2013 Leveraged Finance Outlook and 2012 Annual Review

Transcription

1 Fixed Income Research Leveraged Finance Outlook and 2012 Annual Review Research Analysts Jonathan Blau Daniel Sweeney Karen Friedlander Table of Contents 2013 Leveraged Finance Outlook... 3 U.S. High Yield Performance Review U.S. Leveraged Loan Performance Review Western European High Yield Market Performance Review Western European Leveraged Loan Market Performance Review Leveraged Equity Performance Review Relative Value of Leveraged Finance Assets U.S. High Yield Events Review U.S. High Yield New Issue Review U.S. Institutional Leveraged Loan New Issue Review Western European High Yield New Issue Review U.S. Default Review U.S. Institutional Leveraged Loan Default Review Western European High Yield Default Review Western European Institutional Leveraged Loan Default Review ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE DISCLOSURE APPENDIX. FOR OTHER IMPORTANT DISCLOSURES, PLEASE REFER TO CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION Client-Driven Solutions, Insights, and Access

2 Leveraged Finance Outlook and 2012 Annual Review

3 2013 Leveraged Finance Outlook Our total return projection for 2013 for U.S. high yield is 7%. We project a 1% 2% default rate for high yield bonds in Our bottom-up default forecast is 1.4%, and we weight the risk to the upside. For 2014, we are projecting a small increase to 2.1%. Our total return projection for 2013 for US leveraged loans is 5.5%. We project a 1% 4% default rate for leveraged loans for 2013 and 3% 6% for Most of the loan default rate increase is concentrated in a half dozen companies. Since yields declined below 10% in September 2009, we have observed six cycles of tightening/widening, where yields have increased by at least 50 bps and then retraced the entire move. Although our year-end 2013 forecasts for yields are close to current levels, we expect the trend of tightening/widening cycles to continue. These cycles have exhibited some similarity in strength and duration, but we don t know how to project their timing. This leads to uncertainty in the return forecast: where in the tightening/widening cycle will 2013 end? The deceleration of corporate revenue and earnings growth has garnered attention lately, though this trend has been underway since the peak in growth last year. Over the past two decades, revenue growth has never declined as much as now without eventually turning negative, though EBITDA growth is currently declining much slower. This is similar to 1998, when the slowdown in revenues was not associated with a recession or a default cycle. With CS economists forecasting a modest re-acceleration in the economy, this scenario is our base case: a mid-cycle earnings slowdown without a recession. We project $330 billion high yield issuance in 2013, about the same as 2012, which was a record year at $344 billion. We project $230 billion institutional loan issuance in In 2012, loan issuance was $264 billion. Exhibit 1: Projected 2013 Returns, Defaults, and Issuance 2013 Projections Performance Default Rate Issuance US High Yield Bonds 7% 1% - 2% $330 Bln US Leveraged Loans (Institutional) 5.5% 1% - 4% $230 Bln Our total return projection for 2013 for Western European high yield is 6%. Our default forecast for European high yield is 1% to 2% in 2013 and 1% to 3% in Our total return projection for 2013 for Western European leveraged loans is 5%. Our default forecast for European loans is 2% to 4% in 2013 and 2% to 6% in The Euro Area and U.K. economies have been in mild recession for most of 2012, with a clear downward trend in PMIs and other leading indicators for the past two years. These indicators have stabilized recently and show signs of improvement. Credit Suisse Economics Research expects GDP growth to be 1.8% in the Euro Area and 2% in the U.K. by the end of The Credit Suisse Western European High Yield Index spread is currently 460 bp, 176 bp tighter than the long-term average. Spreads have tightened during the current Euro Area recession for two reasons. First, most original issue high yield is located in the core countries, which have been less affected thus far. Second, as fallen angels enter the market from the peripheral countries, they enter as BBs with relatively low spreads, tightening the average. Currently, bonds with a BB from at least one ratings agency comprise 64% of the high yield index, a sharp increase from 26% at the end of BB financials now comprise 15% of the overall index, up from 0% in This shift in composition has added volatility to high yield spreads and makes relative value comparisons based on historical relationships more difficult Leveraged Finance Outlook and 2012 Annual Review 3

4 At 629 bp, the Credit Suisse Western European Leveraged Loan Index discount margin is still well above its long-term average of 508 bp. This large excess spread has cushioned investors against default losses, which is evidenced by the strong 2012 total return of 10.39%. The outstanding 2006/2007 vintage loans that are in distress will continue to restructure, causing default rates to remain above average. For 2013, we project 75 billion of new European high yield issuance and 20 billion of European institutional leveraged loan issuance. Exhibit 2: Projected 2013 Returns, Defaults and Issuance 2013 Projections Performance Default Rate Issuance W. European High Yield (Hedged in ) 6% 1% - 2% 75 Bln W. European Lev. Loans (Hedged in ) 5% 2% - 4% 20 Bln Leveraged Finance Outlook and 2012 Annual Review

5 U.S. High Yield Outlook The CS High Yield Index spread is 510 bp as of January 17, This is just 22 bp above the low of 488 bp from early 2011, though spreads have also been as wide as 870 bp in the intervening period. Spreads, along with other measures such as price and return, have been much more volatile in the past three years than during prior economic expansions. Exhibit 3: CS HY Index Spread-to-Worst 2000bps 1816 bp 11/28/ bps Spread to Worst 1200bps 800bps 1079 bp 12/31/90 Average: 587 bp 1080 bp 10/31/02 10/4/ bp 400bps 0bps 307 bp 2/28/ bp 2/28/ bp 5/31/07 2/8/ bp 510 bps 1/17/13 Since yields declined below 10% in September 2009, we have observed six cycles of widening/tightening, where yields have increased by at least 50 bps and then retraced the entire move. Although yields are currently lower than our year-end 2013 forecast, we expect this trend of heightened volatility to continue and for yields to push higher at some point during the year. Exhibit 4: CS HY Index Yield-to-Worst (9/30/09 1/11/13) CS HY Index Yield-to-Worst 10.0% 9.5% 9.0% 8.5% 8.0% 7.5% 7.0% 6.5% 6.0% 5.5% 5.0% Leveraged Finance Outlook and 2012 Annual Review 5

6 Credit Suisse economics research forecasts 2013 GDP growth to increase to 2.5% by the end of the year, which is correlated historically to a 590 bp spread. The following exhibit compares the spread (inverted on the right-hand scale) to the following quarter s GDP (for 4Q12 forward, we are using Credit Suisse economics research forecasts). Exhibit 5: Next Quarter Real GDP YoY% Change vs. CS HY Index Spread Next Qtr YoY Real GDP %Chng 10% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% Correlation =.75 YoY% CS Economic Forecasts 0 bp 200 bp 400 bp 600 bp 800 bp 1000 bp 1200 bp 1400 bp 1600 bp 1800 bp Spread to Worst Next Qtr YoY Real GDP %Chng HY Spread-to-Worst, the BLOOMBERG PROFESSIONAL service There are periods where the spread projects a stronger economy than realized, such as , or a weaker economy, such as In the next exhibit, we zoom into the recent data. This illustrates both the volatility of the spread and the reversion to mean around economic results. Currently, the spread implies a slightly stronger economy than the forecast, though it is well within the variance experienced over the past three years. Ultimately, GDP serves as the anchor for spreads, and hence it remains the basis of our projections. Exhibit 6: Next Quarter Real GDP YoY% Change vs. CS HY Index Spread Next Qtr YoY Real GDP %Chng 6% 3% 0% -3% -6% Correlation =.75 Next Qtr YoY Real GDP %Chng HY Spread-to-Worst YoY% CS Economic Forecasts 200 bp 400 bp 600 bp 800 bp 1000 bp 1200 bp 1400 bp 1600 bp Spread to Worst -9% 1800 bp, the BLOOMBERG PROFESSIONAL service Leveraged Finance Outlook and 2012 Annual Review

7 Our baseline total return projection for 2013 for U.S. high yield is 7%. The variance of the spread around GDP in our model can persist for many quarters, which leads to uncertainty in the return forecast: when will the spread return to mean? If the spread returns to the historical level for 2.5% GDP growth by the end of 2013, the model projects a sub-6% return. But, the QE3 program by the Federal Reserve has been driving the market tighter and fueling issuance. Credit Suisse economics research believes that QE will continue throughout 2013, though at a slower pace in the second half. That implies that the spread may be tight to GDP into When we examine these scenarios, we forecast a range of 6% to 8% for total return in Exhibit 7: Credit Suisse US High Yield Return Projection Detail Return Estimate Methodology 12/31/12 Spread 554 bp GDP Growth of 2.5% 590 bp Spread Change Treasury Change Total Yield Change 37 bp 10 bp 47 bp 12/31/12 Yield-to-Worst 6.25% Future Yield-to-Worst 6.71% 12/31/12 Price Future Price (Implied by Yield) Principal Return -1.76% Interest Return 7.58% Total Return 5.82% Methodology notes: The base GDP growth of 2.5% is the Q projection of our economics team. The spread associated with this economic outcome is from the historical correlation of GDP with high yield spreads as seen in Exhibit 4. The treasury change is based on the projection of our interest rates team. The interest return is the current yield (average coupon / average price). We project a 1% 2% default rate for high yield bonds in Our bottom-up forecast comes to 1.4%, and we weight the risk to the upside. For 2014, we are projecting a small increase to 2.1%. Exhibit 8: Historical and Projected High Yield Default Rate 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 2.9% 4.8% 1.6% 3.8% 8.8% 7.9% 4.1% 4.5% 3.3% 2.3% 1.8% 1.4% 1.4% 0.9% 0.9% 9.2% 15.5% 5.5% 4.3% 2.6% 1.3% 0.7% 0.5% 9.4% 1.6% 1.8%1.7% 1.4% 2.1% Default Rate 2013 Leveraged Finance Outlook and 2012 Annual Review 7

8 The deceleration of corporate revenue and earnings growth has garnered attention lately, though this trend has been underway since the peak in growth last year. Exhibit 9 shows the YoY revenue growth of the S&P 500, as well as the short history that we have compiled for the high yield universe. Exhibit 9: YoY Revenue Growth of S&P 500 and High Yield 15.00% 10.00% YoY S&P 500 Revenue Growth YoY HY Revenue Growth YoY Revenue Growth 5.00% 0.00% -5.00% % % Jun-94 Feb-95 Oct-95 Jun-96 Feb-97 Oct-97 Jun-98 Feb-99 Oct-99 Jun-00 Feb-01 Oct-01 Jun-02 Feb-03 Oct-03 Jun-04 Feb-05 Oct-05 Jun-06 Feb-07 Oct-07 Jun-08 Feb-09 Oct-09 Jun-10 Feb-11 Oct-11 Jun-12, the BLOOMBERG PROFESSIONAL service At least over this time period, revenue growth has never declined as much as now without eventually turning negative. To better understand what this means for high yield bonds, we compare the corresponding data for S&P 500 EBITDA growth in Exhibit 10, alongside the high yield spread. High yield spreads are very well correlated with year-over-year EBITDA growth in the S&P 500. EBITDA growth is currently declining much slower than revenue growth, similar to 1998 when the slowdown in revenues was not associated with a recession or a default cycle. With CS economists forecasting a modest re-acceleration in the economy, this scenario is our base case: a mid-cycle earnings slowdown without a recession. With spreads wider than during previous economic expansions, though tighter than the long-term average, we still have some spread cushion to support this outcome in our return and default forecasts. Exhibit 10: YoY EBITDA Growth of S&P 500 and High Yield versus HY Spread YoY EBITDA Growth 25% 20% 15% 10% 5% 0% -5% -10% -15% -20% -25% -30% YoY S&P 500 EBITDA Growth YoY HY EBITDA Growth HY Spread-to-Worst Spread-to-Worst (Inverted), the BLOOMBERG PROFESSIONAL service Leveraged Finance Outlook and 2012 Annual Review

9 Over the past two years, BBs returned 23.3%, Bs 24.4% and CCCs 19.6%. In particular, we observe that from the beginning of 2011 until the end of November 2012, the cumulative return of Bs and BBs were virtually identical. Since then, Bs have outperformed. Exhibit 11: Total Return by Rating since 12/31/2010 Total Return since 12/31/ % 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% -5.0% 20.75% 20.65% 1/15/ % 11/30/ % 23.31% 19.61% B BB CCC/Split CCC -10.0% -15.0% We believe the current outperformance of Bs is driven by two factors. First, QE has driven risky assets, which has a stronger effect on Bs than BBs. Second, Treasuries have risen about 10 to 20 bp over this period, depending on the comparable treasury. BBs have been absorbing this rise by tightening, but at a somewhat slower rate than QE is driving Bs. This can also be illustrated by the spread difference between Bs and BBs in the next exhibit. Bs lagged BBs in the first three quarters of 2011, but then reversed the trend. The difference is now 178 bp, but historically it has been about 100 bp during economic expansions. With our interest rate strategists forecasting higher treasury rates for 2013, we expect Bs to continue to outperform. Exhibit 12: B-Rated Spread versus BB-Rated Spread 600 bp 500 bp 400 bp Average: 191 bp B - BB Basis 300 bp 200 bp 100 bp 9/30/ bp 1/31/ bp 178 bp 1/17/13 0 bp -100 bp Jan-86 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 Jan-11 Jan-12 B vs. BB Spread 2013 Leveraged Finance Outlook and 2012 Annual Review 9

10 There has been a slight correlation between the spreads at the beginning of 2012 and the total return performance year-to-date. Gaming and services had the widest spreads and outperformed the index, but not as strongly as housing and financials, which were the 8 th and 3 rd widest sectors, respectively. Exhibit 13: 2012 Industry Returns versus 12/31/2011 Spreads 25.00% 950 bp 900 bp 20.00% YTD Total Return Industry Spreads 12/31/ bp 15.00% 10.00% 5.00% 800 bp 750 bp 700 bp 650 bp 600 bp 550 bp 12/31/2011 Spread 0.00% 500 bp Housing Financial Service Retail Media/Telecom Transportation Chemicals Healthcare Gaming/Leisure CS High Yield Index Food/Tobacco Aerospace Consumer Durables Consumer Non- Durables Manufacturing Information Technology Energy 2012 Total Return Forest Prod/Containers Utility Metals/Minerals Food and Drug Housing and financials seem to have priced in most of the good news, as these sectors currently have the tightest spreads. Services are currently the widest sector and are exhibiting positive revenue growth and EBITDA growth, as well as declining leverage, making this a relatively attractive sector. Food and drug is the second widest sector, though this risk is mostly related to a single name. Exhibit 14: Industry Spreads as of 12/31/ bp Spread-to-Worst 700 bp 650 bp 600 bp 550 bp 500 bp 450 bp 400 bp Service Food & Drug Gaming/Leisure Metals/Minerals Consumer Durables Information Technology Transportation Healthcare Credit Suisse High Yield Index Utility Media/Telecom Retail Food/Tobacco Energy Aerospace Chemicals Forest Products Consumer Non-Durables Manufacturing Financial Housing Leveraged Finance Outlook and 2012 Annual Review

11 We build our bottom-up default rate forecast by estimating the probability of each company defaulting in a particular year and multiplying by the face amount outstanding. We divide that amount for each sector by the total outstanding in the sector. Note that it is quite possible for one company with a large amount of debt but only a 25% chance of default to have an outsized impact on the projected default rate for a particular industry. This is the case for the three industries with the highest projected default rates: broadcasting, gaming and food and drug. Exhibit 15: Projected Cumulative HY Default Rates by Industry versus Spread 750 bp 700 bp Gaming 1/10/2013 Spread 650 bp 600 bp Services Diversified Media Other Metals R² = 0.38 Broadcasting Food And Drug 550 bp Oil Svc & Eq Info Tech Cons Durables 500 bp E & P Utility Healthcare Average Environ Svc Retail Aero/Def Telecom Chemicals Paper Cons Non-Durables Manf 450 bp Refining Airlines Bldg Mat Auto Wireless Packaging 400 bp Cable 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% Projected Cumulative HY Default Rates Historically, when the yield falls significantly below the coupon, there is a wave of refinancing in the high yield market. Currently the yield is 206 bp below the coupon, which is the greatest difference in the history of the market. A difference of 170 bp or more has been the driver for large waves of issuance in the past, including the last quarter. We expect low yields to continue to drive significant refinancing volume in 2013, and we are projecting total issuance of $330 billion for Steel Exhibit 16: Yield-to-Worst versus Coupon of CS HY Index Yield and Coupon 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 10.64% Coupon Yield-to-Worst 1/31/ % 12/31/ % Difference: 177 bp 8.73% 8.49% Difference: 174 bp 7.90% 4/29/ % 6.75% 1/17/13 Difference: Difference: 174 bp 206 bp 2013 Leveraged Finance Outlook and 2012 Annual Review 11

12 Another way to illustrate issuance trends is to observe the price, which is above par when the yield is below the coupon. Indeed, there is a coincident relationship between average price and issuance. Based on this relationship since 2009, we expect issuance over the next year to average 2.3% per month of the current $1.212 trillion outstanding, which equates to a total issuance of $330 billion for This is slightly less than the 2012 total, which was a record year at $344 billion. Exhibit 17: High Yield Price vs New Issuance as a Percentage of Total Outstanding (3-Month Rolling Average) 110% 3.5% Average Price (Excl. Defaults) 100% 90% 80% 70% 60% 50% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Issuance % of Outstanding CS HY Index Price (Excl. Defaults) Issuance % of Outstanding (3-Month Rolling Average) There is $110 billion face value trading to a call in 2013 and another $23 billion maturing and trading above par, which is likely to be replaced by new issues. The total of about $135 billion is a reasonable estimate for bond refinancing volume for $135 billion of bond refis would be greater than the 2012 total of $111 billion for However, the higher bond refi volume will likely be offset by lower loan refi volume. Loan refis as a percentage of total high yield issuance has declined throughout the year, as the CLO market has strengthened the primary loan market. We expect this trend to continue, and we should see less loan refi volume than the $94 billion in We also expect dividend issuance to decline as the rush to beat possible tax changes is no longer urgent. Exhibit 18: Bond and Loan Refinancings as a Percentage of HY Issuance 35% Trailing 6-Month Percentage of HY Issuance 30% 25% 20% 15% 10% 5% 30.75% 21.63% Bond Refi as a % of HY Issuance (Trailing 6- Months) Loan Refi as a % of HY Issuance (Trailing 6- Months) 0% Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec Leveraged Finance Outlook and 2012 Annual Review

13 U.S. Leveraged Loan Outlook The Credit Suisse Leveraged Loan Index discount margin is 534 bp as of January 17, We don't think that GDP or earnings growth will be strong enough to drive discount margins much tighter in 2013, though there is a possibility that increased CLO demand could cause some spread tightening. Exhibit 19: CS Leveraged Loan Index Three-Year Discount Margin 1900bps 1700bps 12/31/ bp 1500bps Discount Margin 1300bps 1100bps 900bps 700bps 500bps 300bps 100bps Average : 452 bp 616 bp 632 bp 10/31/01 10/31/ bp 3/30/07 8/31/ bp 534 bp 1/17/13 *Discount margin (DM) assumes 3-year average life The 101 bp tightening of discount margins in 2012 resulted in a strong year for new issuance, with $264 billion of new institutional loans issued during the year. Historically, the three-month average of issuance volume has tracked discount margins closely. Issuance volumes in the second half of 2012 exceeded the levels implied by this relationship, as dividend deals surged to $20.8 billion of second half issuance. We expect issuance to revert in 2013 to a monthly average of about 3% of the outstanding market size of $644 billion, based on the year-end discount margin of 555 bp. This equates to $230 billion in new institutional loan volume for 2013, about 12% less than in Exhibit 20: Leveraged Loan Discount Margin versus Institutional Issuance as a Percentage of Total Outstanding (3-Month Rolling Average) 6.0% Issuance % of Outstanding (3-Month Avg) 400 bp Monthly Issuance % of Outstanding (3-Month Average) 5.0% 4.0% 3.0% 2.0% 1.0% Discount Margin 450 bp 500 bp 550 bp 600 bp 650 bp 700 bp Discount Margin 0.0% 750 bp 2013 Leveraged Finance Outlook and 2012 Annual Review 13

14 There was a resurgence of CLO issuance during 2012, and we expect this trend to continue in 2013 as investors seek yield. New CLO issuance is mostly replacing CLOs that have exited their reinvestment period, and thus these new deals haven t been compressing spreads in the primary loan market as occurred in Exhibit 21: US CLO issuance U.S. CLO Issuance (in $bn) US CLO Issuance (in $bn) However, with volumes at $54 billion in 2012 and steadily increasing, we are keeping an eye on the all-in CLO financing costs as a potential driver of tightening in the loan market. Exhibit 22: CLO All-In Cost of Financing CLO Liability Cost CLO Liability Cost (bps over LIBOR) Leveraged Finance Outlook and 2012 Annual Review

15 $22 billion of loans that mature by the end of 2014 are trading with a discount margin to maturity greater than 1000 bp. Adding in the extended TCEH loan, which matures in 2017 and is also wide of 1000 bp, brings this total to about $38 billion. This is a fair estimate of the loans which are likely to default/restructure over the next two years, at 6.1% of all loans outstanding. Exhibit 23: Leveraged Loans Maturing by Year: Discount Margin to Maturity >1000 bp $ Billions *Excludes revolvers, letters of credit, and delayed draw loans. Leveraged Loans Discount Margin to Maturity >= 1000 bp Maturing by Year (As of 12/31/12) We believe that the timing of the cumulative 6.1% defaults over two years will be distributed as a 2% default rate for 2013 and a 4.1% rate for Given the uncertainty of this timing, we also project a range of 1% 4% for 2013 and 3% 6% for Exhibit 24: Leveraged Loans Default Rates: Historical and Projected >1000 bp 12% Loan Default Rate 10% 8% 6% 4% 2% 0% 2.50% 1.32% 0.45% 0.55% 0.85% 5.29% 6.84% 8.10% 3.82% 1.01% 1.55% 0.37%0.23% 2.91% 9.57% 2.61% 1.73% 2.00% 0.66% 4.10% (est.) (est.) Defaulted loans defined as missed coupon, filed chapter 11, distressed exchange, or cross-defaults Leveraged Finance Outlook and 2012 Annual Review 15

16 Loan yields (calculated to a three-year refinancing) are currently 5.72%, just 12 bp tighter than high yield bond yields of 5.84%. The average difference between these yields has been 83 bp since December This relationship has tightened dramatically over the past six months after being fairly stable over the prior two years. Exhibit 25: Leveraged Loan Yield (3 yr) versus High Yield Bond Yield 19% 17% 15% Correlation = 0.88 HY Yield-to-Worst CS Lev Loan Index Yield (Assumes 3-yr Refi) Yield 13% 11% 9% 7% 5% 1/17/ % 5.72% Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Our baseline total return projection for 2013 for US leveraged loans is a little below 5.5%, though our model suggests we will end up near the high end of that range. As we discussed in the high yield section, we expect the trend of tightening/widening cycles to continue, which leads to uncertainty in the return forecast. When we examine the most likely scenarios for stronger or weaker growth, we forecast a range of 4.5% to 6%. Exhibit 26: US Leveraged Loan Projections Detail Return Estimate Methodology 12/31/12 Loan Yield 5.93% Future Loan Yield 5.91% 12/31/12 Price Future Price (Implied by Yield) Principal Return 0.24% Interest Return 5.16% Total Return 5.40% Methodology notes: we derive the future loan yield by assuming that the difference between loan yields and bond yields will end 2013 at the average of 80 bp. The interest return is the current yield (average coupon / average price) Leveraged Finance Outlook and 2012 Annual Review

17 Covenant lite issuance was 30% of new issue volume in This is a natural consequence of the low yield environment, with investors willing to sacrifice some covenant protection in exchange for extra yield. Covenant lite loans currently comprise 22.6% of the CS Leveraged Loan Index, an all-time high. Exhibit 27: Covenant Lite Percentage: CS Leveraged Loan Index Par Weight CS LL Index 25.00% 20.00% 15.00% 10.00% 5.00% 7/31/ % 1/31/ % 1/10/ % 0.00% Covenant Lite Seven percent of covenant lite loans are second liens compared to only 4% of full covenant We sorted the categories of covenant and seniority together, creating four baskets: full covenant 1 st lien, cov lite 1 st lien, full covenant 2 nd lien and cov lite 2 nd lien. The next exhibit shows that over the past five years, the risk-adjusted return of each basket is nearly identical. Covenant lite loans and second liens have outperformed with higher volatility. This is the tradeoff investors are making: somewhat higher returns for somewhat higher risk. Exhibit 28: Risk vs. Return, Covenant Lite versus CS Leveraged Loan Index: Jan 2007 Dec % Annualized Return 6.0% 5.0% 4.0% 3.0% 2.0% Full Cov - 1st Lien Index Cov Lite - 2nd Lien Full Cov - 2nd Lien Cov Lite - 1st Lien 1.0% 3-Month T-Bill 0.0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Annualized Return Volatility 2013 Leveraged Finance Outlook and 2012 Annual Review 17

18 There haven't been enough covenant lite defaults to comprise a statistically significant sample. The thin data available show lower default rates and lower recovery rates for covenant lite loans. The combination of lower default rates and lower recovery rates has had an ambiguous impact on the default loss rate. We need a more robust data set before we can compare the default loss rate of covenant lite loans to the overall default loss rate. Exhibit 29: Default and Recovery Rates by Covenant Default Rate by Covenant Cov-Lite Full Covenants Overall % 0.45% % 1.32% % 0.55% % 0.85% % 2.50% % 5.29% % 6.84% % 8.10% % 3.83% 3.82% % 1.01% 1.01% % 1.56% 1.55% % 0.39% 0.37% % 0.27% 0.23% % 3.40% 2.91% % 10.35% 9.57% % 2.78% 2.61% % 0.79% 0.66% % 1.57% 1.73% Average: 1.26% 2.64% 2.80% Recovery Rate by Covenant Cov-Lite Full Covenants Overall % % % % % % 56.75% % 57.09% % 62.59% % 66.97% % 83.41% % 86.09% % 66.08% % 88.63% % 54.44% 53.65% % 43.74% 43.18% % 54.28% 50.54% % 55.44% % 50.93% 48.72% Average: 35.02% 62.45% 65.16% Compounding this problem is the heavier second lien weighting in covenant lite loans. Separating the recovery rate data by covenant and lien shows that first-lien cov lite defaults had higher recoveries in 2010 and Exhibit 30: Recovery Rates by Covenant and Lien Cov-Lite First Lien Full Covenants First Lien Cov-Lite Second Lien Full Covenants Second Lien Overall % % % % % % 56.75% % 57.09% % 59.56% 62.59% % % 66.97% % 97.87% 83.41% % 74.27% 86.09% % 49.41% 66.08% % 72.91% 88.63% % 60.24% 7.96% 41.67% 53.65% % 51.93% 10.03% 20.76% 43.18% % 70.77% 14.38% 18.20% 50.54% % 23.38% 55.44% % 55.09% 11.31% 13.56% 48.72% Average: 58.98% 73.02% 10.92% 45.78% 65.16% Leveraged Finance Outlook and 2012 Annual Review

19 European High Yield Outlook The Euro Area and U.K. economies were in a mild recession for most of 2012, with a clear downward trend in PMIs and other leading indicators for the past two years. However, these indicators stabilized during the fourth quarter and show signs of improvement. Credit Suisse Economics Research expects the euro area economy to pull out of recession early in the new year, though it is likely to be a slow, U-shaped recovery because there is little scope for the inventory-driven bounce in output that was seen in early Exhibit 31: Euro & UK PMIs European PMI UK Services PMI UK Manufacturing PMI Eurozone Services PMI Eurozone Manufacturing PMI /1/2006 7/1/ /1/2006 3/1/2007 7/1/ /1/2007 3/1/2008 7/1/ /1/2008 3/1/2009 7/1/ /1/2009 3/1/2010 7/1/ /1/2010 3/1/2011 7/1/ /1/2011 3/1/2012 7/1/ /1/2012, the BLOOMBERG PROFESSIONAL service This low growth scenario should limit the spread tightening in the high yield market, though this wasn t the case in Peripheral sovereign risk was the more important driver in 2012 for European high yield, with the average five-year yield of Italy, Spain and Portugal tightening 400 bp. This decline in peripheral sovereign yields can t be repeated to the same extent in 2013, though CS Interest Rates Strategy expects 2009 levels to be tested during the year, meaning that there could still be bp more tightening of peripheral sovereigns in This could continue to exert some downward pressure on yields, though we expect the economic outlook to dominate performance as 2013 progresses. Exhibit 32: 5-Year Peripheral Sovereign Yield (Italy, Spain, Portugal) versus Credit Suisse Western European High Yield Index Yield 12.00% 10.00% Yield 8.00% 6.00% 4.00% 2.00% Western European HY Yield-to-Worst 5-Year Peripheral Sovereign Yield (Italy, Spain, Portugal Average) 0.00%, the BLOOMBERG PROFESSIONAL service 2013 Leveraged Finance Outlook and 2012 Annual Review 19

20 Our total return projection for 2013 for Western European high yield is 6%. When we examine the most likely scenarios for stronger or weaker growth, we forecast a range of 5% to 7%. The Credit Suisse Western European High Yield Index spread is currently 460 bp, 176 bp tighter than the long-term average. Spreads have tightened during the current Euro Area recession for two reasons. First, most original issue high yield is located in the core countries, which have been less affected thus far. Second, as fallen angels enter the market from the peripheral countries, they enter as BBs with relatively low spreads, tightening the average. Exhibit 33: Credit Suisse Western European High Yield Index Spread Spread to Worst 1800bps 1600bps 1400bps 1200bps 1000bps 800bps 600bps 400bps 200bps 0bps Average STW: 636 bp 353 bp 9/30/ bp 9/28/ /31/ bp 219 bp 5/31/2007 2/28/ bp 460 bp 1/17/2013 These shifts are shown in Exhibit 34. Currently, bonds with a BB from at least one ratings agency comprise 64% of the Credit Suisse Western European High Yield Index, a sharp increase from 26% at the end of This occurred in two stages. The composition of original issue high yield shifted towards BBs in as several companies were upgraded from B. Beginning in 2009, fallen angel financials entered the BB segment. BB financials now comprise 15% of the overall index, up from 0% in Exhibit 34: Market Weights by Rating and Industry of the Credit Suisse Western European High Yield Index 100% 90% 26% % of WE HY Index 80% 70% 60% 50% 40% 30% 20% 74% 49% 49% 15% 49% 34% BB, ex-financials BB Financials B and below, ex-financials 10% 0% B and below Financials Leveraged Finance Outlook and 2012 Annual Review

21 These ongoing shifts have added more volatility to high yield spreads, as financials were dramatically wider than non-financials last year but now are tighter. Exhibit 35: Western European High Yield Spreads, Industrials vs. Financials 2300 bp Spread-to-Worst 1800 bp 1300 bp 800 bp 300 bp 1583 bp 1256 bp 860 bp 1/1/2009 3/1/2009 5/1/2009 7/1/2009 9/1/ /1/2009 1/1/2010 3/1/2010 5/1/2010 7/1/2010 9/1/ /1/2010 1/1/2011 3/1/2011 5/1/2011 7/1/2011 9/1/ /1/2011 1/1/2012 3/1/2012 5/1/2012 7/1/2012 9/1/ /1/2012 1/1/2013 Financials WE HY Index Ex-Financials 1/10/ bp 388 bp These shifts in composition are also evident in the relationship between core and peripheral spreads. About half of the 2012 spread tightening in the periphery was caused by the addition of fallen angels into the periphery segment, the majority of which were BBrated banks that traded tighter than the index. The average spread of the peripheral fallen angels added to the index in 2012 was 441 bp, a significant source of the peripheral tightening. Exhibit 36: Western European High Yield Spreads, Core vs. Periphery 1400 bp 1200 bp Spread-to-Worst 1000 bp 800 bp 600 bp 400 bp 1/10/ bp 458 bp 443 bp Periphery CS WE Index Core 200 bp Though the difference between peripheral and core spreads has tightened 300 bp since the end of 2011 as a result of the composition shift, the returns have been very similar. Exhibit 37: Core versus Periphery: Spread Differential and Total Returns since 12/31/11 Peripheral-Core Spread Difference 600 bp 500 bp 400 bp 300 bp 200 bp 100 bp 0 bp 109 bp Peripheral-Core Spread Difference 9/23/ bp 12/30/ bp Cumulative Total Return YTD 30% 25% 20% 15% 10% 5% 56 bp 1/10/13 0% 27.24% 24.83% 23.99% Periphery CS WE Index Core 2013 Leveraged Finance Outlook and 2012 Annual Review 21

22 The rapidly changing composition of the market presents several challenges. First of all, relative value comparisons are more difficult. For example, it appears that peripheral spreads are far too tight relative to core spreads, but much of this depends on the fate of the downgraded banks. Additionally, building forecasts based on historical relationships is more challenging. We build our return projections model based on the correlation of spreads to GDP growth over a long baseline. Since the ratings composition has changed so dramatically in the last six years, we must examine this relationship for each ratings category and assemble the results into an overall market projection. Comparing B spreads to GDP growth shows that the B segment of the market is tighter than current GDP growth implies, but is roughly in-line with expectations for the end of Exhibit 38: W. Euro. High Yield B Spread vs. Next Quarter Real Euro GDP Next Qtr YoY Real GDP %Chng 6.0% 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% Correlation =.75 YoY% CS Economic Forecasts 0 bp 200 bp 400 bp 600 bp 800 bp 1000 bp 1200 bp 1400 bp 1600 bp B Spread to Worst -8.0% 1800 bp Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Next Qtr Real Euro GDP YoY %Chng CS Econ Forecast YoY% B Spread-to-Worst, the BLOOMBERG PROFESSIONAL service This is also true if we compare GDP growth against the spreads of other rating categories. Weighting all of the ratings segments produces an implied spread of 540 bp for 2013, 25 bp wider than the 2012 year-end spread of 515 bp. We are using the CS Economics team s Euro Area GDP growth forecast of 1.9%. Exhibit 39: Western European High Yield Index Spread Projections Historical Spread at 1.9% GDP growth % of Index Spread Contribution at 1.9% GDP growth Split BBB 279 bp 8.37% 23 bp BB 392 bp 45.22% 177 bp Split BB 476 bp 9.08% 43 bp B 604 bp 22.32% 135 bp Split B 891 bp 5.26% 47 bp CCC/Split CCC 1324 bp 7.79% 103 bp Not Rated 571 bp 1.95% 11 bp Total % 540 bp Leveraged Finance Outlook and 2012 Annual Review

23 We believe that there is modest room for more spread tightening in 2012, given improving economic conditions. Our total return projection for Western European high yield for 2013 is 6%. When we examine the most likely scenarios for stronger or weaker growth, we forecast a range of 5% to 7%. Exhibit 40: CS Western European High Yield Return Projections Detail 12/31/2013 Growth of 1.9% 540 bp Spread as of 12/31/ bp Spread Change Bund Widening Total Yield Change 25 bp 28 bp 53 bp Yield-to-Worst as of 12/31/ % Future Yield-to-Worst 6.04% Price as of 12/31/ Future Price (Implied by Yield) Principal Return -1.77% Interest Return 7.02% Total Return for % Methodology notes: The base GDP growth of 1.9% is the quarter-over-quarter projection of our economics team for 3Q13. The spread associated with this economic outcome is from the historical correlation of GDP with high yield spreads as seen in Exhibit 39. The Bund widening is based on the projection of our interest rates team. The interest return is the current yield (average coupon / average price). European high yield spreads are currently 50 bp tighter than U.S. spreads started with European spreads 172 bp wider, a swing of 222 bp over the past year. This tightening was the source of the 8% outperformance by European high yield relative to the U.S. in The historical tights of this relationship are about 60 bp tighter, but given the lower coupon and higher average rating of European high yield, it will be much more difficult for European high yield to outperform US high yield in Exhibit 41: Western European versus U.S. High Yield Spread-to-Worst West. Euro - U.S. Spread Basis 400 bp 350 bp 300 bp 250 bp 200 bp 150 bp 100 bp 50 bp 0 bp -50 bp -100 bp -150 bp Dec-97 Dec-98 Dec-99 Dec bp Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec bp Dec bp Dec-08 West. Euro. Spread - U.S. Spread Dec bp Dec bp Dec-11 Dec bp 1/17/ Leveraged Finance Outlook and 2012 Annual Review 23

24 Looking at the maturity schedule for financials versus non-financials shows that the plurality of near-term default risk stems from the financials. To an increasing extent, default projections are tied to the fate of the peripheral banks, which is inherently political. Spreads for financials maturing 2013 through 2015 are 294 bp, having tightened by more than 100 bp in the past month and now nearly identical to the spread of the remainder of the market maturing in those years, 287 bp. The market is pricing that the near-term problems of financials have been postponed, and possible restructurings have been pushed out. Exhibit 42: W. Euro. High Yield Maturities: Financials vs. Non-Financials Billions Financials Non-Financials Default rates have remained low despite the recession and are currently at 0.97%. Our default forecast is 1% to 2% in 2013 and 1% to 3% in There is a modest allowance for peripheral bank defaults in this analysis. Exhibit 43: Default Rates and Projections 20% 18% 16% 17.28% 33.91% Default Rate 14% 12% 10% 8% 6% 12.43% 6.56% 4% 2% 0% 2.35% 2.60% 1.20% 1.97% 0.97% 1.00% 1.60% 0.53% 1.06% 3.20% 0.97% 1%-2%1%-3% (est.) European High Yield Default Rate 2014 (est.) Leveraged Finance Outlook and 2012 Annual Review

25 The market issued a record of 54.4 billion equivalent of new issuance in We expect 2013 to set another record. Exhibit 44: Western European High Yield New Issuance Proceeds ( Bln Equiv.) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total We project 75 billion of new European high yield issuance in We base this projection on two analyses. In both of these analyses, we are excluding the effects of fallen angels since they are usually non-callable and less likely to be refinanced. Fallen angels in the European high yield market have grown to 37% of the market size, versus 16% two years ago. Our first analysis of 2013 issuance is based on the refinancing supply. As shown in Exhibit 45, there is 21 billion face value trading to a call in 2013 and another 18 billion maturing and trading above par, which implies 39 billion in refinancing activity. Assuming refinancing activity accounts for 55% of issuance as it did in 2012, M&A and general corporate issuance will add an additional 31 billion of new money to the market. Adding these estimates, this analysis suggests 70 billion in new issuance in Exhibit 45: W. Euro. High Yield New Issuance used for refinancing New Issuance for Refinancing ( billions) Projected billion currently trading to 2013 call 18 billion maturing in 2013 & trading above par 2013 Leveraged Finance Outlook and 2012 Annual Review 25

26 Our second analysis of 2013 issuance is based on the fact that when the yield falls significantly below the coupon, there is a wave of refinancing in the high yield market. Currently, the yield is 239 bp below the coupon, the largest difference since This is driving record new issuance and will continue to do so in Exhibit 46: Yield-to-Worst versus Coupon of CS Western European HY Index, excluding Fallen Angels 22.00% 20.00% 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 9/30/ % 9/30/ % coupon-yield = 142 bps 2/28/ % 2/28/ % coupon-yield= 250 bps 2/28/ % 2/28/ % coupon - yield= 136 bps 0.00% Jan-97 Jan-99 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 coupon - yield= 239 bps 7.84% 5.45% 1/14/13 Yields below coupon are equivalent to prices above par. There is a coincident relationship between average price and issuance, as seen in Exhibit 47. Since the absolute volume of issuance has grown with the outstanding market size, we used a relative measure, the issuance volume as a percentage of the outstanding market. This relationship suggests issuance over the next year to average 3.5% per month of the 205 billion of original issue high yield currently outstanding, which equates to 85 billion issuance for Exhibit 47: Western European High Yield Price vs. New Issuance as a % of Total Outstanding (3-Month Rolling Average, Excludes Fallen Angels) Average Price (Excl. Defaults & FAs) 115% 105% 95% 85% 75% 65% 55% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Issuance % of Outstanding Avg Px (ex Defaults & FAs) Issuance % of Outstanding (3-Month Rolling Average) Taking each of these analyses into account, 70 billion from the first and 85 billion from the second, we weighted them towards the more conservative estimate. We project 75 billion of new European high yield issuance in Leveraged Finance Outlook and 2012 Annual Review

27 Western European Leveraged Loans Our total return projection for 2013 for Western European leveraged loans is 5%. When we examine the most likely scenarios for stronger or weaker growth, we forecast a range of 4% to 6%. Our default forecast is 2% to 4% in 2013 and 2% to 6% in At 629 bp, the Credit Suisse Western European Leveraged Loan Index discount margin is still well above its long-term average of 508 bp. This elevated level is adequate to compensate for risk, though the discount margin has tightened by 209 bp since the end of This is also borne out by the strong total return of 10.39% for 2012, compared to the negative total return of -0.65% experienced in 2011, when discount margins began the year too low and weren t adequately compensating investors for risk. Exhibit 48: Credit Suisse Western European Leveraged Loan Index 3-Year Discount Margin 2000bps 12/31/ bp 1600bps Discount Margin 1200bps 800bps 400bps 0bps Average 3 yr Discount Margin: 508 bp 531 bp 12/31/ bp 4/30/ bp 1/17/2013 3yr Discount Margin (assumes 3yr refin) Comparing the discount margin to the default loss rate shows the elevated compensation for risk in the European loan market. The large excess spread in the market has cushioned investors against default losses, which are approaching 2009 levels. The current difference between the discount margin and default loss rate has tightened as default losses have increased and discount margins have tightened, and it is now much closer to the pre-2009 average difference of 364 bp. Exhibit 49: Western European Leveraged Loan Discount Margin vs. Default Loss rate Default Loss Rate 20.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Correlation: 0.90 Average Difference : 364 bp 1973 bp 4.59% Average Difference : 634 bp 12/31/ bp 2.78% 2000 bp 1800 bp 1600 bp 1400 bp 1200 bp 1000 bp 800 bp 600 bp 400 bp 200 bp 0 bp 3-Year Discount Margin Loan Default Loss Rate (8 Months Later) West. Euro. Loan Discount Margin (3 years) 2013 Leveraged Finance Outlook and 2012 Annual Review 27

28 The default rate for European loans was 5.23% in The outstanding 2006/2007 vintage loans that are in distress will continue to restructure, causing default rates to be above average. However, this segment of the market is priced for this outcome. There are 6 billion of loans maturing in the next two years that currently have discount margins to maturity greater than 1000 bp. Exhibit 50: W. Euro. Leveraged Loan Maturities by Discount Margin Billions WE Leveraged Loans Discount Margin (to Maturity) >= 1000 bp Maturing by Year (As of 12/31/12) WE Leveraged Loans Discount Margin (to Maturity) < 1000 bp Maturing by Year (As of 12/31/12) We project the European loan default rate decreases from 5.44% currently to 2% to 4% in Since there are a number of distressed loans maturing in 2015, which will likely have some sort of restructuring or default event in 2014 (if not earlier), we project 2% to 6% defaults in Exhibit 51: Western European Loan Default Rates Western Europe Loan Default Rate 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 47.00% 16.05% 6.79% 5.23% 4.57% 2.32% 1.43% 1.07% 0.83% 1.81% 2.15% 0.95% 0.09% Defaulted loans defined as missed coupon, filed for bankruptcy, entered administration, distressed exchange, or cross-defaults. *Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors Leveraged Finance Outlook and 2012 Annual Review

29 Exhibit 52 compares the Euro Area manufacturing PMI (inverted scale) to the leveraged loan discount margin. These have been fairly well correlated over the recent past. If the PMI breaks through 50 next year, the loan discount margin could tighten below 600 bp. Exhibit 52: Euro Area PMI versus W. Euro. Leveraged Loan Discount Margin 2000 bp 10 Discount Margin 1800 bp 1600 bp 1400 bp 1200 bp 1000 bp 800 bp 600 bp 400 bp 200 bp Discount Margin (3-year life) Eurozone Manufacturing PMI Eurozone PMI (Inverted) 0 bp Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar The size of the Western European loan market continued to decrease in 2012, though at a slower rate than in prior years. New issuance and prepayments were nearly equal, so bond-for-loan refinancings and bankruptcy resolutions were the primary source of the 21bn decline in the market size in Approximately 10% of the market was extended as issuers continue to buy time to grow into their capital structure. Exhibit 53: Western European Leveraged Loan Events Inst'l Loan Events ( Bln Equiv.) * New Issuance Issued in Extension Issued in Exchange Additions: Prepaid w/ Bonds Prepaid w/ Equity Prepaid w/ Loans/Cash Extended Bankruptcy Resolution Rising Star Illiquid/Unknown/FX Adjustments Deletions: Net Change: Beginning Size Ending Size *As of Dec 31, Leveraged Finance Outlook and 2012 Annual Review 29

30 Institutional issuance was 21.7 billion in 2012, which is about 13% of the December 2011 market size. This rate is too slow to refinance the market as older loans approach maturity. There was only one new CLO issued in Europe in 2012, and the lack of a CLO market makes refinancing more challenging than in the U.S. The U.S. market is refinancing about a third of the overall loan market size each year. Exhibit 54: Percentage of Facilities Outstanding Issued Prior to 2009 % Loan Facilities Issued Prior to % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Dec 6, % 14.5% Western European Leveraged Loans US Leveraged Loans Nevertheless, given the weakness in the European banking system, we do not forecast a change in this dynamic for We project 20 billion European institutional loan issuance for Exhibit 55: W. Euro. Institutional Leveraged Loan Issuance Institutional New Issue Volume ( Billions) /31/ /31/ Leveraged Finance Outlook and 2012 Annual Review

31 The 191 bp differential between loan and bond yields is wider than the average of 95 bp since 2009 and is close to the 200 bp wides from late 2010 and We expect this differential to tighten throughout 2013 as the strengthening economy tightens loan discount margins, but rising Bund yields pressure high yield bond yields. Exhibit 56: W. Euro. Leveraged Loan Yield (3yr life) vs High Yield Yield-to-Worst 22.00% 20.00% Correlation : 0.65 Correlation : % 16.00% Yield 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 1/17/ % Loans 5.13% HY Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 CS West Euro. HY YTW CS West Euro. Leveraged Loan Index Yield (3-year life) Based on the relationship in yields between European high yield and European loans, our total return projection for 2013 for European leveraged loans is 5%. When we examine scenarios for stronger or weaker growth, we forecast a range of 4%-6%. In the table below, we derive the future loan yield by assuming that the difference between loan yields and bond yields will be 90 bp at the end of The interest return is the current yield (average coupon / average price). Exhibit 57: Western European Leveraged Loan Return Projections Detail 12/31/2013 Loan Yield as of 12/31/ % Future Loan Yield (90 bp wide of HY) 6.94% Current Price Future Price (Implied by Yield) Principal Return 0.24% Interest Return 4.39% Total Return 4.63% 2013 Leveraged Finance Outlook and 2012 Annual Review 31

32 Leveraged Finance Outlook and 2012 Annual Review

33 U.S. High Yield Performance Review The Credit Suisse High Yield Index was up 14.71% for The spread tightened 175 bp during the year to 554 bp. The yield fell to 6.25%, a 198 bp decrease. The average price rose to , a 5.82-point increase. For 2012, the top performers have been the Credit Suisse Leveraged Equity Index, the NASDAQ Composite, and the Russell 2000, with returns of 20.67%, 17.76%, and 16.35%, respectively. The underperformers for 2012 have been the 10-year Treasury note, the Credit Suisse Leveraged Loan Index, and the LUCI (Liquid US Corporate Index), with returns of 4.12%, 9.43%, and 9.64%, respectively. Exhibit 58: High Yield vs. Market Returns Cumulative Total Return (1) TOTAL RETURN 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (2) 10-YEAR TREASURY -0.14% 3.72% 12.31% 1.09% 17.58% -2.17% 5.91% 0.85% -0.36% 1.15% -1.14% -0.36% 4.12% CREDIT SUISSE LUCI (LIQUID US CORPORATE INDEX) 0.76% 2.36% 3.39% 1.73% 8.49% 1.96% 2.52% 3.81% 1.25% -0.09% -0.12% 1.04% 9.64% CREDIT SUISSE HIGH YIELD INDEX 3.77% 1.04% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% CREDIT SUISSE HIGH YIELD INDEX, DEV'D COUNTRIES ONLY 3.74% 1.04% -5.13% 6.05% 5.46% 5.03% 1.58% 4.28% 0.86% 0.76% 1.50% 3.15% 14.76% CREDIT SUISSE INSTITUTIONAL HIGH YIELD INDEX 3.78% 1.04% -5.00% 6.13% 5.72% 5.10% 1.66% 4.37% 0.90% 0.81% 1.46% 3.20% 15.08% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (3) 2.80% 0.66% -8.66% 4.77% -0.97% 10.10% 0.20% 6.11% 2.12% 1.48% 2.01% 5.72% 23.76% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (4) 2.83% 0.82% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% CREDIT SUISSE LEVERAGED LOAN INDEX 2.65% 0.33% -3.76% 2.72% 1.82% 3.48% 1.01% 3.14% 0.37% 0.40% 0.73% 1.52% 9.43% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN $US) (3) 4.36% -0.21% -5.90% 1.21% -0.83% 4.76% 0.81% 2.75% 0.52% 0.70% 0.86% 2.10% 10.80% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN EURO) (4) 4.38% 0.01% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% CREDIT SUISSE LEVERAGED EQUITY INDEX 8.41% -1.45% % 12.39% % 14.86% -7.32% 8.08% 1.03% -0.03% 3.85% 4.88% 20.67% DJIA 7.07% 1.42% % 12.77% 8.38% 8.84% -1.85% 5.02% -2.39% -0.12% 0.79% -1.74% 10.24% S&P % 0.10% % 11.82% 2.11% 12.59% -2.75% 6.35% -1.85% 0.58% 0.91% -0.38% 16.00% NASDAQ COMPOSITE 5.05% -0.03% % 8.21% -0.79% 18.98% -4.76% 6.54% -4.39% 1.39% 0.63% -2.46% 17.76% WILSHIRE % -0.03% % 12.01% 0.57% 13.09% -3.19% 6.11% -1.80% 0.51% 0.99% -0.33% 15.79% RUSSELL % -1.61% % 15.48% -4.17% 12.44% -3.47% 5.25% -2.17% 0.53% 3.56% 1.85% 16.35% CREDIT SUISSE HIGH YIELD INDEX VALUE (12/31/85=100) (1) Cumulative Monthly Total Return; (2) As of 12/31/12 (3) Multiple currencies; returns converted hedged to $US (4) Multiple currencies; returns converted hedged to Euro, the BLOOMBERG PROFESSIONAL service, AMG, ICI Exhibit 59: High Yield Bonds Maturing by Year as of 12/31/08 Exhibit 60: High Yield Bonds Maturing by Year as of 12/31/2012 $ Billions Maturities $377 bln $ Billions Maturities $226 bln High Yield Bonds Maturing by Year (As of 12/31/08) High Yield Bonds Maturing by Year (As of 12/31/12) 2013 Leveraged Finance Outlook and 2012 Annual Review 33

34 Exhibit 61: High Yield Market Monitor Week Ending Cumulative Total Return (1) TOTAL RETURN 11/20/ /29/ /6/ /13/ /20/ /27/2012 2Q '12 3Q '12 4Q '12 Oct-12 Nov-12 Dec YTD (2) 10-YEAR TREASURY -0.65% 0.51% 0.30% -1.28% -0.57% 0.58% 5.91% 0.85% -0.36% -0.36% 1.15% -1.14% 17.58% 4.12% CREDIT SUISSE LUCI (LIQUID US CORPORATE INDEX) -0.39% 0.27% 0.33% -0.66% -0.10% 0.59% 2.52% 3.81% 1.04% 1.25% -0.09% -0.12% 8.49% 9.64% CREDIT SUISSE HIGH YIELD INDEX 0.41% 0.80% 0.84% 0.59% 0.23% 0.02% 1.56% 4.27% 3.14% 0.86% 0.76% 1.50% 5.47% 14.71% CREDIT SUISSE HIGH YIELD INDEX, DEV'D COUNTRIES ONLY 0.41% 0.81% 0.84% 0.59% 0.23% 0.01% 1.58% 4.28% 3.15% 0.86% 0.76% 1.50% 5.46% 14.76% CREDIT SUISSE INSTITUTIONAL HIGH YIELD INDEX 0.40% 0.83% 0.85% 0.57% 0.21% 0.01% 1.66% 4.37% 3.20% 0.90% 0.81% 1.46% 5.72% 15.08% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (3) 0.18% 0.83% 0.87% 0.44% 0.64% 0.14% 0.20% 6.11% 5.72% 2.12% 1.48% 2.01% -0.97% 23.76% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (4) 0.18% 0.83% 0.87% 0.43% 0.63% 0.12% -0.01% 5.97% 5.60% 2.09% 1.44% 1.97% -1.03% 22.99% CREDIT SUISSE LEVERAGED LOAN INDEX 0.07% 0.23% 0.30% 0.25% 0.13% 0.07% 1.01% 3.14% 1.52% 0.37% 0.40% 0.73% 1.82% 9.43% CREDIT SUISSE LEVERAGED EQUITY INDEX 2.99% 2.43% 0.38% 0.77% 3.06% -1.49% -7.32% 8.08% 4.88% 1.03% -0.03% 3.85% % 20.67% DJIA 2.00% 1.95% 0.50% 0.79% 1.11% -1.62% -1.85% 5.02% -1.74% -2.39% -0.12% 0.79% 8.38% 10.24% S&P % 2.10% -0.08% 0.45% 1.74% -1.73% -2.75% 6.35% -0.38% -1.85% 0.58% 0.91% 2.11% 16.00% NASDAQ COMPOSITE 2.84% 3.32% -0.62% 0.20% 1.98% -2.08% -4.76% 6.54% -2.46% -4.39% 1.39% 0.63% -0.79% 17.76% WILSHIRE % 2.29% -0.16% 0.38% 1.95% -1.80% -3.19% 6.11% -0.33% -1.80% 0.51% 0.99% 0.57% 15.79% RUSSELL % 3.75% -0.15% 0.35% 3.49% -1.70% -3.47% 5.25% 1.85% -2.17% 0.53% 3.56% -4.17% 16.35% CREDIT SUISSE HIGH YIELD INDEX VALUE (12/31/85=100) MARKET MOMENTUM INFLOWS (see footnote for weeks, $mm) (5) (513) (259) (152) (193) 1,710 10,689 (1,131) 1,015 (3,162) 1,016 10,466 25,956 ADVANCE/DECLINE RATIO LEVELS/SPREAD 10-YEAR TREASURY YIELD 1.67% 1.62% 1.59% 1.73% 1.80% 1.74% 1.65% 1.63% 1.76% 1.69% 1.61% 1.76% 1.88% 1.76% TREASURY YIELD increase (decrease) 7bp (5)bp (3)bp 15bp 7bp (6)bp (57)bp (1)bp 12bp 6bp (8)bp 15bp (142)bp (12)bp CREDIT SUISSE HIGH YIELD INDEX YIELD 6.74% 6.53% 6.31% 6.22% 6.18% 6.23% 7.39% 6.57% 6.25% 6.54% 6.49% 6.25% 8.23% 6.25% CREDIT SUISSE HIGH YIELD INDEX SPREAD (bp) 603bp 587bp 569bp 553bp 544bp 551bp 660bp 592bp 554bp 581bp 583bp 554bp 728bp 554bp CREDIT SUISSE HIGH YIELD INDEX SPREAD tighten (widen) 11bp 16bp 19bp 16bp 9bp (7)bp (39)bp 68bp 38bp 11bp (3)bp 30bp (157)bp 175bp SUPPLY/DEMAND NEW ISSUES (# of issues) NEW ISSUE VOLUME ($billions) FORWARD CALENDAR ($billions) SPREADS B 614bp 596bp 578bp 564bp 554bp 561bp 673bp 604bp 566bp 594bp 591bp 566bp 740bp 566bp BB 417bp 401bp 387bp 373bp 367bp 374bp 470bp 412bp 376bp 390bp 398bp 376bp 511bp 376bp B vs. BB 182bp 179bp 173bp 171bp 166bp 167bp 193bp 175bp 170bp 188bp 176bp 170bp 219bp 170bp Cyclical vs. Defensive (40)bp (36)bp (35)bp (39)bp (32)bp (31)bp (75)bp (43)bp (28)bp (32)bp (35)bp (28)bp 18bp (28)bp Deferred vs. Cash 865bp 859bp 809bp 784bp 771bp 777bp 839bp 842bp 783bp 854bp 814bp 783bp 722bp 783bp (1) Cumulative Monthly Total Return; (2) As of 12/31/12 (3) Multiple currencies; returns converted hedged to $US (4) Multiple currencies; returns converted hedged to Euro (5) Inflows for 12/31/12 are actual; prior weeks are 4-week rolling average, the BLOOMBERG PROFESSIONAL service, AMG, ICI Exhibit 62: Historical Growth of the High Yield Market Market Size ($ billions) High Yield Market Size New Issue Volume New Issue Volume ($ billions) * As of 12/31/2012 Includes non-investment grade $US-denominated straight corporate debt. Floating-rate and convertible bonds and preferred stock are not included Leveraged Finance Outlook and 2012 Annual Review

35 Exhibit 63: High Yield Events by Year Face Amount ($Bln) * New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Deletions Net Change: Starting Size Ending Size * As of December 31, 2012 Exhibit 64: Summary Chart of Credit Suisse High Yield Index Index December Return 2012 Return YTW STW Average Price Credit Suisse High Yield Index 1.50% 14.71% 6.25% 554 bp % Rating BB 1.22% 13.38% 4.58% 376 bp % B 1.63% 15.74% 6.27% 566 bp % CCC/Split CCC 2.31% 19.92% 10.21% 958 bp 98.99% Industry Type Cyclical 1.41% 15.23% 6.16% 546 bp % Defensive 1.49% 15.04% 6.45% 572 bp % 2013 Leveraged Finance Outlook and 2012 Annual Review 35

36 Exhibit 65: 2012 Performance of the Credit Suisse High Yield Index CS HY Index Cumulative Total Return 16% 15% 14% 13% 12% 11% 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 12/30/20 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 5/4/ % 6/5/ % 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/20 11/2/ /16/20 11/30/20 12/14/20 12/28/ % Exhibit 66: 2012 Yield-to-Worst of the Credit Suisse High Yield Index CS HY Index Yield-to-Worst 8.40% 8.00% 7.60% 7.20% 6.80% 6.40% 6.00% 8.23% 7.01% 8.00% 6.27% 6.25% 5.60% 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/2012 Exhibit 67: 2012 Spread-to-Worst of the Credit Suisse High Yield Index 750 bp 728 bp 6/5/ bp CS HY Index Spread-to-Worst 700 bp 650 bp 600 bp 550 bp 3/19/ bp 5/3/ bp 557 bp 554 bp 500 bp 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ Leveraged Finance Outlook and 2012 Annual Review

37 Exhibit 68: 2012 Average Price of the Credit Suisse High Yield Index 107% CS HY Index Average Price 105% 103% 101% 99% 98.78% % 99.31% % % 97% 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/2012 Exhibit 69: Average Price of the Credit Suisse High Yield Index Average Price 110.0% 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 67.09% 1/31/ % 1/31/ % 10/31/ % 2/28/ % 11/28/08 5/31/ % % 12/31/12 Exhibit 70: Average Spread of the Credit Suisse High Yield Index 2000bps 1816 bp 11/28/08 Spread to Worst 1600bps 1200bps 800bps 400bps 0bps 1079 bp 12/31/90 Average: 588 bp 307 bp 2/28/ bp 10/31/ bp 2/28/ bp 5/31/ bps 12/31/ Leveraged Finance Outlook and 2012 Annual Review 37

