jpm 2010 annual review

North American High Yield ResearchNew York

December 2010

2010 High-Yield Annual Review

See last page for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm mayhave a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making theirinvestment decision.

High Yield and Leveraged Loan Research

Peter Acciavatti AC

(1-212) 270-9633

[email protected]

Tony Linares(1-212) 270-3285

[email protected]

Nelson R. Jantzen, CFA(1-212) 270-1169

[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

J.P. Morgan Securities LLC

Contents

Sections1. 2011 outlook and portfolio strategy 52. Performance review 253. New-issue review 454. Event risk 595. High-Yield Equity Index review 836 The case for high yield 997. Fund flow review 1098. Leveraged loan market review 1199. The case for leveraged loans 137Appendix A-AA A1-A145

2010 High-Yield Annual Review is available on theJ.P. Morgan Chase and Co. Research website:www.morganmarkets.com

Peter D. Acciavatti (1-212) 270-9633

[email protected]

Tony Linares (1-212) 270-3285

[email protected]

Nelson R. Jantzen, CFA (1-212) 270-1169

[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

2

North American High Yield Research


December 2010

3


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

Contents

Sections

1. 2011 outlook and portfolio strategy

2. Performance review

3. New-issue review

4. Event risk

5. High-Yield Equity Index review

6. The case for high yield

7. Fund flow review

8. Leveraged loan market review

9. The case for leveraged loans

Appendix

A. 2010 US dollar new issues

B. 2010 non-US dollar new issues

C. Defaults

D. Downgrades and upgrades

E. Rising stars

F. Fallen angels

G. High-yield merger and acquisition activity

H. High-yield equity issuance

I. High-yield calls

J. High-yield tenders

K. J.P. Morgan Global High-Yield Index profile

L. J.P. Morgan Developed High-Yield Index profile

M. J.P. Morgan Domestic High-Yield Index profile

N. J.P. Morgan Developed BB High-Yield Index profile

O. J.P. Morgan Institutional High-Yield Index profile

P. J.P. Morgan 100 High-Yield Index profile

Q. J.P. Morgan Euro High-Yield Index profile

R. J.P. Morgan Sterling High-Yield Index profile

S. J.P. Morgan US Dollar European High-Yield Index profile

T. J.P. Morgan European Currency High-Yield Index profile

U. J.P. Morgan European Aggregate High-Yield Index profile

V. J.P. Morgan High-Yield Equity Index, year-to-date 2010 performance

W. High-yield investment styles

X. High-yield market growth

Y. Risk and returns of various assets

Z. Who owns high yield?

AA. Long-term high-yield market timeline

C

S

5

25

45

59

83

99

109

119

137

AA2

A21

A24

A31

A56

A58

A60

A66

A69

A74

A81

A86

A88

A90

A92

A94

A96

A98

A100

A102

A104

A106

A117

A123

A124

A140

A145


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December 20101

5

2011 outlook and strategy


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

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December 2010 1


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December 20101

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December 2010 1

Executive summary: Goldilocks for creditAn economy warm, rather than too hot or too cold, is justright for high-yield

The economic forecast for 2011 looks for a gradual acceleration in growth and

hiring, sustained low core inflation, and a Fed that continues on the course of LSAP

to support the economy. Due to a boost to disposable income at the hands of the

recent tax compromise, our economists look for GDP to grow 3.75% in 1H11 and

slow modestly to 3.25% in 2H11. With major adjustments to business and household

savings largely behind us, fiscal policy less of an obstacle, and the Fed still

supporting activity, the cyclical turn to above-trend growth is expected to finally

take hold. Overall, our economists forecast US GDP to expand 3.1% in 2011 and

3.0% in 2012 (y/y), after growing 2.8% in 2010.

Although we expect growth to rise above its potential over the next two years,

importantly, the US economy will still be operating with considerable slack. By the

end of 2011, the US unemployment rate is expected to approach 9%, and is unlikely

to fall below 8% until sometime in 2013. While our economists’ forecast does not

call for outright deflation, core inflation is apt to remain below 1% through 2011

(0.7% y/y) and 2012 (0.9% y/y). With unemployment high and inflation low, the Fed

Funds rate will likely remain near zero over the next two years. Furthermore, given

the Fed needs a long period of above trend growth just to achieve its inflation

objectives, a pickup in economic activity in early 2011 is not expected to derail Fed

purchases (albeit odds of an extension of the program when it expires in June have

faded). As such, investors will likely begin to contemplate the Fed’s eventual exit

strategy in 2011. All of this leads our rates team to envisage a gradual pick-up in

Treasury yields beyond the first quarter of next year alongside improving growth

prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will

increase to 0.95%, 2.40%, 3.45%, and 4.70% by year-end 2011.

For high yield, the forecasted move in Treasury yields in 2011 appears manageable.

With credit fundamentals steadily improving, default risk negligible, and capital

market conditions expected to remain robust, high-yield bond spreads above their

long term average are expected to absorb the entirety of the rise in Treasury yields in

2011. More so, these “warm” economic conditions are expected to foster further

improvement in fundamentals and liquidity among a broader set of issuers, and keep

default risk a non-issue through 2012. Certainly though, with the transition from

public to private sector demand seemingly incomplete, the arrival of a fresh set of

risks including Chinese tightening, sovereign/municipal fiscal woes, rising

commodity prices, persistent weakness in housing data, and rising US Treasury

yields bears watching. However to the extent any of these items place a governor on

growth, ironically, they would in fact be a welcome respite for high-yield, because

of the implications on Treasury yields. The US economy tracking at a pace not too

hot or too cold, would serve as a goldilocks scenario for high-yield credit.

Year-end spread and return targets: For high-yield bonds, we forecast year-end

2011 spreads and yields of T+515bp and 7.4%, respectively, and a full-year return

of slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread


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December 20101

tightening occurring in response to rising Treasury yields. For leveraged loans, we

forecast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with

the potential for stronger returns in 2H11 versus 1H11, as investors begin to

contemplate the Fed’s eventual exit strategy, raising the demand for floating rate

loans. For full-year 2011, we forecast a return for leveraged loans of 7.1%.

Positioning: In terms of bonds versus loans, the balance of risks to the near-term

rate outlook have shifted in light of the sharp 50bp rise in Treasury yields in the past

few weeks and the expectation QE will be completed through June. Thus, we prefer

bonds over loans in early 2011 given a comparably low current income component

for loans (4.1%), than for high-yield bonds (8.4%). However, we prefer loans over

bonds later in the year. Low fixed coupons across the bond market will eventually

become vulnerable to rising interest rates. But even before this event we expect

demand for loans, which carry a 5-6% yield that floats and sits senior in the capital

structure, to benefit from the dearth of alternatives available to protect a portfolio

against rising rates. This is expected to allow the spread between high-yield bonds

and loans to widen as the year progresses toward the long-term median, 178bp,

versus 101bp today.

By rating class we recommend investors Overweight CCC-rated credits, Market-

weight B-rated credits, and Underweight BB-rated credits. Spreads for BB, B, and

CCC-rated bonds are currently 437bp, 616bp, and 1025bp, respectively, and yields

are 6.2%, 7.8%, and 11.6%. Because we expect US GDP growth to exceed

consensus expectations, Treasury yields to gradually move higher, stocks to perform

well, capital market accessibility to broaden, default risk to stay negligible, and

high-yield bonds to provide coupon type returns, we believe a portfolio tiered

toward lower-rated/higher yielding issuers will likely outperform.

Defaults: High-yield bond and loan default rates are likely to end 2010 at roughly

1.0% and 2.0%, respectively, versus their long-term averages of 4.3% and 4.0%.

With market technicals strong leading into next year, 2011 and 2012 maturities

negligible ($180 billion combined), and US GDP growth expected to accelerate at a

modest pace next year (3.1% y/y), our 2011 default forecasts for high-yield bonds

and loans are 1.5% and 2.0%, respectively. Furthermore, we also believe that

liquidity needs for high-yield issuers will remain a non-issue through 2012. As

such, our 2012 default forecasts for high-yield bonds and loans are 2% and 3%,

respectively, both still below their long-term averages. For perspective, based on

current spreads of T+606bp for bonds and L+588bp for loans, implied default rates

are 5.4% and 8.7%, respectively. Conversely, based on our default forecasts, high-

yield bond and loan spreads should be T+390bp and L+355bp, respectively. In other

words, spreads are cheap versus default risk and economic and/or interest rate

surprises in 2011 stand a high chance of being absorbed at these levels.

Demand: An economy that muddles along at levels a notch above or below our

economists forecast (2.0-3.5% GDP per quarter,) would be a goldilocks scenario for

high-yield. Any prospective rise in rates would likely be capped and demand for

higher yielding credit would remain strong as investors continue to seek alternatives to

both higher beta markets such as equities and lower yielding fixed income products.

9


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December 2010 1

High-yield bond and loan spreads remain wide

0bp

300bp

600bp

900bp

1200bp

1500bp

1800bp

2100bp

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad

High yield

Leveraged loan

HY spread15-Dec-10T+582bp

Loan spread15-Dec-10L+574bp

Sources: J.P. Morgan; S&P/LCD.

Capital markets: We anticipate elevated bond volumes as well as the recent trend

toward extending credit to a broader set of issuers to continue in 2011. In addition,

we expect to see continued improvement in primary conditions for leveraged loan

issuers in 2011, after a better than three-fold increase in volume year-over-year in

2010. We forecast 2011 high-yield bond issuance of $235 billion, a slightly slower

pace of issuance activity year-over-year, but one still consistent with an extremely

active market for prospective issuers. For institutional leveraged loans, we forecast

2011 new-issuance of $160 billion, above this year’s pace of $140 billion. In other

words, issuance activity will remain very strong for leveraged credit issuers in 2011,

after historic conditions in 2010.

Maturity wall: Importantly, 58% of the $412 billion in bonds and loans issued this

year had been used for refinancing purposes. Including 2009’s issuance and amend

to extend activity, the amount of debt set to mature through 2014 has now been

reduced by $393 billion since the beginning of last year. As such, high-yield bond

and loan maturities over the next two years are negligible, with only $73 billion and

$108 billion coming due in 2011 and 2012. To put this into perspective, the market

has already priced $239 billion of refinancing related issuance across the bond and

loan market thus far in 2010. This provides a clear runway for issuers and investors

and is one of the factors behind our benign default outlook. Even so, focus in the

primary market over the next couple of years will continue to be directed toward

maturities between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans

still stand to come due ($503 billion bonds and $575 billion loans).

2011 growth and rate forecasts: ideal for higher yielding credit

Strong GDP growth in 2011: The economic forecast for 2011 looks for a gradual

acceleration in growth and hiring, sustained low core inflation, and a Fed that

continues on the course of LSAP to support the economy. In response to the recent

tax compromise reached between the Administration and Congress—which is

expected to sharply boost disposable income and consumption—our economists

raised their growth forecast in the first half of 2011. First quarter real disposable

income, which had been previously expected to contract at a 0.5% annualized pace,


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December 20101

is now expected to expand at a 4.5% rate. With consumer spending forecasted to

track at a 3.5% annualized pace in 1H11, our economists look for GDP to grow

3.75% in 1H11 (consensus 2.5%), and slow modestly to a pace of 3.25% in 2H11

(closely inline with consensus). With major adjustments to business and household

savings largely behind us, fiscal policy less of an obstacle, and the Fed still

supporting activity, the cyclical turn to above-trend growth is expected to finally

begin to take hold. Overall, our economists forecast GDP to expand 3.1% (y/y) in

2011 and 3.0% in 2012 (versus consensus of 2.5% and 3.0%), after growing 2.8%

in 2010.

Low inflation: Although our economists expect growth to rise materially above its

potential rate over the next two years, the US economy will still be operating with

considerable slack. The core PCE price index, the Fed’s preferred measure of

inflation, has slowed from 2.5% in the middle of 2008 to less than 1% at an annual

rate so far this year. The abundant slack in labor markets, real estate, and industrial

capacity that have brought lower inflation will remain with us for some time. While

the forecast does not call for outright deflation, core inflation is apt to remain below

1% through 2011 (0.7% y/y) and 2012 (0.9% y/y).

Only a slow decline in unemployment: Private sector payrolls are expected to

average 175,000 per month in 2011. However, this will not be sufficient to lift

operating rates meaningfully in an environment of sustained public sector cutbacks.

By the end of 2011, the US unemployment rate is expected to approach 9%, and is

unlikely to fall below 8% until sometime in 2013.

J.P. Morgan US economic forecasts

Source: J.P. Morgan.

%q/q %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011 2012

Real GDP 2.5% 3.5% 4.0% 3.5% 3.0% 2.8% 3.1% 3.0%Unemployment rate 9.7% 9.6% 9.4% 9.2% 9.0% 9.7% 9.3% 8.7%Core CPI 0.4% 0.6% 0.6% 0.7% 0.8% 1.0% 0.7% 0.9%

Contribution to real GDP growth (% pts)Domestic final sales 2.7% 3.3% 3.7% 4.1% 3.3% 1.9% 3.4% 3.1%Net exports 1.3% 0.5% 0.2% -0.3% -0.5% -0.6% -0.1% -0.2%Inventories -1.6% -0.3% 0.1% -0.3% 0.1% 1.4% -0.2% 0.0%ComponentsSavings rate 5.4% 5.7% 5.7% 5.4% 5.4% 5.7% 5.6% 5.2%Real disposable income 1.0% 4.5% 3.5% 3.0% 3.0% 1.3% 3.0% 2.3%Consumer spending 2.5% 3.5% 3.5% 4.0% 3.0% 1.7% 3.2% 2.7%Residential investment 5% 10% 20% 15% 10% -2.9% 6.7% 13.1%Housing starts 0.55 0.60 0.65 0.68 0.70 0.59 0.66 0.78Light vehicle sales (SAAR) 12.2 12.4 12.6 12.8 12.9 11.5 12.7 13.2

11


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December 2010 1

Housing activity has already collapsed: Housing starts and new home sales have

dropped to extraordinary low levels relative to history (less than a third of the

average between 1996-2006) , especially when adjusted for demographic growth.

Our economists forecast looks for another year of economic recovery and somewhat

stronger job gains to give a lift to home sales and to housing starts (660K in 2011

from 590K in 2010). Even so, inventories of unsold homes, including shadow

inventories, are still elevated and home prices are likely to remain stuck near current

levels. However, with the hit to growth from declines in homebuilding and layoffs in

the construction industry behind us, it is easier for the economy to grow.

Policy support to continue: It is now widely understood (our economists included)

the Fed would like inflation to be between 1.7% and 2.0%. For context, our

economists estimate US GDP growth would need to be 5.5% in 2011 for inflation to

return to 1.8% in the subsequent year, or US GDP would need to average 3.3%

through 2013. With a strong public desire to see fiscal consolidation, the low for

long mantra for monetary policy is expected to be left unchanged beyond next year.

In fact, an initial upward move in the Fed funds rate, or alternatively, a wind down

of assets taken onto the Fed’s balance sheet (the expected first step), is not expected

until late 2012, at the earliest. Furthermore, given the Fed needs a long period of

above trend growth to achieve its inflation objectives, a pickup in economic activity

is not expected to derail Fed purchases. However, because of the improved first half

outlook we no longer see the Fed increasing the amount of asset purchases after they

are currently set to expire in June. In a sense, although the forecast at the June

meeting will still feature very low inflation and very high unemployment for a long

time, the realization of above-trend growth in the first half will remove some of the

urgency felt last summer to give the economy a shot of adrenaline.


Time to 6% unemployment rate: If average real GDP growth, %ch saarEnd 2011 10.3%End 2012 6.2%End 2013 4.8%End 2014 4.2%End 2015 3.7%End 2016 3.5%End 2017 3.3%End 2018 3.1%

A high required growth rate for the USIf unemployment rate ends 2010 at 9.7%


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December 20101

Gradual rise in Treasury yields: To state the obvious, risks to Treasury yields for

next year are asymmetric. Even so, with the implementation phase of QE delivering

a shift in the ownership of US Treasuries from private hands into the Fed’s balance

sheet, we do not expect the recent sharp increase in Treasury yields to carryover into

1Q11. Nevertheless, even with core inflation expected to average less than 1% next

year and the Fed funds rate expected to remain unchanged, questions around fiscal

imbalances and an eventual exit by the Fed should cause investors to focus on

higher rates in 2011. This is why our rates team envisages a gradual pick-up in

Treasury yields. They forecast 2yr, 5yr, 10yr and 30yr yields today of 0.61%,

1.86%, 3.25%, and 4.46%, respectively, will rise to 0.95%, 2.40%, 3.45%, and

4.70% by year-end 2011. By quarter, Treasury yields will rally into early next year,

followed by a more significant increase during 2Q11 (5-year Treasury yield +45bp)

when our economists forecast GDP growth will peak at 4%. Aside from the

realignment of Treasury yields in 2Q11, the expected increase in yields would

appear to be manageable for high-yield investors because they are expected to be

accompanied by an improving fundamental backdrop.

Note: Represents required annualized GDP growth need to raise inflation to Fed’s implicit target by end of next year. In other words, ifthe US economy grows 3.3% per annum through 2013, the target is estimated to be reached by YE 2014.Source: J.P. Morgan.

Required GDP growth for successful reflationReach target by: US EMU Japan2011 5.5% 3.3% 4.5%2012 3.9% 2.3% 2.8%2013 3.3% 1.9% 2.2%

J.P. Morgan 2011 forecast 3.1% 1.6% 1.5%Potential growth 2.3% 1.3% 1.0%Target inflation 1.8% 1.8% 0.0%

Treasury yields are expected to rise


ChangeCurrent 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E curr./4Q11

Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.61% 0.50% 0.55% 0.75% 0.85% 0.95% + 34 bp5-yr Treasury 1.86% 1.40% 1.55% 2.00% 2.20% 2.40% + 54 bp10-yr Treasury 3.25% 2.50% 2.65% 3.00% 3.20% 3.45% + 20 bp30-yr Treasury 4.46% 3.85% 3.95% 4.25% 4.50% 4.70% + 24 bp

2s / 10s 2.64% 2.00% 2.10% 2.25% 2.35% 2.50% - 14 bp

13


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December 2010 1

Default risk will remain low in 2011 and 2012

With default volumes declining at a steady pace in 2010, high-yield bond and loan

default rates have now fallen for 12 consecutive months to 0.7% and 2.2% (ltm),

respectively. For perspective, these represent a fraction of the 4.3% and 4.0% long-

term average default rates for high-yield bonds and loans. Going forward, with

market technicals strong heading into next year, 2011 and 2012 maturities negligible

($180 billion combined), and US GDP growth expected to accelerate next year

(3.1% y/y), our 2011 default forecasts for high-yield bonds and loans are 1.5% and

2.0%, respectively. Additionally, for 2012, our default forecasts for high-yield bonds

and loans are 2% and 3%, respectively, both still below their long-term averages.

By way of example, if our 2011 default forecasts bear out, this would equal roughly

$15.0 billion of defaulted bonds and $11.9 billion of defaulted loans, or

alternatively, it would include every bond and loan priced below 62 cents on the

dollar today. For their part, the distressed ratios in the high-yield bond and loan

markets, defined as bonds trading at or below 50 cents and loans trading at or below

70 cents, are 0.3% and 3.4%, respectively. In support of our forecast, historically,

roughly half of the distressed volumes have defaulted over the next twelve months,

and as such, are also predicting very low default volumes in 2011.

Distressed high-yield bond debt remains negligible


Percent No. Avg. Change in volumeof Par ($bn) issuers price 1 mo. 6 mo. 12 mo.<= 25% 0.1 0.0% 1 11.5 -1.2 -1.4 -1.725% < par <= 50% 2.8 0.3% 6 40.2 -1.1 -1.8 -4.450% < par <= 70% 18.9 2.0% 17 61.6 0.4 -6.5 -14.870% < par <= 100% 255.3 26.5% 245 93.1 92.8 -169.0 -132.9> 100% 687.8 71.3% 655 105.1 -76.7 249.3 324.8Total 964.9 924 100.51 14.2 70.6 170.9

Institutional loans by price buckets


Percent No. Avg. Change in volumeof Par ($bn) issuers price 1 mo. 6 mo. 12 mo.$ < 60 7.1 1.7% 20 36.8 -1.2 -2.3 -8.460 <= $ < 70 7.2 1.7% 11 65.2 2.4 4.0 -9.870 <= $ < 80 41.2 9.7% 37 76.3 -1.7 -2.9 -25.580 <= $ < 90 48.3 11.4% 82 86.5 -3.6 -49.2 -88.490 <= $ < 100 247.6 58.3% 471 96.6 -12.1 -39.4 -37.7$ >= 100 73.3 17.3% 131 100.7 -1.6 59.4 53.6Total 424.7 752 92.6 -17.8 -30.6 -116.2

Default rates are expected to remain low through 2012

1.7%

9.1%8.0%

3.3%

0.9% 0.4%

2.3% 2.0%

6.6%

0.5%

3.9%

12.8%

2.0%3.0%

1.1%

4.1%5.0%

10.3%

0.8%1.5%

6.3% 6.0%

2.3%1.0%

0.2%1.5%

4.2%

1.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

1998

1999

2000

2001

2002

2003

2004

2006

2007

2008

2009

2010

2011

E

2012

E

Par-w

eighte

d defa

ult ra

tes

High-yield bond default rate

Loan default rate Long-term average default rateHigh-yield bonds: 4.3%Leveraged loans: 4.0%

Note: 2010 default rates represent the ltm numbers as of November.Source: J.P. Morgan.


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14



December 20101

Finally, importantly for the maturity wall, 58% of the $412 billion in bonds and

loans issued this year has been used for refinancing purposes. Including 2009’s

issuance and amend to extend activity, the amount of debt set to mature through

2014 has now been reduced by $393 billion since the beginning of last year. More

specifically, maturities for 2010, 2011, 2012, 2013 and 2014 have declined by

$57 billion, $64 billion, $90 billion, $127 billion and $55 billion, respectively. As

such, high-yield bond and loan maturities over the next two years are negligible,

with only $180 billion coming due in 2011 and 2012. To put this into perspective,

the market has already priced $239 billion of refinancing related issuance across the

bond and loan market thus far in 2010. Even so, focus in the primary market over

the next couple of years will continue to be directed toward maturities between 2013

and 2016, as $1.08 trillion of high-yield bonds and loans still stand to come due

($503 billion bonds and $575 billion loans). In particular, 2013 and 2014’s

$376 billion of institutional loans coming due equals 55% of all outstanding

institutional loans.

Default activity has remained low all year

54

2

44

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5

8

3

56

7

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1615

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1012141618

Dec-0

8

Jan-

09

Feb-

09

Mar-0

9

Apr-0

9

May-0

9

Jun-

09

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9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

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Mar-1

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defau

lts

Loan-only defaultsBond-and-loan defaultsBond-only defaults

Average number of defaultsLast 6 months = 3.56-months ending Dec 09 = 6.56-months ending May 09 = 14.3


51 52

77

122

167

137153

115

42

97 100

22

56

124

252

94106

31

1 0 0 00

50

100

150

200

250

300

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

or

later

High-yield bonds Institutional leveraged loans

-57 -64

-90

-127

-55

70

127116

245

-140

-105

-70

-35

0

35

70

105

140

175

210

245

2010 2011 2012 2013 2014 2015 2016 2017 2018 or

later

High-yield bond and loan maturities Change in maturities since year end 2008

Note: Maturity schedule as of November 9, 2010, while change is measured between December 31, 2008 and November 9, 2010.Sources: J.P. Morgan; Markit.

15


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Alisa Meyers (1-212) 834-9151

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December 2010 1

Spreads remain attractive

For high-yield bonds, we forecast year-end 2011 spreads and yields of T+515bp and

7.4%, respectively. We forecast a full-year 2011 return for high-yield bonds of

slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread

tightening occurring in response to rising Treasury yields. This would represent the

fourth time in the market’s relatively short history that returns have remained

roughly coupon or better for three consecutive years.

For leveraged loans, we forecast a year-end 2011 spread and yield of L+475bp and

5.0%, respectively, with the potential for stronger returns in 2H11 versus 1H11 as

investors begin to contemplate the Fed’s eventual exit strategy, raising the demand

for floating rate loans. This would contrast with bonds, where we see their strongest

return potential in the initial stages of 2011 as the reach for yield continues. In other

words, the current 101bp swap adjusted yield differential between bonds and loans

could hold through early 2011, but then widen in 2H11 toward the 177bp 13 year

average, as investors begin to place a higher premium on floating rate products later

in the year. In total, we forecast a full-year 2011 return for leveraged loans of 7.1%.

-39-25 -22 -28

8

41 45

86

245

-50

0

50

100

150

200

250

2010 2011 2012 2013 2014 2015 2016 2017 2018 or

later

-18

-64

30

-39

-68

-99

82

30

0

-110

-90

-70

-50

-30

-10

10

30

50

70

90

2010 2011 2012 2013 2014 2015 2016 2017 2018 or

later

Change in high-yield bond maturities since year end 2008 Change in leveraged loan maturities since year end 2008

Note: Change is measured between December 31, 2008 and November 9, 2010. Sources: J.P. Morgan; Markit.


Expected 2011 high-yield bond returnIncome component 8.4%Expected spread tightening (606bp - 515bp)

current - forecast -91bp

Expected rise in 5-yr Treasury rates (1.85% - 2.40%)current level - 2011 forecast +55bp

-36bpDuration x 3.93yrsPrice contribution +1.4%Expected total return 9.8%


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Alisa Meyers (1-212) 834-9151

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16

1North American High Yield Research


December 2010

For 2011, the outlook for credit fundamentals (low defaults), the US economy

(4 quarters of US GDP growth above 3%), and interest rates (2.4% YE 2011 5yr

Treasury yield) are consistent with tighter spreads. Valuations relative to risk free

rates and defaults helps to explain why. Based on current spreads of T+606bp for

bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respectively,

significantly higher than our forecasted 2011 default rates of 1.5% and 2.0%.

Conversely, based on our default forecasts, spreads for high-yield bonds and loans

should be T+390bp and L+355bp, respectively.

While spreads will probably not tighten to these levels over the next 12 months

given our Treasury and Libor rate forecasts next year (this would infer yields of

6.3% for high-yield bonds and 3.75% for leveraged loans), it highlights the

attractiveness of both markets relative to default risk. In other words, economic

and/or interest rate surprises stand a high chance of being absorbed at these spreads.

But let’s be clear, even a 7.72% yield for high-yield bonds and 6.19% yield for

loans, absent any further compression, look attractive in the current environment.

We presume investors will see it this way too, and thus, our base-case forecast for

2011 incorporates prices similar to current levels.


Expected 2011 leveraged loan return Income component 4.1%Current spread L+588bpTarget spread L+475bp

Price contribution 3.0%Expected total return 7.1%

What today’s high yield bond spread implies for future defaults


Actual spread Excess spread Default loss Par - Recov. rate Default rate606bp - 307bp = 299bp / (100% - 45%) = 5.4%

High yield spread estimate using our 1.5% default rate forecast Par - Recov. rate Default rate Default loss Excess spread Forecast

(100% - 45%) x 1.5% = 83bp + 307bp = 390bp

What today’s loan spread implies for future defaults


Actual spread Excess spread Default loss Recov. rate Default rate588bp - 285bp = 303bp / (100% - 65%) = 8.7%

Bank loan spread estimate using our 2.0% default rate forecast Par - Recov. rate Default rate Default loss Excess spread Forecast

(100% - 65%) x 2.0% = 70bp + 285bp = 355bp

17


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December 2010 1

In terms of bonds versus loans, we prefer bonds over loans in early 2011 given a

comparably low current income component for loans (4.1%), than for bonds (8.4%).

For perspective, these conditions led high-yield bond returns to outpace loan returns

in 2010. However, we prefer loans over bonds later in the year. Fixed rate coupons

will eventually become vulnerable to rising interest rates. But even before this event

(not expected to see Fed Funds or Libor rates increase next year) we expect demand

for loans, which carry a 5-6% yield that floats and sits senior in the capital structure,

will benefit from the dearth of alternatives available to protect a portfolio against

rising rates. Particularly as Treasury yields begin to rise more quickly beginning in

the second-quarter as growth trends pick up. In other words, while bonds should

outperform loans in early 2011, we expect more comparable returns in the second

half of next year as rate fears rise, increasing demand for loans and therefore

allowing prices to press higher, causing the spread between the two markets to

widen, moving more in-line with the long-term average of 178bp.

Prefer CCCs to Bs and BBs

Currently, BB, B, and CCC-rated bond spreads are 437bp, 616bp, and 1025bp,

respectively, and yields are 6.2%, 7.8%, and 11.6%. For 2011, because we expect

US GDP growth to exceed consensus expectations, Treasury yields to gradually

move higher, stocks to perform well, capital market accessibility to broaden, default

risk to stay negligible, and high-yield bonds to provide coupon type returns, we

believe a portfolio tiered toward lower-rated/higher yielding issuers will likely

outperform. Thus, we recommend investors Overweight CCC-rated credits, Market-

weight B-rated credits, and Underweight BB-rated credits.

Swap adjusted comparison of high-yield bond and loan yields

16-Dec-1098bp

30-Sep-02559bp

-600bp

-400bp

-200bp

0bp

200bp

400bp

600bp

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Diffe

renc

e in y

ields

13-year average = 177bp13-year median = 154bp

Sources: J.P. Morgan; S&P/LSTA

Yields for high yield are attractive


Emerging FNMAHigh Leveraged Investment Markets 2-year 5-year 10-year 30-yearYield Loans Grade Bond Yield Treasury Treasury Treasury Mortgage

7-Dec-10 7.72% 6.19% 4.72% 5.85% 0.54% 1.75% 3.16% 4.04%


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Alisa Meyers (1-212) 834-9151

[email protected]

18



December 20101

The biggest change to the outlook recently has been the upgrade to the 2011

economic growth forecast resulting from the tax compromise proposals. Specifically,

due to the implicit boost to disposable income, US GDP growth is now forecasted to

expand 3.75% in 1H11, versus 2.5% prior. With GDP growth forecasted to remain

above 3% for each of the next four quarters, we believe investors willingness to take

on risk in 2011 has improved. Furthermore, the implications stemming from our

macro forecast for capital market conditions and the recent trend toward extending

capital to lower-rated credits, and thus improving the liquidity outlook, are quite

supportive of current valuations. With yields on CCC-rated bonds currently 380bp

and 540bp higher than yields on B or BB-rated bonds, we would likely need to see a

sharp slowdown in economic growth and/or a spike in equity volatility to have

CCC-rated bond returns lag higher-rated credits in 2011.

Working in favor, CCC-rated bonds have the highest correlation to equity returns.

As it stands, valuations for the S&P 500 based on projected earnings are quite low,

the bias toward growth expectations has turned positive, and the path to EPS growth

over the next 12 months has rarely been smoother. It is J.P Morgan’s view that the

S&P 500 will end 2011 at 1425, providing an approximate 15% return, which should

have positive implications for CCC-rated bond returns. Conversely, the improved

willingness to take on risk in light of better economic conditions could also lead to a

more gradual rise in Treasury yields. This dynamic will work against BB-rated

bonds the most, and CCC and B-rated bonds are more insulated. The important

element necessary for this rating tier strategy to work is that the rise in Treasury

yields remains measured and orderly. While BB-rated bonds are likely to continue to

benefit from crossover demand, the yield give-up is likely to be too great given our

call for a 9.8% return in 2011.

Now, there is a strong argument to make that investors are not being appropriately

compensated for taking on the incremental macro, liquidity, and credit risk of CCC-

rated bonds, and therefore, a portfolio is best served today by positioning up in

credit quality, where spreads are still comparatively attractive. This is the argument

we have stressed since May, when we downgraded CCC-rated bonds in response to

the uncertain economic climate. Up until the recent rise in rates and stock prices, a

portfolio positioned up in ratings quality has been better served. With a host of

issues likely to continue to plague the markets in 2011, ranging from sovereign and

municipal fiscal concerns, to inflation/rate concerns, to geopolitical tensions, to an

engineered slowdown in China, we do believe there are plenty of risks associated

with CCC-rated bonds. Even so, because of the aforementioned background, we

expect high-yield bond prices to remain steady during the next 12 months leading

higher yielding credits to outperform.

19


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December 2010 1

Factors support demand for high yield

When we consider demand prospects for high yield in 2011, we consider expected

risks, returns, and opportunity costs. As for the risks, neither the economy nor

defaults are expected to present a headwind for the asset class in the next 12 months.

For the economy, monetary policy is accommodative and activity in cyclical

segments of the economy is already so depressed that renewed large scale declines

are unlikely (such as residential investment, car sales etc). Therefore, it is likely that

GDP growth in 2011 will remain positive, or otherwise, QE and government

intervention would expand. Meanwhile, default rates are expected to be at or below

half of their long-term average over each of the next two years, with downside

surprises in the economy not expected to meaningfully alter this view. Therefore

from the fundamental side of things, we do not expect demand for high-yield to

retrench unless GDP growth proves too cold (negative GDP and the implicit

negative impact on capital markets) or too hot (several consecutive quarters of +4%

GDP growth that sparks inflation/rate fears).

Retail flows into and out of high-yield bond and loan funds

1.9

(2.5)

3.02.0

(5.7)

0.9

3.9

1.5

4.4

2.3

(1.2)

0.9 0.8 1.0 1.50.1 0.3 0.3 0.4

1.3 1.1 1.60.50.7

(8.0)

(6.0)

(4.0)

(2.0)

0.0

2.0

4.0

6.0

8.0

Jan Feb Mar Apr May June Jul Aug Sep Oct Nov Dec

($bn

)

HY Bond Flows LL Fund Flows1H10: Retail flows into HY bond funds shift along with changes in market sentiment. European sovereign risks and an inability to create jobs domestically lead to sharp outflows from bonds funds in February and May. However, institutional demand for HY bonds stays relatively strong as yields across fixed income decline. Flows into leveraged loan funds remain comparatively steady.

2H10: Retail flows into HY bond funds surge amid improving growth trends, but more so, falling Treasury yields and declining inflation expectations. As rate fears begin to rise in November, outflows for high-yield funds pick up. Notably, flows into floating rate leveraged loan funds reach their highest level all year against this backdrop.

Source: Lipper FMI.

High-yield bond spreads


High Yield Inv.Grade BBB BB B CCC HY - IG BB - BBB B - BB CCC - B7-Dec-10 606bp 159bp 183bp 437bp 616bp 1025bp 448bp 255bp 179bp 409bpAll time low 263bp 74bp 74bp 173bp 251bp 466bp 176bp 69bp 58bp 210bp20 year median 529bp 101bp 194bp 341bp 527bp 1093bp 411bp 190bp 180bp 572bp

% above / below 20yr median 14.6% 57.4% -5.9% 28.2% 16.8% -6.2% 8.9% 34.0% -0.8% -28.4%

2003 median 679bp 123bp 180bp 420bp 620bp 1556bp 557bp 235bp 201bp 933bp2004 median 452bp 95bp 130bp 281bp 439bp 955bp 353bp 152bp 157bp 515bp2005 median 379bp 83bp 112bp 254bp 347bp 884bp 293bp 138bp 109bp 537bp2006 median 350bp 88bp 116bp 244bp 336bp 731bp 261bp 124bp 99bp 388bpMedian 2004-2006 374bp 90bp 118bp 252bp 352bp 853bp 286bp 132bp 115bp 491bp

% above / below 2004-2006 median 62.2% 76.6% 54.7% 73.5% 74.9% 20.2% 56.5% 93.6% 55.3% -16.6%


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[email protected]

20



December 20101

As for returns and opportunity costs, with high-yield spreads trailing the relative

drop in yields of more rate sensitive products, return opportunities are still attractive,

while opportunity costs within fixed income are low. For example, while yields of

various other fixed income asset classes reside near their all-time lows; high-grade

(4.72% versus 4.34% prior to 2010); 2 and 5-year Treasuries (2-yr 0.54% versus

0.66% and 5-yr 1.75% versus 1.55%); emerging market bonds (5.85% versus

6.45%); high yield bonds and loans stand above theirs, atop the yield hierarchy.

Ultimately, an active Fed purchase program, still historically low Treasury yields,

and a modest upturn in the economy support demand for high-yield bonds and

leveraged loans.

Furthermore, spreads of T+606bp and L+588bp for bonds and loans go a long way

toward protecting investors against rising defaults or rates. If Treasury yields head

higher as is currently the consensus belief by YE11, current spreads should absorb

the full rise in rates. From this base, a modest rise in interest rate expectations would

bode well for high-yield bonds, and would especially favor less rate sensitive

leveraged loans. When expectations for rate hikes increase, as they inevitably will,

high-yield bonds and loans relatively low correlation to government securities

should continue to make them attractive investment options.

For leveraged loans in particular, we think that prospects for stronger demand in

2011 are in place. Shades of this are already showing up in retail fund flow data, and

through conversations with various demand sources. Inflows into prime funds have

recently increased as a result of the sharp backup in Treasury yields. Meanwhile,

anecdotally, crossover demand from relative value players like hedge funds, high-

yield funds, multi-strategy managers, and even pension funds, endowments, and

other institutional investors has increased since yields across all fixed income

products declined several months ago. At the end of the day, a loan product offering

a 5-6% floating rate yield with collateral protection is likely to garner significant

attention in 2011.

Inflows into leveraged loan funds have been strong despite low rates

-1.1-1.2

-0.3-0.1

0.1 0.2

-0.1-0.2

-0.6-0.7

-0.3-0.2

0.2 0.30.1

0.4 0.5 0.50.3 0.2 0.1 0.1 0.1

0.4

0.9 0.81.0

1.5

0.10.3 0.3 0.4

1.31.1

1.6

0.1

-1.6-1.2-0.8-0.40.00.40.81.21.62.0

Jan-

08

Mar-0

8

May-0

8

Jul-0

8

Sep-

08

Nov-0

8

Jan-

09

Mar-0

9

May-0

9

Jul-0

9

Sep-

09

Nov-0

9

Jan-

10

Mar-1

0

May-1

0

Jul-1

0

Sep-

10

Nov-1

0

($bn

)

Sources: J.P. Morgan; Lipper FMI.

21


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Alisa Meyers (1-212) 834-9151

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December 2010 1

One element of our rates team forecast for next year is a rise in the spread between

10-and 2-year Treasuries to 250bp by year-end 2011, from 200bp by year-end 2010.

In fact high-yield mutual fund flows are actually quite strong during periods of

rising inflation expectations (see the chart below which compares the spread

between 10 and 2-year Treasuries versus fund flows into high-yield mutual funds).

More recently for example, the recent surge of inflows into the high-yield asset class

since mid-September coincided with a 30bp increase in the spread between 10 and

2-year Treasury yields in the wake of Bernanke’s speech in Jackson Hole.

Finally, with lower volatility and a higher position in the capital structure, many

investors have recognized “equity-like” returns can be achieved by including

corporate credit in their portfolios as a replacement for equities. Indeed, high-yield

credit over the past fifteen years has exhibited about half the volatility1 of the S&P

500, 7.7% versus 16.3%, while at the same time providing slightly higher annualized

Inflation expectations and high-yield mutual fund flows

(15)(10)

(5)05

101520253035

Jan-

85Ja

n-86

Jan-

87Ja

n-88

Jan-

89Ja

n-90

Jan-

91Ja

n-92

Jan-

93Ja

n-94

Jan-

95Ja

n-96

Jan-

97Ja

n-98

Jan-

99Ja

n-00

Jan-

01Ja

n-02

Jan-

03Ja

n-04

Jan-

05Ja

n-06

Jan-

07Ja

n-08

Jan-

09Ja

n-10

$ bn

-100bp-50bp0bp50bp100bp150bp200bp250bp300bp350bp

Spread

Annual inflows into high-yield mutual fundsSpread between 10- and 2-year Treasuries

.

Average spread= 83bp

Sources: J.P. Morgan; Lipper FMI

Correlation of high yield returns to Treasuries is low

Note: 15 years ended November 30, 2010.Source: J.P. Morgan.

LB JPMorgan JPMorgan Dow JonesAggregate JULI High- JPMorgan EMBI- World EM

5-year 10-year Bond Grade Global HY S&P Wilshire Russell Global Stock US Treasury Treasury Index Index Index 500 5000 2000 Composite Index Gold Inflation

10-year Treasury 0.94LB Aggregate Bond Index 0.85 0.90JPM JULI High-Grade Index 0.58 0.67 0.88JPM Global HY Index -0.24 -0.18 0.18 0.46S&P 500 -0.25 -0.19 0.02 0.22 0.60Wilshire 5000 -0.27 -0.21 0.00 0.21 0.62 0.99Russell 2000 -0.31 -0.25 -0.05 0.15 0.63 0.80 0.87JPM EMBI- Global Composite 0.05 0.12 0.31 0.45 0.58 0.57 0.58 0.54DJ World EM Stock Index -0.27 -0.23 -0.04 0.19 0.62 0.73 0.75 0.70 0.68Gold 0.21 0.21 0.25 0.24 0.13 -0.01 0.02 0.08 0.29 0.21US Inflation -0.16 -0.21 -0.15 -0.15 0.13 0.03 0.03 0.02 0.06 0.04 0.07Leveraged loans -0.38 -0.36 -0.03 0.23 0.80 0.41 0.42 0.43 0.29 0.42 0.02 0.32

1. Based on the standard deviation of monthly returns.


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22



December 20101

Risk-adjusted returns

Data as of November 30, 2010.Source: J.P. Morgan.

Average annual returns Average annual volatility Modified Sharpe Ratio1 year 3 year 5 year 10 year 15 year 1 year 3 year 5 year 10 year 15 year 1 year 3 year 5 year 10 year 15 year

Fixed Income5-year Treasury 6.64% 7.03% 6.12% 5.94% 7.09% 4.89% 4.70% 4.98% 4.62% 4.88% 1.36 1.50 1.23 1.28 1.4510-year Treasury 7.30% 6.85% 6.21% 5.89% 7.67% 8.75% 8.21% 8.15% 7.59% 7.58% 0.83 0.83 0.76 0.78 1.01JPMorgan MBS Bond Index 4.80% 6.82% 6.28% na na 2.78% 3.04% 2.93% na na 1.73 2.24 2.14 na naLB Aggregate Bond Index 6.04% 6.23% 6.15% 6.22% 7.64% 3.22% 3.58% 3.80% 3.66% 4.15% 1.88 1.74 1.62 1.70 1.84JPMorgan JULI High-Grade Index 8.96% 6.93% 7.22% 6.77% 8.33% 4.18% 6.94% 6.13% 5.58% 5.42% 2.14 1.00 1.18 1.21 1.54

JPMorgan Global HY Index 16.34% 8.72% 9.24% 7.62% 9.30% 6.95% 12.98% 10.43% 9.19% 8.44% 2.35 0.67 0.89 0.83 1.10S&P 500 9.94% 0.98% 0.81% 6.45% 9.85% 18.38%17.59% 16.25% 16.30% 15.82% 0.54 0.06 0.05 0.40 0.62Leveraged loans 11.99% 5.07% 5.15% 5.39% na 4.81% 11.02% 7.91% 6.50% na 2.49 0.46 0.65 0.83 na

US dollar global BB-rated 15.49% 8.74% 9.15% 8.40% na 5.88% 10.06% 8.02% 6.90% na 2.63 0.87 1.14 1.22 naUS dollar global B-rated 14.42% 6.12% 8.10% 6.86% na 6.63% 12.01% 10.01% 8.99% na 2.17 0.51 0.81 0.76 naUS dollar global CCC-rated 21.05% 9.25% 9.83% 6.21% na 10.77%22.01% 18.13% 16.41% na 1.96 0.42 0.54 0.38 naUS dollar global defaulted securities 27.04% 10.85% 11.62% 3.59% na 15.89%27.07% 20.84% 19.75% na 1.70 0.40 0.56 0.18 na

returns. This translates into a return per unit of risk for high yield of 0.84, more than

double that of the S&P 500, 0.41. Meanwhile, leveraged loans provide a similar

return per unit of risk compared to high yield, albeit exhibiting both lower

annualized returns and volatility. This is particularly the case for loans over the past

12 months (4.8% return volatility, above levels pre-credit crisis but below levels

during the crisis) after exiting a once in a lifetime technical rout at the height of the

credit crisis. An important takeaway is that high-yield’s correlation to equity returns

would remain high, and prices in both markets would move higher or lower together.

But with low default risk regardless of economic data, an 8.6% coupon would

cushion an investor’s return much as it has during past economic setbacks.2 Despite

outperforming equities by more than 4% this year, we still believe high yield is an

attractive way to play the upside of a continued economic recovery while also

protecting against the downside of earnings and volatility surprises (sovereign and

municipal woes, currency wars etc).

High-yield bonds remain excellent substitutes for equities

-6%

3%14%

59%

-27%

2%5%

44%

-6%

19%17%28%

12% 12%

-9% -12%

26%31% 29%

11% 5%

-37%

10%

-3%

8%

-22%

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1990

1991

1992

1993

2000

2001

2002

2003

2004

2005

2008

2009

YTD1

0

Annu

al tot

al re

turn

High-yield bonds S&P500


2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year 5 times. In all but 1990, high-yield hasoutperformed equities.

23


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[email protected]



December 2010 1

We anticipate elevated bond volumes as well as the recent trend toward extending

credit to a broader set of issuers to continue in 2011. In addition, we expect to see

improvement in primary conditions for leveraged loan issuers in 2011 after a better

than three fold increase in volume year-over-year in 2010. More specifically, we

forecast 2011 high-yield bond issuance of $235 billion, a slightly slower pace of

issuance activity year-over-year, but one still consistent with an extremely benign

backdrop for prospective issuers. For institutional leveraged loans, we forecast 2011

new-issuance of $160 billion, above this year’s pace of $140 billion. In other words,

issuance activity will remain very strong for leveraged credit issuers in 2011.

Monthly high-yield bond issuance had never topped $30 billion prior to 2010

5.9 4.72.7

11.1

26.5

17.514.4

11.7

26.0

20.4 19.5 20.4 20.1

40.5

34.2

6.9 7.2

16.5

33.136.1

34.3 32.3

11.3

16.2

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

Jan-

09

Feb-

09

Mar-0

9

Apr-0

9

May-0

9

Jun-

09

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Dec-1

0

$ bn


Capital market conditions for high yield issuers should remain robust in 2011

126151

100

47

9568

152181

300

184

325

388

72

235

53

148149106

158 160135

38

154

9058

3444605728

0.050.0

100.0150.0200.0250.0300.0350.0400.0450.0

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E

New-

issue

volum

e ($b

n)

High-yield new-issue volume

Institutional leveraged loan new-issue volume


Supply to remain elevated in 2011

With rates accommodative, corporate fundamentals healthy, and demand for high-

yield credit strong, 2010 has experienced a sharp year-over-year increase in volume

for both high-yield bonds and loans. For bonds, November was the fourth

consecutive month of issuance in excess of $30 billion and sixth such month this

year. As such, high-yield bond issuance totals $289 billion YTD, a record and 60%

higher than the previous record of $181 billion last year. Meanwhile, $130 billion of

institutional loan volume YTD is also a post credit crisis high and is greater than

full-year volume from 2008 and 2009 combined.


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

24



December 20101

In terms of trends, we expect lower-rated bonds to make up closer to 25% of next

year’s bond volumes as the new-issue cycle further matures, after encompassing

18% of 2010 volume. This shift toward extending credit to lower-rated issuers has

been evident since October, where 27% of 4QTD activity has been rated Split B or

lower. Nevertheless, we expect lower rated activity to continue to be directed almost

exclusively toward refinancing and extending maturities, rather than the leverage

enhancing deals of the prior new-issue cycle, ultimately a positive for the future

liquidity/default outlook. Additionally, bond for loan issuance should continue

apace. There have been roughly $65 billion of such transactions in 2010, after

$44 billion in 2009. While demand for loans will get stronger in 2011 as investors

remain attracted to the floating rate feature and low default risk, the sheer amount

of loan debt coming due in 2013 and 2014 will likely require a high level of

participation from bond issuance. Expect similar numbers in 2011. Finally, in terms

of net new volumes (gross issuance minus redemptions), we expect roughly $150

billion of net new issuance of high-yield bonds (close to this year, as gross volume

falls but proceeds broaden and bond-for-loan takeouts continue apace) and a modest

$15 billion net new issuance of leveraged loans (versus slightly negative to flat net

volumes in 2010 due to elevated pay-down activity).

Performance review

25



December 2010

2


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Tony Linares (1-212) 270-3285

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Nelson R. Jantzen (1-212) 270-1169

[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

26



December 2010

22010 performance highlights

• Year to date through November 30, the J.P. Morgan Global High-Yield Index

returned +12.9%, outperforming the 10-year Treasury (+12.8%), investment-grade

corporate bonds (+10.0%), emerging market corporate bonds (+12.4%), leveraged

loans (+8.8%), and the S&P 500 (+7.9%).

• The average spread on the J.P. Morgan Global High Yield Index decreased 13bp

to 644bp. The average yield of the high-yield market decreased 110bp to 7.91%.

Meanwhile, the yield on the 5-year and 10-year Treasuries decreased 121bp and

104bp to 1.47% and 2.80%, respectively.

• CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned

+11. 9%, and BB-rated bonds, which returned +12.8%.

• All of the 23 industries in the J.P. Morgan Global High-Yield Index provided

investors with positive returns in 2010. The best performing sector was Financial

(19.2%), followed by Broadcasting (18.8%). Other sectors that performed well

were Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%,

respectively).

• High-yield volatility decreased significantly in 2010, evidenced by the J.P.

Morgan Global High-Yield Index’s average daily eight-month price change, which

decreased from 5.45 at year-end 2009 to 2.69 as of November 30.

• Momentum, as measured by the advance/decline ratio for the J.P. Morgan Global

High-Yield Index, remained high. Essentially, for every bond in the index whose

price decreased from December 2009 to November 30, four bonds had price

increases.

• Through November 30, 600 new deals priced for a record-high $277 billion, fol-

lowing last year’s full-year total of 408 issues and $181 billion.

• Following inflows of $31.9 billion and $3.4 billion last year, high-yield bond and

bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 2010.

• Default activity declined in 2010, following last year’s record-high volume.

Through November 30, 41 companies defaulted, affecting a combined $19 billion

in bonds and loans, compared with 120 defaults and a record-high $185 billion in

full-year 2009. The high-yield bond par-weighted bond default rate decreased to

0.74% from 10.27%, while, the default rate for loans decreased to 2.18% from

12.78%.

• Credit conditions remained strong throughout 2010, as upgrades outnumbered

downgrades in each of the year’s first 11 months and 15 consecutive months dat-

ing back to September. Overall there were 349 upgrades totaling $334 billion of

bonds, compared with 241 downgrades totaling $197 billion, which equates to an

upgrade-to-downgrade ratio by issuer of 1.45:1.

27



December 2010

2


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Tony Linares (1-212) 270-3285

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[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

1. 4Q10 and 2010 returns are through November 30.Source: J.P. Morgan.

Returns of various assets

2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q101 20101

JPMorgan Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%Leveraged loans 1.91% 9.97% 5.17% 5.08% 6.77% 2.00% -29.10% 51.62% 4.64% -1.27% 3.31% 1.90% 8.76%JPMorgan JULI 10.98% 7.86% 5.28% 1.68% 4.29% 5.34% -1.84% 16.72% 2.28% 3.75% 4.55% -0.87% 9.98%10 Year Tsy 14.63% 1.73% 4.68% 1.93% 1.44% 9.76% 20.22% -8.76% 0.99% 8.48% 4.65% -1.60% 12.81%EMBI-Global 13.12% 25.66% 11.73% 10.73% 9.88% 5.86% -10.91% 28.18% 4.16% 1.16% 8.33% -1.52% 12.41%S&P 500 -22.10% 28.69% 10.87% 4.93% 15.80% 5.49% -37.00% 26.46% 5.39% -11.43% 11.29% 3.82% 7.86%Russell 2000 -22.01% 47.29% 18.45% 4.63% 18.44% -1.56% -33.49% 27.18% 8.85% -9.92% 11.29% 7.70% 17.53%FTSE 100 -21.95% 18.39% 11.64% 21.28% 14.89% 7.59% -27.99% 27.90% 6.09% -12.40% 13.86% 0.14% 5.96%MSCI Europe -17.44% 39.64% 21.66% 10.83% 34.54% 15.75% -47.34% 78.58% 2.34% -8.28% 18.10% 0.21% 11.10%EM stocks -11.14% 45.88% 24.38% 26.03% 26.15% 28.79% -51.64% 77.69% 2.04% -8.31% 17.93% 0.07% 10.41%CDX HY -7.52% 15.04% 2.86% 4.75% 8.67% -2.49% -12.45% 19.47% 1.12% -2.54% 6.17% 2.02% 6.75%LCDX - - - - - - -17.28% 27.31% 2.46% -2.02% 3.82% 0.66% 4.91%

2010: year in review

Modest economic growth, improving corporate conditions, strong retail inflows,

accommodative primary market conditions, and a sharp decline in default activity

led to a strong 12.9% total return for high-yield bonds in 2010 (through November

30). By comparison, the leveraged loan market, as measured by the S&P/LSTA

Leveraged Loan Index, returned +8.8, the S&P 500 returned +7.9%, the Russell

2000 returned 17.5%, investment-grade bonds, as measured by the J.P. Morgan JULI

High-Grade Index returned +10.0%, the 5-year and 10-year Treasuries returned

+9.6% and 12.8%, respectively, and emerging market bonds, measured by the J.P.

Morgan Emerging Market Global Bond Index, returned +12.4%.

After a very strong start to the year (+2.2% during first 9 trading days), a host of

headlines overshadowed an otherwise strong corporate earnings period, and led to a

difficult landscape for investors. Specifically, fiscal challenges faced abroad by

Greece and challenges domestically generating job growth, coupled with China

reigning in lending, led to weaker prices for risky assets in the final two weeks of

January. This led to a series of outflows from high-yield bond funds, a halt to the

record pace of new-issuance, and the most significant sell-off since March 2009. In

the 4-week period ending February 12th, high-yield bonds returned -2.4%, pushing

into negative territory on a YTD basis (-0.3%).

This correction soon passed. An improving growth backdrop, a benign inflationary

environment, and few higher yielding alternatives proved to be an ideal backdrop for

high yield, not only in terms of performance (high-yield bonds returned 7.4% from

mid February through April), but also for new-issuance. Specifically, March’s $40.5

billion of new-deal volume easily topped the previous record month, $29.3 billion in

November 2006, while the $34.2 billion in April became the second largest month of

activity. By the end of April, high-yield bonds had posted a total return of 7.1% and

new issuance totaled $111 billion.

28



December 2010

2


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

[email protected]

High yield’s cumulative performance year to date


25-May +2.54%

30-Apr +7.12%

9-Nov +15.33%

12-Feb -0.29%

-2.0%0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%16.0%

31-D

ec

15-Ja

n

1-Fe

b

16-F

eb

2-Ma

r

16-M

ar

30-M

ar

14-A

pr

28-A

pr

12-M

ay

26-M

ay

10-Ju

n

24-Ju

n

9-Ju

l

23-Ju

l

6-Au

g

20-A

ug

3-Se

p

20-S

ep

4-Oc

t

19-O

ct

2-No

v

17-N

ov

High

-yield

cumu

lative

total

retur

n

30-Nov +12.92%

Plaguing markets in May were a laundry list of issues which taken collectively rep-

resented a significant uncertainty with strong implications for the global economic

recovery. Chiefly among them were worries around European sovereigns, the poten-

tial effects on global GDP growth stemming from European fiscal austerity meas-

ures, uncertainty regarding financial regulatory reform, China engineering a slow-

down, renewed geopolitical concerns with respect to the Korean peninsula, and an

unprecedented oil spill off the Gulf coast. Without any resolution or strong visibility

on any of these topics, market volatility surged, with high-yield credit in tow. In par-

ticular during the month, the VIX reached a 14-month high, the 2-year Treasury

yield approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly

decline for stocks since February 2009. High yield suffered in concert, with the asset

class returning -3.4%, while also experiencing its worst bout of retail outflows on

record ($5.7 billion), and a sharp slowdown in new-issue activity, as only $6.9 bil-

lion priced, the lightest monthly volume for bond issuance since March 2009.

Amidst declining volatility, strong corporate earnings, and a benign default back-

drop, high-yield bonds generally performed well over the remainder of the year.

Specifically, the VIX declined from its peak of 36.57 in early June to a low of 18.04

in mid-November. New-issue activity surged, with $160 billion pricing between

June and November, including four consecutive months of more than $30 billion (a

feat never achieved prior to 2010). Default activity remained low, with only 14 com-

panies defaulting on $6.6 billion. Ultimately, risk appetites remained healthy and the

reach for yield continued. High-yield mutual funds reported inflows in all but

November, for a net inflow of $11.8 billion during the six-month period. And the

market provided a 9.1% total return, while the S&P returned 9.5%, both outperform-

ing institutional bank loans (4.8%), investment-grade bonds (5.8%), and the 10-year

Treasury (6.3%).

29



December 2010

2


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Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]


Returns of J.P. Morgan high-yield indices

2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q101 20101

JPM Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%JPM US$ European HY Index -19.68% 37.66% 14.72% 7.12% 10.68% 3.70% -30.17% 69.31% 5.49% -0.99% 7.80% 1.49% 14.27%JPM Euro HY Index -8.60% 20.37% 14.02% 4.61% 9.66% -1.35% -34.86% 73.44% 7.66% -2.00% 6.62% -0.14% 12.33%JPM Sterling HY Index -12.06% 23.94% 22.73% 4.25% 12.32% 0.68% -19.80% 45.31% 7.16% -0.17% 7.53% 0.10% 15.14%JPM European Currency HY Index -9.41% 20.84% 15.32% 4.57% 9.25% -0.74% -31.35% 68.42% 7.38% -1.80% 6.82% -0.09% 12.53%JPM European Aggregate HY Index -13.75% 27.30% 14.99% 5.26% 9.60% 0.37% -31.73% 70.20% 6.99% -1.54% 7.02% 0.25% 13.02%JPM Domestic HY Index 3.20% 26.80% 11.10% 2.42% 11.56% 2.58% -26.55% 58.18% 4.56% 0.20% 6.08% 1.33% 12.62%JPM International HY Index -7.41% 33.94% 15.55% 8.19% 10.64% 5.33% -29.22% 65.20% 5.86% -0.78% 8.05% 1.28% 14.94%JPM Asian HY Index 21.37% 20.49% 13.10% 9.23% 8.27% 8.41% -28.95% 65.44% 7.68% -0.51% 9.36% -0.74% 16.29%JPM Latin American HY Index -4.19% 37.74% 19.57% 9.36% 11.88% 5.39% -21.55% 38.87% 4.66% -0.09% 7.05% 1.27% 13.36%JPM Developed Market HY Index 1.98% 27.47% 11.25% 2.62% 11.58% 2.69% -26.80% 58.76% 4.58% 0.11% 6.23% 1.39% 12.76%JPM Emerging Market HY Index 5.08% 27.66% 16.43% 9.70% 9.69% 6.29% -27.22% 61.96% 7.01% -0.57% 7.79% 0.48% 15.24%

By rating, performance was somewhat bifurcated, as lower rated bonds outper-

formed higher rated bonds, illustrating investors’ strong bid for yield. Specifically,

CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned

+11. 9%, and BB-rated bonds, which returned +12.8%.

J.P. Morgan Global High-Yield Index20101 total returns by rating

1. Through November 30, 2010.Source: J.P. Morgan.

17.0%15.7%

12.9% 12.8% 12.1% 11.9% 11.9%10.5%

0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%16.0%18.0%20.0%

Not rated CCC JPMorganGlobal HY

Index

BB Split BBB B Split BB Split B

All of the 21 industries in the J.P. Morgan Global High-Yield Index provided

investors with positive returns in 2010. The best performing sector was Financial

(19.2%), followed by Broadcasting (18.8%). Other sectors that performed well were

Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%, respective-

ly). Amongst the worst performing sectors were Utility (+4.37%), Retail (+9.55%),

Paper & Packaging (+10.76%), Telecommunications (+10.79%), and Services

(+10.97%).

30



December 2010

2


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]


J.P. Morgan Global High-Yield Index performance by sector

2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q10 20101

Cyclical 8.57% 22.54% 12.12% 1.41% 11.92% 0.99% -30.77% 66.27% 5.84% -0.10% 6.36% 1.68% 14.34%Defensive -5.67% 34.39% 10.71% 4.43% 11.76% 4.57% -22.32% 51.61% 3.27% 0.59% 6.05% 0.85% 11.11%Energy 7.40% 22.96% 13.06% 6.07% 6.72% 5.85% -26.21% 55.19% 3.79% -0.61% 7.15% 1.02% 11.66%Upper Tier (Split BBB, BB) 6.27% 18.03% 9.33% 3.09% 8.49% 3.33% -16.40% 42.85% 3.98% 0.86% 6.69% 0.61% 12.58%Middle Tier (Split BB, B, Split B) 3.84% 25.96% 11.11% 3.83% 10.76% 3.67% -28.80% 49.27% 3.67% -0.01% 6.30% 1.36% 11.67%Lower Tier (CCC, Default) -12.29% 56.55% 18.21% -1.11% 22.80% -1.09% -47.64% 118.66% 8.83% -1.36% 5.85% 2.84% 16.85%Cash 3.56% 25.37% 11.24% 3.07% 10.71% 2.98% -26.37% 54.77% 4.44% 0.25% 6.36% 1.22% 12.71%Deferred -11.49% 74.38% 18.50% 1.56% 20.67% 7.49% -39.88% 165.33% 3.15% -2.25% 8.31% 3.79% 13.35%Default -10.24% 59.87% 16.36% 4.91% 35.86% -10.40% -59.56% 179.79% 17.91% -5.22% 2.71% 4.26% 19.67%3 - 4 yr Duration 5.98% 30.80% 10.60% 2.73% 11.00% 2.44% -33.87% 68.45% 5.13% -0.25% 6.89% 1.50% 13.77%5 - 6 yr Duration -0.38% 27.04% 12.62% 2.54% 12.19% 3.20% -17.33% 54.98% 4.80% -0.53% 7.78% 1.39% 13.92%7 - 10 yr Duration -4.15% 51.96% 15.48% 5.31% 13.52% 4.38% -24.24% 75.29% 3.35% 3.05% 8.92% 0.22% 16.26%$0 mn to $100 mn 7.27% 20.19% 14.90% 3.74% 14.10% 5.87% -25.11% 42.98% 6.39% 3.33% 5.10% 2.25% 18.15%$101 mn to $299 mn 6.78% 23.56% 11.98% 4.22% 11.09% 3.84% -25.31% 54.29% 5.46% 1.17% 4.85% 2.25% 14.37%$300 mn and over -1.97% 30.53% 11.12% 2.51% 11.51% 2.48% -27.18% 60.35% 4.53% -0.19% 6.68% 1.13% 12.56%Senior Secured 3.70% 27.38% 13.52% 5.00% 13.46% 3.39% -29.80% 47.29% 4.53% -0.40% 6.28% 2.14% 13.02%Senior 0.76% 28.87% 11.12% 2.76% 11.09% 2.88% -26.29% 59.28% 4.77% 0.15% 6.51% 1.01% 12.89%Senior Subordinate 7.85% 20.85% 11.15% 3.07% 10.70% 2.12% -27.02% 62.77% 4.32% 0.38% 5.42% 1.38% 11.92%Junior Subordinate -19.43% 73.67% 18.35% 3.38% 20.12% 5.78% -34.28% 93.49% 6.72% 2.08% 6.89% 0.13% 16.60%JPMorgan Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%

J.P. Morgan Global High-Yield Index20101 total returns by industry

18.2%

15.7%14.0% 14.0% 13.6% 13.1% 12.8% 12.7% 12.6% 12.0% 11.8% 11.7% 11.3% 11.0% 10.8%

9.6%

4.4%

18.8%

10.8%

12.9%

18.7%19.2%

0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%16.0%18.0%20.0%22.0%

Fina

ncial

Broa

dcas

ting

Tran

spor

tation

Chem

icals

Autom

otive

Indus

trials

Gami

ng Lo

dging

and

Leisu

re

Cable

and S

atellit

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Metal

s and

Mini

ng

JPMo

rgan

Glob

al HY

Index

Dive

rsifie

d Med

ia

Food

and B

ever

ages

Hous

ing

Tech

nolog

y

Cons

umer

Pro

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gy

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31



December 2010

2


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

2009

Sources: J.P. Morgan; Lipper FMI.

1Q09 2Q09 3Q09 4Q09 2009Treasury change 44bp 84bp -21bp 53bp 159bpAdvance/decline 1.6x 8.4x 17.4x 5.8x 13.4xReturn 6.07% 22.47% 15.08% 6.29% 58.90%Spread change (- tightened) (+ widened) -201bp -512bp -240bp -121bp -1074bpNew-issue volume ($ mn) 13,377 55,040 52,033 60,300 180,749Mutual fund cash flows ($ mn) 8,946 11,073 6,292 5,546 31,856

High-yield performance drivers 20101

1. Through November 30, 2010.Sources: J.P. Morgan; Lipper FMI.

1Q10 2Q10 3Q10 4Q101 20101

Treasury change -1bp -88bp -44bp 28bp 104bpAdvance/decline 4.2x 0.4x 8.1x 1.1x 4.0xReturn 4.72% 0.08% 6.34% 1.32% 12.92%Spread change (- tightened) (+ widened) -49bp 121bp -70bp -15bp -13bpNew-issue volume ($ mn) 76,798 48,227 85,696 66,606 277,327Mutual fund cash flows ($ mn) 2,386 -2,808 9,757 1,727 11,061

Spreads

While the average spread on the J.P. Morgan Global High Yield Index decreased

13bp to a 644bp during the year, it fluctuated 163bp between a high of 737bp and a

low of 574bp. At current levels, spreads remain 9.10% above their long-term aver-

age of 591bp. The average yield of the high-yield market decreased 110bp to 7.91%,

while yields on the 5- and 10-year Treasuries decreased 121bp and 104bp to 1.47%

and 2.80%, respectively.

Average spread to worst in the high-yield market1

1. Only US dollar-denominated corporate bonds are included.Source: J.P. Morgan.

16-Dec-08 1925bp

Oct-02 1061bp

May-07 269bp

Dec-90 1096bp

200bp400bp600bp800bp

1000bp1200bp1400bp1600bp1800bp2000bp2200bp

Jan-

87

Jan-

88

Jan-

89

Jan-

90

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Dec-0

8

Dec-0

9

Spre

ad to

Wor

st

Long-term average (1987 - 2010)= 591bp

Nov-10 644bp


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]

32



December 2010

2Historical yield curves


0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%

3 Mon

th

Yield

31-Dec-0930-Nov-10

30 Y

ear

2010 change in yields: 2-year -68bp 5-year -121bp 10-year -104bp

5 Yea

r

10 Y

ear

1 Yea

r

Premium to Treasury and spread to worst


30-Nov-10644bp

30-Nov-10 230.59%

0bp200bp400bp600bp800bp

1000bp1200bp1400bp1600bp1800bp2000bp

Jan-

87Ja

n-88

Jan-

89Ja

n-90

Jan-

91Ja

n-92

Jan-

93Ja

n-94

Jan-

95Ja

n-96

Jan-

97Ja

n-98

Jan-

99Ja

n-00

Jan-

01Ja

n-02

Jan-

03Ja

n-04

Jan-

05Ja

n-06

Jan-

07Ja

n-08

Jan-

09Ja

n-10

Spre

ad to

wor

st

0.0%

100.0%

200.0%

300.0%

400.0%

500.0%

600.0%

700.0%

800.0%

Premium to Treasury

Spread to worst Premium to Treasury

In 2010, spreads for all rating categories increased year over year, led by single-Bs,

which increased 26bp to 655bp. The average spread of double-Bs increased 13bp to

472bp, while the average spread of triple-Cs ticked up 7bp to 1088bp. As of

November 30, both BB-rated and B-rated bonds traded wide to their long-term aver-

ages, 30.2% above 363bp and 13.8% above 575bp, respectively, while CCC-rated

bonds traded 12.1% inside their long-term average of 1237bp. As of November 30,

the differential in yield to worst between BB-rated bonds (6.36%) and B-rated bonds

(7.98%) was 162bp, up 29bp from 132bp at the start of the year, and below to its

long-term historical average of 212bp. The difference in yields between B-rated

bonds (7.98%) and CCC-rated bonds (12.14%) was 416bp, down from 479bp at the

end of 2009, and below its historical average of 691bp.

33


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December 2010

2

JPMorgan CCC/Global HY Split

Index Split BBB BB Split BB B Split B CCC30-Dec-94 408bp 212bp 270bp 343bp 450bp 738bp 1051bp29-Dec-95 472bp 184bp 306bp 394bp 562bp 769bp 1013bp31-Dec-96 339bp 129bp 214bp 281bp 382bp 573bp 1123bp31-Dec-97 351bp 137bp 229bp 288bp 367bp 538bp 926bp31-Dec-98 631bp 319bp 375bp 518bp 615bp 939bp 1503bp31-Dec-99 538bp 263bp 300bp 429bp 483bp 976bp 1452bp29-Dec-00 942bp 409bp 451bp 881bp 900bp 1779bp 2484bp31-Dec-01 861bp 344bp 471bp 655bp 733bp 1445bp 2351bp31-Dec-02 958bp 442bp 591bp 720bp 858bp 1487bp 2368bp31-Dec-03 484bp 217bp 292bp 369bp 462bp 734bp 1033bp31-Dec-04 344bp 170bp 210bp 254bp 328bp 490bp 718bp30-Dec-05 378bp 252bp 256bp 243bp 356bp 526bp 822bp29-Dec-06 317bp 158bp 206bp 234bp 313bp 409bp 606bp31-Dec-07 589bp 314bp 444bp 443bp 565bp 734bp 969bp31-Dec-08 1731bp 1024bp 1182bp 1346bp 1698bp 2086bp 3139bp31-Dec-09 657bp 384bp 459bp 550bp 629bp 812bp 1082bp30-Nov-10 644bp 383bp 472bp 548bp 655bp 823bp 1088bpSpread change1Q10 -49bp -42bp -33bp -43bp -23bp -46bp -96bp2Q10 121bp 92bp 109bp 99bp 130bp 146bp 169bp3Q10 -70bp -47bp -60bp -66bp -58bp -80bp -33bp4Q101 -15bp -4bp -4bp 7bp -24bp -10bp -34bp20101 -13bp -2bp 13bp -2bp 26bp 10bp 7bp

Spreads in the high-yield market


Spread to worst by rating


0 bp

600 bp

1200 bp

1800 bp

2400 bp

3000 bp

3600 bp

Jan-

87

Jan-

88

Jan-

89

Jan-

90

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad to

wor

st

BB spread to worstB spread to worstCCC spread to worst


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34



December 2010

2

Spread between issues rated BB and B


30-Nov-10 162bp0bp

100bp

200bp

300bp

400bp

500bp

600bp

Jan-

89

Jan-

90

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad di

ffere

nce i

n yiel

ds

Average= 213bpMedian= 184bp

Spread between issues rated BBB and BB


30-Nov-10 156bp

0 bp

100 bp

200 bp

300 bp

400 bp

500 bp

600 bp

Jan-

89

Jan-

90

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad di

ffere

nce i

n yiel

ds


Spread between issues rated B and CCC


30-Nov-10 416bp0 bp

250 bp

500 bp

750 bp

1000 bp

1250 bp

1500 bp

1750 bp

2000 bp

Jan-

89

Jan-

90

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad di

ffere

nce i

n yiel

ds


35


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December 2010

2By industry, eleven of the twenty one industries in the J.P. Morgan Global HY Index

tightened year to date, led by Financial (-172bp), Transportation (-115bp), and

Broadcasting (-115bp). Meanwhile, Technology (+60bp), Utility (+56bp) and

Telecommunications (+45bp) all experienced the greatest y/y increase in spreads. As

of November 30, all of the 21 industries that comprise the index traded inside of

800bp, but wide of 500bp. Diversified Media sector had the highest spread for any

industry (800bp), while Chemicals, at 534bp, was lowest spread for any industry.

1. 4Q10 and 2010 data is through November 30.Source: J.P. Morgan.

Spreads in the high-yield market

Spread Change30-Dec-05 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 30-Nov-10 1Q10 2Q10 3Q10 4Q101 20101

Automotive 649bp 382bp 658bp 2740bp 607bp 565bp -66bp 96bp -119bp 48bp -42bpBroadcasting 337bp 329bp 625bp 3414bp 860bp 745bp -52bp 109bp -101bp -70bp -115bpCable and Satellite 456bp 367bp 627bp 1747bp 619bp 641bp -4bp 129bp -116bp 13bp 22bpChemicals 305bp 296bp 498bp 1942bp 601bp 534bp -68bp 116bp -92bp -23bp -67bpConsumer Products 589bp 373bp 668bp 2006bp 721bp 635bp -108bp 86bp -20bp -44bp -87bpDiversified Media 409bp 348bp 827bp 3113bp 866bp 800bp -62bp 115bp -53bp -66bp -66bpEnergy 244bp 264bp 446bp 1468bp 596bp 609bp -16bp 146bp -83bp -34bp 13bpFinancial 442bp 216bp 791bp 2165bp 799bp 627bp -164bp 79bp -74bp -13bp -172bpFood and Beverages 428bp 353bp 608bp 1646bp 620bp 638bp -81bp 129bp -37bp 7bp 18bpGaming Lodging and Leisure 289bp 290bp 603bp 2340bp 771bp 741bp -51bp 99bp -17bp -61bp -30bpHealthcare 324bp 342bp 538bp 1237bp 607bp 602bp -33bp 88bp -54bp -6bp -5bpHousing 440bp 386bp 1038bp 2108bp 682bp 699bp -70bp 167bp -66bp -14bp 17bpIndustrials 439bp 350bp 565bp 1428bp 645bp 598bp -47bp 88bp -44bp -43bp -47bpMetals and Mining 324bp 292bp 454bp 1529bp 551bp 569bp -83bp 136bp -82bp 46bp 18bpPaper and Packaging 484bp 392bp 660bp 1794bp 624bp 655bp -42bp 122bp -1bp -47bp 31bpRetail 412bp 331bp 629bp 1714bp 621bp 600bp -41bp 126bp -106bp 0bp -21bpServices 431bp 368bp 633bp 1748bp 727bp 756bp -12bp 136bp -72bp -22bp 29bpTechnology 317bp 319bp 560bp 2152bp 708bp 768bp -40bp 214bp -101bp -14bp 60bpTelecommunications 320bp 259bp 494bp 1258bp 578bp 623bp -18bp 129bp -62bp -4bp 45bpTransportation 364bp 342bp 595bp 1932bp 737bp 621bp -135bp 140bp -98bp -22bp -115bp Utility 220bp 209bp 425bp 1032bp 642bp 698bp 72bp 62bp -79bp 0bp 56bpJPMorgan Global HY Index 378bp 317bp 589bp 1731bp 657bp 644bp -49bp 121bp -70bp -15bp -13bp

Volatility

High-yield volatility decreased significantly in 2010, evidenced by the J.P. Morgan

Global High-Yield Index’s average daily eight-month price change, which decreased

from 5.45 at year-end 2009 to 2.69 as of November 30, 2010. Additionally, the J.P.

Morgan Global High-Yield Index’s twelve-month total-return volatility decreased

from 11.61% at the end of last year to 6.48%, the lowest level since March 2008.

Equity-market volatility similarly declined in 2010. Volatility, as measured by the

Chicago Board of Options Exchange’s SPX Volatility Index (VIX), which reflects a

market estimate of future volatility, averaged 23.03 during the year, compared with a

daily average of 31.48 in 2009. During the course of 2010, the VIX declined to a

low of 15.58 on April 12, climbed to a high of 45.79 on May 20, and then gradually

declined to 23.54 by the end of November. By comparison, the 16-year average for

the VIX is 21.6.

36



December 2010

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Momentum

In 2010, momentum, as measured by the advance/decline ratio for the J.P. Morgan

Global High-Yield Index, remained high, following the last year’s record high ratio.

In 2010, the YTD advance/decline ratio through November 30 was 4-to-1, compared

with 2009’s ratio of 13-to-1. Another indication of the market’s strong momentum is

evidenced by the market’s average price, which increased to $103.3 as of November

30, from $99.9 at the start of the year (average prices are based on non-defaulted

bonds in the J.P. Morgan Global High Yield Index).

High-yield and equity market volatility


0.01.53.04.56.07.59.0

10.512.013.5

Dec-9

4

Dec-9

5

Dec-9

6

Dec-9

7

Dec-9

8

Dec-9

9

Dec-0

0

Dec-0

1

Dec-0

2

Dec-0

3

Dec-0

4

Dec-0

5

Dec-0

6

Dec-0

7

Dec-0

8

Dec-0

9

High

-yield

volat

ility

0

10

20

30

40

50

60

70

Equity volatility

JPMorgan Global HY Index 8-month price volatilityChicago Board of Options Exchange SPX Volatility Index (VIX)

JPMorgan Global High-Yield Index Monthly advance/decline ratio


1.51.60.60.80.40.2

1.72.32.62.92.8

2.01.4

3.8

0.8

3.5

1.00.10.1

1.2

3.4

1.6

0.20.9

0.30.60.6

3.6

0.80.30.3

0.90.10.00.2

1.1

2.7

0.81.1

7.4

3.8

2.6

8.4

2.6

11.8

2.71.7

5.3

2.1

0.6

7.0

4.4

0.1

1.7

8.0

0.9

6.9

5.1

0.30.0

2.0

4.0

6.0

8.0

10.0

12.0

Jan-

06

Apr-0

6

Jul-0

6

Oct-0

6

Jan-

07

Apr-0

7

Jul-0

7

Oct-0

7

Jan-

08

Apr-0

8

Jul-0

8

Oct-0

8

Jan-

09

Apr-0

9

Jul-0

9

Oct-0

9

Jan-

10

Apr-1

0

Jul-1

0

Oct-1

0

Primary market activity

Through November 30, 600 new deals priced for a record $277 billion, a 53%

increase over last year’s full-year total and previous record of 408 issues and $181

billion. Over the course of the year, monthly volumes exceeded $30 billion on six

occasions, including a record-high $40.5 billion in March. This is an impressive feat,

especially as new-issue volumes had never topped $30 billion in a month before

2010. Aside for a slow-down during the second quarter, in which a still respectable

$48.2 billion priced, quarterly volumes set record high’s in 1Q ($76.8 billion), 3Q

37



December 2010

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($85.7 billion), and 4Q (on pace for more than $100 billion). For perspective, the

previous high was $61.3 billion in 2Q07. Separately but also indicative of the

strength of the high-yield primary market, 95 non-dollar deals priced for US-equiva-

lent $53.2 billion, surpassing previous annual new-issuance record of US$33.4 bil-

lion in 2006.

One notable development in the high-yield bond primary market was the increasing

trend toward more lower-rated issuance. Specifically, $46.8 billion of CCC bonds

were issued, which ranks second all-time behind 2007’s $52 billion. However it’s

important to note the majority of lower rated issuance this year was used for refi-

nancing, unlike in 2007 when almost none of the CCC issuance was refinance relat-

ed. Specifically, $32.3 billion of this year’s $46.8 billion of CCC issuance was used

to refinance (69%), compared with only $4.7 billion of 2007’s $52 billion of CCC

issuance was for refinancing (9%).

For more on new-issue activity and trends in the primary market please see section3 of this publication, New-issue review.

Monthly new issuance volume


32.334.3

36.133.1

16.5

7.26.9

34.2

40.5

16.2

20.120.419.520.4

26.0

11.714.4

17.5

26.5

11.1

2.74.7

5.9

0.70.00.81.20.9

5.0

17.314.3

4.73.41.4

3.2

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

Jan-

08

Mar-0

8

May-

08

Jul-0

8

Sep-

08

Nov-0

8

Jan-

09

Mar-0

9

May-

09

Jul-0

9

Sep-

09

Nov-0

9

Jan-

10

Mar-1

0

May-

10

Jul-1

0

Sep-

10

Nov-1

0

$ bn

Annual new issuance volume

Note: 2010 data is through November 30.Source: J.P. Morgan.

147.9151.6

277.3

158.2

52.9

180.7149.1

106.1

67.994.7

47.373.469.1

99.8

150.8126.0

1.431.1 29.3

10.0

46.0 43.0 47.0

0.025.050.075.0

100.0125.0150.0175.0200.0225.0250.0275.0300.0

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

($ bn

)

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Monthly high-yield mutual fund flow volume

Source: AMG Data Services.

-0.6

2.3

4.4

1.5

3.9

0.9

-5.7

2.03.0

-2.5

1.92.4

1.51.71.91.82.5

1.9

4.34.9

2.61.6

4.7

3.1

0.2

-2.2

-0.3

0.7

-0.2-0.1

1.92.5

0.00.4

-0.8

-6.0-5.0-4.0-3.0-2.0-1.00.01.02.03.04.05.06.0

Jan-

08

Mar-0

8

May-

08

Jul-0

8

Sep-

08

Nov-0

8

Jan-

09

Mar-0

9

May-

09

Jul-0

9

Sep-

09

Nov-0

9

Jan-

10

Mar-1

0

May-

10

Jul-1

0

Sep-

10

Nov-1

0

$ bn

Annual high-yield fund flows

Note: 2010 data is through November 30.Source: Investment Company Institute; AMG Data Services.

1.75.2

11.0

2.35.2

-0.6-3.2

3.46.5

10.9

1.8

11.115.9

21.619.7

3.9

-6.3

13.216.3

32.9

-2.1

-8.8

5.5 5.0 6.510.8

31.9

-12.0

0.0

12.0

24.0

36.0

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Fund

flows

($ bn

)

High-yield fund flows

Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and


During the first half of the year, retail flows into high-yield bond funds shifted along

with changes in market sentiment. European sovereign risks and an inability to cre-

ate jobs domestically lead to sharp outflows from bonds funds in February and May.

However, institutional demand for HY bonds stayed relatively strong, as yields

across fixed income declined. Meanwhile, flows into leveraged loan funds during

the first half remained comparatively steady. In the second half of the year, retail

flows into high-yield bond funds surged amid improving growth trends, and falling

Treasury yields. As rate fears began to rise in November, outflows for high-yield

funds picked up. Notably, flows into floating rate leveraged loan funds tripled last

year’s total and reached their highest level all year against this backdrop.

For more on fund flow activity please see section 7 of this publication, Fund flow review.

1. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loandata includes weekly reporting funds.

39



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Defaults, distressed debt, and ratings changes

Default activity declined significantly in 2010, following last year’s record-high vol-

ume. Through November 30, 41 companies defaulted, affecting a combined $19 bil-

lion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank

loans). By comparison, 120 companies defaulted on a record-high $185 billion in

bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in bank

loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan only

borrowers, and the remaining 8 companies had both bonds and loans outstanding.

Specifically for the high-yield bond market, this year’s $7.4 billion of bonds affected

was the third lowest volume in the last 13 years, trailing only 2005’s $3.2 billion and

2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was the third

largest total on record, trailing last year’s $90.1 billion and 2008’s $29.7 billion. The

high-yield bond par-weighted bond default rate decreased each month, falling to

0.74% at the end of November, down from 10.27% at the end of last year.

Meanwhile, the issuer weighted default rate for bonds decreased to 2.16% from

8.59%. For loans, the par-weighted default rate decreased to 2.18% from 12.78%,

and the issuer-weighted default rate declined to 2.86% from 7.34%.

For more on defaults, distressed debt, and ratings changes please see section 4 ofthis publication, Event risk in the high-yield market.

Default volumes declined significantly in 2010

1. 2010 data is through November 30.Source: J.P. Morgan.

19.0

184.7

49.2

4.48.5

28.710.2

28.0

63.464.1

35.425.5

8.8

0.020.040.060.080.0

100.0120.0140.0160.0180.0200.0

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

Defau

lt volu

me ($

bn)

Leveraged loansHigh-yield bonds

1

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Domestic distressed debt as a percent of the high-yield market


30-Nov-10Below 70%= 2.26%Below 50%= 0.30%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

Dec-9

4

Dec-9

5

Dec-9

6

Dec-9

7

Dec-9

8

Dec-9

9

Dec-0

0

Dec-0

1

Dec-0

2

Dec-0

3

Dec-0

4

Dec-0

5

Dec-0

6

Dec-0

7

Dec-0

8

Dec-0

9

Perce

nt of

the hi

gh-yi

eld m

arke

t Bonds trading at or below 50% of parBonds trading at or below 70% of par

The average high-yield bond price (excluding defaults) increased to $100.51 as of

November 30, from $94.57 at the end of last year, while the median bond price rose

to $102.00 from $99.13. Meanwhile, for loans, the average bid price, according to

S&P LCD’s US Performing Loan Index increased to $94.50 from $89.82 at the end

of last year. The size of the distressed bond market decreased to $2.9 billion, or

0.30% of the total high-yield domestic market, from $6.6 billion (0.78%) at the

start of the year. Distressed debt peaked at $10 billion at the end of August, still a

fraction of last year’s high of $214 billion at the end of February. Another proxy for

distressed debt, bond spreads greater than 1000bp, decreased to $85.1 billion, or

8.8% of the market, from $113.5 billion or 13.5% of the market as of December 31,

2009. For loans, 13.1% of the institutional loan market traded below $80 as of

November 30, slightly higher than the 10.4% of distressed loans at the start of the

year. If we use $60 as the threshold for distressed loans, only 1.67% of the institu-

tional loan market trades in distress, a decrease from 2.65% at the end of last year.

Twelve-month rolling domestic default rates


Nov-10 2.18%

Nov-10 0.74%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Defau

lt rate

High-yield bond default rateLeveraged loan default rate

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Credit conditions remained strong throughout 2010, a trend extended from the end

of last year, as upgrades outnumbered downgrades in each of the year’s first 11

months and 15 consecutive months dating back to September. Overall there were

349 upgrades totaling $334 billion of bonds, compared with 241 downgrades total-

ing $197 billion, which equates to an upgrade-to-downgrade ratio by issuer of

1.45:1. By comparison, there were 212 upgrades affecting $242 billion in 2009,

compared with 481 downgrades affecting $418 billion (0.44:1). Notably, the dollar

volume of upgraded bonds through November is on pace to break 2006’s current

record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgrad-

ed issuers increased to 1.50:1 as of November 30, from 0.44:1 at the start of the year

and a record-low of 0.24:1 17 months ago.

Upgrades outnumbered downgrades during each month in 2010

Source: J.P. Morgan

26 27

52

36

17

24 22

29 28

2017 19

13

2221

35

19

31

42

23

3429

0

10

20

30

40

50

60

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Upgrades

Downgrades

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[email protected] Gainers and Losers

First-quarter 2010 gainers and losers

Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.Source: J.P. Morgan.

31-Dec-09 to GAINERS 31-Mar-10 31-Mar-10 % Issuer Bond Price Price Chg Change IndustryVisteon 7.000% Sr Nts 14 96.00 69.75 265.71% AutomotiveVisteon 12.250% Sr Nts 16 106.00 64.00 152.38% AutomotiveCooper Standard Automotive 8.375% Sr Sub Nts 14 71.50 46.00 180.39% AutomotiveNewport Television 13.000% Sr Toggle Nts 17 80.00 35.88 81.30% BroadcastingResidential Capital Corp. 6.500% Sr Nts 13 96.75 26.75 38.21% FinancialTown Sports International 11.000% Sr Disc Nts 14 86.13 25.63 42.36% Gaming/Lodging Snoqualmie Ent. Authority 9.125% Sr Sec Nts 15 77.00 24.00 45.28% Gaming/Lodging Tronox Worldwide 9.500% Sr Nts 12 106.00 24.00 29.27% ChemicalsRafaella Apparel 11.250% Sr Sec Nts 11 66.00 23.50 55.29% Consumer Prod.Local TV Finance 10.000% Sr Toggle Nts 15 65.50 22.50 52.33% Broadcasting

31-Dec-09 to LOSERS 31-Mar-10 31-Mar-10 % Issuer Bond Price Price Chg Change IndustrySpheris 11.000% Sr Sub Nts 12 14.50 -39.00 -72.90% HealthcareBlockbuster 9.000% Sr Sub Nts 12 20.25 -36.75 -64.47% RetailBlockbuster 11.750% Sr Sec Nts (1st Lien) 14 73.75 -21.25 -22.37% RetailDynegy Holdings 8.375% Sr Nts 16 83.00 -12.00 -12.63% UtilityTexas Comp. Electric 10.250% Sr Nts 15 69.50 -11.50 -14.20% UtilityDynegy Holdings 7.750% Sr Nts 19 75.50 -11.25 -12.97% UtilityGallery Capital SA 10.125% Sr Sec Nts 13 40.00 -11.00 -21.57% BroadcastingVerasun Energy 9.375% Sr Nts 17 6.25 -9.50 -60.32% EnergyEdison Mission 7.000% Sr Nts 17 69.75 -9.25 -11.71% UtilityTrico Shipping AS 11.875% Sr Sec Nts 14 95.50 -8.63 -8.28% Energy

Second-quarter 2010 gainers and losers


31-Mar-10 to GAINERS 30-Jun-10 30-Jun-10 % Issuer Bond Price Price Chg Change IndustryRotech Healthcare 9.500% Sr Sub Nts 12 89.75 31.75 54.74% HealthcareCrompton 6.875% Debs 26 113.00 24.25 27.32% ChemicalsVirgin River Casino 9.000% Sr Sec Nts 12 42.50 24.00 129.73% Gaming/Lodging Baker & Taylor 11.500% Sr Sec Nts 13 73.25 20.25 38.21% Diversified MediaValeant Pharmaceuticals 7.625% Sr Nts 20 118.00 18.00 18.00% HealthcareVisteon 12.250% Sr Nts 16 124.00 18.00 16.98% AutomotiveLocal TV Finance 10.000% Sr Toggle Nts 15 83.00 17.50 26.72% BroadcastingPMI Group 6.000% Sr Nts 16 80.00 14.88 22.84% FinancialDuquesne Light 6.250% Sr Nts 35 86.81 13.85 18.98% UtilityVisteon 7.000% Sr Nts 14 109.00 13.00 13.54% Automotive

31-Mar-10 to LOSERS 30-Jun-10 30-Jun-10 % Issuer Bond Price Price Chg Change IndustrySorenson Communications 10.500% Sr Sec Nts 15 63.00 -33.50 -34.72% ServicesSpansion LLC 11.250% Sr Nts 16 86.00 -32.00 -27.12% TechnologyRestaurant Company 10.000% Sr Nts 13 40.00 -28.00 -41.18% Food/BeveragesATP Oil & Gas 11.875% Sr Sec Nts (2nd Lien) 15 72.50 -27.03 -27.16% EnergyAhern Rentals Inc 9.250% Sr Sec Nts (2nd Lien) 13 33.75 -24.25 -41.81% ServicesNorske Skog Canada 7.375% Sr Nts 14 46.50 -23.00 -33.09% Paper/PackagingRathGibson 11.250% Sr Nts 14 1.51 -22.99 -93.83% IndustrialsColt Defense 8.750% Sr Nts 17 79.25 -21.00 -20.95% IndustrialsFirst Data Corporation 11.250% Sr Sub Nts 16 61.50 -18.50 -23.13% TechnologyNationstar Mortgage 10.875% Sr Nts 15 78.50 -18.00 -18.65% Financial

43



December 2010

2


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

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Third-quarter 2010 gainers and losers


30-Jun-10 to GAINERS 30-Sep-10 30-Sep-10 % Issuer Bond Price Price Chg Change IndustryTitan Petrochemicals 8.500% Sr Guar Nts 12 63.00 23.00 57.50% EnergyMBIA 6.400% Sr Nts 22 77.88 21.81 38.90% FinancialViant Holdings 10.125% Sr Sub Nts 17 121.75 19.88 19.51% HealthcareMBIA 5.700% Sr Nts 34 68.03 19.78 40.99% FinancialDresdner Funding Trust 8.151% Trust Pfd Secs 31 95.00 19.59 25.97% FinancialTribune Co 5.250% Sr Sec Nts 15 44.63 19.13 75.00% Diversified MediaTribune Co 7.250% Sr Sec Nts 96 44.13 19.13 76.50% Diversified MediaNXP BV 9.500% Sr Nts 15 102.50 18.75 22.39% TechnologyCitigroup Capital III 7.625% Trust Pfd Secs 36 106.60 17.94 20.24% FinancialAllis-Chalmers Energy 8.500% Sr Nts 17 100.50 14.00 16.18% Energy

30-Jun-10 to LOSERS 30-Sep-10 30-Sep-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 32.75 -32.25 -49.62% Diversified MediaAngiotech Pharmaceutical 7.750% Sr Sub Nts 14 36.75 -22.25 -37.71% HealthcareNovasep Holding 9.750% Sr Sec Nts 16 77.00 -21.25 -21.63% HealthcareSbarro 10.375% Sr Nts 15 60.00 -19.00 -24.05% Food/BeveragesDex One Corporation 12.000% Sr Sub Toggle Nts 17 78.63 -16.63 -17.45% Diversified MediaNetwork Communications 10.750% Bds 13 34.00 -16.00 -32.00% Diversified MediaRestaurant Company 10.000% Sr Nts 13 25.00 -15.00 -37.50% Food/BeveragesSitel 11.500% Sr Nts 18 80.00 -12.50 -13.51% ServicesEdgen Murray 12.250% Sr Sec Nts (1st Lien) 15 72.25 -12.25 -14.50% EnergyOPTI Canada Inc 7.875% Sr Sec Nts (2nd Lien) 14 75.25 -11.75 -13.51% Energy

Fourth-quarter 2010 gainers and losers1

Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.1.Through November 30, 2010.Source: J.P. Morgan.

30-Sep-10 to GAINERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryTronox Worldwide 9.500% Sr Nts 12 156.88 64.50 69.82% ChemicalsFertinitro Finance 8.290% Sr Sec Nts 20 90.00 25.50 39.53% ChemicalsAffinity Group 9.000% Sr Sub Nts 12 99.00 24.38 32.66% Diversified MediaNorske Skog Canada 7.375% Sr Nts 14 64.75 23.50 56.97% Paper/PackagingAtlas Energy Resources 12.125% Sr Nts 17 131.00 15.38 13.30% EnergyUS Oncology 9.125% Sr Sec Nts 17 120.50 14.50 13.68% HealthcareNorth Atlantic Trading 9.250% Sr Nts 12 79.00 14.00 21.54% Food/BeveragesWise Metals 10.250% Sr Sec Nts 12 100.50 14.00 16.18% Metals/MiningNationstar Mortgage 10.875% Sr Nts 15 97.25 13.50 16.12% FinancialWilmington Trust 8.500% Sub Nts 18 115.11 13.45 13.23% Financial

30-Sep-10 to LOSERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 4.00 -28.75 -87.79% Diversified Media155 E Tropicana 8.750% Sr Sec Nts 12 23.38 -22.75 -49.32% Gaming/Lodging Dex One Corporation 12.000% Sr Sub Toggle Nts 17 56.00 -22.63 -28.78% Diversified MediaSpheris 11.000% Sr Sub Nts 12 2.50 -22.50 -90.00% HealthcareNCO Group Inc 11.875% Sr Sub Nts 14 68.00 -21.50 -24.02% ServicesAsia Aluminum Holdings 8.000% Sr Nts 11 0.01 -15.12 -99.93% Metals/MiningShingle Springs 9.375% Sr Nts 15 61.00 -13.50 -18.12% Gaming/Lodging Rouse 6.750% Sr Nts 13 103.00 -13.25 -11.40% FinancialDelta Petroleum 7.000% Sr Nts 15 67.00 -12.00 -15.19% EnergySbarro 10.375% Sr Nts 15 48.00 -12.00 -20.00% Food/Beverages

44



December 2010

2


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

[email protected]

2010 gainers and losers1

Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.1.Through November 30, 2010.Source: J.P. Morgan.

31-Dec-09 to GAINERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryTronox Worldwide 9.500% Sr Nts 12 156.88 74.88 91.31% ChemicalsNewport Television 13.000% Sr Toggle Nts 17 93.75 49.63 112.46% BroadcastingLocal TV Finance 10.000% Sr Toggle Nts 15 91.00 48.00 111.63% BroadcastingTitan Petrochemicals 8.500% Sr Guar Nts 12 65.00 47.00 261.11% EnergyNorth Atlantic Trading 9.250% Sr Nts 12 79.00 42.50 116.44% Food/BeveragesSnoqualmie Ent. Authority 9.125% Sr Sec Nts 15 92.50 39.50 74.53% Gaming/Lodging WII Components 10.000% Sr Nts 12 98.00 38.00 63.33% HousingTown Sports International 11.000% Sr Disc Nts 14 96.25 35.75 59.09% Gaming/Lodging Virgin River Casino 9.000% Sr Sec Nts 12 44.88 34.88 348.75% Gaming/Lodging Rotech Healthcare 9.500% Sr Sub Nts 12 91.00 33.00 56.90% Healthcare

31-Dec-09 to LOSERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 4.00 -60.50 -93.80% Diversified MediaBlockbuster 9.000% Sr Sub Nts 12 1.00 -56.00 -98.25% RetailSpheris 11.000% Sr Sub Nts 12 2.50 -51.00 -95.33% HealthcareBlockbuster 11.750% Sr Sec Nts (1st Lien) 14 48.00 -47.00 -49.47% RetailDex One Corporation 12.000% Sr Sub Toggle Nts 1756.00 -44.00 -44.00% Diversified MediaSorenson Communications 10.500% Sr Sec Nts 15 58.00 -40.10 -40.88% ServicesColt Defense 8.750% Sr Nts 17 63.50 -39.75 -38.50% IndustrialsRathGibson 11.250% Sr Nts 14 0.50 -31.63 -98.44% IndustrialsSbarro 10.375% Sr Nts 15 48.00 -30.50 -38.85% Food/BeveragesNovasep Holding 9.750% Sr Sec Nts 16 68.00 -29.50 -30.26% Healthcare


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Alisa Meyers (1-212) 834-9151

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December 2010

45

3New-issue review


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


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Alisa Meyers (1-212) 834-9151

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December 2010

46

3


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

47

3

New-issue review

2010 highlights

• As of December 10, 2010, 637 US-dollar high-yield bonds totaling $298bn

priced, 65% higher than last year’s record (408 issues for $181bn).

• Refinancings continued to be the dominant theme as issuers focused on extend-

ing maturities.

• Bond-for-loan deals made a significant contribution to high-yield issuance this

year, accounting for $67bn, up from $49bn in the prior year.

• As the year progressed, volumes placed by cyclical and lower-quality issuers

increased, as did more highly leveraged transactions, acquisition and opportunis-

tic financings, resulting in new-issue trends that slowly deteriorated.

• Dividend activity increased, bolstered by robust market conditions and concerns

over expiration of Bush-era dividend tax rates. Dividend deals accounted for

$15bn, or 5% of issuance in 2010, up from $4bn, or 2% of issuance in the prior

year.

• Non-dollar activity set a new record in 2010, rising 75% year over year to US$-

equivalent of $54bn.

• US-dollar foreign issuance also benefited from wide-open capital markets this

year, accounting for $31bn, a new record, up from $23bn of activity in 2009.

• For 2011, we forecast high-yield bond issuance to remain robust, totaling

$235bn, a slightly slower pace of issuance activity year-over-year, but one still

consistent with an extremely active backdrop for prospective issuers.

High-yield primary market sets another record

Note: New-issue volume is measured by par amount.1. Through December 10, 2010.Source: J.P. Morgan.

10.0

46.073.4

126.099.8 94.7

67.9

151.6 158.2

106.1

149.1 147.9

52.9

180.7

298.0

47.3

1.4

150.8

47.043.0

69.1

115

375

335408

694667

189131

48

238250

402

389

139

378

300260

504

583

321

637

0

100

200

300

400

500

600

700

800

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

YTD

# of is

sues

$0

$50

$100

$150

$200

$250

$300

$350

($bn)

New-issue volumeNumber of new issues

1


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December 2010

48

3

1. Through December 10, 2010.Source: J.P. Morgan

Percentage of new issue proceeds by category

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101

BB-rated 21.9% 25.8% 34.5% 20.9% 20.9% 21.6% 21.7% 29.5% 16.1% 26.3% 26.0% 20.3%B-rated 60.0% 53.9% 39.7% 51.3% 53.2% 44.9% 47.0% 39.0% 33.4% 32.3% 34.3% 38.7%CCC-rated 1.3% 4.0% 1.0% 0.3% 2.8% 6.6% 6.2% 8.8% 14.0% 15.8% 3.4% 6.8%Refinancing 49.5% 34.8% 78.1% 76.6% 75.7% 58.1% 50.2% 38.4% 35.3% 40.6% 76.1% 66.5%Acquisition finance 27.4% 26.1% 12.9% 15.5% 15.4% 29.3% 38.0% 44.4% 51.4% 46.0% 5.3% 15.4%General corporate 23.1% 39.1% 9.0% 8.0% 8.8% 12.5% 11.8% 16.1% 12.1% 10.9% 16.0% 15.1%Dividend-payout 0.0% 0.0% 0.0% 0.0% 0.0% 5.5% 4.8% 3.6% 2.0% 0.0% 1.9% 4.8%Deferred interest 9.1% 9.6% 1.4% 0.9% 2.0% 5.2% 1.1% 0.5% 0.3% 0.8% 0.0% 0.2%Cyclical 38.6% 26.5% 37.6% 51.4% 45.1% 49.9% 54.9% 54.5% 42.0% 36.2% 44.6% 53.9%Defensive 56.0% 68.5% 55.4% 37.8% 46.1% 41.6% 34.3% 35.7% 47.1% 45.3% 43.2% 32.6%Energy 5.5% 5.0% 7.1% 10.8% 8.8% 8.5% 10.8% 9.8% 10.9% 18.5% 12.2% 13.5%Less than $100 mn 6.9% 1.1% 2.0% 2.6% 2.9% 3.1% 2.0% 0.9% 0.6% 0.7% 0.7% 0.5%Greater than $300 mn 54.7% 64.7% 61.5% 51.5% 60.1% 55.1% 57.4% 79.2% 84.6% 80.9% 77.5% 82.9%Foreign 10.0% 18.8% 2.1% 4.9% 11.7% 6.3% 6.5% 7.9% 4.1% 2.4% 13.1% 11.1%

New issue overview

On the heels of a record year in 2009, high-yield new-issue volume set a fresh

record in 2010 with $298bn1. In particular, this year’s monthly activity topped

$30bn volume on six occasions, after never topping $30bn, leading to a 65%

increase in volumes year over year. While the primary market remained hot all year,

activity accelerated as the year progressed, particularly in the second half of the

year. By quarter, volumes totaled $77bn, $48bn, $86bn, and $87bn, respectively.

Another new record for high-yield primary market

The year’s primary market activity started off with a bang, as $77bn priced in the

first quarter, beating the previous record quarter (2Q07) by more than $15bn.

Activity was strong despite an uncertain macroeconomic backdrop and significant

retail fund outflows (-$2.5bn), which led to 11 deals getting pulled or postponed.

Percentage change in size of global US dollar high-yield market

1. Through December 10, 2010.Source: J.P. Morgan.

7.1%6.7%9.4%

41.2%

66.1%

32.1%

13.4%17.8%

-12.1%-6.4%

-0.6%

9.1%

18.2%

10.1%

-1.1%

5.6%

-2.2%

18.6%11.6%

0.5%1.7%7.7%8.3%

22.9%

37.2%

4.3% 3.7%

16.1%

28.3%

15.6%17.2% 15.5%

26.3%

-20%-10%

0%10%20%30%40%50%60%70%80%

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

1

1. As of December 10, 2010.


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December 2010

49

3Supported by slowly improving economic expectations, $40.5bn priced in March,

easily eclipsing the previous record month ($29.3bn in November 2006). Conditions

favored high-yield issuers until May and June’s market swoon, when a sharp rise in

risk aversion led to $6.3bn of retail outflows and the lowest monthly new-issue vol-

umes of the year ($6.9bn and $7.2bn, respectively). In the second half of the year,

economic expectations improved, demand remained high, and secondary market

conditions were excellent, all of which led to a rebound in new-issue conditions. In

fact, the second week of August set a new record, as 37 deals priced for $22.1bn,

topping a pervious record of $12.1bn in the week ended March 18. The torrid pace

of issuance continued through year-end with over $30bn pricing each month.

Risk trends (ratings and uses of proceeds)

New-issue trends are an important factor in analyzing future default risk. In 2010,

refinancing continued to be the dominant theme. Another trend was the broadening

of the primary market to a more diverse set of issuers and issuance objectives. As

the year progressed, volumes placed by cyclical and lower-quality issuers increased,

as did more highly leveraged transactions, acquisition and opportunistic financings,

resulting in new-issue trends that slowly deteriorated.

Lower-quality issuance (bonds rated Split B, CCC, or non-rated) as a percentage of

total issuance progressively increased from 14% in 1Q to 24% in 4Q. In all, lower

rated issuance made up 18% of total issuance in 2010, which compared to 11% last

year. By dollar volume, lower-rated deals totaled $52bn this year, or almost three

times last year’s volume ($19bn). Providing a better gauge of the extent of “aggres-

siveness” of the new issuance is the volume of lower-rated issuance, excluding debt

used to refinance existing obligations. This category increased to $17bn from $5bn

last year, however, it remains below the $25bn average between 2004 and 2007 and

well below 2007’s peak of $49bn. Looking ahead, we expect lower-rated bonds to

make up closer to 25% of next year’s bond volumes as the new-issue cycle further

matures. Nevertheless, we expect lower rated activity to continue to be directed

mostly toward refinancing and extending maturities, rather than the leverage

enhancing deals of the prior new-issue cycle, ultimately a positive for the future liq-

uidity and default outlook.

This year’s new-issue activity topped $30bn six times, after having never reached this level previously


5.9 4.72.7

11.1

26.5

17.514.4

11.7

26.0

20.4 19.5 20.4 20.1

40.5

34.2

6.9 7.2

16.5

33.136.1

34.3 32.3

11.3

16.2

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

Jan-

09

Feb-

09

Mar-0

9

Apr-0

9

May-0

9

Jun-

09

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Dec-1

0

$ bn


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

50

3

Lower-rated issuance as a percentage of total primary market activity surged in 2010, butremains below 2004-2007 average of 24%


14.0%

20.5%

7.6%

16.1%

3.6% 3.4%

10.1%

20.6%17.4%

20.9%

36.3%

26.0%

10.7%

17.6%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Perce

nt of

total

issua

nce

16-year average= 16.7%

12010 lower-rated issuance, excluding refinancing-related deals, rose, but remains a fractionof 2007’s peak


16.9

5.4

12.6

25.7

12.214.9

4.30.91.0

6.35.6

20.4

11.96.85.4

48.8

0

10

20

30

40

50

60

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

YTD

Lowe

r rate

d iss

uanc

e ex r

efina

ncing

s ($ b

n) 2004 to 2007 =$101.6 billion1995 to 1998 = $44.5 billion

1

Chg. 20091997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101 to 2010

Split BBB 5.9% 4.2% 3.1% 2.9% 13.9% 9.8% 7.4% 8.9% 5.9% 1.4% 6.5% 2.5% 9.3% 8.5% -0.7%BB 16.2% 24.2% 20.6% 23.9% 33.9% 20.8% 20.6% 21.1% 21.6% 29.3% 16.0% 26.1% 25.9% 20.2% -5.6%Split BB 7.4% 6.3% 8.0% 2.7% 8.2% 14.4% 9.3% 5.4% 8.3% 9.6% 7.9% 13.1% 19.8% 14.9% -4.9%B 56.4% 44.8% 60.6% 54.3% 40.4% 51.6% 52.7% 44.0% 46.8% 38.8% 33.4% 32.4% 34.4% 38.8% 4.4%Split B 4.4% 6.9% 2.7% 3.3% 1.3% 2.6% 6.0% 12.1% 10.0% 11.2% 21.1% 7.5% 6.9% 9.4% 2.5%CCC 1.7% 4.2% 1.8% 6.1% 1.0% 0.3% 3.0% 7.0% 6.3% 9.0% 14.0% 15.9% 3.5% 6.9% 3.4%NR 7.9% 9.4% 3.2% 6.7% 1.3% 0.5% 1.1% 1.4% 1.1% 0.7% 1.1% 2.7% 0.3% 1.3% 1.0%

Split B, CCC and NR 14.0% 20.5% 7.6% 16.1% 3.6% 3.4% 10.1% 20.6% 17.4% 20.9% 36.3% 26.0% 10.7% 17.6% 6.9%


Percentage of new issues by ratingby par amount


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December 2010

51

3

Acquisition financings increased as a total percent of total issuance


0.0%3.1% 3.7% 2.9%

15.8%

27.8%30.1%

20.5%21.5%27.4%25.7%

12.9%15.5%13.5%

25.9%

44.4%

51.4%

5.3%

15.4%

46.0%

38.0%

0%

10%

20%

30%

40%

50%

60%

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

1

Leverage multiples in the high-yield primary market


4.8x 4.9x

4.5x 4.6x4.8x

5.4x

3.7x

4.1x

4.5x4.7x

4.5x

5.1x5.4x

4.8x4.5x 4.5x

4.2x

4.8x

4.2x

4.8x

3.0x

3.5x

4.0x

4.5x

5.0x

5.5x

6.0x

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

1Q10

2Q10

3Q10

2010

US$ H

Y ne

w-iss

ue av

erag

e lev

erag

e

Refinancing remained the use of proceeds for the bulk of issuance this year, howev-

er, acquisition financings picked up year over year. Year to date, $198bn, or 66% of

total issuance, was used for refinancing purposes, down from 76% last year. On a

quarterly basis, refinancing activity declined from 68% in the first three quarters to

62% in 4Q. Nevertheless, this year’s refinancing activity remains 12% above the

long term average allocation of 54%. Whereas refinancing activity declined, acqui-

sition financing-related volume rose year over year, accounting for $46bn, or 15%

of total issuance this year versus $10bn, or 5% of new issuance in 2009. This, how-

ever, still remains well below the peak of 51% in 2007. LBO-related financings

steadily increased this year, accounting 4% of this year’s volumes, versus 1%

in 2009.

