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CS European High Yield

Relative value update

Market trends

As typical for mid-Summer, the past week was quiet in trading terms for

European credit in both CDS and cash. Notably, we saw continued strength in

Europe (including in Equities) in spite of the S&P 500 giving up its last two

weeks of gains. Moreover, the Greek government’s plea for extra time to

deliver reforms did not lead to a sovereign-related sell-off, and many of the

higher-quality names in European high yield are still trading at the highs of the

year. The CDS market was quiet, with technicals dominating (skew and the

marginal trade in an illiquid market). At the margin, we saw some profit taking

for periphery credits.

It was a busy reporting week for corporates and one that provided further

evidence of trading conditions marginally deteriorating (mostly). Ecobat, Edcon,

NWR, Refresco, S+B disappointed, and trading conditions for Sunrise and

Ardagh are slowing. A final flurry of results is due this week.

Trade ideas

Recent publications

R&R Ice Cream – Forget about the weather

Refresco – 2Q likely to be weaker than 1Q

News and views

We also include a summary of last week’s Industrials and TMT news flow

Also included

As usual, this report also includes a high yield reporting calendar, updates from

our strategy team and various relative value tables and charts.

28 August 2012

Global Leveraged Finance Research

http://www.credit-suisse.com/researchandanalytics

Research Analysts

Lee Hope

+44 20 7888 0163

[email protected]

Marco Gironi

+44 20 7888 7477

[email protected]

Alex Field

+44 20 7888 0940

[email protected]

Tom Gibney

+44 20 7888 0326

[email protected]

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28 August 2012

CS European High Yield 2

Table of contents

Recent publications 3

R&R Ice Cream – Forget about the weather .............................. 3

Last week’s news and views 4

Consumer .................................................................................. 4

Industrials .................................................................................. 5

TMT ........................................................................................... 6

2HY reporting calendar 8

3B3BHigh Yield market overview 9

11B13BTop weekly movers .................................................................... 9

12B14BBond movers by sector ............................................................ 12

13B15BCDS movers by sector ............................................................. 18

14B16BHY bonds pricing sheets .......................................................... 20

Loan Market Overview 31

Pricing differentials 32

1Five year CDS basis ................................................................ 32

16B18BSenior secured vs. unsecured bonds ...................................... 33

17B19BEuro/GBP vs. USD bonds ........................................................ 36

18B20BLoans vs. secured bonds ......................................................... 40

5B5BSector Financials & Relative Value Tables 42

6B6BCS Leveraged Finance Strategy 60

19B21BWestern European High Yield Market Update ......................... 60

Western European Leveraged Loan Market ............................ 71

Leverage Finance Default Review 75

2Q12 European High Yield Defaults ........................................ 75

Industry .................................................................................... 78

Original Issue Rating ............................................................... 81

2Q12 European Institutional Leveraged Loan Defaults 84

Industry .................................................................................... 86

By Loan Priority ....................................................................... 89

8B8BGlobal Economic Summary Forecasts 91

Euro Area GDP Projections 92

The authors of this report wish to acknowledge the contribution made by Akanksha Johari

and Shikha Rattan, employees of CRISIL Global Research and Analytics, a business

division of CRISIL Limited, a third-party provider of research services to Credit Suisse.

28 August 2012


Recent publications R&R Ice Cream – Forget about the weather

This is an excerpt from our report published on 24 August 2012. The full note is available

here.

Upgrading to Outperform

We believe that R&R is one of the more attractive credits in the high yield consumer

space. In this note, we outline the four main reasons that we favour the credit and, in the

Appendix, analyse its three main markets (the UK, Germany and France), recent price

developments and the outlooks for the major commodities that it buys.

In our view, R&R bonds offer short-term upside from better-than-expected earnings and

long-term downside protection from a potential change of control. Furthermore, we note

that R&R is considerably less exposed than certain peers to recent spikes in grain prices.

In spite of their relatively strong performance year-to-date, we upgrade our

recommendation on the 8.375% €’17 bonds (mid price 104) to Outperform from Market

Perform.

1. Market share turnaround in sight

Our analysis of R&R’s end markets suggests that it has been losing market share in both

private and branded ice cream in each of its three main markets (though it has been

clearly outperforming in terms of its profitability). We note several recent developments

that are likely to turnaround R&R’s market share performance without sacrificing margins

2. Cost inflation lower than expected

In continental Europe R&R’s selling prices are effectively fixed under yearly contracts

which start in January-April. To protect against margin volatility it hedges most of its inputs

around the same time. But it is not possible to hedge dairy products that far in advance.

Dairy prices have fallen materially versus what would have been budgeted when fixing

selling prices for 2012. As contracts are fixed, we think R&R will retain pretty much all of

this benefit in continental Europe and so see a significant boost to margins.

3. Currency boost to EBITDA

Sterling has strengthened significantly versus the euro. We believe that R&R’s pre-central

cost EBITDA from its UK operations significantly exceeds its GBPdenominated central

costs. A stronger sterling therefore helps EBITDA.

4. Downside protection

Management has been open about the fact that it is laying the groundwork for a potential

change in the short to medium term of its major shareholder – currently Oaktree Capital

Management. We believe a relatively high chance of a change of control offer at 101 well

ahead of maturity should offer significant downside protection in the event of a market sell-

off.

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28 August 2012


Last week’s news and views Consumer

Edcon – 1Q13 surprisingly weak

Edcon released weaker-than-expected results this week, with retail sales up just 1.8% to

R2.6bn and same-store sales up 0.9%. This is significantly below the growth of the overall

retail market reported in official data, which has been running at close to 10%.

Management noted that most of the weakness was in April and May and that performance

then picked up in June (and has continued to be better in July). Edgars also performed

much worse than the Discount division. The primary reason for the weak performance in

Edgars appears to have been poor purchasing decisions (which necessitated significant

markdown activity), though the extent of this underperformance leads us to question

whether Edcon’s inability to invest as much as peers in its stores is beginning to also harm

footfall. Discount appears likely to continue to do better, but management comments

suggest that a turnaround in Edgars will take several quarters at least.

Meanwhile, fixed costs continue to ramp up. Rents increased 13% due to various

additional taxes and duties, and utility costs increased 22% due to regulatory power price

increases (power prices are set to continue to rise to fund spending on utility

infrastructure) and higher staff costs. As a result, even though Edcon was able to hold

gross margins steady, which is a good result given significant markdowns in Edgars,

adjusted EBITDA (excluding OTC) fell 12% to R798m. Excluding credit and financial

services EBIT (much of which is being sold to ABSA), adjusted EBITDA fell 18%.

Cash flow was flattered by a working capital timing issue. This was because the timing of the

month-end meant that it paid its creditors in 2Q rather than in 1Q. This led to a swing in

change in payables from 1Q12 to 1Q13 of R940m. Subtracting this amount from reported free

cash flow for the consolidated group of R-356m and adding this amount to net debt excluding

OTC gives a leverage figure of 6.7x (up from 6.4x at YE12 and compared to a reported

leverage figure of 6.4x).

In our view, despite the positive sale of its credit book (likely to be approved and complete

soon), Edcon still has a mountain to climb to deal with its debt maturities in 2014 and 2015.

To avoid a market panic regarding its liquidity position, we believe it really needs to have

put in place proper plans to deal with these maturities sometime around the middle of next

year. With such weak results and a turnaround of Edgars expected to take some time, we

believe an IPO within this time frame looks increasingly unrealistic. We retain our

Underperform recommendations on Edcon’s €14 FRNs and €18 9.5% notes and our Sell

recommendation on its €15 FRNs.

Refresco 2Q – Weak volumes offset by good progress on costs

Refresco released 2Q numbers that were weaker than our expectations at the sales level

but stronger at the EBITDA level. Sales fell 3% to €428m and fell 5% on a like-for-like

basis. EBITDA fell 16% to €37m, and we estimate it fell 18% on a like-for-like basis – this

compared to our forecast of €34m. Like-for-like volume growth was -9% (vs. the 8% that

we forecast), and the gross margin was worse, but operating expenses fell by €5.5m (we

had expected an increase). Cost savings to deal with the loss of contracts appear to have

been delivered earlier than expected. Management furthermore expects these to

accelerate in the second half of the year.

Cash flow, however, was somewhat weaker than expected, given a substantial working

capital outflow partly driven by higher input costs and partly by pre-purchases of raw and

packaging materials. As a result of this, and a bond interest payment of €19m, free cash

flow before acquisitions was €-27m. With EBITDA again weaker, leverage continued to

climb, to 6.0x from 5.3x at 1Q12.

28 August 2012


Guidance for 2012 remains for an increase in adjusted EBITDA in 2012 versus 2011, and

management still expects like-for-like volumes to be down 6.5% if no new contracts are

won. We do believe, however, that the volume guidance represents a worst case and that

with volumes down 7.5% like-for-like in 1H and easy comps in 3Q and 4Q, it is relatively

unlikely that the full-year performance will be this weak. Given this and given more cost

savings than expected, we believe the full-year EBITDA guidance, while still challenging,

looks achievable.

Given the circumstances – slightly negative weather conditions, weak economic conditions

in Iberia and a significant loss of contracts – we consider this to be a relatively solid set of

numbers. Given the pace of cost savings and the easy comps that Refresco is about to

face in 3Q and 4Q, we find it harder to maintain a short view on Refresco based on

expected short-term earnings weakness. Nevertheless, bond yields completely fail to

reflect its leverage (now the highest in the high yield consumer space). Notwithstanding

the likelihood that this leverage will fall modestly towards the end of the year due to

seasonal working capital movements, we therefore retain our Underperform

recommendations on 7.375% secured €’18 bonds and the E+4% secured €’18 FRNs.

Bakkavor – Downgrade by S&P

S&P downgraded Bakkavor to B- from B, with a stable outlook. The agency believes that

the challenging operating environment will constrain margin improvement and that 2012

EBITDA interest coverage will remain less than 2x.

Industrials

Styrolution reported Q2 2012 results that were better than expected (21/08/12).

Revenues and EBITDA before exceptional items were €1,640mn (-6.7% yoy) and

€65.1mn (-23% yoy). EBITDA was affected by negative flow through effects offsetting

better margins in the US business, particularly the Styrene Monomer business. Volumes

were significantly weaker in Q2 (-14% yoy), led by economic uncertainty in Europe and the

sale of ELIX. However, revenues fell less on better pricing and the stronger US dollar.

Styrolution generated cash in Q2, mainly thanks to the release of working capital, reducing

net debt to €569mn at the end of the quarter. Net leverage therefore remained flat

sequentially at 2.4x. The restructuring programme is moving forward with the aim of saving

€60mn in costs in 2012. Styrolution has said it will be “extremely challenging” to achieve

EBITDA in line with that of 2011 (i.e., €316mn). This guidance is weaker than that given in

Q1, reflecting the deterioration in underlying demand. Still, on the Q2 results conference

call, the company said it expected EBITDA to improve from the current LTM level

(€240mn) by year-end.

Schmolz + Bickenbach reported weakening H1 2012 results (22/08/12). Revenues and

EBITDA were €1,970mn (-5.4% yoy) and €127mn (-36.4% yoy), respectively. The results

were affected by poor demand in Southern Europe and increased competition in Northern

Europe. Lower volumes led to under-utilisation of facilities, while competition eroded

margins. Falling alloy prices also led to lower margins. The company consumed cash in

H2, mainly due to seasonal increases in inventories. The seasonally higher net debt of

€912mn and lower earnings led to higher leverage of 4.1x at the end of the period. The

company announced further cost-saving efforts that are designed to save over €30mn per

annum. The guidance for H2 EBITDA is for it to be slightly lower than that of 1H. On the

results conference call, the company indicated that it expects to be able to meet its

September and December covenants.

New World Resources Q2 2012 EBITDA ahead of expectations on good mix

(23/08/12). Revenues and EBITDA were €347mn (-24% yoy) and €104mn (-38% yoy),

respectively. EBITDA doubled sequentially mainly thanks to higher production volumes of

2,530mt (+42%seq.) and a favourable mix. The company's coal sales (2,534mt) comprised

55% coking coal versus the company's full-year guidance of 48%. The company

28 August 2012


consumed cash Q2 mainly because of a seasonal accumulation of thermal coal

inventories. As a result, net debt increased to €472mn. Leverage is now 1.3x (+0.4x seq.).

Cash after drawing down on the €100mn RCF in the quarter was €452mn. Despite end-

market weakness, NWR kept the mid-point of its sales volume target more or less

unchanged (now 10.3-10.4mt). As previously announced in the company’s trading update,

a Q3 average price of €129/t (+2% qoq) for coking coal and €294/t (-1% qoq) for coke has

been agreed. NWR reiterated its production and mix targets for 2012, and said cost per

tonne should be flat yoy (in Czech korunas). Capex is expected to be €210-220mn in

2012.

Handelsblatt reported that Shandong Heavy may be interested in buying stake in

Kion (23/08/12). The German newspaper Handelsblatt reported that Chinese construction

machine maker, Shandong Heavy Industries, may be interested in buying a 25% stake in

German maker of forklifts, Kion, for €700mn through a capital injection. The newspaper

reported that the deal may be signed by month-end. If Kion were to use all the money to

pay down its debt, pro-forma net leverage would reduce by a full turn to 2.9x.

TMD Friction reported Q2 2012 results (24/08/12). Revenues and EBITDA were

€165.7mn (-4.9% yoy) and €9.9mn (-43.4% yoy), respectively. The top line declined owing

to weak demand in small-sized and lower-priced vehicles and commercial vehicles that

more than offset higher demand in passenger car premium sector. The company has seen

fluctuation in demand in the Chinese market owing to economic uncertainty. Additionally,

margins were squeezed due to higher raw material prices. In H1 2011, the company

tendered 10.75% senior secured notes amounting €62.94mn, leaving €97.06mn of notes

outstanding.

Eco-bat margins continue to get squeezed by tight scrap market in Q2 (24/08/12). Revenues and reported EBITDA were £422mn (-10% yoy) and £26.9mn (-63% yoy),

respectively. EBITDA excluding mark to market was £29.8mn (-40% yoy). The company's

results were negatively affected by continuing competition for scrap lead in a declining

lead price environment, although volumes were steady 206kt (-0.5% yoy). Net cash

declined sequentially to £70mn due to a reduction in payables because of payment timing

and tax paid in the quarter. The company had significant cash balances (£401mn) and

undrawn facilities (£50.5mn) after drawing £95mn on its borrowing base facility in the

quarter. Grossed up net debt including the PIKs increased to roughly £909mn. This and

lower profitability led leverage through the PIKs higher to 5.7x LTM EBITDA (ex-MTM).

The company has reiterated that it is planning for lower margins going forward due to

lower lead prices and competition for scrap.

TMT

Sunrise 2Q results : Slowing revenue growth; EBITDA still rising but 2H should be tougher

Sunrise Communications reported 2Q results, which showed mobile revenue growth

(c.65% of group revenue) slowing materially. Company management explained this in

terms of a hiatus due to the lack of price promotions in the quarter (across all operators,

not just from Sunrise) and lack of new major handsets coming to market (like the Samsung

Galaxy III in 3Q).

Nevertheless, EBITDA continued growing (+4%) driven by past and ongoing cost control.

The company implemented in May and July new mobile offerings. Although these have

resulted in higher gross subscriber additions, the company would not forecast what the net

impact on profits could be in 2H.

28 August 2012


On an organic basis (excluding acquisitions and hubbing), revenue declined by -0.3% vs

+4.7% in 1Q, thus producing an increase of circa 2.2% in 1H 12. On a reported basis,

2Q revenue rose +7% to of CHF1,023 million, including an acquisition in the Business

segment.

2Q reported EBITDA rose by +9.3% yoy to CHF160 million, +4% excluding acquisitions

and wholesale as a result of an increased mobile customer base, LLU customer base

and efficient cost control programs.

Within the mix, mobile revenue including handset sales grew +1.6% (vs 1Q’12 +8.9%)

though fixed voice revenue showed negative growth of 7% excluding acquisitions (vs.

1Q 12 -8%). Fixed internet was flat (1Q flat). The company experienced a lower level of

mobile handset sales ahead of the Galaxy S3 and IPhone5 launches.

In Mobile KPIs, contract net additions in 2Q were +14k (1Q +27k) and prepaid -20k (1Q-

20k); ARPU growth also slowed from +3.8% yoy in Q1 12 to +0.4% yoy in Q2.

In Fixed-line KPIs, retail voice access net additions were -11k (vs. -15k in 1Q). DSL

added 4k (vs. -1k in 1Q). ARPU declined -0.8% yoy. (1Q +1.9%).

The company generated FCF of CHF29 million vs. 12 million in 2Q11, with capex of

CHF 45 million (in line with guidance). FCF for 1H 12 was CHF7 million due to large net

working capital outflow in 1Q 12, which was not reversed in 2Q.

Pro forma for the July TL refinancing and full payment of spectrum costs, net LTM

leverage is 4.1x (vs. 1Q PF for spectrum of 4.4x). The cash balance at quarter-end was

CHF543 million after payment of spectrum costs.

Exhibit 1: Summary of covered companies mentioned in the text

Issuer Description Coupon Maturity Price YTW (%) Z-spread

27/08/2012

Consumer

R&R Ice Cream plc Senior secured € notes 8.375% 15-Nov-17 Outperform Market 104.45 7.1 633

Refresco Group BV Senior secured € FRNs E+4% 15-May-18 Underperform Market 94.83 5.6 528

Refresco Group BV Senior secured € notes 7.375% 15-May-18 Underperform Market 94.02 8.7 767

Retail

Edcon (Proprietary) Senior secured € FRNs E+3.25% 15-Jun-14 Underperform Market 92.44 8.1 807

Edcon Holdings (Proprietary) Senior € FRNs E+5.5% 15-Jun-15 Sell Market 85.24 12.0 1,217

Edcon (Proprietary) Senior secured € notes 9.5% 01-Mar-18 Underperform Market 94.03 11.0 997

NEW or existing

Recommendation

Risk

category

Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service

28 August 2012


2HY reporting calendar

Upcoming events in European High Yield

27 Aug 2012 28 Aug 2012 29 Aug 2012 30 Aug 2012 31 Aug 2012

Befesa Zinc 2Q Codere 2Q Cyfrowy Polsat 2Q Spie 2Q

Com Hem 2Q Grohe 2Q Towergate 2Q

Labco 2Q Lecta (est)

Nordenia 2Q Picard 2Q

Schaeffler 2Q Stena 2Q

03 Sep 2012 04 Sep 2012 05 Sep 2012 06 Sep 2012 07 Sep 2012

Dixons AGM Wind Tel. 2Q call Kerling 2Q

Ineos 2Q conf. call

Orion Carbons 2Q

10 Sep 2012 11 Sep 2012 12 Sep 2012 13 Sep 2012 14 Sep 2012

Cirsa 2Q

Source: Credit Suisse, Company reports

28 August 2012


3B3BHigh Yield market overview 11B13BTop weekly movers

Exhibit 2: Best weekly performers – bonds

Change in absolute price (€, £) over the last week

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

AB

GS

M '1

6

MT

NLN

'17

ST

YR

O '1

6

AT

UG

RP

'14

NS

INO

'16

NS

INO

'17

AB

GS

M '1

7

NW

OR

LD

'18

KE

RLIN

'17

MT

NLN

'16

INE

GR

P '1

6

AS

TO

NM

'18

ISS

DC

'16

CIR

SA

'18

AR

GID

'20

OX

EA

CY

'17

CP

FS

M '1

6

CG

MF

P '1

5

CG

MF

P '1

5

MW

DP

'18

Best

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

Exhibit 3: Worst weekly performers – bonds

Change in absolute price (€, £) over the last week

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

CO

NG

R '1

5

CE

DC

'16

HE

IGR

'19

BE

ZIN

C '1

8

HD

DG

R '1

8

LU

XG

EO

'19

TN

ET

BB

'20

NIS

SH

I '17

CO

NG

R '1

7

TN

ET

BB

'21

BO

AT

S '1

7

IDE

AB

B '1

8

CO

NG

R '1

8

MO

ME

NT

'21

ISS

DC

'14

AR

GID

'18

RE

FR

LN

'18

GA

LA

GB

'19

ED

CO

N '1

4

ED

CO

N '1

5

Worst


28 A

ugu

st 2

01

2

CS

Euro

pe

an H

igh

Yie

ld

10

Exhibit 4: Bond – Top Movers

1 74.9% MTNLN 9.625% £'17 1 71.6% MTNLN 9.625% £'17 1 26.8% MTNLN 9.625% £'17 1 22.8% MTNLN 9.625% £'17

2 70.4% LIGHTH 8% €'14 2 43.7% GALAGB 11.5% £'19 2 26.8% HTOGA 7.25% €'15 2 14.3% HTOGA 7.25% €'15

3 56.4% REYNOL 9.5% €'17 3 43.1% LIGHTH 8% €'14 3 25.1% HTOGA 5% €'13 3 12.5% YIOULA 9% €'15

4 53.5% EUROCA 9.75% €'17 4 41.6% CETV 11.625% €'16 4 23.5% HTOGA 7.25% €'14 4 9.9% LUXGEO 10.375% €'19

5 50.0% KIONGR 7.875% €'18 5 39.6% MTNLN 8.875% £'16 5 21.6% HTOGA 4.625% €'16 5 9.5% CODERE 8.25% €'15

6 49.0% INEGRP 7.875% €'16 6 37.7% EUROCA E+3.500% €'13 6 21.6% YIOULA 9% €'15 6 9.5% GALAGB 11.5% £'19

7 44.2% GALAGB 11.5% £'19 7 36.4% EDCON 6.162% €'15 7 15.2% MTNLN 8.875% £'16 7 9.3% NUMCAB 12.375% €'19

8 43.22% HTOGA 5% €'13 8 36.0% ASTONM 9.25% £'18 8 14.6% ASTONM 9.25% £'18 8 8.7% HDDGR 9.25% €'18

9 42.3% CETV 11.625% €'16 9 34.9% CGMFP 7% €'15 9 14.4% GALAGB 11.5% £'19 9 8.7% HDDGR 9.25% €'18

10 42.0% BOPRLN 9.875% £'18 10 34.1% KIONGR 4.747% €'18 10 14.3% REYNOL 9.5% €'17 10 8.4% WINDIM 11.75% €'17

11 41.8% MTNLN 8.875% £'16 11 33.3% ONTEX 9% €'19 11 13.9% LTOIM 8.25% €'66 11 8.4% KIONGR 4.747% €'18

12 41.6% HPLGR 9% €'15 12 32.4% EUROCA 9.75% €'17 12 12.7% EDCON 6.162% €'15 12 8.4% HTOGA 4.625% €'16

13 40.6% BOPRLN 9.75% €'18 13 32.1% KIONGR 7.875% €'18 13 12.2% NUMCAB 12.375% €'19 13 8.4% MTNLN 8.875% £'16

14 40.1% EDCON 6.162% €'15 14 30.6% CETV 2.602% €'14 14 11.6% REYNOL 8% €'16 14 8.3% HTOGA 7.25% €'14

15 38.8% GCLIM 9.375% €'18 15 30.3% BAKKA 8.25% £'18 15 11.4% EUROCA 9.375% €'18 15 8.2% LTOIM 8.25% €'66

16 38.4% EUROCA E+3.500% €'13 16 29.8% HDDGR 9.25% €'18 16 11.3% PHONLN 9.5% £'18 16 8.1% EUROCA 9.375% €'18

17 38.2% ASTONM 9.25% £'18 17 29.8% HDDGR 9.25% €'18 17 10.8% HEIGR 7.5% €'20 17 7.5% ASTONM 9.25% £'18

18 37.8% PAJFP 8.875% €'18 18 28.8% BOPRLN 9.875% £'18 18 10.8% EUROCA 9.75% €'17 18 7.3% NORDIN 9.75% €'17

19 37.3% PHONLN 9.5% £'18 19 27.8% DXNSLN 8.75% £'15 19 10.4% HEIGR 8.5% €'19 19 7.2% HTOGA 5% €'13

20 36.5% KINOVE 10% €'18 20 27.1% GALAGB 8.875% £'18 20 10.2% UPCB 8.375% €'20 20 7.1% PHONLN 9.5% £'18

1 -7.1% HTC 9.5% €'16 1 -53.3% BOATS 8.152% €'15 1 -38.2% BOATS 8.152% €'15 1 -21.6% HTC 9.5% €'16

2 0.0% FREGR 5% €'13 2 -13.8% HTC 9.5% €'16 2 -22.3% HTC 9.5% €'16 2 -7.0% ALUFP 8.5% €'16

3 3.0% STERV 5.5% €'19 3 -2.6% ABGSM 8.5% €'16 3 -7.5% CODERE 8.25% €'15 3 -3.1% CGMFP 7% €'15

4 3.5% ISSDC 11% €'14 4 -1.8% REFRLN 4.349% €'18 4 -5.2% ALUFP 8.5% €'16 4 -1.2% ALUFP 6.375% €'14

5 3.8% STERV 4.851% €'16 5 -1.8% STERV 4.851% €'16 5 -2.7% WINDIM 12.25% €'17 5 -0.8% ISSDC 11% €'14

6 4.0% NXPI 3.247% €'13 6 -1.1% FREGR 5% €'13 6 -0.9% LECTA 5.849% €'18 6 -0.7% STERV 4.851% €'16

7 4.0% TUIGR 5.125% €'12 7 -0.7% ABGSM 9.625% €'15 7 -0.6% FREGR 5% €'13 7 -0.6% EDCON 6.162% €'15

8 4.02% FREGR 8.75% €'15 8 -0.6% SAPSJ 11.75% €'14 8 -0.5% SAPSJ 11.75% €'14 8 -0.6% ITVLN 10% €'14

9 4.2% SAPSJ 11.75% €'14 9 -0.5% REFRLN 7.375% €'18 9 -0.2% NISSHI 10.75% €'17 9 -0.6% SAPSJ 11.75% €'14

10 4.2% LECTA 5.849% €'18 10 -0.2% NXPI 3.247% €'13 10 -0.1% ISSDC 11% €'14 10 -0.6% WINDIM 12.25% €'17

11 4.7% TVNPW 10.75% €'17 11 -0.2% WINDIM 12.25% €'17 11 -0.1% ALUFP 6.375% €'14 11 -0.5% MESSA 8.75% €'13

12 4.8% VERISR 7.171% €'18 12 -0.1% TUIGR 5.125% €'12 12 -0.1% FIAT 6.625% €'13 12 -0.5% CONGR 8.5% €'15

13 4.8% FREGR 5.5% €'16 13 -0.1% ISSDC 11% €'14 13 -0.1% MESSA 8.75% €'13 13 -0.2% REYNOL 7.75% €'16

14 5.0% ABGSM 9.625% €'15 14 1.0% CPFSM 8.25% €'16 14 0.1% CLSGR 4.5% €'17 14 -0.2% VMED 9.5% €'16

15 5.1% VMED 9.5% €'16 15 1.0% SKGID 7.75% €'15 15 0.1% DXNSLN 6.125% £'12 15 -0.1% DXNSLN 6.125% £'12

16 5.2% INEGRP 7.25% €'19 16 1.1% VMED 9.5% €'16 16 0.2% SKGID 7.75% €'15 16 -0.1% FREGR 5% €'13

17 5.2% LABFP 8.5% €'18 17 1.1% REYNOL 7.75% €'16 17 0.2% STERV 4.851% €'16 17 -0.1% REFRLN 7.375% €'18

18 5.3% TNETBB 4.536% €'21 18 1.6% FIAT 6.625% €'13 18 0.2% EUROCA E+3.500% €'13 18 -0.1% ARGID 9.25% €'16

19 5.8% VMED 7% £'18 19 1.6% KERLIN 10.625% €'17 19 0.2% CONGR 8.5% €'15 19 0.0% SKGID 7.75% €'15

20 6.0% TVNPW 11.25% €'17 20 1.8% TVNPW 11.25% €'17 20 0.3% TUIGR 5.125% €'12 20 0.0% NXPI 3.247% €'13

Top Twenty Laggards from Lows Top Twenty Laggards from 1-Jan-12 Top Twenty Laggards from1-Jun-12 Top Twenty Laggards from1-July-12

Top Twenty Outperformers from Lows Top Twenty Outperformers from 1-Jan-12 Top Twenty Outperformers from 1-Jun-12 Top Twenty Outperformers from 1-July-12


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Exhibit 5: CDS – Top Movers

% change Company Abs change % change Company Abs change % change Company Abs change % change Company Abs change

1 -64.6% Smurfit Kappa SR -324.36 1 -50.8% TUI -624.42 1 -53.3% Hellenic Telecom (OTE) -1798.32 1 -28.4% Hellenic Telecom (OTE) -622.56

2 -63.4% Smurfit Kappa SUB -405.89 2 -50.1% Continental -240.51 2 -33.8% KDG -154.78 2 -27.7% Continental -91.69

3 -63.2% TUI -1040.98 3 -42.9% M-Real -434.36 3 -33.1% ISS (FS Funding) -215.36 3 -26.9% ISS (FS Funding) -160.81

4 -62.2% Norske Skog -2825.12 4 -42.5% Smurfit Kappa SUB -172.78 4 -32.8% PORTEL -312.31 4 -25.6% PORTEL -219.54

5 -61.0% Continental -373.62 5 -40.4% Dixons -427.61 5 -29.7% HeidelbergCement -134.65 5 -25.1% KDG -101.57

6 -56.9% Hellenic Telecom (OTE) -2078.28 6 -37.4% PROSIEBEN -178.13 6 -28.5% Rallye -229.66 6 -25.1% HeidelbergCement -106.61

7 -52.1% Convatec -923.15 7 -37.1% Smurfit Kappa SR -104.64 7 -28.3% Sol Melia -367.61 7 -23.4% TUI -185.10

8 -50.2% Ineos -783.65 8 -34.1% Ardagh -332.41 8 -28.1% Air France -357.72 8 -23.0% Rallye -172.12

9 -49.9% M-Real -576.25 9 -32.6% HeidelbergCement -153.81 9 -26.7% TUI -220.42 9 -22.2% Codere -437.41

10 -49.9% Dixons -628.38 10 -32.4% Hanson -83.05 10 -25.7% Continental -82.91 10 -21.5% Sol Melia -255.23

11 -49.8% HeidelbergCement -316.31 11 -31.4% KDG -138.66 11 -24.6% Virgin Media -114.93 11 -19.2% Wind Telecomunicazioni -305.67

12 -47.7% ISS (FS Funding) -396.83 12 -30.9% SAS -571.10 12 -24.4% Unitymedia (IESY) -149.03 12 -18.6% Virgin Media -80.78

13 -47.5% Hanson -156.71 13 -30.5% Ineos -340.43 13 -24.1% UPC -168.77 13 -18.6% UPC -121.90

14 -47.2% Ardagh -574.27 14 -29.9% UPC -226.86 14 -23.9% Convatec -266.39 14 -17.8% Unitymedia (IESY) -100.15

15 -47.2% Wendel -399.63 15 -29.8% ISS (FS Funding) -184.64 15 -23.5% Stena -209.83 15 -17.1% Stena -141.15

16 -47.0% KDG -268.04 16 -29.5% Unitymedia (IESY) -193.51 16 -22.3% Ardagh -183.93 16 -15.6% TITIM -80.83

17 -44.9% ISS (DC) -194.98 17 -29.3% Convatec -350.74 17 -22.2% Wendel -127.26 17 -14.8% Fiat -140.59

18 -42.9% Virgin Media -265.15 18 -27.3% Virgin Media -132.48 18 -20.6% Hanson -44.84 18 -14.0% Norske Skog -280.31

19 -41.5% PROSIEBEN -211.63 19 -25.6% ISS (DC) -82.10 19 -20.1% Dixons -158.71 19 -13.6% Wendel -70.43

20 -41.0% Rallye -400.16 20 -24.5% PORTEL -207.76 20 -18.3% British Airways -150.54 20 -13.2% Air France -139.40

% change Company Abs change % change Company Abs change % change Company Abs change % change Company Abs change

1 -9.0% Alcatel Lucent -165.93 1 69.4% Codere 626.32 1 14.5% Codere 193.49 1 14.1% Alcatel Lucent 206.46

2 -17.1% Rank -48.37 2 5.0% Air France 43.10 2 13.8% Alcatel Lucent 203.03 2 8.8% Smurfit Kappa SUB 18.90

3 -17.8% VNU -17.72 3 2.9% Sol Melia 26.45 3 11.2% Smurfit Kappa SUB 23.52 3 6.7% Stora Enso 25.15

4 -17.8% Cable & Wireless Communications -127.98 4 0.6% Stora Enso 2.54 4 7.4% Smurfit Kappa SR 12.25 4 5.1% UPM Kymmene 17.26

5 -18.3% British Airways -150.54 5 -3.3% Wind Telecomunicazioni -44.06 5 0.3% Stora Enso 1.35 5 4.8% Smurfit Kappa SR 8.06

6 -20.1% Corus -147.27 6 -5.6% Alcatel Lucent -98.59 6 -1.3% VNU -1.12 6 4.4% Fresenius 9.10

7 -22.2% TITIM -125.18 7 -6.8% Corus -42.97 7 -2.5% PROSIEBEN -7.51 7 -1.7% Cable & Wireless Communications -10.00

8 -22.9% Stora Enso -119.56 8 -6.8% Rank -17.27 8 -3.5% ISS (DC) -8.59 8 -1.7% VNU -1.41

9 -23.5% Codere -469.86 9 -9.1% UPM Kymmene -35.62 9 -6.0% Fresenius -13.93 9 -2.1% Corus -12.82

10 -23.7% Wind Telecomunicazioni -397.40 10 -9.8% Cable & Wireless Communications -64.65 10 -6.3% Cable & Wireless Communications -40.00 10 -2.6% PROSIEBEN -7.89

11 -29.8% Fiat -343.39 11 -10.1% TITIM -49.02 11 -7.7% UPM Kymmene -29.63 11 -6.8% ISS (DC) -17.51

12 -31.0% Sol Melia -418.85 12 -10.2% Fresenius -24.76 12 -7.8% Rank -19.99 12 -7.4% M-Real -45.92

13 -31.0% Air France -410.83 13 -10.9% VNU -10.05 13 -8.5% Corus -54.42 13 -8.5% Rank -21.80

14 -31.5% UPM Kymmene -163.40 14 -13.3% British Airways -102.82 14 -9.0% Wind Telecomunicazioni -126.68 14 -8.6% British Airways -62.92

15 -33.4% SAS -642.35 15 -17.4% Norske Skog -362.02 15 -10.0% Ladbrokes -32.13 15 -9.1% Ardagh -64.20

16 -36.9% PORTEL -373.72 16 -20.4% Fiat -207.54 16 -10.4% TITIM -50.68 16 -9.4% Hanson -17.89

17 -37.5% Unitymedia (IESY) -277.21 17 -21.6% Hellenic Telecom (OTE) -432.46 17 -10.6% Ineos -92.30 17 -10.3% Ineos -89.28

18 -37.7% Fresenius -131.65 18 -21.8% Ladbrokes -80.79 18 -14.6% M-Real -98.66 18 -11.5% Ladbrokes -37.74

19 -39.4% Stena -444.91 19 -22.5% Stena -199.33 19 -17.0% Norske Skog -352.69 19 -11.8% Convatec -112.90

20 -40.0% UPC -354.86 20 -24.0% Wendel -141.36 20 -17.4% SAS -269.72 20 -12.6% SAS -184.15

Top Twenty Laggards from 1-Jun-12 Top Twenty Laggards from 1-July-12

Top Twenty Outperformers from Lows Top Twenty Outperformers from 1-Jan-12 Top Twenty Outperformers from 1-Jun-12 Top Twenty Outperformers from 1-July-12

Top Twenty Laggards from Lows Top Twenty Laggards from 1-Jan-12


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12B14BBond movers by sector

Exhibit 6: Chemicals, Paper, Metals and Building Materials

Company Bond Description Price YTW Price YTW Price YTW Price YTW Price YTW

Current Current Low (LTM) High (LTM) 2-Jan-12 2-Jan-12 1-Jun-12 1-Jun-12 1-Jul-12 1-Jul-12 Absolute % Absolute % Absolute % Absolute %

Chemicals

Evonik Carbon Black 10.0 % Snr Notes 108.57 8.11% 79.51 14.94% 89.43 12.43% 99.61 10.09% 102.52 9.44% 29.05 36.54% 19.14 21.41% 8.96 8.99% 6.05 5.91%

Ineos 9.250% sn sec nts 107.80 6.08% 89.99 12.80% 99.00 9.60% 106.00 6.96% 106.99 6.53% 17.81 19.79% 8.80 8.89% 1.80 1.70% 0.81 0.76%

Ineos E+6.000% sn sec FRNs 101.07 7.08% 96.08 8.03% NA NA 97.21 7.81% 98.80 7.50% 4.99 5.20% NA NA 3.86 3.97% 2.27 2.30%

Ineos 7.875% Snr Notes 89.78 11.54% 60.25 22.70% 74.83 16.54% 83.78 13.60% 86.85 12.50% 29.53 49.02% 14.94 19.97% 6.00 7.16% 2.93 3.37%

Kerling 10.625% Snr Secured Notes 90.24 13.63% 76.30 17.66% 88.83 13.75% 89.44 13.76% 88.66 14.06% 13.94 18.27% 1.41 1.58% 0.80 0.90% 1.59 1.79%

OXEA 9.625% sn sec notes 111.14 6.90% 91.29 11.74% 98.50 9.98% 105.74 8.22% 107.14 7.88% 19.85 21.75% 12.64 12.83% 5.40 5.10% 4.00 3.74%

Styrolution 7.625% Sec Nts 88.55 11.49% 67.40 18.72% 71.67 17.09% 83.18 13.23% 85.65 12.40% 21.15 31.38% 16.88 23.56% 5.37 6.45% 2.90 3.38%

Paper

Lecta E+5.500% sn sec FRNs 96.12 6.62% 92.25 7.79% NA NA 96.97 6.79% 94.00 7.41% 3.86 4.19% NA NA (0.85) -0.88% 2.11 2.25%

Lecta 8.875% sn sec notes 98.55 9.16% 92.14 10.50% NA NA 96.49 9.58% 94.70 9.96% 6.41 6.96% NA NA 2.06 2.14% 3.86 4.07%

M-Real 7.250% sn notes 103.69 2.41% 93.99 13.36% 98.17 10.33% 103.77 4.00% 104.19 2.97% 9.70 10.32% 5.52 5.63% (0.08) -0.08% (0.50) -0.48%

Sappi 11.750% sn sec notes 106.30 8.14% 102.06 10.86% 106.94 8.68% 106.82 8.22% 106.95 8.04% 4.24 4.15% (0.64) -0.60% (0.52) -0.49% (0.65) -0.61%

Sappi 6.625% sn sec notes 100.68 6.48% 79.11 11.23% 86.46 9.54% 95.07 7.68% 96.91 7.29% 21.56 27.26% 14.21 16.44% 5.61 5.90% 3.77 3.89%

Stora Enso E+4.210% sn notes 103.00 3.75% 99.25 5.94% 104.88 4.43% 102.81 4.18% 103.69 3.93% 3.75 3.78% (1.88) -1.79% 0.19 0.18% (0.69) -0.66%

Stora Enso 5.500% sn notes 100.13 5.47% 97.20 6.01% NA NA 97.20 6.01% 98.87 5.70% 2.93 3.01% NA NA 2.93 3.01% 1.26 1.27%

UPM-Kymmene 6.625% sn notes 105.00 5.31% 95.00 7.82% 96.00 7.61% 102.25 6.04% 102.50 5.97% 10.00 10.53% 9.00 9.38% 2.75 2.69% 2.50 2.44%