38 Industry Performance For 2012, all 24 industries had positive returns. The top performing industries were housing, financial, and wireless communications, with returns of 21.97%, 19.30%, and 18.95%, respectively. The worst performing industries in 2012 were food and drug, metals/minerals, and utility, which returned 7.05%, 10.68%, and 11.51%, respectively. Exhibit 71: Industry Summary Chart of Credit Suisse High Yield Index 2012 Total Return YTW STW Average Price Total Return YTW STW Average Price Outperforming Industries Underperforming Industries Housing 21.97% 5.27% 458 bp % Food And Drug 7.05% 7.25% 672 bp 97.01% Financial 19.30% 5.48% 461 bp % Metals/Minerals 10.68% 7.12% 636 bp % Wireless Communications 18.95% 5.69% 483 bp % Utility 11.51% 6.40% 546 bp % Exhibit 72: Credit Suisse High Yield Index Returns by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 34.72% 13.04% -4.35% 2.82% 3.79% 5.34% 1.54% 3.87% 0.74% 0.56% 1.40% 2.72% 14.12% Chemicals 85.84% 23.71% -5.16% 5.65% 4.41% 6.36% 2.14% 2.94% 0.53% 1.29% 1.35% 3.20% 15.40% Consumer Durables 85.09% 12.45% -1.21% 2.94% 6.59% 3.41% 3.77% 3.34% 1.49% 0.53% 0.34% 2.38% 13.53% Consumer Non-Durables 60.95% 14.59% -4.26% 5.09% 4.51% 4.86% 1.75% 3.57% 0.54% 0.70% 1.31% 2.58% 13.35% Energy 54.43% 13.34% -2.69% 5.92% 8.58% 3.32% 0.17% 4.94% 0.88% 0.43% 1.78% 3.11% 11.99% Financial 72.77% 21.52% -4.36% 3.23% 3.79% 6.99% 2.95% 4.78% 1.53% 0.84% 0.97% 3.38% 19.30% Food & Drug 37.92% 6.61% -3.80% 8.57% 13.23% 3.92% 1.77% -2.51% 1.89% -0.56% 2.48% 3.83% 7.05% Food/Tobacco 46.27% 12.92% -3.47% 6.27% 7.15% 5.17% 1.78% 3.47% 0.82% 0.77% 1.54% 3.16% 14.26% Forest Products 54.81% 12.70% -5.69% 6.14% 3.53% 3.85% 1.74% 3.80% -0.04% 0.85% 1.26% 2.08% 11.96% Gaming/Leisure 38.14% 16.82% -7.27% 7.78% 4.97% 6.86% 1.61% 3.24% 0.51% 0.81% 1.21% 2.54% 14.95% Healthcare 40.91% 12.29% -4.19% 6.34% 6.72% 4.80% 2.40% 4.28% 0.52% 1.15% 1.08% 2.78% 15.02% Housing 79.05% 14.73% -7.99% 7.42% 1.76% 8.41% 2.83% 5.98% 1.23% 0.72% 1.25% 3.23% 21.97% Information Technology 70.35% 15.49% -3.32% 6.28% 8.90% 6.21% 0.36% 2.95% -0.77% 1.11% 2.34% 2.68% 12.68% Manufacturing 40.16% 16.72% -4.01% 7.02% 7.54% 4.70% 1.74% 3.74% 0.61% 0.80% 1.01% 2.44% 13.19% Media/Telecom 50.37% 13.01% -6.55% 6.96% 4.62% 5.04% 1.25% 4.93% 1.54% 0.26% 1.81% 3.66% 15.67% Broadcasting % 18.13% -9.70% 8.16% 2.16% 7.16% 1.04% 4.73% 0.56% 1.01% 1.60% 3.20% 17.02% Cable/Wireless Video 38.85% 11.33% -4.12% 8.54% 9.47% 3.43% 1.92% 3.61% 1.14% 1.06% 1.56% 3.82% 13.38% Telecommunications 38.62% 12.92% -6.35% 6.11% 4.34% 5.99% 0.14% 6.65% 1.08% 0.93% 1.73% 3.79% 17.50% Wireless Communications 40.21% 11.79% -7.17% 5.77% 3.78% 5.65% 0.30% 6.24% 4.04% -0.57% 2.14% 5.66% 18.95% Diversified Media 70.55% 14.13% -7.52% 6.26% 1.49% 4.64% 2.26% 3.99% 0.74% -0.72% 1.96% 1.97% 13.47% Metals/Minerals 47.56% 12.22% -6.52% 6.57% 5.54% 2.26% -1.16% 3.60% 2.01% 1.30% 2.30% 5.71% 10.68% Retail 79.71% 12.63% -4.00% 4.64% 2.69% 5.55% 2.15% 4.54% 1.09% 0.82% 1.08% 3.01% 16.12% Service 86.40% 12.89% -8.41% 7.13% 4.47% 7.57% 2.56% 4.36% 0.72% 1.16% 1.31% 3.21% 18.83% Transportation 74.08% 20.43% -6.43% 5.13% 0.95% 6.75% 1.87% 3.86% -0.15% 1.28% 1.14% 2.29% 15.52% Utility 27.31% 7.02% -4.05% 5.35% 7.80% 0.97% 3.06% 4.84% 0.58% 0.58% 1.05% 2.22% 11.51% Credit Suisse High Yield Index 54.22% 14.42% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% Leveraged Finance Outlook and 2012 Annual Review

39 Exhibit 73: Credit Suisse High Yield Index Spread by Industry 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/12 11/30/12 12/31/12 Aerospace 1157 bp 641 bp 577 bp 807 bp 756 bp 602 bp 607 bp 553 bp 527 bp 556 bp 524 bp Chemicals 2200 bp 597 bp 444 bp 697 bp 661 bp 502 bp 546 bp 550 bp 526 bp 537 bp 518 bp Consumer Durables 2050 bp 549 bp 571 bp 808 bp 707 bp 681 bp 635 bp 532 bp 573 bp 569 bp 626 bp Consumer Non-Durables 2097 bp 662 bp 579 bp 860 bp 737 bp 573 bp 581 bp 520 bp 530 bp 527 bp 495 bp Energy 1526 bp 607 bp 561 bp 719 bp 643 bp 589 bp 665 bp 556 bp 549 bp 561 bp 530 bp Financial 2043 bp 744 bp 580 bp 801 bp 807 bp 622 bp 581 bp 484 bp 472 bp 484 bp 461 bp Food & Drug 1198 bp 587 bp 664 bp 824 bp 681 bp 572 bp 581 bp 725 bp 719 bp 738 bp 672 bp Food/Tobacco 1511 bp 589 bp 580 bp 774 bp 656 bp 553 bp 603 bp 545 bp 543 bp 542 bp 531 bp Forest Products 2005 bp 663 bp 670 bp 800 bp 691 bp 573 bp 593 bp 538 bp 540 bp 534 bp 504 bp Gaming/Leisure 2189 bp 704 bp 650 bp 1075 bp 917 bp 704 bp 731 bp 686 bp 667 bp 668 bp 670 bp Healthcare 1233 bp 597 bp 549 bp 768 bp 696 bp 635 bp 657 bp 592 bp 589 bp 581 bp 562 bp Housing 2093 bp 683 bp 590 bp 850 bp 743 bp 588 bp 595 bp 514 bp 484 bp 486 bp 458 bp Information Technology 1999 bp 598 bp 580 bp 825 bp 725 bp 618 bp 658 bp 630 bp 636 bp 642 bp 600 bp Manufacturing 1507 bp 636 bp 490 bp 732 bp 654 bp 566 bp 584 bp 528 bp 527 bp 518 bp 495 bp Media/Telecom 1792 bp 625 bp 559 bp 858 bp 750 bp 647 bp 709 bp 606 bp 569 bp 584 bp 544 bp Broadcasting 3790 bp 990 bp 700 bp 983 bp 873 bp 724 bp 791 bp 706 bp 690 bp 688 bp 626 bp Cable/Wireless Video 1546 bp 528 bp 496 bp 725 bp 575 bp 522 bp 532 bp 506 bp 484 bp 482 bp 465 bp Telecommunications 1365 bp 605 bp 592 bp 841 bp 766 bp 647 bp 786 bp 609 bp 587 bp 584 bp 539 bp Wireless Communications 1028 bp 526 bp 478 bp 823 bp 722 bp 609 bp 696 bp 596 bp 488 bp 542 bp 483 bp Diversified Media 3106 bp 727 bp 598 bp 993 bp 899 bp 777 bp 799 bp 670 bp 660 bp 683 bp 645 bp Metals/Minerals 1299 bp 483 bp 517 bp 796 bp 708 bp 674 bp 788 bp 751 bp 716 bp 689 bp 636 bp Retail 2070 bp 628 bp 488 bp 753 bp 701 bp 575 bp 596 bp 559 bp 577 bp 562 bp 539 bp Service 2037 bp 766 bp 716 bp 1009 bp 928 bp 769 bp 796 bp 733 bp 735 bp 716 bp 695 bp Transportation 2666 bp 621 bp 500 bp 816 bp 756 bp 601 bp 618 bp 576 bp 603 bp 592 bp 569 bp Utility 952 bp 563 bp 572 bp 700 bp 633 bp 613 bp 673 bp 621 bp 600 bp 599 bp 546 bp Credit Suisse High Yield Index 1706 bp 634 bp 571 bp 811 bp 728 bp 621 bp 660 bp 592 bp 581 bp 583 bp 554 bp Exhibit 74: Credit Suisse High Yield Index Spread Tighten (Widen) by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 516 bp 64 bp (245) bp 51 bp (179) bp 154 bp (6) bp 54 bp 25 bp (28) bp 32 bp 29 bp 233 bp Chemicals 1603 bp 153 bp (230) bp 37 bp (217) bp 159 bp (44) bp (4) bp 24 bp (11) bp 19 bp 32 bp 143 bp Consumer Durables 1500 bp (21) bp (171) bp 101 bp (137) bp 26 bp 46 bp 103 bp (41) bp 5 bp (58) bp (94) bp 81 bp Consumer Non-Durables 1434 bp 83 bp (251) bp 123 bp (158) bp 164 bp (8) bp 62 bp (10) bp 2 bp 32 bp 24 bp 242 bp Energy 919 bp 46 bp (162) bp 76 bp (82) bp 54 bp (76) bp 109 bp 7 bp (12) bp 32 bp 26 bp 113 bp Financial 1298 bp 165 bp (260) bp (6) bp (228) bp 185 bp 41 bp 98 bp 12 bp (12) bp 23 bp 23 bp 346 bp Food & Drug 611 bp (77) bp (203) bp 143 bp (17) bp 109 bp (9) bp (144) bp 7 bp (20) bp 67 bp 54 bp 9 bp Food/Tobacco 923 bp 8 bp (202) bp 119 bp (76) bp 103 bp (50) bp 58 bp 2 bp 1 bp 11 bp 14 bp 125 bp Forest Products 1342 bp (7) bp (125) bp 109 bp (21) bp 119 bp (21) bp 55 bp (2) bp 6 bp 30 bp 34 bp 187 bp Gaming/Leisure 1484 bp 54 bp (377) bp 157 bp (267) bp 213 bp (26) bp 44 bp 19 bp (1) bp (2) bp 16 bp 247 bp Healthcare 637 bp 48 bp (210) bp 72 bp (147) bp 60 bp (21) bp 65 bp 3 bp 8 bp 19 bp 30 bp 134 bp Housing 1410 bp 93 bp (308) bp 107 bp (152) bp 155 bp (8) bp 82 bp 30 bp (2) bp 27 bp 55 bp 284 bp Information Technology 1401 bp 18 bp (224) bp 100 bp (145) bp 107 bp (41) bp 29 bp (7) bp (6) bp 42 bp 30 bp 125 bp Manufacturing 870 bp 146 bp (214) bp 78 bp (164) bp 88 bp (18) bp 55 bp 2 bp 8 bp 24 bp 34 bp 159 bp Media/Telecom 1167 bp 66 bp (283) bp 108 bp (191) bp 102 bp (61) bp 103 bp 37 bp (15) bp 41 bp 62 bp 206 bp Broadcasting 2800 bp 290 bp (339) bp 109 bp (173) bp 149 bp (66) bp 85 bp 15 bp 2 bp 63 bp 80 bp 248 bp Cable/Wireless Video 1018 bp 32 bp (222) bp 150 bp (79) bp 53 bp (10) bp 25 bp 22 bp 2 bp 17 bp 42 bp 110 bp Telecommunications 759 bp 13 bp (290) bp 74 bp (174) bp 120 bp (140) bp 177 bp 22 bp 3 bp 45 bp 71 bp 228 bp Wireless Communications 502 bp 48 bp (281) bp 101 bp (244) bp 113 bp (87) bp 100 bp 108 bp (54) bp 59 bp 113 bp 239 bp Diversified Media 2379 bp 128 bp (321) bp 94 bp (300) bp 122 bp (22) bp 129 bp 11 bp (23) bp 38 bp 26 bp 254 bp Metals/Minerals 816 bp (34) bp (270) bp 88 bp (191) bp 33 bp (114) bp 37 bp 36 bp 27 bp 53 bp 115 bp 71 bp Retail 1441 bp 140 bp (255) bp 51 bp (213) bp 127 bp (22) bp 37 bp (18) bp 15 bp 24 bp 20 bp 163 bp Service 1271 bp 50 bp (327) bp 81 bp (213) bp 160 bp (27) bp 62 bp (2) bp 19 bp 21 bp 38 bp 233 bp Transportation 2045 bp 121 bp (266) bp 61 bp (255) bp 154 bp (16) bp 42 bp (27) bp 11 bp 24 bp 7 bp 187 bp Utility 388 bp (9) bp (204) bp 66 bp (61) bp 21 bp (61) bp 52 bp 21 bp 1 bp 53 bp 75 bp 88 bp Credit Suisse High Yield Index 1073 bp 62 bp (242) bp 83 bp (157) bp 107 bp (39) bp 68 bp 11 bp (3) bp 30 bp 38 bp 175 bp 2013 Leveraged Finance Outlook and 2012 Annual Review 39

40 Sector Performance For 2012, 19 of 22 sectors had positive returns. The top performing sectors were deferred 2 years and over, Western Europe, and 5 to 6 years duration, with returns of 39.94%, 19.03%, and 17.94%, respectively. The worst performing sectors in 2012 were deferred less than 2 years, default, and distressed/default, which returned %, -6.56%, and -6.45%, respectively. Exhibit 75: Sector Summary Chart of Credit Suisse High Yield Index December 2012 Total Return YTW STW Average Price Total Return YTW STW Average Price Outperforming Sectors Underperforming Sectors Deferred less than 2 years 4.47% 32.47% 1740 bp 58.23% Developing 1.00% 5.99% 566 bp 97.82% Distressed/Default 4.17% NA NA 54.51% Upper Tier 1.03% 4.47% 356 bp % Lower Tier 2.53% 10.84% 1021 bp 91.08% Cushion Paper 1.05% 4.89% 455 bp % 2012 Total Return YTW STW Average Price Total Return YTW STW Average Price Outperforming Sectors Underperforming Sectors Deferred 2 years and Over 39.94% 8.07% 777 bp % Deferred less than 2 years % 32.47% 1740 bp 58.23% Western Europe 19.03% 6.11% 537 bp % Default -6.56% NA NA 58.74% 5 to 6 years Duration 17.94% 5.98% 486 bp % Distressed/Default -6.45% NA NA 54.51% Exhibit 76: Credit Suisse High Yield Index Returns by Sector 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (1) Upper Tier (2) 3.17% 1.70% -1.60% 4.69% 8.09% 3.52% 2.20% 4.13% 1.08% 0.69% 1.03% 2.83% 13.29% Middle Tier 3.90% 0.78% -5.45% 6.68% 5.61% 5.21% 1.57% 4.45% 0.89% 0.88% 1.54% 3.35% 15.36% Upper/Middle 3.66% 1.11% -4.06% 5.97% 6.56% 4.61% 1.78% 4.35% 0.94% 0.81% 1.36% 3.15% 14.60% Lower Tier 4.53% 0.50% % 6.57% -2.74% 8.41% -0.18% 3.66% 0.19% 0.32% 2.53% 3.04% 15.59% Price >= 80 (3) 3.75% 1.09% -4.82% 5.82% 5.64% 4.85% 1.75% 4.29% 0.92% 0.76% 1.40% 3.11% 14.73% Price < % -3.50% % 7.49% % 10.18% -4.71% 4.04% -2.46% 0.60% 6.06% 4.07% 13.68% Cyclical Issues 3.45% 0.88% -5.36% 5.58% 4.28% 5.78% 1.64% 3.97% 0.70% 0.95% 1.41% 3.09% 15.23% Defensive Issues 3.89% 1.36% -5.59% 6.59% 5.97% 4.72% 1.96% 4.40% 1.03% 0.65% 1.49% 3.20% 15.04% Cash-Pay Securities 3.80% 1.00% -5.10% 6.12% 5.57% 5.11% 1.66% 4.37% 0.87% 0.76% 1.49% 3.15% 15.04% Def Int (cash-pay in < 2yrs) 4.52% 3.26% -7.58% 9.36% 9.08% 13.57% -3.89% % 7.69% -0.50% 4.47% 11.94% % Def Int (cash-pay in >= 2yrs) 8.57% 0.60% % 4.08% 1.05% 6.25% 8.36% 13.60% 1.36% 4.08% 1.41% 6.99% 39.94% Cushion Paper 2.89% 0.68% -2.34% 3.56% 4.76% 2.77% 1.31% 2.85% 0.44% 0.71% 1.05% 2.22% 9.46% Defaulted Securities 0.03% 6.00% -4.76% -0.95% 0.03% -0.60% -5.15% -2.99% -0.22% 0.35% 2.02% 2.15% -6.56% Distressed Securities (4) 0.56% 4.62% % -0.05% -5.46% -1.89% -3.09% -2.11% -1.55% -1.99% 4.17% 0.51% -6.45% 3-4 yr Duration 4.58% 0.63% -6.36% 5.52% 3.99% 5.65% 1.48% 4.62% 0.55% 0.77% 1.61% 2.96% 15.49% 5-6 yr Duration 4.40% 1.09% -6.75% 8.30% 6.58% 6.15% 1.97% 4.95% 0.96% 0.91% 1.91% 3.83% 17.94% 7-10 yr Duration 4.00% 3.04% -2.96% 4.49% 8.65% 3.30% 3.26% 5.38% 1.58% 1.41% 1.72% 4.78% 17.78% $0 - $100mm in Size 4.43% 1.64% -1.14% 2.35% 7.41% 2.79% 1.38% 3.32% 1.30% 1.37% 1.26% 3.98% 11.96% $101 - $299mm in Size 3.77% 1.38% -4.71% 3.40% 3.65% 5.33% 1.38% 4.31% 0.95% 0.81% 1.24% 3.03% 14.75% $300mm and Over in Size 3.76% 0.98% -5.21% 6.50% 5.77% 4.99% 1.59% 4.27% 0.84% 0.75% 1.53% 3.15% 14.72% Senior Secured 3.49% 0.59% -6.44% 5.88% 3.12% 6.09% 1.23% 4.22% 0.71% 0.62% 1.51% 2.87% 15.13% Senior 3.77% 1.23% -4.63% 6.11% 6.30% 4.58% 1.61% 4.31% 0.91% 0.78% 1.51% 3.23% 14.43% Senior Subordinated 4.43% 0.85% -5.06% 5.55% 5.53% 5.52% 2.17% 3.96% 0.81% 0.99% 1.24% 3.07% 15.51% Junior Subordinated 4.56% 1.25% -5.80% 5.71% 5.42% 6.03% 3.04% 6.49% 0.75% 1.13% 1.76% 3.68% 20.63% United States 3.84% 1.05% -5.03% 6.22% 5.85% 4.84% 1.79% 4.17% 0.76% 0.70% 1.46% 2.95% 14.44% Western Europe (5) 3.13% 1.29% -6.83% 3.97% 1.20% 7.35% -0.20% 5.88% 1.57% 1.59% 1.69% 4.94% 19.03% Latin America 8.55% 2.15% -4.93% 2.69% 8.27% 3.54% -2.33% 2.45% 0.52% -1.10% 1.00% 0.42% 4.04% Asia 3.61% -0.91% -0.73% 1.92% 3.88% 5.40% 2.35% 2.82% 1.09% 0.27% 1.00% 2.37% 13.55% All Developing 6.72% 1.19% -3.72% 2.41% 6.48% 4.01% -1.25% 2.54% 0.66% -0.77% 1.00% 0.88% 6.25% Credit Suisse HY Index 3.77% 1.04% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% (1) As of 12/31/12 (2) Upper Tier: Split BBB and BB; Middle Tier: Split BB, B and Split B; Upper/Middle: Split BBB to Split B and Not Rated; Lower Tier: CCC/Split CCC and Default (3) Percent of Par Value (accreted value) used for discount securities (4) Includes CC, C and Defaulted; (5) $US-denominated securities only Leveraged Finance Outlook and 2012 Annual Review

41 Exhibit 77: Credit Suisse High Yield Index Spread by Sectors 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/12 11/30/12 12/31/12 Upper Tier (1) 1067 bp 423 bp 385 bp 533 bp 481 bp 415 bp 442 bp 390 bp 370 bp 375 bp 356 bp Middle Tier (2) 1648 bp 625 bp 577 bp 853 bp 744 bp 640 bp 681 bp 613 bp 601 bp 598 bp 568 bp Lower Tier (3) 3261 bp 1042 bp 1012 bp 1501 bp 1457 bp 1143 bp 1247 bp 1071 bp 1077 bp 1085 bp 1021 bp Cyclical Issues 1981 bp 648 bp 563 bp 824 bp 748 bp 610 bp 632 bp 580 bp 573 bp 573 bp 546 bp Defensive Issues 1484 bp 623 bp 586 bp 825 bp 733 bp 645 bp 692 bp 619 bp 602 bp 605 bp 572 bp Cash-Pay Securities 1701 bp 630 bp 570 bp 809 bp 726 bp 619 bp 657 bp 591 bp 580 bp 583 bp 553 bp Def Int (cash-pay in < 2yrs) 2016 bp 959 bp 640 bp 1205 bp 1055 bp 763 bp 1412 bp 9999 bp 9999 bp 2052 bp 1740 bp Def Int (cash-pay in >= 2yrs) 3269 bp 1703 bp 1373 bp 1607 bp 1667 bp 1570 bp 1479 bp 1088 bp 962 bp 792 bp 777 bp Cushion Paper 663 bp 541 bp 511 bp 612 bp 510 bp 505 bp 481 bp 471 bp 471 bp 471 bp 455 bp 3 to 4 yr Duration 1695 bp 737 bp 671 bp 904 bp 805 bp 658 bp 739 bp 696 bp 693 bp 699 bp 649 bp 5 to 6 yr Duration 953 bp 472 bp 483 bp 748 bp 649 bp 558 bp 613 bp 544 bp 542 bp 526 bp 486 bp 7 to 10 yr Duration 920 bp 440 bp 405 bp 550 bp 529 bp 437 bp 476 bp 420 bp 390 bp 399 bp 340 bp $0MM to $100 MM 1961 bp 984 bp 828 bp 733 bp 719 bp 694 bp 771 bp 734 bp 702 bp 749 bp 724 bp $101MM to $299MM 1870 bp 744 bp 668 bp 974 bp 941 bp 761 bp 805 bp 729 bp 724 bp 734 bp 712 bp $300MM and Over 1660 bp 604 bp 550 bp 782 bp 692 bp 597 bp 636 bp 571 bp 559 bp 562 bp 532 bp Senior Secured 2202 bp 749 bp 704 bp 970 bp 897 bp 745 bp 799 bp 698 bp 683 bp 692 bp 677 bp Senior 1622 bp 576 bp 515 bp 740 bp 655 bp 567 bp 607 bp 551 bp 543 bp 544 bp 511 bp Senior Subordinate 1808 bp 738 bp 662 bp 930 bp 845 bp 674 bp 673 bp 625 bp 596 bp 588 bp 561 bp Junior Subordinate 1997 bp 1178 bp 738 bp 1147 bp 1137 bp 1047 bp 961 bp 795 bp 801 bp 840 bp 803 bp United States 1704 bp 631 bp 573 bp 810 bp 720 bp 620 bp 655 bp 588 bp 578 bp 582 bp 553 bp Canada 1908 bp 683 bp 666 bp 846 bp 772 bp 642 bp 689 bp 618 bp 603 bp 612 bp 585 bp Western Europe (4) 1666 bp 659 bp 477 bp 792 bp 787 bp 603 bp 671 bp 598 bp 574 bp 563 bp 537 bp Non-European Developed 1292 bp 649 bp 475 bp 909 bp 828 bp 710 bp 774 bp 701 bp 692 bp 667 bp 603 bp Other Developing NA NA NA NA NA NA NA NA NA NA NA Credit Suisse High Yield Index 1706 bp 634 bp 571 bp 811 bp 728 bp 621 bp 660 bp 592 bp 581 bp 583 bp 554 bp (1) Upper Tier: Split BBB and BB; (2) Middle Tier: Split BB, B and Split B (3) Lower Tier: CCC/Split CCC and Default; (4) $US-denominated securities only Exhibit 78: Credit Suisse High Yield Index Spread Tighten (Widen) by Sectors Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Upper Tier (2) 644 bp 39 bp (154) bp 52 bp (97) bp 67 bp (27) bp 52 bp 20 bp (6) bp 19 bp 34 bp 125 bp Middle Tier (3) 1024 bp 48 bp (258) bp 109 bp (168) bp 104 bp (41) bp 68 bp 12 bp 2 bp 30 bp 45 bp 176 bp Lower Tier (4) 2219 bp 29 bp (536) bp 43 bp (445) bp 315 bp (104) bp 175 bp (5) bp (9) bp 65 bp 51 bp 437 bp Cyclical Issues 1333 bp 85 bp (256) bp 76 bp (185) bp 139 bp (22) bp 52 bp 7 bp 0 bp 27 bp 34 bp 202 bp Defensive Issues 861 bp 37 bp (251) bp 92 bp (148) bp 88 bp (47) bp 73 bp 18 bp (3) bp 33 bp 47 bp 161 bp Cash-Pay Securities 1071 bp 60 bp (241) bp 83 bp (156) bp 107 bp (39) bp 67 bp 11 bp (3) bp 30 bp 38 bp 173 bp Def Int (cash-pay in < 2yrs) 1057 bp 319 bp (435) bp 150 bp (416) bp 292 bp (649) bp (8587) bp 0 bp 7947 bp 312 bp 8259 bp (685) bp Def Int (cash-pay in >= 2yrs) 1565 bp 330 bp (577) bp (60) bp (294) bp 97 bp 91 bp 391 bp 126 bp 170 bp 16 bp 312 bp 891 bp Cushion Paper 121 bp 30 bp (59) bp 101 bp 1 bp 5 bp 24 bp 10 bp 1 bp (0) bp 16 bp 16 bp 55 bp 3 to 4 yr Duration 958 bp 66 bp (280) bp 99 bp (134) bp 146 bp (81) bp 43 bp 3 bp (6) bp 51 bp 47 bp 156 bp 5 to 6 yr Duration 480 bp (11) bp (277) bp 99 bp (166) bp 91 bp (56) bp 70 bp 2 bp 16 bp 40 bp 58 bp 163 bp 7 to 10 yr Duration 480 bp 34 bp (188) bp 21 bp (123) bp 92 bp (39) bp 57 bp 30 bp (9) bp 60 bp 80 bp 189 bp $0MM to $100 MM 977 bp 156 bp (105) bp 14 bp 108 bp 26 bp (77) bp 36 bp 32 bp (47) bp 25 bp 10 bp (5) bp $101MM to $299MM 1125 bp 77 bp (284) bp 33 bp (273) bp 180 bp (44) bp 76 bp 5 bp (10) bp 22 bp 16 bp 229 bp $300MM and Over 1056 bp 54 bp (235) bp 90 bp (142) bp 95 bp (39) bp 65 bp 12 bp (2) bp 30 bp 39 bp 161 bp Senior Secured 1452 bp 45 bp (271) bp 72 bp (193) bp 152 bp (54) bp 101 bp 15 bp (9) bp 15 bp 21 bp 220 bp Senior 1046 bp 61 bp (229) bp 84 bp (140) bp 89 bp (40) bp 56 bp 9 bp (1) bp 33 bp 40 bp 144 bp Senior Subordinate 1070 bp 76 bp (292) bp 85 bp (183) bp 171 bp 1 bp 48 bp 29 bp 9 bp 27 bp 64 bp 284 bp Junior Subordinate 819 bp 441 bp (255) bp 10 bp (400) bp 90 bp 87 bp 166 bp (6) bp (39) bp 37 bp (8) bp 334 bp United States 1073 bp 58 bp (241) bp 90 bp (147) bp 100 bp (36) bp 67 bp 10 bp (4) bp 30 bp 35 bp 167 bp Canada 1225 bp 17 bp (125) bp 74 bp (106) bp 130 bp (47) bp 70 bp 16 bp (10) bp 27 bp 33 bp 187 bp Western Europe (5) 1007 bp 182 bp (280) bp 5 bp (310) bp 185 bp (69) bp 74 bp 23 bp 11 bp 26 bp 61 bp 251 bp Non-European Developed 643 bp 174 bp (330) bp 81 bp (353) bp 118 bp (64) bp 73 bp 9 bp 25 bp 63 bp 97 bp 225 bp Other Developing 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp Credit Suisse High Yield Index 1073 bp 62 bp (242) bp 83 bp (157) bp 107 bp (39) bp 68 bp 11 bp (3) bp 30 bp 38 bp 175 bp (2) Upper Tier: Split BBB and BB; (3) Middle Tier: Split BB, B and Split B (4) Lower Tier: CCC/Split CCC and Default; (5) $US-denominated securities only 2013 Leveraged Finance Outlook and 2012 Annual Review 41

42 Technicals Exhibit 79: High Yield Market Monitor The primary market priced 682 new issues during the year, raising $343.5 billion. High yield mutual funds saw an inflow of $25,956 million. MARKET MOMENTUM 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (1) INFLOWS ($mm) 5,699 (3,110) (2,335) 10,212 10,466 14,687 1,710 10,689 1,015 (3,162) 1,016 (1,131) 25,956 ADVANCE/DECLINE RATIO LEVELS/SPREAD 10-YEAR TREASURY YIELD 3.47% 3.16% 1.92% 1.88% 1.88% 2.21% 1.65% 1.63% 1.69% 1.61% 1.76% 1.76% 1.76% TREASURY YIELD increase (decrease) 18bp (31)bp (125)bp (4)bp (142)bp 33bp (57)bp (1)bp 6bp (8)bp 15bp 12bp (12)bp CREDIT SUISSE HIGH YIELD INDEX YIELD 6.96% 7.41% 9.25% 8.23% 8.23% 7.23% 7.39% 6.57% 6.54% 6.49% 6.25% 6.25% 6.25% CREDIT SUISSE HIGH YIELD INDEX SPREAD (bp) 505bp 569bp 811bp 728bp 728bp 621bp 660bp 592bp 581bp 583bp 554bp 554bp 554bp CREDIT SUISSE HIGH YIELD INDEX SPREAD tighten (widen) 66bp (64)bp (242)bp 83bp (157)bp 107bp (39)bp 68bp 11bp (3)bp 30bp 38bp 175bp SUPPLY/DEMAND NEW ISSUES (# of issues) NEW ISSUE VOLUME ($billions) FORWARD CALENDAR ($billions) SPREADS B 525bp 594bp 836bp 740bp 740bp 645bp 673bp 604bp 594bp 591bp 566bp 566bp 566bp BB 364bp 412bp 573bp 511bp 511bp 429bp 470bp 412bp 390bp 398bp 376bp 376bp 376bp B vs. BB 138bp 176bp 261bp 219bp 219bp 195bp 193bp 175bp 188bp 176bp 170bp 170bp 170bp Cyclical vs. Defensive (34)bp (0)bp (0)bp 18bp 18bp (44)bp (75)bp (43)bp (32)bp (35)bp (28)bp (28)bp (28)bp Deferred vs. Cash 438bp 287bp 591bp 722bp 722bp 628bp 839bp 842bp 854bp 814bp 783bp 783bp 783bp (1) As of 12/31/12, the BLOOMBERG PROFESSIONAL service, AMG, ICI Exhibit 80: Credit Suisse High Yield Index Monthly Advance to Decline Ratio Monthly Advance/Decline Ratio Leveraged Finance Outlook and 2012 Annual Review

43 Exhibit 81: Spread Tighten/Widen Ratio of the Credit Suisse HY Index: December 31, Spread Tighten/Widen Ratio Tighten/Widen Ratio Exhibit 82: High Yield Mutual Fund Flows: Monthly Net New Funds: December 31, 2012 $ Millions 12, , , , , , (2,000.0) (4,000.0) (6,000.0) (8,000.0) Jan : $8, : $13, : $26, : -$ : -$ : -$2, : -$9, : $22, : $8, : -$12, :-$15, : $9, : $12, : $7, : -$2, : $8, : $16, : $10, : -$2,665.3 Oct-91 Jul-92 Apr-93 Jan-94 Oct-94 Jul-95 Apr-96 Jan-97 Oct-97 Jul-98 Apr-99 Jan-00 Oct-00 Jul-01 Apr-02 Jan-03 Oct-03 Jul-04 Apr-05 Jan-06 YTD 2012: $25,955.5 Oct-06 Jul-07 Apr-08 Jan-09 Oct-09 Jul-10 Apr-11 Jan-12 Oct-12 High Yield Bond Fund Flows 3mo average, Investment Company Institute, AMG Exhibit 83: Equity Mutual Fund Flows: Monthly Net New Funds: December 31, 2012 $ Millions 80, , , , (20,000.0) (40,000.0) (60,000.0) (80,000.0) Jan : $127, : $157, : $152, :$-233, : $114, : $187, : $177, : $-8, : $124, : $308, : $135, : $-23, : $216, : $32, : $160, : $-130, : $227, : $-27, : $ 94,167.1 YTD 2012: -$136,346.0 Oct-91 Jul-92 Apr-93 Jan-94 Oct-94 Jul-95 Apr-96 Jan-97 Oct-97 Jul-98 Apr-99 Jan-00 Oct-00 Jul-01 Apr-02 Jan-03 Oct-03 Jul-04 Apr-05 Jan-06 Oct-06 Jul-07 Apr-08 Jan-09 Oct-09 Jul-10 Apr-11 Jan-12 Equity Fund Flows 3mo average, Investment Company Institute, AMG 2013 Leveraged Finance Outlook and 2012 Annual Review 43

44 Exhibit 84: Taxable Bond Mutual Fund Flows: Monthly Net New Funds: December 31, 2012 $ Millions 40, , , , (10,000.0) (20,000.0) (30,000.0) (40,000.0) Jan : $32, : $59, : $38, : $19, : $-47, : $8, : $2, : $305, : $ : $-45, : $26, : $244, : $8, : $76, : $45, : $136, : $27, : $123, : $97,724.0 YTD 2012: $247,317.0 Oct-91 Jul-92 Apr-93 Jan-94 Oct-94 Jul-95 Apr-96 Jan-97 Oct-97 Jul-98 Apr-99 Jan-00 Oct-00 Jul-01 Apr-02 Jan-03 Oct-03 Jul-04 Apr-05 Jan-06 Oct-06 Jul-07 Apr-08 Jan-09 Oct-09 Jul-10 Apr-11 Jan-12 Taxable Bond Fund Flows 3mo average, Investment Company Institute, AMG Exhibit 85: Money Market Mutual Fund Flows: Monthly Net New Funds: December 31, , , ,000.0 $ Millions 50, (50,000.0) (100,000.0) (150,000.0) (200,000.0) Jan : $-14, : $81, :$-258, : $636, : $8, : $193, :$-156, : $-536, : $89, : $158, : $63, : $-515, : $89, : $375, : $247, : $-123, :$102, : $-46, : $661,369.1 YTD 2012: -$23,356.0 Oct-91 Jul-92 Apr-93 Jan-94 Oct-94 Jul-95 Apr-96 Jan-97 Oct-97 Jul-98 Apr-99 Jan-00 Oct-00 Jul-01 Apr-02 Jan-03 Oct-03 Jul-04 Apr-05 Jan-06 Oct-06 Jul-07 Apr-08 Jan-09 Oct-09 Jul-10 Apr-11 Jan-12 Money Market Fund Flows 3mo average, Investment Company Institute, AMG Leveraged Finance Outlook and 2012 Annual Review

45 Exhibit 86: High Yield Mutual Funds Liquidity Ratio: January 1990 November 2012 Liquidity Ratio 13.0% 12.0% 11.0% 10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 6.5%, Investment Company Institute Exhibit 87: Corporate Bond Mutual Funds Liquidity Ratio: January 1990 November % 8.0% 6.0% Liquidity Ratio 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% 1.6%, Investment Company Institute Exhibit 88: Equity Mutual Funds Liquidity Ratio: January 1990 November 2012 Liquidity Ratio 13.0% 12.0% 11.0% 10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.6% 3.0% 2.0%, Investment Company Institute 2013 Leveraged Finance Outlook and 2012 Annual Review 45

46 Distressed High Yield Sector The Credit Suisse High Yield Index: Distressed Sector returned -6.45% in The number of issues in the distressed sector declined during the year from 50 at the end of 2011 to 40. The total market value of the distressed sector increased to $11.43 billion in 2012, from $10.76 billion in The par amount of the sector fell from $24.90 billion to $20.88 billion at the end of Exhibit 89: Monthly and Cumulative Returns of Credit Suisse High Yield Index: Distressed Sector* 60.0% 40.0% 20.0% 0.0% 4.17% -20.0% -40.0% -60.0% -80.0% % % *Bonds rated CC, C or default Monthly Return Cumulative Return Exhibit 90: Monthly Returns of Credit Suisse High Yield Index: Distressed Sector* 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 4.17% % % % % *Bonds rated CC, C or default Leveraged Finance Outlook and 2012 Annual Review

47 Exhibit 91: Number of Issues in the Credit Suisse High Yield Index: Distressed Sector* *Bonds rated CC, C or default Exhibit 92: Size (Par Amount) & Market Value of Credit Suisse High Yield Index: Distressed Sector* Millions of Dollars 100,000 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10, ,877 11,428 *Bonds rated CC, C or default Market Value Size (Par Amount) Exhibit 93: Average Issue Size of the Credit Suisse High Yield Index: Distressed Sector* Millions of Dollars *Bonds rated CC, C or default 2013 Leveraged Finance Outlook and 2012 Annual Review 47

48 Exhibit 94: Advance to Decline Ratio (Number of Issues) of Credit Suisse High Yield Index: Distressed Sector* *Bonds rated CC, C or default Exhibit 95: Price Volatility (8-Month) of Credit Suisse High Yield Index: Distressed Sector* *Bonds rated CC, C or default Exhibit 96: Price (Par Value) of Credit Suisse High Yield Index: Distressed Sector* % % 80.00% 60.00% 40.00% 54.51% 20.00% 0.00% *Bonds rated CC, C or default Leveraged Finance Outlook and 2012 Annual Review

49 Financial, aerospace, and gaming/leisure were the best performing industries in the distressed sector for 2012, with returns of 30.16%, 26.38%, and 11.11%, respectively. The worst performing industries were energy, diversified media, and gaming/leisure, with returns of %, %, and 11.11%, respectively. Exhibit 97: Returns by Industry for the Credit Suisse High Yield Index: Distressed Sector*: % 20.00% 30.16% 26.38% 11.11% 0.00% % -6.45% % % % % % % *Bonds rated CC, C or default **Excludes industries with less than 3 issues Exhibit 98: Returns by Region for the Credit Suisse High Yield Index: Distressed Sector*: % -5.00% % % % % % % % % -2.10% -2.89% -6.45% % *Bonds rated CC, C or default **Excludes regions with less than 3 issues 2013 Leveraged Finance Outlook and 2012 Annual Review 49

50 Exhibit 99: Returns by Size for the Credit Suisse High Yield Index: Distressed Sector*: % 25.14% 19.54% 20.00% 10.00% 4.20% 0.00% % % -6.45% % % % $400 MM to $499 MM $200 MM to $299 MM $300 MM to $399 MM Credit Suisse HY Index: Distressed Issues *Bonds rated CC, C or default **Excludes sectors with less than 3 issues % $500 MM and Over $101 MM to $199 MM Exhibit 100: Distressed* Universe of the Credit Suisse High Yield Index Composition by Industry (Market Weight): December 31, 2012 Transportation 1.4% Service 1.3% Housing 1.1% Metals/Minerals 1.1% Consumer Non-Durables 3.8% Healthcare 1.9% Gaming/Leisure 4.2% Financial 24.5% Forest Prod/Containers 4.6% Energy 5.0% Diversified Media 6.3% Information Technology 16.8% Media/Telecom: 6.31% Aerospace 14.0% Utility 14.0% *Bonds rated CC, C or default Leveraged Finance Outlook and 2012 Annual Review

51 Exhibit 101: Distressed* Universe of the Credit Suisse High Yield Index Composition by Region (Market Weight): December 31, 2012 Latin America 4.6% Western Europe 2.4% Canada 16.8% United States 76.2% *Bonds rated CC, C or default Exhibit 102: Distressed* Universe of the Credit Suisse High Yield Index Composition by Size (Market Weight): December 31, 2012 $200 MM to $299 MM 7.8% $400 MM to $499 MM 7.3% $101 MM to $199 MM 1.8% $300 MM to $399 MM 9.5% $500 MM and Over 73.6% *Bonds rated CC, C or Default 2013 Leveraged Finance Outlook and 2012 Annual Review 51

52 High Yield Index Charts Exhibit 103: Summary Profile of the Credit Suisse High Yield Index: December 31, 2012 Market Value on 12/31/2012 $820,014 MM Number of Issues 1,538 Percent of Par Value % Market Value on 11/30/2012 $811,632 MM Size $790,928 MM Percent of Par Value (Excl Def) % Book Value on 12/31/2012 $782,602 MM Average Size $514 MM Coupon 7.93% Maturity 6.59 yrs Yield to Worst 6.25% Current Yield 7.58% Yield to Worst Date 4.71 yrs Spread to Worst 554 bp Yield to Maturity 6.90% Duration 3.65 yrs Premium to Treasury % Mean Yield to Worst 7.32% Average Rating B 8-month Price Volatility 2.24 Standard Deviation Yield to Worst 9.19% Exhibit 104: Credit Suisse HY Index Spread & Yield by Industry Type: December 31, % 10.00% 1200 bp 1000 bp 8.00% 6.00% 6.45% 6.25% 6.16% 6.00% 800 bp 600 bp 4.00% 400 bp 2.00% 200 bp 0.00% Defensive Credit Suisse High Yield Index Cyclical Energy 0 bp YTW STW Exhibit 105: Credit Suisse High Yield Index Spread & Yield by Rating Tier: December 31, % 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Upper Tier: Split BBB and BB Middle Tier: Split BB, B and Split B Lower Tier: CCC/Split CCC and Default 4.47% 6.29% 10.84% 6.25% Upper Tier Middle Tier Lower Tier Credit Suisse High Yield Index 1800bp 1600bp 1400bp 1200bp 1000bp 800bp 600bp 400bp 200bp 0bp YTW STW Leveraged Finance Outlook and 2012 Annual Review

53 Exhibit 106: Credit Suisse High Yield Index Spread & Yield by Security Type: December 31, % 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% YTW 6.23% 14.06% 6.25% Cash Deferred Credit Suisse High Yield Index STW 1800 bp 1600 bp 1400 bp 1200 bp 1000 bp 800 bp 600 bp 400 bp 200 bp 0 bp Exhibit 107: Credit Suisse High Yield Index Spread & Yield by Seniority: December 31, % 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 7.36% 5.86% 6.22% 9.79% 6.25% Senior Secured Senior Senior Subordinated Junior Subordinated Credit Suisse High Yield Index 1400 bp 1200 bp 1000 bp 800 bp 600 bp 400 bp 200 bp 0 bp YTW STW Exhibit 108: Credit Suisse High Yield Index Spread & Yield by Size: December 31, % 1200bp 7.98% 7.77% 8.00% 1000bp 7.00% 6.25% 6.04% 6.00% 800bp 5.00% 600bp 4.00% 3.00% 400bp 2.00% 200bp 1.00% 0bp $0 MM to $100 MM $101 MM to $299 MM Credit Suisse High Yield Index $300 MM and Over YTW STW 2013 Leveraged Finance Outlook and 2012 Annual Review 53

54 Exhibit 109: Credit Suisse High Yield Index Returns by Industry: % 20.0% 15.0% 10.0% 5.0% 0.0% 22.0% 19.3% 18.8% 16.1% 15.7% 15.5% 15.4% 15.0% 14.9% 14.7% 14.3% 14.1% 13.5% 13.3% 13.2% 12.7% 12.0% 12.0% 11.5% 10.7% 7.1% Exhibit 110: Credit Suisse High Yield Index Returns by Industry Type: % 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 15.04% 15.23% 14.71% 11.99% Energy Defensive Cyclical Credit Suisse High Yield Index Exhibit 111: Credit Suisse High Yield Index Returns by Rating: % 19.92% 20.00% 18.27% 15.74% 15.00% 13.08% 13.38% 13.91% 12.55% 14.71% 10.00% 5.00% 0.00% -5.00% % -6.45% Split BBB BB Split BB B Split B CCC Not Rated Distressed/ Default* *Bonds rated CC, C, and Default Credit Suisse High Yield Index Leveraged Finance Outlook and 2012 Annual Review

55 Exhibit 112: Credit Suisse High Yield Index Returns by Rating Tier: % 15.50% 15.00% 14.50% 14.00% 13.50% 13.00% 12.50% 12.00% 13.29% 15.36% 15.59% 14.71% Upper Tier Middle Tier Lower Tier Credit Suisse High Yield Index Exhibit 113: Credit Suisse High Yield Index Returns by Security Type: % 35.55% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 15.04% 14.71% -5.00% % -6.56% Cash Deferred Default Credit Suisse High Yield Index Exhibit 114: Credit Suisse High Yield Index Returns by Region: % 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 19.03% Western Europe 15.73% Non-European Developed 14.71% 14.44% Credit Suisse High Yield Index 13.55% 13.44% 4.04% United States Asia Canada Latin America 2013 Leveraged Finance Outlook and 2012 Annual Review 55

56 Exhibit 115: Credit Suisse High Yield Index Returns by Seniority: % 20.00% 20.63% 15.00% 15.13% 14.43% 15.51% 14.71% 10.00% 5.00% 0.00% Senior Secured Senior Senior Subordinated Junior Subordinated Credit Suisse High Yield Index Exhibit 116: Credit Suisse High Yield Index Returns by Size: % 14.75% 14.72% 14.71% 14.00% 11.96% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% $0 MM to $100 MM $101 MM to $299 MM $300 MM and Over Credit Suisse High Yield Index Exhibit 117: Credit Suisse High Yield Index Spread vs. Price Volatility by Industry: December 31, 2012 Spread to Worst Consumer Durables Gaming/Leisure Broadcasting Service Diversified Media Food And Drug Metals/Minerals Information Technology Healthcare Transportation 550 Utility Food/Tobacco Retail Aerospace Energy Telecommunications Chemicals 500 Forest Prod/Containers Manufacturing Consumer Non-Durables Cable/Wireless Video Wireless Communications Financial Housing Month Price Volatility Leveraged Finance Outlook and 2012 Annual Review

57 Exhibit 118: Credit Suisse High Yield Index Spread vs. Price Volatility by Rating: December 31, 2012 Spread to Worst Not Rated B CCC/Split CCC 500 Split BB 400 BB 300 Split BBB Month Price Volatility Split B Exhibit 119: Credit Suisse High Yield Index Spread vs. Price Volatility by Region: December 31, Latin America Non-European Developed 580 Canada Spread to Worst United States Western Europe 430 Asia Month Price Volatility Exhibit 120: Credit Suisse High Yield Index Spread vs. Price Volatility by Security Type: December 31, Deferred less than 2 years Spread to Worst Deferred 2 years and Over 650 Cash (Non-Prefunded) 450 Cushion Paper Month Price Volatility 2013 Leveraged Finance Outlook and 2012 Annual Review 57

58 Exhibit 121: Best & Worst Performers by Total Return: Credit Suisse High Yield Index, 4Q12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers K-V Pharmaceutical % 3/15/2015 NR NR Sr Sec Nts % % % Defaulted Petroplus Finance 6.750% 5/1/2014 C D Sr Nts % 64.29% 64.29% Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts % 64.29% 64.29% Defaulted PMI Group 6.000% 9/15/2016 C D Sr Nts % 35.87% 35.87% Defaulted PMI Group 6.625% 9/15/2036 C D Sr Nts % 35.87% 35.87% Defaulted MF Global Holdings 6.750% 8/8/2016 NR D Sr Nts % 29.96% 29.96% Defaulted Eastman Kodak 9.750% 3/1/2018 NR D Sr Sec 2nd Lien Nts % 27.56% 27.56% Defaulted eaccess 8.250% 4/1/2018 Ba3 BB Sr Nts % 25.36% 23.07% 4.34% 407 bp Rotech Healthcare % 3/15/2018 Ca CCC- Sr Sec 2nd Lien Nts % 21.13% 16.51% 21.49% 2072 bp Shingle Springs Tribal Gaming Authority 9.375% 6/15/2015 Caa2 CCC Sr Nts % 20.36% 17.58% 10.56% 1026 bp Worst Performers Rev el AC % 3/15/2018 NR NR Sr Sec 2nd Lien PIK % % % % 9999 bp Haw ker Beechcraft Acquisition 8.500% 4/1/2015 C D Sr Nts % % % Defaulted Overseas Shipholding Group 8.125% 3/30/2018 C D Sr Nts % % % Defaulted Cengage Learning Acquisitions % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp ATP Oil & Gas % 5/1/2015 Ca D Sr Sec 2nd Lien Nts 1, % % % Defaulted Overseas Shipholding Group 7.500% 2/15/2024 C D Sr Nts % % % Defaulted Mashantucket (Western) Pequot Tribe 8.500% 11/15/2015 Ca D Sr Nts % % % Defaulted Ameren Energy Generating 7.000% 4/15/2018 Ba3 B Sr Nts % % % 14.65% 1386 bp Vitro 8.625% 2/1/2012 Ca D Sr Nts % % % Defaulted Connacher Oil and Gas 8.500% 8/1/2019 Caa2 B+ Sr Sec 2nd Lien Nts % % % 16.69% 1561 bp Exhibit 122: Best & Worst Performers by Price Move (1) : Credit Suisse High Yield Index, 4Q12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers eaccess 8.250% 4/1/2018 Ba3 BB Sr Nts % 25.36% 23.07% 4.34% 407 bp Eastman Kodak 9.750% 3/1/2018 NR D Sr Sec 2nd Lien Nts % 27.56% 27.56% Defaulted Knight-Ridder 5.750% 9/1/2017 Caa2 CCC Sr Nts % 18.82% 17.18% 4.90% 424 bp MF Global Holdings 6.750% 8/8/2016 NR D Sr Nts % 29.96% 29.96% Defaulted Shingle Springs Tribal Gaming Authority 9.375% 6/15/2015 Caa2 CCC Sr Nts % 20.36% 17.58% 10.56% 1026 bp Plains Exploration & Production 6.875% 2/15/2023 B1 B Sr Nts 1, % 15.55% 14.25% 4.35% 359 bp Ultrapetrol (Bahamas) 9.000% 11/24/2014 Caa1 B- 1st Pref Ship Mtg Nts % 18.40% 15.82% 9.43% 919 bp Vedanta Resources 8.250% 6/7/2021 Ba3 BB Sr Nts % 15.39% 13.30% 6.64% 518 bp HD Supply % 7/15/2020 Caa2 CCC+ Sr Nts 1, % 15.15% 12.62% 8.67% 777 bp Vedanta Resources 9.500% 7/18/2018 Ba3 BB Sr Nts % 14.35% 12.06% 6.18% 533 bp Worst Performers Cengage Learning Acquisitions % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp Overseas Shipholding Group 8.125% 3/30/2018 C D Sr Nts % % % Defaulted Ameren Energy Generating 7.000% 4/15/2018 Ba3 B Sr Nts % % % 14.65% 1386 bp Cengage Learning Acquisitions % 4/15/2020 Caa2 CCC+ Sr Sec Nts % % % 14.62% 1338 bp Overseas Shipholding Group 7.500% 2/15/2024 C D Sr Nts % % % Defaulted Connacher Oil and Gas 8.500% 8/1/2019 Caa2 B+ Sr Sec 2nd Lien Nts % % % 16.69% 1561 bp Adv anced Micro Dev ices 7.750% 8/1/2020 B1 BB- Sr Nts % % % 10.96% 967 bp Adv anced Micro Dev ices 7.500% 8/15/2022 B1 BB- Sr Nts % % % 10.47% 878 bp Phy siotherapy Associates Holdings % 5/1/2019 B3 B Sr Nts % -9.76% % 14.58% 1356 bp Aurora Diagnostics Holdings % 1/15/2018 B3 CCC Sr Nts % -9.73% % 14.16% 1343 bp (1) Includes only issues priced 50 or higher at beginning of period Leveraged Finance Outlook and 2012 Annual Review

59 Exhibit 123: Best & Worst Performers by Total Return: Credit Suisse High Yield Index, 2H12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers K-V Pharmaceutical % 3/15/2015 NR NR Sr Sec Nts % % % Defaulted Penson Worldw ide % 5/15/2017 Ca CC Sr Sec 2nd Lien Nts % % 61.07% 74.07% 7346 bp Petroplus Finance 6.750% 5/1/2014 C D Sr Nts % % % Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts % % % Defaulted MF Global Holdings 6.750% 8/8/2016 NR D Sr Nts % 68.39% 68.39% Defaulted Dex One % 1/29/2017 Ca D Sr PIK Election Nts % 56.01% 34.05% 53.91% 5335 bp Checkout Holding 0.000% 11/15/2015 Caa1 CCC+ Sr Disc Nts % 54.70% 54.70% 12.85% 1251 bp CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts % 50.94% 43.51% 15.08% 1449 bp Ambac Financial Group 9.375% 8/1/2011 C D Sr Nts % 41.41% 41.41% Defaulted Rotech Healthcare % 3/15/2018 Ca CCC- Sr Sec 2nd Lien Nts % 40.82% 31.01% 21.49% 2072 bp Worst Performers Rev el AC % 3/15/2018 NR NR Sr Sec 2nd Lien PIK % % % % 9999 bp ATP Oil & Gas % 5/1/2015 Ca D Sr Sec 2nd Lien Nts 1, % % % Defaulted Haw ker Beechcraft Acquisition 8.500% 4/1/2015 C D Sr Nts % % % Defaulted Ov erseas Shipholding Group 8.125% 3/30/2018 C D Sr Nts % % % Defaulted Cengage Learning Acquisition % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp Ov erseas Shipholding Group 7.500% 2/15/2024 C D Sr Nts % % % Defaulted LifeCare Holdings 9.250% 8/15/2013 C D Sr Sub Nts % % % Defaulted Eastman Kodak 7.250% 11/15/2013 NR D Sr Nts % % % Defaulted Mashantucket (Western) Pequ 8.500% 11/15/2015 Ca D Sr Nts % % % Defaulted Vitro 8.625% 2/1/2012 Ca D Sr Nts % % % Defaulted Exhibit 124: Best & Worst Performers by Price Move (1) : Credit Suisse High Yield Index, 2H12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts % 50.94% 43.51% 15.08% 1449 bp Mirant Americas 8.500% 10/1/2021 B3 BB- Bds % 30.61% 26.02% 6.38% 486 bp Wind Acquisition Finance % 7/15/2017 B3 B+ Sr Nts 2, % 34.58% 27.81% 9.59% 928 bp Knight-Ridder 5.750% 9/1/2017 Caa2 CCC Sr Nts % 32.15% 28.67% 4.90% 424 bp Radian Group 5.375% 6/15/2015 Caa2 CCC+ Sr Nts % 34.99% 31.16% 9.46% 916 bp eaccess 8.250% 4/1/2018 Ba3 BB Sr Nts % 26.95% 22.54% 4.34% 407 bp Shingle Springs Tribal Gaming 9.375% 6/15/2015 Caa2 CCC Sr Nts % 33.32% 27.27% 10.56% 1026 bp EDP Finance 4.900% 10/1/2019 Ba1 BB+ Sr Nts 1, % 27.02% 24.00% 5.06% 394 bp GenOn Escrow 9.500% 10/15/2018 B3 B Sr Nts % 23.62% 18.94% 5.79% 488 bp Worst Performers Rev el AC % 3/15/2018 NR NR Sr Sec 2nd Lien PIK % % % % 9999 bp Cengage Learning Acquisition % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp Ov erseas Shipholding Group 8.125% 3/30/2018 C D Sr Nts % % % Defaulted Adv anced Micro Dev ices 7.750% 8/1/2020 B1 BB- Sr Nts % % % 10.96% 967 bp Cataly st Paper % 10/30/2017 NR NR Sr Sec PIK Election % % % 18.76% 1807 bp Oncure Holdings % 5/15/2017 Caa3 NR Sr Sec Nts % % % 35.95% 3534 bp Albertson's 8.000% 5/1/2031 Caa1 B- Debs % % % 15.09% 1283 bp Ov erseas Shipholding Group 7.500% 2/15/2024 C D Sr Nts % % % Defaulted Chukchansi Economic Dev elo 9.750% 5/30/2020 Caa2 NR Sr Sec Nts % % % 20.74% 1948 bp Adv anced Micro Dev ices 7.500% 8/15/2022 B1 BB- Sr Nts % % % 10.47% 878 bp (1) Includes only issues priced 50 or higher at beginning of period 2013 Leveraged Finance Outlook and 2012 Annual Review 59

