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North American High Yield ResearchNew York
December 2010
2010 High-Yield Annual Review
See last page for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm mayhave a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making theirinvestment decision.
High Yield and Leveraged Loan Research
Peter Acciavatti AC
(1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares(1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA(1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
J.P. Morgan Securities LLC
Contents
Sections1. 2011 outlook and portfolio strategy 52. Performance review 253. New-issue review 454. Event risk 595. High-Yield Equity Index review 836 The case for high yield 997. Fund flow review 1098. Leveraged loan market review 1199. The case for leveraged loans 137Appendix A-AA A1-A145
2010 High-Yield Annual Review is available on theJ.P. Morgan Chase and Co. Research website:www.morganmarkets.com
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
2
North American High Yield Research
2010 High-Yield Annual Review
December 2010
3
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
Contents
Sections
1. 2011 outlook and portfolio strategy
2. Performance review
3. New-issue review
4. Event risk
5. High-Yield Equity Index review
6. The case for high yield
7. Fund flow review
8. Leveraged loan market review
9. The case for leveraged loans
Appendix
A. 2010 US dollar new issues
B. 2010 non-US dollar new issues
C. Defaults
D. Downgrades and upgrades
E. Rising stars
F. Fallen angels
G. High-yield merger and acquisition activity
H. High-yield equity issuance
I. High-yield calls
J. High-yield tenders
K. J.P. Morgan Global High-Yield Index profile
L. J.P. Morgan Developed High-Yield Index profile
M. J.P. Morgan Domestic High-Yield Index profile
N. J.P. Morgan Developed BB High-Yield Index profile
O. J.P. Morgan Institutional High-Yield Index profile
P. J.P. Morgan 100 High-Yield Index profile
Q. J.P. Morgan Euro High-Yield Index profile
R. J.P. Morgan Sterling High-Yield Index profile
S. J.P. Morgan US Dollar European High-Yield Index profile
T. J.P. Morgan European Currency High-Yield Index profile
U. J.P. Morgan European Aggregate High-Yield Index profile
V. J.P. Morgan High-Yield Equity Index, year-to-date 2010 performance
W. High-yield investment styles
X. High-yield market growth
Y. Risk and returns of various assets
Z. Who owns high yield?
AA. Long-term high-yield market timeline
C
S
5
25
45
59
83
99
109
119
137
AA2
A21
A24
A31
A56
A58
A60
A66
A69
A74
A81
A86
A88
A90
A92
A94
A96
A98
A100
A102
A104
A106
A117
A123
A124
A140
A145
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
4
North American High Yield Research
2010 High-Yield Annual Review
December 20101
5
2011 outlook and strategy
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
6
North American High Yield Research
2010 High-Yield Annual Review
December 20101
7
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Executive summary: Goldilocks for creditAn economy warm, rather than too hot or too cold, is justright for high-yield
The economic forecast for 2011 looks for a gradual acceleration in growth and
hiring, sustained low core inflation, and a Fed that continues on the course of LSAP
to support the economy. Due to a boost to disposable income at the hands of the
recent tax compromise, our economists look for GDP to grow 3.75% in 1H11 and
slow modestly to 3.25% in 2H11. With major adjustments to business and household
savings largely behind us, fiscal policy less of an obstacle, and the Fed still
supporting activity, the cyclical turn to above-trend growth is expected to finally
take hold. Overall, our economists forecast US GDP to expand 3.1% in 2011 and
3.0% in 2012 (y/y), after growing 2.8% in 2010.
Although we expect growth to rise above its potential over the next two years,
importantly, the US economy will still be operating with considerable slack. By the
end of 2011, the US unemployment rate is expected to approach 9%, and is unlikely
to fall below 8% until sometime in 2013. While our economists’ forecast does not
call for outright deflation, core inflation is apt to remain below 1% through 2011
(0.7% y/y) and 2012 (0.9% y/y). With unemployment high and inflation low, the Fed
Funds rate will likely remain near zero over the next two years. Furthermore, given
the Fed needs a long period of above trend growth just to achieve its inflation
objectives, a pickup in economic activity in early 2011 is not expected to derail Fed
purchases (albeit odds of an extension of the program when it expires in June have
faded). As such, investors will likely begin to contemplate the Fed’s eventual exit
strategy in 2011. All of this leads our rates team to envisage a gradual pick-up in
Treasury yields beyond the first quarter of next year alongside improving growth
prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will
increase to 0.95%, 2.40%, 3.45%, and 4.70% by year-end 2011.
For high yield, the forecasted move in Treasury yields in 2011 appears manageable.
With credit fundamentals steadily improving, default risk negligible, and capital
market conditions expected to remain robust, high-yield bond spreads above their
long term average are expected to absorb the entirety of the rise in Treasury yields in
2011. More so, these “warm” economic conditions are expected to foster further
improvement in fundamentals and liquidity among a broader set of issuers, and keep
default risk a non-issue through 2012. Certainly though, with the transition from
public to private sector demand seemingly incomplete, the arrival of a fresh set of
risks including Chinese tightening, sovereign/municipal fiscal woes, rising
commodity prices, persistent weakness in housing data, and rising US Treasury
yields bears watching. However to the extent any of these items place a governor on
growth, ironically, they would in fact be a welcome respite for high-yield, because
of the implications on Treasury yields. The US economy tracking at a pace not too
hot or too cold, would serve as a goldilocks scenario for high-yield credit.
Year-end spread and return targets: For high-yield bonds, we forecast year-end
2011 spreads and yields of T+515bp and 7.4%, respectively, and a full-year return
of slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
8
North American High Yield Research
2010 High-Yield Annual Review
December 20101
tightening occurring in response to rising Treasury yields. For leveraged loans, we
forecast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with
the potential for stronger returns in 2H11 versus 1H11, as investors begin to
contemplate the Fed’s eventual exit strategy, raising the demand for floating rate
loans. For full-year 2011, we forecast a return for leveraged loans of 7.1%.
Positioning: In terms of bonds versus loans, the balance of risks to the near-term
rate outlook have shifted in light of the sharp 50bp rise in Treasury yields in the past
few weeks and the expectation QE will be completed through June. Thus, we prefer
bonds over loans in early 2011 given a comparably low current income component
for loans (4.1%), than for high-yield bonds (8.4%). However, we prefer loans over
bonds later in the year. Low fixed coupons across the bond market will eventually
become vulnerable to rising interest rates. But even before this event we expect
demand for loans, which carry a 5-6% yield that floats and sits senior in the capital
structure, to benefit from the dearth of alternatives available to protect a portfolio
against rising rates. This is expected to allow the spread between high-yield bonds
and loans to widen as the year progresses toward the long-term median, 178bp,
versus 101bp today.
By rating class we recommend investors Overweight CCC-rated credits, Market-
weight B-rated credits, and Underweight BB-rated credits. Spreads for BB, B, and
CCC-rated bonds are currently 437bp, 616bp, and 1025bp, respectively, and yields
are 6.2%, 7.8%, and 11.6%. Because we expect US GDP growth to exceed
consensus expectations, Treasury yields to gradually move higher, stocks to perform
well, capital market accessibility to broaden, default risk to stay negligible, and
high-yield bonds to provide coupon type returns, we believe a portfolio tiered
toward lower-rated/higher yielding issuers will likely outperform.
Defaults: High-yield bond and loan default rates are likely to end 2010 at roughly
1.0% and 2.0%, respectively, versus their long-term averages of 4.3% and 4.0%.
With market technicals strong leading into next year, 2011 and 2012 maturities
negligible ($180 billion combined), and US GDP growth expected to accelerate at a
modest pace next year (3.1% y/y), our 2011 default forecasts for high-yield bonds
and loans are 1.5% and 2.0%, respectively. Furthermore, we also believe that
liquidity needs for high-yield issuers will remain a non-issue through 2012. As
such, our 2012 default forecasts for high-yield bonds and loans are 2% and 3%,
respectively, both still below their long-term averages. For perspective, based on
current spreads of T+606bp for bonds and L+588bp for loans, implied default rates
are 5.4% and 8.7%, respectively. Conversely, based on our default forecasts, high-
yield bond and loan spreads should be T+390bp and L+355bp, respectively. In other
words, spreads are cheap versus default risk and economic and/or interest rate
surprises in 2011 stand a high chance of being absorbed at these levels.
Demand: An economy that muddles along at levels a notch above or below our
economists forecast (2.0-3.5% GDP per quarter,) would be a goldilocks scenario for
high-yield. Any prospective rise in rates would likely be capped and demand for
higher yielding credit would remain strong as investors continue to seek alternatives to
both higher beta markets such as equities and lower yielding fixed income products.
9
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
High-yield bond and loan spreads remain wide
0bp
300bp
600bp
900bp
1200bp
1500bp
1800bp
2100bp
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad
High yield
Leveraged loan
HY spread15-Dec-10T+582bp
Loan spread15-Dec-10L+574bp
Sources: J.P. Morgan; S&P/LCD.
Capital markets: We anticipate elevated bond volumes as well as the recent trend
toward extending credit to a broader set of issuers to continue in 2011. In addition,
we expect to see continued improvement in primary conditions for leveraged loan
issuers in 2011, after a better than three-fold increase in volume year-over-year in
2010. We forecast 2011 high-yield bond issuance of $235 billion, a slightly slower
pace of issuance activity year-over-year, but one still consistent with an extremely
active market for prospective issuers. For institutional leveraged loans, we forecast
2011 new-issuance of $160 billion, above this year’s pace of $140 billion. In other
words, issuance activity will remain very strong for leveraged credit issuers in 2011,
after historic conditions in 2010.
Maturity wall: Importantly, 58% of the $412 billion in bonds and loans issued this
year had been used for refinancing purposes. Including 2009’s issuance and amend
to extend activity, the amount of debt set to mature through 2014 has now been
reduced by $393 billion since the beginning of last year. As such, high-yield bond
and loan maturities over the next two years are negligible, with only $73 billion and
$108 billion coming due in 2011 and 2012. To put this into perspective, the market
has already priced $239 billion of refinancing related issuance across the bond and
loan market thus far in 2010. This provides a clear runway for issuers and investors
and is one of the factors behind our benign default outlook. Even so, focus in the
primary market over the next couple of years will continue to be directed toward
maturities between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans
still stand to come due ($503 billion bonds and $575 billion loans).
2011 growth and rate forecasts: ideal for higher yielding credit
Strong GDP growth in 2011: The economic forecast for 2011 looks for a gradual
acceleration in growth and hiring, sustained low core inflation, and a Fed that
continues on the course of LSAP to support the economy. In response to the recent
tax compromise reached between the Administration and Congress—which is
expected to sharply boost disposable income and consumption—our economists
raised their growth forecast in the first half of 2011. First quarter real disposable
income, which had been previously expected to contract at a 0.5% annualized pace,
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
10
North American High Yield Research
2010 High-Yield Annual Review
December 20101
is now expected to expand at a 4.5% rate. With consumer spending forecasted to
track at a 3.5% annualized pace in 1H11, our economists look for GDP to grow
3.75% in 1H11 (consensus 2.5%), and slow modestly to a pace of 3.25% in 2H11
(closely inline with consensus). With major adjustments to business and household
savings largely behind us, fiscal policy less of an obstacle, and the Fed still
supporting activity, the cyclical turn to above-trend growth is expected to finally
begin to take hold. Overall, our economists forecast GDP to expand 3.1% (y/y) in
2011 and 3.0% in 2012 (versus consensus of 2.5% and 3.0%), after growing 2.8%
in 2010.
Low inflation: Although our economists expect growth to rise materially above its
potential rate over the next two years, the US economy will still be operating with
considerable slack. The core PCE price index, the Fed’s preferred measure of
inflation, has slowed from 2.5% in the middle of 2008 to less than 1% at an annual
rate so far this year. The abundant slack in labor markets, real estate, and industrial
capacity that have brought lower inflation will remain with us for some time. While
the forecast does not call for outright deflation, core inflation is apt to remain below
1% through 2011 (0.7% y/y) and 2012 (0.9% y/y).
Only a slow decline in unemployment: Private sector payrolls are expected to
average 175,000 per month in 2011. However, this will not be sufficient to lift
operating rates meaningfully in an environment of sustained public sector cutbacks.
By the end of 2011, the US unemployment rate is expected to approach 9%, and is
unlikely to fall below 8% until sometime in 2013.
J.P. Morgan US economic forecasts
Source: J.P. Morgan.
%q/q %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011 2012
Real GDP 2.5% 3.5% 4.0% 3.5% 3.0% 2.8% 3.1% 3.0%Unemployment rate 9.7% 9.6% 9.4% 9.2% 9.0% 9.7% 9.3% 8.7%Core CPI 0.4% 0.6% 0.6% 0.7% 0.8% 1.0% 0.7% 0.9%
Contribution to real GDP growth (% pts)Domestic final sales 2.7% 3.3% 3.7% 4.1% 3.3% 1.9% 3.4% 3.1%Net exports 1.3% 0.5% 0.2% -0.3% -0.5% -0.6% -0.1% -0.2%Inventories -1.6% -0.3% 0.1% -0.3% 0.1% 1.4% -0.2% 0.0%ComponentsSavings rate 5.4% 5.7% 5.7% 5.4% 5.4% 5.7% 5.6% 5.2%Real disposable income 1.0% 4.5% 3.5% 3.0% 3.0% 1.3% 3.0% 2.3%Consumer spending 2.5% 3.5% 3.5% 4.0% 3.0% 1.7% 3.2% 2.7%Residential investment 5% 10% 20% 15% 10% -2.9% 6.7% 13.1%Housing starts 0.55 0.60 0.65 0.68 0.70 0.59 0.66 0.78Light vehicle sales (SAAR) 12.2 12.4 12.6 12.8 12.9 11.5 12.7 13.2
11
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Housing activity has already collapsed: Housing starts and new home sales have
dropped to extraordinary low levels relative to history (less than a third of the
average between 1996-2006) , especially when adjusted for demographic growth.
Our economists forecast looks for another year of economic recovery and somewhat
stronger job gains to give a lift to home sales and to housing starts (660K in 2011
from 590K in 2010). Even so, inventories of unsold homes, including shadow
inventories, are still elevated and home prices are likely to remain stuck near current
levels. However, with the hit to growth from declines in homebuilding and layoffs in
the construction industry behind us, it is easier for the economy to grow.
Policy support to continue: It is now widely understood (our economists included)
the Fed would like inflation to be between 1.7% and 2.0%. For context, our
economists estimate US GDP growth would need to be 5.5% in 2011 for inflation to
return to 1.8% in the subsequent year, or US GDP would need to average 3.3%
through 2013. With a strong public desire to see fiscal consolidation, the low for
long mantra for monetary policy is expected to be left unchanged beyond next year.
In fact, an initial upward move in the Fed funds rate, or alternatively, a wind down
of assets taken onto the Fed’s balance sheet (the expected first step), is not expected
until late 2012, at the earliest. Furthermore, given the Fed needs a long period of
above trend growth to achieve its inflation objectives, a pickup in economic activity
is not expected to derail Fed purchases. However, because of the improved first half
outlook we no longer see the Fed increasing the amount of asset purchases after they
are currently set to expire in June. In a sense, although the forecast at the June
meeting will still feature very low inflation and very high unemployment for a long
time, the realization of above-trend growth in the first half will remove some of the
urgency felt last summer to give the economy a shot of adrenaline.
Source: J.P. Morgan.
Time to 6% unemployment rate: If average real GDP growth, %ch saarEnd 2011 10.3%End 2012 6.2%End 2013 4.8%End 2014 4.2%End 2015 3.7%End 2016 3.5%End 2017 3.3%End 2018 3.1%
A high required growth rate for the USIf unemployment rate ends 2010 at 9.7%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
12
North American High Yield Research
2010 High-Yield Annual Review
December 20101
Gradual rise in Treasury yields: To state the obvious, risks to Treasury yields for
next year are asymmetric. Even so, with the implementation phase of QE delivering
a shift in the ownership of US Treasuries from private hands into the Fed’s balance
sheet, we do not expect the recent sharp increase in Treasury yields to carryover into
1Q11. Nevertheless, even with core inflation expected to average less than 1% next
year and the Fed funds rate expected to remain unchanged, questions around fiscal
imbalances and an eventual exit by the Fed should cause investors to focus on
higher rates in 2011. This is why our rates team envisages a gradual pick-up in
Treasury yields. They forecast 2yr, 5yr, 10yr and 30yr yields today of 0.61%,
1.86%, 3.25%, and 4.46%, respectively, will rise to 0.95%, 2.40%, 3.45%, and
4.70% by year-end 2011. By quarter, Treasury yields will rally into early next year,
followed by a more significant increase during 2Q11 (5-year Treasury yield +45bp)
when our economists forecast GDP growth will peak at 4%. Aside from the
realignment of Treasury yields in 2Q11, the expected increase in yields would
appear to be manageable for high-yield investors because they are expected to be
accompanied by an improving fundamental backdrop.
Note: Represents required annualized GDP growth need to raise inflation to Fed’s implicit target by end of next year. In other words, ifthe US economy grows 3.3% per annum through 2013, the target is estimated to be reached by YE 2014.Source: J.P. Morgan.
Required GDP growth for successful reflationReach target by: US EMU Japan2011 5.5% 3.3% 4.5%2012 3.9% 2.3% 2.8%2013 3.3% 1.9% 2.2%
J.P. Morgan 2011 forecast 3.1% 1.6% 1.5%Potential growth 2.3% 1.3% 1.0%Target inflation 1.8% 1.8% 0.0%
Treasury yields are expected to rise
Source: J.P. Morgan.
ChangeCurrent 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E curr./4Q11
Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.61% 0.50% 0.55% 0.75% 0.85% 0.95% + 34 bp5-yr Treasury 1.86% 1.40% 1.55% 2.00% 2.20% 2.40% + 54 bp10-yr Treasury 3.25% 2.50% 2.65% 3.00% 3.20% 3.45% + 20 bp30-yr Treasury 4.46% 3.85% 3.95% 4.25% 4.50% 4.70% + 24 bp
2s / 10s 2.64% 2.00% 2.10% 2.25% 2.35% 2.50% - 14 bp
13
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Default risk will remain low in 2011 and 2012
With default volumes declining at a steady pace in 2010, high-yield bond and loan
default rates have now fallen for 12 consecutive months to 0.7% and 2.2% (ltm),
respectively. For perspective, these represent a fraction of the 4.3% and 4.0% long-
term average default rates for high-yield bonds and loans. Going forward, with
market technicals strong heading into next year, 2011 and 2012 maturities negligible
($180 billion combined), and US GDP growth expected to accelerate next year
(3.1% y/y), our 2011 default forecasts for high-yield bonds and loans are 1.5% and
2.0%, respectively. Additionally, for 2012, our default forecasts for high-yield bonds
and loans are 2% and 3%, respectively, both still below their long-term averages.
By way of example, if our 2011 default forecasts bear out, this would equal roughly
$15.0 billion of defaulted bonds and $11.9 billion of defaulted loans, or
alternatively, it would include every bond and loan priced below 62 cents on the
dollar today. For their part, the distressed ratios in the high-yield bond and loan
markets, defined as bonds trading at or below 50 cents and loans trading at or below
70 cents, are 0.3% and 3.4%, respectively. In support of our forecast, historically,
roughly half of the distressed volumes have defaulted over the next twelve months,
and as such, are also predicting very low default volumes in 2011.
Distressed high-yield bond debt remains negligible
Source: J.P. Morgan.
Percent No. Avg. Change in volumeof Par ($bn) issuers price 1 mo. 6 mo. 12 mo.<= 25% 0.1 0.0% 1 11.5 -1.2 -1.4 -1.725% < par <= 50% 2.8 0.3% 6 40.2 -1.1 -1.8 -4.450% < par <= 70% 18.9 2.0% 17 61.6 0.4 -6.5 -14.870% < par <= 100% 255.3 26.5% 245 93.1 92.8 -169.0 -132.9> 100% 687.8 71.3% 655 105.1 -76.7 249.3 324.8Total 964.9 924 100.51 14.2 70.6 170.9
Institutional loans by price buckets
Source: J.P. Morgan.
Percent No. Avg. Change in volumeof Par ($bn) issuers price 1 mo. 6 mo. 12 mo.$ < 60 7.1 1.7% 20 36.8 -1.2 -2.3 -8.460 <= $ < 70 7.2 1.7% 11 65.2 2.4 4.0 -9.870 <= $ < 80 41.2 9.7% 37 76.3 -1.7 -2.9 -25.580 <= $ < 90 48.3 11.4% 82 86.5 -3.6 -49.2 -88.490 <= $ < 100 247.6 58.3% 471 96.6 -12.1 -39.4 -37.7$ >= 100 73.3 17.3% 131 100.7 -1.6 59.4 53.6Total 424.7 752 92.6 -17.8 -30.6 -116.2
Default rates are expected to remain low through 2012
1.7%
9.1%8.0%
3.3%
0.9% 0.4%
2.3% 2.0%
6.6%
0.5%
3.9%
12.8%
2.0%3.0%
1.1%
4.1%5.0%
10.3%
0.8%1.5%
6.3% 6.0%
2.3%1.0%
0.2%1.5%
4.2%
1.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
2010
2011
E
2012
E
Par-w
eighte
d defa
ult ra
tes
High-yield bond default rate
Loan default rate Long-term average default rateHigh-yield bonds: 4.3%Leveraged loans: 4.0%
Note: 2010 default rates represent the ltm numbers as of November.Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
14
North American High Yield Research
2010 High-Yield Annual Review
December 20101
Finally, importantly for the maturity wall, 58% of the $412 billion in bonds and
loans issued this year has been used for refinancing purposes. Including 2009’s
issuance and amend to extend activity, the amount of debt set to mature through
2014 has now been reduced by $393 billion since the beginning of last year. More
specifically, maturities for 2010, 2011, 2012, 2013 and 2014 have declined by
$57 billion, $64 billion, $90 billion, $127 billion and $55 billion, respectively. As
such, high-yield bond and loan maturities over the next two years are negligible,
with only $180 billion coming due in 2011 and 2012. To put this into perspective,
the market has already priced $239 billion of refinancing related issuance across the
bond and loan market thus far in 2010. Even so, focus in the primary market over
the next couple of years will continue to be directed toward maturities between 2013
and 2016, as $1.08 trillion of high-yield bonds and loans still stand to come due
($503 billion bonds and $575 billion loans). In particular, 2013 and 2014’s
$376 billion of institutional loans coming due equals 55% of all outstanding
institutional loans.
Default activity has remained low all year
54
2
44
2223
5
8
3
56
7
9910
11
1717
10
1615
02468
1012141618
Dec-0
8
Jan-
09
Feb-
09
Mar-0
9
Apr-0
9
May-0
9
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Numb
er of
defau
lts
Loan-only defaultsBond-and-loan defaultsBond-only defaults
Average number of defaultsLast 6 months = 3.56-months ending Dec 09 = 6.56-months ending May 09 = 14.3
Source: J.P. Morgan.
51 52
77
122
167
137153
115
42
97 100
22
56
124
252
94106
31
1 0 0 00
50
100
150
200
250
300
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
or
later
High-yield bonds Institutional leveraged loans
-57 -64
-90
-127
-55
70
127116
245
-140
-105
-70
-35
0
35
70
105
140
175
210
245
2010 2011 2012 2013 2014 2015 2016 2017 2018 or
later
High-yield bond and loan maturities Change in maturities since year end 2008
Note: Maturity schedule as of November 9, 2010, while change is measured between December 31, 2008 and November 9, 2010.Sources: J.P. Morgan; Markit.
15
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Spreads remain attractive
For high-yield bonds, we forecast year-end 2011 spreads and yields of T+515bp and
7.4%, respectively. We forecast a full-year 2011 return for high-yield bonds of
slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread
tightening occurring in response to rising Treasury yields. This would represent the
fourth time in the market’s relatively short history that returns have remained
roughly coupon or better for three consecutive years.
For leveraged loans, we forecast a year-end 2011 spread and yield of L+475bp and
5.0%, respectively, with the potential for stronger returns in 2H11 versus 1H11 as
investors begin to contemplate the Fed’s eventual exit strategy, raising the demand
for floating rate loans. This would contrast with bonds, where we see their strongest
return potential in the initial stages of 2011 as the reach for yield continues. In other
words, the current 101bp swap adjusted yield differential between bonds and loans
could hold through early 2011, but then widen in 2H11 toward the 177bp 13 year
average, as investors begin to place a higher premium on floating rate products later
in the year. In total, we forecast a full-year 2011 return for leveraged loans of 7.1%.
-39-25 -22 -28
8
41 45
86
245
-50
0
50
100
150
200
250
2010 2011 2012 2013 2014 2015 2016 2017 2018 or
later
-18
-64
30
-39
-68
-99
82
30
0
-110
-90
-70
-50
-30
-10
10
30
50
70
90
2010 2011 2012 2013 2014 2015 2016 2017 2018 or
later
Change in high-yield bond maturities since year end 2008 Change in leveraged loan maturities since year end 2008
Note: Change is measured between December 31, 2008 and November 9, 2010. Sources: J.P. Morgan; Markit.
Source: J.P. Morgan.
Expected 2011 high-yield bond returnIncome component 8.4%Expected spread tightening (606bp - 515bp)
current - forecast -91bp
Expected rise in 5-yr Treasury rates (1.85% - 2.40%)current level - 2011 forecast +55bp
-36bpDuration x 3.93yrsPrice contribution +1.4%Expected total return 9.8%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
16
1North American High Yield Research
2010 High-Yield Annual Review
December 2010
For 2011, the outlook for credit fundamentals (low defaults), the US economy
(4 quarters of US GDP growth above 3%), and interest rates (2.4% YE 2011 5yr
Treasury yield) are consistent with tighter spreads. Valuations relative to risk free
rates and defaults helps to explain why. Based on current spreads of T+606bp for
bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respectively,
significantly higher than our forecasted 2011 default rates of 1.5% and 2.0%.
Conversely, based on our default forecasts, spreads for high-yield bonds and loans
should be T+390bp and L+355bp, respectively.
While spreads will probably not tighten to these levels over the next 12 months
given our Treasury and Libor rate forecasts next year (this would infer yields of
6.3% for high-yield bonds and 3.75% for leveraged loans), it highlights the
attractiveness of both markets relative to default risk. In other words, economic
and/or interest rate surprises stand a high chance of being absorbed at these spreads.
But let’s be clear, even a 7.72% yield for high-yield bonds and 6.19% yield for
loans, absent any further compression, look attractive in the current environment.
We presume investors will see it this way too, and thus, our base-case forecast for
2011 incorporates prices similar to current levels.
Source: J.P. Morgan.
Expected 2011 leveraged loan return Income component 4.1%Current spread L+588bpTarget spread L+475bp
Price contribution 3.0%Expected total return 7.1%
What today’s high yield bond spread implies for future defaults
Source: J.P. Morgan.
Actual spread Excess spread Default loss Par - Recov. rate Default rate606bp - 307bp = 299bp / (100% - 45%) = 5.4%
High yield spread estimate using our 1.5% default rate forecast Par - Recov. rate Default rate Default loss Excess spread Forecast
(100% - 45%) x 1.5% = 83bp + 307bp = 390bp
What today’s loan spread implies for future defaults
Source: J.P. Morgan.
Actual spread Excess spread Default loss Recov. rate Default rate588bp - 285bp = 303bp / (100% - 65%) = 8.7%
Bank loan spread estimate using our 2.0% default rate forecast Par - Recov. rate Default rate Default loss Excess spread Forecast
(100% - 65%) x 2.0% = 70bp + 285bp = 355bp
17
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
In terms of bonds versus loans, we prefer bonds over loans in early 2011 given a
comparably low current income component for loans (4.1%), than for bonds (8.4%).
For perspective, these conditions led high-yield bond returns to outpace loan returns
in 2010. However, we prefer loans over bonds later in the year. Fixed rate coupons
will eventually become vulnerable to rising interest rates. But even before this event
(not expected to see Fed Funds or Libor rates increase next year) we expect demand
for loans, which carry a 5-6% yield that floats and sits senior in the capital structure,
will benefit from the dearth of alternatives available to protect a portfolio against
rising rates. Particularly as Treasury yields begin to rise more quickly beginning in
the second-quarter as growth trends pick up. In other words, while bonds should
outperform loans in early 2011, we expect more comparable returns in the second
half of next year as rate fears rise, increasing demand for loans and therefore
allowing prices to press higher, causing the spread between the two markets to
widen, moving more in-line with the long-term average of 178bp.
Prefer CCCs to Bs and BBs
Currently, BB, B, and CCC-rated bond spreads are 437bp, 616bp, and 1025bp,
respectively, and yields are 6.2%, 7.8%, and 11.6%. For 2011, because we expect
US GDP growth to exceed consensus expectations, Treasury yields to gradually
move higher, stocks to perform well, capital market accessibility to broaden, default
risk to stay negligible, and high-yield bonds to provide coupon type returns, we
believe a portfolio tiered toward lower-rated/higher yielding issuers will likely
outperform. Thus, we recommend investors Overweight CCC-rated credits, Market-
weight B-rated credits, and Underweight BB-rated credits.
Swap adjusted comparison of high-yield bond and loan yields
16-Dec-1098bp
30-Sep-02559bp
-600bp
-400bp
-200bp
0bp
200bp
400bp
600bp
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Diffe
renc
e in y
ields
13-year average = 177bp13-year median = 154bp
Sources: J.P. Morgan; S&P/LSTA
Yields for high yield are attractive
Source: J.P. Morgan.
Emerging FNMAHigh Leveraged Investment Markets 2-year 5-year 10-year 30-yearYield Loans Grade Bond Yield Treasury Treasury Treasury Mortgage
7-Dec-10 7.72% 6.19% 4.72% 5.85% 0.54% 1.75% 3.16% 4.04%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
18
North American High Yield Research
2010 High-Yield Annual Review
December 20101
The biggest change to the outlook recently has been the upgrade to the 2011
economic growth forecast resulting from the tax compromise proposals. Specifically,
due to the implicit boost to disposable income, US GDP growth is now forecasted to
expand 3.75% in 1H11, versus 2.5% prior. With GDP growth forecasted to remain
above 3% for each of the next four quarters, we believe investors willingness to take
on risk in 2011 has improved. Furthermore, the implications stemming from our
macro forecast for capital market conditions and the recent trend toward extending
capital to lower-rated credits, and thus improving the liquidity outlook, are quite
supportive of current valuations. With yields on CCC-rated bonds currently 380bp
and 540bp higher than yields on B or BB-rated bonds, we would likely need to see a
sharp slowdown in economic growth and/or a spike in equity volatility to have
CCC-rated bond returns lag higher-rated credits in 2011.
Working in favor, CCC-rated bonds have the highest correlation to equity returns.
As it stands, valuations for the S&P 500 based on projected earnings are quite low,
the bias toward growth expectations has turned positive, and the path to EPS growth
over the next 12 months has rarely been smoother. It is J.P Morgan’s view that the
S&P 500 will end 2011 at 1425, providing an approximate 15% return, which should
have positive implications for CCC-rated bond returns. Conversely, the improved
willingness to take on risk in light of better economic conditions could also lead to a
more gradual rise in Treasury yields. This dynamic will work against BB-rated
bonds the most, and CCC and B-rated bonds are more insulated. The important
element necessary for this rating tier strategy to work is that the rise in Treasury
yields remains measured and orderly. While BB-rated bonds are likely to continue to
benefit from crossover demand, the yield give-up is likely to be too great given our
call for a 9.8% return in 2011.
Now, there is a strong argument to make that investors are not being appropriately
compensated for taking on the incremental macro, liquidity, and credit risk of CCC-
rated bonds, and therefore, a portfolio is best served today by positioning up in
credit quality, where spreads are still comparatively attractive. This is the argument
we have stressed since May, when we downgraded CCC-rated bonds in response to
the uncertain economic climate. Up until the recent rise in rates and stock prices, a
portfolio positioned up in ratings quality has been better served. With a host of
issues likely to continue to plague the markets in 2011, ranging from sovereign and
municipal fiscal concerns, to inflation/rate concerns, to geopolitical tensions, to an
engineered slowdown in China, we do believe there are plenty of risks associated
with CCC-rated bonds. Even so, because of the aforementioned background, we
expect high-yield bond prices to remain steady during the next 12 months leading
higher yielding credits to outperform.
19
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
Factors support demand for high yield
When we consider demand prospects for high yield in 2011, we consider expected
risks, returns, and opportunity costs. As for the risks, neither the economy nor
defaults are expected to present a headwind for the asset class in the next 12 months.
For the economy, monetary policy is accommodative and activity in cyclical
segments of the economy is already so depressed that renewed large scale declines
are unlikely (such as residential investment, car sales etc). Therefore, it is likely that
GDP growth in 2011 will remain positive, or otherwise, QE and government
intervention would expand. Meanwhile, default rates are expected to be at or below
half of their long-term average over each of the next two years, with downside
surprises in the economy not expected to meaningfully alter this view. Therefore
from the fundamental side of things, we do not expect demand for high-yield to
retrench unless GDP growth proves too cold (negative GDP and the implicit
negative impact on capital markets) or too hot (several consecutive quarters of +4%
GDP growth that sparks inflation/rate fears).
Retail flows into and out of high-yield bond and loan funds
1.9
(2.5)
3.02.0
(5.7)
0.9
3.9
1.5
4.4
2.3
(1.2)
0.9 0.8 1.0 1.50.1 0.3 0.3 0.4
1.3 1.1 1.60.50.7
(8.0)
(6.0)
(4.0)
(2.0)
0.0
2.0
4.0
6.0
8.0
Jan Feb Mar Apr May June Jul Aug Sep Oct Nov Dec
($bn
)
HY Bond Flows LL Fund Flows1H10: Retail flows into HY bond funds shift along with changes in market sentiment. European sovereign risks and an inability to create jobs domestically lead to sharp outflows from bonds funds in February and May. However, institutional demand for HY bonds stays relatively strong as yields across fixed income decline. Flows into leveraged loan funds remain comparatively steady.
2H10: Retail flows into HY bond funds surge amid improving growth trends, but more so, falling Treasury yields and declining inflation expectations. As rate fears begin to rise in November, outflows for high-yield funds pick up. Notably, flows into floating rate leveraged loan funds reach their highest level all year against this backdrop.
Source: Lipper FMI.
High-yield bond spreads
Source: J.P. Morgan.
High Yield Inv.Grade BBB BB B CCC HY - IG BB - BBB B - BB CCC - B7-Dec-10 606bp 159bp 183bp 437bp 616bp 1025bp 448bp 255bp 179bp 409bpAll time low 263bp 74bp 74bp 173bp 251bp 466bp 176bp 69bp 58bp 210bp20 year median 529bp 101bp 194bp 341bp 527bp 1093bp 411bp 190bp 180bp 572bp
% above / below 20yr median 14.6% 57.4% -5.9% 28.2% 16.8% -6.2% 8.9% 34.0% -0.8% -28.4%
2003 median 679bp 123bp 180bp 420bp 620bp 1556bp 557bp 235bp 201bp 933bp2004 median 452bp 95bp 130bp 281bp 439bp 955bp 353bp 152bp 157bp 515bp2005 median 379bp 83bp 112bp 254bp 347bp 884bp 293bp 138bp 109bp 537bp2006 median 350bp 88bp 116bp 244bp 336bp 731bp 261bp 124bp 99bp 388bpMedian 2004-2006 374bp 90bp 118bp 252bp 352bp 853bp 286bp 132bp 115bp 491bp
% above / below 2004-2006 median 62.2% 76.6% 54.7% 73.5% 74.9% 20.2% 56.5% 93.6% 55.3% -16.6%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
20
North American High Yield Research
2010 High-Yield Annual Review
December 20101
As for returns and opportunity costs, with high-yield spreads trailing the relative
drop in yields of more rate sensitive products, return opportunities are still attractive,
while opportunity costs within fixed income are low. For example, while yields of
various other fixed income asset classes reside near their all-time lows; high-grade
(4.72% versus 4.34% prior to 2010); 2 and 5-year Treasuries (2-yr 0.54% versus
0.66% and 5-yr 1.75% versus 1.55%); emerging market bonds (5.85% versus
6.45%); high yield bonds and loans stand above theirs, atop the yield hierarchy.
Ultimately, an active Fed purchase program, still historically low Treasury yields,
and a modest upturn in the economy support demand for high-yield bonds and
leveraged loans.
Furthermore, spreads of T+606bp and L+588bp for bonds and loans go a long way
toward protecting investors against rising defaults or rates. If Treasury yields head
higher as is currently the consensus belief by YE11, current spreads should absorb
the full rise in rates. From this base, a modest rise in interest rate expectations would
bode well for high-yield bonds, and would especially favor less rate sensitive
leveraged loans. When expectations for rate hikes increase, as they inevitably will,
high-yield bonds and loans relatively low correlation to government securities
should continue to make them attractive investment options.
For leveraged loans in particular, we think that prospects for stronger demand in
2011 are in place. Shades of this are already showing up in retail fund flow data, and
through conversations with various demand sources. Inflows into prime funds have
recently increased as a result of the sharp backup in Treasury yields. Meanwhile,
anecdotally, crossover demand from relative value players like hedge funds, high-
yield funds, multi-strategy managers, and even pension funds, endowments, and
other institutional investors has increased since yields across all fixed income
products declined several months ago. At the end of the day, a loan product offering
a 5-6% floating rate yield with collateral protection is likely to garner significant
attention in 2011.
Inflows into leveraged loan funds have been strong despite low rates
-1.1-1.2
-0.3-0.1
0.1 0.2
-0.1-0.2
-0.6-0.7
-0.3-0.2
0.2 0.30.1
0.4 0.5 0.50.3 0.2 0.1 0.1 0.1
0.4
0.9 0.81.0
1.5
0.10.3 0.3 0.4
1.31.1
1.6
0.1
-1.6-1.2-0.8-0.40.00.40.81.21.62.0
Jan-
08
Mar-0
8
May-0
8
Jul-0
8
Sep-
08
Nov-0
8
Jan-
09
Mar-0
9
May-0
9
Jul-0
9
Sep-
09
Nov-0
9
Jan-
10
Mar-1
0
May-1
0
Jul-1
0
Sep-
10
Nov-1
0
($bn
)
Sources: J.P. Morgan; Lipper FMI.
21
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
One element of our rates team forecast for next year is a rise in the spread between
10-and 2-year Treasuries to 250bp by year-end 2011, from 200bp by year-end 2010.
In fact high-yield mutual fund flows are actually quite strong during periods of
rising inflation expectations (see the chart below which compares the spread
between 10 and 2-year Treasuries versus fund flows into high-yield mutual funds).
More recently for example, the recent surge of inflows into the high-yield asset class
since mid-September coincided with a 30bp increase in the spread between 10 and
2-year Treasury yields in the wake of Bernanke’s speech in Jackson Hole.
Finally, with lower volatility and a higher position in the capital structure, many
investors have recognized “equity-like” returns can be achieved by including
corporate credit in their portfolios as a replacement for equities. Indeed, high-yield
credit over the past fifteen years has exhibited about half the volatility1 of the S&P
500, 7.7% versus 16.3%, while at the same time providing slightly higher annualized
Inflation expectations and high-yield mutual fund flows
(15)(10)
(5)05
101520253035
Jan-
85Ja
n-86
Jan-
87Ja
n-88
Jan-
89Ja
n-90
Jan-
91Ja
n-92
Jan-
93Ja
n-94
Jan-
95Ja
n-96
Jan-
97Ja
n-98
Jan-
99Ja
n-00
Jan-
01Ja
n-02
Jan-
03Ja
n-04
Jan-
05Ja
n-06
Jan-
07Ja
n-08
Jan-
09Ja
n-10
$ bn
-100bp-50bp0bp50bp100bp150bp200bp250bp300bp350bp
Spread
Annual inflows into high-yield mutual fundsSpread between 10- and 2-year Treasuries
.
Average spread= 83bp
Sources: J.P. Morgan; Lipper FMI
Correlation of high yield returns to Treasuries is low
Note: 15 years ended November 30, 2010.Source: J.P. Morgan.
LB JPMorgan JPMorgan Dow JonesAggregate JULI High- JPMorgan EMBI- World EM
5-year 10-year Bond Grade Global HY S&P Wilshire Russell Global Stock US Treasury Treasury Index Index Index 500 5000 2000 Composite Index Gold Inflation
10-year Treasury 0.94LB Aggregate Bond Index 0.85 0.90JPM JULI High-Grade Index 0.58 0.67 0.88JPM Global HY Index -0.24 -0.18 0.18 0.46S&P 500 -0.25 -0.19 0.02 0.22 0.60Wilshire 5000 -0.27 -0.21 0.00 0.21 0.62 0.99Russell 2000 -0.31 -0.25 -0.05 0.15 0.63 0.80 0.87JPM EMBI- Global Composite 0.05 0.12 0.31 0.45 0.58 0.57 0.58 0.54DJ World EM Stock Index -0.27 -0.23 -0.04 0.19 0.62 0.73 0.75 0.70 0.68Gold 0.21 0.21 0.25 0.24 0.13 -0.01 0.02 0.08 0.29 0.21US Inflation -0.16 -0.21 -0.15 -0.15 0.13 0.03 0.03 0.02 0.06 0.04 0.07Leveraged loans -0.38 -0.36 -0.03 0.23 0.80 0.41 0.42 0.43 0.29 0.42 0.02 0.32
1. Based on the standard deviation of monthly returns.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
22
North American High Yield Research
2010 High-Yield Annual Review
December 20101
Risk-adjusted returns
Data as of November 30, 2010.Source: J.P. Morgan.
Average annual returns Average annual volatility Modified Sharpe Ratio1 year 3 year 5 year 10 year 15 year 1 year 3 year 5 year 10 year 15 year 1 year 3 year 5 year 10 year 15 year
Fixed Income5-year Treasury 6.64% 7.03% 6.12% 5.94% 7.09% 4.89% 4.70% 4.98% 4.62% 4.88% 1.36 1.50 1.23 1.28 1.4510-year Treasury 7.30% 6.85% 6.21% 5.89% 7.67% 8.75% 8.21% 8.15% 7.59% 7.58% 0.83 0.83 0.76 0.78 1.01JPMorgan MBS Bond Index 4.80% 6.82% 6.28% na na 2.78% 3.04% 2.93% na na 1.73 2.24 2.14 na naLB Aggregate Bond Index 6.04% 6.23% 6.15% 6.22% 7.64% 3.22% 3.58% 3.80% 3.66% 4.15% 1.88 1.74 1.62 1.70 1.84JPMorgan JULI High-Grade Index 8.96% 6.93% 7.22% 6.77% 8.33% 4.18% 6.94% 6.13% 5.58% 5.42% 2.14 1.00 1.18 1.21 1.54
JPMorgan Global HY Index 16.34% 8.72% 9.24% 7.62% 9.30% 6.95% 12.98% 10.43% 9.19% 8.44% 2.35 0.67 0.89 0.83 1.10S&P 500 9.94% 0.98% 0.81% 6.45% 9.85% 18.38%17.59% 16.25% 16.30% 15.82% 0.54 0.06 0.05 0.40 0.62Leveraged loans 11.99% 5.07% 5.15% 5.39% na 4.81% 11.02% 7.91% 6.50% na 2.49 0.46 0.65 0.83 na
US dollar global BB-rated 15.49% 8.74% 9.15% 8.40% na 5.88% 10.06% 8.02% 6.90% na 2.63 0.87 1.14 1.22 naUS dollar global B-rated 14.42% 6.12% 8.10% 6.86% na 6.63% 12.01% 10.01% 8.99% na 2.17 0.51 0.81 0.76 naUS dollar global CCC-rated 21.05% 9.25% 9.83% 6.21% na 10.77%22.01% 18.13% 16.41% na 1.96 0.42 0.54 0.38 naUS dollar global defaulted securities 27.04% 10.85% 11.62% 3.59% na 15.89%27.07% 20.84% 19.75% na 1.70 0.40 0.56 0.18 na
returns. This translates into a return per unit of risk for high yield of 0.84, more than
double that of the S&P 500, 0.41. Meanwhile, leveraged loans provide a similar
return per unit of risk compared to high yield, albeit exhibiting both lower
annualized returns and volatility. This is particularly the case for loans over the past
12 months (4.8% return volatility, above levels pre-credit crisis but below levels
during the crisis) after exiting a once in a lifetime technical rout at the height of the
credit crisis. An important takeaway is that high-yield’s correlation to equity returns
would remain high, and prices in both markets would move higher or lower together.
But with low default risk regardless of economic data, an 8.6% coupon would
cushion an investor’s return much as it has during past economic setbacks.2 Despite
outperforming equities by more than 4% this year, we still believe high yield is an
attractive way to play the upside of a continued economic recovery while also
protecting against the downside of earnings and volatility surprises (sovereign and
municipal woes, currency wars etc).
High-yield bonds remain excellent substitutes for equities
-6%
3%14%
59%
-27%
2%5%
44%
-6%
19%17%28%
12% 12%
-9% -12%
26%31% 29%
11% 5%
-37%
10%
-3%
8%
-22%
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1990
1991
1992
1993
2000
2001
2002
2003
2004
2005
2008
2009
YTD1
0
Annu
al tot
al re
turn
High-yield bonds S&P500
Source: J.P. Morgan.
2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year 5 times. In all but 1990, high-yield hasoutperformed equities.
23
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010 1
We anticipate elevated bond volumes as well as the recent trend toward extending
credit to a broader set of issuers to continue in 2011. In addition, we expect to see
improvement in primary conditions for leveraged loan issuers in 2011 after a better
than three fold increase in volume year-over-year in 2010. More specifically, we
forecast 2011 high-yield bond issuance of $235 billion, a slightly slower pace of
issuance activity year-over-year, but one still consistent with an extremely benign
backdrop for prospective issuers. For institutional leveraged loans, we forecast 2011
new-issuance of $160 billion, above this year’s pace of $140 billion. In other words,
issuance activity will remain very strong for leveraged credit issuers in 2011.
Monthly high-yield bond issuance had never topped $30 billion prior to 2010
5.9 4.72.7
11.1
26.5
17.514.4
11.7
26.0
20.4 19.5 20.4 20.1
40.5
34.2
6.9 7.2
16.5
33.136.1
34.3 32.3
11.3
16.2
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
Jan-
09
Feb-
09
Mar-0
9
Apr-0
9
May-0
9
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Dec-1
0
$ bn
Source: J.P. Morgan.
Capital market conditions for high yield issuers should remain robust in 2011
126151
100
47
9568
152181
300
184
325
388
72
235
53
148149106
158 160135
38
154
9058
3444605728
0.050.0
100.0150.0200.0250.0300.0350.0400.0450.0
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E
New-
issue
volum
e ($b
n)
High-yield new-issue volume
Institutional leveraged loan new-issue volume
Source: J.P. Morgan.
Supply to remain elevated in 2011
With rates accommodative, corporate fundamentals healthy, and demand for high-
yield credit strong, 2010 has experienced a sharp year-over-year increase in volume
for both high-yield bonds and loans. For bonds, November was the fourth
consecutive month of issuance in excess of $30 billion and sixth such month this
year. As such, high-yield bond issuance totals $289 billion YTD, a record and 60%
higher than the previous record of $181 billion last year. Meanwhile, $130 billion of
institutional loan volume YTD is also a post credit crisis high and is greater than
full-year volume from 2008 and 2009 combined.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmorgan.com
24
North American High Yield Research
2010 High-Yield Annual Review
December 20101
In terms of trends, we expect lower-rated bonds to make up closer to 25% of next
year’s bond volumes as the new-issue cycle further matures, after encompassing
18% of 2010 volume. This shift toward extending credit to lower-rated issuers has
been evident since October, where 27% of 4QTD activity has been rated Split B or
lower. Nevertheless, we expect lower rated activity to continue to be directed almost
exclusively toward refinancing and extending maturities, rather than the leverage
enhancing deals of the prior new-issue cycle, ultimately a positive for the future
liquidity/default outlook. Additionally, bond for loan issuance should continue
apace. There have been roughly $65 billion of such transactions in 2010, after
$44 billion in 2009. While demand for loans will get stronger in 2011 as investors
remain attracted to the floating rate feature and low default risk, the sheer amount
of loan debt coming due in 2013 and 2014 will likely require a high level of
participation from bond issuance. Expect similar numbers in 2011. Finally, in terms
of net new volumes (gross issuance minus redemptions), we expect roughly $150
billion of net new issuance of high-yield bonds (close to this year, as gross volume
falls but proceeds broaden and bond-for-loan takeouts continue apace) and a modest
$15 billion net new issuance of leveraged loans (versus slightly negative to flat net
volumes in 2010 due to elevated pay-down activity).
Performance review
25
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
26
North American High Yield Research
2010 High-Yield Annual Review
December 2010
22010 performance highlights
• Year to date through November 30, the J.P. Morgan Global High-Yield Index
returned +12.9%, outperforming the 10-year Treasury (+12.8%), investment-grade
corporate bonds (+10.0%), emerging market corporate bonds (+12.4%), leveraged
loans (+8.8%), and the S&P 500 (+7.9%).
• The average spread on the J.P. Morgan Global High Yield Index decreased 13bp
to 644bp. The average yield of the high-yield market decreased 110bp to 7.91%.
Meanwhile, the yield on the 5-year and 10-year Treasuries decreased 121bp and
104bp to 1.47% and 2.80%, respectively.
• CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned
+11. 9%, and BB-rated bonds, which returned +12.8%.
• All of the 23 industries in the J.P. Morgan Global High-Yield Index provided
investors with positive returns in 2010. The best performing sector was Financial
(19.2%), followed by Broadcasting (18.8%). Other sectors that performed well
were Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%,
respectively).
• High-yield volatility decreased significantly in 2010, evidenced by the J.P.
Morgan Global High-Yield Index’s average daily eight-month price change, which
decreased from 5.45 at year-end 2009 to 2.69 as of November 30.
• Momentum, as measured by the advance/decline ratio for the J.P. Morgan Global
High-Yield Index, remained high. Essentially, for every bond in the index whose
price decreased from December 2009 to November 30, four bonds had price
increases.
• Through November 30, 600 new deals priced for a record-high $277 billion, fol-
lowing last year’s full-year total of 408 issues and $181 billion.
• Following inflows of $31.9 billion and $3.4 billion last year, high-yield bond and
bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 2010.
• Default activity declined in 2010, following last year’s record-high volume.
Through November 30, 41 companies defaulted, affecting a combined $19 billion
in bonds and loans, compared with 120 defaults and a record-high $185 billion in
full-year 2009. The high-yield bond par-weighted bond default rate decreased to
0.74% from 10.27%, while, the default rate for loans decreased to 2.18% from
12.78%.
• Credit conditions remained strong throughout 2010, as upgrades outnumbered
downgrades in each of the year’s first 11 months and 15 consecutive months dat-
ing back to September. Overall there were 349 upgrades totaling $334 billion of
bonds, compared with 241 downgrades totaling $197 billion, which equates to an
upgrade-to-downgrade ratio by issuer of 1.45:1.
27
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
1. 4Q10 and 2010 returns are through November 30.Source: J.P. Morgan.
Returns of various assets
2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q101 20101
JPMorgan Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%Leveraged loans 1.91% 9.97% 5.17% 5.08% 6.77% 2.00% -29.10% 51.62% 4.64% -1.27% 3.31% 1.90% 8.76%JPMorgan JULI 10.98% 7.86% 5.28% 1.68% 4.29% 5.34% -1.84% 16.72% 2.28% 3.75% 4.55% -0.87% 9.98%10 Year Tsy 14.63% 1.73% 4.68% 1.93% 1.44% 9.76% 20.22% -8.76% 0.99% 8.48% 4.65% -1.60% 12.81%EMBI-Global 13.12% 25.66% 11.73% 10.73% 9.88% 5.86% -10.91% 28.18% 4.16% 1.16% 8.33% -1.52% 12.41%S&P 500 -22.10% 28.69% 10.87% 4.93% 15.80% 5.49% -37.00% 26.46% 5.39% -11.43% 11.29% 3.82% 7.86%Russell 2000 -22.01% 47.29% 18.45% 4.63% 18.44% -1.56% -33.49% 27.18% 8.85% -9.92% 11.29% 7.70% 17.53%FTSE 100 -21.95% 18.39% 11.64% 21.28% 14.89% 7.59% -27.99% 27.90% 6.09% -12.40% 13.86% 0.14% 5.96%MSCI Europe -17.44% 39.64% 21.66% 10.83% 34.54% 15.75% -47.34% 78.58% 2.34% -8.28% 18.10% 0.21% 11.10%EM stocks -11.14% 45.88% 24.38% 26.03% 26.15% 28.79% -51.64% 77.69% 2.04% -8.31% 17.93% 0.07% 10.41%CDX HY -7.52% 15.04% 2.86% 4.75% 8.67% -2.49% -12.45% 19.47% 1.12% -2.54% 6.17% 2.02% 6.75%LCDX - - - - - - -17.28% 27.31% 2.46% -2.02% 3.82% 0.66% 4.91%
2010: year in review
Modest economic growth, improving corporate conditions, strong retail inflows,
accommodative primary market conditions, and a sharp decline in default activity
led to a strong 12.9% total return for high-yield bonds in 2010 (through November
30). By comparison, the leveraged loan market, as measured by the S&P/LSTA
Leveraged Loan Index, returned +8.8, the S&P 500 returned +7.9%, the Russell
2000 returned 17.5%, investment-grade bonds, as measured by the J.P. Morgan JULI
High-Grade Index returned +10.0%, the 5-year and 10-year Treasuries returned
+9.6% and 12.8%, respectively, and emerging market bonds, measured by the J.P.
Morgan Emerging Market Global Bond Index, returned +12.4%.
After a very strong start to the year (+2.2% during first 9 trading days), a host of
headlines overshadowed an otherwise strong corporate earnings period, and led to a
difficult landscape for investors. Specifically, fiscal challenges faced abroad by
Greece and challenges domestically generating job growth, coupled with China
reigning in lending, led to weaker prices for risky assets in the final two weeks of
January. This led to a series of outflows from high-yield bond funds, a halt to the
record pace of new-issuance, and the most significant sell-off since March 2009. In
the 4-week period ending February 12th, high-yield bonds returned -2.4%, pushing
into negative territory on a YTD basis (-0.3%).
This correction soon passed. An improving growth backdrop, a benign inflationary
environment, and few higher yielding alternatives proved to be an ideal backdrop for
high yield, not only in terms of performance (high-yield bonds returned 7.4% from
mid February through April), but also for new-issuance. Specifically, March’s $40.5
billion of new-deal volume easily topped the previous record month, $29.3 billion in
November 2006, while the $34.2 billion in April became the second largest month of
activity. By the end of April, high-yield bonds had posted a total return of 7.1% and
new issuance totaled $111 billion.
28
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
High yield’s cumulative performance year to date
Source: J.P. Morgan.
25-May +2.54%
30-Apr +7.12%
9-Nov +15.33%
12-Feb -0.29%
-2.0%0.0%2.0%4.0%6.0%8.0%
10.0%12.0%14.0%16.0%
31-D
ec
15-Ja
n
1-Fe
b
16-F
eb
2-Ma
r
16-M
ar
30-M
ar
14-A
pr
28-A
pr
12-M
ay
26-M
ay
10-Ju
n
24-Ju
n
9-Ju
l
23-Ju
l
6-Au
g
20-A
ug
3-Se
p
20-S
ep
4-Oc
t
19-O
ct
2-No
v
17-N
ov
High
-yield
cumu
lative
total
retur
n
30-Nov +12.92%
Plaguing markets in May were a laundry list of issues which taken collectively rep-
resented a significant uncertainty with strong implications for the global economic
recovery. Chiefly among them were worries around European sovereigns, the poten-
tial effects on global GDP growth stemming from European fiscal austerity meas-
ures, uncertainty regarding financial regulatory reform, China engineering a slow-
down, renewed geopolitical concerns with respect to the Korean peninsula, and an
unprecedented oil spill off the Gulf coast. Without any resolution or strong visibility
on any of these topics, market volatility surged, with high-yield credit in tow. In par-
ticular during the month, the VIX reached a 14-month high, the 2-year Treasury
yield approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly
decline for stocks since February 2009. High yield suffered in concert, with the asset
class returning -3.4%, while also experiencing its worst bout of retail outflows on
record ($5.7 billion), and a sharp slowdown in new-issue activity, as only $6.9 bil-
lion priced, the lightest monthly volume for bond issuance since March 2009.
Amidst declining volatility, strong corporate earnings, and a benign default back-
drop, high-yield bonds generally performed well over the remainder of the year.
Specifically, the VIX declined from its peak of 36.57 in early June to a low of 18.04
in mid-November. New-issue activity surged, with $160 billion pricing between
June and November, including four consecutive months of more than $30 billion (a
feat never achieved prior to 2010). Default activity remained low, with only 14 com-
panies defaulting on $6.6 billion. Ultimately, risk appetites remained healthy and the
reach for yield continued. High-yield mutual funds reported inflows in all but
November, for a net inflow of $11.8 billion during the six-month period. And the
market provided a 9.1% total return, while the S&P returned 9.5%, both outperform-
ing institutional bank loans (4.8%), investment-grade bonds (5.8%), and the 10-year
Treasury (6.3%).
29
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
1. 4Q10 and 2010 returns are through November 30.Source: J.P. Morgan.
Returns of J.P. Morgan high-yield indices
2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q101 20101
JPM Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%JPM US$ European HY Index -19.68% 37.66% 14.72% 7.12% 10.68% 3.70% -30.17% 69.31% 5.49% -0.99% 7.80% 1.49% 14.27%JPM Euro HY Index -8.60% 20.37% 14.02% 4.61% 9.66% -1.35% -34.86% 73.44% 7.66% -2.00% 6.62% -0.14% 12.33%JPM Sterling HY Index -12.06% 23.94% 22.73% 4.25% 12.32% 0.68% -19.80% 45.31% 7.16% -0.17% 7.53% 0.10% 15.14%JPM European Currency HY Index -9.41% 20.84% 15.32% 4.57% 9.25% -0.74% -31.35% 68.42% 7.38% -1.80% 6.82% -0.09% 12.53%JPM European Aggregate HY Index -13.75% 27.30% 14.99% 5.26% 9.60% 0.37% -31.73% 70.20% 6.99% -1.54% 7.02% 0.25% 13.02%JPM Domestic HY Index 3.20% 26.80% 11.10% 2.42% 11.56% 2.58% -26.55% 58.18% 4.56% 0.20% 6.08% 1.33% 12.62%JPM International HY Index -7.41% 33.94% 15.55% 8.19% 10.64% 5.33% -29.22% 65.20% 5.86% -0.78% 8.05% 1.28% 14.94%JPM Asian HY Index 21.37% 20.49% 13.10% 9.23% 8.27% 8.41% -28.95% 65.44% 7.68% -0.51% 9.36% -0.74% 16.29%JPM Latin American HY Index -4.19% 37.74% 19.57% 9.36% 11.88% 5.39% -21.55% 38.87% 4.66% -0.09% 7.05% 1.27% 13.36%JPM Developed Market HY Index 1.98% 27.47% 11.25% 2.62% 11.58% 2.69% -26.80% 58.76% 4.58% 0.11% 6.23% 1.39% 12.76%JPM Emerging Market HY Index 5.08% 27.66% 16.43% 9.70% 9.69% 6.29% -27.22% 61.96% 7.01% -0.57% 7.79% 0.48% 15.24%
By rating, performance was somewhat bifurcated, as lower rated bonds outper-
formed higher rated bonds, illustrating investors’ strong bid for yield. Specifically,
CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned
+11. 9%, and BB-rated bonds, which returned +12.8%.
J.P. Morgan Global High-Yield Index20101 total returns by rating
1. Through November 30, 2010.Source: J.P. Morgan.
17.0%15.7%
12.9% 12.8% 12.1% 11.9% 11.9%10.5%
0.0%2.0%4.0%6.0%8.0%
10.0%12.0%14.0%16.0%18.0%20.0%
Not rated CCC JPMorganGlobal HY
Index
BB Split BBB B Split BB Split B
All of the 21 industries in the J.P. Morgan Global High-Yield Index provided
investors with positive returns in 2010. The best performing sector was Financial
(19.2%), followed by Broadcasting (18.8%). Other sectors that performed well were
Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%, respective-
ly). Amongst the worst performing sectors were Utility (+4.37%), Retail (+9.55%),
Paper & Packaging (+10.76%), Telecommunications (+10.79%), and Services
(+10.97%).
30
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
1. 4Q10 and 2010 returns are through November 30.Source: J.P. Morgan.
J.P. Morgan Global High-Yield Index performance by sector
2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4Q10 20101
Cyclical 8.57% 22.54% 12.12% 1.41% 11.92% 0.99% -30.77% 66.27% 5.84% -0.10% 6.36% 1.68% 14.34%Defensive -5.67% 34.39% 10.71% 4.43% 11.76% 4.57% -22.32% 51.61% 3.27% 0.59% 6.05% 0.85% 11.11%Energy 7.40% 22.96% 13.06% 6.07% 6.72% 5.85% -26.21% 55.19% 3.79% -0.61% 7.15% 1.02% 11.66%Upper Tier (Split BBB, BB) 6.27% 18.03% 9.33% 3.09% 8.49% 3.33% -16.40% 42.85% 3.98% 0.86% 6.69% 0.61% 12.58%Middle Tier (Split BB, B, Split B) 3.84% 25.96% 11.11% 3.83% 10.76% 3.67% -28.80% 49.27% 3.67% -0.01% 6.30% 1.36% 11.67%Lower Tier (CCC, Default) -12.29% 56.55% 18.21% -1.11% 22.80% -1.09% -47.64% 118.66% 8.83% -1.36% 5.85% 2.84% 16.85%Cash 3.56% 25.37% 11.24% 3.07% 10.71% 2.98% -26.37% 54.77% 4.44% 0.25% 6.36% 1.22% 12.71%Deferred -11.49% 74.38% 18.50% 1.56% 20.67% 7.49% -39.88% 165.33% 3.15% -2.25% 8.31% 3.79% 13.35%Default -10.24% 59.87% 16.36% 4.91% 35.86% -10.40% -59.56% 179.79% 17.91% -5.22% 2.71% 4.26% 19.67%3 - 4 yr Duration 5.98% 30.80% 10.60% 2.73% 11.00% 2.44% -33.87% 68.45% 5.13% -0.25% 6.89% 1.50% 13.77%5 - 6 yr Duration -0.38% 27.04% 12.62% 2.54% 12.19% 3.20% -17.33% 54.98% 4.80% -0.53% 7.78% 1.39% 13.92%7 - 10 yr Duration -4.15% 51.96% 15.48% 5.31% 13.52% 4.38% -24.24% 75.29% 3.35% 3.05% 8.92% 0.22% 16.26%$0 mn to $100 mn 7.27% 20.19% 14.90% 3.74% 14.10% 5.87% -25.11% 42.98% 6.39% 3.33% 5.10% 2.25% 18.15%$101 mn to $299 mn 6.78% 23.56% 11.98% 4.22% 11.09% 3.84% -25.31% 54.29% 5.46% 1.17% 4.85% 2.25% 14.37%$300 mn and over -1.97% 30.53% 11.12% 2.51% 11.51% 2.48% -27.18% 60.35% 4.53% -0.19% 6.68% 1.13% 12.56%Senior Secured 3.70% 27.38% 13.52% 5.00% 13.46% 3.39% -29.80% 47.29% 4.53% -0.40% 6.28% 2.14% 13.02%Senior 0.76% 28.87% 11.12% 2.76% 11.09% 2.88% -26.29% 59.28% 4.77% 0.15% 6.51% 1.01% 12.89%Senior Subordinate 7.85% 20.85% 11.15% 3.07% 10.70% 2.12% -27.02% 62.77% 4.32% 0.38% 5.42% 1.38% 11.92%Junior Subordinate -19.43% 73.67% 18.35% 3.38% 20.12% 5.78% -34.28% 93.49% 6.72% 2.08% 6.89% 0.13% 16.60%JPMorgan Global HY Index 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 4.72% 0.08% 6.34% 1.32% 12.92%
J.P. Morgan Global High-Yield Index20101 total returns by industry
18.2%
15.7%14.0% 14.0% 13.6% 13.1% 12.8% 12.7% 12.6% 12.0% 11.8% 11.7% 11.3% 11.0% 10.8%
9.6%
4.4%
18.8%
10.8%
12.9%
18.7%19.2%
0.0%2.0%4.0%6.0%8.0%
10.0%12.0%14.0%16.0%18.0%20.0%22.0%
Fina
ncial
Broa
dcas
ting
Tran
spor
tation
Chem
icals
Autom
otive
Indus
trials
Gami
ng Lo
dging
and
Leisu
re
Cable
and S
atellit
e
Metal
s and
Mini
ng
JPMo
rgan
Glob
al HY
Index
Dive
rsifie
d Med
ia
Food
and B
ever
ages
Hous
ing
Tech
nolog
y
Cons
umer
Pro
ducts
Ener
gy
Healt
hcar
e
Servi
ces
Telec
ommu
nicati
ons
Pape
r and
Pac
kagin
g
Retai
l
Utilit
y
1. Through November 30, 2010.Source: J.P. Morgan.
31
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
2009
Sources: J.P. Morgan; Lipper FMI.
1Q09 2Q09 3Q09 4Q09 2009Treasury change 44bp 84bp -21bp 53bp 159bpAdvance/decline 1.6x 8.4x 17.4x 5.8x 13.4xReturn 6.07% 22.47% 15.08% 6.29% 58.90%Spread change (- tightened) (+ widened) -201bp -512bp -240bp -121bp -1074bpNew-issue volume ($ mn) 13,377 55,040 52,033 60,300 180,749Mutual fund cash flows ($ mn) 8,946 11,073 6,292 5,546 31,856
High-yield performance drivers 20101
1. Through November 30, 2010.Sources: J.P. Morgan; Lipper FMI.
1Q10 2Q10 3Q10 4Q101 20101
Treasury change -1bp -88bp -44bp 28bp 104bpAdvance/decline 4.2x 0.4x 8.1x 1.1x 4.0xReturn 4.72% 0.08% 6.34% 1.32% 12.92%Spread change (- tightened) (+ widened) -49bp 121bp -70bp -15bp -13bpNew-issue volume ($ mn) 76,798 48,227 85,696 66,606 277,327Mutual fund cash flows ($ mn) 2,386 -2,808 9,757 1,727 11,061
Spreads
While the average spread on the J.P. Morgan Global High Yield Index decreased
13bp to a 644bp during the year, it fluctuated 163bp between a high of 737bp and a
low of 574bp. At current levels, spreads remain 9.10% above their long-term aver-
age of 591bp. The average yield of the high-yield market decreased 110bp to 7.91%,
while yields on the 5- and 10-year Treasuries decreased 121bp and 104bp to 1.47%
and 2.80%, respectively.
Average spread to worst in the high-yield market1
1. Only US dollar-denominated corporate bonds are included.Source: J.P. Morgan.
16-Dec-08 1925bp
Oct-02 1061bp
May-07 269bp
Dec-90 1096bp
200bp400bp600bp800bp
1000bp1200bp1400bp1600bp1800bp2000bp2200bp
Jan-
87
Jan-
88
Jan-
89
Jan-
90
Jan-
91
Jan-
92
Jan-
93
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Dec-0
8
Dec-0
9
Spre
ad to
Wor
st
Long-term average (1987 - 2010)= 591bp
Nov-10 644bp
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
32
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2Historical yield curves
Source: J.P. Morgan.
0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%
3 Mon
th
Yield
31-Dec-0930-Nov-10
30 Y
ear
2010 change in yields: 2-year -68bp 5-year -121bp 10-year -104bp
5 Yea
r
10 Y
ear
1 Yea
r
Premium to Treasury and spread to worst
Source: J.P. Morgan.
30-Nov-10644bp
30-Nov-10 230.59%
0bp200bp400bp600bp800bp
1000bp1200bp1400bp1600bp1800bp2000bp
Jan-
87Ja
n-88
Jan-
89Ja
n-90
Jan-
91Ja
n-92
Jan-
93Ja
n-94
Jan-
95Ja
n-96
Jan-
97Ja
n-98
Jan-
99Ja
n-00
Jan-
01Ja
n-02
Jan-
03Ja
n-04
Jan-
05Ja
n-06
Jan-
07Ja
n-08
Jan-
09Ja
n-10
Spre
ad to
wor
st
0.0%
100.0%
200.0%
300.0%
400.0%
500.0%
600.0%
700.0%
800.0%
Premium to Treasury
Spread to worst Premium to Treasury
In 2010, spreads for all rating categories increased year over year, led by single-Bs,
which increased 26bp to 655bp. The average spread of double-Bs increased 13bp to
472bp, while the average spread of triple-Cs ticked up 7bp to 1088bp. As of
November 30, both BB-rated and B-rated bonds traded wide to their long-term aver-
ages, 30.2% above 363bp and 13.8% above 575bp, respectively, while CCC-rated
bonds traded 12.1% inside their long-term average of 1237bp. As of November 30,
the differential in yield to worst between BB-rated bonds (6.36%) and B-rated bonds
(7.98%) was 162bp, up 29bp from 132bp at the start of the year, and below to its
long-term historical average of 212bp. The difference in yields between B-rated
bonds (7.98%) and CCC-rated bonds (12.14%) was 416bp, down from 479bp at the
end of 2009, and below its historical average of 691bp.
33
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
JPMorgan CCC/Global HY Split
Index Split BBB BB Split BB B Split B CCC30-Dec-94 408bp 212bp 270bp 343bp 450bp 738bp 1051bp29-Dec-95 472bp 184bp 306bp 394bp 562bp 769bp 1013bp31-Dec-96 339bp 129bp 214bp 281bp 382bp 573bp 1123bp31-Dec-97 351bp 137bp 229bp 288bp 367bp 538bp 926bp31-Dec-98 631bp 319bp 375bp 518bp 615bp 939bp 1503bp31-Dec-99 538bp 263bp 300bp 429bp 483bp 976bp 1452bp29-Dec-00 942bp 409bp 451bp 881bp 900bp 1779bp 2484bp31-Dec-01 861bp 344bp 471bp 655bp 733bp 1445bp 2351bp31-Dec-02 958bp 442bp 591bp 720bp 858bp 1487bp 2368bp31-Dec-03 484bp 217bp 292bp 369bp 462bp 734bp 1033bp31-Dec-04 344bp 170bp 210bp 254bp 328bp 490bp 718bp30-Dec-05 378bp 252bp 256bp 243bp 356bp 526bp 822bp29-Dec-06 317bp 158bp 206bp 234bp 313bp 409bp 606bp31-Dec-07 589bp 314bp 444bp 443bp 565bp 734bp 969bp31-Dec-08 1731bp 1024bp 1182bp 1346bp 1698bp 2086bp 3139bp31-Dec-09 657bp 384bp 459bp 550bp 629bp 812bp 1082bp30-Nov-10 644bp 383bp 472bp 548bp 655bp 823bp 1088bpSpread change1Q10 -49bp -42bp -33bp -43bp -23bp -46bp -96bp2Q10 121bp 92bp 109bp 99bp 130bp 146bp 169bp3Q10 -70bp -47bp -60bp -66bp -58bp -80bp -33bp4Q101 -15bp -4bp -4bp 7bp -24bp -10bp -34bp20101 -13bp -2bp 13bp -2bp 26bp 10bp 7bp
Spreads in the high-yield market
1. Through November 30, 2010.Source: J.P. Morgan.
Spread to worst by rating
Source: J.P. Morgan.
0 bp
600 bp
1200 bp
1800 bp
2400 bp
3000 bp
3600 bp
Jan-
87
Jan-
88
Jan-
89
Jan-
90
Jan-
91
Jan-
92
Jan-
93
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad to
wor
st
BB spread to worstB spread to worstCCC spread to worst
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
34
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Spread between issues rated BB and B
Source: J.P. Morgan.
30-Nov-10 162bp0bp
100bp
200bp
300bp
400bp
500bp
600bp
Jan-
89
Jan-
90
Jan-
91
Jan-
92
Jan-
93
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad di
ffere
nce i
n yiel
ds
Average= 213bpMedian= 184bp
Spread between issues rated BBB and BB
Source: J.P. Morgan.
30-Nov-10 156bp
0 bp
100 bp
200 bp
300 bp
400 bp
500 bp
600 bp
Jan-
89
Jan-
90
Jan-
91
Jan-
92
Jan-
93
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad di
ffere
nce i
n yiel
ds
Average= 128bpMedian= 112bp
Spread between issues rated B and CCC
Source: J.P. Morgan.
30-Nov-10 416bp0 bp
250 bp
500 bp
750 bp
1000 bp
1250 bp
1500 bp
1750 bp
2000 bp
Jan-
89
Jan-
90
Jan-
91
Jan-
92
Jan-
93
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad di
ffere
nce i
n yiel
ds
Average= 691bpMedian= 542bp
35
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2By industry, eleven of the twenty one industries in the J.P. Morgan Global HY Index
tightened year to date, led by Financial (-172bp), Transportation (-115bp), and
Broadcasting (-115bp). Meanwhile, Technology (+60bp), Utility (+56bp) and
Telecommunications (+45bp) all experienced the greatest y/y increase in spreads. As
of November 30, all of the 21 industries that comprise the index traded inside of
800bp, but wide of 500bp. Diversified Media sector had the highest spread for any
industry (800bp), while Chemicals, at 534bp, was lowest spread for any industry.
1. 4Q10 and 2010 data is through November 30.Source: J.P. Morgan.
Spreads in the high-yield market
Spread Change30-Dec-05 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 30-Nov-10 1Q10 2Q10 3Q10 4Q101 20101
Automotive 649bp 382bp 658bp 2740bp 607bp 565bp -66bp 96bp -119bp 48bp -42bpBroadcasting 337bp 329bp 625bp 3414bp 860bp 745bp -52bp 109bp -101bp -70bp -115bpCable and Satellite 456bp 367bp 627bp 1747bp 619bp 641bp -4bp 129bp -116bp 13bp 22bpChemicals 305bp 296bp 498bp 1942bp 601bp 534bp -68bp 116bp -92bp -23bp -67bpConsumer Products 589bp 373bp 668bp 2006bp 721bp 635bp -108bp 86bp -20bp -44bp -87bpDiversified Media 409bp 348bp 827bp 3113bp 866bp 800bp -62bp 115bp -53bp -66bp -66bpEnergy 244bp 264bp 446bp 1468bp 596bp 609bp -16bp 146bp -83bp -34bp 13bpFinancial 442bp 216bp 791bp 2165bp 799bp 627bp -164bp 79bp -74bp -13bp -172bpFood and Beverages 428bp 353bp 608bp 1646bp 620bp 638bp -81bp 129bp -37bp 7bp 18bpGaming Lodging and Leisure 289bp 290bp 603bp 2340bp 771bp 741bp -51bp 99bp -17bp -61bp -30bpHealthcare 324bp 342bp 538bp 1237bp 607bp 602bp -33bp 88bp -54bp -6bp -5bpHousing 440bp 386bp 1038bp 2108bp 682bp 699bp -70bp 167bp -66bp -14bp 17bpIndustrials 439bp 350bp 565bp 1428bp 645bp 598bp -47bp 88bp -44bp -43bp -47bpMetals and Mining 324bp 292bp 454bp 1529bp 551bp 569bp -83bp 136bp -82bp 46bp 18bpPaper and Packaging 484bp 392bp 660bp 1794bp 624bp 655bp -42bp 122bp -1bp -47bp 31bpRetail 412bp 331bp 629bp 1714bp 621bp 600bp -41bp 126bp -106bp 0bp -21bpServices 431bp 368bp 633bp 1748bp 727bp 756bp -12bp 136bp -72bp -22bp 29bpTechnology 317bp 319bp 560bp 2152bp 708bp 768bp -40bp 214bp -101bp -14bp 60bpTelecommunications 320bp 259bp 494bp 1258bp 578bp 623bp -18bp 129bp -62bp -4bp 45bpTransportation 364bp 342bp 595bp 1932bp 737bp 621bp -135bp 140bp -98bp -22bp -115bp Utility 220bp 209bp 425bp 1032bp 642bp 698bp 72bp 62bp -79bp 0bp 56bpJPMorgan Global HY Index 378bp 317bp 589bp 1731bp 657bp 644bp -49bp 121bp -70bp -15bp -13bp
Volatility
High-yield volatility decreased significantly in 2010, evidenced by the J.P. Morgan
Global High-Yield Index’s average daily eight-month price change, which decreased
from 5.45 at year-end 2009 to 2.69 as of November 30, 2010. Additionally, the J.P.
Morgan Global High-Yield Index’s twelve-month total-return volatility decreased
from 11.61% at the end of last year to 6.48%, the lowest level since March 2008.
Equity-market volatility similarly declined in 2010. Volatility, as measured by the
Chicago Board of Options Exchange’s SPX Volatility Index (VIX), which reflects a
market estimate of future volatility, averaged 23.03 during the year, compared with a
daily average of 31.48 in 2009. During the course of 2010, the VIX declined to a
low of 15.58 on April 12, climbed to a high of 45.79 on May 20, and then gradually
declined to 23.54 by the end of November. By comparison, the 16-year average for
the VIX is 21.6.
36
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Momentum
In 2010, momentum, as measured by the advance/decline ratio for the J.P. Morgan
Global High-Yield Index, remained high, following the last year’s record high ratio.
In 2010, the YTD advance/decline ratio through November 30 was 4-to-1, compared
with 2009’s ratio of 13-to-1. Another indication of the market’s strong momentum is
evidenced by the market’s average price, which increased to $103.3 as of November
30, from $99.9 at the start of the year (average prices are based on non-defaulted
bonds in the J.P. Morgan Global High Yield Index).
High-yield and equity market volatility
Source: J.P. Morgan.
0.01.53.04.56.07.59.0
10.512.013.5
Dec-9
4
Dec-9
5
Dec-9
6
Dec-9
7
Dec-9
8
Dec-9
9
Dec-0
0
Dec-0
1
Dec-0
2
Dec-0
3
Dec-0
4
Dec-0
5
Dec-0
6
Dec-0
7
Dec-0
8
Dec-0
9
High
-yield
volat
ility
0
10
20
30
40
50
60
70
Equity volatility
JPMorgan Global HY Index 8-month price volatilityChicago Board of Options Exchange SPX Volatility Index (VIX)
JPMorgan Global High-Yield Index Monthly advance/decline ratio
Source: J.P. Morgan.
1.51.60.60.80.40.2
1.72.32.62.92.8
2.01.4
3.8
0.8
3.5
1.00.10.1
1.2
3.4
1.6
0.20.9
0.30.60.6
3.6
0.80.30.3
0.90.10.00.2
1.1
2.7
0.81.1
7.4
3.8
2.6
8.4
2.6
11.8
2.71.7
5.3
2.1
0.6
7.0
4.4
0.1
1.7
8.0
0.9
6.9
5.1
0.30.0
2.0
4.0
6.0
8.0
10.0
12.0
Jan-
06
Apr-0
6
Jul-0
6
Oct-0
6
Jan-
07
Apr-0
7
Jul-0
7
Oct-0
7
Jan-
08
Apr-0
8
Jul-0
8
Oct-0
8
Jan-
09
Apr-0
9
Jul-0
9
Oct-0
9
Jan-
10
Apr-1
0
Jul-1
0
Oct-1
0
Primary market activity
Through November 30, 600 new deals priced for a record $277 billion, a 53%
increase over last year’s full-year total and previous record of 408 issues and $181
billion. Over the course of the year, monthly volumes exceeded $30 billion on six
occasions, including a record-high $40.5 billion in March. This is an impressive feat,
especially as new-issue volumes had never topped $30 billion in a month before
2010. Aside for a slow-down during the second quarter, in which a still respectable
$48.2 billion priced, quarterly volumes set record high’s in 1Q ($76.8 billion), 3Q
37
North American High Yield Research
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December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
($85.7 billion), and 4Q (on pace for more than $100 billion). For perspective, the
previous high was $61.3 billion in 2Q07. Separately but also indicative of the
strength of the high-yield primary market, 95 non-dollar deals priced for US-equiva-
lent $53.2 billion, surpassing previous annual new-issuance record of US$33.4 bil-
lion in 2006.
One notable development in the high-yield bond primary market was the increasing
trend toward more lower-rated issuance. Specifically, $46.8 billion of CCC bonds
were issued, which ranks second all-time behind 2007’s $52 billion. However it’s
important to note the majority of lower rated issuance this year was used for refi-
nancing, unlike in 2007 when almost none of the CCC issuance was refinance relat-
ed. Specifically, $32.3 billion of this year’s $46.8 billion of CCC issuance was used
to refinance (69%), compared with only $4.7 billion of 2007’s $52 billion of CCC
issuance was for refinancing (9%).
For more on new-issue activity and trends in the primary market please see section3 of this publication, New-issue review.
Monthly new issuance volume
Source: J.P. Morgan.
32.334.3
36.133.1
16.5
7.26.9
34.2
40.5
16.2
20.120.419.520.4
26.0
11.714.4
17.5
26.5
11.1
2.74.7
5.9
0.70.00.81.20.9
5.0
17.314.3
4.73.41.4
3.2
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
Jan-
08
Mar-0
8
May-
08
Jul-0
8
Sep-
08
Nov-0
8
Jan-
09
Mar-0
9
May-
09
Jul-0
9
Sep-
09
Nov-0
9
Jan-
10
Mar-1
0
May-
10
Jul-1
0
Sep-
10
Nov-1
0
$ bn
Annual new issuance volume
Note: 2010 data is through November 30.Source: J.P. Morgan.
147.9151.6
277.3
158.2
52.9
180.7149.1
106.1
67.994.7
47.373.469.1
99.8
150.8126.0
1.431.1 29.3
10.0
46.0 43.0 47.0
0.025.050.075.0
100.0125.0150.0175.0200.0225.0250.0275.0300.0
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
($ bn
)
38
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December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Monthly high-yield mutual fund flow volume
Source: AMG Data Services.
-0.6
2.3
4.4
1.5
3.9
0.9
-5.7
2.03.0
-2.5
1.92.4
1.51.71.91.82.5
1.9
4.34.9
2.61.6
4.7
3.1
0.2
-2.2
-0.3
0.7
-0.2-0.1
1.92.5
0.00.4
-0.8
-6.0-5.0-4.0-3.0-2.0-1.00.01.02.03.04.05.06.0
Jan-
08
Mar-0
8
May-
08
Jul-0
8
Sep-
08
Nov-0
8
Jan-
09
Mar-0
9
May-
09
Jul-0
9
Sep-
09
Nov-0
9
Jan-
10
Mar-1
0
May-
10
Jul-1
0
Sep-
10
Nov-1
0
$ bn
Annual high-yield fund flows
Note: 2010 data is through November 30.Source: Investment Company Institute; AMG Data Services.
1.75.2
11.0
2.35.2
-0.6-3.2
3.46.5
10.9
1.8
11.115.9
21.619.7
3.9
-6.3
13.216.3
32.9
-2.1
-8.8
5.5 5.0 6.510.8
31.9
-12.0
0.0
12.0
24.0
36.0
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Fund
flows
($ bn
)
High-yield fund flows
Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and
bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 20101.
During the first half of the year, retail flows into high-yield bond funds shifted along
with changes in market sentiment. European sovereign risks and an inability to cre-
ate jobs domestically lead to sharp outflows from bonds funds in February and May.
However, institutional demand for HY bonds stayed relatively strong, as yields
across fixed income declined. Meanwhile, flows into leveraged loan funds during
the first half remained comparatively steady. In the second half of the year, retail
flows into high-yield bond funds surged amid improving growth trends, and falling
Treasury yields. As rate fears began to rise in November, outflows for high-yield
funds picked up. Notably, flows into floating rate leveraged loan funds tripled last
year’s total and reached their highest level all year against this backdrop.
For more on fund flow activity please see section 7 of this publication, Fund flow review.
1. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loandata includes weekly reporting funds.
39
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December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Defaults, distressed debt, and ratings changes
Default activity declined significantly in 2010, following last year’s record-high vol-
ume. Through November 30, 41 companies defaulted, affecting a combined $19 bil-
lion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank
loans). By comparison, 120 companies defaulted on a record-high $185 billion in
bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in bank
loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan only
borrowers, and the remaining 8 companies had both bonds and loans outstanding.
Specifically for the high-yield bond market, this year’s $7.4 billion of bonds affected
was the third lowest volume in the last 13 years, trailing only 2005’s $3.2 billion and
2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was the third
largest total on record, trailing last year’s $90.1 billion and 2008’s $29.7 billion. The
high-yield bond par-weighted bond default rate decreased each month, falling to
0.74% at the end of November, down from 10.27% at the end of last year.
Meanwhile, the issuer weighted default rate for bonds decreased to 2.16% from
8.59%. For loans, the par-weighted default rate decreased to 2.18% from 12.78%,
and the issuer-weighted default rate declined to 2.86% from 7.34%.
For more on defaults, distressed debt, and ratings changes please see section 4 ofthis publication, Event risk in the high-yield market.
Default volumes declined significantly in 2010
1. 2010 data is through November 30.Source: J.P. Morgan.
19.0
184.7
49.2
4.48.5
28.710.2
28.0
63.464.1
35.425.5
8.8
0.020.040.060.080.0
100.0120.0140.0160.0180.0200.0
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Defau
lt volu
me ($
bn)
Leveraged loansHigh-yield bonds
1
40
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Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Domestic distressed debt as a percent of the high-yield market
Source: J.P. Morgan.
30-Nov-10Below 70%= 2.26%Below 50%= 0.30%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
Dec-9
4
Dec-9
5
Dec-9
6
Dec-9
7
Dec-9
8
Dec-9
9
Dec-0
0
Dec-0
1
Dec-0
2
Dec-0
3
Dec-0
4
Dec-0
5
Dec-0
6
Dec-0
7
Dec-0
8
Dec-0
9
Perce
nt of
the hi
gh-yi
eld m
arke
t Bonds trading at or below 50% of parBonds trading at or below 70% of par
The average high-yield bond price (excluding defaults) increased to $100.51 as of
November 30, from $94.57 at the end of last year, while the median bond price rose
to $102.00 from $99.13. Meanwhile, for loans, the average bid price, according to
S&P LCD’s US Performing Loan Index increased to $94.50 from $89.82 at the end
of last year. The size of the distressed bond market decreased to $2.9 billion, or
0.30% of the total high-yield domestic market, from $6.6 billion (0.78%) at the
start of the year. Distressed debt peaked at $10 billion at the end of August, still a
fraction of last year’s high of $214 billion at the end of February. Another proxy for
distressed debt, bond spreads greater than 1000bp, decreased to $85.1 billion, or
8.8% of the market, from $113.5 billion or 13.5% of the market as of December 31,
2009. For loans, 13.1% of the institutional loan market traded below $80 as of
November 30, slightly higher than the 10.4% of distressed loans at the start of the
year. If we use $60 as the threshold for distressed loans, only 1.67% of the institu-
tional loan market trades in distress, a decrease from 2.65% at the end of last year.
Twelve-month rolling domestic default rates
Source: J.P. Morgan.
Nov-10 2.18%
Nov-10 0.74%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Defau
lt rate
High-yield bond default rateLeveraged loan default rate
41
North American High Yield Research
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December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Credit conditions remained strong throughout 2010, a trend extended from the end
of last year, as upgrades outnumbered downgrades in each of the year’s first 11
months and 15 consecutive months dating back to September. Overall there were
349 upgrades totaling $334 billion of bonds, compared with 241 downgrades total-
ing $197 billion, which equates to an upgrade-to-downgrade ratio by issuer of
1.45:1. By comparison, there were 212 upgrades affecting $242 billion in 2009,
compared with 481 downgrades affecting $418 billion (0.44:1). Notably, the dollar
volume of upgraded bonds through November is on pace to break 2006’s current
record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgrad-
ed issuers increased to 1.50:1 as of November 30, from 0.44:1 at the start of the year
and a record-low of 0.24:1 17 months ago.
Upgrades outnumbered downgrades during each month in 2010
Source: J.P. Morgan
26 27
52
36
17
24 22
29 28
2017 19
13
2221
35
19
31
42
23
3429
0
10
20
30
40
50
60
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Upgrades
Downgrades
42
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December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com Gainers and Losers
First-quarter 2010 gainers and losers
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.Source: J.P. Morgan.
31-Dec-09 to GAINERS 31-Mar-10 31-Mar-10 % Issuer Bond Price Price Chg Change IndustryVisteon 7.000% Sr Nts 14 96.00 69.75 265.71% AutomotiveVisteon 12.250% Sr Nts 16 106.00 64.00 152.38% AutomotiveCooper Standard Automotive 8.375% Sr Sub Nts 14 71.50 46.00 180.39% AutomotiveNewport Television 13.000% Sr Toggle Nts 17 80.00 35.88 81.30% BroadcastingResidential Capital Corp. 6.500% Sr Nts 13 96.75 26.75 38.21% FinancialTown Sports International 11.000% Sr Disc Nts 14 86.13 25.63 42.36% Gaming/Lodging Snoqualmie Ent. Authority 9.125% Sr Sec Nts 15 77.00 24.00 45.28% Gaming/Lodging Tronox Worldwide 9.500% Sr Nts 12 106.00 24.00 29.27% ChemicalsRafaella Apparel 11.250% Sr Sec Nts 11 66.00 23.50 55.29% Consumer Prod.Local TV Finance 10.000% Sr Toggle Nts 15 65.50 22.50 52.33% Broadcasting
31-Dec-09 to LOSERS 31-Mar-10 31-Mar-10 % Issuer Bond Price Price Chg Change IndustrySpheris 11.000% Sr Sub Nts 12 14.50 -39.00 -72.90% HealthcareBlockbuster 9.000% Sr Sub Nts 12 20.25 -36.75 -64.47% RetailBlockbuster 11.750% Sr Sec Nts (1st Lien) 14 73.75 -21.25 -22.37% RetailDynegy Holdings 8.375% Sr Nts 16 83.00 -12.00 -12.63% UtilityTexas Comp. Electric 10.250% Sr Nts 15 69.50 -11.50 -14.20% UtilityDynegy Holdings 7.750% Sr Nts 19 75.50 -11.25 -12.97% UtilityGallery Capital SA 10.125% Sr Sec Nts 13 40.00 -11.00 -21.57% BroadcastingVerasun Energy 9.375% Sr Nts 17 6.25 -9.50 -60.32% EnergyEdison Mission 7.000% Sr Nts 17 69.75 -9.25 -11.71% UtilityTrico Shipping AS 11.875% Sr Sec Nts 14 95.50 -8.63 -8.28% Energy
Second-quarter 2010 gainers and losers
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.Source: J.P. Morgan.
31-Mar-10 to GAINERS 30-Jun-10 30-Jun-10 % Issuer Bond Price Price Chg Change IndustryRotech Healthcare 9.500% Sr Sub Nts 12 89.75 31.75 54.74% HealthcareCrompton 6.875% Debs 26 113.00 24.25 27.32% ChemicalsVirgin River Casino 9.000% Sr Sec Nts 12 42.50 24.00 129.73% Gaming/Lodging Baker & Taylor 11.500% Sr Sec Nts 13 73.25 20.25 38.21% Diversified MediaValeant Pharmaceuticals 7.625% Sr Nts 20 118.00 18.00 18.00% HealthcareVisteon 12.250% Sr Nts 16 124.00 18.00 16.98% AutomotiveLocal TV Finance 10.000% Sr Toggle Nts 15 83.00 17.50 26.72% BroadcastingPMI Group 6.000% Sr Nts 16 80.00 14.88 22.84% FinancialDuquesne Light 6.250% Sr Nts 35 86.81 13.85 18.98% UtilityVisteon 7.000% Sr Nts 14 109.00 13.00 13.54% Automotive
31-Mar-10 to LOSERS 30-Jun-10 30-Jun-10 % Issuer Bond Price Price Chg Change IndustrySorenson Communications 10.500% Sr Sec Nts 15 63.00 -33.50 -34.72% ServicesSpansion LLC 11.250% Sr Nts 16 86.00 -32.00 -27.12% TechnologyRestaurant Company 10.000% Sr Nts 13 40.00 -28.00 -41.18% Food/BeveragesATP Oil & Gas 11.875% Sr Sec Nts (2nd Lien) 15 72.50 -27.03 -27.16% EnergyAhern Rentals Inc 9.250% Sr Sec Nts (2nd Lien) 13 33.75 -24.25 -41.81% ServicesNorske Skog Canada 7.375% Sr Nts 14 46.50 -23.00 -33.09% Paper/PackagingRathGibson 11.250% Sr Nts 14 1.51 -22.99 -93.83% IndustrialsColt Defense 8.750% Sr Nts 17 79.25 -21.00 -20.95% IndustrialsFirst Data Corporation 11.250% Sr Sub Nts 16 61.50 -18.50 -23.13% TechnologyNationstar Mortgage 10.875% Sr Nts 15 78.50 -18.00 -18.65% Financial
43
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2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Third-quarter 2010 gainers and losers
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.Source: J.P. Morgan.
30-Jun-10 to GAINERS 30-Sep-10 30-Sep-10 % Issuer Bond Price Price Chg Change IndustryTitan Petrochemicals 8.500% Sr Guar Nts 12 63.00 23.00 57.50% EnergyMBIA 6.400% Sr Nts 22 77.88 21.81 38.90% FinancialViant Holdings 10.125% Sr Sub Nts 17 121.75 19.88 19.51% HealthcareMBIA 5.700% Sr Nts 34 68.03 19.78 40.99% FinancialDresdner Funding Trust 8.151% Trust Pfd Secs 31 95.00 19.59 25.97% FinancialTribune Co 5.250% Sr Sec Nts 15 44.63 19.13 75.00% Diversified MediaTribune Co 7.250% Sr Sec Nts 96 44.13 19.13 76.50% Diversified MediaNXP BV 9.500% Sr Nts 15 102.50 18.75 22.39% TechnologyCitigroup Capital III 7.625% Trust Pfd Secs 36 106.60 17.94 20.24% FinancialAllis-Chalmers Energy 8.500% Sr Nts 17 100.50 14.00 16.18% Energy
30-Jun-10 to LOSERS 30-Sep-10 30-Sep-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 32.75 -32.25 -49.62% Diversified MediaAngiotech Pharmaceutical 7.750% Sr Sub Nts 14 36.75 -22.25 -37.71% HealthcareNovasep Holding 9.750% Sr Sec Nts 16 77.00 -21.25 -21.63% HealthcareSbarro 10.375% Sr Nts 15 60.00 -19.00 -24.05% Food/BeveragesDex One Corporation 12.000% Sr Sub Toggle Nts 17 78.63 -16.63 -17.45% Diversified MediaNetwork Communications 10.750% Bds 13 34.00 -16.00 -32.00% Diversified MediaRestaurant Company 10.000% Sr Nts 13 25.00 -15.00 -37.50% Food/BeveragesSitel 11.500% Sr Nts 18 80.00 -12.50 -13.51% ServicesEdgen Murray 12.250% Sr Sec Nts (1st Lien) 15 72.25 -12.25 -14.50% EnergyOPTI Canada Inc 7.875% Sr Sec Nts (2nd Lien) 14 75.25 -11.75 -13.51% Energy
Fourth-quarter 2010 gainers and losers1
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.1.Through November 30, 2010.Source: J.P. Morgan.
30-Sep-10 to GAINERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryTronox Worldwide 9.500% Sr Nts 12 156.88 64.50 69.82% ChemicalsFertinitro Finance 8.290% Sr Sec Nts 20 90.00 25.50 39.53% ChemicalsAffinity Group 9.000% Sr Sub Nts 12 99.00 24.38 32.66% Diversified MediaNorske Skog Canada 7.375% Sr Nts 14 64.75 23.50 56.97% Paper/PackagingAtlas Energy Resources 12.125% Sr Nts 17 131.00 15.38 13.30% EnergyUS Oncology 9.125% Sr Sec Nts 17 120.50 14.50 13.68% HealthcareNorth Atlantic Trading 9.250% Sr Nts 12 79.00 14.00 21.54% Food/BeveragesWise Metals 10.250% Sr Sec Nts 12 100.50 14.00 16.18% Metals/MiningNationstar Mortgage 10.875% Sr Nts 15 97.25 13.50 16.12% FinancialWilmington Trust 8.500% Sub Nts 18 115.11 13.45 13.23% Financial
30-Sep-10 to LOSERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 4.00 -28.75 -87.79% Diversified Media155 E Tropicana 8.750% Sr Sec Nts 12 23.38 -22.75 -49.32% Gaming/Lodging Dex One Corporation 12.000% Sr Sub Toggle Nts 17 56.00 -22.63 -28.78% Diversified MediaSpheris 11.000% Sr Sub Nts 12 2.50 -22.50 -90.00% HealthcareNCO Group Inc 11.875% Sr Sub Nts 14 68.00 -21.50 -24.02% ServicesAsia Aluminum Holdings 8.000% Sr Nts 11 0.01 -15.12 -99.93% Metals/MiningShingle Springs 9.375% Sr Nts 15 61.00 -13.50 -18.12% Gaming/Lodging Rouse 6.750% Sr Nts 13 103.00 -13.25 -11.40% FinancialDelta Petroleum 7.000% Sr Nts 15 67.00 -12.00 -15.19% EnergySbarro 10.375% Sr Nts 15 48.00 -12.00 -20.00% Food/Beverages
44
North American High Yield Research
2010 High-Yield Annual Review
December 2010
2
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
2010 gainers and losers1
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change.1.Through November 30, 2010.Source: J.P. Morgan.
31-Dec-09 to GAINERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryTronox Worldwide 9.500% Sr Nts 12 156.88 74.88 91.31% ChemicalsNewport Television 13.000% Sr Toggle Nts 17 93.75 49.63 112.46% BroadcastingLocal TV Finance 10.000% Sr Toggle Nts 15 91.00 48.00 111.63% BroadcastingTitan Petrochemicals 8.500% Sr Guar Nts 12 65.00 47.00 261.11% EnergyNorth Atlantic Trading 9.250% Sr Nts 12 79.00 42.50 116.44% Food/BeveragesSnoqualmie Ent. Authority 9.125% Sr Sec Nts 15 92.50 39.50 74.53% Gaming/Lodging WII Components 10.000% Sr Nts 12 98.00 38.00 63.33% HousingTown Sports International 11.000% Sr Disc Nts 14 96.25 35.75 59.09% Gaming/Lodging Virgin River Casino 9.000% Sr Sec Nts 12 44.88 34.88 348.75% Gaming/Lodging Rotech Healthcare 9.500% Sr Sub Nts 12 91.00 33.00 56.90% Healthcare
31-Dec-09 to LOSERS 30-Nov-10 30-Nov-10 % Issuer Bond Price Price Chg Change IndustryLocal Insight Regatta Hldgs. 11.000% Sr Sub Nts 17 4.00 -60.50 -93.80% Diversified MediaBlockbuster 9.000% Sr Sub Nts 12 1.00 -56.00 -98.25% RetailSpheris 11.000% Sr Sub Nts 12 2.50 -51.00 -95.33% HealthcareBlockbuster 11.750% Sr Sec Nts (1st Lien) 14 48.00 -47.00 -49.47% RetailDex One Corporation 12.000% Sr Sub Toggle Nts 1756.00 -44.00 -44.00% Diversified MediaSorenson Communications 10.500% Sr Sec Nts 15 58.00 -40.10 -40.88% ServicesColt Defense 8.750% Sr Nts 17 63.50 -39.75 -38.50% IndustrialsRathGibson 11.250% Sr Nts 14 0.50 -31.63 -98.44% IndustrialsSbarro 10.375% Sr Nts 15 48.00 -30.50 -38.85% Food/BeveragesNovasep Holding 9.750% Sr Sec Nts 16 68.00 -29.50 -30.26% Healthcare
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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December 2010
45
3New-issue review
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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2010 High-Yield Annual Review
December 2010
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3
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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2010 High-Yield Annual Review
December 2010
47
3
New-issue review
2010 highlights
• As of December 10, 2010, 637 US-dollar high-yield bonds totaling $298bn
priced, 65% higher than last year’s record (408 issues for $181bn).
• Refinancings continued to be the dominant theme as issuers focused on extend-
ing maturities.
• Bond-for-loan deals made a significant contribution to high-yield issuance this
year, accounting for $67bn, up from $49bn in the prior year.
• As the year progressed, volumes placed by cyclical and lower-quality issuers
increased, as did more highly leveraged transactions, acquisition and opportunis-
tic financings, resulting in new-issue trends that slowly deteriorated.
• Dividend activity increased, bolstered by robust market conditions and concerns
over expiration of Bush-era dividend tax rates. Dividend deals accounted for
$15bn, or 5% of issuance in 2010, up from $4bn, or 2% of issuance in the prior
year.
• Non-dollar activity set a new record in 2010, rising 75% year over year to US$-
equivalent of $54bn.
• US-dollar foreign issuance also benefited from wide-open capital markets this
year, accounting for $31bn, a new record, up from $23bn of activity in 2009.
• For 2011, we forecast high-yield bond issuance to remain robust, totaling
$235bn, a slightly slower pace of issuance activity year-over-year, but one still
consistent with an extremely active backdrop for prospective issuers.
High-yield primary market sets another record
Note: New-issue volume is measured by par amount.1. Through December 10, 2010.Source: J.P. Morgan.
10.0
46.073.4
126.099.8 94.7
67.9
151.6 158.2
106.1
149.1 147.9
52.9
180.7
298.0
47.3
1.4
150.8
47.043.0
69.1
115
375
335408
694667
189131
48
238250
402
389
139
378
300260
504
583
321
637
0
100
200
300
400
500
600
700
800
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
YTD
# of is
sues
$0
$50
$100
$150
$200
$250
$300
$350
($bn)
New-issue volumeNumber of new issues
1
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
48
3
1. Through December 10, 2010.Source: J.P. Morgan
Percentage of new issue proceeds by category
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101
BB-rated 21.9% 25.8% 34.5% 20.9% 20.9% 21.6% 21.7% 29.5% 16.1% 26.3% 26.0% 20.3%B-rated 60.0% 53.9% 39.7% 51.3% 53.2% 44.9% 47.0% 39.0% 33.4% 32.3% 34.3% 38.7%CCC-rated 1.3% 4.0% 1.0% 0.3% 2.8% 6.6% 6.2% 8.8% 14.0% 15.8% 3.4% 6.8%Refinancing 49.5% 34.8% 78.1% 76.6% 75.7% 58.1% 50.2% 38.4% 35.3% 40.6% 76.1% 66.5%Acquisition finance 27.4% 26.1% 12.9% 15.5% 15.4% 29.3% 38.0% 44.4% 51.4% 46.0% 5.3% 15.4%General corporate 23.1% 39.1% 9.0% 8.0% 8.8% 12.5% 11.8% 16.1% 12.1% 10.9% 16.0% 15.1%Dividend-payout 0.0% 0.0% 0.0% 0.0% 0.0% 5.5% 4.8% 3.6% 2.0% 0.0% 1.9% 4.8%Deferred interest 9.1% 9.6% 1.4% 0.9% 2.0% 5.2% 1.1% 0.5% 0.3% 0.8% 0.0% 0.2%Cyclical 38.6% 26.5% 37.6% 51.4% 45.1% 49.9% 54.9% 54.5% 42.0% 36.2% 44.6% 53.9%Defensive 56.0% 68.5% 55.4% 37.8% 46.1% 41.6% 34.3% 35.7% 47.1% 45.3% 43.2% 32.6%Energy 5.5% 5.0% 7.1% 10.8% 8.8% 8.5% 10.8% 9.8% 10.9% 18.5% 12.2% 13.5%Less than $100 mn 6.9% 1.1% 2.0% 2.6% 2.9% 3.1% 2.0% 0.9% 0.6% 0.7% 0.7% 0.5%Greater than $300 mn 54.7% 64.7% 61.5% 51.5% 60.1% 55.1% 57.4% 79.2% 84.6% 80.9% 77.5% 82.9%Foreign 10.0% 18.8% 2.1% 4.9% 11.7% 6.3% 6.5% 7.9% 4.1% 2.4% 13.1% 11.1%
New issue overview
On the heels of a record year in 2009, high-yield new-issue volume set a fresh
record in 2010 with $298bn1. In particular, this year’s monthly activity topped
$30bn volume on six occasions, after never topping $30bn, leading to a 65%
increase in volumes year over year. While the primary market remained hot all year,
activity accelerated as the year progressed, particularly in the second half of the
year. By quarter, volumes totaled $77bn, $48bn, $86bn, and $87bn, respectively.
Another new record for high-yield primary market
The year’s primary market activity started off with a bang, as $77bn priced in the
first quarter, beating the previous record quarter (2Q07) by more than $15bn.
Activity was strong despite an uncertain macroeconomic backdrop and significant
retail fund outflows (-$2.5bn), which led to 11 deals getting pulled or postponed.
Percentage change in size of global US dollar high-yield market
1. Through December 10, 2010.Source: J.P. Morgan.
7.1%6.7%9.4%
41.2%
66.1%
32.1%
13.4%17.8%
-12.1%-6.4%
-0.6%
9.1%
18.2%
10.1%
-1.1%
5.6%
-2.2%
18.6%11.6%
0.5%1.7%7.7%8.3%
22.9%
37.2%
4.3% 3.7%
16.1%
28.3%
15.6%17.2% 15.5%
26.3%
-20%-10%
0%10%20%30%40%50%60%70%80%
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1
1. As of December 10, 2010.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
49
3Supported by slowly improving economic expectations, $40.5bn priced in March,
easily eclipsing the previous record month ($29.3bn in November 2006). Conditions
favored high-yield issuers until May and June’s market swoon, when a sharp rise in
risk aversion led to $6.3bn of retail outflows and the lowest monthly new-issue vol-
umes of the year ($6.9bn and $7.2bn, respectively). In the second half of the year,
economic expectations improved, demand remained high, and secondary market
conditions were excellent, all of which led to a rebound in new-issue conditions. In
fact, the second week of August set a new record, as 37 deals priced for $22.1bn,
topping a pervious record of $12.1bn in the week ended March 18. The torrid pace
of issuance continued through year-end with over $30bn pricing each month.
Risk trends (ratings and uses of proceeds)
New-issue trends are an important factor in analyzing future default risk. In 2010,
refinancing continued to be the dominant theme. Another trend was the broadening
of the primary market to a more diverse set of issuers and issuance objectives. As
the year progressed, volumes placed by cyclical and lower-quality issuers increased,
as did more highly leveraged transactions, acquisition and opportunistic financings,
resulting in new-issue trends that slowly deteriorated.
Lower-quality issuance (bonds rated Split B, CCC, or non-rated) as a percentage of
total issuance progressively increased from 14% in 1Q to 24% in 4Q. In all, lower
rated issuance made up 18% of total issuance in 2010, which compared to 11% last
year. By dollar volume, lower-rated deals totaled $52bn this year, or almost three
times last year’s volume ($19bn). Providing a better gauge of the extent of “aggres-
siveness” of the new issuance is the volume of lower-rated issuance, excluding debt
used to refinance existing obligations. This category increased to $17bn from $5bn
last year, however, it remains below the $25bn average between 2004 and 2007 and
well below 2007’s peak of $49bn. Looking ahead, we expect lower-rated bonds to
make up closer to 25% of next year’s bond volumes as the new-issue cycle further
matures. Nevertheless, we expect lower rated activity to continue to be directed
mostly toward refinancing and extending maturities, rather than the leverage
enhancing deals of the prior new-issue cycle, ultimately a positive for the future liq-
uidity and default outlook.
This year’s new-issue activity topped $30bn six times, after having never reached this level previously
Source: J.P. Morgan.
5.9 4.72.7
11.1
26.5
17.514.4
11.7
26.0
20.4 19.5 20.4 20.1
40.5
34.2
6.9 7.2
16.5
33.136.1
34.3 32.3
11.3
16.2
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
Jan-
09
Feb-
09
Mar-0
9
Apr-0
9
May-0
9
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Dec-1
0
$ bn
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
50
3
Lower-rated issuance as a percentage of total primary market activity surged in 2010, butremains below 2004-2007 average of 24%
1. Through December 10, 2010.Source: J.P. Morgan.
14.0%
20.5%
7.6%
16.1%
3.6% 3.4%
10.1%
20.6%17.4%
20.9%
36.3%
26.0%
10.7%
17.6%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Perce
nt of
total
issua
nce
16-year average= 16.7%
12010 lower-rated issuance, excluding refinancing-related deals, rose, but remains a fractionof 2007’s peak
1. Through December 10, 2010.Source: J.P. Morgan.
16.9
5.4
12.6
25.7
12.214.9
4.30.91.0
6.35.6
20.4
11.96.85.4
48.8
0
10
20
30
40
50
60
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
YTD
Lowe
r rate
d iss
uanc
e ex r
efina
ncing
s ($ b
n) 2004 to 2007 =$101.6 billion1995 to 1998 = $44.5 billion
1
Chg. 20091997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101 to 2010
Split BBB 5.9% 4.2% 3.1% 2.9% 13.9% 9.8% 7.4% 8.9% 5.9% 1.4% 6.5% 2.5% 9.3% 8.5% -0.7%BB 16.2% 24.2% 20.6% 23.9% 33.9% 20.8% 20.6% 21.1% 21.6% 29.3% 16.0% 26.1% 25.9% 20.2% -5.6%Split BB 7.4% 6.3% 8.0% 2.7% 8.2% 14.4% 9.3% 5.4% 8.3% 9.6% 7.9% 13.1% 19.8% 14.9% -4.9%B 56.4% 44.8% 60.6% 54.3% 40.4% 51.6% 52.7% 44.0% 46.8% 38.8% 33.4% 32.4% 34.4% 38.8% 4.4%Split B 4.4% 6.9% 2.7% 3.3% 1.3% 2.6% 6.0% 12.1% 10.0% 11.2% 21.1% 7.5% 6.9% 9.4% 2.5%CCC 1.7% 4.2% 1.8% 6.1% 1.0% 0.3% 3.0% 7.0% 6.3% 9.0% 14.0% 15.9% 3.5% 6.9% 3.4%NR 7.9% 9.4% 3.2% 6.7% 1.3% 0.5% 1.1% 1.4% 1.1% 0.7% 1.1% 2.7% 0.3% 1.3% 1.0%
Split B, CCC and NR 14.0% 20.5% 7.6% 16.1% 3.6% 3.4% 10.1% 20.6% 17.4% 20.9% 36.3% 26.0% 10.7% 17.6% 6.9%
1. Through December 10, 2010.Source: J.P. Morgan.
Percentage of new issues by ratingby par amount
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
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nelson.r.jantzen@jpmorgan.com
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alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
51
3
Acquisition financings increased as a total percent of total issuance
1. Through December 10, 2010.Source: J.P. Morgan.
0.0%3.1% 3.7% 2.9%
15.8%
27.8%30.1%
20.5%21.5%27.4%25.7%
12.9%15.5%13.5%
25.9%
44.4%
51.4%
5.3%
15.4%
46.0%
38.0%
0%
10%
20%
30%
40%
50%
60%
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1
Leverage multiples in the high-yield primary market
1. Through December 10, 2010.Source: J.P. Morgan.
4.8x 4.9x
4.5x 4.6x4.8x
5.4x
3.7x
4.1x
4.5x4.7x
4.5x
5.1x5.4x
4.8x4.5x 4.5x
4.2x
4.8x
4.2x
4.8x
3.0x
3.5x
4.0x
4.5x
5.0x
5.5x
6.0x
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1Q10
2Q10
3Q10
2010
US$ H
Y ne
w-iss
ue av
erag
e lev
erag
e
Refinancing remained the use of proceeds for the bulk of issuance this year, howev-
er, acquisition financings picked up year over year. Year to date, $198bn, or 66% of
total issuance, was used for refinancing purposes, down from 76% last year. On a
quarterly basis, refinancing activity declined from 68% in the first three quarters to
62% in 4Q. Nevertheless, this year’s refinancing activity remains 12% above the
long term average allocation of 54%. Whereas refinancing activity declined, acqui-
sition financing-related volume rose year over year, accounting for $46bn, or 15%
of total issuance this year versus $10bn, or 5% of new issuance in 2009. This, how-
ever, still remains well below the peak of 51% in 2007. LBO-related financings
steadily increased this year, accounting 4% of this year’s volumes, versus 1%
in 2009.
4Q10
11
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
52
3
Bond-for-loan deals
Leveraged loan new issuance picked up this year, with volumes totaling $130bn.
Nevertheless, issuers continued to use the wide-open bond market to refinance
loans, leading to an increase in bond-for-loan deals year over year. After accounting
for $49bn in 2009, bond-for-loan transactions made up $67bn of issuance in 2010.
For 2011, we expect bond-for-loan takeout volume to be in line with this year as
loan issuers remain focused on maturities coming due in 2013 and 2014.
Refinancing activity declined by about 10% in favor of acquisition financingBy proceeds
1. Through December 10, 2010.Source: J.P. Morgan.
69.8% 71.5%
46.9%44.6%
32.1%
73.4%
57.4%50.2%
40.6%
76.1%66.5%
72.6%
50.2% 52.3%51.8%
49.0%
75.8% 74.6%
91.1%
35.3%38.4%
0%10%20%30%40%50%60%70%80%90%
100%
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1
Bond-for-loan activityBy proceeds
1. Through December 10, 2010.Source: J.P. Morgan.
0
2
4
6
8
10
12
Jan
Feb
Mar
Apr
May
June July
Aug
Sept Oc
t
Nov
Dec
Bond
for lo
an ta
keou
ts by
senio
rity ($
mn) Sr Sec Sr Nts Sub
1
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
53
3
Dividend deal activity
Note: 2010 data is through December 10.Source: J.P. Morgan.
0%
1%
2%
3%
4%
5%
6%
2005
2006
2007
2008
2009
2010
Divid
end d
eals
% of
total
issu
ance
Dividend deals
An interesting trend in the new-issue market has been the increase in dividend
deals, which came into the spotlight as borrowers took advantage of robust market
conditions to fund cash payments to shareholders. This trend was boosted by the
anticipation of the Bush-era dividend tax rates expiring at year end. In 2009, new-
issue dividend deals totaled $4bn, or 2% of issuance. This volume rose to $15bn in
2010, or 5% of issuance. Moreover, the trend accelerated as the year progressed,
accounting for under 4% of bond deals in the first three quarters of the year and 8%
since the end of September. A testament to strong market demand, HCA placed a
$1.525bn dividend deal in November, the largest private equity-related dividend
deal since 2005, according to S&P/LCD. Thus, this year’s dividend deals made up
the largest share of the high-yield primary market since 2005, when 5.1% of
issuance was for dividend purposes.
Seniority
Senior bond issuance as a percentage of total issuance by par amount remained near
last year’s peak level. Declining modestly from 96% of issuance, this year’s senior
bond contribution was 95%. For context, these levels compare to 93% and 90% in
2008 and 2007, respectively. Senior secured notes made up 27% of total issuance,
down from 34%; however, this level is still significantly higher than 12.0% and
7.5% in 2008 and 2007, respectively. Subordinated and junior subordinated notes
accounted for a mere 5%, marginally higher than 4% last year.