Metals and basic materials

Befesa Zinc 8.875% sec nts 93.49 10.41% 70.28 16.42% 75.83 14.84% 87.33 11.91% 88.33 11.67% 23.21 33.03% 17.65 23.28% 6.15 7.05% 5.16 5.84%

New World Resources 7.875% sn sec nts 100.55 7.75% 85.77 10.97% 93.61 9.23% 92.94 9.46% 95.15 8.96% 14.78 17.23% 6.93 7.40% 7.61 8.18% 5.39 5.67%

New World Resources 7.375% sn nts 101.38 6.80% 85.17 12.63% 94.00 9.49% 95.58 9.12% 96.96 8.59% 16.21 19.03% 7.38 7.85% 5.80 6.07% 4.42 4.56%

Building Materials

HeidelbergCement 7.500% sn notes 110.47 2.51% 101.94 6.79% 106.78 4.89% 109.39 3.39% 109.98 3.01% 8.53 8.37% 3.69 3.46% 1.08 0.99% 0.49 0.44%








HeidelbergCement 9.25% sn nts 77.18 15.45% 57.33 21.99% 59.48 21.18% 72.83 16.69% 71.00 17.39% 19.85 34.63% 17.71 29.77% 4.36 5.98% 6.18 8.71%

Ideal Standard 11.750% Sec nts 69.15 21.36% 50.79 29.81% 61.17 23.93% 63.63 23.41% 68.25 21.55% 18.36 36.15% 7.99 13.06% 5.53 8.69% 0.90 1.32%

Wendel 4.875% sn notes 103.40 3.23% 92.28 7.69% 99.63 5.01% 102.12 3.93% 102.31 3.81% 11.12 12.05% 3.78 3.79% 1.29 1.26% 1.09 1.07%

Wendel 4.875% sn notes 102.51 3.99% 85.12 9.46% 94.18 6.69% 99.93 4.89% 100.62 4.66% 17.39 20.43% 8.32 8.84% 2.58 2.58% 1.88 1.87%

Wendel 4.875% sn notes 101.41 4.45% 81.41 9.98% 90.21 7.57% 97.82 5.50% 99.86 4.91% 20.00 24.56% 11.20 12.41% 3.58 3.66% 1.55 1.55%

Wendel 4.375% sn notes 97.74 4.90% 74.95 10.29% 84.23 7.97% 92.47 6.11% 94.25 5.70% 22.80 30.42% 13.52 16.05% 5.27 5.70% 3.49 3.70%

Wendel 6.750% sn notes 105.40 5.60% 84.48 10.09% 93.19 8.17% 102.91 6.14% 103.55 6.00% 20.92 24.77% 12.21 13.11% 2.49 2.42% 1.85 1.79%

Xella 8.000% Secured Nts 98.25 8.38% 83.08 11.74% 91.11 9.90% 90.96 10.05% 97.08 8.64% 15.17 18.26% 7.14 7.83% 7.29 8.01% 1.17 1.20%

Price change from lowsPrice change from

1-Jan-12

Price change from

1-Jun-12

Price change from

1-July-12


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Exhibit 7: Constructions, Capital Goods and Automotive



Construction

Abengoa 9.625% sn nts 102.36 8.55% 97.53 10.62% 103.08 8.49% 97.88 10.55% 98.75 10.18% 4.83 4.96% (0.72) -0.70% 4.48 4.58% 3.62 3.66%

Abengoa 8.500% sn nts 93.87 10.59% 87.34 12.94% 96.42 9.54% 92.52 10.94% 91.25 11.43% 6.54 7.48% (2.54) -2.64% 1.36 1.47% 2.62 2.87%

Capital Goods

ALBA 8.0% sn nts 105.61 6.79% 89.84 10.15% 97.00 8.62% 101.25 7.73% 101.33 7.71% 15.78 17.56% 8.61 8.88% 4.36 4.31% 4.28 4.22%

Elster 6.250% sn nts 110.75 4.09% 91.37 7.98% 96.94 6.85% 103.33 5.58% 109.37 4.40% 19.38 21.21% 13.81 14.24% 7.42 7.18% 1.38 1.27%

Heckler & Koch 9.500% Sec nts 75.89 16.10% 61.30 20.55% 63.17 19.95% 69.63 18.03% 75.00 16.26% 14.59 23.81% 12.73 20.15% 6.27 9.00% 0.89 1.19%

HeidelbergerDruck 9.250% sn notes 77.18 15.45% 57.33 21.99% 59.48 21.18% 72.83 16.69% 71.00 17.39% 19.85 34.63% 17.71 29.77% 4.36 5.98% 6.18 8.71%

KION 7.000% sn nts 100.38 7.79% 66.94 16.30% 75.98 13.69% 93.64 9.30% 96.38 8.68% 33.44 49.96% 24.40 32.12% 6.75 7.20% 4.01 4.16%

KION E+4.250% sn sec nts 94.02 5.80% 68.89 12.90% 70.10 12.48% 88.42 7.34% 86.70 7.75% 25.13 36.48% 23.91 34.11% 5.59 6.33% 7.32 8.44%

Rexel 8.250% sn nts 111.08 5.33% 99.10 8.46% 106.25 6.74% 107.02 6.44% 109.69 5.75% 11.98 12.09% 4.83 4.55% 4.07 3.80% 1.40 1.27%

Rexel 7.000% sn nts 110.69 5.00% 92.06 8.49% 97.50 7.47% 103.85 6.27% 106.08 5.86% 18.63 20.24% 13.19 13.53% 6.84 6.58% 4.61 4.35%

Automotive

Aston Martin 9.250% Snr Nts 85.75 12.76% 62.06 19.85% 63.06 19.49% 74.81 15.83% 79.75 14.38% 23.69 38.17% 22.69 35.98% 10.94 14.62% 6.00 7.52%

Continental 7.125% sn sec notes 107.94 5.58% 91.03 8.87% 100.81 6.97% 104.70 6.22% 106.38 5.89% 16.91 18.57% 7.13 7.07% 3.24 3.09% 1.56 1.47%



Continental 8.500% sn sec notes 109.71 4.85% 101.44 8.04% 107.70 6.04% 109.46 5.16% 110.21 4.84% 8.27 8.15% 2.01 1.87% 0.25 0.22% (0.50) -0.46%

Faurecia 9.375% sn notes 109.96 6.67% 98.18 9.83% 100.41 9.26% 106.97 7.53% 109.84 6.77% 11.77 11.99% 9.55 9.51% 2.99 2.80% 0.11 0.10%

Faurecia 8.750% sub notes 100.29 8.68% 94.18 9.91% NA NA 94.26 9.89% 96.89 9.36% 6.11 6.49% NA NA 6.04 6.40% 3.41 3.52%

Fiat 9.000% sn notes NA NA 100.03 7.07% 102.16 4.89% 100.95 2.35% 100.50 1.80% NA NA NA NA NA NA NA NA

Fiat 6.625% sn notes 101.96 2.36% 95.75 10.05% 100.39 6.24% 102.03 3.61% 101.90 3.46% 6.21 6.49% 1.56 1.56% (0.08) -0.08% 0.06 0.06%

Fiat 7.625% sn notes 104.61 5.19% 93.50 10.29% 98.80 8.11% 103.08 6.11% 103.54 5.85% 11.11 11.88% 5.81 5.88% 1.53 1.48% 1.07 1.03%

Fiat 6.875% sn notes 102.78 5.61% 89.60 10.71% 95.61 8.53% 100.26 6.75% 101.97 6.02% 13.18 14.71% 7.17 7.50% 2.52 2.51% 0.81 0.79%

Fiat 6.375% sn notes 98.78 6.75% 81.44 12.09% 87.04 10.28% 94.35 8.14% 96.57 7.45% 17.33 21.28% 11.73 13.48% 4.43 4.69% 2.21 2.29%

Fiat 5.625% sn notes 97.04 6.35% 78.70 10.94% 84.07 9.50% 92.71 7.42% 96.16 6.56% 18.34 23.31% 12.97 15.43% 4.33 4.67% 0.88 0.91%

Goodyear 6.750% sn notes 104.18 5.98% 88.58 8.86% 93.21 7.99% 99.98 6.75% 101.57 6.46% 15.60 17.60% 10.97 11.76% 4.20 4.20% 2.61 2.57%

Jaguar Land Rover 8.125% sn notes 106.19 6.80% 83.38 11.82% 92.13 9.81% 99.69 8.19% 103.56 7.36% 22.81 27.36% 14.06 15.26% 6.50 6.52% 2.62 2.53%

Jaguar Land Rover 8.250% sn notes 105.56 7.28% 97.94 8.62% NA NA 98.44 8.53% 102.06 7.89% 7.63 7.79% NA NA 7.12 7.24% 3.50 3.43%

TMD Friction 10.750% Snr Sec Nts 115.25 6.90% 99.00 10.99% 101.44 10.39% 115.44 7.00% 114.69 7.12% 16.25 16.41% 13.81 13.62% (0.19) -0.16% 0.56 0.49%


1-Jan-12

Price change from

1-Jun-12

Price change from

1-July-12


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Exhibit 8: Retail, Consumer and Healthcare



Retail

DFS 9.75% sn sec notes 103.75 8.78% 80.13 15.01% 82.00 14.61% 95.56 10.90% 99.50 9.88% 23.63 29.49% 21.75 26.52% 8.19 8.57% 4.25 4.27%

Dixons Retail 6.125% sn notes 100.56 3.31% 94.81 11.73% 96.25 10.80% 100.50 4.79% 100.69 4.06% 5.75 6.06% 4.31 4.48% 0.06 0.06% (0.13) -0.12%

Dixons Retail 8.75% sn notes 102.38 7.82% 79.38 16.42% 80.13 16.29% 98.56 9.28% 99.63 8.89% 23.00 28.98% 22.25 27.77% 3.81 3.87% 2.75 2.76%

Edcon E+3.25% sn sec FRNs 92.06 8.30% 72.61 17.73% 75.43 16.96% 84.15 12.82% 90.97 8.94% 19.45 26.79% 16.63 22.05% 7.91 9.40% 1.09 1.20%

Edcon E+5.5% sn FRNs 85.16 12.06% 60.77 22.97% 62.42 22.73% 75.58 16.46% 85.70 11.91% 24.39 40.13% 22.74 36.42% 9.57 12.66% (0.55) -0.64%

Edcon 9.5% sn sec notes 94.13 10.95% 73.54 16.31% 79.14 14.76% 86.31 12.95% 92.72 11.27% 20.58 27.99% 14.99 18.94% 7.82 9.05% 1.41 1.52%

House of Fraser 8.875% sn sec notes 90.31 11.14% 76.31 14.53% 78.44 13.96% 86.31 12.07% 87.19 11.88% 14.00 18.35% 11.87 15.14% 4.00 4.63% 3.12 3.58%

Matalan 8.875% sn sec notes 93.69 11.00% 66.06 21.15% 67.13 20.75% 81.31 15.43% 86.44 13.53% 27.63 41.82% 26.56 39.57% 12.37 15.22% 7.25 8.39%

Matalan 9.625% sn notes 79.56 16.09% 45.50 31.35% 46.38 30.89% 62.75 22.73% 64.81 21.91% 34.06 74.86% 33.19 71.56% 16.81 26.79% 14.75 22.76%

Phones4u 9.5% sn sec notes 97.00 10.21% 70.63 17.20% 80.44 14.34% 87.19 12.67% 90.56 11.80% 26.38 37.35% 16.56 20.59% 9.81 11.25% 6.44 7.11%

Picard Bondco 9% sn notes 109.81 6.99% 93.88 10.25% 99.25 9.15% 105.87 7.80% 106.00 7.77% 15.94 16.97% 10.56 10.64% 3.94 3.72% 3.81 3.59%

Consumer

Bakkavor 8.25% sn sec notes 88.63 11.08% 65.69 17.38% 68.00 16.82% 82.25 12.72% 87.00 11.45% 22.94 34.92% 20.63 30.33% 6.38 7.75% 1.63 1.87%

Boparan 9.75% sn notes 106.26 8.34% 75.60 15.87% 83.75 13.66% 99.29 9.91% 105.82 8.46% 30.66 40.55% 22.51 26.87% 6.97 7.02% 0.44 0.41%

Boparan 9.875% sn notes 105.69 8.58% 74.44 16.38% 82.06 14.27% 97.75 10.39% 104.00 8.97% 31.25 41.98% 23.62 28.79% 7.94 8.12% 1.69 1.62%

Campofrio Food Group SA 8.25% sn notes 100.50 8.10% 89.89 10.90% 99.50 8.37% 95.44 9.54% 98.64 8.63% 10.61 11.80% 0.99 1.00% 5.06 5.30% 1.86 1.88%

Foodcorp 8.75% sn sec notes 104.83 7.66% 82.30 12.89% 84.79 12.34% 96.25 9.61% 98.99 8.98% 22.54 27.38% 20.04 23.64% 8.59 8.92% 5.85 5.91%

Ontex 7.5% sn sec notes 100.43 7.40% 85.95 10.54% 89.83 9.70% 95.56 8.47% 98.11 7.91% 14.49 16.86% 10.61 11.81% 4.88 5.10% 2.32 2.37%

Ontex E+4.125% sn sec FRNs 94.95 5.47% 84.03 8.90% 85.47 8.44% 91.06 6.63% 91.75 6.48% 10.92 12.99% 9.48 11.09% 3.89 4.27% 3.20 3.49%

Ontex 9% sn notes 90.94 10.95% 68.22 16.69% 68.22 16.69% 82.84 12.83% 85.25 12.26% 22.72 33.31% 22.72 33.31% 8.10 9.77% 5.69 6.68%

Refresco 7.375% sn sec notes 93.84 8.76% 86.97 10.17% 94.29 8.56% 87.76 10.17% 93.93 8.72% 6.87 7.89% (0.45) -0.48% 6.08 6.92% (0.08) -0.09%

Refresco E+4% sn sec FRNs 93.79 5.57% 87.91 7.51% 95.50 6.26% 90.25 6.65% 92.73 6.13% 5.88 6.69% (1.71) -1.79% 3.54 3.92% 1.06 1.14%

R&R Ice Cream PLC 8.375% sn sec notes 104.30 7.36% 80.96 13.07% 86.33 11.65% 98.67 8.68% 99.60 8.47% 23.34 28.83% 17.97 20.81% 5.63 5.70% 4.70 4.72%

Tereos 6.375% 2014 Senior Notes 105.78 2.72% 97.97 7.22% 103.31 4.82% 104.26 3.97% 104.65 3.65% 7.81 7.97% 2.47 2.39% 1.52 1.46% 1.13 1.08%

Healthcare

Capsugel 9.875% sn notes 112.63 7.50% 91.13 11.63% 102.63 9.38% 105.31 8.85% 108.88 8.20% 21.50 23.59% 10.00 9.74% 7.31 6.94% 3.75 3.44%

Care UK 9.75% sn sec notes 106.38 8.15% 81.81 14.48% 90.81 12.06% 100.00 9.74% 103.06 8.98% 24.56 30.02% 15.56 17.14% 6.38 6.38% 3.31 3.21%

Cegedim 7% sn notes 95.12 8.94% 69.94 18.77% 70.50 18.70% 91.80 10.11% 98.17 7.68% 25.18 36.00% 24.62 34.92% 3.32 3.61% (3.05) -3.11%

Celesio 4.5% sn notes 103.67 3.63% 91.59 6.35% 95.87 5.41% 103.62 3.68% 102.37 3.95% 12.08 13.19% 7.80 8.14% 0.05 0.05% 1.30 1.27%

Convatec 7.375% sn sec notes 106.58 5.91% 88.50 9.87% 98.09 7.78% 100.44 7.28% 104.00 6.49% 18.08 20.43% 8.49 8.65% 6.14 6.11% 2.58 2.48%

Convatec 10.875% sn notes 105.57 9.67% 80.17 15.54% 85.70 14.17% 96.88 11.57% 100.08 10.85% 25.40 31.69% 19.87 23.18% 8.69 8.97% 5.48 5.48%

Fresenius 5.000% 2013 Senior Notes 101.85 0.61% 101.81 3.38% 103.00 2.15% 102.45 1.21% 101.96 1.55% 0.04 0.04% (1.15) -1.11% (0.60) -0.58% (0.11) -0.11%

Fresenius 8.750% 2015 Senior Notes 118.19 2.19% 113.63 4.88% 116.06 3.83% 116.19 3.23% 116.94 2.86% 4.56 4.02% 2.12 1.83% 2.00 1.72% 1.25 1.07%

Fresenius 5.500% 2016 Senior Notes 107.47 3.18% 102.53 4.85% 105.30 4.07% 106.53 3.57% 107.22 3.34% 4.95 4.82% 2.17 2.06% 0.94 0.88% 0.25 0.24%

FMC 5.5% sn notes 112.27 2.18% 102.99 4.80% 106.25 3.98% 107.99 3.40% 109.14 3.07% 9.28 9.01% 6.02 5.66% 4.28 3.97% 3.13 2.87%

FMC 6.5% sn notes 117.48 3.29% 100.97 6.33% 107.67 5.13% 110.09 4.63% 111.23 4.41% 16.51 16.35% 9.81 9.11% 7.39 6.71% 6.25 5.62%

FMC 5.25% sn notes 110.58 3.78% 92.72 6.29% 99.89 5.26% 103.30 4.78% 104.09 4.67% 17.86 19.27% 10.69 10.70% 7.28 7.05% 6.49 6.23%

Labco 8.5% sn sec notes 95.08 9.69% 90.35 10.86% NA NA NA NA 90.95 10.71% 4.73 5.23% NA NA NA NA 4.13 4.54%

Phoenix Pharmahandel 9.625% sn notes 112.36 2.83% 103.21 8.29% 108.00 6.16% 108.87 5.13% 110.93 3.97% 9.14 8.86% 4.36 4.04% 3.49 3.21% 1.43 1.29%

Priory 7% sn sec notes 100.88 6.80% 89.38 9.29% 91.75 8.77% 95.50 8.00% 97.19 7.62% 11.50 12.87% 9.13 9.95% 5.38 5.63% 3.69 3.79%

Priory 8.875% sn notes 93.88 10.19% 77.94 13.79% 81.25 12.99% 85.81 12.02% 88.19 11.47% 15.94 20.45% 12.63 15.54% 8.06 9.39% 5.69 6.45%


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Exhibit 9: Packaging, Services and Gaming



Packaging

Ardagh 9.25% Snr Secured Notes 109.50 6.42% 100.81 9.04% 105.13 7.87% 107.56 7.08% 109.56 6.49% 8.69 8.62% 4.38 4.16% 1.94 1.80% (0.06) -0.06%

Ardagh 7.375% Snr Secured Notes 106.51 5.89% 90.74 9.38% 98.75 7.64% 102.82 6.74% 105.29 6.18% 15.77 17.37% 7.76 7.85% 3.68 3.58% 1.22 1.16%

Ardagh 7.125%Snr Notes 99.63 7.22% 74.50 13.72% 86.69 10.39% 92.06 9.13% 95.06 8.36% 25.13 33.72% 12.94 14.92% 7.56 8.21% 4.56 4.80%

Ardagh 8.75% Snr Notes 100.05 8.74% 74.87 13.94% 87.00 11.24% 94.05 9.87% 97.10 9.29% 25.18 33.63% 13.05 15.00% 6.00 6.38% 2.96 3.05%

Ardagh 9.25% Snr Notes 103.02 8.72% 77.00 13.79% 90.75 10.91% 98.55 9.50% 100.23 9.21% 26.02 33.79% 12.27 13.52% 4.47 4.54% 2.79 2.78%

Ardagh 11.125% PIK Notes 91.73 13.20% 69.22 17.76% 78.05 15.38% 85.10 14.02% 90.17 13.16% 22.50 32.51% 13.68 17.52% 6.62 7.78% 1.56 1.73%

Bormoili 10.00% Senior secured Notes 98.55 10.33% 91.50 12.00% 96.10 10.84% 94.92 11.16% 93.00 11.63% 7.05 7.70% 2.45 2.55% 3.63 3.83% 5.55 5.97%

Clondalkin E+2.000% Snr Secured Notes NA NA 92.60 7.39% 93.40 6.96% NA NA NA NA NA NA NA NA NA NA NA NA

Clondalkin 8% Secured Notes 82.68 21.76% 73.00 24.74% 76.83 21.58% 80.06 22.15% 80.04 22.80% 9.68 13.26% 5.85 7.61% 2.62 3.27% 2.64 3.30%

Consol 7.625% Snr Notes 101.91 NA 93.50 20.55% 99.19 11.95% 100.38 14.48% 100.94 14.36% 8.41 8.99% 2.72 2.74% 1.53 1.53% 0.97 0.96%

Crown 7.125% Snr Notes 110.11 5.14% 94.28 8.22% 101.75 6.79% 106.32 5.89% 108.21 5.52% 15.83 16.79% 8.36 8.21% 3.79 3.56% 1.90 1.75%

Nordenia 9.75% Secured Notes 115.75 5.98% 86.50 13.15% 102.25 9.22% 106.60 8.14% 107.83 7.84% 29.25 33.82% 13.50 13.20% 9.15 8.58% 7.92 7.34%

Owens-Illinois 6.75% Snr Notes NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA

Owens-Illinois 6.875% Snr Notes 103.67 5.95% 92.29 8.67% 100.94 6.66% 102.82 6.19% 103.63 5.98% 11.38 12.33% 2.73 2.70% 0.85 0.82% 0.04 0.04%

Reynolds 7.75% Snr Sec Notes 104.46 6.50% 95.09 9.00% 103.31 6.92% 102.94 6.95% 104.71 6.47% 9.36 9.85% 1.15 1.11% 1.52 1.48% (0.25) -0.24%

Reynolds 8% Senior Notes 99.02 8.27% 73.67 15.57% 84.83 12.16% 88.73 11.25% 94.85 9.44% 25.35 34.42% 14.19 16.72% 10.30 11.60% 4.17 4.40%

Reynolds 9.5% Snr Notes 98.04 10.02% 62.70 21.04% 79.67 15.10% 85.80 13.48% 93.75 11.18% 35.33 56.36% 18.37 23.06% 12.24 14.26% 4.29 4.57%

Smurfit Kappa 7.25% Snr Secured Notes 108.34 5.39% 93.68 8.57% 103.00 6.62% 103.76 6.42% 106.40 5.84% 14.66 15.65% 5.34 5.18% 4.57 4.41% 1.93 1.82%

Smurfit Kappa 7.75% Snr Secured Notes 110.66 5.91% 94.17 8.76% 103.33 7.19% 105.80 6.75% 107.66 6.43% 16.49 17.51% 7.32 7.09% 4.86 4.60% 3.00 2.79%

Smurfit Kappa 7.75% Snr Notes 101.84 6.96% 92.90 10.22% 100.83 7.45% 101.66 7.08% 101.89 6.97% 8.94 9.62% 1.02 1.01% 0.18 0.18% (0.05) -0.05%

Yioula 9% Snr Notes 51.06 35.44% 42.00 42.26% 44.31 37.05% 42.00 42.22% 45.38 39.44% 9.06 21.58% 6.75 15.23% 9.06 21.58% 5.69 12.53%

Guala 9.375% Snr Notes 97.94 9.86% 70.56 17.03% 82.63 13.57% 90.00 11.78% 93.06 11.02% 27.38 38.80% 15.31 18.53% 7.94 8.82% 4.87 5.24%

Services

British Airways 7.250% sn nts 106.44 6.87% 95.19 10.06% 95.56 9.96% 100.81 8.51% 101.75 8.24% 11.25 11.82% 10.87 11.38% 5.62 5.58% 4.69 4.61%

Carlson Wagonlit E+5.750% sn sec nts NA NA 72.93 17.61% 83.33 13.34% 100.23 6.34% 100.23 6.34% NA NA NA NA NA NA NA NA

Europcar 9.750% sn sec nts 103.48 8.86% 67.42 19.31% 78.17 15.77% 93.40 11.47% 97.25 10.46% 36.06 53.49% 25.31 32.38% 10.08 10.79% 6.23 6.40%

Europcar E+3.500% sub sec nts 99.63 0.30% 72.00 29.94% 72.38 29.94% 99.41 4.83% 99.59 4.66% 27.63 38.37% 27.25 37.65% 0.22 0.22% 0.03 0.03%

Europcar 9.375% sub nts 73.50 16.15% 66.00 19.31% NA NA 66.00 19.30% 68.00 18.63% 7.50 11.36% NA NA 7.50 11.36% 5.50 8.09%

GEO Travel 10.375% snr nts 101.19 10.12% 80.88 14.64% 84.88 13.70% 92.13 12.09% 92.06 12.11% 20.31 25.12% 16.31 19.22% 9.06 9.84% 9.12 9.91%

Hapag-Lloyd 9.000% sn nts 105.28 7.08% 74.38 18.28% 88.33 13.00% 99.71 9.09% 102.10 8.25% 30.91 41.55% 16.96 19.20% 5.57 5.58% 3.19 3.12%

Hertz 8.500% sn sec nts 109.60 4.93% 96.67 9.54% 103.42 7.39% 107.33 5.91% 108.25 5.58% 12.93 13.38% 6.18 5.97% 2.26 2.11% 1.35 1.24%

Hertz 7.875% sn nts NA NA 96.33 16.62% 99.99 7.97% NA NA NA NA NA NA NA NA NA NA NA NA

Inaer 9.500% sn sec nts 88.30 12.77% 70.00 18.03% 80.54 14.73% 83.21 14.19% 85.97 13.39% 18.30 26.13% 7.76 9.63% 5.09 6.12% 2.33 2.71%

International Personal Finance 11.500% sn nts 107.96 8.33% 84.63 17.27% 94.83 13.32% 104.58 9.72% 104.58 9.70% 23.33 27.56% 13.13 13.85% 3.38 3.23% 3.38 3.23%

ISS 11.000% sn sec nts 105.67 7.55% 102.10 10.10% 105.75 8.35% 105.81 7.84% 106.53 7.34% 3.56 3.49% (0.08) -0.08% (0.14) -0.13% (0.86) -0.81%

ISS 8.875% sub sec nts 104.21 7.55% 87.20 12.62% 95.70 10.11% 98.65 9.29% 101.16 8.51% 17.00 19.50% 8.51 8.89% 5.56 5.63% 3.05 3.01%

Royal Caribbean Cruises 5.625% sn nts 102.80 3.54% 92.75 9.25% 98.00 6.69% 101.89 4.39% 102.32 4.05% 10.05 10.83% 4.80 4.90% 0.91 0.89% 0.48 0.47%

Stena AB 6.125% sn nts 98.45 6.53% 79.49 11.29% 89.00 8.86% 92.99 7.95% 95.76 7.23% 18.96 23.85% 9.45 10.62% 5.46 5.87% 2.69 2.81%

Stena AB 5.875% sn nts 90.63 7.75% 73.55 11.22% 78.00 10.33% 84.60 9.00% 87.86 8.31% 17.08 23.22% 12.63 16.19% 6.03 7.12% 2.77 3.15%

Stena AB 7.875% sn nts 98.83 8.08% 78.65 11.94% 84.06 10.86% 90.92 9.55% 95.20 8.74% 20.18 25.66% 14.77 17.57% 7.91 8.70% 3.63 3.81%

Towergate 8.500% sn sec nts 98.81 8.78% 85.19 11.89% 89.31 10.94% 93.31 10.07% 94.31 9.84% 13.63 15.99% 9.50 10.64% 5.50 5.89% 4.50 4.77%

Towergate 10.500% sn nts 93.56 11.96% 79.31 15.27% 81.69 14.73% 87.75 13.32% 88.88 13.06% 14.25 17.97% 11.87 14.54% 5.81 6.62% 4.69 5.27%

TUI AG 5.125% sn nts 100.98 1.64% 97.11 7.46% 101.08 3.93% 100.63 3.87% 100.60 3.70% 3.87 3.99% (0.10) -0.10% 0.35 0.35% 0.38 0.38%

Verisure Holding E+650 sn nts 97.95 7.22% 93.45 8.53% NA NA 93.81 8.44% 94.95 8.20% 4.50 4.82% NA NA 4.14 4.42% 3.00 3.16%

Gaming

Cirsa 8.750% 2018 Senior Notes 87.16 11.90% 71.75 15.79% 83.83 12.50% 80.62 13.61% 82.58 13.09% 15.41 21.48% 3.33 3.97% 6.55 8.12% 4.58 5.54%

Codere 8.250% 2015 Senior Notes 81.00 17.05% 72.89 21.03% NA NA 87.55 13.38% 73.95 20.44% 8.11 11.13% NA NA (6.55) -7.48% 7.05 9.53%

Boats E+7.50% 2015 PIK Loan 26.71 61.76% 23.75 64.74% 57.25 27.85% 43.25 39.06% 26.50 58.96% 2.96 12.46% (30.54) -53.35% (16.54) -38.25% 0.21 0.79%

Gala 8.875% Secured Notes 94.31 10.16% 72.06 15.78% 74.19 15.17% 85.63 12.24% 88.44 11.55% 22.25 30.88% 20.12 27.13% 8.69 10.15% 5.87 6.64%

Gala 11.500% Senior Notes 77.88 17.14% 54.00 25.65% 54.19 25.57% 68.06 20.24% 71.13 19.21% 23.88 44.21% 23.69 43.71% 9.81 14.42% 6.75 9.49%

Ladbrokes 7.125% 2012 Notes NA NA 100.26 5.12% 101.51 3.99% 100.58 0.70% 100.44 -14.93% NA NA NA NA NA NA NA NA

Ladbrokes 7.625% 2017 Notes 109.00 5.36% 98.13 8.06% 101.19 7.34% 106.25 6.08% 106.88 5.92% 10.88 11.08% 7.81 7.72% 2.75 2.59% 2.13 1.99%

Lottomatica 8.25% 2066 Subord Int-Deferrable Capital 94.27 6.64% 75.10 8.69% 78.24 8.29% 82.73 7.72% 87.11 7.28% 19.17 25.53% 16.03 20.49% 11.53 13.94% 7.16 8.22%

Peermont 7.750% 2014 Senior Secured Notes 95.19 10.95% 75.40 20.56% 80.99 17.97% 91.65 12.82% 93.40 11.88% 19.80 26.26% 14.20 17.54% 3.55 3.87% 1.80 1.93%

William Hill 7.125% 2016 Guaranteed Notes 111.25 4.18% 99.50 7.24% 102.31 6.56% 107.44 5.22% 108.00 5.05% 11.75 11.81% 8.94 8.73% 3.81 3.55% 3.25 3.01%


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Exhibit 10: Cable and Telecoms



Cable Sector

Com Hem 10.75% Snr Notes 107.40 9.30% 86.98 13.50% 93.83 12.00% 102.02 10.35% 103.67 10.02% 20.42 23.47% 13.57 14.46% 5.38 5.28% 3.73 3.60%

Kabel Deutschland 6.500% Secured Nts 108.48 4.82% 96.68 7.11% 103.68 5.81% 104.62 5.59% 107.54 5.03% 11.79 12.20% 4.80 4.62% 3.86 3.69% 0.94 0.87%

Numericable 12.750% Snr Secured Nts 104.73 11.32% 93.12 13.97% NA NA 93.34 13.93% 95.84 13.33% 11.61 12.47% NA NA 11.40 12.21% 8.89 9.28%

ONO 8.875% Snr Secured Nts 91.29 10.82% 79.24 13.48% 89.20 11.16% 87.06 11.78% 87.42 11.72% 12.06 15.22% 2.09 2.34% 4.23 4.86% 3.87 4.43%

ONO 11.125% Snr Notes 80.95 15.75% 63.18 20.89% 79.00 16.02% 80.16 15.87% 79.03 16.23% 17.77 28.13% 1.95 2.47% 0.79 0.98% 1.93 2.44%

Telenet 6.375% Snr Secured Nts 104.41 5.69% 89.20 8.07% 96.85 6.85% 98.32 6.64% 99.33 6.48% 15.20 17.04% 7.56 7.80% 6.09 6.19% 5.08 5.12%

Telenet 6.625% Snr Secured Nts 104.94 5.88% 89.44 8.27% 96.56 7.14% 99.13 6.76% 100.18 6.60% 15.50 17.33% 8.38 8.68% 5.81 5.86% 4.76 4.76%

Telenet E+387.5 Snr Secured Bonds 99.64 4.23% 94.67 6.16% 96.37 5.78% 98.23 4.78% 98.45 4.74% 4.97 5.25% 3.27 3.40% 1.41 1.43% 1.19 1.21%

Unitymedia 8.125% Snr Secured Nts 108.80 6.14% 98.02 8.53% 103.86 7.31% 105.02 7.01% 107.29 6.50% 10.77 10.99% 4.94 4.76% 3.77 3.59% 1.51 1.41%

Unitymedia 9.625% Snr Notes 114.03 7.11% 95.07 10.54% 103.21 9.05% 105.82 8.56% 109.17 7.96% 18.96 19.94% 10.82 10.48% 8.20 7.75% 4.85 4.44%

UPC 7.625% Snr Sec'd Nts (TL-V) 109.18 6.06% 92.06 9.00% 99.50 7.71% 102.79 7.14% 105.59 6.67% 17.11 18.59% 9.68 9.72% 6.38 6.21% 3.58 3.39%

UPC 6.375% Snr Sec'd Nts 104.89 5.59% 84.75 8.92% 92.75 7.55% 96.36 6.97% 98.77 6.58% 20.14 23.76% 12.14 13.09% 8.53 8.85% 6.12 6.19%

UPC 8.000% Snr Notes 104.46 6.75% 92.04 10.03% 100.82 7.79% 103.77 6.99% 104.08 6.89% 12.42 13.50% 3.64 3.61% 0.69 0.66% 0.38 0.36%

UPC 9.750% Snr Notes 108.33 7.89% 94.24 11.01% 102.15 9.29% 104.97 8.65% 107.71 8.05% 14.09 14.95% 6.18 6.05% 3.36 3.20% 0.62 0.57%

UPC 8.375% Snr Notes 109.94 6.74% 84.39 11.20% 95.25 9.18% 99.77 8.41% 103.61 7.77% 25.56 30.29% 14.69 15.43% 10.17 10.19% 6.34 6.11%

Virgin Media 7.000% Snr Secured Nts 108.90 5.09% 102.90 6.43% 106.16 5.78% 106.37 5.66% 107.60 5.39% 6.00 5.83% 2.74 2.58% 2.53 2.38% 1.30 1.20%

Virgin Media 9.500% Snr Nts 111.79 6.11% 106.37 7.92% 110.58 6.79% 111.00 6.46% 111.97 6.16% 5.41 5.09% 1.20 1.09% 0.79 0.71% (0.19) -0.17%

Virgin Media 8.875% Snr Nts 113.13 6.54% 103.31 8.30% 108.06 7.49% 111.31 6.89% 111.88 6.78% 9.81 9.50% 5.06 4.68% 1.81 1.63% 1.25 1.12%

Ziggo 6.125% Snr Secured Nts 107.33 4.53% 93.93 7.35% 100.83 5.95% 105.23 5.01% 107.23 4.59% 13.40 14.26% 6.50 6.44% 2.10 1.99% 0.10 0.09%

Ziggo 8.000% Snr Notes 110.34 5.84% 93.89 9.23% 101.00 7.80% 107.08 6.54% 108.97 6.15% 16.45 17.52% 9.34 9.25% 3.26 3.05% 1.37 1.26%

Telecom Sector

C&W 8.750% Snr Notes NA NA 98.79 10.19% 101.84 5.33% 100.75 3.80% 101.06 -2.94% NA NA NA NA NA NA NA NA

C&W 8.625% Snr Notes 102.00 8.20% 92.00 10.21% 92.25 10.18% 98.69 8.88% 98.69 8.88% 10.00 10.87% 9.75 10.57% 3.31 3.36% 3.31 3.36%

Invitel 9.500% Snr Secured Nts 59.89 25.31% 64.45 21.61% 69.50 19.35% 77.08 16.96% 76.35 17.34% (4.56) -7.08% (9.61) -13.83% (17.19) -22.30% (16.46) -21.56%

OTE 5.000% Snr Notes 86.57 22.25% 60.45 53.75% 72.48 28.91% 69.19 44.04% 80.75 27.80% 26.12 43.22% 14.09 19.44% 17.38 25.12% 5.83 7.21%

OTE 7.250% Snr Notes 77.15 26.24% 59.67 42.40% 67.15 28.90% 62.47 39.51% 71.25 30.54% 17.48 29.29% 10.00 14.90% 14.68 23.50% 5.90 8.27%

OTE 7.250% Snr Notes 73.63 22.18% 54.49 33.73% 61.92 26.70% 58.09 32.95% 64.41 28.15% 19.14 35.13% 11.71 18.92% 15.55 26.76% 9.22 14.31%

OTE 4.625% Snr Notes 66.23 17.74% 50.96 23.55% 58.55 19.54% 54.44 23.55% 61.10 19.94% 15.27 29.97% 7.68 13.12% 11.78 21.64% 5.13 8.39%

Sunrise Communications 7.000% Snr Secured Nts 108.94 5.07% 93.36 8.36% 104.00 6.19% 105.18 5.89% 106.85 5.54% 15.58 16.68% 4.94 4.75% 3.76 3.57% 2.09 1.96%

Sunrise Communications 8.500% Snr Notes 110.53 6.45% 90.42 10.41% 100.83 8.34% 102.73 7.96% 106.10 7.30% 20.11 22.24% 9.70 9.62% 7.80 7.59% 4.43 4.17%

Wind 7.375% Snr Secured Nts 90.72 9.59% 81.54 11.56% 85.36 10.70% 83.40 11.42% 87.05 10.48% 9.18 11.26% 5.36 6.28% 7.33 8.79% 3.67 4.22%

Wind 11.750% Snr Notes 89.11 14.96% 77.50 18.94% 83.17 16.50% 82.14 17.12% 82.17 17.18% 11.61 14.99% 5.95 7.15% 6.98 8.50% 6.94 8.45%

Wind 12.250% Toggle (cash Jan14) 72.62 20.67% 63.71 23.65% 72.79 20.40% 74.65 20.36% 73.04 21.28% 8.92 13.99% (0.16) -0.22% (2.02) -2.71% (0.42) -0.57%


1-Jan-12

Price change from

1-Jun-12

Price change from

1-July-12


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Exhibit 11: Broadcasting, Entertainment, Publishing and Technology



Broadcasting Sector

CETV 9.000% Snr Sec'd Nts 108.52 7.01% 87.04 12.08% 95.25 10.09% 105.25 7.79% 105.00 7.83% 21.48 24.68% 13.27 13.93% 3.27 3.11% 3.52 3.35%

CETV 3.313% Snr FRN Notes 94.75 5.49% 71.51 18.65% 72.53 17.83% 92.48 6.72% 93.25 6.43% 23.23 32.49% 22.22 30.63% 2.27 2.45% 1.50 1.60%

CETV 11.625% Snr Notes 105.60 9.91% 74.19 20.47% 74.56 20.25% 104.47 10.30% 102.88 10.74% 31.40 42.32% 31.03 41.62% 1.13 1.08% 2.72 2.64%

Cyfrowy Polsat 7.125% Secured Nts 108.86 5.31% 87.55 9.72% 97.32 7.66% 101.10 6.90% 102.20 6.66% 21.30 24.33% 11.54 11.86% 7.76 7.67% 6.65 6.51%

ITV 10.000% EMTN Notes 116.71 0.80% 107.90 6.70% 110.28 5.43% 113.29 3.24% 117.45 1.09% 8.81 8.17% 6.43 5.83% 3.42 3.02% (0.74) -0.63%

