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Copyright 2008 Standard & Poor's, a division of the McGraw-Hill Companies, Inc. 1

S&P/LSTA Leveraged Loan IndexAugust 2008 Review

Standard & Poor’s LCDSteve Miller, (212) 438-2715, [email protected]

Robert Polenberg (212) 438-2717, [email protected] Levy (212) 438-2714, [email protected]

Rich Woyma (212) 438-5840, [email protected]

LSTAAllison Taylor, (646) 637-9176, [email protected]

Ted Basta, (212) 880-3005, [email protected]

September 3, 2008

LBEX-DOCID 4404712 FOIA CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC.


August 2008 Overview & Outlook

Loan returns improved in August, though they remained in the red. The S&P/LSTA Index posted a negative 0.13% return during the month, compared to a six-month low of negative 0.76% in July.

This brings loan returns for the first eight months of 2008 to negative 1.97%, down from a 0.2% return during the same period in 2007. With four months to go, the loan market’s unbroken streak of positive-return years – from the commencement of the S&P/LSTA Index in 1997, through 2007 – is in peril.

Come December, it may be a photo finish. Here’s why. Each month, the S&P/LSTA Index produces roughly 50 bps of interest. This will provide some 2% of incremental return by year-end. That means that prices can sink no more than 0.20% from current levels if the market is to stay in the black. If prices decline more than that, returns inevitably will be negative for the full year.

Few expect a big move in prices in the months ahead. Today’s high spreads are cushioning any more declines. At an average Index spread of L+639, a great deal of default risk already is incorporated into today’s spreads (about 12% by our calculations; see the Sept. 4 LoanStats for details). As well, the calendar of new loans remains light. But anemic supply remains deadlocked with weak demand.

The CLO market remains in ruins, of course, with year-to-date issuance off 82%, at just $12.2 billion. And retail investors continue to lack conviction. Between June and August, AMG reports that mom-and-pop investors withdrew $49 million on net from the daily-access funds. Repayments, meanwhile, continue to languish, with an average monthly total this year of $4.8 billion, or 1% of outstandings, down from $12.4 billion, or 3%, in 2007. Fundraising from traditional institutional accounts like pension funds has picked up in recent months. The amounts involved, however, remain limited, at perhaps $5-10 billion overall, managers estimate. Clearly, this is not enough to move the needle, what with $591 billion of institutional loans outstanding.

Where that leaves things is clear. New-style, ’08-model deals continue to be the darling of the loan market, loaded as they are with investor-friendly spreads and structure. But as for the great pool of pre-2008 loans trading, which comprises nearly all of the S&P/LSTA Index, accounts expect prices to continue to move in a tight trading range in the months ahead. This relative calm will, accounts say, be punctuated by stark individual movements – mostly to the downside – based on earnings reports and credit events. Too many of these and the market could find itself posting a negative return this year, for the first time.

Bear-market rules

With the market still trending lower in August, accounts continued to embrace higher-quality paper. For this reason, BB loan returns beat single-B returns, at positive 0.04% to negative 0.30%. First-lien loans, likewise, outperformed second-lien paper, at negative 0.10% to negative 0.70%. And first-lien loans with maintenance tests outpaced covenant-lite paper, at negative 0.08% to negative 0.24%.

The August returns reinforce the broader 2008 theme. For the first eight months of the year, (1) BB loans are ahead of single-B loans, at negative 0.33% to negative 3.08%, (2) first-lien loans have beaten second-lien loans, at negative 1.57% to negative 8.59% and (3) covenant-heavy loans have outperformed covenant-lite, at negative 1.45% to negative 2.13%.



August 2008 Overview & Outlook

Calmer waters After an eventful first five months of 2008, the loan market cooled in the summer. From June through August, S&P/LSTA Index returns ranged 1.01 percentage points (negative 0.76% to positive 0.25%), down from 1.70 during the three months ended July and from 3.45 during the three months ended June.

August’s reading, in fact, is the tightest three-month return band since prior to the correction. Between last July and May, this metric has averaged 3.68 percentage points. Many accounts believe that the tamped-down volatility of recent months signals that the extremes of the liquidity crisis have passed, for all the obvious reasons: (1) the calendar has deflated to $45 billion, from a peak of $237 billion last July, (2) the structured-finance market has no place left to go but up (though it’s certainly taking its time doing so) and (3) the wave of TRS unwinds that roiled the market in early 2008 is in the past.

For all these reasons, in recent months loans have been much steadier performers than high-yield and equities. Indeed, the 1.01-percentage-point return range for loans of the past three months is well within high-yield, at three percentage points, and the S&P 500, at 11.06. During the first five months of the year the field was much tighter, with loan returns ranging 6.93 percentage points, compared to 5.23 for high-yield and 11.38 for the S&P 500.

Clearly, loans are unlikely to return to the placid days from 1997 through mid-2007, when return volatility was just a quarter of high-yield and an eighth of equities. But with most of the technical extremes now apparently over for loan investors, the inherent structuring features of this paper – which largely remains senior secured and floating-rate – will keep loans from experiencing the same level of turbulence generally seen in high-yield and equities.

That’s the theory, at least.

Loans versus other asset classes

The loan market was slower to react to declining oil prices in August than other asset classes. As a result, loans lagged the four other indexes that we track in this report each month. In August, loans were off 0.13%, compared to positive 0.32% for the Merrill Lynch Master High Yield index, positive 1.77 for 10-year Treasuries, positive 2.63 for the S&P 500 and positive 0.70 for the Merrill Lynch investment-grade bond index.

In the year through August, meanwhile, loans are running in the middle of the pack, at negative 1.97%. Loans are outperforming high-yield (negative 2.55%) and the S&P 500 (negative 11%), but lag 10-year Treasuries (positive 4.15%) and investment-grade bonds (negative 0.98%).

On a risk-adjusted-return basis, meanwhile, loans continue to find their level after a decade of brilliant outperformance. The credit correction, in fact, has lowered the Sharpe ratio of loans from 0.94 between January 1997 and June 2007 to 0.36 as of August. In doing so, loans are now in league with the other four asset classes LCD follows. During that same period high-yield has generated a 0.31 Sharpe ratio; 10-year Treasuries, 0.38; S&P 500, 0.27; and investment-grade bonds, 0.55.



August 2008 Overview & OutlookBig movers The market continues to be weighted toward decliners, which outnumbered advancers in August. Thirteen loans reduced overall returns by one basis point or more, and five added one basis point or more. For the second month in a row, Idearc was the biggest detractor, at five basis points, followed by Delphi (three basis points), and Open Solutions, Tribune and New World Gaming (two basis points each). On the other side of the ledger, the biggest gainers include three airline companies, as lower oil prices have eased pressure in that sector. The biggest gainers: Delta Airlines, John Maneely and Alltel (two basis points each), along with US Airways and Northwest Airlines (one basis point each).

In the year to date, detractors continue to swamp advancers, at 107 to 39. The names on the negative side of the ledger include Idearc (25 bps), Ford (14 bps), Tribune(11 bps) and Univision and MGM (nine basis points each). Loans adding one basis point or more include Alltel (16 bps), along with Georgia-Pacific and Cablevision(four basis points), and HCA and John Maneely (three basis points each).

Segments

Performing loans. Performing loans underperformed the overall market in August, at negative 0.15% to negative 0.13%. However, performing loans edged the broader Index in the year to date, at negative 1.80% to negative 1.97%.

BBs. BB loans outperformed the overall market, returning 0.04%. Similarly, for the first eight months of the year BBs continue to outperform, at negative 0.33% to negative 1.97%.

Single-Bs. As accounts continue to embrace quality paper, single-B loans underperformed the broader market, returning negative 0.30% in August. This segment is 111 bps behind the broader market in the year to date, with a return of negative 3.08%.

Second-lien. As with single-B paper, the push for quality has battered second-lien loans, which returned negative 0.70% in August, underperforming the overall market by 57 bps. Second-liens lost 8.59% during the first eight months of 2008, more than four times the loss in the broader Index.

First-lien. First-lien loan returns barely beat the broader Index in August, at negative 0.10%. Through August, these loans have bested the broader market, at negative 1.57% to negative 1.97%.

Middle-market. Issuers with EBITDA of $50 million or less continue to be the stand-out performers in August, posting a 0.47% return, compared to negative 0.13% return of the broader market. However, performance of these loans in the year to date stands at negative 2.33%, well below the overall performance of negative 1.97%.

Large-corporate. Large-corporate loans (those to issuers with EBITDA greater than $50 million) just barely underperformed the overall Index, at negative 0.15%. Through the first eight months of the year, large-corporate loans were in line with the broader market, at negative 1.95% to negative 1.97%.

Covenant-lite. First-lien, incurrence-test-only loans posted a negative 0.24% return in August. In the year to date, this segment has underperformed the broader Index, at negative 2.13%.



S&P/LSTA Leveraged Loan Index August 2008 Review Table of Contents

• Inclusion Criteria, p.10• Overview, p.11• S&P/LSTA Leveraged Loan Index - General Characteristics, p.12 – 19

– General Characteristics of the S&P/LSTA Leveraged Loan Index, 1998 - Aug-08, p. 13– General Characteristics of the S&P/LSTA BB Rated Index, 1998 – Aug-08, p. 14– General Characteristics of the S&P/LSTA Single B Rated Index, 1998 –Aug-08, p. 15– General Characteristics of the S&P/LSTA Performing Loan Index, 1998 – Aug-08, p. 16– Par Amount of S&P/LSTA Index Loans by Facility Rating, as of Aug-08, p. 17– Par Amount of S&P/LSTA Index Loans by Corporate Rating, as of Aug-08, p. 18– Par Amount of S&P/LSTA Index Loans by Industry, as of Aug-08, p. 19

• S&P/LSTA Leveraged Loan Index - Results, p. 20 - 41– S&P/LSTA Index: Composite of Annual Results, 1997 – Aug-08, p. 21– S&P/LSTA Index: Total Index vs Market Value Index Returns, 1997 –Aug-08, p. 22– S&P/LSTA Index: Total Returns for All Loans by Year, 1997 - Aug-08, p. 23– S&P/LSTA Index: Returns over LIBOR 1997 –Aug-08, p. 24 - 27– S&P/LSTA Index: Total Returns for All Loans vs Performing Loans by Year, 1997 – Aug-08, p. 28– S&P/LSTA Index: Total Returns for Current BB and Single B Rating by Year, 1997 – Aug-08, p. 29– S&P/LSTA Index: Total Returns for All Loans by Quarter, 1Q01 – 3ME Aug-08, p. 30– S&P/LSTA Index: Annual Returns versus other asset classes, Jan-97 to Aug-08, p. 31– S&P/LSTA Index: Monthly Returns versus other asset classes, Feb-03 to Aug-08, p. 32– S&P/LSTA Index Levels 1997 – Aug-08, p. 33– S&P/LSTA Index Levels - Market Value Only (excludes interest) 1997 –Aug-08, p. 34– S&P/LSTA Index Volatility of Returns - Average 12-month lagging standard deviation, Dec-97 to Aug-08, p. 35