Security type
Popular during the 1990s, issuance of deferred-interest securities has been negligi-
ble during the last few years. For example, from 1993 through 1998, deferred-inter-
est securities accounted for an average of 12.3% of total new-issue volume annual-
ly, compared with an average of only 1.9% from 2001 through 2005. In 2010,
deferred-interest securities accounted for only two transactions totaling under $1bn
and accounting for 0.3% of this year’s volume. Payment-in-kind bonds (PIK) and
toggle notes, which give issuers the option of paying coupons in cash or in addition-
al securities, had seen a run-up in the last cycle, in conjunction with acquisition
financing deals and leveraged buyout transactions, providing those issuers with a
way to reduce debt service, deferring it to later years. These deals accounted for an
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
54
3average of 10.6% of total deal proceeds from 2006 to 2008. Declining to just 0.7%
of issuance in 2009, PIK and toggle notes’ contribution declined further to just 0.2%
of this year’s issuance, despite the pick-up in non-refinancing activity seen this year.
Specifically, in 2010, one toggle deal and three PIK deals priced.
Industry
In 2010, new-issuance activity continued to rotate toward cyclical issuers. After
broadening to 45% of new-issue volume in 2009, cyclical issuers accounted for
54% of issuance in 2010. This year’s cyclical activity set a new record high,
exceeding the 51% average between 2004 and 2006. Meanwhile, defensive issuance
declined to just 33% from 43% last year, the smallest contribution historically. By
quarter, defensive issuance remained steady in the first three quarters of the year,
contributing 30-31% of issuance. However, that contribution increased somewhat in
the last quarter (to 37%) as a sharp rise in Treasury rates and Eurozone concerns led
to the first and only month in 2010 (November) in which defensive issuance vol-
umes exceeded cyclical volumes. The Energy sector contribution rose from 12% to
14% year over year, but remained below the 19% contribution in 2008. Overall,
Energy continued to lead this year’s issuance volumes, accounting for 14% of
issuance ($40bn), versus 12% ($22bn) last year. Its contribution was the highest in
the third quarter (20%), led by large transactions, including those by Anadarko
Petroleum and Chesapeake Energy, which totaled $2bn each and ranked among the
10 largest transactions of the year. The Financial sector was the second most active
new-issue sector this year, accounting for 9% of issuance ($26bn), a significant
move from its second-to-last position in 2009 (2% of issuance for $3bn). The sector
housed the largest deal of the year—International Lease Finance—which priced a
multi-tranche $4.4bn offering to repay bank debt.
Percent of new issues by industry By par amount
Housing5%
Industrials6%
Metals And Mining6%
Services4%
Technology4%
Utility3%
Transportation2%
Broadcasting2% Cable And Satellite
3%
Financial9%
Energy14%
Chemicals4%
Consumer Products2%
Diversified Media2%
Food and Beverages4%
Telecom6%
Gaming Lodging and Leisure
4%
Automotive4%
Paper And Packaging5%
Retail3%
Healthcare9%
Note: Includes only US dollar-denominated issuance, through December 10, 2010.Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
55
3
Note: Includes only US dollar-denominated issues.1. Through December 10, 2010.Source: J.P. Morgan.
Percent of new issues by industry By par amount
- Change 20091999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101 to 20101
Automotive 4.3% 0.0% 3.1% 2.4% 3.2% 2.8% 5.7% 9.0% 3.1% 2.5% 3.6% 4.6% 1.0%Broadcasting 1.0% 0.0% 4.1% 4.3% 1.4% 0.3% 2.2% 0.4% 1.6% 1.2% 2.5% 1.6% -0.9%Cable and Satellite 13.4% 18.9% 10.3% 3.1% 4.3% 6.6% 6.4% 6.3% 1.2% 27.5% 8.0% 3.7% -4.2%Chemicals 5.3% 1.6% 4.8% 3.2% 5.6% 5.8% 2.0% 5.4% 2.3% 0.9% 2.8% 4.3% 1.5%Consumer Products 1.9% 0.9% 2.8% 2.9% 2.5% 3.0% 3.2% 1.7% 0.5% 0.5% 1.7% 2.3% 0.6%Diversified Media 2.0% 0.6% 3.3% 5.3% 5.5% 2.9% 0.9% 5.5% 3.4% 1.5% 2.1% 1.8% -0.3%Energy 4.0% 4.7% 8.0% 10.9% 10.5% 9.4% 11.9% 9.5% 12.1% 18.6% 12.2% 14.0% 1.8%Financial 4.2% 4.1% 2.1% 2.1% 3.3% 3.2% 3.6% 2.1% 5.0% 0.0% 1.7% 9.7% 8.0%Food and Beverages 2.5% 0.2% 3.9% 5.4% 3.9% 2.7% 2.2% 2.5% 4.2% 0.5% 4.4% 3.8% -0.6%Gaming Lodging and Leisure 6.9% 8.6% 7.3% 12.3% 5.8% 8.4% 5.4% 5.6% 3.7% 9.7% 7.4% 3.7% -3.6%Healthcare 2.3% 3.9% 8.1% 9.2% 5.5% 7.1% 9.2% 7.1% 9.5% 1.2% 7.4% 8.6% 1.2%Housing 2.7% 2.6% 3.0% 3.5% 2.8% 5.0% 4.9% 2.0% 2.5% 5.4% 4.0% 5.3% 1.3%Industrials 3.3% 1.1% 2.6% 6.5% 6.2% 5.1% 4.3% 3.4% 5.0% 3.3% 3.1% 6.0% 2.9%Metals and Mining 2.0% 0.0% 1.3% 3.1% 3.4% 4.2% 4.8% 3.7% 8.3% 3.3% 4.5% 4.0% -0.5%Paper and Packaging 2.0% 2.3% 4.3% 9.0% 7.6% 4.2% 4.8% 3.3% 1.1% 2.4% 7.2% 4.6% -2.6%Retail 1.8% 0.6% 3.0% 1.9% 2.2% 2.8% 4.2% 3.5% 4.5% 3.4% 4.1% 2.8% -1.3%Services 5.6% 0.6% 3.8% 4.6% 4.3% 3.3% 5.9% 5.0% 4.6% 7.5% 2.5% 3.5% 0.9%Technology 2.4% 2.2% 1.7% 4.8% 2.5% 4.5% 7.3% 11.0% 4.9% 4.1% 2.0% 4.2% 2.2%Telecommunications 28.0% 37.0% 12.7% 1.7% 9.1% 9.3% 6.7% 6.9% 6.0% 1.6% 11.6% 5.3% -6.3%Transportation 1.2% 1.1% 1.4% 1.6% 1.5% 1.4% 1.1% 1.1% 1.1% 0.9% 2.8% 2.6% -0.2%Utility 3.1% 9.1% 8.5% 2.3% 8.9% 8.1% 3.2% 5.2% 15.5% 3.8% 4.5% 3.6% -0.9%
The largest transactions of 2010
Source: J.P. Morgan.
0.00.51.01.52.02.53.03.54.04.55.0
Calpi
ne C
orp
(pric
ed:10
/18)
Anad
arko
Petro
leum
(pric
ed:8/
9)Ch
esap
eake
Ener
gy(p
riced
:8/9)
Inter
natio
nal
Leas
e Fina
nce
(pric
ed:3/
17)
GMAC
(pric
ed:2/
9)
Icahn
Enter
prise
s(p
riced
:1/12
)
FMG
Reso
urce
s(p
riced
:10/26
)
Lyon
dell
Petro
chem
ical
(pric
ed:3/
24)
Nove
lis(p
riced
:12/10
)
Cons
ol En
ergy
(pric
ed:3/
25)
Reyn
olds G
roup
(pric
ed:10
/6)
Fron
tier
Comm
unica
tions
(pric
ed:3/
26)
Inter
natio
nal
Leas
e Fina
nce
(pric
ed:8/
11)
($bn
)
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
56
3
By industry, Automotive was the largest contributor this year, accounting for 17%
of issuance, or US-dollar equivalent of $9bn, followed by the Financial sector, with
10% of issuance, or $6bn. The Automotive sector accounted for some of the largest
transactions of the year, namely two Conti-Gummi Finance transactions (€1.3bn, or
US-dollar equivalent of $1.7bn, and €1.0bn, or US-dollar equivalent of $1.3bn,
respectively) and a Peugeot dual-tranche offering (€1.0bn, or US-dollar equivalent
of $1.4bn), all of which are among the top 10 deals of the year by volume.
Global primary market
Joining the US-dollar high-yield primary market, non-dollar activity set a new
record in 2011, with volumes rising 75% year over year. Overall, non-dollar activity
underwent a marked recovery over the past two years from the dearth of activity in
2008, rising from US-dollar equivalent of just $1bn two years ago to $54bn in 2010.
Unlike last year, when most of the activity took place in the last four months of the
year, the non-dollar primary market remained healthy throughout 2010. However,
similar to the US dollar market, fourth quarter strength was also evident this year, as
$17bn priced in 4Q10 versus an average quarterly volume of $12bn in the first three
quarters of the year. The shifts in non-dollar primary market activity were similar to
those in the dollar market, with periods characterized by weakening global econom-
ic conditions and expectations, leading to reduced activity, and signs of improve-
ment, leading to resurgence in activity. Two of the top three months of the year for
non-dollar activity, October and November (US-dollar equivalent of $10bn and
$6bn, respectively), were also two of the strongest months for the dollar market
($30bn plus in each month).
Non-US dollar-denominated issuance set a new record in 2010By par amount
Note: 2010 data is through December 10.Source: J.P. Morgan.
10.2 9.46.9
3.2
11.8
22.3 20.4
33.4
26.1
1.3
30.9
54.1
0
10
20
30
40
50
60
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
(US-
dolla
r equ
ivalen
t, bn)
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
57
3
Foreign US-dollar denominated activity set another record in 2010
1. Through December 10, 2010.Source: J.P. Morgan.
8.0 9.5
17.2 17.2
10.3 9.1
5.13.3
18.5
11.1
7.2
12.0
6.4
1.3
23.2
31.0
$0
$5
$10
$15
$20
$25
$30
$35
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
($bn
)
1
Top 10 non-dollar deals by volume in 2010
Source: J.P. Morgan.
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Conti
-Gum
miFin
ance
(pric
ed:9/
2)
GMAC
Inter
natio
nal
Finan
ce(p
riced
:4/14
)
Peug
eot
(pric
ed:10
/21)
Virg
in Me
diaFin
ance
(pric
ed:1/
13)
Arda
gh P
acka
ging
Finan
ce(p
riced
:9/30
)
Ziggo
Bon
d Co
(pric
ed:4/
27)
Pern
od-R
icard
(pric
ed:3/
11)
Conti
-Gum
miFin
ance
(pric
ed:9/
27)
Heide
lberg
Ceme
ntAG
(pric
ed:1/
12)
Wind
Acq
uisitio
n(p
riced
:11/18
)
(US-
dolla
r equ
ivalen
t, bn)
US-dollar foreign issuance also benefited from the wide-open capital markets this
year. Accounting for $23bn of activity in 2009, this year’s international activity rose
to $31bn, setting a new record. International activity steadily increased as the year
progressed, with $6bn placed in the first quarter growing to $11bn in the fourth
quarter. The only exception was the second quarter, when activity declined as sover-
eign debt concerns overshadowed the European primary market, allowing for just
one European company, Ineos Finance, to tap the market for $570mn in Senior
Secured Notes. Total new issuance in the international market, including both US-
dollar and non-dollar denominated issues, was $85bn in 2010, or 57% higher than
last year’s previous record of $54bn.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
58
3
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
59
4
Event risk
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
60
4
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
61
4
Event risk in the high-yield market
2010 highlights
The net impact of event risk in the high-yield market in 2010 was positive.
Specifically, default volumes declined significantly from record levels the prior
year, credit conditions improved, the dollar volume of rising stars outpaced that of
fallen angels, high-yield M&A activity increased for the second consecutive year,
high-yield public equity issuance reached a record high, and called and tendered
debt both increased. We summarize our 2010 findings as follows (all 2010 data is
through November 30):
• Default activity declined significantly in 2010, as 41 companies defaulted, affect-
ing a combined $19 billion in bonds and loans. By comparison, 120 companies
defaulted on a record-high $185 billion in bonds and loans during full-year 2009.
Specifically for the high-yield bond market, this year’s $7.4 billion of bonds
affected was the third lowest volume in the last 13 years. The par-weighted bond
default rate decreased to 0.74%, down from 10.27% at the end of last year. For
loans, the par-weighted default rate decreased to 2.18% from 12.78%.
• Credit conditions remained strong throughout 2010, as upgrades outnumbered
downgrades in each of the year’s first 11 months. Overall there were 353
upgrades totaling $335 billion of bonds, compared with 233 downgrades totaling
$196 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.52:1.
• The number and dollar volume of rising stars outpaced fallen angels in 2010,
marking only the second time in the last 11 years that has occurred. Specifically,
19 companies were upgraded to investment-grade from high yield affecting $33
billion in bonds. Meanwhile, 13 companies were downgraded to high yield from
investment-grade affecting $28 billion in bonds.
• Total domestic merger and acquisition activity decreased for the third consecu-
tive year, following four consecutive years of growth, decreasing to $806 billion
in 2010, compared with $903 billion in full-year 2009. However, M&A activity
involving high-yield issuers increased in 2010, accounting for $171 billion in
deal volume, compared with $109 billion last year.
• Total public equity issuance of $154.8 billion in 2010 was down 32% from last
year’s $229.1 billion. High-yield equity offerings totaled a record-high $43.9 bil-
lion, compared with $29.1 billion during full-year 2009 and a 15-year average of
$23.3 billion per year. The percentage of total equity issuance that belonged to
high-yield companies was 28.4%, another record, compared with 12.7% in 2009.
• Due to robust capital market conditions, the total volume of called debt increased
two-fold year over year in 2010, as 179 companies called all or part of 244 issues
totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion
in 2009. Tendered debt increased to $47.9 billion in 2010, up from $45.5 billion
during all of last year, and on pace to become the second highest volume all time.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
62
4
Annual number and dollar volume of high-yield defaults
Note: 2010 data is through November 30.Sources: J.P. Morgan; Moody’s Investors Service.
2.5 3.6 5.0
15.122.9 22.0
8.2 7.2 5.2 8.0
22.028.3
56.0 55.6
24.9
8.6
22.9
94.6
4.83.44.77.4
19.4
3.27.310.3
61
19
70
42
11182129
87
138
116
86
47
2618
37
162031
625149
33282723
0
20
40
60
80
100
120
140
160
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Numb
er of
defau
lts
0.010.020.030.040.050.060.070.080.090.0100.0
($bn)
Amount ($ bn) Number
• The net impact of event risk in the international high-yield market was positive in
2010, as international default activity was benign and upgraded issuers outnum-
bered downgraded issuers. Most notably, only 7 non-domestic companies default-
ed in 2010, totaling US-equivalent $3.2 billion in bonds—there were no defaults
affecting loans.
DefaultsDefault activity declined significantly in 2010, following last year’s record-high vol-
ume. Through November 30, 41 companies defaulted, affecting a combined $19
billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional
bank loans). By comparison, 120 companies defaulted on a record-high $185 billion
in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in
bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan
only borrowers, and the remaining 8 companies had both bonds and loans outstand-
ing. Specifically for the high-yield bond market, this year’s $7.4 billion of bonds
affected was the third lowest volume in the last 13 years, trailing only 2005’s $3.2
billion and 2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was
the third largest total on record, trailing last year’s $90.1 billion and 2008’s
$29.7 billion.
Annual number and dollar volume of institutional bank loan defaults
Note: 2010 data is through November 30.Sources: J.P. Morgan; S&P LCD.
8.1 7.93.0
29.7
11.6
5.91.53.20.6
90.1
1.21.27.1
30
93
60
3511
612
232633
94
0102030405060708090
100
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Numb
er of
defau
lts
0.010.020.030.040.050.060.070.080.090.0100.0
($bn)
Amount ($ bn) Number
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
63
4
After setting record highs in 2009, high-yield bond and loan par-weighted default
rates fell significantly in 2010. During the year, the par-weighted bond default rate
decreased each month, falling to 0.74% at the end of November, down from 10.27%
at the end of last year. Meanwhile, the issuer weighted default rate for bonds
decreased to 2.16% from 8.59%. For loans, the par-weighted default rate decreased
to 2.18% from 12.78%, and the issuer-weighted default rate declined to 2.86% from
7.34%. As a reminder, given strong market technicals, few 2011 or 2012 maturities,
and an expected moderate acceleration in US GDP growth next year, our 2011
default forecasts for high-yield bonds and loans are 1.5% and 2%, respectively.
Additionally, our 2012 forecasts for bond and loan default rates are 2% and
3%, respectively.
Twelve-month rolling par-weighted default rates
Sources: J.P. Morgan; S&P LCD.
Nov-09 10.98%
Nov-10 0.74%
Nov-09 14.18%
Nov-10 2.18%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Defau
lt rate
High-yield bond default rateLeveraged loan default rate
Twelve-month rolling issuer-weighted default rates
Sources: J.P. Morgan; S&P LCD.
Nov-10 2.16%
Oct-09 10.04%
Nov-10 2.86%
Oct-09 7.89%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Defau
lt rate
High-yield bond default rateLeveraged loan default rate
Default activity was generally pretty steady over the course of the year, with the
number of defaults ranging from 2 to 5 in each month except for January when 8
companies defaulted. This is a dramatic change from last year when an average of
10 companies defaulted per month. Default volumes reflected a different story, with
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
64
4
Bond default volume increased for six consecutive months through November
Source: J.P. Morgan.
0.2
2.32.9
1.00.1
0.9
3.02.5 1.1 2.2
0.8 0.8 1.1
2.4
1.1
0.2 0.4
1.9 0.4
2.0
0.3 0.2
0.1
0.52.32.6
4.45.8
2.4
0.3
0.2
-1.02.03.04.05.06.07.08.09.0
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Defau
lt volu
me ($
bn)
High-yield bonds Bank loans
total default volume increasing to a YTD high of $4.1 billion in the most recent
month (November). Specifically, bond default volume increased for six consecu-
tive months through November, from no defaults in May to $3 billion, and out-
paced bank loan default volume in September, October and November, after
trailing loan volumes during the prior 9-month stretch. Indicative of this pick up
in defaults at the tail end of the year, six of the ten largest YTD defaults (including
both bonds and loans) occurred in the 70 days leading up to November 30—
November’s 5 defaults reflected the second, third, eighth, fifteenth, and sixteenth
largest YTD.
The average size of defaults in 2010 was $463 million per company, down consider-
ably from $1.6 billion in 2009 (including both bank and bond debt). There were
only five $1 billion-plus defaults this year, compared with 30 in 2009—these
five defaults accounted for 30% of the year’s total defaulted volume. The largest
default was Boston Generating, which defaulted on $2.0 billion in institutional
loans. The power generation company filed Chapter 11 in August. Ambac Financial,
the financial guarantee and services company, missed an interest payment on
November 1 and eventually filed Chapter 11 seven days later. The default was the
second largest bankruptcy in 2010, affecting $1.2 billion in bonds. The third largest
default was advertising and marketing services provider, Vertis, Inc, which defaulted
on $736 million in bonds and $395 million in loans (total of $1.1 billion). The pre-
packaged Chapter 11 reorganization comes roughly two years after Vertis and
American Color Graphics merged during a combined Chapter 11 filing in 2008. The
fourth largest default was Canadian casino operator, Gateway Casinos &
Entertainment, which affected $1.1 billion in institutional bank loans after the com-
pany did not make interest payments due on its 1st and 2nd lien credit facilities.
Rounding out the five largest defaults was TerreStar Networks, a provider of mobile
satellite coverage throughout the U.S. and Canada, who filed Chapter 11, affecting
$996 million in bonds and $100 million in loans.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
65
4
20 Largest defaults in 2010
Note: Through November 30.Source: J.P. Morgan
InstitutionalDate Company Bonds ($ mn) loans($ mn) Total Industry18-Aug-10 Boston Generating 1,975.1 1,975.1 Utility01-Nov-10 Ambac Financial Group 1,247.2 1,247.2 Financial17-Nov-10 Vertis Holdings 736.1 395.0 1,131.1 Diversified Media07-Jan-10 Gateway Casino 1,104.8 1,104.8 Gaming/Lodging19-Oct-10 TerreStar Networks 995.6 100.0 1,095.6 Cable and Satellite23-Sep-10 Blockbuster 930.0 930.0 Retail10-Feb-10 Penton Media 869.0 869.0 Diversified Media17-Nov-10 American Media Operations 387.3 430.6 817.9 Diversified Media16-Apr-10 Green Valley Ranch 763.5 763.5 Gaming/Lodging01-Oct-10 Angiotech Pharmaceuticals 575.0 575.0 Healthcare27-Jan-10 Natural Products 565.0 565.0 Consumer Products09-Jul-10 Oriental Trading 565.0 565.0 Consumer Products24-Feb-10 White Birch Paper Company 542.2 542.2 Paper/Packaging03-Feb-10 Movie Gallery 540.9 540.9 Retail17-Nov-10 Local Insight Regatta Holdings 210.5 310.9 521.4 Diversified Media01-Nov-10 Indianapolois Downs 447.6 447.6 Gaming/Lodging17-May-10 Neff Rental 34.3 377.9 412.2 Services28-Jul-10 American Safety Razor 384.3 384.3 Consumer Products31-Aug-10 Graceway Pharmaceuticals 330.0 330.0 Healthcare04-Aug-10 FGIC Corp 261.9 46.0 307.9 Financial
Total 5,825.6 9,300.2 15,125.8Percent of YTD default volume 79% 80% 80%
The Diversified Media sector was once again the industry most impacted by
defaults in 2010, as 7 companies defaulted in 2010, or 17.1% of all defaults (includ-
ing bonds and loans). Last year, the sector was responsible for 14 of the year’s 120
bankruptcies, or 11.7% of the total. Defaults were also concentrated in the
Consumer Products and Services sectors, each with 5 companies defaulting during
the year, or 12.2% of all defaults. Several industries recorded no defaults in 2010,
including Automotive, Chemicals, Energy, Technology, Telecommunications, and
Transportation, all of which combined for 34 of the 120 defaults in 2009, including
10 and 11 defaults in the Automotive and Energy sectors, respectively. By dollar
volume, Diversified Media defaults accounted for $3.9 billion (20.8%), followed by
Gaming Lodging and Leisure ($2.3 billion, 12.2%) and Utility ($2.3 billion, 11.9%).
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
66
4
2010 defaults by industry Percent of total bond and loan default volume
Note: 2010 data is through November 30.Source: J.P. Morgan.
Cable and Satellite5.8%
Consumer Products9.9%
Diversified Media20.8%
Financial8.2%
Food and Beverages0.7%
Retail8.3%
Services6.0%
Utility11.9%
Industrials1.6%
Housing2.0%
Healthcare6.5%
Metals and Mining1.2%
Paper and Packaging4.4%
Gaming Lodging and Leisure12.2%
Broadcasting0.6%
Based on the ratings for bonds 12 months prior to their default, 9 of the year’s 19
bond defaults were rated Caa1, Caa2, or Caa3 a year prior to their bankruptcy.
Using an estimated total of 215 CCC-rated issuers at the start of 2010 implies a
4.2% default rate for CCCs. Defaults rated single-B twelve months prior to their
default totaled 2, and based on an estimated 313 single-B issuers at the start of the
year implies a 0.6% default rate. Interestingly, 8 defaults were either rated Ca or
nonrated one year prior to default, and based on an estimated 85 issuers in this bas-
ket at the start of the year implies a 9.4% default rate. Based on the ratings for
bonds at their last offering date, 9 defaults were rated single-B at their last offering,
while 4 were rated triple-C. Two companies, Ambac Financial and FGIC Corp, were
rated investment grade at their last offering date—both were fallen angels in 2008.
Upgrades and downgradesCredit conditions remained strong throughout 2010, a trend extended from the end
of last year, as upgrades outnumbered downgrades in each of the year’s first 11
months and 15 consecutive months dating back to September. Overall there were
353 upgrades totaling $335 billion of bonds, compared with 233 downgrades total-
ing $196 billion, which equates to an upgrade-to-downgrade ratio by issuer of
1.52:1. By comparison, there were 212 upgrades affecting $242 billion in 2009,
compared with 481 downgrades affecting $419 billion (0.44:1). Notably, the dollar
volume of upgraded bonds through November is on pace to break 2006’s current
record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgrad-
ed issuers increased to 1.57:1 as of November 30, from 0.44:1 at the start of the
year and a record-low of 0.24:1 17 months ago.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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2010 High-Yield Annual Review
December 2010
67
4
Rolling 12-month upgrade-to-downgrade ratio by issuer
Source: J.P. Morgan.
30-Jun-09 0.24
30-Nov-10 1.57
0.000.200.400.600.801.001.201.401.601.80
Dec-9
5
Dec-9
6
Dec-9
7
Dec-9
8
Dec-9
9
Dec-0
0
Dec-0
1
Dec-0
2
Dec-0
3
Dec-0
4
Dec-0
5
Dec-0
6
Dec-0
7
Dec-0
8
Dec-0
9
LTM
upgr
ade-
to-do
wngr
ade r
atio
Annual upgrades and downgrades by issuer
Note: 2010 data is through November 30.Source: J.P. Morgan.
72
147 135
301
376 353
114 95 93
223
425 446
586 597
439
330
470 481
212238
547
214194230
280259 237
139
233
392
496
287
0
100
200
300
400
500
600
700
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Upgrades
Downgrades
Annual upgrades and downgrades by dollar amount
Note: 2010 data is through November 30.Source: J.P. Morgan.
46
127
245 227197
419
335
242
148
267
4080 98 95 97
73119
167
222
352
196
507
391334
268
39 2569
109
446
0.0
100.0
200.0
300.0
400.0
500.0
600.0
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
($ bn
)
Upgrades
Downgrades
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
68
4
The Energy sector benefited the most from upgrades by the ratings agencies this
year, leading the way with 30 upgraded issuers (8.6%), the fourth consecutive year
the sector has registered the most upgrades. The Healthcare and Paper and
Packaging sectors also benefited from upgrades, as each sector had 24 companies
upgraded (6.9%) during the year. By dollar volume affected, it was the Automotive
sector that benefited the most, $48 billion of debt was upgraded (14.4% of total debt
affected), followed by Financial, $33 billion (10.0%).
2010 upgrades by industry Percent of total issuers
Note: 2010 data is through November 30.Source: J.P. Morgan
Automotive6.3% Broadcasting
3.7%Cable and Satellite
3.7%Chemicals
5.4%
Consumer Products5.2%
Diversified Media4.0%
Energy8.6%
Food and Beverages4.3%Healthcare
6.9%
Housing4.3%
Industrials5.2%
Metals and Mining4.6%
Paper and Packaging6.9%
Retail5.7%
Utility2.0%
Financial4.6%
Gaming Lodging and Leisure4.3%
Services3.2%
Technology4.9%
Telecommunications3.7%
Transportation2.6%
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest upgrades in the high-yield market 2010Date Issuer Amount ($ mn) Industry08-Oct-10 Ford Motor Company 37,739.8 Automotive28-Jan-10 Ally Financial 17,854.2 Financial13-Aug-10 QWest Communications International 11,733.7 Telecommunications14-Apr-10 Harrah's Operating 8,299.4 Gaming Lodging and Leisure17-May-10 Macys Retail Holdings 8,183.1 Retail06-Jul-10 MGM Mirage 6,710.4 Gaming Lodging and Leisure14-Oct-10 Energy Future Holdings 5,720.4 Utility29-Nov-10 Lyondell Chemical 5,490.3 Chemicals04-Mar-10 Teck Resources 5,425.0 Metals and Mining26-Mar-10 Georgia-Pacific 5,050.0 Paper and Packaging
Total 112,206.4
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
69
42010 downgrades by industry Percent of total issuers
Note: 2010 data is through November 30.Source: J.P. Morgan
Food and Beverages4.1%
Gaming Lodging and Leisure8.3%Healthcare
5.4%
Housing5.8%
Industrials5.0%
Metals and Mining0.8%
Energy15.8%
Financial14.1%
Automotive0.8%
Broadcasting1.7%
Cable and Satellite0.4% Chemicals
2.1%Consumer Products
4.1%
Diversified Media4.1%
Utility6.2%Transportation
3.7%
Telecommunications3.3%
Technology2.9%
Services4.1%
Retail2.9%
Paper and Packaging4.1%
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest downgrades in the high-yield market 2010Date Issuer Amount ($ mn) Industry24-Feb-10 American International Group 20,050.0 Financial04-Mar-10 Sprint Nextel Corporation 18,884.3 Telecommunications12-Oct-10 Energy Future Holdings 11,021.4 Utility23-Nov-10 Regions Financial Corp 6,200.0 Financial12-Apr-10 Edison International 4,424.7 Utility14-Sep-10 Pulte Home 4,308.4 Housing04-Feb-10 Windstream 4,146.0 Telecommunications13-Apr-10 Dynegy 3,651.8 Utility18-Jun-10 Lyondell Chemical 3,240.3 Chemicals09-Jul-10 iStar Financial 3,045.1 Financial
Total 78,972.0
The Energy industry was also most affected by downgrades in terms of number of
companies (38, 15.8% of the total), while it ranked second by dollar volume ($30.5
billion, 15.5%).The Financial industry ranked second in term of downgraded com-
panies (34, 14.1%) and had the most debt affected ($43.8 billion, 22.2%). Other sec-
tors largely affected by downgrades, at least in terms of total debt affected, were
Telecommunications ($30.2 billion, 15.3%) and Utility ($23.3 billion, 11.8%).
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
70
4 Issuer upgrade-to-downgrade ratio by industry
Note: Year to date through November 30, 2010.Source: J.P. Morgan.
13.011.0
8.0
3.8 3.3 2.9 2.4 2.4 1.8 1.8 1.6 1.5 1.5 1.4 1.1 1.1 1.0 0.8 0.8 0.5 0.50.02.04.06.08.0
10.012.014.0
Cable
and S
atellit
e
Autom
otive
Metal
s and
Mini
ng
Chem
icals
Broa
dcas
ting
Retai
l
Tech
nolog
y
Pape
r and
Pack
aging
Healt
hcar
e
Cons
umer
Pro
ducts
Telec
ommu
nicati
ons
Food
and
Beve
rage
s
Indus
trials
Dive
rsifie
d Med
ia
Servi
ces
Hous
ing
Tran
spor
tation
Ener
gy
Gami
ng Lo
dging
and L
eisur
e
Finan
cial
Utilit
yUpgr
ade-
to-do
wngr
ade r
atio b
y iss
uer
Volume of fallen angels and rising stars
Note: 2010 data is through November 30.Source: J.P. Morgan.
16 1624 29 30 33
6 3
25
66
142
40
113
28
132731
38
1524
10 1316 19
150
56
37
11
30
1412
51
0.0
25.0
50.0
75.0
100.0
125.0
150.0
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
YTD
($ bn
)
Rising stars Fallen angels
Fallen angels and rising starsThe number and dollar volume of rising stars outpaced fallen angels in 2010, mark-
ing only the second time in the last 11 years that has occurred. Specifically, 19 com-
panies were upgraded to investment-grade from high yield affecting $33 billion in
bonds. Meanwhile, 13 companies were downgraded to high-yield from investment-
grade affecting $28 billion in bonds. By comparison, rising stars totaled 15 and $13
billion in 2009, while fallen angels totaled 58 and a record high $150 billion.
Overall, 17 of 21 industries maintained an upgrade-to-downgrade ratio (by issuer)
that was greater than or equal to 1:1. Cable and Satellite had the best ratio of 13:1,
followed by Automotive and Metals and Mining, with ratios of 11:1 and 8:1, respec-
tively. The Utility and Financial sectors had the lowest upgrade-to-downgrade
ratios, both with ratios of 0.5:1.
2010
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
71
4
Number of fallen angels and rising stars
Note: 2010 data is through November 30.Source: J.P. Morgan.
37
44
31
18
39
2329
13 13
2724 25
151920
17
6
18
2723
49
63
43
2522
3027
58
13
36
2622
0
10
20
30
40
50
60
70
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
YTD
Rising stars
Fallen angels
The Technology sector was most impacted by rising stars, as four companies were
upgraded from high yield to investment grade in 2010. The total dollar volume of
bonds affected by rising stars within the sector was only $2.5 billion, or 7.7% of the
total, good for only the fifth most among all sectors. The sector most affected by
rising stars in terms of dollar volume was Metals and Mining ($978 billion, 29.8%),
as two of the four largest fallen angels (Teck Resources and Freeport McMoRan
Copper & Gold) resided in the industry. Despite having only one rising star, the
Telecommunications sector accounted for the second most debt affected by rising
stars ($7.9 billion, 24.2%), as Qwest Communications was the year’s largest
rising star.
2010 rising stars by industry Percent of total debt affected
Note: 2010 data is through November 30.Source: J.P. Morgan
Automotive1.7% Cable and Satellite
13.7%
Chemicals1.6%Energy3.2%
Financial11.8%
Healthcare6.1%
Metals and Mining29.8%
Technology7.7%
Telecommunications24.2%
2010
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
72
4
The Financial sector was impacted the most by fallen angels, as the sector account-
ed for 4 of the 13 companies that were downgraded to junk in 2010. Total debt
affected was $6.5 billion, or 23% of the total debt affected and good for the second
highest volume by sector. The Energy sector, thanks to the year’s largest fallen
angel, Anadarko Petroleum ($12.7 billion), was the sector most impacted by fallen
angels ($16.8 billion, 60%). Anadarko, which was downgraded to high-yield on
June 18, is now among the largest issuers in our J.P. Morgan Global High-Yield
Index, ranking tenth, as of November 30, with a market weight of 0.57%. The next
industry most impacted by fallen angels in 2010 was Utility, as two companies,
FirstEnergy and Rockies Express, were downgraded from investment grade totaling
$3.1 billion (10.9% of total volume).
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest rising stars in the high-yield market 2010
Date Issuer Amount ($ mn) Industry13-Aug-10 Qwest Communications 7,924.7 Telecommunications27-Apr-10 Teck Resources 5,425.0 Metals and Mining04-Mar-10 DirecTV Holdings/Finance 4,500.0 Cable and Satellite13-Oct-10 Freeport-McMoRan Copper & Gold 4,090.0 Metals and Mining13-Sep-10 HBOs plc 2,750.0 Financial12-May-10 UnumProvident 1,127.0 Financial11-Jun-10 National Semiconductor 1,000.0 Technology12-Nov-10 Mariner Energy 900.0 Energy08-Jun-10 Watson Pharmaceuticals 850.0 Healthcare04-Feb-10 Ventas Realty 723.1 Healthcare
Total 29,289.8 Percent of total fallen angels 89.5%
2010 fallen angels by industry Percent of total debt affected
Note: 2010 data is through November 30.Source: J.P. Morgan
Energy60.0%
Financial23.3%
Utility10.9%
Healthcare2.1%
Gaming Lodging and Leisure1.9%
Telecommunications1.4%
Consumer Products0.4%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
73
4
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest fallen angels in the high-yield market 2010
Date Issuer Amount ($ mn) Industry18-Jun-10 Anadarko Petroleum Corp 12,659.0 Energy01-Nov-10 Regions Financial Corp 3,550.0 Financial29-Jul-10 NGPL Pipeco 3,000.0 Energy11-Feb-10 FirstEnergy 1,750.0 Utility21-Oct-10 Marshall & Iisley Corporation 1,627.1 Financial12-Mar-10 Rockies Express 1,300.0 Utility02-Jul-10 QEP Resources 1,150.0 Energy01-Nov-10 AmSouth Bank 850.0 Financial25-Jun-10 Universal Health Services 600.0 Healthcare02-Nov-10 Seminole Tribe 535.2 Gaming Lodging and Leisure
Total 27,021.2 Percent of total rising stars 96.4%
Merger and acquisition activityMerger and acquisition (M&A) activity decreased for the third consecutive year,
following four consecutive years of growth. Total domestic M&A activity accounted
for $806 billion in 2010 (through November 30), compared with $903 billion in
full-year 2009. This year’s transaction volume is on pace to be the lowest since
2003. In terms of the number of transactions, there were 2,148 in the first 11
months of 2010, a slight increase over last year’s 1,986 transactions, but still low
relative to the previous 10 years in which an average 3,470 transactions occurred. A
few interesting takeaways from this year’s M&A activity were: 1) 81 transactions
were LBOs totaling $61.8 billion; 2) 87.1% of the deals were less than $500 million
in size, while 7.4% were greater than $1 billion; 3) the average premium paid was
32.84%; 4) the largest transaction was Exxon Mobil Corp’s takeover of XTO
Energy ($41.4 billion). Specific to high yield, M&A activity involving high-yield
issuers accounted for $171 billion in deal volume through November 30, compared
with $109 billion last year, $57 billion in 2008 and $429 billion in 2007.
Domestic mergers and acquisitions (1990 to 2010)
Notes: 1. Data is based on North American completed transactions greater than $10 million. 2. 2010 data is through November 30.Sources: Thomson Financial Securities Data; Bloomberg.
275 197 205334
466
687851
11921290
1470
1890
1230
718592
970
1180
1730
2380
1460
903806
0250500750
1000125015001750200022502500
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Tran
sacti
on va
lue ($
bn)
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
74
4
In 2010 (through November 30), 112 M&A transactions were completed, valued at
over $100 million each, in which the target company was a high-yield debt issuer.
These transactions represented $108 billion, compared with 42 deals for $61 billion
last year. Twenty deals were valued at more than $1.0 billion in 2010, compared
with only 11 last year. The largest transaction was the acquisition of Affiliated
Computer Services by Xerox Corp; the transaction totaled $7.9 billion and account-
ed for 7% of the total debt affected by acquisitions of high-yield targets. The indus-
try that saw the most transactions was Energy, in which 31 deals took place, or 27%
of the total. By dollar volume affected, Energy was again the top industry, with
$20.3 billion in total transaction value (19%), followed by Technology, in which
$15.7 billion of total debt was affected (15%).
Note: Based on data through November 30, 2010.Sources: Bloomberg; J.P. Morgan.
Largest acquisitions of high-yield issuers 2010
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry08-Feb-10 Affiliated Computer Services Inc Xerox Corp 7,891.0 Technology01-Jul-10 QEP Resources Inc Shareholders 5,398.1 Energy20-Oct-10 Burger King Holdings Inc 3G Capital Inc 3,933.9 Food and Beverages19-Aug-10 General Growth Properties Inc Multiple acquirers 3,925.0 Financial01-Oct-10 NBTY Inc Carlyle Group/The 3,812.0 Retail11-Nov-10 Mariner Energy Inc Apache Corp 3,801.5 Energy30-Jul-10 Interactive Data Corp Multiple acquirers 2,996.2 Services03-Aug-10 Fidelity National Information Shareholders 2,500.0 Financial28-Sep-10 Valeant Pharmaceuticals International Valeant Pharmaceuticals 2,433.5 Healthcare28-Oct-10 Intergraph Corp Hexagon AB 2,125.0 Technology
38,816.3
2010 acquisitions of high-yield issuers by industry Percent of total debt affected
Note: Based on data through November 30, 2010.Sources: Bloomberg; J.P. Morgan.
Energy18.8%
Financial11.8%
Food and Beverages5.7%
Gaming Lodging and Leisure1.2%
Healthcare8.7%
Housing0.4%
Paper and Packaging0.8%
Metals and Mining1.7%
Industrials3.3%
Retail5.6%
Services4.0%
Technology14.6%
Telecommunications1.8%
Transportation3.2%
Diversified Media0.3%
Consumer Products0.5%
Chemicals5.5%
Utility1.5%
Automotive4.7% Cable and Satellite
6.0%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
75
4
In 2010 (through November 30), 128 M&A transactions were completed, valued at
over $100 million each, in which the acquirer was a high-yield debt issuer. These
transactions represented $94.3 billion, compared with 47 deals for $48.0 billion in
full-year 2009. Twenty-three deals were valued at more than $1.0 billion in 2010,
compared with seven last year. The largest transaction was Frontier
Communications’ acquisition of 4.8 million access lines from Verizon
Communications. The transaction was valued at $8.2 billion and accounted for 8.7%
of the total volume of M&A transactions in which the acquirer was a high-yield
company. The industry that saw the most transactions was Energy, in which 24
deals took place, or 19% of the total. By dollar volume affected, Energy was the
most affected industry, with $15.4 billion in total debt affected (16%), and followed
by Telecommunications ($12.4 billion, 13%).
2010 acquisitions by high-yield issuers by industryPercent of total debt affected
Note: Based on data through November 30, 2010.Sources: Bloomberg; J.P. Morgan.
Technology3.6%
Services3.3%
Retail0.6%
Paper and Packaging1.1%
Metals and Mining7.8%
Industrials3.9%
Housing0.6% Healthcare
11.1% Gaming Lodging and Leisure1.2%
Food and Beverages4.3%
Financial5.2%
Broadcasting0.4%
Automotive3.5%
Utility2.8%
Transportation3.7%
Telecommunications13.1%
Cable and Satellite6.2%
Chemicals5.3%
Consumer Products4.8%
Diversified Media1.2%
Energy16.3%
Note: 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg.
Largest acquisitions by high-yield issuers 2010
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry01-Jul-10 Verizon Comm: 4.8 million access lines Frontier Communications Corp 8,244.8 Telecommunications28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals10-Mar-10 Encore Acquisition Co Denbury Resources Inc 4,062.2 Energy30-Apr-10 Appalachian E&P Business Consol Energy Inc 3,475.0 Metals and Mining01-Oct-10 General Motors Financial Co Inc General Motors Co 3,306.5 Automotive08-Nov-10 Inergy Holdings LP Inergy LP 3,222.0 Energy01-Oct-10 Continental Airlines Inc United Continental Holdings Inc 3,185.6 Transportation06-May-10 Tommy Hilfiger Corp Phillips-Van Heusen Corp 3,144.6 Consumer Products16-Nov-10 Psychiatric Solutions Inc Universal Health Services Inc 3,114.4 Healthcare
Total 41,266.4
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
76
4
Equity issuanceTotal public equity issuance of $154.8 billion in 2010 (through November 30) was
down 32% from last year’s $229.1 billion. By comparison, total equity issuance was
$174.9 billion in 2008, $188.8 billion in 2007, and $152.7 billion in 2006. There
were 171 IPOs during the year totaling $44 billion, compared with 545 additional
offerings totaling $110.7 billion. In 2009, IPOs totaled 80 and $20 billion, while
additionals totaled 653 and $209 billion. Activity was relatively even through the
first three quarters, as total issuance was $32 billion in 1Q, $35 billion in 2Q, and
$37 billion in 3Q. However, during the first two months of 4Q, equity issuance
totaled $51.3 billion. High-yield equity offerings totaled a record-high $43.9 billion
through November 30, compared with $29.1 billion during full-year 2009 and a 15-
year average of $23.3 billion per year. The percentage of total equity issuance that
belonged to high-yield companies was 28.4%, another record, compared with 12.7%
in 2009.
Public equity issuance by high-yield issuers versus S&P 500 price-to-earnings ratio
Note: Fourth-quarter 2010 is through November 30.Sources: J.P. Morgan; Bloomberg.
$0.0
$20.0
$40.0
$60.0
$80.0
$100.0
$120.0
1Q90
4Q90
3Q91
2Q92
1Q93
4Q93
3Q94
2Q95
1Q96
4Q96
3Q97
2Q98
1Q99
4Q99
3Q00
2Q01
1Q02
4Q02
3Q03
2Q04
1Q05
4Q05
3Q06
2Q07
1Q08
4Q08
3Q09
2Q10
Publi
c equ
ity is
suan
ce ($
bn)
0.0x
10.0x
20.0x
30.0x
40.0x
50.0x
60.0x
70.0x
S&P 500 P/E ratio
Equity issuance S&P 500 price-to-earnings ratio
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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2010 High-Yield Annual Review
December 2010
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4
The Energy sector, like last year, accounted for the greatest number of high-yield
equity offerings; 30 deals (26.8%) totaling $6.0 billion (13.7%) priced in 2010. The
Financial and Transportation sectors saw the second and third largest number of
equity offerings, with 18 (16.1%) and 11 (9.8%), respectively. In terms of dollar
volume of high-yield offerings, Automotive companies, with $17.3 billion of
issuance was easily the most of any sector, accounting for nearly 40% of the total
transaction volume in 2010. Financial offerings totaled $7.9 billion (18.0%), good
for the second highest total, followed by the previously mentioned Energy sector.
Quarterly public equity issuance by high-yield issuers
Note: 4Q10 data is through November 30.Sources: J.P. Morgan; Bloomberg.
5.84.8
2.7
6.25.6
1.3
9.6
3.0
7.4
1.31.71.42.8
4.64.25.5
6.38.18.1
6.8
4.0
8.9
6.7
9.17.4
4.6
7.98.9
12.9
3.64.12.4
5.9 5.1
1.7 2.4
10.4
5.8
9.1 9.8
3.1
21.9
10.5
14.4
$0.0
$5.0
$10.0
$15.0
$20.0
$25.0
1Q00
3Q00
1Q01
3Q01
1Q02
3Q02
1Q03
3Q03
1Q04
3Q04
1Q05
3Q05
1Q06
3Q06
1Q07
3Q07
1Q08
3Q08
1Q09
3Q09
1Q10
3Q10
Publi
c equ
ity is
suan
ce ($
bn)
2010 equity issuance by high-yield issuers Percent of total issuers
Note: 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg.
Retail2.7%
Paper and Packaging1.8%
Metals and Mining4.5%
Industrials5.4%
Healthcare2.7%
Housing2.7%
Food and Beverages0.9%
Gaming Lodging and Leisure4.5%
Utility0.9%
Automotive7.1%
Energy26.8%
Financial16.1%
Services2.7%
Technology6.3%
Chemicals1.8%
Cable and Satellite1.8%
Consumer Products1.8%
Transportation9.8%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
78
4
CallsDue to robust capital market conditions, the total volume of called debt increased
two-fold year over year in 2010, as 179 companies called all or part of 244 issues
totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion in
2009. This year’s total is on pace to become the second highest total on record,
trailing only 2004’s $60.7 billion of called high-yield bonds. Thirty issues were
called in the Energy sector, or 12.3% of total issues, the most among all industries.
Also contributing a large number of calls were the Housing and Consumer Products
sectors, contributing 18 and 17 transactions, respectively. As a percent of total dollar
volume called, Energy accounted for 12.7%, totaling $5.8 billion, the largest vol-
ume of any sector, followed by Metals and Mining ($4.2 billion, 9.3%) and
Financial ($4.1 billion, 9.1%).
Note: 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg.
Largest equity offerings by high-yield issuers 2010
Date Issuer Amount ($mn) Industry18-Nov-10 General Motors Co 15,774.0 Automotive15-Nov-10 General Growth Properties Inc 1,991.3 Financial25-Mar-10 Consol Energy Inc 1,636.3 Metals and Mining16-Nov-10 El Paso Pipeline Partners LP 1,220.9 Energy16-Nov-10 TRW Automotive Holdings Corp 1,058.9 Automotive12-Nov-10 Sensata Technologies Holding NV 1,050.8 Industrials15-Apr-10 CF Industries Holdings Inc 1,000.0 Chemicals14-Apr-10 Popular Inc 1,000.0 Financial13-Oct-10 MGM Resorts International 868.8 Gaming Lodging and Leisure13-Aug-10 Avago Technologies Ltd 739.3 Technology
Total 26,340.2
Amount of high-yield bonds called
Note: 2010 data is through November 30.Source: J.P. Morgan.
45.3
22.7
14.9
46.3
27.4
38.2
60.7
37.6
17.111.611.510.4
14.8
5.65.05.5
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Calle
d deb
t ($ b
n)
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
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4
TendersTendered debt increased to $47.9 billion in 2010, up from $45.5 billion during all of
last year, and on pace to become the second highest volume all time. The current
record is $63.8 billion that was tendered in 2007. The Financial sector accounted for
largest number of tenders (52, 15.8%), followed by Housing (40, 12.2%) and
Energy (33, 10.0%). The Energy sector accounted for the largest tendered-debt vol-
ume ($8.0 billion, 16.6%), followed by Cable and Satellite ($3.9 billion, 8.2%) and
Healthcare ($3.8 billion, 7.8%).
2010 high-yield bond calls by industry Percent of total issues
Note: 2010 data is through November 30.Source: J.P. Morgan
Telecommunications3%
Technology4%
Services5%
Retail6%
Paper and Packaging5%
Diversified Media2%
Healthcare6%
Housing7%
Industrials5%
Metals and Mining4%
Gaming Lodging and Leisure
6%
Food and Beverages5%
Financial6%
Energy12%
Automotive3%
Utility2%
Transportation3%
Broadcasting2% Cable and Satellite
3%Chemicals
3%
Consumer Products7%
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest calls in the high-yield market 2010
Date Issuer Amount ($mn) Industry16-Sep-10 Chesapeake Energy 2,040.0 Energy18-Nov-10 MetroPCS 1,636.9 Telecommunications08-Nov-10 FMG Finance Pty Ltd 1,593.5 Metals and Mining04-Nov-10 CIT Group Funding Co of Delaware 1,397.0 Financial15-Feb-10 Icahn Enterprises 1,330.8 Financial29-Nov-10 Host Marriott 1,171.0 Gaming Lodging and Leisure29-Nov-10 United Rentals 1,155.5 Services01-Apr-10 Freeport-McMoRan Copper & Gold 1,000.0 Metals and Mining29-Sep-10 Goodyear Tire & Rubber 972.9 Automotive29-Nov-10 Nielsen Finance LLC 870.0 Diversified Media
Total 13,167.7
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
80
4
Amount of high-yield debt tendered
Note: 2010 data is through November 30.Source: J.P. Morgan.
1.2 2.2 3.6 6.1
13.6
22.415.7 12.9
9.6 8.8
18.6
40.2 38.7
49.0
63.8
35.5
45.5 47.9
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Tend
ered
debt
($ bn
)
2010 high-yield bond tenders Percent of total debt affected
Note: 2010 data is through November 30.Source: J.P. Morgan
Metals and Mining3.7%
Paper and Packaging3.7%
Industrials6.2%
Retail5.2%
Services1.8%
Technology5.6%
Housing5.0%
Healthcare7.8%
Gaming Lodging and Leisure3.7%
Food and Beverages3.1%
Financial4.4%
Transportation1.8%
Telecommunications5.6%
Broadcasting2.5%
Energy16.6%
Diversified Media0.9%
Automotive2.8%
Utility2.0%
Chemicals3.6%
Cable and Satellite8.2%
Consumer Products5.8%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
81
4
Note: 2010 data is through November 30.Source: J.P. Morgan.
Largest high-yield tendered deals by high-yield issuers 2010
Date Issuer Amount ($mn) Industry16-Feb-10 Williams Companies 2,999.8 Energy11-May-10 Charter Communications 1,421.8 Cable and Satellite30-Aug-10 Chesapeake Energy 1,394.2 Energy24-Mar-10 Qwest Capital Funding 1,297.9 Telecommunications01-Nov-10 Davita 1,288.5 Healthcare30-Aug-10 Wynn Las Vegas 1,234.0 Gaming Lodging and Leisure04-May-10 Rexnord 1,067.4 Industrials22-Sep-10 Visant Holding Corporation 1,026.0 Consumer Products10-May-10 Cablevision Systems 973.2 Cable and Satellite30-Sep-10 Freescale Semiconductor 969.3 Technology
Total 13,672.0
International event riskThe net impact of event risk in the international high-yield market was positive in
2010. Similar to the domestic default environment, international default activity was
benign throughout the year. Only 7 non-domestic companies defaulted in 2010,
totaling US-equivalent $3.2 billion in bonds—there were no defaults affecting loans
in 2010. By comparison, international defaults totaled 41 companies and a US-
equivalent $16.2 billion in bonds and loans in 2009. International defaults
accounted for 14.6% of global high-yield defaults, compared with 7.5% in
2009, 9.7% in 2008, 15.8% in 2007 and 24.3% in 2006. Breaking down interna-
tional defaults by region, 4 companies were from Europe, 1 was from Asia, and 2
were from Latin America.
International credit conditions improved in 2010, as upgraded issuers outnumbered
downgraded issuers. The upgrade-to-downgrade ratio by issuer was 1.23:1, with 53
issuers receiving upgrades and 43 receiving downgrades (includes US-dollar issues
from non-domestic issuers, as well as euro and sterling denominated debt from
global issuers). By comparison, 33 companies were upgraded and 91 downgraded in
2009 (0.36:1). By dollar volume (with euro- and sterling-denominated debt
exchanged into US dollars), $62.0 billion in debt was upgraded, while $42 billion
was downgraded (1.47:1). In 2009, $27.0 billion in debt was upgraded, while $67.9
billion was downgraded (0.40:1).
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
82
4
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
83
5
High-Yield Equity Index review
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
84
5
North American Yield Research
2010 High-Yield Annual Review
December 2010
85
5
High-Yield Equity Index review
Highlights for the year
• The J.P. Morgan High-Yield Equity Index provided investors with a 13.7% return
year-to-date through October 29, 2010, compared with the J.P. Morgan Global
High-Yield Bond Index’s return of 14.1% and the S&P 500’s return of 7.8%.
• Seventeen of the 21 industries in the J.P. Morgan High-Yield Equity Index pro-
vided positive returns. Gaming Lodging and Leisure was the best performer,
returning 66.0%, followed by Transportation, 40.5%, and Chemicals, 34.5%. The
worst performing industry was Housing, which returned -9.9%, followed by
Utility, -8.0%.
• The correlation between stocks and high-yield bonds increased, to 73.5% at the
end of October, from 48.8% at the end of last year.
• The J.P. Morgan High-Yield Equity Index included 550 high-yield companies as
of October 29, 2010, compared with 528 companies at the end of 2009. The mar-
ket capitalization of the index increased to $1.5 trillion, up 14% from last year’s
$1.3 trillion.
• The Energy industry remained the largest in the J.P. Morgan High-Yield Equity
Index, constituting 18.2% of the index, slightly higher than the 16.0% weighting
at the end of last year. Other industries include Telecommunications (10.6%),
Financial (9.2%), and Gaming Lodging and Leisure (6.9%).
High-yield equity performance
The J.P. Morgan High-Yield Equity Index provided investors with a 13.67% year-
to-date total return through October 29, 2010, on the heels of a 35.61% full-year
return in 2009. The High-Yield Equity Index outperformed other equity bench-
marks, as the S&P 500 returned +7.84%; the Russell 2000 returned +13.59%; and
the Dow Jones Industrial Average returned +8.96%. Last year the HY Equity Index
outperformed these three indices by an average of 10.2%. As one would expect, the
High-Yield Equity Index has historically outperformed broader equity indices dur-
ing periods of improving risk appetites, and underperformed during periods of rising
volatility and default risk. For example, in 2008, amidst record default activity, the
HY Equity Index underperformed the three broader equity indices by an average
21%. Further to this point, from 2000 through 2002, a period characterized by high
default volumes, the HY Equity Index underperformed the S&P 500 by an average
of nearly 13% each year. Meanwhile, during the extended period of low default risk
from 2003 through 2007, the HY Equity Index outperformed the S&P 500 by an
average of 10.6% each year.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
86
5
Seventeen of the 21 industries that constitute the J.P. Morgan High-Yield
Equity Index provided positive returns through October 29. Gaming Lodging
and Leisure was this year’s best performer, as it returned 66% YTD. Las Vegas
Sands (LVS), easily the largest company and best performer within the sector, was
the primary contributor to the industry’s strong performance. The company’s stock
price rose 207% to $45.88, from $14.94 at the end of 2009 and its total market
weighted contribution to the sector’s performance was 32.7%. In fact, the compa-
ny’s weighted average contribution to the overall equity index’s 13.7% was 158bp,
tops among all constituents in the index (second was Ford’s 105bp contribution).
The company’s strong performance is in large part the result of strong results from
their Singapore and Macau properties. The second best performing industry was
Transportation, returning +41%. The strong performance was driven by the air-
line companies, as the three largest contributors to the sectors’ performance were
United Continental Holdings (UAL), Delta Air Lines (DAL), and US Airways
Group (LCC). UAL, the sector’s second largest company, returned 125% during the
YTD period, as its stock priced increased to $29.04, from $12.91 at the start of the
year. Its overall market weighted contribution to the Transportation sector’s 41%
return was nearly half at 19.3%. Meanwhile, DAL, the sector’s largest company,
and LCC, the sector’s top performer, contributed market weighted contributions of
7.4% and 4.2%, respectively. Much of the performance was driven by capacity and
cost rationalization, mainly through consolidation (United Continental being the
largest transaction), and improving booking trends. Rounding out the top five per-
formers were Chemicals, (+34.5%), Automotive (+32.4%, led by Ford Motor
Company, which accounted for almost two-thirds of the sector return with a market
weighted contribution of 20%), and Cable and Satellite (+31.9%).
The worst performing industry was Housing, as it returned -10%. The decline
was broadly distributed as seven of the 22 companies in the sector had returns of
-20% or worse, including the three largest companies, CEMEX, Masco, and Pulte
Home. Also providing negative returns YTD were Utilities (-8%), Diversified
Media (-1.1%), and Technology (-0.7%).
Returns of various assets
1. Through October 29, 2010.Source: J.P. Morgan.
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101
10-Year Treasury -8.45% 15.11% 3.74% 14.63% 1.73% 4.68% 1.93% 1.32% 9.76% 20.22% -8.76% 13.96%JPMorgan JULI High-Grade Index -1.89% 9.86% 10.70% 10.98% 7.86% 5.28% 1.68% 4.29% 5.34% -1.84% 16.72% 10.94%JPMorgan Global HY Index 3.38% -5.83% 5.48% 2.14% 27.50% 11.55% 3.07% 11.45% 2.88% -26.83% 58.90% 14.08%JPMorgan HY Equity Index 30.20% -24.48% -27.18% -29.79% 56.03% 21.81% 14.19% 16.83% 10.01% -55.60% 35.61% 13.67%Russell 2000 21.26% -2.91% 2.56% -22.01% 47.29% 18.45% 4.63% 18.44% -1.56% -33.49% 27.18% 13.59%S&P 500 21.04% -9.10% -11.87% -22.10% 28.69% 10.87% 4.93% 15.80% 5.49% -37.00% 26.46% 7.84%Dow Jones Industrial Average 27.20% -4.72% -5.44% -15.01% 28.29% 5.31% 1.72% 19.04% 8.88% -31.93% 22.68% 8.96%JPM EMBI Global 24.18% 14.41% 1.36% 13.12% 25.66% 11.73% 10.73% 9.88% 5.86% -10.91% 28.18% 16.11%Leveraged Loans 8.29% 2.52% 3.76% 2.29% 6.82% 6.16% 5.47% 6.77% 2.00% -29.10% 51.62% 8.38%FTSE 100 21.01% -8.00% -13.85% -21.95% 18.39% 11.64% 21.28% 14.89% 7.59% -27.99% 27.90% 8.24%MSCI Europe 54.44% -10.37% -21.08% -17.44% 39.64% 21.66% 10.83% 34.54% 15.75% -47.34% 38.02% 4.78%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
87
5
JPMorgan High-Yield Equity Index Year-to-date returns by industry1
1. Through October 29, 2010.Source: J.P. Morgan.
40.5%34.5% 32.4% 31.9%
24.6% 24.2%19.9%
14.7% 13.7% 10.7% 10.1% 8.5% 7.1% 5.4% 5.4% 3.5% 1.6%
-0.7% -1.1%-8.0% -9.9%
66.0%
-20.0%
0.0%
20.0%
40.0%
60.0%
80.0%
Gami
ng Lo
dging
and
Leisu
re
Tran
spor
tation
Chem
icals
Autom
otive
Cable
and S
atellit
e
Retai
l
Finan
cial
Indus
trials
Cons
umer
Pro
ducts
JPM
HY E
quity
Inde
x
Telec
ommu
nicati
ons
Broa
dcas
ting
Pape
r and
Pac
kagin
g
Servi
ces
Food
and B
ever
ages
Ener
gy
Metal
s and
Mini
ng
Healt
hcar
e
Tech
nolog
y
Dive
rsifie
d Med
ia
Utilit
y
Hous
ing
JPMorgan High-Yield Equity Index Year-to-date gainers
Source: J.P. Morgan.
Price PriceGainers Ticker 31-Dec-09 29-Oct-10 Px change % change IndustryNetflix NFLX 55.09 173.57 118.48 215.1% RetailLas Vegas Sands LVS 14.94 45.88 30.94 207.1% Gaming /LeisureAmerican Capital ACAS 2.44 6.98 4.54 186.1% FinancialHawk HWK 17.61 49.83 32.22 183.0% IndustrialsMBIA MBI 3.98 11.21 7.23 181.7% FinancialPark-Ohio Industries PKOH 5.65 15.89 10.24 181.2% IndustrialsPolypore PPO 11.90 33.27 21.37 179.6% IndustrialsUS Airways Group LCC 4.84 11.79 6.95 143.6% TransportationKRATON Polymers KRA 13.56 32.46 18.90 139.4% ChemicalsTrimas Corp TRS 6.77 15.83 9.06 133.8% IndustrialsUnited Continental Holdings UAL 12.91 29.04 16.13 124.9% TransportationCommercial Vehicle CVGI 5.99 13.43 7.44 124.2% IndustrialsMariner Energy ME 11.61 24.92 13.31 114.6% EnergyColeman Cable CCIX 3.40 7.14 3.74 110.0% IndustrialsMcMoRan Exploration MMR 8.02 16.84 8.82 110.0% EnergyThermadyne Holdings THMD 7.27 15.08 7.81 107.4% IndustrialsQuiksilver Inc ZQK 2.02 4.17 2.15 106.4% Consumer ProductsAtlas Pipeline Partners APL 9.81 19.79 9.98 101.7% EnergyProspect Medical PZZ 4.25 8.44 4.19 98.6% HealthcareSinclair Broadcast SBGI 4.03 7.99 3.96 98.3% Broadcasting
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
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December 2010
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5
JPMorgan High-Yield Equity Index Year-to-date losers
Source: J.P. Morgan.
Price PriceLosers Ticker 31-Dec-09 29-Oct-10 Px change % change IndustryDex One Corporation DEXO 27.92 7.01 -20.91 -74.9% Diversified MediaGreat Atlantic & Pacific Tea GAP 11.79 3.44 -8.35 -70.8% RetailGlobal Cash Access GCA 7.49 3.64 -3.85 -51.4% Gaming/LodgingHercules Offshore HERO 4.78 2.36 -2.42 -50.6% EnergySterling Chemicals SCHI 7.00 3.50 -3.50 -50.0% ChemicalsSkilled Healthcare Group SKH 7.45 3.75 -3.70 -49.7% HealthcareDynegy Holdings DYN 9.05 4.64 -4.41 -48.7% UtilityHeadwaters Incorporated HW 6.52 3.40 -3.12 -47.9% Metals and MiningSalem Communications SALM 5.99 3.22 -2.77 -46.2% BroadcastingScientific Games SGMS 14.55 7.92 -6.63 -45.6% Gaming/LodgingEducation Management EDMC 22.01 12.00 -10.01 -45.5% ServicesGeneral Maritime GMR 6.99 3.84 -3.15 -45.1% TransportationComstock Resources CRK 40.57 22.35 -18.22 -44.9% EnergyMetals USA MUSA 21.00 11.96 -9.04 -43.0% Metals and MiningDean Foods DF 18.04 10.40 -7.64 -42.4% Food and BeveragesSandridge Energy SD 9.43 5.47 -3.96 -42.0% EnergyGibraltar Industries Inc ROCK 15.73 9.13 -6.60 -42.0% HousingMueller Water Products MWA 5.20 3.02 -2.18 -41.9% IndustrialsRadnet Management RDNT 3.68 2.16 -1.52 -41.3% HealthcareAK Steel AKS 21.35 12.59 -8.76 -41.0% Metals and Mining
Comparing the industry returns of the equity index with those of the bond
index, we find that equities outperformed bonds in 9 of the 21 sectors. There
were several commonalities in sector performance, as well as a handful of wide dis-
crepancies. Among the industries that performed similarly were Gaming Lodging
and Leisure, Chemicals, Automotive, Cable and Satellite, and Financial, as each
sector was among the seven best (top third) performing industries for both the high-
yield bond and equity markets. At the other end of the spectrum, Technology,
Healthcare, and Energy, were all among the worst third in sector performance for
both asset classes. The largest discrepancy between bond and equity performance
occurred in the Transportation sector, where the equity returns (+41%) ranked it as
the second best performing industry and its bond performance (+6%) ranked as the
worst performer. Other wide discrepancies were evidenced in the Retail sector, as it
was the sixth best in the equity index (+25%) and ranked twentieth in the bond
index (+10%), and the Diversified Media sector, as it was the nineteenth ranked per-
former in the equity index (-1%) and ranked eighth in the bond market (+15%).
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
89
5
Volatility
Equity-market volatility declined in 2010. Volatility, as measured by the Chicago
Board of Options Exchange’s SPX Volatility Index (VIX), which reflects a market
estimate of future volatility, averaged 23.32 during the year, compared with an aver-
age of 31.48 in 2009. During the course of 2010, the VIX declined to a low of
15.58 on April 12, climbed to a high of 45.79 on May 20, and then steadily
declined to 21.20 by the end of October, which, by comparison, matched the 17-
year average for the index. The twelve-month total-return volatility of the J.P.
Morgan High-Yield Equity Index decreased from 32.44% at year-end 2009 to
25.02% in October 2010. By comparison, the J.P. Morgan Global High-Yield
Index’s twelve-month total-return volatility decreased from 11.61% at the end of
last year to 6.48% in October, the lowest level since March 2008.
J.P. Morgan High-Yield Equity Index Year-to-date returns by industry1
1. As of October 29, 2010.Source: J.P.Morgan.
J.P. Morgan HY Equity Index J.P. Morgan Global HY IndexYTD return Rank YTD return Rank
Gaming Lodging and Leisure 66.00% 1 14.76% 7Transportation 40.49% 2 6.06% 21Chemicals 34.47% 3 19.24% 3Automotive 32.37% 4 18.34% 5Cable and Satellite 31.86% 5 15.00% 6Retail 24.64% 6 10.37% 20Financial 24.22% 7 20.91% 1Industrials 19.87% 8 14.43% 9Consumer Products 14.73% 9 13.01% 14Telecommunications 10.69% 10 19.24% 4Broadcasting 10.06% 11 19.91% 2Paper and Packaging 8.53% 12 11.43% 19Services 7.09% 13 11.49% 18Food and Beverages 5.41% 14 13.90% 11Energy 5.40% 15 12.82% 15Metals and Mining 3.55% 16 14.05% 10Healthcare 1.59% 17 12.79% 16Technology -0.70% 18 12.32% 17Diversified Media -1.09% 19 14.52% 8Utility -8.00% 20 13.35% 12Housing -9.90% 21 13.06% 13
Volatility1 declined in 2010
1. Chicago Board of Options Exchange’s SPX Volatility Index (VIX).Source: J.P. Morgan.
31-Oct-08 59.89(intra-month high 80.86)
29-Oct-10 21.20
17-year average= 21.20
0.0
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10
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
5
90
Correlation
Returns on high-yield bonds and equities are thought to be highly correlated—the
twelve-month rolling correlation between high-yield bonds and the S&P 500 has
only averaged 51% over the past 29 years. However, the relationship between these
two asset classes had been very volatile during that time, as illustrated in the follow-
ing chart. Historical data indicate that in times of heightened event risk or uncertain-
ty, the equity and high-yield bond markets tend to react similarly, as investors seek
out safer havens. There serves as no better example than in 2008, when record
volatility led the correlation between high-yield bonds and equities to an all-time-
high 91.4%. As volatility declined during 2009, so too did the correlation between
these assets. During the twelve months ended December 2009, the return correlation
between the J.P. Morgan Global High-Yield Bond Index and the S&P 500 was
48.8%. During the course of 2010, although volatility declined, the correlation
between stocks and high-yield bonds increased to 73.53% as of the end of October.
After a mid-year spike, declining volatility during the second half of the year led to strongerbond and equity performance
Source: J.P. Morgan.
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
4-Ja
n
2-Fe
b
3-Ma
r
31-M
ar
29-A
pr
27-M
ay
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n
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l
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ug
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ep
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ct
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lative
total
retur
n
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25
30
35
40
45
50
VIX
S&PHigh-yield bondsVIX
Twelve-month rolling total-return volatility Annualized
Source: J.P. Morgan.
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
Dec-9
4
Dec-9
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Dec-9
6
Dec-9
7
Dec-9
8
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9
Dec-0
0
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8
Dec-0
9
Annu
alize
d vola
tility
JPMorgan Global High-Yield IndexJPMorgan High-Yield Equity IndexS&P 500 Russell 2000
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
91
5
The correlation between the J.P. Morgan High-Yield Equity Index and the J.P.
Morgan Global High-Yield Bond Index in the twelve-months ended October 29 was
73.6%, up from 70.6% at the end of last year. The long-term average correlation
between these two indices is 62.9%.
Relationship between high-yield bonds and equities is erratic1
1. Twelve-month rolling correlation between the monthly returns of high-yield bonds and the S&P 500.Source: J.P. Morgan.
29-Oct-10 73.53%
-40.0%
-20.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
Jan-
81Ja
n-82
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83Ja
n-84
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85Ja
n-86
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87Ja
n-88
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89Ja
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09Ja
n-10
Corre
lation
Average correlation = 51.04%
JPMorgan JPMorganJPMorgan JPMorgan EMBI- Global HY
5-year 10-year JULI HG Global HY Global Equity S&P Wilshire RussellTreasury Treasury Index Index Composite Index 500 5000 2000
10-year Treasury 0.91JPMorgan JULI High-Grade Index 0.27 0.43JPMorgan Global HY Index -0.41 -0.32 0.55JPMorgan EMBI- Global Composite 0.02 0.19 0.76 0.81JPMorgan Global HY Equity Index -0.40 -0.33 0.42 0.82 0.68S&P 500 -0.32 -0.23 0.38 0.74 0.66 0.93Wilshire 5000 -0.32 -0.23 0.37 0.74 0.66 0.94 1.00Russell 2000 -0.37 -0.28 0.30 0.71 0.61 0.91 0.93 0.95Leveraged loans -0.57 -0.52 0.34 0.92 0.61 0.73 0.62 0.62 0.60
Source: J.P. Morgan.
Correlations among various assets Five years ended October 29, 2010
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
92
5
J.P. Morgan High-Yield Equity Index profile
The J.P. Morgan High-Yield Equity Index included 550 high-yield companies
as of October 29, 2010, compared with 528 companies at the end of 2009. The
combined market capitalization of the index increased to $1.5 trillion, up 14% from
last year’s $1.3 trillion. For reference, the year-end high water-mark for the index’s
market capitalization was $1.7 trillion in 2007. By comparison, the S&P 500 main-
tains a market cap of $11.0 trillion and the Russell 2000 maintains a $1.3 trillion
market cap. In terms of crossover between the J.P. Morgan Index and the broader
indices, only 75 companies overlap in the S&P 500, totaling $585 billion, or 5% of
the S&P 500 Index, while 258 companies overlap with the Russell 2000, totaling
$218 billion, or 17% of the Russell Index. Comparatively, the J.P. Morgan Global
High-Yield Bond Index consisted of 1,038 issuers and totaled $707.1 billion in debt
as of October 29. Overall, 53% of the companies in our high-yield bond index
have public equity (550 out of 1,038).
The average market capitalization of the companies in the J.P. Morgan High-Yield
Equity Index increased to $2.8 billion from $2.5 billion at the end of 2009. Of the
550 companies in the index, 145, or 26.4%, have market capitalizations greater than
$3.0 billion. Meanwhile, based on market weight, these 145 companies account for
nearly three-quarters of the high-yield equity index. The Energy sector accounts for
25 of these companies (17%) and $202 billion (19%). The Financial and
Telecommunications sectors were next, with each accounting for 13 of the index’s
154 largest companies.
JPMorgan high-yield equity and bond index profiles
Source: J.P. Morgan.
31-Dec-99 31-Dec-01 31-Dec-03JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorganGlobal HY HY Equity Global HY HY Equity Global HY HY Equity
Index Index Index Index Index IndexNumber of issuers 1,282 622 1,187 603 1,224 595Market value ($ mn) $301,694 $982,910 $288,441 $723,527 $435,329 $1,080,457 Average size ($ mn) $235 $1,580 $243 $1,200 $356 $1,816 Total cumulative return 3.4% 30.2% 5.5% -27.2% 27.5% 56.0%
30-Dec-05 29-Dec-06 31-Dec-07JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorganGlobal HY HY Equity Global HY HY Equity Global HY HY Equity
Index Index Index Index Index IndexNumber of issuers 1,074 537 1,033 519 947 474Market value ($ mn) $459,784 $1,388,569 $485,598 $1,515,392 $483,630 $1,659,026 Average size ($ mn) $428 $2,586 $470 $2,920 $511 $3,500 Total cumulative return 3.1% 14.2% 11.5% 16.7% 2.9% 10.1%
31-Dec-08 31-Dec-09 31-Oct-10 JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan Global HY HY Equity Global HY HY Equity Global HY HY Equity
Index Index Index Index Index IndexNumber of issuers 866 419 973 528 1,038 550Market value ($ mn) $310,678 $681,964 $577,054 $1,331,480 $707,141 $1,518,120 Average size ($ mn) $424 $1,659 $593 $2,522 $681 $2,760 Total cumulative return -26.8% -55.6% 58.9% 35.6% 14.1% 13.7%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
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December 2010
93
5
JPMorgan High-Yield Equity Index profile Market weight by market capitalization1
1. As of October 29, 2010.Source: J.P. Morgan.
Greater than $3.0 bn72.1%
$250 mn-500 mn1.7%
$100 mn-250 mn0.5%
Less than $100 mn0.1%
$500 mn-1.0 bn3.7%
$2.0 bn-3.0 bn10.3%
$1.0 bn-2.0 bn11.6%
Change31-Dec-09
29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Less than $100 mn 0.1% 0.1% 0.4% 0.1% 0.1% 0.0%$100 mn-250 mn 0.4% 0.4% 1.5% 0.6% 0.5% -0.1%$250 mn-500 mn 1.2% 1.4% 4.2% 1.9% 1.7% -0.2%$500 mn-1.0 bn 4.5% 2.9% 7.2% 4.1% 3.7% -0.4%$1.0 bn-2.0 bn 11.7% 9.0% 17.9% 12.1% 11.6% -0.5%$2.0 bn-3.0 bn 10.2% 7.9% 14.4% 11.6% 10.3% -1.4%Greater than $3.0 bn 71.9% 78.4% 54.5% 69.5% 72.1% 2.6%
JPMorgan High-Yield Equity Index profile Market weight by market capitalization, by number of companies1
1. As of October 29, 2010.Source: J.P. Morgan.
$250 mn-500 mn12.4%
$2.0 bn-3.0 bn11.5%
$1.0 bn-2.0 bn21.5%
$100 mn-250 mn8.4%
Less than $100 mn5.5%
$500 mn-1.0 bn14.5%
Greater than $3.0 bn26.4%
Change31-Dec-09
29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Less than $100 mn 9.2% 6.6% 14.6% 7.8% 5.5% -2.3%$100 mn-250 mn 6.0% 7.5% 13.3% 8.9% 8.4% -0.5%$250 mn-500 mn 8.8% 12.4% 17.0% 12.5% 12.4% -0.1%$500 mn-1.0 bn 16.9% 13.3% 14.6% 14.2% 14.5% 0.3%$1.0 bn-2.0 bn 22.5% 20.6% 18.7% 21.0% 21.5% 0.4%$2.0 bn-3.0 bn 11.6% 10.9% 9.0% 11.7% 11.5% -0.3%Greater than $3.0 bn 25.0% 28.7% 12.9% 23.9% 26.4% 2.5%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
94
5
Largest issuers by market capitalization in the JPMorgan Global High-Yield Equity Index As of October 29, 2010
A look at the J.P. Morgan High-Yield Equity Index’s top issuers (by market capital-
ization) reveals many fallen angels of the past few years. Some past fallen angels
include, Ford Motor Company (ranked number 1), this year’s largest fallen angel,
Anadarko Petroleum (3rd), and American International Group (4th). The list of this
year’s top 20 issuers varies quite a bit from last year, as seven companies have been
replaced. The largest newcomer to the top 20 was the previously mentioned
Anadarko. Three of the top nine largest companies in 2009 were removed in 2010
as a result of their upgrade to investment-grade, namely Freeport-McMoRan Copper
& Gold (last year’s largest), DIRECTV (2nd largest), and Teck-Resources (9th
largest). In all, the 20 largest companies accounted for 24.6% of the equity
index as of October 29, compared with only 13.2% for the top twenty issuers in
the bond index. Four companies were among the top 20 largest within both the
equity and bond indices, notably Ford Motor Company was the largest company in
the equity index and the fifth largest in the bond index, while Anadarko Petroleum
was the third and tenth largest company in each index, respectively. The reason so
few companies overlap among the top 20 is due to the large number of LBO deals
in the bond index. For example, Harrah’s, Intelsat, HCA, and First Data are among
the 7 largest companies in the bond index and all were LBOs. In addition, CIT and
LBI Escrow (LyondellBasell), the two largest companies in the bond index,
emerged from default with new debt structures that included very large bonds, while
the equity ranks outside the top 20 (42 and 35, respectively).
Largest issuers by market capitalization in the JPMorgan Global High-Yield Bond Index As of October 29, 2010
Source: J.P. Morgan. Source: J.P. Morgan.
Mkt. Cap MarketIssuer ($ bn) Weight SectorCIT Group 12.6 1.8% FinancialLBI Escrow 6.0 0.9% ChemicalsHarrah's Operating 5.5 0.8% Gaming LodgingIntelsat Bermuda 5.5 0.8% Cable/SatelliteFord Motor Company 5.2 0.7% AutomotiveHCA Inc. 4.9 0.7% HealthcareFirst Data Corporation 4.9 0.7% TechnologyNextel Communications 4.5 0.6% Telecom.Int’l. Lease Finance Corp. 4.2 0.6% FinancialAnadarko Petroleum 4.1 0.6% EnergySLM Corp 4.1 0.6% FinancialEnergy Future Holdings 4.1 0.6% UtilityAlly Financial 3.9 0.6% FinancialNRG Energy Inc 3.6 0.5% UtilityFMG Finance Pty Ltd 3.6 0.5% Metals/MiningCharter Comm. Operating 3.3 0.5% Cable/SatelliteCalpine 3.2 0.5% UtilityChesapeake Energy 3.1 0.4% EnergyDish DBS 3.1 0.4% Cable And SatelliteReynolds Group Issuer 3.1 0.4% Paper/Packaging
93.0 13.2%
Mkt. Cap MarketIssuer Ticker ($ bn) Weight SectorFord Motor Company F 48.1 3.2% AutomotiveLas Vegas Sands LVS 31.4 2.1% Gaming/LodgingAnadarko Petroleum APC 30.5 2.0% EnergyAmerican Int’l. Group AIG 29.3 1.9% FinancialMobile Telesystems MBT 21.6 1.4% Telecom.American Tower AMT 20.6 1.4% Telecom.VimpelCom Ltd VIP 19.8 1.3% Telecom.Motorola Inc MOT 19.2 1.3% TechnologyRepsol YPF SA YPF 15.7 1.0% EnergyPeabody Energy BTU 14.3 0.9% Metals/MiningChesapeake Energy CHK 14.2 0.9% EnergyWynn Resorts Ltd WYNN 13.3 0.9% Gaming/LodgingWilliams Companies WMB 12.6 0.8% EnergyCrown Castle Int’l. CCI 12.5 0.8% Telecom.General Growth Prop. GGP 12.5 0.8% FinancialSprint Nextel Corp S 12.2 0.8% Telecom.Southwestern Energy SWN 11.7 0.8% EnergyPhilippine Long Distance PHI 11.6 0.8% Telecom.Qwest Comm. Int’l. Q 11.5 0.8% Telecom.Delta Air Lines DAL 11.0 0.7% Transportation
373.5 24.6%
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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alisa.meyers@jpmchase.com
North American Yield Research
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December 2010
95
5
The Energy industry remained the largest in the J.P. Morgan High-Yield Equity
Index, accounting for 18.2% of the index as of October 29, 2010, slightly higher
than the 16.0% weighting at the end of last year. Other industries include
Telecommunications (10.6%), Financial (9.2%), and Gaming Lodging and Leisure
(6.9%). Not surprisingly, five companies in the Energy sector were among the twen-
ty largest equity market caps in the index, while seven companies in the
Telecommunications sector were ranked in the top 20. The smallest industries in the
J.P. Morgan High-Yield Equity Index in terms of market capitalization were
Broadcasting (0.3%) and Diversified Media (1.0%).
JPMorgan High-Yield Equity Index profile Market weight by industry1
1. As of October 29, 2010Source: J.P. Morgan.
Consumer Products1.9%
Energy18.2%
Healthcare6.4%
Housing2.7%
Industrials5.2%
Retail5.1%
Services2.3%
Technology4.9%
Telecommunications10.6%
Transportation2.4% Utility
1.9%
Metals and Mining3.5%
Paper and Packaging
3.3%
Broadcasting0.3%
Automotive6.0%
Cable and Satellite2.3%
Chemicals3.9%
Diversified Media1.0%
Financial9.2%
Food and Beverages1.9%
Gaming Lodging and Leisure6.9%
Change31-Dec-09 to
29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Automotive 4.2% 3.4% 2.5% 5.0% 6.0% 1.0%Broadcasting 1.2% 1.5% 0.2% 0.3% 0.3% 0.0%Cable and Satellite 4.6% 3.6% 5.3% 4.0% 2.3% -1.8%Chemicals 2.7% 5.9% 2.3% 2.1% 3.9% 1.8%Consumer Products 2.7% 1.6% 2.1% 2.2% 1.9% -0.3%Diversified Media 2.3% 1.1% 0.5% 1.0% 1.0% 0.0%Energy 13.1% 13.3% 17.9% 16.0% 18.2% 2.1%Financial 6.0% 4.5% 4.9% 7.8% 9.2% 1.4%Food and Beverages 3.1% 3.0% 2.7% 1.9% 1.9% 0.0%Gaming/Leisure 8.8% 8.5% 4.1% 4.4% 6.9% 2.5%Healthcare 4.8% 4.9% 6.6% 6.3% 6.4% 0.1%Housing 2.5% 1.4% 2.8% 3.3% 2.7% -0.7%Industrials 4.4% 5.4% 6.6% 4.8% 5.2% 0.4%Metals and Mining 5.3% 8.5% 5.9% 8.4% 3.5% -4.9%Paper and Packaging 1.9% 2.2% 3.3% 3.6% 3.3% -0.2%Retail 4.6% 4.6% 6.1% 4.3% 5.1% 0.8%Services 2.3% 3.3% 3.6% 2.7% 2.3% -0.3%Technology 10.6% 7.1% 4.6% 6.5% 4.9% -1.6%Telecommunications 7.5% 10.6% 10.2% 10.9% 10.6% -0.3%Transportation 1.6% 1.6% 3.2% 2.2% 2.4% 0.2%Utility 6.0% 4.1% 4.4% 2.2% 1.9% -0.3%
The Gaming Lodging and Leisure sector exhibited the largest year-over-year
increase in market weight, accounting for 6.9% of the index as of October 29, 2010,
up from 4.4% at year-end 2008 (+2.5%). The increase in market weight was attribut-
able to the sector’s strong performance, as it’s +66.0% return was, by far, the best
among all sectors. The biggest gainer within the sector was Las Vegas Sands’ 207%
gain, the company which was the second largest in the index, certainly was impact-
ful. Wynn Resorts, the 12th largest company in the index, also performed well, with
a +84% return. The biggest decline in market weight for an industry occurred in the
Metals and Mining sector, as it fell to 3.5% from 8.4% y/y. The sharp decline was
due to the upgrade to investment-grade of Freeport McMoRan Copper & Gold and
Teck Resources. The two companies accounted for the largest and ninth largest com-
panies overall in the index at year-end last year, and upon their upgrade, and
removal from the index, resulted in a combined 4.1% of total market weight exiting
the index.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
96
5
Industry weight changes of the JPMorgan High-Yield Equity Index December 31, 2009 to October 29, 2010
Source: J.P. Morgan.
2.5% 2.1% 1.8%1.4% 1.0% 0.8%
0.4% 0.2% 0.1% 0.0%
0.0% 0.0% -0.2% -0.3% -0.3% -0.3% -0.3% -0.7%
-1.6% -1.8%
-4.9%-6.0%-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%
Gami
ng Lo
dging
and
Leisu
re Ener
gy
Chem
icals
Finan
cial
Autom
otive
Retai
l
Indus
trials
Tran
spor
tation
Healt
hcar
e
Broa
dcas
ting
Food
and B
ever
ages
Dive
rsifie
d Med
ia
Pape
r and
Pac
kagin
g
Utilit
y
Cons
umer
Pro
ducts
Telec
ommu
nicati
ons
Servi
ces
Hous
ing
Tech
nolog
y
Cable
and S
atellit
e
Metal
s and
Mini
ng
As of October 29, 2010, the Energy sector exhibited the largest difference in market
weight between the J.P. Morgan High-Yield Equity Index and the J.P. Morgan
Global High-Yield Bond Index, accounting for 18.2 % of the equity index but only
12.1% of the bond index. Despite this difference in market weights, Energy was still
the largest industry in both indices. The Telecommunications sector exhibited the
second largest difference in market weights between the two indices, representing
10.6% of the equity index and only 6.5% of the bond index. The Service industry,
with a 4.4% market weight in the bond index and a 1.9% market weight in the equi-
ty index, represented the biggest discrepancy in weightings where the bond market
weight exceeded the equity weight. This is due in large part to several of the compa-
nies in the sector having investment-grade ratings on the majority of their capital
structure, and as such, the high-yield rated bonds are included in the bond index, but
the equities are excluded because of the predominantly investment-grade corporate
ratings. (For example, NV Energy has two BB-rated bonds in the bond index, but
the majority of the capital structure is rated BBB, excluding its $44 billion market
cap (2.8%) from the equity index.)
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
97
5
The average rating quality of the high-yield equity index is higher than that of the
high-yield debt index. For example, 51.1% (by market value) of the equities in our
index with associated debt obligations are rated BB or better, while only 30.6% of
our debt index is rated BB or better. Although this difference is likely skewed by the
number of large market caps among the equity index’s companies, the percentages
by number of issues illustrates the same findings, albeit to a lesser degree. For
example, as a percentage of the number of issues, 30.7% of the equities are associ-
ated with bonds rated BB or better versus 27.6% for the bond index. Equities asso-
ciated with lower rated bonds (those rated Split B, CCC, nonrated, or defaulted)
constitute 5.8% of the equity index by market value, compared with 23.8% within
the bond index.
Difference between the JPMorgan high-yield equity and bond indices Market weight by industry as of October 29, 2010
Global HY HY EquityIndex Index Difference
Automotive 3.1% 6.0% -3.0%Broadcasting 1.6% 0.3% 1.3%Cable and Satellite 4.4% 2.3% 2.1%Chemicals 4.1% 3.9% 0.2%Consumer Products 2.1% 1.9% 0.2%Diversified Media 2.0% 1.0% 1.0%Energy 12.1% 18.2% -6.1%Financial 9.4% 9.2% 0.2%Food and Beverages 3.7% 1.9% 1.8%Gaming Lodging and Leisure 4.9% 6.9% -2.0%Healthcare 7.3% 6.4% 0.9%Housing 4.6% 2.7% 1.9%Industrials 5.0% 5.2% -0.2%Metals and Mining 4.4% 3.5% 0.9%Paper and Packaging 5.3% 3.3% 1.9%Retail 4.0% 5.1% -1.1%Services 4.0% 2.3% 1.6%Technology 4.8% 4.9% -0.1%Telecommunications 6.5% 10.6% -4.1%Transportation 2.4% 2.4% 0.0%Utility 4.4% 1.9% 2.5%
Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American Yield Research
2010 High-Yield Annual Review
December 2010
98
5
JPMorgan High-Yield Equity Index profile Market weight by rating1
1. As of October 29, 2010.Source: J.P. Morgan.
Split B 2.6%
CCC/Split CCC 1.9%
Not Rated 0.3%
Default 1.0%
Split BBB 17.0%
B 22.6%
Split BB 20.5%
BB 34.1%
Change31-Dec-09 to
29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10Split BBB 10.6% 13.4% 18.4% 22.4% 17.0% -5.4%BB 45.4% 49.1% 45.4% 32.7% 34.1% 1.5%Split BB 12.1% 6.8% 11.6% 18.9% 20.5% 1.6%B 26.7% 25.5% 19.2% 20.1% 22.6% 2.5%Split B 2.0% 2.6% 2.7% 2.7% 2.6% -0.1%CCC 2.7% 2.4% 2.6% 2.0% 1.9% -0.1%NR 0.1% 0.1% 0.0% 0.2% 0.3% 0.1%
Difference between the JPMorgan High-Yield Equity and Bond IndicesPercentage of total issues by rating as of October 29, 2010
Source: J.P. Morgan.
JPMorgan JPMorganGlobal HY HY Equity
Index Index DifferenceSplit BBB 8.1% 8.2% -0.1%BB 19.5% 22.5% -3.0%Split BB 12.7% 16.7% -4.1%B 30.8% 34.5% -3.8%Split B 10.2% 8.0% 2.2%CCC 13.0% 6.0% 7.0%NR 1.4% 1.1% 0.3%
Difference between the JPMorgan High-Yield Equity and Bond IndicesMarket weight by rating as of October October 29, 2010
Source: J.P. Morgan.
JPMorgan JPMorganGlobal HY HY Equity
Index Index DifferenceSplit BBB 9.3% 17.0% -7.7%BB 21.3% 34.1% -12.8%Split BB 14.5% 20.5% -6.1%B 31.2% 22.6% 8.6%Split B 9.8% 2.6% 7.2%CCC 11.3% 1.9% 9.5%NR 0.8% 0.3% 0.5%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
99
6
The case for high yield
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
100
6
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
101
6
The case for high yield
2010: High-yield bonds outperform amidst low defaults,strong demandModest economic growth, improving corporate conditions, strong retail inflows, and
a sharp decline in default activity led to a strong 13.4% total return for high-yield
bonds in 2010 (through December 2). By comparison, the S&P 500 returned 11.6%,
while the Russell 2000 returned 21.5%, both outperforming leveraged loans and
investment-grade bonds (each returning 8.9%) and the 10-year Treasury (10.9%).
Given the accommodative backdrop for the asset class, 2010 experienced a sharp
year-over-year increase in new-issue volume, with a record $288 billion priced, the
majority of which was used for refinancing (67%). These conditions contributed to
not only a steady decline in defaults during the year—the default rate declined from
10.3% to 0.74%—but also, a decidedly improved default backdrop for 2011 and
2012. With few higher yielding alternatives to chose from, we expect high yield to
again outperform most asset classes in 2011.
Even after last year’s outsized performance, high-yield bonds provide strong return in 2010
Returns of various asset classes
Note: 2010 returns through December 2.Source: J.P. Morgan.
Note: 4Q10 and 2010 returns are through December 2.Sources: J.P. Morgan; Bloomberg.
10.4%
36.3%
20.3%
9.4%
28.7%
15.6%
6.5%11.4%
0.4%
43.8%
16.7%
-1.6%
19.6%13.0%
3.4%
-5.8%
5.5%2.1%
27.5%
11.5%3.1%
11.5%2.9%
-26.8%
58.9%
13.4%
1.0%
-6.4%
4.3%
18.9%12.4%
-40.0%-30.0%-20.0%-10.0%
0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Annu
al tot
al re
turn
Assets 2009 1Q10 2Q10 3Q10 4Q10 2010High-Yield Bonds 58.90% 4.72% 0.08% 6.34% 1.74% 13.38%Leveraged Loans 51.62% 4.64% -1.27% 3.31% 1.99% 8.86%Investment Grade Bonds 16.72% 2.28% 3.75% 4.55% -1.85% 8.90%Emerging Market Bonds 28.18% 4.16% 1.16% 8.33% -0.83% 13.20%10-Year Treasury -8.76% 0.99% 8.48% 4.65% -3.32% 10.85%S&P 500 26.46% 5.39% -11.43% 11.29% 7.44% 11.62%Russell 2000 27.18% 8.85% -9.92% 11.29% 11.29% 21.45%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
102
6
The macroeconomic backdrop will again be an important variable in 2011
Our economists forecast US GDP growth of 3.1% y/y in 2011, which should be a
positive for high yield next year. Certainly though, the arrival of a fresh set of risks
including Chinese tightening, sovereign/municipal fiscal woes, rising commodity
prices, persistent weakness in housing data, and rising US Treasury yields warrant
attention. However to the extent any of these factors strain growth, ironically, they
would in fact be a welcome respite for high yield, because of the implications for
Treasury yields. A US economy tracking at a pace not too hot or too cold would
serve as a Goldilocks scenario for high-yield credit. We do not expect demand for
high-yield to retrench unless GDP growth proves too cold (negative GDP and the
implicit negative impact on capital markets) or too hot (several consecutive quarters
of +4% GDP growth that spark inflation or rate fears).
High-yield default rate expected to remain low through 2012
Note: 2010 default rates represent the ltm numbers as of November.Source: J.P Morgan.
1.5%
2.8%
1.6% 1.5% 1.7%
4.1%5.0%
9.1%8.0%
3.3%
1.1% 0.9%0.4%
2.3%
10.3%
0.7%1.5%
2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
2010
2011
E
2012
E
Par-w
eighte
d defa
ult ra
tes
Long-term average default rate: 4.3%
Prospects for high-yield bonds to remain attractive in 2011 Several supporting factors suggest that high-yield bonds will remain an attractive
investment option in 2011. In particular, default rates are expected to remain low,
US GDP is forecasted by our economists to grow 3.1% y/y, and interest rates are
expected to gradually rise. Specifically, we forecast year-end 2011 spreads and
yields of T+515bp and 7.5%, respectively, which implies the market will fully
absorb the expected rise in Treasury rates with little to no price appreciation, and
lead to a full-year return of 9.8%.
Default risk is limited in 2011 and 2012
High-yield bond default rates have now fallen for 12 consecutive months to 0.7%, a
fraction of the record 11% reached in November 2009 and still well below the 4.3%
long-term average. With market technicals strong heading into next year, 2011 and
2012 maturities negligible, and US GDP growth expected to accelerate at a modest
pace, our 2011 and 2012 default forecasts are 1.5% and 2%, respectively. Based on
current spreads of T+591bp for bonds, implied default rates are 5.2%, significantly
higher than our 2011 forecast. Conversely, our default forecast implies spreads for
high-yield bonds should be T+390bp. While spreads will probably not tighten to
these levels over the next 12 months given where we expect Treasury and Libor
rates to end next year, this highlights the attractiveness of the bond market relative
to default risk.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
103
6
Interest rate risk expected to remain positive in 2011
After cutting the target Fed funds rate to a 0.00%-0.25% range in December 2008,
the Fed has kept the target rate unchanged through 2010. Low interest rates were
supportive of leveraged credit demand in 2010 as investors reached for yield. Going
forward, expectations for an orderly rise in rates should support the asset class as
the economy moderately accelerates in 2011. A modest rise in interest rate expecta-
tions would bode well for demand for high-yield bonds. Our rates team envisages a
gradual pickup in Treasury yields beyond the first quarter of next year alongside
improving growth prospects. They forecast 2-year, 5-year, 10-year, and 30-year
yields to end 2010 at 0.45%, 1.50%, 2.80%, and 4.10%, respectively, and then rise
to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As the following chart
shows, high-yield mutual fund flows are actually quite strong during periods of ris-
ing inflation expectations. We note that an orderly rise in rates is crucial, as a disor-
derly rise, similar to what we experienced in mid-November, would deter demand
from high-yield bond funds because of its implications for market volatility.
J.P Morgan 2011 Economic outlook
Source: J.P. Morgan.
%q/q, saar %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011
United States 2.5% 2.0% 3.0% 3.0% 4.0% 2.7% 2.5%Euro area 1.5% 1.0% 1.5% 1.8% 2.0% 1.7% 1.6%Japan -1.5% 0.5% 1.5% 1.8% 2.0% 3.5% 1.1%Emerging Markets 5.7% 6.1% 6.5% 6.0% 6.2% 6.9% 5.7%
Interest rate outlook
Note: Current levels are as of December 7, 2010.Source: J.P Morgan
Changecurrent/
Current 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 4Q11Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.67% 0.45% 0.60% 0.80% 0.90% 1.00% + 33 bp5-yr Treasury 2.12% 1.50% 1.75% 2.20% 2.30% 2.45% + 33 bp10-yr Treasury 3.53% 2.80% 2.95% 3.35% 3.50% 3.60% + 7 bp30-yr Treasury 4.59% 4.10% 4.25% 4.55% 4.65% 4.80% + 21 bp
2s / 10s 2.86% 2.35% 2.35% 2.55% 2.60% 2.60% - 26 bp5s / 10s 1.41% 1.30% 1.20% 1.15% 1.20% 1.15% - 26 bp
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
104
6High yield’s attractive risk/reward characteristics versus equities With lower volatility and a higher position in the capital structure, investors have
recognized “equity-like” returns can still be achieved by including corporate credit
in their portfolios as a replacement for equities. Indeed, high-yield credit over the
past 15 years has exhibited about half the volatility1 of the S&P 500, 9.2% versus
16.3%, while at the same time providing slightly higher annualized returns (7.6%
versus 6.5%). This translates into a return per unit of risk (annualized return divided
by annualized volatility) for high yield of 0.83, more than double that of the S&P
500, 0.40. Extending one’s investment horizon to 25 years yields largely the same
results. High-yield (1.10) has exhibited a return per unit of risk roughly two times
greater than that of the S&P 500 (0.62). An important takeaway is that high-yield’s
correlation to equity returns would remain high, and prices in both markets would
move higher or lower together. But with low default risk regardless of economic
data, an 8.6% coupon would cushion an investor’s return much as it has during past
economic setbacks.2 Despite outperforming equities again this year, high yield
remains an attractive way to play the upside of a continued economic recovery
while also protecting against the downside of earnings- and volatility-surprises.
Inflation expectations and high-yield mutual fund flows
Note: 2010 levels are as of November 30.Sources: J.P Morgan; Lipper FMI
(15)(10)
(5)05
101520253035
Jan-
85Ja
n-86
Jan-
87Ja
n-88
Jan-
89Ja
n-90
Jan-
91Ja
n-92
Jan-
93Ja
n-94
Jan-
95Ja
n-96
Jan-
97Ja
n-98
Jan-
99Ja
n-00
Jan-
01Ja
n-02
Jan-
03Ja
n-04
Jan-
05Ja
n-06
Jan-
07Ja
n-08
Jan-
09Ja
n-10
$ bn
-100bp-50bp0bp50bp100bp150bp200bp250bp300bp350bp
Spread
Annual inflows into high-yield mutual fundsSpread between 10- and 2-year Treasuries
.
Average spread= 83bp
1. Based on the standard deviation of monthly returns.2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield hasoutperformed equities.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
105
6
Low correlation to interest-rates another benefit of high yieldA factor that has made high-yield securities attractive to many portfolios from a
diversification perspective is its historically low correlation to most asset classes,
specifically interest-rate-sensitive alternatives. For example, the correlations
between high yield and 5-year Treasury bonds, and high yield and 10-year Treasury
bonds over the last 25 years are actually negative, -0.05 and -0.01, respectively. By
comparison, the correlations between investment-grade bonds and 5-year Treasury
bonds, and investment grade and 10-year Treasury bonds over the same time period
are 0.72 and 0.78, respectively. Given their much lower correlation to US govern-
ment bonds, high yield has historically outperformed investment grade when inter-
est rates move higher. Specifically, in 14 of the last 30 years, 5-year Treasury
yields have increased, and in each of those 14 years, high yield has outper-
formed its higher rated counterpart. This dynamic, coupled with our economists’
expectation for rates to rise and our low default rate forecast, supports our expecta-
tion for high yield to once again outperform investment-grade securities in 2011.
Annualized returns and volatility of various assets Ended November 30, 2010
1. Investment-grade bond returns from 1991 through 1999 are measured by the ML Corporate Master Index, from 2000 through 2010, they are measured by the JPMorgan JULI Investment-Grade Index.
2. Emerging market bond returns are measured by the JPMorgan Emerging Market Bond Index- Global Composite.3. Leveraged loan returns are measured by the S&P/LSTA Leveraged Loan Index.4. Annualized returns divided by the annualized standard deviation of return.Source: J.P. Morgan.
Avg. annual returns Avg. annual volatility Modified Sharpe Ratio4
5 Year 15 Year 25 Year 5 Year 15 Year 25 Year 5 Year 15 Year 25 YearJPMorgan Global HY Index 8.72% 7.62% 9.30% 12.98% 9.19% 8.44% 0.67 0.83 1.10Fixed income:5-year Treasury 7.03% 5.94% 7.09% 4.70% 4.62% 4.88% 1.50 1.28 1.4510-year Treasury 6.85% 5.89% 7.67% 8.21% 7.59% 7.58% 0.83 0.78 1.01Investment-grade bonds1 6.93% 6.77% 8.33% 6.94I% 5.58% 5.42% 1.00 1.21 1.54Emerging market bonds2 8.74% 11.91% na 10.33% 13.14% na 0.85 0.91 naLeveraged loans3 5.07% 5.39% na 11.02% 6.50% na 0.46 0.83 naEquity:S&P 500 0.98% 6.45% 9.85% 17.59% 16.30% 15.82% 0.06 0.40 0.62Wilshire 5000 1.11% 6.23% 9.47% 18.07% 16.67% 16.04% 0.06 0.37 0.59Russell 2000 2.90% 7.19% 8.90% 22.83% 21.04% 19.98% 0.13 0.34 0.45
Risk/reward characteristics of various asset classesFifteen years ended November 30, 2010
Sources: J.P. Morgan; Bloomberg.
JPMorgan EMBI - Global Composite
5-year Treasury 10-year Treasury
LB Agg. Bond Index Investment-grade bondsJPMorgan Global HY Index
S&P 500 Wilshire 5000
Rusell 2000
S&P 500 Barra Growth Index
FTSE 100
Gold
DAX
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
0.00% 4.00% 8.00% 12.00% 16.00% 20.00% 24.00%Annualized Volatility
Annu
alize
d Retu
rn
Leveraged Loans CAC 40
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106
6 Analysis of optimal portfolio allocationsInvestment-grade and high-yield portfolios: 25-year
The graph below illustrates the diversification effect of adding high-yield bonds to
an investment-grade portfolio. Beginning with an allocation of 100% investment-
grade bonds, the portfolio achieves a return of 8.33% with an annualized volatility
of 5.42%, resulting in a return per unit of risk of 1.54%. Moving from left to right
on the graph and increasing high yield's allocation by 5% increments, the volatility
of the portfolio declines until a mix of 15% high-yield bonds and 85% investment-
grade securities is reached. At this point, the portfolio achieves its lowest volatility
of 5.30%. Increasing the portfolio’s high-yield exposure further begins to increase
its volatility while continuing to increase its return. When the portfolio reaches a
20% high yield/80% investment-grade mix, it achieves its maximum return per unit
of risk of 1.61%. Increasing high yield’s allocation to the portfolio beyond this point
continues to increase the portfolio’s return, but also increases the portfolio’s volatili-
ty at a faster rate, thus reducing its return per unit of risk. A portfolio consisting of
100% high-yield bonds achieves a return of 9.30% with a volatility of 8.44%, for a
resulting return per unit of risk of 1.10%.
Risk/return trade-offInvestment-grade vs high-yield bonds: 25 years ended November 30, 2010
8.20%
8.40%
8.60%
8.80%
9.00%
9.20%
9.40%
5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50%Annualized volatility
Annu
alize
d retu
rn
Optimum risk/ return75% High yield/
25% Investment grade
25% High yield/75% Investment grade
100% High yield
100% Investment grade
50%/50%
Source: J.P. Morgan.
Invst. High-5-year 10-year LB grade yield S&P Wilshire Russell
Treasury Treasury Aggregate bonds bonds 500 500 2000 Gold10-year Treasury 0.95LB Aggregate Bond Index 0.91 0.93Investment-grade bonds 0.72 0.78 0.91High-yield bonds -0.05 -0.01 0.24 0.45S&P 500 -0.03 0.01 0.17 0.28 0.57Wilshire 5000 -0.06 -0.01 0.15 0.27 0.59 0.99Russell 2000 -0.16 -0.10 0.04 0.18 0.61 0.82 0.88Gold 0.06 0.06 0.05 0.08 0.03 -0.12 -0.09 -0.03US Inflation -0.14 -0.19 -0.14 -0.15 0.01 -0.03 -0.03 -0.04 0.04
Correlations among various asset classesTwenty-five years ended November 30, 2010
Sources: J.P Morgan; S&P/LCD; Bloomberg.
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6
Investment-grade and high-yield portfolio: Five-year
Our next case examines the five-year risk/return profile of high-yield bonds and
investment-grade bonds, and this time we find that a portfolio of a 15% allocation to
high yield achieves the highest returns per unit of risk. With a 85% allocation of
investment-grade bonds and 15% to high-yield bonds, the portfolio returns 7.23%
with a volatility of 7.18% and a return per unit of risk of 1.01%. An allocation of
100% high-yield bonds returned 8.72% with a volatility of 12.98% and a return per
unit of risk of 0.67%.
Historically, the optimal allocation for high yield in a mixed portfolio with invest-
ment-grade bonds has followed the credit cycle, increasing when default risk is low
and decreasing when default risk is high. Based solely on this historical relationship,
and the expectation for the high-yield default rate to remain low through 2012, we
expect the benefit of adding high yield to an investment-grade portfolio to increase
in the coming years.
Risk/return trade-offInvestment-grade vs high-yield bonds: 5 years ended November 30, 2010
6.80%
7.20%
7.60%
8.00%
8.40%
8.80%
6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00%Annualized volatility
Annu
alize
d retu
rn
25% High yield/75% Investment grade
Optimum risk/ return
75% High yield/25% Investment grade
100% High yield
100% Investment grade
50%/50%
Source: J.P. Morgan.
Optimal allocation of high yield vs investment grade and the high-yield default rate
65% 65%55%
40%
0%10%
15% 15%
30%
60%
45%50%
15%
0% 0%
15%20%
30%
75%
100%
0%
15% 15%
100%100% 100%100%
0.0%
25.0%
50.0%
75.0%
100.0%
125.0%
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Perce
nt of
high y
ield f
or op
timum
ris
k/rew
ard
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Annual high-yield default rate
Percent of high yield for optimum risk/return Domestic high-yield default rate
Note: 2010 data through November 30.Source: J.P. Morgan.
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6
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December 2010
109
7
Fund flow review
Peter D. Acciavatti (1-212) 270-9633
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tony.linares@jpmorgan.com
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nelson.r.jantzen@jpmorgan.com
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December 2010
110
7
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
111
7
Fund flow review
2010 key observations
• Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond
and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively
in 20101.
• The flow of funds into leveraged credit was less than uniform throughout the
year. In the first half, retail flows into HY bond funds were volatile, with a hand-
ful of large outflows fully erasing first half inflows. Meanwhile, leveraged loan
fund flows remained comparatively steady. In the second half, retail flows into
both high-yield bond and bank loan funds surged. It was not until November that
the direction of flows shifted again and high-yield fund outflows picked up,
while inflows into bank loan funds reached their highest level for the year. In all,
high-yield funds had inflows in 33 of 48 weeks, while bank loan funds had
inflows in 45 of 48 weeks.
• Fund flows are primarily a function of expected risks, returns and opportunity
cost. A precipitous decline in default risk, low interest rate risk, attractive valua-
tions, lack of high yielding alternatives, and strong returns all supported inflows
into leveraged credit.
• Expected risks to provide a positive effect on inflows next year:
• Default risk declined substantially this year as default rates for bonds and
loans fell for 11 consecutive months to 0.74% and 2.18% (ltm), respectively.
We forecast 2011 default rates for high-yield bonds and loans of 1.5% and
2.0%, respectively. Furthermore, we expect 2012 default rates to stay below
long-term averages at 2% and 3%, respectively.
• The macroeconomic backdrop and outlook played a key role in 2010.
Similarly to this year, inflows into leveraged credit are expected to be linked
to the economic backdrop in 2011. Our economists look for US GDP growth
to expand 3.1% (y/y) in 2011, which should be a positive for fund flows next
year. The US economy tracking at a pace not too hot or too cold would serve
as a Goldilocks scenario for high-yield credit.
• Interest-rate risk had a positive effect on high-yield demand this year as
investors reached for yield. Going forward, expectations for an orderly rise in
rates should support demand as the economy moderately accelerates. A mod-
est rise in interest rate expectations would bode well for demand for high-
yield bonds, and would especially favor less rate-sensitive leveraged loans.
1. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loandata includes weekly reporting funds.
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December 2010
112
7
Fund flow overview
Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and
bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 20102.
Despite a handful of large outflows in the first half of the year, high-yield retail
demand remained strong this year, albeit markedly lower than last year.
Meanwhile, bank loan fund demand accelerated as the year progressed, setting a
new calendar year high. In all, bank loan fund demand tripled last year’s total.
Behind the leveraged credit demand have been a precipitous decline in default rates,
improving fundamentals, and attractive valuations. Furthermore, high-yield bonds
and leveraged loans continued to lure investors away from other fixed income prod-
ucts, cash, and equities, given investors search for yield.
High-yield demand remains intact, leveraged loan demand sets new record
Leveraged credit started the year on solid footing helped by strong corporate earn-
ings and improvement in most economic conditions. Despite numerous uncertain-
ties, inflows into high-yield bonds and bank loans started the year off strong, taking
in $1.9 billion and $905 million, respectively. However, mounting challenges
impacted investor appetites in February, leading to a series of outflows from high-
yield bond funds. Separately, bank loan funds continued to report inflows in
February. After the first two months of the year, bank loan fund flows outpaced
those of high-yield, $1.7 billion versus -$602 million, the first time this occurred
since the credit crunch began.
Annual high-yield mutual fund flows
Note. 2010 figure is through December 1, 2010.Sources: J.P. Morgan; Investment Company Institute; Lipper FMI.
1.75.2
11.0
2.35.2
-0.6-3.2
3.46.5
10.9
1.8
11.1
15.9
21.6 19.7
3.9
-6.3
13.216.3
32.9
-2.1
-8.8
5.5 5.0 6.510.8
31.9
-12
0
12
24
36
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Fund
flows
($ bn
)
2. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loandata includes weekly reporting funds.
Peter D. Acciavatti (1-212) 270-9633
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2010 High-Yield Annual Review
December 2010
113
7
Retail flows into and out of high-yield bond and loan funds throughout 2010
Source: Lipper FMI.
1.9
(2.5)
3.02.0
(5.7)
0.9
3.9
1.5
4.4
2.3
(0.6)
0.80.1
1.61.0 1.11.3
0.40.3
1.50.9
0.3
(8.0)
(6.0)
(4.0)
(2.0)
0.0
2.0
4.0
6.0
Jan Feb Mar Apr May June Jul Aug Sep Oct Nov Dec
($bn
)
HY Bond FlowsLL Fund Flows
Appetite for HY wanes (Greece/job concerns)
LL inflows remain steady exceeding cum. HY inflows
by $2.3bn
HY inflow reversal on improved eco. outlook and market sentiment.
HY: $6.3bn outflow in May-earliy Jun on
resumed eco., euro zone, and
fin. reform concerns.
Reach for yield in low all in yields environment and stabilization in eco.
indicators underpin strong demand for HY & LL between Jul and mid Nov
HY demand under pressure (sharp backup in Tsy
ylds/renewed Euro zone concerns).
Appetite for LL surges (floating rate
feature/seniority)
After February’s interruption, improvement in economic and Fed expectations and a
lack of high-yielding alternatives led to a return of high-yield demand. In fact,
March’s inflows into high-yield bond funds reversed February’s outflows, while
bank loan funds had their first monthly inflow to top $1 billion. The trend of strong
inflows continued into April. For loan funds, two weeks in April set new records
with $290 million and $417 million weekly inflows, and after four months, monthly
bank loan fund inflows already exceeded full year 2009 inflows ($4.2 billion versus
$3.4 billion).
Cumulative inflows into high-yield funds
Source: Lipper FMI
(5,000)
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
Jan
Feb
Mar
Apr
May
Jun Jul
Aug
Sep
Oct
Nov
Dec
Annu
al cu
mulat
ive in
flows
($mn
)
2009 2010
For high-yield, July was the turning point. Having had an outflow of $423 million
after the first six months of the year, July’s $3.9 billion inflow was the best month
in over a year. Inflows into high-yield bond funds were largely due to investors
reaching for higher yields. For loans, the second half of the year saw acceleration in
Peter D. Acciavatti (1-212) 270-9633
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2010 High-Yield Annual Review
December 2010
114
7
Cumulative inflows into bank loan funds
Source: Lipper FMI.
01,0002,0003,0004,0005,0006,0007,0008,0009,000
10,000Ja
n
Feb
Mar
Apr
May
Jun Jul
Aug
Sep
Oct
Nov
Dec
Annu
al cu
mulat
ive in
flows
($mn
)
2009 2010
demand. September was the third best month of the year, welcoming $1.3 billion.
On the heels of a strong September, October’s inflows came in at $1.1 billion, mak-
ing it the fourth best month in 2010 for bank loan funds. While bond demand was
weak due to heightened sovereign debt concerns and a backup in Treasury yields in
November, appetite for bank loans grew stronger, leading to the best monthly inflow
(+$1.6 billion).
Understanding 2010 flows and gauging 2011 expectations
Fund flows are primarily the product of expected risks (including default, economic,
and interest rate risks) and expected returns (both outright and versus other invest-
ment options). In the next section, we delve into these factors, analyzing their
impact on this year’s fund flows and implications for next year’s demand. In short,
with US GDP expected to growth 3.1% y/y in 2011, low default rates, attractive val-
uations, and a supportive rates backdrop, we expect the demand for high-yield
bonds and loans to be healthy in 2011.
Expected risk
Default risk is limited in 2011 and 2012, providing a positive backdrop for
high-yield bond and loan demand.
High-yield bond and loan default rates have now fallen for 11 consecutive months
to 0.74% and 2.18% (ltm), respectively and are a fraction of the 4.3% and 4.0%
long-term averages. We forecast 2011 default rates for high-yield bonds and loans
of 1.5% and 2.0%, respectively. Furthermore, we expect 2012 default rates to stay
below long-term averages at 2% and 3%.
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
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December 2010
115
7
Significant improvement in the default rate was an important factor for demand in
2010. As we head into 2011, high-yield bonds and leveraged loans remain attrac-
tive relative to our 2011 default outlook. Based on current spreads of T+606bp for
bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respective-
ly, significantly higher than our forecast for 2011 default rates of 1.5% and 2.0%.
Conversely, our default forecasts imply spreads for high-yield bonds and loans
should be T+390bp and L+355bp, respectively. While spreads will probably not
tighten to these levels over the next 12 months given where we expect Treasury and
Libor rates to end next year, this highlights the attractiveness of both markets rela-
tive to default risk.
The macroeconomic backdrop will again be an important variable in 2011.
