0.34% 0.08% 2.36% 0.67% -2.86% -0.36% 12.31% 2.22%Defensive -0.02% -0.45% -0.15% 2.86% 0.01% -4.51% -0.42% 7.93% 0.53%L+124 and Lower -0.22% 0.27% 0.03% 16.25% 15.07% -10.00% -0.14% 10.58% 21.43%L+125-224 0.02% -0.41% 0.07% 1.68% -0.27% -2.07% -0.18% 9.14% 0.61%L+225 and Higher -0.07% -0.40% -0.07% 2.78% 0.38% -3.94% -0.40% 10.09% 1.42%$0MM to $100MM in Size 0.05% 0.11% 0.11% 3.81% 2.09% -1.25% 0.53% 17.59% 6.09%$101MM to $200MM in Size 0.22% 0.01% 0.08% 3.33% 1.43% -2.25% 0.56% 13.45% 3.68%$201MM to $300MM in Size 0.14% -0.01% -0.07% 2.94% 1.12% -2.74% 0.58% 12.92% 2.87%$301MM and Over in Size -0.12% -0.51% -0.07% 2.49% 0.05% -4.14% -0.62% 9.03% 0.71%$1001MM and Over in Size -0.28% -0.81% -0.07% 2.55% -0.42% -5.17% -1.19% 8.56% -0.29%First Lien -0.08% -0.41% -0.05% 2.48% 0.25% -3.75% -0.39% 9.55% 1.12%Second Lien 0.32% -0.09% -0.17% 5.86% 1.54% -4.46% 0.02% 18.16% 4.65%Third Lien -1.35% 0.42% -2.43% 17.89% -4.62% -7.97% -1.71% 35.96% 3.40%Unsecured -0.07% -0.45% 0.30% 3.75% 2.86% -2.38% -0.85% 9.79% 5.16%Full Covenant -0.08% -0.36% -0.07% 2.53% 0.42% -3.77% -0.36% 9.90% 1.21%Covenant Lite -0.01% -0.57% 0.01% 3.44% -0.09% -3.71% -0.47% 10.48% 2.06%Credit Suisse Leveraged Loan Index -0.07% -0.40% -0.05% 2.65% 0.33% -3.76% -0.38% 9.97% 1.33%(1) Cumulative Monthly Total Return (2) As of 12/01/11(3) Upper Tier: Split BBB and BB; Middle Tier: Split BB, B and Split B; Lower Tier: CCC/Split CCC and Default

Credit Suisse Leveraged Loan Index Total Return (1)

Source:

02 December 2011

Market Update 28

Exhibit 63: Leveraged Loan Market Size Exhibit 64: Institutional Leveraged Loan Market Size

315192 220

150

284

808 802734

792

13131423

1610 1599

13501222

1109

177225

922

317

552669

318

373322

239324

58187

688

612

500480

329

240218

310320273

19413510181284021$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Mark

et S

ize ($

Billi

ons)

$0

$100

$200

$300

$400

$500

$600

$700

$800

New Leveraged Loan Volume ($ Billions)

Leveraged Loan Market Size New Leveraged Loan Volume

* As of 9/30/2011Includes $US-denominated non-investment grade bank debt (revolvers, pro-rata and institutional term loans).

After a review of market data sources, we have revised both the 2010 loan market size and the 2010 new loan issue volume. Some new loan facilities were re-categorized as extensions, and we made adjustments to refinancing amounts.

5 16 3488

126 145 141

841 856

779

640 627

408

188

307

617

141

2353

192241

223

3264

118

366

426

25148 505 45 552

9956

152

$0

$100

$200

$300

$400

$500

$600

$700

$800

$900

1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011*

Mar

ket S

ize

($Bi

llion

s)

$0

$100

$200

$300

$400

$500

$600

New Institutional Loan Volum

e ($Bln)

Institutional Loan Market Size New Institutional Loan Volume

* As of 9/30/2011Includes $US-denominated non-investment grade fully-drawn institutional term loans (TLb's, TLc's, TLd's, delayed-draw, and other tranches held by institutional investors)

After a review of market data sources, we have revised both the 2010 loan market size and the 2010 new loan issue volume. Some new loan facilities were re-categorized as extensions, and we made adjustments to refinancing amounts.


Exhibit 65: CS Lev Loan Index: Total Return by Industry, MTD December 01, 2011

Exhibit 66: CS Lev Loan Index: Total Return by Industry, YTD December 01, 2011

0.48%

0.19%0.11% 0.11% 0.08% 0.07% 0.05% 0.05% 0.04% 0.04% 0.02% 0.01% 0.01% 0.00%

0.00% -0.01% -0.01% -0.01% -0.03% -0.04%

-0.13%-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

Transportation

Forest Products

HousingRetail

Food and Drug

Information Technolog

Manufacturing

ChemicalsEnergy

Metals/Minerals

Credit Suisse Lev Loan Inde

AerospaceFinancial

Gaming/Leisure

Consumer Durables

HealthcareServic

e

Consumer Non-Durable

Media/Telecom

Food/Tobacco Utility

6.95%

4.01% 3.76% 3.71%3.07% 2.89% 2.62% 2.29% 2.18% 2.14% 2.14% 1.85% 1.63% 1.57% 1.46% 1.44% 1.33% 1.26% 1.20%

-1.10% -1.14%-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%

Consumer DurablesEnergy

Housing

Metals/Minerals

Food and Drug

Forest Products

Information Technology

Gaming/Leisure Retail

Manufacturing

Healthcare

Transportation

ChemicalsFinancial

Food/Tobacco

Aerospace

Credit Suisse

Lev Loan Inde

Consumer Non-Durable Service

Utility

Media/Telecom


Exhibit 67: CS Lev Loan Index: Total Return by Industry November 2011

Exhibit 68: Average Price of the Credit Suisse Leveraged Loan Index

0.87%

0.54%0.35% 0.32% 0.32%

0.16% 0.09% 0.07%

-0.12%-0.26% -0.31% -0.34% -0.38% -0.40% -0.42% -0.51% -0.61%

-0.81%-1.08%

-1.25%

-1.80%-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

Housing

Consumer DurablesEnergy

Food and Drug

Manufacturing

Healthcare

Food/Tobacco

Metals/Minerals

Aerospace

Chemicals

Information Technology Retail

Credit Suisse

Lev Loan Inde

Consumer Non-Durables

Media/Telecom

Forest Products

Gaming/LeisureServic

e

Financial

Transportation Utility

85.50%10/31/02

100.11%2/28/07

62.25%12/31/08

60.00%65.00%70.00%75.00%80.00%85.00%90.00%95.00%

100.00%

Jan-92Jan-94

Jan-96Jan-98

Jan-00Jan-02

Jan-04Jan-06

Jan-08Jan-10

Aver

age P

rice

91.88% 12/1/11


Exhibit 69: Discount Margin (3 yr) of the CS Lev Loan Index by Rating

Exhibit 70: Price Difference of Most Liquid Leveraged Loan Facilities vs. Overall Market

100bps

600bps

1100bps

1600bps

2100bps

1/31/1992

1/31/1993

1/31/1994

1/31/1995

1/31/1996

1/31/1997

1/31/1998

1/31/1999

1/31/2000

1/31/2001

1/31/2002

1/31/2003

1/31/2004

1/31/2005

1/31/2006

1/31/2007

1/31/2008

1/31/2009

1/31/2010

1/31/2011

Disc

ount

Mar

gin

Overall Lev Loan Index-DM BB-rated Loans B-rated Loans

*Discount margin (DM) assumes 3-year average life

738 bp

456 bp669 bp

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

1/3/2008

3/3/2008

5/3/2008

7/3/2008

9/3/2008

11/3/2008

1/3/2009

3/3/2009

5/3/2009

7/3/2009

9/3/2009

11/3/2009

1/3/2010

3/3/2010

5/3/2010

7/3/2010

9/3/2010

11/3/2010

1/3/2011

3/3/2011

5/3/2011

7/3/2011

9/3/2011

11/3/2011

Pric

e D

iffer

ence

Price Difference: Loan Index Facilities >= $1bn in Size - CS Leveraged Loan Index

10/16/08-2.86

12/1/11 -1.36


02 December 2011

Market Update 29

Exhibit 71: Credit Suisse Leveraged Loan Index vs. Facilities in Index >= $1bn in Size Loan Index Facilities >=

$1bn in Size as of 11/22/2011

Loan Index Facilities >=

$1bn in Size as of 12/1/2011

Credit Suisse Leveraged Loan

Index as of 11/22/2011

Credit Suisse Leveraged Loan

Index as of 12/1/2011

Average Price 90.69 90.52 92.04 91.883yr Discount Margin 665 bp 669 bp 666 bp 669 bp

YTD Return -0.22% -0.29% 1.38% 1.33%


02 December 2011

Market Update 30

Western European High Yield Market The Credit Suisse Western European High Yield Index (hedged, in euro) returned -0.95% for the week ending December 1, 2011, 0.28% month to date, and -2.78% year to date. The spread widened 14 bp during the week to 907 bp, while the yield rose to 10.07%, a 14 bp increase. The average price fell to 89.73, a -1.02-point decrease.

Exhibit 72: Western European High Yield Index Total Return Summary for the Week Ending December 01, 2011

Outperforming Assets Total Return Underperforming Assets Total ReturnCAC 40 Index 9.08% 10-Year Euro Government Bond -1.64%DAX Index 9.00% CS WE High Yield Index (Hedged, €) -0.95%Bloomberg Europe 500 Index 6.87% 10-Year UK Government Bond -0.68%

Outperforming Industries Underperforming IndustriesUtility 1.06% Energy -2.68%Telecommunications 0.24% Diversified Media -2.58%Chemicals -0.06% Metals/Minerals -2.30%

Outperforming Sectors Underperforming SectorsCushion Paper 0.03% Defaulted Issues -10.16%3 To 4 Years Duration -0.60% Distressed Securities -9.38%Upper Tier Securities -0.74% Small ($0 Mm To $100 Mm) Issues -1.99%


Exhibit 73: Spread of the Credit Suisse Western European HY Index

Exhibit 74: Average Price of the Credit Suisse Western European HY Index

1250 bp9/28/2001

219 bp5/31/2007

353 bp9/30/1997

12/31/20081799 bp

0bps200bps400bps600bps800bps

1000bps1200bps1400bps1600bps1800bps2000bps

Jan-95Jul-95

Jan-96Jul-96

Jan-97Jul-97

Jan-98Jul-98

Jan-99Jul-99

Jan-00Jul-00

Jan-01Jul-01

Jan-02Jul-02

Jan-03Jul-03

Jan-04Jul-04

Jan-05Jul-05

Jan-06Jul-06

Jan-07Jul-07

Jan-08Jul-08

Jan-09Jul-09

Jan-10Jul-10

Jan-11Jul-11

Spre

ad to

Wor

st

Average STW: 635 bp

907 bp 12/1/2011

106.75%9/30/1997

53.73%3/31/09

56.63%10/31/02

104.02%5/31/2007

45.0%

55.0%

65.0%

75.0%

85.0%

95.0%

105.0%

115.0%

Jan-95Jul

-95Jan

-96Jul

-96Jan

-97Jul

-97Jan

-98Jul

-98Jan

-99Jul

-99Jan

-00Jul

-00Jan

-01Jul

-01Jan

-02Jul

-02Jan

-03Jul

-03Jan

-04Jul

-04Jan

-05Jul

-05Jan

-06Jul

-06Jan

-07Jul

-07Jan

-08Jul

-08Jan

-09Jul

-09Jan

-10Jul

-10Jan

-11Jul

-11

Aver

age

Price 89.73%

12/1/11


02 December 2011

Market Update 31

Exhibit 75: Western European New Issues ($US and non-$US issues)