ITV 5.375% EMTN Notes 105.19 3.59% 97.75 6.02% 100.00 5.37% 102.56 4.53% 104.50 3.89% 7.44 7.61% 5.19 5.19% 2.62 2.56% 0.69 0.66%

ITV 7.375% EMTN Nts (1.25% step) 109.56 4.87% 98.63 7.69% 102.38 6.80% 106.44 5.72% 108.75 5.14% 10.94 11.09% 7.19 7.02% 3.12 2.94% 0.81 0.75%

TVN 10.750% Snr Notes 107.00 9.03% 102.23 10.23% 102.65 10.13% 102.76 10.08% 105.38 9.44% 4.77 4.67% 4.35 4.24% 4.25 4.13% 1.63 1.54%

TVN 7.875% Snr Notes 101.77 7.51% 91.82 9.53% 93.14 9.24% 97.38 8.41% 99.26 8.02% 9.96 10.84% 8.64 9.27% 4.40 4.52% 2.51 2.53%

Polish Television Holding 11.250% Snr Notes 103.88 10.98% 98.00 12.46% 102.06 11.41% 99.05 12.27% 101.92 11.50% 5.88 6.00% 1.82 1.78% 4.83 4.88% 1.96 1.92%

Entertainment

Odeon 9.000% Secured Nts 99.56 9.09% 86.25 11.99% 92.38 10.64% 94.94 10.12% 96.56 9.76% 13.31 15.43% 7.19 7.78% 4.62 4.87% 3.00 3.11%

Odeon E+500bps Secured FRNs 98.12 5.68% 89.58 8.55% 91.17 8.08% 95.39 6.58% 96.31 6.39% 8.54 9.54% 6.95 7.63% 2.74 2.87% 1.81 1.88%

Publishing

PagesJaunes 8.617% Sec Notes 84.44 12.76% 61.26 19.88% 67.33 17.56% 76.83 14.85% 81.02 13.65% 23.18 37.83% 17.11 25.40% 7.60 9.90% 3.42 4.22%

Seat 8.000% Snr Notes 13.42 191.84% 7.88 188.44% 9.38 162.36% 13.25 160.38% 13.00 172.41% 5.54 70.36% 4.04 43.10% 0.16 1.23% 0.41 3.17%

Technology

Alcatel-Lucent 6.375% Snr Notes 100.87 5.77% 94.72 9.89% 96.75 7.99% 100.94 5.81% 102.08 5.09% 6.14 6.49% 4.12 4.26% (0.08) -0.08% (1.22) -1.19%

Alcatel-Lucent 8.500% Snr Notes 90.87 11.85% 82.39 14.95% 83.79 13.89% 95.90 9.87% 97.70 9.28% 8.48 10.29% 7.08 8.46% (5.03) -5.24% (6.83) -6.99%

Interxion 9.500% Snr Sec'd Nts 112.70 6.19% 105.24 8.26% 108.98 7.36% 110.31 6.88% 110.38 6.83% 7.46 7.09% 3.72 3.42% 2.39 2.17% 2.32 2.10%

NXP E+275 Sen Sec'd FRN 99.77 3.29% 95.97 6.47% 100.00 4.12% 99.31 3.96% 99.75 3.61% 3.80 3.96% (0.23) -0.23% 0.46 0.46% 0.02 0.02%

NXP 8.625% Snr Notes NA NA 99.82 18.94% NA NA NA NA NA NA NA NA NA NA NA NA NA NA

Siemens 10.750% Snr Sec'd Nts 100.94 10.39% 87.75 14.87% 90.06 14.17% 99.06 11.08% 99.13 11.06% 13.19 15.03% 10.87 12.07% 1.87 1.89% 1.81 1.83%


1-Jan-12

Price change from

1-Jun-12

Price change from

1-July-12


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13B15BCDS movers by sector

Exhibit 12: 5-Year CDS

Company Level Level Level Level Level

Current HIGH (LTM) 2-Jan-12 1-Jun-12 1-Jul-12 Absolute % Absolute % Absolute % Absolute %

Cable

KDG 302.73 570.77 441.39 457.52 404.30 (268.04) -46.96% (138.66) -31.41% (154.78) -33.83% (101.57) -25.12%

ONO NA 2097.93 1468.08 NA NA NA NA NA NA NA NA NA NA

Unitymedia (IESY) 462.43 739.64 655.94 611.46 562.58 (277.21) -37.48% (193.51) -29.50% (149.03) -24.37% (100.15) -17.80%

UPC 532.72 887.58 759.58 701.49 654.62 (354.86) -39.98% (226.86) -29.87% (168.77) -24.06% (121.90) -18.62%

Virgin Media 352.72 617.88 485.21 467.65 433.51 (265.15) -42.91% (132.48) -27.30% (114.93) -24.58% (80.78) -18.63%

Ziggo NA NA NA NA NA NA NA NA NA NA NA NA NA

Telecom

Cable & Wireless Communications 592.25 720.23 656.90 632.25 602.25 (127.98) -17.77% (64.65) -9.84% (40.00) -6.33% (10.00) -1.66%

Hellenic Telecom (OTE) 1572.98 3651.26 2005.43 3371.29 2195.54 (2078.28) -56.92% (432.46) -21.56% (1798.32) -53.34% (622.56) -28.36%

PORTEL 638.54 1012.25 846.30 950.85 858.08 (373.72) -36.92% (207.76) -24.55% (312.31) -32.85% (219.54) -25.59%

Sunrise Communications NA 744.00 715.00 NA NA NA NA NA NA NA NA NA NA

TITIM 437.78 562.97 486.80 488.46 518.61 (125.18) -22.24% (49.02) -10.07% (50.68) -10.37% (80.83) -15.59%

Wind Telecomunicazioni 1282.39 1679.79 1326.45 1409.06 1588.06 (397.40) -23.66% (44.06) -3.32% (126.68) -8.99% (305.67) -19.25%

Transport & Airlines

Air France 913.12 1323.94 870.02 1270.84 1052.51 (410.83) -31.03% 43.10 4.95% (357.72) -28.15% (139.40) -13.24%

British Airways 670.74 821.28 773.56 821.28 733.66 (150.54) -18.33% (102.82) -13.29% (150.54) -18.33% (62.92) -8.58%

SAS 1278.94 1921.29 1850.04 1548.66 1463.09 (642.35) -33.43% (571.10) -30.87% (269.72) -17.42% (184.15) -12.59%

Tech, Media, Others

Alcatel Lucent 1673.65 1839.58 1772.24 1470.63 1467.19 (165.93) -9.02% (98.59) -5.56% 203.03 13.81% 206.46 14.07%

CIR NA 1097.37 899.80 NA NA NA NA NA NA NA NA NA NA

NXP NA 1063.73 844.97 NA NA NA NA NA NA NA NA NA NA

PROSIEBEN 298.56 510.19 476.69 306.07 306.45 (211.63) -41.48% (178.13) -37.37% (7.51) -2.45% (7.89) -2.57%

VNU 82.00 99.72 92.05 83.12 83.42 (17.72) -17.77% (10.05) -10.91% (1.12) -1.35% (1.41) -1.69%

Level change from lowsLevel change from

1-Jan-12

Level change from

1-June-12

Level change from

1-July-12


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Exhibit 13: 5-Year CDS

Company Level Level Level Level Level

Current HIGH (LTM) 2-Jan-12 1-Jun-12 1-Jul-12 Absolute % Absolute % Absolute % Absolute %

Gaming

Codere 1528.76 1998.62 902.44 1335.27 1966.17 (469.86) -23.51% 626.32 69.40% 193.49 14.49% (437.41) -22.25%

Ladbrokes 290.40 485.39 371.19 322.53 328.14 (194.99) -40.17% (80.79) -21.76% (32.13) -9.96% (37.74) -11.50%

Rank 235.31 283.69 252.58 255.30 257.12 (48.37) -17.05% (17.27) -6.84% (19.99) -7.83% (21.80) -8.48%

Paper & Packaging

Ardagh 641.21 1215.49 973.62 825.14 705.41 (574.27) -47.25% (332.41) -34.14% (183.93) -22.29% (64.20) -9.10%

Smurfit Kappa SUB 234.18 640.07 406.96 210.66 215.28 (405.89) -63.41% (172.78) -42.46% 23.52 11.17% 18.90 8.78%

Smurfit Kappa SR 177.71 502.06 282.35 165.46 169.64 (324.36) -64.60% (104.64) -37.06% 12.25 7.40% 8.06 4.75%

M-Real 578.48 1154.73 1012.84 677.15 624.40 (576.25) -49.90% (434.36) -42.89% (98.66) -14.57% (45.92) -7.35%

Norske Skog 1719.19 4544.30 2081.21 2071.88 1999.50 (2825.12) -62.17% (362.02) -17.39% (352.69) -17.02% (280.31) -14.02%

Stora Enso 402.04 521.61 399.50 400.70 376.89 (119.56) -22.92% 2.54 0.64% 1.35 0.34% 25.15 6.67%

UPM Kymmene 354.63 518.03 390.25 384.26 337.38 (163.40) -31.54% (35.62) -9.13% (29.63) -7.71% 17.26 5.11%

Industrial

Continental 239.23 612.84 479.73 322.13 330.92 (373.62) -60.96% (240.51) -50.13% (82.91) -25.74% (91.69) -27.71%

Corus 586.61 733.88 629.58 641.03 599.43 (147.27) -20.07% (42.97) -6.83% (54.42) -8.49% (12.82) -2.14%

Fiat 808.45 1151.84 1015.99 988.25 949.04 (343.39) -29.81% (207.54) -20.43% (179.80) -18.19% (140.59) -14.81%

Hanson 173.29 330.00 256.33 218.12 191.18 (156.71) -47.49% (83.05) -32.40% (44.84) -20.56% (17.89) -9.36%

HeidelbergCement 318.36 634.67 472.17 453.00 424.96 (316.31) -49.84% (153.81) -32.58% (134.65) -29.72% (106.61) -25.09%

Ineos 776.44 1560.09 1116.88 868.74 865.72 (783.65) -50.23% (340.43) -30.48% (92.30) -10.62% (89.28) -10.31%

Rexel NA 224.02 180.54 NA NA NA NA NA NA NA NA NA NA

Wendel 446.57 846.21 587.94 573.84 517.00 (399.63) -47.23% (141.36) -24.04% (127.26) -22.18% (70.43) -13.62%

Retail, Services, Healthcare

Convatec 847.38 1770.53 1198.11 1113.77 960.28 (923.15) -52.14% (350.74) -29.27% (266.39) -23.92% (112.90) -11.76%

Dixons 630.92 1259.30 1058.53 789.64 727.07 (628.38) -49.90% (427.61) -40.40% (158.71) -20.10% (96.15) -13.22%

Fresenius 217.92 349.57 242.68 231.85 208.82 (131.65) -37.66% (24.76) -10.20% (13.93) -6.01% 9.10 4.36%

ISS (FS Funding) 435.94 832.77 620.57 651.30 596.75 (396.83) -47.65% (184.64) -29.75% (215.36) -33.07% (160.81) -26.95%

ISS (DC) 239.04 434.02 321.14 247.63 256.55 (194.98) -44.92% (82.10) -25.56% (8.59) -3.47% (17.51) -6.82%

Sol Melia 930.96 1349.81 904.51 1298.57 1186.19 (418.85) -31.03% 26.45 2.92% (367.61) -28.31% (255.23) -21.52%

Stena 684.95 1129.87 884.28 894.78 826.10 (444.91) -39.38% (199.33) -22.54% (209.83) -23.45% (141.15) -17.09%

Rallye 576.42 976.58 759.60 806.08 748.54 (400.16) -40.98% (183.18) -24.12% (229.66) -28.49% (172.12) -22.99%

TUI 604.87 1645.85 1229.29 825.29 789.97 (1040.98) -63.25% (624.42) -50.80% (220.42) -26.71% (185.10) -23.43%

Level change from lowsLevel change from

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Level change from

1-June-12

Level change from

1-July-12


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14B16BHY bonds pricing sheets

Exhibit 14: European HY Building Materials and Chemicals

Issuer Bond Description CCYSize

(mm)Maturity Moody's/ S&P

Price

(Mid )YTW STW Z-SPRD

Building Materials

Grohe Holding GmbH E+4.000% sn sec FRNs EUR 500 15-Sep-17 B2 / B- 97.64 4.83% 453 NA

Grohe Holding GmbH 8.375% sn notes EUR 260 01-Oct-14 B3 / CCC 102.62 -18.82% -1,880 NA

HeidelbergCement Finance BV 7.500% sn notes EUR 1000 31-Oct-14 Ba2 / BB 110.47 2.51% 252 195

HeidelbergCement Finance BV 6.500% sn notes EUR 650 03-Aug-15 Ba2 / BB 110.02 2.91% 285 227

HeidelbergCement Finance BV 6.750% sn notes EUR 650 15-Dec-15 Ba2 / BB 111.60 3.03% 291 234

HeidelbergCement Finance BV 4.000% sn notes EUR 300 08-Mar-16 Ba2 / BB 103.55 2.94% 279 221

HeidelbergCement Finance BV 8.000% sn notes EUR 1000 31-Jan-17 Ba2 / BB 115.99 4.02% 367 315

HeidelbergCement Finance BV 5.625% sn notes EUR 480 04-Jan-18 Ba2 / BB 107.87 3.96% 343 291

HeidelbergCement Finance BV 9.500% sn notes EUR 500 15-Dec-18 Ba2 / BB 122.27 5.29% 457 412

HeidelbergCement Finance BV 8.500% sn notes EUR 500 31-Oct-19 Ba2 / BB 119.05 5.27% 436 396

HeidelbergCement Finance BV 7.500% sn notes EUR 750 03-Apr-20 Ba2 / BB 113.96 5.25% 425 386

Heidelberger Druckmaschinen 9.25% sn nts EUR 304 15-Apr-18 Caa1 / CCC+ 77.18 15.45% 1,487 1,441

Ideal Standard 11.750% Sec nts EUR 275 01-May-18 Caa3 / NA 69.16 21.36% 2,077 2,034

Wendel SA 4.875% sn notes EUR 700 04-Nov-14 NA / BB 103.40 3.23% 323 267

Wendel SA 4.875% sn notes EUR 400 21-Sep-15 NA / BB 102.50 3.99% 391 333

Wendel SA 4.875% sn notes EUR 700 26-May-16 NA / BB 101.40 4.45% 427 369

Wendel SA 4.375% sn notes EUR 700 09-Aug-17 NA / BB 97.74 4.90% 445 392

Wendel SA 6.750% sn notes EUR 300 20-Apr-18 NA / BB 105.40 5.60% 501 451

Xella 8.000% secured nts EUR 300 01-Jun-18 Ba3 / B+ 98.25 8.39% 778 729

Chemicals

Kinove German BondCo (Evonik) 10.0 % sn sec nts EUR 320 15-Jun-18 B2 / B 108.58 7.82% 740 690

Inoes Finance plc 9.250% sn sec nts EUR 300 15-May-15 B1 / B+ 107.80 4.46% 447 390

Inoes Finance plc E+6.000% sn sec FRNs EUR 500 15-Feb-19 B1 / B+ 101.63 6.98% 573 NA

Ineos Group Holdings plc 7.875% sn notes EUR 1532 15-Feb-16 Caa1 / CCC+ 89.80 11.53% 1,139 1,081

Kerling Plc 10.625% sn sec nts EUR 785 01-Feb-17 B3 / B 90.21 13.64% 1,329 1,279

OXEA Finance & Cy SCA 9.625% sn sec notes EUR 257 15-Jul-17 B2 / B+ 111.14 4.68% 469 414

Styrolution 7.625% secured nts EUR 480 15-May-16 B2 / B+ 88.55 11.49% 1,131 1,074 Note: Pricing data as at close of business 22 August 2012.

Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse

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Exhibit 15: European HY Metals & Basic Materials, Paper and Automotive



Price


Metals and basic materials

Befesa Zinc 8.875% sec nts EUR 300 15-May-18 B2 / B+ 93.49 10.41% 981 934

Eco-Bat Finance plc 7.75% sn notes EUR 300 15-Feb-17 B1 / B+ 102.16 7.04% 690 632

EB Holdings Inc 11.00% 2017 PIK Notes EUR 1032 31-Mar-17 NA / NA 58.06 NA NA NA

New World Resources BV 7.875% sn sec nts EUR 500 01-May-18 Ba3 / BB- 100.55 7.70% 752 695

New World Resources BV 7.375% sn nts EUR 258 15-May-15 B3 / B 101.38 6.50% 651 597

Schmolz + Bichenbach 9.875% sn sec notes EUR 258 15-May-19 B1 / B+ 0.00 13.59% 1,277 1,238

Paper

Lecta SA E+5.500% sn sec FRNs EUR 390 15-May-18 B1 / B+ 96.76 6.48% 618 NA

Lecta SA 8.875% sn sec notes EUR 200 15-May-19 B1 / B+ 98.72 9.13% 832 790

M-Real Oyj 7.250% sn notes EUR 500 01-Apr-13 B3 / B- 103.74 2.33% 234 176

Norske Skogindustrier ASA 11.750% sn notes EUR 150 15-Jun-16 Caa1 / B- 83.70 17.82% 1,762 1,707

Norske Skogindustrier ASA 7.000% sn notes EUR 493 26-Jun-17 Caa1 / B- 66.73 17.81% 1,739 1,688

PE Paper Escrow GmbH 11.750% sn sec notes EUR 31 01-Aug-14 Ba2 / BB 106.30 4.71% 471 417

Sappi Papier Holding GmbH 6.625% sn sec notes EUR 250 15-Apr-18 Ba2 / BB 100.68 6.45% 606 555

Stora Enso Oyj 5.500% sn notes EUR 500 07-Mar-19 Ba2 / BB 100.13 5.47% 469 422

Stora Enso Oyj E+4.210% sn notes EUR 390 07-Oct-16 NA / BB 103.75 3.56% 325 NA

Stora Enso Oyj 7.250% sn notes USD 300 15-Apr-36 Ba2 / BB 91.13 8.10% 564 591

UPM-Kymmene Oyj 6.625% sn notes GBP 250 23-Jan-17 Ba1 / BB 105.00 5.31% 470 424

Automotive

Aston Martin 9.250% sn notes GBP 304 15-Jul-18 B3 / B+ 85.75 12.76% 1,191 1,151

Conti-Gammi Finance BV 8.500% sn sec notes EUR 750 15-Jul-15 Ba3 / BB- 109.71 2.12% 212 158

Conti-Gammi Finance BV 6.500% sn sec notes EUR 625 15-Jan-16 Ba3 / BB- 107.44 2.54% 255 202

Conti-Gammi Finance BV 7.500% sn sec notes EUR 1000 15-Sep-17 Ba3 / BB- 107.99 3.23% 323 270

Conti-Gammi Finance BV 7.125% sn sec notes EUR 625 15-Oct-18 Ba3 / BB- 107.94 2.96% 296 243

Faurecia SA 9.375% sn notes EUR 490 15-Dec-16 Ba3 / NA 109.99 6.66% 635 582

Faurecia SA 8.750% sub notes EUR 250 15-Jun-19 B2 / NA 100.29 8.68% 785 743

Fiat Finance and Trade Ltd. 6.625% sn notes EUR 1000 15-Feb-13 Ba3 / BB- 101.96 2.36% 237 180

Fiat Finance and Trade Ltd. 7.625% sn notes EUR 1250 15-Sep-14 Ba3 / BB- 104.61 5.19% 520 464

Fiat Finance and Trade Ltd. 6.875% sn notes EUR 1500 13-Feb-15 Ba3 / BB- 102.78 5.62% 561 502

Fiat Finance and Trade Ltd. 6.375% sn notes EUR 1000 01-Apr-16 Ba3 / BB- 98.77 6.75% 660 602

Fiat Finance North America Inc. 5.625% sn notes EUR 1000 12-Jun-17 Ba3 / BB- 97.07 6.35% 593 541

Goodyear Dunlop Tires Europe BV 6.750% sn notes EUR 250 15-Apr-19 Ba2 / BB 104.18 5.71% 532 480

Jaguar Land Rover plc 8.125% sn notes GBP 500 15-May-18 B1 / BB- 106.19 6.57% 591 547

Jaguar Land Rover plc 8.250% sn notes GBP 500 15-Mar-20 B1 / BB- 105.56 7.02% 622 580

Schaeffler Finance BV 7.750 % sn sec notes EUR 800 15-Feb-17 B1 / B+ 105.03 6.43% 608 556

Schaeffler Finance BV 8.750% sec notes EUR 400 15-Feb-19 B1 / B+ 110.74 6.38% 603 551

TMD Friction Group SA 10.750% sn sec nts EUR 97 15-May-17 B2 / BB 115.25 4.45% 446 392 Note: Pricing data as at close of business 22 August 2012.


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Exhibit 16: European HY Capital Goods and Construction



Price


Capital Goods

Alba Group 8.0% sn nts EUR 203 15-May-18 B3 / B 105.61 6.59% 619 568

Elster Finance 6.250% sn nts EUR 250 15-Apr-18 Ba2 / BB- 110.75 2.33% 233 180

Heckler & Koch 9.500% secured nts EUR 295 15-May-18 Caa2 / CCC 75.89 16.10% 1,550 1,504

Kion Finance 7.000% sn nts EUR 325 15-Apr-18 B2 / B 100.39 7.75% 758 701

Kion Finance E+4.250% sn sec nts EUR 175 15-Apr-18 B2 / B 95.77 5.43% 512 NA

Rexel SA 8.250% sn nts EUR 650 15-Dec-16 Ba2 / BB 111.08 2.65% 265 212

Rexel SA 7.000% sn nts EUR 500 17-Dec-18 Ba2 / BB 110.69 4.11% 407 349

Construction

Abengoa SA 9.625% sn nts EUR 300 25-Feb-15 B1 / B+ 102.36 8.55% 854 796

Abengoa SA 8.500% sn nts EUR 500 31-Mar-16 B1 / B+ 93.87 10.59% 1,044 986 Note: Pricing data as at close of business 22 August 2012.


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Exhibit 17: European HY Retail and Consumer



Price


Retail

A.T.U. Auto-Teile-Unger Investment Gmbh & Co. KG11% sn sec notes EUR 375 15-May-14 B3 / B- 96.71 13.18% 1,319 1,265

DFS Furniture Holdings PLC 9.75% sn sec notes GBP 225 15-Jul-17 B2 / B+ 103.75 8.59% 809 760

Dixons Retail PLC 6.125% sn notes GBP 160 15-Nov-12 B1 / NA 100.56 3.31% 304 267

Dixons Retail PLC 8.75% sn notes GBP 150 03-Aug-15 B1 / NA 102.38 7.82% 751 692

Edcon (Proprietary) Limited E+3.25% sn sec FRNs EUR 1141 15-Jun-14 B2 / B 92.57 7.98% 768 NA

Edcon Holdings (Proprietary) Limited E+5.5% sn FRNs EUR 378 15-Jun-15 Caa1 / CCC 86.06 11.65% 1,134 NA

Edcon (Proprietary) Limited 9.5% sn sec notes EUR 317 01-Mar-18 B2 / B 94.13 10.95% 1,039 991

House of Fraser 8.875% sn sec notes GBP 250 15-Aug-18 Caa1 / B 90.31 11.14% 1,027 987

Matalan Finance plc 8.875% sn sec notes GBP 250 29-Apr-16 B1 / BB- 93.69 11.01% 1,055 1,003

Matalan Finance plc 9.625% sn notes GBP 225 31-Mar-17 Caa2 / CCC+ 79.56 16.09% 1,545 1,501

Phones4u Finance plc 9.5% sn sec notes GBP 430 01-Apr-18 B3 / B+ 97.00 10.21% 941 900

Picard Bondco SA 9% sn notes EUR 300 01-Oct-18 B3 / B- 109.81 5.99% 599 543

Consumer

Bakkavor Finance (2) plc 8.25% sn sec notes GBP 350 15-Feb-18 B2 / B- 88.63 11.08% 1,029 987

Boparan 9.75% sn notes EUR 340 30-Apr-18 Ba3 / B+ 106.26 8.11% 771 721

Boparan 9.875% sn notes GBP 400 30-Apr-18 Ba3 / B+ 105.69 8.37% 772 728

Campofrio Food Group SA 8.25% sn notes EUR 500 31-Oct-16 Ba3 / BB- 100.49 8.07% 797 740

CEDC 8.875% sn sec notes EUR 430 01-Dec-16 B3 / CCC+ 63.42 22.70% 2,239 2,187

Foodcorp (Proprietary) Limited 8.75% sn sec notes EUR 390 01-Mar-18 B2 / B- 104.83 7.47% 711 659

Ontex IV SA 7.5% sn sec notes EUR 320 15-Apr-18 B1 / B+ 100.43 7.36% 720 662

Ontex IV SA E+4.125% sn sec FRNs EUR 280 15-Apr-18 B1 / B+ 95.60 5.33% 503 NA

Ontex IV SA 9% sn notes EUR 235 15-Apr-19 Caa1 / B- 90.93 10.96% 1,016 974

Refresco 7.375% sn sec notes EUR 360 15-May-18 B2 / B+ 93.84 8.76% 817 768

Refresco E+4% sn sec FRNs EUR 300 15-May-18 B2 / B+ 94.93 5.33% 503 NA

R&R Ice Cream PLC 8.375% sn sec notes EUR 350 15-Nov-17 B2 / B+ 104.30 7.17% 687 634 Note: Pricing data as at close of business 22 August 2012


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Exhibit 18: European HY Healthcare



Price


Healthcare

Capsugel Finance Co SA 9.875% sn notes EUR 325 01-Aug-19 Caa1 / B 112.63 6.47% 647 593

Care UK Health & Social Care PLC 9.75% sn sec notes GBP 250 01-Aug-17 B2 / B+ 106.38 7.83% 732 683

Cegedim SA 7% sn notes EUR 300 27-Jul-15 NA / B 95.12 8.94% 888 831

Celesio Finance BV 4.5% sn notes EUR 500 26-Apr-17 NA / NA 103.65 3.63% 324 270

Convatec Healthcare E S.A. 7.375% sn sec notes EUR 300 15-Dec-17 Ba3 / B+ 106.58 5.63% 531 478

Convatec Healthcare E S.A. 10.875% sn notes EUR 250 15-Dec-18 Caa1 / B 105.57 9.27% 895 843

Fresenius Finance BV 5.000% sn notes EUR 500 31-Jan-13 Ba1 / BB+ 101.85 0.61% 63 10

Fresenius US Finance II Inc 8.750% sn notes EUR 275 15-Jul-15 Ba1 / BB+ 118.19 2.19% 214 156

Fresenius Finance BV 5.500% sn notes EUR 650 31-Jan-16 Ba1 / BB+ 107.47 -67.28% -6,726 NA

FMC Finance VI SA 5.500% sn notes EUR 250 15-Jul-16 NA / BB+ 112.27 2.19% 197 140

FMC Finance VIII SA 6.5% sn notes EUR 400 15-Sep-18 Ba2 / BB+ 117.48 3.29% 262 213

FMC Finance VII SA 5.25% sn notes EUR 300 15-Feb-21 Ba2 / BB+ 110.58 3.78% 262 224

Labco SAS 8.5% sn sec notes EUR 500 15-Jan-18 B3 / B+ 95.08 9.69% 916 867

Phoenix Pharmahandel GmbH & Co KG 9.625% sn notes EUR 496 15-Jul-14 WR / BB 112.32 2.85% 285 231

Priory (Crown Newco 3 PLC) 7% sn sec notes GBP 631 15-Feb-18 B2 / BB 100.88 6.77% 615 570

Priory (Crown Newco 3 PLC) 8.875% sn notes GBP 175 15-Feb-19 Caa1 / B 93.88 10.19% 923 884 Note: Pricing data as at close of business 22 August 2012


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Exhibit 19: European HY Packaging



Price


Packaging

Ardagh Glass Finance 9.25% sn sec nts EUR 300 01-Jul-16 Ba3 / BB- 109.50 3.18% 318 263

Ardagh Packaging Finance 7.375%sn sec nts EUR 825 15-Oct-17 Ba3 / BB- 106.51 5.59% 531 477

Ardagh Glass Finance 7.125% sn notes EUR 310 15-Jun-17 B3 / B- 99.72 7.19% 677 626

Ardagh Glass Finance 8.75% sn notes EUR 180 01-Feb-20 B3 / B- 99.81 8.78% 782 745

Ardagh Packaging Finance 9.25% sn notes EUR 475 15-Oct-20 B3 / B- 103.02 8.60% 791 746

Ardagh Glass Group Plc 11.125% PIK Notes EUR 196 01-Jun-18 Caa1 / B- 91.71 13.20% 1,259 NA

Bormoili 10.00% sn sec nts EUR 250 01-Aug-18 B1 / BB- 98.55 10.33% 969 923

Clondalkin Acquisition E+2.000% sn sec nts EUR 300 15-Dec-13 B2 / B 94.88 6.41% 611 NA

Clondalkin Industries BV 8% Secured Notes EUR 170 15-Mar-14 Caa2 / CCC+ 82.68 21.76% 2,177 2,124

Consol Glass Limited 7.625% sn notes EUR 373 15-Apr-14 B1 / BB- NA NA NA NA

Crown Euro Holdings SA 7.125% sn notes EUR 500 15-Aug-18 Ba1 / BB 110.11 3.52% 353 298

Nordenia Holdings AG 9.75% secured nts EUR 280 15-Jul-17 B2 / B 115.75 3.54% 355 300

Oi European Group BV 6.875% sn notes EUR 300 31-Mar-17 Ba2 / BB+ 103.66 -8.66% -863 -859

Oi European Group BV 6.75% sn notes EUR 500 15-Sep-20 Ba2 / BB+ 110.31 5.17% 408 371

Reynolds Grp Iss/Reynold 8.75% sn sec nts EUR 2 15-Oct-16 Ba3 / BB- 104.46 3.06% 308 291

Beverage Packaging Hold 8% sn notes EUR 480 15-Dec-16 Caa1 / B- 99.02 8.27% 796 743

Beverage Packaging Hold 9.5% sn notes EUR 420 15-Jun-17 Caa1 / B- 98.04 10.02% 960 910

Smurfit Kappa Acquisition 7.25% sn sec nts EUR 500 15-Nov-17 Ba1 / BB+ 108.34 3.15% 315 262

Smurfit Kappa Acquisition 7.75% sn sec nts EUR 500 15-Nov-19 Ba1 / BB+ 110.66 4.33% 433 376

Smurfit Kappa Funding 7.75% sn notes EUR 218 01-Apr-15 B1 / B+ 101.84 -0.91% -89 -104

Yioula Glassworks SA 9% sn notes EUR 133 01-Dec-15 Caa3 / CC 50.79 35.68% 3,557 3,500

GCL Holdings SCA (Guala) 9.375% sn notes EUR 200 15-Apr-18 Caa1 / CCC+ 97.94 9.86% 927 880 Note: Pricing data as at close of business 22 August 2012


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Exhibit 20: European HY Services



Price


Services

Aguila 3 SA 7.875% sn sec nts CHF 350 31-Jan-18 B2 / B 107.31 6.01% 618 585

British Airways plc 7.250% sn notes GBP 250 23-Aug-16 B2 / BB 106.44 6.88% 636 587

EC Finance 9.750% sn sec nts EUR 350 01-Aug-17 B3 / B 103.48 8.68% 845 791

Europcar Groupe SA 9.375% sub nts EUR 400 15-Apr-18 Caa2 / CCC+ 75.50 16.15% 1,557 1,511

GEO Travel 10.375% sn notes EUR 175 01-May-19 Caa1 / B- 100.71 10.17% 978 928

Hapag-Lloyd AG 9.000% sn notes EUR 480 15-Oct-15 B3 / B 105.28 7.08% 700 642

Inaer Aviation Finance Ltd. 9.500% sn sec nts EUR 470 01-Aug-17 B2 / B 88.30 12.77% 1,232 1,183

International Personal Finance plc 11.500% sn notes EUR 225 06-Aug-15 NA / NA 107.96 8.33% 827 769

ISS Financing plc 11.000% sn sec nts EUR 525 15-Jun-14 NA / BB+ 105.67 1.10% 112 73

ISS A/S (formerly Holding) 8.875% sub sec nts EUR 582 15-May-16 B3 / B 104.21 -7.91% -789 -791

Royal Caribbean Cruises 5.625% sn notes EUR 1000 27-Jan-14 Ba1 / BB 102.80 3.54% 355 302

Stena AB 6.125% sn notes EUR 300 01-Feb-17 B2 / BB 98.43 6.54% 620 566

Stena AB 5.875% sn notes EUR 102 01-Feb-19 B2 / BB 90.63 7.75% 700 653

Stena AB 7.875% sn notes EUR 200 15-Mar-20 B2 / BB 98.83 8.08% 710 672

Thomas Cook Group plc 6.750% sn notes EUR 400 22-Jun-15 NA / B- 49.83 38.84% 3,880 3,823

Thomas Cook Group plc 7.750% sn notes GBP 300 22-Jun-17 NA / B- 46.69 29.88% 2,920 2,878

Towergate Finance plc 8.500% sn sec nts GBP 230 15-Feb-18 Ba3 / NA 98.81 8.78% 799 757

Towergate Finance plc 10.500% sn notes GBP 290 15-Feb-19 Caa1 / NA 93.56 11.96% 1,100 1,062

Travelport LLC E+4.625% sn notes EUR 143 01-Sep-14 Caa2 / CCC+ 99.99 4.94% 464 NA

Travelport LLC 10.875% sn notes EUR 123 01-Sep-16 Caa3 / CCC 33.50 51.73% 5,149 5,098

TUI AG 5.125% sn notes EUR 251 10-Dec-12 Caa1 / B- 100.85 2.07% 209 172

Verisure Holding AB 8.750% sn sec nts EUR 500 01-Sep-18 B2 / B 100.26 8.68% 822 772

Verisure Holding AB 8.750% sn notes EUR 272 01-Dec-18 Caa1 / CCC+ 88.40 11.39% 1,067 1,022

Verisure Holding AB E+650 sn notes EUR 100 01-Sep-18 B2 / B 98.59 7.09% 679 NA Note: Pricing data as at close of business 22 August 2012.


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Exhibit 21: European HY Gaming



Price


Gaming

Cirsa Finance Luxembourg SA 8.750% 2018 sn notes EUR 680 15-May-18 B3 / B+ 87.16 11.90% 1,130 1,083

Codere Finance (Luxembourg) SA 8.250% 2015 sn notes EUR 660 15-Jun-15 B3 / B- 81.00 17.05% 1,701 1,643

Masampe Holding BV E+7.50% 2015 PIK Loan EUR 543 15-Dec-15 NA / NA 26.71 59.05% 5,874 NA

Gala Group Finance 8.875% secured nts GBP 350 01-Sep-18 B3 / B+ 94.31 10.16% 928 888

Gala Group Finance 11.500% sn notes GBP 275 01-Jun-19 Caa3 / CCC+ 77.88 17.14% 1,611 1,579

Ladbrokes Group Finance PLC 7.625% Notes GBP 225 05-Mar-17 Ba2 / BB 109.00 5.36% 473 428

Lottomatica S.p.A. 8.25% 2066 Subord Int-Deferrable Capital EUR 750 31-Mar-66 Ba2 / BB NA NA NA NA

Peermont Global (Proprietary) Limited 7.750% 2014 sn sec nts EUR 416 30-Apr-14 B3 / B- 95.20 10.95% 1,096 1,042

William Hill PLC 7.125% 2016 Guaranteed Notes GBP 300 11-Nov-16 Ba1 / BB+ 111.25 4.18% 361 314

Note: Pricing data as at close of business 22 August 2012.


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Exhibit 22: European HY Cable



Price


Cable Sector

Com Hem 10.75% sn notes EUR 287 29-Sep-19 Caa1 / CCC+ 107.40 8.94% 844 796

Kabel Deutschland 6.500% secured nts EUR 500 29-Jun-18 Ba2 / BB 108.48 3.43% 344 289

Numericable 12.750% sn sec nts EUR 360 15-Feb-19 B2 / B 104.72 11.19% 1,064 1,018

ONO (Nara Cable Holding) 8.875% sn sec nts EUR 1000 01-Dec-18 B1 / B+ 91.29 10.82% 1,010 966

ONO (Finance Plc) 11.125% sn notes EUR 295 15-Jul-19 Caa1 / B- 80.95 15.75% 1,490 1,454

Telenet (Telenet Fin Lux) 6.375% sn sec nts EUR 500 15-Nov-20 Ba3 / B+ 104.41 5.53% 482 434

Telenet (Telenet Fin III Lux) 6.625% sn sec nts EUR 300 15-Feb-21 Ba3 / B+ 104.94 5.70% 494 447

Telenet (Telenet Fin Lux) 6.625% sn sec FRNs EUR 400 15-Jun-21 Ba3 / B+ 100.30 4.14% 384 NA

Unitymedia (Hessen NRW) 8.125% sn sec nts EUR 1430 01-Dec-17 Ba3 / BB- 108.80 4.06% 406 353

Unitymedia (Gmbh) 9.625% sn notes EUR 665 01-Dec-19 B3 / B- 114.03 5.01% 501 444

UPC (UPCB Finance I) 7.625% snr sec'd Nts (TL-V) EUR 500 15-Jan-20 Ba3 / BB- 109.18 5.01% 501 443

UPC (UPCB Finance II) 6.375% sn sec nts EUR 750 01-Jul-20 Ba3 / BB- 104.91 5.38% 476 426

UPC (Cablecom) 8.000% sn notes EUR 300 01-Nov-16 B2 / B- 104.45 -2.06% -203 -226

UPC (Holding BV) 9.750% sn notes EUR 400 15-Apr-18 B2 / B- 108.33 3.94% 395 338

UPC (Holding BV) 8.375% sn notes EUR 640 15-Aug-20 B2 / B- 109.94 5.98% 591 534

Virgin Media (VM Secured Fin Plc) 7.000% sn sec nts GBP 867 15-Jan-18 Baa3 / BBB- 108.90 2.87% 270 199

Virgin Media (Finance Plc) 9.500% sn notes EUR 180 15-Aug-16 Ba2 / BB- 111.79 2.00% 200 146

Virgin Media (Finance Plc) 8.875% sn notes GBP 350 15-Oct-19 Ba2 / BB- 113.13 4.36% 415 348

Ziggo (Bond Company BV) 6.125% sn sec nts EUR 750 15-Nov-17 Baa3 / BBB- 107.32 2.46% 247 193

Ziggo (Bond Company BV) 8.000% sn notes EUR 1209 15-May-18 Ba2 / BB- 110.34 3.97% 398 344 Note: Pricing data as at close of business 22 August 2012.