The variability in fund flows this year can be closely linked to changes in economic
growth expectations. Inflows into leveraged credit will likewise be linked to the
economic backdrop in 2011. Our economists look for a gradual acceleration in US
growth with GDP expanding 3.1% (y/y) in 2011 (versus 2.5% consensus forecast),
after growing 2.8% in 2010. This should be a positive for fund flows next year – the
High-yield mutual fund flows vs the high-yield default rate
Sources: J.P. Morgan; Moody’s Investors Service; Investment Company Institute; Lipper FMI.
(10)(5)05
10152025303540
Jan-
88Ja
n-89
Jan-
90Ja
n-91
Jan-
92Ja
n-93
Jan-
94Ja
n-95
Jan-
96Ja
n-97
Jan-
98Ja
n-99
Jan-
00Ja
n-01
Jan-
02Ja
n-03
Jan-
04Ja
n-05
Jan-
06Ja
n-07
Jan-
08Ja
n-09
Jan-
10
$ bn
0%2%4%6%8%10%12%14%16%18%
Default rate
Annual inflows into high-yield mutual fundsHigh-yield default rate
.
Default rates are expected to remain low through 2012
Note: 2010 default rates represent the ltm numbers as of November.Source: J.P. Morgan.
1.7%
9.1%8.0%
3.3%
0.9% 0.4%
2.3% 2.0%
6.6%
0.5%
3.9%
12.8%
2.0%3.0%
1.1%
4.1%5.0%
10.3%
0.7%1.5%
6.3% 6.0%
2.3%1.0%
0.2%1.5%
4.2%
2.2%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
2010
2011
E
2012
E
Par-w
eighte
d defa
ult ra
tes
High-yield bond default rate
Loan default rate Long-term average default rateHigh-yield bonds: 4.3%Leveraged loans: 4.0%
Peter D. Acciavatti (1-212) 270-9633
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December 2010
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7
Expected return is another component that will benefit demand next year.
High-yield bonds and leveraged loans have returned 13.9% and 9.1% YTD3, after
record 58.9% and 51.6% returns last year. We forecast high-yield bonds to return
9.8% and bank loans to return 7.1% in 2011. With high-yield spreads trailing the
relative drop in yields of more rate-sensitive products, the return opportunities are
still attractive, while the opportunity costs within fixed income are low.
US economy tracking at a pace not too hot or too cold would serve as a Goldilocks
scenario for high-yield credit. We do not expect demand for high-yield to retrench
unless GDP growth proves too cold (negative GDP and the implicit negative impact
on capital markets) or too hot (several consecutive quarters of +4% GDP growth
that spark inflation or rate fears).
Interest rate risk was a positive for leveraged credit demand this year, a trend
we expect to continue in 2011.
After cutting the target Fed funds rate to a 0.00%-0.25% range in mid-December of
2008, the Fed has kept the target rate unchanged through 2010. Low interest rates
were supportive of leveraged credit demand in 2010 as investors reached for yield.
Going forward, expectations for an orderly rise in rates should support demand as
the economy moderately accelerates in 2011. A modest rise in interest rate expecta-
tions would bode well for demand for high-yield bonds, and would especially favor
less rate-sensitive products such as leveraged loans. As the below chart shows,
high-yield mutual fund flows are actually quite strong during periods of rising infla-
tion expectations. As a recent example, the surge of inflows into the high-yield
asset class since mid-September coincided with a 30bp increase in the spread
between 10- and 2-year Treasury yields in the wake of Bernanke’s speech in
Jackson Hole.
Inflation expectations and high-yield mutual fund flows
Sources: J.P Morgan; Lipper FMI.
(15)(10)
(5)05
101520253035
Jan-
85Ja
n-86
Jan-
87Ja
n-88
Jan-
89Ja
n-90
Jan-
91Ja
n-92
Jan-
93Ja
n-94
Jan-
95Ja
n-96
Jan-
97Ja
n-98
Jan-
99Ja
n-00
Jan-
01Ja
n-02
Jan-
03Ja
n-04
Jan-
05Ja
n-06
Jan-
07Ja
n-08
Jan-
09
$ bn
-100bp-50bp0bp50bp100bp150bp200bp250bp300bp350bp
Spread
Annual inflows into high-yield mutual fundsSpread between 10- and 2-year Treasuries
.
Average spread= 78bp
3. YTD as of December 7, 2010.
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North American High Yield Research
2010 High-Yield Annual Review
December 2010
117
7
Two-year rolling fund flows vs high-yield returns
Sources: JPMorgan; Investment Company Institute; Lipper FMI.
-20
-10
0
10
20
30
40
50
60
Dec-8
5De
c-86
Dec-8
7De
c-88
Dec-8
9De
c-90
Dec-9
1De
c-92
Dec-9
3De
c-94
Dec-9
5De
c-96
Dec-9
7De
c-98
Dec-9
9De
c-00
Dec-0
1De
c-02
Dec-0
3De
c-04
Dec-0
5De
c-06
Dec-0
7De
c-08
Dec-0
9
Fund
flows
($ bn
)
-40%
-20%
0%
20%
40%
60%
80%
100%
Total returns
Two-year rolling HY fund flows Two-year rolling HY total return
With lower volatility and a higher position in the capital structure, nontraditional
investors have recognized “equity-like” returns can still be achieved by including
corporate credit in their portfolios as a replacement for equities. Over the past 15
years, high-yield credit has exhibited return per unit of risk that is more than double
of that of the S&P 500 (0.84 vs 0.41). While high-yield’s correlation to equity
returns is expected to remain high, given low default risk, an 8.6% coupon would
cushion an investor’s return much as it has during past economic setbacks.4 Despite
outperforming equities by about 2% this year, high yield remains an attractive way
to play the upside of a continued economic recovery while also protecting against
the downside of earnings and volatility surprises. As for leveraged loans, their
return per unit of risk is similar to high yield, albeit exhibiting both lower annual-
ized returns and lower volatility. Furthermore, based on the current valuations and
our outlook for next year, leveraged loans should benefit from the dearth of alterna-
tives available to protect a portfolio against rising rates and comfortably outperform
investment grade bonds.
4. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield hasoutperformed equities.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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December 2010
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7
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
119
8
Leveraged loan market review
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
120
8
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
121
8
Leveraged loan market review
2010 Highlights
• Leveraged loans provided less return volatility compared to most asset classes in
2010, with prices falling less when market volatility rose in February, May, and
November. After returning 51.6% in 2009, loans returned 9.6% in 2010, while
spreads tightened from L+703bp to L+586bp, and prices recovered $5.2 to $95.
• New-issue conditions steadily improved throughout 2010. For perspective, a
mere $38.2 billion of institutional loan volume priced in 2009, which was easily
eclipsed in only the first four months of 2010. Averaging more than $12 billion
of volume per month, activity climbed to $143.7 billion, or a nearly four fold
increase year-over-year. Including revolvers and other non-institutional volume,
total leveraged loan volume this year totaled $201 billion, the most since 2007’s
$535 billion.
• Despite the increase in new loan volume, 2010 still turned out to be a very strong
year for technicals, as repayments of $135.5 billion, fueled by $67.2 billion of
bond-for-loan takeouts, for the 2nd consecutive year led amount outstanding to
contract.
• With capital markets less restrictive, dividend deals ($14.4 billion), covenant-lite
($6.6 billion), and LBO-related volume ($25 billion) increased as the year pro-
gressed. Meanwhile, amend to extend activity declined by more than 50% in
2H10 ($21 billion) versus 1H10 ($44 billion), and covenant relief volume
dropped from effecting $236 billion of leveraged loan volume in 2009 to $97 bil-
lion in 2010.
• Following $3.4 billion of inflows last year, bank loan funds reported retail
inflows of $10.8 billion in 2010. Noteworthy, 13 weekly inflows registered in
excess of $300 million, a figure not seen prior to 2010. The largest weekly inflow
occurred in December, +$890 million, 85% higher than the previous record.
Since early November when Treasury yields began to rise, retail flows into bank
loan funds accelerated, which led to 6 of the largest 8 inflows on record.
• Default activity declined significantly in 2010, following last year’s record-high
volume. Through November 30, 41 companies defaulted, affecting a combined
$19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institu-
tional bank loans). The par-weighted loan default rate decreased to 2.2% from
12.8% and the issuer-weighted default rate declined to 2.9% from 7.3%. For first-
lien loans, average recoveries were 72.2%, compared with Moody’s long-term
average of 65.6%, while second-lien loan recoveries were 13.3%.
• The amount of debt set to mature through 2014 has been reduced by $393 billion
since the beginning of 2009. While maturities are low over the next several years,
2013 and 2014’s $376 billion of institutional loans coming due equals 55% of all
outstanding institutional loans.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
122
8
Performance: slow and steady
Modest economic growth (tracking 2.9% 2010 US GDP growth), strong retail
inflows, improving corporate conditions, accommodative primary market condi-
tions, and low default activity led to another solid return for leveraged loans in
2010. After returning 51.6% in 2009, loans returned 9.6% in 2010, with the
only negative quarterly return occurring in the second quarter (-1.3%, versus
+4.6% in 1Q10, +3.3% in 3Q10, and +2.7% 4QTD). Even with significant macro
uncertainty in 2010 accompanied by bouts of market volatility, most asset classes
benefited from a slowly improving economy but one also accompanied by low rates
and accommodative fiscal and monetary policy. By comparison, high-yield and
high-grade bonds returned +13.9% and +8.1% in 2010, respectively, while the 10-
year Treasury, emerging market bonds, and the S&P 500 returned +7.9%, +11.2%,
and +13.7%, respectively. Even so, while most rate and economically sensitive asset
classes tended to trade in lockstep with macro news, strong technicals mitigated the
magnitude of price swings for loans.
During the year, prices on the S&P LSTA Leveraged Loan index rose from 89.8 on
December 2009, to 95.0 on December 17th 2010. Meanwhile, loan spreads tight-
ened from L+703bp to L+576bp, and the swap adjusted yield differential between
bonds and loans (99bp) remained well below its long-term average (177bp). By rat-
ing class, CCCs led the way returning 21.8% YTD, followed by B and BB-rated
loans with returns of 10.4% and 7.5%, respectively.
Leveraged loans have provided steady returns
Note: Returns are as of December 17th.Sources: J.P. Morgan; S&P/LCD.
Assets 2008 2009 1Q10 2Q10 3Q10 4QTD YTD High-Yield Bonds -26.83% 58.90% 4.72% 0.08% 6.34% 2.24% 13.94%Leveraged Loans -29.10% 51.62% 4.64% -1.28% 3.31% 2.72% 9.63%Investment Grade Bonds -1.86% 16.72% 2.28% 3.75% 4.55% -2.58% 8.08%Emerging Market Bonds -10.91% 28.18% 4.16% 1.16% 8.33% -2.61% 11.16%10-Year Treasury 15.31% -8.76% 0.99% 8.48% 4.65% -5.89% 7.90%Dow Jones Industrials -31.93% 22.68% 4.82% -9.36% 11.12% 7.22% 13.19%S&P 500 -37.00% 26.46% 5.39% -11.43% 11.29% 9.48% 13.74%Russell 2000 -33.79% 27.18% 8.85% -9.92% 11.29% 15.56% 26.10%By Rating BB-rated bonds -15.63% 40.98% 4.07% 0.79% 6.95% 0.95% 13.26%B-rated bonds -29.11% 45.37% 3.56% 0.00% 6.52% 2.56% 13.14%CCC-rated bonds -47.02% 110.58% 6.91% -0.96% 6.50% 5.01% 18.42%BB-rated loans -24.21% 35.79% 3.53% -1.21% 2.91% 2.18% 7.54%B-rated loans -34.89% 61.23% 4.70% -2.28% 4.34% 3.44% 10.42%CCC-rated loans -45.81% 88.60% 11.36% 0.23% 2.92% 6.07% 21.84%
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
123
8
31-Dec-08 L+2373 bp
30-Mar-08L+766bp
17-Dec-10L+576bp
31-Oct-02L+645bp
0bp250bp500bp750bp
1000bp1250bp1500bp1750bp2000bp2250bp2500bp
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
3 yea
r disc
ounte
d spr
ead
13-year average= L+513bp13-year median= L+428bp
Loan spreads
Sources: J.P. Morgan; S&P/LCD.
17-Dec-1099bp
30-Sep-02559bp
-600bp
-400bp
-200bp
0bp
200bp
400bp
600bp
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Diffe
renc
e in y
ields
13-year average = 177bp13-year median = 154bp
Swap adjusted comparison of high-yield bond and loan yields
Sources: J.P. Morgan; S&P/LCD.
After a very strong January (+2.0%), a host of headline risks emerged which led to
more moderate returns for loan investors in February (+0.3%). Namely, fiscal chal-
lenges faced abroad by Greece and challenges faced domestically generating job
growth, coupled with moves by China to reign in lending, led to softer prices for
riskier assets beginning in late January and feeding into February. Nevertheless,
sentiment and prices quickly recovered, led by subsiding global economic fears
and strong corporate earnings, leading to very strong returns for loan investors
in March (+2.3%) and April (+1.5%). These conditions also led to a significant
improvement in new-issue conditions. Alongside March and April’s record bond
issuance ($40.5 billion and $34.2 billion), institutional loan new issuance climbed to
$18.8 billion, its highest since 2007. However, momentum was soon interrupted by
many of the same concerns that led to higher volatility earlier in the year. Without
any resolution or strong visibility market volatility surged, and leveraged loans suf-
fered in tow. The VIX reached a 14-month high in May, the 2-year Treasury yield
approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly
decline for stocks since February 2009. These conditions led to the worst total
return for leveraged loans since prices began to recover back in December
2008, down -2.2% in May.
High-yield bond and loan returns
Sources: J.P. Morgan; S&P/LCD.
3.0%2.3%
-3.4%
1.2%
3.3%2.8%
2.4%
-1.0%
2.0%
-0.5%
0.4%0.9%
0.1%
1.4%
0.2%0.8%
0.4%
1.5%
0.3%
-2.2%
1.5%2.3%
1.5%1.4%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10
Month
ly re
turns
(%)
High-yieldLeveraged loans
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
124
8
Leveraged loan new-issue volumes climbed to a three-year high
Sources: J.P. Morgan; S&P/LCD.
28 47 60 46 34 59 91153 183
321387
71 39
144
192209 184
139105 81
74
112112
159
149
86
38
58
201
77
243
139185
139 157
295265
166220 256
0
100
200
300
400
500
600
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
TD
Volu
me (
$bn)
Pro RataInstitutional
480
535
Price volatility has been relatively low in 2010
Sources: J.P. Morgan; S&P/LCD.
35
45
55
65
75
85
95
105
Jun-
07
Aug-
07
Oct-0
7
Dec-0
7
Feb-
08
Apr-0
8
Jun-
08
Aug-
08
Oct-0
8
Dec-0
8
Feb-
09
Apr-0
9
Jun-
09
Aug-
09
Oct-0
9
Dec-0
9
Feb-
10
Apr-1
0
Jun-
10
Aug-
10
Oct-1
0
Dec-1
0
Loan
price
s
Performing loansBB-rated loansB-rated loansCCC-rated loans
This set the stage for the markets’ positive multi-month run between July and
November. An improved tone to economic data, lower volatility, accommodative
interest rates, persistently strong earnings releases, and abundant corporate liquidity
allowed prices for leveraged loans to recover, providing positive total returns in
each month in the back half of the year. In particular, when Treasury yields rose
aggressively in November and December, prices for leveraged loans held
steady. This highlighted the asset classes’ appeal in a rising rate environment, and
coincided with record inflows into the asset class, even as money shifted into and
out of the high-yield bond asset class. In summary, leveraged loans provided far
less return volatility than HY bonds and most other asset classes throughout
2010, with prices falling less when market volatility rose in February, May,
and November.
New issuance: volumes climb to 3-year high
New-issue conditions for loans steadily improved throughout 2010. After a mere
$38.2 billion of institutional loans priced in 2009, issuance averaged more than
$12 billion per month, and total activity climbed to $143.7 billion. Including
revolvers and other non-institutional volume ($57.5 billion YTD), leveraged loan
volume totaled $201 billion, the most since 2007’s $535.2 billion.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
125
8
While this year’s institutional volume is significantly higher than the past two
years’ volume combined ($110.6 billion), the recovery in primary conditions for
leveraged loans has still trailed that for bonds. In particular, loan new-issue vol-
umes were less than bond volumes every month this year. For context, this year’s
high-yield bond volumes were close to 70% higher than their previous record last
year, while loan volumes are a fraction of their peak.
Largest loan deals in 2010Close Corp. Size Use of Coupon LIBOR At IssueDate Issuer Facility Ratings ($mm) Industry Proceeds Maturity (bps) floor Price Yield4/2010 American General Finance TL B2/B 3,000 Financial Refinancing 04/15/15 550 1.75% 98.50 8.92%10/2010 Burger King (3G Capital) TLB B2/B 1,850 Food/Beverages Acquisition 10/04/16 450 1.75% 99.00 6.95%4/2010 Reynolds & Reynolds TL Ba3/B+ 1,820 Technology Refinancing 04/14/17 350 1.75% 99.25 7.16%10/2010 Davita TLB Ba3/BB- 1,750 Healthcare Refinancing 10/17/16 300 1.50% 99.50 5.14%9/2010 Tomkins TLB Ba3/BB- 1,700 Industrials Acquisition 09/20/16 450 1.75% 99.00 7.07%10/2010 Grifols TLB B1/BB- 1,600 Healthcare Acquisition 09/29/16 425 1.75% 99.00 6.70%7/2010 Universal Health Services TLB Ba2/BB 1,600 Healthcare Acquisition 07/26/16 400 1.50% 98.50 7.02%10/2010 Fifth Third Processing 1st Lien TL Ba3/B+ 1,575 Services Acquisition 11/02/16 400 1.50% 99.00 6.30%12/2010 TransDigm TLB B1/B+ 1,550 Industrials Acquisition 12/04/16 350 1.50% 99.50 5.95%9/2010 Reynolds Group TLB B2/B+ 1,520 Consumer Prod. Acquisition 03/27/17 475 1.75% 99.00 7.39%10/2010 Goodman Global 1st Lien TL B1/B+ 1,500 Industrials Dividend 10/25/16 400 1.75% 99.00 6.43%9/2010 NBTY TLB B1/B+ 1,500 Retail Acquisition 09/20/17 450 1.75% 99.00 7.25%7/2010 Fidelity National Information TLB Ba1/BB 1,500 Financial Share buyback 07/10/16 375 1.50% 99.00 6.47%5/2010 Phillips Van-Heusen TLB Ba3/BB+ 1,500 Consumer Prod. Acquisition 05/02/16 300 1.75% 99.50 6.35%12/2010 Novelis TLB B1/B+ 1,500 Metals/Mining Dividend 12/11/16 375 1.50% 99.00 6.41%Source: J.P. Morgan.
High-yield bond issuance exceeded loan issuance for a second straight year
Sources: J.P. Morgan; S&P/LCD
2857 60 44 34 58
90154
184
325388
7238
144
46 69 43 47 74
126
151100
4795 68
152
158 106
149
147
53181
302
100
100
200
300
400
500
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
YTD1
0
($ bn
)
Institutional loan volume High Yield Issuance
Despite the increase in new loan volume this year, 2010 was still a strong year
for technicals, as elevated repayment activity continued apace and a steady
stream of inflows poured into retail funds ($10.8 billion). Repayments of $135.5
billion, fueled by $67.2 billion of bond for loan repayment activity, for the 2nd con-
secutive year led amount outstanding to contract. We estimate institutional loans
outstanding have declined to $694 billion, from $767 billion at the start of 2009 (-
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
126
8 High-yield bond for loan takeout volume remained high in 2010
Source: J.P. Morgan.
2.7
4.74.7
8.5
7.1
9.9
1.52.2
6.9
9.3
5.14.6
9.0
3.0
5.96.6
2.7
3.9
6.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Dec-1
0
Bond
-for-l
oan r
efina
ncing
volum
e ($b
n)
9.5%). A look at the table below highlights the strong technical backdrop for loans.
Net supply totaled only a slight surplus of $8 billion in 2010, despite $143.7 billion
of gross new issuance, after a $52.4 billion deficit in 2009.
As for other trends to surface in the new-issue market for loans in 2010, divi-
dend deals, covenant-lite, and LBO-related deals increased markedly as the
year progressed, at least compared to a much more restrictive backdrop for
capital markets in 2009. LBO financing accounted for 12% of volume in 1Q10,
24% in 2Q10, 44% in 3Q10, and 20% in 4Q10, or otherwise $25 billion YTD
(20%). Meanwhile, dividend deal volume rose from $750 million in 2009 to $14.4
billion in 2010. While of course a byproduct of improving risk appetite, this year’s
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTDGross New Issuance 28.3 56.7 59.8 43.5 34.1 57.7 90.1 154.3 184.0 324.6 388.3 72.4 38.0 143.7
Paydowns -10.1 -18.1 -36.0 -36.5 -29.8 -46.5 -66.9 -83.6 -92.9 -110.7 -149.1 -48.9 -41.8 -68.3Bond for loan takeouts -48.6 -67.2
Net Supply 18.2 38.6 23.8 7.1 4.4 11.2 23.3 70.6 91.1 213.9 239.3 23.4 -52.4 8.2
Sources: J.P Morgan; S&P/LCD.
Technicals in the loan market remain strong
Given CLO participation and investor leverage is unlikely to return to levels pre-
credit crisis anytime soon, the heavy participation of the bond market to refinance
substantial loan maturities between 2013 and 2015 has been necessitated. As a
result, issuers priced 152 bond transactions totaling $67.2 billion this year for
the purpose of replacing institutional loan facilities, on top of the $48.5 billion
completed last year (102 deals). This dynamic has 1) expanded the size of the
bond market 2) has supported technicals and 3) has reduced the sizeable schedule of
loans set to mature between 2013 and 2015.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
127
8
dividend activity was also driven in part by the uncertainty around the Bush era tax
rules. Finally, there was also an increase in covenant-lite volume with $6.6 billion
YTD, most of it in 2H10. Of course, this pales in comparison to the $96.6 billion
issued in 2007.
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 1Q10 2Q10 3Q10 4QTD YTD
Volume (billion) $28.3 $56.7 $59.8 $43.5 $34.1 $57.7 $90.1 $154.3 $184.0 $324.6 $388.3 $72.4 $38.3 $23.1 $41.9 $33.8 $44.8 $143.7Number of issues 256 433 421 326 190 242 376 648 733 930 915 187 120 54 99 82 104 339By rating (as a percent of total volume)Split BBB 0.0% 0.0% 2.0% 3.6% 4.6% 7.2% 2.0% 0.7% 1.2% 2.7% 2.7% 3.0% 0.0% 0.0% 0.0% 0.6% 0.0% 0.1%BB 14.5% 18.5% 40.2% 38.7% 45.6% 51.7% 39.2% 27.0% 20.9% 27.1% 24.8% 32.5% 26.1% 15.2% 21.1% 21.3% 16.1% 18.7%Split BB 4.7% 8.4% 7.0% 20.3% 18.0% 12.5% 19.5% 11.7% 15.3% 17.3% 24.5% 16.3% 12.4% 14.3% 11.6% 15.3% 13.3% 13.4%B 14.4% 11.9% 19.8% 12.3% 11.0% 10.5% 23.8% 42.6% 37.9% 30.8% 22.5% 13.6% 26.3% 49.0% 61.2% 55.0% 57.8% 56.7%Split B 0.0% 1.8% 0.0% 0.0% 0.0% 0.2% 0.0% 1.5% 1.0% 1.6% 2.8% 0.9% 3.7% 0.0% 0.4% 0.0% 0.8% 0.4%CCC 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.0% 0.3% 0.9% 1.3% 3.4% 0.4% 4.5% 0.3% 0.7% 1.4% 0.0% 0.6%NR 66.4% 56.1% 30.3% 24.3% 16.5% 13.4% 12.0% 16.0% 22.7% 18.9% 19.0% 27.0% 15.9% 14.1% 4.3% 6.4% 12.0% 8.8%Default 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 11.0% 7.1% 0.6% 0.0% 0.0% 1.3%By use of proceeds (as a percent of total volume)Recapitalization 8.9% 4.8% 11.3% 6.0% 4.5% 5.2% 12.5% 17.9% 19.9% 13.9% 11.7% 3.0% 2.2% 19.1% 5.9% 1.1% 2.9% 6.0%Refinancing 21.7% 15.1% 15.8% 24.8% 42.0% 51.8% 50.2% 35.3% 26.8% 18.6% 18.6% 10.8% 45.2% 44.3% 49.9% 23.6% 24.1% 34.8%Acquisition 62.6% 69.2% 64.5% 55.5% 45.5% 32.5% 29.4% 41.0% 46.8% 56.1% 63.7% 74.1% 29.2% 21.0% 36.3% 59.4% 41.2% 40.8%General Corporate 6.8% 8.3% 6.4% 11.6% 3.7% 5.1% 2.9% 3.0% 2.8% 6.8% 3.4% 4.7% 4.0% 0.0% 0.8% 2.4% 0.1% 0.8%Exit 0.0% 0.6% 0.1% 1.0% 2.5% 3.9% 4.0% 0.4% 1.4% 1.2% 0.6% 4.2% 3.3% 14.0% 5.1% 1.1% 1.1% 4.3%DIP 0.0% 0.0% 0.0% 0.0% 0.4% 1.5% 0.3% 0.8% 1.9% 0.9% 1.1% 1.4% 14.0% 1.6% 0.3% 0.4% 0.9% 0.7%Other 0.0% 2.0% 1.9% 1.0% 1.3% 0.2% 0.8% 1.7% 0.4% 2.6% 1.0% 1.8% 2.0% 0.0% 1.6% 11.7% 28.7% 12.2%Unknown 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.4% 0.9% 0.5%By industry (as a percent of total volume)Automotive 4.8% 3.1% 2.4% 1.8% 0.9% 1.3% 5.0% 0.4% 3.0% 5.6% 0.1% 3.0% 3.7% 0.9% 0.0% 1.7% 3.2% 1.5%Broadcasting 2.5% 2.3% 1.8% 3.6% 6.3% 2.9% 2.0% 1.8% 2.2% 1.1% 3.4% 7.2% 1.8% 5.6% 1.9% 0.8% 0.0% 1.7%Cable and Satellite 3.8% 3.4% 6.6% 7.7% 5.1% 0.6% 3.0% 4.1% 2.6% 5.9% 1.5% 2.6% 5.4% 1.1% 3.8% 0.0% 0.8% 1.5%Chemicals 6.7% 6.5% 6.0% 6.6% 8.6% 5.4% 6.7% 7.6% 6.2% 5.3% 5.6% 8.1% 17.9% 7.9% 2.9% 3.1% 3.4% 3.9%Consumer Products 4.8% 4.5% 2.8% 1.8% 7.6% 2.5% 3.1% 4.5% 3.1% 3.0% 1.8% 0.7% 4.4% 4.1% 8.4% 5.7% 2.5% 5.2%Diversified Media 3.0% 3.9% 3.6% 2.1% 4.1% 7.1% 4.8% 3.6% 3.5% 5.6% 7.0% 4.4% 3.5% 0.0% 5.7% 1.8% 0.0% 2.1%Energy 0.7% 2.6% 2.4% 0.5% 3.3% 2.5% 4.4% 4.0% 8.1% 4.4% 3.9% 7.9% 4.7% 1.6% 3.2% 3.8% 0.4% 2.2%Financial 0.2% 0.6% 0.3% 1.5% 0.0% 0.5% 1.1% 1.0% 1.0% 1.1% 1.0% 0.4% 2.1% 6.0% 15.1% 5.5% 2.1% 7.3%Food and Beverages 10.4% 6.3% 4.1% 5.0% 10.1% 8.3% 7.6% 5.1% 4.2% 6.0% 3.4% 5.6% 9.0% 8.5% 5.0% 5.2% 13.0% 8.1%Gaming Lodging and Leisure 4.4% 6.4% 12.0% 4.6% 5.1% 6.9% 4.6% 7.6% 7.9% 5.3% 6.3% 7.4% 6.7% 9.5% 11.2% 4.0% 2.1% 6.4%Healthcare 13.6% 7.8% 7.7% 3.1% 8.3% 8.8% 8.6% 6.7% 7.5% 8.0% 9.2% 5.5% 10.5% 19.0% 5.1% 17.2% 15.7% 13.5%Housing 2.2% 3.6% 4.3% 4.4% 1.0% 4.9% 5.2% 5.7% 8.5% 3.6% 3.2% 1.2% 1.2% 1.9% 0.9% 0.0% 1.6% 1.0%Industrials 6.9% 7.2% 1.9% 9.2% 8.3% 8.1% 2.4% 4.3% 3.1% 4.4% 3.2% 5.9% 1.1% 6.3% 5.3% 8.7% 11.3% 8.1%Metals and Mining 4.1% 11.5% 2.2% 1.4% 1.8% 2.8% 3.3% 2.9% 2.1% 2.3% 3.3% 1.1% 1.5% 0.0% 1.4% 1.8% 3.3% 1.9%Paper and Packaging 5.4% 0.0% 1.8% 4.8% 4.9% 4.8% 2.8% 4.4% 1.0% 3.4% 1.8% 4.4% 3.2% 8.1% 1.9% 2.7% 0.0% 2.5%Retail 8.4% 5.4% 2.6% 3.0% 7.4% 4.8% 5.3% 3.3% 4.6% 3.3% 3.7% 2.8% 3.3% 3.5% 2.0% 6.5% 5.0% 4.2%Services 3.4% 8.3% 14.7% 6.7% 6.4% 5.6% 7.8% 6.7% 10.8% 10.0% 15.5% 7.3% 7.5% 6.2% 7.4% 17.7% 19.7% 13.5%Technology 7.1% 3.1% 4.5% 7.5% 3.6% 5.1% 5.5% 4.5% 8.7% 9.2% 5.0% 12.4% 6.3% 7.4% 10.4% 4.4% 8.9% 8.0%Telecommunications 5.1% 11.1% 16.2% 18.2% 3.9% 5.3% 4.9% 7.4% 6.5% 4.9% 6.3% 4.2% 4.4% 1.6% 3.9% 6.2% 7.1% 5.1%Transportation 2.6% 2.1% 1.9% 1.7% 0.9% 2.5% 2.9% 7.5% 2.0% 2.8% 5.8% 2.5% 1.1% 0.0% 1.3% 1.1% 0.0% 0.6%Utility 0.0% 0.3% 0.1% 5.1% 2.6% 9.3% 8.9% 7.0% 3.5% 5.0% 9.1% 5.3% 0.8% 1.0% 3.4% 2.1% 0.0% 1.6%
Institutional loan activity
Sources: J.P Morgan; S&P/LCD.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
128
8
Demand: retail flows reach new heights
Following $3.4 billion of inflows last year, bank loan funds reported retail inflows
of $10.8 billion in 2010. In particular, 13 weekly inflows this year have topped
$300 million after never having done so prior to 2010. Of note, inflows into
bank loan funds accelerated as the year progressed, particularly during
November when rate volatility rose. For example, 6 of the last 8 inflows into
bank loan funds were the largest on record, the latest being +$890 million, the
largest on record by $410 million (+85%). At least compared to “less than uni-
form” flows into high-yield bond funds, flows into leveraged loan funds remained
steady all year. In all, high-yield funds had inflows in 34 of 49 weeks (including
seven inflows or outflows in excess of $1 billion), while bank loan funds had
After a frenzy of activity last year, amend to extend activity declined in 2010. In
particular, amend to extend activity declined by more than 50% in 2H10 ($21 bil-
lion) versus 1H10 ($44 billion). Seperately, covenant relief volume dropped from
effecting $236 billion of leveraged loan volume in 2009 to $97 billion in 2010.
Debt multiples on new deals remain fairly conservative
Source: S&P/LCD
3.9 4.2 4.3 4.43.94.03.8
4.95.35.15.05.3
3.83.74.0
5.65.85.2 5.2
4.5
0123456789
10
1987
1988
1989
1990
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
TD
FLD/EBITDA SLD/EBITDA Other Sr Debt/EBITDA Sub Debt/EBITDA8.8
7.16.7
Amendments and covenant waivers declined in 2H10
Source: S&P/LCD.
26 9
4 4 4 3 411
1 311
15
4 210
4 4 28
37
1921
22
47
30 28
4
25
11
9
1214
12
18
115
13
8 5 74
0
10
20
30
40
50
60
Jan-
09
Feb-
09
Mar-0
9
Apr-0
9
May-0
9
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Volum
e ($b
n)
Amend to extend Covenant relief
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
129
8
(5,000)
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
Jan
Jan
Feb
Feb
Mar
Mar
Apr
Apr
Apr
May
May
Jun
Jun Jul
Jul
Aug
Aug
Sep
Sep
Sep
Oct
Oct
Nov
Nov
Dec
Dec
Jan
Annu
al cu
mulat
ive in
flows
($mn
)
2009 2010
Cumulative inflows into bank loan funds
Source: Lipper FMI.
inflows in 46 of 49 weeks. Given an improving economic growth outlook, and
prospects for higher rates in 2011, we expect flows into retail bank loan funds to set
another record in the year to come. Meanwhile, anecdotally, crossover demand from
relative value players like hedge funds, high-yield funds, multi-strategy managers,
and even pension funds, endowments, and other institutional investors has increased
since yields across all fixed income products declined toward historic lows.
Retail flows into and out of high-yield bond and loan funds throughout 2010
Source: Lipper FMI.
1.9
(2.5)
3.02.0
(5.7)
0.9
3.9
1.5
4.4
2.3
(1.2)
0.80.1
1.61.0 1.11.3
0.40.3
1.50.9
0.3
(8.0)
(6.0)
(4.0)
(2.0)
0.0
2.0
4.0
6.0
Jan Feb Mar Apr May June Jul Aug Sep Oct Nov Dec
($bn
)
HY Bond Flows LL Fund Flows
Appetite for HY wanes (Greece/job concerns)
LL inflows remain steady exceeding cum. HY inflows
by $2.3bn
HY inflow reversal on improved eco. outlook and market sentiment.
HY: $6.3bn outflow in May-earliy Jun on
resumed eco., euro zone, and
fin. reform concerns.
Reach for yield in low all in yields environment and stabilization in eco.
indicators underpin strong demand for HY & LL between Jul and mid Nov
HY demand under pressure (sharp backup in Tsy
ylds/renewed Euro zone concerns).
Appetite for LL surges (floating rate
feature/seniority)
1.2 1.4
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
130
8
8.1 7.93.0
29.7
11.6
5.91.53.20.6
90.1
1.21.27.1
30
93
60
3511
612
232633
94
0102030405060708090
100
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Numb
er of
defau
lts
0.010.020.030.040.050.060.070.080.090.0100.0
($bn)
Amount ($ bn) Number
Annual number and dollar volume of institutional bank loan defaults
Note: 2010 data is through November 30.Sources: J.P. Morgan; S&P/LCD.
Prime Rate Fund
13%
Insurance Co.
6%
Hedge, Distressed & High-Yield Funds
34%
Finance Co.
4%
CLO
43%
Investor participation in this year’s primary market activity
Source: S&P/LCD.
0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0%90.0%
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
TD
US BanksFinance Co.Foreign BankInstitutional InvestorSecurities Firm
Buyer base for new loans
Source: S&P/LCD.
Defaults: default rates well below long-term average
Default activity declined significantly in 2010, following last year’s record-high
volume. Through November 30, 41 companies defaulted, affecting a combined $19
billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional
bank loans). By comparison, 120 companies defaulted on a record-high $185 billion
in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in
bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan
only borrowers, and the remaining 8 companies had both bonds and loans outstand-
ing. Specifically for the high-yield bond market, this year’s $7.4 billion of bonds
affected was the third lowest volume in the last 13 years, trailing only 2005’s $3.2
billion and 2006’s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was
the third largest total on record, trailing last year’s $90.1 billion and 2008’s
$29.7 billion.
After setting record highs in 2009, loan default rates fell significantly in 2010.
During the year, the par-weighted default rate for loans decreased to 2.18% from
12.78%, and the issuer-weighted default rate declined to 2.86% from 7.34%. As a
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
131
8
Twelve-month rolling par-weighted default rates
Nov-09 10.98%
Nov-10 0.74%
Nov-09 14.18%
Nov-10 2.18%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Defau
lt rate
High-yield bond default rateLeveraged loan default rate
reminder, given strong market technicals, few 2011 or 2012 maturities, and an
expected moderate acceleration in US GDP growth next year, our 2011 default fore-
casts for high-yield bonds and loans are 1.5% and 2%, respectively. Additionally,
our 2012 forecasts for bond and loan default rates are 2% and 3%, respectively.
Sources: J.P. Morgan; S&P LCD.
Twelve-month rolling issuer-weighted default rates
Nov-10 2.16%
Oct-09 10.04%
Nov-10 2.86%
Oct-09 7.89%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Jan-
94
Jan-
95
Jan-
96
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Defau
lt rate
High-yield bond default rateLeveraged loan default rate
Sources: J.P. Morgan; S&P LCD.
Default activity was generally steady during the year, with the number of defaults
ranging from 2 to 5 in each month except for January when 8 companies defaulted.
This was a dramatic change from last year when an average of 10 companies
defaulted per month. Default volumes reflected a different story, with total default
volume increasing to an YTD high of $4.1 billion in November. Specifically, bond
default volume increased for six consecutive months through November, from
no defaults in May to $3 billion, and outpaced bank loan default volume in
September, October and November, after trailing loan volumes during the
prior 9-month stretch. Indicative of this pick up in defaults at the tail end of the
year, six of the ten largest YTD defaults (including both bonds and loans) occurred
in the 70 days leading up to November 30—November’s 5 defaults reflected the
second, third, eighth, fifteenth, and sixteenth largest YTD.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
132
8
Loan only issuers outpaced bond only issuer defaults by a score of 2 to 1
54
2
44
2223
5
8
3
56
7
9910
11
1717
10
1615
02468
1012141618
Dec-0
8
Jan-
09
Feb-
09
Mar-0
9
Apr-0
9
May-0
9
Jun-
09
Jul-0
9
Aug-
09
Sep-
09
Oct-0
9
Nov-0
9
Dec-0
9
Jan-
10
Feb-
10
Mar-1
0
Apr-1
0
May-1
0
Jun-
10
Jul-1
0
Aug-
10
Sep-
10
Oct-1
0
Nov-1
0
Numb
er of
defau
lts
Loan-only defaultsBond-and-loan defaultsBond-only defaults
Average number of defaultsLast 6 months = 3.56-months ending Dec 09 = 6.56-months ending May 09 = 14.3
Source: J.P. Morgan.
First-lien loan recovery rates
7262
5869
848488
73
596569
74
57
7986
7568
5361
6872
0.010.020.030.040.050.060.070.080.090.0
100.0
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Reco
very
(cents
on th
e doll
ar)
Average = 65.6%
Note: The grey shade in 2009 represents recovery rates using current prices versus the traditional measure 30 days after to accountfor the absence of liquidity in early 2009 when most of the default activity occurred.Sources: J.P Morgan; S&P/LCD.
Recovery rates for bonds and loans in 2010 were roughly in-line with historical
averages. For bonds, the average recovery rate was 40.9%, compared with the long-
term average of 39.2%. Senior secured bonds recovered $50.2, while senior and
senior subordinated bonds recovered $25.9 and $23.2, respectively. For first-lien
loans, average recoveries in 2010 averaged 72.2%, compared with Moody’s long-
term average of 65.6%, while second-lien loan recoveries were 13.3%.
Maturity schedule
As a result of the significant new-issue volumes back in 2006 and 2007, the maturi-
ty schedule for high-yield bonds and loans continues to be a focal point for lever-
aged credit investors. As it now stands, high-yield bond and loan maturities over the
next two years are negligible, with only $180 billion coming due in 2011 or 2012.
To put this into perspective, refinancing related issuance in the high-yield bond mar-
ket totaled $265 billion in 2010. The real question lies beyond the next two years.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
133
8
Specifically, between 2013 and 2016, $1.08 trillion of high-yield bonds and loans
will come due ($503 billion bonds and $575 billion loans). In particular, 2013 and
2014’s $376 billion of institutional loans coming due equals 55% of all outstanding
institutional loans.
High-yield bond and loan maturities
51 52
77
122
167
137153
115
42
97 100
22
56
124
252
94106
31
1 0 0 00
50
100
150
200
250
300
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 or
later
High-yield bonds Institutional leveraged loans
Note: As of November 9, 2010.Sources: J.P. Morgan; Markit.
Change in maturities since year end 2008
-57 -64-90
-127
-55
70
127 116
245
-140
-105
-70
-35
0
35
70
105
140
175
210
245
2010 2011 2012 2013 2014 2015 2016 2017 2018 or
later
Note: Change is measured between December 31, 2009 and November 9 2010. Sources: J.P. Morgan; Markit.
Debt maturing through 2014 has dropped nearly $400 billion since December
2008. As a result, the amount of debt set to mature through 2014 has been
reduced by $393 billion since the beginning of last year. More specifically, matu-
rities for 2010, 2011, 2012, 2013 and 2014 have declined by $57 billion, $64 bil-
lion, $90 billion, $127 billion and $55 billion, respectively.
By asset class, the bond market has actually grown in aggregate by roughly $130
billion YTD, while the loan market remains relatively unchanged (+$8 billion). The
growth of bonds relative to loans is largely the result of the record primary market
volumes in high-yield, with a large share of new issuance used in bond-for-loan
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
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takeout activity (YTD volume of $67 billion). As a result, maturities in the bond
market through 2014 have dropped by $106 billion, compared with a $288 billion
drop in loan maturities over that same span. Meanwhile, maturities in 2015 and
beyond for both markets has grown by $559 billion ($417 billion in bonds and $142
billion in loans). Notably, all $142 billion in loan maturities were added to 2015,
2016 and 2017, while $172 billion of bond maturities was added to these years and
$245 billion was added to 2018 or later.
The following is from the 2011 Global CDO outlook published November 24 and
available on Morgan markets (Rishad Ahluwalia and Maggie Wang).
The future of the primary CLO market
Demand is picking up for CLO primary, with investors attracted to the historically
high current coupon and subordination. We forecasted $5bn gross global CLO sup-
ply for 2010. With $5.7bn, that goal has been achieved. We expect $12.5bn ($10-
15bn) in 2011 and $25bn ($20-30bn) in 2012, but supply is net negative as pay-
downs will accelerate and outstandings will decline $57bn to $337bn by 2014. Our
CLO supply projections are a fraction of peak volumes and leveraged finance will
likely continue relying on the high yield market given the significant disruption to
securitization markets very recently. Further, CLO origination depends on banks’
willingness to warehouse risk, financial reform, and the broader supply prospects
for loans. Nevertheless, CLOs can play a role in future credit provision. Again, even
assuming a large portion of bond and loan activity is used to reduce loan maturities
in 2011, a large part of the $575bn wall will remain, and since most 2006/2007
CLOs will start amortizing, new CLOs can help mitigate defaults and damage to
economic activity. On a broader level, our FIG analysts estimate $848bn and €1.8tn
of bank debt in the US and Europe comes due by end-2013. Banks are not relying
on securitization as much as in the past, but CLOs’ distribution channel and disin-
termediation can potentially ease some of the burden on balance sheets, especially
as Basel III raises total capital requirements from 8% to 18% over the next few
years, so holding loans on the balance sheet may be less efficient. See our MBS col-
-39-25 -22 -28
8
41 45
86
245
-50
0
50
100
150
200
250
2010 2011 2012 2013 2014 2015 2016 2017 2018
or later
Change in high-yield bond maturities since year end 2008
Note: Change is measured between December 31, 2009 and November 9 2010. Sources: J.P. Morgan; Markit.
-18
-64
30
-39
-68
-99
82
30
0
-110
-90
-70
-50
-30
-10
10
30
50
70
90
2010 2011 2012 2013 2014 2015 2016 2017 2018
or later
Change in leveraged loan maturities since year end 2008
Note: Change is measured between December 31, 2009 and November 9 2010. Sources: J.P. Morgan; Markit.
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
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nelson.r.jantzen@jpmorgan.com
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leagues’ Outlook. Finally, we highlight the Fed’s recent Senior Loan Officer Survey:
respondents believe lending conditions would remain tighter than their long-term
average past 2011. This and broader bank deleveraging suggests a degree of disin-
termediation of the demand for credit is helpful. CLOs can be part of the solution.
CLO gross/net supply
19 18 2439
70
150 139
44
7 5 1325
121
18
-33-45 -38
-19
17 13 18 32
61
136
-100
-50
0
50
100
150
200
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Annual Gross Annual Net
Note: Global arbitrage and balance sheet transactions.Sources: J.P. Morgan; S&P/LCD.
Reinvestment expiry calendar and estimated reinvestment capacity of current outstanding US CLOs
28
4861
88
60
3139
1 6
0
20
40
60
80
100
120
2006 2008 2010 2012 2014 2016 2019
CLOs exiting reinvestment periodper year
Total Reinvestment Capacity
Sources: J.P. Morgan; S&P/LCD.
Annualized loan prepayment rates have been in a 15-25% range over the last few
quarters and we estimate US CLOs received about $66bn cash flows from prepays
for reinvestment this year. If we consider both prepayments and collateral sales,
CLO reinvestment may be as high as $105bn for FY 2010, and the effective CLO
reinvestment rate may actually be closer to 38% for the year. The evidence suggests
CLO managers are taking advantage of portfolio “WAL test” headroom and rein-
vesting into new-issue loans, which commonly have five- or six-year maturities and
higher coupons with Libor floors. This effectively increases excess spread to equity
and fees, but may also be creating extension risks. In fact, S&P states that existing
CLOs bought about 37.6% or $45bn of $120bn new-issue loans in 2010 YTD. Our
analysis estimates current outstanding US CLOs have reinvestment potential of
$86bn, $68bn, $47bn, and $23bn for 2011, 2012, 2013, and 2014 or a cumulative
$224bn to 2015.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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alisa.meyers@jpmchase.com
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CLO underlying asset maturities
4 8
28
75
123
33
50
111 3 5
19
37 34
177
0
20
40
60
80
100
120
140
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Underline maturity inUS CLOsUnderline maturity inEuro CLOs
Sources: J.P. Morgan; S&P/LCD.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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9
The case for leveraged loans
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
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Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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9
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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December 2010
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9
The case for leveraged loans
To help understand the current state of the leveraged loan market and the prospects
for the asset class going forward, a brief reflection upon where the asset class has
been over the past couple of years is warranted. For leveraged loans, this discus-
sion is complicated by the sizeable growth the market experienced pre-credit crisis,
and the crucial role investor leverage played in obtaining that growth. In our view,
the investing landscape for leveraged loans will continue to mend in 2011. With
yields on fixed-rate bonds near historic lows and rate volatility expected to increase
alongside an economic recovery, we believe the risk/return profile for floating rate
loans will further improve on a relative basis in 2011, making loans among the most
appealing investments to shield a portfolio against the potential of rising rates/infla-
tion. In particular, due to their floating rate feature, leveraged loans limit interest-
rate risk, and thereby exhibit a low correlation to most asset classes. With default
risk low for the foreseeable future and very little room for interest-rates to fall fur-
ther, it should again prove beneficial next year to add leveraged loans to a high-
yield or investment-grade portfolio for diversification purposes.
Capital market conditions for leveraged loans continue to recover
Sources: J.P. Morgan; S&P LCD.
126151
100
47
9568
152181
300
184
325
388
72
235
53
148149106
158 160135
38
154
9058
3444605728
0.050.0
100.0150.0200.0250.0300.0350.0400.0450.0
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E
New-
issue
volum
e ($b
n)
High-yield new-issue volume
Institutional leveraged loan new-issue volume
First for context, leveraged loan prices went as low as $60 in December 2008 (his-
torical recovery value is $70) amid a bout of forced selling at the hands of financial
and investor de-leveraging, but more recently have recovered to $95. Some contrib-
utors to the forced selling at the time included banks offloading bridge loans, an
unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests,
and sales by mutual funds and hedge funds in order to meet mounting redemptions.
In early 2009 as investor de-leveraging wound down, the abatement of forced sell-
ing allowed prices to recover sharply from depressed levels. For example, prices on
the S&P LSTA Leveraged Loan index rose from 61.74 in December 2008, to 87.35
in December 2009. These conditions coupled with a sharp drop in default risk led to
historic returns for leveraged loans of +51.6% in 2009. While returns for lever-
aged loans have trailed returns for high yield bonds in 2010, they have man-
aged to provide a healthy return of 9.6%. Notably, leveraged loans have also pro-
vided far less return volatility than bonds throughout 2010, with prices falling less
when market volatility rose in February, May, and November.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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For 2011, prospects for leveraged loans look bright, with a better GDP outlook (in
light of the recent tax compromise), low defaults, strong balance sheets, and an
upward bias to interest rates supporting demand for loans. Shades of this are already
showing up in retail fund flow data and through conversations with various demand
sources. For example, prices held reasonably steady and retail flows into the loan
asset class reached historic heights in recent months, even as money shifted violent-
ly into and out of the high-yield bond asset class amid a more volatile rate environ-
ment. Meanwhile, anecdotally, crossover demand from relative value players like
hedge funds, high-yield funds, multi-strategy managers, and even pension funds,
endowments, and other institutional investors has increased since yields across all
fixed income products declined. Loans offering a 5-6% floating rate yield with col-
lateral protection should continue to garner significant attention in 2011. Forming
the case for leveraged loans, we first lay out our outlook on key elements for the
asset class for 2011. Beyond this, we discuss other defining features that we expect
will continue to draw significant attention to the asset class in the years ahead,
namely an attractive Sharpe ratio and low correlation to Treasuries.
High-yield bond and loan returns
Sources: J.P. Morgan; S&P/LCD..
3.0%2.3%
-3.4%
1.2%
3.3%2.8%
2.4%
-1.0%
2.0%
-0.5%
0.4%0.8%
0.1%
1.4%
0.2%0.7%
0.4%
1.5%
0.3%
-2.2%
1.5%2.3%
1.5%1.4%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10
Month
ly re
turns
(%)
High-yieldLeveraged loans
High-yield bond and loan spreads remain wide
Sources: J.P. Morgan; S&P/LCD.
0bp
300bp
600bp
900bp
1200bp
1500bp
1800bp
2100bp
Jan-
97
Jan-
98
Jan-
99
Jan-
00
Jan-
01
Jan-
02
Jan-
03
Jan-
04
Jan-
05
Jan-
06
Jan-
07
Jan-
08
Jan-
09
Jan-
10
Spre
ad
High yield
Leveraged loan
HY spread15-Dec-10T+582bp
Loan spread15-Dec-10L+574bp
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
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December 2010
141
9
GDP growth of 3% in 2011 and 2012: Due to a boost to disposable income in the
early part of next year at the hands of the recent tax compromise, US GDP is now
forecasted to expand 3.75% in 1H11 and 3.25% in 2H11. Furthermore, the forecast
looks for a gradual acceleration in growth and hiring, sustained low core inflation,
and a Fed that continues on the course of LSAP to support the economy. With the
seeds of an economic recovery planted, our economists forecast US GDP growth
(y/y) of 3.3% in 2011 and 3.0% in 2012, after growing 2.9% in 2010. Stronger
growth in 2011 has positive implications for already strong credit fundamentals for
loan issuers.
Historically low interest rates: Although we expect growth to rise over the next
two years, importantly, the US economy will still be operating with considerable
slack. By the end of 2011, the US unemployment rate is expected to approach 9%,
and is unlikely to fall below 8% until sometime in 2013. While our economists’
forecast does not call for outright deflation, core inflation is apt to remain below 1%
through 2011 (0.7% y/y) and 2012 (0.9% y/y). With unemployment high and infla-
tion low, Libor is expected to remain unchanged over the next year at 0.28%, and
the Fed Funds rate will likely remain near zero over the next two years. Even so,
investors will likely begin to contemplate the Fed’s eventual exit strategy in 2011.
All of this leads our rates team to envisage a gradual pick-up in Treasury yields next
year alongside improving growth prospects. Specifically, they forecast 2yr, 5yr, 10yr
and 30yr Treasury yields will increase to 1.00%, 2.45%, 3.60%, and 4.80% by year-
end 2011. For leveraged loans, while an unchanged Libor rate will do little to boost
current income, the prospect for rising interest rates will continue to draw demand
toward floating rate products.
J.P Morgan US economic forecasts
Source: J.P. Morgan.
%q/q %y/y4Q10E 1Q11E 2Q11E 3Q11E 4Q11E 2010 2011 2012
Real GDP 3.5% 3.5% 4.0% 3.5% 3.0% 2.9% 3.3% 3.0%Unemployment rate 9.7% 9.6% 9.4% 9.2% 9.0% 9.7% 9.3% 8.7%Core CPI 0.4% 0.6% 0.6% 0.7% 0.8% 1.0% 0.7% 0.9%
Contribution to real GDP growth (% pts)Domestic final sales 3.4% 3.3% 3.7% 4.1% 3.3% 1.9% 3.5% 3.1%Net exports 1.4% 0.5% 0.2% -0.3% -0.5% -0.6% -0.1% -0.2%Inventories -1.2% -0.3% 0.1% -0.3% 0.1% 1.5% -0.1% 0.0%
ComponentsSavings rate 5.1% 5.3% 5.3% 5.1% 5.1% 5.6% 5.2% 4.8%Real disposable income 1.0% 4.5% 3.5% 3.0% 3.0% 1.3% 3.0% 2.3%Consumer spending 4.0% 3.5% 3.5% 4.0% 3.0% 1.7% 3.2% 2.7%Residential investment 0% 10% 15% 15% 10% -3.2% 4.9% 12.8%Housing starts 0.55 0.60 0.65 0.68 0.70 0.59 0.66 0.78Light vehicle sales (SAAR) 12.2 12.4 12.6 12.8 12.9 11.5 12.7 13.2
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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Default rates to remain low: Leveraged loan default rates are likely to end 2010 at
roughly 2.0%, versus 12.8% in 2009 and a long-term average of 4.0%. With market
technicals strong leading into next year, 2011 and 2012 maturities negligible, our
2011 and 2012 default forecasts for leveraged loans are 2% and 3%, respectively,
both still below their long-term average. For perspective, based on current spreads
of L+588bp for loans, the implied default rate is 8.7%. Conversely, based on our
default forecast, loan spreads should be L+355bp. In other words, loan spreads are
cheap versus default risk and economic and/or interest rate surprises in 2011 stand a
high chance of being absorbed at these levels.
2011 year-end spread and return targets for loans: For leveraged loans, we fore-
cast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with the
potential for stronger returns in 2H11 versus 1H11, as investors begin to contem-
plate the Fed’s eventual exit strategy, raising the demand for floating rate loans. For
full-year 2011, we forecast a return of 7.1%, which should be very attractive rela-
tive to other return opportunities in fixed income.
Treasury yields are expected to rise in 2011
Source: J.P. Morgan.
Change Current 4Q10E 1Q11E 2Q11E 3Q11E 4Q11E current/4Q11
Rates Fed funds target 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0-0.25% 0 bp3-mo LIBOR 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0 bp3-month T-bill (bey ) 0.14% 0.14% 0.15% 0.18% 0.19% 0.21% + 7 bp2-yr Treasury 0.67% 0.45% 0.60% 0.80% 0.90% 1.00% + 33 bp5-yr Treasury 2.12% 1.50% 1.75% 2.20% 2.30% 2.45% + 33 bp10-yr Treasury 3.53% 2.80% 2.95% 3.35% 3.50% 3.60% + 7 bp30-yr Treasury 4.59% 4.10% 4.25% 4.55% 4.65% 4.80% + 21 bp
2s / 10s 2.86% 2.35% 2.35% 2.55% 2.60% 2.60% - 26 bp5s / 10s 1.41% 1.30% 1.20% 1.15% 1.20% 1.15% - 26 bp
Default rates are expected to remain low through 2012
1.7%
9.1%8.0%
3.3%
0.9% 0.4%
2.3% 2.0%
6.6%
0.5%
3.9%
12.8%
2.0%3.0%
1.1%
4.1%5.0%
10.3%
0.8%1.5%
6.3% 6.0%
2.3%1.0%
0.2%1.5%
4.2%
1.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
2010
2011
E
2012
E
Par-w
eighte
d defa
ult ra
tes
High-yield bond default rate
Loan default rate Long-term average default rateHigh-yield bonds: 4.3%Leveraged loans: 4.0%
Sources: J.P. Morgan; S&P LCD.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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alisa.meyers@jpmchase.com
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December 2010
143
9
High-yield bond and loan maturities
51 52
77
122
167
137153
115
42
97 100
22
56
124
252
94106
31
1 0 0 00
50
100
150
200
250
300
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 or
later
High-yield bonds Institutional leveraged loans
Note: As of November 9, 2010Sources: J.P. Morgan; Markit.
Supply will remain focused on refinancing heavy debt maturities: We expect to
see continued improvement in primary conditions for leveraged loan issuers in
2011, after a better than three-fold increase in institutional volume year-over-year in
2010. For 2011, we forecast new-issuance of $160 billion, above this year’s pace of
$140 billion. In terms of the maturity wall, 58% of the $412 billion in bonds and
loans issued this year were used for refinancing purposes. Including 2009’s issuance
and amend to extend activity, the amount of debt set to mature through 2014 has
now been reduced by $393 billion since the beginning of last year. As such, high-
yield bond and loan maturities over the next two years are negligible, with only $73
billion and $108 billion coming due in 2011 and 2012. To put this into perspective,
the leveraged credit market completed $239 billion of refinancing related issuance
thus far in 2010. This provides a clear runway for issuers and investors and is one
of the factors behind our benign default outlook. Even so, focus in the primary mar-
ket over the next couple of years will continue to be directed toward maturities
between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans still stand to
come due ($503 billion bonds and $575 billion loans).
Leveraged loan valuations
Source: J.P. Morgan.
What today's loan spread implies for future defaultsActual spread Excess spread Default loss Recov rate Default rate
574bp - 285bp = 289bp / (100% - 65%) = 8.2%Leveraged loan spread estimate using a 2% default rate
Par - Recov. rate Default rate Default loss Excess spread Implied spreads(100% - 65%) x 2.0% = 70bp + 285bp = 355bp
Expected 2011 leveraged loan return
Source: J.P. Morgan.
Income component 4.1%Current spread L+574bpTarget spread L+475bpPrice contribution 3.0%Expected total return 7.1%
Peter D. Acciavatti (1-212) 270-9633
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Tony Linares (1-212) 270-3285
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Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
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Risk/return: attractive profile is resurfacing for loans When making an asset allocation decision, recognizing volatility in the context of
returns is an important step toward managing risk. For leveraged loans, this discus-
sion becomes extremely complicated by 1) the sizeable market growth experienced
pre-credit crisis 2) the crucial role investor leverage played in obtaining that growth
and 3) the altered landscape in the aftermath of reduced TRS lines and the absence
of new CLO origination. Because of extreme price swings experienced during
the financial crisis, a look at returns and volatility extending beyond the past
year creates an unfavorable comparison. For example, loan prices dipped to lev-
els likely to never be seen again in the fall of 2008, which were below historical
recovery rates, driven by forced selling via banks offloading bridge loans, an
unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests,
and sales by mutual funds and hedge funds in order to meet mounting redemptions.
Pre-credit crisis, leveraged loan prices rarely deviated from par, and return volatility
at the time was only a fraction of that experienced by most other asset classes.
Annual returns for leveraged loans
10.0%5.2% 5.1%
51.6%
-29.1%
1.9%4.2%5.0%4.2%5.5% 6.8%2.0%
7.5% 9.6%
-40.0%-30.0%-20.0%-10.0%
0.0%10.0%20.0%30.0%40.0%50.0%60.0%
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
YTD
Annu
al tot
al re
turn
Source: S&P/LCD.
Average annual returns Average annual volatility Modified Sharpe Ratio 1
1 3 5 7 10 15 1 3 5 7 10 15 1 3 5 7 10 15year year year year year year year year year year year year year year year year year year
Fixed Income5-year Treasury 6.64% 7.28% 7.03% 5.38% 6.12% 5.94% 4.89% 5.23% 4.70% 4.62% 4.98% 4.62% 1.36 1.39 1.50 1.17 1.23 1.2810-year Treasury 7.30% 7.23% 6.85% 5.77% 6.21% 5.89% 8.75% 9.73% 8.21% 7.75% 8.15% 7.59% 0.83 0.74 0.83 0.74 0.76 0.78JPMorgan MBS Bond Index 4.80% 7.00% 6.82% 5.95% 6.28% na 2.78% 3.40% 3.04% 2.94% 2.93% na 1.73 2.06 2.24 2.02 2.14 naAggregate Bond Index 6.04% 6.39% 6.23% 5.42% 6.15% 6.22% 3.22% 4.12% 3.58% 3.57% 3.80% 3.66% 1.88 1.55 1.74 1.52 1.62 1.70Investment Grade Index 8.96% 7.81% 6.93% 5.98% 7.22% 6.77% 4.18% 8.59% 6.94% 6.34% 6.13% 5.58% 2.14 0.91 1.00 0.94 1.18 1.21
JPMorgan Global HY Index 16.34% 9.60% 8.72% 8.54% 9.24% 7.62% 6.95% 16.49% 12.98% 11.18% 10.43% 9.19% 2.35 0.58 0.67 0.76 0.89 0.83S&P 500 9.94% -5.15% 0.98% 3.65% 0.81% 6.45% 18.38% 21.80% 17.59% 15.47% 16.25% 16.30% 0.54 -0.24 0.06 0.24 0.05 0.40Leveraged loans 11.99% 5.46% 5.07% 5.10% 5.15% 5.39% 4.81% 14.05% 11.02% 9.30% 7.91% 6.50% 2.49 0.39 0.46 0.55 0.65 0.83
Risk adjusted returns
1. Returns are through November 30, 2010Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
145
9
Importantly, while return volatility for the leveraged loan asset class is unlikely to
return to the very low levels pre-credit crisis (1.5% annualized five-years ending
June 2007), encouragingly, we do believe it will continue to recede to a more nor-
malized level that could match, or even fall below what has been experienced over
the past 12 months. As of November 30th 2010, the standard deviation of twelve
months returns for leveraged loans has dropped to 4.8%, from a peak of 23.6% in
August 2009, and the return per unit of risk has improved to 2.5% (return of 12%
divided by volatility of 4.8%). By comparison, this risk/return profile has exceeded
that for stocks and Treasuries over the past year, and more closely resembled that for
other credit products. Going forward, with Treasury rates low, yields on fixed-
rate bonds near historical lows, and rate volatility expected to increase along-
side an economic recovery, we believe the risk/return profile for floating rate
loans will further improve on a relative basis, making loans among the most
appealing investments to shield a portfolio against the potential of rising
rates/inflation.
So what has the risk/return profile historically looked like? Pre-credit crisis, lever-
aged loans historically had provided investors with very low return volatility com-
pared with other assets, which led to their superior risk/reward profile. For example,
over the five years ended June 2007, leveraged loans had annualized return volatility
of a mere 1.5%, compared with equities, investment-grade bonds, and high-yield
bonds of 11.6%, 5.0%, and 4.9%, respectively. Combined with an annualized return
of 6.1%, leveraged loans had a 4.1% annualized return per unit of risk over the five
year period ended June 2007. For perspective, equities, investment-grade bonds, and
high-yield bonds provided a far lower return per unit of risk over the comparable
period of 0.9%, 1.1%, and 2.4%, respectively, even as their respective absolute
returns compared quite favorably to loans (6.1% versus 10.7%, 5.6%, and 11.6%,
respectively). Looking at 3- and 10-year risk/return ratios pre-credit crisis for lever-
aged loans told a similar story. Each time period illustrated substantial disparities
that worked strongly in favor of leveraged loans. Of course, the period that subse-
quently ensued for leveraged loans, during the height of the credit crisis, rendered
any historical price volatility comparison effectively useless.
In hindsight, price volatility was arguably understated due to the lack of price
transparency, and overstated between July 2007 and June 2009, due to forced
selling. Over the two year period ended June 2009, leveraged loans annualized
Risk-adjusted returns for various assets over the past 12 monthsOne year ended November 30, 2010
Source: J.P.Morgan.
AnnualizedReturn Volatility Risk/Return
Leveraged Loans 11.99% 4.81% 2.49JPMorgan Global High-Yield Index 16.34% 6.95% 2.35JPMorgan JULI High-Grade Index 8.96% 4.18% 2.145-year Treasury 6.64% 4.89% 1.36Russell 2000 26.99% 24.28% 1.1110-Year Treasury 7.30% 8.75% 0.83S&P 500 9.94% 18.38% 0.54
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
146
9
return volatility rose to 16.7%, versus 1.5% during the prior 5 year period. This led
to a sharp deterioration in the risk/return profile for leveraged loans, from the 4.1%
annualized return per unit of risk over the five year period ended June 2007, to
-0.3% over the two year period ended June 2009.
Risk-adjusted returns on various assets
2.49%
0.46%
0.83%
2.14%
1.21%
0.54%
0.06%
0.40%
2.35%
0.67%0.83%1.00%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
1 Year 5 Years 15 Years
Risk
-Adju
sted R
eturn
s
Leveraged LoansInvestment grade bondsS&P 500JPMorgan Global High-Yield Index
Note: Returen per unit of risk measured by dividing the annualized return by the annualized volatility for each respective time period.Source: J.P. Morgan.
Annualized volatility on various assets
0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%
10.0%
Oct-9
5
Oct-9
6
Oct-9
7
Oct-9
8
Oct-9
9
Oct-0
0
Oct-0
1
Oct-0
2
Oct-0
3
Oct-0
4
Oct-0
5
Oct-0
6
Oct-0
7
Oct-0
8
Oct-0
9
Oct-1
0
Annu
alize
d Vola
tility
S&P 500 IndexJPMorgan Global HY Bond IndexLeveraged Loans5-year TreasuryInvestment Grade
Source: J.P. Morgan.
As of November 2010, while the return per unit of risk over the past five years
looks relatively weak (chart below) as a result of the financial crisis, the past year
offers encouraging signs of what investors should expect in the future. As men-
tioned earlier, price volatility for loans over the past year has dropped to 4.8%,
above levels pre-credit crisis but well below levels during the crisis, leading the
return per unit of risk to improve to 2.5%. Thus, even as returns for loans have
trailed other asset classes over the past 12 months, a 2.5% return per unit of
risk tops high-yield bonds (2.4%) and investment-grade (2.1%), and is well
above ratios for the 10-year Treasury (0.8%) and equities (0.5%).
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
147
9
Risk/reward ratios over the last 10 years
Gold JPMorgan EMBI- Global Composite
DAX
CAC 40
FTSE 100 S&P 500 Barra Growth Index
Russell 2000
Wilshire 5000 S&P 500
JPMorgan Global HY Index
Investment Grade
LB Agg. Bond Index
JPM MBS Bond Index 10-year Treasury
5-year Treasury
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%Annualized Volatility
Annu
alize
d Retu
rn
Leveraged Loans
Sources: J.P Morgan; S&P/LCD.
Correlation: leveraged loans have minimal correlation to interest rates
An initial upward move in the Fed funds rate, or alternatively, a wind down of
assets taken onto the Fed’s balance sheet (the expected first step), is not expected to
occur until late 2012, at the earliest. Nevertheless, a factor likely to play a key role
in asset allocations in 2011 and working in leveraged loan’s favor is rising interest
rates. Even with core inflation expected to average less than 1% next year and the
Fed funds rate and Libor rates expected to remain unchanged, questions around fis-
cal imbalances and an eventual exit by the Fed should cause investors to focus on
higher rates in 2011. All of this led our rates team to envisage a gradual pick-up in
Treasury yields beyond the first quarter of next year alongside improving growth
prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will
increase to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As such, low fixed
coupons across the bond market will eventually become more vulnerable to rising
interest rates. But even before this, we expect demand for loans, which carry a 5-6%
yield that floats and sits senior in the capital structure, to benefit from the dearth of
alternatives available to protect a portfolio against rising rates. Due to their float-
ing rate feature, leveraged loans limit interest-rate risk, and thereby exhibit a
low correlation to most asset classes. For example, looking back over the last fif-
teen years ending November 30, 2010, the correlation between leveraged loans and
5- and 10-year Treasuries was -0.38 and -0.36, respectively. This is easily the lowest
among fixed income classes, and only slightly higher than that for stocks.
Meanwhile, the correlation of leveraged loan returns with high-grade bonds (0.23)
and the S&P 500 (0.41) is also low. The one exception is the correlation to high-
yield bonds, 0.80.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
148
9
The correlation between leveraged loans and all asset classes is minimalJPM
Aggregate Global EM EM5-year 10-year Bond IG HY S&P Wilshire Russell Bond Stock US
Treasury Treasury Index Index Index 500 5000 2000 Index Index Gold Inflation10-year Treasury 0.94Aggregate Bond Index 0.85 0.90Investment Grade Index 0.58 0.67 0.88JPMorgan Global HY Index -0.24 -0.18 0.18 0.46S&P 500 -0.25 -0.19 0.02 0.22 0.60Wilshire 5000 -0.27 -0.21 0.00 0.21 0.62 0.99Russell 2000 -0.31 -0.25 -0.05 0.15 0.63 0.80 0.87JPMorgan EMBI- Global Composite 0.05 0.12 0.31 0.45 0.58 0.57 0.58 0.54Dow Jones World EM Stock Index -0.27 -0.23 -0.04 0.19 0.62 0.73 0.75 0.70 0.68Gold 0.21 0.21 0.25 0.24 0.13 -0.01 0.02 0.08 0.29 0.21US Inflation -0.16 -0.21 -0.15 -0.15 0.13 0.03 0.03 0.02 0.06 0.04 0.07Leveraged loans -0.38 -0.36 -0.03 0.23 0.80 0.41 0.42 0.43 0.29 0.42 0.02 0.32
Note: Fifteen years ended November 30, 2010.Sources: JPMorgan; S&P/LCD.
Finally, including leveraged loans in one’s portfolio is probably more pertinent now
than ever before given the uncertainties surrounding the US fiscal situations’ future
impact on interest rates and corporate profits. As demonstrated in the following
chart, increasing the weighting toward leveraged loans within a high-yield portfolio
can improve returns while decreasing risk. Specifically, over the last fifteen years
ended November 30, 2010, a portfolio consisting of 40% high-yield bonds and 60%
leveraged loans provided investors with an optimal 0.88% return per unit of risk. A
similar case can be made within a high-grade portfolio, where increasing leveraged
loan weightings within a high-grade portfolio can also improve returns while
decreasing risk. Given we expect interest rate risk to be more pertinent than
credit risk over the next several years, a high-grade portfolio would be well
served to allocate toward loans where the current income is comparable (4.1%
versus 5.5%). For example, over the last fifteen years ended November 30, 2010, a
portfolio consisting of 70% high-grade bonds and 30% leveraged loans provided
investors with an optimal 1.35% return per unit of risk. With default risk low for
the foreseeable future, economic conditions improving, and with very little
room for interest-rates to fall further, it should again prove beneficial in 2011
to add leveraged loans to a high-yield or investment-grade portfolio for diversi-
fication purposes.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
149
9
Fifteen year risk/return trade-off—leveraged loans versus high-yield bonds
5.00%
5.50%
6.00%
6.50%
7.00%
7.50%
8.00%
6.25% 6.75% 7.25% 7.75% 8.25% 8.75% 9.25%Annualized volatility
Annu
alize
d retu
rn
Optimum risk/return point40% High yield
60% Leveraged loans
100% High yield
75% High yield/25% Leveraged loans
100% Leveraged loans
25% High yield/75% Leveraged loans
Note: Fifteen years ended November 30, 2010.Sources: JPMorgan; S&P/LCD.
Fifteen year risk/return trade-off—leveraged loans versus investment grade bonds
5.00%
5.50%
6.00%
6.50%
7.00%
7.50%
4.50% 5.00% 5.50% 6.00% 6.50% 7.00%Annualized volatility
Annu
alize
d retu
rn
Optimum risk/return point70% Investment Grade30% Leveraged loans
100% Investment Grade75% Invest. Grade/25% Leveraged loans
100% Leveraged loans
25% Invest. Grade/75% Leveraged loans
Note: Fifteen years ended November 30, 2010.Sources: JPMorgan; S&P/LCD.
Peter D. Acciavatti (1-212) 270-9633
peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285
tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169
nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151
alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
150
9
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A1
Appendix
Pete
r D
. A
ccia
vatti (1
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270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
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en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
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can
Hig
h Y
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2010
A
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10,
2010)
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g01
-Dec
AMC
Enter
tainm
ent
600.0
600.0
Sr S
ub N
ts9.7
5001
-Dec
-20
9.750
67
9bp
Caa1
/CCC
+Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
21-O
ctAm
erica
n Ach
ievem
ent
365.0
365.0
Sr S
ec N
ts (2
nd)
10.87
515
-Apr
-16
10.87
5 95
5bp
B3/B
Cons
umer
Pro
ducts
Refin
ancin
g06
-May
Amer
ican
Petro
leum
285.0
277.0
Sr S
ec N
ts (1
st)10
.250
01-M
ay-1
511
.000
875b
pB1
/B+
Tran
spor
tation
Refin
ancin
g27
-Apr
Amer
ican
Rena
l Hold
ing25
0.024
8.2Sr
Sec
Nts
(1st)
8.375
15-M
ay-1
88.5
00
513b
pB2
/BHe
althc
are
Acqu
isitio
n Fin
ance
23-N
ovAm
erica
n Re
prog
raph
ics20
0.019
5.6Sr
Nts
10.50
015
-Dec
-16
11.00
0 89
3bp
B1/B
B-Di
versi
fied
Media
Refin
ancin
g09
-Apr
Amer
ican
Resid
entia
l Ser
vices
165.0
164.2
Sr S
ec N
ts (2
nd)
12.00
015
-Apr
-15
12.12
5 94
8bp
B2/N
RSe
rvice
sRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A
A32010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s28
-Apr
Amer
ican
SeaF
oods
275.0
272.0
Sr S
ub N
ts10
.750
15-M
ay-1
611
.000
808b
pB3
/BFo
od a
nd B
ever
ages
Gene
ral C
orpo
rate
19-M
ayAm
erica
n Tire
Dist
ributo
rs25
0.024
6.9Sr
Sec
Nts
(2nd
)9.7
5001
-Jun-
1710
.000
721b
pB2
/CCC
+Au
tomoti
veAc
quisi
tion
Finan
ce11
-Aug
Amer
ican T
ower
700.0
699.2
Sr N
ts5.0
5001
-Sep
-20
5.065
23
8bp
Baa3
/BB+
Telec
ommu
nicati
ons
Acqu
isitio
n Fin
ance
02-D
ecAm
erica
n Tow
er1,0
00.0
999.2
Sr N
ts4.2
5015
-Jan-
184.5
12
215b
pBa
a3/B
B+Te
lecom
munic
ation
sGe
nera
l Cor
pora
te29
-Apr
Amko
r Tec
h Inc
345.0
345.0
Sr U
nsec
Nts
7.375
01-M
ay-1
87.3
75
366b
pBa
3/B+
Tech
nolog
yRe
finan
cing
16-N
ovAM
O Es
crow
(Ame
rican
Med
ia Op
.)38
5.038
5.0Sr
Sec
Nts
(1st)
11.50
015
-Dec
-17
11.50
0 93
3bp
NR/N
RDi
versi
fied
Media
Othe
r12
-Mar
Amste
d Ind
ustrie
s50
0.049
6.4Sr
Nts
8.125
15-M
ar-1
88.2
50
490b
pB1
/BB-
Indus
trials
Refin
ancin
g09
-Aug
Anad
arko
Petr
oleum
2,000
.02,0
00.0
Sr N
ts6.3
7515
-Sep
-17
6.375
41
6bp
Ba1/B
BB-
Ener
gyRe
finan
cing
13-Ja
nAn
tero
Reso
urce
s15
0.015
6.0Sr
Nts
9.375
01-D
ec-1
78.4
89
503b
pCa
a1/B
Ener
gyRe
finan
cing
29-Ja
nAp
pleton
Pap
ers
305.0
299.0
Sr S
ec N
ts (1
st)10
.500
15-Ju
n-15
11.00
0 86
5bp
B1/B
+Pa
per a
nd P
acka
ging
Refin
ancin
g02
-Aug
Arch
Coa
l50
0.050
0.0Sr
Nts
7.250
01-O
ct-20
7.250
43
1bp
B1/B
B-Me
tals a
nd M
ining
Refin
ancin
g30
-Sep
Arda
gh P
acka
ging
Finan
ce35
0.035
0.0Sr
Sec
Nts
7.375
15-O
ct-17
7.375
54
7bp
Ba3/B
B-Pa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
30-S
epAr
dagh
Pac
kagin
g Fin
ance
450.0
450.0
Guar
Nts
9.125
15-O
ct-20
9.125
66
2bp
B3/B
B-Pa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
26-F
ebAr
vinMe
ritor I
nc25
0.024
5.1Gu
ar N
ts10
.625
15-M
ar-1
811
.000
772b
pCa
a2/C
CC-
Autom
otive
Refin
ancin
g01
-Nov
Asbu
ry Au
to Gr
oup
200.0
200.0
Sr S
ub N
ts8.3
7515
-Nov
-20
8.375
57
5bp
Caa1
/B-
Autom
otive
Refin
ancin
g28
-Apr
ASG
Cons
olida
ted12
5.012
5.0Sr
Nts
15.00
015
-May
-17
15.00
0 11
84bp
B3/B
Food
and
Bev
erag
esGe
nera
l Cor
pora
te30
-Apr
Aspe
ct So
ftwar
e30
0.030
0.0Sr
Sec
Nts
(2nd
)10
.625
15-M
ay-1
710
.625
747b
pCa
a1/B
-Te
chno
logy
Refin
ancin
g01
-Oct
Asso
ciated
Mate
rials
730.0
730.0
Sr S
ec N
ts9.1
2501
-Nov
-17
9.125
72
3bp
B3/B
Hous
ingAc
quisi
tion
Finan
ce19
-Apr
ATP
Oil &
Gas
1,500
.01,4
93.0
Sr S
ec N
ts (2
nd)
11.87
501
-May
-15
12.00
0 94
9bp
Caa2
/BEn
ergy
Refin
ancin
g31
-Mar
AutoN
ation
Inc
400.0
394.0
Guar
Nts
6.750
15-A
pr-1
87.0
00
355b
pBa
2/BB+
Autom
otive
Refin
ancin
g05
-Mar
Avis
Budg
et Ca
r Ren
tal45
0.044
3.9Gu
ar N
ts9.6
2515
-Mar
-18
9.875
65
5bp
B3/B
Autom
otive
Refin
ancin
g07
-Oct
Avis
Budg
et Ca
r Ren
tal40
0.040
0.0Gu
ar N
ts8.2
5015
-Jan-
198.2
50
587b
pB3
/BAu
tomoti
veAc
quisi
tion
Finan
ce15
-Nov
Avis
Budg
et Ca
r Ren
tal20
0.020
2.0Gu
ar N
ts8.2
5015
-Jan-
198.0
00
511b
pB3
/BAu
tomoti
veAc
quisi
tion
Finan
ce01
-Oct
Awas
Avia
tion
600.0
600.0
Sr S
ec N
ts7.0
0015
-Oct-
167.0
00
543b
pBa
2/BBB
-Tr
ansp
ortat
ionRe
finan
cing
11-M
arAx
tel S
A19
0.019
4.8Gu
ar N
ts9.0
0022
-Sep
-19
8.609
54
1bp
Ba3/B
B-Te
lecom
munic
ation
sRe
finan
cing
11-Ja
nB&
G Fo
ods
350.0
347.4
Sr N
ts7.6
2515
-Jan-
187.7
50
417b
pB2
/B+
Food
and
Bev
erag
esGe
nera
l Cor
pora
te17
-Mar
Ball C
orp
500.0
500.0
Sr N
ts6.7
5015
-Sep
-20
6.750
31
2bp
Ba1/B
B+Pa
per a
nd P
acka
ging
Refin
ancin
g15
-Nov
Ball C
orp
500.0
500.0
Sr N
ts5.7
5015
-May
-21
5.750
28
3bp
Ba1/B
B+Pa
per a
nd P
acka
ging
Refin
ancin
g29
-Jun
Bank
rate
300.0
297.2
Sr S
ec N
ts (1
st)11
.750
15-Ju
l-15
12.00
0 10
23bp
B2/B
Finan
cial
Acqu
isitio
n Fin
ance
13-S
epBE
Aer
ospa
ce65
0.064
4.2Sr
Nts
6.875
01-O
ct-20
7.000
45
4bp
Ba3/B
BInd
ustria
lsGe
nera
l Cor
pora
te04
-May
Beaz
er H
omes
USA
300.0
300.0
Sr N
ts9.1
2515
-Jun-
189.1
25
585b
pCa
a2/C
CCHo
using
Refin
ancin
g08
-Nov
Beaz
er H
omes
USA
250.0
246.4
Sr N
ts9.1
2515
-May
-19
9.375
68
2bp
Caa2
/CCC
Hous
ingRe
finan
cing
27-O
ctBe
rry P
etrole
um30
0.030
0.0Sr
Nts
6.750
01-N
ov-2
06.7
50
405b
pB2
/BB
Ener
gyRe
finan
cing
22-A
prBe
rry P
lastic
s50
0.050
0.0Sr
Sec
Nts
(2nd
)9.5
0015
-May
-18
9.500
60
7bp
Caa1
/CCC
Pape
r and
Pac
kagin
gAc
quisi
tion
Finan
ce
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A
A42010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s10
-Nov
Berry
Plas
tics
800.0
800.0
Sr S
ec N
ts (2
nd)
9.750
15-Ja
n-21
9.750
69
0bp
Caa1
/CCC
Pape
r and
Pac
kagin
gRe
finan
cing
16-S
epBe
vera
ges &
Mor
e12
5.012
5.0Sr
Sec
Nts
(1st)
9.625
01-O
ct-14
9.625
85
1bp
Caa1
/B-
Retai
lRe
finan
cing
16-S
epBE
VMO
Inter
media
te Ho
lding
s31
.331
.3Sr
Sec
PIK
Nts
14.00
001
-Apr
-15
14.00
0 12
54bp
NR/N
RRe
tail
Refin
ancin
g17
-Mar
Bio
Scrip
Inc
225.0
225.0
Sr N
ts10
.250
01-O
ct-15
10.25
0 78
9bp
B3/B
-He
althc
are
Acqu
isitio
n Fin
ance
06-D
ecBi
o-Ra
d La
bora
tories
425.0
422.6
Sr N
ts4.8
7515
-Dec
-20
4.946
20
0bp
Ba1/B
BHe
althc
are
Refin
ancin
g09
-Mar
Boise
Pap
er H
olding
300.0
294.9
Sr U
nsec
Nts
8.000
01-A
pr-2
08.2
50
455b
pB2
/BB-
Pape
r and
Pac
kagin
gRe
finan
cing
15-M
arBo
mbar
dier
850.0
850.0
Sr N
ts7.7
5015
-Mar
-20
7.750
40
4bp
Ba2/B
B+Ind
ustria
lsRe
finan
cing
15-M
arBo
mbar
dier
650.0
650.0
Sr N
ts7.5
0015
-Mar
-18
7.500
41
5bp
Ba2/B
B+Ind
ustria
lsRe
finan
cing
13-S
epBo
rgW
arne
r25
0.024
7.5Sr
Nts
4.625
15-S
ep-2
04.6
25
200b
pBa
1/BBB
Autom
otive
Gene
ral C
orpo
rate
28-O
ctBo
yd G
aming
500.0
500.0
Sr N
ts9.1
2501
-Dec
-18
9.125
69
0bp
Caa1
/B-
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g21
-Jan
Bras
il Foo
ds75
0.074
3.5Sr
Nts
7.250
28-Ja
n-20
7.375
37
7bp
Ba1/B
B+Fo
od a
nd B
ever
ages
Gene
ral C
orpo
rate
30-A
prBr
aske
m SA
400.0
400.0
Guar
Nts
7.000
07-M
ay-2
07.0
00
334b
pBa
1/BB+
Chem
icals
Refin
ancin
g01
-Oct
Breit
burn
Ene
rgy P
artne
rs30
5.030
0.0Sr
Nts
8.625
15-O
ct-20
9.000
63
7bp
B3/B
+En
ergy
Refin
ancin
g01
-Dec
Bres
nan
Broa
dban
d25
0.025
0.0Gu
ar N
ts8.0
0015
-Dec
-18
8.000
55
0bp
B3/B
+Ca
ble a
nd S
atellit
eAc
quisi
tion
Finan
ce07
-Oct
Brick
man
Grou
p25
0.025
0.0Sr
Nts
9.125
01-N
ov-1
89.1
25
712b
pB3
/CCC
+Se
rvice
sRe
finan
cing
16-S
epBr
igham
Exp
lorati
on30
0.030
0.0Sr
Nts
8.750
01-O
ct-18
8.750
64
4bp
Caa2
/B+
Ener
gyRe
finan
cing
23-N
ovBr
ightst
ar C
orp
250.0
250.0
Guar
Nts
9.500
01-D
ec-1
69.5
00
777b
pB1
/BB-
Servi
ces
Refin
ancin
g13
-Jan
Broc
ade
Comm
unica
tions
Sys
tem30
0.029
7.7Sr
Sec
Nts
(1st)
6.625
15-Ja
n-18
6.750
32
9bp
Ba2/B
BB-
Tech
nolog
yRe
finan
cing
13-Ja
nBr
ocad
e Co
mmun
icatio
ns S
ystem
300.0
297.3
Sr S
ec N
ts (1
st)6.8
7515
-Jan-
207.0
00
321b
pBa
2/BBB
-Te
chno
logy
Refin
ancin
g02
-Feb
Build
ing M
ateria
ls Co
rp o
f Ame
rica
250.0
250.0
Sr S
ec N
ts (1
st)7.0
0015
-Feb
-20
7.000
33
7bp
Ba3/B
BB-
Hous
ingRe
finan
cing
09-M
arBu
ilding
Mate
rials
Corp
of A
meric
a32
5.032
2.2Sr
Nts
7.500
15-M
ar-2
07.6
25
393b
pB3
/BB-
Hous
ingRe
finan
cing
09-A
ugBu
ilding
Mate
rials
Corp
of A
meric
a45
0.044
3.2Sr
Nts
6.875
15-A
ug-1
87.1
25
477b
pB1
/BB+
Hous
ingRe
finan
cing
06-D
ecBu
mble
Bee A
cquis
ition
605.0
605.0
Sr S
ec N
ts (1
st)9.0
0015
-Dec
-17
9.000
67
3bp
B2/B
+Fo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
30-S
epBu
mi In
vestm
ent
700.0
700.0
Guar
Nts
10.75
006
-Oct-
1710
.750
884b
pBa
3/BB
Metal
s and
Mini
ngUn
know
n01
-Oct
Burg
er K
ing (B
lue A
cquis
ition
Sub)
800.0
800.0
Sr N
ts9.8
7515
-Oct-
189.8
75
772b
pCa
a1/B
-Fo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
21-O
ctBW
AY15
0.014
5.5Sr
PIK
Nts
10.12
511
-Nov
-15
10.91
7 90
1bp
NR/C
CC+
Pape
r and
Pac
kagin
gOt
her
08-Ju
nBW
AYHo
lding
Co
205.0
202.2
Sr N
ts10
.000
15-Ju
n-18
10.25
0 74
3bp
B3/B
-Pa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
16-A
prC&
S Gr
oup
Enter
prise
s30
0.030
0.0Sr
Sec
Nts
(1st)
8.375
01-M
ay-1
78.3
75
517b
pB2
/BB-
Retai
lRe
finan
cing
12-A
prCa
blevis
ion S
ystem
s50
0.050
0.0Sr
Nts
8.000
15-A
pr-2
08.0
00
415b
pB1
/B+
Cable
and
Sate
llite
Refin
ancin
g12
-Apr
Cable
vision
Sys
tems
750.0
750.0
Sr N
ts7.7
5015
-Apr
-18
7.750
42
4bp
B1/B
+Ca
ble a
nd S
atellit
eRe
finan
cing
10-N
ovCa
lfrac H
olding
s45
0.045
0.0Sr
Nts
7.500
01-D
ec-2
07.5
00
479b
pB2
/B+
Ener
gyRe
finan
cing
17-M
ayCa
lpine
Cor
p40
0.040
0.0Sr
Sec
Nts
(1st)
8.000
15-A
ug-1
98.0
00
460b
pNR
/NR
Utilit
yRe
finan
cing
20-Ju
lCa
lpine
Cor
p1,1
00.0
1,090
.6Sr
Sec
Nts
(1st)
7.875
31-Ju
l-20
8.000
50
5bp
B1/B
+Ut
ility
Refin
ancin
g18
-Oct
Calpi
ne C
orp
2,000
.02,0
00.0
Sr S
ec N
ts (1
st)7.5
0015
-Feb
-21
7.500
49
5bp
B1/B
+Ut
ility
Refin
ancin
g21
-Jun
Cape
lla H
ealth
care
500.0
493.7
Guar
Nts
9.250
01-Ju
l-17
9.500
68
0bp
B3/B
Healt
hcar
eRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A
A52010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
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read
Ratin
gsSe
ctor
Use o
f pro
ceed
s12
-Aug
Card
tronic
s Inc
200.0
200.0
Sr S
ub N
ts8.2
5001
-Sep
-18
8.250
59
9bp
B2/B
B-Se
rvice
sRe
finan
cing
28-O
ctCa
rrizo
Oil &
Gas
400.0
397.2
Sr N
ts8.6
2515
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188.7
50
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/B-
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gyRe
finan
cing
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nCa
se N
ew H
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00.0
1,489
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Nts
7.875
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78.0
00
536b
pBa
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trials
Refin
ancin
g19
-May
Catal
yst P
aper
110.0
94.6
Sr S
ec N
ts (1
st)11
.000
15-D
ec-1
614
.386
853b
pB3
/CCC
+Pa
per a
nd P
acka
ging
Gene
ral C
orpo
rate
05-O
ctCB
Rich
ard
Ellis
350.0
350.0
Sr N
ts6.6
2515
-Oct-
206.6
25
416b
pBa
1/B+
Finan
cial
Refin
ancin
g14
-Apr
CCO
Holdi
ngs I
nc90
0.090
0.0Sr
Nts
7.875
30-A
pr-1
87.8
75
437b
pB2
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ble a
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atellit
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finan
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14-A
prCC
O Ho
lding
s Inc
700.0
700.0
Sr N
ts8.1
2530
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-20
8.125
43
0bp
B2/B
Cable
and
Sate
llite
Refin
ancin
g20
-Sep
CCO
Holdi
ngs I
nc1,0
00.0
1,000
.0Sr
Nts
7.250
30-O
ct-17
7.250
51
5bp
B2/N
RCa
ble a
nd S
atellit
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finan
cing
03-D
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LC45
0.045
0.0Sr
Sec
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88.0
00
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/B-
Servi
ces
Refin
ancin
g15
-Jul
Ceda
r Fair
405.0
399.4
Sr N
ts9.1
2501
-Aug
-18
9.375
67
7bp
B2/B
-Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
15-S
epCe
lanes
e US
Hold
ings
600.0
600.0
Guar
Nts
6.625
15-O
ct-18
6.625
43
3bp
Ba3/B
B-Ch
emica
lsGe
nera
l Cor
pora
te13
-Jan
CEME
X50
0.052
6.3Sr
Sec
Nts
9.500
14-D
ec-1
68.4
77
606b
pNR
/BHo
using
Refin
ancin
g13
-Oct
Centr
al Ch
ina R
eal E
state
300.0
300.0
Sr S
ec N
ts12
.250
20-O
ct-15
12.25
0 11
13bp
B1/B
+Ho
using
Gene
ral C
orpo
rate
25-F
ebCe
ntral
Gard
en &
Pet
Comp
any
400.0
400.0
Sr S
ub N
ts8.2
5001
-Mar
-18
8.250
49
4bp
B3/B
-Co
nsum
er P
rodu
ctsRe
finan
cing
29-Ja
nCe
nveo
400.0
397.2
Sr S
ec N
ts (2
nd)
8.875
01-F
eb-1
89.0
00
569b
pB2
/BDi
versi
fied
Media
Refin
ancin
g29
-Apr
Cequ
