Leveraged Loan Investor Monthly

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Transcription:

Leveraged Loan Investor Monthly Thomson Reuters LPC July 2012 Colm Doherty Director of Analytics colm.doherty@thomsonreuters.com 646-223-6821 Hugo Pereira Senior Market Analyst hugo.pereira@thomsonreuters.com 646-223-6818 1

Leveraged Loan Investor Monthly Key Sections Investor Overview slides 3 to 7. CLO Market Analysis - slides 8 to 29 Loan Mutual Fund Flows & Returns slides 30 to 37 Leveraged Loan Market Overview slides 38 to 50 Default Probability Analysis slides 51 to 53 CDS Market Snapshot slides 54 to 56 2

Investor Overview

Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 CLO Aggregate Principal Balance ($Bils.) Loan Fund Total Assets ($Bils.) U.S. CLO and loan mutual fund assets under management Assets under management 250 240 230 220 210 CLOs* Loan Mutual Funds 88 86 84 82 80 78 76 74 72 70 200 68 U.S. CLO assets under management* now at $249 billion versus $80 billion for loan mutual funds. *Based on a universe of 613 U.S. CLOs Source: Thomson Reuters LPC Collateral, Lipper, Thomson Reuters LPC 4

Investor share of leveraged loan outstandings Share of U.S. leveraged loan market outstandings CLOs*, 43.4% Other, 42.1% Loan mutual funds, 14.5% CLOs hold 43% of leveraged loan outstandings, while loan mutual funds currently account for 14.5%. *Based on a universe of 613 U.S. CLOs Source: Thomson Reuters LPC 5

6

7

CLO Market Analysis

Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 CLO aggregate principal balance (USD Bils.) CLO aggregate principal balance (EUR Bils.) CLO aggregate principal balance CLO aggregate balance: U.S & Europe 250 90 225 200 U.S. Europe 85 80 75 175 70 150 65 U.S. CLOs aggregate balance is now at $249 billion, European CLOs are at 75 billion euros. Source: Thomson Reuters LPC Collateral 9

Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 U.S. middle market CLO aggregate principal balance (USD$ Bils.) Middle market CLO aggregate principal balance 22 U.S. middle market CLO APB 20 18 16 14 12 10 The U.S. middle market CLO aggregate balance now stands at $19.5 billion. Source: Thomson Reuters LPC Collateral 10

Loan share of CLO assets Loan share of CLO assets Loan share of U.S. CLO assets 100% 95% Dollar weighted Average 90% 85% 80% 75% <=2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 CLO vintage Newer vintage CLOs have a higher share of loan assets. Source: Thomson Reuters LPC Collateral 11

Avg. second-lien loan share of CLO assets Second-lien loan share of CLO assets 3.5% Average second-lien loan share of U.S. CLO assets 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% <=2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 CLO vintage Newer vintage CLOs hold a lower share of second-lien loans. Source: Thomson Reuters LPC Collateral 12

>=Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 <=Caa3 NR Share of CLO loan holdings (%) Distribution of CLO loan holdings by rating 30% U.S. CLO loan holdings distribution by rating 25% 20% 15% 10% 5% 0% Over half (54%) of underlying CLO loans are rated B1 or B2. Ba1/Ba2/Ba3 rated loans account for 21% of CLO loan holdings. Source: Thomson Reuters LPC Collateral 13

2012 2013 2014 2015 2016 2017 2018 >=2019 Share of maturing loan volume Distribution of CLO loan holdings by maturity 25% Distribution of U.S. CLO loan maturities 20% 15% 10% 5% 0% Loan Maturity Nearly two-thirds (65%) of loans held by CLOs mature in the 2016-2018 time period. 17% of loans mature in 2014. Source: Thomson Reuters LPC Collateral 14

<=2005 2006 2007 2008 2009 2010 2011 2012 Share of CLO loan holdings (%) CLO holdings by loan vintage 45% 40% U.S. CLO loan holdings by vintage 35% 30% 25% 20% 15% 10% 5% 0% Loan vintage Three-quarters of loans held by CLOs have been issued since 2010. Source: Thomson Reuters LPC Collateral 15