4Q10

11


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December 2010

52

3

Bond-for-loan deals

Leveraged loan new issuance picked up this year, with volumes totaling $130bn.

Nevertheless, issuers continued to use the wide-open bond market to refinance

loans, leading to an increase in bond-for-loan deals year over year. After accounting

for $49bn in 2009, bond-for-loan transactions made up $67bn of issuance in 2010.

For 2011, we expect bond-for-loan takeout volume to be in line with this year as

loan issuers remain focused on maturities coming due in 2013 and 2014.

Refinancing activity declined by about 10% in favor of acquisition financingBy proceeds


69.8% 71.5%

46.9%44.6%

32.1%

73.4%

57.4%50.2%

40.6%

76.1%66.5%

72.6%

50.2% 52.3%51.8%

49.0%

75.8% 74.6%

91.1%

35.3%38.4%

0%10%20%30%40%50%60%70%80%90%

100%

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

1

Bond-for-loan activityBy proceeds


0

2

4

6

8

10

12

Jan

Feb

Mar

Apr

May

June July

Aug

Sept Oc

t

Nov

Dec

Bond

for lo

an ta

keou

ts by

senio

rity ($

mn) Sr Sec Sr Nts Sub

1


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December 2010

53

3

Dividend deal activity

Note: 2010 data is through December 10.Source: J.P. Morgan.

0%

1%

2%

3%

4%

5%

6%

2005

2006

2007

2008

2009

2010

Divid

end d

eals

% of

total

issu

ance

Dividend deals

An interesting trend in the new-issue market has been the increase in dividend

deals, which came into the spotlight as borrowers took advantage of robust market

conditions to fund cash payments to shareholders. This trend was boosted by the

anticipation of the Bush-era dividend tax rates expiring at year end. In 2009, new-

issue dividend deals totaled $4bn, or 2% of issuance. This volume rose to $15bn in

2010, or 5% of issuance. Moreover, the trend accelerated as the year progressed,

accounting for under 4% of bond deals in the first three quarters of the year and 8%

since the end of September. A testament to strong market demand, HCA placed a

$1.525bn dividend deal in November, the largest private equity-related dividend

deal since 2005, according to S&P/LCD. Thus, this year’s dividend deals made up

the largest share of the high-yield primary market since 2005, when 5.1% of

issuance was for dividend purposes.

Seniority

Senior bond issuance as a percentage of total issuance by par amount remained near

last year’s peak level. Declining modestly from 96% of issuance, this year’s senior

bond contribution was 95%. For context, these levels compare to 93% and 90% in

2008 and 2007, respectively. Senior secured notes made up 27% of total issuance,

down from 34%; however, this level is still significantly higher than 12.0% and

7.5% in 2008 and 2007, respectively. Subordinated and junior subordinated notes

accounted for a mere 5%, marginally higher than 4% last year.

Security type

Popular during the 1990s, issuance of deferred-interest securities has been negligi-

ble during the last few years. For example, from 1993 through 1998, deferred-inter-

est securities accounted for an average of 12.3% of total new-issue volume annual-

ly, compared with an average of only 1.9% from 2001 through 2005. In 2010,

deferred-interest securities accounted for only two transactions totaling under $1bn

and accounting for 0.3% of this year’s volume. Payment-in-kind bonds (PIK) and

toggle notes, which give issuers the option of paying coupons in cash or in addition-

al securities, had seen a run-up in the last cycle, in conjunction with acquisition

financing deals and leveraged buyout transactions, providing those issuers with a

way to reduce debt service, deferring it to later years. These deals accounted for an


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December 2010

54

3average of 10.6% of total deal proceeds from 2006 to 2008. Declining to just 0.7%

of issuance in 2009, PIK and toggle notes’ contribution declined further to just 0.2%

of this year’s issuance, despite the pick-up in non-refinancing activity seen this year.

Specifically, in 2010, one toggle deal and three PIK deals priced.

Industry

In 2010, new-issuance activity continued to rotate toward cyclical issuers. After

broadening to 45% of new-issue volume in 2009, cyclical issuers accounted for

54% of issuance in 2010. This year’s cyclical activity set a new record high,

exceeding the 51% average between 2004 and 2006. Meanwhile, defensive issuance

declined to just 33% from 43% last year, the smallest contribution historically. By

quarter, defensive issuance remained steady in the first three quarters of the year,

contributing 30-31% of issuance. However, that contribution increased somewhat in

the last quarter (to 37%) as a sharp rise in Treasury rates and Eurozone concerns led

to the first and only month in 2010 (November) in which defensive issuance vol-

umes exceeded cyclical volumes. The Energy sector contribution rose from 12% to

14% year over year, but remained below the 19% contribution in 2008. Overall,

Energy continued to lead this year’s issuance volumes, accounting for 14% of

issuance ($40bn), versus 12% ($22bn) last year. Its contribution was the highest in

the third quarter (20%), led by large transactions, including those by Anadarko

Petroleum and Chesapeake Energy, which totaled $2bn each and ranked among the

10 largest transactions of the year. The Financial sector was the second most active

new-issue sector this year, accounting for 9% of issuance ($26bn), a significant

move from its second-to-last position in 2009 (2% of issuance for $3bn). The sector

housed the largest deal of the year—International Lease Finance—which priced a

multi-tranche $4.4bn offering to repay bank debt.

Percent of new issues by industry By par amount

Housing5%

Industrials6%

Metals And Mining6%

Services4%

Technology4%

Utility3%

Transportation2%

Broadcasting2% Cable And Satellite

3%

Financial9%

Energy14%

Chemicals4%

Consumer Products2%

Diversified Media2%

Food and Beverages4%

Telecom6%

Gaming Lodging and Leisure

4%

Automotive4%

Paper And Packaging5%

Retail3%

Healthcare9%

Note: Includes only US dollar-denominated issuance, through December 10, 2010.Source: J.P. Morgan.


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December 2010

55

3

Note: Includes only US dollar-denominated issues.1. Through December 10, 2010.Source: J.P. Morgan.

Percent of new issues by industry By par amount

- Change 20091999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101 to 20101

Automotive 4.3% 0.0% 3.1% 2.4% 3.2% 2.8% 5.7% 9.0% 3.1% 2.5% 3.6% 4.6% 1.0%Broadcasting 1.0% 0.0% 4.1% 4.3% 1.4% 0.3% 2.2% 0.4% 1.6% 1.2% 2.5% 1.6% -0.9%Cable and Satellite 13.4% 18.9% 10.3% 3.1% 4.3% 6.6% 6.4% 6.3% 1.2% 27.5% 8.0% 3.7% -4.2%Chemicals 5.3% 1.6% 4.8% 3.2% 5.6% 5.8% 2.0% 5.4% 2.3% 0.9% 2.8% 4.3% 1.5%Consumer Products 1.9% 0.9% 2.8% 2.9% 2.5% 3.0% 3.2% 1.7% 0.5% 0.5% 1.7% 2.3% 0.6%Diversified Media 2.0% 0.6% 3.3% 5.3% 5.5% 2.9% 0.9% 5.5% 3.4% 1.5% 2.1% 1.8% -0.3%Energy 4.0% 4.7% 8.0% 10.9% 10.5% 9.4% 11.9% 9.5% 12.1% 18.6% 12.2% 14.0% 1.8%Financial 4.2% 4.1% 2.1% 2.1% 3.3% 3.2% 3.6% 2.1% 5.0% 0.0% 1.7% 9.7% 8.0%Food and Beverages 2.5% 0.2% 3.9% 5.4% 3.9% 2.7% 2.2% 2.5% 4.2% 0.5% 4.4% 3.8% -0.6%Gaming Lodging and Leisure 6.9% 8.6% 7.3% 12.3% 5.8% 8.4% 5.4% 5.6% 3.7% 9.7% 7.4% 3.7% -3.6%Healthcare 2.3% 3.9% 8.1% 9.2% 5.5% 7.1% 9.2% 7.1% 9.5% 1.2% 7.4% 8.6% 1.2%Housing 2.7% 2.6% 3.0% 3.5% 2.8% 5.0% 4.9% 2.0% 2.5% 5.4% 4.0% 5.3% 1.3%Industrials 3.3% 1.1% 2.6% 6.5% 6.2% 5.1% 4.3% 3.4% 5.0% 3.3% 3.1% 6.0% 2.9%Metals and Mining 2.0% 0.0% 1.3% 3.1% 3.4% 4.2% 4.8% 3.7% 8.3% 3.3% 4.5% 4.0% -0.5%Paper and Packaging 2.0% 2.3% 4.3% 9.0% 7.6% 4.2% 4.8% 3.3% 1.1% 2.4% 7.2% 4.6% -2.6%Retail 1.8% 0.6% 3.0% 1.9% 2.2% 2.8% 4.2% 3.5% 4.5% 3.4% 4.1% 2.8% -1.3%Services 5.6% 0.6% 3.8% 4.6% 4.3% 3.3% 5.9% 5.0% 4.6% 7.5% 2.5% 3.5% 0.9%Technology 2.4% 2.2% 1.7% 4.8% 2.5% 4.5% 7.3% 11.0% 4.9% 4.1% 2.0% 4.2% 2.2%Telecommunications 28.0% 37.0% 12.7% 1.7% 9.1% 9.3% 6.7% 6.9% 6.0% 1.6% 11.6% 5.3% -6.3%Transportation 1.2% 1.1% 1.4% 1.6% 1.5% 1.4% 1.1% 1.1% 1.1% 0.9% 2.8% 2.6% -0.2%Utility 3.1% 9.1% 8.5% 2.3% 8.9% 8.1% 3.2% 5.2% 15.5% 3.8% 4.5% 3.6% -0.9%

The largest transactions of 2010


0.00.51.01.52.02.53.03.54.04.55.0

Calpi

ne C

orp

(pric

ed:10

/18)

Anad

arko

Petro

leum

(pric

ed:8/

9)Ch

esap

eake

Ener

gy(p

riced

:8/9)

Inter

natio

nal

Leas

e Fina

nce

(pric

ed:3/

17)

GMAC

(pric

ed:2/

9)

Icahn

Enter

prise

s(p

riced

:1/12

)

FMG

Reso

urce

s(p

riced

:10/26

)

Lyon

dell

Petro

chem

ical

(pric

ed:3/

24)

Nove

lis(p

riced

:12/10

)

Cons

ol En

ergy

(pric

ed:3/

25)

Reyn

olds G

roup

(pric

ed:10

/6)

Fron

tier

Comm

unica

tions

(pric

ed:3/

26)

Inter

natio

nal

Leas

e Fina

nce

(pric

ed:8/

11)

($bn

)


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December 2010

56

3

By industry, Automotive was the largest contributor this year, accounting for 17%

of issuance, or US-dollar equivalent of $9bn, followed by the Financial sector, with

10% of issuance, or $6bn. The Automotive sector accounted for some of the largest

transactions of the year, namely two Conti-Gummi Finance transactions (€1.3bn, or

US-dollar equivalent of $1.7bn, and €1.0bn, or US-dollar equivalent of $1.3bn,

respectively) and a Peugeot dual-tranche offering (€1.0bn, or US-dollar equivalent

of $1.4bn), all of which are among the top 10 deals of the year by volume.

Global primary market

Joining the US-dollar high-yield primary market, non-dollar activity set a new

record in 2011, with volumes rising 75% year over year. Overall, non-dollar activity

underwent a marked recovery over the past two years from the dearth of activity in

2008, rising from US-dollar equivalent of just $1bn two years ago to $54bn in 2010.

Unlike last year, when most of the activity took place in the last four months of the

year, the non-dollar primary market remained healthy throughout 2010. However,

similar to the US dollar market, fourth quarter strength was also evident this year, as

$17bn priced in 4Q10 versus an average quarterly volume of $12bn in the first three

quarters of the year. The shifts in non-dollar primary market activity were similar to

those in the dollar market, with periods characterized by weakening global econom-

ic conditions and expectations, leading to reduced activity, and signs of improve-

ment, leading to resurgence in activity. Two of the top three months of the year for

non-dollar activity, October and November (US-dollar equivalent of $10bn and

$6bn, respectively), were also two of the strongest months for the dollar market

($30bn plus in each month).

Non-US dollar-denominated issuance set a new record in 2010By par amount

Note: 2010 data is through December 10.Source: J.P. Morgan.

10.2 9.46.9

3.2

11.8

22.3 20.4

33.4

26.1

1.3

30.9

54.1

0

10

20

30

40

50

60

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

(US-

dolla

r equ

ivalen

t, bn)


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December 2010

57

3

Foreign US-dollar denominated activity set another record in 2010


8.0 9.5

17.2 17.2

10.3 9.1

5.13.3

18.5

11.1

7.2

12.0

6.4

1.3

23.2

31.0

$0

$5

$10

$15

$20

$25

$30

$35

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

($bn

)

1

Top 10 non-dollar deals by volume in 2010


0.0

0.5

1.0

1.5

2.0

2.5

3.0

Conti

-Gum

miFin

ance

(pric

ed:9/

2)

GMAC

Inter

natio

nal

Finan

ce(p

riced

:4/14

)

Peug

eot

(pric

ed:10

/21)

Virg

in Me

diaFin

ance

(pric

ed:1/

13)

Arda

gh P

acka

ging

Finan

ce(p

riced

:9/30

)

Ziggo

Bon

d Co

(pric

ed:4/

27)

Pern

od-R

icard

(pric

ed:3/

11)

Conti

-Gum

miFin

ance

(pric

ed:9/

27)

Heide

lberg

Ceme

ntAG

(pric

ed:1/

12)

Wind

Acq

uisitio

n(p

riced

:11/18

)

(US-

dolla

r equ

ivalen

t, bn)

US-dollar foreign issuance also benefited from the wide-open capital markets this

year. Accounting for $23bn of activity in 2009, this year’s international activity rose

to $31bn, setting a new record. International activity steadily increased as the year

progressed, with $6bn placed in the first quarter growing to $11bn in the fourth

quarter. The only exception was the second quarter, when activity declined as sover-

eign debt concerns overshadowed the European primary market, allowing for just

one European company, Ineos Finance, to tap the market for $570mn in Senior

Secured Notes. Total new issuance in the international market, including both US-

dollar and non-dollar denominated issues, was $85bn in 2010, or 57% higher than

last year’s previous record of $54bn.


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December 2010

58

3


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December 2010

59

4

Event risk


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December 2010

60

4


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December 2010

61

4

Event risk in the high-yield market

2010 highlights

The net impact of event risk in the high-yield market in 2010 was positive.

Specifically, default volumes declined significantly from record levels the prior

year, credit conditions improved, the dollar volume of rising stars outpaced that of

fallen angels, high-yield M&A activity increased for the second consecutive year,

high-yield public equity issuance reached a record high, and called and tendered

debt both increased. We summarize our 2010 findings as follows (all 2010 data is

through November 30):

• Default activity declined significantly in 2010, as 41 companies defaulted, affect-

ing a combined $19 billion in bonds and loans. By comparison, 120 companies

defaulted on a record-high $185 billion in bonds and loans during full-year 2009.

Specifically for the high-yield bond market, this year’s $7.4 billion of bonds

affected was the third lowest volume in the last 13 years. The par-weighted bond

default rate decreased to 0.74%, down from 10.27% at the end of last year. For

loans, the par-weighted default rate decreased to 2.18% from 12.78%.

• Credit conditions remained strong throughout 2010, as upgrades outnumbered

downgrades in each of the year’s first 11 months. Overall there were 353

upgrades totaling $335 billion of bonds, compared with 233 downgrades totaling

$196 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.52:1.

• The number and dollar volume of rising stars outpaced fallen angels in 2010,

marking only the second time in the last 11 years that has occurred. Specifically,

19 companies were upgraded to investment-grade from high yield affecting $33

billion in bonds. Meanwhile, 13 companies were downgraded to high yield from

investment-grade affecting $28 billion in bonds.

• Total domestic merger and acquisition activity decreased for the third consecu-

tive year, following four consecutive years of growth, decreasing to $806 billion

in 2010, compared with $903 billion in full-year 2009. However, M&A activity

involving high-yield issuers increased in 2010, accounting for $171 billion in

deal volume, compared with $109 billion last year.

• Total public equity issuance of $154.8 billion in 2010 was down 32% from last

year’s $229.1 billion. High-yield equity offerings totaled a record-high $43.9 bil-

lion, compared with $29.1 billion during full-year 2009 and a 15-year average of

$23.3 billion per year. The percentage of total equity issuance that belonged to

high-yield companies was 28.4%, another record, compared with 12.7% in 2009.

• Due to robust capital market conditions, the total volume of called debt increased

two-fold year over year in 2010, as 179 companies called all or part of 244 issues

totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion

in 2009. Tendered debt increased to $47.9 billion in 2010, up from $45.5 billion

during all of last year, and on pace to become the second highest volume all time.


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December 2010

62

4

Annual number and dollar volume of high-yield defaults

Note: 2010 data is through November 30.Sources: J.P. Morgan; Moody’s Investors Service.

2.5 3.6 5.0

15.122.9 22.0

8.2 7.2 5.2 8.0

22.028.3

56.0 55.6

24.9

8.6

22.9

94.6

4.83.44.77.4

19.4

3.27.310.3

61

19

70

42

11182129

87

138

116

86

47

2618

37

162031

625149

33282723

0

20

40

60

80

100

120

140

160

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Numb

er of

defau

lts

0.010.020.030.040.050.060.070.080.090.0100.0

($bn)

Amount ($ bn) Number

• The net impact of event risk in the international high-yield market was positive in

2010, as international default activity was benign and upgraded issuers outnum-

bered downgraded issuers. Most notably, only 7 non-domestic companies default-

ed in 2010, totaling US-equivalent $3.2 billion in bonds—there were no defaults

affecting loans.

DefaultsDefault activity declined significantly in 2010, following last year’s record-high vol-

ume. Through November 30, 41 companies defaulted, affecting a combined $19

billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional

bank loans). By comparison, 120 companies defaulted on a record-high $185 billion

in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in

bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan

only borrowers, and the remaining 8 companies had both bonds and loans outstand-

ing. Specifically for the high-yield bond market, this year’s $7.4 billion of bonds

affected was the third lowest volume in the last 13 years, trailing only 2005’s $3.2

billion and 2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was

the third largest total on record, trailing last year’s $90.1 billion and 2008’s

$29.7 billion.

Annual number and dollar volume of institutional bank loan defaults

Note: 2010 data is through November 30.Sources: J.P. Morgan; S&P LCD.

8.1 7.93.0

29.7

11.6

5.91.53.20.6

90.1

1.21.27.1

30

93

60

3511

612

232633

94

0102030405060708090

100

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Numb

er of

defau

lts

0.010.020.030.040.050.060.070.080.090.0100.0

($bn)



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December 2010

63

4

After setting record highs in 2009, high-yield bond and loan par-weighted default

rates fell significantly in 2010. During the year, the par-weighted bond default rate

decreased each month, falling to 0.74% at the end of November, down from 10.27%

at the end of last year. Meanwhile, the issuer weighted default rate for bonds

decreased to 2.16% from 8.59%. For loans, the par-weighted default rate decreased

to 2.18% from 12.78%, and the issuer-weighted default rate declined to 2.86% from

7.34%. As a reminder, given strong market technicals, few 2011 or 2012 maturities,

and an expected moderate acceleration in US GDP growth next year, our 2011

default forecasts for high-yield bonds and loans are 1.5% and 2%, respectively.

Additionally, our 2012 forecasts for bond and loan default rates are 2% and

3%, respectively.

Twelve-month rolling par-weighted default rates

Sources: J.P. Morgan; S&P LCD.

Nov-09 10.98%

Nov-10 0.74%

Nov-09 14.18%

Nov-10 2.18%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Defau

lt rate


Twelve-month rolling issuer-weighted default rates


Nov-10 2.16%

Oct-09 10.04%

Nov-10 2.86%

Oct-09 7.89%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Defau

lt rate


Default activity was generally pretty steady over the course of the year, with the

number of defaults ranging from 2 to 5 in each month except for January when 8

companies defaulted. This is a dramatic change from last year when an average of

10 companies defaulted per month. Default volumes reflected a different story, with


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Bond default volume increased for six consecutive months through November


0.2

2.32.9

1.00.1

0.9

3.02.5 1.1 2.2

0.8 0.8 1.1

2.4

1.1

0.2 0.4

1.9 0.4

2.0

0.3 0.2

0.1

0.52.32.6

4.45.8

2.4

0.3

0.2

-1.02.03.04.05.06.07.08.09.0

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Defau

lt volu

me ($

bn)

High-yield bonds Bank loans

total default volume increasing to a YTD high of $4.1 billion in the most recent

month (November). Specifically, bond default volume increased for six consecu-

tive months through November, from no defaults in May to $3 billion, and out-

paced bank loan default volume in September, October and November, after

trailing loan volumes during the prior 9-month stretch. Indicative of this pick up

in defaults at the tail end of the year, six of the ten largest YTD defaults (including

both bonds and loans) occurred in the 70 days leading up to November 30—

November’s 5 defaults reflected the second, third, eighth, fifteenth, and sixteenth

largest YTD.

The average size of defaults in 2010 was $463 million per company, down consider-

ably from $1.6 billion in 2009 (including both bank and bond debt). There were

only five $1 billion-plus defaults this year, compared with 30 in 2009—these

five defaults accounted for 30% of the year’s total defaulted volume. The largest

default was Boston Generating, which defaulted on $2.0 billion in institutional

loans. The power generation company filed Chapter 11 in August. Ambac Financial,

the financial guarantee and services company, missed an interest payment on

November 1 and eventually filed Chapter 11 seven days later. The default was the

second largest bankruptcy in 2010, affecting $1.2 billion in bonds. The third largest

default was advertising and marketing services provider, Vertis, Inc, which defaulted

on $736 million in bonds and $395 million in loans (total of $1.1 billion). The pre-

packaged Chapter 11 reorganization comes roughly two years after Vertis and

American Color Graphics merged during a combined Chapter 11 filing in 2008. The

fourth largest default was Canadian casino operator, Gateway Casinos &

Entertainment, which affected $1.1 billion in institutional bank loans after the com-

pany did not make interest payments due on its 1st and 2nd lien credit facilities.

Rounding out the five largest defaults was TerreStar Networks, a provider of mobile

satellite coverage throughout the U.S. and Canada, who filed Chapter 11, affecting

$996 million in bonds and $100 million in loans.


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20 Largest defaults in 2010

Note: Through November 30.Source: J.P. Morgan

InstitutionalDate Company Bonds ($ mn) loans($ mn) Total Industry18-Aug-10 Boston Generating 1,975.1 1,975.1 Utility01-Nov-10 Ambac Financial Group 1,247.2 1,247.2 Financial17-Nov-10 Vertis Holdings 736.1 395.0 1,131.1 Diversified Media07-Jan-10 Gateway Casino 1,104.8 1,104.8 Gaming/Lodging19-Oct-10 TerreStar Networks 995.6 100.0 1,095.6 Cable and Satellite23-Sep-10 Blockbuster 930.0 930.0 Retail10-Feb-10 Penton Media 869.0 869.0 Diversified Media17-Nov-10 American Media Operations 387.3 430.6 817.9 Diversified Media16-Apr-10 Green Valley Ranch 763.5 763.5 Gaming/Lodging01-Oct-10 Angiotech Pharmaceuticals 575.0 575.0 Healthcare27-Jan-10 Natural Products 565.0 565.0 Consumer Products09-Jul-10 Oriental Trading 565.0 565.0 Consumer Products24-Feb-10 White Birch Paper Company 542.2 542.2 Paper/Packaging03-Feb-10 Movie Gallery 540.9 540.9 Retail17-Nov-10 Local Insight Regatta Holdings 210.5 310.9 521.4 Diversified Media01-Nov-10 Indianapolois Downs 447.6 447.6 Gaming/Lodging17-May-10 Neff Rental 34.3 377.9 412.2 Services28-Jul-10 American Safety Razor 384.3 384.3 Consumer Products31-Aug-10 Graceway Pharmaceuticals 330.0 330.0 Healthcare04-Aug-10 FGIC Corp 261.9 46.0 307.9 Financial

Total 5,825.6 9,300.2 15,125.8Percent of YTD default volume 79% 80% 80%

The Diversified Media sector was once again the industry most impacted by

defaults in 2010, as 7 companies defaulted in 2010, or 17.1% of all defaults (includ-

ing bonds and loans). Last year, the sector was responsible for 14 of the year’s 120

bankruptcies, or 11.7% of the total. Defaults were also concentrated in the

Consumer Products and Services sectors, each with 5 companies defaulting during

the year, or 12.2% of all defaults. Several industries recorded no defaults in 2010,

including Automotive, Chemicals, Energy, Technology, Telecommunications, and

Transportation, all of which combined for 34 of the 120 defaults in 2009, including

10 and 11 defaults in the Automotive and Energy sectors, respectively. By dollar

volume, Diversified Media defaults accounted for $3.9 billion (20.8%), followed by

Gaming Lodging and Leisure ($2.3 billion, 12.2%) and Utility ($2.3 billion, 11.9%).


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2010 defaults by industry Percent of total bond and loan default volume


Cable and Satellite5.8%

Consumer Products9.9%

Diversified Media20.8%

Financial8.2%

Food and Beverages0.7%

Retail8.3%

Services6.0%

Utility11.9%

Industrials1.6%

Housing2.0%

Healthcare6.5%

Metals and Mining1.2%

Paper and Packaging4.4%

Gaming Lodging and Leisure12.2%

Broadcasting0.6%

Based on the ratings for bonds 12 months prior to their default, 9 of the year’s 19

bond defaults were rated Caa1, Caa2, or Caa3 a year prior to their bankruptcy.

Using an estimated total of 215 CCC-rated issuers at the start of 2010 implies a

4.2% default rate for CCCs. Defaults rated single-B twelve months prior to their

default totaled 2, and based on an estimated 313 single-B issuers at the start of the

year implies a 0.6% default rate. Interestingly, 8 defaults were either rated Ca or

nonrated one year prior to default, and based on an estimated 85 issuers in this bas-

ket at the start of the year implies a 9.4% default rate. Based on the ratings for

bonds at their last offering date, 9 defaults were rated single-B at their last offering,

while 4 were rated triple-C. Two companies, Ambac Financial and FGIC Corp, were

rated investment grade at their last offering date—both were fallen angels in 2008.

Upgrades and downgradesCredit conditions remained strong throughout 2010, a trend extended from the end

of last year, as upgrades outnumbered downgrades in each of the year’s first 11

months and 15 consecutive months dating back to September. Overall there were

353 upgrades totaling $335 billion of bonds, compared with 233 downgrades total-

ing $196 billion, which equates to an upgrade-to-downgrade ratio by issuer of

1.52:1. By comparison, there were 212 upgrades affecting $242 billion in 2009,

compared with 481 downgrades affecting $419 billion (0.44:1). Notably, the dollar

volume of upgraded bonds through November is on pace to break 2006’s current

record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgrad-

ed issuers increased to 1.57:1 as of November 30, from 0.44:1 at the start of the

year and a record-low of 0.24:1 17 months ago.


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December 2010

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Rolling 12-month upgrade-to-downgrade ratio by issuer


30-Jun-09 0.24

30-Nov-10 1.57

0.000.200.400.600.801.001.201.401.601.80

Dec-9

5

Dec-9

6

Dec-9

7

Dec-9

8

Dec-9

9

Dec-0

0

Dec-0

1

Dec-0

2

Dec-0

3

Dec-0

4

Dec-0

5

Dec-0

6

Dec-0

7

Dec-0

8

Dec-0

9

LTM

upgr

ade-

to-do

wngr

ade r

atio

Annual upgrades and downgrades by issuer


72

147 135

301

376 353

114 95 93

223

425 446

586 597

439

330

470 481

212238

547

214194230

280259 237

139

233

392

496

287

0

100

200

300

400

500

600

700

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Upgrades

Downgrades

Annual upgrades and downgrades by dollar amount


46

127

245 227197

419

335

242

148

267

4080 98 95 97

73119

167

222

352

196

507

391334

268

39 2569

109

446

0.0

100.0

200.0

300.0

400.0

500.0

600.0

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

($ bn

)

Upgrades

Downgrades


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The Energy sector benefited the most from upgrades by the ratings agencies this

year, leading the way with 30 upgraded issuers (8.6%), the fourth consecutive year

the sector has registered the most upgrades. The Healthcare and Paper and

Packaging sectors also benefited from upgrades, as each sector had 24 companies

upgraded (6.9%) during the year. By dollar volume affected, it was the Automotive

sector that benefited the most, $48 billion of debt was upgraded (14.4% of total debt

affected), followed by Financial, $33 billion (10.0%).

2010 upgrades by industry Percent of total issuers

Note: 2010 data is through November 30.Source: J.P. Morgan

Automotive6.3% Broadcasting

3.7%Cable and Satellite

3.7%Chemicals

5.4%



Energy8.6%

Food and Beverages4.3%Healthcare

6.9%

Housing4.3%

Industrials5.2%



Retail5.7%

Utility2.0%

Financial4.6%


Services3.2%

Technology4.9%

Telecommunications3.7%

Transportation2.6%


Largest upgrades in the high-yield market 2010Date Issuer Amount ($ mn) Industry08-Oct-10 Ford Motor Company 37,739.8 Automotive28-Jan-10 Ally Financial 17,854.2 Financial13-Aug-10 QWest Communications International 11,733.7 Telecommunications14-Apr-10 Harrah's Operating 8,299.4 Gaming Lodging and Leisure17-May-10 Macys Retail Holdings 8,183.1 Retail06-Jul-10 MGM Mirage 6,710.4 Gaming Lodging and Leisure14-Oct-10 Energy Future Holdings 5,720.4 Utility29-Nov-10 Lyondell Chemical 5,490.3 Chemicals04-Mar-10 Teck Resources 5,425.0 Metals and Mining26-Mar-10 Georgia-Pacific 5,050.0 Paper and Packaging

Total 112,206.4


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42010 downgrades by industry Percent of total issuers



Gaming Lodging and Leisure8.3%Healthcare

5.4%

Housing5.8%

Industrials5.0%


Energy15.8%

Financial14.1%

Automotive0.8%

Broadcasting1.7%

Cable and Satellite0.4% Chemicals

2.1%Consumer Products

4.1%


Utility6.2%Transportation

3.7%


Technology2.9%

Services4.1%

Retail2.9%



Largest downgrades in the high-yield market 2010Date Issuer Amount ($ mn) Industry24-Feb-10 American International Group 20,050.0 Financial04-Mar-10 Sprint Nextel Corporation 18,884.3 Telecommunications12-Oct-10 Energy Future Holdings 11,021.4 Utility23-Nov-10 Regions Financial Corp 6,200.0 Financial12-Apr-10 Edison International 4,424.7 Utility14-Sep-10 Pulte Home 4,308.4 Housing04-Feb-10 Windstream 4,146.0 Telecommunications13-Apr-10 Dynegy 3,651.8 Utility18-Jun-10 Lyondell Chemical 3,240.3 Chemicals09-Jul-10 iStar Financial 3,045.1 Financial

Total 78,972.0

The Energy industry was also most affected by downgrades in terms of number of

companies (38, 15.8% of the total), while it ranked second by dollar volume ($30.5

billion, 15.5%).The Financial industry ranked second in term of downgraded com-

panies (34, 14.1%) and had the most debt affected ($43.8 billion, 22.2%). Other sec-

tors largely affected by downgrades, at least in terms of total debt affected, were

Telecommunications ($30.2 billion, 15.3%) and Utility ($23.3 billion, 11.8%).


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4 Issuer upgrade-to-downgrade ratio by industry

Note: Year to date through November 30, 2010.Source: J.P. Morgan.

13.011.0

8.0

3.8 3.3 2.9 2.4 2.4 1.8 1.8 1.6 1.5 1.5 1.4 1.1 1.1 1.0 0.8 0.8 0.5 0.50.02.04.06.08.0

10.012.014.0

Cable

and S

atellit

e

Autom

otive

Metal

s and

Mini

ng

Chem

icals

Broa

dcas

ting

Retai

l

Tech

nolog

y

Pape

r and

Pack

aging

Healt

hcar

e

Cons

umer

Pro

ducts

Telec

ommu

nicati

ons

Food

and

Beve

rage

s

Indus

trials

Dive

rsifie

d Med

ia

Servi

ces

Hous

ing

Tran

spor

tation

Ener

gy

Gami

ng Lo

dging

and L

eisur

e

Finan

cial

Utilit

yUpgr

ade-

to-do

wngr

ade r

atio b

y iss

uer

Volume of fallen angels and rising stars


16 1624 29 30 33

6 3

25

66

142

40

113

28

132731

38

1524

10 1316 19

150

56

37

11

30

1412

51

0.0

25.0

50.0

75.0

100.0

125.0

150.0

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

YTD

($ bn

)

Rising stars Fallen angels

Fallen angels and rising starsThe number and dollar volume of rising stars outpaced fallen angels in 2010, mark-

ing only the second time in the last 11 years that has occurred. Specifically, 19 com-

panies were upgraded to investment-grade from high yield affecting $33 billion in

bonds. Meanwhile, 13 companies were downgraded to high-yield from investment-

grade affecting $28 billion in bonds. By comparison, rising stars totaled 15 and $13

billion in 2009, while fallen angels totaled 58 and a record high $150 billion.

Overall, 17 of 21 industries maintained an upgrade-to-downgrade ratio (by issuer)

that was greater than or equal to 1:1. Cable and Satellite had the best ratio of 13:1,

followed by Automotive and Metals and Mining, with ratios of 11:1 and 8:1, respec-

tively. The Utility and Financial sectors had the lowest upgrade-to-downgrade

ratios, both with ratios of 0.5:1.

2010


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Number of fallen angels and rising stars


37

44

31

18

39

2329

13 13

2724 25

151920

17

6

18

2723

49

63

43

2522

3027

58

13

36

2622

0

10

20

30

40

50

60

70

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

YTD

Rising stars

Fallen angels

The Technology sector was most impacted by rising stars, as four companies were

upgraded from high yield to investment grade in 2010. The total dollar volume of

bonds affected by rising stars within the sector was only $2.5 billion, or 7.7% of the

total, good for only the fifth most among all sectors. The sector most affected by

rising stars in terms of dollar volume was Metals and Mining ($978 billion, 29.8%),

as two of the four largest fallen angels (Teck Resources and Freeport McMoRan

Copper & Gold) resided in the industry. Despite having only one rising star, the

Telecommunications sector accounted for the second most debt affected by rising

stars ($7.9 billion, 24.2%), as Qwest Communications was the year’s largest

rising star.

2010 rising stars by industry Percent of total debt affected


Automotive1.7% Cable and Satellite

13.7%

Chemicals1.6%Energy3.2%

Financial11.8%

Healthcare6.1%


Technology7.7%


2010


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The Financial sector was impacted the most by fallen angels, as the sector account-

ed for 4 of the 13 companies that were downgraded to junk in 2010. Total debt

affected was $6.5 billion, or 23% of the total debt affected and good for the second

highest volume by sector. The Energy sector, thanks to the year’s largest fallen

angel, Anadarko Petroleum ($12.7 billion), was the sector most impacted by fallen

angels ($16.8 billion, 60%). Anadarko, which was downgraded to high-yield on

June 18, is now among the largest issuers in our J.P. Morgan Global High-Yield

Index, ranking tenth, as of November 30, with a market weight of 0.57%. The next

industry most impacted by fallen angels in 2010 was Utility, as two companies,

FirstEnergy and Rockies Express, were downgraded from investment grade totaling

$3.1 billion (10.9% of total volume).


Largest rising stars in the high-yield market 2010

Date Issuer Amount ($ mn) Industry13-Aug-10 Qwest Communications 7,924.7 Telecommunications27-Apr-10 Teck Resources 5,425.0 Metals and Mining04-Mar-10 DirecTV Holdings/Finance 4,500.0 Cable and Satellite13-Oct-10 Freeport-McMoRan Copper & Gold 4,090.0 Metals and Mining13-Sep-10 HBOs plc 2,750.0 Financial12-May-10 UnumProvident 1,127.0 Financial11-Jun-10 National Semiconductor 1,000.0 Technology12-Nov-10 Mariner Energy 900.0 Energy08-Jun-10 Watson Pharmaceuticals 850.0 Healthcare04-Feb-10 Ventas Realty 723.1 Healthcare

Total 29,289.8 Percent of total fallen angels 89.5%

2010 fallen angels by industry Percent of total debt affected


Energy60.0%

Financial23.3%

Utility10.9%

Healthcare2.1%





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Largest fallen angels in the high-yield market 2010

Date Issuer Amount ($ mn) Industry18-Jun-10 Anadarko Petroleum Corp 12,659.0 Energy01-Nov-10 Regions Financial Corp 3,550.0 Financial29-Jul-10 NGPL Pipeco 3,000.0 Energy11-Feb-10 FirstEnergy 1,750.0 Utility21-Oct-10 Marshall & Iisley Corporation 1,627.1 Financial12-Mar-10 Rockies Express 1,300.0 Utility02-Jul-10 QEP Resources 1,150.0 Energy01-Nov-10 AmSouth Bank 850.0 Financial25-Jun-10 Universal Health Services 600.0 Healthcare02-Nov-10 Seminole Tribe 535.2 Gaming Lodging and Leisure

Total 27,021.2 Percent of total rising stars 96.4%

Merger and acquisition activityMerger and acquisition (M&A) activity decreased for the third consecutive year,

following four consecutive years of growth. Total domestic M&A activity accounted

for $806 billion in 2010 (through November 30), compared with $903 billion in

full-year 2009. This year’s transaction volume is on pace to be the lowest since

2003. In terms of the number of transactions, there were 2,148 in the first 11

months of 2010, a slight increase over last year’s 1,986 transactions, but still low

relative to the previous 10 years in which an average 3,470 transactions occurred. A

few interesting takeaways from this year’s M&A activity were: 1) 81 transactions

were LBOs totaling $61.8 billion; 2) 87.1% of the deals were less than $500 million

in size, while 7.4% were greater than $1 billion; 3) the average premium paid was

32.84%; 4) the largest transaction was Exxon Mobil Corp’s takeover of XTO

Energy ($41.4 billion). Specific to high yield, M&A activity involving high-yield

issuers accounted for $171 billion in deal volume through November 30, compared

with $109 billion last year, $57 billion in 2008 and $429 billion in 2007.

Domestic mergers and acquisitions (1990 to 2010)

Notes: 1. Data is based on North American completed transactions greater than $10 million. 2. 2010 data is through November 30.Sources: Thomson Financial Securities Data; Bloomberg.

275 197 205334

466

687851

11921290

1470

1890

1230

718592

970

1180

1730

2380

1460

903806

0250500750

1000125015001750200022502500

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Tran

sacti

on va

lue ($

bn)


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In 2010 (through November 30), 112 M&A transactions were completed, valued at

over $100 million each, in which the target company was a high-yield debt issuer.

These transactions represented $108 billion, compared with 42 deals for $61 billion

last year. Twenty deals were valued at more than $1.0 billion in 2010, compared

with only 11 last year. The largest transaction was the acquisition of Affiliated

Computer Services by Xerox Corp; the transaction totaled $7.9 billion and account-

ed for 7% of the total debt affected by acquisitions of high-yield targets. The indus-

try that saw the most transactions was Energy, in which 31 deals took place, or 27%

of the total. By dollar volume affected, Energy was again the top industry, with

$20.3 billion in total transaction value (19%), followed by Technology, in which

$15.7 billion of total debt was affected (15%).

Note: Based on data through November 30, 2010.Sources: Bloomberg; J.P. Morgan.

Largest acquisitions of high-yield issuers 2010

Date TransactionAnnounced Target Acquirer Size ($ mn) Industry08-Feb-10 Affiliated Computer Services Inc Xerox Corp 7,891.0 Technology01-Jul-10 QEP Resources Inc Shareholders 5,398.1 Energy20-Oct-10 Burger King Holdings Inc 3G Capital Inc 3,933.9 Food and Beverages19-Aug-10 General Growth Properties Inc Multiple acquirers 3,925.0 Financial01-Oct-10 NBTY Inc Carlyle Group/The 3,812.0 Retail11-Nov-10 Mariner Energy Inc Apache Corp 3,801.5 Energy30-Jul-10 Interactive Data Corp Multiple acquirers 2,996.2 Services03-Aug-10 Fidelity National Information Shareholders 2,500.0 Financial28-Sep-10 Valeant Pharmaceuticals International Valeant Pharmaceuticals 2,433.5 Healthcare28-Oct-10 Intergraph Corp Hexagon AB 2,125.0 Technology

38,816.3

2010 acquisitions of high-yield issuers by industry Percent of total debt affected


Energy18.8%

Financial11.8%



Healthcare8.7%

Housing0.4%



Industrials3.3%

Retail5.6%

Services4.0%

Technology14.6%


Transportation3.2%



Chemicals5.5%

Utility1.5%

Automotive4.7% Cable and Satellite

6.0%


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In 2010 (through November 30), 128 M&A transactions were completed, valued at

over $100 million each, in which the acquirer was a high-yield debt issuer. These

transactions represented $94.3 billion, compared with 47 deals for $48.0 billion in

full-year 2009. Twenty-three deals were valued at more than $1.0 billion in 2010,

compared with seven last year. The largest transaction was Frontier

Communications’ acquisition of 4.8 million access lines from Verizon

Communications. The transaction was valued at $8.2 billion and accounted for 8.7%

of the total volume of M&A transactions in which the acquirer was a high-yield

company. The industry that saw the most transactions was Energy, in which 24

deals took place, or 19% of the total. By dollar volume affected, Energy was the

most affected industry, with $15.4 billion in total debt affected (16%), and followed

by Telecommunications ($12.4 billion, 13%).

2010 acquisitions by high-yield issuers by industryPercent of total debt affected


Technology3.6%

Services3.3%

Retail0.6%



Industrials3.9%

Housing0.6% Healthcare

11.1% Gaming Lodging and Leisure1.2%


Financial5.2%

Broadcasting0.4%

Automotive3.5%

Utility2.8%

Transportation3.7%



Chemicals5.3%



Energy16.3%

Note: 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg.

Largest acquisitions by high-yield issuers 2010

Date TransactionAnnounced Target Acquirer Size ($ mn) Industry01-Jul-10 Verizon Comm: 4.8 million access lines Frontier Communications Corp 8,244.8 Telecommunications28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals10-Mar-10 Encore Acquisition Co Denbury Resources Inc 4,062.2 Energy30-Apr-10 Appalachian E&P Business Consol Energy Inc 3,475.0 Metals and Mining01-Oct-10 General Motors Financial Co Inc General Motors Co 3,306.5 Automotive08-Nov-10 Inergy Holdings LP Inergy LP 3,222.0 Energy01-Oct-10 Continental Airlines Inc United Continental Holdings Inc 3,185.6 Transportation06-May-10 Tommy Hilfiger Corp Phillips-Van Heusen Corp 3,144.6 Consumer Products16-Nov-10 Psychiatric Solutions Inc Universal Health Services Inc 3,114.4 Healthcare

Total 41,266.4


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December 2010

76

4

Equity issuanceTotal public equity issuance of $154.8 billion in 2010 (through November 30) was

down 32% from last year’s $229.1 billion. By comparison, total equity issuance was

$174.9 billion in 2008, $188.8 billion in 2007, and $152.7 billion in 2006. There

were 171 IPOs during the year totaling $44 billion, compared with 545 additional

offerings totaling $110.7 billion. In 2009, IPOs totaled 80 and $20 billion, while

additionals totaled 653 and $209 billion. Activity was relatively even through the

first three quarters, as total issuance was $32 billion in 1Q, $35 billion in 2Q, and

$37 billion in 3Q. However, during the first two months of 4Q, equity issuance

totaled $51.3 billion. High-yield equity offerings totaled a record-high $43.9 billion

through November 30, compared with $29.1 billion during full-year 2009 and a 15-

year average of $23.3 billion per year. The percentage of total equity issuance that

belonged to high-yield companies was 28.4%, another record, compared with 12.7%

in 2009.

Public equity issuance by high-yield issuers versus S&P 500 price-to-earnings ratio

Note: Fourth-quarter 2010 is through November 30.Sources: J.P. Morgan; Bloomberg.

$0.0

$20.0

$40.0

$60.0

$80.0

$100.0

$120.0

1Q90

4Q90

3Q91

2Q92

1Q93

4Q93

3Q94

2Q95

1Q96

4Q96

3Q97

2Q98

1Q99

4Q99

3Q00

2Q01

1Q02

4Q02

3Q03

2Q04

1Q05

4Q05

3Q06

2Q07

1Q08

4Q08

3Q09

2Q10

Publi

c equ

ity is

suan

ce ($

bn)

0.0x

10.0x

20.0x

30.0x

40.0x

50.0x

60.0x

70.0x

S&P 500 P/E ratio

Equity issuance S&P 500 price-to-earnings ratio


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The Energy sector, like last year, accounted for the greatest number of high-yield

equity offerings; 30 deals (26.8%) totaling $6.0 billion (13.7%) priced in 2010. The

Financial and Transportation sectors saw the second and third largest number of

equity offerings, with 18 (16.1%) and 11 (9.8%), respectively. In terms of dollar

volume of high-yield offerings, Automotive companies, with $17.3 billion of

issuance was easily the most of any sector, accounting for nearly 40% of the total

transaction volume in 2010. Financial offerings totaled $7.9 billion (18.0%), good

for the second highest total, followed by the previously mentioned Energy sector.

Quarterly public equity issuance by high-yield issuers

Note: 4Q10 data is through November 30.Sources: J.P. Morgan; Bloomberg.

5.84.8

2.7

6.25.6

1.3

9.6

3.0

7.4

1.31.71.42.8

4.64.25.5

6.38.18.1

6.8

4.0

8.9

6.7

9.17.4

4.6

7.98.9

12.9

3.64.12.4

5.9 5.1

1.7 2.4

10.4

5.8

9.1 9.8

3.1

21.9

10.5

14.4

$0.0

$5.0

$10.0

$15.0

$20.0

$25.0

1Q00

3Q00

1Q01

3Q01

1Q02

3Q02

1Q03

3Q03

1Q04

3Q04

1Q05

3Q05

1Q06

3Q06

1Q07

3Q07

1Q08

3Q08

1Q09

3Q09

1Q10

3Q10

Publi

c equ

ity is

suan

ce ($

bn)

2010 equity issuance by high-yield issuers Percent of total issuers


Retail2.7%



Industrials5.4%

Healthcare2.7%

Housing2.7%



Utility0.9%

Automotive7.1%

Energy26.8%

Financial16.1%

Services2.7%

Technology6.3%

Chemicals1.8%



Transportation9.8%


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CallsDue to robust capital market conditions, the total volume of called debt increased

two-fold year over year in 2010, as 179 companies called all or part of 244 issues

totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion in

2009. This year’s total is on pace to become the second highest total on record,

trailing only 2004’s $60.7 billion of called high-yield bonds. Thirty issues were

called in the Energy sector, or 12.3% of total issues, the most among all industries.

Also contributing a large number of calls were the Housing and Consumer Products

sectors, contributing 18 and 17 transactions, respectively. As a percent of total dollar

volume called, Energy accounted for 12.7%, totaling $5.8 billion, the largest vol-

ume of any sector, followed by Metals and Mining ($4.2 billion, 9.3%) and

Financial ($4.1 billion, 9.1%).


Largest equity offerings by high-yield issuers 2010

Date Issuer Amount ($mn) Industry18-Nov-10 General Motors Co 15,774.0 Automotive15-Nov-10 General Growth Properties Inc 1,991.3 Financial25-Mar-10 Consol Energy Inc 1,636.3 Metals and Mining16-Nov-10 El Paso Pipeline Partners LP 1,220.9 Energy16-Nov-10 TRW Automotive Holdings Corp 1,058.9 Automotive12-Nov-10 Sensata Technologies Holding NV 1,050.8 Industrials15-Apr-10 CF Industries Holdings Inc 1,000.0 Chemicals14-Apr-10 Popular Inc 1,000.0 Financial13-Oct-10 MGM Resorts International 868.8 Gaming Lodging and Leisure13-Aug-10 Avago Technologies Ltd 739.3 Technology

Total 26,340.2

Amount of high-yield bonds called


45.3

22.7

14.9

46.3

27.4

38.2

60.7

37.6

17.111.611.510.4

14.8

5.65.05.5

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

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

Calle

d deb

t ($ b

n)


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TendersTendered debt increased to $47.9 billion in 2010, up from $45.5 billion during all of

last year, and on pace to become the second highest volume all time. The current

record is $63.8 billion that was tendered in 2007. The Financial sector accounted for

largest number of tenders (52, 15.8%), followed by Housing (40, 12.2%) and

Energy (33, 10.0%). The Energy sector accounted for the largest tendered-debt vol-

ume ($8.0 billion, 16.6%), followed by Cable and Satellite ($3.9 billion, 8.2%) and

Healthcare ($3.8 billion, 7.8%).

2010 high-yield bond calls by industry Percent of total issues


Telecommunications3%

Technology4%

Services5%

Retail6%

Paper and Packaging5%

Diversified Media2%

Healthcare6%

Housing7%

Industrials5%

Metals and Mining4%

Gaming Lodging and Leisure

6%

Food and Beverages5%

Financial6%

Energy12%

Automotive3%

Utility2%

Transportation3%

Broadcasting2% Cable and Satellite

3%Chemicals

3%

Consumer Products7%


Largest calls in the high-yield market 2010

Date Issuer Amount ($mn) Industry16-Sep-10 Chesapeake Energy 2,040.0 Energy18-Nov-10 MetroPCS 1,636.9 Telecommunications08-Nov-10 FMG Finance Pty Ltd 1,593.5 Metals and Mining04-Nov-10 CIT Group Funding Co of Delaware 1,397.0 Financial15-Feb-10 Icahn Enterprises 1,330.8 Financial29-Nov-10 Host Marriott 1,171.0 Gaming Lodging and Leisure29-Nov-10 United Rentals 1,155.5 Services01-Apr-10 Freeport-McMoRan Copper & Gold 1,000.0 Metals and Mining29-Sep-10 Goodyear Tire & Rubber 972.9 Automotive29-Nov-10 Nielsen Finance LLC 870.0 Diversified Media

Total 13,167.7


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Amount of high-yield debt tendered


1.2 2.2 3.6 6.1

13.6

22.415.7 12.9

9.6 8.8

18.6

40.2 38.7

49.0

63.8

35.5

45.5 47.9

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

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

Tend

ered

debt

($ bn

)

2010 high-yield bond tenders Percent of total debt affected




Industrials6.2%

Retail5.2%

Services1.8%

Technology5.6%

Housing5.0%

Healthcare7.8%



Financial4.4%

Transportation1.8%


Broadcasting2.5%

Energy16.6%


Automotive2.8%

Utility2.0%

Chemicals3.6%




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Largest high-yield tendered deals by high-yield issuers 2010

Date Issuer Amount ($mn) Industry16-Feb-10 Williams Companies 2,999.8 Energy11-May-10 Charter Communications 1,421.8 Cable and Satellite30-Aug-10 Chesapeake Energy 1,394.2 Energy24-Mar-10 Qwest Capital Funding 1,297.9 Telecommunications01-Nov-10 Davita 1,288.5 Healthcare30-Aug-10 Wynn Las Vegas 1,234.0 Gaming Lodging and Leisure04-May-10 Rexnord 1,067.4 Industrials22-Sep-10 Visant Holding Corporation 1,026.0 Consumer Products10-May-10 Cablevision Systems 973.2 Cable and Satellite30-Sep-10 Freescale Semiconductor 969.3 Technology

Total 13,672.0

International event riskThe net impact of event risk in the international high-yield market was positive in

2010. Similar to the domestic default environment, international default activity was

benign throughout the year. Only 7 non-domestic companies defaulted in 2010,

totaling US-equivalent $3.2 billion in bonds—there were no defaults affecting loans

in 2010. By comparison, international defaults totaled 41 companies and a US-

equivalent $16.2 billion in bonds and loans in 2009. International defaults

accounted for 14.6% of global high-yield defaults, compared with 7.5% in

2009, 9.7% in 2008, 15.8% in 2007 and 24.3% in 2006. Breaking down interna-

tional defaults by region, 4 companies were from Europe, 1 was from Asia, and 2

were from Latin America.

International credit conditions improved in 2010, as upgraded issuers outnumbered

downgraded issuers. The upgrade-to-downgrade ratio by issuer was 1.23:1, with 53

issuers receiving upgrades and 43 receiving downgrades (includes US-dollar issues

from non-domestic issuers, as well as euro and sterling denominated debt from

global issuers). By comparison, 33 companies were upgraded and 91 downgraded in

2009 (0.36:1). By dollar volume (with euro- and sterling-denominated debt

exchanged into US dollars), $62.0 billion in debt was upgraded, while $42 billion

was downgraded (1.47:1). In 2009, $27.0 billion in debt was upgraded, while $67.9

billion was downgraded (0.40:1).


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North American Yield Research


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High-Yield Equity Index review


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December 2010

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High-Yield Equity Index review

Highlights for the year

• The J.P. Morgan High-Yield Equity Index provided investors with a 13.7% return

year-to-date through October 29, 2010, compared with the J.P. Morgan Global

High-Yield Bond Index’s return of 14.1% and the S&P 500’s return of 7.8%.

• Seventeen of the 21 industries in the J.P. Morgan High-Yield Equity Index pro-

vided positive returns. Gaming Lodging and Leisure was the best performer,

returning 66.0%, followed by Transportation, 40.5%, and Chemicals, 34.5%. The

worst performing industry was Housing, which returned -9.9%, followed by

Utility, -8.0%.

• The correlation between stocks and high-yield bonds increased, to 73.5% at the

end of October, from 48.8% at the end of last year.

• The J.P. Morgan High-Yield Equity Index included 550 high-yield companies as

of October 29, 2010, compared with 528 companies at the end of 2009. The mar-

ket capitalization of the index increased to $1.5 trillion, up 14% from last year’s

$1.3 trillion.

• The Energy industry remained the largest in the J.P. Morgan High-Yield Equity

Index, constituting 18.2% of the index, slightly higher than the 16.0% weighting

at the end of last year. Other industries include Telecommunications (10.6%),

Financial (9.2%), and Gaming Lodging and Leisure (6.9%).

High-yield equity performance

The J.P. Morgan High-Yield Equity Index provided investors with a 13.67% year-

to-date total return through October 29, 2010, on the heels of a 35.61% full-year

return in 2009. The High-Yield Equity Index outperformed other equity bench-

marks, as the S&P 500 returned +7.84%; the Russell 2000 returned +13.59%; and

the Dow Jones Industrial Average returned +8.96%. Last year the HY Equity Index

outperformed these three indices by an average of 10.2%. As one would expect, the

High-Yield Equity Index has historically outperformed broader equity indices dur-

ing periods of improving risk appetites, and underperformed during periods of rising

volatility and default risk. For example, in 2008, amidst record default activity, the

HY Equity Index underperformed the three broader equity indices by an average

21%. Further to this point, from 2000 through 2002, a period characterized by high

default volumes, the HY Equity Index underperformed the S&P 500 by an average

of nearly 13% each year. Meanwhile, during the extended period of low default risk

from 2003 through 2007, the HY Equity Index outperformed the S&P 500 by an

average of 10.6% each year.


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Seventeen of the 21 industries that constitute the J.P. Morgan High-Yield

Equity Index provided positive returns through October 29. Gaming Lodging

and Leisure was this year’s best performer, as it returned 66% YTD. Las Vegas

Sands (LVS), easily the largest company and best performer within the sector, was

the primary contributor to the industry’s strong performance. The company’s stock

price rose 207% to $45.88, from $14.94 at the end of 2009 and its total market

weighted contribution to the sector’s performance was 32.7%. In fact, the compa-

ny’s weighted average contribution to the overall equity index’s 13.7% was 158bp,

tops among all constituents in the index (second was Ford’s 105bp contribution).

The company’s strong performance is in large part the result of strong results from

their Singapore and Macau properties. The second best performing industry was

Transportation, returning +41%. The strong performance was driven by the air-

line companies, as the three largest contributors to the sectors’ performance were

United Continental Holdings (UAL), Delta Air Lines (DAL), and US Airways

Group (LCC). UAL, the sector’s second largest company, returned 125% during the

YTD period, as its stock priced increased to $29.04, from $12.91 at the start of the

year. Its overall market weighted contribution to the Transportation sector’s 41%

return was nearly half at 19.3%. Meanwhile, DAL, the sector’s largest company,

and LCC, the sector’s top performer, contributed market weighted contributions of

7.4% and 4.2%, respectively. Much of the performance was driven by capacity and

cost rationalization, mainly through consolidation (United Continental being the

largest transaction), and improving booking trends. Rounding out the top five per-

formers were Chemicals, (+34.5%), Automotive (+32.4%, led by Ford Motor

Company, which accounted for almost two-thirds of the sector return with a market

weighted contribution of 20%), and Cable and Satellite (+31.9%).

The worst performing industry was Housing, as it returned -10%. The decline

was broadly distributed as seven of the 22 companies in the sector had returns of

-20% or worse, including the three largest companies, CEMEX, Masco, and Pulte

Home. Also providing negative returns YTD were Utilities (-8%), Diversified

Media (-1.1%), and Technology (-0.7%).

Returns of various assets

1. Through October 29, 2010.Source: J.P. Morgan.

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101

10-Year Treasury -8.45% 15.11% 3.74% 14.63% 1.73% 4.68% 1.93% 1.32% 9.76% 20.22% -8.76% 13.96%JPMorgan JULI High-Grade Index -1.89% 9.86% 10.70% 10.98% 7.86% 5.28% 1.68% 4.29% 5.34% -1.84% 16.72% 10.94%JPMorgan Global HY Index 3.38% -5.83% 5.48% 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 14.08%JPMorgan HY Equity Index 30.20% -24.48% -27.18% -29.79% 56.03% 21.81% 14.19% 16.83% 10.01% -55.60% 35.61% 13.67%Russell 2000 21.26% -2.91% 2.56% -22.01% 47.29% 18.45% 4.63% 18.44% -1.56% -33.49% 27.18% 13.59%S&P 500 21.04% -9.10% -11.87% -22.10% 28.69% 10.87% 4.93% 15.80% 5.49% -37.00% 26.46% 7.84%Dow Jones Industrial Average 27.20% -4.72% -5.44% -15.01% 28.29% 5.31% 1.72% 19.04% 8.88% -31.93% 22.68% 8.96%JPM EMBI Global 24.18% 14.41% 1.36% 13.12% 25.66% 11.73% 10.73% 9.88% 5.86% -10.91% 28.18% 16.11%Leveraged Loans 8.29% 2.52% 3.76% 2.29% 6.82% 6.16% 5.47% 6.77% 2.00% -29.10% 51.62% 8.38%FTSE 100 21.01% -8.00% -13.85% -21.95% 18.39% 11.64% 21.28% 14.89% 7.59% -27.99% 27.90% 8.24%MSCI Europe 54.44% -10.37% -21.08% -17.44% 39.64% 21.66% 10.83% 34.54% 15.75% -47.34% 38.02% 4.78%


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JPMorgan High-Yield Equity Index Year-to-date returns by industry1

1. Through October 29, 2010.Source: J.P. Morgan.

40.5%34.5% 32.4% 31.9%

24.6% 24.2%19.9%

14.7% 13.7% 10.7% 10.1% 8.5% 7.1% 5.4% 5.4% 3.5% 1.6%

-0.7% -1.1%-8.0% -9.9%

66.0%

-20.0%

0.0%

20.0%

40.0%

60.0%

80.0%

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JPMorgan High-Yield Equity Index Year-to-date gainers


Price PriceGainers Ticker 31-Dec-09 29-Oct-10 Px change % change IndustryNetflix NFLX 55.09 173.57 118.48 215.1% RetailLas Vegas Sands LVS 14.94 45.88 30.94 207.1% Gaming /LeisureAmerican Capital ACAS 2.44 6.98 4.54 186.1% FinancialHawk HWK 17.61 49.83 32.22 183.0% IndustrialsMBIA MBI 3.98 11.21 7.23 181.7% FinancialPark-Ohio Industries PKOH 5.65 15.89 10.24 181.2% IndustrialsPolypore PPO 11.90 33.27 21.37 179.6% IndustrialsUS Airways Group LCC 4.84 11.79 6.95 143.6% TransportationKRATON Polymers KRA 13.56 32.46 18.90 139.4% ChemicalsTrimas Corp TRS 6.77 15.83 9.06 133.8% IndustrialsUnited Continental Holdings UAL 12.91 29.04 16.13 124.9% TransportationCommercial Vehicle CVGI 5.99 13.43 7.44 124.2% IndustrialsMariner Energy ME 11.61 24.92 13.31 114.6% EnergyColeman Cable CCIX 3.40 7.14 3.74 110.0% IndustrialsMcMoRan Exploration MMR 8.02 16.84 8.82 110.0% EnergyThermadyne Holdings THMD 7.27 15.08 7.81 107.4% IndustrialsQuiksilver Inc ZQK 2.02 4.17 2.15 106.4% Consumer ProductsAtlas Pipeline Partners APL 9.81 19.79 9.98 101.7% EnergyProspect Medical PZZ 4.25 8.44 4.19 98.6% HealthcareSinclair Broadcast SBGI 4.03 7.99 3.96 98.3% Broadcasting


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JPMorgan High-Yield Equity Index Year-to-date losers


Price PriceLosers Ticker 31-Dec-09 29-Oct-10 Px change % change IndustryDex One Corporation DEXO 27.92 7.01 -20.91 -74.9% Diversified MediaGreat Atlantic & Pacific Tea GAP 11.79 3.44 -8.35 -70.8% RetailGlobal Cash Access GCA 7.49 3.64 -3.85 -51.4% Gaming/LodgingHercules Offshore HERO 4.78 2.36 -2.42 -50.6% EnergySterling Chemicals SCHI 7.00 3.50 -3.50 -50.0% ChemicalsSkilled Healthcare Group SKH 7.45 3.75 -3.70 -49.7% HealthcareDynegy Holdings DYN 9.05 4.64 -4.41 -48.7% UtilityHeadwaters Incorporated HW 6.52 3.40 -3.12 -47.9% Metals and MiningSalem Communications SALM 5.99 3.22 -2.77 -46.2% BroadcastingScientific Games SGMS 14.55 7.92 -6.63 -45.6% Gaming/LodgingEducation Management EDMC 22.01 12.00 -10.01 -45.5% ServicesGeneral Maritime GMR 6.99 3.84 -3.15 -45.1% TransportationComstock Resources CRK 40.57 22.35 -18.22 -44.9% EnergyMetals USA MUSA 21.00 11.96 -9.04 -43.0% Metals and MiningDean Foods DF 18.04 10.40 -7.64 -42.4% Food and BeveragesSandridge Energy SD 9.43 5.47 -3.96 -42.0% EnergyGibraltar Industries Inc ROCK 15.73 9.13 -6.60 -42.0% HousingMueller Water Products MWA 5.20 3.02 -2.18 -41.9% IndustrialsRadnet Management RDNT 3.68 2.16 -1.52 -41.3% HealthcareAK Steel AKS 21.35 12.59 -8.76 -41.0% Metals and Mining

Comparing the industry returns of the equity index with those of the bond

index, we find that equities outperformed bonds in 9 of the 21 sectors. There

were several commonalities in sector performance, as well as a handful of wide dis-

crepancies. Among the industries that performed similarly were Gaming Lodging

and Leisure, Chemicals, Automotive, Cable and Satellite, and Financial, as each

sector was among the seven best (top third) performing industries for both the high-

yield bond and equity markets. At the other end of the spectrum, Technology,

Healthcare, and Energy, were all among the worst third in sector performance for

both asset classes. The largest discrepancy between bond and equity performance

occurred in the Transportation sector, where the equity returns (+41%) ranked it as

the second best performing industry and its bond performance (+6%) ranked as the

worst performer. Other wide discrepancies were evidenced in the Retail sector, as it

was the sixth best in the equity index (+25%) and ranked twentieth in the bond

index (+10%), and the Diversified Media sector, as it was the nineteenth ranked per-

former in the equity index (-1%) and ranked eighth in the bond market (+15%).


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Volatility

Equity-market volatility declined in 2010. Volatility, as measured by the Chicago

Board of Options Exchange’s SPX Volatility Index (VIX), which reflects a market

estimate of future volatility, averaged 23.32 during the year, compared with an aver-

age of 31.48 in 2009. During the course of 2010, the VIX declined to a low of

15.58 on April 12, climbed to a high of 45.79 on May 20, and then steadily

declined to 21.20 by the end of October, which, by comparison, matched the 17-

year average for the index. The twelve-month total-return volatility of the J.P.

Morgan High-Yield Equity Index decreased from 32.44% at year-end 2009 to

25.02% in October 2010. By comparison, the J.P. Morgan Global High-Yield

Index’s twelve-month total-return volatility decreased from 11.61% at the end of

last year to 6.48% in October, the lowest level since March 2008.

J.P. Morgan High-Yield Equity Index Year-to-date returns by industry1

1. As of October 29, 2010.Source: J.P.Morgan.

J.P. Morgan HY Equity Index J.P. Morgan Global HY IndexYTD return Rank YTD return Rank

Gaming Lodging and Leisure 66.00% 1 14.76% 7Transportation 40.49% 2 6.06% 21Chemicals 34.47% 3 19.24% 3Automotive 32.37% 4 18.34% 5Cable and Satellite 31.86% 5 15.00% 6Retail 24.64% 6 10.37% 20Financial 24.22% 7 20.91% 1Industrials 19.87% 8 14.43% 9Consumer Products 14.73% 9 13.01% 14Telecommunications 10.69% 10 19.24% 4Broadcasting 10.06% 11 19.91% 2Paper and Packaging 8.53% 12 11.43% 19Services 7.09% 13 11.49% 18Food and Beverages 5.41% 14 13.90% 11Energy 5.40% 15 12.82% 15Metals and Mining 3.55% 16 14.05% 10Healthcare 1.59% 17 12.79% 16Technology -0.70% 18 12.32% 17Diversified Media -1.09% 19 14.52% 8Utility -8.00% 20 13.35% 12Housing -9.90% 21 13.06% 13

Volatility1 declined in 2010

1. Chicago Board of Options Exchange’s SPX Volatility Index (VIX).Source: J.P. Morgan.

31-Oct-08 59.89(intra-month high 80.86)

29-Oct-10 21.20

17-year average= 21.20

0.0

10.0

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December 2010

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90

Correlation

Returns on high-yield bonds and equities are thought to be highly correlated—the

twelve-month rolling correlation between high-yield bonds and the S&P 500 has

only averaged 51% over the past 29 years. However, the relationship between these

two asset classes had been very volatile during that time, as illustrated in the follow-

ing chart. Historical data indicate that in times of heightened event risk or uncertain-

ty, the equity and high-yield bond markets tend to react similarly, as investors seek

out safer havens. There serves as no better example than in 2008, when record

volatility led the correlation between high-yield bonds and equities to an all-time-

high 91.4%. As volatility declined during 2009, so too did the correlation between

these assets. During the twelve months ended December 2009, the return correlation

between the J.P. Morgan Global High-Yield Bond Index and the S&P 500 was

48.8%. During the course of 2010, although volatility declined, the correlation

between stocks and high-yield bonds increased to 73.53% as of the end of October.

After a mid-year spike, declining volatility during the second half of the year led to strongerbond and equity performance


-10.0%

-5.0%

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4-Ja

n

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b

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ar

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pr

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ay

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ep

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retur

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VIX

S&PHigh-yield bondsVIX

Twelve-month rolling total-return volatility Annualized


0.0%

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Dec-9

4

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d vola

tility

JPMorgan Global High-Yield IndexJPMorgan High-Yield Equity IndexS&P 500 Russell 2000


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The correlation between the J.P. Morgan High-Yield Equity Index and the J.P.

Morgan Global High-Yield Bond Index in the twelve-months ended October 29 was

73.6%, up from 70.6% at the end of last year. The long-term average correlation

between these two indices is 62.9%.

Relationship between high-yield bonds and equities is erratic1

1. Twelve-month rolling correlation between the monthly returns of high-yield bonds and the S&P 500.Source: J.P. Morgan.

29-Oct-10 73.53%

-40.0%

-20.0%

0.0%

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40.0%

60.0%

80.0%

100.0%

Jan-

81Ja

n-82

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83Ja

n-84

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85Ja

n-86

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87Ja

n-88

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Corre

lation

Average correlation = 51.04%

JPMorgan JPMorganJPMorgan JPMorgan EMBI- Global HY

5-year 10-year JULI HG Global HY Global Equity S&P Wilshire RussellTreasury Treasury Index Index Composite Index 500 5000 2000

10-year Treasury 0.91JPMorgan JULI High-Grade Index 0.27 0.43JPMorgan Global HY Index -0.41 -0.32 0.55JPMorgan EMBI- Global Composite 0.02 0.19 0.76 0.81JPMorgan Global HY Equity Index -0.40 -0.33 0.42 0.82 0.68S&P 500 -0.32 -0.23 0.38 0.74 0.66 0.93Wilshire 5000 -0.32 -0.23 0.37 0.74 0.66 0.94 1.00Russell 2000 -0.37 -0.28 0.30 0.71 0.61 0.91 0.93 0.95Leveraged loans -0.57 -0.52 0.34 0.92 0.61 0.73 0.62 0.62 0.60


Correlations among various assets Five years ended October 29, 2010


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J.P. Morgan High-Yield Equity Index profile

The J.P. Morgan High-Yield Equity Index included 550 high-yield companies

as of October 29, 2010, compared with 528 companies at the end of 2009. The

combined market capitalization of the index increased to $1.5 trillion, up 14% from

last year’s $1.3 trillion. For reference, the year-end high water-mark for the index’s

market capitalization was $1.7 trillion in 2007. By comparison, the S&P 500 main-

tains a market cap of $11.0 trillion and the Russell 2000 maintains a $1.3 trillion

market cap. In terms of crossover between the J.P. Morgan Index and the broader

indices, only 75 companies overlap in the S&P 500, totaling $585 billion, or 5% of

the S&P 500 Index, while 258 companies overlap with the Russell 2000, totaling

$218 billion, or 17% of the Russell Index. Comparatively, the J.P. Morgan Global

High-Yield Bond Index consisted of 1,038 issuers and totaled $707.1 billion in debt

as of October 29. Overall, 53% of the companies in our high-yield bond index

have public equity (550 out of 1,038).

The average market capitalization of the companies in the J.P. Morgan High-Yield

Equity Index increased to $2.8 billion from $2.5 billion at the end of 2009. Of the

550 companies in the index, 145, or 26.4%, have market capitalizations greater than

$3.0 billion. Meanwhile, based on market weight, these 145 companies account for

nearly three-quarters of the high-yield equity index. The Energy sector accounts for

25 of these companies (17%) and $202 billion (19%). The Financial and

Telecommunications sectors were next, with each accounting for 13 of the index’s

154 largest companies.

JPMorgan high-yield equity and bond index profiles


31-Dec-99 31-Dec-01 31-Dec-03JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorganGlobal HY HY Equity Global HY HY Equity Global HY HY Equity

Index Index Index Index Index IndexNumber of issuers 1,282 622 1,187 603 1,224 595Market value ($ mn) $301,694 $982,910 $288,441 $723,527 $435,329 $1,080,457 Average size ($ mn) $235 $1,580 $243 $1,200 $356 $1,816 Total cumulative return 3.4% 30.2% 5.5% -27.2% 27.5% 56.0%

30-Dec-05 29-Dec-06 31-Dec-07JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorganGlobal HY HY Equity Global HY HY Equity Global HY HY Equity

Index Index Index Index Index IndexNumber of issuers 1,074 537 1,033 519 947 474Market value ($ mn) $459,784 $1,388,569 $485,598 $1,515,392 $483,630 $1,659,026 Average size ($ mn) $428 $2,586 $470 $2,920 $511 $3,500 Total cumulative return 3.1% 14.2% 11.5% 16.7% 2.9% 10.1%

31-Dec-08 31-Dec-09 31-Oct-10 JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan Global HY HY Equity Global HY HY Equity Global HY HY Equity

Index Index Index Index Index IndexNumber of issuers 866 419 973 528 1,038 550Market value ($ mn) $310,678 $681,964 $577,054 $1,331,480 $707,141 $1,518,120 Average size ($ mn) $424 $1,659 $593 $2,522 $681 $2,760 Total cumulative return -26.8% -55.6% 58.9% 35.6% 14.1% 13.7%


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JPMorgan High-Yield Equity Index profile Market weight by market capitalization1

1. As of October 29, 2010.Source: J.P. Morgan.

Greater than $3.0 bn72.1%

$250 mn-500 mn1.7%

$100 mn-250 mn0.5%

Less than $100 mn0.1%

$500 mn-1.0 bn3.7%

$2.0 bn-3.0 bn10.3%

$1.0 bn-2.0 bn11.6%

Change31-Dec-09

29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Less than $100 mn 0.1% 0.1% 0.4% 0.1% 0.1% 0.0%$100 mn-250 mn 0.4% 0.4% 1.5% 0.6% 0.5% -0.1%$250 mn-500 mn 1.2% 1.4% 4.2% 1.9% 1.7% -0.2%$500 mn-1.0 bn 4.5% 2.9% 7.2% 4.1% 3.7% -0.4%$1.0 bn-2.0 bn 11.7% 9.0% 17.9% 12.1% 11.6% -0.5%$2.0 bn-3.0 bn 10.2% 7.9% 14.4% 11.6% 10.3% -1.4%Greater than $3.0 bn 71.9% 78.4% 54.5% 69.5% 72.1% 2.6%

JPMorgan High-Yield Equity Index profile Market weight by market capitalization, by number of companies1


$250 mn-500 mn12.4%

$2.0 bn-3.0 bn11.5%

$1.0 bn-2.0 bn21.5%

$100 mn-250 mn8.4%

Less than $100 mn5.5%

$500 mn-1.0 bn14.5%

Greater than $3.0 bn26.4%

Change31-Dec-09

29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Less than $100 mn 9.2% 6.6% 14.6% 7.8% 5.5% -2.3%$100 mn-250 mn 6.0% 7.5% 13.3% 8.9% 8.4% -0.5%$250 mn-500 mn 8.8% 12.4% 17.0% 12.5% 12.4% -0.1%$500 mn-1.0 bn 16.9% 13.3% 14.6% 14.2% 14.5% 0.3%$1.0 bn-2.0 bn 22.5% 20.6% 18.7% 21.0% 21.5% 0.4%$2.0 bn-3.0 bn 11.6% 10.9% 9.0% 11.7% 11.5% -0.3%Greater than $3.0 bn 25.0% 28.7% 12.9% 23.9% 26.4% 2.5%


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Largest issuers by market capitalization in the JPMorgan Global High-Yield Equity Index As of October 29, 2010

A look at the J.P. Morgan High-Yield Equity Index’s top issuers (by market capital-

ization) reveals many fallen angels of the past few years. Some past fallen angels

include, Ford Motor Company (ranked number 1), this year’s largest fallen angel,

Anadarko Petroleum (3rd), and American International Group (4th). The list of this

year’s top 20 issuers varies quite a bit from last year, as seven companies have been

replaced. The largest newcomer to the top 20 was the previously mentioned

Anadarko. Three of the top nine largest companies in 2009 were removed in 2010

as a result of their upgrade to investment-grade, namely Freeport-McMoRan Copper

& Gold (last year’s largest), DIRECTV (2nd largest), and Teck-Resources (9th

largest). In all, the 20 largest companies accounted for 24.6% of the equity

index as of October 29, compared with only 13.2% for the top twenty issuers in

the bond index. Four companies were among the top 20 largest within both the

equity and bond indices, notably Ford Motor Company was the largest company in

the equity index and the fifth largest in the bond index, while Anadarko Petroleum

was the third and tenth largest company in each index, respectively. The reason so

few companies overlap among the top 20 is due to the large number of LBO deals

in the bond index. For example, Harrah’s, Intelsat, HCA, and First Data are among

the 7 largest companies in the bond index and all were LBOs. In addition, CIT and

LBI Escrow (LyondellBasell), the two largest companies in the bond index,

emerged from default with new debt structures that included very large bonds, while

the equity ranks outside the top 20 (42 and 35, respectively).

Largest issuers by market capitalization in the JPMorgan Global High-Yield Bond Index As of October 29, 2010

Source: J.P. Morgan. Source: J.P. Morgan.

Mkt. Cap MarketIssuer ($ bn) Weight SectorCIT Group 12.6 1.8% FinancialLBI Escrow 6.0 0.9% ChemicalsHarrah's Operating 5.5 0.8% Gaming LodgingIntelsat Bermuda 5.5 0.8% Cable/SatelliteFord Motor Company 5.2 0.7% AutomotiveHCA Inc. 4.9 0.7% HealthcareFirst Data Corporation 4.9 0.7% TechnologyNextel Communications 4.5 0.6% Telecom.Int’l. Lease Finance Corp. 4.2 0.6% FinancialAnadarko Petroleum 4.1 0.6% EnergySLM Corp 4.1 0.6% FinancialEnergy Future Holdings 4.1 0.6% UtilityAlly Financial 3.9 0.6% FinancialNRG Energy Inc 3.6 0.5% UtilityFMG Finance Pty Ltd 3.6 0.5% Metals/MiningCharter Comm. Operating 3.3 0.5% Cable/SatelliteCalpine 3.2 0.5% UtilityChesapeake Energy 3.1 0.4% EnergyDish DBS 3.1 0.4% Cable And SatelliteReynolds Group Issuer 3.1 0.4% Paper/Packaging

93.0 13.2%

Mkt. Cap MarketIssuer Ticker ($ bn) Weight SectorFord Motor Company F 48.1 3.2% AutomotiveLas Vegas Sands LVS 31.4 2.1% Gaming/LodgingAnadarko Petroleum APC 30.5 2.0% EnergyAmerican Int’l. Group AIG 29.3 1.9% FinancialMobile Telesystems MBT 21.6 1.4% Telecom.American Tower AMT 20.6 1.4% Telecom.VimpelCom Ltd VIP 19.8 1.3% Telecom.Motorola Inc MOT 19.2 1.3% TechnologyRepsol YPF SA YPF 15.7 1.0% EnergyPeabody Energy BTU 14.3 0.9% Metals/MiningChesapeake Energy CHK 14.2 0.9% EnergyWynn Resorts Ltd WYNN 13.3 0.9% Gaming/LodgingWilliams Companies WMB 12.6 0.8% EnergyCrown Castle Int’l. CCI 12.5 0.8% Telecom.General Growth Prop. GGP 12.5 0.8% FinancialSprint Nextel Corp S 12.2 0.8% Telecom.Southwestern Energy SWN 11.7 0.8% EnergyPhilippine Long Distance PHI 11.6 0.8% Telecom.Qwest Comm. Int’l. Q 11.5 0.8% Telecom.Delta Air Lines DAL 11.0 0.7% Transportation

373.5 24.6%


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The Energy industry remained the largest in the J.P. Morgan High-Yield Equity

Index, accounting for 18.2% of the index as of October 29, 2010, slightly higher

than the 16.0% weighting at the end of last year. Other industries include

Telecommunications (10.6%), Financial (9.2%), and Gaming Lodging and Leisure

(6.9%). Not surprisingly, five companies in the Energy sector were among the twen-

ty largest equity market caps in the index, while seven companies in the

Telecommunications sector were ranked in the top 20. The smallest industries in the

J.P. Morgan High-Yield Equity Index in terms of market capitalization were

Broadcasting (0.3%) and Diversified Media (1.0%).

JPMorgan High-Yield Equity Index profile Market weight by industry1

1. As of October 29, 2010Source: J.P. Morgan.


Energy18.2%

Healthcare6.4%

Housing2.7%

Industrials5.2%

Retail5.1%

Services2.3%

Technology4.9%


Transportation2.4% Utility

1.9%


Paper and Packaging

3.3%

Broadcasting0.3%

Automotive6.0%


Chemicals3.9%


Financial9.2%



Change31-Dec-09 to

29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Automotive 4.2% 3.4% 2.5% 5.0% 6.0% 1.0%Broadcasting 1.2% 1.5% 0.2% 0.3% 0.3% 0.0%Cable and Satellite 4.6% 3.6% 5.3% 4.0% 2.3% -1.8%Chemicals 2.7% 5.9% 2.3% 2.1% 3.9% 1.8%Consumer Products 2.7% 1.6% 2.1% 2.2% 1.9% -0.3%Diversified Media 2.3% 1.1% 0.5% 1.0% 1.0% 0.0%Energy 13.1% 13.3% 17.9% 16.0% 18.2% 2.1%Financial 6.0% 4.5% 4.9% 7.8% 9.2% 1.4%Food and Beverages 3.1% 3.0% 2.7% 1.9% 1.9% 0.0%Gaming/Leisure 8.8% 8.5% 4.1% 4.4% 6.9% 2.5%Healthcare 4.8% 4.9% 6.6% 6.3% 6.4% 0.1%Housing 2.5% 1.4% 2.8% 3.3% 2.7% -0.7%Industrials 4.4% 5.4% 6.6% 4.8% 5.2% 0.4%Metals and Mining 5.3% 8.5% 5.9% 8.4% 3.5% -4.9%Paper and Packaging 1.9% 2.2% 3.3% 3.6% 3.3% -0.2%Retail 4.6% 4.6% 6.1% 4.3% 5.1% 0.8%Services 2.3% 3.3% 3.6% 2.7% 2.3% -0.3%Technology 10.6% 7.1% 4.6% 6.5% 4.9% -1.6%Telecommunications 7.5% 10.6% 10.2% 10.9% 10.6% -0.3%Transportation 1.6% 1.6% 3.2% 2.2% 2.4% 0.2%Utility 6.0% 4.1% 4.4% 2.2% 1.9% -0.3%

The Gaming Lodging and Leisure sector exhibited the largest year-over-year

increase in market weight, accounting for 6.9% of the index as of October 29, 2010,

up from 4.4% at year-end 2008 (+2.5%). The increase in market weight was attribut-

able to the sector’s strong performance, as it’s +66.0% return was, by far, the best

among all sectors. The biggest gainer within the sector was Las Vegas Sands’ 207%

gain, the company which was the second largest in the index, certainly was impact-

ful. Wynn Resorts, the 12th largest company in the index, also performed well, with

a +84% return. The biggest decline in market weight for an industry occurred in the

Metals and Mining sector, as it fell to 3.5% from 8.4% y/y. The sharp decline was

due to the upgrade to investment-grade of Freeport McMoRan Copper & Gold and

Teck Resources. The two companies accounted for the largest and ninth largest com-

panies overall in the index at year-end last year, and upon their upgrade, and

removal from the index, resulted in a combined 4.1% of total market weight exiting

the index.


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Industry weight changes of the JPMorgan High-Yield Equity Index December 31, 2009 to October 29, 2010


2.5% 2.1% 1.8%1.4% 1.0% 0.8%

0.4% 0.2% 0.1% 0.0%

0.0% 0.0% -0.2% -0.3% -0.3% -0.3% -0.3% -0.7%

-1.6% -1.8%

-4.9%-6.0%-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%

Gami

ng Lo

dging

and

Leisu

re Ener

gy

Chem

icals

Finan

cial

Autom

otive

Retai

l

Indus

trials

Tran

spor

tation

Healt

hcar

e

Broa

dcas

ting

Food

and B

ever

ages

Dive

rsifie

d Med

ia

Pape

r and

Pac

kagin

g

Utilit

y

Cons

umer

Pro

ducts

Telec

ommu

nicati

ons

Servi

ces

Hous

ing

Tech

nolog

y

Cable

and S

atellit

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Metal

s and

Mini

ng

As of October 29, 2010, the Energy sector exhibited the largest difference in market

weight between the J.P. Morgan High-Yield Equity Index and the J.P. Morgan

Global High-Yield Bond Index, accounting for 18.2 % of the equity index but only

12.1% of the bond index. Despite this difference in market weights, Energy was still

the largest industry in both indices. The Telecommunications sector exhibited the

second largest difference in market weights between the two indices, representing

10.6% of the equity index and only 6.5% of the bond index. The Service industry,

with a 4.4% market weight in the bond index and a 1.9% market weight in the equi-

ty index, represented the biggest discrepancy in weightings where the bond market

weight exceeded the equity weight. This is due in large part to several of the compa-

nies in the sector having investment-grade ratings on the majority of their capital

structure, and as such, the high-yield rated bonds are included in the bond index, but

the equities are excluded because of the predominantly investment-grade corporate

ratings. (For example, NV Energy has two BB-rated bonds in the bond index, but

the majority of the capital structure is rated BBB, excluding its $44 billion market

cap (2.8%) from the equity index.)


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The average rating quality of the high-yield equity index is higher than that of the

high-yield debt index. For example, 51.1% (by market value) of the equities in our

index with associated debt obligations are rated BB or better, while only 30.6% of

our debt index is rated BB or better. Although this difference is likely skewed by the

number of large market caps among the equity index’s companies, the percentages

by number of issues illustrates the same findings, albeit to a lesser degree. For

example, as a percentage of the number of issues, 30.7% of the equities are associ-

ated with bonds rated BB or better versus 27.6% for the bond index. Equities asso-

ciated with lower rated bonds (those rated Split B, CCC, nonrated, or defaulted)

constitute 5.8% of the equity index by market value, compared with 23.8% within

the bond index.

Difference between the JPMorgan high-yield equity and bond indices Market weight by industry as of October 29, 2010

Global HY HY EquityIndex Index Difference

Automotive 3.1% 6.0% -3.0%Broadcasting 1.6% 0.3% 1.3%Cable and Satellite 4.4% 2.3% 2.1%Chemicals 4.1% 3.9% 0.2%Consumer Products 2.1% 1.9% 0.2%Diversified Media 2.0% 1.0% 1.0%Energy 12.1% 18.2% -6.1%Financial 9.4% 9.2% 0.2%Food and Beverages 3.7% 1.9% 1.8%Gaming Lodging and Leisure 4.9% 6.9% -2.0%Healthcare 7.3% 6.4% 0.9%Housing 4.6% 2.7% 1.9%Industrials 5.0% 5.2% -0.2%Metals and Mining 4.4% 3.5% 0.9%Paper and Packaging 5.3% 3.3% 1.9%Retail 4.0% 5.1% -1.1%Services 4.0% 2.3% 1.6%Technology 4.8% 4.9% -0.1%Telecommunications 6.5% 10.6% -4.1%Transportation 2.4% 2.4% 0.0%Utility 4.4% 1.9% 2.5%



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December 2010

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JPMorgan High-Yield Equity Index profile Market weight by rating1


Split B 2.6%

CCC/Split CCC 1.9%

Not Rated 0.3%

Default 1.0%

Split BBB 17.0%

B 22.6%

Split BB 20.5%

BB 34.1%

Change31-Dec-09 to

29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Split BBB 10.6% 13.4% 18.4% 22.4% 17.0% -5.4%BB 45.4% 49.1% 45.4% 32.7% 34.1% 1.5%Split BB 12.1% 6.8% 11.6% 18.9% 20.5% 1.6%B 26.7% 25.5% 19.2% 20.1% 22.6% 2.5%Split B 2.0% 2.6% 2.7% 2.7% 2.6% -0.1%CCC 2.7% 2.4% 2.6% 2.0% 1.9% -0.1%NR 0.1% 0.1% 0.0% 0.2% 0.3% 0.1%

Difference between the JPMorgan High-Yield Equity and Bond IndicesPercentage of total issues by rating as of October 29, 2010


JPMorgan JPMorganGlobal HY HY Equity

Index Index DifferenceSplit BBB 8.1% 8.2% -0.1%BB 19.5% 22.5% -3.0%Split BB 12.7% 16.7% -4.1%B 30.8% 34.5% -3.8%Split B 10.2% 8.0% 2.2%CCC 13.0% 6.0% 7.0%NR 1.4% 1.1% 0.3%

Difference between the JPMorgan High-Yield Equity and Bond IndicesMarket weight by rating as of October October 29, 2010


JPMorgan JPMorganGlobal HY HY Equity

Index Index DifferenceSplit BBB 9.3% 17.0% -7.7%BB 21.3% 34.1% -12.8%Split BB 14.5% 20.5% -6.1%B 31.2% 22.6% 8.6%Split B 9.8% 2.6% 7.2%CCC 11.3% 1.9% 9.5%NR 0.8% 0.3% 0.5%


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The case for high yield


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6

The case for high yield

2010: High-yield bonds outperform amidst low defaults,strong demandModest economic growth, improving corporate conditions, strong retail inflows, and

a sharp decline in default activity led to a strong 13.4% total return for high-yield

bonds in 2010 (through December 2). By comparison, the S&P 500 returned 11.6%,

while the Russell 2000 returned 21.5%, both outperforming leveraged loans and

investment-grade bonds (each returning 8.9%) and the 10-year Treasury (10.9%).

Given the accommodative backdrop for the asset class, 2010 experienced a sharp

year-over-year increase in new-issue volume, with a record $288 billion priced, the

majority of which was used for refinancing (67%). These conditions contributed to

not only a steady decline in defaults during the year—the default rate declined from

10.3% to 0.74%—but also, a decidedly improved default backdrop for 2011 and

2012. With few higher yielding alternatives to chose from, we expect high yield to

again outperform most asset classes in 2011.

Even after last year’s outsized performance, high-yield bonds provide strong return in 2010

Returns of various asset classes

Note: 2010 returns through December 2.Source: J.P. Morgan.

Note: 4Q10 and 2010 returns are through December 2.Sources: J.P. Morgan; Bloomberg.

10.4%

36.3%

20.3%

9.4%

28.7%

15.6%

6.5%11.4%

0.4%

43.8%

16.7%

-1.6%

19.6%13.0%

3.4%

-5.8%

5.5%2.1%

27.5%

11.5%3.1%

11.5%2.9%

-26.8%

58.9%

13.4%

1.0%

-6.4%

4.3%

18.9%12.4%

-40.0%-30.0%-20.0%-10.0%

0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Annu

al tot

al re

turn

Assets 2009 1Q10 2Q10 3Q10 4Q10 2010High-Yield Bonds 58.90% 4.72% 0.08% 6.34% 1.74% 13.38%Leveraged Loans 51.62% 4.64% -1.27% 3.31% 1.99% 8.86%Investment Grade Bonds 16.72% 2.28% 3.75% 4.55% -1.85% 8.90%Emerging Market Bonds 28.18% 4.16% 1.16% 8.33% -0.83% 13.20%10-Year Treasury -8.76% 0.99% 8.48% 4.65% -3.32% 10.85%S&P 500 26.46% 5.39% -11.43% 11.29% 7.44% 11.62%Russell 2000 27.18% 8.85% -9.92% 11.29% 11.29% 21.45%


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6

The macroeconomic backdrop will again be an important variable in 2011

Our economists forecast US GDP growth of 3.1% y/y in 2011, which should be a

positive for high yield next year. Certainly though, the arrival of a fresh set of risks

including Chinese tightening, sovereign/municipal fiscal woes, rising commodity

prices, persistent weakness in housing data, and rising US Treasury yields warrant

attention. However to the extent any of these factors strain growth, ironically, they

would in fact be a welcome respite for high yield, because of the implications for

Treasury yields. A US economy tracking at a pace not too hot or too cold would

serve as a Goldilocks scenario for high-yield credit. We do not expect demand for

high-yield to retrench unless GDP growth proves too cold (negative GDP and the

implicit negative impact on capital markets) or too hot (several consecutive quarters

of +4% GDP growth that spark inflation or rate fears).

High-yield default rate expected to remain low through 2012

Note: 2010 default rates represent the ltm numbers as of November.Source: J.P Morgan.

1.5%

2.8%

1.6% 1.5% 1.7%

4.1%5.0%

9.1%8.0%

3.3%

1.1% 0.9%0.4%

2.3%

10.3%

0.7%1.5%

2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2006

2007

2008

2009

2010

2011

E

2012

E

Par-w

eighte

d defa

ult ra

tes

Long-term average default rate: 4.3%

Prospects for high-yield bonds to remain attractive in 2011 Several supporting factors suggest that high-yield bonds will remain an attractive

investment option in 2011. In particular, default rates are expected to remain low,

US GDP is forecasted by our economists to grow 3.1% y/y, and interest rates are

expected to gradually rise. Specifically, we forecast year-end 2011 spreads and

yields of T+515bp and 7.5%, respectively, which implies the market will fully

absorb the expected rise in Treasury rates with little to no price appreciation, and

lead to a full-year return of 9.8%.

Default risk is limited in 2011 and 2012

High-yield bond default rates have now fallen for 12 consecutive months to 0.7%, a

fraction of the record 11% reached in November 2009 and still well below the 4.3%

long-term average. With market technicals strong heading into next year, 2011 and

2012 maturities negligible, and US GDP growth expected to accelerate at a modest

pace, our 2011 and 2012 default forecasts are 1.5% and 2%, respectively. Based on

current spreads of T+591bp for bonds, implied default rates are 5.2%, significantly

higher than our 2011 forecast. Conversely, our default forecast implies spreads for

high-yield bonds should be T+390bp. While spreads will probably not tighten to

these levels over the next 12 months given where we expect Treasury and Libor

rates to end next year, this highlights the attractiveness of the bond market relative

to default risk.


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December 2010

103

6

Interest rate risk expected to remain positive in 2011

After cutting the target Fed funds rate to a 0.00%-0.25% range in December 2008,

the Fed has kept the target rate unchanged through 2010. Low interest rates were

supportive of leveraged credit demand in 2010 as investors reached for yield. Going

forward, expectations for an orderly rise in rates should support the asset class as

the economy moderately accelerates in 2011. A modest rise in interest rate expecta-

tions would bode well for demand for high-yield bonds. Our rates team envisages a

gradual pickup in Treasury yields beyond the first quarter of next year alongside

improving growth prospects. They forecast 2-year, 5-year, 10-year, and 30-year

yields to end 2010 at 0.45%, 1.50%, 2.80%, and 4.10%, respectively, and then rise

to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As the following chart

shows, high-yield mutual fund flows are actually quite strong during periods of ris-

ing inflation expectations. We note that an orderly rise in rates is crucial, as a disor-

derly rise, similar to what we experienced in mid-November, would deter demand

from high-yield bond funds because of its implications for market volatility.

J.P Morgan 2011 Economic outlook


%q/q, saar %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011

United States 2.5% 2.0% 3.0% 3.0% 4.0% 2.7% 2.5%Euro area 1.5% 1.0% 1.5% 1.8% 2.0% 1.7% 1.6%Japan -1.5% 0.5% 1.5% 1.8% 2.0% 3.5% 1.1%Emerging Markets 5.7% 6.1% 6.5% 6.0% 6.2% 6.9% 5.7%

Interest rate outlook

Note: Current levels are as of December 7, 2010.Source: J.P Morgan

Changecurrent/

Current 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 4Q11Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.67% 0.45% 0.60% 0.80% 0.90% 1.00% + 33 bp5-yr Treasury 2.12% 1.50% 1.75% 2.20% 2.30% 2.45% + 33 bp10-yr Treasury 3.53% 2.80% 2.95% 3.35% 3.50% 3.60% + 7 bp30-yr Treasury 4.59% 4.10% 4.25% 4.55% 4.65% 4.80% + 21 bp

2s / 10s 2.86% 2.35% 2.35% 2.55% 2.60% 2.60% - 26 bp5s / 10s 1.41% 1.30% 1.20% 1.15% 1.20% 1.15% - 26 bp


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December 2010

104

6High yield’s attractive risk/reward characteristics versus equities With lower volatility and a higher position in the capital structure, investors have

recognized “equity-like” returns can still be achieved by including corporate credit

in their portfolios as a replacement for equities. Indeed, high-yield credit over the

past 15 years has exhibited about half the volatility1 of the S&P 500, 9.2% versus

16.3%, while at the same time providing slightly higher annualized returns (7.6%

versus 6.5%). This translates into a return per unit of risk (annualized return divided

by annualized volatility) for high yield of 0.83, more than double that of the S&P

500, 0.40. Extending one’s investment horizon to 25 years yields largely the same

results. High-yield (1.10) has exhibited a return per unit of risk roughly two times

greater than that of the S&P 500 (0.62). An important takeaway is that high-yield’s

correlation to equity returns would remain high, and prices in both markets would

move higher or lower together. But with low default risk regardless of economic

data, an 8.6% coupon would cushion an investor’s return much as it has during past

economic setbacks.2 Despite outperforming equities again this year, high yield

remains an attractive way to play the upside of a continued economic recovery

while also protecting against the downside of earnings- and volatility-surprises.


Note: 2010 levels are as of November 30.Sources: J.P Morgan; Lipper FMI

(15)(10)

(5)05

101520253035

Jan-

85Ja

n-86

Jan-

87Ja

n-88

Jan-

89Ja

n-90

Jan-

91Ja

n-92

Jan-

93Ja

n-94

Jan-

95Ja

n-96

Jan-

97Ja

n-98

Jan-

99Ja

n-00

Jan-

01Ja

n-02

Jan-

03Ja

n-04

Jan-

05Ja

n-06

Jan-

07Ja

n-08

Jan-

09Ja

n-10

$ bn


Spread


.


1. Based on the standard deviation of monthly returns.2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield hasoutperformed equities.


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Low correlation to interest-rates another benefit of high yieldA factor that has made high-yield securities attractive to many portfolios from a

diversification perspective is its historically low correlation to most asset classes,

specifically interest-rate-sensitive alternatives. For example, the correlations

between high yield and 5-year Treasury bonds, and high yield and 10-year Treasury

bonds over the last 25 years are actually negative, -0.05 and -0.01, respectively. By

comparison, the correlations between investment-grade bonds and 5-year Treasury

bonds, and investment grade and 10-year Treasury bonds over the same time period

are 0.72 and 0.78, respectively. Given their much lower correlation to US govern-

ment bonds, high yield has historically outperformed investment grade when inter-

est rates move higher. Specifically, in 14 of the last 30 years, 5-year Treasury

yields have increased, and in each of those 14 years, high yield has outper-

formed its higher rated counterpart. This dynamic, coupled with our economists’

expectation for rates to rise and our low default rate forecast, supports our expecta-

tion for high yield to once again outperform investment-grade securities in 2011.

Annualized returns and volatility of various assets Ended November 30, 2010

1. Investment-grade bond returns from 1991 through 1999 are measured by the ML Corporate Master Index, from 2000 through 2010, they are measured by the JPMorgan JULI Investment-Grade Index.

2. Emerging market bond returns are measured by the JPMorgan Emerging Market Bond Index- Global Composite.3. Leveraged loan returns are measured by the S&P/LSTA Leveraged Loan Index.4. Annualized returns divided by the annualized standard deviation of return.Source: J.P. Morgan.

Avg. annual returns Avg. annual volatility Modified Sharpe Ratio4

5 Year 15 Year 25 Year 5 Year 15 Year 25 Year 5 Year 15 Year 25 YearJPMorgan Global HY Index 8.72% 7.62% 9.30% 12.98% 9.19% 8.44% 0.67 0.83 1.10Fixed income:5-year Treasury 7.03% 5.94% 7.09% 4.70% 4.62% 4.88% 1.50 1.28 1.4510-year Treasury 6.85% 5.89% 7.67% 8.21% 7.59% 7.58% 0.83 0.78 1.01Investment-grade bonds1 6.93% 6.77% 8.33% 6.94I% 5.58% 5.42% 1.00 1.21 1.54Emerging market bonds2 8.74% 11.91% na 10.33% 13.14% na 0.85 0.91 naLeveraged loans3 5.07% 5.39% na 11.02% 6.50% na 0.46 0.83 naEquity:S&P 500 0.98% 6.45% 9.85% 17.59% 16.30% 15.82% 0.06 0.40 0.62Wilshire 5000 1.11% 6.23% 9.47% 18.07% 16.67% 16.04% 0.06 0.37 0.59Russell 2000 2.90% 7.19% 8.90% 22.83% 21.04% 19.98% 0.13 0.34 0.45

Risk/reward characteristics of various asset classesFifteen years ended November 30, 2010

Sources: J.P. Morgan; Bloomberg.

JPMorgan EMBI - Global Composite

5-year Treasury 10-year Treasury

LB Agg. Bond Index Investment-grade bondsJPMorgan Global HY Index

S&P 500 Wilshire 5000

Rusell 2000

S&P 500 Barra Growth Index

FTSE 100

Gold

DAX

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00% 4.00% 8.00% 12.00% 16.00% 20.00% 24.00%Annualized Volatility

Annu

alize

d Retu

rn

Leveraged Loans CAC 40


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106

6 Analysis of optimal portfolio allocationsInvestment-grade and high-yield portfolios: 25-year

The graph below illustrates the diversification effect of adding high-yield bonds to

an investment-grade portfolio. Beginning with an allocation of 100% investment-

grade bonds, the portfolio achieves a return of 8.33% with an annualized volatility

of 5.42%, resulting in a return per unit of risk of 1.54%. Moving from left to right

on the graph and increasing high yield's allocation by 5% increments, the volatility

of the portfolio declines until a mix of 15% high-yield bonds and 85% investment-

grade securities is reached. At this point, the portfolio achieves its lowest volatility

of 5.30%. Increasing the portfolio’s high-yield exposure further begins to increase

its volatility while continuing to increase its return. When the portfolio reaches a

20% high yield/80% investment-grade mix, it achieves its maximum return per unit

of risk of 1.61%. Increasing high yield’s allocation to the portfolio beyond this point

continues to increase the portfolio’s return, but also increases the portfolio’s volatili-

ty at a faster rate, thus reducing its return per unit of risk. A portfolio consisting of

100% high-yield bonds achieves a return of 9.30% with a volatility of 8.44%, for a

resulting return per unit of risk of 1.10%.

Risk/return trade-offInvestment-grade vs high-yield bonds: 25 years ended November 30, 2010

8.20%

8.40%

8.60%

8.80%

9.00%

9.20%

9.40%

5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50%Annualized volatility

Annu

alize

d retu

rn

Optimum risk/ return75% High yield/

25% Investment grade

25% High yield/75% Investment grade

100% High yield


50%/50%


Invst. High-5-year 10-year LB grade yield S&P Wilshire Russell

Treasury Treasury Aggregate bonds bonds 500 500 2000 Gold10-year Treasury 0.95LB Aggregate Bond Index 0.91 0.93Investment-grade bonds 0.72 0.78 0.91High-yield bonds -0.05 -0.01 0.24 0.45S&P 500 -0.03 0.01 0.17 0.28 0.57Wilshire 5000 -0.06 -0.01 0.15 0.27 0.59 0.99Russell 2000 -0.16 -0.10 0.04 0.18 0.61 0.82 0.88Gold 0.06 0.06 0.05 0.08 0.03 -0.12 -0.09 -0.03US Inflation -0.14 -0.19 -0.14 -0.15 0.01 -0.03 -0.03 -0.04 0.04

Correlations among various asset classesTwenty-five years ended November 30, 2010

Sources: J.P Morgan; S&P/LCD; Bloomberg.


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6

Investment-grade and high-yield portfolio: Five-year

Our next case examines the five-year risk/return profile of high-yield bonds and

investment-grade bonds, and this time we find that a portfolio of a 15% allocation to

high yield achieves the highest returns per unit of risk. With a 85% allocation of

investment-grade bonds and 15% to high-yield bonds, the portfolio returns 7.23%

with a volatility of 7.18% and a return per unit of risk of 1.01%. An allocation of

100% high-yield bonds returned 8.72% with a volatility of 12.98% and a return per

unit of risk of 0.67%.

Historically, the optimal allocation for high yield in a mixed portfolio with invest-

ment-grade bonds has followed the credit cycle, increasing when default risk is low

and decreasing when default risk is high. Based solely on this historical relationship,

and the expectation for the high-yield default rate to remain low through 2012, we

expect the benefit of adding high yield to an investment-grade portfolio to increase

in the coming years.

Risk/return trade-offInvestment-grade vs high-yield bonds: 5 years ended November 30, 2010

6.80%

7.20%

7.60%

8.00%

8.40%

8.80%

6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00%Annualized volatility

Annu

alize

d retu

rn


Optimum risk/ return


100% High yield


50%/50%


Optimal allocation of high yield vs investment grade and the high-yield default rate

65% 65%55%

40%

0%10%

15% 15%

30%

60%

45%50%

15%

0% 0%

15%20%

30%

75%

100%

0%

15% 15%

100%100% 100%100%

0.0%

25.0%

50.0%

75.0%

100.0%

125.0%

1984

1985

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1997

1998

1999

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2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Perce

nt of

high y

ield f

or op

timum

ris

k/rew

ard

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Annual high-yield default rate

Percent of high yield for optimum risk/return Domestic high-yield default rate

Note: 2010 data through November 30.Source: J.P. Morgan.


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December 2010

109

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Fund flow review


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December 2010

111

7

Fund flow review

2010 key observations

• Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond

and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively

in 20101.

• The flow of funds into leveraged credit was less than uniform throughout the

year. In the first half, retail flows into HY bond funds were volatile, with a hand-

ful of large outflows fully erasing first half inflows. Meanwhile, leveraged loan

fund flows remained comparatively steady. In the second half, retail flows into

both high-yield bond and bank loan funds surged. It was not until November that

the direction of flows shifted again and high-yield fund outflows picked up,

while inflows into bank loan funds reached their highest level for the year. In all,

high-yield funds had inflows in 33 of 48 weeks, while bank loan funds had

inflows in 45 of 48 weeks.

• Fund flows are primarily a function of expected risks, returns and opportunity

cost. A precipitous decline in default risk, low interest rate risk, attractive valua-

tions, lack of high yielding alternatives, and strong returns all supported inflows

into leveraged credit.

• Expected risks to provide a positive effect on inflows next year:

• Default risk declined substantially this year as default rates for bonds and

loans fell for 11 consecutive months to 0.74% and 2.18% (ltm), respectively.

We forecast 2011 default rates for high-yield bonds and loans of 1.5% and

2.0%, respectively. Furthermore, we expect 2012 default rates to stay below

long-term averages at 2% and 3%, respectively.

• The macroeconomic backdrop and outlook played a key role in 2010.

Similarly to this year, inflows into leveraged credit are expected to be linked

to the economic backdrop in 2011. Our economists look for US GDP growth

to expand 3.1% (y/y) in 2011, which should be a positive for fund flows next

year. The US economy tracking at a pace not too hot or too cold would serve

as a Goldilocks scenario for high-yield credit.

• Interest-rate risk had a positive effect on high-yield demand this year as

investors reached for yield. Going forward, expectations for an orderly rise in

rates should support demand as the economy moderately accelerates. A mod-

est rise in interest rate expectations would bode well for demand for high-

yield bonds, and would especially favor less rate-sensitive leveraged loans.



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Fund flow overview

Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and


Despite a handful of large outflows in the first half of the year, high-yield retail

demand remained strong this year, albeit markedly lower than last year.

Meanwhile, bank loan fund demand accelerated as the year progressed, setting a

new calendar year high. In all, bank loan fund demand tripled last year’s total.

Behind the leveraged credit demand have been a precipitous decline in default rates,

improving fundamentals, and attractive valuations. Furthermore, high-yield bonds

and leveraged loans continued to lure investors away from other fixed income prod-

ucts, cash, and equities, given investors search for yield.

High-yield demand remains intact, leveraged loan demand sets new record

Leveraged credit started the year on solid footing helped by strong corporate earn-

ings and improvement in most economic conditions. Despite numerous uncertain-

ties, inflows into high-yield bonds and bank loans started the year off strong, taking

in $1.9 billion and $905 million, respectively. However, mounting challenges

impacted investor appetites in February, leading to a series of outflows from high-

yield bond funds. Separately, bank loan funds continued to report inflows in

February. After the first two months of the year, bank loan fund flows outpaced

those of high-yield, $1.7 billion versus -$602 million, the first time this occurred

since the credit crunch began.

