LSTA

S&P/LSTA Leveraged Loan Index
August 2008 Review

Standard & Poor’s LCD
Steve Miller, (212) 438-2715, steve_miller@standardandpoors.com
Robert Polenberg (212) 438-2717, robert_polenberg@standardandpoors.com
Miyer Levy (212) 438-2714, miyer_levy@standardandpoors.com
Rich Woyma (212) 438-5840, rich_woyma@standardandpoors.com
LSTA
Allison Taylor, (646) 637-9176, ataylor@lsta.org
Ted Basta, (212) 880-3005, tbasta@lsta.org
September 3, 2008
Copyright 2008 Standard & Poor's, a division of the McGraw-Hill Companies, Inc. 1
FOIA CONFIDENTIAL TREATMENT REQUESTED BY LBEX-DOCID 4404712

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%.

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.

Big 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

Table of Contents
• 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

Table of Contents
–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. 87
Covenant-Lite Outstandings by Industry Aug–08 p. 88

Table of Contents
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

Table of Contents
•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

Inclusion 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

Data Sources
Overview
• 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

General Characteristics

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM Aug-08 YTD Aug-08 Aug-08
Number of Facilities 283 438 451 462 455 563 676 786 973 1131 1131 1131 1131
Par 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 $589.28B
Average 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 88.37
Average 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 $520.77B
Index 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%
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.

BB Rated Loan Index
Average 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 91.83
Index 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%
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.

Single B Rated Loan Index
Average 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 85.86
Index 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%
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.

Performing Loan Index
Average 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 88.62
Index 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%
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 directly
following the default.

Par Amount of Outstanding Loans by Facility Rating
As of Aug-08
Comprises all loans in the Index tracked in the LSTA/LPC mark-to-market service
CC
C 0% D
BBB BBB-
0% 2%
1% 3%
BBB+
CCC- 0% BB+
NR
0% 7%
10%
CCC BB
1% 17%
CCC+
3%
B- BB-
4% 24%
B
9%
B+
19%
Total par amount: $589.28 billion

Par Amount of Outstanding Loans by Corporate
Rating
As of Aug-08
BBB-
NR BB+
0%
12% 1%
CC BB
BBB
0% 5%
0% BB-
CCC- D
0% 2% 12%
CCC
0%
CCC+
2%
B+
B- 29%
15%
B
22%
Total par amount: $589.28 billion

Par Amount of S&P/LSTA Index Loans by Industry
As of Aug-08
Aerospace and Defense Automotive Broadcast radio and

1.7% 6.6% television
Utilities 4.0% Other
6.9% Air Transport 1.10%
Beverage and tobacco 0.63%
Building and Development Brokerage/securities dealers/investment houses 0.26%
Telcommunications 3.8% Clothing/Textiles 0.51%
5.9%
Conglomerates 0.91%
Business equipment and Containers and glass products 1.58%
Retailers (other than services Cable television Cosmetics/Toiletries 0.79%
food/drug) 5.0% Drugs 0.41%
3.9%
3.4% Ecological services and equipment 0.63%
Publishing Equipment leasing 0.46%
7.0% Farming/agriculture 0.16%
Chemical/Plastics Food/drug retailers 0.92%
4.6% Home furnishings 0.93%
Other Industrial equipment 1.35%
13.5% Insurance 0.78%
Nonferrous metals/minerals 0.76%
Electronics/electric Rail industries 0.17%
Oil and gas 3.0% Steel 0.08%
3.8% Surface transport 1.10%
Financial Intermediaries
Leisure 4.3%
3.2%
Forest products Food products
Hotels/motels/inns and Health care 2.0% 1.7%
casinos 9.2% Food service
4.5% 1.8%
Total par amount: $ 589.28 billion

Results

S&P/LSTA Index: Composite of Annual
Results
1997 1998 1999 2000
Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of Facilities Returns Par Amount # of Facilities
All Loans 7.59% $26.77B 173 5.25% $54.52B 283 3.65% $90.19B 438 4.99% $100.50B 451
BB Loans 7.95% $5.92B 30 5.40% $11.94B 59 5.11% $36.62B 126 6.67% $43.57B 146
B Loans 7.39% $9.86B 66 4.27% $18.95B 115 -1.16% $22.91B 163 3.01% $26.02B 152
Performing Loans 7.57% $26.27B 169 5.34% $54.05B 280 3.58% $84.78B 421 5.14% $89.42B 395
2001 2002 2003 2004

All Loans 4.18% $104.26B 462 1.91% $112.18B 455 9.97% $134.84B 563 5.17% $190.85B 676
BB Loans 3.54% $43.96B 148 2.56% $51.00B 170 6.87% $64.64B 213 4.23% $83.19B 234
B Loans 1.20% $28.26B 162 3.91% $27.77B 130 12.42% $37.43B 156 5.63% $74.15B 254
2005 2006 2007 Cumulative

All Loans 5.08% $246.14B 786 6.77% $397.60B 973 2.02% $554.37B 1131 70.97% $589.28B 1131
BB Loans 4.69% $90.05B 220 6.19% $150.22B 248 2.36% $277.15B 430 72.13% $281.84B 404
B Loans 5.44% $100.06B 318 7.40% $169.60B 427 1.10% $167.81B 332 58.96% $192.17B 344

S&P/LSTA Index: Total Index vs Market Value Index Returns
by Year
1997 to Aug-08
Total Index Returns

1997 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 Returns

1997 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%

S&P/LSTA Index: Total Returns by Year
1997 to Aug-08
15%
9.8%
10%
7.6%
6.7%
5.3% 4.9% 4.2% 5.1% 5.0%
5%
3.6%
1.9% 2.0%
0%
-2.0%
-5%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Jan-Aug Sep-Dec

S&P/LSTA Index: Total Returns by Year
1997 to Aug-08
20%
15%
10.0%
10% 7.6%
5.0% 6.8%
1.7% 5.3% 3.7% 5.2% 5.1% 2.0%
4.2% 8.8% 1.8% -0.2%
5% 1.5%
6.6% 0.9% 1.9% 3.3%
5.9% 5.5% 5.6% 5.0% 5.3%
3.3% 0.1% 3.6% 3.8%
1.8% 1.2% 1.9%
0% -0.2% -1.6%
-2.0% -3.2% -4.0%
-5%
-10%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM
Aug-08
LIBOR Return over LIBOR

S&P/LSTA Index: BB Returns by Year
1997 to Aug-08
20%
15%
10% 8.0%
6.7% 6.9% 6.2%
2.1% 5.4% 5.1% 0.1% 2.4%
4.2% 4.7% 1.2% 1.7%
5% 3.5%
2.6% 5.7% 1.1%
5.9% 5.5% 5.6% 6.6% 0.2% 2.4%
0.8% 5.0% 5.3% 3.8%
3.3% 3.6%
1.8% 1.2% 1.9%
0% -0.1% -0.5%
-2.9% -2.1%
-5%
-10%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM
Aug-08

S&P/LSTA Index: B Returns by Year
1997 to Aug-08
20%
15%
12.4%
10%
7.4% 7.4%
3.0%
1.5% 4.3% 11.2% 5.6% 5.4% 1.1%
2.5%
5% 1.2% 3.9%
1.9%
6.6% 3.8%
5.9% 5.5% 5.6% 2.1% 5.0% 5.3%
3.3% 3.6% 3.8%
1.8% 1.2% 1.9%
0% -1.2% -2.1%
-3.6% -4.2%
-5.4%
-6.8%
-5%
-1.6%
-1.2%
-10%
-15%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LT M Aug-
08