Exhibit 76: Monthly Adv/Dec Ratio of the Credit Suisse Western European HY Index

6 6

12

4

16 19

18

7

0

31

3

2 115

0 03

00

10

0

6

0

5

10

15

20

25

30

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11

$US new issues Non-$US new issuesLatest month is Month-to-Date

0.0

0.0

0.1

1.0

10.0

100.0

1/30/1998 5/28/1999 9/29/2000 1/31/2002 5/30/2003 9/30/2004 1/31/2006 5/31/2007 9/30/2008 1/29/2010 5/31/2011

Monthly Advance/Decline Ratio 3-Month Moving Average of the Adv/Dec Ratio


Exhibit 77: Western European Market Monitor Weekly Returns Cumulative Total Return (1)

TOTAL RETURN 11/3/2011 11/10/2011 11/17/2011 11/22/2011 12/1/2011 1Q '11 2Q '11 3Q '11 Sep-11 Oct-11 Nov-11 2010 YTD (2)

10-YEAR UK GOVERNMENT BOND (3) 2.09% 1.28% 0.04% 0.49% -0.68% -0.64% 3.32% 10.42% 3.56% 0.14% 1.24% 10.14% 15.37% 10-YEAR EURO GOVERNMENT BOND (4) 2.64% 1.22% -0.95% -0.21% -1.64% -2.55% 3.91% 11.14% 3.15% -1.04% -1.51% 7.51% 10.70% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (5) -0.78% -0.47% -0.19% -0.88% -0.97% 2.80% 0.66% -8.66% -3.30% 6.73% -3.84% 15.04% -2.70% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (6) -0.77% -0.48% -0.19% -0.88% -0.95% 2.83% 0.82% -8.63% -3.44% 6.54% -3.94% 14.63% -2.78% CREDIT SUISSE HIGH YIELD INDEX (7) -0.02% -0.58% -0.47% -0.93% 0.58% 3.77% 1.04% -5.12% -2.81% 5.37% -1.81% 14.42% 3.19% BLOOMBERG EUROPE 500 INDEX (4)(8) -2.90% -2.68% -0.51% -4.62% 6.87% 0.87% 0.34% -16.96% -4.41% 7.53% -1.16% 12.56% -11.27% FTSE ALL-SHARE INDEX (3) -2.71% -1.81% -0.12% -4.01% 5.47% 1.21% 2.03% -13.41% -4.99% 7.90% -0.18% 15.07% -4.07% DAX INDEX (4) -3.23% -4.33% -0.30% -5.35% 9.00% 1.84% 4.76% -25.41% -4.89% 11.62% -0.85% 16.06% -12.70% CAC 40 INDEX (4) -5.14% -3.91% -1.76% -4.62% 9.08% 4.87% 2.85% -24.68% -8.05% 8.75% -2.45% 0.42% -14.50% FTSE SMALLCAP INDEX (3) -1.76% -1.52% -0.16% -2.41% 1.19% 0.28% 2.64% -13.76% -6.89% 2.22% -3.37% 19.87% -12.65%

CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN $US) (5)(9) 373.62 371.92 371.32 368.11 364.76 385.41 387.95 354.37 354.37 378.23 363.72 374.90 364.76 CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN EURO) (6)(9) 339.53 337.90 337.26 334.31 331.09 350.20 353.08 322.62 322.62 343.70 330.15 340.57 331.09(1) Cumulative Monthly Total Return; (2) As of 12/1/11(3) Returns in British Pounds; (4) Returns in Euro(5) Multiple currencies; returns converted hedged to $US; (6) Multiple currencies; returns converted hedged to Euro(7) Returns in $US; (8) Returns do not include dividends; (9) 12/30/94=100


Exhibit 78: Credit Suisse Western European HY Index Total Return (1) 11/17/2011 11/22/2011 12/1/2011 1Q '11 2Q '11 3Q '11 Nov-11 YTD (2)

Upper Tier (3) -0.15% -0.57% -0.74% 1.82% 0.95% -4.74% -2.62% 0.55%Middle Tier -0.19% -1.20% -1.14% 3.97% 0.92% -11.42% -5.04% -4.38%Lower Tier -1.05% -1.70% -1.55% 0.95% -1.46% -21.97% -9.25% -22.96%Cyclical Issues -0.22% -0.93% -0.98% 2.54% 0.49% -8.62% -3.80% -3.47%Defensive Issues -0.14% -0.79% -0.78% 3.00% 1.29% -8.68% -3.86% -1.73%Cash-Pay Securities -0.20% -0.86% -0.88% 2.97% 0.88% -8.61% -3.83% -2.40%Def Int (cash-pay in < 2yrs) 0.00% 0.00% 0.00% 2.82% 0.00% 0.00% 0.00% 2.82%Def Int (cash-pay in >= 2yrs) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%Defaulted Securities 0.64% -2.89% -10.16% -7.53% -9.52% -11.12% -17.69% -40.01%3 - 4 yr Duration -0.26% -1.26% -0.60% 3.52% 0.61% -11.07% -4.56% -4.74%5 - 6 yr Duration -0.44% -0.90% -1.02% 3.32% 0.07% -8.97% -2.76% -2.14%7 - 10 yr Duration -0.24% -2.86% -1.35% 5.07% 3.28% -5.40% -6.18% 0.78%Cushion Paper 0.11% -0.78% 0.03% 1.70% 0.90% -3.62% -1.33% 1.04%Project Finance 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Credit Suisse West Euro HY Index (4) -0.19% -0.88% -0.95% 2.83% 0.82% -8.63% -3.94% -2.78%(1) Cumulative Total Return (2) As of 12/1/11(3) Upper Tier: Split BBB and BB; Middle Tier: Split BB, B and Split B; Lower Tier: CCC/Split CCC and Default(4) Multiple currencies; returns converted hedged to EuroSource: Credit Suisse

02 December 2011

Market Update 32

Exhibit 79: Size of Western European HY Market Exhibit 80: Spread Tighten/(Widen) of the Credit Suisse Western European High Yield Index

($US/non-$S issues)

2 5 9 1221

30 36 3748

27 22 18 20 15 23 3040 46

78

114

139

1.78.8 13.6

27.0

45.3

61.169.6

88.9 84.2 81.4 79.0 80.1 76.6 81.3

61606159

41

573225

15

6

2000

58

184.6

5.4

108.4

154.4

0

20

40

60

80

100

120

140

160

180

1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011*

Mar

ket S

ize (€

Billio

ns)

$US Mkt Size Non-$US Mkt Size

* As of 11/30/2011Includes non-investment grade straight corporate debt of issuers with assets located in or revenues derived from Western Europe, or the bond is denominated in a Western European currency. Floating-rate and convertible bonds and preferred stock are not included.

-700 bp

-600 bp

-500 bp

-400 bp

-300 bp

-200 bp

-100 bp

0 bp

100 bp

200 bp

300 bp

400 bp

Jan-98

Aug-98

Mar-99

Oct-99

May-00

Dec-00

Jul-01Feb-02

Sep-02Apr-0

3Nov-0

3Jun

-04Jan

-05Aug-0

5Mar-

06Oct-

06May-

07Dec-

07Jul-08

Feb-09Sep-

09Apr-1

0Nov-1

0Jun-1

1

0 bp


Exhibit 81: European High Yield Premium over Government Bonds

Exhibit 82: European High Yield Dispersion of Yield

0bps

200bps

400bps

600bps

800bps1000bps

1200bps

1400bps

1600bps

1800bps

2000bps

Jan-95Jul-95

Jan-96Jul-96

Jan-97Jul-97

Jan-98Jul-98

Jan-99Jul-99

Jan-00Jul-00

Jan-01Jul-01

Jan-02Jul-02

Jan-03Jul-03

Jan-04Jul-04

Jan-05Jul-05

Jan-06Jul-06

Jan-07Jul-07

Jan-08Jul-08

Jan-09Jul-09

Jan-10Jul-10

Jan-11Jul-11

Spre

ad to

Wor

st

40.0%

240.0%

440.0%

640.0%

840.0%

1040.0%

1240.0%

1440.0%

Premium

Over Treasury

Spread to Worst Premium to Government Bonds

Median Premium to Government Bonds: 137.26%

Average STW: 635 bp

-15.00%

-5.00%

5.00%

15.00%

25.00%

35.00%

45.00%

55.00%

65.00%

75.00%

85.00%

1/31/1995 6/28/1996 11/28/1997 4/30/1999 9/29/2000 2/28/2002 7/31/2003 12/31/2004 5/31/2006 10/31/2007 3/31/2009 8/31/2010

Mean Yield to Worst Avg YTW + 1StDev Avg YTW - 1 StDev

11.19%19.80%

6.32%


Exhibit 83: European High Yield Summary Profile by Rating

Exhibit 84: European HY Cyclical vs. Defensive Spread Difference

Rating Coupon Current Yield Duration YTW STWBB 6.87% 7.21% 3.61 yrs 8.18% 721 bp

Split BB 8.33% 8.90% 4.09 yrs 9.34% 821 bp

B 8.33% 9.43% 3.72 yrs 11.97% 1090 bp

Split B 8.94% 10.79% 3.90 yrs 12.91% 1164 bp

CCC/Split CCC 9.52% 13.19% 3.56 yrs 18.23% 1709 bp -1000 bp

-800 bp

-600 bp

-400 bp

-200 bp

0 bp

200 bp

400 bp

600 bp

800 bp

1000 bp

1200 bp

Jan-95

Jul-95Jan

-96Jul-96

Jan-97

Jul-97Jan

-98Jul-98

Jan-99

Jul-99Jan

-00Jul-00

Jan-01

Jul-01Jan

-02Jul-02

Jan-03

Jul-03Jan

-04Jul-04

Jan-05

Jul-05Jan

-06Jul-06

Jan-07

Jul-07Jan

-08Jul-08

Jan-09

Jul-09Jan

-10Jul-10

Jan-11

Jul-11

Diffe

renc

e in

YTW

(bp)

48 bp


02 December 2011

Market Update 33

Exhibit 85: European High Yield CCC vs. B Spread Difference

Exhibit 86: European High Yield DIS vs. Cash-Pay Spread Difference

0 bp

500 bp

1000 bp

1500 bp

2000 bp

2500 bp

3000 bp

3500 bp

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Jan-06

Jan-07

Jan-08

Jan-09

Jan-10

Jan-11

Diffe

renc

e in

YTW

(bp)

626 bp

-600

-400

-200

0

200

400

600

800

1000

1200

1400

Jan-9

5Ju

l-95

Jan-9

6Ju

l-96

Jan-9

7Ju

l-97

Jan-9

8Ju

l-98

Jan-9

9Ju

l-99

Jan-0

0Ju

l-00

Jan-0

1Ju

l-01

Jan-0

2Ju

l-02

Jan-0

3Ju

l-03

Jan-0

4Ju

l-04

Jan-0

5Ju

l-05

Jan-0

6Ju

l-06

Jan-0

7Ju

l-07

Jan-0

8Ju

l-08

Jan-0

9Ju

l-09

Jan-1

0Ju

l-10

Jan-1

1Ju

l-11

Diffe

renc

e in

YTW

(bp)


Exhibit 87: CS Western European High Yield Index: Total Return by Industry, MTD December 01, 2011

Exhibit 88: CS Western European High Yield Index: Total Return by Industry, YTD December 01, 2011

0.55% 0.48% 0.46% 0.44% 0.43% 0.38% 0.34% 0.33% 0.29% 0.28% 0.24% 0.23% 0.16% 0.15%

-0.26%-0.36%

-0.50%

0.63%

1.19%

-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

Gami

ng/Le

isure

Manu

factu

ring

Food

/Tob

acco

Fore

st Pr

oduc

ts

Reta

il

Tran

spor

tation

Hous

ing

Metal

s/Mine

rals

Media

/Tele

com

Chem

icals

Aero

spac

e

Cred

it Suis

se W

.Eu

rope

an H

Y Ind

ex

Servi

ce

Ener

gy

Utilit

y

Healt

hcar

e

Finan

cial

Infor

matio

nTe

chno

logy

Cons

Non

-Dur

ables

0.46%

-0.85% -1.13% -1.16% -1.61% -1.64% -2.35% -2.78% -2.94% -3.25% -3.39% -3.88%-5.44% -5.66%