• S&P/LSTA Leveraged Loan Index - Results (continued) , p. 20-41– S&P/LSTA Index: All Loans - Lagging 12-months total Returns, Dec-98 – Aug-08, p.36– S&P/LSTA Index: Performing Loans - Lagging 12-months total Returns, Dec-98 – Aug-08, p.37– S&P/LSTA Index: All Loans – Average Bid price, Jan-97 – Aug-08, p.38– S&P/LSTA Index: BB Loans – Average Bid price, Jan-97 – Aug-08, p. 39– S&P/LSTA Index: B Loans – Average Bid price, Jan-97 – Aug-08, p. 40– S&P/LSTA Index: Performing Loans – Average Bid price, Jan-97 – Aug-08, p.41

• S&P/LSTA Leveraged Loan Index - Risk/Return Profile, p. 42 - 52– Average Annualized Monthly Return of S&P/LSTA Index Overall and by Rating, p. 43– Standard Deviation of Monthly Return of S&P/LSTA Index Overall and by Rating, p. 44– Sharpe Ratio of S&P/LSTA Index Overall and by Rating, p. 45– Average Annualized Monthly Return of S&P/LSTA Index versus Other Asset Classes, p. 46– Standard Deviation of Monthly Return of S&P/LSTA Index versus Other Asset Classes, p. 47– Sharpe Ratio of S&P/LSTA Index versus Other Asset Classes, p. 48– S&P/LSTA Index Volatility of Returns vs Other Asset Classes - Average 12-Month Lagging Standard Deviation, p. 49– Annual Standard Deviation of Monthly Returns, p.50– Worst Five Months for S&P/LSTA Index Loans vs Other Asset Classes, p. 51– Correlation of the S&P/LSTA Leveraged Loan Index with Other Asset Classes, p. 52

• S&P/LSTA Second-Lien Index p. 53 - 66– Par Amount Outstanding of Second-Lien Loans Aug-08. P. 54– Second-Lien Outstandings as a Percent of All Leveraged Loans Aug-08. P. 55– Second Lien Outstandings by Industry Aug-08. P. 56– S&P/LSTA Index Returns Breakdown All Loans, First-Lien, and Second-Lien Loans Aug-08. P. 57– S&P/LSTA Index Returns Breakdown B-Rated Loans, B-Rated First-Lien, and B-Rated Second-Lien Loans Aug-08 p. 58– S&P/LSTA Index Returns All Loans, First Lien, and Second Lien Loans YTD Returns Aug-08. p. 59– S&P/LSTA Index Returns Breakdown B-Rated Loans, B-Rated First-Lien, and B-Rated Second-Lien Loans YTD Returns Aug-08 p. 60





–Avg Bid of First and Second Lien Aug-08 p. 61–Avg Nominal Spread of First and Second Lien Loans Aug-08 p. 62–Avg Discounted Spread of First and Second Lien Loans Aug-08 . P. 63–Avg Bid of B-Rated Loans Aug-08 p. 64–Avg Nominal Spread of B-Rated First and Second-Lien Loans Aug-08 p. 65– Avg Discounted Spread of B-Rated First and Second-Lien Loans Aug-08 . p. 66

•S&P/LSTA Middle-Market Index p. 67-81-Par Amount Outstandings of Middle-Market Leveraged Loans p.68-Middle-Market Outstandings as a Percent of All Leveraged Loans p. 69-Average Bid of Leveraged Loans p. 70-Average Nominal Spread of Leveraged Loans p. 71-Average Discounted Spread of Leveraged Loans p. 72-Average Bid of Single B Leveraged Loans p. 73-Average Nominal Spread of Single B Leveraged Loans p. 74-Average Discounted Spread of Single B Leveraged Loans p. 75-Middle-Market Outstandings by Industry Aug-08 p. 76-Middle-Market Outstandings by Rating Aug-08 p. 77-S&P/LSTA Index Returns-Annual Aug-08 . p. 78-S&P/LSTA Index Returns: Middle-Market Quarterly Aug-08 p. 79-S&P/LSTA Index Returns: Quarterly Aug-08 p. 80-S&P/LSTA Index Returns: Middle Market Monthly p. 81

•S&P/LSTA Covenant-Lite Index p. 82-90-Par Amount Outstandings of Covenant-Lite Leveraged Loans p. 83-Covenant-Lite Outstandings as a Percent of All Leveraged Loans p. 84-Average Bid of Leveraged Loans p. 85-Average Nominal Spread of Covenant-Lite Leveraged Loans p. 86-Average Discounted Spread of Covenant-Lite Leveraged Loans p. 87Covenant-Lite Outstandings by Industry Aug–08 p. 88




S&P/LSTA Covenant-Lite Returns Quarterly Aug-08 p. 89-S&P/LSTA Covenant-Lite Returns Monthly Aug-08 p. 90

•S&P/LSTA Leveraged Loan Index - Default and Distress Statistics, p. 91– 97–Distribution by Bid Price of the S&P/LSTA Leveraged Loan Index, Aug-08 , p. 92–Distribution by Bid Price of the S&P/LSTA Leveraged Loan Index (Excluding Defaulted Issuers), Aug-08 , p. 93–Structure by Bid Price of the S&P/LSTA Leveraged Loan Index, Aug-08, p. 94–Structure by Bid Price of the S&P/LSTA Leveraged Loan Index (Excluding Defaulted Issuers), Aug-08, p. 95–S&P/LSTA Leveraged Loan Index Weighted Average Rating, Aug-08, p. 96–S&P/LSTA Leveraged Loan Index Percent of Loans Rated B or Lower, Aug-08, p. 97

•S&P/LSTA Leveraged Loan Index - Repayment Analysis, p. 98 - 104–S&P/LSTA Leveraged Loan Index Repayment Rates - by Year, 1997 – Aug-08, p. 99–S&P/LSTA Leveraged Loan Index Repayment Amounts - by Year, 1997 – Aug-08, p. 100–S&P/LSTA Leveraged Loan Index Repayment Rates - by Quarter, 1Q97 – 3ME Aug-08, p. 101–S&P/LSTA Leveraged Loan Index Repayment Amounts - by Quarter, 1Q97 – 3ME Aug-08, p. 102–S&P/LSTA Leveraged Loan Index Repayment Rates - by Month, Jan-01 – Aug-08, p. 103–S&P/LSTA Leveraged Loan Index Repayment Amounts - by Month, Jan-01 –Aug-08, p. 104

•S&P/LSTA Leveraged Loan Index – Duration and Maturity, p. 105 – 115–Outstanding of Performng Loans by Year of Origination, Aug-08, p. 106–Weighted Average Age of Outstanding Institutional Loans: Performing Loans, 1998 – Aug-08, p.107–Weighted Average Age of Outstanding Institutional Loans: BB Rated Loans, 1998 – Aug-08, p.108–Weighted Average Age of Outstanding Institutional Loans: B Rated Loans, 1998 – Aug-08, p.109–Percent of Institutional Outstandings Older than Two Years: Performing Loans, 1998 – Aug-08, p.110–Percent of Institutional Outstandings Older than Two Years: BB Rated Loans, 1998 – Aug-08, p.111–Percent of Institutional Outstandings Older than Two Years: B Rated Loans, 1998 – Aug-08, p.112–Distribution by Year of Maturity: All Loans, Aug-08, p. 113–Distribution by Year of Maturity: First-Lien Loans, Aug-08, p. 114–Distribution by Year of Maturity: Second-Lien Loans, Aug-08, p. 115




•S&P/LSTA Leveraged Loan Index - Returns by Industry, p. 116 - 123–Average Annualized Monthly Return of S&P/LSTA Index by Industry, p. 117

–Standard Deviation of Monthly Returns of S&P/LSTA Index by Industry, p. 118

–Sharpe Ratio S&P/LSTA Index by Industry, p. 119

–S&P/LSTA Index: Composite of Annual Returns by Industry, p. 120

–S&P/LSTA Index: Composite of Annual Returns by Industry for Performing Loans p. 121

–S&P/LSTA Index: Industry Returns - All Loans vs. Performing Loans, Aug-08 p. 122

–S&P/LSTA Index: Industry Returns – All Loans vs. Performing Loans YTD Aug-08 p. 123



S&P/LSTA Leveraged Loan IndexInclusion Criteria

• Characteristics Syndicated term loan instruments– Facility types Term loans (both amortizing and institutional), acquisition loans (after

they are drawn down) and bridge loans– Security Secured– Seniority Senior– Currency U.S. dollar denominated

• Minimum Term One year at inception• Minimum Spread L+125, initially• Minimum Size $50M initially funded loans • Valuation source Single bid from the LSTA/LPC mark-to-market pricing for those

facilities with 1 bid.• When loans are retired When there is no bid posted on the facility for at least 12 successive

weeks or when the loan is paid out or paid down to a negligible amount; defaulted loans will remain in the Index through repayment

• Calculation Frequency Daily; monthly prior to Jan. 1, 1999 and weekly prior to Mar. 31, 2007• Rebalance Frequency Weekly (eventually this will be moved to daily for the

“tradable” Index); monthly prior to Jan. 1, 1999• Interest Accrued by the system on a daily basis; compounded quarterly



S&P/LSTA Leveraged Loan IndexOverviewData Sources

• LSTA/LPC mark-to-market pricing • LCD loan facility data• S&P ratings and shadow ratings• Actual payment data from institutional investor “partners” including:

– LIBOR tranches– Repayment/prepayment info

• Actual payment data from institutional investor “partners” including:– Defaults– Recoveries

Accrual & accounting system• Wall Street Office

– Robust accrual/back office engine from Financial Computer Software– In use by 130 buy-side players in the loan market

Performance calculator• Built by S&P Index Services group• Lines up with S&P index methodology



S&P/LSTA Leveraged Loan IndexGeneral Characteristics



General Characteristics S&P/LSTA Leveraged Loan Index

S&P/LSTA leveraged loan index. This index comprises all loans that fit the inclusion criteria and that have marks from the LSTA/LPC mark-to-market service.

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08 YTD Aug-08 Aug-08Number of Facilities 283 438 451 462 455 563 676 786 973 1131 1131 1131 1131Par Amount Outstanding $54.52B $90.19B $100.50B $104.26B $112.18B $134.84B $190.85B $246.14B $397.60B $554.37B $589.28B $589.28B $589.28BAverage Bid 96.58 93.93 90.66 89.04 89.15 96.48 100.30 100.22 99.95 94.39 88.37 88.37 88.37Average Market Value $52.65B $84.72B $91.12B $92.83B $100.01B $130.09B $191.42B $246.67B $397.40B $523.30B $520.77B $520.77B $520.77BIndex Return 5.25% 3.65% 4.99% 4.18% 1.91% 9.97% 5.17% 5.08% 6.77% 2.02% -0.19% -1.97% -0.13%



General Characteristics BB Rated Loan Index

BB Index. A subset of the Index comprising only those loans rated BB (includes BB+ and BB-) by Standard & Poor’s. If the rating changes the loan is moved out of (or into) the Index at whatever the last price is.