60 Exhibit 125: Best & Worst Performers by Total Return: Credit Suisse High Yield Index, 2012 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Ahern Rentals 9.250% 8/15/2013 Ca D Sr Sec 2nd Pr Nts % % % Defaulted Ambac Financial Group 5.950% 12/5/2035 C D Sr Nts % % % Defaulted Ambac Financial Group 9.375% 8/1/2011 C D Sr Nts % % % Defaulted Technical Oly mpic USA 8.250% 4/1/2011 C D Sr Nts % % % Defaulted Radian Group 5.375% 6/15/2015 Caa2 CCC+ Sr Nts % % 96.67% 9.46% 916 bp CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts % 95.32% 76.94% 15.08% 1449 bp Dex One % 1/29/2017 Ca D Sr PIK Election Nts % 90.37% 43.28% 53.91% 5335 bp MF Global Holdings 6.750% 8/8/2016 NR D Sr Nts % 89.30% 89.30% Defaulted Shingle Springs Tribal Gaming 9.375% 6/15/2015 Caa2 CCC Sr Nts % 88.30% 71.90% 10.56% 1026 bp AS America % 1/15/2016 Caa1 B- Sr Sec Nts % 76.23% 59.62% 11.55% 1119 bp Worst Performers Haw ker Beechcraft Acquisition 9.750% 4/1/2017 C D Sr Sub Nts % % % Defaulted ATP Oil & Gas % 5/1/2015 Ca D Sr Sec 2nd Lien Nts 1, % % % Defaulted Eastman Kodak 7.250% 11/15/2013 NR D Sr Nts % % % Defaulted Petroplus Finance 6.750% 5/1/2014 C D Sr Nts % % % Defaulted Haw ker Beechcraft Acquisition 8.500% 4/1/2015 C D Sr Nts % % % Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts % % % Defaulted Patriot Coal 8.250% 4/30/2018 C D Sr Nts % % % Defaulted Cengage Learning Acquisition % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp Penson Worldwide % 5/15/2017 Ca CC Sr Sec 2nd Lien Nts % % % 74.07% 7346 bp Vitro 8.625% 2/1/2012 Ca D Sr Nts % % % Defaulted Exhibit 126: Best & Worst Performers by Price Move (1) : Credit Suisse High Yield Index, 2012 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Shingle Springs Tribal Gaming 9.375% 6/15/2015 Caa2 CCC Sr Nts % 88.30% 71.90% 10.56% 1026 bp AS America % 1/15/2016 Caa1 B- Sr Sec Nts % 76.23% 59.62% 11.55% 1119 bp American Airlines 7.500% 3/15/2016 Ca D Sr Sec Nts 1, % 50.70% 50.70% Defaulted Beazer Homes USA 9.125% 6/15/2018 Caa3 CCC Sr Nts % 64.40% 51.26% 7.70% 726 bp Knight-Ridder 5.750% 9/1/2017 Caa2 CCC Sr Nts % 58.36% 50.19% 4.90% 424 bp Residential Capital 9.625% 5/15/2015 C D Jr Sec 3rd Lien Nts 2, % 50.18% 50.18% Defaulted Bon-Ton Stores % 3/15/2014 Caa3 CCC Sr Nts % 67.05% 51.85% 11.13% 1097 bp Radian Group 5.625% 2/15/2013 Caa2 CCC+ Sr Nts % 59.85% 51.45% 14.24% 1420 bp Vedanta Resources 8.250% 6/7/2021 Ba3 BB Sr Nts % 52.44% 41.91% 6.64% 518 bp Pulte Homes 6.375% 5/15/2033 B1 BB- Sr Nts % 52.55% 43.49% 6.40% 402 bp Worst Performers ATP Oil & Gas % 5/1/2015 Ca D Sr Sec 2nd Lien Nts 1, % % % Defaulted Patriot Coal 8.250% 4/30/2018 C D Sr Nts % % % Defaulted Cengage Learning Acquisition % 6/30/2019 Ca CC Sr Sec 2nd Lien Nts % % % 32.74% 3167 bp Penson Worldw ide % 5/15/2017 Ca CC Sr Sec 2nd Lien Nts % % % 74.07% 7346 bp Petroplus Finance 6.750% 5/1/2014 C D Sr Nts % % % Defaulted Ameren Energy Generating 7.000% 4/15/2018 Ba3 B Sr Nts % % % 14.65% 1386 bp Oncure Holdings % 5/15/2017 Caa3 NR Sr Sec Nts % % % 35.95% 3534 bp Xinergy 9.250% 5/15/2019 Caa3 CCC Sr Sec Nts % % % 21.72% 2068 bp Vitro 8.625% 2/1/2012 Ca D Sr Nts % % % Defaulted Ov erseas Shipholding Group 8.125% 3/30/2018 C D Sr Nts % % % Defaulted (1) Includes only issues priced 50 or higher at beginning of period Leveraged Finance Outlook and 2012 Annual Review

61 Exhibit 127: Leveraged Loan vs. Market Returns U.S. Leveraged Loan Performance Review The Credit Suisse Leveraged Loan Index was up with a return of 9.43% in The discount margin, assuming a three-year average life, tightened 101 bp during the year to 555 bp. The average price rose to 96.60, a 4.41-point increase. Cumulative Total Return (1) TOTAL RETURN 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (2) 10-YEAR TREASURY -0.14% 3.72% 12.31% 1.09% 17.58% -2.17% 5.91% 0.85% -0.36% 1.15% -1.14% -0.36% 4.12% CREDIT SUISSE LUCI (LIQUID US CORPORATE INDEX) 0.76% 2.36% 3.39% 1.73% 8.49% 1.96% 2.52% 3.81% 1.25% -0.09% -0.12% 1.04% 9.64% CREDIT SUISSE HIGH YIELD INDEX 3.77% 1.04% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% CREDIT SUISSE HIGH YIELD INDEX, DEV'D COUNTRIES ONLY 3.74% 1.04% -5.13% 6.05% 5.46% 5.03% 1.58% 4.28% 0.86% 0.76% 1.50% 3.15% 14.76% CREDIT SUISSE INSTITUTIONAL HIGH YIELD INDEX 3.78% 1.04% -5.00% 6.13% 5.72% 5.10% 1.66% 4.37% 0.90% 0.81% 1.46% 3.20% 15.08% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (3) 2.80% 0.66% -8.66% 4.77% -0.97% 10.10% 0.20% 6.11% 2.12% 1.48% 2.01% 5.72% 23.76% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (4) 2.83% 0.82% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% CREDIT SUISSE LEVERAGED LOAN INDEX 2.65% 0.33% -3.76% 2.72% 1.82% 3.48% 1.01% 3.14% 0.37% 0.40% 0.73% 1.52% 9.43% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN $US) (3) 4.36% -0.21% -5.90% 1.21% -0.83% 4.76% 0.81% 2.75% 0.52% 0.70% 0.86% 2.10% 10.80% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN EURO) (4) 4.38% 0.01% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% CREDIT SUISSE LEVERAGED EQUITY INDEX 8.41% -1.45% % 12.39% % 14.86% -7.32% 8.08% 1.03% -0.03% 3.85% 4.88% 20.67% DJIA 7.07% 1.42% % 12.77% 8.38% 8.84% -1.85% 5.02% -2.39% -0.12% 0.79% -1.74% 10.24% S&P % 0.10% % 11.82% 2.11% 12.59% -2.75% 6.35% -1.85% 0.58% 0.91% -0.38% 16.00% NASDAQ COMPOSITE 5.05% -0.03% % 8.21% -0.79% 18.98% -4.76% 6.54% -4.39% 1.39% 0.63% -2.46% 17.76% WILSHIRE % -0.03% % 12.01% 0.57% 13.09% -3.19% 6.11% -1.80% 0.51% 0.99% -0.33% 15.79% RUSSELL % -1.61% % 15.48% -4.17% 12.44% -3.47% 5.25% -2.17% 0.53% 3.56% 1.85% 16.35% CREDIT SUISSE HIGH YIELD INDEX VALUE (12/31/85=100) (1) Cumulative Monthly Total Return; (2) As of 12/31/12 (3) Multiple currencies; returns converted hedged to $US (4) Multiple currencies; returns converted hedged to Euro, the BLOOMBERG PROFESSIONAL service Exhibit 128: Leveraged Loan Summary Chart 2012 Outperforming Industries Underperforming Industries Media/Telecom 11.90% Aerospace 5.13% Credit Suisse Leveraged Loan Index Financial 11.26% Metals/Minerals 7.34% 9.43% Utility 10.76% Energy 7.39% Outperforming Sectors Underperforming Sectors Lower Tier 20.12% L+125 to L % Second Lien 15.30% Upper Tier 6.69% Unsecured 10.47% Energy 7.39% 2013 Leveraged Finance Outlook and 2012 Annual Review 61

62 Exhibit 129: Leveraged Loan Primary Market Monitor LIBOR Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q month LIBOR YIELD 0.25% 0.30% 0.37% 0.58% 0.58% 0.47% 0.46% 0.36% 0.31% 0.31% 0.31% 0.31% 0.31% LIBOR YIELD increase (decrease) (117) bp 5 bp 13 bp 21 bp 28 bp (11) bp (1) bp (10) bp (5) bp (0) bp (0) bp (5) bp (28) bp ISSUANCE NON-INSTITUTIONAL (1) ($billions) INSTITUTIONAL (2) ($billions) OVERALL ($billions) FORWARD CALENDAR ($billions) AVERAGE NEW ISSUE SPREADS Institutional B 436 bp 457 bp 551 bp 553 bp 486 bp 480 bp 516 bp 470 bp 434 bp 471 bp 455 bp 453 bp 480 bp BB 345 bp 376 bp 372 bp 352 bp 338 bp 322 bp 384 bp 342 bp 350 bp 336 bp 300 bp 329 bp 344 bp B vs. BB 91bp 81bp 179bp 201bp 148bp 158bp 132bp 128bp 84bp 135bp 155bp 125bp 136bp Non-Institutional B 426 bp 435 bp 502 bp 539 bp 461 bp 465 bp 483 bp 421 bp 475 bp 461 bp 400 bp 445 bp 454 bp BB 403 bp 332 bp 197 bp 266 bp 243 bp 243 bp 253 bp 222 bp 231 bp 225 bp 225 bp 227 bp 236 bp B vs. BB 23bp 103bp 305bp 273bp 218bp 222bp 230bp 199bp 244bp 236bp 175bp 218bp 217bp Institutional vs. Non-Institutional B 10 bp 21 bp 49 bp 14 bp 25 bp 15 bp 33 bp 49 bp (41) bp 11 bp 55 bp 8 bp 26 bp BB (58) bp 43 bp 175 bp 86 bp 96 bp 79 bp 131 bp 120 bp 119 bp 111 bp 75 bp 102 bp 108 bp (1) Non-institutional loans include TL-a and Revolvers. This data is revised often as more complete information becomes available. (2) Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors. Institutional issuance is a subset of overall loan issuance, the BLOOMBERG PROFESSIONAL service, S&P LCD, LPC Leveraged Finance Outlook and 2012 Annual Review

63 Exhibit 130: 2012 Performance of the Credit Suisse Leveraged Loan Index CS LL Index Cumulative Total Return 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 12/30/2011 5/14/ % 6/5/ % 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ % Exhibit 131: 2012 Discount Margin of the Credit Suisse Leveraged Loan Index CS LL Index Discount Margin (3-years) 700 bp 650 bp 600 bp 550 bp 500 bp 12/30/ bp 5/11/ bp 6/5/ bp 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ bp Exhibit 132: 2012 Average Price of the Credit Suisse Leveraged Loan Index CS LL Index Average Price /30/ /10/ /5/ /13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ Leveraged Finance Outlook and 2012 Annual Review 63

64 Exhibit 133: Average Price of the Credit Suisse Leveraged Loan Index Average Price % 95.00% 90.00% 85.00% 80.00% 75.00% 70.00% 65.00% 60.00% 85.50% 10/31/ % 2/28/ % 12/31/ % 12/31/12 Exhibit 134: Average Discount Margin of the Credit Suisse Leveraged Loan Index 1900bps 12/31/ bp Discount Margin 1700bps 1500bps 1300bps 1100bps 900bps 700bps 500bps 300bps 100bps 616 bp 10/31/ bp 10/31/ bp 3/30/07 8/31/ bp 555 bp 12/31/12 *Discount margin (DM) assumes 3-year average life Exhibit 135: New Leveraged Loan Syndications Monthly Volume (December 2012) Volume ($Billions) $100 $90 $80 $70 $60 $50 $40 $30 $20 $10 $0 5/28/ /29/ /30/ /30/ /28/ Pro-rata + Institutional, S&P LCD Leveraged Finance Outlook and 2012 Annual Review

65 Exhibit 136: Leveraged Loan Market Size Market Size ($ Billions) $1,600 Leveraged Loan Market Size New Leveraged Loan Volume 1423 $1, $1, $1, $ $ $ $ $ $1,200 $1,000 $800 $600 $400 $200 $0 New Leveraged Loan Volume ($ Billions) Includes $US-denominated non-investment grade bank debt, including both non-institutional (revolvers and pro-rata tranches) and institutional facilities. * As of 9/30/2012, LPC Exhibit 137: Institutional Leveraged Loan Market Size $900 $800 Institutional Loan Market Size New Institutional Loan Volume $600 Market Size ($Billions) $700 $600 $500 $400 $300 $200 $100 $ $500 $400 $300 $200 $100 $0 New Institutional Loan Volume ($Bln) Includes $US-denominated non-investment grade fully-drawn institutional term loans (TLb's, TLc's, TLd's, delayed-draw, and other tranches held by institutional investors). This is a subset of the overall leveraged loan market size. * As of 12/31/2012, LPC 2013 Leveraged Finance Outlook and 2012 Annual Review 65

66 Exhibit 138: Leveraged Loans Maturing by Year as of 12/31/08 Exhibit 139: Leveraged Loans Maturing by Year as of 12/31/ Maturities Total: $ Maturities $112 bln $ Billions *Excludes revolvers, letters of credit, Inst'l Leveraged Loans Maturing by Year (As of 12/31/08) and delayed draw loans. $ Billions *Excludes revolvers, letters of credit, Inst'l Leveraged Loans Maturing by Year (As of 12/31/12) and delayed draw loans. Exhibit 140: Institutional Leveraged Loan Events by Year Loan Events ($Bln) * New Issuance Issued in Extension Issued in Exchange Fallen Angel Additions: Prepaid w/ Bonds Prepaid w/ Equity Prepaid w/ Loans/Cash Extended Matured Bankruptcy Resolution Rising Star Illiquid/Unknown Deletions: Net Change: Starting Size Ending Size *As of December 31, Leveraged Finance Outlook and 2012 Annual Review

67 Exhibit 141: Credit Suisse Leveraged Loan Index Discount Margin 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 Discount Margin 2 Yrs 2594 bp 868 bp 632 bp 863 bp 767 bp 659 bp 675 bp 598 bp 601 bp 605 bp 594 bp Discount Margin 3 Yrs 1842 bp 697 bp 558 bp 722 bp 656 bp 588 bp 602 bp 555 bp 557 bp 561 bp 555 bp Discount Margin 4 Yrs 1474 bp 611 bp 521 bp 652 bp 601 bp 552 bp 565 bp 533 bp 536 bp 540 bp 536 bp Discount Margin 5 Yrs 1257 bp 560 bp 499 bp 611 bp 568 bp 531 bp 544 bp 520 bp 523 bp 527 bp 525 bp Exhibit 142: Credit Suisse Leveraged Loan Index Discount Margin Tighten (Widen) Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Discount Margin 2 Yrs 1726 bp 236 bp (252) bp 96 bp (135) bp 108 bp (16) bp 76 bp (2) bp (4) bp 11 bp 4 bp 173 bp Discount Margin 3 Yrs 1145 bp 139 bp (174) bp 66 bp (98) bp 68 bp (14) bp 47 bp (2) bp (4) bp 6 bp (1) bp 101 bp Discount Margin 4 Yrs 863 bp 90 bp (135) bp 51 bp (80) bp 49 bp (13) bp 32 bp (2) bp (4) bp 3 bp (3) bp 65 bp Discount Margin 5 Yrs 697 bp 62 bp (112) bp 42 bp (70) bp 37 bp (12) bp 23 bp (2) bp (4) bp 2 bp (4) bp 44 bp Exhibit 143: Credit Suisse Leveraged Loan Index Returns by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 47.59% 14.69% -3.89% 3.15% 2.21% 2.31% 0.04% 2.21% -0.04% -0.08% 0.62% 0.50% 5.13% Chemicals 43.22% 10.68% -2.44% 2.44% 2.34% 3.21% 0.69% 2.53% 0.61% 0.51% 0.68% 1.81% 8.48% Consumer Durables 47.15% 20.42% -1.40% 2.18% 6.86% 3.38% 1.52% 2.07% 0.89% 0.56% 0.62% 2.09% 9.35% Consumer Non-Durables 40.29% 10.32% -2.47% 2.11% 1.71% 3.21% 1.43% 2.28% 0.45% 0.27% 0.50% 1.22% 8.37% Energy 40.52% 10.80% -2.29% 2.40% 4.91% 3.31% 0.13% 2.66% 0.11% 0.39% 0.61% 1.12% 7.39% Financial 46.52% 11.59% -4.93% 2.07% 1.90% 4.66% 1.06% 2.87% 0.87% 0.57% 0.79% 2.25% 11.26% Food And Drug 40.93% 7.34% -2.46% 3.42% 3.80% 3.61% 0.73% 2.40% 0.31% 0.24% 0.86% 1.42% 8.39% Food/Tobacco 27.47% 8.24% -2.24% 1.95% 1.99% 2.66% 1.06% 2.28% 0.64% 0.58% 0.73% 1.96% 8.19% Forest Prod/Containers 34.21% 8.27% -1.50% 3.46% 3.96% 3.03% 0.91% 2.97% 0.54% 1.15% 0.68% 2.39% 9.61% Gaming/Leisure 51.42% 14.43% -2.92% 2.70% 3.21% 3.82% 0.74% 1.86% -0.02% 0.29% 0.58% 0.85% 7.44% Healthcare 28.84% 7.79% -2.94% 3.33% 2.79% 3.17% 0.91% 2.73% 0.56% 0.37% 0.47% 1.40% 8.46% Housing 52.07% 14.74% -2.31% 3.80% 4.50% 3.73% 1.63% 2.95% 0.78% 0.53% 0.28% 1.59% 10.26% Information Technology 58.82% 11.63% -2.93% 3.21% 3.39% 3.70% 0.54% 2.98% 0.41% 0.26% 0.75% 1.43% 8.90% Manufacturing 29.37% 13.61% -3.04% 2.34% 2.93% 3.40% 1.66% 2.70% 0.80% 0.51% 0.68% 2.00% 10.11% Media/Telecommunications 53.13% 8.75% -5.85% 3.22% -0.97% 4.84% 0.85% 3.78% 0.75% 0.18% 1.05% 1.99% 11.90% Broadcasting 89.58% 14.63% -9.07% 5.33% -2.08% 6.79% 1.03% 3.78% 0.70% 0.10% 1.17% 1.98% 14.18% Cable/Wireless Video 36.12% 7.77% -2.34% 2.41% 2.54% 2.82% 0.54% 2.67% 0.53% 0.43% 0.54% 1.51% 7.74% Telecommunications 42.92% 9.24% -2.38% 3.41% 3.39% 3.38% 1.39% 3.01% 0.57% 0.71% 0.74% 2.03% 10.16% Wireless Communications 32.49% 6.61% -1.91% 2.69% 2.72% 2.17% 0.05% 2.58% 0.67% 0.47% 0.42% 1.57% 6.51% Diversified Media 54.51% 6.87% -7.32% 2.59% -3.66% 5.82% 0.85% 4.94% 0.96% -0.19% 1.49% 2.27% 14.53% Metals/Minerals 46.37% 14.11% -1.39% 2.30% 4.06% 2.11% 0.29% 2.45% 0.55% 0.98% 0.77% 2.32% 7.34% Retail 68.28% 10.04% -2.99% 3.39% 2.81% 3.69% 0.71% 2.62% 0.64% 0.45% 0.44% 1.53% 8.81% Service 49.10% 7.94% -4.34% 2.92% 1.85% 4.39% 1.17% 2.87% 0.52% 0.40% 0.52% 1.45% 10.22% Transportation 72.02% 13.59% -2.25% 1.29% 1.33% 4.74% 0.52% 2.67% -0.04% 0.32% 0.47% 0.75% 8.91% Automotive 83.04% 12.71% -2.25% 3.88% 3.92% 4.44% 0.25% 3.03% -0.18% 0.32% 0.43% 0.56% 8.49% Land Transportation 42.46% 16.20% -2.93% -0.59% 0.42% 1.29% 1.11% 2.27% 0.18% 0.36% 0.52% 1.06% 5.85% Shipping 12.57% 19.88% -0.16% -9.53% % 10.80% 1.11% 1.20% 0.23% 0.19% 0.66% 1.09% 14.62% Utility 29.04% 5.61% -7.09% -0.11% -1.48% -3.30% 4.30% 9.27% -2.52% 1.03% 2.05% 0.51% 10.76% Credit Suisse Leveraged Loan Index 44.87% 9.97% -3.76% 2.72% 1.82% 3.48% 1.01% 3.14% 0.37% 0.40% 0.73% 1.52% 9.43% During 2012, the best performing loan industries were media/telecom, financial, and utility with returns of 11.90%, 11.26%, and 10.76%, respectively. The worst performing loan industries were aerospace, metals/minerals, and energy with returns of 5.13%, 7.34%, and 7.39%, respectively Leveraged Finance Outlook and 2012 Annual Review 67

68 Exhibit 144: Credit Suisse Leveraged Loan Index Discount Margin (3-year life) by Industry 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 Aerospace 1885 bp 813 bp 549 bp 690 bp 600 bp 499 bp 498 bp 485 bp 492 bp 497 bp 473 bp Chemicals 1990 bp 693 bp 421 bp 537 bp 490 bp 444 bp 484 bp 449 bp 457 bp 458 bp 456 bp Consumer Durables 2169 bp 1181 bp 655 bp 658 bp 634 bp 564 bp 534 bp 479 bp 482 bp 452 bp 445 bp Consumer Non-Durables 1698 bp 685 bp 619 bp 703 bp 623 bp 554 bp 546 bp 509 bp 513 bp 515 bp 517 bp Energy 1820 bp 709 bp 600 bp 758 bp 708 bp 610 bp 657 bp 562 bp 589 bp 612 bp 607 bp Financial 1798 bp 864 bp 635 bp 856 bp 801 bp 701 bp 707 bp 588 bp 560 bp 550 bp 545 bp Food And Drug 1539 bp 482 bp 444 bp 542 bp 481 bp 434 bp 496 bp 586 bp 597 bp 615 bp 603 bp Food/Tobacco 1146 bp 527 bp 455 bp 502 bp 457 bp 461 bp 483 bp 457 bp 449 bp 454 bp 458 bp Forest Prod/Containers 1426 bp 567 bp 472 bp 636 bp 530 bp 450 bp 491 bp 401 bp 393 bp 401 bp 393 bp Gaming/Leisure 2471 bp 918 bp 610 bp 776 bp 696 bp 555 bp 578 bp 552 bp 559 bp 564 bp 562 bp Healthcare 1221 bp 523 bp 446 bp 591 bp 544 bp 485 bp 498 bp 451 bp 457 bp 465 bp 470 bp Housing 2619 bp 856 bp 560 bp 759 bp 685 bp 637 bp 635 bp 569 bp 564 bp 558 bp 564 bp Information Technology 2053 bp 657 bp 530 bp 651 bp 592 bp 533 bp 572 bp 547 bp 558 bp 570 bp 559 bp Manufacturing 1581 bp 789 bp 556 bp 662 bp 610 bp 541 bp 540 bp 521 bp 515 bp 521 bp 516 bp Media/Telecommunications 1932 bp 760 bp 611 bp 837 bp 750 bp 643 bp 660 bp 606 bp 593 bp 597 bp 585 bp Broadcasting 3093 bp 960 bp 719 bp 1121 bp 948 bp 772 bp 787 bp 720 bp 720 bp 705 bp 687 bp Cable/Wireless Video 1382 bp 480 bp 386 bp 516 bp 444 bp 422 bp 449 bp 413 bp 400 bp 396 bp 381 bp Telecommunications 1777 bp 616 bp 552 bp 689 bp 641 bp 579 bp 580 bp 543 bp 535 bp 527 bp 518 bp Wireless Communications 577 bp 479 bp 372 bp 504 bp 441 bp 415 bp 459 bp 410 bp 407 bp 403 bp 400 bp Diversified Media 2468 bp 891 bp 740 bp 955 bp 888 bp 762 bp 780 bp 726 bp 705 bp 739 bp 725 bp Metals/Minerals 2040 bp 738 bp 559 bp 515 bp 466 bp 452 bp 493 bp 446 bp 476 bp 469 bp 462 bp Retail 2464 bp 624 bp 460 bp 659 bp 582 bp 497 bp 508 bp 486 bp 487 bp 480 bp 465 bp Service 1904 bp 621 bp 556 bp 741 bp 659 bp 551 bp 558 bp 538 bp 534 bp 534 bp 542 bp Transportation 3023 bp 738 bp 513 bp 713 bp 697 bp 553 bp 595 bp 544 bp 547 bp 551 bp 549 bp Automotive 3209 bp 665 bp 421 bp 647 bp 559 bp 445 bp 503 bp 470 bp 497 bp 508 bp 509 bp Land Transportation 2473 bp 929 bp 638 bp 733 bp 749 bp 649 bp 665 bp 540 bp 495 bp 483 bp 479 bp Shipping 1649 bp 1297 bp 935 bp 1039 bp 1449 bp 1042 bp 1031 bp 1016 bp 1018 bp 1020 bp 1008 bp Utility 1577 bp 824 bp 900 bp 1237 bp 1238 bp 1484 bp 1373 bp 1155 bp 1225 bp 1206 bp 1174 bp Credit Suisse Leveraged Loan Index 1842 bp 697 bp 558 bp 722 bp 656 bp 588 bp 602 bp 555 bp 557 bp 561 bp 555 bp Exhibit 145: Credit Suisse Leveraged Loan Index Discount Margin (3-year life) Tighten (Widen) by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 1072 bp 264 bp (186) bp 90 bp (51) bp 102 bp 1 bp 12 bp (7) bp (5) bp 24 bp 12 bp 127 bp Chemicals 1297 bp 272 bp (124) bp 46 bp (69) bp 46 bp (40) bp 35 bp (8) bp (1) bp 2 bp (7) bp 34 bp Consumer Durables 987 bp 526 bp (79) bp 24 bp 21 bp 70 bp 30 bp 55 bp (3) bp 30 bp 8 bp 34 bp 189 bp Consumer Non-Durables 1013 bp 66 bp (123) bp 80 bp (4) bp 69 bp 8 bp 37 bp (4) bp (2) bp (2) bp (8) bp 106 bp Energy 1111 bp 109 bp (140) bp 50 bp (108) bp 99 bp (47) bp 94 bp (27) bp (23) bp 6 bp (44) bp 102 bp Financial 933 bp 229 bp (218) bp 55 bp (165) bp 100 bp (7) bp 119 bp 28 bp 10 bp 5 bp 43 bp 256 bp Food And Drug 1057 bp 38 bp (120) bp 62 bp (37) bp 47 bp (61) bp (90) bp (11) bp (19) bp 12 bp (17) bp (123) bp Food/Tobacco 620 bp 72 bp (80) bp 44 bp (3) bp (3) bp (22) bp 26 bp 9 bp (5) bp (5) bp (1) bp (1) bp Forest Prod/Containers 859 bp 95 bp (169) bp 106 bp (58) bp 80 bp (41) bp 90 bp 9 bp (8) bp 8 bp 9 bp 137 bp Gaming/Leisure 1553 bp 308 bp (181) bp 80 bp (87) bp 141 bp (23) bp 25 bp (7) bp (5) bp 2 bp (9) bp 135 bp Healthcare 698 bp 77 bp (145) bp 47 bp (98) bp 59 bp (13) bp 47 bp (6) bp (8) bp (5) bp (19) bp 74 bp Housing 1762 bp 297 bp (117) bp 73 bp (126) bp 48 bp 2 bp 66 bp 5 bp 6 bp (6) bp 5 bp 121 bp Information Technology 1396 bp 127 bp (147) bp 59 bp (62) bp 60 bp (39) bp 25 bp (11) bp (12) bp 11 bp (12) bp 34 bp Manufacturing 792 bp 233 bp (156) bp 52 bp (54) bp 69 bp 1 bp 19 bp 6 bp (7) bp 6 bp 5 bp 94 bp Media/Telecommunications 1172 bp 150 bp (213) bp 87 bp (139) bp 107 bp (17) bp 54 bp 13 bp (4) bp 12 bp 21 bp 164 bp Broadcasting 2133 bp 241 bp (404) bp 173 bp (230) bp 177 bp (15) bp 66 bp 0 bp 15 bp 18 bp 33 bp 261 bp Cable/Wireless Video 902 bp 94 bp (116) bp 72 bp (58) bp 22 bp (27) bp 35 bp 13 bp 4 bp 15 bp 32 bp 63 bp Telecommunications 1162 bp 63 bp (137) bp 47 bp (89) bp 63 bp (1) bp 37 bp 8 bp 8 bp 10 bp 25 bp 124 bp Wireless Communications 98 bp 107 bp (120) bp 62 bp (69) bp 26 bp (44) bp 49 bp 4 bp 4 bp 3 bp 10 bp 41 bp Diversified Media 1576 bp 151 bp (214) bp 67 bp (148) bp 126 bp (18) bp 53 bp 21 bp (34) bp 13 bp 1 bp 163 bp Metals/Minerals 1302 bp 179 bp (51) bp 48 bp 93 bp 15 bp (41) bp 47 bp (30) bp 7 bp 7 bp (16) bp 4 bp Retail 1840 bp 164 bp (163) bp 77 bp (122) bp 84 bp (11) bp 22 bp (1) bp 8 bp 15 bp 21 bp 117 bp Service 1282 bp 65 bp (204) bp 83 bp (103) bp 108 bp (8) bp 20 bp 4 bp 1 bp (9) bp (4) bp 116 bp Transportation 2285 bp 225 bp (198) bp 16 bp (184) bp 144 bp (42) bp 52 bp (4) bp (3) bp 2 bp (5) bp 148 bp Automotive 2544 bp 244 bp (209) bp 88 bp (139) bp 114 bp (58) bp 33 bp (28) bp (11) bp (0) bp (39) bp 51 bp Land Transportation 1544 bp 291 bp (193) bp (16) bp (111) bp 100 bp (16) bp 125 bp 46 bp 12 bp 4 bp 61 bp 270 bp Shipping 352 bp 361 bp (22) bp (410) bp (514) bp 408 bp 11 bp 15 bp (2) bp (2) bp 13 bp 9 bp 441 bp Utility 754 bp (77) bp (380) bp (2) bp (338) bp (246) bp 111 bp 219 bp (70) bp 18 bp 32 bp (20) bp 64 bp Credit Suisse Leveraged Loan Index 1145 bp 139 bp (174) bp 66 bp (98) bp 68 bp (14) bp 47 bp (2) bp (4) bp 6 bp (1) bp 101 bp Leveraged Finance Outlook and 2012 Annual Review

69 Exhibit 146: Credit Suisse Leveraged Loan Index Returns by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q BB 31.15% 7.49% -2.01% 2.73% 2.52% 2.44% 0.76% 2.19% 0.50% 0.45% 0.54% 1.51% 7.07% B 56.46% 9.93% -4.83% 3.61% 2.15% 5.00% 1.00% 3.44% 0.42% 0.43% 0.64% 1.50% 11.35% CCC/Split CCC 79.10% 18.73% % 2.35% -5.85% 8.91% 0.75% 5.65% -1.92% -0.66% 2.39% -0.24% 15.66% Not Rated 31.77% 12.09% -2.21% 1.16% 3.17% 3.22% 1.43% 2.24% 0.86% 0.19% 0.56% 1.62% 8.78% Distressed (CC, C and Default) 43.97% 9.98% % 9.99% -2.89% 11.16% -1.17% 12.36% -0.33% 2.91% 4.24% 6.92% 31.97% Upper Tier 29.81% 7.36% -1.70% 2.60% 2.67% 2.26% 0.76% 2.08% 0.47% 0.44% 0.51% 1.43% 6.69% Middle Tier 51.94% 10.25% -4.51% 3.10% 1.67% 3.86% 1.23% 3.43% 0.51% 0.44% 0.61% 1.56% 10.43% Lower Tier 60.87% 14.08% % 4.21% -5.41% 9.58% 0.02% 8.08% -1.55% 0.17% 2.82% 1.41% 20.12% Cyclical 50.55% 12.31% -2.86% 2.71% 2.82% 3.60% 0.79% 2.59% 0.42% 0.42% 0.62% 1.47% 8.70% Defensive 40.74% 7.93% -4.51% 2.74% 0.92% 3.38% 1.23% 3.59% 0.35% 0.39% 0.84% 1.58% 10.12% Less than L % 10.58% % 1.10% 21.72% 1.02% 0.24% 0.49% -0.01% 0.36% 0.12% 0.47% 2.24% L+125 to L % 9.14% -2.07% 1.33% 0.64% 3.15% 0.29% 1.94% -0.17% 0.00% 0.41% 0.24% 5.72% L+225 and Higher 46.79% 10.09% -3.94% 2.88% 1.96% 3.51% 1.06% 3.20% 0.40% 0.42% 0.75% 1.58% 9.65% Up to and including % 24.68% % 2.97% 4.62% 10.11% 5.93% 17.37% -1.12% -5.12% -2.51% -8.53% 25.22% Over 60 up to and including % 21.88% % -1.16% -7.63% 2.66% 0.45% 7.47% -2.82% 2.30% 3.94% 3.34% 14.52% Over 80 up to and including % 14.22% -8.11% 5.20% 1.18% 8.41% 0.79% 4.29% 1.09% 0.03% 1.00% 2.13% 16.38% Up to and including % 16.60% -9.36% 2.88% -1.11% 6.14% 2.21% 8.03% -1.32% 0.82% 2.15% 1.63% 19.10% Over % 7.51% -2.55% 2.54% 2.43% 2.95% 0.88% 2.61% 0.53% 0.36% 0.60% 1.50% 8.16% $0MM to $100MM 21.19% 17.59% -1.25% 1.74% 6.47% 3.42% 2.08% 2.15% 1.03% 0.40% 0.69% 2.13% 10.14% $101MM to $200MM 32.61% 13.45% -2.25% 1.60% 4.09% 2.66% 1.46% 2.22% 0.93% 0.60% 0.82% 2.37% 9.00% $201MM to $300MM 38.07% 12.92% -2.74% 2.05% 3.31% 3.43% 1.56% 2.45% 0.69% 0.41% 0.62% 1.73% 9.48% $301MM and Over 47.81% 9.03% -4.14% 2.96% 1.21% 3.57% 0.87% 3.33% 0.27% 0.38% 0.74% 1.40% 9.46% $501MM and Over 48.02% 8.84% -4.38% 3.09% 0.90% 3.66% 0.85% 3.45% 0.19% 0.35% 0.82% 1.36% 9.62% $1001MM and Over 47.97% 8.56% -5.17% 3.41% 0.14% 3.70% 0.92% 4.01% -0.01% 0.29% 0.96% 1.25% 10.22% First Lien 43.90% 9.55% -3.75% 2.73% 1.59% 3.42% 0.94% 3.11% 0.33% 0.38% 0.72% 1.44% 9.19% Second Lien 71.81% 18.16% -4.46% 2.99% 5.77% 5.16% 2.63% 3.50% 1.40% 0.84% 0.94% 3.22% 15.30% Third Lien 93.23% 35.96% -7.97% -0.19% 3.28% 3.88% -3.28% 5.85% 0.13% -1.06% 0.41% -0.53% 5.78% Unsecured 24.16% 9.79% -2.38% 1.17% 5.40% 2.36% 2.14% 3.46% 0.63% 0.60% 0.90% 2.14% 10.47% Full Covenant 42.11% 9.90% -3.77% 2.59% 1.64% 3.29% 1.06% 3.17% 0.33% 0.38% 0.76% 1.47% 9.28% Covenant Lite 62.32% 10.48% -3.71% 3.32% 2.81% 4.28% 0.83% 2.98% 0.54% 0.49% 0.66% 1.70% 10.11% Credit Suisse Leveraged Loan Index 44.87% 9.97% -3.76% 2.72% 1.82% 3.48% 1.01% 3.14% 0.37% 0.40% 0.73% 1.52% 9.43% (2) Upper Tier: Split BBB and BB; (3) Middle Tier: Split BB, B and Split B (4) Lower Tier: CCC/Split CCC and Default Exhibit 147: Credit Suisse Leveraged Loan Index Discount Margin (3-year life) by Sector 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 BB 1312 bp 437 bp 401 bp 505 bp 444 bp 413 bp 434 bp 403 bp 393 bp 391 bp 385 bp B 2388 bp 753 bp 661 bp 838 bp 726 bp 604 bp 629 bp 580 bp 582 bp 584 bp 584 bp CCC/Split CCC 3360 bp 1269 bp 1037 bp 1538 bp 1615 bp 1202 bp 1197 bp 1332 bp 1415 bp 1420 bp 1359 bp Not Rated 1651 bp 844 bp 670 bp 728 bp 729 bp 675 bp 700 bp 694 bp 710 bp 714 bp 698 bp Distressed (CC, C and Default) 4853 bp 1043 bp 1015 bp 1637 bp 1340 bp 3316 bp 3183 bp 2409 bp 2468 bp 2331 bp 2120 bp Upper Tier (1) 1265 bp 428 bp 387 bp 481 bp 425 bp 396 bp 409 bp 383 bp 374 bp 372 bp 366 bp Middle Tier (2) 2220 bp 720 bp 599 bp 818 bp 734 bp 649 bp 667 bp 557 bp 558 bp 562 bp 563 bp Lower Tier (3) 3922 bp 1219 bp 1036 bp 1551 bp 1615 bp 1397 bp 1392 bp 1414 bp 1488 bp 1482 bp 1409 bp Up to and including bp 1032 bp 1074 bp 1234 bp 1258 bp 1384 bp 1479 bp 1347 bp 1313 bp 1414 bp 1418 bp Over bp 478 bp 460 bp 576 bp 513 bp 486 bp 507 bp 477 bp 484 bp 483 bp 479 bp Cyclical 2124 bp 740 bp 537 bp 686 bp 623 bp 537 bp 557 bp 518 bp 520 bp 522 bp 515 bp Defensive 1639 bp 659 bp 573 bp 750 bp 681 bp 628 bp 635 bp 584 bp 586 bp 591 bp 587 bp Less than L bp 281 bp 151 bp 152 bp 126 bp 104 bp 109 bp 104 bp 109 bp 100 bp 100 bp L+125 to L bp 466 bp 332 bp 422 bp 406 bp 350 bp 346 bp 331 bp 341 bp 353 bp 348 bp L+225 and Higher 2037 bp 783 bp 596 bp 758 bp 683 bp 604 bp 619 bp 567 bp 568 bp 571 bp 565 bp $0MM to $100MM 1890 bp 1261 bp 841 bp 861 bp 853 bp 793 bp 804 bp 799 bp 791 bp 770 bp 780 bp $101MM to $200MM 1839 bp 964 bp 740 bp 821 bp 799 bp 744 bp 749 bp 725 bp 712 bp 728 bp 732 bp $201MM to $300MM 1877 bp 819 bp 628 bp 731 bp 697 bp 621 bp 628 bp 583 bp 581 bp 589 bp 593 bp $301MM and Over 1837 bp 640 bp 519 bp 704 bp 629 bp 561 bp 578 bp 529 bp 535 bp 539 bp 531 bp $501MM and Over 1826 bp 632 bp 512 bp 710 bp 626 bp 563 bp 584 bp 529 bp 533 bp 538 bp 527 bp $1001MM and Over 1847 bp 643 bp 517 bp 750 bp 649 bp 591 bp 615 bp 550 bp 557 bp 565 bp 545 bp First Lien 1770 bp 655 bp 538 bp 700 bp 632 bp 568 bp 582 bp 536 bp 539 bp 543 bp 536 bp Second Lien 3448 bp 1474 bp 952 bp 1210 bp 1144 bp 981 bp 1010 bp 962 bp 947 bp 955 bp 962 bp Third Lien 4923 bp 2221 bp 1727 bp 2370 bp 2401 bp 2164 bp 2357 bp 1895 bp 1919 bp 1833 bp 1841 bp Unsecured 1829 bp 678 bp 540 bp 636 bp 738 bp 656 bp 661 bp 568 bp 564 bp 566 bp 543 bp Full Covenant 1780 bp 690 bp 562 bp 730 bp 668 bp 606 bp 615 bp 567 bp 570 bp 573 bp 565 bp Covenant Lite 2239 bp 733 bp 533 bp 688 bp 604 bp 511 bp 545 bp 507 bp 509 bp 520 bp 522 bp Credit Suisse Leveraged Loan Index 1842 bp 697 bp 558 bp 722 bp 656 bp 588 bp 602 bp 555 bp 557 bp 561 bp 555 bp (1) Upper Tier: Split BBB and BB; (2) Middle Tier: Split BB, B and Split B (3) Lower Tier: CCC/Split CCC and Default 2013 Leveraged Finance Outlook and 2012 Annual Review 69

70 Exhibit 148: Credit Suisse Leveraged Loan Index Discount Margin (3-year life) Tighten (Widen) by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q BB 875 bp 36 bp (113) bp 61 bp (43) bp 31 bp (21) bp 31 bp 10 bp 2 bp 6 bp 18 bp 59 bp B 1635 bp 92 bp (237) bp 112 bp (65) bp 122 bp (25) bp 49 bp (3) bp (1) bp (0) bp (4) bp 143 bp CCC/Split CCC 2091 bp 232 bp (500) bp (77) bp (579) bp 413 bp 6 bp (136) bp (83) bp (4) bp 61 bp (26) bp 257 bp Not Rated 807 bp 175 bp (103) bp (1) bp (60) bp 54 bp (24) bp 6 bp (16) bp (4) bp 15 bp (5) bp 31 bp Distressed (CC, C and Default) 3810 bp 28 bp (637) bp 298 bp (325) bp (1976) bp 133 bp 774 bp (59) bp 138 bp 211 bp 289 bp (780) bp Upper Tier (1) 836 bp 42 bp (105) bp 57 bp (38) bp 28 bp (13) bp 27 bp 9 bp 2 bp 6 bp 16 bp 59 bp Middle Tier (2) 1500 bp 120 bp (216) bp 84 bp (135) bp 85 bp (18) bp 110 bp (1) bp (4) bp (1) bp (6) bp 171 bp Lower Tier (3) 2703 bp 183 bp (517) bp (64) bp (579) bp 217 bp 6 bp (23) bp (74) bp 6 bp 73 bp 5 bp 206 bp Up to and including bp (42) bp (60) bp (24) bp (184) bp (126) bp (95) bp 132 bp 34 bp (101) bp (4) bp (71) bp (160) bp Over 90 (1) bp 18 bp (95) bp 63 bp (53) bp 27 bp (21) bp 31 bp (7) bp 1 bp 4 bp (3) bp 34 bp Cyclical 1384 bp 203 bp (156) bp 63 bp (85) bp 86 bp (21) bp 40 bp (3) bp (2) bp 7 bp 3 bp 107 bp Defensive 980 bp 86 bp (189) bp 69 bp (108) bp 53 bp (8) bp 51 bp (1) bp (5) bp 4 bp (3) bp 94 bp Less than L bp 129 bp (39) bp 26 bp 26 bp 21 bp (4) bp 4 bp (4) bp 9 bp 0 bp 4 bp 26 bp L+125 to L bp 135 bp (96) bp 16 bp (74) bp 56 bp 5 bp 14 bp (9) bp (12) bp 5 bp (17) bp 57 bp L+225 and Higher 1254 bp 188 bp (182) bp 75 bp (88) bp 79 bp (15) bp 52 bp (1) bp (3) bp 6 bp 2 bp 118 bp $0MM to $100MM 630 bp 420 bp (111) bp 8 bp (12) bp 60 bp (12) bp 6 bp 7 bp 21 bp (9) bp 19 bp 73 bp $101MM to $200MM 876 bp 223 bp (142) bp 22 bp (59) bp 55 bp (5) bp 24 bp 12 bp (16) bp (5) bp (8) bp 66 bp $201MM to $300MM 1058 bp 191 bp (150) bp 34 bp (69) bp 76 bp (7) bp 45 bp 2 bp (7) bp (5) bp (10) bp 104 bp $301MM and Over 1196 bp 121 bp (183) bp 75 bp (110) bp 68 bp (17) bp 49 bp (5) bp (4) bp 8 bp (2) bp 98 bp $501MM and Over 1193 bp 120 bp (190) bp 84 bp (114) bp 63 bp (21) bp 54 bp (4) bp (5) bp 11 bp 3 bp 99 bp $1001MM and Over 1204 bp 126 bp (212) bp 101 bp (131) bp 58 bp (24) bp 64 bp (7) bp (8) bp 20 bp 5 bp 104 bp First Lien 1114 bp 117 bp (172) bp 68 bp (94) bp 65 bp (14) bp 46 bp (3) bp (4) bp 7 bp (1) bp 96 bp Second Lien 1974 bp 523 bp (212) bp 67 bp (192) bp 163 bp (29) bp 48 bp 15 bp (8) bp (7) bp 0 bp 182 bp Third Lien 2703 bp 494 bp (888) bp (32) bp (675) bp 237 bp (193) bp 463 bp (24) bp 85 bp (8) bp 53 bp 560 bp Unsecured 1152 bp 138 bp (102) bp (102) bp (198) bp 82 bp (5) bp 93 bp 4 bp (2) bp 23 bp 25 bp 195 bp Full Covenant 1090 bp 129 bp (174) bp 62 bp (106) bp 62 bp (9) bp 49 bp (4) bp (3) bp 8 bp 1 bp 103 bp Covenant Lite 1506 bp 200 bp (173) bp 84 bp (71) bp 92 bp (33) bp 37 bp (1) bp (11) bp (3) bp (15) bp 81 bp Credit Suisse Leveraged Loan Index 1145 bp 139 bp (174) bp 66 bp (98) bp 68 bp (14) bp 47 bp (2) bp (4) bp 6 bp (1) bp 101 bp (2) Upper Tier: Split BBB and BB; (3) Middle Tier: Split BB, B and Split B (4) Lower Tier: CCC/Split CCC and Default Leveraged Finance Outlook and 2012 Annual Review

71 Exhibit 149: Credit Suisse Leveraged Loan Index Total Return by Industry: % 11.90% 12.00% 11.26%10.76%10.26%10.22%10.11% 9.61% 10.00% 9.43% 9.35% 8.91% 8.90% 8.81% 8.48% 8.46% 8.39% 8.37% 8.19% 7.44% 8.00% 7.39% 7.34% 6.00% 5.13% 4.00% 2.00% 0.00% Exhibit 150: Credit Suisse Leveraged Loan Index Total Return by Industry Type: % 10.12% 10.00% 9.43% 8.70% 8.00% 7.39% 6.00% 4.00% 2.00% 0.00% Defensive Credit Suisse Lev Loan Index Cyclical Energy Exhibit 151: Credit Suisse Leveraged Loan Index Total Return by Spread: % 10.00% 9.65% 9.43% 8.00% 6.00% 5.72% 4.00% 2.00% 0.00% L+125 to L+224 L+225 and Higher Credit Suisse Lev Loan Index 2013 Leveraged Finance Outlook and 2012 Annual Review 71

72 Exhibit 152: Credit Suisse Leveraged Loan Index Total Return by Seniority: % 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 9.19% 15.30% 10.47% 9.43% First Lien Second Lien Unsecured Credit Suisse Lev Loan Index Exhibit 153: Credit Suisse Leveraged Loan Index Total Return by Covenant: % 10.00% 9.80% 10.11% 9.60% 9.40% 9.20% 9.00% 9.43% 9.28% 8.80% Covenant Lite Credit Suisse Lev Loan Index Full Covenant Leveraged Finance Outlook and 2012 Annual Review

73 Exhibit 154: Best & Worst Performers by Total Return: Credit Suisse Leveraged Loan Index, 4Q12 Best Performers Issuer Facility Maturity Amount Spread Moodys SP Rating Industry Total Return Revolution Studios Distribution Company TLd 6/19/ NR NR NR MEDIA/TELECOM % Orchard Supply Hardw are TLb 12/18/ Caa2 B- Split B RETAIL 42.04% J. Jill Group TLb 4/15/ B3 NR B RETAIL 39.63% Merrill TLc 11/1/ Ca C Default MEDIA/TELECOM 36.55% Interstate Bakeries TLb 2/3/ NR NR Default FOOD/TOBACCO 34.58% Interstate Bakeries TLa 2/3/ NR NR Default FOOD/TOBACCO 34.58% Aveos Fleet Performance TLd 3/12/ NR NR NR AEROSPACE 19.08% Medical Card Systems TLb 9/16/ Caa3 CCC CCC/Split CCC HEALTHCARE 18.22% New Page TLb 11/16/ B1 NR B FOREST PROD/CONTAINERS 17.21% Hunter Fan TLc 10/3/ Caa1 CCC CCC/Split CCC CONSUMER DURABLES 17.16% Worst Performers Issuer Facility Maturity Amount Spread Moodys SP Rating Industry Total Return RoadLink USA TLd 5/30/ NR NR NR TRANSPORTATION % Southern Air TLb 10/15/ NR NR NR AEROSPACE % Accretive Solutions TL 4/14/ NR NR NR SERVICE % Koosharem TLd 7/4/ WR NR NR SERVICE % Engineering Solutions & Products TLb 4/11/ NR NR NR SERVICE % Nelson Education TLd 7/3/ Caa3 CCC CCC/Split CCC MEDIA/TELECOM % RBS International Direct Marketing TLb 3/13/ NR NR NR MEDIA/TELECOM % Revel Entertainment TLb 2/16/ Caa1 CCC CCC/Split CCC GAMING/LEISURE % Cinram International TLb 12/31/ WR NR Default MEDIA/TELECOM % AMF Bow ling Worldw ide TLc 11/15/ WR NR Default GAMING/LEISURE % Exhibit 155: Best & Worst Performers by Total Return: Credit Suisse Leveraged Loan Index, 2012 Best Performers Issuer Facility Maturity Amount Spread Moodys SP Rating Industry Total Re turn Bankruptcy Management Solutions TLb 8/20/ NR NR NR INFORMATION TECHNOLOGY % Revolution Studios Distribution Company TLd 6/19/ NR NR NR MEDIA/TELECOM % Dex One TLb 10/24/ Caa3 D Default MEDIA/TELECOM % Bankruptcy Management Solutions TLa 8/20/ NR NR NR INFORMATION TECHNOLOGY 97.18% F&W Publications TLd 12/9/ NR NR NR MEDIA/TELECOM 86.90% GateHouse Media TLc 8/28/ Ca CCC- CCC/Split CCC MEDIA/TELECOM 77.95% GateHouse Media TLb 8/28/ Ca CCC- CCC/Split CCC MEDIA/TELECOM 77.47% SuperMedia TLb 1/4/ Caa3 D Default MEDIA/TELECOM 74.15% Dex Media East TLa 10/24/ Caa3 D Default MEDIA/TELECOM 65.62% CCS Acquisition TLd 2/9/ Caa2 CCC CCC/Split CCC HEALTHCARE 64.09% Worst Performers Issuer Facility Maturity Amount Spread Moodys SP Rating Industry Total Re turn Southern Air TLb 10/15/ NR NR NR AEROSPACE % RoadLink USA TLd 5/30/ NR NR NR TRANSPORTATION % ATI Enterprises TLb 12/17/ Ba3 D Default SERVICE % Koosharem TLd 7/4/ WR NR NR SERVICE % Ginn Clubs & Resorts TLb 6/8/ B1 D Default GAMING/LEISURE % Accretive Solutions TL 4/14/ NR NR NR SERVICE % EL AD Las Vegas TLa 8/9/ NR NR Default GAMING/LEISURE % Einstruction Corporation TLb 7/2/ NR NR NR MEDIA/TELECOM % AMF Bow ling Worldw ide TLc 11/15/ WR NR Default GAMING/LEISURE % Synagro Technologies TLd 9/30/ Ca CC Default SERVICE % 2013 Leveraged Finance Outlook and 2012 Annual Review 73

74 Leveraged Finance Outlook and 2012 Annual Review

75 Western European High Yield Market Performance Review The Credit Suisse Western European High Yield Index (hedged, in euro) was up with a return of 22.99% for The spread tightened 385 bp during the year to 515 bp while the yield fell to 5.52%, a 422 bp decrease. The average price rose to , a point increase. For 2012, the top performers have been the DAX Index, the FTSE Smallcap Index, and the Credit Suisse West Euro High Yield Index (hedged in EUR), with returns of 29.06%, 28.15%, and 22.99%, respectively. The underperformers in 2012 have been the 10-Year UK Government Bond, the 10-Year Euro Government Bond, and the Credit Suisse West Euro Lev Loan Index (Hedged, In Euro), with returns of 3.41%, 7.49%, and 10.39%, respectively. The Western European primary market priced 144 new issues during the year, raising 54.4 billion. Exhibit 156: Western European High Yield vs. Market Returns Cumulative Total Return (1) TOTAL RETURN 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (2) 10-YEAR UK GOVERNMENT BOND (3) -0.64% 3.32% 10.42% 4.37% 18.30% -0.89% 4.45% 0.33% -0.96% 0.85% -0.31% -0.43% 3.41% 10-YEAR EURO GOVERNMENT BOND (4) -2.55% 3.91% 11.14% 1.67% 14.43% 0.74% 3.13% 1.92% -0.05% 0.81% 0.75% 1.52% 7.49% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (5) 2.80% 0.66% -8.66% 4.77% -0.97% 10.10% 0.20% 6.11% 2.12% 1.48% 2.01% 5.72% 23.76% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (6) 2.83% 0.82% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% CREDIT SUISSE HIGH YIELD INDEX (7) 3.77% 1.04% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN $US) (5) 4.36% -0.21% -5.90% 1.21% -0.83% 4.76% 0.81% 2.75% 0.52% 0.70% 0.86% 2.10% 10.80% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN EURO) (6) 4.38% 0.01% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% BLOOMBERG EUROPE 500 INDEX (4)(8) 0.87% 0.34% % 8.26% -9.02% 8.62% -3.12% 7.05% 0.62% 2.12% 1.57% 4.36% 17.57% FTSE ALL-SHARE INDEX (3) 1.21% 2.03% % 8.62% -2.87% 6.24% -2.43% 4.80% 1.07% 1.81% 1.02% 3.95% 12.92% DAX INDEX (4) 1.84% 4.76% % 7.20% % 17.78% -7.64% 12.47% 0.62% 2.00% 2.79% 5.49% 29.06% CAC 40 INDEX (4) 4.87% 2.85% % 6.58% % 8.58% -3.61% 5.60% 2.22% 3.87% 2.58% 8.91% 20.38% FTSE SMALLCAP INDEX (3) 0.28% 2.64% % -1.18% % 14.82% -4.16% 8.66% 1.61% 0.81% 4.62% 7.17% 28.15% CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN $US) (5)(9) CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN EURO) (6)(9) (1) Cumulative Monthly Total Return; (2) As of 12/31/12 (3) Returns in British Pounds; (4) Returns in Euro (5) Multiple currencies; returns converted hedged to $US; (6) Multiple currencies; returns converted hedged to Euro (7) Returns in $US; (8) Returns do not include dividends; (9) 12/30/94=100, the BLOOMBERG PROFESSIONAL service 2013 Leveraged Finance Outlook and 2012 Annual Review 75

76 Exhibit 157: Western European High Yield Market Size Market Size ( Billions) $US Mkt Size Non-$US Mkt Size * Includes non-investment grade straight corporate debt of issuers with assets located in or revenues derived from Western Europe, or the bond is denominated in a Western European currency. Floating-rate and convertible bonds and preferred stock are not included * As of 12/31/2012 Exhibit 158: Credit Suisse Western European High Yield Index Total Return 12/13/ /20/ /27/2012 2Q '12 3Q '12 4Q '12 Dec-12 YTD (2) Upper Tier (3) 0.21% 0.60% 0.11% 1.00% 4.96% 4.98% 1.53% 20.39% Middle Tier 0.69% 0.68% 0.11% -0.92% 7.13% 6.17% 2.28% 25.43% Lower Tier 0.87% 0.76% 0.24% -4.15% 9.18% 7.81% 3.72% 33.02% Cyclical Issues 0.41% 0.67% 0.14% 0.59% 5.96% 5.69% 2.04% 24.67% Defensive Issues 0.43% 0.57% 0.11% -0.58% 5.86% 5.47% 1.84% 21.27% Cash-Pay Securities 0.43% 0.63% 0.12% 0.22% 5.94% 5.61% 1.96% 23.36% Def Int (cash-pay in < 2yrs) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Def Int (cash-pay in >= 2yrs) -1.41% 0.00% 0.00% 3.99% 6.87% 6.38% -1.41% 10.78% Defaulted Securities 1.16% 1.39% -0.54% % 11.85% 2.80% 3.33% % 3-4 yr Duration 0.47% 0.70% 0.15% -0.47% 7.05% 5.86% 2.09% 26.23% 5-6 yr Duration 0.34% 0.68% 0.07% 1.42% 6.77% 7.48% 1.81% 28.58% 7-10 yr Duration 0.21% 1.95% 0.64% -3.11% 3.20% 6.87% 3.60% 14.82% Cushion Paper 0.34% 0.28% 0.12% 1.13% 2.76% 2.69% 1.14% 10.36% Project Finance 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Credit Suisse West Euro HY Index (4) 0.43% 0.63% 0.12% -0.01% 5.97% 5.60% 1.97% 22.99% (1) Cumulative Total Return (2) As of 12/31/12 (3) Upper Tier: Split BBB and BB; Middle Tier: Split BB, B and Split B; Lower Tier: CCC/Split CCC and Default (4) Multiple currencies; returns converted hedged to Euro Exhibit 159: West. Euro. High Yield Bonds Maturing by Year as of 12/31/08 Exhibit 160: West. Euro. High Yield Bonds Maturing by Year as of 12/31/ Maturities /31/08: Maturities bln bln Billions Billions West. Euro. High Yield Bonds Maturing by Year (As of 12/31/08) West. Euro. High Yield Bonds Maturing by Year (As of 12/31/12) Leveraged Finance Outlook and 2012 Annual Review

77 Exhibit 161: Western European High Yield Events by Year Face Amt ( Bln Equiv.) * New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Deletions Net Change: Starting Size Exchange Rate Adjustment Ending Size * As of Dec 31, 2012 Exhibit 162: Western European High Yield Market Monitor MARKET MOMENTUM 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (1) ADVANCE/DECLINE RATIO LEVELS/SPREAD 10-YEAR EURO GOVERNMENT BOND YIELD 3.35% 3.03% 1.89% 1.83% 1.83% 1.79% 1.58% 1.44% 1.46% 1.39% 1.32% 1.32% 1.32% EURO YIELD increase (decrease) 39bp (33)bp (114)bp (6)bp (113)bp (4)bp (21)bp (14)bp 2bp (8)bp (7)bp (13)bp (51)bp CREDIT SUISSE WEST EURO HY INDEX YIELD 6.84% 7.34% 10.19% 9.74% 9.74% 7.25% 7.80% 6.68% 6.25% 5.95% 5.52% 5.52% 5.52% CREDIT SUISSE WEST EURO HY INDEX SPREAD (bp) 456bp 534bp 906bp 900bp 900bp 651bp 722bp 626bp 579bp 555bp 515bp 515bp 515bp CREDIT SUISSE WEST EURO HY INDEX SPREAD tighten (widen) 67bp (78)bp (372)bp 6bp (377)bp 248bp (71)bp 97bp 46bp 25bp 39bp 111bp 385bp SUPPLY/DEMAND NEW ISSUES (# of issues) NEW ISSUE VOLUME (Euro billions) SPREADS B 507bp 591bp 1053bp 1079bp 1079bp 809bp 850bp 766bp 718bp 706bp 629bp 629bp 629bp Deferred vs. Cash (684)bp (734)bp (1,019)bp (974)bp (974)bp 1,241bp 1,199bp 1,277bp 1,106bp 1,275bp 1,368bp 1,368bp 1,368bp Project Finance vs. Cash (684)bp (734)bp (1,019)bp (974)bp (974)bp (724)bp (779)bp (667)bp (624)bp (594)bp (551)bp (551)bp (551)bp (1) As of 12/31/12, the BLOOMBERG PROFESSIONAL service 2013 Leveraged Finance Outlook and 2012 Annual Review 77

78 Exhibit 163: 2012 Performance of the Credit Suisse Western European High Yield Index 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 3/21/ % 5/4/ % 22.99% 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/2012 CS WEHY Index Cumulative YTD Return 10/19/ /2/ /16/ /30/ /14/ /28/2012 Exhibit 164: 2012 Yield-to-Worst of the Credit Suisse Western European High Yield Index 10.00% 9.74% CS WEHY Index Yield-to-Worst 9.50% 9.00% 8.50% 8.00% 7.50% 7.00% 6.50% 6.00% 5.50% 5.00% 3/19/ % 5/4/ % 8.51% 5.52% 4.50% 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/2012 Exhibit 165: 2012 Spread-to-Worst of the Credit Suisse Western European High Yield Index CS WEHY Index Spread-to-Worst 950 bp 900 bp 850 bp 800 bp 750 bp 700 bp 650 bp 600 bp 550 bp 500 bp 450 bp 900 bp 3/19/ bp 5/4/ bp 515 bp 12/30/2011 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ Leveraged Finance Outlook and 2012 Annual Review