-7.12% -7.53%

-15.46%

1.40%

4.11%

-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

Utilit

y

Healt

hcar

e

Infor

matio

nTe

chno

logy

Aero

spac

e

Hous

ing

Fore

st Pr

oduc

ts

Food

/Tob

acco

Finan

cial

Chem

icals

Cred

it Suis

se W

.Eu

rope

an H

Y Ind

ex

Servi

ce

Media

/Tele

com

Ener

gy

Manu

factu

ring

Gami

ng/Le

isure

Tran

spor

tation

Cons

Non

-Dur

ables

Metal

s/Mine

rals

Reta

il


Exhibit 89: CS Western European High Yield Index: Total Return by Industry November 2011

-1.86%

-4.04% -4.19%-4.77% -5.14% -5.46% -5.77% -5.94% -6.34% -6.48%

-7.47%-8.25%

-3.94%

-2.42%-3.39%

2.41%

-3.67% -3.86%

-2.46%-3.68%

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

Utilit

y

Fore

st Pr

oduc

ts

Finan

cial

Aero

spac

e

Servi

ce

Healt

hcar

e

Tran

spor

tation

Food

/Tob

acco

Cred

it Suis

se W

.Eu

rope

an H

Y Ind

exCh

emica

ls

Hous

ingCo

nsum

er N

on-

Dura

bles

Media

/Tele

com

Manu

factur

ing

Metal

s/Mine

rals

Gami

ng/Le

isure

Retai

lInf

orma

tion

Tech

nolog

yCo

nsum

erDu

rable

sEn

ergy


02 December 2011

Market Update 34

Best and Worst Performers in the Credit Suisse Western European High Yield Index, Non-$US-Denominated Bonds

Exhibit 90: Best and Worst Performers Sorted by Total Return: This Week (1) PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersESCADA 7.500% 4/1/2012 Ca D Sr Nts EUR 200 10.500 0.500 5.00% 5.00% 5.00% DefaultedHeckler & Koch 9.500% 5/15/2018 Caa1 CCC+ Sr Sec Nts EUR 295 66.000 2.500 3.94% 4.25% 3.92% 18.82% 1732 bpHeidelberger Druckmaschinen 9.250% 4/15/2018 Caa1 B- Sr Nts EUR 304 60.250 2.000 3.43% 3.72% 3.37% 20.78% 1930 bpINEOS Group Holdings 7.875% 2/15/2016 Caa1 CCC Sr Nts EUR 1,630 72.000 2.000 2.86% 3.01% 2.77% 17.58% 1677 bpTokyo Electric Power 4.500% 3/24/2014 Ba2 BB+ Sr Sec Nts EUR 1,000 86.000 2.500 2.99% 3.00% 2.89% 11.77% 1142 bpSouthern Water (Greensands) Fi 8.500% 4/15/2019 NR BB- Sr Sec Nts GBP 291 91.250 2.000 2.24% 2.43% 2.22% 10.21% 857 bpBakkavor Finance 2 8.250% 2/15/2018 B2 B Sr Sec Nts GBP 408 70.000 1.500 2.19% 2.37% 2.11% 16.07% 1481 bpDaily Mail and General Trust 7.500% 3/29/2013 NR BB Sr Nts GBP 182 105.000 2.375 2.31% 2.31% 2.15% 3.53% 317 bpSafilo Capital International 9.625% 5/15/2013 Caa2 CCC+ Sr Nts EUR 135 98.500 2.000 2.07% 2.29% 2.07% 10.77% 1028 bpBoardriders 8.875% 12/15/2017 Ba3 B Sr Nts EUR 200 95.000 2.000 2.15% 2.26% 2.06% 10.00% 861 bp

Worst PerformersLighthouse International 8.000% 4/30/2014 Ca D Sr Nts EUR 1,300 11.500 -3.000 -20.69% -20.69% -20.69% DefaultedResidential Capital 8.375% 5/17/2013 Ca CC Sr Nts GBP 43 51.000 -11.000 -17.74% -16.30% -16.58% 72.88% 7252 bpCrown Newco 3 8.875% 2/15/2019 B3 B Sr Nts GBP 204 79.000 -9.500 -10.73% -10.23% -10.45% 13.52% 1195 bpAir Berlin 8.500% 11/10/2015 NR NR Sr Nts EUR 200 80.250 -9.000 -10.08% -9.83% -10.04% 15.28% 1455 bpEuropcar Groupe 9.375% 4/15/2018 Caa1 B- Sr Sub Nts EUR 400 54.500 -5.500 -9.17% -8.66% -9.00% 23.49% 2201 bpMomentive Performance Materia 9.500% 1/15/2021 Caa1 CCC Sr Nts EUR 150 71.000 -7.000 -8.97% -8.33% -8.59% 15.55% 1352 bpCMA CGM 8.875% 4/15/2019 B3 B- Sr Nts EUR 325 35.500 -3.500 -8.97% -8.24% -8.74% 32.24% 3051 bpCegedim 7.000% 7/27/2015 NR BB- Sr Nts EUR 300 70.500 -6.000 -7.84% -7.41% -7.61% 18.47% 1782 bpAston Martin Capital 9.250% 7/15/2018 B3 BB- Sr Sec Nts GBP 354 65.500 -5.000 -7.09% -6.44% -6.72% 18.49% 1712 bpCentral European Media Enterpr 11.625% 9/15/2016 B2 B- Sr Nts EUR 375 81.000 -6.000 -6.90% -6.43% -6.71% 17.66% 1668 bp

(1) Returns converted hedged to Euro


Exhibit 91: Best and Worst Performers Sorted by Total Return: Last 4 Weeks (1)

PRICE PRICE TOTAL PRINCIPALISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersNorthern Rock 9.375% 10/17/2021 Caa3 BB Nts GBP 175 89.125 10.625 13.54% 14.38% 13.46% 11.25% 899 bpNorske Skogindustrier 7.000% 6/26/2017 Caa1 B- Nts EUR 493 52.500 5.500 11.70% 12.19% 11.10% 22.89% 2165 bpTokyo Electric Power 4.500% 3/24/2014 Ba2 BB+ Sr Sec Nts EUR 1,000 86.000 6.000 7.50% 7.67% 7.25% 11.77% 1142 bpESCADA 7.500% 4/1/2012 Ca D Sr Nts EUR 200 10.500 0.500 5.00% 5.00% 5.00% DefaultedOTE 5.000% 8/5/2013 B2 B Sr Nts EUR 1,243 72.250 2.750 3.96% 4.35% 3.80% 27.99% 2759 bpIron Mountain 7.250% 4/15/2014 B1 B+ Sr Sub Nts GBP 175 101.000 3.000 3.06% 3.61% 3.04% 4.37% 392 bpMoto Finance 10.250% 3/15/2017 NR CCC+ Sr Sec 2nd Lien Nts GBP 205 85.500 2.000 2.40% 3.28% 2.34% 14.24% 1317 bpSouthern Water (Greensands) Fi 8.500% 4/15/2019 NR BB- Sr Sec Nts GBP 291 91.250 2.000 2.24% 2.96% 2.22% 10.21% 857 bpOI European Group 6.750% 9/15/2020 Ba2 BB+ Sr Nts EUR 500 98.250 2.000 2.08% 2.57% 2.04% 7.02% 505 bpDaily Mail and General Trust 7.500% 3/29/2013 NR BB Sr Nts GBP 182 105.000 2.000 1.94% 2.36% 1.81% 3.53% 317 bp

Worst PerformersResidential Capital 8.375% 5/17/2013 Ca CC Sr Nts GBP 43 51.000 -41.000 -44.57% -42.14% -42.82% 72.88% 7252 bpLighthouse International 8.000% 4/30/2014 Ca D Sr Nts EUR 1,300 11.500 -7.000 -37.84% -37.84% -37.84% DefaultedCegedim 7.000% 7/27/2015 NR BB- Sr Nts EUR 300 70.500 -15.000 -17.54% -16.53% -17.15% 18.47% 1782 bpEuropcar Groupe 9.375% 4/15/2018 Caa1 B- Sr Sub Nts EUR 400 54.500 -11.500 -17.42% -16.17% -17.27% 23.49% 2201 bpOntex IV 9.000% 4/15/2019 Caa1 B- Sr Nts EUR 235 71.250 -13.500 -15.93% -15.00% -15.82% 15.72% 1400 bpCMA CGM 8.875% 4/15/2019 B3 B- Sr Nts EUR 325 35.500 -7.000 -16.47% -14.65% -16.25% 32.24% 3051 bpAlcatel-Lucent 8.500% 1/15/2016 B2 B Nts EUR 500 83.000 -15.000 -15.31% -14.24% -14.90% 14.08% 1330 bpCrown Newco 3 8.875% 2/15/2019 B3 B Sr Nts GBP 204 79.000 -13.000 -14.13% -13.13% -13.87% 13.52% 1195 bpAston Martin Capital 9.250% 7/15/2018 B3 BB- Sr Sec Nts GBP 354 65.500 -10.000 -13.25% -11.79% -12.69% 18.49% 1712 bpIdeal Standard International 11.750% 5/1/2018 Caa1 NR Sr Sec Nts EUR 275 61.000 -9.000 -12.86% -11.51% -12.82% 23.94% 2245 bp

(1) Returns converted hedged to Euro Source: Credit Suisse

02 December 2011

Market Update 35

Best and Worst Performers in the Credit Suisse Western European High Yield Index, Non-$US-Denominated Bonds

Exhibit 92: Best and Worst Performers Sorted by Price Move: This Week (1) (2) PRICE PRICE TOTAL PRINCIPAL

ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersHeckler & Koch 9.500% 5/15/2018 Caa1 CCC+ Sr Sec Nts EUR 295 66.000 2.500 3.94% 4.25% 3.92% 18.82% 1732 bpTokyo Electric Power 4.500% 3/24/2014 Ba2 BB+ Sr Sec Nts EUR 1,000 86.000 2.500 2.99% 3.00% 2.89% 11.77% 1142 bpDaily Mail and General Trust 7.500% 3/29/2013 NR BB Sr Nts GBP 182 105.000 2.375 2.31% 2.31% 2.15% 3.53% 317 bpBoardriders 8.875% 12/15/2017 Ba3 B Sr Nts EUR 200 95.000 2.000 2.15% 2.26% 2.06% 10.00% 861 bpHeidelberger Druckmaschinen 9.250% 4/15/2018 Caa1 B- Sr Nts EUR 304 60.250 2.000 3.43% 3.72% 3.37% 20.78% 1930 bpINEOS Group Holdings 7.875% 2/15/2016 Caa1 CCC Sr Nts EUR 1,630 72.000 2.000 2.86% 3.01% 2.77% 17.58% 1677 bpSafilo Capital International 9.625% 5/15/2013 Caa2 CCC+ Sr Nts EUR 135 98.500 2.000 2.07% 2.29% 2.07% 10.77% 1028 bpSouthern Water (Greensands) Fi 8.500% 4/15/2019 NR BB- Sr Sec Nts GBP 291 91.250 2.000 2.24% 2.43% 2.22% 10.21% 857 bpBakkavor Finance 2 8.250% 2/15/2018 B2 B Sr Sec Nts GBP 408 70.000 1.500 2.19% 2.37% 2.11% 16.07% 1481 bpRoyal Caribbean Cruises 5.625% 1/27/2014 Ba2 BB Sr Nts EUR 1,000 98.500 1.500 1.55% 1.60% 1.47% 6.39% 606 bp