<80 80 to <90 90 to <91 91 to <92 92 to <93 93 to <94 94 to <95 95 to <96 96 to <97 97 to <98 98 to <99 99 to <100 Share of CLOs (%) Distribution of CLO weighted average loan bids 30% U.S. CLO weighted average loan bid distribution 25% 20% 15% 10% 5% 0% CLO weighted avg. loan bid Nearly half (49%) of CLOs have a weighted average loan bid in the 96 to 98 price range. Source: Thomson Reuters LPC Collateral 16

Sep-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jul-12 CLO weighted avg. CLO loan bid (% of par) CLO weighted average loan bids CLO weighted average loan bids: U.S. vs. Europe 98 96 U.S. CLOs Europe CLOs 94 92 90 88 86 84 82 The weighted average U.S. CLO loan bid is now at 95.84. For European CLOs it s 87.92. Source: Thomson Reuters LPC Collateral 17

Sep-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jul-12 CLO weighted avg. loan bid (% of par) CLO weighted average loan bids by vintage U.S. CLO weighted average loan bids 100 98 <2006 2006-2008 >=2009 Overall 96 94 92 90 88 Newer vintage U.S. CLOs hold a greater share of higher bid loans than older vintage CLOs. Source: Thomson Reuters LPC Collateral 18

Weighted avg. loan bid (% of par) CLO loan bid by end of reinvestment period 100 U.S. CLO loan bid by end of reinvestment period 98 96 94 92 90 88 <=1H12 2H12 2013 2014 >=2015 End of Reinvestment Period CLOs past their reinvestment date (which tend to be older vintage CLOs) are holding a higher share of lower bid loans. Source: Thomson Reuters LPC Collateral 19

Weighted avg. loan bid (% of par) CLO loan bid by vintage including and excluding CLOs past their reinvestment date U.S. CLO loan bid by CLO vintage excluding CLOs past reinvestment date 98 All CLOs Excluding CLOs past reinvestment date 96 94 92 90 <2006 2006-2008 >=2009 CLO vintage Excluding CLOs past their reinvestment date pushes weighted average bids higher particularly in older vintage CLOs. Source: Thomson Reuters LPC Collateral 20

>=Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 <=Caa3 NR Share of CLO loan holdings (%) Rating distribution by CLO vintage U.S. CLO loan holdings ratings distribution by vintage 35% 30% 25% <=2006 2006-2008 >=2009 20% 15% Rated Ba1/Ba2/Ba3: Pre-2006 = 22% 2006 to 2008 = 21% >=2009 = 18% Rated B3 and below: Pre-2006 = 23% 2006 to 2008 = 18% >=2009 = 15% 10% 5% 0% Older vintage CLOs have a higher share of lower rated and higher rated loans. Newer vintage CLOs have a greater loan concentration in the B1/B2 rating categories. Source: Thomson Reuters LPC Collateral 21

<=2006 2007 2008 2009 2010 2011 2012 Share of CLO loan holdings (%) CLO holdings by loan vintage 55% 50% U.S. CLO holdings by loan vintage 45% 40% 35% Pre-2009 vintage CLOs >=2009 vintage CLOs 30% 25% 20% 15% 10% 5% 0% Loan vintage Newer vintage CLOs have a higher share of loans issued since 2011 in their portfolios. Source: Thomson Reuters LPC Collateral 22

<=2002 2003 2004 2005 2006 2007 2008 2009-2010 2011 2012 Share of CLO loans with Libor floors (%) Share of CLO loans with Libor floors Share of U.S. CLO loans with Libor floors 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% Share loans with LIBOR floors Avg. LIBOR Floor Avg. LIBOR spread 450 400 350 300 250 200 150 100 50 Avg. libor spread / libor floor (bps) 0% 0 CLO vintage Newer vintage CLOs hold a higher share of loans that have Libor floors and have higher spreads. Source: Thomson Reuters LPC Collateral 23

<=2002 2003 2004 2005 2006 2007 2008 2009-2010 2011 2012 Cash balance as percent of CLO assets (%) Share of CLO oustanding balance (%) Cash balance by CLO vintage Cash balance by U.S. CLO vintage 10 9 8 7 6 5 4 3 2 1 Cash Share of CLO outstandings 40 35 30 25 20 15 10 5 0 0 CLO vintage Older vintage CLOs have a relatively higher share of their assets in cash. Source: Thomson Reuters LPC Collateral 24

