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Date US HY Excess Returns US Loans Total Returns

1/4/2010 0.29 0.28


1/5/2010 0.44 0.87
1/6/2010 1.01 1.35
1/7/2010 1.62 1.44
1/8/2010 1.65 1.55
1/11/2010 1.79 1.74
1/12/2010 1.44 1.78
1/13/2010 1.65 1.78
1/14/2010 1.48 1.88
1/15/2010 1.19 1.94
1/19/2010 1.25 2.02
1/20/2010 1.03 1.98
1/21/2010 0.7 2.01
1/22/2010 0.25 1.84
1/25/2010 0.02 1.78
1/26/2010 -0.04 1.7
1/27/2010 0.05 1.69
1/28/2010 0.04 1.91
1/29/2010 -0.16 2.01
2/1/2010 -0.11 2.07
2/2/2010 -0.07 2.13
2/3/2010 0.28 2.26
2/4/2010 -0.29 2.23
2/5/2010 -1.21 2.06
2/8/2010 -1.3 2.04
2/9/2010 -1.38 1.97
2/10/2010 -1.61 1.87
2/11/2010 -1.78 1.8
2/12/2010 -2.04 1.73
2/16/2010 -1.97 1.71
2/17/2010 -1.03 1.79
2/18/2010 -0.41 1.84
2/19/2010 0 2.03
2/22/2010 0.31 2.19
2/23/2010 -0.15 2.2
2/24/2010 -0.11 2.27
2/25/2010 -0.41 2.31
2/26/2010 -0.4 2.39
3/1/2010 -0.13 2.48
3/2/2010 0.23 2.66
3/3/2010 0.4 2.76
3/4/2010 0.55 2.83
3/5/2010 1.09 2.93
3/8/2010 1.55 3.17
3/9/2010 1.71 3.25
3/10/2010 2.06 3.41
3/11/2010 2.1 3.5
3/12/2010 2.25 3.6
3/15/2010 2.2 3.67
3/16/2010 2.04 3.75
3/17/2010 2.25 3.87
3/18/2010 2.61 3.93
3/19/2010 2.76 3.98
3/22/2010 2.57 4
3/23/2010 2.68 4.05
3/24/2010 3.29 4.14
3/25/2010 3.58 4.29
3/26/2010 3.57 4.46
3/29/2010 3.67 4.63
3/30/2010 3.75 4.73
3/31/2010 3.5 4.81
4/1/2010 3.68 4.92
4/2/2010 4.02 4.91
4/5/2010 4.42 5.05
4/6/2010 4.45 5.14
4/7/2010 4.23 5.24
4/8/2010 4.28 5.36
4/9/2010 4.41 5.5
4/12/2010 4.49 5.64
4/13/2010 4.54 5.84
4/14/2010 4.91 6.02
4/15/2010 5.16 6.14
4/16/2010 4.99 5.78
4/19/2010 4.98 5.72
4/20/2010 5.16 5.73
4/21/2010 5.14 5.71
4/22/2010 5.32 5.62
4/23/2010 5.58 5.61
4/26/2010 5.75 5.74
4/27/2010 5.29 5.74
4/28/2010 5.42 5.67
4/29/2010 5.32 5.73
4/30/2010 5.1 5.83
5/3/2010 5.31 5.9
5/4/2010 4.85 5.83
5/5/2010 4.01 5.59
5/6/2010 2.41 4.82
5/7/2010 1.5 3.98
5/10/2010 2.53 4.58
5/11/2010 2.21 4.3
5/12/2010 2.88 4.52
5/13/2010 3.05 4.64
5/14/2010 2.11 4.52
5/17/2010 2.03 4.46
5/18/2010 1.65 4.42
5/19/2010 1.05 4
5/20/2010 -0.38 3.31
5/21/2010 -0.8 3.23
5/24/2010 -0.51 3.23
5/25/2010 -1.65 2.91
5/26/2010 -0.81 3.04
5/27/2010 -0.14 3.13
5/28/2010 -0.11 3.21
5/31/2010 -0.11 3.21
6/1/2010 -0.35 3.11
6/2/2010 -0.26 3.06
6/3/2010 0.21 3.14
6/4/2010 -0.65 3.08
6/7/2010 -0.76 3.05
6/8/2010 -1.16 2.86
6/9/2010 -1.15 2.77
6/10/2010 -0.81 2.63
6/11/2010 -1.17 2.54
6/14/2010 -0.76 2.6
6/15/2010 -0.27 2.66
6/16/2010 0.08 2.74
6/17/2010 0.36 2.87
6/18/2010 0.74 2.94
6/21/2010 1.4 3.21
6/22/2010 1.07 3.22
6/23/2010 0.77 3.17
6/24/2010 0.51 3.05
6/25/2010 0.45 2.98
6/28/2010 0.32 3.04
6/29/2010 -0.29 2.83
6/30/2010 -0.4 2.69
7/1/2010 -0.51 2.52
7/2/2010 -0.32 2.51
7/6/2010 -0.26 2.59
7/7/2010 -0.07 2.54
7/8/2010 0.43 2.61
7/9/2010 0.88 2.67
7/12/2010 1.06 2.78
7/13/2010 1.7 3.08
7/14/2010 1.63 3.15
7/15/2010 1.43 3.24
7/16/2010 1.37 3.27
7/19/2010 1.5 3.3
7/20/2010 1.44 3.31
7/21/2010 1.62 3.38
7/22/2010 1.94 3.57
7/23/2010 2.36 3.63
7/26/2010 2.64 3.82
7/27/2010 3.12 4.16
7/28/2010 2.99 4.34
7/29/2010 2.9 4.41
7/30/2010 2.49 4.34
8/2/2010 2.84 4.5
8/3/2010 2.75 4.5
8/4/2010 3.06 4.55
8/5/2010 2.97 4.59
8/6/2010 2.7 4.57
8/9/2010 2.9 4.63
8/10/2010 2.65 4.68
8/11/2010 1.93 4.61
8/12/2010 1.66 4.52
8/13/2010 1.48 4.51
8/16/2010 1.24 4.55
8/17/2010 1.58 4.6
8/18/2010 1.72 4.62
8/19/2010 1.56 4.63
8/20/2010 1.6 4.59
8/23/2010 1.61 4.65
8/24/2010 1.15 4.57
8/25/2010 1.19 4.52
8/26/2010 1.13 4.58
8/27/2010 1.61 4.6
8/30/2010 1.33 4.65
8/31/2010 1.03 4.65
9/1/2010 1.6 4.75
9/2/2010 1.92 4.83
9/3/2010 2.31 4.93
9/7/2010 2.16 5.04
9/8/2010 2.51 5.12
9/9/2010 3.09 5.17
9/10/2010 3.43 5.24
9/13/2010 3.56 5.37
9/14/2010 3.48 5.44
9/15/2010 3.7 5.47
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Chart 1 Returns Department

Adjusting for runup in Treasury prices, loans have outperformed junk bonds this year

7 US HY Excess US Loans Total


6 Returns Returns

5
4
3
2
% 1
0
-1
-2
-3
1/20/2010 2/22/2010 3/24/2010 4/23/2010 5/25/2010 6/24/2010 7/27/2010 8/26/2010
1/4/2010 2/4/2010 3/9/2010 4/8/2010 5/10/2010 6/9/2010 7/12/2010 8/11/2010 9/13/2010

Source: Barclays Capital