Worst PerformersResidential Capital 8.375% 5/17/2013 Ca CC Sr Nts GBP 43 51.000 -11.000 -17.74% -16.30% -16.58% 72.88% 7252 bpCrown Newco 3 8.875% 2/15/2019 B3 B Sr Nts GBP 204 79.000 -9.500 -10.73% -10.23% -10.45% 13.52% 1195 bpAir Berlin 8.500% 11/10/2015 NR NR Sr Nts EUR 200 80.250 -9.000 -10.08% -9.83% -10.04% 15.28% 1455 bpMomentive Performance Materia 9.500% 1/15/2021 Caa1 CCC Sr Nts EUR 150 71.000 -7.000 -8.97% -8.33% -8.59% 15.55% 1352 bpCegedim 7.000% 7/27/2015 NR BB- Sr Nts EUR 300 70.500 -6.000 -7.84% -7.41% -7.61% 18.47% 1782 bpCentral European Media Enterpr 11.625% 9/15/2016 B2 B- Sr Nts EUR 375 81.000 -6.000 -6.90% -6.43% -6.71% 17.66% 1668 bpA.T.U. Auto-Teile-Unger Handels 11.000% 5/15/2014 B3 B- Sr Sec Nts EUR 375 77.500 -5.500 -6.63% -6.30% -6.59% 23.63% 2325 bpEuropcar Groupe 9.375% 4/15/2018 Caa1 B- Sr Sub Nts EUR 400 54.500 -5.500 -9.17% -8.66% -9.00% 23.49% 2201 bpLabco 8.500% 1/15/2018 B3 B+ Sr Sec Nts EUR 500 79.000 -5.500 -6.51% -6.06% -6.28% 13.68% 1226 bp

(1) Returns converted hedged to Euro(2) Includes only issues priced 50 or higher at beginning of period Source: Credit Suisse

Exhibit 93: Best and Worst Performers Sorted by Price Move: Last 4 Weeks (1) (2)

PRICE PRICE TOTAL PRINCIPALISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STWTop PerformersNorthern Rock 9.375% 10/17/2021 Caa3 BB Nts GBP 175 89.125 10.625 13.54% 14.38% 13.46% 11.25% 899 bpTokyo Electric Power 4.500% 3/24/2014 Ba2 BB+ Sr Sec Nts EUR 1,000 86.000 6.000 7.50% 7.67% 7.25% 11.77% 1142 bpIron Mountain 7.250% 4/15/2014 B1 B+ Sr Sub Nts GBP 175 101.000 3.000 3.06% 3.61% 3.04% 4.37% 392 bpOTE 5.000% 8/5/2013 B2 B Sr Nts EUR 1,243 72.250 2.750 3.96% 4.35% 3.80% 27.99% 2759 bpDaily Mail and General Trust 7.500% 3/29/2013 NR BB Sr Nts GBP 182 105.000 2.000 1.94% 2.36% 1.81% 3.53% 317 bpMoto Finance 10.250% 3/15/2017 NR CCC+ Sr Sec 2nd Lien Nts GBP 205 85.500 2.000 2.40% 3.28% 2.34% 14.24% 1317 bpOI European Group 6.750% 9/15/2020 Ba2 BB+ Sr Nts EUR 500 98.250 2.000 2.08% 2.57% 2.04% 7.02% 505 bpSouthern Water (Greensands) Fi 8.500% 4/15/2019 NR BB- Sr Sec Nts GBP 291 91.250 2.000 2.24% 2.96% 2.22% 10.21% 857 bp

Worst PerformersResidential Capital 8.375% 5/17/2013 Ca CC Sr Nts GBP 43 51.000 -41.000 -44.57% -42.14% -42.82% 72.88% 7252 bpAlcatel-Lucent 8.500% 1/15/2016 B2 B Nts EUR 500 83.000 -15.000 -15.31% -14.24% -14.90% 14.08% 1330 bpCegedim 7.000% 7/27/2015 NR BB- Sr Nts EUR 300 70.500 -15.000 -17.54% -16.53% -17.15% 18.47% 1782 bpOntex IV 9.000% 4/15/2019 Caa1 B- Sr Nts EUR 235 71.250 -13.500 -15.93% -15.00% -15.82% 15.72% 1400 bpCrown Newco 3 8.875% 2/15/2019 B3 B Sr Nts GBP 204 79.000 -13.000 -14.13% -13.13% -13.87% 13.52% 1195 bpEuropcar Groupe 9.375% 4/15/2018 Caa1 B- Sr Sub Nts EUR 400 54.500 -11.500 -17.42% -16.17% -17.27% 23.49% 2201 bpEC Finance 9.750% 8/1/2017 B2 B+ Sr Sec Nts EUR 350 75.500 -10.500 -12.21% -10.99% -11.85% 16.58% 1531 bpAston Martin Capital 9.250% 7/15/2018 B3 BB- Sr Sec Nts GBP 354 65.500 -10.000 -13.25% -11.79% -12.69% 18.49% 1712 bpCentral European Media Enterpr 11.625% 9/15/2016 B2 B- Sr Nts EUR 375 81.000 -10.000 -10.99% -9.81% -10.79% 17.66% 1668 bpLabco 8.500% 1/15/2018 B3 B+ Sr Sec Nts EUR 500 79.000 -9.500 -10.73% -9.70% -10.42% 13.68% 1226 bp

(1) Returns converted hedged to Euro(2) Includes only issues priced 50 or higher at beginning of period


02 December 2011

Market Update 36

Exhibit 94: Capital Markets – European Shadow Calendar

Issuer

Procee

dsIssu

eMatu

rity

Call Prov

ision

Offer Typ

e

Underwrite

rs

Moodys SP

Compan

y Desc

ription

DEALS EXPECTED TO PRICE BY 12/9/11Other 144A (Equiv Euro) 0.0

TOTAL (Equiv Euro) 0.0

DEALS EXPECTED TO PRICE AFTER 12/9/11Other 144A (Equiv Euro) 0.0

TOTAL (Equiv Euro) 0.0

Euro MM # IssuesGrand Total 0.0 0


Registration statements relating to the above public securities have been filed with the Securities and Exchange Commission but have not yet become effective. These securities may not be sold nor may offers to buy be accepted prior to the time the registration statements become effective. This calendar shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of these securities in any State in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such States. A prospectus may be obtained by contacting one of the managing underwriters.

02 Decem

ber 2011

Market U

pdate

37

Exhibit 95: 2011 European New High Yield Issues *Deals listed as of trade date; 144(a) deals shown after closing date.

Date Issue ty

pe

Issue

r

Procee

dsIss

ue Desc

riptio

n

Country

Industr

y

Issuer

descri

ption

Coupo

n

Maturity

Issuan

ce pri

ce

Issuanc

e yield

Issuan

ce sp

readFirs

t call

Moody

sSP

11/9/11 144A HeidelbergCeme nt Finance EUR 215.000 Sr Nts GER Housing cement, concrete, other build ing p rodu cts 9 .500% 1 2/15/18 107.50 0 8.07 7% 688 m aturity Ba2 BB+11/9/11 144A Pe troleum Geo-Services USD 295.914 Sr Nts NORWY Energy oilfield service s 7 .375% 1 2/15/18 98.63 8 7.62 5% 622 1 2/15/15 @ 103.688 Ba2 BB11/8/11 144A UPCB Fina nce USD 750.000 Sr Se c Nts NETH Med ia/Telecom broadband ca ble o pera tor 7 .250% 1 1/15/21 100.00 0 7.25 0% 517 1 1/15/16 @ 103.625 Ba3 B+11/4/11 144A LyondellBasell Industries USD 1000.000 Sr Nts NETH Chemica ls chemicals producer 6 .000% 1 1/15/21 100.00 0 6.00 0% 397 m aturity Ba1 BB+11/4/11 144A Norcell Swede n Holding EUR 272.648 Sr Nts SWED Med ia/Telecom Swedish cable TV op erato r 10 .750% 9/29/19 94.98 0 11.75 0% 1026 1 1/14/15 @ 105.375 Caa1 CCC+11/3/11 144A Faurecia EUR 348.177 Sr Nts FRA Trans car p arts manu factu rer in France 9 .375% 1 2/15/16 99.47 9 9.50 0% 846 m aturity Ba3 NR

