Markit

Leveraged Loan Study

1Q 2009

May 15th, 2009

 US Leveraged Loan Market

Markit Loan Performance Data Markit Loan Performance

US Term Loans US Term Loan Return Breakout
December 31, 2007 = 100

100 Q1 2008 Jan-09 Feb-09 Mar-09 Q1 2009 Apr-09

97

94

91 Total Return -5.127% 5.799% -0.071% 2.025% 7.865% 8.696%

88

85

82 Income Return 1.918% 0.592% 0.481% 0.551% 1.633% 0.505%

79

76
Realized Gain
73 Return 0.084% 0.059% 0.128% 1.024% 1.213% 0.198%
70
08

09
08
8

8
8

09
8
07

08
08

09
8

9
-0

-0

-0

-0
l-0
0

0
-0

-0
Unrealized

-
b-

b-

-
n-

n-

n-
-

p-

-
ov
ay
pr

pr
ug

ct
ec

ar

ec

ar
Ju
Fe

Fe
Ju
Ja

Ja
Se

O
A

A
N
M

M
D

D
Gain Return -7.037% 5.148% -0.680% 0.450% 4.903% 7.994%

Weighted Average Price Weighted Average Coupon Weighted Average Life

USD Leveraged Loan Assets Tracked USD Leveraged Loan Assets Tracked USD Leveraged Loan Assets Tracked

95.0 6.0 5.5

90.0 5.5 5.0
85.0 5.0
4.5
80.0
4.5
75.0 4.0
4.0
70.0 3.5
3.5
65.0
3.0
60.0 3.0

55.0 2.5 2.5

50.0 2.0 2.0

WA MV Price WAC WAL

Apr-08 Dec-08 Apr-09 Apr-08 Dec-08 Apr-09 Apr-08 Dec-08 Apr-09

–Term Loans only; Over 1600 Assets; Over 1400 Issuers

2 –Source: Markit
 European Leveraged Loan Market

Markit Loan Performance Data Markit Loan Performance

European Term Loans European Term Loan Return Breakout
December 31, 2007 = 100
Q1 2008 Jan-09 Feb-09 Mar-09 Q1 2009 Apr-09
100
97
94
Total Return -8.550% 3.762% 2.962% -0.507% 6.294% 5.472%
91
88
85
82 Income Return 2.016% 0.862% 0.650% 0.657% 2.184% 0.558%
79
76
Realized Gain
73 Return 0.064% 0.073% 0.011% 0.108% 0.193% 0.107%
70
8

08
08

09
07

08
8
08

8
08

08

09

9
08
8

9
l- 0

t- 0
0
r- 0

r- 0
r -0

r -0
Unrealized

v-
n-

n-
c-

b-

n-

c-

b-
y-

g-

p-
Ju

Oc
Ap

No

Ap
De

De
Ja

Ja
Ma

Ma

Ma
Fe

Fe
Au
Ju

Se

Gain Return -10.484% 2.828% 2.301% -1.272% 3.855% 4.807%

Weighted Average Price Weighted Average Coupon Weighted Average Life

European Leveraged Loan Assets Tracked European Leveraged Loan Assets Tracked European Leveraged Loan Assets Tracked

95.0 8.0 6.0

90.0 5.5
7.0
85.0 5.0
80.0 6.0
4.5
75.0
5.0 4.0
70.0
3.5
65.0 4.0
60.0 3.0
3.0 2.5
55.0
50.0 2.0 2.0
WA MV Price WAC WAL

Apr-08 Dec-08 Apr-09 Apr-08 Dec-08 Apr-09 Apr-08 Dec-08 Apr-09

–Term Loans only; Over 600 Assets; Over 300 Issuers

3 –Source: Markit
 Markit LCDX and LevX Snr Index Pricing Trends

81.0

79.0

77.0

75.0

73.0

71.0

69.0

67.0

65.0
9

09

09

09
9

09

09

09

09

09
09
-0

-0
-0

-0

-
-

-
r-
eb

eb
eb

eb

ar

ar

ar
ar

ar

pr

pr

pr
Ap
-M

-M

-M
M

-A

-A

-A
-F

-F
F

F
2-

9-

2-

9-

6-
16

23

16

23

30

13

20

27
LCDX LevX Snr

LCDX
The Markit LCDX Index consists of 100 reference entities which reference 1st lien loans listed on
the Markit Syndicated Secured list.
LevX Snr
The Markit iTraxx LevX Senior Series 4 Index comprises the 50 most liquid 1st lien credit
agreements traded in the European Leveraged Loan CDS market.

4
 The information presented in this study is provided by Markit. The
study is comprised of data from Markit WSOData and Mark Loan
pricing services. The combination of these two data sets creates a
powerful and accurate look into both the US and European markets
(To find out more information about these services please go to
www.markit.com).

This initial study is intended to be a catalyst for a new Markit offering

which we will be developing throughout 2009. We look forward to your
feedback and ideas on how to best expand our analysis and
commentary going forward.

For additional information or to provide feedback, please contact:

Mark Schultis (US) at mark.schultis@markit.com

Sally Moore (Europe) at sally.moore@markit.com