el Co
mmun
icatio
ns60
0.061
2.0Sr
Uns
ec N
ts8.6
2515
-Nov
-17
8.167
54
7bp
B3/B
-Ca
ble a
nd S
atellit
eRe
finan
cing
10-M
arCe
va G
roup
Plc
625.0
617.0
Sr S
ec N
ts11
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01-A
pr-1
811
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839b
pCa
a1/C
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rvice
sRe
finan
cing
09-D
ecCe
va G
roup
Plc
450.0
450.0
Sr S
ec N
ts (1
st)8.3
7501
-Dec
-17
8.375
55
7bp
B1/B
Servi
ces
Refin
ancin
g20
-Apr
CF In
dustr
ies80
0.080
0.0Sr
Uns
ec N
ts7.1
2501
-May
-20
7.125
33
3bp
B1/B
B+Ch
emica
lsAc
quisi
tion
Finan
ce20
-Apr
CF In
dustr
ies80
0.080
0.0Sr
Uns
ec N
ts6.8
7501
-May
-18
6.875
34
6bp
B1/B
B+Ch
emica
lsAc
quisi
tion
Finan
ce13
-Sep
Chap
arra
l Ene
rgy
300.0
293.0
Sr N
ts9.8
7501
-Oct-
2010
.250
750b
pCa
a1/B
+En
ergy
Refin
ancin
g22
-Sep
CHC
Helic
opter
1,100
.01,0
82.4
Sr S
ec N
ts (1
st)9.2
5015
-Oct-
209.5
00
690b
pB1
/B+
Ener
gyRe
finan
cing
09-N
ovCh
ecko
ut Ho
lding
438.6
260.0
Sr D
isc N
ts0/1
0.125
15-N
ov-1
510
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957b
pB3
/B-
Dive
rsifie
d Me
diaOt
her
13-A
ugCh
emtur
a Co
rp45
5.045
1.7Gu
ar N
ts7.8
7501
-Sep
-18
8.000
57
7bp
B1/N
RCh
emica
lsOt
her
09-A
ugCh
esap
eake
Ene
rgy
600.0
600.0
Sr N
ts6.8
7515
-Aug
-18
6.875
45
1bp
Ba3/N
REn
ergy
Refin
ancin
g09
-Aug
Ches
apea
ke E
nerg
y1,4
00.0
1,400
.0Sr
Nts
6.625
15-A
ug-2
06.6
25
380b
pBa
3/NR
Ener
gyRe
finan
cing
11-A
ugCh
ina O
rienta
l Gro
up55
0.055
0.0Sr
Sec
Nts
8.000
18-A
ug-1
58.0
00
657b
pBa
1/NR
Metal
s and
Mini
ngGe
nera
l Cor
pora
te10
-Nov
China
Orie
ntal G
roup
300.0
300.0
Sr S
ec N
ts7.0
0017
-Nov
-17
7.000
51
8bp
Ba1/N
RMe
tals a
nd M
ining
Refin
ancin
g10
-Mar
Cinc
innati
Bell
625.0
616.2
Sr S
ub N
ts8.7
5015
-Mar
-18
9.000
56
5bp
B2/B
-Te
lecom
munic
ation
sRe
finan
cing
07-O
ctCi
ncinn
ati B
ell50
0.050
0.0Sr
Nts
8.375
15-O
ct-20
8.375
59
9bp
B2/B
+Te
lecom
munic
ation
sRe
finan
cing
08-N
ovCi
ncinn
ati B
ell27
5.027
7.8Sr
Nts
8.375
15-O
ct-20
8.199
56
5bp
B2/B
+Te
lecom
munic
ation
sRe
finan
cing
06-D
ecCi
tadel
Broa
dcas
ting
400.0
400.0
Guar
Nts
7.750
15-D
ec-1
87.7
50
528b
pBa
3/BB-
Broa
dcas
ting
Refin
ancin
g18
-Jun
CITG
O Pe
troleu
m30
0.029
6.5Sr
Sec
Nts
(1st)
11.50
001
-Jul-1
711
.750
906b
pBa
2/BB+
Ener
gyRe
finan
cing
06-Ju
lCK
E Re
staur
ants
600.0
588.5
Sr S
ec N
ts (2
nd)
11.37
515
-Jul-1
811
.750
913b
pB2
/BFo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
13-O
ctCl
earw
ater P
aper
375.0
375.0
Sr N
ts7.1
2501
-Nov
-18
7.125
51
8bp
Ba3/B
BPa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A6
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s02
-Dec
Clea
rwire
Com
munic
ation
s50
0.050
0.0Sr
Sec
Nts
(2nd
)12
.000
01-D
ec-1
712
.000
964b
pCa
a2/C
CCTe
lecom
munic
ation
sGe
nera
l Cor
pora
te02
-Dec
Clea
rwire
Com
munic
ation
s17
5.018
4.1Sr
Sec
Nts
(1st)
12.00
001
-Dec
-15
10.37
5 10
07bp
Caa1
/CCC
Telec
ommu
nicati
ons
Gene
ral C
orpo
rate
21-A
prCl
eave
r-Bro
oks
185.0
185.0
Sr S
ec N
ts (1
st)12
.250
01-M
ay-1
612
.250
974b
pB2
/BInd
ustria
lsRe
finan
cing
22-N
ovCl
ubco
rp C
lub O
pera
tions
415.0
393.3
Sr N
ts10
.000
01-D
ec-1
811
.000
820b
pB3
/B+
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g11
-Jan
CMS
Ener
gy30
0.029
8.3Sr
Nts
6.250
01-F
eb-2
06.3
26
250b
pBa
1/BB+
Utilit
yGe
nera
l Cor
pora
te20
-Sep
CMS
Ener
gy25
0.024
9.7Sr
Nts
4.250
30-S
ep-1
54.2
74
285b
pBa
1/BB+
Utilit
yRe
finan
cing
16-N
ovCM
S En
ergy
250.0
249.5
Sr N
ts5.0
5015
-Feb
-18
5.080
29
5bp
Ba1/B
B+Ut
ility
Refin
ancin
g04
-Feb
CNG
Holdi
ngs I
nc20
0.019
0.0Sr
Sec
Nts
12.25
015
-Feb
-15
13.65
7 11
35bp
B3/B
Finan
cial
Refin
ancin
g21
-Oct
CNG
Holdi
ngs I
nc60
.056
.4Sr
Sub
Nts
13.75
015
-Aug
-15
15.00
0 12
62bp
NR/N
RFin
ancia
lUn
know
n25
-Mar
Coffe
yVille
Res
ource
s22
5.022
2.3Sr
Sec
Nts
(2nd
)10
.875
01-A
pr-1
711
.125
784b
pB3
/BB-
Ener
gyRe
finan
cing
25-M
arCo
ffeyV
ille R
esou
rces
275.0
273.7
Sr S
ec N
ts (1
st)9.0
0001
-Apr
-15
9.125
65
1bp
Ba3/B
B-En
ergy
Refin
ancin
g26
-Jan
Colem
an C
able
235.0
231.7
Sr N
ts9.0
0015
-Feb
-18
9.250
59
2bp
B3/B
Indus
trials
Refin
ancin
g18
-Mar
Colem
an C
able
40.0
39.7
Sr N
ts9.0
0015
-Feb
-18
9.131
58
5bp
B3/B
Indus
trials
Refin
ancin
g29
-Apr
Colum
bus I
ntern
ation
al19
0.019
0.0Sr
Sec
Nts
(1st)
11.50
020
-Nov
-14
11.50
0 94
9bp
B2/B
Cable
and
Sate
llite
Gene
ral C
orpo
rate
09-D
ecCo
ncho
Res
ource
s60
0.060
0.0Sr
Nts
7.000
15-Ja
n-21
7.000
37
8bp
B3/B
BEn
ergy
Refin
ancin
g03
-Mar
Cone
xant
Syste
ms17
5.017
3.4Sr
Sec
Nts
(1st)
11.25
015
-Mar
-15
11.50
0 92
4bp
NR/N
RTe
chno
logy
Refin
ancin
g25
-Mar
Cons
ol En
ergy
1,500
.01,5
00.0
Sr N
ts8.0
0001
-Apr
-17
8.000
46
8bp
B1/B
BMe
tals a
nd M
ining
Acqu
isitio
n Fin
ance
25-M
arCo
nsol
Ener
gy1,2
50.0
1,250
.0Sr
Nts
8.250
01-A
pr-2
08.2
50
439b
pB1
/BB
Metal
s and
Mini
ngAc
quisi
tion
Finan
ce04
-Aug
Conti
nenta
l Airli
nes
800.0
791.5
Sr S
ec N
ts (1
st)6.7
5015
-Sep
-15
7.000
53
9bp
Ba2/B
B-Tr
ansp
ortat
ionRe
finan
cing
17-N
ovCo
ntine
ntal A
irline
s64
.564
.5P-
TCe
rts6.0
0012
-Jan-
196.0
00
453b
pBa
2/BBB
-Tr
ansp
ortat
ionUn
know
n30
-Mar
Conti
nenta
l Res
ource
s20
0.019
8.2Sr
Nts
7.375
01-O
ct-20
7.500
36
2bp
B1/B
BEn
ergy
Refin
ancin
g13
-Sep
Conti
nenta
l Res
ource
s40
0.040
0.0Sr
Nts
7.125
01-A
pr-2
17.1
25
433b
pB1
/BB
Ener
gyRe
finan
cing
29-A
prCo
oper
Stan
dard
450.0
450.0
Sr N
ts8.5
0001
-May
-18
8.500
50
8bp
B2/N
RAu
tomoti
veRe
finan
cing
25-Ju
nCo
rpor
acion
Geo
250.0
246.0
Sr N
ts9.2
5030
-Jun-
209.5
00
642b
pBa
3/BB-
Hous
ingRe
finan
cing
02-F
ebCo
rpor
acion
Pes
cera
Inco
S.A
.C17
5.017
3.9Sr
Nts
9.000
10-F
eb-1
79.1
25
634b
pB2
/BB-
Food
and
Bev
erag
esRe
finan
cing
19-Ja
nCo
rpor
ativo
Jave
r SA
CV30
.030
.0Sr
Nts
13.00
004
-Aug
-14
13.00
0 10
39bp
Ba3/B
B-Ho
using
Refin
ancin
g12
-Aug
Cott
Beve
rage
s37
5.037
5.0Sr
Nts
8.125
01-S
ep-1
88.1
25
592b
pB3
/BFo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
15-A
prCo
untry
Gar
den
550.0
546.7
Sr N
ts11
.250
22-A
pr-1
711
.375
811b
pBa
3/BB-
Hous
ingRe
finan
cing
04-A
ugCo
untry
Gar
den
400.0
396.2
Sr N
ts10
.500
11-A
ug-1
510
.750
915b
pBa
3/BB-
Hous
ingRe
finan
cing
16-N
ovCo
vanta
Ene
rgy
400.0
400.0
Sr N
ts7.2
5001
-Dec
-20
7.250
43
6bp
Ba3/B
Servi
ces
Refin
ancin
g25
-Jan
Cred
it Acc
eptan
ce C
orp
250.0
243.8
Sr S
ec N
ts (1
st)9.1
2501
-Feb
-17
9.625
65
6bp
B1/B
B-Fin
ancia
lRe
finan
cing
08-A
prCr
edito
Rea
l SA
150.0
150.0
Sr N
ts10
.250
14-A
pr-1
510
.250
762b
pNR
/BB-
Finan
cial
Refin
ancin
g24
-Sep
Cred
ito R
eal S
A60
.060
.0Sr
Nts
10.25
014
-Apr
-15
10.25
0 89
1bp
NR/B
B-Fin
ancia
lRe
finan
cing
05-N
ovCr
icket
Comm
unica
tions
1,200
.01,1
79.9
Sr N
ts7.7
5015
-Oct-
208.0
00
547b
pB3
/B-
Telec
ommu
nicati
ons
Refin
ancin
g03
-Feb
Cros
stex E
nerg
y LP
725.0
709.8
Sr N
ts8.8
7515
-Feb
-18
9.250
58
8bp
B3/B
+En
ergy
Refin
ancin
g
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A7
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s19
-Mar
Da-L
ite S
creen
Com
pany
105.0
102.2
Sr N
ts12
.500
01-A
pr-1
513
.250
1083
bpB1
/BCo
nsum
er P
rodu
ctsRe
finan
cing
03-D
ecDa
rling
Inter
natio
nal
250.0
250.0
Guar
Nts
8.500
15-D
ec-1
88.5
00
620b
pB2
/BFo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
19-M
ayDa
ve &
Bus
ters
200.0
200.0
Sr N
ts11
.000
01-Ju
n-18
11.00
0 79
8bp
B3/B
-Fo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
05-O
ctDa
vita
Inc77
5.077
5.0Sr
Nts
6.625
01-N
ov-2
06.6
25
416b
pB2
/BHe
althc
are
Refin
ancin
g05
-Oct
Davit
a Inc
775.0
775.0
Sr N
ts6.3
7501
-Nov
-18
6.375
43
6bp
B2/B
Healt
hcar
eRe
finan
cing
05-A
ugDC
PCo
rp50
0.049
5.3Sr
Sec
Nts
(1st)
10.75
015
-Aug
-15
11.00
0 93
9bp
B2/B
+Br
oadc
astin
gRe
finan
cing
09-D
ecDe
an F
oods
400.0
400.0
Sr N
ts9.7
5015
-Dec
-18
9.750
69
5bp
B2/B
-Fo
od a
nd B
ever
ages
Refin
ancin
g03
-Feb
Denb
ury R
esou
rces
1,000
.01,0
00.0
Sr S
ub N
ts8.2
5015
-Feb
-20
8.250
45
7bp
B1/B
BEn
ergy
Acqu
isitio
n Fin
ance
16-M
arDe
velop
ers D
iversi
fied
Realt
y30
0.030
0.0Sr
Uns
ec N
ts7.5
0001
-Apr
-17
7.500
43
7bp
Baa3
/BB
Finan
cial
Refin
ancin
g09
-Aug
Deve
loper
s Dive
rsifie
d Re
alty
300.0
297.4
Sr N
ts7.8
7501
-Sep
-20
8.000
53
0bp
Baa3
/BB
Finan
cial
Refin
ancin
g10
-Aug
Diam
ond
Reso
rts42
5.041
4.4Sr
Sec
Nts
12.00
015
-Aug
-18
12.50
0 10
19bp
B3/B
-Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
16-M
arDi
gicel
Limite
d77
5.077
5.0Sr
Nts
10.50
015
-Apr
-18
10.50
0 71
5bp
Caa1
/CCC
+Te
lecom
munic
ation
sAc
quisi
tion
Finan
ce02
-Dec
Digic
el Lim
ited
300.0
308.3
Sr N
ts8.2
5001
-Sep
-17
7.544
53
4bp
B1/N
RTe
lecom
munic
ation
sGe
nera
l Cor
pora
te06
-Oct
Dine
Equit
y Inc
825.0
825.0
Sr N
ts9.5
0030
-Oct-
189.5
00
751b
pB3
/CCC
+Fo
od a
nd B
ever
ages
Refin
ancin
g12
-Apr
Disc
over
Ban
k50
0.049
6.5Sr
Sub
Nts
7.000
15-A
pr-2
07.0
98
325b
pBa
1/BBB
-Fin
ancia
lGe
nera
l Cor
pora
te14
-Jan
DJO
Finan
ce10
0.010
5.0Sr
Nts
10.87
515
-Nov
-14
9.218
68
3bp
B3/B
-He
althc
are
Refin
ancin
g05
-Oct
DJO
Finan
ce30
0.030
0.0Sr
Sub
Nts
9.750
15-O
ct-17
9.750
79
4bp
Caa1
/CCC
+He
althc
are
Refin
ancin
g27
-May
Drive
time A
uto &
Acc
ept
200.0
197.7
Sr S
ec N
ts12
.625
15-Ju
n-17
12.87
5 98
3bp
B3/B
Autom
otive
Refin
ancin
g15
-Nov
Dunk
in Fin
ance
625.0
615.6
Sr N
ts9.6
2501
-Dec
-18
9.900
75
4bp
Caa2
/CCC
+Fo
od a
nd B
ever
ages
Refin
ancin
g08
-Sep
Duqu
ense
Ligh
t45
0.044
6.7Sr
Nts
6.400
15-S
ep-2
06.5
00
384b
pBa
1/BBB
-Ut
ility
Refin
ancin
g29
-Jun
DynC
orp
Inter
natio
nal
455.0
455.0
Sr N
ts10
.375
01-Ju
l-17
10.37
5 79
4bp
B1/B
Indus
trials
Acqu
isitio
n Fin
ance
24-F
ebEa
stman
Kod
ak C
o50
0.048
9.8Sr
Sec
Nts
(2nd
)9.7
5001
-Mar
-18
10.12
5 67
7bp
Ba3/B
-Co
nsum
er P
rodu
ctsRe
finan
cing
25-M
arEl
Pas
o Pi
pelin
e Pa
rtner
s42
5.042
5.0Gu
ar N
ts6.5
0001
-Apr
-20
6.500
26
2bp
Ba1/B
BEn
ergy
Acqu
isitio
n Fin
ance
21-Ju
nEl
Pas
o Pi
pelin
e Pa
rtner
s11
0.011
0.0Sr
Nts
6.500
01-A
pr-2
03.2
52
325b
pBa
1/BB
Ener
gyAc
quisi
tion
Finan
ce16
-Nov
El P
aso
Pipe
line
Partn
ers O
pera
ting
375.0
374.7
Sr N
ts4.1
0015
-Nov
-15
4.118
26
3bp
Ba1/B
BEn
ergy
Acqu
isitio
n Fin
ance
16-N
ovEl
Pas
o Pi
pelin
e Pa
rtner
s Ope
ratin
g37
5.037
2.5Sr
Nts
7.500
15-N
ov-4
07.5
56
324b
pBa
1/BB
Ener
gyAc
quisi
tion
Finan
ce11
-Aug
Elan
Fin
Plc
200.0
192.0
Guar
Nts
8.750
15-O
ct-16
9.620
78
7bp
B2/B
Healt
hcar
eRe
finan
cing
18-N
ovEn
do P
harm
aceu
ticals
Hold
ing40
0.039
6.4Sr
Nts
7.000
15-D
ec-2
07.1
25
422b
pBa
2/BB+
Healt
hcar
eAc
quisi
tion
Finan
ce07
-Jan
Ener
gy F
uture
Hold
ings
500.0
500.0
Sr S
ec N
ts (1
st)10
.000
15-Ja
n-20
10.00
0 61
8bp
Caa3
/B+
Utilit
yGe
nera
l Cor
pora
te15
-Sep
Ener
gy T
rans
fer1,8
00.0
1,800
.0Sr
Nts
7.500
15-O
ct-20
7.500
48
8bp
Ba2/B
B-En
ergy
Refin
ancin
g03
-Dec
Ener
gy X
XI G
ulf75
0.075
0.0Gu
ar N
ts9.2
5015
-Dec
-17
9.250
69
1bp
NR/N
REn
ergy
Acqu
isitio
n Fin
ance
05-A
ugEn
ergy
Solut
ions
300.0
296.1
Guar
Nts
10.75
015
-Aug
-18
11.00
0 85
4bp
B3/B
B-Se
rvice
sRe
finan
cing
25-Ju
nEn
tertai
nmen
t Pro
pertie
s Tru
st25
0.024
5.7Sr
Nts
7.750
15-Ju
l-20
8.000
49
1bp
Baa3
/BB+
Finan
cial
Refin
ancin
g22
-Jul
Entra
vision
Com
munic
ation
400.0
394.9
Sr S
ec N
ts (1
st)8.7
5001
-Aug
-17
9.000
66
4bp
B1/B
Broa
dcas
ting
Refin
ancin
g26
-Feb
Equin
ix Inc
750.0
750.0
Sr N
ts8.1
2501
-Mar
-18
8.125
48
8bp
Ba2/B
+Te
chno
logy
Gene
ral C
orpo
rate
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A8
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s22
-Jan
Equin
ox H
olding
s42
5.042
0.2Sr
Sec
Nts
(2nd
)9.5
0001
-Feb
-16
9.750
70
1bp
B1/B
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g19
-Jul
Ester
line T
echn
ologie
s25
0.025
0.0Sr
Nts
7.000
01-A
ug-2
07.0
00
404b
pBa
3/BB
Indus
trials
Refin
ancin
g21
-Jan
Ever
gran
de R
eal E
state
750.0
750.0
Sr S
ec N
ts (1
st)13
.000
27-Ja
n-15
13.00
0 10
96bp
B1/B
B-Ho
using
Gene
ral C
orpo
rate
19-A
prEv
ergr
ande
Rea
l Esta
te60
0.060
0.0Gu
ar N
ts13
.000
27-Ja
n-15
13.00
0 10
53bp
B1/B
B-Ho
using
Unkn
own
23-S
epEv
ertec
Inc
220.0
220.0
Sr N
ts11
.000
01-O
ct-18
11.00
0 88
7bp
Caa1
/B-
Tech
nolog
yAc
quisi
tion
Finan
ce10
-Sep
Exco
Res
ource
s75
0.073
9.0Sr
Nts
7.500
15-S
ep-1
87.7
50
535b
pB3
/BEn
ergy
Refin
ancin
g22
-Sep
Exop
ac H
olding
100.0
101.7
Sr N
ts11
.250
01-F
eb-1
410
.639
983b
pNR
/NR
Pape
r and
Pac
kagin
gRe
finan
cing
02-A
ugEx
pedia
Inc
750.0
749.2
Guar
Nts
5.950
15-A
ug-2
05.9
64
300b
pBa
1/BBB
-Se
rvice
sGe
nera
l Cor
pora
te02
-Mar
Expr
ess L
LC25
0.024
6.5Sr
Nts
8.750
01-M
ar-1
89.0
00
574b
pB3
/BRe
tail
Refin
ancin
g18
-Nov
Exter
ran
Holdi
ng35
0.035
0.0Gu
ar N
ts7.2
5001
-Dec
-18
7.250
48
2bp
Ba3/B
BEn
ergy
Refin
ancin
g26
-Jan
Fage
Dair
y Ind
ustry
150.0
139.9
Sr N
ts9.8
7501
-Feb
-20
11.00
0 73
9bp
B3/B
-Fo
od a
nd B
ever
ages
Refin
ancin
g05
-May
Fanta
sia H
olding
Gro
up12
0.011
7.9Sr
Nts
14.00
012
-May
-15
14.50
0 11
71bp
B2/B
+Ho
using
Gene
ral C
orpo
rate
31-M
arFe
rrellg
as P
artne
rs28
0.028
0.0Sr
Uns
ec N
ts8.6
2515
-Jun-
208.6
25
479b
pB2
/B-
Ener
gyRe
finan
cing
09-N
ovFe
rrellg
as P
artne
rs50
0.050
0.0Sr
Nts
6.500
01-M
ay-2
16.5
00
385b
pBa
3/B+
Ener
gyRe
finan
cing
05-A
ugFe
rro C
orp
250.0
250.0
Sr N
ts7.8
7515
-Aug
-18
7.875
54
1bp
B2/B
Chem
icals
Refin
ancin
g29
-Apr
Fibria
Ove
rseas
750.0
743.5
Sr N
ts7.5
0004
-May
-20
7.625
38
9bp
B1/B
Pape
r and
Pac
kagin
gRe
finan
cing
08-Ju
lFid
elity
Natio
nal In
forma
tion
Servi
ces
600.0
600.0
Sr N
ts7.6
2515
-Jul-1
77.6
25
514b
pBa
2/BB-
Finan
cial
Refin
ancin
g08
-Jul
Fideli
ty Na
tiona
l Infor
matio
n Se
rvice
s50
0.050
0.0Sr
Nts
7.875
15-Ju
l-20
7.875
48
5bp
Ba2/B
B-Fin
ancia
lRe
finan
cing
11-A
ugFir
st Da
ta Co
rp51
0.050
1.8Sr
Sec
Nts
(1st)
8.875
15-A
ug-2
09.0
00
644b
pB1
/B+
Tech
nolog
yRe
finan
cing
26-O
ctFM
G Re
sour
ces
2,040
.02,0
40.0
Sr N
ts7.0
0001
-Nov
-15
7.000
57
5bp
B1/B
Metal
s and
Mini
ngRe
finan
cing
10-D
ecFM
G Re
sour
ces
900.0
900.0
Sr N
ts6.8
7501
-Feb
-18
6.875
42
0bp
B1/B
Metal
s and
Mini
ngGe
nera
l Cor
pora
te10
-Dec
FMG
Reso
urce
s60
0.060
0.0Sr
Nts
6.375
01-F
eb-1
66.3
75
443b
pB1
/BMe
tals a
nd M
ining
Gene
ral C
orpo
rate
14-Ja
nFo
rd M
otor C
redit
500.0
500.0
Sr N
ts8.1
2515
-Jan-
208.1
21
440b
pB3
/B-
Autom
otive
Gene
ral C
orpo
rate
06-A
prFo
rd M
otor C
redit
1,750
.01,7
40.9
Sr N
ts7.0
0015
-Apr
-15
7.125
44
2bp
B1/B
+Au
tomoti
veGe
nera
l Cor
pora
te28
-Jul
Ford
Moto
r Cre
dit1,2
50.0
1,231
.1Sr
Nts
6.625
15-A
ug-1
76.9
00
423b
pBa
3/B-
Autom
otive
Gene
ral C
orpo
rate
14-S
epFo
rd M
otor C
redit
1,000
.099
4.7Sr
Nts
5.625
15-S
ep-1
55.7
50
433b
pBa
3/B+
Autom
otive
Gene
ral C
orpo
rate
06-A
ugFo
resig
ht En
ergy
400.0
397.5
Sr N
ts9.6
2515
-Aug
-17
9.750
75
6bp
Caa1
/BUt
ility
Refin
ancin
g04
-Nov
Frac
Tech
Ser
vices
550.0
550.0
Sr N
ts7.1
2515
-Nov
-18
7.125
51
5bp
B2/B
+En
ergy
Refin
ancin
g30
-Mar
Free
dom
Grou
p22
5.022
0.5Sr
Nts
(PIK
/Cas
h)11
.250
01-O
ct-15
11.75
0 19
0bp
B3/B
-Co
nsum
er P
rodu
ctsOt
her
09-F
ebFr
eesc
ale S
emico
nduc
tor75
0.075
0.0Sr
Sec
Nts
(1st)
10.12
515
-Mar
-18
10.12
5 67
9bp
B2/N
RTe
chno
logy
Refin
ancin
g07
-Apr
Free
scale
Sem
icond
uctor
1,380
.01,3
80.0
Sr S
ec N
ts (1
st)9.2
5015
-Apr
-18
9.250
56
9bp
B2/B
-Te
chno
logy
Refin
ancin
g22
-Sep
Free
scale
Sem
icond
uctor
750.0
750.0
Sr N
ts10
.750
01-A
ug-2
010
.750
819b
pCa
a2/C
CCTe
chno
logy
Refin
ancin
g26
-Mar
Fron
tier C
ommu
nicati
ons
500.0
500.0
Sr N
ts7.8
7515
-Apr
-15
7.875
51
6bp
Ba2/B
BTe
lecom
munic
ation
sAc
quisi
tion
Finan
ce26
-Mar
Fron
tier C
ommu
nicati
ons
1,100
.01,1
00.0
Sr N
ts8.2
5015
-Apr
-17
8.250
49
2bp
Ba2/B
BTe
lecom
munic
ation
sAc
quisi
tion
Finan
ce26
-Mar
Fron
tier C
ommu
nicati
ons
1,100
.01,1
00.0
Sr N
ts8.5
0015
-Apr
-20
8.500
46
4bp
Ba2/B
BTe
lecom
munic
ation
sAc
quisi
tion
Finan
ce
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A9
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s26
-Mar
Fron
tier C
ommu
nicati
ons
500.0
500.0
Sr N
ts8.7
5015
-Apr
-22
8.750
45
9bp
Ba2/B
BTe
lecom
munic
ation
sAc
quisi
tion
Finan
ce09
-Nov
Fron
tier O
il15
0.015
0.0Gu
ar N
ts6.8
7515
-Nov
-18
6.875
47
5bp
Ba3/B
BEn
ergy
Refin
ancin
g16
-Sep
FTI C
onsu
lting
400.0
400.0
Sr N
ts6.7
5001
-Oct-
206.7
50
400b
pBa
2/BB
Servi
ces
Refin
ancin
g22
-Sep
Gann
ett C
o25
0.024
7.4Sr
Nts
6.375
01-S
ep-1
56.6
25
530b
pBa
a3/B
BDi
versi
fied
Media
Refin
ancin
g22
-Sep
Gann
ett C
o25
0.024
6.3Sr
Nts
7.125
01-S
ep-1
87.3
75
516b
pBa
a3/B
BDi
versi
fied
Media
Refin
ancin
g08
-Mar
Gard
a W
orld
Secu
rity25
0.024
5.4Sr
Uns
ec N
ts9.7
5015
-Mar
-17
10.12
5 70
0bp
B3/B
Servi
ces
Gene
ral C
orpo
rate
12-N
ovGe
nesis
Ene
rgy L
P25
0.025
0.0Sr
Nts
7.875
15-D
ec-1
87.8
75
565b
pB3
/B+
Ener
gyAc
quisi
tion
Finan
ce20
-Sep
GenO
n En
ergy
675.0
665.7
Sr N
ts9.5
0015
-Oct-
189.7
50
736b
pB3
/BUt
ility
Acqu
isitio
n Fin
ance
20-S
epGe
nOn
Ener
gy55
0.053
7.2Sr
Nts
9.875
15-O
ct-20
10.25
0 75
2bp
B3/B
Utilit
yAc
quisi
tion
Finan
ce12
-Aug
Genti
va H
ealth
325.0
325.0
Sr N
ts11
.500
01-S
ep-1
811
.500
928b
pB2
/B-
Healt
hcar
eAc
quisi
tion
Finan
ce01
-Oct
Geoe
ye In
c12
5.012
5.0Sr
Sec
Nts
(2nd
)8.6
2501
-Oct-
168.6
25
702b
pB3
/B-
Cable
and
Sate
llite
Gene
ral C
orpo
rate
27-O
ctGe
orgia
Pac
ific1,2
50.0
1,242
.7Sr
Nts
5.400
01-N
ov-2
05.4
77
275b
pBa
2/BBB
Pape
r and
Pac
kagin
gGe
nera
l Cor
pora
te13
-Jan
Gibs
on E
nerg
y20
0.019
4.7Sr
Nts
10.00
015
-Jan-
1810
.500
724b
pB3
/B-
Ener
gyGe
nera
l Cor
pora
te18
-Nov
Gira
ffe A
cquis
ition
Corp
400.0
400.0
Sr N
ts9.1
2501
-Dec
-18
9.125
67
0bp
Caa1
/B-
Retai
lAc
quisi
tion
Finan
ce29
-Jan
Glatf
elter
100.0
95.0
Sr N
ts7.1
2501
-May
-16
8.160
52
8bp
Ba2/B
B+Pa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
10-N
ovGl
obal
Cros
sing
150.0
150.0
Sr N
ts9.0
0015
-Nov
-19
9.000
65
4bp
Caa2
/CCC
+Te
lecom
munic
ation
sRe
finan
cing
22-A
prGl
obal
Geop
hysic
al20
0.019
4.0Gu
ar N
ts10
.500
01-M
ay-1
711
.125
796b
pB3
/BEn
ergy
Refin
ancin
g19
-Oct
Glor
ious P
rope
rty30
0.030
0.0Sr
Nts
13.00
025
-Oct-
1513
.000
1119
0bp
B2/B
Hous
ingGe
nera
l Cor
pora
te09
-Feb
GMAC
2,000
.01,9
84.0
Sr N
ts8.3
0012
-Feb
-15
8.500
62
0bp
B3/B
Finan
cial
Gene
ral C
orpo
rate
10-M
arGM
AC1,5
00.0
1,474
.8Gu
ar N
ts8.0
0015
-Mar
-20
8.250
45
3bp
B3/B
Finan
cial
Gene
ral C
orpo
rate
23-M
arGM
AC40
0.039
3.3Sr
Nts
8.000
15-M
ar-2
08.1
25
446b
pB3
/BFin
ancia
lGe
nera
l Cor
pora
te13
-Jul
Gol F
inanc
e30
0.029
5.2Sr
Nts
9.250
20-Ju
l-20
9.500
63
9bp
NR/B
+Tr
ansp
ortat
ionRe
finan
cing
10-A
ugGo
odYe
ar T
ire &
Rub
ber
900.0
892.5
Sr N
ts8.2
5015
-Aug
-20
8.375
56
2bp
B1/B
+Au
tomoti
veRe
finan
cing
20-A
ugGo
odYe
ar T
ire &
Rub
ber
100.0
100.8
Guar
Nts
8.250
15-A
ug-2
08.1
19
555b
pB1
/B+
Autom
otive
Refin
ancin
g16
-Sep
Grah
am P
acka
ging
250.0
250.0
Sr N
ts8.2
5001
-Oct-
188.2
50
549b
pCa
a1/B
-Pa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
15-S
epGr
aphic
Pac
kagin
g25
0.025
0.0Sr
Nts
7.875
01-O
ct-18
7.875
55
7bp
B3/B
Pape
r and
Pac
kagin
gAc
quisi
tion
Finan
ce21
-Apr
Gray
Telev
ision
365.0
358.0
Sr S
ec N
ts (2
nd)
10.50
029
-Jun-
1511
.000
850b
pCa
a2/C
CCBr
oadc
astin
gRe
finan
cing
30-M
arGr
eat W
olf F
inanc
e23
0.021
9.31s
t Mtg
Nts
10.87
501
-Apr
-17
11.87
5 85
6bp
B3/B
B-Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
30-M
arGr
upo
Pape
lero
Scrib
e30
0.030
0.0Gu
ar N
ts8.8
7507
-Apr
-20
8.875
50
2bp
Ba3/B
B-Pa
per a
nd P
acka
ging
Refin
ancin
g08
-Jan
Grup
o Po
sada
s SAB
CV
200.0
198.0
Guar
Nts
9.250
15-Ja
n-15
9.500
69
0bp
B2/B
+Ga
ming
Lod
ging
and
Leisu
reGe
nera
l Cor
pora
te04
-Nov
Hane
sbra
nds
1,000
.01,0
00.0
Sr N
ts6.3
7515
-Dec
-20
6.375
39
0bp
B1/B
B-Co
nsum
er P
rodu
ctsRe
finan
cing
20-O
ctHa
nger
Orth
oped
ic20
0.020
0.0Sr
Nts
7.125
15-N
ov-1
87.1
25
508b
pB3
/BHe
althc
are
Refin
ancin
g01
-Oct
Hapa
g-Llo
yd25
0.024
8.4Sr
Nts
9.750
15-O
ct-17
9.875
79
8bp
B3/B
Tran
spor
tation
Refin
ancin
g05
-Nov
Harb
inger
Gro
up35
0.034
5.1Sr
Sec
Nts
(1st)
10.62
515
-Nov
-15
11.00
0 99
7bp
Caa1
/NR
Finan
cial
Gene
ral C
orpo
rate
13-A
prHa
rrah's
Ope
ratin
g75
0.074
0.9Sr
Sec
Nts
(2nd
)12
.750
15-A
pr-1
813
.000
919b
pCa
/CCC
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A10
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s24
-Sep
Harve
st Op
erati
on50
0.049
6.6Gu
ar N
ts6.8
7501
-Oct-
177.0
00
501b
pBa
1/BB-
Ener
gyRe
finan
cing
02-M
arHC
AInc
1,400
.01,3
87.3
Sr S
ec N
ts (1
st)7.2
5015
-Sep
-20
7.375
37
7bp
Ba3/B
BHe
althc
are
Refin
ancin
g10
-Nov
HCA
Inc1,5
25.0
1,525
.0Sr
Nts
7.750
15-M
ay-2
17.7
50
506b
pCa
a1/B
-He
althc
are
Othe
r28
-Sep
Healt
hsou
th Co
rp25
0.025
0.0Gu
ar N
ts7.7
5015
-Sep
-22
7.750
52
9bp
B2/B
+He
althc
are
Refin
ancin
g28
-Sep
Healt
hsou
th Co
rp27
5.027
5.0Gu
ar N
ts7.2
5001
-Oct-
187.2
50
514b
pB2
/B+
Healt
hcar
eRe
finan
cing
16-S
epHe
rtz C
orp
300.0
300.0
Sr N
ts7.5
0015
-Oct-
187.5
00
508b
pB2
/CCC
+Au
tomoti
veAc
quisi
tion
Finan
ce20
-Sep
Hertz
Cor
p40
0.040
0.0Gu
ar N
ts7.5
0015
-Oct-
187.5
00
508b
pB2
/CCC
+Au
tomoti
veAc
quisi
tion
Finan
ce06
-Dec
Hertz
Cor
p50
0.050
0.0Gu
ar N
ts7.3
7515
-Jan-
217.3
75
446b
pB2
/CCC
+Au
tomoti
veRe
finan
cing
14-Ja
nHe
xion
1,000
.099
3.0Sr
Sec
Nts
8.875
01-F
eb-1
89.0
00
552b
pB3
/CCC
+Ch
emica
lsRe
finan
cing
27-O
ctHe
xion
440.0
440.0
Sr S
ec N
ts (2
nd)
9.000
15-N
ov-2
09.0
00
633b
pCa
a1/C
CCCh
emica
lsRe
finan
cing
28-O
ctHi
dili In
dustr
y40
0.040
0.0Sr
Nts
8.625
04-N
ov-1
58.6
25
739b
pBa
1/BB-
Metal
s and
Mini
ngRe
finan
cing
03-F
ebHi
lcorp
Ene
rgy
300.0
295.0
Sr N
ts8.0
0015
-Feb
-20
8.250
45
5bp
B2/B
B-En
ergy
Refin
ancin
g07
-Oct
Hilco
rp E
nerg
y35
0.035
0.0Sr
Nts
7.625
15-A
pr-2
17.6
25
524b
pB2
/BB-
Ener
gyGe
nera
l Cor
pora
te18
-May
Hillm
an G
roup
150.0
150.0
Guar
Nts
10.87
501
-Jun-
1810
.875
783b
pB3
/CCC
+Ind
ustria
lsAc
quisi
tion
Finan
ce05
-Mar
Holly
Ene
rgy P
artne
rs15
0.015
0.0Sr
Uns
ec N
ts8.2
5015
-Mar
-18
8.250
49
1bp
B1/B
+En
ergy
Refin
ancin
g19
-Oct
Host
Hotel
s & R
esor
ts50
0.050
0.0Sr
Nts
6.000
01-N
ov-2
06.0
00
352b
pNR
/BB+
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g12
-Mar
Hunts
man
Inter
natio
nal
350.0
350.0
Sr S
ub N
ts8.6
2515
-Mar
-20
8.625
49
0bp
B3/C
CC+
Chem
icals
Refin
ancin
g14
-Sep
Hunts
man
Inter
natio
nal
350.0
350.0
Sr S
ub N
ts8.6
2515
-Mar
-21
8.625
58
8bp
B3/B
-Ch
emica
lsRe
finan
cing
28-O
ctHu
ntsma
n Int
erna
tiona
l18
0.019
4.4Sr
Sub
Nts
8.625
15-M
ar-2
17.2
67
504b
pB3
/B-
Chem
icals
Refin
ancin
g12
-Jan
Icahn
Ente
rpris
es L
P85
0.084
5.0Sr
Nts
7.750
15-Ja
n-16
7.875
49
8bp
Ba3/B
BB-
Finan
cial
Refin
ancin
g12
-Jan
Icahn
Ente
rpris
es L
P1,1
50.0
1,141
.7Sr
Nts
8.000
15-Ja
n-18
8.125
46
9bp
Ba3/B
BB-
Finan
cial
Refin
ancin
g08
-Nov
Icahn
Ente
rpris
es L
P30
0.031
0.5Sr
Nts
8.000
15-Ja
n-18
7.361
56
0bp
Ba3/B
BB-
Finan
cial
Gene
ral C
orpo
rate
08-N
ovIca
hn E
nterp
rises
LP
200.0
206.5
Sr N
ts7.7
5015
-Jan-
166.9
87
523b
pBa
3/BBB
-Fin
ancia
lGe
nera
l Cor
pora
te04
-Oct
Icon
Healt
h &
Fitne
ss20
5.020
3.9Sr
Sec
Nts
(2nd
)11
.875
15-O
ct-16
12.00
0 10
41bp
B2/B
Cons
umer
Pro
ducts
Refin
ancin
g19
-Feb
IMS
Healt
h1,0
00.0
1,000
.0Sr
Nts
12.50
001
-Mar
-18
12.50
0 90
4bp
B3/B
Healt
hcar
eRe
finan
cing
22-Ju
lInd
osat
Palap
a65
0.064
6.6Sr
Nts
7.375
29-Ju
l-20
7.450
45
2bp
Ba1/B
BFin
ancia
lRe
finan
cing
05-M
ayIne
os F
inanc
e57
0.057
0.0Sr
Sec
Nts
(1st)
9.000
15-M
ay-1
59.0
00
671b
pB2
/B-
Chem
icals
Refin
ancin
g13
-Sep
Inerg
y LP
600.0
600.0
Sr N
ts7.0
0001
-Oct-
187.0
00
465b
pBa
3/B+
Ener
gyAc
quisi
tion
Finan
ce30
-Jun
Insigh
t Com
munic
ation
s40
0.040
0.0Sr
Nts
9.375
15-Ju
l-18
9.375
68
4bp
B3/B
-Ca
ble a
nd S
atellit
eRe
finan
cing
06-A
ugIns
ight C
ommu
nicati
ons
95.0
100.5
Sr N
ts9.3
7515
-Jul-1
88.1
29
684b
pB3
/B-
Cable
and
Sate
llite
Refin
ancin
g09
-Apr
Integ
ra Te
lecom
475.0
475.0
Sr S
ec N
ts (1
st)10
.750
15-A
pr-1
610
.750
768b
pB2
/CCC
+Te
lecom
munic
ation
sRe
finan
cing
16-S
epInt
elsat
Jack
son
1,000
.01,0
00.0
Sr N
ts7.2
5015
-Oct-
207.2
50
451b
pB3
/B+
Cable
and
Sate
llite
Refin
ancin
g20
-Jul
Inter
activ
e Da
ta70
0.070
0.0Gu
ar N
ts10
.250
01-A
ug-1
810
.250
731b
pCa
a1/B
-Se
rvice
sAc
quisi
tion
Finan
ce18
-Nov
Inter
face
Inc27
5.027
5.0Sr
Nts
7.625
01-D
ec-1
87.6
25
519b
pB2
/B+
Hous
ingRe
finan
cing
04-N
ovInt
erlin
e Br
ands
300.0
300.0
Sr N
ts7.0
0015
-Nov
-18
7.000
50
3bp
B2/B
B-Ind
ustria
lsRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A11
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s11
-Mar
Inter
natio
nal C
oal
200.0
198.6
Sr S
ec N
ts9.1
2501
-Apr
-18
9.250
58
7bp
Caa1
/BB-
Metal
s and
Mini
ngRe
finan
cing
17-M
arInt
erna
tiona
l Lea
se F
inanc
e1,0
00.0
984.1
Sr N
ts8.6
2515
-Sep
-15
9.000
65
2bp
B1/B
B+Fin
ancia
lGe
nera
l Cor
pora
te17
-Mar
Inter
natio
nal L
ease
Fina
nce
1,000
.097
4.7Sr
Nts
8.750
15-M
ar-1
79.2
50
617b
pB1
/BB+
Finan
cial
Gene
ral C
orpo
rate
30-M
arInt
erna
tiona
l Lea
se F
inanc
e25
0.025
2.5Sr
Nts
8.625
15-S
ep-1
58.3
92
570b
pB1
/BB+
Finan
cial
Refin
ancin
g30
-Mar
Inter
natio
nal L
ease
Fina
nce
500.0
503.8
Sr N
ts8.7
5015
-Mar
-17
8.604
52
8bp
B1/B
B+Fin
ancia
lRe
finan
cing
11-A
ugInt
erna
tiona
l Lea
se F
inanc
e1,2
75.0
1,274
.9Sr
Sec
Nts
(1st)
6.750
01-S
ep-1
66.7
50
500b
pBa
3/BBB
-Fin
ancia
lRe
finan
cing
11-A
ugInt
erna
tiona
l Lea
se F
inanc
e1,2
75.0
1,274
.9Sr
Sec
Nts
(1st)
7.125
01-S
ep-1
87.1
25
493b
pBa
3/BBB
-Fin
ancia
lRe
finan
cing
11-A
ugInt
erna
tiona
l Lea
se F
inanc
e1,3
50.0
1,350
.0Sr
Sec
Nts
(1st)
6.500
01-S
ep-1
46.5
00
540b
pBa
3/BBB
-Fin
ancia
lRe
finan
cing
11-A
ugInt
erna
tiona
l Lea
se F
inanc
e50
0.049
6.8Sr
Nts
8.875
01-S
ep-1
79.0
00
681b
pB1
/BB+
Finan
cial
Refin
ancin
g02
-Dec
Inter
natio
nal L
ease
Fina
nce
1,000
.099
1.6Sr
Nts
8.250
15-D
ec-2
08.3
75
537b
pB1
/BB+
Finan
cial
Gene
ral C
orpo
rate
20-A
erna
tiona
l Wire
Gro
up14
0.013
8.7Sr
Sec
Nts
(2nd
)9.7
5015
-Apr
-15
10.00
0 74
4bp
B3/B
Indus
trials
Refin
ancin
g28
-Jul
inVen
tiv H
ealth
275.0
275.0
Sr N
ts10
.000
15-A
ug-1
810
.000
739b
pCa
a1/B
-Di
versi
fied
Media
Acqu
isitio
n Fin
ance
25-M
arIT
C De
ltaco
m Inc
325.0
318.0
Sr S
ec N
ts (1
st)10
.500
01-A
pr-1
611
.000
806b
pB3
/B-
Telec
ommu
nicati
ons
Refin
ancin
g28
-Oct
Jabil
Circ
uit40
0.040
0.0Sr
Nts
5.625
15-D
ec-2
05.6
25
297b
pBa
1/BB+
Tech
nolog
yRe
finan
cing
14-Ja
nJa
rden
Cor
p27
5.027
2.6Sr
Sub
Nts
7.500
15-Ja
n-20
7.625
38
5bp
B3/B
Cons
umer
Pro
ducts
Refin
ancin
g02
-Nov
Jard
en C
orp
300.0
300.0
Sr N
ts6.1
2515
-Nov
-22
6.125
32
6bp
Ba3/B
B-Co
nsum
er P
rodu
ctsGe
nera
l Cor
pora
te23
-Jul
JBS
Finan
ce II
700.0
690.4
Guar
Nts
8.250
29-Ja
n-18
8.500
61
4bp
B1/B
BFo
od a
nd B
ever
ages
Refin
ancin
g10
-Sep
JBS
Finan
ce II
200.0
204.1
Sr N
ts8.2
5029
-Jan-
187.8
75
565b
pB1
/BB
Food
and
Bev
erag
esRe
finan
cing
18-M
ayJC
Pen
ney
400.0
398.9
Sr N
ts5.6
5001
-Jun-
205.6
87
225b
pBa
1/BB+
Retai
lGe
nera
l Cor
pora
te14
-Oct
JSC
Seve
rstal
1,000
.01,0
00.0
Nts
6.700
25-O
ct-17
6.700
48
7bp
Ba3/B
B-Me
tals a
nd M
ining
Unkn
own
21-A
prKa
isa G
roup
350.0
350.0
Guar
Nts
13.50
028
-Apr
-15
13.50
0 11
01bp
B2/B
+Ho
using
Refin
ancin
g07
-Jan
Kans
as C
ity S
outhe
rn D
E Me
xico
300.0
295.7
Sr N
ts8.0
0001
-Feb
-18
8.250
46
7bp
B2/B
+Tr
ansp
ortat
ionRe
finan
cing
21-A
prKe
met C
orp
230.0
227.0
Sr N
ts10
.500
01-M
ay-1
810
.750
735b
pB1
/BTe
chno
logy
Refin
ancin
g06
-Dec
Kind
er M
orga
n75
0.074
9.9Sr
Sec
Nts
(1st)
6.000
15-Ja
n-18
6.000
20
0bp
Ba1/B
BEn
ergy
Refin
ancin
g12
-May
Krato
s Defe
nse
& Se
curity
225.0
225.0
Sr S
ec N
ts (1
st)10
.000
01-Ju
n-17
10.00
0 64
2bp
B2/B
+Ind
ustria
lsAc
quisi
tion
Finan
ce11
-Aug
KWG
Prop
erty
250.0
250.0
Sr N
ts12
.500
18-A
ug-1
712
.500
1041
bpB1
/B+
Hous
ingGe
nera
l Cor
pora
te08
-Apr
Lama
r Med
ia Co
rp40
0.040
0.0Sr
Sub
Nts
7.875
15-A
pr-1
87.8
75
432b
pB1
/NR
Broa
dcas
ting
Refin
ancin
g17
-Aug
Land
ry's H
olding
110.0
99.0
Sr S
ec N
ts (1
st)11
.500
01-Ju
n-14
15.06
9 10
40bp
NR/N
RFo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
23-A
prLa
ndry'
s Res
taura
nt47
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Sec
Nts
(2nd
)11
.625
01-D
ec-1
510
.156
904b
pB3
/BFo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
04-M
ayLa
ntheu
s Med
ical Im
aging
250.0
250.0
Sr N
ts9.7
5015
-May
-17
9.750
67
4bp
B2/B
+He
althc
are
Refin
ancin
g23
-Mar
Lear
Cor
p35
0.034
7.1Sr
Nts
8.125
15-M
ar-2
08.1
25
457b
pB1
/BB+
Autom
otive
Refin
ancin
g23
-Mar
Lear
Cor
p35
0.034
7.5Sr
Nts
7.875
15-M
ar-1
88.0
00
470b
pB1
/BB-
Autom
otive
Refin
ancin
g27
-Apr
Lenn
ar C
orp
250.0
247.3
Sr N
ts6.9
5001
-Jun-
187.1
25
336b
pB3
/BB-
Hous
ingRe
finan
cing
05-Ja
nLe
vel 3
Fina
ncing
640.0
627.1
Sr N
ts10
.000
01-F
eb-1
810
.375
692b
pCa
a1/C
CCTe
lecom
munic
ation
sRe
finan
cing
28-A
prLe
vi St
raus
s52
5.052
5.0Sr
Nts
7.625
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ay-2
07.6
25
391b
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Cons
umer
Pro
ducts
Refin
ancin
g
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A12
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
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%Sp
read
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gsSe
ctor
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f pro
ceed
s28
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y Glas
s Inc
400.0
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Sr S
ec N
ts10
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510
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pB2
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finan
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Tire
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200.0
197.9
Sr N
ts11
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01-O
ct-16
11.25
0 96
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Indus
trials
Refin
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-Feb
Life T
echn
ologie
s75
0.074
8.5Sr
Nts
6.000
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ar-2
06.0
30
232b
pBa
1/BBB
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althc
are
Refin
ancin
g11
-Feb
Life T
echn
ologie
s50
0.049
8.3Sr
Nts
4.400
01-M
ar-1
54.4
70
210b
pBa
1/BBB
-He
althc
are
Refin
ancin
g11
-Feb
Life T
echn
ologie
s25
0.024
9.9Sr
Nts
3.500
01-M
ar-1
33.3
90
200b
pBa
1/BBB
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althc
are
Refin
ancin
g09
-Dec
Life T
echn
ologie
s40
0.039
9.4Sr
Nts
3.500
15-Ja
n-16
3.534
16
5bp
Ba1/B
BBHe
althc
are
Gene
ral C
orpo
rate
09-D
ecLif
e Tec
hnolo
gies
400.0
398.2
Sr N
ts5.0
0015
-Jan-
215.0
56
185b
pBa
1/BBB
Healt
hcar
eGe
nera
l Cor
pora
te20
-Sep
LifeP
oint H
ospit
al40
0.040
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ar N
ts6.6
2501
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25
392b
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1/BB-
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finan
cing
20-A
prLim
ited
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0.040
0.0Gu
ar N
ts7.0
0001
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32
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Ba1/B
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tail
Refin
ancin
g07
-Apr
Lin Te
levisi
on20
0.020
0.0Sr
Nts
8.375
15-A
pr-1
88.3
75
483b
pBa
3/B+
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dcas
ting
Refin
ancin
g30
-Mar
Linn
Ener
gy1,3
00.0
1,268
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Uns
ec N
ts8.6
2515
-Apr
-20
9.000
51
2bp
B3/B
Ener
gyRe
finan
cing
08-S
epLin
n En
ergy
1,000
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2.6Gu
ar N
ts7.7
5001
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-21
8.000
50
5bp
B2/B
Ener
gyRe
finan
cing
22-Ja
nLis
trindo
Cap
ital
300.0
297.3
Guar
Nts
9.250
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n-15
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finan
cing
22-A
prLiv
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tion
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tainm
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250.0
250.0
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nsec
Nts
8.125
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ay-1
88.1
25
470b
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ming
Lod
ging
and
Leisu
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finan
cing
24-M
arLy
onde
ll Petr
oche
mica
l2,2
50.0
2,250
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Sec
Nts
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8.000
01-N
ov-1
78.0
00
477b
pBa
3/NR
Chem
icals
Refin
ancin
g28
-Oct
M/I H
omes
Inc
200.0
197.2
Sr N
ts8.6
2515
-Nov
-18
8.875
62
2bp
Caa1
/B-
Hous
ingRe
finan
cing
06-A
prMa
gnac
hip S
emico
nduc
tor25
0.024
6.7Sr
Nts
10.50
015
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-18
10.75
0 70
8bp
B2/B
+Te
chno
logy
Refin
ancin
g25
-Mar
Magn
esita
Refr
atario
s40
0.039
6.6Gu
ar N
ts7.8
7530
-Mar
-20
8.000
41
3bp
B1/B
B-Ho
using
Refin
ancin
g22
-Jan
Manc
heste
r Unit
ed42
5.041
6.8Sr
Sec
Nts
(1st)
8.375
01-F
eb-1
78.7
50
568b
pNR
/NR
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g03
-Feb
Manit
owoc
Com
pany
400.0
400.0
Sr U
nsec
Nts
9.500
15-F
eb-1
89.5
00
609b
pCa
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B-Ind
ustria
lsRe
finan
cing
13-O
ctMa
nitow
oc C
ompa
ny60
0.059
5.0Sr
Nts
8.500
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ov-2
08.6
25
620b
pB3
/B+
Indus
trials
Refin
ancin
g08
-Apr
Mante
ch In
terna
tiona
l CP
200.0
200.0
Sr N
ts7.2
5015
-Apr
-18
7.250
37
2bp
Ba2/B
B+Ind
ustria
lsRe
finan
cing
29-A
prMa
rfrig
Over
seas
500.0
492.1
Guar
Nts
9.500
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ay-2
09.7
50
578b
pB1
/B+
Food
and
Bev
erag
esRe
finan
cing
04-A
ugMa
rina
Distr
ict F
inanc
e40
0.039
7.3Sr
Sec
Nts
(1st)
9.875
15-A
ug-1
810
.000
752b
pB2
/BB
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g04
-Aug
Marin
a Di
strict
Fina
nce
400.0
395.8
Sr S
ec N
ts (1
st)9.5
0015
-Oct-
159.7
50
815b
pB2
/BB
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g19
-Oct
Markw
est E
nerg
y50
0.050
0.0Sr
Nts
6.750
01-N
ov-2
06.7
50
428b
pB1
/BB-
Ener
gyRe
finan
cing
12-Ja
nMa
rque
tte T
rans
porta
tion
250.0
247.0
Sr S
ec N
ts (2
nd)
10.87
515
-Jan-
1711
.125
795b
pB3
/B-
Tran
spor
tation
Refin
ancin
g23
-Mar
Martin
Mids
tream
Par
tners
200.0
197.2
Sr N
ts8.8
7501
-Apr
-18
9.125
58
3bp
B3/B
+En
ergy
Refin
ancin
g05
-Mar
Masc
o Co
rp50
0.050
0.0Sr
Uns
ec N
ts7.1
2515
-Mar
-20
7.125
34
3bp
Ba2/B
BB-
Hous
ingRe
finan
cing
31-M
arMa
xim C
rane
Wor
ks25
0.024
3.2Sr
Sec
Nts
(2nd
)12
.250
15-A
pr-1
513
.000
1044
bpCa
a1/B
Servi
ces
Refin
ancin
g12
-May
MCE
Finan
ce60
0.059
2.0Sr
Nts
10.25
015
-May
-18
10.50
0 72
7bp
B1/B
+Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
08-F
ebMc
Junk
in Re
d Ma
n50
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Sec
Nts
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9.500
15-D
ec-1
610
.000
712b
pB3
/BEn
ergy
Refin
ancin
g
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A13
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s11
-May
MDC
Comm
unica
tions
65.0
67.6
Guar
Nts
11.00
001
-Nov
-16
10.02
9 83
6bp
B2/B
+Di
versi
fied
Media
Gene
ral C
orpo
rate
09-N
ovMe
dAss
ets In
c32
5.032
5.0Sr
Nts
8.000
15-N
ov-1
88.0
00
597b
pB3
/B-
Healt
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eAc
quisi
tion
Finan
ce05
-Feb
Media
Gen
eral
300.0
293.1
Sr S
ec N
ts (1
st)11
.750
15-F
eb-1
712
.250
879b
pB2
/BDi
versi
fied
Media
Refin
ancin
g10
-Nov
Merce
r Inte
rnati
onal
300.0
300.0
Sr N
ts9.5
0001
-Dec
-17
9.500
76
6bp
B3/B
Pape
r and
Pac
kagin
gRe
finan
cing
19-A
prMe
rge
Healt
hcar
e20
0.019
4.5Sr
Sec
Nts
(1st)
11.75
015
-May
-15
12.50
0 99
9bp
B2/B
+He
althc
are
Acqu
isitio
n Fin
ance
06-A
prMe
ritage
Hom
es20
0.019
5.1Sr
Uns
ec N
ts7.1
5015
-Apr
-20
7.500
35
4bp
B1/B
+Ho
using
Refin
ancin
g07
-Sep
Metro
PCS
Wire
less
1,000
.099
2.8Sr
Nts
7.875
01-S
ep-1
88.0
00
579b
pB2
/BTe
lecom
munic
ation
sRe
finan
cing
05-N
ovMe
troPC
S W
ireles
s1,0
00.0
1,000
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Nts
6.625
15-N
ov-2
06.6
25
411b
pB2
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lecom
munic
ation
sRe
finan
cing
09-M
arMG
M Mi
rage
845.0
845.0
Sr S
ec N
ts9.0
0015
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-20
9.000
52
9bp
B1/B
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g25
-Oct
MGM
Reso
rts50
0.049
4.5Sr
Nts
10.00
001
-Nov
-16
10.25
0 87
4bp
Caa1
/CCC
+Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
22-Ju
nMi
chae
l Foo
ds43
0.043
0.0Sr
Nts
9.750
15-Ju
l-18
9.750
69
4bp
Caa1
/B-
Food
and
Bev
erag
esAc
quisi
tion
Finan
ce07
-Oct
Mich
aels
Stor
es80
0.079
4.1Sr
Nts
7.750
01-N
ov-1
87.8
75
572b
pCa
a1/C
CCRe
tail
Refin
ancin
g31
-Mar
Midw
est G
aming
175.0
173.1
Sr S
ec N
ts (2
nd)
11.62
515
-Apr
-16
11.87
5 88
8bp
Caa1
/BGa
ming
Lod
ging
and
Leisu
reGe
nera
l Cor
pora
te22
-Jan
Mine
rva O
verse
as25
0.024
5.3Gu
ar N
ts10
.875
15-N
ov-1
911
.200
800b
pB3
/B-
Food
and
Bev
erag
esRe
finan
cing
10-N
ovMo
bile
Mini
200.0
200.0
Sr N
ts7.8
7501
-Dec
-20
7.875
52
4bp
B2/B
+Se
rvice
sRe
finan
cing
27-O
ctMo
menti
ve P
erfor
manc
e63
5.063
5.0Sr
Nts
9.000
15-Ja
n-21
9.000
63
3bp
Caa1
/CCC
Chem
icals
Refin
ancin
g19
-Aug
Muell
er W
ater P
rodu
cts22
5.022
1.3Sr
Nts
8.750
01-S
ep-2
09.0
00
643b
pB1
/B+
Indus
trials
Refin
ancin
g12
-Aug
Multip
lan In
c67
5.067
5.0Sr
Nts
9.875
01-S
ep-1
89.8
75
767b
pCa
a1/C
CC+
Healt
hcar
eAc
quisi
tion
Finan
ce15
-Apr
Murra
y Ene
rgy
40.0
41.0
Sr S
ec N
ts (2
nd)
10.25
015
-Oct-
159.6
46
779b
pCa
a1/B
+Me
tals a
nd M
ining
Refin
ancin
g30
-Nov
Murra
y Ene
rgy
150.0
154.5
Sr S
ec N
ts (2
nd)
10.25
015
-Oct-
159.3
38
693b
pB3
/BMe
tals a
nd M
ining
Gene
ral C
orpo
rate
12-M
ayMy
lan55
0.054
9.8Sr
Nts
7.625
15-Ju
l-17
7.625
46
2bp
B1/B
B-He
althc
are
Refin
ancin
g12
-May
Mylan
700.0
699.8
Sr N
ts7.8
7515
-Jul-2
07.8
75
430b
pB1
/BB-
Healt
hcar
eRe
finan
cing
30-Ju
lMy
lan30
0.031
6.5Sr
Nts
7.875
15-Ju
l-20
7.089
43
0bp
B1/B
B-He
althc
are
Acqu
isitio
n Fin
ance
09-N
ovMy
lan80
0.078
7.6Sr
Nts
6.000
15-N
ov-1
86.2
50
400b
pNR
/NR
Healt
hcar
eRe
finan
cing
02-D
ecNA
I Ente
rtainm
ent H
olding
400.0
400.0
Sr S
ec N
ts (1
st)8.2
5015
-Dec
-17
8.250
59
1bp
B1/B
BGa
ming
Lod
ging
and
Leisu
reRe
finan
cing
09-D
ecNa
lco75
0.075
0.0Sr
Nts
6.625
15-Ja
n-19
6.625
37
1bp
Ba2/B
B-Ch
emica
lsRe
finan
cing
23-M
arNa
tions
tar M
ortga
ge L
LC25
0.024
3.0Sr
Nts
10.87
501
-Apr
-15
11.62
5 92
2bp
B2/B
Finan
cial
Refin
ancin
g06
-Oct
Navio
s Mar
itime
400.0
400.0
1st M
tg Nt
s8.6
2501
-Nov
-17
8.625
68
9bp
B2/B
Tran
spor
tation
Refin
ancin
g22
-Sep
NBTY
Inc65
0.065
0.0Gu
ar N
ts9.0
0001
-Oct-
189.0
00
685b
pB3
/BRe
tail
Acqu
isitio
n Fin
ance
01-A
prNE
S Re
ntal H
olding
s15
0.014
8.6Sr
Sec
Nts
(2nd
)12
.250
15-A
pr-1
512
.500
993b
pCa
a2/C
CC+
Servi
ces
Refin
ancin
g13
-Aug
New
Enter
prise
Ston
e &
Lime
250.0
250.0
Sr N
ts11
.000
01-S
ep-1
811
.000
876b
pCa
a1/B
+Ho
using
Refin
ancin
g01
-Nov
New
York
Times
225.0
225.0
Sr N
ts6.6
2515
-Dec
-16
6.625
50
1bp
B1/B
+Di
versi
fied
Media
Gene
ral C
orpo
rate
20-Ja
nNe
wfiel
d Ex
plora
tion
700.0
693.8
Sr S
ub N
ts6.8
7501
-Feb
-20
7.000
33
5bp
Ba3/B
B+En
ergy
Refin
ancin
g08
-Apr
Nexs
tar B
road
casti
ng32
5.032
2.9Sr
Sec
Nts
8.875
15-A
pr-1
79.0
00
566b
pB3
/B-
Broa
dcas
ting
Refin
ancin
g09
-Feb
NFR
Ener
gy20
0.019
7.5Sr
Nts
9.750
15-F
eb-1
710
.000
694b
pCa
a1/B
Ener
gyRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A14
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s09
-Apr
NFR
Ener
gy15
0.014
8.1Sr
Nts
9.750
15-F
eb-1
710
.000
666b
pCa
a1/B
Ener
gyRe
finan
cing
30-S
epNi
elsen
Fina
nce
750.0
744.5
Sr N
ts7.7
5015
-Oct-
187.8
75
572b
pCa
a1/B
Dive
rsifie
d Me
diaRe
finan
cing
29-O
ctNi
elsen
Fina
nce
330.0
339.9
Guar
Nts
7.750
15-O
ct-18
7.119
49
4bp
Caa1
/BDi
versi
fied
Media
Refin
ancin
g26
-Feb
Nisk
a Ga
s Stor
age
800.0
800.0
Sr U
nsec
Nts
8.875
15-M
ar-1
88.8
75
561b
pB1
/BB-
Ener
gyRe
finan
cing
18-N
ovNo
rtek I
nc25
0.025
0.0Sr
Nts
10.00
001
-Dec
-18
10.00
0 75
7bp
Caa2
/CCC
+Ho
using
Gene
ral C
orpo
rate
22-N
ovNo
rther
n Tier
Ene
rgy
290.0
290.0
Sr S
ec N
ts (1
st)10
.500
01-D
ec-1
710
.500
836b
pB1
/BB-
Ener
gyAc
quisi
tion
Finan
ce04
-Nov
Norw
egian
Cru
ise L
ines C
orp.
250.0
250.0
Sr N
ts9.5
0015
-Nov
-18
9.500
75
2bp
Caa1
/BGa
ming
Lod
ging
and
Leisu
reRe
finan
cing
10-D
ecNo
velis
1,400
.01,4
00.0
Sr N
ts8.7
5015
-Dec
-20
8.750
55
0bp
B2/B
Metal
s and
Mini
ngRe
finan
cing
10-D
ecNo
velis
1,100
.01,1
00.0
Sr N
ts8.3
7515
-Dec
-17
8.375
57
2bp
B2/B
Metal
s and
Mini
ngRe
finan
cing
17-A
ugNR
G En
ergy
1,100
.01,1
00.0
Guar
Nts
8.250
01-S
ep-2
08.2
50
561b
pB1
/BB-
Utilit
yGe
nera
l Cor
pora
te17
-Nov
NV E
nerg
y Inc
315.0
315.0
Sr N
ts6.2
5015
-Nov
-20
6.250
33
8bp
Ba3/B
BUt
ility
Refin
ancin
g13
-Jul
NXP
Fund
ing1,0
00.0
1,000
.0Sr
Sec
Nts
(1st)
9.750
01-A
ug-1
89.7
50
698b
pCa
a1/C
CC+
Tech
nolog
yRe
finan
cing
04-F
ebOm
ega
Healt
hcar
e Inv
estor
s20
0.019
6.6Sr
Nts
7.500
15-F
eb-2
07.7
50
414b
pBa
3/BB+
Healt
hcar
eRe
finan
cing
29-S
epOm
ega
Healt
hcar
e Inv
estor
s22
5.022
2.7Sr
Nts
6.750
15-O
ct-22
6.875
44
1bp
Ba2/B
B+He
althc
are
Refin
ancin
g09
-Nov
Omeg
a He
althc
are
Inves
tors
350.0
360.5
Sr N
ts6.7
5015
-Oct-
226.2
61
363b
pBa
2/BB+
Healt
hcar
eRe
finan
cing
13-M
ayOm
nicar
e Inc
400.0
399.9
Sr S
ub N
ts7.7
5001
-Jun-
207.7
50
421b
pBa
2/BB
Healt
hcar
eRe
finan
cing
22-O
ctOm
nOVA
Solut
ions
250.0
250.0
Sr N
ts7.8
7501
-Nov
-18
7.875
57
5bp
B2/B
-Ch
emica
lsAc
quisi
tion
Finan
ce06
-May
Oncu
re M
edica
l21
0.020
6.3Sr
Sec
Nts
(1st)
11.75
015
-May
-17
12.12
5 89
1bp
B2/B
Healt
hcar
eRe
finan
cing
11-A
ugOp
ti Can
ada
300.0
289.5
Sr S
ec N
ts (1
st)9.7
5015
-Aug
-13
11.16
2 10
39bp
B3/B
Ener
gyRe
finan
cing
11-A
ugOp
ti Can
ada
100.0
97.0
Sr S
ec N
ts (1
st)9.0
0015
-Dec
-12
9.228
86
9bp
B2/B
Ener
gyRe
finan
cing
26-F
ebOs
hKos
h Co
rp25
0.025
0.0Gu
ar N
ts8.5
0001
-Mar
-20
8.500
49
0bp
B3/B
-Ind
ustria
lsRe
finan
cing
26-F
ebOs
hKos
h Co
rp25
0.025
0.0Gu
ar N
ts8.2
5001
-Mar
-17
8.250
52
1bp
B3/B
-Ind
ustria
lsRe
finan
cing
24-M
arOv
erse
as S
hipho
lding
Gro
up30
0.029
5.7Sr
Uns
ec N
ts8.1
2530
-Mar
-18
8.375
49
5bp
Ba3/B
B-Tr
ansp
ortat
ionRe
finan
cing
09-Ju
lOX
EAFin
ance
/CY
SCA
260.0
260.0
Sr S
ec N
ts (1
st)9.5
0015
-Jul-1
79.5
00
701b
pB2
/B+
Chem
icals
Refin
ancin
g29
-Oct
Pacn
et Ltd
300.0
300.0
Sr S
ec N
ts (1
st)9.2
5009
-Nov
-15
9.250
80
8bp
B1/N
RTe
lecom
munic
ation
sRe
finan
cing
19-N
ovPa
etec E
scro
w45
0.043
5.0Sr
Nts
9.875
01-D
ec-1
810
.500
809b
pCa
a1/C
CC+
Telec
ommu
nicati
ons
Acqu
isitio
n Fin
ance
07-Ja
nPa
etec H
olding
Cor
p30
0.030
1.6Sr
Sec
Nts
(1st)
8.875
30-Ju
n-17
8.750
53
9bp
B1/B
Telec
ommu
nicati
ons
Refin
ancin
g30
-Apr
Pan A
meric
an E
nerg
y50
0.049
1.0Gu
ar N
ts7.8
7507
-May
-21
8.125
44
6bp
Ba2/N
REn
ergy
Gene
ral C
orpo
rate
11-M
arPa
rker D
rilling
300.0
300.0
Sr N
ts9.1
2501
-Apr
-18
9.125
57
6bp
B1/B
+En
ergy
Refin
ancin
g09
-Apr
Pathe
on In
c28
0.028
0.0Sr
Sec
Nts
(1st)
8.625
15-A
pr-1
78.6
25
526b
pB1
/B+
Healt
hcar
eRe
finan
cing
28-A
prPa
triot C
oal
250.0
248.2
Sr N
ts8.2
5030
-Apr
-18
8.375
49
7bp
B3/B
+Me
tals a
nd M
ining
Gene
ral C
orpo
rate
11-A
ugPe
abod
y Ene
rgy
650.0
650.0
Guar
Nts
6.500
15-S
ep-2
06.5
00
381b
pBa
1/BB+
Metal
s and
Mini
ngRe
finan
cing
22-A
prPe
nn V
irgini
a30
0.030
0.0Gu
ar N
ts8.2
5015
-Apr
-18
8.250
42
5bp
B2/B
Metal
s and
Mini
ngRe
finan
cing
29-A
prPe
nson
Wor
ldwide
200.0
200.0
Sr S
ec N
ts (2
nd)
12.50
015
-May
-17
12.50
0 92
9bp
B1/B
B-Fin
ancia
lRe
finan
cing
19-N
ovPe
tco A
nimal
Supp
lies
500.0
500.0
Guar
Nts
9.250
01-D
ec-1
89.2
50
683b
pCa
a1/C
CC+
Retai
lRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A15
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s03
-Aug
Petro
hawk
Ene
rgy
825.0
825.0
Guar
Nts
7.250
15-A
ug-1
87.2
50
434b
pB3
/B+
Ener
gyRe
finan
cing
12-A
ugPe
troqu
est E
nerg
y15
0.015
0.0Sr
Nts
10.00
001
-Sep
-17
10.00
0 79
1bp
Caa1
/BEn
ergy
Refin
ancin
g31
-Mar
Phar
mane
t Dev
elopm
ent
185.0
185.0
Sr S
ec N
ts (1
st)10
.875
15-A
pr-1
710
.875
758b
pB3
/B+
Healt
hcar
eRe
finan
cing
06-A
ugPH
H Co
rp35
0.035
0.0Sr
Nts
9.250
01-M
ar-1
69.2
50
749b
pBa
2/BB+
Servi
ces
Refin
ancin
g16
-Sep
PHI I
nc30
0.030
0.0Sr
Nts
8.625
15-O
ct-18
8.625
62
8bp
B2/B
+En
ergy
Refin
ancin
g28
-Jun
Phibr
o Anim
al He
alth
275.0
271.2
Sr N
ts9.2
5001
-Jul-1
89.5
00
687b
pB3
/BCh
emica
lsRe
finan
cing
23-A
prPh
illips
-Van
Heu
sen
600.0
600.0
Sr N
ts7.3
7515
-May
-20
7.375
35
6bp
B2/B
BCo
nsum
er P
rodu
ctsAc
quisi
tion
Finan
ce09
-Dec
Pilgr
im's
Pride
500.0
496.4
Guar
Nts
7.875
15-D
ec-1
88.0
00
510b
pB3
/BB-
Food
and
Bev
erag
esRe
finan
cing
21-S
epPi
nafor
e Inc
(Tom
kins)
1,150
.01,1
50.0
Sr S
ec N
ts (2
nd)
9.000
01-O
ct-18
9.000
67
4bp
B1/B
+Ind
ustria
lsAc
quisi
tion
Finan
ce29
-Apr
Pinn
acle
Enter
tainm
ent
350.0
350.0
Sr S
ub N
ts8.7
5015
-May
-20
8.750
50
2bp
Caa1
/BGa
ming
Lod
ging
and
Leisu
reRe
finan
cing
10-A
ugPi
nnac
le Fo
od F
inanc
e40
0.040
0.0Gu
ar N
ts8.2
5001
-Sep
-17
8.250
61
3bp
B3/C
CC+
Food
and
Bev
erag
esRe
finan
cing
04-M
arPi
onee
r Drill
ing25
0.023
9.4Sr
Nts
9.875
15-M
ar-1
810
.677
743b
pB3
/BEn
ergy
Refin
ancin
g24
-Mar
Plain
s Exp
lorati
on &
Pro
ducti
on30
0.030
0.0Sr
Uns
ec N
ts7.6
2501
-Apr
-20
7.625
37
9bp
B1/B
B-En
ergy
Refin
ancin
g11
-Feb
Plas
tiPak
Hold
ings
50.0
54.5
Sr N
ts10
.625
15-A
ug-1
98.9
51
525b
pB3
/BPa
per a
nd P
acka
ging
Refin
ancin
g06
-Jan
Ply G
em In
dustr
ies In
c15
0.014
5.7Sr
Sub
Nts
13.12
515
-Jul-1
414
.000
1138
bpCa
a3/N
RHo
using
Refin
ancin
g13
-Sep
Polyo
ne C
orp
360.0
360.0
Sr N
ts7.3
7515
-Sep
-20
7.375
46
2bp
Ba3/B
+Ch
emica
lsRe
finan
cing
10-N
ovPo
lypor
e Int
erna
tiona
l36
5.036
5.0Sr
Nts
7.500
15-N
ov-1
77.5
00
568b
pB3
/B-
Indus
trials
Refin
ancin
g07
-Jul
Postm
edia
Netw
ork (
Canw
est)
275.0
268.3
Sr S
ec N
ts (2
nd)
12.50
015
-Jul-1
813
.000
1043
bpB3
/BDi
versi
fied
Media
Othe
r09
-Sep
Powe
rLon
g Re
al Es
tate
200.0
200.0
Sr N
ts13
.750
16-S
ep-1
513
.750
1219
bpB1
/B+
Hous
ingGe
nera
l Cor
pora
te10
-Nov
Prec
ision
Drill
ing65
0.065
0.0Sr
Nts
6.625
15-N
ov-2
06.6
25
375b
pBa
2/BB+
Ener
gyRe
finan
cing
10-M
arPr
estig
e Br
ands
150.0
147.8
Sr N
ts8.2
5001
-Apr
-18
8.500
51
4bp
B3/B
+Co
nsum
er P
rodu
ctsRe
finan
cing
22-O
ctPr
estig
e Br
ands
100.0
102.0
Sr N
ts8.2
5001
-Apr
-18
7.788
58
5bp
B3/B
Cons
umer
Pro
ducts
Acqu
isitio
n Fin
ance
03-A
ugPr
ide In
terna
tiona
l90
0.090
0.0Sr
Nts
6.875
15-A
ug-2
06.8
75
397b
pBa
1/BBB
-En
ergy
Gene
ral C
orpo
rate
03-A
ugPr
ide In
terna
tiona
l30
0.030
0.0Sr
Nts
7.875
15-A
ug-4
07.8
75
384b
pBa
1/BBB
-En
ergy
Gene
ral C
orpo
rate
16-S
epPr
oQue
st LL
C27
5.027
5.0Gu
ar N
ts9.0
0015
-Oct-
189.0
00
664b
pB3
/BDi
versi
fied
Media
Refin
ancin
g29
-Mar
Prov
ident
Fund
ing A
ssoc
iates
400.0
400.0
Sr S
ec N
ts (1
st)10
.250
15-A
pr-1
710
.250
693b
pBa
3/B+
Finan
cial
Refin
ancin
g01
-Dec
Puge
t Ene
rgy
450.0
450.0
Sr S
ec N
ts6.5
0015
-Dec
-20
6.500
35
7bp
Ba2/B
B+Ut
ility
Gene
ral C
orpo
rate
11-A
ugQE
PRe
sour
ces
625.0
619.2
Sr N
ts6.8
7501
-Mar
-21
7.000
41
8bp
Ba1/B
B+En
ergy
Refin
ancin
g01
-Nov
Quali
ty Di
stribu
tion
225.0
223.5
Sr S
ec N
ts (2
nd)
9.875
01-N
ov-1
810
.000
781b
pCa
a1/B
-Tr
ansp
ortat
ionRe
finan
cing
17-M
arQV
C Inc
500.0
500.0
Sr S
ec N
ts (1
st)7.1
2515
-Apr
-17
7.125
40
5bp
Ba2/B
B+Re
tail
Refin
ancin
g17
-Mar
QVC
Inc50
0.050
0.0Sr
Sec
Nts
(1st)
7.375
15-O
ct-20
7.375
37
4bp
Ba2/B
B+Re
tail
Refin
ancin
g07
-Jan
QWes
t Com
munic
ation
s Inte
rnati
onal
800.0
787.5
Sr N
ts7.1
2501
-Apr
-18
7.375
37
8bp
Ba3/B
+Te
lecom
munic
ation
sRe
finan
cing
17-S
epRA
AM G
lobal
Ener
gy15
0.014
8.6Sr
Sec
Nts
(1st)
12.50
001
-Oct-
1512
.750
1132
bpCa
a2/B
Ener
gyRe
finan
cing
09-A
prRa
diatio
n The
rapy
Inc
310.0
308.1
Sr S
ub N
ts9.8
7515
-Apr
-17
10.00
0 66
7bp
Caa1
/CCC
+He
althc
are
Refin
ancin
g31
-Mar
Radn
et Inc
200.0
197.4
Sr N
ts10
.375
01-A
pr-1
810
.625
711b
pCa
a1/C
CC+
Healt
hcar
eRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A16
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s23
-Nov
Rain
CII C
arbo
n40
0.040
0.0Sr
Sec
Nts
(1st)
8.000
01-D
ec-1
88.0
00
526b
pB1
/BB-
Chem
icals
Refin
ancin
g29
-Jul
Rang
e Re
sour
ces
500.0
500.0
Sr S
ub N
ts6.7
5001
-Aug
-20
6.750
37
5bp
Ba3/B
BEn
ergy
Refin
ancin
g21
-Apr
RBS
Glob
al &
Rexn
ord
1,145
.01,1
45.0
Sr N
ts8.5
0001
-May
-18
8.500
50
9bp
Caa1
/B-
Indus
trials
Refin
ancin
g24
-Feb
RDS
Ultra
-Dee
pwate
r Ltd
270.0
262.3
Sr S
ec N
ts (2
nd)
11.87
515
-Mar
-17
12.50
0 10
16bp
B3/B
-En
ergy
Gene
ral C
orpo
rate
02-F
ebRe
ader
s' Di
gest
Asso
ciatio
n52
5.050
9.3Sr
Sec
FRN
(1st)
3mL+
650
15-F
eb-1
7na
naB1
/BDi
versi
fied
Media
Refin
ancin
g11
-Mar
Reck
son
Oper
ating
Par
tnersh
ip25
0.025
0.0Sr
Nts
7.750
16-M
ar-2
07.7
50
402b
pBa
2/BB+
Finan
cial
Refin
ancin
g26
-Feb
Redd
y Ice
Cor
p30
0.030
0.0Sr
Sec
Nts
(1st)
11.25
015
-Mar
-15
11.25
0 89
6bp
B1/B
-Fo
od a
nd B
ever
ages
Refin
ancin
g10
-Aug
Rega
l Ente
rtainm
ent
275.0
275.0
Sr N
ts9.1
2515
-Aug
-18
9.125
67
6bp
B3/B
-Ga
ming
Lod
ging
and
Leisu
reRe
finan
cing
13-O
ctRe
genc
y Ene
rgy
600.0
600.0
Guar
Nts
6.875
01-D
ec-1
86.8
75
485b
pB1
/B+
Ener
gyRe
finan
cing
13-M
ayRe
nhe
Comm
erica
l Hold
ings
300.0
297.2
Sr N
ts11
.750
18-M
ay-1
512
.000
974b
pBa
2/BB
Hous
ingGe
nera
l Cor
pora
te02
-Sep
Renh
e Co
mmer
ical H
olding
s30
0.030
0.0Sr
Sec
Nts
13.00
010
-Mar
-16
13.00
0 11
26bp
Ba2/B
BHo
using
Gene
ral C
orpo
rate
08-N
ovRe
nhe
Comm
erica
l Hold
ings
300.0
300.0
Sr S
ec N
ts13
.000
10-M
ar-1
613
.000
1150
bpBa
2/BB
Hous
ingGe
nera
l Cor
pora
te28
-Oct
Rent-
A-Ce
nter
300.0
300.0
Sr N
ts6.6
2515
-Nov
-20
6.625
39
6bp
Ba3/B
B-Re
tail
Refin
ancin
g28
-Apr
Reyn
olds G
roup
1,000
.01,0
00.0
Sr N
ts8.5
0015
-May
-18
8.500
50
9bp
Caa1
/B-
Pape
r and
Pac
kagin
gAc
quisi
tion
Finan
ce06
-Oct
Reyn
olds G
roup
1,500
.01,5
00.0
Sr S
ec N
ts (1
st)7.1
2515
-Apr
-19
7.125
49
7bp
Ba3/B
BPa
per a
nd P
acka
ging
Acqu
isitio
n Fin
ance
06-O
ctRe
ynold
s Gro
up1,5
00.0
1,500
.0Sr
Nts
9.000
15-A
pr-1
99.0
00
684b
pCa
a1/B
Pape
r and
Pac
kagin
gAc
quisi
tion
Finan
ce22
-Sep
Rhod
ia SA
400.0
400.0
Sr N
ts6.8
7515
-Sep
-20
6.875
43
3bp
B1/B
BCh
emica
lsRe
finan
cing
09-A
ugRi
te Ai
d Co
rp65
0.065
0.0Sr
Sec
Nts
(1st)
8.000
15-A
ug-2
08.0
00
518b
pB3
/B+
Retai
lRe
finan
cing
14-S
epRo
ad K
ing In
frastr
uctur
e35
0.035
0.0Sr
Nts
9.500
21-S
ep-1
59.5
00
801b
pBa
3/BB-
Hous
ingRe
finan
cing
27-S
epRo
adho
use
Finan
ce35
5.035
5.0Sr
Sec
Nts
(2nd
)10
.750
15-O
ct-17
10.75
0 88
6bp
B2/B
-Fo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
17-M
arRo
ckies
Exp
ress
Pipe
line
LLC
450.0
449.7
Sr N
ts3.9
0015
-Apr
-15
3.913
15
5bp
Ba1/B
BBEn
ergy
Refin
ancin
g17
-Mar
Rock
ies E
xpre
ss P
ipelin
e LL
C75
0.074
9.3Sr
Nts
5.625
15-A
pr-2
05.6
36
200b
pBa
1/BBB
Ener
gyRe
finan
cing
17-M
arRo
ckies
Exp
ress
Pipe
line
LLC
500.0
499.2
Sr N
ts6.8
7515
-Apr
-40
6.888
23
2bp
Ba1/B
BBEn
ergy
Refin
ancin
g08
-Nov
Roofi
ng S
upply
Gro
up22
5.022
5.0Sr
Sec
Nts
(1st)
8.625
01-D
ec-1
78.6
25
686b
pB2
/B+
Hous
ingRe
finan
cing
12-A
prRo
setta
Res
ource
200.0
200.0
Sr U
nsec
Nts
9.500
15-A
pr-1
89.5
00
598b
pCa
a1/B
+En
ergy
Refin
ancin
g29
-Sep
Rotec
h He
althc
are
230.0
223.5
Sr S
ec N
ts (1
st)10
.750
15-O
ct-15
11.50
0 10
22bp
B1/B
+He
althc
are
Refin
ancin
g26
-Jan
Ryer
son
Holdi
ng C
orp
483.0
220.2
Sr D
isc N
ts0/1
4.501
-Feb
-15
16.32
0 13
98bp
Caa3
/CCC
Metal
s and
Mini
ngOt
her
15-A
prRy
land
Grou
p30
0.030
0.0Sr
Nts
6.625
01-M
ay-2
06.6
25
279b
pBa
3/BB-
Hous
ingRe
finan
cing
09-F
ebSa
ble In
terna
tiona
l Fina
nce
500.0
500.0
Sr S
ec N
ts (1
st)7.7
5015
-Feb
-17
7.750
46
8bp
Ba2/B
B-Te
lecom
munic
ation
sRe
finan
cing
22-O
ctSa
bra
Healt
h Ca
re L
P25
0.025
0.0Sr
Nts
8.125
01-N
ov-1
88.1
25
606b
pB2
/BFin
ancia
lRe
finan
cing
08-S
epSc
ientifi
c Gam
es25
0.025
0.0Sr
Sub
Nts
8.125
15-S
ep-1
88.1
25
586b
pB1
/BB-
Gami
ng L
odgin
g an
d Le
isure
Refin
ancin
g11
-Jan
Scott
s Mira
cle-G
ro C
ompa
ny20
0.019
8.5Sr
Nts
7.250
15-Ja
n-18
7.375
38
1bp
B1/B
+Co
nsum
er P
rodu
ctsRe
finan
cing
30-S
epSe
adrill
Ltd
350.0
350.0
Sr N
ts6.5
0005
-Oct-
156.5
00
500b
pNR
/NR
Ener
gyGe
nera
l Cor
pora
te29
-Apr
Seag
ate H
DD C
ayma
n60
0.060
0.0Sr
Uns
ec N
ts6.8
7501
-May
-20
6.875
31
2bp
Ba3/B
+Te
chno
logy
Refin
ancin
g08
-Dec
Seag
ate H
DD C
ayma
n75
0.075
0.0Gu
ar N
ts7.7
5015
-Dec
-18
7.750
45
1bp
Ba1/B
B+Te
chno
logy
Gene
ral C
orpo
rate
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A17
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s30
-Sep
Sear
s Hold
ing1,0
00.0
1,000
.0Sr
Sec
Nts
6.625
15-O
ct-18
6.625
45
1bp
Ba1/B
B+Re
tail
Refin
ancin
g03
-Nov
Semi
nole
Tribe
of F
lorida
330.0
330.0
Sr N
ts7.7
5001
-Oct-
177.7
50
594b
pBa
1/BBB
-Ga
ming
Lod
ging
and
Leisu
reGe
nera
l Cor
pora
te08
-Nov
Sene
ca G
aming
325.0
325.0
Sr N
ts8.2
5001
-Dec
-18
8.250
62
2bp
B1/B
BGa
ming
Lod
ging
and
Leisu
reRe
finan
cing
06-A
prSe
nior H
ousin
g20
0.019
7.9Sr
Uns
ec N
ts6.7
5015
-Apr
-20
6.900
29
4bp
Ba1/B
BB-
Healt
hcar
eRe
finan
cing
17-N
ovSe
rvice
Cor
p Int
erna
tiona
l25
0.025
0.0Sr
Nts
7.000
15-M
ay-1
97.0
00
447b
pB1
/BB-
Servi
ces
Refin
ancin
g08
-Feb
Seve
rstal
Colum
bus
525.0
514.5
Sr S
ec N
ts (1
st)10
.250
15-F
eb-1
810
.625
736b
pB3
/BMe
tals a
nd M
ining
Refin
ancin
g27
-Jul
Shim
ao P
rope
rty50
0.050
0.0Sr
Nts
9.650
03-A
ug-1
79.6
50
718b
pB1
/BB-
Hous
ingRe
finan
cing
29-O
ctSi
mmon
s Foo
ds26
5.026
5.0Sr
Sec
Nts
(2nd
)10
.500
01-N
ov-1
710
.500
860b
pB3
/B-
Food
and
Bev
erag
esAc
quisi
tion
Finan
ce21
-Sep
Sinc
lair T
elevis
ion25
0.024
6.4Sr
Nts
8.375
15-O
ct-18
8.500
63
0bp
B2/B
-Br
oadc
astin
gRe
finan
cing
14-O
ctSi
no-F
ores
t Cor
p60
0.060
0.0Gu
ar N
ts6.2
5021
-Oct-
176.2
50
509b
pBa
2/BB
Pape
r and
Pac
kagin
gGe
nera
l Cor
pora
te12
-Mar
Siriu
s XM
Radio
800.0
800.0
Sr N
ts8.7
5001
-Apr
-15
8.750
63
4bp
Caa2
/B-
Cable
and
Sate
llite
Refin
ancin
g16
-Mar
Sitel
Inc
300.0
292.4
Sr U
nsec
Nts
11.50
001
-Apr
-18
12.00
0 85
8bp
Caa2
/B-
Servi
ces
Refin
ancin
g21
-May
Skills
oft31
0.030
8.0Sr
Nts
11.12
501
-Jun-
1811
.250
836b
pCa
a1/B
-Te
chno
logy
Acqu
isitio
n Fin
ance
17-M
arSL
M Co
rp1,5
00.0
1,474
.8Sr
Nts
8.000
25-M
ar-2
08.2
50
462b
pBa
1/BBB
-Fin
ancia
lGe
nera
l Cor
pora
te02
-Mar
Solut
ia Inc
300.0
298.5
Sr N
ts7.8
7515
-Mar
-20
7.948
43
4bp
B2/B
+Ch
emica
lsRe
finan
cing
09-M
arSo
nic A
utomo
tive
210.0
208.5
Sr S
ub N
ts9.0
0015
-Mar
-18
9.125
57
9bp
Caa1
/B-
Autom
otive
Refin
ancin
g14
-Jan
Sore
nson
Com
munic
ation
s Inc
735.0
721.0
Sr S
ec N
ts (2
nd)
10.50
001
-Feb
-15
11.00
0 85
3bp
NR/C
CC+
Servi
ces
Othe
r28
-Apr
South
ern
State
s13
0.012
6.4Sr
Nts
11.25
015
-May
-15
12.00
0 87
5bp
B3/B
+Fo
od a
nd B
ever
ages
Refin
ancin
g04
-Nov
Span
sion
200.0
200.0
Sr N
ts7.8
7515
-Nov
-17
7.875
61
6bp
NR/B
Tech
nolog
yRe
finan
cing
04-Ju
nSp
ectru
m Br
ands
750.0
739.8
Sr S
ec N
ts (1
st)9.5
0015
-Jun-
189.7
50
687b
pB2
/BCo
nsum
er P
rodu
ctsAc
quisi
tion
Finan
ce15
-Nov
Spirit
Aer
osys
tem30
0.030
0.0Gu
ar N
ts6.7
5015
-Dec
-20
6.750
38
3bp
Ba3/B
B-Ind
ustria
lsRe
finan
cing
10-A
ugSP
X Co
rp60
0.060
0.0Gu
ar N
ts6.8
7501
-Sep
-17
6.875
47
2bp
Ba2/B
B+Ind
ustria
lsRe
finan
cing
01-A
prSq
uare
Two
Finan
cial C
orp
290.0
285.0
Sr S
ec N
ts (2
nd)
11.62
501
-Apr
-17
12.00
0 86
8bp
B2/N
RFin
ancia
lRe
finan
cing
09-F
ebSt
allion
Oilfi
eld22
5.022
2.9Sr
Sec
Nts
10.50
015
-Feb
-15
10.75
0 84
9bp
B3/B
-En
ergy
Refin
ancin
g21
-Apr
Stan
dard
Pac
ific C
orp
300.0
300.0
Guar
Nts
8.375
15-M
ay-1
88.3
75
497b
pB3
/B-
Hous
ingRe
finan
cing
07-D
ecSt
anda
rd P
acific
Cor
p27
5.028
1.2Sr
Nts
8.375
15-M
ay-1
87.9
64
482b
pB3
/BHo
using
Refin
ancin
g07
-Dec
Stan
dard
Pac
ific C
orp
400.0
396.6
Sr N
ts8.3
7515
-Jan-
218.5
00
536b
pB3
/BHo
using
Refin
ancin
g15
-Apr
Stan
dard
Stee
l14
0.013
5.0Sr
Sec
Nts
(1st)
12.00
001
-May
-15
13.00
0 94
6bp
Caa1
/BMe
tals a
nd M
ining
Refin
ancin
g10
-Nov
Star
Gas
Par
tner
125.0
124.2
Sr N
ts8.8
7501
-Dec
-17
9.000
71
9bp
B2/B
-En
ergy
Refin
ancin
g12
-Nov
State
r Bro
thers
255.0
255.0
Sr N
ts7.3
7515
-Nov
-18
7.375
51
4bp
B2/B
+Re
tail
Refin
ancin
g04
-Aug
STAT
S Ch
ipPAC
600.0
600.0
Guar
Nts
7.500
12-A
ug-1
57.5
00
588b
pBa
1/BB+
Tech
nolog
yRe
finan
cing
11-M
arSt
eel D
ynam
ics35
0.035
0.0Sr
Nts
7.625
15-M
ar-2
07.6
25
390b
pBa
2/BB+
Metal
s and
Mini
ngRe
finan
cing
12-Ja
nSt
one
Ener
gy C
orp
275.0
271.5
Sr N
ts8.6
2501
-Feb
-17
8.875
56
7bp
Caa1
/BB-
Ener
gyRe
finan
cing
12-N
ovSt
one
Ener
gy C
orp
100.0
100.5
Sr N
ts8.6
2501
-Feb
-17
8.515
65
2bp
Caa1
/BEn
ergy
Gene
ral C
orpo
rate
24-S
epSt
oner
idge
Inc17
5.017
5.0Sr
Sec
Nts
(1st)
9.500
15-O
ct-17
9.500
75
2bp
B3/B
+Au
tomoti
veRe
finan
cing
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A18
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s01
-Apr
Stra
tus Te
chno
logies
Inc
215.0
207.3
Sr S
ec N
ts (1
st)12
.000
29-M
ar-1
513
.000
1046
bpB2
/B+
Tech
nolog
yRe
finan
cing
10-M
arSu
burb
an P
ropa
ne P
artne
rs25
0.024
7.8Sr
Nts
7.375
15-M
ar-2
07.5
00
376b
pBa
3/BB-
Ener
gyRe
finan
cing
01-N
ovSu
ngar
d Da
ta Sy
stem
700.0
700.0
Sr N
ts7.6
2515
-Nov
-20
7.625
50
0bp
Caa1
/BTe
chno
logy
Refin
ancin
g01
-Nov
Sung
ard
Data
Syste
m90
0.090
0.0Sr
Nts
7.375
15-N
ov-1
87.3
75
519b
pCa
a1/B
Tech
nolog
yRe
finan
cing
30-A
prSu
sser
Hold
ing &
Fina
nce
425.0
420.1
Sr N
ts8.5
0015
-May
-16
8.750
58
4bp
B2/B
+Re
tail
Refin
ancin
g27
-Apr
Sync
reon
Glob
al30
0.030
0.0Sr
Nts
9.500
01-M
ay-1
89.5
00
607b
pB3
/BSe
rvice
sRe
finan
cing
10-A
ugTa
rga
Reso
urce
s Par
tners
250.0
250.0
Guar
Nts
7.875
15-O
ct-18
7.875
55
7bp
B1/B
+En
ergy
Refin
ancin
g15
-Jan
Teek
ay C
orp
450.0
446.3
Sr N
ts8.5
0015
-Jan-
208.6
25
492b
pB1
/BB
Tran
spor
tation
Refin
ancin
g22
-Apr
Telco
rdia
Tech
nolog
ies35
0.035
0.0Sr
Sec
Nts
(2nd
)11
.000
01-M
ay-1
811
.000
760b
pCa
a2/C
CC+
Tech
nolog
yRe
finan
cing
16-S
epTe
lemov
il Fina
nce
450.0
444.1
Guar
Nts
8.000
01-O
ct-17
8.250
63
1bp
B1/B
BTe
lecom
munic
ation
sRe
finan
cing
10-A
ugTe
mbec
Indu
stries
255.0
251.7
Sr S
ec N
ts (1
st)11
.250
15-D
ec-1
811
.500
921b
pB3
/B-
Pape
r and
Pac
kagin
gRe
finan
cing
03-A
ugTe
net H
ealth
care
600.0
600.0
Sr N
ts8.0
0001
-Aug
-20
8.000
50
9bp
Caa1
/CCC
+He
althc
are
Refin
ancin
g29
-Jul
Tenn
eco
225.0
225.0
Sr N
ts7.7
5015
-Aug
-18
7.750
51
7bp
B2/B
Autom
otive
Refin
ancin
g09
-Dec
Tenn
eco
500.0
500.0
Guar
Nts
6.875
15-D
ec-2
06.8
75
366b
pB2
/B+
Autom
otive
Refin
ancin
g23
-Apr
Terre
mark
Wor
ldwide
50.0
56.0
Sr S
ec N
ts (1
st)12
.000
15-Ju
n-17
9.250
59
9bp
B1/B
-Te
chno
logy
Refin
ancin
g08
-Nov
Terre
mark
Wor
ldwide
75.0
74.3
Sr S
ec N
ts (2
nd)
9.500
15-N
ov-1
39.8
94
939b
pNR
/NR
Tech
nolog
yGe
nera
l Cor
pora
te15
-Oct
Texa
s Com
petiti
ve E
lectric
Hold
ing35
0.035
0.0Sr
Sec
Nts
(2nd
)15
.000
01-A
pr-2
115
.000
1238
bpCa
a2/C
CCUt
ility
Refin
ancin
g27
-Jul
Texa
s Ind
ustrie
s65
0.065
0.0Sr
Nts
9.250
15-A
ug-2
09.2
50
620b
pB3
/BHo
using
Refin
ancin
g04
-Feb
The
McCl
atchy
Com
pany
875.0
864.7
Sr S
ec N
ts (1
st)11
.500
15-F
eb-1
711
.750
866b
pB1
/B-
Dive
rsifie
d Me
diaRe
finan
cing
17-N
ovTh
erma
dyne
Hold
ings
260.0
260.0
Sr S
ec N
ts (1
st)9.0
0015
-Dec
-17
9.000
68
6bp
B3/B
-Ind
ustria
lsAc
quisi
tion
Finan
ce23
-Apr
Ther
mon
Indus
tries
210.0
210.0
Sr S
ec N
ts (1
st)9.5
0001
-May
-17
9.500
62
2bp
B1/B
+Ind
ustria
lsAc
quisi
tion
Finan
ce22
-Sep
Titan
Inter
natio
nal In
c20
0.020
0.0Sr
Sec
Nts
(1st)
7.875
01-O
ct-17
7.875
59
3bp
B1/B
+Ind
ustria
lsRe
finan
cing
16-Ju
nTit
leMax
Fina
nce
250.0
247.7
Sr S
ec N
ts13
.250
15-Ju
l-15
13.50
0 11
21bp
NR/B
+Fin
ancia
lRe
finan
cing
09-F
ebTo
ps M
arke
ts75
.076
.1Sr
Sec
Nts
10.12
515
-Oct-
159.7
10
734b
pB3
/BRe
tail
Refin
ancin
g13
-Aug
Towe
r Auto
motiv
e43
0.041
7.2Sr
Sec
Nts
10.62
501
-Sep
-17
11.25
0 91
8bp
B1/B
Autom
otive
Refin
ancin
g16
-Aug
Toys
R U
S35
0.035
0.0Sr
Sec
Nts
(2nd
)7.3
7501
-Sep
-16
7.375
56
7bp
B1/B
B-Re
tail
Refin
ancin
g29
-Sep
TPC
Grou
p LL
C35
0.034
7.7Sr
Sec
Nts
(1st)
8.250
01-O
ct-17
8.375
65
1bp
B1/B
+Ch
emica
lsRe
finan
cing
10-Ju
nTr
ans U
nion
645.0
645.0
Sr N
ts11
.375
15-Ju
n-18
11.37
5 84
8bp
B3/B
-Se
rvice
sAc
quisi
tion
Finan
ce01
-Dec
Tran
sdigm
1,550
.01,5
50.0
Sr S
ub N
ts7.7
5015
-Dec
-18
7.750
52
6bp
B3/B
-Ind
ustria
lsAc
quisi
tion
Finan
ce12
-Aug
Trav
elpor
t25
0.025
0.0Gu
ar N
ts9.0
0001
-Mar
-16
9.000
73
5bp
B3/C
CC+
Servi
ces
Refin
ancin
g19
-Feb
Tree
hous
e Fo
ods I
nc40
0.040
0.0Sr
Uns
ec N
ts7.7
5001
-Mar
-18
7.750
42
7bp
Ba2/B
B-Fo
od a
nd B
ever
ages
Acqu
isitio
n Fin
ance
03-A
ugTr
ilogy
Inter
natio
nal P
artne
rs37
0.036
5.9Sr
Sec
Nts
(1st)
10.25
015
-Aug
-16
10.50
0 85
0bp
Caa1
/CCC
+Te
lecom
munic
ation
sRe
finan
cing
09-D
ecTr
inida
d Dr
illing
450.0
446.6
Sr N
ts7.8
7515
-Jan-
198.0
00
520b
pB2
/BB-
Ener
gyRe
finan
cing
08-Ju
nTr
iumph
Gro
up35
0.034
7.4Sr
Nts
8.625
15-Ju
l-18
8.750
59
2bp
Ba3/B
+Ind
ustria
lsAc
quisi
tion
Finan
ce15
-Oct
Tutor
Per
ini C
orp
300.0
297.8
Guar
Nts
7.625
01-N
ov-1
87.7
50
559b
pBa
3/BB-
Indus
trials
Gene
ral C
orpo
rate
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A19
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
ocee
dsIss
uanc
eDa
teIss
uer
($ m
n)($
mn)
Secu
rity
Coup
on %
Matu
rity
Yield
%Sp
read
Ratin
gsSe
ctor
Use o
f pro
ceed
s04
-Mar
TW Te
lecom
Hold
ings
430.0
426.9
Sr N
ts8.0
0001
-Mar
-18
8.125
48
8bp
B2/B
-Te
lecom
munic
ation
sRe
finan
cing
11-Ja
nUn
ited A
ir Lin
es50
0.049
6.3Sr
Sec
Nts
(1st)
9.875
01-A
ug-1
310
.125
831b
pB3
/B+
Tran
spor
tation
Gene
ral C
orpo
rate
11-Ja
nUn
ited A
ir Lin
es20
0.019
0.6Sr
Sec
Nts
(2nd
)12
.000
01-N
ov-1
313
.625
1181
bpCa
a2/C
CCTr
ansp
ortat
ionGe
nera
l Cor
pora
te21
-Oct
Unite
d Re
ntals
North
Ame
rica
750.0
750.0
Sr S
ub N
ts8.3
7515
-Sep
-20
8.375
58
6bp
Caa1
/CCC
+Se
rvice
sRe
finan
cing
15-S
epUn
iversa
l Hea
lth S
ervic
es25
0.025
0.0Sr
Nts
7.000
01-O
ct-18
7.000
46
3bp
B1/B
+He
althc
are
Acqu
isitio
n Fin
ance
18-O
ctUn
ivisio
n Co
mmun
icatio
ns75
0.075
0.0Sr
Sec
Nts
(1st)
7.875
01-N
ov-2
07.8
75
537b
pB2
/B-
Broa
dcas
ting
Refin
ancin
g09
-Nov
Univi
sion
Comm
unica
tions
500.0
500.0
Sr N
ts7.8
7515
-Jan-
197.8
75
563b
pB3
/BBr
oadc
astin
gGe
nera
l Cor
pora
te13
-Jan
Urbi
Desa
rrollo
s Urb
anos
300.0
295.3
Sr N
ts9.5
0021
-Jan-
209.7
50
596b
pBa
3/NR
Hous
ingGe
nera
l Cor
pora
te16
-Mar
US S
teel C
orp
600.0
594.8
Sr N
ts7.3
7501
-Apr
-20
7.500
38
2bp
Ba2/B
BMe
tals a
nd M
ining
Gene
ral C
orpo
rate
04-N
ovUS
G Co
rp35
0.035
0.0Sr
Nts
8.375
15-O
ct-18
8.375
64
0bp
B2/B
BHo
using
Gene
ral C
orpo
rate
06-A
prVa
leant
Phar
mace
utica
ls40
0.040
0.0Sr
Uns
ec N
ts7.6
2515
-Mar
-20
7.625
36
7bp
Ba3/B
B-He
althc
are
Acqu
isitio
n Fin
ance
21-S
epVa
leant
Phar
mace
utica
ls50
0.049
7.5Sr
Nts
6.750
01-O
ct-17
6.800
48
1bp
B1/N
RHe
althc
are
Acqu
isitio
n Fin
ance
21-S
epVa
leant
Phar
mace
utica
ls70
0.069
5.6Sr
Nts
7.000
01-O
ct-20
7.150
44
3bp
B1/N
RHe
althc
are
Acqu
isitio
n Fin
ance
18-N
ovVa
leant
Phar
mace
utica
ls1,0
00.0
992.4
Sr N
ts6.8
7501
-Dec
-18
7.000
46
9bp
B1/B
B-He
althc
are
Refin
ancin
g07
-Apr
Valm
ont I
ndus
tries
300.0
300.0
Sr N
ts6.6
2520
-Apr
-20
6.625
27
7bp
Ba1/B
BB-
Indus
trials
Acqu
isitio
n Fin
ance
20-Ja
nVa
ngua
rd H
ealth
Hold
ing95
0.093
6.3Gu
ar N
ts8.0
0001
-Feb
-18
8.250
49
4bp
B3/C
CC+
Healt
hcar
eRe
finan
cing
29-Ju
nVa
ngua
rd H
ealth
Hold
ing22
5.021
6.6Sr
Nts
8.000
01-F
eb-1
88.6
85
629b
pB3
/CCC
+He
althc
are
Acqu
isitio
n Fin
ance
26-Ju
lVa
ntage
Drill
ing1,0
00.0
963.6
Sr S
ec N
ts (1
st)11
.500
01-A
ug-1
512
.500
978b
pB3
/B-
Ener
gyAc
quisi
tion
Finan
ce15
-Apr
Vecto
r Gro
up75
.075
.8Gu
ar N
ts11
.000
15-A
ug-1
510
.740
846b
pNR
/NR
Food
and
Bev
erag
esGe
nera
l Cor
pora
te30
-Nov
Vecto
r Gro
up90
.092
.7Sr
Sec
Nts
11.00
015
-Aug
-15
9.999
95
3bp
B1/B
+Fo
od a
nd B
ever
ages
Gene
ral C
orpo
rate
12-Ja
nVe
rso P
aper
25.0
27.4
Sr S
ec N
ts (1
st)11
.500
01-Ju
l-14
8.204
64
9bp
Ba2/B
+Pa
per a
nd P
acka
ging
Gene
ral C
orpo
rate
27-S
epVe
rtellu
s Spe
cialtie
s34
5.034
5.0Sr
Sec
Nts
9.375
01-O
ct-15
9.375
81
0bp
B1/B
Chem
icals
Refin
ancin
g29
-Oct
Vikin
g Acq
uisitio
n27
5.027
5.0Sr
Nts
9.250
01-N
ov-1
89.2
50
706b
pCa
a1/C
CC+
Cons
umer
Pro
ducts
Acqu
isitio
n Fin
ance
13-Ja
nVi
rgin
Media
Fina
nce
1,000
.098
4.9Sr
Sec
Nts
(1st)
6.500
15-Ja
n-18
6.750
32
5bp
Ba2/B
BCa
ble a
nd S
atellit
eRe
finan
cing
17-S
epVi
sant
Corp
750.0
750.0
Sr N
ts10
.000
01-O
ct-17
10.00
0 78
8bp
Caa1
/B-
Cons
umer
Pro
ducts
Refin
ancin
g28
-Apr
Visk
ase
Co40
.040
.4Sr
Sec
Nts
(1st)
9.875
15-Ja
n-18
9.683
64
8bp
B2/B
-Fo
od a
nd B
ever
ages
Gene
ral C
orpo
rate
30-Ju
lVi
terra
Inc
400.0
397.9
Sr N
ts5.9
5001
-Aug
-20
6.000
31
0bp
Ba1/B
BB-
Food
and
Bev
erag
esRe
finan
cing
12-A
ugW
arne
r Chil
cott
750.0
750.0
Guar
Nts
7.750
15-S
ep-1
87.7
50
550b
pB3
/B+
Healt
hcar
eRe
finan
cing
24-S
epW
arne
r Chil
cott
500.0
510.0
Guar
Nts
7.750
15-S
ep-1
87.3
25
514b
pB3
/B+
Healt
hcar
eAc
quisi
tion
Finan
ce30
-Sep
Wes
t Cor
p50
0.050
0.0Sr
Nts
8.625
01-O
ct-18
8.625
65
1bp
B3/B
Servi
ces
Refin
ancin
g09
-Nov
Wes
t Cor
p65
0.065
0.0Sr
Nts
7.875
15-Ja
n-19
7.875
56
3bp
B3/B
Servi
ces
Refin
ancin
g20
-Aug
Wes
tern A
llianc
e75
.073
.9Sr
Nts
10.00
001
-Sep
-15
10.25
0 89
7bp
Ba3/N
RFin
ancia
lUn
know
n09
-Apr
Wes
tern
Expr
ess
285.0
270.0
Sr S
ec N
ts (1
st)12
.500
15-A
pr-1
514
.000
1133
bpCa
a1/C
CC+
Tran
spor
tation
Refin
ancin
g21
-Sep
Whit
ing P
etrole
um35
0.035
0.0Sr
Sub
Nts
6.500
01-O
ct-18
6.500
42
5bp
Ba3/B
BEn
ergy
Refin
ancin
g18
-Nov
Wind
Acq
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rth
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eri
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h Y
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Researc
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2010 H
igh
-Yie
ld A
nn
ual
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w
Decem
ber
2010
A20
A
2010 U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
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Sour
ce: J
.P. M
orga
n.
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0.050
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Refin
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175.0
172.7
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ldwide
250.0
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ts7.3
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7.375
35
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Ba1/B
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ancin
g15
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ldwide
250.0
249.9
Sr N
ts5.7
5001
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14.00
0 11
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Hous
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Sec
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10.25
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0 73
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270-1
169
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a M
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eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
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ld A
nn
ual
Revie
w
Decem
ber
2010
A21
B2010 n
on-U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
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rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
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dsUS
$ Equ
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180.0
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0.0
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825.0
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275.0
27
5.0
374.9
Gu
ar N
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5015
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209.2
5069
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75.0
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g07
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325.0
32
5.0
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Sec
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7.125
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0.0
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8.3
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780.0
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finan
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15-Ju
lCa
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250.0
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0.0
386.6
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9.750
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8.7
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0.0
391.6
51
7.7
Guar
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8.750
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89.2
5063
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100.0
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09-Ju
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750.0
74
2.5
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veRe
finan
cing
27-S
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nce
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625.0
61
7.9
831.3
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6.500
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27-S
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625.0
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0.3
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7.125
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finan
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21-Ju
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500.0
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637.7
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87.1
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DFS
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240.0
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79.7
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9.1
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4.4
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10.75
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nera
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250.0
24
6.8
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9.750
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18-N
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FCE
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400.0
39
8.7
503.9
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7.250
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7.375
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09-N
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396.7
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C Fin
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250.0
24
6.7
357.9
Sr
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5.500
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299b
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1,000
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5.0
1,358
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57.6
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01-O
ctHa
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330.0
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8.4
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lberg
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650.0
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2.6
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56.7
5042
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using
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750.0
73
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g22
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650.0
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6.1
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B-Ho
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rate
Pete
r D
. A
ccia
vatti (1
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270-9
633
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1-2
12)
270-1
169
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a M
eyers
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12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A22
B2010 n
on-U
S d
olla
r new
issues (
thro
ugh D
ecem
ber
10,
2010)
So
rted
by i
ssu
er
Sour
ce: J
.P. M
orga
n.
Amou
ntPr
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dsUS
$ Equ
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ncy
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n)($
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397.9
49
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0031
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58.6
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470.0
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300.0
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0.0
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9.250
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59.2
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225.0
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248.3
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7.250
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77.3
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Gene
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09-F
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on H
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NV
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200.0
20
0.0
275.9
Sr
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9.500
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79.5
0068
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Hold
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VEU
R60
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Nts
9.500
12-F
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77.9
5960
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B-Te
chno
logy
Gene
ral C
orpo
rate
25-M
arIS
S Ho
lding
sEU
R12
7.5
126.5
16
7.8
Sec N
ts8.8
7515
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8.552
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nera
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150.0
14
7.4
213.8
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7.500
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7.750
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rodu
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finan
cing
22-Ja
nKe
rling
PLC
EUR
785.0
78
0.2
1,103
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10.62
528
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1710
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Chem
icals
Acqu
isitio
n Fin
ance
12-N
ovKU
KAAG
EUR
202.0
20
0.7
274.8
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Sec
Nts
(2nd
)8.7
5015
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8.875
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g26
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inanc
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cGB
P22
5.0
225.0
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and
Leisu
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300.0
39
6.6
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375.0
37
5.0
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8.000
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78.0
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22-Ja
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nche
ster U
nited
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250.0
24
5.2
395.1
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3bp
Defaults2010 US high-yield bond defaults
Source: J.P. Morgan.
Company Debt ($ mn) Default action IndustryJanuaryNeenah Foundry 225.0 Filed Chapter 11 Metals and MiningUno Restaurant Holdings 142.0 Filed Chapter 11 Food and BeveragesDefaulted Debt : 367.0Number of Companies 2
FebruarySpheris Operating 125.0 Filed Chapter 11 HealthcareDefaulted Debt : 125.0Number of Companies 1
MarchNo defaults 0.0
AprilUS Concrete 272.6 Pre-packaged Chapter 11 HousingDefaulted Debt : 272.6Number of Companies 1
MayNeff Rental 34.3 Pre-packaged Chapter 11 ServicesDefaulted Debt : 34.3Number of Companies 1
JuneNetwork Communications 175.0 Grace experied Diversified MediaDefaulted Debt : 175.0Number of Companies 1
JulyTruvo USA LLC 200.0 Filed Chapter 11 Diversified MediaDefaulted Debt : 200.0Number of Companies 1
AugustFGIC Corp 261.9 Filed Chapter 11 FinancialPenhall International 175.0 Missed Interest Payment ServicesDefaulted Debt : 436.9Number of Companies 2
SeptemberBlockbuster 930.0 Filed Chapter 11 RetailDefaulted Debt : 930.0Number of Companies 1
OctoberAngiotech Pharmaceuticals 575.0 Missed interest payment HealthcareLoehman's Capital 110.0 Missed interest payment RetailTerreStar Networks 995.6 Filed Chapter 11 Cable and SatelliteWolverine Tube 131.1 Filed Chapter 11 IndustrialsDefaulted Debt : 1,811.7Number of Companies 4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A24
C
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A25
CDefaults2010 US high-yield bond defaults (continued)
Company Debt ($ mn) Default action IndustryNovemberAmbac Financial Group 1,247.2 Filed Chapter 11 FinancialAmerican Media Operations 387.3 Pre-packaged Chapter 11 Diversified MediaIndianapolois Downs 447.6 Missed interest payment Gaming Lodging and LeisureLocal Insight Regatta Holdings 210.5 Filed Chapter 11 Diversified MediaVertis Holdings 736.1 Filed Chapter 11 Diversified MediaDefaulted Debt : 3,028.8Number of Companies 5
Total defaulted debt: 7,381.3Number of issuers: 19Default rate (Par-weighted): 0.74%Default rate (Issuer-weighted): 2.16%Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A26
C
Note: 2010 data is through November 30, 2010.Sources: J.P. Morgan; Moody’s Investors Service; Bond Investors Association.
1970 933.0 31 30.1 8.78% 8.78%1971 125.0 4 31.3 1.03% 1.03%1972 273.0 9 30.3 2.07% 2.07%1973 200.0 8 25.0 0.76% 0.76%1974 289.0 8 36.1 0.81% 0.81%1975 320.0 8 40.0 1.60% 1.60%1976 114.0 5 22.8 0.80% 0.80%1977 430.0 8 53.8 1.67% 1.67%1978 192.0 5 38.4 1.67% 1.67%1979 31.0 2 15.5 0.40% 0.40%1980 297.9 8 37.2 1.57% 1.62%1981 119.7 10 12.0 0.42% 0.71%1982 1,063.0 23 46.2 3.44% 3.57%1983 588.0 17 34.6 1.62% 3.89%1984 992.8 18 55.2 2.09% 3.39%1985 2,549.7 23 110.9 3.84% 3.99%1986 3,619.4 27 134.1 3.48% 5.81%1987 10,272.5 28 366.9 6.87% 4.32%1988 5,048.1 33 153.0 2.80% 3.53%1989 15,055.4 49 307.3 7.20% 5.76%1990 22,856.5 51 448.2 10.89% 9.74%1991 22,002.4 62 354.9 11.54% 10.42%1992 8,190.5 31 264.2 4.45% 5.16%1993 4,681.1 20 234.1 2.33% 3.84%1994 3,361.8 16 210.1 1.46% 2.63%1995 7,216.5 37 195.0 2.82% 5.73%1996 4,759.7 18 264.4 1.64% 2.36%1997 5,239.2 26 201.5 1.45% 2.70%1998 7,988.1 47 170.0 1.73% 3.95%1999 22,013.0 86 256.0 4.10% 6.99%2000 28,332.9 116 244.2 5.03% 9.69%2001 55,985.5 138 405.7 9.13% 12.05%2002 55,591.5 87 639.0 7.98% 8.67%2003 24,921.9 61 408.6 3.32% 6.42%2004 8,637.5 29 297.8 1.10% 2.91%2005 22,857.0 21 1,088.4 2.81% 2.13%2006 7,305.0 18 405.8 0.87% 1.88%2007 3,244.2 11 294.9 0.38% 1.20%2008 19,446.1 42 463.0 2.25% 4.94%2009 94,635.7 70 1,351.9 10.27% 8.59%2010 7,381.3 19 388.5 0.74% 2.16%25-yr avg. 18,825.7 46 381.9 4.27% 5.34%
High-yield defaultsBy year
Average Default Default Rate Default RateYear Amount ($ mn) Number Size ($ mn) (par-weighted) (issuer-weighted)
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A27
CDefaults2010 institutional bank loan defaults
Source: J.P. Morgan.
Company Debt ($ mn) Default action IndustryJanuaryThomas Nelson 161.5 Missed interest payment Diversified MediaGateway Casino (New World Gaming) 1,104.8 Missed interest payment Gaming Lodging and LeisureInternational Aluminum 98.8 Filed Chapter 11 HousingJacuzzi Brands 175.0 Recapitilization IndustrialsNatural Products 565.0 Prepackaged chapter 11 Consumer ProductsRegent Broadcasting 105.8 Missed interest payment BroadcastingDefaulted Debt : 2,210.9Number of Companies 6
FebruaryMega Brands 248.3 Filed Chapter 15 Consumer ProductsMovie Gallery 540.9 Filed Chapter 11 RetailPenton Media 869.0 Filed Chapter 11 Diversified MediaSpheris Operating 100.0 Filed Chapter 11 HealthcareWhite Birch Paper Company 542.2 Filed Chapter 11 Paper and PackagingDefaulted Debt : 2,300.4Number of Companies 5
MarchElectrical Components International 286.4 Prepackaged Chapter 11 UtilityEnviroSolutions Holdings 188.5 Filed Chapter 11 ServicesXerium Technologies 298.8 Prepackaged Chapter 11 Paper and PackagingDefaulted Debt : 773.7Number of Companies 3
AprilGreen Valley Ranch 763.5 Filed Chapter 11 Gaming Lodging and LeisureDefaulted Debt : 763.5Number of Companies 1
MayChem Rx 114.0 Filed Chapter 11 HealthcareNeff Rental 377.9 Prepackaged Chapter 11 ServicesDefaulted Debt : 491.9Number of Companies 2
JuneNational Envelope 110.0 Filed Chapter 11 Consumer ProductsNetwork Communications 68.2 Grace expired Diversified MediaDefaulted Debt : 178.2Number of Companies 2
JulyAmerican Safety Razor 384.3 Filed Chapter 11 Consumer ProductsMedical Staffing Network 106.3 Filed Chapter 11 ServicesOriental Trading 565.0 Filed Chapter 11 Consumer ProductsDefaulted Debt : 1,055.6Number of Companies 3
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A28
CDefaults2010 institutional bank loan defaults (continued)
Company Debt ($ mn) Default action IndustryAugustBoston Generating 1,975.1 Filed Chapter 11 UtilityFGIC Corp 46.0 Filed Chapter 11 FinancialGraceway Pharmaceuticals 330.0 Missed interest payment HealthcareDefaulted Debt : 2,351.1Number of Companies 3
SeptemberWorkflow Management 251.4 Filed Chapter 11 ServicesDefaulted Debt : 251.4Number of Companies 1
OctoberTerreStar Networks 100.0 Filed Chapter 11 Cable and SatelliteDefaulted Debt : 100.0Number of Companies 1
NovemberAmerican Media Operations 430.6 Pre-packaged Chapter 11 Diversified MediaLocal Insight Regatta Holdings 310.9 Filed Chapter 11 Diversified MediaVertis 395.0 Filed Chapter 11 Diversified MediaDefaulted Debt : 1,136.5Number of Companies 3
Total defaulted debt: 11,613.2Number of issuers: 30Default rate (Par-weighted): 2.18%Default rate (Issuer-weighted): 2.86%
Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A29
CYear Amount Number Average default Default rate Default rate
($ mn) size ($ mn) (par-weighted) (issuer-weighted)1998 550.0 4 137.5 1.51% 2.12%1999 3,220.0 9 357.8 4.17% 2.69%2000 7,080.0 33 214.5 6.57% 8.23%2001 8,120.0 26 312.3 6.30% 5.31%2002 7,850.0 23 341.3 6.01% 4.45%2003 3,040.0 12 253.3 2.25% 2.28%2004 1,520.0 6 253.3 1.01% 1.12%2005 5,850.0 11 531.8 3.02% 1.98%2006 1,220.0 5 244.0 0.48% 0.79%2007 1,223.5 3 407.8 0.24% 0.26%2008 29,741.8 60 495.7 3.88% 5.10%2009 90,090.3 93 968.7 12.78% 7.34%2010 11,613.2 30 387.1 2.18% 2.86%13-yr avg. 13,163.0 24 378.9 3.97% 3.45%Note: 2010 data is through November 30, 2010.Sources: J.P. Morgan; Moody's Investors Service; S&P LCD.