Cash balance as percent of CLO assets Cash balance by end of reinvestment period 6% Cash balances by end of CLO reinvestment period 5% 4% 3% 2% 1% 0% <=1h12 2H12 2013 2014 2015 End of CLO Reinvestment Period Consistent with older vintage CLOs having more cash, CLOs whose reinvestment period has ended have a higher share of their assets in cash. Source: Thomson Reuters LPC Collateral 25

Univision Comm. Communit y Health TXU TLB Charter Comm. Biomet TLB Del Monte TLB Clarke America HCA Inc. TLB3 Carestrea m Reynolds Group Asurion TL Service Master First Data TL SunGard Data Las Vegas Sands Royalty Pharma Cablevisio n Sys Univar NV TLB Freescale Semi TLB Aramark TLB Sum of U.S. CLO loan holdings ($Bils.) Number of CLOs Top CLO loan holdings Top U.S. CLO loan holdings 2.5 400 2.0 Sum of CLO Holdings ($ Bils.) Count (# of CLOs) 350 1.5 1.0 300 0.5 250 0.0 200 Univision, Community Health, and TXU s term loan B s are the top tranche holdings in CLOs. Source: Thomson Reuters LPC Collateral 26

Univision Comm. Communit y Health TXU TLB Charter Comm. Biomet TLB Del Monte TLB Clarke America HCA Inc. TLB3 Carestrea m Reynolds Group Asurion TL Service Master First Data TL SunGard Data Las Vegas Sands Royalty Pharma Cablevisio n Sys Univar NV TLB Freescale Semi TLB Aramark TLB Sum of U.S. CLO loan holdings ($Bils.) Loan avg. bid (% of par) Top CLO loan holdings & current secondary loan price Top U.S. CLO loan holdings & their current secondary loan price 2.5 Sum of CLO Holdings ($ Bils.) Avg. Bid 105 2.0 95 1.5 85 1.0 75 0.5 65 0.0 55 Notably some of the top tranches are the highly levered LBOs of the precrisis period. Source: Thomson Reuters LPC Collateral 27

Univision Comm. TLB Community Health TLB TXU TLB Charter Comm. TLC Biomet TLB Del Monte TLB Clarke American HCA Inc. TLB3 Carestream Health TLB Reynolds Group TLE Asurion TL Service Master TLB First Data TL SunGard Data Sys Las Vegas Sands TLB Royalty Pharma TL Cablevision Sys TLB3 Univar NV TLB Freescale Semi TLB Aramark TLB Sum of U.S. CLO loan holdings ($Bils.) Share of loan size (%) Top CLO loan holdings & their share of loan size Top U.S. CLO loan holdings & their share of loan size 2.5 2.0 Sum of CLO Holdings ($ Bils.) Share of loan size 70 60 50 1.5 40 1.0 30 20 0.5 10 0.0 0 Source: Thomson Reuters LPC Collateral 28

Health, Ed & Childcare Broadcastin g and Ent. Electronics Diversified/ Cong. Srvce Telecom Retail Stores Chem., Plastics & Rubber Finance Auto Personal, Food & Misc Srvce Bev, Food & Tobacco Utilities Share of CLO loan holdings Avg. loan bid (% of par) CLO loan holdings by top industries U.S. CLO loan holdings by industry 14% Share of CLO loan holdings Avg Bid 100 12% 98 10% 96 8% 94 6% 4% 92 2% 90 0% 88 The top sector holding is Health, Education, and Childcare (12.2%), followed by Broadcasting & Entertainment (7.8%). Source: Thomson Reuters LPC Collateral 29

Loan Mutual Fund Flows & Returns

31

32

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Returns (%) Loan mutual funds vs. loan index Monthly returns Monthly fund vs. index returns 4 3 2 Open-end Loan Mutual Funds* S&P/LSTA Leveraged Loan Index 1 0-1 -2-3 -4-5 Open-end loan funds returned 0.76% in June, compared to a 0.68% gain for the S&P/LSTA loan index. *Based on a straight average of all open-end loan mutual fund returns. Source: Lipper, Thomson Reuters LPC, S&P/LSTA Leveraged Loan Index 33