S&P/LSTA Index: Performing Returns by Year
1997 to Aug-08
20%
15%
9.8%
10% 7.6%
5.1% 6.9%
1.7% 5.3% 3.6% 5.3% 5.3% 2.0%
8.6% 2.0%
5% 3.3% 2.6% 1.7%
5.9% 5.5% 5.6% 6.6% 0.0% 3.4% 5.3%
3.3% 0.9% 3.6% 5.0% 3.8%
1.8% 1.2% 1.9%
0% -0.1% -1.4%
-2.0% -3.3% -3.8%
-5% 0.0%
-10%
-15%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM
Aug-08

S&P/LSTA Index: Total Returns
All Loans vs. Performing Loans
1997 to Aug-08
12%
10.0%
9.8%
10%
7.6%7.6%
8% 6.8% 6.9%
6% 5.3%5.3% 5.0% 5.1% 5.2% 5.3% 5.1%5.3%
4.2%
3.7% 3.6%
4% 3.3% 2.6%
1.9% 2.0% 2.0%
2%
0% -0.1%-0.2%
-2% -2.0% -1.8%

-4%
-6%
-8%
97
98
99
00
01
02
03
04
05
06
07
08
08
19
19
19
20
20
20
20
20
20
20
20
g-
g-
Au
Au
D
YT
All Loans Performing Loans

S&P/LSTA Index: Total Returns
by Current BB and Single B Rating
1997 to Aug-08
16%
12.4%
12%
8.0% 7.4%
8% 7.4%
6.7% 6.9%
5.6% 5.4% 6.2%
5.4% 5.1% 4.2%
4.3% 4.7%
3.9%
4% 3.0% 3.5% 2.6% 2.4%
1.2% 1.1%
0.0%
0%
-0.3% -0.3%
-1.2%
-4% -3.1%
-8%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 YTD Aug-08
Aug-08
BB Loans B Loans

S&P/LSTA Index: Total Returns by Quarter
Q1-01 to 3ME Aug-08
6%
4%
2%
0%
-2%
-4%
-6%
-8%
8
01
01
02
02
03
03
04
04
05
05
06
06
07
07
08
-0
1-
3-
1-
3-
1-
3-
1-
3-
1-
3-
1-
3-
1-
3-
1-
ug
Q
A
E
3M
All Loans Performing Loans BB Loans B Loans

Annual Returns versus Other Asset Classes
1997 – Aug-08
Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch
150%
90%
30%
-30%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM YTD 3ME Aug-08 Cum
Aug-08 Aug-08 Aug-08
S&P/LSTA Index S&P 500 ML High Yield (H0A0) ML Higrade Corp (C0A0) 10YR Treasuries (GA10)

Monthly Returns versus Other Asset Classes
Feb-03 - Aug-08
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
-8.0%
-10.0%
N 3
N 4
N 5
N 6
N 7
8
3
A 4
A 5
A 8
3
7
M 4
M 5
M 6
M 7
M 8
M 3
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
0
0
0
b-
b-
b-
b-
b-
b-
ug
ug
ug
ug
ug
ug
ov
ov
ov
ov
ov
ay
ay
ay
ay
ay
ay
Fe
Fe
Fe
Fe
Fe
Fe
A
S&P/LSTA Index Perf. Loan Index S&P 500 ML High Yield (H0A0)

S&P/LSTA Index Levels
1/1/97 to 8/31/08
1,800
BB Loans
1,700 All Loans
Perf. Loans
1,600
B Loans
1,500
1,400
1,300
1,200
1,100
1,000
900
D 7
D 8
D 9
D 0
D 1
D 2
D 3
D 4
D 5
D 6
D 7
08
6
7
9
0
-9
-9
-9
-9
-0
-0
-0
-0
-0
-0
-0
-0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
D

S&P/LSTA Index Levels
Market Value Only (Excludes Interest)
1/1/97 to 8/31/08
1,100
Note: the index is monthly until 1/1/99; set at 1000 at 12/1/96
1,000
900
BB Loans
800
All Loans
Perf. Loans
700 B Loans
600
D 7
D 8
D 9
D 0
D 1
D 2
D 3
D 4
D 5
D 6
D 7
08
6
7
9
0
-9
-9
-9
-9
-0
-0
-0
-0
-0
-0
-0
-0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
ec
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
D

D
Mec-9
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
a 7
Ju r-98
Se n-9
D p-9 8
Mec-98
a 8
Ju r-99

Sen-9
D p-9 9
Mec-99
a 9
Ju r-00
Se n-0
D p-0 0
Mec-00
FOIA CONFIDENTIAL TREATMENT REQUESTED BY

a 0
Ju r-01
Sen-0
D p-0 1
Mec-01
a 1
Ju r-02
Sen-0
D p-0 2
Mec-02
a 2
Ju r-03
Se n-0
Copyright 2008 Standard & Poor's, a division of the McGraw-Hill Companies, Inc.
D p-0 3
Dec-97 to Aug-08
Mec-03
a 3
Ju r-04
Se n-0
D p-0 4
Mec-04
a 4
Ju r-05
Se n-0
D p-0 5
Mec-05
a 5
Ju r-06
Se n-0
D p-0 6
Mec-06
a 6
Ju r-07
Se n-0
S&P/LSTA Index Volatility of Returns
D p-0 7
Average 12-Month Lagging Standard Deviation of Returns
e
M c-07
a 7
Ju r-08
n-
35
08
LBEX-DOCID 4404712
S&P/LSTA Index Returns: All Loans
Lagging 12-month Total Returns
Dec-98 to Aug-08
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
Ju -99
Ju -00
Ju -01
Ju -02
Ju -03
Ju -04
Ju -05
Ju -06
Ju -07
8
D p-99
D p-00
e 1
D p-02
D p-03
e 4
e 5
D p-06
e 7
Se -99
Se -00
Se -01
Se -02
Se -03
Se -04
Se -05
Se -06
Se -07
M c-98
M c-99
M c-00
M c-01
M c-02
M c-03
M c-04
M c-05
M c-06
M c-07
D p -0
D p -0
D p -0
D p -0
-0
ar
ar
ar
ar
ar
ar
ar
ar
ar
ar
n
n
e
e
D

S&P/LSTA Index Returns: Performing Loans
Lagging 12-month Total Returns
Dec-98 to Aug-08
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
Ju -99
Ju -00
Ju -01
Ju -02
Ju -03
Ju -04
Ju -05
Ju -06
Ju -07
Ju -08
e 9
e 0
e 1
e 2
e 3
e 4
e 5
e 6
e 7
Se -99
Se -00
Se -01
Se -02
Se -03
Se -04
Se -05
Se -06
Se -07
08
M c-98
M c-99
M c-00
M c-01
M c-02
M c-03
M c-04
M c-05
M c-06
M c-07
D p-9
D p-0
D p-0
D p-0
D p-0
D p-0
D p-0
D p-0
D p-0
n-
ar
ar
ar
ar
ar
ar
ar
ar
ar
ar
n
n
e
D

S&P/LSTA Index: All Loans
Average Bid price
Jan-97 to Aug-08
105
100
95
90
85
80
7
8
97
98
99
00
01
02
03
04
05
06
07
08
l -9
l -9
l -9
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

S&P/LSTA Index: BB Loans
Average Bid price
Jan-97 to Aug-08
105
100
95
90
85
80
7
8
97
98
99
00
01
02
03
04
05
06
07
08
l -9
l -9
l -9
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

