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ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE DISCLOSURE APPENDIX. FOR OTHER
IMPORTANT DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com.
CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION™
Client-Driven Solutions, Insights, and Access
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
Marco Gironi
+44 20 7888 7477
Alex Field
+44 20 7888 0940
Tom Gibney
+44 20 7888 0326
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
CS European High Yield 3
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.
28 August 2012
CS European High Yield 4
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
CS European High Yield 5
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
CS European High Yield 6
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
CS European High Yield 7
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
CS European High Yield 8
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
CS European High Yield 9
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
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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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
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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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 6.500% sn notes 110.02 2.91% 99.15 6.75% 103.72 5.34% 106.88 4.15% 108.40 3.60% 10.87 10.96% 6.29 6.07% 3.14 2.94% 1.62 1.50%
HeidelbergCement 6.750% sn notes 111.61 3.02% 99.67 6.84% 104.42 5.49% 107.50 4.43% 109.36 3.83% 11.94 11.98% 7.19 6.88% 4.11 3.82% 2.25 2.06%
HeidelbergCement 8.000% sn notes 115.99 4.02% 95.67 9.04% 102.55 7.39% 108.08 5.98% 114.47 4.47% 20.32 21.24% 13.44 13.10% 7.91 7.32% 1.52 1.33%
HeidelbergCement 5.625% sn notes 107.87 3.96% 89.17 7.88% 97.04 6.23% 102.63 5.07% 104.50 4.67% 18.70 20.97% 10.83 11.16% 5.24 5.10% 3.37 3.22%
HeidelbergCement 9.500% sn notes 122.27 5.29% 99.99 9.49% 105.41 8.44% 113.10 6.97% 118.39 6.02% 22.27 22.28% 16.86 15.99% 9.17 8.11% 3.87 3.27%
HeidelbergCement 8.500% sn notes 119.06 5.27% 94.78 9.44% 100.08 8.48% 107.87 7.11% 112.86 6.28% 24.28 25.62% 18.98 18.97% 11.19 10.37% 6.19 5.49%
HeidelbergCement 7.500% sn notes 113.96 5.25% 89.21 9.37% 96.12 8.15% 102.85 7.02% 107.14 6.32% 24.75 27.75% 17.84 18.55% 11.11 10.81% 6.82 6.36%
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
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Exhibit 7: Constructions, Capital Goods and Automotive
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 %
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 7.500% sn sec notes 107.99 5.66% 91.90 9.30% 102.09 7.05% 104.33 6.51% 107.13 5.89% 16.08 17.50% 5.90 5.78% 3.66 3.50% 0.86 0.80%
Continental 6.500% sn sec notes 107.44 4.12% 93.41 8.37% 102.79 5.72% 104.34 5.17% 105.98 4.64% 14.03 15.02% 4.65 4.53% 3.10 2.97% 1.46 1.38%
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%
Price change from lowsPrice change from
1-Jan-12
Price change from
1-Jun-12
Price change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Exhibit 8: Retail, Consumer and Healthcare
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 %
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%
Price change from lowsPrice change from
1-Jan-12
Price change from
1-Jun-12
Price change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Exhibit 9: Packaging, Services and Gaming
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 %
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%
Price change from lowsPrice change from
1-Jan-12
Price change from
1-Jun-12
Price change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Exhibit 10: Cable and Telecoms
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 %
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%
Price change from lowsPrice change from
1-Jan-12
Price change from
1-Jun-12
Price change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Exhibit 11: Broadcasting, Entertainment, Publishing and Technology
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 %
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%
Price change from lowsPrice change from
1-Jan-12
Price change from
1-Jun-12
Price change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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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
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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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
1-Jan-12
Level change from
1-June-12
Level change from
1-July-12
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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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
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 16: European HY Capital Goods and Construction
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 17: European HY Retail and Consumer
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 18: European HY Healthcare
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 19: European HY Packaging
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 20: European HY Services
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 21: European HY Gaming
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 22: European HY Cable
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 23: European HY Telecom and Broadcasting
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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.