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08 YTD Aug-08 Aug-08Number of Facilities 59 126 146 148 170 213 234 220 248 430 404 404 404Par Amount Outstanding $11.94B $36.62B $43.57B $43.96B $51.00B $64.64B $83.19B $90.05B $150.22B $277.15B $281.84B $281.84B $281.84BAverage Bid 98.09 96.75 97.33 97.55 97.16 100.55 100.91 100.66 100.15 95.19 91.83 91.83 91.83Average Market Value $11.71B $35.43B $42.41B $42.89B $49.55B $65.00B $83.95B $90.65B $150.45B $263.83B $258.82B $258.82B $258.82BIndex Return 5.40% 5.11% 6.67% 3.54% 2.56% 6.87% 4.23% 4.69% 6.19% 2.36% 1.71% -0.33% 0.04%



General Characteristics Single B Rated Loan Index

B Index. A subset of the Index comprising only those loans rated B (includes B+ and B-) by Standard & Poor’s. If the rating changes the loan is moved out of (or into) the Index at whatever the last price is.

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08 YTD Aug-08 Aug-08Number of Facilities 115 163 152 162 130 156 254 318 427 332 344 344 344Par Amount Outstanding $18.95B $22.91B $26.02B $28.26B $27.77B $37.43B $74.15B $100.06B $169.60B $167.81B $192.17B $192.17B $192.17BAverage Bid 96.13 95.07 91.72 90.71 90.80 99.44 100.92 100.46 100.28 93.64 85.86 85.86 85.86Average Market Value $18.22B $21.78B $23.86B $25.64B $25.21B $37.22B $74.83B $100.52B $170.07B $157.13B $164.99B $164.99B $164.99BIndex Return 4.27% -1.16% 3.01% 1.20% 3.91% 12.42% 5.63% 5.44% 7.40% 1.10% -1.60% -3.08% -0.30%



General Characteristics Performing Loan Index

Performing loan index. A subset of the index that includes non-investment grade and non-rated loans and strips out defaulted issue at the price directlyfollowing the default.

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08 YTD Aug-08 Aug-08Number of Facilities 280 421 395 399 389 513 650 758 947 1088 1049 1049 1049Par Amount Outstanding $54.05B $84.78B $89.42B $88.97B $97.21B $120.63B $183.39B $234.85B $383.44B $529.12B $552.22B $552.22B $552.22BAverage Bid 96.84 96.23 94.55 93.31 93.31 99.20 100.69 100.47 100.12 94.38 88.62 88.62 88.62Average Market Value $52.34B $81.58B $84.54B $83.01B $90.70B $119.66B $184.66B $235.95B $383.89B $499.38B $489.39B $489.39B $489.39BIndex Return 5.34% 3.58% 5.14% 3.34% 2.63% 9.78% 5.29% 5.28% 6.93% 1.99% -0.01% -1.80% -0.15%



Par Amount of Outstanding Loans by Facility RatingAs of Aug-08

Comprises all loans in the Index tracked in the LSTA/LPC mark-to-market service

NR10%

D2%

C0%

CC0%

CCC-0%

BB17%

BB-24%

B+19%

CCC1%

CCC+3%

B9%

B-4%

BBB1%

BBB-3%

BB+7%

BBB+0%

Total par amount: $589.28 billion



Par Amount of Outstanding Loans by Corporate RatingAs of Aug-08


NR12%

D2%

CC0%

BB-12%

B+29%

B22%

CCC-0%

CCC0%

B-15%

CCC+2%

BBB-0% BB+

1% BB5%BBB

0%

Total par amount: $589.28 billion



Par Amount of S&P/LSTA Index Loans by IndustryAs of Aug-08


Publishing7.0%

Other13.5%

Oil and gas3.8%

Leisure3.2%

Hotels/motels/inns and casinos4.5%

Health care9.2%

Forest products2.0%

Business equipment and services

5.0%Cable television

3.9%

Chemical/Plastics4.6%

Food service1.8%

Food products1.7%

Electronics/electric3.0%

Financial Intermediaries4.3%

Automotive6.6%

Broadcast radio and television

4.0%

Building and Development3.8%

Aerospace and Defense1.7%

Telcommunications5.9%

Retailers (other than food/drug)

3.4%

Utilities6.9%

Total par amount: $ 589.28 billion

OtherAir Transport 1.10%Beverage and tobacco 0.63%Brokerage/securities dealers/investment houses 0.26%Clothing/Textiles 0.51%Conglomerates 0.91%Containers and glass products 1.58%Cosmetics/Toiletries 0.79%Drugs 0.41%Ecological services and equipment 0.63%Equipment leasing 0.46%Farming/agriculture 0.16%Food/drug retailers 0.92%Home furnishings 0.93%Industrial equipment 1.35%Insurance 0.78%Nonferrous metals/minerals 0.76%Rail industries 0.17%Steel 0.08%Surface transport 1.10%



S&P/LSTA Leveraged Loan Index Results



S&P/LSTA Index: Composite of Annual Results

Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of FacilitiesAll Loans 7.59% $26.77B 173 5.25% $54.52B 283 3.65% $90.19B 438 4.99% $100.50B 451BB Loans 7.95% $5.92B 30 5.40% $11.94B 59 5.11% $36.62B 126 6.67% $43.57B 146B Loans 7.39% $9.86B 66 4.27% $18.95B 115 -1.16% $22.91B 163 3.01% $26.02B 152Performing Loans 7.57% $26.27B 169 5.34% $54.05B 280 3.58% $84.78B 421 5.14% $89.42B 395

Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of FacilitiesAll Loans 4.18% $104.26B 462 1.91% $112.18B 455 9.97% $134.84B 563 5.17% $190.85B 676BB Loans 3.54% $43.96B 148 2.56% $51.00B 170 6.87% $64.64B 213 4.23% $83.19B 234B Loans 1.20% $28.26B 162 3.91% $27.77B 130 12.42% $37.43B 156 5.63% $74.15B 254Performing Loans 3.34% $88.97B 399 2.63% $97.21B 389 9.78% $120.63B 513 5.29% $183.39B 650

Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of FacilitiesAll Loans 5.08% $246.14B 786 6.77% $397.60B 973 2.02% $554.37B 1131 70.97% $589.28B 1131BB Loans 4.69% $90.05B 220 6.19% $150.22B 248 2.36% $277.15B 430 72.13% $281.84B 404B Loans 5.44% $100.06B 318 7.40% $169.60B 427 1.10% $167.81B 332 58.96% $192.17B 344Performing Loans 5.28% $234.85B 758 6.93% $383.44B 947 1.99% $529.12B 1088 71.73% $552.22B 1049

2005 2006 2007 Cumulative

2001 2002 2003 2004

1997 1998 1999 2000



S&P/LSTA Index: Total Index vs Market Value Index Returns by Year

1997 to Aug-08

Total Index Returns1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-08

Total Index 7.59% 5.25% 3.65% 4.99% 4.18% 1.91% 9.97% 5.17% 5.08% 6.77% 2.02% -0.13%BB Index 7.95% 5.40% 5.11% 6.67% 3.54% 2.56% 6.87% 4.23% 4.69% 6.19% 2.36% 0.04%B Index 7.39% 4.27% -1.16% 3.01% 1.20% 3.91% 12.42% 5.63% 5.44% 7.40% 1.10% -0.30%Performing Loans Index 7.57% 5.34% 3.58% 5.14% 3.34% 2.63% 9.78% 5.29% 5.28% 6.93% 1.99% -0.15%

Market Value Index Returns1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-08

Total Index -0.75% -2.51% -4.21% -3.88% -2.62% -2.53% 5.56% 0.66% -0.91% -0.58% -5.57% -0.64%BB Index -0.11% -2.09% -2.71% -2.38% -3.07% -1.93% 2.54% -0.01% -0.90% -0.77% -4.88% -0.43%B Index -0.93% -3.63% -8.94% -6.26% -5.60% -1.37% 7.45% 0.69% -0.97% -0.38% -6.65% -0.86%Performing Loans Index -0.78% -2.47% -4.36% -4.01% -3.82% -2.22% 5.07% 0.59% -0.87% -0.65% -5.68% -0.67%



7.6%

5.3%

3.6%4.9% 4.2%

1.9%

9.8%

5.1% 5.0%

6.7%

2.0%

-2.0%

-5%

0%

5%

10%

15%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

Jan-Aug Sep-Dec

S&P/LSTA Index: Total Returns by Year1997 to Aug-08



1.9% 3.6% 5.0% 5.3% 3.8%

1.7%

-0.2% -2.0% -1.6%

0.9%0.1%

8.8%3.3% 1.5%

1.8%

-3.2% -4.0%

7.6%5.3% 3.7% 5.0%

4.2%1.9%

10.0%

5.2% 5.1%6.8%

2.0%

5.6%1.2%1.8%3.3%

6.6%5.5%5.9%

-0.2%

-10%

-5%

0%

5%

10%

15%

20%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTMAug-08

LIBOR Return over LIBOR

S&P/LSTA Index: Total Returns by Year1997 to Aug-08



1.9% 3.6% 5.0% 5.3% 3.8%

2.1%

-0.1% -0.5%

0.1%

0.2%0.8%

5.7% 2.4%1.1%

1.2%

-2.9% -2.1%

8.0%5.4% 5.1%

6.7%

3.5% 2.6%

6.9%

4.2% 4.7%6.2% 2.4%

5.9% 5.5% 6.6%3.3% 1.8% 1.2%

5.6%

1.7%

-10%

-5%

0%

5%

10%

15%

20%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTMAug-08


S&P/LSTA Index: BB Returns by Year1997 to Aug-08



1.9% 3.6% 5.0% 5.3% 3.8%

1.5%

-1.2%

-6.8%-3.6% -2.1%

2.1%

11.2%

3.8% 1.9%2.5%

-4.2% -5.4%

7.4%4.3%

-1.2%

3.0%

1.2% 3.9%

12.4%

5.6% 5.4%7.4%

1.1%

5.9% 5.5% 6.6%3.3% 1.8% 1.2%

5.6%

-1.6%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08


S&P/LSTA Index: B Returns by Year1997 to Aug-08



1.9% 3.6% 5.0% 5.3% 3.8%

1.7%

-0.1% -2.0% -1.4%

0.0% 0.9%

8.6%3.4% 1.7%

2.0%

-3.3% -3.8%

7.6%5.3% 3.6% 5.1%

2.6%

9.8%

5.3% 5.3%6.9%

2.0%

0.0%

5.6%1.2%1.8%3.3%

6.6%5.5%5.9%3.3%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTMAug-08


S&P/LSTA Index: Performing Returns by Year1997 to Aug-08



4.2%

1.9% 2.0%

-2.0%

-0.1%

5.1%

6.8%

3.7%

7.6%

5.3% 5.2%

10.0%

5.0%

-0.2%

-1.8%

2.6%2.0%

6.9%

5.3%

7.6%

5.3%

3.6%3.3%

5.1%

9.8%

5.3%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

YTD Aug-08

Aug-08

All Loans Performing Loans

S&P/LSTA Index: Total ReturnsAll Loans vs. Performing Loans

1997 to Aug-08



8.0%

2.6% 2.4%

-0.3%

0.0%

5.4%6.7%

5.1%

3.5%

6.9%

4.2% 4.7%6.2%

-0.3%

-3.1%

4.3%

1.2%

7.4%

3.9%

-1.2%

5.6%

3.0%

12.4%

5.4%

7.4%

1.1%

-8%

-4%

0%

4%

8%

12%

16%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 YTDAug-08

Aug-08

BB Loans B Loans

S&P/LSTA Index: Total Returnsby Current BB and Single B Rating

1997 to Aug-08



S&P/LSTA Index: Total Returns by QuarterQ1-01 to 3ME Aug-08

-8%

-6%

-4%

-2%

0%

2%

4%

6%

Q1-01

Q3-01

Q1-02

Q3-02

Q1-03

Q3-03

Q1-04

Q3-04

Q1-05

Q3-05

Q1-06

Q3-06

Q1-07

Q3-07

Q1-08

3ME A

ug-08

All Loans Performing Loans BB Loans B Loans



-30%

30%

90%

150%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTMAug-08

YTDAug-08

3MEAug-08

Aug-08 Cum

S&P/LSTA Index S&P 500 ML High Yield (H0A0) ML Higrade Corp (C0A0) 10YR Treasuries (GA10)