2004 2005 2006 2007 2008 2009 2010 2011 1H12 Returns (%) Loan mutual funds vs. loan index - Annual returns Annual fund vs. index returns 55 50 45 40 35 30 25 20 15 10 5 0-5 -10-15 -20-25 -30 Open-end Loan Mutual Funds* S&P/LSTA Leveraged Loan Index Open-end loan funds have returned 4.33% through June, versus 4.54% for the S&P/LSTA loan index. *Based on a straight average of all open-end loan mutual fund returns. Source: Lipper, Thomson Reuters LPC, S&P/LSTA Leveraged Loan Index 34

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Returns (%) Open-end vs. closed-end* loan mutual funds Monthly returns 4 3 2 Open-end vs. closed-end fund returns Open-end Funds* Closed-end Funds* 1 0-1 -2-3 -4-5 -6-7 Closed-end loan funds returned 1.07% in June, compared to a 0.76% gain for open-end loan funds. *Based on a straight average of all loan mutual fund returns. *Closed-end fund returns based on NAV. Source: Lipper, Thomson Reuters LPC 35

Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Returns (%) Loan vs. HY bond mutual funds Monthly returns Monthly fund returns 6 5 4 3 2 1 0-1 -2-3 -4-5 Open-end Loan Mutual Funds* Open-end HY Bond Mutual Funds* Open-end HY bond funds gained1.85% in June, compared to a return 0.76% for loan funds. *Based on a straight average of all open-end mutual fund returns. Source: Lipper, Thomson Reuters LPC 36

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 1H12 Returns (%) Loan vs. HY bond mutual funds Annual returns Annual fund returns 50 40 Open-end Loan Mutual Funds Open-end HY Bond Mutual Funds 30 20 10 0-10 -20-30 Open-end HY bond funds gained 6.63% in the first half of 2012 compared to a return of 4.33% for open-end loan funds. *Based on a straight average of all open-end mutual fund returns. Source: Lipper, Thomson Reuters LPC 37

Leveraged Loan Market Overview

Jan-10 Feb-10 Mar-10 Apr-10 May- Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May- Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May- Jun-12 Issuance ($ Bils.) Institutional loan and HY Bond issuance - monthly 60 Monthly issuance 50 40 HY Bonds Inst. Loans 30 20 10 0 Institutional loan issuance totaled $17.7 billion in June, HY bond issuance reached $8.1 billion. Source: Thomson Reuters LPC 39

1Q05 2Q05 3Q05 4Q05 1Q06 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 Issuance ($ Bils.) Institutional loan and HY Bond issuance - quarterly 120 110 100 90 80 Quarterly issuance HY Bonds Inst. Loans 70 60 50 40 30 20 10 0 Institutional loan issuance totaled $68.4 billion in 2Q12 versus $47.9 billion for HY bonds. Source: Thomson Reuters LPC 40

Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-109 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Issuance ($ Bils.) HY bond for loan takeouts 16 HY bond for loan takeouts 12 8 4 0 HY bond for loan takeouts slipped to $1.7 billion in June. Year-to-date totals $45 billion. Source: Thomson Reuters LPC 41

1Q04 3Q04 1Q05 3Q05 1Q06 3Q06 1Q07 3Q07 1Q08 3Q08 1Q09 3Q09 1Q10 3Q10 1Q11 3Q11 1Q12 Issuance ($ Bils.) Sponsored loan issuance Sponsored loan issuance 120 110 100 90 80 70 60 50 40 30 20 10 0 LBO Non-LBO Sponsored lending activity is below last years levels. LBO activity remains subdued so far in 2012. Source: Thomson Reuters LPC 42

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Dec Institutional loan pipeline 50 40 Institutional Pipeline 2010 2011 2012 30 ($ in Bils.) 20 10 0 Institutional loan pipeline is now at $14.6 billion, below the $25.6 billion seen at this time last year. Source: Thomson Reuters LPC 43

Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Average yield (%) Institutional loan primary market yields 10% Average primary market institutional loan yield 9% 8% 7% 6% 5% 4% * Assuming three year life Institutional loan yields in the primary market increased to 7.35% in June, up from 6.63% in May, 6.53% in April, and 6.13% in March Source: Thomson Reuters LPC 44