Instititional bank loan defaultsBy year
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A30
CDefaults2010 Non US high-yield bond and institutional bank loan defaults
Company Bonds Loans ($ mn) Default action Industry CountryJanuary through MayNo defaults
JuneMetrogas S.A. 210.9 Filed for bankruptcy Utility ArgentinaDefaulted Debt : 210.9Number of Companies 1
JulyInternational Industrial Bank 244.8 Missed principal payment Financial RussiaTitan Petrochemicals 209.0 Distressed exchange Transportation ChinaTristan Oil 420.0 Filed for bankruptcy Energy KazakhstanTruvo Subsidiary Corp. 483.4 Filed Chapter 11 Diversified Media BelgiumWeather Finance III S.a.r.l. 1,596.0 Suspension of payments Telecommunications GreeceDefaulted Debt : 2,953.2Number of Companies 5
August and SeptemberNo defaults
OctoberHipotecaria Su Casita, S.A. de C.V. 73.0 Missed principal/interest payment Financial MexicoDefaulted Debt : 73.0Number of Companies 1
Total defaulted debt: 3,237.0 0.0Number of issuers: 7 0
Source: Moody's Investors Service
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
D
A31
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Downgrades
08-Jan-10 Crown Castle International 9% Sr Nts 15 B1 B1 B+ B- 900.008-Jan-10 Crown Castle International 7 1/8% Sr Nts 19 B1 B1 B+ B- 500.012-Jan-10 Stone Energy 8 1/4% Sr Sub Nts 11 Caa1 Caa1 B CCC+ 200.012-Jan-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa1 Caa2 B CCC+ 200.013-Jan-10 Antero Resources 9 3/8% Sr Nts 17 Caa1 Caa1 B+ B 375.013-Jan-10 Gibson Energy 11 3/4% Sr Sec Nts 14 B1 Ba3 BB- B+ 560.013-Jan-10 Great Atlantic & Pacific Tea 11 3/8% Sr Sec Nts 15 B3 Caa1 B- CC 260.013-Jan-10 Helix Energy Solutions 9 1/2% Sr Nts 16 B3 B3 B+ B 550.015-Jan-10 LSP Energy LP 8 1/6% Sec Nts 25 B3 Caa1 CCC CCC 176.015-Jan-10 LSP Energy LP 7 1/6% Sec Nts 14 B3 Caa1 CCC CCC 63.515-Jan-10 Steelcase 6 1/2% Nts 11 Ba1 Ba1 BBB BBB- 250.019-Jan-10 Harrah's Operating 11 1/4% Sr Sec Nts 17 Caa1 Caa1 B B- 720.020-Jan-10 Coleman Cable 9 7/8% Sr Nts 12 B3 B3 B+ B 240.020-Jan-10 K. Hovnanian Enterprises 18% Sr Nts 17 B3 Caa1 CCC- CCC- 29.322-Jan-10 CRC Health 10 3/4% Sr Sub Nts 16 Caa1 Caa1 CCC+ CCC 177.322-Jan-10 Texas Industries 7 1/4% Sr Nts 13 B2 B3 B+ B 300.022-Jan-10 Texas Industries 7 1/4% Sr Nts 13 B2 B3 B+ B 250.025-Jan-10 American International Group 5 3/4% Sr Nts 11 B1 B1 BBB+ BB+ 1,150.025-Jan-10 American International Group 6 3/8% Sr Nts 13 B1 B1 BBB+ BB+ 1,000.025-Jan-10 American International Group 5 2/3% Sr Nts 14 B1 B1 BBB+ BB+ 1,000.025-Jan-10 American International Group 5 5/8% Sr Nts 13 B1 B1 BBB+ BB+ 850.025-Jan-10 American International Group 5% Sr Unsub 10 B1 B1 BBB+ BB+ 800.025-Jan-10 American International Group 6 5/8% Sr Nts 13 B1 B1 BBB+ BB+ 750.025-Jan-10 American International Group 5 2/5% Sr Nts 12 B1 B1 BBB+ BB+ 750.025-Jan-10 American International Group 5 7/8% Sr Nts 13 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 4 7/8% Sr Nts 10 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 5 1/3% Sr Nts 12 B1 B1 BBB+ BB+ 600.025-Jan-10 American International Group 4 3/4% Sr Nts 12 B1 B1 BBB+ BB+ 500.025-Jan-10 American International Group 5 1/8% Sr Nts 10 B1 B1 BBB+ BB+ 350.025-Jan-10 American International Group 5 5/9% Sr Nts 12 B1 B1 BBB+ BB+ 300.025-Jan-10 American International Group 5 1/4% Sr Nts 13 B1 B1 BBB+ BB+ 300.025-Jan-10 American International Group 5 5/8% Sr Nts 10 B1 B1 BBB+ BB+ 300.029-Jan-10 Citizens Republic Bancorp 5 3/4% Sub Nts 13 B3 B3 B+ CCC 17.0
January total: 15 issuers 15,618.0
01-Feb-10 Overseas Shipholding Group 7 1/2% Sr Nts 24 Ba2 Ba3 BB BB- 150.001-Feb-10 Overseas Shipholding Group 8 3/4% Debs 13 Ba2 Ba3 BB BB- 78.102-Feb-10 AES Ironwood 8 6/7% Sec Nts 25 B1 B2 B+ B 255.904-Feb-10 Windstream 8 5/8% Sr Nts 16 Ba3 Ba3 BB- B+ 1,746.004-Feb-10 Windstream 7 7/8% Sr Nts 17 Ba3 Ba3 BB- B+ 1,100.004-Feb-10 Windstream 8 1/8% Sr Nts 13 Ba3 Ba3 BB- B+ 800.004-Feb-10 Windstream 7% Sr Nts 19 Ba3 Ba3 BB- B+ 500.005-Feb-10 MGIC Investment Corp 5 3/8% Sr Nts 15 B3 Caa1 CCC CCC 300.005-Feb-10 MGIC Investment Corp 5 5/8% Sr Nts 11 B3 Caa1 CCC CCC 86.105-Feb-10 PMI Group 6 5/8% Sr Nts 36 B3 Caa2 CCC+ CCC+ 150.005-Feb-10 Radian Group 5 3/8% Sr Nts 15 B3 Caa1 CCC CCC 250.005-Feb-10 Radian Group 5 5/8% Sr Nts 13 B3 Caa1 CCC CCC 250.005-Feb-10 Radian Group 7 3/4% Sr Nts 11 B3 Caa1 CCC CCC 250.005-Feb-10 Spheris 11% Sr Sub Nts 12 Caa1 C CCC NR 125.009-Feb-10 Xerox 8% Trust Pfd Secs 27 Baa3 Baa3 BB+ BB 650.010-Feb-10 Forbes Energy Services 11% Sr Sec Nts (2nd Lien) 15 Caa2 Caa2 CCC+ CCC 205.0Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A32
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)12-Feb-10 Phoenix Life Insurance 7 1/7% Jr Sub Nts 34 Ba3 B1 B+ B 175.017-Feb-10 Astoria Capital Trust I 9 3/4% Trust Pfd Secs 29 Baa2 Baa3 BB- BB- 120.017-Feb-10 Blockbuster 11 3/4% Sr Sec Nts (1st Lien) 14 B1 Caa1 B NR 652.517-Feb-10 Blockbuster 9% Sr Sub Nts 12 Caa3 C CCC+ C 300.017-Feb-10 Capital One Financial 10 1/4% Trust Pfd Secs 39 Baa2 Baa3 BB BB 1,000.017-Feb-10 Capital One Financial 8 7/8% Trust Pfd Secs 40 Baa2 Baa3 BB BB 1,000.017-Feb-10 Capital One Financial 7 2/3% Jr Sub Nts 36 Baa2 Baa3 BB BB 650.017-Feb-10 Capital One Financial 8% Trust Pfd Secs 27 Baa2 Baa3 BB BB 100.017-Feb-10 FCB/NC Capital Trust 8% Trust Pfd Secs 28 Baa1 Baa2 BB BB 150.017-Feb-10 UPM-Kymmene 5 5/8% Sr Nts 14 Ba1 Ba1 BB+ BB 500.017-Feb-10 UPM-Kymmene 7 4/9% Sr Nts 27 Ba1 Ba1 BB+ BB 375.017-Feb-10 UPM-Kymmene 5 1/2% Sr Nts 18 Ba1 Ba1 BB+ BB 250.018-Feb-10 Evraz Group SA 8 7/8% Sr Nts 13 B2 B2 B+ B 1,155.918-Feb-10 Evraz Group SA 8 1/4% Guar Nts 15 B2 B2 B+ B 576.718-Feb-10 Evraz Group SA 9 1/2% Sr Nts 18 B2 B2 B+ B 511.219-Feb-10 Spectrum Brands 12% Sr Sub Toggle Nts 19 Caa1 Caa2 CCC CCC 218.122-Feb-10 US CONCRETE 8 3/8% Sr Sub Nts 14 Caa2 Caa3 CCC C 272.623-Feb-10 Ethan Allen 5 3/8% Sr Nts 15 Ba1 Ba2 B+ B+ 200.023-Feb-10 Petroplus Finance 7% Sr Sec Nts (1st Lien) 17 B1 B2 B+ B 600.023-Feb-10 Petroplus Finance 6 3/4% Sr Sec Nts (1st Lien) 14 B1 B2 B+ B 600.023-Feb-10 Petroplus Finance 9 3/8% Sr Sec Nts (1st Lien) 19 B1 B2 B+ B 400.024-Feb-10 American International Group 7% Sr Nts 17 B2 B3 BB+ B 3,000.024-Feb-10 American International Group 5 3/8% Sr Nts 12 B2 B3 BB+ B 1,000.024-Feb-10 American International Group 5 2/5% Sr Nts 15 B2 B3 BB+ B 750.024-Feb-10 American International Group 4 7/8% Sr Nts 12 B2 B3 BB+ B 700.024-Feb-10 American International Group 4% Sr Nts 11 B2 B3 BB+ B 500.024-Feb-10 American International Group 4 5/8% Sr Nts 10 B2 B3 BB+ B 500.024-Feb-10 American International Group 4 7/8% Sr Nts 10 B2 B2 BB+ B 500.024-Feb-10 American International Group 5 6/7% Sr Nts 13 B2 B3 BB+ B 500.024-Feb-10 American International Group 5 5/8% Sr Nts 11 B2 B3 BB+ B 475.024-Feb-10 American International Group FLOAT Sr Nts 11 B2 B3 BB+ B 450.024-Feb-10 American International Group FLOAT Sr Nts 11 B2 B3 BB+ B 400.024-Feb-10 American International Group 5 3/4% Sr Nts 16 B2 B3 BB+ B 375.024-Feb-10 American International Group 5 1/5% Sr Nts 11 B2 B3 BB+ B 300.024-Feb-10 American International Group 5 8/9% Sr Nts 12 B2 B3 BB+ B 300.024-Feb-10 American International Group 6 1/2% Sr Nts 17 B2 B3 BB+ B 300.024-Feb-10 American International Group FLOAT Sr Nts 10 B2 B2 BB+ B 150.024-Feb-10 Reddy Ice 0.000%/10.500% Sr Disc Nts 12 Caa1 Caa2 CCC+ C 151.025-Feb-10 Citigroup 7 5/8% Trust Pfd Secs 36 Baa3 Ba1 BB- BB- 194.125-Feb-10 Rafaella Apparel 11 1/4% Sr Sec Nts 11 Ca Ca CCC- C 71.9
February total: 24 issuers 27,320.1
01-Mar-10 American Pacific 9% Sr Nts 15 B2 B3 B+ B 110.004-Mar-10 IPCS Inc FLOAT Sr Sec Nts (1st Lien) 13 B1 B1 BB BB- 300.004-Mar-10 Sprint Nextel Corporation 6 7/8% Sr Nts 28 Ba3 Ba3 BB BB- 2,475.004-Mar-10 Sprint Nextel Corporation 7 3/8% Sr Nts 15 Ba2 Ba2 BB BB- 2,137.104-Mar-10 Sprint Nextel Corporation 8 3/8% Sr Nts 12 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 8 3/4% Sr Nts 32 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 6% Sr Nts 16 Ba3 Ba3 BB BB- 2,000.004-Mar-10 Sprint Nextel Corporation 7% Sr Guar Nts 19 Ba3 Ba3 BB BB- 1,729.404-Mar-10 Sprint Nextel Corporation 7 5/8% Sr Guar Nts 11 Ba3 Ba3 BB BB- 1,650.004-Mar-10 Sprint Nextel Corporation 6 7/8% Sr Nts 13 Ba2 Ba2 BB BB- 1,472.904-Mar-10 Sprint Nextel Corporation 8 3/8% Sr Nts 17 Ba3 Ba3 BB BB- 1,300.004-Mar-10 Sprint Nextel Corporation 6% Sr Nts 14 Ba2 Ba2 BB BB- 1,169.9
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A33
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)04-Mar-10 Sprint Nextel Corporation FLOAT Sr Nts 10 Ba3 Ba3 BB BB- 750.004-Mar-10 Sprint Nextel Corporation 9 1/4% Sr Nts 22 Ba3 Ba3 BB BB- 200.005-Mar-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B1 B2 B- B- 300.009-Mar-10 Axtel SA 9% Sr Nts 19 Ba2 B2 BB- B+ 300.009-Mar-10 Axtel SA 7 5/8% Sr Nts 17 Ba2 B2 BB- B+ 275.010-Mar-10 Western Refining 11 1/4% Sr Sec Nts 17 B3 B3 BB- CCC+ 325.011-Mar-10 Regions Financial Corp 6 3/8% Sub Nts 12 Ba1 B1 BBB- BB 600.011-Mar-10 Regions Financial Corp 7% Sub Nts 11 Ba1 B1 BBB- BB 500.011-Mar-10 Regions Financial Corp 7 3/4% Sub Nts 11 Ba1 B1 BBB- BB 500.011-Mar-10 Regions Financial Corp 7 3/8% Sub Nts 37 Ba1 B1 BBB- BB 300.011-Mar-10 Regions Financial Corp 6 3/4% Sub Debs 25 Ba1 B1 BBB- BB 150.011-Mar-10 Regions Financial Corp 7 3/4% Sub Nts 24 Ba1 B1 BBB- BB 100.012-Mar-10 Norske Skog Canada 7 3/8% Sr Nts 14 Caa1 Caa2 C C 250.015-Mar-10 Kinder Morgan Energy Partners 6 6/7% Sr Nts 18 Baa3 Ba1 BBB BBB- 550.015-Mar-10 Kinder Morgan Energy Partners 6 1/4% Sr Nts 13 Baa3 Ba1 BBB BBB- 500.016-Mar-10 Aquilex Holdings 11 1/8% Sr Nts 16 B3 Caa1 B B- 225.016-Mar-10 Scientific Games 9 1/4% Sr Sub Nts 19 Ba3 B1 BB- BB- 350.016-Mar-10 Scientific Games 6 1/4% Sr Sub Nts 12 Ba3 B1 BB- BB- 200.016-Mar-10 Scientific Games 7 7/8% Sr Sub Nts 16 Ba3 B1 BB- BB- 200.017-Mar-10 Avaya 10 7/8% Sr Toggle Nts 15 Caa2 Caa2 B- CCC+ 790.817-Mar-10 Avaya 9 3/4% Sr Nts 15 Caa2 Caa2 B- CCC+ 700.017-Mar-10 Deluxe Corp 5% Sr Nts 12 Ba2 Ba3 BB- B 280.317-Mar-10 Deluxe Corp 5 1/8% Sr Nts 14 Ba2 Ba3 BB- B 263.517-Mar-10 GMAC 8% Sub Nts 18 B3 B3 B CCC+ 482.922-Mar-10 Plains Exploration & Production 7 3/4% Sr Nts 15 B1 B1 BB BB- 600.022-Mar-10 Plains Exploration & Production 10% Sr Guar Nts 16 B1 B1 BB BB- 565.022-Mar-10 Plains Exploration & Production 7% Sr Nts 17 B1 B1 BB BB- 500.022-Mar-10 Plains Exploration & Production 7 5/8% Sr Nts 18 B1 B1 BB BB- 400.022-Mar-10 Plains Exploration & Production 8 5/8% Sr Nts 19 B1 B1 BB BB- 400.023-Mar-10 Impress Group BV FLOAT Sr Sec Nts 13 Ba3 Ba3 BB- B+ 175.023-Mar-10 Indianapolis Downs 11% Sr Sec Nts (2nd Lien) 12 Caa2 Caa3 CCC CCC 375.024-Mar-10 Insight Health Services FLOAT Sr Sec Nts 11 NR NR CCC- C 300.025-Mar-10 Takefugi 9 1/5% Sr Nts 11 Caa1 Ca CCC- CC 675.026-Mar-10 Affinion Group Inc 10 1/8% Sr Nts 13 B2 B3 B- B- 304.026-Mar-10 Affinion Group Inc 10 1/8% Sr Sub Nts 13 B2 B3 B- B- 150.026-Mar-10 Ambac Financial Group 6% Sr Nts 35 Ca C CC C 400.026-Mar-10 Ambac Financial Group 9 3/8% Sr Nts 11 Ca C CC C 142.530-Mar-10 Stewart & Stevenson LLC 10% Sr Nts 14 B3 Caa2 CCC CCC 150.031-Mar-10 American Media 14% Sr Sub Toggle Nts 13 NR NR CCC- CC 332.431-Mar-10 American Media 9% Sr Nts 13 NR NR CCC- CC 21.7
March total: 23 issuers 32,927.3
01-Apr-10 Ceridian 11 1/4% Sr Nts 15 Caa2 Caa2 CCC+ CCC 825.001-Apr-10 Ceridian 13% Sr Toggle Nts 15 Caa2 Caa2 CCC+ CCC 505.901-Apr-10 Coffeyville Resources 10 7/8% Sr Sec Nts (2nd Lien) 17 Ba3 B3 BB- BB- 225.005-Apr-10 General Maritime 12% Sr Nts 17 B3 Caa1 B CCC+ 300.006-Apr-10 Jacobs Entertainment 9 3/4% Sr Nts 14 B3 Caa1 B- B- 210.006-Apr-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 B- CCC+ 141.306-Apr-10 Newland International Property 9 1/2% Sr Sec Nts 14 B1 B2 NR NR 220.007-Apr-10 DP World 6 6/7% Sr Nts 37 Ba1 Ba1 BB+ BB 1,750.007-Apr-10 DP World Sukuk Ltd 6 1/4% Sr Nts 17 Ba1 Ba1 BB+ BB 1,500.007-Apr-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 B- CCC+ 275.907-Apr-10 Phillips Van-Heusen 8 1/8% Sr Nts 13 Ba3 Ba3 BB+ BB 150.007-Apr-10 Phillips Van-Heusen 7 1/4% Sr Nts 11 Ba3 Ba3 BB+ BB 150.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A34
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)07-Apr-10 Shingle Springs 9 3/8% Sr Nts 15 Caa1 Caa2 B- CCC 450.008-Apr-10 Ford Motor Company 7% Sr Nts 15 B1 B1 B+ B- 1,750.012-Apr-10 Dynegy 7 3/4% Sr Nts 19 B3 Caa2 B B- 1,100.012-Apr-10 Dynegy 8 3/8% Sr Nts 16 B3 Caa2 B B- 1,046.812-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 Caa2 B B- 550.012-Apr-10 Dynegy 8 1/3% Sub Nts 27 Caa1 Caa3 CCC CCC- 200.012-Apr-10 Dynegy 7 1/8% Debs 18 B3 Caa2 B B- 175.012-Apr-10 Dynegy 7 5/8% Debs 26 B3 Caa2 B B- 175.012-Apr-10 Dynegy 8 3/4% Sr Nts 12 B3 Caa2 B B- 90.012-Apr-10 Dynegy 6 7/8% Sr Nts 11 B3 Caa2 B B- 80.012-Apr-10 Edison International 7% Sr Nts 17 B2 B3 B B- 1,200.012-Apr-10 Edison International 7 1/5% Sr Nts 19 B2 B3 B B- 800.012-Apr-10 Edison International 7 5/8% Sr Nts 27 B2 B3 B B- 700.012-Apr-10 Edison International 8 3/4% Sr Sec Nts 26 Ba2 Ba2 BB- B+ 505.712-Apr-10 Edison International 7 1/2% Sr Nts 13 B2 B3 B B- 500.012-Apr-10 Edison International 7 3/4% Sr Nts 16 B2 B2 B B- 500.012-Apr-10 Edison International 8 1/7% Sr Sec Nts 19 Ba2 Ba2 BB- B+ 219.012-Apr-10 Reliant Energy 7 7/8% Sr Nts 17 B2 B3 B+ B 725.012-Apr-10 Reliant Energy 7 5/8% Sr Nts 14 B2 B3 B+ B 575.012-Apr-10 Reliant Energy 12% Sr Nts 10 Ba3 Ba3 BB BB- 400.012-Apr-10 Reliant Energy 6 3/4% Sr Sec Nts 14 B1 B1 BB BB- 279.112-Apr-10 SBA Communications 8% Sr Nts 16 Ba2 Ba3 BB- BB- 375.012-Apr-10 SBA Communications 8 1/4% Sr Nts 19 Ba2 Ba3 BB- BB- 375.012-Apr-10 Sithe/Independence Funding 9% Sr Sec Nts 13 Ba2 Ba3 B B- 286.512-Apr-10 Valmont Industries 6 5/8% Sr Nts 20 Ba1 Ba1 BBB BBB- 300.013-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 Caa3 B B- 235.014-Apr-10 NCO Group Inc 11 7/8% Sr Sub Nts 14 Caa1 Caa2 CCC+ CCC 200.014-Apr-10 NCO Group Inc FLOAT Sr Nts 13 B3 Caa1 CCC+ CCC 165.015-Apr-10 Servicemaster 12% Sr Sec Nts (2nd Lien) 15 B2 B3 NR B 165.016-Apr-10 Harrah's Operating 12 3/4% Sr Sec Nts (2nd Lien) 18 Caa Ca CCC CCC 750.021-Apr-10 American Seafood 0.000%/11.500% Sr Disc Nts 11 B3 Caa1 B B 196.021-Apr-10 Ticketmaster 10 3/4% Sr Nts 16 Ba3 B1 BB- B 287.023-Apr-10 Greentown China Holdings 9% Sr Sub Sec Nts 13 Caa2 Caa2 B B- 38.723-Apr-10 Regal Cinemas 8 5/8% Sr Sub Nts 19 B1 B2 B- B- 400.023-Apr-10 Synovus Financial 5 1/8% Sub Nts 17 B2 B3 B+ B+ 450.023-Apr-10 Synovus Financial 4 7/8% Sub Nts 13 B2 B3 B+ B+ 206.828-Apr-10 PMI Group 6% Sr Nts 16 B3 Caa2 B- CCC+ 250.028-Apr-10 Triumph Group 8% Sr Sub Nts 17 Ba3 B1 B+ B+ 175.0
April total: 29 issuers 23,128.6
03-May-10 Agile Property Holdings 8 7/8% Sr Nts 17 Baa3 Ba3 BB BB 650.005-May-10 Aspect Software 10 5/8% Sr Sec Nts (2nd Lien) 17 B3 Caa1 B+ B+ 300.005-May-10 Lazard Group LLC 6 6/7% Sr Nts 17 Ba1 Ba2 BBB- BBB- 548.405-May-10 Lazard Group LLC 7 1/8% Sr Nts 15 Ba1 Ba2 BBB- BBB- 538.506-May-10 Penson Worldwide 12 1/2% Sr Sec Nts (2nd Lien) 17 B1 B1 BB+ BB- 200.007-May-10 American Capital 6 6/7% Sr Nts 12 B2 B2 B- CC 550.010-May-10 Phillips Van-Heusen 7 3/4% Sr Sec Nts (1st Lien) 23 Baa3 Ba2 BBB BBB 100.010-May-10 Trico Marine Svcs 11 7/8% Sr Sec Nts 14 B1 B3 B- CCC- 400.010-May-10 US Investigations Systems 10 1/2% Sr Sub Nts 15 Caa2 Caa2 CCC+ CCC 290.010-May-10 US Investigations Systems 11 3/4% Sr Sub Nts 16 Caa2 Caa2 CCC+ CCC 150.011-May-10 Compagnie Generale de Geophysique 7 1/2% Sr Nts 15 Ba3 Ba3 BB BB- 530.011-May-10 Compagnie Generale de Geophysique 7 3/4% Sr Nts 17 Ba3 Ba3 BB BB- 400.011-May-10 Compagnie Generale de Geophysique 9 1/2% Sr Nts 16 Ba3 Ba3 BB BB- 350.011-May-10 Wendys/Arbys Group 10% Sr Nts 16 B2 B3 B+ B+ 565.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A35
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)12-May-10 Aspect Software 10 5/8% Sr Sec Nts (2nd Lien) 17 Caa1 Caa1 B+ B- 300.012-May-10 Wynn Las Vegas 7 7/8% 1st Mtg Nts 17 Ba2 Ba3 BB+ BB+ 500.013-May-10 Standard Pacific 10 3/4% Guar Nts 16 B3 B3 B- CCC 280.018-May-10 Neff 10% Sr Nts 15 Ca C CCC CCC 34.019-May-10 Town Sports International 0.000%/11.000% Sr Disc Nts 14 B3 Caa1 CCC+ CCC+ 138.720-May-10 Keystone Automotive Operations 9 3/4% Sr Sub Nts 13 Caa3 Caa3 CCC C 175.021-May-10 Dole Food 13 7/8% Sr Sec Nts 14 B1 B2 BB- B+ 231.221-May-10 El Pollo Loco 11 3/4% Sr Sec Nts 12 B2 B3 B CCC+ 132.524-May-10 Broadwing 8 3/4% Sr Sub Nts 18 B2 B3 B- B- 625.024-May-10 Broadwing 8 1/4% Sr Nts 17 Ba3 B2 B+ B- 500.024-May-10 Broadwing 7% Sr Nts 15 Ba3 B2 B+ B- 250.024-May-10 Broadwing 6 2/7% Sr Guar Nts 28 Ba1 Ba2 BB BB 134.524-May-10 Broadwing 7 1/4% Sr Sec Nts 23 Ba2 Ba3 BB BB 50.024-May-10 Broadwing 7 1/5% Sr Nts 23 Ba1 Ba2 BB BB 33.025-May-10 Gundle/SLT Environmental 11% Sr Nts 12 Caa1 Caa2 CCC CCC 150.026-May-10 Symbion 11 3/4% Sr Toggle Nts 15 Caa1 Caa2 CCC+ CCC 195.527-May-10 Alon Refining Krotz Springs 13 1/2% Sr Sec Nts 14 B2 B2 BB B 216.527-May-10 Clayton William Energy 7 3/4% Sr Nts 13 Caa1 Caa1 B+ B- 225.027-May-10 World Directories 8 3/8% Sr Sec Nts (2nd Lien) 14 Ca C C C 200.028-May-10 Atlas Energy Resources 10 3/4% Sr Nts 18 B3 B3 B+ B 400.028-May-10 Atlas Energy Resources 12 1/8% Sr Nts 17 B3 B3 B+ B 200.028-May-10 Boyd Gaming 6 3/4% Sr Sub Nts 14 B3 Caa1 B+ CCC+ 248.728-May-10 Boyd Gaming 7 1/8% Sr Sub Nts 16 B3 Caa1 B+ CCC+ 240.828-May-10 Boyd Gaming 7 3/4% Sr Sub Nts 12 B3 Caa1 B+ CCC+ 158.828-May-10 Forest Oil 7 1/4% Sr Nts 19 B1 B1 BB- B+ 1,000.028-May-10 Forest Oil 8 1/2% Sr Nts 14 B1 B1 BB- B+ 600.028-May-10 Forest Oil 8% Sr Nts 11 B1 B1 BB- B+ 285.028-May-10 Medimedia 11 3/8% Sr Sub Nts 14 Caa1 Caa2 CCC+ CCC+ 150.0
May total: 28 issuers 13,225.9
01-Jun-10 C&M Finance 8% Sr Nts 16 B2 B3 B B 43.001-Jun-10 C&M Finance FLOAT Sr Nts 11 B2 B3 B B 14.503-Jun-10 El Pollo Loco 11 3/4% Sr Nts 13 Caa2 Caa3 CC CC 125.004-Jun-10 Network Communications 10 3/4% Bds 13 Caa1 Ca CC NR 175.009-Jun-10 ATP Oil & Gas 11 7/8% Sr Sec Nts (2nd Lien) 15 Caa2 Caa2 B CCC+ 1,500.009-Jun-10 Hercules Offshore 10 1/2% Sr Sec Nts 17 B2 Caa1 B B- 300.009-Jun-10 Hornbeck Offshore Services 6 1/8% Sr Nts 14 Ba3 Ba3 BB- B+ 300.009-Jun-10 Hornbeck Offshore Services 8% Sr Nts 17 Ba3 Ba3 BB- B+ 250.009-Jun-10 Penhall International 12% Sr Sec Nts (2nd Lien) 14 Caa2 Ca CCC NR 175.010-Jun-10 Brookstone 12% Sr Sec Nts 12 Caa3 Caa3 CCC- C 185.011-Jun-10 Linn Energy 8 5/8% Sr Nts 20 Ba3 B3 B B 1,300.016-Jun-10 Gibson Energy 10% Sr Nts 18 Ba3 B3 B- B- 200.018-Jun-10 Geokinetics 9 3/4% Sr Sec Nts 14 B2 B3 B B- 300.018-Jun-10 Lyondell Chemical 11% Sr Sec Nts (3rd Lien) 18 Ba3 B3 B B 3,240.322-Jun-10 Ahern Rentals Inc 9 1/4% Sr Sec Nts (2nd Lien) 13 Caa3 Ca CCC+ CCC 236.722-Jun-10 Anixter International 6% Sr Nts 15 Ba2 Ba2 BB+ BB 200.022-Jun-10 Anixter International 10% Sr Nts 14 Ba2 Ba2 BB+ BB 41.623-Jun-10 First American Capital Trust I 8 1/2% Trust Pfd Secs 12 Ba1 B1 BB B+ 34.823-Jun-10 FPL Energy Caithness Funding 6 1/8% Sr Sec Nts 19 Ba2 Ba2 BB- B+ 71.523-Jun-10 FPL Energy Caithness Funding 6 7/8% Sr Sec Nts 17 Ba2 Ba2 BB- B+ 66.125-Jun-10 USG 6 2/7% Sr Nts 16 Caa1 Caa2 B+ B 500.025-Jun-10 USG 7 3/4% Sr Nts 18 Caa1 Caa2 B+ B 500.025-Jun-10 USG 9 3/4% Sr Nts 14 B1 B2 BB BB 300.028-Jun-10 Universal Health Services 7 1/8% Sr Nts 16 Baa3 Ba2 BBB- BB+ 400.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A36
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)28-Jun-10 Universal Health Services 6 3/4% Sr Nts 11 Baa3 Ba2 BBB- BB+ 200.029-Jun-10 Terex 7 3/8% Sr Sub Nts 14 Ba3 B1 BB- BB- 300.029-Jun-10 Trico Marine Svcs 11 7/8% Sr Sec Nts 14 B3 Caa2 CCC- NR 400.0
June total: 20 issuers 11,358.4
01-Jul-10 Colt Defense 8 3/4% Sr Nts 17 B2 B3 B+ B 250.002-Jul-10 American Railcar Industries 7 1/2% Sr Nts 14 Caa1 Caa1 BB- B+ 275.002-Jul-10 Questar Market Resources 6 4/5% Sr Nts 20 Baa3 Ba1 BBB+ BB+ 300.002-Jul-10 Seminole Hard Rock Entertainment FLOAT Sr Sec Nts 14 B1 B2 BB BB 525.002-Jul-10 Seminole Tribe 5 4/5% Sr Sec Nts 13 Baa3 Ba1 BBB BBB- 255.208-Jul-10 First Industrial LP 7 3/5% Sr Nts 28 Ba3 Ba3 BB BB- 190.008-Jul-10 First Industrial LP 5 3/4% Sr Nts 16 Ba3 Ba3 BB BB- 160.208-Jul-10 First Industrial LP 6% Sr Nts 17 Ba3 Ba3 BB BB- 118.408-Jul-10 First Industrial LP 6 3/7% Sr Nts 14 Ba3 Ba3 BB BB- 91.908-Jul-10 First Industrial LP 7 1/2% Sr Nts 17 Ba3 Ba3 BB BB- 91.108-Jul-10 First Industrial LP 6 7/8% Sr Nts 12 Ba3 Ba3 BB BB- 77.908-Jul-10 First Industrial LP 7 3/4% Sr Nts 32 Ba3 Ba3 BB BB- 35.009-Jul-10 iStar Financial 8 5/8% Sr Nts 13 Ca Ca CCC+ CCC- 508.709-Jul-10 iStar Financial 6% Sr Nts 13 Ca Ca CCC+ CCC- 448.509-Jul-10 iStar Financial 5 1/7% Sr Nts 12 Ca Ca CCC+ CCC- 393.509-Jul-10 iStar Financial 5 2/3% Sr Nts 11 Ca Ca CCC+ CCC- 284.809-Jul-10 iStar Financial 5 7/8% Sr Nts 16 Ca Ca CCC+ CCC- 261.409-Jul-10 iStar Financial 5 5/7% Sr Nts 14 Ca Ca CCC+ CCC- 206.609-Jul-10 iStar Financial 5 4/5% Sr Nts 11 Ca Ca CCC+ CCC- 184.409-Jul-10 iStar Financial 6% Sr Nts 10 Ca Ca CCC+ CCC- 180.609-Jul-10 iStar Financial 5 1/8% Sr Nts 11 Ca Ca CCC+ CCC- 170.209-Jul-10 iStar Financial 5 1/2% Sr Nts 12 Ca Ca CCC+ CCC- 134.009-Jul-10 iStar Financial 6% Sr Nts 15 Ca Ca CCC+ CCC- 105.809-Jul-10 iStar Financial 5 6/7% Sr Nts 17 Ca Ca CCC+ CCC- 99.709-Jul-10 iStar Financial 6 1/2% Sr Nts 13 Ca Ca CCC+ CCC- 67.109-Jul-10 Silgan 7 1/4% Sr Nts 16 Ba3 Ba3 BB+ BB- 250.009-Jul-10 Skilled Healthcare Group 11% Sr Sub Nts 14 B3 Caa1 B- CC 130.014-Jul-10 Expro International Group 8 1/2% Sr Sec Nts 16 B1 B2 B+ B 1,400.016-Jul-10 KB Home 6 1/4% Sr Nts 15 B1 B1 BB- B+ 450.016-Jul-10 KB Home 5 7/8% Sr Nts 15 B1 B1 BB- B+ 300.016-Jul-10 KB Home 7 1/4% Sr Nts 18 B1 B1 BB- B+ 300.016-Jul-10 KB Home 9% Sr Nts 17 B1 B1 BB- B+ 265.016-Jul-10 KB Home 5 3/4% Sr Nts 14 B1 B1 BB- B+ 250.016-Jul-10 KB Home 6 3/8% Sr Nts 11 B1 B1 BB- B+ 100.020-Jul-10 Midcontinent Express Pipelines 6 5/7% Sr Nts 19 Ba1 Ba1 BBB BBB- 450.020-Jul-10 Midcontinent Express Pipelines 5 4/9% Sr Nts 14 Ba1 Ba1 BBB BBB- 350.020-Jul-10 Rockies Express 5 5/8% Nts 20 Ba1 Ba1 BBB BBB- 750.020-Jul-10 Rockies Express 6 7/8% Nts 40 Ba1 Ba1 BBB BBB- 500.020-Jul-10 Rockies Express 3 8/9% Nts 15 Ba1 Ba1 BBB BBB- 450.020-Jul-10 Rockies Express 7 1/2% Sr Nts 38 Ba1 Ba1 BBB BBB- 250.026-Jul-10 Ply Gem Industries 13 1/8% Sr Sub Nts 14 Caa1 Caa3 CCC CCC 150.029-Jul-10 National Mentor 11 1/4% Sr Sub Nts 14 Caa1 Caa1 CCC+ CCC 180.029-Jul-10 NGPL Pipeco 7 1/8% Sr Nts 17 Baa3 Ba1 BBB- BBB- 1,250.029-Jul-10 NMH Holdings FLOAT Sr Toggle Nts 14 Caa2 Caa2 CCC+ CCC 221.5
July total: 17 issuers 13,411.3
05-Aug-10 Helix Energy Solutions 9 1/2% Sr Nts 16 B3 B3 B B- 550.005-Aug-10 MGM Mirage 10 3/8% Sr Sec Nts 14 B1 B1 B+ B 650.009-Aug-10 Multiplan Inc 10 3/8% Sr Sub Nts 16 Caa1 Caa1 B- CCC+ 225.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A37
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)09-Aug-10 Viant Holdings 10 1/8% Sr Sub Nts 17 Caa1 Caa1 B- CCC+ 185.010-Aug-10 Angiotech Pharmaceutical FLOAT Sr Nts 13 Caa2 Caa2 CCC C 325.010-Aug-10 Angiotech Pharmaceutical 7 3/4% Sr Sub Nts 14 C C CC C 250.011-Aug-10 OPTI Canada Inc 8 1/4% Sr Sec Nts (2nd Lien) 14 Caa3 Caa3 B B- 1,000.011-Aug-10 OPTI Canada Inc 7 7/8% Sr Sec Nts (2nd Lien) 14 Caa3 Caa3 B B- 750.013-Aug-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B1 B2 B- B- 300.013-Aug-10 Reddy Ice 13 1/4% Sr Sec Nts 15 Caa1 Caa2 CCC CCC 139.413-Aug-10 Sbarro 10 3/8% Sr Nts 15 C C CCC- CC 150.017-Aug-10 Energy Future Holdings 6 5/9% Sr Nts 34 Caa3 Ca CCC CCC 744.317-Aug-10 Energy Future Holdings 6 1/2% Sr Nts 24 Caa3 Ca CCC CCC 739.817-Aug-10 Energy Future Holdings 5 5/9% Sr Nts 14 Caa3 Ca CCC CCC 433.717-Aug-10 Mueller Water Products 7 3/8% Sr Sub Nts 17 B3 B3 B- CCC+ 420.019-Aug-10 Wyle Services 10 1/2% Sr Sub Nts 18 B3 Caa2 B+ B- 175.020-Aug-10 Affinity Group 9% Sr Sub Nts 12 Caa2 Caa2 CC C 137.823-Aug-10 Accellent Inc 8 3/8% Sr Sec Nts (1st Lien) 17 B1 B3 B+ B+ 400.023-Aug-10 McJunkin Red Man Holding 9 1/2% Sr Sec Nts 16 B3 B3 B B- 1,050.024-Aug-10 Local Insight Regatta Holdings 11% Sr Sub Nts 17 Caa3 Caa3 CCC- C 210.525-Aug-10 Bonten Media Acquisition 9% Sr Sub Toggle Nts 15 Caa2 Caa3 CCC CCC 112.426-Aug-10 BLT Finance BV 7 1/2% Sr Sec Nts 14 NR NR CCC+ CCC 400.027-Aug-10 NBTY 7 1/8% Sr Sub Nts 15 B1 B1 BB B+ 190.0
August total: 18 issuers 9,537.9
02-Sep-10 Choctaw Resort Development Enterprise 7 1/4% Sr Nts 19 B2 B3 B B 127.508-Sep-10 Jostens 7 5/8% Sr Sub Nts 12 B1 B1 BB- B+ 500.008-Sep-10 Jostens 8 3/4% Sr Nts 13 B3 B3 B B- 350.008-Sep-10 Jostens 0.000%/10.250% Sr Disc Nts 13 B3 B3 B B- 247.208-Sep-10 McClatchy 11 1/2% Sr Sec Nts (1st Lien) 17 B1 Caa1 B- B- 875.008-Sep-10 Owens-Illinois 7 3/8% Sr Nts 16 Ba3 Ba3 BB+ BB 600.008-Sep-10 Owens-Illinois 6 3/4% Sr Nts 14 Ba3 Ba3 BB+ BB 400.014-Sep-10 Hipotecaria SU Casita 8 1/2% Sr Nts 16 B2 C CCC CC 150.014-Sep-10 Pulte Home 5 1/4% Sr Nts 14 B1 B1 BB BB- 500.014-Sep-10 Pulte Home 6 1/2% Sr Nts 16 B1 B1 BB BB- 480.014-Sep-10 Pulte Home 5 1/4% Sr Nts 15 B1 B1 BB BB- 450.014-Sep-10 Pulte Home 6 3/8% Sr Nts 33 B1 B1 BB BB- 400.014-Sep-10 Pulte Home 5 5/7% Sr Nts 14 B1 B1 BB BB- 350.014-Sep-10 Pulte Home 7 7/8% Sr Nts 32 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 6 1/4% Sr Nts 13 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 6% Sr Nts 35 B1 B1 BB BB- 300.014-Sep-10 Pulte Home 5 1/5% Sr Nts 15 B1 B1 BB BB- 293.014-Sep-10 Pulte Home 5 1/8% Sr Nts 13 B1 B1 BB BB- 269.914-Sep-10 Pulte Home 7 5/8% Sr Nts 17 B1 B1 BB BB- 150.014-Sep-10 Pulte Home 7 7/8% Sr Nts 11 B1 B1 BB BB- 132.214-Sep-10 Pulte Home 5 4/9% Sr Nts 12 B1 B1 BB BB- 126.714-Sep-10 Pulte Home 7 1/2% Sr Nts 12 B1 B1 BB BB- 109.714-Sep-10 Pulte Home 7 7/8% Sr Nts 11 B1 B1 BB BB- 85.614-Sep-10 Pulte Home 4 5/9% Sr Nts 10 B1 B1 BB BB- 47.414-Sep-10 Pulte Home 8 1/8% Sr Guar Nts 11 B1 B1 BB BB- 13.914-Sep-10 Smithfield Foods 10% Sr Sec Nts (1st Lien) 14 Ba3 B1 B+ B+ 850.015-Sep-10 Blyth Inc 5 1/2% Sr Nts 13 B2 B3 B+ B+ 100.015-Sep-10 Edgen Murray 12 1/4% Sr Sec Nts (1st Lien) 15 Caa2 Caa2 B B- 465.020-Sep-10 Reynolds Group Escrow 8 1/2% Sr Nts 18 Caa1 Caa1 B B- 1,000.029-Sep-10 OPTI Canada Inc 9% Sr Sec Nts (1st Lien) 12 B2 B2 B+ B 525.0
September total: 11 issuers 10,498.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A38
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)01-Oct-10 Ultrapetrol (Bahamas) 9% 1st Mtg Nts 14 B2 B2 B B- 180.004-Oct-10 Ardagh Glass Finance BV 9 1/8% Guar Nts 20 B3 B3 BB- B- 450.006-Oct-10 ICON Health & Fitness 11 7/8% Sr Sec Nts (2nd Lien) 16 B2 B2 B B- 205.007-Oct-10 Spirit Aerosystems 7 1/2% Sr Nts 17 B2 B2 BB BB- 300.008-Oct-10 Manitowoc 9 1/2% Sr Nts 18 Caa1 Caa1 BB- B+ 400.008-Oct-10 Manitowoc 7 1/8% Sr Nts 13 Caa1 Caa1 BB- B+ 150.012-Oct-10 Energy Future Holdings 10 1/4% Sr Nts 15 Caa2 Caa3 CCC CCC 2,944.112-Oct-10 Energy Future Holdings 11 1/4% Sr Toggle Nts 16 Caa2 Caa3 CCC CCC 2,032.412-Oct-10 Energy Future Holdings 10 1/4% Sr Nts 15 Caa2 Caa3 CCC CCC 1,912.812-Oct-10 Energy Future Holdings 10% Sr Sec Nts 20 Caa3 Ca B+ B+ 946.012-Oct-10 Energy Future Holdings 12% Sr Toggle Nts 17 Caa3 Ca CCC+ CCC+ 778.012-Oct-10 Energy Future Holdings 10 7/8% Sr Nts 17 Caa3 Ca CCC+ CCC+ 387.412-Oct-10 Energy Future Holdings 7 1/2% Sec Nts (1st Lien) 17 Caa2 Caa3 BB BB 60.812-Oct-10 Energy Future Holdings 7 1/2% Sec Nts (1st Lien) 15 Caa2 Caa3 CCC CCC 42.112-Oct-10 Marsico Parent Company 10 5/8% Sr Sub Nts 16 Ca Ca CCC- CC 600.012-Oct-10 Seneca Gaming 7 1/4% Sr Nts 12 Ba2 B1 BB BB 300.012-Oct-10 Seneca Gaming 7 1/4% Sr Nts 12 Ba2 B1 BB BB 200.014-Oct-10 Lennar 5 3/5% Sr Nts 15 B3 B3 BB- B+ 500.014-Oct-10 Lennar 12 1/4% Sr Nts 17 B3 B3 BB- B+ 400.014-Oct-10 Lennar 6% Sr Nts 13 B3 B3 BB- B+ 267.714-Oct-10 Lennar 5 1/2% Sr Nts 14 B3 B3 BB- B+ 250.014-Oct-10 Lennar 6 1/2% Sr Guar Nts 16 B3 B3 BB- B+ 250.014-Oct-10 Lennar 7% Sr Nts 18 B3 B3 BB- B+ 250.014-Oct-10 Lennar 6% Sr Guar Nts 11 B3 B3 BB- B+ 114.214-Oct-10 Marsico Parent Company 12 1/2% Sr Nts 16 Ca C CCC NR 549.814-Oct-10 Nebraska Book 10% Sr Sec Nts (2nd Lien) 11 B1 B2 B B 200.014-Oct-10 Nebraska Book 8 5/8% Sr Sub Nts 12 Caa1 Caa2 CCC CCC 175.014-Oct-10 Nebraska Book 0.000%/11.000% Sr Disc Nts 13 Caa2 Caa3 CCC CCC 77.015-Oct-10 Brooklyn Navy Yard 7 3/7% Bds 20 Ba3 Ba3 BB B+ 56.815-Oct-10 LIN Television 8 3/8% Sr Nts 18 Ba3 B2 BB- BB- 200.015-Oct-10 Norske Skogindustrier 6 1/8% Sr Nts 15 B2 B2 B+ B- 181.321-Oct-10 BWAY 10% Sr Nts 18 B3 B3 B- CCC+ 205.021-Oct-10 Centercredit International 8 5/8% Guar Bds 14 Ba3 B1 NR NR 490.021-Oct-10 Halyk Savings Bank of Kazakhstan 7 1/4% Guar Nts 17 Ba2 Ba3 B+ B+ 700.021-Oct-10 Halyk Savings Bank of Kazakhstan 9 1/4% Sr Nts 13 Ba2 Ba3 B+ B+ 500.021-Oct-10 Halyk Savings Bank of Kazakhstan 7 3/4% Nts 13 Ba2 Ba3 B+ B+ 300.021-Oct-10 Kazkommerts International 7 1/2% Guar Bds 16 Ba3 B2 B B 356.221-Oct-10 Kazkommerts International 8% Guar Sr Nts 15 Ba3 B2 B B 270.221-Oct-10 Kazkommerts International 7 7/8% Sr Nts 14 Ba3 B2 B B 255.422-Oct-10 Prestige Brands 8 1/4% Sr Nts 18 B3 B3 B+ B 150.026-Oct-10 Stena 7% Sr Nts 16 Ba2 Ba3 BB+ BB+ 129.027-Oct-10 Sterling Chemicals 10 1/4% Sr Sec Nts 15 B2 B3 B- NR 123.029-Oct-10 Ace Cash Express 10 1/4% Sr Nts 14 Caa1 Caa1 B- CCC+ 175.0
October total: 22 issuers 19,014.2
02-Nov-10 Jarden Corp 7 1/2% Sr Sub Nts 17 B1 B2 B B 650.002-Nov-10 Jarden Corp 7 1/2% Sr Sub Nts 20 B1 B2 B B 275.002-Nov-10 Regions Financial Corp 7 3/4% Sr Nts 14 Baa3 Ba3 BBB- BB+ 700.002-Nov-10 Regions Financial Corp 5 3/4% Sr Nts 15 Baa3 Ba3 BBB- BB+ 500.002-Nov-10 Seminole Tribe 6 1/2% Sr Sec Bds 20 Baa3 Ba1 BBB- BBB- 280.004-Nov-10 Indianapolis Downs 15 1/2% Sr Sub Toggle Nts 13 Ca Ca CC C 72.604-Nov-10 Penson Worldwide 12 1/2% Sr Sec Nts (2nd Lien) 17 B1 B1 BB- B+ 200.004-Nov-10 Pregis Corp 12 3/8% Sr Sub Nts 13 Caa2 Caa2 CCC+ CCC 150.005-Nov-10 ITABO Finance SA 10 7/8% Guar Nts 13 NR NR B B- 106.0
Downgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A39
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)08-Nov-10 AES 8 1/2% Sr Sec Nts (1st Lien) 19 B1 B2 BB- BB- 162.908-Nov-10 AES 9 1/5% Sr Sec Nts (1st Lien) 29 B1 B2 BB- BB- 160.008-Nov-10 Tops Markets 10 1/8% Sr Sec Nts 15 B3 Caa1 B B 350.009-Nov-10 Clearwire Communications 12% Sr Sec Nts (1st Lien) 15 Caa1 Caa1 B- CCC 1,600.009-Nov-10 Clearwire Communications 12% Sr Sec Nts (1st Lien) 15 Caa1 Caa1 B- CCC 920.009-Nov-10 Frac Tech Services 7 1/8% Sr Nts 18 B2 B2 B+ B- 550.009-Nov-10 Stone Energy 8 5/8% Sr Nts 17 Caa1 Caa1 BB- B 275.009-Nov-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa2 Caa2 B- CCC+ 200.012-Nov-10 Coso Geothermal Power 7% Bds 26 Ba1 B1 NR NR 584.312-Nov-10 Grupo Posadas SAB de CV 9 1/4% Sr Nts 15 B2 B2 B+ B- 200.015-Nov-10 Aldar Properties 8 3/4% Sr Nts 14 B1 B1 BB- B 1,250.017-Nov-10 Regions Financial Corp 4 3/8% Sr Nts 10 Ba1 Ba3 BBB- BB+ 500.017-Nov-10 Regions Financial Corp 4 6/7% Sub Nts 13 Ba1 Ba3 BBB- BB+ 500.017-Nov-10 Regions Financial Corp 5 1/5% Sub Nts 15 Ba1 Ba3 BBB- BB+ 350.017-Nov-10 Regions Financial Corp 4 7/8% Sr Nts 13 Ba1 Ba3 BBB- BB+ 250.018-Nov-10 Allen Systems Group 10 1/2% Sr Sec Nts (2nd Lien) 16 B2 B3 B B 300.018-Nov-10 Lifecare Holdings 9 1/4% Sr Sub Nts 13 Caa3 Caa3 CCC- C 147.018-Nov-10 Petroleum Development Corporation 12% Sr Nts 18 B3 B3 B B- 203.022-Nov-10 Warner Music Group 9 1/2% Sr Sec Nts (1st Lien) 16 Ba2 Ba2 BB BB- 1,100.022-Nov-10 Warner Music Group 7 3/8% Sr Sub Nts 14 B1 B1 B B- 465.022-Nov-10 Warner Music Group 0.000%/9.500% Sr Disc Nts 14 B1 B1 B B- 257.923-Nov-10 Regions Financial Corp 7 1/2% Sub Nts 18 Ba3 Ba3 BBB- BB+ 750.023-Nov-10 Regions Financial Corp 6 4/9% Sub Nts 37 Ba3 Ba3 BBB- BB+ 500.024-Nov-10 Sabine Pass LNG 7 1/2% Sr Sec Nts (1st Lien) 16 B2 B3 B+ B+ 1,482.024-Nov-10 Sabine Pass LNG 7 1/4% Sr Sec Nts (1st Lien) 13 B2 B3 B+ B+ 550.024-Nov-10 Sabine Pass LNG 7 1/2% Sr Sec Nts (1st Lien) 16 B2 B3 B+ B+ 183.526-Nov-10 Mohegan Tribal Gaming Authority 8% Sr Sub Nts 12 Caa2 Caa3 CCC+ CC 250.026-Nov-10 Mohegan Tribal Gaming Authority 6 1/8% Sr Nts 13 B2 Caa1 CCC+ CC 250.026-Nov-10 Mohegan Tribal Gaming Authority 7 1/8% Sr Sub Nts 14 Caa2 Caa3 CCC+ CC 225.026-Nov-10 Mohegan Tribal Gaming Authority 11 1/2% Sr Sec Nts (2nd Lien) 17 B1 B3 B- CCC- 200.026-Nov-10 Mohegan Tribal Gaming Authority 6 7/8% Sr Sub Nts 15 Caa2 Caa3 CCC+ CC 150.026-Nov-10 NXP BV 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 Caa2 B- B- 1,000.029-Nov-10 American Reprographics 10 1/2% Sr Nts 16 B1 B1 BB- B+ 200.030-Nov-10 Hapag-Lloyd 9 3/4% Guar Nts 17 B2 B3 B B 250.030-Nov-10 Murray Energy 10 1/4% Sr Sec Nts 15 B2 B3 B+ B+ 540.0
November total: 27 issuers 19,789.2
Total downgrades: 233 issuers 195,829.0
Downgrades
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
06-Jan-10 Del Monte 7 1/2% Sr Sub Nts 19 B1 Ba3 BB- BB 450.006-Jan-10 Del Monte 6 3/4% Sr Sub Nts 15 B1 Ba3 BB- BB 250.007-Jan-10 Bio-Rad Laboratories 8% Sr Sub Nts 16 Ba3 Ba2 BB+ BBB- 300.007-Jan-10 Bio-Rad Laboratories 7 1/2% Sr Sub Nts 13 Ba3 Ba2 BB+ BBB- 225.007-Jan-10 Bio-Rad Laboratories 6 1/8% Sr Sub Nts 14 Ba3 Ba2 BB+ BBB- 200.007-Jan-10 Cellu Tissue Holdings 11 1/2% Sr Sec Nts 14 B2 B1 B+ B+ 255.008-Jan-10 Beazer Homes USA 8 3/8% Sr Nts 12 Caa2 Caa2 D CCC 312.608-Jan-10 Beazer Homes USA 6 7/8% Sr Nts 15 Caa2 Caa2 D CCC- 283.808-Jan-10 Beazer Homes USA 8 1/8% Sr Nts 16 Caa2 Caa2 D CCC 219.008-Jan-10 Beazer Homes USA 6 1/2% Sr Nts 13 Caa2 Caa2 D CCC 169.508-Jan-10 Beazer Homes USA 8 5/8% Sr Nts 11 Caa2 Caa2 D CC 127.308-Jan-10 Bill Barrett Corp 9 7/8% Sr Nts 16 B1 B1 B+ BB- 250.008-Jan-10 KAR Holdings 8 3/4% Sr Nts 14 B3 B3 CCC CCC+ 450.008-Jan-10 KAR Holdings 10% Sr Sub Nts 15 Caa1 Caa1 CCC CCC+ 425.008-Jan-10 KAR Holdings FLOAT Sr Nts 14 B3 B3 CCC CCC+ 150.008-Jan-10 Ply Gem Industries 11 3/4% Sr Sec Nts 13 Caa1 Caa1 CCC B- 700.008-Jan-10 Yellow Roadway Corp 8 1/2% Sr Nts 10 Ca Caa3 C CC 150.011-Jan-10 Cooper Tire & Rubber Co 8% Nts 19 Caa1 B3 B BB- 173.611-Jan-10 Cooper Tire & Rubber Co 7 5/8% Nts 27 Caa1 B3 B BB- 116.913-Jan-10 HeidelbergCement Finance BV 7 7/8% Sr Nts 10 B1 B1 B+ BB- 750.013-Jan-10 HeidelbergCement Finance BV 5 1/4% Sr Nts 13 B1 B1 B+ BB- 750.013-Jan-10 HeidelbergCement Finance BV 6 1/8% Sr Nts 16 B1 B1 B+ BB- 750.013-Jan-10 Jarden Corp 7 1/2% Sr Sub Nts 17 B3 B1 B- B 650.013-Jan-10 Jarden Corp 8% Sr Nts 16 B2 Ba3 B+ BB- 300.014-Jan-10 American Greetings 7 3/8% Sr Nts 16 B1 Ba3 B+ BB+ 200.014-Jan-10 ReAble Therapeutics 10 7/8% Sr Nts 14 Caa1 B3 B- B- 575.020-Jan-10 Virgin Media 9 1/2% Sr Nts 16 B2 Ba1 B BB+ 180.022-Jan-10 American Achievement 14 3/4% Sr Nts 12 Caa3 Caa3 C CCC 222.522-Jan-10 Cooper Companies 7 1/8% Guar Nts 15 Ba3 Ba3 BB- BB 350.025-Jan-10 GenCorp 9 1/2% Sr Sub Nts 13 B1 B1 CCC- CCC 97.526-Jan-10 Building Materials 7 3/4% Sr Nts 14 Ba3 Ba3 BB BBB- 250.026-Jan-10 Central Garden & Pet 9 1/8% Sr Sub Nts 13 Caa1 B3 CCC+ B- 150.026-Jan-10 Noranda Aluminum Acquisition FLOAT Sr Nts 15 Caa2 B3 CCC- CCC+ 528.726-Jan-10 Noranda Aluminum Acquisition FLOAT Sr Nts 14 Caa3 Caa2 CCC- CCC 220.027-Jan-10 Ahern Rentals Inc 9 1/4% Sr Sec Nts 13 Ca Caa3 CCC+ CCC+ 290.027-Jan-10 GMAC 8% Sr Guar Nts 31 Ca B3 CCC B 1,995.027-Jan-10 GMAC 6 7/8% Nts 11 Ca B3 CCC B 1,102.127-Jan-10 GMAC 8% Bds 31 Ca B3 CCC B 932.527-Jan-10 GMAC 7 1/4% Sr Guar Nts 11 Ca B3 CCC B 802.227-Jan-10 GMAC 6 7/8% Nts 12 Ca B3 CCC B 801.327-Jan-10 GMAC 7 1/4% Nts 11 Ca B3 CCC B 797.127-Jan-10 GMAC 7 1/2% Sr Guar Nts 13 Ca B3 CCC B 687.627-Jan-10 GMAC 6 3/4% Nts 14 Ca B3 CCC B 555.927-Jan-10 GMAC 0% Debs 15 Ca B3 CCC B 532.527-Jan-10 GMAC 0% Debs 12 Ca B3 CCC B 514.027-Jan-10 GMAC 8% Sub Nts 18 Ca B3 CC CCC+ 482.927-Jan-10 GMAC 7% Nts 12 Ca B3 CCC B 455.227-Jan-10 GMAC 5 3/4% Sr Guar Nts 10 Ca B3 CCC B 448.927-Jan-10 GMAC 6 5/8% Sr Guar Nts 12 Ca B3 CCC B 407.327-Jan-10 GMAC 6 5/8% Sr Nts 12 Ca B3 CCC B 386.327-Jan-10 GMAC 6% Debs 11 Ca B3 CCC B 225.727-Jan-10 GMAC 6% Sr Guar Nts 12 Ca B3 CCC B 129.3
Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A40
D
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A41
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)27-Jan-10 GMAC 6% Sr Nts 11 Ca B3 CCC B 128.027-Jan-10 GMAC 6% Sr Guar Nts 11 Ca B3 CCC B 122.627-Jan-10 GMAC FLOAT Nts 14 Ca B3 CCC B 122.127-Jan-10 GMAC 6 5/8% Sr Guar Nts 10 Ca B3 CCC B 48.827-Jan-10 GMAC 5 3/4% Sr Guar Nts 10 Ca B3 CCC B 34.327-Jan-10 Residential Capital Corporation 9 5/8% Sr Nts 15 C C CC CCC+ 2,120.527-Jan-10 Residential Capital Corporation 6 3/8% Nts 10 C C CC CCC+ 823.727-Jan-10 Residential Capital Corporation 6 1/2% Sr Nts 13 C C CC CCC+ 473.427-Jan-10 Residential Capital Corporation 6% Guar Nts 11 C C CC CCC+ 208.427-Jan-10 Residential Capital Corporation 6 7/8% Nts 15 C C CC CCC+ 112.427-Jan-10 Residential Capital Corporation 6.500%/7.500% Nts 12 C C CC CCC+ 79.927-Jan-10 Sirius XM Radio 13% Sr Nts 13 Ca B3 CCC B+ 778.527-Jan-10 Sirius XM Radio 11 1/4% Sr Sec Nts 13 Caa2 Ba3 B+ BB 525.827-Jan-10 Sirius XM Radio 9 2/3% Sr Nts 13 Ca Caa2 CCC+ B- 500.027-Jan-10 Sirius XM Radio 9 3/4% Sr Sec Nts 15 Caa2 Ba3 B+ BB 257.027-Jan-10 Sonic Automotive 8 5/8% Sr Sub Nts 13 Caa3 Caa1 CCC- B- 275.028-Jan-10 GMAC 6 7/8% Sr Guar Nts 11 Ca B3 CCC B 3,087.828-Jan-10 GMAC 6 7/8% Sr Guar Nts 12 Ca B3 CCC B 784.728-Jan-10 GMAC 6 3/4% Sr Guar Nts 14 Ca B3 CCC B 764.728-Jan-10 GMAC 5 3/8% Sr Guar Nts 11 Ca B3 CCC B 570.428-Jan-10 GMAC 6% Sr Guar Nts 11 Ca B3 CCC B 562.328-Jan-10 GMAC 7% Sr Guar Nts 12 Ca B3 CCC B 357.528-Jan-10 GMAC 8 7/8% Debs 10 Ca B3 CC B 15.1
January total: 26 issuers 35,480.1
01-Feb-10 Sensata Technologies 8% Sr Nts 14 Caa2 Caa1 CCC- CCC+ 340.002-Feb-10 Avis Budget Car Rental 7 5/8% Sr Nts 14 Caa1 B3 CCC B 375.002-Feb-10 Avis Budget Car Rental 7 3/4% Sr Nts 16 Caa1 B3 CCC B 375.002-Feb-10 Avis Budget Car Rental FLOAT Sr Nts 14 Caa1 B3 CCC B 250.002-Feb-10 Team Health 11 1/4% Sr Sub Nts 13 Caa1 B3 B B 215.003-Feb-10 Encore Acquisition Corp 6% Sr Sub Nts 15 B1 B1 B BB 300.003-Feb-10 Encore Acquisition Corp 9 1/2% Sr Sub Nts 16 B1 B1 B BB 225.003-Feb-10 Encore Acquisition Corp 6 1/4% Sr Sub Nts 14 B1 B1 B BB 150.003-Feb-10 Encore Acquisition Corp 7 1/4% Sr Sub Nts 17 B1 B1 B BB 150.004-Feb-10 Dole Food 8 3/4% Debs 13 Caa1 B3 B- B- 155.004-Feb-10 Dole Food 8 7/8% Sr Nts 11 Caa1 B3 B- B- 70.004-Feb-10 Hexion 9 3/4% Sr Nts 14 Caa1 Caa1 CCC CCC+ 533.004-Feb-10 Hexion 7 7/8% Debs 23 Caa2 Caa2 CCC CCC+ 188.404-Feb-10 Hexion FLOAT Sec Nts 14 Caa1 Caa1 CCC CCC+ 120.004-Feb-10 Hexion 9 1/5% Debs 21 Caa2 Caa2 CCC CCC+ 74.004-Feb-10 Hexion 8 3/8% Debs 16 Caa2 Caa2 CCC CCC+ 61.505-Feb-10 Sistema Capital SA 8 7/8% Nts 11 B2 Ba3 BB BB 92.705-Feb-10 Ventas Realty 6 3/4% Sr Nts 17 Ba1 Baa3 BBB- BBB- 225.005-Feb-10 Ventas Realty 6 1/2% Sr Nts 16 Ba1 Baa3 BBB- BBB- 200.005-Feb-10 Ventas Realty 6 1/2% Guar Nts 16 Ba1 Baa3 BBB- BBB- 200.005-Feb-10 Ventas Realty 7 1/8% Sr Nts 15 Ba1 Baa3 BBB- BBB- 167.205-Feb-10 Ventas Realty 9% Sr Nts 12 Ba1 Baa3 BBB- BBB- 82.405-Feb-10 Ventas Realty 6 5/8% Sr Nts 14 Ba1 Baa3 BBB- BBB- 76.908-Feb-10 Affiliated Computer Services 4 5/7% Nts 10 Ba2 Baa3 BB BBB- 250.008-Feb-10 Affiliated Computer Services 5 1/5% Nts 15 Ba2 Baa3 BB BBB- 250.008-Feb-10 Mueller Water Products 7 3/8% Sr Sub Nts 17 Caa1 B3 B- B- 425.009-Feb-10 Chaparral Energy 8 1/2% Sr Nts 15 Ca Caa1 CCC+ B+ 325.0
Upgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A42
D
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
09-Feb-10 Chaparral Energy 8 7/8% Sr Nts 17 Ca Caa1 CCC+ B+ 325.009-Feb-10 Citigroup 7 5/8% Trust Pfd Secs 36 Baa3 Baa3 B+ BB- 194.109-Feb-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 18 Ca Caa1 CCC- CCC 3,705.509-Feb-10 Star Gas Partners 10 1/4% Sr Nts 13 Caa3 B3 CCC+ B- 137.111-Feb-10 O Charleys 9% Sr Sub Nts 13 Caa1 B3 B- B 125.011-Feb-10 Spectrum Brands 12% Sr Sub Toggle Nts 19 Caa2 Caa1 CCC CCC+ 218.112-Feb-10 McClatchy 5 3/4% Sr Nts 17 Caa3 Caa2 C CCC 320.812-Feb-10 McClatchy 6 7/8% Debs 29 Caa3 Caa2 C CCC 252.112-Feb-10 McClatchy 7 1/8% Sr Unsub 11 Caa3 Caa2 C CCC 166.212-Feb-10 McClatchy 4 5/8% Sr Nts 14 Caa3 Caa2 C CCC 154.012-Feb-10 McClatchy 7 1/7% Debs 27 Caa3 Caa2 C CCC 82.016-Feb-10 Tenneco Automotive 8 5/8% Sr Sub Nts 14 Caa2 Caa1 CCC CCC+ 500.016-Feb-10 Tenneco Automotive 8 1/8% Sr Nts 15 B3 B2 B- B 250.016-Feb-10 Tenneco Automotive 10 1/4% Sr Sec Nts (2nd Lien) 13 B1 Ba3 B B+ 245.017-Feb-10 American Axle & Manufacturing 9 1/4% Sr Sec Nts (1st Lien) 17 B2 Ba2 B- BB- 425.017-Feb-10 American Axle & Manufacturing 7 7/8% Sr Nts 17 Caa3 B3 CCC- B- 300.017-Feb-10 American Axle & Manufacturing 5 1/4% Sr Guar Nts 14 Caa3 B3 CCC- B- 250.017-Feb-10 Owens-Illinois 7 3/8% Sr Nts 16 Ba3 Ba3 BB BB+ 600.017-Feb-10 Owens-Illinois 8 1/4% Sr Nts 13 Ba3 Ba3 BB BB+ 450.017-Feb-10 Owens-Illinois 6 3/4% Sr Nts 14 Ba3 Ba3 BB BB+ 400.017-Feb-10 Owens-Illinois 7 4/5% Sr Debs 18 B2 B1 B+ BB- 250.018-Feb-10 Williams Companies 7 1/2% Sr Nts 11 Ba2 Baa3 BBB- BBB- 150.019-Feb-10 NewMarket Corp 7 1/8% Sr Nts 16 Ba3 Ba2 BB- BB+ 150.022-Feb-10 Wyndham Worldwide 6% Sr Nts 16 Ba2 Ba1 BBB- BBB- 800.022-Feb-10 Wyndham Worldwide 9 7/8% Sr Nts 14 Ba2 Ba1 BBB- BBB- 250.023-Feb-10 Bear Creek 9% Sr Nts 13 Ca Ca C CCC- 140.225-Feb-10 Allbritton Communications 7 3/4% Sr Sub Nts 12 Caa1 B3 B- B 454.225-Feb-10 Celestica International 7 5/8% Sr Sub Nts 13 B2 B2 BB- BB 223.125-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 400.025-Feb-10 Lamar Media 7 1/4% Sr Sub Nts 13 B2 B2 B B+ 385.025-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 275.025-Feb-10 Lamar Media 6 5/8% Sr Sub Nts 15 B2 B1 B B+ 216.0
February total: 27 issuers 18,669.2
02-Mar-10 International Coal 10 1/4% Sr Nts 14 Caa3 Caa2 CCC B- 175.002-Mar-10 Solutia 8 3/4% Sr Nts 17 B2 B2 B B+ 400.004-Mar-10 AMR/Emcare Holdco 10% Sr Sub Nts 15 Ba3 Ba2 B+ B+ 250.004-Mar-10 DirecTV Holdings/Finance 7 5/8% Sr Nts 16 Ba2 Baa3 BBB- BBB- 1,500.004-Mar-10 DirecTV Holdings/Finance 6 3/8% Sr Nts 15 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 DirecTV Holdings/Finance 4 3/4% Sr Nts 14 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 DirecTV Holdings/Finance 5 7/8% Sr Nts 19 Ba2 Baa3 BBB- BBB- 1,000.004-Mar-10 Ford Motor Company 7 1/4% Sr Nts 11 B3 Ba2 B- B+ 3,500.004-Mar-10 Ford Motor Company 7 3/8% Sr Nts 11 B3 Ba2 B- B+ 3,000.004-Mar-10 Ford Motor Company 7% Sr Nts 13 B3 Ba2 B- B+ 3,000.004-Mar-10 Ford Motor Company 7 7/8% Sr Nts 10 B3 Ba3 B- B- 2,500.004-Mar-10 Ford Motor Company FLOAT Sr Nts 12 B3 Ba2 B- B+ 2,000.004-Mar-10 Ford Motor Company 7 1/2% Sr Nts 12 B3 Ba2 B- B+ 1,750.004-Mar-10 Ford Motor Company 9 3/4% Sr Nts 10 B3 Ba3 B- B- 1,520.704-Mar-10 Ford Motor Company 9 7/8% Sr Nts 11 B3 Ba2 B- B+ 1,500.004-Mar-10 Ford Motor Company 8% Sr Nts 16 B3 Ba2 B- B+ 1,500.004-Mar-10 Ford Motor Company 8 1/8% Sr Nts 20 B3 Ba2 B- B+ 1,250.004-Mar-10 Ford Motor Company 12% Sr Nts 15 B3 Ba2 B- B+ 1,100.004-Mar-10 Ford Motor Company 8% Sr Nts 14 B3 Ba2 B- B+ 1,100.0
Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A43
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)04-Mar-10 Ford Motor Company 7 4/5% Sr Nts 12 B3 Ba2 B- B+ 1,000.004-Mar-10 Ford Motor Company 8 2/3% Sr Nts 14 B3 Ba2 B- B+ 1,000.004-Mar-10 Ford Motor Company 8 5/8% Sr Nts 10 B3 Ba2 B- B+ 500.004-Mar-10 Ford Motor Company FLOAT Sr Nts 12 B3 Ba2 B- B+ 224.404-Mar-10 IPCS Inc FLOAT Sec Toggle Bds 14 Caa1 Ba3 B+ BB- 181.204-Mar-10 Teck Resources 10 3/4% Sr Sec Nts (1st Lien) 19 Ba2 Baa3 BB+ BBB 1,850.004-Mar-10 Teck Resources 9 3/4% Sr Sec Nts (1st Lien) 14 Ba2 Baa3 BB+ BBB 1,315.004-Mar-10 Teck Resources 10 1/4% Sr Sec Nts (1st Lien) 16 Ba2 Baa3 BB+ BBB 1,060.004-Mar-10 Teck Resources 6 1/8% Sr Nts 35 Ba2 Baa3 BB+ BBB 700.004-Mar-10 Teck Resources 5 3/8% Sr Nts 15 Ba2 Baa3 BB+ BBB 300.004-Mar-10 Teck Resources 7% Sr Nts 12 Ba2 Baa3 BB+ BBB 200.004-Mar-10 TRW Automotive 7 1/4% Sr Nts 17 Caa1 B2 B- BB 562.004-Mar-10 TRW Automotive 7% Sr Nts 14 Caa1 B2 B- BB 488.004-Mar-10 TRW Automotive 8 7/8% Sr Nts 17 Caa1 B3 B- B+ 250.005-Mar-10 Harvest Operations 7 7/8% Sr Nts 11 Caa1 Ba1 CCC BB- 250.005-Mar-10 IPCS Inc FLOAT Sr Sec Nts (1st Lien) 13 B1 Ba2 BB- BB- 300.009-Mar-10 Boise Paper Holdings 9% Sr Nts 17 B3 B2 BB- BB 300.009-Mar-10 MGM Mirage 6 5/8% Sr Nts 15 Caa2 Caa1 CCC+ CCC+ 872.509-Mar-10 MGM Mirage 8 1/2% Sr Guar Nts 10 Caa2 Caa1 CCC+ CCC+ 782.009-Mar-10 MGM Mirage 7 5/8% Sr Nts 17 Caa2 Caa1 CCC+ CCC+ 743.009-Mar-10 MGM Mirage 7 1/2% Sr Nts 16 Caa2 Caa1 CCC+ CCC+ 732.709-Mar-10 MGM Mirage 6 3/4% Sr Nts 12 Caa2 Caa1 CCC+ CCC+ 550.009-Mar-10 MGM Mirage 5 7/8% Sr Nts 14 Caa2 Caa1 CCC+ CCC+ 508.909-Mar-10 MGM Mirage 6 3/4% Sr Nts 13 Caa2 Caa1 CCC+ CCC+ 476.109-Mar-10 MGM Mirage 11 3/8% Sr Nts 18 Caa2 Caa1 CCC+ CCC+ 475.009-Mar-10 MGM Mirage 8 3/8% Sr Sub Nts 11 Ca Caa3 CCC- CCC- 400.009-Mar-10 MGM Mirage 6 7/8% Sr Nts 16 Caa2 Caa1 CCC+ CCC+ 237.909-Mar-10 MGM Mirage 7 5/8% Sr Sub Nts 13 Ca Caa3 CCC- CCC- 150.009-Mar-10 MGM Mirage 6 3/8% Sr Nts 11 Caa2 Caa1 CCC+ CCC+ 132.410-Mar-10 Buckeye Technologies 8 1/2% Sr Nts 13 B1 Ba3 BB- BB 165.010-Mar-10 Limited Brands 8 1/2% Sr Nts 19 Ba2 Ba1 BB BB 500.012-Mar-10 Ashland 9 1/8% Sr Nts 17 Ba3 Ba1 BB- BB 650.012-Mar-10 Interpublic Group 10% Sr Nts 17 Ba3 Ba2 B+ BB 600.012-Mar-10 Interpublic Group 6 1/4% Sr Nts 14 Ba3 Ba2 B+ BB 350.012-Mar-10 Interpublic Group FLOAT Sr Nts 10 Ba3 Ba2 B+ BB 213.712-Mar-10 Interpublic Group 7 1/4% Sr Nts 11 Ba3 Ba2 B+ BB 36.312-Mar-10 Warnaco Group 8 7/8% Sr Nts 13 Ba3 Ba2 BB+ BB+ 110.915-Mar-10 Central Garden & Pet 8 1/4% Sr Sub Nts 18 B3 B2 B B 400.015-Mar-10 Majapahit Holding BV 7 3/4% Sr Nts 20 Ba2 Ba2 BB- BB 1,250.015-Mar-10 Majapahit Holding BV 8% Sr Nts 19 Ba2 Ba2 BB- BB 750.015-Mar-10 Majapahit Holding BV 7 1/4% Sr Nts 17 Ba2 Ba2 BB- BB 500.015-Mar-10 Norske Skog Canada 7 3/8% Sr Nts 14 Caa2 Caa2 C CCC- 250.015-Mar-10 Norske Skog Canada 8 5/8% Sr Nts 11 Caa2 Caa2 C CCC- 35.516-Mar-10 Saks 9 7/8% Sr Nts 11 Caa1 B3 B- B+ 141.616-Mar-10 Saks 7 1/2% Sr Guar Nts 10 Caa1 B3 B- B+ 22.916-Mar-10 US Steel Corp 7% Sr Nts 18 Ba3 Ba2 BB BB 500.016-Mar-10 US Steel Corp 6% Sr Nts 17 Ba3 Ba2 BB BB 450.016-Mar-10 US Steel Corp 6 2/3% Sr Nts 37 Ba3 Ba2 BB BB 350.016-Mar-10 US Steel Corp 5 2/3% Sr Nts 13 Ba3 Ba2 BB BB 300.016-Mar-10 Viant Holdings 10 1/8% Sr Sub Nts 17 Caa1 Caa1 CCC+ B- 185.017-Mar-10 Dean Foods 7% Sr Nts 16 B3 B2 B B 500.017-Mar-10 Dean Foods 7% Sr Nts 17 B3 B2 B B 150.017-Mar-10 Ford Motor Company 7 4/9% Sr Nts 31 Caa1 Ba3 CCC B 1,793.5
Upgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A44
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
17-Mar-10 Ford Motor Company 6 5/8% Bds 28 Caa1 Ba3 CCC B 637.817-Mar-10 Ford Motor Company 7 2/5% Debs 46 Caa1 Ba3 CCC B 398.317-Mar-10 Ford Motor Company 9 1/3% Sr Guar Nts 30 Caa1 Ba3 CCC B 366.517-Mar-10 Ford Motor Company 6 1/2% Bds 18 Caa1 Ba3 CCC B 360.617-Mar-10 Ford Motor Company 9 1/2% Debs 10 Caa1 B2 CCC CCC 334.417-Mar-10 Ford Motor Company 6 3/8% Debs 29 Caa1 Ba3 CCC B 260.517-Mar-10 Ford Motor Company 7 1/8% Debs 25 Caa1 Ba3 CCC B 208.617-Mar-10 Ford Motor Company 7 1/2% Debs 26 Caa1 Ba3 CCC B 193.417-Mar-10 Ford Motor Company 9 2/9% Debs 21 Caa1 Ba3 CCC B 183.117-Mar-10 Ford Motor Company 10% Debs 47 Caa1 Ba3 CCC B 181.217-Mar-10 Ford Motor Company 9 1/2% Debs 11 Caa1 Ba3 CCC B 166.917-Mar-10 Ford Motor Company 9% Debs 32 Caa1 Ba3 CCC B 151.317-Mar-10 Ford Motor Company 7 5/7% Debs 97 Caa1 Ba3 CCC B 142.217-Mar-10 Ford Motor Company 9 3/8% Debs 20 Caa1 Ba3 CCC B 133.517-Mar-10 Ford Motor Company 6 5/8% Bds 28 Caa1 Ba3 CCC B 103.617-Mar-10 Ford Motor Company 8 7/8% Debs 22 Caa1 Ba3 CCC B 85.917-Mar-10 Ford Motor Company 7 3/4% Debs 43 Caa1 Ba3 CCC B 72.717-Mar-10 Neenah Paper 7 3/8% Sr Nts 14 B2 B2 B+ BB- 225.018-Mar-10 Sirius XM Radio 8 3/4% Sr Nts 15 Caa2 B3 B- B+ 800.019-Mar-10 Centene Corp 7 1/4% Sr Nts 14 Ba3 Ba2 BB- BB- 175.019-Mar-10 Chiquita Brands International 8 7/8% Sr Nts 15 Caa2 Caa1 B B 189.019-Mar-10 Chiquita Brands International 7 1/2% Sr Nts 14 Caa2 Caa1 B B 160.019-Mar-10 W&T Offshore 8 1/4% Sr Nts 14 Caa1 Caa1 B B+ 450.022-Mar-10 Amkor Technologies 9 1/4% Sr Nts 16 B2 Ba3 B+ BB- 390.022-Mar-10 Amkor Technologies 7 3/4% Sr Nts 13 B2 Ba3 B+ B+ 358.222-Mar-10 Amkor Technologies 7 1/8% Sr Nts 11 B2 Ba3 B+ B+ 53.622-Mar-10 MetroPCS 9 1/4% Sr Nts 14 B3 B2 B B 1,400.022-Mar-10 MetroPCS 9 1/4% Sr Nts 14 B3 B2 B B 550.022-Mar-10 Skilled Healthcare Group 11% Sr Sub Nts 14 Caa1 Caa1 B- CCC+ 130.023-Mar-10 Consol Energy 7 7/8% Sr Sec Nts 12 Ba1 Baa3 BBB BBB 250.023-Mar-10 E-Trade Financial 12 1/2% Sr Toggle Nts 17 NR NR CCC CCC+ 930.223-Mar-10 E-Trade Financial 7 3/8% Sr Nts 13 B3 B3 CCC CCC+ 414.723-Mar-10 E-Trade Financial 7 7/8% Sr Nts 15 B3 B3 CCC CCC+ 243.223-Mar-10 Kabelmedia Holdings 10 5/8% Sr Sec Nts (2nd Lien) 14 B2 B1 B BB- 610.024-Mar-10 Linn Energy 9 7/8% Sr Nts 18 B3 B2 B- B 255.924-Mar-10 Linn Energy 11 3/4% Sr Nts 17 B3 B2 B- B 250.024-Mar-10 NXP BV FLOAT Sr Sec Nts (1st Lien) 13 C B3 CC B- 1,259.424-Mar-10 NXP BV 9 1/2% Sr Nts 15 C Caa2 CC CCC+ 948.524-Mar-10 NXP BV 7 7/8% Sr Sec Nts (1st Lien) 14 C B3 CC B- 913.924-Mar-10 NXP BV 10% Sr Sec Nts 13 C C B- B+ 89.925-Mar-10 Alion Science and Technology 10 1/4% Sr Nts 15 Ca Caa2 CCC CCC 250.025-Mar-10 Orascom Telecom Finance 7 7/8% Sr Nts 14 Caa1 Caa1 CCC- CCC 750.026-Mar-10 Cable & Wireless Plc 7 3/4% Sr Sec Nts (1st Lien) 17 Ba2 Ba2 BB- BB 500.026-Mar-10 Georgia-Pacific 7 1/8% Sr Nts 17 Ba3 Ba2 BB+ BBB 750.026-Mar-10 Georgia-Pacific 8 1/4% Sr Nts 16 Ba3 Ba2 BB+ BBB 750.026-Mar-10 Georgia-Pacific 8 1/8% Sr Nts 11 B2 Ba3 BB BBB- 600.026-Mar-10 Georgia-Pacific 7 3/4% Sr Nts 29 B2 Ba3 BB BBB- 500.026-Mar-10 Georgia-Pacific 8% Sr Nts 24 B2 Ba3 BB BBB- 500.026-Mar-10 Georgia-Pacific 7% Sr Nts 15 Ba3 Ba2 BB+ BBB 500.026-Mar-10 Georgia-Pacific 8 7/8% Sr Nts 31 B2 Ba3 BB BBB- 400.026-Mar-10 Georgia-Pacific 7 1/4% Debs 28 B2 Ba3 BB BBB- 300.026-Mar-10 Georgia-Pacific 9 1/2% Debs 11 B2 Ba3 BB BBB- 250.026-Mar-10 Georgia-Pacific 7 3/8% Debs 25 B2 Ba3 BB BBB- 250.026-Mar-10 Georgia-Pacific 7 5/7% Debs 15 B2 Ba3 BB BBB- 250.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A45
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)26-Mar-10 Reddy Ice 0.000%/10.500% Sr Disc Nts 12 Caa1 Caa1 C CCC 151.026-Mar-10 Standard Pacific 7% Sr Nts 15 Caa1 B3 CCC B- 175.026-Mar-10 Standard Pacific 6 1/4% Sr Nts 14 Caa1 B3 CCC B- 150.026-Mar-10 Standard Pacific 7 3/4% Sr Nts 13 Caa1 B3 CCC B- 121.626-Mar-10 Standard Pacific 9 1/4% Sr Sub Nts 12 Caa3 Caa2 CCC- CCC+ 70.526-Mar-10 Standard Pacific 6 7/8% Sr Nts 11 Caa1 B3 CCC B- 48.626-Mar-10 Standard Pacific 6 1/2% Sr Nts 10 Caa1 B3 CCC B- 15.029-Mar-10 Allied Capital Corp 6 5/8% Sr Nts 11 B1 Ba1 BB BBB 319.929-Mar-10 Allied Capital Corp 6% Sr Nts 12 B1 Ba1 BB BBB 195.629-Mar-10 Deluxe Corp 7 3/8% Sr Nts 15 Ba2 Ba1 BB- BB- 200.029-Mar-10 Global Crossing Holding 12% Sr Sec Nts 15 B2 B2 B- B 750.029-Mar-10 Markwest Energy Partners 8 3/4% Sr Nts 18 B2 B1 B+ BB- 500.029-Mar-10 Markwest Energy Partners 8 1/2% Sr Nts 16 B2 B1 B+ BB- 275.029-Mar-10 Markwest Energy Partners 6 7/8% Sr Nts 14 B2 B1 B+ BB- 225.029-Mar-10 Markwest Energy Partners 6 7/8% Sr Nts 14 B2 B1 B+ BB- 150.030-Mar-10 Brown Shoe Company 8 3/4% Sr Nts 12 B3 B3 B- B+ 150.030-Mar-10 Continental Resources 8 1/4% Sr Nts 19 B2 B1 BB BB 300.030-Mar-10 Freedom Group 10 1/4% Sr Sec Nts (1st Lien) 15 B2 Ba3 B B 200.030-Mar-10 Virgin Media 9 1/2% Sr Nts 16 B2 Ba3 B B+ 1,350.030-Mar-10 Virgin Media 6 1/2% Sr Sec Nts (1st Lien) 18 Ba2 Ba1 BB BB+ 1,000.030-Mar-10 Virgin Media 8 3/8% Sr Sub Nts 19 B2 Ba3 B B+ 600.030-Mar-10 Virgin Media 9 1/8% Sr Nts 16 B2 B1 B B+ 550.030-Mar-10 Virgin Media 8 3/4% Sr Nts 14 B2 B1 B B+ 89.3
March total: 52 issuers 84,954.7
01-Apr-10 Reddy Ice 11 1/4% Sr Sec Nts (1st Lien) 15 B2 B1 B- B- 300.005-Apr-10 Affinity Group 9% Sr Sub Nts 12 Caa2 Caa2 C CC 137.805-Apr-10 Linn Energy 8 5/8% Sr Nts 20 B3 B2 B B 1,300.005-Apr-10 Nexstar Broadcasting 0.000%/11.375% Sr Disc Nts 13 Ca Caa2 CCC CCC+ 50.005-Apr-10 Verso Paper Holdings 9 1/8% Sr Sec Nts (2nd Lien) 14 B2 B2 B- B 350.005-Apr-10 Verso Paper Holdings 11 1/2% Sr Sec Nts (1st Lien) 14 Ba2 Ba2 B+ BB- 350.005-Apr-10 Verso Paper Holdings 11 3/8% Sr Sub Nts 16 Caa1 Caa1 CCC CCC+ 300.005-Apr-10 Verso Paper Holdings FLOAT Sr Sec Nts (2nd Lien) 14 B2 B2 B- B 250.006-Apr-10 Dole Food 13 7/8% Sr Sec Nts 14 B2 B1 B+ BB- 231.207-Apr-10 JC Penney 6 3/8% Sr Nts 36 Ba1 Ba1 BB BB+ 700.007-Apr-10 JC Penney 7 5/8% Debs 97 Ba1 Ba1 BB BB+ 500.007-Apr-10 JC Penney 7 2/5% Debs 37 Ba1 Ba1 BB BB+ 326.007-Apr-10 JC Penney 5 3/4% Sr Nts 18 Ba1 Ba1 BB BB+ 300.007-Apr-10 JC Penney 8% Debs 17 Ba1 Ba1 BB BB+ 285.007-Apr-10 JC Penney 7 1/8% Debs 23 Ba1 Ba1 BB BB+ 255.007-Apr-10 JC Penney 9% Sr Nts 12 Ba1 Ba1 BB BB+ 230.007-Apr-10 JC Penney 7 2/3% Debs 16 Ba1 Ba1 BB BB+ 200.007-Apr-10 JC Penney 6 7/8% Sr Nts 15 Ba1 Ba1 BB BB+ 200.007-Apr-10 Valeant Pharmaceuticals 8 3/8% Sr Nts 16 Ba3 Ba3 B+ BB- 365.012-Apr-10 Metals USA 11 1/8% Sr Sec Nts (1st Lien) 15 Caa1 B3 CCC- CCC 275.012-Apr-10 Metals USA FLOAT Sr Toggle Nts 12 Caa2 Caa2 CCC- CCC 186.313-Apr-10 Harrah's Operating 11 1/4% Sr Sec Nts (1st Lien) 17 Caa1 Caa1 B- B 2,095.013-Apr-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 18 Ca Ca CCC- CCC 809.513-Apr-10 Harrah's Operating 10 3/4% Sr Nts 16 Ca Ca CCC- CCC 470.513-Apr-10 Harrah's Operating 5 5/8% Bds 15 Ca Ca CCC- CCC 311.313-Apr-10 Harrah's Operating 6 1/2% Sr Nts 16 Ca Ca CCC- CCC 246.713-Apr-10 Harrah's Operating 5 1/2% Sr Nts 10 Ca Ca CCC- CCC 224.013-Apr-10 Harrah's Operating 5 3/4% Bds 17 Ca Ca CCC- CCC 144.013-Apr-10 Harrah's Operating 5 3/8% Sr Nts 13 Ca Ca CCC- CCC 92.7
Upgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A46
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
13-Apr-10 Harrah's Operating 8 1/8% Sr Sub Nts 11 Ca Ca CCC- CCC 12.014-Apr-10 Charter Communications Holdings 8% Sr Sec Nts (2nd Lien) 12 B1 B1 BB- BB+ 1,100.014-Apr-10 Charter Communications Holdings 8 3/8% Sr Sec Nts (2nd Lien) 14 B1 B1 BB- BB 770.014-Apr-10 Charter Communications Holdings 10 7/8% Sr Sec Nts (2nd Lien) 14 B1 B1 BB- BB+ 545.914-Apr-10 Cott Beverages 8 3/8% Sr Nts 17 Caa1 B3 B B 215.014-Apr-10 Harrah's Operating 10% Sr Sec Nts (2nd Lien) 15 Ca Ca CCC- CCC 188.215-Apr-10 Brigham Exploration 9 5/8% Sr Nts 14 Caa3 Caa3 CCC+ B+ 160.016-Apr-10 Apria Healthcare Group 12 3/8% Sr Sec Nts 14 B1 B1 B+ BB- 317.516-Apr-10 SS&C Technologies 11 3/4% Sr Sub Nts 13 Caa1 B3 B- B+ 205.016-Apr-10 Valassis Communications 8 1/4% Sr Nts 15 B3 Ba3 B- BB- 540.020-Apr-10 KRATON Polymers 8 1/8% Sr Sub Nts 14 Caa1 B3 CCC B- 170.020-Apr-10 Limited Brands 7% Sr Nts 17 Ba3 Ba3 BB- BB 700.020-Apr-10 Limited Brands 5 1/4% Sr Nts 14 Ba3 Ba3 BB- BB 500.020-Apr-10 Limited Brands 7% Sr Nts 33 Ba3 Ba3 BB- BB 350.020-Apr-10 Limited Brands 7 3/5% Sr Nts 37 Ba3 Ba3 BB- BB 300.020-Apr-10 Limited Brands 6 1/8% Sr Nts 12 Ba3 Ba3 BB- BB 191.520-Apr-10 Park-Ohio Industries 8 3/8% Sr Sub Nts 14 Caa2 Caa1 CCC+ CCC+ 192.921-Apr-10 Dynegy 7 1/2% Sr Nts 15 B3 B2 B- B- 235.021-Apr-10 Rexnord 9 1/2% Sr Nts 14 Caa2 Caa1 B- B- 795.021-Apr-10 Rexnord 11 3/4% Sr Sub Nts 16 Caa3 Caa2 CCC+ CCC+ 300.021-Apr-10 Rexnord 9 1/2% Sr Nts 14 Caa2 Caa1 B- B- 196.321-Apr-10 Rexnord 8 7/8% Sr Nts 16 Caa2 Caa1 B- B- 79.021-Apr-10 Standard Pacific 10 3/4% Sr Sec Nts 16 Caa1 B3 CCC CCC 280.022-Apr-10 Bon-Ton 10 1/4% Sr Nts 14 Caa2 Caa1 CCC CCC+ 510.022-Apr-10 Dillards 7 1/8% Sr Nts 18 B3 B3 B- B+ 162.122-Apr-10 Dillards 7% Sr Nts 28 B3 B3 B- B+ 145.822-Apr-10 Dillards 7 3/4% Debs 26 B3 B3 B- B+ 96.022-Apr-10 Dillards 6 5/8% Sr Nts 18 B3 B3 B- B+ 92.922-Apr-10 Dillards 7 3/4% Sr Nts 27 B3 B3 B- B+ 80.022-Apr-10 Dillards 7 6/7% Sr Nts 12 B3 B3 B- B+ 55.422-Apr-10 Dillards 9 1/8% Debs 11 B3 B3 B- B+ 50.822-Apr-10 Dillards 7 7/8% Debs 23 B3 B3 B- B+ 44.822-Apr-10 PolyOne 8 7/8% Sr Nts 12 B1 Ba3 B- B+ 280.022-Apr-10 Residential Capital Corporation 8 1/2% Sr Sec Nts (2nd Lien) 10 C C CCC CCC+ 743.326-Apr-10 Terremark Worldwide 12% Sr Sec Nts (1st Lien) 17 B2 B1 B- B- 470.027-Apr-10 Agile Property Holdings 8 7/8% Sr Nts 17 Ba3 Baa3 BB BB 650.027-Apr-10 Agilent Technologies 6 1/2% Sr Nts 17 Ba1 Baa3 BBB- BBB- 600.027-Apr-10 MGIC Investment Corp 5 3/8% Sr Nts 15 Caa1 B3 CCC CCC+ 300.027-Apr-10 MGIC Investment Corp 5 5/8% Sr Nts 11 Caa1 B3 CCC CCC+ 86.129-Apr-10 Hollywood Park 8 5/8% Sr Nts 17 B2 B1 BB BB 450.029-Apr-10 Millar Western Forest 7 3/4% Sr Nts 13 Caa1 Caa1 CCC+ B- 190.029-Apr-10 Seagate Technology 6 4/5% Sr Nts 16 Ba3 Ba1 B+ B+ 600.029-Apr-10 Seagate Technology 6 3/8% Sr Nts 11 Ba3 Ba1 B+ B+ 559.629-Apr-10 Seagate Technology 10% Sr Sec Nts (2nd Lien) 14 Ba1 Baa3 BB+ BB+ 430.0
April total: 34 issuers 26,424.9
03-May-10 Owens-Illinois 7 1/2% Sr Debs 10 B2 B1 B+ B+ 28.104-May-10 Popular North America 6 6/7% Sr Nts 12 Ba1 Ba1 B- B 275.004-May-10 Temple-Inland Inc 6.625%/6.875% Sr Nts 18 Ba1 Ba1 BBB- BBB 230.104-May-10 Temple-Inland Inc 7 7/8% Sr Nts 12 Ba1 Ba1 BBB- BBB 195.404-May-10 Temple-Inland Inc 6 3/8% Sr Nts 16 Ba1 Ba1 BBB- BBB 113.8
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A47
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)05-May-10 CW Media Holdings 13 1/2% Sr Nts 15 Ca Ba2 CCC B+ 338.306-May-10 Calpine 8% Sr Sec Nts (1st Lien) 16 B1 Ba3 BB- BB- 1,000.006-May-10 Omnicare 6 7/8% Sr Sub Nts 15 B1 Ba2 B+ BB 525.006-May-10 Omnicare 6 1/8% Sr Sub Nts 13 B1 Ba2 B+ BB 250.007-May-10 Mercer International 9 1/4% Sr Nts 13 Caa2 Caa1 CCC+ B 310.010-May-10 Broadview Networks 11 3/8% Sr Sec Nts 12 B3 B3 CCC+ B- 300.010-May-10 Corporacion Interamericana de Ent., SA 8 7/8% Sr Nts 15 Caa1 Caa1 CC CCC 13.710-May-10 Firekeepers Development Authority 13 7/8% Sr Sec Nts (1st Lien) 15 B3 B2 B B+ 340.010-May-10 Ineos Group Holdings PLC 9% Sr Sec Nts (1st Lien) 15 B2 B1 B- B 570.010-May-10 Invacare Corp 9 3/4% Sr Nts 15 B2 B1 B+ BB 175.011-May-10 Macys Retail Holdings 5 1/3% Sr Nts 12 Ba2 Ba1 BB BB+ 1,100.011-May-10 Macys Retail Holdings 5 8/9% Sr Guar Nts 16 Ba2 Ba1 BB BB+ 1,100.011-May-10 Macys Retail Holdings 7 7/8% Sr Guar Nts 15 Ba2 Ba1 BB BB+ 650.011-May-10 Macys Retail Holdings 6 5/8% Sr Nts 11 Ba2 Ba1 BB BB+ 500.011-May-10 Macys Retail Holdings 6 3/8% Sr Nts 37 Ba2 Ba1 BB BB+ 500.011-May-10 Macys Retail Holdings 5 3/4% Sr Guar Nts 14 Ba2 Ba1 BB BB+ 496.511-May-10 Macys Retail Holdings 6 5/7% Sr Nts 34 Ba2 Ba1 BB BB+ 400.011-May-10 Macys Retail Holdings 5 7/8% Sr Nts 13 Ba2 Ba1 BB BB+ 350.011-May-10 Macys Retail Holdings 7% Sr Nts 28 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 17 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 6 2/3% Sr Nts 24 Ba2 Ba1 BB BB+ 300.011-May-10 Macys Retail Holdings 7% Sr Nts 32 Ba2 Ba1 BB BB+ 250.011-May-10 Macys Retail Holdings 6 5/7% Sr Nts 28 Ba2 Ba1 BB BB+ 200.011-May-10 Macys Retail Holdings 8% Sr Nts 12 Ba2 Ba1 BB BB+ 200.011-May-10 Macys Retail Holdings 6 4/5% Sr Nts 27 Ba2 Ba1 BB BB+ 165.011-May-10 Macys Retail Holdings 10 5/8% Sr Nts 10 Ba2 Ba1 BB BB+ 150.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 11 Ba2 Ba1 BB BB+ 150.011-May-10 Macys Retail Holdings 7 4/9% Sr Nts 16 Ba2 Ba1 BB BB+ 125.011-May-10 Macys Retail Holdings 7 5/8% Sr Nts 13 Ba2 Ba1 BB BB+ 125.011-May-10 Macys Retail Holdings 7 7/8% Sr Nts 36 Ba2 Ba1 BB BB+ 108.411-May-10 Macys Retail Holdings 7 1/2% Sr Nts 15 Ba2 Ba1 BB BB+ 100.011-May-10 Macys Retail Holdings 8 1/8% Sr Nts 35 Ba2 Ba1 BB BB+ 76.011-May-10 Macys Retail Holdings 8 1/2% Sr Nts 10 Ba2 Ba2 BB BB+ 76.011-May-10 Macys Retail Holdings 8 3/4% Sr Nts 29 Ba2 Ba1 BB BB+ 61.212-May-10 Targa Resources 11 1/4% Sr Nts 17 B2 B1 B B+ 231.312-May-10 Targa Resources 8 1/4% Sr Nts 16 B2 B1 B B+ 209.112-May-10 UnumProvident 7 1/8% Sr Nts 16 Ba1 Baa3 BBB- BBB- 350.012-May-10 UnumProvident 6 6/7% Sr Guar Nts 15 Ba1 Baa3 BBB- BBB- 296.512-May-10 UnumProvident 7 2/5% Trust Pfd Secs 38 Ba2 Ba1 BB BB 226.512-May-10 UnumProvident 7 5/8% Sr Nts 11 Ba1 Baa3 BBB- BBB- 225.112-May-10 UnumProvident 7% Sr Nts 18 Ba1 Baa3 BBB- BBB- 200.012-May-10 UnumProvident 7 1/4% Sr Nts 28 Ba1 Baa3 BBB- BBB- 200.012-May-10 UnumProvident 6 3/4% Sr Nts 28 Ba1 Baa3 BBB- BBB- 165.812-May-10 UnumProvident 7 1/5% Sr Nts 28 Ba1 Baa3 BBB- BBB- 50.012-May-10 UnumProvident 7 3/8% Debs 32 Ba1 Baa3 BBB- BBB- 39.513-May-10 Domtar 7 1/8% Sr Nts 15 Ba3 Ba2 BB- BBB- 400.013-May-10 Domtar 10 3/4% Sr Nts 17 Ba3 Ba2 BB- BBB- 400.013-May-10 Domtar 5 3/8% Sr Nts 13 Ba3 Ba2 BB- BBB- 350.013-May-10 Domtar 7 7/8% Sr Nts 11 Ba3 Ba2 BB- BBB- 139.813-May-10 Domtar 9 1/2% Debs 16 Ba3 Ba2 BB- BBB- 125.0
Upgrades
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A48
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
13-May-10 Gibraltar Industries Inc 8% Sr Sub Nts 15 B3 B3 B B+ 204.017-May-10 Macys Retail Holdings 7% Sr Nts 29 Ba2 Ba1 BB+ BB+ 400.018-May-10 American Tire Distributors 10 3/4% Sr Nts 13 Caa1 B3 CCC+ CCC+ 150.018-May-10 American Tire Distributors FLOAT Sr Nts 12 Caa1 B3 CCC+ CCC+ 140.018-May-10 Chartered Semiconductor 6 1/4% Sr Nts 13 B1 Ba3 BB- BB- 300.018-May-10 Chartered Semiconductor 5 3/4% Sr Nts 10 B1 Ba3 BB- BB 216.418-May-10 Chartered Semiconductor 6 3/8% Sr Nts 15 B1 Ba3 BB- BB 97.118-May-10 Ford Motor Company 7% Sr Nts 15 B1 Ba2 B- B+ 1,750.018-May-10 Ineos Group Holdings PLC 8 1/2% Sec Nts (2nd Lien) 16 Caa3 Caa2 CCC- CCC 700.018-May-10 L-3 Communications 6 3/8% Sr Sub Nts 15 Ba2 Ba1 BB+ BB+ 1,000.018-May-10 L-3 Communications 5 7/8% Sr Sub Nts 15 Ba2 Ba1 BB+ BB+ 650.018-May-10 L-3 Communications 6 1/8% Sr Sub Nts 13 Ba2 Ba1 BB+ BB+ 400.018-May-10 L-3 Communications 6 1/8% Sr Sub Nts 14 Ba2 Ba1 BB+ BB+ 400.019-May-10 Health Net 6 3/8% Sr Nts 17 Ba3 Ba3 BB- BB 400.019-May-10 Innophos 8 7/8% Sr Sub Nts 14 Ba3 Ba3 B+ BB- 190.020-May-10 Acco Brands Corp 10 5/8% Sr Sec Nts (1st Lien) 15 B2 B1 BB- BB- 460.020-May-10 Acco Brands Corp 7 5/8% Sr Sub Nts 15 Caa2 Caa1 B- B- 271.320-May-10 Beverages & More Inc 9 1/4% Sr Sec Nts 12 Caa2 Caa1 CCC+ B- 100.020-May-10 Greentown China Holdings 9% Sr Sub Sec Nts 13 Caa2 Caa1 B- B- 38.720-May-10 Hopson Development Hldgs 8 1/8% Sr Sec Nts 12 B3 B2 B+ B+ 350.020-May-10 Ply Gem Industries 13 1/8% Sr Sub Nts 14 Caa3 Caa1 CCC- CCC 150.021-May-10 Barrington Broadcasting 10 1/2% Sr Sub Nts 14 Caa3 Caa2 CCC- CCC- 57.224-May-10 Associated Materials 0.000%/11.250% Sr Disc Nts 14 Caa2 Caa2 CCC- CCC+ 446.024-May-10 Associated Materials 9 7/8% Sr Sec Nts (2nd Lien) 16 B2 B1 CCC B+ 200.025-May-10 Radian Group 5 3/8% Sr Nts 15 Caa1 B3 CCC CCC+ 250.025-May-10 Radian Group 5 5/8% Sr Nts 13 Caa1 B3 CCC CCC+ 250.025-May-10 Radian Group 7 3/4% Sr Nts 11 Caa1 B3 CCC CCC+ 159.426-May-10 Education Management 8 3/4% Sr Nts 14 B2 B2 B- B 375.026-May-10 Education Management 10 1/4% Sr Sub Nts 16 B3 B3 B- B 47.726-May-10 HSN 11 1/4% Sr Nts 16 Ba3 Ba2 BB- BB- 240.026-May-10 Omnicare 6 3/4% Sr Sub Nts 13 Ba2 Ba2 B+ BB 225.026-May-10 Sanmina 8 1/8% Sr Sub Nts 16 B2 B2 CCC CCC+ 600.026-May-10 Sanmina 6 3/4% Sr Sub Nts 13 B2 B2 CCC CCC+ 400.026-May-10 Sanmina FLOAT Sr Nts 14 Ba3 Ba3 B- B 257.427-May-10 James River Coal Co 9 3/8% Sr Nts 12 Ca Caa1 B B+ 150.028-May-10 Crown Cork and Seal 7 3/4% Sr Nts 15 B1 Ba3 BB- BB- 600.028-May-10 Crown Cork and Seal 7 5/8% Sr Nts 17 B1 Ba3 BB- BB- 400.028-May-10 Crown Cork and Seal 7 3/8% Debs 26 B2 B1 B+ B+ 350.028-May-10 Crown Cork and Seal 7 5/8% Sr Nts 13 B1 Ba3 BB- BB- 200.028-May-10 Crown Cork and Seal 7 1/2% Debs 96 B2 B1 B+ B+ 64.028-May-10 Quicksilver Resources 11 3/4% Sr Nts 16 B2 B2 B B+ 600.028-May-10 Quicksilver Resources 7 3/4% Sr Guar Nts 15 B2 B2 B B+ 475.028-May-10 Quicksilver Resources 9 1/8% Sr Nts 19 B2 B2 B B+ 300.028-May-10 Sally Beauty 9 1/4% Sr Nts 14 B3 B3 B BB- 430.028-May-10 Sally Beauty 10 1/2% Sr Sub Nts 16 Caa1 Caa1 B- B 280.028-May-10 Stone Energy 6 3/4% Sr Sub Nts 14 Caa2 Caa2 CCC+ B- 200.0
May total: 42 issuers 31,980.3
07-Jun-10 Michaels Stores 10% Sr Nts 14 Caa2 Caa1 CCC CCC 750.007-Jun-10 Michaels Stores 0.000%/13.000% Sr Disc Nts 16 Caa3 Caa2 CCC CCC 469.4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A49
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
07-Jun-10 Michaels Stores 11 3/8% Sr Sub Nts 16 Caa3 Caa2 CCC CCC 400.008-Jun-10 Watson Pharmaceuticals 5% Sr Nts 14 Ba1 Baa3 BBB- BBB- 450.008-Jun-10 Watson Pharmaceuticals 6 1/8% Sr Nts 19 Ba1 Baa3 BBB- BBB- 400.009-Jun-10 Dollar General 11 7/8% Sr Sub Toggle Nts 17 B3 B2 B B+ 450.710-Jun-10 ArvinMeritor 8 1/8% Sr Nts 15 Caa2 Caa1 CCC- CCC 252.510-Jun-10 ArvinMeritor 10 5/8% Sr Nts 18 Caa2 Caa1 CCC- CCC 250.010-Jun-10 ArvinMeritor 8 3/4% Sr Nts 12 Caa2 Caa1 CCC- CCC 101.010-Jun-10 Gibson Energy 10% Sr Nts 18 B3 Ba3 B- B- 200.010-Jun-10 Neiman Marcus Group 9% Sr Toggle Nts 15 Caa2 Caa1 B- B- 752.410-Jun-10 Neiman Marcus Group 10 3/8% Sr Sub Nts 15 Caa3 Caa2 CCC+ CCC+ 500.010-Jun-10 Neiman Marcus Group 7 1/8% Sr Sec Nts (1st Lien) 28 B3 B2 BB- BB- 125.011-Jun-10 National Semiconductor 6 1/7% Sr Nts 12 Baa1 Baa1 BB+ BBB- 375.011-Jun-10 National Semiconductor 6 3/5% Sr Nts 17 Baa1 Baa1 BB+ BBB- 375.011-Jun-10 National Semiconductor FLOAT Sr Nts 10 Baa1 Baa1 BB+ BBB- 250.011-Jun-10 Packaging Dynamics 10% Sr Sub Nts 16 Caa1 Caa1 CCC CCC+ 150.014-Jun-10 Nordic Telephone Company 8 7/8% Sr Sec Nts (2nd Lien) 16 B1 B1 BB- BB 600.015-Jun-10 Atlantic Broadband Finance 9 3/8% Sr Sub Nts 14 Caa1 B3 B- B- 150.015-Jun-10 Local TV Finance 10% Sr Toggle Nts 15 Caa3 Caa2 CCC CCC 209.515-Jun-10 Westlake Chemical 6 5/8% Sr Nts 16 Ba3 Ba2 BB BBB- 250.017-Jun-10 American Greetings 7 3/8% Sr Nts 16 Ba3 Ba3 BB BB+ 22.017-Jun-10 Gardner Denver 8% Sr Sub Nts 13 B1 Ba2 BB BB 125.018-Jun-10 Tenet Healthcare 7 3/8% Sr Nts 13 Caa2 Caa1 CCC+ CCC+ 1,000.018-Jun-10 Tenet Healthcare 8 7/8% Sr Sec Nts 19 B2 B1 BB- BB- 925.018-Jun-10 Tenet Healthcare 10% Sr Sec Nts 18 B2 B1 BB- BB- 714.018-Jun-10 Tenet Healthcare 9% Sr Sec Nts 15 B2 B1 BB- BB- 713.518-Jun-10 Tenet Healthcare 9 1/4% Sr Nts 15 Caa2 Caa1 CCC+ CCC+ 491.018-Jun-10 Tenet Healthcare 6 7/8% Sr Nts 31 Caa2 Caa1 CCC+ CCC+ 428.518-Jun-10 Tenet Healthcare 9 7/8% Sr Nts 14 Caa2 Caa1 CCC+ CCC+ 99.918-Jun-10 Tenet Healthcare 6 1/2% Sr Nts 12 Caa2 Caa1 CCC+ CCC+ 58.121-Jun-10 CII Carbon 11 1/8% Sr Sub Nts 15 B3 B3 CCC+ B- 235.021-Jun-10 Kansas City Southern Railway 8% Sr Nts 18 B2 B1 B+ BB- 300.021-Jun-10 Kansas City Southern Railway 8% Sr Nts 15 B2 B1 B+ BB- 275.021-Jun-10 Kansas City Southern Railway 7 5/8% Sr Nts 13 B2 B1 B+ BB- 175.021-Jun-10 Kansas City Southern Railway 12 1/2% Sr Nts 16 B2 B1 B+ BB- 130.021-Jun-10 Kansas City Southern Railway 13% Sr Nts 13 B2 B1 B+ BB- 123.521-Jun-10 Kansas City Southern Railway 9 3/8% Sr Nts 12 B2 B2 B+ BB- 70.021-Jun-10 Salt Holdings 8% Sr Nts 19 B1 B1 B+ BB+ 100.022-Jun-10 Belo Corporation 8% Sr Nts 16 Ba2 Ba1 B+ BB- 275.022-Jun-10 Belo Corporation 7 1/4% Debs 27 B1 B1 B- B 240.022-Jun-10 Belo Corporation 7 3/4% Debs 27 B1 B1 B- B 200.022-Jun-10 Belo Corporation 6 3/4% Sr Nts 13 B1 B1 B- B 175.022-Jun-10 Exopac Holding 11 1/4% Sr Nts 14 B3 B3 B- B 220.025-Jun-10 Newport Television 13% Sr Toggle Nts 17 Caa3 Caa3 CC CCC 228.429-Jun-10 American Capital 6 6/7% Sr Nts 12 B2 B2 CC B- 550.030-Jun-10 CMP Susquehanna 9 7/8% Sr Sub Nts 14 Ca Caa3 CCC CCC 12.1
June total: 23 issuers 15,346.7
01-Jul-10 Novelis 7 1/4% Sr Nts 15 Caa1 B1 B- B- 1,124.201-Jul-10 Novelis 11 1/2% Sr Nts 15 Caa1 B1 B- B- 185.006-Jul-10 MGM Mirage 10 3/8% Sr Sec Nts 14 B1 B1 B B+ 650.006-Jul-10 Southwestern Energy 7 1/2% Sr Nts 18 Ba2 Ba1 BB+ BBB- 600.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A50
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
08-Jul-10 Graphic Packaging 9 1/2% Sr Sub Nts 13 B3 B3 B- B 425.008-Jul-10 Regency Energy Partners 8 3/8% Sr Nts 13 B1 B1 B B+ 357.508-Jul-10 Regency Energy Partners 9 3/8% Sr Nts 16 B1 B1 B B+ 250.009-Jul-10 Graphic Packaging 9 1/2% Sr Nts 17 B3 B3 B- B 425.009-Jul-10 Vanguard Health Systems 8% Sr Nts 18 B3 B3 CCC+ B- 1,175.012-Jul-10 Altegrity 10 1/2% Sr Sub Nts 15 Caa2 Caa2 CCC CCC+ 290.012-Jul-10 Altegrity 11 3/4% Sr Sub Nts 16 Caa2 Caa2 CCC CCC+ 150.012-Jul-10 Great Canadian Gaming Co 7 1/4% Sr Sub Nts 15 B2 B2 BB- BB 170.014-Jul-10 GOL Finance 7 1/2% Guar Nts 17 B1 Ba3 NR NR 221.315-Jul-10 Avago Technologies 11 7/8% Sr Sub Nts 15 Ba3 Ba1 B+ BB+ 230.715-Jul-10 Paramount Resources 8 1/2% Sr Nts 13 Caa1 B3 B B 90.216-Jul-10 INVISTA/Arteva Specialties 9 1/4% Sr Nts 12 Ba3 Ba3 B BB- 325.322-Jul-10 New York Times 5% Sr Nts 15 B1 B1 B B+ 250.022-Jul-10 New York Times 4 3/5% Sr Nts 12 B1 B1 B B+ 75.023-Jul-10 Perry Ellis International 8 7/8% Sr Sub Nts 13 B3 B3 B- B 104.026-Jul-10 Advanced Micro Devices 8 1/8% Sr Nts 17 Ba3 Ba3 B- B+ 500.027-Jul-10 Yonkers Racing Corp 11 3/8% Sr Sec Nts (2nd Lien) 16 B1 B1 B+ BB- 225.029-Jul-10 Viskase Companies 9 7/8% Sr Sec Nts 18 B2 B2 B- B 215.030-Jul-10 Rockwood Specialties 7 1/2% Sr Sub Nts 14 B3 B3 B- B 200.0
July total: 19 issuers 8,238.2
02-Aug-10 Ford Motor Company 9 3/4% Sr Nts 10 Ba3 Ba3 B- B+ 1,520.702-Aug-10 Ford Motor Company 6 5/8% Sr Nts 17 Ba3 Ba2 B- B+ 1,250.002-Aug-10 United Air Lines 9 7/8% Sr Sec Nts (1st Lien) 13 B3 Ba3 B+ BB- 500.002-Aug-10 United Air Lines 12% Sr Sec Nts (2nd Lien) 13 Caa2 B3 CCC CCC+ 200.002-Aug-10 United Air Lines 12 3/4% Sr Sec Nts 12 B2 Ba2 B+ BB- 175.003-Aug-10 Dasa Finance 8 3/4% Guar Nts 18 NR NR BB- BB 250.003-Aug-10 Petrohawk Energy Corp 7 7/8% Sr Nts 15 B3 B3 B B+ 800.003-Aug-10 Petrohawk Energy Corp 9 1/8% Sr Nts 13 B3 B3 B B+ 768.603-Aug-10 Petrohawk Energy Corp 10 1/2% Sr Nts 14 B3 B3 B B+ 600.003-Aug-10 Petrohawk Energy Corp 7 1/8% Sr Nts 12 B3 B3 B B+ 275.003-Aug-10 Sensata Technologies 8% Sr Nts 14 Caa1 Caa1 CCC+ B- 201.204-Aug-10 Virgin Media 9 1/8% Sr Nts 16 B1 Ba3 B+ B+ 550.005-Aug-10 Sinclair Broadcast 9 1/4% Sr Sec Nts (2nd Lien) 17 B2 Ba3 B- B+ 500.005-Aug-10 Sinclair Broadcast 8% Sr Sub Nts 12 Caa1 B2 CCC+ B- 224.705-Aug-10 TRW Automotive 8 7/8% Sr Nts 17 B3 B2 B+ BB 250.009-Aug-10 Building Materials 7 1/2% Sr Nts 20 B3 B1 BB- BB+ 325.009-Aug-10 Building Materials 7% Sr Sec Nts (1st Lien) 20 Ba3 Ba2 BBB- BBB 250.010-Aug-10 Pinnacle Food Holdings 9 1/4% Sr Nts 15 Caa2 B3 CCC+ CCC+ 325.010-Aug-10 Pinnacle Food Holdings 9 1/4% Sr Nts 15 Caa2 B3 CCC+ CCC+ 300.010-Aug-10 Pinnacle Food Holdings 10 5/8% Sr Sub Nts 17 Caa2 Caa1 CCC+ CCC+ 199.010-Aug-10 SPX 7 5/8% Sr Nts 14 Ba2 Ba1 BB BB+ 500.011-Aug-10 Oshkosh Corporation 8 1/4% Sr Nts 17 B3 B2 B- BB- 250.011-Aug-10 Oshkosh Corporation 8 1/2% Sr Nts 20 B3 B2 B- BB- 250.012-Aug-10 Cardtronics Inc 9 1/4% Sr Sub Nts 13 B3 B2 B+ B+ 200.012-Aug-10 Cardtronics Inc 9 1/4% Sr Sub Nts 13 B3 B2 B+ B+ 100.012-Aug-10 SPX 6 7/8% Guar Nts 17 Ba2 Ba1 BB+ BB+ 600.013-Aug-10 Church & Dwight 6% Sr Sub Nts 12 Ba2 Ba1 BB+ BB+ 250.013-Aug-10 Jarden Corp 7 1/2% Sr Sub Nts 20 B3 B1 B B 275.013-Aug-10 QWest Communications International 8 7/8% Sr Nts 12 Ba1 Baa3 BBB- BBB- 1,500.013-Aug-10 QWest Communications International 6 7/8% Debs 33 Ba1 Baa3 BBB- BBB- 1,000.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A51
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
13-Aug-10 QWest Communications International 7 7/8% Sr Nts 11 Ba1 Baa3 BBB- BBB- 825.013-Aug-10 QWest Communications International 8 3/8% Sr Nts 16 Ba1 Baa3 BBB- BBB- 810.513-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba3 Ba2 B+ B+ 800.013-Aug-10 QWest Communications International 7 1/8% Sr Nts 18 Ba3 Ba2 B+ B+ 800.013-Aug-10 QWest Communications International FLOAT Sr Nts 13 Ba1 Baa3 BBB- BBB- 750.013-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba1 Baa3 BBB- BBB- 600.013-Aug-10 QWest Communications International 8% Sr Nts 15 Ba3 Ba2 B+ B+ 550.013-Aug-10 QWest Communications International 6 1/2% Sr Nts 17 Ba1 Baa3 BBB- BBB- 500.013-Aug-10 QWest Communications International 7 1/2% Sr Nts 14 Ba3 Ba2 B+ B+ 498.313-Aug-10 QWest Communications International 7 1/2% Debs 23 Ba1 Baa3 BBB- BBB- 484.013-Aug-10 QWest Communications International 7 5/8% Sr Nts 15 Ba1 Baa3 BBB- BBB- 400.013-Aug-10 QWest Communications International 7 3/4% Sr Nts 31 B1 Ba3 B+ B+ 358.113-Aug-10 QWest Communications International 6 7/8% Sr Nts 28 B1 Ba3 B+ B+ 351.713-Aug-10 QWest Communications International 7 1/4% Debs 25 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/8% Debs 43 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/4% Debs 35 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/5% Debs 26 Ba1 Baa3 BBB- BBB- 250.013-Aug-10 QWest Communications International 7 1/4% Sr Guar Nts 11 B1 Ba3 B+ B+ 179.513-Aug-10 QWest Communications International 6 1/2% Sr Guar Nts 18 B1 Ba3 B+ B+ 174.413-Aug-10 QWest Communications International 7 5/8% Sr Guar Nts 21 B1 Ba3 B+ B+ 97.213-Aug-10 QWest Communications International 7 3/8% Debs 30 Ba1 Baa3 BBB- BBB- 55.213-Aug-10 Sothebys Holdings 7 3/4% Sr Nts 15 B1 Ba3 B BB- 128.313-Aug-10 Thermadyne Holdings 9 1/4% Sr Sub Nts 14 Caa1 Caa1 CCC B- 175.013-Aug-10 Unisys 12 3/4% Sr Sec Nts (1st Lien) 14 Ba3 Ba1 BB- BB 385.013-Aug-10 Unisys 14 1/4% Sr Sec Nts (2nd Lien) 15 Ba3 Ba2 BB- BB 246.613-Aug-10 Unisys 12 1/2% Sr Nts 16 Caa1 B2 B B+ 150.613-Aug-10 Unisys 8% Sr Nts 12 Caa1 B2 B B+ 68.016-Aug-10 Toys R Us 10 3/4% Sr Nts 17 B3 B2 B+ B+ 950.016-Aug-10 Toys R Us 8 1/2% Sr Sec Nts 17 Ba2 Ba1 B+ B+ 725.016-Aug-10 Toys R Us 7 5/8% Sr Nts 11 Caa1 B3 CCC+ CCC+ 500.016-Aug-10 Toys R Us 7 7/8% Sr Nts 13 Caa1 B3 CCC+ CCC+ 400.016-Aug-10 Toys R Us 7 3/8% Sr Nts 18 Caa1 B3 CCC+ CCC+ 400.018-Aug-10 Amkor Technologies 7 3/8% Sr Nts 18 Ba3 Ba3 B+ BB- 345.018-Aug-10 Energy Future Holdings 12% Sr Toggle Nts 17 Caa3 Caa3 CC CCC+ 2,943.918-Aug-10 Energy Future Holdings 10 7/8% Sr Nts 17 Caa3 Caa3 CC CCC+ 1,830.518-Aug-10 Las Vegas Sands 6 3/8% Sr Sec Nts 15 B3 B1 B- BB- 215.319-Aug-10 CE Casecnan Water & Energy 12% Sr Sec Nts 10 Ba3 Ba3 BB- BB+ 8.620-Aug-10 Russel Metals 6 3/8% Sr Nts 14 Ba2 Ba1 BB BB 175.020-Aug-10 Tyson Foods 6 3/5% Sr Nts 16 Ba3 Ba2 BB BB+ 869.820-Aug-10 Tyson Foods 10 1/2% Sr Nts 14 Ba3 Ba2 BB BB+ 810.020-Aug-10 Tyson Foods 8 1/4% Sr Nts 11 B2 B1 BB BB+ 556.020-Aug-10 Tyson Foods 7% Sr Nts 18 B2 B1 BB BB+ 140.020-Aug-10 Tyson Foods 7% Sr Nts 28 B2 B1 BB BB+ 26.723-Aug-10 Quiksilver Inc 6 7/8% Sr Nts 15 Caa2 Caa1 CCC CCC+ 400.024-Aug-10 Inergy 6 7/8% Sr Nts 14 B1 Ba3 B+ B+ 425.024-Aug-10 Inergy 8 1/4% Sr Nts 16 B1 Ba3 B+ B+ 400.024-Aug-10 Inergy 8 3/4% Sr Nts 15 B1 Ba3 B+ B+ 225.024-Aug-10 Seitel 9 3/4% Sr Nts 14 Caa3 Caa3 CCC CCC+ 400.024-Aug-10 Trimas Corp 9 3/4% Sr Sec Nts (2nd Lien) 17 Caa1 B3 B- B- 250.025-Aug-10 Accellent Inc 8 3/8% Sr Sec Nts (1st Lien) 17 B3 B1 B+ B+ 400.026-Aug-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 CCC+ B- 275.9
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A52
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
26-Aug-10 LIN Television 8 3/8% Sr Nts 18 Ba3 Ba3 B+ BB- 200.026-Aug-10 LIN Television 6 1/2% Sr Sub Nts 13 B3 B3 CCC+ B- 141.327-Aug-10 Nexstar Broadcasting 8 7/8% Sr Sec Nts (2nd Lien) 17 B3 B3 B- B 325.027-Aug-10 Nexstar Broadcasting 0 1/2% Sr Sub Nts 14 Caa2 Caa2 CCC CCC+ 142.327-Aug-10 Nexstar Broadcasting 7% Sr Sub Nts 14 Caa2 Caa2 CCC CCC+ 48.927-Aug-10 Swift Transportation 12 1/2% Sr Sec Nts 17 Caa3 Caa2 CCC- CCC 505.627-Aug-10 Swift Transportation FLOAT Sr Sec Nts 15 Caa3 Caa2 CCC- CCC 240.030-Aug-10 General Nutrition FLOAT Sr Toggle Nts 14 Caa1 Caa1 CCC+ B- 300.030-Aug-10 General Nutrition 10 3/4% Sr Sub Nts 15 Caa2 Caa2 CCC+ B- 110.0
August total: 36 issuers 40,461.2
03-Sep-10 Realogy 10 1/2% Sr Nts 14 Ca Caa3 C C 1,700.003-Sep-10 Realogy 11 3/4% Sr Toggle Nts 14 Ca Caa3 C C 443.809-Sep-10 McClatchy 11 1/2% Sr Sec Nts (1st Lien) 17 Caa1 B1 B- B- 875.010-Sep-10 Graham Packaging 8 1/4% Sr Nts 17 Caa1 Caa1 CCC+ B- 253.413-Sep-10 HBOS plc 6 3/4% Sub Nts 18 Ba1 Baa3 BBB- BBB- 2,000.013-Sep-10 HBOS plc 6% Sr Sub Nts 33 Ba1 Baa3 BBB- BBB- 750.013-Sep-10 Omega Healthcare Investors 7% Sr Nts 14 Ba3 Ba2 BB+ BB+ 310.013-Sep-10 Omega Healthcare Investors 7 1/2% Sr Nts 20 Ba3 Ba2 BB+ BB+ 200.013-Sep-10 Omega Healthcare Investors 7% Sr Nts 16 Ba3 Ba2 BB+ BB+ 175.014-Sep-10 Huntsman ICI Chemicals 5 1/2% Sr Nts 16 B1 B1 B- B 600.014-Sep-10 Huntsman ICI Chemicals 8 5/8% Sr Sub Nts 20 B3 B3 CCC+ B- 350.014-Sep-10 Huntsman ICI Chemicals 7 7/8% Sr Sub Nts 14 B3 B3 CCC+ B- 347.014-Sep-10 Huntsman ICI Chemicals 7 3/8% Sr Sub Nts 15 B3 B3 CCC+ B- 175.015-Sep-10 West Corp 9 1/2% Sr Nts 14 Caa1 B3 B- B 650.016-Sep-10 Momentive Performance 9 3/4% Sr Nts 14 Caa2 Caa1 CCC- CCC 716.616-Sep-10 Momentive Performance 11 1/2% Sr Sub Nts 16 Caa3 Caa2 CCC- CCC 381.916-Sep-10 Momentive Performance 10 1/8% Sr Toggle Nts 14 Caa2 Caa1 CCC- CCC 214.116-Sep-10 Momentive Performance 12 1/4% Sr Sec Nts (2nd Lien) 14 B3 B2 CCC- CCC 200.016-Sep-10 Reynolds Group Escrow 8 1/2% Sr Nts 18 Caa1 Caa1 B- B 1,000.021-Sep-10 Atlas Pipeline Partners 8 1/8% Sr Nts 15 Caa2 B3 CCC B- 275.521-Sep-10 Atlas Pipeline Partners 8 3/4% Sr Guar Nts 18 Caa2 B3 CCC B- 223.121-Sep-10 Lear 7 7/8% Sr Nts 18 B1 Ba3 BB- BB+ 350.021-Sep-10 Lear 8 1/8% Sr Nts 20 B1 Ba3 BB- BB+ 350.021-Sep-10 Whiting Petroleum 7% Sr Sub Nts 14 B1 Ba3 BB BB 250.022-Sep-10 Credit Acceptance Corp 9 1/8% Sr Sec Nts (1st Lien) 17 B1 B1 BB- BB 250.023-Sep-10 Alliant Techsystems 6 3/4% Sr Sub Nts 16 B1 Ba3 BB- BB- 400.023-Sep-10 Alliant Techsystems 6 7/8% Sr Sub Nts 20 B1 Ba3 BB- BB- 350.023-Sep-10 West Frasor Timber 5 1/5% Sr Nts 14 Ba1 Ba1 BB BB+ 300.027-Sep-10 United Components FLOAT Sr Nts 13 Caa3 Caa1 CCC CCC+ 347.128-Sep-10 Digitalglobe 10 1/2% Sr Sec Nts (1st Lien) 14 Ba3 Ba3 BB BBB- 355.028-Sep-10 Geoeye 9 5/8% Sr Sec Nts 15 B1 B1 B BB- 400.028-Sep-10 HealthSouth Rehabilitation 10 3/4% Sr Nts 16 Caa1 B2 CCC+ B+ 500.528-Sep-10 HealthSouth Rehabilitation 8 1/8% Sr Nts 20 Caa1 B2 CCC+ B+ 290.029-Sep-10 Baker & Taylor 11 1/2% Sr Sec Nts 13 B3 B3 CCC CCC+ 165.029-Sep-10 Unifi 11 1/2% Sr Sec Nts (1st Lien) 14 Caa2 Caa1 B- B- 163.729-Sep-10 VNU NV 0.000%/12.500% Sr Sub Disc Nts 16 Caa1 Caa1 CCC+ B- 1,070.029-Sep-10 VNU NV 10% Sr Nts 14 Caa1 Caa1 B- B 870.029-Sep-10 VNU NV 11 1/2% Sr Nts 16 Caa1 Caa1 B- B 500.029-Sep-10 VNU NV 11 5/8% Sr Nts 14 Caa1 Caa1 B- B 330.0
September total: 22 issuers 19,081.7
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A53
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
01-Oct-10 CSN Iron 6 7/8% Sr Nts 19 Ba1 Ba1 BB+ BBB- 750.001-Oct-10 CSN Iron 9 3/4% Sr Nts 13 Ba1 Ba1 BB+ BBB- 550.001-Oct-10 CSN Iron 10% Sr Nts 15 Ba1 Ba1 BB+ BBB- 400.001-Oct-10 CSN Resources SA 6 1/2% Guar Nts 20 Ba1 Ba1 BB+ BBB- 1,000.001-Oct-10 Geoeye 9 5/8% Sr Sec Nts 15 B1 Ba3 BB- BB- 400.001-Oct-10 Starwood Hotels Resorts 7 7/8% Sr Nts 12 Ba1 Ba1 BB BB+ 605.101-Oct-10 Starwood Hotels Resorts 7 7/8% Sr Nts 14 Ba1 Ba1 BB BB+ 500.001-Oct-10 Starwood Hotels Resorts 6 1/4% Sr Nts 13 Ba1 Ba1 BB BB+ 494.901-Oct-10 Starwood Hotels Resorts 7 3/8% Debs 15 Ba1 Ba1 BB BB+ 450.001-Oct-10 Starwood Hotels Resorts 6 3/4% Sr Nts 18 Ba1 Ba1 BB BB+ 400.001-Oct-10 Starwood Hotels Resorts 7 1/7% Sr Nts 19 Ba1 Ba1 BB BB+ 250.004-Oct-10 Rotech Healthcare 9 1/2% Sr Sub Nts 12 Caa3 Caa2 CC B- 287.005-Oct-10 FMG Finance Pty Ltd 10 5/8% Sr Sec Nts (1st Lien) 16 B2 B1 B B 1,026.005-Oct-10 FMG Finance Pty Ltd 10% Sr Sec Nts (1st Lien) 13 B2 B1 B B 317.505-Oct-10 FMG Finance Pty Ltd FLOAT Sr Sec Nts (1st Lien) 11 B2 B1 B B 250.007-Oct-10 Broadwing 8 1/4% Sr Nts 17 B2 B2 B- B+ 500.007-Oct-10 Broadwing 7% Sr Nts 15 B2 B2 B- B+ 250.007-Oct-10 Broadwing 6 2/7% Sr Guar Nts 28 Ba2 Ba1 BB BB 134.507-Oct-10 Broadwing 7 1/4% Sr Sec Nts 23 Ba3 Ba2 BB BB 40.007-Oct-10 Broadwing 7 1/5% Sr Nts 23 Ba2 Ba1 BB BB 33.008-Oct-10 Advance Auto Parts 5 3/4% Sr Nts 20 Ba1 Baa3 BBB- BBB- 300.008-Oct-10 Forbes Energy Services 11% Sr Sec Nts (2nd Lien) 15 Caa2 Caa1 CCC CCC 192.508-Oct-10 Ford Motor Company 5 5/8% Sr Nts 15 Ba3 Ba2 B+ B+ 1,000.008-Oct-10 Spirit Aerosystems 7 1/2% Sr Nts 17 B2 Ba3 BB- BB- 300.012-Oct-10 Hapag-Lloyd 9 3/4% Guar Nts 17 B3 B2 B B 250.013-Oct-10 Commercial Vehicle 8% Sr Nts 13 Caa3 Caa2 CCC CCC 97.813-Oct-10 Freeport-McMoRan Copper & Gold 8 3/8% Sr Nts 17 Ba2 Baa3 BBB- BBB- 3,011.013-Oct-10 Freeport-McMoRan Copper & Gold 8 1/4% Sr Nts 15 Ba2 Baa3 BBB- BBB- 1,079.013-Oct-10 Manitowoc 9 1/2% Sr Nts 18 Caa1 B3 B+ B+ 400.013-Oct-10 Manitowoc 7 1/8% Sr Nts 13 Caa1 B3 B+ B+ 150.014-Oct-10 Energy Future Holdings 10% Sr Sec Nts 20 Ca Caa3 B+ B+ 946.018-Oct-10 Sirius XM Radio 7 5/8% Sr Nts 18 B3 B3 CCC+ B+ 700.019-Oct-10 Alrosa Finance 8 7/8% Guar Nts 14 Ba3 Ba3 B+ BB- 500.020-Oct-10 MDC Communications 11% Sr Guar Nts 16 B2 B2 B+ BB- 290.020-Oct-10 NXP BV 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 B3 CCC+ B- 1,000.020-Oct-10 Rural/Metro 0.000%/12.750% Sr Disc Nts 16 Caa1 B3 B B 93.520-Oct-10 United Rentals 10 7/8% Sr Nts 16 B3 B2 B B 500.020-Oct-10 United Rentals 9 1/4% Sr Nts 19 B3 B2 B B 500.021-Oct-10 Cosan SA Industria e Comercio 7% Nts 17 Ba3 Ba2 BB- BB 400.021-Oct-10 Cosan SA Industria e Comercio 9 1/2% Sr Nts 14 NR NR BB- BB 350.021-Oct-10 Delta Air Lines 12 1/4% Sr Sec Nts (2nd Lien) 15 B2 B2 CCC+ B 397.121-Oct-10 Newfield Exploration 6 7/8% Sr Sub Nts 20 Ba3 Ba2 BB+ BB+ 700.021-Oct-10 Newfield Exploration 7 1/8% Sr Sub Nts 18 Ba3 Ba2 BB+ BB+ 600.021-Oct-10 Newfield Exploration 6 5/8% Sr Sub Nts 16 Ba3 Ba2 BB+ BB+ 550.021-Oct-10 Newfield Exploration 6 5/8% Sr Sub Nts 14 Ba3 Ba2 BB+ BB+ 325.021-Oct-10 Univision Communications 7 7/8% Sr Sec Nts (1st Lien) 20 B2 B2 B- B 750.025-Oct-10 Tower Automotive Holdings 10 5/8% Sr Sec Nts (1st Lien) 17 B1 B1 B B+ 430.026-Oct-10 BWAY 10 1/8% Sr PIK Nts 15 Caa2 Caa1 CCC+ CCC+ 150.027-Oct-10 BorgWarner 8% Sr Nts 19 Ba1 Baa3 BBB BBB 134.027-Oct-10 BorgWarner 7 1/8% Sr Nts 29 Ba1 Baa3 BBB BBB 120.729-Oct-10 Norwegian Cruise Line 11 3/4% 1st Mtg Nts 16 B3 B2 B+ B+ 450.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A54
D
Source: J.P. Morgan.