10/10/11 14 4A Float FMC Finance VIII EUR 100.000 Sr Nts GER Health ca re provider of dialysis prod ucts an d service s L+350 1 0/15/16 100.00 0 m aturity Ba2 BB10/10/11 144A HeidelbergCeme nt CHF 150.000 Sr Nts GER Housing cement, concrete, other build ing p rodu cts 7 .250% 1 1/14/17 100.00 0 7.25 0% 645 m aturity Ba2 BB9/28/11 144A HeidelbergCeme nt Finance EUR 297.912 Sr Nts GER Housing cement, concrete, other build ing p rodu cts 9 .500% 1 2/15/18 99.30 4 9.62 5% 809 m aturity Ba2 BB9/27/11 144A Pe ugeot EUR 497.940 Sr Nts FRA Trans automo bile mfr 6 .875% 3/30/16 99.58 8 7.00 0% 597 m aturity Baa3 BB+9/8/11 144A FMC Finance VIII EUR 394.492 Sr Nts GER Health ca re provider of dialysis prod ucts an d service s 6 .500% 9/15/18 98.62 3 6.75 0% 539 m aturity Ba2 BB9/8/11 144A Fresenius M edical Care US Finance II USD 394.492 Sr Nts GER Health ca re provider of dialysis prod ucts an d service s 6 .500% 9/15/18 98.62 3 6.75 0% 535 m aturity Ba2 BB7/26/11 144A Bo rmioli Rocco Holdings EUR 250.000 Sr Se c Nts ITAL Y Forest Prod/Con t pharma and co nsu mer g lass packaging 10 .000% 8/1/18 100.00 0 10.00 0% 767 8 /1/14 @ 107.5 B1 BB-7/20/11 144A Capsuge l Fina nceCo EUR 325.000 Sr Nts Health ca re pill casing s & drug delivery technologies 9 .875% 8/1/19 100.00 0 9.87 5% 739 8 /1/14 @ 107.406 Caa1 B7/8/11 144A Brennta g Finance EUR 397.284 Sr Nts GER Chemica ls specia lty chemicals supplier 5 .500% 7/19/18 99.32 1 5.62 0% 319 m aturity Ba1 BBB-7/8/11 144A Greif Luxembou rg Fina nce EUR 200.000 Sr Nts Forest Prod/Con t mfr corrugated, fiber, ste el, plastic con taine rs 7 .375% 7/15/21 100.00 0 7.37 5% 457 m aturity Ba2 BB7/6/11 144A Nara Cab le Funding EUR 297.000 Sr Se c Nts SPAIN Med ia/Telecom telecom & cable TV in Spain 8 .875% 12/1/18 99.00 0 9.06 0% 645 1 2/1/13 @ 108.875 NR B7/5/11 144A Fiat Finance & Trad e EUR 600.000 Sr Nts ITAL Y Trans auto mfr 7 .375% 7/8/18 100.00 0 7.37 5% 473 m aturity Ba1 BB7/5/11 144A Fiat Finance & Trad e EUR 900.000 Sr Nts ITAL Y Trans auto mfr 6 .125% 7/8/14 100.00 0 6.12 5% 438 m aturity Ba1 BB6/21/11 Pub Wien erbe rger EUR 99.230 Sr Nts AUSTRIA Housing manuf. b ricks, concrete, pavers, roofing & pipes 5 .250% 7/4/18 99.23 0 5.38 5% 278 m aturity Ba1 BB6/17/11 144A Kinove German Bond co USD 350.000 Sr Se c Nts GER Chemica ls produces carbo n bla ck 9 .625% 6/15/18 100.00 0 9.62 5% 739 6 /15/14 @ 107.219 B2 B6/17/11 144A Kinove German Bond co EUR 355.000 Sr Se c Nts GER Chemica ls produces carbo n bla ck 10 .000% 6/15/18 100.00 0 10.00 0% 743 6 /15/14 @ 107.5 B2 B6/10/11 144A Aston Martin Capita l GBP 300.105 Sr Se c Nts UK Trans automo bile mfr 9 .250% 7/15/18 98.71 9 9.50 0% 693 7 /15/14 @ 106.9375 B2 BB-6/10/11 144A Ka bel Deutschland Vertrieb Un d Service EUR 500.000 Sr Se c Nts GER Med ia/Telecom cable TV and internet svcs in Germany 6 .500% 6/29/18 100.00 0 6.50 0% 393 6 /29/14 @ 103.25 Ba2 BB-6/9/11 14 4A Float Sto lt-Nielse n NOK 1600.000 Sr Nts UK Trans ships chem icals and other bulk liquids L+475 6/22/16 100.00 0 m aturity NR NR6/8/11 Pub Ba rry Callebaut Services EUR 248.150 Sr Nts SWISS Food/Tob chocolate supplier 5 .375% 6/15/21 99.26 0 5.47 3% 242 m aturity Baa3 BB+6/8/11 14 4A Float Telenet Fin ance IV Luxembou rg EUR 400.000 Sr Se c Nts BELGIUM Med ia/Telecom cable svcs provider L+387.5 6/15/21 100.00 0 6 /15/14 @ 102 Ba3 NR6/7/11 144A Norske Skogindustrie r EUR 143.237 Sr Nts NORWY Forest Prod/Con t newsp rint & sp ecialty papers 11 .750% 6/15/16 95.49 1 13.00 0% 1063 m aturity B2 B-5/26/11 144A Intern ation al Auto motive Compon ents Gro USD 300.000 Sr Se c 2 nd Pr Nts LUXEM Trans auto comp onents and systems supplier 9 .125% 6/1/18 100.00 0 9.12 5% 676 6 /1/15 @ 104.563 B3 B5/26/11 144A Ve danta Resources USD 750.000 Sr Nts UK Meta ls/Mins metal/minin g focusing on zinc & aluminum in India 6 .750% 6/7/16 100.00 0 6.75 0% 502 m aturity Ba2 BB5/26/11 144A Ve danta Resources USD 900.000 Sr Nts UK Meta ls/Mins metal/minin g focusing on zinc & aluminum in India 8 .250% 6/7/21 100.00 0 8.25 0% 519 m aturity Ba2 BB5/26/11 144A Xe fin L ux EUR 300.000 Sr Se c Nts GER Housing mfrs construction materials and produces lime 8 .000% 6/1/18 100.00 0 8.00 0% 534 6 /1/14 @ 106 Ba3 B+5/25/11 144A Compa gnie Ge nera le d e Ge ophysiqu e-Ve USD 626.899 Sr Nts FRA Energy oilfield service s; m fr. geop hysical equip. 6 .500% 6/1/21 96.44 6 7.00 0% 387 6 /1/16 @ 103.25 Ba3 BB-5/24/11 Pub Rexel EUR 499.965 Sr Nts FRA Mfg electrical pa rts distributor 7 .000% 1 2/17/18 99.99 3 7.00 0% 420 6 /17/15 @ 103.5 Ba3 BB-5/23/11 144A Ga la Electric Casinos GBP 268.037 Sr Nts UK Gaming/Leisure gaming an d gambling group 11 .500% 6/1/19 97.46 8 12.00 0% 898 6 /1/15 @ 105.75 Caa2 CCC+5/23/11 144A Ga la Group Finan ce GBP 350.000 Sr Se c Nts UK Gaming/Leisure gaming an d gambling group 8 .875% 9/1/18 100.00 0 8.87 5% 601 6 /1/14 @ 106.656 B2 B+5/23/11 144A House of Fra se r (Fund ing) GBP 249.865 Sr Se c Nts UK Retail operates depa rtmen t stores 8 .875% 8/15/18 99.94 6 8.87 5% 616 8 /15/14 @ 106.6563 B3 B+5/17/11 Pub Renau lt EUR 497.295 Sr Nts FRA Trans automo bile man ufacture r 4 .625% 5/25/16 99.45 9 4.74 9% 230 m aturity Ba1 BB+5/13/11 144A ARD Fin ance USD 345.000 Sr PIK Nts IRE Forest Prod/Con t glass p ackag er 11 .125% 6/1/18 100.00 0 11.12 3% 862 6 /1/14 @ 105.563 Caa1 B-5/13/11 144A ARD Fin ance EUR 185.000 Sr PIK Nts IRE Forest Prod/Con t glass p ackag er 11 .125% 6/1/18 100.00 0 11.12 3% 836 6 /1/14 @ 105.563 Caa1 B-5/13/11 144A ODEON & UCI Finco GBP 300.000 Sr Se c Nts UK Med ia/Telecom cinema operator 9 .000% 8/1/18 100.00 0 9.00 0% 622 8 /1/14 @ 106.75 B3 B5/13/11 14 4A Float ODEON & UCI Finco EUR 200.000 Sr Se c Nts UK Med ia/Telecom cinema operator L+500 8/1/18 100.00 0 8 /1/12 @ 101 B3 B5/12/11 Pub FCE Ban k EUR 499.410 Sr Nts UK Trans automo bile mfr 4 .750% 1/19/15 99.88 2 4.79 3% 272 m aturity Ba2 BB5/12/11 Pub Ge rresheim er EUR 298.200 Sr Nts GER Forest Prod/Con t mfr of hig h quality glass and plastic pa ckaging 5 .000% 5/19/18 99.40 0 5.10 4% 229 m aturity Ba1 BBB-5/12/11 144A Ideal Standard EUR 25.688 Sr Se c Nts BELGIUM Cons Dur bathroom fixture s an d pro ducts 11 .750% 5/1/18 102.75 0 11.16 7% 837 5 /1/14 @ 108.8125 Caa1 NR5/12/11 144A Ja guar Land Rove r USD 410.000 Sr Nts UK Trans automo bile mfr 7 .750% 5/15/18 100.00 0 7.75 0% 520 5 /15/14 @ 105.813 B1 B+5/12/11 144A Ja guar Land Rove r USD 410.000 Sr Nts UK Trans automo bile mfr 8 .125% 5/15/21 100.00 0 8.12 5% 490 5 /15/16 @ 104.063 B1 B+5/12/11 144A Ja guar Land Rove r GBP 500.000 Sr Nts UK Trans automo bile mfr 8 .125% 5/15/18 100.00 0 8.12 5% 533 5 /15/14 @ 106.094 B1 B+


02 Decem

ber 2011

Market U

pdate

38

Exhibit 96: 2011 European New High Yield Issues *Deals listed as of trade date; 144(a) deals shown after closing date.