Annual high-yield mutual fund flows

Note. 2010 figure is through December 1, 2010.Sources: J.P. Morgan; Investment Company Institute; Lipper FMI.

1.75.2

11.0

2.35.2

-0.6-3.2

3.46.5

10.9

1.8

11.1

15.9

21.6 19.7

3.9

-6.3

13.216.3

32.9

-2.1

-8.8

5.5 5.0 6.510.8

31.9

-12

0

12

24

36

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Fund

flows

($ bn

)



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December 2010

113

7

Retail flows into and out of high-yield bond and loan funds throughout 2010

Source: Lipper FMI.

1.9

(2.5)

3.02.0

(5.7)

0.9

3.9

1.5

4.4

2.3

(0.6)

0.80.1

1.61.0 1.11.3

0.40.3

1.50.9

0.3

(8.0)

(6.0)

(4.0)

(2.0)

0.0

2.0

4.0

6.0


($bn

)

HY Bond FlowsLL Fund Flows

Appetite for HY wanes (Greece/job concerns)

LL inflows remain steady exceeding cum. HY inflows

by $2.3bn

HY inflow reversal on improved eco. outlook and market sentiment.

HY: $6.3bn outflow in May-earliy Jun on

resumed eco., euro zone, and

fin. reform concerns.

Reach for yield in low all in yields environment and stabilization in eco.

indicators underpin strong demand for HY & LL between Jul and mid Nov

HY demand under pressure (sharp backup in Tsy

ylds/renewed Euro zone concerns).

Appetite for LL surges (floating rate

feature/seniority)

After February’s interruption, improvement in economic and Fed expectations and a

lack of high-yielding alternatives led to a return of high-yield demand. In fact,

March’s inflows into high-yield bond funds reversed February’s outflows, while

bank loan funds had their first monthly inflow to top $1 billion. The trend of strong

inflows continued into April. For loan funds, two weeks in April set new records

with $290 million and $417 million weekly inflows, and after four months, monthly

bank loan fund inflows already exceeded full year 2009 inflows ($4.2 billion versus

$3.4 billion).

Cumulative inflows into high-yield funds

Source: Lipper FMI

(5,000)

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

Jan

Feb

Mar

Apr

May

Jun Jul

Aug

Sep

Oct

Nov

Dec

Annu

al cu

mulat

ive in

flows

($mn

)

2009 2010

For high-yield, July was the turning point. Having had an outflow of $423 million

after the first six months of the year, July’s $3.9 billion inflow was the best month

in over a year. Inflows into high-yield bond funds were largely due to investors

reaching for higher yields. For loans, the second half of the year saw acceleration in


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December 2010

114

7

Cumulative inflows into bank loan funds

Source: Lipper FMI.

01,0002,0003,0004,0005,0006,0007,0008,0009,000

10,000Ja

n

Feb

Mar

Apr

May

Jun Jul

Aug

Sep

Oct

Nov

Dec

Annu

al cu

mulat

ive in

flows

($mn

)

2009 2010

demand. September was the third best month of the year, welcoming $1.3 billion.

On the heels of a strong September, October’s inflows came in at $1.1 billion, mak-

ing it the fourth best month in 2010 for bank loan funds. While bond demand was

weak due to heightened sovereign debt concerns and a backup in Treasury yields in

November, appetite for bank loans grew stronger, leading to the best monthly inflow

(+$1.6 billion).

Understanding 2010 flows and gauging 2011 expectations

Fund flows are primarily the product of expected risks (including default, economic,

and interest rate risks) and expected returns (both outright and versus other invest-

ment options). In the next section, we delve into these factors, analyzing their

impact on this year’s fund flows and implications for next year’s demand. In short,

with US GDP expected to growth 3.1% y/y in 2011, low default rates, attractive val-

uations, and a supportive rates backdrop, we expect the demand for high-yield

bonds and loans to be healthy in 2011.

Expected risk

Default risk is limited in 2011 and 2012, providing a positive backdrop for

high-yield bond and loan demand.

High-yield bond and loan default rates have now fallen for 11 consecutive months

to 0.74% and 2.18% (ltm), respectively and are a fraction of the 4.3% and 4.0%

long-term averages. We forecast 2011 default rates for high-yield bonds and loans

of 1.5% and 2.0%, respectively. Furthermore, we expect 2012 default rates to stay

below long-term averages at 2% and 3%.


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December 2010

115

7

Significant improvement in the default rate was an important factor for demand in

2010. As we head into 2011, high-yield bonds and leveraged loans remain attrac-

tive relative to our 2011 default outlook. Based on current spreads of T+606bp for

bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respective-

ly, significantly higher than our forecast for 2011 default rates of 1.5% and 2.0%.

Conversely, our default forecasts imply spreads for high-yield bonds and loans

should be T+390bp and L+355bp, respectively. While spreads will probably not

tighten to these levels over the next 12 months given where we expect Treasury and

Libor rates to end next year, this highlights the attractiveness of both markets rela-

tive to default risk.

The macroeconomic backdrop will again be an important variable in 2011.

The variability in fund flows this year can be closely linked to changes in economic

growth expectations. Inflows into leveraged credit will likewise be linked to the

economic backdrop in 2011. Our economists look for a gradual acceleration in US

growth with GDP expanding 3.1% (y/y) in 2011 (versus 2.5% consensus forecast),

after growing 2.8% in 2010. This should be a positive for fund flows next year – the

High-yield mutual fund flows vs the high-yield default rate

Sources: J.P. Morgan; Moody’s Investors Service; Investment Company Institute; Lipper FMI.

(10)(5)05

10152025303540

Jan-

88Ja

n-89

Jan-

90Ja

n-91

Jan-

92Ja

n-93

Jan-

94Ja

n-95

Jan-

96Ja

n-97

Jan-

98Ja

n-99

Jan-

00Ja

n-01

Jan-

02Ja

n-03

Jan-

04Ja

n-05

Jan-

06Ja

n-07

Jan-

08Ja

n-09

Jan-

10

$ bn

0%2%4%6%8%10%12%14%16%18%

Default rate

Annual inflows into high-yield mutual fundsHigh-yield default rate

.


Note: 2010 default rates represent the ltm numbers as of November.Source: J.P. Morgan.

1.7%

9.1%8.0%

3.3%

0.9% 0.4%

2.3% 2.0%

6.6%

0.5%

3.9%

12.8%

2.0%3.0%

1.1%

4.1%5.0%

10.3%

0.7%1.5%

6.3% 6.0%

2.3%1.0%

0.2%1.5%

4.2%

2.2%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

1998

1999

2000

2001

2002

2003

2004

2006

2007

2008

2009

2010

2011

E

2012

E

Par-w

eighte

d defa

ult ra

tes




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December 2010

116

7

Expected return is another component that will benefit demand next year.

High-yield bonds and leveraged loans have returned 13.9% and 9.1% YTD3, after

record 58.9% and 51.6% returns last year. We forecast high-yield bonds to return

9.8% and bank loans to return 7.1% in 2011. With high-yield spreads trailing the

relative drop in yields of more rate-sensitive products, the return opportunities are

still attractive, while the opportunity costs within fixed income are low.

US economy tracking at a pace not too hot or too cold would serve as a Goldilocks

scenario for high-yield credit. We do not expect demand for high-yield to retrench

unless GDP growth proves too cold (negative GDP and the implicit negative impact

on capital markets) or too hot (several consecutive quarters of +4% GDP growth

that spark inflation or rate fears).

Interest rate risk was a positive for leveraged credit demand this year, a trend

we expect to continue in 2011.

After cutting the target Fed funds rate to a 0.00%-0.25% range in mid-December of

2008, the Fed has kept the target rate unchanged through 2010. Low interest rates

were supportive of leveraged credit demand in 2010 as investors reached for yield.

Going forward, expectations for an orderly rise in rates should support demand as

the economy moderately accelerates in 2011. A modest rise in interest rate expecta-

tions would bode well for demand for high-yield bonds, and would especially favor

less rate-sensitive products such as leveraged loans. As the below chart shows,

high-yield mutual fund flows are actually quite strong during periods of rising infla-

tion expectations. As a recent example, the surge of inflows into the high-yield

asset class since mid-September coincided with a 30bp increase in the spread

between 10- and 2-year Treasury yields in the wake of Bernanke’s speech in

Jackson Hole.


Sources: J.P Morgan; Lipper FMI.

(15)(10)

(5)05

101520253035

Jan-

85Ja

n-86

Jan-

87Ja

n-88

Jan-

89Ja

n-90

Jan-

91Ja

n-92

Jan-

93Ja

n-94

Jan-

95Ja

n-96

Jan-

97Ja

n-98

Jan-

99Ja

n-00

Jan-

01Ja

n-02

Jan-

03Ja

n-04

Jan-

05Ja

n-06

Jan-

07Ja

n-08

Jan-

09

$ bn


Spread


.


3. YTD as of December 7, 2010.


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December 2010

117

7

Two-year rolling fund flows vs high-yield returns

Sources: JPMorgan; Investment Company Institute; Lipper FMI.

-20

-10

0

10

20

30

40

50

60

Dec-8

5De

c-86

Dec-8

7De

c-88

Dec-8

9De

c-90

Dec-9

1De

c-92

Dec-9

3De

c-94

Dec-9

5De

c-96

Dec-9

7De

c-98

Dec-9

9De

c-00

Dec-0

1De

c-02

Dec-0

3De

c-04

Dec-0

5De

c-06

Dec-0

7De

c-08

Dec-0

9

Fund

flows

($ bn

)

-40%

-20%

0%

20%

40%

60%

80%

100%

Total returns

Two-year rolling HY fund flows Two-year rolling HY total return

With lower volatility and a higher position in the capital structure, nontraditional

investors have recognized “equity-like” returns can still be achieved by including

corporate credit in their portfolios as a replacement for equities. Over the past 15

years, high-yield credit has exhibited return per unit of risk that is more than double

of that of the S&P 500 (0.84 vs 0.41). While high-yield’s correlation to equity

returns is expected to remain high, given low default risk, an 8.6% coupon would

cushion an investor’s return much as it has during past economic setbacks.4 Despite

outperforming equities by about 2% this year, high yield remains an attractive way

to play the upside of a continued economic recovery while also protecting against

the downside of earnings and volatility surprises. As for leveraged loans, their

return per unit of risk is similar to high yield, albeit exhibiting both lower annual-

ized returns and lower volatility. Furthermore, based on the current valuations and

our outlook for next year, leveraged loans should benefit from the dearth of alterna-

tives available to protect a portfolio against rising rates and comfortably outperform

investment grade bonds.

4. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield hasoutperformed equities.


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December 2010

118

7


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December 2010

119

8

Leveraged loan market review


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December 2010

120

8


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December 2010

121

8

Leveraged loan market review

2010 Highlights

• Leveraged loans provided less return volatility compared to most asset classes in

2010, with prices falling less when market volatility rose in February, May, and

November. After returning 51.6% in 2009, loans returned 9.6% in 2010, while

spreads tightened from L+703bp to L+586bp, and prices recovered $5.2 to $95.

• New-issue conditions steadily improved throughout 2010. For perspective, a

mere $38.2 billion of institutional loan volume priced in 2009, which was easily

eclipsed in only the first four months of 2010. Averaging more than $12 billion

of volume per month, activity climbed to $143.7 billion, or a nearly four fold

increase year-over-year. Including revolvers and other non-institutional volume,

total leveraged loan volume this year totaled $201 billion, the most since 2007’s

$535 billion.

• Despite the increase in new loan volume, 2010 still turned out to be a very strong

year for technicals, as repayments of $135.5 billion, fueled by $67.2 billion of

bond-for-loan takeouts, for the 2nd consecutive year led amount outstanding to

contract.

• With capital markets less restrictive, dividend deals ($14.4 billion), covenant-lite

($6.6 billion), and LBO-related volume ($25 billion) increased as the year pro-

gressed. Meanwhile, amend to extend activity declined by more than 50% in

2H10 ($21 billion) versus 1H10 ($44 billion), and covenant relief volume

dropped from effecting $236 billion of leveraged loan volume in 2009 to $97 bil-

lion in 2010.

• Following $3.4 billion of inflows last year, bank loan funds reported retail

inflows of $10.8 billion in 2010. Noteworthy, 13 weekly inflows registered in

excess of $300 million, a figure not seen prior to 2010. The largest weekly inflow

occurred in December, +$890 million, 85% higher than the previous record.

Since early November when Treasury yields began to rise, retail flows into bank

loan funds accelerated, which led to 6 of the largest 8 inflows on record.

• Default activity declined significantly in 2010, following last year’s record-high

volume. Through November 30, 41 companies defaulted, affecting a combined

$19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institu-

tional bank loans). The par-weighted loan default rate decreased to 2.2% from

12.8% and the issuer-weighted default rate declined to 2.9% from 7.3%. For first-

lien loans, average recoveries were 72.2%, compared with Moody’s long-term

average of 65.6%, while second-lien loan recoveries were 13.3%.

• The amount of debt set to mature through 2014 has been reduced by $393 billion

since the beginning of 2009. While maturities are low over the next several years,

2013 and 2014’s $376 billion of institutional loans coming due equals 55% of all

outstanding institutional loans.


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December 2010

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Performance: slow and steady

Modest economic growth (tracking 2.9% 2010 US GDP growth), strong retail

inflows, improving corporate conditions, accommodative primary market condi-

tions, and low default activity led to another solid return for leveraged loans in

2010. After returning 51.6% in 2009, loans returned 9.6% in 2010, with the

only negative quarterly return occurring in the second quarter (-1.3%, versus

+4.6% in 1Q10, +3.3% in 3Q10, and +2.7% 4QTD). Even with significant macro

uncertainty in 2010 accompanied by bouts of market volatility, most asset classes

benefited from a slowly improving economy but one also accompanied by low rates

and accommodative fiscal and monetary policy. By comparison, high-yield and

high-grade bonds returned +13.9% and +8.1% in 2010, respectively, while the 10-

year Treasury, emerging market bonds, and the S&P 500 returned +7.9%, +11.2%,

and +13.7%, respectively. Even so, while most rate and economically sensitive asset

classes tended to trade in lockstep with macro news, strong technicals mitigated the

magnitude of price swings for loans.

During the year, prices on the S&P LSTA Leveraged Loan index rose from 89.8 on

December 2009, to 95.0 on December 17th 2010. Meanwhile, loan spreads tight-

ened from L+703bp to L+576bp, and the swap adjusted yield differential between

bonds and loans (99bp) remained well below its long-term average (177bp). By rat-

ing class, CCCs led the way returning 21.8% YTD, followed by B and BB-rated

loans with returns of 10.4% and 7.5%, respectively.

Leveraged loans have provided steady returns

Note: Returns are as of December 17th.Sources: J.P. Morgan; S&P/LCD.

Assets 2008 2009 1Q10 2Q10 3Q10 4QTD YTD High-Yield Bonds -26.83% 58.90% 4.72% 0.08% 6.34% 2.24% 13.94%Leveraged Loans -29.10% 51.62% 4.64% -1.28% 3.31% 2.72% 9.63%Investment Grade Bonds -1.86% 16.72% 2.28% 3.75% 4.55% -2.58% 8.08%Emerging Market Bonds -10.91% 28.18% 4.16% 1.16% 8.33% -2.61% 11.16%10-Year Treasury 15.31% -8.76% 0.99% 8.48% 4.65% -5.89% 7.90%Dow Jones Industrials -31.93% 22.68% 4.82% -9.36% 11.12% 7.22% 13.19%S&P 500 -37.00% 26.46% 5.39% -11.43% 11.29% 9.48% 13.74%Russell 2000 -33.79% 27.18% 8.85% -9.92% 11.29% 15.56% 26.10%By Rating BB-rated bonds -15.63% 40.98% 4.07% 0.79% 6.95% 0.95% 13.26%B-rated bonds -29.11% 45.37% 3.56% 0.00% 6.52% 2.56% 13.14%CCC-rated bonds -47.02% 110.58% 6.91% -0.96% 6.50% 5.01% 18.42%BB-rated loans -24.21% 35.79% 3.53% -1.21% 2.91% 2.18% 7.54%B-rated loans -34.89% 61.23% 4.70% -2.28% 4.34% 3.44% 10.42%CCC-rated loans -45.81% 88.60% 11.36% 0.23% 2.92% 6.07% 21.84%


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December 2010

123

8

31-Dec-08 L+2373 bp

30-Mar-08L+766bp

17-Dec-10L+576bp

31-Oct-02L+645bp

0bp250bp500bp750bp

1000bp1250bp1500bp1750bp2000bp2250bp2500bp

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

3 yea

r disc

ounte

d spr

ead

13-year average= L+513bp13-year median= L+428bp

Loan spreads


17-Dec-1099bp

30-Sep-02559bp

-600bp

-400bp

-200bp

0bp

200bp

400bp

600bp

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Diffe

renc

e in y

ields

13-year average = 177bp13-year median = 154bp

Swap adjusted comparison of high-yield bond and loan yields


After a very strong January (+2.0%), a host of headline risks emerged which led to

more moderate returns for loan investors in February (+0.3%). Namely, fiscal chal-

lenges faced abroad by Greece and challenges faced domestically generating job

growth, coupled with moves by China to reign in lending, led to softer prices for

riskier assets beginning in late January and feeding into February. Nevertheless,

sentiment and prices quickly recovered, led by subsiding global economic fears

and strong corporate earnings, leading to very strong returns for loan investors

in March (+2.3%) and April (+1.5%). These conditions also led to a significant

improvement in new-issue conditions. Alongside March and April’s record bond

issuance ($40.5 billion and $34.2 billion), institutional loan new issuance climbed to

$18.8 billion, its highest since 2007. However, momentum was soon interrupted by

many of the same concerns that led to higher volatility earlier in the year. Without

any resolution or strong visibility market volatility surged, and leveraged loans suf-

fered in tow. The VIX reached a 14-month high in May, the 2-year Treasury yield

approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly

decline for stocks since February 2009. These conditions led to the worst total

return for leveraged loans since prices began to recover back in December

2008, down -2.2% in May.

High-yield bond and loan returns


3.0%2.3%

-3.4%

1.2%

3.3%2.8%

2.4%

-1.0%

2.0%

-0.5%

0.4%0.9%

0.1%

1.4%

0.2%0.8%

0.4%

1.5%

0.3%

-2.2%

1.5%2.3%

1.5%1.4%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10

Month

ly re

turns

(%)

High-yieldLeveraged loans


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December 2010

124

8

Leveraged loan new-issue volumes climbed to a three-year high


28 47 60 46 34 59 91153 183

321387

71 39

144

192209 184

139105 81

74

112112

159

149

86

38

58

201

77

243

139185

139 157

295265

166220 256

0

100

200

300

400

500

600

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

TD

Volu

me (

$bn)

Pro RataInstitutional

480

535

Price volatility has been relatively low in 2010


35

45

55

65

75

85

95

105

Jun-

07

Aug-

07

Oct-0

7

Dec-0

7

Feb-

08

Apr-0

8

Jun-

08

Aug-

08

Oct-0

8

Dec-0

8

Feb-

09

Apr-0

9

Jun-

09

Aug-

09

Oct-0

9

Dec-0

9

Feb-

10

Apr-1

0

Jun-

10

Aug-

10

Oct-1

0

Dec-1

0

Loan

price

s

Performing loansBB-rated loansB-rated loansCCC-rated loans

This set the stage for the markets’ positive multi-month run between July and

November. An improved tone to economic data, lower volatility, accommodative

interest rates, persistently strong earnings releases, and abundant corporate liquidity

allowed prices for leveraged loans to recover, providing positive total returns in

each month in the back half of the year. In particular, when Treasury yields rose

aggressively in November and December, prices for leveraged loans held

steady. This highlighted the asset classes’ appeal in a rising rate environment, and

coincided with record inflows into the asset class, even as money shifted into and

out of the high-yield bond asset class. In summary, leveraged loans provided far

less return volatility than HY bonds and most other asset classes throughout

2010, with prices falling less when market volatility rose in February, May,

and November.

New issuance: volumes climb to 3-year high

New-issue conditions for loans steadily improved throughout 2010. After a mere

$38.2 billion of institutional loans priced in 2009, issuance averaged more than

$12 billion per month, and total activity climbed to $143.7 billion. Including

revolvers and other non-institutional volume ($57.5 billion YTD), leveraged loan

volume totaled $201 billion, the most since 2007’s $535.2 billion.


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December 2010

125

8

While this year’s institutional volume is significantly higher than the past two

years’ volume combined ($110.6 billion), the recovery in primary conditions for

leveraged loans has still trailed that for bonds. In particular, loan new-issue vol-

umes were less than bond volumes every month this year. For context, this year’s

high-yield bond volumes were close to 70% higher than their previous record last

year, while loan volumes are a fraction of their peak.

Largest loan deals in 2010Close Corp. Size Use of Coupon LIBOR At IssueDate Issuer Facility Ratings ($mm) Industry Proceeds Maturity (bps) floor Price Yield4/2010 American General Finance TL B2/B 3,000 Financial Refinancing 04/15/15 550 1.75% 98.50 8.92%10/2010 Burger King (3G Capital) TLB B2/B 1,850 Food/Beverages Acquisition 10/04/16 450 1.75% 99.00 6.95%4/2010 Reynolds & Reynolds TL Ba3/B+ 1,820 Technology Refinancing 04/14/17 350 1.75% 99.25 7.16%10/2010 Davita TLB Ba3/BB- 1,750 Healthcare Refinancing 10/17/16 300 1.50% 99.50 5.14%9/2010 Tomkins TLB Ba3/BB- 1,700 Industrials Acquisition 09/20/16 450 1.75% 99.00 7.07%10/2010 Grifols TLB B1/BB- 1,600 Healthcare Acquisition 09/29/16 425 1.75% 99.00 6.70%7/2010 Universal Health Services TLB Ba2/BB 1,600 Healthcare Acquisition 07/26/16 400 1.50% 98.50 7.02%10/2010 Fifth Third Processing 1st Lien TL Ba3/B+ 1,575 Services Acquisition 11/02/16 400 1.50% 99.00 6.30%12/2010 TransDigm TLB B1/B+ 1,550 Industrials Acquisition 12/04/16 350 1.50% 99.50 5.95%9/2010 Reynolds Group TLB B2/B+ 1,520 Consumer Prod. Acquisition 03/27/17 475 1.75% 99.00 7.39%10/2010 Goodman Global 1st Lien TL B1/B+ 1,500 Industrials Dividend 10/25/16 400 1.75% 99.00 6.43%9/2010 NBTY TLB B1/B+ 1,500 Retail Acquisition 09/20/17 450 1.75% 99.00 7.25%7/2010 Fidelity National Information TLB Ba1/BB 1,500 Financial Share buyback 07/10/16 375 1.50% 99.00 6.47%5/2010 Phillips Van-Heusen TLB Ba3/BB+ 1,500 Consumer Prod. Acquisition 05/02/16 300 1.75% 99.50 6.35%12/2010 Novelis TLB B1/B+ 1,500 Metals/Mining Dividend 12/11/16 375 1.50% 99.00 6.41%Source: J.P. Morgan.

High-yield bond issuance exceeded loan issuance for a second straight year

Sources: J.P. Morgan; S&P/LCD

2857 60 44 34 58

90154

184

325388

7238

144

46 69 43 47 74

126

151100

4795 68

152

158 106

149

147

53181

302

100

100

200

300

400

500

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

YTD1

0

($ bn

)

Institutional loan volume High Yield Issuance

Despite the increase in new loan volume this year, 2010 was still a strong year

for technicals, as elevated repayment activity continued apace and a steady

stream of inflows poured into retail funds ($10.8 billion). Repayments of $135.5

billion, fueled by $67.2 billion of bond for loan repayment activity, for the 2nd con-

secutive year led amount outstanding to contract. We estimate institutional loans

outstanding have declined to $694 billion, from $767 billion at the start of 2009 (-


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

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December 2010

126

8 High-yield bond for loan takeout volume remained high in 2010


2.7

4.74.7

8.5

7.1

9.9

1.52.2

6.9

9.3

5.14.6

9.0

3.0

5.96.6

2.7

3.9

6.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Jun-

09

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Dec-1

0

Bond

-for-l

oan r

efina

ncing

volum

e ($b

n)

9.5%). A look at the table below highlights the strong technical backdrop for loans.

Net supply totaled only a slight surplus of $8 billion in 2010, despite $143.7 billion

of gross new issuance, after a $52.4 billion deficit in 2009.

As for other trends to surface in the new-issue market for loans in 2010, divi-

dend deals, covenant-lite, and LBO-related deals increased markedly as the

year progressed, at least compared to a much more restrictive backdrop for

capital markets in 2009. LBO financing accounted for 12% of volume in 1Q10,

24% in 2Q10, 44% in 3Q10, and 20% in 4Q10, or otherwise $25 billion YTD

(20%). Meanwhile, dividend deal volume rose from $750 million in 2009 to $14.4

billion in 2010. While of course a byproduct of improving risk appetite, this year’s

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTDGross New Issuance 28.3 56.7 59.8 43.5 34.1 57.7 90.1 154.3 184.0 324.6 388.3 72.4 38.0 143.7

Paydowns -10.1 -18.1 -36.0 -36.5 -29.8 -46.5 -66.9 -83.6 -92.9 -110.7 -149.1 -48.9 -41.8 -68.3Bond for loan takeouts -48.6 -67.2

Net Supply 18.2 38.6 23.8 7.1 4.4 11.2 23.3 70.6 91.1 213.9 239.3 23.4 -52.4 8.2

Sources: J.P Morgan; S&P/LCD.

Technicals in the loan market remain strong

Given CLO participation and investor leverage is unlikely to return to levels pre-

credit crisis anytime soon, the heavy participation of the bond market to refinance

substantial loan maturities between 2013 and 2015 has been necessitated. As a

result, issuers priced 152 bond transactions totaling $67.2 billion this year for

the purpose of replacing institutional loan facilities, on top of the $48.5 billion

completed last year (102 deals). This dynamic has 1) expanded the size of the

bond market 2) has supported technicals and 3) has reduced the sizeable schedule of

loans set to mature between 2013 and 2015.


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December 2010

127

8

dividend activity was also driven in part by the uncertainty around the Bush era tax

rules. Finally, there was also an increase in covenant-lite volume with $6.6 billion

YTD, most of it in 2H10. Of course, this pales in comparison to the $96.6 billion

issued in 2007.

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4QTD YTD

Volume (billion) $28.3 $56.7 $59.8 $43.5 $34.1 $57.7 $90.1 $154.3 $184.0 $324.6 $388.3 $72.4 $38.3 $23.1 $41.9 $33.8 $44.8 $143.7Number of issues 256 433 421 326 190 242 376 648 733 930 915 187 120 54 99 82 104 339By rating (as a percent of total volume)Split BBB 0.0% 0.0% 2.0% 3.6% 4.6% 7.2% 2.0% 0.7% 1.2% 2.7% 2.7% 3.0% 0.0% 0.0% 0.0% 0.6% 0.0% 0.1%BB 14.5% 18.5% 40.2% 38.7% 45.6% 51.7% 39.2% 27.0% 20.9% 27.1% 24.8% 32.5% 26.1% 15.2% 21.1% 21.3% 16.1% 18.7%Split BB 4.7% 8.4% 7.0% 20.3% 18.0% 12.5% 19.5% 11.7% 15.3% 17.3% 24.5% 16.3% 12.4% 14.3% 11.6% 15.3% 13.3% 13.4%B 14.4% 11.9% 19.8% 12.3% 11.0% 10.5% 23.8% 42.6% 37.9% 30.8% 22.5% 13.6% 26.3% 49.0% 61.2% 55.0% 57.8% 56.7%Split B 0.0% 1.8% 0.0% 0.0% 0.0% 0.2% 0.0% 1.5% 1.0% 1.6% 2.8% 0.9% 3.7% 0.0% 0.4% 0.0% 0.8% 0.4%CCC 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.0% 0.3% 0.9% 1.3% 3.4% 0.4% 4.5% 0.3% 0.7% 1.4% 0.0% 0.6%NR 66.4% 56.1% 30.3% 24.3% 16.5% 13.4% 12.0% 16.0% 22.7% 18.9% 19.0% 27.0% 15.9% 14.1% 4.3% 6.4% 12.0% 8.8%Default 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 11.0% 7.1% 0.6% 0.0% 0.0% 1.3%By use of proceeds (as a percent of total volume)Recapitalization 8.9% 4.8% 11.3% 6.0% 4.5% 5.2% 12.5% 17.9% 19.9% 13.9% 11.7% 3.0% 2.2% 19.1% 5.9% 1.1% 2.9% 6.0%Refinancing 21.7% 15.1% 15.8% 24.8% 42.0% 51.8% 50.2% 35.3% 26.8% 18.6% 18.6% 10.8% 45.2% 44.3% 49.9% 23.6% 24.1% 34.8%Acquisition 62.6% 69.2% 64.5% 55.5% 45.5% 32.5% 29.4% 41.0% 46.8% 56.1% 63.7% 74.1% 29.2% 21.0% 36.3% 59.4% 41.2% 40.8%General Corporate 6.8% 8.3% 6.4% 11.6% 3.7% 5.1% 2.9% 3.0% 2.8% 6.8% 3.4% 4.7% 4.0% 0.0% 0.8% 2.4% 0.1% 0.8%Exit 0.0% 0.6% 0.1% 1.0% 2.5% 3.9% 4.0% 0.4% 1.4% 1.2% 0.6% 4.2% 3.3% 14.0% 5.1% 1.1% 1.1% 4.3%DIP 0.0% 0.0% 0.0% 0.0% 0.4% 1.5% 0.3% 0.8% 1.9% 0.9% 1.1% 1.4% 14.0% 1.6% 0.3% 0.4% 0.9% 0.7%Other 0.0% 2.0% 1.9% 1.0% 1.3% 0.2% 0.8% 1.7% 0.4% 2.6% 1.0% 1.8% 2.0% 0.0% 1.6% 11.7% 28.7% 12.2%Unknown 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% 0.2% 0.4% 0.9% 0.5%By industry (as a percent of total volume)Automotive 4.8% 3.1% 2.4% 1.8% 0.9% 1.3% 5.0% 0.4% 3.0% 5.6% 0.1% 3.0% 3.7% 0.9% 0.0% 1.7% 3.2% 1.5%Broadcasting 2.5% 2.3% 1.8% 3.6% 6.3% 2.9% 2.0% 1.8% 2.2% 1.1% 3.4% 7.2% 1.8% 5.6% 1.9% 0.8% 0.0% 1.7%Cable and Satellite 3.8% 3.4% 6.6% 7.7% 5.1% 0.6% 3.0% 4.1% 2.6% 5.9% 1.5% 2.6% 5.4% 1.1% 3.8% 0.0% 0.8% 1.5%Chemicals 6.7% 6.5% 6.0% 6.6% 8.6% 5.4% 6.7% 7.6% 6.2% 5.3% 5.6% 8.1% 17.9% 7.9% 2.9% 3.1% 3.4% 3.9%Consumer Products 4.8% 4.5% 2.8% 1.8% 7.6% 2.5% 3.1% 4.5% 3.1% 3.0% 1.8% 0.7% 4.4% 4.1% 8.4% 5.7% 2.5% 5.2%Diversified Media 3.0% 3.9% 3.6% 2.1% 4.1% 7.1% 4.8% 3.6% 3.5% 5.6% 7.0% 4.4% 3.5% 0.0% 5.7% 1.8% 0.0% 2.1%Energy 0.7% 2.6% 2.4% 0.5% 3.3% 2.5% 4.4% 4.0% 8.1% 4.4% 3.9% 7.9% 4.7% 1.6% 3.2% 3.8% 0.4% 2.2%Financial 0.2% 0.6% 0.3% 1.5% 0.0% 0.5% 1.1% 1.0% 1.0% 1.1% 1.0% 0.4% 2.1% 6.0% 15.1% 5.5% 2.1% 7.3%Food and Beverages 10.4% 6.3% 4.1% 5.0% 10.1% 8.3% 7.6% 5.1% 4.2% 6.0% 3.4% 5.6% 9.0% 8.5% 5.0% 5.2% 13.0% 8.1%Gaming Lodging and Leisure 4.4% 6.4% 12.0% 4.6% 5.1% 6.9% 4.6% 7.6% 7.9% 5.3% 6.3% 7.4% 6.7% 9.5% 11.2% 4.0% 2.1% 6.4%Healthcare 13.6% 7.8% 7.7% 3.1% 8.3% 8.8% 8.6% 6.7% 7.5% 8.0% 9.2% 5.5% 10.5% 19.0% 5.1% 17.2% 15.7% 13.5%Housing 2.2% 3.6% 4.3% 4.4% 1.0% 4.9% 5.2% 5.7% 8.5% 3.6% 3.2% 1.2% 1.2% 1.9% 0.9% 0.0% 1.6% 1.0%Industrials 6.9% 7.2% 1.9% 9.2% 8.3% 8.1% 2.4% 4.3% 3.1% 4.4% 3.2% 5.9% 1.1% 6.3% 5.3% 8.7% 11.3% 8.1%Metals and Mining 4.1% 11.5% 2.2% 1.4% 1.8% 2.8% 3.3% 2.9% 2.1% 2.3% 3.3% 1.1% 1.5% 0.0% 1.4% 1.8% 3.3% 1.9%Paper and Packaging 5.4% 0.0% 1.8% 4.8% 4.9% 4.8% 2.8% 4.4% 1.0% 3.4% 1.8% 4.4% 3.2% 8.1% 1.9% 2.7% 0.0% 2.5%Retail 8.4% 5.4% 2.6% 3.0% 7.4% 4.8% 5.3% 3.3% 4.6% 3.3% 3.7% 2.8% 3.3% 3.5% 2.0% 6.5% 5.0% 4.2%Services 3.4% 8.3% 14.7% 6.7% 6.4% 5.6% 7.8% 6.7% 10.8% 10.0% 15.5% 7.3% 7.5% 6.2% 7.4% 17.7% 19.7% 13.5%Technology 7.1% 3.1% 4.5% 7.5% 3.6% 5.1% 5.5% 4.5% 8.7% 9.2% 5.0% 12.4% 6.3% 7.4% 10.4% 4.4% 8.9% 8.0%Telecommunications 5.1% 11.1% 16.2% 18.2% 3.9% 5.3% 4.9% 7.4% 6.5% 4.9% 6.3% 4.2% 4.4% 1.6% 3.9% 6.2% 7.1% 5.1%Transportation 2.6% 2.1% 1.9% 1.7% 0.9% 2.5% 2.9% 7.5% 2.0% 2.8% 5.8% 2.5% 1.1% 0.0% 1.3% 1.1% 0.0% 0.6%Utility 0.0% 0.3% 0.1% 5.1% 2.6% 9.3% 8.9% 7.0% 3.5% 5.0% 9.1% 5.3% 0.8% 1.0% 3.4% 2.1% 0.0% 1.6%

Institutional loan activity



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Alisa Meyers (1-212) 834-9151

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December 2010

128

8

Demand: retail flows reach new heights

Following $3.4 billion of inflows last year, bank loan funds reported retail inflows

of $10.8 billion in 2010. In particular, 13 weekly inflows this year have topped

$300 million after never having done so prior to 2010. Of note, inflows into

bank loan funds accelerated as the year progressed, particularly during

November when rate volatility rose. For example, 6 of the last 8 inflows into

bank loan funds were the largest on record, the latest being +$890 million, the

largest on record by $410 million (+85%). At least compared to “less than uni-

form” flows into high-yield bond funds, flows into leveraged loan funds remained

steady all year. In all, high-yield funds had inflows in 34 of 49 weeks (including

seven inflows or outflows in excess of $1 billion), while bank loan funds had

After a frenzy of activity last year, amend to extend activity declined in 2010. In

particular, amend to extend activity declined by more than 50% in 2H10 ($21 bil-

lion) versus 1H10 ($44 billion). Seperately, covenant relief volume dropped from

effecting $236 billion of leveraged loan volume in 2009 to $97 billion in 2010.

Debt multiples on new deals remain fairly conservative

Source: S&P/LCD

3.9 4.2 4.3 4.43.94.03.8

4.95.35.15.05.3

3.83.74.0

5.65.85.2 5.2

4.5

0123456789

10

1987

1988

1989

1990

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

TD

FLD/EBITDA SLD/EBITDA Other Sr Debt/EBITDA Sub Debt/EBITDA8.8

7.16.7

Amendments and covenant waivers declined in 2H10

Source: S&P/LCD.

26 9

4 4 4 3 411

1 311

15

4 210

4 4 28

37

1921

22

47

30 28

4

25

11

9

1214

12

18

115

13

8 5 74

0

10

20

30

40

50

60

Jan-

09

Feb-

09

Mar-0

9

Apr-0

9

May-0

9

Jun-

09

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Volum

e ($b

n)

Amend to extend Covenant relief


[email protected]

Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

129

8

(5,000)

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

Jan

Jan

Feb

Feb

Mar

Mar

Apr

Apr

Apr

May

May

Jun

Jun Jul

Jul

Aug

Aug

Sep

Sep

Sep

Oct

Oct

Nov

Nov

Dec

Dec

Jan

Annu

al cu

mulat

ive in

flows

($mn

)

2009 2010

Cumulative inflows into bank loan funds

Source: Lipper FMI.

inflows in 46 of 49 weeks. Given an improving economic growth outlook, and

prospects for higher rates in 2011, we expect flows into retail bank loan funds to set

another record in the year to come. Meanwhile, anecdotally, crossover demand from

relative value players like hedge funds, high-yield funds, multi-strategy managers,

and even pension funds, endowments, and other institutional investors has increased

since yields across all fixed income products declined toward historic lows.

Retail flows into and out of high-yield bond and loan funds throughout 2010

Source: Lipper FMI.

1.9

(2.5)

3.02.0

(5.7)

0.9

3.9

1.5

4.4

2.3

(1.2)

0.80.1

1.61.0 1.11.3

0.40.3

1.50.9

0.3

(8.0)

(6.0)

(4.0)

(2.0)

0.0

2.0

4.0

6.0


($bn

)

HY Bond Flows LL Fund Flows

Appetite for HY wanes (Greece/job concerns)

LL inflows remain steady exceeding cum. HY inflows

by $2.3bn

HY inflow reversal on improved eco. outlook and market sentiment.

HY: $6.3bn outflow in May-earliy Jun on

resumed eco., euro zone, and

fin. reform concerns.

Reach for yield in low all in yields environment and stabilization in eco.

indicators underpin strong demand for HY & LL between Jul and mid Nov

HY demand under pressure (sharp backup in Tsy

ylds/renewed Euro zone concerns).

Appetite for LL surges (floating rate

feature/seniority)

1.2 1.4


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Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

130

8

8.1 7.93.0

29.7

11.6

5.91.53.20.6

90.1

1.21.27.1

30

93

60

3511

612

232633

94

0102030405060708090

100

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Numb

er of

defau

lts

0.010.020.030.040.050.060.070.080.090.0100.0

($bn)


Annual number and dollar volume of institutional bank loan defaults

Note: 2010 data is through November 30.Sources: J.P. Morgan; S&P/LCD.

Prime Rate Fund

13%

Insurance Co.

6%

Hedge, Distressed & High-Yield Funds

34%

Finance Co.

4%

CLO

43%

Investor participation in this year’s primary market activity

Source: S&P/LCD.

0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0%90.0%

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

TD

US BanksFinance Co.Foreign BankInstitutional InvestorSecurities Firm

Buyer base for new loans

Source: S&P/LCD.

Defaults: default rates well below long-term average

Default activity declined significantly in 2010, following last year’s record-high

volume. Through November 30, 41 companies defaulted, affecting a combined $19

billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional

bank loans). By comparison, 120 companies defaulted on a record-high $185 billion

in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in

bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan

only borrowers, and the remaining 8 companies had both bonds and loans outstand-

ing. Specifically for the high-yield bond market, this year’s $7.4 billion of bonds

affected was the third lowest volume in the last 13 years, trailing only 2005’s $3.2

billion and 2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was

the third largest total on record, trailing last year’s $90.1 billion and 2008’s

$29.7 billion.

After setting record highs in 2009, loan default rates fell significantly in 2010.

During the year, the par-weighted default rate for loans decreased to 2.18% from

12.78%, and the issuer-weighted default rate declined to 2.86% from 7.34%. As a


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Tony Linares (1-212) 270-3285

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Alisa Meyers (1-212) 834-9151

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December 2010

131

8

Twelve-month rolling par-weighted default rates

Nov-09 10.98%

Nov-10 0.74%

Nov-09 14.18%

Nov-10 2.18%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Defau

lt rate


reminder, given strong market technicals, few 2011 or 2012 maturities, and an

expected moderate acceleration in US GDP growth next year, our 2011 default fore-

casts for high-yield bonds and loans are 1.5% and 2%, respectively. Additionally,

our 2012 forecasts for bond and loan default rates are 2% and 3%, respectively.


Twelve-month rolling issuer-weighted default rates

Nov-10 2.16%

Oct-09 10.04%

Nov-10 2.86%

Oct-09 7.89%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Defau

lt rate



Default activity was generally steady during the year, with the number of defaults

ranging from 2 to 5 in each month except for January when 8 companies defaulted.

This was a dramatic change from last year when an average of 10 companies

defaulted per month. Default volumes reflected a different story, with total default

volume increasing to an YTD high of $4.1 billion in November. Specifically, bond

default volume increased for six consecutive months through November, from

no defaults in May to $3 billion, and outpaced bank loan default volume in

September, October and November, after trailing loan volumes during the

prior 9-month stretch. Indicative of this pick up in defaults at the tail end of the

year, six of the ten largest YTD defaults (including both bonds and loans) occurred

in the 70 days leading up to November 30—November’s 5 defaults reflected the

second, third, eighth, fifteenth, and sixteenth largest YTD.


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Loan only issuers outpaced bond only issuer defaults by a score of 2 to 1

54

2

44

2223

5

8

3

56

7

9910

11

1717

10

1615

02468

1012141618

Dec-0

8

Jan-

09

Feb-

09

Mar-0

9

Apr-0

9

May-0

9

Jun-

09

Jul-0

9

Aug-

09

Sep-

09

Oct-0

9

Nov-0

9

Dec-0

9

Jan-

10

Feb-

10

Mar-1

0

Apr-1

0

May-1

0

Jun-

10

Jul-1

0

Aug-

10

Sep-

10

Oct-1

0

Nov-1

0

Numb

er of

defau

lts

Loan-only defaultsBond-and-loan defaultsBond-only defaults

Average number of defaultsLast 6 months = 3.56-months ending Dec 09 = 6.56-months ending May 09 = 14.3


First-lien loan recovery rates

7262

5869

848488

73

596569

74

57

7986

7568

5361

6872

0.010.020.030.040.050.060.070.080.090.0

100.0

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Reco

very

(cents

on th

e doll

ar)

Average = 65.6%

Note: The grey shade in 2009 represents recovery rates using current prices versus the traditional measure 30 days after to accountfor the absence of liquidity in early 2009 when most of the default activity occurred.Sources: J.P Morgan; S&P/LCD.

Recovery rates for bonds and loans in 2010 were roughly in-line with historical

averages. For bonds, the average recovery rate was 40.9%, compared with the long-

term average of 39.2%. Senior secured bonds recovered $50.2, while senior and

senior subordinated bonds recovered $25.9 and $23.2, respectively. For first-lien

loans, average recoveries in 2010 averaged 72.2%, compared with Moody’s long-

term average of 65.6%, while second-lien loan recoveries were 13.3%.

Maturity schedule

As a result of the significant new-issue volumes back in 2006 and 2007, the maturi-

ty schedule for high-yield bonds and loans continues to be a focal point for lever-

aged credit investors. As it now stands, high-yield bond and loan maturities over the

next two years are negligible, with only $180 billion coming due in 2011 or 2012.

To put this into perspective, refinancing related issuance in the high-yield bond mar-

ket totaled $265 billion in 2010. The real question lies beyond the next two years.


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Specifically, between 2013 and 2016, $1.08 trillion of high-yield bonds and loans

will come due ($503 billion bonds and $575 billion loans). In particular, 2013 and

2014’s $376 billion of institutional loans coming due equals 55% of all outstanding

institutional loans.

High-yield bond and loan maturities

51 52

77

122

167

137153

115

42

97 100

22

56

124

252

94106

31

1 0 0 00

50

100

150

200

250

300

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 or

later


Note: As of November 9, 2010.Sources: J.P. Morgan; Markit.

Change in maturities since year end 2008

-57 -64-90

-127

-55

70

127 116

245

-140

-105

-70

-35

0

35

70

105

140

175

210

245

2010 2011 2012 2013 2014 2015 2016 2017 2018 or

later

Note: Change is measured between December 31, 2009 and November 9 2010. Sources: J.P. Morgan; Markit.

Debt maturing through 2014 has dropped nearly $400 billion since December

2008. As a result, the amount of debt set to mature through 2014 has been

reduced by $393 billion since the beginning of last year. More specifically, matu-

rities for 2010, 2011, 2012, 2013 and 2014 have declined by $57 billion, $64 bil-

lion, $90 billion, $127 billion and $55 billion, respectively.

By asset class, the bond market has actually grown in aggregate by roughly $130

billion YTD, while the loan market remains relatively unchanged (+$8 billion). The

growth of bonds relative to loans is largely the result of the record primary market

volumes in high-yield, with a large share of new issuance used in bond-for-loan


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takeout activity (YTD volume of $67 billion). As a result, maturities in the bond

market through 2014 have dropped by $106 billion, compared with a $288 billion

drop in loan maturities over that same span. Meanwhile, maturities in 2015 and

beyond for both markets has grown by $559 billion ($417 billion in bonds and $142

billion in loans). Notably, all $142 billion in loan maturities were added to 2015,

2016 and 2017, while $172 billion of bond maturities was added to these years and

$245 billion was added to 2018 or later.

The following is from the 2011 Global CDO outlook published November 24 and

available on Morgan markets (Rishad Ahluwalia and Maggie Wang).

The future of the primary CLO market

Demand is picking up for CLO primary, with investors attracted to the historically

high current coupon and subordination. We forecasted $5bn gross global CLO sup-

ply for 2010. With $5.7bn, that goal has been achieved. We expect $12.5bn ($10-

15bn) in 2011 and $25bn ($20-30bn) in 2012, but supply is net negative as pay-

downs will accelerate and outstandings will decline $57bn to $337bn by 2014. Our

CLO supply projections are a fraction of peak volumes and leveraged finance will

likely continue relying on the high yield market given the significant disruption to

securitization markets very recently. Further, CLO origination depends on banks’

willingness to warehouse risk, financial reform, and the broader supply prospects

for loans. Nevertheless, CLOs can play a role in future credit provision. Again, even

assuming a large portion of bond and loan activity is used to reduce loan maturities

in 2011, a large part of the $575bn wall will remain, and since most 2006/2007

CLOs will start amortizing, new CLOs can help mitigate defaults and damage to

economic activity. On a broader level, our FIG analysts estimate $848bn and €1.8tn

of bank debt in the US and Europe comes due by end-2013. Banks are not relying

on securitization as much as in the past, but CLOs’ distribution channel and disin-

termediation can potentially ease some of the burden on balance sheets, especially

as Basel III raises total capital requirements from 8% to 18% over the next few

years, so holding loans on the balance sheet may be less efficient. See our MBS col-

-39-25 -22 -28

8

41 45

86

245

-50

0

50

100

150

200

250

2010 2011 2012 2013 2014 2015 2016 2017 2018

or later

Change in high-yield bond maturities since year end 2008


-18

-64

30

-39

-68

-99

82

30

0

-110

-90

-70

-50

-30

-10

10

30

50

70

90

2010 2011 2012 2013 2014 2015 2016 2017 2018

or later

Change in leveraged loan maturities since year end 2008



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leagues’ Outlook. Finally, we highlight the Fed’s recent Senior Loan Officer Survey:

respondents believe lending conditions would remain tighter than their long-term

average past 2011. This and broader bank deleveraging suggests a degree of disin-

termediation of the demand for credit is helpful. CLOs can be part of the solution.

CLO gross/net supply

19 18 2439

70

150 139

44

7 5 1325

121

18

-33-45 -38

-19

17 13 18 32

61

136

-100

-50

0

50

100

150

200

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Annual Gross Annual Net

Note: Global arbitrage and balance sheet transactions.Sources: J.P. Morgan; S&P/LCD.

Reinvestment expiry calendar and estimated reinvestment capacity of current outstanding US CLOs

28

4861

88

60

3139

1 6

0

20

40

60

80

100

120

2006 2008 2010 2012 2014 2016 2019

CLOs exiting reinvestment periodper year

Total Reinvestment Capacity


Annualized loan prepayment rates have been in a 15-25% range over the last few

quarters and we estimate US CLOs received about $66bn cash flows from prepays

for reinvestment this year. If we consider both prepayments and collateral sales,

CLO reinvestment may be as high as $105bn for FY 2010, and the effective CLO

reinvestment rate may actually be closer to 38% for the year. The evidence suggests

CLO managers are taking advantage of portfolio “WAL test” headroom and rein-

vesting into new-issue loans, which commonly have five- or six-year maturities and

higher coupons with Libor floors. This effectively increases excess spread to equity

and fees, but may also be creating extension risks. In fact, S&P states that existing

CLOs bought about 37.6% or $45bn of $120bn new-issue loans in 2010 YTD. Our

analysis estimates current outstanding US CLOs have reinvestment potential of

$86bn, $68bn, $47bn, and $23bn for 2011, 2012, 2013, and 2014 or a cumulative

$224bn to 2015.


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CLO underlying asset maturities

4 8

28

75

123

33

50

111 3 5

19

37 34

177

0

20

40

60

80

100

120

140

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Underline maturity inUS CLOsUnderline maturity inEuro CLOs



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The case for leveraged loans


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The case for leveraged loans

To help understand the current state of the leveraged loan market and the prospects

for the asset class going forward, a brief reflection upon where the asset class has

been over the past couple of years is warranted. For leveraged loans, this discus-

sion is complicated by the sizeable growth the market experienced pre-credit crisis,

and the crucial role investor leverage played in obtaining that growth. In our view,

the investing landscape for leveraged loans will continue to mend in 2011. With

yields on fixed-rate bonds near historic lows and rate volatility expected to increase

alongside an economic recovery, we believe the risk/return profile for floating rate

loans will further improve on a relative basis in 2011, making loans among the most

appealing investments to shield a portfolio against the potential of rising rates/infla-

tion. In particular, due to their floating rate feature, leveraged loans limit interest-

rate risk, and thereby exhibit a low correlation to most asset classes. With default

risk low for the foreseeable future and very little room for interest-rates to fall fur-

ther, it should again prove beneficial next year to add leveraged loans to a high-

yield or investment-grade portfolio for diversification purposes.

Capital market conditions for leveraged loans continue to recover


126151

100

47

9568

152181

300

184

325

388

72

235

53

148149106

158 160135

38

154

9058

3444605728

0.050.0

100.0150.0200.0250.0300.0350.0400.0450.0

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E

New-

issue

volum

e ($b

n)

High-yield new-issue volume

Institutional leveraged loan new-issue volume

First for context, leveraged loan prices went as low as $60 in December 2008 (his-

torical recovery value is $70) amid a bout of forced selling at the hands of financial

and investor de-leveraging, but more recently have recovered to $95. Some contrib-

utors to the forced selling at the time included banks offloading bridge loans, an

unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests,

and sales by mutual funds and hedge funds in order to meet mounting redemptions.

In early 2009 as investor de-leveraging wound down, the abatement of forced sell-

ing allowed prices to recover sharply from depressed levels. For example, prices on

the S&P LSTA Leveraged Loan index rose from 61.74 in December 2008, to 87.35

in December 2009. These conditions coupled with a sharp drop in default risk led to

historic returns for leveraged loans of +51.6% in 2009. While returns for lever-

aged loans have trailed returns for high yield bonds in 2010, they have man-

aged to provide a healthy return of 9.6%. Notably, leveraged loans have also pro-

vided far less return volatility than bonds throughout 2010, with prices falling less

when market volatility rose in February, May, and November.


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For 2011, prospects for leveraged loans look bright, with a better GDP outlook (in

light of the recent tax compromise), low defaults, strong balance sheets, and an

upward bias to interest rates supporting demand for loans. Shades of this are already

showing up in retail fund flow data and through conversations with various demand

sources. For example, prices held reasonably steady and retail flows into the loan

asset class reached historic heights in recent months, even as money shifted violent-

ly into and out of the high-yield bond asset class amid a more volatile rate environ-

ment. Meanwhile, anecdotally, crossover demand from relative value players like

hedge funds, high-yield funds, multi-strategy managers, and even pension funds,

endowments, and other institutional investors has increased since yields across all

fixed income products declined. Loans offering a 5-6% floating rate yield with col-

lateral protection should continue to garner significant attention in 2011. Forming

the case for leveraged loans, we first lay out our outlook on key elements for the

asset class for 2011. Beyond this, we discuss other defining features that we expect

will continue to draw significant attention to the asset class in the years ahead,

namely an attractive Sharpe ratio and low correlation to Treasuries.

High-yield bond and loan returns

Sources: J.P. Morgan; S&P/LCD..

3.0%2.3%

-3.4%

1.2%

3.3%2.8%

2.4%

-1.0%

2.0%

-0.5%

0.4%0.8%

0.1%

1.4%

0.2%0.7%

0.4%

1.5%

0.3%

-2.2%

1.5%2.3%

1.5%1.4%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10

Month

ly re

turns

(%)

High-yieldLeveraged loans

High-yield bond and loan spreads remain wide


0bp

300bp

600bp

900bp

1200bp

1500bp

1800bp

2100bp

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Spre

ad

High yield

Leveraged loan

HY spread15-Dec-10T+582bp

Loan spread15-Dec-10L+574bp


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GDP growth of 3% in 2011 and 2012: Due to a boost to disposable income in the

early part of next year at the hands of the recent tax compromise, US GDP is now

forecasted to expand 3.75% in 1H11 and 3.25% in 2H11. Furthermore, the forecast

looks for a gradual acceleration in growth and hiring, sustained low core inflation,

and a Fed that continues on the course of LSAP to support the economy. With the

seeds of an economic recovery planted, our economists forecast US GDP growth

(y/y) of 3.3% in 2011 and 3.0% in 2012, after growing 2.9% in 2010. Stronger

growth in 2011 has positive implications for already strong credit fundamentals for

loan issuers.

Historically low interest rates: Although we expect growth to rise over the next

two years, importantly, the US economy will still be operating with considerable

slack. By the end of 2011, the US unemployment rate is expected to approach 9%,

and is unlikely to fall below 8% until sometime in 2013. While our economists’

forecast does not call for outright deflation, core inflation is apt to remain below 1%

through 2011 (0.7% y/y) and 2012 (0.9% y/y). With unemployment high and infla-

tion low, Libor is expected to remain unchanged over the next year at 0.28%, and

the Fed Funds rate will likely remain near zero over the next two years. Even so,

investors will likely begin to contemplate the Fed’s eventual exit strategy in 2011.

All of this leads our rates team to envisage a gradual pick-up in Treasury yields next

year alongside improving growth prospects. Specifically, they forecast 2yr, 5yr, 10yr

and 30yr Treasury yields will increase to 1.00%, 2.45%, 3.60%, and 4.80% by year-

end 2011. For leveraged loans, while an unchanged Libor rate will do little to boost

current income, the prospect for rising interest rates will continue to draw demand

toward floating rate products.

J.P Morgan US economic forecasts


%q/q %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011 2012

Real GDP 3.5% 3.5% 4.0% 3.5% 3.0% 2.9% 3.3% 3.0%Unemployment rate 9.7% 9.6% 9.4% 9.2% 9.0% 9.7% 9.3% 8.7%Core CPI 0.4% 0.6% 0.6% 0.7% 0.8% 1.0% 0.7% 0.9%

Contribution to real GDP growth (% pts)Domestic final sales 3.4% 3.3% 3.7% 4.1% 3.3% 1.9% 3.5% 3.1%Net exports 1.4% 0.5% 0.2% -0.3% -0.5% -0.6% -0.1% -0.2%Inventories -1.2% -0.3% 0.1% -0.3% 0.1% 1.5% -0.1% 0.0%

ComponentsSavings rate 5.1% 5.3% 5.3% 5.1% 5.1% 5.6% 5.2% 4.8%Real disposable income 1.0% 4.5% 3.5% 3.0% 3.0% 1.3% 3.0% 2.3%Consumer spending 4.0% 3.5% 3.5% 4.0% 3.0% 1.7% 3.2% 2.7%Residential investment 0% 10% 15% 15% 10% -3.2% 4.9% 12.8%Housing starts 0.55 0.60 0.65 0.68 0.70 0.59 0.66 0.78Light vehicle sales (SAAR) 12.2 12.4 12.6 12.8 12.9 11.5 12.7 13.2


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Default rates to remain low: Leveraged loan default rates are likely to end 2010 at

roughly 2.0%, versus 12.8% in 2009 and a long-term average of 4.0%. With market

technicals strong leading into next year, 2011 and 2012 maturities negligible, our

2011 and 2012 default forecasts for leveraged loans are 2% and 3%, respectively,

both still below their long-term average. For perspective, based on current spreads

of L+588bp for loans, the implied default rate is 8.7%. Conversely, based on our

default forecast, loan spreads should be L+355bp. In other words, loan spreads are

cheap versus default risk and economic and/or interest rate surprises in 2011 stand a

high chance of being absorbed at these levels.

2011 year-end spread and return targets for loans: For leveraged loans, we fore-

cast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with the

potential for stronger returns in 2H11 versus 1H11, as investors begin to contem-

plate the Fed’s eventual exit strategy, raising the demand for floating rate loans. For

full-year 2011, we forecast a return of 7.1%, which should be very attractive rela-

tive to other return opportunities in fixed income.

Treasury yields are expected to rise in 2011


Change Current 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E current/4Q11

Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.67% 0.45% 0.60% 0.80% 0.90% 1.00% + 33 bp5-yr Treasury 2.12% 1.50% 1.75% 2.20% 2.30% 2.45% + 33 bp10-yr Treasury 3.53% 2.80% 2.95% 3.35% 3.50% 3.60% + 7 bp30-yr Treasury 4.59% 4.10% 4.25% 4.55% 4.65% 4.80% + 21 bp

2s / 10s 2.86% 2.35% 2.35% 2.55% 2.60% 2.60% - 26 bp5s / 10s 1.41% 1.30% 1.20% 1.15% 1.20% 1.15% - 26 bp


1.7%

9.1%8.0%

3.3%

0.9% 0.4%

2.3% 2.0%

6.6%

0.5%

3.9%

12.8%

2.0%3.0%

1.1%

4.1%5.0%

10.3%

0.8%1.5%

6.3% 6.0%

2.3%1.0%

0.2%1.5%

4.2%

1.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

1998

1999

2000

2001

2002

2003

2004

2006

2007

2008

2009

2010

2011

E

2012

E

Par-w

eighte

d defa

ult ra

tes





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High-yield bond and loan maturities

51 52

77

122

167

137153

115

42

97 100

22

56

124

252

94106

31

1 0 0 00

50

100

150

200

250

300

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 or

later


Note: As of November 9, 2010Sources: J.P. Morgan; Markit.

Supply will remain focused on refinancing heavy debt maturities: We expect to

see continued improvement in primary conditions for leveraged loan issuers in

2011, after a better than three-fold increase in institutional volume year-over-year in

2010. For 2011, we forecast new-issuance of $160 billion, above this year’s pace of

$140 billion. In terms of the maturity wall, 58% of the $412 billion in bonds and

loans issued this year were used for refinancing purposes. Including 2009’s issuance

and amend to extend activity, the amount of debt set to mature through 2014 has

now been reduced by $393 billion since the beginning of last year. As such, high-

yield bond and loan maturities over the next two years are negligible, with only $73

billion and $108 billion coming due in 2011 and 2012. To put this into perspective,

the leveraged credit market completed $239 billion of refinancing related issuance

thus far in 2010. This provides a clear runway for issuers and investors and is one

of the factors behind our benign default outlook. Even so, focus in the primary mar-

ket over the next couple of years will continue to be directed toward maturities

between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans still stand to

come due ($503 billion bonds and $575 billion loans).

Leveraged loan valuations


What today's loan spread implies for future defaultsActual spread Excess spread Default loss Recov rate Default rate

574bp - 285bp = 289bp / (100% - 65%) = 8.2%Leveraged loan spread estimate using a 2% default rate

Par - Recov. rate Default rate Default loss Excess spread Implied spreads(100% - 65%) x 2.0% = 70bp + 285bp = 355bp

Expected 2011 leveraged loan return


Income component 4.1%Current spread L+574bpTarget spread L+475bpPrice contribution 3.0%Expected total return 7.1%


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Risk/return: attractive profile is resurfacing for loans When making an asset allocation decision, recognizing volatility in the context of

returns is an important step toward managing risk. For leveraged loans, this discus-

sion becomes extremely complicated by 1) the sizeable market growth experienced

pre-credit crisis 2) the crucial role investor leverage played in obtaining that growth

and 3) the altered landscape in the aftermath of reduced TRS lines and the absence

of new CLO origination. Because of extreme price swings experienced during

the financial crisis, a look at returns and volatility extending beyond the past

year creates an unfavorable comparison. For example, loan prices dipped to lev-

els likely to never be seen again in the fall of 2008, which were below historical

recovery rates, driven by forced selling via banks offloading bridge loans, an

unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests,

and sales by mutual funds and hedge funds in order to meet mounting redemptions.

Pre-credit crisis, leveraged loan prices rarely deviated from par, and return volatility

at the time was only a fraction of that experienced by most other asset classes.

Annual returns for leveraged loans

10.0%5.2% 5.1%

51.6%

-29.1%

1.9%4.2%5.0%4.2%5.5% 6.8%2.0%

7.5% 9.6%

-40.0%-30.0%-20.0%-10.0%

0.0%10.0%20.0%30.0%40.0%50.0%60.0%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

YTD

Annu

al tot

al re

turn

Source: S&P/LCD.

Average annual returns Average annual volatility Modified Sharpe Ratio 1

1 3 5 7 10 15 1 3 5 7 10 15 1 3 5 7 10 15year year year year year year year year year year year year year year year year year year

Fixed Income5-year Treasury 6.64% 7.28% 7.03% 5.38% 6.12% 5.94% 4.89% 5.23% 4.70% 4.62% 4.98% 4.62% 1.36 1.39 1.50 1.17 1.23 1.2810-year Treasury 7.30% 7.23% 6.85% 5.77% 6.21% 5.89% 8.75% 9.73% 8.21% 7.75% 8.15% 7.59% 0.83 0.74 0.83 0.74 0.76 0.78JPMorgan MBS Bond Index 4.80% 7.00% 6.82% 5.95% 6.28% na 2.78% 3.40% 3.04% 2.94% 2.93% na 1.73 2.06 2.24 2.02 2.14 naAggregate Bond Index 6.04% 6.39% 6.23% 5.42% 6.15% 6.22% 3.22% 4.12% 3.58% 3.57% 3.80% 3.66% 1.88 1.55 1.74 1.52 1.62 1.70Investment Grade Index 8.96% 7.81% 6.93% 5.98% 7.22% 6.77% 4.18% 8.59% 6.94% 6.34% 6.13% 5.58% 2.14 0.91 1.00 0.94 1.18 1.21

JPMorgan Global HY Index 16.34% 9.60% 8.72% 8.54% 9.24% 7.62% 6.95% 16.49% 12.98% 11.18% 10.43% 9.19% 2.35 0.58 0.67 0.76 0.89 0.83S&P 500 9.94% -5.15% 0.98% 3.65% 0.81% 6.45% 18.38% 21.80% 17.59% 15.47% 16.25% 16.30% 0.54 -0.24 0.06 0.24 0.05 0.40Leveraged loans 11.99% 5.46% 5.07% 5.10% 5.15% 5.39% 4.81% 14.05% 11.02% 9.30% 7.91% 6.50% 2.49 0.39 0.46 0.55 0.65 0.83

Risk adjusted returns

1. Returns are through November 30, 2010Source: J.P. Morgan.


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Importantly, while return volatility for the leveraged loan asset class is unlikely to

return to the very low levels pre-credit crisis (1.5% annualized five-years ending

June 2007), encouragingly, we do believe it will continue to recede to a more nor-

malized level that could match, or even fall below what has been experienced over

the past 12 months. As of November 30th 2010, the standard deviation of twelve

months returns for leveraged loans has dropped to 4.8%, from a peak of 23.6% in

August 2009, and the return per unit of risk has improved to 2.5% (return of 12%

divided by volatility of 4.8%). By comparison, this risk/return profile has exceeded

that for stocks and Treasuries over the past year, and more closely resembled that for

other credit products. Going forward, with Treasury rates low, yields on fixed-

rate bonds near historical lows, and rate volatility expected to increase along-

side an economic recovery, we believe the risk/return profile for floating rate

loans will further improve on a relative basis, making loans among the most

appealing investments to shield a portfolio against the potential of rising

rates/inflation.

So what has the risk/return profile historically looked like? Pre-credit crisis, lever-

aged loans historically had provided investors with very low return volatility com-

pared with other assets, which led to their superior risk/reward profile. For example,

over the five years ended June 2007, leveraged loans had annualized return volatility

of a mere 1.5%, compared with equities, investment-grade bonds, and high-yield

bonds of 11.6%, 5.0%, and 4.9%, respectively. Combined with an annualized return

of 6.1%, leveraged loans had a 4.1% annualized return per unit of risk over the five

year period ended June 2007. For perspective, equities, investment-grade bonds, and

high-yield bonds provided a far lower return per unit of risk over the comparable

period of 0.9%, 1.1%, and 2.4%, respectively, even as their respective absolute

returns compared quite favorably to loans (6.1% versus 10.7%, 5.6%, and 11.6%,

respectively). Looking at 3- and 10-year risk/return ratios pre-credit crisis for lever-

aged loans told a similar story. Each time period illustrated substantial disparities

that worked strongly in favor of leveraged loans. Of course, the period that subse-

quently ensued for leveraged loans, during the height of the credit crisis, rendered

any historical price volatility comparison effectively useless.

In hindsight, price volatility was arguably understated due to the lack of price

transparency, and overstated between July 2007 and June 2009, due to forced

selling. Over the two year period ended June 2009, leveraged loans annualized

Risk-adjusted returns for various assets over the past 12 monthsOne year ended November 30, 2010

Source: J.P.Morgan.

AnnualizedReturn Volatility Risk/Return

Leveraged Loans 11.99% 4.81% 2.49JPMorgan Global High-Yield Index 16.34% 6.95% 2.35JPMorgan JULI High-Grade Index 8.96% 4.18% 2.145-year Treasury 6.64% 4.89% 1.36Russell 2000 26.99% 24.28% 1.1110-Year Treasury 7.30% 8.75% 0.83S&P 500 9.94% 18.38% 0.54


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Alisa Meyers (1-212) 834-9151

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December 2010

146

9

return volatility rose to 16.7%, versus 1.5% during the prior 5 year period. This led

to a sharp deterioration in the risk/return profile for leveraged loans, from the 4.1%

annualized return per unit of risk over the five year period ended June 2007, to

-0.3% over the two year period ended June 2009.

Risk-adjusted returns on various assets

2.49%

0.46%

0.83%

2.14%

1.21%

0.54%

0.06%

0.40%

2.35%

0.67%0.83%1.00%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

1 Year 5 Years 15 Years

Risk

-Adju

sted R

eturn

s

Leveraged LoansInvestment grade bondsS&P 500JPMorgan Global High-Yield Index

Note: Returen per unit of risk measured by dividing the annualized return by the annualized volatility for each respective time period.Source: J.P. Morgan.

Annualized volatility on various assets

0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%

10.0%

Oct-9

5

Oct-9

6

Oct-9

7

Oct-9

8

Oct-9

9

Oct-0

0

Oct-0

1

Oct-0

2

Oct-0

3

Oct-0

4

Oct-0

5

Oct-0

6

Oct-0

7

Oct-0

8

Oct-0

9

Oct-1

0

Annu

alize

d Vola

tility

S&P 500 IndexJPMorgan Global HY Bond IndexLeveraged Loans5-year TreasuryInvestment Grade


As of November 2010, while the return per unit of risk over the past five years

looks relatively weak (chart below) as a result of the financial crisis, the past year

offers encouraging signs of what investors should expect in the future. As men-

tioned earlier, price volatility for loans over the past year has dropped to 4.8%,

above levels pre-credit crisis but well below levels during the crisis, leading the

return per unit of risk to improve to 2.5%. Thus, even as returns for loans have

trailed other asset classes over the past 12 months, a 2.5% return per unit of

risk tops high-yield bonds (2.4%) and investment-grade (2.1%), and is well

above ratios for the 10-year Treasury (0.8%) and equities (0.5%).


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Alisa Meyers (1-212) 834-9151

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December 2010

147

9

Risk/reward ratios over the last 10 years

Gold JPMorgan EMBI- Global Composite

DAX

CAC 40

FTSE 100 S&P 500 Barra Growth Index

Russell 2000

Wilshire 5000 S&P 500

JPMorgan Global HY Index

Investment Grade

LB Agg. Bond Index

JPM MBS Bond Index 10-year Treasury

5-year Treasury

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

0.00% 5.00% 10.00% 15.00% 20.00% 25.00%Annualized Volatility

Annu

alize

d Retu

rn

Leveraged Loans


Correlation: leveraged loans have minimal correlation to interest rates

An initial upward move in the Fed funds rate, or alternatively, a wind down of

assets taken onto the Fed’s balance sheet (the expected first step), is not expected to

occur until late 2012, at the earliest. Nevertheless, a factor likely to play a key role

in asset allocations in 2011 and working in leveraged loan’s favor is rising interest

rates. Even with core inflation expected to average less than 1% next year and the

Fed funds rate and Libor rates expected to remain unchanged, questions around fis-

cal imbalances and an eventual exit by the Fed should cause investors to focus on

higher rates in 2011. All of this led our rates team to envisage a gradual pick-up in

Treasury yields beyond the first quarter of next year alongside improving growth

prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will

increase to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As such, low fixed

coupons across the bond market will eventually become more vulnerable to rising

interest rates. But even before this, we expect demand for loans, which carry a 5-6%

yield that floats and sits senior in the capital structure, to benefit from the dearth of

alternatives available to protect a portfolio against rising rates. Due to their float-

ing rate feature, leveraged loans limit interest-rate risk, and thereby exhibit a

low correlation to most asset classes. For example, looking back over the last fif-

teen years ending November 30, 2010, the correlation between leveraged loans and

5- and 10-year Treasuries was -0.38 and -0.36, respectively. This is easily the lowest

among fixed income classes, and only slightly higher than that for stocks.

Meanwhile, the correlation of leveraged loan returns with high-grade bonds (0.23)

and the S&P 500 (0.41) is also low. The one exception is the correlation to high-

yield bonds, 0.80.


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December 2010

148

9

The correlation between leveraged loans and all asset classes is minimalJPM

Aggregate Global EM EM5-year 10-year Bond IG HY S&P Wilshire Russell Bond Stock US

Treasury Treasury Index Index Index 500 5000 2000 Index Index Gold Inflation10-year Treasury 0.94Aggregate Bond Index 0.85 0.90Investment Grade Index 0.58 0.67 0.88JPMorgan Global HY Index -0.24 -0.18 0.18 0.46S&P 500 -0.25 -0.19 0.02 0.22 0.60Wilshire 5000 -0.27 -0.21 0.00 0.21 0.62 0.99Russell 2000 -0.31 -0.25 -0.05 0.15 0.63 0.80 0.87JPMorgan EMBI- Global Composite 0.05 0.12 0.31 0.45 0.58 0.57 0.58 0.54Dow Jones World EM Stock Index -0.27 -0.23 -0.04 0.19 0.62 0.73 0.75 0.70 0.68Gold 0.21 0.21 0.25 0.24 0.13 -0.01 0.02 0.08 0.29 0.21US Inflation -0.16 -0.21 -0.15 -0.15 0.13 0.03 0.03 0.02 0.06 0.04 0.07Leveraged loans -0.38 -0.36 -0.03 0.23 0.80 0.41 0.42 0.43 0.29 0.42 0.02 0.32

Note: Fifteen years ended November 30, 2010.Sources: JPMorgan; S&P/LCD.

Finally, including leveraged loans in one’s portfolio is probably more pertinent now

than ever before given the uncertainties surrounding the US fiscal situations’ future

impact on interest rates and corporate profits. As demonstrated in the following

chart, increasing the weighting toward leveraged loans within a high-yield portfolio

can improve returns while decreasing risk. Specifically, over the last fifteen years

ended November 30, 2010, a portfolio consisting of 40% high-yield bonds and 60%

leveraged loans provided investors with an optimal 0.88% return per unit of risk. A

similar case can be made within a high-grade portfolio, where increasing leveraged

loan weightings within a high-grade portfolio can also improve returns while

decreasing risk. Given we expect interest rate risk to be more pertinent than

credit risk over the next several years, a high-grade portfolio would be well

served to allocate toward loans where the current income is comparable (4.1%

versus 5.5%). For example, over the last fifteen years ended November 30, 2010, a

portfolio consisting of 70% high-grade bonds and 30% leveraged loans provided

investors with an optimal 1.35% return per unit of risk. With default risk low for

the foreseeable future, economic conditions improving, and with very little

room for interest-rates to fall further, it should again prove beneficial in 2011

to add leveraged loans to a high-yield or investment-grade portfolio for diversi-

fication purposes.


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Tony Linares (1-212) 270-3285

[email protected]


[email protected]

Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

149

9

Fifteen year risk/return trade-off—leveraged loans versus high-yield bonds

5.00%

5.50%

6.00%

6.50%

7.00%

7.50%

8.00%

6.25% 6.75% 7.25% 7.75% 8.25% 8.75% 9.25%Annualized volatility

Annu

alize

d retu

rn

Optimum risk/return point40% High yield

60% Leveraged loans

100% High yield

75% High yield/25% Leveraged loans

100% Leveraged loans

25% High yield/75% Leveraged loans


Fifteen year risk/return trade-off—leveraged loans versus investment grade bonds

5.00%

5.50%

6.00%

6.50%

7.00%

7.50%

4.50% 5.00% 5.50% 6.00% 6.50% 7.00%Annualized volatility

Annu

alize

d retu

rn

Optimum risk/return point70% Investment Grade30% Leveraged loans

100% Investment Grade75% Invest. Grade/25% Leveraged loans

100% Leveraged loans

25% Invest. Grade/75% Leveraged loans



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[email protected]


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Alisa Meyers (1-212) 834-9151

[email protected]



December 2010

150

9

Peter D. Acciavatti (1-212) [email protected]

Tony Linares (1-212) [email protected]

Nelson R. Jantzen (1-212) [email protected]

Alisa Meyers (1-212) [email protected]



December 2010

A1

Appendix

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270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A

A32010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

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teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s28

-Apr

Amer

ican

SeaF

oods

275.0

272.0

Sr S

ub N

ts10

.750

15-M

ay-1

611

.000

808b

pB3

/BFo

od a

nd B

ever

ages

Gene

ral C

orpo

rate

19-M

ayAm

erica

n Tire

Dist

ributo

rs25

0.024

6.9Sr

Sec

Nts

(2nd

)9.7

5001

-Jun-

1710

.000

721b

pB2

/CCC

+Au

tomoti

veAc

quisi

tion

Finan

ce11

-Aug

Amer

ican T

ower

700.0

699.2

Sr N

ts5.0

5001

-Sep

-20

5.065

23

8bp

Baa3

/BB+

Telec

ommu

nicati

ons

Acqu

isitio

n Fin

ance

02-D

ecAm

erica

n Tow

er1,0

00.0

999.2

Sr N

ts4.2

5015

-Jan-

184.5

12

215b

pBa

a3/B

B+Te

lecom

munic

ation

sGe

nera

l Cor

pora

te29

-Apr

Amko

r Tec

h Inc

345.0

345.0

Sr U

nsec

Nts

7.375

01-M

ay-1

87.3

75

366b

pBa

3/B+

Tech

nolog

yRe

finan

cing

16-N

ovAM

O Es

crow

(Ame

rican

Med

ia Op

.)38

5.038

5.0Sr

Sec

Nts

(1st)

11.50

015

-Dec

-17

11.50

0 93

3bp

NR/N

RDi

versi

fied

Media

Othe

r12

-Mar

Amste

d Ind

ustrie

s50

0.049

6.4Sr

Nts

8.125

15-M

ar-1

88.2

50

490b

pB1

/BB-

Indus

trials

Refin

ancin

g09

-Aug

Anad

arko

Petr

oleum

2,000

.02,0

00.0

Sr N

ts6.3

7515

-Sep

-17

6.375

41

6bp

Ba1/B

BB-

Ener

gyRe

finan

cing

13-Ja

nAn

tero

Reso

urce

s15

0.015

6.0Sr

Nts

9.375

01-D

ec-1

78.4

89

503b

pCa

a1/B

Ener

gyRe

finan

cing

29-Ja

nAp

pleton

Pap

ers

305.0

299.0

Sr S

ec N

ts (1

st)10

.500

15-Ju

n-15

11.00

0 86

5bp

B1/B

+Pa

per a

nd P

acka

ging

Refin

ancin

g02

-Aug

Arch

Coa

l50

0.050

0.0Sr

Nts

7.250

01-O

ct-20

7.250

43

1bp

B1/B

B-Me

tals a

nd M

ining

Refin

ancin

g30

-Sep

Arda

gh P

acka

ging

Finan

ce35

0.035

0.0Sr

Sec

Nts

7.375

15-O

ct-17

7.375

54

7bp

Ba3/B

B-Pa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

30-S

epAr

dagh

Pac

kagin

g Fin

ance

450.0

450.0

Guar

Nts

9.125

15-O

ct-20

9.125

66

2bp

B3/B

B-Pa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

26-F

ebAr

vinMe

ritor I

nc25

0.024

5.1Gu

ar N

ts10

.625

15-M

ar-1

811

.000

772b

pCa

a2/C

CC-

Autom

otive

Refin

ancin

g01

-Nov

Asbu

ry Au

to Gr

oup

200.0

200.0

Sr S

ub N

ts8.3

7515

-Nov

-20

8.375

57

5bp

Caa1

/B-

Autom

otive

Refin

ancin

g28

-Apr

ASG

Cons

olida

ted12

5.012

5.0Sr

Nts

15.00

015

-May

-17

15.00

0 11

84bp

B3/B

Food

and

Bev

erag

esGe

nera

l Cor

pora

te30

-Apr

Aspe

ct So

ftwar

e30

0.030

0.0Sr

Sec

Nts

(2nd

)10

.625

15-M

ay-1

710

.625

747b

pCa

a1/B

-Te

chno

logy

Refin

ancin

g01

-Oct

Asso

ciated

Mate

rials

730.0

730.0

Sr S

ec N

ts9.1

2501

-Nov

-17

9.125

72

3bp

B3/B

Hous

ingAc

quisi

tion

Finan

ce19

-Apr

ATP

Oil &

Gas

1,500

.01,4

93.0

Sr S

ec N

ts (2

nd)

11.87

501

-May

-15

12.00

0 94

9bp

Caa2

/BEn

ergy

Refin

ancin

g31

-Mar

AutoN

ation

Inc

400.0

394.0

Guar

Nts

6.750

15-A

pr-1

87.0

00

355b

pBa

2/BB+

Autom

otive

Refin

ancin

g05

-Mar

Avis

Budg

et Ca

r Ren

tal45

0.044

3.9Gu

ar N

ts9.6

2515

-Mar

-18

9.875

65

5bp

B3/B

Autom

otive

Refin

ancin

g07

-Oct

Avis

Budg

et Ca

r Ren

tal40

0.040

0.0Gu

ar N

ts8.2

5015

-Jan-

198.2

50

587b

pB3

/BAu

tomoti

veAc

quisi

tion

Finan

ce15

-Nov

Avis

Budg

et Ca

r Ren

tal20

0.020

2.0Gu

ar N

ts8.2

5015

-Jan-

198.0

00

511b

pB3

/BAu

tomoti

veAc

quisi

tion

Finan

ce01

-Oct

Awas

Avia

tion

600.0

600.0

Sr S

ec N

ts7.0

0015

-Oct-

167.0

00

543b

pBa

2/BBB

-Tr

ansp

ortat

ionRe

finan

cing

11-M

arAx

tel S

A19

0.019

4.8Gu

ar N

ts9.0

0022

-Sep

-19

8.609

54

1bp

Ba3/B

B-Te

lecom

munic

ation

sRe

finan

cing

11-Ja

nB&

G Fo

ods

350.0

347.4

Sr N

ts7.6

2515

-Jan-

187.7

50

417b

pB2

/B+

Food

and

Bev

erag

esGe

nera

l Cor

pora

te17

-Mar

Ball C

orp

500.0

500.0

Sr N

ts6.7

5015

-Sep

-20

6.750

31

2bp

Ba1/B

B+Pa

per a

nd P

acka

ging

Refin

ancin

g15

-Nov

Ball C

orp

500.0

500.0

Sr N

ts5.7

5015

-May

-21

5.750

28

3bp

Ba1/B

B+Pa

per a

nd P

acka

ging

Refin

ancin

g29

-Jun

Bank

rate

300.0

297.2

Sr S

ec N

ts (1

st)11

.750

15-Ju

l-15

12.00

0 10

23bp

B2/B

Finan

cial

Acqu

isitio

n Fin

ance

13-S

epBE

Aer

ospa

ce65

0.064

4.2Sr

Nts

6.875

01-O

ct-20

7.000

45

4bp

Ba3/B

BInd

ustria

lsGe

nera

l Cor

pora

te04

-May

Beaz

er H

omes

USA

300.0

300.0

Sr N

ts9.1

2515

-Jun-

189.1

25

585b

pCa

a2/C

CCHo

using

Refin

ancin

g08

-Nov

Beaz

er H

omes

USA

250.0

246.4

Sr N

ts9.1

2515

-May

-19

9.375

68

2bp

Caa2

/CCC

Hous

ingRe

finan

cing

27-O

ctBe

rry P

etrole

um30

0.030

0.0Sr

Nts

6.750

01-N

ov-2

06.7

50

405b

pB2

/BB

Ener

gyRe

finan

cing

22-A

prBe

rry P

lastic

s50

0.050

0.0Sr

Sec

Nts

(2nd

)9.5

0015

-May

-18

9.500

60

7bp

Caa1

/CCC

Pape

r and

Pac

kagin

gAc

quisi

tion

Finan

ce

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A

A42010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s10

-Nov

Berry

Plas

tics

800.0

800.0

Sr S

ec N

ts (2

nd)

9.750

15-Ja

n-21

9.750

69

0bp

Caa1

/CCC

Pape

r and

Pac

kagin

gRe

finan

cing

16-S

epBe

vera

ges &

Mor

e12

5.012

5.0Sr

Sec

Nts

(1st)

9.625

01-O

ct-14

9.625

85

1bp

Caa1

/B-

Retai

lRe

finan

cing

16-S

epBE

VMO

Inter

media

te Ho

lding

s31

.331

.3Sr

Sec

PIK

Nts

14.00

001

-Apr

-15

14.00

0 12

54bp

NR/N

RRe

tail

Refin

ancin

g17

-Mar

Bio

Scrip

Inc

225.0

225.0

Sr N

ts10

.250

01-O

ct-15

10.25

0 78

9bp

B3/B

-He

althc

are

Acqu

isitio

n Fin

ance

06-D

ecBi

o-Ra

d La

bora

tories

425.0

422.6

Sr N

ts4.8

7515

-Dec

-20

4.946

20

0bp

Ba1/B

BHe

althc

are

Refin

ancin

g09

-Mar

Boise

Pap

er H

olding

300.0

294.9

Sr U

nsec

Nts

8.000

01-A

pr-2

08.2

50

455b

pB2

/BB-

Pape

r and

Pac

kagin

gRe

finan

cing

15-M

arBo

mbar

dier

850.0

850.0

Sr N

ts7.7

5015

-Mar

-20

7.750

40

4bp

Ba2/B

B+Ind

ustria

lsRe

finan

cing

15-M

arBo

mbar

dier

650.0

650.0

Sr N

ts7.5

0015

-Mar

-18

7.500

41

5bp

Ba2/B

B+Ind

ustria

lsRe

finan

cing

13-S

epBo

rgW

arne

r25

0.024

7.5Sr

Nts

4.625

15-S

ep-2

04.6

25

200b

pBa

1/BBB

Autom

otive

Gene

ral C

orpo

rate

28-O

ctBo

yd G

aming

500.0

500.0

Sr N

ts9.1

2501

-Dec

-18

9.125

69

0bp

Caa1

/B-

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g21

-Jan

Bras

il Foo

ds75

0.074

3.5Sr

Nts

7.250

28-Ja

n-20

7.375

37

7bp

Ba1/B

B+Fo

od a

nd B

ever

ages

Gene

ral C

orpo

rate

30-A

prBr

aske

m SA

400.0

400.0

Guar

Nts

7.000

07-M

ay-2

07.0

00

334b

pBa

1/BB+

Chem

icals

Refin

ancin

g01

-Oct

Breit

burn

Ene

rgy P

artne

rs30

5.030

0.0Sr

Nts

8.625

15-O

ct-20

9.000

63

7bp

B3/B

+En

ergy

Refin

ancin

g01

-Dec

Bres

nan

Broa

dban

d25

0.025

0.0Gu

ar N

ts8.0

0015

-Dec

-18

8.000

55

0bp

B3/B

+Ca

ble a

nd S

atellit

eAc

quisi

tion

Finan

ce07

-Oct

Brick

man

Grou

p25

0.025

0.0Sr

Nts

9.125

01-N

ov-1

89.1

25

712b

pB3

/CCC

+Se

rvice

sRe

finan

cing

16-S

epBr

igham

Exp

lorati

on30

0.030

0.0Sr

Nts

8.750

01-O

ct-18

8.750

64

4bp

Caa2

/B+

Ener

gyRe

finan

cing

23-N

ovBr

ightst

ar C

orp

250.0

250.0

Guar

Nts

9.500

01-D

ec-1

69.5

00

777b

pB1

/BB-

Servi

ces

Refin

ancin

g13

-Jan

Broc

ade

Comm

unica

tions

Sys

tem30

0.029

7.7Sr

Sec

Nts

(1st)

6.625

15-Ja

n-18

6.750

32

9bp

Ba2/B

BB-

Tech

nolog

yRe

finan

cing

13-Ja

nBr

ocad

e Co

mmun

icatio

ns S

ystem

300.0

297.3

Sr S

ec N

ts (1

st)6.8

7515

-Jan-

207.0

00

321b

pBa

2/BBB

-Te

chno

logy

Refin

ancin

g02

-Feb

Build

ing M

ateria

ls Co

rp o

f Ame

rica

250.0

250.0

Sr S

ec N

ts (1

st)7.0

0015

-Feb

-20

7.000

33

7bp

Ba3/B

BB-

Hous

ingRe

finan

cing

09-M

arBu

ilding

Mate

rials

Corp

of A

meric

a32

5.032

2.2Sr

Nts

7.500

15-M

ar-2

07.6

25

393b

pB3

/BB-

Hous

ingRe

finan

cing

09-A

ugBu

ilding

Mate

rials

Corp

of A

meric

a45

0.044

3.2Sr

Nts

6.875

15-A

ug-1

87.1

25

477b

pB1

/BB+

Hous

ingRe

finan

cing

06-D

ecBu

mble

Bee A

cquis

ition

605.0

605.0

Sr S

ec N

ts (1

st)9.0

0015

-Dec

-17

9.000

67

3bp

B2/B

+Fo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

30-S

epBu

mi In

vestm

ent

700.0

700.0

Guar

Nts

10.75

006

-Oct-

1710

.750

884b

pBa

3/BB

Metal

s and

Mini

ngUn

know

n01

-Oct

Burg

er K

ing (B

lue A

cquis

ition

Sub)

800.0

800.0

Sr N

ts9.8

7515

-Oct-

189.8

75

772b

pCa

a1/B

-Fo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

21-O

ctBW

AY15

0.014

5.5Sr

PIK

Nts

10.12

511

-Nov

-15

10.91

7 90

1bp

NR/C

CC+

Pape

r and

Pac

kagin

gOt

her

08-Ju

nBW

AYHo

lding

Co

205.0

202.2

Sr N

ts10

.000

15-Ju

n-18

10.25

0 74

3bp

B3/B

-Pa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

16-A

prC&

S Gr

oup

Enter

prise

s30

0.030

0.0Sr

Sec

Nts

(1st)

8.375

01-M

ay-1

78.3

75

517b

pB2

/BB-

Retai

lRe

finan

cing

12-A

prCa

blevis

ion S

ystem

s50

0.050

0.0Sr

Nts

8.000

15-A

pr-2

08.0

00

415b

pB1

/B+

Cable

and

Sate

llite

Refin

ancin

g12

-Apr

Cable

vision

Sys

tems

750.0

750.0

Sr N

ts7.7

5015

-Apr

-18

7.750

42

4bp

B1/B

+Ca

ble a

nd S

atellit

eRe

finan

cing

10-N

ovCa

lfrac H

olding

s45

0.045

0.0Sr

Nts

7.500

01-D

ec-2

07.5

00

479b

pB2

/B+

Ener

gyRe

finan

cing

17-M

ayCa

lpine

Cor

p40

0.040

0.0Sr

Sec

Nts

(1st)

8.000

15-A

ug-1

98.0

00

460b

pNR

/NR

Utilit

yRe

finan

cing

20-Ju

lCa

lpine

Cor

p1,1

00.0

1,090

.6Sr

Sec

Nts

(1st)

7.875

31-Ju

l-20

8.000

50

5bp

B1/B

+Ut

ility

Refin

ancin

g18

-Oct

Calpi

ne C

orp

2,000

.02,0

00.0

Sr S

ec N

ts (1

st)7.5

0015

-Feb

-21

7.500

49

5bp

B1/B

+Ut

ility

Refin

ancin

g21

-Jun

Cape

lla H

ealth

care

500.0

493.7

Guar

Nts

9.250

01-Ju

l-17

9.500

68

0bp

B3/B

Healt

hcar

eRe

finan

cing

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A

A52010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s12

-Aug

Card

tronic

s Inc

200.0

200.0

Sr S

ub N

ts8.2

5001

-Sep

-18

8.250

59

9bp

B2/B

B-Se

rvice

sRe

finan

cing

28-O

ctCa

rrizo

Oil &

Gas

400.0

397.2

Sr N

ts8.6

2515

-Oct-

188.7

50

650b

pB3

/B-

Ener

gyRe

finan

cing

22-Ju

nCa

se N

ew H

ollan

d1,5

00.0

1,489

.8Sr

Nts

7.875

01-D

ec-1

78.0

00

536b

pBa

3/BB+

Indus

trials

Refin

ancin

g19

-May

Catal

yst P

aper

110.0

94.6

Sr S

ec N

ts (1

st)11

.000

15-D

ec-1

614

.386

853b

pB3

/CCC

+Pa

per a

nd P

acka

ging

Gene

ral C

orpo

rate

05-O

ctCB

Rich

ard

Ellis

350.0

350.0

Sr N

ts6.6

2515

-Oct-

206.6

25

416b

pBa

1/B+

Finan

cial

Refin

ancin

g14

-Apr

CCO

Holdi

ngs I

nc90

0.090

0.0Sr

Nts

7.875

30-A

pr-1

87.8

75

437b

pB2

/BCa

ble a

nd S

atellit

eRe

finan

cing

14-A

prCC

O Ho

lding

s Inc

700.0

700.0

Sr N

ts8.1

2530

-Apr

-20

8.125

43

0bp

B2/B

Cable

and

Sate

llite

Refin

ancin

g20

-Sep

CCO

Holdi

ngs I

nc1,0

00.0

1,000

.0Sr

Nts

7.250

30-O

ct-17

7.250

51

5bp

B2/N

RCa

ble a

nd S

atellit

eRe

finan

cing

03-D

ecCD

W L

LC45

0.045

0.0Sr

Sec

Nts

(1st)

8.000

15-D

ec-1

88.0

00

569b

pB2

/B-

Servi

ces

Refin

ancin

g15

-Jul

Ceda

r Fair

405.0

399.4

Sr N

ts9.1

2501

-Aug

-18

9.375

67

7bp

B2/B

-Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

15-S

epCe

lanes

e US

Hold

ings

600.0

600.0

Guar

Nts

6.625

15-O

ct-18

6.625

43

3bp

Ba3/B

B-Ch

emica

lsGe

nera

l Cor

pora

te13

-Jan

CEME

X50

0.052

6.3Sr

Sec

Nts

9.500

14-D

ec-1

68.4

77

606b

pNR

/BHo

using

Refin

ancin

g13

-Oct

Centr

al Ch

ina R

eal E

state

300.0

300.0

Sr S

ec N

ts12

.250

20-O

ct-15

12.25

0 11

13bp

B1/B

+Ho

using

Gene

ral C

orpo

rate

25-F

ebCe

ntral

Gard

en &

Pet

Comp

any

400.0

400.0

Sr S

ub N

ts8.2

5001

-Mar

-18

8.250

49

4bp

B3/B

-Co

nsum

er P

rodu

ctsRe

finan

cing

29-Ja

nCe

nveo

400.0

397.2

Sr S

ec N

ts (2

nd)

8.875

01-F

eb-1

89.0

00

569b

pB2

/BDi

versi

fied

Media

Refin

ancin

g29

-Apr

Cequ

el Co

mmun

icatio

ns60

0.061

2.0Sr

Uns

ec N

ts8.6

2515

-Nov

-17

8.167

54

7bp

B3/B

-Ca

ble a

nd S

atellit

eRe

finan

cing

10-M

arCe

va G

roup

Plc

625.0

617.0

Sr S

ec N

ts11

.500

01-A

pr-1

811

.750

839b

pCa

a1/C

CCSe

rvice

sRe

finan

cing

09-D

ecCe

va G

roup

Plc

450.0

450.0

Sr S

ec N

ts (1

st)8.3

7501

-Dec

-17

8.375

55

7bp

B1/B

Servi

ces

Refin

ancin

g20

-Apr

CF In

dustr

ies80

0.080

0.0Sr

Uns

ec N

ts7.1

2501

-May

-20

7.125

33

3bp

B1/B

B+Ch

emica

lsAc

quisi

tion

Finan

ce20

-Apr

CF In

dustr

ies80

0.080

0.0Sr

Uns

ec N

ts6.8

7501

-May

-18

6.875

34

6bp

B1/B

B+Ch

emica

lsAc

quisi

tion

Finan

ce13

-Sep

Chap

arra

l Ene

rgy

300.0

293.0

Sr N

ts9.8

7501

-Oct-

2010

.250

750b

pCa

a1/B

+En

ergy

Refin

ancin

g22

-Sep

CHC

Helic

opter

1,100

.01,0

82.4

Sr S

ec N

ts (1

st)9.2

5015

-Oct-

209.5

00

690b

pB1

/B+

Ener

gyRe

finan

cing

09-N

ovCh

ecko

ut Ho

lding

438.6

260.0

Sr D

isc N

ts0/1

0.125

15-N

ov-1

510

.750

957b

pB3

/B-

Dive

rsifie

d Me

diaOt

her

13-A

ugCh

emtur

a Co

rp45

5.045

1.7Gu

ar N

ts7.8

7501

-Sep

-18

8.000

57

7bp

B1/N

RCh

emica

lsOt

her

09-A

ugCh

esap

eake

Ene

rgy

600.0

600.0

Sr N

ts6.8

7515

-Aug

-18

6.875

45

1bp

Ba3/N

REn

ergy

Refin

ancin

g09

-Aug

Ches

apea

ke E

nerg

y1,4

00.0

1,400

.0Sr

Nts

6.625

15-A

ug-2

06.6

25

380b

pBa

3/NR

Ener

gyRe

finan

cing

11-A

ugCh

ina O

rienta

l Gro

up55

0.055

0.0Sr

Sec

Nts

8.000

18-A

ug-1

58.0

00

657b

pBa

1/NR

Metal

s and

Mini

ngGe

nera

l Cor

pora

te10

-Nov

China

Orie

ntal G

roup

300.0

300.0

Sr S

ec N

ts7.0

0017

-Nov

-17

7.000

51

8bp

Ba1/N

RMe

tals a

nd M

ining

Refin

ancin

g10

-Mar

Cinc

innati

Bell

625.0

616.2

Sr S

ub N

ts8.7

5015

-Mar

-18

9.000

56

5bp

B2/B

-Te

lecom

munic

ation

sRe

finan

cing

07-O

ctCi

ncinn

ati B

ell50

0.050

0.0Sr

Nts

8.375

15-O

ct-20

8.375

59

9bp

B2/B

+Te

lecom

munic

ation

sRe

finan

cing

08-N

ovCi

ncinn

ati B

ell27

5.027

7.8Sr

Nts

8.375

15-O

ct-20

8.199

56

5bp

B2/B

+Te

lecom

munic

ation

sRe

finan

cing

06-D

ecCi

tadel

Broa

dcas

ting

400.0

400.0

Guar

Nts

7.750

15-D

ec-1

87.7

50

528b

pBa

3/BB-

Broa

dcas

ting

Refin

ancin

g18

-Jun

CITG

O Pe

troleu

m30

0.029

6.5Sr

Sec

Nts

(1st)

11.50

001

-Jul-1

711

.750

906b

pBa

2/BB+

Ener

gyRe

finan

cing

06-Ju

lCK

E Re

staur

ants

600.0

588.5

Sr S

ec N

ts (2

nd)

11.37

515

-Jul-1

811

.750

913b

pB2

/BFo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

13-O

ctCl

earw

ater P

aper

375.0

375.0

Sr N

ts7.1

2501

-Nov

-18

7.125

51

8bp

Ba3/B

BPa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

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834-9

151

No

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Am

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can

Hig

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ield

Researc

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2010 H

igh

-Yie

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nn

ual

Revie

w

Decem

ber

2010

A6

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

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($ m

n)($

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Secu

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Coup

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Matu

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Yield

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Ratin

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Use o

f pro

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Clea

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Com

munic

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s50

0.050

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Sec

Nts

(2nd

)12

.000

01-D

ec-1

712

.000

964b

pCa

a2/C

CCTe

lecom

munic

ation

sGe

nera

l Cor

pora

te02

-Dec

Clea

rwire

Com

munic

ation

s17

5.018

4.1Sr

Sec

Nts

(1st)

12.00

001

-Dec

-15

10.37

5 10

07bp

Caa1

/CCC

Telec

ommu

nicati

ons

Gene

ral C

orpo

rate

21-A

prCl

eave

r-Bro

oks

185.0

185.0

Sr S

ec N

ts (1

st)12

.250

01-M

ay-1

612

.250

974b

pB2

/BInd

ustria

lsRe

finan

cing

22-N

ovCl

ubco

rp C

lub O

pera

tions

415.0

393.3

Sr N

ts10

.000

01-D

ec-1

811

.000

820b

pB3

/B+

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g11

-Jan

CMS

Ener

gy30

0.029

8.3Sr

Nts

6.250

01-F

eb-2

06.3

26

250b

pBa

1/BB+

Utilit

yGe

nera

l Cor

pora

te20

-Sep

CMS

Ener

gy25

0.024

9.7Sr

Nts

4.250

30-S

ep-1

54.2

74

285b

pBa

1/BB+

Utilit

yRe

finan

cing

16-N

ovCM

S En

ergy

250.0

249.5

Sr N

ts5.0

5015

-Feb

-18

5.080

29

5bp

Ba1/B

B+Ut

ility

Refin

ancin

g04

-Feb

CNG

Holdi

ngs I

nc20

0.019

0.0Sr

Sec

Nts

12.25

015

-Feb

-15

13.65

7 11

35bp

B3/B

Finan

cial

Refin

ancin

g21

-Oct

CNG

Holdi

ngs I

nc60

.056

.4Sr

Sub

Nts

13.75

015

-Aug

-15

15.00

0 12

62bp

NR/N

RFin

ancia

lUn

know

n25

-Mar

Coffe

yVille

Res

ource

s22

5.022

2.3Sr

Sec

Nts

(2nd

)10

.875

01-A

pr-1

711

.125

784b

pB3

/BB-

Ener

gyRe

finan

cing

25-M

arCo

ffeyV

ille R

esou

rces

275.0

273.7

Sr S

ec N

ts (1

st)9.0

0001

-Apr

-15

9.125

65

1bp

Ba3/B

B-En

ergy

Refin

ancin

g26

-Jan

Colem

an C

able

235.0

231.7

Sr N

ts9.0

0015

-Feb

-18

9.250

59

2bp

B3/B

Indus

trials

Refin

ancin

g18

-Mar

Colem

an C

able

40.0

39.7

Sr N

ts9.0

0015

-Feb

-18

9.131

58

5bp

B3/B

Indus

trials

Refin

ancin

g29

-Apr

Colum

bus I

ntern

ation

al19

0.019

0.0Sr

Sec

Nts

(1st)

11.50

020

-Nov

-14

11.50

0 94

9bp

B2/B

Cable

and

Sate

llite

Gene

ral C

orpo

rate

09-D

ecCo

ncho

Res

ource

s60

0.060

0.0Sr

Nts

7.000

15-Ja

n-21

7.000

37

8bp

B3/B

BEn

ergy

Refin

ancin

g03

-Mar

Cone

xant

Syste

ms17

5.017

3.4Sr

Sec

Nts

(1st)

11.25

015

-Mar

-15

11.50

0 92

4bp

NR/N

RTe

chno

logy

Refin

ancin

g25

-Mar

Cons

ol En

ergy

1,500

.01,5

00.0

Sr N

ts8.0

0001

-Apr

-17

8.000

46

8bp

B1/B

BMe

tals a

nd M

ining

Acqu

isitio

n Fin

ance

25-M

arCo

nsol

Ener

gy1,2

50.0

1,250

.0Sr

Nts

8.250

01-A

pr-2

08.2

50

439b

pB1

/BB

Metal

s and

Mini

ngAc

quisi

tion

Finan

ce04

-Aug

Conti

nenta

l Airli

nes

800.0

791.5

Sr S

ec N

ts (1

st)6.7

5015

-Sep

-15

7.000

53

9bp

Ba2/B

B-Tr

ansp

ortat

ionRe

finan

cing

17-N

ovCo

ntine

ntal A

irline

s64

.564

.5P-

TCe

rts6.0

0012

-Jan-

196.0

00

453b

pBa

2/BBB

-Tr

ansp

ortat

ionUn

know

n30

-Mar

Conti

nenta

l Res

ource

s20

0.019

8.2Sr

Nts

7.375

01-O

ct-20

7.500

36

2bp

B1/B

BEn

ergy

Refin

ancin

g13

-Sep

Conti

nenta

l Res

ource

s40

0.040

0.0Sr

Nts

7.125

01-A

pr-2

17.1

25

433b

pB1

/BB

Ener

gyRe

finan

cing

29-A

prCo

oper

Stan

dard

450.0

450.0

Sr N

ts8.5

0001

-May

-18

8.500

50

8bp

B2/N

RAu

tomoti

veRe

finan

cing

25-Ju

nCo

rpor

acion

Geo

250.0

246.0

Sr N

ts9.2

5030

-Jun-

209.5

00

642b

pBa

3/BB-

Hous

ingRe

finan

cing

02-F

ebCo

rpor

acion

Pes

cera

Inco

S.A

.C17

5.017

3.9Sr

Nts

9.000

10-F

eb-1

79.1

25

634b

pB2

/BB-

Food

and

Bev

erag

esRe

finan

cing

19-Ja

nCo

rpor

ativo

Jave

r SA

CV30

.030

.0Sr

Nts

13.00

004

-Aug

-14

13.00

0 10

39bp

Ba3/B

B-Ho

using

Refin

ancin

g12

-Aug

Cott

Beve

rage

s37

5.037

5.0Sr

Nts

8.125

01-S

ep-1

88.1

25

592b

pB3

/BFo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

15-A

prCo

untry

Gar

den

550.0

546.7

Sr N

ts11

.250

22-A

pr-1

711

.375

811b

pBa

3/BB-

Hous

ingRe

finan

cing

04-A

ugCo

untry

Gar

den

400.0

396.2

Sr N

ts10

.500

11-A

ug-1

510

.750

915b

pBa

3/BB-

Hous

ingRe

finan

cing

16-N

ovCo

vanta

Ene

rgy

400.0

400.0

Sr N

ts7.2

5001

-Dec

-20

7.250

43

6bp

Ba3/B

Servi

ces

Refin

ancin

g25

-Jan

Cred

it Acc

eptan

ce C

orp

250.0

243.8

Sr S

ec N

ts (1

st)9.1

2501

-Feb

-17

9.625

65

6bp

B1/B

B-Fin

ancia

lRe

finan

cing

08-A

prCr

edito

Rea

l SA

150.0

150.0

Sr N

ts10

.250

14-A

pr-1

510

.250

762b

pNR

/BB-

Finan

cial

Refin

ancin

g24

-Sep

Cred

ito R

eal S

A60

.060

.0Sr

Nts

10.25

014

-Apr

-15

10.25

0 89

1bp

NR/B

B-Fin

ancia

lRe

finan

cing

05-N

ovCr

icket

Comm

unica

tions

1,200

.01,1

79.9

Sr N

ts7.7

5015

-Oct-

208.0

00

547b

pB3

/B-

Telec

ommu

nicati

ons

Refin

ancin

g03

-Feb

Cros

stex E

nerg

y LP

725.0

709.8

Sr N

ts8.8

7515

-Feb

-18

9.250

58

8bp

B3/B

+En

ergy

Refin

ancin

g

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

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(1-2

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834-9

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No

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Am

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can

Hig

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ield

Researc

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2010 H

igh

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nn

ual

Revie

w

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ber

2010

A7

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

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read

Ratin

gsSe

ctor

Use o

f pro

ceed

s19

-Mar

Da-L

ite S

creen

Com

pany

105.0

102.2

Sr N

ts12

.500

01-A

pr-1

513

.250

1083

bpB1

/BCo

nsum

er P

rodu

ctsRe

finan

cing

03-D

ecDa

rling

Inter

natio

nal

250.0

250.0

Guar

Nts

8.500

15-D

ec-1

88.5

00

620b

pB2

/BFo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

19-M

ayDa

ve &

Bus

ters

200.0

200.0

Sr N

ts11

.000

01-Ju

n-18

11.00

0 79

8bp

B3/B

-Fo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

05-O

ctDa

vita

Inc77

5.077

5.0Sr

Nts

6.625

01-N

ov-2

06.6

25

416b

pB2

/BHe

althc

are

Refin

ancin

g05

-Oct

Davit

a Inc

775.0

775.0

Sr N

ts6.3

7501

-Nov

-18

6.375

43

6bp

B2/B

Healt

hcar

eRe

finan

cing

05-A

ugDC

PCo

rp50

0.049

5.3Sr

Sec

Nts

(1st)