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Exhibit 23: European HY Telecom and Broadcasting



Price


Telecom Sector

C&W (Cable & Wireless Int'l Fin) 8.625% sn notes GBP 147 25-Mar-19 B1 / B+ 102.00 8.20% 722 682

Invitel (Magyar Telkom) 9.500% sn sec nts EUR 350 15-Dec-16 B3 / CCC+ 59.89 25.32% 2,500 2,449

OTE PLC 5.000% sn notes EUR 1243 05-Aug-13 Caa1 / B- 86.61 22.20% 2,220 2,183

OTE PLC 7.250% sn notes EUR 500 08-Apr-14 Caa1 / B- 77.15 26.24% 2,625 2,573

OTE PLC 7.250% sn notes EUR 600 12-Feb-15 Caa1 / B- 73.63 NA 2,218 2,159

OTE PLC 4.625% sn notes EUR 895 20-May-16 Caa1 / B- 66.23 17.74% 1,756 1,698

Polkomtel 11.75% sn notes EUR 543 31-Jan-20 B3 / B- 109.41 9.49% 894 847

Sunrise Communications 7.000% sn sec nts EUR 371 31-Dec-17 (P)Ba3 / BB- 108.94 3.93% 394 340

Sunrise Communications 8.500% sn notes EUR 561 31-Dec-18 B3 / B- 110.53 5.38% 537 479

Wind (Wind Acqu'n Finance) 7.375% sn sec nts EUR 1750 15-Feb-18 Ba3 / BB 90.76 9.58% 903 854

Wind (Wind Acqu'n Finance) 11.750% sn notes EUR 1250 15-Jul-17 B3 / BB- 89.12 14.96% 1,452 1,404

Wind (Wind Acqu'n Holding) 12.250% Toggle (cash Jan14) EUR 442 15-Jul-17 Caa1 / B 72.61 20.68% 2,024 NA

Broadcasting Sector

Centr. Europ, Med. Ent. (CET 21) 9.000% sn sec nts EUR 170 01-Nov-17 Ba3 / B- 108.52 6.62% 653 596

Central European Media Enterprises 3.313% sn FRN nts EUR 88 15-May-14 Caa1 / CCC+ 95.52 5.00% 443 NA

Central European Media Enterprises 11.625% sn notes EUR 375 15-Sep-16 NA / CCC+ 105.59 9.47% 939 882

Cyfrowy Polsat 7.125% secured nts EUR 350 20-May-18 Ba2 / BB 108.86 4.73% 473 419

ITV Plc 10.000% EMTN Notes EUR 50 30-Jun-14 Ba1 / BB+ 116.71 0.80% 81 26

ITV Plc 5.375% EMTN Notes GBP 78 19-Oct-15 Ba1 / BB+ 105.19 3.59% 324 267

ITV Plc 7.375% EMTN Nts (1.25% step) GBP 161 05-Jan-17 Ba1 / BB+ 109.56 4.87% 428 381

TVN (Fin Corp II) 10.750% sn notes EUR 593 15-Nov-17 B1 / B+ 107.00 8.22% 812 754

TVN (Fin Corp III) 7.875% sn notes EUR 175 15-Nov-18 (P)B1 / B+ 101.77 7.37% 708 654

Polish Television Holding 11.250% sn notes EUR 260 15-May-17 NA / B- 103.87 10.28% 1,018 961 Note: Pricing data as at close of business 22 August 2012.


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Exhibit 24: European HY Entertainment Publishing and Technology



Price


Entertainment

Odeon UCI 9.000% secured nts GBP 300 01-Aug-18 B3 / B 99.56 9.09% 823 782

Odeon UCI E+500bps secured FRNs EUR 200 01-Aug-18 B3 / B 99.21 5.46% 516 NA

Publishing

PagesJaunes 8.617% secured nts EUR 350 01-Jun-18 B2 / NA 84.44 12.77% 1,216 1,169

Seat Pagine Gialle Spa 10.500% sn sec nts EUR 550 31-Jan-17 Caa1 / D 69.98 21.67% 2,133 2,083

Seat PG (Lighthouse Int'l) 8.000% sn notes EUR 1300 30-Apr-14 C / D 13.42 191.84% 19,184 NA

Technology

Alcatel-Lucent 6.375% sn notes EUR 462 07-Apr-14 B3 / B 100.86 5.77% 578 524

Alcatel-Lucent 8.500% sn notes EUR 500 15-Jan-16 B3 / B 90.87 11.85% 1,172 1,115

Interxion 9.500% sn sec nts EUR 260 12-Feb-17 B2 / BB- 112.70 3.67% 367 314

Siemens Enterp. Comm (EN Ger Hld) 10.750% sn sec nts EUR 175 15-Nov-15 B3 / B- 100.94 10.25% 1,025 968 Note: Pricing data as at close of business 22 August 2012


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Loan Market Overview

Exhibit 25: Loan movers

Company Description Maturity Size (mn) Price (bid) Change since: -------------------------------------------->Yield (bid) Absolute change since: --------------------------->Z DM (bid) Absolute change since: --------------------------->

Current 1-Mar 1-Feb 1-Jan Current 1-Mar 1-Feb 1-Jan Current 1-Mar 1-Feb 1-Jan

Convatec TL-B € 22-Dec-16 550 99.5 0.0% -0.3% 0.5% 5.9% 0.0% 0.1% -0.1% 456 0 6 -12

Gala Coral TL-B 27-May-18 825.0 87.0 -1.1% 1.2% 17.6% 9.5% 0.5% 0.0% -2.9% 781 23 -24 -336

KDG TL-E € 30-Jun-18 500.0 99.5 0.0% 0.3% 1.3% 5.0% 0.0% 0.0% -0.2% 334 0 -5 -23

Kion TL B/C € 28-Jun-15 1.0 92.0 5.7% 8.9% 18.7% 5.2% -1.9% -2.9% -5.9% 496 -183 -279 -567

Telenet TL-R € 31-Jul-19 798.6 99.0 -0.5% -0.3% 0.0% 5.4% -0.1% -0.1% -0.2% 379 8 4 0

UPC TL-S € 31-Dec-16 1670.0 96.0 -1.0% -1.5% 2.4% 5.8% 0.0% 0.2% -0.8% 473 25 37 -56

UPC TL-U € 31-Dec-17 1235.8 98.0 -0.1% 0.0% 3.4% 5.9% 0.0% 0.0% -0.7% 442 3 0 -68

Wind TL-B1 (Int'l) € 26-Nov-17 1334.0 94.0 -0.8% 1.1% 9.3% 6.8% -0.1% -0.5% -1.8% 554 16 -22 -186

Ziggo TL-F € new 12-Sep-17 460.4 99.6 0.1% 0.1% 0.6% 4.8% -0.1% 0.0% -0.1% 334 -3 -3 -13

Source: Credit Suisse

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Pricing differentials 1Five year CDS basis

Exhibit 26: 5 Years CDS Basis

-305

-139 -125 -122 -115 -101 -91 -71 -61

3 3 4 12 18 3061 77 82

112 118153

195220 231 232

338362

408

558

1030

-400

-200

0

200

400

600

800

1000

1200

INE

GR

P '1

6

LA

DL

N '1

7

HT

OG

A '1

6

WIN

DIM

'17

CO

DE

RE

'15

AR

GID

'20

CW

CL

N '1

9

UP

MK

YM

'17

DX

NS

LN

'15

HE

IGR

'17

CO

NV

AT

'18

VM

ED

'19

KA

BE

GR

'18

UN

ITY

'19

NS

INO

'17

FR

EG

R '1

5

MW

DP

'16

IAG

LN

'16

CIR

IM '2

4

ST

EN

A '1

7

ON

OS

M '1

9

UP

CB

'18

ZIG

GO

'18

ST

ER

V '1

4

RA

LF

P '1

6

SK

GID

'15

ISS

DC

'14

AF

FP

'16

AL

UF

P '1

6

ISS

DC

'16

Source: the BLOOMBERG PROFESSIONAL™ service

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16B18BSenior secured vs. unsecured bonds

Exhibit 27: Senior secured vs. unsecured bond pricing differentials

Company Description Maturity Price (€) YTW Z-Sprd Net Levg LTM

Ardagh 9.250% Secured € notes 1-Jul-16 109.5 3.2% 263 2.5x

Ardagh 7.125% Senior € notes 15-Jun-17 99.7 7.2% 626 5.1x

Secured to unsecured 1.0 yrs -9.8 pts 4.01% 363 bps 2.6x

CETV 9.000% Secured € notes 1-Nov-17 108.5 6.6% 596 1.6x

CETV 11.630% Senior € notes 15-Sep-16 105.6 9.5% 882 6.8x

Secured to unsecured -1.1 yrs -2.9 pts 2.84% 286 bps 5.2x

Convatec 7.375%% Secured € notes 15-Dec-17 106.6 5.6% 478 3.4x

Convatec 10.875%% Senior € notes 15-Dec-18 105.6 9.3% 843 5.9x


Edcon E+3.250% Secured € FRN notes 15-Jun-14 92.6 8.0% 768 5.3x

Edcon E+5.500% Senior € FRN notes 15-Jun-15 86.1 11.6% 1134 6.4x


Gala Coral 8.875% Secured £ notes 1-Sep-18 94.3 10.2% 888 4.3x

Gala Coral 11.500% Senior £ notes 1-Jun-19 77.9 17.1% 1579 5.4x


Ineos Holdings 9.250% Secured € notes 15-May-15 107.8 4.5% 390 2.2x

Ineos Holdings 7.875% Senior € notes 15-Feb-16 89.8 11.5% 1081 3.8x


Matalan 8.875% Secured £ notes 29-Apr-16 93.7 11.0% 1003 1.7x

Matalan 9.625% Senior £ notes 31-Mar-17 79.6 16.1% 1501 4.3x


New World Resources 7.875% Secured € notes 1-May-18 100.5 7.7% 695 0.1x

New World Resources 7.875% Senior € notes 15-May-15 101.4 6.5% 597 0.9x

Secured to unsecured -3.0 yrs 0.8 pts -1.19% -98 bps 0.8x

ONO 8.875% Secured € notes 1-Dec-18 91.3 10.8% 966 4.0x

ONO 11.125% Senior € notes 15-Jul-19 81.0 15.7% 1454 4.6x

Secured to unsecured 0.6 yrs -10.3 pts 4.93% 488 bps 0.6x Source: the BLOOMBERG PROFESSIONAL™ service

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Ontex 7.500% Secured € notes 15-Apr-18 100.4 7.4% 662 3.8x

Ontex 9.000% Senior € notes 15-Apr-19 90.9 11.0% 974 5.4x


Priory 7.000% Secured £ notes 15-Feb-18 100.9 6.8% 570 4.8x

Priory 8.875% Senior £ notes 15-Feb-19 93.9 10.2% 884 6.1x


Reynolds 7.750% Secured € notes 15-Oct-16 104.5 3.1% 291 3.3x

Reynolds 8.000% Senior € notes 15-Dec-16 99.0 8.3% 743 6.2x


Smurit Kappa 7.250% Secured € notes 15-Nov-17 108.3 3.1% 262 2.2x

Smurit Kappa 7.750% Senior € notes 1-Apr-15 101.8 -0.9% -104 2.8x

Secured to unsecured -2.7 yrs -6.5 pts -4.06% -366 bps 0.6x

Smurit Kappa 7.750% Secured € notes 15-Nov-19 110.7 4.3% 376 2.2x

Smurit Kappa 7.750% Senior € notes 1-Apr-15 101.8 -0.9% -104 2.8x

Secured to unsecured -4.7 yrs -8.8 pts -5.25% -480 bps 0.6x

Sunrise Communications 7.000% Secured € notes 31-Dec-17 108.9 3.9% 340 3.3x

Sunrise Communications 8.500% Senior € notes 31-Dec-18 110.5 5.4% 479 4.4x

Secured to unsecured 30-Dec-00 1.6 pts 1.44% 139 bps 1.3x

Towergate 8.500% Secured £ notes 15-Feb-18 98.8 8.8% 757 3.0x

Towergate 10.500% Senior £ notes 15-Feb-19 93.6 12.0% 1062 5.1x


Unitymedia 8.125% Secured € notes 1-Dec-17 108.8 4.1% 353 3.8x

Unitymedia 9.625% Senior € notes 1-Dec-19 114.0 5.0% 444 5.1x

Secured to unsecured 2.0 yrs 5.2 pts 0.96% 91 bps 1.3x

UPC 7.625% Secured € notes 15-Jan-20 109.2 5.0% 443 3.8x

UPC 8.375% Senior € notes 15-Aug-20 109.9 6.0% 534 4.6x

Secured to unsecured 0.6 yrs 0.8 pts 0.96% 91 bps 0.8x Source: the BLOOMBERG PROFESSIONAL™ service

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UPC 6.375% Secured € notes 1-Jul-20 104.9 5.4% 426 3.8x

UPC 8.375% Senior € notes 15-Aug-20 109.9 5.98% 534 4.6x


Virgin Media 7.000% Secured £ notes 15-Jan-18 108.9 2.9% 199 2.3x

Virgin Media 8.875% Senior £ notes 15-Oct-19 113.1 4.4% 348 3.4x


Wind 7.375% Secured € notes 15-Feb-18 90.8 9.6% 854 3.2x

Wind 11.750% Senior € notes 15-Jul-17 89.1 15.0% 1404 4.7x

Secured to unsecured -0.6 yrs -1.6 pts 5.37% 551 bps 1.5x

Ziggo 6.125% Secured € notes 15-Nov-17 107.3 2.5% 193 2.7x

Ziggo 8.000% Senior € notes 15-May-18 110.3 4.0% 344 3.7x

Secured to unsecured 0.5 yrs 3.0 pts 1.51% 151 bps 1.0x Source: the BLOOMBERG PROFESSIONAL™ service

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17B19BEuro/GBP vs. USD bonds

Exhibit 30: Euro/GBP vs. USD bonds pricing differentials

Company Description Maturity Size Price YTW Z-Sprd

Abengoa 8.875% Senior $ Notes 1-Nov-17 650 87.81 12.11% 1124

Abengoa 8.500% Senior € Notes 31-Mar-16 500 93.87 10.59% 986

Abengoa $ into € Snr Notes -1.6 yrs 6.1 pts -1.52% -138 bps

Alcatel-L 6.500% Senior $ Notes 15-Jan-28 300 63.25 11.70% 976

Alcatel-L 8.500% Senior € Notes 15-Jan-16 500 90.87 11.85% 1115

Alcatel-L $ into € Snr Notes -12.2 yrs 27.6 pts 0.14% 139 bps

Alcatel-L 6.450% Senior $ Notes 15-Mar-29 1360 61.93 11.71% 973

Alcatel-L 8.5000% Senior € Notes 15-Jan-16 500 90.87 11.85% 1115

Alcatel-L $ into € Snr Notes -13.4 yrs 28.9 pts 0.14% 142 bps

Ardagh 7.375% Senior Secured $ Notes 15-Oct-17 510 107.75 5.14% 470

Ardagh 9.250% Senior Secured € Notes 1-Jul-16 300 109.50 3.18% 263

Ardagh $ into € Snr Secured Nts -1.3 yrs 1.8 pts -1.97% -207 bps

Ardagh 7.375% Senior Secured $ Notes 15-Oct-17 510 107.75 5.14% 470

Ardagh 7.375% Senior Secured € Notes 15-Oct-17 825 106.51 5.59% 477

Ardagh $ into € Snr Secured Nts 0.0 yrs -1.2 pts 0.44% 7 bps

Ardagh 9.125% Senior $ Notes 15-Oct-20 450 104.56 8.16% 711

Ardagh 9.250% Senior € Notes 15-Oct-20 475 103.02 8.60% 746

Ardagh $ into € Snr Notes 0.0 yrs -1.5 pts 0.44% 35 bps


Ardagh 7.125% Senior € Notes 15-Jun-17 310 99.72 7.19% 626

Ardagh $ into € Snr Notes -3.4 yrs -4.8 pts -0.97% -85 bps


Ardagh 8.750% Senior € Notes 1-Feb-20 180 99.81 8.78% 745

Ardagh $ into € Snr Notes -0.7 yrs -4.8 pts 0.62% 33 bps

Ardagh 11.125% PIK notes $ Notes 1-Jun-18 386 NA NA NA

Ardagh 11.125% PIK notes € Notes 1-Jun-18 196 91.71 13.20% NA

Ardagh $ into € PIK notes 0.0 yrs NA NA NA Source: the BLOOMBERG PROFESSIONAL™ service

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Aguila 3 SA 7.875% Senior Secured $ Notes 31-Jan-18 555 106.56 6.24% 566

Aguila 3 SA 7.875% Senior Secured € Notes 31-Jan-18 350 107.31 6.01% 585

Aguila 3 SA $ into CHF Snr Secured Nts 0.0 yrs 0.7 pts -0.23% 19 bps

Crown Holdings 7.625% Senior $ Notes 15-May-17 400 107.16 2.74% 236

Crown Holdings 7.125% Senior € Notes 15-Aug-18 500 110.11 3.52% 298

Crown Holdings $ into € Snr Notes 1.3 yrs 2.9 pts 0.78% 62 bps

Convatec 10.500% Senior $ Notes 15-Dec-18 745 105.81 8.84% 813

Convatec 10.875% Senior € Notes 15-Dec-18 250 105.57 9.27% 843

Convatec $ into € Snr Notes 0.0 yrs -0.2 pts 0.43% 31 bps

Edcon 9.500% Senior Secured $ Notes 1-Mar-18 250 96.53 10.34% 941

Edcon 9.500% Senior Secured € Notes 1-Mar-18 317 94.13 10.95% 991

Edcon $ into € Snr Secured Nts 0.0 yrs -2.4 pts 0.61% 50 bps

Fresenius 9.000% Senior $ Notes 15-Jul-15 500 115.00 3.48% 298

Fresenius 8.750% Senior € Notes 15-Jul-15 275 118.19 2.19% 156

Fresenius $ into € Snr Notes 0.0 yrs 3.2 pts -1.29% -142 bps

FMC 6.500% Senior $ Notes 15-Sep-18 400 112.15 4.20% 314

FMC 6.500% Senior € Notes 15-Sep-18 400 117.48 3.29% 213

FMC $ into € Snr Notes 0.0 yrs 5.3 pts -0.92% -101 bps

FMC 5.750% Senior $ Notes 15-Feb-21 650 105.13 5.00% 351

FMC 5.250% Senior € Notes 15-Feb-21 300 110.58 3.78% 224

FMC $ into € Snr Notes 0.0 yrs 5.5 pts -1.22% -127 bps

Jaguar Land Rover 7.750% Senior $ Notes 15-May-18 410 106.40 6.16% 537

Jaguar Land Rover 8.125% Senior £ Notes 15-May-18 500 106.19 6.57% 547

Jaguar $ into £ Snr Notes 0.0 yrs 0.2 pts -0.41% -11 bps

Ineos 8.500% Secured $ Notes 15-Feb-16 678 93.83 10.67% 1009

Ineos 7.785% Secured € Notes 15-Feb-16 1532 89.80 11.53% 1081

Ineos $ into € Secured Nts 0.0 yrs -4.0 pts 0.85% 72 bps Source: the BLOOMBERG PROFESSIONAL™ service

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Ineos 9.000% Senior Secured $ Notes 15-May-15 570 106.55 4.96% 454

Ineos 9.250% Senior Secured € Notes 15-May-15 300 107.80 4.46% 390

Ineos $ into € Snr Secured Nts 0.0 yrs 1.3 pts -0.50% -64 bps

Ineos 9.000% Senior Secured $ Notes 15-May-15 570 106.55 4.96% 454

Ineos E+600 Senior Secured € Notes 15-Feb-19 500 101.63 6.98% NA

Ineos $ into € 3.8 yrs -4.9 pts 2.02% NA

Kinove German Bondco 9.625% Senior Secured $ Notes 15-Jun-18 315 10000.00 -142.41% NA

Kinove German Bondco 10.000% Senior Secured € Notes 15-Jun-18 320 108.58 7.82% 690

Kinove $ into € Snr Secured Nts 0.0 yrs 9891.4 pts -150.23% NA

ONO 10.875% Senior Secured $ Notes 15-Jul-19 225 80.68 15.53% 1440

ONO 11.125% Senior Secured € Notes 15-Jul-19 295 80.95 15.75% 1454

ONO BW $ into € Snr Secured Nts 0.0 yrs 0.3 pts 0.21% 13 bps

OI 3.000% Senior $ Notes 1-Jun-15 690 97.87 3.82% 330

OI 6.875% Senior € Notes 31-Mar-17 300 103.66 -8.66% -859

O-I $ into € Snr Nts 1.9 yrs 5.8 pts -12.47% -1189 bps

OI 7.375% Senior $ Notes 15-May-16 600 114.06 3.32% 270


O-I $ into € Snr Notes 0.9 yrs -10.4 pts -11.98% -1128 bps

OI 7.800% Senior $ Notes 15-May-18 250 114.50 4.86% 387


O-I $ into € Snr Notes -1.1 yrs -10.8 pts -13.52% -1246 bps

Oxea 9.500% Senior Secured $ Notes 15-Jul-17 223 109.69 6.02% 564

Oxea 9.625% Senior Secured € Notes 15-Jul-17 257 111.14 4.68% 414

Oxea $ into € Snr Secured Nts 0.0 yrs -1.4 pts 1.34% 149 bps

Unitymedia 8.125% Senior Secured $ Notes 1-Dec-17 845 109.16 3.72% 331

Unitymedia 8.125% Senior Secured € Notes 1-Dec-17 1430 108.80 4.06% 353

Unitymedia $ into € Snr Secured Nts 0.0 yrs -0.4 pts 0.34% 22 bps Source: the BLOOMBERG PROFESSIONAL™ service

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UPC 6.625% Senior Secured $ Notes 1-Jul-20 1000 105.48 5.51% 449

UPC 7.625% Senior Secured € Notes 15-Jan-20 500 109.18 5.01% 443

UPC $ into € Snr Secured Nts -0.5 yrs 3.7 pts -0.50% -7 bps

UPC 6.625% Senior Secured $ Notes 1-Jul-20 1000 105.48 5.51% 449

UPC 6.375% Senior Secured € Notes 1-Jul-20 750 104.91 5.38% 426

UPC $ into € Snr Secured Nts 0.0 yrs -0.6 pts -0.13% -24 bps

UPC 7.250% Senior Secured $ Notes 15-Nov-21 750 108.25 5.78% 508



UPC 7.250% Senior Secured $ Notes 15-Nov-21 750 108.25 5.78% 508



UPC 9.875% Senior $ Notes 15-Apr-18 400 112.83 4.56% 415

UPC 9.750% Senior € Notes 15-Apr-18 400 108.33 3.94% 338

UPC $ into € Snr Notes 0.0 yrs -4.5 pts -0.62% -77 bps

Virgin Media 6.500% Senior Secured $ Notes 15-Jan-18 999 108.89 2.25% 185

Virgin Media 7.000% Senior Secured £ Notes 15-Jan-18 867 108.90 2.87% 199

Virgin Media $ into £ Snr Secured Nts 0.0 yrs 0.0 pts 0.62% 14 bps

Virgin Media 9.500% Senior $ Notes 15-Aug-16 850 111.98 1.81% 142

Virgin Media 9.500% Senior € Notes 15-Aug-16 180 111.79 2.00% 146

Virgin Media $ into € Snr Notes 0.0 yrs -0.2 pts 0.19% 5 bps

Virgin Media 8.375% Senior $ Notes 15-Oct-19 600 113.43 3.67% 323

Virgin Media 8.875% Senior £ Notes 15-Oct-19 350 113.13 4.36% 348

Virgin Media $ into £ Snr Notes 0.0 yrs -0.3 pts 0.69% 25 bps

WIND 7.250% Senior Secured $ Notes 15-Feb-18 1300 92.01 9.14% 820

WIND 7.375% Senior Secured € Notes 15-Feb-18 1750 90.76 9.58% 854

Wind $ into € Snr Secured Nts 0.0 yrs -1.2 pts 0.45% 34 bps

WIND 11.750% Senior $ Notes 15-Jul-17 2000 90.23 14.61% 1381

WIND 11.750% Senior € Notes 15-Jul-17 1250 89.12 14.96% 1404

Wind $ into € Snr Notes 0.0 yrs -1.1 pts 0.35% 23 bps Source: the BLOOMBERG PROFESSIONAL™ service

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18B20BLoans vs. secured bonds

Exhibit 34: Senior secured vs. term loans pricing differentials

Company Description Maturity Size (mn) Price (bid) Yield (bid) Z-DM (bid)

Convatec TL-B € 22-Dec-16 550 99.5 5.88% 526

Convatec 7.375% Senior Secured € Notes 15-Dec-17 300 106.6 5.63% 478

Convatec swap into SSN 1.0 yrs 7.1 pts -0.25% -47 bps

Gala Coral TL-B 27-May-18 825.0 90.5 7.77% 709

Gala Coral 8.875% Secured £ Notes 1-Sep-18 350 94.3 10.16% 888

Gala swap into SSN 0.3 yrs 3.8 pts 2.39% 179 bps

Ineos TL B1/C1 € 16-Jun-14 1.0 97.5 6.54% 624

Ineos 9.2% Senior Secured € Notes 15-May-15 300 107.8 4.46% 390

Ineos swap into SSN 0.9 yrs 10.3 pts -2.09% -234 bps

KDG TL-E € 30-Jun-18 500.0 99.0 3.74% 344

KDG 6.500% Secured € Notes 29-Jun-18 500 108.5 3.43% 289

KDG swap into SSN 0.0 yrs 9.5 pts -0.31% -55 bps

Kion TL B/C € 28-Jun-15 1.0 95.8 4.28% 398

Kion E+4.250% Senior Secured € Notes 15-Apr-18 175 95.8 5.43% NA

Kion swap into SSN 2.8 yrs 0.0 pts 1.15% NA

Telenet TL-R € 31-Jul-19 748.6 98.8 4.14% 384

Telenet 6.375% Senior Secured € Notes 15-Nov-20 500 104.4 5.53% 434

Telenet swap into SSN 1.3 yrs 5.7 pts 1.39% 50 bps

Schaeffler TL-C € 27-Jan-17 600.0 99.8 5.87% 557

Schaeffler 7.75% Snr Secured Notes € 15-Feb-13 800 102.0 2.36% 180

Schaeffler swap into SSN -4.0 yrs 2.2 pts -3.51% -376 bps

UPC TL-S € 31-Dec-16 1670.0 99.0 4.31% 401


UPC swap into SSN 3.1 yrs 10.2 pts 0.70% 42 bps Source: the BLOOMBERG PROFESSIONAL™ service

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Exhibit 35: Senior secured vs. term loans pricing differentials

Company Description Maturity Size (mn) Price (bid) Yield (bid) Z-DM (bid)

UPC TL- S € 31-Dec-16 1670.0 99.0 4.31% 401


UPC swap into SSN 3.6 yrs 5.9 pts 1.07% 25 bps

UPC TL-U € 31-Dec-17 1235.8 99.0 4.51% 421



UPC TL-U € 31-Dec-17 1235.8 99.0 4.51% 421



Virgin Media TL-B 30-Jun-15 750.0 99.3 3.10% 244

Virgin Media 7.000% Senior Secured € Notes 15-Jan-18 867 108.9 2.87% 199

Virgin Media swap into SSN 2.6 yrs 9.6 pts -0.22% -45 bps

Wind TL-B1 (Int'l) € 26-Nov-17 1334.0 91.0 6.58% 629 bps

Wind 7.375% Senior Secured € Notes 15-Feb-18 1,750 90.8 9.58% 854 bps

Wind swap into SSN 0.2 yrs -0.2 pts 3.01% 225 bps

Ziggo TL-F € new 12-Sep-17 460.4 99.5 3.66% 337

Ziggo 6.125% Senior Secured € Notes 15-Nov-17 750 107.3 2.46% 193.39

Ziggo swap into SSN 0.2 yrs 7.8 pts -1.20% -143 bps Source: the BLOOMBERG PROFESSIONAL™ service

28 August 2012


5B5BSector Financials & Relative Value Tables

Exhibit 36: Cable

Company

Com Hem

(Norcell) KDG Numericable ONO

Bonds & CDS

Senior secured bond benchmark 9.25% SEK '18 6.5% €'18 12.375% €'19 8.875% €'18

Senior secured price 103.0 108.4 104.6 90.8

Senior secured yield-to-maturity (%) 8.8 4.8 11.3 10.9

Senior secured z-spread (bps) 654.1 293.0 1,023.4 980.2

Senior secured rating (MDY/ S&P/ Fitch) B1 / B / NR Ba2 / BB / BB+ B2 / B / NR B1 / B+ / BB-

Senior unsecured bond benchmark 10.75% €'19 6.5% €'17 n.a. 11.125% €'19

Senior unsecured price 107.4 108.1 n.a. 80.8

Senior unsecured yield-to-maturity (%) 9.3 4.6 n.a. 15.8

Senior unsecured z-spread (bps) 799.4 391.7 n.a. 1,459.9

Senior unsec. rating (MDY/ S&P/ Fitch) Caa1 / CCC+ / NR B1 / B / NR n.a. Caa1 / B- / CCC+

5-year CDS price n.a. 307 n.a. 1,264

Reporting

Last reporting period 1Q12 1Q13 1Q12 2Q12

Currency SEKm EURm EURm EURm

Fiscal Year end 31-Dec 31-Mar 31-Dec 31-Dec

Income statement

Revenue 4,543 1,732 854 1,523

Adjusted EBITDA (company definition) 2,164 811 436 756

Adjusted EBITDA margin (%) 48% 47% 51% 50%

Cash flow PF'12 refi

Adjusted EBITDA 2,164 811 436 756

Capex -642 -427 -195 -288

Net interest paid -989 -175 -155 -281

Tax paid 0 -12 -1 0

FCF before WC, other, M&A and div. 533 197 85 187

as % of net debt 4.8 6.7 3.6 5.3

Change in working capital 21 14 20 -70

Other and non-cash items in EBITDA 146 -51 0 -33

FCF before M&A and dividends 700 161 105 84

as % of net debt 6.3 5.5 4.4 2.4

Dividends paid 0 0 0 -10

Acquisitions / disposals 0 -10 0 0

Free cash flow 700 151 105 74

as % of net debt 6.3 5.1 4.4 2.1

capex as % sales 14.1 24.7 22.8 18.9

Debt (nominal outstanding)

Senior secured debt 9,185 3,023 2,385 3,123

Senior debt 2,546 400 0 474

Subordinated debt 0 0 0 0

Nominal debt outstanding 11,731 3,423 2,385 3,597

(Cash) -647 -486 -15 -87

Net debt 11,084 2,937 2,371 3,510

Credit metrics

Company adjusted actual ratios:

EBITDA to net interest paid NA 4.6x 2.8x 2.7x

Net debt to EBITDA - to secured nts 3.9x 3.1x 5.4x 4.0x

Net debt to EBITDA - to senior nts 5.1x 3.6x 5.4x 4.6x

Net debt to EBITDA - to PIK / convertible NA NA NA NA

Net debt to EBITDA minus capex 7.3x 7.6x 9.8x 7.5x

Enterprise Value to LTM EBITDA NA 5.9x NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 37: Cable

Company Telenet

Unitymedia

(incl. KBW) UPC

Virgin

Media Ziggo

Bonds & CDS

Senior secured bond benchmark 6.375% €'20 8.125% €'17 6.375% €'20 7% £'18 6.125% €'17

Senior secured price 104.3 108.7 104.9 108.9 107.3

Senior secured yield-to-maturity (%) 5.7 6.2 5.6 5.1 4.5

Senior secured z-spread (bps) 438.5 358.6 429.9 200.9 200.4

Senior secured rating (MDY/ S&P/ Fitch) Ba3 / B+ / BB Ba3 / BB- / NR Ba3 / BB- / NR Baa3 / BBB- / BBB- Baa3 / BBB- / NR

Senior unsecured bond benchmark n.a. 9.625% €'19 8.375% €'20 8.875% £'19 8% €'18

Senior unsecured price n.a. 113.9 109.8 113.1 110.3

Senior unsecured yield-to-maturity (%) n.a. 7.1 6.8 6.5 5.8

Senior unsecured z-spread (bps) n.a. 450.5 540.3 351.2 346.2

Senior unsec. rating (MDY/ S&P/ Fitch) n.a. B3 / B- / NR B2 / B- / NR Ba2 / BB- / BB+ Ba2 / BB- / NR

5-year CDS price n.a. 463 540 356 n.a.

Reporting PF for KBW

Last reporting period 2Q12 1Q12 1Q12 2Q12 1Q12

Currency EURm EURm EURm GBPm EURm

Fiscal Year end 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec

Income statement

Revenue 1,433 1,670 4,081 4,057 1,504

Adjusted EBITDA (company definition) 748 984 1,966 1,611 845

Adjusted EBITDA margin (%) 52% 59% 48% 40% 56%

Cash flow

Adjusted EBITDA 748 984 1,966 1,611 845

Capex -320 -453 -777 -457 -272

Net interest paid -191 -382 -766 -419 -252

Tax paid 0 -12 -26 1 0

FCF before WC, other, M&A and div. 237 138 397 735 322

as % of net debt 7.2 2.7 4.5 12.8 10.4

Change in working capital -19 -120 94 -59 39

Other and non-cash items in EBITDA 7 -623 -91 35 -7

FCF before M&A and dividends 225 -606 400 711 354

as % of net debt 6.8 -12.1 4.5 12.4 11.4

Dividends paid 0 0 -184 -29 0

Acquisitions / disposals 0 0 -591 -1 -14

Free cash flow 225 -606 -375 681 339

as % of net debt 6.8 -12.1 -4.2 11.9 10.9

capex as % sales 22.3 27.1 19.0 11.3 18.1


PF Aug'12 div &

refi & sh/bb PF for KBW

Senior secured debt 3,405 3,729 7,355 3,549 2,041

Senior debt 0 1,283 1,601 1,733 1,209

Subordinated debt 0 0 0 637 0

Nominal debt outstanding 3,405 5,012 8,956 5,918 3,250

(Cash) -112 -5 -127 -191 -148

Net debt 3,293 5,007 8,829 5,728 3,102

Credit metrics


EBITDA to net interest paid 4.0x 2.6x 2.6x 3.8x 3.4x

Net debt to EBITDA - to secured nts 4.4x 3.8x 3.7x 2.1x 2.2x

Net debt to EBITDA - to senior nts NA 5.1x 4.5x 3.2x 3.7x

Net debt to EBITDA - to PIK / convertible NA NA NA 3.6x NA

Net debt to EBITDA minus capex 6.5x 9.4x 7.4x 5.0x 5.4x

Enterprise Value to LTM EBITDA 8.8x NA NA 8.5x 9.6x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 38: Telecoms

Company Orange CH 1 Polkomtel 1 Sunrise Wind Tel.Bonds & CDS

Senior secured bond benchmark 6.75% £'19 n.a. 7% € '17 7.375% € '18

Senior secured price 106.7 n.a. 108.9 90.2

Senior secured yield-to-maturity (%) 5.5 n.a. 5.1 9.7

Senior secured z-spread (bps) 499 n.a. 348 871

Senior secured rating (Moody's/S&P/Fitch) Ba3 / BB- / NR n.a. (P)Ba3 / BB- / BB Ba3 / BB / BB+

Senior unsecured bond benchmark 8.25% €'20 11.75% € '20 8.5% € '18 11.75% € '17

Senior unsecured price 108.7 109.4 110.4 88.8

Senior unsecured yield-to-maturity (%) 6.7 9.9 6.5 15.1

Senior unsecured z-spread (bps) 531 850 488 1,418

Senior unsecured rating (Moody's/S&P/Fitch) B3 / B- / NR B3 / B- / NR B3 / B- / B B3 / BB- / BB-

5-year CDS price n.a. n.a. 511 1,313

Reporting


Currency CHFm PLNm CHFm EURm

Fiscal Year end 31-Dec 31-Dec 31-Dec 31-Dec

Financial Summary

Revenue 1,257 7,310 2,062 5,569

Adjusted EBITDA (company definition) 364 2,833 632 2,110


Cash flow Pro-forma Pro-forma int exp

Adjusted EBITDA 364 2,833 632 2,110

Capex -181 -912 -200 -1,042

Net interest paid -123 -1,252 -179 -679

Tax paid 0 -307 -59 -81

FCF before WC, other, M&A and dividends 60 362 195 308

as % of net debt 4.6 3.3 5.8 3.2

Change in working capital -9 72 -30 54

Other and non-cash items in EBITDA 33 0 12 21

Free cash flow before M&A and dividends 84 434 177 383

as % of net debt 6.5 3.9 5.3 4.0

Dividends paid 0 0 0 -10

Acquisitions / disposals 0 0 -38 0

Free cash flow 84 434 139 373

as % of net debt 6.5 3.9 4.1 3.9


Incl. cap'd spectrum

liabil.

Senior secured debt 1,104 8,655 2,305 6,819

Senior debt 271 3,818 680 3,251



(Cash) -80 -1,409 378 -418

Net debt (excl. PIK) 1,295 11,064 3,363 9,652

Credit metrics


EBITDA to net interest paid 3.0 2.3x 3.5x 3.1x

Net debt to EBITDA - to secured nts 2.8 2.6x 3.0x 3.0x

Net debt to EBITDA - to senior nts 3.6 3.9x 4.1x 4.5x

Net debt to EBITDA - to PIK NA 4.1x NA 5.0x

Net debt to EBITDA minus capex (incl. PIK) 7.1 5.8x 5.7x 8.9x

Enterprise Value to EBITDA NA NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

Notes: 1. FCF is PF a 12-month post-LBO interest charge.

28 August 2012


Exhibit 39: Broadcasting and Technology

Company Alcatel-Lucent

Central European

Media Entreprises Cyfrowy Polsat TVN Bonds & CDS

Senior secured bond benchmark n.a. 9% €'17 7.125% €'18 10.75% €'17

Senior secured price n.a. 108.6 108.9 107.0

Senior secured yield-to-maturity (%) n.a. 7.0 5.3 9.0

Senior secured z-spread (bps) n.a. 596 417 757

Senior secured rating (Moody's/S&P/Fitch) n.a. Ba3 / B- / NR Ba2 / BB / NR B1 / B+ / NR

Senior unsecured bond benchmark 8.5% €'16 11.625% €'16 n.a. 11.25% €'17

Senior unsecured price 90.2 105.5 n.a. 94.0

Senior unsecured yield-to-maturity (%) 12.1 9.9 n.a. 14.0

Senior unsecured z-spread (bps) 1,143 887 n.a. 1,189

Senior unsecured rating (Moody's/S&P/Fitch) B3 / B / NR NR. / CCC+ / NR n.a. NR / B- / NR

5-year CDS price (bps equivalent) 464 n.a. n.a. n.a.

Reporting


Currency EURm USDm PLNm PLNm

Fiscal Year end 31-Dec 31-Dec 31-Dec 31-Dec

Income statement

Revenue 14,803 821 2,637 1,797

Adjusted EBITDA (company definition) 891 165 869 651

Adjusted EBITDA margin (%) 6.0% 20.0% 33.0% 36.2%

Cash flow

Adjusted EBITDA 891 165 869 651

Capex -557 -30 -74 -264


Tax paid -46 -18 -41 -53

Free cash flow before WC, other, M&A and dividends 62 7 453 43

as % of net debt 60.8% 0.7% 20.4% 1.7%

Change in working capital 104 -73 -79 -122

Other and non-cash items in EBITDA -702 23 9 -29

Free cash flow before M&A and dividends -536 -42 383 -108

as % of net debt -525% -4% 17% -4%

Dividends paid -18 0 0 -14

Acquisitions / disposals 1,117 -1 -2,339 -4

Free cash flow 563 -43 -1,956 -126

as % of net debt 552% -4% -88% -5%

Debt (nominal outstanding) PF for 2Q rights issue

Senior secured debt 482 295 2,644 0

Senior debt 4,629 866 0 3,102



Cash -5,009 -34 -423 -577

Net debt - reported 102 ** 1,127 2,221 2,525

Credit metrics


EBITDA to net interest paid 3.9x 1.5x 2.9x 2.2x

Net debt to EBITDA - through secured 0.0x 1.6x 2.6x NA

Net debt to EBITDA - through senior 0.1x 6.8x 2.6x 3.9x

Net debt to EBITDA - to HolCo PIK NA NA -59.7x * NA


Enterprise Value to EBITDA 1.9x 9.5x 8.6x 7.9x

10

11

12

13

14

15

16

Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 40: Building Materials Ticker GROHE HEIGR IDEABB LGFP XELLA

Bonds & CDS

Senior secured bond benchmark 4.662% €'17 n.a. 11.75% €'18 n.a. 8% €'18

Senior secured price 96.9 n.a. 68.3 n.a. 98.3

Senior secured yield-to-maturity (%) 5.0 n.a. 21.7 n.a. 8.4

Senior secured z-spread (bps) n.a. n.a. 2,074 n.a. 732

Senior secured rating (Moody's/S&P/Fitch) B2 / B- / NR n.a. Caa3 / NR. / CCC+ n.a. Ba3 / B+ / NR

Senior unsecured bond benchmark 8.625% €'14 8% €'17 n.a. 4.75% €'20 n.a.