79 Exhibit 166: 2012 Average Price of the Credit Suisse Western European High Yield Index CS WEHY Index Average Price 107.0% 105.0% 103.0% 101.0% 99.0% 97.0% 95.0% 93.0% 91.0% 89.0% 12/30/ % 3/20/ % 5/4/ % 1/13/2012 1/27/2012 2/10/2012 2/24/2012 3/9/2012 3/23/2012 4/6/2012 4/20/2012 5/4/2012 5/18/2012 6/1/2012 6/15/2012 6/29/2012 7/13/2012 7/27/2012 8/10/2012 8/24/2012 9/7/2012 9/21/ /5/ /19/ /2/ /16/ /30/ /14/ /28/ % Exhibit 167: Average Price of the Credit Suisse Western European High Yield Index 115.0% 105.0% 95.0% % 9/30/ % 5/31/2007 4/29/ % % 12/31/12 Average Price 85.0% 75.0% 65.0% 55.0% 45.0% 56.63% 10/31/ % 3/31/09 Exhibit 168: Average Spread of the Credit Suisse Western European High Yield Index Spread to Worst 2000bps 1800bps 1600bps 1400bps 1200bps 1000bps 800bps 600bps 400bps 200bps 0bps Average STW: 637 bp 353 bp 9/30/ bp 9/28/ /31/ bp 219 bp 5/31/ bp 12/31/ Leveraged Finance Outlook and 2012 Annual Review 79

80 Industry Performance For 2012, all 22 industries had positive returns. The top performing industries were retail, consumer durables, and food/tobacco, with returns of 45.73%, 40.83%, and 32.08%, respectively. For the same period, the worst performing industries were energy, utility, and diversified media, which returned 8.33%, 13.75%, and 15.34%, respectively. Exhibit 169: Industry Summary Chart of the Credit Suisse Western European High Yield Index 2012 Total Return YTW STW Average Price Total Return YTW STW Average Price Outperforming Industries Underperforming Industries Retail 45.73% 6.84% 634 bp % Energy 8.33% 5.70% 522 bp 91.17% Consumer Durables 40.83% 13.00% 1261 bp 87.83% Utility 13.75% 6.05% 562 bp % Food/Tobacco 32.08% 5.15% 467 bp % Diversified Media 15.34% 6.80% 625 bp 99.94% Exhibit 170: Returns of the Credit Suisse Western European High Yield Index (1) by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 60.93% 10.37% -6.03% 4.27% 0.73% 5.56% 1.33% 7.01% 0.77% 0.93% 1.50% 3.23% 18.17% Chemicals % 24.97% -9.80% 5.69% 0.08% 10.49% 0.86% 5.94% 1.65% 2.10% 1.37% 5.20% 24.20% Consumer Durables 0.00% 4.13% % -4.46% % 10.78% 9.40% 9.29% 5.97% -0.96% 1.30% 6.32% 40.83% Consumer Non-Durables 58.64% 11.57% % 4.28% -6.91% 10.09% 5.26% 6.51% 2.50% 0.89% 1.88% 5.36% 30.05% Energy 66.75% 7.93% -7.75% -3.50% -4.00% 2.45% -6.68% 7.89% 1.37% 1.66% 1.92% 5.03% 8.33% Financial 73.68% 21.85% -4.51% 2.76% 0.19% 11.93% 1.17% 7.83% 2.68% 1.79% 1.92% 6.52% 30.07% Food & Drug 5.32% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Food/Tobacco 48.67% 11.81% -5.86% 4.44% -0.12% 13.67% 0.78% 6.41% 3.25% 2.12% 2.76% 8.34% 32.08% Forest Products 64.43% 16.15% -8.67% 7.18% 0.50% 8.57% 0.70% 5.02% 1.36% 0.95% 2.25% 4.63% 20.13% Gaming/Leisure % 18.16% % 4.80% -4.41% 14.12% -7.57% 11.80% 2.78% 1.56% 5.16% 9.77% 29.44% Healthcare 40.76% 10.29% -5.95% 4.34% 2.38% 8.35% 1.74% 4.92% 1.95% 0.67% 0.98% 3.64% 19.88% Housing % 11.28% -8.99% 5.14% 1.27% 11.61% 1.19% 3.73% 2.07% 1.08% 1.36% 4.57% 22.51% Information Technology % 17.49% -4.87% -0.60% 2.32% 9.49% -1.40% 4.12% 0.35% 2.18% 3.53% 6.16% 19.33% Manufacturing 48.88% 17.74% % 7.07% -0.88% 11.23% 1.96% 5.21% 1.67% 1.17% 2.19% 5.11% 25.42% Media/Telecom 58.64% 9.07% % 5.15% -1.31% 8.83% -1.40% 6.31% 2.67% 1.74% 2.16% 6.71% 21.73% Broadcasting 48.45% 18.13% -8.03% -0.40% -2.82% 13.27% 4.92% 3.81% 0.41% 1.46% 1.05% 2.94% 27.00% Cable/Wireless Video 56.33% 13.08% -6.45% 7.80% 5.17% 6.11% 0.48% 4.52% 2.06% 1.56% 2.16% 5.89% 18.00% Telecommunications 54.74% 8.05% % 5.05% -8.26% 12.97% -5.03% 10.59% 4.14% 2.72% 2.66% 9.81% 30.29% Wireless Communications 26.84% 7.10% -7.25% -1.74% -8.87% 10.01% -1.35% 6.25% 9.00% 0.01% 1.77% 10.94% 27.91% Diversified Media 76.65% -0.05% % -0.76% -6.19% 9.12% -0.62% 3.30% 0.98% 0.52% 1.43% 2.95% 15.34% Metals/Minerals 96.06% 18.94% % 3.42% -9.00% 11.41% -1.73% 3.48% 3.49% 1.77% 1.72% 7.13% 21.38% Retail 59.06% 14.38% % -3.13% % 19.27% 2.11% 11.51% 4.24% 0.23% 2.71% 7.31% 45.73% Service 65.57% 13.84% % 5.80% -0.50% 10.45% -1.40% 6.36% 1.41% 1.16% 2.13% 4.77% 21.36% Transportation 42.45% 16.01% -8.32% 4.73% -3.28% 9.19% 1.28% 4.23% 1.47% 1.29% 1.82% 4.65% 20.63% Utility 35.03% 15.90% -2.97% 4.38% 5.18% 5.54% 0.65% 4.35% 1.39% 0.74% 0.45% 2.61% 13.75% Credit Suisse W. European HY Index 70.20% 14.63% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% (1) Multiple currencies; returns converted hedged to Euro Leveraged Finance Outlook and 2012 Annual Review

81 Exhibit 171: Spread of the Credit Suisse Western European High Yield Index by Industry 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/12 11/30/12 12/31/12 Aerospace 1306 bp 396 bp 352 bp 669 bp 572 bp 536 bp 645 bp 524 bp 537 bp 499 bp 460 bp Chemicals 3323 bp 723 bp 471 bp 894 bp 865 bp 578 bp 719 bp 622 bp 593 bp 586 bp 556 bp Consumer Durables NA NA 738 bp 1519 bp 1736 bp 1553 bp 1467 bp 1330 bp 1232 bp 1270 bp 1261 bp Consumer Non-Durables 3884 bp 986 bp 472 bp 987 bp 967 bp 794 bp 760 bp 659 bp 619 bp 608 bp 545 bp Energy 1419 bp 533 bp 632 bp 961 bp 1152 bp 685 bp 746 bp 574 bp 569 bp 549 bp 522 bp Financial 5190 bp 568 bp 574 bp 1079 bp 1246 bp 743 bp 760 bp 603 bp 527 bp 497 bp 455 bp Food & Drug 662 bp NA NA NA NA NA NA NA NA NA NA Food/Tobacco 1050 bp 392 bp 400 bp 726 bp 939 bp 708 bp 762 bp 673 bp 600 bp 547 bp 467 bp Forest Products 1641 bp 632 bp 504 bp 853 bp 792 bp 611 bp 666 bp 603 bp 592 bp 571 bp 530 bp Gaming/Leisure 2448 bp 682 bp 517 bp 1029 bp 1189 bp 888 bp 1216 bp 1043 bp 990 bp 976 bp 851 bp Healthcare 1180 bp 448 bp 557 bp 700 bp 693 bp 547 bp 598 bp 538 bp 508 bp 502 bp 479 bp Housing 3281 bp 569 bp 553 bp 899 bp 823 bp 503 bp 494 bp 458 bp 399 bp 358 bp 332 bp Information Technology 2739 bp 773 bp 587 bp 735 bp 764 bp 596 bp 665 bp 605 bp 570 bp 526 bp 495 bp Manufacturing 1066 bp 551 bp 499 bp 860 bp 767 bp 557 bp 547 bp 520 bp 463 bp 457 bp 409 bp Media/Telecom 1570 bp 729 bp 626 bp 1011 bp 880 bp 688 bp 828 bp 717 bp 642 bp 604 bp 556 bp Broadcasting 1740 bp 703 bp 591 bp 885 bp 967 bp 685 bp 733 bp 708 bp 713 bp 678 bp 658 bp Cable/Wireless Video 1370 bp 598 bp 507 bp 740 bp 665 bp 582 bp 625 bp 562 bp 530 bp 500 bp 477 bp Telecommunications 1374 bp 647 bp 542 bp 1291 bp 1291 bp 912 bp 1231 bp 930 bp 767 bp 688 bp 604 bp Wireless Communications 1127 bp 731 bp NA 901 bp 1018 bp 748 bp 846 bp 745 bp 528 bp 578 bp 552 bp Diversified Media 2610 bp 1155 bp 1109 bp 1337 bp 809 bp 546 bp 549 bp 684 bp 672 bp 677 bp 625 bp Metals/Minerals 2092 bp 620 bp 527 bp 1039 bp 1027 bp 534 bp 677 bp 632 bp 552 bp 498 bp 458 bp Retail 1585 bp 593 bp 477 bp 1155 bp 1313 bp 1015 bp 1050 bp 841 bp 682 bp 709 bp 634 bp Service 1754 bp 708 bp 609 bp 1025 bp 943 bp 727 bp 806 bp 690 bp 694 bp 674 bp 650 bp Transportation 2899 bp 507 bp 395 bp 802 bp 749 bp 569 bp 623 bp 568 bp 542 bp 537 bp 491 bp Utility 628 bp 589 bp 407 bp 824 bp 762 bp 619 bp 615 bp 546 bp 504 bp 490 bp 562 bp Credit Suisse W. European HY Index 1799 bp 621 bp 523 bp 906 bp 900 bp 651 bp 722 bp 626 bp 579 bp 555 bp 515 bp (1) Multiple currencies; returns converted hedged to Euro Exhibit 172: Spread Tightening/(Widening) of the Credit Suisse Western European High Yield Index by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 910 bp 43 bp (293) bp 97 bp (219) bp 36 bp (109) bp 121 bp (13) bp 38 bp 39 bp 65 bp 112 bp Chemicals 2600 bp 252 bp (424) bp 29 bp (394) bp 287 bp (141) bp 97 bp 29 bp 7 bp 29 bp 66 bp 309 bp Consumer Durables N/A N/A (658) bp (217) bp (998) bp 183 bp 86 bp 137 bp 98 bp (38) bp 10 bp 70 bp 476 bp Consumer Non-Durables 2898 bp 514 bp (389) bp 20 bp (495) bp 173 bp 34 bp 101 bp 40 bp 10 bp 63 bp 114 bp 422 bp Energy 886 bp (99) bp (359) bp (191) bp (521) bp 467 bp (61) bp 172 bp 5 bp 20 bp 27 bp 52 bp 631 bp Financial 4622 bp (6) bp (284) bp (167) bp (672) bp 503 bp (17) bp 157 bp 75 bp 30 bp 42 bp 148 bp 791 bp Food & Drug N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Food/Tobacco 659 bp (9) bp (265) bp (212) bp (538) bp 231 bp (55) bp 89 bp 73 bp 52 bp 80 bp 206 bp 472 bp Forest Products 1010 bp 128 bp (362) bp 61 bp (288) bp 181 bp (54) bp 63 bp 11 bp 21 bp 41 bp 73 bp 263 bp Gaming/Leisure 1766 bp 165 bp (462) bp (160) bp (672) bp 301 bp (327) bp 173 bp 53 bp 14 bp 125 bp 191 bp 338 bp Healthcare 732 bp (110) bp (193) bp 6 bp (136) bp 146 bp (50) bp 60 bp 30 bp 6 bp 23 bp 59 bp 215 bp Housing 2712 bp 16 bp (476) bp 76 bp (270) bp 320 bp 9 bp 36 bp 59 bp 40 bp 27 bp 126 bp 491 bp Information Technology 1967 bp 185 bp (235) bp (29) bp (177) bp 168 bp (69) bp 60 bp 35 bp 44 bp 31 bp 110 bp 269 bp Manufacturing 515 bp 52 bp (425) bp 93 bp (268) bp 210 bp 10 bp 27 bp 58 bp 6 bp 48 bp 111 bp 358 bp Media/Telecom 841 bp 104 bp (400) bp 132 bp (254) bp 192 bp (140) bp 111 bp 75 bp 39 bp 48 bp 162 bp 324 bp Broadcasting 1037 bp 112 bp (360) bp (82) bp (376) bp 283 bp (48) bp 25 bp (5) bp 35 bp 20 bp 50 bp 309 bp Cable/Wireless Video 772 bp 92 bp (262) bp 76 bp (158) bp 83 bp (43) bp 63 bp 32 bp 30 bp 23 bp 85 bp 188 bp Telecommunications 728 bp 105 bp (729) bp 0 bp (749) bp 379 bp (319) bp 301 bp 162 bp 80 bp 84 bp 326 bp 687 bp Wireless Communications 396 bp N/A (330) bp (116) bp N/A 270 bp (99) bp 101 bp 217 bp (49) bp 26 bp 193 bp 466 bp Diversified Media 1456 bp 46 bp (231) bp 528 bp 299 bp 263 bp (3) bp (135) bp 12 bp (5) bp 51 bp 58 bp 184 bp Metals/Minerals 1472 bp 93 bp (526) bp 12 bp (500) bp 494 bp (144) bp 45 bp 80 bp 54 bp 41 bp 175 bp 570 bp Retail 992 bp 116 bp (465) bp (158) bp (836) bp 298 bp (35) bp 209 bp 159 bp (28) bp 75 bp 207 bp 679 bp Service 1046 bp 99 bp (473) bp 82 bp (334) bp 217 bp (80) bp 116 bp (4) bp 21 bp 23 bp 40 bp 293 bp Transportation 2392 bp 113 bp (373) bp 54 bp (354) bp 180 bp (55) bp 55 bp 26 bp 6 bp 46 bp 78 bp 258 bp Utility 39 bp 182 bp (319) bp 61 bp (355) bp 143 bp 4 bp 69 bp 42 bp 14 bp (71) bp (15) bp 201 bp Credit Suisse W. European HY Index 1178 bp 98 bp (372) bp 6 bp (377) bp 248 bp (71) bp 97 bp 46 bp 25 bp 39 bp 111 bp 385 bp (1) Multiple currencies; returns converted hedged to Euro 2013 Leveraged Finance Outlook and 2012 Annual Review 81

82 Sector Performance For 2012, 14 of 15 sectors had positive returns. The top performing sectors were lower tier, 5 to 6 years duration, and 3 to 4 years duration, with returns of 33.02%, 28.58%, and 26.23%, respectively. The worst performing sectors were default, $0 mm to $100 mm, and distressed/default, which returned %, 3.88%, and 6.69%, respectively. Exhibit 173: Sector Summary Chart of the Credit Suisse Western European High Yield Index 2012 Total Return YTW STW Average Price Total Return YTW STW Average Price Outperforming Sectors Underperforming Sectors Lower Tier 33.02% 10.25% 983 bp 87.97% Default % NA NA 22.86% 5 to 6 years Duration 28.58% 5.49% 455 bp % $0 MM to $100 MM 3.88% 5.59% 531 bp 80.17% 3 to 4 years Duration 26.23% 6.73% 640 bp % Distressed/Default 6.69% NA NA 22.94% Exhibit 174: Returns of the Credit Suisse Western European High Yield Index (1) by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Upper Tier (3) 46.08% 11.76% -4.74% 4.74% 2.56% 8.18% 1.00% 4.96% 1.95% 1.41% 1.53% 4.98% 20.39% Middle Tier (4) 68.11% 13.90% % 4.85% -2.55% 11.31% -0.92% 7.13% 2.17% 1.59% 2.28% 6.17% 25.43% Lower Tier (5) % 28.33% % -1.81% % 17.92% -4.15% 9.18% 2.99% 0.92% 3.72% 7.81% 33.02% Cyclical Issues 86.70% 17.94% -8.62% 4.48% -1.63% 10.67% 0.59% 5.96% 2.06% 1.49% 2.04% 5.69% 24.67% Defensive Issues 53.75% 10.64% -8.68% 5.01% 0.05% 9.25% -0.58% 5.86% 2.17% 1.36% 1.84% 5.47% 21.27% Cash-Pay Securities 68.00% 14.25% -8.61% 4.69% -0.62% 10.02% 0.22% 5.94% 2.07% 1.47% 1.96% 5.61% 23.36% Def Int (cash-pay in < 2yrs) 26.41% 13.85% 0.00% 0.00% 2.82% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Def Int (cash-pay in >= 2yrs) % 0.00% 0.00% 0.00% 0.00% -6.29% 3.99% 6.87% 15.49% -6.58% -1.41% 6.38% 10.78% Cushion Paper 8.60% 7.30% -3.62% 4.11% 2.96% 3.41% 1.13% 2.76% 0.89% 0.64% 1.14% 2.69% 10.36% $0MM to $100 MM % 22.34% -7.22% -0.44% -3.14% 4.67% 1.31% -1.37% -0.58% 0.68% -0.76% -0.67% 3.88% $101MM to $299MM 68.01% 16.40% -8.74% 3.02% -2.75% 9.54% 0.43% 6.69% 2.22% 1.21% 1.83% 5.35% 23.65% $300MM and Over 70.81% 14.28% -8.61% 4.75% -0.72% 9.98% -0.07% 5.89% 2.07% 1.48% 1.99% 5.64% 22.93% Senior Secured 69.85% 15.25% -9.01% 4.86% -0.81% 9.43% 0.47% 5.98% 1.95% 1.32% 1.99% 5.36% 22.77% Senior 67.25% 14.02% -8.34% 4.41% -0.74% 9.90% -0.14% 5.59% 1.94% 1.32% 1.87% 5.22% 21.92% Senior Subordinate 85.12% 16.38% % 1.49% -8.88% 14.40% -0.93% 8.10% 3.43% 2.53% 2.63% 8.83% 33.34% Junior Subordinate % 13.85% 0.00% 0.00% 2.82% -6.29% 3.99% 10.22% 2.76% 2.09% 1.08% 6.04% 13.90% US$-Denominated 77.33% 16.90% -7.01% 2.44% 0.30% 7.55% -0.98% 5.38% 1.50% 1.31% 1.71% 4.59% 17.38% British Pound-Denominated 58.88% 13.44% -7.77% 1.73% -3.29% 11.81% 1.71% 7.67% 2.64% 1.67% 2.14% 6.58% 30.51% Euro-Denominated 69.05% 14.02% -9.35% 5.71% -1.12% 10.48% 0.07% 5.88% 2.18% 1.45% 2.02% 5.76% 23.81% Non-US$-Denominated 67.63% 13.97% -9.12% 5.12% -1.44% 10.67% 0.30% 6.14% 2.25% 1.48% 2.04% 5.88% 24.73% Credit Suisse W. European HY Index 70.20% 14.63% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% (1) Multiple currencies; converted hedged to Euro (3) Upper Tier: Split BBB and BB; (4) Middle Tier: Split BB, B and Split B; (5) Lower Tier: CCC/Split CCC and Default Leveraged Finance Outlook and 2012 Annual Review

83 Exhibit 175: Spread of the Credit Suisse Western European High Yield Index by Sector 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/12 11/30/12 12/31/12 Upper Tier (2) 1165 bp 404 bp 382 bp 693 bp 715 bp 495 bp 541 bp 466 bp 423 bp 404 bp 374 bp Middle Tier (3) 1797 bp 660 bp 638 bp 1063 bp 1028 bp 774 bp 902 bp 775 bp 723 bp 688 bp 625 bp Lower Tier (4) 4792 bp 1161 bp 752 bp 2055 bp 1908 bp 1447 bp 1452 bp 1248 bp 1056 bp 1035 bp 983 bp Cyclical Issues 2337 bp 605 bp 480 bp 900 bp 915 bp 638 bp 702 bp 608 bp 559 bp 536 bp 491 bp Defensive Issues 1367 bp 653 bp 577 bp 911 bp 859 bp 671 bp 754 bp 658 bp 614 bp 586 bp 557 bp Cash-Pay Securities 1792 bp 618 bp 523 bp 906 bp 900 bp 650 bp 721 bp 625 bp 578 bp 554 bp 514 bp Def Int (cash-pay in < 2yrs) NA 828 bp 554 bp NA NA NA NA NA NA NA NA Def Int (cash-pay in >= 2yrs) 2390 bp NA NA NA NA 1841 bp 1875 bp 1867 bp 1644 bp 1794 bp 1857 bp Cushion Paper NA 599 bp 481 bp 505 bp 401 bp 449 bp 400 bp 409 bp 428 bp 438 bp 398 bp $0MM to $100 MM 6453 bp 1164 bp 477 bp 899 bp 1272 bp 1957 bp 330 bp 490 bp 457 bp 446 bp 531 bp $101MM to $299MM 1953 bp 715 bp 561 bp 949 bp 946 bp 819 bp 881 bp 811 bp 780 bp 775 bp 742 bp $300MM and Over 1739 bp 598 bp 516 bp 898 bp 891 bp 627 bp 700 bp 600 bp 551 bp 523 bp 481 bp Senior Secured 2014 bp 579 bp 540 bp 911 bp 889 bp 702 bp 782 bp 719 bp 679 bp 664 bp 628 bp Senior 1762 bp 621 bp 513 bp 898 bp 897 bp 623 bp 687 bp 578 bp 529 bp 502 bp 460 bp Senior Subordinate 1922 bp 657 bp 565 bp 1007 bp 1093 bp 664 bp 773 bp 636 bp 581 bp 542 bp 505 bp Junior Subordinate 1914 bp 828 bp 554 bp NA NA 1841 bp 1875 bp 702 bp 621 bp 585 bp 580 bp US$-Denominated 1729 bp 675 bp 570 bp 819 bp 824 bp 612 bp 692 bp 624 bp 604 bp 600 bp 569 bp British Pound-Denominated 1250 bp 550 bp 485 bp 915 bp 978 bp 788 bp 818 bp 706 bp 650 bp 624 bp 582 bp Euro-Denominated 1905 bp 614 bp 513 bp 937 bp 913 bp 644 bp 717 bp 613 bp 560 bp 529 bp 488 bp Non-US$-Denominated 1824 bp 608 bp 510 bp 934 bp 922 bp 663 bp 732 bp 626 bp 573 bp 542 bp 501 bp Credit Suisse W. European HY Index 1799 bp 621 bp 523 bp 906 bp 900 bp 651 bp 722 bp 626 bp 579 bp 555 bp 515 bp (1) Multiple currencies; converted hedged to Euro (2) Upper Tier: Split BBB and BB; (3) Middle Tier: Split BB, B and Split B; (4) Lower Tier: CCC/Split CCC and Default Exhibit 176: Spread Tighten/(Widen) of the Credit Suisse Western European High Yield Index by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Upper Tier (3) 761bp 22bp (274) bp (23) bp (333) bp 220bp (46) bp 75bp 42bp 19bp 30bp 92bp 342bp Middle Tier (4) 1137bp 23bp (483) bp 35bp (391) bp 254bp (127) bp 127bp 52bp 34bp 63bp 150bp 403bp Lower Tier (5) 3632bp 409bp (805) bp 146bp (1156) bp 462bp (5) bp 204bp 192bp 20bp 52bp 265bp 925bp Cyclical Issues 1732bp 126bp (384) bp (16) bp (436) bp 277bp (64) bp 94bp 49bp 23bp 45bp 117bp 424bp Defensive Issues 714bp 76bp (354) bp 53bp (282) bp 187bp (83) bp 96bp 45bp 28bp 29bp 101bp 301bp Cash-Pay Securities 1174bp 95bp (372) bp 6bp (377) bp 250bp (71) bp 97bp 46bp 25bp 39bp 111bp 386bp Def Int (cash-pay in < 2yrs) N/A 274bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Def Int (cash-pay in >= 2yrs) N/A N/A N/A N/A N/A N/A (34) bp 8bp 223bp (150) bp (63) bp 9bp N/A Cushion Paper N/A 118bp (8) bp 104bp 79bp (47) bp 49bp (9) bp (19) bp (10) bp 40bp 11bp 3bp $0MM to $100 MM 5288bp 687bp (451) bp (373) bp (795) bp (686) bp 1628bp (160) bp 33bp 11bp (84) bp (41) bp 741bp $101MM to $299MM 1237bp 154bp (360) bp 3bp (385) bp 127bp (63) bp 71bp 30bp 5bp 32bp 68bp 204bp $300MM and Over 1141bp 82bp (374) bp 7bp (375) bp 264bp (73) bp 100bp 49bp 28bp 41bp 119bp 410bp Senior Secured 1435bp 39bp (354) bp 23bp (348) bp 187bp (80) bp 63bp 39bp 15bp 36bp 90bp 260bp Senior 1141bp 108bp (385) bp 1bp (384) bp 274bp (63) bp 109bp 49bp 27bp 41bp 118bp 437bp Senior Subordinate 1265bp 92bp (301) bp (86) bp (528) bp 429bp (109) bp 136bp 56bp 39bp 37bp 131bp 588bp Junior Subordinate 1086bp 274bp N/A N/A N/A N/A (34) bp 1173bp 80bp 36bp 5bp 122bp N/A US$-Denominated 1054bp 106bp (284) bp (5) bp (254) bp 212bp (81) bp 68bp 20bp 4bp 31bp 55bp 255bp British Pound-Denominated 700bp 65bp (312) bp (63) bp (494) bp 191bp (30) bp 111bp 56bp 26bp 43bp 125bp 397bp Euro-Denominated 1292bp 101bp (415) bp 24bp (400) bp 269bp (73) bp 105bp 53bp 31bp 41bp 125bp 425bp Non-US$-Denominated 1216bp 98bp (400) bp 11bp (413) bp 259bp (68) bp 105bp 54bp 30bp 41bp 125bp 421bp Credit Suisse W. European HY Index 1178bp 98bp (372) bp 6bp (377) bp 248bp (71) bp 97bp 46bp 25bp 39bp 111bp 385bp (1) Multiple currencies; converted hedged to Euro (3) Upper Tier: Split BBB and BB; (4) Middle Tier: Split BB, B and Split B; (5) Lower Tier: CCC/Split CCC and Default 2013 Leveraged Finance Outlook and 2012 Annual Review 83

84 Exhibit 177: Summary Profile of the Credit Suisse Western European HY Index: December 31, 2012 Market Value on 12/31/12 176,760 MM Number of Issues 356 Percent of Par Value % Market Value on 11/30/12 174,061 MM Size 173,067 MM Percent of Par Value (Excl Def) % Book Value on 12/31/12 168,838 MM Average Size 486 MM Coupon 7.32% Maturity 4.86 yrs Yield to Worst 5.52% Current Yield 7.02% Yield to Worst Date 3.84 yrs Spread to Worst 515 bp Yield to Maturity 5.99% Duration 3.12 yrs Premium to Treasury % Mean Yield to Worst 6.70% Average Rating Split BB 8-month Price Volatility 3.26 Standard Deviation Yield to Worst 6.31% (1) Multiple currencies; all amounts converted to Euros Exhibit 178: Credit Suisse Western European HY Index Spread and Yield by Industry Type: December 31, % 1200 bp 10.00% 1000 bp 8.00% 6.00% 5.92% 5.70% 5.52% 5.29% 800 bp 600 bp 4.00% 400 bp 2.00% 200 bp 0.00% Defensive Energy Credit Suisse W. European HY Index Cyclical 0 bp YTW STW Exhibit 179: Credit Suisse Western European HY Index Spread and Yield by Rating: December 31, % 10.00% 8.96% 10.02% 2500bp 2000bp 8.00% 6.00% 4.00% 4.18% 4.11% 5.10% 6.61% 5.13% 5.52% 1500bp 1000bp 2.00% 500bp 0.00% Split BBB BB Split BB B Split B CCC/Split CCC Not Rated Credit Suisse W. European HY Index 0bp YTW STW Leveraged Finance Outlook and 2012 Annual Review

85 Exhibit 180: Credit Suisse Western European HY Index Spread and Yield by Rating Tier: December 31, % 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Upper Tier: Split BBB and BB Middle Tier: Split BB, B and Split B Lower Tier: CCC/Split CCC and Default 4.12% 6.57% 10.25% 5.52% Upper Tier Middle Tier Lower Tier Credit Suisse W. European HY Index 2400bp 2100bp 1800bp 1500bp 1200bp 900bp 600bp 300bp 0bp YTW STW Exhibit 181: Credit Suisse Western European HY Index Spread and Yield by Security Type: December 31, % 19.18% 2000 bp 15.00% 1500 bp 10.00% 1000 bp 5.00% 5.51% 5.52% 500 bp 0.00% Cash Deferred Credit Suisse W. European HY Index 0 bp YTW STW Exhibit 182: Credit Suisse Western European HY Index Spread and Yield by Seniority: December 31, % 1000 bp 8.00% 6.00% 6.64% 4.92% 5.73% 6.10% 5.52% 800 bp 600 bp 4.00% 400 bp 2.00% 200 bp 0.00% Senior Secured Senior Senior Subordinated Junior Subordinated Credit Suisse W. European HY Index 0 bp YTW STW 2013 Leveraged Finance Outlook and 2012 Annual Review 85

86 Exhibit 183: Credit Suisse Western European HY Index Spread and Yield by Size: December 31, % 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 7.83% 5.59% 5.52% $101 MM to $299 MM $0 MM to $100 MM Credit Suisse W. European HY Index 5.17% $300 MM and Over 3000bp 2500bp 2000bp 1500bp 1000bp 500bp 0bp YTW STW Exhibit 184: Credit Suisse Western European HY Index Returns by Industry: % 45.0% 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 45.7% 40.8% 32.1% 30.1% 30.0% 29.4% 25.4% 24.2% 23.0% 22.5% 21.7% 21.4% 21.4% 20.6% 20.1% 19.9% 19.3% 18.2% 13.7% 8.3% Exhibit 185: Credit Suisse Western European HY Index Returns by Industry Type: % 25.00% 20.00% 21.27% 24.67% 22.99% 15.00% 10.00% 8.33% 5.00% 0.00% Energy Defensive Cyclical Credit Suisse W. European HY Index Leveraged Finance Outlook and 2012 Annual Review

87 Exhibit 186: Credit Suisse Western European HY Index Returns by Rating: % 45.00% 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 21.78% 19.93% 19.86% 26.25% 34.66% 43.36% 14.16% Split BBB BB Split BB B Split B CCC Not Rated Distressed/ Default* *Bonds rated CC, C, or Default 6.69% 22.99% Credit Suisse W. European HY Index Exhibit 187: Credit Suisse Western European HY Index Returns by Rating Tier: % 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 20.39% 25.43% 33.02% 22.99% Upper Tier Middle Tier Lower Tier Credit Suisse W. European HY Index Exhibit 188: Credit Suisse Western European HY Index Returns by Security Type: % 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % % 23.36% 22.99% % Cash Credit Suisse W. European HY Index Default 2013 Leveraged Finance Outlook and 2012 Annual Review 87

88 Exhibit 189: Credit Suisse Western European HY Index Returns by Seniority: % 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 22.77% 21.92% 33.34% 22.99% Senior Secured Senior Senior Subordinated Credit Suisse W. European HY Index Exhibit 190: Credit Suisse Western European HY Index Returns by Size: % 23.65% 22.99% 22.93% 20.00% 15.00% 10.00% 5.00% 3.88% 0.00% $101 MM to $299 MM Credit Suisse W. European HY Index $300 MM and Over $0 MM to $100 MM Exhibit 191: Credit Suisse Western European HY Spread vs. Price Volatility by Industry: December 31, Consumer Durables Spread to Worst Gaming/Leisure 730 Broadcasting 630 Service Retail Telecommunications Diversified Media Utility Chemicals 530 Forest Prod/Containers Consumer Non-Durables Information Technology Wireless Communications Energy Healthcare Food/Tobacco Transportation 430 Aerospace Metals/Minerals Cable/Wireless Video Financial Manufacturing 330 Housing Month Price Volatility Leveraged Finance Outlook and 2012 Annual Review

89 Exhibit 192: Credit Suisse Western European HY Spread vs. Price Volatility by Rating: December 31, CCC/Split CCC Split B Spread to Worst B 460 Not Rated Split BB Split BBB BB Month Price Volatility Exhibit 193: Credit Suisse Western European HY Spread vs. Price Volatility by Security Type: December 31, Deferred 2 years and Over Spread to Worst Cash (Non-Prefunded) Cushion Paper Month Price Volatility 2013 Leveraged Finance Outlook and 2012 Annual Review 89

90 Exhibit 194: Best & Worst Performers by Total Return: Credit Suisse Western European High Yield Index (1): 4Q12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Petroplus Finance 6.750% 5/1/2014 C D Sr Nts USD % 62.78% 62.78% Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts USD % 62.78% 62.78% Defaulted Thomas Cook Group 7.750% 6/22/2017 NR B- Sr Nts GBP % 55.11% 51.59% 13.69% 1300 bp Thomas Cook Group 6.750% 6/22/2015 NR B- Sr Nts EUR % 52.98% 50.09% 14.05% 1405 bp BPE Financiaciones 6.873% 10/22/2020 Ba3 B- Sr Sub Nts EUR % 34.50% 31.95% 10.07% 913 bp Yioula Glassw orks 9.000% 12/1/2015 Caa3 CC Sr Nts EUR % 32.16% 27.52% 31.14% 3114 bp OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR % 27.66% 26.03% 8.55% 851 bp eaccess 8.375% 4/1/2018 Ba3 BB Sr Nts EUR % 26.56% 24.23% 4.16% 416 bp Banco de Sabadell 6.250% 4/26/2020 Ba3 B- Sr Sub Nts EUR % 23.11% 21.07% 7.82% 699 bp Enterprise Inns 6.375% 9/26/2031 B2 BB- Sr Sec Nts GBP % 21.36% 19.05% 8.16% 555 bp Worst Performers Allied Irish Banks % 6/25/2035 C D Sr Sub Nts GBP % % % Defaulted Kaupthing Bank 5.750% 10/4/2011 C NR Sr Nts USD 1, % -9.16% -9.16% Defaulted Glitnir Banki 6.330% 7/28/2011 C D Nts USD % -9.07% -9.07% Defaulted Glitnir Banki 6.375% 9/25/2012 C NR Nts USD % -9.07% -9.07% Defaulted InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -4.50% -6.80% 12.10% 1147 bp Codere Finance 9.250% 2/15/2019 Caa2 CCC Sr Nts USD % -4.35% -7.15% 15.45% 1447 bp InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -3.25% -5.71% 12.64% 1193 bp Codere Finance 8.250% 6/15/2015 Caa2 CCC Sr Nts EUR % -2.68% -5.00% 17.02% 1702 bp CEVA Group % 4/1/2018 Caa2 CCC+ Jr Pr Sr Sec Nts USD % -1.80% -5.10% 16.28% 1550 bp Nav ios Maritime Holdings 8.125% 2/15/2019 Caa1 B+ Sr Nts USD % -1.34% -3.58% 11.11% 1012 bp (1) Returns converted hedged to Euro Exhibit 195: Best & Worst Performers by Price Move: Credit Suisse Western European High Yield Index (1) : 4Q12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Thomas Cook Group 6.750% 6/22/2015 NR B- Sr Nts EUR % 52.98% 50.09% 14.05% 1405 bp Thomas Cook Group 7.750% 6/22/2017 NR B- Sr Nts GBP % 55.11% 51.59% 13.69% 1300 bp eaccess 8.375% 4/1/2018 Ba3 BB Sr Nts EUR % 26.56% 24.23% 4.16% 416 bp BPE Financiaciones 6.873% 10/22/2020 Ba3 B- Sr Sub Nts EUR % 34.50% 31.95% 10.07% 913 bp OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR % 27.66% 26.03% 8.55% 851 bp Banco de Sabadell 6.250% 4/26/2020 Ba3 B- Sr Sub Nts EUR % 23.11% 21.07% 7.82% 699 bp Cegedim 7.000% 7/27/2015 NR B Sr Nts EUR % 18.72% 16.74% 5.87% 587 bp Gala Electric Casinos % 6/1/2019 Caa3 CCC+ Sr Nts GBP % 18.82% 15.54% 11.83% 1079 bp PagesJaunes Finance 8.875% 6/1/2018 B3 NR Sr Sec Nts EUR % 19.22% 16.57% 9.97% 957 bp Enterprise Inns 6.375% 9/26/2031 B2 BB- Sr Sec Nts GBP % 21.36% 19.05% 8.16% 555 bp Worst Performers InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -4.50% -6.80% 12.10% 1147 bp Codere Finance 9.250% 2/15/2019 Caa2 CCC Sr Nts USD % -4.35% -7.15% 15.45% 1447 bp InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -3.25% -5.71% 12.64% 1193 bp CEVA Group % 4/1/2018 Caa2 CCC+ Jr Pr Sr Sec Nts USD % -1.80% -5.10% 16.28% 1550 bp Codere Finance 8.250% 6/15/2015 Caa2 CCC Sr Nts EUR % -2.68% -5.00% 17.02% 1702 bp International Automotiv e Components Gro 9.125% 6/1/2018 Caa1 B Sr Sec 2nd Pr Nts USD % -0.99% -3.31% 10.93% 1011 bp Nav ios Maritime Holdings 8.125% 2/15/2019 Caa1 B+ Sr Nts USD % -1.34% -3.58% 11.11% 1012 bp SEAT Pagine Gialle % 1/31/2017 Caa1 B Sr Sec Nts EUR % -0.53% -4.56% 26.79% 2666 bp SEAT Pagine Gialle % 1/31/2017 Caa1 B Sr Sec Nts EUR % -0.53% -4.56% 26.79% 2666 bp TMD Friction Finance % 5/15/2017 B2 BB- Sr Sec Nts EUR % -0.24% -2.51% 5.00% 497 bp (1) Returns converted hedged to Euro (2) Includes only issues priced 50 or higher at beginning of period Leveraged Finance Outlook and 2012 Annual Review

91 Exhibit 196: Best & Worst Performers by Total Return: Credit Suisse Western European High Yield Index (1): 2H12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Petroplus Finance 6.750% 5/1/2014 C D Sr Nts USD % 93.65% 93.65% Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts USD % 93.65% 93.65% Defaulted Thomas Cook Group 7.750% 6/22/2017 NR B- Sr Nts GBP % 84.36% 76.10% 13.69% 1300 bp Thomas Cook Group 6.750% 6/22/2015 NR B- Sr Nts EUR % 82.14% 75.37% 14.05% 1405 bp Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP % 51.35% 44.40% 10.47% 984 bp CMA CGM 8.875% 4/15/2019 Caa2 CCC- Sr Nts EUR % 50.41% 42.73% 13.70% 1311 bp OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR % 49.34% 45.60% 8.55% 851 bp CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts USD % 48.00% 40.60% 15.08% 1449 bp Gala Electric Casinos % 6/1/2019 Caa3 CCC+ Sr Nts GBP % 44.13% 36.28% 11.83% 1079 bp Yioula Glassw orks 9.000% 12/1/2015 Caa3 CC Sr Nts EUR % 41.38% 31.62% 31.14% 3114 bp Worst Performers Banco Financiero y de Ahorro 5.116% 7/15/2015 C CC Sr Sub Nts EUR % % % 91.41% 9141 bp Allied Irish Banks % 6/25/2035 C D Sr Sub Nts GBP % % % Defaulted InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -6.84% % 12.64% 1193 bp SNS REAAL 8.450% 8/20/2018 Caa1 BB Sr Sub Nts USD % -5.77% -9.74% 10.46% 959 bp Kaupthing Bank 5.750% 10/4/2011 C NR Sr Nts USD 1, % -3.96% -3.96% Defaulted InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -3.86% -8.41% 12.10% 1147 bp Schmolz and Bickenbach Lux 9.875% 5/15/2019 B2 B- Sr Sec Nts EUR % -3.71% -8.96% 13.78% 1317 bp CEVA Group % 4/1/2018 Caa2 CCC+ Jr Pr Sr Sec Nts USD % -2.19% -8.22% 16.28% 1550 bp Fresenius Finance 5.500% 1/31/2016 Ba1 BB+ Sr Nts EUR % -0.24% -2.75% 2.06% 201 bp ESCADA 7.500% 4/1/2012 Ca D Sr Nts EUR % 0.00% 0.00% Defaulted (1) Returns converted hedged to Euro Exhibit 197: Best & Worst Performers by Price Move: Credit Suisse Western European High Yield Index (1) : 2H12 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP % 51.35% 44.40% 10.47% 984 bp OTE 4.625% 5/20/2016 Caa1 B- Sr Nts EUR % 49.34% 45.60% 8.55% 851 bp Gala Electric Casinos % 6/1/2019 Caa3 CCC+ Sr Nts GBP % 44.13% 36.28% 11.83% 1079 bp eaccess 8.375% 4/1/2018 Ba3 BB Sr Nts EUR % 32.98% 28.33% 4.16% 416 bp CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts USD % 48.00% 40.60% 15.08% 1449 bp CMA CGM 8.875% 4/15/2019 Caa2 CCC- Sr Nts EUR % 50.41% 42.73% 13.70% 1311 bp Wind Acquisition Finance % 7/15/2017 B3 B+ Sr Nts USD 1, % 32.60% 25.86% 9.59% 928 bp Bankia 4.375% 2/14/2017 Ba2 NR Sr Nts EUR % 34.85% 31.84% 6.21% 608 bp Numericable Finance % 2/15/2019 B2 B Sr Sec Nts EUR % 27.72% 21.66% 7.33% 731 bp Banco de Sabadell 6.250% 4/26/2020 Ba3 B- Sr Sub Nts EUR % 33.55% 29.22% 7.82% 699 bp Worst Performers InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -6.84% % 12.64% 1193 bp SNS REAAL 8.450% 8/20/2018 Caa1 BB Sr Sub Nts USD % -5.77% -9.74% 10.46% 959 bp InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -3.86% -8.41% 12.10% 1147 bp Schmolz and Bickenbach Lux 9.875% 5/15/2019 B2 B- Sr Sec Nts EUR % -3.71% -8.96% 13.78% 1317 bp CEVA Group % 4/1/2018 Caa2 CCC+ Jr Pr Sr Sec Nts USD % -2.19% -8.22% 16.28% 1550 bp EN Germany Holdings % 11/15/2015 B3 CCC+ Sr Sec Nts EUR % 0.09% -5.20% 13.21% 1321 bp ITV % 6/30/2014 Ba1 BB+ Sr Nts EUR % 0.70% -3.52% 0.77% 74 bp (1) Returns converted hedged to Euro (2) Includes only issues priced 50 or higher at beginning of period 2013 Leveraged Finance Outlook and 2012 Annual Review 91

92 Exhibit 198: Best & Worst Performers by Total Return: Credit Suisse Western European High Yield Index (1): 2012 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Matalan Finance 9.625% 3/31/2017 Caa2 CCC+ Sr Nts GBP % % % 10.47% 984 bp CMA CGM 8.875% 4/15/2019 Caa2 CCC- Sr Nts EUR % % 84.46% 13.70% 1311 bp Gala Electric Casinos % 6/1/2019 Caa3 CCC+ Sr Nts GBP % % 82.88% 11.83% 1079 bp Thomas Cook Group 6.750% 6/22/2015 NR B- Sr Nts EUR % % 87.18% 14.05% 1405 bp Thomas Cook Group 7.750% 6/22/2017 NR B- Sr Nts GBP % 92.61% 77.04% 13.69% 1300 bp CMA CGM 8.500% 4/15/2017 Caa2 CCC- Sr Nts USD % 92.28% 74.03% 15.08% 1449 bp Europcar Groupe 9.375% 4/15/2018 Caa2 CCC+ Sr Sub Nts EUR % 82.33% 65.36% 12.26% 1189 bp Landsbanki Islands 6.100% 8/25/2011 NR NR Sr Nts USD 1, % 68.66% 68.66% Defaulted Aston Martin Capital 9.250% 7/15/2018 B3 B+ Sr Sec Nts GBP % 68.03% 54.63% 9.21% 850 bp Matalan Finance 8.875% 4/30/2016 B1 BB- Sr Sec Nts GBP % 65.93% 53.16% 7.20% 687 bp Worst Performers Banco Financiero y de Ahorro 5.116% 7/15/2015 C CC Sr Sub Nts EUR % % % 91.41% 9141 bp Petroplus Finance 6.750% 5/1/2014 C D Sr Nts USD % % % Defaulted Petroplus Finance 7.000% 5/1/2017 C D Sr Nts USD % % % Defaulted Allied Irish Banks % 6/25/2035 C D Sr Sub Nts GBP % % % Defaulted SNS REAAL 8.450% 8/20/2018 Caa1 BB Sr Sub Nts USD % % % 10.46% 959 bp Codere Finance 9.250% 2/15/2019 Caa2 CCC Sr Nts USD % % % 15.45% 1447 bp Schmolz and Bickenbach Lux 9.875% 5/15/2019 B2 B- Sr Sec Nts EUR % -7.17% % 13.78% 1317 bp InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -6.59% % 12.10% 1147 bp InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -3.74% % 12.64% 1193 bp ESCADA 7.500% 4/1/2012 Ca D Sr Nts EUR % -2.56% -2.56% Defaulted (1) Returns converted hedged to Euro Exhibit 199: Best & Worst Performers by Price Move: Credit Suisse Western European High Yield Index (1) : 2012 PRICE PRICE TOTAL PRINCIPAL ISSUER COUPON MATURITY MDY S&P ISSUE CUR'NCY SIZE PRICE MOVE CHANGE RETURN RETURN YTW STW Best Performers Gala Electric Casinos % 6/1/2019 Caa3 CCC+ Sr Nts GBP % % 82.88% 11.83% 1079 bp Ontex IV 9.000% 4/15/2019 Caa1 CCC+ Sr Nts EUR % 65.11% 52.46% 7.27% 710 bp Aston Martin Capital 9.250% 7/15/2018 B3 B+ Sr Sec Nts GBP % 68.03% 54.63% 9.21% 850 bp Matalan Finance 8.875% 4/30/2016 B1 BB- Sr Sec Nts GBP % 65.93% 53.16% 7.20% 687 bp Europcar Groupe 9.375% 4/15/2018 Caa2 CCC+ Sr Sub Nts EUR % 82.33% 65.36% 12.26% 1189 bp Commerzbank 6.375% 3/22/2019 Ba1 BBB Sr Sub Nts EUR 1, % 54.55% 46.20% 5.17% 459 bp Bakkav or Finance % 2/15/2018 B2 B- Sr Sec Nts GBP % 60.83% 49.28% 7.83% 696 bp Sty rolution Group 7.625% 5/15/2016 B2 B+ Sr Sec Nts EUR % 58.49% 47.86% 5.45% 545 bp Commerzbank 7.750% 3/16/2021 Ba1 BBB Sr Sub Nts EUR 1, % 52.42% 42.74% 6.49% 546 bp KION Finance 7.875% 4/15/2018 B2 B Sr Sec Nts EUR % 54.89% 44.59% 4.02% 398 bp Worst Performers Banco Financiero y de Ahorro 5.116% 7/15/2015 C CC Sr Sub Nts EUR % % % 91.41% 9141 bp Petroplus Finance 6.750% 5/1/2014 C D Sr Nts USD % % % Defaulted SNS REAAL 8.450% 8/20/2018 Caa1 BB Sr Sub Nts USD % % % 10.46% 959 bp Codere Finance 9.250% 2/15/2019 Caa2 CCC Sr Nts USD % % % 15.45% 1447 bp InterGen 9.000% 6/30/2017 Ba3 BB- Sr Sec Nts USD % -6.59% % 12.10% 1147 bp Schmolz and Bickenbach Lux 9.875% 5/15/2019 B2 B- Sr Sec Nts EUR % -7.17% % 13.78% 1317 bp InterGen 9.500% 6/30/2017 Ba3 BB- Sr Sec Nts GBP % -3.74% % 12.64% 1193 bp Codere Finance 8.250% 6/15/2015 Caa2 CCC Sr Nts EUR % -1.37% % 17.02% 1702 bp Banca Monte dei Paschi di Si 7.000% 3/4/2019 Caa2 NR Sr Sub Nts EUR % 0.20% -6.22% 7.80% 723 bp CEVA Group % 4/1/2018 Caa2 CCC+ Jr Pr Sr Sec Nts USD % 4.64% -7.57% 16.28% 1550 bp (1) Returns converted hedged to Euro (2) Includes only issues priced 50 or higher at beginning of period Leveraged Finance Outlook and 2012 Annual Review

93 Western European Leveraged Loan Market Performance Review The Credit Suisse Western European Leveraged Loan Index (hedged, in euro) was up with a return of 10.39% for The discount margin, assuming a three-year average life, tightened 180 bp during the month to 656 bp. The average price rose to 87.72, a 4.63-point increase. Exhibit 200: Western European Leveraged Loan vs. Market Returns Cumulative Total Return (1) TOTAL RETURN 1Q '11 2Q '11 3Q '11 4Q ' Q '12 2Q '12 3Q '12 Oct-12 Nov-12 Dec-12 4Q '12 YTD (2) 10-YEAR UK GOVERNMENT BOND (3) -0.64% 3.32% 10.42% 4.37% 18.30% -0.89% 4.45% 0.33% -0.96% 0.85% -0.31% -0.43% 3.41% 10-YEAR EURO GOVERNMENT BOND (4) -2.55% 3.91% 11.14% 1.67% 14.43% 0.74% 3.13% 1.92% -0.05% 0.81% 0.75% 1.52% 7.49% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN $US) (5) 2.80% 0.66% -8.66% 4.77% -0.97% 10.10% 0.20% 6.11% 2.12% 1.48% 2.01% 5.72% 23.76% CREDIT SUISSE WEST EURO HY INDEX (HEDGED, IN EURO) (6) 2.83% 0.82% -8.63% 4.48% -1.03% 9.92% -0.01% 5.97% 2.09% 1.44% 1.97% 5.60% 22.99% CREDIT SUISSE HIGH YIELD INDEX (7) 3.77% 1.04% -5.12% 6.02% 5.47% 5.03% 1.56% 4.27% 0.86% 0.76% 1.50% 3.14% 14.71% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN $US) (5) 4.36% -0.21% -5.90% 1.21% -0.83% 4.76% 0.81% 2.75% 0.52% 0.70% 0.86% 2.10% 10.80% CREDIT SUISSE WEST EURO LEV LOAN INDEX (HEDGED, IN EURO) (6) 4.38% 0.01% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% BLOOMBERG EUROPE 500 INDEX (4)(8) 0.87% 0.34% % 8.26% -9.02% 8.62% -3.12% 7.05% 0.62% 2.12% 1.57% 4.36% 17.57% FTSE ALL-SHARE INDEX (3) 1.21% 2.03% % 8.62% -2.87% 6.24% -2.43% 4.80% 1.07% 1.81% 1.02% 3.95% 12.92% DAX INDEX (4) 1.84% 4.76% % 7.20% % 17.78% -7.64% 12.47% 0.62% 2.00% 2.79% 5.49% 29.06% CAC 40 INDEX (4) 4.87% 2.85% % 6.58% % 8.58% -3.61% 5.60% 2.22% 3.87% 2.58% 8.91% 20.38% FTSE SMALLCAP INDEX (3) 0.28% 2.64% % -1.18% % 14.82% -4.16% 8.66% 1.61% 0.81% 4.62% 7.17% 28.15% CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN $US) (5)(9) CREDIT SUISSE WEST EURO HY INDEX VALUE (HEDGED, IN EURO) (6)(9) (1) Cumulative Monthly Total Return; (2) As of 12/31/12 (3) Returns in British Pounds; (4) Returns in Euro (5) Multiple currencies; returns converted hedged to $US; (6) Multiple currencies; returns converted hedged to Euro (7) Returns in $US; (8) Returns do not include dividends; (9) 12/30/94=100, the BLOOMBERG PROFESSIONAL service Exhibit 201: Western European Leveraged Loan Summary Chart 2012 Outperforming Industries Underperforming Industries Information Technology 18.56% Utility -2.01% Credit Suisse Western European Energy 13.36% Consumer Non-Durables 1.04% Leveraged Loan Index Manufacturing 13.05% Financial 3.94% 10.39% Outperforming Sectors Underperforming Sectors Second Lien 18.06% Upper Tier 7.58% Lower Tier 14.22% L+125 to L % (Returns hedged to Euro) Unsecured 14.05% First Lien 9.85% 2013 Leveraged Finance Outlook and 2012 Annual Review 93

94 Exhibit 202: Western European Leveraged Loan Primary Market Monitor EURIBOR Q11 4Q Q12 2Q12 3Q12 Oct-12 (1) Nov-12 (1) Dec-12 (1) 4Q12 (1)(4) YTD (4) 3 month EURIBOR YIELD 0.70% 1.01% 1.55% 1.36% 1.36% 0.78% 0.65% 0.22% 0.20% 0.19% 0.19% 0.19% 0.19% EURIBOR YIELD increase (decrease) (219) bp 31 bp 1 bp (20) bp 35 bp (58) bp (12) bp (43) bp (2) bp (1) bp (0) bp (3) bp (117) bp ISSUANCE NEW NON-INSTITUTIONAL (2) ( billions) NEW INSTITUTIONAL (3) ( billions) NEW LOANS OVERALL ( billions) FORWARD CALENDAR ($billions) AVERAGE NEW ISSUE SPREADS (5) Institutional B 386bp 496bp 447bp 484bp 465bp 514bp 530bp 534bp 538bp 538bp 538bp 538bp 529bp BB NA 459bp 453bp 487bp 449bp 471bp 404bp 458bp 458bp 458bp 458bp 458bp 446bp B vs. BB NA 37bp (7)bp (3)bp 16bp 43bp 125bp 75bp 80bp 80bp 80bp 80bp 83bp Non-Institutional B 291bp 446bp 396bp 422bp 419bp 449bp 481bp 484bp 483bp 483bp 483bp 483bp 474bp BB 288bp 407bp 418bp NA NA NA NA NA NA NA B vs. BB 4bp 38bp (21)bp NA NA NA NA NA NA NA NA NA NA Institutional vs. Non-Institutional B 95bp 50bp 51bp 62bp 46bp 66bp 49bp 50bp 56bp 56bp 56bp 56bp 55bp BB NA 52bp 36bp NA NA NA NA NA NA NA NA NA NA (1) Monthly issuance amounts may not add up to quarterly numbers due to variations in sampling methodologies (2) Non-institutional loans include TL-a and Revolvers. This data is revised often as more complete information becomes available. (3) Institutional includes TL-b, TL-c, TL-d, delayed-draw and other tranches generally held by institutional investors (4) As of 12/31/12 (5) Weighted average of the previous six months, the BLOOMBERG PROFESSIONAL service, S&P LCD, LPC Exhibit 203: New Western European Leveraged Loan Syndications Monthly Volume /31/ Volume ( Billions) /31/ /30/ Pro Rata + Institutional, S&P LCD Leveraged Finance Outlook and 2012 Annual Review

95 Exhibit 204: Western European Leveraged Loan Market Size Market Size ( Billions) European Leveraged Loan Market Size New European Leveraged Loan Volume * Includes non-investment grade bank debt, including non-institutional (revolvers and pro-rata tranches) and institutional facilities of issuers with assets located in or revenues derived from Western Europe, or the loan is denominated in a Western European currency. * As of 9/30/ New Leveraged Loan Volume ( Billions), LPC, S&P LCD Exhibit 205: Western European Institutional Leveraged Loan Market Size Market Size ( Billions) European Institutional Leveraged Loan Market Size New European Institutional Leveraged Loan Volume * Includes non-investment grade fully-drawn institutional term loans (TLb's, TLc's, TLd's, delayed-draw, and other tranches held by institutional investors) of issuers with assets located in or revenues derived from Western Europe, or the loan is denominated in a Western European currency. This is a subset of the overall Western European leveraged loan market size. * As of 12/31/12, LPC, S&P LCD New Leveraged Loan Volume ( Billions) 2013 Leveraged Finance Outlook and 2012 Annual Review 95

96 Exhibit 206: West. Euro. Leveraged Loans Maturing by Year as of 12/31/08 Billions Maturities bln West. Euro. Leveraged Loans Maturing by Year (As of 12/31/08) Exhibit 207: West. Euro. Leveraged Loans Maturing by Year as of 12/31/2012 Billions Maturities bln West. Euro. Leveraged Loans Maturing by Year (As of 12/31/12) Exhibit 208: Western European Institutional Leveraged Loan Events by Year Inst'l Loan Events ( Bln Equiv.) * New Issuance Issued in Extension Issued in Exchange Additions: Prepaid w/ Bonds Prepaid w/ Equity Prepaid w/ Loans/Cash Extended Bankruptcy Resolution Rising Star Illiquid/Unknown/FX Adjustments Deletions: Net Change: Beginning Size Ending Size *As of Dec 31, Leveraged Finance Outlook and 2012 Annual Review

97 Exhibit 209: Average Price of the Credit Suisse Western European Leveraged Loan Index Average Price 105.0% 100.0% 95.0% 90.0% 85.0% 80.0% 75.0% 70.0% 65.0% 60.0% 55.0% 85.31% 11/29/ % 5/31/ % 3/31/ % 12/31/12 Exhibit 210: Average Discount Margin of the Credit Suisse Western European Leveraged Loan Index 2000bps 1600bps 12/31/ bp Discount Margin 1200bps 800bps 400bps 0bps 531 bp 12/31/2001 Average 3 yr Discount Margin: 508 bp 238 bp 4/30/ bp 12/31/2012 3yr Discount Margin (assumes 3yr refin) Series Leveraged Finance Outlook and 2012 Annual Review 97