10.75

015

-Aug

-15

11.00

0 93

9bp

B2/B

+Br

oadc

astin

gRe

finan

cing

09-D

ecDe

an F

oods

400.0

400.0

Sr N

ts9.7

5015

-Dec

-18

9.750

69

5bp

B2/B

-Fo

od a

nd B

ever

ages

Refin

ancin

g03

-Feb

Denb

ury R

esou

rces

1,000

.01,0

00.0

Sr S

ub N

ts8.2

5015

-Feb

-20

8.250

45

7bp

B1/B

BEn

ergy

Acqu

isitio

n Fin

ance

16-M

arDe

velop

ers D

iversi

fied

Realt

y30

0.030

0.0Sr

Uns

ec N

ts7.5

0001

-Apr

-17

7.500

43

7bp

Baa3

/BB

Finan

cial

Refin

ancin

g09

-Aug

Deve

loper

s Dive

rsifie

d Re

alty

300.0

297.4

Sr N

ts7.8

7501

-Sep

-20

8.000

53

0bp

Baa3

/BB

Finan

cial

Refin

ancin

g10

-Aug

Diam

ond

Reso

rts42

5.041

4.4Sr

Sec

Nts

12.00

015

-Aug

-18

12.50

0 10

19bp

B3/B

-Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

16-M

arDi

gicel

Limite

d77

5.077

5.0Sr

Nts

10.50

015

-Apr

-18

10.50

0 71

5bp

Caa1

/CCC

+Te

lecom

munic

ation

sAc

quisi

tion

Finan

ce02

-Dec

Digic

el Lim

ited

300.0

308.3

Sr N

ts8.2

5001

-Sep

-17

7.544

53

4bp

B1/N

RTe

lecom

munic

ation

sGe

nera

l Cor

pora

te06

-Oct

Dine

Equit

y Inc

825.0

825.0

Sr N

ts9.5

0030

-Oct-

189.5

00

751b

pB3

/CCC

+Fo

od a

nd B

ever

ages

Refin

ancin

g12

-Apr

Disc

over

Ban

k50

0.049

6.5Sr

Sub

Nts

7.000

15-A

pr-2

07.0

98

325b

pBa

1/BBB

-Fin

ancia

lGe

nera

l Cor

pora

te14

-Jan

DJO

Finan

ce10

0.010

5.0Sr

Nts

10.87

515

-Nov

-14

9.218

68

3bp

B3/B

-He

althc

are

Refin

ancin

g05

-Oct

DJO

Finan

ce30

0.030

0.0Sr

Sub

Nts

9.750

15-O

ct-17

9.750

79

4bp

Caa1

/CCC

+He

althc

are

Refin

ancin

g27

-May

Drive

time A

uto &

Acc

ept

200.0

197.7

Sr S

ec N

ts12

.625

15-Ju

n-17

12.87

5 98

3bp

B3/B

Autom

otive

Refin

ancin

g15

-Nov

Dunk

in Fin

ance

625.0

615.6

Sr N

ts9.6

2501

-Dec

-18

9.900

75

4bp

Caa2

/CCC

+Fo

od a

nd B

ever

ages

Refin

ancin

g08

-Sep

Duqu

ense

Ligh

t45

0.044

6.7Sr

Nts

6.400

15-S

ep-2

06.5

00

384b

pBa

1/BBB

-Ut

ility

Refin

ancin

g29

-Jun

DynC

orp

Inter

natio

nal

455.0

455.0

Sr N

ts10

.375

01-Ju

l-17

10.37

5 79

4bp

B1/B

Indus

trials

Acqu

isitio

n Fin

ance

24-F

ebEa

stman

Kod

ak C

o50

0.048

9.8Sr

Sec

Nts

(2nd

)9.7

5001

-Mar

-18

10.12

5 67

7bp

Ba3/B

-Co

nsum

er P

rodu

ctsRe

finan

cing

25-M

arEl

Pas

o Pi

pelin

e Pa

rtner

s42

5.042

5.0Gu

ar N

ts6.5

0001

-Apr

-20

6.500

26

2bp

Ba1/B

BEn

ergy

Acqu

isitio

n Fin

ance

21-Ju

nEl

Pas

o Pi

pelin

e Pa

rtner

s11

0.011

0.0Sr

Nts

6.500

01-A

pr-2

03.2

52

325b

pBa

1/BB

Ener

gyAc

quisi

tion

Finan

ce16

-Nov

El P

aso

Pipe

line

Partn

ers O

pera

ting

375.0

374.7

Sr N

ts4.1

0015

-Nov

-15

4.118

26

3bp

Ba1/B

BEn

ergy

Acqu

isitio

n Fin

ance

16-N

ovEl

Pas

o Pi

pelin

e Pa

rtner

s Ope

ratin

g37

5.037

2.5Sr

Nts

7.500

15-N

ov-4

07.5

56

324b

pBa

1/BB

Ener

gyAc

quisi

tion

Finan

ce11

-Aug

Elan

Fin

Plc

200.0

192.0

Guar

Nts

8.750

15-O

ct-16

9.620

78

7bp

B2/B

Healt

hcar

eRe

finan

cing

18-N

ovEn

do P

harm

aceu

ticals

Hold

ing40

0.039

6.4Sr

Nts

7.000

15-D

ec-2

07.1

25

422b

pBa

2/BB+

Healt

hcar

eAc

quisi

tion

Finan

ce07

-Jan

Ener

gy F

uture

Hold

ings

500.0

500.0

Sr S

ec N

ts (1

st)10

.000

15-Ja

n-20

10.00

0 61

8bp

Caa3

/B+

Utilit

yGe

nera

l Cor

pora

te15

-Sep

Ener

gy T

rans

fer1,8

00.0

1,800

.0Sr

Nts

7.500

15-O

ct-20

7.500

48

8bp

Ba2/B

B-En

ergy

Refin

ancin

g03

-Dec

Ener

gy X

XI G

ulf75

0.075

0.0Gu

ar N

ts9.2

5015

-Dec

-17

9.250

69

1bp

NR/N

REn

ergy

Acqu

isitio

n Fin

ance

05-A

ugEn

ergy

Solut

ions

300.0

296.1

Guar

Nts

10.75

015

-Aug

-18

11.00

0 85

4bp

B3/B

B-Se

rvice

sRe

finan

cing

25-Ju

nEn

tertai

nmen

t Pro

pertie

s Tru

st25

0.024

5.7Sr

Nts

7.750

15-Ju

l-20

8.000

49

1bp

Baa3

/BB+

Finan

cial

Refin

ancin

g22

-Jul

Entra

vision

Com

munic

ation

400.0

394.9

Sr S

ec N

ts (1

st)8.7

5001

-Aug

-17

9.000

66

4bp

B1/B

Broa

dcas

ting

Refin

ancin

g26

-Feb

Equin

ix Inc

750.0

750.0

Sr N

ts8.1

2501

-Mar

-18

8.125

48

8bp

Ba2/B

+Te

chno

logy

Gene

ral C

orpo

rate

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A8

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s22

-Jan

Equin

ox H

olding

s42

5.042

0.2Sr

Sec

Nts

(2nd

)9.5

0001

-Feb

-16

9.750

70

1bp

B1/B

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g19

-Jul

Ester

line T

echn

ologie

s25

0.025

0.0Sr

Nts

7.000

01-A

ug-2

07.0

00

404b

pBa

3/BB

Indus

trials

Refin

ancin

g21

-Jan

Ever

gran

de R

eal E

state

750.0

750.0

Sr S

ec N

ts (1

st)13

.000

27-Ja

n-15

13.00

0 10

96bp

B1/B

B-Ho

using

Gene

ral C

orpo

rate

19-A

prEv

ergr

ande

Rea

l Esta

te60

0.060

0.0Gu

ar N

ts13

.000

27-Ja

n-15

13.00

0 10

53bp

B1/B

B-Ho

using

Unkn

own

23-S

epEv

ertec

Inc

220.0

220.0

Sr N

ts11

.000

01-O

ct-18

11.00

0 88

7bp

Caa1

/B-

Tech

nolog

yAc

quisi

tion

Finan

ce10

-Sep

Exco

Res

ource

s75

0.073

9.0Sr

Nts

7.500

15-S

ep-1

87.7

50

535b

pB3

/BEn

ergy

Refin

ancin

g22

-Sep

Exop

ac H

olding

100.0

101.7

Sr N

ts11

.250

01-F

eb-1

410

.639

983b

pNR

/NR

Pape

r and

Pac

kagin

gRe

finan

cing

02-A

ugEx

pedia

Inc

750.0

749.2

Guar

Nts

5.950

15-A

ug-2

05.9

64

300b

pBa

1/BBB

-Se

rvice

sGe

nera

l Cor

pora

te02

-Mar

Expr

ess L

LC25

0.024

6.5Sr

Nts

8.750

01-M

ar-1

89.0

00

574b

pB3

/BRe

tail

Refin

ancin

g18

-Nov

Exter

ran

Holdi

ng35

0.035

0.0Gu

ar N

ts7.2

5001

-Dec

-18

7.250

48

2bp

Ba3/B

BEn

ergy

Refin

ancin

g26

-Jan

Fage

Dair

y Ind

ustry

150.0

139.9

Sr N

ts9.8

7501

-Feb

-20

11.00

0 73

9bp

B3/B

-Fo

od a

nd B

ever

ages

Refin

ancin

g05

-May

Fanta

sia H

olding

Gro

up12

0.011

7.9Sr

Nts

14.00

012

-May

-15

14.50

0 11

71bp

B2/B

+Ho

using

Gene

ral C

orpo

rate

31-M

arFe

rrellg

as P

artne

rs28

0.028

0.0Sr

Uns

ec N

ts8.6

2515

-Jun-

208.6

25

479b

pB2

/B-

Ener

gyRe

finan

cing

09-N

ovFe

rrellg

as P

artne

rs50

0.050

0.0Sr

Nts

6.500

01-M

ay-2

16.5

00

385b

pBa

3/B+

Ener

gyRe

finan

cing

05-A

ugFe

rro C

orp

250.0

250.0

Sr N

ts7.8

7515

-Aug

-18

7.875

54

1bp

B2/B

Chem

icals

Refin

ancin

g29

-Apr

Fibria

Ove

rseas

750.0

743.5

Sr N

ts7.5

0004

-May

-20

7.625

38

9bp

B1/B

Pape

r and

Pac

kagin

gRe

finan

cing

08-Ju

lFid

elity

Natio

nal In

forma

tion

Servi

ces

600.0

600.0

Sr N

ts7.6

2515

-Jul-1

77.6

25

514b

pBa

2/BB-

Finan

cial

Refin

ancin

g08

-Jul

Fideli

ty Na

tiona

l Infor

matio

n Se

rvice

s50

0.050

0.0Sr

Nts

7.875

15-Ju

l-20

7.875

48

5bp

Ba2/B

B-Fin

ancia

lRe

finan

cing

11-A

ugFir

st Da

ta Co

rp51

0.050

1.8Sr

Sec

Nts

(1st)

8.875

15-A

ug-2

09.0

00

644b

pB1

/B+

Tech

nolog

yRe

finan

cing

26-O

ctFM

G Re

sour

ces

2,040

.02,0

40.0

Sr N

ts7.0

0001

-Nov

-15

7.000

57

5bp

B1/B

Metal

s and

Mini

ngRe

finan

cing

10-D

ecFM

G Re

sour

ces

900.0

900.0

Sr N

ts6.8

7501

-Feb

-18

6.875

42

0bp

B1/B

Metal

s and

Mini

ngGe

nera

l Cor

pora

te10

-Dec

FMG

Reso

urce

s60

0.060

0.0Sr

Nts

6.375

01-F

eb-1

66.3

75

443b

pB1

/BMe

tals a

nd M

ining

Gene

ral C

orpo

rate

14-Ja

nFo

rd M

otor C

redit

500.0

500.0

Sr N

ts8.1

2515

-Jan-

208.1

21

440b

pB3

/B-

Autom

otive

Gene

ral C

orpo

rate

06-A

prFo

rd M

otor C

redit

1,750

.01,7

40.9

Sr N

ts7.0

0015

-Apr

-15

7.125

44

2bp

B1/B

+Au

tomoti

veGe

nera

l Cor

pora

te28

-Jul

Ford

Moto

r Cre

dit1,2

50.0

1,231

.1Sr

Nts

6.625

15-A

ug-1

76.9

00

423b

pBa

3/B-

Autom

otive

Gene

ral C

orpo

rate

14-S

epFo

rd M

otor C

redit

1,000

.099

4.7Sr

Nts

5.625

15-S

ep-1

55.7

50

433b

pBa

3/B+

Autom

otive

Gene

ral C

orpo

rate

06-A

ugFo

resig

ht En

ergy

400.0

397.5

Sr N

ts9.6

2515

-Aug

-17

9.750

75

6bp

Caa1

/BUt

ility

Refin

ancin

g04

-Nov

Frac

Tech

Ser

vices

550.0

550.0

Sr N

ts7.1

2515

-Nov

-18

7.125

51

5bp

B2/B

+En

ergy

Refin

ancin

g30

-Mar

Free

dom

Grou

p22

5.022

0.5Sr

Nts

(PIK

/Cas

h)11

.250

01-O

ct-15

11.75

0 19

0bp

B3/B

-Co

nsum

er P

rodu

ctsOt

her

09-F

ebFr

eesc

ale S

emico

nduc

tor75

0.075

0.0Sr

Sec

Nts

(1st)

10.12

515

-Mar

-18

10.12

5 67

9bp

B2/N

RTe

chno

logy

Refin

ancin

g07

-Apr

Free

scale

Sem

icond

uctor

1,380

.01,3

80.0

Sr S

ec N

ts (1

st)9.2

5015

-Apr

-18

9.250

56

9bp

B2/B

-Te

chno

logy

Refin

ancin

g22

-Sep

Free

scale

Sem

icond

uctor

750.0

750.0

Sr N

ts10

.750

01-A

ug-2

010

.750

819b

pCa

a2/C

CCTe

chno

logy

Refin

ancin

g26

-Mar

Fron

tier C

ommu

nicati

ons

500.0

500.0

Sr N

ts7.8

7515

-Apr

-15

7.875

51

6bp

Ba2/B

BTe

lecom

munic

ation

sAc

quisi

tion

Finan

ce26

-Mar

Fron

tier C

ommu

nicati

ons

1,100

.01,1

00.0

Sr N

ts8.2

5015

-Apr

-17

8.250

49

2bp

Ba2/B

BTe

lecom

munic

ation

sAc

quisi

tion

Finan

ce26

-Mar

Fron

tier C

ommu

nicati

ons

1,100

.01,1

00.0

Sr N

ts8.5

0015

-Apr

-20

8.500

46

4bp

Ba2/B

BTe

lecom

munic

ation

sAc

quisi

tion

Finan

ce

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A9

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s26

-Mar

Fron

tier C

ommu

nicati

ons

500.0

500.0

Sr N

ts8.7

5015

-Apr

-22

8.750

45

9bp

Ba2/B

BTe

lecom

munic

ation

sAc

quisi

tion

Finan

ce09

-Nov

Fron

tier O

il15

0.015

0.0Gu

ar N

ts6.8

7515

-Nov

-18

6.875

47

5bp

Ba3/B

BEn

ergy

Refin

ancin

g16

-Sep

FTI C

onsu

lting

400.0

400.0

Sr N

ts6.7

5001

-Oct-

206.7

50

400b

pBa

2/BB

Servi

ces

Refin

ancin

g22

-Sep

Gann

ett C

o25

0.024

7.4Sr

Nts

6.375

01-S

ep-1

56.6

25

530b

pBa

a3/B

BDi

versi

fied

Media

Refin

ancin

g22

-Sep

Gann

ett C

o25

0.024

6.3Sr

Nts

7.125

01-S

ep-1

87.3

75

516b

pBa

a3/B

BDi

versi

fied

Media

Refin

ancin

g08

-Mar

Gard

a W

orld

Secu

rity25

0.024

5.4Sr

Uns

ec N

ts9.7

5015

-Mar

-17

10.12

5 70

0bp

B3/B

Servi

ces

Gene

ral C

orpo

rate

12-N

ovGe

nesis

Ene

rgy L

P25

0.025

0.0Sr

Nts

7.875

15-D

ec-1

87.8

75

565b

pB3

/B+

Ener

gyAc

quisi

tion

Finan

ce20

-Sep

GenO

n En

ergy

675.0

665.7

Sr N

ts9.5

0015

-Oct-

189.7

50

736b

pB3

/BUt

ility

Acqu

isitio

n Fin

ance

20-S

epGe

nOn

Ener

gy55

0.053

7.2Sr

Nts

9.875

15-O

ct-20

10.25

0 75

2bp

B3/B

Utilit

yAc

quisi

tion

Finan

ce12

-Aug

Genti

va H

ealth

325.0

325.0

Sr N

ts11

.500

01-S

ep-1

811

.500

928b

pB2

/B-

Healt

hcar

eAc

quisi

tion

Finan

ce01

-Oct

Geoe

ye In

c12

5.012

5.0Sr

Sec

Nts

(2nd

)8.6

2501

-Oct-

168.6

25

702b

pB3

/B-

Cable

and

Sate

llite

Gene

ral C

orpo

rate

27-O

ctGe

orgia

Pac

ific1,2

50.0

1,242

.7Sr

Nts

5.400

01-N

ov-2

05.4

77

275b

pBa

2/BBB

Pape

r and

Pac

kagin

gGe

nera

l Cor

pora

te13

-Jan

Gibs

on E

nerg

y20

0.019

4.7Sr

Nts

10.00

015

-Jan-

1810

.500

724b

pB3

/B-

Ener

gyGe

nera

l Cor

pora

te18

-Nov

Gira

ffe A

cquis

ition

Corp

400.0

400.0

Sr N

ts9.1

2501

-Dec

-18

9.125

67

0bp

Caa1

/B-

Retai

lAc

quisi

tion

Finan

ce29

-Jan

Glatf

elter

100.0

95.0

Sr N

ts7.1

2501

-May

-16

8.160

52

8bp

Ba2/B

B+Pa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

10-N

ovGl

obal

Cros

sing

150.0

150.0

Sr N

ts9.0

0015

-Nov

-19

9.000

65

4bp

Caa2

/CCC

+Te

lecom

munic

ation

sRe

finan

cing

22-A

prGl

obal

Geop

hysic

al20

0.019

4.0Gu

ar N

ts10

.500

01-M

ay-1

711

.125

796b

pB3

/BEn

ergy

Refin

ancin

g19

-Oct

Glor

ious P

rope

rty30

0.030

0.0Sr

Nts

13.00

025

-Oct-

1513

.000

1119

0bp

B2/B

Hous

ingGe

nera

l Cor

pora

te09

-Feb

GMAC

2,000

.01,9

84.0

Sr N

ts8.3

0012

-Feb

-15

8.500

62

0bp

B3/B

Finan

cial

Gene

ral C

orpo

rate

10-M

arGM

AC1,5

00.0

1,474

.8Gu

ar N

ts8.0

0015

-Mar

-20

8.250

45

3bp

B3/B

Finan

cial

Gene

ral C

orpo

rate

23-M

arGM

AC40

0.039

3.3Sr

Nts

8.000

15-M

ar-2

08.1

25

446b

pB3

/BFin

ancia

lGe

nera

l Cor

pora

te13

-Jul

Gol F

inanc

e30

0.029

5.2Sr

Nts

9.250

20-Ju

l-20

9.500

63

9bp

NR/B

+Tr

ansp

ortat

ionRe

finan

cing

10-A

ugGo

odYe

ar T

ire &

Rub

ber

900.0

892.5

Sr N

ts8.2

5015

-Aug

-20

8.375

56

2bp

B1/B

+Au

tomoti

veRe

finan

cing

20-A

ugGo

odYe

ar T

ire &

Rub

ber

100.0

100.8

Guar

Nts

8.250

15-A

ug-2

08.1

19

555b

pB1

/B+

Autom

otive

Refin

ancin

g16

-Sep

Grah

am P

acka

ging

250.0

250.0

Sr N

ts8.2

5001

-Oct-

188.2

50

549b

pCa

a1/B

-Pa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

15-S

epGr

aphic

Pac

kagin

g25

0.025

0.0Sr

Nts

7.875

01-O

ct-18

7.875

55

7bp

B3/B

Pape

r and

Pac

kagin

gAc

quisi

tion

Finan

ce21

-Apr

Gray

Telev

ision

365.0

358.0

Sr S

ec N

ts (2

nd)

10.50

029

-Jun-

1511

.000

850b

pCa

a2/C

CCBr

oadc

astin

gRe

finan

cing

30-M

arGr

eat W

olf F

inanc

e23

0.021

9.31s

t Mtg

Nts

10.87

501

-Apr

-17

11.87

5 85

6bp

B3/B

B-Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

30-M

arGr

upo

Pape

lero

Scrib

e30

0.030

0.0Gu

ar N

ts8.8

7507

-Apr

-20

8.875

50

2bp

Ba3/B

B-Pa

per a

nd P

acka

ging

Refin

ancin

g08

-Jan

Grup

o Po

sada

s SAB

CV

200.0

198.0

Guar

Nts

9.250

15-Ja

n-15

9.500

69

0bp

B2/B

+Ga

ming

Lod

ging

and

Leisu

reGe

nera

l Cor

pora

te04

-Nov

Hane

sbra

nds

1,000

.01,0

00.0

Sr N

ts6.3

7515

-Dec

-20

6.375

39

0bp

B1/B

B-Co

nsum

er P

rodu

ctsRe

finan

cing

20-O

ctHa

nger

Orth

oped

ic20

0.020

0.0Sr

Nts

7.125

15-N

ov-1

87.1

25

508b

pB3

/BHe

althc

are

Refin

ancin

g01

-Oct

Hapa

g-Llo

yd25

0.024

8.4Sr

Nts

9.750

15-O

ct-17

9.875

79

8bp

B3/B

Tran

spor

tation

Refin

ancin

g05

-Nov

Harb

inger

Gro

up35

0.034

5.1Sr

Sec

Nts

(1st)

10.62

515

-Nov

-15

11.00

0 99

7bp

Caa1

/NR

Finan

cial

Gene

ral C

orpo

rate

13-A

prHa

rrah's

Ope

ratin

g75

0.074

0.9Sr

Sec

Nts

(2nd

)12

.750

15-A

pr-1

813

.000

919b

pCa

/CCC

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A10

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s24

-Sep

Harve

st Op

erati

on50

0.049

6.6Gu

ar N

ts6.8

7501

-Oct-

177.0

00

501b

pBa

1/BB-

Ener

gyRe

finan

cing

02-M

arHC

AInc

1,400

.01,3

87.3

Sr S

ec N

ts (1

st)7.2

5015

-Sep

-20

7.375

37

7bp

Ba3/B

BHe

althc

are

Refin

ancin

g10

-Nov

HCA

Inc1,5

25.0

1,525

.0Sr

Nts

7.750

15-M

ay-2

17.7

50

506b

pCa

a1/B

-He

althc

are

Othe

r28

-Sep

Healt

hsou

th Co

rp25

0.025

0.0Gu

ar N

ts7.7

5015

-Sep

-22

7.750

52

9bp

B2/B

+He

althc

are

Refin

ancin

g28

-Sep

Healt

hsou

th Co

rp27

5.027

5.0Gu

ar N

ts7.2

5001

-Oct-

187.2

50

514b

pB2

/B+

Healt

hcar

eRe

finan

cing

16-S

epHe

rtz C

orp

300.0

300.0

Sr N

ts7.5

0015

-Oct-

187.5

00

508b

pB2

/CCC

+Au

tomoti

veAc

quisi

tion

Finan

ce20

-Sep

Hertz

Cor

p40

0.040

0.0Gu

ar N

ts7.5

0015

-Oct-

187.5

00

508b

pB2

/CCC

+Au

tomoti

veAc

quisi

tion

Finan

ce06

-Dec

Hertz

Cor

p50

0.050

0.0Gu

ar N

ts7.3

7515

-Jan-

217.3

75

446b

pB2

/CCC

+Au

tomoti

veRe

finan

cing

14-Ja

nHe

xion

1,000

.099

3.0Sr

Sec

Nts

8.875

01-F

eb-1

89.0

00

552b

pB3

/CCC

+Ch

emica

lsRe

finan

cing

27-O

ctHe

xion

440.0

440.0

Sr S

ec N

ts (2

nd)

9.000

15-N

ov-2

09.0

00

633b

pCa

a1/C

CCCh

emica

lsRe

finan

cing

28-O

ctHi

dili In

dustr

y40

0.040

0.0Sr

Nts

8.625

04-N

ov-1

58.6

25

739b

pBa

1/BB-

Metal

s and

Mini

ngRe

finan

cing

03-F

ebHi

lcorp

Ene

rgy

300.0

295.0

Sr N

ts8.0

0015

-Feb

-20

8.250

45

5bp

B2/B

B-En

ergy

Refin

ancin

g07

-Oct

Hilco

rp E

nerg

y35

0.035

0.0Sr

Nts

7.625

15-A

pr-2

17.6

25

524b

pB2

/BB-

Ener

gyGe

nera

l Cor

pora

te18

-May

Hillm

an G

roup

150.0

150.0

Guar

Nts

10.87

501

-Jun-

1810

.875

783b

pB3

/CCC

+Ind

ustria

lsAc

quisi

tion

Finan

ce05

-Mar

Holly

Ene

rgy P

artne

rs15

0.015

0.0Sr

Uns

ec N

ts8.2

5015

-Mar

-18

8.250

49

1bp

B1/B

+En

ergy

Refin

ancin

g19

-Oct

Host

Hotel

s & R

esor

ts50

0.050

0.0Sr

Nts

6.000

01-N

ov-2

06.0

00

352b

pNR

/BB+

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g12

-Mar

Hunts

man

Inter

natio

nal

350.0

350.0

Sr S

ub N

ts8.6

2515

-Mar

-20

8.625

49

0bp

B3/C

CC+

Chem

icals

Refin

ancin

g14

-Sep

Hunts

man

Inter

natio

nal

350.0

350.0

Sr S

ub N

ts8.6

2515

-Mar

-21

8.625

58

8bp

B3/B

-Ch

emica

lsRe

finan

cing

28-O

ctHu

ntsma

n Int

erna

tiona

l18

0.019

4.4Sr

Sub

Nts

8.625

15-M

ar-2

17.2

67

504b

pB3

/B-

Chem

icals

Refin

ancin

g12

-Jan

Icahn

Ente

rpris

es L

P85

0.084

5.0Sr

Nts

7.750

15-Ja

n-16

7.875

49

8bp

Ba3/B

BB-

Finan

cial

Refin

ancin

g12

-Jan

Icahn

Ente

rpris

es L

P1,1

50.0

1,141

.7Sr

Nts

8.000

15-Ja

n-18

8.125

46

9bp

Ba3/B

BB-

Finan

cial

Refin

ancin

g08

-Nov

Icahn

Ente

rpris

es L

P30

0.031

0.5Sr

Nts

8.000

15-Ja

n-18

7.361

56

0bp

Ba3/B

BB-

Finan

cial

Gene

ral C

orpo

rate

08-N

ovIca

hn E

nterp

rises

LP

200.0

206.5

Sr N

ts7.7

5015

-Jan-

166.9

87

523b

pBa

3/BBB

-Fin

ancia

lGe

nera

l Cor

pora

te04

-Oct

Icon

Healt

h &

Fitne

ss20

5.020

3.9Sr

Sec

Nts

(2nd

)11

.875

15-O

ct-16

12.00

0 10

41bp

B2/B

Cons

umer

Pro

ducts

Refin

ancin

g19

-Feb

IMS

Healt

h1,0

00.0

1,000

.0Sr

Nts

12.50

001

-Mar

-18

12.50

0 90

4bp

B3/B

Healt

hcar

eRe

finan

cing

22-Ju

lInd

osat

Palap

a65

0.064

6.6Sr

Nts

7.375

29-Ju

l-20

7.450

45

2bp

Ba1/B

BFin

ancia

lRe

finan

cing

05-M

ayIne

os F

inanc

e57

0.057

0.0Sr

Sec

Nts

(1st)

9.000

15-M

ay-1

59.0

00

671b

pB2

/B-

Chem

icals

Refin

ancin

g13

-Sep

Inerg

y LP

600.0

600.0

Sr N

ts7.0

0001

-Oct-

187.0

00

465b

pBa

3/B+

Ener

gyAc

quisi

tion

Finan

ce30

-Jun

Insigh

t Com

munic

ation

s40

0.040

0.0Sr

Nts

9.375

15-Ju

l-18

9.375

68

4bp

B3/B

-Ca

ble a

nd S

atellit

eRe

finan

cing

06-A

ugIns

ight C

ommu

nicati

ons

95.0

100.5

Sr N

ts9.3

7515

-Jul-1

88.1

29

684b

pB3

/B-

Cable

and

Sate

llite

Refin

ancin

g09

-Apr

Integ

ra Te

lecom

475.0

475.0

Sr S

ec N

ts (1

st)10

.750

15-A

pr-1

610

.750

768b

pB2

/CCC

+Te

lecom

munic

ation

sRe

finan

cing

16-S

epInt

elsat

Jack

son

1,000

.01,0

00.0

Sr N

ts7.2

5015

-Oct-

207.2

50

451b

pB3

/B+

Cable

and

Sate

llite

Refin

ancin

g20

-Jul

Inter

activ

e Da

ta70

0.070

0.0Gu

ar N

ts10

.250

01-A

ug-1

810

.250

731b

pCa

a1/B

-Se

rvice

sAc

quisi

tion

Finan

ce18

-Nov

Inter

face

Inc27

5.027

5.0Sr

Nts

7.625

01-D

ec-1

87.6

25

519b

pB2

/B+

Hous

ingRe

finan

cing

04-N

ovInt

erlin

e Br

ands

300.0

300.0

Sr N

ts7.0

0015

-Nov

-18

7.000

50

3bp

B2/B

B-Ind

ustria

lsRe

finan

cing

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A11

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s11

-Mar

Inter

natio

nal C

oal

200.0

198.6

Sr S

ec N

ts9.1

2501

-Apr

-18

9.250

58

7bp

Caa1

/BB-

Metal

s and

Mini

ngRe

finan

cing

17-M

arInt

erna

tiona

l Lea

se F

inanc

e1,0

00.0

984.1

Sr N

ts8.6

2515

-Sep

-15

9.000

65

2bp

B1/B

B+Fin

ancia

lGe

nera

l Cor

pora

te17

-Mar

Inter

natio

nal L

ease

Fina

nce

1,000

.097

4.7Sr

Nts

8.750

15-M

ar-1

79.2

50

617b

pB1

/BB+

Finan

cial

Gene

ral C

orpo

rate

30-M

arInt

erna

tiona

l Lea

se F

inanc

e25

0.025

2.5Sr

Nts

8.625

15-S

ep-1

58.3

92

570b

pB1

/BB+

Finan

cial

Refin

ancin

g30

-Mar

Inter

natio

nal L

ease

Fina

nce

500.0

503.8

Sr N

ts8.7

5015

-Mar

-17

8.604

52

8bp

B1/B

B+Fin

ancia

lRe

finan

cing

11-A

ugInt

erna

tiona

l Lea

se F

inanc

e1,2

75.0

1,274

.9Sr

Sec

Nts

(1st)

6.750

01-S

ep-1

66.7

50

500b

pBa

3/BBB

-Fin

ancia

lRe

finan

cing

11-A

ugInt

erna

tiona

l Lea

se F

inanc

e1,2

75.0

1,274

.9Sr

Sec

Nts

(1st)

7.125

01-S

ep-1

87.1

25

493b

pBa

3/BBB

-Fin

ancia

lRe

finan

cing

11-A

ugInt

erna

tiona

l Lea

se F

inanc

e1,3

50.0

1,350

.0Sr

Sec

Nts

(1st)

6.500

01-S

ep-1

46.5

00

540b

pBa

3/BBB

-Fin

ancia

lRe

finan

cing

11-A

ugInt

erna

tiona

l Lea

se F

inanc

e50

0.049

6.8Sr

Nts

8.875

01-S

ep-1

79.0

00

681b

pB1

/BB+

Finan

cial

Refin

ancin

g02

-Dec

Inter

natio

nal L

ease

Fina

nce

1,000

.099

1.6Sr

Nts

8.250

15-D

ec-2

08.3

75

537b

pB1

/BB+

Finan

cial

Gene

ral C

orpo

rate

20-A

prInt

erna

tiona

l Wire

Gro

up14

0.013

8.7Sr

Sec

Nts

(2nd

)9.7

5015

-Apr

-15

10.00

0 74

4bp

B3/B

Indus

trials

Refin

ancin

g28

-Jul

inVen

tiv H

ealth

275.0

275.0

Sr N

ts10

.000

15-A

ug-1

810

.000

739b

pCa

a1/B

-Di

versi

fied

Media

Acqu

isitio

n Fin

ance

25-M

arIT

C De

ltaco

m Inc

325.0

318.0

Sr S

ec N

ts (1

st)10

.500

01-A

pr-1

611

.000

806b

pB3

/B-

Telec

ommu

nicati

ons

Refin

ancin

g28

-Oct

Jabil

Circ

uit40

0.040

0.0Sr

Nts

5.625

15-D

ec-2

05.6

25

297b

pBa

1/BB+

Tech

nolog

yRe

finan

cing

14-Ja

nJa

rden

Cor

p27

5.027

2.6Sr

Sub

Nts

7.500

15-Ja

n-20

7.625

38

5bp

B3/B

Cons

umer

Pro

ducts

Refin

ancin

g02

-Nov

Jard

en C

orp

300.0

300.0

Sr N

ts6.1

2515

-Nov

-22

6.125

32

6bp

Ba3/B

B-Co

nsum

er P

rodu

ctsGe

nera

l Cor

pora

te23

-Jul

JBS

Finan

ce II

700.0

690.4

Guar

Nts

8.250

29-Ja

n-18

8.500

61

4bp

B1/B

BFo

od a

nd B

ever

ages

Refin

ancin

g10

-Sep

JBS

Finan

ce II

200.0

204.1

Sr N

ts8.2

5029

-Jan-

187.8

75

565b

pB1

/BB

Food

and

Bev

erag

esRe

finan

cing

18-M

ayJC

Pen

ney

400.0

398.9

Sr N

ts5.6

5001

-Jun-

205.6

87

225b

pBa

1/BB+

Retai

lGe

nera

l Cor

pora

te14

-Oct

JSC

Seve

rstal

1,000

.01,0

00.0

Nts

6.700

25-O

ct-17

6.700

48

7bp

Ba3/B

B-Me

tals a

nd M

ining

Unkn

own

21-A

prKa

isa G

roup

350.0

350.0

Guar

Nts

13.50

028

-Apr

-15

13.50

0 11

01bp

B2/B

+Ho

using

Refin

ancin

g07

-Jan

Kans

as C

ity S

outhe

rn D

E Me

xico

300.0

295.7

Sr N

ts8.0

0001

-Feb

-18

8.250

46

7bp

B2/B

+Tr

ansp

ortat

ionRe

finan

cing

21-A

prKe

met C

orp

230.0

227.0

Sr N

ts10

.500

01-M

ay-1

810

.750

735b

pB1

/BTe

chno

logy

Refin

ancin

g06

-Dec

Kind

er M

orga

n75

0.074

9.9Sr

Sec

Nts

(1st)

6.000

15-Ja

n-18

6.000

20

0bp

Ba1/B

BEn

ergy

Refin

ancin

g12

-May

Krato

s Defe

nse

& Se

curity

225.0

225.0

Sr S

ec N

ts (1

st)10

.000

01-Ju

n-17

10.00

0 64

2bp

B2/B

+Ind

ustria

lsAc

quisi

tion

Finan

ce11

-Aug

KWG

Prop

erty

250.0

250.0

Sr N

ts12

.500

18-A

ug-1

712

.500

1041

bpB1

/B+

Hous

ingGe

nera

l Cor

pora

te08

-Apr

Lama

r Med

ia Co

rp40

0.040

0.0Sr

Sub

Nts

7.875

15-A

pr-1

87.8

75

432b

pB1

/NR

Broa

dcas

ting

Refin

ancin

g17

-Aug

Land

ry's H

olding

110.0

99.0

Sr S

ec N

ts (1

st)11

.500

01-Ju

n-14

15.06

9 10

40bp

NR/N

RFo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

23-A

prLa

ndry'

s Res

taura

nt47

.049

.8Sr

Sec

Nts

(2nd

)11

.625

01-D

ec-1

510

.156

904b

pB3

/BFo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

04-M

ayLa

ntheu

s Med

ical Im

aging

250.0

250.0

Sr N

ts9.7

5015

-May

-17

9.750

67

4bp

B2/B

+He

althc

are

Refin

ancin

g23

-Mar

Lear

Cor

p35

0.034

7.1Sr

Nts

8.125

15-M

ar-2

08.1

25

457b

pB1

/BB+

Autom

otive

Refin

ancin

g23

-Mar

Lear

Cor

p35

0.034

7.5Sr

Nts

7.875

15-M

ar-1

88.0

00

470b

pB1

/BB-

Autom

otive

Refin

ancin

g27

-Apr

Lenn

ar C

orp

250.0

247.3

Sr N

ts6.9

5001

-Jun-

187.1

25

336b

pB3

/BB-

Hous

ingRe

finan

cing

05-Ja

nLe

vel 3

Fina

ncing

640.0

627.1

Sr N

ts10

.000

01-F

eb-1

810

.375

692b

pCa

a1/C

CCTe

lecom

munic

ation

sRe

finan

cing

28-A

prLe

vi St

raus

s52

5.052

5.0Sr

Nts

7.625

15-M

ay-2

07.6

25

391b

pB2

/B+

Cons

umer

Pro

ducts

Refin

ancin

g

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

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(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

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2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A12

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

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dsIss

uanc

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($ m

n)($

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Secu

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Coup

on %

Matu

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Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s28

-Jan

Libbe

y Glas

s Inc

400.0

392.3

Sr S

ec N

ts10

.000

15-F

eb-1

510

.500

809b

pB2

/BCo

nsum

er P

rodu

ctsRe

finan

cing

23-S

epLib

erty

Tire

Recy

cling

200.0

197.9

Sr N

ts11

.000

01-O

ct-16

11.25

0 96

0bp

B3/B

Indus

trials

Refin

ancin

g11

-Feb

Life T

echn

ologie

s75

0.074

8.5Sr

Nts

6.000

01-M

ar-2

06.0

30

232b

pBa

1/BBB

-He

althc

are

Refin

ancin

g11

-Feb

Life T

echn

ologie

s50

0.049

8.3Sr

Nts

4.400

01-M

ar-1

54.4

70

210b

pBa

1/BBB

-He

althc

are

Refin

ancin

g11

-Feb

Life T

echn

ologie

s25

0.024

9.9Sr

Nts

3.500

01-M

ar-1

33.3

90

200b

pBa

1/BBB

-He

althc

are

Refin

ancin

g09

-Dec

Life T

echn

ologie

s40

0.039

9.4Sr

Nts

3.500

15-Ja

n-16

3.534

16

5bp

Ba1/B

BBHe

althc

are

Gene

ral C

orpo

rate

09-D

ecLif

e Tec

hnolo

gies

400.0

398.2

Sr N

ts5.0

0015

-Jan-

215.0

56

185b

pBa

1/BBB

Healt

hcar

eGe

nera

l Cor

pora

te20

-Sep

LifeP

oint H

ospit

al40

0.040

0.0Gu

ar N

ts6.6

2501

-Oct-

206.6

25

392b

pBa

1/BB-

Healt

hcar

eRe

finan

cing

20-A

prLim

ited

Bran

ds40

0.040

0.0Gu

ar N

ts7.0

0001

-May

-20

7.000

32

0bp

Ba1/B

BRe

tail

Refin

ancin

g07

-Apr

Lin Te

levisi

on20

0.020

0.0Sr

Nts

8.375

15-A

pr-1

88.3

75

483b

pBa

3/B+

Broa

dcas

ting

Refin

ancin

g30

-Mar

Linn

Ener

gy1,3

00.0

1,268

.2Sr

Uns

ec N

ts8.6

2515

-Apr

-20

9.000

51

2bp

B3/B

Ener

gyRe

finan

cing

08-S

epLin

n En

ergy

1,000

.098

2.6Gu

ar N

ts7.7

5001

-Feb

-21

8.000

50

5bp

B2/B

Ener

gyRe

finan

cing

22-Ja

nLis

trindo

Cap

ital

300.0

297.3

Guar

Nts

9.250

29-Ja

n-15

9.500

746b

pBa

2/BB-

Utilit

yRe

finan

cing

22-A

prLiv

e Na

tion

Enter

tainm

ent

250.0

250.0

Sr U

nsec

Nts

8.125

15-M

ay-1

88.1

25

470b

pB1

/BGa

ming

Lod

ging

and

Leisu

reRe

finan

cing

24-M

arLy

onde

ll Petr

oche

mica

l2,2

50.0

2,250

.0Sr

Sec

Nts

(1st)

8.000

01-N

ov-1

78.0

00

477b

pBa

3/NR

Chem

icals

Refin

ancin

g28

-Oct

M/I H

omes

Inc

200.0

197.2

Sr N

ts8.6

2515

-Nov

-18

8.875

62

2bp

Caa1

/B-

Hous

ingRe

finan

cing

06-A

prMa

gnac

hip S

emico

nduc

tor25

0.024

6.7Sr

Nts

10.50

015

-Apr

-18

10.75

0 70

8bp

B2/B

+Te

chno

logy

Refin

ancin

g25

-Mar

Magn

esita

Refr

atario

s40

0.039

6.6Gu

ar N

ts7.8

7530

-Mar

-20

8.000

41

3bp

B1/B

B-Ho

using

Refin

ancin

g22

-Jan

Manc

heste

r Unit

ed42

5.041

6.8Sr

Sec

Nts

(1st)

8.375

01-F

eb-1

78.7

50

568b

pNR

/NR

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g03

-Feb

Manit

owoc

Com

pany

400.0

400.0

Sr U

nsec

Nts

9.500

15-F

eb-1

89.5

00

609b

pCa

a1/B

B-Ind

ustria

lsRe

finan

cing

13-O

ctMa

nitow

oc C

ompa

ny60

0.059

5.0Sr

Nts

8.500

01-N

ov-2

08.6

25

620b

pB3

/B+

Indus

trials

Refin

ancin

g08

-Apr

Mante

ch In

terna

tiona

l CP

200.0

200.0

Sr N

ts7.2

5015

-Apr

-18

7.250

37

2bp

Ba2/B

B+Ind

ustria

lsRe

finan

cing

29-A

prMa

rfrig

Over

seas

500.0

492.1

Guar

Nts

9.500

04-M

ay-2

09.7

50

578b

pB1

/B+

Food

and

Bev

erag

esRe

finan

cing

04-A

ugMa

rina

Distr

ict F

inanc

e40

0.039

7.3Sr

Sec

Nts

(1st)

9.875

15-A

ug-1

810

.000

752b

pB2

/BB

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g04

-Aug

Marin

a Di

strict

Fina

nce

400.0

395.8

Sr S

ec N

ts (1

st)9.5

0015

-Oct-

159.7

50

815b

pB2

/BB

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g19

-Oct

Markw

est E

nerg

y50

0.050

0.0Sr

Nts

6.750

01-N

ov-2

06.7

50

428b

pB1

/BB-

Ener

gyRe

finan

cing

12-Ja

nMa

rque

tte T

rans

porta

tion

250.0

247.0

Sr S

ec N

ts (2

nd)

10.87

515

-Jan-

1711

.125

795b

pB3

/B-

Tran

spor

tation

Refin

ancin

g23

-Mar

Martin

Mids

tream

Par

tners

200.0

197.2

Sr N

ts8.8

7501

-Apr

-18

9.125

58

3bp

B3/B

+En

ergy

Refin

ancin

g05

-Mar

Masc

o Co

rp50

0.050

0.0Sr

Uns

ec N

ts7.1

2515

-Mar

-20

7.125

34

3bp

Ba2/B

BB-

Hous

ingRe

finan

cing

31-M

arMa

xim C

rane

Wor

ks25

0.024

3.2Sr

Sec

Nts

(2nd

)12

.250

15-A

pr-1

513

.000

1044

bpCa

a1/B

Servi

ces

Refin

ancin

g12

-May

MCE

Finan

ce60

0.059

2.0Sr

Nts

10.25

015

-May

-18

10.50

0 72

7bp

B1/B

+Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

08-F

ebMc

Junk

in Re

d Ma

n50

.048

.8Sr

Sec

Nts

(1st)

9.500

15-D

ec-1

610

.000

712b

pB3

/BEn

ergy

Refin

ancin

g

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A13

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s11

-May

MDC

Comm

unica

tions

65.0

67.6

Guar

Nts

11.00

001

-Nov

-16

10.02

9 83

6bp

B2/B

+Di

versi

fied

Media

Gene

ral C

orpo

rate

09-N

ovMe

dAss

ets In

c32

5.032

5.0Sr

Nts

8.000

15-N

ov-1

88.0

00

597b

pB3

/B-

Healt

hcar

eAc

quisi

tion

Finan

ce05

-Feb

Media

Gen

eral

300.0

293.1

Sr S

ec N

ts (1

st)11

.750

15-F

eb-1

712

.250

879b

pB2

/BDi

versi

fied

Media

Refin

ancin

g10

-Nov

Merce

r Inte

rnati

onal

300.0

300.0

Sr N

ts9.5

0001

-Dec

-17

9.500

76

6bp

B3/B

Pape

r and

Pac

kagin

gRe

finan

cing

19-A

prMe

rge

Healt

hcar

e20

0.019

4.5Sr

Sec

Nts

(1st)

11.75

015

-May

-15

12.50

0 99

9bp

B2/B

+He

althc

are

Acqu

isitio

n Fin

ance

06-A

prMe

ritage

Hom

es20

0.019

5.1Sr

Uns

ec N

ts7.1

5015

-Apr

-20

7.500

35

4bp

B1/B

+Ho

using

Refin

ancin

g07

-Sep

Metro

PCS

Wire

less

1,000

.099

2.8Sr

Nts

7.875

01-S

ep-1

88.0

00

579b

pB2

/BTe

lecom

munic

ation

sRe

finan

cing

05-N

ovMe

troPC

S W

ireles

s1,0

00.0

1,000

.0Sr

Nts

6.625

15-N

ov-2

06.6

25

411b

pB2

/BTe

lecom

munic

ation

sRe

finan

cing

09-M

arMG

M Mi

rage

845.0

845.0

Sr S

ec N

ts9.0

0015

-Mar

-20

9.000

52

9bp

B1/B

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g25

-Oct

MGM

Reso

rts50

0.049

4.5Sr

Nts

10.00

001

-Nov

-16

10.25

0 87

4bp

Caa1

/CCC

+Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

22-Ju

nMi

chae

l Foo

ds43

0.043

0.0Sr

Nts

9.750

15-Ju

l-18

9.750

69

4bp

Caa1

/B-

Food

and

Bev

erag

esAc

quisi

tion

Finan

ce07

-Oct

Mich

aels

Stor

es80

0.079

4.1Sr

Nts

7.750

01-N

ov-1

87.8

75

572b

pCa

a1/C

CCRe

tail

Refin

ancin

g31

-Mar

Midw

est G

aming

175.0

173.1

Sr S

ec N

ts (2

nd)

11.62

515

-Apr

-16

11.87

5 88

8bp

Caa1

/BGa

ming

Lod

ging

and

Leisu

reGe

nera

l Cor

pora

te22

-Jan

Mine

rva O

verse

as25

0.024

5.3Gu

ar N

ts10

.875

15-N

ov-1

911

.200

800b

pB3

/B-

Food

and

Bev

erag

esRe

finan

cing

10-N

ovMo

bile

Mini

200.0

200.0

Sr N

ts7.8

7501

-Dec

-20

7.875

52

4bp

B2/B

+Se

rvice

sRe

finan

cing

27-O

ctMo

menti

ve P

erfor

manc

e63

5.063

5.0Sr

Nts

9.000

15-Ja

n-21

9.000

63

3bp

Caa1

/CCC

Chem

icals

Refin

ancin

g19

-Aug

Muell

er W

ater P

rodu

cts22

5.022

1.3Sr

Nts

8.750

01-S

ep-2

09.0

00

643b

pB1

/B+

Indus

trials

Refin

ancin

g12

-Aug

Multip

lan In

c67

5.067

5.0Sr

Nts

9.875

01-S

ep-1

89.8

75

767b

pCa

a1/C

CC+

Healt

hcar

eAc

quisi

tion

Finan

ce15

-Apr

Murra

y Ene

rgy

40.0

41.0

Sr S

ec N

ts (2

nd)

10.25

015

-Oct-

159.6

46

779b

pCa

a1/B

+Me

tals a

nd M

ining

Refin

ancin

g30

-Nov

Murra

y Ene

rgy

150.0

154.5

Sr S

ec N

ts (2

nd)

10.25

015

-Oct-

159.3

38

693b

pB3

/BMe

tals a

nd M

ining

Gene

ral C

orpo

rate

12-M

ayMy

lan55

0.054

9.8Sr

Nts

7.625

15-Ju

l-17

7.625

46

2bp

B1/B

B-He

althc

are

Refin

ancin

g12

-May

Mylan

700.0

699.8

Sr N

ts7.8

7515

-Jul-2

07.8

75

430b

pB1

/BB-

Healt

hcar

eRe

finan

cing

30-Ju

lMy

lan30

0.031

6.5Sr

Nts

7.875

15-Ju

l-20

7.089

43

0bp

B1/B

B-He

althc

are

Acqu

isitio

n Fin

ance

09-N

ovMy

lan80

0.078

7.6Sr

Nts

6.000

15-N

ov-1

86.2

50

400b

pNR

/NR

Healt

hcar

eRe

finan

cing

02-D

ecNA

I Ente

rtainm

ent H

olding

400.0

400.0

Sr S

ec N

ts (1

st)8.2

5015

-Dec

-17

8.250

59

1bp

B1/B

BGa

ming

Lod

ging

and

Leisu

reRe

finan

cing

09-D

ecNa

lco75

0.075

0.0Sr

Nts

6.625

15-Ja

n-19

6.625

37

1bp

Ba2/B

B-Ch

emica

lsRe

finan

cing

23-M

arNa

tions

tar M

ortga

ge L

LC25

0.024

3.0Sr

Nts

10.87

501

-Apr

-15

11.62

5 92

2bp

B2/B

Finan

cial

Refin

ancin

g06

-Oct

Navio

s Mar

itime

400.0

400.0

1st M

tg Nt

s8.6

2501

-Nov

-17

8.625

68

9bp

B2/B

Tran

spor

tation

Refin

ancin

g22

-Sep

NBTY

Inc65

0.065

0.0Gu

ar N

ts9.0

0001

-Oct-

189.0

00

685b

pB3

/BRe

tail

Acqu

isitio

n Fin

ance

01-A

prNE

S Re

ntal H

olding

s15

0.014

8.6Sr

Sec

Nts

(2nd

)12

.250

15-A

pr-1

512

.500

993b

pCa

a2/C

CC+

Servi

ces

Refin

ancin

g13

-Aug

New

Enter

prise

Ston

e &

Lime

250.0

250.0

Sr N

ts11

.000

01-S

ep-1

811

.000

876b

pCa

a1/B

+Ho

using

Refin

ancin

g01

-Nov

New

York

Times

225.0

225.0

Sr N

ts6.6

2515

-Dec

-16

6.625

50

1bp

B1/B

+Di

versi

fied

Media

Gene

ral C

orpo

rate

20-Ja

nNe

wfiel

d Ex

plora

tion

700.0

693.8

Sr S

ub N

ts6.8

7501

-Feb

-20

7.000

33

5bp

Ba3/B

B+En

ergy

Refin

ancin

g08

-Apr

Nexs

tar B

road

casti

ng32

5.032

2.9Sr

Sec

Nts

8.875

15-A

pr-1

79.0

00

566b

pB3

/B-

Broa

dcas

ting

Refin

ancin

g09

-Feb

NFR

Ener

gy20

0.019

7.5Sr

Nts

9.750

15-F

eb-1

710

.000

694b

pCa

a1/B

Ener

gyRe

finan

cing

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A14

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s09

-Apr

NFR

Ener

gy15

0.014

8.1Sr

Nts

9.750

15-F

eb-1

710

.000

666b

pCa

a1/B

Ener

gyRe

finan

cing

30-S

epNi

elsen

Fina

nce

750.0

744.5

Sr N

ts7.7

5015

-Oct-

187.8

75

572b

pCa

a1/B

Dive

rsifie

d Me

diaRe

finan

cing

29-O

ctNi

elsen

Fina

nce

330.0

339.9

Guar

Nts

7.750

15-O

ct-18

7.119

49

4bp

Caa1

/BDi

versi

fied

Media

Refin

ancin

g26

-Feb

Nisk

a Ga

s Stor

age

800.0

800.0

Sr U

nsec

Nts

8.875

15-M

ar-1

88.8

75

561b

pB1

/BB-

Ener

gyRe

finan

cing

18-N

ovNo

rtek I

nc25

0.025

0.0Sr

Nts

10.00

001

-Dec

-18

10.00

0 75

7bp

Caa2

/CCC

+Ho

using

Gene

ral C

orpo

rate

22-N

ovNo

rther

n Tier

Ene

rgy

290.0

290.0

Sr S

ec N

ts (1

st)10

.500

01-D

ec-1

710

.500

836b

pB1

/BB-

Ener

gyAc

quisi

tion

Finan

ce04

-Nov

Norw

egian

Cru

ise L

ines C

orp.

250.0

250.0

Sr N

ts9.5

0015

-Nov

-18

9.500

75

2bp

Caa1

/BGa

ming

Lod

ging

and

Leisu

reRe

finan

cing

10-D

ecNo

velis

1,400

.01,4

00.0

Sr N

ts8.7

5015

-Dec

-20

8.750

55

0bp

B2/B

Metal

s and

Mini

ngRe

finan

cing

10-D

ecNo

velis

1,100

.01,1

00.0

Sr N

ts8.3

7515

-Dec

-17

8.375

57

2bp

B2/B

Metal

s and

Mini

ngRe

finan

cing

17-A

ugNR

G En

ergy

1,100

.01,1

00.0

Guar

Nts

8.250

01-S

ep-2

08.2

50

561b

pB1

/BB-

Utilit

yGe

nera

l Cor

pora

te17

-Nov

NV E

nerg

y Inc

315.0

315.0

Sr N

ts6.2

5015

-Nov

-20

6.250

33

8bp

Ba3/B

BUt

ility

Refin

ancin

g13

-Jul

NXP

Fund

ing1,0

00.0

1,000

.0Sr

Sec

Nts

(1st)

9.750

01-A

ug-1

89.7

50

698b

pCa

a1/C

CC+

Tech

nolog

yRe

finan

cing

04-F

ebOm

ega

Healt

hcar

e Inv

estor

s20

0.019

6.6Sr

Nts

7.500

15-F

eb-2

07.7

50

414b

pBa

3/BB+

Healt

hcar

eRe

finan

cing

29-S

epOm

ega

Healt

hcar

e Inv

estor

s22

5.022

2.7Sr

Nts

6.750

15-O

ct-22

6.875

44

1bp

Ba2/B

B+He

althc

are

Refin

ancin

g09

-Nov

Omeg

a He

althc

are

Inves

tors

350.0

360.5

Sr N

ts6.7

5015

-Oct-

226.2

61

363b

pBa

2/BB+

Healt

hcar

eRe

finan

cing

13-M

ayOm

nicar

e Inc

400.0

399.9

Sr S

ub N

ts7.7

5001

-Jun-

207.7

50

421b

pBa

2/BB

Healt

hcar

eRe

finan

cing

22-O

ctOm

nOVA

Solut

ions

250.0

250.0

Sr N

ts7.8

7501

-Nov

-18

7.875

57

5bp

B2/B

-Ch

emica

lsAc

quisi

tion

Finan

ce06

-May

Oncu

re M

edica

l21

0.020

6.3Sr

Sec

Nts

(1st)

11.75

015

-May

-17

12.12

5 89

1bp

B2/B

Healt

hcar

eRe

finan

cing

11-A

ugOp

ti Can

ada

300.0

289.5

Sr S

ec N

ts (1

st)9.7

5015

-Aug

-13

11.16

2 10

39bp

B3/B

Ener

gyRe

finan

cing

11-A

ugOp

ti Can

ada

100.0

97.0

Sr S

ec N

ts (1

st)9.0

0015

-Dec

-12

9.228

86

9bp

B2/B

Ener

gyRe

finan

cing

26-F

ebOs

hKos

h Co

rp25

0.025

0.0Gu

ar N

ts8.5

0001

-Mar

-20

8.500

49

0bp

B3/B

-Ind

ustria

lsRe

finan

cing

26-F

ebOs

hKos

h Co

rp25

0.025

0.0Gu

ar N

ts8.2

5001

-Mar

-17

8.250

52

1bp

B3/B

-Ind

ustria

lsRe

finan

cing

24-M

arOv

erse

as S

hipho

lding

Gro

up30

0.029

5.7Sr

Uns

ec N

ts8.1

2530

-Mar

-18

8.375

49

5bp

Ba3/B

B-Tr

ansp

ortat

ionRe

finan

cing

09-Ju

lOX

EAFin

ance

/CY

SCA

260.0

260.0

Sr S

ec N

ts (1

st)9.5

0015

-Jul-1

79.5

00

701b

pB2

/B+

Chem

icals

Refin

ancin

g29

-Oct

Pacn

et Ltd

300.0

300.0

Sr S

ec N

ts (1

st)9.2

5009

-Nov

-15

9.250

80

8bp

B1/N

RTe

lecom

munic

ation

sRe

finan

cing

19-N

ovPa

etec E

scro

w45

0.043

5.0Sr

Nts

9.875

01-D

ec-1

810

.500

809b

pCa

a1/C

CC+

Telec

ommu

nicati

ons

Acqu

isitio

n Fin

ance

07-Ja

nPa

etec H

olding

Cor

p30

0.030

1.6Sr

Sec

Nts

(1st)

8.875

30-Ju

n-17

8.750

53

9bp

B1/B

Telec

ommu

nicati

ons

Refin

ancin

g30

-Apr

Pan A

meric

an E

nerg

y50

0.049

1.0Gu

ar N

ts7.8

7507

-May

-21

8.125

44

6bp

Ba2/N

REn

ergy

Gene

ral C

orpo

rate

11-M

arPa

rker D

rilling

300.0

300.0

Sr N

ts9.1

2501

-Apr

-18

9.125

57

6bp

B1/B

+En

ergy

Refin

ancin

g09

-Apr

Pathe

on In

c28

0.028

0.0Sr

Sec

Nts

(1st)

8.625

15-A

pr-1

78.6

25

526b

pB1

/B+

Healt

hcar

eRe

finan

cing

28-A

prPa

triot C

oal

250.0

248.2

Sr N

ts8.2

5030

-Apr

-18

8.375

49

7bp

B3/B

+Me

tals a

nd M

ining

Gene

ral C

orpo

rate

11-A

ugPe

abod

y Ene

rgy

650.0

650.0

Guar

Nts

6.500

15-S

ep-2

06.5

00

381b

pBa

1/BB+

Metal

s and

Mini

ngRe

finan

cing

22-A

prPe

nn V

irgini

a30

0.030

0.0Gu

ar N

ts8.2

5015

-Apr

-18

8.250

42

5bp

B2/B

Metal

s and

Mini

ngRe

finan

cing

29-A

prPe

nson

Wor

ldwide

200.0

200.0

Sr S

ec N

ts (2

nd)

12.50

015

-May

-17

12.50

0 92

9bp

B1/B

B-Fin

ancia

lRe

finan

cing

19-N

ovPe

tco A

nimal

Supp

lies

500.0

500.0

Guar

Nts

9.250

01-D

ec-1

89.2

50

683b

pCa

a1/C

CC+

Retai

lRe

finan

cing

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A15

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s03

-Aug

Petro

hawk

Ene

rgy

825.0

825.0

Guar

Nts

7.250

15-A

ug-1

87.2

50

434b

pB3

/B+

Ener

gyRe

finan

cing

12-A

ugPe

troqu

est E

nerg

y15

0.015

0.0Sr

Nts

10.00

001

-Sep

-17

10.00

0 79

1bp

Caa1

/BEn

ergy

Refin

ancin

g31

-Mar

Phar

mane

t Dev

elopm

ent

185.0

185.0

Sr S

ec N

ts (1

st)10

.875

15-A

pr-1

710

.875

758b

pB3

/B+

Healt

hcar

eRe

finan

cing

06-A

ugPH

H Co

rp35

0.035

0.0Sr

Nts

9.250

01-M

ar-1

69.2

50

749b

pBa

2/BB+

Servi

ces

Refin

ancin

g16

-Sep

PHI I

nc30

0.030

0.0Sr

Nts

8.625

15-O

ct-18

8.625

62

8bp

B2/B

+En

ergy

Refin

ancin

g28

-Jun

Phibr

o Anim

al He

alth

275.0

271.2

Sr N

ts9.2

5001

-Jul-1

89.5

00

687b

pB3

/BCh

emica

lsRe

finan

cing

23-A

prPh

illips

-Van

Heu

sen

600.0

600.0

Sr N

ts7.3

7515

-May

-20

7.375

35

6bp

B2/B

BCo

nsum

er P

rodu

ctsAc

quisi

tion

Finan

ce09

-Dec

Pilgr

im's

Pride

500.0

496.4

Guar

Nts

7.875

15-D

ec-1

88.0

00

510b

pB3

/BB-

Food

and

Bev

erag

esRe

finan

cing

21-S

epPi

nafor

e Inc

(Tom

kins)

1,150

.01,1

50.0

Sr S

ec N

ts (2

nd)

9.000

01-O

ct-18

9.000

67

4bp

B1/B

+Ind

ustria

lsAc

quisi

tion

Finan

ce29

-Apr

Pinn

acle

Enter

tainm

ent

350.0

350.0

Sr S

ub N

ts8.7

5015

-May

-20

8.750

50

2bp

Caa1

/BGa

ming

Lod

ging

and

Leisu

reRe

finan

cing

10-A

ugPi

nnac

le Fo

od F

inanc

e40

0.040

0.0Gu

ar N

ts8.2

5001

-Sep

-17

8.250

61

3bp

B3/C

CC+

Food

and

Bev

erag

esRe

finan

cing

04-M

arPi

onee

r Drill

ing25

0.023

9.4Sr

Nts

9.875

15-M

ar-1

810

.677

743b

pB3

/BEn

ergy

Refin

ancin

g24

-Mar

Plain

s Exp

lorati

on &

Pro

ducti

on30

0.030

0.0Sr

Uns

ec N

ts7.6

2501

-Apr

-20

7.625

37

9bp

B1/B

B-En

ergy

Refin

ancin

g11

-Feb

Plas

tiPak

Hold

ings

50.0

54.5

Sr N

ts10

.625

15-A

ug-1

98.9

51

525b

pB3

/BPa

per a

nd P

acka

ging

Refin

ancin

g06

-Jan

Ply G

em In

dustr

ies In

c15

0.014

5.7Sr

Sub

Nts

13.12

515

-Jul-1

414

.000

1138

bpCa

a3/N

RHo

using

Refin

ancin

g13

-Sep

Polyo

ne C

orp

360.0

360.0

Sr N

ts7.3

7515

-Sep

-20

7.375

46

2bp

Ba3/B

+Ch

emica

lsRe

finan

cing

10-N

ovPo

lypor

e Int

erna

tiona

l36

5.036

5.0Sr

Nts

7.500

15-N

ov-1

77.5

00

568b

pB3

/B-

Indus

trials

Refin

ancin

g07

-Jul

Postm

edia

Netw

ork (

Canw

est)

275.0

268.3

Sr S

ec N

ts (2

nd)

12.50

015

-Jul-1

813

.000

1043

bpB3

/BDi

versi

fied

Media

Othe

r09

-Sep

Powe

rLon

g Re

al Es

tate

200.0

200.0

Sr N

ts13

.750

16-S

ep-1

513

.750

1219

bpB1

/B+

Hous

ingGe

nera

l Cor

pora

te10

-Nov

Prec

ision

Drill

ing65

0.065

0.0Sr

Nts

6.625

15-N

ov-2

06.6

25

375b

pBa

2/BB+

Ener

gyRe

finan

cing

10-M

arPr

estig

e Br

ands

150.0

147.8

Sr N

ts8.2

5001

-Apr

-18

8.500

51

4bp

B3/B

+Co

nsum

er P

rodu

ctsRe

finan

cing

22-O

ctPr

estig

e Br

ands

100.0

102.0

Sr N

ts8.2

5001

-Apr

-18

7.788

58

5bp

B3/B

Cons

umer

Pro

ducts

Acqu

isitio

n Fin

ance

03-A

ugPr

ide In

terna

tiona

l90

0.090

0.0Sr

Nts

6.875

15-A

ug-2

06.8

75

397b

pBa

1/BBB

-En

ergy

Gene

ral C

orpo

rate

03-A

ugPr

ide In

terna

tiona

l30

0.030

0.0Sr

Nts

7.875

15-A

ug-4

07.8

75

384b

pBa

1/BBB

-En

ergy

Gene

ral C

orpo

rate

16-S

epPr

oQue

st LL

C27

5.027

5.0Gu

ar N

ts9.0

0015

-Oct-

189.0

00

664b

pB3

/BDi

versi

fied

Media

Refin

ancin

g29

-Mar

Prov

ident

Fund

ing A

ssoc

iates

400.0

400.0

Sr S

ec N

ts (1

st)10

.250

15-A

pr-1

710

.250

693b

pBa

3/B+

Finan

cial

Refin

ancin

g01

-Dec

Puge

t Ene

rgy

450.0

450.0

Sr S

ec N

ts6.5

0015

-Dec

-20

6.500

35

7bp

Ba2/B

B+Ut

ility

Gene

ral C

orpo

rate

11-A

ugQE

PRe

sour

ces

625.0

619.2

Sr N

ts6.8

7501

-Mar

-21

7.000

41

8bp

Ba1/B

B+En

ergy

Refin

ancin

g01

-Nov

Quali

ty Di

stribu

tion

225.0

223.5

Sr S

ec N

ts (2

nd)

9.875

01-N

ov-1

810

.000

781b

pCa

a1/B

-Tr

ansp

ortat

ionRe

finan

cing

17-M

arQV

C Inc

500.0

500.0

Sr S

ec N

ts (1

st)7.1

2515

-Apr

-17

7.125

40

5bp

Ba2/B

B+Re

tail

Refin

ancin

g17

-Mar

QVC

Inc50

0.050

0.0Sr

Sec

Nts

(1st)

7.375

15-O

ct-20

7.375

37

4bp

Ba2/B

B+Re

tail

Refin

ancin

g07

-Jan

QWes

t Com

munic

ation

s Inte

rnati

onal

800.0

787.5

Sr N

ts7.1

2501

-Apr

-18

7.375

37

8bp

Ba3/B

+Te

lecom

munic

ation

sRe

finan

cing

17-S

epRA

AM G

lobal

Ener

gy15

0.014

8.6Sr

Sec

Nts

(1st)

12.50

001

-Oct-

1512

.750

1132

bpCa

a2/B

Ener

gyRe

finan

cing

09-A

prRa

diatio

n The

rapy

Inc

310.0

308.1

Sr S

ub N

ts9.8

7515

-Apr

-17

10.00

0 66

7bp

Caa1

/CCC

+He

althc

are

Refin

ancin

g31

-Mar

Radn

et Inc

200.0

197.4

Sr N

ts10

.375

01-A

pr-1

810

.625

711b

pCa

a1/C

CC+

Healt

hcar

eRe

finan

cing

Pete

r D

. A

ccia

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270-9

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Tony L

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Nels

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270-1

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Alis

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S d

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So

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by i

ssu

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Sour

ce: J

.P. M

orga

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s23

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Rain

CII C

arbo

n40

0.040

0.0Sr

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Nts

(1st)

8.000

01-D

ec-1

88.0

00

526b

pB1

/BB-

Chem

icals

Refin

ancin

g29

-Jul

Rang

e Re

sour

ces

500.0

500.0

Sr S

ub N

ts6.7

5001

-Aug

-20

6.750

37

5bp

Ba3/B

BEn

ergy

Refin

ancin

g21

-Apr

RBS

Glob

al &

Rexn

ord

1,145

.01,1

45.0

Sr N

ts8.5

0001

-May

-18

8.500

50

9bp

Caa1

/B-

Indus

trials

Refin

ancin

g24

-Feb

RDS

Ultra

-Dee

pwate

r Ltd

270.0

262.3

Sr S

ec N

ts (2

nd)

11.87

515

-Mar

-17

12.50

0 10

16bp

B3/B

-En

ergy

Gene

ral C

orpo

rate

02-F

ebRe

ader

s' Di

gest

Asso

ciatio

n52

5.050

9.3Sr

Sec

FRN

(1st)

3mL+

650

15-F

eb-1

7na

naB1

/BDi

versi

fied

Media

Refin

ancin

g11

-Mar

Reck

son

Oper

ating

Par

tnersh

ip25

0.025

0.0Sr

Nts

7.750

16-M

ar-2

07.7

50

402b

pBa

2/BB+

Finan

cial

Refin

ancin

g26

-Feb

Redd

y Ice

Cor

p30

0.030

0.0Sr

Sec

Nts

(1st)

11.25

015

-Mar

-15

11.25

0 89

6bp

B1/B

-Fo

od a

nd B

ever

ages

Refin

ancin

g10

-Aug

Rega

l Ente

rtainm

ent

275.0

275.0

Sr N

ts9.1

2515

-Aug

-18

9.125

67

6bp

B3/B

-Ga

ming

Lod

ging

and

Leisu

reRe

finan

cing

13-O

ctRe

genc

y Ene

rgy

600.0

600.0

Guar

Nts

6.875

01-D

ec-1

86.8

75

485b

pB1

/B+

Ener

gyRe

finan

cing

13-M

ayRe

nhe

Comm

erica

l Hold

ings

300.0

297.2

Sr N

ts11

.750

18-M

ay-1

512

.000

974b

pBa

2/BB

Hous

ingGe

nera

l Cor

pora

te02

-Sep

Renh

e Co

mmer

ical H

olding

s30

0.030

0.0Sr

Sec

Nts

13.00

010

-Mar

-16

13.00

0 11

26bp

Ba2/B

BHo

using

Gene

ral C

orpo

rate

08-N

ovRe

nhe

Comm

erica

l Hold

ings

300.0

300.0

Sr S

ec N

ts13

.000

10-M

ar-1

613

.000

1150

bpBa

2/BB

Hous

ingGe

nera

l Cor

pora

te28

-Oct

Rent-

A-Ce

nter

300.0

300.0

Sr N

ts6.6

2515

-Nov

-20

6.625

39

6bp

Ba3/B

B-Re

tail

Refin

ancin

g28

-Apr

Reyn

olds G

roup

1,000

.01,0

00.0

Sr N

ts8.5

0015

-May

-18

8.500

50

9bp

Caa1

/B-

Pape

r and

Pac

kagin

gAc

quisi

tion

Finan

ce06

-Oct

Reyn

olds G

roup

1,500

.01,5

00.0

Sr S

ec N

ts (1

st)7.1

2515

-Apr

-19

7.125

49

7bp

Ba3/B

BPa

per a

nd P

acka

ging

Acqu

isitio

n Fin

ance

06-O

ctRe

ynold

s Gro

up1,5

00.0

1,500

.0Sr

Nts

9.000

15-A

pr-1

99.0

00

684b

pCa

a1/B

Pape

r and

Pac

kagin

gAc

quisi

tion

Finan

ce22

-Sep

Rhod

ia SA

400.0

400.0

Sr N

ts6.8

7515

-Sep

-20

6.875

43

3bp

B1/B

BCh

emica

lsRe

finan

cing

09-A

ugRi

te Ai

d Co

rp65

0.065

0.0Sr

Sec

Nts

(1st)

8.000

15-A

ug-2

08.0

00

518b

pB3

/B+

Retai

lRe

finan

cing

14-S

epRo

ad K

ing In

frastr

uctur

e35

0.035

0.0Sr

Nts

9.500

21-S

ep-1

59.5

00

801b

pBa

3/BB-

Hous

ingRe

finan

cing

27-S

epRo

adho

use

Finan

ce35

5.035

5.0Sr

Sec

Nts

(2nd

)10

.750

15-O

ct-17

10.75

0 88

6bp

B2/B

-Fo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

17-M

arRo

ckies

Exp

ress

Pipe

line

LLC

450.0

449.7

Sr N

ts3.9

0015

-Apr

-15

3.913

15

5bp

Ba1/B

BBEn

ergy

Refin

ancin

g17

-Mar

Rock

ies E

xpre

ss P

ipelin

e LL

C75

0.074

9.3Sr

Nts

5.625

15-A

pr-2

05.6

36

200b

pBa

1/BBB

Ener

gyRe

finan

cing

17-M

arRo

ckies

Exp

ress

Pipe

line

LLC

500.0

499.2

Sr N

ts6.8

7515

-Apr

-40

6.888

23

2bp

Ba1/B

BBEn

ergy

Refin

ancin

g08

-Nov

Roofi

ng S

upply

Gro

up22

5.022

5.0Sr

Sec

Nts

(1st)

8.625

01-D

ec-1

78.6

25

686b

pB2

/B+

Hous

ingRe

finan

cing

12-A

prRo

setta

Res

ource

200.0

200.0

Sr U

nsec

Nts

9.500

15-A

pr-1

89.5

00

598b

pCa

a1/B

+En

ergy

Refin

ancin

g29

-Sep

Rotec

h He

althc

are

230.0

223.5

Sr S

ec N

ts (1

st)10

.750

15-O

ct-15

11.50

0 10

22bp

B1/B

+He

althc

are

Refin

ancin

g26

-Jan

Ryer

son

Holdi

ng C

orp

483.0

220.2

Sr D

isc N

ts0/1

4.501

-Feb

-15

16.32

0 13

98bp

Caa3

/CCC

Metal

s and

Mini

ngOt

her

15-A

prRy

land

Grou

p30

0.030

0.0Sr

Nts

6.625

01-M

ay-2

06.6

25

279b

pBa

3/BB-

Hous

ingRe

finan

cing

09-F

ebSa

ble In

terna

tiona

l Fina

nce

500.0

500.0

Sr S

ec N

ts (1

st)7.7

5015

-Feb

-17

7.750

46

8bp

Ba2/B

B-Te

lecom

munic

ation

sRe

finan

cing

22-O

ctSa

bra

Healt

h Ca

re L

P25

0.025

0.0Sr

Nts

8.125

01-N

ov-1

88.1

25

606b

pB2

/BFin

ancia

lRe

finan

cing

08-S

epSc

ientifi

c Gam

es25

0.025

0.0Sr

Sub

Nts

8.125

15-S

ep-1

88.1

25

586b

pB1

/BB-

Gami

ng L

odgin

g an

d Le

isure

Refin

ancin

g11

-Jan

Scott

s Mira

cle-G

ro C

ompa

ny20

0.019

8.5Sr

Nts

7.250

15-Ja

n-18

7.375

38

1bp

B1/B

+Co

nsum

er P

rodu

ctsRe

finan

cing

30-S

epSe

adrill

Ltd

350.0

350.0

Sr N

ts6.5

0005

-Oct-

156.5

00

500b

pNR

/NR

Ener

gyGe

nera

l Cor

pora

te29

-Apr

Seag

ate H

DD C

ayma

n60

0.060

0.0Sr

Uns

ec N

ts6.8

7501

-May

-20

6.875

31

2bp

Ba3/B

+Te

chno

logy

Refin

ancin

g08

-Dec

Seag

ate H

DD C

ayma

n75

0.075

0.0Gu

ar N

ts7.7

5015

-Dec

-18

7.750

45

1bp

Ba1/B

B+Te

chno

logy

Gene

ral C

orpo

rate

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A17

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s30

-Sep

Sear

s Hold

ing1,0

00.0

1,000

.0Sr

Sec

Nts

6.625

15-O

ct-18

6.625

45

1bp

Ba1/B

B+Re

tail

Refin

ancin

g03

-Nov

Semi

nole

Tribe

of F

lorida

330.0

330.0

Sr N

ts7.7

5001

-Oct-

177.7

50

594b

pBa

1/BBB

-Ga

ming

Lod

ging

and

Leisu

reGe

nera

l Cor

pora

te08

-Nov

Sene

ca G

aming

325.0

325.0

Sr N

ts8.2

5001

-Dec

-18

8.250

62

2bp

B1/B

BGa

ming

Lod

ging

and

Leisu

reRe

finan

cing

06-A

prSe

nior H

ousin

g20

0.019

7.9Sr

Uns

ec N

ts6.7

5015

-Apr

-20

6.900

29

4bp

Ba1/B

BB-

Healt

hcar

eRe

finan

cing

17-N

ovSe

rvice

Cor

p Int

erna

tiona

l25

0.025

0.0Sr

Nts

7.000

15-M

ay-1

97.0

00

447b

pB1

/BB-

Servi

ces

Refin

ancin

g08

-Feb

Seve

rstal

Colum

bus

525.0

514.5

Sr S

ec N

ts (1

st)10

.250

15-F

eb-1

810

.625

736b

pB3

/BMe

tals a

nd M

ining

Refin

ancin

g27

-Jul

Shim

ao P

rope

rty50

0.050

0.0Sr

Nts

9.650

03-A

ug-1

79.6

50

718b

pB1

/BB-

Hous

ingRe

finan

cing

29-O

ctSi

mmon

s Foo

ds26

5.026

5.0Sr

Sec

Nts

(2nd

)10

.500

01-N

ov-1

710

.500

860b

pB3

/B-

Food

and

Bev

erag

esAc

quisi

tion

Finan

ce21

-Sep

Sinc

lair T

elevis

ion25

0.024

6.4Sr

Nts

8.375

15-O

ct-18

8.500

63

0bp

B2/B

-Br

oadc

astin

gRe

finan

cing

14-O

ctSi

no-F

ores

t Cor

p60

0.060

0.0Gu

ar N

ts6.2

5021

-Oct-

176.2

50

509b

pBa

2/BB

Pape

r and

Pac

kagin

gGe

nera

l Cor

pora

te12

-Mar

Siriu

s XM

Radio

800.0

800.0

Sr N

ts8.7

5001

-Apr

-15

8.750

63

4bp

Caa2

/B-

Cable

and

Sate

llite

Refin

ancin

g16

-Mar

Sitel

Inc

300.0

292.4

Sr U

nsec

Nts

11.50

001

-Apr

-18

12.00

0 85

8bp

Caa2

/B-

Servi

ces

Refin

ancin

g21

-May

Skills

oft31

0.030

8.0Sr

Nts

11.12

501

-Jun-

1811

.250

836b

pCa

a1/B

-Te

chno

logy

Acqu

isitio

n Fin

ance

17-M

arSL

M Co

rp1,5

00.0

1,474

.8Sr

Nts

8.000

25-M

ar-2

08.2

50

462b

pBa

1/BBB

-Fin

ancia

lGe

nera

l Cor

pora

te02

-Mar

Solut

ia Inc

300.0

298.5

Sr N

ts7.8

7515

-Mar

-20

7.948

43

4bp

B2/B

+Ch

emica

lsRe

finan

cing

09-M

arSo

nic A

utomo

tive

210.0

208.5

Sr S

ub N

ts9.0

0015

-Mar

-18

9.125

57

9bp

Caa1

/B-

Autom

otive

Refin

ancin

g14

-Jan

Sore

nson

Com

munic

ation

s Inc

735.0

721.0

Sr S

ec N

ts (2

nd)

10.50

001

-Feb

-15

11.00

0 85

3bp

NR/C

CC+

Servi

ces

Othe

r28

-Apr

South

ern

State

s13

0.012

6.4Sr

Nts

11.25

015

-May

-15

12.00

0 87

5bp

B3/B

+Fo

od a

nd B

ever

ages

Refin

ancin

g04

-Nov

Span

sion

200.0

200.0

Sr N

ts7.8

7515

-Nov

-17

7.875

61

6bp

NR/B

Tech

nolog

yRe

finan

cing

04-Ju

nSp

ectru

m Br

ands

750.0

739.8

Sr S

ec N

ts (1

st)9.5

0015

-Jun-

189.7

50

687b

pB2

/BCo

nsum

er P

rodu

ctsAc

quisi

tion

Finan

ce15

-Nov

Spirit

Aer

osys

tem30

0.030

0.0Gu

ar N

ts6.7

5015

-Dec

-20

6.750

38

3bp

Ba3/B

B-Ind

ustria

lsRe

finan

cing

10-A

ugSP

X Co

rp60

0.060

0.0Gu

ar N

ts6.8

7501

-Sep

-17

6.875

47

2bp

Ba2/B

B+Ind

ustria

lsRe

finan

cing

01-A

prSq

uare

Two

Finan

cial C

orp

290.0

285.0

Sr S

ec N

ts (2

nd)

11.62

501

-Apr

-17

12.00

0 86

8bp

B2/N

RFin

ancia

lRe

finan

cing

09-F

ebSt

allion

Oilfi

eld22

5.022

2.9Sr

Sec

Nts

10.50

015

-Feb

-15

10.75

0 84

9bp

B3/B

-En

ergy

Refin

ancin

g21

-Apr

Stan

dard

Pac

ific C

orp

300.0

300.0

Guar

Nts

8.375

15-M

ay-1

88.3

75

497b

pB3

/B-

Hous

ingRe

finan

cing

07-D

ecSt

anda

rd P

acific

Cor

p27

5.028

1.2Sr

Nts

8.375

15-M

ay-1

87.9

64

482b

pB3

/BHo

using

Refin

ancin

g07

-Dec

Stan

dard

Pac

ific C

orp

400.0

396.6

Sr N

ts8.3

7515

-Jan-

218.5

00

536b

pB3

/BHo

using

Refin

ancin

g15

-Apr

Stan

dard

Stee

l14

0.013

5.0Sr

Sec

Nts

(1st)

12.00

001

-May

-15

13.00

0 94

6bp

Caa1

/BMe

tals a

nd M

ining

Refin

ancin

g10

-Nov

Star

Gas

Par

tner

125.0

124.2

Sr N

ts8.8

7501

-Dec

-17

9.000

71

9bp

B2/B

-En

ergy

Refin

ancin

g12

-Nov

State

r Bro

thers

255.0

255.0

Sr N

ts7.3

7515

-Nov

-18

7.375

51

4bp

B2/B

+Re

tail

Refin

ancin

g04

-Aug

STAT

S Ch

ipPAC

600.0

600.0

Guar

Nts

7.500

12-A

ug-1

57.5

00

588b

pBa

1/BB+

Tech

nolog

yRe

finan

cing

11-M

arSt

eel D

ynam

ics35

0.035

0.0Sr

Nts

7.625

15-M

ar-2

07.6

25

390b

pBa

2/BB+

Metal

s and

Mini

ngRe

finan

cing

12-Ja

nSt

one

Ener

gy C

orp

275.0

271.5

Sr N

ts8.6

2501

-Feb

-17

8.875

56

7bp

Caa1

/BB-

Ener

gyRe

finan

cing

12-N

ovSt

one

Ener

gy C

orp

100.0

100.5

Sr N

ts8.6

2501

-Feb

-17

8.515

65

2bp

Caa1

/BEn

ergy

Gene

ral C

orpo

rate

24-S

epSt

oner

idge

Inc17

5.017

5.0Sr

Sec

Nts

(1st)

9.500

15-O

ct-17

9.500

75

2bp

B3/B

+Au

tomoti

veRe

finan

cing

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

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ield

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2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

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2010

A18

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

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10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

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uer

($ m

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Secu

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Coup

on %

Matu

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Yield

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read

Ratin

gsSe

ctor

Use o

f pro

ceed

s01

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Stra

tus Te

chno

logies

Inc

215.0

207.3

Sr S

ec N

ts (1

st)12

.000

29-M

ar-1

513

.000

1046

bpB2

/B+

Tech

nolog

yRe

finan

cing

10-M

arSu

burb

an P

ropa

ne P

artne

rs25

0.024

7.8Sr

Nts

7.375

15-M

ar-2

07.5

00

376b

pBa

3/BB-

Ener

gyRe

finan

cing

01-N

ovSu

ngar

d Da

ta Sy

stem

700.0

700.0

Sr N

ts7.6

2515

-Nov

-20

7.625

50

0bp

Caa1

/BTe

chno

logy

Refin

ancin

g01

-Nov

Sung

ard

Data

Syste

m90

0.090

0.0Sr

Nts

7.375

15-N

ov-1

87.3

75

519b

pCa

a1/B

Tech

nolog

yRe

finan

cing

30-A

prSu

sser

Hold

ing &

Fina

nce

425.0

420.1

Sr N

ts8.5

0015

-May

-16

8.750

58

4bp

B2/B

+Re

tail

Refin

ancin

g27

-Apr

Sync

reon

Glob

al30

0.030

0.0Sr

Nts

9.500

01-M

ay-1

89.5

00

607b

pB3

/BSe

rvice

sRe

finan

cing

10-A

ugTa

rga

Reso

urce

s Par

tners

250.0

250.0

Guar

Nts

7.875

15-O

ct-18

7.875

55

7bp

B1/B

+En

ergy

Refin

ancin

g15

-Jan

Teek

ay C

orp

450.0

446.3

Sr N

ts8.5

0015

-Jan-

208.6

25

492b

pB1

/BB

Tran

spor

tation

Refin

ancin

g22

-Apr

Telco

rdia

Tech

nolog

ies35

0.035

0.0Sr

Sec

Nts

(2nd

)11

.000

01-M

ay-1

811

.000

760b

pCa

a2/C

CC+

Tech

nolog

yRe

finan

cing

16-S

epTe

lemov

il Fina

nce

450.0

444.1

Guar

Nts

8.000

01-O

ct-17

8.250

63

1bp

B1/B

BTe

lecom

munic

ation

sRe

finan

cing

10-A

ugTe

mbec

Indu

stries

255.0

251.7

Sr S

ec N

ts (1

st)11

.250

15-D

ec-1

811

.500

921b

pB3

/B-

Pape

r and

Pac

kagin

gRe

finan

cing

03-A

ugTe

net H

ealth

care

600.0

600.0

Sr N

ts8.0

0001

-Aug

-20

8.000

50

9bp

Caa1

/CCC

+He

althc

are

Refin

ancin

g29

-Jul

Tenn

eco

225.0

225.0

Sr N

ts7.7

5015

-Aug

-18

7.750

51

7bp

B2/B

Autom

otive

Refin

ancin

g09

-Dec

Tenn

eco

500.0

500.0

Guar

Nts

6.875

15-D

ec-2

06.8

75

366b

pB2

/B+

Autom

otive

Refin

ancin

g23

-Apr

Terre

mark

Wor

ldwide

50.0

56.0

Sr S

ec N

ts (1

st)12

.000

15-Ju

n-17

9.250

59

9bp

B1/B

-Te

chno

logy

Refin

ancin

g08

-Nov

Terre

mark

Wor

ldwide

75.0

74.3

Sr S

ec N

ts (2

nd)

9.500

15-N

ov-1

39.8

94

939b

pNR

/NR

Tech

nolog

yGe

nera

l Cor

pora

te15

-Oct

Texa

s Com

petiti

ve E

lectric

Hold

ing35

0.035

0.0Sr

Sec

Nts

(2nd

)15

.000

01-A

pr-2

115

.000

1238

bpCa

a2/C

CCUt

ility

Refin

ancin

g27

-Jul

Texa

s Ind

ustrie

s65

0.065

0.0Sr

Nts

9.250

15-A

ug-2

09.2

50

620b

pB3

/BHo

using

Refin

ancin

g04

-Feb

The

McCl

atchy

Com

pany

875.0

864.7

Sr S

ec N

ts (1

st)11

.500

15-F

eb-1

711

.750

866b

pB1

/B-

Dive

rsifie

d Me

diaRe

finan

cing

17-N

ovTh

erma

dyne

Hold

ings

260.0

260.0

Sr S

ec N

ts (1

st)9.0

0015

-Dec

-17

9.000

68

6bp

B3/B

-Ind

ustria

lsAc

quisi

tion

Finan

ce23

-Apr

Ther

mon

Indus

tries

210.0

210.0

Sr S

ec N

ts (1

st)9.5

0001

-May

-17

9.500

62

2bp

B1/B

+Ind

ustria

lsAc

quisi

tion

Finan

ce22

-Sep

Titan

Inter

natio

nal In

c20

0.020

0.0Sr

Sec

Nts

(1st)

7.875

01-O

ct-17

7.875

59

3bp

B1/B

+Ind

ustria

lsRe

finan

cing

16-Ju

nTit

leMax

Fina

nce

250.0

247.7

Sr S

ec N

ts13

.250

15-Ju

l-15

13.50

0 11

21bp

NR/B

+Fin

ancia

lRe

finan

cing

09-F

ebTo

ps M

arke

ts75

.076

.1Sr

Sec

Nts

10.12

515

-Oct-

159.7

10

734b

pB3

/BRe

tail

Refin

ancin

g13

-Aug

Towe

r Auto

motiv

e43

0.041

7.2Sr

Sec

Nts

10.62

501

-Sep

-17

11.25

0 91

8bp

B1/B

Autom

otive

Refin

ancin

g16

-Aug

Toys

R U

S35

0.035

0.0Sr

Sec

Nts

(2nd

)7.3

7501

-Sep

-16

7.375

56

7bp

B1/B

B-Re

tail

Refin

ancin

g29

-Sep

TPC

Grou

p LL

C35

0.034

7.7Sr

Sec

Nts

(1st)

8.250

01-O

ct-17

8.375

65

1bp

B1/B

+Ch

emica

lsRe

finan

cing

10-Ju

nTr

ans U

nion

645.0

645.0

Sr N

ts11

.375

15-Ju

n-18

11.37

5 84

8bp

B3/B

-Se

rvice

sAc

quisi

tion

Finan

ce01

-Dec

Tran

sdigm

1,550

.01,5

50.0

Sr S

ub N

ts7.7

5015

-Dec

-18

7.750

52

6bp

B3/B

-Ind

ustria

lsAc

quisi

tion

Finan

ce12

-Aug

Trav

elpor

t25

0.025

0.0Gu

ar N

ts9.0

0001

-Mar

-16

9.000

73

5bp

B3/C

CC+

Servi

ces

Refin

ancin

g19

-Feb

Tree

hous

e Fo

ods I

nc40

0.040

0.0Sr

Uns

ec N

ts7.7

5001

-Mar

-18

7.750

42

7bp

Ba2/B

B-Fo

od a

nd B

ever

ages

Acqu

isitio

n Fin

ance

03-A

ugTr

ilogy

Inter

natio

nal P

artne

rs37

0.036

5.9Sr

Sec

Nts

(1st)

10.25

015

-Aug

-16

10.50

0 85

0bp

Caa1

/CCC

+Te

lecom

munic

ation

sRe

finan

cing

09-D

ecTr

inida

d Dr

illing

450.0

446.6

Sr N

ts7.8

7515

-Jan-

198.0

00

520b

pB2

/BB-

Ener

gyRe

finan

cing

08-Ju

nTr

iumph

Gro

up35

0.034

7.4Sr

Nts

8.625

15-Ju

l-18

8.750

59

2bp

Ba3/B

+Ind

ustria

lsAc

quisi

tion

Finan

ce15

-Oct

Tutor

Per

ini C

orp

300.0

297.8

Guar

Nts

7.625

01-N

ov-1

87.7

50

559b

pBa

3/BB-

Indus

trials

Gene

ral C

orpo

rate

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

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(1-2

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834-9

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No

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Am

eri

can

Hig

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Researc

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2010 H

igh

-Yie

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nn

ual

Revie

w

Decem

ber

2010

A19

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

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dsIss

uanc

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uer

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n)($

mn)

Secu

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Coup

on %

Matu

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Yield

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Ratin

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ctor

Use o

f pro

ceed

s04

-Mar

TW Te

lecom

Hold

ings

430.0

426.9

Sr N

ts8.0

0001

-Mar

-18

8.125

48

8bp

B2/B

-Te

lecom

munic

ation

sRe

finan

cing

11-Ja

nUn

ited A

ir Lin

es50

0.049

6.3Sr

Sec

Nts

(1st)

9.875

01-A

ug-1

310

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831b

pB3

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Tran

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tation

Gene

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rate

11-Ja

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es20

0.019

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Sec

Nts

(2nd

)12

.000

01-N

ov-1

313

.625

1181

bpCa

a2/C

CCTr

ansp

ortat

ionGe

nera

l Cor

pora

te21

-Oct

Unite

d Re

ntals

North

Ame

rica

750.0

750.0

Sr S

ub N

ts8.3

7515

-Sep

-20

8.375

58

6bp

Caa1

/CCC

+Se

rvice

sRe

finan

cing

15-S

epUn

iversa

l Hea

lth S

ervic

es25

0.025

0.0Sr

Nts

7.000

01-O

ct-18

7.000

46

3bp

B1/B

+He

althc

are

Acqu

isitio

n Fin

ance

18-O

ctUn

ivisio

n Co

mmun

icatio

ns75

0.075

0.0Sr

Sec

Nts

(1st)

7.875

01-N

ov-2

07.8

75

537b

pB2

/B-

Broa

dcas

ting

Refin

ancin

g09

-Nov

Univi

sion

Comm

unica

tions

500.0

500.0

Sr N

ts7.8

7515

-Jan-

197.8

75

563b

pB3

/BBr

oadc

astin

gGe

nera

l Cor

pora

te13

-Jan

Urbi

Desa

rrollo

s Urb

anos

300.0

295.3

Sr N

ts9.5

0021

-Jan-

209.7

50

596b

pBa

3/NR

Hous

ingGe

nera

l Cor

pora

te16

-Mar

US S

teel C

orp

600.0

594.8

Sr N

ts7.3

7501

-Apr

-20

7.500

38

2bp

Ba2/B

BMe

tals a

nd M

ining

Gene

ral C

orpo

rate

04-N

ovUS

G Co

rp35

0.035

0.0Sr

Nts

8.375

15-O

ct-18

8.375

64

0bp

B2/B

BHo

using

Gene

ral C

orpo

rate

06-A

prVa

leant

Phar

mace

utica

ls40

0.040

0.0Sr

Uns

ec N

ts7.6

2515

-Mar

-20

7.625

36

7bp

Ba3/B

B-He

althc

are

Acqu

isitio

n Fin

ance

21-S

epVa

leant

Phar

mace

utica

ls50

0.049

7.5Sr

Nts

6.750

01-O

ct-17

6.800

48

1bp

B1/N

RHe

althc

are

Acqu

isitio

n Fin

ance

21-S

epVa

leant

Phar

mace

utica

ls70

0.069

5.6Sr

Nts

7.000

01-O

ct-20

7.150

44

3bp

B1/N

RHe

althc

are

Acqu

isitio

n Fin

ance

18-N

ovVa

leant

Phar

mace

utica

ls1,0

00.0

992.4

Sr N

ts6.8

7501

-Dec

-18

7.000

46

9bp

B1/B

B-He

althc

are

Refin

ancin

g07

-Apr

Valm

ont I

ndus

tries

300.0

300.0

Sr N

ts6.6

2520

-Apr

-20

6.625

27

7bp

Ba1/B

BB-

Indus

trials

Acqu

isitio

n Fin

ance

20-Ja

nVa

ngua

rd H

ealth

Hold

ing95

0.093

6.3Gu

ar N

ts8.0

0001

-Feb

-18

8.250

49

4bp

B3/C

CC+

Healt

hcar

eRe

finan

cing

29-Ju

nVa

ngua

rd H

ealth

Hold

ing22

5.021

6.6Sr

Nts

8.000

01-F

eb-1

88.6

85

629b

pB3

/CCC

+He

althc

are

Acqu

isitio

n Fin

ance

26-Ju

lVa

ntage

Drill

ing1,0

00.0

963.6

Sr S

ec N

ts (1

st)11

.500

01-A

ug-1

512

.500

978b

pB3

/B-

Ener

gyAc

quisi

tion

Finan

ce15

-Apr

Vecto

r Gro

up75

.075

.8Gu

ar N

ts11

.000

15-A

ug-1

510

.740

846b

pNR

/NR

Food

and

Bev

erag

esGe

nera

l Cor

pora

te30

-Nov

Vecto

r Gro

up90

.092

.7Sr

Sec

Nts

11.00

015

-Aug

-15

9.999

95

3bp

B1/B

+Fo

od a

nd B

ever

ages

Gene

ral C

orpo

rate

12-Ja

nVe

rso P

aper

25.0

27.4

Sr S

ec N

ts (1

st)11

.500

01-Ju

l-14

8.204

64

9bp

Ba2/B

+Pa

per a

nd P

acka

ging

Gene

ral C

orpo

rate

27-S

epVe

rtellu

s Spe

cialtie

s34

5.034

5.0Sr

Sec

Nts

9.375

01-O

ct-15

9.375

81

0bp

B1/B

Chem

icals

Refin

ancin

g29

-Oct

Vikin

g Acq

uisitio

n27

5.027

5.0Sr

Nts

9.250

01-N

ov-1

89.2

50

706b

pCa

a1/C

CC+

Cons

umer

Pro

ducts

Acqu

isitio

n Fin

ance

13-Ja

nVi

rgin

Media

Fina

nce

1,000

.098

4.9Sr

Sec

Nts

(1st)

6.500

15-Ja

n-18

6.750

32

5bp

Ba2/B

BCa

ble a

nd S

atellit

eRe

finan

cing

17-S

epVi

sant

Corp

750.0

750.0

Sr N

ts10

.000

01-O

ct-17

10.00

0 78

8bp

Caa1

/B-

Cons

umer

Pro

ducts

Refin

ancin

g28

-Apr

Visk

ase

Co40

.040

.4Sr

Sec

Nts

(1st)

9.875

15-Ja

n-18

9.683

64

8bp

B2/B

-Fo

od a

nd B

ever

ages

Gene

ral C

orpo

rate

30-Ju

lVi

terra

Inc

400.0

397.9

Sr N

ts5.9

5001

-Aug

-20

6.000

31

0bp

Ba1/B

BB-

Food

and

Bev

erag

esRe

finan

cing

12-A

ugW

arne

r Chil

cott

750.0

750.0

Guar

Nts

7.750

15-S

ep-1

87.7

50

550b

pB3

/B+

Healt

hcar

eRe

finan

cing

24-S

epW

arne

r Chil

cott

500.0

510.0

Guar

Nts

7.750

15-S

ep-1

87.3

25

514b

pB3

/B+

Healt

hcar

eAc

quisi

tion

Finan

ce30

-Sep

Wes

t Cor

p50

0.050

0.0Sr

Nts

8.625

01-O

ct-18

8.625

65

1bp

B3/B

Servi

ces

Refin

ancin

g09

-Nov

Wes

t Cor

p65

0.065

0.0Sr

Nts

7.875

15-Ja

n-19

7.875

56

3bp

B3/B

Servi

ces

Refin

ancin

g20

-Aug

Wes

tern A

llianc

e75

.073

.9Sr

Nts

10.00

001

-Sep

-15

10.25

0 89

7bp

Ba3/N

RFin

ancia

lUn

know

n09

-Apr

Wes

tern

Expr

ess

285.0

270.0

Sr S

ec N

ts (1

st)12

.500

15-A

pr-1

514

.000

1133

bpCa

a1/C

CC+

Tran

spor

tation

Refin

ancin

g21

-Sep

Whit

ing P

etrole

um35

0.035

0.0Sr

Sub

Nts

6.500

01-O

ct-18

6.500

42

5bp

Ba3/B

BEn

ergy

Refin

ancin

g18

-Nov

Wind

Acq

uisitio

n1,3

00.0

1,291

.2Sr

Sec

Nts

(1st)

7.250

15-F

eb-1

87.3

75

513b

pBa

2/BB-

Telec

ommu

nicati

ons

Refin

ancin

g

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A20

A

2010 U

S d

olla

r new

issues (

thro

ugh D

ecem

ber

10,

2010)

So

rted

by i

ssu

er

Sour

ce: J

.P. M

orga

n.

Amou

ntPr

ocee

dsIss

uanc

eDa

teIss

uer

($ m

n)($

mn)

Secu

rity

Coup

on %

Matu

rity

Yield

%Sp

read

Ratin

gsSe

ctor

Use o

f pro

ceed

s12

-Jul

Wind

strea

m Co

rp40

0.039

7.0Sr

Nts

8.125

01-S

ep-1

88.2

50

556b

pBa

3/B+

Telec

ommu

nicati

ons

Refin

ancin

g22

-Sep

Wind

strea

m Co

rp50

0.050

0.0Sr

Nts

7.750

15-O

ct-20

7.750

52

3bp

Ba3/B

+Te

lecom

munic

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sAc

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Finan

ce14

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Wire

co W

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275.0

268.2

Sr N

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0015

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10.00

0 71

8bp

B3/B

Indus

trials

Refin

ancin

g22

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Wyle

Ser

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175.0

172.7

Sr S

ub N

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810

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Indus

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Refin

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-Feb

Wyn

dham

Wor

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250.0

250.0

Sr N

ts7.3

7501

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7.375

35

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Ba1/B

BB-

Gami

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d Le

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Wor

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250.0

249.9

Sr N

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36

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87.6

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Sr N

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62

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rate

08-D

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Pro

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14.00

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B2/B

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l Cor

pora

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Zayo

Gro

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LC25

0.024

6.9Sr

Sec

Nts

(1st)

10.25

015

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10.50

0 73

9bp

B2/B

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sRe

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14-S

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15-M

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79.6

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Acqu

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8,007

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6,179

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498.8

47

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p

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180.0

18

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261.2

Sr

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27

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374.9

Gu

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5069

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lsEU

R37

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369.5

51

4.6

Sr S

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2550

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03-D

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26

8.3

Sr N

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7515

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8.875

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77

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Cege

dimEU

R30

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296.9

37

8.7

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0027

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57.2

5056

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14-O

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T21

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R17

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170.0

23

9.4

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R40

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391.6

51

7.7

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74

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7.500

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77.6

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cing

27-S

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61

7.9

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6.500

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Hold

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50

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637.7

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87.1

2547

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24

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366.2

Gu

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79.7

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G Int

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tiona

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148.5

22

9.1

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ts8.7

5003

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8.838

673b

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19

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097

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nera

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Euro

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24

6.8

305.3

Sr

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9.750

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10.00

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sRe

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18-N

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R40

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400.0

54

5.7

Sr N

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080

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g07

-Jul

FCE

Bank

EUR

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39

8.7

503.9

Sr

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7.250

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7.375

659b

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Gene

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09-N

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396.7

63

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EUR

1,000

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1,358

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7.500

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57.6

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lberg

Ceme

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EUR

650.0

64

2.6

926.0

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6.500

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56.7

5042

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EUR

750.0

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EUR

650.0

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6.1

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270-1

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Alis

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R40

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397.9

49

2.2

Sr S

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0031

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58.6

2573

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B1/B

Autom

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Refin

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470.0

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79.7

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Refin

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EUR

300.0

30

0.0

384.4

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9.250

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59.2

5074

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B2/B

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30-Ju

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l Per

sona

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EUR

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11.50

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R25

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248.3

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Guar

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7.250

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77.3

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Ba3/B

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Gene

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09-F

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NV

EUR

200.0

20

0.0

275.9

Sr

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9.500

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79.5

0068

6bp

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Hold

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VEU

R60

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9.500

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77.9

5960

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B2/B

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Gene

ral C

orpo

rate

25-M

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S Ho

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sEU

R12

7.5

126.5

16

7.8

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ts8.8

7515

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8.552

613b

pCa

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EUR

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7.4

213.8

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7.500

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7.750

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EUR

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78

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10.62

528

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1710

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Chem

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Acqu

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202.0

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Refin

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7.625

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77.6

2543

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Ba2/B

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ming

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ging

and

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reRe

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cing

28-A

prLe

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sEU

R30

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39

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cing

22-Ja

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ster U

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GBP

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5.2

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8.750

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79.1

2556

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Sr

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78.8

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nce

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22

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2531

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Mome

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Per

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206.5

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9.500

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694b

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lsRe

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cing

09-D

ecNa

lcoEU

R20

0.0

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26

4.8

Sr N

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7515

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196.8

7540

8bp

Ba2/B

B-Ch

emica

lsRe

finan

cing

15-O

ctNa

ra C

able

Fund

ingEU

R70

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700.0

97

8.4

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ec N

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7501

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8.875

671b

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ancin

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ld Re

sour

ces

EUR

475.0

47

5.0

638.2

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Sec

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7.875

01-M

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Defaults2010 US high-yield bond defaults


Company Debt ($ mn) Default action IndustryJanuaryNeenah Foundry 225.0 Filed Chapter 11 Metals and MiningUno Restaurant Holdings 142.0 Filed Chapter 11 Food and BeveragesDefaulted Debt : 367.0Number of Companies 2

FebruarySpheris Operating 125.0 Filed Chapter 11 HealthcareDefaulted Debt : 125.0Number of Companies 1

MarchNo defaults 0.0

AprilUS Concrete 272.6 Pre-packaged Chapter 11 HousingDefaulted Debt : 272.6Number of Companies 1

MayNeff Rental 34.3 Pre-packaged Chapter 11 ServicesDefaulted Debt : 34.3Number of Companies 1

JuneNetwork Communications 175.0 Grace experied Diversified MediaDefaulted Debt : 175.0Number of Companies 1

JulyTruvo USA LLC 200.0 Filed Chapter 11 Diversified MediaDefaulted Debt : 200.0Number of Companies 1

AugustFGIC Corp 261.9 Filed Chapter 11 FinancialPenhall International 175.0 Missed Interest Payment ServicesDefaulted Debt : 436.9Number of Companies 2

SeptemberBlockbuster 930.0 Filed Chapter 11 RetailDefaulted Debt : 930.0Number of Companies 1

OctoberAngiotech Pharmaceuticals 575.0 Missed interest payment HealthcareLoehman's Capital 110.0 Missed interest payment RetailTerreStar Networks 995.6 Filed Chapter 11 Cable and SatelliteWolverine Tube 131.1 Filed Chapter 11 IndustrialsDefaulted Debt : 1,811.7Number of Companies 4







December 2010

A24

C







December 2010

A25

CDefaults2010 US high-yield bond defaults (continued)

Company Debt ($ mn) Default action IndustryNovemberAmbac Financial Group 1,247.2 Filed Chapter 11 FinancialAmerican Media Operations 387.3 Pre-packaged Chapter 11 Diversified MediaIndianapolois Downs 447.6 Missed interest payment Gaming Lodging and LeisureLocal Insight Regatta Holdings 210.5 Filed Chapter 11 Diversified MediaVertis Holdings 736.1 Filed Chapter 11 Diversified MediaDefaulted Debt : 3,028.8Number of Companies 5

Total defaulted debt: 7,381.3Number of issuers: 19Default rate (Par-weighted): 0.74%Default rate (Issuer-weighted): 2.16%Source: J.P. Morgan.







December 2010

A26

C

Note: 2010 data is through November 30, 2010.Sources: J.P. Morgan; Moody’s Investors Service; Bond Investors Association.

1970 933.0 31 30.1 8.78% 8.78%1971 125.0 4 31.3 1.03% 1.03%1972 273.0 9 30.3 2.07% 2.07%1973 200.0 8 25.0 0.76% 0.76%1974 289.0 8 36.1 0.81% 0.81%1975 320.0 8 40.0 1.60% 1.60%1976 114.0 5 22.8 0.80% 0.80%1977 430.0 8 53.8 1.67% 1.67%1978 192.0 5 38.4 1.67% 1.67%1979 31.0 2 15.5 0.40% 0.40%1980 297.9 8 37.2 1.57% 1.62%1981 119.7 10 12.0 0.42% 0.71%1982 1,063.0 23 46.2 3.44% 3.57%1983 588.0 17 34.6 1.62% 3.89%1984 992.8 18 55.2 2.09% 3.39%1985 2,549.7 23 110.9 3.84% 3.99%1986 3,619.4 27 134.1 3.48% 5.81%1987 10,272.5 28 366.9 6.87% 4.32%1988 5,048.1 33 153.0 2.80% 3.53%1989 15,055.4 49 307.3 7.20% 5.76%1990 22,856.5 51 448.2 10.89% 9.74%1991 22,002.4 62 354.9 11.54% 10.42%1992 8,190.5 31 264.2 4.45% 5.16%1993 4,681.1 20 234.1 2.33% 3.84%1994 3,361.8 16 210.1 1.46% 2.63%1995 7,216.5 37 195.0 2.82% 5.73%1996 4,759.7 18 264.4 1.64% 2.36%1997 5,239.2 26 201.5 1.45% 2.70%1998 7,988.1 47 170.0 1.73% 3.95%1999 22,013.0 86 256.0 4.10% 6.99%2000 28,332.9 116 244.2 5.03% 9.69%2001 55,985.5 138 405.7 9.13% 12.05%2002 55,591.5 87 639.0 7.98% 8.67%2003 24,921.9 61 408.6 3.32% 6.42%2004 8,637.5 29 297.8 1.10% 2.91%2005 22,857.0 21 1,088.4 2.81% 2.13%2006 7,305.0 18 405.8 0.87% 1.88%2007 3,244.2 11 294.9 0.38% 1.20%2008 19,446.1 42 463.0 2.25% 4.94%2009 94,635.7 70 1,351.9 10.27% 8.59%2010 7,381.3 19 388.5 0.74% 2.16%25-yr avg. 18,825.7 46 381.9 4.27% 5.34%

High-yield defaultsBy year

Average Default Default Rate Default RateYear Amount ($ mn) Number Size ($ mn) (par-weighted) (issuer-weighted)







December 2010

A27

CDefaults2010 institutional bank loan defaults


Company Debt ($ mn) Default action IndustryJanuaryThomas Nelson 161.5 Missed interest payment Diversified MediaGateway Casino (New World Gaming) 1,104.8 Missed interest payment Gaming Lodging and LeisureInternational Aluminum 98.8 Filed Chapter 11 HousingJacuzzi Brands 175.0 Recapitilization IndustrialsNatural Products 565.0 Prepackaged chapter 11 Consumer ProductsRegent Broadcasting 105.8 Missed interest payment BroadcastingDefaulted Debt : 2,210.9Number of Companies 6

FebruaryMega Brands 248.3 Filed Chapter 15 Consumer ProductsMovie Gallery 540.9 Filed Chapter 11 RetailPenton Media 869.0 Filed Chapter 11 Diversified MediaSpheris Operating 100.0 Filed Chapter 11 HealthcareWhite Birch Paper Company 542.2 Filed Chapter 11 Paper and PackagingDefaulted Debt : 2,300.4Number of Companies 5

MarchElectrical Components International 286.4 Prepackaged Chapter 11 UtilityEnviroSolutions Holdings 188.5 Filed Chapter 11 ServicesXerium Technologies 298.8 Prepackaged Chapter 11 Paper and PackagingDefaulted Debt : 773.7Number of Companies 3

AprilGreen Valley Ranch 763.5 Filed Chapter 11 Gaming Lodging and LeisureDefaulted Debt : 763.5Number of Companies 1

MayChem Rx 114.0 Filed Chapter 11 HealthcareNeff Rental 377.9 Prepackaged Chapter 11 ServicesDefaulted Debt : 491.9Number of Companies 2

JuneNational Envelope 110.0 Filed Chapter 11 Consumer ProductsNetwork Communications 68.2 Grace expired Diversified MediaDefaulted Debt : 178.2Number of Companies 2

JulyAmerican Safety Razor 384.3 Filed Chapter 11 Consumer ProductsMedical Staffing Network 106.3 Filed Chapter 11 ServicesOriental Trading 565.0 Filed Chapter 11 Consumer ProductsDefaulted Debt : 1,055.6Number of Companies 3







December 2010

A28

CDefaults2010 institutional bank loan defaults (continued)

Company Debt ($ mn) Default action IndustryAugustBoston Generating 1,975.1 Filed Chapter 11 UtilityFGIC Corp 46.0 Filed Chapter 11 FinancialGraceway Pharmaceuticals 330.0 Missed interest payment HealthcareDefaulted Debt : 2,351.1Number of Companies 3

SeptemberWorkflow Management 251.4 Filed Chapter 11 ServicesDefaulted Debt : 251.4Number of Companies 1

OctoberTerreStar Networks 100.0 Filed Chapter 11 Cable and SatelliteDefaulted Debt : 100.0Number of Companies 1

NovemberAmerican Media Operations 430.6 Pre-packaged Chapter 11 Diversified MediaLocal Insight Regatta Holdings 310.9 Filed Chapter 11 Diversified MediaVertis 395.0 Filed Chapter 11 Diversified MediaDefaulted Debt : 1,136.5Number of Companies 3

Total defaulted debt: 11,613.2Number of issuers: 30Default rate (Par-weighted): 2.18%Default rate (Issuer-weighted): 2.86%








December 2010

A29

CYear Amount Number Average default Default rate Default rate

($ mn) size ($ mn) (par-weighted) (issuer-weighted)1998 550.0 4 137.5 1.51% 2.12%1999 3,220.0 9 357.8 4.17% 2.69%2000 7,080.0 33 214.5 6.57% 8.23%2001 8,120.0 26 312.3 6.30% 5.31%2002 7,850.0 23 341.3 6.01% 4.45%2003 3,040.0 12 253.3 2.25% 2.28%2004 1,520.0 6 253.3 1.01% 1.12%2005 5,850.0 11 531.8 3.02% 1.98%2006 1,220.0 5 244.0 0.48% 0.79%2007 1,223.5 3 407.8 0.24% 0.26%2008 29,741.8 60 495.7 3.88% 5.10%2009 90,090.3 93 968.7 12.78% 7.34%2010 11,613.2 30 387.1 2.18% 2.86%13-yr avg. 13,163.0 24 378.9 3.97% 3.45%Note: 2010 data is through November 30, 2010.Sources: J.P. Morgan; Moody's Investors Service; S&P LCD.