Senior unsecured price 102.5 115.9 n.a. 100.6 n.a.

Senior unsecured yield-to-maturity (%) 7.3 4.0 n.a. 4.6 n.a.

Senior unsecured z-spread (bps) n.a. 319 n.a. 325 n.a.

Senior unsecured rating (Moody's/S&P/Fitch) B3 / CCC / NR Ba2 / BB / BB+ n.a. Ba1 / BB+ / BB+ n.a.

5-year CDS price (bps equivalent) 624 313 n.a. 340 n.a.

Reporting


Currency EURm EURm EURm EURm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec

Income statement

Revenue 1,243 13,486 707 15,638 1,278

Adjusted EBITDA (company definition) 248 2,328 13 3,327 207


Cash flow

Adjusted EBITDA 248 2,328 13 3,327 207

Capex -89 -743 -23 1,143 -72


Tax paid -21 -306 -5 -480 -22

Free cash flow before WC, other, M&A and dividends 59 784 -47 3,057 63

as % of net debt 5 10 -17 24 9

Change in working capital -54 -77 37 -155 -23

Other and non-cash items in EBITDA NA NA NA 0 NA

Free cash flow before M&A and dividends 5 707 -11 2,902 40

as % of net debt 0 9 -4 23 6

Dividends paid NA -131 0 -409 -2

Acquisitions / disposals NA NA 0 8 -3

Free cash flow 5 576 -11 2,501 35

as % of net debt 0 7 -4 20 5


Senior secured debt 933 2,305 300 NA 735

Senior debt 335 7,139 0 15,225 0

Subordinated debt 0 0 0 NA 0

Nominal debt outstanding 1,268 9,444 300 15,225 735

Cash -151 -1,275 -26 -2,619 -62

Net debt 1,116 8,170 275 12,606 672

12 month maturities 116 1,111 NA 2,294 20

12 to 24 month maturities 14 2,072 NA n.k. NA

Liquidity (unrestricted cash + undrawn facilities) 182 3,841 41 6,019 NA

Credit metrics


EBITDA to net interest paid 3.1x 4.7x 0.4x 3.6x 4.2x

Net debt to EBITDA - through secured 3.1x 0.4x 21.3x NA 3.3x

Net debt to EBITDA - through senior 4.5x 3.5x 21.3x 3.8x 3.3x

Lease adj. net debt to EBITDAR - through senior NA NA NA NA NA

Net debt to EBITDA minus capex 7.0x 5.2x -27.5x 2.8x 5.0x

Enterprise Value to EBITDA NA 6.8x NA 7.0x NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 41: Metal and Mining Ticker BEZINC ECOBAT NWORLD STLNSW

Bonds & CDS

Senior secured bond benchmark 8.875% €'18 n.a. 7.875% €'18 9.875% €'19

Senior secured price 93.9 n.a. 100.4 83.6

Senior secured yield-to-maturity (%) 10.3 n.a. 7.8 13.7

Senior secured z-spread (bps) 926 n.a. 702 1,250

Senior secured rating (Moody's/S&P/Fitch) B2 / B+ / NR n.a. Ba3 / BB- / NR B1 / B+ / NR

Senior unsecured bond benchmark n.a. 7.75% €'17 7.375% €'15 n.a.

Senior unsecured price n.a. 102.3 101.4 n.a.

Senior unsecured yield-to-maturity (%) n.a. 7.1 6.8 n.a.

Senior unsecured z-spread (bps) n.a. 631 601 n.a.

Senior unsecured rating (Moody's/S&P/Fitch) n.a. B1 / B+ / NR B3 / B / NR n.a.

5-year CDS price (bps equivalent) n.a. n.a. n.a. n.a.

Reporting

Last reporting period 1Q12 1Q12 2Q12 2H11

Currency EURm GBPm EURm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec

Income statement

Revenue 231 1,780 1,487 3,831

Adjusted EBITDA (company definition) 76 180 362 224


Cash flow

Adjusted EBITDA 76 180 362 224

Capex -14 -70 -211 -124


Tax paid -18 -56 -57 -17


as % of net debt 14 6 8 1

Change in working capital -7 24 -54 73

Other and non-cash items in EBITDA NA NA NA 0

Free cash flow before M&A and dividends 25 64 -14 80

as % of net debt 11 9 -3 9

Dividends paid -91 -1 -61 12

Acquisitions / disposals -9 NA NA 0

Free cash flow -75 62 -75 92

as % of net debt -33 9 -16 10


Senior secured debt 304 0 600 0

Senior debt 0 244 343 0


Nominal debt outstanding 304 1,098 923 956

Cash -76 -379 -452 -43

Net debt 228 719 472 912

12 month maturities 0 0 14 n.k.

12 to 24 month maturities 0 0 14 n.k.

Liquidity (unrestricted cash + undrawn facilities) NA 524 452 43

Credit metrics



Net debt to EBITDA - through secured 3.0x NA 0.4x NA

Net debt to EBITDA - through senior 3.0x -0.7x 1.4x 4.1x

Lease adj. net debt to EBITDAR - through senior NA NA NA 3.9x

Net debt to EBITDA minus capex 3.6x -1.2x 3.1x 9.1x

Enterprise Value to EBITDA NA NA 3.5x 6.1x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 42: Chemicals Ticker INEGRP KERLIN KINOVE OXEACY STYRO

Bonds & CDS

Senior secured bond benchmark 9.25% €'15 10.625% €'17 10% €'18 9.625% €'17 7.625% €'16

Senior secured price 107.8 90.2 108.5 111.2 88.6

Senior secured yield-to-maturity (%) 6.1 13.6 8.1 6.9 11.5

Senior secured z-spread (bps) 392 1,281 693 407 1,073

Senior secured rating (Moody's/S&P/Fitch) B1 / B+ / NR B3 / B / NR B2 / B / NR B2 / B+ / NR B2 / B+ / NR

Senior unsecured bond benchmark 7.875% €'16 n.a. n.a. n.a. n.a.

Senior unsecured price 89.8 n.a. n.a. n.a. n.a.

Senior unsecured yield-to-maturity (%) 11.5 n.a. n.a. n.a. n.a.

Senior unsecured z-spread (bps) 1,083 n.a. n.a. n.a. n.a.

Senior unsecured rating (Moody's/S&P/Fitch) Caa1 / CCC+ / NR n.a. n.a. n.a. n.a.

5-year CDS price (bps equivalent) 779 n.a. n.a. n.a. n.a.

Reporting


Currency EURm EURm EURm EURm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec

Income statement

Revenue 17,358 2,602 1,374 1,462 6,336

Adjusted EBITDA (company definition) 1,334 196 176 175 241


Cash flow

Adjusted EBITDA 1,334 196 176 175 241

Capex NA -63 NA -62 -52

Net interest paid NA -93 NA -48 -59

Tax paid NA -2 NA -51 -27

Free cash flow before WC, other, M&A and dividends 1,334 38 176 15 NA

as % of net debt 21 4 37 4 NA

Change in working capital NA 48 NA 82 22

Other and non-cash items in EBITDA NA NA NA NA NA

Free cash flow before M&A and dividends NA 87 NA 96 NA

as % of net debt NA 10 NA 29 NA

Dividends paid NA -10 NA 0 NA

Acquisitions / disposals NA -117 NA 0 NA

Free cash flow NA -41 NA 96 NA

as % of net debt NA -5 NA 29 NA


Senior secured debt 5,628 977 617 444 848

Senior debt 2,056 0 0 0 0


Nominal debt outstanding 7,684 977 617 444 848

Cash -1,247 -112 -148 -110 -279

Net debt 6,436 865 469 333 569

12 month maturities 0 0 0 0 0


Liquidity (unrestricted cash + undrawn facilities) 1,227 132 334 185 279

Credit metrics


EBITDA to net interest paid NA 2.1x NA 3.7x 4.1x

Net debt to EBITDA - through secured 3.3x 4.4x 2.7x 1.9x 2.4x

Net debt to EBITDA - through senior 4.8x 4.4x 2.7x 1.9x 2.4x


Net debt to EBITDA minus capex NA 6.5x NA 2.9x 3.0x

Enterprise Value to EBITDA NA NA NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 43: Paper Ticker LECTA MESSA NSINO SAPSJ STERV UPMKYM

Bonds & CDS

Senior secured bond benchmark #N/A N/A% €'14 n.a. n.a. 6.625% €'18 n.a. n.a.

Senior secured price #N/A N/A n.a. n.a. 100.7 n.a. n.a.

Senior secured yield-to-maturity (%) #N/A N/A n.a. n.a. 6.5 n.a. n.a.

Senior secured z-spread (bps) n.a. n.a. n.a. 556 n.a. n.a.

Senior secured rating (Moody's/S&P/Fitch) WR / B+ / NR n.a. n.a. Ba2 / BB / NR n.a. n.a.

Senior unsecured bond benchmark #N/A N/A% €'14 8.75% €'13 7% €'17 n.a. 5.125% €'14 6.625% £'17

Senior unsecured price #N/A N/A 103.7 66.8 n.a. 105.3 104.9

Senior unsecured yield-to-maturity (%) #N/A N/A 2.4 17.8 n.a. 2.1 5.3

Senior unsecured z-spread (bps) n.a. 188 1,689 n.a. 158 428

Senior unsecured rating (Moody's/S&P/Fitch) WR / B- / NR B3 / B- / NR Caa1 / B- / NR n.a. Ba2 / BB / BB- Ba1 / BB / BB

5-year CDS price (bps equivalent) n.a. 578 1,795 n.a. 400 359

Reporting

Last reporting period 1Q12 2Q12 2Q12 3Q12 2Q12 2Q12

Currency EURm EURm NOKm USDm EURm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 30-Sep 31-Dec 31-Dec

Income statement

Revenue 1,562 2,207 18,557 6,549 10,815 10,499

Adjusted EBITDA (company definition) 161 125 1,743 744 1,092 1,295

Adjusted EBITDA margin (%) 10% 6% 9% 11% 10% 12%

Cash flow

Adjusted EBITDA 161 125 1,743 744 1,092 1,295

Capex -47 NA -248 -350 -482 -346

Net interest paid -47 NA -664 -219 -147 NA

Tax paid -11 -4 -78 -19 -129 -100

Free cash flow before WC, other, M&A and dividends 56 NA 753 156 335 NA

as % of net debt 13 NA 11 7 10 NA

Change in working capital 15 118 598 49 113 61

Other and non-cash items in EBITDA NA NA NA NA NA NA

Free cash flow before M&A and dividends 71 118 1,351 205 448 61

as % of net debt 16 17 19 9 13 2

Dividends paid -6 NA 0 NA -239 NA

Acquisitions / disposals -6 NA 531 NA -194 NA

Free cash flow 59 118 1,882 205 16 61

as % of net debt 13 17 26 9 0 2


Senior secured debt 675 523 0 2,009 NA NA

Senior debt 120 595 8,370 607 NA NA

Subordinated debt 0 0 0 0 NA NA

Nominal debt outstanding 795 1,118 8,370 2,616 4,731 4,071

Cash -357 -419 -1,251 -403 -1,249 -89

Net debt 438 699 7,119 2,213 3,483 3,982

12 month maturities 15 166 749 915 863 334

24 month maturities NA 554 n.k. 27 NA NA

Liquidity (unrestricted cash + undrawn facilities) 437 189 NA 653 1,949 1,489

Credit metrics


EBITDA to net interest paid 3.4x NA 2.6x 3.4x 7.4x NA

Net debt to EBITDA - through secured 2.0x 0.8x NA 2.2x NA NA

Net debt to EBITDA - through senior 2.7x 5.6x 3.9x 3.0x 3.2x 3.1x

Lease adj. net debt to EBITDAR - through senior NA NA NA NA NA NA

Net debt to EBITDA minus capex 3.9x NA 4.6x 5.6x 5.7x 4.2x

Enterprise Value to EBITDA NA NA 4.6x NA 7.0x 6.7x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 44: Automotive Ticker ASTONM CONGR EOFP TTMIM TMDFRI SCHAEF

Bonds & CDS

Senior secured bond benchmark 9.25% £'18 7.5% €'17 n.a. n.a. 10.75% €'17 7.75% €'17

Senior secured price 85.8 108.0 n.a. n.a. 115.3 104.8

Senior secured yield-to-maturity (%) 12.7 5.7 n.a. n.a. 6.9 6.5

Senior secured z-spread (bps) 1,152 272 n.a. n.a. 393 564

Senior secured rating (Moody's/S&P/Fitch) B3 / B+ / NR Ba3 / BB- / BB n.a. n.a. n.a. B1 / B+ / NR

Senior unsecured bond benchmark n.a. n.a. 9.375% €'16 8.125% £'18 n.a. n.a.

Senior unsecured price n.a. n.a. 109.9 106.2 n.a. n.a.

Senior unsecured yield-to-maturity (%) n.a. n.a. 6.7 6.8 n.a. n.a.

Senior unsecured z-spread (bps) n.a. n.a. 586 549 n.a. n.a.

Senior unsecured rating (Moody's/S&P/Fitch) n.a. n.a. Ba3 / NR. / NR B1 / BB- / BB- n.a. n.a.

5-year CDS price (bps equivalent) n.a. 245 n.a. n.a. n.a. n.a.

Reporting

Last reporting period 1Q12 2Q12 1H12 1Q13 1Q12 1Q12

Currency GBPm EURm EURm GBPm EURm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Mar 31-Dec 31-Dec

Income statement

Revenue 483 32,133 16,805 14,447 657 10,855

Adjusted EBITDA (company definition) 70 4,603 1,065 2,191 50 2,179

Adjusted EBITDA margin (%) 14% 14% 6% 15% 8% 20%

Cash flow

Adjusted EBITDA 70 4,603 1,065 2,191 50 2,179

Capex and Development expenditures -72 -1,965 -532 -1,412 -41 -891

Net interest paid -40 -562 -130 -130 -19 -668

Tax paid 0 -612 -83 -230 -1 -222

Free cash flow before WC, other, M&A and dividends -42 1,463 321 418 -11 398

as % of net debt -16 20 21 -89 -8 6

Change in working capital 29 -788 -247 401 -5 -88

Other and non-cash items in EBITDA NA 0 NA NA NA NA

Free cash flow before M&A and dividends -13 675 74 819 -17 310

as % of net debt -5 9 5 -175 -12 4

Dividends paid -70 -290 -68 0 -3 -1,201

Acquisitions / disposals 0 -29 NA 0 -1 7

Free cash flow -83 357 6 819 -21 -884

as % of net debt -31 5 0 -175 -15 -12


Senior secured debt 299 8,756 366 153 7,175

Senior debt 0 0 1,498 0 0


Nominal debt outstanding 299 8,756 2,326 1,864 178 7,455

Cash -36 -1,402 -800 -2,332 -34 -291

Net debt 263 7,354 1,526 -468 144 7,164

12 month maturities 0 0 589 352 141 45

24 month maturities 0 n.k. NA NA NA 55

Liquidity (unrestricted cash + undrawn facilities) 66 3,772 1,460 2,495 34 1,142

Credit metrics


EBITDA to net interest paid 1.7x 8.2x 8.2x 16.8x 2.6x 3.3x

Net debt to EBITDA - through secured 3.8x 1.6x NA -0.9x 2.4x 3.2x

Net debt to EBITDA - through senior 3.8x 1.6x 1.4x -0.2x 2.4x 3.2x

Lease adj. net debt to EBITDAR - through senior NA NA NA NA NA NA

Net debt to EBITDA minus capex -141.9x 2.8x 2.9x -0.6x 17.1x 5.3x

Enterprise Value to EBITDA NA NA 3.0x NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 45: Capital Goods Ticker HDDGR KIONGR

Bonds & CDS

Senior secured bond benchmark 9.25% €'18 7.875% €'18

Senior secured price 77.1 100.4

Senior secured yield-to-maturity (%) 15.5 7.8

Senior secured z-spread (bps) 1,445 703

Senior secured rating (Moody's/S&P/Fitch) Caa1 / CCC+ / NR B2 / B / NR

Senior unsecured bond benchmark n.a. n.a.

Senior unsecured price n.a. n.a.

Senior unsecured yield-to-maturity (%) n.a. n.a.

Senior unsecured z-spread (bps) n.a. n.a.

Senior unsecured rating (Moody's/S&P/Fitch) n.a. n.a.

5-year CDS price (bps equivalent) n.a. n.a.

Reporting

Last reporting period 1Q13 2Q12

Currency EURm EURm

Year end (approximate) 31-Mar 31-Dec

Income statement

Revenue 2,572 4,566

Adjusted EBITDA (company definition) 54 707

Adjusted EBITDA margin (%) 2% 15%

Cash flow

Adjusted EBITDA 54 707

Capex and Development expenditures -35 -364

Net interest paid -86 -138

Tax paid -7 -54

Free cash flow before WC, other, M&A and dividends -74 152

as % of net debt -26 6

Change in working capital -7 62

Other and non-cash items in EBITDA NA NA

Free cash flow before M&A and dividends NA NA

as % of net debt NA NA

Dividends paid 0 2

Acquisitions / disposals -7 -6

Free cash flow NA NA

as % of net debt NA NA


Senior secured debt 178 2,817

Senior debt 297 0

Subordinated debt 0 100

Nominal debt outstanding 475 2,917

Cash -195 -182

Net debt 281 2,735

12 month maturities NA NA

24 month maturities NA NA

Liquidity (unrestricted cash + undrawn facilities) 613 497

Credit metrics


EBITDA to net interest paid 0.6x 5.1x

Net debt to EBITDA - through secured -0.3x 3.7x

Net debt to EBITDA - through senior 5.2x NA

Lease adj. net debt to EBITDAR - through senior NA NA

Net debt to EBITDA minus capex 14.9x NA

Enterprise Value to EBITDA 9.7x NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 46: Construction and concessions Ticker ABGSM

Bonds & CDS

Senior secured bond benchmark n.a.

Senior secured price n.a.

Senior secured yield-to-maturity (%) n.a.

Senior secured z-spread (bps) n.a.

Senior secured rating (Moody's/S&P/Fitch) n.a.

Senior unsecured bond benchmark 8.5% €'16

Senior unsecured price 94.0

Senior unsecured yield-to-maturity (%) 10.5

Senior unsecured z-spread (bps) 983

Senior unsecured rating (Moody's/S&P/Fitch) B1 / B+ / B+

5-year CDS price (bps equivalent) n.a.

Reporting

Last reporting period 2Q12

Currency EURm

Year end (approximate) 31-Dec

Income statement

Revenue 7,638

Adjusted EBITDA (company definition) 1,201

Adjusted EBITDA margin (%) 16%

Cash flow

Adjusted EBITDA 1,201

Capex and Development expenditures -2,490

Net interest paid -441

Tax paid -37

Free cash flow before WC, other, M&A and dividends -1,766

as % of net debt -24

Change in working capital 292

Other and non-cash items in EBITDA NA

Free cash flow before M&A and dividends NA

as % of net debt NA

Dividends paid NA

Acquisitions / disposals NA

Free cash flow NA

as % of net debt NA


Senior secured debt 6,000

Senior debt 5,140

Subordinated debt NA

Nominal debt outstanding 11,140

Cash -3,717

Net debt 7,423

12 month maturities 587

24 month maturities 4,789

Liquidity (unrestricted cash + undrawn facilities) 2,743

Credit metrics


EBITDA to net interest paid 2.7x

Net debt to EBITDA - through secured NA

Net debt to EBITDA - through senior 6.2x

Lease adj. net debt to EBITDAR - through senior NA

Net debt to EBITDA minus capex -5.8x

Enterprise Value to EBITDA 7.4x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 47: Retail Ticker DFSLN PHONLN DXNSLN HOUSF MTNLN EDCON PICSURBonds & CDS

Senior secured bond benchmark 9.75% £'17 9.5% £'18 n.a. 8.875% £'18 8.875% £'16 9.5% €'18 n.a.

Senior secured price 103.6 96.8 n.a. 90.2 93.6 94.0 n.a.

Senior secured yield-to-maturity (%) 8.8 10.3 n.a. 11.2 11.1 11.0 n.a.

Senior secured z-spread (bps) 768 911 n.a. 995 1,012 999 n.a.

Senior secured rating (Moody's/S&P/Fitch) B12B/NR B3/B+/NR n.a. B3/B+/NR Ba3/BB-/NR B2/B/NR n.a.

Senior unsecured bond benchmark n.a. n.a. 8.75% £'15 n.a. 9.625% £'17 6.162% €'15 9% €'18

Senior unsecured price n.a. n.a. 102.5 n.a. 79.3 84.5 109.8

Senior unsecured yield-to-maturity (%) n.a. n.a. 7.8 n.a. 16.2 12.4 7.0

Senior unsecured z-spread (bps) n.a. n.a. 690 n.a. 1,517 1,206 547

Senior unsecured rating (Moody's/S&P/Fitch) n.a. n.a. B1/B/NR n.a. Caa1/CCC+/NR Caa1/CCC B3/B-/B-

5-year CDS price (bps equivalent) n.a. n.a. 642 n.a. n.a. n.a. n.a.

Reporting

Last reporting period 3Q12 2Q12 1H12 1Q12 4Q12 4Q12 4Q12

Currency GBPm GBPm GBPm GBPm EURm ZARm EURm

Year end (approximate) 31 Jul 31 Dec 30 Apr 31 Jan 28 Feb 31 Mar 31 Mar

Income statement

Revenue 599 1,028 8,174 687 1,128 27,528 1,298

Adjusted EBITDA (company definition) 68 121 278 57 86 3,438 186

Adjusted EBITDA margin (%) 11% 12% 3% 8% 8% 12% 14%

Cash flow FY10*

Adjusted EBITDA 68 121 278 57 86 3,438 186

Capex -19 -24 -172 -21 -19 -455 -36

Net interest paid -23 -44 -29 -26 -45 -3,014 -28

Tax paid -11 0 -16 0 -6 -115 -26

Dividends received from associates 0 0 1 0 0 0 0

Free cash flow before WC, other, M&A and dividends 15 53 62 10 16 -146 97

as % of net debt 9 12 45 4 4 -1 12

Change in working capital 10 -17 5 -10 0 -275 43

Other and non-cash items in EBITDA 0 1 221 -6 3 748 2

Free cash flow before M&A and dividends 25 37 288 -6 19 327 142

as % of net debt 15 9 209 -3 5 2 18

Dividends paid -14 0 0 0 0 0 0

Acquisitions / disposals 7 1 67 4 1 0 0

Free cash flow 18 38 355 -2 20 327 143

as % of net debt 11 9 257 -1 5 2 18


Senior secured debt 199 440 101 280 250 18,993 621

Senior debt 0 0 315 0 225 3,907 314

Subordinated debt 0 0 0 0 0 0 0

Nominal debt outstanding 199 440 416 280 475 22,900 935

Cash -33 -12 -278 -36 -93 -1,115 -151

Net debt 166 428 138 244 382 21,785 785

Capitalised leases 335 322 2,986 650 737 12,528 347

Other adjustments to debt 0 0 282 67 0 634 3

Adjusted net debt 501 749 3,407 962 1,119 34,947 1,135

12 month maturities 0 10 9 0 0 37 37

24 month maturities 0 0 162 0 0 12,009 21

Liqudity (unrestricted cash + undrawn facilities) 63 127 527 80 113 3,371 201

Credit metrics


EBITDA to net interest paid 3.0x 2.7x 9.5x 2.2x 1.9x 1.1x 0.0x

Net debt to EBITDA - through secured 2.4x 3.4x -1.3x 4.2x 1.7x 5.3x 2.1x

Net debt to EBITDA - through senior 2.4x 3.4x 0.5x 4.2x 4.3x 6.4x 4.0x

Lease adj. net debt to EBITDAR - through senior 4.5x 4.6x 4.8x 6.5x 6.1x 6.9x 4.5x

Net debt to EBITDA minus capex 3.3x 4.3x 1.3x 6.7x 5.5x 8.6x 5.1x

Enterprise Value to EBITDA NA NA 2.7x NA NA NA NA

Pro-forma ratios

Company adj. leverage - through secured 2.4x 3.4x -1.3x 4.2x 1.7x 5.3x 2.1x

Company adj. leverage - through senior 2.4x 3.4x 0.5x 4.2x 4.3x 6.4x 4.0x

Company adj. net debt to EBITDA minus capex - through secured 3.3x 4.3x -1.6x 6.7x 2.1x 7.3x 3.0x

Company adj. net debt to EBITDA minus capex - through senior 3.3x 4.3x 1.3x 6.7x 5.5x 8.6x 5.1x

CS fully adj. leverage - through secured 4.5x 4.7x 5.0x 7.0x 5.1x 6.2x 3.6x

CS fully adj. leverage - through senior 4.5x 4.7x 5.5x 7.0x 6.3x 6.9x 5.0x

CS fully adj. net debt to EBITDA minus capex - through secured 5.5x 5.5x 7.0x 8.2x 5.7x 6.8x 4.4x

CS fully adj. net debt to EBITDA minus capex - through senior 5.5x 5.5x 7.7x 8.2x 7.1x 7.6x 6.0x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 48: Consumer Ticker BAKKA BOPRLN CPFSM FDCSJ ICECR REFRLN ONTEX

Bonds & CDS

Senior secured bond benchmark 8.25% £'18 n.a. n.a. 8.75% €'18 8.375% €'17 7.375% €'18 7.5% €'18

Senior secured price 88.6 n.a. n.a. 104.6 104.1 94.1 100.6

Senior secured yield-to-maturity (%) 11.1 n.a. n.a. 7.7 7.4 8.7 7.4

Senior secured z-spread (bps) 994 n.a. n.a. 669 643 767 661

Senior secured rating (Moody's/S&P/Fitch) B2/B/NR n.a. n.a. B2/B-/NR B2/B+/NR B1/BB-/NR Ba3/B+/NR

Senior unsecured bond benchmark n.a. 9.75% €'18 8.25% €'16 n.a. n.a. n.a. 9% €'19

Senior unsecured price n.a. 105.9 100.4 n.a. n.a. n.a. 91.4

Senior unsecured yield-to-maturity (%) n.a. 8.4 8.1 n.a. n.a. n.a. 10.8

Senior unsecured z-spread (bps) n.a. 733 747 n.a. n.a. n.a. 968

Senior unsecured rating (Moody's/S&P/Fitch) n.a. Ba3/B+/NR Ba3/BB- n.a. n.a. n.a. B3/B-/NR

5-year CDS price (bps equivalent) n.a. n.a. n.a. n.a. n.a. n.a. n.a.

Reporting

Last reporting period 2Q13 3Q12 4Q11 3Q12 1Q12 2Q12 2Q12

Currency GBPm GBPm EURm ZARm EURm EURm EURm

Year end (approximate) 01 Jan 31 Jul 31 Dec 31 Aug 31 Dec 31 Dec 31 Dec

Income statement LTM PF

Revenue 1,660 2,249 1,903 6,776 520 1,544 1,284

Adjusted EBITDA (company definition) 110 181 170 840 70 101 146

Adjusted EBITDA margin (%) 7% 8% 9% 12% 13% 7% 11%

Cash flow LTM PF

Adjusted EBITDA 110 181 170 840 70 101 146

Capex -34 -71 -60 -156 -21 -43 -42

Net interest paid -64 -68 -54 -284 -31 -47 -63

Tax paid -1 -10 -12 19 -4 -10 -8

Dividends received from associates 1 0 0 0 0 0 0

Free cash flow before WC, other, M&A and dividends 13 32 44 419 13 1 33

as % of net debt 2 5 9 11 4 0 4

Change in working capital 15 n.k. 23 -64 -11 -18 2

Other and non-cash items in EBITDA -10 n.k. 66 -156 5 -6 4

Free cash flow before M&A and dividends 18 n.k. 132 199 7 -22 40

as % of net debt 3 n.k. 27 5 2 -4 5

Dividends paid 0 n.k. 0 0 0 0 0

Acquisitions / disposals 6 n.k. 8 14 -40 -7 5

Free cash flow 23 n.k. 141 213 -33 -30 45

as % of net debt 4 n.k. 29 5 -10 -5 6

Debt (nominal outstanding) LTM PF

Senior secured debt 625 12 2 4,235 363 668 600

Senior debt 0 678 627 0 0 0 235

Subordinated debt 0 0 0 0 0 0 0

Nominal debt outstanding 625 690 629 4,235 363 668 835

Cash -33 -95 -136 -341 -49 -47 -54

Net debt 592 595 493 3,894 313 621 781

Capitalised leases 62 87 13 331 11 230 199

Other adjustments to debt 0 179 20 44 0 29 4

Adjusted net debt 654 861 525 4,268 325 880 984



Liqudity (unrestricted cash + undrawn facilities) 137 135 270 825 109 115 129

Credit metrics


EBITDA to net interest paid 1.7x 2.3x 3.1x 3.0x 2.2x 2.1x 2.3x

Net debt to EBITDA - through secured 5.3x -3.7x -0.8x 4.4x 4.5x 6.0x 3.7x

Net debt to EBITDA - through senior 5.3x 3.2x 2.9x 4.4x 4.5x 6.0x 5.3x

Lease adj. net debt to EBITDAR - through senior 5.5x 0.0x 2.8x 4.6x 4.6x 6.5x 5.7x

Net debt to EBITDA minus capex 7.7x 5.2x 4.5x 5.4x 6.6x 10.5x 7.4x

Enterprise Value to EBITDA NA NA 6.6x NA NA NA NA

Pro-forma ratios

Company adj. leverage - through secured 5.3x -0.5x -0.8x 4.4x 4.5x 6.0x 3.7x

Company adj. leverage - through senior 5.3x 3.2x 2.9x 4.4x 4.5x 6.0x 5.3x

Company adj. net debt to EBITDA minus capex - through secured 7.7x -1.0x -1.2x 5.4x 6.6x 10.5x 5.2x

Company adj. net debt to EBITDA minus capex - through senior 7.7x 5.2x 4.5x 5.4x 6.6x 10.5x 7.4x

CS fully adj. leverage - through secured 5.6x 1.0x -0.6x 5.0x 4.6x 6.8x 4.4x

CS fully adj. leverage - through senior 5.6x 4.5x 3.2x 5.0x 4.6x 6.8x 5.8x

CS fully adj. net debt to EBITDA minus capex - through secured 7.8x 1.5x -1.0x 6.1x 6.6x 10.3x 5.8x

CS fully adj. net debt to EBITDA minus capex - through senior 7.8x 7.1x 5.1x 6.1x 6.6x 10.3x 7.6x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 49: Healthcare Ticker CAREUK PRIORY LABFP CGMFP FREGR FMEGR CAPSUG CONVAT PHARGR CLSGR

Bonds & CDS

Senior secured bond benchmark 9.75% £'17 7% £'18 8.5% €'18 n.a. n.a. n.a. n.a. 7.375% €'17 n.a. n.a.

Senior secured price 106.3 100.7 93.9 n.a. n.a. n.a. n.a. 106.9 n.a. n.a.

Senior secured yield-to-maturity (%) 8.2 6.8 10.0 n.a. n.a. n.a. n.a. 5.8 n.a. n.a.

Senior secured z-spread (bps) 691 579 902 n.a. n.a. n.a. n.a. 475 n.a. n.a.

Senior secured rating (Moody's/S&P/Fitch) B2/B+/NR B1/B+/BB+ B3/B+/BB- n.a. n.a. n.a. n.a. Ba3/B+/NR n.a. n.a.

Senior unsecured bond benchmark n.a. 8.875% £'19 n.a. 7% €'15 8.75% €'15 6.5% €'18 9.875% €'19 10.875% €'18 9.625% €'14 4.5% €'17

Senior unsecured price n.a. 93.5 n.a. 95.1 118.2 117.4 112.6 105.5 112.3 103.7

Senior unsecured yield-to-maturity (%) n.a. 10.3 n.a. 8.9 2.2 3.3 7.5 9.7 2.9 3.6

Senior unsecured z-spread (bps) n.a. 898 n.a. 834 160 219 596 849 236 275

Senior unsecured rating (Moody's/S&P/Fitch) n.a. B3/B/BB n.a. NR/B/NR Ba1/BB/BB Ba1/BB/BB Caa1/B/NR Caa1/B/NR B1/B-/NR NR/NR/NR

5-year CDS price (bps equivalent) n.a. n.a. n.a. n.a. 234 n.a. n.a. n.a. n.a. n.a.

Reporting

Last reporting period 2Q12 1Q12 1Q12 FY11 4Q11 4Q11 3Q11 4Q11 2Q12 4Q11

Currency GBPm GBPm EURm EURm EURm USDm USDm USDm EURm EURm

Year end (approximate) 30 Sep 31 Dec 31 Dec 31 Dec 31 Dec 31 Dec 31 Dec 31 Dec 31 Jan 31 Dec

Income statement

Revenue 476 416 526 911 17,860 13,350 809 1,608 21,847 23,026

Adjusted EBITDA (company definition) 50 120 97 150 3,532 2,791 247 447 585 515

Adjusted EBITDA margin (%) 10% 29% 18% 17% 20% 21% 31% 28% 3% 2%

Cash flow FY10 PF* FY10 PF*

Adjusted EBITDA 476 120 97 150 3,532 2,791 247 447 585 515

Capex -37 -48 -13 -80 -858 -637 -41 -42 -105 -213

Net interest paid -25 -58 -49 -31 -470 -257 0 -220 -130 -121

Tax paid 0 0 -18 -20 -489 -492 -39 -23 -87 -132

Dividends received from associates 0 0 0 1 0 0 0 0 2 9

Free cash flow before WC, other, M&A and dividends 414 14 17 20 1,715 1,406 167 161 265 58

as % of net debt 130 2 3 4 16 17 12 6 12 4

Change in working capital 4 9 0 21 -362 -61 27 -13 338 196

Other and non-cash items in EBITDA -434 15 4 -2 447 -206 -9 13 -51 -24

Free cash flow before M&A and dividends -17 39 22 39 1,800 1,139 184 162 552 230

as % of net debt -8 5 4 9 16 14 14 6 26 14

Dividends paid 0 0 0 -14 -436 -418 -162 0 -3 -87

Acquisitions / disposals 24 31 -97 1 -2,955 -2,150 -2,359 -89 15 13

Free cash flow 8 70 -75 25 -1,591 -1,429 -2,337 73 564 156

as % of net debt 4 9 -15 6 -15 -18 -172 3 26 10

Debt (nominal outstanding) LTM PF LTM PF

Senior secured debt 250 647 605 0 5,053 3,694 939 1,619 1,618 0

Senior debt 0 175 0 480 6,979 4,929 421 1,079 541 2,067

Subordinated debt 0 0 0 47 -105 161 0 0 135 0

Nominal debt outstanding 250 822 605 527 11,927 8,784 1,360 2,697 2,294 2,067

Cash -37 -18 -97 -73 -1,015 -677 -4 -73 -139 -448

Net debt 213 804 508 454 10,912 8,107 1,356 2,625 2,155 1,619

Capitalised leases -100 102 262 353 3,976 4,809 38 183 818 1,005

Other adjustments to debt 205 0 7 28 -9,465 294 0 -8 407 719

Adjusted net debt 318 906 778 836 5,423 13,209 1,393 2,800 3,381 3,343

12 month maturities 0 1 11 40 2,025 0 25 13 76 0

24 month maturities 0 1 6 40 2,295 0 9 12 76 0

Liqudity (unrestricted cash + undrawn facilities) 101 76 162 133 2,108 0 235 322 1,974 0

Credit metrics


EBITDA to net interest paid 1.8x n.a. 2.0x 4.8x 7.5x 10.9x n.a. 2.0x 4.5x 4.3x

Net debt to EBITDA - through secured 4.1x 5.1x 5.1x -0.4x 1.0x 1.1x 3.5x 3.4x 2.5x 0.0x

Net debt to EBITDA - through senior 4.1x 6.6x 5.1x 2.8x 2.9x 2.8x 5.2x 5.9x 3.5x 3.1x

Lease adj. net debt to EBITDAR - through senior 5.1x 6.6x 5.9x 3.1x 3.7x 3.8x 5.2x 6.0x 4.2x 4.1x

Net debt to EBITDA minus capex 6.2x 10.2x 5.9x 6.6x 3.9x 3.8x n.a. 6.5x 4.2x 5.4x

Enterprise Value to EBITDA NA NA NA 4.6x 7.3x 9.1x NA NA NA 7.7x

Pro-forma ratios

Company adj. leverage - through secured 1.8x n.a. 2.0x 4.8x 7.5x 10.9x n.a. 2.0x 4.5x 4.3x

Company adj. leverage - through senior 4.1x 5.1x 5.1x -0.4x 1.0x 1.1x 3.5x 3.4x 2.5x 0.0x

Company adj. net debt to EBITDA minus capex - through secured 4.1x 6.6x 5.1x 2.8x 2.9x 2.8x 5.2x 5.9x 3.5x 3.1x

Company adj. net debt to EBITDA minus capex - through senior 5.1x 6.6x 5.9x 3.1x 3.7x 3.8x 5.2x 6.0x 4.2x 4.1x

CS fully adj. leverage - through secured 6.2x 10.2x 5.9x 6.6x 3.9x 3.8x n.a. 6.5x 4.2x 5.4x

CS fully adj. leverage - through senior 5.4x 6.4x 5.4x 4.3x 4.8x 4.2x 5.8x 6.3x 4.8x 5.1x

CS fully adj. net debt to EBITDA minus capex - through secured 6.9x 7.4x 5.9x 3.5x 3.0x 2.8x 4.8x 4.3x 4.8x 7.5x

CS fully adj. net debt to EBITDA minus capex - through senior 6.9x 9.2x 5.9x 8.2x 7.7x 5.3x 7.0x 6.9x 5.7x 7.5x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 50: Packaging

Ticker ARGID BORMIO CLONDA CCKBonds & CDS

Senior secured bond benchmark 7.375% €'17 10% €'18 2.662% €'13 n.a.

Senior secured price 106.3 98.5 93.9 n.a.

Senior secured yield-to-maturity (%) 5.9 10.3 7.2 n.a.

Senior secured z-spread (bps) 487.4 928.9 662.2 n.a.

Senior secured rating (Moody's/S&P/Fitch) Ba3 / BB- / NR B1 / BB- / NR B2 / B / NR n.a.

Senior unsecured bond benchmark 9.25% €'20 n.a. 8% €'14 7.125% €'18

Senior unsecured price 102.8 n.a. 82.0 108.8

Senior unsecured yield-to-maturity (%) 8.8 n.a. 22.4 5.4

Senior unsecured z-spread (bps) 756 n.a. 2,192 368

Senior unsecured rating (Moody's/S&P/Fitch) B3 / B- / NR n.a. Caa2 / CCC+ /

NR

Baa3 / BB / BB+

5-year CDS price (bps equivalent) 658 n.a. n.a. n.a.