S&P/LSTA Index: B Loans
Average Bid price
Jan-97 to Aug-08
105
100
95
90
85
80
7
8
97
98
99
00
01
02
03
04
05
06
07
08
l -9
l -9
l -9
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

S&P/LSTA Index: Performing Loans
Average Bid price
Jan-97 to Aug-08
105
100
95
90
85
80
7
8
7
98
99
00
01
02
03
04
05
06
07
08
l -9
l -9
l -9
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
l -0
9
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

Risk/Return Profile

Average Annualized Monthly Return of S&P/LSTA
Index: Overall and by Rating
Jan-97 to Aug-08
10%
8%
6%
4.69% 4.68% 4.69%

3.96%
4%
2%
0%
ex
ex
x
de
de
d
d
In
In
In
In
an
A
BB
B
T
Lo
LS
rf.
P/
Pe
S&

Standard Deviation of Monthly Returns of
S&P/LSTA Index: Overall and by Rating
Jan-97 to Aug-08
2.0%
1.5%
1.01%
1.0%
0.81% 0.79%
0.73%
0.5%
0.0%
x
x
de
de
de
de
In
In
In
In
an
A
BB
B
T
Lo
LS
rf .
P/
Pe
S&

Sharpe Ratio S&P/LSTA Index: Overall and by
Rating
Jan-97 to Aug-08
2.00
1.00
0.36 0.39 0.37
0.08
0.00
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)
-1.00
x
x
de
de
de
de
In
In
In
In
an
A
BB
B
T
Lo
LS
rf .
P/
Pe
S&

Index versus Other Asset Classes
Jan-97 to Aug-08
Sources: Standard & Poor’s; S&P/LSTA Index; Merrill Lynch; Bloomberg
10%
8% 7.80%
6.30% 6.46%
6.10%
5.88% 5.89%
6%
4.69% 4.68% 4.69%
3.96%
4%
2%
0% 0)
0)
x
x
)
0)
x
ex
2)
)
A1
de
de
de
PX
0A
0A
A1
A
d
In
In
In
In
J0
(J0
(S
(H
(C
(G
s(
an
an
n
A
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a
B
LD
RP
T
nd
Lo
Lo
50
Lo
LS
EA
L
Bo
CO
IE
M
rf.
P
BB
B
P/
TR
Y
&
Pe
BB
S&
DE
H
S
R
IG
L
RA
Y
M
10
H
IG
L
M
H
L
M

S&P/LSTA Index versus Other Asset Classes
Jan-97 to Aug-08
5.0%
4.3%
4.0%
3.0%
2.0% 2.0% 2.1%
2.0%
1.6%
1.3%
0.8% 0.7% 1.0% 0.8%
1.0%
0.0%
0)
ex
)
x
)
)
ex
2)
)
A0
A1
0
de
de
PX
0A
A1
d
A
d
In
In
0
In
In
J0
(J0
(S
(H
(C
(G
ns
s(
an
n
A
0
a
B
LD
RP
T
nd
Lo
50
Lo
Lo
LS
EA
L
Bo
CO
IE
M
P
BB
B
P/
rf.
TR
Y
&
BB
S&
Pe
DE
H
S
R
IG
L
RA
Y
M
10
H
IG
L
M
H
L
M

Sharpe Ratio S&P/LSTA Index versus Other Asset
Classes
Jan-97 to Aug-08
1.00
0.75
0.55
0.39 0.50
0.50
0.36 0.37 0.38
0.31 0.27 0.30
0.25
0.08
0.00
-0.25
-0.50
0)
ex
1)
0)
x
2)
x
A0
de
de
PX
0A
de
0A
A1
nd
A
In
0
In
In
(J0
(S
sI
(H
(C
(J
(G
A
BB
an
s
0
B
LD
RP
T
nd
50
Lo
LS
EA
L
Bo
CO
IE
M
P
P/
rf .
TR
Y
&
BB
S&
Pe
DE
H
S
R
IG
L
RA
Y
M
10
H
IG
L
M
H
L
M

S&P/LSTA Index Volatility of Returns
Average 12-month Lagging Standard Deviation of Returns
Jan-06 to Aug-08
5.0%
4.0%
S&P 500 (SPX)

3.0%
10-yr Treasuries (GA10)

2.0% S&P/LSTA Index
ML High-Yield (H0A0)
1.0%
ML Higrade Corps (C0A0)
0.0%
6
8
6
06
8
06
07
06
07
08
8
l -0
l -0
l -0
-0
-0
-0
-0
-0
-0
-0
-
p-
p-
n-
n-
n-
ov
ov
ar
ar
ar
ay
ay
ay
Ju
Ju
Ju
Se
Se
Ja
Ja
Ja
M
M
N
N
M
M

Annual Standard Deviation of Monthly Returns
1997 – Aug-08
7%
6%
5%
4%
3%
2%
1%
0%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 LTM
Aug-08
S&P/LSTA Index S&P 500 ML High Yield (H0A0) ML Higrade Corp (C0A0) 10YR Treasuries (GA10)

Worst five months for S&P/LSTA Index Loans versus
Other Asset Classes
Jan-97 – Aug-08
Leveraged Loan ML High Yield S&P 500 ML Higrade Corp

Index Monthly Monthly Returns Monthly Returns Monthly Returns
Returns (H0A0) (SPX) (C0A0)
Sep-01 -1.52 % -6.42 % -8.08 % 0.28 %
Jul-07 -3.35% -3.14% -3.10% 0.28%
Nov-07 -1.39% -2.05% -4.18% 0.88%
Jan-08 -3.23% -1.36% -6.51% 1.18%
Feb-08 -2.51% -1.19% -3.25% 0.07%

Correlation of the S&P/LSTA Leveraged Loan Index with
Other Asset Classes
1997 - Aug-08
LEVERAGED LOANS Performing Loan Index HIGH YIELD 10YR TREAS S & P 500 HIGRADE CORP
S&P/LSTA Leveraged Loan Index 1.000 0.995 0.563 -0.310 0.287 0.028
Performing Loan Index 1.000 0.551 -0.313 0.300 0.017
ML HIGH YIELD 1.000 -0.089 0.530 0.357
ML 10YR TREAS 1.000 -0.245 0.834
S & P 500 1.000 0.046
ML HIGRADE CORP 1.000
2003 - Aug-08
LEVERAGED LOANS Performing Loan Index HIGH YIELD 10YR TREAS S & P 500 HIGRADE CORP
S&P/LSTA Leveraged Loan Index 1.000 0.999 0.646 -0.332 0.554 0.035
Performing Loan Index 1.000 0.638 -0.340 0.554 0.025
ML HIGH YIELD 1.000 0.006 0.641 0.411
ML 10YR TREAS 1.000 -0.244 0.877
S & P 500 1.000 0.050
ML HIGRADE CORP 1.000

S&P/LSTA Second-Lien Index

Par Amount of Outstanding of Second-Lien Loans
Source: Standard and Poor’s LCD and S&P/LSTA Leveraged Loan Index
$40B
$30B
$20B
$10B
$0B
Ap 6
Ap 7
Ap 8
Ap 4
O 4
Ap 5
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
l-0
l-0
0
l-0
l-0
l-0
0
-0
r-0
-0
r-0
-0
r-0
r-0
-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

