Asset Management

Fixed Income Outlook: The Search for Yield

November 2011 WHITE PAPER

Executive Summary
The ongoing slowdown in developed marketscharacterized by muted growth in the US
and the European debt crisishas led governments and central banks to develop a series of
expansionary policies seeking to stimulate economic growth. For example, the US Federal
Reserve has decided to hold short-term interest rates near zero until at least mid-2013,
while the European Central Bank (ECB) recently cut interest rates by 25 bps to 1.25% on
expectations of slow growth in the Eurozone.
In this low-yield environment, many institutional investors in developed nationsspecifically
John G. Popp
defined-benefit plan sponsorsare faced with an uncomfortable predicament: lower yields
Global Head and
Chief Investment Officer, on their assets and rising liability values due to falling discount rates. As a result, investors are
Credit Investments Group intensifying their efforts to bolster returns in order to fund increasing plan obligations.
In this paper, we review various fixed-income investment optionswith a particular focus on
the non-investment grade credit sectorthat, we believe, can help mitigate these current
challenges by potentially offering more attractive risk-adjusted returns.
Specifically, we believe that the current strength in credit fundamentalsincluding below-
average default rates, current attractive valuations and inflated concerns over the near-term
maturity wallmay warrant increased exposure to credit instruments, especially those on the
higher-yielding end of the spectrum.
Lastly, we discuss how to integrate non-investment grade credit into a broader fixed income
portfolio. We provide a case study in which we: a) identify an optimal mix of high-yield and
senior-loan exposures, and b) incorporate a non-investment grade credit basket to a traditional
core fixed income portfolio and assess its impact on total risk-adjusted returns.

For more information

on the views expressed
here, please write to
us at csam.insights@
credit-suisse.com

Credit Suisse Asset Management 

The Search for Yield
The recent global economic slowdown has prompted US and
European central banks to set low rates over the short to
medium term, pressuring fixed-income yields across government
securities and corporates bonds.
Recent declines in US fixed income yields are, in fact,
emblematic of a longer-term, secular downward trend in yields
(Display 1, next page). As of November 14, 2011, the benchmark
7-10-year US Treasury yield-to-worst had fallen to record lows
of 1.75%.1 After accounting for inflation (3.9% headline number
year-over-year; 2.0% core),2 traditional fixed income investors
are effectively experiencing negative real yields, while assuming
significant duration risk.
In this light, where can investors look for yield opportunities
without taking on excessive risk?
Display 2 (next page) shows the yield spectrum across a range
of liquid fixed income and equity investments. On a relative
and absolute basis, non-investment grade creditdefined as
high yield bonds and senior loansoffers, as of this writing,
significantly higher returns than both US large-cap equities
(from a dividend-yield perspective) and investment-grade
corporate bonds. Within fixed income, the current yield spread
between US investment-grade and non-investment grade
credit is in the range of 358466 bps, versus a lower historical
average of 280412 bps.3
From a risk/return perspective, both high yield bonds and
senior loans offer potentially attractive risk-adjusted
performance. In the period from 2001 to 2010, high yield
bonds delivered an average annual return of 9.0% with 8.9%
volatility,4 while senior loans delivered an average annual return
of 6.5% with 5.8% volatility.
When comparing senior loans to high yield bonds, we note
that, on an absolute basis, the current swap-adjusted senior
loan yield of 7.26%5 is slightly lower than the yield-to-worst of
high yield bonds at 8.34%. However, historically speaking, the
current difference in yield between the two sectors is near its
lowest levels. As such, while both investments offer compelling
yields relative to other asset classes, investors may not be
getting sufficient compensation to move down the capital
structure to the subordinated and unsecured bond tranches.

What are Senior Loans?