January '11 February '11 March '11 April '11 May '11 June '11 July '11 August '11 September '11 October '11 November '11 December '11 January '12 February '12 March '12 April '12 May '12 June '12 Flexed Facility Volume ($ Bils.) Price flex Institutional loan price flex 10 8 6 4 2 0-2 -4-6 -8-10 -12-14 -16-18 Up Down Upward flexes dominated in 2Q12, totaling $17.2 billion versus reverse flexes of $4.2 billion Source: Thomson Reuters LPC 45

03-Jan-2011 15-Feb-2011 30-Mar-2011 12-May-2011 27-Jun-2011 09-Aug-2011 21-Sep-2011 03-Nov-2011 16-Dec-2011 01-Feb-2012 15-Mar-2012 27-Apr-2012 11-Jun-2012 Avg. Bid (% of par) Secondary market bid levels Secondary market average bid 100 98 SMi100 Multi-quote inst. loans 96 94 92 90 Eurozone crisis and worries about the U.S. economy pushed flow loan bids 72 bps lower in 2Q12, but still finished 1H12 up 133 bps, while the broader market increased 277 bps. Source: LSTA/LPC MTM Pricing, Thomson Reuters LPC 48

3-Jan-11 23-Mar-11 6/10/2011 29-Aug-11 16-Nov-11 07-Feb- 26-Apr-12 Average Bid (% of par) Secondary market bid levels: covenant-lite & second-liens 105 Cov-lites and second lien loan bids Cov-lite 2nd Lien TL SMi 100 100 95 90 85 80 75 Covenant-lite loans are currently bid at 95.79. Second-liens are at an average of 86.61. Source: LSTA/Thomson Reuters LPC MTM Pricing 47

Jul-11 Aug-11 Oct-11 Nov-11 Dec-11 Feb-12 Mar-12 May-12 Jun-12 Average yield (%) Secondary market yields 7 SMi100 secondary market yields 6 5 4 3 Flow names are now yielding an average of 5.23%. * Assuming three year life Source: Thomson Reuters LPC 48

31-Dec-2009 18-Feb-2010 01-Apr-2010 14-May-2010 29-Jun-2010 12-Aug-2010 24-Sep-2010 05-Nov-2010 21-Dec-2010 03-Feb-2011 18-Mar-2011 02-May-2011 14-Jun-2011 27-Jul-2011 08-Sep-2011 20-Oct-2011 02-Dec-2011 18-Jan-2012 01-Mar-2012 13-Apr-2012 25-May-2012 Share of loan bids >=100 Par-plus market share Par-plus share: SMi100 & multi-quote institutional term loans 40% 30% SMi 100 Multi-quote inst loans 20% 10% 0% 15% of multi-quote institutional loans are bid above par, while the corresponding number for flow name is 13%. While this is an increase from the early June levels, they still are still significantly below the levels seen in early May. Source: LSTA/Thomson Reuters LPC MTM Pricing 49

<70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <100 >=100 Share of loan bids >=100 Institutional Loan Bid Distribution Bid distribution: Multi-quote institutional loans 60% 50% 40% 30-Dec-11 05-Jul-12 30% 20% 10% 0% 71% of institutional loans are bid above 98, up from 43% at the start of the year Source: LSTA/Thomson Reuters LPC MTM Pricing 50

Default Probability Analysis

Starmine default probability comparison for select names - implied ratings are above credit agency ratings Company Name S&P Corporate Credit Rating StarMine Structural DP Model 1year default probability Structural Model Implied Rating StarMine SmartRatios DP Model 1year default probability SmartRatios Model Implied Rating Source: Thomson Reuters Starmine TLB Avg. Bid Lender Processing Services BB+ 0.238% BB 2.288% B 100.13 Constellation Brands Inc BB+ 0.209% BB 1.455% B+ 99.75 DigitalGlobe Inc BB 0.598% B+ 1.073% BB- 98.75 Colfax Corporation BB 0.316% BB- 1.605% B+ 99.92 Terex Corporation BB- 1.373% B 1.907% B 100.46 Goodyear Tire & Rubber Co BB- 1.106% B 2.304% B 98.48 Georgia Gulf Corporation BB- 0.520% B+ 1.929% B 96.69 Sinclair Broadcast Group Inc BB- 0.495% B+ 5.061% CCC 99.5 Ducommun Inc B+ 1.483% B 2.377% B 99 Kindred Healthcare Inc B+ 1.156% B 2.650% B- 95.5 Manitowoc Company Inc B+ 1.718% B- 3.109% B- 99.67 SuperValu Inc B+ 7.249% CC 5.230% CCC 99.83 Vanguard Health Systems Inc B 1.611% B- 3.160% B- 99.58 Gray Television Inc B 1.743% B- 3.696% CCC+ 98.77 Gentiva Health Services Inc B- 3.124% CCC+ 3.650% CCC+ 91.42 52