Second-Lien Outstandings as a Percent of All Leveraged Loans
8%
6%
4%
2%
0%
Ap 6
Ap 7
Ap 8
Ap 4
O 4
Ap 5
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
l-0
l-0
0
0
l-0
l-0
l-0
0
-0
r-0
-0
r-0
-0
r-0
r-0
-0
r-0
n-
n-
n-
n-
n
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

Second Lien Outstandings by Industry
As of 8/31/08
Publishing
Other 4%
6%
Retailers (other than food/drug)
Oil and gas 1%
9% Telecommunications
Industrial equipment 4%
2%
Hotels/motels/inns and casinos Utilities

4% 7%
Home furnishings Aerospace and Defense

2% 2%
Health care
4% Air Transport
3%
Food products
1%
Financial Intermediaries
2%
Equipment leasing Automotive

5% 14%
Electronics/electric
7%
Cosmetics/Toiletries Broadcast radio and television
2% 2%
Building and Development

Containers and glass products
Cable television 5%
1%
Chemical/Plastics 3% Business equipment and
Clothing/Textiles
2% 3% services
4%

S&P/LSTA Index Returns
All Loans
Jan-04 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%
-6.0%
6
8
4
8
06
07
08
4
7
04
04
05
l -0
l -0
l -0
l-0
l-0
-0
-0
-0
-0
-0
-0
-0
-0
n-
n-
n-
n-
ct-
ct
ct
ct
n
pr
pr
pr
pr
pr
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
O
O
A
A
All Loans First-Lien Loans Second-Lien Loans

B-Rated Loans
Jan-04 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%
-6.0%
8
4
8
06
07
08
4
7
04
04
05
l -0
l -0
l -0
l-0
l-0
-0
-0
-0
-0
-0
-0
-0
-0
n-
n-
n-
n-
ct-
ct
ct
ct
n
pr
pr
pr
pr
pr
Ju
Ju
Ju
Ju
Ju
Ja
Ja
Ja
Ja
Ja
O
O
A
A
B-Rated Loans First Lien B-Rated Loans Second-Lien B-Rated Loans

All Loan Returns
15.0%
10.0%
5.0%
0.0%
-5.0%
-10.0%
08
8
8
04
05
06
07
0
0
20
20
20
20
20
20
20
1/
/
/
31
31
8/
8/
8/
M
TD
E
3M
LT
Y

B-Rated Loans
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
-8.0%
8
8
04
05
06
07
00
00
00
20
20
20
20
/2
/2
/2
31
31
31
8/
8/
8/
E
M
TD
3M
LT
Y
B-Rated Loans First Lien B-Rated Loans Second-Lien B-Rated Loans

Average Bid of Leveraged Loans
Excludes all loans trading at 70% of par or less and facilities in default
105
100
95
90
85
4
8
4
7
04
05
06
07
08
4
8
l- 0
l- 0
l- 0
l- 0
l- 0
-0
-0
-0
-0
r-0
r-0
r-0
r-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ap
Ap
Ap
Ap
Ap
Ja
Ja
Ja
Ja
Ja
O
O

Average Nominal Spread of Leveraged Loans
600
500
400
300
200
Ap 4
Ap 5
Ap 6
Ap 7
Ap 8
O 4
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
0
0
0
l-0
l-0
l-0
l-0
l-0
r-0
-0
r-0
-0
r-0
-0
r-0
-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

Average Discounted Spread of Leveraged Loans
1200
Assumes discount from par is amortized evenly over a three-year life.
1100
1000
900
800
700
600
500
400
300
200
Ap 4
Ap 5
Ap 6
Ap 7
Ap 8
O 4
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
0
0
0
l-0
l-0
l-0
l-0
l-0
r-0
-0
r-0
-0
r-0
-0
r-0
-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

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).

Average Bid of Single B Rated Leveraged Loans
105
100
95
90
85
80
4
8
4
7
04
05
06
07
08
4
8
l- 0
l- 0
l- 0
l- 0
l- 0
-0
-0
-0
-0
r-0
r-0
r-0
r-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ap
Ap
Ap
Ap
Ap
Ja
Ja
Ja
Ja
Ja
O
O

Average Nominal Spread of Single B Rated Leveraged Loans
600
500
400
300
200
Ap 4
Ap 5
Ap 6
Ap 7
Ap 8
O 4
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
0
0
0
l-0
l-0
l-0
l-0
l-0
r-0
-0
r-0
-0
r-0
-0
r-0
-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

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).
Average Discounted Spread of Single B Rated Leveraged Loans

1200
1100
1000
900
800
700
600
500
400
300
200
Ap 4
Ap 5
Ap 6
Ap 7
Ap 8
O 4
O 5
O 6
O 7
8
4
Ja 4
Ja 5
Ja 6
Ja 7
8
0
0
0
l-0
l-0
l-0
l-0
l-0
r-0
-0
r-0
-0
r-0
-0
r-0
-0
r-0
n-
n-
n-
n-
n-
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ja

S&P/LSTA Middle-Market Index

Par Amount of Outstandings of Middle-Market Leveraged Loans
Comprises all loans, including those not tracked in the LSTA/LPC mark-to-market service
Vast majority are institutional tranches
25
$20.7 $20.4 $19.0

20
$17.0
15
$10.6
10
$6.9 $7.0
$5.9 $6.1
$5.3
5 $3.4
$1.6
0
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-
08

Middle-Market Outstandings as a Percent of All Leveraged Loans
10%
8%
7.0%
5.5%
6%
5.3% 5.0% 4.7% 5.2%
4.6% 4.6% 4.7% 4.7%
3.7%
4%
3.2%
2%
0%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Aug-
08

105
100
95
90
85
Ja 7
Ja 8
Ja 9
Ja 0
Ja 1
Ja 2
Ja 3
Ja 4
Ja 5
Ja 6
Ja 7
8
97
98
99
00
01
Ju 2
03
04
05
06
07
08
l-9
l-9
l-9
l-0
l-0
l-0
l-0
l-0
l-0
l-0
l-0
l-0
0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ju
Ja
Middle Market Large Corporates

Average Nominal Spread of Leveraged Loans
400
350
300
250
200
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jul-97
Jul-98
Jul-99
Jul-00
Jul-01
Jul-02
Jul-03
Jul-04
Jul-05
Jul-06
Jul-07
Jul-08

Average Discounted Spread of Leveraged Loans
900

800
700
600
500
400
300
200
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jul-97
Jul-98
Jul-99
Jul-00
Jul-01
Jul-02
Jul-03
Jul-04
Jul-05
Jul-06
Jul-07
Jul-08
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).