Senior loans are floating-rate instruments that are originated by banks and/or other financial entities for large corporations
that typically have below investment-grade credit ratings. The loans interest comprises of an adjustable base rate
component, typically tied to the London Interbank Offered Rate (LIBOR), plus an additional credit spread. As LIBOR rises
or falls, the base rate adjusts accordingly, usually on a quarterly basis.
Senior loans are the senior-most debt obligations of a company, and are usually secured with collateral. In the event of
bankruptcy or default, loan holders are better positioned to recoup their interest and principal relative to bondholders and
other unsecured creditors, as evidenced by long-term historical ultimate recovery rates of 80% for loans versus 40% for
unsecured bonds.6
For several years prior to the 2008 credit crisis, collateralized loan obligations (CLOs) were the primary driver of demand
for senior loans. The primary funding for a CLO comes from the issuance of AAA notes collateralized by the underlying
portfolio of purchased loans. Post-crisis, demand for AAA CLO liabilities collapsed with the demise of structured
investment vehicles, monoline insurers and debt issues surrounding European banks. Annual CLO issuance has fallen
from approximately $100 billion at its peak in 2006 to $11 billion year-to-date in 2011.7 As a consequence, demand for
senior loans has begun to shift increasingly to traditional institutional and retail investors amidst a growing acceptance of
the asset class.

(1) Yield-to-worst is the lowest possible yield from owning a bond considering all potential call dates prior to maturity.
(2) As measured by the US Consumer Price Index (CPI) in October 2011. Headline inflation accounts for total price increases. Core excludes food and energy.
(3) As of Nov. 14, 2011. Historical average is from Jan. 1, 1992 to Nov. 14, 2011.
(4) As measured by the standard deviation of the following: Credit Suisse Leveraged Loan Index Three-Year Swap-Adjusted Yield and the Credit Suisse High Yield
Index Yield-to-Worst.
(5) The 3-year swap-adjusted yield is used for the floating rate component (LIBOR) of senior loans to yield a comparable fixed rate.
(6) Moodys Investors Service
(7) Bank of America Merrill Lynch

 Credit Suisse Asset Management

 Display 1: Traditional fixed income yields have had a long-term decline

Historical yields of traditional fixed income assets

8

6
8

4.03
%

64

2.37
4.03
%

42
1.75
US CPI 3.5% YoY
US CORE CPI 2.1% YoY 2.37
2
0 1.75
US CPI 3.5% YoY
Sep-01

Sep-02

Sep-03

Jan-05 Sep-04

Sep-05

Sep-06

Sep-07

Sep-08

Sep-09

Sep-11 Sep-10

Sep-11
Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Jan-06

Jan-07

Jan-08

Jan-09

Jan-10

Jan-11
May-01

May-02

Sep-03 May-03

Sep-04 May-04

May-05

May-06

Jan-08 May-07

Jan-09 May-08

May-09

May-11 May-10

May-11
US CORE CPI 2.1% YoY
0
Sep-01

Sep-02

Sep-05

Sep-06

Sep-07

Sep-08

Sep-09

Sep-10
Jan-01

Jan-02

Jan-03

Jan-04

Jan-06

Jan-07

Jan-10

Jan-11
May-01

May-02

May-03

May-04

May-05

May-06

May-07

May-08

May-09

May-10
Barclays USUSAggregate
Barclays Yield-to-Worst
Aggregate Yield-to-Worst Barclays
Barclays US US Treasury
Treasury 7-10Yield-to-Worst
7-10 Year Year Yield-to-Worst BarclaysBarclays Long Government/Credit
Long Government/Credit Index Yield-to-Worst
Index Yield-to-Worst

Note: All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has
not sought
Barclays to independently
US Aggregate Yield-to-Worst verify Barclays
information obtained
US Treasury from
7-10 Year public and third party
Yield-to-Worst sources
Barclays and makes no
Long Government/Credit representations
Index Yield-to-Worst or warranties as to accuracy,
completeness or reliability of such information. Please refer to Glossary and Definitions at the end of this paper for information on proxies used.
Data as of November 14, 2011
Source: Bloomberg and Credit Suisse

Display 2: Non-investment grade credit offer high returns on an absolute and relative basis

10 Cross-asset-class yield spectrum

8.3
10
8 8.3
7.3
6.5 6.7
8 7.3
6.5 6.7
6
4.8
6
% %

4.3
4.8
4 3.0 3.7 3.7
4.3
4 2.4 3.0 3.7 3.7
1.8 2.0
2.4
2 1.4 1.8 2.0
2 1.4
0.5
0.5
0
Preferred Stock
High Dividend
US MBS