98 Exhibit 211: Credit Suisse Western European Leveraged Loan Index Discount Margin 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 Discount Margin 2 Yrs 2778 bp 985 bp 779 bp 1063 bp 1075 bp 921 bp 930 bp 865 bp 850 bp 796 bp 787 bp Discount Margin 3 Yrs 1973 bp 756 bp 625 bp 825 bp 836 bp 735 bp 746 bp 705 bp 697 bp 660 bp 656 bp Discount Margin 4 Yrs 1580 bp 642 bp 548 bp 707 bp 716 bp 642 bp 655 bp 625 bp 620 bp 592 bp 590 bp Discount Margin 5 Yrs 1348 bp 574 bp 502 bp 637 bp 644 bp 586 bp 600 bp 578 bp 573 bp 552 bp 551 bp Exhibit 212: Credit Suisse Western European Leveraged Loan Index Discount Margin Tighten (Widen) Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Discount Margin 2 Yrs 1793 bp 206 bp (351) bp (13) bp (296) bp 154 bp (9) bp 65 bp 15 bp 54 bp 8 bp 77 bp 288 bp Discount Margin 3 Yrs 1217 bp 131 bp (241) bp (10) bp (211) bp 101 bp (12) bp 42 bp 7 bp 37 bp 4 bp 49 bp 180 bp Discount Margin 4 Yrs 938 bp 94 bp (186) bp (8) bp (168) bp 74 bp (13) bp 30 bp 6 bp 27 bp 2 bp 35 bp 126 bp Discount Margin 5 Yrs 773 bp 72 bp (154) bp (8) bp (142) bp 58 bp (14) bp 22 bp 5 bp 22 bp 1 bp 27 bp 94 bp Exhibit 213: Credit Suisse Western European Leveraged Loan Index - Returns by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 97.21% 9.05% -3.92% 0.26% 0.26% 5.62% 0.93% 1.68% 0.35% 0.46% 0.60% 1.43% 9.94% Chemicals 68.62% 17.40% -3.34% 2.68% 4.80% 5.30% 0.32% 2.60% 1.10% 0.36% 0.48% 1.95% 10.49% Consumer Durables 20.14% 28.68% % -5.29% % 8.49% 3.89% -5.22% -0.25% 0.44% 0.45% 0.64% 7.51% Consumer Non-Durables 45.02% 13.91% -7.30% -1.21% -6.20% 4.06% -1.14% -1.57% 0.28% 0.74% -1.22% -0.22% 1.04% Energy 36.35% -1.91% -8.38% 1.67% -2.28% 5.28% 0.01% 5.61% 0.70% 0.48% 0.74% 1.94% 13.36% Financial 87.19% 8.53% -1.79% 3.52% 5.90% 2.66% 0.46% 0.06% 0.08% 0.20% 0.44% 0.72% 3.94% Food And Drug 53.23% 3.05% -6.66% 3.26% 2.43% 3.44% 4.02% 1.67% 1.35% 0.49% 0.70% 2.56% 12.20% Food/Tobacco 34.69% 9.60% -2.98% -0.07% -1.32% 3.82% 1.44% 1.88% 0.43% 1.04% 0.83% 2.32% 9.79% Forest Prod/Containers 54.97% 8.40% -4.12% 1.96% 2.75% 3.36% 0.50% 1.15% 0.78% 0.65% 0.52% 1.97% 7.13% Gaming/Leisure 83.25% 4.91% -5.06% -0.95% -5.08% 4.82% 1.57% 2.11% 0.79% -0.20% 0.84% 1.44% 10.27% Healthcare 36.18% 7.58% -1.76% 2.89% 5.79% 1.23% 1.32% 2.09% 0.73% 0.41% 0.48% 1.63% 6.42% Housing 49.11% 16.89% -6.77% 0.83% 0.28% 2.43% 4.41% -4.67% 2.17% 0.66% 0.37% 3.23% 5.25% Information Technology 62.97% 12.34% -6.48% 2.16% 1.03% 9.03% 1.66% 5.03% 0.35% 0.36% 1.11% 1.83% 18.56% Manufacturing 43.17% 16.41% -8.43% 2.96% -0.36% 6.94% 1.05% 2.70% 0.09% 1.00% 0.76% 1.86% 13.05% Media/Telecommunications 43.65% 3.81% -7.60% 1.50% -3.06% 5.90% -0.10% 3.95% 0.54% 0.96% 1.28% 2.80% 13.05% Broadcasting % 16.70% -8.98% 4.02% -4.16% 8.81% -0.96% 7.45% 0.82% 0.34% 1.57% 2.76% 18.99% Cable/Wireless Video 34.08% 5.76% -3.83% 3.51% 4.39% 3.28% 1.47% 2.78% 1.04% 0.61% 0.49% 2.15% 10.03% Telecommunications 26.63% 0.92% % -6.17% -8.71% 6.46% -1.16% 3.29% 2.25% 1.97% 4.74% 9.21% 18.69% Wireless Communications 48.71% 7.40% -7.85% 6.20% 3.82% 5.48% -1.56% 6.05% 2.52% 1.70% 0.94% 5.25% 15.91% Diversified Media 52.20% -3.29% % -0.86% % 7.30% -0.42% 2.65% -1.38% 1.14% 1.24% 0.99% 10.77% Metals/Minerals 36.95% 9.07% 0.00% 0.00% 0.00% 0.00% 1.54% 3.05% 2.09% 1.20% 0.76% 4.10% 8.93% Retail 78.83% 14.23% % -4.41% -9.81% 3.97% -0.90% 4.86% -0.70% 0.99% 0.67% 0.95% 9.06% Service 60.16% 9.36% -6.29% 2.16% 0.32% 4.60% -0.96% 3.99% -0.22% 0.39% 0.54% 0.71% 8.50% Transportation 17.81% 13.55% -2.32% -1.74% 9.66% 3.84% 1.25% 0.68% 0.31% 0.50% 0.94% 1.76% 7.72% Automotive 12.95% 19.34% -0.85% 0.79% 7.52% 2.33% 0.87% 2.43% 0.50% 0.41% 0.40% 1.31% 7.12% Land Transportation 28.68% -2.59% -5.14% -5.49% 5.62% 4.69% 1.95% -2.18% 0.04% 0.63% 1.77% 2.45% 6.97% Shipping 0.00% 0.00% 0.76% -0.15% NA NA NA N/A NA NA NA NA NA Utility 20.59% 12.75% -9.84% -6.07% -6.90% % 3.86% 2.37% 1.38% 0.33% 0.85% 2.59% -2.01% Credit Suisse WE Leveraged Loan Index 47.24% 8.53% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% (2) Returns heddged to Euro During 2012, the best performing loan industries were information technology, energy, and manufacturing with returns of 18.56%, 13.36%, and 13.05%, respectively. The worst performing loan industries were utility, consumer non-durables, and financial with returns of -2.01%, 1.04%, and 3.94%, respectively Leveraged Finance Outlook and 2012 Annual Review

99 Exhibit 214: Credit Suisse Western European Leveraged Loan Index Discount Margin (3-year life) by Industry 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 Aerospace 2308 bp 732 bp 459 bp 601 bp 611 bp 443 bp 440 bp 481 bp 477 bp 469 bp 458 bp Chemicals 2346 bp 866 bp 477 bp 605 bp 538 bp 453 bp 549 bp 501 bp 478 bp 485 bp 492 bp Consumer Durables 2758 bp 1806 bp 1141 bp 1721 bp 1089 bp 1029 bp 928 bp 916 bp 898 bp 908 bp 906 bp Consumer Non-Durables 1905 bp 1037 bp 995 bp 1222 bp 1270 bp 1265 bp 1308 bp 1146 bp 1172 bp 1158 bp 1340 bp Energy 1618 bp 475 bp 528 bp 913 bp 917 bp 760 bp 790 bp 630 bp 616 bp 592 bp 575 bp Financial 1176 bp 516 bp 407 bp 510 bp 509 bp 460 bp 485 bp 523 bp 535 bp 542 bp 539 bp Food And Drug 2076 bp 717 bp 685 bp 823 bp 739 bp 615 bp 495 bp 470 bp 433 bp 426 bp 412 bp Food/Tobacco 1702 bp 730 bp 435 bp 529 bp 559 bp 635 bp 668 bp 633 bp 633 bp 630 bp 632 bp Forest Prod/Containers 2250 bp 713 bp 560 bp 639 bp 636 bp 596 bp 637 bp 626 bp 611 bp 602 bp 584 bp Gaming/Leisure 2993 bp 931 bp 854 bp 821 bp 876 bp 659 bp 667 bp 623 bp 655 bp 671 bp 654 bp Healthcare 1395 bp 532 bp 487 bp 526 bp 522 bp 482 bp 493 bp 483 bp 478 bp 475 bp 483 bp Housing 3652 bp 1219 bp 1023 bp 1105 bp 1475 bp 1286 bp 1198 bp 1325 bp 1243 bp 1186 bp 1190 bp Information Technology 2499 bp 854 bp 717 bp 941 bp 939 bp 662 bp 682 bp 608 bp 616 bp 613 bp 609 bp Manufacturing 2161 bp 1049 bp 598 bp 930 bp 876 bp 641 bp 624 bp 580 bp 597 bp 586 bp 595 bp Media/Telecommunications 1738 bp 664 bp 709 bp 1020 bp 968 bp 845 bp 865 bp 790 bp 754 bp 627 bp 603 bp Broadcasting 3414 bp 1017 bp 591 bp 1062 bp 974 bp 716 bp 781 bp 560 bp 541 bp 538 bp 498 bp Cable/Wireless Video 1452 bp 498 bp 502 bp 623 bp 544 bp 471 bp 503 bp 461 bp 438 bp 428 bp 422 bp Telecommunications 1049 bp 407 bp 534 bp 1069 bp 1358 bp 1105 bp 897 bp 998 bp 901 bp 801 bp 699 bp Wireless Communications 1996 bp 888 bp 778 bp 1016 bp 835 bp 675 bp 758 bp 577 bp 496 bp 445 bp 420 bp Diversified Media 2283 bp 848 bp 1120 bp 1479 bp 1421 bp 1253 bp 1311 bp 1272 bp 1297 bp 934 bp 907 bp Metals/Minerals 1290 bp 537 bp 0 bp 0 bp 0 bp 0 bp 977 bp 957 bp 913 bp 894 bp 894 bp Retail 2960 bp 1058 bp 687 bp 1050 bp 1223 bp 1039 bp 1168 bp 1097 bp 1143 bp 1137 bp 1127 bp Service 2230 bp 756 bp 551 bp 826 bp 801 bp 705 bp 774 bp 666 bp 695 bp 681 bp 705 bp Transportation 3555 bp 1789 bp 1306 bp 729 bp 791 bp 698 bp 696 bp 687 bp 716 bp 714 bp 703 bp Automotive 3828 bp 1936 bp 1333 bp 484 bp 469 bp 448 bp 479 bp 440 bp 454 bp 465 bp 469 bp Land Transportation 2962 bp 1365 bp 1232 bp 1081 bp 1257 bp 1160 bp 1093 bp 1118 bp 1112 bp 1092 bp 1060 bp Shipping 0 bp 0 bp 0 bp 730 bp 1570 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp Utility 1120 bp 1026 bp 853 bp 944 bp 1221 bp 843 bp 526 bp 640 bp 451 bp 451 bp 433 bp Credit Suisse WE Leveraged Loan Index 1973 bp 756 bp 625 bp 825 bp 836 bp 735 bp 746 bp 705 bp 697 bp 660 bp 656 bp Exhibit 215: Credit Suisse Western European Leveraged Loan Index Discount Margin (3-year life) Tighten (Widen) by Industry Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Aerospace 1576 bp 273 bp (171) bp (10) bp (151) bp 168 bp 3 bp (42) bp 4 bp 8 bp 11 bp 23 bp 153 bp Chemicals 1480 bp 389 bp (210) bp 68 bp (60) bp 85 bp (97) bp 48 bp 23 bp (7) bp (7) bp 9 bp 46 bp Consumer Durables 952 bp 665 bp (644) bp 632 bp 52 bp 60 bp 101 bp 12 bp 18 bp (10) bp 2 bp 11 bp 183 bp Consumer Non-Durables 868 bp 43 bp (95) bp (48) bp (276) bp 5 bp (43) bp 162 bp (26) bp 14 bp (183) bp (194) bp (70) bp Energy 1143 bp (53) bp (323) bp (4) bp (389) bp 157 bp (30) bp 160 bp 14 bp 24 bp 17 bp 55 bp 342 bp Financial 660 bp 109 bp (112) bp 1 bp (102) bp 49 bp (25) bp (38) bp (12) bp (7) bp 3 bp (16) bp (30) bp Food And Drug 1360 bp 32 bp (262) bp 84 bp (54) bp 124 bp 119 bp 25 bp 37 bp 7 bp 14 bp 58 bp 326 bp Food/Tobacco 972 bp 295 bp (100) bp (30) bp (123) bp (76) bp (33) bp 35 bp 0 bp 3 bp (2) bp 1 bp (73) bp Forest Prod/Containers 1537 bp 154 bp (159) bp 3 bp (76) bp 40 bp (41) bp 11 bp 15 bp 9 bp 18 bp 42 bp 52 bp Gaming/Leisure 2062 bp 77 bp (185) bp (55) bp (23) bp 217 bp (8) bp 43 bp (31) bp (17) bp 17 bp (31) bp 222 bp Healthcare 863 bp 46 bp (117) bp 4 bp (35) bp 40 bp (12) bp 10 bp 5 bp 3 bp (8) bp (0) bp 39 bp Housing 2433 bp 196 bp (333) bp (370) bp (453) bp 190 bp 87 bp (127) bp 82 bp 57 bp (5) bp 135 bp 285 bp Information Technology 1645 bp 137 bp (315) bp 2 bp (223) bp 278 bp (20) bp 74 bp (8) bp 3 bp 4 bp (1) bp 331 bp Manufacturing 1113 bp 451 bp (358) bp 55 bp (278) bp 234 bp 18 bp 44 bp (17) bp 11 bp (9) bp (16) bp 280 bp Media/Telecommunications 1073 bp (45) bp (313) bp 52 bp (259) bp 123 bp (20) bp 75 bp 37 bp 126 bp 24 bp 187 bp 364 bp Broadcasting 2397 bp 426 bp (456) bp 88 bp (383) bp 258 bp (65) bp 221 bp 19 bp 4 bp 40 bp 62 bp 476 bp Cable/Wireless Video 954 bp (4) bp (170) bp 79 bp (42) bp 73 bp (32) bp 42 bp 23 bp 10 bp 5 bp 38 bp 122 bp Telecommunications 642 bp (127) bp (365) bp (289) bp (824) bp 252 bp 208 bp (101) bp 97 bp 100 bp 102 bp 299 bp 659 bp Wireless Communications 1109 bp 109 bp (334) bp 180 bp (57) bp 160 bp (83) bp 181 bp 80 bp 51 bp 25 bp 156 bp 415 bp Diversified Media 1435 bp (272) bp (369) bp 58 bp (300) bp 167 bp (58) bp 39 bp (25) bp 363 bp 27 bp 365 bp 513 bp Metals/Minerals 752 bp 537 bp 0 bp 0 bp 0 bp 0 bp (977) bp 19 bp 44 bp 19 bp (0) bp 63 bp (894) bp Retail 1902 bp 371 bp (398) bp (173) bp (537) bp 184 bp (129) bp 71 bp (46) bp 6 bp 10 bp (30) bp 96 bp Service 1475 bp 204 bp (277) bp 25 bp (249) bp 95 bp (68) bp 108 bp (29) bp 13 bp (24) bp (39) bp 95 bp Transportation 1766 bp 483 bp (39) bp (62) bp 514 bp 94 bp 1 bp 9 bp (30) bp 2 bp 11 bp (17) bp 88 bp Automotive 1893 bp 603 bp (13) bp 15 bp 864 bp 21 bp (31) bp 39 bp (14) bp (11) bp (4) bp (29) bp 0 bp Land Transportation 1597 bp 132 bp (150) bp (176) bp (25) bp 97 bp 67 bp (25) bp 6 bp 19 bp 32 bp 57 bp 197 bp Shipping 0 bp 0 bp 87 bp (840) bp (1570) bp 1570 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 1570 bp Utility 93 bp 173 bp (283) bp (277) bp (368) bp 378 bp 317 bp (115) bp 190 bp 0 bp 18 bp 208 bp 789 bp Credit Suisse WE Leveraged Loan In 1217 bp 131 bp (241) bp (10) bp (211) bp 101 bp (12) bp 42 bp 7 bp 37 bp 4 bp 49 bp 180 bp 2013 Leveraged Finance Outlook and 2012 Annual Review 99

100 Exhibit 216: Credit Suisse Western European Leveraged Loan Index - Returns by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q YTD (1) BB 36.25% 6.67% -2.78% 2.07% 1.73% 2.98% 0.05% 2.23% 0.71% 0.66% 1.21% 2.61% 8.08% 8.08% B 43.75% 3.17% -6.37% 2.04% 0.33% 5.64% 1.12% 3.15% -0.32% 0.39% 0.64% 0.71% 10.96% 10.96% CCC/Split CCC 89.56% 20.66% % % % 11.84% -4.01% -0.88% 4.80% 2.14% 0.78% 7.89% 14.81% 14.81% Not Rated 49.24% 10.26% -6.46% 1.02% -0.96% 4.62% 0.61% 2.86% 0.64% 0.68% 0.78% 2.11% 10.57% 10.57% Distressed (CC, C and Default) 49.24% 8.93% -5.44% -7.31% % 11.00% 3.93% % 0.49% 7.27% 4.79% 12.96% 14.46% 14.46% Upper Tier 33.20% 6.76% -2.54% 2.00% 1.98% 2.82% 0.09% 2.19% 0.64% 0.63% 1.01% 2.30% 7.58% 7.58% Middle Tier 42.22% 4.22% -5.74% 2.34% 0.73% 5.29% 1.20% 3.01% -0.15% 0.42% 0.63% 0.90% 10.75% 10.75% Lower Tier 89.12% 12.88% % % % 11.15% 3.61% % 0.97% 6.44% 4.16% 11.95% 14.22% 14.22% Cyclical 58.36% 13.95% -6.10% 0.41% -0.56% 5.06% 1.19% 1.61% 0.51% 0.59% 0.66% 1.77% 9.94% 9.94% Defensive 43.89% 5.95% -5.72% 1.57% -0.61% 4.46% 0.42% 3.27% 0.47% 0.73% 0.93% 2.15% 10.66% 10.66% Less than L % 5.09% 0.00% 0.00% 1.18% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% L+125 to L % 6.82% -5.34% 0.32% -0.57% 3.84% 0.87% 1.83% 0.69% 0.51% 0.68% 1.90% 8.68% 8.68% L+225 and Higher 48.70% 9.12% -6.00% 1.32% -0.65% 4.87% 0.70% 2.75% 0.46% 0.70% 0.84% 2.01% 10.68% 10.68% Up to and including % 17.26% % -5.22% % 9.20% -1.82% -7.93% -5.58% 2.40% 3.34% -0.08% -1.37% -1.37% Over 60 up to and including % 19.73% % 0.04% -4.25% 9.29% 1.91% 7.29% 0.32% 0.99% 0.53% 1.85% 21.72% 21.72% Over 80 up to and including % 11.42% -8.91% 0.69% 0.72% 6.30% -0.03% 4.98% 0.18% 0.60% 1.36% 2.15% 13.95% 13.95% Up to and including % 14.57% % -0.13% -3.81% 7.61% 0.35% 4.00% -0.51% 0.99% 1.34% 1.82% 14.35% 14.35% Over % 5.00% -3.83% 1.79% 1.02% 3.02% 0.88% 2.11% 0.80% 0.59% 0.67% 2.08% 8.33% 8.33% 0MM to 100MM 24.75% 16.16% -5.27% 0.67% 2.33% 2.73% 1.54% 1.65% 0.41% -0.18% 0.57% 0.80% 6.88% 6.88% 101MM to 200MM 38.48% 11.43% -6.16% 0.18% -1.08% 4.81% 1.08% 1.74% 0.54% 0.72% 0.68% 1.96% 9.90% 9.90% 201MM to 300MM 43.70% 9.21% -5.15% 0.46% 0.35% 4.53% 0.61% 2.58% 1.01% 0.34% 0.86% 2.22% 10.29% 10.29% 301MM and Over 50.64% 7.25% -6.05% 1.48% -1.14% 4.93% 0.59% 2.90% 0.40% 0.80% 0.86% 2.07% 10.87% 10.87% First Lien 44.75% 7.71% -5.65% 1.25% -0.34% 4.49% 0.69% 2.47% 0.44% 0.66% 0.78% 1.89% 9.85% 9.85% Second Lien 94.22% 19.51% -8.30% 0.17% -2.11% 7.23% 1.22% 5.04% 1.21% 0.83% 1.48% 3.56% 18.06% 18.06% Third Lien 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Unsecured 13.18% 7.08% -9.54% -9.82% % 7.32% 1.21% 3.97% -0.16% 0.69% 0.45% 0.99% 14.05% 14.05% Credit Suisse WE Lev Loan Index 47.24% 8.53% -5.89% 1.13% -0.65% 4.69% 0.73% 2.64% 0.49% 0.67% 0.82% 1.99% 10.39% 10.39% (1) As of 12/31/12 (2) Returns hedged to Euro (3) Not-rated loans are included when the coupon spread is greater than L+125bps Exhibit 217: Credit Suisse Western European Leveraged Loan Index Discount Margin (3-year life) by Sector 12/31/ /31/ /31/2010 9/30/ /30/2011 3/30/2012 6/29/2012 9/28/ /31/ /30/ /31/2012 Split BBB 721 bp 269 bp 230 bp 374 bp 328 bp 320 bp 357 bp 333 bp 331 bp 325 bp 325 bp BB 1664 bp 438 bp 431 bp 574 bp 514 bp 482 bp 521 bp 489 bp 483 bp 471 bp 446 bp Split BB 1298 bp 459 bp 417 bp 472 bp 412 bp 427 bp 534 bp 509 bp 533 bp 525 bp 525 bp B 1963 bp 613 bp 751 bp 887 bp 840 bp 714 bp 758 bp 697 bp 704 bp 529 bp 520 bp Split B 3058 bp 827 bp 704 bp 1010 bp 1428 bp 691 bp 1343 bp 1474 bp 1368 bp 1478 bp 1480 bp CCC/Split CCC 2484 bp 666 bp 912 bp 2756 bp 2105 bp 1693 bp 2996 bp 1847 bp 4717 bp 3038 bp 3040 bp Not Rated 2154 bp 900 bp 647 bp 867 bp 891 bp 783 bp 810 bp 767 bp 757 bp 749 bp 752 bp Distressed (CC, C and Default) 0 bp 430 bp 416 bp 0 bp 9999 bp 9999 bp 0 bp 0 bp 0 bp 0 bp 0 bp Upper Tier 1541 bp 426 bp 389 bp 552 bp 496 bp 468 bp 508 bp 479 bp 452 bp 441 bp 421 bp Middle Tier 1706 bp 578 bp 700 bp 821 bp 775 bp 683 bp 728 bp 675 bp 679 bp 535 bp 528 bp Lower Tier 2484 bp 659 bp 862 bp 2756 bp 2173 bp 1773 bp 2996 bp 1847 bp 4717 bp 3038 bp 3040 bp Up to and including bp 1101 bp 1118 bp 1315 bp 1342 bp 1251 bp 1303 bp 1336 bp 1450 bp 1420 bp 1326 bp Over bp 434 bp 420 bp 521 bp 465 bp 455 bp 480 bp 469 bp 458 bp 457 bp 452 bp Cyclical 2365 bp 947 bp 667 bp 842 bp 890 bp 743 bp 758 bp 749 bp 757 bp 757 bp 758 bp Defensive 1762 bp 670 bp 607 bp 814 bp 802 bp 729 bp 738 bp 677 bp 659 bp 599 bp 590 bp Less than L bp 0 bp 179 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp L+125 to L bp 577 bp 451 bp 645 bp 640 bp 632 bp 611 bp 554 bp 534 bp 522 bp 551 bp L+225 and Higher 2131 bp 824 bp 684 bp 867 bp 881 bp 754 bp 765 bp 725 bp 720 bp 679 bp 669 bp $0MM to $100MM 2153 bp 1139 bp 833 bp 951 bp 986 bp 856 bp 866 bp 878 bp 888 bp 914 bp 893 bp $101MM to $200MM 2130 bp 991 bp 744 bp 882 bp 898 bp 788 bp 780 bp 747 bp 741 bp 724 bp 714 bp $201MM to $300MM 2009 bp 752 bp 605 bp 767 bp 796 bp 682 bp 740 bp 753 bp 739 bp 734 bp 741 bp $301MM and Over 1927 bp 688 bp 585 bp 811 bp 814 bp 720 bp 728 bp 670 bp 660 bp 612 bp 607 bp First Lien 1881 bp 717 bp 596 bp 786 bp 796 bp 710 bp 723 bp 689 bp 683 bp 645 bp 643 bp Second Lien 3544 bp 1316 bp 1053 bp 1229 bp 1319 bp 994 bp 1043 bp 855 bp 825 bp 814 bp 769 bp Third Lien 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp Unsecured 1056 bp 398 bp 391 bp 1526 bp 1491 bp 1484 bp 1252 bp 1546 bp 1503 bp 1491 bp 1486 bp Credit Suisse WE Leveraged Loan Index 1973 bp 756 bp 625 bp 825 bp 836 bp 735 bp 746 bp 705 bp 697 bp 660 bp 656 bp (1) Upper Tier: Split BBB and BB; (2) Middle Tier: Split BB, B and Split B (3) Lower Tier: CCC/Split CCC and Default Leveraged Finance Outlook and 2012 Annual Review

101 Exhibit 218: Credit Suisse Western European Leveraged Loan Index Discount Margin (3-year life) Tighten (Widen) by Sector Q11 4Q Q12 2Q12 3Q12 Oct-12 Nov-12 Dec-12 4Q Split BBB 451 bp 39 bp (52) bp 46 bp (98) bp 8 bp (37) bp 24 bp 2 bp 5 bp 0 bp 8 bp 3 bp BB 1226 bp 6 bp (154) bp 60 bp (83) bp 32 bp (39) bp 31 bp 6 bp 13 bp 25 bp 43 bp 68 bp Split BB 840 bp 42 bp (116) bp 60 bp 5 bp (15) bp (106) bp 25 bp (24) bp 7 bp 0 bp (16) bp (113) bp B 1350 bp (137) bp (235) bp 47 bp (89) bp 126 bp (44) bp 61 bp (7) bp 175 bp 9 bp 177 bp 320 bp Split B 2232 bp 123 bp (311) bp (418) bp (723) bp 737 bp (653) bp (131) bp 106 bp (110) bp (2) bp (6) bp (53) bp CCC/Split CCC 1817 bp (246) bp (1440) bp 651 bp (1192) bp 412 bp (1303) bp 1149 bp (2870) bp 1678 bp (1) bp (1193) bp (935) bp Not Rated 1255 bp 252 bp (271) bp (24) bp (243) bp 108 bp (27) bp 43 bp 10 bp 8 bp (3) bp 15 bp 139 bp Upper Tier 1114 bp 37 bp (143) bp 56 bp (107) bp 29 bp (40) bp 29 bp 26 bp 11 bp 20 bp 58 bp 76 bp Middle Tier 1128 bp (123) bp (201) bp 46 bp (75) bp 92 bp (46) bp 54 bp (4) bp 144 bp 7 bp 147 bp 248 bp Lower Tier 1824 bp (202) bp (1440) bp 582 bp (1312) bp 400 bp (1223) bp 1149 bp (2870) bp 1678 bp (1) bp (1193) bp (866) bp Up to and including bp (17) bp (206) bp (27) bp (224) bp 91 bp (52) bp (33) bp (114) bp 30 bp 94 bp 10 bp 16 bp Over bp 15 bp (66) bp 56 bp (45) bp 10 bp (25) bp 11 bp 11 bp 1 bp 5 bp 17 bp 13 bp Cyclical 1418 bp 280 bp (253) bp (48) bp (224) bp 148 bp (16) bp 9 bp (8) bp 1 bp (2) bp (9) bp 132 bp Defensive 1093 bp 62 bp (233) bp 13 bp (194) bp 73 bp (9) bp 61 bp 18 bp 60 bp 9 bp 87 bp 212 bp Less than L bp (179) bp 0 bp 0 bp 179 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp L+125 to L bp 126 bp (215) bp 6 bp (189) bp 7 bp 22 bp 56 bp 20 bp 12 bp (29) bp 3 bp 88 bp L+225 and Higher 1307 bp 140 bp (243) bp (14) bp (197) bp 127 bp (11) bp 40 bp 5 bp 41 bp 10 bp 56 bp 212 bp $0MM to $100MM 1014 bp 306 bp (199) bp (35) bp (153) bp 130 bp (10) bp (11) bp (10) bp (26) bp 20 bp (16) bp 93 bp $101MM to $200MM 1138 bp 247 bp (245) bp (16) bp (154) bp 110 bp 8 bp 33 bp 6 bp 18 bp 9 bp 32 bp 184 bp $201MM to $300MM 1257 bp 147 bp (210) bp (29) bp (191) bp 114 bp (58) bp (13) bp 14 bp 5 bp (7) bp 11 bp 55 bp $301MM and Over 1240 bp 102 bp (253) bp (3) bp (229) bp 94 bp (8) bp 58 bp 9 bp 48 bp 5 bp 62 bp 207 bp First Lien 1164 bp 120 bp (235) bp (10) bp (199) bp 86 bp (13) bp 33 bp 6 bp 39 bp 2 bp 46 bp 153 bp Second Lien 2227 bp 264 bp (303) bp (91) bp (267) bp 326 bp (49) bp 188 bp 29 bp 11 bp 45 bp 86 bp 551 bp Third Lien 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp 0 bp Unsecured 658 bp 7 bp (96) bp 34 bp (1100) bp 7 bp 233 bp (294) bp 43 bp 13 bp 4 bp 60 bp 5 bp Credit Suisse WE Leveraged Loan Index 1217 bp 131 bp (241) bp (10) bp (211) bp 101 bp (12) bp 42 bp 7 bp 37 bp 4 bp 49 bp 180 bp (2) Upper Tier: Split BBB and BB; (3) Middle Tier: Split BB, B and Split B (4) Lower Tier: CCC/Split CCC and Default Exhibit 219: Credit Suisse Western European Leveraged Loan Index - Average Price vs. Price Volatility by Industry: December 31, Chemicals Utility Healthcare Automotive Aerospace Food/Tobacco Cable/Wireless Video Financial Gaming/Leisure Forest Prod/Containers Food And Drug Information Technology Manufacturing Energy Service Telecommunications Wireless Communications Broadcasting Average Price Land Transportation Consumer Non-Durables Diversified Media Retail Consumer Durables Month Price Volatility Housing 2013 Leveraged Finance Outlook and 2012 Annual Review 101

102 Exhibit 220: Credit Suisse Western European Leveraged Loan Index - Current Yield vs. Price Volatility by Industry: December 31, % 5.5% 5.0% Current Yield 4.5% 4.0% 3.5% 3.0% 2.5% Consumer Non-Durables Gaming/Leisure Chemicals Diversified Media Automotive Service Financial Manufacturing Utility Food/Tobacco Healthcare Forest Prod/Containers Cable/Wireless Video Food And Drug Aerospace Land Transportation Energy Information Technology Retail Housing Telecommunications Consumer Durables Broadcasting Wireless Communications 2.0% Month Price Volatility Exhibit 221: Credit Suisse Western European Leveraged Loan Index - Total Return by Industry: % 18.56% 15.00% 10.00% 5.00% 0.00% -5.00% 13.36%13.05%13.05% 12.20%10.49%10.39%10.27% 9.94% 9.79% 9.06% 8.50% 7.72% 7.51% 7.13% 6.42% 5.25% 3.94% 1.04% -2.01% (Returns hedged to euro) Exhibit 222: Credit Suisse Western European Leveraged Loan Index Total Return by Industry Type: % 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 13.36% 10.66% 10.39% Energy Defensive Credit Suisse WE Lev Loan Index 9.94% Cyclical (Returns hedged to euro) Leveraged Finance Outlook and 2012 Annual Review

103 Exhibit 223: Credit Suisse Western European Leveraged Loan Index - Total Return by Spread: % 10.00% 8.00% 8.68% 10.68% 10.39% 6.00% 4.00% 2.00% 0.00% L+125 to L+224 L+225 and Higher Credit Suisse WE Lev Loan Index (Returns hedged to euro) Exhibit 224: Credit Suisse Western European Leveraged Loan Index - Total Return by Seniority: December % 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% 0.78% 1.48% 0.45% 0.82% First Lien Second Lien Unsecured Credit Suisse WE Lev Loan Index Exhibit 225: Credit Suisse Western European Leveraged Loan Index - Total Return by Seniority: % 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 9.85% 18.06% 14.05% 10.39% First Lien Second Lien Unsecured Credit Suisse WE Lev Loan Index (Returns hedged to euro) 2013 Leveraged Finance Outlook and 2012 Annual Review 103

104 Exhibit 226: Best & Worst Performers by Total Return: Credit Suisse Western European Leveraged Loan Index, 4Q12 Best Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Return Stabilus EUR TLb 4/8/ NR NR NR MANUFACTURING 27.40% Orange Austria EUR TLd 7/3/ NR NR NR MEDIA/TELECOM 22.35% Cortefiel EUR TLa 3/20/ NR NR NR RETAIL 20.57% Thomas Cook GBP TLa 5/31/ NR NR NR SERVICE 18.42% Cortefiel EUR TLb 5/20/ NR NR NR RETAIL 16.66% Wind Telecommunicazioni EUR TLa 12/1/ NR BB- BB MEDIA/TELECOM 14.72% McCarthy & Stone GBP TLa 4/24/ NR NR NR HOUSING 13.14% Gecina EUR TLb 4/20/ NR NR NR HOUSING 12.77% PagesJaunes Groupe EUR TLb 10/12/ NR NR NR MEDIA/TELECOM 12.32% PagesJaunes Groupe EUR TLc 2/19/ NR NR NR MEDIA/TELECOM 12.04% Worst Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Return Catalpa EUR TLb 8/16/ NR NR NR SERVICE % Basler EUR TLb 12/5/ NR NR NR CONSUMER NON-DURABLES % Catalpa EUR TLa 8/16/ NR NR NR SERVICE % Orizonia EUR TLb 7/26/ NR NR NR SERVICE % Orizonia EUR TLb 8/29/ NR NR NR SERVICE % Partouche EUR TLb 10/31/ NR NR NR GAMING/LEISURE % Partouche EUR TLc 10/31/ NR NR NR GAMING/LEISURE % Yell Group EUR TLa 4/30/ NR B Default MEDIA/TELECOM % Hilding Anders EUR TLd 11/1/ NR NR NR CONSUMER DURABLES % Yell Group GBP TLa 4/30/ NR B Default MEDIA/TELECOM % Exhibit 227: Best & Worst Performers by Total Return: Credit Suisse Western European Leveraged Loan Index, 2H12 Best Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Return Cortefiel EUR TLb 5/20/ NR NR NR RETAIL 55.02% Cortefiel EUR TLa 3/20/ NR NR NR RETAIL 53.01% Wolters Kluw er Education EUR TLd 12/28/ NR NR NR MEDIA/TELECOM 35.42% Orange Austria EUR TLd 7/3/ NR NR NR MEDIA/TELECOM 32.14% Autodistribution EUR TLb 4/22/ NR B+ B TRANSPORTATION 29.34% Stabilus EUR TLb 4/8/ NR NR NR MANUFACTURING 28.46% Lavena EUR TLd 12/28/ NR NR NR MEDIA/TELECOM 26.96% MACH Dan Net EUR TLd 10/20/ NR NR NR SERVICE 26.25% Truvo Group EUR TLa 6/1/ NR CCC+ CCC/Split CCC MEDIA/TELECOM 24.09% Applus EUR TLd 6/12/ NR NR NR SERVICE 22.93% Worst Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Return Orizonia EUR TLb 7/26/ NR NR NR SERVICE % Orizonia EUR TLb 8/29/ NR NR NR SERVICE % Catalpa EUR TLb 8/16/ NR NR NR SERVICE % Consolis EUR TLd 7/29/ NR NR NR HOUSING % Groupe Moniteur EUR TLd 1/26/ NR NR NR MEDIA/TELECOM % Martinsa Fadesa EUR TLb 5/6/ NR NR Default HOUSING % Consolis EUR TLa 4/3/ NR NR NR HOUSING % Consolis EUR TLb 1/30/ NR NR NR HOUSING % Consolis EUR TLb 4/3/ NR NR NR HOUSING % Consolis EUR TLc 4/1/ NR NR NR HOUSING % Leveraged Finance Outlook and 2012 Annual Review

105 Exhibit 228: Best & Worst Performers by Total Return: Credit Suisse Western European Leveraged Loan Index, 2012 Best Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Re turn Tele Columbus Group EUR TLd 12/31/ NR NR NR MEDIA/TELECOM % Kion EUR TLd 9/2/ NR NR NR MANUFACTURING 77.61% TSL Education GBP TLb 5/20/ NR NR NR MEDIA/TELECOM 67.41% Lavena EUR TLd 12/28/ NR NR NR MEDIA/TELECOM 57.56% European Directories EUR TL 12/10/ NR NR NR MEDIA/TELECOM 45.81% Takko Modemarkt EUR TLb 2/23/ NR NR NR RETAIL 43.97% TSL Education GBP TLd 12/2/ NR NR NR MEDIA/TELECOM 43.01% Bodybell Perfumerias EUR TLb 5/18/ NR NR Default RETAIL 41.41% Bodybell Perfumerias EUR TLc 5/18/ NR NR Default RETAIL 40.59% Takko Modemarkt EUR TLa 2/23/ NR NR NR RETAIL 40.23% Worst Performers Issuer Currency Facility Maturity Amount Spread Moodys SP Rating Industry Total Re turn Orizonia EUR TLb 7/26/ NR NR NR SERVICE % Orizonia EUR TLb 8/29/ NR NR NR SERVICE % Catalpa EUR TLb 8/16/ NR NR NR SERVICE % Levantina EUR TLb 5/4/ NR NR NR HOUSING % Levantina EUR TLc 5/5/ NR NR NR HOUSING % Groupe Moniteur EUR TLd 1/26/ NR NR NR MEDIA/TELECOM % Consolis EUR TLd 7/29/ NR NR NR HOUSING % Alliance Medical GBP TLb 2/16/ NR NR NR HEALTHCARE % Biffa GBP TLa 2/6/ NR NR NR SERVICE % La Seda Barcelona EUR TLa 8/11/ NR NR NR FOREST PROD/CONTAINERS % 2013 Leveraged Finance Outlook and 2012 Annual Review 105

106 Leveraged Finance Outlook and 2012 Annual Review

107 Leveraged Equity Performance Review Exhibit 229: Summary Profile of the Credit Suisse Leveraged Equity Index: December 31, 2012 Average Average Average Average Average Number Value Cumulative Bond Stock Capitalization Revenue Total Debt of Issues ($MM) Total Return Total Return Rating Price ($MM) ($MM) ($MM) 12/31/ /31/2012 Dec /31/12* 12/31/ /31/ /31/ /31/ ,074, % 20.67% Split BB ,475 4,519 3,916 * Lowest rating of the issuer's bonds Exhibit 230: Credit Suisse Leveraged Equity Index Summary by Industry: December 31, 2012 Average Average Average Average Average Number Market Cumulative Bond Stock Capitalization Revenue Total Debt of Issues Weight Total Return Rating Price ($MM) ($MM) ($MM) Industry 12/31/ /31/ /31/12* 12/31/ /31/ /31/ /31/2012 Aerospace % 21.09% Split BB ,055 9,031 3,730 Chemicals % 54.92% BB ,369 6,144 1,471 Consumer Durables % 46.93% Split BB ,292 1, Consumer Non-Durables % 32.90% Split BB ,642 2,579 1,056 Energy % -0.04% Split BB ,998 2,067 1,769 Financial % 40.65% BB ,321 4,736 22,085 Food and Drug % % Split B ,790 2,987 Food/Tobacco % 16.35% Split BB ,873 5,382 1,384 Forest Prod/Containers % 21.29% BB ,634 3,849 1,760 Gaming/Leisure % 29.96% BB ,261 2,820 3,786 Healthcare % 20.72% Split BB ,272 4,253 2,716 Housing % 65.06% BB ,616 2,859 2,660 Information Technology % 36.91% Split BB ,327 3,550 1,521 Manufacturing % 29.71% Split BB ,273 4,212 1,821 Media/Telecom % 28.41% Split BB ,060 3,320 3,619 Metals/Minerals % -8.43% Split BB ,238 6,367 2,865 Retail % 25.62% BB ,923 11,234 2,401 Service % 25.32% Split BB ,425 2,418 2,412 Transportation % 21.46% BB ,760 10,407 5,109 Utility % -3.10% BB ,019 8,383 10,413 Total % 20.67% Split BB ,475 4,519 3,916 * Lowest rating of the issuer's bonds 2013 Leveraged Finance Outlook and 2012 Annual Review 107

108 Exhibit 231: Credit Suisse Leveraged Equity Index Total Returns by Industry: % 60% 50% 40% 30% 20% 10% 0% -10% -20% -30% 65.06% 54.92% 46.93% 40.65% 36.91%32.90%29.96%29.71%28.41% 25.62%25.32% 21.46%21.29%21.09%20.72%20.67%16.35% -0.04% -3.10% -8.43% % Exhibit 232: Credit Suisse Leveraged Equity Index Summary by Rating: December 31, 2012 Total Market Average Average Average Average Average Number Market Cumulative Revenue Capitalization Stock Total Debt Total of Issues Weight Total Return Total Return ($MM) ($MM) Price ($MM) Debt/ Bond Rating* 12/31/ /31/2012 Dec /31/ /31/ /31/ /31/2012 Capitalization Split BBB % 1.70% 21.84% 10,534 9, , BB % 3.95% 19.21% 6,414 5, , Split BB % 3.73% 14.15% 3,137 3, , Split BB and Higher % 3.32% 18.71% 5,934 5, , B % 5.04% 30.44% 3,219 2, , Split B % 6.98% 14.93% 2,869 1, , CCC/Split CCC % 12.26% 16.42% 3,547 1, , B to CCC/Split CCC % 5.83% 26.70% 3,205 1, , Not Rated % -1.98% 25.17% 2,149 3, , Default % 32.74% 27.68% 6, , *Lowest rating of the issuer's bonds Exhibit 233: Credit Suisse Leveraged Equity Index Equity Market Value: December 31, 2012 By Industry By Rating Consumer Durables 0.2% Chemicals 5.1% Consumer Non- Durables 2.1% Energy 11.4% Financial 4.6% CCC/Split CCC 2.1% Split B 2.8% Not Rated 1.7% Default 0.0% Split BBB 18.7% Aerospace 2.1% Utility 10.3% Transportation 4.8% Service 1.9% Retail 4.2% Food and Drug 1.6% Food/Tobacco 2.7% Forest Prod/Containers 1.9% Gaming/Leisure 8.6% Healthcare 8.5% Housing 3.5% B 20.1% Split BB 14.4% BB 40.2% Metals/Minerals 5.6% Media/Telecom 10.8% Manufacturing Information 2.2% Technology 8.0% Leveraged Finance Outlook and 2012 Annual Review

109 Relative Value of Leveraged Finance Assets For 2012, the CS High Yield Index returned 14.71%, the CS Leveraged Loan index returned 9.43%, and the S&P 500 returned 16.00%. REITs and EM bonds were the best performers of the major asset classes that we follow. Exhibit 234: Risk/Reward Characteristics of Various Assets: % 20% FTSE NAREIT All REITs JPM Emerging Markets MSCI EAFE YTD Return 15% Credit Suisse High Yield Index S&P 500 Russell % ML Corp Credit Suisse Leveraged Loan Index Gold 5% Barcap Agg Bd Barcap AAA Corp ML ABS Master ML Mortgage U.S. IT Gvt US Inflation U.S. LT Gvt 0% U.S. 30 Day TBill 0% 5% 10% 15% 20% 25% YTD Volatility, the BLOOMBERG PROFESSIONAL service, Datastream Exhibit 235: Risk/Reward Characteristics of Various Assets: 2006 December % 18% Gold 16% Annualized Return 14% 12% 10% 8% 6% 4% 2% U.S. LT Gvt U.S. IT Gvt ML Corp ML Mortgage Barcap Agg Bd Credit Suisse Leveraged Barcap AAA Corp Loan Index ML ABS Master US Inflation U.S. 30 Day TBill JPM Emerging Markets Credit Suisse High Yield Index S&P 500 Russell 2000 MSCI EAFE FTSE NAREIT All REITs 0% 0% 5% 10% 15% 20% 25% 30% 35% Annualized Return Volatility, the BLOOMBERG PROFESSIONAL service, Datastream 2013 Leveraged Finance Outlook and 2012 Annual Review 109

110 Relative Value: High Yield vs. Equities Fixed income has outperformed with smaller drawdowns than equities since just before the crisis began at the beginning of Exhibit 236: Cumulative Returns of Bonds, Loans and Equities: 12/29/ /31/ % Total Return Since 12/31/ % 30% 10% -10% -30% CS High Yield Index BarCap Agg Bond CS Leveraged Loan Index S&P % 12/29/06 12/29/08 12/29/10 12/29/12, the BLOOMBERG PROFESSIONAL service Since the beginning of 2010, high yield and the S&P 500 have virtually identical returns. The HY coupon has dampened volatility significantly relative to equities while supporting competitive total returns. The lower risk indices, leveraged loans and the BarCap Aggregate Bond Index, also have nearly identical returns over this timespan. However, the paths taken are quite different as each tends to outperform while the other underperforms. This alternation makes sense, since the Agg Bond has lower credit risk but higher interest rate risk, while loans have low rate risk but higher credit risk. Exhibit 237: Cumulative Returns of Bonds, Loans and Equities: 12/31/ /31/ % Total Return Since 12/31/ % 30% 25% 20% 15% 10% 5% 0% -5% CS High Yield Index S&P 500 CS Leveraged Loan Index BarCap Agg Bond -10%, the BLOOMBERG PROFESSIONAL service Leveraged Finance Outlook and 2012 Annual Review

111 We examine the strong correlation between high yield and the S&P 500 in the next exhibit, comparing the S&P 500 Total Return Index, which includes dividends, and the CS High Yield Index, which includes both price change and coupon. (The commonly referenced S&P 500 index is not a total return index since it excludes dividends.) Exhibit 238: S&P 500 Total Return Index versus CS High Yield Index: 12/29/ /31/ Dec 31st CS High Yield Index Value R² = 0.91 Jul 31st Apr 30th S&P 500 Total Return Index Value, the BLOOMBERG PROFESSIONAL service Exhibit 239: High Yield and Leveraged Loan 30-Day Price Volatility, Aug 2008 December % 30-day Return Volatility 20% 15% 10% 11.91% S&P day Return Volatility HY 30-day Return Volatility 5% 0% Aug-08 Oct-08 Dec-08 Feb-09 Apr-09 Jun-09 Aug-09 Oct-09 Dec-09 Feb-10 Apr-10 Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec % 0.41% LL 30-day Return Volatility, the BLOOMBERG PROFESSIONAL service 2013 Leveraged Finance Outlook and 2012 Annual Review 111

112 Relative Value: High Yield and Leveraged Loan Yields versus Returns High yield bond yields are strongly correlated with future total returns, which is an expected result since yields are an estimate of future IRRs. In the next exhibit, we compare yields and the actual future returns earned over the next five years. We use a five-year period because this is roughly the average duration of high yield over the history of the market. Exhibit 240: CS HY Index Yield vs. Subsequent Five-Year Annualized Returns: Jan 1986 December 2012 HY Index Next 5-Year Annualized Returns 25% 20% 15% 10% 5% 0% -5% Correlation = % 20% 15% 10% 5% 0% HY Index Yield-to-Worst HY Index Next 5-Year Annualized Returns CS HY Index Yield-to-Worst When we examine the yields and returns as scatter-plots, where each dot represents one month, a clear relationship emerges. The graph below has a vertical line illustrating the latest yield, which shows an expected average annual return of approximately 4% over the next five years. However, yields on the low end of the range, where we are today, show a wide variance of return outcomes. Returns following low yields are either well above or well below the regression line because historically the following five years were split between low and high default cycles. So, it's more accurate to expect a range of annual returns between 2% and 6%, depending on the timing of the next recession/default cycle. Exhibit 241: CS HY Index Yield vs. Subsequent Five-Year Annualized Returns: Jan 1986 Dec 2007 Index Next 5-Year Annualized Returns 25% 20% 15% 10% 5% 0% Yield as of 12/31/ % 5/31/07 9/28/07 R² = % 5% 7% 9% 11% 13% 15% 17% 19% 21% Index Yield-to-Worst Leveraged Finance Outlook and 2012 Annual Review

113 When we compare the historical 3-year leveraged loan yield to actual returns earned over the next three years, we don t find a useful relationship because the drivers of loan returns have shifted several times over the past 20 years. (We use three years as the forecasting horizon because this is the long-term average life of a loan.) Exhibit 242: Leveraged Loan 3-Year Yield vs. 3-Year Forward Annualized Total Return: 1992 December Year Yield 20.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Loan 3-Yr Yield 3-Year Forward Annualized Return 20.0% 15.0% 10.0% 5.0% 0.0% -5.0% -10.0% 3-Year Forward Annualized Return 2013 Leveraged Finance Outlook and 2012 Annual Review 113

114 Relative Value: High Yield vs. Leveraged Loans Loan yields (calculated to a three-year refinancing) are 5.93%, 32 bp tighter than high yield bond yields at 6.25%. This is the tightest the two yields have been since 2009 and compares to an average difference of 86 bp since December Exhibit 243: Leveraged Loan Yield versus High Yield Bond Yield 19% 17% 15% Correlation = 0.88 HY Yield-to-Worst CS Lev Loan Index Yield (Assumes 3-yr Refi) 13% 11% 9% 7% 5% Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Yield 12/31/ % 5.93% Leveraged Finance Outlook and 2012 Annual Review

115 Exhibit 244: BB Bond Yield and BB Loan Yield: January December % 14.00% 12.00% BB Yield 10.00% 8.00% 6.00% 4.00% 2.00% HY BB Yield-to- Worst Lev Loan BB Yield-to-3-Years 4.58% 4.22% Since July 2009, there has been a fairly consistent relationship between the relative yields of BB bonds and loans and the subsequent differential in their performance. The current difference of 36 bp is a fairly neutral level. Exhibit 245: BB Bonds BB Loans Yield Difference versus Next Three Months Return Difference: July 2009 September 2012 Next 3 Months Return Difference 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% -2.0% Bonds Outperform Current: 36 bp 8/31/12 44 bp 8/31/11 31 bp 2/29/12 50 bp R² = 0.29 Loans -3.0% Outperform 0 bp 20 bp 40 bp 60 bp 80 bp 100 bp 120 bp 140 bp 160 bp 180 bp 200 bp BB Bonds - BB Loans Yield Difference 2013 Leveraged Finance Outlook and 2012 Annual Review 115

116 If we assume that the market is properly balancing potential principal losses and par gains, then current yield is a good indicator of relative value. The high yield current yield was 7.58% on 12/31/12 and the leveraged loan current yield was 5.16%. This current yield differential between bonds and loans has contracted to 242 bp, continuing the trend started in Exhibit 246: CS HY Index Current Yield vs. Leveraged Loan Index Current Yield : 1992 December 2012 Current Yield Differential 800 bp 700 bp 600 bp 500 bp 400 bp 300 bp 200 bp 100 bp 10/31/ bp 2/27/ bp 12/31/ bp 0 bp 1/31/1992 1/31/1993 1/31/1994 1/31/1995 1/31/1996 1/31/1997 1/31/1998 1/31/1999 1/31/2000 1/31/2001 1/31/2002 1/31/2003 1/31/2004 1/31/2005 1/31/2006 1/31/2007 1/31/2008 1/31/2009 1/31/2010 1/31/2011 1/31/2012 HY Index Current Yield - LL Index Current Yield The high yield bond default loss rate is 4 bp less than the loss rate for leveraged loans over the last year. Exhibit 247: Difference between High Yield Default Loss Rate and Leveraged Loan Default Loss Rate: 1995 December 2012 Default Loss Rate Differential 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 12/31/ % 12/31/ % -2.00% 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 Jan-11 Jan-12 CS High Yield Index default loss rate - CS Leveraged Loan Index default loss rate Leveraged Finance Outlook and 2012 Annual Review

117 Correlations to Other Asset Classes Exhibit 248: 20-Month Rolling Return Correlation of Various Assets with the Credit Suisse High Yield Index 100.0% 80.0% 85.40% Correlation 60.0% 40.0% 20.0% 0.0% -20.0% -40.0% -60.0% -80.0% %, The BLOOMBERG PROFESSIONAL serviceibbotson Associates Treasury Average = 17.0% S&P 500 Average = 54.7% Exhibit 249: 20-Month Rolling Return Correlation of Various Assets with the Credit Suisse Leveraged Loan Index 100.0% 80.0% 81.45% 60.0% Correlation 40.0% 20.0% 0.0% -20.0% -40.0% -60.0% -80.0% 30.20% % %, The BLOOMBERG PROFESSIONAL serviceibbotson Associates Treasury Avg. = % Libor Avg. = -2.02% Credit Suisse High Yield Index Avg. = 51.10% 2013 Leveraged Finance Outlook and 2012 Annual Review 117

118 Exhibit 250: Correlations Between Various Assets: 1980 December 2012 U.S. 30 Day TBill U.S. IT Gvt U.S. LT Gvt ML Mortgage January December 2012 U.S. Intermediate Term Government 0.08 U.S. Long Term Government Merrill Lynch Mortgage Merrill Lynch Corporate Lehman Aggregate Bond Lehman AAA Corporate S&P Russell DJ Wilshire MSCI EAFE Gold U.S. Inflation FTSE NAREIT-All High Yield Bonds * monthly returns, The BLOOMBERG PROFESSIONAL serviceibbotson Associates ML Corp LB US Agg Bd USD LB AAA Corp S&P 500 Russell 2000 DJ Wilshire 5000 MSCI EAFE Gold U.S. Inflation FTSE NAREIT All REITs Exhibit 251: Correlations Between Various Assets: 1992 December 2012 U.S. 30 Day TBill U.S. Govt 5-7 Years U.S. Govt 10+ Years ML Mortgage ML ABS January December 2012 U.S. Intermediate Term Government 0.07 U.S. Long Term Government Merrill Lynch Mortgage Merrill Lynch ABS Merrill Lynch Corporate Barclays US Agg Bd USD Barclays AAA Corp S&P Russell JPM Emerging Markets MSCI EAFE Gold US Inflation FTSE NAREIT All REITs Credit Suisse High Yield Index Credit Suisse Leveraged Loan Index * monthly returns, The BLOOMBERG PROFESSIONAL serviceibbotson Associates ML US Corporate Barc US Agg Bd Barc US Corp Aaa S&P 500 Russell 2000 JPM Emerging Markets MSCI EAFE Gold US Inflation FTSE NAREIT All REITs Credit Suisse HY Index Leveraged Finance Outlook and 2012 Annual Review

119 Exhibit 252: Correlations Between Various Western European Assets: 1998 December 2012 Germany 3-Month Bubill U.K. 1-3 Yr Gov't (GBP) Ger 3-5 Yr Gov't Ger 10+ Yr Gov't UK 10+ Yr Gov't (GBP) January December 2012 UK 1-3 Yr Government (GBP) 0.37 Germany 3-5 Yr Government Germany 10+ Yr Government UK 10+ Yr Government (GBP) Merrill Lynch EMU ABS/MBS ( )** Merrill Lynch EMU Corporates DJ Euro Stoxx FTSE All-Share (GBP) DAX Index Euronext Paris CAC MSCI EAFE TR London Fix Gold PM Eurostat Eurozone Inflation (MUICP) FTSE EPRA Euro Zone REITs CS West. Euro. High Yield Index CS West. Euro. Leveraged Loan Index * monthly returns, all in Euro unless otherwise specified ** Starting Mar 2002, The BLOOMBERG PROFESSIONAL service, Ibbotson Associates ML EMU ABS/MBS ML EMU Corporates DJ Euro Stoxx 50 FTSE All-Share (GBP) DAX Index CAC 40 MSCI EAFE TR Gold Eurozone Inflation FTSE EPRA Euro Zone REITs CS WE HY Index 2013 Leveraged Finance Outlook and 2012 Annual Review 119

120 Historical Returns of Major Asset Classes Exhibit 253: Risk/Reward Profile of Various Assets: 1980 December 2012 Annualized Total Return* Annualized Standard Deviation* Highest Annual Return Lowest Annual Return Annual Median Return Number of Positive Return Years Number of Negative Return Years Return Sharpe January December 2012 /Risk Ratio* U.S. 30 Day TBill 4.75% 0.98% % 0.04% 4.75% U.S. IT Gvt 8.56% 6.37% % -3.59% 9.21% U.S. LT Gvt 10.03% 12.27% % % 9.63% ML Mortgage 8.63% 7.13% % -1.60% 7.29% ML Corp 9.15% 7.64% % -6.82% 9.12% LB US Agg Bd USD 8.55% 6.07% % -2.92% 7.84% LB AAA Corp 8.50% 8.02% % -3.64% 7.98% S&P % 17.35% % % 15.80% Russell % 22.38% % % 16.49% DJ Wilshire % 17.77% % % 15.88% MSCI EAFE 9.63% 19.76% % % 11.63% Gold 3.62% 19.16% % % 4.32% U.S. Inflation 3.38% 1.26% % 0.09% 2.96% FTSE NAREIT All REITs 10.94% 19.00% % % 15.50% High Yield Bonds 10.72% 9.54% % % 11.43% * Monthly Data, The BLOOMBERG PROFESSIONAL service, Ibbotson Associates Exhibit 254: Risk/Reward Profile of Various Assets: 1992 December 2012 Annualized Total Return* Annualized Standard Deviation* Highest Annual Return Lowest Annual Return Annual Median Return Number of Positive Return Years Number of Negative Return Years Return Sharpe January December 2012 /Risk Ratio* U.S. 30 Day TBill 2.90% 0.57% % 0.04% 3.25% U.S. Govt 5-7 Years 6.64% 5.11% % -3.59% 7.93% U.S. Govt 10+ Years 8.59% 10.51% % % 7.96% ML Mortgage 6.31% 3.03% % -1.60% 6.14% ML ABS 5.29% 2.43% % -8.37% 5.52% ML Corp 7.20% 5.73% % -6.83% 8.72% Barclays US Agg Bd USD 6.39% 3.88% % -2.92% 6.54% AAA Corp 6.35% 5.75% % -3.64% 6.63% S&P % 16.19% % % 10.88% Russell % 21.50% % % 16.49% JPM Emerging Markets 12.63% 15.05% % % 11.86% MSCI EAFE 5.53% 18.13% % % 11.55% Gold 7.64% 17.14% % % 4.65% U.S. Inflation 2.47% 1.20% % 0.09% 2.67% FTSE NAREIT All REITs 10.68% 21.21% % % 18.31% Credit Suisse High Yield Index 8.84% 8.76% % % 11.92% Credit Suisse Leveraged Loan Index 6.02% 5.77% % % 6.75% * Monthly Data, The BLOOMBERG PROFESSIONAL service, Ibbotson Associates Leveraged Finance Outlook and 2012 Annual Review

121 Exhibit 255: High Yield Events by Par Amount U.S. High Yield Events Review 2012 has been the most active year for high yield market events, with $382 billion of additions and $259 billion of subtractions from the market during the year. The market grew by $123 billion total as of December 31, 2012, compared to growth of $20 billion in all of Face Amount ($Bln) New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Ne t Change: Deletions New issuance year to date is equivalent to 31.6% of the market size while 13.0% of the market was called or tendered. Exhibit 256: High Yield Events as a Percentage of Bonds Outstanding Percentage of Market New Issuance Issued in Exchange Fallen Angels Additions Call Tender Exchange Purchase Matured Bankruptcy Res olution Rising Star Ne t Change: Deletions % 1.2% 14.8% 26.5% 3.7% 5.1% 1.0% 1.1% 2.4% 4.5% 4.9% 22.9% 3.6% % 0.6% 4.0% 19.3% 2.7% 5.8% 0.7% 0.4% 4.0% 1.7% 4.1% 19.5% -0.2% % 0.4% 5.7% 21.8% 4.6% 7.0% 0.4% 0.4% 2.4% 3.0% 2.6% 20.4% 1.4% % 4.7% 8.5% 19.3% 1.2% 2.4% 3.5% 0.8% 1.9% 1.2% 3.8% 14.8% 4.5% % 4.0% 6.1% 28.2% 1.9% 3.9% 2.8% 2.0% 2.9% 4.2% 1.4% 19.2% 9.0% % 2.2% 2.4% 32.2% 5.2% 6.4% 2.1% 1.7% 2.7% 4.6% 4.0% 26.6% 5.6% % 1.6% 2.2% 24.5% 6.3% 4.6% 1.4% 1.4% 3.3% 2.6% 3.0% 22.7% 1.9% % 1.0% 2.5% 35.1% 7.7% 5.3% 0.4% 0.6% 1.8% 3.3% 4.7% 23.8% 11.3% The U.S. high yield market grew by $7 billion in December. This was primarily due to $29 billion face value of new issues and $17 billion of calls, tenders, and maturities. Exhibit 257: High Yield Events by Par Amount, Monthly Face Amount ($Bln) New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Net Change: Deletions May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Leveraged Finance Outlook and 2012 Annual Review 121

