JPMorgan Econ FI-JPM High-Yield and Leveraged Loan Morning Intelligence--此为英文文档

NorthAmericaCreditResearch

8August2023

JPMHigh-YieldandLeveragedLoanMorningIntelligence

--Pre-openrelevantlevels:S&PFutures-20ptsto4518;5-yearTreasury4.10%(-7bpearlyam);10-yearTreasury4.00%(-9bpearlyam);WTICrude-$1.33to$80.6(-$0.88d/d);BrentCrude-$1.49to$83.9(-$0.90d/d);Nikkei+0.38%;ShanghaiComp-0.25%;Euro-Stoxx-1.19%;USHYyields8.63%(-3bpd/d);USHYspreads427bp(-6bpd/d);LoanYTM9.32%(+1bpd/d);LoanSTM526bp(-1bpd/d)

--Monday’sFundFlows:HYETFs-$313mn,HYactivelymanaged+$23mn,LoanETFs+$5mn,Loanactivelymanaged+$13mn.OutflowsforHYandloanfundsweek-to-datetotalanestimated-$614mnand-$26mn,respectively,followingoutflowsthepriorweektotaling-$1.0BNand-$278mn.

--MostActivelyTradedIssuers:F,CCL,DISH,TIBX,QVCN

--TraceandDealerActivity:TheJPMDM$USestimateforHYtradedMondayis$6.3bnvs.$8.4bnYTDavg.ThiscomparestoFINRA'sreported$9.9bnofHYtradedMonday.Dealersnetsold$44mnofbondstoclientsand$1293mnofbondsoverthepast5days.

--DistressedLoans:Thevolumeofdistressedloansisdown$23.2bnthepasttwomonthsandisonly$4bnaboveayear-to-datelow.Specifically,theamountofloanstradingatorbelow$80decreased$9.2bnm/mto$110.0bnor7.7%ofoutstanding.Thisisdownfrom$140bnatYE22andcomparesto$323bninMarch2020.Ofloansclassifiedasdistressed22%isHealthcare,20%isTechnology,and12%isServices.Meanwhile,theuniverseofloanstradingsub-$60andsub-$70changed-$3.9bnand+$2.5bnm/mto$23.7bn(or1.7%)and$58.9bn(or4.1%),respectively.Assuchthesub-$60universeis$18bnbelowJanuary’s32-monthhigh,whilethesub-$70universeis$15.0bnbelowDecember’s31-monthhigh.Thelargestcontributorstothesub-$70loanuniverseareTPORT,LUMN,AIMEGR,RAX,LOGM,SFLY,USRENA,PRETPK,andTELSAT.Notethecombineddistresseduniverseofbonds/loans(STW1000bp+/sub-$80)isnow$209bnor7.6%ofleveragedcredit,whichdecreased-$22.5bnm/m(-10%)andisitan11-monthlow.

--OvernightPriceAction:S&PFuturesaredown40bp,copperpricesease2%,and10yrUSTreasuryyieldsaredown9bp(4.0%)alongsideyieldsacrossEurope(10yrBund-13bp)amidafocusonweakChinaimports,anunexpected40%windfalltaxonItalianBankprofits(link),andMoody’sratingsdowngradesto10smallerUSbanks(link).China’sJulyexportsfellatthesteepestpacesince2020albeitwerelargelyin-linewithexpectations,butimportsdisappointeddown5.8%m/mamidweakdomesticdemand(link).Meanwhile,USsmallbusinessoptimismadvancedtoan8-monthhighinJuly.Today’squietcalendarincludesTradeBalance(8:30am)andFedspeak.Withoureconomistsanticipatingabenign+0.17%m/mriseincoreCPIonThursday,therearecurrentlyonly35%oddstheFedhikesagainbetweennowandyear-end.With431S&Pco.reportingfor2Q,EPSgrowth(-8.2%y/yvs-3.6%1Q)andrevenuetrends(+0.4%vs+4.3%1Q)arebeatingdownbeatconsensus(-12%EPS,+0%Sales).AfterlastFriday’s200bpaverageincreasetoJPMs2H23USforecast,oureconomistshaverevisedEuroarea4Q23forecastup0.25%to0.75%.JPMsglobalassetallocationteamstaysUWequitiesandcreditversuscashand

commodities(link)arguingequityvaluationsarepricinginanevenmoreoptimisticscenariothanasoftlanding.