US REITS

EM Sovereign Debt
Large Cap
7-10

0
US Fixed Income
3-M LIBOR

US ABS

Government/Credit

Leveraged Loans
US Investment

High Yield
US Long-Dated

US Preferred Stock
US High Dividend
US MBS

US REITS

Debt
US Large Cap
US Treasury 7-10

US Fixed Income
3-M LIBOR

US ABS

Government/Credit

Leveraged Loans
US Investment

High Yield
US Long-Dated
Equity

Grade

(local ccy)
US Treasury

Core
USEquity

Grade
Year

(local ccy)
Sovereign
Core
Year

EMUS

US

Fixed Income Yields Equity Dividend Yields REITS Dividend Yield Non-Investment Grade Credit Yields

Note: All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has
not sought to independently verify information obtained from public and third party sources and makes no representations or warranties as to accuracy,
completeness or reliability of such information. Please refer to Glossary and Definitions at the end of this paper for information on proxies used.
Data as of November 14, 2011
Source:
16 Bloomberg and Credit Suisse
16

Credit Suisse Asset Management 

12
12
Positive Fundamentals Despite Recent Pullback
Ongoing global macroeconomic concerns and the European
sovereign debt issues have driven down non-investment
grade credit prices, as with most asset classes, over the past
few months. This pullback reflects the concern among some
investors about a prolonged global slowdown and its potential
impact on the performance of non-investment grade credit. To
better understand the current investing environment, however,
we believe it is important to highlight how high yield bonds and
senior loans have behaved across different market cycles since
the recession of the early 2000s, as well as key structural
differences that may affect the performance of these asset
classes going forward.
During the 200002 period, both high yield and loan prices fell,
but loans dropped significantly less (-6.89% versus -15.67%).
By contrast, in 2008, both markets declined to a similar
degree, in line with the broader markets (-34.08% versus
-34.49%). A significant difference between the two periods
was the rapid increase in market value-based financing to
purchase loans post the 2000 recession. In 2008, the decline
in senior loans was primarily driven by dramatic deleveraging of
the investor base, as a significant portion of the prevailing loan
market demand was dependent on investors using total return
swaps and other financing mechanisms subject to margin calls.
Should we experience another market downturn, we would
expect loan prices to behave more in line with the 200002
period, as there is less market-level leverage supporting
investment in the asset class today.
Notwithstanding their differences, we believe that both high
yield bonds and senior loans are well-positioned to weather a
muted economic growth environment over the next 12 to 24
months. Some reasons include:
Low Default Rates
Despite recent market uncertainty, trailing 12-month loan senior
default rates are currently at their lowest in over four years.8
High yield default rates are also low, and we expect them to
remain below their historical average in the short to medium
term (Display 3, next page). In our view, continued low default
rates are supported by a number of factors:
(8) Based on trailing 12-month default rates for the loan asset class. Source: S&P LCD
(9) Source: S&P LCD
 Credit Suisse Asset Management
Aggressive corporate balance sheet restructuring since the
2008 credit crisis;
Increasing corporate cash balances;
Prolonged period of corporate earnings growth; and
Improving rating trends, with credit upgrades considerably
outpacing downgrades in 2011 (as of Q3 2011).9
It is worth noting that Standard & Poors is forecasting
defaults in the range of 1.5% to 2% for loans over the next 12
to 24 months. In contrast, the markets spread-implied default
ratewhich is derived using a mathematical formula based on
current trading levels of a loan or bondcurrently exceeds the
forecasted default rate, with the spread-implied default rates
for senior loans and high yield at 15% and 7%, respectively
(as of November 14, 2011). Given what we anticipate to be a
low default environment in the intermediate term, we believe
loans are currently trading at attractive levels.
In this context, we believe certain sectors remain vulnerable to
negative consumer sentiment in todays volatile markets (i.e.,
retail and restaurants). Accordingly, we believe it is incumbent
upon managers to navigate these challenges through selective
positioning within the non-investment grade space.
The Shrinking Maturity Wall
The maturity wall refers to the roughly $154 billion amount of
debt maturing in the senior loan market from now until 2014,
which has prompted concerns as to whether over-leveraged
issuers will be able to refinance their debt. We believe the
situation today is significantly less concerning than was
originally anticipated in 2008. A combination of restructurings,
refinancings and maturity extensions have allowed corporate
management teams to aggressively restructure their balance
sheets, pushing out the maturities on their debt, and reducing
the pressure to refinance (Display 4, next page).
While 2014 still has $115 billion in debt outstanding, this is just
half of the $224 billion outstanding as of 2009. Moreover, out
of roughly 300 companies that have loans maturing in 2014,
10 names account for more than 20% of the maturing debts,
suggesting that managers should be able to identify and avoid
these credits, if warranted.
 Lev
Gove