S&P/LSTA Leveraged Loan IndexAnnual Returns versus Other Asset Classes

1997 – Aug-08Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch



-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

Feb-03

May-03

Aug-03

Nov-03

Feb-04

May-04

Aug-04

Nov-04

Feb-05

May-05

Aug-05

Nov-05

Feb-06

May-06

Aug-06

Nov-06

Feb-07

May-07

Aug-07

Nov-07

Feb-08

May-08

Aug-08

S&P/LSTA Index Perf. Loan Index S&P 500 ML High Yield (H0A0)

S&P/LSTA Leveraged Loan IndexMonthly Returns versus Other Asset Classes

Feb-03 - Aug-08Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch



900

1,000

1,100

1,200

1,300

1,400

1,500

1,600

1,700

1,800

Dec-96

Jun-97

Dec-97

Jun-98

Dec-98

Jun-99

Dec-99

Jun-00

Dec-00

Jun-01

Dec-01

Jun-02

Dec-02

Jun-03

Dec-03

Jun-04

Dec-04

Jun-05

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

S&P/LSTA Index Levels1/1/97 to 8/31/08

BB LoansAll LoansPerf. LoansB Loans



S&P/LSTA Index LevelsMarket Value Only (Excludes Interest)

1/1/97 to 8/31/08

600

700

800

900

1,000

1,100

Dec-96

Jun-97

Dec-97

Jun-98

Dec-98

Jun-99

Dec-99

Jun-00

Dec-00

Jun-01

Dec-01

Jun-02

Dec-02

Jun-03

Dec-03

Jun-04

Dec-04

Jun-05

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

Note: the index is monthly until 1/1/99; set at 1000 at 12/1/96

All Loans

BB Loans

B Loans

Perf. Loans



S&P/LSTA Index Volatility of ReturnsAverage 12-Month Lagging Standard Deviation of Returns

Dec-97 to Aug-08

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Dec-97

Mar-98

Jun-98

Sep-98

Dec-98

Mar-99

Jun-99

Sep-99

Dec-99

Mar-00

Jun-00

Sep-00

Dec-00

Mar-01

Jun-01

Sep-01

Dec-01

Mar-02

Jun-02

Sep-02

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08



S&P/LSTA Index Returns: All LoansLagging 12-month Total Returns

Dec-98 to Aug-08

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Dec-98

Mar-99

Jun-99

Sep-99

Dec-99

Mar-00

Jun-00

Sep-00

Dec-00

Mar-01

Jun-01

Sep-01

Dec-01

Mar-02

Jun-02

Sep-02

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08



S&P/LSTA Index Returns: Performing LoansLagging 12-month Total Returns

Dec-98 to Aug-08

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Dec-98

Mar-99

Jun-99

Sep-99

Dec-99

Mar-00

Jun-00

Sep-00

Dec-00

Mar-01

Jun-01

Sep-01

Dec-01

Mar-02

Jun-02

Sep-02

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08



S&P/LSTA Index: All LoansAverage Bid price

Jan-97 to Aug-08

80

85

90

95

100

105

Jan-97

Jul-97

Jan-98

Jul-98

Jan-99

Jul-99

Jan-00

Jul-00

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08



S&P/LSTA Index: BB LoansAverage Bid price

Jan-97 to Aug-08

80

85

90

95

100

105

Jan-97

Jul-97

Jan-98

Jul-98

Jan-99

Jul-99

Jan-00

Jul-00

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08



S&P/LSTA Index: B LoansAverage Bid price

Jan-97 to Aug-08

80

85

90

95

100

105

Jan-97

Jul-97

Jan-98

Jul-98

Jan-99

Jul-99

Jan-00

Jul-00

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08



S&P/LSTA Index: Performing LoansAverage Bid price

Jan-97 to Aug-08

80

85

90

95

100

105

Jan-97

Jul-97

Jan-98

Jul-98

Jan-99

Jul-99

Jan-00

Jul-00

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08



S&P/LSTA Leveraged Loan IndexRisk/Return Profile


--

STANDARD &POOR'S


Average Annualized Monthly Return of S&P/LSTA Index: Overall and by Rating

Jan-97 to Aug-08

3.96%

4.68%4.69% 4.69%

0%

2%

4%

6%

8%

10%

S&P/LSTA Inde

x

BB Inde

x

B Inde

x

Perf. L

oan I

ndex



Standard Deviation of Monthly Returns of S&P/LSTA Index: Overall and by Rating

Jan-97 to Aug-08

0.81%0.73%

1.01%

0.79%

0.0%

0.5%

1.0%

1.5%

2.0%

S&P/LSTA Inde

x

BB Inde

x

B Inde

x

Perf. L

oan I

ndex



Sharpe Ratio S&P/LSTA Index: Overall and by Rating

Jan-97 to Aug-08

0.08

0.370.36 0.39

-1.00

0.00

1.00

2.00

S&P/LSTA Inde

x

BB Inde

x

B Inde

x

Perf. L

oan I

ndex

Defined as: Average Annualized Monthly Return less Risk-Free Rate (3-month Treasuries) Divided by Annualized Standard Deviation of Monthly Returns (standard deviation multiplied by square root of 12)



Average Annualized Monthly Return of S&P/LSTA Index versus Other Asset Classes

Jan-97 to Aug-08Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch; Bloomberg

4.69% 4.68%3.96%

4.69%

6.30% 6.10% 6.46%

7.80%

5.88% 5.89%

0%

2%

4%

6%

8%

10%

S&P/LSTA Inde

xBB Loa

n Ind

exB Loa

n Ind

exPerf

. Loa

n Ind

ex

ML HIG

H YIE

LD (H0A

0)

10YR TREAS (G

A10)

S & P 50

0 (SP

X)

ML HIG

RADE CORP (C

0A0)

ML BB B

onds

(J0A1)

ML B (J

0A2)



Standard Deviation of Monthly Returns of S&P/LSTA Index versus Other Asset Classes


1.0%1.3%

1.6%

0.8%0.8% 0.7%

2.1%2.0% 2.0%

4.3%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

S&P/LSTA Inde

xBB Loa

n Ind

exB Loa

n Ind

exPerf

. Loa

ns Ind

ex

ML HIG

H YIE

LD (H0A

0)

10YR TREAS (G

A10)

S & P 50

0 (SP

X)

ML HIG

RADE CORP (C

0A0)

ML BB B

onds

(J0A1)

ML B (J

0A2)



Sharpe Ratio S&P/LSTA Index versus Other Asset Classes


0.270.31 0.300.38

0.39 0.500.55

0.36

0.08

0.37

-0.50

-0.25

0.00

0.25

0.50

0.75

1.00

S&P/LSTA Inde

x

BB Inde

x

B Inde

xPerf

. Loa

ns Ind

ex

ML HIG

H YIE

LD (H0A

0)

10YR TREAS (G

A10)

S & P 50

0 (SP

X)

ML HIG

RADE CORP (C

0A0)

ML BB B

onds

(J0A1)

ML B (J

0A2)




S&P/LSTA Index Volatility of ReturnsAverage 12-month Lagging Standard Deviation of Returns

Jan-06 to Aug-08

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Jan-06

Mar-06

May-06

Jul-06

Sep-06

Nov-06

Jan-07

Mar-07

May-07

Jul-07

Sep-07

Nov-07

Jan-08

Mar-08

May-08

Jul-08

S&P 500 (SPX)

ML High-Yield (H0A0)

10-yr Treasuries (GA10)

ML Higrade Corps (C0A0)

S&P/LSTA Index



0%

1%

2%

3%

4%

5%

6%

7%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTMAug-08

S&P/LSTA Index S&P 500 ML High Yield (H0A0) ML Higrade Corp (C0A0) 10YR Treasuries (GA10)

Annual Standard Deviation of Monthly Returns1997 – Aug-08

Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch



Worst five months for S&P/LSTA Index Loans versus Other Asset Classes

Jan-97 – Aug-08Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch; Bloomberg

1.18%-6.51%-1.36%-3.23%Jan-08

0.07%-3.25%-1.19%-2.51%Feb-08

0.88%-4.18%-2.05%-1.39%Nov-07

0.28%-3.10%-3.14%-3.35% Jul-07

0.28 %-8.08 %-6.42 %-1.52 %Sep-01

ML Higrade CorpMonthly Returns

(C0A0)

S&P 500Monthly Returns

(SPX)

ML High Yield Monthly Returns

(H0A0)

Leveraged Loan Index Monthly

Returns



Correlation of the S&P/LSTA Leveraged Loan Index with Other Asset Classes

Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch; Bloomberg

1997 - Aug-08

LEVERAGED LOANS Performing Loan Index HIGH YIELD 10YR TREAS S & P 500 HIGRADE CORPS&P/LSTA Leveraged Loan Index 1.000 0.995 0.563 -0.310 0.287 0.028Performing Loan Index 1.000 0.551 -0.313 0.300 0.017ML HIGH YIELD 1.000 -0.089 0.530 0.357ML 10YR TREAS 1.000 -0.245 0.834S & P 500 1.000 0.046ML HIGRADE CORP 1.000

2003 - Aug-08

LEVERAGED LOANS Performing Loan Index HIGH YIELD 10YR TREAS S & P 500 HIGRADE CORPS&P/LSTA Leveraged Loan Index 1.000 0.999 0.646 -0.332 0.554 0.035Performing Loan Index 1.000 0.638 -0.340 0.554 0.025ML HIGH YIELD 1.000 0.006 0.641 0.411ML 10YR TREAS 1.000 -0.244 0.877S & P 500 1.000 0.050ML HIGRADE CORP 1.000



S&P/LSTA Second-Lien Index



$0B

$10B

$20B

$30B

$40B

Jan-0

4 A

pr-04

Jul-0

4 O

ct-04

Jan-0

5 A

pr-05

Jul-0

5Oct-

05Ja

n-06

Apr-06

Jul-0

6Oct-

06Ja

n-07

Apr-07

Jul-0

7Oct-

07Ja

n-08

Apr-08

Jul-0

8Par Amount of Outstanding of Second-Lien Loans

Comprises all loans in the Index tracked in the LSTA/LPC mark-to-market serviceSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index