Date Issue ty

pe

Issue

r

Procee

dsIss

ue Desc

riptio

n

Country

Industr

y

Issuer

descri

ption

Coupo

n

Maturity

Issuan

ce pri

ce

Issuanc

e yield

Issuan

ce sp

readFirs

t call

Moody

sSP

5/12/11 144A Navios Maritime Acquisitio n USD 107.363 1st Mtg N ts GREC Trans carg o transpo rter 8 .625% 11/1/17 102.25 0 8.16 6% 579 1 1/1/13 @ 104.313 B2 B5/12/11 144A Pa gesJaunes Finan ce EUR 347.736 Sr Se c Nts FRA Med ia/Telecom French dire cto ry co. 8 .875% 6/1/18 99.35 3 9.00 0% 621 6 /1/14 @ 106.656 B2 NR5/12/11 144A Styrolution Group EUR 480.000 Sr Se c Nts GER Chemica ls styrene-derived petroche mical products 7 .625% 5/15/16 100.00 0 7.62 5% 519 5 /15/13 @ 105.719 B2 B+5/11/11 14 4A Float Refresco Group EUR 300.000 Sr Se c Nts NETH Food/Tob beverage mfr L+400 5/15/18 100.00 0 5 /15/12 @ 101 B1 BB-5/11/11 144A Refresco Group EUR 360.000 Sr Se c Nts NETH Food/Tob beverage mfr 7 .375% 5/15/18 100.00 0 7.37 5% 456 5 /15/14 @ 105.5313 B1 BB-5/10/11 144A EC Finance EUR 109.750 Sr Se c Nts FRA Service car rental 9 .750% 8/1/17 109.75 0 7.74 0% 507 8 /1/14 @ 104.875 B2 B+5/6/11 144A Heckle r & Koch EUR 291.313 Sr Se c Nts GER Aerospace defense con tractor in small arm s 9 .500% 5/15/18 98.75 0 9.75 0% 687 5 /15/14 @ 107.125 Caa1 CCC+5/6/11 144A Se nsata Te chn olo gies USD 700.000 Sr Nts NETH Info Tech engineered sensors & con trols 6 .500% 5/15/19 100.00 0 6.50 0% 377 5 /15/15 @ 103.25 B3 B5/6/11 144A Zinc Capital EUR 300.000 Sr Se c Nts SPAIN Service re cycles indu str ial steel wa stes 8 .875% 5/15/18 100.00 0 8.87 5% 598 5 /15/14 @ 106.656 B2 B+5/5/11 144A Finansbank USD 496.920 Sr Nts TURK Fina ncial re tail bank in Tu rkey 5 .500% 5/11/16 99.38 4 5.64 3% 376 m aturity Ba1 NR4/20/11 Pub Co-operative Ban k GBP 142.676 Sr Su b Nts UK Fina ncial commercial bank 9 .250% 4/28/21 100.00 0 9.25 0% 564 m aturity Ba1 NR4/20/11 144A Ideal Standard International EUR 250.000 Sr Se c Nts BELGIUM Cons Dur bathroom fixture s an d pro ducts 11 .750% 5/1/18 100.00 0 11.75 0% 879 5 /1/14 @ 108.8125 Caa1 NR4/19/11 144A Dematic USD 300.000 Sr Se c Nts GER Service manufa ctu ring and sup ply chain mgmt solutions 8 .750% 5/1/16 100.00 0 8.75 0% 668 5 /1/13 @ 104.375 B3 B4/18/11 144A Calcipa r USD 450.000 Sr Se c Nts BELGIUM Chemica ls producer o f lime and lime-related p rodu cts 6 .875% 5/1/18 100.00 0 6.87 5% 412 5 /1/15 @ 103.438 B1 BB-4/15/11 144A Frostbite 1 EUR 197.960 Sr PIK Nts SWED Cons Dur cooling equipment and applian ce s for vehicles 12 .750% 5/4/19 98.00 0 13.01 9% 986 5 /4/14 @ 106.375 Caa1 CCC+4/15/11 144A GCL Ho ldings EUR 200.000 Sr Nts ITAL Y Forest Prod/Con t mfrs conta iners for con sum er products 9 .375% 4/15/18 100.00 0 9.37 5% 635 4 /15/14 @ 107.031 Caa1 CCC+4/15/11 144A Ge o Travel Finance EUR 175.000 Sr Nts LUXEM Service onlin e travel agen cy services 10 .375% 5/1/19 100.00 0 10.37 5% 722 5 /1/14 @ 107.781 Caa1 B-4/15/11 144A Go odyear Dunlop Tires Europ e EUR 250.000 Sr Nts Trans tire mfg 6 .750% 4/15/19 100.00 0 6.75 0% 359 4 /15/15 @ 103.375 Ba2 BB4/14/11 144A AL BA Group EUR 200.299 Sr Nts GER Service waste m anageme nt so lutions 8 .000% 5/15/18 98.66 9 8.25 0% 518 5 /15/14 @ 106 B3 B4/14/11 144A Bo para n Finance EUR 337.892 Sr Nts UK Food/Tob food supp lier 9 .750% 4/30/18 99.38 0 9.87 3% 681 4 /30/14 @ 107.313 Ba3 B+4/14/11 144A Bo para n Finance GBP 397.520 Sr Nts UK Food/Tob food supp lier 9 .875% 4/30/18 99.38 0 9.99 8% 688 4 /30/14 @ 107.406 Ba3 B+4/14/11 144A CMA CGM USD 475.000 Sr Nts FRA Trans container sh ipping 8 .500% 4/15/17 100.00 0 8.50 0% 594 4 /15/14 @ 104.25 B2 B-4/14/11 144A CMA CGM EUR 325.000 Sr Nts FRA Trans container sh ipping 8 .875% 4/15/19 100.00 0 8.87 5% 567 4 /15/15 @ 104.438 B2 B-4/14/11 144A Elster Finance EUR 250.000 Sr Nts GER Mfg makes gas, electricity and water meters 6 .250% 4/15/18 100.00 0 6.25 0% 318 4 /15/14 @ 104.688 Ba2 BB-4/14/11 Pub So uthern Water (Gre ensands) Financin g GBP 250.000 Sr Se c Nts UK Utility wate r and sewage u tility provid er 8 .500% 4/15/19 100.00 0 8.50 0% 510 m aturity NR BB-4/13/11 144A Ocean Rig UDW USD 500.000 Sr Nts CYPR Energy off-sho re contract dr illing 9 .500% 4/27/16 100.00 0 9.50 0% 733 4 /27/14 @ 104.5 NR NR4/13/11 144A Turkiye Garanti Ba nka si USD 495.430 Sr Nts TURK Fina ncial re tail bank in Tu rkey 6 .250% 4/20/21 99.08 6 6.37 5% 292 m aturity Ba1 NR4/11/11 Pub Air Berlin EUR 150.000 Sr Nts GER Aerospace Germa n Airline 8 .250% 4/19/18 100.00 0 8.25 0% 509 m aturity NR NR4/11/11 Pub Wendel EUR 297.972 Sr Nts FRA Fina ncial investm ent sponsor spe cializing in mfg and se rvice com 6 .750% 4/20/18 99.32 4 6.87 5% 371 m aturity NR BB-4/7/11 14 4A Float KION Finance EUR 175.000 Sr Se c Nts GER Mfg mfrs forklifts and oth er industr ial equipmen t L+425 4/15/18 100.00 0 4 /15/12 @ 101 B2 B4/7/11 144A KION Finance EUR 325.000 Sr Se c Nts GER Mfg mfrs forklifts and oth er industr ial equipmen t 7 .875% 4/15/18 100.00 0 7.87 5% 481 4 /15/14 @ 103.9375 B2 B4/6/11 144A Matalan Finan ce GBP 247.500 Sr Se c Nts UK Retail UK clothin g reta iler 8 .875% 4/30/16 99.00 0 9.12 4% 660 4 /30/13 @ 104.438 Ba1 BB4/5/11 144A Crown Newco 3 GBP 208.060 Sr Se c Nts UK Health ca re operates nursing h omes and treatmen t cen ters 7 .000% 2/15/18 101.00 0 6.81 1% 358 2 /15/14 @ 105.25 B1 BB4/4/11 Pub OTE EUR 498.370 Sr Nts GREC Med ia/Telecom fixed -lin e vo ice telepho ny a nd interne t acce ss services 7 .250% 4/8/14 99.67 4 7.37 5% 530 m aturity Baa3 BB4/4/11 144A Pe rnod Rica rd USD 990.650 Sr Nts FRA Food/Tob wine an d sp irits producer 5 .750% 4/7/21 99.06 5 5.87 5% 245 m aturity Ba1 BB+4/1/11 Pub Tham es Water (Kemble) Finance GBP 400.000 Sr Se c Nts UK Utility wate r and wastewa ter utility 7 .750% 4/1/19 100.00 0 7.75 0% 430 m aturity B1 NR3/31/11 144A Ferrexpo Finance USD 500.000 Sr Nts SWISS Meta ls/Mins iron ore pellet producer in the Ukarine 7 .875% 4/7/16 100.00 0 7.87 5% 560 m aturity B3 B+3/31/11 144A Heidelberger Druckmaschinen EUR 300.154 Sr Nts GER Mfg manufa ctu res printing p resses for p aper & en ve lop es 9 .250% 4/15/18 98.73 5 9.50 0% 650 4 /15/14 @ 106.9375 Caa1 B-3/29/11 Pub Fiat Finance & Trad e EUR 1000.000 Sr Nts ITAL Y Trans auto mfr 6 .375% 4/1/16 100.00 0 6.37 5% 372 m aturity Ba1 BB3/25/11 144A Ap eram USD 250.000 Sr Nts LUXEM Meta ls/Mins producer o f sta inless ste el a nd other specialty metals 7 .750% 4/1/18 100.00 0 7.75 0% 491 4 /1/15 @ 103.875 B1 BB3/25/11 144A Ap eram USD 250.000 Sr Nts LUXEM Meta ls/Mins producer o f sta inless ste el a nd other specialty metals 7 .375% 4/1/16 100.00 0 7.37 5% 522 1 0/1/13 @ 103.688 B1 BB3/24/11 144A eAccess EUR 200.000 Sr Nts JAPAN Med ia/Telecom mobile bro adband a nd voice services in Japan 8 .375% 4/1/18 100.00 0 8.37 5% 550 4 /1/15 @ 104.188 Ba3 BB3/24/11 144A On tex IV EUR 235.000 Sr Nts BELGIUM Cons N-Dur sells feminine, baby and sen ior hygienic disposables 9 .000% 4/15/19 100.00 0 9.00 0% 598 4 /15/15 @ 104.5 B3 B-3/24/11 144A On tex IV EUR 320.000 Sr Se c Nts BELGIUM Cons N-Dur sells feminine, baby and sen ior hygienic disposables 7 .500% 4/15/18 100.00 0 7.50 0% 463 4 /15/14 @ 103.75 Ba3 B+3/24/11 14 4A Float On tex IV EUR 280.000 Sr Se c Nts BELGIUM Cons N-Dur sells feminine, baby and sen ior hygienic disposables L+412.5 4/15/18 100.00 0 4 /15/12 @ 101 Ba3 B+3/24/11 144A Ph ones4U Finance GBP 430.000 Sr Se c Nts UK Retail telecom equipmen t retailer 9 .500% 4/1/18 100.00 0 9.50 0% 645 4 /1/14 @ 104.75 B3 B+3/23/11 144A Ka bel BW USD 500.000 Sr Se c Nts GER Med ia/Telecom cable TV and internet services in Ge rman y 7 .500% 3/15/19 100.00 0 7.50 0% 456 3 /15/15 @ 103.75 B1 B+3/23/11 14 4A Float Ka bel BW EUR 420.000 Sr Se c Nts GER Med ia/Telecom cable TV and internet services in Ge rman y L+425 3/15/18 100.00 0 3 /15/12 @ 101 B1 B+


02 Decem

ber 2011

Market U

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39

Exhibit 97: 2011 European New High Yield Issues Deals listed as of trade date; 144(a) deals shown after closing date.