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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Exhibit 24: European HY Entertainment Publishing and Technology
Issuer Bond Description CCYSize
(mm)Maturity Moody's/ S&P
Price
(Mid )YTW STW Z-SPRD
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
Source: the BLOOMBERG PROFESSIONAL™ service, Company reports, Credit Suisse
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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
Secured to unsecured 1.0 yrs -1.0 pts 3.64% 365 bps 2.4x
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
Secured to unsecured 1.0 yrs -6.5 pts 3.66% 366 bps 1.1x
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
Secured to unsecured 0.8 yrs -16.4 pts 6.98% 691 bps 1.1x
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
Secured to unsecured 0.8 yrs -18.0 pts 7.07% 691 bps 0.2x
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
Secured to unsecured 0.9 yrs -14.1 pts 5.08% 498 bps 2.6x
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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Exhibit 28: Senior secured vs. unsecured bond pricing differentials
Company Description Maturity Price (€) YTW Z-Sprd Net Levg LTM
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
Secured to unsecured 1.0 yrs -9.5 pts 3.60% 312 bps 1.6x
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
Secured to unsecured 1.0 yrs -7.0 pts 3.42% 314 bps 1.3x
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
Secured to unsecured 0.2 yrs -5.4 pts 5.21% 452 bps 2.9x
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
Secured to unsecured 1.0 yrs -5.3 pts 3.18% 305 bps 2.1x
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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Exhibit 29: Senior secured vs. unsecured bond pricing differentials
Company Description Maturity Price (€) YTW Z-Sprd Net Levg LTM
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
Secured to unsecured 0.1 yrs 5.0 pts 0.59% 108 bps 0.8x
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
Secured to unsecured 1.8 yrs 4.2 pts 1.48% 148 bps 1.1x
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 9.125% Senior $ Notes 15-Oct-20 450 104.56 8.16% 711
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 9.125% Senior $ Notes 15-Oct-20 450 104.56 8.16% 711
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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Exhibit 31: Euro/GBP vs. USD bonds pricing differentials
Company Description Maturity Size Price YTW Z-Sprd
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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Exhibit 32: Euro/GBP vs. USD bonds pricing differentials
Company Description Maturity Size Price YTW Z-Sprd
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
OI 6.875% Senior € Notes 31-Mar-17 300 103.66 -8.66% -859
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
OI 6.875% Senior € Notes 31-Mar-17 300 103.66 -8.66% -859
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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Exhibit 33: Euro/GBP vs. USD bonds pricing differentials
Company Description Maturity Size Price YTW Z-Sprd
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 7.625% Senior Secured € Notes 15-Jan-20 500 109.18 5.01% 443
UPC $ into € Snr Secured Nts -1.9 yrs 0.9 pts -0.77% -65 bps
UPC 7.250% Senior Secured $ Notes 15-Nov-21 750 108.25 5.78% 508
UPC 6.375% Senior Secured € Notes 15-Jan-20 500 109.18 5.01% 443
UPC $ into € Snr Secured Nts -1.9 yrs 0.9 pts -0.77% -65 bps
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 7.625% Senior Secured € Notes 15-Jan-20 500 109.2 5.01% 443
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 6.375% Senior Secured € Notes 1-Jul-20 750 104.9 5.38% 426
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 7.625% Senior Secured € Notes 15-Jan-20 500 109.2 5.01% 443
UPC swap into SSN 2.1 yrs 10.2 pts 0.50% 22 bps
UPC TL-U € 31-Dec-17 1235.8 99.0 4.51% 421
UPC 6.375% Senior Secured € Notes 1-Jul-20 750 104.9 5.38% 426
UPC swap into SSN 2.5 yrs 5.9 pts 0.87% 5 bps
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
CS European High Yield 42
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
CS European High Yield 43
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 44
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
Last reporting period 1Q12 1Q12 2Q12 1Q12
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
Adjusted EBITDA margin (%) 29% 39% 31% 38%
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
Debt (nominal outstanding)
Incl. cap'd spectrum
liabil.