Instititional bank loan defaultsBy year







December 2010

A30

CDefaults2010 Non US high-yield bond and institutional bank loan defaults

Company Bonds Loans ($ mn) Default action Industry CountryJanuary through MayNo defaults

JuneMetrogas S.A. 210.9 Filed for bankruptcy Utility ArgentinaDefaulted Debt : 210.9Number of Companies 1

JulyInternational Industrial Bank 244.8 Missed principal payment Financial RussiaTitan Petrochemicals 209.0 Distressed exchange Transportation ChinaTristan Oil 420.0 Filed for bankruptcy Energy KazakhstanTruvo Subsidiary Corp. 483.4 Filed Chapter 11 Diversified Media BelgiumWeather Finance III S.a.r.l. 1,596.0 Suspension of payments Telecommunications GreeceDefaulted Debt : 2,953.2Number of Companies 5

August and SeptemberNo defaults

OctoberHipotecaria Su Casita, S.A. de C.V. 73.0 Missed principal/interest payment Financial MexicoDefaulted Debt : 73.0Number of Companies 1

Total defaulted debt: 3,237.0 0.0Number of issuers: 7 0

Source: Moody's Investors Service







December 2010

D

A31

Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)

Downgrades

08-Jan-10 Crown Castle International 9% Sr Nts 15 B1 B1 B+ B- 900.008-Jan-10 Crown Castle International 7 1/8% Sr Nts 19 B1 B1 B+ B- 500.012-Jan-10 Stone Energy 8 1/4% Sr Sub Nts 11 Caa1 Caa1 B CCC+ 200.012-Jan-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa1 Caa2 B CCC+ 200.013-Jan-10 Antero Resources 9 3/8% Sr Nts 17 Caa1 Caa1 B+ B 375.013-Jan-10 Gibson Energy 11 3/4% Sr Sec Nts 14 B1 Ba3 BB- B+ 560.013-Jan-10 Great Atlantic & Pacific Tea 11 3/8% Sr Sec Nts 15 B3 Caa1 B- CC 260.013-Jan-10 Helix Energy Solutions 9 1/2% Sr Nts 16 B3 B3 B+ B 550.015-Jan-10 LSP Energy LP 8 1/6% Sec Nts 25 B3 Caa1 CCC CCC 176.015-Jan-10 LSP Energy LP 7 1/6% Sec Nts 14 B3 Caa1 CCC CCC 63.515-Jan-10 Steelcase 6 1/2% Nts 11 Ba1 Ba1 BBB BBB- 250.019-Jan-10 Harrah's Operating 11 1/4% Sr Sec Nts 17 Caa1 Caa1 B B- 720.020-Jan-10 Coleman Cable 9 7/8% Sr Nts 12 B3 B3 B+ B 240.020-Jan-10 K. Hovnanian Enterprises 18% Sr Nts 17 B3 Caa1 CCC- CCC- 29.322-Jan-10 CRC Health 10 3/4% Sr Sub Nts 16 Caa1 Caa1 CCC+ CCC 177.322-Jan-10 Texas Industries 7 1/4% Sr Nts 13 B2 B3 B+ B 300.022-Jan-10 Texas Industries 7 1/4% Sr Nts 13 B2 B3 B+ B 250.025-Jan-10 American International Group 5 3/4% Sr Nts 11 B1 B1 BBB+ BB+ 1,150.025-Jan-10 American International Group 6 3/8% Sr Nts 13 B1 B1 BBB+ BB+ 1,000.025-Jan-10 American International Group 5 2/3% Sr Nts 14 B1 B1 BBB+ BB+ 1,000.025-Jan-10 American International Group 5 5/8% Sr Nts 13 B1 B1 BBB+ BB+ 850.025-Jan-10 American International Group 5% Sr Unsub 10 B1 B1 BBB+ BB+ 800.025-Jan-10 American International Group 6 5/8% Sr Nts 13 B1 B1 BBB+ BB+ 750.025-Jan-10 American International Group 5 2/5% Sr Nts 12 B1 B1 BBB+ BB+ 750.025-Jan-10 American International Group 5 7/8% Sr Nts 13 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 4 7/8% Sr Nts 10 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 5 1/3% Sr Nts 12 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 4 3/4% Sr Nts 12 B1 B1 BBB+ BB+ 500.025-Jan-10 American International Group 5 1/8% Sr Nts 10 B1 B1 BBB+ BB+ 350.025-Jan-10 American International Group 5 5/9% Sr Nts 12 B1 B1 BBB+ BB+ 300.025-Jan-10 American International Group 5 1/4% Sr Nts 13 B1 B1 BBB+ BB+ 300.025-Jan-10 American International Group 5 5/8% Sr Nts 10 B1 B1 BBB+ BB+ 300.029-Jan-10 Citizens Republic Bancorp 5 3/4% Sub Nts 13 B3 B3 B+ CCC 17.0

January total: 15 issuers 15,618.0

01-Feb-10 Overseas Shipholding Group 7 1/2% Sr Nts 24 Ba2 Ba3 BB BB- 150.001-Feb-10 Overseas Shipholding Group 8 3/4% Debs 13 Ba2 Ba3 BB BB- 78.102-Feb-10 AES Ironwood 8 6/7% Sec Nts 25 B1 B2 B+ B 255.904-Feb-10 Windstream 8 5/8% Sr Nts 16 Ba3 Ba3 BB- B+ 1,746.004-Feb-10 Windstream 7 7/8% Sr Nts 17 Ba3 Ba3 BB- B+ 1,100.004-Feb-10 Windstream 8 1/8% Sr Nts 13 Ba3 Ba3 BB- B+ 800.004-Feb-10 Windstream 7% Sr Nts 19 Ba3 Ba3 BB- B+ 500.005-Feb-10 MGIC Investment Corp 5 3/8% Sr Nts 15 B3 Caa1 CCC CCC 300.005-Feb-10 MGIC Investment Corp 5 5/8% Sr Nts 11 B3 Caa1 CCC CCC 86.105-Feb-10 PMI Group 6 5/8% Sr Nts 36 B3 Caa2 CCC+ CCC+ 150.005-Feb-10 Radian Group 5 3/8% Sr Nts 15 B3 Caa1 CCC CCC 250.005-Feb-10 Radian Group 5 5/8% Sr Nts 13 B3 Caa1 CCC CCC 250.005-Feb-10 Radian Group 7 3/4% Sr Nts 11 B3 Caa1 CCC CCC 250.005-Feb-10 Spheris 11% Sr Sub Nts 12 Caa1 C CCC NR 125.009-Feb-10 Xerox 8% Trust Pfd Secs 27 Baa3 Baa3 BB+ BB 650.010-Feb-10 Forbes Energy Services 11% Sr Sec Nts (2nd Lien) 15 Caa2 Caa2 CCC+ CCC 205.0Source: J.P. Morgan.







December 2010

A32

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)12-Feb-10 Phoenix Life Insurance 7 1/7% Jr Sub Nts 34 Ba3 B1 B+ B 175.017-Feb-10 Astoria Capital Trust I 9 3/4% Trust Pfd Secs 29 Baa2 Baa3 BB- BB- 120.017-Feb-10 Blockbuster 11 3/4% Sr Sec Nts (1st Lien) 14 B1 Caa1 B NR 652.517-Feb-10 Blockbuster 9% Sr Sub Nts 12 Caa3 C CCC+ C 300.017-Feb-10 Capital One Financial 10 1/4% Trust Pfd Secs 39 Baa2 Baa3 BB BB 1,000.017-Feb-10 Capital One Financial 8 7/8% Trust Pfd Secs 40 Baa2 Baa3 BB BB 1,000.017-Feb-10 Capital One Financial 7 2/3% Jr Sub Nts 36 Baa2 Baa3 BB BB 650.017-Feb-10 Capital One Financial 8% Trust Pfd Secs 27 Baa2 Baa3 BB BB 100.017-Feb-10 FCB/NC Capital Trust 8% Trust Pfd Secs 28 Baa1 Baa2 BB BB 150.017-Feb-10 UPM-Kymmene 5 5/8% Sr Nts 14 Ba1 Ba1 BB+ BB 500.017-Feb-10 UPM-Kymmene 7 4/9% Sr Nts 27 Ba1 Ba1 BB+ BB 375.017-Feb-10 UPM-Kymmene 5 1/2% Sr Nts 18 Ba1 Ba1 BB+ BB 250.018-Feb-10 Evraz Group SA 8 7/8% Sr Nts 13 B2 B2 B+ B 1,155.918-Feb-10 Evraz Group SA 8 1/4% Guar Nts 15 B2 B2 B+ B 576.718-Feb-10 Evraz Group SA 9 1/2% Sr Nts 18 B2 B2 B+ B 511.219-Feb-10 Spectrum Brands 12% Sr Sub Toggle Nts 19 Caa1 Caa2 CCC CCC 218.122-Feb-10 US CONCRETE 8 3/8% Sr Sub Nts 14 Caa2 Caa3 CCC C 272.623-Feb-10 Ethan Allen 5 3/8% Sr Nts 15 Ba1 Ba2 B+ B+ 200.023-Feb-10 Petroplus Finance 7% Sr Sec Nts (1st Lien) 17 B1 B2 B+ B 600.023-Feb-10 Petroplus Finance 6 3/4% Sr Sec Nts (1st Lien) 14 B1 B2 B+ B 600.023-Feb-10 Petroplus Finance 9 3/8% Sr Sec Nts (1st Lien) 19 B1 B2 B+ B 400.024-Feb-10 American International Group 7% Sr Nts 17 B2 B3 BB+ B 3,000.024-Feb-10 American International Group 5 3/8% Sr Nts 12 B2 B3 BB+ B 1,000.024-Feb-10 American International Group 5 2/5% Sr Nts 15 B2 B3 BB+ B 750.024-Feb-10 American International Group 4 7/8% Sr Nts 12 B2 B3 BB+ B 700.024-Feb-10 American International Group 4% Sr Nts 11 B2 B3 BB+ B 500.024-Feb-10 American International Group 4 5/8% Sr Nts 10 B2 B3 BB+ B 500.024-Feb-10 American International Group 4 7/8% Sr Nts 10 B2 B2 BB+ B 500.024-Feb-10 American International Group 5 6/7% Sr Nts 13 B2 B3 BB+ B 500.024-Feb-10 American International Group 5 5/8% Sr Nts 11 B2 B3 BB+ B 475.024-Feb-10 American International Group FLOAT Sr Nts 11 B2 B3 BB+ B 450.024-Feb-10 American International Group FLOAT Sr Nts 11 B2 B3 BB+ B 400.024-Feb-10 American International Group 5 3/4% Sr Nts 16 B2 B3 BB+ B 375.024-Feb-10 American International Group 5 1/5% Sr Nts 11 B2 B3 BB+ B 300.024-Feb-10 American International Group 5 8/9% Sr Nts 12 B2 B3 BB+ B 300.024-Feb-10 American International Group 6 1/2% Sr Nts 17 B2 B3 BB+ B 300.024-Feb-10 American International Group FLOAT Sr Nts 10 B2 B2 BB+ B 150.024-Feb-10 Reddy Ice 0.000%/10.500% Sr Disc Nts 12 Caa1 Caa2 CCC+ C 151.025-Feb-10 Citigroup 7 5/8% Trust Pfd Secs 36 Baa3 Ba1 BB- BB- 194.125-Feb-10 Rafaella Apparel 11 1/4% Sr Sec Nts 11 Ca Ca CCC- C 71.9

February total: 24 issuers 27,320.1

01-Mar-10 American Pacific 9% Sr Nts 15 B2 B3 B+ B 110.004-Mar-10 IPCS Inc FLOAT Sr Sec Nts (1st Lien) 13 B1 B1 BB BB- 300.004-Mar-10 Sprint Nextel Corporation 6 7/8% Sr Nts 28 Ba3 Ba3 BB BB- 2,475.004-Mar-10 Sprint Nextel Corporation 7 3/8% Sr Nts 15 Ba2 Ba2 BB BB- 2,137.104-Mar-10 Sprint Nextel Corporation 8 3/8% Sr Nts 12 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 8 3/4% Sr Nts 32 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 6% Sr Nts 16 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 7% Sr Guar Nts 19 Ba3 Ba3 BB BB- 1,729.404-Mar-10 Sprint Nextel Corporation 7 5/8% Sr Guar Nts 11 Ba3 Ba3 BB BB- 1,650.004-Mar-10 Sprint Nextel Corporation 6 7/8% Sr Nts 13 Ba2 Ba2 BB BB- 1,472.904-Mar-10 Sprint Nextel Corporation 8 3/8% Sr Nts 17 Ba3 Ba3 BB BB- 1,300.004-Mar-10 Sprint Nextel Corporation 6% Sr Nts 14 Ba2 Ba2 BB BB- 1,169.9

Downgrades







December 2010

A33

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)04-Mar-10 Sprint Nextel Corporation FLOAT Sr Nts 10 Ba3 Ba3 BB BB- 750.004-Mar-10 Sprint Nextel Corporation 9 1/4% Sr Nts 22 Ba3 Ba3 BB BB- 200.005-Mar-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B1 B2 B- B- 300.009-Mar-10 Axtel SA 9% Sr Nts 19 Ba2 B2 BB- B+ 300.009-Mar-10 Axtel SA 7 5/8% Sr Nts 17 Ba2 B2 BB- B+ 275.010-Mar-10 Western Refining 11 1/4% Sr Sec Nts 17 B3 B3 BB- CCC+ 325.011-Mar-10 Regions Financial Corp 6 3/8% Sub Nts 12 Ba1 B1 BBB- BB 600.011-Mar-10 Regions Financial Corp 7% Sub Nts 11 Ba1 B1 BBB- BB 500.011-Mar-10 Regions Financial Corp 7 3/4% Sub Nts 11 Ba1 B1 BBB- BB 500.011-Mar-10 Regions Financial Corp 7 3/8% Sub Nts 37 Ba1 B1 BBB- BB 300.011-Mar-10 Regions Financial Corp 6 3/4% Sub Debs 25 Ba1 B1 BBB- BB 150.011-Mar-10 Regions Financial Corp 7 3/4% Sub Nts 24 Ba1 B1 BBB- BB 100.012-Mar-10 Norske Skog Canada 7 3/8% Sr Nts 14 Caa1 Caa2 C C 250.015-Mar-10 Kinder Morgan Energy Partners 6 6/7% Sr Nts 18 Baa3 Ba1 BBB BBB- 550.015-Mar-10 Kinder Morgan Energy Partners 6 1/4% Sr Nts 13 Baa3 Ba1 BBB BBB- 500.016-Mar-10 Aquilex Holdings 11 1/8% Sr Nts 16 B3 Caa1 B B- 225.016-Mar-10 Scientific Games 9 1/4% Sr Sub Nts 19 Ba3 B1 BB- BB- 350.016-Mar-10 Scientific Games 6 1/4% Sr Sub Nts 12 Ba3 B1 BB- BB- 200.016-Mar-10 Scientific Games 7 7/8% Sr Sub Nts 16 Ba3 B1 BB- BB- 200.017-Mar-10 Avaya 10 7/8% Sr Toggle Nts 15 Caa2 Caa2 B- CCC+ 790.817-Mar-10 Avaya 9 3/4% Sr Nts 15 Caa2 Caa2 B- CCC+ 700.017-Mar-10 Deluxe Corp 5% Sr Nts 12 Ba2 Ba3 BB- B 280.317-Mar-10 Deluxe Corp 5 1/8% Sr Nts 14 Ba2 Ba3 BB- B 263.517-Mar-10 GMAC 8% Sub Nts 18 B3 B3 B CCC+ 482.922-Mar-10 Plains Exploration & Production 7 3/4% Sr Nts 15 B1 B1 BB BB- 600.022-Mar-10 Plains Exploration & Production 10% Sr Guar Nts 16 B1 B1 BB BB- 565.022-Mar-10 Plains Exploration & Production 7% Sr Nts 17 B1 B1 BB BB- 500.022-Mar-10 Plains Exploration & Production 7 5/8% Sr Nts 18 B1 B1 BB BB- 400.022-Mar-10 Plains Exploration & Production 8 5/8% Sr Nts 19 B1 B1 BB BB- 400.023-Mar-10 Impress Group BV FLOAT Sr Sec Nts 13 Ba3 Ba3 BB- B+ 175.023-Mar-10 Indianapolis Downs 11% Sr Sec Nts (2nd Lien) 12 Caa2 Caa3 CCC CCC 375.024-Mar-10 Insight Health Services FLOAT Sr Sec Nts 11 NR NR CCC- C 300.025-Mar-10 Takefugi 9 1/5% Sr Nts 11 Caa1 Ca CCC- CC 675.026-Mar-10 Affinion Group Inc 10 1/8% Sr Nts 13 B2 B3 B- B- 304.026-Mar-10 Affinion Group Inc 10 1/8% Sr Sub Nts 13 B2 B3 B- B- 150.026-Mar-10 Ambac Financial Group 6% Sr Nts 35 Ca C CC C 400.026-Mar-10 Ambac Financial Group 9 3/8% Sr Nts 11 Ca C CC C 142.530-Mar-10 Stewart & Stevenson LLC 10% Sr Nts 14 B3 Caa2 CCC CCC 150.031-Mar-10 American Media 14% Sr Sub Toggle Nts 13 NR NR CCC- CC 332.431-Mar-10 American Media 9% Sr Nts 13 NR NR CCC- CC 21.7

March total: 23 issuers 32,927.3

01-Apr-10 Ceridian 11 1/4% Sr Nts 15 Caa2 Caa2 CCC+ CCC 825.001-Apr-10 Ceridian 13% Sr Toggle Nts 15 Caa2 Caa2 CCC+ CCC 505.901-Apr-10 Coffeyville Resources 10 7/8% Sr Sec Nts (2nd Lien) 17 Ba3 B3 BB- BB- 225.005-Apr-10 General Maritime 12% Sr Nts 17 B3 Caa1 B CCC+ 300.006-Apr-10 Jacobs Entertainment 9 3/4% Sr Nts 14 B3 Caa1 B- B- 210.006-Apr-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 B- CCC+ 141.306-Apr-10 Newland International Property 9 1/2% Sr Sec Nts 14 B1 B2 NR NR 220.007-Apr-10 DP World 6 6/7% Sr Nts 37 Ba1 Ba1 BB+ BB 1,750.007-Apr-10 DP World Sukuk Ltd 6 1/4% Sr Nts 17 Ba1 Ba1 BB+ BB 1,500.007-Apr-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 B- CCC+ 275.907-Apr-10 Phillips Van-Heusen 8 1/8% Sr Nts 13 Ba3 Ba3 BB+ BB 150.007-Apr-10 Phillips Van-Heusen 7 1/4% Sr Nts 11 Ba3 Ba3 BB+ BB 150.0

Downgrades







December 2010

A34

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)07-Apr-10 Shingle Springs 9 3/8% Sr Nts 15 Caa1 Caa2 B- CCC 450.008-Apr-10 Ford Motor Company 7% Sr Nts 15 B1 B1 B+ B- 1,750.012-Apr-10 Dynegy 7 3/4% Sr Nts 19 B3 Caa2 B B- 1,100.012-Apr-10 Dynegy 8 3/8% Sr Nts 16 B3 Caa2 B B- 1,046.812-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 Caa2 B B- 550.012-Apr-10 Dynegy 8 1/3% Sub Nts 27 Caa1 Caa3 CCC CCC- 200.012-Apr-10 Dynegy 7 1/8% Debs 18 B3 Caa2 B B- 175.012-Apr-10 Dynegy 7 5/8% Debs 26 B3 Caa2 B B- 175.012-Apr-10 Dynegy 8 3/4% Sr Nts 12 B3 Caa2 B B- 90.012-Apr-10 Dynegy 6 7/8% Sr Nts 11 B3 Caa2 B B- 80.012-Apr-10 Edison International 7% Sr Nts 17 B2 B3 B B- 1,200.012-Apr-10 Edison International 7 1/5% Sr Nts 19 B2 B3 B B- 800.012-Apr-10 Edison International 7 5/8% Sr Nts 27 B2 B3 B B- 700.012-Apr-10 Edison International 8 3/4% Sr Sec Nts 26 Ba2 Ba2 BB- B+ 505.712-Apr-10 Edison International 7 1/2% Sr Nts 13 B2 B3 B B- 500.012-Apr-10 Edison International 7 3/4% Sr Nts 16 B2 B2 B B- 500.012-Apr-10 Edison International 8 1/7% Sr Sec Nts 19 Ba2 Ba2 BB- B+ 219.012-Apr-10 Reliant Energy 7 7/8% Sr Nts 17 B2 B3 B+ B 725.012-Apr-10 Reliant Energy 7 5/8% Sr Nts 14 B2 B3 B+ B 575.012-Apr-10 Reliant Energy 12% Sr Nts 10 Ba3 Ba3 BB BB- 400.012-Apr-10 Reliant Energy 6 3/4% Sr Sec Nts 14 B1 B1 BB BB- 279.112-Apr-10 SBA Communications 8% Sr Nts 16 Ba2 Ba3 BB- BB- 375.012-Apr-10 SBA Communications 8 1/4% Sr Nts 19 Ba2 Ba3 BB- BB- 375.012-Apr-10 Sithe/Independence Funding 9% Sr Sec Nts 13 Ba2 Ba3 B B- 286.512-Apr-10 Valmont Industries 6 5/8% Sr Nts 20 Ba1 Ba1 BBB BBB- 300.013-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 Caa3 B B- 235.014-Apr-10 NCO Group Inc 11 7/8% Sr Sub Nts 14 Caa1 Caa2 CCC+ CCC 200.014-Apr-10 NCO Group Inc FLOAT Sr Nts 13 B3 Caa1 CCC+ CCC 165.015-Apr-10 Servicemaster 12% Sr Sec Nts (2nd Lien) 15 B2 B3 NR B 165.016-Apr-10 Harrah's Operating 12 3/4% Sr Sec Nts (2nd Lien) 18 Caa Ca CCC CCC 750.021-Apr-10 American Seafood 0.000%/11.500% Sr Disc Nts 11 B3 Caa1 B B 196.021-Apr-10 Ticketmaster 10 3/4% Sr Nts 16 Ba3 B1 BB- B 287.023-Apr-10 Greentown China Holdings 9% Sr Sub Sec Nts 13 Caa2 Caa2 B B- 38.723-Apr-10 Regal Cinemas 8 5/8% Sr Sub Nts 19 B1 B2 B- B- 400.023-Apr-10 Synovus Financial 5 1/8% Sub Nts 17 B2 B3 B+ B+ 450.023-Apr-10 Synovus Financial 4 7/8% Sub Nts 13 B2 B3 B+ B+ 206.828-Apr-10 PMI Group 6% Sr Nts 16 B3 Caa2 B- CCC+ 250.028-Apr-10 Triumph Group 8% Sr Sub Nts 17 Ba3 B1 B+ B+ 175.0

April total: 29 issuers 23,128.6

03-May-10 Agile Property Holdings 8 7/8% Sr Nts 17 Baa3 Ba3 BB BB 650.005-May-10 Aspect Software 10 5/8% Sr Sec Nts (2nd Lien) 17 B3 Caa1 B+ B+ 300.005-May-10 Lazard Group LLC 6 6/7% Sr Nts 17 Ba1 Ba2 BBB- BBB- 548.405-May-10 Lazard Group LLC 7 1/8% Sr Nts 15 Ba1 Ba2 BBB- BBB- 538.506-May-10 Penson Worldwide 12 1/2% Sr Sec Nts (2nd Lien) 17 B1 B1 BB+ BB- 200.007-May-10 American Capital 6 6/7% Sr Nts 12 B2 B2 B- CC 550.010-May-10 Phillips Van-Heusen 7 3/4% Sr Sec Nts (1st Lien) 23 Baa3 Ba2 BBB BBB 100.010-May-10 Trico Marine Svcs 11 7/8% Sr Sec Nts 14 B1 B3 B- CCC- 400.010-May-10 US Investigations Systems 10 1/2% Sr Sub Nts 15 Caa2 Caa2 CCC+ CCC 290.010-May-10 US Investigations Systems 11 3/4% Sr Sub Nts 16 Caa2 Caa2 CCC+ CCC 150.011-May-10 Compagnie Generale de Geophysique 7 1/2% Sr Nts 15 Ba3 Ba3 BB BB- 530.011-May-10 Compagnie Generale de Geophysique 7 3/4% Sr Nts 17 Ba3 Ba3 BB BB- 400.011-May-10 Compagnie Generale de Geophysique 9 1/2% Sr Nts 16 Ba3 Ba3 BB BB- 350.011-May-10 Wendys/Arbys Group 10% Sr Nts 16 B2 B3 B+ B+ 565.0

Downgrades







December 2010

A35

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)12-May-10 Aspect Software 10 5/8% Sr Sec Nts (2nd Lien) 17 Caa1 Caa1 B+ B- 300.012-May-10 Wynn Las Vegas 7 7/8% 1st Mtg Nts 17 Ba2 Ba3 BB+ BB+ 500.013-May-10 Standard Pacific 10 3/4% Guar Nts 16 B3 B3 B- CCC 280.018-May-10 Neff 10% Sr Nts 15 Ca C CCC CCC 34.019-May-10 Town Sports International 0.000%/11.000% Sr Disc Nts 14 B3 Caa1 CCC+ CCC+ 138.720-May-10 Keystone Automotive Operations 9 3/4% Sr Sub Nts 13 Caa3 Caa3 CCC C 175.021-May-10 Dole Food 13 7/8% Sr Sec Nts 14 B1 B2 BB- B+ 231.221-May-10 El Pollo Loco 11 3/4% Sr Sec Nts 12 B2 B3 B CCC+ 132.524-May-10 Broadwing 8 3/4% Sr Sub Nts 18 B2 B3 B- B- 625.024-May-10 Broadwing 8 1/4% Sr Nts 17 Ba3 B2 B+ B- 500.024-May-10 Broadwing 7% Sr Nts 15 Ba3 B2 B+ B- 250.024-May-10 Broadwing 6 2/7% Sr Guar Nts 28 Ba1 Ba2 BB BB 134.524-May-10 Broadwing 7 1/4% Sr Sec Nts 23 Ba2 Ba3 BB BB 50.024-May-10 Broadwing 7 1/5% Sr Nts 23 Ba1 Ba2 BB BB 33.025-May-10 Gundle/SLT Environmental 11% Sr Nts 12 Caa1 Caa2 CCC CCC 150.026-May-10 Symbion 11 3/4% Sr Toggle Nts 15 Caa1 Caa2 CCC+ CCC 195.527-May-10 Alon Refining Krotz Springs 13 1/2% Sr Sec Nts 14 B2 B2 BB B 216.527-May-10 Clayton William Energy 7 3/4% Sr Nts 13 Caa1 Caa1 B+ B- 225.027-May-10 World Directories 8 3/8% Sr Sec Nts (2nd Lien) 14 Ca C C C 200.028-May-10 Atlas Energy Resources 10 3/4% Sr Nts 18 B3 B3 B+ B 400.028-May-10 Atlas Energy Resources 12 1/8% Sr Nts 17 B3 B3 B+ B 200.028-May-10 Boyd Gaming 6 3/4% Sr Sub Nts 14 B3 Caa1 B+ CCC+ 248.728-May-10 Boyd Gaming 7 1/8% Sr Sub Nts 16 B3 Caa1 B+ CCC+ 240.828-May-10 Boyd Gaming 7 3/4% Sr Sub Nts 12 B3 Caa1 B+ CCC+ 158.828-May-10 Forest Oil 7 1/4% Sr Nts 19 B1 B1 BB- B+ 1,000.028-May-10 Forest Oil 8 1/2% Sr Nts 14 B1 B1 BB- B+ 600.028-May-10 Forest Oil 8% Sr Nts 11 B1 B1 BB- B+ 285.028-May-10 Medimedia 11 3/8% Sr Sub Nts 14 Caa1 Caa2 CCC+ CCC+ 150.0

May total: 28 issuers 13,225.9

01-Jun-10 C&M Finance 8% Sr Nts 16 B2 B3 B B 43.001-Jun-10 C&M Finance FLOAT Sr Nts 11 B2 B3 B B 14.503-Jun-10 El Pollo Loco 11 3/4% Sr Nts 13 Caa2 Caa3 CC CC 125.004-Jun-10 Network Communications 10 3/4% Bds 13 Caa1 Ca CC NR 175.009-Jun-10 ATP Oil & Gas 11 7/8% Sr Sec Nts (2nd Lien) 15 Caa2 Caa2 B CCC+ 1,500.009-Jun-10 Hercules Offshore 10 1/2% Sr Sec Nts 17 B2 Caa1 B B- 300.009-Jun-10 Hornbeck Offshore Services 6 1/8% Sr Nts 14 Ba3 Ba3 BB- B+ 300.009-Jun-10 Hornbeck Offshore Services 8% Sr Nts 17 Ba3 Ba3 BB- B+ 250.009-Jun-10 Penhall International 12% Sr Sec Nts (2nd Lien) 14 Caa2 Ca CCC NR 175.010-Jun-10 Brookstone 12% Sr Sec Nts 12 Caa3 Caa3 CCC- C 185.011-Jun-10 Linn Energy 8 5/8% Sr Nts 20 Ba3 B3 B B 1,300.016-Jun-10 Gibson Energy 10% Sr Nts 18 Ba3 B3 B- B- 200.018-Jun-10 Geokinetics 9 3/4% Sr Sec Nts 14 B2 B3 B B- 300.018-Jun-10 Lyondell Chemical 11% Sr Sec Nts (3rd Lien) 18 Ba3 B3 B B 3,240.322-Jun-10 Ahern Rentals Inc 9 1/4% Sr Sec Nts (2nd Lien) 13 Caa3 Ca CCC+ CCC 236.722-Jun-10 Anixter International 6% Sr Nts 15 Ba2 Ba2 BB+ BB 200.022-Jun-10 Anixter International 10% Sr Nts 14 Ba2 Ba2 BB+ BB 41.623-Jun-10 First American Capital Trust I 8 1/2% Trust Pfd Secs 12 Ba1 B1 BB B+ 34.823-Jun-10 FPL Energy Caithness Funding 6 1/8% Sr Sec Nts 19 Ba2 Ba2 BB- B+ 71.523-Jun-10 FPL Energy Caithness Funding 6 7/8% Sr Sec Nts 17 Ba2 Ba2 BB- B+ 66.125-Jun-10 USG 6 2/7% Sr Nts 16 Caa1 Caa2 B+ B 500.025-Jun-10 USG 7 3/4% Sr Nts 18 Caa1 Caa2 B+ B 500.025-Jun-10 USG 9 3/4% Sr Nts 14 B1 B2 BB BB 300.028-Jun-10 Universal Health Services 7 1/8% Sr Nts 16 Baa3 Ba2 BBB- BB+ 400.0

Downgrades







December 2010

A36

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)28-Jun-10 Universal Health Services 6 3/4% Sr Nts 11 Baa3 Ba2 BBB- BB+ 200.029-Jun-10 Terex 7 3/8% Sr Sub Nts 14 Ba3 B1 BB- BB- 300.029-Jun-10 Trico Marine Svcs 11 7/8% Sr Sec Nts 14 B3 Caa2 CCC- NR 400.0

June total: 20 issuers 11,358.4

01-Jul-10 Colt Defense 8 3/4% Sr Nts 17 B2 B3 B+ B 250.002-Jul-10 American Railcar Industries 7 1/2% Sr Nts 14 Caa1 Caa1 BB- B+ 275.002-Jul-10 Questar Market Resources 6 4/5% Sr Nts 20 Baa3 Ba1 BBB+ BB+ 300.002-Jul-10 Seminole Hard Rock Entertainment FLOAT Sr Sec Nts 14 B1 B2 BB BB 525.002-Jul-10 Seminole Tribe 5 4/5% Sr Sec Nts 13 Baa3 Ba1 BBB BBB- 255.208-Jul-10 First Industrial LP 7 3/5% Sr Nts 28 Ba3 Ba3 BB BB- 190.008-Jul-10 First Industrial LP 5 3/4% Sr Nts 16 Ba3 Ba3 BB BB- 160.208-Jul-10 First Industrial LP 6% Sr Nts 17 Ba3 Ba3 BB BB- 118.408-Jul-10 First Industrial LP 6 3/7% Sr Nts 14 Ba3 Ba3 BB BB- 91.908-Jul-10 First Industrial LP 7 1/2% Sr Nts 17 Ba3 Ba3 BB BB- 91.108-Jul-10 First Industrial LP 6 7/8% Sr Nts 12 Ba3 Ba3 BB BB- 77.908-Jul-10 First Industrial LP 7 3/4% Sr Nts 32 Ba3 Ba3 BB BB- 35.009-Jul-10 iStar Financial 8 5/8% Sr Nts 13 Ca Ca CCC+ CCC- 508.709-Jul-10 iStar Financial 6% Sr Nts 13 Ca Ca CCC+ CCC- 448.509-Jul-10 iStar Financial 5 1/7% Sr Nts 12 Ca Ca CCC+ CCC- 393.509-Jul-10 iStar Financial 5 2/3% Sr Nts 11 Ca Ca CCC+ CCC- 284.809-Jul-10 iStar Financial 5 7/8% Sr Nts 16 Ca Ca CCC+ CCC- 261.409-Jul-10 iStar Financial 5 5/7% Sr Nts 14 Ca Ca CCC+ CCC- 206.609-Jul-10 iStar Financial 5 4/5% Sr Nts 11 Ca Ca CCC+ CCC- 184.409-Jul-10 iStar Financial 6% Sr Nts 10 Ca Ca CCC+ CCC- 180.609-Jul-10 iStar Financial 5 1/8% Sr Nts 11 Ca Ca CCC+ CCC- 170.209-Jul-10 iStar Financial 5 1/2% Sr Nts 12 Ca Ca CCC+ CCC- 134.009-Jul-10 iStar Financial 6% Sr Nts 15 Ca Ca CCC+ CCC- 105.809-Jul-10 iStar Financial 5 6/7% Sr Nts 17 Ca Ca CCC+ CCC- 99.709-Jul-10 iStar Financial 6 1/2% Sr Nts 13 Ca Ca CCC+ CCC- 67.109-Jul-10 Silgan 7 1/4% Sr Nts 16 Ba3 Ba3 BB+ BB- 250.009-Jul-10 Skilled Healthcare Group 11% Sr Sub Nts 14 B3 Caa1 B- CC 130.014-Jul-10 Expro International Group 8 1/2% Sr Sec Nts 16 B1 B2 B+ B 1,400.016-Jul-10 KB Home 6 1/4% Sr Nts 15 B1 B1 BB- B+ 450.016-Jul-10 KB Home 5 7/8% Sr Nts 15 B1 B1 BB- B+ 300.016-Jul-10 KB Home 7 1/4% Sr Nts 18 B1 B1 BB- B+ 300.016-Jul-10 KB Home 9% Sr Nts 17 B1 B1 BB- B+ 265.016-Jul-10 KB Home 5 3/4% Sr Nts 14 B1 B1 BB- B+ 250.016-Jul-10 KB Home 6 3/8% Sr Nts 11 B1 B1 BB- B+ 100.020-Jul-10 Midcontinent Express Pipelines 6 5/7% Sr Nts 19 Ba1 Ba1 BBB BBB- 450.020-Jul-10 Midcontinent Express Pipelines 5 4/9% Sr Nts 14 Ba1 Ba1 BBB BBB- 350.020-Jul-10 Rockies Express 5 5/8% Nts 20 Ba1 Ba1 BBB BBB- 750.020-Jul-10 Rockies Express 6 7/8% Nts 40 Ba1 Ba1 BBB BBB- 500.020-Jul-10 Rockies Express 3 8/9% Nts 15 Ba1 Ba1 BBB BBB- 450.020-Jul-10 Rockies Express 7 1/2% Sr Nts 38 Ba1 Ba1 BBB BBB- 250.026-Jul-10 Ply Gem Industries 13 1/8% Sr Sub Nts 14 Caa1 Caa3 CCC CCC 150.029-Jul-10 National Mentor 11 1/4% Sr Sub Nts 14 Caa1 Caa1 CCC+ CCC 180.029-Jul-10 NGPL Pipeco 7 1/8% Sr Nts 17 Baa3 Ba1 BBB- BBB- 1,250.029-Jul-10 NMH Holdings FLOAT Sr Toggle Nts 14 Caa2 Caa2 CCC+ CCC 221.5

July total: 17 issuers 13,411.3

05-Aug-10 Helix Energy Solutions 9 1/2% Sr Nts 16 B3 B3 B B- 550.005-Aug-10 MGM Mirage 10 3/8% Sr Sec Nts 14 B1 B1 B+ B 650.009-Aug-10 Multiplan Inc 10 3/8% Sr Sub Nts 16 Caa1 Caa1 B- CCC+ 225.0

Downgrades







December 2010

A37

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)09-Aug-10 Viant Holdings 10 1/8% Sr Sub Nts 17 Caa1 Caa1 B- CCC+ 185.010-Aug-10 Angiotech Pharmaceutical FLOAT Sr Nts 13 Caa2 Caa2 CCC C 325.010-Aug-10 Angiotech Pharmaceutical 7 3/4% Sr Sub Nts 14 C C CC C 250.011-Aug-10 OPTI Canada Inc 8 1/4% Sr Sec Nts (2nd Lien) 14 Caa3 Caa3 B B- 1,000.011-Aug-10 OPTI Canada Inc 7 7/8% Sr Sec Nts (2nd Lien) 14 Caa3 Caa3 B B- 750.013-Aug-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B1 B2 B- B- 300.013-Aug-10 Reddy Ice 13 1/4% Sr Sec Nts 15 Caa1 Caa2 CCC CCC 139.413-Aug-10 Sbarro 10 3/8% Sr Nts 15 C C CCC- CC 150.017-Aug-10 Energy Future Holdings 6 5/9% Sr Nts 34 Caa3 Ca CCC CCC 744.317-Aug-10 Energy Future Holdings 6 1/2% Sr Nts 24 Caa3 Ca CCC CCC 739.817-Aug-10 Energy Future Holdings 5 5/9% Sr Nts 14 Caa3 Ca CCC CCC 433.717-Aug-10 Mueller Water Products 7 3/8% Sr Sub Nts 17 B3 B3 B- CCC+ 420.019-Aug-10 Wyle Services 10 1/2% Sr Sub Nts 18 B3 Caa2 B+ B- 175.020-Aug-10 Affinity Group 9% Sr Sub Nts 12 Caa2 Caa2 CC C 137.823-Aug-10 Accellent Inc 8 3/8% Sr Sec Nts (1st Lien) 17 B1 B3 B+ B+ 400.023-Aug-10 McJunkin Red Man Holding 9 1/2% Sr Sec Nts 16 B3 B3 B B- 1,050.024-Aug-10 Local Insight Regatta Holdings 11% Sr Sub Nts 17 Caa3 Caa3 CCC- C 210.525-Aug-10 Bonten Media Acquisition 9% Sr Sub Toggle Nts 15 Caa2 Caa3 CCC CCC 112.426-Aug-10 BLT Finance BV 7 1/2% Sr Sec Nts 14 NR NR CCC+ CCC 400.027-Aug-10 NBTY 7 1/8% Sr Sub Nts 15 B1 B1 BB B+ 190.0

August total: 18 issuers 9,537.9

02-Sep-10 Choctaw Resort Development Enterprise 7 1/4% Sr Nts 19 B2 B3 B B 127.508-Sep-10 Jostens 7 5/8% Sr Sub Nts 12 B1 B1 BB- B+ 500.008-Sep-10 Jostens 8 3/4% Sr Nts 13 B3 B3 B B- 350.008-Sep-10 Jostens 0.000%/10.250% Sr Disc Nts 13 B3 B3 B B- 247.208-Sep-10 McClatchy 11 1/2% Sr Sec Nts (1st Lien) 17 B1 Caa1 B- B- 875.008-Sep-10 Owens-Illinois 7 3/8% Sr Nts 16 Ba3 Ba3 BB+ BB 600.008-Sep-10 Owens-Illinois 6 3/4% Sr Nts 14 Ba3 Ba3 BB+ BB 400.014-Sep-10 Hipotecaria SU Casita 8 1/2% Sr Nts 16 B2 C CCC CC 150.014-Sep-10 Pulte Home 5 1/4% Sr Nts 14 B1 B1 BB BB- 500.014-Sep-10 Pulte Home 6 1/2% Sr Nts 16 B1 B1 BB BB- 480.014-Sep-10 Pulte Home 5 1/4% Sr Nts 15 B1 B1 BB BB- 450.014-Sep-10 Pulte Home 6 3/8% Sr Nts 33 B1 B1 BB BB- 400.014-Sep-10 Pulte Home 5 5/7% Sr Nts 14 B1 B1 BB BB- 350.014-Sep-10 Pulte Home 7 7/8% Sr Nts 32 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 6 1/4% Sr Nts 13 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 6% Sr Nts 35 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 5 1/5% Sr Nts 15 B1 B1 BB BB- 293.014-Sep-10 Pulte Home 5 1/8% Sr Nts 13 B1 B1 BB BB- 269.914-Sep-10 Pulte Home 7 5/8% Sr Nts 17 B1 B1 BB BB- 150.014-Sep-10 Pulte Home 7 7/8% Sr Nts 11 B1 B1 BB BB- 132.214-Sep-10 Pulte Home 5 4/9% Sr Nts 12 B1 B1 BB BB- 126.714-Sep-10 Pulte Home 7 1/2% Sr Nts 12 B1 B1 BB BB- 109.714-Sep-10 Pulte Home 7 7/8% Sr Nts 11 B1 B1 BB BB- 85.614-Sep-10 Pulte Home 4 5/9% Sr Nts 10 B1 B1 BB BB- 47.414-Sep-10 Pulte Home 8 1/8% Sr Guar Nts 11 B1 B1 BB BB- 13.914-Sep-10 Smithfield Foods 10% Sr Sec Nts (1st Lien) 14 Ba3 B1 B+ B+ 850.015-Sep-10 Blyth Inc 5 1/2% Sr Nts 13 B2 B3 B+ B+ 100.015-Sep-10 Edgen Murray 12 1/4% Sr Sec Nts (1st Lien) 15 Caa2 Caa2 B B- 465.020-Sep-10 Reynolds Group Escrow 8 1/2% Sr Nts 18 Caa1 Caa1 B B- 1,000.029-Sep-10 OPTI Canada Inc 9% Sr Sec Nts (1st Lien) 12 B2 B2 B+ B 525.0

September total: 11 issuers 10,498.0

Downgrades







December 2010

A38

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)01-Oct-10 Ultrapetrol (Bahamas) 9% 1st Mtg Nts 14 B2 B2 B B- 180.004-Oct-10 Ardagh Glass Finance BV 9 1/8% Guar Nts 20 B3 B3 BB- B- 450.006-Oct-10 ICON Health & Fitness 11 7/8% Sr Sec Nts (2nd Lien) 16 B2 B2 B B- 205.007-Oct-10 Spirit Aerosystems 7 1/2% Sr Nts 17 B2 B2 BB BB- 300.008-Oct-10 Manitowoc 9 1/2% Sr Nts 18 Caa1 Caa1 BB- B+ 400.008-Oct-10 Manitowoc 7 1/8% Sr Nts 13 Caa1 Caa1 BB- B+ 150.012-Oct-10 Energy Future Holdings 10 1/4% Sr Nts 15 Caa2 Caa3 CCC CCC 2,944.112-Oct-10 Energy Future Holdings 11 1/4% Sr Toggle Nts 16 Caa2 Caa3 CCC CCC 2,032.412-Oct-10 Energy Future Holdings 10 1/4% Sr Nts 15 Caa2 Caa3 CCC CCC 1,912.812-Oct-10 Energy Future Holdings 10% Sr Sec Nts 20 Caa3 Ca B+ B+ 946.012-Oct-10 Energy Future Holdings 12% Sr Toggle Nts 17 Caa3 Ca CCC+ CCC+ 778.012-Oct-10 Energy Future Holdings 10 7/8% Sr Nts 17 Caa3 Ca CCC+ CCC+ 387.412-Oct-10 Energy Future Holdings 7 1/2% Sec Nts (1st Lien) 17 Caa2 Caa3 BB BB 60.812-Oct-10 Energy Future Holdings 7 1/2% Sec Nts (1st Lien) 15 Caa2 Caa3 CCC CCC 42.112-Oct-10 Marsico Parent Company 10 5/8% Sr Sub Nts 16 Ca Ca CCC- CC 600.012-Oct-10 Seneca Gaming 7 1/4% Sr Nts 12 Ba2 B1 BB BB 300.012-Oct-10 Seneca Gaming 7 1/4% Sr Nts 12 Ba2 B1 BB BB 200.014-Oct-10 Lennar 5 3/5% Sr Nts 15 B3 B3 BB- B+ 500.014-Oct-10 Lennar 12 1/4% Sr Nts 17 B3 B3 BB- B+ 400.014-Oct-10 Lennar 6% Sr Nts 13 B3 B3 BB- B+ 267.714-Oct-10 Lennar 5 1/2% Sr Nts 14 B3 B3 BB- B+ 250.014-Oct-10 Lennar 6 1/2% Sr Guar Nts 16 B3 B3 BB- B+ 250.014-Oct-10 Lennar 7% Sr Nts 18 B3 B3 BB- B+ 250.014-Oct-10 Lennar 6% Sr Guar Nts 11 B3 B3 BB- B+ 114.214-Oct-10 Marsico Parent Company 12 1/2% Sr Nts 16 Ca C CCC NR 549.814-Oct-10 Nebraska Book 10% Sr Sec Nts (2nd Lien) 11 B1 B2 B B 200.014-Oct-10 Nebraska Book 8 5/8% Sr Sub Nts 12 Caa1 Caa2 CCC CCC 175.014-Oct-10 Nebraska Book 0.000%/11.000% Sr Disc Nts 13 Caa2 Caa3 CCC CCC 77.015-Oct-10 Brooklyn Navy Yard 7 3/7% Bds 20 Ba3 Ba3 BB B+ 56.815-Oct-10 LIN Television 8 3/8% Sr Nts 18 Ba3 B2 BB- BB- 200.015-Oct-10 Norske Skogindustrier 6 1/8% Sr Nts 15 B2 B2 B+ B- 181.321-Oct-10 BWAY 10% Sr Nts 18 B3 B3 B- CCC+ 205.021-Oct-10 Centercredit International 8 5/8% Guar Bds 14 Ba3 B1 NR NR 490.021-Oct-10 Halyk Savings Bank of Kazakhstan 7 1/4% Guar Nts 17 Ba2 Ba3 B+ B+ 700.021-Oct-10 Halyk Savings Bank of Kazakhstan 9 1/4% Sr Nts 13 Ba2 Ba3 B+ B+ 500.021-Oct-10 Halyk Savings Bank of Kazakhstan 7 3/4% Nts 13 Ba2 Ba3 B+ B+ 300.021-Oct-10 Kazkommerts International 7 1/2% Guar Bds 16 Ba3 B2 B B 356.221-Oct-10 Kazkommerts International 8% Guar Sr Nts 15 Ba3 B2 B B 270.221-Oct-10 Kazkommerts International 7 7/8% Sr Nts 14 Ba3 B2 B B 255.422-Oct-10 Prestige Brands 8 1/4% Sr Nts 18 B3 B3 B+ B 150.026-Oct-10 Stena 7% Sr Nts 16 Ba2 Ba3 BB+ BB+ 129.027-Oct-10 Sterling Chemicals 10 1/4% Sr Sec Nts 15 B2 B3 B- NR 123.029-Oct-10 Ace Cash Express 10 1/4% Sr Nts 14 Caa1 Caa1 B- CCC+ 175.0

October total: 22 issuers 19,014.2

02-Nov-10 Jarden Corp 7 1/2% Sr Sub Nts 17 B1 B2 B B 650.002-Nov-10 Jarden Corp 7 1/2% Sr Sub Nts 20 B1 B2 B B 275.002-Nov-10 Regions Financial Corp 7 3/4% Sr Nts 14 Baa3 Ba3 BBB- BB+ 700.002-Nov-10 Regions Financial Corp 5 3/4% Sr Nts 15 Baa3 Ba3 BBB- BB+ 500.002-Nov-10 Seminole Tribe 6 1/2% Sr Sec Bds 20 Baa3 Ba1 BBB- BBB- 280.004-Nov-10 Indianapolis Downs 15 1/2% Sr Sub Toggle Nts 13 Ca Ca CC C 72.604-Nov-10 Penson Worldwide 12 1/2% Sr Sec Nts (2nd Lien) 17 B1 B1 BB- B+ 200.004-Nov-10 Pregis Corp 12 3/8% Sr Sub Nts 13 Caa2 Caa2 CCC+ CCC 150.005-Nov-10 ITABO Finance SA 10 7/8% Guar Nts 13 NR NR B B- 106.0

Downgrades







December 2010

A39

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)08-Nov-10 AES 8 1/2% Sr Sec Nts (1st Lien) 19 B1 B2 BB- BB- 162.908-Nov-10 AES 9 1/5% Sr Sec Nts (1st Lien) 29 B1 B2 BB- BB- 160.008-Nov-10 Tops Markets 10 1/8% Sr Sec Nts 15 B3 Caa1 B B 350.009-Nov-10 Clearwire Communications 12% Sr Sec Nts (1st Lien) 15 Caa1 Caa1 B- CCC 1,600.009-Nov-10 Clearwire Communications 12% Sr Sec Nts (1st Lien) 15 Caa1 Caa1 B- CCC 920.009-Nov-10 Frac Tech Services 7 1/8% Sr Nts 18 B2 B2 B+ B- 550.009-Nov-10 Stone Energy 8 5/8% Sr Nts 17 Caa1 Caa1 BB- B 275.009-Nov-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa2 Caa2 B- CCC+ 200.012-Nov-10 Coso Geothermal Power 7% Bds 26 Ba1 B1 NR NR 584.312-Nov-10 Grupo Posadas SAB de CV 9 1/4% Sr Nts 15 B2 B2 B+ B- 200.015-Nov-10 Aldar Properties 8 3/4% Sr Nts 14 B1 B1 BB- B 1,250.017-Nov-10 Regions Financial Corp 4 3/8% Sr Nts 10 Ba1 Ba3 BBB- BB+ 500.017-Nov-10 Regions Financial Corp 4 6/7% Sub Nts 13 Ba1 Ba3 BBB- BB+ 500.017-Nov-10 Regions Financial Corp 5 1/5% Sub Nts 15 Ba1 Ba3 BBB- BB+ 350.017-Nov-10 Regions Financial Corp 4 7/8% Sr Nts 13 Ba1 Ba3 BBB- BB+ 250.018-Nov-10 Allen Systems Group 10 1/2% Sr Sec Nts (2nd Lien) 16 B2 B3 B B 300.018-Nov-10 Lifecare Holdings 9 1/4% Sr Sub Nts 13 Caa3 Caa3 CCC- C 147.018-Nov-10 Petroleum Development Corporation 12% Sr Nts 18 B3 B3 B B- 203.022-Nov-10 Warner Music Group 9 1/2% Sr Sec Nts (1st Lien) 16 Ba2 Ba2 BB BB- 1,100.022-Nov-10 Warner Music Group 7 3/8% Sr Sub Nts 14 B1 B1 B B- 465.022-Nov-10 Warner Music Group 0.000%/9.500% Sr Disc Nts 14 B1 B1 B B- 257.923-Nov-10 Regions Financial Corp 7 1/2% Sub Nts 18 Ba3 Ba3 BBB- BB+ 750.023-Nov-10 Regions Financial Corp 6 4/9% Sub Nts 37 Ba3 Ba3 BBB- BB+ 500.024-Nov-10 Sabine Pass LNG 7 1/2% Sr Sec Nts (1st Lien) 16 B2 B3 B+ B+ 1,482.024-Nov-10 Sabine Pass LNG 7 1/4% Sr Sec Nts (1st Lien) 13 B2 B3 B+ B+ 550.024-Nov-10 Sabine Pass LNG 7 1/2% Sr Sec Nts (1st Lien) 16 B2 B3 B+ B+ 183.526-Nov-10 Mohegan Tribal Gaming Authority 8% Sr Sub Nts 12 Caa2 Caa3 CCC+ CC 250.026-Nov-10 Mohegan Tribal Gaming Authority 6 1/8% Sr Nts 13 B2 Caa1 CCC+ CC 250.026-Nov-10 Mohegan Tribal Gaming Authority 7 1/8% Sr Sub Nts 14 Caa2 Caa3 CCC+ CC 225.026-Nov-10 Mohegan Tribal Gaming Authority 11 1/2% Sr Sec Nts (2nd Lien) 17 B1 B3 B- CCC- 200.026-Nov-10 Mohegan Tribal Gaming Authority 6 7/8% Sr Sub Nts 15 Caa2 Caa3 CCC+ CC 150.026-Nov-10 NXP BV 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 Caa2 B- B- 1,000.029-Nov-10 American Reprographics 10 1/2% Sr Nts 16 B1 B1 BB- B+ 200.030-Nov-10 Hapag-Lloyd 9 3/4% Guar Nts 17 B2 B3 B B 250.030-Nov-10 Murray Energy 10 1/4% Sr Sec Nts 15 B2 B3 B+ B+ 540.0

November total: 27 issuers 19,789.2

Total downgrades: 233 issuers 195,829.0

Downgrades


Upgrades

06-Jan-10 Del Monte 7 1/2% Sr Sub Nts 19 B1 Ba3 BB- BB 450.006-Jan-10 Del Monte 6 3/4% Sr Sub Nts 15 B1 Ba3 BB- BB 250.007-Jan-10 Bio-Rad Laboratories 8% Sr Sub Nts 16 Ba3 Ba2 BB+ BBB- 300.007-Jan-10 Bio-Rad Laboratories 7 1/2% Sr Sub Nts 13 Ba3 Ba2 BB+ BBB- 225.007-Jan-10 Bio-Rad Laboratories 6 1/8% Sr Sub Nts 14 Ba3 Ba2 BB+ BBB- 200.007-Jan-10 Cellu Tissue Holdings 11 1/2% Sr Sec Nts 14 B2 B1 B+ B+ 255.008-Jan-10 Beazer Homes USA 8 3/8% Sr Nts 12 Caa2 Caa2 D CCC 312.608-Jan-10 Beazer Homes USA 6 7/8% Sr Nts 15 Caa2 Caa2 D CCC- 283.808-Jan-10 Beazer Homes USA 8 1/8% Sr Nts 16 Caa2 Caa2 D CCC 219.008-Jan-10 Beazer Homes USA 6 1/2% Sr Nts 13 Caa2 Caa2 D CCC 169.508-Jan-10 Beazer Homes USA 8 5/8% Sr Nts 11 Caa2 Caa2 D CC 127.308-Jan-10 Bill Barrett Corp 9 7/8% Sr Nts 16 B1 B1 B+ BB- 250.008-Jan-10 KAR Holdings 8 3/4% Sr Nts 14 B3 B3 CCC CCC+ 450.008-Jan-10 KAR Holdings 10% Sr Sub Nts 15 Caa1 Caa1 CCC CCC+ 425.008-Jan-10 KAR Holdings FLOAT Sr Nts 14 B3 B3 CCC CCC+ 150.008-Jan-10 Ply Gem Industries 11 3/4% Sr Sec Nts 13 Caa1 Caa1 CCC B- 700.008-Jan-10 Yellow Roadway Corp 8 1/2% Sr Nts 10 Ca Caa3 C CC 150.011-Jan-10 Cooper Tire & Rubber Co 8% Nts 19 Caa1 B3 B BB- 173.611-Jan-10 Cooper Tire & Rubber Co 7 5/8% Nts 27 Caa1 B3 B BB- 116.913-Jan-10 HeidelbergCement Finance BV 7 7/8% Sr Nts 10 B1 B1 B+ BB- 750.013-Jan-10 HeidelbergCement Finance BV 5 1/4% Sr Nts 13 B1 B1 B+ BB- 750.013-Jan-10 HeidelbergCement Finance BV 6 1/8% Sr Nts 16 B1 B1 B+ BB- 750.013-Jan-10 Jarden Corp 7 1/2% Sr Sub Nts 17 B3 B1 B- B 650.013-Jan-10 Jarden Corp 8% Sr Nts 16 B2 Ba3 B+ BB- 300.014-Jan-10 American Greetings 7 3/8% Sr Nts 16 B1 Ba3 B+ BB+ 200.014-Jan-10 ReAble Therapeutics 10 7/8% Sr Nts 14 Caa1 B3 B- B- 575.020-Jan-10 Virgin Media 9 1/2% Sr Nts 16 B2 Ba1 B BB+ 180.022-Jan-10 American Achievement 14 3/4% Sr Nts 12 Caa3 Caa3 C CCC 222.522-Jan-10 Cooper Companies 7 1/8% Guar Nts 15 Ba3 Ba3 BB- BB 350.025-Jan-10 GenCorp 9 1/2% Sr Sub Nts 13 B1 B1 CCC- CCC 97.526-Jan-10 Building Materials 7 3/4% Sr Nts 14 Ba3 Ba3 BB BBB- 250.026-Jan-10 Central Garden & Pet 9 1/8% Sr Sub Nts 13 Caa1 B3 CCC+ B- 150.026-Jan-10 Noranda Aluminum Acquisition FLOAT Sr Nts 15 Caa2 B3 CCC- CCC+ 528.726-Jan-10 Noranda Aluminum Acquisition FLOAT Sr Nts 14 Caa3 Caa2 CCC- CCC 220.027-Jan-10 Ahern Rentals Inc 9 1/4% Sr Sec Nts 13 Ca Caa3 CCC+ CCC+ 290.027-Jan-10 GMAC 8% Sr Guar Nts 31 Ca B3 CCC B 1,995.027-Jan-10 GMAC 6 7/8% Nts 11 Ca B3 CCC B 1,102.127-Jan-10 GMAC 8% Bds 31 Ca B3 CCC B 932.527-Jan-10 GMAC 7 1/4% Sr Guar Nts 11 Ca B3 CCC B 802.227-Jan-10 GMAC 6 7/8% Nts 12 Ca B3 CCC B 801.327-Jan-10 GMAC 7 1/4% Nts 11 Ca B3 CCC B 797.127-Jan-10 GMAC 7 1/2% Sr Guar Nts 13 Ca B3 CCC B 687.627-Jan-10 GMAC 6 3/4% Nts 14 Ca B3 CCC B 555.927-Jan-10 GMAC 0% Debs 15 Ca B3 CCC B 532.527-Jan-10 GMAC 0% Debs 12 Ca B3 CCC B 514.027-Jan-10 GMAC 8% Sub Nts 18 Ca B3 CC CCC+ 482.927-Jan-10 GMAC 7% Nts 12 Ca B3 CCC B 455.227-Jan-10 GMAC 5 3/4% Sr Guar Nts 10 Ca B3 CCC B 448.927-Jan-10 GMAC 6 5/8% Sr Guar Nts 12 Ca B3 CCC B 407.327-Jan-10 GMAC 6 5/8% Sr Nts 12 Ca B3 CCC B 386.327-Jan-10 GMAC 6% Debs 11 Ca B3 CCC B 225.727-Jan-10 GMAC 6% Sr Guar Nts 12 Ca B3 CCC B 129.3








December 2010

A40

D







December 2010

A41

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)27-Jan-10 GMAC 6% Sr Nts 11 Ca B3 CCC B 128.027-Jan-10 GMAC 6% Sr Guar Nts 11 Ca B3 CCC B 122.627-Jan-10 GMAC FLOAT Nts 14 Ca B3 CCC B 122.127-Jan-10 GMAC 6 5/8% Sr Guar Nts 10 Ca B3 CCC B 48.827-Jan-10 GMAC 5 3/4% Sr Guar Nts 10 Ca B3 CCC B 34.327-Jan-10 Residential Capital Corporation 9 5/8% Sr Nts 15 C C CC CCC+ 2,120.527-Jan-10 Residential Capital Corporation 6 3/8% Nts 10 C C CC CCC+ 823.727-Jan-10 Residential Capital Corporation 6 1/2% Sr Nts 13 C C CC CCC+ 473.427-Jan-10 Residential Capital Corporation 6% Guar Nts 11 C C CC CCC+ 208.427-Jan-10 Residential Capital Corporation 6 7/8% Nts 15 C C CC CCC+ 112.427-Jan-10 Residential Capital Corporation 6.500%/7.500% Nts 12 C C CC CCC+ 79.927-Jan-10 Sirius XM Radio 13% Sr Nts 13 Ca B3 CCC B+ 778.527-Jan-10 Sirius XM Radio 11 1/4% Sr Sec Nts 13 Caa2 Ba3 B+ BB 525.827-Jan-10 Sirius XM Radio 9 2/3% Sr Nts 13 Ca Caa2 CCC+ B- 500.027-Jan-10 Sirius XM Radio 9 3/4% Sr Sec Nts 15 Caa2 Ba3 B+ BB 257.027-Jan-10 Sonic Automotive 8 5/8% Sr Sub Nts 13 Caa3 Caa1 CCC- B- 275.028-Jan-10 GMAC 6 7/8% Sr Guar Nts 11 Ca B3 CCC B 3,087.828-Jan-10 GMAC 6 7/8% Sr Guar Nts 12 Ca B3 CCC B 784.728-Jan-10 GMAC 6 3/4% Sr Guar Nts 14 Ca B3 CCC B 764.728-Jan-10 GMAC 5 3/8% Sr Guar Nts 11 Ca B3 CCC B 570.428-Jan-10 GMAC 6% Sr Guar Nts 11 Ca B3 CCC B 562.328-Jan-10 GMAC 7% Sr Guar Nts 12 Ca B3 CCC B 357.528-Jan-10 GMAC 8 7/8% Debs 10 Ca B3 CC B 15.1

January total: 26 issuers 35,480.1

01-Feb-10 Sensata Technologies 8% Sr Nts 14 Caa2 Caa1 CCC- CCC+ 340.002-Feb-10 Avis Budget Car Rental 7 5/8% Sr Nts 14 Caa1 B3 CCC B 375.002-Feb-10 Avis Budget Car Rental 7 3/4% Sr Nts 16 Caa1 B3 CCC B 375.002-Feb-10 Avis Budget Car Rental FLOAT Sr Nts 14 Caa1 B3 CCC B 250.002-Feb-10 Team Health 11 1/4% Sr Sub Nts 13 Caa1 B3 B B 215.003-Feb-10 Encore Acquisition Corp 6% Sr Sub Nts 15 B1 B1 B BB 300.003-Feb-10 Encore Acquisition Corp 9 1/2% Sr Sub Nts 16 B1 B1 B BB 225.003-Feb-10 Encore Acquisition Corp 6 1/4% Sr Sub Nts 14 B1 B1 B BB 150.003-Feb-10 Encore Acquisition Corp 7 1/4% Sr Sub Nts 17 B1 B1 B BB 150.004-Feb-10 Dole Food 8 3/4% Debs 13 Caa1 B3 B- B- 155.004-Feb-10 Dole Food 8 7/8% Sr Nts 11 Caa1 B3 B- B- 70.004-Feb-10 Hexion 9 3/4% Sr Nts 14 Caa1 Caa1 CCC CCC+ 533.004-Feb-10 Hexion 7 7/8% Debs 23 Caa2 Caa2 CCC CCC+ 188.404-Feb-10 Hexion FLOAT Sec Nts 14 Caa1 Caa1 CCC CCC+ 120.004-Feb-10 Hexion 9 1/5% Debs 21 Caa2 Caa2 CCC CCC+ 74.004-Feb-10 Hexion 8 3/8% Debs 16 Caa2 Caa2 CCC CCC+ 61.505-Feb-10 Sistema Capital SA 8 7/8% Nts 11 B2 Ba3 BB BB 92.705-Feb-10 Ventas Realty 6 3/4% Sr Nts 17 Ba1 Baa3 BBB- BBB- 225.005-Feb-10 Ventas Realty 6 1/2% Sr Nts 16 Ba1 Baa3 BBB- BBB- 200.005-Feb-10 Ventas Realty 6 1/2% Guar Nts 16 Ba1 Baa3 BBB- BBB- 200.005-Feb-10 Ventas Realty 7 1/8% Sr Nts 15 Ba1 Baa3 BBB- BBB- 167.205-Feb-10 Ventas Realty 9% Sr Nts 12 Ba1 Baa3 BBB- BBB- 82.405-Feb-10 Ventas Realty 6 5/8% Sr Nts 14 Ba1 Baa3 BBB- BBB- 76.908-Feb-10 Affiliated Computer Services 4 5/7% Nts 10 Ba2 Baa3 BB BBB- 250.008-Feb-10 Affiliated Computer Services 5 1/5% Nts 15 Ba2 Baa3 BB BBB- 250.008-Feb-10 Mueller Water Products 7 3/8% Sr Sub Nts 17 Caa1 B3 B- B- 425.009-Feb-10 Chaparral Energy 8 1/2% Sr Nts 15 Ca Caa1 CCC+ B+ 325.0

Upgrades







December 2010

A42

D


Upgrades

09-Feb-10 Chaparral Energy 8 7/8% Sr Nts 17 Ca Caa1 CCC+ B+ 325.009-Feb-10 Citigroup 7 5/8% Trust Pfd Secs 36 Baa3 Baa3 B+ BB- 194.109-Feb-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 18 Ca Caa1 CCC- CCC 3,705.509-Feb-10 Star Gas Partners 10 1/4% Sr Nts 13 Caa3 B3 CCC+ B- 137.111-Feb-10 O Charleys 9% Sr Sub Nts 13 Caa1 B3 B- B 125.011-Feb-10 Spectrum Brands 12% Sr Sub Toggle Nts 19 Caa2 Caa1 CCC CCC+ 218.112-Feb-10 McClatchy 5 3/4% Sr Nts 17 Caa3 Caa2 C CCC 320.812-Feb-10 McClatchy 6 7/8% Debs 29 Caa3 Caa2 C CCC 252.112-Feb-10 McClatchy 7 1/8% Sr Unsub 11 Caa3 Caa2 C CCC 166.212-Feb-10 McClatchy 4 5/8% Sr Nts 14 Caa3 Caa2 C CCC 154.012-Feb-10 McClatchy 7 1/7% Debs 27 Caa3 Caa2 C CCC 82.016-Feb-10 Tenneco Automotive 8 5/8% Sr Sub Nts 14 Caa2 Caa1 CCC CCC+ 500.016-Feb-10 Tenneco Automotive 8 1/8% Sr Nts 15 B3 B2 B- B 250.016-Feb-10 Tenneco Automotive 10 1/4% Sr Sec Nts (2nd Lien) 13 B1 Ba3 B B+ 245.017-Feb-10 American Axle & Manufacturing 9 1/4% Sr Sec Nts (1st Lien) 17 B2 Ba2 B- BB- 425.017-Feb-10 American Axle & Manufacturing 7 7/8% Sr Nts 17 Caa3 B3 CCC- B- 300.017-Feb-10 American Axle & Manufacturing 5 1/4% Sr Guar Nts 14 Caa3 B3 CCC- B- 250.017-Feb-10 Owens-Illinois 7 3/8% Sr Nts 16 Ba3 Ba3 BB BB+ 600.017-Feb-10 Owens-Illinois 8 1/4% Sr Nts 13 Ba3 Ba3 BB BB+ 450.017-Feb-10 Owens-Illinois 6 3/4% Sr Nts 14 Ba3 Ba3 BB BB+ 400.017-Feb-10 Owens-Illinois 7 4/5% Sr Debs 18 B2 B1 B+ BB- 250.018-Feb-10 Williams Companies 7 1/2% Sr Nts 11 Ba2 Baa3 BBB- BBB- 150.019-Feb-10 NewMarket Corp 7 1/8% Sr Nts 16 Ba3 Ba2 BB- BB+ 150.022-Feb-10 Wyndham Worldwide 6% Sr Nts 16 Ba2 Ba1 BBB- BBB- 800.022-Feb-10 Wyndham Worldwide 9 7/8% Sr Nts 14 Ba2 Ba1 BBB- BBB- 250.023-Feb-10 Bear Creek 9% Sr Nts 13 Ca Ca C CCC- 140.225-Feb-10 Allbritton Communications 7 3/4% Sr Sub Nts 12 Caa1 B3 B- B 454.225-Feb-10 Celestica International 7 5/8% Sr Sub Nts 13 B2 B2 BB- BB 223.125-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 400.025-Feb-10 Lamar Media 7 1/4% Sr Sub Nts 13 B2 B2 B B+ 385.025-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 275.025-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 216.0

February total: 27 issuers 18,669.2

02-Mar-10 International Coal 10 1/4% Sr Nts 14 Caa3 Caa2 CCC B- 175.002-Mar-10 Solutia 8 3/4% Sr Nts 17 B2 B2 B B+ 400.004-Mar-10 AMR/Emcare Holdco 10% Sr Sub Nts 15 Ba3 Ba2 B+ B+ 250.004-Mar-10 DirecTV Holdings/Finance 7 5/8% Sr Nts 16 Ba2 Baa3 BBB- BBB- 1,500.004-Mar-10 DirecTV Holdings/Finance 6 3/8% Sr Nts 15 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 DirecTV Holdings/Finance 4 3/4% Sr Nts 14 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 DirecTV Holdings/Finance 5 7/8% Sr Nts 19 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 Ford Motor Company 7 1/4% Sr Nts 11 B3 Ba2 B- B+ 3,500.004-Mar-10 Ford Motor Company 7 3/8% Sr Nts 11 B3 Ba2 B- B+ 3,000.004-Mar-10 Ford Motor Company 7% Sr Nts 13 B3 Ba2 B- B+ 3,000.004-Mar-10 Ford Motor Company 7 7/8% Sr Nts 10 B3 Ba3 B- B- 2,500.004-Mar-10 Ford Motor Company FLOAT Sr Nts 12 B3 Ba2 B- B+ 2,000.004-Mar-10 Ford Motor Company 7 1/2% Sr Nts 12 B3 Ba2 B- B+ 1,750.004-Mar-10 Ford Motor Company 9 3/4% Sr Nts 10 B3 Ba3 B- B- 1,520.704-Mar-10 Ford Motor Company 9 7/8% Sr Nts 11 B3 Ba2 B- B+ 1,500.004-Mar-10 Ford Motor Company 8% Sr Nts 16 B3 Ba2 B- B+ 1,500.004-Mar-10 Ford Motor Company 8 1/8% Sr Nts 20 B3 Ba2 B- B+ 1,250.004-Mar-10 Ford Motor Company 12% Sr Nts 15 B3 Ba2 B- B+ 1,100.004-Mar-10 Ford Motor Company 8% Sr Nts 14 B3 Ba2 B- B+ 1,100.0








December 2010

A43

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)04-Mar-10 Ford Motor Company 7 4/5% Sr Nts 12 B3 Ba2 B- B+ 1,000.004-Mar-10 Ford Motor Company 8 2/3% Sr Nts 14 B3 Ba2 B- B+ 1,000.004-Mar-10 Ford Motor Company 8 5/8% Sr Nts 10 B3 Ba2 B- B+ 500.004-Mar-10 Ford Motor Company FLOAT Sr Nts 12 B3 Ba2 B- B+ 224.404-Mar-10 IPCS Inc FLOAT Sec Toggle Bds 14 Caa1 Ba3 B+ BB- 181.204-Mar-10 Teck Resources 10 3/4% Sr Sec Nts (1st Lien) 19 Ba2 Baa3 BB+ BBB 1,850.004-Mar-10 Teck Resources 9 3/4% Sr Sec Nts (1st Lien) 14 Ba2 Baa3 BB+ BBB 1,315.004-Mar-10 Teck Resources 10 1/4% Sr Sec Nts (1st Lien) 16 Ba2 Baa3 BB+ BBB 1,060.004-Mar-10 Teck Resources 6 1/8% Sr Nts 35 Ba2 Baa3 BB+ BBB 700.004-Mar-10 Teck Resources 5 3/8% Sr Nts 15 Ba2 Baa3 BB+ BBB 300.004-Mar-10 Teck Resources 7% Sr Nts 12 Ba2 Baa3 BB+ BBB 200.004-Mar-10 TRW Automotive 7 1/4% Sr Nts 17 Caa1 B2 B- BB 562.004-Mar-10 TRW Automotive 7% Sr Nts 14 Caa1 B2 B- BB 488.004-Mar-10 TRW Automotive 8 7/8% Sr Nts 17 Caa1 B3 B- B+ 250.005-Mar-10 Harvest Operations 7 7/8% Sr Nts 11 Caa1 Ba1 CCC BB- 250.005-Mar-10 IPCS Inc FLOAT Sr Sec Nts (1st Lien) 13 B1 Ba2 BB- BB- 300.009-Mar-10 Boise Paper Holdings 9% Sr Nts 17 B3 B2 BB- BB 300.009-Mar-10 MGM Mirage 6 5/8% Sr Nts 15 Caa2 Caa1 CCC+ CCC+ 872.509-Mar-10 MGM Mirage 8 1/2% Sr Guar Nts 10 Caa2 Caa1 CCC+ CCC+ 782.009-Mar-10 MGM Mirage 7 5/8% Sr Nts 17 Caa2 Caa1 CCC+ CCC+ 743.009-Mar-10 MGM Mirage 7 1/2% Sr Nts 16 Caa2 Caa1 CCC+ CCC+ 732.709-Mar-10 MGM Mirage 6 3/4% Sr Nts 12 Caa2 Caa1 CCC+ CCC+ 550.009-Mar-10 MGM Mirage 5 7/8% Sr Nts 14 Caa2 Caa1 CCC+ CCC+ 508.909-Mar-10 MGM Mirage 6 3/4% Sr Nts 13 Caa2 Caa1 CCC+ CCC+ 476.109-Mar-10 MGM Mirage 11 3/8% Sr Nts 18 Caa2 Caa1 CCC+ CCC+ 475.009-Mar-10 MGM Mirage 8 3/8% Sr Sub Nts 11 Ca Caa3 CCC- CCC- 400.009-Mar-10 MGM Mirage 6 7/8% Sr Nts 16 Caa2 Caa1 CCC+ CCC+ 237.909-Mar-10 MGM Mirage 7 5/8% Sr Sub Nts 13 Ca Caa3 CCC- CCC- 150.009-Mar-10 MGM Mirage 6 3/8% Sr Nts 11 Caa2 Caa1 CCC+ CCC+ 132.410-Mar-10 Buckeye Technologies 8 1/2% Sr Nts 13 B1 Ba3 BB- BB 165.010-Mar-10 Limited Brands 8 1/2% Sr Nts 19 Ba2 Ba1 BB BB 500.012-Mar-10 Ashland 9 1/8% Sr Nts 17 Ba3 Ba1 BB- BB 650.012-Mar-10 Interpublic Group 10% Sr Nts 17 Ba3 Ba2 B+ BB 600.012-Mar-10 Interpublic Group 6 1/4% Sr Nts 14 Ba3 Ba2 B+ BB 350.012-Mar-10 Interpublic Group FLOAT Sr Nts 10 Ba3 Ba2 B+ BB 213.712-Mar-10 Interpublic Group 7 1/4% Sr Nts 11 Ba3 Ba2 B+ BB 36.312-Mar-10 Warnaco Group 8 7/8% Sr Nts 13 Ba3 Ba2 BB+ BB+ 110.915-Mar-10 Central Garden & Pet 8 1/4% Sr Sub Nts 18 B3 B2 B B 400.015-Mar-10 Majapahit Holding BV 7 3/4% Sr Nts 20 Ba2 Ba2 BB- BB 1,250.015-Mar-10 Majapahit Holding BV 8% Sr Nts 19 Ba2 Ba2 BB- BB 750.015-Mar-10 Majapahit Holding BV 7 1/4% Sr Nts 17 Ba2 Ba2 BB- BB 500.015-Mar-10 Norske Skog Canada 7 3/8% Sr Nts 14 Caa2 Caa2 C CCC- 250.015-Mar-10 Norske Skog Canada 8 5/8% Sr Nts 11 Caa2 Caa2 C CCC- 35.516-Mar-10 Saks 9 7/8% Sr Nts 11 Caa1 B3 B- B+ 141.616-Mar-10 Saks 7 1/2% Sr Guar Nts 10 Caa1 B3 B- B+ 22.916-Mar-10 US Steel Corp 7% Sr Nts 18 Ba3 Ba2 BB BB 500.016-Mar-10 US Steel Corp 6% Sr Nts 17 Ba3 Ba2 BB BB 450.016-Mar-10 US Steel Corp 6 2/3% Sr Nts 37 Ba3 Ba2 BB BB 350.016-Mar-10 US Steel Corp 5 2/3% Sr Nts 13 Ba3 Ba2 BB BB 300.016-Mar-10 Viant Holdings 10 1/8% Sr Sub Nts 17 Caa1 Caa1 CCC+ B- 185.017-Mar-10 Dean Foods 7% Sr Nts 16 B3 B2 B B 500.017-Mar-10 Dean Foods 7% Sr Nts 17 B3 B2 B B 150.017-Mar-10 Ford Motor Company 7 4/9% Sr Nts 31 Caa1 Ba3 CCC B 1,793.5

Upgrades







December 2010

A44

D



Upgrades

17-Mar-10 Ford Motor Company 6 5/8% Bds 28 Caa1 Ba3 CCC B 637.817-Mar-10 Ford Motor Company 7 2/5% Debs 46 Caa1 Ba3 CCC B 398.317-Mar-10 Ford Motor Company 9 1/3% Sr Guar Nts 30 Caa1 Ba3 CCC B 366.517-Mar-10 Ford Motor Company 6 1/2% Bds 18 Caa1 Ba3 CCC B 360.617-Mar-10 Ford Motor Company 9 1/2% Debs 10 Caa1 B2 CCC CCC 334.417-Mar-10 Ford Motor Company 6 3/8% Debs 29 Caa1 Ba3 CCC B 260.517-Mar-10 Ford Motor Company 7 1/8% Debs 25 Caa1 Ba3 CCC B 208.617-Mar-10 Ford Motor Company 7 1/2% Debs 26 Caa1 Ba3 CCC B 193.417-Mar-10 Ford Motor Company 9 2/9% Debs 21 Caa1 Ba3 CCC B 183.117-Mar-10 Ford Motor Company 10% Debs 47 Caa1 Ba3 CCC B 181.217-Mar-10 Ford Motor Company 9 1/2% Debs 11 Caa1 Ba3 CCC B 166.917-Mar-10 Ford Motor Company 9% Debs 32 Caa1 Ba3 CCC B 151.317-Mar-10 Ford Motor Company 7 5/7% Debs 97 Caa1 Ba3 CCC B 142.217-Mar-10 Ford Motor Company 9 3/8% Debs 20 Caa1 Ba3 CCC B 133.517-Mar-10 Ford Motor Company 6 5/8% Bds 28 Caa1 Ba3 CCC B 103.617-Mar-10 Ford Motor Company 8 7/8% Debs 22 Caa1 Ba3 CCC B 85.917-Mar-10 Ford Motor Company 7 3/4% Debs 43 Caa1 Ba3 CCC B 72.717-Mar-10 Neenah Paper 7 3/8% Sr Nts 14 B2 B2 B+ BB- 225.018-Mar-10 Sirius XM Radio 8 3/4% Sr Nts 15 Caa2 B3 B- B+ 800.019-Mar-10 Centene Corp 7 1/4% Sr Nts 14 Ba3 Ba2 BB- BB- 175.019-Mar-10 Chiquita Brands International 8 7/8% Sr Nts 15 Caa2 Caa1 B B 189.019-Mar-10 Chiquita Brands International 7 1/2% Sr Nts 14 Caa2 Caa1 B B 160.019-Mar-10 W&T Offshore 8 1/4% Sr Nts 14 Caa1 Caa1 B B+ 450.022-Mar-10 Amkor Technologies 9 1/4% Sr Nts 16 B2 Ba3 B+ BB- 390.022-Mar-10 Amkor Technologies 7 3/4% Sr Nts 13 B2 Ba3 B+ B+ 358.222-Mar-10 Amkor Technologies 7 1/8% Sr Nts 11 B2 Ba3 B+ B+ 53.622-Mar-10 MetroPCS 9 1/4% Sr Nts 14 B3 B2 B B 1,400.022-Mar-10 MetroPCS 9 1/4% Sr Nts 14 B3 B2 B B 550.022-Mar-10 Skilled Healthcare Group 11% Sr Sub Nts 14 Caa1 Caa1 B- CCC+ 130.023-Mar-10 Consol Energy 7 7/8% Sr Sec Nts 12 Ba1 Baa3 BBB BBB 250.023-Mar-10 E-Trade Financial 12 1/2% Sr Toggle Nts 17 NR NR CCC CCC+ 930.223-Mar-10 E-Trade Financial 7 3/8% Sr Nts 13 B3 B3 CCC CCC+ 414.723-Mar-10 E-Trade Financial 7 7/8% Sr Nts 15 B3 B3 CCC CCC+ 243.223-Mar-10 Kabelmedia Holdings 10 5/8% Sr Sec Nts (2nd Lien) 14 B2 B1 B BB- 610.024-Mar-10 Linn Energy 9 7/8% Sr Nts 18 B3 B2 B- B 255.924-Mar-10 Linn Energy 11 3/4% Sr Nts 17 B3 B2 B- B 250.024-Mar-10 NXP BV FLOAT Sr Sec Nts (1st Lien) 13 C B3 CC B- 1,259.424-Mar-10 NXP BV 9 1/2% Sr Nts 15 C Caa2 CC CCC+ 948.524-Mar-10 NXP BV 7 7/8% Sr Sec Nts (1st Lien) 14 C B3 CC B- 913.924-Mar-10 NXP BV 10% Sr Sec Nts 13 C C B- B+ 89.925-Mar-10 Alion Science and Technology 10 1/4% Sr Nts 15 Ca Caa2 CCC CCC 250.025-Mar-10 Orascom Telecom Finance 7 7/8% Sr Nts 14 Caa1 Caa1 CCC- CCC 750.026-Mar-10 Cable & Wireless Plc 7 3/4% Sr Sec Nts (1st Lien) 17 Ba2 Ba2 BB- BB 500.026-Mar-10 Georgia-Pacific 7 1/8% Sr Nts 17 Ba3 Ba2 BB+ BBB 750.026-Mar-10 Georgia-Pacific 8 1/4% Sr Nts 16 Ba3 Ba2 BB+ BBB 750.026-Mar-10 Georgia-Pacific 8 1/8% Sr Nts 11 B2 Ba3 BB BBB- 600.026-Mar-10 Georgia-Pacific 7 3/4% Sr Nts 29 B2 Ba3 BB BBB- 500.026-Mar-10 Georgia-Pacific 8% Sr Nts 24 B2 Ba3 BB BBB- 500.026-Mar-10 Georgia-Pacific 7% Sr Nts 15 Ba3 Ba2 BB+ BBB 500.026-Mar-10 Georgia-Pacific 8 7/8% Sr Nts 31 B2 Ba3 BB BBB- 400.026-Mar-10 Georgia-Pacific 7 1/4% Debs 28 B2 Ba3 BB BBB- 300.026-Mar-10 Georgia-Pacific 9 1/2% Debs 11 B2 Ba3 BB BBB- 250.026-Mar-10 Georgia-Pacific 7 3/8% Debs 25 B2 Ba3 BB BBB- 250.026-Mar-10 Georgia-Pacific 7 5/7% Debs 15 B2 Ba3 BB BBB- 250.0







December 2010

A45

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)26-Mar-10 Reddy Ice 0.000%/10.500% Sr Disc Nts 12 Caa1 Caa1 C CCC 151.026-Mar-10 Standard Pacific 7% Sr Nts 15 Caa1 B3 CCC B- 175.026-Mar-10 Standard Pacific 6 1/4% Sr Nts 14 Caa1 B3 CCC B- 150.026-Mar-10 Standard Pacific 7 3/4% Sr Nts 13 Caa1 B3 CCC B- 121.626-Mar-10 Standard Pacific 9 1/4% Sr Sub Nts 12 Caa3 Caa2 CCC- CCC+ 70.526-Mar-10 Standard Pacific 6 7/8% Sr Nts 11 Caa1 B3 CCC B- 48.626-Mar-10 Standard Pacific 6 1/2% Sr Nts 10 Caa1 B3 CCC B- 15.029-Mar-10 Allied Capital Corp 6 5/8% Sr Nts 11 B1 Ba1 BB BBB 319.929-Mar-10 Allied Capital Corp 6% Sr Nts 12 B1 Ba1 BB BBB 195.629-Mar-10 Deluxe Corp 7 3/8% Sr Nts 15 Ba2 Ba1 BB- BB- 200.029-Mar-10 Global Crossing Holding 12% Sr Sec Nts 15 B2 B2 B- B 750.029-Mar-10 Markwest Energy Partners 8 3/4% Sr Nts 18 B2 B1 B+ BB- 500.029-Mar-10 Markwest Energy Partners 8 1/2% Sr Nts 16 B2 B1 B+ BB- 275.029-Mar-10 Markwest Energy Partners 6 7/8% Sr Nts 14 B2 B1 B+ BB- 225.029-Mar-10 Markwest Energy Partners 6 7/8% Sr Nts 14 B2 B1 B+ BB- 150.030-Mar-10 Brown Shoe Company 8 3/4% Sr Nts 12 B3 B3 B- B+ 150.030-Mar-10 Continental Resources 8 1/4% Sr Nts 19 B2 B1 BB BB 300.030-Mar-10 Freedom Group 10 1/4% Sr Sec Nts (1st Lien) 15 B2 Ba3 B B 200.030-Mar-10 Virgin Media 9 1/2% Sr Nts 16 B2 Ba3 B B+ 1,350.030-Mar-10 Virgin Media 6 1/2% Sr Sec Nts (1st Lien) 18 Ba2 Ba1 BB BB+ 1,000.030-Mar-10 Virgin Media 8 3/8% Sr Sub Nts 19 B2 Ba3 B B+ 600.030-Mar-10 Virgin Media 9 1/8% Sr Nts 16 B2 B1 B B+ 550.030-Mar-10 Virgin Media 8 3/4% Sr Nts 14 B2 B1 B B+ 89.3

March total: 52 issuers 84,954.7

01-Apr-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B2 B1 B- B- 300.005-Apr-10 Affinity Group 9% Sr Sub Nts 12 Caa2 Caa2 C CC 137.805-Apr-10 Linn Energy 8 5/8% Sr Nts 20 B3 B2 B B 1,300.005-Apr-10 Nexstar Broadcasting 0.000%/11.375% Sr Disc Nts 13 Ca Caa2 CCC CCC+ 50.005-Apr-10 Verso Paper Holdings 9 1/8% Sr Sec Nts (2nd Lien) 14 B2 B2 B- B 350.005-Apr-10 Verso Paper Holdings 11 1/2% Sr Sec Nts (1st Lien) 14 Ba2 Ba2 B+ BB- 350.005-Apr-10 Verso Paper Holdings 11 3/8% Sr Sub Nts 16 Caa1 Caa1 CCC CCC+ 300.005-Apr-10 Verso Paper Holdings FLOAT Sr Sec Nts (2nd Lien) 14 B2 B2 B- B 250.006-Apr-10 Dole Food 13 7/8% Sr Sec Nts 14 B2 B1 B+ BB- 231.207-Apr-10 JC Penney 6 3/8% Sr Nts 36 Ba1 Ba1 BB BB+ 700.007-Apr-10 JC Penney 7 5/8% Debs 97 Ba1 Ba1 BB BB+ 500.007-Apr-10 JC Penney 7 2/5% Debs 37 Ba1 Ba1 BB BB+ 326.007-Apr-10 JC Penney 5 3/4% Sr Nts 18 Ba1 Ba1 BB BB+ 300.007-Apr-10 JC Penney 8% Debs 17 Ba1 Ba1 BB BB+ 285.007-Apr-10 JC Penney 7 1/8% Debs 23 Ba1 Ba1 BB BB+ 255.007-Apr-10 JC Penney 9% Sr Nts 12 Ba1 Ba1 BB BB+ 230.007-Apr-10 JC Penney 7 2/3% Debs 16 Ba1 Ba1 BB BB+ 200.007-Apr-10 JC Penney 6 7/8% Sr Nts 15 Ba1 Ba1 BB BB+ 200.007-Apr-10 Valeant Pharmaceuticals 8 3/8% Sr Nts 16 Ba3 Ba3 B+ BB- 365.012-Apr-10 Metals USA 11 1/8% Sr Sec Nts (1st Lien) 15 Caa1 B3 CCC- CCC 275.012-Apr-10 Metals USA FLOAT Sr Toggle Nts 12 Caa2 Caa2 CCC- CCC 186.313-Apr-10 Harrah's Operating 11 1/4% Sr Sec Nts (1st Lien) 17 Caa1 Caa1 B- B 2,095.013-Apr-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 18 Ca Ca CCC- CCC 809.513-Apr-10 Harrah's Operating 10 3/4% Sr Nts 16 Ca Ca CCC- CCC 470.513-Apr-10 Harrah's Operating 5 5/8% Bds 15 Ca Ca CCC- CCC 311.313-Apr-10 Harrah's Operating 6 1/2% Sr Nts 16 Ca Ca CCC- CCC 246.713-Apr-10 Harrah's Operating 5 1/2% Sr Nts 10 Ca Ca CCC- CCC 224.013-Apr-10 Harrah's Operating 5 3/4% Bds 17 Ca Ca CCC- CCC 144.013-Apr-10 Harrah's Operating 5 3/8% Sr Nts 13 Ca Ca CCC- CCC 92.7

Upgrades







December 2010

A46

D



Upgrades

13-Apr-10 Harrah's Operating 8 1/8% Sr Sub Nts 11 Ca Ca CCC- CCC 12.014-Apr-10 Charter Communications Holdings 8% Sr Sec Nts (2nd Lien) 12 B1 B1 BB- BB+ 1,100.014-Apr-10 Charter Communications Holdings 8 3/8% Sr Sec Nts (2nd Lien) 14 B1 B1 BB- BB 770.014-Apr-10 Charter Communications Holdings 10 7/8% Sr Sec Nts (2nd Lien) 14 B1 B1 BB- BB+ 545.914-Apr-10 Cott Beverages 8 3/8% Sr Nts 17 Caa1 B3 B B 215.014-Apr-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 15 Ca Ca CCC- CCC 188.215-Apr-10 Brigham Exploration 9 5/8% Sr Nts 14 Caa3 Caa3 CCC+ B+ 160.016-Apr-10 Apria Healthcare Group 12 3/8% Sr Sec Nts 14 B1 B1 B+ BB- 317.516-Apr-10 SS&C Technologies 11 3/4% Sr Sub Nts 13 Caa1 B3 B- B+ 205.016-Apr-10 Valassis Communications 8 1/4% Sr Nts 15 B3 Ba3 B- BB- 540.020-Apr-10 KRATON Polymers 8 1/8% Sr Sub Nts 14 Caa1 B3 CCC B- 170.020-Apr-10 Limited Brands 7% Sr Nts 17 Ba3 Ba3 BB- BB 700.020-Apr-10 Limited Brands 5 1/4% Sr Nts 14 Ba3 Ba3 BB- BB 500.020-Apr-10 Limited Brands 7% Sr Nts 33 Ba3 Ba3 BB- BB 350.020-Apr-10 Limited Brands 7 3/5% Sr Nts 37 Ba3 Ba3 BB- BB 300.020-Apr-10 Limited Brands 6 1/8% Sr Nts 12 Ba3 Ba3 BB- BB 191.520-Apr-10 Park-Ohio Industries 8 3/8% Sr Sub Nts 14 Caa2 Caa1 CCC+ CCC+ 192.921-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 B2 B- B- 235.021-Apr-10 Rexnord 9 1/2% Sr Nts 14 Caa2 Caa1 B- B- 795.021-Apr-10 Rexnord 11 3/4% Sr Sub Nts 16 Caa3 Caa2 CCC+ CCC+ 300.021-Apr-10 Rexnord 9 1/2% Sr Nts 14 Caa2 Caa1 B- B- 196.321-Apr-10 Rexnord 8 7/8% Sr Nts 16 Caa2 Caa1 B- B- 79.021-Apr-10 Standard Pacific 10 3/4% Sr Sec Nts 16 Caa1 B3 CCC CCC 280.022-Apr-10 Bon-Ton 10 1/4% Sr Nts 14 Caa2 Caa1 CCC CCC+ 510.022-Apr-10 Dillards 7 1/8% Sr Nts 18 B3 B3 B- B+ 162.122-Apr-10 Dillards 7% Sr Nts 28 B3 B3 B- B+ 145.822-Apr-10 Dillards 7 3/4% Debs 26 B3 B3 B- B+ 96.022-Apr-10 Dillards 6 5/8% Sr Nts 18 B3 B3 B- B+ 92.922-Apr-10 Dillards 7 3/4% Sr Nts 27 B3 B3 B- B+ 80.022-Apr-10 Dillards 7 6/7% Sr Nts 12 B3 B3 B- B+ 55.422-Apr-10 Dillards 9 1/8% Debs 11 B3 B3 B- B+ 50.822-Apr-10 Dillards 7 7/8% Debs 23 B3 B3 B- B+ 44.822-Apr-10 PolyOne 8 7/8% Sr Nts 12 B1 Ba3 B- B+ 280.022-Apr-10 Residential Capital Corporation 8 1/2% Sr Sec Nts (2nd Lien) 10 C C CCC CCC+ 743.326-Apr-10 Terremark Worldwide 12% Sr Sec Nts (1st Lien) 17 B2 B1 B- B- 470.027-Apr-10 Agile Property Holdings 8 7/8% Sr Nts 17 Ba3 Baa3 BB BB 650.027-Apr-10 Agilent Technologies 6 1/2% Sr Nts 17 Ba1 Baa3 BBB- BBB- 600.027-Apr-10 MGIC Investment Corp 5 3/8% Sr Nts 15 Caa1 B3 CCC CCC+ 300.027-Apr-10 MGIC Investment Corp 5 5/8% Sr Nts 11 Caa1 B3 CCC CCC+ 86.129-Apr-10 Hollywood Park 8 5/8% Sr Nts 17 B2 B1 BB BB 450.029-Apr-10 Millar Western Forest 7 3/4% Sr Nts 13 Caa1 Caa1 CCC+ B- 190.029-Apr-10 Seagate Technology 6 4/5% Sr Nts 16 Ba3 Ba1 B+ B+ 600.029-Apr-10 Seagate Technology 6 3/8% Sr Nts 11 Ba3 Ba1 B+ B+ 559.629-Apr-10 Seagate Technology 10% Sr Sec Nts (2nd Lien) 14 Ba1 Baa3 BB+ BB+ 430.0

April total: 34 issuers 26,424.9

03-May-10 Owens-Illinois 7 1/2% Sr Debs 10 B2 B1 B+ B+ 28.104-May-10 Popular North America 6 6/7% Sr Nts 12 Ba1 Ba1 B- B 275.004-May-10 Temple-Inland Inc 6.625%/6.875% Sr Nts 18 Ba1 Ba1 BBB- BBB 230.104-May-10 Temple-Inland Inc 7 7/8% Sr Nts 12 Ba1 Ba1 BBB- BBB 195.404-May-10 Temple-Inland Inc 6 3/8% Sr Nts 16 Ba1 Ba1 BBB- BBB 113.8







December 2010

A47

D


Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)05-May-10 CW Media Holdings 13 1/2% Sr Nts 15 Ca Ba2 CCC B+ 338.306-May-10 Calpine 8% Sr Sec Nts (1st Lien) 16 B1 Ba3 BB- BB- 1,000.006-May-10 Omnicare 6 7/8% Sr Sub Nts 15 B1 Ba2 B+ BB 525.006-May-10 Omnicare 6 1/8% Sr Sub Nts 13 B1 Ba2 B+ BB 250.007-May-10 Mercer International 9 1/4% Sr Nts 13 Caa2 Caa1 CCC+ B 310.010-May-10 Broadview Networks 11 3/8% Sr Sec Nts 12 B3 B3 CCC+ B- 300.010-May-10 Corporacion Interamericana de Ent., SA 8 7/8% Sr Nts 15 Caa1 Caa1 CC CCC 13.710-May-10 Firekeepers Development Authority 13 7/8% Sr Sec Nts (1st Lien) 15 B3 B2 B B+ 340.010-May-10 Ineos Group Holdings PLC 9% Sr Sec Nts (1st Lien) 15 B2 B1 B- B 570.010-May-10 Invacare Corp 9 3/4% Sr Nts 15 B2 B1 B+ BB 175.011-May-10 Macys Retail Holdings 5 1/3% Sr Nts 12 Ba2 Ba1 BB BB+ 1,100.011-May-10 Macys Retail Holdings 5 8/9% Sr Guar Nts 16 Ba2 Ba1 BB BB+ 1,100.011-May-10 Macys Retail Holdings 7 7/8% Sr Guar Nts 15 Ba2 Ba1 BB BB+ 650.011-May-10 Macys Retail Holdings 6 5/8% Sr Nts 11 Ba2 Ba1 BB BB+ 500.011-May-10 Macys Retail Holdings 6 3/8% Sr Nts 37 Ba2 Ba1 BB BB+ 500.011-May-10 Macys Retail Holdings 5 3/4% Sr Guar Nts 14 Ba2 Ba1 BB BB+ 496.511-May-10 Macys Retail Holdings 6 5/7% Sr Nts 34 Ba2 Ba1 BB BB+ 400.011-May-10 Macys Retail Holdings 5 7/8% Sr Nts 13 Ba2 Ba1 BB BB+ 350.011-May-10 Macys Retail Holdings 7% Sr Nts 28 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 17 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 6 2/3% Sr Nts 24 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 7% Sr Nts 32 Ba2 Ba1 BB BB+ 250.011-May-10 Macys Retail Holdings 6 5/7% Sr Nts 28 Ba2 Ba1 BB BB+ 200.011-May-10 Macys Retail Holdings 8% Sr Nts 12 Ba2 Ba1 BB BB+ 200.011-May-10 Macys Retail Holdings 6 4/5% Sr Nts 27 Ba2 Ba1 BB BB+ 165.011-May-10 Macys Retail Holdings 10 5/8% Sr Nts 10 Ba2 Ba1 BB BB+ 150.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 11 Ba2 Ba1 BB BB+ 150.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 16 Ba2 Ba1 BB BB+ 125.011-May-10 Macys Retail Holdings 7 5/8% Sr Nts 13 Ba2 Ba1 BB BB+ 125.011-May-10 Macys Retail Holdings 7 7/8% Sr Nts 36 Ba2 Ba1 BB BB+ 108.411-May-10 Macys Retail Holdings 7 1/2% Sr Nts 15 Ba2 Ba1 BB BB+ 100.011-May-10 Macys Retail Holdings 8 1/8% Sr Nts 35 Ba2 Ba1 BB BB+ 76.011-May-10 Macys Retail Holdings 8 1/2% Sr Nts 10 Ba2 Ba2 BB BB+ 76.011-May-10 Macys Retail Holdings 8 3/4% Sr Nts 29 Ba2 Ba1 BB BB+ 61.212-May-10 Targa Resources 11 1/4% Sr Nts 17 B2 B1 B B+ 231.312-May-10 Targa Resources 8 1/4% Sr Nts 16 B2 B1 B B+ 209.112-May-10 UnumProvident 7 1/8% Sr Nts 16 Ba1 Baa3 BBB- BBB- 350.012-May-10 UnumProvident 6 6/7% Sr Guar Nts 15 Ba1 Baa3 BBB- BBB- 296.512-May-10 UnumProvident 7 2/5% Trust Pfd Secs 38 Ba2 Ba1 BB BB 226.512-May-10 UnumProvident 7 5/8% Sr Nts 11 Ba1 Baa3 BBB- BBB- 225.112-May-10 UnumProvident 7% Sr Nts 18 Ba1 Baa3 BBB- BBB- 200.012-May-10 UnumProvident 7 1/4% Sr Nts 28 Ba1 Baa3 BBB- BBB- 200.012-May-10 UnumProvident 6 3/4% Sr Nts 28 Ba1 Baa3 BBB- BBB- 165.812-May-10 UnumProvident 7 1/5% Sr Nts 28 Ba1 Baa3 BBB- BBB- 50.012-May-10 UnumProvident 7 3/8% Debs 32 Ba1 Baa3 BBB- BBB- 39.513-May-10 Domtar 7 1/8% Sr Nts 15 Ba3 Ba2 BB- BBB- 400.013-May-10 Domtar 10 3/4% Sr Nts 17 Ba3 Ba2 BB- BBB- 400.013-May-10 Domtar 5 3/8% Sr Nts 13 Ba3 Ba2 BB- BBB- 350.013-May-10 Domtar 7 7/8% Sr Nts 11 Ba3 Ba2 BB- BBB- 139.813-May-10 Domtar 9 1/2% Debs 16 Ba3 Ba2 BB- BBB- 125.0

Upgrades







December 2010

A48

D



Upgrades

13-May-10 Gibraltar Industries Inc 8% Sr Sub Nts 15 B3 B3 B B+ 204.017-May-10 Macys Retail Holdings 7% Sr Nts 29 Ba2 Ba1 BB+ BB+ 400.018-May-10 American Tire Distributors 10 3/4% Sr Nts 13 Caa1 B3 CCC+ CCC+ 150.018-May-10 American Tire Distributors FLOAT Sr Nts 12 Caa1 B3 CCC+ CCC+ 140.018-May-10 Chartered Semiconductor 6 1/4% Sr Nts 13 B1 Ba3 BB- BB- 300.018-May-10 Chartered Semiconductor 5 3/4% Sr Nts 10 B1 Ba3 BB- BB 216.418-May-10 Chartered Semiconductor 6 3/8% Sr Nts 15 B1 Ba3 BB- BB 97.118-May-10 Ford Motor Company 7% Sr Nts 15 B1 Ba2 B- B+ 1,750.018-May-10 Ineos Group Holdings PLC 8 1/2% Sec Nts (2nd Lien) 16 Caa3 Caa2 CCC- CCC 700.018-May-10 L-3 Communications 6 3/8% Sr Sub Nts 15 Ba2 Ba1 BB+ BB+ 1,000.018-May-10 L-3 Communications 5 7/8% Sr Sub Nts 15 Ba2 Ba1 BB+ BB+ 650.018-May-10 L-3 Communications 6 1/8% Sr Sub Nts 13 Ba2 Ba1 BB+ BB+ 400.018-May-10 L-3 Communications 6 1/8% Sr Sub Nts 14 Ba2 Ba1 BB+ BB+ 400.019-May-10 Health Net 6 3/8% Sr Nts 17 Ba3 Ba3 BB- BB 400.019-May-10 Innophos 8 7/8% Sr Sub Nts 14 Ba3 Ba3 B+ BB- 190.020-May-10 Acco Brands Corp 10 5/8% Sr Sec Nts (1st Lien) 15 B2 B1 BB- BB- 460.020-May-10 Acco Brands Corp 7 5/8% Sr Sub Nts 15 Caa2 Caa1 B- B- 271.320-May-10 Beverages & More Inc 9 1/4% Sr Sec Nts 12 Caa2 Caa1 CCC+ B- 100.020-May-10 Greentown China Holdings 9% Sr Sub Sec Nts 13 Caa2 Caa1 B- B- 38.720-May-10 Hopson Development Hldgs 8 1/8% Sr Sec Nts 12 B3 B2 B+ B+ 350.020-May-10 Ply Gem Industries 13 1/8% Sr Sub Nts 14 Caa3 Caa1 CCC- CCC 150.021-May-10 Barrington Broadcasting 10 1/2% Sr Sub Nts 14 Caa3 Caa2 CCC- CCC- 57.224-May-10 Associated Materials 0.000%/11.250% Sr Disc Nts 14 Caa2 Caa2 CCC- CCC+ 446.024-May-10 Associated Materials 9 7/8% Sr Sec Nts (2nd Lien) 16 B2 B1 CCC B+ 200.025-May-10 Radian Group 5 3/8% Sr Nts 15 Caa1 B3 CCC CCC+ 250.025-May-10 Radian Group 5 5/8% Sr Nts 13 Caa1 B3 CCC CCC+ 250.025-May-10 Radian Group 7 3/4% Sr Nts 11 Caa1 B3 CCC CCC+ 159.426-May-10 Education Management 8 3/4% Sr Nts 14 B2 B2 B- B 375.026-May-10 Education Management 10 1/4% Sr Sub Nts 16 B3 B3 B- B 47.726-May-10 HSN 11 1/4% Sr Nts 16 Ba3 Ba2 BB- BB- 240.026-May-10 Omnicare 6 3/4% Sr Sub Nts 13 Ba2 Ba2 B+ BB 225.026-May-10 Sanmina 8 1/8% Sr Sub Nts 16 B2 B2 CCC CCC+ 600.026-May-10 Sanmina 6 3/4% Sr Sub Nts 13 B2 B2 CCC CCC+ 400.026-May-10 Sanmina FLOAT Sr Nts 14 Ba3 Ba3 B- B 257.427-May-10 James River Coal Co 9 3/8% Sr Nts 12 Ca Caa1 B B+ 150.028-May-10 Crown Cork and Seal 7 3/4% Sr Nts 15 B1 Ba3 BB- BB- 600.028-May-10 Crown Cork and Seal 7 5/8% Sr Nts 17 B1 Ba3 BB- BB- 400.028-May-10 Crown Cork and Seal 7 3/8% Debs 26 B2 B1 B+ B+ 350.028-May-10 Crown Cork and Seal 7 5/8% Sr Nts 13 B1 Ba3 BB- BB- 200.028-May-10 Crown Cork and Seal 7 1/2% Debs 96 B2 B1 B+ B+ 64.028-May-10 Quicksilver Resources 11 3/4% Sr Nts 16 B2 B2 B B+ 600.028-May-10 Quicksilver Resources 7 3/4% Sr Guar Nts 15 B2 B2 B B+ 475.028-May-10 Quicksilver Resources 9 1/8% Sr Nts 19 B2 B2 B B+ 300.028-May-10 Sally Beauty 9 1/4% Sr Nts 14 B3 B3 B BB- 430.028-May-10 Sally Beauty 10 1/2% Sr Sub Nts 16 Caa1 Caa1 B- B 280.028-May-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa2 Caa2 CCC+ B- 200.0