Date Issue ty

pe

Issue

r

Procee

dsIss

ue Desc

riptio

n

Country

Industr

y

Issuer

descri

ption

Coupo

n

Maturity

Issuan

ce pri

ce

Issuanc

e yield

Issuan

ce sp

readFirs

t call

Moody

sSP

3/23/11 144A Ka bel BW EUR 800.000 Sr Se c Nts GER Med ia/Telecom cable TV and internet services in Ge rman y 7 .500% 3/15/19 100.00 0 7.50 0% 448 3 /15/15 @ 103.75 B1 B+3/23/11 144A Magyar Telecom EUR 79.200 Sr Se c Nts HNGRY Med ia/Telecom telecom services in Hungary 9 .500% 1 2/15/16 99.00 0 9.72 6% 712 1 2/15/12 @ 109.5 NR NR3/23/11 144A Muske teer EUR 680.000 Sr Nts GER Med ia/Telecom cable TV and internet services in Ge rman y 9 .500% 3/15/21 100.00 0 9.50 0% 629 3 /15/16 @ 104.75 Caa1 B-3/18/11 Pub Ob rascon Huarte L ain EUR 425.000 Sr Nts SPAIN Service construction and engineering 8 .750% 3/15/18 100.00 0 8.75 0% 593 3 /15/15 @ 104.375 Ba2 NR3/17/11 144A Hyva Globa l USD 375.000 Sr Se c Nts NETH Trans hydraulic power pa rts and systems for com'l veh icles 8 .625% 3/24/16 100.00 0 8.62 5% 671 3 /24/14 @ 104.3125 B1 B+3/15/11 Pub Scan din avian Airlines System SEK 1300.000 Sr Nts SWED Aerospace airlin e 10 .500% 6/16/14 100.00 0 10.50 0% 814 m aturity Caa1 B-3/15/11 Pub Scan din avian Airlines System EUR 75.000 Sr Nts SWED Aerospace airlin e 9 .650% 6/16/14 100.00 0 9.65 0% 770 m aturity Caa1 B-3/10/11 144A Moto Finan ce GBP 170.321 Sr Se c 2 nd Lien Nts UK Trans motor service area operator 10 .250% 3/15/17 96.77 3 11.00 0% 828 3 /15/14 @ 107.6875 NR CCC+3/8/11 14 4A Float Grohe Holding EUR 500.000 Sr Se c Nts GER Housing mfr of sa nita ry fittings and plum bin g fixtures L+400 9/15/17 100.00 0 3 /15/12 @ 101 B2 B-3/8/11 Pub Pe rnod Rica rd EUR 995.950 Sr Nts FRA Food/Tob wine an d sp irits producer 5 .000% 3/15/17 99.59 5 5.08 0% 229 m aturity Ba1 BB+3/7/11 Pub Fiat Industr ial Finan ce Eu rope EUR 1000.000 Sr Nts ITAL Y Mfg mfrs trucks an d agricultura l/construction e quipment 5 .250% 3/11/15 100.00 0 5.25 0% 292 m aturity Ba2 BB+3/7/11 Pub Fiat Industr ial Finan ce Eu rope EUR 1200.000 Sr Nts ITAL Y Mfg mfrs trucks an d agricultura l/construction e quipment 6 .250% 3/9/18 100.00 0 6.25 0% 330 m aturity Ba2 BB+3/3/11 144A Akba nk USD 498.280 Sr Nts TURK Fina ncial re tail bank in Tu rkey 6 .500% 3/9/18 99.65 6 6.56 2% 358 m aturity Ba1 NR2/11/11 144A Afren USD 50.696 Sr Se c Nts UK Energy oil & gas exploratio n & prod uction in Afr ica 11 .500% 2/1/16 101.39 2 11.12 5% 877 m aturity NR B-2/9/11 144A Telenet Fin ance Luxembo urg III EUR 300.000 Sr Se c Nts BELGIUM Med ia/Telecom cable svcs provider 6 .625% 2/15/21 100.00 0 6.62 5% 335 2 /15/16 @ 103.313 Ba3 NR2/7/11 144A UPCB Fina nce USD 1000.000 Sr Se c Nts NETH Med ia/Telecom broadband ca ble o pera tor 6 .625% 7/1/20 100.00 0 6.62 5% 310 7 /1/15 @ 103.313 Ba3 B+2/4/11 144A Towerg ate Finance GBP 230.000 Sr Se c Nts UK Fina ncial insu rance a nd fin ancial advisory services 8 .500% 2/15/18 100.00 0 8.50 0% 513 2 /15/14 @ 106.375 B1 NR2/4/11 144A Towerg ate Finance GBP 290.000 Sr Nts UK Fina ncial insu rance a nd fin ancial advisory services 10 .500% 2/15/19 100.00 0 10.50 0% 685 2 /15/15 @ 105.25 B3 NR2/1/11 144A Ardagh Pa ckag ing Finance EUR 211.750 Sr Nts IRE Forest Prod/Con t glass p ackag er 9 .250% 1 0/15/20 105.87 5 8.35 0% 518 1 0/15/15 @ 104.625 B3 B-1/28/11 144A Ba kkavor Finance 2 GBP 350.000 Sr Se c Nts ICELAND Food/Tob provider of prepared fresh food 8 .250% 2/15/18 100.00 0 8.25 0% 509 2 /15/15 @ 104.125 B2 B1/27/11 144A Afren USD 445.847 Sr Se c Nts UK Energy oil & gas exploratio n & prod uction in Afr ica 11 .500% 2/1/16 99.07 7 11.75 0% 976 m aturity NR B-1/27/11 144A Crown Newco 3 GBP 175.000 Sr Nts UK Health ca re operates nursing h omes and treatmen t cen ters 8 .875% 2/15/19 100.00 0 8.87 5% 537 2 /15/15 @ 104.4375 B3 B1/27/11 144A Crown Newco 3 GBP 425.000 Sr Se c Nts UK Health ca re operates nursing h omes and treatmen t cen ters 7 .000% 2/15/18 100.00 0 7.00 0% 380 2 /15/14 @ 105.25 Ba3 BB1/26/11 144A FMC Finance VII EUR 300.000 Sr Nts GER Health ca re provider of dialysis prod ucts an d service s 5 .250% 2/15/21 100.00 0 5.25 0% 209 m aturity Ba2 BB1/26/11 144A Fresenuis M edical Care US Finance USD 643.890 Sr Nts GER Health ca re provider of dialysis prod ucts an d service s 5 .750% 2/15/21 99.06 0 5.87 5% 246 m aturity Ba2 BB1/24/11 144A Ag uila 3 USD 425.000 Sr Se c Nts SWISS Aerospace airpo rt ground an d cargo h andling 7 .875% 1/31/18 100.00 0 7.87 5% 513 1 /31/14 @ 105.906 B2 B1/24/11 144A Ag uila 3 CHF 350.000 Sr Se c Nts SWISS Aerospace airpo rt ground an d cargo h andling 7 .875% 1/31/18 100.00 0 7.87 5% 636 1 /31/14 @ 105.906 B2 B1/24/11 144A Isb ank USD 495.660 Sr Nts TURK Fina ncial re tail bank in Tu rkey 5 .100% 2/1/16 99.13 2 5.30 0% 329 m aturity Ba1 BBB-1/21/11 144A An glian Wa ter/Ospre y Fin ancin g GBP 350.000 Sr Nts UK Food/Tob drinking wa ter supp lier 7 .000% 1/31/18 100.00 0 7.00 0% 378 m aturity Ba3 NR1/21/11 144A ONO Finance 2 USD 225.000 Sr Nts SPAIN Med ia/Telecom telecom & cable TV in Spain 10 .875% 7/15/19 100.00 0 10.87 5% 780 1 /15/14 @ 110.875 Caa2 CCC1/21/11 144A ONO Finance 2 EUR 295.000 Sr Nts SPAIN Med ia/Telecom telecom & cable TV in Spain 11 .125% 7/15/19 100.00 0 11.12 5% 812 1 /15/14 @ 111.125 Caa2 CCC1/20/11 Pub Pe ugeot EUR 348.509 Sr Nts FRA Trans automo bile mfr 4 .000% 1 0/28/13 99.57 4 4.16 1% 254 m aturity Baa3 BB+1/20/11 Pub Pe ugeot EUR 148.977 Sr Nts FRA Trans automo bile mfr 5 .000% 1 0/28/16 99.31 8 5.13 5% 258 m aturity Baa3 BB+1/20/11 144A UPCB Fina nce EUR 750.000 Sr Se c Nts NETH Med ia/Telecom broadband ca ble o pera tor 6 .375% 7/1/20 100.00 0 6.37 5% 328 7 /1/16 @ 103.188 Ba3 B+1/14/11 144A Labco EUR 500.000 Sr Se c Nts FRA Health ca re clinical laboratory services provide r 8 .500% 1/15/18 100.00 0 8.50 0% 588 1 /15/14 @ 106.375 B3 B+1/13/11 144A Navios Maritime Holdings USD 350.000 Sr Nts GREC Trans carg o transpo rter 8 .125% 2/15/19 100.00 0 8.12 5% 528 2 /15/15 @ 104.063 B3 B+1/12/11 144A Grifols USD 1100.000 Sr Nts SPAIN Health ca re pharmaceuticals an d bio technology pdts 8 .250% 2/1/18 100.00 0 8.25 0% 554 2 /1/14 @ 106.188 B3 B1/11/11 144A Cirsa Funding Luxemb ourg EUR 281.400 Sr Nts SPAIN Gaming/Leisure Spanish le isure and ga ming co mpany 8 .750% 5/15/18 100.50 0 8.65 2% 608 5 /15/14 @ 104.375 B3 B+

# Issues$US Is suance (Euro equiv) 1 2997.934 36Non-$US Is suance (Euro equiv) 3 4489.886 98Total Issuance (Euro equiv) 4 7487.820 13 4


02 Decem

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Market U

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40

Exhibit 98: 2011 European New High Yield Issues by Industry

Utility1.6%

Service3.2%

Media/Telecom: Diversified Media

1.6%

Manufacturing8.0%

Aerospace2.8%

Metals/Minerals4.2%

Media/Telecom: W'less Comm

0.4%

Housing2.3%

Media/Telecom: Telecom

1.3%

Gaming/Leisure2.2%

Media/Telecom: Cable/Wireless

Video12.8%

Forest Prod/Containers

3.9%


1.1%

Healthcare9%

Financial5.6%

Chemicals5.7%

Energy2.3%

Consumer Non-Durables

1.2%Consumer Durables

1.1%

Food/Tobacco8.8%

Retail2.4%Transportation

18.5%


02 December 2011

Market Update 41

Western European Leveraged Loan Market The Credit Suisse Western European Leveraged Loan Index (hedged, in euro) returned -0.13% for the week ending December 1, 2011, 0.05% month to date, and -0.95% year to date. The discount margin, assuming a three-year average life, widened 9 bp during the week to 836 bp. The average price fell to 83.12, a -0.33-point decrease.

Exhibit 99: Western European Leveraged Loan Index Summary for the Week Ending December 01, 2011 Outperforming Industries Underperforming IndustriesWireless Communications 1.77% Telecommunications -4.03%Utility 0.64% Consumer Non-Durables -1.17%Manufacturing 0.48% Housing -1.07%

Outperforming Sectors Underperforming Sectors$0MM to $100MM in Size 0.34% Upper Tier -0.27%Covenant Lite 0.25% $301MM and Over in Size -0.25%$201MM to $300MM in Size 0.23% Cyclical -0.22%


Exhibit 100: Western European Leveraged Loan Secondary Market Monitor Week Ending Cumulative Total Return (1)

TOTAL RETURN 10/27/2011 11/3/2011 11/10/2011 11/17/2011 11/22/2011 12/1/2011 1Q11 2Q11 3Q11 Sep-11 Oct-11 Nov-11 2010 YTD (2)10-YEAR UK GOVERNMENT BOND (3) -1.33% 2.09% 1.28% 0.04% 0.49% -0.68% -0.64% 3.32% 10.42% 3.56% 0.14% 1.24% 10.14% 15.37%10-YEAR EURO GOVERNMENT BOND (4) -1.77% 2.64% 1.22% -0.95% -0.21% -1.64% -2.55% 3.91% 11.14% 3.15% -1.04% -1.51% 7.51% 10.70%

CS West Euro Lev Loan Index (Hedged, In Euro) (4) 1.28% -0.28% 0.06% -0.11% -0.08% -0.13% 4.38% 0.01% -5.89% -1.92% 1.92% -1.13% 8.53% -0.95%CS West Euro HY Index (Hedged, In Euro) (4) 2.75% -0.77% -0.48% -0.19% -0.88% -0.95% 2.83% 0.82% -8.63% -3.44% 6.54% -3.94% 14.63% -2.78%CS Leveraged Loan Index 1.20% 0.12% 0.23% -0.07% -0.40% -0.05% 2.65% 0.33% -4.50% -0.52% 2.59% -0.38% 9.97% 0.55%CS High Yield Index 2.49% -0.02% -0.58% -0.47% -0.93% 0.58% 3.77% 1.04% -5.12% -2.81% 5.37% -1.81% 14.42% 3.19%

BLOOMBERG EUROPE 500 INDEX (4) 7.01% -2.90% -2.68% -0.51% -4.62% 6.87% 0.87% 0.34% -16.96% -4.41% 7.53% -1.16% 12.56% -11.27%FTSE ALL-SHARE INDEX (3) 6.09% -2.71% -1.81% -0.12% -4.01% 5.47% 1.21% 2.03% -13.41% -4.99% 7.90% -0.18% 15.07% -4.07%DAX INDEX (4) 9.91% -3.23% -4.33% -0.30% -5.35% 9.00% 1.84% 4.76% -25.41% -4.89% 11.62% -0.85% 16.06% -12.70%CAC 40 INDEX (4) 9.23% -5.14% -3.91% -1.76% -4.62% 9.08% 4.87% 2.85% -24.68% -8.05% 8.75% -2.45% 0.42% -14.50%FTSE SMALLCAP INDEX (3) 4.04% -1.76% -1.52% -0.16% -2.41% 1.19% 0.28% 2.64% -13.76% -6.89% 2.22% -3.37% 19.87% -12.65%CS West Euro Lev Loan Index Value (12/31/91=100) 173.19 172.70 172.79 172.60 172.44 172.21 181.48 181.51 170.81 170.81 174.10 172.12 173.87 172.21

LEVELS / SPREADS3 month EURIBOR YIELD 1.59% 1.58% 1.46% 1.46% 1.47% 1.47% 1.24% 1.55% 1.55% 1.55% 1.59% 1.47% 1.01% 1.47%EURIBOR Yield increase/(decrease) 1 bp (1 bp) (12 bp) (0 bp) 1 bp 0 bp 23 bp 31 bp 1 bp 1 bp 4 bp (12 bp) 31 bp 46 bp

CS West Euro Lev Loan Index DM (5) 796bp 821bp 820bp 826bp 828bp 836bp 544bp 584bp 825bp 825bp 793bp 838bp 625bp 836bpCS West Euro Lev Loan Index DM (5) tighten (widen) 41 bp (25 bp) 0 bp (6 bp) (1 bp) (9 bp) (81 bp) 41 bp 241 bp (70 bp) 32 bp (45 bp) (131 bp) 212 bp(1) Cumulative Monthly Total Return (2) As of 12/1/2011(3) Returns in British Pounds; (4) Multiple currencies; returns converted hedged to Euro(5) Discount Margin - 3-year average lifeSource: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service

02 December 2011

Market Update 42

Exhibit 101: Western European Leveraged Loan Primary Market Monitor 2008 2009 3Q10 4Q10 2010 1Q11 2Q11 3Q11 Sep-11 (1) Oct-11 (1) Nov-11 (1) L3M (1) (4) LTM (1) (4) YTD

EURIBOR

3 month EURIBOR YIELD 2.89% 0.70% 0.89% 1.01% 1.01% 1.24% 1.55% 1.55% 1.55% 1.59% 1.47% 1.47% 1.47% 1.47%EURIBOR YIELD increase (decrease) (179) bp (219) bp 13 bp 11 bp 31 bp 23 bp 31 bp 1 bp 1 bp 4 bp (12) bp (7) bp 45 bp 47 bp