Senior secured debt 1,104 8,655 2,305 6,819
Senior debt 271 3,818 680 3,251
Subordinated debt 0 0 0 0
Nominal debt outstanding 1,375 12,473 2,985 10,070
(Cash) -80 -1,409 378 -418
Net debt (excl. PIK) 1,295 11,064 3,363 9,652
Credit metrics
Company adjusted actual ratios:
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
CS European High Yield 45
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
Last reporting period 2Q12 2Q12 1Q12 1Q12
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
Net interest paid -226 -109 -301 -291
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
Subordinated debt 0 0 0 0
Nominal debt outstanding 5,111 1,161 2,644 3,102
Cash -5,009 -34 -423 -577
Net debt - reported 102 ** 1,127 2,221 2,525
Credit metrics
Company adjusted actual ratios:
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
Net debt to EBITDA minus capex 0.3x 8.4x 2.8x 6.5x
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
CS European High Yield 46
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
Last reporting period 1Q12 2Q12 2Q12 2Q12 1Q12
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
Adjusted EBITDA margin (%) 20% 17% 2% 21% 16%
Cash flow
Adjusted EBITDA 248 2,328 13 3,327 207
Capex -89 -743 -23 1,143 -72
Net interest paid -80 -494 -32 -933 -50
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 47
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
Adjusted EBITDA margin (%) 33% 10% 24% 6%
Cash flow
Adjusted EBITDA 76 180 362 224
Capex -14 -70 -211 -124
Net interest paid -13 -14 -55 -75
Tax paid -18 -56 -57 -17
Free cash flow before WC, other, M&A and dividends 32 40 40 7
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
Debt (nominal outstanding)
Senior secured debt 304 0 600 0
Senior debt 0 244 343 0
Subordinated debt 0 854 0 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
Company adjusted actual ratios:
EBITDA to net interest paid 5.9x 13.0x 6.6x 3.0x
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
CS European High Yield 48
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
Last reporting period 2Q12 1Q12 1Q12 2Q12 2Q12
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
Adjusted EBITDA margin (%) 8% 8% 13% 12% 4%
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
Debt (nominal outstanding)
Senior secured debt 5,628 977 617 444 848
Senior debt 2,056 0 0 0 0
Subordinated debt 0 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
24 month maturities 0 0 0 0 0
Liquidity (unrestricted cash + undrawn facilities) 1,227 132 334 185 279
Credit metrics
Company adjusted actual ratios:
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
Lease adj. net debt to EBITDAR - through senior NA NA NA NA NA
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
CS European High Yield 49
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 50
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
Debt (nominal outstanding)
Senior secured debt 299 8,756 366 153 7,175
Senior debt 0 0 1,498 0 0
Subordinated debt 0 0 0 25 280
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
Company adjusted actual ratios:
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
CS European High Yield 51
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 52
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 53
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
Debt (nominal outstanding)
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
Company adjusted actual ratios:
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
CS European High Yield 54
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
12 month maturities 0 2 0 127 9 1 0
24 month maturities 0 2 0 0 4 1 0
Liqudity (unrestricted cash + undrawn facilities) 137 135 270 825 109 115 129
Credit metrics
Company adjusted actual ratios:
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
CS European High Yield 55
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
Company adjusted actual ratios:
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
CS European High Yield 56
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
Last reporting period 2Q12 1Q12 1Q12 2Q12
Currency EURm EURm EURm USDm
Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec
Income statement
Revenue 3,468 553 948 8,612
Adjusted EBITDA (company definition) 568 81 83 1,101
Adjusted EBITDA margin (%) 16% 15% 9% 13%
Cash flow
Adjusted EBITDA 568 81 83 1,101
Capex -165 -31 -24 -330
Net interest paid -239 -11 -30 -224
Tax paid -19 -15 -3 -96
Free cash flow before WC, other, M&A and dividends 145 25 25 451
as % of net debt 4 10 4 13
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
as % of net debt 3 15 3 1
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
Debt (nominal outstanding)
Senior secured debt 1,599 253 412 1,417
Senior debt 1,490 0 170 2,374
Subordinated debt 504 0 175 0
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
Company adjusted actual ratios:
EBITDA to net interest paid 2.4x 7.7x 2.8x 4.9x
Net debt to EBITDA - through secured 2.5x 2.9x 4.1x 1.1x
Net debt to EBITDA - through senior 5.1x 2.9x 6.1x 3.2x
Lease adj. net debt to EBITDAR - through senior NA NA NA NA
Net debt to EBITDA minus capex 8.4x 4.7x 11.5x 4.6x
Enterprise Value to EBITDA NA NA NA NA Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.