Average Bid of Single B Leveraged Loans
105
100
95
90
85
Ju 8
Ju 9
Ju 0
Ju 1
Ju 2
Ju 3
Ju 4
Ju 5
Ju 6
Ju 7
Ju 8
Ja 8
Ja 9
Ja 0
Ja 1
Ja 2
Ja 3
Ja 4
Ja 5
Ja 6
Ja 7
8
9
0
0
0
l-9
l-9
l-0
l-0
l-0
l-0
l-0
l-0
l-0
l-0
l-0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ja

Average Nominal Spread of Single B Leveraged Loans
500
400
300
200
Ju 8
Ju 9
Ju 0
Ju 1
Ju 2
Ju 3
Ju 4
Ju 5
Ju 6
Ju 7
Ju 8
Ja 98
Ja 99
Ja 00
Ja 01
Ja 02
Ja 03
Ja 04
Ja 05
Ja 06
Ja 07
8
9
0
9
l-0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
l-
l-
l-
l-
l-
l-
l-
l-
l-
l-
Ja

assuming that the discounted margin is as a percent of the current market value than the par amount of the
loan).
Average Discounted Spread of Single B Leveraged Loans

1000 Assumes discount from par is amortized evenly over a three-year life.
900
800
700
600
500
400
300
200
Ju 8
Ju 9
Ju 0
Ju 1
Ju 2
Ju 3
Ju 4
Ju 5
Ju 6
Ju 7
Ju 8
Ja 98
Ja 99
Ja 00
Ja 01
Ja 02
Ja 03
Ja 04
Ja 05
Ja 06
Ja 07
8
0
0
9
l-0
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
l-
l-
l-
l-
l-
l-
l-
l-
l-
l-
Ja


Middle-Market Outstandings by Industry
As of 8/31/08
Broadcast radio and television
Aerospace and Defense
Telecommunications 7%
3%
2% Automotive
3%
Utilities
Building and Development
Retailers (other than food/drug) Surface transport 6%
2%
2% 3%
Business equipment and services

Cable television
5% 1%
Chemical/Plastics
Publishing 3%
9% Clothing/Textiles
3%
Other Conglomerates
4% 1%
Oil and gas Containers and glass products

4% 1%
Leisure Cosmetics/Toiletries
3% 4%
Industrial equipment Ecological services and

2% equipment
2%
Electronics/electric
3%
Hotels/motels/inns and casinos
Health care
3%
Home furnishings 9% Food products Financial Intermediaries
3% 5% 2%
Food service
4%

Middle-Market Outstandings by Rating
As of 8/31/08
45% Vast majority are institutional tranches
40%
40%
35%
30%
25%
25%
19%
20%
17%
15%
15% 13% 14%
10% 9% 9%
8% 7%
5% 4% 4% 4%
2% 3%
3% 2%
1% 0% 1%
0% 0% 0%0% 0%0% 0%0% 0% 0%0%
0%
B B- B+ BB BB- BB+ BBB BBB- BBB+ C CC CCC CCC- CCC+ D NR

Annual
Jan-97 to LTM Aug-08
20.0%
10.0%
0.0%
-10.0%
97
98
99
00
01
02
03
04
05
06
07
8
00
19
19
20
20
19
20
20
20
20
20
20
/2
31
8/
M
LT
Middle-Market Large Corporates

Middle-Market
Quarterly
Jan-97 to 3ME Aug-08
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
-8.0%
97
97
98
99
00
00
01
02
03
03
04
05
06
06
07
08
1Q
4Q
3Q
2Q
1Q
4Q
3Q
2Q
1Q
4Q
3Q
2Q
1Q
4Q
3Q
2Q

Quarterly
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
8
97
97
98
98
99
99
00
00
01
01
02
02
03
03
04
04
05
05
06
06
07
07
8/ 08
00
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
1Q
3Q
E 1Q
/2
31
3M
Middle-Market Large Corporates

Middle-Market
Monthly
Jan-97 to Aug-08
4.0%
3.0%
2.0%
1.0%
0.0%
-1.0%
-2.0%
-3.0%
-4.0%
-5.0%
7
Ap 8
Ap 1
Ap 4
Ap 7
Oc 7
Oc 0
Oc 3
Oc 6
Ja 9
Ja 2
Ja 5
8
t -9
l -9
l -0
l -0
t -0
t -0
t -0
l -0
9
0
r-9
r-0
r-0
r-0
n-
n-
n-
n-
Ju
Ju
Ju
Ju
Ja

S&P/LSTA Covenant-Lite Index

Par Amount of Outstandings of Covenant-Lite Leveraged Loans
$100.00
$75.00
$50.00
$25.00
$0.00
6
8
M 6
M 7
M 8
Ja 6
Ja 7
M 6
M 7
M 8
Se 6
Se 7
8
04
N 6
N 7
-0
-0
-0
-0
-0
-0
-0
-0
0
0
l-0
l-0
l-0
0
0
n-
n-
n-
c-
p-
p-
ay
ay
ay
ar
ar
ar
ov
ov
Ju
Ju
Ju
Ja
De

Covenant-Lite Outstandings as a Percent of All Leveraged Loans
20%
15%
10%
5%
0%
6
8
M 6
M 7
M 8
6
Ja 7
M 6
M 7
M 8
Se 6
Se 7
8
04
06
07
-0
-0
-0
-0
-0
-0
-0
-0
0
0
l-0
l-0
l-0
n-
n-
n-
c-
p-
p-
ay
ay
ay
ar
ar
ar
ov
ov
Ju
Ju
Ju
Ja
Ja
De

105
100
95
90
85
80
ec 6
ec 7
Ju 0 6
Ju 0 7
Ju 0 8
Au l-06
Au l-07
Au l-08
Ap -08
Ap -06
Ap -07
N t-06
N t-07
S e - 06
S e - 07
08
Fe -08
Fe -06
Fe -07
Ju -06
Ju -07
Ju -08
M -08
M -06
M -07
M r-06
M r-07
M r-08
O 06
Ja - 0 6
O 07
Ja - 0 7
D v- 0
D v- 0
n-
n-
n-
g-
p-
p-
g
g
ar
ar
ar
n
n
n
ay
ay
ay
b
b
b
c
c
o
o
Ja
Covenant-Lite All Other First-Lien

Average Nominal Spread of Covenant-Lite Leveraged Loans
275
250
225
200
175
6
8
6
8
6
7
06
07
08
6
8
06
07
-0
-0
-0
-0
-0
-0
-0
-0
l-0
l-0
l-0
n-
n-
n-
p-
p-
ay
ay
ay
ar
ar
ar
ov
ov
Ju
Ju
Ju
Ja
Ja
Ja
Se
Se
M
M
M
M
N
N Covenant-Lite All Other First-Lien

assuming that the discounted margin is as a percent of the current market value than the par amount of
the loan).
Average Discounted Spread of Covenant-Lite Leveraged Loans

900
800
700
600
500
400
300
200
100
0
6
8
6
8
6
7
06
07
08
6
8
06
07
-0
-0
-0
-0
-0
-0
-0
-0
l-0
l-0
l-0
n-
n-
n-
p-
p-
ay
ay
ay
ar
ar
ar
ov
ov
Ju
Ju
Ju
Ja
Ja
Ja
Se
Se
M
M
M
M
N
N
Covenant-Lite All Other First-Lien

Covenant-Lite Outstandings by Industry
As of 8/31/08
Aerospace and Defense
Telcommunications 3%
8% Automotive
5%
Retailers (other than food/drug)

Broadcast radio and television
11%
11%
Publishing
5%
Business equipment and

services
9%
Other
6%
Oil and gas Cable television

2% 4%
Nonferrous metals/minerals Chemical/Plastics

3% 6% Containers and glass products
2%
Leisure
2%
Cosmetics/Toiletries
Health care 1%
7%
Food/drug retailers Electronics/electric
1% Financial Intermediaries
5%
1%
Food service
4% Food products
3%

Covenant-Lite
Quarterly
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%
06
06
06
06
07
07
07
07
08
08
8
00
1Q
2Q
3Q
4Q
1Q
2Q
3Q
4Q
1Q
2Q
/2
31
8/
E
3M

Covenant-Lite
Monthly
Jan-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%
N 06
No 07
Se 6
Se 7
8
M 08
M 07
M 06
M 07
M 08
M 6
Ju 6
Ju 7
Ju 8
Ja 6
Ja 7
l -0
l -0
l -0
0
-0
-0
-0
0
-0
p-
p-
n-
n-
-
-
-
n-
v-
ar
ar
ar
ay
ay
ay
ov
Ja

