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1 KDP ASSET MANAGEMENT, INC. High Yield Asset Outlook Update April 2015 KDP Asset Management, Inc. 24 Elm Street Montpelier, Vermont KDP
2 HY Market Volatility Remains Low on a Relative Basis HY CDX OTR 5Y /31 3/31 6/30 9/ Source: Bloomberg data through 3/31/ KDP
3 Credit Surveys: Institutional Investor Concerns Source: Chart 1: Bank of America Merrill Lynch. Situation Room 3/13/2015 Chart 2: Bank of America Merrill Lynch. Credit Market Strategist 1/16/2015 Chart 3: Bank of America Merrill Lynch. US Fixed Income Weekly 11/7/2014 Chart 4: Bank of America Merrill Lynch. Credit Market Strategist 9/12/ KDP
4 Fund Flows by Asset Class 2015 (4/2) Loans -13.2% 2012* Source: Charts 2010: BofA Merrill Lynch. Situation Room: Equity Beat Debt. 1/3/2011 Chart 2011: BofA Merrill Lynch. Situation Room 12/1/2011 * Chart 2012: BofA Merrill Lynch. Situation Room 11/29/2012 Chart 2013 Bank of America Merrill Lynch. The High Yield Flow Report 1/2/2014 Chart 2014: Bank of America Merrill Lynch. Situation Room 1/2/2015 Chart 2015: Bank of America Merrill Lynch. Situation Room 4/2/ KDP
5 Mutual Fund Outflows More Than Offset By Robust CLO Demand Loan Mutual Funds CLO Volume Source: J.P.Morgan. Leveraged Loan Market Monitor 4/1/ KDP
6 Market Size ($ billions) (a) New Issue Volume ($ billions) High Yield Issuance Remains Strong Market Size New Issue Volume (a) Market size excludes defaulted issues. Source: Edward I. Altman, NYU/Salomon Center; BofA Merrill Lynch Global Research; J.P. Morgan; KDP Investment Advisors, Inc. 3/31/ KDP
7 Net Loan Issuance Remains Active on Strong Demand Source: Credit Suisse Leveraged Finance Strategy Monthly 4/2/ KDP
8 Maturity Runway Has Been Extended High Yield Bonds Maturing by Year as of 12/31/08 High Yield Bonds Maturing by Year as of 3/31/2015 Leveraged Loans Maturing by Year as of 12/31/08 Leveraged Loans Maturing by Year as of 9/30/14 Source: Credit Suisse data: Leveraged Finance Strategy Monthly 10/2/2014; 2015 data: 2015 Leveraged Finance Strategy Monthly 4/2/ KDP
9 High Yield Supportive Credit Metrics Source: Morgan Stanley: Leveraged Finance Chartbook 3/30/ KDP
10 KDP DRR Net Change Moody's Default Rate KDP Default Risk Ranking Net Changes & Moody s Default Rate 20 15% 10% 10 5% 0 0% -10-5% -10% % % -25% % KDP Default Risk Ranking Net Change Moody's Default Rate March 31, 2015 Source: KDP 10 KDP
11 High Yield Bond & Loan Defaults High Yield Bonds Insitutitional Bank Loans EX TXU and Caesars 2014 Defaults Were $16.0 Billion (Lowest Since 2007) Note: Includes grace period defaults Source: J.P. Morgan Default Monitor 3/31/2015 On 4/29 TXU filed Chapter 11. Outstanding debt included $16.6B in bonds and $19.5B in institutional loans. This is the largest high-yield default on record. 11 KDP
12 Low Default Environment for Foreseeable Future 14% Moody s Historical High Yield Default Rate 1971 February % 10% 8% 6% 4% 2% 0% 2.7% projected Dec % February 2015 (ex-txu) (ex-txu) Source: Chart 1: KDP Chart 2: : J.P. Morgan Default Monitor 3/31/2015 Note: Loan Defaults are par-weighted 12 KDP
13 Spreads Remain Wide Relative to Default Rates EX TXU 2014 HY Bond Defaults Were 1.68% vs. 2.97% shown on this chart. High Yield Bonds EX TXU 2014 Loan Defaults Were 1.68% vs. 4.20% shown on this chart. Leveraged Loans Source: J.P. Morgan Default Monitor 3/31/2015 Note: HY Bond and Loan Defaults are par-weighted 13 KDP
14 KDP HY Daily Index Yield and 5-Year Treasury Yield 20 KDP Index Yield % - 3/31/ Source: KDP 5-Year Treasury Yield % - 3/31/ Source: Bloomberg 14 KDP
15 1/31/2003 4/30/2003 7/31/ /31/2003 1/30/2004 4/30/2004 7/30/ /29/2004 1/31/2005 4/29/2005 7/29/ /31/2005 1/31/2006 4/28/2006 7/31/ /31/2006 1/31/2007 4/30/2007 7/31/ /31/2007 1/31/2008 4/30/2008 7/31/ /31/2008 1/30/2009 4/30/2009 7/31/ /30/2009 1/29/2010 4/30/2010 7/30/ /29/2010 1/31/2011 4/29/2011 7/29/ /31/2011 1/31/2012 4/30/2012 7/31/ /31/2012 1/31/2013 4/30/2013 7/31/ /31/2013 1/31/2014 4/30/2014 7/31/ /31/2014 1/31/2015 KDP Defensive High Yield Composite to the 5-Year Treasury KDP Defensive High Yield Composite Spread to 5-Year Treasury 1400 High 11/28/ bp /31/ bp Low 5/31/ bp 6/30/ bp Source: KDP 15 KDP
16 High Yield & Loans Both at Attractive Spread Levels Source: Chart 1: Morgan Stanley Credit Strategy Playbook 3/24/2015; Chart 2: Goldman Sachs The Credit Trader 3/27/ KDP
17 For High Yield Investors, Disinflation & Low Growth Best Possible Environment Source: BofA Merrill Lynch. The US Fixed Income Situation: Is the US Becoming Japan?. 8/20/ KDP
18 Credit Surveys: Top Risk-Adjusted Return Over Next 12 Months High Grade Managers High Yield Managers Source: Bank of America Merrill Lynch. Credit Market Strategist 3/13/ KDP
19 This is an analytical piece and the asset classes discussed herein, and any other materials provided to you, are intended only for discussion purposes and are not intended as an offer or solicitation of an offer with respect to the purchase or sale of any security and should not be relied upon by you in evaluating the merits of investing in any securities. These materials are not intended for distribution to, or use by, any person or entity in any jurisdiction or country where such distribution or use is contrary to local law or regulation. Past performance is not indicative of future results. The asset classes discussed herein should not be perceived as investment recommendations and may no longer be in an account s portfolio. It should not be assumed that investments in any asset class discussed was or will prove profitable. Characteristics, allocations and account quality ratings of any particular account may vary based on investment guidelines defined by the client. The views expressed herein represent the opinions of KDP Asset Management, Inc. and its affiliates and are not intended as a forecast or guarantee of future results. This material may not be reproduced or used in any form or medium without express written permission. Additional information on KDP, including fee schedules can be found in Form ADV Part II which is available upon request. 19 KDP
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