122 We measured the impact of events by calculating the price change of bonds from 90 days prior to the date of an event with the price on the date of the event, and we calculated weighted averages using the market weights of each bond. The results are in the next exhibit. We observe that tender and exchange offers are associated with higher returns than calls. This makes intuitive sense since issuers must entice investors in tenders and exchanges, while the issuer already owns the call option specified in the indenture. Exhibit 258: Event Impact: Price Performance Prior to Event (Price at Event Date vs. Price 3 Months Prior) Call Tender Exchange Matured Default Resolution Rising Stars CS HY Index Avg 3-Month Price Performance % 1.20% 9.08% -0.38% 1.44% -0.75% -1.15% % 3.49% 2.58% 0.15% 7.17% 0.43% 0.75% % 1.76% 1.51% 0.18% 2.79% 0.34% -0.74% % 1.42% 35.97% 0.72% -6.56% -2.84% -9.12% % 12.52% 9.54% 5.30% 22.92% 5.59% 8.53% % 3.29% 4.20% -0.05% 11.20% 2.45% 1.78% % 1.27% 3.48% -0.90% % -0.23% -0.62% % 1.54% 6.34% -0.62% -1.52% 1.84% 1.50% Historically, both defaults and fallen angels have negative returns three months prior to the event. This has been the case in 2012, with fallen angels losing -4.28% leading up to the downgrade and defaults losing -9.70%. Exhibit 259: Event Impact: Price Performance Prior to Event (Price at Event Date vs. Price Three Months Prior) Fallen Angels Default % % % % % -8.96% % % % -5.40% % -0.70% % -6.86% % -9.70% Leveraged Finance Outlook and 2012 Annual Review

123 We also measured the event impact one month after fallen angel and default events. Both fallen angels and defaults have had strong post-event performance in Exhibit 260: Event Impact: Price Performance After Event (Price 1 Month After vs. Price at Event Date) Fallen Angels Default % -1.66% % 3.59% % 3.43% % -1.02% % 4.03% % -1.25% % 5.28% % 18.29% 2013 Leveraged Finance Outlook and 2012 Annual Review 123

124 Tenders/Calls The $57 billion of tenders and $84 billion of calls year to date have exceeded the 2010 and 2011 pace as refinancing volume continues to be strong. Exhibit 261: Historical HY Tenders/Calls Face Amount ($Billions): Face Amount ($Billions) * Call Tender * As of December 31, 2012 Only 41% of the call/tender volume is composed of tenders year to date, the lowest percentage since This is a continuation of a trend that started in 2010 and became more pronounced last year. Exhibit 262: Tender Volume as % of (Calls + Tenders): % 70% 60% 50% 40% 30% Tender Volume as % of (Calls + Tenders) 20% 10% 0% * * As of December 31, Leveraged Finance Outlook and 2012 Annual Review

125 Currently, 62.1% of the market is trading to a call price. This is a very strong level, but is still about 8% below the maximum witnessed during other refinancing peaks. Exhibit 263: Percentage of High Yield Market Trading to Call: /19/2012 % of HY Index Trading to Call 80% 70% 60% 50% 40% 30% 20% 10% 0% 10/31/ % 1/31/ % 1/30/ % 11/30/ % 2/28/ % 11/28/ % 4/29/ % 9/30/ % 62.14% 12/31/12 The ratings profile for bonds that are tendered or called has been fairly consistent over time. The percentages closely match the proportion of each rating category in the highyield universe, though there is slightly less representation in the highest rated bonds and slightly more in lower rated bonds. B-rated bonds comprised a slightly higher percentage of tenders/calls year to date than in 2010 or Exhibit 264: High Yield Tenders/Calls Ratings Profile Percentage of Call/Tenders by Face Value 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Split BBB BB Split BB B Split B CCC/Split CCC Default Not Rated 2013 Leveraged Finance Outlook and 2012 Annual Review 125

126 Exhibit 265: Tenders/Calls Price 90 Days Prior versus Event Price The average gain prior to a tender or call event decreased to 1.19% in 2012, compared to 1.28% in There is little dispersion on a bond-by-bond basis, indicating that the market anticipated most of these events Tenders/Calls 2012 Tenders/Calls Exhibit 266: Tenders/Calls Price 90 Days Prior versus Event Price Tenders/Calls y = x Tenders/Calls y = x Price at Tender/Call Price at Tender/Call Price 3-Month Prior Price 3-Month Prior The average maturity at tender/call in 2012 has been 3.7 years. This is a relatively short time to maturity, caused by the shutdown of the primary market during the second half of Exhibit 267: High Yield Tenders/Calls Years to Maturity at Tender/Call Date Average Years to Maturity Years to Maturity at Tender/Call Date Leveraged Finance Outlook and 2012 Annual Review

127 Rising Stars Rising star volume of $51 billion so far in 2012 is greater than all of 2011 and Exhibit 268: Historical HY Rising Stars Face Amount ($Billions): Face Amount ($Billions) * Rising Star * As of December 31, 2012 Rising stars in 2012 have been concentrated in energy, healthcare, and retail. Exhibit 269: Rising Stars by Industry: 2012 Forest Chemicals Prod/Containers 3% 3% Food/Tobacco 4% Gaming/Leisure 4% Financial 7% Housing 1% Telecommunications 1% Energy 31% Utility 10% Retail 17% Healthcare 19% 2013 Leveraged Finance Outlook and 2012 Annual Review 127

128 Exhibit 270: Risk/Reward Profile of Various Western European Assets: 1998 December 2012 Annualized Total Return* Annualized Standard Deviation* Highest Annual Return Lowest Annual Return Annual Median Return Number of Positive Return Years Number of Negative Return Years Return Sharpe January December 2012 /Risk Ratio* Germany Money Market / 3-Mo Bubill 2.48% 0.43% % -0.11% 2.78% UK 1-3 Yr Government (GBP) 4.96% 1.65% % 0.43% 4.63% Germany 3-5 Yr Government 4.88% 2.86% % -0.48% 5.17% Germany 10+ Yr Government 8.16% 9.88% % -9.77% 13.22% UK 10+ Yr Government (GBP) 7.36% 8.76% % -4.27% 8.05% Merrill Lynch EMU ABS/MBS ( )** 4.28% 3.09% % 0.28% 5.87% Merrill Lynch EMU Corporates 5.32% 3.65% % -3.28% 5.91% DJ Euro Stoxx % 21.41% % % 9.59% FTSE All-Share (GBP) 4.96% 15.79% % % 12.84% DAX Index 3.96% 24.96% % % 17.71% Euronext Paris CAC % 19.31% % % 4.16% MSCI EAFE TR 3.54% 16.47% % % 12.86% London Fix Gold PM 10.97% 18.56% % -6.99% 8.31% Eurostat Eurozone Inflation (MUICP) 2.03% 1.22% % 0.80% 2.11% FTSE EPRA Euro Zone REITs 9.98% 18.68% % % 15.10% CS West. Euro. High Yield Index 6.05% 12.30% % % 5.86% CS West. Euro. Leveraged Loan Index 4.40% 7.32% % % 5.28% * Monthly Data, Returns Hedged in Euro unless otherwise stated ** Starting Mar 2002, The BLOOMBERG PROFESSIONAL service, Ibbotson Associates Exhibit 271: Risk/Reward Characteristics of Various Assets: January 1992 December % JPM Emerging Markets FTSE NAREIT All REITs Annualized Return 9.0% 6.0% Credit Suisse High Yield Index U.S. LT Gvt ML Corp ML Mortgage U.S. IT Gvt Barcap AAA Corp Barcap Agg Bd Credit Suisse Leveraged Loan Index ML ABS Master S&P 500 Gold MSCI EAFE Russell % U.S. 30 Day TBill US Inflation 0.0% 0.0% 5.0% 10.0% 15.0% 20.0% Annualized Return Volatility, The BLOOMBERG PROFESSIONAL service, Ibbotson Associates Leveraged Finance Outlook and 2012 Annual Review

129 U.S. High Yield New Issue Review U.S. and Western European high yield issuance volume was $390.9 billion in 2012, an alltime record. Though the majority of issuance was used for record refinancing volume, acquisitions and GCP also set volume records. Notable trends: Dividend deals as a percent of high yield proceeds increased sharply during the fourth quarter. Dividend deal bonds had an average issuance yield of 8.68% in 2012, 166 bp greater than the 7.02% average yield for bond refinancings. Bond refinancings comprised 29.2% of 2012 high yield proceeds. This was the largest use of proceeds for 2012, with loan refinancings the next largest at 24.3%. There were $263.7 billion of new institutional loans priced in This is the third highest year and the highest volume since The institutional leveraged loan market size increased by $25 billion to $644 billion, making this the first year the loan market has grown since The Western European high yield market size grew by 46% to 283 billion. This was due mostly to 70 billion of fallen angels and 55 billion of new issues entering the market. Exhibit 272: U.S. and Europe High Yield New Issue Proceeds, $Billions Equiv Total Proceeds ($Bln) Total Global Proceeds, $Billions Equiv Leveraged Finance Outlook and 2012 Annual Review 129

130 U.S. and Western European high yield issuance volume was $109.4 billion in 4Q12, compared to $111.9 billion in 3Q12. Exhibit 273: Quarterly U.S. and Europe High Yield New Issue Proceeds, $Billions Equivalent Total Proceeds, $ Billions Global Total Proceeds, $Billions Exhibit 274: Overall New Issue Profile US Public & 144a w / Reg Rights US No Reg Rights US Floating Rate Notes WE Straight Debt WE Floating Rate Notes Total Year Total Proceeds, $MM Total Proceeds, $MM Total Proceeds, $MM Total Proceeds, $MM Total Proceeds, $MM $MM ,340 41, ,886 35, , , , , , , , , , , , , , , , , , , , , , , ,393 4, , , , , , , , ,337 1, , , , , , ,890 7,322 2,080 11, , ,429 5,398 12,435 19,042 3, , ,697 6,530 12,288 12,555 7, , ,350 12,626 18,835 18,793 15, , ,478 21,865 17,120 15,794 11, , ,468 5, , , ,152 28, , , ,494 59, , , ,587 53, ,916 3, , ,951 87, ,259 4, , Leveraged Finance Outlook and 2012 Annual Review

131 Exhibit 275: Overall Quarterly New High Yield Issuance: 1Q07-4Q12 US Total Proceeds, $Billions WE Total Proceeds, $Billions Global Total Proceeds, $Billions Period 1Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Leveraged Finance Outlook and 2012 Annual Review 131

132 U.S. High Yield New Issuance Total U.S. issuance volume for 2012 was $344.1 billion, surpassing the $277.7 billion record from Fourth quarter volume of $97.4 billion was nearly identical to the record pace during the first and third quarters, as secondary market yields remained well below prevailing coupons. U.S. issuance yields rose slightly from 7.11% in 3Q to 7.30% in 4Q12. Issues without registration rights accounted for $87.2 billion of volume in This was 25.3% of U.S. issuance, also a record level. Exhibit 276: U.S. High Yield New Issue Proceeds, $Billions Total Proceeds ($Bln) Floating Rate Notes No Reg Rights Public & 144a w/ Reg Rights *As of 12/31/12 Exhibit 277: Quarterly U.S. High Yield New Issue Proceeds, $Billions Total Proceeds ($Bln) US Total Proceeds, $Billions Leveraged Finance Outlook and 2012 Annual Review

133 Bond refinancings comprised 29.2% of 2012 proceeds. This was the largest use of proceeds for 2012, with loan refinancings the next largest at 24.3%. Exhibit 278: New Issues by Use of Proceeds (Percent of Proceeds): 2012 General Corporate 15.6% Loan Refinance 24.3% Acquisition Finance 19.4% Dividends 5.5% Bond & Loan Refinance 6.0% Bond Refinance 29.2% Loan refinancings have consistently been 25% to 30% of new issuance since 2009, with the exception of late But over the last six months, loan refis have decreased to 22% of issuance. This was caused by the surge in bond refis and the lower volume of term loans that were refinanced in the bond market. Exhibit 279: Loan and Bond Refinancings as Percentage of Trailing Six Month New Issue Proceeds 35% Trailing 6-Month Percentage of HY Issuance 30% 25% 20% 15% 10% 5% 31.65% 21.51% Bond Refi as a % of HY Issuance (Trailing 6- Months) Loan Refi as a % of HY Issuance (Trailing 6- Months) 0% Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec Leveraged Finance Outlook and 2012 Annual Review 133

134 In 2012, the high yield market size grew to $1,212 billion due to $382 billion of additions, including $344 billion of new issues and $27 billion of fallen angels. This was partially offset by $259 billion of bonds that exited, including $84 billion of calls and $57 billion of tenders. Exhibit 280: High Yield Market Size Changes: Face Amount ($Bln) * New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Deletions Net Change: Starting Size Ending Size * As of December 31, 2012 Exhibit 281: US High Yield Market Size: Market Size ($ billions) High Yield Market Size New Issue Volume * As of 12/31/2012 Includes non-investment grade $US-denominated straight corporate debt. Floating-rate and convertible bonds and preferred stock are not included New Issue Volume ($ billions) Leveraged Finance Outlook and 2012 Annual Review

135 The 2012 average issuance yield of 7.50% is the lowest issuance yield in the history of the market. The average spread at issuance of 616 bp is the third highest ever, with higher spreads only in the recession years of 2008 and Leverage and coverage are in line with the historical averages at 5.0x and 2.8x, respectively, though leverage did tick up by 0.2x compared to Exhibit 282: U.S. High Yield New Issue Profile: Recent Years Compared Total Amount (Bil) $139.8 $88.1 $128.4 $137.3 $54.9 $168.3 $277.6 $220.1 $344.4 Total Proceeds (Bil) $135.8 $87.2 $127.0 $136.3 $53.3 $162.5 $275.8 $219.0 $344.1 Number of Issues Average Size (MM) $267.3 $269.5 $439.7 $475.0 $481.4 $444.1 $463.6 $476.4 $502.7 Yield at Issuance 8.33% 8.36% 8.78% 8.63% 9.90% 10.15% 8.61% 8.31% 7.50% Spread at Issuance 435bp 416bp 399bp 399bp 636bp 727bp 614bp 576bp 616bp Debt/EBITDA 5.0x 4.4x 5.2x 5.3x 5.0x 4.5x 4.9x 4.8x 5.0x EBITDA/Total Interest 2.7x 2.9x 2.5x 2.5x 2.5x 3.0x 2.7x 2.8x 2.8x The equity in new issue capital structures comprised 37.8% of total capitalization in 2012, the lowest level since Unsecured debt was 28.7%, slightly more than last year s very low percentage of 26.3%. Exhibit 283: Secured Debt, Unsecured Debt, and Equity as a Percent of Capitalization 70% 60% Percent of Capitalization 50% 40% 30% 20% 37.8% 33.5% 28.7% 10% 0% Secured Debt Unsecured Debt Equity 2013 Leveraged Finance Outlook and 2012 Annual Review 135

136 Historically, when the yield falls significantly below the coupon, there is a wave of refinancing in the high yield market. Currently, the yield is 189 bp below the coupon, which is the greatest difference in the history of the market. A difference of 170 bp or more has been the driver for large waves of issuance in the past, including the last quarter. We expect low yields to continue to drive significant refinancing volume in 2013, and we are projecting total issuance of $330 billion for Exhibit 284: Yield-to-Worst versus Coupon of Credit Suisse HY Index Yield and Coupon 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 10.64% Coupon Yield-to-Worst 1/31/ % 12/31/ % Difference: 177 bp 8.73% 8.49% Difference: 174 bp 4/29/ % Difference: 174 bp 7.92% 6.03% 1/3/13 Difference: 189 bp Leveraged buyouts as a percent of high yield proceeds increased to 17.4% in 2012, nearly identical to the percentages from the last three years. The majority of this issuance was used to refinance existing LBOs, while new LBO acquisitions comprised just 6.5% of total 2012 proceeds. Exhibit 285: LBOs as a Percent of High Yield Proceeds: Percentage LBO (Proceeds) 50.0% 45.0% 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 17.44% 10.92% 5.0% 6.53% 0.0% LBO Acquisition LBO Refinance Leveraged Finance Outlook and 2012 Annual Review

137 Dividend deals as a percent of high yield proceeds increased sharply during the fourth quarter, accounting for 16% and 11% of October and December proceeds, respectively. This was likely due to anticipation of the recent change in tax law. Exhibit 286: Dividends as a Percent of High Yield Proceeds: March 2011 Dec 2012 Percent of P roceeds 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 15.91% 11.15% Monthly Use of Proceeds: Dividends/Stock Buybacks Dividend deal bonds issued in 2012 had a lower average rating than the rest of the 2012 new issues, with CCCs comprising 22% of dividend bond issuance versus 9% for the remainder of the new issues. Consequently, dividend deal bonds had an average issuance yield of 8.68% in 2012, 166 bp greater than yield for bond refis. Exhibit 287: Issuance Yield by Use of Proceeds: % 10.00% Yield at Issuance 9.00% 8.00% 7.00% 8.68% 8.12% 7.02% 6.80% Dividends Acquisition Finance Bond Refinance General Corporate 6.00% 5.00% Leveraged Finance Outlook and 2012 Annual Review 137

138 Credit Characteristics of New Issues The average leverage at issuance as measured by pro-forma debt to EBITDA decreased to 4.9x in the fourth quarter from 5.3x in the third quarter. Exhibit 288: Quarterly Total Leverage of New Issues: 4Q91 4Q Q Q Q Q Q Q Leverage Q Q Q Q Exhibit 289: Quarterly New Issuance Spread Turn of Leverage: 4Q91 4Q bp 1Q bp Issuance Spread / Turn of Leverage 200 bp 150 bp 100 bp 50 bp 2Q92 54 bp 2Q bp 3Q bp 2Q07 66 bp 1Q bp 4Q bp 4Q bp 0 bp Leveraged Finance Outlook and 2012 Annual Review

139 Exhibit 290: Debt to EBITDA of New Issues: Debt to Ebitda 8.0x 7.7x 7.5x 7.0x 6.5x 6.0x 5.7x Average : 4.9x 5.5x 5.0x 4.5x 4.0x 4.0x 3.5x 3.3x 3.0x 5.0x Exhibit 291: EBITDA to Total Interest of New Issues: x Ebitda to Interest Expense 3.0x 2.5x 2.0x 1.5x 2.4x 2.7x 1.7x Average : 2.7x 2.9 x 3.0x 2.8x 1.0x 1.3x 2013 Leveraged Finance Outlook and 2012 Annual Review 139

140 Exhibit 292: New Issue Credit Characteristics: Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Int. EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 1982 $3.7 $ $ % 400 bp 55% 77% 28% 35% 55% 2.4x 1.7x 2.4x 4.0x 2.7x 53.1% 4.9x 62.2% NA 1983 $7.5 $ $ % 387 bp 23% 24% 27% 23% 30% 2.2x 1.8x 2.2x 4.1x 2.0x 51.8% 4.0x 62.5% 57.5% 1984 $16.9 $ $ % 307 bp 11% 21% 36% 16% 70% 2.3x 1.4x 2.2x 4.8x 3.4x 57.2% 6.1x 71.0% NA 1985 $19.2 $ $ % 385 bp 59% 62% 19% 34% 48% 1.7x 1.4x 1.6x 3.6x 3.5x 50.2% 6.6x 73.8% 67.9% 1986 $44.6 $ $ % 504 bp 18% 41% 25% 17% 31% 1.5x 1.0x 1.5x 4.4x 3.5x 49.5% 6.6x 72.3% NA 1987 $38.9 $ $ % 422 bp 34% 30% 20% 16% 23% 1.7x 1.3x 1.6x 5.0x 3.5x 53.5% 5.8x 83.7% 41.6% 1988 $39.7 $ $ % 462 bp 25% 23% 32% 20% 28% 1.4x 0.7x 1.3x 3.6x 2.9x 41.2% 7.7x 85.0% 72.1% 1989 $37.7 $ $ % 488 bp 12% 31% 22% 12% 25% 1.8x 1.2x 1.6x 6.8x 4.2x 70.7% 6.1x 79.9% 80.4% 1990 $4.8 $ $ % 401 bp 4% 7% 18% 4% 18% 2.7x 0.9x 2.7x 4.8x 1.8x 48.9% 3.3x 79.7% 76.4% 1991 $14.2 $ $ % 365 bp 16% 24% 23% 16% 26% 2.1x 1.3x 2.0x 6.0x 3.3x 70.8% 4.9x 79.7% 75.8% 1992 $52.2 $ $ % 389 bp 6% 10% 26% 15% 15% 1.8x 1.1x 1.7x 5.2x 3.6x 57.0% 5.7x 95.6% 96.3% 1993 $83.3 $ $ % 452 bp 10% 15% 20% 10% 22% 2.1x 1.4x 2.0x 6.7x 3.9x 72.4% 5.3x 71.1% 54.4% 1994 $42.8 $ $ % 434 bp 19% 31% 19% 16% 28% 2.2x 1.6x 2.0x 6.5x 3.9x 77.3% 5.4x 69.1% 54.9% 1995 $49.0 $ $ % 470 bp 54% 56% 27% 30% 33% 2.3x 1.7x 2.1x 6.4x 3.5x 75.4% 5.0x 69.7% 52.9% 1996 $74.8 $ $ % 422 bp 62% 48% 25% 28% 34% 2.2x 1.6x 2.2x 6.1x 3.8x 81.0% 5.0x 67.0% 50.3% 1997 $129.9 $ $ % 393 bp 54% 45% 27% 30% 43% 2.1x 1.6x 2.0x 5.7x 3.6x 69.9% 5.5x 69.3% 47.5% 1998 $148.8 $ $ % 448 bp 51% 56% 24% 28% 34% 2.2x 1.7x 2.1x 5.7x 3.6x 72.7% 5.3x 71.7% 50.6% 1999 $102.7 $ $ % 530 bp 71% 67% 21% 32% 24% 2.4x 1.8x 2.4x 4.5x 2.4x 49.1% 4.8x 67.8% 50.9% 2000 $46.2 $ $ % 555 bp 105% 93% 28% 40% 5% 2.4x 1.9x 2.4x 3.6x 2.2x 37.9% 5.3x 65.0% 39.2% 2001 $90.5 $ $ % 507 bp 54% 34% 26% 28% 28% 2.7x 2.1x 2.6x 3.1x 1.9x 36.5% 4.5x 60.4% 49.2% 2002 $66.4 $ $ % 511 bp 13% 15% 23% 16% 25% 2.8x 2.3x 2.6x 4.4x 1.7x 36.7% 4.6x 63.9% 51.8% 2003 $142.4 $ $ % 517 bp 19% 14% 21% 15% 27% 2.6x 2.1x 2.5x 3.8x 2.1x 38.0% 4.9x 65.1% 54.6% 2004 $139.8 $ $ % 435 bp 15% 42% 23% 16% 30% 2.8x 2.2x 2.7x 4.2x 2.3x 40.6% 5.0x 64.6% 45.9% 2005 $87.9 $ $ % 416 bp 31% 40% 23% 21% 21% 2.7x 2.4x 2.9x 6.3x 2.3x 53.6% 4.4x 58.8% 36.3% 2006 $127.7 $ $ % 399 bp 26% 31% 24% 19% 21% 2.1x 1.5x 2.5x 5.9x 2.9x 49.5% 5.2x 62.0% 43.6% 2007 $137.3 $ $ % 399 bp 24% 33% 20% 20% 30% 2.1x 2.0x 2.5x 6.9x 2.5x 46.1% 5.3x 62.9% 40.2% 2008 $54.9 $ $ % 636 bp 19% 22% 28% 17% 28% 2.6x 1.9x 2.5x 3.6x 2.3x 42.5% 5.0x 60.1% 41.0% 2009 $168.3 $ $ % 727 bp 10% 16% 27% 17% 10% 3.0x 2.3x 3.0x 4.1x 2.3x 47.0% 4.5x 62.3% 52.2% 2010 $277.6 $ $ % 614 bp 1% 11% 27% 16% 20% 2.9x 2.3x 2.7x 4.5x 2.4x 47.8% 4.9x 60.7% 46.1% 2011 $220.1 $ $ % 576 bp 5% 13% 28% 16% 29% 2.9x 2.3x 2.8x 3.8x 2.7x 52.6% 4.8x 59.5% 42.8% 2012 $344.4 $ $ % 616 bp 14% 31% 31% 15% 17% 2.9x 2.2x 2.8x 3.7x 2.7x 50.7% 5.0x 62.2% 47.0% Exhibit 293: Average Spread vs. Average Yield of New Issues by Quarter: 1Q93 4Q12 Spread 1650 bp 1450 bp 1250 bp 1050 bp 850 bp 650 bp 450 bp 250 bp 15.58% 1362 bp 16.50% 15.50% 14.50% 13.50% 12.50% 11.50% 10.50% 9.50% 8.50% 7.50% 6.50% Yield Average Spread Average Yield Leveraged Finance Outlook and 2012 Annual Review

141 Exhibit 294: Average Spread and Average Yield of New Issues by Quarter, 1Q93 4Q12 Average Average Average Average Period Spread Yield Period Spread Yield 1Q bp 10.22% 1Q bp 9.84% 2Q bp 10.01% 2Q bp 8.62% 3Q bp 10.24% 3Q bp 8.79% 4Q bp 10.23% 4Q bp 8.45% 1Q bp 9.72% 1Q bp 8.12% 2Q bp 11.78% 2Q bp 9.03% 3Q bp 11.79% 3Q bp 8.30% 4Q bp 12.72% 4Q bp 7.97% 1Q bp 11.90% 1Q bp 8.08% 2Q bp 11.23% 2Q bp 8.51% 3Q bp 10.96% 3Q bp 7.86% 4Q bp 10.75% 4Q bp 9.25% 1Q bp 9.74% 1Q bp 8.32% 2Q bp 11.16% 2Q bp 8.74% 3Q bp 11.02% 3Q bp 8.98% 4Q bp 10.34% 4Q bp 9.04% 1Q bp 10.13% 1Q bp 8.17% 2Q bp 10.29% 2Q bp 8.39% 3Q bp 10.03% 3Q bp 9.46% 4Q bp 10.33% 4Q bp 9.75% 1Q bp 9.57% 1Q bp 10.89% 2Q bp 10.10% 2Q bp 9.31% 3Q bp 10.36% 3Q bp 10.54% 4Q bp 9.86% 4Q bp 15.58% 1Q bp 10.11% 1Q bp 11.99% 2Q bp 10.56% 2Q bp 10.57% 3Q bp 11.84% 3Q bp 9.87% 4Q bp 11.49% 4Q bp 9.45% 1Q bp 12.23% 1Q bp 8.95% 2Q bp 12.14% 2Q bp 9.27% 3Q bp 10.98% 3Q bp 8.36% 4Q bp 11.54% 4Q bp 8.15% 1Q bp 9.98% 1Q bp 8.20% 2Q bp 10.05% 2Q bp 8.13% 3Q bp 9.67% 3Q bp 9.31% 4Q bp 9.95% 4Q bp 8.20% 1Q bp 9.71% 1Q bp 7.75% 2Q bp 9.50% 2Q bp 8.08% 3Q bp 10.53% 3Q bp 7.11% 4Q bp 9.45% 4Q bp 7.30% 2013 Leveraged Finance Outlook and 2012 Annual Review 141

142 Characteristics by Industry In 2012, issuance volume in five sectors of the Credit Suisse High Yield Index differed by more than 2% from their weight in the index. The largest difference was in financials, which accounted for 8.94% of high yield proceeds, though it has a 5.84% weight in the Credit Suisse High Yield Index. Exhibit 295: Percentage of New Issues by Industry (Proceeds): Aerospace 3.4% 2.8% 1.2% 2.2% 1.9% 2.7% 1.6% 0.2% 1.7% 2.3% 2.7% 1.8% 2.1% 1.5% 2.8% 3.0% 2.0% 3.0% 1.6% 1.6% Chemical 6.0% 3.6% 2.6% 2.2% 1.4% 0.8% 5.1% 1.8% 4.9% 3.2% 5.5% 5.4% 1.6% 6.0% 2.3% 0.1% 2.7% 4.2% 1.5% 4.2% Consumer Durables 2.3% 1.3% 0.7% 0.7% 1.0% 0.5% 0.6% NA 0.6% 0.2% 0.4% 0.6% 0.0% 0.1% 0.0% 0.5% 0.6% 0.2% 0.0% 0.4% Consumer Non-Durables 6.6% 4.4% 2.8% 2.2% 3.1% 4.7% 1.4% 0.5% 2.3% 2.1% 2.0% 3.2% 2.7% 1.0% 0.9% 0.0% 1.4% 2.5% 1.1% 1.5% Energy 5.0% 5.8% 8.6% 7.4% 8.3% 6.8% 4.0% 3.0% 6.6% 9.5% 8.0% 9.4% 12.9% 9.9% 9.7% 15.9% 11.9% 13.0% 15.1% 17.1% Financial 5.6% 6.6% 1.5% 5.0% 4.6% 2.4% 3.9% 1.2% 1.3% 1.3% 2.2% 2.6% 2.8% 1.8% 4.8% 0.7% 2.2% 8.0% 4.7% 8.9% Food and Drug 4.4% 3.5% 2.1% 2.0% 1.8% 1.8% 0.5% 0.0% 1.7% 1.4% 1.0% 1.6% 0.4% 0.4% 2.3% 0.9% 1.9% 0.5% 0.1% 0.5% Food/Tobacco 5.1% 3.1% 2.0% 3.3% 4.2% 3.0% 2.8% 0.2% 3.8% 4.3% 3.5% 2.9% 3.1% 3.1% 4.8% 0.5% 4.0% 3.5% 2.6% 2.2% Forest Products/Containers 4.2% 11.6% 6.0% 5.4% 5.0% 2.7% 2.1% 2.4% 4.4% 9.1% 8.3% 3.5% 4.4% 3.3% 1.8% 1.1% 6.6% 4.3% 4.3% 3.4% Gaming/Leisure 5.8% 6.6% 8.0% 6.8% 4.1% 4.0% 6.4% 9.3% 7.8% 11.6% 6.3% 7.6% 5.8% 5.8% 3.2% 12.8% 6.9% 3.7% 3.5% 4.5% Healthcare 2.6% 3.6% 6.6% 4.0% 5.3% 4.6% 2.3% 4.3% 8.8% 9.4% 5.9% 7.7% 10.4% 7.4% 9.5% 1.1% 8.0% 9.5% 11.8% 8.7% Housing 4.1% 4.8% 0.7% 1.7% 2.1% 2.9% 3.5% 3.0% 4.1% 4.4% 4.3% 5.5% 5.7% 1.9% 3.3% 4.3% 3.1% 2.8% 3.3% 3.2% Information Technology 0.9% 0.5% 1.2% 3.7% 2.6% 1.8% 2.3% 2.0% 2.5% 4.9% 3.7% 4.6% 7.8% 10.9% 1.5% 3.9% 2.2% 4.9% 4.4% 2.8% Manufacturing 2.7% 2.2% 3.2% 3.3% 3.2% 4.3% 2.5% 1.1% 1.2% 4.8% 3.7% 3.9% 1.2% 1.7% 2.7% 0.7% 1.7% 3.1% 2.5% 1.7% Media/Telecom 22.9% 20.4% 38.8% 31.5% 34.6% 36.4% 42.5% 56.6% 28.7% 15.1% 20.5% 18.8% 11.3% 21.2% 11.4% 36.9% 26.1% 14.9% 16.7% 18.9% Metals/Minerals 3.8% 4.5% 4.5% 4.7% 3.3% 3.5% 2.1% NA 1.3% 2.8% 2.8% 3.7% 5.0% 4.3% 7.1% 3.5% 4.0% 5.2% 7.4% 4.5% Retail 4.4% 1.3% 3.2% 2.8% 1.7% 2.4% 1.4% 0.6% 2.4% 1.5% 1.7% 0.9% 4.1% 3.0% 5.0% 2.5% 2.6% 2.6% 3.1% 3.3% Service 2.2% 2.4% 1.7% 3.4% 2.1% 4.6% 5.6% 1.2% 3.7% 5.8% 2.7% 3.9% 8.2% 4.9% 5.9% 2.9% 3.3% 4.6% 3.3% 7.4% Transportation 4.2% 5.5% 2.2% 4.0% 5.8% 4.5% 5.2% 1.2% 3.6% 3.8% 4.1% 3.8% 5.7% 4.9% 3.5% 2.9% 5.5% 5.1% 7.9% 3.4% Utility 0.6% 1.9% 2.4% 3.6% 3.8% 5.7% 4.2% 11.4% 8.7% 2.3% 10.7% 8.5% 4.7% 6.9% 17.7% 5.8% 3.4% 4.3% 5.1% 1.6% Exhibit 296: Credit Characteristics of New Issues by Industry: 2012 Aerospace Chemicals Cons Durables Cons Non- Durables Energy Financial Food and Drug Food/Tobacco Total Amount, $Bil $5.46 $14.36 $1.53 $5.17 $58.80 $30.74 $1.75 $7.70 $11.61 $15.89 $29.79 $10.98 $9.61 $5.88 $65.15 $15.68 $11.31 $25.55 $11.79 $5.67 Total Proceeds, $Bil $5.47 $14.34 $1.53 $5.17 $58.83 $30.76 $1.76 $7.70 $11.61 $15.66 $29.83 $10.99 $9.64 $5.87 $65.08 $15.62 $11.35 $25.51 $11.77 $5.67 Number of Issues Forest Prod/Cntnrs Gaming/Leisure Healthcare Housing Info Tech Manufacturing Media/Telecom Metals/Minerals Retail Service Transportation Utility Average Size (MM) Yield at Issuance 6.0% 6.9% 7.8% 8.1% 7.5% 6.9% 8.8% 8.7% 7.2% 7.8% 7.5% 7.5% 7.0% 7.9% 7.2% 8.8% 7.7% 7.8% 6.3% 8.2% Spread at Issuance 488 bp 552 bp 645 bp 676 bp 607 bp 582 bp 762 bp 743 bp 589 bp 639 bp 625 bp 612 bp 560 bp 665 bp 575 bp 760 bp 638 bp 651 bp 515 bp 657 bp Sales Growth 47.8% 14.1% 8.1% 4.4% 30.9% 7.4% 2.1% 9.8% 23.3% 8.5% 6.2% 2.7% 10.0% 13.0% 9.0% 20.3% 5.8% 10.5% 5.1% -2.7% EBITDA Growth 18.7% 132.8% 4.4% 62.8% 41.8% 6.1% 9.6% 20.4% 19.9% 19.3% 17.3% 23.8% 40.7% 66.9% 20.8% 56.1% 17.9% 28.1% 31.4% -4.5% EBITDA Margin 41.0% 16.6% 11.7% 14.0% 47.6% 51.7% 3.5% 17.0% 14.0% 21.6% 24.6% 11.3% 22.3% 11.4% 35.6% 21.3% 15.7% 25.4% 46.0% 33.1% Sales Volatility 26.8% 13.1% 10.0% 12.3% 24.4% 18.3% 3.0% 12.9% 22.9% 9.9% 12.0% 9.7% 13.5% 13.7% 9.0% 19.8% 6.7% 9.5% 17.9% 6.9% EBITDA Volatility 20.5% 35.8% 20.7% 29.3% 23.0% 34.3% 10.8% 19.4% 31.4% 18.8% 13.1% % 25.4% 48.3% 14.7% 115.4% 16.6% 20.1% 30.1% 17.9% EBITDA/Cash Interest 3.3x 3.2x NA 2.8x 3.3x 2.7x 1.8x 2.9x 2.9x 2.2x 2.7x 1.6x 3.2x 3.1x 2.8x 3.3x 2.7x 2.7x 3.1x 2.4x EBITDA-Capex/Cash Int. 3.2x 2.9x NA 2.3x 2.4x 1.9x 1.2x 2.6x 2.4x 1.5x 2.2x 1.5x 3.0x 2.8x 2.0x 2.8x 2.5x 2.0x 2.6x 1.4x EBITDA/Total Interest 3.3x 2.9x 1.6x 2.7x 3.2x 2.5x 2.2x 2.9x 2.6x 2.2x 2.7x 1.5x 3.1x 3.1x 2.8x 3.2x 2.5x 2.5x 3.1x 2.7x Secured Debt/Cash Interest 0.0x 4.4x NA 5.8x 1.4x 4.3x 7.0x 6.1x 4.5x 4.8x 4.2x 3.1x 4.3x 4.6x 3.9x 2.1x 6.2x 5.0x 3.2x 5.3x Secured Debt/EBITDA 3.2x 2.3x 5.2x 3.0x 1.4x 3.9x 3.2x 2.9x 2.6x 3.6x 3.0x 3.5x 2.2x 2.4x 2.8x 2.4x 3.1x 2.6x 3.0x 2.7x Secured Debt/Total Debt 45.7% 59.6% 61.8% 56.0% 38.3% 53.8% 55.1% 57.3% 55.6% 50.7% 54.3% 37.7% 38.8% 62.7% 50.9% 54.0% 51.3% 51.7% 70.1% 64.8% Debt/EBITDA 7.1x 4.3x 8.1x 5.0x 3.9x 6.7x 6.2x 5.1x 4.8x 6.8x 5.2x 6.6x 4.1x 5.0x 5.0x 4.6x 5.8x 5.1x 3.8x 5.3x Debt/Cap 71.3% 57.3% 63.9% 72.5% 50.7% 70.9% 87.9% 56.0% 63.7% 66.5% 65.6% 62.3% 62.1% 63.3% 71.2% 46.4% 67.4% 70.4% 62.2% 56.0% Debt/Market Cap 62.1% 24.9% NA 52.0% 36.8% 69.2% 79.8% 48.0% 49.0% 69.7% 47.6% 50.6% 39.1% 42.6% 52.2% 42.5% 32.5% 49.2% 43.1% 31.2% Leveraged Finance Outlook and 2012 Annual Review

143 Exhibit 297: New Issues by Industry (Proceeds): 2012 Retail 3% Service 7% Utility 2% Transportation 3% Aerospace 2% Chemical 4% Consumer Non-Durables 2% Metals/Minerals 5% Energy 17% Media/Telecom 19% Financial 9% Food/Tobacco 2% Manufacturing 2% Information Technology 3% Housing 3% Healthcare 9% Forest Products/Containers Gaming/Leisure 3% 5% Exhibit 298: Media/Telecom as a Percent of Total New Issues (Proceeds) Media/Telecom as % of New Issue Proceeds 60% 50% 40% 30% 20% 10% 18.9% 0% 2013 Leveraged Finance Outlook and 2012 Annual Review 143

144 Exhibit 299: New Issues by Industry Leverage Ratios: Total Debt / EBITDA : Aerospace Chemicals Cons Durables Cons Non-Durables Energy Financial Food and Drug Food/Tobacco Forest Prod/Cntnrs Gaming/Leisure 1982 NA NA NA 2.0 x 3.1 x 5.6 x NA NA NA NA 4.1 x 3.6 x NA NA 2.8 x 2.1 x NA NA NA NA 4.9 x x NA 5.7 x NA NA 5.4 x NA NA NA 3.1 x 3.6 x 3.6 x NA NA 5.8 x NA NA 4.4 x NA 4.2 x 4.0 x x NA 1.2 x NA NA 9.3 x NA NA NA 8.8 x NA NA NA NA 8.7 x NA 3.6 x NA 7.3 x 7.9 x 6.1 x 1985 NA NA NA NA 5.7 x 4.6 x NA 2.9 x 3.3 x 2.1 x 2.6 x 2.2 x NA 1.4 x 8.0 x NA 8.0 x NA NA NA 6.6 x x NA NA 10.5 x 1.9 x 11.5 x 7.6 x 6.8 x 7.4 x NA NA NA NA NA NA NA 6.6 x NA NA 4.8 x 6.6 x 1987 NA NA NA 6.9 x 6.0 x 2.2 x 5.5 x 7.8 x 8.4 x 4.0 x NA 4.7 x 6.4 x 7.5 x 5.6 x NA 6.5 x NA 3.5 x NA 5.8 x x NA NA 8.0 x NA NA 10.1 x 6.1 x 6.4 x NA 9.5 x 6.7 x NA 4.7 x 6.8 x NA 8.6 x NA NA NA 7.7 x x 2.5 x NA NA NA NA 7.9 x 7.0 x 7.7 x 3.9 x NA 6.0 x 5.8 x 9.6 x 7.2 x 3.8 x NA NA 8.6 x 4.2 x 6.1 x 1990 NA NA NA NA NA NA 5.3 x NA 2.3 x 3.2 x NA NA NA NA 4.2 x NA NA NA NA NA 3.5 x 1991 NA NA NA 7.3 x 3.9 x NA 4.4 x 4.1 x 4.5 x NA 8.0 x NA NA 3.0 x 6.5 x 2.5 x NA NA 4.5 x 3.8 x 4.9 x x NA NA NA 3.5 x 5.6 x 5.4 x 6.8 x 4.6 x 5.2 x 5.0 x 4.4 x 2.0 x NA 7.8 x NA NA NA 6.0 x 6.1 x 5.7 x x 5.9 x 4.1 x 6.0 x 3.3 x 4.8 x 5.3 x 5.4 x 7.1 x 5.7 x 5.0 x 5.7 x 4.6 x 4.8 x 5.6 x 5.1 x 4.2 x 4.0 x 7.0 x 6.8 x 5.3 x x 6.2 x 5.8 x 5.8 x 4.0 x 3.7 x 4.7 x 5.7 x 8.2 x 5.3 x 4.1 x 5.6 x 3.4 x 3.7 x 6.0 x 6.0 x 4.0 x 5.2 x 5.0 x 5.7 x 5.4 x x 1.7 x 5.1 x 4.6 x 4.4 x NA 5.9 x 3.8 x 4.5 x 4.4 x 4.2 x 2.7 x 4.5 x 4.8 x 6.1 x 3.4 x 4.5 x 5.8 x 4.5 x 5.2 x 5.0 x x 6.1 x 5.2 x 5.4 x 4.2 x NA 4.9 x 5.5 x 4.1 x 5.6 x 5.5 x 5.8 x 4.0 x 4.8 x 6.2 x 4.3 x 3.3 x 4.2 x 5.2 x 3.8 x 5.1 x x 5.0 x 6.0 x 5.1 x 4.6 x 6.0 x 4.9 x 5.3 x 5.3 x 5.7 x 5.2 x 5.2 x 5.0 x 5.7 x 7.1 x 4.9 x 4.4 x 5.0 x 5.4 x 5.4 x 5.5 x x 5.1 x 5.1 x 5.3 x 4.1 x 3.7 x 4.9 x 5.2 x 5.3 x 5.1 x 4.2 x 4.4 x 4.3 x 5.5 x 7.0 x 4.3 x 4.3 x 5.1 x 5.0 x 5.2 x 5.3 x x 6.0 x 4.9 x 4.7 x 4.6 x 3.7 x 5.1 x 5.0 x 4.5 x 4.4 x 4.5 x 3.7 x 3.8 x 5.0 x 6.7 x 3.6 x 3.4 x 4.4 x 4.4 x 4.5 x 4.8 x 2000 NA 4.2 x NA 4.9 x 3.5 x 4.5 x NA 2.6 x 4.8 x 4.6 x 3.2 x 3.6 x 2.8 x 4.2 x 8.3 x NA NA 1.9 x 5.2 x 7.1 x 5.3 x x 4.4 x 3.3 x 4.1 x 2.8 x 4.9 x 5.7 x 3.2 x 4.0 x 4.6 x 3.7 x 3.6 x 3.7 x 3.8 x 7.4 x 3.1 x 3.4 x 3.6 x 4.4 x 6.2 x 4.5 x x 5.0 x 4.3 x 4.7 x 3.6 x NA 4.1 x 4.9 x 4.3 x 4.7 x 3.9 x 4.0 x 6.5 x 4.2 x 6.1 x 5.2 x 3.7 x 4.1 x 4.0 x 7.0 x 4.6 x x 5.3 x 5.6 x 4.3 x 3.7 x 6.1 x 6.0 x 4.7 x 6.0 x 5.2 x 4.0 x 3.6 x 5.7 x 6.5 x 5.4 x 3.7 x 4.0 x 4.5 x 5.0 x 5.6 x 4.9 x x 5.8 x 5.1 x 5.7 x 3.3 x 4.2 x 8.6 x 4.5 x 5.6 x 5.3 x 4.8 x 4.0 x 4.2 x 5.2 x 6.2 x 5.2 x 3.4 x 5.0 x 5.0 x 4.5 x 5.0 x x 4.0 x NA 5.3 x 3.2 x 4.5 x 3.9 x 4.9 x 5.9 x 6.4 x 3.7 x 2.7 x 5.0 x 4.8 x 5.0 x 4.7 x 4.5 x 4.2 x 4.5 x 5.3 x 4.4 x x 5.7 x NA 4.9 x 4.1 x 9.3 x 3.7 x 4.0 x 6.0 x 5.8 x 5.8 x 3.1 x 4.3 x 7.2 x 6.0 x 4.7 x 8.2 x 5.0 x 5.1 x 4.1 x 5.2 x x 2.9 x NA 6.9 x 4.0 x 5.0 x 4.8 x 6.7 x 3.6 x 4.2 x 5.4 x 5.6 x 2.5 x 4.4 x 5.7 x 3.1 x 7.1 x 6.6 x 4.4 x 6.1 x 5.3 x x 2.7x 2.1x NA 3.3x 4.9x 7.6x NA 6.4x 5.4x 6.1x 5.6x 5.1x 2.4x 6.8x 2.7x 2.3x 6.2x 5.7x 5.3x 5.0 x x 3.7x 2.3x 4.9x 3.3x 5.1x 6.4x 5.4x 4.2x 6.1x 4.4x 3.4x 5.3x 4.0x 5.1x 2.7x 6.6x 3.8x 6.0x 4.0x 4.6 x x 4.4x 2.8x 4.4x 4.0x 5.8x 5.3x 5.1x 4.5x 6.4x 4.7x 8.1x 4.8x 5.6x 5.1x 3.7x 4.9x 4.6x 5.0x 5.0x 4.9 x x 3.6x NA 5.1x 3.9x 4.9x 3.5x 5.5x 5.9x 5.8x 5.0x 5.1x 4.7x 4.7x 5.3x 5.0x 5.2x 4.1x 4.5x 4.8x 4.8 x x 4.3x 8.1x 5.0x 3.9x 6.7x 6.2x 5.1x 4.8x 6.8x 5.2x 6.6x 4.1x 5.0x 5.0x 4.6x 5.8x 5.1x 3.8x 5.3x 5.0 x Healthcare Housing Info Technology Manufacturing Media/Telecom Metals/Minerals Retail Service Transportation Utility AVERAGE Leveraged Finance Outlook and 2012 Annual Review

145 Exhibit 300: New Issues by Industry Coverage Ratios: EBITDA / Total Interest: Aerospace Chemicals Cons Durables Cons Non-Durables Energy Financial Food and Drug Food/Tobacco Forest Prod/Cntnrs Gaming/Leisure 1982 NA NA NA 3.5 x 2.7 x 2.3 x NA NA NA NA 2.4 x 3.0 x NA NA 3.5 x NA NA NA NA NA 2.4 x x NA 1.0 x NA 3.5 x 1.4 x NA NA NA 2.5 x 2.0 x 2.3 x NA NA 1.8 x NA NA 1.9 x NA 2.1 x 2.2 x x NA 3.5 x NA NA 3.5 x NA NA NA 1.9 x NA NA NA NA 1.2 x NA 3.0 x NA 1.2 x 1.1 x 2.2 x 1985 NA NA NA NA NA 1.8 x NA 2.4 x 2.6 x 3.4 x 2.8 x 1.4 x NA 3.5 x 1.0 x NA 1.0 x NA NA NA 1.6 x x NA NA 1.0 x 3.5 x 1.6 x 1.3 x 1.1 x 0.5 x 1.4 x NA 3.5 x NA 0.8 x NA NA 1.8 x NA 2.4 x 2.3 x 1.5 x 1987 NA NA NA 1.1 x 1.3 x 3.4 x 1.0 x 1.1 x 1.1 x 2.3 x NA 1.6 x 0.9 x 1.2 x 1.7 x NA 1.5 x NA 2.6 x NA 1.6 x x NA NA 1.4 x NA NA 0.7 x 1.2 x 1.6 x NA 0.8 x 1.3 x NA 1.9 x 2.2 x NA 0.8 x NA NA NA 1.3 x x 3.5 x NA NA NA NA 1.0 x 1.0 x 1.0 x 2.3 x NA 1.4 x 1.6 x 0.7 x 1.5 x 2.4 x NA NA 0.8 x 2.2 x 1.6 x 1990 NA NA NA NA NA NA 1.5 x NA 3.4 x 2.8 x NA NA NA NA 1.5 x NA NA NA NA NA 2.7 x 1991 NA NA NA 1.3 x 2.5 x NA 1.8 x 2.4 x 1.9 x NA 1.0 x NA NA 3.3 x 1.5 x 3.5 x NA NA 1.7 x 1.8 x 2.0 x x NA NA NA 3.3 x 2.0 x 1.6 x 1.4 x 1.4 x 2.5 x 2.3 x NA 2.8 x NA 1.3 x NA NA NA 1.5 x 1.8 x 1.7 x x 1.9 x 2.7 x 1.9 x 2.9 x 2.5 x 2.0 x 2.0 x 1.4 x 1.9 x 2.1 x 1.6 x 1.1 x 2.3 x 1.7 x 2.0 x 2.3 x 2.8 x 1.8 x 1.6 x 2.0 x x 2.2 x 1.3 x 2.0 x 2.5 x 3.1 x 2.1 x 2.0 x 1.3 x 1.9 x 2.8 x 2.1 x 2.8 x 2.8 x 1.4 x 1.7 x 2.5 x 1.9 x 2.3 x 2.2 x 2.0 x x 3.5 x 1.6 x 2.4 x 2.3 x NA 1.6 x 2.5 x 1.6 x 2.8 x 3.2 x 3.5 x 2.5 x 1.9 x 1.6 x 2.8 x 2.7 x 1.6 x 2.5 x 2.5 x 2.2 x x 1.8 x 2.1 x 2.3 x 2.7 x NA 2.1 x 2.5 x 2.6 x 2.2 x 2.3 x 1.7 x 3.5 x 2.1 x 1.7 x 2.2 x 2.9 x 2.2 x 2.4 x 2.8 x 2.2 x x 2.0 x 1.8 x 2.1 x 2.6 x 2.3 x 2.3 x 1.9 x 2.4 x 2.0 x 2.5 x 2.1 x 1.9 x 2.1 x 1.5 x 2.0 x 2.5 x 1.9 x 2.1 x 1.4 x 2.0 x x 2.0 x 1.9 x 2.1 x 3.0 x 2.0 x 2.0 x 2.1 x 1.9 x 2.6 x 2.7 x 2.6 x 2.2 x 2.2 x 1.4 x 2.1 x 2.4 x 2.2 x 2.3 x 2.6 x 2.1 x x 1.9 x 2.1 x 2.4 x 3.0 x 2.1 x 1.7 x 2.5 x 2.5 x 2.6 x 2.3 x 2.7 x 2.6 x 2.2 x 1.7 x 2.8 x 2.9 x 2.4 x 2.7 x 3.1 x 2.4 x 2000 NA 2.4 x NA 1.9 x 3.3 x 2.4 x NA 2.9 x 2.5 x 3.0 x 3.0 x 3.0 x 2.9 x 2.1 x 1.4 x NA NA 3.5 x 2.0 x 2.8 x 2.4 x x 2.8 x 3.0 x 2.5 x 3.2 x 2.5 x 2.0 x 2.9 x 2.6 x 2.7 x 2.9 x 3.2 x 3.0 x 2.8 x 1.6 x 2.2 x 3.3 x 3.0 x 2.7 x 2.3 x 2.6 x x 2.4 x 2.1 x 2.3 x 3.2 x 0.6 x 2.9 x 2.9 x 2.8 x 2.4 x 2.5 x 3.1 x 2.2 x 2.7 x 2.2 x 2.3 x 2.4 x 2.6 x 2.6 x 2.4 x 2.6 x x 2.1 x 2.5 x 2.9 x 2.9 x 2.7 x 2.0 x 2.5 x 2.3 x 2.4 x 3.1 x 2.4 x 2.4 x 2.2 x 2.3 x 3.3 x 2.5 x 2.8 x 2.5 x 2.7 x 2.5 x x 2.5 x 2.7 x 2.3 x 3.3 x 1.7 x 2.6 x 2.5 x 2.8 x 2.5 x 2.7 x 3.1 x 3.1 x 2.6 x 2.3 x 2.9 x 2.7 x 2.5 x 2.3 x 2.9 x 2.7 x x 3.0 x NA 2.8 x 3.1 x 3.3 x 2.9 x 2.6 x 2.3 x 2.8 x 3.1 x 3.4 x 2.9 x 2.8 x 2.4 x 3.1 x 3.1 x 2.6 x 2.8 x 2.9 x 2.9 x x 2.3 x NA 2.6 x 2.9 x 1.0 x 3.2 x 2.9 x 2.3 x 2.5 x 2.2 x 3.1 x 2.6 x 1.8 x 2.4 x 2.7 x 1.3 x 2.3 x 2.8 x 2.8 x 2.5 x x 3.4 x NA 3.5 x 3.1 x 3.5 x 2.4 x 2.1 x 2.3 x 1.8 x 2.3 x 1.9 x 3.5 x 2.8 x 2.9 x 3.2 x 1.5 x 2.1 x 2.5 x 1.8 x 2.5 x x 3.3 x 3.5 x N/A 3.3 x 3.4 x N/A N/A 0.1 x 1.4 x 1.9 x 1.6 x 2.1 x 3.5 x 2.0 x N/A 3.5 x 2.0 x 3.4 x 2.7 x 2.5 x x 2.9x 3.4x 2.4x 3.2x 3.5x 2.3x 2.5x 3.0x 2.6x 3.0x 3.3x 2.8x 3.2x 2.8x 3.5x 2.6x 2.9x 3.0x 3.2x 2.9 x x 2.9x 3.5x 3.0x 3.2x 3.2x 2.2x 2.4x 2.2x 2.1x 2.7x 2.0x 2.6x 2.2x 2.6x 3.1x 2.8x 3.0x 2.6x 2.7x 2.7 x x 3.1x NA 2.1x 3.2x 2.3x 2.6x 2.2x 2.5x 2.2x 2.9x 2.5x 2.9x 2.8x 2.7x 3.1x 2.7x 3.0x 3.0x 3.2x 2.8 x x 2.9x 1.6x 2.7x 3.2x 2.5x 2.2x 2.9x 2.6x 2.2x 2.7x 1.5x 3.1x 3.1x 2.8x 3.2x 2.5x 2.5x 3.1x 2.7x 2.8 x Healthcare Housing Info Technology Manufacturing Media/Telecom Metals/Minerals Retail Service Transportation Utility AVERAGE 2013 Leveraged Finance Outlook and 2012 Annual Review 145

146 Credit Statistics by Industry Type Exhibit 301: New Issue by Industry Type (Proceeds): % Energy 70.0% 60.0% Cyclical Defensive 50.0% 40.0% 30.0% 43.5% 39.4% 20.0% 17.1% 10.0% 0.0% Exhibit 302: Credit Characteristics of New Issues by Industry Type: Cyclical Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $21.3 $ $ % 509 bp 28% 55% 21% 23% 38% 1.4x 0.7x 1.3x 3.6x 4.5x 46.3% 8.2x 73.1% N/A 1987 $20.0 $ $ % 407 bp 16% 31% 19% 10% 20% 1.7x 1.4x 1.7x 4.5x 3.2x 51.9% 5.4x 85.4% 46.8% 1988 $21.8 $ $ % 473 bp 21% 29% 31% 17% 27% 1.5x 0.7x 1.3x 3.9x 2.8x 41.9% 7.4x 86.1% 54.3% 1989 $13.0 $ $ % 512 bp 10% 41% 17% 12% 31% 1.9x 1.3x 1.7x 5.9x 3.7x 63.8% 6.2x 76.2% 77.2% 1990 $2.9 $ $ % 364 bp 7% 8% 23% 7% 8% 3.2x 0.6x 3.2x 7.3x 2.2x 64.0% 2.6x 73.4% 68.5% 1991 $4.6 $ $ % 423 bp 19% 16% 19% 15% 24% 2.3x 1.3x 2.2x 5.6x 2.8x 72.4% 4.5x 77.7% 80.8% 1992 $19.6 $ $ % 402 bp -4% 2% 25% 19% 12% 2.0x 1.7x 2.0x 5.1x 3.2x 69.4% 4.7x 97.8% 98.9% 1993 $46.5 $ $ % 460 bp 9% 16% 16% 10% 25% 2.1x 1.5x 2.0x 6.9x 3.9x 73.1% 5.4x 71.0% 55.2% 1994 $22.2 $ $ % 433 bp 8% 21% 15% 12% 28% 2.1x 1.5x 2.0x 7.2x 4.4x 80.9% 5.7x 71.8% 58.8% 1995 $17.3 $ $ % 473 bp 27% 78% 21% 20% 35% 2.4x 1.9x 2.4x 6.7x 3.5x 81.6% 4.4x 73.3% 53.7% 1996 $31.4 $ $ % 413 bp 46% 53% 17% 22% 35% 2.3x 1.7x 2.3x 6.4x 3.5x 80.6% 4.8x 68.6% 55.0% 1997 $51.5 $ $ % 380 bp 35% 36% 24% 22% 35% 2.2x 1.7x 2.1x 5.5x 3.1x 65.9% 5.3x 68.7% 48.4% 1998 $52.8 $ $ % 436 bp 34% 48% 20% 20% 31% 2.3x 1.7x 2.2x 5.2x 3.2x 66.9% 5.0x 74.8% 53.5% 1999 $38.5 $ $ % 510 bp 24% 34% 17% 21% 30% 2.5x 1.8x 2.5x 4.2x 2.0x 45.6% 4.4x 68.1% 54.3% 2000 $10.1 $ $ % 529 bp 41% 34% 23% 28% 28% 2.7x 2.0x 2.7x 4.4x 2.0x 45.8% 4.3x 67.1% 52.7% 2001 $34.0 $ $ % 519 bp 25% 31% 22% 19% 29% 2.9x 2.1x 2.8x 2.8x 1.5x 32.7% 4.1x 60.7% 54.4% 2002 $34.8 $ $ % 530 bp 10% 9% 17% 14% 25% 2.7x 2.2x 2.5x 3.8x 1.5x 35.6% 4.5x 63.6% 52.5% 2003 $67.8 $ $ % 536 bp 12% 12% 17% 12% 54% 2.5x 1.9x 2.5x 3.8x 2.2x 37.2% 5.1x 64.5% 55.6% 2004 $66.0 $ $ % 440 bp 15% 54% 18% 15% 36% 2.7x 2.3x 2.7x 3.7x 2.3x 40.4% 5.0x 63.8% 41.0% 2005 $43.1 $ $ % 442 bp 29% 40% 18% 19% 26% 2.5x 2.2x 2.9x 8.2x 2.6x 56.8% 4.7x 60.5% 38.4% 2006 $58.5 $ $ % 413 bp 20% 28% 18% 16% 8% 2.1x 1.5x 2.4x 5.9x 2.8x 47.5% 5.5x 64.5% 42.0% 2007 $53.0 $ $ % 385 bp 30% 34% 14% 22% 32% 3.5x 3.5x 2.6x N/A 2.2x 44.4% 4.7x 61.5% 40.7% 2008 $20.2 $ $ % 706 bp 13% 15% 16% 14% 27% 2.9x 2.3x 2.5x 3.7x 2.8x 52.8% 4.4x 59.1% 42.4% 2009 $70.3 $ $ % 732 bp 3% 8% 22% 17% -15% 3.1x 2.5x 2.9x 4.6x 2.9x 52.1% 4.8x 64.9% 54.0% 2010 $138.3 $ $ % 592 bp -2% 10% 21% 18% 22% 2.8x 2.5x 2.6x 4.9x 2.6x 49.8% 5.1x 62.3% 45.6% 2011 $99.3 $ $ % 584 bp 4% 21% 21% 16% 35% 2.8x 2.4x 2.7x 4.8x 2.9x 56.6% 5.0x 59.6% 45.5% 2012 $150.0 $ $ % 616 bp 11% 37% 25% 15% 15% 2.8x 2.3x 2.6x 4.2x 3.0x 52.3% 5.4x 63.6% 50.8% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap Leveraged Finance Outlook and 2012 Annual Review