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
29-Oct-10 Vitamin Shoppe Industries FLOAT Sr Sec Nts 12 B2 B2 BB- BB 75.1October total: 31 issuers 25,379.7
01-Nov-10 Netflix 8 1/2% Sr Nts 17 Ba2 Ba2 BB- BB+ 200.001-Nov-10 Univision Communications 10 1/2% Sr Toggle Nts 15 Caa2 Caa2 CCC CCC+ 1,748.901-Nov-10 Univision Communications 12% Sr Sec Nts (1st Lien) 14 B2 B2 B- B 545.001-Nov-10 Univision Communications 7 6/7% Sr Sec Nts 11 B2 B2 B- B 7.402-Nov-10 Dollar General 10 5/8% Sr Nts 15 B3 B1 B+ B+ 929.302-Nov-10 Dow Chemical 7 3/4% Debs 96 Ba2 Baa3 BBB- BBB- 200.002-Nov-10 Dow Chemical 7 7/8% Debs 23 Ba2 Baa3 BBB- BBB- 175.002-Nov-10 Dow Chemical 7 1/2% Debs 25 Ba2 Baa3 BBB- BBB- 150.003-Nov-10 Energy XXI Gulf Coast 10% Sr Nts 13 Caa3 Caa2 B B+ 276.504-Nov-10 CW Media Holdings 13 1/2% Sr Nts 15 Ba2 Ba2 B+ BBB- 338.304-Nov-10 Hanesbrands 8% Sr Nts 16 B1 B1 B+ BB- 500.004-Nov-10 Hanesbrands FLOAT Sr Nts 14 B1 B1 B+ BB- 490.704-Nov-10 Pacific Rubiales Energy 8 3/4% Guar Nts 16 NR NR B+ BB- 450.004-Nov-10 Quality Distribution 11 3/4% Sr Sub Nts 13 Caa2 Caa2 CCC CCC+ 82.005-Nov-10 Ainsworth Lumber 11% Sr Nts 15 Caa3 Caa1 B- B- 384.805-Nov-10 Catalina Marketing 10 1/2% Sr Toggle Nts 15 B3 B2 B- B- 330.009-Nov-10 Cincinnati Bell Telephone 7 1/4% Sr Sec Nts 23 Ba2 Ba1 BB BB 40.009-Nov-10 Solutia 8 3/4% Sr Nts 17 B2 B1 B+ B+ 400.009-Nov-10 Solutia 7 7/8% Sr Nts 20 B2 B1 B+ B+ 300.009-Nov-10 Southwestern Energy 7 1/8% Sr Nts 17 Ba2 Ba1 NR NR 25.009-Nov-10 Tenneco Automotive 8 5/8% Sr Sub Nts 14 Caa1 Caa1 CCC+ B 500.009-Nov-10 Tenneco Automotive 8 1/8% Sr Nts 15 B2 B2 B BB- 250.009-Nov-10 Tenneco Automotive 7 3/4% Sr Nts 18 B2 B2 B BB- 225.010-Nov-10 HeidelbergCement AG 5 1/4% Sr Nts 13 B1 Ba3 BB- BB- 750.010-Nov-10 HeidelbergCement AG 6 1/8% Sr Nts 16 B1 Ba3 BB- BB- 750.010-Nov-10 Rouse 6 3/4% Sr Nts 13 C C C BB+ 800.010-Nov-10 Rouse 5 3/8% Sr Nts 13 C C C BB+ 450.010-Nov-10 Rouse 7 1/5% Sr Nts 12 C C C BB+ 400.012-Nov-10 Boise Paper Holdings 8% Sr Nts 20 B2 B2 BB- BB 300.012-Nov-10 CB Richard Ellis Service 11 5/8% Sr Sub Nts 17 Ba3 Ba2 B+ B+ 450.012-Nov-10 Frac Tech Services 7 1/8% Sr Nts 18 B2 B2 B- B+ 550.012-Nov-10 Life Technologies 6% Sr Nts 20 Ba1 Ba1 BBB- BBB 750.012-Nov-10 Life Technologies 4 2/5% Sr Nts 15 Ba1 Ba1 BBB- BBB 500.012-Nov-10 Life Technologies 3 3/8% Sr Nts 13 Ba1 Ba1 BBB- BBB 250.012-Nov-10 Minerva Overseas 10 7/8% Sr Nts 19 B3 B3 B- B 415.712-Nov-10 Minerva Overseas 9 1/2% Nts 17 B3 B3 B- B 74.515-Nov-10 Kansas City Southern Railway 7 3/8% Sr Nts 14 B2 B1 BB- BB- 165.016-Nov-10 Easton-Bell Sports 9 3/4% Sr Sec Nts 16 B3 B2 CCC+ B- 350.016-Nov-10 PAETEC Holding Corp 8 7/8% Sr Sec Nts (1st Lien) 17 B1 Ba3 B B 650.017-Nov-10 Checkout Holdings 0% Sr Disc Nts 15 B3 B3 B- B+ 438.617-Nov-10 Murray Energy 10 1/4% Sr Sec Nts 15 Caa1 B2 B+ B+ 540.017-Nov-10 Quezon Power 8 6/7% Sr Sec Nts 17 B2 B2 B B+ 136.517-Nov-10 Royal Caribbean Cruises 7% Sr Nts 13 Ba3 Ba3 BB- BB 550.017-Nov-10 Royal Caribbean Cruises 8 3/4% Sr Nts 11 Ba3 Ba3 BB- BB 500.017-Nov-10 Royal Caribbean Cruises 6 7/8% Sr Nts 13 Ba3 Ba3 BB- BB 350.017-Nov-10 Royal Caribbean Cruises 7 1/4% Sr Nts 16 Ba3 Ba3 BB- BB 350.017-Nov-10 Royal Caribbean Cruises 7 1/2% Debs 27 Ba3 Ba3 BB- BB 300.017-Nov-10 Royal Caribbean Cruises 11 7/8% Sr Nts 15 Ba3 Ba3 BB- BB 300.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A55
D
Moody’s Moody’s S&P S&P AmountDate Issuer Security Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)
Upgrades
17-Nov-10 Royal Caribbean Cruises 7 1/4% Debs 18 Ba3 Ba3 BB- BB 150.018-Nov-10 Pep Boys 7 1/2% Sr Sub Nts 14 Caa1 Caa1 B- B 157.622-Nov-10 Servicemaster 7 4/9% Bds 27 Caa1 Caa1 CCC+ B- 195.024-Nov-10 Hynix Semiconductor 7 7/8% Sr Nts 17 B1 B1 B B+ 500.024-Nov-10 Koppers Industries 7 7/8% Sr Nts 19 B1 B1 B B+ 300.026-Nov-10 CEVA Group 11 1/2% Sr Sec Nts (2nd Lien) 18 Caa1 Caa1 CCC CCC+ 625.026-Nov-10 CEVA Group 11 5/8% Sr Sec Nts 16 Caa1 Caa1 CCC CCC+ 210.029-Nov-10 Lyondell Chemical 11% Sr Sec Nts (3rd Lien) 18 B3 B2 B B 3,240.329-Nov-10 Lyondell Chemical 8% Sr Sec Nts 17 Ba3 Ba2 BB BB 2,250.030-Nov-10 American Reprographics 10 1/2% Sr Nts 16 B1 B1 B+ BB- 200.030-Nov-10 Revlon Consumer Products 9 3/4% Sr Sec Nts 15 B3 B3 B- B 330.0
November total: 38 issuers 28,096.1
Total upgrades: 353 issuers 335,281.6Source: J.P. Morgan.
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A56
E
Rising stars
Source: J.P. Morgan.
Moody’s S&P AmountIssuer Security Date Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)Ventas Realty 6.75% Guar Nts 17 04-Feb-10 Ba1 Baa3 BBB- BBB- 225.0Ventas Realty 6.5% Guar Nts 16 04-Feb-10 Ba1 Baa3 BBB- BBB- 200.0Ventas Realty 7.125% Guar Nts 15 04-Feb-10 Ba1 Baa3 BBB- BBB- 142.7Ventas Realty 9% Guar Nts 12 04-Feb-10 Ba1 Baa3 BBB- BBB- 82.4Ventas Realty 6.625% Guar Nts 14 04-Feb-10 Ba1 Baa3 BBB- BBB- 71.7Ventas Realty 6.75% Guar Nts 10 04-Feb-10 Ba1 Baa3 BBB- BBB- 1.4Affiliated Computer Services 4.7% Sr Nts 10 09-Feb-10 Ba2 Baa3 BBB- BBB- 250.0Affiliated Computer Services 5.2% Sr Nts 15 09-Feb-10 Ba2 Baa3 BBB- BBB- 250.0Williams Partners 7.5% Sr Nts 11 18-Feb-10 Ba2 Baa3 BBB- BBB- 150.0February total 1,373.1
DirecTV Holdings/Finance 7 5/8% Sr Nts 16 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,500.0DirecTV Holdings/Finance 6 3/8% Sr Nts 15 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0DirecTV Holdings/Finance 5 7/8% Sr Nts 19 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0DirecTV Holdings/Finance 4 3/4% Sr Nts 14 04-Mar-10 Ba2 Baa3 BBB- BBB- 1,000.0Consol Energy Inc 7 7/8% Sr Sec Nts 12 22-Mar-10 Ba1 Baa3 BBB BBB 250.0March total 4,750.0
Agilent Technologies 6 1/2% Sr Nts 17 27-Apr-10 Ba1 Baa3 BBB- BBB- 600.0Teck Cominco Limited 6.125% Sr Nts 35 27-Apr-10 Ba1 Baa3 BBB BBB 700.0Teck Cominco Limited 5.375% Sr Nts 15 27-Apr-10 Ba1 Baa3 BBB BBB 300.0Teck Cominco Limited 7% Sr Nts 12 27-Apr-10 Ba1 Baa3 BBB BBB 200.0Teck Resources 10.75% Sr Sec Nts (1st Lien) 19 27-Apr-10 Ba1 Baa3 BBB BBB 1,850.0Teck Resources 9.75% Sr Sec Nts (1st Lien) 14 27-Apr-10 Ba1 Baa3 BBB BBB 1,315.0Teck Resources 10.25% Sr Sec Nts (1st Lien) 16 27-Apr-10 Ba1 Baa3 BBB BBB 1,060.0April total 6,025.0
UnumProvident 7.125% Sr Nts 16 12-May-10 Ba1 Baa3 BBB- BBB- 350.0UnumProvident 6.85% Sr Guar Nts 15 12-May-10 Ba1 Baa3 BBB- BBB- 296.5UnumProvident 7.625% Sr Nts 11 12-May-10 Ba1 Baa3 BBB- BBB- 225.1UnumProvident 6.75% Sr Nts 28 12-May-10 Ba1 Baa3 BBB- BBB- 165.8UnumProvident 7.19% Sr Nts 28 12-May-10 Ba1 Baa3 BBB- BBB- 50.0UnumProvident 7.375% Debs 32 12-May-10 Ba1 Baa3 BBB- BBB- 39.5May total 1,127.0
Watson Pharmaceuticals 5% Sr Nts 14 08-Jun-10 Ba1 Baa3 BBB- BBB- 450.0Watson Pharmaceuticals 6.125% Sr Nts 19 08-Jun-10 Ba1 Baa3 BBB- BBB- 400.0National Semiconductor 6.15% Sr Nts 12 11-Jun-10 Baa1 Baa1 BB+ BBB- 375.0National Semiconductor 6.6% Sr Nts 17 11-Jun-10 Baa1 Baa1 BB+ BBB- 375.0National Semiconductor FRN Sr Nts 10 11-Jun-10 Baa1 Baa1 BB+ BBB- 250.0June total 1,850.0
Seagate Technology 10% Sr Sec Nts 14 19-Jul-10 Baa3 Baa3 BB+ BBB 430.0Senior Housing 8.625% Sr Nts 12 29-Jul-10 Ba1 Baa3 BBB- BBB- 225.0Senior Housing 6.75% Sr Nts 20 29-Jul-10 Ba1 Baa3 BBB- BBB- 200.0July total 855.0
Qwest 8.875% Sr Nts 12 13-Aug-10 Ba1 Baa3 BBB- BBB- 1,500.0Qwest 6.875% Debs 33 13-Aug-10 Ba1 Baa3 BBB- BBB- 1,000.0Qwest 7.875% Sr Nts 11 13-Aug-10 Ba1 Baa3 BBB- BBB- 825.0Qwest FLOAT Sr Nts 13 13-Aug-10 Ba1 Baa3 BBB- BBB- 750.0Qwest 7.500% Debs 23 13-Aug-10 Ba1 Baa3 BBB- BBB- 484.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A57
E
Rising stars
Source: J.P. Morgan.
Moody’s S&P AmountIssuer Security Date Rating (old) Rating (new) Rating (old) Rating (new) ($ mn)Qwest 7.125% Debs 43 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.250% Debs 25 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.200% Debs 26 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.250% Debs 35 13-Aug-10 Ba1 Baa3 BBB- BBB- 250.0Qwest 7.375% Debs 30 13-Aug-10 Ba1 Baa3 BBB- BBB- 55.2QWest Communications Int’l. 8.375% Sr Nts 16 13-Aug-10 Ba1 Baa3 BBB- BBB- 810.5QWest Communications Int’l. 7.500% Sr Nts 14 13-Aug-10 Ba1 Baa3 BBB- BBB- 600.0QWest Communications Int’l. 7.625% Sr Nts 15 13-Aug-10 Ba1 Baa3 BBB- BBB- 400.0Qwest Corporation 6.500% Sr Nts 17 13-Aug-10 Ba1 Baa3 BBB- BBB- 500.0August total 7,924.7
HBOS plc 6.75% Sr Sub Nts 18 13-Sep-10 Ba1 Baa3 BBB- BBB- 2,000.0HBOS plc 6% Sr Sub Nts 33 13-Sep-10 Ba1 Baa3 BBB- BBB- 750.0September total 2,750.0
Advance Auto Parts 5 3/4% Sr Nts 20 07-Oct-10 Ba1 Baa3 BBB- BBB- 300.0Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 13-Oct-10 Ba2 Baa3 BBB- BBB- 3,011.0Freeport-McMoRan Copper & Gold 8 1/4% Sr Nts 15 13-Oct-10 Ba2 Baa3 BBB- BBB- 1,079.0BorgWarner 8% Sr Nts 19 27-Oct-10 Ba1 Baa3 BBB BBB 134.0BorgWarner 7.125% Sr Nts 29 27-Oct-10 Ba1 Baa3 BBB BBB 120.7October total 4,644.7
Union Carbide 7.75% Sr Nts 96 01-Nov-10 Ba1 Baa3 BBB- BBB- 200.0Union Carbide 7.875% Sr Nts 23 01-Nov-10 Ba1 Baa3 BBB- BBB- 175.0Union Carbide 7.5% Sr Nts 25 01-Nov-10 Ba1 Baa3 BBB- BBB- 150.0Union Carbide 6.79% Sr Nts 25 01-Nov-10 Ba1 Baa3 BBB- BBB- 11.9Mariner Energy 7 1/2% Nts 13 12-Nov-10 B3 B3 B+ A- 300.0Mariner Energy 11 3/4% Nts 17 12-Nov-10 B3 B3 B+ A- 300.0Mariner Energy 8% Nts 17 12-Nov-10 B3 B3 B+ A- 300.0November total 1,436.9
Total rising stars 32,736.4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A58
F
Source: J.P. Morgan.
Moody’s S&PIssuer Security Date Old New Old New Amount ($ mn)Windstream 7 3/4% Sr Nts 15 04-Feb-10 Baa3 Baa3 BBB- BB+ 400.0FirstEnergy 7 3/8% Nts 31 11-Feb-10 Baa3 Baa3 BBB- BB+ 1,500.0FirstEnergy 6.45% Nts 11 11-Feb-10 Baa3 Baa3 BBB- BB+ 250.0February total 2,150.0
Rockies Express 6.85% Sr Nts 18 12-Mar-10 Baa3 Ba1 BBB BBB 550.0Rockies Express 6.25% Sr Nts 13 12-Mar-10 Baa3 Ba1 BBB BBB 500.0Rockies Express 7.5% Sr Nts 38 12-Mar-10 Baa3 Ba1 BBB BBB 250.0March total 1,300.0
Phillips Van-Heusen 7. 3/4% Sr Sec Nts 23 10-May-10 Baa3 Ba2 BBB BBB 100.0Promise Co Ltd 5.95% Sr Nts 12 28-May-10 Baa2 Ba1 BBB- BBB- 500.0May total 600.0
Kerr-Mcgee Corp 6.95% Guar Nts 24 18-Jun-10 Baa3 Ba1 BBB- BBB- 650.0Kerr-Mcgee Corp 7.875% Guar Nts 31 18-Jun-10 Baa3 Ba1 BBB- BBB- 500.0Kerr-Mcgee Corp 6.875% Guar Nts 11 18-Jun-10 Baa3 Ba1 BBB- BBB- 284.7Kerr-Mcgee Corp 7.125% Guar Nts 27 18-Jun-10 Baa3 Ba1 BBB- BBB- 150.0Anadarko Petroleum Corp 0% Sr Nts 36 18-Jun-10 Baa3 Ba1 NR NR 2,360.0Anadarko Petroleum Corp 5.95% Sr Nts 16 18-Jun-10 Baa3 Ba1 BBB- BBB- 1,750.0Anadarko Petroleum Corp 6.45% Sr Nts 36 18-Jun-10 Baa3 Ba1 BBB- BBB- 1,750.0Anadarko Petroleum Corp 6.2% Sr Nts 40 18-Jun-10 Baa3 Ba1 BBB- BBB- 750.0Anadarko Petroleum Corp 8.7% Sr Nts 19 18-Jun-10 Baa3 Ba1 BBB- BBB- 600.0Anadarko Petroleum Corp 7.625% Sr Nts 14 18-Jun-10 Baa3 Ba1 BBB- BBB- 500.0Anadarko Petroleum Corp 7.95% Sr Nts 39 18-Jun-10 Baa3 Ba1 BBB- BBB- 325.0Anadarko Petroleum Corp 6.95% Sr Nts 19 18-Jun-10 Baa3 Ba1 BBB- BBB- 300.0Anadarko Petroleum Corp 5.75% Sr Nts 14 18-Jun-10 Baa3 Ba1 BBB- BBB- 275.0Anadarko Petroleum Corp 7.15% Sr Nts 28 18-Jun-10 Baa3 Ba1 BBB- BBB- 235.1Anadarko Petroleum Corp 7.2% Sr Nts 29 18-Jun-10 Baa3 Ba1 BBB- BBB- 135.0Anadarko Petroleum Corp 6.125% Sr Nts 12 18-Jun-10 Baa3 Ba1 BBB- BBB- 131.4Anadarko Petroleum Corp 7.95% Guar Nts 29 18-Jun-10 Baa3 Ba1 BBB- BBB- 117.3Anadarko Petroleum Corp 7.05% Sr Nts 18 18-Jun-10 Baa3 Ba1 BBB- BBB- 114.4Anadarko Petroleum Corp 7.5% Sr Nts 26 18-Jun-10 Baa3 Ba1 BBB- BBB- 111.9Anadarko Petroleum Corp 7.5% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 78.0Anadarko Petroleum Corp 7.73% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 60.5Anadarko Petroleum Corp 7% Sr Nts 27 18-Jun-10 Baa3 Ba1 BBB- BBB- 53.8Anadarko Petroleum Corp 7.25% Sr Nts 96 18-Jun-10 Baa3 Ba1 BBB- BBB- 48.8Anadarko Petroleum Corp 5% Sr Nts 12 18-Jun-10 Baa3 Ba1 BBB- BBB- 38.6Anadarko Petroleum Corp 6.625% Sr Nts 28 18-Jun-10 Baa3 Ba1 BBB- BBB- 17.2Anadarko Petroleum Corp 7.25% Sr Nts 25 18-Jun-10 Baa3 Ba1 BBB- BBB- 0.3Anadarko Finance Co 7.5% Guar Nts 31 18-Jun-10 Baa3 Ba1 BBB- BBB- 900.0Anadarko Finance Co 6.75% Guar Nts 11 18-Jun-10 Baa3 Ba1 BBB- BBB- 422.0Universal Health Services 7 1/8% Nts 16 25-Jun-10 Baa3 Baa3 BBB- BB+ 400.0Universal Health Services 6 3/4% Nts 11 25-Jun-10 Baa3 Baa3 BBB- BB+ 200.0June total 13,259.0
Seminole Tribe 5.798% Nts 13 02-Jul-10 Baa3 Ba1 BBB BBB 255.2QEP Resources 6.8% Sr Nts 18 02-Jul-10 Baa3 Ba1 BBB+ BB+ 450.0QEP Resources 6.8% Nts 20 02-Jul-10 Baa3 Ba1 BBB+ BB+ 300.0QEP Resources 6.05% Nts 16 02-Jul-10 Baa3 Ba1 BBB+ BB+ 250.0QEP Resources 7.5% Nts 11 02-Jul-10 Baa3 Ba1 BBB+ BB+ 150.0NGPL Pipeco 7 1/8% Sr Nts 17 29-Jul-10 Baa3 Ba1 BBB- BBB- 1,250.0
Fallen angels
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
F
A59
Source: J.P. Morgan.
Moody’s S&PIssuer Security Date Old New Old New Amount ($ mn)NGPL Pipeco 6.514% Sr Nts 12 29-Jul-10 Baa3 Ba1 BBB- BBB- 1,250.0NGPL Pipeco 7.768% Sr Nts 37 29-Jul-10 Baa3 Ba1 BBB- BBB- 500.0July total 4,405.2
Marshall & Iisley Corporation 4.85% Sub Nts 15 21-Oct-10 Baa1 Baa1 BBB- BB+ 350.0Marshall & Iisley Corporation 5.0% Sr Nts 17 21-Oct-10 Baa1 Baa1 BBB- BB+ 300.0Marshall & Iisley Corporation 6.375% Sub Nts 11 21-Oct-10 Baa1 Baa1 BBB- BB+ 277.7Marshall & Iisley Corporation 5.35% SR Nts 11 21-Oct-10 Baa1 Baa1 BBB- BB+ 250.0Marshall & Iisley Corporation 5.25% Sr Nts 12 21-Oct-10 Baa1 Baa1 BBB- BB+ 250.0Marshall & Iisley Corporation FRNs Sub Nts 12 21-Oct-10 Baa1 Baa1 BBB- BB+ 199.4October total 1,627.1
Union Planters 4.375% Sr Nts 10 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0Regions Financial Corp 7.75% Sr Nts 14 01-Nov-10 Baa3 Ba1 BBB- BBB- 700.0Regions Financial Corp 5.75% Sr Nts 15 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0Regions Financial Corp FRN Sr Nts 12 01-Nov-10 Baa3 Ba1 BBB- BBB- 350.0Regions Financial Corp 4.875% Sr Nts 13 01-Nov-10 Baa3 Ba1 BBB- BBB- 250.0Regions Bank 7.5% Sub Nts 18 01-Nov-10 Baa3 Ba1 BBB- BBB- 750.0Regions Bank 6.45% Sub Nts 37 01-Nov-10 Baa3 Ba1 BBB- BBB- 500.0AmSouth Bank 4.85% Sub Nts 13 01-Nov-10 Baa2 Ba1 BBB- BBB- 500.0AmSouth Bank 5.2% Sub Nts 15 01-Nov-10 Baa2 Ba1 BBB- BBB- 350.0Seminole Tribe 6.535% Nts 20 02-Nov-10 Baa3 Ba1 BBB- BBB- 280.0November total 4,680.0
Total fallen angels 28,021.2x
Fallen angels
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
G
A60
High-yield merger and acquisition activitySelected acquisitions targeting high-yield issuers
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry04-Jan-10 Boston Scientific Corp. Sonova Holding AG 489.0 Healthcare04-Jan-10 Starwood Hotels & Resorts Worldwide Steiner Leisure Ltd 100.0 Gaming Lodging and Leisure25-Jan-10 Teck Resources Ltd: Certain Assets Royal Gold Inc 269.6 Metals and Mining26-Jan-10 Chesapeake Energy Corp. Total SA 800.0 Energy27-Jan-10 Ticketmaster Entertainment Inc Live Nation Entertainment Inc 670.0 Gaming Lodging and Leisure28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite
January total 7,553.4
01-Feb-10 Life Technologies Corp Danaher Corp 450.0 Healthcare08-Feb-10 Affiliated Computer Services Inc Xerox Corp 7,891.0 Technology11-Feb-10 TXCO Resources Inc: Maverick basin Multiple acquirers 310.0 Energy12-Feb-10 Koosharem Corp. Atlas Acquisition Holdings Corp 248.5 Services15-Feb-10 Petroleum Geo-Services Geokinetics Inc 210.0 Energy18-Feb-10 Fontainebleau Las Vegas/Old Icahn Enterprises LP 148.0 Financial19-Feb-10 Terex Corp: Mining Eqpt. Business Bucyrus International Inc 1,300.0 Industrials22-Feb-10 Cemex SAB de CV: Certain Assets SPO Partners & Co 420.0 Housing
February total 10,977.4
15-Mar-10 AES Corp/The China Investment Corp 1,580.9 Utility18-Mar-10 Interstate Hotels & Resorts Inc Multiple acquirers 295.8 Gaming Lodging and Leisure19-Mar-10 Nortel Networks Corp: Opt. & Carrier Ciena Corp 744.0 Technology26-Mar-10 Chesapeake Energy Corp. Shale Statoil ASA 253.0 Energy29-Mar-10 ION Geophysical Corp. BGP Inc 175.0 Energy29-Mar-10 ION Geophysical Corp. BGP Inc 108.5 Energy31-Mar-10 El Paso Corp: Multiple Targets El Paso Pipeline Partners LP 810.0 Energy31-Mar-10 Range Resources Corp. Multiple acquirers 330.0 Energy
March total 4,297.2
01-Apr-10 Nortel Networks Corp: Multiple Targets Multiple acquirers 103.0 Technology05-Apr-10 Allied Capital Corp Ares Capital Corp 632.2 Financial09-Apr-10 Ally Financial: Interleasing Australia Ltd McMillan Shakespeare Ltd 190.9 Financial12-Apr-10 Chaparral Energy Inc CCMP Capital Advisors 345.0 Energy16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals26-Apr-10 Banco de Oro Unibank Inc International Finance Corp 150.0 Financial27-Apr-10 Sears Canada Inc Sears Holdings Corp 558.1 Retail30-Apr-10 Petrohawk Energy: West Edmond Unit Private Co 155.0 Energy30-Apr-10 Targa Resources Inc: Nat. Gas Targa Resources Partners LP 420.0 Energy
April total 6,840.7
03-May-10 El Paso Corp: Mexican Pipeline Sempra Energy 300.0 Energy03-May-10 Unisys Corp: Health Info.n Mgmt. Molina Healthcare Inc 135.0 Technology07-May-10 Tembec Inc: Multiple Targets Paper Excellence BV 134.7 Paper and Packaging12-May-10 Forest City Enterprises Inc: NJ Nets Onexim Group 200.0 Financial12-May-10 Petrohawk Energy Corp: Terryville Private Co. 320.0 Energy14-May-10 Cheniere Energy: Freeport LNG Multiple acquirers 104.0 Energy14-May-10 Denbury Resources Inc: Oil/Nat. Gas Quantum Resources Management 900.0 Energy19-May-10 Chesapeake Energy Corp Multiple acquirers 600.0 Energy21-May-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 110.0 Transportation21-May-10 Zenith National Insurance Corp Fairfax Financial Holdings Ltd 1,321.0 Financial24-May-10 Kerasotes Showplace Theatres AMC Entertainment Inc/OLD 275.0 Gaming Lodging and Leisure24-May-10 Petrohawk Energy Corp Kinder Morgan Energy Partners LP 875.0 Energy26-May-10 Regency Energy Partners LP Energy Transfer Equity LP 300.0 Energy
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A61
G
High-yield merger and acquisition activitySelected acquisitions targeting high-yield issuers
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry28-May-10 Hillman Cos Inc/The Oak Hill Capital Partners LP 815.0 Industrials28-May-10 Nortel Networks: Genband Inc 282.0 Telecommunications
May total 6,671.7
01-Jun-10 Dave & Buster's Inc Oak Hill Capital Partners LP 570.0 Food and Beverages01-Jun-10 Iowa Telecommunications Svcs. Inc Windstream Corp 1,129.3 Telecommunications08-Jun-10 Compton Petroleum Corp: Nat. Gas Multiple acquirers 143.2 Energy15-Jun-10 Vought Aircraft Industries Inc Triumph Group Inc 1,440.0 Industrials17-Jun-10 Styron Corp Bain Capital 1,630.0 Chemicals28-Jun-10 iStar Financial Inc: Land & Building Dividend Capital Total Realty Trust Inc 1,300.0 Financial29-Jun-10 Nortel Networks Corp: LG-Nortel Telefonaktiebolaget LM Ericsson 242.0 Technology30-Jun-10 El Paso Corp: Southern Nat. Gas Co El Paso Pipeline Partners LP 394.0 Energy
June total 6,848.5
01-Jul-10 Brinker International Golden Gate Capital Corp 180.0 Food and Beverages01-Jul-10 QEP Resources Inc Shareholders 5,398.1 Energy02-Jul-10 infoGROUP Inc CCMP Capital Advisors 636.3 Technology02-Jul-10 Palm Inc Hewlett-Packard Co 772.3 Technology13-Jul-10 Atlantic Marine Holding Co BAE Systems PLC 352.0 Services13-Jul-10 CKE Restaurants Inc Apollo Global Management 1,009.5 Food and Beverages21-Jul-10 Copano Energy TPG Capital 300.0 Energy23-Jul-10 Credit Acceptance Corp Shareholders 200.0 Financial26-Jul-10 SonicWALL Inc Multiple acquirers 484.9 Technology29-Jul-10 Vertafore Inc TPG Capital 1,400.0 Technology30-Jul-10 Interactive Data Corp Multiple acquirers 2,996.2 Services30-Jul-10 LNR Property Corp Investor Group 417.0 Financial
July total 14,146.3
02-Aug-10 Delta Petroleum Corp: Certain Assets Wapiti Energy 130.0 Energy02-Aug-10 Ford Motor Co: Volvo Car Corp Zhejiang Geely Holding Group Co Ltd 1,800.0 Automotive03-Aug-10 Ball Corp: Plastic packaging business Amcor Ltd/Australia 265.0 Paper and Packaging03-Aug-10 Fidelity National Info. Services Inc Shareholders 2,500.0 Financial05-Aug-10 inVentiv Health Inc Thomas H Lee Partners LP 1,092.8 Healthcare19-Aug-10 General Growth Properties Inc Multiple acquirers 3,925.0 Financial20-Aug-10 Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc 577.4 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc 100.0 Healthcare25-Aug-10 Casey's General Stores Inc Shareholders 500.0 Financial25-Aug-10 Targa Resources Inc: Versado Gas Targa Resources Partners LP 230.0 Energy26-Aug-10 Fibertech Networks Court Square Capital Partners LP 500.0 Telecommunications27-Aug-10 RCN Corp Abry Partners 1,192.3 Cable and Satellite31-Aug-10 Pacific Capital Bancorp NA Ford Financial Fund LP 500.0 Financial31-Aug-10 Spansion Inc/Old: Wafer Mfg. Plant Texas Instruments Inc 130.0 Technology
August total 13,442.4
01-Sep-10 Gerdau Ameristeel Corp Gerdau SA 1,607.1 Metals and Mining03-Sep-10 Cosan SA Industria e Comercio Multiple acquirers 225.4 Food and Beverages17-Sep-10 Elk City Gathering and Processing Enbridge Energy Partners LP 682.0 Services28-Sep-10 Targa Resources Investments Inc Targa Resources Partners LP 167.5 Energy28-Sep-10 Valeant Pharmaceuticals Int’l. Valeant Pharmaceuticals International Inc 2,433.5 Healthcare29-Sep-10 Petrohawk Energy EV Energy Partner LP 123.0 Energy30-Sep-10 Ames True Temper Inc Griffon Corp 542.0 Consumer Products30-Sep-10 EVERTEC Inc Apollo Global Management 595.0 Technology
September total 6,375.4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A62
G
High-yield merger and acquisition activitySelected acquisitions targeting high-yield issuers
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry01-Oct-10 Continental Airlines Inc. United Continental Holdings Inc 3,185.6 Transportation01-Oct-10 General Motors Financial Co Inc General Motors Co 3,306.5 Automotive01-Oct-10 Key Energy Services Inc. Patterson-UTI Energy Inc 238.0 Energy01-Oct-10 NBTY Inc. Carlyle Group/The 3,812.0 Retail01-Oct-10 Quicksilver Resources Inc. First Reserve Corp 701.0 Energy07-Oct-10 Landry's Restaurants Inc. Management Group 177.6 Food and Beverages18-Oct-10 Teekay Corp: Multiple Targets Teekay Offshore Partners LP 286.0 Paper and Packaging18-Oct-10 Teekay Corp: Multiple Targets Teekay LNG Partners LP 160.0 Paper and Packaging20-Oct-10 Burger King Holdings Inc 3G Capital Inc 3,933.9 Food and Beverages22-Oct-10 Canon Communications United Business Media Ltd 287.0 Diversified Media28-Oct-10 Intergraph Corp. Hexagon AB 2,125.0 Technology28-Oct-10 Scholastic Corp. Shareholders 150.0 Financial
October total 18,362.7
08-Nov-10 Antero Resources Corp. Multiple acquirers 268.0 Energy08-Nov-10 Silgan Holdings Inc. Shareholders 175.0 Financial10-Nov-10 CB Richard Ellis Group Private Investor 255.0 Financial11-Nov-10 Mariner Energy Inc. Apache Corp 3,801.5 Energy15-Nov-10 CB Richard Ellis Group AOL Inc 144.5 Financial15-Nov-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 176.9 Transportation16-Nov-10 Broadlane Group Inc. MedAssets Inc 850.0 Healthcare16-Nov-10 Chesapeake Energy Corp. CNOOC Ltd 1,080.0 Energy16-Nov-10 Psychiatric Solutions Inc Universal Health Services Inc 3,114.4 Healthcare16-Nov-10 Sun Healthcare Group Inc Shareholders 277.8 Healthcare24-Nov-10 Bowne & Co Inc. RR Donnelley & Sons Co 451.4 Technology24-Nov-10 Gymboree Corp. Bain Capital 1,673.3 Retail
November total 12,267.7
Total acquisitions of high-yield issuers 107,783.4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A63
G
High-yield merger and acquisition activitySelected acquisitions by high-yield issuers
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry05-Jan-10 Seara Alimentos SA Marfrig Alimentos SA 899.0 Food and Beverages05-Jan-10 Substantially all assets Mariner Energy Inc 215.0 Energy07-Jan-10 Wolfberry trend in Permian Basin Concho Resources Inc/Midland TX 213.0 Energy12-Jan-10 Segovia Inc Inmarsat PLC 110.0 Cable and Satellite19-Jan-10 Sensor Technologies Inc/NJ Mantech International Corp 242.0 Industrials20-Jan-10 VTR GlobalCom SA Liberty Global Inc 167.0 Cable and Satellite27-Jan-10 Ticketmaster Entertainment Inc Live Nation Entertainment Inc 670.0 Gaming Lodging and Leisure28-Jan-10 Unitymedia GmbH Liberty Global Inc 5,224.8 Cable and Satellite29-Jan-10 i2 Technologies Inc JDA Software Group Inc 225.8 Technology29-Jan-10 Oil & Natural Gas properties/Permian Linn Energy 154.5 Energy31-Jan-10 40 Long Term Care Facilities Omega Healthcare Investors Inc 244.0 Healthcare
January total 8,365.1
01-Feb-10 Montenay International Covanta Holding Corp 626.9 Services08-Feb-10 Standard Diagnostics Inc Alere Inc 155.9 Healthcare08-Feb-10 Mandra Forestry Finance Ltd Sino-Forest Corp 185.4 Paper and Packaging08-Feb-10 NuVox Inc Windstream Corp 646.8 Telecommunications11-Feb-10 two real estate portfolios Lennar Corp 243.0 Housing12-Feb-10 Concert Industries Corp PH Glatfelter Co 237.5 Paper and Packaging17-Feb-10 Kroll Laboratory Specialists Inc Alere Inc 110.0 Healthcare18-Feb-10 Fontainebleau Las Vegas/Old Icahn Enterprises LP 148.0 Financial19-Feb-10 Terex Corp: Mining Equipment Bus. Bucyrus International Inc 1,300.0 Industrials22-Feb-10 Mimosa Systems Inc Iron Mountain Inc 112.0 Services
February total 3,765.5
02-Mar-10 Sturm Foods Inc TreeHouse Foods Inc 660.0 Food and Beverages10-Mar-10 Encore Acquisition Co Denbury Resources Inc 4,062.2 Energy25-Mar-10 Critical Homecare Solutions Holdings Inc BioScrip Inc 350.9 Healthcare31-Mar-10 Wolfberry Oil Assets Berry Petroleum Co 126.0 Energy31-Mar-10 El Paso Corp: Multiple Targets El Paso Pipeline Partners LP 810.0 Energy31-Mar-10 Clearwire Corp Sprint Nextel Corp 1,176.0 Telecommunications
March total 7,185.1
01-Apr-10 Sunoco Chemicals Inc Braskem SA 350.0 Chemicals05-Apr-10 Allied Capital Corp Ares Capital Corp 632.2 Financial06-Apr-10 Mapa Spontex Baby Care and Home Care Jarden Corp 500.0 Consumer Products12-Apr-10 Blackhawk Industries Products Group Unlimited Alliant Techsystems Inc 172.3 Industrials16-Apr-10 Terra Industries Inc CF Industries Holdings Inc 4,286.5 Chemicals19-Apr-10 Cumberland Resources Corp Massey Energy Co 939.0 Metals and Mining20-Apr-10 BTV Group Central European Media Ent. Ltd 400.0 Broadcasting23-Apr-10 Fares CoreLogic Inc 313.8 Services27-Apr-10 Sears Canada Inc Sears Holdings Corp 558.1 Retail28-Apr-10 Techwell Inc Intersil Corp 364.7 Technology29-Apr-10 AMICAS Inc Merge Healthcare Inc 189.7 Healthcare30-Apr-10 Appalachian E&P Business Consol Energy Inc 3,475.0 Metals and Mining30-Apr-10 Maryland Jockey Club of Baltimore City Inc/The MI Developments Inc 113.0 Financial30-Apr-10 Keystone North America Inc Service Corp International/US 261.4 Services30-Apr-10 Targa Resources Inc: Nat. Gas Businesses Targa Resources Partners LP 420.0 Energy30-Apr-10 Multiple Targets W&T Offshore Inc 150.0 Energy
April total 13,125.7
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
G
A64
High-yield merger and acquisition activitySelected acquisitions by high-yield issuers
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry04-May-10 Switch & Data Facilities Co. Inc. Equinix Inc 855.8 Technology04-May-10 Dakota Growers Pasta Co. Inc. Viterra Inc 196.8 Food and Beverages06-May-10 Tommy Hilfiger Corp. Phillips-Van Heusen Corp 3,144.6 Consumer Products11-May-10 Lake Arlington project Quicksilver Resources Inc 116.3 Energy12-May-10 Diedrich Coffee Inc Green Mountain Coffee Roasters Inc 212.4 Food and Beverages14-May-10 Meridian Resource Corp/The Alta Mesa Holdings LP 126.2 Energy21-May-10 Zenith National Insurance Corp. Fairfax Financial Holdings Ltd 1,321.0 Financial21-May-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 110.0 Transportation24-May-10 Kerasotes Showplace Theatres AMC Entertainment Inc/OLD 275.0 Gaming Lodging and Leisure26-May-10 Regency Energy Partners LP Energy Transfer Equity LP 300.0 Energy27-May-10 oil and gass assets/Permian basin Linn Energy 305.0 Energy27-May-10 Aton Pharma Inc. Valeant Pharmaceuticals International 318.0 Healthcare28-May-10 Nortel Networks: Carrier VoIP Genband Inc 282.0 Telecommunications30-May-10 Friendship Dairies Dean Foods Co 130.0 Food and Beverages
May total 7,693.0
01-Jun-10 CNX Gas Corp. Consol Energy Inc 963.3 Metals and Mining01-Jun-10 Etimex Solar GmbH Solutia Inc 324.9 Chemicals01-Jun-10 Delta PLC Valmont Industries Inc 227.1 Industrials01-Jun-10 Iowa Telecom. Services Inc. Windstream Corp 1,129.3 Telecommunications02-Jun-10 Stuart Weitzman Holdings Jones Group Inc/The 180.0 Cable and Satellite02-Jun-10 Riskmetrics Group Inc. MSCI Inc 1,578.0 Technology02-Jun-10 Coal Bed Methane Operations Walter Energy Inc 210.0 Metals and Mining04-Jun-10 Dialysis Corp Of America US Renal Care Inc 113.1 Healthcare11-Jun-10 CyrusOne Cincinnati Bell Inc 525.0 Telecommunications14-Jun-10 Gichner Holdings Inc. Kratos Defense & Security Solutions Inc 133.0 Industrials14-Jun-10 Zynga Game Network Inc. Softbank Corp 147.1 Telecommunications15-Jun-10 Keystone Foods Marfrig Alimentos SA 1,260.0 Food and Beverages15-Jun-10 Vought Aircraft Industries Inc. Triumph Group Inc 1,440.0 Industrials16-Jun-10 Fusepoint Inc. SAVVIS Inc 124.5 Telecommunications16-Jun-10 Russell Hobbs Inc. Spectrum Brands Holdings Inc 675.0 Consumer Products29-Jun-10 40 Long Term Care Fac. 2nd Tranch Omega Healthcare Investors Inc 535.0 Healthcare30-Jun-10 El Paso Corp: Southern Nat. Gas Co El Paso Pipeline Partners LP 394.0 Energy30-Jun-10 Haynesville & Bossier Shale Prop. EXCO Resources Inc 355.0 Energy30-Jun-10 Lions Gate Entertainment Corp. Icahn Enterprises LP 124.1 Financial
June total 10,438.4
01-Jul-10 Conectiv Energy Fleet Calpine Corp 1,630.0 Utility01-Jul-10 Verizon Comm: 4.8 million access lines Frontier Communications Corp 8,244.8 Telecommunications06-Jul-10 Waste Services Inc. IESI-BFC Ltd 734.2 Services06-Jul-10 World Color Press Inc. Quad/Graphics Inc 1,144.8 Diversified Media13-Jul-10 HealthTronics Inc. Endo Pharmaceuticals Holdings Inc 261.2 Healthcare16-Jul-10 Valbart Srl Flowserve Corp 200.0 Industrials19-Jul-10 Arena Resources Inc. SandRidge Energy Inc 1,563.6 Energy23-Jul-10 Credit Acceptance Corp. Shareholders 200.0 Financial
July total 13,978.5
12-Aug-10 Premier Power Ltd. AES Corp/The 154.9 Utility13-Aug-10 Cornell Cos Inc. Geo Group Inc/The 681.5 Services17-Aug-10 Cliffstar Corp. Cott Corp 500.0 Food and Beverages
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A65
G
Sources: J.P. Morgan; Bloomberg.
Date TransactionAnnounced Target Acquirer Size ($ mn) Industry18-Aug-10 Odyssey HealthCare Inc. Gentiva Health Services Inc. 890.8 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc. Allscripts Healthcare Solutions Inc. 577.4 Healthcare20-Aug-10 Allscripts Healthcare Solutions Inc. Allscripts Healthcare Solutions Inc. 100.0 Healthcare25-Aug-10 Eclipsys Corp. Allscripts Healthcare Solutions Inc. 1,242.6 Healthcare25-Aug-10 Casey's General Stores Inc. Shareholders 500.0 Financial25-Aug-10 Targa Resources Inc: Versado Gas Targa Resources Partners LP 230.0 Energy31-Aug-10 Westin Chicago River North Hotel Host Hotels & Resorts Inc. 165.0 Gaming Lodging and Leisure
August total 5,042.2
01-Sep-10 Gerdau Ameristeel Corp. Gerdau SA 1,607.1 Metals and Mining01-Sep-10 Sumner Regional Health Systems Inc. LifePoint Hospitals Inc. 145.0 Healthcare01-Sep-10 HomEq Servicing Corp. Ocwen Financial Corp. 1,300.0 Financial01-Sep-10 Cia Industrial de Vidros Owens-Illinois Inc. 603.0 Paper and Packaging01-Sep-10 Zephyr Gas Services LP Regency Energy Partners LP 185.0 Energy01-Sep-10 Regency Hospital Co Select Medical Holdings Corp 210.0 Healthcare07-Sep-10 Bioniche Pharma Holdings Ltd. Mylan Inc/PA 550.0 Healthcare08-Sep-10 NewPath Networks Inc Crown Castle International Corp 115.0 Telecommunications10-Sep-10 Scott Wilson Group PLC URS Corp 347.8 Services19-Sep-10 Gulf Insurance Co KSC Fairfax Financial Holdings Ltd 208.6 Financial28-Sep-10 Targa Resources Investments Targa Resources Partners LP 167.5 Energy
September total 5,438.9
01-Oct-10 General Motors Financial Co. Inc. General Motors Co 3,306.5 Automotive01-Oct-10 Continental Airlines Inc. United Continental Holdings Inc 3,185.6 Transportation04-Oct-10 Ion Torrent Systems Inc. Life Technologies Corp 375.0 Healthcare14-Oct-10 Tres Palacios Gas Storage Inergy LP 735.0 Energy15-Oct-10 Sunflower Broadband Knology Inc 165.0 Cable and Satellite22-Oct-10 Tamco Steel Inc. Gerdau SA 165.0 Metals and Mining28-Oct-10 Scholastic Corp. Shareholders 150.0 Financial28-Oct-10 ST Specialty Foods Inc. TreeHouse Foods Inc 180.0 Food and Beverages
October total 8,262.2
01-Nov-10 Gearco Inc. Hanesbrands Inc 225.0 Consumer Products03-Nov-10 Actel Corp. Microsemi Corp 407.4 Technology05-Nov-10 Penwest Pharmaceuticals Co. Endo Pharmaceuticals Holdings Inc 146.7 Healthcare05-Nov-10 Green Mountain Energy Co. NRG Energy Inc 350.0 Utility08-Nov-10 Inergy Holdings LP Inergy LP 3,222.0 Energy08-Nov-10 Silgan Holdings Inc. Shareholders 175.0 Financial15-Nov-10 Navios Maritime Holdings Inc. Navios Maritime Partners LP 176.9 Transportation15-Nov-10 Cottonwood Generating Station NRG Energy Inc. 525.0 Utility16-Nov-10 Certain Assets Concho Resources Inc/Midland TX 285.0 Energy16-Nov-10 Certain Assets Lennar Corp. 310.0 Housing16-Nov-10 Certain Assets Linn Energy 330.0 Energy16-Nov-10 Broadlane Group Inc./The MedAssets Inc. 850.0 Healthcare16-Nov-10 Certain Assets Plains Exploration & Production Co. 578.0 Energy16-Nov-10 Psychiatric Solutions Inc. Universal Health Services Inc. 3,114.4 Healthcare23-Nov-10 Cameron Highway Oil Pipeline Genesis Energy LP 330.0 Energy
November total 11,025.4
Total acquisitions by high-yield issuers 94,319.9
High-yield merger and acquisition activitySelected acquisitions targeting high-yield issuers
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A66
H
Source: J.P. Morgan.
Date Issuer Amount ($ mn) Industry6-Jan-10 Beazer Homes USA Inc 89.7 Housing11-Jan-10 Associated Banc-Corp 434.9 Financial13-Jan-10 El Paso Pipeline Partners LP 214.2 Energy13-Jan-10 Targa Resources Partners LP 127.3 Energy14-Jan-10 Berry Petroleum Co 234.0 Energy20-Jan-10 Cinemark Holdings Inc 109.1 Gaming Lodging and Leisure20-Jan-10 Inergy LP 181.3 Energy21-Jan-10 Cellu Tissue Holdings Inc 107.9 Paper and Packaging21-Jan-10 Centene Corp 96.3 Healthcare21-Jan-10 Vantage Drilling Co 44.7 Energy26-Jan-10 Concho Resources Inc/Midland TX 198.8 Energy28-Jan-10 Avago Technologies Ltd 435.3 Technology
January total 2,273.3
3-Feb-10 Martin Midstream Partners LP 53.4 Energy3-Feb-10 Navios Maritime Partners LP 54.3 Transportation3-Feb-10 Penske Automotive Group Inc 72.5 Automotive9-Feb-10 Developers Diversified Realty Corp 304.3 Financial10-Feb-10 Graham Packaging Co Inc 166.7 Paper and Packaging23-Feb-10 TreeHouse Foods Inc 101.1 Food and Beverages23-Feb-10 Wilmington Trust Corp 250.1 Financial24-Feb-10 Owens Corning 291.2 Housing25-Feb-10 ArvinMeritor Inc 182.2 Automotive
February total 1,475.7
1-Mar-10 TRW Automotive Holdings Corp 291.5 Automotive3-Mar-10 Copano Energy LLC 149.6 Energy5-Mar-10 Conexant Systems Inc 56.0 Technology5-Mar-10 Overseas Shipholding Group Inc 159.3 Transportation9-Mar-10 Susquehanna Bancshares Inc 300.0 Financial10-Mar-10 Sensata Technologies Holding NV 568.8 Industrials11-Mar-10 Aircastle Ltd 35.0 Financial11-Mar-10 Cinemark Holdings Inc 169.8 Gaming Lodging and Leisure11-Mar-10 International Coal Group Inc 100.0 Metals and Mining16-Mar-10 Genesis Energy LP 128.1 Energy17-Mar-10 Lazard Ltd 287.2 Financial17-Mar-10 Teekay Offshore Partners LP 85.7 Transportation18-Mar-10 Commercial Vehicle Group Inc 23.8 Industrials23-Mar-10 Linn Energy LLC 375.0 Energy23-Mar-10 Massey Energy Co 422.9 Metals and Mining25-Mar-10 Consol Energy Inc 1,636.3 Metals and Mining25-Mar-10 Viasat Inc 201.0 Cable and Satellite30-Mar-10 Cardtronics Inc 84.0 Services30-Mar-10 SS&C Technologies Holdings Inc 160.9 Technology31-Mar-10 MarkWest Energy Partners LP 129.3 Energy31-Mar-10 Omega Healthcare Investors Inc 33.3 Healthcare
March total 5,397.4
6-Apr-10 Teekay Tankers Ltd 94.3 Transportation7-Apr-10 Brigham Exploration Co 252.0 Energy8-Apr-10 Metals USA Holdings Corp 240.0 Metals and Mining9-Apr-10 Carrizo Oil & Gas Inc 65.8 Energy9-Apr-10 Targa Resources Partners LP 233.8 Energy
High-yield equity issuance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A67
H
Source: J.P. Morgan.
Date Issuer Amount ($ mn) Industry14-Apr-10 Dollar General Corp 702.0 Retail14-Apr-10 Popular Inc 1,000.0 Financial15-Apr-10 CF Industries Holdings Inc 1,000.0 Chemicals21-Apr-10 Global Geophysical Services Inc 90.0 Energy21-Apr-10 MGIC Investment Corp 700.0 Financial22-Apr-10 Phillips-Van Heusen Corp 332.5 Consumer Products26-Apr-10 PMI Group Inc/The 478.3 Financial28-Apr-10 Kansas City Southern 195.7 Transportation28-Apr-10 Synovus Financial Corp 701.3 Financial29-Apr-10 E*Trade Financial Corp 301.0 Financial30-Apr-10 Navios Maritime Partners LP 80.3 Transportation
April total 6,466.8
4-May-10 Beazer Homes USA Inc 72.6 Housing4-May-10 Kinder Morgan Energy Partners LP 430.6 Energy5-May-10 Radian Group Inc 550.0 Financial6-May-10 Entertainment Properties Trust 147.6 Financial6-May-10 Greenbrier Cos Inc 50.0 Industrials11-May-10 Niska Gas Storage Partners LLC 358.8 Energy12-May-10 DuPont Fabros Technology Inc 276.0 Technology12-May-10 Express Inc 272.0 Retail13-May-10 Noranda Aluminum Holding Corp 80.0 Metals and Mining19-May-10 Vitamin Shoppe Inc 146.6 Retail
May total 2,384.2
9-Jun-10 CenterPoint Energy Inc 283.8 Utility16-Jun-10 FelCor Lodging Trust Inc 151.3 Gaming Lodging and Leisure17-Jun-10 General Maritime Corp 206.6 Transportation18-Jun-10 El Paso Pipeline Partners LP 288.0 Energy
June total 929.6
26-Jul-10 Vantage Drilling Co 50.0 EnergyJuly total 50.0
3-Aug-10 Lazard Ltd 225.6 Financial10-Aug-10 Targa Resources Partners LP 161.2 Energy11-Aug-10 Regency Energy Partners LP 363.0 Energy12-Aug-10 Libbey Inc 39.2 Consumer Products12-Aug-10 Martin Midstream Partners LP 29.1 Energy13-Aug-10 Avago Technologies Ltd 304.1 Technology13-Aug-10 Sabra Healthcare REIT Inc 207.3 Healthcare17-Aug-10 Teekay Offshore Partners LP 116.3 Transportation18-Aug-10 Cardtronics Inc 98.0 Services19-Aug-10 Aircastle Ltd 32.8 Financial19-Aug-10 Western Alliance Bancorp 43.8 Financial
August total 1,620.4
8-Sep-10 Inergy LP 364.9 Energy10-Sep-10 TRW Automotive Holdings Corp 282.4 Automotive15-Sep-10 DigitalGlobe Inc 181.5 Cable and Satellite15-Sep-10 El Paso Pipeline Partners LP 367.4 Energy16-Sep-10 Stonemor Partners LP 36.0 Services23-Sep-10 Kraton Performance Polymers Inc 212.0 Chemicals
September total 1,444.3
High-yield equity issuance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A68
HSource: J.P. Morgan.
Date Issuer Amount ($ mn) Industry1-Oct-10 Teekay Tankers Ltd 99.6 Transportation6-Oct-10 Kratos Defense & Security Solutions Inc 23.5 Industrials8-Oct-10 Navios Maritime Partners LP 97.1 Transportation13-Oct-10 MGM Resorts International 868.8 Gaming Lodging and Leisure14-Oct-10 Tower International Inc 81.3 Automotive28-Oct-10 Energy XXI Bermuda Ltd 249.0 Energy
October total 1,419.2
1-Nov-10 Lazard Ltd 107.9 Financial2-Nov-10 Stoneridge Inc 95.1 Automotive3-Nov-10 Spansion Inc 114.8 Technology4-Nov-10 Genesis Energy LP 106.1 Energy9-Nov-10 Cinemark Holdings Inc 179.5 Gaming Lodging and Leisure11-Nov-10 Swift Energy Co 137.3 Energy12-Nov-10 Sensata Technologies Holding NV 482.0 Industrials15-Nov-10 General Growth Properties Inc 1,991.3 Financial16-Nov-10 El Paso Pipeline Partners LP 351.2 Energy16-Nov-10 Navios Maritime Acquisition Corp 35.8 Transportation16-Nov-10 TRW Automotive Holdings Corp 485.0 Automotive18-Nov-10 General Motors Co 15,774.0 Automotive18-Nov-10 Aeroflex Holding Corp 232.9 Technology18-Nov-10 Petroleum Development Corp 115.2 Energy19-Nov-10 CVR Energy Inc 193.5 Energy23-Nov-10 Tutor Perini Corp 87.8 Industrials
November total 20,489.2
Total high-yield equity issuance 43,949.9
High-yield equity issuance
I
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A69
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)01-Jan-10 BlockBuster Inc 11 3/4% Sr Sec Nts 14 22.504-Jan-10 Massey Energy 6 5/8% Nts 10 21.904-Jan-10 Riddell Sports 8.375% Sr Sub Nts 12 140.005-Jan-10 Warnaco 8.875% Sr Nts 13 50.008-Jan-10 Norcraft Companies/Finance 9% Sr Sub Nts 11 148.014-Jan-10 Galaxy Entertainment FRNs 10 136.115-Jan-10 Intcomex Inc 11 3/4% Sr Sec Nts 11 16.515-Jan-10 Viasystems 10 1/2% Guar Nts 11 105.920-Jan-10 Host Hotels & Resorts 7% Sr Nts 12 346.020-Jan-10 Host Marriott 7% Nts 12 350.020-Jan-10 Viskase 11 1/2% Nts 11 90.020-Jan-10 Vitamin Shoppe Industries FRNs 12 64.921-Jan-10 Alliance Imaging 7 1/4% Nts 12 5.622-Jan-10 Beazer Homes USA 8 5/8% Nts 11 127.325-Jan-10 Team Health 11 1/4% Nts 13 136.927-Jan-10 Forest Oil 7 3/4% Nts 14 150.027-Jan-10 Payless Shoesource 8 1/4% Nts 13 24.028-Jan-10 Trimas Corp 9 7/8% Sr Nts 12 256.130-Jan-10 Icahn Enterprises 8 1/8% Nts 12 350.8
January total 2,542.7
01-Feb-10 City Telecom 8.750% Sr Nts 15 21.401-Feb-10 Cott Beverages 8.000% Nts 11 11.201-Feb-10 Cott Beverages 8% Nts 11 11.201-Feb-10 Warner Chilcott 8 3/4% Nts 15 390.005-Feb-10 B&G Foods 8% nts 11 238.905-Feb-10 B&G Foods 12% Sr Nts 16 46.909-Feb-10 Stone Energy 8 1/4% Nts 11 200.011-Feb-10 Vanguard Health Systems 11 1/4% Sr Sub Disc Nts 15 4.111-Feb-10 Vanguard Health Systems 9% Sr Sub Nts 14 20.612-Feb-10 Team Health 11 1/4% Nts 13 20.612-Feb-10 Team Health 11.250% Sr Sub Nts 13 20.615-Feb-10 Eye Care Centers of America 10.75% Sr Sub Nts 15 152.015-Feb-10 Icahn Enterprises 7.125% Sr Nts 13 980.015-Feb-10 LaBranche & Co 11% Sr Nts 12 189.316-Feb-10 Ply Gem Industries 9% Sr Sub Nts 12 360.016-Feb-10 QWest Communications International 7.25% Sr Nts 12 522.616-Feb-10 United Rentals 6.5% Sr Nts 12 435.019-Feb-10 Star Gas Partners 10.250% Sr Nts 13 50.019-Feb-10 Star Gas Partners 10.250% Sr Nts 13 4.623-Feb-10 Hornbeck Offshore Services 8.000% Sr Nts 17 250.025-Feb-10 B&G Foods 12% Sr Nts 16 22.625-Feb-10 Constellation Brands 8.125% Sr Sub Nts 12 250.0
February total 4,201.6
01-Mar-10 Jo-Ann Stores 7.500% Sr Sub Nts 12 50.502-Mar-10 Celestica International 7.625% Sr Sub Nts 13 223.102-Mar-10 IESY Repository 10.375% Sr Sec Nts 15 151.008-Mar-10 Building Materials 7.750% Sec Nts (2nd Lien) 14 250.008-Mar-10 Entercom Radio 7.625% Sr Sub Nts 14 11.008-Mar-10 Interface 9.500% Sr Sub Nts 14 25.008-Mar-10 Interface Inc 9 1/2% Guar Nts 14 25.011-Mar-10 Chattem 7.000% Sr Sub Nts 14 90.215-Mar-10 Evergreen Resources Inc 5 7/8% Sr Nts 12 6.1
High-yield calls
I
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A70
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)15-Mar-10 Level 3 Communications 12 1/4% Guar Nts 13 3.115-Mar-10 Waterford Gaming 8.625% Sr Nts 14 10.916-Mar-10 Sealy Mattress 10 7/8% Sr Sec Nts 16 35.019-Mar-10 Flextronics International 6.5% Sr Sub Nts 13 299.822-Mar-10 Coleman Cable 9.875% Sr Nts 12 25.626-Mar-10 Chinese Future Corp 12% Nts 15 225.026-Mar-10 USF Corp 8 1/2% Guar Nts 10 45.030-Mar-10 Gregg Appliances Inc 9% Sr Nts 13 3.431-Mar-10 Time Warner 9 1/4% Guar Nts 14 33.5
March total 1,513.1
01-Apr-10 Blockbuster 11 3/4% Nts 14 22.501-Apr-10 Dole Food 8.875% Sr Nts 11 70.001-Apr-10 Freeport-McMoRan Copper & Gold FRNs 15 1,000.007-Apr-10 Eco-Bat 10.125% Sr Vds 13 58.814-Apr-10 Cincinnati Bell Inc 8 3/8% Guar Nts 14 582.115-Apr-10 Innophos 9.5% Sr Nts 12 56.016-Apr-10 Sirius XM Radio 9 5/8% Sr Unsec Nts 13 500.019-Apr-10 Buckeye Technologies 8.500% Sr Nts13 25.021-Apr-10 Ball Corp 6 7/8% Sr Nts 12 509.021-Apr-10 Central Garden & Pet 9 1/8% Sr Nts 13 150.021-Apr-10 Parker Drilling 9 5/8% Sr Nts 13 225.022-Apr-10 Group 1 Automotive 8.25% Sr Sub Nts 13 74.622-Apr-10 Suburban Propane Partners 6.875% Sr Nts 13 47.426-Apr-10 First Industrial LP 7.375% Sr Nts 11 70.827-Apr-10 Denbury Resources 8 1/4% Sr Nts 20 3.728-Apr-10 North Amer Energy Partnr 8 3/4% Sr Nts 11 200.029-Apr-10 Stena 7.5% Sr Nts 13 152.8
April total 3,747.6
01-May-10 Sensata Technologies 8.000% Sr Nts 14 138.803-May-10 Global Cash Access 8.750% Sr Sub Nts12 25.007-May-10 Amr Holdco/Emcare Holdco 10% Sr Sub Nts 15 250.010-May-10 Duane Reade 11 3/4% Nts 15 300.010-May-10 Duane Reade 9 3/4% Nts 11 51.713-May-10 Meritage Corporation 7% Nts 14 21.915-May-10 AES Corp 8 3/4% Nts 13 400.015-May-10 Paiton Energy Funding 9.340% Guar Nts 14 128.317-May-10 Da-Lite Screen Co Inc 9 1/2% Sr Nts 11 98.017-May-10 Senior Housing Props Tr 7 7/8% Sr Nts 15 97.517-May-10 Terra Capital 7 3/4% Nts 19 600.020-May-10 Beazer Homes USA 8 3/8% Sr Nts 12 303.620-May-10 Harrahs Operating 8% Sr Nts 11 13.220-May-10 Harrahs Operating 5 1/2% Sr Nts 10 224.020-May-10 Park Place Entertainment 8.125% Sr Sub Nts11 12.021-May-10 Vitamin Shoppe Industries FRNs 12 25.022-May-10 Mastellone Hermanos Sa 8% Sr Sec Nts 12 169.124-May-10 Galaxy Entertainment Fin 9 7/8% Sr Guar Nts 12 293.724-May-10 Newfield Exploration 7.625% Sr Nts 11 32.024-May-10 SS&C Technologies Inc 11 3/4% Sr Nts 13 71.825-May-10 Levi Strauss 9 3/4% Nts 15 30.725-May-10 Ryland Group 5.375% Sr Nts 12 198.827-May-10 International Wire Group 10% Sr Sec Nts 11 75.0
High-yield calls
I
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A71
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)27-May-10 Susser Holdings & Financ 10 5/8% Sr Nts 13 300.028-May-10 Charter Communications 8.375% Sr Sec Nts (2nd) 14 89.028-May-10 Charter Communications 8.75% Sr Nts 13 59.228-May-10 Standard Pacific Corp 7 3/4% Sr Nts 13 90.031-May-10 Telcordia Technologies 10% Sr Sub Nts 13 6.7
May total 4,104.8
01-Jun-10 Salem Communications 9.625% Sr Sec Nts (2nd Lien)16 17.501-Jun-10 Securus Technologies Inc 11% Sr Sec Nts 11 154.001-Jun-10 XM Satellite Radio 10% Sr Nts 11 113.702-Jun-10 Standard Pacific 6.875% Sr Nts 11 48.603-Jun-10 Amkor Technologies 7.750% Sr Nts 13 358.203-Jun-10 Amkor Technologies 7.125% Sr Nts 11 53.603-Jun-10 Standard Pacific Corp 7 3/4% Sr Nts 13 31.603-Jun-10 Standard Pacific Corp 7 3/4% Sr Nts 13 31.604-Jun-10 Kansas City Southern de Mexico 12.500% Sr Nts 16 70.004-Jun-10 Kansas City Southern de Mexico 0.09375 12 100.004-Jun-10 Kansas City Southern Railway 13.000% Sr Nts 13 66.507-Jun-10 Agile Property Holdings 9.000% Sr Sec Nts 13 400.007-Jun-10 Davita 6.625% Sr Nts 13 200.007-Jun-10 Lamar Media 7.250% Sr Sub Nts13 19.407-Jun-10 Phillips Van-Heusen 8 1/8% Nts 10 15.707-Jun-10 Phillips Van-Heusen 7 1/4% Nts 11 49.507-Jun-10 Pinnacle Entertainment 8.250% Sr Sub Nts 12 200.009-Jun-10 Douglas Dynamics 7 3/4% Sr Nts 12 150.009-Jun-10 Douglas Dynamics 7.750% Sr Nts 12 150.014-Jun-10 American Seafood 11.500% Sr Disc Nts11 196.015-Jun-10 Ak Steel Corp 7 3/4% Sr Nts 12 182.715-Jun-10 Ferrellgas 8.75% Sr Nts 12 34.115-Jun-10 Warnaco 8.875% Sr Nts13 110.919-Jun-10 Noranda Aluminum Acquisition FRN Sr Nts 14 239.121-Jun-10 Advance Agro Public 11% Nts 12 103.321-Jun-10 Chesapeake Energy 6 7/8% Sr Nts 16 670.421-Jun-10 Chesapeake Energy 7 1/2% Sr Nts 13 363.821-Jun-10 Chesapeake Energy 7 1/2% Sr Nts 14 300.021-Jun-10 iStar Financial 10% Sr Sec Nts (2nd) 14 135.021-Jun-10 L-3 Communications 6 188% Nts 14 400.022-Jun-10 LPL Holdings Inc 10 3/4% Nts 15 330.022-Jun-10 LPL Holdings Inc 10.750% Sr Sub Nts 15 330.024-Jun-10 RailAmerica 9 1/4% Nts 17 75.225-Jun-10 Owens-Brockway Glass Container 8 1/4% Nts 13 450.030-Jun-10 INVISTA/Arteva Specialties 9 1/4% Nts 12 349.730-Jun-10 iStar Financial 8% Nts 11 155.330-Jun-10 Unifi 11.500% Sr Sec Nts (1st Lien) 14 15.0
June total 6,670.4
01-Jul-10 Dave & Busters 11.250% Sr Nts 14 175.015-Jul-10 Dollarama Group FRN Sr Nts 12 185.015-Jul-10 International Coal 10.250% Sr Nts 14 5.915-Jul-10 L-3 Communications 6.125% Sr Sub Nts 13 400.015-Jul-10 Telcordia Technologies FRN Sr Sec Nts 12 17.616-Jul-10 Vought Aircraft Industries 8.000% Sr Nts 11 270.019-Jul-10 Morris Publishing 10.000% Sec Nts 14 8.8
High-yield calls
I
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A72
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)22-Jul-10 Chesapeake Energy 6.375% Sr Nts15 600.028-Jul-10 Case New Holland 7.125% Sr Nts 14 500.028-Jul-10 ESI Tractebel Acquisition 7.990% Sec Bds 11 83.6
July total 2,245.9
09-Aug-10 Phibro Animal Health 10.000% Sr Nts 13 160.010-Aug-10 Indosat Finance 7.750% Sr Nts 10 66.915-Aug-10 Graphic Packaging 9.500% Sr Sub Nts 13 101.718-Aug-10 Sonic Automotive 8.625% Sr Sub Nts 13 20.020-Aug-10 Cardtronics Inc 9.250% Sr Sub Nts 13 100.023-Aug-10 Yonkers Racing Corp 11.375% Sr Sec Nts (2nd Lien) 16 21.825-Aug-10 Host Marriott 7.125% Sr Nts 13 225.026-Aug-10 American Capital 8.960% Sr Sec Nts 13 129.027-Aug-10 Crown Americas Inc 7.625% Sr Nts 13 200.027-Aug-10 Range Resources 7.375% Sr Sub Nts 13 200.030-Aug-10 Vantage Drilling 13.500% Sr Sec Nts 13 135.0
August total 1,359.4
02-Sep-10 Tenneco Automotive 10.250% Sr Sec Nts (2nd Lien) 13 245.003-Sep-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 83.005-Sep-10 Pride International 7.375% Sr Nts 14 500.007-Sep-10 Iron Mountain 7.750% Sr Sub Nts 15 208.308-Sep-10 Whiting Petroleum 7.250% Sr Sub Nts 12 150.008-Sep-10 Whiting Petroleum 7.250% Sr Sub Nts 13 220.009-Sep-10 Arch Western Finance 6.750% Sr Nts 13 500.109-Sep-10 Esterline Technologies 7.750% Sr Sub Nts 13 175.010-Sep-10 Peabody Energy 6.875% Sr Nts 13 650.010-Sep-10 Texas Industries 7.250% Sr Nts 13 300.010-Sep-10 Texas Industries 7.250% Sr Nts 13 250.013-Sep-10 Cornell 10.750% Sr Nts 12 112.013-Sep-10 Delta Air Lines 9.500% Sr Sec Nts (1st Lien) 14 74.415-Sep-10 Bumble Bee Foods 7.750% Sr Sec Nts 15 21.816-Sep-10 Blount 8.875% Sr Sub Nts 12 175.016-Sep-10 Chesapeake Energy 7.000% Sr Nts 14 54.916-Sep-10 Chesapeake Energy 6.625% Sr Nts 16 33.416-Sep-10 Chesapeake Energy 6.250% Sr Nts 18 17.520-Sep-10 Petrohawk Energy Corp 9.125% Sr Nts 13 115.820-Sep-10 PetroQuest Energy Inc 10.375% Sr Nts 12 150.027-Sep-10 Cardtronics Inc 9.250% Sr Sub Nts 13 101.827-Sep-10 Innophos 8.875% Sr Sub Nts 14 190.028-Sep-10 Clean Harbors 7.625% Sr Sec Nts 16 30.029-Sep-10 Goodyear Tire & Rubber 7.857% Sr Nts 11 387.929-Sep-10 Goodyear Tire & Rubber 8.625% Sr Nts 11 325.029-Sep-10 Goodyear Tire & Rubber 9.000% Sr Nts 15 260.0
September total 5,330.9
01-Oct-10 Buckeye Technologies 8.500% Sr Nts 13 140.007-Oct-10 Neff 10.000% Sr Nts 15 34.008-Oct-10 AES 8.750% Sr Sec Nts (2nd Lien) 13 290.308-Oct-10 Brigham Exploration 9.625% Sr Nts 14 160.015-Oct-10 Exco Resources 7.250% Sr Nts 11 444.719-Oct-10 Harvest Operations 7.875% Sr Nts 11 209.619-Oct-10 Morris Publishing 10.000% Sec Nts 14 1.5
High-yield calls
I
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A73
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)21-Oct-10 CIT Group Funding Co of Delaware 10.250% Sr Sec Nts (2nd Lien) 14 322.421-Oct-10 CIT Group Funding Co of Delaware 10.250% Sr Sec Nts (2nd Lien) 13 214.921-Oct-10 Visant Holding Corporation 0.000%/10.250% Sr Disc Nts 13 5.721-Oct-10 Visant Holding Corporation 7.625% Sr Sub Nts 12 65.325-Oct-10 PHI Inc 7.125% Sr Nts 13 10.525-Oct-10 United Components 9.375% Sr Sub Nts 13 230.027-Oct-10 Beverages & More Inc 9.250% Sr Sec Nts 12 100.027-Oct-10 Valeant Pharmaceuticals 7.625% Sr Nts 20 400.027-Oct-10 Valeant Pharmaceuticals 8.375% Sr Nts 16 365.029-Oct-10 Anadarko Finance 6.750% Guar Nts 11 422.029-Oct-10 Graphic Packaging 9.500% Sr Sub Nts 13 40.229-Oct-10 GSC Holdings 8.000% Sr Guar Nts 12 185.031-Oct-10 Mobile Satellite Venture 0.000%/14.000% Sr Sec Disc Nts 13 750.0
October total 4,391.2
01-Nov-10 Ames True Temper 10.000% Sr Sub Nts 12 109.401-Nov-10 Ames True Temper FRN Sr Sub Nts 12 150.001-Nov-10 Dennys 10.000% Sr Nts 12 49.701-Nov-10 FTI Consulting 7.625% Sr Nts 13 14.201-Nov-10 MetroPCS 9.250% Sr Nts 14 686.901-Nov-10 NBTY 7.125% Sr Sub Nts 15 190.001-Nov-10 Nielsen Finance LLC 10.000% Sr Nts 14 750.001-Nov-10 Regal Cinemas 9.375% Sr Sub Nts 12 51.504-Nov-10 CIT Group Funding Co of Delaware 10 1/4% Nts 16 537.304-Nov-10 CIT Group Funding Co of Delaware 10 1/4% Nts 15 322.404-Nov-10 Stoneridge Inc 11.500% Sr Nts 12 73.105-Nov-10 Alliance Laundry Systems 8.500% Sr Sub Nts 13 150.008-Nov-10 FMG Finance Pty Ltd 10.625% Sr Sec Nts (1st Lien) 16 1,026.008-Nov-10 FMG Finance Pty Ltd 10.000% Sr Sec Nts (1st Lien) 13 317.508-Nov-10 FMG Finance Pty Ltd FRN Sr Sec Nts (1st Lien) 11 250.008-Nov-10 ICON Health & Fitness 11.250% Sr Sub Nts 12 155.012-Nov-10 Associated Materials 0.000%/11.250% Sr Disc Nts 14 431.012-Nov-10 Associated Materials 9.875% Sr Sec Nts (2nd Lien) 16 200.015-Nov-10 INVISTA/Arteva Specialties 9.250% Sr Nts 12 174.615-Nov-10 Silgan Holdings 6.750% Sr Sub Nts 13 200.015-Nov-10 STATS ChipPac 6.750% Sr Guar Nts 11 47.017-Nov-10 DJO Finance 11.750% Sr Sub Nts 14 200.018-Nov-10 Cablemas SA 9.375% Sr Nts 15 175.018-Nov-10 MetroPCS 9.250% Sr Nts 14 400.018-Nov-10 MetroPCS 9.250% Sr Nts 14 550.019-Nov-10 Davita 7.250% Sr Sub Nts 15 119.219-Nov-10 Davita 6.625% Sr Nts 13 142.419-Nov-10 Domtar 7.875% Sr Nts 11 134.819-Nov-10 Sinclair Broadcast 8.000% Sr Sub Nts 12 49.022-Nov-10 Michaels Stores 10.000% Sr Nts 14 13.726-Nov-10 Trinity Industries 6.500% Sr Nts 14 201.529-Nov-10 Host Marriott 7.125% Sr Nts 13 250.029-Nov-10 Huntsman International LLC 7.875% Sr Sub Nts 14 188.329-Nov-10 Nielsen Finance LLC 10.000% Sr Nts 14 120.029-Nov-10 United Rentals 7.750% Sr Sub Nts 13 467.529-Nov-10 United Rentals 7.000% Sr Sub Nts 14 253.0
November total 9,149.9
Total called debt 45,257.3
High-yield calls
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A74
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)02-Jan-10 Tyson Foods 7% Nts 18 33.804-Jan-10 KAR Holdings 10.000% Sr Sub Nts 15 225.604-Jan-10 Buckeye Technologies 8.500% Sr Nts 13 35.005-Jan-10 Targa Resources 8.5% Sr Nts 13 250.006-Jan-10 Intcomex Inc 11 3/4% Sr Sec Nts 11 80.407-Jan-10 Sistema Capital SA 8.875% Nts 11 257.311-Jan-10 National Beef Packaging/NB Finance 10.500% Sr Nts 11 122.115-Jan-10 Crown Castle International 7 3/4% Nts 17 199.615-Jan-10 Crown Castle International 9% Nts 15 33.126-Jan-10 Rock-Tenn Co 5 5/8% Sr Sec Nts 13 19.526-Jan-10 Rock-Tenn Co 5 5/8% Nts 13 19.527-Jan-10 Sothebys Holdings 7 3/4% Nts 15 21.829-Jan-10 Chartered Semiconductor 6.375% Sr Nts 15 133.029-Jan-10 Chartered Semiconductor 6.250% Sr Nts 13 38.231-Jan-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 10.031-Jan-10 K. Hovnanian Enterprises 6.500% Sr Nts14 25.031-Jan-10 Claires Stores 10.500% Sr Sub Nts 17 9.9
January total 1,513.8
02-Feb-10 Level 3 Financing 12 1/4% Sr Nts 13 546.905-Feb-10 First Industrial LP 6 7/8% Nts 12 81.905-Feb-10 First Industrial LP 7 3/8% Nts 11 85.105-Feb-10 First Industrial LP 6.42% Nts 14 33.105-Feb-10 First Industrial LP 7 1/2% Nts 17 8.905-Feb-10 Tyson Foods 8 1/4% Nts 11 283.005-Feb-10 Tyson Foods 6.6% Nts 16 67.508-Feb-10 Libbey Glass FRNs 11 306.008-Feb-10 Libbey Glass FRN Sr Sec Nts 11 306.009-Feb-10 Teekay Corporation 8.875% Sr Nts 11 151.111-Feb-10 Vanguard Health Systems 11 1/4% Sr Sub Disc Nts 15 212.011-Feb-10 Vanguard Health Systems 9% Sr Sub Nts 14 554.416-Feb-10 Harvest Operations 7.875% Sr Nts 11 40.416-Feb-10 Williams Companies 8.750% Sr Nts 32 163.816-Feb-10 Williams Companies 7.875% Sr Nts 21 178.716-Feb-10 Williams Companies 7.625% Sr Nts 19 668.316-Feb-10 Williams Companies 7.500% Debs 31 163.216-Feb-10 Williams Companies 8.125% Sr Nts 12 601.716-Feb-10 Williams Companies 8.750% Sr Nts 20 586.416-Feb-10 Williams Companies 7.750% Sr Nts 31 111.016-Feb-10 Williams Companies 7.125% Sr Nts 11 428.716-Feb-10 Williams Companies 7.700% Bds 27 98.017-Feb-10 Coleman Cable 9.875% Sr Nts 12 214.418-Feb-10 Newfield Exploration 7.625% Sr Nts 11 143.023-Feb-10 Developers Diversified Realty 5.250% Sr Nts 11 1.523-Feb-10 Developers Diversified Realty 4.625% Sr Nts 10 51.324-Feb-10 McClatchy 7.125% Sr Unsub 11 148.025-Feb-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 136.025-Feb-10 Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 139.027-Feb-10 Albertsons Inc 7.500% Sr Nts11 21.327-Feb-10 SUPERVALU 7.500% Sr Nts14 10.128-Feb-10 Sterling Chemicals 10.250% Sr Sec Nts 15 2.028-Feb-10 Biomet Inc 10.000% Sr Nts 17 4.028-Feb-10 Biomet Inc 10.375% Sr Toggle Nts 17 4.028-Feb-10 Lennar 5 1/8% Sr Nts 10 37.3
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A75
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)28-Feb-10 Anixter Inc 10% Guar Nts 14 66.728-Feb-10 Cellu Tissue Holdings 11.500% Sr Sec Nts 14 28.1
February total 6,682.9
02-Mar-10 Advance Agro Public 11.000% Sr Nts 12 40.803-Mar-10 Developers Diversified Realty 5.250% Sr Nts 11 54.403-Mar-10 Developers Diversified Realty 4.625% Sr Nts 10 24.708-Mar-10 ISA Capital do Brazil 8.800% Sr Sec Nts 17 322.309-Mar-10 Eastman Kodak 7.250% Sr Nts 13 200.010-Mar-10 Encore Acquisition Corp 6.000% Sr Sub Nts 15 268.810-Mar-10 Encore Acquisition Corp 7.250% Sr Sub Nts 17 123.510-Mar-10 Encore Acquisition Corp 6.250% Sr Sub Nts 14 108.218-Mar-10 GenCorp 9.500% Sr Sub Nts13 22.522-Mar-10 ArvinMeritor 8.750% Sr Nts 12 175.024-Mar-10 Ceva Group 10% Nts 14 400.024-Mar-10 Qwest Capital Funding 7.9% Guar Nts 10 338.224-Mar-10 Qwest Capital Funding 7 1/4% Guar Nts 11 621.524-Mar-10 Qwest Capital Funding 7.900% Sr Guar Nts 10 338.226-Mar-10 Education Management LLC 10 1/4% Guar Nts 16 21.430-Mar-10 Time Warner 9 1/4% Guar Nts 14 366.531-Mar-10 Clear Channel Communicat 11% Sr Toggle Nts 16 185.231-Mar-10 Airgas 7.125% Sr Sub Nts 18 96.631-Mar-10 AmeriCredit 8.5% Sr Nts 15 21.031-Mar-10 iStar Financial 5.150% Sr Nts 12 41.531-Mar-10 iStar Financial 10.000% Sr Sec Nts (2nd Lien) 14 32.231-Mar-10 iStar Financial 5.950% Sr Nts 13 11.031-Mar-10 iStar Financial 6.500% Sr Nts 13 8.631-Mar-10 iStar Financial 5.650% Sr Nts11 2.031-Mar-10 iStar Financial 5.125% Sr Nts11 5.031-Mar-10 iStar Financial 5.800% Sr Nts11 8.531-Mar-10 iStar Financial 5.500% Sr Nts12 12.531-Mar-10 iStar Financial 8.625% Sr Nts 13 7.031-Mar-10 iStar Financial 5.700% Sr Nts 14 6.031-Mar-10 Istar Financial Inc 6% Sr Nts 10 101.531-Mar-10 Boyd Gaming 6.750% Sr Sub Nts14 15.531-Mar-10 Gaylord Entertainment 6.750% Sr Nts 14 26.531-Mar-10 Team Health 11.250% Sr Sub Nts 13 12.031-Mar-10 Tenet Healthcare 9.250% Sr Nts 15 8.031-Mar-10 Allison Transmission 11.250% Sr Toggle Nts15 25.331-Mar-10 Philippine Long Distance Telephone 8.350% Sr Nts17 5.231-Mar-10 Philippine Long Distance Telephone 8.350% Sr Nts 17 5.931-Mar-10 Swift Transportation 12.500% Sr Sec Nts 17 89.4
March total 4,152.3
01-Apr-10 Anixter 10.000% Sr Nts 14 91.702-Apr-10 International Coal Group 10 1/4% Guar Nts 14 169.205-Apr-10 Suburban Propane Partners 6.875% Sr Nts 13 202.607-Apr-10 Reckson Operating Partnership 5.875% Sr Nts 14 50.007-Apr-10 Reckson Operating Partnership 5.150% Sr Nts 11 38.808-Apr-10 Encore Acquisition Corp 6.0% Sr Sub Nts 15 31.208-Apr-10 Encore Acquisition Corp 7.25% Sr Sub Nts 17 26.508-Apr-10 Encore Acquisition Corp 6.25% Sr Sub Nts 14 41.809-Apr-10 Mohawk Industries 5.750%/6.000% Sr Nts 11 200.009-Apr-10 Wienerberger AG 3.875% Sr Nts 12 129.8
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A76
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)12-Apr-10 Sonic Automotive 8.625% Sr Sub Nts 13 200.012-Apr-10 Bombardier 6.75% Sr Nts 12 398.912-Apr-10 Bombardier 6.300% Sr Nts 14 338.015-Apr-10 Prestige Brands 9 1/4% Guar Nts 12 126.018-Apr-10 O Charleys 9.000% Sr Sub Nts13 9.826-Apr-10 Ferrellgas 8.750% Sr Nts 12 233.927-Apr-10 AutoNation 7.0% Sr Guar Nts 14 117.927-Apr-10 AutoNation FRN Sr Nts 13 146.130-Apr-10 Las Vegas Sands 6.375% Sr Sec Nts 15 34.730-Apr-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 35.530-Apr-10 K. Hovnanian Enterprises 6.250% Sr Nts15 15.930-Apr-10 K. Hovnanian Enterprises 7.750% Sr Sub Nts13 11.1
April total 2,649.3
01-May-10 Claires Stores 10.500% Sr Sub Nts 17 15.601-May-10 Macys Retail Holdings 5.350% Sr Nts12 425.001-May-10 Macys Retail Holdings 6.625% Sr Nts11 57.001-May-10 Macys Retail Holdings 8.000% Sr Nts12 9.003-May-10 Meritage Corporation 6 1/4% Nts 15 65.003-May-10 Meritage Corporation 7% Nts 14 108.104-May-10 Phillips Van-Heusen 8 1/8% Nts 10 134.304-May-10 Phillips Van-Heusen 7 1/4% Nts 11 100.504-May-10 Rexnord 9.5% Nts 14 794.104-May-10 Rexnord 9 1/2% Nts 14 196.304-May-10 Rexnord 8 7/8% Nts 16 77.005-May-10 Lamar Media 7 1/4% Sr Nts 13 365.606-May-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 51.006-May-10 Dollar General 10.625% Sr Nts 15 31.006-May-10 Telcordia Technologies 10% Sr Sub Nts 13 248.006-May-10 Telcordia Technologies FRNs 12 537.410-May-10 Cablevision Systems 8% Nts 12 973.211-May-10 Charter Communications 8.375% Sr Sec Nts (2nd) 14 681.011-May-10 Charter Communications 8.75% Sr Nts 13 740.812-May-10 First American Capital Trust I 8.500% Trust Pfd Secs 12 65.217-May-10 Zions Bancorp 5 1/2% Sub Nts 15 109.617-May-10 Limited Brands Inc 5 1/4% Nts 14 266.417-May-10 Limited Brands Inc 6 1/8% Nts 12 133.617-May-10 Primus Telecomm Group 14.500% Sr Sec Nts13 9.518-May-10 Standard Pacific Corp 7 3/4% Sr Nts 13 90.019-May-10 Levi Strauss 9 3/4% Nts 15 415.521-May-10 AK Steel Corp 7 3/4% Sr Nts 12 324.621-May-10 JC Penney Corporation In 6 3/8% Sr Nts 36 300.025-May-10 Lennar 5 1/8% Sr Nts 10 76.425-May-10 Lennar 5.95% Sr Nts 11 130.825-May-10 Lennar 5.95% Sr Nts 13 82.328-May-10 Omnicare Inc 6 3/4% Sr Sub Nts 13 217.028-May-10 Liberty Media 5.7% Nts 13 410.031-May-10 Lennar 5.125% Sr Nts 10 37.1
May total 8,277.7
01-Jun-10 American Tire Distributors 10.750% Sr Nts 13 150.001-Jun-10 American Tire Distributors FRNs 12 140.001-Jun-10 American Tire Distributors 0/13% 13 51.501-Jun-10 Allbritton Communication 7 3/4% Sr Sub Nts 12 454.2
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A77
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)09-Jun-10 Valassis Communications 8.250% Sr Nts15 270.010-Jun-10 Titan International 8.000% Sr Nts12 47.414-Jun-10 Perry Ellis International 8.875% Sr Sub Nts13 46.015-Jun-10 ArvinMeritor 8.750% Sr Nts 12 17.016-Jun-10 BWAY 10% Sr Sub Nts 14 228.518-Jun-10 Domtar 5 3/8% Nts 13 238.318-Jun-10 Domtar 7 1/8% Nts 15 187.221-Jun-10 Weyerhaeuser 6 3/4% Nts 12 551.021-Jun-10 Amkor Technologies 9.250% Sr Nts 16 125.721-Jun-10 Motorola Inc 6 5/8% Nts 37 221.221-Jun-10 Motorola Inc 6 1/2% Nts 28 74.821-Jun-10 Motorola Inc 6 1/2% Nts 25 63.130-Jun-10 Belo Corporation 8.000% Sr Nts 16 4.930-Jun-10 Fisher Communications 8.625% Sr Nts 14 17.430-Jun-10 Airgas 7.125% Sr Sub Nts 18 25.030-Jun-10 American Pacific 9.000% Sr Nts 15 5.030-Jun-10 Brunswick Corp 9.750%/11.750% Sr Nts 13 27.830-Jun-10 Elizabeth Arden 7.750% Sr Sub Nts 14 5.030-Jun-10 Steinway Musical Instruments 7.000% Sr Nts 14 5.830-Jun-10 Valassis Communications 8.250% Sr Nts 15 28.330-Jun-10 Allied Capital Corp 6.625% Sr Nts 11 5.030-Jun-10 Allied Capital Corp 6.000% Sr Nts 12 5.030-Jun-10 iStar Financial 5.150% Sr Nts 12 43.130-Jun-10 iStar Financial 5.650% Sr Nts 11 64.130-Jun-10 iStar Financial 5.800% Sr Nts 11 33.030-Jun-10 iStar Financial 6.000% Sr Nts 10 48.730-Jun-10 iStar Financial 5.125% Sr Nts 11 23.830-Jun-10 iStar Financial 5.500% Sr Nts 12 22.230-Jun-10 MBIA 9.375% Sr Nts 11 17.030-Jun-10 Alliance One International 8.500% Sr Nts 12 23.630-Jun-10 Boyd Gaming 6.750% Sr Sub Nts 14 17.530-Jun-10 Las Vegas Sands 6.375% Sr Sec Nts 15 25.630-Jun-10 MGM Mirage 8.375% Sr Sub Nts 11 75.030-Jun-10 MGM Mirage 8.500% Sr Guar Nts 10 136.030-Jun-10 Accellent Inc 10.500% Sr Sub Nts 13 10.030-Jun-10 Invacare Corp 9.750% Sr Nts 15 29.030-Jun-10 D.R. Horton 5.625% Bds 16 65.730-Jun-10 D.R. Horton 5.625% Sr Nts 14 87.930-Jun-10 D.R. Horton 6.000% Sr Nts 11 125.030-Jun-10 D.R. Horton 6.875% Sr Nts 13 25.230-Jun-10 D.R. Horton 6.125% Sr Nts 14 51.230-Jun-10 D.R. Horton 5.375% Sr Nts 12 34.130-Jun-10 D.R. Horton 7.875% Sr Nts 11 31.630-Jun-10 Masco Corp 5.875% Sr Nts 12 59.030-Jun-10 Ryland Group 5.375% Sr Nts 15 19.030-Jun-10 Hawk 8.750% Sr Nts 14 20.030-Jun-10 Freeport-McMoRan Copper & Gold 8.250% Sr Nts 15 34.030-Jun-10 Freeport-McMoRan Copper & Gold 8.375% Sr Nts 17 193.030-Jun-10 Domtar 7.875% Sr Nts 11 5.030-Jun-10 Verso Paper Holdings 11.500% Sr Sec Nts (1st Lien) 14 19.830-Jun-10 Verso Paper Holdings 9.125% Sr Sec Nts (2nd Lien) 14 12.930-Jun-10 United Rentals 7.750% Sr Sub Nts13 16.530-Jun-10 United Rentals 7.000% Sr Sub Nts14 16.030-Jun-10 Freescale Semiconductor 8.875% Sr Nts14 29.0
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A78
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)30-Jun-10 Freescale Semiconductor 9.875% Sr Toggle Nts14 17.030-Jun-10 Freescale Semiconductor 8.875% Sr Nts 14 88.130-Jun-10 Freescale Semiconductor 9.125% Sr Toggle Nts 14 35.030-Jun-10 Freescale Semiconductor FRN Sr Nts 14 15.030-Jun-10 Teekay Corporation 8.875% Sr Nts 11 9.430-Jun-10 Termoemcali Funding Corp 10.125% Sr Sec Nts 19 113.0
June total 4,686.0
02-Jul-10 Michael Foods 9.750% Sr Nts 13 154.102-Jul-10 Michael Foods 8.000% Sr Sub Nts 13 150.003-Jul-10 Tyson Foods 8.250% Sr Nts 11 229.003-Jul-10 Tyson Foods 6.600% Sr Nts 16 164.803-Jul-10 Tyson Foods 7.000% Sr Nts 18 6.003-Jul-10 Leslie's Poolmart 7.750% Sr Nts 13 6.203-Jul-10 Sanmina 6.750% Sr Sub Nts 13 20.007-Jul-10 DynCorp 9.500% Sr Sub Nts 13 376.215-Jul-10 Kellwood Company 7.625% Debs 17 29.728-Jul-10 Multiplan Inc 10.375% Sr Sub Nts 16 14.030-Jul-10 Tenet Healthcare 9.250% Sr Nts 15 9.031-Jul-10 Forest City Enterprises 6.500% Sr Nts 17 12.131-Jul-10 D.R. Horton 6.500% Sr Nts 16 29.031-Jul-10 D.R. Horton 5.250% Sr Nts 15 70.231-Jul-10 K. Hovnanian Enterprises 6.250% Sr Nts 15 13.731-Jul-10 K. Hovnanian Enterprises 6.375% Sr Nts 14 9.031-Jul-10 Toll Brothers 4.950% Sr Nts 14 22.031-Jul-10 Toll Brothers 5.950% Sr Nts 13 13.531-Jul-10 William Lyon Homes 10.75% Sr Nts 13 10.531-Jul-10 Claires Stores 10.375% Sr Toggle Nts 15 41.631-Jul-10 Claires Stores 10.500% Sr Sub Nts 17 7.0
July total 1,387.4
05-Aug-10 Sappi Papier Holding 7.500% Bds 32 29.006-Aug-10 Anixter 10.000% Sr Nts 14 11.811-Aug-10 QEP Resources Inc 7 1/2% Sr Nts 11 71.511-Aug-10 QEP Resources Inc 6.05% Sr Nts 16 73.211-Aug-10 QEP Resources Inc 6.8% Sr Nts 18 311.411-Aug-10 QEP Resources Inc 6.8% Sr Nts 20 162.218-Aug-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 987.027-Aug-10 SLM Corp 5.400% Sr Nts 11 133.727-Aug-10 SLM Corp 5.450% Sr Nts 11 45.627-Aug-10 STATS ChipPac 6.750% Sr Guar Nts 11 168.030-Aug-10 Chesapeake Energy 7.000% Sr Nts 14 245.130-Aug-10 Chesapeake Energy 6.625% Sr Nts 16 566.630-Aug-10 Chesapeake Energy 6.250% Sr Nts 18 582.530-Aug-10 Petrohawk Energy Corp 9.125% Sr Nts 13 652.830-Aug-10 Wynn Las Vegas 6.625% 1st Mtg Nts 14 246.930-Aug-10 Tenet Healthcare 7.375% Sr Nts 13 783.730-Aug-10 Tenet Healthcare 9.875% Sr Nts 14 40.0
August total 5,110.9
02-Sep-10 Da-Lite Screen 12.500% Sr Nts 15 10.807-Sep-10 Limited Brands 5.250% Sr Nts 14 20.008-Sep-10 Smithfield Foods 7.000% Sr Nts 11 52.4
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A79
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)08-Sep-10 Smithfield Foods 7.000% Sr Nts 11 71.309-Sep-10 Cardtronics Inc 9.250% Sr Sub Nts 13 98.222-Sep-10 Visant Holding Corporation 7.625% Sr Sub Nts 12 434.722-Sep-10 Visant Holding Corporation 10.25% Sr Disc Nts 13 241.522-Sep-10 Visant Holding Corporation 8.75% Sr Nts 13 349.823-Sep-10 SLM Corp 5.400% Sr Nts 11 117.323-Sep-10 SLM Corp 5.450% Sr Nts 11 156.423-Sep-10 SLM Corp 3.125% Sr Nts 12 68.023-Sep-10 SLM Corp 4.875% Sr Nts 12 15.024-Sep-10 Delta Air Lines 12.250% Sr Sec Nts (2nd Lien) 15 518.524-Sep-10 Delta Air Lines 8.954% P-T Certs 14 72.724-Sep-10 Northwest Airlines 8.028% P-T Certs 17 5.128-Sep-10 Associated Banc-Corp 6.750% Sub Nts 11 30.029-Sep-10 Stora Enso Oyj 7.375% Sr Nts 11 47.630-Sep-10 Ames True Temper 10.000% Sr Sub Nts 12 40.630-Sep-10 QEP Resources 7.500% Sr Nts 11 20.030-Sep-10 SLM Corp 5.000% Sr Nts 13 48.730-Sep-10 SLM Corp 5.375% Sr Nts 14 57.230-Sep-10 SLM Corp FRN Sr Nts 14 30.530-Sep-10 SLM Corp 5.125% Sr Nts 12 11.530-Sep-10 SLM Corp 5.375% Sr Nts 13 23.530-Sep-10 SLM Corp 5.050% Sr Nts 14 6.330-Sep-10 Service Corporation International 7.375% Sr Nts 14 64.330-Sep-10 Service Corporation International 7.875% Debs 13 23.130-Sep-10 Mobile Services Group 9.750% Sr Nts 14 7.130-Sep-10 Freescale Semiconductor 8.875% Sr Nts 14 382.930-Sep-10 Freescale Semiconductor 9.125% Sr Toggle Nts 14 280.830-Sep-10 Freescale Semiconductor FRN Sr Toggle Nts 14 121.430-Sep-10 Allied Capital Corp 6.625% Sr Nts 11 14.330-Sep-10 Allied Capital Corp 6.000% Sr Nts 12 29.430-Sep-10 MeadWestvaco 6.850% Sr Nts 12 98.030-Sep-10 Airgas 7.125% Sr Sub Nts 18 5.030-Sep-10 D.R. Horton 6.000% Sr Nts 11 9.430-Sep-10 D.R. Horton 7.875% Sr Nts 11 6.7
September total 3,590.0
01-Oct-10 Titan International 8.000% Sr Nts 12 138.905-Oct-10 Scientific Games 6.250% Sr Sub Nts 12 107.605-Oct-10 MetroPCS 9.250% Sr Nts 14 313.106-Oct-10 Dennys 10.000% Sr Nts 12 125.308-Oct-10 PolyOne 8.875% Sr Nts 12 257.008-Oct-10 Huntsman International LLC 7.875% Sr Sub Nts 14 158.712-Oct-10 FTI Consulting 7.625% Sr Nts 13 185.814-Oct-10 Intelsat 9.250% Sr Nts 14 546.314-Oct-10 PanAmSat 6.875% Sr Sec Nts 28 125.014-Oct-10 Graphic Packaging 9.500% Sr Sub Nts 13 209.718-Oct-10 Stoneridge Inc 11.500% Sr Nts 12 109.918-Oct-10 Sinclair Broadcast 8.000% Sr Sub Nts 12 175.718-Oct-10 Zions Bancorporation 5.500% Sub Nts 15 103.718-Oct-10 Zions Bancorporation 6.000% Sub Nts 15 54.318-Oct-10 Zions Bancorporation 5.650% Sub Nts 14 50.020-Oct-10 Centex Corp 5.250% Sr Nts 15 25.520-Oct-10 Centex Corp 5.700% Sr Nts 14 31.320-Oct-10 Centex Corp 5.125% Sr Nts 13 104.8
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A80
J
High-yield tenders
Source: J.P. Morgan.