EM S

US P
US Lo
US

(
(loc
US
US

US Fi

US Pref
US
EM Sov
US Tr

US

Hi

Lever
Govern

US
Display 3: Default rates are expected to remain below average in the next 12-to-24 months

12-month rolling par-weighted default rates

16
16

12
12

8
%

8
%

4 1.83

0 1.83 0.32
Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11
0.32
0
Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11

High Yield Defaults Leveraged Loan Defaults

Note: Par-weighted default rates representative of LTM. All data was obtained from publicly available information, internally developed data and
other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and
third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information.
Data as of October 31, 2011
Source: S&P LCD and Credit Suisse

Display 4: Significant declines in senior loan maturity wall since 2008

Year-by-year changes in senior loan maturity profile

250

250
Par Amount of Loans Maturing ($ billions)

200

200
150

150
100

100
50

50
0
2011 2012 2013 2014 2015 2016 2017 2018 2019

0 2008
2008 2009
2009 2010
2010 October2011
October 2011
2011 2012 2013 2014 2015 2016 2017
Note: All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable.
2018 2019
Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations
2008 2009 2010 October 2011
or warranties as to accuracy, completeness or reliability of such information.
Data as of October 2011
Source: S&P LCD

Credit Suisse Asset Management 

 Should the financial system experience another prolonged
shock, similar to that of the 2008 crisis, we believe
refinancings could prove to be more challenging. However,
our view is that most companies that have been able to
service their debt will be able to refinance.
Spreads Remain Elevated
High yield spreads over US Treasuries and senior loan
discount margins remain above their historical averages
(Display 5). In addition, the spread differential between loans
and high yield bonds has narrowed in the post-2008 period,
which reflects elevated loan spreads compared to historical
levels. As such, the senior secured market appears to be
providing excess compensation to investors relative to historical
levels. For investors looking for higher potential returns, we view
the current environment as an attractive entry point for loans.

Display 5: Loan spreads remain elevated, offering potential opportunity

Historical spreads of leveraged loan and high yield indices

2,000

1,600
Average Spread (bps)

1,200

High Yield Average: 581

800

400

Loan Average: 443

0
Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10

CS Leveraged Loan Index 3-Year Discount Margin CS High Yield Index Spread-to-Worst
CS Leveraged Loan Index Three-Year Discount Margin CS High Yield Index Spread-to-Worst

Average High Low Jul. 2011 Sep. 2011 Nov. 14, 2011
CS Leveraged Loan Index 443 1,799 230 562 722 642
Three-Year Discount Margin (Dec 2008) (Feb 2007)

CS High Yield Index 581 1,816 271 580 811 731

Spread-to-Worst (Nov 2008) (May 2007)

Note: All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable.
Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations
or warranties as to accuracy, completeness or reliability of such information.
Data as of November 14, 2011
Source: Credit Suisse

9.5

 Credit Suisse Asset Management 9.0

 2,000

1,600

1,200

High Yield Average: 581

Optimizing a Non-Investment
800
Grade Credit Basket
The next question investors 400
may ask is: What does an optimal Next, we add the optimized non-investment grade credit
non-investment grade credit basket look like, and what basket to a traditional core fixed-income portfolio. As shown in
Loan Average: 443
0
proportion should be allocated toJan-92
high yield
Jan-94 versus
Jan-96 loans?
Jan-98 Jan-00 Display
Jan-02 7 (next
Jan-04 Jan-06page),
Jan-08incorporating
Jan-10 a 33% allocation of non-
To answer this, we perform a historical risk/return analysis and
CS Leveraged Loan Index 3-Year Discount Margin
investment grade credit increases returns, reduces volatility
CS High Yield Index Spread-to-Worst

assess the trade-off between returns and volatility for different and significantly improves the Sharpe ratio of the fixed-income
non-investment grade portfolios. Our analysis shows that an portion of the portfolio.
allocation of 75% to senior loans and 25% to high yield bonds
offers the highest risk-adjusted returns (Display 6).