147 Exhibit 303: Credit Characteristics of New Issues by Industry Type: Defensive Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $14.4 $ $ % 471 bp 10% 19% 26% 10% 20% 1.8x 1.1x 1.8x 4.7x 3.2x 51.2% 6.0x 77.3% N/A 1987 $14.3 $ $ % 472 bp 83% 26% 25% 27% 25% 1.6x 1.4x 1.6x 4.4x 2.6x 49.4% 6.0x 79.8% 31.2% 1988 $13.8 $ $ % 466 bp 33% 8% 15% 25% 28% 1.2x 0.8x 1.2x 2.5x 2.9x 37.2% 8.7x 83.0% 79.3% 1989 $20.0 $ $ % 475 bp 15% 21% 21% 14% 19% 1.5x 0.9x 1.2x 7.1x 4.9x 72.2% 6.9x 90.6% 90.6% 1990 $1.5 $1.1 8 $ % 488 bp 3% 7% 7% 3% 23% 1.5x 1.1x 1.5x 2.3x 1.5x 33.8% 4.8x 97.4% N/A 1991 $6.6 $ $ % 337 bp 15% 28% 25% 16% 29% 1.8x 1.3x 1.7x 5.9x 3.5x 65.4% 5.5x 82.0% 67.4% 1992 $28.0 $ $ % 374 bp 10% 13% 25% 14% 16% 1.7x 1.0x 1.6x 5.4x 3.9x 54.7% 6.1x 93.0% 91.2% 1993 $32.1 $ $ % 441 bp 13% 14% 26% 10% 17% 2.1x 1.3x 1.9x 6.4x 3.9x 71.5% 5.4x 73.7% 55.5% 1994 $18.0 $ $ % 444 bp 26% 48% 20% 19% 29% 2.3x 1.7x 1.8x 5.4x 3.5x 72.0% 5.4x 68.1% 51.2% 1995 $28.3 $ $ % 473 bp 60% 40% 30% 34% 31% 2.2x 1.6x 1.9x 6.1x 3.5x 69.1% 5.7x 68.2% 52.3% 1996 $38.4 $ $ % 445 bp 82% 45% 28% 34% 32% 2.0x 1.4x 1.9x 5.7x 4.4x 82.5% 5.7x 67.4% 49.4% 1997 $68.9 $ $ % 417 bp 70% 49% 25% 36% 51% 1.9x 1.5x 1.8x 6.3x 4.4x 74.8% 6.1x 72.4% 50.8% 1998 $87.8 $ $ % 467 bp 66% 63% 25% 35% 36% 2.0x 1.6x 1.9x 6.2x 4.1x 77.5% 5.8x 72.0% 50.4% 1999 $60.1 $ $ % 543 bp 124% 102% 22% 44% 17% 2.2x 1.8x 2.1x 5.0x 3.1x 51.7% 5.5x 68.0% 47.1% 2000 $34.8 $ $ % 577 bp 149% 135% 29% 48% -13% 2.1x 1.5x 2.0x 3.3x 2.6x 35.9% 6.8x 64.5% 32.3% 2001 $50.7 $ $ % 510 bp 91% 34% 24% 37% 23% 2.4x 2.1x 2.3x 3.8x 2.6x 42.0% 5.4x 62.6% 46.4% 2002 $25.5 $ $ % 509 bp 13% 17% 25% 16% 23% 2.8x 2.3x 2.5x 5.3x 2.1x 39.5% 5.1x 66.2% 50.7% 2003 $63.2 $ $ % 505 bp 28% 17% 24% 17% -10% 2.7x 2.2x 2.6x 4.1x 2.0x 41.0% 5.0x 67.6% 55.8% 2004 $60.9 $ $ % 461 bp 12% 26% 25% 15% 23% 2.8x 2.1x 2.5x 5.0x 2.5x 43.7% 5.5x 69.1% 53.2% 2005 $33.7 $ $ % 420 bp 24% 32% 23% 17% 4% 2.8x 2.7x 2.7x 5.4x 2.0x 44.9% 4.4x 60.2% 39.2% 2006 $56.7 $ $ % 414 bp 17% 13% 27% 14% 27% 2.0x 1.3x 2.5x 6.3x 3.2x 53.4% 5.3x 63.4% 50.7% 2007 $71.1 $ $ % 406 bp 15% 25% 19% 15% 25% 1.4x 1.3x 2.2x 6.9x 2.9x 51.1% 6.0x 68.1% 43.0% 2008 $26.0 $ $ % 662 bp 13% 16% 29% 14% 21% 2.2x 1.7x 2.1x 4.3x 2.6x 38.5% 6.4x 70.0% 52.8% 2009 $78.0 $ $ % 699 bp 10% 20% 25% 13% 23% 2.8x 2.1x 2.9x 4.1x 2.0x 42.4% 4.8x 65.4% 53.6% 2010 $104.0 $ $ % 596 bp 7% 16% 29% 13% 15% 2.8x 2.1x 2.7x 5.2x 2.6x 51.5% 4.9x 65.1% 51.6% 2011 $87.6 $ $ % 591 bp 6% 8% 28% 11% 9% 2.8x 2.2x 2.8x 4.5x 2.8x 51.9% 5.0x 66.6% 49.6% 2012 $135.6 $ $ % 622 bp 8% 20% 29% 10% 16% 2.7x 2.0x 2.7x 4.4x 2.8x 53.2% 5.1x 68.1% 50.2% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap 2013 Leveraged Finance Outlook and 2012 Annual Review 147

148 Exhibit 304: Credit Characteristics of New Issues by Industry Type: Energy Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $0.9 $0.9 5 $ % 595 bp N/A N/A 69% N/A N/A 3.5x 3.5x 3.5x 6.3x 1.1x 59.3% 1.9x 31.6% N/A 1987 $0.5 $0.5 5 $ % 373 bp 32% 57% 27% 29% 44% 1.8x 0.5x 1.8x 9.0x 5.0x 85.5% 6.0x 75.3% N/A 1988 $0.3 $0.3 2 $ % 401 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1989 $1.2 $1.2 6 $ % 388 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1990 $0.2 $0.2 1 $ % 368 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $1.2 $1.2 9 $ % 296 bp 13% 25% 22% 14% 24% 2.5x 1.1x 2.5x 7.3x 3.4x 88.5% 3.9x 68.1% N/A 1992 $2.2 $ $ % 408 bp 21% 16% 34% 19% 15% 3.3x 0.7x 3.3x 3.0x 0.9x 26.4% 3.5x 96.3% 99.2% 1993 $4.6 $ $ % 440 bp 5% 19% N/A 12% 31% 3.1x N/A 3.1x N/A N/A N/A 2.9x 46.0% 28.0% 1994 $2.6 $ $ % 405 bp 52% 27% 33% 29% 30% 2.6x 1.5x 2.5x 5.5x 2.7x 76.1% 4.0x 58.3% 48.1% 1995 $3.5 $ $ % 442 bp 126% 37% 46% 44% 32% 2.3x 1.5x 2.3x 6.8x 3.7x 83.1% 4.4x 62.2% 52.2% 1996 $5.0 $ $ % 354 bp 51% 37% 44% 32% 33% 2.7x 2.0x 2.7x 5.9x 2.9x 75.8% 4.2x 59.9% 43.1% 1997 $9.5 $ $ % 340 bp 88% 86% 51% 44% 54% 2.6x 1.6x 2.7x 3.6x 2.6x 69.5% 4.5x 58.6% 40.2% 1998 $8.3 $ $ % 404 bp 52% 65% 40% 33% 39% 3.0x 2.0x 3.0x 5.7x 3.3x 70.6% 4.1x 59.0% 42.3% 1999 $4.0 $ $ % 585 bp 24% 76% 40% 24% 27% 3.0x 1.8x 3.0x 4.4x 2.2x 59.6% 4.6x 64.9% 58.1% 2000 $1.3 $1.3 6 $ % 415 bp 1% -1% 46% 20% 54% 3.3x 2.6x 3.3x 2.1x 0.5x 15.6% 3.5x 60.0% 45.7% 2001 $5.8 $ $ % 428 bp 39% 54% 56% 34% 40% 3.1x 2.3x 3.2x 2.2x 0.7x 25.2% 2.8x 49.4% 35.8% 2002 $6.4 $ $ % 433 bp 24% 30% 42% 26% 29% 3.1x 2.4x 3.2x 4.5x 1.1x 31.0% 3.6x 58.6% 50.9% 2003 $11.4 $ $ % 454 bp 12% 9% 33% 18% 27% 3.3x 2.8x 2.9x 1.9x 1.4x 29.2% 3.7x 58.9% 46.5% 2004 $12.8 $ $ % 312 bp 31% 35% 37% 27% 30% 3.5x 1.8x 3.3x 2.0x 0.9x 23.7% 3.3x 52.1% 40.0% 2005 $11.3 $ $ % 323 bp 58% 55% 39% 36% 45% 3.5x 2.2x 3.1x 3.0x 1.7x 67.3% 3.4x 51.7% 26.5% 2006 $12.6 $ $ % 309 bp 75% 98% 39% 42% 51% 2.6x 1.7x 2.9x 4.0x 2.0x 43.4% 4.1x 50.6% 34.5% 2007 $13.2 $ $ % 416 bp 39% 56% 40% 32% 39% N/A N/A 3.1x N/A 1.7x 32.9% 3.7x 50.6% 33.4% 2008 $8.7 $ $ % 497 bp 38% 43% 44% 29% 38% 3.3x 1.4x 3.3x 1.7x 1.1x 36.2% 3.3x 44.3% 26.7% 2009 $20.0 $ $ % 786 bp 30% 23% 41% 30% 39% 3.4x 2.2x 3.2x 3.3x 1.6x 44.3% 3.3x 48.7% 45.7% 2010 $36.3 $ $ % 568 bp -2% -2% 39% 20% 29% 3.2x 1.9x 3.2x 1.8x 1.0x 30.8% 4.0x 47.9% 34.8% 2011 $33.2 $ $ % 526 bp 7% 3% 44% 25% 54% 3.2x 2.5x 3.2x 1.2x 1.3x 38.5% 3.9x 49.3% 30.4% 2012 $58.8 $ $ % 607 bp 31% 42% 48% 24% 23% 3.3x 2.4x 3.2x 1.4x 1.4x 38.3% 3.9x 50.7% 36.8% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap Leveraged Finance Outlook and 2012 Annual Review

149 High Yield New Issue Ratings B-rated new issues were 40.4% of 2012 issuance, below the 15-year average of 44.3%. The balance was composed mostly by CCC-rated issues, which were 9.6% of issuance. Exhibit 305: New Issue by Rating (Percent of Proceeds): Split BBB BB Split BB Rated Split BB or Higher B Split B CCC Not Rated Rated B or Lower % 36.0% 10.9% 49.4% 43.1% 1.5% 0.0% 6.0% 50.6% % 17.5% 20.5% 59.4% 31.5% 4.9% 1.3% 2.9% 40.6% % 14.5% 9.9% 52.5% 34.9% 4.5% 1.8% 6.3% 47.5% % 18.6% 14.4% 37.4% 43.1% 12.7% 1.1% 5.7% 62.6% % 10.0% 11.1% 29.9% 49.6% 13.7% 1.8% 5.0% 70.1% % 6.7% 5.9% 16.3% 65.8% 15.3% 2.0% 0.5% 83.7% % 3.5% 4.7% 16.5% 57.4% 16.5% 0.9% 8.6% 83.5% % 16.3% 4.4% 23.2% 72.9% 3.7% 0.0% 0.2% 76.8% % 16.3% 0.0% 67.6% 21.4% 0.0% 0.0% 11.0% 32.4% % 47.7% 15.1% 76.9% 12.8% 0.0% 0.0% 10.3% 23.1% % 21.5% 8.1% 44.9% 45.7% 0.5% 0.9% 8.1% 55.1% % 16.0% 11.2% 43.2% 47.7% 2.7% 1.5% 4.9% 56.8% % 17.5% 13.2% 39.9% 49.8% 4.1% 3.4% 2.8% 60.1% % 25.9% 19.3% 52.2% 38.0% 3.9% 2.0% 3.9% 47.8% % 17.4% 9.6% 34.5% 56.8% 2.8% 0.8% 5.2% 65.5% % 18.0% 8.2% 34.7% 53.8% 3.7% 1.5% 6.4% 65.4% % 26.4% 6.3% 37.6% 44.4% 6.3% 3.5% 8.2% 62.4% % 22.5% 7.9% 34.2% 59.1% 2.1% 1.4% 3.2% 65.8% % 26.7% 3.1% 33.1% 54.0% 4.0% 5.9% 3.0% 66.9% % 34.0% 8.1% 55.1% 42.3% 1.3% 1.1% 0.2% 44.9% % 21.3% 13.6% 45.7% 50.7% 2.7% 0.4% 0.5% 54.3% % 20.1% 8.4% 35.8% 54.3% 6.1% 2.8% 1.0% 64.2% % 22.0% 5.8% 37.2% 44.0% 11.0% 7.4% 0.4% 62.8% % 21.8% 9.1% 37.9% 46.8% 8.8% 5.6% 0.9% 62.1% % 26.3% 10.8% 39.5% 40.0% 12.2% 7.4% 0.8% 60.5% % 15.3% 7.8% 29.3% 33.2% 21.3% 14.5% 1.7% 70.7% % 24.9% 12.9% 40.2% 33.0% 6.6% 18.7% 1.4% 59.8% % 22.6% 21.2% 53.8% 34.5% 7.9% 3.5% 0.3% 46.2% % 17.6% 15.3% 41.5% 39.3% 11.0% 7.3% 0.9% 58.5% % 25.8% 13.8% 43.2% 39.1% 8.0% 9.4% 0.4% 56.8% % 22.9% 12.9% 41.4% 40.4% 7.3% 9.6% 1.2% 58.6% Exhibit 306: New Issues by Rating (Proceeds): 2012 CCC 9.6% Not Rated 1.2% Split BBB 5.7% Split B 7.3% BB 22.9% B 40.4% Split BB 12.9% 2013 Leveraged Finance Outlook and 2012 Annual Review 149

150 Exhibit 307: New Issues by Rating (Proceeds): % 80.0% 70.0% 60.0% 50.0% 40.0% 58.6% 41.4% 30.0% 20.0% 10.0% 0.0% Rated Split BB or Higher Rated B or Lower Exhibit 308: CCC-rated Bonds as a Percent of High Yield New Issuance: % % 15.0% 12.0% 9.0% 9.6% 6.0% 3.0% 0.0% Leveraged Finance Outlook and 2012 Annual Review

151 Exhibit 309: Credit Characteristics of New Issues by Rating: BB Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1992 $9.8 $ $ % 307 bp 3% 12% 29% 40% 11% 2.3x 1.3x 2.2x 2.5x 3.1x 41.3% 5.5x 96.5% 98.9% 1993 $11.5 $ $ % 316 bp 14% 37% 30% 13% 30% 2.6x 1.7x 2.3x 6.5x 3.7x 66.3% 4.6x 60.8% 52.6% 1994 $7.0 $ $ % 354 bp 14% 15% 23% 15% 28% 2.9x 2.1x 2.5x 7.5x 3.6x 81.4% 5.4x 64.9% 47.6% 1995 $10.7 $ $ % 301 bp 36% 34% 30% 24% 37% 2.9x 1.7x 2.6x 9.1x 4.3x 92.9% 4.7x 60.0% 47.3% 1996 $11.7 $ $ % 294 bp 19% 33% 22% 18% 32% 3.4x 2.2x 2.8x 5.1x 3.7x 85.6% 4.3x 58.4% 50.5% 1997 $22.6 $ $ % 246 bp 32% 34% 36% 28% 34% 2.9x 2.7x 2.5x 6.7x 3.3x 75.1% 4.9x 62.7% 50.4% 1998 $37.4 $ $ % 277 bp 20% 28% 28% 19% 25% 2.9x 2.1x 2.7x 5.3x 4.3x 83.7% 4.8x 68.9% 56.2% 1999 $21.4 $ $ % 384 bp 17% 21% 22% 20% 24% 2.9x 2.5x 2.8x 4.8x 2.7x 59.6% 4.2x 60.5% 52.3% 2000 $11.4 $ $ % 395 bp 24% 21% 33% 24% 27% 3.0x 2.3x 3.0x 4.3x 1.5x 36.7% 4.8x 64.4% 49.2% 2001 $30.3 $ $ % 421 bp 29% 24% 27% 23% 34% 3.0x 2.3x 2.9x 2.6x 1.4x 28.3% 4.1x 56.0% 47.4% 2002 $14.1 $ $ % 459 bp 14% 5% 20% 18% 31% 3.1x 2.8x 2.9x 4.2x 1.3x 30.5% 4.5x 56.8% 43.3% 2003 $28.1 $ $ % 384 bp 8% 5% 23% 13% 25% 2.4x 2.0x 2.6x 1.8x 2.3x 33.7% 5.4x 59.2% 51.3% 2004 $30.0 $ $ % 261 bp 16% 46% 28% 19% 38% 2.2x 2.4x 3.1x 1.5x 1.6x 30.3% 4.1x 53.4% 39.1% 2005 $19.1 $ $ % 260 bp 24% 28% 19% 21% 30% 3.5x 1.6x 3.3x 3.0x 2.1x 56.1% 3.4x 49.6% 28.3% 2006 $33.5 $ $ % 237 bp 15% 25% 27% 14% 22% 3.0x 2.0x 2.9x 8.2x 1.9x 53.2% 3.7x 54.2% 37.4% 2007 $20.9 $ $ % 241 bp 12% 8% 12% 14% 23% NA NA 3.1x NA 1.0x 33.6% 3.7x 50.3% 31.0% 2008 $13.4 $ $ % 536 bp 18% 21% 31% 16% 23% 3.3x 2.7x 3.3x 3.3x 1.4x 36.2% 3.4x 51.9% 34.6% 2009 $37.9 $ $ % 647 bp 8% 5% 29% 13% 24% 3.3x 2.9x 3.3x 3.0x 1.7x 37.5% 4.3x 59.0% 50.6% 2010 $48.9 $ $ % 421 bp 3% 3% 30% 14% 26% 3.3x 2.9x 3.2x 3.1x 1.6x 37.8% 4.0x 50.1% 39.0% 2011 $56.5 $ $ % 410 bp 7% 13% 27% 13% 23% 3.2x 2.8x 3.3x 2.7x 1.3x 38.3% 3.8x 49.6% 35.8% 2012 $78.7 $ $ % 440 bp 11% 39% 29% 13% -28% 3.3x 2.7x 3.2x 2.2x 1.5x 41.8% 3.9x 56.9% 39.3% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap Exhibit 310: Credit Characteristics of New Issues by Rating: B Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1992 $21.4 $ $ % 455 bp 6% 9% 23% 8% 14% 1.6x 1.1x 1.5x 6.0x 4.3x 65.4% 5.6x 95.3% 93.3% 1993 $37.0 $ $ % 499 bp 6% 12% 14% 8% 20% 2.1x 1.3x 1.9x 6.9x 4.2x 77.1% 5.4x 74.1% 56.0% 1994 $21.1 $ $ % 471 bp 16% 27% 17% 16% 28% 2.1x 1.4x 1.8x 6.0x 3.9x 72.1% 5.6x 72.6% 57.3% 1995 $16.8 $ $ % 550 bp 31% 35% 25% 26% 32% 2.2x 1.5x 2.0x 5.9x 3.1x 66.9% 5.0x 73.5% 55.9% 1996 $40.8 $ $ % 459 bp 50% 53% 23% 27% 35% 2.2x 1.6x 2.0x 5.9x 3.8x 78.1% 5.4x 69.5% 51.4% 1997 $70.8 $ $ % 399 bp 54% 45% 25% 28% 41% 2.0x 1.6x 2.0x 5.6x 3.6x 67.1% 5.6x 72.0% 46.9% 1998 $65.8 $ $ % 466 bp 52% 49% 21% 26% 30% 2.2x 1.6x 2.1x 5.8x 3.4x 68.9% 5.2x 73.1% 52.9% 1999 $60.2 $ $ % 559 bp 65% 73% 20% 31% 27% 2.3x 1.6x 2.3x 4.6x 2.4x 47.1% 5.0x 71.1% 52.1% 2000 $25.2 $ $ % 613 bp 89% 97% 24% 40% 6% 1.9x 1.3x 1.9x 3.7x 2.5x 37.1% 5.8x 66.2% 37.7% 2001 $39.0 $ $ % 563 bp 60% 42% 26% 30% 28% 2.5x 2.0x 2.4x 3.6x 2.4x 42.0% 5.0x 66.0% 52.3% 2002 $34.0 $ $ % 545 bp 12% 16% 23% 16% 22% 2.7x 2.2x 2.5x 4.5x 1.9x 38.3% 4.7x 67.4% 55.0% 2003 $76.8 $ $ % 568 bp 21% 13% 20% 15% 21% 2.6x 2.1x 2.5x 3.9x 2.1x 38.6% 4.9x 67.6% 57.3% 2004 $59.9 $ $ % 455 bp 13% 32% 21% 15% 29% 2.9x 2.3x 2.7x 3.6x 2.3x 44.2% 4.8x 67.8% 51.0% 2005 $41.1 $ $ % 431 bp 23% 49% 25% 21% 15% 2.8x 2.6x 2.9x 5.3x 2.0x 52.9% 4.4x 62.1% 40.5% 2006 $50.7 $ $ % 414 bp 36% 43% 25% 24% 37% 2.2x 1.4x 2.6x 4.5x 2.7x 44.9% 5.2x 64.8% 46.7% 2007 $45.5 $ $ % 413 bp 32% 40% 19% 25% 37% 3.5x 3.5x 2.7x NA 2.0x 41.7% 4.8x 63.3% 48.7% 2008 $18.5 $ $ % 674 bp 28% 36% 26% 24% 37% 2.9x 2.0x 2.6x 3.2x 3.2x 54.2% 5.2x 58.4% 44.8% 2009 $58.4 $ $ % 812 bp 16% 29% 25% 21% 34% 3.0x 1.9x 2.8x 5.3x 2.6x 53.5% 4.8x 66.8% 56.8% 2010 $109.5 $ $ % 651 bp 0% 18% 22% 18% 19% 2.7x 2.1x 2.6x 4.2x 2.5x 51.5% 5.1x 65.6% 52.6% 2011 $85.7 $ $ % 624 bp 7% 16% 25% 17% 34% 2.8x 2.2x 2.7x 4.4x 3.0x 60.9% 4.9x 63.1% 46.8% 2012 $138.9 $ $ % 656 bp 14% 32% 30% 15% 25% 2.7x 1.9x 2.6x 4.0x 3.1x 54.4% 5.4x 65.7% 54.7% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 2013 Leveraged Finance Outlook and 2012 Annual Review 151

152 Exhibit 311: Credit Characteristics of New Issues by Rating: CCC Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1992 $0.7 $0.4 1 $ % 462 bp 11% 13% 27% 11% 12% 1.4x 1.1x 1.4x 7.5x 5.6x 81.3% 6.8x NA NA 1993 $1.5 $1.1 9 $ % 656 bp 94% -3% NA 37% 12% 1.2x NA 1.2x NA NA NA 6.1x 84.7% 59.3% 1994 $2.1 $ $ % 576 bp 75% 26% 11% 31% 29% 1.9x NA 0.9x 6.1x 2.9x 59.2% 6.2x 67.7% 71.3% 1995 $1.2 $0.8 6 $ % 688 bp 83% 41% 17% 57% 34% 1.4x NA 0.5x 0.9x 2.9x 77.6% 8.8x 60.1% 58.1% 1996 $0.7 $0.5 3 $ % 560 bp 0% -3% NA 1% 17% NA NA NA NA NA 100.0% NA 63.1% NA 1997 $2.3 $ $ % 685 bp 105% NA 6% 43% 69% 1.2x 1.1x 1.2x 6.1x 5.6x 72.3% 7.7x 67.4% 50.6% 1998 $6.9 $ $ % 653 bp 80% 38% 24% 28% 30% 1.9x 1.5x 1.5x 5.4x 4.5x 74.6% 6.3x 78.8% 61.9% 1999 $2.0 $1.3 9 $ % 821 bp 312% 187% 12% 63% NA 1.0x 1.7x 1.0x 1.7x 0.7x 42.1% 5.3x 72.0% 34.0% 2000 $3.8 $ $ % 712 bp 469% 257% 29% 99% NA 1.0x NA 1.0x 2.7x 7.7x 35.0% 10.8x 65.6% 24.2% 2001 $0.9 $0.9 5 $ % 858 bp 526% 102% NA 112% NA NA NA NA NA NA 43.8% NA 67.7% 29.8% 2002 $0.2 $0.2 2 $ % 474 bp -18% -9% 13% 28% 19% NA NA 1.9x NA 0.6x 13.7% 4.4x 85.8% 68.9% 2003 $4.2 $ $ % 742 bp 132% 144% 26% 36% 26% 2.6x 2.5x 1.9x 4.4x 3.4x 49.3% 5.8x 75.6% 72.5% 2004 $11.2 $ $ % 644 bp 14% 60% 23% 17% 24% 2.6x 2.1x 2.1x 4.2x 3.3x 47.4% 6.6x 74.6% 51.5% 2005 $5.1 $ $ % 649 bp 134% 31% 25% 31% 24% 2.6x 2.3x 2.6x 8.0x 2.8x 63.7% 5.3x 64.0% 46.5% 2006 $10.2 $ $ % 631 bp 22% 12% 16% 18% 28% 2.1x 1.7x 1.7x 7.3x 4.8x 64.8% 7.5x 71.3% 55.4% 2007 $19.9 $ $ % 578 bp 21% 48% 17% 18% 26% 1.4x 1.3x 2.0x 6.6x 3.7x 55.7% 6.7x 69.7% 49.9% 2008 $10.1 $ $ % 818 bp 13% 9% 18% 12% 23% 1.5x 1.1x 1.2x 5.6x 4.0x 45.1% 9.1x 82.5% 93.0% 2009 $6.1 $ $ % 803 bp -5% 14% 48% 13% 6% 2.8x 1.6x 2.5x 6.5x 4.0x 58.2% 6.5x 85.0% 62.6% 2010 $20.7 $ $ % 771 bp -4% 10% 20% 13% 19% 2.1x 1.5x 1.9x 5.4x 3.8x 58.0% 6.2x 75.1% 61.6% 2011 $21.3 $ $ % 772 bp 2% 10% 27% 16% 18% 2.4x 1.7x 2.2x 5.3x 4.5x 63.1% 6.8x 67.7% 56.6% 2012 $33.2 $ $ % 837 bp 8% 20% 26% 10% 19% 2.3x 1.7x 2.2x 6.8x 3.8x 57.1% 6.4x 70.9% 62.5% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap Exhibit 312: BB(1) New Issue Spreads vs. Secondary Market Spreads Spreads mo Rolling Avg BB-Rated New Issue Spread Secondary Market BB-Rated Spread (1) If there are no new issue deals for one month, prior month's average is used. If there are no new issues for more than a month, no spread is carried over Leveraged Finance Outlook and 2012 Annual Review

153 Exhibit 313: B(1) New Issue Spreads vs. Secondary Market Spreads Spreads mo Rolling Avg New Issue Spread Secondary Market Spread (1) If there are no new issue deals for one month, prior month's average is used. If there are no new issues for more than a month, no spread is carried over. Exhibit 314: New Issue Leverage of B Rated and BB Rated Bonds: x 5.5x 5.4x Debt/EBITDA 5.0x 4.5x 4.0x 3.5x 3.9x 3.0x BB-Rated Bonds B-Rated Bonds Exhibit 315: New Issue Interest Coverage of B Rated and BB Rated Bonds, x EBITDA/Interest Expense 3.0x 2.5x 2.0x 1.5x 3.2x 2.6x 1.0x BB-Rated Bonds B-Rated Bonds 2013 Leveraged Finance Outlook and 2012 Annual Review 153

154 New Issues by Seniority In 2012, senior secured bonds composed 23.2% of total high yield issuance, compared to 23.7% in Senior secured bond issuers had average total debt/ebitda of 5.8x and average ebitda/total interest of 2.3x. These metrics are less conservative than for unsecured bond issuers. However, the average secured debt/ebitda of 4.2x is more conservative than the 4.7x total debt/ebitda for unsecured bond issuers. Secured bonds had an average offering yield of 8.78% in 2012 vs. 7.08% for senior issues and 6.98% for subordinated issues. Exhibit 316: 2012 High Yield Issuance Statistics by Seniority Total Proceeds, Average Debt/ Average Secured Average EBITDA/ Average Issuance 2012 $MM EBITDA Debt/EBITDA Total Interest YTM Senior Secured $ x 4.2x 2.3x 8.78% Senior $ x 2.2x 2.9x 7.08% Senior Subordinate $ x 1.8x 2.8x 6.98% Junior Subordinate $ x 2.5x 2.7x 7.69% Exhibit 317: US High Yield New Issuance Volume (FRNs Excluded) 40.0% 36.3% % of HY Issuance Proceeds 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 19.8% 17.7% 23.2% 0.0% Senior Secured Issuance as a Pct of Total HY Proceeds Leveraged Finance Outlook and 2012 Annual Review

155 Exhibit 318: Average YTM at Issuance by Seniority Average YTM at Issuance 16.50% 14.50% 12.50% 10.50% 8.50% 6.50% Lower Offering Yields for Secured Higher Offering Yields for Secured Senior Secured Senior Senior Subordinate Junior Subordinate Exhibit 319: Credit Characteristics of New Issues by Seniority: Senior Secured Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $4.6 $ $ % 416 bp 6% 21% 48% 6% 18% 2.1x 1.4x 2.1x 5.2x 3.4x 37.0% 5.6x 71.2% N/A 1987 $3.5 $ $ % 379 bp 8% -7% 43% 17% 10% 2.4x 2.6x 2.4x 6.8x 3.0x 75.7% 4.5x 70.9% N/A 1988 $2.6 $ $ % 290 bp N/A N/A N/A N/A N/A N/A N/A N/A 7.1x N/A 100.0% N/A 97.1% N/A 1989 $2.5 $ $ % 388 bp 3% 2% 51% 4% 8% 2.3x 1.1x 2.3x 8.1x 3.6x 100.0% 3.6x 63.5% 63.5% 1990 $0.1 $0.1 1 $ % 169 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $2.6 $ $ % 377 bp 15% 40% 25% 14% 44% 1.6x 1.0x 1.5x 4.7x 3.6x 78.2% 5.7x 79.6% 80.1% 1992 $5.8 $ $ % 418 bp -3% 7% 54% 87% 5% 3.0x 2.3x 2.7x N/A 5.7x 86.4% 5.7x 96.2% 96.9% 1993 $12.2 $ $ % 474 bp 12% 15% 18% 11% 18% 1.7x 1.5x 1.6x 8.1x 4.8x 82.7% 6.7x 79.8% 68.6% 1994 $5.8 $ $ % 476 bp 25% 4% 16% 15% 26% 1.6x 1.3x 1.5x 8.9x 6.2x 93.7% 7.4x 71.8% 67.9% 1995 $8.2 $ $ % 562 bp 69% 56% 35% 28% 43% 2.0x 1.3x 1.9x 7.9x 5.1x 96.2% 5.3x 81.2% 67.0% 1996 $8.7 $ $ % 440 bp 95% 37% 22% 27% 38% 2.0x 0.9x 2.0x 8.5x 4.4x 96.0% 5.2x 76.4% 57.1% 1997 $9.3 $ $ % 475 bp 32% 48% 30% 20% 50% 1.5x 1.4x 1.6x 7.3x 4.9x 90.2% 6.4x 76.1% 35.7% 1998 $5.7 $ $ % 546 bp 38% 106% 30% 24% 38% 2.1x 1.5x 2.1x 7.9x 4.2x 100.0% 5.0x 81.0% 73.8% 1999 $7.4 $ $ % 603 bp 13% 17% 28% 20% 24% 2.2x 1.6x 2.2x 6.3x 3.5x 81.4% 5.0x 72.4% 71.7% 2000 $1.2 $1.2 8 $ % 575 bp 15% -5% 6% 19% 6% 2.9x 2.2x 2.9x 1.0x 0.4x 56.9% 2.6x 37.0% 44.2% 2001 $6.3 $ $ % 700 bp 59% 83% 36% 26% 32% 2.4x 2.2x 2.3x 0.9x 1.0x 29.6% 3.7x 63.6% 62.3% 2002 $10.0 $ $ % 653 bp 7% 18% 17% 12% 29% 2.8x 2.2x 2.2x 3.4x 1.7x 40.5% 5.1x 67.5% 67.7% 2003 $24.9 $ $ % 702 bp 23% 4% 14% 15% 61% 2.2x 1.8x 2.0x 4.0x 3.2x 47.5% 5.8x 71.3% 70.1% 2004 $19.1 $ $ % 538 bp 19% 68% 20% 15% 25% 2.4x 2.1x 2.2x 2.6x 2.6x 50.7% 5.3x 72.9% 60.0% 2005 $6.1 $ $ % 520 bp 56% 88% 18% 25% 32% 2.2x 1.8x 2.2x 9.8x 3.4x 60.1% 5.7x 61.6% 52.2% 2006 $19.2 $ $ % 413 bp 19% 20% 18% 16% 17% 2.1x 0.9x 2.3x 5.4x 3.1x 57.9% 5.4x 56.7% 48.1% 2007 $12.8 $ $ % 458 bp 18% 33% 24% 14% 30% N/A N/A 2.2x 7.3x 3.5x 61.7% 5.3x 72.9% 63.4% 2008 $6.1 $ $ % 896 bp 32% 26% 25% 24% 40% 2.5x 1.3x 1.9x 4.8x 3.3x 68.3% 5.4x 68.2% 80.4% 2009 $61.1 $ $ % 898 bp 11% 11% 18% 20% -30% 2.7x 2.1x 2.5x 5.5x 3.6x 68.9% 5.1x 68.2% 65.4% 2010 $75.9 $ $ % 754 bp 5% 8% 24% 16% -4% 2.5x 1.9x 2.1x 6.3x 3.9x 72.6% 5.7x 66.3% 60.2% 2011 $52.0 $ $ % 723 bp 7% 17% 23% 18% 46% 2.4x 1.9x 2.2x 6.1x 4.3x 81.1% 5.6x 68.7% 56.3% 2012 $80.0 $ $ % 761 bp 9% 21% 24% 12% 20% 2.5x 1.9x 2.3x 6.9x 4.2x 74.0% 5.8x 70.1% 62.5% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap 2013 Leveraged Finance Outlook and 2012 Annual Review 155

156 Exhibit 320: Credit Characteristics of New Issues by Seniority: Senior Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $12.4 $ $ % 450 bp 7% 67% 29% 10% 53% 2.1x 2.3x 2.1x 6.2x 4.0x 77.4% 4.9x 62.5% N/A 1987 $8.2 $ $ % 324 bp 18% 37% 22% 16% 31% 1.9x 1.1x 1.8x 6.7x 4.5x 72.5% 4.1x 82.8% 32.8% 1988 $4.5 $ $ % 438 bp 18% 67% 126% 17% 49% 2.2x 0.5x 1.9x 4.9x 2.5x 44.9% 5.8x 87.2% N/A 1989 $7.6 $ $ % 378 bp 13% 52% 26% 12% 40% 2.2x 1.2x 2.2x 8.6x 4.2x 94.2% 4.4x 61.0% 61.0% 1990 $3.1 $ $ % 251 bp 5% 19% 17% 5% 18% 2.8x 0.9x 2.8x 4.0x 2.0x 46.7% 3.2x 78.8% 84.3% 1991 $6.9 $ $ % 308 bp 20% 21% 21% 18% 25% 2.2x 1.3x 2.1x 7.1x 3.7x 79.4% 4.8x 76.8% 76.3% 1992 $21.2 $ $ % 342 bp 8% 12% 26% 13% 21% 1.8x 1.2x 1.7x 4.9x 3.0x 54.4% 5.7x 95.3% 98.7% 1993 $37.6 $ $ % 409 bp 8% 17% 26% 10% 28% 2.1x 1.5x 2.0x 7.0x 3.9x 67.2% 5.4x 67.3% 56.6% 1994 $17.6 $ $ % 378 bp 13% 31% 19% 14% 30% 2.3x 1.7x 2.3x 8.4x 4.4x 93.5% 4.9x 68.4% 53.2% 1995 $19.4 $ $ % 372 bp 49% 87% 23% 27% 35% 2.5x 2.0x 2.5x 7.9x 4.0x 90.7% 4.6x 64.1% 51.6% 1996 $27.8 $ $ % 376 bp 63% 33% 24% 28% 33% 2.4x 1.6x 2.4x 7.0x 4.0x 91.8% 4.5x 64.6% 49.0% 1997 $61.6 $ $ % 374 bp 61% 54% 30% 31% 49% 2.2x 1.6x 2.1x 7.3x 4.2x 83.3% 5.3x 67.8% 51.8% 1998 $75.4 $ $ % 405 bp 57% 40% 27% 29% 38% 2.3x 1.7x 2.2x 7.6x 4.7x 89.5% 5.1x 71.1% 52.0% 1999 $52.2 $ $ % 474 bp 108% 89% 19% 40% 18% 2.5x 2.0x 2.4x 4.3x 2.6x 49.0% 5.0x 64.8% 45.4% 2000 $28.8 $ $ % 521 bp 135% 108% 32% 47% 1% 2.4x 1.8x 2.3x 3.5x 2.2x 33.7% 6.2x 65.3% 36.9% 2001 $54.5 $ $ % 465 bp 61% 28% 25% 30% 27% 2.8x 2.1x 2.7x 2.5x 1.8x 33.2% 4.7x 58.8% 47.4% 2002 $33.0 $ $ % 486 bp 11% 7% 24% 16% 27% 2.8x 2.3x 2.6x 4.3x 1.7x 34.1% 4.7x 61.1% 50.6% 2003 $83.6 $ $ % 483 bp 16% 8% 24% 15% 18% 2.7x 2.1x 2.6x 2.7x 1.9x 34.8% 5.0x 63.1% 54.8% 2004 $74.8 $ $ % 365 bp 16% 49% 26% 19% 37% 3.0x 2.3x 2.9x 2.2x 1.8x 32.9% 4.7x 59.4% 43.8% 2005 $58.6 $ $ % 371 bp 35% 39% 24% 22% 25% 2.8x 2.5x 3.0x 5.6x 1.8x 54.1% 3.9x 58.0% 35.4% 2006 $90.4 $ $ % 368 bp 28% 36% 25% 19% 22% 2.4x 1.7x 2.6x 5.3x 2.6x 47.3% 4.8x 62.1% 44.0% 2007 $105.7 $ $ % 376 bp 23% 33% 21% 20% 31% 2.4x 2.4x 2.6x 6.6x 2.2x 42.2% 5.0x 61.1% 38.4% 2008 $44.0 $ $ % 622 bp 18% 23% 28% 17% 28% 2.6x 1.8x 2.6x 3.4x 2.3x 39.0% 5.1x 60.3% 40.7% 2009 $100.5 $ $ % 650 bp 9% 16% 30% 17% 22% 3.2x 2.4x 3.1x 3.6x 1.7x 36.7% 4.3x 60.7% 49.3% 2010 $189.1 $ $ % 540 bp 1% 12% 28% 17% 29% 3.0x 2.4x 2.9x 4.1x 2.0x 40.7% 4.6x 59.3% 43.6% 2011 $161.4 $ $ % 517 bp 5% 13% 30% 15% 23% 3.1x 2.5x 3.0x 3.3x 2.0x 38.8% 4.5x 57.6% 41.2% 2012 $250.4 $ $ % 569 bp 16% 36% 33% 16% 16% 3.0x 2.4x 2.9x 3.0x 2.2x 41.4% 4.7x 59.9% 44.3% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap Leveraged Finance Outlook and 2012 Annual Review

157 Exhibit 321: Credit Characteristics of New Issues by Seniority: Senior Subordinated Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $20.6 $ $ % 529 bp 27% 35% 13% 22% 26% 1.5x 0.8x 1.4x 3.4x 3.1x 42.0% 7.3x 75.7% N/A 1987 $20.2 $ $ % 444 bp 42% 34% 18% 17% 23% 1.7x 1.4x 1.6x 4.4x 3.3x 46.0% 6.0x 84.3% 46.0% 1988 $19.0 $ $ % 452 bp 33% 31% 33% 25% 32% 1.3x 0.7x 1.2x 3.5x 3.0x 43.1% 7.7x 85.0% 69.1% 1989 $14.8 $ $ % 517 bp 12% 29% 19% 13% 24% 1.7x 1.2x 1.5x 6.1x 4.2x 61.7% 6.8x 87.0% 88.4% 1990 $1.4 $1.0 9 $ % 561 bp 4% 1% 22% 4% 18% 2.5x 0.9x 2.5x 5.5x 1.7x 51.0% 3.3x 81.2% 68.4% 1991 $2.9 $ $ % 448 bp 11% 17% 24% 12% 17% 2.1x 1.3x 2.0x 4.9x 2.7x 53.7% 4.8x 83.7% 69.5% 1992 $18.3 $ $ % 397 bp 6% 10% 19% 6% 11% 1.7x 1.1x 1.7x 5.4x 3.3x 58.2% 5.7x 97.3% 96.1% 1993 $20.0 $ $ % 440 bp 7% 15% 14% 10% 20% 2.4x 1.5x 2.3x 6.0x 3.1x 66.4% 4.5x 71.1% 51.0% 1994 $10.7 $ $ % 449 bp 15% 28% 20% 15% 28% 2.2x 1.4x 2.1x 4.1x 2.4x 42.1% 5.3x 70.2% 52.9% 1995 $12.2 $ $ % 470 bp 24% 29% 27% 23% 28% 2.2x 1.6x 2.2x 5.3x 2.4x 47.9% 5.1x 72.3% 50.1% 1996 $23.3 $ $ % 402 bp 32% 62% 24% 24% 33% 2.2x 1.8x 2.2x 4.9x 3.0x 59.2% 5.3x 66.5% 50.3% 1997 $39.3 $ $ % 356 bp 37% 40% 24% 25% 33% 2.2x 1.6x 2.1x 4.4x 2.6x 50.0% 5.2x 69.5% 44.0% 1998 $39.8 $ $ % 433 bp 38% 60% 20% 25% 31% 2.3x 1.7x 2.3x 4.1x 2.2x 42.4% 5.1x 70.1% 48.6% 1999 $29.5 $ $ % 537 bp 31% 49% 20% 23% 29% 2.5x 1.8x 2.5x 4.4x 2.0x 43.3% 4.6x 70.9% 55.3% 2000 $8.9 $ $ % 571 bp 23% 58% 24% 23% 20% 2.6x 2.0x 2.6x 4.1x 1.9x 44.8% 4.2x 66.3% 47.6% 2001 $25.0 $ $ % 506 bp 40% 32% 24% 23% 27% 2.8x 2.2x 2.7x 3.8x 1.7x 38.3% 4.1x 61.9% 48.7% 2002 $22.5 $ $ % 485 bp 17% 22% 24% 17% 23% 2.7x 2.3x 2.7x 4.8x 1.7x 37.9% 4.2x 65.4% 48.2% 2003 $29.2 $ $ % 463 bp 22% 31% 19% 14% 23% 2.8x 2.3x 2.8x 5.0x 1.8x 38.4% 4.2x 64.7% 47.1% 2004 $35.1 $ $ % 424 bp 15% 25% 18% 14% 23% 2.7x 2.2x 2.7x 5.7x 2.5x 45.4% 5.1x 66.5% 43.9% 2005 $21.6 $ $ % 420 bp 20% 30% 21% 18% 11% 2.6x 2.3x 2.9x 6.4x 2.7x 54.1% 4.7x 57.3% 35.5% 2006 $15.8 $ $ % 460 bp 24% 24% 24% 19% 22% 1.5x 1.2x 2.3x 7.1x 3.2x 48.6% 6.0x 63.9% 39.1% 2007 $14.9 $ $ % 446 bp 28% 35% 13% 20% 28% 1.4x 1.3x 2.3x 6.6x 3.4x 51.3% 6.0x 64.7% 37.3% 2008 $2.9 $ $ % 492 bp 16% 15% 30% 15% 16% 2.9x 3.3x 2.8x 6.1x 2.3x 50.6% 3.8x 47.3% 26.1% 2009 $5.5 $ $ % 718 bp 17% 24% 28% 17% 26% 3.2x 2.3x 3.1x 4.6x 2.2x 44.1% 4.4x 55.4% 43.8% 2010 $12.4 $ $ % 565 bp -1% 1% 23% 11% -9% 2.8x 2.2x 2.7x 4.2x 2.0x 37.7% 5.2x 61.2% 44.1% 2011 $3.6 $ $ % 418 bp -6% -11% 25% 15% 26% 3.3x 3.0x 3.3x 1.3x 1.2x 29.2% 3.4x 41.0% 23.6% 2012 $12.8 $ $ % 548 bp 6% 11% 28% 10% 15% 2.9x 2.0x 2.8x 3.2x 1.8x 39.5% 4.6x 68.9% 51.4% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap 2013 Leveraged Finance Outlook and 2012 Annual Review 157

158 Exhibit 322: Credit Characteristics of New Issues by Seniority: Junior Subordinated Total Amt, $Bil Total Proceeds $Bil Number of Issues Avg. Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $7.2 $ $ % 686 bp 20% 42% 18% 17% 32% 0.6x 0.4x 0.5x 4.2x 4.3x 44.5% 9.1x 84.4% N/A 1987 $7.1 $ $ % 573 bp 5% 3% 15% 10% 14% 1.2x 0.7x 1.0x 6.0x 3.7x 67.4% 7.2x 89.1% 1988 $13.6 $ $ % 596 bp 10% -1% 13% 10% 16% 1.5x 0.8x 1.3x 3.1x 2.6x 30.3% 8.1x 83.6% 90.5% 1989 $12.8 $ $ % 675 bp 16% 38% 18% 15% 30% 1.6x 1.2x 1.2x 6.6x 4.4x 66.9% 6.5x 85.6% 85.6% 1990 $0.3 $0.1 1 $ % 847 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $1.9 $0.8 4 $ % 524 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 99.4% 99.4% 1992 $6.9 $ $ % 593 bp 6% 7% 26% 13% 15% 1.5x 0.9x 1.5x 5.5x 4.6x 55.3% 5.9x 86.2% 80.5% 1993 $13.5 $ $ % 615 bp 22% 12% 14% 12% 16% 2.1x 1.0x 1.5x 6.8x 4.8x 88.6% 6.3x 77.5% 50.0% 1994 $8.7 $ $ % 553 bp 41% 82% 20% 27% 29% 2.3x 2.1x 0.8x 5.3x 4.1x 80.9% 6.3x 65.5% 58.6% 1995 $9.2 $ $ % 707 bp 137% 36% 25% 63% 27% 2.2x 2.1x 0.6x 6.6x 3.0x 82.0% 7.1x 67.2% 47.8% 1996 $14.9 $ $ % 632 bp 146% 57% 39% 48% 30% 1.7x 1.4x 1.5x 6.1x 6.8x 91.5% 6.9x 69.2% 50.7% 1997 $18.5 $ $ % 565 bp 116% 30% 22% 49% 65% 1.7x 1.6x 1.3x 6.4x 5.7x 80.5% 7.7x 71.4% 45.2% 1998 $27.3 $ $ % 608 bp 65% 79% 24% 34% 30% 1.6x 1.4x 1.4x 6.0x 4.5x 81.1% 6.5x 76.3% 43.6% 1999 $12.9 $ $ % 712 bp 163% 116% 18% 55% 25% 1.3x 0.9x 1.2x 5.0x 3.3x 48.5% 7.3x 65.0% 40.4% 2000 $7.2 $ $ % 721 bp 248% 161% 30% 60% -52% 0.7x 0.1x 0.7x 2.9x 5.1x 32.7% 9.8x 64.4% 23.8% 2001 $4.7 $ $ % 748 bp 125% 12% 34% 56% 32% 1.6x 1.0x 1.3x 6.5x 5.4x 59.8% 8.2x 60.1% 64.3% 2002 $1.2 $0.8 5 $ % 878 bp -2% -1% 23% 12% 4% 2.4x 1.8x 1.6x 3.5x 3.3x 42.4% 7.5x 76.9% 57.7% 2003 $4.7 $ $ % 742 bp 21% 13% 32% 18% 13% 2.5x 2.1x 2.0x 3.9x 2.8x 35.4% 6.3x 83.2% 75.1% 2004 $10.8 $ $ % 704 bp 6% 18% 23% 10% 22% 2.6x 1.9x 2.1x 6.0x 2.8x 40.9% 6.4x 78.6% 36.3% 2005 $1.8 $ $ % 830 bp 8% 13% 21% 13% 23% 3.0x 2.7x 2.5x N/A 1.8x 31.8% 5.9x 83.5% N/A 2006 $2.7 $1.6 7 $ % 828 bp 4% 6% 14% 4% 11% 2.4x 2.2x 1.5x 8.1x 5.9x 69.6% 8.6x 72.0% N/A 2007 $4.0 $3.9 6 $ % 861 bp 17% N/A N/A 18% N/A N/A N/A 1.0x N/A 6.1x 61.8% 9.8x 76.3% N/A 2008 $1.8 $1.8 5 $ % 810 bp 9% -6% 7% 9% 31% 1.7x 1.1x 1.1x 2.7x 1.6x 16.7% 9.6x 92.6% N/A 2009 $1.2 $1.0 3 $ % 891 bp -1% 15% 19% 3% 23% 2.0x 1.9x 1.7x 6.0x 4.0x 48.8% 8.4x 61.6% N/A 2010 $1.2 $0.7 3 $ % 1398 bp -35% -37% 3% 30% 32% N/A N/A 1.2x N/A 6.6x 72.5% 9.1x N/A N/A 2011 $3.0 $2.4 8 $ % 896 bp -2% -2% 18% 8% 7% 2.4x 1.5x 2.0x 5.1x 3.1x 51.5% 6.6x 64.7% 60.8% 2012 $1.1 $1.1 2 $ % 645 bp -1% 0% 23% 3% 3% 2.7x 1.8x 2.7x 6.4x 2.5x 43.3% 5.7x N/A 71.6% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/ Cash Interest Senior Debt/ EBITDA Senior Debt/ Total Debt Debt/ EBITDA Debt/Cap Debt/ Market Cap Leveraged Finance Outlook and 2012 Annual Review

159 Credit Characteristics by Use of Proceeds Bond refinancings comprised 29.2% of 2012 proceeds. This was the largest use of proceeds for 2012, with loan refinancings the next largest at 24.3%. Exhibit 323: New Issues by Use of Proceeds (Percent of Proceeds): 2012 General Corporate 15.6% Loan Refinance 24.3% Acquisition Finance 19.4% Dividends 5.5% Bond & Loan Refinance 6.0% Bond Refinance 29.2% Acquisitions comprised 19% of total issuance in 2012 as the appetite for LBOs grew more slowly than the volume of refinancing. However, the volume of acquisitions set a new annual record of $67 billion, as corporate acquisition activity remains robust. Exhibit 324: Acquisition Finance % of New Issue Proceeds 45% 40% 40.8% Acquisition Finance % 35% 30% 25% 20% 15% 10% 30.2% 19.4% 5% 0% High Yield New Issues UoP: Acquisition Finance % 2013 Leveraged Finance Outlook and 2012 Annual Review 159

160 The percentage of refinancings in the years following the 2008 recession had tracked the percentage of refis following the 2002 recession fairly closely. But refis composed a higher percentage of issuance in 2012 compared to the corresponding period in 2006 because low rates are the more significant driver of issuance. Exhibit 325: Refinance % of New Issue Proceeds Refinance % of New Issue Proceeds 100% 90% 80% 70% 60% 50% 40% 30% Quarters After Market Bottom Q % Q % 4Q02-4Q07 4Q08-4Q12 Exhibit 326: Credit Characteristics of New Issues with Acquisition Finance as the Use of Proceeds Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $0.0 $0.0 0 $0.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1987 $2.1 $ $ % 525 bp 8% 4% 25% 8% 4% 3.5x 3.5x 3.5x 6.1x 1.0x 69.3% 1.4x N/A N/A 1988 $2.4 $ $ % 452 bp 10% -2% 15% 10% 12% 1.1x 0.6x 1.1x 2.0x 2.5x 23.5% 7.6x 92.9% 93.9% 1989 $0.0 $0.0 0 $0.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1990 $0.3 $0.3 1 $ % 356 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $0.0 $0.0 0 $0.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1992 $0.0 $0.0 0 $0.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1993 $5.2 $ $ % 531 bp 2% 31% 21% 6% 28% 2.8x 1.4x 2.2x 4.4x 4.0x 78.9% 5.0x 73.0% 35.1% 1994 $5.6 $ $ % 461 bp 14% 12% 18% 15% 25% 1.9x 1.3x 1.8x 6.3x 4.0x 65.7% 6.0x 78.0% 74.5% 1995 $11.7 $ $ % 487 bp 24% 50% 22% 19% 27% 2.2x 1.6x 2.0x 6.3x 3.7x 69.0% 5.3x 77.2% 57.7% 1996 $21.6 $ $ % 432 bp 46% 56% 26% 24% 39% 2.1x 1.6x 2.1x 5.9x 3.6x 69.8% 5.1x 71.1% 51.5% 1997 $30.4 $ $ % 401 bp 51% 43% 27% 25% 41% 1.9x 1.5x 1.8x 6.0x 4.1x 67.7% 5.8x 71.7% 47.5% 1998 $31.1 $ $ % 470 bp 33% 58% 22% 24% 31% 2.1x 1.7x 1.9x 5.6x 3.5x 66.1% 5.6x 76.2% 55.1% 1999 $23.0 $ $ % 556 bp 27% 32% 17% 18% 26% 2.3x 1.7x 2.2x 4.9x 2.6x 51.9% 4.7x 70.7% 52.2% 2000 $10.4 $ $ % 603 bp 27% 40% 26% 19% 19% 2.3x 1.7x 2.2x 4.5x 2.9x 47.4% 5.4x 66.7% 44.7% 2001 $11.1 $ $ % 566 bp 10% 14% 29% 25% 25% 2.5x 2.0x 2.5x 4.1x 3.0x 47.0% 5.2x 62.5% 50.2% 2002 $11.8 $ $ % 590 bp 7% 14% 19% 15% 24% 2.9x 2.4x 2.8x 5.0x 1.9x 43.1% 4.2x 65.5% 53.0% 2003 $19.4 $ $ % 510 bp 10% 18% 20% 13% 29% 2.7x 2.2x 2.8x 5.6x 2.2x 44.4% 4.6x 66.7% 52.5% 2004 $30.5 $ $ % 462 bp 17% 33% 24% 17% 28% 2.7x 2.1x 2.6x 5.9x 3.0x 52.3% 5.5x 67.0% 44.9% 2005 $29.3 $ $ % 520 bp 19% 46% 25% 20% 27% 2.5x 2.2x 2.8x 6.6x 2.3x 51.2% 4.8x 63.1% 27.8% 2006 $50.8 $ $ % 479 bp 22% 21% 21% 17% 23% 1.9x 1.3x 2.1x 6.2x 3.6x 50.2% 6.5x 68.2% 45.0% 2007 $56.1 $ $ % 497 bp 23% 31% 17% 19% 26% 2.1x 2.0x 2.1x 6.6x 3.3x 53.9% 6.2x 69.1% 51.4% 2008 $10.2 $ $ % 764 bp 14% 17% 22% 16% 27% 2.9x 2.6x 2.3x 6.5x 4.6x 58.1% 5.1x 73.2% 46.9% 2009 $9.5 $ $ % 606 bp 8% 28% 20% 19% 28% 2.7x 1.9x 3.1x 1.0x 2.4x 46.3% 4.6x 62.4% 43.3% 2010 $46.7 $ $ % 610 bp 9% 18% 28% 14% -5% 2.9x 2.4x 2.7x 7.0x 2.8x 56.4% 4.5x 62.3% 46.6% 2011 $51.6 $ $ % 627 bp 10% 16% 24% 14% 26% 2.8x 2.3x 2.8x 5.2x 3.1x 57.7% 5.3x 60.4% 45.1% 2012 $66.6 $ $ % 681 bp 20% 25% 32% 16% 14% 2.9x 2.2x 2.7x 5.0x 3.1x 55.1% 5.4x 64.9% 49.7% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap Leveraged Finance Outlook and 2012 Annual Review