Starmine default probability comparison for select names - implied ratings are below credit agency ratings Company Name StarMine Structural DP Model StarMine SmartRatios DP Model 1year Structural 1year SmartRatios S&P Corporate default Model Implied default Model Implied Credit Rating probability Rating probability Rating TLB Avg. Bid Flextronics International Ltd BB+ 0.099% BBB- 0.469% BBB- 99 Great Canadian Gaming Corp. BB+ 0.051% BBB+ 0.521% BBB- 99.25 Acxiom Corporation BB 0.080% BBB- 0.536% BBB- 99 PolyOne Corporation BB- 0.218% BB 0.984% BB 100 Armstrong World Industries BB- 0.109% BBB- 0.802% BB 99.47 Nuance Communications BB- 0.074% BBB- 0.295% BBB+ 99.63 Helix Energy Solutions Group B+ 0.299% BB 0.909% BB 99.63 CNO Financial Group Inc B+ 0.196% BB 0.821% BB 99.5 Metropolitan Health Networks B+ 0.144% BB+ 1.127% BB- 96 Iconix Brand Group Inc B+ 0.166% BB+ 0.672% BB+ 99.5 Smart Balance Inc B+ 0.113% BB+ 0.564% BB+ 100.5 Verint Systems Inc B+ 0.102% BBB- 1.049% BB- 99 NCI Building Systems Inc B 0.206% BB 1.137% BB- 99 High Liner Foods Inc B 0.043% BBB+ 0.835% BB 100 Ocwen Financial Corporation B 0.039% BBB+ 0.752% BB 100.25 US Airways Group Inc B- 0.535% B+ 2.172% B 95.27 Rite Aid Corporation B- 0.713% B+ 1.657% B+ 98.5 Source: Thomson Reuters Starmine 53

CDS Market Snapshot

3/25/08 6/25/08 9/25/08 12/25/08 3/25/09 6/25/09 9/25/09 12/25/09 3/25/10 6/25/10 9/25/10 12/25/10 3/25/11 6/25/11 9/25/11 12/25/11 3/25/12 6/25/12 12/4/09 3/4/10 6/4/10 9/4/10 12/4/10 3/4/11 6/4/11 9/4/11 12/4/11 3/4/12 6/4/12 Spread (bps) Price (% of par) Spread (bps) CDS index spreads CDX.NA.IG spread CDX.NA.HY price / spread 300 106 1000 250 104 102 Price Spread 900 800 200 150 100 98 96 94 700 600 500 100 92 400 90 300 50 88 200 86 100 0 84 0 CDS spreads have tightened in recent weeks after widening noticeably in May amidst growing fears around the Eurozone crisis and weaker growth in the U.S Source: Thomson Reuters CreditViews 55

12/14/07 2/12/08 4/12/08 6/11/08 8/10/08 10/9/08 12/8/08 2/6/09 4/7/09 6/6/09 8/5/09 10/4/09 12/3/09 2/1/10 4/2/10 6/1/10 7/31/10 9/29/10 11/28/10 1/27/11 3/28/11 5/27/11 7/26/11 9/24/11 11/23/11 1/22/12 3/22/12 5/21/12 Spread (bps) Thomson Reuters Counterparty Default Index Counterparty Default Index 350 300 250 200 150 100 50 0 Bank CDS have widened significantly since earlier in the year. The CDI index now stands at 237 bps, up from 178 bps in March. The index tracks counterparty risk as reflected by average spreads of 5 year CDS for the top CDS dealers that operate in the CDS market. Source: Thomson Reuters CreditViews 56