Display 6: Optimizing a non-investment grade credit basket

Sample portfolios Performance and risk

9.5
Historical Standard Return per
Return (%) Deviation Unit of Risk
9.0 100% HY
50% Leveraged Loan + 7.7 6.88 1.12
50% High Yield 8.5
75% Leveraged Loan + 7.06 6.17 1.14 Historical Return (%)
25% High Yield 8.0
50% LL +
100% Leveraged Loan 6.45 5.8 1.11 50% HY
7.5
100% High Yield 8.95 8.9 1.01

7.0
75% LL +
25% HY
6.5
100% LL

6.0
5 6 7 8 9 10
Historical Risk (%)

Note: Data based on historical returns from December 31, 2000 to December 31, 2010. Indices were used as proxies for asset classes above:
Leveraged Loans (Credit Suisse Leveraged Loan Index); High Yield (Barclays Capital US Corporate High Yield Index). For illustrative purposes only.
Past performance is not a guarantee or an indication of future results. All data was obtained from publicly available information, internally
developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from
public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information.
Source: Bloomberg and Credit Suisse

Credit Suisse Asset Management 

Display 7: Non-investment grade can increase the efficiency of a fixed income portfolio

Representative fixed income portfolio

Credit Basket
33% High
Yield

Leveraged
Loans

US
Aggregate
US 67%
Aggregate
100%

Portfolio Characteristics

Historical Return 4.74% Historical Return 5.62%

Standard Deviation 5.30% Standard Deviation 4.62%

Sharpe Ratio 0.89 Sharpe Ratio 1.22

Note: Data based on historical returns from December 31, 2000 to December 31, 2010. Indices were used as proxies for asset classes above: Leveraged
Loans (Credit Suisse Leveraged Loan Index); High Yield (Barclays Capital US Corporate High Yield Index) and US Aggregate (Barclays US Aggregate
Index). For illustrative purposes only. Past performance is not a guarantee or an indication of future results. All data was obtained from publicly
available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify
information obtained from public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such
information.
Source: Bloomberg and Credit Suisse

Conclusion
In an overall low-yield environment, we believe non-investment
grade credit offers a viable alternative for investors seeking
attractive absolute and relative yields. Additionally, non-
investment grade credit, specifically senior secured loans,
can offer compelling risk-adjusted returns and incremental
diversification, in our view.
Despite recent market dislocations, we have a relatively benign
credit outlook due to improving corporate balance sheets and
increasing cash balances. Moreover, our view is that current
market conditions present an attractive entry point for investors
in the space. We believe investors can take advantage of the
distinctive characteristics that both high yield and loans offer
within a well-designed portfolio allocation framework.