28 August 2012
CS European High Yield 57
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
Last reporting period 1Q12 1Q12 2Q12 2Q12
Currency EURm USDm USDm EURm
Year end (approximate) 31-Dec 31-Dec 31-Dec 31-Dec
Income statement
Revenue 481 7,378 14,034 7,367
Adjusted EBITDA (company definition) 99 1,284 2,707 1,010
Adjusted EBITDA margin (%) 21% 17% 19% 14%
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
Debt (nominal outstanding)
Senior secured debt 305 1,451 10,280 2,688
Senior debt 202 2,424 7,146 610
Subordinated debt 0 250 529 0
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
Other adjustments to debt
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
Company adjusted actual ratios:
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
Net debt to EBITDA - through senior 4.6x 0.9x 6.0x 2.8x
Lease adj. net debt to EBITDAR - through senior NA NA NA NA
Net debt to EBITDA minus capex 7.1x 3.8x 7.9x 3.8x
Enterprise Value to EBITDA NA 5.6x NA 4.2x Source: Company reports, Credit Suisse, the BLOOMBERG PROFESSIONAL™ service.
28 August 2012
CS European High Yield 58
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
Adjusted EBITDA margin (%) 17% 20% 23% 26% 28%
Cash flow
Adjusted EBITDA 298 301 270 275 314
Capex -162 -127 -83 -94 -54
Net interest paid -75 -74 -135 -37 -47
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
Debt (nominal outstanding)
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
Other adjustments to debt
Adjusted net debt 883 862 1,303 -24 -114
12 month maturities 82 49 16 132 0
24 month maturities n.k n.k. n.k. n.k. 0
Liqudity (unrestricted cash + undrawn facilities) 94 244 189 399 494
Credit metrics
Company adjusted actual ratios:
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
Lease adj. net debt to EBITDAR - through senior NA NA NA NA NA
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
CS European High Yield 59
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
Debt (nominal outstanding)
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
Other adjustments to debt
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
Company adjusted actual ratios:
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
CS European High Yield 60
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
28 August 2012
CS European High Yield 61
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%
Source: Credit Suisse Source: Credit Suisse
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
CS European High Yield 62
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%
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse Source: Credit Suisse
28 August 2012
CS European High Yield 63
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%
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse Source: Credit Suisse
28 August 2012
CS European High Yield 64
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
ing/L
eis
ure
Med
ia/T
ele
co
m
Info
rmatio
nT
ech
no
logy
Foo
d/T
ob
acco
Fore
st
Pro
ducts
Tra
nsp
ort
atio
n
Cons N
on-D
ura
ble
s
Cre
dit S
uis
se W
.E
uro
pea
n H
Y In
de
x
Man
ufa
ctu
ring
Fin
an
cia
l
Housin
g
Utility
Serv
ice
Meta
ls/M
inera
ls
Chem
icals
Aero
spa
ce
Ene
rgy
Healthca
re
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
ura
ble
s
Foo
d/T
ob
acco
Man
ufa
ctu
ring
Fin
an
cia
l
Housin
g
Chem
icals
Cre
dit S
uis
se W
. E
uro
pea
n H
Y In
de
x
Healthca
re
Meta
ls/M
inera
ls
Tra
nspo
rtation
Fore
st
Pro
ducts
Serv
ice
Med
ia/T
ele
co
m
Gam
ing/L
eis
ure
Ae
rosp
ace
Utility
Info
rmatio
n T
ech
no
logy
Ene
rgy
Source: Credit Suisse Source: Credit Suisse
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
il
Ene
rgy
Co
nsu
mer
Du
rable
s
Aero
sp
ace
Health
ca
re
Gam
ing/L
eis
ure
Me
tals
/Min
era
ls
Serv
ice
Ma
nufa
ctu
ring
Fin
ancia
l
Me
dia
/Te
lecom
Food
/Tob
acco
Chem
icals
Cre
dit S
uis
se W
. E
uro
pe
an H
YIn
de
x
Consu
me
r N
on-D
ura
ble
s
Utility
Fore
st P
rodu
cts
Ho
usin
g
Tra
nspo
rtation
Info
rma
tio
n T
echn
olo
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%
Source: Credit Suisse Source: Credit Suisse
28 August 2012
CS European High Yield 65
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)
PRICE PRICE TOTAL PRINCIPAL
ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW
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
Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP 284 80.000 9.000 12.68% 12.99% 11.98% 15.92% 1542 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
SEAT Pagine Gialle 10.500% 1/31/2017 Caa1 D Sr Sec Nts EUR 550 69.000 6.000 9.52% 9.52% 9.52% Defaulted
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
Momentiv e Performance Materials 9.500% 1/15/2021 Caa1 CCC Sr Nts EUR 150 66.000 -7.250 -9.90% -8.87% -9.84% 17.33% 1624 bp
Schmolz and Bickenbach Lux embourg9.875% 5/15/2019 B1 B+ Sr Sec Nts EUR 258 84.000 -7.250 -7.95% -6.98% -7.77% 13.57% 1281 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
InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP 252 96.500 -4.000 -3.98% -3.22% -3.95% 10.43% 987 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