ThisMorning’sHeadlinesandHighlights:

--China:Julyexportslargelyinlinewithexpectations,butimportsdisappointed;Ng--Moody’sCutsUSBanksonMountingFundingCosts,OfficeExposure;BBG--Italyshocksbankswith40%windfalltaxfor2023;Rtrs--Germaninflationeasesto6.5%inJuly;Rtrs--TheJ.P.MorganView:StayUWequitiesandcreditvs.cashandcommodities;Kolanovic--NewLendingbyMortgageREITsHasDriedUp;WSJ

--High-YieldandLeveragedLoanMarketBrief:High-yieldbondpricesrosemodestlyonMonday(+$0.12d/d,HYG+0.19%)andspreadstightenedalongsidea0.9%gainintheS&P500asequitiesreboundedfromtheirworstweeklydeclinesinceMarch.Aswell,threedealsfor$1.2bnpricedyesterdaywhichhasAugustissuancetotaling$2.6bn(or$0.8bnex-refi)followingonly$6.7bn(or$1.4bnex-refi)ofissuanceinJuly.High-yieldbondyieldsandspreadsdecreased3bpand6bponMondayto8.63%and427bp,whicharenow53bpand20bpabovetheyear-to-datelowand65bpand133bpbelowtheirMarchhigh.Yieldsandspreadsareup16bpand19bpmonth-to-dateand60bpand84bpyear-to-date.Byrating,BByieldsarenow7.19%(-2bpd/d),Byieldsare8.81%(-3bpd/d),andCCCyieldsare13.85%(-7bpd/d).AndBB,BandCCCspreadsof284bp(-5bpd/d,-33bpYTD),445bp(-5bpd/d,-89bpYTD),and943bp(-12bpd/d,-218bpYTD)are14%,15%,and11%belowwiththeirlong-termnon-recessionaryaverages.HY/IGspreadsof305bp(-4bpd/d)are20bpabovelastweek’slowsince4/22/22andare98bpbelow3/24’shighsince10/3/22.Meanwhile,BBB/BBspreadsof134bp(-3bpd/d)are4bpbelowthe12Maverageandare21bpabove7/24/23’slowsince11/7/22.High-yieldbondsareprovidinga-0.44%lossinAugustwithSingleBs(-0.37%)outperformingCCCs(-0.38%)andBBs(-0.48%).AndtheHYindexisprovidinga+6.85%gainyear-to-datewithCCCs(+13.01%)outperformingSingleBratedbonds(+7.48%)andBBbonds(+5.25%).Industriesoutperformingyear-to-dateincludeAutomotive(+12.30%)andHousing(+9.76%)withtheunderperformersBroadcasting(+0.10%)andUtility(+4.45%).High-yieldissuancetotals$104.1bnyear-to-date(or$38.9bnex-refinancing)whichcomparesto$72.9bn(or$39.0bnex-refi)YTD22.

Source:J.P.Morgan

Sources:J.P.Morgan;S&P/IHSMarkit

Leveragedloanpricesincreased+$0.03onMondayto$95.32andlaggedtherallyinequitieswithBBloanpricesincreasing+$0.03to$99.01,SingleBloanspricesincreasing+$0.02to$96.32,andSplit