Default and Distress Statistics

Distribution by Bid Price of the S&P/LSTA Leveraged Loan Index
As of Period-End
Dec-98 – Aug-08
100%
91% 90%
88%
85%
74%
75% 71%
65%
61% 60% 60%
55%
50%
25% 23%
25% 23% 21%
20%
16%
14%
11%12% 7%12% 11% 11%
7% 9% 7% 7%
6% 5% 4% 6%
4%
3%4% 3% 3% 3% 3% 4%
0%
0%1% 2%
2% 1% 1%
0% 1%
0% 0%
0% 0%
0% 1%
0% 0%
0% 0%
0% 0%
0%1% 1% 2% 0%
0%
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-End
Dec-98 – Aug-08
100%
91% 90% 91%
87%
76% 75%
75%
67% 66%
64% 61% 61%
50%
24% 23%
25% 24%
21% 18% 20%
11%13% 12% 12% 11%

7% 9%
6% 6% 5% 7%
4% 4% 3%
0%
0%1% 3%3%
1%2% 2%
2% 2%
2% 2%
2% 1%
0% 2%
0% 0%
0% 0%
0% 0%
0% 0%
0% 0%
0% 0%
0% 0%
0% 1% 1% 1% 0%
0%
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-end
Jan-98 – Aug-08
100%
90 or More
75%
50%
70 – 89.9
25%
Less than 70
0%
Ju -98
Ju -99
Ju -00
Ju -01
Ju -02
Ju -03
Ju -04
Ju -05
Ju -06
Ju -07
Ju -08
O l-98
O l-99
O l-00
O l-01
O l-02
O l-03
O l-04
O l- 05
O l-06
O l-07
8
Ja -98
Ja -99
Ja -00
Ja -01
Ja -02
Ja -03
Ja -04
Ja -05
Ja -06
Ja -07
A -98
A -99
A -00
A -01
A -02
A -03
A -04
A -05
A -06
A -07
A -08
l- 0
pr
pr
pr
pr
pr
pr
pr
pr
pr
pr
pr
n
n
ct
ct
ct
ct
ct
ct
ct
ct
ct
ct
Ja

Structure by Bid Price of the S&P/LSTA Leveraged Loans Index
(Excluding Defaulted Issuers)
As of Month-end
Jan-98 – Aug-08
100%
90 or More
75%
50%
70 – 89.9
25%
Less than 70
0%
Ju -98
Ja -98
Ju 99
Ja t -99
Ju -00
Ja -00
Ju -01
Ja t -01
Ju -02
Ja -02
Ju -03
Ja t -03
Ju -04
Ja -04
Ju -05
Ja t -05
Ju -06
Ja -06
Ju -07
Ja t -07
Ju -08
O l-98
O l-99
O l-00
O l-01
O l-02
O l-03
O -04
O l-05
O -06
O l-07
8
Ap -98
Ap -99
Ap -00
Ap -01
Ap -02
Ap -03
Ap -04
Ap -05
Ap -06
Ap -07
Ap -08
l-0
r-
r
r
l
l
ct
ct
ct
ct
ct
n
n
c
c
Ja

Weighted Average Rating
Excludes Not Rated and Defaulted Issuers
BB
BB-
B+
8
ug 8
2Q97
3Q97
4Q97
1Q97
2Q98
3Q98
4Q98
1Q98
2Q99
3Q99
4Q99
1Q99
2Q00
3Q00
4Q00
1Q00
2Q01
3Q01
4Q01
1Q01
2Q02
3Q02
1Q06
4Q02
1Q02
2Q03
2Q07
3Q07
4Q07
Ju 07
3Q03
4Q03
1Q03
2Q04
3Q04
4Q04
1Q04
2Q05
3Q05
4Q05
1Q05
2Q06
3Q06
4Q06
-0
A l-0
1Q

Percent of Loans Rated B or Lower
Excludes Not Rated and Defaulted Issuers
50%
40%
30%
20%
10%
0%
ug 8
8
2Q97
3Q97
4Q97
1Q97
2Q98
3Q98
4Q98
1Q98
2Q99
3Q99
4Q99
1Q99
2Q00
3Q00
4Q00
1Q00
3Q05
4Q05
2Q06
2Q01
4Q06
3Q01
4Q01
1Q06
2Q07
1Q01
2Q02
3Q07
4Q07
3Q02
4Q02
1Q02
J 07
2Q03
3Q03
4Q03
2Q04
3Q04
4Q04
1Q04
2Q05
1Q05
3Q06
1Q03
A ul -0
-0
1Q

Repayment Analysis

Repayment Rates - by Year
1997 - LTM 8/31/08
80%
71.4%
70%
60% 57.0%
50.0% 48.2% 49.0%

49.0% 48.0%
50% 46.4% 47.0%
41.9% 42.0% 43.0%
40% 34.2% 34.5%

36.0% 35.0%
34.0%
36.3%
30.3% 30.8%
30%
23.0% 23.0%
20%
12.1%
11.4%
10%
0%
8
97
98
99
00
01
02
03
04
05
06
07
/0
19
19
19
20
20
20
20
20
20
20
20
31
8/
M
LT
Repayment Rate Average Repayment Rate

Repayment Amounts - by Year
1997 - LTM 8/31/08
$175.0B
$149.1B
$150.0B
$125.0B
$110.7B
$100.0B $92.9B
$83.6B
$75.0B $66.9B $63.0B

$46.5B
$50.0B
$36.0B $36.5B $29.8B
$18.1B
$25.0B
$10.1B
$0.0B
8
97
98
99
00
01
02
03
04
05
06
07
/0
19
19
19
20
20
20
20
20
20
20
20
31
8/
M
LT

Repayment Rates - by Quarter
1Q97 – 3ME 8/31/08
18%
15%
12%
9%
6%
3%
0%
8
2Q97
3Q97
4Q97
1Q97
2Q98
3Q98
4Q98
1Q98
2Q99
3Q99
4Q99
1Q99
2Q00
3Q00
4Q00
1Q00
2Q01
3Q01
4Q01
1Q01
2Q02
3Q02
4Q02
1Q02
2Q03
3Q03
4Q03
1Q03
2Q04
3Q04
4Q04
1Q04
2Q05
3Q05
4Q05
1Q05
2Q06
3Q06
4Q06
1Q06
2Q07
3Q07
4Q07
3M 1Q 7
E 2Q08
31 8
/0
0
8/ 0
1Q

Repayment Amounts - by Quarter
1Q97 - 3ME 8/31/08
$75.0B
$70.0B
$65.0B
$60.0B
$55.0B
$50.0B
$45.0B
$40.0B
$35.0B
$30.0B
$25.0B
$20.0B
$15.0B
$10.0B
$5.0B
$0.0B
8
2Q97
3Q97
4Q97
1Q97
2Q98
3Q98
4Q98
1Q98
2Q99
3Q99
4Q99
1Q99
2Q00
3Q00
4Q00
1Q00
2Q01
3Q01
4Q01
1Q01
2Q02
3Q02
4Q02
1Q02
2Q03
3Q03
4Q03
1Q03
2Q04
3Q04
4Q04
1Q04
2Q05
3Q05
4Q05
1Q05
2Q06
3Q06
4Q06
1Q06
2Q07
3Q07
4Q07
3M 1Q07
E 2Q08
31 8
/0
8/ 0
1Q