Air Berlin 8.500% 11/10/2015 NR NR Sr Nts EUR 200 93.000 -1.500 -1.59% -0.89% -1.56% 11.13% 1110 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
CS European High Yield 66
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)
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
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
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
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
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
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
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
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
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
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
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)
PRICE PRICE TOTAL PRINCIPAL
ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW
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
Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP 284 80.000 9.000 12.68% 12.99% 11.98% 15.92% 1542 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
Banca Monte dei Paschi di Siena 5.600% 9/9/2020 Ba3 BB- Sr Sub Nts EUR 379 86.000 6.250 7.84% 7.94% 7.45% 8.03% 700 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
Momentiv e Performance Materials 9.500% 1/15/2021 Caa1 CCC Sr Nts EUR 150 66.000 -7.250 -9.90% -8.87% -9.84% 17.33% 1624 bp
Schmolz and Bickenbach Lux embourg9.875% 5/15/2019 B1 B+ Sr Sec Nts EUR 258 84.000 -7.250 -7.95% -6.98% -7.77% 13.57% 1281 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
InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP 252 96.500 -4.000 -3.98% -3.22% -3.95% 10.43% 987 bp
Air Berlin 8.500% 11/10/2015 NR NR Sr Nts EUR 200 93.000 -1.500 -1.59% -0.89% -1.56% 11.13% 1110 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
CS European High Yield 67
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
Source: Credit Suisse
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.
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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
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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
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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%
Source: Credit Suisse
28 August 2012
CS European High Yield 71
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%
Source: Credit Suisse
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
CS European High Yield 72
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
B 291bp 446bp 420bp 396bp 422bp 419bp 449bp 481bp 480bp 482bp 482bp 481bp 444bp 467bp
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
B 95bp 50bp 27bp 51bp 62bp 46bp 66bp 49bp 52bp 50bp 50bp 51bp 57bp 56bp
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)
Source: Credit Suisse
28 August 2012
CS European High Yield 73
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%
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse Source: Credit Suisse
28 August 2012
CS European High Yield 74
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
Source: Credit Suisse Source: Credit Suisse
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
Source: Credit Suisse
28 August 2012
CS European High Yield 75
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
CS European High Yield 76
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
Source: Credit Suisse
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
CS European High Yield 77
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
Source: Credit Suisse
28 August 2012
CS European High Yield 78
Industry
Exhibit 104: Default Rates Over Time by Industry: 1999 – June 2012 A
ero
spac
e
Ch
emic
al
Co
nsu
mer
Du
rab
les
Co
nsu
mer
No
n-D
ura
ble
s
En
erg
y
Fin
anci
al
Fo
od
an
d D
rug
Fo
od
/To
bac
co
Fo
rest
Pro
d/C
on
tain
ers
Gam
ing
/Lei
sure
Hea
lth
care
Ho
usi
ng
Info
rmat
ion
Tec
hn
olo
gy
Man
ufa
ctu
rin
g
Med
ia/T
elec
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
ura
ble
s
En
erg
y
Fin
anci
al
Fo
od
an
d D
rug
Fo
od
/To
bac
co
Fo
rest
Pro
d/C
on
tain
ers
Gam
ing
/Lei
sure
Hea
lth
care
Ho
usi
ng
Info
rmat
ion
Tec
hn
olo
gy
Man
ufa
ctu
rin
g
Med
ia/T
elec
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
CS European High Yield 79
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
Source: Credit Suisse
28 August 2012
CS European High Yield 80
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%
Source: Credit Suisse
28 August 2012
CS European High Yield 81
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
Source: Credit Suisse
28 August 2012
CS European High Yield 82
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%
Source: Credit Suisse
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%
1/25/2012 Petroplus Finance 7.000 5/1/2017 Sr Nts ENERGY Split BB USD 457.8 100.00 31.000 69.00% 31.00%
1/25/2012 Petroplus Finance 9.375 9/15/2019 Sr Nts ENERGY Split BB USD 305.2 98.42 31.000 68.50% 31.50%