Date Issuer Security Amount ($ mn)20-Oct-10 Pulte Home 5.250% Sr Nts 14 128.120-Oct-10 Pulte Home 5.200% Sr Nts 15 47.820-Oct-10 Pulte Home 6.250% Sr Nts 13 162.525-Oct-10 PHI Inc 7.125% Sr Nts 13 189.527-Oct-10 OAO Severstal 9.750% Sec Nts 13 706.430-Oct-10 Fisher Communications 8.625% Sr Nts 14 2.931-Oct-10 Texas Competitive Electric Holdings 10.250% Sr Nts 15 436.131-Oct-10 Texas Competitive Electric Holdings 10.250% Sr Nts 15 69.8
October total 4,565.8
01-Nov-10 Davita 7.250% Sr Sub Nts 15 730.801-Nov-10 Davita 6.625% Sr Nts 13 557.601-Nov-10 Invacare Corp 9.750% Sr Nts 15 146.004-Nov-10 Michaels Stores 10.000% Sr Nts 14 736.309-Nov-10 XM Satellite Radio 11.250% Sr Sec Nts 13 489.110-Nov-10 Regency Energy Partners 8.375% Sr Nts 13 271.210-Nov-10 Accellent Inc 10.500% Sr Sub Nts 13 230.810-Nov-10 M/I Schottenstein Homes 6.875% Sr Nts 12 158.616-Nov-10 Markwest Energy Partners 6.875% Sr Nts 14 144.016-Nov-10 Markwest Energy Partners 6.875% Sr Nts 14 206.917-Nov-10 Hanger Orthopedic Group 10.250% Sr Nts 14 172.419-Nov-10 Bombardier 8.000% Sr Nts 14 150.219-Nov-10 Hexion 9.750% Sr Sec Nts (2nd Lien) 14 482.319-Nov-10 Momentive Performance 9.750% Sr Nts 14 684.923-Nov-10 Rural/Metro 0.000%/12.750% Sr Disc Nts 16 24.824-Nov-10 Boyd Gaming 7.750% Sr Sub Nts 12 92.1
November total 5,278.1
Total tendered debt 47,894.2
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A81
K
JP
Morg
an U
S D
olla
r G
lobal H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
J.P. M
orga
n Gl
obal
HYIn
dex
4.72%
0.08%
6.34%
1.32%
12.92
%10
0.00%
644b
p7.9
1%8.4
6%4.0
1 yrs
BJ.P
. Mor
gan
HYDe
velop
ed M
kt Ind
ex
4.58%
0.11%
6.23%
1.39%
12.76
%92
.53%
648b
p7.9
4%8.4
6%3.9
8 yrs
BJ.P
. Mor
gan
HYEm
ergin
g Mk
t Ind
ex
7.01%
-0.57
%7.7
9%0.4
8%15
.24%
7.47%
603b
p7.6
6%8.4
7%4.3
6 yrs
Split
BBJ.P
. Mor
gan
HYDo
mesti
c Ind
ex
4.56%
0.20%
6.08%
1.33%
12.62
%86
.62%
648b
p7.9
4%8.4
8%3.9
8 yrs
BJ.P
. Mor
gan
HYInt
erna
tiona
l Inde
x 5.8
6%-0
.78%
8.05%
1.28%
14.94
%13
.38%
623b
p7.7
7%8.3
2%4.1
7 yrs
Split
BB
J.P. M
orga
n Gl
obal
HYIn
dex b
y ind
ustry
Auto
mot
ive8.9
5%0.3
5%5.7
5%0.0
3%15
.65%
3.00%
565b
p6.8
9%7.9
6%3.4
6 yrs
BOe
ms a
nd C
aptiv
e Fin
ance
9.67%
-2.44
%5.3
1%-2
.45%
9.93%
0.90%
422b
p5.1
6%6.6
4%2.9
7 yrs
BSu
pplie
rs8.4
7%2.0
0%5.9
8%1.1
4%18
.59%
2.10%
613b
p7.4
8%8.4
0%3.6
3 yrs
BBr
oadc
astin
g5.4
8%0.4
0%8.8
6%3.0
4%18
.79%
1.58%
745b
p8.8
4%9.2
1%3.7
8 yrs
Split
BOu
t of H
ome
3.23%
-1.50
%8.6
1%0.7
0%11
.21%
0.55%
755b
p8.9
9%9.2
3%3.7
2 yrs
BTe
levisi
on7.3
3%1.6
8%8.9
4%4.4
1%24
.12%
1.04%
740b
p8.7
6%9.2
0%3.8
1 yrs
Split
BCa
ble a
nd S
atell
ite4.4
7%0.0
4%7.5
7%1.0
1%13
.56%
4.20%
641b
p7.5
9%9.0
6%3.3
6 yrs
BCa
ble a
nd D
BS3.7
6%-0
.22%
6.88%
0.40%
11.10
%2.7
6%55
5bp
6.79%
8.34%
3.46
yrsSp
lit BB
Satel
lites
5.73%
0.49%
8.92%
2.17%
18.23
%1.4
4%82
1bp
9.27%
10.56
%3.1
6 yrs
Split
BCh
emica
ls6.9
2%0.3
7%6.8
3%3.1
3%18
.24%
3.68%
534b
p6.8
0%8.0
7%4.0
0 yrs
BCo
mmod
ity C
hemi
cals
9.69%
1.70%
6.23%
3.38%
22.52
%2.1
7%50
8bp
6.51%
8.05%
3.99
yrsSp
lit BB
Spec
ialty
Chem
icals
5.18%
-1.14
%7.6
6%2.8
0%15
.08%
1.50%
569b
p7.2
0%8.1
1%4.0
2 yrs
BCo
nsum
er P
rodu
cts
4.02%
1.04%
4.96%
1.38%
11.84
%2.1
9%63
5bp
7.73%
8.57%
3.77 y
rsB
Appa
rel a
nd Te
xtiles
5.29%
1.13%
5.74%
0.65%
13.32
%0.6
5%55
2bp
7.31%
7.65%
4.84
yrsB
Dive
rsifie
d Co
nsum
er P
rodu
cts3.6
3%1.0
1%4.7
1%1.6
5%11
.42%
1.55%
669b
p7.9
0%8.9
5%3.3
2 yrs
BDi
vers
ified
Med
ia5.6
6%0.9
2%4.9
9%0.7
8%12
.83%
2.06%
800b
p9.1
5%9.4
8%3.1
6 yrs
BBo
ok a
nd M
agaz
ine P
ublis
hing
5.46%
1.09%
1.87%
-1.35
%7.1
3%0.6
0%10
35bp
11.46
%10
.93%
3.04
yrsSp
lit B
Media
Ser
vices
3.38%
1.11%
4.72%
1.69%
11.31
%0.9
5%67
8bp
7.82%
8.59%
2.93
yrsB
News
pape
r Pub
lishin
g11
.28%
0.40%
8.57%
1.37%
22.96
%0.5
1%76
6bp
9.07%
9.57%
3.78
yrsB
Ener
gy3.7
9%-0
.61%
7.15%
1.02%
11.66
%12
.66%
609b
p7.6
9%8.0
6%4.3
4 yrs
Split
BB
Ener
gy S
ervic
e3.8
9%-1
.70%
6.35%
2.59%
11.42
%2.5
2%74
9bp
8.95%
8.98%
3.84
yrsB
Explo
ratio
n &
Prod
uctio
n3.9
6%-0
.27%
7.11%
0.42%
11.53
%6.3
3%60
5bp
7.70%
8.04%
4.46
yrsSp
lit BB
Mids
tream
4.94%
-0.59
%8.8
9%0.9
3%14
.65%
1.50%
597b
p7.6
0%8.0
3%4.3
8 yrs
Split
BBPi
pelin
es4.1
6%-0
.81%
7.07%
-0.11
%10
.50%
1.23%
302b
p4.9
1%6.2
2%5.4
4 yrs
Split
BBB
Prop
ane
2.95%
0.69%
6.24%
1.12%
11.37
%0.4
4%49
9bp
6.48%
7.27%
4.13
yrsSp
lit BB
Refin
ing0.5
3%-0
.29%
7.18%
2.36%
9.97%
0.64%
793b
p9.0
1%8.7
9%3.0
9 yrs
Split
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A82
K
JP
Morg
an U
S D
olla
r G
lobal H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Fina
ncial
9.84%
-0.18
%8.1
2%0.5
3%19
.18%
9.36%
627b
p8.1
0%7.8
9%4.9
4 yrs
Split
BB
Bank
s8.2
7%0.3
8%8.7
4%-0
.13%
18.03
%4.5
1%55
4bp
7.63%
7.58%
5.71
yrsB
Insur
ance
11.23
%2.3
6%7.9
6%1.3
2%24
.55%
0.57%
676b
p8.5
2%8.2
8%4.7
6 yrs
BOt
her F
inanc
ial11
.17%
-1.84
%7.9
6%1.0
6%19
.05%
3.51%
723b
p8.8
3%8.3
5%4.2
0 yrs
Split
BBRe
its13
.51%
0.69%
4.38%
1.60%
21.22
%0.7
7%58
3bp
7.23%
7.29%
3.98
yrsSp
lit BB
Food
and
Beve
rage
s4.6
1%0.4
1%5.8
1%1.4
0%12
.71%
3.80%
638b
p7.8
1%8.6
6%3.8
7 yrs
BFo
od P
rodu
cers
4.65%
0.69%
6.35%
0.09%
12.16
%1.7
0%54
9bp
7.12%
8.48%
4.34
yrsSp
lit BB
Pack
aged
Foo
d an
d Be
vera
ges
3.92%
0.26%
6.30%
1.49%
12.41
%1.0
9%61
2bp
7.40%
7.94%
3.57
yrsSp
lit BB
Resta
uran
ts5.6
3%-0
.16%
3.55%
3.89%
13.46
%1.0
0%81
5bp
9.42%
9.75%
3.39
yrsB
Gam
ing
Lodg
ing
and
Leisu
re4.7
7%1.4
8%4.8
4%2.2
7%13
.99%
4.98%
741b
p8.7
3%9.0
3%3.4
9 yrs
BGa
ming
4.74%
2.17%
4.34%
2.54%
14.49
%3.0
8%84
7bp
9.87%
9.57%
3.61
yrsB
Leisu
re a
nd E
nterta
inmen
t5.3
6%-0
.18%
6.25%
2.30%
14.32
%1.2
3%64
7bp
7.77%
8.87%
3.43
yrsB
Lodg
ing3.7
9%1.0
4%4.8
6%1.0
1%11
.08%
0.68%
437b
p5.3
7%6.8
7%3.1
0 yrs
BBHe
althc
are
2.71%
1.88%
5.46%
0.84%
11.29
%7.3
5%60
2bp
7.33%
8.30%
3.62 y
rsB
Devic
e an
d Ph
arma
Man
ufactu
rers
2.49%
2.69%
5.07%
0.45%
11.07
%2.6
4%59
9bp
7.47%
8.03%
4.11
yrsSp
lit BB
Healt
hcar
e Se
rvice
s2.8
5%1.4
6%5.6
6%1.0
5%11
.41%
4.70%
604b
p7.2
5%8.4
5%3.3
4 yrs
BHo
usin
g5.1
1%-0
.85%
6.12%
1.81%
12.59
%4.5
8%69
9bp
8.46%
8.78%
3.97 y
rsSp
lit B
BBu
ilding
Mate
rials
4.89%
-0.35
%4.9
5%1.6
7%11
.53%
2.34%
592b
p7.4
3%8.1
4%4.1
5 yrs
Split
BBHo
mebu
ilder
s5.3
0%-1
.30%
7.31%
1.94%
13.70
%2.2
4%81
2bp
9.53%
9.46%
3.79
yrsB
Indu
stria
ls4.8
2%0.6
7%5.9
1%2.0
5%14
.05%
5.10%
598b
p7.2
9%8.2
2%3.6
0 yrs
BAe
rosp
ace
and
Defen
se5.3
8%0.4
4%4.8
8%1.7
0%12
.89%
1.73%
631b
p7.5
7%8.1
5%3.5
2 yrs
Split
BBGe
nera
l Indu
strial
s4.4
9%0.7
9%6.4
9%2.2
3%14
.65%
3.37%
581b
p7.1
4%8.2
5%3.6
4 yrs
BMe
tals
and
Mini
ng4.7
9%0.2
3%5.9
8%1.6
4%13
.12%
4.30%
569b
p7.0
1%7.9
9%3.6
5 yrs
Split
BB
Coal
3.05%
0.64%
6.49%
1.34%
11.92
%1.5
8%55
3bp
6.89%
7.91%
3.74
yrsSp
lit BB
Metal
s5.1
3%-0
.29%
5.71%
0.76%
11.65
%0.7
8%64
3bp
7.27%
8.73%
2.41
yrsB
Minin
g4.4
1%0.8
1%5.0
4%4.5
1%15
.55%
0.59%
567b
p7.2
4%7.6
2%4.2
5 yrs
Split
BBSt
eel
6.55%
-0.55
%6.2
9%0.3
0%12
.96%
1.35%
546b
p6.9
0%7.8
3%3.9
9 yrs
Split
BBPa
per a
nd P
acka
ging
4.00%
-0.67
%4.3
8%2.7
3%10
.76%
5.33%
655b
p8.1
2%8.2
9%4.3
2 yrs
Split
BB
Pack
aging
2.98%
0.04%
4.49%
2.78%
10.64
%1.9
2%61
1bp
7.70%
8.11%
4.33
yrsB
Pape
r and
For
est P
rodu
cts4.5
1%-1
.06%
4.35%
2.70%
10.81
%3.4
2%67
9bp
8.34%
8.39%
4.31
yrsSp
lit BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2009 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2009
A83
K
JP
Morg
an U
S D
olla
r G
lobal H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Reta
il3.2
8%0.5
6%4.8
6%0.5
9%9.5
5%3.9
8%60
0bp
7.47%
8.37%
3.90 y
rsB
Depa
rtmen
t and
Disc
ount
Stor
es4.9
5%1.7
3%5.1
2%-0
.29%
11.92
%1.0
4%45
2bp
6.10%
7.92%
3.98
yrsSp
lit BB
Spec
ialty
Retai
l2.6
8%0.2
9%4.8
5%0.9
6%9.0
2%2.0
5%62
2bp
7.60%
8.40%
3.82
yrsB
Supe
rmar
kets
and
Drug
Stor
es2.5
4%-0
.19%
4.60%
0.81%
7.93%
0.89%
724b
p8.7
7%8.8
1%4.0
0 yrs
BSe
rvice
s3.9
1%-0
.19%
5.28%
1.64%
10.97
%4.1
0%75
6bp
8.76%
9.16%
3.26 y
rsB
Busin
ess S
olutio
ns4.7
6%0.3
4%5.0
4%2.7
1%13
.41%
0.97%
850b
p9.7
6%9.8
4%3.3
2 yrs
Split
BDi
versi
fied
Servi
ces
3.81%
-0.40
%5.2
1%1.2
5%10
.14%
2.55%
707b
p8.2
1%8.8
4%3.1
6 yrs
BRe
ntal
2.80%
-0.27
%5.8
1%1.4
8%10
.07%
0.57%
817b
p9.5
3%9.4
4%3.6
2 yrs
Split
BTe
chno
logy
3.81%
-2.88
%8.1
9%2.7
0%12
.02%
4.72%
768b
p9.0
0%9.2
4%3.6
5 yrs
BEM
S3.0
5%0.2
0%5.7
0%1.1
0%10
.34%
0.30%
520b
p6.5
4%6.9
6%3.8
2 yrs
Split
BBEq
uipme
nt an
d Ha
rdwa
re4.3
1%0.4
9%5.1
0%3.0
0%13
.48%
1.38%
590b
p7.3
7%8.5
0%4.1
3 yrs
Split
BBSe
mico
nduc
tors
7.20%
-2.74
%10
.91%
1.91%
17.86
%1.1
8%61
7bp
7.54%
8.38%
3.71
yrsB
Servi
ces a
nd S
oftwa
re1.3
1%-5
.95%
9.44%
3.26%
7.68%
1.86%
1023
bp11
.42%
10.65
%3.2
6 yrs
Split
BTe
lecom
mun
icatio
ns3.4
7%-0
.33%
7.50%
-0.07
%10
.79%
6.45%
623b
p7.7
6%8.5
3%4.1
3 yrs
Split
BB
Towe
rs3.2
9%0.2
7%6.0
3%1.0
7%11
.00%
0.60%
365b
p4.8
9%6.6
0%3.7
2 yrs
BBW
ireles
s3.2
1%0.5
4%8.0
7%-1
.05%
10.96
%3.3
8%65
0bp
8.14%
8.72%
4.45
yrsB
Wire
line
3.84%
-1.52
%7.0
9%1.0
2%10
.62%
2.47%
649b
p7.9
3%8.7
4%3.7
9 yrs
BTr
ansp
orta
tion
7.54%
-0.01
%8.6
9%1.5
8%18
.72%
2.31%
621b
p7.8
3%8.4
6%4.4
2 yrs
Split
BB
Airlin
es5.4
8%2.2
7%6.1
7%3.0
0%17
.97%
0.81%
546b
p6.7
2%8.2
3%3.5
1 yrs
BBSh
ipping
10.04
%-2
.08%
11.33
%0.4
3%20
.48%
1.13%
631b
p8.3
0%8.2
4%5.4
3 yrs
Split
BBTr
uckin
g/Rail
6.27%
1.28%
7.46%
1.63%
17.53
%0.3
7%75
9bp
8.81%
9.67%
3.35
yrsB
Utilit
y-0
.65%
1.26%
3.65%
0.09%
4.37%
4.25%
698b
p8.9
9%8.6
5%5.2
6 yrs
Split
BB
Indep
ende
nt Po
wer P
rodu
cers
-2.05
%0.5
0%2.6
8%0.2
6%1.3
5%3.0
6%81
6bp
10.05
%9.2
5%4.7
7 yrs
BInt
egra
ted U
tilitie
s3.0
9%2.8
0%6.0
4%-0
.33%
12.00
%1.1
9%39
5bp
6.27%
7.10%
6.51
yrsBB
J.P. M
orga
n Gl
obal
HYIn
dex
4.72%
0.08%
6.34%
1.32%
12.92
%10
0.00%
644b
p7.9
1%8.4
6%4.0
1 yrs
B
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A84
K
JP
Morg
an U
S D
olla
r G
lobal H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
J.P. M
orga
n Gl
obal
HYIn
dex b
y rat
ing
Split
BBB
3.82%
0.97%
6.16%
0.73%
12.08
%9.3
9%38
3bp
5.79%
6.70%
5.48
yrsSp
lit BB
BBB
4.07%
0.79%
6.95%
0.56%
12.82
%21
.50%
472b
p6.3
6%7.3
2%4.4
8 yrs
BBSp
lit BB
3.66%
0.80%
6.19%
0.83%
11.89
%14
.79%
548b
p6.8
2%7.9
0%3.7
2 yrs
Split
BBB
3.56%
0.00%
6.52%
1.42%
11.89
%31
.16%
655b
p7.9
8%8.7
5%3.8
3 yrs
BSp
lit B
3.94%
-1.30
%5.7
4%1.9
1%10
.54%
9.55%
823b
p9.4
8%9.5
2%3.3
7 yrs
Split
BCC
C/Sp
lit CC
C6.9
1%-0
.96%
6.50%
2.64%
15.74
%11
.47%
1088
bp12
.14%
10.87
%3.3
4 yrs
CCC/
Split
CCC
Not R
ated
7.15%
1.94%
5.28%
1.74%
17.00
%0.7
6%84
1bp
9.79%
10.03
%3.6
1 yrs
Not R
ated
J.P. M
orga
n Gl
obal
HYIn
dex b
y rat
ing
tier
Uppe
r Tier
(Spli
t BBB
, BB)
3.98%
0.86%
6.69%
0.61%
12.58
%30
.89%
445b
p6.1
9%7.1
3%4.7
8 yrs
BBMi
ddle
Tier (
Split
BB, B
, Spli
t B)
3.67%
-0.01
%6.3
0%1.3
6%11
.67%
55.51
%65
5bp
7.93%
8.65%
3.72
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
8.83%
-1.36
%5.8
5%2.8
4%16
.85%
12.84
%11
05bp
12.30
%10
.94%
3.33
yrsCC
C/Sp
lit CC
C
J.P. M
orga
n Gl
obal
HYIn
dex b
y sec
urity
type
Cash
Pay
4.44%
0.25%
6.36%
1.22%
12.71
%96
.75%
636b
p7.8
4%8.4
0%4.0
2 yrs
Split
BBDe
ferre
d3.1
5%-2
.25%
8.31%
3.79%
13.35
%2.0
9%10
35bp
11.36
%11
.07%
3.34
yrsSp
lit B
Defau
lt17
.91%
-5.22
%2.7
1%4.2
6%19
.67%
1.15%
nana
nana
J.P. M
orga
n Gl
obal
HYIn
dex b
y size
$0 m
n to
$100
mn
6.39%
3.33%
5.10%
2.25%
18.15
%0.4
6%78
7bp
9.11%
9.05%
3.46
yrsSp
lit BB
$101
mn
to $2
99 m
n5.4
6%1.1
7%4.8
5%2.2
5%14
.37%
16.86
%73
2bp
8.54%
8.99%
3.37
yrsB
$300
mn
and
over
4.53%
-0.19
%6.6
8%1.1
3%12
.56%
82.69
%62
6bp
7.78%
8.35%
4.14
yrsSp
lit BB
J.P. M
orga
n Gl
obal
HYIn
dex b
y sen
iorit
ySe
nior S
ecur
ed4.5
3%-0
.40%
6.28%
2.14%
13.02
%24
.75%
749b
p8.8
7%9.3
9%3.6
7 yrs
BSe
nior
4.77%
0.15%
6.51%
1.01%
12.89
%64
.70%
591b
p7.4
6%8.0
5%4.2
3 yrs
Split
BBSe
nior S
ubor
dinate
4.32%
0.38%
5.42%
1.38%
11.92
%9.1
4%73
1bp
8.37%
8.71%
2.95
yrsB
Junio
r Sub
ordin
ate6.7
2%2.0
8%6.8
9%0.1
3%16
.60%
1.35%
667b
p8.9
2%9.2
0%6.2
8 yrs
Split
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A85
K
JP
Morg
an U
S D
olla
r G
lobal H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
J.P. M
orga
n Gl
obal
HYIn
dex b
y dur
atio
n<2
yrs
2.76%
0.45%
3.06%
0.67%
7.08%
14.04
%68
3bp
7.16%
8.69%
1.18
yrsB
2 - 3
yrs
5.01%
0.48%
5.37%
1.63%
13.00
%16
.58%
728b
p8.0
7%9.0
5%2.5
1 yrs
B3
- 4 yr
s5.1
3%-0
.25%
6.89%
1.50%
13.77
%20
.60%
751b
p8.8
0%9.1
9%3.5
4 yrs
B4
- 5 yr
s4.1
4%0.0
3%7.3
2%2.2
1%14
.27%
21.70
%64
5bp
8.14%
8.31%
4.46
yrsB
5 - 6
yrs
4.80%
-0.53
%7.7
8%1.3
9%13
.92%
13.75
%52
5bp
7.33%
7.57%
5.42
yrsSp
lit BB
6 - 7
yrs
4.18%
1.13%
7.66%
0.42%
13.91
%6.4
7%46
9bp
7.32%
7.53%
6.52
yrsSp
lit BB
7 - 1
0 yrs
3.35%
3.05%
8.92%
0.22%
16.26
%3.8
8%42
5bp
7.28%
7.22%
8.03
yrsBB
J.P. M
orga
n Gl
obal
HYIn
dex b
y 8-m
onth
pric
e vol
atilit
yLe
ss th
an 1
.503.6
0%0.3
6%6.0
3%1.4
4%11
.83%
49.93
%59
8bp
7.30%
8.29%
3.62
yrsSp
lit BB
1.50
to 4.9
93.8
0%-0
.44%
7.26%
1.19%
12.16
%44
.26%
649b
p8.1
0%8.4
5%4.3
5 yrs
B5.0
0 to
9.99
6.60%
-2.06
%6.5
2%2.0
5%13
.48%
5.51%
959b
p11
.40%
9.80%
4.85
yrsB
10.00
to 1
4.99
8.10%
1.07%
13.34
%12
.79%
39.66
%0.2
3%25
08bp
26.08
%16
.06%
2.36
yrsCC
C/Sp
lit CC
C15
.00 to
19.9
99.8
3%6.5
1%5.2
9%3.5
7%27
.56%
0.08%
0bp
0.00%
0.00%
0.00
yrsDe
fault
20.00
and
ove
r13
.11%
-1.53
%0.0
0%0.0
0%0.0
0%0.0
0%0b
p0.0
0%0.0
0%0.0
0 yrs
Defau
lt
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A86
L
JP
Morg
an D
evelo
ped H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
8.95%
0.35%
5.75%
0.03%
15.65
%3.2
4%56
5 bp
6.89%
7.96%
3.46
yrsB
Broa
dcas
ting
5.75%
0.51%
8.84%
3.04%
19.20
%1.7
1%74
5 bp
8.84%
9.21%
3.78
yrsSp
lit B
Cable
and
Sate
llite
4.45%
0.02%
7.62%
0.97%
13.52
%4.3
4%64
0 bp
7.59%
9.03%
3.36
yrsB
Chem
icals
7.10%
0.25%
6.95%
3.09%
18.38
%3.6
3%54
3 bp
6.81%
8.14%
3.82
yrsB
Cons
umer
Pro
ducts
4.07%
0.98%
5.07%
1.40%
11.95
%2.3
3%63
8 bp
7.77%
8.57%
3.81
yrsB
Dive
rsifie
d Me
dia5.6
6%0.9
2%4.9
9%0.7
8%12
.83%
2.23%
800
bp9.1
5%9.4
8%3.1
6 yrs
BEn
ergy
3.68%
-0.69
%7.1
8%1.0
0%11
.45%
13.36
%60
8 bp
7.67%
8.05%
4.34
yrsSp
lit BB
Finan
cial
9.55%
-0.24
%8.2
0%0.5
3%18
.87%
10.03
%62
6 bp
8.09%
7.88%
4.94
yrsSp
lit BB
Food
and
Bev
erag
es4.4
1%0.4
4%5.1
8%1.8
6%12
.36%
3.22%
661
bp7.9
6%8.7
3%3.6
8 yrs
BGa
ming
Lod
ging
and
Leisu
re4.7
5%1.4
0%4.8
0%2.3
0%13
.88%
5.25%
741
bp8.7
3%9.0
2%3.5
1 yrs
BHe
althc
are
2.71%
1.88%
5.46%
0.84%
11.29
%7.9
4%60
2 bp
7.33%
8.30%
3.62
yrsB
Hous
ing4.8
6%-0
.48%
4.64%
2.08%
11.47
%3.5
4%67
2 bp
8.17%
8.37%
4.02
yrsSp
lit BB
Indus
trials
4.82%
0.67%
5.91%
2.05%
14.05
%5.5
1%59
8 bp
7.29%
8.22%
3.60
yrsB
Metal
s and
Mini
ng3.7
5%0.5
1%5.9
9%2.7
4%13
.54%
3.03%
577
bp6.9
6%7.9
4%3.3
4 yrs
Split
BBPa
per a
nd P
acka
ging
3.95%
-0.93
%3.9
5%2.7
9%10
.04%
4.98%
678
bp8.3
3%8.3
9%4.2
9 yrs
Split
BBRe
tail
3.28%
0.56%
4.86%
0.59%
9.55%
4.30%
600
bp7.4
7%8.3
7%3.9
0 yrs
BSe
rvice
s3.9
1%-0
.19%
5.28%
1.64%
10.97
%4.4
3%75
6 bp
8.76%
9.16%
3.26
yrsB
Tech
nolog
y3.6
9%-3
.00%
8.22%
2.86%
11.97
%4.8
0%78
1 bp
9.13%
9.32%
3.65
yrsB
Telec
ommu
nicati
ons
-1.02
%1.2
5%3.5
3%0.0
9%3.8
4%5.7
6%62
7 bp
7.83%
8.53%
4.20
yrsB
Tran
spor
tation
3.16%
-0.07
%7.6
6%-0
.01%
10.97
%1.9
1%64
2 bp
7.71%
8.77%
3.52
yrsSp
lit BB
Utilit
y5.9
2%1.3
0%7.0
0%2.1
9%17
.32%
4.45%
702
bp9.0
6%8.6
3%5.3
3 yrs
Split
BBJ.P
. Mor
gan
Deve
lope
d HY
Inde
x4.5
8%0.1
1%6.2
3%1.3
9%12
.76%
100.0
0%64
8 bp
7.94%
8.46%
3.98 y
rsB
Ratin
gSp
lit BB
B3.7
5%0.9
5%6.1
6%0.7
5%12
.02%
9.79%
383
bp5.8
1%6.6
8%5.5
1 yrs
Split
BBB
BB3.5
8%1.0
4%6.6
7%0.6
8%12
.39%
19.09
%46
4 bp
6.23%
7.19%
4.39
yrsBB
Split
BB3.4
6%0.9
7%6.0
5%0.8
4%11
.71%
14.92
%54
0 bp
6.74%
7.80%
3.72
yrsSp
lit BB
B3.4
4%0.0
5%6.4
9%1.4
7%11
.84%
31.68
%65
2 bp
7.95%
8.72%
3.85
yrsB
Split
B3.9
4%-1
.30%
5.74%
1.92%
10.55
%10
.29%
822
bp9.4
7%9.5
1%3.3
6 yrs
Split
BCC
C/Sp
lit CC
C6.8
1%-0
.92%
6.49%
2.63%
15.66
%12
.18%
1088
bp
12.14
%10
.90%
3.34
yrsCC
C/Sp
lit CC
CNo
t Rate
d7.1
5%2.3
2%4.4
6%1.5
1%16
.25%
0.67%
863
bp9.7
3%10
.09%
3.04
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A87
L
JP
Morg
an D
evelo
ped H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)3.6
3%1.0
2%6.4
8%0.7
0%12
.26%
28.88
%43
7 bp
6.09%
7.02%
4.77
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)3.5
6%0.0
5%6.2
3%1.3
9%11
.59%
56.89
%65
3 bp
7.91%
8.62%
3.73
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
8.69%
-1.45
%5.8
2%2.8
4%16
.56%
13.56
%11
02 b
p12
.27%
10.96
%3.3
3 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
4.26%
0.30%
6.24%
1.28%
12.53
%96
.58%
639
bp7.8
6%8.4
0%3.9
9 yrs
Split
BBDe
ferre
d3.1
5%-2
.25%
8.31%
3.79%
13.35
%2.2
6%10
35 b
p11
.36%
11.07
%3.3
4 yrs
Split
BDe
fault
18.93
%-5
.59%
2.22%
4.31%
19.71
%1.1
6%
Size
$0mn
to $
100m
n6.3
4%3.4
7%5.0
7%2.2
9%18
.27%
0.44%
823
bp9.3
7%9.1
9%3.2
1 yrs
B$1
01mn
to $
299m
n5.5
1%1.2
7%4.8
3%2.2
8%14
.56%
17.23
%73
4 bp
8.57%
8.98%
3.37
yrsB
$300
mn a
nd O
ver
4.35%
-0.17
%6.5
5%1.2
0%12
.33%
82.33
%62
8 bp
7.79%
8.34%
4.11
yrsSp
lit BB
Seni
ority
Senio
r Sec
ured
4.48%
-0.29
%6.1
9%2.2
1%13
.07%
25.13
%75
4 bp
8.90%
9.41%
3.65
yrsB
Senio
r4.5
7%0.1
6%6.3
6%1.0
8%12
.62%
63.54
%59
3 bp
7.47%
8.03%
4.21
yrsSp
lit BB
Senio
r Sub
ordin
ate4.3
2%0.3
8%5.4
6%1.4
0%11
.99%
9.81%
728
bp8.3
4%8.6
8%2.9
6 yrs
BJu
nior S
ubor
dinate
6.72%
2.08%
6.89%
0.13%
16.60
%1.4
6%66
7 bp
8.92%
9.20%
6.28
yrsSp
lit BB
Dura
tion
<2 yr
s2.6
9%0.4
2%3.0
2%0.6
6%6.9
3%14
.68%
683
bp7.1
6%8.6
9%1.1
8 yrs
B2
- 3 yr
s4.8
3%0.4
5%5.3
7%1.7
4%12
.89%
16.53
%73
8 bp
8.18%
9.06%
2.51
yrsB
3 - 4
yrs
5.02%
-0.14
%6.8
1%1.6
3%13
.84%
20.21
%75
6 bp
8.86%
9.19%
3.54
yrsB
4 - 5
yrs
4.04%
0.09%
7.23%
2.36%
14.30
%22
.34%
645
bp8.1
3%8.3
1%4.4
6 yrs
B5
- 6 yr
s4.4
5%-0
.47%
7.71%
1.34%
13.48
%13
.29%
525
bp7.3
3%7.5
6%5.4
2 yrs
Split
BB6
- 7 yr
s4.1
4%1.1
9%7.6
8%0.4
9%14
.03%
5.97%
465
bp7.2
7%7.4
7%6.5
3 yrs
Split
BB7
- 10
yrs3.5
6%2.6
9%8.9
8%0.1
6%16
.08%
4.10%
425
bp7.2
8%7.2
1%8.0
5 yrs
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
M A88
JP
Morg
an D
om
estic H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30.
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
8.95%
0.35%
5.75%
0.03%
15.65
%3.4
6%56
5 bp
6.89%
7.96%
3.46
yrsB
Broa
dcas
ting
5.75%
0.51%
8.84%
3.04%
19.20
%1.8
3%74
5 bp
8.84%
9.21%
3.78
yrsSp
lit B
Cable
and
Sate
llite
4.56%
0.17%
7.69%
0.97%
13.89
%3.8
6%66
6 bp
7.87%
9.28%
3.42
yrsB
Chem
icals
6.49%
0.29%
6.82%
3.20%
17.73
%3.5
7%52
6 bp
6.64%
8.10%
3.80
yrsB
Cons
umer
Pro
ducts
4.07%
0.98%
5.07%
1.40%
11.95
%2.4
9%63
8 bp
7.77%
8.57%
3.81
yrsB
Dive
rsifie
d Me
dia6.0
5%1.0
5%4.9
8%0.7
0%13
.29%
2.03%
825
bp9.4
3%9.8
1%3.2
6 yrs
BEn
ergy
3.81%
-0.56
%7.2
3%0.9
5%11
.74%
13.67
%60
2 bp
7.62%
8.04%
4.36
yrsSp
lit BB
Finan
cial
9.94%
-0.32
%7.9
3%0.7
0%19
.11%
10.14
%60
8 bp
7.94%
7.96%
4.99
yrsSp
lit BB
Food
and
Bev
erag
es4.4
0%0.5
0%5.1
2%1.8
4%12
.33%
3.41%
660
bp7.9
4%8.7
2%3.6
6 yrs
BGa
ming
Lod
ging
and
Leisu
re4.6
2%1.4
7%4.7
4%2.2
6%13
.70%
5.42%
741
bp8.7
4%9.0
0%3.5
1 yrs
BHe
althc
are
2.57%
2.00%
5.51%
0.87%
11.34
%8.1
1%60
2 bp
7.33%
8.30%
3.61
yrsB
Hous
ing4.8
9%-0
.42%
4.64%
2.07%
11.56
%3.5
3%69
1 bp
8.39%
8.57%
4.07
yrsB
Indus
trials
4.78%
0.63%
5.94%
2.08%
14.03
%5.7
2%59
7 bp
7.27%
8.18%
3.60
yrsB
Metal
s and
Mini
ng3.5
6%0.7
1%5.7
0%1.5
3%11
.94%
2.82%
574
bp6.9
4%8.0
4%3.3
5 yrs
Split
BBPa
per a
nd P
acka
ging
3.91%
-1.16
%3.7
9%2.6
8%9.4
4%4.8
2%69
6 bp
8.46%
8.50%
4.14
yrsSp
lit BB
Retai
l3.2
8%0.5
6%4.8
6%0.5
9%9.5
5%4.6
0%60
0 bp
7.47%
8.37%
3.90
yrsB
Servi
ces
3.78%
-0.19
%5.2
7%1.5
6%10
.74%
4.58%
754
bp8.7
3%9.1
0%3.2
5 yrs
BTe
chno
logy
3.21%
-2.58
%7.3
3%2.4
8%10
.59%
4.57%
800
bp9.2
2%9.4
0%3.3
5 yrs
BTe
lecom
munic
ation
s3.1
3%0.2
4%7.4
9%-0
.18%
10.91
%5.0
9%62
3 bp
7.85%
8.42%
4.38
yrsSp
lit BB
Tran
spor
tation
5.80%
1.44%
6.68%
2.18%
16.99
%1.7
4%64
5 bp
7.69%
8.92%
3.39
yrsSp
lit BB
Utilit
y-1
.12%
1.38%
3.29%
0.12%
3.66%
4.54%
704
bp9.1
1%8.6
3%5.4
1 yrs
Split
BBJ.P
. Mor
gan
Dom
estic
HY
Inde
x4.5
6%0.2
0%6.0
8%1.3
3%12
.62%
100.0
0%64
8 bp
7.94%
8.48%
3.98 y
rsB
Ratin
gSp
lit BB
B4.0
2%0.9
2%6.0
4%0.8
5%12
.26%
10.10
%37
6 bp
5.77%
6.73%
5.60
yrsSp
lit BB
BBB
3.54%
1.12%
6.59%
0.56%
12.22
%18
.42%
461
bp6.2
0%7.2
0%4.3
8 yrs
BBSp
lit BB
3.40%
1.07%
6.07%
0.84%
11.79
%15
.17%
539
bp6.7
5%7.7
6%3.7
7 yrs
Split
BBB
3.44%
0.23%
6.35%
1.26%
11.66
%31
.61%
649
bp7.9
1%8.7
2%3.8
2 yrs
BSp
lit B
3.92%
-1.33
%5.7
7%1.9
1%10
.52%
10.54
%82
9 bp
9.55%
9.58%
3.39
yrsSp
lit B
CCC/
Split
CCC
6.54%
-0.79
%5.9
0%2.7
7%15
.04%
12.09
%10
97 b
p12
.22%
11.01
%3.2
9 yrs
CCC/
Split
CCC
Not R
ated
7.28%
2.42%
4.51%
1.18%
16.19
%0.6
5%88
5 bp
9.89%
10.29
%2.9
3 yrs
Not R
ated
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A89 MJP
Morg
an D
om
estic H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10So
urce
: J.P
. Mor
gan.
As o
f Nov
embe
r 30.
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)3.7
2%1.0
5%6.3
9%0.6
7%12
.25%
28.52
%43
1 bp
6.05%
7.03%
4.82
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)3.5
4%0.1
5%6.1
6%1.2
8%11
.50%
57.32
%65
3 bp
7.90%
8.62%
3.73
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
8.48%
-1.37
%5.2
9%2.9
6%15
.99%
13.52
%11
12 b
p12
.36%
11.08
%3.2
8 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
4.23%
0.40%
6.09%
1.22%
12.37
%96
.57%
638
bp7.8
5%8.4
1%3.9
9 yrs
Split
BBDe
ferre
d3.1
1%-2
.40%
8.57%
4.03%
13.65
%2.2
4%10
57 b
p11
.63%
11.33
%3.5
6 yrs
Split
BDe
fault
18.68
%-5
.63%
2.39%
4.21%
19.51
%1.1
9%
Size
$0mn
to $
100m
n6.3
4%3.4
7%5.0
7%2.2
9%18
.27%
0.47%
823
bp9.3
7%9.1
9%3.2
1 yrs
B$1
01mn
to $
299m
n5.5
1%1.2
6%4.8
3%2.2
8%14
.55%
17.92
%73
3 bp
8.55%
8.97%
3.36
yrsB
$300
mn a
nd O
ver
4.31%
-0.08
%6.3
9%1.1
2%12
.13%
81.61
%62
8 bp
7.79%
8.37%
4.12
yrsSp
lit BB
Seni
ority
Senio
r Sec
ured
4.39%
-0.05
%5.9
5%2.1
1%12
.86%
24.21
%76
2 bp
8.99%
9.47%
3.64
yrsB
Senio
r4.5
5%0.2
1%6.2
9%1.0
3%12
.51%
64.33
%59
0 bp
7.44%
8.04%
4.21
yrsSp
lit BB
Senio
r Sub
ordin
ate4.5
0%0.3
5%5.0
8%1.4
9%11
.84%
10.01
%74
0 bp
8.42%
8.79%
2.86
yrsB
Junio
r Sub
ordin
ate7.5
0%2.3
0%7.0
9%0.0
5%17
.84%
1.39%
655
bp9.0
6%9.3
8%7.0
0 yrs
Split
BB
Dura
tion
<2 yr
s2.6
3%0.4
5%2.9
2%0.7
1%6.8
6%14
.83%
669
bp7.0
2%8.7
1%1.1
9 yrs
B2
- 3 yr
s4.8
5%0.4
8%5.3
5%1.8
6%13
.05%
16.76
%74
5 bp
8.24%
9.13%
2.51
yrsB
3 - 4
yrs
4.85%
-0.05
%6.4
7%1.5
6%13
.31%
19.41
%76
5 bp
8.95%
9.25%
3.54
yrsB
4 - 5
yrs
4.02%
0.36%
7.28%
2.21%
14.47
%22
.09%
650
bp8.1
9%8.3
5%4.4
6 yrs
B5
- 6 yr
s4.4
9%-0
.56%
7.63%
1.35%
13.34
%13
.65%
525
bp7.3
3%7.5
7%5.4
2 yrs
Split
BB6
- 7 yr
s4.3
3%1.0
7%7.6
8%0.5
0%14
.11%
6.38%
465
bp7.2
7%7.4
7%6.5
3 yrs
Split
BB7
- 10
yrs3.3
4%3.2
5%8.0
4%-0
.63%
14.56
%3.9
0%41
3 bp
7.12%
7.08%
7.90
yrsBB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A90
N
JP
Morg
an D
evelo
ped B
B H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
7.85%
2.09%
5.81%
0.04%
16.55
%2.9
2%42
2 bp
5.42%
6.78%
3.58
yrsSp
lit BB
Broa
dcas
ting
3.35%
0.84%
6.79%
1.73%
13.23
%0.3
7%54
6 bp
6.94%
8.12%
4.03
yrsSp
lit BB
Cable
and
Sate
llite
3.39%
0.09%
5.76%
0.41%
9.88%
3.99%
490
bp6.0
5%7.6
8%3.2
7 yrs
BBCh
emica
ls5.3
7%2.1
2%6.7
9%0.9
0%15
.95%
2.97%
436
bp5.8
9%7.0
9%4.3
0 yrs
BBCo
nsum
er P
rodu
cts2.2
0%0.8
9%4.3
0%0.9
4%8.5
5%1.9
4%53
9 bp
6.95%
8.14%
4.30
yrsSp
lit BB
Dive
rsifie
d Me
dia3.3
7%1.1
9%4.8
2%0.8
4%10
.56%
1.44%
596
bp7.0
3%8.6
8%3.0
9 yrs
BBEn
ergy
3.07%
0.06%
8.16%
0.47%
12.07
%16
.48%
438
bp6.0
9%7.0
7%4.7
7 yrs
BBFin
ancia
l6.0
3%-0
.06%
7.95%
1.03%
15.57
%10
.20%
521
bp7.2
1%7.5
2%5.3
5 yrs
BBFo
od a
nd B
ever
ages
4.57%
1.15%
5.38%
1.19%
12.79
%1.9
8%36
4 bp
5.10%
6.86%
4.15
yrsBB
Gami
ng L
odgin
g an
d Le
isure
3.20%
1.39%
5.28%
1.18%
11.47
%4.5
8%52
2 bp
6.40%
7.52%
3.32
yrsBB
Healt
hcar
e1.7
9%2.9
8%5.7
5%0.7
9%11
.74%
7.68%
457
bp5.9
5%7.2
3%3.8
7 yrs
BBHo
using
4.13%
-0.92
%4.8
6%1.5
2%9.8
3%3.4
6%38
4 bp
5.41%
6.24%
4.55
yrsBB
Indus
trials
3.65%
0.73%
6.69%
1.29%
12.82
%6.0
4%48
1 bp
6.30%
7.21%
4.12
yrsBB
Metal
s and
Mini
ng3.3
0%1.1
8%5.3
3%0.8
5%11
.03%
3.87%
475
bp6.1
6%7.1
8%3.9
2 yrs
Split
BBPa
per a
nd P
acka
ging
3.15%
1.13%
4.69%
1.49%
10.83
%6.7
9%42
7 bp
5.98%
7.13%
4.85
yrsBB
Retai
l3.5
1%0.7
6%5.3
9%0.0
2%9.9
4%4.5
9%46
5 bp
6.59%
7.35%
5.00
yrsBB
Servi
ces
2.82%
1.37%
5.49%
1.25%
11.33
%2.8
9%50
5 bp
6.42%
7.27%
3.82
yrsBB
Tech
nolog
y3.8
2%0.9
7%5.7
3%0.8
5%11
.77%
3.16%
476
bp6.1
1%7.4
3%3.7
2 yrs
BBTe
lecom
munic
ation
s2.8
4%0.6
2%7.8
8%-0
.67%
10.88
%6.6
2%50
9 bp
6.73%
7.43%
4.56
yrsBB
Tran
spor
tation
5.31%
1.55%
7.11%
1.94%
16.77
%2.4
5%51
9 bp
6.62%
7.64%
3.96
yrsBB
Utilit
y2.4
6%2.0
7%5.6
5%-0
.23%
10.23
%5.5
8%48
8 bp
6.94%
7.50%
5.69
yrsBB
J.P. M
orga
n De
velo
ped
BB H
YIn
dex
3.52%
0.94%
6.33%
0.72%
11.91
%10
0.00%
472 b
p6.3
2%7.2
9%4.4
3 yrs
BB
Ratin
gSp
lit BB
B3.7
5%0.9
5%6.1
6%0.7
5%12
.02%
22.49
%38
3 bp
5.81%
6.68%
5.51
yrsSp
lit BB
BBB
3.57%
1.04%
6.67%
0.68%
12.38
%43
.64%
464
bp6.2
4%7.2
0%4.4
0 yrs
BBSp
lit BB
3.43%
0.76%
6.03%
0.82%
11.40
%33
.61%
540
bp6.7
3%7.8
0%3.7
2 yrs
Split
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A91
N
JP
Morg
an D
evelo
ped B
B H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)3.6
3%1.0
1%6.4
8%0.7
0%12
.25%
66.13
%43
7 bp
6.09%
7.02%
4.78
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)3.2
8%0.7
7%6.0
2%0.7
6%11
.19%
33.87
%54
0 bp
6.75%
7.81%
3.75
yrsB
Secu
rity T
ype
Cash
Pay
3.52%
0.94%
6.33%
0.72%
11.91
%99
.86%
471
bp6.3
1%7.2
8%4.4
3 yrs
BBDe
ferre
d0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0.1
4%99
2 bp
11.30
%13
.50%
4.45
yrsDe
fault
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
Size
$0mn
to $
100m
n3.8
9%4.0
4%4.4
6%1.0
6%14
.10%
0.38%
468
bp6.2
6%6.8
7%4.5
5 yrs
BB$1
01mn
to $
299m
n4.0
6%1.7
7%4.9
8%1.6
5%13
.01%
12.53
%52
4 bp
6.65%
7.53%
3.94
yrsBB
$300
mn a
nd O
ver
3.43%
0.80%
6.54%
0.59%
11.73
%87
.09%
464
bp6.2
7%7.2
6%4.5
0 yrs
BB
Seni
ority
Senio
r Sec
ured
3.31%
1.04%
5.85%
1.24%
11.87
%17
.41%
558
bp6.8
3%8.3
4%3.4
6 yrs
BBSe
nior
3.55%
0.93%
6.48%
0.64%
12.00
%74
.06%
448
bp6.1
7%7.0
6%4.6
7 yrs
BBSe
nior S
ubor
dinate
3.79%
0.97%
5.73%
0.73%
11.61
%6.8
7%50
1 bp
6.12%
6.86%
3.20
yrsBB
Junio
r Sub
ordin
ate2.3
8%0.2
2%6.9
8%-1
.15%
8.50%
1.66%
493
bp8.2
2%8.3
5%8.7
9 yrs
Split
BBB
Dura
tion
<2 yr
s1.9
8%0.2
6%2.7
1%0.1
6%5.1
8%13
.41%
502
bp5.3
4%7.5
3%1.1
8 yrs
BB2
- 3 yr
s3.8
5%0.9
3%5.5
4%1.0
9%11
.83%
15.06
%50
6 bp
5.81%
7.58%
2.50
yrsBB
3 - 4
yrs
3.87%
1.30%
6.16%
1.16%
12.99
%15
.56%
513
bp6.3
6%7.3
6%3.5
4 yrs
BB4
- 5 yr
s3.5
1%0.7
8%6.8
4%1.2
2%12
.80%
19.45
%49
7 bp
6.62%
7.31%
4.50
yrsBB
5 - 6
yrs
4.07%
0.64%
7.94%
1.19%
14.40
%16
.89%
439
bp6.4
3%6.9
7%5.4
3 yrs
BB6
- 7 yr
s4.7
1%1.5
9%9.2
1%1.3
1%17
.69%
8.79%
409
bp6.6
6%7.0
3%6.5
4 yrs
BB7
- 10
yrs2.8
8%3.2
3%8.3
5%-0
.23%
14.81
%7.2
0%40
0 bp
7.01%
7.00%
8.02
yrsBB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A92
OJP
Morg
an I
nstitu
tional H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
4.26%
1.16%
6.39%
0.16%
12.39
%3.0
3%50
6 bp
6.48%
7.67%
3.91
yrsSp
lit BB
Broa
dcas
ting
3.17%
0.22%
6.81%
1.62%
12.22
%1.5
9%59
2 bp
7.50%
8.19%
4.23
yrsB
Cable
and
Sate
llite
3.35%
-0.02
%6.3
4%0.2
2%10
.13%
3.52%
561
bp6.8
6%8.4
3%3.4
7 yrs
Split
BBCh
emica
ls4.7
4%1.4
7%6.4
4%1.4
6%14
.78%
3.98%
495
bp6.2
4%7.9
1%3.6
4 yrs
Split
BBCo
nsum
er P
rodu
cts2.7
3%0.7
8%4.9
2%1.2
2%9.9
5%2.5
2%59
1 bp
7.33%
8.35%
3.88
yrsSp
lit BB
Dive
rsifie
d Me
dia3.9
9%1.5
7%5.6
0%0.9
8%12
.62%
1.86%
699
bp8.2
6%9.1
8%3.4
8 yrs
Split
BBEn
ergy
3.03%
0.19%
7.47%
0.87%
11.90
%15
.77%
519
bp6.8
5%7.6
3%4.5
4 yrs
Split
BBFin
ancia
l8.5
7%-1
.05%
8.25%
0.44%
16.81
%10
.99%
564
bp7.6
3%7.7
2%5.3
2 yrs
Split
BBFo
od a
nd B
ever
ages
3.65%
0.84%
5.71%
1.32%
11.94
%3.0
1%55
2 bp
6.92%
8.40%
3.82
yrsSp
lit BB
Gami
ng L
odgin
g an
d Le
isure
3.66%
1.25%
5.35%
1.75%
12.50
%4.6
1%59
2 bp
7.15%
8.21%
3.41
yrsSp
lit BB
Healt
hcar
e2.1
9%2.1
7%5.4
1%0.7
4%10
.86%
8.59%
548
bp6.8
0%7.9
4%3.6
6 yrs
Split
BBHo
using
4.29%
-0.69
%5.5
4%1.7
9%11
.26%
3.07%
487
bp6.5
1%7.2
1%4.5
6 yrs
Split
BBInd
ustria
ls3.5
6%0.4
4%5.7
9%1.8
6%12
.09%
5.79%
526
bp6.6
3%7.6
6%3.7
8 yrs
Split
BBMe
tals a
nd M
ining
3.35%
0.96%
5.41%
1.25%
11.35
%3.1
0%50
4 bp
6.27%
7.50%
3.44
yrsSp
lit BB
Pape
r and
Pac
kagin
g3.0
4%0.9
7%4.4
2%1.4
5%10
.21%
4.56%
478
bp6.3
4%7.6
3%4.4
0 yrs
BBRe
tail
2.60%
0.92%
5.13%
0.51%
9.40%
4.43%
503
bp6.6
4%7.8
6%4.2
4 yrs
Split
BBSe
rvice
s2.9
4%1.2
3%5.7
2%1.6
1%11
.94%
4.20%
608
bp7.2
3%8.2
2%3.2
1 yrs
Split
BBTe
chno
logy
4.18%
0.69%
5.82%
1.21%
12.35
%3.0
6%57
3 bp
7.02%
8.33%
3.51
yrsSp
lit BB
Telec
ommu
nicati
ons
2.79%
0.74%
7.40%
-0.68
%10
.45%
5.46%
554
bp7.2
3%7.8
5%4.5
8 yrs
Split
BBTr
ansp
ortat
ion4.7
4%1.2
9%6.5
2%2.1
6%15
.44%
1.99%
577
bp7.0
0%8.4
1%3.3
9 yrs
Split
BBUt
ility
0.20%
1.73%
4.53%
0.39%
6.96%
4.89%
547
bp7.5
7%7.7
3%5.6
0 yrs
Split
BBJ.P
. Mor
gan
Inst
itutio
nal H
YIn
dex
3.49%
0.68%
6.23%
0.93%
11.72
%10
0.00%
543 b
p6.9
7%7.8
9%4.1
9 yrs
Split
BB
Ratin
gSp
lit BB
B4.0
2%0.9
2%6.0
4%0.8
5%12
.26%
13.46
%37
6 bp
5.77%
6.73%
5.60
yrsSp
lit BB
BBB
3.43%
1.14%
6.46%
0.55%
11.98
%24
.42%
461
bp6.2
1%7.2
0%4.3
9 yrs
BBSp
lit BB
3.25%
1.07%
6.07%
0.84%
11.63
%20
.22%
539
bp6.7
5%7.7
6%3.7
7 yrs
Split
BBB
3.39%
0.09%
6.23%
1.27%
11.32
%41
.77%
647
bp7.8
9%8.7
1%3.8
2 yrs
B
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A93
OJP
Morg
an I
nstitu
tional H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)3.6
6%1.0
6%6.3
1%0.6
6%12
.10%
37.88
%43
0 bp
6.05%
7.03%
4.82
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)3.3
5%0.4
4%6.1
7%1.1
1%11
.44%
62.12
%61
2 bp
7.53%
8.41%
3.80
yrsB
Secu
rity T
ype
Cash
Pay
3.49%
0.68%
6.23%
0.92%
11.72
%99
.67%
542
bp6.9
6%7.8
7%4.1
9 yrs
Split
BBDe
ferre
d2.4
2%1.4
4%5.5
9%2.7
8%12
.76%
0.33%
943
bp10
.53%
11.45
%3.7
1 yrs
Split
BBDe
fault
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
Size
$0mn
to $
100m
n4.1
0%2.7
5%4.1
5%1.7
7%13
.38%
0.36%
497
bp6.2
3%7.4
6%3.6
2 yrs
BB$1
01mn
to $
299m
n3.9
0%1.2
2%5.0
7%1.9
6%12
.66%
16.36
%61
9 bp
7.47%
8.42%
3.54
yrsSp
lit BB
$300
mn a
nd O
ver
3.38%
0.56%
6.50%
0.73%
11.53
%83
.28%
529
bp6.8
7%7.7
8%4.3
2 yrs
Split
BB
Seni
ority
Senio
r Sec
ured
3.40%
0.54%
6.41%
1.76%
12.57
%23
.95%
645
bp7.7
8%8.8
8%3.6
4 yrs
Split
BBSe
nior
3.40%
0.74%
6.29%
0.65%
11.44
%67
.51%
506
bp6.6
9%7.5
6%4.4
3 yrs
Split
BBSe
nior S
ubor
dinate
4.05%
0.66%
4.96%
1.10%
11.15
%6.9
8%56
0 bp
6.64%
7.53%
2.96
yrsSp
lit BB
Junio
r Sub
ordin
ate8.5
4%0.5
2%7.5
3%-1
.05%
16.08
%1.4
8%51
6 bp
8.03%
8.37%
8.00
yrsBB
Dura
tion
<2 yr
s2.3
1%0.5
6%2.8
8%0.5
2%6.3
9%14
.57%
550
bp5.8
3%8.2
1%1.1
8 yrs
Split
BB2
- 3 yr
s3.5
8%0.6
2%5.5
4%1.3
3%11
.47%
14.87
%58
1 bp
6.59%
8.41%
2.51
yrsSp
lit BB
3 - 4
yrs
3.71%
1.56%
6.33%
1.41%
13.58
%16
.56%
600
bp7.2
8%8.1
6%3.5
7 yrs
Split
BB4
- 5 yr
s3.3
6%0.1
6%6.7
5%1.7
1%12
.40%
22.59
%58
9 bp
7.56%
7.96%
4.46
yrsSp
lit BB
5 - 6
yrs
4.25%
-0.09
%7.8
4%1.1
7%13
.63%
16.42
%50
0 bp
7.06%
7.36%
5.42
yrsSp
lit BB
6 - 7
yrs
3.85%
1.22%
9.95%
0.43%
16.07
%7.8
1%44
8 bp
7.09%
7.31%
6.54
yrsSp
lit BB
7 - 1
0 yrs
2.76%
3.36%
7.52%
-0.69
%13
.41%
4.78%
401
bp7.0
0%6.9
7%7.9
4 yrs
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A94
P
JP
Morg
an 1
00 H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
2.99%
1.34%
4.31%
-1.83
%6.8
8%3.7
9%52
5 bp
6.19%
7.53%
2.73
yrsB
Broa
dcas
ting
3.64%
-2.32
%13
.60%
5.36%
21.16
%2.5
4%71
8 bp
8.23%
9.52%
3.08
yrsSp
lit B
Cable
and
Sate
llite
5.02%
-0.45
%7.2
7%-0
.36%
11.75
%5.9
3%68
1 bp
7.85%
9.60%
3.01
yrsB
Chem
icals
5.12%
0.26%
6.64%
3.03%
15.81
%2.9
6%55
7 bp
6.44%
9.61%
2.66
yrsB
Cons
umer
Pro
ducts
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsDi
versi
fied
Media
3.19%
0.66%
5.77%
0.60%
10.51
%2.2
1%75
8 bp
8.79%
9.12%
3.38
yrsB
Ener
gy6.0
5%-2
.76%
7.26%
1.14%
11.87
%12
.42%
655
bp8.3
9%8.4
3%4.8
9 yrs
Split
BBFin
ancia
l8.8
9%-1
.21%
8.75%
-0.51
%16
.39%
13.75
%60
6 bp
8.22%
7.85%
5.74
yrsSp
lit BB
Food
and
Bev
erag
es4.9
1%0.0
0%0.0
0%0.0
0%4.9
1%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Gami
ng L
odgin
g an
d Le
isure
6.04%
2.25%
3.16%
5.49%
17.98
%2.8
8%89
7 bp
11.22
%10
.45%
5.11
yrsSp
lit B
Healt
hcar
e1.4
0%1.1
8%5.3
5%0.2
1%8.3
2%7.7
3%63
1 bp
7.25%
8.71%
2.67
yrsB
Hous
ing3.2
5%-1
.28%
6.82%
2.10%
11.17
%3.6
0%97
2 bp
11.02
%10
.30%
3.48
yrsB
Indus
trials
2.86%
0.27%
7.35%
1.90%
12.83
%3.9
2%52
0 bp
6.76%
7.57%
4.21
yrsSp
lit BB
Metal
s and
Mini
ng5.2
8%0.4
9%6.0
9%3.2
1%15
.83%
4.52%
509
bp6.0
3%7.2
5%2.8
0 yrs
Split
BBPa
per a
nd P
acka
ging
2.52%
-1.25
%5.1
0%1.1
5%7.6
3%4.8
4%64
4 bp
8.62%
8.39%
5.93
yrsSp
lit BB
Retai
l2.6
5%-0
.19%
5.72%
-0.02
%8.2
9%3.3
3%51
8 bp
6.81%
7.44%
4.52
yrsSp
lit BB
Servi
ces
2.36%
0.99%
5.16%
1.49%
10.32
%1.5
7%65
6 bp
6.93%
9.05%
1.29
yrsB
Tech
nolog
y3.6
6%-7
.09%
11.86
%4.9
9%13
.10%
5.39%
860
bp10
.09%
9.42%
4.32
yrsSp
lit B
Telec
ommu
nicati
ons
3.39%
0.01%
8.61%
-0.74
%11
.47%
9.98%
645
bp8.0
5%8.8
1%4.4
3 yrs
BTr
ansp
ortat
ion0.0
0%-1
.97%
19.68
%-3
.00%
13.81
%1.0
0%38
9 bp
7.78%
7.65%
11.06
yrs
BBUt
ility
-2.18
%0.1
8%6.3
0%-1
.55%
2.55%
7.65%
841
bp10
.39%
9.15%
5.30
yrsSp
lit BB
J.P. M
orga
n Hi
gh Y
ield
100 I
ndex
4.08%
-0.74
%7.3
6%0.8
1%11
.82%
100.0
0%66
7 bp
8.26%
8.64%
4.33 y
rsB
Ratin
gSp
lit BB
B2.9
5%-0
.30%
7.73%
0.12%
10.71
%10
.70%
405
bp6.4
6%6.9
0%6.7
6 yrs
Split
BBB
BB3.8
2%0.6
8%8.5
9%-0
.62%
12.79
%15
.82%
472
bp6.8
7%7.4
5%5.8
4 yrs
BBSp
lit BB
3.12%
0.95%
5.75%
-0.35
%9.7
0%14
.17%
583
bp6.9
2%8.0
4%3.1
3 yrs
Split
BBB
3.76%
-0.97
%7.1
3%1.3
0%11
.52%
36.40
%63
8 bp
7.87%
8.61%
4.00
yrsB
Split
B2.7
9%-5
.29%
6.88%
1.81%
5.94%
9.93%
940
bp10
.58%
9.83%
3.29
yrsSp
lit B
CCC/
Split
CCC
4.09%
-0.67
%8.7
6%2.2
9%15
.03%
12.98
%10
84 b
p12
.19%
11.32
%3.5
0 yrs
CCC/
Split
CCC
Not R
ated
9.61%
0.00%
0.00%
0.00%
9.61%
0.00%
0 bp
0.00%
0.00%
0.00
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A95
P
JP
Morg
an 1
00 H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)3.4
7%0.2
6%8.1
9%-0
.30%
11.89
%26
.52%
445
bp6.7
0%7.2
3%6.2
1 yrs
BBMi
ddle
Tier (
Split
BB, B
, Spli
t B)
3.45%
-1.33
%6.7
2%1.0
1%10
.02%
60.50
%67
5 bp
8.09%
8.68%
3.68
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
5.88%
-0.35
%8.4
1%2.2
9%17
.01%
12.98
%10
84 b
p12
.19%
11.32
%3.5
0 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
4.16%
-0.42
%7.0
6%0.6
0%11
.72%
96.78
%65
2 bp
8.12%
8.57%
4.35
yrsB
Defer
red
2.36%
-6.67
%14
.00%
6.39%
15.86
%3.2
2%11
21 b
p12
.31%
10.53
%3.6
4 yrs
Split
BDe
fault
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
Seni
ority
Senio
r Sec
ured
4.82%
-1.63
%6.8
9%1.7
9%12
.20%
32.21
%72
8 bp
8.80%
9.16%
3.96
yrsB
Senio
r3.8
4%-0
.35%
7.47%
0.41%
11.66
%63
.23%
646
bp8.0
6%8.4
4%4.4
2 yrs
Split
BBSe
nior S
ubor
dinate
3.13%
0.61%
9.21%
0.28%
13.64
%3.2
9%56
8 bp
6.91%
7.67%
3.57
yrsSp
lit BB
Junio
r Sub
ordin
ate4.3
7%-2
.59%
7.24%
-1.52
%7.3
8%1.2
8%38
1 bp
7.76%
7.75%
11.27
yrs
Split
BBB
Dura
tion
<2 yr
s2.9
9%0.4
9%3.5
3%-0
.01%
7.14%
10.00
%63
8 bp
6.70%
8.99%
1.12
yrsB
2 - 3
yrs
4.08%
0.33%
5.23%
0.84%
10.79
%15
.86%
747
bp8.2
2%9.2
5%2.4
1 yrs
B3
- 4 yr
s4.4
0%-1
.40%
8.31%
0.47%
12.02
%21
.58%
810
bp9.3
7%9.6
2%3.4
3 yrs
B4
- 5 yr
s4.0
6%-0
.74%
7.95%
3.70%
15.62
%19
.47%
777
bp9.5
0%8.8
4%4.5
1 yrs
B5
- 6 yr
s5.5
8%-1
.99%
8.64%
0.97%
13.51
%19
.78%
508
bp7.1
0%7.4
1%5.3
1 yrs
Split
BB6
- 7 yr
s-0
.65%
0.07%
11.21
%-2
.40%
7.90%
5.10%
475
bp7.4
7%7.6
6%6.6
6 yrs
Split
BB7
- 10
yrs0.6
8%1.6
3%15
.37%
0.19%
18.28
%3.4
3%46
6 bp
7.90%
7.57%
9.00
yrsSp
lit BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
Q
A96
JP
Morg
an E
uro
Hig
h-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
9.32%
-0.82
%3.8
7%0.2
2%12
.86%
16.42
%44
9 bp
5.68%
6.76%
2.76
yrsSp
lit BB
Broa
dcas
ting
11.18
%-2
.91%
2.52%
3.27%
14.29
%1.0
2%76
2 bp
9.12%
10.21
%3.4
7 yrs
BCa
ble a
nd S
atellit
e4.9
7%-2
.04%
9.96%
-2.20
%10
.58%
7.93%
682
bp8.6
6%8.8
2%4.4
5 yrs
BCh
emica
ls10
.65%
-0.72
%8.9
3%1.0
5%20
.90%
7.13%
662
bp8.0
8%8.1
8%3.3
1 yrs
BCo
nsum
er P
rodu
cts6.5
3%-1
.04%
7.03%
1.36%
14.36
%1.0
0%60
5 bp
7.59%
7.88%
3.57
yrsB
Dive
rsifie
d Me
dia6.9
6%-8
.60%
4.74%
-13.4
8%-11
.41%
2.06%
2003
bp
21.36
%13
.54%
2.56
yrsSp
lit B
Ener
gy8.0
8%-5
.97%
10.83
%0.8
0%13
.54%
1.21%
515
bp6.8
8%6.4
4%4.3
6 yrs
BBFin
ancia
l10
.47%
-2.36
%6.7
2%2.0
9%17
.53%
6.57%
723
bp8.7
4%6.1
3%2.9
3 yrs
Split
BBFo
od a
nd B
ever
ages
7.45%
-1.87
%6.1
1%-0
.65%
11.15
%6.0
1%46
5 bp
6.26%
6.78%
3.94
yrsSp
lit BB
Gami
ng L
odgin
g an
d Le
isure
12.01
%-3
.70%
9.38%
-0.66
%17
.21%
3.63%
705
bp8.4
2%7.4
6%3.2
2 yrs
BHe
althc
are
6.57%
-1.05
%3.8
7%-1
.76%
7.61%
2.60%
584
bp7.0
1%7.4
6%2.6
4 yrs
Split
BBHo
using
4.14%
-1.50
%5.3
5%0.6
5%8.7
8%7.5
2%58
1 bp
7.20%
7.03%
3.25
yrsSp
lit BB
Indus
trials
6.53%
-2.19
%6.0
1%-3
.06%
7.09%
5.68%
547
bp7.2
2%6.6
8%4.5
0 yrs
Split
BBMe
tals a
nd M
ining
7.75%
-0.21
%5.7
7%2.6
1%16
.70%
3.92%
402
bp5.5
2%7.4
0%3.6
6 yrs
BBPa
per a
nd P
acka
ging
7.49%
-1.49
%6.6
3%0.3
3%13
.28%
9.81%
580
bp7.4
3%7.8
0%4.0
2 yrs
Split
BBRe
tail
2.34%
-0.40
%6.1
3%0.0
9%8.2
7%2.7
6%51
7 bp
6.49%
7.13%
3.08
yrsSp
lit BB
Servi
ces
10.83
%-2
.07%
7.78%
1.03%
18.18
%4.0
2%75
7 bp
8.93%
9.01%
2.98
yrsSp
lit B
Tech
nolog
y16
.26%
-3.60
%10
.15%
0.59%
24.17
%1.3
6%66
9 bp
8.04%
7.89%
3.21
yrsB
Telec
ommu
nicati
ons
0.22%
-5.41
%7.1
4%0.7
7%2.3
5%6.9
0%63
1 bp
7.86%
9.50%
3.25
yrsSp
lit BB
Tran
spor
tation
9.46%
2.02%
8.63%
-0.27
%20
.98%
2.23%
726
bp8.9
1%8.2
0%3.7
5 yrs
Split
BBUt
ility
5.04%
-2.68
%8.0
8%2.7
9%13
.57%
0.20%
552
bp6.3
7%7.9
4%1.3
4 yrs
BBJP
. Mor
gan
Euro
HY
Inde
x7.6
6%-2
.00%
6.62%
-0.14
%12
.33%
100.0
0%61
6 bp
7.64%
7.70%
3.44 y
rsSp
lit B
B
Ratin
gSp
lit BB
B5.8
1%-0
.78%
4.16%
1.78%
11.29
%7.9
4%29
9 bp
4.30%
6.10%
3.17
yrsSp
lit BB
BBB
5.37%
-0.95
%5.1
8%-0
.34%
9.40%
36.97
%44
4 bp
5.88%
6.40%
3.52
yrsBB
Split
BB5.4
1%-2
.05%
6.86%
-0.10
%10
.23%
7.97%
555
bp7.0
9%7.7
2%3.7
3 yrs
Split
BBB
6.65%
-2.02
%7.4
5%-0
.27%
11.98
%33
.86%
736
bp8.9
1%8.8
2%3.5
7 yrs
BSp
lit B
10.71
%-6
.66%
8.27%
-4.84
%6.4
7%5.2
0%11
38 b
p12
.59%
9.54%
2.53
yrsSp
lit B
CCC/
Split
CCC
11.39
%-3
.25%
11.37
%1.3
2%21
.61%
5.32%
1063
bp
12.30
%9.5
8%2.9
8 yrs
CCC/
Split
CCC
Not R
ated
7.01%
-2.30
%11
.83%
2.24%
19.54
%1.6
1%62
9 bp
8.05%
9.08%
3.08
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A97
Q
JP
Morg
an E
uro
Hig
h-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)5.4
7%-0
.89%
4.91%
0.04%
9.71%
44.91
%41
9 bp
5.60%
6.35%
3.46
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)6.7
7%-2
.51%
7.36%
-0.69
%10
.98%
47.02
%75
0 bp
9.01%
8.72%
3.48
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
17.19
%-3
.78%
8.84%
0.66%
23.52
%6.4
5%10
88 b
p12
.54%
9.64%
2.96
yrsCC
C/Sp
lit CC
C
Secu
rity T
ype
Cash
Pay
6.97%
-1.93
%6.8
0%-0
.11%
11.91
%98
.55%
616
bp7.6
4%7.7
0%3.4
5 yrs
Split
BBDe
ferre
d7.1
8%-0
.80%
7.03%
1.26%
15.23
%0.4
2%72
2 bp
7.97%
7.97%
0.64
yrsSp
lit B
Defau
lt57
.59%
-6.58
%-6
.44%
-3.08
%33
.49%
1.03%
Size
$0mn
to $
100m
n3.2
1%1.0
6%3.7
1%0.0
0%8.1
8%0.3
3%17
45 b
p23
.21%
9.14%
1.69
yrsB
$101
mn to
$29
9mn
6.47%
-0.15
%6.5
3%1.4
6%14
.91%
13.19
%72
8 bp
8.60%
8.60%
2.78
yrsB
$300
mn a
nd O
ver
7.96%
-2.37
%6.6
6%-0
.39%
11.97
%86
.48%
595
bp7.4
4%7.5
6%3.5
4 yrs
Split
BB
Seni
ority
Senio
r Sec
ured
7.41%
-3.12
%8.0
9%-0
.74%
11.66
%31
.12%
796
bp9.4
9%9.1
9%3.5
4 yrs
BSe
nior
7.39%
-1.55
%5.8
4%0.1
4%12
.06%
63.41
%52
0 bp
6.66%
6.88%
3.43
yrsSp
lit BB
Senio
r Sub
ordin
ate10
.56%
-2.16
%8.4
2%0.0
9%17
.39%
5.05%
692
bp8.3
2%8.6
2%3.1
4 yrs
BJu
nior S
ubor
dinate
4.60%
-1.01
%5.7
6%1.2
6%10
.89%
0.42%
722
bp7.9
7%7.9
7%0.6
4 yrs
Split
B
Dura
tion
<2 yr
s4.0
3%-1
.56%
4.05%
0.24%
6.81%
17.31
%61
1 bp
7.07%
7.41%
1.31
yrsSp
lit BB
2 - 3
yrs
6.16%
-2.15
%6.3
2%-1
.23%
9.08%
15.46
%78
2 bp
8.89%
7.48%
2.55
yrsSp
lit BB
3 - 4
yrs
8.30%
-1.35
%7.2
0%0.6
8%15
.31%
32.25
%57
3 bp
7.16%
7.84%
3.45
yrsSp
lit BB
4 - 5
yrs
7.51%
-3.46
%7.5
1%-0
.07%
11.50
%21
.07%
602
bp7.8
3%7.9
2%4.4
1 yrs
Split
BB5
- 6 yr
s7.3
8%-1
.14%
8.54%
-1.35
%13
.67%
10.00
%57
9 bp
7.91%
7.77%
5.37
yrsSp
lit BB
6 - 7
yrs
9.67%
2.85%
9.04%
2.66%
26.26
%1.3
8%54
2 bp
8.03%
7.98%
6.61
yrsSp
lit BB
7 - 1
0 yrs
0.00%
0.00%
0.00%
-3.31
%-3
.31%
1.51%
412
bp6.7
8%6.4
9%7.3
7 yrs
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A98
R
JP
Morg
an S
terlin
g H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
13.53
%6.2
7%-1
.25%
0.11%
19.28
%10
.16%
252
bp5.1
6%6.5
8%4.6
3 yrs
BBr
oadc
astin
g10
.84%
-0.39
%8.1
0%1.1
6%20
.73%
7.07%
406
bp6.0
8%6.1
3%4.3
0 yrs
Split
BBCa
ble a
nd S
atellit
e5.9
8%-2
.09%
11.14
%0.2
2%15
.58%
14.57
%39
2 bp
6.17%
7.04%
4.76
yrsBB
Chem
icals
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsCo
nsum
er P
rodu
cts0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Dive
rsifie
d Me
dia2.2
1%2.3
0%2.2
1%1.4
6%8.4
4%0.9
9%10
74 b
p12
.20%
9.13%
2.78
yrsB
Ener
gy0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Finan
cial
9.22%
-1.86
%10
.39%
-6.46
%10
.68%
12.94
%70
2 bp
10.04
%8.2
9%6.8
8 yrs
BBFo
od a
nd B
ever
ages
3.14%
2.43%
0.87%
0.59%
7.20%
5.18%
401
bp6.4
6%7.3
4%5.7
9 yrs
BBGa
ming
Lod
ging
and
Leisu
re4.2
4%-2
.76%
5.47%
1.95%
8.98%
10.27
%48
7 bp
7.01%
7.56%
4.24
yrsBB
Healt
hcar
e0.0
0%0.0
0%-0
.10%
0.31%
0.22%
2.76%
749
bp9.8
5%9.8
0%4.6
5 yrs
BHo
using
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsInd
ustria
ls8.9
0%9.9
1%8.9
0%6.3
2%38
.57%
0.22%
7655
bp
77.99
%39
.38%
1.67
yrsB
Metal
s and
Mini
ng3.9
8%-0
.06%
4.23%
0.59%
8.95%
0.00%
0 bp
0.00%
0.00%
0.00
yrsPa
per a
nd P
acka
ging
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsRe
tail
4.56%
0.75%
3.16%
1.47%
10.27
%9.0
7%85
7 bp
10.35
%9.4
8%3.4
3 yrs
Split
BBSe
rvice
s2.7
7%-1
.18%
3.84%
3.73%
9.41%
3.43%
610
bp8.3
4%8.7
9%2.7
7 yrs
BTe
chno
logy
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsTe
lecom
munic
ation
s2.5
6%-0
.77%
5.24%
2.24%
9.49%
5.77%
520
bp6.9
5%9.1
7%2.7
5 yrs
BTr
ansp
ortat
ion7.1
7%-3
.44%
11.64
%4.0
6%20
.21%
6.53%
473
bp6.9
1%7.2
3%4.7
6 yrs
BBUt
ility
3.71%
0.70%
19.38
%1.5
9%26
.66%
11.03
%42
7 bp
6.55%
8.07%
4.28
yrsSp
lit BB
J.P. M
orga
n St
erlin
g HY
Inde
x7.1
6%-0
.17%
7.53%
0.10%
15.14
%10
0.00%
539 b
p7.6
7%7.9
1%4.6
0 yrs
Split
BB
Ratin
gSp
lit BB
B11
.35%
-2.05
%13
.70%
-10.3
8%11
.14%
8.15%
516
bp8.4
5%7.2
5%8.9
4 yrs
Split
BBB
BB4.0
5%-0
.71%
5.23%
1.18%
9.99%
38.74
%40
8 bp
6.22%
7.06%
4.22
yrsBB
Split
BB8.8
6%-1
.94%
8.85%
1.17%
17.55
%16
.87%
465
bp6.8
7%7.3
2%4.6
8 yrs
Split
BBB
4.10%
-0.42
%5.7
9%1.5
7%11
.39%
20.76
%75
5 bp
9.47%
9.47%
2.91
yrsB
Split
B2.0
8%0.0
0%0.0
0%0.0
0%2.0
8%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Split
BCC
C/Sp
lit CC
C7.3
5%6.0
9%6.2
8%3.8
5%25
.70%
0.22%
5112
bp
52.63
%25
.50%
2.00
yrsCC
C/Sp
lit CC
CNo
t Rate
d4.7
6%-0
.36%
17.69
%2.2
6%25
.63%
11.45
%62
9 bp
9.06%
8.95%
5.78
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A99
R
JP
Morg
an S
terlin
g H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce:
J.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)5.4
7%-1
.10%
7.22%
-1.34
%10
.34%
46.90
%42
7 bp
6.60%
7.09%
5.04
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)5.9
0%-0
.76%
6.60%
1.49%
13.70
%37
.63%
625
bp8.3
1%8.5
0%3.7
0 yrs
BLo
wer T
ier (C
CC, D
efault
)38
.37%
13.13
%-5
.74%
-3.02
%43
.08%
4.02%
5112
bp
52.63
%25
.50%
2.00
yrsCC
C/Sp
lit CC
C
Secu
rity T
ype
Cash
Pay
5.82%
-0.83
%8.2
4%0.2
3%13
.87%
96.20
%53
9 bp
7.67%
7.91%
4.60
yrsSp
lit BB
Defer
red
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsDe
fault
42.04
%13
.53%
-6.35
%-3
.39%
45.90
%3.8
0%
Size
$0mn
to $
100m
n3.1
7%3.6
7%3.8
8%2.6
5%14
.05%
1.99%
2792
bp
29.45
%17
.02%
2.59
yrsB
$101
mn to
$29
9mn
7.64%
-0.33
%3.9
4%1.4
6%13
.14%
54.19
%57
1 bp
7.71%
8.29%
3.46
yrsSp
lit BB
$300
mn a
nd O
ver
7.20%
-0.26
%12
.09%
-1.70
%17
.80%
43.82
%39
1 bp
6.57%
6.99%
6.14
yrsBB
Seni
ority
Senio
r Sec
ured
7.87%
-1.83
%6.4
9%1.7
1%14
.69%
28.75
%59
7 bp
8.14%
8.43%
4.44
yrsBB
Senio
r7.0
9%0.7
8%7.0
3%0.9
3%16
.58%
62.25
%51
5 bp
7.31%
7.66%
4.11
yrsSp
lit BB
Senio
r Sub
ordin
ate2.3
2%0.1
1%3.1
7%2.5
5%8.3
6%2.6
7%65
8 bp
8.59%
7.90%
1.83
yrsB
Junio
r Sub
ordin
ate7.4
9%-2
.12%
18.02
%-1
3.67%
7.18%
6.33%
449
bp8.4
5%7.8
4%11
.01 yr
sSp
lit BB
B
Dura
tion
<2 yr
s4.1
5%-1
.61%
3.12%
1.62%
7.39%
20.94
%58
3 bp
7.43%
8.12%
1.52
yrsSp
lit BB
2 - 3
yrs
5.58%
-2.93
%5.4
5%2.4
8%10
.75%
1.76%
2179
bp
23.34
%14
.20%
2.70
yrsB
3 - 4
yrs
3.91%
0.85%
4.16%
0.97%
10.21
%7.2
1%53
1 bp
6.97%
7.93%
3.33
yrsBB
4 - 5
yrs
8.55%
-1.83
%7.5
5%1.4
8%16
.30%
39.63
%50
7 bp
7.19%
7.49%
4.47
yrsSp
lit BB
5 - 6
yrs
7.76%
-0.33
%5.9
8%-0
.74%
12.99
%4.3
9%69
2 bp
9.56%
9.53%
5.27
yrsB
6 - 7
yrs
5.16%
1.09%
15.46
%1.2
3%24
.26%
8.33%
379
bp6.7
3%7.2
9%6.3
6 yrs
Split
BB7
- 10
yrs-1
.66%
1.54%
1.78%
0.96%
2.60%
7.61%
372
bp7.1
3%7.8
2%7.7
6 yrs
BB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A100
S
JP
Morg
an U
S D
olla
r E
uro
pean H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0 bp
0.00%
0.00%
0.00
yrsBr
oadc
astin
g-2
1.57%
-14.0
6%12
5.66%
0.00%
52.10
%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Cable
and
Sate
llite
3.79%
-0.73
%7.2
7%0.9
5%11
.57%
9.93%
517
bp6.2
4%7.8
7%3.1
0 yrs
Split
BBCh
emica
ls26
.31%
2.74%
9.14%
1.83%
44.23
%3.8
9%73
3 bp
8.85%
8.64%
4.07
yrsB
Cons
umer
Pro
ducts
1.65%
4.56%
-0.98
%0.4
6%5.7
2%0.5
0%43
4 bp
4.68%
8.29%
1.34
yrsB
Dive
rsifie
d Me
dia3.5
2%0.1
5%5.1
3%1.2
2%10
.32%
4.55%
662
bp7.5
9%7.7
1%2.6
4 yrs
Split
BEn
ergy
2.68%
-2.81
%6.3
6%1.8
2%8.0
7%8.3
3%74
8 bp
8.87%
8.54%
3.77
yrsB
Finan
cial
12.35
%1.6
6%9.4
9%-0
.57%
24.34
%6.7
3%53
9 bp
7.20%
6.74%
5.06
yrsSp
lit BB
Food
and
Bev
erag
es5.2
5%-6
.47%
13.52
%0.6
5%12
.48%
1.13%
683
bp8.6
0%9.1
1%4.4
3 yrs
BGa
ming
Lod
ging
and
Leisu
re11
.95%
-0.95
%6.9
9%3.3
7%22
.63%
2.49%
721
bp8.4
6%9.4
1%3.4
6 yrs
BHe
althc
are
4.77%
-0.23
%4.5
7%0.3
7%9.7
1%4.8
2%60
9 bp
7.43%
8.23%
3.70
yrsSp
lit BB
Hous
ing4.4
8%-1
.28%
4.74%
2.14%
10.35
%3.1
8%40
0 bp
5.11%
5.59%
3.40
yrsBB
Indus
trials
6.72%
3.42%
3.92%
0.34%
15.08
%2.1
1%64
7 bp
7.86%
9.52%
3.54
yrsSp
lit BB
Metal
s and
Mini
ng9.5
1%-0
.62%
5.82%
0.35%
15.56
%10
.22%
555
bp7.1
4%8.0
2%4.2
9 yrs
Split
BBPa
per a
nd P
acka
ging
4.62%
3.59%
6.09%
3.81%
19.36
%6.1
7%48
4 bp
6.93%
7.25%
5.84
yrsBB
Retai
l0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
Servi
ces
8.43%
-0.62
%5.4
0%3.8
6%17
.95%
1.86%
825
bp9.7
8%10
.78%
3.84
yrsCC
C/Sp
lit CC
CTe
chno
logy
8.20%
-6.77
%16
.60%
6.11%
24.81
%7.0
9%62
5 bp
8.41%
8.68%
6.00
yrsSp
lit B
Telec
ommu
nicati
ons
4.16%
-1.61
%8.0
1%0.5
5%11
.30%
20.40
%57
5 bp
7.13%
8.66%
3.66
yrsSp
lit BB
Tran
spor
tation
6.52%
0.30%
9.63%
2.20%
19.71
%3.8
9%62
6 bp
7.82%
7.91%
4.23
yrsSp
lit BB
Utilit
y0.9
3%-1
.20%
8.50%
-0.51
%7.6
5%2.7
3%66
7 bp
8.00%
8.67%
3.59
yrsBB
J.P. M
orga
n US
$ Eur
opea
n HY
Inde
x5.4
9%-0
.99%
7.80%
1.49%
14.27
%10
0.00%
598 b
p7.4
6%8.1
8%4.0
5 yrs
Split
BB
Ratin
gSp
lit BB
B1.1
6%1.5
6%6.7
2%-0
.81%
8.75%
3.61%
442
bp5.3
7%5.0
6%3.1
0 yrs
Split
BBB
BB5.4
7%-0
.34%
7.24%
1.25%
14.13
%37
.22%
486
bp6.5
3%7.3
4%4.5
6 yrs
BBSp
lit BB
6.86%
-1.38
%5.4
8%1.0
5%12
.34%
9.79%
559
bp6.6
0%8.5
3%2.8
2 yrs
Split
BBB
4.02%
-1.72
%7.6
7%1.9
4%12
.21%
32.03
%69
6 bp
8.48%
9.01%
4.12
yrsB
Split
B2.8
6%0.0
3%5.0
3%1.5
0%9.6
8%5.5
2%62
0 bp
7.18%
7.86%
2.64
yrsSp
lit B
CCC/
Split
CCC
10.06
%-2
.24%
12.36
%1.6
2%22
.85%
10.94
%76
1 bp
9.17%
9.45%
4.22
yrsCC
C/Sp
lit CC
CNo
t Rate
d2.6
3%-0
.63%
3.76%
4.65%
10.73
%0.8
9%66
7 bp
8.19%
8.31%
4.02
yrs
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A101
S
JP
Morg
an U
S D
olla
r E
uro
pean H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)4.3
5%0.0
2%7.2
9%1.0
2%13
.12%
40.82
%48
3 bp
6.43%
7.14%
4.43
yrsBB
Midd
le Tie
r (Sp
lit BB
, B, S
plit B
)4.4
9%-1
.59%
6.93%
1.66%
11.79
%47
.34%
659
bp7.9
4%8.7
8%3.6
8 yrs
BLo
wer T
ier (C
CC, D
efault
)11
.33%
-1.39
%11
.61%
1.62%
24.52
%10
.94%
761
bp9.1
7%9.4
5%4.2
2 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
5.51%
-1.00
%7.8
3%1.5
0%14
.32%
97.75
%59
5 bp
7.45%
8.19%
4.13
yrsSp
lit BB
Defer
red
4.11%
0.26%
5.12%
0.87%
10.68
%2.2
5%76
0 bp
7.81%
7.81%
0.64
yrsSp
lit B
Defau
lt8.6
0%-1
4.06%
-65.8
0%0.0
0%-6
8.09%
0.00%
Size
$0MN
to $
100m
n0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0.0
0%0
bp0.0
0%0.0
0%0.0
0 yrs
$101
mn to
$29
9mn
3.86%
1.30%
4.95%
1.95%
12.57
%6.6
0%71
2 bp
8.54%
9.35%
3.75
yrsB
$300
mn a
nd O
ver
5.58%
-1.12
%7.9
7%1.4
5%14
.36%
93.40
%59
0 bp
7.38%
8.10%
4.07
yrsSp
lit BB
Seni
ority
Senio
r Sec
ured
5.63%
-1.91
%7.4
7%1.2
5%12
.74%
41.90
%64
1 bp
7.87%
8.76%
3.85
yrsSp
lit BB
Senio
r5.7
5%-0
.56%
7.58%
1.98%
15.37
%49
.87%
568
bp7.2
0%7.9
2%4.2
6 yrs
Split
BBSe
nior S
ubor
dinate
3.32%
1.26%
10.84
%-0
.55%
15.32
%5.9
7%48
6 bp
6.61%
6.44%
4.99
yrsSp
lit BB
Junio
r Sub
ordin
ate4.1
1%0.2
6%5.1
2%0.8
7%10
.68%
2.25%
760
bp7.8
1%7.8
1%0.6
4 yrs
Split
B
Dura
tion
<2 yr
s2.0
8%0.2
1%3.8
4%0.8
4%7.1
3%10
.53%
616
bp6.4
8%8.4
5%1.0
9 yrs
B2
- 3 yr
s6.6
5%0.2
9%5.4
7%0.0
8%12
.91%
15.56
%57
9 bp
6.49%
7.80%
2.38
yrsSp
lit BB
3 - 4
yrs
7.35%
-1.34
%9.9
8%2.0
5%18
.87%
27.64
%68
8 bp
8.21%
8.99%
3.60
yrsB
4 - 5
yrs
5.72%
-2.72
%6.1
3%2.3
2%11
.67%
24.51
%58
6 bp
7.50%
7.80%
4.40
yrsSp
lit BB
5 - 6
yrs
5.83%
1.02%
8.47%
0.66%
16.73
%11
.34%
508
bp7.1
5%7.4
2%5.4
4 yrs
BB6
- 7 yr
s-3
.51%
0.00%
4.20%
-0.86
%-0
.32%
3.83%
466
bp7.4
0%7.7
5%6.6
2 yrs
BB7
- 10
yrs5.1
5%-2
.04%
15.70
%6.5
1%26
.94%
6.03%
525
bp8.6
1%8.2
5%9.2
8 yrs
B
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A102
T
JP
Morg
an E
uro
pean C
urr
ency H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
8.38%
-0.08
%3.7
8%0.5
4%13
.00%
15.54
%43
9 bp
5.65%
6.75%
2.85
yrsSp
lit BB
Broa
dcas
ting
11.17
%-1
.92%
4.50%
2.71%
17.03
%1.4
3%61
9 bp
7.83%
8.50%
3.72
yrsSp
lit BB
Cable
and
Sate
llite
5.29%
-2.14
%10
.09%
-1.75
%11
.46%
9.20%
621
bp8.0
8%8.3
1%4.5
1 yrs
Split
BBCh
emica
ls10
.65%
-0.72
%8.9
3%1.0
5%20
.90%
6.44%
662
bp8.0
8%8.1
8%3.3
1 yrs
BCo
nsum
er P
rodu
cts6.5
3%-1
.04%
7.03%
1.36%
14.36
%0.9
0%60
5 bp
7.59%
7.88%
3.57
yrsB
Dive
rsifie
d Me
dia7.1
1%-8
.82%
4.59%
-13.9
0%-1
2.05%
1.80%
2078
bp
22.17
%13
.72%
2.68
yrsSp
lit B
Ener
gy8.0
8%-5
.97%
10.83
%0.8
0%13
.54%
1.09%
515
bp6.8
8%6.4
4%4.3
6 yrs
BBFin
ancia
l10
.38%
-2.02
%7.5
8%0.0
7%16
.41%
6.96%
739
bp9.2
8%6.8
2%3.9
0 yrs
Split
BBFo
od a
nd B
ever
ages
6.57%
-1.47
%5.9
3%-0
.79%
10.35
%5.0
7%49
2 bp
6.66%
6.93%
4.27
yrsSp
lit BB
Gami
ng L
odgin
g an
d Le
isure
11.18
%-3
.50%
8.51%
0.04%
16.47
%4.5
1%64
5 bp
8.04%
7.48%
3.50
yrsSp
lit BB
Healt
hcar
e6.5
7%-1
.05%
3.64%
-1.52
%7.6
3%2.6
8%60
4 bp
7.36%
7.75%
2.89
yrsSp
lit BB
Hous
ing4.1
4%-1
.50%
5.35%
0.65%
8.78%
6.79%
581
bp7.2
0%7.0
3%3.2
5 yrs
Split
BBInd
ustria
ls6.5
6%-2
.10%
6.04%
-3.00
%7.3
0%5.1
5%58
4 bp
7.59%
6.85%
4.48
yrsSp
lit BB
Metal
s and
Mini
ng7.1
8%-0
.22%
5.71%
2.53%
15.91
%3.5
3%40
2 bp
5.52%
7.40%
3.66
yrsBB
Pape
r and
Pac
kagin
g7.4
5%-1
.48%
6.61%
0.33%
13.23
%8.8
5%58
0 bp
7.43%
7.80%
4.02
yrsSp
lit BB
Retai
l2.4
3%-0
.22%
5.20%
0.52%
8.08%
3.58%
621
bp7.6
8%7.8
5%3.1
8 yrs
Split
BBSe
rvice
s10
.33%
-2.02
%7.5
5%1.2
5%17
.71%
4.04%
742
bp8.8
7%8.9
9%2.9
6 yrs
BTe
chno
logy
16.26
%-3
.60%
10.15
%0.5
9%24
.17%
1.23%
669
bp8.0
4%7.8
9%3.2
1 yrs
BTe
lecom
munic
ation
s0.5
0%-4
.87%
6.89%
0.89%
3.11%
6.92%
620
bp7.7
7%9.4
6%3.2
0 yrs
Split
BBTr
ansp
ortat
ion8.8
5%0.6
3%9.2
8%0.5
9%20
.41%
2.80%
655
bp8.3
5%7.9
3%4.0
3 yrs
Split
BBUt
ility
3.93%
0.26%
17.92
%1.7
3%25
.01%
1.50%
442
bp6.5
3%8.0
6%3.9
3 yrs
Split
BBJ.P
. Mor
gan
Euro
pean
Cur
renc
y Ind
ex7.3
8%-1
.80%
6.82%
-0.09
%12
.53%
100.0
0%61
1 bp
7.69%
7.75%
3.58 y
rsSp
lit B
B
Ratin
gSp
lit BB
B6.3
0%-0
.61%
5.27%
-0.14
%11
.06%
7.63%
317
bp4.7
6%6.4
4%4.0
1 yrs
Split
BBB
BB5.2
6%-0
.90%
5.25%
-0.20
%9.5
6%37
.84%
444
bp5.9
8%6.4
8%3.6
6 yrs
BBSp
lit BB
5.74%
-2.04
%6.9
8%0.1
4%10
.97%
8.35%
545
bp7.0
3%7.6
3%3.7
8 yrs
Split
BBB
6.50%
-1.90
%7.2
4%-0
.11%
11.91
%33
.04%
737
bp8.9
6%8.8
7%3.5
2 yrs
BSp
lit B
11.29
%-7
.04%
8.47%
-5.10
%6.5
1%4.5
2%11
59 b
p12
.81%
9.57%
2.57
yrsSp
lit B
CCC/
Split
CCC
11.37
%-3
.22%
11.35
%1.3
4%21
.63%
4.83%
1086
bp
12.52
%9.6
7%2.9
7 yrs
CCC/
Split
CCC
Not R
ated
6.42%
-1.99
%14
.34%
2.25%
21.94
%2.8
3%62
9 bp
8.54%
9.02%
4.39
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A103
T
JP
Morg
an E
uro
pean C
urr
ency H
igh-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)5.4
7%-0
.82%
5.24%
-0.20
%9.8
6%45
.46%
423
bp5.7
8%6.4
7%3.7
1 yrs
BBMi
ddle
Tier (
Split
BB, B
, Spli
t B)
6.78%
-2.41
%7.2
5%-0
.50%
11.19
%45
.91%
744
bp8.9
9%8.7
2%3.4
7 yrs
BLo
wer T
ier (C
CC, D
efault
)15
.95%
-2.99
%8.8
6%1.1
1%23
.81%
5.80%
1110
bp
12.76
%9.7
3%2.9
5 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
6.89%
-1.81
%6.9
8%-0
.11%
12.17
%98
.74%
611
bp7.6
9%7.7
5%3.6
0 yrs
Split
BBDe
ferre
d7.1
8%-0
.80%
7.03%
1.26%
15.23
%0.3
8%72
2 bp
7.97%
7.97%
0.64
yrsSp
lit B
Defau
lt47
.60%
-1.64
%-7
.41%
0.60%
35.23
%0.8
8%
Size
$0mn
to $
100m
n3.4
3%2.2
5%4.2
8%1.1
5%11
.55%
0.53%
2219
bp
26.03
%12
.71%
2.10
yrsB
$101
mn to
$29
9mn
6.42%
-0.32
%5.7
7%1.5
5%13
.95%
17.69
%67
9 bp
8.33%
8.52%
3.00
yrsB
$300
mn a
nd O
ver
7.69%
-2.20
%7.0
9%-0
.47%
12.26
%81
.77%
586
bp7.4
3%7.5
5%3.7
2 yrs
Split
BB
Seni
ority
Senio
r Sec
ured
7.38%
-2.98
%7.9
1%-0
.48%
11.88
%32
.34%
766
bp9.2
8%9.0
3%3.6
9 yrs
BSe
nior
7.04%
-1.27
%6.0
6%0.2
8%12
.40%
61.65
%52
4 bp
6.78%
6.99%
3.50
yrsSp
lit BB
Senio
r Sub
ordin
ate9.9
3%-2
.01%
8.06%
0.25%
16.69
%4.8
8%69
0 bp
8.34%
8.58%
3.05
yrsB
Junio
r Sub
ordin
ate6.3
8%-1
.42%
10.46
%-9
.10%
5.30%
1.14%
541
bp8.2
9%7.8
8%7.5
3 yrs
BB
Dura
tion
<2 yr
s4.2
6%-1
.45%
3.85%
0.32%
7.05%
17.44
%61
2 bp
7.18%
7.62%
1.32
yrsSp
lit BB
2 - 3
yrs
6.04%
-2.17
%6.2
5%-1
.19%
8.90%
14.16
%80
3 bp
9.11%
7.58%
2.55
yrsSp
lit BB
3 - 4
yrs
8.19%
-1.30
%7.2
1%0.7
0%15
.28%
28.98
%58
1 bp
7.26%
7.89%
3.45
yrsSp
lit BB
4 - 5
yrs
7.65%
-3.28
%7.4
6%0.2
0%12
.12%
23.42
%58
4 bp
7.72%
7.84%
4.42
yrsSp
lit BB
5 - 6
yrs
7.12%
-1.33
%8.3
5%-1
.06%
13.30
%10
.36%
575
bp7.8
9%7.7
4%5.3
7 yrs
Split
BB6
- 7 yr
s6.6
9%2.6
3%13
.90%
2.50%
27.84
%1.7
2%48
3 bp
7.54%
7.58%
6.60
yrsSp
lit BB
7 - 1
0 yrs
-1.66
%1.5
4%1.0
3%-1
.36%
-0.49
%2.2
8%39
6 bp
6.92%
7.02%
7.53
yrsBB
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A104
U
JP
Morg
an E
uro
pean A
ggre
gate
Hig
h-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Indu
stry
Autom
otive
8.38%
-0.08
%3.7
8%0.5
4%13
.00%
12.17
%43
9 bp
5.65%
6.75%
2.85
yrsSp
lit BB
Broa
dcas
ting
9.29%
-2.45
%4.7
6%2.7
1%14
.72%
1.12%
619
bp7.8
3%8.5
0%3.7
2 yrs
Split
BBCa
ble a
nd S
atellit
e4.5
8%-1
.71%
9.06%
-1.10
%10
.87%
9.08%
603
bp7.6
3%8.2
7%3.9
9 yrs
Split
BBCh
emica
ls11
.28%
-0.85
%9.1
0%1.3
2%21
.96%
5.63%
675
bp8.2
7%8.2
1%3.5
3 yrs
BCo
nsum
er P
rodu
cts5.5
7%-0
.15%
5.43%
1.21%
12.48
%0.8
7%57
3 bp
7.06%
7.95%
3.16
yrsB
Dive
rsifie
d Me
dia5.7
6%-6
.26%
4.40%
-10.2
7%-7
.12%
1.97%
1695
bp
17.96
%12
.07%
2.15
yrsSp
lit B
Ener
gy3.5
8%-3
.35%
7.41%
1.56%
9.20%
3.53%
692
bp8.3
9%8.0
3%3.9
1 yrs
Split
BBFin
ancia
l10
.23%
-0.65
%8.3
9%-0
.10%
18.58
%7.4
5%67
9 bp
8.67%
6.76%
4.24
yrsSp
lit BB
Food
and
Bev
erag
es6.6
2%-1
.95%
6.61%
-0.67
%10
.70%
4.33%
508
bp6.8
3%7.1
1%4.2
9 yrs
Split
BBGa
ming
Lod
ging
and
Leisu
re11
.10%
-3.13
%8.2
8%0.5
9%17
.22%
4.33%
659
bp8.1
2%7.8
4%3.4
9 yrs
Split
BBHe
althc
are
6.54%
-0.97
%4.1
3%-1
.10%
8.65%
2.81%
696
bp8.3
5%8.4
7%3.3
7 yrs
Split
BBHo
using
4.87%
-1.62
%5.3
7%0.6
1%9.3
8%4.9
0%59
4 bp
7.38%
6.92%
3.38
yrsSp
lit BB
Indus
trials
6.65%
-1.75
%5.8
3%-2
.57%
8.04%
4.71%
593
bp7.6
3%7.2
4%4.3
5 yrs
Split
BBMe
tals a
nd M
ining
8.97%
-0.43
%5.7
5%1.4
6%16
.42%
6.05%
485
bp6.4
0%7.7
4%4.0
0 yrs
BBPa
per a
nd P
acka
ging
7.22%
-0.88
%6.4
5%0.9
1%14
.16%
7.67%
561
bp7.2
7%7.6
4%4.2
0 yrs
Split
BBRe
tail
2.43%
-0.22
%5.2
0%0.5
2%8.0
8%2.8
1%62
1 bp
7.68%
7.85%
3.18
yrsSp
lit BB
Servi
ces
9.40%
-1.82
%7.4
6%1.2
8%16
.91%
3.50%
741
bp8.8
6%9.1
4%3.0
3 yrs
Split
BTe
chno
logy
11.35
%-6
.49%
12.95
%4.6
9%23
.13%
2.43%
611
bp8.1
6%8.2
5%5.4
5 yrs
BTe
lecom
munic
ation
s2.1
6%-2
.81%
7.20%
0.67%
7.15%
9.33%
601
bp7.4
1%9.1
1%3.3
3 yrs
Split
BBTr
ansp
ortat
ion7.6
4%1.1
6%9.4
4%1.2
1%20
.60%
3.27%
648
bp8.1
5%7.9
2%3.9
8 yrs
Split
BBUt
ility
2.26%
-0.42
%13
.62%
0.77%
16.59
%2.0
5%53
8 bp
7.16%
8.32%
3.78
yrsBB
J.P. M
orga
n Eu
rope
an A
ggre
gate
Inde
x6.9
9%-1
.54%
7.02%
0.25%
13.02
%10
0.00%
613 b
p7.6
8%7.8
7%3.6
9 yrs
Split
BB
Ratin
gSp
lit BB
B4.8
8%-0
.13%
5.75%
-0.21
%10
.53%
7.13%
338
bp4.8
6%6.2
1%3.8
6 yrs
Split
BBB
BB5.5
0%-0
.77%
5.78%
0.10%
10.85
%36
.30%
462
bp6.2
1%6.7
3%3.9
0 yrs
BBSp
lit BB
6.30%
-1.98
%6.7
2%0.3
0%11
.54%
9.69%
549
bp6.8
9%7.9
2%3.4
7 yrs
Split
BBB
5.63%
-1.74
%7.1
4%0.4
1%11
.66%
32.82
%73
0 bp
8.85%
8.86%
3.64
yrsB
Split
B10
.95%
-6.66
%8.2
2%-3
.00%
8.72%
4.41%
1054
bp
11.60
%9.2
9%2.3
5 yrs
Split
BCC
C/Sp
lit CC
C10
.86%
-2.76
%11
.61%
1.47%
22.09
%6.3
8%94
6 bp
11.13
%9.5
3%3.6
0 yrs
CCC/
Split
CCC
Not R
ated
6.17%
-2.12
%13
.15%
2.50%
20.52
%2.5
0%63
3 bp
8.50%
8.94%
4.35
yrsNo
t Rate
d
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A105
U
JP
Morg
an E
uro
pean A
ggre
gate
Hig
h-Y
ield
Index p
rofile
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ce: J
.P. M
orga
n.