0%

2%

4%

6%

8%

Jan 0

4 A

pr-04

Jul-0

4 O

ct-04

Jan-0

5 A

pr-05

Jul-0

5Oct-

05Ja

n-06

Apr-06

Jul-0

6Oct-

06Ja

n-07

Apr-07

Jul-0

7Oct-

07Ja

n-08

Apr-08

Jul-0

8Second-Lien Outstandings as a Percent of All Leveraged Loans




Broadcast radio and television2%

Building and Development5%Cable television

3%

Equipment leasing5%

Financial Intermediaries2%

Food products1%

Health care4%

Home furnishings2%

Hotels/motels/inns and casinos4%

Industrial equipment2%

Oil and gas9%

Publishing4%

Retailers (other than food/drug)1%

Telecommunications4%

Utilities7%

Aerospace and Defense2%

Air Transport3%

Automotive14%

Electronics/electric7%

Other6%

Clothing/Textiles2%


4%

Chemical/Plastics3%

Containers and glass products1%

Cosmetics/Toiletries2%

Second Lien Outstandings by IndustryAs of 8/31/08




S&P/LSTA Index ReturnsAll Loans

Jan-04 to Aug-08

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Jan 04

Apr-

04 Ju

l-04

Oct-

04 Ja

n-05 A

pr-05

Jul-0

5Oct-

05Jan

-06Apr-

06Jul

-06Oct-

06Jan

-07Apr-

07Jul

-07Oct-

07Jan

-08Apr-

08Jul

-08

All Loans First-Lien Loans Second-Lien Loans



S&P/LSTA Index ReturnsB-Rated Loans

Jan-04 to Aug-08

-6.0%-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%5.0%

Jan 04

Apr-

04 Ju

l-04

Oct-

04 Ja

n-05 A

pr-05

Jul-0

5Oct-

05Jan

-06Apr-

06Jul

-06Oct-

06Jan

-07Apr-

07Jul

-07Oct-

07Jan

-08Apr-

08Jul

-08

B-Rated Loans First Lien B-Rated Loans Second-Lien B-Rated Loans



S&P/LSTA Index ReturnsAll Loan Returns

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

2004

2005

2006

2007

YTD 8/31

/2008

LTM 8/

31/20

08

3ME 8/

31/20

08




S&P/LSTA Index ReturnsB-Rated Loans

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

2004

2005

2006

2007

YTD 8/31/2

008

LTM 8/31/2

008

3ME 8/31/2

008

B-Rated Loans First Lien B-Rated Loans Second-Lien B-Rated Loans



85

90

95

100

105

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Bid of Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index

Excludes all loans trading at 70% of par or less and facilities in default



200

300

400

500

600

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Nominal Spread of Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

600

700

800

900

1000

1100

1200

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Discounted Spread of Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index


Assumes discount from par is amortized evenly over a three-year life.

Please note: We have adjusted our spread calculation to be based off of the bid rather than par (that is assuming that the discounted margin is as a percent of the current market value than the par amount of the loan).



80

85

90

95

100

105

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Bid of Single B Rated Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

600

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Nominal Spread of Single B Rated Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

600

700

800

900

1000

1100

1200

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08


Average Discounted Spread of Single B Rated Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index






S&P/LSTA Middle-Market Index


--

STANDARD &POOR'S


$1.6$3.4

$5.3 $5.9 $6.1 $6.9 $7.0

$10.6

$17.0

$20.4 $19.0$20.7

0

5

10

15

20

25

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-08

Par Amount of Outstandings of Middle-Market Leveraged LoansComprises all loans, including those not tracked in the LSTA/LPC mark-to-market service

Vast majority are institutional tranchesSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index



4.6% 4.6% 4.7% 4.7% 5.0% 4.7%

7.0%

5.2%5.3%5.5%

3.7%3.2%

0%

2%

4%

6%

8%

10%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-08

Middle-Market Outstandings as a Percent of All Leveraged LoansComprises all loans, including those not tracked in the LSTA/LPC mark-to-market service






85

90

95

100

105

Jan-9

7Ju

l-97

Jan-9

8Ju

l-98

Jan-9

9Ju

l-99

Jan-0

0Ju

l-00

Jan-0

1Ju

l-01

Jan-0

2Ju

l-02

Jan-0

3Ju

l-03

Jan-0

4Ju

l-04

Jan-0

5Ju

l-05

Jan-0

6Ju

l-06

Jan-0

7Ju

l-07

Jan-0

8Ju

l-08

Middle Market Large Corporates



200

250

300

350

400Ja

n-97

Jul-9

7

Jan-

98

Jul-9

8

Jan-

99

Jul-9

9

Jan-

00

Jul-0

0

Jan-

01

Jul-0

1

Jan-

02

Jul-0

2

Jan-

03

Jul-0

3

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8


Average Nominal Spread of Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

600

700

800

900Ja

n-97

Jul-9

7

Jan-

98

Jul-9

8

Jan-

99

Jul-9

9

Jan-

00

Jul-0

0

Jan-

01

Jul-0

1

Jan-

02

Jul-0

2

Jan-

03

Jul-0

3

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8


Average Discounted Spread of Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index






85

90

95

100

105

Jan-9

8Ju

l-98

Jan-9

9Ju

l-99

Jan-0

0Ju

l-00

Jan-0

1Ju

l-01

Jan-0

2Ju

l-02

Jan-0

3Ju

l-03

Jan-0

4Ju

l-04

Jan-0

5Ju

l-05

Jan-0

6Ju

l-06

Jan-0

7Ju

l-07

Jan-0

8Ju

l-08


Average Bid of Single B Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

Jan-9

8Ju

l-98

Jan-9

9Ju

l-99

Jan-0

0Ju

l-00

Jan-0

1Ju

l-01

Jan-0

2Ju

l-02

Jan-0

3Ju

l-03

Jan-0

4Ju

l-04

Jan-0

5Ju

l-05

Jan-0

6Ju

l-06

Jan-0

7Ju

l-07

Jan-0

8Ju

l-08


Average Nominal Spread of Single B Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




200

300

400

500

600

700

800

900

1000

Jan-9

8Ju

l-98

Jan-9

9Ju

l-99

Jan-0

0Ju

l-00

Jan-0

1Ju

l-01

Jan-0

2Ju

l-02

Jan-0

3Ju

l-03

Jan-0

4Ju

l-04

Jan-0

5Ju

l-05

Jan-0

6Ju

l-06

Jan-0

7Ju

l-07

Jan-0

8Ju

l-08


Average Discounted Spread of Single B Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index






Health care 9%

Utilities 6%

Home furnishings 3%

Hotels/motels/inns and casinos 3%

Industrial equipment 2%

Leisure 3%

Oil and gas 4%

Ecological services and equipment

2%

Food products 5%

Food service 4%

Cosmetics/Toiletries 4%

Containers and glass products 1%

Conglomerates 1%

Clothing/Textiles 3%

Chemical/Plastics 3%

Building and Development 2%

Cable television 1%

Surface transport 3%

Telecommunications 2%

Retailers (other than food/drug) 2%

Publishing 9%

Other 4%

Aerospace and Defense 3%

Automotive 3%

Broadcast radio and television 7%

Business equipment and services 5%

Electronics/electric 3%

Financial Intermediaries 2%

Middle-Market Outstandings by IndustryAs of 8/31/08

Comprises all loans, including those not tracked in the LSTA/LPC mark-to-market serviceVast majority are institutional tranches

Source: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index



15%

8%

13%

4%

14%

0% 0% 0% 0% 0%2%

0%3%

1%

40%

9%

4%

19%17%

25%

7%

3% 2%0%

9%

1% 0%0%0%0%0%

4%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

B B- B+ BB BB- BB+ BBB BBB- BBB+ C CC CCC CCC- CCC+ D NR


Middle-Market Outstandings by RatingAs of 8/31/08





S&P/LSTA Index ReturnsAnnual

Jan-97 to LTM Aug-08

-10.0%

0.0%

10.0%

20.0%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

LTM 8/31

/2008

Middle-Market Large Corporates



S&P/LSTA Index ReturnsMiddle-Market

QuarterlyJan-97 to 3ME Aug-08

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

1Q97

4Q97

3Q98

2Q99

1Q00

4Q00

3Q01

2Q02

1Q03

4Q03

3Q04

2Q05

1Q06

4Q06

3Q07

2Q08



S&P/LSTA Index ReturnsQuarterly

Jan-97 to 3ME Aug-08

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

1Q97

3Q97

1Q983Q981Q993Q991Q003Q001Q013Q011Q023Q

021Q033Q031Q043Q041Q

053Q

051Q

063Q061Q073Q071Q08

3ME 8/31/2

008

Middle-Market Large Corporates



S&P/LSTA Index ReturnsMiddle-Market

MonthlyJan-97 to Aug-08

-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%

Jan-97

Oct-97

Jul-98

Apr-99

Jan-00

Oct-00

Jul-01

Apr-02

Jan-03

Oct-03

Jul-04

Apr-05

Jan-06

Oct-06

Jul-07

Apr-08



S&P/LSTA Covenant-Lite Index


--

STANDARD &POOR'S


$0.00

$25.00

$50.00

$75.00

$100.00

Dec

-04Ja

n-06

Mar-06

May-06

Jul-0

6Sep

-06Nov

-06Ja

n-07

Mar-07

May-07

Jul-0

7Sep

-07Nov

-07Ja

n-08

Mar-08

May-08

Jul-0

8

Par Amount of Outstandings of Covenant-Lite Leveraged LoansComprises all loans, including those not tracked in the LSTA/LPC mark-to-market service




0%

5%

10%

15%

20%

Dec

-04Ja

n-06

Mar-06

May-06

Jul-0

6Sep

-06Nov

-06Ja

n-07

Mar-07

May-07

Jul-0

7Sep

-07Nov

-07Ja

n-08

Mar-08

May-08

Jul-0

8Covenant-Lite Outstandings as a Percent of All Leveraged Loans







80

85

90

95

100

105

Jan-0

6Feb

-06Mar-

06Apr-

06May

-06Ju

n-06

Jul-0

6Aug

-06Sep

-06Oct-

06Nov

-06Dec

-06Ja

n-07

Feb-07

Mar-07

Apr-07

May-07

Jun-0

7Ju

l-07

Aug-07

Sep-07

Oct-07

Nov-07

Dec-07

Jan-0

8Feb

-08Mar-

08Apr-

08May

-08Ju

n-08

Jul-0

8Aug

-08

Covenant-Lite All Other First-Lien



175

200

225

250

275

Jan-0

6Mar-

06May

-06Ju

l-06

Sep-06

Nov-06

Jan-0

7Mar-

07May

-07Ju

l-07

Sep-07

Nov-07

Jan-0

8Mar-

08May

-08Ju

l-08


Average Nominal Spread of Covenant-Lite Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index




0

100

200

300

400

500

600

700

800

900

Jan-0

6Mar-

06May

-06Ju

l-06

Sep-06

Nov-06

Jan-0

7Mar-

07May

-07Ju

l-07

Sep-07

Nov-07

Jan-0

8Mar-

08May

-08Ju

l-08


Average Discounted Spread of Covenant-Lite Leveraged LoansSource: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index






