Anne PopLin.

President
555 CALl|OkNlA 8Jk||J, 8ulJ| 2975
8AN |kANCl8CO, CA 9=l0=
J|L. =l5.7.=000 l |Ax. =l5.7.2=80
S,mphon, Asset Hanagement LL is an in inestment adisor registered with the J.S. Secnrities and Jchange ommission. This presentation is proided for
informational and edncational pnrposes onl, and shonld not Ie considered an offer or solicitation to In, an, secnrit, or inestment management serices. The
statements contained herein are Iased solel, npon the opinions of S,mphon,. All opinions and iews constitnte onr jndgments as of the date of writing and are
snIject to change at an, time withont notice. ertain information herein was oItained from third part, sonrces we Ieliee to Ie reliaIle: howeer. we maLe no
representation regarding its accnrac, or completeness.
redit spreads are at attractie leels relatie to historical aerages
0 bp
200 bp
400 bp
600 bp
800 bp
1000 bp
1200 bp
1400 bp
1600 bp
1800 bp
2000 bp
1
/
1
/
1
9
9
2
8
/
1
/
1
9
9
2
3
/
1
/
1
9
9
3
1
0
/
1
/
1
9
9
3
3
/
1
/
1
9
9
4
1
2
/
1
/
1
9
9
4
7
/
1
/
1
9
9
3
2
/
1
/
1
9
9
6
9
/
1
/
1
9
9
6
4
/
1
/
1
9
9
7
1
1
/
1
/
1
9
9
7
6
/
1
/
1
9
9
8
1
/
1
/
1
9
9
9
8
/
1
/
1
9
9
9
3
/
1
/
2
0
0
0
1
0
/
1
/
2
0
0
0
3
/
1
/
2
0
0
1
1
2
/
1
/
2
0
0
1
7
/
1
/
2
0
0
2
2
/
1
/
2
0
0
3
9
/
1
/
2
0
0
3
4
/
1
/
2
0
0
4
1
1
/
1
/
2
0
0
4
6
/
1
/
2
0
0
3
1
/
1
/
2
0
0
6
8
/
1
/
2
0
0
6
3
/
1
/
2
0
0
7
1
0
/
1
/
2
0
0
7
3
/
1
/
2
0
0
8
1
2
/
1
/
2
0
0
8
7
/
1
/
2
0
0
9
2
/
1
/
2
0
1
0
9
/
1
/
2
0
1
0
4
/
1
/
2
0
1
1
P? Spread Lo WorsL Loan uM 3yr
Date
HY Spread to
Worst
Loan DH
8-yr
12/81/200 88 16
12/81/2008 106 199
12/81/2009 688 696
12/81/2010 1
8/81/2011 28 21
Leered redit is heap.
2
HY aerage: 86 Ips
Loan aerage: 111 Ips
Source: Credit Suisse High Yield ndex and Credit Suisse Leveraged Loan ndex
n light of corporate defanlt forecasts. Ialance sheet leerage and cash/deIt ratios. credit spreads are
een more attractie
.Jelatie to the Health of orporate Lalance Sheets

espite health, Ialance sheets and positie credit ontlooL. olatilit, is a concern
We hae Ieen shifting portfolios to Ie more defensie
- Sta,ing in liqnid inestments
- Haintaining low leerage
- Haintaining c,clical and portfolio hedges
- Selectiel, adding shorter matnrit, and higher qnalit, positions
efensie Portfolio: HaLing Hone, is not Losing Hone,
=
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
7
/
1
/
2
0
1
1
7
/
8
/
2
0
1
1
7
/
1
5
/
2
0
1
1
7
/
2
2
/
2
0
1
1
7
/
2
9
/
2
0
1
1
8
/
5
/
2
0
1
1
8
/
1
2
/
2
0
1
1
8
/
1
9
/
2
0
1
1
8
/
2
6
/
2
0
1
1
9
/
2
/
2
0
1
1
R
o
I
I
i
n
g

1
0

D
a
y

V
o
I
D
a
i
I
y

R
e
t
u
r
n
ndex Return 10 Day Return Vol
Source: Merrill Lynch High Yield Master ndex
VoIatiIity in the HY market