As o
f Nov
embe
r 30,
2010
Tota
l Ret
urn
Mark
etCu
rrent
Aver
age
1Q10
2Q10
3Q10
4Q10
120
101
Weig
htST
WYT
WYi
eldDu
ratio
nRa
ting
Ratin
g Ti
erUp
per T
ier (S
plit B
BB, B
B)5.3
2%-0
.59%
5.76%
0.03%
10.77
%43
.43%
442
bp5.9
9%6.6
5%3.8
9 yrs
BBMi
ddle
Tier (
Split
BB, B
, Spli
t B)
6.25%
-2.16
%7.0
9%0.0
3%11
.37%
46.92
%72
3 bp
8.71%
8.71%
3.48
yrsB
Lowe
r Tier
(CCC
, Defa
ult)
14.57
%-2
.23%
9.65%
1.38%
24.52
%7.1
4%96
2 bp
11.28
%9.5
7%3.5
8 yrs
CCC/
Split
CCC
Secu
rity T
ype
Cash
Pay
6.64%
-1.55
%7.1
5%0.2
5%12
.77%
98.59
%61
2 bp
7.68%
7.87%
3.71
yrsSp
lit BB
Defer
red
4.11%
0.26%
5.12%
0.87%
10.68
%0.7
2%76
0 bp
7.81%
7.81%
0.64
yrsSp
lit B
Defau
lt41
.25%
-2.21
%-5
.05%
0.60%
31.93
%0.6
9%
Size
$0mn
to $
100m
n3.4
3%2.2
5%4.2
8%1.1
5%11
.55%
0.42%
2219
bp
26.03
%12
.71%
2.10
yrsB
$101
mn to
$29
9mn
5.84%
-0.07
%5.6
6%1.5
6%13
.49%
14.98
%68
0 bp
8.29%
8.60%
2.96
yrsB
$300
mn a
nd O
ver
7.24%
-1.84
%7.3
0%0.0
1%12
.96%
84.60
%59
4 bp
7.48%
7.72%
3.83
yrsSp
lit BB
Seni
ority
Senio
r Sec
ured
6.78%
-2.45
%7.4
5%0.0
3%11
.96%
34.91
%73
8 bp
8.93%
9.00%
3.68
yrsSp
lit BB
Senio
r6.9
6%-1
.14%
6.44%
0.58%
13.19
%58
.78%
538
bp6.9
2%7.2
0%3.6
7 yrs
Split
BBSe
nior S
ubor
dinate
7.33%
-0.94
%9.4
4%0.0
0%16
.37%
4.99%
620
bp7.7
0%7.7
2%3.5
8 yrs
BJu
nior S
ubor
dinate
3.71%
-0.94
%8.9
8%-6
.33%
4.88%
1.32%
620
bp8.1
0%7.8
2%5.3
1 yrs
Split
BB
Dura
tion
<2 yr
s3.6
7%-1
.08%
3.85%
0.41%
6.94%
16.33
%62
1 bp
7.12%
7.83%
1.29
yrsSp
lit BB
2 - 3
yrs
6.54%
-1.63
%6.0
9%-0
.66%
10.45
%14
.46%
764
bp8.6
1%7.7
7%2.5
1 yrs
Split
BB3
- 4 yr
s8.4
6%-1
.08%
7.65%
0.73%
16.33
%28
.09%
610
bp7.5
2%8.1
0%3.5
0 yrs
Split
BB4
- 5 yr
s7.0
4%-3
.08%
6.99%
0.63%
11.70
%24
.42%
590
bp7.7
1%7.8
7%4.4
1 yrs
Split
BB5
- 6 yr
s6.8
7%0.0
9%8.2
5%-0
.59%
15.11
%9.6
8%55
2 bp
7.63%
7.57%
5.41
yrsSp
lit BB
6 - 7
yrs
2.02%
0.99%
12.70
%0.5
3%16
.73%
2.17%
446
bp7.2
1%7.4
5%6.6
6 yrs
BB7
- 10
yrs5.6
9%-1
.51%
12.93
%2.8
0%20
.85%
3.56%
460
bp7.7
6%7.6
5%8.4
1 yrs
Split
BB
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A106
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnAutomotiveAmerican Axle & Manufacturing AXL 12.12 6.03 8.02 9.22 71.4 658.1 15.0%ArvinMeritor ARM 18.78 8.00 11.18 16.58 94.1 1,559.8 48.3%Asbury Automotive Group ABG 16.92 9.48 11.53 14.42 32.7 472.0 25.1%AutoNation AN 27.00 16.99 19.15 23.22 148.0 3,436.5 21.3%Avis Budget Car Rental CAR 16.85 8.57 13.12 11.61 102.9 1,194.2 -11.5%BorgWarner BWA 59.38 29.69 33.22 56.11 113.8 6,382.9 68.9%Cooper Standard Automotive COSH 49.55 27.45 35.75 42.50 18.4 781.0 18.9%Cooper Tire & Rubber Co CTB 23.23 16.05 20.05 19.61 61.5 1,205.8 -2.2%Exide Technologies XIDE 8.72 3.60 7.11 5.89 76.8 452.1 -17.2%Ford Motor Company F 17.42 8.40 10.00 14.13 3,401.8 48,067.5 41.3%Goodyear Tire & Rubber GT 16.39 9.10 14.10 10.22 242.9 2,482.6 -27.5%Hertz HTZ 15.60 8.36 11.92 11.32 412.5 4,669.7 -5.0%KAR Auction Services KAR 15.84 11.03 13.79 12.88 135.3 1,743.2 -6.6%Lear LEA 91.88 39.29 79.35 88.40 50.8 4,491.2 11.4%LKQ Corp LKQX 22.93 17.06 19.59 21.75 144.4 3,141.2 11.0%Motors Liquidation Co MTLQQ 0.88 0.06 0.47 0.28 610.6 171.0 -40.6%Penske Auto Group PAG 17.70 10.89 15.18 13.45 92.1 1,238.7 -11.4%PEP Boys-Manny Moe & Jack PBY 13.42 7.76 8.46 11.69 52.5 613.6 38.2%Sonic Automotive SAH 13.25 8.21 10.39 10.92 40.7 444.5 5.1%Stoneridge Inc SRI 13.58 6.00 9.01 11.00 26.0 285.7 22.1%Tenneco Automotive TEN 36.71 14.14 17.73 32.62 60.0 1,956.8 84.0%Tower Automotive Holdings TOWR 14.97 12.50 13.00 12.85 18.7 240.5 -1.2%TRW Automotive TRW 52.17 21.10 23.88 45.69 121.7 5,560.5 91.3%BroadcastingBelo Corporation BLC 9.45 4.49 5.44 5.77 92.0 530.8 6.1%Clear Channel Outdoor Holdings CCO 13.89 8.08 10.39 11.88 40.9 485.7 14.3%Entravision Communications EVC 3.60 1.51 2.16 2.12 53.0 112.3 -1.9%Fisher Communications FSCI 19.75 12.00 16.25 18.28 8.8 160.6 12.5%Gray Television GTN 4.88 0.52 3.75 1.95 51.4 100.2 -48.0%Lamar Media LAMR 38.73 23.83 31.09 33.99 77.3 2,628.2 9.3%LIN Television TVL 8.22 3.46 4.46 4.13 31.4 129.9 -7.4%Nexstar Finance NXST 7.56 2.50 4.05 5.66 15.0 85.1 39.8%Radio One ROIA 5.40 0.61 3.03 1.22 2.9 3.5 -59.7%Salem Communications SALM 5.99 2.10 5.99 3.22 18.6 59.9 -46.2%Sinclair Broadcast SBGI 8.53 3.08 4.03 7.99 49.4 395.0 98.3%Cable and SatelliteCablevision Systems CVC 30.08 19.95 21.32 26.74 245.7 6,569.9 25.4%Charter Communications Operating CHTR 39.99 29.10 35.50 32.48 112.4 3,650.6 -8.5%Digitalglobe DGI 33.16 20.30 24.20 32.65 46.0 1,502.2 34.9%DISH Network Corp DISH 24.16 17.32 20.77 19.87 204.6 4,065.9 -4.3%Geoeye GEOY 47.50 23.30 27.88 44.27 22.1 979.0 58.8%Hughes Network LLC HUGH 35.80 21.19 26.03 28.39 21.8 619.7 9.1%Loral Space & Communications LORL 65.57 26.35 31.61 55.63 20.7 1,153.2 76.0%Mediacom Broadband MCCC 7.65 3.85 4.47 6.90 41.3 284.7 54.4%Sirius XM Radio SIRI 1.61 0.56 0.60 1.50 3,925.9 5,888.9 150.0%TerreStar Networks TSTRQ 1.49 0.06 0.94 0.13 139.5 17.4 -86.7%ViaSat VSAT 42.00 26.04 31.78 41.17 40.6 1,670.9 29.5%Virgin Media VMED 26.63 13.48 16.83 25.43 322.7 8,205.1 51.1%ChemicalsAmerican Pacific APFC 8.92 3.84 7.41 5.98 7.5 45.1 -19.3%Ashland Inc ASH 63.73 34.58 39.62 51.63 78.7 4,064.9 30.3%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A107
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnBraskem SA BAK 22.23 10.17 16.41 20.85 174.5 3,638.4 27.1%Celanese Holdings CE 39.40 23.47 35.65 35.65 155.7 5,549.4 0.0%CF Industries CF 130.00 57.56 83.67 122.53 71.1 8,715.4 46.4%Chemtura CEMJQ 1.78 0.28 1.23 0.37 242.9 89.9 -69.9%Compass Minerals International Inc CMP 82.75 62.79 67.19 78.87 32.8 2,587.0 17.4%Ferro Corp FOE 15.50 5.95 7.37 13.72 86.2 1,182.4 86.2%Georgia Gulf GGC 21.79 11.11 17.38 20.23 34.0 687.1 16.4%Huntsman Corp HUN 14.61 8.17 11.29 13.85 239.2 3,313.1 22.7%Koppers Industries KOP 33.56 19.77 30.44 27.88 20.6 573.4 -8.4%KRATON Polymers KRA 34.85 12.76 13.56 32.46 31.3 1,014.5 139.4%LyondellBasell Industries NV LYB 29.10 14.86 22.30 26.86 332.3 8,926.3 20.4%Methanex MEOH 30.08 17.36 19.49 27.77 92.2 2,561.3 42.5%Nalco NLC 30.50 20.15 25.51 28.18 138.3 3,898.3 10.5%NewMarket Corp NEU 126.89 81.80 114.77 118.52 14.3 1,693.8 3.3%Olin Corp OLN 22.39 14.35 17.52 19.99 79.6 1,590.3 14.1%Omnova Solutions Omn 8.73 5.09 7.98 7.98 44.9 358.4 0.0%PolyOne POL 13.99 6.50 7.47 12.92 93.5 1,208.6 73.0%Rockwood Specialties ROC 37.67 20.20 23.56 33.92 75.6 2,565.9 44.0%Solutia SOA 22.05 10.16 12.70 18.11 121.8 2,205.4 42.6%Sterling Chemicals SCHI 18.00 1.50 7.00 3.50 2.8 9.9 -50.0%Tronox Worldwide TRXAQ 1.45 0.12 0.39 0.65 18.6 12.1 66.7%Westlake Chemical WLK 38.30 17.34 24.93 31.96 66.2 2,115.3 28.2%Consumer ProductsAcco Brands Corp ABD 9.47 4.63 7.28 6.23 54.9 342.0 -14.4%American Greetings AM 26.21 17.05 21.79 19.37 37.2 720.0 -11.1%Blyth Inc BTH 59.93 25.91 32.61 40.12 8.2 330.2 23.0%Brunswick Corp BC 22.89 9.78 12.71 15.81 88.7 1,401.7 24.4%Central Garden & Pet CENT 11.85 8.28 10.70 10.35 16.8 174.1 -3.3%Church & Dwight CHD 70.14 57.50 60.45 65.85 71.1 4,684.1 8.9%Eastman Kodak EK 9.08 3.49 4.22 4.70 268.9 1,264.4 11.4%Elizabeth Arden RDEN 23.74 13.69 14.43 20.43 28.1 575.1 41.6%Hanesbrands HBI 31.45 20.95 24.11 24.80 95.8 2,375.3 2.9%Jarden Corp JAH 35.11 25.50 30.91 32.06 91.9 2,945.5 3.7%Jones Apparel JNY 24.72 13.05 16.06 14.46 87.2 1,260.5 -10.0%Libbey Glass LBY 15.25 6.01 7.65 13.29 19.7 261.5 73.7%Oxford Industries OXM 25.62 15.00 20.68 23.03 16.6 381.4 11.4%Perry Ellis International PERY 26.87 12.79 15.06 22.48 14.1 317.2 49.3%Phillips Van-Heusen PVH 68.18 38.25 40.68 61.34 66.4 4,070.1 50.8%Prestige Brands PBH 11.75 6.70 7.86 10.75 50.0 538.0 36.8%Quiksilver Inc ZQK 6.09 1.63 2.02 4.17 163.9 683.6 106.4%Revlon Inc REV 19.87 9.61 17.01 11.42 48.8 557.0 -32.9%Scotts Miracle-Gro Company SMG 54.99 37.50 39.31 53.40 67.0 3,575.5 35.8%Sealy Mattress ZZ 4.24 2.30 3.16 2.63 97.5 256.4 -16.8%Spectrum Brands SPB 31.60 21.05 22.50 28.35 51.0 1,446.4 26.0%Steinway Musical Instruments LVB 20.76 13.45 15.91 17.01 11.6 196.9 6.9%Unifi UFI 15.93 8.37 11.64 14.19 20.1 284.6 21.9%Diversified MediaCenveo Inc CVO 11.60 4.80 8.75 5.50 62.7 345.0 -37.1%Dex One Corporation DEXO 35.00 6.30 27.92 7.01 50.0 350.7 -74.9%Gannett GCI 19.69 9.63 14.85 11.85 238.9 2,831.3 -20.2%Interpublic Group IPG 12.25 6.09 7.38 10.35 488.7 5,058.4 40.2%Lions Gate LGF 7.84 4.81 5.81 7.23 136.6 987.7 24.4%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A108
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnMcClatchy mnI 7.16 2.41 3.54 2.76 60.2 166.0 -22.0%MDC Communications MDCA 14.15 8.20 8.34 13.89 28.6 397.8 66.5%Media General MEG 13.60 4.35 8.18 5.51 22.5 124.1 -32.6%New York Times NYT 14.87 7.06 12.36 7.67 145.1 1,112.8 -37.9%Scholastic Corp SCHL 31.50 22.21 29.83 29.44 34.4 1,011.4 -1.3%Valassis Communications VCI 38.43 14.32 18.26 33.00 49.7 1,638.6 80.7%Warner Music Group WMG 8.02 4.00 5.66 5.20 155.0 805.7 -8.1%EnergyAllis-Chalmers Energy ALY 5.98 1.79 3.77 5.14 73.4 377.4 36.3%Alon Refining Krotz Springs ALJ 8.08 4.77 6.84 5.67 54.2 307.2 -17.1%AmeriGas Partners APU 48.18 35.00 39.33 46.48 57.1 2,653.5 18.2%Anadarko Petroleum APC 75.07 34.54 57.05 61.57 495.6 30,513.6 7.9%Atlas Energy Resources ATLS 44.37 24.32 30.14 29.15 78.4 2,286.1 -3.3%Atlas Pipeline Partners APL 24.82 7.04 9.81 19.79 53.3 1,055.1 101.7%ATP Oil & Gas ATPG 23.97 8.16 18.23 14.35 51.3 735.9 -21.3%Basic Energy Services BAS 13.46 6.50 8.90 11.06 41.3 456.3 24.3%Berry Petroleum Co BRY 39.25 24.27 29.15 34.21 53.0 1,814.2 17.4%Bill Barrett Corp BBG 39.93 26.78 31.11 37.75 46.4 1,751.9 21.3%BreitBurn Energy Partner BBEP 20.89 9.85 19.45 19.45 53.3 1,036.8 0.0%Brigham Exploration BEXP 25.75 10.01 13.55 21.10 116.9 2,466.2 55.7%Bristow Group BRS 43.09 28.32 38.45 38.78 36.2 1,404.9 0.9%Chart Industries GTLS 26.43 13.85 16.52 23.30 28.7 668.7 41.0%Cheniere Energy Inc LNG 5.40 1.80 2.42 3.28 57.6 189.1 35.5%Chesapeake Energy CHK 29.22 19.62 25.88 21.68 653.9 14,176.9 -16.2%Cie Generale de Geophysique-Veritas CGV 33.39 16.42 21.25 23.29 151.4 3,526.5 9.6%Cimarex XEC 83.25 44.63 52.97 76.75 84.7 6,500.8 44.9%Clayton William Energy CWEI 74.00 26.39 35.03 59.72 12.2 725.8 70.5%Coffeyville Resources CVI 11.92 6.50 8.75 9.52 86.3 822.0 8.8%Complete Production Service CPX 29.13 9.28 13.00 23.43 77.9 1,825.2 80.2%Comstock Resources CRK 44.52 19.54 40.57 22.35 47.3 1,057.5 -44.9%Concho Resources CXO 80.07 40.19 44.90 68.67 99.9 6,859.0 52.9%Continental Resources CLR 52.53 36.25 42.89 47.53 170.0 8,082.1 10.8%Copano Energy CPNO 30.00 19.00 23.91 27.96 65.8 1,838.5 16.9%Crosstex Energy XTEX 14.66 5.25 9.48 13.99 50.2 702.4 47.6%Delta Petroleum DPTR 1.95 0.67 1.04 0.73 285.2 208.8 -29.6%Denbury Resources DNR 19.83 12.78 14.80 17.02 399.7 6,802.5 15.0%Dresser-Rand Group DRC 39.99 27.42 31.61 34.22 80.5 2,756.2 8.3%Dune Energy Inc DUNR 0.55 0.08 0.23 0.17 40.3 6.7 -26.7%El Paso EP 13.96 8.94 9.83 13.26 704.1 9,336.9 34.9%Energy Transfer Equity ETE 40.46 27.25 37.12 39.11 222.9 8,719.2 5.4%Energy XXI Gulf Coast EXXI 26.80 7.50 11.55 21.72 69.0 1,499.7 88.1%Exco Resources XCO 22.52 13.25 21.23 14.83 212.3 3,148.5 -30.1%Ferrellgas FGP 27.19 19.05 21.13 26.10 69.5 1,815.2 23.5%Forest Oil FST 35.61 17.15 22.25 30.74 113.4 3,485.4 38.2%Frontier Oil FTO 15.70 11.03 12.04 13.25 105.7 1,400.8 10.0%Geokinetics GOK 13.22 3.55 9.62 6.82 17.7 120.7 -29.1%Global Geophysical Services GGS 12.47 5.86 12.00 7.17 36.0 258.4 -40.3%Gulfmark Offshore GLF 35.66 23.27 28.31 29.61 26.2 775.7 4.6%Helix Energy Solutions HLX 17.00 8.38 11.75 12.69 105.5 1,338.2 8.0%Hercules Offshore HERO 5.85 2.05 4.78 2.36 114.8 270.9 -50.6%Holly Corp HOC 34.89 23.32 25.63 32.73 53.2 1,741.6 27.7%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A109
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnHolly Energy Partners HEP 53.74 36.26 39.84 50.25 22.1 1,109.4 26.1%Hornbeck Offshore Services HOS 26.14 12.63 23.28 22.24 26.5 588.2 -4.5%Inergy NRGY 43.95 30.35 35.68 39.26 114.0 4,477.2 10.0%Key Energy KEG 11.54 7.07 8.79 9.85 141.4 1,393.1 12.1%Linn Energy LLC LINE 37.24 12.60 27.88 34.99 147.4 5,158.2 25.5%Mariner Energy ME 26.72 11.35 11.61 24.92 103.3 2,573.4 114.6%Markwest Energy Partners MWE 43.33 20.96 29.27 38.12 71.4 2,723.3 30.2%Martin Midstream Partners MMLP 35.99 25.51 31.09 34.39 17.7 609.0 10.6%McMoRan Exploration MMR 19.80 6.77 8.02 16.84 95.5 1,607.8 110.0%Newfield Exploration NFX 66.70 39.26 48.23 59.62 133.9 7,981.7 23.6%Niska Gas Storage US/Canada NKA 20.50 17.01 20.50 19.94 33.8 674.1 -2.7%Parker Drilling PKD 5.85 3.43 4.95 4.23 116.2 491.6 -14.5%Penn Virginia PVA 29.25 13.38 21.29 14.82 45.5 675.0 -30.4%Petrobras Energia SA PZE 20.83 12.44 15.63 17.99 101.0 1,816.3 15.1%Petrohawk Energy Corp HK 27.36 13.89 23.99 16.99 302.4 5,137.9 -29.2%Petroleum Development Corporation PETD 38.75 16.46 18.21 31.26 19.3 602.5 71.7%PetroQuest Energy Inc PQ 8.84 4.70 6.13 5.58 63.2 352.6 -9.0%PHI Inc PHII 24.10 13.15 21.14 16.82 2.9 48.0 -20.4%Pioneer Drilling Company PDC 9.90 5.00 7.04 6.16 54.2 333.7 -12.5%Pioneer Natural Resource PXD 78.46 39.13 48.17 69.80 116.1 8,103.5 44.9%Plains Exploration & Production PXP 36.60 19.28 27.66 27.87 140.1 3,904.6 0.8%Pride International PDE 34.36 21.51 31.91 30.32 175.7 5,328.0 -5.0%QEP Resources QEP 37.00 27.90 30.83 33.03 175.6 5,800.8 7.1%Quicksilver Resources KWK 16.59 10.53 15.01 14.97 170.3 2,549.6 -0.3%Range Resources RRC 54.65 32.25 49.85 37.39 160.1 5,985.1 -25.0%Regency Energy Partners RGNC 26.58 18.70 20.95 25.33 137.2 3,475.7 20.9%Repsol YPF SA YPF 45.99 33.70 43.75 39.84 393.3 15,669.6 -8.9%Rosetta Resources ROSE 33.60 14.68 24.90 23.91 52.7 1,260.0 -4.0%Sandridge Energy SD 11.08 3.87 9.43 5.47 404.6 2,213.3 -42.0%SEACOR Holdings CKH 103.50 67.01 76.25 94.75 21.2 2,012.7 24.3%Southwestern Energy SWN 52.82 30.61 48.20 33.84 346.8 11,735.1 -29.8%Star Gas Partners SGU 5.84 3.71 4.14 4.93 68.3 336.6 19.1%Stone Energy SGY 20.63 10.30 18.05 15.63 48.5 758.6 -13.4%Suburban Propane Partners SPH 57.24 39.16 47.08 54.50 35.4 1,928.4 15.8%Superior Energy Services Inc SPN 30.15 18.02 24.29 27.62 78.8 2,176.9 13.7%Swift Energy SFY 38.65 21.05 23.96 31.85 41.6 1,326.1 32.9%Targa Resources NGLS 31.39 19.35 24.31 29.64 75.5 2,239.2 21.9%Tesoro Corp TSO 15.33 10.40 13.55 12.96 143.2 1,855.4 -4.4%Vantage Drilling VTG 1.98 0.99 1.61 1.72 289.1 497.3 6.8%Venoco VQ 21.70 10.36 13.04 15.48 55.7 861.6 18.7%W&T Offshore WTI 16.63 8.15 11.70 10.88 74.6 811.9 -7.0%Western Refining WNR 8.75 4.01 4.71 6.65 88.3 587.2 41.2%Whiting Petroleum WLL 109.12 59.30 71.45 100.44 58.5 5,880.7 40.6%Williams Companies WMB 24.66 17.53 21.08 21.51 584.8 12,578.5 2.0%FinanacialAdvanta Capital Trust I ADVNQ 0.09 0.00 0.05 0.01 14.4 0.1 -85.6%Aircastle Ltd AYR 12.38 7.45 7.85 9.21 79.5 731.9 17.3%Ambac Financial ABKFQ 3.39 0.02 0.83 0.83 302.1 249.7 -0.4%American Capital ACAS 7.72 2.31 2.44 6.98 341.3 2,382.0 186.1%American International Group AIG 44.51 22.16 29.98 42.01 698.0 29,323.4 40.1%CapitalSource CSE 6.63 3.62 3.97 6.11 323.3 1,975.2 53.9%CB Richard Ellis Service CBG 20.40 10.54 13.57 18.35 322.9 5,925.1 35.2%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A110
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnCIT Group CIT 44.10 24.83 27.61 43.33 200.3 8,676.8 56.9%Colonial Bank CBCGQ 0.07 0.01 0.01 0.01 202.7 2.6 -11.0%Colonial Realty CLP 19.79 10.27 11.73 17.93 77.7 1,392.9 52.9%Credit Acceptance Corp CACC 63.45 33.21 40.17 58.81 27.1 1,596.2 46.4%Developers Diversified Realty DDR 14.39 8.11 9.26 12.92 256.2 3,309.6 39.5%Discover Financial Services DFS 19.16 12.11 14.71 17.65 544.6 9,612.0 20.0%Dollar Financial Group DLLR 27.21 14.90 23.64 25.02 24.4 610.6 5.8%Entertainment Properties Trust EPR 49.73 30.25 38.07 46.23 46.5 2,151.4 21.4%E-Trade Financial ETF 19.90 11.15 17.60 14.30 220.8 3,157.7 -18.8%Fidelity National Information Services FIS 30.78 22.13 26.82 27.10 301.0 8,156.0 1.0%First Citizens Bancorporation FCBN 540.00 400.00 490.00 514.00 0.9 443.3 4.9%First Citizens BancShares FCNCA 213.99 149.62 164.01 186.44 8.8 1,632.6 13.7%First Industrial LP FR 9.33 3.69 5.23 7.33 63.8 467.4 40.2%Forest City Enterprises FCE/A 16.43 10.11 11.78 14.59 135.7 1,979.7 23.9%General Growth Properties GGP 16.08 3.33 11.56 13.33 937.0 12,492.4 15.3%Huntington National Bank HBAN 7.40 3.59 3.65 5.66 717.1 4,059.0 55.1%Icahn Enterprises LP IEP 51.65 10.28 39.95 34.60 84.7 2,931.6 -13.4%iStar Financial SFI 7.82 2.34 2.56 4.57 92.3 421.9 78.5%Janus Capital Group JNS 15.72 8.63 13.45 10.56 183.7 1,940.4 -21.5%Lazard Group LLC LAZ 41.25 25.70 37.97 36.90 119.3 4,401.7 -2.8%Leucadia National LUK 28.37 18.80 23.79 25.42 243.3 6,185.1 6.9%MBIA MBI 13.17 3.22 3.98 11.21 199.9 2,240.4 181.7%MGIC Investment Corp MTG 13.80 3.90 5.78 8.82 200.4 1,768.0 52.6%Penson Worldwide PNSN 10.54 4.37 6.76 5.15 28.4 146.2 -23.8%Phoenix Life Insurance PNX 3.83 1.61 2.78 2.10 116.1 243.8 -24.5%PMI Group PMI 7.75 1.81 2.52 3.34 161.2 538.7 32.6%Popular North America BPOP 4.23 1.70 2.26 2.73 1,022.7 2,791.9 20.8%Radian Group RDN 18.68 4.19 7.31 7.59 132.9 1,009.0 3.8%SL Green Realty Corp SLG 70.89 42.30 50.24 65.71 78.3 5,142.1 30.8%SLM Corp SLM 13.96 9.85 11.27 11.90 485.6 5,778.5 5.6%Susquehanna Bancshares SUSQ 12.03 5.43 5.89 7.91 129.8 1,026.4 34.3%Synovus Financial SNV 3.92 1.45 2.05 2.16 785.1 1,695.8 5.4%Thornburg Mortgage THMRQ 0.02 0.00 0.01 0.01 423.4 4.2 11.1%Washington Mutual Bank WAMUQ 0.70 0.04 0.14 0.17 1,705.4 284.8 19.7%Western Alliance Bancorp WAL 9.64 3.45 6.12 6.04 81.5 492.4 -1.3%Wilmington Trust WL 20.23 3.95 11.09 7.11 91.5 650.4 -35.9%Food and BeveragesAlliance One International AOI 5.96 3.17 4.88 4.42 87.1 384.9 -9.4%B&G Foods BGS 12.92 5.00 9.18 12.25 47.6 583.5 33.4%Brinker International EAT 21.12 13.23 14.92 18.54 92.3 1,711.5 24.3%Carrols TAST 8.02 4.00 7.07 6.76 21.6 146.2 -4.4%CEDC Finance Corp. International CEDC 39.95 20.44 28.41 24.97 70.7 1,765.0 -12.1%Chiquita Brands International CQB 19.59 11.49 18.04 13.27 45.2 599.6 -26.4%Constellation Brands STZ 20.42 14.60 15.93 19.73 187.7 3,702.5 23.9%Dean Foods DF 18.79 7.41 18.04 10.40 182.2 1,894.7 -42.4%Del Monte DLM 16.14 8.92 11.34 14.34 193.7 2,777.8 26.5%DineEquity Inc DIN 52.29 19.97 44.39 44.39 18.0 800.0 0.0%Dole Food DOLE 12.78 8.57 12.41 9.22 88.2 813.5 -25.7%Landrys Restaurants LNY 25.56 17.68 21.29 24.51 0.0 0.0 15.1%O Charleys CHUX 10.00 4.38 6.55 7.50 21.8 163.3 14.5%Reddy Ice FRZ 6.12 2.04 4.29 3.49 22.9 80.1 -18.6%Smithfield Foods SFD 21.48 13.34 15.19 16.75 166.0 2,780.7 10.3%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A111
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnTreehouse Foods THS 51.05 33.00 43.03 46.70 35.4 1,653.2 8.5%Tyson Foods TSN 20.57 11.94 12.27 15.55 307.4 4,780.6 26.7%Universal Corp UVV 56.21 35.36 45.61 41.44 23.8 986.0 -9.1%Vector Group VGR 19.81 12.86 14.00 18.70 74.9 1,400.8 33.6%Viskase Companies VKSC 5.00 1.60 3.10 4.80 29.5 141.4 54.8%Wendys International WEN 5.55 3.83 4.69 4.60 418.4 1,924.5 -1.9%Gaming Lodging and LeisureAmeristar Casino Inc ASCA 20.69 13.44 15.23 17.90 58.2 1,042.5 17.5%Boyd Gaming BYD 14.85 6.70 8.37 8.31 86.2 716.6 -0.7%Cedar Fair FUN 15.80 6.82 13.50 13.97 55.3 773.0 3.5%Cinemark USA CNK 19.80 12.14 14.37 17.55 113.4 1,990.9 22.1%Felcor Lodging FCH 8.99 3.15 3.60 6.15 97.0 596.9 70.8%Gaylord Entertainment GET 34.90 16.75 19.75 33.34 47.6 1,586.7 68.8%Global Cash Access GCA 9.26 2.74 7.49 3.64 64.9 236.1 -51.4%Great Wolf Resorts Operating Partnership WOLF 3.75 1.78 3.21 2.35 32.5 76.3 -26.8%Host Hotels & Resorts HST 17.21 9.75 11.67 15.89 665.9 10,581.7 36.2%Isle of Capri Casinos ISLE 12.76 6.59 7.48 8.04 32.7 263.3 7.5%Las Vegas Sands LVS 55.47 14.87 14.94 45.88 684.7 31,415.4 207.1%Live Nation Entertainment LYV 16.90 6.83 15.69 9.49 173.6 1,647.2 -39.5%MCE Finance MPEL 7.13 3.26 4.29 6.27 531.9 3,334.8 46.2%MGM Mirage MGM 16.66 8.92 9.12 10.93 482.4 5,272.3 19.8%MTR Gaming Group MNTG 2.41 1.14 1.30 1.93 27.5 53.0 48.5%Penn National Gaming PENN 35.78 22.35 27.19 33.19 78.0 2,589.5 22.1%Pinnacle Entertainment PNK 14.57 7.07 8.98 12.80 61.4 786.1 42.5%Regal Cinemas RGC 18.49 11.59 14.44 13.50 130.6 1,762.7 -6.5%Royal Caribbean Cruises RCL 43.31 21.97 25.28 39.54 215.2 8,510.0 56.4%Scientific Games SGMS 17.01 7.33 14.55 7.92 91.6 725.5 -45.6%Speedway Motorsports TRK 18.17 12.80 17.62 15.30 41.7 637.9 -13.2%Starwood Hotels & Resorts HOT 60.00 30.72 36.57 54.14 190.7 10,321.8 48.0%Town Sports International CLUB 4.24 1.89 2.33 3.01 22.7 68.2 29.2%Vail Resorts MTN 49.00 32.37 37.80 40.56 35.9 1,456.6 7.3%Wyndham Worldwide WYN 30.83 18.05 20.17 28.75 175.0 5,030.3 42.5%Wynn Resorts Ltd WYNN 117.50 58.21 58.23 107.16 123.9 13,282.1 84.0%HealthcareAlere ALR 44.87 25.36 27.97 29.55 84.8 2,507.3 5.6%Alliance Healthcare Services AIQ 6.30 3.32 5.71 3.94 52.8 208.1 -31.0%Angiotech Pharmaceutical ANPI 1.43 0.20 1.24 0.51 85.2 43.2 -59.1%Bio-Rad Laboratories BIO 125.01 80.00 96.46 90.62 22.6 2,049.5 -6.1%BioScrip BIOS 9.84 4.01 7.99 5.63 53.7 302.3 -29.5%Boston Scientific BSX 9.79 5.04 9.00 6.39 1,520.1 9,713.3 -29.0%Centene Corp CNC 25.95 17.60 21.17 22.32 51.7 1,154.3 5.4%Community Health Systems CYH 42.30 25.63 35.60 30.08 92.5 2,783.8 -15.5%Cooper Companies COO 51.32 31.02 38.12 49.34 45.7 2,253.1 29.4%Coventry Health Care CVH 27.27 16.61 24.29 23.42 148.5 3,477.6 -3.6%Davita DVA 73.79 56.40 58.74 71.75 97.2 6,974.1 22.1%Elan Pharmaceuticals ELN 8.24 4.25 6.52 5.45 585.1 3,188.6 -16.4%Gentiva Health Services GTIV 30.88 18.93 20.55 23.28 29.9 695.5 13.3%Hanger Orthopedic Group HGR 19.97 13.01 13.83 18.72 32.5 608.0 35.4%Health Management Associates HMA 9.81 6.00 7.27 8.01 250.6 2,007.5 10.2%Health Net HNT 29.75 12.90 23.29 26.89 95.6 2,569.4 15.5%Healthsouth HLS 22.22 16.20 18.77 18.07 93.4 1,688.6 -3.7%Invacare Corp IVC 30.31 19.58 24.94 27.00 31.3 845.6 8.3%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A112
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnLife Technologies LIFE 56.19 41.10 50.76 50.18 186.7 9,370.0 -1.1%Lifepoint Hospitals Holdings LPNT 39.61 28.48 32.53 33.92 52.7 1,787.6 4.3%Merge Healthcare MRGE 4.25 1.92 2.48 3.34 83.3 278.2 34.7%Mylan Inc MYL 23.63 16.55 19.44 20.32 435.2 8,841.5 4.5%Omega Healthcare Investors OHI 23.95 17.00 19.45 23.00 98.5 2,265.2 18.3%Omnicare OCR 30.63 19.14 24.18 24.12 116.3 2,804.7 -0.2%Owens & Minor OMI 32.80 25.52 28.62 28.48 63.3 1,803.8 -0.5%PDL BioPharma PDLI 6.35 4.54 5.13 5.22 139.7 729.1 1.8%Prospect Medical PZZ 8.81 3.60 4.25 8.44 21.2 178.8 98.6%Psychiatric Solutions PSYS 33.72 19.25 21.14 33.70 57.3 1,930.5 59.4%Radnet Management RDNT 4.20 1.80 3.68 2.16 37.0 79.9 -41.3%Res-Care RSCR 13.85 8.59 11.20 13.23 29.4 389.2 18.1%Rotech Healthcare ROHI 3.65 0.35 0.37 1.51 25.6 38.7 308.1%Rural/Metro RURL 11.00 5.08 6.00 8.62 25.3 218.3 43.7%Sabra Healthcare REIT Inc SBRA 19.10 12.01 16.49 17.11 24.9 426.5 3.7%Skilled Healthcare Group SKH 8.23 1.43 7.45 3.75 20.8 78.0 -49.7%Talecris Biotherapeutics TLCR 24.63 15.70 22.27 24.52 125.3 3,073.0 10.1%Tenet Healthcare THC 6.46 3.92 5.39 4.36 485.5 2,116.9 -19.1%Universal Health Services UHS 43.80 27.59 38.86 41.27 89.9 3,710.5 6.2%Valeant Pharmaceuticals VRX 27.40 12.94 13.96 26.55 295.3 7,839.3 90.2%Warner Chilcott WCRX 25.32 15.19 22.44 23.98 252.5 6,053.8 6.9%HousingBeazer Homes USA BZH 7.08 3.10 4.84 4.06 75.7 307.2 -16.1%CEMEX CX 12.12 7.46 11.37 8.77 1,000.0 8,770.1 -22.8%D.R. Horton DHI 15.44 9.41 10.87 10.43 318.3 3,320.0 -4.0%Desarrolladora Homex HXM 39.22 23.06 33.62 33.58 56.0 1,879.5 -0.1%Gibraltar Industries Inc ROCK 18.28 7.36 15.73 9.13 30.3 276.6 -42.0%Hovnanian Enterprises HOV 8.05 3.40 3.84 3.56 63.1 224.7 -7.3%Interface IFSIA 15.90 7.05 8.31 14.39 57.0 820.7 73.2%KB Home KBH 20.13 9.43 13.68 10.51 88.0 925.4 -23.2%Lennar Corp LEN 21.79 11.56 12.77 14.51 153.7 2,229.6 13.6%M/I Schottenstein Homes MHO 18.00 8.85 10.39 10.58 18.5 196.0 1.8%Masco Corp MAS 18.78 9.94 13.81 10.66 358.5 3,821.6 -22.8%Meritage Corporation MTH 25.44 15.19 19.33 18.31 32.1 588.2 -5.3%Mohawk Industries MHK 66.93 39.84 47.60 57.34 68.6 3,933.6 20.5%Nortek NTKS 46.00 39.00 42.00 41.68 15.0 625.2 -0.8%Owens Corning OC 37.36 22.56 25.64 27.04 124.7 3,370.7 5.5%Pulte Home PHM 13.91 6.66 10.00 7.85 382.2 3,000.5 -21.5%Ryland Group RYL 26.03 14.62 19.70 14.98 44.1 660.9 -24.0%Standard Pacific SPF 7.10 2.95 3.74 3.63 107.2 389.1 -2.9%Technical Olympic USA Inc TOUSQ 0.03 0.00 0.02 0.00 59.6 0.1 -87.5%Texas Industries TXI 40.86 27.28 34.99 34.17 27.8 950.2 -2.3%Toll Brothers TOL 23.67 15.57 18.81 17.94 165.9 2,975.9 -4.6%USG USG 25.59 11.21 14.05 12.68 102.9 1,304.4 -9.8%IndustrialsActuant ATU 23.97 15.76 18.53 22.47 68.2 1,531.6 21.3%Alliant Techsystems ATK 90.81 60.13 88.27 76.24 33.3 2,538.9 -13.6%Altra Holdings AIMC 16.60 9.81 12.35 14.80 26.8 396.0 19.8%American Railcar Industries ARII 19.49 8.76 11.02 15.41 21.3 328.3 39.8%Anixter International AXE 59.38 36.18 47.10 53.69 33.9 1,822.3 14.0%Baldor Electric BEZ 44.93 24.67 28.09 42.02 47.0 1,976.7 49.6%BE Aerospace BEAV 38.94 18.92 23.50 36.76 102.3 3,759.1 56.4%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A113
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnBelden CDT BDC 32.79 20.18 21.92 27.90 46.9 1,309.6 27.3%CNH Global NV CNH 45.54 21.56 24.98 39.69 238.7 9,474.0 58.9%Coleman Cable CCIX 7.93 3.00 3.40 7.14 17.3 123.8 110.0%Columbus McKinnon CMCO 19.26 12.35 13.67 17.56 19.2 336.6 28.5%Commercial Vehicle CVGI 16.32 4.69 5.99 13.43 28.5 383.4 124.2%Communications & Power Industries CPII 16.20 9.27 13.24 14.12 16.8 237.4 6.6%Esterline Technologies ESL 64.19 36.75 40.77 60.44 30.1 1,817.8 48.2%Gardner Denver GDI 64.13 36.52 42.55 57.82 52.5 3,034.4 35.9%GenCorp GY 9.12 3.45 7.00 4.87 59.0 287.3 -30.4%General Cable BGC 34.33 21.68 29.42 27.94 52.1 1,456.0 -5.0%Greenbrier Companies GBX 20.18 7.42 10.38 18.20 21.9 398.2 75.3%Hawk HWK 50.26 15.55 17.61 49.83 7.8 386.6 183.0%Hexcel HXL 19.53 9.86 12.98 17.77 97.3 1,728.2 36.9%Interline Brands IBI 22.20 15.43 17.27 20.09 33.1 664.6 16.3%International Wire Group ITWG 15.50 5.18 10.04 11.88 9.9 117.4 18.3%Kratos Defense & Security Solutions KTOS 15.56 9.27 12.26 11.40 18.6 211.6 -7.0%L-3 Communications LLL 97.81 66.11 86.95 72.18 113.2 8,169.8 -17.0%Manitowoc MTW 16.43 8.48 9.97 11.14 131.4 1,463.2 11.7%ManTech International MANT 51.83 34.69 45.08 39.25 23.1 906.7 -12.9%Moog MOG/A 40.21 25.60 29.23 37.60 41.3 1,551.0 28.6%Mueller Water Products MWA 5.99 2.21 5.20 3.02 154.6 466.8 -41.9%Navistar International NAV 58.00 31.53 38.65 48.18 71.7 3,454.6 24.7%Ormat Funding ORA 44.13 25.80 37.84 28.51 45.4 1,295.2 -24.7%Oshkosh Corporation OSK 44.57 24.63 40.34 29.51 90.5 2,671.5 -26.8%Park-Ohio Industries PKOH 19.75 4.01 5.65 15.89 11.8 187.8 181.2%Polypore PPO 36.99 11.34 11.90 33.27 44.5 1,482.0 179.6%Spirit Aerosystems SPR 24.00 16.23 19.86 21.64 107.1 2,318.5 9.0%SPX SPW 72.27 50.80 54.70 67.06 50.2 3,366.5 22.6%Terex TEX 28.71 16.79 19.81 22.45 108.9 2,444.8 13.3%Thermadyne Holdings THMD 15.26 6.07 7.27 15.08 13.6 204.4 107.4%Titan International TWI 16.88 7.15 8.11 15.17 35.4 536.3 87.1%Transdigm TDG 69.14 40.40 47.49 66.27 49.4 3,276.9 39.5%Trimas Corp TRS 18.00 4.49 6.77 15.83 34.0 538.8 133.8%Trinity Industries TRN 27.09 14.95 17.44 22.73 79.8 1,812.7 30.3%Triumph Group TGI 90.31 46.99 48.25 83.59 24.2 2,022.9 73.2%Tutor Perini TPC 24.39 14.90 22.22 22.22 47.1 1,046.3 0.0%Valmont Industries VMI 88.08 65.30 78.45 78.85 26.4 2,077.7 0.5%Wabtec Corp WAB 50.88 36.16 40.84 46.84 47.9 2,245.6 14.7%WESCO Distribution WCC 47.10 25.30 27.01 42.82 42.5 1,819.1 58.5%Metals and MiningAK Steel AKS 26.75 11.34 21.35 12.59 110.0 1,384.8 -41.0%Alpha Natural Resources ANR 55.70 32.00 43.38 45.17 120.4 5,437.5 4.1%Arch Coal Inc ACI 30.65 19.09 22.25 24.59 162.5 3,995.4 10.5%Century Aluminum CENX 18.77 8.25 16.19 13.52 92.7 1,253.9 -16.5%Cloud Peak Energy CLD 22.20 12.53 14.56 17.37 31.5 546.8 19.3%Consol Energy CNX 58.00 31.08 49.80 36.76 225.8 8,302.0 -26.2%Headwaters Incorporated HW 6.84 2.63 6.52 3.40 60.4 205.5 -47.9%International Coal ICO 6.57 3.36 3.86 5.62 203.8 1,145.4 45.6%James River Coal Co JRCC 22.94 14.44 18.49 17.28 27.8 480.1 -6.5%Massey Energy MEE 54.80 25.85 42.01 42.07 102.1 4,296.4 0.1%Metals USA MUSA 21.52 10.96 21.00 11.96 37.0 442.8 -43.0%Patriot Coal PCX 24.25 9.76 16.67 13.49 91.0 1,227.5 -19.1%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A114
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnPeabody Energy BTU 59.92 34.89 45.21 52.90 269.6 14,263.8 17.0%Penn Virginia Resource Partners PVR 28.65 10.01 23.67 26.95 52.3 1,409.3 13.9%Steel Dynamics STLD 20.47 12.89 17.72 14.54 217.1 3,155.9 -17.9%United States Steel Corp X 70.95 36.93 55.12 42.72 143.6 6,135.2 -22.5%Paper and PackagingAbitibiBowater ABWTQ 0.60 0.01 0.11 0.04 54.7 2.2 -63.6%AEP Industries AEPI 42.50 20.03 38.28 24.37 6.3 153.2 -36.3%Ball BLL 66.26 46.70 51.70 64.36 88.3 5,684.3 24.5%Boise Paper Holdings BZ 7.73 4.20 5.31 7.25 84.8 614.5 36.5%Cellu Tissue Holdings CLU 13.00 7.32 13.00 11.94 20.2 241.0 -8.2%Clearwater Paper CLW 85.25 29.24 54.97 80.75 11.5 926.9 46.9%Crown Americas Inc CCK 32.91 22.45 25.58 32.18 159.3 5,127.7 25.8%Domtar Corp UFS 83.98 46.24 55.41 79.36 41.6 3,301.1 43.2%Graphic Packaging GPK 4.10 2.51 3.47 3.66 343.6 1,257.7 5.5%Greif Bros GEF 61.31 46.01 53.98 58.74 24.7 1,453.4 8.8%Louisiana-Pacific LPX 13.44 5.83 6.98 7.74 132.0 1,021.3 10.9%MeadWestvaco Corp MWV 29.74 20.81 28.63 25.73 168.3 4,329.2 -10.1%Mercer International MERC 7.00 2.30 3.10 5.30 42.0 222.8 71.0%Neenah Paper NP 21.95 12.57 13.95 15.35 14.8 226.6 10.0%Owens-Illinois Inc OI 37.97 24.92 32.87 28.03 163.6 4,586.7 -14.7%PH Glatfelter GLT 15.49 10.01 12.15 12.44 45.9 570.5 2.4%Potlatch PCH 41.76 28.12 31.88 34.05 40.0 1,362.2 6.8%Rock-Tenn Co RKT 59.02 37.25 50.41 56.85 39.0 2,214.6 12.8%Sealed Air SEE 24.20 18.43 21.86 23.15 159.7 3,696.6 5.9%Silgan Holdings SLGN 34.99 25.83 28.94 33.73 76.8 2,590.0 16.6%Temple-Inland Inc TIN 25.03 15.48 21.11 20.72 107.8 2,233.9 -1.8%Verso Paper Holdings VRS 5.76 2.05 2.61 3.66 52.5 192.0 40.2%Weyerhaeuser WY 19.85 12.52 15.84 16.22 535.9 8,693.0 2.4%RetailBlockbuster BLOAQ 0.83 0.04 0.67 0.04 147.4 6.5 -93.4%Bon-Ton BONT 18.63 6.08 9.84 11.48 16.1 185.0 16.7%Brown Shoe Company BWS 19.96 9.87 9.87 11.75 43.9 515.3 19.0%Collective Brands Inc PSS 26.65 12.41 22.77 15.33 64.4 986.9 -32.7%Dillards DDS 32.52 14.01 18.45 25.51 62.1 1,583.4 38.3%Dollar General DG 31.41 21.30 22.43 28.19 341.0 9,613.9 25.7%Ethan Allen ETH 25.40 11.00 13.42 15.17 28.7 435.8 13.0%Express EXPR 19.10 12.89 17.00 13.68 88.7 1,213.9 -19.5%Foot Locker FL 16.76 9.46 11.14 15.93 155.7 2,479.9 43.0%GameStop Corp GME 26.05 17.12 21.94 19.65 150.4 2,954.4 -10.4%Great Atlantic & Pacific Tea GAP 13.00 2.50 11.79 3.44 56.3 193.6 -70.8%HSN HSNI 34.66 17.27 20.19 29.94 57.8 1,729.1 48.3%Ingles Markets IMKTA 19.99 13.01 15.13 18.36 12.9 236.6 21.3%JC Penney JCP 34.50 19.42 26.61 31.18 236.4 7,372.3 17.2%Liberty Media Corp LBTYA 40.86 18.75 21.89 37.77 118.7 4,482.0 72.5%Limited Brands LTD 32.37 15.65 18.50 29.39 322.8 9,486.5 58.9%Macys Retail Holdings M 26.03 15.34 16.76 23.67 422.7 10,004.7 41.2%Netflix NFLX 184.74 48.52 55.09 173.57 52.3 9,070.3 215.1%Office Depot ODP 9.19 3.36 6.45 4.49 277.1 1,244.0 -30.4%Pantry PTRY 24.44 12.00 13.59 19.45 22.7 442.0 43.1%Rite Aid RAD 1.77 0.86 1.51 0.91 891.3 815.3 -39.4%Sally Beauty SBH 13.13 6.87 7.65 12.17 182.4 2,219.7 59.1%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A115
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnSears Holding SHLD 125.42 59.21 72.14 71.98 110.6 7,964.5 -0.2%SUPERVALU Inc SVU 17.89 9.67 12.71 10.79 212.2 2,289.3 -15.1%Susser Holdings SUSS 15.40 8.11 8.59 13.67 17.4 237.3 59.1%ServicesCardtronics Inc CATM 18.52 9.51 11.06 16.95 42.3 716.2 53.3%Carriage Services CSV 5.49 3.46 3.93 5.25 17.8 93.4 33.6%Casella Waste Systems CWST 5.39 2.90 4.02 4.93 25.2 124.1 22.6%Clean Harbors CLH 74.76 52.00 59.61 70.50 26.4 1,858.0 18.3%Corrections Corp of America CXW 26.89 17.49 24.55 25.67 110.3 2,830.2 4.6%Deluxe Corp DLX 23.77 12.57 14.79 20.44 51.3 1,048.6 38.2%Dycom Industries Inc DY 11.65 7.30 8.03 10.70 38.3 409.9 33.3%Education Management EDMC 26.79 7.76 22.01 12.00 140.3 1,684.2 -45.5%EnergySolutions ES 9.49 4.35 4.57 4.69 88.6 415.6 2.6%Expedia EXPE 29.85 18.30 25.73 28.95 251.5 7,279.7 12.5%FTI Consulting FCN 48.35 30.78 47.16 35.46 46.4 1,646.8 -24.8%Geo Group GEO 26.77 17.91 21.88 25.65 64.4 1,653.1 17.2%Great Lakes Dredge & Dock GLDD 7.28 4.04 6.48 6.20 58.7 364.1 -4.3%H&E Equipment HEES 12.51 6.60 10.50 9.72 35.0 340.5 -7.4%Iron Mountain IRM 28.49 19.93 22.76 21.79 200.1 4,360.8 -4.3%M&F Worldwide MFW 43.28 22.37 39.50 26.88 19.3 519.7 -31.9%Mac-Gray Corp TUC 13.40 7.98 10.30 12.15 13.8 167.9 18.0%Mobile Mini MINI 18.21 12.95 14.09 17.43 36.4 635.1 23.7%PHH PHH 25.93 13.49 16.11 19.27 55.5 1,070.0 19.6%RSC Equipment Rental RRR 9.65 5.90 7.04 8.08 103.5 836.5 14.8%Service Corporation International SCI 9.74 7.09 8.19 8.28 244.4 2,023.9 1.1%Sothebys Holdings BID 47.23 18.63 22.48 43.84 67.1 2,940.1 95.0%Stewart Enterprises STEI 6.99 4.50 5.15 5.55 89.6 497.5 7.8%Stonemor Operating STON 30.62 17.15 19.75 28.23 15.6 439.4 42.9%Stream Global Services SGS 7.38 3.20 5.95 3.76 80.5 302.7 -36.8%United Rentals URI 20.75 6.87 9.81 18.79 60.5 1,137.4 91.5%WCA Waste Corp WCAA 5.25 3.80 4.30 5.00 20.5 102.5 16.3%TechnologyAdvanced Micro Devices AMD 10.24 5.53 9.68 7.34 681.8 5,000.7 -24.2%Alcatel-Lucent ALU 3.93 2.25 3.32 3.48 2,318.3 8,061.7 4.7%Amkor Technologies AMKR 8.81 5.05 7.16 7.23 183.8 1,328.8 1.0%Avago Technologies AVGO 25.96 15.01 18.29 24.68 239.4 5,907.5 34.9%Brocade Communication Systems BRCD 8.42 4.64 7.63 6.35 453.4 2,879.1 -16.8%Conexant Systems CNXT 5.17 1.37 3.40 1.50 82.1 123.1 -55.9%Dupont Fabros Technology DFT 28.19 15.50 17.99 25.10 59.6 1,496.4 39.5%Equinix EQIX 110.57 69.42 97.34 84.24 46.0 3,874.6 -13.5%Flextronics International FLEX 8.38 4.86 7.31 7.17 766.2 5,493.7 -1.9%Jabil Circuit JBL 18.49 10.17 17.37 15.34 217.8 3,341.4 -11.7%JDA Software Group JDAS 31.72 20.76 25.47 25.32 43.8 1,108.1 -0.6%Kemet KEM 14.60 3.42 6.33 11.22 27.1 304.0 77.3%Lender Processing Services LPS 43.12 25.50 40.66 28.84 91.3 2,633.7 -29.1%Motorola Inc MOT 8.94 6.04 7.76 8.16 2,349.4 19,170.9 5.2%Nortel Networks NRTLQ 0.12 0.01 0.02 0.02 497.9 10.7 -6.5%Sanmina SANM 20.30 7.74 11.03 13.19 79.6 1,049.9 19.6%Seagate Technology STX 21.58 9.84 18.19 14.71 472.7 6,953.2 -19.1%SS&C Technologies SSNC 18.50 13.27 15.00 17.30 72.3 1,250.3 15.3%Syniverse Technologies SVR 31.25 14.76 17.48 30.49 70.2 2,140.8 74.4%Terremark Worldwide TMRK 11.91 6.00 6.84 9.99 66.3 661.9 46.1%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A116
V
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009.2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010.Source: J.P. Morgan.
52 Week Price Market YTD102
Issuer Ticker High Low 31-Dec-091 29-Oct-10 Shares (mn) Cap ($ mn) ReturnUnisys UIS 40.41 17.04 38.56 23.05 42.6 982.5 -40.2%TelecommunicationsAmerican Tower AMT 53.52 38.09 43.21 51.61 399.1 20,596.5 19.4%Cincinnati Bell Telephone CBB 3.74 2.27 3.45 2.45 201.8 494.4 -29.0%Clearwire Communications CLWR 8.82 5.35 6.76 7.09 243.3 1,724.7 4.9%Crown Castle International CCI 44.46 34.12 39.04 43.12 290.8 12,537.4 10.5%Fairpoint Communications FRCMQ 0.14 0.01 0.03 0.03 90.0 2.6 -12.1%Frontier Communication FTR 9.42 6.96 7.81 8.78 993.9 8,726.2 12.4%General Communication Inc GNCMA 11.17 5.21 6.38 10.45 44.3 463.3 63.8%Global Crossing GLBC 17.75 10.09 14.25 13.60 60.5 822.8 -4.6%ITC Deltacom ITCD 3.03 1.34 2.02 2.99 83.7 250.2 48.0%Leap Wireless LEAP 19.21 9.51 17.55 11.41 78.3 893.3 -35.0%Level 3 Communications LVLT 1.77 0.83 1.53 0.97 1,669.2 1,615.3 -36.8%MasTec MTZ 15.25 9.26 12.50 12.20 76.1 928.7 -2.4%MetroPCS PCS 12.31 5.52 7.63 10.40 354.4 3,685.9 36.3%Millicom International Cellular MICC 102.72 64.17 69.63 94.60 109.0 10,308.2 35.9%Mobile Telesystems MBT 23.59 17.20 19.56 21.65 996.7 21,577.8 10.7%NII Capital NIHD 45.26 28.28 33.58 41.81 169.3 7,077.2 24.5%PAETEC Holding Corp PAET 5.30 2.93 4.15 4.22 144.7 610.6 1.7%Philippine Long Distance Telephone PHI 64.54 50.04 55.62 62.13 186.8 11,605.7 11.7%Primus Telecomm Group PMUG 11.50 5.60 5.95 9.60 9.7 93.5 61.3%Qwest Communications International Q 6.95 3.62 4.21 6.61 1,742.7 11,519.4 57.0%SBA Telecommunications SBAC 41.29 30.21 34.16 39.26 115.0 4,513.5 14.9%Sprint Nextel Corp S 5.31 3.10 3.66 4.13 2,952.0 12,177.2 12.7%Time Warner Telecom Holdings TWTC 19.63 14.28 17.15 18.40 151.3 2,784.0 7.3%VimpelCom Ltd VIP 20.00 12.32 18.59 15.33 1,291.2 19,794.6 -17.5%Windstream WIN 13.36 6.02 10.99 12.66 483.7 6,123.6 15.2%TransportationAmerican Commercial Lines ACLI 35.50 14.78 18.33 33.15 12.8 425.8 80.9%AMR AMR 10.50 5.40 7.73 7.89 333.3 2,629.6 2.1%Delta Air Lines DAL 14.94 7.40 11.38 13.89 788.9 10,954.2 22.0%General Maritime GMR 8.82 3.58 6.99 3.84 88.9 341.4 -45.1%Kansas City Southern Railway KSU 47.14 27.75 33.29 43.82 102.6 4,496.4 31.6%Navios Maritime Acquisition NNA 10.20 5.04 5.45 5.45 47.9 261.1 0.0%Navios Maritime Holdings NM 7.55 4.38 6.05 5.99 101.0 604.8 -1.0%Overseas Shipholding Group OSG 53.20 31.39 43.95 33.43 30.4 1,017.0 -23.9%RailAmerica RA 14.47 9.16 12.20 11.60 54.9 636.4 -4.9%Ship Finance SFL 22.00 12.30 13.63 20.11 79.1 1,591.2 47.5%Teekay Corporation TK 33.67 20.42 23.21 31.80 73.0 2,320.7 37.0%Trailer Bridge TRBR 5.95 2.93 4.80 3.10 12.0 37.3 -35.4%Ultrapetrol Bahamas Ltd ULTR 6.98 4.05 4.76 6.51 29.9 194.9 36.8%United Continental Holdings UAL 29.75 6.85 12.91 29.04 317.1 9,207.8 124.9%US Airways Group LCC 12.26 3.04 4.84 11.79 161.5 1,904.5 143.6%UtilityAES AES 14.24 8.82 13.31 11.94 788.1 9,409.9 -10.3%Calpine Corp CPN 14.27 10.69 11.00 12.50 444.5 5,556.6 13.6%CMS Energy CMS 19.07 13.85 15.66 18.38 244.6 4,495.3 17.4%Dynegy Holdings DYN 10.35 2.76 9.05 4.64 120.9 560.9 -48.7%Mirant Corp MIR 17.02 9.36 15.27 10.61 145.5 1,544.2 -30.5%NRG Energy NRG 26.15 19.20 23.61 19.91 247.2 4,921.7 -15.7%Otter Tail Corp OTTR 25.39 18.24 19.99 20.55 35.9 738.4 2.8%PNM Resources PNM 13.96 10.81 12.65 11.79 86.7 1,021.9 -6.8%RRI Energy RRI 6.21 3.35 4.42 3.76 353.4 1,328.9 -14.9%
JPMorgan High-Yield Equity IndexYear-to-date 2010 performance
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A117
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Auto
mot
ive3.0
0%3.4
6yrs
565b
p2.5
704.0
4%3.5
4yrs
513b
p3.2
254.7
8%3.8
1yrs
496b
p3.4
18Oe
ms a
nd C
aptiv
e Fin
ance
0.90%
2.97y
rs42
2bp
3.068
1.68%
4.01y
rs39
9bp
4.171
2.17%
4.28y
rs39
9bp
4.426
Supp
liers
2.10%
3.63y
rs61
3bp
2.356
2.35%
3.21y
rs59
3bp
2.548
2.61%
3.42y
rs57
5bp
2.582
Broa
dcas
ting
1.58%
3.78y
rs74
5bp
3.492
2.30%
3.19y
rs81
6bp
3.874
1.98%
3.51y
rs69
2bp
3.328
Out o
f Hom
e0.5
5%3.7
2yrs
755b
p2.6
700.9
6%3.3
7yrs
898b
p2.8
260.7
8%3.5
3yrs
718b
p2.6
60Te
levisi
on1.0
4%3.8
1yrs
740b
p3.9
251.3
5%3.0
6yrs
758b
p4.6
181.2
0%3.4
9yrs
675b
p3.7
61Ca
ble a
nd S
atell
ite4.2
0%3.3
6yrs
641b
p2.7
487.2
4%3.3
0yrs
624b
p2.4
586.8
9%3.5
7yrs
576b
p2.5
82Ca
ble a
nd D
BS2.7
6%3.4
6yrs
555b
p2.5
544.7
1%3.6
2yrs
544b
p2.6
614.8
7%3.9
8yrs
526b
p2.8
11Sa
tellite
s1.4
4%3.1
6yrs
821b
p3.1
222.5
3%2.6
9yrs
772b
p2.0
802.0
2%2.5
9yrs
698b
p2.0
28Ch
emica
ls3.6
8%4.0
0yrs
534b
p3.2
053.1
1%3.7
2yrs
568b
p3.2
253.2
0%4.0
4yrs
540b
p3.1
05Co
mmod
ity C
hemi
cals
2.17%
3.99y
rs50
8bp
3.553
1.42%
4.12y
rs53
3bp
3.463
1.58%
4.20y
rs52
0bp
3.246
Spec
ialty
Chem
icals
1.50%
4.02y
rs56
9bp
2.703
1.69%
3.38y
rs59
6bp
3.024
1.62%
3.88y
rs55
9bp
2.968
Cons
umer
Pro
duct
s2.1
9%3.7
7yrs
635b
p1.8
501.3
6%3.4
1yrs
616b
p1.9
901.6
0%3.4
1yrs
578b
p2.0
22Ap
pare
l and
Texti
les0.6
5%4.8
4yrs
552b
p2.0
940.3
6%4.3
0yrs
543b
p2.4
310.5
5%4.2
1yrs
532b
p2.3
92Di
versi
fied
Cons
umer
Pro
ducts
1.55%
3.32y
rs66
9bp
1.749
1.00%
3.09y
rs64
3bp
1.832
1.05%
3.00y
rs60
2bp
1.830
Dive
rsifi
ed M
edia
2.06%
3.16y
rs80
0bp
2.464
1.86%
2.55y
rs75
7bp
2.571
1.33%
3.12y
rs69
0bp
2.512
Book
and
Mag
azine
Pub
lishin
g0.6
0%3.0
4yrs
1035
bp3.1
070.5
5%2.8
5yrs
965b
p2.9
790.2
6%3.9
6yrs
898b
p2.9
28Me
dia S
ervic
es0.9
5%2.9
3yrs
678b
p1.9
311.1
7%2.2
7yrs
656b
p2.3
750.8
8%2.7
3yrs
600b
p2.3
64Ne
wspa
per P
ublis
hing
0.51%
3.78y
rs76
6bp
2.699
0.14%
3.78y
rs85
3bp
2.599
0.19%
3.70y
rs81
5bp
2.622
Ener
gy12
.66%
4.34y
rs60
9bp
3.013
10.01
%4.2
8yrs
618b
p3.2
1112
.03%
4.46y
rs55
0bp
3.034
Ener
gy S
ervic
e2.5
2%3.8
4yrs
749b
p3.1
281.5
6%3.7
0yrs
812b
p3.6
131.7
7%3.9
1yrs
706b
p3.1
91Ex
plora
tion
& Pr
oduc
tion
6.33%
4.46y
rs60
5bp
3.192
6.46%
4.49y
rs57
7bp
3.285
7.62%
4.70y
rs51
6bp
3.117
Mids
tream
1.50%
4.38y
rs59
7bp
2.607
0.71%
4.13y
rs56
5bp
2.613
1.02%
4.26y
rs55
9bp
2.606
Pipe
lines
1.23%
5.44y
rs30
2bp
2.943
0.34%
5.56y
rs28
6bp
2.880
0.50%
5.56y
rs26
9bp
2.963
Prop
ane
0.44%
4.13y
rs49
9bp
1.630
0.35%
2.86y
rs53
9bp
2.126
0.62%
3.02y
rs53
5bp
2.182
Refin
ing0.6
4%3.0
9yrs
793b
p2.8
220.5
9%3.8
2yrs
849b
p2.9
030.5
1%3.6
8yrs
774b
p3.1
93Fi
nanc
ial9.3
6%4.9
4yrs
627b
p3.3
919.3
9%4.8
3yrs
547b
p3.6
759.0
3%5.1
7yrs
547b
p3.6
73Ba
nks
4.51%
5.71y
rs55
4bp
3.501
5.16%
5.22y
rs53
5bp
3.461
4.91%
5.60y
rs53
3bp
3.429
Insur
ance
0.57%
4.76y
rs67
6bp
3.942
0.42%
7.21y
rs47
3bp
2.978
0.54%
6.65y
rs50
5bp
2.975
Othe
r Fina
ncial
3.51%
4.20y
rs72
3bp
3.311
3.18%
4.04y
rs59
5bp
4.233
3.12%
4.38y
rs58
7bp
4.327
Reits
0.77%
3.98y
rs58
3bp
2.708
0.64%
4.16y
rs45
2bp
3.093
0.45%
4.27y
rs47
5bp
2.646
Food
and
Beve
rage
s3.8
0%3.8
7yrs
638b
p2.4
842.6
5%3.8
3yrs
602b
p2.5
002.9
7%4.0
4yrs
540b
p2.5
22Fo
od P
rodu
cers
1.70%
4.34y
rs54
9bp
2.522
1.18%
3.93y
rs53
8bp
2.382
1.44%
4.16y
rs50
9bp
2.296
Pack
aged
Foo
d an
d Be
vera
ges
1.09%
3.57y
rs61
2bp
2.599
0.90%
3.93y
rs60
4bp
2.730
1.02%
4.22y
rs49
6bp
2.901
Resta
uran
ts1.0
0%3.3
9yrs
815b
p2.2
960.5
7%3.4
5yrs
731b
p2.3
810.5
1%3.3
1yrs
716b
p2.4
03
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A118
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Gam
ing
Lodg
ing
and
Leisu
re4.9
8%3.4
9yrs
741b
p2.4
915.8
8%3.3
6yrs
752b
p2.6
775.3
7%3.4
1yrs
687b
p2.4
83Ga
ming
3.08%
3.61y
rs84
7bp
2.640
3.58%
3.34y
rs84
0bp
2.894
2.89%
3.36y
rs76
6bp
2.671
Leisu
re a
nd E
nterta
inmen
t1.2
3%3.4
3yrs
647b
p2.1
921.6
1%3.6
3yrs
675b
p2.4
551.5
1%3.7
1yrs
686b
p2.3
53Lo
dging
0.68%
3.10y
rs43
7bp
2.354
0.69%
2.89y
rs47
5bp
2.074
0.97%
3.09y
rs45
3bp
2.126
Healt
hcar
e7.3
5%3.6
2yrs
602b
p2.1
208.1
3%3.0
5yrs
643b
p2.0
998.4
1%3.0
6yrs
619b
p2.1
00De
vice
and
Phar
ma M
anufa
cture
rs2.6
4%4.1
1yrs
599b
p2.3
132.5
6%3.3
9yrs
710b
p2.2
132.3
2%3.2
4yrs
684b
p2.3
14He
althc
are
Servi
ces
4.70%
3.34y
rs60
4bp
2.012
5.57%
2.90y
rs61
2bp
2.047
6.09%
2.99y
rs59
5bp
2.019
Hous
ing
4.58%
3.97y
rs69
9bp
2.583
2.19%
3.79y
rs75
2bp
2.258
2.00%
4.54y
rs62
8bp
2.303
Build
ing M
ateria
ls2.3
4%4.1
5yrs
592b
p1.9
211.3
7%3.7
6yrs
700b
p1.8
421.3
3%4.6
1yrs
609b
p1.9
27Ho
mebu
ilder
s2.2
4%3.7
9yrs
812b
p3.2
780.8
2%3.8
5yrs
841b
p2.9
540.6
7%4.3
8yrs
664b
p3.0
51In
dust
rials
5.10%
3.60y
rs59
8bp
2.257
4.46%
3.37y
rs62
5bp
2.440
4.79%
3.73y
rs56
4bp
2.482
Aero
spac
e an
d De
fense
1.73%
3.52y
rs63
1bp
2.293
1.42%
3.24y
rs69
5bp
2.530
1.14%
3.99y
rs56
2bp
2.430
Gene
ral In
dustr
ials
3.37%
3.64y
rs58
1bp
2.239
3.04%
3.43y
rs59
2bp
2.397
3.65%
3.65y
rs56
5bp
2.498
Meta
ls an
d Mi
ning
4.30%
3.65y
rs56
9bp
2.381
3.35%
3.51y
rs50
0bp
2.540
4.22%
3.53y
rs51
5bp
2.579
Coal
1.58%
3.74y
rs55
3bp
2.734
1.42%
4.24y
rs51
2bp
2.869
1.62%
4.34y
rs50
0bp
2.889
Metal
s0.7
8%2.4
1yrs
643b
p2.6
650.5
8%2.3
1yrs
646b
p2.7
131.0
2%2.2
8yrs
655b
p2.6
70Mi
ning
0.59%
4.25y
rs56
7bp
1.699
0.76%
2.60y
rs28
6bp
2.000
0.85%
2.76y
rs28
9bp
2.090
Stee
l1.3
5%3.9
9yrs
546b
p2.1
030.5
9%4.1
3yrs
606b
p2.2
800.7
4%4.3
6yrs
612b
p2.3
30Pa
per a
nd P
acka
ging
5.33%
4.32y
rs65
5bp
2.444
4.35%
3.95y
rs61
9bp
2.659
4.77%
4.29y
rs58
4bp
2.725
Pack
aging
1.92%
4.33y
rs61
1bp
1.940
2.04%
3.78y
rs61
5bp
2.321
2.08%
4.05y
rs59
5bp
2.346
Pape
r and
For
est P
rodu
cts3.4
2%4.3
1yrs
679b
p2.7
262.3
0%4.1
0yrs
623b
p2.9
592.6
9%4.4
7yrs
576b
p3.0
18Re
tail
3.98%
3.90y
rs60
0bp
2.066
4.32%
3.81y
rs62
8bp
2.096
3.86%
4.51y
rs56
2bp
2.251
Depa
rtmen
t and
Disc
ount
Stor
es1.0
4%3.9
8yrs
452b
p2.0
871.0
9%3.4
9yrs
533b
p2.0
380.7
9%4.9
7yrs
423b
p2.1
85Sp
ecial
ty Re
tail
2.05%
3.82y
rs62
2bp
2.081
1.87%
3.89y
rs60
4bp
2.249
1.80%
4.68y
rs53
6bp
2.586
Supe
rmar
kets
and
Drug
Stor
es0.8
9%4.0
0yrs
724b
p2.0
091.3
6%3.9
6yrs
737b
p1.9
341.2
6%3.9
9yrs
688b
p1.8
14Se
rvice
s4.1
0%3.2
6yrs
756b
p2.3
733.5
7%2.8
6yrs
773b
p2.5
773.5
0%3.0
1yrs
734b
p2.6
52Bu
sines
s Solu
tions
0.97%
3.32y
rs85
0bp
2.632
0.87%
2.79y
rs83
4bp
2.687
0.82%
2.45y
rs71
0bp
2.417
Dive
rsifie
d Se
rvice
s2.5
5%3.1
6yrs
707b
p2.1
211.9
9%2.8
7yrs
758b
p2.3
692.0
6%3.2
5yrs
739b
p2.5
62Re
ntal
0.57%
3.62y
rs81
7bp
3.060
0.70%
2.94y
rs74
1bp
3.030
0.61%
2.96y
rs75
1bp
3.274
Tech
nolo
gy4.7
2%3.6
5yrs
768b
p3.0
625.5
0%3.5
5yrs
764b
p3.2
684.2
0%3.5
9yrs
653b
p2.8
13EM
S0.3
0%3.8
2yrs
520b
p2.2
270.3
5%3.5
0yrs
520b
p2.5
880.3
5%3.8
7yrs
413b
p2.8
14Eq
uipme
nt an
d Ha
rdwa
re1.3
8%4.1
3yrs
590b
p2.6
371.2
9%4.4
4yrs
603b
p3.0
181.2
1%4.5
9yrs
503b
p2.9
27Se
mico
nduc
tors
1.18%
3.71y
rs61
7bp
3.425
1.76%
3.54y
rs68
9bp
3.901
1.05%
3.85y
rs66
7bp
3.606
Servi
ces a
nd S
oftwa
re1.8
6%3.2
6yrs
1023
bp3.2
852.1
0%3.0
5yrs
965b
p3.0
031.5
9%2.6
2yrs
808b
p2.2
03
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A119
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Telec
omm
unica
tions
6.45%
4.13y
rs62
3bp
2.848
9.24%
3.94y
rs61
4bp
3.291
7.74%
3.99y
rs58
2bp
3.236
Towe
rs0.6
0%3.7
2yrs
365b
p2.1
760.4
2%3.2
6yrs
434b
p2.5
730.4
5%2.9
8yrs
456b
p2.5
52W
ireles
s3.3
8%4.4
5yrs
650b
p2.8
045.7
1%3.8
5yrs
667b
p3.3
273.3
8%4.0
3yrs
638b
p3.4
23W
irelin
e2.4
7%3.7
9yrs
649b
p3.0
733.1
1%4.1
9yrs
540b
p3.3
213.9
1%4.0
8yrs
549b
p3.1
52Tr
ansp
orta
tion
2.31%
4.42y
rs62
1bp
2.990
1.99%
3.56y
rs59
4bp
2.660
1.54%
3.61y
rs60
4bp
2.667
Airlin
es0.8
1%3.5
1yrs
546b
p2.3
101.1
1%3.7
0yrs
537b
p2.7
290.9
4%3.3
1yrs
557b
p2.5
86Sh
ipping
1.13%
5.43y
rs63
1bp
3.559
0.50%
3.75y
rs68
0bp
2.614
0.35%
4.39y
rs72
8bp
2.986
Truc
king/R
ail0.3
7%3.3
5yrs
759b
p2.7
370.3
9%2.9
1yrs
648b
p2.5
210.2
4%3.6
3yrs
607b
p2.5
18Ut
ility
4.25%
5.26y
rs69
8bp
2.645
4.91%
4.42y
rs80
1bp
3.017
5.78%
4.37y
rs77
4bp
2.864
Indep
ende
nt Po
wer P
rodu
cers
3.06%
4.77y
rs81
6bp
2.656
3.88%
4.34y
rs88
8bp
3.048
4.44%
4.25y
rs86
4bp
2.866
Integ
rated
Utili
ties
1.19%
6.51y
rs39
5bp
2.615
1.03%
4.72y
rs47
1bp
2.900
1.34%
4.77y
rs47
9bp
2.856
Mark
et W
eight
ed A
vera
ges
100.0
0%4.0
1yrs
644b
p2.6
8610
0.00%
3.74y
rs64
3bp
2.867
100.0
0%3.9
6yrs
597b
p2.8
12
Indu
stry
Type
Cycli
cal
53.54
%4.0
2yrs
640b
p2.6
8849
.93%
3.82y
rs62
3bp
2.889
49.35
%4.0
9yrs
575b
p2.8
57De
fensiv
e33
.80%
3.86y
rs66
4bp
2.560
39.90
%3.4
9yrs
676b
p2.7
4738
.59%
3.63y
rs63
8bp
2.688
Ener
gy12
.66%
4.34y
rs60
9bp
3.013
10.01
%4.2
8yrs
618b
p3.2
1112
.03%
4.46y
rs55
0bp
3.034
Secu
rity T
ype
Cash
96.75
%4.0
2yrs
636b
p2.6
3596
.93%
3.76y
rs63
3bp
2.826
98.69
%3.9
7yrs
592b
p2.7
96De
ferre
d les
s tha
n 2
year
s0.6
7%3.4
3yrs
1134
bp4.3
410.7
8%2.6
7yrs
1027
bp3.9
170.2
4%2.4
5yrs
994b
p3.7
87De
ferre
d 2
year
s & O
ver
1.42%
3.30y
rs98
9bp
3.782
1.99%
3.24y
rs10
11bp
4.282
0.87%
2.85y
rs10
36bp
4.449
Defau
lt1.1
5%0.0
0yrs
0bp
4.672
0.31%
0.00y
rs0b
p4.2
010.2
0%0.0
0yrs
0bp
2.449
Ratin
gSp
lit BB
B9.3
9%5.4
8yrs
383b
p2.8
334.2
7%5.5
4yrs
429b
p3.0
345.0
8%5.5
4yrs
422b
p3.1
00BB
21.50
%4.4
8yrs
472b
p2.5
3217
.75%
4.57y
rs47
6bp
2.861
22.38
%4.5
7yrs
466b
p2.8
13Sp
lit BB
14.79
%3.7
2yrs
548b
p2.4
7817
.32%
3.49y
rs53
8bp
2.825
20.40
%3.6
9yrs
533b
p2.8
49B
31.16
%3.8
3yrs
655b
p2.4
4131
.45%
3.60y
rs64
4bp
2.631
31.10
%3.7
2yrs
633b
p2.6
25Sp
lit B
9.55%
3.37y
rs82
3bp
2.654
10.97
%3.1
1yrs
816b
p2.7
148.8
3%3.1
9yrs
768b
p2.5
82CC
C11
.47%
3.34y
rs10
88bp
3.608
13.97
%2.9
7yrs
991b
p3.5
248.0
5%3.0
7yrs
1033
bp3.4
77No
t Rate
d0.7
6%3.6
1yrs
841b
p1.9
500.5
5%2.6
8yrs
854b
p1.6
270.2
9%3.0
3yrs
880b
p1.8
56
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Ratin
g T i
erUp
per T
ier30
.89%
4.78y
rs44
5bp
2.623
25.32
%4.8
3yrs
443b
p2.9
0631
.13%
4.83y
rs43
7bp
2.881
Midd
le Tie
r55
.51%
3.72y
rs65
5bp
2.487
59.73
%3.4
8yrs
645b
p2.7
0360
.33%
3.63y
rs61
9bp
2.694
Lowe
r Tier
12.84
%3.3
3yrs
1105
bp3.7
3814
.40%
2.96y
rs98
8bp
3.530
8.25%
3.07y
rs10
34bp
3.452
Baa1
0.00%
0.00y
rs0b
p0.0
000.2
7%6.4
1yrs
251b
p3.3
310.3
9%5.7
9yrs
240b
p3.1
22Ba
a20.0
5%7.2
5yrs
442b
p2.4
200.9
3%5.2
1yrs
255b
p2.7
901.0
8%5.0
3yrs
245b
p2.6
58Ba
a32.2
7%7.2
6yrs
374b
p3.1
322.6
2%5.4
2yrs
364b
p2.5
562.7
0%5.6
0yrs
374b
p2.5
72Ba
110
.96%
5.19y
rs38
9bp
2.907
5.07%
5.14y
rs41
0bp
2.917
7.09%
5.19y
rs41
0bp
2.985
Ba2
10.86
%3.9
9yrs
476b
p2.3
019.5
5%4.0
1yrs
491b
p2.8
5112
.01%
4.09y
rs48
0bp
2.792
Ba3
11.29
%4.3
2yrs
518b
p2.5
5411
.62%
4.59y
rs49
9bp
3.016
13.97
%4.5
6yrs
493b
p3.0
02B1
14.65
%3.9
7yrs
572b
p2.5
6814
.86%
3.67y
rs55
3bp
2.848
16.73
%3.8
1yrs
547b
p2.8
13B2
12.40
%3.4
1yrs
655b
p2.3
0012
.50%
3.30y
rs65
5bp
2.367
13.09
%3.3
8yrs
629b
p2.3
97B3
16.02
%3.8
5yrs
692b
p2.5
0717
.64%
3.52y
rs66
0bp
2.668
16.57
%3.6
4yrs
662b
p2.6
31Ca
a110
.52%
3.50y
rs82
2bp
2.501
13.09
%3.0
2yrs
797b
p2.6
169.0
7%3.1
5yrs
762b
p2.5
04Ca
a24.5
8%3.0
8yrs
1142
bp4.3
955.7
6%2.8
0yrs
977b
p3.9
633.3
6%2.9
6yrs
998b
p3.7
48Ca
a32.5
3%3.4
6yrs
1270
bp3.6
632.7
9%3.3
7yrs
1258
bp3.9
231.7
0%3.3
7yrs
1318
bp3.7
77Ca
0.75%
2.86y
rs17
00bp
5.860
0.96%
3.83y
rs14
23bp
4.994
0.44%
4.12y
rs15
16bp
5.180
C0.8
9%3.1
4yrs
1150
bp2.7
560.1
9%2.5
4yrs
579b
p2.2
360.0
4%0.0
0yrs
0bp
1.955
NR2.2
3%3.1
3yrs
827b
p3.0
491.5
6%2.9
1yrs
814b
p2.7
631.0
5%3.3
6yrs
907b
p3.6
15
BBB+
0.12%
4.28y
rs44
3bp
2.273
0.10%
6.39y
rs28
6bp
3.154
0.01%
6.86y
rs21
9bp
2.903
BBB
1.09%
5.09y
rs33
5bp
2.088
1.64%
4.55y
rs33
7bp
2.642
2.13%
4.36y
rs34
8bp
2.606
BBB-
6.19%
5.09y
rs39
6bp
3.016
3.88%
5.27y
rs36
7bp
2.941
4.61%
5.40y
rs35
4bp
2.993
BB+
9.58%
4.69y
rs41
3bp
2.558
7.39%
4.21y
rs46
0bp
3.020
8.94%
4.63y
rs44
6bp
3.002
BB10
.40%
4.60y
rs48
2bp
2.704
9.52%
4.58y
rs46
5bp
2.935
11.69
%4.5
6yrs
465b
p2.9
23BB
-13
.47%
4.11y
rs55
5bp
2.389
13.86
%3.8
9yrs
554b
p2.5
8616
.35%
3.89y
rs53
9bp
2.549
B+16
.34%
3.92y
rs60
1bp
2.503
16.75
%3.5
7yrs
595b
p2.6
7118
.10%
3.80y
rs58
1bp
2.728
B14
.94%
3.85y
rs66
6bp
2.326
15.45
%3.8
0yrs
645b
p2.5
8514
.87%
3.90y
rs63
7bp
2.607
B-11
.41%
3.33y
rs77
4bp
2.582
13.28
%3.1
8yrs
777b
p2.9
1311
.50%
3.22y
rs72
7bp
2.797
CCC+
8.13%
3.12y
rs91
6bp
3.361
9.30%
2.89y
rs86
9bp
3.262
6.12%
2.87y
rs85
7bp
2.994
CCC
4.27%
3.78y
rs10
80bp
3.545
5.23%
3.15y
rs10
28bp
3.616
3.43%
3.38y
rs11
13bp
3.653
CCC-
0.54%
2.40y
rs24
22bp
5.130
0.67%
2.95y
rs16
05bp
3.972
0.32%
2.70y
rs20
52bp
4.381
CC0.5
7%1.9
2yrs
1873
bp6.9
830.2
7%2.2
0yrs
1772
bp6.1
610.0
6%3.0
0yrs
1741
bp4.0
45C
0.60%
2.72y
rs18
18bp
3.209
0.22%
2.80y
rs15
26bp
2.882
0.04%
3.00y
rs17
29bp
3.691
D0.2
0%0.0
0yrs
0bp
3.560
0.03%
0.00y
rs0b
p5.6
580.0
0%0.0
0yrs
0bp
4.401
NR2.1
5%3.5
6yrs
767b
p2.6
131.6
2%2.7
7yrs
741b
p2.1
440.9
6%3.3
0yrs
707b
p2.3
14
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A121
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Regi
onAs
ia2.0
8%3.4
8yrs
825b
p3.2
570.3
3%4.2
9yrs
617b
p3.3
900.3
4%4.7
0yrs
614b
p2.9
09Au
strali
a0.3
6%3.3
2yrs
601b
p1.4
870.1
5%3.7
2yrs
513b
p1.3
040.1
6%3.9
7yrs
486b
p1.3
24Eu
rope
6.81%
4.05y
rs60
0bp
2.708
7.72%
3.42y
rs66
4bp
3.033
5.75%
3.61y
rs64
3bp
3.006
Latin
Ame
rica
3.45%
4.55y
rs55
9bp
2.952
1.06%
4.90y
rs54
8bp
3.128
1.24%
4.66y
rs56
0bp
3.078
Midd
le Ea
st an
d Afric
a0.6
8%6.0
1yrs
571b
p4.0
720.2
1%4.0
3yrs
663b
p3.0
630.1
5%6.1
0yrs
467b
p3.4
25US
/Can
ada
86.62
%3.9
8yrs
648b
p2.6
5490
.54%
3.76y
rs64
3bp
2.850
92.37
%3.9
6yrs
594b
p2.7
98Em
ergin
g Ma
rkets
7.47%
4.36y
rs60
3bp
2.960
1.86%
4.62y
rs57
5bp
3.128
1.99%
4.69y
rs56
4bp
3.007
Size
0mn
- 100
mn0.4
6%3.4
6yrs
787b
p2.3
360.7
2%3.1
5yrs
679b
p2.4
700.4
1%2.8
5yrs
709b
p2.6
5610
1mn
- 199
mn4.8
0%2.9
8yrs
822b
p2.3
624.0
4%2.9
1yrs
758b
p2.2
663.6
8%3.1
2yrs
715b
p2.3
8620
0mn
- 299
mn12
.05%
3.52y
rs69
6bp
2.310
10.70
%3.4
7yrs
677b
p2.4
1910
.89%
3.73y
rs62
6bp
2.352
300m
n - 3
99mn
11.06
%3.7
1yrs
666b
p2.5
6010
.16%
3.61y
rs64
3bp
2.776
10.33
%3.7
5yrs
593b
p2.5
8040
0mn
- 499
mn10
.01%
3.82y
rs60
6bp
2.318
9.12%
3.66y
rs64
7bp
2.556
9.65%
3.87y
rs61
1bp
2.545
over
500
mn61
.62%
4.27y
rs62
1bp
2.870
65.26
%3.8
8yrs
630b
p3.0
4065
.04%
4.10y
rs58
3bp
2.991
Y ield
to W
orst
Clas
sLT
5%12
.00%
2.82y
rs38
2bp
2.330
12.12
%2.5
1yrs
421b
p2.3
1813
.65%
2.65y
rs42
0bp
2.406
5% -
6%17
.62%
3.61y
rs48
9bp
2.420
21.01
%3.3
6yrs
518b
p2.7
3924
.71%
3.65y
rs49
5bp
2.828
6% -
7%21
.01%
4.49y
rs52
3bp
2.554
22.43
%4.1
9yrs
542b
p2.7
9325
.03%
4.50y
rs53
0bp
2.827
7% -
8%19
.07%
4.58y
rs60
8bp
2.533
19.25
%4.3
0yrs
633b
p2.8
7417
.84%
4.44y
rs62
1bp
2.783
8% -
9%11
.40%
4.35y
rs72
0bp
2.676
10.64
%3.8
3yrs
756b
p2.9
068.5
6%4.3
0yrs
723b
p2.6
869%
- 10
%6.5
0%4.0
9yrs
794b
p2.6
285.3
5%3.8
0yrs
805b
p2.4
994.5
0%4.1
3yrs
790b
p2.5
6210
% -
11%
5.55%
3.89y
rs88
4bp
2.826
5.05%
3.66y
rs90
2bp
3.135
3.18%
3.89y
rs89
0bp
3.005
11%
- 13
%3.6
6%3.7
6yrs
1035
bp3.1
312.6
0%3.9
2yrs
1034
bp3.6
061.7
7%3.9
1yrs
1028
bp3.6
9313
% -
15%
2.03%
3.99y
rs12
24bp
3.931
1.91%
3.97y
rs12
42bp
4.344
1.04%
3.85y
rs12
31bp
4.112
15%
- 17
%0.8
9%3.4
1yrs
1437
bp4.8
080.8
8%3.5
7yrs
1435
bp4.9
430.5
8%3.9
4yrs
1421
bp4.1
8117
% -
20%
1.18%
2.98y
rs17
09bp
5.683
1.25%
3.35y
rs17
03bp
5.231
0.56%
3.78y
rs17
18bp
4.622
20%
- 25
%0.2
6%2.3
4yrs
2163
bp4.7
530.1
8%2.8
1yrs
2091
bp5.8
500.2
1%2.6
4yrs
2032
bp6.2
71GT
25%
0.59%
2.32y
rs33
21bp
7.231
0.40%
2.84y
rs27
16bp
6.065
0.48%
2.78y
rs27
38bp
6.255
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A122
W
Hig
h-y
ield
investm
ent
sty
les
Sour
ce: J
.P. M
orga
n.
JPMo
rgan
Glo
bal H
igh-
Yield
Inde
xHi
gh-Y
ield
Mutu
al Fu
nds
High
-Yiel
d In
stitu
tiona
l Fun
dsMa
rket
Price
Mark
etPr
iceMa
rket
Price
Nove
mbe
r 30,
2010
Weig
htDu
ratio
nST
WVo
latilit
yW
eight
Dura
tion
STW
Volat
ility
Weig
htDu
ratio
nST
W
Volat
ility
Spre
ad to
Wor
st C
lass
LT25
0 bp
2.45%
3.56y
rs19
1bp
2.590
2.29%
3.69y
rs19
2bp
2.821
2.25%
3.49y
rs19
1bp
2.633
250
bp -
300
bp1.8
9%5.4
1yrs
283b
p3.2
261.4
4%6.0
7yrs
279b
p3.5
591.8
6%6.3
5yrs
282b
p3.7
8430
0 bp
- 35
0 bp
4.33%
5.66y
rs32
4bp
2.784
3.08%
5.81y
rs32
8bp
3.396
3.84%
6.11y
rs32
8bp
3.631
350
bp -
400
bp4.9
0%5.4
8yrs
380b
p2.6
084.5
9%5.1
8yrs
377b
p3.0
496.1
4%5.5
1yrs
379b
p3.2
1940
0 bp
- 50
0 bp
18.00
%4.4
9yrs
455b
p2.5
4516
.13%
4.46y
rs45
5bp
3.093
20.21
%4.4
5yrs
455b
p3.0
3450
0 bp
- 75
0 bp
45.27
%3.8
1yrs
614b
p2.4
0750
.21%
3.47y
rs61
4bp
2.497
51.20
%3.5
7yrs
607b
p2.4
5975
0 bp
& A
bove
22.01
%3.2
9yrs
1065
bp3.2
3321
.94%
3.10y
rs10
20bp
3.378
14.30
%3.1
8yrs
1029
bp3.2
77
Dura
tion
<2 yr
s14
.04%
1.18y
rs68
3bp
1.782
18.72
%1.1
7yrs
643b
p1.7
2616
.07%
1.16y
rs62
0bp
1.660
2 - 3
yrs
16.58
%2.5
1yrs
728b
p2.7
2719
.16%
2.52y
rs70
1bp
2.884
16.81
%2.5
3yrs
645b
p2.7
303
- 4 yr
s20
.60%
3.54y
rs75
1bp
2.935
21.34
%3.5
6yrs
748b
p3.1
0820
.27%
3.55y
rs70
4bp
2.996
4 - 5
yrs
21.70
%4.4
6yrs
645b
p2.6
7018
.94%
4.44y
rs64
9bp
2.956
20.25
%4.4
4yrs
593b
p2.8
045
- 6 yr
s13
.75%
5.42y
rs52
5bp
2.821
11.79
%5.4
2yrs
524b
p3.1
2215
.23%
5.43y
rs50
9bp
3.191
6 - 7
yrs
6.47%
6.52y
rs46
9bp
2.894
4.42%
6.50y
rs45
1bp
3.775
5.51%
6.51y
rs43
3bp
3.641
7 - 1
0 yrs
3.88%
8.03y
rs42
5bp
2.680
3.26%
8.59y
rs45
7bp
3.688
3.46%
8.42y
rs43
2bp
3.399
Seni
ority
Senio
r Sec
ured
24.75
%3.6
7yrs
749b
p2.7
7824
.17%
3.49y
rs70
0bp
2.750
22.84
%3.5
8yrs
667b
p2.6
76Se
nior
64.70
%4.2
3yrs
591b
p2.6
7065
.36%
3.94y
rs61
0bp
2.979
67.02
%4.1
4yrs
560b
p2.9
15Se
nior S
ubor
dinate
d9.1
4%2.9
5yrs
731b
p2.4
719.0
7%2.8
2yrs
713b
p2.3
238.7
8%3.0
7yrs
668b
p2.2
86Ju
nior S
ubor
dinate
d1.3
5%6.2
8yrs
667b
p3.2
651.3
9%4.9
8yrs
762b
p3.2
221.3
5%6.9
4yrs
735b
p3.4
58
Cush
ion
Pape
r9.8
7%1.5
6yrs
552b
p2.1
7913
.71%
1.66y
rs58
0bp
2.243
12.49
%1.6
9yrs
552b
p2.2
25No
n-Cu
shion
Pap
er90
.13%
4.28y
rs65
4bp
2.741
86.29
%4.0
8yrs
654b
p2.9
6787
.51%
4.28y
rs60
3bp
2.896
Equi
ty56
.68%
4.16y
rs56
4bp
2.679
57.83
%3.9
3yrs
571b
p2.8
8862
.44%
4.11y
rs54
6bp
2.853
Othe
r43
.32%
3.81y
rs74
8bp
2.695
42.17
%3.4
8yrs
742b
p2.8
3937
.56%
3.71y
rs68
1bp
2.745
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A123
X1. 2010 data is through November 30.Sources: J.P. Morgan; Bloomberg; Indepth Data; Lipper FMI; Investment Compnay Institute.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20101
New issuance 150.8 99.8 47.3 94.7 67.8 151.6 158.2 106.1 149.1 147.9 52.9 180.7 277.3Fallen angels 14.2 10.6 24.7 66.4 141.6 39.7 37.2 112.8 30.1 50.7 55.9 150.2 28.0TOTAL SUPPLY 165.0 110.4 72.1 161.1 209.4 191.3 195.4 218.9 179.2 198.6 108.8 331.0 305.3
Calls 14.8 10.4 11.5 11.6 17.1 37.6 60.7 38.2 27.4 46.3 14.9 22.7 45.3Tenders 22.4 15.7 12.9 9.6 8.8 18.6 40.2 38.7 49.0 63.8 35.5 45.5 47.9Maturities - - 11.0 11.1 50.6 89.8 74.1 54.2 57.9 32.0 26.9 36.8 30.8Rising stars 24.1 29.7 10.0 24.1 16.3 13.4 30.6 38.1 30.4 19.2 26.5 13.1 32.7Coupon reinvestment @ 75% 35.7 38.3 39.5 43.9 50.0 52.5 53.0 55.4 56.9 58.6 57.7 68.8 68.9Mutual fund flows (AMG) 19.7 3.9 -6.3 13.2 16.3 32.9 -2.1 -8.8 5.5 5.0 6.5 31.9 11.4TOTAL DEMAND 116.8 98.0 78.7 113.5 159.1 244.7 256.5 215.8 227.1 225.0 168.5 218.0 237.0
NET SUPPLY 48.2 12.5 -6.7 47.6 50.3 -53.4 -61.1 3.1 -47.9 -26.4 -59.7 112.9 68.3
High-yield market growth
Sources of supply and demand in the high-yield market$ bn
Global US dollar-denominated high-yield market growth $ bn
1. Through November 30, 2010.Source: J.P. Morgan.
30 32 35 43 59 83
622
870
138
12351117
892942 962 944946902
270 295215
448
565
349
234200
754649
201183 207 244
94.7
73.6
277.3
180.7
52.9
147.9
47.2
149.1
69.1
1.4 1.5 2.7 7.815.2 15.733.3 30.5 31.1
29.3
1.4 10.0
46.0 43.047.3
158.2
106.1
126.0
150.8
99.8
151.6
67.9
0.0
200.0
400.0
600.0
800.0
1000.0
1200.0
1400.0
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Marke
t size
($ bn
)
0.0
50.0
100.0
150.0
200.0
250.0
300.0
New issue volume ($ bn)
High-yield market size
New-issue volume
1
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A124
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
On
e y
ear
en
ded
No
vem
ber
30,
2010
JPMo
rgan
Eur
o. Ag
g. HY
Inde
x JP
Morg
an E
uro.
Curr.
HY
Index
Lev
erag
ed lo
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Gold
DJ W
orld
EM S
tock I
ndex
JPMo
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EMB
I- Gl
obal
Comp
.
DAX
CAC
40
FTS
E 10
0 S
&P 50
0 Bar
ra G
rowt
h Ind
ex Rus
sell 2
000
Wils
hire 5
000
S&P
500
JPMo
rgan
Glo
bal H
Y In
dex
JPMo
rgan
JULI
HG In
dex
LB A
gg. B
ond I
ndex
JPMo
rgan
MBS
Bon
d Ind
ex
10-ye
ar T
reas
ury
5-ye
ar T
reas
ury
-6.00
%
-1.00
%
4.00%
9.00%
14.00
%
19.00
%
24.00
%
29.00
% 1.00%
6.00%
11.00
%16
.00%
21.00
%26
.00%
Annu
alize
d Vola
tility
Annualized Return
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A125
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
Th
ree y
ears
en
ded
No
vem
ber
30,
2010
5-ye
ar T
reas
ury
10-ye
ar T
reas
ury
JPMo
rgan
MB
S Bo
nd In
dex LB
Agg
. Bon
d Ind
ex JP
Morg
an JU
LI HG
Inde
x
JPMo
rgan
Glo
bal H
Y In
dex
S&P
500 W
ilshir
e 500
0
Rus
sell 2
000
S&P
500 B
arra
Gro
wth I
ndex
FTS
E 10
0
CAC
40 DAX
JPMo
rgan
EMB
I- Gl
obal
Comp
.
DJ W
orld
EM S
tock I
ndex
Lev
erag
ed lo
ans
JPMo
rgan
Eur
o. Cu
rr. H
Y Ind
ex JP
Morg
an E
uro.
Agg.
HY In
dex
-13.0
0%
-8.00
%
-3.00
%
2.00%
7.00%
12.00
% 0.00%
5.00%
10.00
%15
.00%
20.00
%25
.00%
30.00
%An
nuali
zed V
olatili
ty
Annualized Return
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A126
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
Fiv
e y
ears
en
ded
No
vem
ber
30,
2010
5-ye
ar T
reas
ury
10-ye
ar T
reas
ury
JPMo
rgan
MBS
Bon
d Ind
ex
LB A
gg. B
ond I
ndex
JPMo
rgan
JULI
HG In
dex
JPMo
rgan
Glo
bal H
Y In
dex
S&P
500
Wils
hire 5
000
Rus
sell 2
000
S&P
500 B
arra
Gro
wth I
ndex
FTS
E 10
0
CAC
40 DAX
JPMo
rgan
EMB
I- Gl
obal
Comp
osite
DJ W
orld
EM S
tock I
ndex
Lev
erag
ed lo
ans JP
Morg
an E
uro.
Curr.
HY
Index
JPMo
rgan
Eur
o. Ag
g. HY
Inde
x
-3.00
%
1.00%
5.00%
9.00%
13.00
% 0.00%
2.00%
4.00%
6.00%
8.00%
10.00
%12
.00%
14.00
%16
.00%
18.00
%20
.00%
22.00
%24
.00%
26.00
%28
.00%
Annu
alize
d Vola
tility
Annualized Return
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A127
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
Ten
years
en
ded
No
vem
ber
30,
2010
5-ye
ar T
reas
ury
10-ye
ar T
reas
ury
LB A
gg. B
ond I
ndex
Inves
tmen
t-gra
de bo
nds
JPMo
rgan
Glo
bal H
Y In
dex
S&P
500
Wils
hire 5
000
Rus
sell 2
000
S&P
500 B
arra
Gro
wth I
ndex
FTS
E 10
0 C
AC 40
DAX
JPMo
rgan
EMB
I- Gl
obal
Comp
osite
US
Inflat
ion
Lev
erag
ed lo
ans
-4.00
%
-2.00
%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00
%
12.00
%
14.00
% 0.00%
5.00%
10.00
%15
.00%
20.00
%25
.00%
Annu
alize
d Vola
tility
Annualized Return
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A128
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
Fif
teen
years
en
ded
No
vem
ber
30,
2010
5-ye
ar T
reas
ury
10-ye
ar T
reas
ury
JPM
MBS
Bond
Inde
x
LB A
gg. B
ond I
ndex
Inve
stmen
t Gra
de
JPMo
rgan
Glo
bal H
Y In
dex
S&P
500
Wils
hire 5
000
Rus
sell 2
000
S&P
500 B
arra
Gro
wth I
ndex
FTS
E 10
0
CAC
40
DAX
JPMo
rgan
EMB
I- Gl
obal
Comp
osite
Gold
-4.00
%
-2.00
%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00
%
12.00
%
14.00
% 0.00%
5.00%
10.00
%15
.00%
20.00
%25
.00%
Annu
alize
d Vola
tility
Annualized Return
Leve
rage
d Lo
ans
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A129
Y
Tw
en
ty F
ive y
ears
en
ded
No
vem
ber
30,
2010
DAX
FTS
E 10
0
Rus
ell 20
00
Wils
hire 5
000
S&P
500
JPM
HY G
loba
l Inde
x
Inves
tmen
t Gra
de
LB A
gg. B
ond I
ndex
10-ye
ar T
reas
ury
5-ye
ar T
reas
ury
5.00%
6.00%
7.00%
8.00%
9.00%
10.00
% 3.00%
7.00%
11.00
%15
.00%
19.00
%23
.00%
Annu
alize
d Vola
tility
Annualized Return
Gold
Sour
ces:
J.P. M
orga
n; Bl
oomb
ergg
Ris
k a
nd r
etu
rns o
f various a
ssets
Ris
k a
nd r
etu
rns o
f various a
ssets
En
ded
No
vem
ber
30,
2010
1. A
nnua
lized
retur
ns d
ivide
d by
the
annu
alize
d sta
ndar
d de
viatio
n of
retur
n.So
urce
s: J.P
. Mor
gan;
Bloo
mber
g; S&
PLC
D.
Aver
age A
nnua
l Ret
urns
Aver
age A
nnua
l Vol
atilit
yMo
difie
d Sh
arpe
Rat
io1
1 Yea
r3 Y
ear
5 Yea
r10
Yea
r15
Yea
r25
Yea
r1 Y
ear
3 Yea
r5 Y
ear
10 Y
ear
15 Y
ear
25 Y
ear
1 Yea
r3 Y
ear
5 Yea
r10
Yea
r15
Yea
r25
Yea
rFi
xed
Inco
me
5-ye
ar T
reas
ury
6.64%
7.28%
7.03%
6.12%
5.94%
7.09%
4.89%
5.23%
4.70%
4.98%
4.62%
4.88%
1.36
1.39
1.50
1.23
1.28
1.45
10-ye
ar T
reas
ury
7.30%
7.23%
6.85%
6.21%
5.89%
7.67%
8.75%
9.73%
8.21%
8.15%
7.59%
7.58%
0.83
0.74
0.83
0.76
0.78
1.01
JPMo
rgan
MBS
Bon
d Ind
ex4.8
0%7.0
0%6.8
2%6.2
8%na
na2.7
8%3.4
0%3.0
4%2.9
3%na
na1.7
32.0
62.2
42.1
4na
naLB
Agg
rega
te Bo
nd In
dex
6.04%
6.39%
6.23%
6.15%
6.22%
7.64%
3.22%
4.12%
3.58%
3.80%
3.66%
4.15%
1.88
1.55
1.74
1.62
1.70
1.84
JPMo
rgan
JULI
High
-Gra
de In
dex
8.96%
7.81%
6.93%
7.22%
6.77%
8.33%
4.18%
8.59%
6.94%
6.13%
5.58%
5.42%
2.14
0.91
1.00
1.18
1.21
1.54
JPMo
rgan
Glo
bal H
YIn
dex
16.34
%9.6
0%8.7
2%9.2
4%7.6
2%9.3
0%6.9
5%16
.49%
12.98
%10
.43%
9.19%
8.44%
2.35
0.58
0.67
0.89
0.83
1.10
Equi
tyS&
P50
09.9
4%-5
.15%
0.98%
0.81%
6.45%
9.85%
18.38
%21
.80%
17.59
%16
.25%
16.30
%15
.82%
0.54
-0.24
0.06
0.05
0.40
0.62
Wils
hire
5000
13.12
%-4
.52%
1.11%
1.38%
6.23%
9.47%
18.82
%22
.40%
18.07
%16
.64%
16.67
%16
.04%
0.70
-0.20
0.06
0.08
0.37
0.59
Russ
ell 2
000
26.99
%-0
.22%
2.90%
6.26%
7.19%
8.90%
24.28
%27
.68%
22.83
%21
.12%
21.04
%19
.98%
1.11
-0.01
0.13
0.30
0.34
0.45
S&P
500
Barra
Gro
wth
Index
9.92%
-2.36
%2.0
5%-0
.82%
5.44%
na19
.68%
22.44
%17
.96%
16.68
%17
.35%
16.81
%0.5
0-0
.110.1
1-0
.050.3
1na
Inte
rnat
iona
l Equ
ityFT
SE 1
0010
.58%
-4.34
%1.5
6%-0
.47%
3.18%
5.77%
16.47
%20
.65%
16.87
%15
.48%
14.92
%16
.25%
0.64
-0.21
0.09
-0.03
0.21
0.36
CAC
40-5
.37%
-12.8
8%-2
.55%
-3.82
%5.3
8%na
20.12
%23
.31%
19.37
%19
.66%
20.16
%na
-0.27
-0.55
-0.13
-0.19
0.27
naDA
X18
.89%
-5.83
%4.7
9%0.2
9%7.4
2%6.8
5%16
.00%
24.32
%20
.18%
23.48
%23
.31%
22.22
%1.1
8-0
.240.2
40.0
10.3
20.3
1
Emer
ging
Mar
kets
JPMo
rgan
EMB
I- Gl
obal
Comp
osite
12.77
%8.9
0%8.7
4%10
.76%
11.91
%na
6.64%
12.74
%10
.33%
9.92%
13.14
%na
1.92
0.70
0.85
1.08
0.91
naDo
w Jo
nes W
orld
EM S
tock I
ndex
14.87
%-1
.92%
10.38
%12
.39%
5.00%
na21
.06%
32.61
%27
.51%
24.53
%26
.51%
na0.7
1-0
.060.3
80.5
10.1
9na
Othe
rGo
ld 17
.26%
21.04
%23
.04%
17.99
%8.9
7%6.0
3%14
.45%
22.49
%20
.02%
17.11
%16
.22%
14.84
%1.1
90.9
41.1
51.0
50.5
50.4
1Le
vera
ged
loans
11.99
%5.4
6%5.0
7%5.1
5%5.3
9%na
4.81%
14.05
%11
.02%
7.91%
6.50%
na2.4
90.3
90.4
60.6
50.8
3na
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A130
Y
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A131
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
En
ded
No
vem
ber
30,
2010
1. A
nnua
lized
retur
ns d
ivide
d by
the
annu
alize
d sta
ndar
d de
viatio
n of
retur
n.So
urce
: J.P.
Mor
gan.
Aver
age A
nnua
l Ret
urns
Aver
age A
nnua
l Vol
atilit
yMo
difie
d Sh
arpe
Rat
io1
1 Yea
r3 Y
ear
5 Yea
r10
Yea
r15
Yea
r25
Yea
r1 Y
ear
3 Yea
r5 Y
ear
10 Y
ear
15 Y
ear
25 Y
ear
1 Yea
r3 Y
ear
5 Yea
r10
Yea
r15
Yea
r25
Yea
rJP
Morg
an H
igh-
Y ield
Indi
ces
US d
ollar
HY
Dome
stic
16.19
%9.4
5%8.6
0%9.2
3%7.6
1%na
6.93%
16.28
%12
.83%
10.32
%9.0
4%na
2.34
0.58
0.67
0.89
0.84
naUS
doll
ar H
YDe
velop
ed M
arke
ts16
.25%
9.52%
8.66%
9.14%
7.54%
na6.9
8%16
.38%
12.91
%10
.43%
9.14%
na2.3
30.5
80.6
70.8
80.8
2na
US d
ollar
Eur
opea
n HY
Index
16.49
%10
.93%
9.42%
6.38%
5.59%
na7.5
7%19
.55%
15.33
%14
.67%
12.97
%na
2.18
0.56
0.61
0.44
0.43
naEu
ro H
YInd
ex15
.08%
8.27%
6.61%
4.85%
nana
8.00%
19.33
%15
.17%
13.42
%na
na1.8
80.4
30.4
40.3
6na
naPo
und
Ster
ling
HYInd
ex17
.74%
10.30
%8.9
6%8.2
3%na
na6.1
6%10
.58%
8.40%
8.97%
nana
2.88
0.97
1.07
0.92
nana
Euro
pean
Cur
renc
y HY
Index
15.16
%9.1
5%7.2
2%5.6
4%na
na7.7
0%17
.76%
13.94
%12
.26%
nana
1.97
0.52
0.52
0.46
nana
Euro
pean
Agg
rega
te HY
Index
15.52
%9.6
0%7.7
7%5.6
8%na
na7.7
0%18
.37%
14.41
%13
.12%
nana
2.02
0.52
0.54
0.43
nana
JPMo
rgan
Hig
h-Y i
eld In
dex S
ecto
rsUS
doll
ar g
lobal
BB-ra
ted15
.49%
10.43
%8.7
4%9.1
5%8.4
0%na
5.88%
12.67
%10
.06%
8.02%
6.90%
na2.6
30.8
20.8
71.1
41.2
2na
US d
ollar
glob
al B-
rated
14.42
%5.0
7%6.1
2%8.1
0%6.8
6%na
6.63%
15.25
%12
.01%
10.01
%8.9
9%na
2.17
0.33
0.51
0.81
0.76
naUS
doll
ar g
lobal
CCC-
rated
21.05
%8.7
6%9.2
5%9.8
3%6.2
1%na
10.77
%27
.97%
22.01
%18
.13%
16.41
%na
1.96
0.31
0.42
0.54
0.38
naUS
doll
ar g
lobal
defau
lted
secu
rities
27.04
%9.4
5%10
.85%
11.62
%3.5
9%na
15.89
%33
.70%
27.07
%20
.84%
19.75
%na
1.70
0.28
0.40
0.56
0.18
na
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A132
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
1. Th
roug
h No
vemb
er 3
0, 20
10.
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
2004
2005
2006
2007
2008
2009
2010
1
Retu
rnVo
latilit
yRe
turn
Volat
ility
Retu
rnVo
latilit
yRe
turn
Volat
ility
Retu
rnVo
latilit
yRe
turn
Volat
ility
Retu
rnVo
latilit
yFi
xed
Inco
me
5-ye
ar T
reas
ury
2.34%
4.96%
0.06%
3.61%
2.61%
2.53%
10.41
%4.7
7%13
.77%
6.50%
-1.22
%4.8
1%9.6
3%3.5
2%10
-year
Tre
asur
y4.6
5%7.3
7%2.0
0%6.0
3%1.3
2%4.5
6%9.7
6%6.0
2%20
.22%
11.68
%-8
.76%
9.18%
12.81
%6.6
8%JP
Morg
an M
BS B
ond
Index
4.94%
3.01%
2.73%
2.32%
5.29%
2.47%
6.95%
2.56%
8.46%
5.05%
6.11%
2.61%
6.26%
2.11%
LB A
ggre
gate
Bond
Inde
x4.3
4%4.0
4%2.4
3%3.1
4%4.3
3%2.7
0%6.9
6%2.6
4%5.2
4%6.0
9%5.9
3%3.3
4%7.7
2%2.4
3%JP
Morg
an JU
LI Hi
gh-G
rade
Inde
x5.2
8%5.0
5%1.6
8%4.0
9%4.2
9%3.5
2%5.3
4%3.3
8%-1
.84%
12.77
%16
.72%
6.51%
9.98%
3.96%
JPMo
rgan
Glo
bal H
YIn
dex
11.55
%3.5
7%3.0
7%4.4
0%11
.45%
2.17%
2.88%
5.51%
-26.8
3%20
.44%
58.90
%11
.61%
12.92
%7.0
2%
Equi
tyS&
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A134
Y
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d lo
ans
-0.41
-0.39
-0.17
-0.02
0.27
0.85
0.50
0.51
0.50
0.46
0.54
0.05
0.36
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A138
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
15-y
ear
co
rrela
tio
n e
nd
ed
No
vem
ber
30,
2010
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg;
S&P
LCD.
5-10
-LB
JPM
JPM
JPM
EMBI
Dow
Jone
sYe
arYe
arAg
greg
ate
JULI
HG
Glob
alS&
PW
ilshi
reRu
ssell
Glob
alW
orld
EM
USTs
yTs
yBo
nd In
dex
Inde
xHY
Inde
x50
050
0020
00HY
Inde
xSt
ock I
ndex
Gold
Infla
tion
10-ye
ar T
reas
ury
0.94
LB A
ggre
gate
Bond
Inde
x0.8
50.9
0JP
Morg
an JU
LI Hi
gh-G
rade
Inde
x0.5
80.6
70.8
8JP
Morg
an G
loba
l HY
Inde
x-0
.24-0
.180.1
80.4
6S&
P50
0-0
.25-0
.190.0
20.2
20.6
0W
ilshir
e 50
00-0
.27-0
.210.0
00.2
10.6
20.9
9Ru
ssell
200
0-0
.31-0
.25-0
.050.1
50.6
30.8
00.8
7JP
Morg
an E
MBI-
Glob
al Co
mpos
ite0.0
50.1
20.3
10.4
50.5
80.5
70.5
80.5
4Do
w Jo
nes W
orld
EM S
tock I
ndex
-0.27
-0.23
-0.04
0.19
0.62
0.73
0.75
0.70
0.68
Gold
0.21
0.21
0.25
0.24
0.13
-0.01
0.02
0.08
0.29
0.21
US In
flatio
n-0
.16-0
.21-0
.15-0
.150.1
30.0
30.0
30.0
20.0
60.0
40.0
7Le
vera
ged
loan
s-0
.38-0
.36-0
.030.2
30.8
00.4
10.4
20.4
30.2
90.4
20.0
20.3
2
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A139
Y
Ris
k a
nd r
etu
rns o
f various a
ssets
Tw
en
ty f
ive-y
ear
co
rrela
tio
n e
nd
ed
No
vem
ber
30,
2010
Sour
ces:
J.P. M
orga
n; Bl
oomb
erg.
5-10
-In
vest
men
tHi
gh-
Year
Year
LBgr
ade
yield
S&P
Wils
hire
Russ
ellTs
yTs
yAg
greg
ate
Bond
sBo
nds
500
5000
2000
Gold
10-ye
ar T
reas
ury
0.95
LB A
ggre
gate
Bond
Inde
x0.9
10.9
3Inv
estm
ent-g
rade
bon
ds0.7
20.7
80.9
1Hi
gh-y
ield
bond
s-0
.05-0
.010.2
40.4
5S&
P50
0-0
.030.0
10.1
70.2
80.5
7W
ilshir
e 50
00-0
.06-0
.010.1
50.2
70.5
90.9
9Ru
ssell
200
0-0
.16-0
.100.0
40.1
80.6
10.8
20.8
8Go
ld0.0
60.0
60.0
50.0
80.0
3-0
.12-0
.09-0
.03US
Infla
tion
-0.14
-0.19
-0.14
-0.15
0.01
-0.03
-0.03
-0.04
0.04
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A140
Z
2009
Sources: J.P. Morgan estimates; Morningstar.
High-Yield Mutual Funds18.1%
Insurance Companies25.1%
Pension Funds20.9%
CBOs4.2%
Investment-Grade Funds8.0%
Equity and Income Funds9.9%
Foreign7.0%
Hedge Funds and Other6.9%
2010
Sources: J.P. Morgan estimates; Morningstar.
High-Yield Mutual Funds17.8%
Insurance Companies25.4%
Pension Funds21.9%
CBOs2.7%
Investment-Grade Funds8.8%
Equity and Income Funds8.6%
Foreign9.6%
Hedge Funds and Other5.2%
Who owns high yield?
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A141
Z
Who owns high yield?
2006
Insurance Companies25.3%
CBOs7.9%
Investment-Grade Funds11.9%
Equity and Income Funds6.0%
Foreign7.4%
Pension Funds20.0%
High-Yield Mutual Funds14.2%
Hedge Funds and Other7.4%
Sources: J.P. Morgan estimates; Morningstar.
2008
Sources: J.P. Morgan estimates; Morningstar.
High-Yield Mutual Funds16.5%
Insurance Companies26.4%
Pension Funds20.3%
CBOs6.9%
Investment-Grade Funds8.6%
Equity and Income Funds9.1%
Foreign7.2%
Hedge Funds and Other4.9%
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A142
Z
Who owns high yield?
2002
Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.
Pension Funds18.6%
CBOs16.4%
Foreign5.0%
Other 6.7% High-Yield Mutual
Funds13.0%
Equity and Income Funds6.0%
Investment Grade Funds9.9% Insurance Companies
24.4%
2004
Sources: J.P. Morgan estimates; Morningstar.
Insurance Companies24.2%
CBOs9.2%
Investment-Grade Funds10.9%
Equity and Income Funds6.5%
Foreign6.5%
Other 7.8%
Pension Funds19.8%
High-Yield Mutual Funds15.1%
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A143
Z
1998
Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.
Insurance Companies24.9%
Other 6.2%
Pension Funds18.8%
Investment Grade Funds10.1%
Foreign4.7%
Equity and Income Funds2.2%
High-Yield Mutual Funds20.4%
CBOs12.6%
Who owns high yield?
2000
Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.
CBOs21.2%
Equity and Income Funds6.7%
Other 5.1%
Investment Grade Funds7.0%
Pension Funds18.4%
Insurance Companies22.3%
Foreign6.1%
High-Yield Mutual Funds13.2%
Peter D. Acciavatti (1-212) 270-9633peter.acciavatti@jpmorgan.com
Tony Linares (1-212) 270-3285tony.linares@jpmorgan.com
Nelson R. Jantzen (1-212) 270-1169nelson.r.jantzen@jpmorgan.com
Alisa Meyers (1-212) 834-9151alisa.meyers@jpmchase.com
North American High Yield Research
2010 High-Yield Annual Review
December 2010
A144
Z
1992
Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.
Foreign3.0%
RTC1.0%
CBO/Other18.0%
Pension Funds13.0%
High-Yield Mutual Funds18.0%
Insurance Companies29.0%Equity & Income
9.0%
Investment Grade Funds9.0%
Who owns high yield?
1996
Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.
Foreign5.0%
Pension Funds18.0%
Equity & Income11.0%
Investment Grade Funds12.0% Insurance Companies
23.0%
CBO/Other10.0%
High-Yield Mutual Funds21.0%
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A145
AA
Long-t
erm
hig
h-y
ield
mark
et
tim
elin
e
Sour
ce: J
.P. M
orga
n.
200b
p30
0bp
400b
p50
0bp
600b
p70
0bp
800b
p90
0bp
1000
bp11
00bp
1200
bp13
00bp
1400
bp15
00bp
1600
bp17
00bp
1800
bp19
00bp
2000
bp21
00bp
Dec-85May-87Feb-88Nov-88Aug-89May-90Feb-91Nov-91Aug-92May-93Feb-94Nov-94Aug-95May-96Feb-97Nov-97Aug-98Apr-99Jan-00Oct-00Jul-01
Apr-02Dec-02Sep-03Jun-04Mar-05Nov-05Aug-06May-07Feb-08Nov-08Jul-09
Apr-10
Spread to worst
Spre
ad to
wor
stLa
bel o
f eve
nts
Nov-8
8: Fe
dera
ted $1
.1 bn
issu
ed
Oct-8
7: St
ock
marke
t lose
s 504
po
ints
May-8
9: RJ
R $6
.1 bn
issu
ed
Feb-
90: D
rexe
l files
for
bank
ruptc
y
Jan-
91: U
.S.
attac
ks Ir
aq
1994
: 10-
year
Tr
easu
ry ris
es
192b
p
1995
: 10-
year
Tre
asur
y fal
ls 22
5bp
25-A
ug-9
8 to 3
1-Au
g-98
: Dow
drop
s 12.4
% ow
ing to
ev
ents
trigge
red b
y tur
moil i
n Rus
sia
2000
: High
-yield
dome
stic d
efault
s rise
third
co
nsec
utive
year
; spr
eads
wide
n to h
ighes
t lev
el sin
ce Ja
n-91
HY sp
read
s wide
n 188
bp fo
llowi
ng
11-S
ep-0
1, re
achin
g 102
4bp
Nov-0
2: HY
defau
lt rate
be
low 8%
for f
irst ti
me
since
Nov
-01
Dec-9
0: 10
96bp
Defau
lt rate
dips
be
low 1.
0% fo
r firs
t tim
e in 2
0 yea
rs
Mar-0
5 to M
ay-0
5: HY
spre
ads
wide
n 172
bp, d
ue to
unce
rtaint
y re
gard
ing G
M an
d For
d
Nov-0
6: Re
cord
-mon
th $2
9 bil
lion i
n new
issu
ance
, hig
hligh
ted by
LBO
finan
cings
for
HCA
and F
rees
cale
Jun-
Aug-
07: S
prea
ds w
iden
200b
p, du
e to s
ubpr
ime/
struc
tured
cred
it fall
out a
nd
$350
billio
n new
-issu
e bac
klog
Sep-
08: L
ehma
n Br
other
s file
s ban
kruptc
y
16- D
ec-0
8: Sp
read
s pea
k at
a rec
ord-
high 1
925b
p
Jun-
09:
GM fil
es
Ch. 1
1
Nov-0
9: CI
T Gr
oup f
iles
bank
ruptc
y
In 20
10, d
efault
rate
decli
nes
from
10.27
% to
0.74
%; H
Y ne
w-iss
ue vo
lumes
reac
h re
cord
$277
billio
n; HY
bond
s re
turn +
12.9%
thro
ugh N
ov.
30
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A146
AA
Long-t
erm
hig
h-y
ield
mark
et
tim
elin
e
6.00%
8.00%
10.00
%
12.00
%
14.00
%
16.00
%
18.00
%
20.00
%
22.00
%
Nov-85Aug-86May-87Feb-88Nov-88Aug-89May-90Feb-91Nov-91Aug-92May-93Feb-94Nov-94Aug-95May-96Feb-97Nov-97Aug-98May-99Feb-00Nov-00Aug-01May-02Jan-03Oct-03Jul-04
Apr-05Dec-05Sep-06Jun-07Mar-08Dec-08Sep-09Jun-10
Yield to worst
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
10.00
%
10-year Treasury
Yield
to w
orst
Labe
l of e
vents
10-ye
ar T
reas
ury
Jan-
92: M
acy's
files
for b
ankru
ptcy
Jan-
90: F
eder
ated f
iles
for ba
nkru
ptcy
Oct-8
9: UA
L bu
yout
fails
Apr-9
1: RJ
R Na
bisco
re
finan
ces $
1.5 bn
Dec-9
1: Ow
ens-I
llinois
re
finan
ces
$1.0
bn
Jul-9
1: Tim
e W
arne
r $2
.5 bn
equit
y inv
estm
ent
Nov-8
5: SC
I pric
es
$1.6
bnApr-8
7: Te
xaco
ba
nkru
ptcy
Jul-8
6 and
Oct-
86:
Macy
's pr
ices $
725 m
n de
al; LT
V file
s for
ba
nkru
ptcy
1994
: Fed
fund
s rate
ra
ised 2
50bp
High
-yield
mar
ket's
YT
W ris
es ne
arly
3% fr
om
Apr-0
2 to O
ct-02
. Inv
estor
s los
e con
fiden
ce fo
llowi
ng
string
of co
rpor
ate fr
aud
disclo
sure
s
2H06
: HY
retur
ns 7.
7%
16-D
ec-0
8: HY
YTW
re
ache
s rec
ord-
high 2
0.92%
Sixty
comp
anies
total
ing $1
06 bi
llion
in bo
nds a
nd lo
ans d
efault
durin
g the
first
four m
onths
of '0
9; bo
nd an
d loa
n defa
ult ra
tes ar
e tra
cking
17.2%
an
d 21.3
%, r
espe
ctive
ly
0ct-D
ec-0
8: 10
-year
Tre
asur
y yiel
d coll
apse
s 174
bp
Posit
ive fe
edba
ck lo
op
spur
s risk
takin
g; hig
h-yie
ld bo
nds r
eturn
+54
% in
9-mo
nths e
nded
15-D
ec
HY m
arke
t YT
W
reac
hes
YTD
low
of 7.1
6%,
only
21bp
ab
ove t
he
all-tim
e low
Sour
ce: J
.P. M
orga
n.
Pete
r D
. A
ccia
vatti (1
-212)
270-9
633
Tony L
inare
s (
1-2
12)
270-3
285
Nels
on R
. Jantz
en (
1-2
12)
270-1
169
Alis
a M
eyers
(1-2
12)
834-9
151
No
rth
Am
eri
can
Hig
h Y
ield
Researc
h
2010 H
igh
-Yie
ld A
nn
ual
Revie
w
Decem
ber
2010
A147
AA
J.P. Morgan North American Credit Research 383 Madison Avenue, 3rd Floor, New York, NY 10179
JOYCE CHANGHead of Global Credit and Emerging Markets Research
(212) 834-4203
NO R T H AM E R I C A N HI G H GR A D E RE S E A R C H NO R T H AM E R I C A N HI G H YI E L D RE S E A R C HAUTOMOTIVE
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BASIC INDUSTRIESChemicals and Metals & Miningrobin.levine@jpmorgan.com . . . . . . (212) 270-1536, svetlana.x.goldenberg@jpmorgan.com . (212) 270-9453Home Builderssusan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524Paper/Forest Products, Packagingtarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468, kevin.p.tomassetti@jpmorgan.com . (212) 834-4079
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ELECTRIC UTILITIES AND POWER GENERATION
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ENERGY, PIPELINES, MLPS
robin.levine@jpmorgan.com . . . . . . (212) 270-1536, svetlana.x.goldenberg@jpmorgan.com . (212) 270-9453
HEALTHCARE, INSURANCE
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MANUFACTURING, SERVICES
Aerospace/Defense, Industrials, Servicesvirginia.chambless@jpmorgan.com . (212) 834-5481, james.r.stone@jpmchase.com . . . . . (212) 270-1682
REITS, GAMING, LODGING
REITsmark.streeter@jpmorgan.com . . . . . (212) 834-5086,, nicholas.j.northington@jpmorgan.com .(212) 834-5237Gaming, Lodgingsusan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA
Technology/Telecommunication Servicesbrian.m.turner@jpmchase.com . . . . .(212) 834-4035Cable/Satellitemichael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797Broadcasting/Publishingavi.a.steiner@jpmorgan.com . . . . . . (212) 270-5512, kenneth.r.norden@jpmchase.com . . (212) 270-1564
TRANSPORTATION
Airlines/EETCs/Aircraft/Rails/Freight/Shippingmark.streeter@jpmorgan.com . . . . . (212) 834-5086, nicholas.j.northington@jpmorgan.com .(212) 834-5237
AUTOMOTIVE
eric.j.selle@jpmorgan.com . . . . . . . . . . (212) 270-9624, jenna.l.giannelli@jpmorgan.com . . . (212) 270-9455
BASIC INDUSTRIES
Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .tarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468, kevin.p.tomassetti@jpmorgan.com . (212) 834-4079Home Builderssusan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .dave.adam.katz@jpmchase.com . . . (212) 270-4593, bayina.bashtaeva@jpmchase.com . (212) 270-1372Paper/Forest Products, Packagingtarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468, kevin.p.tomassetti@jpmorgan.com . (212) 834-4079
FINANCE AND SECURITIES COMPANIESdave.adam.katz@jpmchase.com . . . (212) 270-4593, bayina.bashtaeva@jpmchase.com . (212) 270-1372
CONSUMER PRODUCTS, FOOD AND RESTAURANTS, RETAILcarla.casella@jpmorgan.com . . . . . . (212) 270-6798, mili.x.seoni@jpmorgan.com . . . . . . . (212) 270-6861
ELECTRIC UTILITIES AND POWER GENERATION
susan.voorhees@jpmorgan.com . . . (212) 834-5200, priya.x.rangarajan@jpmorgan.com . (212) 834-9455
ENERGY
gregg.w.brody@jpmorgan.com . . . . (212) 834-5997, jason.homler@jpmorgan.com . . . . . (212) 834-9405
HEALTHCARE, INSURANCE
Healthcaredavid.common@jpmorgan.com . . . . (212) 270-5260, nathaniel.t.kirk@jpmorgan.com . . . . (212) 270-9103Insurancearun.n.kumar@jpmorgan.com . . . . . (212) 834-5423, brett.g.gibson@jpmchase.com . . . . (212) 270-7484
MANUFACTURING, SERVICES
Aerospace/Defense, Industrials, Servicesyilma.abebe@jpmorgan.com . . . . . . (212) 270-3265, ryan.p.dean@jpmorgan.com . . . . . . (212) 270-9566
GAMING, LODGING, LEISURE
Gaming, Lodgingsusan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524Leisuremichael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797
TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA
Technology/Telecommunication Servicesthomas.j.egan@jpmorgan.com . . . . . (212) 270-2149Cable/Satellitemichael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797Broadcasting/Publishingavi.a.steiner@jpmorgan.com . . . . . . (212) 270-5512, kenneth.r.norden@jpmchase.com . . (212) 270-1564
TRANSPORTATION
Airlines/EETCs/Aircraft/Rails/Freight/Shippingmark.streeter@jpmorgan.com . . . . . (212) 834-5086, nicholas.j.northington@jpmorgan.com(212) 834-52377
ARUN N. KUMAR AND DAVID COMMONCo-Heads of Credit Research–High Grade and High Yield
HI G H GR A D E ST R AT E G Y A N D CR E D I T DE R I VAT I V E RE S E A R C H GL O B A L HI G H YI E L D ST R AT E G Y
peter.acciavatti@jpmorgan.com . . . (212) 270-9633, tony.linares@jpmorgan.com . . . . . . (212) 270-3285 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . nelson.r.jantzen@jpmorgan.com . . . (212) 270-1169 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . alisa.meyers@jpmorgan.com . . . . . (212) 834-9151
PETER D. ACCIAVATTIERIC BEINSTEIN
eric.beinstein@jpmorgan.com . . . . . . . (212) 834-4211, andrew.j.scott@jpmorgan.com . . . . . (212) 834-3843dominique.d.toublan@jpmorgan.com . (212) 834-2370miroslav.j.skovajsa@jpmorgan.com . (212) 834-5154anna.x.cherepanova@jpmchase.com . (212) 834-3220
Analyst Certification:The research analyst(s) denoted by an “AC” on the cover of this report certifies (or, where multiple research analysts are primarily responsiblefor this report, the research analyst denoted by an “AC” on the cover or within the document individually certifies, with respect to each securityor issuer that the research analyst covers in this research) that: (1) all of the views expressed in this report accurately reflect his or her personalviews about any and all of the subject securities or issuers; and (2) no part of any of the research analyst’s compensation was, is, or will bedirectly or indirectly related to the specific recommendations or views expressed by the research analyst(s) in this report.
Conflict of Interest:This research contains the views, opinions and recommendations of J.P. Morgan credit research analysts. Research analysts routinelyconsult with J.P. Morgan trading desk personnel in formulating views, opinions and recommendations in preparing research. Tradingdesks may trade, or have traded, as principal on the basis of the research analyst(s) views and report(s). Therefore, this research maynot be independent from the proprietary interests of J.P. Morgan trading desks which may conflict with your interests. In addition,research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, trading desk andfirm revenues and competitive factors. As a general matter, J.P. Morgan and/or its affiliates normally make a market and trade asprincipal in fixed income securities discussed in research reports.
Important Disclosures
Explanation of Credit Research Ratings:Ratings System: J.P. Morgan uses the following sector/issuer portfolio weightings: Overweight (over the next three months, the recommendedrisk position is expected to outperform the relevant index, sector, or benchmark), Neutral (over the next three months, the recommended riskposition is expected to perform in line with the relevant index, sector, or benchmark), and Underweight (over the next three months, therecommended risk position is expected to underperform the relevant index, sector, or benchmark). J.P. Morgan’s Emerging Market research usesa rating of Marketweight, which is equivalent to a Neutral rating. Valuation & Methodology: In J.P. Morgan’s credit research, we assign a rating to each company (Overweight, Underweight or Neutral) basedon our credit view of the company and the relative value of its financial instruments, taking into account the ratings assigned to the company bycredit rating agencies and the market prices for the company’s securities. Our credit view of a company is based upon our opinion as to whetherthe company will be able service its debt obligations when they become due and payable. We assess this by analyzing, among other things, thecompany’s credit position using standard credit ratios such as cash flow to debt and fixed charge coverage (including and excluding capitalinvestment). We also analyze the company’s ability to generate cash flow by reviewing standard operational measures for comparable companiesin the sector, such as revenue and earnings growth rates, margins, and the composition of the company’s balance sheet relative to the operationalleverage in its business.
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North America Credit Research
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“Other Disclosures” last revised September 1, 2010.
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