ISSUANCENEW NON-INSTITUTIONAL(2) (€ b illions) 51.4 45.0 11.8 17.3 57.0 21.1 22.0 17.3 6.1 3.3 1.8 11.2 69.2 65.6NEW INSTITUTIONAL(3) (€ billions) 26.9 2.5 4.0 4.6 13.2 5.4 8 .1 5.5 2.0 1.7 1.0 4 .7 23.1 21.7NEW LOANS OVERALL (€ billions) 78.3 47.5 15.8 21.9 70.2 26.5 30.1 22.8 8.1 5.0 2.8 15.9 92.2 87.3FORWARD CALENDAR ($bi llions) 60.3 10.1 7.7 4.1 4.1 12.5 11.8 10.2 10.2 9.3 2.7 2 .7 2.7 2.7

AVERAGE NEW ISSUE SPREADS (5)

InstitutionalB 328bp 386bp 512bp 496bp 496bp 481bp 447bp 447bp 451bp 451bp 451bp 451bp 460bp 457bpBB 335bp NA 463bp 483bp 459bp 438bp 419bp 453bp 453bp 453bp 453bp 453bp 441bp 440bpB vs. BB (7)bp NA 49bp 13bp 37bp 43bp 28bp (7)bp (3)bp (3)bp (3)bp (3)bp 19bp 17bpNon-InstitutionalB 249bp 291bp 446bp 443bp 446bp 439bp 420bp 396bp 394bp 394bp 394bp 394bp 416bp 414bpBB 248bp 288bp NA 407bp 407bp 428bp 390bp 418bp 419bp 419bp 419bp 419bp 415bp 413bpB vs. BB 1bp 4bp NA 36bp 38bp 11bp 30bp (21)bp (25)bp (25)bp (25)bp (25)bp 1bp 1bpInstitutional vs. Non-InstitutionalB 79bp 95bp 66bp 53bp 50bp 43bp 27bp 51bp 57bp 57bp 57bp 57bp 44bp 43bpBB 87bp NA NA 76bp 52bp 10bp 28bp 36bp 35bp 35bp 35bp 35bp 26bp 27bp

(1) Monthly issuance amounts may not add up to quarterly numbers due to variations in sampling methodologies(2) Non-institutional loans include TL-a and Revolvers. This data is revised often as more complete information becomes available.(3) Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors(4) As of 11/30/11(5) Weighted average of the previous six months Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service, S&P LCD, LPC

Exhibit 102: Western European Leveraged Loan Primary Market Monitor

11/17/2011 11/22/2011 12/1/2011 1Q11 2Q11 3Q11 Nov-11 2010 YTD (2)

Upper Tier (3) -0.36% -0.04% -0.27% 1.50% 1.07% -2.54% -0.88% 6.76% 1.60%Middle Tier (3) 0.13% -0.12% 0.17% 4.62% -0.19% -5.74% -0.87% 4.22% 0.03%Lower Tier (3) -0.09% 0.07% -6.00% 3.66% -5.61% -10.29% -7.39% 12.88% -20.30%Price >= 90 0.07% -0.01% 0.07% 2.98% 0.22% -3.83% -0.33% 5.00% 0.46%Price < 90 -0.36% -0.18% -0.41% 8.94% -1.09% -10.61% -2.50% 14.57% -3.78%Cyclical -0.16% -0.18% -0.22% 4.84% 0.59% -6.10% -1.18% 13.95% -0.91%Defensive -0.08% -0.02% -0.08% 4.15% -0.33% -5.72% -1.11% 5.95% -0.86%L+124 and Lower NA NA NA NA NA NA NA NA NAL+125-224 0.01% -0.02% -0.29% 5.02% -0.31% -5.34% -1.09% 6.82% -0.62%L+225 and Higher -0.13% -0.10% -0.10% 4.23% 0.09% -6.00% -1.14% 9.12% -1.01%$0MM to $100MM in Size -0.08% 0.06% 0.34% 4.76% 2.43% -5.27% 0.04% 16.16% 1.90%$101MM to $200MM in Size 0.09% -0.04% -0.19% 4.16% 1.03% -6.16% -0.63% 11.43% -1.32%$201MM to $300MM in Size 0.10% 0.07% 0.23% 3.74% 1.52% -5.15% -0.87% 9.21% 0.18%$301MM and Over in Size -0.18% -0.13% -0.25% 4.47% -0.75% -6.05% -1.41% 7.25% -1.46%$1001MM and Over in Size -0.29% -0.31% -0.58% 4.76% -0.64% -5.16% -2.11% 6.26% -0.68%First Lien -0.06% -0.06% -0.14% 4.22% 0.10% -5.65% -0.98% 7.71% -0.64%Second Lien -0.72% -0.25% -0.11% 6.97% -0.38% -8.30% -2.90% 19.51% -2.44%Unsecured 0.71% -1.71% 0.11% 1.27% -4.63% -9.54% -4.19% 7.08% -22.00%Full Covenant -0.12% -0.08% -0.16% 4.37% -0.01% -5.88% -1.19% 8.61% -1.16%Covenant Lite 0.09% -0.18% 0.25% 4.45% 0.32% -6.11% -0.25% 7.47% 2.14%

CS West Euro Lev Loan Index (Hedged, In Euro) (4) -0.11% -0.08% -0.13% 4.38% 0.01% -5.89% -1.13% 8.53% -0.95%(1) Cumulative Monthly Total Return (2) As of 12/1/11(3) Upper Tier: Split BBB and BB; Middle Tier: Split BB, B and Split B; Lower Tier: CCC/Split CCC and Default(4) Multiple currencies; returns converted hedged to Euro

Credit Suisse West Euro Leveraged Loan Index Total Return (1)

Source: Credit Suisse,

02 December 2011

Market Update 43

Exhibit 103: Western European Leveraged Loan Market Size

Exhibit 104: Western European Institutional Leveraged Loan Market Size

202 207

310

385

465

539 533499

455

34

177177126

7483

6947

82

227

192168

98 8934 46

7094 85

0

100

200

300

400

500

600

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011*

Mar

ket S

ize (€

Billio

ns)

0

50

100

150

200

250

300

350

400

450

500

New Leveraged Loan Volum

e (€Billions)

European Leveraged Loan Market Size

New European Leveraged Loan Volume

Includes non-investment grade bank debt (revolvers,TLa's and institutional term loans) of issuers with assets located in or revenues derived from Western Europe, or the loan is denominated in a Western European currency. * As of 9/30/11

138

207223

213

189175

81

26117

3916 21 19135722

82

111

11119626

30

50

100

150

200

250

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011*

Mar

ket S

ize (€

Billio

ns)

0

40

80

120

160

200

240

280

320

360

400

New

Leveraged Loan Volume (€Billions)

European Institutional Leveraged Loan Market SizeNew European Institutional Leveraged Loan Volume

Includes non-investment grade fully-drawn institutional term loans (TLb's, TLc's, TLd's, delayed-draw, and other tranches held by institutional investors) of issuers with assets located in or revenues derived from Western Europe, or the loan is denominated in a Western European currency. * As of 9/30/11

Source: Credit Suisse, LPC Source: Credit Suisse, LPC

Exhibit 105: CS Western European Leveraged Loan Index: Total Return by Industry, MTD December 01, 2011

Exhibit 106: CS Western European Leveraged Loan Index: Total Return by Industry, YTD December 01, 2011

0.29%

0.18%0.14% 0.13% 0.11% 0.09% 0.07% 0.05% 0.05% 0.03% 0.02% 0.01% 0.01% 0.00%

-0.05% -0.08% -0.09%

-0.18%

-0.33%

-0.43%-0.50%-0.40%-0.30%-0.20%-0.10%0.00%0.10%0.20%0.30%0.40%

Financial

Chemicals

Transportation

Media/Telecom

Forest Products

ManufacturingServic

e

Credit Suisse

WE Lev Loan Inde

Food/Tobacco

Food and Drug

Consumer Non-Durables Utility

Healthcare


Gaming/Leisure RetailEnergy

AerospaceHousing

Consumer Durables

9.60%

5.26% 5.22%3.72%

2.24% 1.58% 1.19% 0.45%

-0.33% -0.85% -0.95% -1.25% -1.47%-3.45% -4.46% -4.99% -5.71%

-7.13%-8.52%

-16.65%-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

TransportationFinancial

Healthcare

Chemicals

Food and Drug

Forest Products

Information TechnologyServic

eHousing

Aerospace

Credit Suisse

WE Lev Loan Inde

Manufacturing

Food/Tobacco

Media/TelecomEnergy

Gaming/Leisure

Consumer Non-Durables Utility Retail

Consumer Durables

Source: Credit Suisse (Returns Hedged to Euro) Source: Credit Suisse (Returns Hedged to Euro)

Exhibit 107: CS Western European Leveraged Loan Index: Total Return by Industry, November 2011

Exhibit 108: Average Price of the CS Western European Leveraged Loan Index

0.73%0.36%

0.06%

-0.11% -0.27% -0.49% -0.67% -0.71%-0.97% -0.98% -0.99% -1.06% -1.13%

-1.37%-1.65%

-2.29% -2.33% -2.50%

-4.12% -4.17%-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

HealthcareHousing

Service

TransportationFinancial

Forest Products

Aerospace

Food/Tobacco

Manufacturing

Food and DrugEnergy


Credit Suisse

WE Lev Loan IndeChemicals

Gaming/Leisure

Media/Telecom

Consumer Durables

Consumer Non-Durables Utility Retail 60.62%3/31/09

85.31%11/29/02

100.57%5/31/2007

55.0%60.0%65.0%70.0%75.0%80.0%85.0%90.0%95.0%

100.0%105.0%

Jan-98Jan-99

Jan-00Jan-01

Jan-02Jan-03

Jan-04Jan-05

Jan-06Jan-07

Jan-08Jan-09

Jan-10Jan-11

Aver

age P

rice

83.12% 12/1/11


Exhibit 109: Discount Margin (3 yr) of the CS Western European Leveraged Loan Index by Rating

0bps

400bps

800bps

1200bps

1600bps

2000bps

Jan-98Jan-99

Jan-00Jan-01

Jan-02Jan-03

Jan-04Jan-05

Jan-06Jan-07

Jan-08Jan-09

Jan-10Jan-11

Disc

ount

Mar

gin

Overall WE Lev Loan Index - DM BB-rated loans B-rated loans

849 bps

519 bps

836 bps

*Discount margin (DM) assumes 3-year average life Source: Credit Suisse

Jonathan Blau Managing Director (212) 538-3533

Daniel Sweeney Vice President (212) 538-8213

Janet Yung Vice President (212) 538-8090

Karen Friedlander Associate (212) 325-8459

Global Leveraged Finance StrategyJonathan Blau - Head of Global Leveraged Finance Strategy

Disclosure Appendix

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Corporate Bond Fundamental Recommendation Definitions Buy: Indicates a recommended buy on our expectation that the issue will be a top performer in its sector. Outperform: Indicates an above-average total return performer within its sector. Bonds in this category have stable or improving credit profiles and are undervalued, or they may be weaker credits that, we believe, are cheap relative to the sector and are expected to outperform on a total-return basis. These bonds may possess price risk in a volatile environment. Market Perform: Indicates a bond that is expected to return average performance in its sector. Underperform: Indicates a below-average total-return performer within its sector. Bonds in this category have weak or worsening credit trends, or they may be stable credits that, we believe, are overvalued or rich relative to the sector. Sell: Indicates a recommended sell on the expectation that the issue will be among the poor performers in its sector. Restricted: In certain circumstances, Credit Suisse policy and/or applicable law and regulations preclude certain types of communications, including an investment recommendation, during the course of Credit Suisse's engagement in an investment banking transaction and in certain other circumstances. Not Rated: Credit Suisse Global Credit Research or Global Leveraged Finance Research covers the issuer but currently does not offer an investment view on the subject issue. Not Covered: Neither Credit Suisse Global Credit Research nor Global Leveraged Finance Research covers the issuer or offers an investment view on the issuer or any securities related to it. Any communication from Research on securities or companies that Credit Suisse does not cover is factual or a reasonable, non-material deduction based on an analysis of publicly available information.

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Credit Suisse Leverage Loan Market

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