 Credit Suisse Asset Management

 Glossary
Spread-to-Worst: Spread between the yield to worst and
the interpolated US Treasury yield curve at the bonds
redemption date.
Yield-to-Worst: The lowest possible yield from owning a
bond considering all potential call dates prior to maturity.
3-Year Discount Margin: The yield-to-refunding of a loan
facility less the current 3-month Libor rate, assuming a 3-
year average life for the loan.
3-Year Swap-adjusted Yield: Fixed equivalent yield.
LIBOR Floor: A feature sometimes used in pricing debt
instruments whose interest payments are linked to LIBOR,
especially loans. Loans with a LIBOR floor pay an interest
rate of LIBOR plus the applicable margin so long as LIBOR
remains above the specified floor level. If, however, LIBOR
falls below the floor, the interest rate is the floor level plus the
applicable margin. LIBOR floors have been commonly used
in the low LIBOR environment which started in early 2008.
Definitions and Proxies
US ABS: Barclays Capital US Floating-Rate ABS Index
Yield-to-Worst
US Large Cap Equity: S&P 500 Index Dividend Yield
US Treasury 7-10 Year: Barclays Capital US Treasury 7-10
Year Index Yield-to-Worst
US Fixed Income Core: Barclays Capital US Aggregate Index
Yield-to-Worst
US MBS: Barclays Capital US MBS Index Yield-to-Worst
US REITS: MSCI US REITS Index Dividend Yield
US Investment Grade: Barclays Capital US Corporate
Investment Grade Index Yield-to-Worst
US Long-Dated Government /Credit: Barclays Capital Long
Government/Credit Index Yield-to-Worst
US High Dividend: Dow Jones US Dividend 100 Index
Dividend Yield
EM Debt (local ccy): JPMorgan Government Bond Index-
Emerging Markets Yield-to-Worst
US Preferred Stock: S&P US Preferred Stock Index
Dividend Yield
Leveraged Loans: Credit Suisse Leveraged Loan Index
3-Year Swap-Adjusted Yield
High Yield: Credit Suisse High Yield Index Yield-to-Worst
Credit Suisse Leveraged Loan Index: Index designed to
mirror the investable universe of the $US-denominated
leveraged loan market. The index inception is
January 1992.
Credit Suisse High Yield Bond Index: Index is designed
to mirror the investable universe of the $US-denominated
high yield debt market. The index inception is
January 1986.
Barclays Capital Long Government/Credit Index: Index
measures the investment return of all medium and larger
public issues of U.S. Treasury, agency, investment-grade
corporate, and investment-grade international dollar-
denominated bonds with maturities longer than 10 years.
Barclays Capital US Aggregate Index: Broad-based bond
index comprised of government, corporate, mortgage and
asset-backed issues rated investment grade or higher.
Barclays Capital US Treasury 7-10 Year Index: Index
measures the performance of U.S. Treasury securities that
have a remaining maturity of at least seven years and less
than 10 years.
S&P 500 Index: An index of 500 stocks of American
Large-Cap corporations chosen for market size, liquidity
and industry grouping, among other factors. The S&P 500
is designed to be a leading indicator of U.S. equities and
is meant to reflect the risk/return characteristics of the US
large cap universe.
Barclays Capital US Floating-Rate ABS Index: The US
Floating-Rate Asset-Backed Securities (ABS) Index covers
floating-rate ABS with the following collateral types: home
equity, credit card, auto (retail and wholesale loans), and
student loans. To be included in the index, an issue must
have a floating-rate coupon structure, have an average life
greater than or equal to one year, and be ERISA-eligible.
The index was introduced in May 2005 with history
available from January 2005.
Inflation: Percentage rise in the Consumer Price Index,
which is reported monthly by the Bureau of Labor
Statistics (BLS).
Core Inflation: A measure of inflation which excludes
certain items that face volatile price movements, notably
food and energy
Barclays Capital US MBS Index: The U.S. Mortgage-
Backed Securities (MBS) Index covers agency mortgage-
backed pass-through securities (both fixed-rate and
hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae
(FNMA), and Freddie Mac (FHLMC). Introduced in 1986,
the GNMA, FHLMC, and FNMA fixed-rate indices for 30-
and 15-year securities were backdated to January 1976,
May 1977, and November 1982, respectively. Balloon
securities were added in 1992 and removed on January
Credit Suisse Asset Management 
 1, 2008. 20-year securities were added in July 2000. On
April 1, 2007, agency hybrid adjustable-rate mortgage
(ARM) pass-through securities were added to the index.
Hybrid ARMs are eligible until 1 year prior to their floating
coupon date.
MSCI US REITS Index: The MSCI US REIT Index is a free
float-adjusted market capitalization weighted index that is
comprised of equity REITs that are included in the MSCI
US Investable Market 2500 Index, with the exception
of specialty equity REITs that do not generate a majority
of their revenue and income from real estate rental and
leasing operations. The index represents approximately
85% of the US REIT universe.
Barclays Capital US Corporate Investment Grade Index:
The US Corporate Investment Grade Index is a broad-
based benchmark that measures the investment grade,
fixed-rate, taxable, corporate bond market. It includes
USD-denominated securities publicly issued by industrial,
utility, and financial issuers that meet specified maturity,
liquidity, and quality requirements.
10 Credit Suisse Asset Management
Dow Jones US Dividend 100 Index: Index designed
to measure the performance of high dividend yielding
stocks issued by U.S. companies that have a record of
consistently paying dividends, selected for fundamental