Repayment Rates - by Month
Jan-01 – Aug-08
8%
6%
4%
2%
0%
Se 1
Se 2
Se 3
Se 4
Se 5
Se 6
Se 7
8
M 1
M 2
M 3
M 4
M 5
M 6
M 7
M 8
01
02
03
04
05
06
07
-0
-0
-0
-0
-0
-0
-0
-0
0
0
p-
p-
p-
p-
p-
p-
p-
n-
n-
n-
n-
n-
n-
n-
n-
ay
ay
ay
ay
ay
ay
ay
ay
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

Repayment Amounts - by Month
Jan-01 – Aug-08
$30.0B
$27.0B
$24.0B
$21.0B
$18.0B
$15.0B
$12.0B
$9.0B
$6.0B
$3.0B
$0.0B
Se 1
Se 2
Se 3
Se 4
Se 5
Se 6
Se 7
8
M 1
M 2
M 3
M 4
M 5
M 6
M 7
M 8
01
02
03
04
05
06
07
-0
-0
-0
-0
-0
-0
-0
-0
0
0
p-
p-
p-
p-
p-
p-
p-
n-
n-
n-
n-
n-
n-
n-
n-
ay
ay
ay
ay
ay
ay
ay
ay
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja

Duration and Maturity

Outstandings of Performing Loans by Year of Origination
As of 8/31/08
2003 2004
1% 3%
2008 2005
8% 9%
2006
30%
2007
49%

Weighted Average Age of Outstanding
Institutional Loans
Performing Loans
40
30
24.2
23.0
20.5
20 18.6
17.2
14.1 14.7
12.2 12.8 12.1
10.5
10
0
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

Institutional Loans
BB Rated
40
30
22.4
20.3
19.4
20
16.8
15.1
13.1 13.6
12.4 11.7 12.3
11.0
10
0
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

Institutional Loans
B Rated
40
30 29.0
26.7
22.8
20.5 19.6
20
16.8
13.3 13.1 12.9

11.8
10 8.9
0
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

Percent of Institutional Outstandings Older than Two Years
Performing Loans
70%
60%
50%
40%
30%
48%
45%
20%
26% 26% 29%

10%
16% 15%
10% 11% 12%
9%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

BB-Rated
70%
60%
50%
40%
30%
20% 40%
34%
29%
10% 18% 18%
15% 16% 14% 14%
12%
7%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

B-Rated
80%
70%
60%
50%
40%
30% 60% 62%
20% 38%
34%
25% 25%
10%
9% 12% 9%
8% 6%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 As of
8/31/08

Distribution by Year of Maturity
All Loans
As of 8/31/08
50%
Excludes Defaulted Facilities
39%
40%
29%
30%
20%
14%
9%
10%
5%
2%
1% 0% 1%
0%
2009 2010 2011 2012 2013 2014 2015 2016 NA

First-Lien Loans
As of 8/31/08
50%
Excludes Defaulted Facilities
40% 39%
30%
30%
20%
14%
10% 8%
5%
3%
0% 0% 1%
0%
2009 2010 2011 2012 2013 2014 2015 2016 NA

Second-Lien Loans
As of 8/31/08
50%
Excludes Defaulted Facilities 45%
40%
30%
22%
20%
16%
10% 8%
3% 3%
2%
0%
0%
2009 2010 2011 2012 2013 2014 2015 NA

Returns by Industry

S&
P/
LS
TA
0%
2%
4%
6%
8%
10%
Ae In Ind
ro du ex
sp st
a ce ria
Bu l
sin Bu an M s
es ild d ed
s ing D ia
Eq a A efe
4.7%4.8%4.5%
u i nd ut ns
pm D om e
5.2%
Ca ent eve otiv
b a lo e

Ch le nd pm
a
3.0%
em nd Se en
ica Sa rvic t
4.7%
ls te es
Co Cl a n llite
3.2%
Ec n ot d
ol tain hi Pl TV
og e ng as
ica rs C - t ic 5.1%
l S an o n Te x s
6.0%
er d G glo tile

vi
ce las me s
4.7%
El s a s P r at
ec n ro es
Fi tro d E du
q c
5.2%
na ni
n c cs uip ts
ia - E m
e
5.7%
lI
n t lec nt
er tri
4.2%
Fo me cal
Fo od dia
5.3%
od P r ie
a n Fo ro d s
5.0%
d od uc
Dr S ts
u g er
4.8%
Le Re vice
isu Ho H ta
il
5.2%
Jan-97 to Aug-08
re I m e a er
G ndu e F lth s
4.0%
o o s u ca
ds tria rnis r e
- l h
4.6%
No L Act Eq ing
Index by Industry
nf o d ivit u ip s
er gi ie m
2.0%
ro ng s - en
us a M t
M n d ovi
et e
al C as s
Re s i
ta - M no
ile Ra d in s
rs io Pu era
(N a b l
ot nd lish s
4.8%4.9%4.9%5.0%
Fo Te in
o l g
Su d a evi
s
4.3%
rfa nd io
ce D n
5.1%
Tr r ug
an )
s
5.3%
Te por
le t
3.9%
co
Ut m
i li t
5.0%
ie
s
117
4.5%
LBEX-DOCID 4404712
S&
P/
LS
T
A
0%
2%
3%
Ae In Inde
ro du
sp st x
a c ria
1% 0.8%
Bu e
sin Bu an M ls
es ild d ed
s ing D ia
Eq a A efe
ui n u n
0.9% 1.0%
pm d D tom se
0.6%
Ca ent eve otiv
b a lo e

Ch le nd pm
1.6%
em and Se en
ica Sa rvic t
0.8%
ls te es
C Cl a n llite
1.6%
Ec o n ot d P T
ol tain hi V
og e n g la s
ica rs C - t i c
l S an o n Te x s 1.2%1.2%

er d G glo tile
vi
ce las me s
1.7%
El s a s P r at
ec n ro es
Fi tro d E du
0.9%
na nic qu cts
nc s ip
ia - E m e
0.8%
lI l
n t ec nt
er tri
1.6%
Fo me cal
Fo od dia
od Pr r ie
a n Fo o d s
1.4%1.4%
d od uct
Dr S s
u g er
0.9%
Le Re vice
H t
Jan-97 to Aug-08
isu o H ail
0.9%
re In me e al ers
G du F th c
oo s ur a
ds tria nis r e
-A l E h i
1.2%1.2%
No L ct q ng
nf o d ivit u ip s
er gi ie m
2.2%
ro ng s - en
us a M t
1.2%
M n d ovi
et e
al C as s
Re s i
0.8%
- M no
ta R
S&P/LSTA Index by Industry
ile a d in s
rs
1.2%
io Pu era
(N an bl ls
ot d ish
1.4%
Fo Te in
o l g
Su d a evis
1.0%
rfa nd ion
ce D
0.9%
Tr r ug
an )
s
Te por
le t
co
1.1%1.1%
Ut m
il it
1.6%
ie
s
118
1.2%
LBEX-DOCID 4404712
S&
P/
LS
TA
-0.50
0.00
0.50
1.00
Ae I
In nde
ro du x
sp st
ac ria
Bu e ls
an M
0.36 0.36
sin Bu
i d ed
es ldi
n D i
s e a
0.23
Eq g a Au fen
u i nd s
pm D tom e
e o
0.71
Ca ent ve tive
b a lop
m
(0.12)
Ch le a nd

em nd Se ent
r
0.36
ica Sa vic
ls te es
l
Co Cl a nd lite
(0.08)
Ec nt ot P T
hi la V
ol ain
og e n g st 0.34
ica rs Co - T ics
lS n a n e x
0.57
er d G glom tile
s