Reporting


Currency EURm EURm EURm USDm


Income statement

Revenue 3,468 553 948 8,612

Adjusted EBITDA (company definition) 568 81 83 1,101


Cash flow

Adjusted EBITDA 568 81 83 1,101

Capex -165 -31 -24 -330


Tax paid -19 -15 -3 -96



Change in working capital -46 10 3 -1

Other and non-cash items in EBITDA 0 0 -7 -418

Free cash flow before M&A and dividends 99 35 22 32


Dividends paid -4 0 0 -398

Acquisitions / disposals -213 -14 -29 4

Free cash flow -119 21 -8 -362

as % of net debt -4 9 -1 -10


Senior secured debt 1,599 253 412 1,417

Senior debt 1,490 0 170 2,374


Nominal debt outstanding 3,593 253 757 3,791

Cash -200 -15 -70 -230

Net debt 3,393 238 686 3,561

Capitalised leases

Other adjustments to debt

Adjusted net debt 3,393 238 686 3,561

12 month maturities 8 4 0 298

24 month maturities n.k. 0 0 n.k.

Liqudity (unrestricted cash + undrawn facilities) 298 130 100 1,036

Credit metrics



Net debt to EBITDA - through secured 2.5x 2.9x 4.1x 1.1x


Lease adj. net debt to EBITDAR - through senior NA NA NA NA


Enterprise Value to EBITDA NA NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 51: Packaging

Ticker GCLIM OI REYNOL MDPACBonds & CDS

Senior secured bond benchmark n.a. n.a. 7.75% €'16 7.75% €'19

Senior secured price n.a. n.a. 104.8 110.6

Senior secured yield-to-maturity (%) n.a. n.a. 6.4 5.9

Senior secured z-spread (bps) n.a. n.a. 67.7 383.3

Senior secured rating (Moody's/S&P/Fitch) n.a. n.a. Ba3 / BB- / NR Ba1 / BB+ / BB+

Senior unsecured bond benchmark 9.375% €'18 6.75% €'20 8% €'16 7.75% €'15

Senior unsecured price 97.8 110.4 99.0 101.7

Senior unsecured yield-to-maturity (%) 9.9 5.1 8.3 7.0

Senior unsecured z-spread (bps) 888 375 748 18

Senior unsecured rating (Moody's/S&P/Fitch) Caa1 / CCC+ /

NR

Ba2 / BB+ / BB+ Caa1 / B- / NR B1 / B+ / BB-

5-year CDS price (bps equivalent) n.a. n.a. n.a. 236

Reporting PF


Currency EURm USDm USDm EURm


Income statement

Revenue 481 7,378 14,034 7,367

Adjusted EBITDA (company definition) 99 1,284 2,707 1,010


Cash flow

Adjusted EBITDA 99 1,284 2,707 1,010

Capex -35 -271 -590 -280

Net interest paid -34 -260 -1,709 -244

Tax paid -19 -122 NA -97

Free cash flow before WC, other, M&A and dividends 11 631 NA 389

as % of net debt 2 16 NA 14

Change in working capital -9 -214 NA 54

Other and non-cash items in EBITDA 0 -308 NA 0

Free cash flow before M&A and dividends 2 109 NA 443

as % of net debt 0 3 NA 16

Dividends paid -17 -14 NA -46

Acquisitions / disposals -45 -155 NA -21

Free cash flow -60 -60 NA 376

as % of net debt -13 -2 NA 13


Senior secured debt 305 1,451 10,280 2,688

Senior debt 202 2,424 7,146 610


Nominal debt outstanding 506 4,125 17,955 3,298

Cash -48 -299 -1,220 -502

Net debt 458 3,826 16,735 2,796

Capitalised leases


Adjusted net debt 458 3,826 16,735 2,796

12 month maturities 25 406 n.a. 70

24 month maturities n.k. n.k. n.a. n.k.

Liqudity (unrestricted cash + undrawn facilities) 99 1,144 1,443 1,027

Credit metrics


EBITDA to net interest paid 2.9x 4.9x -1.6x 4.1x

Net debt to EBITDA - through secured 2.6x 0.9x 3.3x 2.2x


Lease adj. net debt to EBITDAR - through senior NA NA NA NA


Enterprise Value to EBITDA NA 5.6x NA 4.2x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 52: Gaming Ticker CIRSA CODERE GALAGB LADLN WMHBonds & CDS

Senior secured bond benchmark n.a. n.a. 8.875% £'18 n.a. n.a.

Senior secured price n.a. n.a. 94.2 n.a. n.a.

Senior secured yield-to-maturity (%) n.a. n.a. 10.2 n.a. n.a.

Senior secured z-spread (bps) n.a. n.a. 896 n.a. n.a.

Senior secured rating (Moody's/S&P/Fitch) n.a. n.a. B3 / B+ / BB- n.a. n.a.

Senior unsecured bond benchmark 8.75% €'18 8.25% €'15 11.5% £'19 7.625% £'17 7.125% £'16

Senior unsecured price 86.9 81.0 77.6 109.0 111.3

Senior unsecured yield-to-maturity (%) 12.0 17.1 17.2 5.4 4.2

Senior unsecured z-spread (bps) 1,095 1,648 1,592 433 318

Senior unsecured rating (Moody's/S&P/Fitch) B3 / B+ / NR B3 / B- / NR Caa3 / CCC+ / CCC+ Ba2 / BB / BB+ Ba1 / BB+ / NR

5-year CDS price (bps equivalent) n.a. 1,564 n.a. n.a. n.a.

Reporting

Last reporting period 1Q12 1Q12 3Q12 1H12 2H11

Currency EURm EURm GBP m GBP m GBPm

Year end (approximate) 31-Dec 31-Dec 30-Sep 31-Dec 27-Dec

Income statement

Revenue 1,756 1,472 1,161 1,044 1,137

Adjusted EBITDA (company definition) 298 301 270 275 314


Cash flow

Adjusted EBITDA 298 301 270 275 314

Capex -162 -127 -83 -94 -54


Tax paid -46 -54 -1 0 -52

Free cash flow before WC, other, M&A and dividends 15 47 50 144 161

as % of net debt 2 5 4 -589 -141

Change in working capital 5 -20 -20 9 33

Other and non-cash items in EBITDA NA 0 -41 0 0

Free cash flow before M&A and dividends NA 27 -11 153 193

as % of net debt NA 3 -1 -625 -169

Dividends paid 0 -2 0 -69 -91

Acquisitions / disposals -10 -165 -15 -3 0

Free cash flow NA -140 -26 81 103

as % of net debt NA -16 -2 -330 -90


Senior secured debt 272 1,037 1,149 NA 0

Senior debt 676 10 260 NA 0

Subordinated debt NA 0 0 NA 0

Nominal debt outstanding 948 1,047 1,409 0 0

Cash -65 -184 -106 -24 -114

Net debt 883 862 1,303 -24 -114

Capitalised leases


Adjusted net debt 883 862 1,303 -24 -114


24 month maturities n.k n.k. n.k. n.k. 0

Liqudity (unrestricted cash + undrawn facilities) 94 244 189 399 494

Credit metrics


EBITDA to net interest paid 3.9 4.1 2.0 -7.5 6.6

Net debt to EBITDA - through secured 0.7 2.8 4.3 NA 0.0

Net debt to EBITDA - through senior 3.0 2.9 5.4 1.4 -0.4


Net debt to EBITDA minus capex 6.5 5.3 8.2 2.2 1.4

Enterprise Value to EBITDA NA 3.4x NA 5.7x 6.3x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

28 August 2012


Exhibit 53: Services Ticker EUROCA GATE INAER ISSDC VERISR SPIE STENA TUIGRBonds & CDS

Senior secured price 103.3 n.a. 88.0 n.a. 100.1 n.a. n.a. n.a.

Senior secured yield-to-maturity (%) 8.9 n.a. 12.9 n.a. 8.7 n.a. n.a. n.a.

Senior secured z-spread (bps) 798.8 n.a. 1,197.2 n.a. 782.0 n.a. n.a. n.a.

Senior secured rating (Moody's/S&P/Fitch) B3 / B / NR n.a. B2 / B / NR n.a. B2 / B / Be n.a. n.a. n.a.

Senior unsecured bond benchmark 9.75% €'17 6.75% €'19 n.a. 8.875% €'16 8.75% €'18 11% €'19 6.125% €'17 5.125% €'12

Senior unsecured price 103.3 102.7 n.a. 104.2 88.4 101.3 98.6 100.9

Senior unsecured yield-to-maturity (%) 8.9 6.2 n.a. 7.5 11.4 10.7 6.5 1.7

Senior unsecured z-spread (bps) 798.8 516.1 n.a. -863.1 1,027.7 977.2 567.6 141.1

Senior unsecured rating (Moody's/S&P/Fitch) B3 / B / NR B1 / BB / NR n.a. B3 / B / NR Caa1 / CCC+ /

NR

Caa1 / CCC+ / NR B2 / BB / NR Caa1 / B- / NR

5-year CDS price (bps equivalent) n.a. n.a. 240 690 614

Reporting

Last reporting period 1Q12 1Q12 1Q12 2Q12 1Q12 1Q12 1Q12 3Q12

Currency EURm CHFm EURm DKKm SEKm EURm SEKm EURm

Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec 31-Dec 30-Sep

Income statement

Revenue 1,961 3,066 425 78,165 695 NA 18,220 18,184

Adjusted EBITDA (company definition) 659 199 111 5,176 195 NA 4,063 721

Adjusted EBITDA margin (%) 34% 7% 26% 7% 28% NA 22% 4%

Cash flow

Adjusted EBITDA 659 199 111 5,176 195 NA 4,063 721

Capex -16 -61 -105 -877 -129 NA -5,159 152

Net interest paid -78 -19 -52 -2,247 -76 NA -891 -222

Tax paid -7 -33 -6 -840 -11 NA 91 -31

Free cash flow before WC, other, M&A and dividends 558 87 -52 1,212 -21 NA -1,896 620

as % of net debt 19 42 -8 4 -1 NA -6 -33

Change in working capital 34 -41 NA -22 -3 NA -584 NA

Other and non-cash items in EBITDA -2 NA 0 0 NA NA 619 0

Free cash flow before M&A and dividends 590 NA NA 1,190 NA NA -1,861 NA

as % of net debt 20 NA NA 4 NA NA -6 NA

Dividends paid 8 -62 NA 0 -1,801 NA -240 -125

Acquisitions / disposals 2 -2 -5 655 564 NA 4 NA

Free cash flow 600 NA NA 1,845 NA NA -2,097 NA

as % of net debt 20 NA NA 6 NA NA -7 NA


Senior secured debt 2,879 40 716 21,125 1,001 1,089 28,053 NA

Senior debt 407 422 0 4,589 0 375 6,167 NA

Subordinated debt 0 0 0 8,715 439 0 0 0

Nominal debt outstanding 3,286 462 716 34,429 1,440 1,464 34,220 0

Cash -292 -256 -36 -3,379 -8 -112 -3,796 -1,869

Net debt 2,994 206 680 31,050 1,432 1,352 30,424 -1,869

Capitalised leases


Adjusted net debt 2,994 206 680 31,050 1,432 1,352 30,424 -1,869

12 month maturities 0 23 45 6,016 n.k. n.k. 0 0

24 month maturities 0 n.k. n.k. n.k. n.k. n.k. 0 0

Liqudity (unrestricted cash + undrawn facilities) 1,408 377 136 5,083 216 n.a. 10,920 1,869

Credit metrics


EBITDA to net interest paid 8.5 10.5 2.1 2.3 2.6 NA 4.6 3.2

Net debt to EBITDA - through secured 4.1 -1.1 5.5 3.4 5.1 NA 6.0 NA

Net debt to EBITDA - through senior 4.7 1.0 6.1 4.3 5.1 NA 5.1 NA

Lease adj. net debt to EBITDAR - through senior NA NA 5.5 6.6 NA NA NA 5.1

Net debt to EBITDA minus capex 4.7 NA 106.7 7.2 21.6 NA -27.8 0.9

Enterprise Value to EBITDA NA 4.2x NA NA NA NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.

.

28 August 2012


6B6BCS Leveraged Finance Strategy The following is an excerpt from the publication 22H2Leveraged Finance Strategy Weekly dated 24 August 2012, by Jonathan

Blau and team.

19B21BWestern European High Yield Market Update

The Credit Suisse Western European High Yield Index (hedged, in euro) returned 0.40% for the week ending August 23,

2012, 1.98% month to date, and 14.17% year to date. The spread tightened 6 bp during the week to 656 bp, while the

yield fell to 6.93%, a 13 bp decrease. The average price rose to 98.39, a 0.25-point increase.

Exhibit 54: Western European High Yield Index Total Return Summary for the Week Ending August 23, 2012

Outperforming Assets Total Return Underperforming Assets Total Return

10-Year Euro Government Bond 1.37% Bloomberg Europe 500 Index -1.37%

10-Year UK Government Bond 1.04% CAC 40 Index -1.35%

CS WE High Yield Index (Hedged, €) 0.40% FTSE All-Share Index -0.84%

Outperforming Industries Underperforming Industries

Food/Tobacco 0.95% Wireless Communications -0.43%

Diversified Media 0.92% Broadcasting -0.05%

Energy 0.76% Consumer Durables 0.01%

Outperforming Sectors Underperforming Sectors

Distressed Securities 1.68% Deferred Interest (Goes Cash-Pay In >= 2Yrs) -0.38%

Defaulted Issues 1.36% Cushion Paper 0.08%

Lower Tier Securities 0.84% Small ($0 Mm To $100 Mm) Issues 0.12% Source: Credit Suisse

Exhibit 55: Number of Western European New Issues ($US and non-$US issues)

Exhibit 56: Size of Western European HY Market

10

3

0

11

5 5

24

2 20

3

1

3

0

313 13

3

4

57

4

0

2

4

6

8

10

12

14

16

18

20

Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12

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

2 5 9 1221

30 36 3748

27 22 18 20 1523 30

4051

64

0 0 0 2

6

15

2532

41

57 59 61 60 61 58

78

114

143

183

1.75.4 8.8

13.6

27.0

45.3

61.169.6

88.984.2 81.4 79.0 80.1 76.6 81.3

108.4

154.4

193.7

247.7

0

50

100

150

200

250

1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012*

Mark

et S

ize (€

Bill

ions)

$US Mkt Size Non-$US Mkt Size

* As of 7/31/2012Includes 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.

Source: Credit Suisse Source: Credit Suisse

https://doc.research-and-analytics.csfb.com/doc?language=ENG&format=PDF&document_section=1&document_id=998011241

28 August 2012


Exhibit 57: Western European New Issue Volume Exhibit 58: YTD New Issue Volume by Rating (€Bln Equiv.) 2009 2010 2011 2012

Jan 0.8 6.7 7.1 5.2

Feb 0.0 0.8 1.9 8.0

Mar 0.0 6.0 9.8 7.7

Apr 0.5 4.5 7.2 1.9

May 2.0 1.2 9.7 2.0

Jun 0.9 2.6 1.9 1.8

Jul 4.8 5.0 3.0 2.7

Aug 0.0 0.8 0.0 1.0

Sep 3.4 7.2 1.5

Oct 6.4 8.3 0.1

Nov 7.4 5.7 2.3

Dec 3.1 2.1 0.0

Total 29.3 50.8 44.6 30.4

Split BBB

6.7%

BB43.6%

Split BB8.1%

B33.1%

Split B4.6%

CCC2.8% Not Rated

1.0%


Exhibit 59: Western European Market Monitor

Weekly Returns Cumulative Total Return (1)

TOTAL RETURN 7/26/2012 8/2/2012 8/9/2012 8/16/2012 8/23/2012 4Q '11 1Q '12 2Q '12 May-12 Jun-12 Jul-12 2011 YTD (2)

10-YEAR UK GOVERNMENT BOND (3)

0.38% 0.37% -1.42% -0.57% 1.04% 4.37% -0.89% 4.45% 4.74% -1.21% 2.31% 18.30% 5.17%

10-YEAR EURO GOVERNMENT BOND (4)

-0.92% 0.88% -1.83% -0.79% 1.37% 1.67% 0.74% 3.13% 4.49% -3.33% 2.87% 14.43% 6.06%

CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (5)

-0.67% 1.32% 1.15% 0.06% 0.41% 4.77% 10.10% 0.20% -1.74% 1.89% 1.89% -0.97% 14.68%

CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (6)

-0.66% 1.33% 1.15% 0.06% 0.40% 4.48% 9.92% -0.01% -1.90% 1.86% 1.87% -1.03% 14.17%

CREDIT SUISSE HIGH YIELD INDEX (7)

-0.05% 0.74% 0.47% -0.20% 0.44% 6.02% 5.03% 1.56% -1.32% 1.86% 1.76% 5.47% 9.48%

BLOOMBERG EUROPE 500 INDEX (4)(8)

-2.06% 1.09% 4.56% 0.46% -1.37% 8.26% 8.62% -3.12% -6.23% 5.44% 3.73% -9.02% 12.13%

FTSE ALL-SHARE INDEX (3)

-2.30% 1.44% 3.78% 0.02% -0.84% 8.62% 6.24% -2.43% -6.74% 4.85% 1.34% -2.87% 8.51%

DAX INDEX (4)

-2.60% 0.35% 5.43% 0.45% -0.67% 7.20% 17.78% -7.64% -7.35% 2.42% 5.55% -14.69% 17.82%

CAC 40 INDEX (4)

-1.73% 0.79% 6.94% 0.69% -1.35% 6.58% 8.58% -3.61% -4.13% 6.78% 3.06% -13.42% 12.52%

FTSE SMALLCAP INDEX (3)

-0.62% 0.64% 2.46% 1.13% 0.28% -1.18% 14.82% -4.16% -6.36% 2.71% 1.10% -12.29% 15.57%

CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN $US) (5)(9)

413.37 418.93 423.72 423.98 425.79 371.28 408.79 409.60 402.00 409.60 417.37 371.28 425.79

CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN EURO) (6)(9)

373.74 378.75 383.12 383.31 384.82 337.06 370.49 370.45 363.70 370.45 377.36 337.06 384.82

(1) Cumulative Monthly Total Return; (2) As of 8/23/12

(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 Source: Credit Suisse

28 August 2012


Exhibit 60: Credit Suisse Western European HY Index Total Return (1)

8/9/2012 8/16/2012 8/23/2012 4Q '11 1Q '12 2Q '12 Jul-12 YTD (2)

Upper Tier (3) 0.92% 0.09% 0.31% 4.74% 8.18% 1.00% 1.94% 13.16%

Middle Tier 1.46% -0.01% 0.49% 4.85% 11.31% -0.92% 1.66% 14.92%

Lower Tier 1.52% 0.25% 0.84% -1.81% 17.92% -4.15% 2.50% 18.96%

Cyclical Issues 1.04% 0.11% 0.39% 4.48% 10.67% 0.59% 1.62% 15.37%

Defensive Issues 1.39% -0.05% 0.38% 5.01% 9.25% -0.58% 2.18% 13.25%

Cash-Pay Securities 1.17% 0.04% 0.39% 4.69% 10.02% 0.22% 1.87% 14.55%

Def Int (cash-pay in < 2yrs) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Def Int (cash-pay in >= 2yrs) 0.00% 0.00% -0.38% 0.00% -6.29% 3.99% 0.76% -2.18%

Defaulted Securities -0.48% 1.63% 1.36% -20.94% -0.15% -21.95% 1.59% -19.64%

3 - 4 yr Duration 1.28% -0.05% 0.50% 4.76% 11.92% -0.47% 2.19% 16.40%

5 - 6 yr Duration 0.99% -0.27% 0.12% 6.21% 10.48% 1.42% 2.47% 16.21%

7 - 10 yr Duration 3.03% -0.06% 0.70% 0.28% 7.44% -3.11% -3.34% 4.10%

Cushion Paper 0.46% 0.10% 0.08% 4.11% 3.41% 1.13% 1.59% 7.11%

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) 1.15% 0.06% 0.40% 4.48% 9.92% -0.01% 1.87% 14.17%

(1) Cumulative Total Return (2) As of 8/23/12

(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 Source: Credit Suisse

Exhibit 61: Average Price of the Credit Suisse Western European HY Index

Exhibit 62: YTD Average Price of the Credit Suisse Western European HY Index

106.75%9/30/1997

56.63%10/31/02

104.02%5/31/2007

53.73%3/31/09

4/29/2011

100.33%

45.0%

55.0%

65.0%

75.0%

85.0%

95.0%

105.0%

115.0%

Avera

ge P

rice

98.39%

8/23/12

90.48%

3/20/201298.86% 5/4/2012

98.04%

89.0%

91.0%

93.0%

95.0%

97.0%

99.0%

101.0%

12

/30/2

01

1

1/1

3/2

01

2

1/2

7/2

01

2

2/1

0/2

01

2

2/2

4/2

01

2

3/9

/20

12

3/2

3/2

01

2

4/6

/20

12

4/2

0/2

01

2

5/4

/20

12

5/1

8/2

012

6/1

/20

12

6/1

5/2

01

2

6/2

9/2

01

2

7/1

3/2

01

2

7/2

7/2

01

2

8/1

0/2

01

2

CS

WE

HY

In

de

x A

ve

rag

e P

rice

98.39%


Exhibit 63: Average Spread of the Credit Suisse Western European HY Index

Exhibit 64: YTD Average Spread of the Credit Suisse Western European HY Index

353 bp9/30/1997

1250 bp9/28/2001

219 bp5/31/2007

12/31/20081799 bp

0bps

200bps

400bps

600bps

800bps

1000bps

1200bps

1400bps

1600bps

1800bps

2000bps

Spre

ad t

o W

ors

t

Average STW: 638 bp

656 bp 8/23/2012

900 bp

3/19/2012617 bp

5/4/2012672 bp

500 bp

550 bp

600 bp

650 bp

700 bp

750 bp

800 bp

850 bp

900 bp

950 bp

12/3

0/2

011

1/1

3/2

012

1/2

7/2

01

2

2/1

0/2

012

2/2

4/2

012

3/9

/2012

3/2

3/2

012

4/6

/2012

4/2

0/2

012

5/4

/2012

5/1

8/2

012

6/1

/2012

6/1

5/2

012

6/2

9/2

01

2

7/1

3/2

012

7/2

7/2

012

8/1

0/2

012

CS

WE

HY

Ind

ex S

pre

ad

-to

-Wo

rst

656 bp


28 August 2012


Exhibit 65: Average Yield of the Credit Suisse Western European HY Index

Exhibit 66: YTD Average Yield of the Credit Suisse Western European HY Index

9/28/200116.86%

2/28/20056.37%

5/31/20076.76%

12/31/200820.39%

2/28/20116.44%

0%

5%

10%

15%

20%

25%

Yie

ld t

o W

ors

t

7.06% 8/16/12

9.74%

3/19/20127.07%

5/4/20127.31%

6.00%

6.50%

7.00%

7.50%

8.00%

8.50%

9.00%

9.50%

10.00%

12

/30/2

01

1

1/1

3/2

01

2

1/2

7/2

01

2

2/1

0/2

01

2

2/2

4/2

01

2

3/9

/20

12

3/2

3/2

01

2

4/6

/20

12

4/2

0/2

01

2

5/4

/20

12

5/1

8/2

01

2

6/1

/20

12

6/1

5/2

01

2

6/2

9/2

01

2

7/1

3/2

01

2

7/2

7/2

01

2

8/1

0/2

01

2

CS

WE

HY

Ind

ex Y

ield

-to

-Wo

rst

7.06%


Exhibit 67: YTD Total Return of the Credit Suisse Western European HY Index

Exhibit 68: European High Yield Summary Profile by Rating

3/21/201210.24%

5/4/201210.82%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

12

/30/2

01

1

1/1

3/2

01

2

1/2

7/2

01

2

2/1

0/2

01

2

2/2

4/2

01

2

3/9

/2012

3/2

3/2

01

2

4/6

/20

12

4/2

0/2

01

2

5/4

/20

12

5/1

8/2

012

6/1

/20

12

6/1

5/2

01

2

6/2

9/2

01

2

7/1

3/2

01

2

7/2

7/2

012

8/1

0/2

01

2

CS

WE

HY

In

de

x C

um

ula

tive

YTD

Re

turn

14.17%

Rating Coupon Current Yield Duration YTW STW

BB 6.55% 6.34% 2.97 yrs 5.06% 474 bp

Split BB 8.31% 8.38% 3.47 yrs 7.86% 735 bp

B 8.59% 8.74% 3.26 yrs 8.58% 816 bp

Split B 8.16% 8.80% 2.92 yrs 12.50% 1211 bp

CCC/Split CCC 8.88% 10.43% 3.06 yrs 13.81% 1347 bp


Exhibit 69: European High Yield BB Spread Exhibit 70: European High Yield B Spread

0 bp

200 bp

400 bp

600 bp

800 bp

1000 bp

1200 bp

1400 bp

12/3

1/1

997

12/3

1/1

998

12/3

1/1

999

12/3

1/2

000

12/3

1/2

001

12/3

1/2

002

12

/31

/20

03

12/3

1/2

004

12

/31

/20

05

12/3

1/2

006

12/3

1/2

007

12/3

1/2

008

12/3

1/2

009

12/3

1/2

010

12/3

1/2

011

Sp

read

-to

-Wo

rst

BB Spread

474 bp

0 bp

200 bp

400 bp

600 bp

800 bp

1000 bp

1200 bp

1400 bp

1600 bp

1800 bp

2000 bp

12/3

1/1

997

12/3

1/1

998

12/3

1/1

999

12/3

1/2

000

12/3

1/2

001

12/3

1/2

002

12

/31

/20

03

12/3

1/2

004

12

/31

/20

05

12/3

1/2

006

12/3

1/2

007

12/3

1/2

008

12/3

1/2

009

12/3

1/2

010

12/3

1/2

011

Sp

read

-to

-Wo

rst

B…

816 bp


Exhibit 71: European High Yield CCC Spread Exhibit 72: European High Yield CCC vs. B Spread

Difference and B vs. BB Spread Difference

0 bp

500 bp

1000 bp

1500 bp

2000 bp

2500 bp

3000 bp

3500 bp

4000 bp

4500 bp

12/3

1/1

997

12/3

1/1

998

12/3

1/1

999

12/3

1/2

000

12/3

1/2

001

12/3

1/2

002

12/3

1/2

003

12/3

1/2

004

12/3

1/2

005

12/3

1/2

006

12/3

1/2

007

12/3

1/2

008

12/3

1/2

009

12/3

1/2

010

12/3

1/2

011

Sp

read

-to

-Wo

rst

CCC…

1347 bp

500 bp

1000 bp

1500 bp

2000 bp

2500 bp

3000 bp

12

/31/1

997

12

/31/1

998

12

/31/1

999

12

/31/2

000

12

/31/2

001

12

/31/2

002

12

/31/2

003

12

/31/2

004

12

/31/2

005

12

/31/2

006

12

/31/2

007

12

/31/2

008

12

/31/2

009

12

/31/2

010

12

/31/2

011

Diffe

rence b

etw

een S

pre

ad

-to

-Wo

rst

B & BB Spread Difference CCC & B Spread Difference

342 bp

531 bp


28 August 2012


Exhibit 73: Credit Suisse Western European High Yield Index: Total Return by Industry, MTD August 16, 2012

Exhibit 74: Credit Suisse Western European High Yield Index: Total Return by Industry, YTD August 16, 2012

3.42%

2.94%2.77%

2.63%2.51%

2.18%2.04% 2.00% 1.98% 1.95% 1.94%

1.82% 1.75%1.58% 1.56% 1.54%

1.20%

0.71% 0.63%0.48%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

Reta

il

Gam

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Man

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ring

Fin

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cia

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ice

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inera

ls

Chem

icals

Aero

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ce

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Consum

er

Dura

ble

s

30.26%

25.30%

20.32% 19.72%18.29% 18.09%

16.02% 15.34% 14.17% 14.02% 13.87% 13.58% 13.33% 13.18% 12.60% 11.43% 11.33%9.89% 9.73%

-0.49%-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

Reta

il

Consum

er

Dura

ble

s

Cons N

on-D

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ble

s

Foo

d/T

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Man

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Fin

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l

Housin

g

Chem

icals

Cre

dit S

uis

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n H

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re

Meta

ls/M

inera

ls

Tra

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st

Pro

ducts

Serv

ice

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m

Gam

ing/L

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ace

Utility

Info

rmatio

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ech

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Ene

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Exhibit 75: Credit Suisse Western European High Yield Index: Total Return by Industry July 2012

Exhibit 76: European High Yield Dispersion of Yield

3.43% 3.35%

2.89% 2.84% 2.79% 2.62%2.40% 2.31% 2.30% 2.29%

2.11% 1.94% 1.92% 1.87% 1.79% 1.66%1.44%

0.89%0.66%

-0.96%-1.50%-1.00%-0.50%0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%

Reta

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Co

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Du

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s

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ace

Health

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/Min

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ls

Serv

ice

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ancia

l

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dia

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Food

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Chem

icals

Cre

dit S

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. E

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gy

-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 1/31/2012

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

8.24%

17.46%

3.89%


28 August 2012


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

Denominated Bonds

Exhibit 77: 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 STW

Best Performers

Abengoa 8.500% 3/31/2016 B1 B+ Sr Nts EUR 500 94.625 4.625 5.14% 5.13% 4.96% 10.32% 1024 bp

SEAT Pagine Gialle 10.500% 1/31/2017 Caa1 D Sr Sec Nts EUR 550 69.000 3.000 4.55% 4.55% 4.55% Defaulted

KION Finance 7.875% 4/15/2018 B2 B Sr Sec Nts EUR 325 100.750 4.250 4.40% 4.44% 4.28% 7.63% 754 bp

Bank of Ireland 10.000% 2/12/2020 C D Sr Sub Nts EUR 206 86.125 3.625 4.39% 4.32% 4.10% 12.99% 1207 bp

Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP 284 80.000 3.000 3.90% 3.93% 3.70% 15.92% 1542 bp

Sty rolution Group 7.625% 5/15/2016 B2 B+ Sr Sec Nts EUR 480 89.000 3.250 3.79% 3.87% 3.70% 11.33% 1122 bp

Banca Monte dei Paschi di Siena 5.600% 9/9/2020 Ba3 BB- Sr Sub Nts EUR 379 86.000 3.000 3.61% 3.55% 3.43% 8.03% 700 bp

Enterprise Inns 6.500% 12/6/2018 NR BB- Sr Sec Nts GBP 757 86.750 2.500 2.97% 3.12% 2.97% 9.32% 850 bp

Norske Skogindustrier 7.000% 6/26/2017 Caa1 B- Nts EUR 493 66.750 1.750 2.69% 2.85% 2.65% 17.80% 1747 bp

A.T.U. Auto-Teile-Unger Handels 11.000% 5/15/2014 B3 B- Sr Sec Nts EUR 375 97.500 2.500 2.63% 2.77% 2.55% 12.64% 1263 bp

Worst Performers

Schmolz and Bickenbach Lux embourg9.875% 5/15/2019 B1 B+ Sr Sec Nts EUR 258 84.000 -5.000 -5.62% -5.25% -5.46% 13.57% 1281 bp

Commerzbank 7.750% 3/16/2021 Ba1 BBB Sr Sub Nts EUR 1,250 91.750 -1.875 -2.00% -1.85% -2.01% 9.17% 805 bp

InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP 252 96.500 -2.000 -2.03% -1.82% -2.01% 10.43% 987 bp

Alcatel-Lucent 8.500% 1/15/2016 B3 B Nts EUR 500 90.500 -1.750 -1.90% -1.70% -1.88% 11.99% 1194 bp

Refresco Group 7.375% 5/15/2018 B2 B+ Sr Sec Nts EUR 360 93.250 -1.750 -1.84% -1.66% -1.80% 8.90% 837 bp

Air Berlin 8.500% 11/10/2015 NR NR Sr Nts EUR 200 93.000 -1.500 -1.59% -1.41% -1.58% 11.13% 1110 bp

Trav elport 10.875% 9/1/2016 Caa3 CCC Sr Sub Nts EUR 142 33.750 -0.750 -2.17% -1.36% -1.89% 51.40% 5125 bp

OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR 895 65.625 -1.000 -1.50% -1.34% -1.47% 18.04% 1793 bp

Gala Electric Casinos 11.500% 6/1/2019 Caa3 CCC+ Sr Nts GBP 347 77.500 -1.250 -1.59% -1.27% -1.54% 17.25% 1634 bp

Momentiv e Performance Materials 9.500% 1/15/2021 Caa1 CCC Sr Nts EUR 150 66.000 -1.000 -1.49% -1.20% -1.47% 17.33% 1624 bp

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

Exhibit 78: Best and Worst Performers Sorted by Total Return: Last 4 Weeks (1)



Best Performers

Lighthouse International 8.000% 4/30/2014 C D Sr Nts EUR 1,300 13.500 2.000 17.39% 17.39% 17.39% Defaulted

OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR 895 65.625 7.875 13.64% 13.97% 13.38% 18.04% 1793 bp


OTE 5.000% 8/5/2013 Caa1 B- Sr Nts EUR 1,243 86.375 9.875 12.91% 12.56% 12.10% 22.52% 2250 bp

CMA CGM 8.875% 4/15/2019 Caa2 CCC- Sr Nts EUR 286 64.000 6.000 10.34% 11.00% 9.90% 18.51% 1777 bp

Thomas Cook Group 6.750% 6/22/2015 NR B- Sr Nts EUR 400 49.250 4.500 10.06% 10.75% 9.67% 39.67% 3967 bp

Yioula Glassw orks 9.000% 12/1/2015 Caa3 CC Sr Nts EUR 140 51.500 4.500 9.57% 10.67% 9.28% 35.08% 3504 bp

Norske Skogindustrier 7.000% 6/26/2017 Caa1 B- Nts EUR 493 66.750 5.750 9.43% 10.17% 9.32% 17.80% 1747 bp

Alcatel-Lucent 8.500% 1/15/2016 B3 B Nts EUR 500 90.500 7.500 9.04% 9.76% 9.00% 11.99% 1194 bp


Worst Performers

Banco Financiero y de Ahorros 5.116% 7/15/2015 Caa3 CC Sr Sub Nts EUR 162 20.000 -10.500 -34.43% -33.05% -34.30% 91.49% 9149 bp

BPE Financiaciones 6.873% 10/22/2020 Ba3 B Sr Sub Nts EUR 200 52.000 -8.500 -14.05% -12.13% -12.91% 18.82% 1778 bp



Cegedim 7.000% 7/27/2015 NR B Sr Nts EUR 300 95.250 -5.500 -5.46% -4.93% -5.45% 8.88% 888 bp


Trav elport 10.875% 9/1/2016 Caa3 CCC Sr Sub Nts EUR 142 33.750 -1.500 -4.26% -1.72% -3.77% 51.40% 5125 bp


Ideal Standard International 11.750% 5/1/2018 Caa3 NR Sr Sec Nts EUR 275 69.000 -1.500 -2.13% -0.84% -2.04% 21.43% 2090 bp

TRW Automotiv e 6.375% 3/15/2014 Ba2 BB+ Sr Nts EUR 220 105.500 -1.250 -1.17% -0.71% -1.15% 2.72% 271 bp

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

28 August 2012


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

Denominated Bonds

Exhibit 79: Best and Worst Performers Sorted by Price Move: This Week (1) (2)



Best Performers

Abengoa 8.500% 3/31/2016 B1 B+ Sr Nts EUR 500 94.625 4.625 5.14% 5.13% 4.96% 10.32% 1024 bp

KION Finance 7.875% 4/15/2018 B2 B Sr Sec Nts EUR 325 100.750 4.250 4.40% 4.44% 4.28% 7.63% 754 bp

Bank of Ireland 10.000% 2/12/2020 C D Sr Sub Nts EUR 206 86.125 3.625 4.39% 4.32% 4.10% 12.99% 1207 bp

Sty rolution Group 7.625% 5/15/2016 B2 B+ Sr Sec Nts EUR 480 89.000 3.250 3.79% 3.87% 3.70% 11.33% 1122 bp




A.T.U. Auto-Teile-Unger Handels 11.000% 5/15/2014 B3 B- Sr Sec Nts EUR 375 97.500 2.500 2.63% 2.77% 2.55% 12.64% 1263 bp

Enterprise Inns 6.500% 12/6/2018 NR BB- Sr Sec Nts GBP 757 86.750 2.500 2.97% 3.12% 2.97% 9.32% 850 bp

Gruppo Editoriale L'Espresso 5.125% 10/27/2014 NR BB Sr Nts EUR 300 101.250 2.250 2.27% 2.30% 2.21% 4.50% 450 bp

Worst Performers



Commerzbank 7.750% 3/16/2021 Ba1 BBB Sr Sub Nts EUR 1,250 91.750 -1.875 -2.00% -1.85% -2.01% 9.17% 805 bp

Alcatel-Lucent 8.500% 1/15/2016 B3 B Nts EUR 500 90.500 -1.750 -1.90% -1.70% -1.88% 11.99% 1194 bp

Refresco Group 7.375% 5/15/2018 B2 B+ Sr Sec Nts EUR 360 93.250 -1.750 -1.84% -1.66% -1.80% 8.90% 837 bp


Duerr 7.250% 9/28/2015 NR NR Sr Nts EUR 225 111.500 -1.500 -1.33% -1.15% -1.27% 1.61% 161 bp

(1) Returns converted hedged to Euro

(2) Includes only issues priced 50 or higher at beginning of period Source: Credit Suisse

Exhibit 80: Best and Worst Performers Sorted by Price Move: Last 4 Weeks (1) (2)



Best Performers

OTE 5.000% 8/5/2013 Caa1 B- Sr Nts EUR 1,243 86.375 9.875 12.91% 12.56% 12.10% 22.52% 2250 bp


OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR 895 65.625 7.875 13.64% 13.97% 13.38% 18.04% 1793 bp

Alcatel-Lucent 8.500% 1/15/2016 B3 B Nts EUR 500 90.500 7.500 9.04% 9.76% 9.00% 11.99% 1194 bp

Obrascon Huarte Lain 8.750% 3/15/2018 Ba2 NR Sr Nts EUR 425 102.750 7.500 7.87% 8.28% 7.61% 8.01% 775 bp

American General Finance 4.125% 11/29/2013 Caa1 CCC Sr Nts EUR 500 96.000 7.000 7.87% 7.96% 7.63% 7.57% 755 bp

Nokia 6.750% 2/4/2019 Ba3 BB- Sr Nts EUR 500 94.500 6.750 7.69% 8.02% 7.47% 7.85% 714 bp

Phones4U Finance 9.500% 4/1/2018 B3 B+ Sr Sec Nts GBP 543 97.000 6.750 7.48% 7.89% 7.12% 10.21% 951 bp


Worst Performers

BPE Financiaciones 6.873% 10/22/2020 Ba3 B Sr Sub Nts EUR 200 52.000 -8.500 -14.05% -12.13% -12.91% 18.82% 1778 bp



Cegedim 7.000% 7/27/2015 NR B Sr Nts EUR 300 95.250 -5.500 -5.46% -4.93% -5.45% 8.88% 888 bp



Ideal Standard International 11.750% 5/1/2018 Caa3 NR Sr Sec Nts EUR 275 69.000 -1.500 -2.13% -0.84% -2.04% 21.43% 2090 bp

Daily Mail and General Trust 10.000% 4/9/2021 NR BB Sr Nts GBP 197 123.875 -1.250 -1.00% -0.46% -1.05% 6.32% 493 bp

ISS Financing 11.000% 6/15/2014 NR BB+ Sr Nts EUR 525 105.500 -1.250 -1.17% -0.35% -1.11% 1.62% 162 bp

TRW Automotiv e 6.375% 3/15/2014 Ba2 BB+ Sr Nts EUR 220 105.500 -1.250 -1.17% -0.71% -1.15% 2.72% 271 bp

(1) Returns converted hedged to Euro

(2) Includes only issues priced 50 or higher at beginning of period Source: Credit Suisse

28 August 2012


Exhibit 81: Capital Markets – European Shadow Calendar

Issu

er

Proc

eeds

Issu

e

Matur

ity

Call P

rovision

Offe

r Typ

e

Und

erwrit

ers

Moo

dys

SP

Com

pany

Des

criptio

n

DEALS EXPECTED TO PRICE BY 8/31/12

Other 144A (Equiv Euro) 0.0

TOTAL (Equiv Euro) 0.0

DEALS EXPECTED TO PRICE AFTER 8/31/12

Other 144A (Equiv Euro) 0.0

TOTAL (Equiv Euro) 0.0

Euro MM # Issues

Grand 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.