strength relative to their peers, based on financial ratios.
The 100-component index is a subset of the Dow Jones
U.S. Broad Market Index, excluding REITs, master limited
partnerships, preferred stocks and convertibles. It is
modified market capitalization weighted.
JPMorgan Government Bond Index-Emerging Markets:
A comprehensive emerging market debt benchmark that
tracks local currency bonds issued by Emerging Market
governments. The index was launched in June 2005 and
is the first comprehensive global local Emerging Markets
index.
S&P US Preferred Stock Index: The S&P U.S. Preferred
Stock Index is designed to serve the investment
communitys need for an investable benchmark
representing the U.S. preferred stock market. Preferred
stocks are a class of capital stock that pays dividends at a
specified rate and has a preference over common stock in
the payment of dividends and the liquidation of assets.
 Credit Suisse Asset Management Publications
Asset Managements Q4 Alternatives Quarterly
October 2011In this edition of the Alternatives Quarterly,
we discuss drivers of recent volatility, especially the ongoing
European debt crisis. Additionally, our leading strategists and
alternatives portfolio managers review select opportunities in their
respective strategies, in light of the challenging environment.
Hedge Fund Investing: How to Optimize Your Portfolio
October 2011In a post financial-crisis environment, how can
investors address potential risks associated with hedge fund
investing? The paper discusses how hedge fund replication
can help address these challenges while potentially providing
alternative-like returns.
Robert Parker, Credit Suisse Senior Advisor
October 2011 Market Update
October 2011The improvement in production and exports
should lead to an uplift in US growth over the next 6 months to
2-2.5% annualised. However, European growth will struggle to
reach 1% annualised over the next 12 months, while the speed
of Japans recovery from the earthquake/tsunami has also
clearly slowed.
The Way Forward: Measuring the Impact of Short- economies creates challenges for capital markets to properly
Term and Structural Growth Drivers on Emerging price in inflation expectations. The Commodities Teams research
Market Investing
September 2011In the aftermath of the 2008 global financial
crisis, many emerging countries were able to recover more
quickly than their developed counterparts. Can this scenario be
repeated during the current slowdown?
Real Assets: Inflation Hedge Solution Under a Modified
Risk Framework
September 2011In the new-normal environment, what is
the right mix for a real assets portfolio? The ISS team presents
a modified risk framework with which to optimize the benefits of
the asset class.
Commodities Outlook: Increased Volatility, June 2010How to increase a portfolios liquidity without
Increased Opportunity?
August 2011The paper examines the recent rise in the
volatility of commodity prices within the context of a longer-term,
secular trend of increasing volatility and how investors can best
position their portfolios in this environment going forward.
Commercial Real Estate: Has the Tide Turned?
June 2011After suffering through the credit crisis, US
commercial real estate macro indicators are starting to improve.
But how sustainable is this turnaround? The paper addresses
this question, and examines how institutional investors
can manage their exposure to this asset class during still
uncertaintimes.
Managing Fixed Income Investments in a Rising Inflation
and Interest-Rate Environment
March 2011This paper addresses key challenges facing
fixed income investors today: How to achieve higher returns in
a still low-yield environment while mitigating the rising threats
of inflation and interest-rate risks? The ISS teams analysis
suggests that diversifying fixed income exposure into specific
instruments as well as adding inflation hedges may present an
efficient way to manage these challenges. A full case study
helps to illustrate the teamsfindings.
How Commodities Can Help Investors Face the
Uncertainty of the Inflation/Deflation Debate
December 2010In this paper, our Commodities Team argues
that uncertainty about the consumer-price outlook in developed
suggests that exposure to real assets can help investors cushion
the impact on the portfolio of unexpected changes in the
inflationary environment in the long run.
The Anatomy of a Modern Emerging Markets Portfolio
November 2010This paper examines the quickly evolving
emerging markets investment landscape and argues that
the proliferation of sophisticated investment vehicles in these
markets presents an opportunity for investors to augment the
efficiency of their emerging markets portfolios.
Liquid Alternative Beta: Enhancing Liquidity in
AlternativePortfolios
sacrificing returns, especially in a post-crisis, low-yield
environment? The paper illustrates how institutional investors can
use Liquid Alternative Beta to seek to enhance portfolio liquidity,
increase portfolio transparency, short hedge fund sectors and
gain hedge-fund-like exposure when investment policies restrict
direct hedge fund investments.

The views and opinions expressed within these publications are those of the authors, are based on matters as they exist as of
the date of preparation and not as of any future date, and will not be updated or otherwise revised to reflect information that
subsequently becomes available or circumstances existing, or changes occurring, after the date hereof.
For a copy of any of these papers, please contact your relationship manager or visit our website at www.credit-suisse.com.

Credit Suisse Asset Management 11

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