vi
ce las er
s a
0.17
El s t
ec a nd Pro es
t r E d u
0.49
Fi o
na nic qu cts
nc s ip
0.74
ia - E m e
lI
n t lec nt
0.08
er tric
Fo me al
od dia
0.34
Fo
od Pr r ie s
F
0.28
a n oo o du
d d c
Dr S ts
e
0.37
ug rv
Re ice
Le
Jan-97 to Aug-08
0.52
Ho H tai
isu e le
re In me al rs
0.07
G du Fu th c
o o st r a
ds ria nis r e
0.24
-A l E h in
No L ct qu gs
nf o d iviti ipm
(0.22)
er gi es en
ro ng -
us an Mo t
0.27
M v
et d C ies
al as
0.46
Re s
- M in o
ta Ra in s
ile d P e
0.30
rs io u ra
(N an bli ls
sh
0.29
ot d
Fo Te ing
o l e
0.17
S u d a v is
rfa nd ion
ce D
0.47
Sharpe Ratio S&P/LSTA Index by Industry
Tr r ug
an )
s
0.44
Te por
0.06
le t
co
Ut m
0.25
119
i li t
ie
s
0.19
LBEX-DOCID 4404712
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 Bid
Industrials 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 Bid
Industrials 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 86.28
Media 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 82.78
Aerospace 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 93.20
Automotive -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 81.69
Beverage & Tobacco NA NA NA NA 3.39% 5.51% 2.96% 1.97% 1.31% -0.51% 0.31% 27.60% $3.1B 90.61
Building 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 82.85
Business 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 90.12
Cable 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 90.80
Chemicals 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 88.55
Clothing - 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 91.95
Conglomerates 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 92.49
Containers 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 89.56
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 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 90.85
Electronics - 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 88.52
Financial 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 89.80
Food 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 92.04
Food 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 90.96
Food 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 91.24
Forest Products NA NA NA NA 4.73% 6.21% 6.80% 1.80% 5.14% 2.80% 0.38% 96.25% $10.8B 94.09
Healthcare 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 93.19
Home 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 77.12
Industrial 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 90.71
Leisure 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 88.14
Lodging 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 86.00
Nonferrous 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 93.23
Oil and Gas NA NA NA NA 5.44% 5.33% 7.06% 4.64% 6.30% 2.71% -0.06% 124.88% $20.6B 94.04
Publising 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 79.49
Radio 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 85.59
Retailers (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 86.09
Surface 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 82.19
Telecom 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 94.82
Utilities 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 92.72
Total 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

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LBEX-DOCID 4404712
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) 438-2702
Comps Service: Steven Miller, Managing Director, (212) 438-2715, steven_miller@standardandpoors.com; Tim Cross, Director, (212) 438-2724, tim_cross@standardandpoors.com; Ruth Yang, Director, (212)
438-2722, ruth_yang@standardandpoors.com; Robert Polenberg, Director, (212) 438-2717, robert_polenberg@standardandpoors.com; Neslyn D’souza, Associate, (212) 438-2708,
neslyn_d'souza@standardandpoors.com; Sucheet Gupte, Associate Director, +44-20-7176-7235, sucheet_gupte@standardandpoors.com; Marina Lukatsky, Ratings Analyst, (212) 438-2709; marina_
lukatsky@standardandpoors.com; Miyer Levy, Index Manager, (212) 438-2714, miyer_levy@standardandpoors.com; Amy Lempert, Analyst, (212) 438-2712, amy_lempert@standardandpoors.com; Jency
Hom, Analyst, (212) 438-2706, jency_hom@standardandpoors.com; Lan Lecour, Office Administrator, (212) 438-2711, lan_lecour@standardandpoors.com; Gail Dookie, Data Collector, (212) 438-2705,
gail_dookie@standardandpoors.com ; Lisa Hansen, Analyst, (212) 438-3295, lisa_hansen@standardandpoors.com; Asif Mansoor, Analyst, (212) 438-5837, asif_mansoor@standardandpoors.com; Philip Keffer,
Analyst, (212) 438-6416, philip_keffer@standardandpoors.com ; Asha Rao, Analyst, (212) 438-2710, asha_rao@standardandpoors.com ; Rich Woyma, Analyst, (212) 438-5840,
rich_woyma@standardandpoors.com.
Sales & Marketing: Marc Auerbach, Director, (212) 438-2703, marc_auerbach@standardandpoors.com; Liz Ihle, Sales Manager, (212) 438 3298, elizabeth_ihle@standardandpoors.com ; Darren D’Souza,
Analyst, (212) 438-2720, darren_dsouza@standardandpoors.com.
Editorial: Chris Donnelly, Vice President, (212) 438-5094, Chris_Donnelly@standardandpoors.com; Matthew Fuller, Associate, (212) 438-2050, Matthew_Fuller@standardandpoors.com; Krista Giovacco,
Associate Editor, (212) 438-2704, Krista_Giovacco@standardandpoors.com; Brian Manning, Associate Editor, (212) 438-1462, brian_manning@standardandpoors.com; Kelly Gruel Thompson, Senior Editor,
(312) 233-7054, kelly_thompson@standardandpoors.com; Paddy Hirsch, Associate, (310) 470-2805, hirsch@pmdcomps.com; Sarah Husband, Senior Editor, +44 020 7176 3928,
sarah_husband@stanadardandpoors.com; Ruth McGavin, Senior Editor, +44 0207-176-3924, ruth_mcgavin@stanadardandpoors.com; Kate Haywood, Senior Editor, +44 0207 1763 994,
kate_haywood@standardandpoors.com; Abigail Latour, Assistant Editor, (212) 438-7121, abigail_latour@standardandpoors.com.
Information Systems: Mohan Basavaraj, Senior System Analyst, (212) 438-2721, mohan_basavaraj@standadandpoors.com; Ella Portnoy, Senior System Analyst, (212) 438-2718, ella_
portnoy@standardandpoors.com; Elena Goncharoff, System Analyst, (212) 438-2719, elena_goncharoff@standardandpoors.com; Julia Lifton, System Analyst, (212) 438-2713,
julia_lifton@standardandpoors.com;
Standard & Poor’s Bank Loan Rating Contact Information

U.S.: Steven Bavaria, Vice President, (212) 438-7884, steven_bavaria@standardandpoors.com; Ken Pfeil, Director, (212) 438-7889, ken_pfeil@standardandpoors.com; David Hauff, Director, (212) 438-2731,
david_hauff@sandp.com
Europe: Paul Watters, Director, +44 0207-826-3542, paul_watters@standardandpoors.com
Copyright 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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S&P/LSTA Leveraged Loan Index

August 2008 Review

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That’s the theory, at least.

Loans versus other asset classes

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•S&P/LSTA Leveraged Loan Index – Duration and Maturity, p. 105 – 115

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Accrual & accounting system

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BB Index. A subset of the Index comprising only those loans rated BB

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Performing loan index. A subset of the index that includes non-investment

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Total par amount: $589.28 billion

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Aerospace and Defense Automotive Broadcast radio and

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2001 2002 2003 2004

2005 2006 2007 Cumulative

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Total Index Returns

Market Value Index Returns

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LIBOR Return over LIBOR

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LIBOR Return over LIBOR

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LIBOR Return over LIBOR

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-2% -2.0% -1.8%

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LEHMAN BROTHERS HOLDINGS INC.

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4.69% 4.68% 4.69%

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