Retailers (other than food/drug)11%

Telcommunications8%

Publishing5%

Other6%

Electronics/electric5%

Oil and gas2%

Health care7%

Food products3%

Leisure2%

Chemical/Plastics6%

Financial Intermediaries1%

Food service4%

Containers and glass products2%

Nonferrous metals/minerals3%

Aerospace and Defense3%

Cosmetics/Toiletries1%

Broadcast radio and television11%

Cable television4%

Automotive5%

Food/drug retailers1%


9%

Covenant-Lite Outstandings by IndustryAs of 8/31/08





S&P/LSTA Index ReturnsCovenant-Lite

QuarterlyJan-06 to 3ME Aug-08

-7.0%-6.0%-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%

1Q06

2Q06

3Q06

4Q06

1Q07

2Q07

3Q07

4Q07

1Q08

2Q08

3ME 8/

31/20

08



S&P/LSTA Index ReturnsCovenant-Lite

MonthlyJan-06 to Aug-08

-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%5.0%

Jan-0

6Mar-

06May

-06Jul

-06Sep

-06Nov

-06Jan

-07Mar-

07May

-07Jul

-07Sep

-07Nov

-07Jan

-08Mar-

08May

-08Jul

-08



S&P/LSTA Leveraged Loan IndexDefault and Distress Statistics



Distribution by Bid Price of the S&P/LSTA Leveraged Loan IndexAs of Period-End

Dec-98 – Aug-08

0%5% 4%

9% 7%3%

1% 0% 0% 0% 2%0% 1% 3% 3% 3%0% 0% 0% 0% 0%

4%1% 2% 4% 6%

1% 0% 0% 0% 1%

11%6%

11%

3% 0% 1% 0%

7%

23%

91%

65%60%

11%14%

25%

90%

60%

16%

88%85%

74%

1% 0%

7%4%

7%12%

61%

21%

55%

2%

23%

71%

20%

12%

0%

25%

50%

75%

100%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 8/31/2008

Less Than 60 60 - 69.9 70 - 79.9 80 - 89.9 90 - 99.9 100 or More



Distribution by Bid Price of the S&P/LSTA Leveraged Loans Index(Excluding Defaulted Issuers)

As of Period-EndDec-98 – Aug-08

0%3% 2% 2% 2% 1% 0% 0% 0% 0% 1%0% 1% 2% 2% 2% 0% 0% 0% 0% 0%

3%1% 2% 4%6%

0% 0% 0% 0% 1%

11%6%

11%

2% 0% 0% 0%

7%

23%

91%

67% 66%

9%12%

24%

91%

61%

18%

90%87%

75%

1% 0%

5%12%

7%4%

61%

20%

64%

13%

21%

76%

24%

3%0%

25%

50%

75%

100%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 8/31/2008

Less Than 60 60 - 69.9 70 - 79.9 80 - 89.9 90 - 99.9 100 or More



Structure by Bid Price of the S&P/LSTA Leveraged Loan Index As of Month-endJan-98 – Aug-08

0%

25%

50%

75%

100%

Jan-98

Apr-98

Jul-98

Oct-98

Jan-99

Apr-99

Jul-99

Oct-99

Jan-00

Apr-00

Jul-00

Oct-00

Jan-01

Apr-01

Jul-01

Oct-01

Jan-02

Apr-02

Jul-02

Oct-02

Jan-03

Apr-03

Jul-03

Oct-03

Jan-04

Apr-04

Jul-04

Oct-04

Jan-05

Apr-05

Jul-05

Oct-05

Jan-06

Apr-06

Jul-06

Oct-06

Jan-07

Apr-07

Jul-07

Oct-07

Jan-08

Apr-08

Jul-08

90 or More

Less than 70

70 – 89.9



Structure by Bid Price of the S&P/LSTA Leveraged Loans Index (Excluding Defaulted Issuers)

As of Month-endJan-98 – Aug-08

0%

25%

50%

75%

100%

Jan-9

8Apr-

98Ju

l-98

Oct-98

Jan-9

9Apr-

99Ju

l-99

Oct-99

Jan-0

0Apr-

00Ju

l-00

Oct-00

Jan-0

1Apr-

01Ju

l-01

Oct-01

Jan-0

2Apr-

02Ju

l-02

Oct-02

Jan-0

3Apr-

03Ju

l-03

Oct-03

Jan-0

4Apr-

04Ju

l-04

Oct-04

Jan-0

5Apr-

05Ju

l-05

Oct-05

Jan-0

6Apr-

06Ju

l-06

Oct-06

Jan-0

7Apr-

07Ju

l-07

Oct-07

Jan-0

8Apr-

08Ju

l-08

90 or More

Less than 70

70 – 89.9



1Q97

2Q97

3Q97

4Q97

1Q98

2Q98

3Q98

4Q98

1Q99

2Q99

3Q99

4Q99

1Q00

2Q00

3Q00

4Q00

1Q01

2Q01

3Q01

4Q01

1Q02

2Q02

3Q02

4Q02

1Q03

2Q03

3Q03

4Q03

1Q04

2Q04

3Q04

4Q04

1Q05

2Q05

3Q05

4Q05

1Q06

2Q06

3Q06

4Q06

1Q07

2Q07

3Q07

4Q07

Jul-08

Aug-08

BB

B+

BB-

Weighted Average RatingExcludes Not Rated and Defaulted Issuers




0%

10%

20%

30%

40%

50%

1Q972Q973Q

974Q

971Q982Q983Q984Q

981Q

992Q993Q994Q991Q

002Q003Q004Q001Q012Q

013Q014Q011Q022Q023Q

024Q021Q032Q033Q03 4Q

031Q042Q

043Q044Q041Q

052Q053Q

05 4Q

051Q06 2Q

063Q064Q

061Q072Q073Q074Q07Jul

-08Aug

-08

Percent of Loans Rated B or Lower Excludes Not Rated and Defaulted Issuers




Repayment Analysis



71.4%

48.2%

34.5%

23.0%

57.0%

48.0%

43.0%

36.3%

12.1%

34.2% 34.0%30.8%

11.4%

49.0%

46.4%

36.0%

30.3%

42.0%47.0%

35.0%

23.0%

41.9%

50.0% 49.0%

0%

10%

20%

30%

40%

50%

60%

70%

80%

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

LTM 8/31/0

8

Repayment Rate Average Repayment Rate

Repayment Rates - by Year1997 - LTM 8/31/08




$46.5B

$83.6B$92.9B

$63.0B

$149.1B

$110.7B

$66.9B

$29.8B$36.5B$36.0B$18.1B

$10.1B

$0.0B

$25.0B

$50.0B

$75.0B

$100.0B

$125.0B

$150.0B

$175.0B

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

LTM 8/31

/08Repayment Amounts - by Year

1997 - LTM 8/31/08Source: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index



0%

3%

6%

9%

12%

15%

18%

1Q972Q973Q974Q971Q982Q983Q984Q981Q992Q993Q994Q991Q002Q003Q004Q001Q012Q013Q014Q011Q022Q023Q024Q021Q032Q033Q034Q031Q042Q043Q044Q041Q052Q053Q054Q051Q062Q063Q064Q061Q072Q073Q074Q071Q082Q08

3ME 8/31/0

8

Repayment Rates - by Quarter1Q97 – 3ME 8/31/08




$0.0B$5.0B

$10.0B$15.0B$20.0B$25.0B$30.0B$35.0B$40.0B$45.0B$50.0B$55.0B$60.0B$65.0B$70.0B$75.0B

1Q97

2Q97

3Q97

4Q97

1Q98

2Q98

3Q98

4Q98

1Q99

2Q99

3Q99

4Q99

1Q00

2Q00

3Q00

4Q00

1Q01

2Q01

3Q01

4Q01

1Q02

2Q02

3Q02

4Q02

1Q03

2Q03

3Q03

4Q03

1Q04

2Q04

3Q04

4Q04

1Q05

2Q05

3Q05

4Q05

1Q06

2Q06

3Q06

4Q06

1Q07

2Q07

3Q07

4Q07

1Q08

2Q08

3ME 8/

31/08

Repayment Amounts - by Quarter1Q97 - 3ME 8/31/08



0%

2%

4%

6%

8%

Jan-01

May-01

Sep-01

Jan-02

May-02

Sep-02

Jan-03

May-03

Sep-03

Jan-04

May-04

Sep-04

Jan-05

May-05

Sep-05

Jan-06

May-06

Sep-06

Jan-07

May-07

Sep-07

Jan-08

May-08

Repayment Rates - by MonthJan-01 – Aug-08




$0.0B

$3.0B

$6.0B

$9.0B

$12.0B

$15.0B

$18.0B

$21.0B

$24.0B

$27.0B

$30.0B

Jan-01

May-01

Sep-01

Jan-02

May-02

Sep-02

Jan-03

May-03

Sep-03

Jan-04

May-04

Sep-04

Jan-05

May-05

Sep-05

Jan-06

May-06

Sep-06

Jan-07

May-07

Sep-07

Jan-08

May-08

Repayment Amounts - by MonthJan-01 – Aug-08




S&P/LSTA Leveraged Loan IndexDuration and Maturity



20031%

20043%

200630%

200749%

20088%

20059%

Outstandings of Performing Loans by Year of OriginationAs of 8/31/08



12.214.1

24.223.0

17.2

10.512.8 12.1

14.7

18.6

20.5

0

10

20

30

40

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08

Weighted Average Age of Outstanding Institutional Loans

Performing Loans



12.411.0

16.8

22.4

19.4

13.111.7

13.612.3

15.1

20.3

0

10

20

30

40

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08


BB Rated



13.3

16.8

20.5

26.7

22.8

13.111.8 12.9

19.6

29.0

8.9

0

10

20

30

40

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08


B Rated



9%16%

26%

48% 45%

26%

10% 11% 12% 15%

29%

0%

10%

20%

30%

40%

50%

60%

70%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08

Percent of Institutional Outstandings Older than Two YearsPerforming Loans



15%7%

18%

40%34%

16%12% 14% 14%

18%

29%

0%

10%

20%

30%

40%

50%

60%

70%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08

Percent of Institutional Outstandings Older than Two YearsBB-Rated



8%

25%34%

60% 62%

38%

6% 9% 12% 9%

25%

0%

10%

20%

30%

40%

50%

60%

70%

80%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of8/31/08

Percent of Institutional Outstandings Older than Two YearsB-Rated



1%2%

5%

14%

29%

39%

0% 1%

9%

0%

10%

20%

30%

40%

50%

2009 2010 2011 2012 2013 2014 2015 2016 NA

Distribution by Year of Maturity

All LoansAs of 8/31/08

Excludes Defaulted Facilities



0%3%

5%

14%

30%

39%

8%

0% 1%0%

10%

20%

30%

40%

50%

2009 2010 2011 2012 2013 2014 2015 2016 NA


First-Lien LoansAs of 8/31/08




2%0%

3% 3%

22%

45%

16%

8%

0%

10%

20%

30%

40%

50%

2009 2010 2011 2012 2013 2014 2015 NA


Second-Lien LoansAs of 8/31/08




S&P/LSTA Leveraged Loan IndexReturns by Industry


--

STANDARD &POOR'S


Average Annualized Monthly Return of S&P/LSTA Index by Industry

Jan-97 to Aug-08

4.8%4.5%5.2%

3.0%

4.7%

3.2%

6.0%

4.7%5.2%

5.7%5.3%

5.0% 5.2%

4.0%4.6%

2.0%

4.8%4.9%4.9%5.0%4.3%

5.1%5.3%5.0%

4.5%4.7% 4.8%5.1%

4.2%3.9%

0%

2%

4%

6%

8%

10%

S&P/LSTA In

dex

Indus

trials

Media

Aerosp

ace an

d Defe

nse

Automoti

ve

Buildin

g and

Dev

elopmen

t

Busines

s Equ

ipmen

t and

Service

s

Cable an

d Sate

llite TV

Chemica

ls and

Plastics

Clothing -

Textiles

Conglom

erates

Containe

rs an

d Glas

s Prod

ucts

Ecologic

al Serv

ices a

nd E

quipm

ent

Electro

nics -

Electric

al

Financia

l Inter

mediar

ies

Food Produ

cts

Food Serv

ice

Food and

Drug R

etaile

rsHealt

hcare

Home Furnish

ings

Indus

trial E

quipm

ent

Leisu

re Good

s-Acti

vities

-Mov

ies

Lodg

ing an

d Cas

inos

Nonferro

us M

etals

- Mine

ralsPub

lishing

Radio an

d Tele

vision

Retailers

(Not

Food a

nd D

rug)