May total: 42 issuers 31,980.3

07-Jun-10 Michaels Stores 10% Sr Nts 14 Caa2 Caa1 CCC CCC 750.007-Jun-10 Michaels Stores 0.000%/13.000% Sr Disc Nts 16 Caa3 Caa2 CCC CCC 469.4







December 2010

A49

D



Upgrades

07-Jun-10 Michaels Stores 11 3/8% Sr Sub Nts 16 Caa3 Caa2 CCC CCC 400.008-Jun-10 Watson Pharmaceuticals 5% Sr Nts 14 Ba1 Baa3 BBB- BBB- 450.008-Jun-10 Watson Pharmaceuticals 6 1/8% Sr Nts 19 Ba1 Baa3 BBB- BBB- 400.009-Jun-10 Dollar General 11 7/8% Sr Sub Toggle Nts 17 B3 B2 B B+ 450.710-Jun-10 ArvinMeritor 8 1/8% Sr Nts 15 Caa2 Caa1 CCC- CCC 252.510-Jun-10 ArvinMeritor 10 5/8% Sr Nts 18 Caa2 Caa1 CCC- CCC 250.010-Jun-10 ArvinMeritor 8 3/4% Sr Nts 12 Caa2 Caa1 CCC- CCC 101.010-Jun-10 Gibson Energy 10% Sr Nts 18 B3 Ba3 B- B- 200.010-Jun-10 Neiman Marcus Group 9% Sr Toggle Nts 15 Caa2 Caa1 B- B- 752.410-Jun-10 Neiman Marcus Group 10 3/8% Sr Sub Nts 15 Caa3 Caa2 CCC+ CCC+ 500.010-Jun-10 Neiman Marcus Group 7 1/8% Sr Sec Nts (1st Lien) 28 B3 B2 BB- BB- 125.011-Jun-10 National Semiconductor 6 1/7% Sr Nts 12 Baa1 Baa1 BB+ BBB- 375.011-Jun-10 National Semiconductor 6 3/5% Sr Nts 17 Baa1 Baa1 BB+ BBB- 375.011-Jun-10 National Semiconductor FLOAT Sr Nts 10 Baa1 Baa1 BB+ BBB- 250.011-Jun-10 Packaging Dynamics 10% Sr Sub Nts 16 Caa1 Caa1 CCC CCC+ 150.014-Jun-10 Nordic Telephone Company 8 7/8% Sr Sec Nts (2nd Lien) 16 B1 B1 BB- BB 600.015-Jun-10 Atlantic Broadband Finance 9 3/8% Sr Sub Nts 14 Caa1 B3 B- B- 150.015-Jun-10 Local TV Finance 10% Sr Toggle Nts 15 Caa3 Caa2 CCC CCC 209.515-Jun-10 Westlake Chemical 6 5/8% Sr Nts 16 Ba3 Ba2 BB BBB- 250.017-Jun-10 American Greetings 7 3/8% Sr Nts 16 Ba3 Ba3 BB BB+ 22.017-Jun-10 Gardner Denver 8% Sr Sub Nts 13 B1 Ba2 BB BB 125.018-Jun-10 Tenet Healthcare 7 3/8% Sr Nts 13 Caa2 Caa1 CCC+ CCC+ 1,000.018-Jun-10 Tenet Healthcare 8 7/8% Sr Sec Nts 19 B2 B1 BB- BB- 925.018-Jun-10 Tenet Healthcare 10% Sr Sec Nts 18 B2 B1 BB- BB- 714.018-Jun-10 Tenet Healthcare 9% Sr Sec Nts 15 B2 B1 BB- BB- 713.518-Jun-10 Tenet Healthcare 9 1/4% Sr Nts 15 Caa2 Caa1 CCC+ CCC+ 491.018-Jun-10 Tenet Healthcare 6 7/8% Sr Nts 31 Caa2 Caa1 CCC+ CCC+ 428.518-Jun-10 Tenet Healthcare 9 7/8% Sr Nts 14 Caa2 Caa1 CCC+ CCC+ 99.918-Jun-10 Tenet Healthcare 6 1/2% Sr Nts 12 Caa2 Caa1 CCC+ CCC+ 58.121-Jun-10 CII Carbon 11 1/8% Sr Sub Nts 15 B3 B3 CCC+ B- 235.021-Jun-10 Kansas City Southern Railway 8% Sr Nts 18 B2 B1 B+ BB- 300.021-Jun-10 Kansas City Southern Railway 8% Sr Nts 15 B2 B1 B+ BB- 275.021-Jun-10 Kansas City Southern Railway 7 5/8% Sr Nts 13 B2 B1 B+ BB- 175.021-Jun-10 Kansas City Southern Railway 12 1/2% Sr Nts 16 B2 B1 B+ BB- 130.021-Jun-10 Kansas City Southern Railway 13% Sr Nts 13 B2 B1 B+ BB- 123.521-Jun-10 Kansas City Southern Railway 9 3/8% Sr Nts 12 B2 B2 B+ BB- 70.021-Jun-10 Salt Holdings 8% Sr Nts 19 B1 B1 B+ BB+ 100.022-Jun-10 Belo Corporation 8% Sr Nts 16 Ba2 Ba1 B+ BB- 275.022-Jun-10 Belo Corporation 7 1/4% Debs 27 B1 B1 B- B 240.022-Jun-10 Belo Corporation 7 3/4% Debs 27 B1 B1 B- B 200.022-Jun-10 Belo Corporation 6 3/4% Sr Nts 13 B1 B1 B- B 175.022-Jun-10 Exopac Holding 11 1/4% Sr Nts 14 B3 B3 B- B 220.025-Jun-10 Newport Television 13% Sr Toggle Nts 17 Caa3 Caa3 CC CCC 228.429-Jun-10 American Capital 6 6/7% Sr Nts 12 B2 B2 CC B- 550.030-Jun-10 CMP Susquehanna 9 7/8% Sr Sub Nts 14 Ca Caa3 CCC CCC 12.1

June total: 23 issuers 15,346.7

01-Jul-10 Novelis 7 1/4% Sr Nts 15 Caa1 B1 B- B- 1,124.201-Jul-10 Novelis 11 1/2% Sr Nts 15 Caa1 B1 B- B- 185.006-Jul-10 MGM Mirage 10 3/8% Sr Sec Nts 14 B1 B1 B B+ 650.006-Jul-10 Southwestern Energy 7 1/2% Sr Nts 18 Ba2 Ba1 BB+ BBB- 600.0







December 2010

A50

D



Upgrades

08-Jul-10 Graphic Packaging 9 1/2% Sr Sub Nts 13 B3 B3 B- B 425.008-Jul-10 Regency Energy Partners 8 3/8% Sr Nts 13 B1 B1 B B+ 357.508-Jul-10 Regency Energy Partners 9 3/8% Sr Nts 16 B1 B1 B B+ 250.009-Jul-10 Graphic Packaging 9 1/2% Sr Nts 17 B3 B3 B- B 425.009-Jul-10 Vanguard Health Systems 8% Sr Nts 18 B3 B3 CCC+ B- 1,175.012-Jul-10 Altegrity 10 1/2% Sr Sub Nts 15 Caa2 Caa2 CCC CCC+ 290.012-Jul-10 Altegrity 11 3/4% Sr Sub Nts 16 Caa2 Caa2 CCC CCC+ 150.012-Jul-10 Great Canadian Gaming Co 7 1/4% Sr Sub Nts 15 B2 B2 BB- BB 170.014-Jul-10 GOL Finance 7 1/2% Guar Nts 17 B1 Ba3 NR NR 221.315-Jul-10 Avago Technologies 11 7/8% Sr Sub Nts 15 Ba3 Ba1 B+ BB+ 230.715-Jul-10 Paramount Resources 8 1/2% Sr Nts 13 Caa1 B3 B B 90.216-Jul-10 INVISTA/Arteva Specialties 9 1/4% Sr Nts 12 Ba3 Ba3 B BB- 325.322-Jul-10 New York Times 5% Sr Nts 15 B1 B1 B B+ 250.022-Jul-10 New York Times 4 3/5% Sr Nts 12 B1 B1 B B+ 75.023-Jul-10 Perry Ellis International 8 7/8% Sr Sub Nts 13 B3 B3 B- B 104.026-Jul-10 Advanced Micro Devices 8 1/8% Sr Nts 17 Ba3 Ba3 B- B+ 500.027-Jul-10 Yonkers Racing Corp 11 3/8% Sr Sec Nts (2nd Lien) 16 B1 B1 B+ BB- 225.029-Jul-10 Viskase Companies 9 7/8% Sr Sec Nts 18 B2 B2 B- B 215.030-Jul-10 Rockwood Specialties 7 1/2% Sr Sub Nts 14 B3 B3 B- B 200.0

July total: 19 issuers 8,238.2

02-Aug-10 Ford Motor Company 9 3/4% Sr Nts 10 Ba3 Ba3 B- B+ 1,520.702-Aug-10 Ford Motor Company 6 5/8% Sr Nts 17 Ba3 Ba2 B- B+ 1,250.002-Aug-10 United Air Lines 9 7/8% Sr Sec Nts (1st Lien) 13 B3 Ba3 B+ BB- 500.002-Aug-10 United Air Lines 12% Sr Sec Nts (2nd Lien) 13 Caa2 B3 CCC CCC+ 200.002-Aug-10 United Air Lines 12 3/4% Sr Sec Nts 12 B2 Ba2 B+ BB- 175.003-Aug-10 Dasa Finance 8 3/4% Guar Nts 18 NR NR BB- BB 250.003-Aug-10 Petrohawk Energy Corp 7 7/8% Sr Nts 15 B3 B3 B B+ 800.003-Aug-10 Petrohawk Energy Corp 9 1/8% Sr Nts 13 B3 B3 B B+ 768.603-Aug-10 Petrohawk Energy Corp 10 1/2% Sr Nts 14 B3 B3 B B+ 600.003-Aug-10 Petrohawk Energy Corp 7 1/8% Sr Nts 12 B3 B3 B B+ 275.003-Aug-10 Sensata Technologies 8% Sr Nts 14 Caa1 Caa1 CCC+ B- 201.204-Aug-10 Virgin Media 9 1/8% Sr Nts 16 B1 Ba3 B+ B+ 550.005-Aug-10 Sinclair Broadcast 9 1/4% Sr Sec Nts (2nd Lien) 17 B2 Ba3 B- B+ 500.005-Aug-10 Sinclair Broadcast 8% Sr Sub Nts 12 Caa1 B2 CCC+ B- 224.705-Aug-10 TRW Automotive 8 7/8% Sr Nts 17 B3 B2 B+ BB 250.009-Aug-10 Building Materials 7 1/2% Sr Nts 20 B3 B1 BB- BB+ 325.009-Aug-10 Building Materials 7% Sr Sec Nts (1st Lien) 20 Ba3 Ba2 BBB- BBB 250.010-Aug-10 Pinnacle Food Holdings 9 1/4% Sr Nts 15 Caa2 B3 CCC+ CCC+ 325.010-Aug-10 Pinnacle Food Holdings 9 1/4% Sr Nts 15 Caa2 B3 CCC+ CCC+ 300.010-Aug-10 Pinnacle Food Holdings 10 5/8% Sr Sub Nts 17 Caa2 Caa1 CCC+ CCC+ 199.010-Aug-10 SPX 7 5/8% Sr Nts 14 Ba2 Ba1 BB BB+ 500.011-Aug-10 Oshkosh Corporation 8 1/4% Sr Nts 17 B3 B2 B- BB- 250.011-Aug-10 Oshkosh Corporation 8 1/2% Sr Nts 20 B3 B2 B- BB- 250.012-Aug-10 Cardtronics Inc 9 1/4% Sr Sub Nts 13 B3 B2 B+ B+ 200.012-Aug-10 Cardtronics Inc 9 1/4% Sr Sub Nts 13 B3 B2 B+ B+ 100.012-Aug-10 SPX 6 7/8% Guar Nts 17 Ba2 Ba1 BB+ BB+ 600.013-Aug-10 Church & Dwight 6% Sr Sub Nts 12 Ba2 Ba1 BB+ BB+ 250.013-Aug-10 Jarden Corp 7 1/2% Sr Sub Nts 20 B3 B1 B B 275.013-Aug-10 QWest Communications International 8 7/8% Sr Nts 12 Ba1 Baa3 BBB- BBB- 1,500.013-Aug-10 QWest Communications International 6 7/8% Debs 33 Ba1 Baa3 BBB- BBB- 1,000.0







December 2010

A51

D



Upgrades

13-Aug-10 QWest Communications International 7 7/8% Sr Nts 11 Ba1 Baa3 BBB- BBB- 825.013-Aug-10 QWest Communications International 8 3/8% Sr Nts 16 Ba1 Baa3 BBB- BBB- 810.513-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba3 Ba2 B+ B+ 800.013-Aug-10 QWest Communications International 7 1/8% Sr Nts 18 Ba3 Ba2 B+ B+ 800.013-Aug-10 QWest Communications International FLOAT Sr Nts 13 Ba1 Baa3 BBB- BBB- 750.013-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba1 Baa3 BBB- BBB- 600.013-Aug-10 QWest Communications International 8% Sr Nts 15 Ba3 Ba2 B+ B+ 550.013-Aug-10 QWest Communications International 6 1/2% Sr Nts 17 Ba1 Baa3 BBB- BBB- 500.013-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba3 Ba2 B+ B+ 498.313-Aug-10 QWest Communications International 7 1/2% Debs 23 Ba1 Baa3 BBB- BBB- 484.013-Aug-10 QWest Communications International 7 5/8% Sr Nts 15 Ba1 Baa3 BBB- BBB- 400.013-Aug-10 QWest Communications International 7 3/4% Sr Nts 31 B1 Ba3 B+ B+ 358.113-Aug-10 QWest Communications International 6 7/8% Sr Nts 28 B1 Ba3 B+ B+ 351.713-Aug-10 QWest Communications International 7 1/4% Debs 25 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/8% Debs 43 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/4% Debs 35 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/5% Debs 26 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/4% Sr Guar Nts 11 B1 Ba3 B+ B+ 179.513-Aug-10 QWest Communications International 6 1/2% Sr Guar Nts 18 B1 Ba3 B+ B+ 174.413-Aug-10 QWest Communications International 7 5/8% Sr Guar Nts 21 B1 Ba3 B+ B+ 97.213-Aug-10 QWest Communications International 7 3/8% Debs 30 Ba1 Baa3 BBB- BBB- 55.213-Aug-10 Sothebys Holdings 7 3/4% Sr Nts 15 B1 Ba3 B BB- 128.313-Aug-10 Thermadyne Holdings 9 1/4% Sr Sub Nts 14 Caa1 Caa1 CCC B- 175.013-Aug-10 Unisys 12 3/4% Sr Sec Nts (1st Lien) 14 Ba3 Ba1 BB- BB 385.013-Aug-10 Unisys 14 1/4% Sr Sec Nts (2nd Lien) 15 Ba3 Ba2 BB- BB 246.613-Aug-10 Unisys 12 1/2% Sr Nts 16 Caa1 B2 B B+ 150.613-Aug-10 Unisys 8% Sr Nts 12 Caa1 B2 B B+ 68.016-Aug-10 Toys R Us 10 3/4% Sr Nts 17 B3 B2 B+ B+ 950.016-Aug-10 Toys R Us 8 1/2% Sr Sec Nts 17 Ba2 Ba1 B+ B+ 725.016-Aug-10 Toys R Us 7 5/8% Sr Nts 11 Caa1 B3 CCC+ CCC+ 500.016-Aug-10 Toys R Us 7 7/8% Sr Nts 13 Caa1 B3 CCC+ CCC+ 400.016-Aug-10 Toys R Us 7 3/8% Sr Nts 18 Caa1 B3 CCC+ CCC+ 400.018-Aug-10 Amkor Technologies 7 3/8% Sr Nts 18 Ba3 Ba3 B+ BB- 345.018-Aug-10 Energy Future Holdings 12% Sr Toggle Nts 17 Caa3 Caa3 CC CCC+ 2,943.918-Aug-10 Energy Future Holdings 10 7/8% Sr Nts 17 Caa3 Caa3 CC CCC+ 1,830.518-Aug-10 Las Vegas Sands 6 3/8% Sr Sec Nts 15 B3 B1 B- BB- 215.319-Aug-10 CE Casecnan Water & Energy 12% Sr Sec Nts 10 Ba3 Ba3 BB- BB+ 8.620-Aug-10 Russel Metals 6 3/8% Sr Nts 14 Ba2 Ba1 BB BB 175.020-Aug-10 Tyson Foods 6 3/5% Sr Nts 16 Ba3 Ba2 BB BB+ 869.820-Aug-10 Tyson Foods 10 1/2% Sr Nts 14 Ba3 Ba2 BB BB+ 810.020-Aug-10 Tyson Foods 8 1/4% Sr Nts 11 B2 B1 BB BB+ 556.020-Aug-10 Tyson Foods 7% Sr Nts 18 B2 B1 BB BB+ 140.020-Aug-10 Tyson Foods 7% Sr Nts 28 B2 B1 BB BB+ 26.723-Aug-10 Quiksilver Inc 6 7/8% Sr Nts 15 Caa2 Caa1 CCC CCC+ 400.024-Aug-10 Inergy 6 7/8% Sr Nts 14 B1 Ba3 B+ B+ 425.024-Aug-10 Inergy 8 1/4% Sr Nts 16 B1 Ba3 B+ B+ 400.024-Aug-10 Inergy 8 3/4% Sr Nts 15 B1 Ba3 B+ B+ 225.024-Aug-10 Seitel 9 3/4% Sr Nts 14 Caa3 Caa3 CCC CCC+ 400.024-Aug-10 Trimas Corp 9 3/4% Sr Sec Nts (2nd Lien) 17 Caa1 B3 B- B- 250.025-Aug-10 Accellent Inc 8 3/8% Sr Sec Nts (1st Lien) 17 B3 B1 B+ B+ 400.026-Aug-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 CCC+ B- 275.9







December 2010

A52

D



Upgrades

26-Aug-10 LIN Television 8 3/8% Sr Nts 18 Ba3 Ba3 B+ BB- 200.026-Aug-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 CCC+ B- 141.327-Aug-10 Nexstar Broadcasting 8 7/8% Sr Sec Nts (2nd Lien) 17 B3 B3 B- B 325.027-Aug-10 Nexstar Broadcasting 0 1/2% Sr Sub Nts 14 Caa2 Caa2 CCC CCC+ 142.327-Aug-10 Nexstar Broadcasting 7% Sr Sub Nts 14 Caa2 Caa2 CCC CCC+ 48.927-Aug-10 Swift Transportation 12 1/2% Sr Sec Nts 17 Caa3 Caa2 CCC- CCC 505.627-Aug-10 Swift Transportation FLOAT Sr Sec Nts 15 Caa3 Caa2 CCC- CCC 240.030-Aug-10 General Nutrition FLOAT Sr Toggle Nts 14 Caa1 Caa1 CCC+ B- 300.030-Aug-10 General Nutrition 10 3/4% Sr Sub Nts 15 Caa2 Caa2 CCC+ B- 110.0

August total: 36 issuers 40,461.2

03-Sep-10 Realogy 10 1/2% Sr Nts 14 Ca Caa3 C C 1,700.003-Sep-10 Realogy 11 3/4% Sr Toggle Nts 14 Ca Caa3 C C 443.809-Sep-10 McClatchy 11 1/2% Sr Sec Nts (1st Lien) 17 Caa1 B1 B- B- 875.010-Sep-10 Graham Packaging 8 1/4% Sr Nts 17 Caa1 Caa1 CCC+ B- 253.413-Sep-10 HBOS plc 6 3/4% Sub Nts 18 Ba1 Baa3 BBB- BBB- 2,000.013-Sep-10 HBOS plc 6% Sr Sub Nts 33 Ba1 Baa3 BBB- BBB- 750.013-Sep-10 Omega Healthcare Investors 7% Sr Nts 14 Ba3 Ba2 BB+ BB+ 310.013-Sep-10 Omega Healthcare Investors 7 1/2% Sr Nts 20 Ba3 Ba2 BB+ BB+ 200.013-Sep-10 Omega Healthcare Investors 7% Sr Nts 16 Ba3 Ba2 BB+ BB+ 175.014-Sep-10 Huntsman ICI Chemicals 5 1/2% Sr Nts 16 B1 B1 B- B 600.014-Sep-10 Huntsman ICI Chemicals 8 5/8% Sr Sub Nts 20 B3 B3 CCC+ B- 350.014-Sep-10 Huntsman ICI Chemicals 7 7/8% Sr Sub Nts 14 B3 B3 CCC+ B- 347.014-Sep-10 Huntsman ICI Chemicals 7 3/8% Sr Sub Nts 15 B3 B3 CCC+ B- 175.015-Sep-10 West Corp 9 1/2% Sr Nts 14 Caa1 B3 B- B 650.016-Sep-10 Momentive Performance 9 3/4% Sr Nts 14 Caa2 Caa1 CCC- CCC 716.616-Sep-10 Momentive Performance 11 1/2% Sr Sub Nts 16 Caa3 Caa2 CCC- CCC 381.916-Sep-10 Momentive Performance 10 1/8% Sr Toggle Nts 14 Caa2 Caa1 CCC- CCC 214.116-Sep-10 Momentive Performance 12 1/4% Sr Sec Nts (2nd Lien) 14 B3 B2 CCC- CCC 200.016-Sep-10 Reynolds Group Escrow 8 1/2% Sr Nts 18 Caa1 Caa1 B- B 1,000.021-Sep-10 Atlas Pipeline Partners 8 1/8% Sr Nts 15 Caa2 B3 CCC B- 275.521-Sep-10 Atlas Pipeline Partners 8 3/4% Sr Guar Nts 18 Caa2 B3 CCC B- 223.121-Sep-10 Lear 7 7/8% Sr Nts 18 B1 Ba3 BB- BB+ 350.021-Sep-10 Lear 8 1/8% Sr Nts 20 B1 Ba3 BB- BB+ 350.021-Sep-10 Whiting Petroleum 7% Sr Sub Nts 14 B1 Ba3 BB BB 250.022-Sep-10 Credit Acceptance Corp 9 1/8% Sr Sec Nts (1st Lien) 17 B1 B1 BB- BB 250.023-Sep-10 Alliant Techsystems 6 3/4% Sr Sub Nts 16 B1 Ba3 BB- BB- 400.023-Sep-10 Alliant Techsystems 6 7/8% Sr Sub Nts 20 B1 Ba3 BB- BB- 350.023-Sep-10 West Frasor Timber 5 1/5% Sr Nts 14 Ba1 Ba1 BB BB+ 300.027-Sep-10 United Components FLOAT Sr Nts 13 Caa3 Caa1 CCC CCC+ 347.128-Sep-10 Digitalglobe 10 1/2% Sr Sec Nts (1st Lien) 14 Ba3 Ba3 BB BBB- 355.028-Sep-10 Geoeye 9 5/8% Sr Sec Nts 15 B1 B1 B BB- 400.028-Sep-10 HealthSouth Rehabilitation 10 3/4% Sr Nts 16 Caa1 B2 CCC+ B+ 500.528-Sep-10 HealthSouth Rehabilitation 8 1/8% Sr Nts 20 Caa1 B2 CCC+ B+ 290.029-Sep-10 Baker & Taylor 11 1/2% Sr Sec Nts 13 B3 B3 CCC CCC+ 165.029-Sep-10 Unifi 11 1/2% Sr Sec Nts (1st Lien) 14 Caa2 Caa1 B- B- 163.729-Sep-10 VNU NV 0.000%/12.500% Sr Sub Disc Nts 16 Caa1 Caa1 CCC+ B- 1,070.029-Sep-10 VNU NV 10% Sr Nts 14 Caa1 Caa1 B- B 870.029-Sep-10 VNU NV 11 1/2% Sr Nts 16 Caa1 Caa1 B- B 500.029-Sep-10 VNU NV 11 5/8% Sr Nts 14 Caa1 Caa1 B- B 330.0

September total: 22 issuers 19,081.7







December 2010

A53

D



Upgrades

01-Oct-10 CSN Iron 6 7/8% Sr Nts 19 Ba1 Ba1 BB+ BBB- 750.001-Oct-10 CSN Iron 9 3/4% Sr Nts 13 Ba1 Ba1 BB+ BBB- 550.001-Oct-10 CSN Iron 10% Sr Nts 15 Ba1 Ba1 BB+ BBB- 400.001-Oct-10 CSN Resources SA 6 1/2% Guar Nts 20 Ba1 Ba1 BB+ BBB- 1,000.001-Oct-10 Geoeye 9 5/8% Sr Sec Nts 15 B1 Ba3 BB- BB- 400.001-Oct-10 Starwood Hotels Resorts 7 7/8% Sr Nts 12 Ba1 Ba1 BB BB+ 605.101-Oct-10 Starwood Hotels Resorts 7 7/8% Sr Nts 14 Ba1 Ba1 BB BB+ 500.001-Oct-10 Starwood Hotels Resorts 6 1/4% Sr Nts 13 Ba1 Ba1 BB BB+ 494.901-Oct-10 Starwood Hotels Resorts 7 3/8% Debs 15 Ba1 Ba1 BB BB+ 450.001-Oct-10 Starwood Hotels Resorts 6 3/4% Sr Nts 18 Ba1 Ba1 BB BB+ 400.001-Oct-10 Starwood Hotels Resorts 7 1/7% Sr Nts 19 Ba1 Ba1 BB BB+ 250.004-Oct-10 Rotech Healthcare 9 1/2% Sr Sub Nts 12 Caa3 Caa2 CC B- 287.005-Oct-10 FMG Finance Pty Ltd 10 5/8% Sr Sec Nts (1st Lien) 16 B2 B1 B B 1,026.005-Oct-10 FMG Finance Pty Ltd 10% Sr Sec Nts (1st Lien) 13 B2 B1 B B 317.505-Oct-10 FMG Finance Pty Ltd FLOAT Sr Sec Nts (1st Lien) 11 B2 B1 B B 250.007-Oct-10 Broadwing 8 1/4% Sr Nts 17 B2 B2 B- B+ 500.007-Oct-10 Broadwing 7% Sr Nts 15 B2 B2 B- B+ 250.007-Oct-10 Broadwing 6 2/7% Sr Guar Nts 28 Ba2 Ba1 BB BB 134.507-Oct-10 Broadwing 7 1/4% Sr Sec Nts 23 Ba3 Ba2 BB BB 40.007-Oct-10 Broadwing 7 1/5% Sr Nts 23 Ba2 Ba1 BB BB 33.008-Oct-10 Advance Auto Parts 5 3/4% Sr Nts 20 Ba1 Baa3 BBB- BBB- 300.008-Oct-10 Forbes Energy Services 11% Sr Sec Nts (2nd Lien) 15 Caa2 Caa1 CCC CCC 192.508-Oct-10 Ford Motor Company 5 5/8% Sr Nts 15 Ba3 Ba2 B+ B+ 1,000.008-Oct-10 Spirit Aerosystems 7 1/2% Sr Nts 17 B2 Ba3 BB- BB- 300.012-Oct-10 Hapag-Lloyd 9 3/4% Guar Nts 17 B3 B2 B B 250.013-Oct-10 Commercial Vehicle 8% Sr Nts 13 Caa3 Caa2 CCC CCC 97.813-Oct-10 Freeport-McMoRan Copper & Gold 8 3/8% Sr Nts 17 Ba2 Baa3 BBB- BBB- 3,011.013-Oct-10 Freeport-McMoRan Copper & Gold 8 1/4% Sr Nts 15 Ba2 Baa3 BBB- BBB- 1,079.013-Oct-10 Manitowoc 9 1/2% Sr Nts 18 Caa1 B3 B+ B+ 400.013-Oct-10 Manitowoc 7 1/8% Sr Nts 13 Caa1 B3 B+ B+ 150.014-Oct-10 Energy Future Holdings 10% Sr Sec Nts 20 Ca Caa3 B+ B+ 946.018-Oct-10 Sirius XM Radio 7 5/8% Sr Nts 18 B3 B3 CCC+ B+ 700.019-Oct-10 Alrosa Finance 8 7/8% Guar Nts 14 Ba3 Ba3 B+ BB- 500.020-Oct-10 MDC Communications 11% Sr Guar Nts 16 B2 B2 B+ BB- 290.020-Oct-10 NXP BV 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 B3 CCC+ B- 1,000.020-Oct-10 Rural/Metro 0.000%/12.750% Sr Disc Nts 16 Caa1 B3 B B 93.520-Oct-10 United Rentals 10 7/8% Sr Nts 16 B3 B2 B B 500.020-Oct-10 United Rentals 9 1/4% Sr Nts 19 B3 B2 B B 500.021-Oct-10 Cosan SA Industria e Comercio 7% Nts 17 Ba3 Ba2 BB- BB 400.021-Oct-10 Cosan SA Industria e Comercio 9 1/2% Sr Nts 14 NR NR BB- BB 350.021-Oct-10 Delta Air Lines 12 1/4% Sr Sec Nts (2nd Lien) 15 B2 B2 CCC+ B 397.121-Oct-10 Newfield Exploration 6 7/8% Sr Sub Nts 20 Ba3 Ba2 BB+ BB+ 700.021-Oct-10 Newfield Exploration 7 1/8% Sr Sub Nts 18 Ba3 Ba2 BB+ BB+ 600.021-Oct-10 Newfield Exploration 6 5/8% Sr Sub Nts 16 Ba3 Ba2 BB+ BB+ 550.021-Oct-10 Newfield Exploration 6 5/8% Sr Sub Nts 14 Ba3 Ba2 BB+ BB+ 325.021-Oct-10 Univision Communications 7 7/8% Sr Sec Nts (1st Lien) 20 B2 B2 B- B 750.025-Oct-10 Tower Automotive Holdings 10 5/8% Sr Sec Nts (1st Lien) 17 B1 B1 B B+ 430.026-Oct-10 BWAY 10 1/8% Sr PIK Nts 15 Caa2 Caa1 CCC+ CCC+ 150.027-Oct-10 BorgWarner 8% Sr Nts 19 Ba1 Baa3 BBB BBB 134.027-Oct-10 BorgWarner 7 1/8% Sr Nts 29 Ba1 Baa3 BBB BBB 120.729-Oct-10 Norwegian Cruise Line 11 3/4% 1st Mtg Nts 16 B3 B2 B+ B+ 450.0







December 2010

A54

D



Upgrades

29-Oct-10 Vitamin Shoppe Industries FLOAT Sr Sec Nts 12 B2 B2 BB- BB 75.1October total: 31 issuers 25,379.7

01-Nov-10 Netflix 8 1/2% Sr Nts 17 Ba2 Ba2 BB- BB+ 200.001-Nov-10 Univision Communications 10 1/2% Sr Toggle Nts 15 Caa2 Caa2 CCC CCC+ 1,748.901-Nov-10 Univision Communications 12% Sr Sec Nts (1st Lien) 14 B2 B2 B- B 545.001-Nov-10 Univision Communications 7 6/7% Sr Sec Nts 11 B2 B2 B- B 7.402-Nov-10 Dollar General 10 5/8% Sr Nts 15 B3 B1 B+ B+ 929.302-Nov-10 Dow Chemical 7 3/4% Debs 96 Ba2 Baa3 BBB- BBB- 200.002-Nov-10 Dow Chemical 7 7/8% Debs 23 Ba2 Baa3 BBB- BBB- 175.002-Nov-10 Dow Chemical 7 1/2% Debs 25 Ba2 Baa3 BBB- BBB- 150.003-Nov-10 Energy XXI Gulf Coast 10% Sr Nts 13 Caa3 Caa2 B B+ 276.504-Nov-10 CW Media Holdings 13 1/2% Sr Nts 15 Ba2 Ba2 B+ BBB- 338.304-Nov-10 Hanesbrands 8% Sr Nts 16 B1 B1 B+ BB- 500.004-Nov-10 Hanesbrands FLOAT Sr Nts 14 B1 B1 B+ BB- 490.704-Nov-10 Pacific Rubiales Energy 8 3/4% Guar Nts 16 NR NR B+ BB- 450.004-Nov-10 Quality Distribution 11 3/4% Sr Sub Nts 13 Caa2 Caa2 CCC CCC+ 82.005-Nov-10 Ainsworth Lumber 11% Sr Nts 15 Caa3 Caa1 B- B- 384.805-Nov-10 Catalina Marketing 10 1/2% Sr Toggle Nts 15 B3 B2 B- B- 330.009-Nov-10 Cincinnati Bell Telephone 7 1/4% Sr Sec Nts 23 Ba2 Ba1 BB BB 40.009-Nov-10 Solutia 8 3/4% Sr Nts 17 B2 B1 B+ B+ 400.009-Nov-10 Solutia 7 7/8% Sr Nts 20 B2 B1 B+ B+ 300.009-Nov-10 Southwestern Energy 7 1/8% Sr Nts 17 Ba2 Ba1 NR NR 25.009-Nov-10 Tenneco Automotive 8 5/8% Sr Sub Nts 14 Caa1 Caa1 CCC+ B 500.009-Nov-10 Tenneco Automotive 8 1/8% Sr Nts 15 B2 B2 B BB- 250.009-Nov-10 Tenneco Automotive 7 3/4% Sr Nts 18 B2 B2 B BB- 225.010-Nov-10 HeidelbergCement AG 5 1/4% Sr Nts 13 B1 Ba3 BB- BB- 750.010-Nov-10 HeidelbergCement AG 6 1/8% Sr Nts 16 B1 Ba3 BB- BB- 750.010-Nov-10 Rouse 6 3/4% Sr Nts 13 C C C BB+ 800.010-Nov-10 Rouse 5 3/8% Sr Nts 13 C C C BB+ 450.010-Nov-10 Rouse 7 1/5% Sr Nts 12 C C C BB+ 400.012-Nov-10 Boise Paper Holdings 8% Sr Nts 20 B2 B2 BB- BB 300.012-Nov-10 CB Richard Ellis Service 11 5/8% Sr Sub Nts 17 Ba3 Ba2 B+ B+ 450.012-Nov-10 Frac Tech Services 7 1/8% Sr Nts 18 B2 B2 B- B+ 550.012-Nov-10 Life Technologies 6% Sr Nts 20 Ba1 Ba1 BBB- BBB 750.012-Nov-10 Life Technologies 4 2/5% Sr Nts 15 Ba1 Ba1 BBB- BBB 500.012-Nov-10 Life Technologies 3 3/8% Sr Nts 13 Ba1 Ba1 BBB- BBB 250.012-Nov-10 Minerva Overseas 10 7/8% Sr Nts 19 B3 B3 B- B 415.712-Nov-10 Minerva Overseas 9 1/2% Nts 17 B3 B3 B- B 74.515-Nov-10 Kansas City Southern Railway 7 3/8% Sr Nts 14 B2 B1 BB- BB- 165.016-Nov-10 Easton-Bell Sports 9 3/4% Sr Sec Nts 16 B3 B2 CCC+ B- 350.016-Nov-10 PAETEC Holding Corp 8 7/8% Sr Sec Nts (1st Lien) 17 B1 Ba3 B B 650.017-Nov-10 Checkout Holdings 0% Sr Disc Nts 15 B3 B3 B- B+ 438.617-Nov-10 Murray Energy 10 1/4% Sr Sec Nts 15 Caa1 B2 B+ B+ 540.017-Nov-10 Quezon Power 8 6/7% Sr Sec Nts 17 B2 B2 B B+ 136.517-Nov-10 Royal Caribbean Cruises 7% Sr Nts 13 Ba3 Ba3 BB- BB 550.017-Nov-10 Royal Caribbean Cruises 8 3/4% Sr Nts 11 Ba3 Ba3 BB- BB 500.017-Nov-10 Royal Caribbean Cruises 6 7/8% Sr Nts 13 Ba3 Ba3 BB- BB 350.017-Nov-10 Royal Caribbean Cruises 7 1/4% Sr Nts 16 Ba3 Ba3 BB- BB 350.017-Nov-10 Royal Caribbean Cruises 7 1/2% Debs 27 Ba3 Ba3 BB- BB 300.017-Nov-10 Royal Caribbean Cruises 11 7/8% Sr Nts 15 Ba3 Ba3 BB- BB 300.0







December 2010

A55

D


Upgrades

17-Nov-10 Royal Caribbean Cruises 7 1/4% Debs 18 Ba3 Ba3 BB- BB 150.018-Nov-10 Pep Boys 7 1/2% Sr Sub Nts 14 Caa1 Caa1 B- B 157.622-Nov-10 Servicemaster 7 4/9% Bds 27 Caa1 Caa1 CCC+ B- 195.024-Nov-10 Hynix Semiconductor 7 7/8% Sr Nts 17 B1 B1 B B+ 500.024-Nov-10 Koppers Industries 7 7/8% Sr Nts 19 B1 B1 B B+ 300.026-Nov-10 CEVA Group 11 1/2% Sr Sec Nts (2nd Lien) 18 Caa1 Caa1 CCC CCC+ 625.026-Nov-10 CEVA Group 11 5/8% Sr Sec Nts 16 Caa1 Caa1 CCC CCC+ 210.029-Nov-10 Lyondell Chemical 11% Sr Sec Nts (3rd Lien) 18 B3 B2 B B 3,240.329-Nov-10 Lyondell Chemical 8% Sr Sec Nts 17 Ba3 Ba2 BB BB 2,250.030-Nov-10 American Reprographics 10 1/2% Sr Nts 16 B1 B1 B+ BB- 200.030-Nov-10 Revlon Consumer Products 9 3/4% Sr Sec Nts 15 B3 B3 B- B 330.0

November total: 38 issuers 28,096.1

Total upgrades: 353 issuers 335,281.6Source: J.P. Morgan.







December 2010

A56

E

Rising stars


Moody’s S&P AmountIssuer Security Date Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)Ventas Realty 6.75% Guar Nts 17 04-Feb-10 Ba1 Baa3 BBB- BBB- 225.0Ventas Realty 6.5% Guar Nts 16 04-Feb-10 Ba1 Baa3 BBB- BBB- 200.0Ventas Realty 7.125% Guar Nts 15 04-Feb-10 Ba1 Baa3 BBB- BBB- 142.7Ventas Realty 9% Guar Nts 12 04-Feb-10 Ba1 Baa3 BBB- BBB- 82.4Ventas Realty 6.625% Guar Nts 14 04-Feb-10 Ba1 Baa3 BBB- BBB- 71.7Ventas Realty 6.75% Guar Nts 10 04-Feb-10 Ba1 Baa3 BBB- BBB- 1.4Affiliated Computer Services 4.7% Sr Nts 10 09-Feb-10 Ba2 Baa3 BBB- BBB- 250.0Affiliated Computer Services 5.2% Sr Nts 15 09-Feb-10 Ba2 Baa3 BBB- BBB- 250.0Williams Partners 7.5% Sr Nts 11 18-Feb-10 Ba2 Baa3 BBB- BBB- 150.0February total 1,373.1

DirecTV Holdings/Finance 7 5/8% Sr Nts 16 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,500.0DirecTV Holdings/Finance 6 3/8% Sr Nts 15 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0DirecTV Holdings/Finance 5 7/8% Sr Nts 19 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0DirecTV Holdings/Finance 4 3/4% Sr Nts 14 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0Consol Energy Inc 7 7/8% Sr Sec Nts 12 22-Mar-10 Ba1 Baa3 BBB BBB 250.0March total 4,750.0

Agilent Technologies 6 1/2% Sr Nts 17 27-Apr-10 Ba1 Baa3 BBB- BBB- 600.0Teck Cominco Limited 6.125% Sr Nts 35 27-Apr-10 Ba1 Baa3 BBB BBB 700.0Teck Cominco Limited 5.375% Sr Nts 15 27-Apr-10 Ba1 Baa3 BBB BBB 300.0Teck Cominco Limited 7% Sr Nts 12 27-Apr-10 Ba1 Baa3 BBB BBB 200.0Teck Resources 10.75% Sr Sec Nts (1st Lien) 19 27-Apr-10 Ba1 Baa3 BBB BBB 1,850.0Teck Resources 9.75% Sr Sec Nts (1st Lien) 14 27-Apr-10 Ba1 Baa3 BBB BBB 1,315.0Teck Resources 10.25% Sr Sec Nts (1st Lien) 16 27-Apr-10 Ba1 Baa3 BBB BBB 1,060.0April total 6,025.0

UnumProvident 7.125% Sr Nts 16 12-May-10 Ba1 Baa3 BBB- BBB- 350.0UnumProvident 6.85% Sr Guar Nts 15 12-May-10 Ba1 Baa3 BBB- BBB- 296.5UnumProvident 7.625% Sr Nts 11 12-May-10 Ba1 Baa3 BBB- BBB- 225.1UnumProvident 6.75% Sr Nts 28 12-May-10 Ba1 Baa3 BBB- BBB- 165.8UnumProvident 7.19% Sr Nts 28 12-May-10 Ba1 Baa3 BBB- BBB- 50.0UnumProvident 7.375% Debs 32 12-May-10 Ba1 Baa3 BBB- BBB- 39.5May total 1,127.0

Watson Pharmaceuticals 5% Sr Nts 14 08-Jun-10 Ba1 Baa3 BBB- BBB- 450.0Watson Pharmaceuticals 6.125% Sr Nts 19 08-Jun-10 Ba1 Baa3 BBB- BBB- 400.0National Semiconductor 6.15% Sr Nts 12 11-Jun-10 Baa1 Baa1 BB+ BBB- 375.0National Semiconductor 6.6% Sr Nts 17 11-Jun-10 Baa1 Baa1 BB+ BBB- 375.0National Semiconductor FRN Sr Nts 10 11-Jun-10 Baa1 Baa1 BB+ BBB- 250.0June total 1,850.0

Seagate Technology 10% Sr Sec Nts 14 19-Jul-10 Baa3 Baa3 BB+ BBB 430.0Senior Housing 8.625% Sr Nts 12 29-Jul-10 Ba1 Baa3 BBB- BBB- 225.0Senior Housing 6.75% Sr Nts 20 29-Jul-10 Ba1 Baa3 BBB- BBB- 200.0July total 855.0

Qwest 8.875% Sr Nts 12 13-Aug-10 Ba1 Baa3 BBB- BBB- 1,500.0Qwest 6.875% Debs 33 13-Aug-10 Ba1 Baa3 BBB- BBB- 1,000.0Qwest 7.875% Sr Nts 11 13-Aug-10 Ba1 Baa3 BBB- BBB- 825.0Qwest FLOAT Sr Nts 13 13-Aug-10 Ba1 Baa3 BBB- BBB- 750.0Qwest 7.500% Debs 23 13-Aug-10 Ba1 Baa3 BBB- BBB- 484.0







December 2010

A57

E

Rising stars


Moody’s S&P AmountIssuer Security Date Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)Qwest 7.125% Debs 43 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.250% Debs 25 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.200% Debs 26 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.250% Debs 35 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.375% Debs 30 13-Aug-10 Ba1 Baa3 BBB- BBB- 55.2QWest Communications Int’l. 8.375% Sr Nts 16 13-Aug-10 Ba1 Baa3 BBB- BBB- 810.5QWest Communications Int’l. 7.500% Sr Nts 14 13-Aug-10 Ba1 Baa3 BBB- BBB- 600.0QWest Communications Int’l. 7.625% Sr Nts 15 13-Aug-10 Ba1 Baa3 BBB- BBB- 400.0Qwest Corporation 6.500% Sr Nts 17 13-Aug-10 Ba1 Baa3 BBB- BBB- 500.0August total 7,924.7

HBOS plc 6.75% Sr Sub Nts 18 13-Sep-10 Ba1 Baa3 BBB- BBB- 2,000.0HBOS plc 6% Sr Sub Nts 33 13-Sep-10 Ba1 Baa3 BBB- BBB- 750.0September total 2,750.0

Advance Auto Parts 5 3/4% Sr Nts 20 07-Oct-10 Ba1 Baa3 BBB- BBB- 300.0Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 13-Oct-10 Ba2 Baa3 BBB- BBB- 3,011.0Freeport-McMoRan Copper & Gold 8 1/4% Sr Nts 15 13-Oct-10 Ba2 Baa3 BBB- BBB- 1,079.0BorgWarner 8% Sr Nts 19 27-Oct-10 Ba1 Baa3 BBB BBB 134.0BorgWarner 7.125% Sr Nts 29 27-Oct-10 Ba1 Baa3 BBB BBB 120.7October total 4,644.7

Union Carbide 7.75% Sr Nts 96 01-Nov-10 Ba1 Baa3 BBB- BBB- 200.0Union Carbide 7.875% Sr Nts 23 01-Nov-10 Ba1 Baa3 BBB- BBB- 175.0Union Carbide 7.5% Sr Nts 25 01-Nov-10 Ba1 Baa3 BBB- BBB- 150.0Union Carbide 6.79% Sr Nts 25 01-Nov-10 Ba1 Baa3 BBB- BBB- 11.9Mariner Energy 7 1/2% Nts 13 12-Nov-10 B3 B3 B+ A- 300.0Mariner Energy 11 3/4% Nts 17 12-Nov-10 B3 B3 B+ A- 300.0Mariner Energy 8% Nts 17 12-Nov-10 B3 B3 B+ A- 300.0November total 1,436.9

Total rising stars 32,736.4







December 2010

A58

F


Moody’s S&PIssuer Security Date Old New Old New Amount ($ mn)Windstream 7 3/4% Sr Nts 15 04-Feb-10 Baa3 Baa3 BBB- BB+ 400.0FirstEnergy 7 3/8% Nts 31 11-Feb-10 Baa3 Baa3 BBB- BB+ 1,500.0FirstEnergy 6.45% Nts 11 11-Feb-10 Baa3 Baa3 BBB- BB+ 250.0February total 2,150.0

Rockies Express 6.85% Sr Nts 18 12-Mar-10 Baa3 Ba1 BBB BBB 550.0Rockies Express 6.25% Sr Nts 13 12-Mar-10 Baa3 Ba1 BBB BBB 500.0Rockies Express 7.5% Sr Nts 38 12-Mar-10 Baa3 Ba1 BBB BBB 250.0March total 1,300.0

Phillips Van-Heusen 7. 3/4% Sr Sec Nts 23 10-May-10 Baa3 Ba2 BBB BBB 100.0Promise Co Ltd 5.95% Sr Nts 12 28-May-10 Baa2 Ba1 BBB- BBB- 500.0May total 600.0

Kerr-Mcgee Corp 6.95% Guar Nts 24 18-Jun-10 Baa3 Ba1 BBB- BBB- 650.0Kerr-Mcgee Corp 7.875% Guar Nts 31 18-Jun-10 Baa3 Ba1 BBB- BBB- 500.0Kerr-Mcgee Corp 6.875% Guar Nts 11 18-Jun-10 Baa3 Ba1 BBB- BBB- 284.7Kerr-Mcgee Corp 7.125% Guar Nts 27 18-Jun-10 Baa3 Ba1 BBB- BBB- 150.0Anadarko Petroleum Corp 0% Sr Nts 36 18-Jun-10 Baa3 Ba1 NR NR 2,360.0Anadarko Petroleum Corp 5.95% Sr Nts 16 18-Jun-10 Baa3 Ba1 BBB- BBB- 1,750.0Anadarko Petroleum Corp 6.45% Sr Nts 36 18-Jun-10 Baa3 Ba1 BBB- BBB- 1,750.0Anadarko Petroleum Corp 6.2% Sr Nts 40 18-Jun-10 Baa3 Ba1 BBB- BBB- 750.0Anadarko Petroleum Corp 8.7% Sr Nts 19 18-Jun-10 Baa3 Ba1 BBB- BBB- 600.0Anadarko Petroleum Corp 7.625% Sr Nts 14 18-Jun-10 Baa3 Ba1 BBB- BBB- 500.0Anadarko Petroleum Corp 7.95% Sr Nts 39 18-Jun-10 Baa3 Ba1 BBB- BBB- 325.0Anadarko Petroleum Corp 6.95% Sr Nts 19 18-Jun-10 Baa3 Ba1 BBB- BBB- 300.0Anadarko Petroleum Corp 5.75% Sr Nts 14 18-Jun-10 Baa3 Ba1 BBB- BBB- 275.0Anadarko Petroleum Corp 7.15% Sr Nts 28 18-Jun-10 Baa3 Ba1 BBB- BBB- 235.1Anadarko Petroleum Corp 7.2% Sr Nts 29 18-Jun-10 Baa3 Ba1 BBB- BBB- 135.0Anadarko Petroleum Corp 6.125% Sr Nts 12 18-Jun-10 Baa3 Ba1 BBB- BBB- 131.4Anadarko Petroleum Corp 7.95% Guar Nts 29 18-Jun-10 Baa3 Ba1 BBB- BBB- 117.3Anadarko Petroleum Corp 7.05% Sr Nts 18 18-Jun-10 Baa3 Ba1 BBB- BBB- 114.4Anadarko Petroleum Corp 7.5% Sr Nts 26 18-Jun-10 Baa3 Ba1 BBB- BBB- 111.9Anadarko Petroleum Corp 7.5% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 78.0Anadarko Petroleum Corp 7.73% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 60.5Anadarko Petroleum Corp 7% Sr Nts 27 18-Jun-10 Baa3 Ba1 BBB- BBB- 53.8Anadarko Petroleum Corp 7.25% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 48.8Anadarko Petroleum Corp 5% Sr Nts 12 18-Jun-10 Baa3 Ba1 BBB- BBB- 38.6Anadarko Petroleum Corp 6.625% Sr Nts 28 18-Jun-10 Baa3 Ba1 BBB- BBB- 17.2Anadarko Petroleum Corp 7.25% Sr Nts 25 18-Jun-10 Baa3 Ba1 BBB- BBB- 0.3Anadarko Finance Co 7.5% Guar Nts 31 18-Jun-10 Baa3 Ba1 BBB- BBB- 900.0Anadarko Finance Co 6.75% Guar Nts 11 18-Jun-10 Baa3 Ba1 BBB- BBB- 422.0Universal Health Services 7 1/8% Nts 16 25-Jun-10 Baa3 Baa3 BBB- BB+ 400.0Universal Health Services 6 3/4% Nts 11 25-Jun-10 Baa3 Baa3 BBB- BB+ 200.0June total 13,259.0

Seminole Tribe 5.798% Nts 13 02-Jul-10 Baa3 Ba1 BBB BBB 255.2QEP Resources 6.8% Sr Nts 18 02-Jul-10 Baa3 Ba1 BBB+ BB+ 450.0QEP Resources 6.8% Nts 20 02-Jul-10 Baa3 Ba1 BBB+ BB+ 300.0QEP Resources 6.05% Nts 16 02-Jul-10 Baa3 Ba1 BBB+ BB+ 250.0QEP Resources 7.5% Nts 11 02-Jul-10 Baa3 Ba1 BBB+ BB+ 150.0NGPL Pipeco 7 1/8% Sr Nts 17 29-Jul-10 Baa3 Ba1 BBB- BBB- 1,250.0

Fallen angels







December 2010

F

A59


Moody’s S&PIssuer Security Date Old New Old New Amount ($ mn)NGPL Pipeco 6.514% Sr Nts 12 29-Jul-10 Baa3 Ba1 BBB- BBB- 1,250.0NGPL Pipeco 7.768% Sr Nts 37 29-Jul-10 Baa3 Ba1 BBB- BBB- 500.0July total 4,405.2

Marshall & Iisley Corporation 4.85% Sub Nts 15 21-Oct-10 Baa1 Baa1 BBB- BB+ 350.0Marshall & Iisley Corporation 5.0% Sr Nts 17 21-Oct-10 Baa1 Baa1 BBB- BB+ 300.0Marshall & Iisley Corporation 6.375% Sub Nts 11 21-Oct-10 Baa1 Baa1 BBB- BB+ 277.7Marshall & Iisley Corporation 5.35% SR Nts 11 21-Oct-10 Baa1 Baa1 BBB- BB+ 250.0Marshall & Iisley Corporation 5.25% Sr Nts 12 21-Oct-10 Baa1 Baa1 BBB- BB+ 250.0Marshall & Iisley Corporation FRNs Sub Nts 12 21-Oct-10 Baa1 Baa1 BBB- BB+ 199.4October total 1,627.1

Union Planters 4.375% Sr Nts 10 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0Regions Financial Corp 7.75% Sr Nts 14 01-Nov-10 Baa3 Ba1 BBB- BBB- 700.0Regions Financial Corp 5.75% Sr Nts 15 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0Regions Financial Corp FRN Sr Nts 12 01-Nov-10 Baa3 Ba1 BBB- BBB- 350.0Regions Financial Corp 4.875% Sr Nts 13 01-Nov-10 Baa3 Ba1 BBB- BBB- 250.0Regions Bank 7.5% Sub Nts 18 01-Nov-10 Baa3 Ba1 BBB- BBB- 750.0Regions Bank 6.45% Sub Nts 37 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0AmSouth Bank 4.85% Sub Nts 13 01-Nov-10 Baa2 Ba1 BBB- BBB- 500.0AmSouth Bank 5.2% Sub Nts 15 01-Nov-10 Baa2 Ba1 BBB- BBB- 350.0Seminole Tribe 6.535% Nts 20 02-Nov-10 Baa3 Ba1 BBB- BBB- 280.0November total 4,680.0

Total fallen angels 28,021.2x

Fallen angels







December 2010

G

A60

High-yield merger and acquisition activitySelected acquisitions targeting high-yield issuers


Date TransactionAnnounced Target Acquirer Size ($ mn) Industry04-Jan-10 Boston Scientific Corp. Sonova Holding AG 489.0 Healthcare04-Jan-10 Starwood Hotels & Resorts Worldwide Steiner Leisure Ltd 100.0 Gaming Lodging and Leisure25-Jan-10 Teck Resources Ltd: Certain Assets Royal Gold Inc 269.6 Metals and Mining26-Jan-10 Chesapeake Energy Corp. Total SA 800.0 Energy27-Jan-10 Ticketmaster Entertainment Inc Live Nation Entertainment Inc 670.0 Gaming Lodging and Leisure28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite

January total 7,553.4

01-Feb-10 Life Technologies Corp Danaher Corp 450.0 Healthcare08-Feb-10 Affiliated Computer Services Inc Xerox Corp 7,891.0 Technology11-Feb-10 TXCO Resources Inc: Maverick basin Multiple acquirers 310.0 Energy12-Feb-10 Koosharem Corp. Atlas Acquisition Holdings Corp 248.5 Services15-Feb-10 Petroleum Geo-Services Geokinetics Inc 210.0 Energy18-Feb-10 Fontainebleau Las Vegas/Old Icahn Enterprises LP 148.0 Financial19-Feb-10 Terex Corp: Mining Eqpt. Business Bucyrus International Inc 1,300.0 Industrials22-Feb-10 Cemex SAB de CV: Certain Assets SPO Partners & Co 420.0 Housing

February total 10,977.4

15-Mar-10 AES Corp/The China Investment Corp 1,580.9 Utility18-Mar-10 Interstate Hotels & Resorts Inc Multiple acquirers 295.8 Gaming Lodging and Leisure19-Mar-10 Nortel Networks Corp: Opt. & Carrier Ciena Corp 744.0 Technology26-Mar-10 Chesapeake Energy Corp. Shale Statoil ASA 253.0 Energy29-Mar-10 ION Geophysical Corp. BGP Inc 175.0 Energy29-Mar-10 ION Geophysical Corp. BGP Inc 108.5 Energy31-Mar-10 El Paso Corp: Multiple Targets El Paso Pipeline Partners LP 810.0 Energy31-Mar-10 Range Resources Corp. Multiple acquirers 330.0 Energy

March total 4,297.2

01-Apr-10 Nortel Networks Corp: Multiple Targets Multiple acquirers 103.0 Technology05-Apr-10 Allied Capital Corp Ares Capital Corp 632.2 Financial09-Apr-10 Ally Financial: Interleasing Australia Ltd McMillan Shakespeare Ltd 190.9 Financial12-Apr-10 Chaparral Energy Inc CCMP Capital Advisors 345.0 Energy16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals26-Apr-10 Banco de Oro Unibank Inc International Finance Corp 150.0 Financial27-Apr-10 Sears Canada Inc Sears Holdings Corp 558.1 Retail30-Apr-10 Petrohawk Energy: West Edmond Unit Private Co 155.0 Energy30-Apr-10 Targa Resources Inc: Nat. Gas Targa Resources Partners LP 420.0 Energy

April total 6,840.7

03-May-10 El Paso Corp: Mexican Pipeline Sempra Energy 300.0 Energy03-May-10 Unisys Corp: Health Info.n Mgmt. Molina Healthcare Inc 135.0 Technology07-May-10 Tembec Inc: Multiple Targets Paper Excellence BV 134.7 Paper and Packaging12-May-10 Forest City Enterprises Inc: NJ Nets Onexim Group 200.0 Financial12-May-10 Petrohawk Energy Corp: Terryville Private Co. 320.0 Energy14-May-10 Cheniere Energy: Freeport LNG Multiple acquirers 104.0 Energy14-May-10 Denbury Resources Inc: Oil/Nat. Gas Quantum Resources Management 900.0 Energy19-May-10 Chesapeake Energy Corp Multiple acquirers 600.0 Energy21-May-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 110.0 Transportation21-May-10 Zenith National Insurance Corp Fairfax Financial Holdings Ltd 1,321.0 Financial24-May-10 Kerasotes Showplace Theatres AMC Entertainment Inc/OLD 275.0 Gaming Lodging and Leisure24-May-10 Petrohawk Energy Corp Kinder Morgan Energy Partners LP 875.0 Energy26-May-10 Regency Energy Partners LP Energy Transfer Equity LP 300.0 Energy







December 2010

A61

G



Date TransactionAnnounced Target Acquirer Size ($ mn) Industry28-May-10 Hillman Cos Inc/The Oak Hill Capital Partners LP 815.0 Industrials28-May-10 Nortel Networks: Genband Inc 282.0 Telecommunications

May total 6,671.7

01-Jun-10 Dave & Buster's Inc Oak Hill Capital Partners LP 570.0 Food and Beverages01-Jun-10 Iowa Telecommunications Svcs. Inc Windstream Corp 1,129.3 Telecommunications08-Jun-10 Compton Petroleum Corp: Nat. Gas Multiple acquirers 143.2 Energy15-Jun-10 Vought Aircraft Industries Inc Triumph Group Inc 1,440.0 Industrials17-Jun-10 Styron Corp Bain Capital 1,630.0 Chemicals28-Jun-10 iStar Financial Inc: Land & Building Dividend Capital Total Realty Trust Inc 1,300.0 Financial29-Jun-10 Nortel Networks Corp: LG-Nortel Telefonaktiebolaget LM Ericsson 242.0 Technology30-Jun-10 El Paso Corp: Southern Nat. Gas Co El Paso Pipeline Partners LP 394.0 Energy

June total 6,848.5

01-Jul-10 Brinker International Golden Gate Capital Corp 180.0 Food and Beverages01-Jul-10 QEP Resources Inc Shareholders 5,398.1 Energy02-Jul-10 infoGROUP Inc CCMP Capital Advisors 636.3 Technology02-Jul-10 Palm Inc Hewlett-Packard Co 772.3 Technology13-Jul-10 Atlantic Marine Holding Co BAE Systems PLC 352.0 Services13-Jul-10 CKE Restaurants Inc Apollo Global Management 1,009.5 Food and Beverages21-Jul-10 Copano Energy TPG Capital 300.0 Energy23-Jul-10 Credit Acceptance Corp Shareholders 200.0 Financial26-Jul-10 SonicWALL Inc Multiple acquirers 484.9 Technology29-Jul-10 Vertafore Inc TPG Capital 1,400.0 Technology30-Jul-10 Interactive Data Corp Multiple acquirers 2,996.2 Services30-Jul-10 LNR Property Corp Investor Group 417.0 Financial

July total 14,146.3

02-Aug-10 Delta Petroleum Corp: Certain Assets Wapiti Energy 130.0 Energy02-Aug-10 Ford Motor Co: Volvo Car Corp Zhejiang Geely Holding Group Co Ltd 1,800.0 Automotive03-Aug-10 Ball Corp: Plastic packaging business Amcor Ltd/Australia 265.0 Paper and Packaging03-Aug-10 Fidelity National Info. Services Inc Shareholders 2,500.0 Financial05-Aug-10 inVentiv Health Inc Thomas H Lee Partners LP 1,092.8 Healthcare19-Aug-10 General Growth Properties Inc Multiple acquirers 3,925.0 Financial20-Aug-10 Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc 577.4 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc 100.0 Healthcare25-Aug-10 Casey's General Stores Inc Shareholders 500.0 Financial25-Aug-10 Targa Resources Inc: Versado Gas Targa Resources Partners LP 230.0 Energy26-Aug-10 Fibertech Networks Court Square Capital Partners LP 500.0 Telecommunications27-Aug-10 RCN Corp Abry Partners 1,192.3 Cable and Satellite31-Aug-10 Pacific Capital Bancorp NA Ford Financial Fund LP 500.0 Financial31-Aug-10 Spansion Inc/Old: Wafer Mfg. Plant Texas Instruments Inc 130.0 Technology

August total 13,442.4

01-Sep-10 Gerdau Ameristeel Corp Gerdau SA 1,607.1 Metals and Mining03-Sep-10 Cosan SA Industria e Comercio Multiple acquirers 225.4 Food and Beverages17-Sep-10 Elk City Gathering and Processing Enbridge Energy Partners LP 682.0 Services28-Sep-10 Targa Resources Investments Inc Targa Resources Partners LP 167.5 Energy28-Sep-10 Valeant Pharmaceuticals Int’l. Valeant Pharmaceuticals International Inc 2,433.5 Healthcare29-Sep-10 Petrohawk Energy EV Energy Partner LP 123.0 Energy30-Sep-10 Ames True Temper Inc Griffon Corp 542.0 Consumer Products30-Sep-10 EVERTEC Inc Apollo Global Management 595.0 Technology

September total 6,375.4







December 2010

A62

G



Date TransactionAnnounced Target Acquirer Size ($ mn) Industry01-Oct-10 Continental Airlines Inc. United Continental Holdings Inc 3,185.6 Transportation01-Oct-10 General Motors Financial Co Inc General Motors Co 3,306.5 Automotive01-Oct-10 Key Energy Services Inc. Patterson-UTI Energy Inc 238.0 Energy01-Oct-10 NBTY Inc. Carlyle Group/The 3,812.0 Retail01-Oct-10 Quicksilver Resources Inc. First Reserve Corp 701.0 Energy07-Oct-10 Landry's Restaurants Inc. Management Group 177.6 Food and Beverages18-Oct-10 Teekay Corp: Multiple Targets Teekay Offshore Partners LP 286.0 Paper and Packaging18-Oct-10 Teekay Corp: Multiple Targets Teekay LNG Partners LP 160.0 Paper and Packaging20-Oct-10 Burger King Holdings Inc 3G Capital Inc 3,933.9 Food and Beverages22-Oct-10 Canon Communications United Business Media Ltd 287.0 Diversified Media28-Oct-10 Intergraph Corp. Hexagon AB 2,125.0 Technology28-Oct-10 Scholastic Corp. Shareholders 150.0 Financial

October total 18,362.7

08-Nov-10 Antero Resources Corp. Multiple acquirers 268.0 Energy08-Nov-10 Silgan Holdings Inc. Shareholders 175.0 Financial10-Nov-10 CB Richard Ellis Group Private Investor 255.0 Financial11-Nov-10 Mariner Energy Inc. Apache Corp 3,801.5 Energy15-Nov-10 CB Richard Ellis Group AOL Inc 144.5 Financial15-Nov-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 176.9 Transportation16-Nov-10 Broadlane Group Inc. MedAssets Inc 850.0 Healthcare16-Nov-10 Chesapeake Energy Corp. CNOOC Ltd 1,080.0 Energy16-Nov-10 Psychiatric Solutions Inc Universal Health Services Inc 3,114.4 Healthcare16-Nov-10 Sun Healthcare Group Inc Shareholders 277.8 Healthcare24-Nov-10 Bowne & Co Inc. RR Donnelley & Sons Co 451.4 Technology24-Nov-10 Gymboree Corp. Bain Capital 1,673.3 Retail

November total 12,267.7

Total acquisitions of high-yield issuers 107,783.4







December 2010

A63

G

High-yield merger and acquisition activitySelected acquisitions by high-yield issuers


Date TransactionAnnounced Target Acquirer Size ($ mn) Industry05-Jan-10 Seara Alimentos SA Marfrig Alimentos SA 899.0 Food and Beverages05-Jan-10 Substantially all assets Mariner Energy Inc 215.0 Energy07-Jan-10 Wolfberry trend in Permian Basin Concho Resources Inc/Midland TX 213.0 Energy12-Jan-10 Segovia Inc Inmarsat PLC 110.0 Cable and Satellite19-Jan-10 Sensor Technologies Inc/NJ Mantech International Corp 242.0 Industrials20-Jan-10 VTR GlobalCom SA Liberty Global Inc 167.0 Cable and Satellite27-Jan-10 Ticketmaster Entertainment Inc Live Nation Entertainment Inc 670.0 Gaming Lodging and Leisure28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite29-Jan-10 i2 Technologies Inc JDA Software Group Inc 225.8 Technology29-Jan-10 Oil & Natural Gas properties/Permian Linn Energy 154.5 Energy31-Jan-10 40 Long Term Care Facilities Omega Healthcare Investors Inc 244.0 Healthcare


01-Feb-10 Montenay International Covanta Holding Corp 626.9 Services08-Feb-10 Standard Diagnostics Inc Alere Inc 155.9 Healthcare08-Feb-10 Mandra Forestry Finance Ltd Sino-Forest Corp 185.4 Paper and Packaging08-Feb-10 NuVox Inc Windstream Corp 646.8 Telecommunications11-Feb-10 two real estate portfolios Lennar Corp 243.0 Housing12-Feb-10 Concert Industries Corp PH Glatfelter Co 237.5 Paper and Packaging17-Feb-10 Kroll Laboratory Specialists Inc Alere Inc 110.0 Healthcare18-Feb-10 Fontainebleau Las Vegas/Old Icahn Enterprises LP 148.0 Financial19-Feb-10 Terex Corp: Mining Equipment Bus. Bucyrus International Inc 1,300.0 Industrials22-Feb-10 Mimosa Systems Inc Iron Mountain Inc 112.0 Services


02-Mar-10 Sturm Foods Inc TreeHouse Foods Inc 660.0 Food and Beverages10-Mar-10 Encore Acquisition Co Denbury Resources Inc 4,062.2 Energy25-Mar-10 Critical Homecare Solutions Holdings Inc BioScrip Inc 350.9 Healthcare31-Mar-10 Wolfberry Oil Assets Berry Petroleum Co 126.0 Energy31-Mar-10 El Paso Corp: Multiple Targets El Paso Pipeline Partners LP 810.0 Energy31-Mar-10 Clearwire Corp Sprint Nextel Corp 1,176.0 Telecommunications

March total 7,185.1

01-Apr-10 Sunoco Chemicals Inc Braskem SA 350.0 Chemicals05-Apr-10 Allied Capital Corp Ares Capital Corp 632.2 Financial06-Apr-10 Mapa Spontex Baby Care and Home Care Jarden Corp 500.0 Consumer Products12-Apr-10 Blackhawk Industries Products Group Unlimited Alliant Techsystems Inc 172.3 Industrials16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals19-Apr-10 Cumberland Resources Corp Massey Energy Co 939.0 Metals and Mining20-Apr-10 BTV Group Central European Media Ent. Ltd 400.0 Broadcasting23-Apr-10 Fares CoreLogic Inc 313.8 Services27-Apr-10 Sears Canada Inc Sears Holdings Corp 558.1 Retail28-Apr-10 Techwell Inc Intersil Corp 364.7 Technology29-Apr-10 AMICAS Inc Merge Healthcare Inc 189.7 Healthcare30-Apr-10 Appalachian E&P Business Consol Energy Inc 3,475.0 Metals and Mining30-Apr-10 Maryland Jockey Club of Baltimore City Inc/The MI Developments Inc 113.0 Financial30-Apr-10 Keystone North America Inc Service Corp International/US 261.4 Services30-Apr-10 Targa Resources Inc: Nat. Gas Businesses Targa Resources Partners LP 420.0 Energy30-Apr-10 Multiple Targets W&T Offshore Inc 150.0 Energy

April total 13,125.7







December 2010

G

A64

High-yield merger and acquisition activitySelected acquisitions by high-yield issuers


Date TransactionAnnounced Target Acquirer Size ($ mn) Industry04-May-10 Switch & Data Facilities Co. Inc. Equinix Inc 855.8 Technology04-May-10 Dakota Growers Pasta Co. Inc. Viterra Inc 196.8 Food and Beverages06-May-10 Tommy Hilfiger Corp. Phillips-Van Heusen Corp 3,144.6 Consumer Products11-May-10 Lake Arlington project Quicksilver Resources Inc 116.3 Energy12-May-10 Diedrich Coffee Inc Green Mountain Coffee Roasters Inc 212.4 Food and Beverages14-May-10 Meridian Resource Corp/The Alta Mesa Holdings LP 126.2 Energy21-May-10 Zenith National Insurance Corp. Fairfax Financial Holdings Ltd 1,321.0 Financial21-May-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 110.0 Transportation24-May-10 Kerasotes Showplace Theatres AMC Entertainment Inc/OLD 275.0 Gaming Lodging and Leisure26-May-10 Regency Energy Partners LP Energy Transfer Equity LP 300.0 Energy27-May-10 oil and gass assets/Permian basin Linn Energy 305.0 Energy27-May-10 Aton Pharma Inc. Valeant Pharmaceuticals International 318.0 Healthcare28-May-10 Nortel Networks: Carrier VoIP Genband Inc 282.0 Telecommunications30-May-10 Friendship Dairies Dean Foods Co 130.0 Food and Beverages

May total 7,693.0

01-Jun-10 CNX Gas Corp. Consol Energy Inc 963.3 Metals and Mining01-Jun-10 Etimex Solar GmbH Solutia Inc 324.9 Chemicals01-Jun-10 Delta PLC Valmont Industries Inc 227.1 Industrials01-Jun-10 Iowa Telecom. Services Inc. Windstream Corp 1,129.3 Telecommunications02-Jun-10 Stuart Weitzman Holdings Jones Group Inc/The 180.0 Cable and Satellite02-Jun-10 Riskmetrics Group Inc. MSCI Inc 1,578.0 Technology02-Jun-10 Coal Bed Methane Operations Walter Energy Inc 210.0 Metals and Mining04-Jun-10 Dialysis Corp Of America US Renal Care Inc 113.1 Healthcare11-Jun-10 CyrusOne Cincinnati Bell Inc 525.0 Telecommunications14-Jun-10 Gichner Holdings Inc. Kratos Defense & Security Solutions Inc 133.0 Industrials14-Jun-10 Zynga Game Network Inc. Softbank Corp 147.1 Telecommunications15-Jun-10 Keystone Foods Marfrig Alimentos SA 1,260.0 Food and Beverages15-Jun-10 Vought Aircraft Industries Inc. Triumph Group Inc 1,440.0 Industrials16-Jun-10 Fusepoint Inc. SAVVIS Inc 124.5 Telecommunications16-Jun-10 Russell Hobbs Inc. Spectrum Brands Holdings Inc 675.0 Consumer Products29-Jun-10 40 Long Term Care Fac. 2nd Tranch Omega Healthcare Investors Inc 535.0 Healthcare30-Jun-10 El Paso Corp: Southern Nat. Gas Co El Paso Pipeline Partners LP 394.0 Energy30-Jun-10 Haynesville & Bossier Shale Prop. EXCO Resources Inc 355.0 Energy30-Jun-10 Lions Gate Entertainment Corp. Icahn Enterprises LP 124.1 Financial

June total 10,438.4

01-Jul-10 Conectiv Energy Fleet Calpine Corp 1,630.0 Utility01-Jul-10 Verizon Comm: 4.8 million access lines Frontier Communications Corp 8,244.8 Telecommunications06-Jul-10 Waste Services Inc. IESI-BFC Ltd 734.2 Services06-Jul-10 World Color Press Inc. Quad/Graphics Inc 1,144.8 Diversified Media13-Jul-10 HealthTronics Inc. Endo Pharmaceuticals Holdings Inc 261.2 Healthcare16-Jul-10 Valbart Srl Flowserve Corp 200.0 Industrials19-Jul-10 Arena Resources Inc. SandRidge Energy Inc 1,563.6 Energy23-Jul-10 Credit Acceptance Corp. Shareholders 200.0 Financial

July total 13,978.5

12-Aug-10 Premier Power Ltd. AES Corp/The 154.9 Utility13-Aug-10 Cornell Cos Inc. Geo Group Inc/The 681.5 Services17-Aug-10 Cliffstar Corp. Cott Corp 500.0 Food and Beverages







December 2010

A65

G


Date TransactionAnnounced Target Acquirer Size ($ mn) Industry18-Aug-10 Odyssey HealthCare Inc. Gentiva Health Services Inc. 890.8 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc. Allscripts Healthcare Solutions Inc. 577.4 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc. Allscripts Healthcare Solutions Inc. 100.0 Healthcare25-Aug-10 Eclipsys Corp. Allscripts Healthcare Solutions Inc. 1,242.6 Healthcare25-Aug-10 Casey's General Stores Inc. Shareholders 500.0 Financial25-Aug-10 Targa Resources Inc: Versado Gas Targa Resources Partners LP 230.0 Energy31-Aug-10 Westin Chicago River North Hotel Host Hotels & Resorts Inc. 165.0 Gaming Lodging and Leisure


01-Sep-10 Gerdau Ameristeel Corp. Gerdau SA 1,607.1 Metals and Mining01-Sep-10 Sumner Regional Health Systems Inc. LifePoint Hospitals Inc. 145.0 Healthcare01-Sep-10 HomEq Servicing Corp. Ocwen Financial Corp. 1,300.0 Financial01-Sep-10 Cia Industrial de Vidros Owens-Illinois Inc. 603.0 Paper and Packaging01-Sep-10 Zephyr Gas Services LP Regency Energy Partners LP 185.0 Energy01-Sep-10 Regency Hospital Co Select Medical Holdings Corp 210.0 Healthcare07-Sep-10 Bioniche Pharma Holdings Ltd. Mylan Inc/PA 550.0 Healthcare08-Sep-10 NewPath Networks Inc Crown Castle International Corp 115.0 Telecommunications10-Sep-10 Scott Wilson Group PLC URS Corp 347.8 Services19-Sep-10 Gulf Insurance Co KSC Fairfax Financial Holdings Ltd 208.6 Financial28-Sep-10 Targa Resources Investments Targa Resources Partners LP 167.5 Energy


01-Oct-10 General Motors Financial Co. Inc. General Motors Co 3,306.5 Automotive01-Oct-10 Continental Airlines Inc. United Continental Holdings Inc 3,185.6 Transportation04-Oct-10 Ion Torrent Systems Inc. Life Technologies Corp 375.0 Healthcare14-Oct-10 Tres Palacios Gas Storage Inergy LP 735.0 Energy15-Oct-10 Sunflower Broadband Knology Inc 165.0 Cable and Satellite22-Oct-10 Tamco Steel Inc. Gerdau SA 165.0 Metals and Mining28-Oct-10 Scholastic Corp. Shareholders 150.0 Financial28-Oct-10 ST Specialty Foods Inc. TreeHouse Foods Inc 180.0 Food and Beverages


01-Nov-10 Gearco Inc. Hanesbrands Inc 225.0 Consumer Products03-Nov-10 Actel Corp. Microsemi Corp 407.4 Technology05-Nov-10 Penwest Pharmaceuticals Co. Endo Pharmaceuticals Holdings Inc 146.7 Healthcare05-Nov-10 Green Mountain Energy Co. NRG Energy Inc 350.0 Utility08-Nov-10 Inergy Holdings LP Inergy LP 3,222.0 Energy08-Nov-10 Silgan Holdings Inc. Shareholders 175.0 Financial15-Nov-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 176.9 Transportation15-Nov-10 Cottonwood Generating Station NRG Energy Inc. 525.0 Utility16-Nov-10 Certain Assets Concho Resources Inc/Midland TX 285.0 Energy16-Nov-10 Certain Assets Lennar Corp. 310.0 Housing16-Nov-10 Certain Assets Linn Energy 330.0 Energy16-Nov-10 Broadlane Group Inc./The MedAssets Inc. 850.0 Healthcare16-Nov-10 Certain Assets Plains Exploration & Production Co. 578.0 Energy16-Nov-10 Psychiatric Solutions Inc. Universal Health Services Inc. 3,114.4 Healthcare23-Nov-10 Cameron Highway Oil Pipeline Genesis Energy LP 330.0 Energy


Total acquisitions by high-yield issuers 94,319.9








December 2010

A66

H


Date Issuer Amount ($ mn) Industry6-Jan-10 Beazer Homes USA Inc 89.7 Housing11-Jan-10 Associated Banc-Corp 434.9 Financial13-Jan-10 El Paso Pipeline Partners LP 214.2 Energy13-Jan-10 Targa Resources Partners LP 127.3 Energy14-Jan-10 Berry Petroleum Co 234.0 Energy20-Jan-10 Cinemark Holdings Inc 109.1 Gaming Lodging and Leisure20-Jan-10 Inergy LP 181.3 Energy21-Jan-10 Cellu Tissue Holdings Inc 107.9 Paper and Packaging21-Jan-10 Centene Corp 96.3 Healthcare21-Jan-10 Vantage Drilling Co 44.7 Energy26-Jan-10 Concho Resources Inc/Midland TX 198.8 Energy28-Jan-10 Avago Technologies Ltd 435.3 Technology


3-Feb-10 Martin Midstream Partners LP 53.4 Energy3-Feb-10 Navios Maritime Partners LP 54.3 Transportation3-Feb-10 Penske Automotive Group Inc 72.5 Automotive9-Feb-10 Developers Diversified Realty Corp 304.3 Financial10-Feb-10 Graham Packaging Co Inc 166.7 Paper and Packaging23-Feb-10 TreeHouse Foods Inc 101.1 Food and Beverages23-Feb-10 Wilmington Trust Corp 250.1 Financial24-Feb-10 Owens Corning 291.2 Housing25-Feb-10 ArvinMeritor Inc 182.2 Automotive


1-Mar-10 TRW Automotive Holdings Corp 291.5 Automotive3-Mar-10 Copano Energy LLC 149.6 Energy5-Mar-10 Conexant Systems Inc 56.0 Technology5-Mar-10 Overseas Shipholding Group Inc 159.3 Transportation9-Mar-10 Susquehanna Bancshares Inc 300.0 Financial10-Mar-10 Sensata Technologies Holding NV 568.8 Industrials11-Mar-10 Aircastle Ltd 35.0 Financial11-Mar-10 Cinemark Holdings Inc 169.8 Gaming Lodging and Leisure11-Mar-10 International Coal Group Inc 100.0 Metals and Mining16-Mar-10 Genesis Energy LP 128.1 Energy17-Mar-10 Lazard Ltd 287.2 Financial17-Mar-10 Teekay Offshore Partners LP 85.7 Transportation18-Mar-10 Commercial Vehicle Group Inc 23.8 Industrials23-Mar-10 Linn Energy LLC 375.0 Energy23-Mar-10 Massey Energy Co 422.9 Metals and Mining25-Mar-10 Consol Energy Inc 1,636.3 Metals and Mining25-Mar-10 Viasat Inc 201.0 Cable and Satellite30-Mar-10 Cardtronics Inc 84.0 Services30-Mar-10 SS&C Technologies Holdings Inc 160.9 Technology31-Mar-10 MarkWest Energy Partners LP 129.3 Energy31-Mar-10 Omega Healthcare Investors Inc 33.3 Healthcare

March total 5,397.4

6-Apr-10 Teekay Tankers Ltd 94.3 Transportation7-Apr-10 Brigham Exploration Co 252.0 Energy8-Apr-10 Metals USA Holdings Corp 240.0 Metals and Mining9-Apr-10 Carrizo Oil & Gas Inc 65.8 Energy9-Apr-10 Targa Resources Partners LP 233.8 Energy

High-yield equity issuance







December 2010

A67

H


Date Issuer Amount ($ mn) Industry14-Apr-10 Dollar General Corp 702.0 Retail14-Apr-10 Popular Inc 1,000.0 Financial15-Apr-10 CF Industries Holdings Inc 1,000.0 Chemicals21-Apr-10 Global Geophysical Services Inc 90.0 Energy21-Apr-10 MGIC Investment Corp 700.0 Financial22-Apr-10 Phillips-Van Heusen Corp 332.5 Consumer Products26-Apr-10 PMI Group Inc/The 478.3 Financial28-Apr-10 Kansas City Southern 195.7 Transportation28-Apr-10 Synovus Financial Corp 701.3 Financial29-Apr-10 E*Trade Financial Corp 301.0 Financial30-Apr-10 Navios Maritime Partners LP 80.3 Transportation

April total 6,466.8

4-May-10 Beazer Homes USA Inc 72.6 Housing4-May-10 Kinder Morgan Energy Partners LP 430.6 Energy5-May-10 Radian Group Inc 550.0 Financial6-May-10 Entertainment Properties Trust 147.6 Financial6-May-10 Greenbrier Cos Inc 50.0 Industrials11-May-10 Niska Gas Storage Partners LLC 358.8 Energy12-May-10 DuPont Fabros Technology Inc 276.0 Technology12-May-10 Express Inc 272.0 Retail13-May-10 Noranda Aluminum Holding Corp 80.0 Metals and Mining19-May-10 Vitamin Shoppe Inc 146.6 Retail

May total 2,384.2

9-Jun-10 CenterPoint Energy Inc 283.8 Utility16-Jun-10 FelCor Lodging Trust Inc 151.3 Gaming Lodging and Leisure17-Jun-10 General Maritime Corp 206.6 Transportation18-Jun-10 El Paso Pipeline Partners LP 288.0 Energy

June total 929.6

26-Jul-10 Vantage Drilling Co 50.0 EnergyJuly total 50.0

3-Aug-10 Lazard Ltd 225.6 Financial10-Aug-10 Targa Resources Partners LP 161.2 Energy11-Aug-10 Regency Energy Partners LP 363.0 Energy12-Aug-10 Libbey Inc 39.2 Consumer Products12-Aug-10 Martin Midstream Partners LP 29.1 Energy13-Aug-10 Avago Technologies Ltd 304.1 Technology13-Aug-10 Sabra Healthcare REIT Inc 207.3 Healthcare17-Aug-10 Teekay Offshore Partners LP 116.3 Transportation18-Aug-10 Cardtronics Inc 98.0 Services19-Aug-10 Aircastle Ltd 32.8 Financial19-Aug-10 Western Alliance Bancorp 43.8 Financial


8-Sep-10 Inergy LP 364.9 Energy10-Sep-10 TRW Automotive Holdings Corp 282.4 Automotive15-Sep-10 DigitalGlobe Inc 181.5 Cable and Satellite15-Sep-10 El Paso Pipeline Partners LP 367.4 Energy16-Sep-10 Stonemor Partners LP 36.0 Services23-Sep-10 Kraton Performance Polymers Inc 212.0 Chemicals









December 2010

A68

HSource: J.P. Morgan.

Date Issuer Amount ($ mn) Industry1-Oct-10 Teekay Tankers Ltd 99.6 Transportation6-Oct-10 Kratos Defense & Security Solutions Inc 23.5 Industrials8-Oct-10 Navios Maritime Partners LP 97.1 Transportation13-Oct-10 MGM Resorts International 868.8 Gaming Lodging and Leisure14-Oct-10 Tower International Inc 81.3 Automotive28-Oct-10 Energy XXI Bermuda Ltd 249.0 Energy


1-Nov-10 Lazard Ltd 107.9 Financial2-Nov-10 Stoneridge Inc 95.1 Automotive3-Nov-10 Spansion Inc 114.8 Technology4-Nov-10 Genesis Energy LP 106.1 Energy9-Nov-10 Cinemark Holdings Inc 179.5 Gaming Lodging and Leisure11-Nov-10 Swift Energy Co 137.3 Energy12-Nov-10 Sensata Technologies Holding NV 482.0 Industrials15-Nov-10 General Growth Properties Inc 1,991.3 Financial16-Nov-10 El Paso Pipeline Partners LP 351.2 Energy16-Nov-10 Navios Maritime Acquisition Corp 35.8 Transportation16-Nov-10 TRW Automotive Holdings Corp 485.0 Automotive18-Nov-10 General Motors Co 15,774.0 Automotive18-Nov-10 Aeroflex Holding Corp 232.9 Technology18-Nov-10 Petroleum Development Corp 115.2 Energy19-Nov-10 CVR Energy Inc 193.5 Energy23-Nov-10 Tutor Perini Corp 87.8 Industrials


Total high-yield equity issuance 43,949.9


I







December 2010

A69


Date Issuer Security Amount ($ mn)01-Jan-10 BlockBuster Inc 11 3/4% Sr Sec Nts 14 22.504-Jan-10 Massey Energy 6 5/8% Nts 10 21.904-Jan-10 Riddell Sports 8.375% Sr Sub Nts 12 140.005-Jan-10 Warnaco 8.875% Sr Nts 13 50.008-Jan-10 Norcraft Companies/Finance 9% Sr Sub Nts 11 148.014-Jan-10 Galaxy Entertainment FRNs 10 136.115-Jan-10 Intcomex Inc 11 3/4% Sr Sec Nts 11 16.515-Jan-10 Viasystems 10 1/2% Guar Nts 11 105.920-Jan-10 Host Hotels & Resorts 7% Sr Nts 12 346.020-Jan-10 Host Marriott 7% Nts 12 350.020-Jan-10 Viskase 11 1/2% Nts 11 90.020-Jan-10 Vitamin Shoppe Industries FRNs 12 64.921-Jan-10 Alliance Imaging 7 1/4% Nts 12 5.622-Jan-10 Beazer Homes USA 8 5/8% Nts 11 127.325-Jan-10 Team Health 11 1/4% Nts 13 136.927-Jan-10 Forest Oil 7 3/4% Nts 14 150.027-Jan-10 Payless Shoesource 8 1/4% Nts 13 24.028-Jan-10 Trimas Corp 9 7/8% Sr Nts 12 256.130-Jan-10 Icahn Enterprises 8 1/8% Nts 12 350.8


01-Feb-10 City Telecom 8.750% Sr Nts 15 21.401-Feb-10 Cott Beverages 8.000% Nts 11 11.201-Feb-10 Cott Beverages 8% Nts 11 11.201-Feb-10 Warner Chilcott 8 3/4% Nts 15 390.005-Feb-10 B&G Foods 8% nts 11 238.905-Feb-10 B&G Foods 12% Sr Nts 16 46.909-Feb-10 Stone Energy 8 1/4% Nts 11 200.011-Feb-10 Vanguard Health Systems 11 1/4% Sr Sub Disc Nts 15 4.111-Feb-10 Vanguard Health Systems 9% Sr Sub Nts 14 20.612-Feb-10 Team Health 11 1/4% Nts 13 20.612-Feb-10 Team Health 11.250% Sr Sub Nts 13 20.615-Feb-10 Eye Care Centers of America 10.75% Sr Sub Nts 15 152.015-Feb-10 Icahn Enterprises 7.125% Sr Nts 13 980.015-Feb-10 LaBranche & Co 11% Sr Nts 12 189.316-Feb-10 Ply Gem Industries 9% Sr Sub Nts 12 360.016-Feb-10 QWest Communications International 7.25% Sr Nts 12 522.616-Feb-10 United Rentals 6.5% Sr Nts 12 435.019-Feb-10 Star Gas Partners 10.250% Sr Nts 13 50.019-Feb-10 Star Gas Partners 10.250% Sr Nts 13 4.623-Feb-10 Hornbeck Offshore Services 8.000% Sr Nts 17 250.025-Feb-10 B&G Foods 12% Sr Nts 16 22.625-Feb-10 Constellation Brands 8.125% Sr Sub Nts 12 250.0


01-Mar-10 Jo-Ann Stores 7.500% Sr Sub Nts 12 50.502-Mar-10 Celestica International 7.625% Sr Sub Nts 13 223.102-Mar-10 IESY Repository 10.375% Sr Sec Nts 15 151.008-Mar-10 Building Materials 7.750% Sec Nts (2nd Lien) 14 250.008-Mar-10 Entercom Radio 7.625% Sr Sub Nts 14 11.008-Mar-10 Interface 9.500% Sr Sub Nts 14 25.008-Mar-10 Interface Inc 9 1/2% Guar Nts 14 25.011-Mar-10 Chattem 7.000% Sr Sub Nts 14 90.215-Mar-10 Evergreen Resources Inc 5 7/8% Sr Nts 12 6.1

High-yield calls

I







December 2010

A70


Date Issuer Security Amount ($ mn)15-Mar-10 Level 3 Communications 12 1/4% Guar Nts 13 3.115-Mar-10 Waterford Gaming 8.625% Sr Nts 14 10.916-Mar-10 Sealy Mattress 10 7/8% Sr Sec Nts 16 35.019-Mar-10 Flextronics International 6.5% Sr Sub Nts 13 299.822-Mar-10 Coleman Cable 9.875% Sr Nts 12 25.626-Mar-10 Chinese Future Corp 12% Nts 15 225.026-Mar-10 USF Corp 8 1/2% Guar Nts 10 45.030-Mar-10 Gregg Appliances Inc 9% Sr Nts 13 3.431-Mar-10 Time Warner 9 1/4% Guar Nts 14 33.5

March total 1,513.1

01-Apr-10 Blockbuster 11 3/4% Nts 14 22.501-Apr-10 Dole Food 8.875% Sr Nts 11 70.001-Apr-10 Freeport-McMoRan Copper & Gold FRNs 15 1,000.007-Apr-10 Eco-Bat 10.125% Sr Vds 13 58.814-Apr-10 Cincinnati Bell Inc 8 3/8% Guar Nts 14 582.115-Apr-10 Innophos 9.5% Sr Nts 12 56.016-Apr-10 Sirius XM Radio 9 5/8% Sr Unsec Nts 13 500.019-Apr-10 Buckeye Technologies 8.500% Sr Nts13 25.021-Apr-10 Ball Corp 6 7/8% Sr Nts 12 509.021-Apr-10 Central Garden & Pet 9 1/8% Sr Nts 13 150.021-Apr-10 Parker Drilling 9 5/8% Sr Nts 13 225.022-Apr-10 Group 1 Automotive 8.25% Sr Sub Nts 13 74.622-Apr-10 Suburban Propane Partners 6.875% Sr Nts 13 47.426-Apr-10 First Industrial LP 7.375% Sr Nts 11 70.827-Apr-10 Denbury Resources 8 1/4% Sr Nts 20 3.728-Apr-10 North Amer Energy Partnr 8 3/4% Sr Nts 11 200.029-Apr-10 Stena 7.5% Sr Nts 13 152.8

April total 3,747.6

01-May-10 Sensata Technologies 8.000% Sr Nts 14 138.803-May-10 Global Cash Access 8.750% Sr Sub Nts12 25.007-May-10 Amr Holdco/Emcare Holdco 10% Sr Sub Nts 15 250.010-May-10 Duane Reade 11 3/4% Nts 15 300.010-May-10 Duane Reade 9 3/4% Nts 11 51.713-May-10 Meritage Corporation 7% Nts 14 21.915-May-10 AES Corp 8 3/4% Nts 13 400.015-May-10 Paiton Energy Funding 9.340% Guar Nts 14 128.317-May-10 Da-Lite Screen Co Inc 9 1/2% Sr Nts 11 98.017-May-10 Senior Housing Props Tr 7 7/8% Sr Nts 15 97.517-May-10 Terra Capital 7 3/4% Nts 19 600.020-May-10 Beazer Homes USA 8 3/8% Sr Nts 12 303.620-May-10 Harrahs Operating 8% Sr Nts 11 13.220-May-10 Harrahs Operating 5 1/2% Sr Nts 10 224.020-May-10 Park Place Entertainment 8.125% Sr Sub Nts11 12.021-May-10 Vitamin Shoppe Industries FRNs 12 25.022-May-10 Mastellone Hermanos Sa 8% Sr Sec Nts 12 169.124-May-10 Galaxy Entertainment Fin 9 7/8% Sr Guar Nts 12 293.724-May-10 Newfield Exploration 7.625% Sr Nts 11 32.024-May-10 SS&C Technologies Inc 11 3/4% Sr Nts 13 71.825-May-10 Levi Strauss 9 3/4% Nts 15 30.725-May-10 Ryland Group 5.375% Sr Nts 12 198.827-May-10 International Wire Group 10% Sr Sec Nts 11 75.0

High-yield calls

I







December 2010

A71


Date Issuer Security Amount ($ mn)27-May-10 Susser Holdings & Financ 10 5/8% Sr Nts 13 300.028-May-10 Charter Communications 8.375% Sr Sec Nts (2nd) 14 89.028-May-10 Charter Communications 8.75% Sr Nts 13 59.228-May-10 Standard Pacific Corp 7 3/4% Sr Nts 13 90.031-May-10 Telcordia Technologies 10% Sr Sub Nts 13 6.7

May total 4,104.8

01-Jun-10 Salem Communications 9.625% Sr Sec Nts (2nd Lien)16 17.501-Jun-10 Securus Technologies Inc 11% Sr Sec Nts 11 154.001-Jun-10 XM Satellite Radio 10% Sr Nts 11 113.702-Jun-10 Standard Pacific 6.875% Sr Nts 11 48.603-Jun-10 Amkor Technologies 7.750% Sr Nts 13 358.203-Jun-10 Amkor Technologies 7.125% Sr Nts 11 53.603-Jun-10 Standard Pacific Corp 7 3/4% Sr Nts 13 31.603-Jun-10 Standard Pacific Corp 7 3/4% Sr Nts 13 31.604-Jun-10 Kansas City Southern de Mexico 12.500% Sr Nts 16 70.004-Jun-10 Kansas City Southern de Mexico 0.09375 12 100.004-Jun-10 Kansas City Southern Railway 13.000% Sr Nts 13 66.507-Jun-10 Agile Property Holdings 9.000% Sr Sec Nts 13 400.007-Jun-10 Davita 6.625% Sr Nts 13 200.007-Jun-10 Lamar Media 7.250% Sr Sub Nts13 19.407-Jun-10 Phillips Van-Heusen 8 1/8% Nts 10 15.707-Jun-10 Phillips Van-Heusen 7 1/4% Nts 11 49.507-Jun-10 Pinnacle Entertainment 8.250% Sr Sub Nts 12 200.009-Jun-10 Douglas Dynamics 7 3/4% Sr Nts 12 150.009-Jun-10 Douglas Dynamics 7.750% Sr Nts 12 150.014-Jun-10 American Seafood 11.500% Sr Disc Nts11 196.015-Jun-10 Ak Steel Corp 7 3/4% Sr Nts 12 182.715-Jun-10 Ferrellgas 8.75% Sr Nts 12 34.115-Jun-10 Warnaco 8.875% Sr Nts13 110.919-Jun-10 Noranda Aluminum Acquisition FRN Sr Nts 14 239.121-Jun-10 Advance Agro Public 11% Nts 12 103.321-Jun-10 Chesapeake Energy 6 7/8% Sr Nts 16 670.421-Jun-10 Chesapeake Energy 7 1/2% Sr Nts 13 363.821-Jun-10 Chesapeake Energy 7 1/2% Sr Nts 14 300.021-Jun-10 iStar Financial 10% Sr Sec Nts (2nd) 14 135.021-Jun-10 L-3 Communications 6 188% Nts 14 400.022-Jun-10 LPL Holdings Inc 10 3/4% Nts 15 330.022-Jun-10 LPL Holdings Inc 10.750% Sr Sub Nts 15 330.024-Jun-10 RailAmerica 9 1/4% Nts 17 75.225-Jun-10 Owens-Brockway Glass Container 8 1/4% Nts 13 450.030-Jun-10 INVISTA/Arteva Specialties 9 1/4% Nts 12 349.730-Jun-10 iStar Financial 8% Nts 11 155.330-Jun-10 Unifi 11.500% Sr Sec Nts (1st Lien) 14 15.0

June total 6,670.4

01-Jul-10 Dave & Busters 11.250% Sr Nts 14 175.015-Jul-10 Dollarama Group FRN Sr Nts 12 185.015-Jul-10 International Coal 10.250% Sr Nts 14 5.915-Jul-10 L-3 Communications 6.125% Sr Sub Nts 13 400.015-Jul-10 Telcordia Technologies FRN Sr Sec Nts 12 17.616-Jul-10 Vought Aircraft Industries 8.000% Sr Nts 11 270.019-Jul-10 Morris Publishing 10.000% Sec Nts 14 8.8

High-yield calls

I







December 2010

A72


Date Issuer Security Amount ($ mn)22-Jul-10 Chesapeake Energy 6.375% Sr Nts15 600.028-Jul-10 Case New Holland 7.125% Sr Nts 14 500.028-Jul-10 ESI Tractebel Acquisition 7.990% Sec Bds 11 83.6

July total 2,245.9

09-Aug-10 Phibro Animal Health 10.000% Sr Nts 13 160.010-Aug-10 Indosat Finance 7.750% Sr Nts 10 66.915-Aug-10 Graphic Packaging 9.500% Sr Sub Nts 13 101.718-Aug-10 Sonic Automotive 8.625% Sr Sub Nts 13 20.020-Aug-10 Cardtronics Inc 9.250% Sr Sub Nts 13 100.023-Aug-10 Yonkers Racing Corp 11.375% Sr Sec Nts (2nd Lien) 16 21.825-Aug-10 Host Marriott 7.125% Sr Nts 13 225.026-Aug-10 American Capital 8.960% Sr Sec Nts 13 129.027-Aug-10 Crown Americas Inc 7.625% Sr Nts 13 200.027-Aug-10 Range Resources 7.375% Sr Sub Nts 13 200.030-Aug-10 Vantage Drilling 13.500% Sr Sec Nts 13 135.0


02-Sep-10 Tenneco Automotive 10.250% Sr Sec Nts (2nd Lien) 13 245.003-Sep-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 83.005-Sep-10 Pride International 7.375% Sr Nts 14 500.007-Sep-10 Iron Mountain 7.750% Sr Sub Nts 15 208.308-Sep-10 Whiting Petroleum 7.250% Sr Sub Nts 12 150.008-Sep-10 Whiting Petroleum 7.250% Sr Sub Nts 13 220.009-Sep-10 Arch Western Finance 6.750% Sr Nts 13 500.109-Sep-10 Esterline Technologies 7.750% Sr Sub Nts 13 175.010-Sep-10 Peabody Energy 6.875% Sr Nts 13 650.010-Sep-10 Texas Industries 7.250% Sr Nts 13 300.010-Sep-10 Texas Industries 7.250% Sr Nts 13 250.013-Sep-10 Cornell 10.750% Sr Nts 12 112.013-Sep-10 Delta Air Lines 9.500% Sr Sec Nts (1st Lien) 14 74.415-Sep-10 Bumble Bee Foods 7.750% Sr Sec Nts 15 21.816-Sep-10 Blount 8.875% Sr Sub Nts 12 175.016-Sep-10 Chesapeake Energy 7.000% Sr Nts 14 54.916-Sep-10 Chesapeake Energy 6.625% Sr Nts 16 33.416-Sep-10 Chesapeake Energy 6.250% Sr Nts 18 17.520-Sep-10 Petrohawk Energy Corp 9.125% Sr Nts 13 115.820-Sep-10 PetroQuest Energy Inc 10.375% Sr Nts 12 150.027-Sep-10 Cardtronics Inc 9.250% Sr Sub Nts 13 101.827-Sep-10 Innophos 8.875% Sr Sub Nts 14 190.028-Sep-10 Clean Harbors 7.625% Sr Sec Nts 16 30.029-Sep-10 Goodyear Tire & Rubber 7.857% Sr Nts 11 387.929-Sep-10 Goodyear Tire & Rubber 8.625% Sr Nts 11 325.029-Sep-10 Goodyear Tire & Rubber 9.000% Sr Nts 15 260.0


01-Oct-10 Buckeye Technologies 8.500% Sr Nts 13 140.007-Oct-10 Neff 10.000% Sr Nts 15 34.008-Oct-10 AES 8.750% Sr Sec Nts (2nd Lien) 13 290.308-Oct-10 Brigham Exploration 9.625% Sr Nts 14 160.015-Oct-10 Exco Resources 7.250% Sr Nts 11 444.719-Oct-10 Harvest Operations 7.875% Sr Nts 11 209.619-Oct-10 Morris Publishing 10.000% Sec Nts 14 1.5

High-yield calls

I







December 2010

A73


Date Issuer Security Amount ($ mn)21-Oct-10 CIT Group Funding Co of Delaware 10.250% Sr Sec Nts (2nd Lien) 14 322.421-Oct-10 CIT Group Funding Co of Delaware 10.250% Sr Sec Nts (2nd Lien) 13 214.921-Oct-10 Visant Holding Corporation 0.000%/10.250% Sr Disc Nts 13 5.721-Oct-10 Visant Holding Corporation 7.625% Sr Sub Nts 12 65.325-Oct-10 PHI Inc 7.125% Sr Nts 13 10.525-Oct-10 United Components 9.375% Sr Sub Nts 13 230.027-Oct-10 Beverages & More Inc 9.250% Sr Sec Nts 12 100.027-Oct-10 Valeant Pharmaceuticals 7.625% Sr Nts 20 400.027-Oct-10 Valeant Pharmaceuticals 8.375% Sr Nts 16 365.029-Oct-10 Anadarko Finance 6.750% Guar Nts 11 422.029-Oct-10 Graphic Packaging 9.500% Sr Sub Nts 13 40.229-Oct-10 GSC Holdings 8.000% Sr Guar Nts 12 185.031-Oct-10 Mobile Satellite Venture 0.000%/14.000% Sr Sec Disc Nts 13 750.0


01-Nov-10 Ames True Temper 10.000% Sr Sub Nts 12 109.401-Nov-10 Ames True Temper FRN Sr Sub Nts 12 150.001-Nov-10 Dennys 10.000% Sr Nts 12 49.701-Nov-10 FTI Consulting 7.625% Sr Nts 13 14.201-Nov-10 MetroPCS 9.250% Sr Nts 14 686.901-Nov-10 NBTY 7.125% Sr Sub Nts 15 190.001-Nov-10 Nielsen Finance LLC 10.000% Sr Nts 14 750.001-Nov-10 Regal Cinemas 9.375% Sr Sub Nts 12 51.504-Nov-10 CIT Group Funding Co of Delaware 10 1/4% Nts 16 537.304-Nov-10 CIT Group Funding Co of Delaware 10 1/4% Nts 15 322.404-Nov-10 Stoneridge Inc 11.500% Sr Nts 12 73.105-Nov-10 Alliance Laundry Systems 8.500% Sr Sub Nts 13 150.008-Nov-10 FMG Finance Pty Ltd 10.625% Sr Sec Nts (1st Lien) 16 1,026.008-Nov-10 FMG Finance Pty Ltd 10.000% Sr Sec Nts (1st Lien) 13 317.508-Nov-10 FMG Finance Pty Ltd FRN Sr Sec Nts (1st Lien) 11 250.008-Nov-10 ICON Health & Fitness 11.250% Sr Sub Nts 12 155.012-Nov-10 Associated Materials 0.000%/11.250% Sr Disc Nts 14 431.012-Nov-10 Associated Materials 9.875% Sr Sec Nts (2nd Lien) 16 200.015-Nov-10 INVISTA/Arteva Specialties 9.250% Sr Nts 12 174.615-Nov-10 Silgan Holdings 6.750% Sr Sub Nts 13 200.015-Nov-10 STATS ChipPac 6.750% Sr Guar Nts 11 47.017-Nov-10 DJO Finance 11.750% Sr Sub Nts 14 200.018-Nov-10 Cablemas SA 9.375% Sr Nts 15 175.018-Nov-10 MetroPCS 9.250% Sr Nts 14 400.018-Nov-10 MetroPCS 9.250% Sr Nts 14 550.019-Nov-10 Davita 7.250% Sr Sub Nts 15 119.219-Nov-10 Davita 6.625% Sr Nts 13 142.419-Nov-10 Domtar 7.875% Sr Nts 11 134.819-Nov-10 Sinclair Broadcast 8.000% Sr Sub Nts 12 49.022-Nov-10 Michaels Stores 10.000% Sr Nts 14 13.726-Nov-10 Trinity Industries 6.500% Sr Nts 14 201.529-Nov-10 Host Marriott 7.125% Sr Nts 13 250.029-Nov-10 Huntsman International LLC 7.875% Sr Sub Nts 14 188.329-Nov-10 Nielsen Finance LLC 10.000% Sr Nts 14 120.029-Nov-10 United Rentals 7.750% Sr Sub Nts 13 467.529-Nov-10 United Rentals 7.000% Sr Sub Nts 14 253.0


Total called debt 45,257.3

High-yield calls







December 2010

A74

J

High-yield tenders


Date Issuer Security Amount ($ mn)02-Jan-10 Tyson Foods 7% Nts 18 33.804-Jan-10 KAR Holdings 10.000% Sr Sub Nts 15 225.604-Jan-10 Buckeye Technologies 8.500% Sr Nts 13 35.005-Jan-10 Targa Resources 8.5% Sr Nts 13 250.006-Jan-10 Intcomex Inc 11 3/4% Sr Sec Nts 11 80.407-Jan-10 Sistema Capital SA 8.875% Nts 11 257.311-Jan-10 National Beef Packaging/NB Finance 10.500% Sr Nts 11 122.115-Jan-10 Crown Castle International 7 3/4% Nts 17 199.615-Jan-10 Crown Castle International 9% Nts 15 33.126-Jan-10 Rock-Tenn Co 5 5/8% Sr Sec Nts 13 19.526-Jan-10 Rock-Tenn Co 5 5/8% Nts 13 19.527-Jan-10 Sothebys Holdings 7 3/4% Nts 15 21.829-Jan-10 Chartered Semiconductor 6.375% Sr Nts 15 133.029-Jan-10 Chartered Semiconductor 6.250% Sr Nts 13 38.231-Jan-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 10.031-Jan-10 K. Hovnanian Enterprises 6.500% Sr Nts14 25.031-Jan-10 Claires Stores 10.500% Sr Sub Nts 17 9.9


02-Feb-10 Level 3 Financing 12 1/4% Sr Nts 13 546.905-Feb-10 First Industrial LP 6 7/8% Nts 12 81.905-Feb-10 First Industrial LP 7 3/8% Nts 11 85.105-Feb-10 First Industrial LP 6.42% Nts 14 33.105-Feb-10 First Industrial LP 7 1/2% Nts 17 8.905-Feb-10 Tyson Foods 8 1/4% Nts 11 283.005-Feb-10 Tyson Foods 6.6% Nts 16 67.508-Feb-10 Libbey Glass FRNs 11 306.008-Feb-10 Libbey Glass FRN Sr Sec Nts 11 306.009-Feb-10 Teekay Corporation 8.875% Sr Nts 11 151.111-Feb-10 Vanguard Health Systems 11 1/4% Sr Sub Disc Nts 15 212.011-Feb-10 Vanguard Health Systems 9% Sr Sub Nts 14 554.416-Feb-10 Harvest Operations 7.875% Sr Nts 11 40.416-Feb-10 Williams Companies 8.750% Sr Nts 32 163.816-Feb-10 Williams Companies 7.875% Sr Nts 21 178.716-Feb-10 Williams Companies 7.625% Sr Nts 19 668.316-Feb-10 Williams Companies 7.500% Debs 31 163.216-Feb-10 Williams Companies 8.125% Sr Nts 12 601.716-Feb-10 Williams Companies 8.750% Sr Nts 20 586.416-Feb-10 Williams Companies 7.750% Sr Nts 31 111.016-Feb-10 Williams Companies 7.125% Sr Nts 11 428.716-Feb-10 Williams Companies 7.700% Bds 27 98.017-Feb-10 Coleman Cable 9.875% Sr Nts 12 214.418-Feb-10 Newfield Exploration 7.625% Sr Nts 11 143.023-Feb-10 Developers Diversified Realty 5.250% Sr Nts 11 1.523-Feb-10 Developers Diversified Realty 4.625% Sr Nts 10 51.324-Feb-10 McClatchy 7.125% Sr Unsub 11 148.025-Feb-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 136.025-Feb-10 Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 139.027-Feb-10 Albertsons Inc 7.500% Sr Nts11 21.327-Feb-10 SUPERVALU 7.500% Sr Nts14 10.128-Feb-10 Sterling Chemicals 10.250% Sr Sec Nts 15 2.028-Feb-10 Biomet Inc 10.000% Sr Nts 17 4.028-Feb-10 Biomet Inc 10.375% Sr Toggle Nts 17 4.028-Feb-10 Lennar 5 1/8% Sr Nts 10 37.3







December 2010

A75

J

High-yield tenders


Date Issuer Security Amount ($ mn)28-Feb-10 Anixter Inc 10% Guar Nts 14 66.728-Feb-10 Cellu Tissue Holdings 11.500% Sr Sec Nts 14 28.1