B/CCCloanpricesincreasing+$0.17to$79.33.Forcontext,theaverageloanpriceof$95.28compareswiththeYTDlowandhighof$92.86and$95.53.Andthesub-$80,$80-$89.99,$90-$94.99,$95-$97.99,$98-$98.99,$99-$99.99,and$100+bucketsforLoansarenowat4.2%,6.4%,8.7%,19.0%,13.6%,41.8%,6.3%.Leveragedloanyieldsincreased1bpandspreadsdecreased1bponMondayto9.32%and526bp,whichare33bpand9bpabovetheirYTDlowand58bpand65bpbelowtheirYTDhigh.Yieldsandspreadsaredown1bpandup4bpmonth-to-dateanddown65bpand66bpyear-to-date,respectively.Byrating,BB,BandCCCloanspreadsof310bp(+2bpMTD,-23bpYTD),513bp(+4bpMTD,-91bpYTD),and1343bp(-8bpMTD,-351bpYTD)are5%below,3%above,and15%abovetheirlong-termnon-recessionaryaverages.Andtheyield-to-maturityforleveragedloanindexof9.32%isnow70bpabovetheHYbondindex(8.63%),whichiscomparabletoanaverage54bpaboveoverthepastyear.TheLeveragedLoanindexisprovidinga+0.10%gaininAugustwithCCCloans(+0.26%).outperformingBBloans(+0.09%)andBloans(+0.08%).OnanYTDbasis,theLeveragedLoanindexisprovidinga+7.93%gainwithCCCs(+11.58%)outperformingSingleBs(+8.80%)andBBloans(+5.94%).Bycomparison,high-yieldandhigh-gradebondsarereturning+6.85%and+2.52%YTD,respectively.Meanwhile,CLOissuanceex-refi/resetstotals$1.9bninAugustfollowing$7.3bninJulywhichincreasesyear-to-dateactivityto$65.2bnvs$87.0bnYTD22.Andmonth-to-dateissuancetotaling$9.8bn(or$1.5bnex-refi/repricing)followsJulyinstitutionalloanissuancetotaling$23.0bn(or$6.2bnex-

refi/repricing).Assuchyear-to-dateinstitutionalloanvolumestotals$168.2bn($38.2bnex-refi/repricing),whichisdownfrom$190.0bn($133.8bnex-refi/repricing)overthesameperiodayearago.

Sources:J.P.Morgan;S&P/IHSMarkit

Sources:J.P.Morgan;S&P/IHSMarkit

Source:J.P.Morgan

Source:J.P.Morgan

Theattachedexcelgraphshistoricalvolumeandpercentageofhigh-yieldbondstradingatorbelow$90,$70,$50,$25andwideof1000bp.Thereisalsoachartattachedwhichincludesthedistressedratio(sub-$70)versusthedefaultrate.High-yieldbondsprovidedsolidgainsinJulythatincludedanothermonthofoutperformancebyCCCs.Assuch,theamountofbondstradingwideof1000bpdecreasedforthesixthtimeinthelastsevenmonthstoalowsinceMay-22.Specifically,thevolumeofbondstrading1000bp+decreasedby-$13bnm/m(-$40bnoverthelast4months)to$99bnor7.5%oftheuniverse.Down$43.2bnyear-to-date,theuniverseofbondstradingwideof1000bpof$99bncomparestoamulti-yearhigh$149bninJune2022andashighas$418bnor32.0%inMarch2020.Notethismetricaveraged10%oftheuniversein4Q19aheadofthepandemic.Healthcarebondsaccountfor19%ofbondstrading1000bp+,whichisfollowedbyTelecom(16%)andCable/Sat.(14%).Thelargestcontributorsofbondstradingwideof1000bpareBHCCN,CSCHLD,NEWLSQ,CVNA,LUMN,DISH,CYH,andSPLS.Theseissuersaccountfor44%oftheuniverse.Historically,a1000bp+bonduniverseof8-12%hasproducedanaverage12Mforwarddefaultrateof2.4%(53examples).Meanwhile,thevolumeofbondstradingatorbelow$70decreasedby-$9bnm/m(-$29bnoverpast2months)to$87.4bnor6.6%ofthenon-defaulteduniverse.NotablythisuniverseisnowatalowsinceAug-22.

Forcontext,thesub-$70universestoodat$24bnatyear-end2020,$75bninFeb-20(pre-pandemic)andreached$226bninMar-20.Healthcarebondsaccountfor22%ofbondstradingatorbelow$70,whichisfollowedbyTelecom(19%)andCable/Sat(18%).Meanwhile,thesub-$50universedecreasedby$5.1bnm/mto$24.7bn(or1.9%oftheuniverse)versus$42bnbefore2020’srecession.Noteaccountingforalmost60%ofthesub-$50universeareNEWLSQ,BHCCN,CSCHLD,LUMN,andRAX.

