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