High Yield and Bank Loan Outlook - July 2013

Page 2

Leveraged Credit Scorecard AS OF MONTH END high yield bonds Dec-12

Apr-13

May-13

Jun-13

Spread

Yield

Spread

Yield

Spread

Yield

Spread

Yield

Credit Suisse High Yield Index

554

6.25%

473

5.34%

489

5.80%

541

6.74%

Split BBB

302

4.16%

252

3.52%

276

4.01%

310

4.65%

BB

376

4.58%

339

4.17%

339

4.54%

380

5.38%

Split BB

442

5.03%

387

4.39%

400

4.86%

453

5.81%

B

566

6.27%

480

5.28%

504

5.79%

564

6.80%

CCC / Split CCC

958

10.21%

789

8.41%

807

8.83%

865

9.87%

DMM*

Price

DMM*

Price

DMM*

Price

DMM*

Price

498

99.86

453

100.63

459

100.23

491

99.44

bank loans Dec-12 Credit Suisse Leveraged Loan Index

Apr-13

May-13

Jun-13

Split BBB

324

100.53

298

100.79

304

100.36

321

99.84

BB

403

100.38

363

100.90

364

100.57

385

99.79

Split BB

489

100.26

427

100.88

426

100.58

453

99.49

B

560

99.38

494

100.42

499

100.07

527

99.41

CCC / Split CCC

939

99.73

853

101.45

769

98.71

885

97.59

Source: credit suisse. excludes split b HIGH YIELD BONDS AND BANK LOANS. *Discount Margin to Maturity assumes three-year average life.

Credit Suisse High Yield Index Returns

Credit Suisse Leveraged Loan Index Returns

■ Q1 2013 ■ Q2 2013

■ Q1 2013 ■ Q2 2013 6%

5.5%

3.9%

4.0%

5%

3.5%

4% 3%

4.5%

3.2%

2.9%

2%

1.7%

3.0% 2.5%

2.1%

2.2%

2.1%

2.0%

1.0%

1%

2.7%

1.6% 1.5%

0%

1.3%

1.0%

0.8%

-0.5%

-1% -2% Index

0.5%

-1.2%

-1.4% -2.1% Split BBB

-2.0% BB

B

CCC / Split CCC

Index

Source: Credit Suisse. Data as of 06/30/2013.

Page 2

0.1%

0.2%

0.4% 0.1%

0.0%

-1.8% Split BB

0.3%

high yield and bank loan outlook | Q3 2013

Split BBB

BB

Split BB

B

CCC / Split CCC


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