02-Mar-10 Advance Agro Public 11.000% Sr Nts 12 40.803-Mar-10 Developers Diversified Realty 5.250% Sr Nts 11 54.403-Mar-10 Developers Diversified Realty 4.625% Sr Nts 10 24.708-Mar-10 ISA Capital do Brazil 8.800% Sr Sec Nts 17 322.309-Mar-10 Eastman Kodak 7.250% Sr Nts 13 200.010-Mar-10 Encore Acquisition Corp 6.000% Sr Sub Nts 15 268.810-Mar-10 Encore Acquisition Corp 7.250% Sr Sub Nts 17 123.510-Mar-10 Encore Acquisition Corp 6.250% Sr Sub Nts 14 108.218-Mar-10 GenCorp 9.500% Sr Sub Nts13 22.522-Mar-10 ArvinMeritor 8.750% Sr Nts 12 175.024-Mar-10 Ceva Group 10% Nts 14 400.024-Mar-10 Qwest Capital Funding 7.9% Guar Nts 10 338.224-Mar-10 Qwest Capital Funding 7 1/4% Guar Nts 11 621.524-Mar-10 Qwest Capital Funding 7.900% Sr Guar Nts 10 338.226-Mar-10 Education Management LLC 10 1/4% Guar Nts 16 21.430-Mar-10 Time Warner 9 1/4% Guar Nts 14 366.531-Mar-10 Clear Channel Communicat 11% Sr Toggle Nts 16 185.231-Mar-10 Airgas 7.125% Sr Sub Nts 18 96.631-Mar-10 AmeriCredit 8.5% Sr Nts 15 21.031-Mar-10 iStar Financial 5.150% Sr Nts 12 41.531-Mar-10 iStar Financial 10.000% Sr Sec Nts (2nd Lien) 14 32.231-Mar-10 iStar Financial 5.950% Sr Nts 13 11.031-Mar-10 iStar Financial 6.500% Sr Nts 13 8.631-Mar-10 iStar Financial 5.650% Sr Nts11 2.031-Mar-10 iStar Financial 5.125% Sr Nts11 5.031-Mar-10 iStar Financial 5.800% Sr Nts11 8.531-Mar-10 iStar Financial 5.500% Sr Nts12 12.531-Mar-10 iStar Financial 8.625% Sr Nts 13 7.031-Mar-10 iStar Financial 5.700% Sr Nts 14 6.031-Mar-10 Istar Financial Inc 6% Sr Nts 10 101.531-Mar-10 Boyd Gaming 6.750% Sr Sub Nts14 15.531-Mar-10 Gaylord Entertainment 6.750% Sr Nts 14 26.531-Mar-10 Team Health 11.250% Sr Sub Nts 13 12.031-Mar-10 Tenet Healthcare 9.250% Sr Nts 15 8.031-Mar-10 Allison Transmission 11.250% Sr Toggle Nts15 25.331-Mar-10 Philippine Long Distance Telephone 8.350% Sr Nts17 5.231-Mar-10 Philippine Long Distance Telephone 8.350% Sr Nts 17 5.931-Mar-10 Swift Transportation 12.500% Sr Sec Nts 17 89.4

March total 4,152.3

01-Apr-10 Anixter 10.000% Sr Nts 14 91.702-Apr-10 International Coal Group 10 1/4% Guar Nts 14 169.205-Apr-10 Suburban Propane Partners 6.875% Sr Nts 13 202.607-Apr-10 Reckson Operating Partnership 5.875% Sr Nts 14 50.007-Apr-10 Reckson Operating Partnership 5.150% Sr Nts 11 38.808-Apr-10 Encore Acquisition Corp 6.0% Sr Sub Nts 15 31.208-Apr-10 Encore Acquisition Corp 7.25% Sr Sub Nts 17 26.508-Apr-10 Encore Acquisition Corp 6.25% Sr Sub Nts 14 41.809-Apr-10 Mohawk Industries 5.750%/6.000% Sr Nts 11 200.009-Apr-10 Wienerberger AG 3.875% Sr Nts 12 129.8







December 2010

A76

J

High-yield tenders


Date Issuer Security Amount ($ mn)12-Apr-10 Sonic Automotive 8.625% Sr Sub Nts 13 200.012-Apr-10 Bombardier 6.75% Sr Nts 12 398.912-Apr-10 Bombardier 6.300% Sr Nts 14 338.015-Apr-10 Prestige Brands 9 1/4% Guar Nts 12 126.018-Apr-10 O Charleys 9.000% Sr Sub Nts13 9.826-Apr-10 Ferrellgas 8.750% Sr Nts 12 233.927-Apr-10 AutoNation 7.0% Sr Guar Nts 14 117.927-Apr-10 AutoNation FRN Sr Nts 13 146.130-Apr-10 Las Vegas Sands 6.375% Sr Sec Nts 15 34.730-Apr-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 35.530-Apr-10 K. Hovnanian Enterprises 6.250% Sr Nts15 15.930-Apr-10 K. Hovnanian Enterprises 7.750% Sr Sub Nts13 11.1

April total 2,649.3

01-May-10 Claires Stores 10.500% Sr Sub Nts 17 15.601-May-10 Macys Retail Holdings 5.350% Sr Nts12 425.001-May-10 Macys Retail Holdings 6.625% Sr Nts11 57.001-May-10 Macys Retail Holdings 8.000% Sr Nts12 9.003-May-10 Meritage Corporation 6 1/4% Nts 15 65.003-May-10 Meritage Corporation 7% Nts 14 108.104-May-10 Phillips Van-Heusen 8 1/8% Nts 10 134.304-May-10 Phillips Van-Heusen 7 1/4% Nts 11 100.504-May-10 Rexnord 9.5% Nts 14 794.104-May-10 Rexnord 9 1/2% Nts 14 196.304-May-10 Rexnord 8 7/8% Nts 16 77.005-May-10 Lamar Media 7 1/4% Sr Nts 13 365.606-May-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 51.006-May-10 Dollar General 10.625% Sr Nts 15 31.006-May-10 Telcordia Technologies 10% Sr Sub Nts 13 248.006-May-10 Telcordia Technologies FRNs 12 537.410-May-10 Cablevision Systems 8% Nts 12 973.211-May-10 Charter Communications 8.375% Sr Sec Nts (2nd) 14 681.011-May-10 Charter Communications 8.75% Sr Nts 13 740.812-May-10 First American Capital Trust I 8.500% Trust Pfd Secs 12 65.217-May-10 Zions Bancorp 5 1/2% Sub Nts 15 109.617-May-10 Limited Brands Inc 5 1/4% Nts 14 266.417-May-10 Limited Brands Inc 6 1/8% Nts 12 133.617-May-10 Primus Telecomm Group 14.500% Sr Sec Nts13 9.518-May-10 Standard Pacific Corp 7 3/4% Sr Nts 13 90.019-May-10 Levi Strauss 9 3/4% Nts 15 415.521-May-10 AK Steel Corp 7 3/4% Sr Nts 12 324.621-May-10 JC Penney Corporation In 6 3/8% Sr Nts 36 300.025-May-10 Lennar 5 1/8% Sr Nts 10 76.425-May-10 Lennar 5.95% Sr Nts 11 130.825-May-10 Lennar 5.95% Sr Nts 13 82.328-May-10 Omnicare Inc 6 3/4% Sr Sub Nts 13 217.028-May-10 Liberty Media 5.7% Nts 13 410.031-May-10 Lennar 5.125% Sr Nts 10 37.1

May total 8,277.7

01-Jun-10 American Tire Distributors 10.750% Sr Nts 13 150.001-Jun-10 American Tire Distributors FRNs 12 140.001-Jun-10 American Tire Distributors 0/13% 13 51.501-Jun-10 Allbritton Communication 7 3/4% Sr Sub Nts 12 454.2







December 2010

A77

J

High-yield tenders


Date Issuer Security Amount ($ mn)09-Jun-10 Valassis Communications 8.250% Sr Nts15 270.010-Jun-10 Titan International 8.000% Sr Nts12 47.414-Jun-10 Perry Ellis International 8.875% Sr Sub Nts13 46.015-Jun-10 ArvinMeritor 8.750% Sr Nts 12 17.016-Jun-10 BWAY 10% Sr Sub Nts 14 228.518-Jun-10 Domtar 5 3/8% Nts 13 238.318-Jun-10 Domtar 7 1/8% Nts 15 187.221-Jun-10 Weyerhaeuser 6 3/4% Nts 12 551.021-Jun-10 Amkor Technologies 9.250% Sr Nts 16 125.721-Jun-10 Motorola Inc 6 5/8% Nts 37 221.221-Jun-10 Motorola Inc 6 1/2% Nts 28 74.821-Jun-10 Motorola Inc 6 1/2% Nts 25 63.130-Jun-10 Belo Corporation 8.000% Sr Nts 16 4.930-Jun-10 Fisher Communications 8.625% Sr Nts 14 17.430-Jun-10 Airgas 7.125% Sr Sub Nts 18 25.030-Jun-10 American Pacific 9.000% Sr Nts 15 5.030-Jun-10 Brunswick Corp 9.750%/11.750% Sr Nts 13 27.830-Jun-10 Elizabeth Arden 7.750% Sr Sub Nts 14 5.030-Jun-10 Steinway Musical Instruments 7.000% Sr Nts 14 5.830-Jun-10 Valassis Communications 8.250% Sr Nts 15 28.330-Jun-10 Allied Capital Corp 6.625% Sr Nts 11 5.030-Jun-10 Allied Capital Corp 6.000% Sr Nts 12 5.030-Jun-10 iStar Financial 5.150% Sr Nts 12 43.130-Jun-10 iStar Financial 5.650% Sr Nts 11 64.130-Jun-10 iStar Financial 5.800% Sr Nts 11 33.030-Jun-10 iStar Financial 6.000% Sr Nts 10 48.730-Jun-10 iStar Financial 5.125% Sr Nts 11 23.830-Jun-10 iStar Financial 5.500% Sr Nts 12 22.230-Jun-10 MBIA 9.375% Sr Nts 11 17.030-Jun-10 Alliance One International 8.500% Sr Nts 12 23.630-Jun-10 Boyd Gaming 6.750% Sr Sub Nts 14 17.530-Jun-10 Las Vegas Sands 6.375% Sr Sec Nts 15 25.630-Jun-10 MGM Mirage 8.375% Sr Sub Nts 11 75.030-Jun-10 MGM Mirage 8.500% Sr Guar Nts 10 136.030-Jun-10 Accellent Inc 10.500% Sr Sub Nts 13 10.030-Jun-10 Invacare Corp 9.750% Sr Nts 15 29.030-Jun-10 D.R. Horton 5.625% Bds 16 65.730-Jun-10 D.R. Horton 5.625% Sr Nts 14 87.930-Jun-10 D.R. Horton 6.000% Sr Nts 11 125.030-Jun-10 D.R. Horton 6.875% Sr Nts 13 25.230-Jun-10 D.R. Horton 6.125% Sr Nts 14 51.230-Jun-10 D.R. Horton 5.375% Sr Nts 12 34.130-Jun-10 D.R. Horton 7.875% Sr Nts 11 31.630-Jun-10 Masco Corp 5.875% Sr Nts 12 59.030-Jun-10 Ryland Group 5.375% Sr Nts 15 19.030-Jun-10 Hawk 8.750% Sr Nts 14 20.030-Jun-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 34.030-Jun-10 Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 193.030-Jun-10 Domtar 7.875% Sr Nts 11 5.030-Jun-10 Verso Paper Holdings 11.500% Sr Sec Nts (1st Lien) 14 19.830-Jun-10 Verso Paper Holdings 9.125% Sr Sec Nts (2nd Lien) 14 12.930-Jun-10 United Rentals 7.750% Sr Sub Nts13 16.530-Jun-10 United Rentals 7.000% Sr Sub Nts14 16.030-Jun-10 Freescale Semiconductor 8.875% Sr Nts14 29.0







December 2010

A78

J

High-yield tenders


Date Issuer Security Amount ($ mn)30-Jun-10 Freescale Semiconductor 9.875% Sr Toggle Nts14 17.030-Jun-10 Freescale Semiconductor 8.875% Sr Nts 14 88.130-Jun-10 Freescale Semiconductor 9.125% Sr Toggle Nts 14 35.030-Jun-10 Freescale Semiconductor FRN Sr Nts 14 15.030-Jun-10 Teekay Corporation 8.875% Sr Nts 11 9.430-Jun-10 Termoemcali Funding Corp 10.125% Sr Sec Nts 19 113.0

June total 4,686.0

02-Jul-10 Michael Foods 9.750% Sr Nts 13 154.102-Jul-10 Michael Foods 8.000% Sr Sub Nts 13 150.003-Jul-10 Tyson Foods 8.250% Sr Nts 11 229.003-Jul-10 Tyson Foods 6.600% Sr Nts 16 164.803-Jul-10 Tyson Foods 7.000% Sr Nts 18 6.003-Jul-10 Leslie's Poolmart 7.750% Sr Nts 13 6.203-Jul-10 Sanmina 6.750% Sr Sub Nts 13 20.007-Jul-10 DynCorp 9.500% Sr Sub Nts 13 376.215-Jul-10 Kellwood Company 7.625% Debs 17 29.728-Jul-10 Multiplan Inc 10.375% Sr Sub Nts 16 14.030-Jul-10 Tenet Healthcare 9.250% Sr Nts 15 9.031-Jul-10 Forest City Enterprises 6.500% Sr Nts 17 12.131-Jul-10 D.R. Horton 6.500% Sr Nts 16 29.031-Jul-10 D.R. Horton 5.250% Sr Nts 15 70.231-Jul-10 K. Hovnanian Enterprises 6.250% Sr Nts 15 13.731-Jul-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 9.031-Jul-10 Toll Brothers 4.950% Sr Nts 14 22.031-Jul-10 Toll Brothers 5.950% Sr Nts 13 13.531-Jul-10 William Lyon Homes 10.75% Sr Nts 13 10.531-Jul-10 Claires Stores 10.375% Sr Toggle Nts 15 41.631-Jul-10 Claires Stores 10.500% Sr Sub Nts 17 7.0

July total 1,387.4

05-Aug-10 Sappi Papier Holding 7.500% Bds 32 29.006-Aug-10 Anixter 10.000% Sr Nts 14 11.811-Aug-10 QEP Resources Inc 7 1/2% Sr Nts 11 71.511-Aug-10 QEP Resources Inc 6.05% Sr Nts 16 73.211-Aug-10 QEP Resources Inc 6.8% Sr Nts 18 311.411-Aug-10 QEP Resources Inc 6.8% Sr Nts 20 162.218-Aug-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 987.027-Aug-10 SLM Corp 5.400% Sr Nts 11 133.727-Aug-10 SLM Corp 5.450% Sr Nts 11 45.627-Aug-10 STATS ChipPac 6.750% Sr Guar Nts 11 168.030-Aug-10 Chesapeake Energy 7.000% Sr Nts 14 245.130-Aug-10 Chesapeake Energy 6.625% Sr Nts 16 566.630-Aug-10 Chesapeake Energy 6.250% Sr Nts 18 582.530-Aug-10 Petrohawk Energy Corp 9.125% Sr Nts 13 652.830-Aug-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 246.930-Aug-10 Tenet Healthcare 7.375% Sr Nts 13 783.730-Aug-10 Tenet Healthcare 9.875% Sr Nts 14 40.0


02-Sep-10 Da-Lite Screen 12.500% Sr Nts 15 10.807-Sep-10 Limited Brands 5.250% Sr Nts 14 20.008-Sep-10 Smithfield Foods 7.000% Sr Nts 11 52.4







December 2010

A79

J

High-yield tenders


Date Issuer Security Amount ($ mn)08-Sep-10 Smithfield Foods 7.000% Sr Nts 11 71.309-Sep-10 Cardtronics Inc 9.250% Sr Sub Nts 13 98.222-Sep-10 Visant Holding Corporation 7.625% Sr Sub Nts 12 434.722-Sep-10 Visant Holding Corporation 10.25% Sr Disc Nts 13 241.522-Sep-10 Visant Holding Corporation 8.75% Sr Nts 13 349.823-Sep-10 SLM Corp 5.400% Sr Nts 11 117.323-Sep-10 SLM Corp 5.450% Sr Nts 11 156.423-Sep-10 SLM Corp 3.125% Sr Nts 12 68.023-Sep-10 SLM Corp 4.875% Sr Nts 12 15.024-Sep-10 Delta Air Lines 12.250% Sr Sec Nts (2nd Lien) 15 518.524-Sep-10 Delta Air Lines 8.954% P-T Certs 14 72.724-Sep-10 Northwest Airlines 8.028% P-T Certs 17 5.128-Sep-10 Associated Banc-Corp 6.750% Sub Nts 11 30.029-Sep-10 Stora Enso Oyj 7.375% Sr Nts 11 47.630-Sep-10 Ames True Temper 10.000% Sr Sub Nts 12 40.630-Sep-10 QEP Resources 7.500% Sr Nts 11 20.030-Sep-10 SLM Corp 5.000% Sr Nts 13 48.730-Sep-10 SLM Corp 5.375% Sr Nts 14 57.230-Sep-10 SLM Corp FRN Sr Nts 14 30.530-Sep-10 SLM Corp 5.125% Sr Nts 12 11.530-Sep-10 SLM Corp 5.375% Sr Nts 13 23.530-Sep-10 SLM Corp 5.050% Sr Nts 14 6.330-Sep-10 Service Corporation International 7.375% Sr Nts 14 64.330-Sep-10 Service Corporation International 7.875% Debs 13 23.130-Sep-10 Mobile Services Group 9.750% Sr Nts 14 7.130-Sep-10 Freescale Semiconductor 8.875% Sr Nts 14 382.930-Sep-10 Freescale Semiconductor 9.125% Sr Toggle Nts 14 280.830-Sep-10 Freescale Semiconductor FRN Sr Toggle Nts 14 121.430-Sep-10 Allied Capital Corp 6.625% Sr Nts 11 14.330-Sep-10 Allied Capital Corp 6.000% Sr Nts 12 29.430-Sep-10 MeadWestvaco 6.850% Sr Nts 12 98.030-Sep-10 Airgas 7.125% Sr Sub Nts 18 5.030-Sep-10 D.R. Horton 6.000% Sr Nts 11 9.430-Sep-10 D.R. Horton 7.875% Sr Nts 11 6.7


01-Oct-10 Titan International 8.000% Sr Nts 12 138.905-Oct-10 Scientific Games 6.250% Sr Sub Nts 12 107.605-Oct-10 MetroPCS 9.250% Sr Nts 14 313.106-Oct-10 Dennys 10.000% Sr Nts 12 125.308-Oct-10 PolyOne 8.875% Sr Nts 12 257.008-Oct-10 Huntsman International LLC 7.875% Sr Sub Nts 14 158.712-Oct-10 FTI Consulting 7.625% Sr Nts 13 185.814-Oct-10 Intelsat 9.250% Sr Nts 14 546.314-Oct-10 PanAmSat 6.875% Sr Sec Nts 28 125.014-Oct-10 Graphic Packaging 9.500% Sr Sub Nts 13 209.718-Oct-10 Stoneridge Inc 11.500% Sr Nts 12 109.918-Oct-10 Sinclair Broadcast 8.000% Sr Sub Nts 12 175.718-Oct-10 Zions Bancorporation 5.500% Sub Nts 15 103.718-Oct-10 Zions Bancorporation 6.000% Sub Nts 15 54.318-Oct-10 Zions Bancorporation 5.650% Sub Nts 14 50.020-Oct-10 Centex Corp 5.250% Sr Nts 15 25.520-Oct-10 Centex Corp 5.700% Sr Nts 14 31.320-Oct-10 Centex Corp 5.125% Sr Nts 13 104.8







December 2010

A80

J

High-yield tenders


Date Issuer Security Amount ($ mn)20-Oct-10 Pulte Home 5.250% Sr Nts 14 128.120-Oct-10 Pulte Home 5.200% Sr Nts 15 47.820-Oct-10 Pulte Home 6.250% Sr Nts 13 162.525-Oct-10 PHI Inc 7.125% Sr Nts 13 189.527-Oct-10 OAO Severstal 9.750% Sec Nts 13 706.430-Oct-10 Fisher Communications 8.625% Sr Nts 14 2.931-Oct-10 Texas Competitive Electric Holdings 10.250% Sr Nts 15 436.131-Oct-10 Texas Competitive Electric Holdings 10.250% Sr Nts 15 69.8


01-Nov-10 Davita 7.250% Sr Sub Nts 15 730.801-Nov-10 Davita 6.625% Sr Nts 13 557.601-Nov-10 Invacare Corp 9.750% Sr Nts 15 146.004-Nov-10 Michaels Stores 10.000% Sr Nts 14 736.309-Nov-10 XM Satellite Radio 11.250% Sr Sec Nts 13 489.110-Nov-10 Regency Energy Partners 8.375% Sr Nts 13 271.210-Nov-10 Accellent Inc 10.500% Sr Sub Nts 13 230.810-Nov-10 M/I Schottenstein Homes 6.875% Sr Nts 12 158.616-Nov-10 Markwest Energy Partners 6.875% Sr Nts 14 144.016-Nov-10 Markwest Energy Partners 6.875% Sr Nts 14 206.917-Nov-10 Hanger Orthopedic Group 10.250% Sr Nts 14 172.419-Nov-10 Bombardier 8.000% Sr Nts 14 150.219-Nov-10 Hexion 9.750% Sr Sec Nts (2nd Lien) 14 482.319-Nov-10 Momentive Performance 9.750% Sr Nts 14 684.923-Nov-10 Rural/Metro 0.000%/12.750% Sr Disc Nts 16 24.824-Nov-10 Boyd Gaming 7.750% Sr Sub Nts 12 92.1


Total tendered debt 47,894.2

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A81

K

JP

Morg

an U

S D

olla

r G

lobal H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

J.P. M

orga

n Gl

obal

HYIn

dex

4.72%

0.08%

6.34%

1.32%

12.92

%10

0.00%

644b

p7.9

1%8.4

6%4.0

1 yrs

BJ.P

. Mor

gan

HYDe

velop

ed M

kt Ind

ex

4.58%

0.11%

6.23%

1.39%

12.76

%92

.53%

648b

p7.9

4%8.4

6%3.9

8 yrs

BJ.P

. Mor

gan

HYEm

ergin

g Mk

t Ind

ex

7.01%

-0.57

%7.7

9%0.4

8%15

.24%

7.47%

603b

p7.6

6%8.4

7%4.3

6 yrs

Split

BBJ.P

. Mor

gan

HYDo

mesti

c Ind

ex

4.56%

0.20%

6.08%

1.33%

12.62

%86

.62%

648b

p7.9

4%8.4

8%3.9

8 yrs

BJ.P

. Mor

gan

HYInt

erna

tiona

l Inde

x 5.8

6%-0

.78%

8.05%

1.28%

14.94

%13

.38%

623b

p7.7

7%8.3

2%4.1

7 yrs

Split

BB

J.P. M

orga

n Gl

obal

HYIn

dex b

y ind

ustry

Auto

mot

ive8.9

5%0.3

5%5.7

5%0.0

3%15

.65%

3.00%

565b

p6.8

9%7.9

6%3.4

6 yrs

BOe

ms a

nd C

aptiv

e Fin

ance

9.67%

-2.44

%5.3

1%-2

.45%

9.93%

0.90%

422b

p5.1

6%6.6

4%2.9

7 yrs

BSu

pplie

rs8.4

7%2.0

0%5.9

8%1.1

4%18

.59%

2.10%

613b

p7.4

8%8.4

0%3.6

3 yrs

BBr

oadc

astin

g5.4

8%0.4

0%8.8

6%3.0

4%18

.79%

1.58%

745b

p8.8

4%9.2

1%3.7

8 yrs

Split

BOu

t of H

ome

3.23%

-1.50

%8.6

1%0.7

0%11

.21%

0.55%

755b

p8.9

9%9.2

3%3.7

2 yrs

BTe

levisi

on7.3

3%1.6

8%8.9

4%4.4

1%24

.12%

1.04%

740b

p8.7

6%9.2

0%3.8

1 yrs

Split

BCa

ble a

nd S

atell

ite4.4

7%0.0

4%7.5

7%1.0

1%13

.56%

4.20%

641b

p7.5

9%9.0

6%3.3

6 yrs

BCa

ble a

nd D

BS3.7

6%-0

.22%

6.88%

0.40%

11.10

%2.7

6%55

5bp

6.79%

8.34%

3.46

yrsSp

lit BB

Satel

lites

5.73%

0.49%

8.92%

2.17%

18.23

%1.4

4%82

1bp

9.27%

10.56

%3.1

6 yrs

Split

BCh

emica

ls6.9

2%0.3

7%6.8

3%3.1

3%18

.24%

3.68%

534b

p6.8

0%8.0

7%4.0

0 yrs

BCo

mmod

ity C

hemi

cals

9.69%

1.70%

6.23%

3.38%

22.52

%2.1

7%50

8bp

6.51%

8.05%

3.99

yrsSp

lit BB

Spec

ialty

Chem

icals

5.18%

-1.14

%7.6

6%2.8

0%15

.08%

1.50%

569b

p7.2

0%8.1

1%4.0

2 yrs

BCo

nsum

er P

rodu

cts

4.02%

1.04%

4.96%

1.38%

11.84

%2.1

9%63

5bp

7.73%

8.57%

3.77 y

rsB

Appa

rel a

nd Te

xtiles

5.29%

1.13%

5.74%

0.65%

13.32

%0.6

5%55

2bp

7.31%

7.65%

4.84

yrsB

Dive

rsifie

d Co

nsum

er P

rodu

cts3.6

3%1.0

1%4.7

1%1.6

5%11

.42%

1.55%

669b

p7.9

0%8.9

5%3.3

2 yrs

BDi

vers

ified

Med

ia5.6

6%0.9

2%4.9

9%0.7

8%12

.83%

2.06%

800b

p9.1

5%9.4

8%3.1

6 yrs

BBo

ok a

nd M

agaz

ine P

ublis

hing

5.46%

1.09%

1.87%

-1.35

%7.1

3%0.6

0%10

35bp

11.46

%10

.93%

3.04

yrsSp

lit B

Media

Ser

vices

3.38%

1.11%

4.72%

1.69%

11.31

%0.9

5%67

8bp

7.82%

8.59%

2.93

yrsB

News

pape

r Pub

lishin

g11

.28%

0.40%

8.57%

1.37%

22.96

%0.5

1%76

6bp

9.07%

9.57%

3.78

yrsB

Ener

gy3.7

9%-0

.61%

7.15%

1.02%

11.66

%12

.66%

609b

p7.6

9%8.0

6%4.3

4 yrs

Split

BB

Ener

gy S

ervic

e3.8

9%-1

.70%

6.35%

2.59%

11.42

%2.5

2%74

9bp

8.95%

8.98%

3.84

yrsB

Explo

ratio

n &

Prod

uctio

n3.9

6%-0

.27%

7.11%

0.42%

11.53

%6.3

3%60

5bp

7.70%

8.04%

4.46

yrsSp

lit BB

Mids

tream

4.94%

-0.59

%8.8

9%0.9

3%14

.65%

1.50%

597b

p7.6

0%8.0

3%4.3

8 yrs

Split

BBPi

pelin

es4.1

6%-0

.81%

7.07%

-0.11

%10

.50%

1.23%

302b

p4.9

1%6.2

2%5.4

4 yrs

Split

BBB

Prop

ane

2.95%

0.69%

6.24%

1.12%

11.37

%0.4

4%49

9bp

6.48%

7.27%

4.13

yrsSp

lit BB

Refin

ing0.5

3%-0

.29%

7.18%

2.36%

9.97%

0.64%

793b

p9.0

1%8.7

9%3.0

9 yrs

Split

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A82

K

JP

Morg

an U

S D

olla

r G

lobal H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Fina

ncial

9.84%

-0.18

%8.1

2%0.5

3%19

.18%

9.36%

627b

p8.1

0%7.8

9%4.9

4 yrs

Split

BB

Bank

s8.2

7%0.3

8%8.7

4%-0

.13%

18.03

%4.5

1%55

4bp

7.63%

7.58%

5.71

yrsB

Insur

ance

11.23

%2.3

6%7.9

6%1.3

2%24

.55%

0.57%

676b

p8.5

2%8.2

8%4.7

6 yrs

BOt

her F

inanc

ial11

.17%

-1.84

%7.9

6%1.0

6%19

.05%

3.51%

723b

p8.8

3%8.3

5%4.2

0 yrs

Split

BBRe

its13

.51%

0.69%

4.38%

1.60%

21.22

%0.7

7%58

3bp

7.23%

7.29%

3.98

yrsSp

lit BB

Food

and

Beve

rage

s4.6

1%0.4

1%5.8

1%1.4

0%12

.71%

3.80%

638b

p7.8

1%8.6

6%3.8

7 yrs

BFo

od P

rodu

cers

4.65%

0.69%

6.35%

0.09%

12.16

%1.7

0%54

9bp

7.12%

8.48%

4.34

yrsSp

lit BB

Pack

aged

Foo

d an

d Be

vera

ges

3.92%

0.26%

6.30%

1.49%

12.41

%1.0

9%61

2bp

7.40%

7.94%

3.57

yrsSp

lit BB

Resta

uran

ts5.6

3%-0

.16%

3.55%

3.89%

13.46

%1.0

0%81

5bp

9.42%

9.75%

3.39

yrsB

Gam

ing

Lodg

ing

and

Leisu

re4.7

7%1.4

8%4.8

4%2.2

7%13

.99%

4.98%

741b

p8.7

3%9.0

3%3.4

9 yrs

BGa

ming

4.74%

2.17%

4.34%

2.54%

14.49

%3.0

8%84

7bp

9.87%

9.57%

3.61

yrsB

Leisu

re a

nd E

nterta

inmen

t5.3

6%-0

.18%

6.25%

2.30%

14.32

%1.2

3%64

7bp

7.77%

8.87%

3.43

yrsB

Lodg

ing3.7

9%1.0

4%4.8

6%1.0

1%11

.08%

0.68%

437b

p5.3

7%6.8

7%3.1

0 yrs

BBHe

althc

are

2.71%

1.88%

5.46%

0.84%

11.29

%7.3

5%60

2bp

7.33%

8.30%

3.62 y

rsB

Devic

e an

d Ph

arma

Man

ufactu

rers

2.49%

2.69%

5.07%

0.45%

11.07

%2.6

4%59

9bp

7.47%

8.03%

4.11

yrsSp

lit BB

Healt

hcar

e Se

rvice

s2.8

5%1.4

6%5.6

6%1.0

5%11

.41%

4.70%

604b

p7.2

5%8.4

5%3.3

4 yrs

BHo

usin

g5.1

1%-0

.85%

6.12%

1.81%

12.59

%4.5

8%69

9bp

8.46%

8.78%

3.97 y

rsSp

lit B

BBu

ilding

Mate

rials

4.89%

-0.35

%4.9

5%1.6

7%11

.53%

2.34%

592b

p7.4

3%8.1

4%4.1

5 yrs

Split

BBHo

mebu

ilder

s5.3

0%-1

.30%

7.31%

1.94%

13.70

%2.2

4%81

2bp

9.53%

9.46%

3.79

yrsB

Indu

stria

ls4.8

2%0.6

7%5.9

1%2.0

5%14

.05%

5.10%

598b

p7.2

9%8.2

2%3.6

0 yrs

BAe

rosp

ace

and

Defen

se5.3

8%0.4

4%4.8

8%1.7

0%12

.89%

1.73%

631b

p7.5

7%8.1

5%3.5

2 yrs

Split

BBGe

nera

l Indu

strial

s4.4

9%0.7

9%6.4

9%2.2

3%14

.65%

3.37%

581b

p7.1

4%8.2

5%3.6

4 yrs

BMe

tals

and

Mini

ng4.7

9%0.2

3%5.9

8%1.6

4%13

.12%

4.30%

569b

p7.0

1%7.9

9%3.6

5 yrs

Split

BB

Coal

3.05%

0.64%

6.49%

1.34%

11.92

%1.5

8%55

3bp

6.89%

7.91%

3.74

yrsSp

lit BB

Metal

s5.1

3%-0

.29%

5.71%

0.76%

11.65

%0.7

8%64

3bp

7.27%

8.73%

2.41

yrsB

Minin

g4.4

1%0.8

1%5.0

4%4.5

1%15

.55%

0.59%

567b

p7.2

4%7.6

2%4.2

5 yrs

Split

BBSt

eel

6.55%

-0.55

%6.2

9%0.3

0%12

.96%

1.35%

546b

p6.9

0%7.8

3%3.9

9 yrs

Split

BBPa

per a

nd P

acka

ging

4.00%

-0.67

%4.3

8%2.7

3%10

.76%

5.33%

655b

p8.1

2%8.2

9%4.3

2 yrs

Split

BB

Pack

aging

2.98%

0.04%

4.49%

2.78%

10.64

%1.9

2%61

1bp

7.70%

8.11%

4.33

yrsB

Pape

r and

For

est P

rodu

cts4.5

1%-1

.06%

4.35%

2.70%

10.81

%3.4

2%67

9bp

8.34%

8.39%

4.31

yrsSp

lit BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2009 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2009

A83

K

JP

Morg

an U

S D

olla

r G

lobal H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Reta

il3.2

8%0.5

6%4.8

6%0.5

9%9.5

5%3.9

8%60

0bp

7.47%

8.37%

3.90 y

rsB

Depa

rtmen

t and

Disc

ount

Stor

es4.9

5%1.7

3%5.1

2%-0

.29%

11.92

%1.0

4%45

2bp

6.10%

7.92%

3.98

yrsSp

lit BB

Spec

ialty

Retai

l2.6

8%0.2

9%4.8

5%0.9

6%9.0

2%2.0

5%62

2bp

7.60%

8.40%

3.82

yrsB

Supe

rmar

kets

and

Drug

Stor

es2.5

4%-0

.19%

4.60%

0.81%

7.93%

0.89%

724b

p8.7

7%8.8

1%4.0

0 yrs

BSe

rvice

s3.9

1%-0

.19%

5.28%

1.64%

10.97

%4.1

0%75

6bp

8.76%

9.16%

3.26 y

rsB

Busin

ess S

olutio

ns4.7

6%0.3

4%5.0

4%2.7

1%13

.41%

0.97%

850b

p9.7

6%9.8

4%3.3

2 yrs

Split

BDi

versi

fied

Servi

ces

3.81%

-0.40

%5.2

1%1.2

5%10

.14%

2.55%

707b

p8.2

1%8.8

4%3.1

6 yrs

BRe

ntal

2.80%

-0.27

%5.8

1%1.4

8%10

.07%

0.57%

817b

p9.5

3%9.4

4%3.6

2 yrs

Split

BTe

chno

logy

3.81%

-2.88

%8.1

9%2.7

0%12

.02%

4.72%

768b

p9.0

0%9.2

4%3.6

5 yrs

BEM

S3.0

5%0.2

0%5.7

0%1.1

0%10

.34%

0.30%

520b

p6.5

4%6.9

6%3.8

2 yrs

Split

BBEq

uipme

nt an

d Ha

rdwa

re4.3

1%0.4

9%5.1

0%3.0

0%13

.48%

1.38%

590b

p7.3

7%8.5

0%4.1

3 yrs

Split

BBSe

mico

nduc

tors

7.20%

-2.74

%10

.91%

1.91%

17.86

%1.1

8%61

7bp

7.54%

8.38%

3.71

yrsB

Servi

ces a

nd S

oftwa

re1.3

1%-5

.95%

9.44%

3.26%

7.68%

1.86%

1023

bp11

.42%

10.65

%3.2

6 yrs

Split

BTe

lecom

mun

icatio

ns3.4

7%-0

.33%

7.50%

-0.07

%10

.79%

6.45%

623b

p7.7

6%8.5

3%4.1

3 yrs

Split

BB

Towe

rs3.2

9%0.2

7%6.0

3%1.0

7%11

.00%

0.60%

365b

p4.8

9%6.6

0%3.7

2 yrs

BBW

ireles

s3.2

1%0.5

4%8.0

7%-1

.05%

10.96

%3.3

8%65

0bp

8.14%

8.72%

4.45

yrsB

Wire

line

3.84%

-1.52

%7.0

9%1.0

2%10

.62%

2.47%

649b

p7.9

3%8.7

4%3.7

9 yrs

BTr

ansp

orta

tion

7.54%

-0.01

%8.6

9%1.5

8%18

.72%

2.31%

621b

p7.8

3%8.4

6%4.4

2 yrs

Split

BB

Airlin

es5.4

8%2.2

7%6.1

7%3.0

0%17

.97%

0.81%

546b

p6.7

2%8.2

3%3.5

1 yrs

BBSh

ipping

10.04

%-2

.08%

11.33

%0.4

3%20

.48%

1.13%

631b

p8.3

0%8.2

4%5.4

3 yrs

Split

BBTr

uckin

g/Rail

6.27%

1.28%

7.46%

1.63%

17.53

%0.3

7%75

9bp

8.81%

9.67%

3.35

yrsB

Utilit

y-0

.65%

1.26%

3.65%

0.09%

4.37%

4.25%

698b

p8.9

9%8.6

5%5.2

6 yrs

Split

BB

Indep

ende

nt Po

wer P

rodu

cers

-2.05

%0.5

0%2.6

8%0.2

6%1.3

5%3.0

6%81

6bp

10.05

%9.2

5%4.7

7 yrs

BInt

egra

ted U

tilitie

s3.0

9%2.8

0%6.0

4%-0

.33%

12.00

%1.1

9%39

5bp

6.27%

7.10%

6.51

yrsBB

J.P. M

orga

n Gl

obal

HYIn

dex

4.72%

0.08%

6.34%

1.32%

12.92

%10

0.00%

644b

p7.9

1%8.4

6%4.0

1 yrs

B

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A84

K

JP

Morg

an U

S D

olla

r G

lobal H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

J.P. M

orga

n Gl

obal

HYIn

dex b

y rat

ing

Split

BBB

3.82%

0.97%

6.16%

0.73%

12.08

%9.3

9%38

3bp

5.79%

6.70%

5.48

yrsSp

lit BB

BBB

4.07%

0.79%

6.95%

0.56%

12.82

%21

.50%

472b

p6.3

6%7.3

2%4.4

8 yrs

BBSp

lit BB

3.66%

0.80%

6.19%

0.83%

11.89

%14

.79%

548b

p6.8

2%7.9

0%3.7

2 yrs

Split

BBB

3.56%

0.00%

6.52%

1.42%

11.89

%31

.16%

655b

p7.9

8%8.7

5%3.8

3 yrs

BSp

lit B

3.94%

-1.30

%5.7

4%1.9

1%10

.54%

9.55%

823b

p9.4

8%9.5

2%3.3

7 yrs

Split

BCC

C/Sp

lit CC

C6.9

1%-0

.96%

6.50%

2.64%

15.74

%11

.47%

1088

bp12

.14%

10.87

%3.3

4 yrs

CCC/

Split

CCC

Not R

ated

7.15%

1.94%

5.28%

1.74%

17.00

%0.7

6%84

1bp

9.79%

10.03

%3.6

1 yrs

Not R

ated

J.P. M

orga

n Gl

obal

HYIn

dex b

y rat

ing

tier

Uppe

r Tier

(Spli

t BBB

, BB)

3.98%

0.86%

6.69%

0.61%

12.58

%30

.89%

445b

p6.1

9%7.1

3%4.7

8 yrs

BBMi

ddle

Tier (

Split

BB, B

, Spli

t B)

3.67%

-0.01

%6.3

0%1.3

6%11

.67%

55.51

%65

5bp

7.93%

8.65%

3.72

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

8.83%

-1.36

%5.8

5%2.8

4%16

.85%

12.84

%11

05bp

12.30

%10

.94%

3.33

yrsCC

C/Sp

lit CC

C

J.P. M

orga

n Gl

obal

HYIn

dex b

y sec

urity

type

Cash

Pay

4.44%

0.25%

6.36%

1.22%

12.71

%96

.75%

636b

p7.8

4%8.4

0%4.0

2 yrs

Split

BBDe

ferre

d3.1

5%-2

.25%

8.31%

3.79%

13.35

%2.0

9%10

35bp

11.36

%11

.07%

3.34

yrsSp

lit B

Defau

lt17

.91%

-5.22

%2.7

1%4.2

6%19

.67%

1.15%

nana

nana

J.P. M

orga

n Gl

obal

HYIn

dex b

y size

$0 m

n to

$100

mn

6.39%

3.33%

5.10%

2.25%

18.15

%0.4

6%78

7bp

9.11%

9.05%

3.46

yrsSp

lit BB

$101

mn

to $2

99 m

n5.4

6%1.1

7%4.8

5%2.2

5%14

.37%

16.86

%73

2bp

8.54%

8.99%

3.37

yrsB

$300

mn

and

over

4.53%

-0.19

%6.6

8%1.1

3%12

.56%

82.69

%62

6bp

7.78%

8.35%

4.14

yrsSp

lit BB

J.P. M

orga

n Gl

obal

HYIn

dex b

y sen

iorit

ySe

nior S

ecur

ed4.5

3%-0

.40%

6.28%

2.14%

13.02

%24

.75%

749b

p8.8

7%9.3

9%3.6

7 yrs

BSe

nior

4.77%

0.15%

6.51%

1.01%

12.89

%64

.70%

591b

p7.4

6%8.0

5%4.2

3 yrs

Split

BBSe

nior S

ubor

dinate

4.32%

0.38%

5.42%

1.38%

11.92

%9.1

4%73

1bp

8.37%

8.71%

2.95

yrsB

Junio

r Sub

ordin

ate6.7

2%2.0

8%6.8

9%0.1

3%16

.60%

1.35%

667b

p8.9

2%9.2

0%6.2

8 yrs

Split

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A85

K

JP

Morg

an U

S D

olla

r G

lobal H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

J.P. M

orga

n Gl

obal

HYIn

dex b

y dur

atio

n<2

yrs

2.76%

0.45%

3.06%

0.67%

7.08%

14.04

%68

3bp

7.16%

8.69%

1.18

yrsB

2 - 3

yrs

5.01%

0.48%

5.37%

1.63%

13.00

%16

.58%

728b

p8.0

7%9.0

5%2.5

1 yrs

B3

- 4 yr

s5.1

3%-0

.25%

6.89%

1.50%

13.77

%20

.60%

751b

p8.8

0%9.1

9%3.5

4 yrs

B4

- 5 yr

s4.1

4%0.0

3%7.3

2%2.2

1%14

.27%

21.70

%64

5bp

8.14%

8.31%

4.46

yrsB

5 - 6

yrs

4.80%

-0.53

%7.7

8%1.3

9%13

.92%

13.75

%52

5bp

7.33%

7.57%

5.42

yrsSp

lit BB

6 - 7

yrs

4.18%

1.13%

7.66%

0.42%

13.91

%6.4

7%46

9bp

7.32%

7.53%

6.52

yrsSp

lit BB

7 - 1

0 yrs

3.35%

3.05%

8.92%

0.22%

16.26

%3.8

8%42

5bp

7.28%

7.22%

8.03

yrsBB

J.P. M

orga

n Gl

obal

HYIn

dex b

y 8-m

onth

pric

e vol

atilit

yLe

ss th

an 1

.503.6

0%0.3

6%6.0

3%1.4

4%11

.83%

49.93

%59

8bp

7.30%

8.29%

3.62

yrsSp

lit BB

1.50

to 4.9

93.8

0%-0

.44%

7.26%

1.19%

12.16

%44

.26%

649b

p8.1

0%8.4

5%4.3

5 yrs

B5.0

0 to

9.99

6.60%

-2.06

%6.5

2%2.0

5%13

.48%

5.51%

959b

p11

.40%

9.80%

4.85

yrsB

10.00

to 1

4.99

8.10%

1.07%

13.34

%12

.79%

39.66

%0.2

3%25

08bp

26.08

%16

.06%

2.36

yrsCC

C/Sp

lit CC

C15

.00 to

19.9

99.8

3%6.5

1%5.2

9%3.5

7%27

.56%

0.08%

0bp

0.00%

0.00%

0.00

yrsDe

fault

20.00

and

ove

r13

.11%

-1.53

%0.0

0%0.0

0%0.0

0%0.0

0%0b

p0.0

0%0.0

0%0.0

0 yrs

Defau

lt

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A86

L

JP

Morg

an D

evelo

ped H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

8.95%

0.35%

5.75%

0.03%

15.65

%3.2

4%56

5 bp

6.89%

7.96%

3.46

yrsB

Broa

dcas

ting

5.75%

0.51%

8.84%

3.04%

19.20

%1.7

1%74

5 bp

8.84%

9.21%

3.78

yrsSp

lit B

Cable

and

Sate

llite

4.45%

0.02%

7.62%

0.97%

13.52

%4.3

4%64

0 bp

7.59%

9.03%

3.36

yrsB

Chem

icals

7.10%

0.25%

6.95%

3.09%

18.38

%3.6

3%54

3 bp

6.81%

8.14%

3.82

yrsB

Cons

umer

Pro

ducts

4.07%

0.98%

5.07%

1.40%

11.95

%2.3

3%63

8 bp

7.77%

8.57%

3.81

yrsB

Dive

rsifie

d Me

dia5.6

6%0.9

2%4.9

9%0.7

8%12

.83%

2.23%

800

bp9.1

5%9.4

8%3.1

6 yrs

BEn

ergy

3.68%

-0.69

%7.1

8%1.0

0%11

.45%

13.36

%60

8 bp

7.67%

8.05%

4.34

yrsSp

lit BB

Finan

cial

9.55%

-0.24

%8.2

0%0.5

3%18

.87%

10.03

%62

6 bp

8.09%

7.88%

4.94

yrsSp

lit BB

Food

and

Bev

erag

es4.4

1%0.4

4%5.1

8%1.8

6%12

.36%

3.22%

661

bp7.9

6%8.7

3%3.6

8 yrs

BGa

ming

Lod

ging

and

Leisu

re4.7

5%1.4

0%4.8

0%2.3

0%13

.88%

5.25%

741

bp8.7

3%9.0

2%3.5

1 yrs

BHe

althc

are

2.71%

1.88%

5.46%

0.84%

11.29

%7.9

4%60

2 bp

7.33%

8.30%

3.62

yrsB

Hous

ing4.8

6%-0

.48%

4.64%

2.08%

11.47

%3.5

4%67

2 bp

8.17%

8.37%

4.02

yrsSp

lit BB

Indus

trials

4.82%

0.67%

5.91%

2.05%

14.05

%5.5

1%59

8 bp

7.29%

8.22%

3.60

yrsB

Metal

s and

Mini

ng3.7

5%0.5

1%5.9

9%2.7

4%13

.54%

3.03%

577

bp6.9

6%7.9

4%3.3

4 yrs

Split

BBPa

per a

nd P

acka

ging

3.95%

-0.93

%3.9

5%2.7

9%10

.04%

4.98%

678

bp8.3

3%8.3

9%4.2

9 yrs

Split

BBRe

tail

3.28%

0.56%

4.86%

0.59%

9.55%

4.30%

600

bp7.4

7%8.3

7%3.9

0 yrs

BSe

rvice

s3.9

1%-0

.19%

5.28%

1.64%

10.97

%4.4

3%75

6 bp

8.76%

9.16%

3.26

yrsB

Tech

nolog

y3.6

9%-3

.00%

8.22%

2.86%

11.97

%4.8

0%78

1 bp

9.13%

9.32%

3.65

yrsB

Telec

ommu

nicati

ons

-1.02

%1.2

5%3.5

3%0.0

9%3.8

4%5.7

6%62

7 bp

7.83%

8.53%

4.20

yrsB

Tran

spor

tation

3.16%

-0.07

%7.6

6%-0

.01%

10.97

%1.9

1%64

2 bp

7.71%

8.77%

3.52

yrsSp

lit BB

Utilit

y5.9

2%1.3

0%7.0

0%2.1

9%17

.32%

4.45%

702

bp9.0

6%8.6

3%5.3

3 yrs

Split

BBJ.P

. Mor

gan

Deve

lope

d HY

Inde

x4.5

8%0.1

1%6.2

3%1.3

9%12

.76%

100.0

0%64

8 bp

7.94%

8.46%

3.98 y

rsB

Ratin

gSp

lit BB

B3.7

5%0.9

5%6.1

6%0.7

5%12

.02%

9.79%

383

bp5.8

1%6.6

8%5.5

1 yrs

Split

BBB

BB3.5

8%1.0

4%6.6

7%0.6

8%12

.39%

19.09

%46

4 bp

6.23%

7.19%

4.39

yrsBB

Split

BB3.4

6%0.9

7%6.0

5%0.8

4%11

.71%

14.92

%54

0 bp

6.74%

7.80%

3.72

yrsSp

lit BB

B3.4

4%0.0

5%6.4

9%1.4

7%11

.84%

31.68

%65

2 bp

7.95%

8.72%

3.85

yrsB

Split

B3.9

4%-1

.30%

5.74%

1.92%

10.55

%10

.29%

822

bp9.4

7%9.5

1%3.3

6 yrs

Split

BCC

C/Sp

lit CC

C6.8

1%-0

.92%

6.49%

2.63%

15.66

%12

.18%

1088

bp

12.14

%10

.90%

3.34

yrsCC

C/Sp

lit CC

CNo

t Rate

d7.1

5%2.3

2%4.4

6%1.5

1%16

.25%

0.67%

863

bp9.7

3%10

.09%

3.04

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A87

L

JP

Morg

an D

evelo

ped H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)3.6

3%1.0

2%6.4

8%0.7

0%12

.26%

28.88

%43

7 bp

6.09%

7.02%

4.77

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)3.5

6%0.0

5%6.2

3%1.3

9%11

.59%

56.89

%65

3 bp

7.91%

8.62%

3.73

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

8.69%

-1.45

%5.8

2%2.8

4%16

.56%

13.56

%11

02 b

p12

.27%

10.96

%3.3

3 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

4.26%

0.30%

6.24%

1.28%

12.53

%96

.58%

639

bp7.8

6%8.4

0%3.9

9 yrs

Split

BBDe

ferre

d3.1

5%-2

.25%

8.31%

3.79%

13.35

%2.2

6%10

35 b

p11

.36%

11.07

%3.3

4 yrs

Split

BDe

fault

18.93

%-5

.59%

2.22%

4.31%

19.71

%1.1

6%

Size

$0mn

to $

100m

n6.3

4%3.4

7%5.0

7%2.2

9%18

.27%

0.44%

823

bp9.3

7%9.1

9%3.2

1 yrs

B$1

01mn

to $

299m

n5.5

1%1.2

7%4.8

3%2.2

8%14

.56%

17.23

%73

4 bp

8.57%

8.98%

3.37

yrsB

$300

mn a

nd O

ver

4.35%

-0.17

%6.5

5%1.2

0%12

.33%

82.33

%62

8 bp

7.79%

8.34%

4.11

yrsSp

lit BB

Seni

ority

Senio

r Sec

ured

4.48%

-0.29

%6.1

9%2.2

1%13

.07%

25.13

%75

4 bp

8.90%

9.41%

3.65

yrsB

Senio

r4.5

7%0.1

6%6.3

6%1.0

8%12

.62%

63.54

%59

3 bp

7.47%

8.03%

4.21

yrsSp

lit BB

Senio

r Sub

ordin

ate4.3

2%0.3

8%5.4

6%1.4

0%11

.99%

9.81%

728

bp8.3

4%8.6

8%2.9

6 yrs

BJu

nior S

ubor

dinate

6.72%

2.08%

6.89%

0.13%

16.60

%1.4

6%66

7 bp

8.92%

9.20%

6.28

yrsSp

lit BB

Dura

tion

<2 yr

s2.6

9%0.4

2%3.0

2%0.6

6%6.9

3%14

.68%

683

bp7.1

6%8.6

9%1.1

8 yrs

B2

- 3 yr

s4.8

3%0.4

5%5.3

7%1.7

4%12

.89%

16.53

%73

8 bp

8.18%

9.06%

2.51

yrsB

3 - 4

yrs

5.02%

-0.14

%6.8

1%1.6

3%13

.84%

20.21

%75

6 bp

8.86%

9.19%

3.54

yrsB

4 - 5

yrs

4.04%

0.09%

7.23%

2.36%

14.30

%22

.34%

645

bp8.1

3%8.3

1%4.4

6 yrs

B5

- 6 yr

s4.4

5%-0

.47%

7.71%

1.34%

13.48

%13

.29%

525

bp7.3

3%7.5

6%5.4

2 yrs

Split

BB6

- 7 yr

s4.1

4%1.1

9%7.6

8%0.4

9%14

.03%

5.97%

465

bp7.2

7%7.4

7%6.5

3 yrs

Split

BB7

- 10

yrs3.5

6%2.6

9%8.9

8%0.1

6%16

.08%

4.10%

425

bp7.2

8%7.2

1%8.0

5 yrs

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

M A88

JP

Morg

an D

om

estic H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30.

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

8.95%

0.35%

5.75%

0.03%

15.65

%3.4

6%56

5 bp

6.89%

7.96%

3.46

yrsB

Broa

dcas

ting

5.75%

0.51%

8.84%

3.04%

19.20

%1.8

3%74

5 bp

8.84%

9.21%

3.78

yrsSp

lit B

Cable

and

Sate

llite

4.56%

0.17%

7.69%

0.97%

13.89

%3.8

6%66

6 bp

7.87%

9.28%

3.42

yrsB

Chem

icals

6.49%

0.29%

6.82%

3.20%

17.73

%3.5

7%52

6 bp

6.64%

8.10%

3.80

yrsB

Cons

umer

Pro

ducts

4.07%

0.98%

5.07%

1.40%

11.95

%2.4

9%63

8 bp

7.77%

8.57%

3.81

yrsB

Dive

rsifie

d Me

dia6.0

5%1.0

5%4.9

8%0.7

0%13

.29%

2.03%

825

bp9.4

3%9.8

1%3.2

6 yrs

BEn

ergy

3.81%

-0.56

%7.2

3%0.9

5%11

.74%

13.67

%60

2 bp

7.62%

8.04%

4.36

yrsSp

lit BB

Finan

cial

9.94%

-0.32

%7.9

3%0.7

0%19

.11%

10.14

%60

8 bp

7.94%

7.96%

4.99

yrsSp

lit BB

Food

and

Bev

erag

es4.4

0%0.5

0%5.1

2%1.8

4%12

.33%

3.41%

660

bp7.9

4%8.7

2%3.6

6 yrs

BGa

ming

Lod

ging

and

Leisu

re4.6

2%1.4

7%4.7

4%2.2

6%13

.70%

5.42%

741

bp8.7

4%9.0

0%3.5

1 yrs

BHe

althc

are

2.57%

2.00%

5.51%

0.87%

11.34

%8.1

1%60

2 bp

7.33%

8.30%

3.61

yrsB

Hous

ing4.8

9%-0

.42%

4.64%

2.07%

11.56

%3.5

3%69

1 bp

8.39%

8.57%

4.07

yrsB

Indus

trials

4.78%

0.63%

5.94%

2.08%

14.03

%5.7

2%59

7 bp

7.27%

8.18%

3.60

yrsB

Metal

s and

Mini

ng3.5

6%0.7

1%5.7

0%1.5

3%11

.94%

2.82%

574

bp6.9

4%8.0

4%3.3

5 yrs

Split

BBPa

per a

nd P

acka

ging

3.91%

-1.16

%3.7

9%2.6

8%9.4

4%4.8

2%69

6 bp

8.46%

8.50%

4.14

yrsSp

lit BB

Retai

l3.2

8%0.5

6%4.8

6%0.5

9%9.5

5%4.6

0%60

0 bp

7.47%

8.37%

3.90

yrsB

Servi

ces

3.78%

-0.19

%5.2

7%1.5

6%10

.74%

4.58%

754

bp8.7

3%9.1

0%3.2

5 yrs

BTe

chno

logy

3.21%

-2.58

%7.3

3%2.4

8%10

.59%

4.57%

800

bp9.2

2%9.4

0%3.3

5 yrs

BTe

lecom

munic

ation

s3.1

3%0.2

4%7.4

9%-0

.18%

10.91

%5.0

9%62

3 bp

7.85%

8.42%

4.38

yrsSp

lit BB

Tran

spor

tation

5.80%

1.44%

6.68%

2.18%

16.99

%1.7

4%64

5 bp

7.69%

8.92%

3.39

yrsSp

lit BB

Utilit

y-1

.12%

1.38%

3.29%

0.12%

3.66%

4.54%

704

bp9.1

1%8.6

3%5.4

1 yrs

Split

BBJ.P

. Mor

gan

Dom

estic

HY

Inde

x4.5

6%0.2

0%6.0

8%1.3

3%12

.62%

100.0

0%64

8 bp

7.94%

8.48%

3.98 y

rsB

Ratin

gSp

lit BB

B4.0

2%0.9

2%6.0

4%0.8

5%12

.26%

10.10

%37

6 bp

5.77%

6.73%

5.60

yrsSp

lit BB

BBB

3.54%

1.12%

6.59%

0.56%

12.22

%18

.42%

461

bp6.2

0%7.2

0%4.3

8 yrs

BBSp

lit BB

3.40%

1.07%

6.07%

0.84%

11.79

%15

.17%

539

bp6.7

5%7.7

6%3.7

7 yrs

Split

BBB

3.44%

0.23%

6.35%

1.26%

11.66

%31

.61%

649

bp7.9

1%8.7

2%3.8

2 yrs

BSp

lit B

3.92%

-1.33

%5.7

7%1.9

1%10

.52%

10.54

%82

9 bp

9.55%

9.58%

3.39

yrsSp

lit B

CCC/

Split

CCC

6.54%

-0.79

%5.9

0%2.7

7%15

.04%

12.09

%10

97 b

p12

.22%

11.01

%3.2

9 yrs

CCC/

Split

CCC

Not R

ated

7.28%

2.42%

4.51%

1.18%

16.19

%0.6

5%88

5 bp

9.89%

10.29

%2.9

3 yrs

Not R

ated

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A89 MJP

Morg

an D

om

estic H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10So

urce

: J.P

. Mor

gan.

As o

f Nov

embe

r 30.

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)3.7

2%1.0

5%6.3

9%0.6

7%12

.25%

28.52

%43

1 bp

6.05%

7.03%

4.82

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)3.5

4%0.1

5%6.1

6%1.2

8%11

.50%

57.32

%65

3 bp

7.90%

8.62%

3.73

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

8.48%

-1.37

%5.2

9%2.9

6%15

.99%

13.52

%11

12 b

p12

.36%

11.08

%3.2

8 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

4.23%

0.40%

6.09%

1.22%

12.37

%96

.57%

638

bp7.8

5%8.4

1%3.9

9 yrs

Split

BBDe

ferre

d3.1

1%-2

.40%

8.57%

4.03%

13.65

%2.2

4%10

57 b

p11

.63%

11.33

%3.5

6 yrs

Split

BDe

fault

18.68

%-5

.63%

2.39%

4.21%

19.51

%1.1

9%

Size

$0mn

to $

100m

n6.3

4%3.4

7%5.0

7%2.2

9%18

.27%

0.47%

823

bp9.3

7%9.1

9%3.2

1 yrs

B$1

01mn

to $

299m

n5.5

1%1.2

6%4.8

3%2.2

8%14

.55%

17.92

%73

3 bp

8.55%

8.97%

3.36

yrsB

$300

mn a

nd O

ver

4.31%

-0.08

%6.3

9%1.1

2%12

.13%

81.61

%62

8 bp

7.79%

8.37%

4.12

yrsSp

lit BB

Seni

ority

Senio

r Sec

ured

4.39%

-0.05

%5.9

5%2.1

1%12

.86%

24.21

%76

2 bp

8.99%

9.47%

3.64

yrsB

Senio

r4.5

5%0.2

1%6.2

9%1.0

3%12

.51%

64.33

%59

0 bp

7.44%

8.04%

4.21

yrsSp

lit BB

Senio

r Sub

ordin

ate4.5

0%0.3

5%5.0

8%1.4

9%11

.84%

10.01

%74

0 bp

8.42%

8.79%

2.86

yrsB

Junio

r Sub

ordin

ate7.5

0%2.3

0%7.0

9%0.0

5%17

.84%

1.39%

655

bp9.0

6%9.3

8%7.0

0 yrs

Split

BB

Dura

tion

<2 yr

s2.6

3%0.4

5%2.9

2%0.7

1%6.8

6%14

.83%

669

bp7.0

2%8.7

1%1.1

9 yrs

B2

- 3 yr

s4.8

5%0.4

8%5.3

5%1.8

6%13

.05%

16.76

%74

5 bp

8.24%

9.13%

2.51

yrsB

3 - 4

yrs

4.85%

-0.05

%6.4

7%1.5

6%13

.31%

19.41

%76

5 bp

8.95%

9.25%

3.54

yrsB

4 - 5

yrs

4.02%

0.36%

7.28%

2.21%

14.47

%22

.09%

650

bp8.1

9%8.3

5%4.4

6 yrs

B5

- 6 yr

s4.4

9%-0

.56%

7.63%

1.35%

13.34

%13

.65%

525

bp7.3

3%7.5

7%5.4

2 yrs

Split

BB6

- 7 yr

s4.3

3%1.0

7%7.6

8%0.5

0%14

.11%

6.38%

465

bp7.2

7%7.4

7%6.5

3 yrs

Split

BB7

- 10

yrs3.3

4%3.2

5%8.0

4%-0

.63%

14.56

%3.9

0%41

3 bp

7.12%

7.08%

7.90

yrsBB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A90

N

JP

Morg

an D

evelo

ped B

B H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

7.85%

2.09%

5.81%

0.04%

16.55

%2.9

2%42

2 bp

5.42%

6.78%

3.58

yrsSp

lit BB

Broa

dcas

ting

3.35%

0.84%

6.79%

1.73%

13.23

%0.3

7%54

6 bp

6.94%

8.12%

4.03

yrsSp

lit BB

Cable

and

Sate

llite

3.39%

0.09%

5.76%

0.41%

9.88%

3.99%

490

bp6.0

5%7.6

8%3.2

7 yrs

BBCh

emica

ls5.3

7%2.1

2%6.7

9%0.9

0%15

.95%

2.97%

436

bp5.8

9%7.0

9%4.3

0 yrs

BBCo

nsum

er P

rodu

cts2.2

0%0.8

9%4.3

0%0.9

4%8.5

5%1.9

4%53

9 bp

6.95%

8.14%

4.30

yrsSp

lit BB

Dive

rsifie

d Me

dia3.3

7%1.1

9%4.8

2%0.8

4%10

.56%

1.44%

596

bp7.0

3%8.6

8%3.0

9 yrs

BBEn

ergy

3.07%

0.06%

8.16%

0.47%

12.07

%16

.48%

438

bp6.0

9%7.0

7%4.7

7 yrs

BBFin

ancia

l6.0

3%-0

.06%

7.95%

1.03%

15.57

%10

.20%

521

bp7.2

1%7.5

2%5.3

5 yrs

BBFo

od a

nd B

ever

ages

4.57%

1.15%

5.38%

1.19%

12.79

%1.9

8%36

4 bp

5.10%

6.86%

4.15

yrsBB

Gami

ng L

odgin

g an

d Le

isure

3.20%

1.39%

5.28%

1.18%

11.47

%4.5

8%52

2 bp

6.40%

7.52%

3.32

yrsBB

Healt

hcar

e1.7

9%2.9

8%5.7

5%0.7

9%11

.74%

7.68%

457

bp5.9

5%7.2

3%3.8

7 yrs

BBHo

using

4.13%

-0.92

%4.8

6%1.5

2%9.8

3%3.4

6%38

4 bp

5.41%

6.24%

4.55

yrsBB

Indus

trials

3.65%

0.73%

6.69%

1.29%

12.82

%6.0

4%48

1 bp

6.30%

7.21%

4.12

yrsBB

Metal

s and

Mini

ng3.3

0%1.1

8%5.3

3%0.8

5%11

.03%

3.87%

475

bp6.1

6%7.1

8%3.9

2 yrs

Split

BBPa

per a

nd P

acka

ging

3.15%

1.13%

4.69%

1.49%

10.83

%6.7

9%42

7 bp

5.98%

7.13%

4.85

yrsBB

Retai

l3.5

1%0.7

6%5.3

9%0.0

2%9.9

4%4.5

9%46

5 bp

6.59%

7.35%

5.00

yrsBB

Servi

ces

2.82%

1.37%

5.49%

1.25%

11.33

%2.8

9%50

5 bp

6.42%

7.27%

3.82

yrsBB

Tech

nolog

y3.8

2%0.9

7%5.7

3%0.8

5%11

.77%

3.16%

476

bp6.1

1%7.4

3%3.7

2 yrs

BBTe

lecom

munic

ation

s2.8

4%0.6

2%7.8

8%-0

.67%

10.88

%6.6

2%50

9 bp

6.73%

7.43%

4.56

yrsBB

Tran

spor

tation

5.31%

1.55%

7.11%

1.94%

16.77

%2.4

5%51

9 bp

6.62%

7.64%

3.96

yrsBB

Utilit

y2.4

6%2.0

7%5.6

5%-0

.23%

10.23

%5.5

8%48

8 bp

6.94%

7.50%

5.69

yrsBB

J.P. M

orga

n De

velo

ped

BB H

YIn

dex

3.52%

0.94%

6.33%

0.72%

11.91

%10

0.00%

472 b

p6.3

2%7.2

9%4.4

3 yrs

BB

Ratin

gSp

lit BB

B3.7

5%0.9

5%6.1

6%0.7

5%12

.02%

22.49

%38

3 bp

5.81%

6.68%

5.51

yrsSp

lit BB

BBB

3.57%

1.04%

6.67%

0.68%

12.38

%43

.64%

464

bp6.2

4%7.2

0%4.4

0 yrs

BBSp

lit BB

3.43%

0.76%

6.03%

0.82%

11.40

%33

.61%

540

bp6.7

3%7.8

0%3.7

2 yrs

Split

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A91

N

JP

Morg

an D

evelo

ped B

B H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)3.6

3%1.0

1%6.4

8%0.7

0%12

.25%

66.13

%43

7 bp

6.09%

7.02%

4.78

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)3.2

8%0.7

7%6.0

2%0.7

6%11

.19%

33.87

%54

0 bp

6.75%

7.81%

3.75

yrsB

Secu

rity T

ype

Cash

Pay

3.52%

0.94%

6.33%

0.72%

11.91

%99

.86%

471

bp6.3

1%7.2

8%4.4

3 yrs

BBDe

ferre

d0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0.1

4%99

2 bp

11.30

%13

.50%

4.45

yrsDe

fault

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

Size

$0mn

to $

100m

n3.8

9%4.0

4%4.4

6%1.0

6%14

.10%

0.38%

468

bp6.2

6%6.8

7%4.5

5 yrs

BB$1

01mn

to $

299m

n4.0

6%1.7

7%4.9

8%1.6

5%13

.01%

12.53

%52

4 bp

6.65%

7.53%

3.94

yrsBB

$300

mn a

nd O

ver

3.43%

0.80%

6.54%

0.59%

11.73

%87

.09%

464

bp6.2

7%7.2

6%4.5

0 yrs

BB

Seni

ority

Senio

r Sec

ured

3.31%

1.04%

5.85%

1.24%

11.87

%17

.41%

558

bp6.8

3%8.3

4%3.4

6 yrs

BBSe

nior

3.55%

0.93%

6.48%

0.64%

12.00

%74

.06%

448

bp6.1

7%7.0

6%4.6

7 yrs

BBSe

nior S

ubor

dinate

3.79%

0.97%

5.73%

0.73%

11.61

%6.8

7%50

1 bp

6.12%

6.86%

3.20

yrsBB

Junio

r Sub

ordin

ate2.3

8%0.2

2%6.9

8%-1

.15%

8.50%

1.66%

493

bp8.2

2%8.3

5%8.7

9 yrs

Split

BBB

Dura

tion

<2 yr

s1.9

8%0.2

6%2.7

1%0.1

6%5.1

8%13

.41%

502

bp5.3

4%7.5

3%1.1

8 yrs

BB2

- 3 yr

s3.8

5%0.9

3%5.5

4%1.0

9%11

.83%

15.06

%50

6 bp

5.81%

7.58%

2.50

yrsBB

3 - 4

yrs

3.87%

1.30%

6.16%

1.16%

12.99

%15

.56%

513

bp6.3

6%7.3

6%3.5

4 yrs

BB4

- 5 yr

s3.5

1%0.7

8%6.8

4%1.2

2%12

.80%

19.45

%49

7 bp

6.62%

7.31%

4.50

yrsBB

5 - 6

yrs

4.07%

0.64%

7.94%

1.19%

14.40

%16

.89%

439

bp6.4

3%6.9

7%5.4

3 yrs

BB6

- 7 yr

s4.7

1%1.5

9%9.2

1%1.3

1%17

.69%

8.79%

409

bp6.6

6%7.0

3%6.5

4 yrs

BB7

- 10

yrs2.8

8%3.2

3%8.3

5%-0

.23%

14.81

%7.2

0%40

0 bp

7.01%

7.00%

8.02

yrsBB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A92

OJP

Morg

an I

nstitu

tional H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

4.26%

1.16%

6.39%

0.16%

12.39

%3.0

3%50

6 bp

6.48%

7.67%

3.91

yrsSp

lit BB

Broa

dcas

ting

3.17%

0.22%

6.81%

1.62%

12.22

%1.5

9%59

2 bp

7.50%

8.19%

4.23

yrsB

Cable

and

Sate

llite

3.35%

-0.02

%6.3

4%0.2

2%10

.13%

3.52%

561

bp6.8

6%8.4

3%3.4

7 yrs

Split

BBCh

emica

ls4.7

4%1.4

7%6.4

4%1.4

6%14

.78%

3.98%

495

bp6.2

4%7.9

1%3.6

4 yrs

Split

BBCo

nsum

er P

rodu

cts2.7

3%0.7

8%4.9

2%1.2

2%9.9

5%2.5

2%59

1 bp

7.33%

8.35%

3.88

yrsSp

lit BB

Dive

rsifie

d Me

dia3.9

9%1.5

7%5.6

0%0.9

8%12

.62%

1.86%

699

bp8.2

6%9.1

8%3.4

8 yrs

Split

BBEn

ergy

3.03%

0.19%

7.47%

0.87%

11.90

%15

.77%

519

bp6.8

5%7.6

3%4.5

4 yrs

Split

BBFin

ancia

l8.5

7%-1

.05%

8.25%

0.44%

16.81

%10

.99%

564

bp7.6

3%7.7

2%5.3

2 yrs

Split

BBFo

od a

nd B

ever

ages

3.65%

0.84%

5.71%

1.32%

11.94

%3.0

1%55

2 bp

6.92%

8.40%

3.82

yrsSp

lit BB

Gami

ng L

odgin

g an

d Le

isure

3.66%

1.25%

5.35%

1.75%

12.50

%4.6

1%59

2 bp

7.15%

8.21%

3.41

yrsSp

lit BB

Healt

hcar

e2.1

9%2.1

7%5.4

1%0.7

4%10

.86%

8.59%

548

bp6.8

0%7.9

4%3.6

6 yrs

Split

BBHo

using

4.29%

-0.69

%5.5

4%1.7

9%11

.26%

3.07%

487

bp6.5

1%7.2

1%4.5

6 yrs

Split

BBInd

ustria

ls3.5

6%0.4

4%5.7

9%1.8

6%12

.09%

5.79%

526

bp6.6

3%7.6

6%3.7

8 yrs

Split

BBMe

tals a

nd M

ining

3.35%

0.96%

5.41%

1.25%

11.35

%3.1

0%50

4 bp

6.27%

7.50%

3.44

yrsSp

lit BB

Pape

r and

Pac

kagin

g3.0

4%0.9

7%4.4

2%1.4

5%10

.21%

4.56%

478

bp6.3

4%7.6

3%4.4

0 yrs

BBRe

tail

2.60%

0.92%

5.13%

0.51%

9.40%

4.43%

503

bp6.6

4%7.8

6%4.2

4 yrs

Split

BBSe

rvice

s2.9

4%1.2

3%5.7

2%1.6

1%11

.94%

4.20%

608

bp7.2

3%8.2

2%3.2

1 yrs

Split

BBTe

chno

logy

4.18%

0.69%

5.82%

1.21%

12.35

%3.0

6%57

3 bp

7.02%

8.33%

3.51

yrsSp

lit BB

Telec

ommu

nicati

ons

2.79%

0.74%

7.40%

-0.68

%10

.45%

5.46%

554

bp7.2

3%7.8

5%4.5

8 yrs

Split

BBTr

ansp

ortat

ion4.7

4%1.2

9%6.5

2%2.1

6%15

.44%

1.99%

577

bp7.0

0%8.4

1%3.3

9 yrs

Split

BBUt

ility

0.20%

1.73%

4.53%

0.39%

6.96%

4.89%

547

bp7.5

7%7.7

3%5.6

0 yrs

Split

BBJ.P

. Mor

gan

Inst

itutio

nal H

YIn

dex

3.49%

0.68%

6.23%

0.93%

11.72

%10

0.00%

543 b

p6.9

7%7.8

9%4.1

9 yrs

Split

BB

Ratin

gSp

lit BB

B4.0

2%0.9

2%6.0

4%0.8

5%12

.26%

13.46

%37

6 bp

5.77%

6.73%

5.60

yrsSp

lit BB

BBB

3.43%

1.14%

6.46%

0.55%

11.98

%24

.42%

461

bp6.2

1%7.2

0%4.3

9 yrs

BBSp

lit BB

3.25%

1.07%

6.07%

0.84%

11.63

%20

.22%

539

bp6.7

5%7.7

6%3.7

7 yrs

Split

BBB

3.39%

0.09%

6.23%

1.27%

11.32

%41

.77%

647

bp7.8

9%8.7

1%3.8

2 yrs

B

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A93

OJP

Morg

an I

nstitu

tional H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)3.6

6%1.0

6%6.3

1%0.6

6%12

.10%

37.88

%43

0 bp

6.05%

7.03%

4.82

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)3.3

5%0.4

4%6.1

7%1.1

1%11

.44%

62.12

%61

2 bp

7.53%

8.41%

3.80

yrsB

Secu

rity T

ype

Cash

Pay

3.49%

0.68%

6.23%

0.92%

11.72

%99

.67%

542

bp6.9

6%7.8

7%4.1

9 yrs

Split

BBDe

ferre

d2.4

2%1.4

4%5.5

9%2.7

8%12

.76%

0.33%

943

bp10

.53%

11.45

%3.7

1 yrs

Split

BBDe

fault

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

Size

$0mn

to $

100m

n4.1

0%2.7

5%4.1

5%1.7

7%13

.38%

0.36%

497

bp6.2

3%7.4

6%3.6

2 yrs

BB$1

01mn

to $

299m

n3.9

0%1.2

2%5.0

7%1.9

6%12

.66%

16.36

%61

9 bp

7.47%

8.42%

3.54

yrsSp

lit BB

$300

mn a

nd O

ver

3.38%

0.56%

6.50%

0.73%

11.53

%83

.28%

529

bp6.8

7%7.7

8%4.3

2 yrs

Split

BB

Seni

ority

Senio

r Sec

ured

3.40%

0.54%

6.41%

1.76%

12.57

%23

.95%

645

bp7.7

8%8.8

8%3.6

4 yrs

Split

BBSe

nior

3.40%

0.74%

6.29%

0.65%

11.44

%67

.51%

506

bp6.6

9%7.5

6%4.4

3 yrs

Split

BBSe

nior S

ubor

dinate

4.05%

0.66%

4.96%

1.10%

11.15

%6.9

8%56

0 bp

6.64%

7.53%

2.96

yrsSp

lit BB

Junio

r Sub

ordin

ate8.5

4%0.5

2%7.5

3%-1

.05%

16.08

%1.4

8%51

6 bp

8.03%

8.37%

8.00

yrsBB

Dura

tion

<2 yr

s2.3

1%0.5

6%2.8

8%0.5

2%6.3

9%14

.57%

550

bp5.8

3%8.2

1%1.1

8 yrs

Split

BB2

- 3 yr

s3.5

8%0.6

2%5.5

4%1.3

3%11

.47%

14.87

%58

1 bp

6.59%

8.41%

2.51

yrsSp

lit BB

3 - 4

yrs

3.71%

1.56%

6.33%

1.41%

13.58

%16

.56%

600

bp7.2

8%8.1

6%3.5

7 yrs

Split

BB4

- 5 yr

s3.3

6%0.1

6%6.7

5%1.7

1%12

.40%

22.59

%58

9 bp

7.56%

7.96%

4.46

yrsSp

lit BB

5 - 6

yrs

4.25%

-0.09

%7.8

4%1.1

7%13

.63%

16.42

%50

0 bp

7.06%

7.36%

5.42

yrsSp

lit BB

6 - 7

yrs

3.85%

1.22%

9.95%

0.43%

16.07

%7.8

1%44

8 bp

7.09%

7.31%

6.54

yrsSp

lit BB

7 - 1

0 yrs

2.76%

3.36%

7.52%

-0.69

%13

.41%

4.78%

401

bp7.0

0%6.9

7%7.9

4 yrs

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A94

P

JP

Morg

an 1

00 H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

2.99%

1.34%

4.31%

-1.83

%6.8

8%3.7

9%52

5 bp

6.19%

7.53%

2.73

yrsB

Broa

dcas

ting

3.64%

-2.32

%13

.60%

5.36%

21.16

%2.5

4%71

8 bp

8.23%

9.52%

3.08

yrsSp

lit B

Cable

and

Sate

llite

5.02%

-0.45

%7.2

7%-0

.36%

11.75

%5.9

3%68

1 bp

7.85%

9.60%

3.01

yrsB

Chem

icals

5.12%

0.26%

6.64%

3.03%

15.81

%2.9

6%55

7 bp

6.44%

9.61%

2.66

yrsB

Cons

umer

Pro

ducts

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsDi

versi

fied

Media

3.19%

0.66%

5.77%

0.60%

10.51

%2.2

1%75

8 bp

8.79%

9.12%

3.38

yrsB

Ener

gy6.0

5%-2

.76%

7.26%

1.14%

11.87

%12

.42%

655

bp8.3

9%8.4

3%4.8

9 yrs

Split

BBFin

ancia

l8.8

9%-1

.21%

8.75%

-0.51

%16

.39%

13.75

%60

6 bp

8.22%

7.85%

5.74

yrsSp

lit BB

Food

and

Bev

erag

es4.9

1%0.0

0%0.0

0%0.0

0%4.9

1%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Gami

ng L

odgin

g an

d Le

isure

6.04%

2.25%

3.16%

5.49%

17.98

%2.8

8%89

7 bp

11.22

%10

.45%

5.11

yrsSp

lit B

Healt

hcar

e1.4

0%1.1

8%5.3

5%0.2

1%8.3

2%7.7

3%63

1 bp

7.25%

8.71%

2.67

yrsB

Hous

ing3.2

5%-1

.28%

6.82%

2.10%

11.17

%3.6

0%97

2 bp

11.02

%10

.30%

3.48

yrsB

Indus

trials

2.86%

0.27%

7.35%

1.90%

12.83

%3.9

2%52

0 bp

6.76%

7.57%

4.21

yrsSp

lit BB

Metal

s and

Mini

ng5.2

8%0.4

9%6.0

9%3.2

1%15

.83%

4.52%

509

bp6.0

3%7.2

5%2.8

0 yrs

Split

BBPa

per a

nd P

acka

ging

2.52%

-1.25

%5.1

0%1.1

5%7.6

3%4.8

4%64

4 bp

8.62%

8.39%

5.93

yrsSp

lit BB

Retai

l2.6

5%-0

.19%

5.72%

-0.02

%8.2

9%3.3

3%51

8 bp

6.81%

7.44%

4.52

yrsSp

lit BB

Servi

ces

2.36%

0.99%

5.16%

1.49%

10.32

%1.5

7%65

6 bp

6.93%

9.05%

1.29

yrsB

Tech

nolog

y3.6

6%-7

.09%

11.86

%4.9

9%13

.10%

5.39%

860

bp10

.09%

9.42%

4.32

yrsSp

lit B

Telec

ommu

nicati

ons

3.39%

0.01%

8.61%

-0.74

%11

.47%

9.98%

645

bp8.0

5%8.8

1%4.4

3 yrs

BTr

ansp

ortat

ion0.0

0%-1

.97%

19.68

%-3

.00%

13.81

%1.0

0%38

9 bp

7.78%

7.65%

11.06

yrs

BBUt

ility

-2.18

%0.1

8%6.3

0%-1

.55%

2.55%

7.65%

841

bp10

.39%

9.15%

5.30

yrsSp

lit BB

J.P. M

orga

n Hi

gh Y

ield

100 I

ndex

4.08%

-0.74

%7.3

6%0.8

1%11

.82%

100.0

0%66

7 bp

8.26%

8.64%

4.33 y

rsB

Ratin

gSp

lit BB

B2.9

5%-0

.30%

7.73%

0.12%

10.71

%10

.70%

405

bp6.4

6%6.9

0%6.7

6 yrs

Split

BBB

BB3.8

2%0.6

8%8.5

9%-0

.62%

12.79

%15

.82%

472

bp6.8

7%7.4

5%5.8

4 yrs

BBSp

lit BB

3.12%

0.95%

5.75%

-0.35

%9.7

0%14

.17%

583

bp6.9

2%8.0

4%3.1

3 yrs

Split

BBB

3.76%

-0.97

%7.1

3%1.3

0%11

.52%

36.40

%63

8 bp

7.87%

8.61%

4.00

yrsB

Split

B2.7

9%-5

.29%

6.88%

1.81%

5.94%

9.93%

940

bp10

.58%

9.83%

3.29

yrsSp

lit B

CCC/

Split

CCC

4.09%

-0.67

%8.7

6%2.2

9%15

.03%

12.98

%10

84 b

p12

.19%

11.32

%3.5

0 yrs

CCC/

Split

CCC

Not R

ated

9.61%

0.00%

0.00%

0.00%

9.61%

0.00%

0 bp

0.00%

0.00%

0.00

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A95

P

JP

Morg

an 1

00 H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)3.4

7%0.2

6%8.1

9%-0

.30%

11.89

%26

.52%

445

bp6.7

0%7.2

3%6.2

1 yrs

BBMi

ddle

Tier (

Split

BB, B

, Spli

t B)

3.45%

-1.33

%6.7

2%1.0

1%10

.02%

60.50

%67

5 bp

8.09%

8.68%

3.68

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

5.88%

-0.35

%8.4

1%2.2

9%17

.01%

12.98

%10

84 b

p12

.19%

11.32

%3.5

0 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

4.16%

-0.42

%7.0

6%0.6

0%11

.72%

96.78

%65

2 bp

8.12%

8.57%

4.35

yrsB

Defer

red

2.36%

-6.67

%14

.00%

6.39%

15.86

%3.2

2%11

21 b

p12

.31%

10.53

%3.6

4 yrs

Split

BDe

fault

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

Seni

ority

Senio

r Sec

ured

4.82%

-1.63

%6.8

9%1.7

9%12

.20%

32.21

%72

8 bp

8.80%

9.16%

3.96

yrsB

Senio

r3.8

4%-0

.35%

7.47%

0.41%

11.66

%63

.23%

646

bp8.0

6%8.4

4%4.4

2 yrs

Split

BBSe

nior S

ubor

dinate

3.13%

0.61%

9.21%

0.28%

13.64

%3.2

9%56

8 bp

6.91%

7.67%

3.57

yrsSp

lit BB

Junio

r Sub

ordin

ate4.3

7%-2

.59%

7.24%

-1.52

%7.3

8%1.2

8%38

1 bp

7.76%

7.75%

11.27

yrs

Split

BBB

Dura

tion

<2 yr

s2.9

9%0.4

9%3.5

3%-0

.01%

7.14%

10.00

%63

8 bp

6.70%

8.99%

1.12

yrsB

2 - 3

yrs

4.08%

0.33%

5.23%

0.84%

10.79

%15

.86%

747

bp8.2

2%9.2

5%2.4

1 yrs

B3

- 4 yr

s4.4

0%-1

.40%

8.31%

0.47%

12.02

%21

.58%

810

bp9.3

7%9.6

2%3.4

3 yrs

B4

- 5 yr

s4.0

6%-0

.74%

7.95%

3.70%

15.62

%19

.47%

777

bp9.5

0%8.8

4%4.5

1 yrs

B5

- 6 yr

s5.5

8%-1

.99%

8.64%

0.97%

13.51

%19

.78%

508

bp7.1

0%7.4

1%5.3

1 yrs

Split

BB6

- 7 yr

s-0

.65%

0.07%

11.21

%-2

.40%

7.90%

5.10%

475

bp7.4

7%7.6

6%6.6

6 yrs

Split

BB7

- 10

yrs0.6

8%1.6

3%15

.37%

0.19%

18.28

%3.4

3%46

6 bp

7.90%

7.57%

9.00

yrsSp

lit BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

Q

A96

JP

Morg

an E

uro

Hig

h-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

9.32%

-0.82

%3.8

7%0.2

2%12

.86%

16.42

%44

9 bp

5.68%

6.76%

2.76

yrsSp

lit BB

Broa

dcas

ting

11.18

%-2

.91%

2.52%

3.27%

14.29

%1.0

2%76

2 bp

9.12%

10.21

%3.4

7 yrs

BCa

ble a

nd S

atellit

e4.9

7%-2

.04%

9.96%

-2.20

%10

.58%

7.93%

682

bp8.6

6%8.8

2%4.4

5 yrs

BCh

emica

ls10

.65%

-0.72

%8.9

3%1.0

5%20

.90%

7.13%

662

bp8.0

8%8.1

8%3.3

1 yrs

BCo

nsum

er P

rodu

cts6.5

3%-1

.04%

7.03%

1.36%

14.36

%1.0

0%60

5 bp

7.59%

7.88%

3.57

yrsB

Dive

rsifie

d Me

dia6.9

6%-8

.60%

4.74%

-13.4

8%-11

.41%

2.06%

2003

bp

21.36

%13

.54%

2.56

yrsSp

lit B

Ener

gy8.0

8%-5

.97%

10.83

%0.8

0%13

.54%

1.21%

515

bp6.8

8%6.4

4%4.3

6 yrs

BBFin

ancia

l10

.47%

-2.36

%6.7

2%2.0

9%17

.53%

6.57%

723

bp8.7

4%6.1

3%2.9

3 yrs

Split

BBFo

od a

nd B

ever

ages

7.45%

-1.87

%6.1

1%-0

.65%

11.15

%6.0

1%46

5 bp

6.26%

6.78%

3.94

yrsSp

lit BB

Gami

ng L

odgin

g an

d Le

isure

12.01

%-3

.70%

9.38%

-0.66

%17

.21%

3.63%

705

bp8.4

2%7.4

6%3.2

2 yrs

BHe

althc

are

6.57%

-1.05

%3.8

7%-1

.76%

7.61%

2.60%

584

bp7.0

1%7.4

6%2.6

4 yrs

Split

BBHo

using

4.14%

-1.50

%5.3

5%0.6

5%8.7

8%7.5

2%58

1 bp

7.20%

7.03%

3.25

yrsSp

lit BB

Indus

trials

6.53%

-2.19

%6.0

1%-3

.06%

7.09%

5.68%

547

bp7.2

2%6.6

8%4.5

0 yrs

Split

BBMe

tals a

nd M

ining

7.75%

-0.21

%5.7

7%2.6

1%16

.70%

3.92%

402

bp5.5

2%7.4

0%3.6

6 yrs

BBPa

per a

nd P

acka

ging

7.49%

-1.49

%6.6

3%0.3

3%13

.28%

9.81%

580

bp7.4

3%7.8

0%4.0

2 yrs

Split

BBRe

tail

2.34%

-0.40

%6.1

3%0.0

9%8.2

7%2.7

6%51

7 bp

6.49%

7.13%

3.08

yrsSp

lit BB

Servi

ces

10.83

%-2

.07%

7.78%

1.03%

18.18

%4.0

2%75

7 bp

8.93%

9.01%

2.98

yrsSp

lit B

Tech

nolog

y16

.26%

-3.60

%10

.15%

0.59%

24.17

%1.3

6%66

9 bp

8.04%

7.89%

3.21

yrsB

Telec

ommu

nicati

ons

0.22%

-5.41

%7.1

4%0.7

7%2.3

5%6.9

0%63

1 bp

7.86%

9.50%

3.25

yrsSp

lit BB

Tran

spor

tation

9.46%

2.02%

8.63%

-0.27

%20

.98%

2.23%

726

bp8.9

1%8.2

0%3.7

5 yrs

Split

BBUt

ility

5.04%

-2.68

%8.0

8%2.7

9%13

.57%

0.20%

552

bp6.3

7%7.9

4%1.3

4 yrs

BBJP

. Mor

gan

Euro

HY

Inde

x7.6

6%-2

.00%

6.62%

-0.14

%12

.33%

100.0

0%61

6 bp

7.64%

7.70%

3.44 y

rsSp

lit B

B

Ratin

gSp

lit BB

B5.8

1%-0

.78%

4.16%

1.78%

11.29

%7.9

4%29

9 bp

4.30%

6.10%

3.17

yrsSp

lit BB

BBB

5.37%

-0.95

%5.1

8%-0

.34%

9.40%

36.97

%44

4 bp

5.88%

6.40%

3.52

yrsBB

Split

BB5.4

1%-2

.05%

6.86%

-0.10

%10

.23%

7.97%

555

bp7.0

9%7.7

2%3.7

3 yrs

Split

BBB

6.65%

-2.02

%7.4

5%-0

.27%

11.98

%33

.86%

736

bp8.9

1%8.8

2%3.5

7 yrs

BSp

lit B

10.71

%-6

.66%

8.27%

-4.84

%6.4

7%5.2

0%11

38 b

p12

.59%

9.54%

2.53

yrsSp

lit B

CCC/

Split

CCC

11.39

%-3

.25%

11.37

%1.3

2%21

.61%

5.32%

1063

bp

12.30

%9.5

8%2.9

8 yrs

CCC/

Split

CCC

Not R

ated

7.01%

-2.30

%11

.83%

2.24%

19.54

%1.6

1%62

9 bp

8.05%

9.08%

3.08

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A97

Q

JP

Morg

an E

uro

Hig

h-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)5.4

7%-0

.89%

4.91%

0.04%

9.71%

44.91

%41

9 bp

5.60%

6.35%

3.46

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)6.7

7%-2

.51%

7.36%

-0.69

%10

.98%

47.02

%75

0 bp

9.01%

8.72%

3.48

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

17.19

%-3

.78%

8.84%

0.66%

23.52

%6.4

5%10

88 b

p12

.54%

9.64%

2.96

yrsCC

C/Sp

lit CC

C

Secu

rity T

ype

Cash

Pay

6.97%

-1.93

%6.8

0%-0

.11%

11.91

%98

.55%

616

bp7.6

4%7.7

0%3.4

5 yrs

Split

BBDe

ferre

d7.1

8%-0

.80%

7.03%

1.26%

15.23

%0.4

2%72

2 bp

7.97%

7.97%

0.64

yrsSp

lit B

Defau

lt57

.59%

-6.58

%-6

.44%

-3.08

%33

.49%

1.03%

Size

$0mn

to $

100m

n3.2

1%1.0

6%3.7

1%0.0

0%8.1

8%0.3

3%17

45 b

p23

.21%

9.14%

1.69

yrsB

$101

mn to

$29

9mn

6.47%

-0.15

%6.5

3%1.4

6%14

.91%

13.19

%72

8 bp

8.60%

8.60%

2.78

yrsB

$300

mn a

nd O

ver

7.96%

-2.37

%6.6

6%-0

.39%

11.97

%86

.48%

595

bp7.4

4%7.5

6%3.5

4 yrs

Split

BB

Seni

ority

Senio

r Sec

ured

7.41%

-3.12

%8.0

9%-0

.74%

11.66

%31

.12%

796

bp9.4

9%9.1

9%3.5

4 yrs

BSe

nior

7.39%

-1.55

%5.8

4%0.1

4%12

.06%

63.41

%52

0 bp

6.66%

6.88%

3.43

yrsSp

lit BB

Senio

r Sub

ordin

ate10

.56%

-2.16

%8.4

2%0.0

9%17

.39%

5.05%

692

bp8.3

2%8.6

2%3.1

4 yrs

BJu

nior S

ubor

dinate

4.60%

-1.01

%5.7

6%1.2

6%10

.89%

0.42%

722

bp7.9

7%7.9

7%0.6

4 yrs

Split

B

Dura

tion

<2 yr

s4.0

3%-1

.56%

4.05%

0.24%

6.81%

17.31

%61

1 bp

7.07%

7.41%

1.31

yrsSp

lit BB

2 - 3

yrs

6.16%

-2.15

%6.3

2%-1

.23%

9.08%

15.46

%78

2 bp

8.89%

7.48%

2.55

yrsSp

lit BB

3 - 4

yrs

8.30%

-1.35

%7.2

0%0.6

8%15

.31%

32.25

%57

3 bp

7.16%

7.84%

3.45

yrsSp

lit BB

4 - 5

yrs

7.51%

-3.46

%7.5

1%-0

.07%

11.50

%21

.07%

602

bp7.8

3%7.9

2%4.4

1 yrs

Split

BB5

- 6 yr

s7.3

8%-1

.14%

8.54%

-1.35

%13

.67%

10.00

%57

9 bp

7.91%

7.77%

5.37

yrsSp

lit BB

6 - 7

yrs

9.67%

2.85%

9.04%

2.66%

26.26

%1.3

8%54

2 bp

8.03%

7.98%

6.61

yrsSp

lit BB

7 - 1

0 yrs

0.00%

0.00%

0.00%

-3.31

%-3

.31%

1.51%

412

bp6.7

8%6.4

9%7.3

7 yrs

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A98

R

JP

Morg

an S

terlin

g H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

13.53

%6.2

7%-1

.25%

0.11%

19.28

%10

.16%

252

bp5.1

6%6.5

8%4.6

3 yrs

BBr

oadc

astin

g10

.84%

-0.39

%8.1

0%1.1

6%20

.73%

7.07%

406

bp6.0

8%6.1

3%4.3

0 yrs

Split

BBCa

ble a

nd S

atellit

e5.9

8%-2

.09%

11.14

%0.2

2%15

.58%

14.57

%39

2 bp

6.17%

7.04%

4.76

yrsBB

Chem

icals

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsCo

nsum

er P

rodu

cts0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Dive

rsifie

d Me

dia2.2

1%2.3

0%2.2

1%1.4

6%8.4

4%0.9

9%10

74 b

p12

.20%

9.13%

2.78

yrsB

Ener

gy0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Finan

cial

9.22%

-1.86

%10

.39%

-6.46

%10

.68%

12.94

%70

2 bp

10.04

%8.2

9%6.8

8 yrs

BBFo

od a

nd B

ever

ages

3.14%

2.43%

0.87%

0.59%

7.20%

5.18%

401

bp6.4

6%7.3

4%5.7

9 yrs

BBGa

ming

Lod

ging

and

Leisu

re4.2

4%-2

.76%

5.47%

1.95%

8.98%

10.27

%48

7 bp

7.01%

7.56%

4.24

yrsBB

Healt

hcar

e0.0

0%0.0

0%-0

.10%

0.31%

0.22%

2.76%

749

bp9.8

5%9.8

0%4.6

5 yrs

BHo

using

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsInd

ustria

ls8.9

0%9.9

1%8.9

0%6.3

2%38

.57%

0.22%

7655

bp

77.99

%39

.38%

1.67

yrsB

Metal

s and

Mini

ng3.9

8%-0

.06%

4.23%

0.59%

8.95%

0.00%

0 bp

0.00%

0.00%

0.00

yrsPa

per a

nd P

acka

ging

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsRe

tail

4.56%

0.75%

3.16%

1.47%

10.27

%9.0

7%85

7 bp

10.35

%9.4

8%3.4

3 yrs

Split

BBSe

rvice

s2.7

7%-1

.18%

3.84%

3.73%

9.41%

3.43%

610

bp8.3

4%8.7

9%2.7

7 yrs

BTe

chno

logy

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsTe

lecom

munic

ation

s2.5

6%-0

.77%

5.24%

2.24%

9.49%

5.77%

520

bp6.9

5%9.1

7%2.7

5 yrs

BTr

ansp

ortat

ion7.1

7%-3

.44%

11.64

%4.0

6%20

.21%

6.53%

473

bp6.9

1%7.2

3%4.7

6 yrs

BBUt

ility

3.71%

0.70%

19.38

%1.5

9%26

.66%

11.03

%42

7 bp

6.55%

8.07%

4.28

yrsSp

lit BB

J.P. M

orga

n St

erlin

g HY

Inde

x7.1

6%-0

.17%

7.53%

0.10%

15.14

%10

0.00%

539 b

p7.6

7%7.9

1%4.6

0 yrs

Split

BB

Ratin

gSp

lit BB

B11

.35%

-2.05

%13

.70%

-10.3

8%11

.14%

8.15%

516

bp8.4

5%7.2

5%8.9

4 yrs

Split

BBB

BB4.0

5%-0

.71%

5.23%

1.18%

9.99%

38.74

%40

8 bp

6.22%

7.06%

4.22

yrsBB

Split

BB8.8

6%-1

.94%

8.85%

1.17%

17.55

%16

.87%

465

bp6.8

7%7.3

2%4.6

8 yrs

Split

BBB

4.10%

-0.42

%5.7

9%1.5

7%11

.39%

20.76

%75

5 bp

9.47%

9.47%

2.91

yrsB

Split

B2.0

8%0.0

0%0.0

0%0.0

0%2.0

8%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Split

BCC

C/Sp

lit CC

C7.3

5%6.0

9%6.2

8%3.8

5%25

.70%

0.22%

5112

bp

52.63

%25

.50%

2.00

yrsCC

C/Sp

lit CC

CNo

t Rate

d4.7

6%-0

.36%

17.69

%2.2

6%25

.63%

11.45

%62

9 bp

9.06%

8.95%

5.78

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A99

R

JP

Morg

an S

terlin

g H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce:

J.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)5.4

7%-1

.10%

7.22%

-1.34

%10

.34%

46.90

%42

7 bp

6.60%

7.09%

5.04

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)5.9

0%-0

.76%

6.60%

1.49%

13.70

%37

.63%

625

bp8.3

1%8.5

0%3.7

0 yrs

BLo

wer T

ier (C

CC, D

efault

)38

.37%

13.13

%-5

.74%

-3.02

%43

.08%

4.02%

5112

bp

52.63

%25

.50%

2.00

yrsCC

C/Sp

lit CC

C

Secu

rity T

ype

Cash

Pay

5.82%

-0.83

%8.2

4%0.2

3%13

.87%

96.20

%53

9 bp

7.67%

7.91%

4.60

yrsSp

lit BB

Defer

red

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsDe

fault

42.04

%13

.53%

-6.35

%-3

.39%

45.90

%3.8

0%

Size

$0mn

to $

100m

n3.1

7%3.6

7%3.8

8%2.6

5%14

.05%

1.99%

2792

bp

29.45

%17

.02%

2.59

yrsB

$101

mn to

$29

9mn

7.64%

-0.33

%3.9

4%1.4

6%13

.14%

54.19

%57

1 bp

7.71%

8.29%

3.46

yrsSp

lit BB

$300

mn a

nd O

ver

7.20%

-0.26

%12

.09%

-1.70

%17

.80%

43.82

%39

1 bp

6.57%

6.99%

6.14

yrsBB

Seni

ority

Senio

r Sec

ured

7.87%

-1.83

%6.4

9%1.7

1%14

.69%

28.75

%59

7 bp

8.14%

8.43%

4.44

yrsBB

Senio

r7.0

9%0.7

8%7.0

3%0.9

3%16

.58%

62.25

%51

5 bp

7.31%

7.66%

4.11

yrsSp

lit BB

Senio

r Sub

ordin

ate2.3

2%0.1

1%3.1

7%2.5

5%8.3

6%2.6

7%65

8 bp

8.59%

7.90%

1.83

yrsB

Junio

r Sub

ordin

ate7.4

9%-2

.12%

18.02

%-1

3.67%

7.18%

6.33%

449

bp8.4

5%7.8

4%11

.01 yr

sSp

lit BB

B

Dura

tion

<2 yr

s4.1

5%-1

.61%

3.12%

1.62%

7.39%

20.94

%58

3 bp

7.43%

8.12%

1.52

yrsSp

lit BB

2 - 3

yrs

5.58%

-2.93

%5.4

5%2.4

8%10

.75%

1.76%

2179

bp

23.34

%14

.20%

2.70

yrsB

3 - 4

yrs

3.91%

0.85%

4.16%

0.97%

10.21

%7.2

1%53

1 bp

6.97%

7.93%

3.33

yrsBB

4 - 5

yrs

8.55%

-1.83

%7.5

5%1.4

8%16

.30%

39.63

%50

7 bp

7.19%

7.49%

4.47

yrsSp

lit BB

5 - 6

yrs

7.76%

-0.33

%5.9

8%-0

.74%

12.99

%4.3

9%69

2 bp

9.56%

9.53%

5.27

yrsB

6 - 7

yrs

5.16%

1.09%

15.46

%1.2

3%24

.26%

8.33%

379

bp6.7

3%7.2

9%6.3

6 yrs

Split

BB7

- 10

yrs-1

.66%

1.54%

1.78%

0.96%

2.60%

7.61%

372

bp7.1

3%7.8

2%7.7

6 yrs

BB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A100

S

JP

Morg

an U

S D

olla

r E

uro

pean H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0 bp

0.00%

0.00%

0.00

yrsBr

oadc

astin

g-2

1.57%

-14.0

6%12

5.66%

0.00%

52.10

%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Cable

and

Sate

llite

3.79%

-0.73

%7.2

7%0.9

5%11

.57%

9.93%

517

bp6.2

4%7.8

7%3.1

0 yrs

Split

BBCh

emica

ls26

.31%

2.74%

9.14%

1.83%

44.23

%3.8

9%73

3 bp

8.85%

8.64%

4.07

yrsB

Cons

umer

Pro

ducts

1.65%

4.56%

-0.98

%0.4

6%5.7

2%0.5

0%43

4 bp

4.68%

8.29%

1.34

yrsB

Dive

rsifie

d Me

dia3.5

2%0.1

5%5.1

3%1.2

2%10

.32%

4.55%

662

bp7.5

9%7.7

1%2.6

4 yrs

Split

BEn

ergy

2.68%

-2.81

%6.3

6%1.8

2%8.0

7%8.3

3%74

8 bp

8.87%

8.54%

3.77

yrsB

Finan

cial

12.35

%1.6

6%9.4

9%-0

.57%

24.34

%6.7

3%53

9 bp

7.20%

6.74%

5.06

yrsSp

lit BB

Food

and

Bev

erag

es5.2

5%-6

.47%

13.52

%0.6

5%12

.48%

1.13%

683

bp8.6

0%9.1

1%4.4

3 yrs

BGa

ming

Lod

ging

and

Leisu

re11

.95%

-0.95

%6.9

9%3.3

7%22

.63%

2.49%

721

bp8.4

6%9.4

1%3.4

6 yrs

BHe

althc

are

4.77%

-0.23

%4.5

7%0.3

7%9.7

1%4.8

2%60

9 bp

7.43%

8.23%

3.70

yrsSp

lit BB

Hous

ing4.4

8%-1

.28%

4.74%

2.14%

10.35

%3.1

8%40

0 bp

5.11%

5.59%

3.40

yrsBB

Indus

trials

6.72%

3.42%

3.92%

0.34%

15.08

%2.1

1%64

7 bp

7.86%

9.52%

3.54

yrsSp

lit BB

Metal

s and

Mini

ng9.5

1%-0

.62%

5.82%

0.35%

15.56

%10

.22%

555

bp7.1

4%8.0

2%4.2

9 yrs

Split

BBPa

per a

nd P

acka

ging

4.62%

3.59%

6.09%

3.81%

19.36

%6.1

7%48

4 bp

6.93%

7.25%

5.84

yrsBB

Retai

l0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

Servi

ces

8.43%

-0.62

%5.4

0%3.8

6%17

.95%

1.86%

825

bp9.7

8%10

.78%

3.84

yrsCC

C/Sp

lit CC

CTe

chno

logy

8.20%

-6.77

%16

.60%

6.11%

24.81

%7.0

9%62

5 bp

8.41%

8.68%

6.00

yrsSp

lit B

Telec

ommu

nicati

ons

4.16%

-1.61

%8.0

1%0.5

5%11

.30%

20.40

%57

5 bp

7.13%

8.66%

3.66

yrsSp

lit BB

Tran

spor

tation

6.52%

0.30%

9.63%

2.20%

19.71

%3.8

9%62

6 bp

7.82%

7.91%

4.23

yrsSp

lit BB

Utilit

y0.9

3%-1

.20%

8.50%

-0.51

%7.6

5%2.7

3%66

7 bp

8.00%

8.67%

3.59

yrsBB

J.P. M

orga

n US

$ Eur

opea

n HY

Inde

x5.4

9%-0

.99%

7.80%

1.49%

14.27

%10

0.00%

598 b

p7.4

6%8.1

8%4.0

5 yrs

Split

BB

Ratin

gSp

lit BB

B1.1

6%1.5

6%6.7

2%-0

.81%

8.75%

3.61%

442

bp5.3

7%5.0

6%3.1

0 yrs

Split

BBB

BB5.4

7%-0

.34%

7.24%

1.25%

14.13

%37

.22%

486

bp6.5

3%7.3

4%4.5

6 yrs

BBSp

lit BB

6.86%

-1.38

%5.4

8%1.0

5%12

.34%

9.79%

559

bp6.6

0%8.5

3%2.8

2 yrs

Split

BBB

4.02%

-1.72

%7.6

7%1.9

4%12

.21%

32.03

%69

6 bp

8.48%

9.01%

4.12

yrsB

Split

B2.8

6%0.0

3%5.0

3%1.5

0%9.6

8%5.5

2%62

0 bp

7.18%

7.86%

2.64

yrsSp

lit B

CCC/

Split

CCC

10.06

%-2

.24%

12.36

%1.6

2%22

.85%

10.94

%76

1 bp

9.17%

9.45%

4.22

yrsCC

C/Sp

lit CC

CNo

t Rate

d2.6

3%-0

.63%

3.76%

4.65%

10.73

%0.8

9%66

7 bp

8.19%

8.31%

4.02

yrs

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A101

S

JP

Morg

an U

S D

olla

r E

uro

pean H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)4.3

5%0.0

2%7.2

9%1.0

2%13

.12%

40.82

%48

3 bp

6.43%

7.14%

4.43

yrsBB

Midd

le Tie

r (Sp

lit BB

, B, S

plit B

)4.4

9%-1

.59%

6.93%

1.66%

11.79

%47

.34%

659

bp7.9

4%8.7

8%3.6

8 yrs

BLo

wer T

ier (C

CC, D

efault

)11

.33%

-1.39

%11

.61%

1.62%

24.52

%10

.94%

761

bp9.1

7%9.4

5%4.2

2 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

5.51%

-1.00

%7.8

3%1.5

0%14

.32%

97.75

%59

5 bp

7.45%

8.19%

4.13

yrsSp

lit BB

Defer

red

4.11%

0.26%

5.12%

0.87%

10.68

%2.2

5%76

0 bp

7.81%

7.81%

0.64

yrsSp

lit B

Defau

lt8.6

0%-1

4.06%

-65.8

0%0.0

0%-6

8.09%

0.00%

Size

$0MN

to $

100m

n0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0.0

0%0

bp0.0

0%0.0

0%0.0

0 yrs

$101

mn to

$29

9mn

3.86%

1.30%

4.95%

1.95%

12.57

%6.6

0%71

2 bp

8.54%

9.35%

3.75

yrsB

$300

mn a

nd O

ver

5.58%

-1.12

%7.9

7%1.4

5%14

.36%

93.40

%59

0 bp

7.38%

8.10%

4.07

yrsSp

lit BB

Seni

ority

Senio

r Sec

ured

5.63%

-1.91

%7.4

7%1.2

5%12

.74%

41.90

%64

1 bp

7.87%

8.76%

3.85

yrsSp

lit BB

Senio

r5.7

5%-0

.56%

7.58%

1.98%

15.37

%49

.87%

568

bp7.2

0%7.9

2%4.2

6 yrs

Split

BBSe

nior S

ubor

dinate

3.32%

1.26%

10.84

%-0

.55%

15.32

%5.9

7%48

6 bp

6.61%

6.44%

4.99

yrsSp

lit BB

Junio

r Sub

ordin

ate4.1

1%0.2

6%5.1

2%0.8

7%10

.68%

2.25%

760

bp7.8

1%7.8

1%0.6

4 yrs

Split

B

Dura

tion

<2 yr

s2.0

8%0.2

1%3.8

4%0.8

4%7.1

3%10

.53%

616

bp6.4

8%8.4

5%1.0

9 yrs

B2

- 3 yr

s6.6

5%0.2

9%5.4

7%0.0

8%12

.91%

15.56

%57

9 bp

6.49%

7.80%

2.38

yrsSp

lit BB

3 - 4

yrs

7.35%

-1.34

%9.9

8%2.0

5%18

.87%

27.64

%68

8 bp

8.21%

8.99%

3.60

yrsB

4 - 5

yrs

5.72%

-2.72

%6.1

3%2.3

2%11

.67%

24.51

%58

6 bp

7.50%

7.80%

4.40

yrsSp

lit BB

5 - 6

yrs

5.83%

1.02%

8.47%

0.66%

16.73

%11

.34%

508

bp7.1

5%7.4

2%5.4

4 yrs

BB6

- 7 yr

s-3

.51%

0.00%

4.20%

-0.86

%-0

.32%

3.83%

466

bp7.4

0%7.7

5%6.6

2 yrs

BB7

- 10

yrs5.1

5%-2

.04%

15.70

%6.5

1%26

.94%

6.03%

525

bp8.6

1%8.2

5%9.2

8 yrs

B

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A102

T

JP

Morg

an E

uro

pean C

urr

ency H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

8.38%

-0.08

%3.7

8%0.5

4%13

.00%

15.54

%43

9 bp

5.65%

6.75%

2.85

yrsSp

lit BB

Broa

dcas

ting

11.17

%-1

.92%

4.50%

2.71%

17.03

%1.4

3%61

9 bp

7.83%

8.50%

3.72

yrsSp

lit BB

Cable

and

Sate

llite

5.29%

-2.14

%10

.09%

-1.75

%11

.46%

9.20%

621

bp8.0

8%8.3

1%4.5

1 yrs

Split

BBCh

emica

ls10

.65%

-0.72

%8.9

3%1.0

5%20

.90%

6.44%

662

bp8.0

8%8.1

8%3.3

1 yrs

BCo

nsum

er P

rodu

cts6.5

3%-1

.04%

7.03%

1.36%

14.36

%0.9

0%60

5 bp

7.59%

7.88%

3.57

yrsB

Dive

rsifie

d Me

dia7.1

1%-8

.82%

4.59%

-13.9

0%-1

2.05%

1.80%

2078

bp

22.17

%13

.72%

2.68

yrsSp

lit B

Ener

gy8.0

8%-5

.97%

10.83

%0.8

0%13

.54%

1.09%

515

bp6.8

8%6.4

4%4.3

6 yrs

BBFin

ancia

l10

.38%

-2.02

%7.5

8%0.0

7%16

.41%

6.96%

739

bp9.2

8%6.8

2%3.9

0 yrs

Split

BBFo

od a

nd B

ever

ages

6.57%

-1.47

%5.9

3%-0

.79%

10.35

%5.0

7%49

2 bp

6.66%

6.93%

4.27

yrsSp

lit BB

Gami

ng L

odgin

g an

d Le

isure

11.18

%-3

.50%

8.51%

0.04%

16.47

%4.5

1%64

5 bp

8.04%

7.48%

3.50

yrsSp

lit BB

Healt

hcar

e6.5

7%-1

.05%

3.64%

-1.52

%7.6

3%2.6

8%60

4 bp

7.36%

7.75%

2.89

yrsSp

lit BB

Hous

ing4.1

4%-1

.50%

5.35%

0.65%

8.78%

6.79%

581

bp7.2

0%7.0

3%3.2

5 yrs

Split

BBInd

ustria

ls6.5

6%-2

.10%

6.04%

-3.00

%7.3

0%5.1

5%58

4 bp

7.59%

6.85%

4.48

yrsSp

lit BB

Metal

s and

Mini

ng7.1

8%-0

.22%

5.71%

2.53%

15.91

%3.5

3%40

2 bp

5.52%

7.40%

3.66

yrsBB

Pape

r and

Pac

kagin

g7.4

5%-1

.48%

6.61%

0.33%

13.23

%8.8

5%58

0 bp

7.43%

7.80%

4.02

yrsSp

lit BB

Retai

l2.4

3%-0

.22%

5.20%

0.52%

8.08%

3.58%

621

bp7.6

8%7.8

5%3.1

8 yrs

Split

BBSe

rvice

s10

.33%

-2.02

%7.5

5%1.2

5%17

.71%

4.04%

742

bp8.8

7%8.9

9%2.9

6 yrs

BTe

chno

logy

16.26

%-3

.60%

10.15

%0.5

9%24

.17%

1.23%

669

bp8.0

4%7.8

9%3.2

1 yrs

BTe

lecom

munic

ation

s0.5

0%-4

.87%

6.89%

0.89%

3.11%

6.92%

620

bp7.7

7%9.4

6%3.2

0 yrs

Split

BBTr

ansp

ortat

ion8.8

5%0.6

3%9.2

8%0.5

9%20

.41%

2.80%

655

bp8.3

5%7.9

3%4.0

3 yrs

Split

BBUt

ility

3.93%

0.26%

17.92

%1.7

3%25

.01%

1.50%

442

bp6.5

3%8.0

6%3.9

3 yrs

Split

BBJ.P

. Mor

gan

Euro

pean

Cur

renc

y Ind

ex7.3

8%-1

.80%

6.82%

-0.09

%12

.53%

100.0

0%61

1 bp

7.69%

7.75%

3.58 y

rsSp

lit B

B

Ratin

gSp

lit BB

B6.3

0%-0

.61%

5.27%

-0.14

%11

.06%

7.63%

317

bp4.7

6%6.4

4%4.0

1 yrs

Split

BBB

BB5.2

6%-0

.90%

5.25%

-0.20

%9.5

6%37

.84%

444

bp5.9

8%6.4

8%3.6

6 yrs

BBSp

lit BB

5.74%

-2.04

%6.9

8%0.1

4%10

.97%

8.35%

545

bp7.0

3%7.6

3%3.7

8 yrs

Split

BBB

6.50%

-1.90

%7.2

4%-0

.11%

11.91

%33

.04%

737

bp8.9

6%8.8

7%3.5

2 yrs

BSp

lit B

11.29

%-7

.04%

8.47%

-5.10

%6.5

1%4.5

2%11

59 b

p12

.81%

9.57%

2.57

yrsSp

lit B

CCC/

Split

CCC

11.37

%-3

.22%

11.35

%1.3

4%21

.63%

4.83%

1086

bp

12.52

%9.6

7%2.9

7 yrs

CCC/

Split

CCC

Not R

ated

6.42%

-1.99

%14

.34%

2.25%

21.94

%2.8

3%62

9 bp

8.54%

9.02%

4.39

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A103

T

JP

Morg

an E

uro

pean C

urr

ency H

igh-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)5.4

7%-0

.82%

5.24%

-0.20

%9.8

6%45

.46%

423

bp5.7

8%6.4

7%3.7

1 yrs

BBMi

ddle

Tier (

Split

BB, B

, Spli

t B)

6.78%

-2.41

%7.2

5%-0

.50%

11.19

%45

.91%

744

bp8.9

9%8.7

2%3.4

7 yrs

BLo

wer T

ier (C

CC, D

efault

)15

.95%

-2.99

%8.8

6%1.1

1%23

.81%

5.80%

1110

bp

12.76

%9.7

3%2.9

5 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

6.89%

-1.81

%6.9

8%-0

.11%

12.17

%98

.74%

611

bp7.6

9%7.7

5%3.6

0 yrs

Split

BBDe

ferre

d7.1

8%-0

.80%

7.03%

1.26%

15.23

%0.3

8%72

2 bp

7.97%

7.97%

0.64

yrsSp

lit B

Defau

lt47

.60%

-1.64

%-7

.41%

0.60%

35.23

%0.8

8%

Size

$0mn

to $

100m

n3.4

3%2.2

5%4.2

8%1.1

5%11

.55%

0.53%

2219

bp

26.03

%12

.71%

2.10

yrsB

$101

mn to

$29

9mn

6.42%

-0.32

%5.7

7%1.5

5%13

.95%

17.69

%67

9 bp

8.33%

8.52%

3.00

yrsB

$300

mn a

nd O

ver

7.69%

-2.20

%7.0

9%-0

.47%

12.26

%81

.77%

586

bp7.4

3%7.5

5%3.7

2 yrs

Split

BB

Seni

ority

Senio

r Sec

ured

7.38%

-2.98

%7.9

1%-0

.48%

11.88

%32

.34%

766

bp9.2

8%9.0

3%3.6

9 yrs

BSe

nior

7.04%

-1.27

%6.0

6%0.2

8%12

.40%

61.65

%52

4 bp

6.78%

6.99%

3.50

yrsSp

lit BB

Senio

r Sub

ordin

ate9.9

3%-2

.01%

8.06%

0.25%

16.69

%4.8

8%69

0 bp

8.34%

8.58%

3.05

yrsB

Junio

r Sub

ordin

ate6.3

8%-1

.42%

10.46

%-9

.10%

5.30%

1.14%

541

bp8.2

9%7.8

8%7.5

3 yrs

BB

Dura

tion

<2 yr

s4.2

6%-1

.45%

3.85%

0.32%

7.05%

17.44

%61

2 bp

7.18%

7.62%

1.32

yrsSp

lit BB

2 - 3

yrs

6.04%

-2.17

%6.2

5%-1

.19%

8.90%

14.16

%80

3 bp

9.11%

7.58%

2.55

yrsSp

lit BB

3 - 4

yrs

8.19%

-1.30

%7.2

1%0.7

0%15

.28%

28.98

%58

1 bp

7.26%

7.89%

3.45

yrsSp

lit BB

4 - 5

yrs

7.65%

-3.28

%7.4

6%0.2

0%12

.12%

23.42

%58

4 bp

7.72%

7.84%

4.42

yrsSp

lit BB

5 - 6

yrs

7.12%

-1.33

%8.3

5%-1

.06%

13.30

%10

.36%

575

bp7.8

9%7.7

4%5.3

7 yrs

Split

BB6

- 7 yr

s6.6

9%2.6

3%13

.90%

2.50%

27.84

%1.7

2%48

3 bp

7.54%

7.58%

6.60

yrsSp

lit BB

7 - 1

0 yrs

-1.66

%1.5

4%1.0

3%-1

.36%

-0.49

%2.2

8%39

6 bp

6.92%

7.02%

7.53

yrsBB

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A104

U

JP

Morg

an E

uro

pean A

ggre

gate

Hig

h-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Indu

stry

Autom

otive

8.38%

-0.08

%3.7

8%0.5

4%13

.00%

12.17

%43

9 bp

5.65%

6.75%

2.85

yrsSp

lit BB

Broa

dcas

ting

9.29%

-2.45

%4.7

6%2.7

1%14

.72%

1.12%

619

bp7.8

3%8.5

0%3.7

2 yrs

Split

BBCa

ble a

nd S

atellit

e4.5

8%-1

.71%

9.06%

-1.10

%10

.87%

9.08%

603

bp7.6

3%8.2

7%3.9

9 yrs

Split

BBCh

emica

ls11

.28%

-0.85

%9.1

0%1.3

2%21

.96%

5.63%

675

bp8.2

7%8.2

1%3.5

3 yrs

BCo

nsum

er P

rodu

cts5.5

7%-0

.15%

5.43%

1.21%

12.48

%0.8

7%57

3 bp

7.06%

7.95%

3.16

yrsB

Dive

rsifie

d Me

dia5.7

6%-6

.26%

4.40%

-10.2

7%-7

.12%

1.97%

1695

bp

17.96

%12

.07%

2.15

yrsSp

lit B

Ener

gy3.5

8%-3

.35%

7.41%

1.56%

9.20%

3.53%

692

bp8.3

9%8.0

3%3.9

1 yrs

Split

BBFin

ancia

l10

.23%

-0.65

%8.3

9%-0

.10%

18.58

%7.4

5%67

9 bp

8.67%

6.76%

4.24

yrsSp

lit BB

Food

and

Bev

erag

es6.6

2%-1

.95%

6.61%

-0.67

%10

.70%

4.33%

508

bp6.8

3%7.1

1%4.2

9 yrs

Split

BBGa

ming

Lod

ging

and

Leisu

re11

.10%

-3.13

%8.2

8%0.5

9%17

.22%

4.33%

659

bp8.1

2%7.8

4%3.4

9 yrs

Split

BBHe

althc

are

6.54%

-0.97

%4.1

3%-1

.10%

8.65%

2.81%

696

bp8.3

5%8.4

7%3.3

7 yrs

Split

BBHo

using

4.87%

-1.62

%5.3

7%0.6

1%9.3

8%4.9

0%59

4 bp

7.38%

6.92%

3.38

yrsSp

lit BB

Indus

trials

6.65%

-1.75

%5.8

3%-2

.57%

8.04%

4.71%

593

bp7.6

3%7.2

4%4.3

5 yrs

Split

BBMe

tals a

nd M

ining

8.97%

-0.43

%5.7

5%1.4

6%16

.42%

6.05%

485

bp6.4

0%7.7

4%4.0

0 yrs

BBPa

per a

nd P

acka

ging

7.22%

-0.88

%6.4

5%0.9

1%14

.16%

7.67%

561

bp7.2

7%7.6

4%4.2

0 yrs

Split

BBRe

tail

2.43%

-0.22

%5.2

0%0.5

2%8.0

8%2.8

1%62

1 bp

7.68%

7.85%

3.18

yrsSp

lit BB

Servi

ces

9.40%

-1.82

%7.4

6%1.2

8%16

.91%

3.50%

741

bp8.8

6%9.1

4%3.0

3 yrs

Split

BTe

chno

logy

11.35

%-6

.49%

12.95

%4.6

9%23

.13%

2.43%

611

bp8.1

6%8.2

5%5.4

5 yrs

BTe

lecom

munic

ation

s2.1

6%-2

.81%

7.20%

0.67%

7.15%

9.33%

601

bp7.4

1%9.1

1%3.3

3 yrs

Split

BBTr

ansp

ortat

ion7.6

4%1.1

6%9.4

4%1.2

1%20

.60%

3.27%

648

bp8.1

5%7.9

2%3.9

8 yrs

Split

BBUt

ility

2.26%

-0.42

%13

.62%

0.77%

16.59

%2.0

5%53

8 bp

7.16%

8.32%

3.78

yrsBB

J.P. M

orga

n Eu

rope

an A

ggre

gate

Inde

x6.9

9%-1

.54%

7.02%

0.25%

13.02

%10

0.00%

613 b

p7.6

8%7.8

7%3.6

9 yrs

Split

BB

Ratin

gSp

lit BB

B4.8

8%-0

.13%

5.75%

-0.21

%10

.53%

7.13%

338

bp4.8

6%6.2

1%3.8

6 yrs

Split

BBB

BB5.5

0%-0

.77%

5.78%

0.10%

10.85

%36

.30%

462

bp6.2

1%6.7

3%3.9

0 yrs

BBSp

lit BB

6.30%

-1.98

%6.7

2%0.3

0%11

.54%

9.69%

549

bp6.8

9%7.9

2%3.4

7 yrs

Split

BBB

5.63%

-1.74

%7.1

4%0.4

1%11

.66%

32.82

%73

0 bp

8.85%

8.86%

3.64

yrsB

Split

B10

.95%

-6.66

%8.2

2%-3

.00%

8.72%

4.41%

1054

bp

11.60

%9.2

9%2.3

5 yrs

Split

BCC

C/Sp

lit CC

C10

.86%

-2.76

%11

.61%

1.47%

22.09

%6.3

8%94

6 bp

11.13

%9.5

3%3.6

0 yrs

CCC/

Split

CCC

Not R

ated

6.17%

-2.12

%13

.15%

2.50%

20.52

%2.5

0%63

3 bp

8.50%

8.94%

4.35

yrsNo

t Rate

d

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A105

U

JP

Morg

an E

uro

pean A

ggre

gate

Hig

h-Y

ield

Index p

rofile

1. Th

roug

h No

vemb

er 3

0, 20

10.