Surfac

e Tran

sport

Teleco

mUtili

ties



Standard Deviation of Monthly Returns of S&P/LSTA Index by Industry

Jan-97 to Aug-08

0.6%

1.6% 1.6%

1.2%1.2%

1.7% 1.6%

1.4%1.4%1.2%1.2%

2.2%

1.2% 1.2%1.4%

1.0% 1.1%1.1%

1.6%

1.2%

0.9%0.8% 0.8%0.9%0.9%

0.8%0.9%

0.8%1.0%0.9%

0%

1%

2%

3%

S&P/LSTA In

dex

Indus

trials

Media

Aerosp

ace an

d Defe

nse

Automoti

ve

Buildin

g and

Dev

elopmen

t

Busines

s Equ

ipmen

t and

Service

s

Cable an

d Sate

llite TV

Chemica

ls and

Plastics

Clothing -

Textiles

Conglom

erates

Containe

rs an

d Glas

s Prod

ucts

Ecologic

al Serv

ices a

nd E

quipm

ent

Electro

nics -

Electric

al

Financia

l Inter

mediar

ies

Food Produ

cts

Food Serv

ice

Food and

Drug R

etaile

rsHealt

hcare

Home Furnish

ings

Indus

trial E

quipm

ent

Leisu

re Good

s-Acti

vities

-Mov

ies

Lodg

ing an

d Cas

inos

Nonferro

us M

etals

- Mine

ralsPub

lishing

Radio an

d Tele

vision

Retailers

(Not

Food a

nd D

rug)

Surfac

e Tran

sport

Teleco

mUtili

ties



Sharpe Ratio S&P/LSTA Index by Industry Jan-97 to Aug-08

0.36

0.23

0.36 0.34

0.49

0.340.28

0.37

0.52

0.24 0.27 0.29

0.47

0.19

0.360.25

0.30

0.46

(0.22)

0.71

0.57

0.08 0.060.17

0.44

0.74

(0.12)

0.07

0.17

(0.08)

-0.50

0.00

0.50

1.00

S&P/LSTA In

dex

Indus

trials

Media

Aerosp

ace an

d Defe

nse

Automoti

ve

Buildin

g and

Dev

elopmen

t

Busines

s Equ

ipmen

t and

Service

s

Cable an

d Sate

llite TV

Chemica

ls and

Plastics

Clothing -

Textiles

Conglom

erates

Containe

rs an

d Glas

s Prod

ucts

Ecologic

al Serv

ices a

nd E

quipm

ent

Electro

nics -

Electric

al

Financia

l Inter

mediar

ies

Food Produ

ctsFoo

d Service

Food and

Drug R

etaile

rsHealt

hcare

Home Furnish

ings

Indus

trial E

quipm

ent

Leisu

re Good

s-Acti

vities

-Mov

ies

Lodg

ing an

d Cas

inos

Nonferro

us M

etals

- Mine

ralsPub

lishing

Radio an

d Tele

vision

Retailers

(Not

Food a

nd D

rug)

Surfac

e Tran

sport

Teleco

mUtili

ties




S&P/LSTA Index: Composite of Annual Returns by Industry

2000 2001 2002 2003 2004 2005 2006 2007 LTM 8/31/08 YTD 8/31/08 Aug-08 Cumulative MV Avg BidIndustrials 2.28% 4.05% 6.94% 8.49% 6.01% 5.19% 6.19% 2.24% -2.67% -4.47% -0.02% 74.14% $79.9B 85.83 Media 8.34% 7.96% 3.86% -3.64% 10.07% 5.34% 6.45% 0.83% -4.36% -5.38% -0.89% 67.70% $69.9B 83.89 Aerospace and Defense 6.83% 5.40% 5.77% 4.84% 4.46% 5.54% 7.04% 4.28% 5.09% 0.89% 0.22% 80.82% $9.1B 93.80 Automotive -5.41% 6.87% 5.48% 10.24% 5.37% 4.68% 5.29% 2.31% -7.89% -9.63% -1.33% 39.98% $31.3B 80.92 Beverage & Tobacco NA NA NA NA 3.24% 5.59% 4.08% 2.05% 1.12% -0.03% 0.30% 61.68% $3.1B 90.61 Building and Development 7.53% 7.57% 7.43% 5.24% 5.94% 5.65% 5.88% -1.95% -6.89% -5.71% -0.60% 73.03% $17.9B 79.29 Business Equipment and Services 6.76% 0.74% -1.27% 11.06% 7.23% 5.63% 7.60% 2.31% 1.87% -0.27% -0.04% 42.81% $26.7B 90.19 Cable and Satellite TV 8.03% 5.08% -10.97% 16.31% 6.85% 4.69% 5.84% 1.49% 2.78% 1.19% 0.49% 79.22% $21.3B 91.57 Chemicals and Plastics 5.59% 5.39% 7.98% 9.91% 5.87% 5.47% 6.28% 2.92% -0.96% -2.39% 0.56% 96.70% $23.9B 87.63 Clothing - Textiles 8.23% -6.15% 22.44% -0.66% 15.20% 2.36% 8.23% 5.60% -0.67% -3.31% 0.09% 69.43% $2.8B 92.33 Conglomerates 6.95% 0.18% 3.95% 8.76% 5.14% 4.70% 6.56% 2.70% 2.45% 0.48% -0.06% 82.34% $4.9B 92.49 Containers and Glass Products 7.20% 5.07% 5.55% 5.97% 4.35% 5.33% 6.42% 1.43% 0.72% 0.24% 0.18% 92.03% $8.2B 89.56 Cosmetics - Toiletries NA NA NA NA 5.43% 6.23% 7.53% -3.47% -0.62% -1.60% 0.33% 77.89% $3.9B 84.09 Ecological Services and Equipment 5.43% 8.15% 4.42% 0.91% 4.04% 5.71% 6.73% 2.09% 3.99% 1.68% 0.64% 58.63% $3.5B 93.20 Electronics - Electrical 0.95% 5.08% 2.29% 16.42% 6.70% 6.12% 7.19% 2.49% 0.48% -1.82% 0.01% 81.73% $15.8B 88.52 Financial Intermediaries 5.35% 19.57% 4.96% 5.63% 5.94% 4.81% 6.49% 2.38% 0.96% -0.31% 0.14% 75.59% $22.9B 90.86 Food Products 1.72% 9.66% 3.65% 7.65% 3.42% 1.53% 8.82% 1.90% 2.35% 0.97% 0.16% 73.69% $9.4B 91.72 Food Service 9.14% 6.56% 4.15% 4.67% 4.73% 5.45% 6.26% 1.47% -2.21% -2.93% -0.51% 82.12% $9.6B 88.52 Food and Drug Retailers -2.59% 12.82% 3.40% 6.64% 4.03% 4.85% 8.04% 2.22% 1.06% 0.05% 1.06% 56.77% $5.0B 91.24 Forest Products NA NA NA NA 4.70% 6.21% 6.80% 1.80% 5.13% 2.80% 0.36% 82.10% $11.3B 94.17 Healthcare 3.54% 21.31% 2.72% 5.54% 3.69% 5.06% 6.71% 2.82% 4.12% 1.43% 0.53% 70.14% $50.8B 93.30 Home Furnishings -19.61% 2.78% 4.13% 15.77% 7.10% 5.13% 7.00% -0.53% -8.90% -10.54% -1.78% 23.92% $4.2B 77.12 Industrial Equipment 8.02% 0.28% 4.93% 6.38% 4.36% 5.38% 6.95% 2.00% 5.97% 2.20% 0.86% 68.29% $7.2B 91.03 Leisure Goods-Activities -Movies 3.40% 9.72% 5.37% 5.95% 4.58% 5.79% 6.80% 2.10% -2.03% -3.24% -0.13% 76.94% $16.5B 87.81 Lodging and Casinos 9.75% 1.38% 3.29% 9.55% 6.73% 5.42% 6.72% 2.80% -5.14% -7.17% -1.06% 73.66% $22.8B 85.56 Nonferrous Metals - Minerals -0.62% -7.08% -2.54% 19.91% 9.52% 4.74% 7.33% 2.12% 5.52% 3.61% 0.51% 77.27% $4.2B 93.23 Oil and Gas NA NA NA NA 5.34% 5.31% 7.00% 4.62% 6.12% 2.56% -0.08% 122.81% $21.1B 93.98 Publising 7.32% -0.78% 10.01% 7.03% 4.32% 4.60% 7.27% 0.20% -8.34% -8.84% -1.75% 62.70% $32.7B 79.75 Radio and Television 8.68% 5.89% 3.71% 5.97% 3.49% 5.35% 6.90% 1.43% -2.31% -4.19% -0.69% 78.17% $20.7B 86.65 Retailers (Not Food and Drug) 2.84% 14.11% 6.58% 5.43% 4.41% 4.11% 7.66% 0.51% -1.92% -2.79% -0.63% 80.18% $16.9B 85.03 Surface Transport 7.19% 8.85% 4.26% 5.70% 9.19% 4.69% 7.19% -2.31% -5.98% -4.37% 0.40% 56.31% $5.2B 80.42 Telecom 7.76% -9.06% -2.30% 21.00% 3.52% 3.94% 7.38% 4.10% 6.63% 3.44% 0.44% 76.22% $33.1B 94.96 Utilities 9.48% 2.12% 3.16% 15.41% 5.71% 4.57% 8.03% 3.06% 3.41% 0.82% -0.18% 65.19% $37.5B 92.72 Total Index 4.99% 4.18% 1.91% 9.97% 5.17% 5.08% 6.77% 2.02% -0.19% -1.97% -0.13% 70.97% $520.8B 88.37