28

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Exhibit 82: 2012 European New High Yield Issues

*Deals listed as of trade date; 144(a) deals shown after closing date.

Date

Issu

e ty

pe

Issu

er

Proce

eds

Issu

e Des

crip

tion

Count

ry

Indus

try

Issu

er d

escr

iptio

n

Coupo

n

Mat

urity

Issu

ance

pric

e

Issu

ance

yield

Issu

ance

spre

ad

First c

all

Moo

dys

SP

8/13/12 144A CET 21 EUR 75.775 Sr Sec Nts BERM UDA M edia/Telecom broadcast ing in Central & Eastern Europe 9.000% 11/1/17 108.250 7.074% 670 11/1/14 @ 104.5 Ba3 B-

8/13/12 144A Telenet Finance Luxembourg V EUR 450.000 Sr Sec Nts BELGIUM M edia/Telecom cable svcs provider 6.250% 8/15/22 100.000 6.250% 485 8/15/17 @ 103.125 Ba3 NR

8/13/12 144A Telenet Finance Luxembourg V EUR 250.000 Sr Sec Nts BELGIUM M edia/Telecom cable svcs provider 6.750% 8/15/24 100.000 6.750% 517 8/15/18 @ 103.375 Ba3 NR

8/7/12 144A Stork Technical Services EUR 262.295 Sr Nts NETH M fg machinery and electronic systems maintenance services11.000% 8/15/17 96.255 12.000% 1155 2/15/15 @ 108.25 B3 B-

7/23/12 144A Kabel Deutschland Vertrieb Und ServiceEUR 200.000 Sr Sec Nts GER M edia/Telecom cable TV and internet svcs in Germany 6.500% 6/29/18 100.000 6.500% 603 6/29/14 @ 103.25 Ba2 BB

7/19/12 144A Ardagh Packaging Finance USD 367.682 Sr Sec Nts IRE Forest Prod/Contglass packager 7.375% 10/15/17 105.052 6.223% 561 10/15/14 @ 103.688 Ba3 BB-

7/19/12 144A Ardagh Packaging Finance USD 218.759 Sr Nts IRE Forest Prod/Contglass packager 9.125% 10/15/20 104.171 8.408% 725 10/15/15 @ 104.563 Ba3 BB-

7/19/12 144A Ardagh Packaging Finance EUR 270.678 Sr Sec Nts IRE Forest Prod/Contglass packager 7.375% 10/15/17 104.107 6.433% 616 10/15/14 @ 103.688 Ba3 BB-

7/13/12 144A KP Germany Erste EUR 255.000 Sr Sec 2nd Pr Nts GER M fg mfr of rigid plast ic f ilms 11.625% 7/15/17 100.000 11.625% 1132 1/15/15 @ 108.719 Caa1 CCC

7/11/12 Pub Fiat Finance & Trade EUR 600.000 Sr Nts ITALY Trans auto mfr 7.750% 10/17/16 100.000 7.750% 752 maturity Ba3 BB-

7/11/12 144A Sunrise Communicat ions Internat ionalCHF 370.000 Sr Sec Nts SWISS M edia/Telecom integrated telecommunicat ions provider in Switzerland5.625% 12/31/17 100.000 5.625% 559 7/31/14 @ 102.813 Ba3 BB-

7/11/12 144A Float Sunrise Communicat ions Internat ionalEUR 167.000 Sr Sec Nts SWISS M edia/Telecom integrated telecommunicat ions provider in SwitzerlandL+475 12/31/17 100.000 7/31/13 @ 101 Ba3 BB-

7/11/12 144A Float Sunrise Communicat ions Internat ional CHF 175.000 Sr Sec Nts SWISS M edia/Telecom integrated telecommunicat ions provider in SwitzerlandL+550 12/31/17 100.000 7/31/13 @ 101 Ba3 BB-

7/11/12 144A Sunrise Communicat ions Internat ional EUR 131.875 Sr Sec Nts SWISS M edia/Telecom integrated telecommunicat ions provider in Switzerland7.000% 12/31/17 105.500 5.808% 537 12/31/13 @ 105.25 Ba3 BB-

7/2/12 144A Lafarge EUR 496.510 Sr Nts FRA Housing produces building materials, including cement and concrete5.875% 7/9/19 99.302 6.000% 499 maturity Ba1 BB+

6/29/12 144A Ashtead Capital USD 500.000 Sr Sec 2nd Pr Nts UK Service equipment rental 6.500% 7/15/22 100.000 6.500% 485 7/15/17 @ 103.25 B2 B+

6/29/12 144A Schaeff ler Finance EUR 296.943 Sr Sec Nts GER Trans car parts maker 6.750% 7/1/17 98.981 7.000% 639 7/1/14 @ 105.063 B1 B

6/27/12 144A Navios M arit ime Holdings USD 88.000 1st M tg Nts GREC Trans cargo transporter 8.875% 11/1/17 100.000 8.880% 807 11/1/13 @ 104.438 Ba3 BB-

6/18/12 144A Kabel Deutschland Holding EUR 400.000 Sr Nts GER M edia/Telecom cable TV and internet svcs in Germany 6.500% 7/31/17 100.000 6.500% 603 6/30/14 @ 104.875 B1 B

6/14/12 144A Elli Finance UK GBP 345.566 Sr Sec Nts UK Healthcare elderly and specialist care services 8.750% 6/15/19 98.733 9.000% 780 6/15/15 @ 106.563 B1 B+

6/14/12 144A Elli Investments GBP 172.853 Sr Nts UK Healthcare elderly and specialist care services 12.250% 6/15/20 98.773 12.500% 1110 6/15/16 @ 106.125 Caa1 B-

6/12/12 Pub Lafarge EUR 40.040 Sr Nts FRA Housing produces building materials, including cement and concrete5.375% 6/26/17 100.100 5.351% 481 maturity Ba1 BB+

5/30/12 144A Nara Cable Funding USD 263.500 Sr Sec Nts SPAIN M edia/Telecom telecom & cable TV in Spain 8.875% 12/1/18 85.000 12.298% 1133 12/1/13 @ 108.875 B1 B+

5/17/12 144A AerCap Aviat ion Solut ions USD 300.000 Sr Nts NETH Aerospace aircraft leasing 6.375% 5/30/17 100.000 6.375% 564 maturity NR BB+

5/11/12 144A Schmolz and Bickenbach LuxembourgEUR 250.149 Sr Sec Nts GER M etals/M ins steel producer 9.875% 5/15/19 96.957 10.500% 952 5/15/15 @ 107.406 B1 B+

5/10/12 144A Aguila 3 USD 133.900 Sr Nts SWISS Aerospace airport ground and cargo handling 7.875% 1/31/18 103.000 7.221% 634 1/31/14 @ 105.906 B2 B

5/9/12 144A Carlson Wagonlit USD 465.000 Sr Sec Nts NETH Service travel agency 6.875% 6/15/19 100.000 6.875% 563 6/15/15 @ 105.156 B1 B+

5/9/12 144A Carlson Wagonlit EUR 300.000 Sr Sec Nts NETH Service travel agency 7.500% 6/15/19 100.000 7.500% 653 6/15/15 @ 105.625 B1 B+

5/4/12 144A Europcar Groupe EUR 295.540 Sr Sec Nts FRA Service car rental 11.500% 5/15/17 91.216 14.000% 1345 maturity Caa1 B-

5/4/12 144A Float Lecta EUR 386.100 Sr Sec Nts LUXEM Forest Prod/Contpaper producer L+550 5/15/18 99.000 5/15/14 @ 101 B1 B+

5/4/12 144A Lecta EUR 200.000 Sr Sec Nts LUXEM Forest Prod/Contpaper producer 8.875% 5/15/19 100.000 8.875% 784 5/15/15 @ 106.656 B1 B+

4/27/12 144A Faurecia EUR 249.935 Sr Nts FRA Trans car parts manufacturer in France 8.750% 6/15/19 99.974 8.750% 761 12/15/15 @ 106.5625 B2 NR

4/26/12 144A INEOS Finance USD 775.000 Sr Sec Nts UK Chemicals commodity & specialty chemical producer 7.500% 5/1/20 100.000 7.500% 597 5/1/15 @ 105.625 B1 B+

4/4/12 144A Wind Acquisit ion Finance USD 368.724 Sr Sec Nts ITALY M edia/Telecom Italian telecom 7.250% 2/15/18 92.181 9.000% 768 11/15/13 @ 105.438 Ba3 BB

4/4/12 144A Wind Acquisit ion Finance EUR 180.242 Sr Sec Nts ITALY M edia/Telecom Italian telecom 7.375% 2/15/18 90.121 9.625% 864 11/15/13 @ 105.531 Ba3 BB

4/3/12 Pub Peugeot EUR 596.832 Sr Nts FRA Trans automobile mfr 5.625% 7/11/17 99.472 5.751% 485 maturity Ba1 BB+

3/29/12 144A Lawson Software EUR 250.000 Sr Nts Info Tech provides enterprise software 10.000% 4/1/19 100.000 10.000% 878 4/1/15 @ 107.5 Caa1 B-

3/28/12 144A SPIE EUR 375.000 Sr Nts FRA Service electrical, mechanical, and HVAC contract ing services11.000% 8/15/19 100.000 11.000% 965 8/15/15 @ 105.5 Caa1 CCC+

3/28/12 144A Talvivaara M ining EUR 110.000 Sr Nts FINLAND M etals/M ins nickel mining 9.750% 4/4/17 100.000 9.750% 892 4/4/15 @ 104.875 NR NR

3/26/12 144A LyondellBasell Industries USD 2000.000 Sr Nts NETH Chemicals chemicals producer 5.000% 4/15/19 100.000 5.000% 336 maturity Ba2 BB+

3/26/12 144A LyondellBasell Industries USD 1000.000 Sr Nts NETH Chemicals chemicals producer 5.750% 4/15/24 100.000 5.750% 339 maturity Ba2 BB+

3/23/12 144A Lowell Group Financing GBP 200.000 Sr Sec Nts UK Financial purchaser of distressed consumer debt 10.750% 4/1/19 100.000 10.750% 915 4/1/15 @ 108.063 B1 BB

3/22/12 144A Jaguar Land Rover GBP 496.445 Sr Nts UK Trans automobile mfr 8.250% 3/15/20 99.289 8.375% 647 3/15/16 @ 104.125 B1 B+

3/21/12 144A Fresenius Finance EUR 500.000 Sr Nts GER Healthcare provider of dialysis products and services 4.250% 4/15/19 100.000 4.250% 285 maturity Ba1 BB+

3/21/12 144A Nord Anglia Educat ion UK Holdings USD 325.000 Sr Sec Nts UK Service operates private schools 10.250% 4/1/17 100.000 10.250% 911 4/1/15 @ 105.125 B2 B

3/21/12 144A Rexel USD 400.000 Sr Nts FRA M fg electrical parts distributor 6.125% 12/15/19 100.000 6.125% 433 12/15/15 @ 103.063 Ba2 BB

3/20/12 Pub Fiat Finance & Trade EUR 850.000 Sr Nts ITALY Trans auto mfr 7.000% 3/23/17 100.000 7.000% 594 maturity Ba3 BB

3/15/12 144A Obrascon Huarte Lain EUR 300.000 Sr Nts SPAIN Service construct ion and engineering 7.625% 3/15/20 100.000 7.625% 605 3/15/16 @ 103.813 Ba2 NR Source: Credit Suisse

28

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69

Exhibit 83: 2012 European New High Yield Issues

Deals listed as of trade date; 144(a) deals shown after closing date.

Date

Issu

e ty

pe

Issu

er

Proce

eds

Issu

e Des

crip

tion

Count

ry

Indus

try

Issu

er d

escr

iptio

n

Coupo

n

Mat

urity

Issu

ance

pric

e

Issu

ance

yield

Issu

ance

spre

ad

First c

all

Moo

dys

SP

3/12/12 Pub Renault EUR 252.995 Sr Nts FRA Trans automobile manufacturer 4.625% 5/25/16 101.198 4.302% 382 maturity Ba1 BB+

3/2/12 144A Eco-Bat Finance EUR 300.000 Sr Nts UK Service lead recycling 7.750% 2/15/17 100.000 7.750% 697 2/15/14 @ 103.875 B1 B+

3/2/12 144A gategroup Finance EUR 350.000 Sr Nts SWISS Service onboarding services for airlines and railroads 6.750% 3/1/19 100.000 6.750% 556 3/1/15 @ 105.063 B1 BB

3/2/12 144A HeidelbergCement Finance EUR 300.000 Sr Nts GER Housing cement, concrete, other building products 4.000% 3/8/16 100.000 4.000% 348 maturity Ba2 BB

3/1/12 144A Viridian Group USD 241.808 Sr Sec Nts IRE Utility Electric ut ility in Ireland 11.125% 4/1/17 96.723 12.000% 1111 4/1/15 @ 105.563 B2 NR

3/1/12 144A Viridian Group EUR 302.743 Sr Sec Nts IRE Utility Electric ut ility in Ireland 11.125% 4/1/17 96.723 12.000% 1114 4/1/15 @ 105.563 B2 NR

2/29/12 144A Afren USD 300.000 Sr Sec Nts UK Energy oil & gas explorat ion & product ion in Africa 10.250% 4/8/19 100.000 10.250% 886 maturity NR B

2/29/12 144A Stora Enso EUR 499.120 Sr Nts FINLAND Forest Prod/Contpaper mfg 5.500% 3/7/19 99.824 5.531% 431 maturity Ba2 BB

2/28/12 Shelf Virgin M edia Finance USD 500.000 Sr Nts M edia/Telecom UK cable company 5.250% 2/15/22 100.000 5.250% 331 maturity Ba2 BB-

2/21/12 Pub ThyssenKrupp Finance EUR 1250.000 Sr Nts GER M etals/M ins steelmaker 4.375% 2/28/17 100.000 4.375% 343 maturity Baa3 BB+

2/16/12 144A Fiat Finance & Trade CHF 425.000 Sr Nts ITALY Trans auto mfr 5.000% 9/7/15 100.000 5.000% 480 maturity Ba3 BB

2/14/12 144A Faurecia EUR 150.500 Sr Nts FRA Trans car parts manufacturer in France 9.375% 12/15/16 107.500 7.482% 659 maturity Ba3 NR

2/10/12 144A Verisure Holding EUR 470.450 Sr Sec Nts SWED Service monitored home alarm equipment and services 8.750% 9/1/18 94.090 10.000% 880 9/1/14 @ 106.5625 B2 B

2/10/12 144A Verisure Holding EUR 225.872 Sr Sec 2nd Lien Nts SWED Service monitored home alarm equipment and services 8.750% 12/1/18 83.194 12.500% 1119 12/1/14 @ 106.5625 Caa1 CCC+

2/10/12 144A Float Verisure Holding EUR 93.000 Sr Sec Nts SWED Service monitored home alarm equipment and services L+650 9/1/18 93.000 9/1/14 @ 102 B2 B

2/9/12 144A Float M atterhorn M obile EUR 180.000 Sr Sec Nts SWISS M edia/Telecom Swiss mobile telecommunicat ions L+525 5/15/19 100.000 2/15/13 @ 102 Ba3 BB-

2/9/12 144A Numericable Finance EUR 350.046 Sr Sec Nts FRA M edia/Telecom French cable company 12.375% 2/15/19 97.181 13.000% 1158 2/15/16 @ 106.188 B2 B

2/8/12 Pub FCE Bank GBP 250.000 Sr Nts UK Trans automobile mfr 4.825% 2/15/17 100.000 4.825% 370 maturity Ba1 BBB-

2/3/12 144A INEOS Finance USD 1000.000 Sr Sec Nts UK Chemicals commodity & specialty chemical producer 8.375% 2/15/19 100.000 8.375% 704 2/15/15 @ 106.281 Ba3 B

2/3/12 144A Float INEOS Finance EUR 500.000 Sr Sec Nts UK Chemicals commodity & specialty chemical producer L+600 2/15/19 100.000 2/15/15 @ 102 Ba3 B

2/3/12 144A M atterhorn M obile CHF 450.000 Sr Sec Nts SWISS M edia/Telecom Swiss mobile telecommunicat ions 6.750% 5/15/19 100.000 6.750% 634 2/15/15 @ 105.063 Ba3 BB-

2/3/12 144A Float M atterhorn M obile EUR 148.500 Sr Sec Nts SWISS M edia/Telecom Swiss mobile telecommunicat ions L+525 5/15/19 99.000 2/15/13 @ 102 Ba3 BB-

2/3/12 144A M atterhorn M obile Holdings EUR 225.000 Sr Nts SWISS M edia/Telecom Swiss mobile telecommunicat ions 8.250% 2/15/20 100.000 8.250% 669 2/15/16 @ 104.125 B3 B-

2/2/12 144A Schaeff ler Finance USD 500.000 Sr Sec Nts GER Trans car parts maker 8.500% 2/15/19 100.000 8.500% 726 2/15/15 @ 106.375 B1 B

2/2/12 144A Schaeff ler Finance USD 593.886 Sr Sec Nts GER Trans car parts maker 7.750% 2/15/17 98.981 8.000% 729 maturity B1 B

2/2/12 144A Schaeff ler Finance EUR 791.848 Sr Sec Nts GER Trans car parts maker 7.750% 2/15/17 98.981 8.000% 719 maturity B1 B

2/2/12 144A Schaeff ler Finance EUR 400.000 Sr Sec Nts GER Trans car parts maker 8.750% 2/15/19 100.000 8.750% 749 2/15/15 @ 106.563 B1 B

2/1/12 144A Codere Finance USD 300.000 Sr Nts SPAIN Gaming/Leisure Spanish gaming company 9.250% 2/15/19 100.000 9.250% 798 2/15/15 @ 106.938 B2 B

2/1/12 Pub Franz Haniel EUR 398.540 Sr Nts GER Service f ire, water and storm damage repair services 6.250% 2/8/18 99.635 6.325% 531 maturity Ba1 BB+

1/31/12 144A UPCB Finance USD 750.000 Sr Sec Nts NETH M edia/Telecom broadband cable operator 6.875% 1/15/22 100.000 6.875% 508 1/15/17 @ 103.438 Ba3 B+

1/27/12 144A CEVA Group USD 468.735 Sr Nts NETH Service logist ics services 12.750% 3/31/20 98.681 13.000% 1150 3/31/15 @ 109.563 Caa2 B-

1/27/12 144A CEVA Group USD 321.341 Sr Sec Nts NETH Service logist ics services 8.375% 12/1/17 98.874 8.625% 760 12/1/13 @ 106.281 Ba3 B+

1/26/12 144A Nara Cable Funding USD 969.340 Sr Sec Nts SPAIN M edia/Telecom telecom & cable TV in Spain 8.875% 12/1/18 96.934 9.500% 818 12/1/13 @ 108.875 B1 B

1/25/12 144A Welltec USD 316.557 Sr Sec Nts DENM ARK Energy oilf ield services 8.000% 2/1/19 97.402 8.500% 711 2/1/15 @ 106 B1 BB-

1/20/12 144A Sable Internat ional Finance USD 400.000 Sr Sec Nts UK M edia/Telecom telecom provider 8.750% 2/1/20 100.000 8.750% 711 2/1/16 @ 104.375 Ba2 BB

1/20/12 144A Taminco Global Chemical USD 400.000 Sr Sec 2nd Pr Nts BELGIUM Chemicals specialty chemical producer 9.750% 3/31/20 100.000 9.750% 811 3/31/15 @ 107.313 Caa1 B-

1/19/12 144A Ardagh Packaging Finance USD 250.526 Sr Nts IRE Forest Prod/Contglass packager 9.125% 10/15/20 96.356 9.750% 806 10/15/15 @ 104.563 B3 B-

1/19/12 144A Ardagh Packaging Finance USD 160.762 Sr Sec Nts IRE Forest Prod/Contglass packager 7.375% 10/15/17 100.476 7.250% 625 10/15/14 @ 103.688 Ba3 BB-

1/18/12 144A FM C Finance VIII EUR 250.000 Sr Nts GER Healthcare provider of dialysis products and services 5.250% 7/31/19 100.000 5.250% 392 maturity Ba2 BB

1/17/12 Pub Clariant Finance Luxembourg EUR 498.620 Sr Nts SWISS Chemicals specialty chemicals pdcr 5.625% 1/24/17 99.724 5.690% 492 maturity Ba1 BBB-

1/17/12 144A Fresenius M edical Care US Finance IIUSD 800.000 Sr Nts GER Healthcare provider of dialysis products and services 5.625% 7/31/19 100.000 5.625% 423 maturity Ba2 BB

1/17/12 144A Fresenius M edical Care US Finance IIUSD 700.000 Sr Nts GER Healthcare provider of dialysis products and services 5.875% 1/31/22 100.000 5.875% 402 maturity Ba2 BB

1/13/12 Pub Wienerberger EUR 202.500 Sr Nts AUSTRIA Housing manuf. bricks, concrete, pavers, roof ing & pipes 5.000% 8/1/15 101.250 4.614% 427 maturity NR NR

# Issues

$U S Issuance ( Euro equiv) 12 3 8 0 .3 77 3 2

N on- $U S Issuance ( Euro equiv) 19 8 2 9 .12 3 59

Tot al Issuance ( Euro equiv) 3 2 2 0 9 .50 0 9 1 Source: Credit Suisse

28

Au

gu

st 2

012

CS

Euro

pe

an H

igh

Yie

ld

70

Exhibit 84: 2012 European New High Yield Issues by Industry

Aerospace1.1%

Chemicals14.3%

Energy1.5%

Financial0.8%

Forest Prod/Containers

5.6%

Gaming/Leisure0.7%

Healthcare8.3%

Housing3.4%

Information Technology

0.8%Manufacturing

3%

Media/Telecom: Broadcasting

0.2%

Media/Telecom: Cable/Wireless

Video11.7%

Media/Telecom: Telecom

4.0%

Media/Telecom: W'less Comm

1.9%

Metals/Minerals5.2%

Service15.3%

Transportation20.6%

Utility1.6%


28 August 2012


Western European Leveraged Loan Market

The Credit Suisse Western European Leveraged Loan Index (hedged, in euro) returned 0.20% for the week ending

August 23, 2012, 0.80% month to date, and 6.89% year to date. The discount margin, assuming a three-year average

life, tightened 4 bp during the week to 730 bp. The average price rose to 86.45, a 0.06-point increase.

Exhibit 85: Western European Leveraged Loan Index Summary for the Week Ending August 23, 2012

Outperforming Industries Underperforming Industries

Energy 0.65% Financial -2.87%

Manufacturing 0.64% Housing -0.63%

Broadcasting 0.59% Gaming/Leisure -0.38%

Outperforming Sectors Underperforming Sectors

Second Lien 0.42% Unsecured 0.08%

$101MM to $200MM in Size 0.39% $1001MM and Over in Size 0.08%

Defensive 0.28% $201MM to $300MM in Size 0.10%


Exhibit 86: Western European Leveraged Loan Secondary Market Monitor

Week Ending Cumulative Total Return (1)

TOTAL RETURN 7/19/2012 7/26/2012 8/2/2012 8/9/2012 8/16/2012 8/23/2012 4Q11 1Q12 2Q12 May-12 Jun-12 Jul-12 2011 YTD (2)

10-YEAR UK GOVERNMENT BOND (3) 0.09% 0.38% 0.37% -1.42% -0.57% 1.04% 4.37% -0.89% 4.45% 4.74% -1.21% 2.31% 18.30% 5.17%

10-YEAR EURO GOVERNMENT BOND (4) 0.32% -0.92% 0.88% -1.83% -0.79% 1.37% 1.67% 0.74% 3.13% 4.49% -3.33% 2.87% 14.43% 6.06%

CS West Euro Lev Loan Index (Hedged, In Euro) (4) 0.11% -0.14% 0.26% 0.28% 0.21% 0.20% 1.13% 4.69% 0.73% -0.33% 0.47% 0.56% -0.65% 6.89%

CS West Euro HY Index (Hedged, In Euro) (4) 0.42% -0.66% 1.33% 1.15% 0.06% 0.40% 4.48% 9.92% -0.01% -1.90% 1.86% 1.87% -1.03% 14.17%

CS Leveraged Loan Index 0.21% 0.03% 0.25% 0.28% 0.14% 0.29% 2.72% 3.48% 1.01% -0.51% 0.74% 0.97% 1.82% 6.38%

CS High Yield Index 0.53% -0.05% 0.74% 0.47% -0.20% 0.44% 6.02% 5.03% 1.56% -1.32% 1.86% 1.76% 5.47% 9.48%

BLOOMBERG EUROPE 500 INDEX (4) 3.45% -2.06% 1.09% 4.56% 0.46% -1.37% 8.26% 8.62% -3.12% -6.23% 5.44% 3.73% -9.02% 12.13%

FTSE ALL-SHARE INDEX (3) 2.03% -2.30% 1.44% 3.78% 0.02% -0.84% 8.62% 6.24% -2.43% -6.74% 4.85% 1.34% -2.87% 8.51%

DAX INDEX (4) 5.28% -2.60% 0.35% 5.43% 0.45% -0.67% 7.20% 17.78% -7.64% -7.35% 2.42% 5.55% -14.69% 17.82%

CAC 40 INDEX (4) 4.10% -1.73% 0.79% 6.94% 0.69% -1.35% 6.58% 8.58% -3.61% -4.13% 6.78% 3.06% -13.42% 12.52%

FTSE SMALLCAP INDEX (3) 1.34% -0.62% 0.64% 2.46% 1.13% 0.28% -1.18% 14.82% -4.16% -6.36% 2.71% 1.10% -12.29% 15.57%

CS West Euro Lev Loan Index Value (12/31/91=100) 183.06 182.88 183.35 183.89 184.30 184.64 172.74 180.85 182.16 181.31 182.16 183.18 172.74 184.64

LEVELS / SPREADS

3 month EURIBOR YIELD 0.46% 0.42% 0.38% 0.36% 0.34% 0.30% 1.36% 0.78% 0.65% 0.67% 0.65% 0.39% 1.36% 0.30%

EURIBOR Yield increase/(decrease) (4 bp) (4 bp) (5 bp) (2 bp) (2 bp) (4 bp) (20 bp) (58 bp) (12 bp) (4 bp) (2 bp) (26 bp) 35 bp (105 bp)

CS West Euro Lev Loan Index DM (5) 736bp 744bp 741bp 737bp 734bp 730bp 836bp 735bp 746bp 748bp 746bp 743bp 836bp 730bp

CS West Euro Lev Loan Index DM (5) tighten (widen) 3 bp (8 bp) 2 bp 5 bp 3 bp 4 bp 10 bp (101 bp) 12 bp (27 bp) 2 bp 3 bp 211 bp (106 bp)

(1) Cumulative Monthly Total Return (2) As of 8/23/2012

(3) Returns in British Pounds; (4) Multiple currencies; returns converted hedged to Euro

(5) Discount Margin - 3-year average life Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service

28 August 2012


Exhibit 87: Western European Leveraged Loan Primary Market Monitor

2009 2010 2Q11 3Q11 4Q11 2011 1Q12 2Q12 May-12(1)

Jun-12(1)

Jul-12(1) L3M (1)(4)

LTM(1)(4)

YTD

EURIBOR

3 month EURIBOR YIELD 0.70% 1.01% 1.55% 1.55% 1.36% 1.36% 0.78% 0.65% 0.67% 0.65% 0.39% 0.39% 0.39% 0.39%

EURIBOR YIELD increase (decrease) (219) bp 31 bp 31 bp 1 bp (20) bp 35 bp (58) bp (12) bp (4) bp (2) bp (26) bp (32) bp (122) bp (97) bp

ISSUANCE

NEW NON-INSTITUTIONAL(2)

(€ billions) 45.0 57.0 24.4 24.2 8.0 75.3 20.4 9.7 5.6 3.5 1.3 10.4 47.8 31.3

NEW INSTITUTIONAL(3)

(€ billions) 2.5 13.2 6.8 5.2 2.1 22.4 7.2 6.3 2.8 0.4 1.4 4.6 19.4 15.0

NEW LOANS OVERALL (€ billions) 47.5 70.2 31.2 29.4 10.1 97.8 27.6 16.0 8.4 3.9 2.7 15.0 67.2 46.3

FORWARD CALENDAR ($billions) 10.1 4.1 11.8 10.2 2.9 2.9 3.7 7.4 13.3 7.4 5.6 5.6 5.6 5.6

AVERAGE NEW ISSUE SPREADS (5)

Institutional

B 386bp 496bp 447bp 447bp 484bp 465bp 514bp 530bp 532bp 533bp 533bp 532bp 501bp 523bp

BB NA 459bp 419bp 453bp 487bp 449bp 471bp 404bp 406bp 406bp 406bp 406bp 450bp 433bp

B vs. BB NA 37bp 28bp (7)bp (3)bp 16bp 43bp 125bp 126bp 126bp 126bp 126bp 51bp 90bp

Non-Institutional


BB 288bp 407bp 390bp 418bp NA NA NA NA NA NA NA

B vs. BB 4bp 38bp 30bp (21)bp NA NA NA NA NA NA NA NA NA NA

Institutional vs. Non-Institutional


BB NA 52bp 28bp 36bp NA NA NA NA NA NA NA NA NA NA

(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 7/31/12

(5) Weighted average of the previous six months Source: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service, S&P LCD, LPC

Exhibit 88: Western European Leveraged Loan Primary Market Monitor

8/9/2012 8/16/2012 8/23/2012 4Q11 1Q12 2Q12 Jul-12 2011 YTD (2)

Upper Tier (3) 0.34% 0.35% 0.12% 2.00% 2.82% 0.09% 0.84% 1.98% 4.66%

Middle Tier (3) 0.44% 0.13% 0.27% 2.34% 5.29% 1.20% 0.65% 0.73% 8.32%

Lower Tier (3) 0.25% -0.25% -1.42% -12.30% 11.15% 3.61% -7.59% -23.02% 4.97%

Price >= 90 0.24% 0.09% 0.16% 1.79% 3.02% 0.88% 0.59% 1.02% 5.13%

Price < 90 0.40% 0.50% 0.30% -0.13% 7.61% 0.35% 0.48% -3.81% 10.02%

Cyclical 0.26% 0.08% 0.06% 0.41% 5.06% 1.19% 0.32% -0.56% 7.11%

Defensive 0.30% 0.28% 0.28% 1.57% 4.46% 0.42% 0.71% -0.61% 6.72%

L+124 and Lower NA NA NA NA NA NA NA NA NA

L+125-224 -0.04% 0.66% 0.11% 0.32% 3.84% 0.87% 0.73% -0.57% 6.13%

L+225 and Higher 0.33% 0.15% 0.21% 1.32% 4.87% 0.70% 0.54% -0.65% 7.04%

$0MM to $100MM in Size 0.39% 0.22% 0.03% 0.67% 2.73% 1.54% 0.71% 2.33% 5.67%

$101MM to $200MM in Size 0.16% 0.12% 0.39% 0.18% 4.81% 1.08% 0.26% -1.08% 7.15%

$201MM to $300MM in Size 0.18% -0.06% 0.10% 0.46% 4.53% 0.61% 0.16% 0.35% 6.00%

$301MM and Over in Size 0.31% 0.27% 0.20% 1.48% 4.93% 0.59% 0.66% -1.14% 7.14%

$1001MM and Over in Size 0.47% 0.04% 0.08% 0.60% 3.84% 1.15% 0.76% -0.69% 6.28%

First Lien 0.26% 0.19% 0.19% 1.25% 4.49% 0.69% 0.53% -0.34% 6.54%

Second Lien 0.70% 0.42% 0.42% 0.17% 7.23% 1.22% 0.87% -2.11% 11.53%

Unsecured 0.11% 0.12% 0.08% -9.82% 7.32% 1.21% 1.92% -21.21% 11.08%

Full Covenant 0.29% 0.23% 0.20% 0.93% 4.74% 0.54% 0.59% -0.86% 6.80%

Covenant Lite 0.26% 0.01% 0.16% 4.22% 4.10% 2.50% 0.27% 2.54% 7.59%

CS West Euro Lev Loan Index (Hedged, In Euro) (4) 0.28% 0.21% 0.20% 1.13% 4.69% 0.73% 0.56% -0.65% 6.89%

(1) Cumulative Monthly Total Return (2) As of 8/23/12

(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)


28 August 2012


Exhibit 89: Western European Leveraged Loan Market Size

Exhibit 90: Western European Institutional Leveraged Loan Market Size

34 74

126

177 177 202 207

310

385

465

539 533 499

440 415

34 4670

94 85 98 89

168192

227

82

47

69

104

45

0

100

200

300

400

500

600

0

100

200

300

400

500

600

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012*

New

Levera

ged L

oan V

olu

me (€

Billio

ns)

Mark

et S

ize (€

Bill

ions)

European Leveraged Loan Market Size

New European Leveraged Loan Volume

Includes non-investment grade bank debt, including non-institutional (revolvers and pro-rata tranches) and institutional facilities of issuers with assets located in or revenues derived from Western Europe, or the loan is denominated in a Western European currency. * As of 6/30/12

7 11 16 21 26

39

81

138

207

223 213

189

168 159

6 9

11 1122

57

82

111

26

313

2214

0

50

100

150

200

250

0

50

100

150

200

250

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012*

New

Levera

ged L

oan V

olu

me (€

Billio

ns)

Mark

et S

ize (€

Bill

ions)

European Institutional Leveraged Loan Market Size

New 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. This is a subset of the overall Western European leveraged loan market size. * As of 6/30/12 Source: Credit Suisse, LPC Source: Credit Suisse, LPC

Exhibit 91: CS Western European Leveraged Loan Index: Total Return by Industry, MTD August 23, 2012

Exhibit 92: CS Western European Leveraged Loan Index: Total Return by Industry, YTD August 23, 2012

1.78% 1.68%1.46% 1.34%

1.15% 1.06%0.80% 0.71% 0.70%

0.56%0.37% 0.35% 0.31% 0.28% 0.26% 0.19%

-0.14% -0.21%

-0.69%

-2.48%-3.00%

-2.50%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

14.08%

12.03%

10.12%8.64% 8.43% 7.84% 7.73%

6.89% 6.87% 6.85% 6.85% 6.20%5.08% 4.55% 4.18% 3.76% 3.37% 2.95%

1.18%

-5.06%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

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

Exhibit 93: Credit Suisse Western Euro Leveraged Loan Index: Total Return by Industry, July 2012

Exhibit 94: YTD Total Return of the Credit Suisse Western European Leveraged Loan Index

1.90%1.56% 1.46%

1.17% 1.01% 1.00%0.83% 0.81% 0.74% 0.63% 0.60% 0.56% 0.45% 0.44% 0.35% 0.22%

-0.06% -0.14%

-2.03%

-3.54%-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

5/10/20125.67%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

1/5

/2012

1/1

9/2

012

2/2

/2012

2/1

6/2

012

3/1

/2012

3/1

5/2

012

3/2

9/2

012

4/1

2/2

012

4/2

6/2

012

5/1

0/2

012

5/2

4/2

012

6/7

/2012

6/2

1/2

012

7/5

/2012

7/1

9/2

012

8/2

/2012

8/1

6/2

012

CS

WE

LL Ind

ex Y

TD

To

tal R

etu

rn

8/16/12 6.69%


Exhibit 95: Average Price of the Credit Suisse Western European Leveraged Loan Index

Exhibit 96: YTD Average Price of the Credit Suisse Western European Leveraged Loan Index

85.31%11/29/02

100.57%5/31/2007

60.62%3/31/09

55.0%

60.0%

65.0%

70.0%

75.0%

80.0%

85.0%

90.0%

95.0%

100.0%

105.0%

Ave

rag

e P

rice

86.39% 8/16/12

5/10/201286.41

82.50

83.00

83.50

84.00

84.50

85.00

85.50

86.00

86.50

87.00

1/5

/2012

1/1

9/2

012

2/2

/2012

2/1

6/2

012

3/1

/2012

3/1

5/2

012

3/2

9/2

012

4/1

2/2

012

4/2

6/2

012

5/1

0/2

012

5/2

4/2

012

6/7

/2012

6/2

1/2

012

7/5

/2012

7/1

9/2

012

8/2

/2012

8/1

6/2

012

CS

WE

LL Ind

ex A

vera

ge P

rice

8/16/12 86.39


28 August 2012


Exhibit 97: Discount Margin (3 yr) of the CS Western European Leveraged Loan Index by Rating

Exhibit 98: YTD Discount Margin (3 yr) of the CS Western European Leveraged Loan Index

0bps

400bps

800bps

1200bps

1600bps

2000bps

Dis

co

un

t M

arg

in

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

746 bps

488 bps

734 bps

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

5/3/2012715 bp

680 bp

700 bp

720 bp

740 bp

760 bp

780 bp

800 bp

820 bp

840 bp

1/5

/2012

1/1

9/2

012

2/2

/2012

2/1

6/2

012

3/1

/2012

3/1

5/2

012

3/2

9/2

012

4/1

2/2

012

4/2

6/2

012

5/1

0/2

012

5/2

4/2

012

6/7

/2012

6/2

1/2

01

2

7/5

/2012

7/1

9/2

012

8/2

/2012

8/1

6/2

012C

S W

ELL Ind

ex D

isco

unt

Marg

in (

3-y

ears

)

8/16/12 734 bp


Exhibit 99: Western European Leveraged Loan Yield (3 yr) versus High Yield Bond Yield

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

22.00%

Jan-9

9

Jan-0

0

Jan-0

1

Jan-0

2

Jan-0

3

Jan-0

4

Jan-0

5

Jan-0

6

Jan-0

7

Jan-0

8

Jan-0

9

Jan-1

0

Jan-1

1

Jan-1

2

Yie

ld

CS West Euro. HY YTW

CS West Euro. Leveraged Loan Index Yield (3-year life)

Correlation 1999-2011: 0.65Correlation 2007-2011: 0.99

8.05% Loans

7.06% HY

8/16/12


28 August 2012


Leverage Finance Default Review The following is an excerpt from the publication Leverage Finance Default Review dated 11 July 2012.

2Q12 European High Yield Defaults

The Western European high yield default rate decreased 54 bps to 2.43% for the 12 months ending June 2012 from

2.98% at the end of the prior quarter. The average recovery rate was 38.88%, above the 31.36% level for 2011.

Just one issuer, ResCap, defaulted during the second quarter.