Sour

ce: J

.P. M

orga

n.

As o

f Nov

embe

r 30,

2010

Tota

l Ret

urn

Mark

etCu

rrent

Aver

age

1Q10

2Q10

3Q10

4Q10

120

101

Weig

htST

WYT

WYi

eldDu

ratio

nRa

ting

Ratin

g Ti

erUp

per T

ier (S

plit B

BB, B

B)5.3

2%-0

.59%

5.76%

0.03%

10.77

%43

.43%

442

bp5.9

9%6.6

5%3.8

9 yrs

BBMi

ddle

Tier (

Split

BB, B

, Spli

t B)

6.25%

-2.16

%7.0

9%0.0

3%11

.37%

46.92

%72

3 bp

8.71%

8.71%

3.48

yrsB

Lowe

r Tier

(CCC

, Defa

ult)

14.57

%-2

.23%

9.65%

1.38%

24.52

%7.1

4%96

2 bp

11.28

%9.5

7%3.5

8 yrs

CCC/

Split

CCC

Secu

rity T

ype

Cash

Pay

6.64%

-1.55

%7.1

5%0.2

5%12

.77%

98.59

%61

2 bp

7.68%

7.87%

3.71

yrsSp

lit BB

Defer

red

4.11%

0.26%

5.12%

0.87%

10.68

%0.7

2%76

0 bp

7.81%

7.81%

0.64

yrsSp

lit B

Defau

lt41

.25%

-2.21

%-5

.05%

0.60%

31.93

%0.6

9%

Size

$0mn

to $

100m

n3.4

3%2.2

5%4.2

8%1.1

5%11

.55%

0.42%

2219

bp

26.03

%12

.71%

2.10

yrsB

$101

mn to

$29

9mn

5.84%

-0.07

%5.6

6%1.5

6%13

.49%

14.98

%68

0 bp

8.29%

8.60%

2.96

yrsB

$300

mn a

nd O

ver

7.24%

-1.84

%7.3

0%0.0

1%12

.96%

84.60

%59

4 bp

7.48%

7.72%

3.83

yrsSp

lit BB

Seni

ority

Senio

r Sec

ured

6.78%

-2.45

%7.4

5%0.0

3%11

.96%

34.91

%73

8 bp

8.93%

9.00%

3.68

yrsSp

lit BB

Senio

r6.9

6%-1

.14%

6.44%

0.58%

13.19

%58

.78%

538

bp6.9

2%7.2

0%3.6

7 yrs

Split

BBSe

nior S

ubor

dinate

7.33%

-0.94

%9.4

4%0.0

0%16

.37%

4.99%

620

bp7.7

0%7.7

2%3.5

8 yrs

BJu

nior S

ubor

dinate

3.71%

-0.94

%8.9

8%-6

.33%

4.88%

1.32%

620

bp8.1

0%7.8

2%5.3

1 yrs

Split

BB

Dura

tion

<2 yr

s3.6

7%-1

.08%

3.85%

0.41%

6.94%

16.33

%62

1 bp

7.12%

7.83%

1.29

yrsSp

lit BB

2 - 3

yrs

6.54%

-1.63

%6.0

9%-0

.66%

10.45

%14

.46%

764

bp8.6

1%7.7

7%2.5

1 yrs

Split

BB3

- 4 yr

s8.4

6%-1

.08%

7.65%

0.73%

16.33

%28

.09%

610

bp7.5

2%8.1

0%3.5

0 yrs

Split

BB4

- 5 yr

s7.0

4%-3

.08%

6.99%

0.63%

11.70

%24

.42%

590

bp7.7

1%7.8

7%4.4

1 yrs

Split

BB5

- 6 yr

s6.8

7%0.0

9%8.2

5%-0

.59%

15.11

%9.6

8%55

2 bp

7.63%

7.57%

5.41

yrsSp

lit BB

6 - 7

yrs

2.02%

0.99%

12.70

%0.5

3%16

.73%

2.17%

446

bp7.2

1%7.4

5%6.6

6 yrs

BB7

- 10

yrs5.6

9%-1

.51%

12.93

%2.8

0%20

.85%

3.56%

460

bp7.7

6%7.6

5%8.4

1 yrs

Split

BB







December 2010

A106

V

1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.

52 Week Price Market YTD102

Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnAutomotiveAmerican Axle & Manufacturing AXL 12.12 6.03 8.02 9.22 71.4 658.1 15.0%ArvinMeritor ARM 18.78 8.00 11.18 16.58 94.1 1,559.8 48.3%Asbury Automotive Group ABG 16.92 9.48 11.53 14.42 32.7 472.0 25.1%AutoNation AN 27.00 16.99 19.15 23.22 148.0 3,436.5 21.3%Avis Budget Car Rental CAR 16.85 8.57 13.12 11.61 102.9 1,194.2 -11.5%BorgWarner BWA 59.38 29.69 33.22 56.11 113.8 6,382.9 68.9%Cooper Standard Automotive COSH 49.55 27.45 35.75 42.50 18.4 781.0 18.9%Cooper Tire & Rubber Co CTB 23.23 16.05 20.05 19.61 61.5 1,205.8 -2.2%Exide Technologies XIDE 8.72 3.60 7.11 5.89 76.8 452.1 -17.2%Ford Motor Company F 17.42 8.40 10.00 14.13 3,401.8 48,067.5 41.3%Goodyear Tire & Rubber GT 16.39 9.10 14.10 10.22 242.9 2,482.6 -27.5%Hertz HTZ 15.60 8.36 11.92 11.32 412.5 4,669.7 -5.0%KAR Auction Services KAR 15.84 11.03 13.79 12.88 135.3 1,743.2 -6.6%Lear LEA 91.88 39.29 79.35 88.40 50.8 4,491.2 11.4%LKQ Corp LKQX 22.93 17.06 19.59 21.75 144.4 3,141.2 11.0%Motors Liquidation Co MTLQQ 0.88 0.06 0.47 0.28 610.6 171.0 -40.6%Penske Auto Group PAG 17.70 10.89 15.18 13.45 92.1 1,238.7 -11.4%PEP Boys-Manny Moe & Jack PBY 13.42 7.76 8.46 11.69 52.5 613.6 38.2%Sonic Automotive SAH 13.25 8.21 10.39 10.92 40.7 444.5 5.1%Stoneridge Inc SRI 13.58 6.00 9.01 11.00 26.0 285.7 22.1%Tenneco Automotive TEN 36.71 14.14 17.73 32.62 60.0 1,956.8 84.0%Tower Automotive Holdings TOWR 14.97 12.50 13.00 12.85 18.7 240.5 -1.2%TRW Automotive TRW 52.17 21.10 23.88 45.69 121.7 5,560.5 91.3%BroadcastingBelo Corporation BLC 9.45 4.49 5.44 5.77 92.0 530.8 6.1%Clear Channel Outdoor Holdings CCO 13.89 8.08 10.39 11.88 40.9 485.7 14.3%Entravision Communications EVC 3.60 1.51 2.16 2.12 53.0 112.3 -1.9%Fisher Communications FSCI 19.75 12.00 16.25 18.28 8.8 160.6 12.5%Gray Television GTN 4.88 0.52 3.75 1.95 51.4 100.2 -48.0%Lamar Media LAMR 38.73 23.83 31.09 33.99 77.3 2,628.2 9.3%LIN Television TVL 8.22 3.46 4.46 4.13 31.4 129.9 -7.4%Nexstar Finance NXST 7.56 2.50 4.05 5.66 15.0 85.1 39.8%Radio One ROIA 5.40 0.61 3.03 1.22 2.9 3.5 -59.7%Salem Communications SALM 5.99 2.10 5.99 3.22 18.6 59.9 -46.2%Sinclair Broadcast SBGI 8.53 3.08 4.03 7.99 49.4 395.0 98.3%Cable and SatelliteCablevision Systems CVC 30.08 19.95 21.32 26.74 245.7 6,569.9 25.4%Charter Communications Operating CHTR 39.99 29.10 35.50 32.48 112.4 3,650.6 -8.5%Digitalglobe DGI 33.16 20.30 24.20 32.65 46.0 1,502.2 34.9%DISH Network Corp DISH 24.16 17.32 20.77 19.87 204.6 4,065.9 -4.3%Geoeye GEOY 47.50 23.30 27.88 44.27 22.1 979.0 58.8%Hughes Network LLC HUGH 35.80 21.19 26.03 28.39 21.8 619.7 9.1%Loral Space & Communications LORL 65.57 26.35 31.61 55.63 20.7 1,153.2 76.0%Mediacom Broadband MCCC 7.65 3.85 4.47 6.90 41.3 284.7 54.4%Sirius XM Radio SIRI 1.61 0.56 0.60 1.50 3,925.9 5,888.9 150.0%TerreStar Networks TSTRQ 1.49 0.06 0.94 0.13 139.5 17.4 -86.7%ViaSat VSAT 42.00 26.04 31.78 41.17 40.6 1,670.9 29.5%Virgin Media VMED 26.63 13.48 16.83 25.43 322.7 8,205.1 51.1%ChemicalsAmerican Pacific APFC 8.92 3.84 7.41 5.98 7.5 45.1 -19.3%Ashland Inc ASH 63.73 34.58 39.62 51.63 78.7 4,064.9 30.3%

JPMorgan High-Yield Equity IndexYear-to-date 2010 performance







December 2010

A107

V



Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnBraskem SA BAK 22.23 10.17 16.41 20.85 174.5 3,638.4 27.1%Celanese Holdings CE 39.40 23.47 35.65 35.65 155.7 5,549.4 0.0%CF Industries CF 130.00 57.56 83.67 122.53 71.1 8,715.4 46.4%Chemtura CEMJQ 1.78 0.28 1.23 0.37 242.9 89.9 -69.9%Compass Minerals International Inc CMP 82.75 62.79 67.19 78.87 32.8 2,587.0 17.4%Ferro Corp FOE 15.50 5.95 7.37 13.72 86.2 1,182.4 86.2%Georgia Gulf GGC 21.79 11.11 17.38 20.23 34.0 687.1 16.4%Huntsman Corp HUN 14.61 8.17 11.29 13.85 239.2 3,313.1 22.7%Koppers Industries KOP 33.56 19.77 30.44 27.88 20.6 573.4 -8.4%KRATON Polymers KRA 34.85 12.76 13.56 32.46 31.3 1,014.5 139.4%LyondellBasell Industries NV LYB 29.10 14.86 22.30 26.86 332.3 8,926.3 20.4%Methanex MEOH 30.08 17.36 19.49 27.77 92.2 2,561.3 42.5%Nalco NLC 30.50 20.15 25.51 28.18 138.3 3,898.3 10.5%NewMarket Corp NEU 126.89 81.80 114.77 118.52 14.3 1,693.8 3.3%Olin Corp OLN 22.39 14.35 17.52 19.99 79.6 1,590.3 14.1%Omnova Solutions Omn 8.73 5.09 7.98 7.98 44.9 358.4 0.0%PolyOne POL 13.99 6.50 7.47 12.92 93.5 1,208.6 73.0%Rockwood Specialties ROC 37.67 20.20 23.56 33.92 75.6 2,565.9 44.0%Solutia SOA 22.05 10.16 12.70 18.11 121.8 2,205.4 42.6%Sterling Chemicals SCHI 18.00 1.50 7.00 3.50 2.8 9.9 -50.0%Tronox Worldwide TRXAQ 1.45 0.12 0.39 0.65 18.6 12.1 66.7%Westlake Chemical WLK 38.30 17.34 24.93 31.96 66.2 2,115.3 28.2%Consumer ProductsAcco Brands Corp ABD 9.47 4.63 7.28 6.23 54.9 342.0 -14.4%American Greetings AM 26.21 17.05 21.79 19.37 37.2 720.0 -11.1%Blyth Inc BTH 59.93 25.91 32.61 40.12 8.2 330.2 23.0%Brunswick Corp BC 22.89 9.78 12.71 15.81 88.7 1,401.7 24.4%Central Garden & Pet CENT 11.85 8.28 10.70 10.35 16.8 174.1 -3.3%Church & Dwight CHD 70.14 57.50 60.45 65.85 71.1 4,684.1 8.9%Eastman Kodak EK 9.08 3.49 4.22 4.70 268.9 1,264.4 11.4%Elizabeth Arden RDEN 23.74 13.69 14.43 20.43 28.1 575.1 41.6%Hanesbrands HBI 31.45 20.95 24.11 24.80 95.8 2,375.3 2.9%Jarden Corp JAH 35.11 25.50 30.91 32.06 91.9 2,945.5 3.7%Jones Apparel JNY 24.72 13.05 16.06 14.46 87.2 1,260.5 -10.0%Libbey Glass LBY 15.25 6.01 7.65 13.29 19.7 261.5 73.7%Oxford Industries OXM 25.62 15.00 20.68 23.03 16.6 381.4 11.4%Perry Ellis International PERY 26.87 12.79 15.06 22.48 14.1 317.2 49.3%Phillips Van-Heusen PVH 68.18 38.25 40.68 61.34 66.4 4,070.1 50.8%Prestige Brands PBH 11.75 6.70 7.86 10.75 50.0 538.0 36.8%Quiksilver Inc ZQK 6.09 1.63 2.02 4.17 163.9 683.6 106.4%Revlon Inc REV 19.87 9.61 17.01 11.42 48.8 557.0 -32.9%Scotts Miracle-Gro Company SMG 54.99 37.50 39.31 53.40 67.0 3,575.5 35.8%Sealy Mattress ZZ 4.24 2.30 3.16 2.63 97.5 256.4 -16.8%Spectrum Brands SPB 31.60 21.05 22.50 28.35 51.0 1,446.4 26.0%Steinway Musical Instruments LVB 20.76 13.45 15.91 17.01 11.6 196.9 6.9%Unifi UFI 15.93 8.37 11.64 14.19 20.1 284.6 21.9%Diversified MediaCenveo Inc CVO 11.60 4.80 8.75 5.50 62.7 345.0 -37.1%Dex One Corporation DEXO 35.00 6.30 27.92 7.01 50.0 350.7 -74.9%Gannett GCI 19.69 9.63 14.85 11.85 238.9 2,831.3 -20.2%Interpublic Group IPG 12.25 6.09 7.38 10.35 488.7 5,058.4 40.2%Lions Gate LGF 7.84 4.81 5.81 7.23 136.6 987.7 24.4%








December 2010

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnMcClatchy mnI 7.16 2.41 3.54 2.76 60.2 166.0 -22.0%MDC Communications MDCA 14.15 8.20 8.34 13.89 28.6 397.8 66.5%Media General MEG 13.60 4.35 8.18 5.51 22.5 124.1 -32.6%New York Times NYT 14.87 7.06 12.36 7.67 145.1 1,112.8 -37.9%Scholastic Corp SCHL 31.50 22.21 29.83 29.44 34.4 1,011.4 -1.3%Valassis Communications VCI 38.43 14.32 18.26 33.00 49.7 1,638.6 80.7%Warner Music Group WMG 8.02 4.00 5.66 5.20 155.0 805.7 -8.1%EnergyAllis-Chalmers Energy ALY 5.98 1.79 3.77 5.14 73.4 377.4 36.3%Alon Refining Krotz Springs ALJ 8.08 4.77 6.84 5.67 54.2 307.2 -17.1%AmeriGas Partners APU 48.18 35.00 39.33 46.48 57.1 2,653.5 18.2%Anadarko Petroleum APC 75.07 34.54 57.05 61.57 495.6 30,513.6 7.9%Atlas Energy Resources ATLS 44.37 24.32 30.14 29.15 78.4 2,286.1 -3.3%Atlas Pipeline Partners APL 24.82 7.04 9.81 19.79 53.3 1,055.1 101.7%ATP Oil & Gas ATPG 23.97 8.16 18.23 14.35 51.3 735.9 -21.3%Basic Energy Services BAS 13.46 6.50 8.90 11.06 41.3 456.3 24.3%Berry Petroleum Co BRY 39.25 24.27 29.15 34.21 53.0 1,814.2 17.4%Bill Barrett Corp BBG 39.93 26.78 31.11 37.75 46.4 1,751.9 21.3%BreitBurn Energy Partner BBEP 20.89 9.85 19.45 19.45 53.3 1,036.8 0.0%Brigham Exploration BEXP 25.75 10.01 13.55 21.10 116.9 2,466.2 55.7%Bristow Group BRS 43.09 28.32 38.45 38.78 36.2 1,404.9 0.9%Chart Industries GTLS 26.43 13.85 16.52 23.30 28.7 668.7 41.0%Cheniere Energy Inc LNG 5.40 1.80 2.42 3.28 57.6 189.1 35.5%Chesapeake Energy CHK 29.22 19.62 25.88 21.68 653.9 14,176.9 -16.2%Cie Generale de Geophysique-Veritas CGV 33.39 16.42 21.25 23.29 151.4 3,526.5 9.6%Cimarex XEC 83.25 44.63 52.97 76.75 84.7 6,500.8 44.9%Clayton William Energy CWEI 74.00 26.39 35.03 59.72 12.2 725.8 70.5%Coffeyville Resources CVI 11.92 6.50 8.75 9.52 86.3 822.0 8.8%Complete Production Service CPX 29.13 9.28 13.00 23.43 77.9 1,825.2 80.2%Comstock Resources CRK 44.52 19.54 40.57 22.35 47.3 1,057.5 -44.9%Concho Resources CXO 80.07 40.19 44.90 68.67 99.9 6,859.0 52.9%Continental Resources CLR 52.53 36.25 42.89 47.53 170.0 8,082.1 10.8%Copano Energy CPNO 30.00 19.00 23.91 27.96 65.8 1,838.5 16.9%Crosstex Energy XTEX 14.66 5.25 9.48 13.99 50.2 702.4 47.6%Delta Petroleum DPTR 1.95 0.67 1.04 0.73 285.2 208.8 -29.6%Denbury Resources DNR 19.83 12.78 14.80 17.02 399.7 6,802.5 15.0%Dresser-Rand Group DRC 39.99 27.42 31.61 34.22 80.5 2,756.2 8.3%Dune Energy Inc DUNR 0.55 0.08 0.23 0.17 40.3 6.7 -26.7%El Paso EP 13.96 8.94 9.83 13.26 704.1 9,336.9 34.9%Energy Transfer Equity ETE 40.46 27.25 37.12 39.11 222.9 8,719.2 5.4%Energy XXI Gulf Coast EXXI 26.80 7.50 11.55 21.72 69.0 1,499.7 88.1%Exco Resources XCO 22.52 13.25 21.23 14.83 212.3 3,148.5 -30.1%Ferrellgas FGP 27.19 19.05 21.13 26.10 69.5 1,815.2 23.5%Forest Oil FST 35.61 17.15 22.25 30.74 113.4 3,485.4 38.2%Frontier Oil FTO 15.70 11.03 12.04 13.25 105.7 1,400.8 10.0%Geokinetics GOK 13.22 3.55 9.62 6.82 17.7 120.7 -29.1%Global Geophysical Services GGS 12.47 5.86 12.00 7.17 36.0 258.4 -40.3%Gulfmark Offshore GLF 35.66 23.27 28.31 29.61 26.2 775.7 4.6%Helix Energy Solutions HLX 17.00 8.38 11.75 12.69 105.5 1,338.2 8.0%Hercules Offshore HERO 5.85 2.05 4.78 2.36 114.8 270.9 -50.6%Holly Corp HOC 34.89 23.32 25.63 32.73 53.2 1,741.6 27.7%








December 2010

A109

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnHolly Energy Partners HEP 53.74 36.26 39.84 50.25 22.1 1,109.4 26.1%Hornbeck Offshore Services HOS 26.14 12.63 23.28 22.24 26.5 588.2 -4.5%Inergy NRGY 43.95 30.35 35.68 39.26 114.0 4,477.2 10.0%Key Energy KEG 11.54 7.07 8.79 9.85 141.4 1,393.1 12.1%Linn Energy LLC LINE 37.24 12.60 27.88 34.99 147.4 5,158.2 25.5%Mariner Energy ME 26.72 11.35 11.61 24.92 103.3 2,573.4 114.6%Markwest Energy Partners MWE 43.33 20.96 29.27 38.12 71.4 2,723.3 30.2%Martin Midstream Partners MMLP 35.99 25.51 31.09 34.39 17.7 609.0 10.6%McMoRan Exploration MMR 19.80 6.77 8.02 16.84 95.5 1,607.8 110.0%Newfield Exploration NFX 66.70 39.26 48.23 59.62 133.9 7,981.7 23.6%Niska Gas Storage US/Canada NKA 20.50 17.01 20.50 19.94 33.8 674.1 -2.7%Parker Drilling PKD 5.85 3.43 4.95 4.23 116.2 491.6 -14.5%Penn Virginia PVA 29.25 13.38 21.29 14.82 45.5 675.0 -30.4%Petrobras Energia SA PZE 20.83 12.44 15.63 17.99 101.0 1,816.3 15.1%Petrohawk Energy Corp HK 27.36 13.89 23.99 16.99 302.4 5,137.9 -29.2%Petroleum Development Corporation PETD 38.75 16.46 18.21 31.26 19.3 602.5 71.7%PetroQuest Energy Inc PQ 8.84 4.70 6.13 5.58 63.2 352.6 -9.0%PHI Inc PHII 24.10 13.15 21.14 16.82 2.9 48.0 -20.4%Pioneer Drilling Company PDC 9.90 5.00 7.04 6.16 54.2 333.7 -12.5%Pioneer Natural Resource PXD 78.46 39.13 48.17 69.80 116.1 8,103.5 44.9%Plains Exploration & Production PXP 36.60 19.28 27.66 27.87 140.1 3,904.6 0.8%Pride International PDE 34.36 21.51 31.91 30.32 175.7 5,328.0 -5.0%QEP Resources QEP 37.00 27.90 30.83 33.03 175.6 5,800.8 7.1%Quicksilver Resources KWK 16.59 10.53 15.01 14.97 170.3 2,549.6 -0.3%Range Resources RRC 54.65 32.25 49.85 37.39 160.1 5,985.1 -25.0%Regency Energy Partners RGNC 26.58 18.70 20.95 25.33 137.2 3,475.7 20.9%Repsol YPF SA YPF 45.99 33.70 43.75 39.84 393.3 15,669.6 -8.9%Rosetta Resources ROSE 33.60 14.68 24.90 23.91 52.7 1,260.0 -4.0%Sandridge Energy SD 11.08 3.87 9.43 5.47 404.6 2,213.3 -42.0%SEACOR Holdings CKH 103.50 67.01 76.25 94.75 21.2 2,012.7 24.3%Southwestern Energy SWN 52.82 30.61 48.20 33.84 346.8 11,735.1 -29.8%Star Gas Partners SGU 5.84 3.71 4.14 4.93 68.3 336.6 19.1%Stone Energy SGY 20.63 10.30 18.05 15.63 48.5 758.6 -13.4%Suburban Propane Partners SPH 57.24 39.16 47.08 54.50 35.4 1,928.4 15.8%Superior Energy Services Inc SPN 30.15 18.02 24.29 27.62 78.8 2,176.9 13.7%Swift Energy SFY 38.65 21.05 23.96 31.85 41.6 1,326.1 32.9%Targa Resources NGLS 31.39 19.35 24.31 29.64 75.5 2,239.2 21.9%Tesoro Corp TSO 15.33 10.40 13.55 12.96 143.2 1,855.4 -4.4%Vantage Drilling VTG 1.98 0.99 1.61 1.72 289.1 497.3 6.8%Venoco VQ 21.70 10.36 13.04 15.48 55.7 861.6 18.7%W&T Offshore WTI 16.63 8.15 11.70 10.88 74.6 811.9 -7.0%Western Refining WNR 8.75 4.01 4.71 6.65 88.3 587.2 41.2%Whiting Petroleum WLL 109.12 59.30 71.45 100.44 58.5 5,880.7 40.6%Williams Companies WMB 24.66 17.53 21.08 21.51 584.8 12,578.5 2.0%FinanacialAdvanta Capital Trust I ADVNQ 0.09 0.00 0.05 0.01 14.4 0.1 -85.6%Aircastle Ltd AYR 12.38 7.45 7.85 9.21 79.5 731.9 17.3%Ambac Financial ABKFQ 3.39 0.02 0.83 0.83 302.1 249.7 -0.4%American Capital ACAS 7.72 2.31 2.44 6.98 341.3 2,382.0 186.1%American International Group AIG 44.51 22.16 29.98 42.01 698.0 29,323.4 40.1%CapitalSource CSE 6.63 3.62 3.97 6.11 323.3 1,975.2 53.9%CB Richard Ellis Service CBG 20.40 10.54 13.57 18.35 322.9 5,925.1 35.2%








December 2010

A110

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnCIT Group CIT 44.10 24.83 27.61 43.33 200.3 8,676.8 56.9%Colonial Bank CBCGQ 0.07 0.01 0.01 0.01 202.7 2.6 -11.0%Colonial Realty CLP 19.79 10.27 11.73 17.93 77.7 1,392.9 52.9%Credit Acceptance Corp CACC 63.45 33.21 40.17 58.81 27.1 1,596.2 46.4%Developers Diversified Realty DDR 14.39 8.11 9.26 12.92 256.2 3,309.6 39.5%Discover Financial Services DFS 19.16 12.11 14.71 17.65 544.6 9,612.0 20.0%Dollar Financial Group DLLR 27.21 14.90 23.64 25.02 24.4 610.6 5.8%Entertainment Properties Trust EPR 49.73 30.25 38.07 46.23 46.5 2,151.4 21.4%E-Trade Financial ETF 19.90 11.15 17.60 14.30 220.8 3,157.7 -18.8%Fidelity National Information Services FIS 30.78 22.13 26.82 27.10 301.0 8,156.0 1.0%First Citizens Bancorporation FCBN 540.00 400.00 490.00 514.00 0.9 443.3 4.9%First Citizens BancShares FCNCA 213.99 149.62 164.01 186.44 8.8 1,632.6 13.7%First Industrial LP FR 9.33 3.69 5.23 7.33 63.8 467.4 40.2%Forest City Enterprises FCE/A 16.43 10.11 11.78 14.59 135.7 1,979.7 23.9%General Growth Properties GGP 16.08 3.33 11.56 13.33 937.0 12,492.4 15.3%Huntington National Bank HBAN 7.40 3.59 3.65 5.66 717.1 4,059.0 55.1%Icahn Enterprises LP IEP 51.65 10.28 39.95 34.60 84.7 2,931.6 -13.4%iStar Financial SFI 7.82 2.34 2.56 4.57 92.3 421.9 78.5%Janus Capital Group JNS 15.72 8.63 13.45 10.56 183.7 1,940.4 -21.5%Lazard Group LLC LAZ 41.25 25.70 37.97 36.90 119.3 4,401.7 -2.8%Leucadia National LUK 28.37 18.80 23.79 25.42 243.3 6,185.1 6.9%MBIA MBI 13.17 3.22 3.98 11.21 199.9 2,240.4 181.7%MGIC Investment Corp MTG 13.80 3.90 5.78 8.82 200.4 1,768.0 52.6%Penson Worldwide PNSN 10.54 4.37 6.76 5.15 28.4 146.2 -23.8%Phoenix Life Insurance PNX 3.83 1.61 2.78 2.10 116.1 243.8 -24.5%PMI Group PMI 7.75 1.81 2.52 3.34 161.2 538.7 32.6%Popular North America BPOP 4.23 1.70 2.26 2.73 1,022.7 2,791.9 20.8%Radian Group RDN 18.68 4.19 7.31 7.59 132.9 1,009.0 3.8%SL Green Realty Corp SLG 70.89 42.30 50.24 65.71 78.3 5,142.1 30.8%SLM Corp SLM 13.96 9.85 11.27 11.90 485.6 5,778.5 5.6%Susquehanna Bancshares SUSQ 12.03 5.43 5.89 7.91 129.8 1,026.4 34.3%Synovus Financial SNV 3.92 1.45 2.05 2.16 785.1 1,695.8 5.4%Thornburg Mortgage THMRQ 0.02 0.00 0.01 0.01 423.4 4.2 11.1%Washington Mutual Bank WAMUQ 0.70 0.04 0.14 0.17 1,705.4 284.8 19.7%Western Alliance Bancorp WAL 9.64 3.45 6.12 6.04 81.5 492.4 -1.3%Wilmington Trust WL 20.23 3.95 11.09 7.11 91.5 650.4 -35.9%Food and BeveragesAlliance One International AOI 5.96 3.17 4.88 4.42 87.1 384.9 -9.4%B&G Foods BGS 12.92 5.00 9.18 12.25 47.6 583.5 33.4%Brinker International EAT 21.12 13.23 14.92 18.54 92.3 1,711.5 24.3%Carrols TAST 8.02 4.00 7.07 6.76 21.6 146.2 -4.4%CEDC Finance Corp. International CEDC 39.95 20.44 28.41 24.97 70.7 1,765.0 -12.1%Chiquita Brands International CQB 19.59 11.49 18.04 13.27 45.2 599.6 -26.4%Constellation Brands STZ 20.42 14.60 15.93 19.73 187.7 3,702.5 23.9%Dean Foods DF 18.79 7.41 18.04 10.40 182.2 1,894.7 -42.4%Del Monte DLM 16.14 8.92 11.34 14.34 193.7 2,777.8 26.5%DineEquity Inc DIN 52.29 19.97 44.39 44.39 18.0 800.0 0.0%Dole Food DOLE 12.78 8.57 12.41 9.22 88.2 813.5 -25.7%Landrys Restaurants LNY 25.56 17.68 21.29 24.51 0.0 0.0 15.1%O Charleys CHUX 10.00 4.38 6.55 7.50 21.8 163.3 14.5%Reddy Ice FRZ 6.12 2.04 4.29 3.49 22.9 80.1 -18.6%Smithfield Foods SFD 21.48 13.34 15.19 16.75 166.0 2,780.7 10.3%








December 2010

A111

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnTreehouse Foods THS 51.05 33.00 43.03 46.70 35.4 1,653.2 8.5%Tyson Foods TSN 20.57 11.94 12.27 15.55 307.4 4,780.6 26.7%Universal Corp UVV 56.21 35.36 45.61 41.44 23.8 986.0 -9.1%Vector Group VGR 19.81 12.86 14.00 18.70 74.9 1,400.8 33.6%Viskase Companies VKSC 5.00 1.60 3.10 4.80 29.5 141.4 54.8%Wendys International WEN 5.55 3.83 4.69 4.60 418.4 1,924.5 -1.9%Gaming Lodging and LeisureAmeristar Casino Inc ASCA 20.69 13.44 15.23 17.90 58.2 1,042.5 17.5%Boyd Gaming BYD 14.85 6.70 8.37 8.31 86.2 716.6 -0.7%Cedar Fair FUN 15.80 6.82 13.50 13.97 55.3 773.0 3.5%Cinemark USA CNK 19.80 12.14 14.37 17.55 113.4 1,990.9 22.1%Felcor Lodging FCH 8.99 3.15 3.60 6.15 97.0 596.9 70.8%Gaylord Entertainment GET 34.90 16.75 19.75 33.34 47.6 1,586.7 68.8%Global Cash Access GCA 9.26 2.74 7.49 3.64 64.9 236.1 -51.4%Great Wolf Resorts Operating Partnership WOLF 3.75 1.78 3.21 2.35 32.5 76.3 -26.8%Host Hotels & Resorts HST 17.21 9.75 11.67 15.89 665.9 10,581.7 36.2%Isle of Capri Casinos ISLE 12.76 6.59 7.48 8.04 32.7 263.3 7.5%Las Vegas Sands LVS 55.47 14.87 14.94 45.88 684.7 31,415.4 207.1%Live Nation Entertainment LYV 16.90 6.83 15.69 9.49 173.6 1,647.2 -39.5%MCE Finance MPEL 7.13 3.26 4.29 6.27 531.9 3,334.8 46.2%MGM Mirage MGM 16.66 8.92 9.12 10.93 482.4 5,272.3 19.8%MTR Gaming Group MNTG 2.41 1.14 1.30 1.93 27.5 53.0 48.5%Penn National Gaming PENN 35.78 22.35 27.19 33.19 78.0 2,589.5 22.1%Pinnacle Entertainment PNK 14.57 7.07 8.98 12.80 61.4 786.1 42.5%Regal Cinemas RGC 18.49 11.59 14.44 13.50 130.6 1,762.7 -6.5%Royal Caribbean Cruises RCL 43.31 21.97 25.28 39.54 215.2 8,510.0 56.4%Scientific Games SGMS 17.01 7.33 14.55 7.92 91.6 725.5 -45.6%Speedway Motorsports TRK 18.17 12.80 17.62 15.30 41.7 637.9 -13.2%Starwood Hotels & Resorts HOT 60.00 30.72 36.57 54.14 190.7 10,321.8 48.0%Town Sports International CLUB 4.24 1.89 2.33 3.01 22.7 68.2 29.2%Vail Resorts MTN 49.00 32.37 37.80 40.56 35.9 1,456.6 7.3%Wyndham Worldwide WYN 30.83 18.05 20.17 28.75 175.0 5,030.3 42.5%Wynn Resorts Ltd WYNN 117.50 58.21 58.23 107.16 123.9 13,282.1 84.0%HealthcareAlere ALR 44.87 25.36 27.97 29.55 84.8 2,507.3 5.6%Alliance Healthcare Services AIQ 6.30 3.32 5.71 3.94 52.8 208.1 -31.0%Angiotech Pharmaceutical ANPI 1.43 0.20 1.24 0.51 85.2 43.2 -59.1%Bio-Rad Laboratories BIO 125.01 80.00 96.46 90.62 22.6 2,049.5 -6.1%BioScrip BIOS 9.84 4.01 7.99 5.63 53.7 302.3 -29.5%Boston Scientific BSX 9.79 5.04 9.00 6.39 1,520.1 9,713.3 -29.0%Centene Corp CNC 25.95 17.60 21.17 22.32 51.7 1,154.3 5.4%Community Health Systems CYH 42.30 25.63 35.60 30.08 92.5 2,783.8 -15.5%Cooper Companies COO 51.32 31.02 38.12 49.34 45.7 2,253.1 29.4%Coventry Health Care CVH 27.27 16.61 24.29 23.42 148.5 3,477.6 -3.6%Davita DVA 73.79 56.40 58.74 71.75 97.2 6,974.1 22.1%Elan Pharmaceuticals ELN 8.24 4.25 6.52 5.45 585.1 3,188.6 -16.4%Gentiva Health Services GTIV 30.88 18.93 20.55 23.28 29.9 695.5 13.3%Hanger Orthopedic Group HGR 19.97 13.01 13.83 18.72 32.5 608.0 35.4%Health Management Associates HMA 9.81 6.00 7.27 8.01 250.6 2,007.5 10.2%Health Net HNT 29.75 12.90 23.29 26.89 95.6 2,569.4 15.5%Healthsouth HLS 22.22 16.20 18.77 18.07 93.4 1,688.6 -3.7%Invacare Corp IVC 30.31 19.58 24.94 27.00 31.3 845.6 8.3%








December 2010

A112

V



Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnLife Technologies LIFE 56.19 41.10 50.76 50.18 186.7 9,370.0 -1.1%Lifepoint Hospitals Holdings LPNT 39.61 28.48 32.53 33.92 52.7 1,787.6 4.3%Merge Healthcare MRGE 4.25 1.92 2.48 3.34 83.3 278.2 34.7%Mylan Inc MYL 23.63 16.55 19.44 20.32 435.2 8,841.5 4.5%Omega Healthcare Investors OHI 23.95 17.00 19.45 23.00 98.5 2,265.2 18.3%Omnicare OCR 30.63 19.14 24.18 24.12 116.3 2,804.7 -0.2%Owens & Minor OMI 32.80 25.52 28.62 28.48 63.3 1,803.8 -0.5%PDL BioPharma PDLI 6.35 4.54 5.13 5.22 139.7 729.1 1.8%Prospect Medical PZZ 8.81 3.60 4.25 8.44 21.2 178.8 98.6%Psychiatric Solutions PSYS 33.72 19.25 21.14 33.70 57.3 1,930.5 59.4%Radnet Management RDNT 4.20 1.80 3.68 2.16 37.0 79.9 -41.3%Res-Care RSCR 13.85 8.59 11.20 13.23 29.4 389.2 18.1%Rotech Healthcare ROHI 3.65 0.35 0.37 1.51 25.6 38.7 308.1%Rural/Metro RURL 11.00 5.08 6.00 8.62 25.3 218.3 43.7%Sabra Healthcare REIT Inc SBRA 19.10 12.01 16.49 17.11 24.9 426.5 3.7%Skilled Healthcare Group SKH 8.23 1.43 7.45 3.75 20.8 78.0 -49.7%Talecris Biotherapeutics TLCR 24.63 15.70 22.27 24.52 125.3 3,073.0 10.1%Tenet Healthcare THC 6.46 3.92 5.39 4.36 485.5 2,116.9 -19.1%Universal Health Services UHS 43.80 27.59 38.86 41.27 89.9 3,710.5 6.2%Valeant Pharmaceuticals VRX 27.40 12.94 13.96 26.55 295.3 7,839.3 90.2%Warner Chilcott WCRX 25.32 15.19 22.44 23.98 252.5 6,053.8 6.9%HousingBeazer Homes USA BZH 7.08 3.10 4.84 4.06 75.7 307.2 -16.1%CEMEX CX 12.12 7.46 11.37 8.77 1,000.0 8,770.1 -22.8%D.R. Horton DHI 15.44 9.41 10.87 10.43 318.3 3,320.0 -4.0%Desarrolladora Homex HXM 39.22 23.06 33.62 33.58 56.0 1,879.5 -0.1%Gibraltar Industries Inc ROCK 18.28 7.36 15.73 9.13 30.3 276.6 -42.0%Hovnanian Enterprises HOV 8.05 3.40 3.84 3.56 63.1 224.7 -7.3%Interface IFSIA 15.90 7.05 8.31 14.39 57.0 820.7 73.2%KB Home KBH 20.13 9.43 13.68 10.51 88.0 925.4 -23.2%Lennar Corp LEN 21.79 11.56 12.77 14.51 153.7 2,229.6 13.6%M/I Schottenstein Homes MHO 18.00 8.85 10.39 10.58 18.5 196.0 1.8%Masco Corp MAS 18.78 9.94 13.81 10.66 358.5 3,821.6 -22.8%Meritage Corporation MTH 25.44 15.19 19.33 18.31 32.1 588.2 -5.3%Mohawk Industries MHK 66.93 39.84 47.60 57.34 68.6 3,933.6 20.5%Nortek NTKS 46.00 39.00 42.00 41.68 15.0 625.2 -0.8%Owens Corning OC 37.36 22.56 25.64 27.04 124.7 3,370.7 5.5%Pulte Home PHM 13.91 6.66 10.00 7.85 382.2 3,000.5 -21.5%Ryland Group RYL 26.03 14.62 19.70 14.98 44.1 660.9 -24.0%Standard Pacific SPF 7.10 2.95 3.74 3.63 107.2 389.1 -2.9%Technical Olympic USA Inc TOUSQ 0.03 0.00 0.02 0.00 59.6 0.1 -87.5%Texas Industries TXI 40.86 27.28 34.99 34.17 27.8 950.2 -2.3%Toll Brothers TOL 23.67 15.57 18.81 17.94 165.9 2,975.9 -4.6%USG USG 25.59 11.21 14.05 12.68 102.9 1,304.4 -9.8%IndustrialsActuant ATU 23.97 15.76 18.53 22.47 68.2 1,531.6 21.3%Alliant Techsystems ATK 90.81 60.13 88.27 76.24 33.3 2,538.9 -13.6%Altra Holdings AIMC 16.60 9.81 12.35 14.80 26.8 396.0 19.8%American Railcar Industries ARII 19.49 8.76 11.02 15.41 21.3 328.3 39.8%Anixter International AXE 59.38 36.18 47.10 53.69 33.9 1,822.3 14.0%Baldor Electric BEZ 44.93 24.67 28.09 42.02 47.0 1,976.7 49.6%BE Aerospace BEAV 38.94 18.92 23.50 36.76 102.3 3,759.1 56.4%








December 2010

A113

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnBelden CDT BDC 32.79 20.18 21.92 27.90 46.9 1,309.6 27.3%CNH Global NV CNH 45.54 21.56 24.98 39.69 238.7 9,474.0 58.9%Coleman Cable CCIX 7.93 3.00 3.40 7.14 17.3 123.8 110.0%Columbus McKinnon CMCO 19.26 12.35 13.67 17.56 19.2 336.6 28.5%Commercial Vehicle CVGI 16.32 4.69 5.99 13.43 28.5 383.4 124.2%Communications & Power Industries CPII 16.20 9.27 13.24 14.12 16.8 237.4 6.6%Esterline Technologies ESL 64.19 36.75 40.77 60.44 30.1 1,817.8 48.2%Gardner Denver GDI 64.13 36.52 42.55 57.82 52.5 3,034.4 35.9%GenCorp GY 9.12 3.45 7.00 4.87 59.0 287.3 -30.4%General Cable BGC 34.33 21.68 29.42 27.94 52.1 1,456.0 -5.0%Greenbrier Companies GBX 20.18 7.42 10.38 18.20 21.9 398.2 75.3%Hawk HWK 50.26 15.55 17.61 49.83 7.8 386.6 183.0%Hexcel HXL 19.53 9.86 12.98 17.77 97.3 1,728.2 36.9%Interline Brands IBI 22.20 15.43 17.27 20.09 33.1 664.6 16.3%International Wire Group ITWG 15.50 5.18 10.04 11.88 9.9 117.4 18.3%Kratos Defense & Security Solutions KTOS 15.56 9.27 12.26 11.40 18.6 211.6 -7.0%L-3 Communications LLL 97.81 66.11 86.95 72.18 113.2 8,169.8 -17.0%Manitowoc MTW 16.43 8.48 9.97 11.14 131.4 1,463.2 11.7%ManTech International MANT 51.83 34.69 45.08 39.25 23.1 906.7 -12.9%Moog MOG/A 40.21 25.60 29.23 37.60 41.3 1,551.0 28.6%Mueller Water Products MWA 5.99 2.21 5.20 3.02 154.6 466.8 -41.9%Navistar International NAV 58.00 31.53 38.65 48.18 71.7 3,454.6 24.7%Ormat Funding ORA 44.13 25.80 37.84 28.51 45.4 1,295.2 -24.7%Oshkosh Corporation OSK 44.57 24.63 40.34 29.51 90.5 2,671.5 -26.8%Park-Ohio Industries PKOH 19.75 4.01 5.65 15.89 11.8 187.8 181.2%Polypore PPO 36.99 11.34 11.90 33.27 44.5 1,482.0 179.6%Spirit Aerosystems SPR 24.00 16.23 19.86 21.64 107.1 2,318.5 9.0%SPX SPW 72.27 50.80 54.70 67.06 50.2 3,366.5 22.6%Terex TEX 28.71 16.79 19.81 22.45 108.9 2,444.8 13.3%Thermadyne Holdings THMD 15.26 6.07 7.27 15.08 13.6 204.4 107.4%Titan International TWI 16.88 7.15 8.11 15.17 35.4 536.3 87.1%Transdigm TDG 69.14 40.40 47.49 66.27 49.4 3,276.9 39.5%Trimas Corp TRS 18.00 4.49 6.77 15.83 34.0 538.8 133.8%Trinity Industries TRN 27.09 14.95 17.44 22.73 79.8 1,812.7 30.3%Triumph Group TGI 90.31 46.99 48.25 83.59 24.2 2,022.9 73.2%Tutor Perini TPC 24.39 14.90 22.22 22.22 47.1 1,046.3 0.0%Valmont Industries VMI 88.08 65.30 78.45 78.85 26.4 2,077.7 0.5%Wabtec Corp WAB 50.88 36.16 40.84 46.84 47.9 2,245.6 14.7%WESCO Distribution WCC 47.10 25.30 27.01 42.82 42.5 1,819.1 58.5%Metals and MiningAK Steel AKS 26.75 11.34 21.35 12.59 110.0 1,384.8 -41.0%Alpha Natural Resources ANR 55.70 32.00 43.38 45.17 120.4 5,437.5 4.1%Arch Coal Inc ACI 30.65 19.09 22.25 24.59 162.5 3,995.4 10.5%Century Aluminum CENX 18.77 8.25 16.19 13.52 92.7 1,253.9 -16.5%Cloud Peak Energy CLD 22.20 12.53 14.56 17.37 31.5 546.8 19.3%Consol Energy CNX 58.00 31.08 49.80 36.76 225.8 8,302.0 -26.2%Headwaters Incorporated HW 6.84 2.63 6.52 3.40 60.4 205.5 -47.9%International Coal ICO 6.57 3.36 3.86 5.62 203.8 1,145.4 45.6%James River Coal Co JRCC 22.94 14.44 18.49 17.28 27.8 480.1 -6.5%Massey Energy MEE 54.80 25.85 42.01 42.07 102.1 4,296.4 0.1%Metals USA MUSA 21.52 10.96 21.00 11.96 37.0 442.8 -43.0%Patriot Coal PCX 24.25 9.76 16.67 13.49 91.0 1,227.5 -19.1%








December 2010

A114

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnPeabody Energy BTU 59.92 34.89 45.21 52.90 269.6 14,263.8 17.0%Penn Virginia Resource Partners PVR 28.65 10.01 23.67 26.95 52.3 1,409.3 13.9%Steel Dynamics STLD 20.47 12.89 17.72 14.54 217.1 3,155.9 -17.9%United States Steel Corp X 70.95 36.93 55.12 42.72 143.6 6,135.2 -22.5%Paper and PackagingAbitibiBowater ABWTQ 0.60 0.01 0.11 0.04 54.7 2.2 -63.6%AEP Industries AEPI 42.50 20.03 38.28 24.37 6.3 153.2 -36.3%Ball BLL 66.26 46.70 51.70 64.36 88.3 5,684.3 24.5%Boise Paper Holdings BZ 7.73 4.20 5.31 7.25 84.8 614.5 36.5%Cellu Tissue Holdings CLU 13.00 7.32 13.00 11.94 20.2 241.0 -8.2%Clearwater Paper CLW 85.25 29.24 54.97 80.75 11.5 926.9 46.9%Crown Americas Inc CCK 32.91 22.45 25.58 32.18 159.3 5,127.7 25.8%Domtar Corp UFS 83.98 46.24 55.41 79.36 41.6 3,301.1 43.2%Graphic Packaging GPK 4.10 2.51 3.47 3.66 343.6 1,257.7 5.5%Greif Bros GEF 61.31 46.01 53.98 58.74 24.7 1,453.4 8.8%Louisiana-Pacific LPX 13.44 5.83 6.98 7.74 132.0 1,021.3 10.9%MeadWestvaco Corp MWV 29.74 20.81 28.63 25.73 168.3 4,329.2 -10.1%Mercer International MERC 7.00 2.30 3.10 5.30 42.0 222.8 71.0%Neenah Paper NP 21.95 12.57 13.95 15.35 14.8 226.6 10.0%Owens-Illinois Inc OI 37.97 24.92 32.87 28.03 163.6 4,586.7 -14.7%PH Glatfelter GLT 15.49 10.01 12.15 12.44 45.9 570.5 2.4%Potlatch PCH 41.76 28.12 31.88 34.05 40.0 1,362.2 6.8%Rock-Tenn Co RKT 59.02 37.25 50.41 56.85 39.0 2,214.6 12.8%Sealed Air SEE 24.20 18.43 21.86 23.15 159.7 3,696.6 5.9%Silgan Holdings SLGN 34.99 25.83 28.94 33.73 76.8 2,590.0 16.6%Temple-Inland Inc TIN 25.03 15.48 21.11 20.72 107.8 2,233.9 -1.8%Verso Paper Holdings VRS 5.76 2.05 2.61 3.66 52.5 192.0 40.2%Weyerhaeuser WY 19.85 12.52 15.84 16.22 535.9 8,693.0 2.4%RetailBlockbuster BLOAQ 0.83 0.04 0.67 0.04 147.4 6.5 -93.4%Bon-Ton BONT 18.63 6.08 9.84 11.48 16.1 185.0 16.7%Brown Shoe Company BWS 19.96 9.87 9.87 11.75 43.9 515.3 19.0%Collective Brands Inc PSS 26.65 12.41 22.77 15.33 64.4 986.9 -32.7%Dillards DDS 32.52 14.01 18.45 25.51 62.1 1,583.4 38.3%Dollar General DG 31.41 21.30 22.43 28.19 341.0 9,613.9 25.7%Ethan Allen ETH 25.40 11.00 13.42 15.17 28.7 435.8 13.0%Express EXPR 19.10 12.89 17.00 13.68 88.7 1,213.9 -19.5%Foot Locker FL 16.76 9.46 11.14 15.93 155.7 2,479.9 43.0%GameStop Corp GME 26.05 17.12 21.94 19.65 150.4 2,954.4 -10.4%Great Atlantic & Pacific Tea GAP 13.00 2.50 11.79 3.44 56.3 193.6 -70.8%HSN HSNI 34.66 17.27 20.19 29.94 57.8 1,729.1 48.3%Ingles Markets IMKTA 19.99 13.01 15.13 18.36 12.9 236.6 21.3%JC Penney JCP 34.50 19.42 26.61 31.18 236.4 7,372.3 17.2%Liberty Media Corp LBTYA 40.86 18.75 21.89 37.77 118.7 4,482.0 72.5%Limited Brands LTD 32.37 15.65 18.50 29.39 322.8 9,486.5 58.9%Macys Retail Holdings M 26.03 15.34 16.76 23.67 422.7 10,004.7 41.2%Netflix NFLX 184.74 48.52 55.09 173.57 52.3 9,070.3 215.1%Office Depot ODP 9.19 3.36 6.45 4.49 277.1 1,244.0 -30.4%Pantry PTRY 24.44 12.00 13.59 19.45 22.7 442.0 43.1%Rite Aid RAD 1.77 0.86 1.51 0.91 891.3 815.3 -39.4%Sally Beauty SBH 13.13 6.87 7.65 12.17 182.4 2,219.7 59.1%








December 2010

A115

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Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnSears Holding SHLD 125.42 59.21 72.14 71.98 110.6 7,964.5 -0.2%SUPERVALU Inc SVU 17.89 9.67 12.71 10.79 212.2 2,289.3 -15.1%Susser Holdings SUSS 15.40 8.11 8.59 13.67 17.4 237.3 59.1%ServicesCardtronics Inc CATM 18.52 9.51 11.06 16.95 42.3 716.2 53.3%Carriage Services CSV 5.49 3.46 3.93 5.25 17.8 93.4 33.6%Casella Waste Systems CWST 5.39 2.90 4.02 4.93 25.2 124.1 22.6%Clean Harbors CLH 74.76 52.00 59.61 70.50 26.4 1,858.0 18.3%Corrections Corp of America CXW 26.89 17.49 24.55 25.67 110.3 2,830.2 4.6%Deluxe Corp DLX 23.77 12.57 14.79 20.44 51.3 1,048.6 38.2%Dycom Industries Inc DY 11.65 7.30 8.03 10.70 38.3 409.9 33.3%Education Management EDMC 26.79 7.76 22.01 12.00 140.3 1,684.2 -45.5%EnergySolutions ES 9.49 4.35 4.57 4.69 88.6 415.6 2.6%Expedia EXPE 29.85 18.30 25.73 28.95 251.5 7,279.7 12.5%FTI Consulting FCN 48.35 30.78 47.16 35.46 46.4 1,646.8 -24.8%Geo Group GEO 26.77 17.91 21.88 25.65 64.4 1,653.1 17.2%Great Lakes Dredge & Dock GLDD 7.28 4.04 6.48 6.20 58.7 364.1 -4.3%H&E Equipment HEES 12.51 6.60 10.50 9.72 35.0 340.5 -7.4%Iron Mountain IRM 28.49 19.93 22.76 21.79 200.1 4,360.8 -4.3%M&F Worldwide MFW 43.28 22.37 39.50 26.88 19.3 519.7 -31.9%Mac-Gray Corp TUC 13.40 7.98 10.30 12.15 13.8 167.9 18.0%Mobile Mini MINI 18.21 12.95 14.09 17.43 36.4 635.1 23.7%PHH PHH 25.93 13.49 16.11 19.27 55.5 1,070.0 19.6%RSC Equipment Rental RRR 9.65 5.90 7.04 8.08 103.5 836.5 14.8%Service Corporation International SCI 9.74 7.09 8.19 8.28 244.4 2,023.9 1.1%Sothebys Holdings BID 47.23 18.63 22.48 43.84 67.1 2,940.1 95.0%Stewart Enterprises STEI 6.99 4.50 5.15 5.55 89.6 497.5 7.8%Stonemor Operating STON 30.62 17.15 19.75 28.23 15.6 439.4 42.9%Stream Global Services SGS 7.38 3.20 5.95 3.76 80.5 302.7 -36.8%United Rentals URI 20.75 6.87 9.81 18.79 60.5 1,137.4 91.5%WCA Waste Corp WCAA 5.25 3.80 4.30 5.00 20.5 102.5 16.3%TechnologyAdvanced Micro Devices AMD 10.24 5.53 9.68 7.34 681.8 5,000.7 -24.2%Alcatel-Lucent ALU 3.93 2.25 3.32 3.48 2,318.3 8,061.7 4.7%Amkor Technologies AMKR 8.81 5.05 7.16 7.23 183.8 1,328.8 1.0%Avago Technologies AVGO 25.96 15.01 18.29 24.68 239.4 5,907.5 34.9%Brocade Communication Systems BRCD 8.42 4.64 7.63 6.35 453.4 2,879.1 -16.8%Conexant Systems CNXT 5.17 1.37 3.40 1.50 82.1 123.1 -55.9%Dupont Fabros Technology DFT 28.19 15.50 17.99 25.10 59.6 1,496.4 39.5%Equinix EQIX 110.57 69.42 97.34 84.24 46.0 3,874.6 -13.5%Flextronics International FLEX 8.38 4.86 7.31 7.17 766.2 5,493.7 -1.9%Jabil Circuit JBL 18.49 10.17 17.37 15.34 217.8 3,341.4 -11.7%JDA Software Group JDAS 31.72 20.76 25.47 25.32 43.8 1,108.1 -0.6%Kemet KEM 14.60 3.42 6.33 11.22 27.1 304.0 77.3%Lender Processing Services LPS 43.12 25.50 40.66 28.84 91.3 2,633.7 -29.1%Motorola Inc MOT 8.94 6.04 7.76 8.16 2,349.4 19,170.9 5.2%Nortel Networks NRTLQ 0.12 0.01 0.02 0.02 497.9 10.7 -6.5%Sanmina SANM 20.30 7.74 11.03 13.19 79.6 1,049.9 19.6%Seagate Technology STX 21.58 9.84 18.19 14.71 472.7 6,953.2 -19.1%SS&C Technologies SSNC 18.50 13.27 15.00 17.30 72.3 1,250.3 15.3%Syniverse Technologies SVR 31.25 14.76 17.48 30.49 70.2 2,140.8 74.4%Terremark Worldwide TMRK 11.91 6.00 6.84 9.99 66.3 661.9 46.1%








December 2010

A116

V



Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnUnisys UIS 40.41 17.04 38.56 23.05 42.6 982.5 -40.2%TelecommunicationsAmerican Tower AMT 53.52 38.09 43.21 51.61 399.1 20,596.5 19.4%Cincinnati Bell Telephone CBB 3.74 2.27 3.45 2.45 201.8 494.4 -29.0%Clearwire Communications CLWR 8.82 5.35 6.76 7.09 243.3 1,724.7 4.9%Crown Castle International CCI 44.46 34.12 39.04 43.12 290.8 12,537.4 10.5%Fairpoint Communications FRCMQ 0.14 0.01 0.03 0.03 90.0 2.6 -12.1%Frontier Communication FTR 9.42 6.96 7.81 8.78 993.9 8,726.2 12.4%General Communication Inc GNCMA 11.17 5.21 6.38 10.45 44.3 463.3 63.8%Global Crossing GLBC 17.75 10.09 14.25 13.60 60.5 822.8 -4.6%ITC Deltacom ITCD 3.03 1.34 2.02 2.99 83.7 250.2 48.0%Leap Wireless LEAP 19.21 9.51 17.55 11.41 78.3 893.3 -35.0%Level 3 Communications LVLT 1.77 0.83 1.53 0.97 1,669.2 1,615.3 -36.8%MasTec MTZ 15.25 9.26 12.50 12.20 76.1 928.7 -2.4%MetroPCS PCS 12.31 5.52 7.63 10.40 354.4 3,685.9 36.3%Millicom International Cellular MICC 102.72 64.17 69.63 94.60 109.0 10,308.2 35.9%Mobile Telesystems MBT 23.59 17.20 19.56 21.65 996.7 21,577.8 10.7%NII Capital NIHD 45.26 28.28 33.58 41.81 169.3 7,077.2 24.5%PAETEC Holding Corp PAET 5.30 2.93 4.15 4.22 144.7 610.6 1.7%Philippine Long Distance Telephone PHI 64.54 50.04 55.62 62.13 186.8 11,605.7 11.7%Primus Telecomm Group PMUG 11.50 5.60 5.95 9.60 9.7 93.5 61.3%Qwest Communications International Q 6.95 3.62 4.21 6.61 1,742.7 11,519.4 57.0%SBA Telecommunications SBAC 41.29 30.21 34.16 39.26 115.0 4,513.5 14.9%Sprint Nextel Corp S 5.31 3.10 3.66 4.13 2,952.0 12,177.2 12.7%Time Warner Telecom Holdings TWTC 19.63 14.28 17.15 18.40 151.3 2,784.0 7.3%VimpelCom Ltd VIP 20.00 12.32 18.59 15.33 1,291.2 19,794.6 -17.5%Windstream WIN 13.36 6.02 10.99 12.66 483.7 6,123.6 15.2%TransportationAmerican Commercial Lines ACLI 35.50 14.78 18.33 33.15 12.8 425.8 80.9%AMR AMR 10.50 5.40 7.73 7.89 333.3 2,629.6 2.1%Delta Air Lines DAL 14.94 7.40 11.38 13.89 788.9 10,954.2 22.0%General Maritime GMR 8.82 3.58 6.99 3.84 88.9 341.4 -45.1%Kansas City Southern Railway KSU 47.14 27.75 33.29 43.82 102.6 4,496.4 31.6%Navios Maritime Acquisition NNA 10.20 5.04 5.45 5.45 47.9 261.1 0.0%Navios Maritime Holdings NM 7.55 4.38 6.05 5.99 101.0 604.8 -1.0%Overseas Shipholding Group OSG 53.20 31.39 43.95 33.43 30.4 1,017.0 -23.9%RailAmerica RA 14.47 9.16 12.20 11.60 54.9 636.4 -4.9%Ship Finance SFL 22.00 12.30 13.63 20.11 79.1 1,591.2 47.5%Teekay Corporation TK 33.67 20.42 23.21 31.80 73.0 2,320.7 37.0%Trailer Bridge TRBR 5.95 2.93 4.80 3.10 12.0 37.3 -35.4%Ultrapetrol Bahamas Ltd ULTR 6.98 4.05 4.76 6.51 29.9 194.9 36.8%United Continental Holdings UAL 29.75 6.85 12.91 29.04 317.1 9,207.8 124.9%US Airways Group LCC 12.26 3.04 4.84 11.79 161.5 1,904.5 143.6%UtilityAES AES 14.24 8.82 13.31 11.94 788.1 9,409.9 -10.3%Calpine Corp CPN 14.27 10.69 11.00 12.50 444.5 5,556.6 13.6%CMS Energy CMS 19.07 13.85 15.66 18.38 244.6 4,495.3 17.4%Dynegy Holdings DYN 10.35 2.76 9.05 4.64 120.9 560.9 -48.7%Mirant Corp MIR 17.02 9.36 15.27 10.61 145.5 1,544.2 -30.5%NRG Energy NRG 26.15 19.20 23.61 19.91 247.2 4,921.7 -15.7%Otter Tail Corp OTTR 25.39 18.24 19.99 20.55 35.9 738.4 2.8%PNM Resources PNM 13.96 10.81 12.65 11.79 86.7 1,021.9 -6.8%RRI Energy RRI 6.21 3.35 4.42 3.76 353.4 1,328.9 -14.9%


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2.869

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546b

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576b

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533b

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2.249

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688b

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756b

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773b

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758b

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739b

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3.060

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0bp

2.406

5% -

6%17

.62%

3.61y

rs48

9bp

2.420

21.01

%3.3

6yrs

518b

p2.7

3924

.71%

3.65y

rs49

5bp

2.828

6% -

7%21

.01%

4.49y

rs52

3bp

2.554

22.43

%4.1

9yrs

542b

p2.7

9325

.03%

4.50y

rs53

0bp

2.827

7% -

8%19

.07%

4.58y

rs60

8bp

2.533

19.25

%4.3

0yrs

633b

p2.8

7417

.84%

4.44y

rs62

1bp

2.783

8% -

9%11

.40%

4.35y

rs72

0bp

2.676

10.64

%3.8

3yrs

756b

p2.9

068.5

6%4.3

0yrs

723b

p2.6

869%

- 10

%6.5

0%4.0

9yrs

794b

p2.6

285.3

5%3.8

0yrs

805b

p2.4

994.5

0%4.1

3yrs

790b

p2.5

6210

% -

11%

5.55%

3.89y

rs88

4bp

2.826

5.05%

3.66y

rs90

2bp

3.135

3.18%

3.89y

rs89

0bp

3.005

11%

- 13

%3.6

6%3.7

6yrs

1035

bp3.1

312.6

0%3.9

2yrs

1034

bp3.6

061.7

7%3.9

1yrs

1028

bp3.6

9313

% -

15%

2.03%

3.99y

rs12

24bp

3.931

1.91%

3.97y

rs12

42bp

4.344

1.04%

3.85y

rs12

31bp

4.112

15%

- 17

%0.8

9%3.4

1yrs

1437

bp4.8

080.8

8%3.5

7yrs

1435

bp4.9

430.5

8%3.9

4yrs

1421

bp4.1

8117

% -

20%

1.18%

2.98y

rs17

09bp

5.683

1.25%

3.35y

rs17

03bp

5.231

0.56%

3.78y

rs17

18bp

4.622

20%

- 25

%0.2

6%2.3

4yrs

2163

bp4.7

530.1

8%2.8

1yrs

2091

bp5.8

500.2

1%2.6

4yrs

2032

bp6.2

71GT

25%

0.59%

2.32y

rs33

21bp

7.231

0.40%

2.84y

rs27

16bp

6.065

0.48%

2.78y

rs27

38bp

6.255

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A122

W

Hig

h-y

ield

investm

ent

sty

les

Sour

ce: J

.P. M

orga

n.

JPMo

rgan

Glo

bal H

igh-

Yield

Inde

xHi

gh-Y

ield

Mutu

al Fu

nds

High

-Yiel

d In

stitu

tiona

l Fun

dsMa

rket

Price

Mark

etPr

iceMa

rket

Price

Nove

mbe

r 30,

2010

Weig

htDu

ratio

nST

WVo

latilit

yW

eight

Dura

tion

STW

Volat

ility

Weig

htDu

ratio

nST

W

Volat

ility

Spre

ad to

Wor

st C

lass

LT25

0 bp

2.45%

3.56y

rs19

1bp

2.590

2.29%

3.69y

rs19

2bp

2.821

2.25%

3.49y

rs19

1bp

2.633

250

bp -

300

bp1.8

9%5.4

1yrs

283b

p3.2

261.4

4%6.0

7yrs

279b

p3.5

591.8

6%6.3

5yrs

282b

p3.7

8430

0 bp

- 35

0 bp

4.33%

5.66y

rs32

4bp

2.784

3.08%

5.81y

rs32

8bp

3.396

3.84%

6.11y

rs32

8bp

3.631

350

bp -

400

bp4.9

0%5.4

8yrs

380b

p2.6

084.5

9%5.1

8yrs

377b

p3.0

496.1

4%5.5

1yrs

379b

p3.2

1940

0 bp

- 50

0 bp

18.00

%4.4

9yrs

455b

p2.5

4516

.13%

4.46y

rs45

5bp

3.093

20.21

%4.4

5yrs

455b

p3.0

3450

0 bp

- 75

0 bp

45.27

%3.8

1yrs

614b

p2.4

0750

.21%

3.47y

rs61

4bp

2.497

51.20

%3.5

7yrs

607b

p2.4

5975

0 bp

& A

bove

22.01

%3.2

9yrs

1065

bp3.2

3321

.94%

3.10y

rs10

20bp

3.378

14.30

%3.1

8yrs

1029

bp3.2

77

Dura

tion

<2 yr

s14

.04%

1.18y

rs68

3bp

1.782

18.72

%1.1

7yrs

643b

p1.7

2616

.07%

1.16y

rs62

0bp

1.660

2 - 3

yrs

16.58

%2.5

1yrs

728b

p2.7

2719

.16%

2.52y

rs70

1bp

2.884

16.81

%2.5

3yrs

645b

p2.7

303

- 4 yr

s20

.60%

3.54y

rs75

1bp

2.935

21.34

%3.5

6yrs

748b

p3.1

0820

.27%

3.55y

rs70

4bp

2.996

4 - 5

yrs

21.70

%4.4

6yrs

645b

p2.6

7018

.94%

4.44y

rs64

9bp

2.956

20.25

%4.4

4yrs

593b

p2.8

045

- 6 yr

s13

.75%

5.42y

rs52

5bp

2.821

11.79

%5.4

2yrs

524b

p3.1

2215

.23%

5.43y

rs50

9bp

3.191

6 - 7

yrs

6.47%

6.52y

rs46

9bp

2.894

4.42%

6.50y

rs45

1bp

3.775

5.51%

6.51y

rs43

3bp

3.641

7 - 1

0 yrs

3.88%

8.03y

rs42

5bp

2.680

3.26%

8.59y

rs45

7bp

3.688

3.46%

8.42y

rs43

2bp

3.399

Seni

ority

Senio

r Sec

ured

24.75

%3.6

7yrs

749b

p2.7

7824

.17%

3.49y

rs70

0bp

2.750

22.84

%3.5

8yrs

667b

p2.6

76Se

nior

64.70

%4.2

3yrs

591b

p2.6

7065

.36%

3.94y

rs61

0bp

2.979

67.02

%4.1

4yrs

560b

p2.9

15Se

nior S

ubor

dinate

d9.1

4%2.9

5yrs

731b

p2.4

719.0

7%2.8

2yrs

713b

p2.3

238.7

8%3.0

7yrs

668b

p2.2

86Ju

nior S

ubor

dinate

d1.3

5%6.2

8yrs

667b

p3.2

651.3

9%4.9

8yrs

762b

p3.2

221.3

5%6.9

4yrs

735b

p3.4

58

Cush

ion

Pape

r9.8

7%1.5

6yrs

552b

p2.1

7913

.71%

1.66y

rs58

0bp

2.243

12.49

%1.6

9yrs

552b

p2.2

25No

n-Cu

shion

Pap

er90

.13%

4.28y

rs65

4bp

2.741

86.29

%4.0

8yrs

654b

p2.9

6787

.51%

4.28y

rs60

3bp

2.896

Equi

ty56

.68%

4.16y

rs56

4bp

2.679

57.83

%3.9

3yrs

571b

p2.8

8862

.44%

4.11y

rs54

6bp

2.853

Othe

r43

.32%

3.81y

rs74

8bp

2.695

42.17

%3.4

8yrs

742b

p2.8

3937

.56%

3.71y

rs68

1bp

2.745







December 2010

A123

X1. 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg; Indepth Data; Lipper FMI; Investment Compnay Institute.

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101

New issuance 150.8 99.8 47.3 94.7 67.8 151.6 158.2 106.1 149.1 147.9 52.9 180.7 277.3Fallen angels 14.2 10.6 24.7 66.4 141.6 39.7 37.2 112.8 30.1 50.7 55.9 150.2 28.0TOTAL SUPPLY 165.0 110.4 72.1 161.1 209.4 191.3 195.4 218.9 179.2 198.6 108.8 331.0 305.3

Calls 14.8 10.4 11.5 11.6 17.1 37.6 60.7 38.2 27.4 46.3 14.9 22.7 45.3Tenders 22.4 15.7 12.9 9.6 8.8 18.6 40.2 38.7 49.0 63.8 35.5 45.5 47.9Maturities - - 11.0 11.1 50.6 89.8 74.1 54.2 57.9 32.0 26.9 36.8 30.8Rising stars 24.1 29.7 10.0 24.1 16.3 13.4 30.6 38.1 30.4 19.2 26.5 13.1 32.7Coupon reinvestment @ 75% 35.7 38.3 39.5 43.9 50.0 52.5 53.0 55.4 56.9 58.6 57.7 68.8 68.9Mutual fund flows (AMG) 19.7 3.9 -6.3 13.2 16.3 32.9 -2.1 -8.8 5.5 5.0 6.5 31.9 11.4TOTAL DEMAND 116.8 98.0 78.7 113.5 159.1 244.7 256.5 215.8 227.1 225.0 168.5 218.0 237.0

NET SUPPLY 48.2 12.5 -6.7 47.6 50.3 -53.4 -61.1 3.1 -47.9 -26.4 -59.7 112.9 68.3

High-yield market growth

Sources of supply and demand in the high-yield market$ bn

Global US dollar-denominated high-yield market growth $ bn


30 32 35 43 59 83

622

870

138

12351117

892942 962 944946902

270 295215

448

565

349

234200

754649

201183 207 244

94.7

73.6

277.3

180.7

52.9

147.9

47.2

149.1

69.1

1.4 1.5 2.7 7.815.2 15.733.3 30.5 31.1

29.3

1.4 10.0

46.0 43.047.3

158.2

106.1

126.0

150.8

99.8

151.6

67.9

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

1400.0

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Marke

t size

($ bn

)

0.0

50.0

100.0

150.0

200.0

250.0

300.0

New issue volume ($ bn)

High-yield market size

New-issue volume

1

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A124

Y

Ris

k a

nd r

etu

rns o

f various a

ssets

On

e y

ear

en

ded

No

vem

ber

30,

2010

JPMo

rgan

Eur

o. Ag

g. HY

Inde

x JP

Morg

an E

uro.

Curr.

HY

Index

Lev

erag

ed lo

ans

Gold

DJ W

orld

EM S

tock I

ndex

JPMo

rgan

EMB

I- Gl

obal

Comp

.

DAX

CAC

40

FTS

E 10

0 S

&P 50

0 Bar

ra G

rowt

h Ind

ex Rus

sell 2

000

Wils

hire 5

000

S&P

500

JPMo

rgan

Glo

bal H

Y In

dex

JPMo

rgan

JULI

HG In

dex

LB A

gg. B

ond I

ndex

JPMo

rgan

MBS

Bon

d Ind

ex

10-ye

ar T

reas

ury

5-ye

ar T

reas

ury

-6.00

%

-1.00

%

4.00%

9.00%

14.00

%

19.00

%

24.00

%

29.00

% 1.00%

6.00%

11.00

%16

.00%

21.00

%26

.00%

Annu

alize

d Vola

tility

Annualized Return

Sour

ces:

J.P. M

orga

n; Bl

oomb

erg;

S&P

LCD.

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A125

Y

Ris

k a

nd r

etu

rns o

f various a

ssets

Th

ree y

ears

en

ded

No

vem

ber

30,

2010

5-ye

ar T

reas

ury

10-ye

ar T

reas

ury

JPMo

rgan

MB

S Bo

nd In

dex LB

Agg

. Bon

d Ind

ex JP

Morg

an JU

LI HG

Inde

x

JPMo

rgan

Glo

bal H

Y In

dex

S&P

500 W

ilshir

e 500

0

Rus

sell 2

000

S&P

500 B

arra

Gro

wth I

ndex

FTS

E 10

0

CAC

40 DAX

JPMo

rgan

EMB

I- Gl

obal

Comp

.

DJ W

orld

EM S

tock I

ndex

Lev

erag

ed lo

ans

JPMo

rgan

Eur

o. Cu

rr. H

Y Ind

ex JP

Morg

an E

uro.

Agg.

HY In

dex

-13.0

0%

-8.00

%

-3.00

%

2.00%

7.00%

12.00

% 0.00%

5.00%

10.00

%15

.00%

20.00

%25

.00%

30.00

%An

nuali

zed V

olatili

ty

Annualized Return

Sour

ces:

J.P. M

orga

n; Bl

oomb

erg;

S&P

LCD.

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A126

Y

Ris

k a

nd r

etu

rns o

f various a

ssets

Fiv

e y

ears

en

ded

No

vem

ber

30,

2010

5-ye

ar T

reas

ury

10-ye

ar T

reas

ury

JPMo

rgan

MBS

Bon

d Ind

ex

LB A

gg. B

ond I

ndex

JPMo

rgan

JULI

HG In

dex

JPMo

rgan

Glo

bal H

Y In

dex

S&P

500

Wils

hire 5

000

Rus

sell 2

000

S&P

500 B

arra

Gro

wth I

ndex

FTS

E 10

0

CAC

40 DAX

JPMo

rgan

EMB

I- Gl

obal

Comp

osite

DJ W

orld

EM S

tock I

ndex

Lev

erag

ed lo

ans JP

Morg

an E

uro.

Curr.

HY

Index

JPMo

rgan

Eur

o. Ag

g. HY

Inde

x

-3.00

%

1.00%

5.00%

9.00%

13.00

% 0.00%

2.00%

4.00%

6.00%

8.00%

10.00

%12

.00%

14.00

%16

.00%

18.00

%20

.00%

22.00

%24

.00%

26.00

%28

.00%

Annu

alize

d Vola

tility

Annualized Return

Sour

ces:

J.P. M

orga

n; Bl

oomb

erg;

S&P

LCD.

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A127

Y

Ris

k a

nd r

etu

rns o

f various a

ssets

Ten

years

en

ded

No

vem

ber

30,

2010

5-ye

ar T

reas

ury

10-ye

ar T

reas

ury

LB A

gg. B

ond I

ndex

Inves

tmen

t-gra

de bo

nds

JPMo

rgan

Glo

bal H

Y In

dex

S&P

500

Wils

hire 5

000

Rus

sell 2

000

S&P

500 B

arra

Gro

wth I

ndex

FTS

E 10

0 C

AC 40

DAX

JPMo

rgan

EMB

I- Gl

obal

Comp

osite

US

Inflat

ion

Lev

erag

ed lo

ans

-4.00

%

-2.00

%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00

%

12.00

%

14.00

% 0.00%

5.00%

10.00

%15

.00%

20.00

%25

.00%

Annu

alize

d Vola

tility

Annualized Return

Sour

ces:

J.P. M

orga

n; Bl

oomb

erg;

S&P

LCD.

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

on R

. Jantz

en (

1-2

12)

270-1

169

Alis

a M

eyers

(1-2

12)

834-9

151

No

rth

Am

eri

can

Hig

h Y

ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A128

Y

Ris

k a

nd r

etu

rns o

f various a

ssets

Fif

teen

years

en

ded

No

vem

ber

30,

2010

5-ye

ar T

reas

ury

10-ye

ar T

reas

ury

JPM

MBS

Bond

Inde

x

LB A

gg. B

ond I

ndex

Inve

stmen

t Gra

de

JPMo

rgan

Glo

bal H

Y In

dex

S&P

500

Wils

hire 5

000

Rus

sell 2

000

S&P

500 B

arra

Gro

wth I

ndex

FTS

E 10

0

CAC

40

DAX

JPMo

rgan

EMB

I- Gl

obal

Comp

osite

Gold

-4.00

%

-2.00

%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00

%

12.00

%

14.00

% 0.00%

5.00%

10.00

%15

.00%

20.00

%25

.00%

Annu

alize

d Vola

tility

Annualized Return

Leve

rage

d Lo

ans

Sour

ces:

J.P. M

orga

n; Bl

oomb

erg;

S&P

LCD.

Pete

r D

. A

ccia

vatti (1

-212)

270-9

633

Tony L

inare

s (

1-2

12)

270-3

285

Nels

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7.85%

US d

ollar

HY

Deve

loped

Mar

kets

11.25

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2%4.4

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2.14%

2.69%

5.60%

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58.76

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12.76

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doll

ar H

YEm

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g Ma

rkets

16.43

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31.13

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11.53

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7.79%

US d

ollar

Eur

opea

n HY

Index

14.72

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2%4.6

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2.50%

3.70%

5.77%

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69.31

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14.27

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ro H

YInd

ex14

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2.85%

4.61%

3.51%

9.66%

2.00%

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4.86%

21.27

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15.59

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Poun

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22.73

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1.64%

0.68%

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45.31

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6.39%

Euro

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Cur

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y HY

Index

15.32

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68.42

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12.53

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7%Eu

rope

an A

ggre

gate

HYInd

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3.68%

5.26%

3.64%

9.60%

1.91%

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JPMo

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US d

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0.80

0.63

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0.51

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0.32

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0.75

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0.84

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0.82

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0.40

0.51

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0.26

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0.75

0.70

0.68

Gold

0.21

0.21

0.25

0.24

0.13

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0.02

0.08

0.29

0.21

US In

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Year

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S&P

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ellTs

yTs

yAg

greg

ate

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sBo

nds

500

5000

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Gold

10-ye

ar T

reas

ury

0.95

LB A

ggre

gate

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x0.9

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estm

ent-g

rade

bon

ds0.7

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gh-y

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bond

s-0

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0-0

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ssell

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0-0

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10.8

20.8

8Go

ld0.0

60.0

60.0

50.0

80.0

3-0

.12-0

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Infla

tion

-0.14

-0.19

-0.14

-0.15

0.01

-0.03

-0.03

-0.04

0.04







December 2010

A140

Z

2009

Sources: J.P. Morgan estimates; Morningstar.

High-Yield Mutual Funds18.1%

Insurance Companies25.1%

Pension Funds20.9%

CBOs4.2%

Investment-Grade Funds8.0%

Equity and Income Funds9.9%

Foreign7.0%

Hedge Funds and Other6.9%

2010




Pension Funds21.9%

CBOs2.7%



Foreign9.6%


Who owns high yield?







December 2010

A141

Z


2006


CBOs7.9%



Foreign7.4%

Pension Funds20.0%




2008




Pension Funds20.3%

CBOs6.9%



Foreign7.2%








December 2010

A142

Z


2002

Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.

Pension Funds18.6%

CBOs16.4%

Foreign5.0%

Other 6.7% High-Yield Mutual

Funds13.0%


Investment Grade Funds9.9% Insurance Companies

24.4%

2004



CBOs9.2%



Foreign6.5%

Other 7.8%

Pension Funds19.8%








December 2010

A143

Z

1998



Other 6.2%

Pension Funds18.8%

Investment Grade Funds10.1%

Foreign4.7%



CBOs12.6%


2000


CBOs21.2%


Other 5.1%


Pension Funds18.4%


Foreign6.1%








December 2010

A144

Z

1992


Foreign3.0%

RTC1.0%

CBO/Other18.0%

Pension Funds13.0%


Insurance Companies29.0%Equity & Income

9.0%



1996


Foreign5.0%

Pension Funds18.0%

Equity & Income11.0%

Investment Grade Funds12.0% Insurance Companies

23.0%

CBO/Other10.0%


Pete

r D

. A

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vatti (1

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270-9

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270-3

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on R

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270-1

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eri

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Hig

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ield

Researc

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2010 H

igh

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ual

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w

Decem

ber

2010

A145

AA

Long-t

erm

hig

h-y

ield

mark

et

tim

elin

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Sour

ce: J

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orga

n.

200b

p30

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400b

p50

0bp

600b

p70

0bp

800b

p90

0bp

1000

bp11

00bp

1200

bp13

00bp

1400

bp15

00bp

1600

bp17

00bp

1800

bp19

00bp

2000

bp21

00bp

Dec-85May-87Feb-88Nov-88Aug-89May-90Feb-91Nov-91Aug-92May-93Feb-94Nov-94Aug-95May-96Feb-97Nov-97Aug-98Apr-99Jan-00Oct-00Jul-01

Apr-02Dec-02Sep-03Jun-04Mar-05Nov-05Aug-06May-07Feb-08Nov-08Jul-09

Apr-10

Spread to worst

Spre

ad to

wor

stLa

bel o

f eve

nts

Nov-8

8: Fe

dera

ted $1

.1 bn

issu

ed

Oct-8

7: St

ock

marke

t lose

s 504

po

ints

May-8

9: RJ

R $6

.1 bn

issu

ed

Feb-

90: D

rexe

l files

for

bank

ruptc

y

Jan-

91: U

.S.

attac

ks Ir

aq

1994

: 10-

year

Tr

easu

ry ris

es

192b

p

1995

: 10-

year

Tre

asur

y fal

ls 22

5bp

25-A

ug-9

8 to 3

1-Au

g-98

: Dow

drop

s 12.4

% ow

ing to

ev

ents

trigge

red b

y tur

moil i

n Rus

sia

2000

: High

-yield

dome

stic d

efault

s rise

third

co

nsec

utive

year

; spr

eads

wide

n to h

ighes

t lev

el sin

ce Ja

n-91

HY sp

read

s wide

n 188

bp fo

llowi

ng

11-S

ep-0

1, re

achin

g 102

4bp

Nov-0

2: HY

defau

lt rate

be

low 8%

for f

irst ti

me

since

Nov

-01

Dec-9

0: 10

96bp

Defau

lt rate

dips

be

low 1.

0% fo

r firs

t tim

e in 2

0 yea

rs

Mar-0

5 to M

ay-0

5: HY

spre

ads

wide

n 172

bp, d

ue to

unce

rtaint

y re

gard

ing G

M an

d For

d

Nov-0

6: Re

cord

-mon

th $2

9 bil

lion i

n new

issu

ance

, hig

hligh

ted by

LBO

finan

cings

for

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and F

rees

cale

Jun-

Aug-

07: S

prea

ds w

iden

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p, du

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ubpr

ime/

struc

tured

cred

it fall

out a

nd

$350

billio

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Sep-

08: L

ehma

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other

s file

s ban

kruptc

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16- D

ec-0

8: Sp

read

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a rec

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Jun-

09:

GM fil

es

Ch. 1

1

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9: CI

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oup f

iles

bank

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In 20

10, d

efault

rate

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nes

from

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% to

0.74

%; H

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w-iss

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cord

$277

billio

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turn +

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thro

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30

Pete

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270-3

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Nels

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270-1

169

Alis

a M

eyers

(1-2

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834-9

151

No

rth

Am

eri

can

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h Y

ield

Researc

h

2010 H

igh

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ld A

nn

ual

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w

Decem

ber

2010

A146

AA

Long-t

erm

hig

h-y

ield

mark

et

tim

elin

e

6.00%

8.00%

10.00

%

12.00

%

14.00

%

16.00

%

18.00

%

20.00

%

22.00

%

Nov-85Aug-86May-87Feb-88Nov-88Aug-89May-90Feb-91Nov-91Aug-92May-93Feb-94Nov-94Aug-95May-96Feb-97Nov-97Aug-98May-99Feb-00Nov-00Aug-01May-02Jan-03Oct-03Jul-04

Apr-05Dec-05Sep-06Jun-07Mar-08Dec-08Sep-09Jun-10

Yield to worst

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00

%

10-year Treasury

Yield

to w

orst

Labe

l of e

vents

10-ye

ar T

reas

ury

Jan-

92: M

acy's

files

for b

ankru

ptcy

Jan-

90: F

eder

ated f

iles

for ba

nkru

ptcy

Oct-8

9: UA

L bu

yout

fails

Apr-9

1: RJ

R Na

bisco

re

finan

ces $

1.5 bn

Dec-9

1: Ow

ens-I

llinois

re

finan

ces

$1.0

bn

Jul-9

1: Tim

e W

arne

r $2

.5 bn

equit

y inv

estm

ent

Nov-8

5: SC

I pric

es

$1.6

bnApr-8

7: Te

xaco

ba

nkru

ptcy

Jul-8

6 and

Oct-

86:

Macy

's pr

ices $

725 m

n de

al; LT

V file

s for

ba

nkru

ptcy

1994

: Fed

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s rate

ra

ised 2

50bp

High

-yield

mar

ket's

YT

W ris

es ne

arly

3% fr

om

Apr-0

2 to O

ct-02

. Inv

estor

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ng

string

of co

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ate fr

aud

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sure

s

2H06

: HY

retur

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7%

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comp

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total

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06 bi

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onths

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Sour

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Pete

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270-9

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270-3

285

Nels

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en (

1-2

12)

270-1

169

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eyers

(1-2

12)

834-9

151

No

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Am

eri

can

Hig

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ield

Researc

h

2010 H

igh

-Yie

ld A

nn

ual

Revie

w

Decem

ber

2010

A147

AA

J.P. Morgan North American Credit Research 383 Madison Avenue, 3rd Floor, New York, NY 10179

JOYCE CHANGHead of Global Credit and Emerging Markets Research

(212) 834-4203

NO R T H AM E R I C A N HI G H GR A D E RE S E A R C H NO R T H AM E R I C A N HI G H YI E L D RE S E A R C HAUTOMOTIVE

[email protected] . . . . . . . . . . (212) 270-9624, [email protected] . . . (212) 270-9455

BASIC INDUSTRIESChemicals and Metals & [email protected] . . . . . . (212) 270-1536, [email protected] . (212) 270-9453Home [email protected] . . . . .(212) 270-3085, [email protected] . (212) 834-9524Paper/Forest Products, [email protected] . . . . . (212) 834-5468, [email protected] . (212) 834-4079

BANKS, FINANCE AND SECURITIES COMPANIES

[email protected] . . . (212) 834-5613, [email protected] . . (212) 270-4584

CONSUMER PRODUCTS, FOOD AND RESTAURANTS, RETAIL

[email protected] . (212) 834-5481, [email protected] . . . . . (212) 270-1682

ELECTRIC UTILITIES AND POWER GENERATION

[email protected] . . . (212) 834-5200, [email protected] . (212) 834-9455

ENERGY, PIPELINES, MLPS

[email protected] . . . . . . (212) 270-1536, [email protected] . (212) 270-9453

HEALTHCARE, INSURANCE

[email protected] . . . . . (212) 834-5423, [email protected] . . . . (212) 270-7484

MANUFACTURING, SERVICES

Aerospace/Defense, Industrials, [email protected] . (212) 834-5481, [email protected] . . . . . (212) 270-1682

REITS, GAMING, LODGING

[email protected] . . . . . (212) 834-5086,, [email protected] .(212) 834-5237Gaming, [email protected] . . . . .(212) 270-3085, [email protected] . (212) 834-9524TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA

Technology/Telecommunication [email protected] . . . . .(212) 834-4035Cable/[email protected] . . . . . (212) 270-6530, [email protected] . . . (212) 270-6797Broadcasting/[email protected] . . . . . . (212) 270-5512, [email protected] . . (212) 270-1564

TRANSPORTATION

Airlines/EETCs/Aircraft/Rails/Freight/[email protected] . . . . . (212) 834-5086, [email protected] .(212) 834-5237

AUTOMOTIVE

[email protected] . . . . . . . . . . (212) 270-9624, [email protected] . . . (212) 270-9455

BASIC INDUSTRIES

Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [email protected] . . . . . (212) 834-5468, [email protected] . (212) 834-4079Home [email protected] . . . . .(212) 270-3085, [email protected] . (212) 834-9524Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [email protected] . . . (212) 270-4593, [email protected] . (212) 270-1372Paper/Forest Products, [email protected] . . . . . (212) 834-5468, [email protected] . (212) 834-4079

FINANCE AND SECURITIES [email protected] . . . (212) 270-4593, [email protected] . (212) 270-1372

CONSUMER PRODUCTS, FOOD AND RESTAURANTS, [email protected] . . . . . . (212) 270-6798, [email protected] . . . . . . . (212) 270-6861

ELECTRIC UTILITIES AND POWER GENERATION

[email protected] . . . (212) 834-5200, [email protected] . (212) 834-9455

ENERGY

[email protected] . . . . (212) 834-5997, [email protected] . . . . . (212) 834-9405

HEALTHCARE, INSURANCE

[email protected] . . . . (212) 270-5260, [email protected] . . . . (212) [email protected] . . . . . (212) 834-5423, [email protected] . . . . (212) 270-7484

MANUFACTURING, SERVICES

Aerospace/Defense, Industrials, [email protected] . . . . . . (212) 270-3265, [email protected] . . . . . . (212) 270-9566

GAMING, LODGING, LEISURE

Gaming, [email protected] . . . . .(212) 270-3085, [email protected] . (212) [email protected] . . . . . (212) 270-6530, [email protected] . . . (212) 270-6797

TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA

Technology/Telecommunication [email protected] . . . . . (212) 270-2149Cable/[email protected] . . . . . (212) 270-6530, [email protected] . . . (212) 270-6797Broadcasting/[email protected] . . . . . . (212) 270-5512, [email protected] . . (212) 270-1564

TRANSPORTATION

Airlines/EETCs/Aircraft/Rails/Freight/[email protected] . . . . . (212) 834-5086, [email protected](212) 834-52377

ARUN N. KUMAR AND DAVID COMMONCo-Heads of Credit Research–High Grade and High Yield

HI G H GR A D E ST R AT E G Y A N D CR E D I T DE R I VAT I V E RE S E A R C H GL O B A L HI G H YI E L D ST R AT E G Y

[email protected] . . . (212) 270-9633, [email protected] . . . . . . (212) 270-3285 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [email protected] . . . (212) 270-1169 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . [email protected] . . . . . (212) 834-9151

PETER D. ACCIAVATTIERIC BEINSTEIN

[email protected] . . . . . . . (212) 834-4211, [email protected] . . . . . (212) [email protected] . (212) [email protected] . (212) [email protected] . (212) 834-3220

Analyst Certification:The research analyst(s) denoted by an “AC” on the cover of this report certifies (or, where multiple research analysts are primarily responsiblefor this report, the research analyst denoted by an “AC” on the cover or within the document individually certifies, with respect to each securityor issuer that the research analyst covers in this research) that: (1) all of the views expressed in this report accurately reflect his or her personalviews about any and all of the subject securities or issuers; and (2) no part of any of the research analyst’s compensation was, is, or will bedirectly or indirectly related to the specific recommendations or views expressed by the research analyst(s) in this report.

Conflict of Interest:This research contains the views, opinions and recommendations of J.P. Morgan credit research analysts. Research analysts routinelyconsult with J.P. Morgan trading desk personnel in formulating views, opinions and recommendations in preparing research. Tradingdesks may trade, or have traded, as principal on the basis of the research analyst(s) views and report(s). Therefore, this research maynot be independent from the proprietary interests of J.P. Morgan trading desks which may conflict with your interests. In addition,research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, trading desk andfirm revenues and competitive factors. As a general matter, J.P. Morgan and/or its affiliates normally make a market and trade asprincipal in fixed income securities discussed in research reports.

Important Disclosures

Explanation of Credit Research Ratings:Ratings System: J.P. Morgan uses the following sector/issuer portfolio weightings: Overweight (over the next three months, the recommendedrisk position is expected to outperform the relevant index, sector, or benchmark), Neutral (over the next three months, the recommended riskposition is expected to perform in line with the relevant index, sector, or benchmark), and Underweight (over the next three months, therecommended risk position is expected to underperform the relevant index, sector, or benchmark). J.P. Morgan’s Emerging Market research usesa rating of Marketweight, which is equivalent to a Neutral rating. Valuation & Methodology: In J.P. Morgan’s credit research, we assign a rating to each company (Overweight, Underweight or Neutral) basedon our credit view of the company and the relative value of its financial instruments, taking into account the ratings assigned to the company bycredit rating agencies and the market prices for the company’s securities. Our credit view of a company is based upon our opinion as to whetherthe company will be able service its debt obligations when they become due and payable. We assess this by analyzing, among other things, thecompany’s credit position using standard credit ratios such as cash flow to debt and fixed charge coverage (including and excluding capitalinvestment). We also analyze the company’s ability to generate cash flow by reviewing standard operational measures for comparable companiesin the sector, such as revenue and earnings growth rates, margins, and the composition of the company’s balance sheet relative to the operationalleverage in its business.

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North America Credit Research

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General: Additional information is available upon request. Information has been obtained from sources believed to be reliable but JPMorganChase & Co. or its affiliates and/or subsidiaries (collectively J.P. Morgan) do not warrant its completeness or accuracy except with respect to anydisclosures relative to JPMS and/or its affiliates and the analyst’s involvement with the issuer that is the subject of the research. All pricing is asof the close of market for the securities discussed, unless otherwise stated. Opinions and estimates constitute our judgment as of the date of thismaterial and are subject to change without notice. Past performance is not indicative of future results. This material is not intended as an offer orsolicitation for the purchase or sale of any financial instrument. The opinions and recommendations herein do not take into account individualclient circumstances, objectives, or needs and are not intended as recommendations of particular securities, financial instruments or strategies toparticular clients. The recipient of this report must make its own independent decisions regarding any securities or financial instrumentsmentioned herein. JPMS distributes in the U.S. research published by non-U.S. affiliates and accepts responsibility for its contents. Periodicupdates may be provided on companies/industries based on company specific developments or announcements, market conditions or any otherpublicly available information. Clients should contact analysts and execute transactions through a J.P. Morgan subsidiary or affiliate in theirhome jurisdiction unless governing law permits otherwise.

“Other Disclosures” last revised September 1, 2010.

Copyright 2010 JPMorgan Chase & Co. All rights reserved. This report or any portion hereof may not be reprinted, sold orredistributed without the written consent of J.P. Morgan.

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jpm 2010 annual review

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