161 Exhibit 327: Credit Characteristics of New Issues with General Corporate Purposes as the Use of Proceeds Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $0.0 $0.0 0 $0.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1987 $2.2 $ $ % 346 bp 5% -6% 9% 5% 20% 1.5x 0.9x 1.5x 5.2x 3.4x 57.9% 5.9x 48.6% N/A 1988 $2.2 $1.1 9 $ % 486 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1989 $0.2 $0.2 1 $ % 131 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1990 $0.0 $0.0 1 $ % 400 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 74.5% 74.5% 1991 $0.7 $0.3 3 $ % 223 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 99.7% 99.7% 1992 $1.4 $1.4 7 $ % 245 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 99.6% 99.6% 1993 $7.4 $ $ % 366 bp 41% 26% N/A 30% 35% 2.0x N/A 1.9x N/A N/A N/A 5.7x 70.5% 45.7% 1994 $12.8 $ $ % 434 bp 50% 99% 21% 29% 43% 2.2x 1.7x 1.6x 5.3x 4.0x 88.7% 5.4x 60.9% 47.9% 1995 $13.3 $ $ % 600 bp 155% 84% 34% 53% 47% 2.2x 1.5x 2.2x 7.3x 4.2x 91.9% 5.3x 63.0% 46.2% 1996 $18.0 $ $ % 496 bp 136% 65% 25% 49% 31% 2.1x 2.1x 2.1x 6.1x 3.4x 92.3% 5.3x 69.4% 45.2% 1997 $24.0 $ $ % 488 bp 120% 57% 27% 50% 74% 1.9x 1.5x 1.7x 6.4x 3.7x 82.6% 5.7x 70.6% 49.3% 1998 $39.5 $ $ % 510 bp 81% 65% 29% 39% 36% 2.0x 1.5x 1.9x 6.2x 4.6x 86.2% 5.6x 72.5% 51.0% 1999 $25.7 $ $ % 613 bp 215% 138% 18% 60% -3% 1.9x 1.5x 1.8x 4.3x 2.1x 50.0% 5.6x 68.2% 42.5% 2000 $19.1 $ $ % 594 bp 237% 211% 26% 65% -51% 2.0x 1.6x 1.9x 2.3x 1.7x 30.8% 8.3x 63.2% 20.4% 2001 $8.8 $ $ % 531 bp 329% 96% 34% 77% 11% 2.0x 1.7x 2.0x 2.6x 4.9x 48.9% 6.6x 60.2% 43.5% 2002 $3.0 $ $ % 583 bp 21% 10% 38% 18% 35% 3.5x 3.5x 1.3x 0.0x 1.8x 35.9% 5.5x 68.1% 52.9% 2003 $6.7 $ $ % 531 bp 64% 23% 18% 18% 237% 2.6x 2.7x 2.9x 2.9x 1.6x 25.5% 3.8x 63.0% 44.3% 2004 $6.2 $ $ % 355 bp 20% 51% 25% 15% 21% N/A N/A 3.1x N/A 1.9x 32.8% 4.2x 50.8% 46.4% 2005 $2.2 $ $ % 373 bp 19% 61% 20% 17% 36% 3.5x 1.6x 2.8x 3.0x 2.1x 46.8% 4.9x 59.7% 43.3% 2006 $9.4 $ $ % 448 bp 3% -1% 32% 8% 22% N/A N/A 2.1x N/A 4.1x 54.4% 5.0x 65.9% 62.4% 2007 $9.9 $ $ % 322 bp 27% 71% 17% 25% 47% N/A N/A 3.4x 7.3x 1.7x 38.2% 3.8x 56.3% 27.8% 2008 $5.3 $ $ % 528 bp 14% 9% 28% 14% 21% 3.0x 1.6x 3.1x 2.2x 0.9x 16.7% 4.2x 54.2% 42.4% 2009 $21.3 $ $ % 730 bp 10% 15% 34% 19% 39% 3.1x 2.4x 3.1x 3.7x 1.8x 36.8% 4.2x 57.9% 48.5% 2010 $25.6 $ $ % 523 bp 2% 40% 26% 21% 49% 3.3x 2.9x 2.8x 3.7x 2.4x 48.2% 4.3x 59.8% 41.8% 2011 $28.7 $ $ % 582 bp 11% 31% 36% 24% 36% 3.2x 2.5x 3.1x 2.6x 2.2x 47.9% 4.4x 57.9% 39.4% 2012 $50.7 $ $ % 562 bp 15% 34% 36% 18% -34% 3.1x 2.3x 3.0x 2.1x 2.2x 40.2% 5.0x 56.0% 43.5% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap Exhibit 328: Credit Characteristics of New Issues with Refinancing as the Use of Proceeds Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1986 $1.5 $1.5 5 $ % 462 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1987 $3.7 $ $ % 410 bp 12% 21% 30% 13% 20% 2.1x 2.0x 1.9x 5.3x 3.1x 45.7% 5.1x 76.7% N/A 1988 $6.3 $ $ % 449 bp 25% 28% 21% 22% 25% 1.3x 0.7x 1.2x 3.5x 3.0x 38.3% 8.4x 83.3% 52.1% 1989 $0.7 $0.7 3 $ % 541 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1990 $0.7 $0.7 4 $ % 175 bp 7% 8% 24% 7% 8% 3.4x N/A 3.4x 7.7x 1.1x 48.4% 2.3x 77.1% 77.0% 1991 $1.8 $1.1 5 $ % 287 bp 18% 27% 22% 16% 23% 1.3x 1.1x 1.3x 3.0x 2.6x 46.3% 5.6x 98.3% 99.3% 1992 $3.9 $ $ % 292 bp -4% -5% 32% 15% 24% 1.9x 1.3x 1.9x 6.2x 3.6x 83.0% 4.3x 94.1% 99.3% 1993 $39.4 $ $ % 454 bp 7% 9% 15% 9% 20% 2.1x 1.4x 2.0x 6.5x 3.5x 67.8% 5.3x 70.4% 56.4% 1994 $19.3 $ $ % 415 bp 12% 23% 19% 14% 27% 2.2x 1.7x 2.1x 6.7x 3.9x 77.8% 5.3x 68.0% 53.3% 1995 $20.9 $ $ % 404 bp 28% 52% 28% 27% 33% 2.4x 1.8x 2.2x 6.2x 3.2x 71.8% 4.6x 68.2% 53.3% 1996 $32.2 $ $ % 375 bp 46% 38% 24% 24% 30% 2.4x 1.5x 2.3x 6.3x 3.9x 82.4% 4.9x 62.8% 52.0% 1997 $54.7 $ $ % 359 bp 36% 42% 26% 27% 36% 2.3x 1.6x 2.2x 5.4x 3.2x 67.4% 5.3x 67.5% 46.2% 1998 $62.4 $ $ % 411 bp 51% 53% 21% 27% 35% 2.4x 1.6x 2.3x 5.6x 3.4x 71.2% 5.0x 70.2% 50.9% 1999 $46.9 $ $ % 504 bp 33% 55% 23% 27% 31% 2.6x 1.9x 2.5x 4.4x 2.3x 47.4% 4.8x 66.4% 54.0% 2000 $14.6 $ $ % 522 bp 61% 61% 31% 36% 29% 2.7x 2.0x 2.7x 4.2x 1.7x 35.7% 4.8x 65.4% 54.3% 2001 $65.3 $ $ % 498 bp 38% 33% 25% 24% 29% 2.8x 2.2x 2.7x 3.0x 1.5x 33.6% 4.2x 60.4% 49.3% 2002 $48.9 $ $ % 493 bp 14% 16% 24% 17% 25% 2.7x 2.2x 2.6x 4.2x 1.6x 34.9% 4.7x 63.2% 51.7% 2003 $112.7 $ $ % 517 bp 14% 12% 22% 14% 15% 2.6x 2.0x 2.5x 3.4x 2.1x 37.9% 5.1x 65.4% 55.8% 2004 $96.8 $ $ % 438 bp 15% 45% 22% 16% 32% 2.8x 2.2x 2.7x 3.7x 2.0x 36.9% 4.9x 64.1% 46.0% 2005 $52.0 $ $ % 371 bp 39% 34% 22% 21% 16% 2.7x 2.8x 2.9x 7.1x 2.3x 56.0% 4.2x 56.9% 38.3% 2006 $67.1 $ $ % 344 bp 30% 41% 25% 21% 20% 2.8x 1.9x 2.8x 4.4x 2.3x 48.4% 4.4x 57.8% 41.3% 2007 $63.6 $ $ % 339 bp 24% 30% 24% 20% 32% N/A N/A 2.8x N/A 1.7x 39.0% 4.6x 58.5% 38.7% 2008 $39.1 $ $ % 629 bp 21% 26% 29% 18% 29% 2.6x 1.8x 2.5x 3.5x 2.1x 41.6% 5.1x 58.5% 40.1% 2009 $131.2 $ $ % 740 bp 11% 15% 26% 17% 3% 3.0x 2.3x 2.9x 4.3x 2.3x 48.0% 4.6x 63.0% 53.7% 2010 $200.8 $ $ % 588 bp 0% 6% 27% 16% 23% 2.8x 2.2x 2.7x 4.1x 2.4x 46.1% 5.0x 60.5% 46.6% 2011 $139.3 $ $ % 560 bp 3% 9% 28% 15% 29% 2.9x 2.3x 2.8x 3.7x 2.6x 51.5% 4.7x 59.5% 42.8% 2012 $224.4 $ $ % 613 bp 12% 32% 29% 14% 29% 2.9x 2.2x 2.7x 3.9x 2.6x 51.3% 4.9x 62.8% 47.0% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 2013 Leveraged Finance Outlook and 2012 Annual Review 161

162 Leveraged buyouts as a percent of high yield proceeds increased to 17.4% in 2012, nearly identical to the percentages from the last three years. The majority of this issuance was used to refinance existing LBOs, while new LBO acquisitions comprised just 6.5% of total 2012 proceeds. Exhibit 329: LBOs as a Percent of High Yield Proceeds: Percentage LBO (Proceeds) 50.0% 45.0% 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 17.44% 10.92% 5.0% 6.53% 0.0% LBO Acquisition LBO Refinance Exhibit 330: Credit Characteristics of New Issues with LBO Acquisition as the Use of Proceeds Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin 2001 $1.5 $1.5 7 $ % 572 bp 3% 1% 23% 8% 21% 2.5x 1.6x 2.4x 6.3x 2.9x 55.0% 5.3x 68.8% 2002 $4.8 $ $ % 694 bp 6% 9% 21% 8% 16% 2.8x 2.3x 2.7x 5.7x 2.2x 49.3% 4.4x 69.0% 2003 $9.2 $ $ % 539 bp 9% 18% 19% 9% 21% 2.8x 2.4x 2.8x 6.5x 2.7x 50.6% 4.8x 69.9% 2004 $20.0 $ $ % 500 bp 14% 34% 20% 13% 27% N/A N/A 2.5x N/A 3.2x 55.3% 5.9x 71.9% 2005 $21.0 $ $ % 614 bp 13% 53% 22% 14% 22% 2.5x 2.2x 2.7x 6.4x 2.7x 51.3% 5.6x 73.9% 2006 $33.7 $ $ % 564 bp 13% 15% 18% 12% 19% N/A N/A 1.7x N/A 4.1x 56.1% 7.2x 70.8% 2007 $38.7 $ $ % 579 bp 19% 30% 18% 16% 25% N/A N/A 1.8x 7.0x 3.8x 56.1% 6.9x 70.9% 2008 $8.4 $7.6 9 $ % 892 bp 16% 17% 20% 14% 26% 2.2x 2.0x 1.3x 7.0x 5.4x 54.0% 6.1x 73.3% 2009 $0.9 $0.9 3 $ % 713 bp 4% N/A 14% 2% N/A N/A N/A 1.8x N/A 4.4x 63.2% 6.9x 89.8% 2010 $13.1 $ $ % 737 bp 2% 4% 19% 9% 15% 2.6x 2.0x 2.2x 6.7x 3.5x 67.0% 5.2x 63.4% 2011 $16.3 $ $ % 707 bp 3% 11% 20% 9% 14% 2.5x 2.0x 2.3x 7.2x 3.7x 65.1% 5.7x 65.8% YTD 2012 $22.5 $ $ % 799 bp 12% 13% 29% 13% 29% 2.5x 1.9x 2.4x 7.0x 3.7x 61.9% 5.9x 68.0% Sales Volatility EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Exhibit 331: Institutional Leveraged Loan New Issues with LBO Acquisition as the Use of Proceeds LBO/MBO New Issue Volume ($Billion) Issuance Yield (3-Yr Life) % % % % Leveraged Finance Outlook and 2012 Annual Review

163 Characteristics by Issue Size Exhibit 332: Average Size and Number of New Issues (Proceeds) $ $600 $ $ ($US Millions) $400 $300 $ Count $ $0 0 Average Size Number of Issues Exhibit 333: New Issues by Size (Proceeds): % 70% 60% <300mm size >=300mm and <500mm size >=500mm and <1000mm size >=1000mm size 50% 40% 30% 37.5% 30.7% 20% 10% 20.8% 11.1% 0% Leveraged Finance Outlook and 2012 Annual Review 163

164 Leveraged Finance Outlook and 2012 Annual Review Exhibit 334: Credit Characteristics of New Issues by Size: Up to $300 Million Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1983 $5.4 $ $ % 252 bp 19% 20% 25% 21% 29% 2.3x 1.8x 2.2x 4.2x 1.9x 52.6% 4.0x 62.1% 59.4% 1984 $8.9 $ $ % 306 bp 12% 25% 40% 17% 94% 2.3x 1.6x 2.3x 4.4x 3.3x 50.2% 6.0x 71.7% N/A 1985 $13.8 $ $ % 379 bp 65% 68% 18% 36% 51% 1.8x 1.4x 1.7x 3.4x 3.0x 48.1% 6.1x 72.1% 64.3% 1986 $22.6 $ $ % 501 bp 20% 36% 33% 16% 23% 1.4x 0.7x 1.4x 3.1x 4.0x 42.7% 7.1x 73.5% N/A 1987 $19.6 $ $ % 412 bp 11% 24% 21% 13% 25% 1.7x 1.3x 1.6x 5.2x 3.5x 54.2% 5.8x 82.7% 41.6% 1988 $22.0 $ $ % 453 bp 19% 33% 63% 16% 32% 1.7x 0.8x 1.5x 3.6x 2.5x 33.8% 7.1x 83.4% 97.2% 1989 $15.6 $ $ % 485 bp 9% 20% 21% 12% 20% 1.6x 1.2x 1.2x 6.0x 4.2x 61.4% 7.1x 84.4% 86.0% 1990 $2.6 $ $ % 418 bp 4% 7% 18% 4% 18% 2.4x 0.9x 2.4x 4.8x 1.8x 48.9% 3.6x 83.5% 78.9% 1991 $8.4 $ $ % 370 bp 15% 16% 24% 15% 23% 2.2x 1.3x 2.1x 5.9x 3.2x 69.1% 5.0x 78.6% 75.1% 1992 $36.4 $ $ % 393 bp 4% 11% 17% 8% 13% 2.1x 1.1x 2.1x 4.1x 2.2x 53.4% 4.6x 97.7% 98.1% 1993 $55.1 $ $ % 461 bp 11% 17% 23% 11% 22% 2.1x 1.3x 2.0x 6.8x 4.4x 78.4% 5.3x 71.1% 54.6% 1994 $25.7 $ $ % 439 bp 18% 26% 19% 16% 28% 2.2x 1.6x 2.0x 6.4x 3.9x 75.4% 5.4x 69.1% 55.1% 1995 $29.2 $ $ % 480 bp 44% 58% 26% 27% 32% 2.3x 1.7x 2.1x 6.3x 3.5x 74.0% 5.0x 71.3% 53.7% 1996 $48.9 $ $ % 416 bp 58% 51% 24% 27% 34% 2.3x 1.6x 2.2x 5.8x 3.6x 78.5% 5.0x 65.8% 49.7% 1997 $82.5 $ $ % 402 bp 50% 45% 26% 28% 41% 2.1x 1.6x 2.1x 5.6x 3.5x 68.8% 5.4x 69.2% 47.0% 1998 $76.7 $ $ % 465 bp 48% 52% 22% 26% 34% 2.2x 1.7x 2.1x 5.6x 3.4x 70.1% 5.2x 73.5% 51.0% 1999 $42.6 $ $ % 555 bp 69% 65% 21% 29% 28% 2.5x 1.9x 2.4x 4.3x 2.2x 47.6% 4.7x 68.1% 51.7% 2000 $13.1 $ $ % 560 bp 88% 62% 26% 34% 14% 2.5x 1.9x 2.4x 3.9x 2.0x 37.1% 4.9x 66.5% 45.8% 2001 $35.8 $ $ % 528 bp 45% 33% 25% 24% 26% 2.8x 2.1x 2.7x 2.8x 1.5x 34.2% 4.1x 59.6% 48.2% 2002 $30.9 $ $ % 535 bp 14% 18% 23% 16% 26% 2.8x 2.3x 2.6x 4.1x 1.6x 36.1% 4.3x 63.8% 50.6% 2003 $56.0 $ $ % 536 bp 23% 15% 20% 16% 39% 2.6x 2.1x 2.5x 3.8x 2.0x 37.6% 4.7x 64.5% 53.1% 2004 $58.7 $ $ % 469 bp 17% 43% 21% 17% 35% 2.7x 2.2x 2.6x 4.0x 2.2x 40.0% 4.9x 64.4% 45.2% 2005 $35.7 $ $ % 443 bp 30% 41% 21% 20% 23% 2.8x 2.5x 2.9x 6.7x 2.4x 54.7% 4.3x 59.8% 36.3% 2006 $23.3 $ $ % 420 bp 34% 42% 23% 22% 29% 2.2x 1.6x 2.6x 4.0x 2.7x 49.7% 4.8x 57.3% 40.3% 2007 $18.3 $ $ % 420 bp 23% 36% 17% 19% 33% 1.4x 1.3x 2.6x 6.9x 2.5x 46.9% 4.9x 63.4% 39.2% 2008 $8.9 $ $ % 646 bp 23% 26% 23% 20% 29% 2.8x 2.0x 2.8x 4.3x 2.1x 45.8% 4.0x 52.6% 33.9% 2009 $26.4 $ $ % 790 bp 11% 26% 21% 21% -7% 3.0x 2.3x 3.0x 4.0x 2.0x 47.1% 4.1x 61.7% 49.9% 2010 $42.9 $ $ % 658 bp 1% 18% 24% 19% 8% 2.9x 2.4x 2.6x 4.5x 2.6x 54.6% 4.7x 61.0% 44.7% 2011 $31.0 $ $ % 694 bp 7% 12% 25% 18% 30% 2.9x 2.4x 2.7x 4.1x 2.6x 56.1% 4.7x 61.5% 44.0% 2012 $37.9 $ $ % 733 bp 18% 34% 24% 17% 33% 2.9x 2.2x 2.7x 3.1x 3.0x 54.0% 4.8x 59.3% 45.7% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 18 January 2013

165 2013 Leveraged Finance Outlook and 2012 Annual Review 165 Exhibit 335: Credit Characteristics of New Issues by Size: $300 $500 Million Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1983 $1.1 $1.0 3 $ % 191 bp 54% 45% 46% 41% 36% 1.0x 1.0x 1.0x 4.2x 3.7x 60.2% 5.5x 68.8% 43.6% 1984 $2.7 $2.6 7 $ % 426 bp 8% 11% 27% 21% 18% 1.4x 0.6x 1.3x 6.0x 5.4x 82.2% 8.7x 70.2% N/A 1985 $3.1 $2.3 8 $ % 250 bp 25% 26% 24% 22% 38% 1.1x 0.9x 1.1x 4.7x 6.0x 61.9% 9.2x 83.7% 82.2% 1986 $10.3 $ $ % 487 bp 19% 43% 26% 17% 35% 1.6x 1.1x 1.6x 4.5x 3.1x 49.0% 6.6x 67.4% N/A 1987 $8.9 $ $ % 410 bp 52% 75% 12% 19% 24% 1.9x 1.2x 1.6x 4.2x 3.1x 52.4% 5.5x 91.4% N/A 1988 $8.7 $ $ % 477 bp 38% 23% 18% 28% 32% 1.2x 0.8x 1.2x 3.6x 3.2x 45.3% 8.3x 84.7% 73.1% 1989 $7.0 $ $ % 471 bp 13% 45% 25% 13% 34% 2.0x 1.3x 1.9x 7.2x 4.1x 79.4% 5.3x 68.9% 68.9% 1990 $1.1 $0.8 3 $ % 324 bp N/A N/A 19% N/A N/A 3.4x N/A 3.4x N/A N/A N/A 2.3x 68.4% 68.7% 1991 $1.8 $1.8 5 $ % 328 bp 30% 81% 14% 24% 56% 1.2x 0.7x 1.2x 6.0x 4.9x 84.8% 5.5x 82.5% 66.8% 1992 $7.4 $ $ % 350 bp 6% 8% 33% 20% 18% 1.7x 1.1x 1.6x 6.1x 4.3x 63.6% 6.6x 84.8% 93.3% 1993 $12.3 $ $ % 429 bp 5% 10% 17% 8% 25% 2.2x 1.5x 2.0x 6.6x 3.4x 64.7% 5.2x 76.1% 61.7% 1994 $9.6 $ $ % 402 bp 12% 25% 18% 14% 29% 2.3x 1.7x 2.0x 7.3x 4.2x 87.9% 5.1x 67.8% 53.0% 1995 $9.5 $ $ % 457 bp 125% 58% 27% 50% 46% 2.6x 1.8x 2.6x 6.3x 3.5x 82.7% 4.6x 61.3% 51.3% 1996 $15.3 $ $ % 453 bp 101% 29% 29% 36% 31% 2.1x 1.7x 2.1x 7.8x 4.9x 89.4% 5.4x 72.8% 55.5% 1997 $24.3 $ $ % 343 bp 96% 49% 29% 44% 60% 2.1x 1.6x 1.9x 6.3x 3.7x 78.0% 5.5x 74.9% 57.2% 1998 $36.7 $ $ % 401 bp 40% 57% 33% 29% 35% 2.5x 1.8x 2.2x 6.2x 4.2x 78.6% 5.6x 64.6% 53.2% 1999 $23.0 $ $ % 473 bp 67% 65% 20% 34% 13% 2.5x 1.9x 2.4x 5.2x 2.9x 53.5% 4.8x 68.5% 52.3% 2000 $13.4 $ $ % 570 bp 169% 162% 38% 44% -14% 2.8x 1.9x 2.7x 3.5x 2.5x 42.5% 6.0x 61.1% 33.0% 2001 $24.2 $ $ % 477 bp 52% 39% 27% 27% 30% 2.7x 2.1x 2.6x 3.9x 2.2x 38.4% 4.9x 61.2% 51.0% 2002 $21.5 $ $ % 462 bp 11% 9% 24% 16% 24% 2.6x 2.0x 2.4x 4.6x 1.9x 38.6% 5.1x 63.7% 54.6% 2003 $38.6 $ $ % 476 bp 9% 5% 24% 10% 60% 2.8x 2.2x 2.5x 4.1x 2.5x 37.8% 5.6x 65.4% 57.8% 2004 $35.6 $ $ % 374 bp 12% 27% 26% 15% 21% 2.8x 2.0x 2.8x 5.5x 2.7x 42.4% 5.4x 67.4% 48.7% 2005 $21.0 $ $ % 369 bp 17% 29% 27% 20% 29% 2.1x 1.8x 2.9x 6.9x 2.4x 53.5% 4.5x 53.9% 35.9% 2006 $23.7 $ $ % 417 bp 15% 13% 21% 14% 23% 1.8x 1.6x 2.2x 6.9x 3.2x 53.4% 5.9x 65.7% 42.3% 2007 $27.7 $ $ % 352 bp 20% 36% 23% 18% 31% N/A N/A 2.6x N/A 2.5x 45.5% 5.1x 60.3% 37.4% 2008 $11.1 $ $ % 588 bp 15% 17% 24% 15% 21% 2.7x 2.4x 2.5x 3.0x 2.1x 42.7% 5.3x 57.9% 41.4% 2009 $43.6 $ $ % 708 bp 14% 14% 28% 19% 28% 3.1x 2.4x 2.9x 4.4x 2.6x 51.1% 4.7x 59.2% 50.9% 2010 $65.3 $ $ % 581 bp 2% 8% 25% 14% 25% 2.9x 2.4x 2.8x 4.5x 2.6x 48.6% 5.0x 59.3% 47.8% 2011 $46.4 $ $ % 544 bp 4% 16% 30% 16% 36% 3.0x 2.3x 2.8x 2.8x 2.6x 52.9% 4.5x 56.0% 33.4% 2012 $71.6 $ $ % 620 bp 16% 43% 30% 15% 3% 2.9x 2.2x 2.8x 4.2x 2.3x 48.4% 4.8x 60.2% 46.3% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 18 January 2013

166 Leveraged Finance Outlook and 2012 Annual Review Exhibit 336: Credit Characteristics of New Issues by Size: $500 Million $1 Billion Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1983 $0.0 $0.0 0 $0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1984 $4.2 $3.2 6 $ % 281 bp 9% 13% 29% 8% 14% 2.4x 1.1x 2.4x 5.8x 3.0x 63.2% 4.9x 70.9% N/A 1985 $0.6 $0.6 1 $ % 527 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1986 $8.4 $ $ % 543 bp 13% 24% 11% 13% 21% 1.5x 0.9x 1.5x 5.1x 3.7x 55.1% 6.4x 86.0% N/A 1987 $9.5 $ $ % 543 bp 123% 7% 22% 28% 11% 1.4x 1.4x 1.4x 4.5x 3.4x 50.8% 6.1x 79.2% N/A 1988 $7.7 $ $ % 547 bp 9% 7% 11% 9% 13% 1.2x 0.6x 1.2x 3.7x 2.8x 43.3% 7.6x 87.2% 18.1% 1989 $4.1 $3.7 7 $ % 488 bp 17% 28% 18% 15% 22% 1.8x 1.1x 1.5x 6.6x 4.2x 66.8% 6.2x 91.7% 91.7% 1990 $0.0 $0.0 0 $0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $0.6 $0.2 1 $ % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 99.4% 99.4% 1992 $7.1 $ $ % 375 bp 11% 12% 22% 11% 12% 1.5x 1.1x 1.4x 5.0x 4.4x 48.4% 5.6x 74.9% 46.3% 1993 $10.9 $ $ % 349 bp 3% -3% 23% 3% 13% 2.1x 1.5x 1.5x 7.5x 4.6x 83.5% 5.8x 31.7% 14.6% 1994 $4.3 $3.4 7 $ % 421 bp 42% -3% 21% 24% 21% 2.0x 1.0x 0.8x 7.4x 5.3x 81.0% 7.9x 73.8% 56.0% 1995 $7.9 $ $ % 364 bp 40% 9% 43% 30% 12% 2.1x 2.1x 2.1x 8.8x 4.3x 79.2% 4.9x 61.6% 36.3% 1996 $7.3 $ $ % 475 bp 34% 34% 23% 30% 44% 2.3x 1.6x 2.2x 6.0x 4.5x 90.6% 5.4x 71.1% 46.6% 1997 $18.7 $ $ % 334 bp 51% 46% 22% 42% 72% 2.2x 1.8x 1.8x 6.8x 4.8x 75.9% 6.4x 63.2% 40.5% 1998 $26.9 $ $ % 363 bp 112% 65% 28% 45% 35% 2.0x 1.5x 1.9x 6.5x 4.5x 83.3% 6.2x 70.8% 45.5% 1999 $22.7 $ $ % 460 bp 95% 90% 19% 41% 26% 2.0x 1.5x 1.9x 4.8x 3.3x 52.3% 5.5x 64.9% 43.8% 2000 $16.7 $ $ % 521 bp 70% 115% 24% 44% 4% 2.2x 1.6x 2.2x 3.0x 2.5x 35.2% 6.5x 65.2% 35.6% 2001 $20.2 $ $ % 463 bp 101% 26% 29% 40% 26% 2.2x 2.2x 2.0x 3.5x 2.7x 42.3% 5.8x 64.1% 50.2% 2002 $12.2 $ $ % 462 bp 11% 3% 23% 17% 22% 3.2x 2.8x 2.8x 6.4x 1.5x 33.7% 5.5x 66.7% 50.0% 2003 $35.6 $ $ % 511 bp 10% 14% 24% 15% -92% 2.8x 2.1x 2.8x 3.4x 2.3x 40.8% 5.2x 67.8% 60.0% 2004 $32.9 $ $ % 338 bp 14% 61% 23% 17% 24% 2.5x 1.6x 2.8x 5.7x 2.1x 37.1% 4.6x 61.8% 45.1% 2005 $22.2 $ $ % 346 bp 67% 62% 28% 27% -12% 2.5x 2.0x 2.7x 6.3x 1.7x 50.1% 4.7x 60.9% 38.0% 2006 $43.4 $ $ % 346 bp 28% 41% 25% 20% 6% 2.2x 1.3x 2.6x 7.1x 2.5x 44.1% 5.1x 64.4% 43.7% 2007 $45.6 $ $ % 370 bp 28% 30% 18% 22% 25% 3.5x 3.5x 2.4x N/A 2.2x 41.9% 5.5x 61.7% 41.1% 2008 $19.6 $ $ % 631 bp 19% 23% 40% 18% 30% 2.5x 1.4x 2.3x 3.1x 2.3x 38.5% 5.4x 65.0% 49.8% 2009 $58.6 $ $ % 683 bp 6% 7% 31% 12% 7% 3.0x 2.2x 2.9x 4.0x 2.3x 42.0% 4.9x 65.7% 55.2% 2010 $93.3 $ $ % 532 bp 1% 7% 28% 14% 29% 2.7x 2.0x 2.8x 4.2x 2.0x 39.0% 4.7x 59.6% 44.9% 2011 $73.1 $ $ % 491 bp 4% 8% 26% 15% 26% 3.0x 2.3x 2.9x 3.7x 2.9x 50.6% 5.3x 60.1% 45.5% 2012 $129.3 $ $ % 541 bp 12% 16% 34% 13% 13% 2.9x 2.3x 2.8x 4.1x 2.8x 50.6% 5.1x 63.6% 44.8% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 18 January 2013

167 2013 Leveraged Finance Outlook and 2012 Annual Review 167 Exhibit 337: Credit Characteristics of New Issues by Size: $1 Billion and Above Total Amount, $Bil Total Proceeds, $Bil Number of Issues Average Size (MM) Yield at Issuance Spread at Issuance Sales Growth EBITDA Growth EBITDA Margin Sales Volatility 1983 $1.0 $0.8 1 $1, % 149 bp 114% 127% 37% 71% 69% 2.6x N/A 2.6x 1.0x 0.4x 10.6% 3.8x 63.3% N/A 1984 $1.2 $1.2 1 $1,200 N/A N/A 13% 14% 13% 12% 22% 3.5x N/A 3.5x 4.9x 1.1x 80.5% 1.3x 56.3% N/A 1985 $1.6 $0.4 1 $1, % N/A 19% 22% 31% 17% 28% 0.6x 0.6x 0.6x 4.8x 7.9x 65.0% 12.1x 87.7% N/A 1986 $3.4 $2.3 3 $1, % 610 bp 37% 152% 9% 36% 103% N/A N/A N/A N/A N/A N/A 4.2x 50.3% N/A 1987 $1.0 $1.0 1 $1, % 816 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1988 $1.3 $0.3 1 $1, % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1989 $11.1 $9.0 4 $2, % 632 bp 6% 11% 21% 6% 10% 1.5x 1.0x 1.0x 7.3x 4.9x 71.6% 6.9x 92.5% 92.5% 1990 $1.1 $1.1 1 $1, % 335 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1991 $3.5 $2.8 3 $1, % 321 bp 5% 9% 26% 6% 9% 2.5x 2.1x 1.9x 6.6x 2.6x 67.9% 3.9x 83.3% N/A 1992 $1.4 $0.9 1 $1, % 411 bp N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1993 $5.1 $4.6 5 $1, % 284 bp 7% 4% N/A 7% 21% 2.3x N/A 2.0x N/A N/A N/A 7.6x 47.2% N/A 1994 $3.2 $2.8 3 $1, % 431 bp 121% 1000% N/A 70% 88% 0.1x N/A 0.1x N/A N/A 100.0% N/A 67.9% N/A 1995 $2.5 $1.9 2 $1, % 300 bp 0% 48% 20% 55% 46% 2.9x 2.1x 2.9x N/A 4.5x 82.4% 5.5x 45.9% N/A 1996 $3.3 $2.4 3 $1, % 490 bp 34% 5% 13% 28% 7% 1.0x 0.7x 0.9x 9.4x 5.0x 100.0% 5.0x 67.2% 64.2% 1997 $4.4 $3.7 4 $1, % 351 bp 72% 19% 36% 45% 53% 1.3x 0.3x 1.3x 7.0x 7.6x 71.0% 7.6x 39.7% 48.9% 1998 $8.5 $6.8 6 $1, % 368 bp 106% 249% 38% 61% -6% 2.0x 1.6x 2.0x 6.7x 3.8x 91.6% 4.4x 66.5% 29.2% 1999 $14.4 $ $1, % 439 bp 69% 53% 36% 53% -6% 1.8x 0.9x 1.6x 5.7x 3.5x 51.3% 6.8x 68.3% 45.9% 2000 $3.0 $2.5 3 $1, % 570 bp 160% 68% N/A 75% -66% 0.0x N/A 0.0x 1.8x 0.8x 18.9% N/A 82.0% 11.2% 2001 $10.3 $9.9 9 $1, % 418 bp 116% 62% 23% 69% 63% 2.3x N/A 2.2x 3.4x 5.3x 42.2% 6.3x 57.6% 44.0% 2002 $2.0 $2.0 2 $1, % 348 bp 4% 6% 28% 4% 13% N/A N/A 3.5x N/A 1.3x 44.1% 2.7x 57.0% 56.0% 2003 $12.3 $ $1, % 354 bp 11% 63% 17% 11% -41% N/A N/A 2.2x 3.9x 2.7x 36.7% 6.0x 68.6% 39.4% 2004 $12.5 $ $1, % 339 bp 3% 29% 23% 8% 22% 3.5x 3.5x 2.7x 0.0x 3.9x 62.7% 6.3x 57.8% 42.7% 2005 $9.3 $9.3 7 $1, % 380 bp 18% 13% 23% 17% 18% 2.5x 2.2x 2.8x 4.7x 2.5x 43.6% 5.2x 67.4% 33.6% 2006 $37.4 $ $1, % 402 bp 9% 4% 33% 11% 22% 2.2x 1.2x 2.3x 7.5x 3.8x 53.8% 5.9x 71.2% 58.2% 2007 $45.7 $ $1, % 541 bp 24% 17% 25% 22% 25% N/A N/A 2.0x N/A 3.8x 58.1% 6.6x 74.0% 53.7% 2008 $15.3 $ $2, % 783 bp 13% 24% 22% 13% 36% 2.1x 1.8x 1.7x 5.1x 4.0x 38.6% 8.4x 87.0% 53.3% 2009 $39.7 $ $1, % 665 bp 5% 3% 34% 14% 15% 3.2x 2.6x 3.2x 4.5x 2.3x 45.2% 4.6x 69.7% 61.9% 2010 $77.1 $ $1, % 517 bp 1% 5% 39% 17% 27% 3.0x 2.0x 2.9x 5.4x 2.4x 48.1% 5.4x 66.8% 50.6% 2011 $69.6 $ $1, % 452 bp 5% 16% 33% 11% 19% 2.8x 2.1x 2.8x 5.0x 2.8x 44.6% 5.1x 60.6% 51.4% 2012 $105.6 $ $1, % 500 bp 5% 39% 38% 14% 19% 2.8x 2.1x 2.8x 3.5x 2.6x 49.1% 5.4x 70.9% 56.0% EBITDA Volatility EBITDA/Cash Interest EBITDA-Capex/Cash Interest EBITDA/Total Interest Senior Debt/Cash Interest Senior Debt/EBITDA Senior Debt/Total Debt Debt/EBITDA Debt/Cap Debt/Market Cap 18 January 2013

168 Leveraged Finance Outlook and 2012 Annual Review

169 U.S. Institutional Leveraged Loan New Issue Review There were $263.7 billion of new institutional loans priced in This is the third highest year and the highest volume since 2007, surpassing 2004 and The Credit Suisse Leveraged Loan Index discount margin was 555 bp as of December 31, 2012, a 101 bp tightening for the year. This tightening was a significant cause of the strong new issuance volume. Exhibit 338: U.S. New Institutional Leveraged Loan Issue Volume, $Billion $ New Institutional Loan Volume ($ Billions) $400 $350 $300 $250 $200 $150 $100 $50 $ * As of 12/31/2012, S&P LCD Fourth quarter issuance was $96.3 billion, the largest quarter of loan issuance since 2Q07. Exhibit 339: Quarterly U.S. New Institutional Leveraged Loan Issue Volume, $Billion New Institutional Loan Volume ($ Billions) $160 $140 $120 $100 $80 $60 $40 $20 $ Q06 2Q06 3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12, S&P LCD * As of 12/31/ Leveraged Finance Outlook and 2012 Annual Review 169

170 Historically, the three-month average of issuance volume has tracked discount margins closely. Issuance volumes in the second half of 2012 exceeded the levels implied by this relationship, as dividend deals surged to $20.8 billion of second half issuance. We expect issuance to revert in 2013 to a monthly average of about 3% of the outstanding market size of $644 billion, based on the year-end discount margin of 555 bp. This equates to $230 billion in new institutional loan volume for 2013, about 12% less than in Exhibit 340: Leveraged Loan Discount Margin versus Institutional Issuance as a Percentage of Total Outstanding (3-Month Rolling Average) 6.0% Issuance % of Outstanding (3-Month Avg) 400 bp Monthly Issuance % of Outstanding (3-Month Average) 5.0% 4.0% 3.0% 2.0% 1.0% Discount Margin 450 bp 500 bp 550 bp 600 bp 650 bp 700 bp Discount Margin 0.0% 750 bp There was a resurgence of CLO issuance during 2012, and we expect this trend to continue in 2013 as investors seek yield. New CLO issuance is mostly replacing CLOs that have exited their reinvestment period, and thus these new deals haven t been compressing spreads in the primary loan market as occurred in However, with volumes at $54 billion in 2012 and steadily increasing, we are keeping an eye on the all-in CLO financing costs as a potential driver of tightening in the loan market. Exhibit 341: US CLO issuance U.S. CLO Issuance (in $bn) US CLO Issuance (in $bn) Leveraged Finance Outlook and 2012 Annual Review

171 Exhibit 342: Institutional Leveraged Loan Market Size $900 $800 Institutional Loan Market Size New Institutional Loan Volume $600 Market Size ($Billions) $700 $600 $500 $400 $300 $200 $100 $ $500 $400 $300 $200 $100 $0 New Institutional Loan Volume ($Bln) Includes $US-denominated non-investment grade fully-drawn institutional term loans (TLb's, TLc's, TLd's, delayed-draw, and other tranches held by institutional investors). This is a subset of the overall leveraged loan market size. * As of 12/31/2012, LPC, S&P LCD In 2012, the institutional leveraged loan market size increased by $25 billion to $644 billion. This is the first year the loan market has grown since The $264 billion of new issuance was mostly offset by $182 billion of loan prepayments and $33 billion of bond-forloan takeouts. Exhibit 343: U.S. Institutional Leveraged Loan Events Loan Events ($Bln) * New Issuance Issued in Extension Issued in Exchange Fallen Angel Additions: Prepaid w/ Bonds Prepaid w/ Equity Prepaid w/ Loans/Cash Extended Matured Bankruptcy Resolution Rising Star Illiquid/Unknown Deletions: Net Change: Starting Size Ending Size *As of December 31, Leveraged Finance Outlook and 2012 Annual Review 171

172 New Loan Issuance by Industry Healthcare had the largest issuance volume among all all industries in 2012, at $39.5 billion. Exhibit 344: New Loan Issues by Industry 2012 Land Transportation 2% Automotive 3% Service 10% Utility 2% Aerospace 3% Chemicals 3% Consumer Non- Durables 2% Energy 5% Retail 5% Metals/Minerals 3% Financial 5% Food And Drug 1% Food/Tobacco 5% Diversified Media 3% Wireless Communications 1% Forest Prod/Containers 2% Gaming/Leisure 4% Telecommunications 4% Cable/Wireless Video 5% Manufacturing 4% Information Technology 9% Housing 2% Healthcare 14% Exhibit 345: New Loan Issues by Industry, 2012 Face Amount Issuance Yield (3-Yr Life) Aerospace $ % Chemicals $ % Consumer Durables $ % Consumer Non-Durables $ % Energy $ % Financial $ % Food And Drug $ % Food/Tobacco $ % Forest Prod/Containers $ % Gaming/Leisure $ % Healthcare $ % Housing $ % Information Technology $ % Manufacturing $ % Broadcasting $ % Cable/Wireless Video $ % Telecommunications $ % Wireless Communications $ % Diversified Media $ % Metals/Minerals $ % Retail $ % Service $ % Automotive $ % Land Transportation $ % Shipping $0.0 Utility $ % Leveraged Finance Outlook and 2012 Annual Review

173 New Loan Issuance by Seniority Second liens comprised 5.2% of 2012 issuance, which is the highest annual percentage since Second lien yields at issuance were 476 bp more than first lien yields, in line with the average over the past three years. Exhibit 346: New Loan Issuance by Seniority 2012 Unsecured Second Lien 1.0% 5.2% First Lien 93.8% Exhibit 347: New Loan Issue Yield (Assuming 3-Yr Life), by Seniority 2Q09-4Q % 14.0% Issuance Yield 12.0% 10.0% 8.0% 6.0% 10.8% 6.0% 4.0% 2.0% 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 First Lien Second Lien Unsecured Exhibit 348: Senior and Total Leverage of New Loan Issues, by Seniority Average Senior Leverage Average Total Leverage Period First Lien Second Lien Period First Lien Second Lien 1Q x 4.71x 1Q x 5.35x 2Q x 4.44x 2Q x 4.90x 3Q x 4.29x 3Q x 4.97x 4Q x 4.06x 4Q x 4.54x 1Q x 3.93x 1Q x 4.18x 2Q x 3.94x 2Q x 5.15x 3Q x 3.70x 3Q x 4.87x 4Q x 4.26x 4Q x 5.49x 2013 Leveraged Finance Outlook and 2012 Annual Review 173

174 New Loan Issuance by Rating Loans with at least one BB (from Moody s or S&P) comprised 56% of 2012 issuance, slightly below the 60% level that has prevailed for the past several years. Loans with at least one CCC comprised 4% of issuance and are almost entirely second liens. Exhibit 349: New Loan Issuance by Rating, 2012 CCC/Split CCC 3% Not Rated Split B 4% 1% Split BBB 7% B 36% BB 29% Split BB 20% Exhibit 350: New Loan Issue Yield (Assuming 3-Yr Life) by Rating, 1Q09-4Q % Issuance Yield 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% -2.0% 10.9% 8.1% 6.5% 4.6% 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 SplitBBB/BB SplitBB/B SplitB/CCC/Split CCC Not Rated Leveraged Finance Outlook and 2012 Annual Review

175 New Loan Issuance by Covenant Covenant-lite loans made up 30% of new issues in These loans had higher yields at issuance than loans with maintenance covenants for most of the year, but the difference between these yields was negligible in 4Q12. Note that this comparison, Exhibit 352, is among first lien loans only. More covenant lite loans are second liens than loans with maintenance covenants, so by comparing only first liens, we eliminate the effect of seniority. Exhibit 351: New Loan Issuance by Covenant, 1Q09-4Q New Issue Volume ($MM) At Least 1 Maintenance Covenant Cov-Lite -10 Exhibit 352: New Loan Issue Yield (Assuming 3-yr life) by Covenant, 2Q10-4Q % 8.00% Issuance Yield 7.00% 6.00% 5.00% 4.00% 3.00% First Lien Cov-Lite First Lien and At Least 1 Maintenance Covenant 6.05% 5.97% 2.00% 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 Exhibit 353: New Loan Issue Average Size by Covenant, 1Q09-4Q12 $900.0 Average New Issue Size ($MM) $800.0 $700.0 $600.0 $500.0 $400.0 $300.0 $200.0 $100.0 Covenant-Lite At Least 1 Maintenance Covenant $552.9 $434.2 $0.0 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q Leveraged Finance Outlook and 2012 Annual Review 175

176 New Loan Issuance by Use of Proceeds Loans issued to finance LBOs or other acquisitions decreased to a total of 28% of 2012 issuance from 40% of issuance in 2011, as refinancings grew to 59% from 49%. The increase in loan refinancings was driven by the 135 bp drop in yield in the secondary market throughout the year. But, this did not result in a lower average yield at issuance. Instead, yields at issuance were roughly unchanged because the mix became slightly riskier, as Bs grew from 20% of first quarter issuance to 40% of fourth quarter issuance. Loans used to pay dividends comprised 10.5% of new issuance. Nearly all of these deals came in the third and fourth quarters as companies anticipated the change in the tax code. Exhibit 354: New Issues by Use of Proceeds, 2012 Working Capital, 1.6% Exit Financing, 0.9% Acquisition Finance, 13.8% LBO/MBO, 13.9% Refinance, 59.1% Dividend, 10.5% Exhibit 355: Quarterly New Issuance Yield by Use of Proceeds, 3Q10-4Q % 13.0% Issuance Yield 11.0% 9.0% 7.0% 5.0% 8.7% 8.0% 7.3% 6.1% 3.0% 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 Refinance Dividend LBO/MBO Exit Fin Leveraged Finance Outlook and 2012 Annual Review

177 New Loan Issuance by Facility Type The average Libor floor for new TLb loans was 123 bp in 4Q11, a decrease of 1 bp from 3Q levels. The slowing pace of the decrease in Libor floors is an important reason why allin issuance yields have flattened out. Exhibit 356: TLb New Loan Issuance Libor Floor, 2Q09-4Q bp Average Libor Floor at Issuance 250 bp 200 bp 150 bp 100 bp 50 bp 123 bp 0 bp 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 Average Libor Floor at Issuance for TLb All-in-yields for TLbs increased 6 basis points to 6.11% in 4Q from 6.05% in 3Q. Exhibit 357: New Loan Issue Yield (Assuming 3-Yr Life), 2Q09-4Q % 8.52% 8.00% TLb Issuance Yield 7.00% 6.00% 5.00% 5.57% 6.41% 6.86% 6.11% 4.00% 3.00% 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q Leveraged Finance Outlook and 2012 Annual Review 177

178 Leveraged Finance Outlook and 2012 Annual Review

179 Western European High Yield New Issue Review Total Western European issuance volume for 2012 was 54.7 billion, surpassing the 51.6 billion record from Dollar-denominated issuance was 22.0 billion equivalent, 40% of total Western European high yield issuance. This was the highest percentage since the inception of the European market in the 1990s. This percentage fell slightly throughout the year as the sovereign crisis became less acute. Exhibit 358: Western European High Yield New Issue Proceeds, Billions New Issue Proceeds ( Bln Equiv.) non-usd Proceeds USD Proceeds Exhibit 359: Western European High Yield Market Size: $US Mkt Size Non-$US Mkt Size Market Size ( Billions) * Includes non-investment grade straight corporate debt of issuers with assets located in or revenues derived from Western Europe, or the bond is denominated in a Western European currency. Floating-rate and convertible bonds and preferred stock are not included. * As of 12/31/ Leveraged Finance Outlook and 2012 Annual Review 179

180 In 2012, the Western European high yield market size grew to 283 billion due to 126 billion of additions, including 70 billion of fallen angels and 55 billion of new issues. This was partially offset by 34 billion of bonds that exited the market, including 9 billion of rising stars and 8 billion of tenders. Exhibit 360: Western European High Yield Market Size Changes: Face Amt ( Bln Equiv.) * New Issuance Issued in Exchange Fallen Angel Additions Call Tender Exchange Purchase Matured Bankruptcy Resolution Rising Star Deletions Net Change: Starting Size Exchange Rate Adjustment Ending Size * As of Dec 31, 2012 Exhibit 361: Western European Characteristics of New Issues Total Amount, Bil Total Proceeds, Bil Number of Issues % 535 bp % 595 bp % 616 bp % 599 bp % 582 bp % 575 bp % 485 bp % 521 bp % 444 bp % 296 bp % 663 bp % 681 bp % 590 bp % 549 bp % 664 bp Average Size ( MM) Yield at Issuance Spread at Issuance Leveraged Finance Outlook and 2012 Annual Review

181 Exhibit 362: Western European Proceeds as a Percentage of Overall $US and Non-$US High Yield Issuance: % 26.91% 25.0% Percentage of Proceeds 20.0% 15.0% 10.0% 18.13% 5.0% 0.0% Exhibit 363: Western European New Issue by Rating (Percent of Proceeds): Split BBB BB Split BB Rated Split BB or Higher B Split B CCC Not Rated Rated B or Lower % 2.3% 14.8% 17.2% 61.5% 11.2% 5.8% 4.4% 82.8% % 13.9% 3.0% 16.8% 65.7% 0.9% 9.4% 7.2% 83.2% % 15.3% 2.9% 19.4% 74.0% 0.0% 6.7% 0.0% 80.6% % 22.1% 12.0% 42.2% 53.6% 0.0% 4.3% 0.0% 57.8% % 33.3% 13.2% 46.5% 53.5% 0.0% 0.0% 0.0% 53.5% % 20.3% 8.7% 31.6% 63.2% 1.2% 2.7% 1.2% 68.4% % 7.2% 4.4% 11.7% 68.4% 8.1% 8.2% 3.7% 88.3% % 7.0% 4.2% 11.2% 45.6% 25.7% 11.8% 5.8% 88.8% % 31.5% 0.0% 34.1% 48.2% 12.4% 4.1% 1.2% 65.9% % 37.6% 8.7% 58.2% 34.7% 3.5% 2.5% 1.1% 41.8% % 50.9% 0.0% 50.9% 32.8% 16.4% 0.0% 0.0% 49.1% % 33.6% 20.5% 57.5% 36.5% 2.0% 0.5% 3.6% 42.5% % 37.8% 10.5% 53.1% 37.0% 4.1% 2.7% 3.1% 46.9% % 40.5% 11.9% 58.7% 31.1% 4.8% 4.9% 0.5% 41.3% % 48.8% 9.6% 62.1% 27.6% 2.9% 5.0% 2.4% 37.9% 2013 Leveraged Finance Outlook and 2012 Annual Review 181

182 Exhibit 364: Western European Characteristics of New Issues by Rating: BB Total Amount, Bil Total Proceeds, Bil Number of Issues Average Size ( MM) Yield at Issuance Spread at Issuance % 390 bp % 369 bp % 429 bp % 503 bp % 534 bp % 420 bp % 264 bp % 252 bp % 309 bp % 242 bp % 406 bp % 614 bp % 444 bp % 435 bp % 504 bp Exhibit 365: Western European Characteristics of New Issues by Rating: B Total Amount, Bil Total Proceeds, Bil Number of Issues Average Size ( MM) Yield at Issuance Spread at Issuance % 511 bp % 616 bp % 656 bp % 663 bp % 634 bp % 620 bp % 474 bp % 548 bp % 452 bp % 354 bp % 1023 bp % 713 bp % 702 bp % 598 bp % 794 bp Leveraged Finance Outlook and 2012 Annual Review

183 Exhibit 366: Western European Refinance % of New Issue Proceeds 90% Refinance % of New Issue Proceeds 80% 70% 60% 50% 40% 30% 20% 10% 55.51% 0% Exhibit 367: Western European New Issues by Use of Proceeds (Percent of Proceeds): 2012 Other Refinance Unavailable 6% 6% Bond Refinance 18% Acquisition Finance 18% Loan Refinance 28% General Corporate 20% Bond & Loan Refinance 4% 2013 Leveraged Finance Outlook and 2012 Annual Review 183

184 Leveraged Finance Outlook and 2012 Annual Review

185 U.S. Default Review The U.S. high yield default rate decreased 20 bp to 1.70% for 2012 from 1.90% at the end of the third quarter. The average recovery rate (defined as price at the time of default) rose 333 bp to 56.08% for 2012 from 52.75% at the end of the third quarter. Six high yield companies defaulted in the fourth quarter with $7,005mm face value of high yield bonds, producing a quarterly default rate of 0.59% (an annualized rate of 2.35%). Nearly all of the default volume in the fourth quarter was concentrated in utilities. Historically, utilities, energy and gaming have high recovery rates because the businesses have hard assets, and this is the primary reason the recovery rate increased in the quarter. The recovery rate is well above the long-term average of 42.35% because 40% of 2012 defaults were secured bonds, a near-record level (see Exhibit 2). ResCap, Homer City and Kodak secured bonds had recovery rates that were well above average. The elevated percentage of secured defaults is due in part to the growth of secured bonds in the high yield market, from 9.3% in 2008 to 24.1% today. This is mostly the result of loans being refinanced in the bond market. Indeed, 23% of the 2012 secured defaults were originally issued in 2010 in order to take out loans. Exhibit 368: Secured Bonds as a Percentage of All High Yield Defaults and as a Percentage of the Credit Suisse High Yield Index Secured Bonds % of High Yield 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% Secured Bonds as a % of all HY Defaults Secured Bonds Par Weight in CS HY Index 40.38% % 24.11% We project a 1%-2% default rate for high yield bonds in Our bottom-up forecast comes to 1.4%, and we weight the risk to the upside. For 2014, we are projecting an increase to 2.1%. Exhibit 369: Historical and Projected High Yield Default Rates 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 2.9% 4.8% 1.6% 3.8% 8.8% 7.9% 4.1% 4.5% 3.3% 2.3% 1.8% 1.4% 1.4% 0.9% 0.9% 9.2% 15.5% 5.5% 4.3% 2.6% 1.3% 0.7% 0.5% 9.4% 1.6% 1.8%1.7% 1.4% 2.1% Default Rate 2013 Leveraged Finance Outlook and 2012 Annual Review 185

186 High Yield Default Rate Methodology We define default to be a violation of covenants that results in principal impairment. Therefore, a missed coupon payment or a distressed exchange are considered to be defaults, but a change in net worth requirements or other such covenants are not. An issue enters default upon the expiration of the grace period following a missed coupon payment (usually 30 days), upon the filing of Chapter 11 bankruptcy, or on the date of a distressed exchange. The issue emerges from default upon payment of interest or principal due the bondholder, or restructuring and subsequent emergence from Chapter 11 protection. Defaulted issues remain in the Credit Suisse High Yield and Leveraged Loan indices until they are taken out of the market (however, note that there are sub-indices which exclude defaults). The default rate is calculated by summing the par amount of high yield debt that has gone into default over a 12-month period, and dividing this numerator by the average size of the high yield market over the same period of time. We define this market size as the average of the beginning and ending total high yield market sizes for the time period. Similar calculations can be done for any period of time. The principal loss rate is calculated by taking the difference between the issue s default price and issue price and dividing this result by the issue price, yielding the principal loss rate a figure that represents the percentage of capital that is lost at the time of default, assuming that the issue has been owned since issuance. By multiplying this percentage by the total amount of debt outstanding at the time of default, we are able to determine the total principal loss due to default. The recovery rate is the difference between 100% and the principal loss rate, and represents the amount of an investor s original investment that survives the average default event. The default loss takes into account that over the course of the default and emergence from default process, the equivalent of about one-half of an annual coupon payment is lost. Default loss is therefore defined as the sum of principal loss and the coupon loss, and the default loss rate is defined as the total high yield bond market default loss divided by the same average market size denominator that goes into the default rate equation Leveraged Finance Outlook and 2012 Annual Review

187 Exhibit 370: Historical and Projected Default Rates Default Rate Summary Actual 2012 Projected 2013 Projected 2014 Credit Suisse US High Yield Default Rate 1.70% 1-2% 2-3% Credit Suisse US Leveraged Loan Default Rate 1.73% 1-4% 3-6% Credit Suisse Western European HY Default Rate 0.97% 1-2% 1-3% Credit Suisse Western European LL Default Rate 5.23% 2-4% 2-6% Exhibit 371: Annual High Yield Default Rates: Default Rate 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 4.78% 3.45% 2.89% 3.78% 1.56% 2.22% 1.08%1.01% 1.59% 0.09% Cumulative Default Rate : 23.80% 8.80% 7.88% 4.08% 4.54% 3.34% 2.33% 1.83% 1.37% 1.38% 0.86% 0.90% Cumulative Default Rate : 37.59% 15.45% 9.20% 4.32% 5.46% 2.64% 1.26% 0.73% 0.49% 9.37% 1.56% 1.82%1.70% Exhibit 372: Annual High Yield Recovery Rates: Recovery Rate 70% 60% 50% 40% 30% 20% 10% 0% 53.71% 40.05% 35.93% 38.55% 31.08% 53.71% 48.47% 44.51% 44.90% 41.49% 42.44% 46.64% 37.69% 31.27% 26.47% 27.99%29.96% 44.30% 52.94% 50.54% 66.20% 59.64% 34.83% 27.36% 58.37% 54.07% 56.08% 2013 Leveraged Finance Outlook and 2012 Annual Review 187

188 Exhibit 373: High Yield Default and Recovery Rates: % 2002 R² = % 12% HY Default Rate 10% % % % % % 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% HY Recovery Rate Exhibit 374: Average Price of Stressed U.S. High Yield Bonds vs. Recovery Rates of High Yield Defaults: % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 12/31/ % 1/31/ % 1/31/ % 10/31/ % 5/31/ % 2/28/ % 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 Jan-11 Jan-12 12/31/ % 12/31/ % Lower Tier: Rated CCC, CC, C, and Default Lower Tier Average Price Recovery Rate Exhibit 375: High Yield Default Rate vs. GDP Growth: % 15.45% 8.00% Default Rate 12.0% 8.0% 4.0% 0.0% 3.45% 4.78% 3.78% 2.89% 2.22% 1.56% 1.08%1.01% 1.59% 0.09% 7.88% 8.80% 9.20% 4.08% 4.54% 3.34% 1.83% 2.33% 1.37% 1.38% 0.86% 0.90% 9.37% 6.00% 4.00% 5.46% 4.32% 2.64% 2.00% 1.26% 1.82%1.70% 0.73% 0.49% 0.00% 1.56% GDP Growth (YoY) -4.0% -2.00% -8.0% -4.00% *GDP Growth as of 3Q12 Default Rate GDP Growth Leveraged Finance Outlook and 2012 Annual Review

189 There were four high yield companies that defaulted in December for a total of $5,855 million face value. Exhibit 376: Monthly High Yield Defaults: Dec High Yield Bond Defaults ($Millions) 30,000 25,000 20,000 15,000 10,000 5,000 Jul ,499 Mar ,794 Dec-12 5,855 0 Dec-80 Dec-82 Dec-84 Dec-86 Dec-88 Dec-90 Dec-92 Dec-94 Dec-96 Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 The average default rate during the current economic expansion is similar to the prior three expansions. Exhibit 11 shows the quarterly annualized default rates for U.S. high yield. We calculate the average default rate beginning one year after each of the last four recessions for a period of ten quarters. These rates are 1.88%, 1.59%, 2.36% and 1.79%, following the 1982, 1990, 2001 and 2008 recessions, respectively. (We started a year after the recession because defaults lag the economy by about a year, and we used ten quarters because this is where we are in the current cycle.) Exhibit 377: Quarterly High Yield Default Rates, Annualized: 1Q Quarterly Default Rate (Annualized) 20.00% 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Average ( ): 3.2% Average (1992-4Q12): 3.5% Average: 1.88% 18.79% 17.42% 16.08% Average: 2.36% Average: 1.79% Average: 1.59% 2.35% 2013 Leveraged Finance Outlook and 2012 Annual Review 189

190 Exhibit 378: High Yield Default Rate vs. Spread to Worst: bp 1600 bp 1400 bp STW & Default Rate 1200 bp 1000 bp 800 bp 600 bp 1079 bp 12/31/ bp 10/31/02 12/31/ bp 400 bp 200 bp 12/31/ % Spread to Worst HY Default Rate (7-Months Later) High yield spreads are strongly correlated with the level of default loss seven months later. Historically, the difference between spread and forward default loss has averaged 290 bp. However, this difference has averaged 535 bp since January Exhibit 379: High Yield Default Loss Rate vs. Spread to Worst: bp Correlation =.82 STW & Default Loss Rate 1600 bp 1400 bp 1200 bp 1000 bp 800 bp 600 bp 400 bp 12/31/ bp Average Difference: : 290 bp 10/31/ bp Average Difference: : 535 bp 12/31/ bp 200 bp 0.82% Spread to Worst HY Default Loss Rate (7-Months Later) Leveraged Finance Outlook and 2012 Annual Review

191 There are $225.6 billion of high yield bonds maturing by the end of $23.1 billion of these are currently priced below 90. Exhibit 380: High Yield Bonds Maturing by Year (Par Amount): as of 2012 $Billions High Yield Bonds Price < 90 Maturing by Year (As of 12/31/12) High Yield Bonds Price >= 90 Maturing by Year (As of 12/31/12) Exhibit 381: Growth of the U.S. Distressed Debt Markets (by Price Break): Market Size - Par Amount ($Billions) Distressed HY Bonds (Priced <60) Distressed Institutional Loans (Priced <80) Exhibit 382: Returns of Distressed Debt* and Equity 2H08 1H09 2H09 1H10 2H10 1H11 2H11 1H12 2H12 Credit Suisse Leveraged Equity Index: Distressed Sector % 31.66% 51.81% 20.42% 5.23% -6.44% % 3.11% 66.09% Credit Suisse High Yield Index: Distressed Sector* % 40.48% 60.23% 10.85% 6.12% 5.20% % -4.92% 0.51% Credit Suisse Leveraged Loan Index: Distressed Sector* % 13.67% 26.65% 2.91% 6.87% 4.23% -6.84% 9.86% 6.92% *Rated CC, C or default 2013 Leveraged Finance Outlook and 2012 Annual Review 191

192 Exhibit 383: Percentage of the High Yield Market with Current Yield > 16%: Sep CS High Yield Index: Current Yield > 16% 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% 10/31/ % 11/30/ % 11/28/ % Sep-86 Sep-87 Sep-88 Sep-89 Sep-90 Sep-91 Sep-92 Sep-93 Sep-94 Sep-95 Sep-96 Sep-97 Sep-98 Sep-99 Sep-00 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Current Yield > 16% 12/31/ % Exhibit 384: Number of Issues in the Credit Suisse High Yield Index: Distressed Sector* Average : 38.6 Average : *Bonds rated CC, C or default Exhibit 385: Credit Suisse High Yield Index: Distressed Sector* as a Percentage of the U.S. HY Bond Market ; Distressed includes bonds rated CC, C and default Leveraged Finance Outlook and 2012 Annual Review