Exhibit 100: US High Yield versus European High Yield Default Rates

European High Yield

Default Rate

US High Yield

Default Rate

1998 2.35% 1.38%

1999 2.60% 4.08%

2000 1.20% 4.54%

2001 17.28% 9.20%

2002 33.91% 15.45%

2003 12.43% 4.32%

2004 1.97% 1.26%

2005 0.97% 2.64%

2006 0.53% 0.73%

2007 1.00% 0.49%

2008 1.60% 5.46%

2009 6.56% 9.37%

2010 1.06% 1.56%

2011 3.20% 1.82%

LTM Jun 12 2.43% 2.17% Source: Credit Suisse


28 August 2012


Exhibit 101: Annual Western European High Yield Default Rates: 1998 – LTM June 2012

2.35% 2.60%1.20%

17.28%

33.91%

12.43%

1.97%0.97% 0.53% 1.00% 1.60%

6.56%

1.06%

3.20%2.43%

0%

5%

10%

15%

20%

25%

30%

35%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 LTMJun 12

Defa

ult R

ate

European High Yield Default Rate


Exhibit 102: Annual Western European High Yield Default Summary: 1998 – LTM June 2012

Year

Defaulted Amount

(€Billion)

Avg Default Loss

Rate

Avg Principal Loss

Rate

Avg Recovery

Rate Default Rate

1998 0.477 2.00% 81.92% 18.08% 2.35%

1999 0.939 1.88% 66.28% 33.72% 2.60%

2000 0.638 1.02% 80.00% 20.00% 1.20%

2001 11.288 16.29% 89.74% 10.26% 17.28%

2002 26.886 27.44% 76.02% 23.98% 33.91%

2003 10.757 8.00% 60.80% 39.20% 12.43%

2004 1.628 0.57% 25.13% 74.87% 1.97%

2005 0.780 0.51% 47.65% 52.35% 0.97%

2006 0.418 0.33% 57.14% 42.86% 0.53%

2007 0.785 0.58% 52.67% 47.33% 1.00%

2008 1.266 1.26% 74.86% 25.14% 1.60%

2009 6.219 5.25% 75.67% 24.33% 6.56%

2010 1.398 0.82% 72.55% 27.45% 1.06%

2011 5.567 2.37% 68.64% 31.36% 3.20%

LTM Jun 12 5.124 1.60% 61.12% 38.88% 2.43%

Average 4.945 4.66% 66.01% 33.99% 5.94% Source: Credit Suisse

28 August 2012


Exhibit 103: Annual Western European High Yield Default Rates: 1998 – LTM June 2012

2.35% 2.60%1.20%

17.28%

33.91%

12.43%

1.97%0.97% 0.53% 1.00% 1.60%

6.56%

1.06%

3.20%2.43%

0%

5%

10%

15%

20%

25%

30%

35%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 LTMJun 12

Defa

ult R

ate

European High Yield Default Rate


28 August 2012


Industry

Exhibit 104: Default Rates Over Time by Industry: 1999 – June 2012 A

ero

spac

e

Ch

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al

Co

nsu

mer

Du

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les

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No

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od

an

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od

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care

Ho

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Info

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hn

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Man

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Med

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om

Met

als/

Min

eral

s

Ret

ail

Ser

vice

Tra

nsp

ort

atio

n

Uti

lity

Ove

rall

1998 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.3% 0.0% 0.0% 0.0% 0.0% 0.0% 2.3%

1999 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.3% 0.0% 0.0% 0.0% 13.3% 2.6%

2000 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 36.1% 0.0% 7.0% 0.0% 0.0% 0.0% 0.0% 8.5% 0.0% 1.2%

2001 82.2% 4.2% 55.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 7.3% 0.0% 21.7% 0.0% 0.0% 0.0% 3.3% 66.5% 17.3%

2002 0.0% 0.0% 0.0% 24.3% 0.0% 0.0% 0.0% 0.0% 0.0% 13.2% 0.0% 0.0% 0.0% 3.7% 70.7% 0.0% 0.0% 0.0% 4.4% 28.5% 33.9%

2003 7.6% 4.0% 0.0% 0.0% 35.1% 0.0% 0.0% 80.5% 0.0% 0.0% 0.0% 0.0% 34.6% 0.0% 10.6% 0.0% 0.0% 0.0% 9.0% 4.8% 12.4%

2004 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.3% 0.0% 0.0% 0.0% 0.0% 16.2% 2.0%

2005 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 9.5% 7.3% 1.0%

2006 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.9% 0.0% 0.0% 0.0% 0.0% 0.0% 6.2% 0.0% 0.5%

2007 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.2% 0.0% 0.0% 18.6% 0.0% 10.2% 0.0% 1.0%

2008 0.0% 0.0% 0.0% 0.0% 146.8% 0.0% 0.0% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.3% 0.0% 1.6%

2009 0.0% 11.6% 40.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.2% 15.7% 0.0% 1.0% 0.0% 0.0% 0.0% 26.3% 0.0% 6.6%

2010 0.0% 0.0% 0.0% 0.0% 0.0% 4.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.6% 3.6% 0.0% 0.0% 0.0% 0.0% 0.0% 1.1%

2011 0.0% 0.0% 0.0% 0.0% 0.0% 24.3% 0.0% 0.0% 0.0% 4.2% 0.0% 0.0% 0.0% 4.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.2%

LTM Jun 12 0.0% 0.0% 0.0% 0.0% 23.4% 4.9% 0.0% 0.0% 0.0% 0.0% 3.4% 0.0% 0.0% 0.0% 5.7% 0.0% 0.0% 0.0% 0.0% 0.0% 2.4%

Average 6.4% 1.3% 5.5% 4.3% 3.9% 13.9% 0.0% 5.4% 0.2% 0.9% 0.5% 2.8% 4.2% 1.3% 8.3% 0.0% 1.2% 0.0% 6.3% 8.8% 5.9% Source: Credit Suisse

Note: Financial industry default and default loss rates exceeded 100% in 2008 because

these rates use the average of the par size of the financial sector on 12/31/2007 and

12/31/2008 in the denominator (see “Methodology” in the chapter High Yield Default

Review, earlier). The par size of the financial sector on 12/31/2007 was 0. GMAC and

Residential Capital were downgraded into the high yield universe in early 2008, comprising

the only bonds in the financial sector, and it was a portion of these bonds that defaulted

due to distressed exchanges. The denominator was half the face value of the

downgraded debt (averaging 0 with the face value). The numerator was the face value of

the distressed exchanges, which turned out to be larger than the denominator, resulting in

a rate greater than 100%.

Exhibit 105: Default Loss Rates Over Time by Industry: 1999 – June 2012

Aer

osp

ace

Ch

emic

al

Co

nsu

mer

Du

rab

les

Co

nsu

mer

No

n-D

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ble

s

En

erg

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Fin

anci

al

Fo

od

an

d D

rug

Fo

od

/To

bac

co

Fo

rest

Pro

d/C

on

tain

ers

Gam

ing

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sure

Hea

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care

Ho

usi

ng

Info

rmat

ion

Tec

hn

olo

gy

Man

ufa

ctu

rin

g

Med

ia/T

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om

Met

als/

Min

eral

s

Ret

ail

Ser

vice

Tra

nsp

ort

atio

n

Uti

lity

Ove

rall

1998 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.8% 0.0% 0.0% 0.0% 0.0% 0.0% 2.0%

1999 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.0% 0.0% 0.0% 0.0% 8.3% 1.9%

2000 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 6.7% 0.0% 0.0% 0.0% 0.0% 6.4% 0.0% 1.0%

2001 72.4% 3.4% 41.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 21.0% 0.0% 0.0% 0.0% 3.4% 59.1% 16.3%

2002 0.0% 0.0% 0.0% 17.0% 0.0% 0.0% 0.0% 0.0% 0.0% 9.4% 0.0% 0.0% 0.0% 3.4% 59.1% 0.0% 0.0% 0.0% 3.8% 9.4% 27.4%

2003 6.2% 3.3% 0.0% 0.0% 14.1% 0.0% 0.0% 66.9% 0.0% 0.0% 0.0% 0.0% 28.1% 0.0% 5.9% 0.0% 0.0% 0.0% 4.0% 2.8% 8.0%

2004 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 0.0% 0.0% 0.0% 0.0% 4.6% 0.6%

2005 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.9% 3.9% 0.5%

2006 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.6% 0.0% 0.0% 0.0% 0.0% 0.0% 3.9% 0.0% 0.3%

2007 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 13.9% 0.0% 5.0% 0.0% 0.6%

2008 0.0% 0.0% 0.0% 0.0% 102.5% 0.0% 0.0% 2.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.2% 0.0% 1.3%

2009 0.0% 10.5% 29.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.2% 12.6% 0.0% 0.7% 0.0% 0.0% 0.0% 20.5% 0.0% 5.3%

2010 0.0% 0.0% 0.0% 0.0% 0.0% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.8%

2011 0.0% 0.0% 0.0% 0.0% 0.0% 18.7% 0.0% 0.0% 0.0% 1.9% 0.0% 0.0% 0.0% 3.7% 0.0% 0.0% 0.0% 0.0% 0.0% 2.4%

LTM Jun 12 0.0% 0.0% 0.0% 0.0% 17.0% 3.5% 0.0% 0.0% 0.0% 0.0% 1.6% 0.0% 0.0% 0.0% 3.3% 0.0% 0.0% 0.0% 0.0% 0.0% 1.6%

Average 5.6% 1.1% 4.2% 3.1% 2.1% 9.8% 0.0% 4.5% 0.1% 0.6% 0.2% 0.3% 3.0% 0.7% 6.8% 0.0% 0.9% 0.0% 4.2% 5.7% 4.7% Source: Credit Suisse

28 August 2012


Exhibit 106: LTM June 2012 Defaults by Industry Summary

Number of Average Average Average Defaulted Default Default Overall

Defaulted Years to Coupon Recovery Loss of Amount Default Loss of Loss of Default

Issues Industry Default Payment Rate Principal (€ millions) Rate Principal Coupon Loss Rate

0 Aerospace 0 0.00% 0.00% 0.00% 0.00%

0 Chemicals 0 0.00% 0.00% 0.00% 0.00%

0 Consumer Durables 0 0.00%

0 Consumer Non-Durables 0 0.00% 0.00% 0.00% 0.00%

3 Energy 4.0 7.71% 31.17% 68.83% 1,221 23.44% 16.13% 0.90% 17.04%

9 Financial 4.8 10.21% 32.78% 67.22% 1,478 4.87% 3.27% 0.25% 3.52%

0 Food And Drug

0 Food/Tobacco 0 0.00% 0.00% 0.00% 0.00%

0 Forest Prod/Containers 0 0.00% 0.00% 0.00% 0.00%

0 Gaming/Leisure 0 0.00% 0.00% 0.00% 0.00%

2 Healthcare 1.6 9.69% 59.22% 40.78% 376 3.42% 1.39% 0.17% 1.56%

0 Housing 0 0.00% 0.00% 0.00% 0.00%

0 Information Technology 0 0.00% 0.00% 0.00% 0.00%

0 Manufacturing 0 0.00% 0.00% 0.00% 0.00%

3 Media/Telecom 3.7 9.67% 47.26% 52.74% 2,050 5.75% 3.03% 0.28% 3.31%

0 Metals/Minerals 0 0.00% 0.00% 0.00% 0.00%

0 Retail 0 0.00% 0.00% 0.00% 0.00%

0 Service 0 0.00% 0.00% 0.00% 0.00%

0 Transportation 0 0.00% 0.00% 0.00% 0.00%

0 Utility 0 0.00% 0.00% 0.00% 0.00%

17 Overall 4.1 9.61% 38.88% 61.12% 5,124 2.43% 1.49% 0.12% 1.60% Source: Credit Suisse

Exhibit 107: Recovery Rates by Industry: LTM June 2012

59.2%

47.3%

32.8%31.2%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

Healthcare Media/Telecom Financial Energy

Re

co

ve

ry R

ate


28 August 2012


Exhibit 108: Principal Loss Rates and Recovery Rates by Industry: 1998 – June 2012

Average Average Average

Default Principal Recovery Default

Industry Rate Loss Rate Rate Loss Rate

Aerospace 6.41% 81.31% 18.69% 6.55%

Chemicals 1.32% 79.08% 20.92% 1.32%

Consumer Durables 5.52% 70.94% 29.06% 5.97%

Consumer Non-Durables 4.29% 66.40% 33.60% 3.54%

Energy 3.90% 52.74% 47.26% 2.40%

Financial 13.86% 66.68% 33.32% 9.64%

Food and Drug 0.00% 0.00%

Food/Tobacco 5.36% 80.63% 19.37% 5.15%

Forest Prod/Containers 0.15% 87.00% 13.00% 0.16%

Gaming/Leisure 0.88% 64.75% 35.25% 0.72%

Healthcare 0.51% 0.12%

Housing 2.75% 95.50% 4.50% 0.40%

Information Technology 4.23% 69.92% 30.08% 3.41%

Manufacturing 1.32% 87.50% 12.50% 0.84%

Media/Telecom 8.28% 66.10% 33.90% 7.32%

Metals/Minerals 0.00% 0.00%

Retail 1.24% 70.00% 30.00% 1.07%

Service 0.00% 0.00%

Transportation 6.27% 65.62% 34.38% 4.87%

Utility 8.80% 48.13% 51.87% 6.64%

Unweighted Average 3.76% 72.02% 27.98% 3.01% Source: Credit Suisse

Exhibit 109: Defaulted Debt by Industry, Weighted by Par Amount

LTM June 2012 1980 –June 2012

Media/Telecom40%

Financial29%

Energy24%

Healthcare7%

Media/Telecom57.4%

Transportation8.4%

Financial7.6%

Utility6.4%

Information Technology4.9%

Food/Tobacco3.5%

Energy3.5%

Chemicals2.3%

Aerospace2.2%

Consumer Non-Durables1.2%

Housing0.6% Manufacturing

0.6%Healthcare

0.5% Forest Prod/Containers0.3%

Consumer Durables0.2%

Retail0.2%

Gaming/Leisure0.1%


28 August 2012


Original Issue Rating

Exhibit 110: LTM June 2012 Defaults by Original Issue Rating Summary

Number of Average Average Average Defaulted Default Default Overall

Defaulted Years to Coupon Recovery Loss of Amount Default Loss of Loss of Default

Issues Rating Default Payment Rate Principal (€ millions) Rate Principal Coupon Loss Rate

6 A and above 4.4 11.08% 29.86% 70.14% 1,252 0.12% 0.08% 0.01% 0.09%

3 BBB (incl. Split BBB) 5.6 8.46% 50.33% 49.67% 225 0.04% 0.02% 0.00% 0.02%

3 BB (incl. Split BB) 4.0 7.71% 31.17% 68.83% 1,221 1.75% 1.20% 0.07% 1.27%

5 B 2.8 9.68% 52.04% 47.96% 2,426 3.52% 1.69% 0.17% 1.86%

0 CCC (incl. Split B) 0 0.00% 0.00% 0.00% 0.00%

0 Not Rated / Distressed 0 0.00% 0.00% 0.00% 0.00%

17 Overall 4.1 9.61% 38.88% 61.12% 5,124 2.43% 1.49% 0.12% 1.60% Source: Credit Suisse

Exhibit 111: Recovery Rates by Original Issue Rating: LTM June 2012

52.0%50.3%

31.2%29.9%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

B BBB (incl. Split BBB) BB (incl. Split BB) A and above

Rec

ove

ry R

ate


28 August 2012


Exhibit 112: Defaulted Debt by Industry, Weighted by Par Amount

LTM June 2012 1980 –June 2012

B 47%

A and above25%

BB (incl. Split BB)24%

BBB (incl. Split BBB)4%

A and above10.3%

BBB (incl. Split BBB)18.9%

BB (incl. Split BB)9.8%

B 47.1%

CCC (incl. Split B)9.3%

Not Rated / Distressed4.5%


28

Au

gu

st 2

012

CS

Euro

pe

an H

igh

Yie

ld

83

Exhibit 113: LTM June 2012 Western European High Yield Defaults D

ate

of

Def

ault

Issu

er

Co

up

on

Mat

uri

ty

Bo

nd

Typ

e

Ind

ust

ry

Ori

gin

al R

atin

g

Cu

rren

cy

Def

ault

ed A

mo

un

t (€

MM

)

Off

er P

rice

Pri

ce a

t D

efau

lt

Pri

nci

pal

Lo

ss R

ate

Rec

ove

ry R

ate

7/1/2011 Allied Irish Banks 12.500 6/25/2035 Sr Sub Nts FINANCIAL A GBP 239.0 100.00 26.000 74.00% 26.00%

7/8/2011 Bank of Ireland 10.000 2/12/2020 Sr Sub Nts FINANCIAL Split A EUR 541.2 100.00 31.000 69.00% 31.00%

7/8/2011 Bank of Ireland 10.000 2/12/2020 Sr Sub Nts FINANCIAL Split A GBP 70.3 100.00 36.000 64.00% 36.00%

7/8/2011 Bristol & West 10.750 6/22/2018 Sr Sub Nts FINANCIAL A GBP 28.6 99.60 38.500 61.35% 38.65%

7/15/2011 Novasep Holding 9.750 12/15/2016 Sr Sec Nts HEALTHCARE B USD 106.0 97.56 58.250 40.29% 59.71%

7/15/2011 Novasep Holding 9.625 12/15/2016 Sr Sec Nts HEALTHCARE B EUR 270.0 98.77 58.000 41.27% 58.73%

7/25/2011 Allied Irish Banks 12.500 6/25/2035 Sr Sub Nts FINANCIAL A GBP 155.2 100.00 26.000 74.00% 26.00%

7/25/2011 Allied Irish Banks 10.750 3/29/2017 Sr Sub Nts FINANCIAL Split A EUR 217.9 100.00 21.500 78.50% 21.50%

11/30/2011 Lighthouse International 8.000 4/30/2014 Sr Nts MEDIA/TELECOM B EUR 1,300.0 100.00 11.500 88.50% 11.50%

1/25/2012 Petroplus Finance 6.750 5/1/2014 Sr Nts ENERGY Split BB USD 457.8 100.00 31.000 69.00% 31.00%



2/7/2012 SEAT Pagine Gialle 10.500 1/31/2017 Sr Sec Nts MEDIA/TELECOM B EUR 550.0 97.60 61.000 37.50% 62.50%

2/7/2012 SEAT Pagine Gialle 10.500 1/31/2017 Sr Sec Nts MEDIA/TELECOM B EUR 200.0 90.00 61.000 32.22% 67.78%

5/14/2012 Residential Capital 7.125 5/17/2012 Sr Nts FINANCIAL BBB EUR 98.6 99.49

5/14/2012 Residential Capital 8.375 5/17/2013 Sr Nts FINANCIAL BBB GBP 46.2 99.34 50.000 49.67% 50.33%

5/14/2012 Residential Capital 9.875 7/1/2014 Sr Nts FINANCIAL BBB GBP 80.7 99.66 Source: Credit Suisse

28 August 2012


2Q12 European Institutional Leveraged Loan Defaults The Western European institutional leveraged loan default rate increased 34 bp to 4.09% for the 12 months ending June 2012 from 3.75% at the end of the prior quarter. (Note: the prior quarter’s default rate was restated from 1.92% because additional information became available from public sources.)

Exhibit 114: European Leveraged Loan versus US Leveraged Loan Default Rates

West. Euro.

Leveraged Loan

Default Rate

US Leveraged

Loan Default

Rate

2000 1.43% 5.29%

2001 16.05% 6.84%

2002 47.00% 8.10%

2003 1.07% 3.82%

2004 2.32% 1.01%

2005 0.83% 1.55%

2006 1.81% 0.37%

2007 0.09% 0.23%

2008 2.15% 2.91%

2009 6.79% 9.57%

2010 4.57% 2.61%

2011 0.95% 0.62%

LTM Jun 12 4.09% 1.20%

Average 6.86% 3.39% Source: Credit Suisse

Exhibit 115: Annual Western European Leveraged Loan Default Rates: 2000 – LTM June 2012

1.43%

16.05%

1.07%2.32%

0.83%1.81%

0.09%

2.15%

6.79%

4.57%

0.95%

4.09%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 LTM Jun12

West

ern

Euro

pe L

oan D

efa

ult

Rate

Defaulted loans defined as missed coupon, filed for bankruptcy, entered administration, distressed exchange, or cross-defaults.*Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors

47.00%


28 August 2012


Exhibit 116: Annual Western European Leveraged Loan Default Rates: 2000 – LTM June 2012

Defaulted Amount

(€mm)

Market Size

(€mm)

Market Size Midpoint

(€mm)

Annual Default

Rate

Average Recovery

Rate

Average Default

Loss Rate

1999 7,198€

2000 133€ 11,430€ 9,314€ 1.43% 72.00% 0.40%

2001 2,206€ 16,058€ 13,744€ 16.05% 78.25% 3.49%

2002 8,822€ 21,478€ 18,768€ 47.00% 70.57% 13.84%

2003 255€ 26,400€ 23,939€ 1.07% 70.00% 0.32%

2004 759€ 39,020€ 32,710€ 2.32% 84.25% 0.37%

2005 495€ 80,600€ 59,810€ 0.83% 60.62% 0.33%

2006 1,986€ 138,303€ 109,452€ 1.81% 64.54% 0.64%

2007 155€ 206,978€ 172,641€ 0.09% 98.62% 0.00%

2008 4,621€ 223,197€ 215,088€ 2.15% 31.20% 1.48%

2009 14,820€ 213,343€ 218,270€ 6.79% 32.36% 4.59%

2010 9,197€ 188,859€ 201,101€ 4.57% 62.93% 1.70%

2011 1,703€ 168,320€ 178,589€ 0.95% 36.62% 0.60%

LTM Jun 12 6,673€ 159,009€ 163,087€ 4.09% 41.97% 2.37% Source: Credit Suisse

Exhibit 117: Distribution of Western Euro Lev Loan Default Recovery Rates, 2000 – June 2012

0

5

10

15

20

25

30

35

40

45

10% 20% 30% 40% 50% 60% 70% 80% 90% > 90%

Fre

qu

en

cy

Leveraged Loan Recovery Rate Bins


Exhibit 118: Distribution of Western Euro Lev Loan Default Recovery Rates, LTM June 2012

0

1

2

3

4

5

6

10% 20% 30% 40% 50% 60% 70% 80% 90% > 90%

Fre

qu

en

cy

Leveraged Loan Recovery Rate Bins


28 August 2012


Industry

Exhibit 119: Western European Leveraged Loan Defaults by Industry, Par Weight Distribution

LTM June 2012 2000 –June 2012

Consumer Durables27%

Food/Tobacco21%

Consumer Non-Durables18%

Food and Drug17%

Food and Drug17%

Aerospace1% Chemicals

6%

Consumer Durables3%

Consumer Non-Durables1%

Food/Tobacco2%

Forest Prod/Containers3%

Gaming/Leisure7%

Healthcare1%

Housing16%

Manufacturing4%

Media/Telecom32%

Metals/Minerals1%

Retail1%

Service3%

Transportation15%

Utility4%


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Exhibit 120: Annual Western European Leveraged Loan Default Rates by Industry

Aero

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ll

2000 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 52.32% 0.00% 0.00% 0.00% 0.00% 1.43%

2001 51.42% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.88% 0.00% 99.86% 0.00% 100.00% 16.05%

2002 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 78.43% 0.00% 0.00% 0.00% 15.06% 47.00%

2003 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 58.15% 0.00% 0.00% 1.07%

2004 26.44% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 60.86% 0.00% 2.32%

2005 0.00% 0.00% 10.67% 0.00% 0.00% 0.00% 0.00% 0.00% 2.33% 0.00% 0.00% 6.46% 0.00% 0.00% 0.00% 0.00% 2.06% 0.00% 0.00% 0.00% 0.83%

2006 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.58% 0.00% 0.00% 0.00% 42.36% 0.00% 1.81%

2007 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.05% 0.00% 0.09%

2008 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.95% 0.00% 30.02% 0.00% 0.00% 0.30% 0.00% 0.00% 0.00% 22.66% 0.00% 2.15%

2009 4.81% 7.73% 60.55% 9.64% 0.00% 0.00% 0.00% 0.00% 9.02% 0.00% 0.00% 51.17% 0.00% 1.69% 2.11% 46.98% 1.40% 2.36% 105.46% 0.00% 6.79%

2010 0.00% 11.28% 3.61% 0.00% 0.00% 0.00% 0.00% 3.23% 16.87% 67.13% 1.43% 0.00% 0.00% 3.40% 3.58% 0.00% 2.67% 1.78% 5.51% 0.00% 4.57%

2011 0.00% 0.00% 35.22% 21.05% 0.00% 0.00% 4.93% 1.97% 0.00% 5.58% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.95%

LTM Jun 12 0.00% 1.66% 40.25% 0.00% 0.00% 0.00% 0.00% 2.46% 0.00% 8.10% 0.00% 0.00% 0.00% 8.00% 8.56% 1.48% 0.00% 0.70% 93.37% 4.09%

Average: 2.84% 5.55% 11.56% 2.79% 0.00% 0.00% 0.45% 0.59% 2.17% 6.60% 0.11% 6.74% 0.00% 5.03% 7.42% 7.83% 0.59% 12.47% 18.51% 17.37% 6.86% Source: Credit Suisse

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Exhibit 121: Annual Western European Leveraged Loan Recovery Rates by Industry

Aero

space

Chem

icals

Consum

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Dura

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s

Consum

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Non-D

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s

Energ

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Fin

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l

Food a

nd D

rug

Food/T

obacco

Fore

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rod/C

onta

iners

Gam

ing/L

eis

ure

Health

care

Housin

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echnolo

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Manufa

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Media

/Tele

com

Meta

ls/M

inera

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Tra

nsport

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n

Util

ity

Overa

ll

2000 72.00% 72.00%

2001 57.00% 99.50% 78.25%

2002 70.57% 70.57%

2003 70.00% 70.00%

2004 97.87% 70.63% 84.25%

2005 50.00% 96.50% 18.00% 78.00% 60.62%

2006 51.56% 90.50% 64.54%

2007 98.62% 98.62%

2008 35.00% 30.28% 32.50% 29.31% 31.20%

2009 35.00% 22.91% 25.57% 49.50% 49.67% 33.68% 29.81% 38.10% 21.00% 36.80% 31.22% 32.36%

2010 64.14% 39.02% 58.13% 59.73% 77.65% 61.13% 86.07% 44.12% 50.00% 65.19% 24.00% 62.93%

2011 39.03% 70.50% 15.63% 5.93% 34.25% 36.62%

LTM Jun 12 39.03% 5.93% 64.63% 49.12% 48.03% 31.31% 35.00% 34.00% 41.97%

Average: 66.44% 48.02% 38.53% 60.00% 68.63% 52.88% 27.32% 59.25% 47.48% 21.00% 53.10% 57.33% 54.18% 66.75% 61.84% Source: Credit Suisse

28 August 2012


By Loan Priority

Exhibit 122: Western European Leveraged Loan Defaults by Loan Priority, Par Weight Distribution

LTM June 2012 2000 –June 2012

First Lien

80%

Second Lien

20%

First Lien

91%

Second Lien

8%

Unsecured

1%


Exhibit 123: Annual Western European Leveraged Loan Default Rates by Loan Priority

First Lien Second Lien Unsecured Overall

2000 1.43% 1.43%

2001 16.05% 16.05%

2002 47.10% 47.00%

2003 1.08% 0.00% 1.07%

2004 2.00% 24.33% 2.32%

2005 0.87% 0.00% 0.83%

2006 1.97% 0.00% 1.81%

2007 0.00% 0.98% 0.09%

2008 2.24% 0.58% 73.63% 2.15%

2009 6.64% 7.80% 17.53% 6.79%

2010 4.67% 3.97% 4.57%

2011 1.02% 0.39% 0.95%

LTM Jun 12 3.59% 10.19% 4.09%

Average: 6.82% 4.82% 45.58% 6.86% Source: Credit Suisse

28 August 2012


Exhibit 124: Western European Leveraged Loan Recovery Rates by Loan Priority

First Lien Second Lien Unsecured Overall

2000 72.00% 72.00%

2001 78.25% 78.25%

2002 70.57% 70.57%

2003 70.00% 70.00%

2004 70.63% 97.87% 84.25%

2005 60.62% 60.62%

2006 64.54% 64.54%

2007 98.62% 98.62%

2008 37.96% 8.66% 31.20%

2009 37.09% 8.84% 25.25% 32.36%

2010 67.08% 42.18% 62.93%

2011 29.99% 102.86% 36.62%

LTM Jun 12 43.05% 38.95% 41.97%

Average: 58.48% 56.86% 25.25% 61.84% Source: Credit Suisse

Exhibit 125: LTM June 2012 Western European Leveraged Loan Defaults Default Date Effective Date Issuer Facility Seniority Coupon Spread Default Amt Maturity Industry Original Rating Cov-Lite

7/20/2011 10/7/2010 Carl Zeiss Vision TLd SECOND LIEN 200 60 10/24/2021 CONSUMER DURABLES NR No

12/15/2011 7/31/2009 Ferretti TLb FIRST LIEN 260 181 1/31/2015 CONSUMER DURABLES NR No

12/15/2011 7/31/2009 Ferretti TLc FIRST LIEN 310 180 1/31/2016 CONSUMER DURABLES NR No

12/15/2011 7/31/2009 Ferretti TLg FIRST LIEN 560 40 1/31/2017 CONSUMER DURABLES NR No

12/20/2011 9/14/2010 Panrico TL FIRST LIEN 266 350 8/9/2013 FOOD/TOBACCO NR No

1/5/2012 6/15/2005 SEAT Pagine Gialle TLb FIRST LIEN 235 600 6/14/2013 MEDIA/TELECOM Split BB No

1/18/2012 1/26/2006 Peacock Group TLb FIRST LIEN 275 53 1/30/2014 RETAIL NR No

1/18/2012 1/26/2006 Peacock Group TLc FIRST LIEN 325 53 1/30/2015 RETAIL NR No

2/29/2012 2/16/2007 Viridian Group TLd SECOND LIEN 375 500 2/27/2013 UTILITY NR No

3/22/2012 2/15/2007 Desmet Ballestra TLd SECOND LIEN 400 18 8/15/2016 CHEMICALS NR No

3/22/2012 2/15/2007 Desmet Ballestra TLb FIRST LIEN 225 63 2/13/2015 CHEMICALS NR No

3/22/2012 2/15/2007 Desmet Ballestra TLc FIRST LIEN 275 63 2/15/2016 CHEMICALS NR No

3/29/2012 5/2/2007 eircom Group TLb FIRST LIEN 188 1250 5/30/2014 MEDIA/TELECOM B No

3/29/2012 5/2/2007 eircom Group TLc FIRST LIEN 213 1250 5/29/2015 MEDIA/TELECOM B No

3/29/2012 7/17/2006 eircom Group TLd SECOND LIEN 425 350 12/29/2015 MEDIA/TELECOM BB No

3/30/2012 5/17/2007 Fitness First TLb FIRST LIEN 263 340 11/29/2012 GAMING/LEISURE NR No

3/30/2012 5/17/2007 Fitness First TLb FIRST LIEN 263 58 10/31/2013 GAMING/LEISURE NR No

3/30/2012 6/14/2006 Pfleiderer Track Systems TLb FIRST LIEN 250 20 6/13/2014 TRANSPORTATION NR No

3/30/2012 6/14/2006 Pfleiderer Track Systems TLc FIRST LIEN 300 20 6/13/2015 TRANSPORTATION NR No

6/21/2012 7/17/2007 Klockner Pentaplast TLd SECOND LIEN 400 188 12/2/2016 MANUFACTURING NR No

6/21/2012 7/17/2007 Klockner Pentaplast TLb FIRST LIEN 250 700 12/29/2015 MANUFACTURING NR Yes

6/21/2012 7/17/2007 Klockner Pentaplast TLd SECOND LIEN 400 188 12/2/2016 MANUFACTURING NR No

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8B8BGlobal Economic Summary Forecasts 31B33BThe following is an excerpt from the publication Global Economics Weekly Calendar dated 23 August 2012

2012 2013E Q4 to Q4 Annual Average

Q1 Q2E Q3E Q4E Q1 Q2 Q3 Q4 10 11 12E 13E 10 11 12E 13E

Global Real GDP (y/y) 3.4 3.3 3.1 3.3 3.4 3.6 3.9 4.1 4.8 3.4 3.3 4.1 5.0 3.8 3.3 3.8

IP (y/y) 3.4 3.1 3.1 4.1 4.0 4.6 5.0 5.3 8.0 3.7 4.1 5.3 9.6 5.1 3.4 4.7

Inflation (y/y) 4.1 3.7 3.4 3.4 3.1 3.2 3.4 3.5 3.7 4.7 3.4 3.5 3.5 4.7 3.6 3.3

US Real GDP (q/q ann) 2.0 1.5 1.5 2.2 2.4 2.6 3.0 3.0 2.4 2.0 1.8 2.7 2.4 1.8 2.2 2.3

Inflation (y/y) 2.8 1.9 1.7 1.9 1.6 1.4 1.5 1.5 1.2 3.3 1.9 1.5 1.6 3.1 2.1 1.5

Policy rate (end of pd.) 0-.25 0-.25 0-.25 0-.25 0-.25 0-.25 0-.25 0-.25 ... ... ... ... ... ... ... ...

10yr bond yield … … 1.25 1.35 1.45 1.55 1.65 1.75 … ... ... ... ... ... ...

Japan Real GDP (q/q ann) 5.5 1.4 -1.3 -0.5 1.7 2.6 2.8 2.8 3.4 -0.6 1.2 2.5 4.5 -0.8 2.3 1.3

Inflation* (y/y) 0.1 0.0 0.2 0.0 -0.3 -0.2 -0.3 -0.1 0.0 -0.2 0.0 -0.1 -1.0 -0.3 0.0 -0.2

Policy rate (end of pd.) 0-0.1 0-0.1 0-0.1 0-0.1 0-0.1 0-0.1 0-0.1 0-0.1 ... ... ... ... ... ... ... ...

10yr bond yield … … 0.90 1.00 1.00 ... ... ... … ... ... ... ... ... ...

USDJPY 80.5 79.8 77.4 78.3 80.3 82.33 ... ... … ... ... ... ... ... ...

Euro Area Real GDP (q/q ann) 0.0 -0.8 -0.6 0.2 1.0 1.0 1.5 1.5 2.2 0.7 -0.6 1.2 1.9 1.5 -0.5 0.5

Inflation (y/y) 2.7 2.5 2.4 2.3 2.0 1.8 2.1 2.0 2.2 2.7 2.3 2.0 1.6 2.7 2.5 2.0

Policy rate (end of pd.) 1.00 1.00 0.50 0.50 0.50 0.50 0.50 0.50 ... ... ... ... ... ... ... ...

10yr bond yield … … 1.40 1.65 1.90 2.10 ... ... … ... ... ... ... ... ... ...

EURUSD 1.28 1.27 1.19 1.17 1.18 1.19 ... ... … ... ... ... ... ... ... ...

UK Real GDP (q/q ann) -1.7 -1.4 1.9 1.2 1.5 1.7 2.3 2.1 1.7 0.5 0.0 1.9 2.1 0.7 -0.3 1.4

Inflation (y/y) 3.5 2.7 2.0 1.6 1.6 1.8 2.3 2.3 3.4 4.6 1.6 2.3 3.3 4.5 2.4 2.0

Policy rate (end of pd.) 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 ... ... ... ... ... ... ... ...

10yr bond yield … … 1.80 2.00 2.30 2.35 ... ... … ... ... ... ... ... ... ...

GBPUSD 1.53 1.57 1.54 1.54 1.55 1.55 ... ... … ... ... ... ... ... ... ...

Switzerland Real GDP (q/q ann) 2.8 1.1 0.8 0.6 2.0 0.9 2.1 3.8 3.1 2.0 0.5 2.2 2.7 2.1 0.5 1.5

Inflation (y/y) -0.9 -1.0 0.0 0.9 1.3 0.9 0.7 0.8 0.3 -0.2 0.9 0.8 0.7 0.2 -0.3 1.0

Policy rate (end of pd.) 0-0.25 0-0.25 0-0.25 0-0.25 0-0.25 ... ... ... … ... ... ... ... ... ... ...

USDCHF 0.93 0.95 1.02 1.03 1.03 1.03 ... ... … ... ... ... ... ... ... ...

NJA Real GDP (y/y) 6.2 6.2 6.3 6.9 6.9 6.9 7.0 7.1 8.5 6.7 6.9 7.1 9.2 7.3 6.4 7.0

Inflation (y/y) 4.3 3.9 3.1 2.9 2.6 3.2 3.7 3.9 5.2 5.3 2.9 3.9 4.5 5.7 3.5 3.4

China Real GDP (y/y) 8.1 7.6 7.6 7.7 7.9 7.7 7.9 7.9 9.8 8.9 7.7 7.9 10.3 9.2 7.7 7.9

IP (y/y) 11.6 9.9 12.4 12.6 12.3 12.2 11.9 11.8 13.3 12.8 12.6 11.8 15.7 13.9 11.6 12.1

Inflation (y/y) 3.8 2.9 1.5 1.2 0.6 1.5 2.4 2.7 4.7 4.6 1.2 2.7 3.3 5.4 2.3 1.8

India** Real GDP (y/y) 5.3 5.9 6.1 6.5 7.2 7.4 7.6 7.8 8.6 6.4 6.5 7.8 8.4 6.5 6.5 7.8

EMEA Real GDP (y/y) 3.6 2.9 3.0 3.3 3.6 3.6 3.6 3.4 5.2 4.2 3.3 3.4 4.7 4.9 3.3 3.6

Inflation (y/y) 5.9 5.4 6.3 6.0 5.9 5.9 5.4 5.2 7.0 6.6 6.0 5.2 6.6 6.7 5.5 5.9

Latin America Real GDP 3.4 2.9 3.0 3.4 3.3 3.7 4.1 4.2 5.5 3.7 3.4 4.2 6.3 4.6 3.1 3.9

Inflation (y/y) 6.4 6.1 6.1 6.1 6.5 6.4 6.4 6.3 6.6 7.0 6.1 6.3 6.2 6.7 6.2 6.4

Note: IMF PPP weights are used to compute regional and global aggregate figures; 10yr bond yield figures are averages for the last month of each quarter; * CPI ex. Fresh food; ** Annual figures for India are on fiscal year basis.



28 August 2012


Euro Area GDP Projections The following is an excerpt from European Economics: Another own goal dated 22 June 2012

Exhibit 126: Euro area GDP projections



Global Credit Products - Credit Research - Europe

Lee Hope – Head of Leveraged Finance Research Europe

Leveraged Finance Research - Europe

Packaging, Gaming and Services Cable, Telecom, Media and Technology

Lee Hope Director +44 20 7888 0163 Marco Gironi Director +44 20 7888 7477

Industrials Consumer Products, Retail and Healthcare

Alex Field Vice President +44 20 7888 0940 Tom Gibney Vice President +44 20 7888 0326

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’s Distribution of Global Leveraged Finance Recommendations* (and Banking Clients)

Global Recommendation Distribution**

Buy 4% (of which 44% are banking clients)

Outperform 43% (of which 67% are banking clients)

Market Perform 39% (of which 72% are banking clients)

Underperform 13% (of which 88% are banking clients)

Sell <1% (of which 100% are banking clients)

*Data are as at the end of the previous calendar quarter. **Percentages do not include securities on the firm’s Restricted List and might not total 100% as a result of rounding.

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High volatility investments may experience sudden and large falls in their value causing losses when that investment is realised. Those losses may equal your original investment. Indeed, in the case of some investments the potential losses may exceed the amount of initial investment and, in such circumstances, you may be required to pay more money to support those losses. Income yields from investments may fluctuate and, in consequence, initial capital paid to make the investment may be used as part of that income yield. Some investments may not be readily realisable and it may be difficult to sell or realise those investments, similarly it may prove difficult for you to obtain reliable information about the value, or risks, to which such an investment is exposed. This report may provide the addresses of, or contain hyperlinks to, websites. 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Investment principal on bonds can be eroded depending on sale price or market price. In addition, there are bonds on which investment principal can be eroded due to changes in redemption amounts. Care is required when investing in such instruments. When you purchase non-listed Japanese fixed income securities (Japanese government bonds, Japanese municipal bonds, Japanese government guaranteed bonds, Japanese corporate bonds) from CS as a seller, you will be requested to pay purchase price only.

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