S&P/LSTA Index: Composite of Annual Performing Returns by Industry

2000 2001 2002 2003 2004 2005 2006 2007 LTM 8/31/08 YTD 8/31/08 Aug-08 Cumulative MV Avg BidIndustrials 3.20% 4.36% 6.29% 8.82% 6.21% 5.41% 6.96% 2.22% -2.67% -4.38% -0.07% 76.83% $73.6B 86.28Media 8.34% 7.99% 4.15% -0.77% 9.11% 5.22% 7.03% 0.61% -4.54% -5.54% -1.05% 72.95% $63.3B 82.78Aerospace and Defense 7.02% 6.64% 5.77% 4.84% 4.46% 5.54% 7.04% 4.06% 5.08% 0.75% 0.19% 82.63% $8.1B 93.20Automotive -3.39% 6.66% 6.21% 8.88% 5.79% 5.52% 7.42% 2.45% -8.07% -9.64% -1.49% 43.66% $28.1B 81.69Beverage & Tobacco NA NA NA NA 3.39% 5.51% 2.96% 1.97% 1.31% -0.51% 0.31% 27.60% $3.1B 90.61Building and Development 7.57% 5.96% 7.31% 4.82% 5.82% 5.65% 5.96% -2.22% -5.63% -4.24% -0.47% 71.73% $14.9B 82.85Business Equipment and Services 5.61% 3.25% -0.66% 8.85% 7.29% 5.63% 7.60% 2.31% 1.86% -0.28% -0.05% 42.86% $26.5B 90.12Cable and Satellite TV 8.03% 5.14% -12.03% 15.85% 7.04% 6.49% 7.05% 1.33% 2.31% 0.73% 0.39% 80.79% $17.2B 90.80Chemicals and Plastics 5.88% 5.54% 8.04% 10.44% 5.96% 5.47% 6.28% 2.83% -0.59% -1.98% 0.51% 99.79% $22.5B 88.55Clothing - Textiles 5.77% -3.70% 10.31% 3.02% 15.43% 2.36% 8.23% 5.82% -1.95% -4.74% 0.03% 57.00% $2.5B 91.95Conglomerates 6.95% 0.18% 2.56% 8.25% 5.17% 4.70% 6.56% 2.70% 2.45% 0.48% -0.06% 79.12% $4.9B 92.49Containers and Glass Products 7.20% 5.45% 4.89% 5.98% 4.35% 5.33% 6.42% 1.43% 0.72% 0.24% 0.18% 91.55% $8.2B 89.56Cosmetics - Toiletries NA NA NA NA 5.43% 6.23% 7.53% -3.47% -0.62% -1.60% 0.33% 77.89% $3.9B 84.09Ecological Services and Equipment 6.17% 7.71% 4.64% 8.45% 4.46% 5.71% 6.73% 2.41% 2.63% -0.20% 0.92% 69.40% $2.2B 90.85Electronics - Electrical 0.95% 1.14% 0.31% 14.49% 6.70% 6.18% 7.19% 2.49% 0.48% -1.82% 0.01% 68.77% $15.8B 88.52Financial Intermediaries 5.35% 19.57% 4.96% 5.63% 5.94% 4.15% 6.86% 2.01% 0.58% -0.58% 0.11% 74.01% $20.1B 89.80Food Products 1.35% 9.82% 4.25% 7.80% 3.43% 2.08% 7.41% 2.82% 2.76% 1.28% 0.11% 73.46% $8.9B 92.04Food Service 9.14% 6.56% 4.15% 4.67% 4.73% 5.53% 6.26% 1.47% -1.96% -2.68% -0.87% 82.72% $9.3B 90.96Food and Drug Retailers -6.38% 14.70% 3.38% 6.05% 4.03% 4.85% 8.04% 2.22% 1.06% 0.05% 1.06% 59.75% $5.0B 91.24Forest Products NA NA NA NA 4.73% 6.21% 6.80% 1.80% 5.14% 2.80% 0.38% 96.25% $10.8B 94.09Healthcare 2.80% 10.56% 4.64% 5.60% 3.97% 5.07% 6.73% 2.79% 3.85% 1.14% 0.50% 57.66% $49.3B 93.19Home Furnishings -8.33% 2.42% 6.26% 16.17% 7.10% 5.13% 7.00% -0.53% -8.90% -10.54% -1.78% 44.17% $4.2B 77.12Industrial Equipment 7.91% 1.31% 4.01% 7.03% 4.60% 5.62% 6.91% 1.88% 5.95% 2.11% 0.84% 69.77% $6.9B 90.71Leisure Goods-Activities -Movies 3.25% 5.10% 5.67% 6.04% 4.66% 5.79% 6.80% 2.05% -1.69% -2.89% 0.06% 70.50% $16.0B 88.14Lodging and Casinos 9.75% 1.86% 2.38% 9.72% 6.13% 5.43% 6.72% 2.07% -5.21% -7.11% -0.94% 71.13% $19.8B 86.00Nonferrous Metals - Minerals -0.62% -9.59% -2.53% 18.43% 9.52% 4.74% 7.33% 2.22% 5.52% 3.61% 0.51% 70.55% $4.2B 93.23Oil and Gas NA NA NA NA 5.44% 5.33% 7.06% 4.64% 6.30% 2.71% -0.06% 124.88% $20.6B 94.04Publising 7.42% -0.24% 10.42% 7.14% 4.34% 4.60% 7.27% -0.06% -7.59% -8.03% -1.80% 65.57% $32.2B 79.49Radio and Television 8.68% 5.89% 3.71% 6.00% 3.43% 5.35% 6.90% 1.21% -2.81% -4.63% -0.78% 76.90% $18.7B 85.59Retailers (Not Food and Drug) 3.59% 11.11% 6.58% 5.43% 4.41% 4.11% 7.66% 0.93% -0.89% -2.18% -0.54% 78.92% $16.5B 86.09Surface Transport 7.19% 8.85% 4.26% 6.07% 9.07% 4.72% 6.96% -3.12% -6.72% -4.67% 0.00% 54.61% $4.0B 82.19Telecom 7.74% -6.82% -2.34% 20.05% 4.91% 5.25% 7.41% 4.00% 6.66% 3.53% 0.45% 84.02% $31.0B 94.82Utilities 9.39% -0.18% 5.75% 16.05% 5.66% 4.42% 7.03% 3.46% 3.52% 0.83% -0.18% 65.10% $37.5B 92.72Total Index 5.14% 3.34% 2.63% 9.78% 5.29% 5.28% 6.93% 1.99% -0.01% -1.80% -0.15% 71.73% $489.4B 88.62



-4%

-2%

0%

2%

4%

6%

8%

Indus

trials

Media

Aerosp

ace a

nd D

efense

Automoti

ve

Bevera

ge &

Tobac

co

Buildin

g and

Dev

elopm

ent

Busines

s Equ

ipmen

t and

Service

s

Cable

and S

atellite

TV

Chemica

ls and

Plastic

s

Clothing

- Tex

tiles

Conglo

merates

Contai

ners

and G

lass P

roduc

ts

Cosmeti

cs - T

oiletr

ies

Ecologic

al Serv

ices a

nd Equ

ipmen

t

Electro

nics -

Electrica

l

Financia

l Interm

ediarie

s

Food P

roducts

Food S

ervice

Food a

nd D

rug R

etaile

rs

Forest

Produc

tsHea

lthca

re

Home F

urnish

ings

Indus

trial E

quipm

ent

Leisu

re Goo

ds-A

ctivit

ies -M

ovies

Lodg

ing an

d Cas

inos

Nonfer

rous M

etals

- Minera

lsOil a

nd G

asPub

lishing

Radio

and T

elevis

ion

Retaile

rs (N

ot Foo

d and D

rug)

Surfac

e Trans

port

Teleco

mUtilit

ies


S&P/LSTA Index: Industry ReturnsAll Loans vs. Performing Loans

Aug-08



-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

Indus

trials

Media

Aerosp

ace a

nd D

efense

Automoti

ve

Bevera

ge &

Tobac

co

Buildin

g and

Dev

elopm

ent

Busines

s Equ

ipmen

t and

Service

s

Cable

and S

atellite

TV

Chemica

ls and

Plastic

s

Clothing

- Tex

tiles

Conglo

merates

Contai

ners

and G

lass P

roduc

ts

Cosmeti

cs - T

oiletr

ies

Ecologic

al Serv

ices a

nd Equ

ipmen

t

Electro

nics -

Electrica

l

Financia

l Interm

ediarie

s

Food P

roducts

Food S

ervice

Food a

nd D

rug R

etaile

rs

Forest

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S&P/LSTA Index: Industry ReturnsAll Loans vs. Performing Loans

1/1 – 8/31/08



Standard & Poors LCD Contact Info

Standard & Poor’s Leveraged Commentary & Data Group, 55 Water Street, 47th Floor, New York, New York 10041; Phone: (212) 438-2701; Fax: (212) 438-2702Comps Service: Steven Miller, Managing Director, (212) 438-2715, [email protected]; Tim Cross, Director, (212) 438-2724, [email protected]; Ruth Yang, Director, (212) 438-2722, [email protected]; Robert Polenberg, Director, (212) 438-2717, [email protected]; Neslyn D’souza, Associate, (212) 438-2708, neslyn_d'[email protected]; Sucheet Gupte, Associate Director, +44-20-7176-7235, [email protected]; Marina Lukatsky, Ratings Analyst, (212) 438-2709; marina_ [email protected]; Miyer Levy, Index Manager, (212) 438-2714, [email protected]; Amy Lempert, Analyst, (212) 438-2712, [email protected]; Jency Hom, Analyst, (212) 438-2706, [email protected]; Lan Lecour, Office Administrator, (212) 438-2711, [email protected]; Gail Dookie, Data Collector, (212) 438-2705, [email protected] ; Lisa Hansen, Analyst, (212) 438-3295, [email protected]; Asif Mansoor, Analyst, (212) 438-5837, [email protected]; Philip Keffer, Analyst, (212) 438-6416, [email protected] ; Asha Rao, Analyst, (212) 438-2710, [email protected] ; Rich Woyma, Analyst, (212) 438-5840, [email protected] & Marketing: Marc Auerbach, Director, (212) 438-2703, [email protected]; Liz Ihle, Sales Manager, (212) 438 3298, [email protected] ; Darren D’Souza, Analyst, (212) 438-2720, [email protected]. Editorial: Chris Donnelly, Vice President, (212) 438-5094, [email protected]; Matthew Fuller, Associate, (212) 438-2050, [email protected]; Krista Giovacco, Associate Editor, (212) 438-2704, [email protected]; Brian Manning, Associate Editor, (212) 438-1462, [email protected]; Kelly Gruel Thompson, Senior Editor, (312) 233-7054, [email protected]; Paddy Hirsch, Associate, (310) 470-2805, [email protected]; Sarah Husband, Senior Editor, +44 020 7176 3928,[email protected]; Ruth McGavin, Senior Editor, +44 0207-176-3924, [email protected]; Kate Haywood, Senior Editor, +44 0207 1763 994, [email protected]; Abigail Latour, Assistant Editor, (212) 438-7121, [email protected] Systems: Mohan Basavaraj, Senior System Analyst, (212) 438-2721, [email protected]; Ella Portnoy, Senior System Analyst, (212) 438-2718, ella_ [email protected]; Elena Goncharoff, System Analyst, (212) 438-2719, [email protected]; Julia Lifton, System Analyst, (212) 438-2713, [email protected];

Standard & Poor’s Bank Loan Rating Contact InformationU.S.: Steven Bavaria, Vice President, (212) 438-7884, [email protected]; Ken Pfeil, Director, (212) 438-7889, [email protected]; David Hauff, Director, (212) 438-2731, [email protected]: Paul Watters, Director, +44 0207-826-3542, [email protected] 2008 © Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. Data are from sources believed to be accurate, but S&P does not guarantee their accuracy.


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