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
CS European High Yield 84
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%
Source: Credit Suisse
28 August 2012
CS European High Yield 85
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
Source: Credit Suisse
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
Source: Credit Suisse
28 August 2012
CS European High Yield 86
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%
Source: Credit Suisse
28
Au
gu
st 2
012
CS
Euro
pe
an H
igh
Yie
ld
87
Exhibit 120: Annual Western European Leveraged Loan Default Rates by Industry
Aero
space
Chem
icals
Consum
er
Dura
ble
s
Consum
er
Non-D
ura
ble
s
Energ
y
Fin
ancia
l
Food a
nd D
rug
Food/T
obacco
Fore
st P
rod/C
onta
iners
Gam
ing/L
eis
ure
Health
care
Housin
g
Info
rmatio
n T
echnolo
gy
Manufa
ctu
ring
Media
/Tele
com
Meta
ls/M
inera
ls
Reta
il
Serv
ice
Tra
nsport
atio
n
Util
ity
Overa
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
er
Dura
ble
s
Consum
er
Non-D
ura
ble
s
Energ
y
Fin
ancia
l
Food a
nd D
rug
Food/T
obacco
Fore
st P
rod/C
onta
iners
Gam
ing/L
eis
ure
Health
care
Housin
g
Info
rmatio
n T
echnolo
gy
Manufa
ctu
ring
Media
/Tele
com
Meta
ls/M
inera
ls
Reta
il
Serv
ice
Tra
nsport
atio
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
CS European High Yield 89
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%
Source: Credit Suisse
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
CS European High Yield 90
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.
Source: Credit Suisse
28 August 2012
CS European High Yield 92
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
Source: Credit Suisse
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
Analyst Certification Alex Field, Marco Gironi, Lee Hope and Tom Gibney each certify, with respect to the companies or securities that he or she analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report.
Important Disclosures Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. For more detail, please refer to Credit Suisse's Policies for Managing Conflicts of Interest in connection with Investment Research: http://www.csfb.com/research-and-analytics/disclaimer/managing_conflicts_disclaimer.html Credit Suisse’s policy is to publish research reports as it deems appropriate, based on developments with the subject issuer, the sector or the market that may have a material impact on the research views or opinions stated herein. The analyst(s) involved in the preparation of this research report received compensation that is based upon various factors, including Credit Suisse's total revenues, a portion of which are generated by Credit Suisse's Investment Banking and Fixed Income Divisions. Credit Suisse may trade as principal in the securities or derivatives of the issuers that are the subject of this report. At any point in time, Credit Suisse is likely to have significant holdings in the securities mentioned in this report. As at the date of this report, Credit Suisse acts as a market maker or liquidity provider in the debt securities of the subject issuer(s) mentioned in this report. For important disclosure information on securities recommended in this report, please visit the website at https://firesearchdisclosure.credit-suisse.com or call +1-212-538-7625. For the history of any relative value trade ideas suggested by the Fixed Income research department as well as fundamental recommendations provided by the Emerging Markets Sovereign Strategy Group over the previous 12 months, please view the document at http://research-and-analytics.csfb.com/docpopup.asp?ctbdocid=330703_1_en. Credit Suisse clients with access to the Locus website may refer to http://www.credit-suisse.com/locus. Credit Suisse does not provide any tax advice. Any statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purposes of avoiding any penalties.
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.
Corporate Bond Risk Category Definitions In addition to the recommendation, each issue may have a risk category indicating that it is an appropriate holding for an "average" high yield investor, designated as Market, or that it has a higher or lower risk profile, designated as Speculative and Conservative, respectively.
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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In addition, CS is not acting for direct or indirect compensation to solicit the municipality on behalf of an unaffiliated broker, dealer, municipal securities dealer, municipal advisor, or investment adviser for the purpose of obtaining or retaining an engagement by the municipality for or in connection with Municipal Financial Products, the issuance of municipal securities, or of an investment adviser to provide investment advisory services to or on behalf of the municipality. Copyright © 2012 CREDIT SUISSE GROUP AG and/or its affiliates. All rights reserved.
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.