Meanwhile,theparamountofhigh-yieldbondstradingatorbelow$90decreasedforthesecondconsecutivemonthby$37bnm/mto$555bn(alowsinceJul-22),or41.9%ofthenon-defaulteduniverse.

Thisisabovethe$534bnor40.9%oftheHYuniversewhichtradedsub-$90inMarch2020andiscomingoffahighsince2008’sGFC.Ofcourse,thesurgeinrateshasbeenlargelyresponsiblefortheweaknessinhigh-yieldbondprices.

Source:J.P.Morgan

Source:J.P.Morgan

Industryvolume ($bn)

Source:J.P.Morgan

STW>1000bp

Percentofthe

Totalvolume

Percentoftotal

sector'stotal

($bn)

distresseddebt

outstanding

Automotive

6.0

6.1%

7.1%

84.8

Broadcasting

5.2

5.3%

15.6%

33.6

CableandSatellite

13.9

14.1%

15.7%

89.0

Chemicals

3.3

3.4%

9.6%

34.7

ConsumerProducts

0.6

0.6%

2.2%

28.8

DiversifiedMedia

0.8

0.8%

4.9%

16.7

Energy

0.6

0.6%

0.4%

151.0

Financial

4.2

4.3%

3.9%

107.9

FoodandBeverages

1.4

1.4%

2.9%

49.9

GamingLodgingLeisure

4.0

4.1%

3.5%

114.8

Healthcare

19.2

19.5%

16.2%

118.7

Housing

Industrials

MetalsandMiningPaperandPackagingRetail

ServicesTechnologyTelecommunicationsTransportation

0.0%2.0%0.3%0.5%6.3%4.5%9.6%15.8%0.4%

0.0 1.90.30.56.24.49.515.50.4

0.0% 3.0% 0.8% 1.5%13.9% 6.1%10.9%37.3%1.1%

Utility

0.30.3%1.0%

98.67.5%

Note:Non-DefaultedDomestic$HYbonds

50.065.030.436.244.772.087.341.634.830.6

1,322.5

Source:J.P.Morgan

--AttachmentoftheDay:TheSub-$80LeveragedLoanUniverseisonly$4bnaboveayear-to-datelow

Source:J.P.Morgan

Source:J.P.Morgan

Theattachedexcelincludeshistoricalvolumesandpercentageofinstitutionalloanstradingatorbelow$80,$70,and$60since2010.Alsoincludedisthehistorical%ofleveragedloanstradingsub-$80vs.defaultratesandabreakdownofdistressedloansbyindustry.TheLeveragedLoanindexposteda+1.20%gaininJulywithoutperformancedowninqualityamidstronggrowthdataandmoderatinginflation.WithCCCs/B3soutperforming,thevolumeofdistressedloansdeclinedforthesecondconsecutivemonthandisonly$4.0bnaboveitsYTDlow.Specifically,theamountofloanstradingatorbelow$80decreasedby-$9.2bnm/mto$110.0bnor7.7%ofoutstanding.Forcontext,theamountofsub-$80loansstoodat$140bnatYE22,$323bninMarch2020,and$67bninFebruary2020.Down$23.2bninJuneandJuly,thedistresseduniverseof$110.0bnisstillcomfortablyabovethe$58.8bnwhichstoodinthesub-$80basketinAugust2022.Ofthe$110.0bnofleveragedloansclassifiedasdistressed22%isHealthcare,20%isTechnology,and12%isServices.Historically,inthe25historicalexampleswherethedistresseduniverseaccountedfor8-10%ofoutstanding,theaveragedefaultrate12Mforwardwas

2.5%.DuringtheGFCthe%oftheloanmarketthattradedbelow$80peakedat81%(Dec-08)andduringthe2000-02recessionthe%peakedat17.4%(Oct-02).Meanwhile,theuniverseofloanstradingsub-$60andsub-$70changed-$3.9bnand+$2.5bnm/mto$23.7bn(or1.7%)and$58.9bn(or4.1%),respectively.Assuchthesub-$60universeis$17.7bnbelowJanuary’s32-monthhigh,whilethesub-$70universeis$15.0bnbelowDecember’s31-monthhigh.Thelargestcontributorstothesub-$70loanuniverseareTravelport,LumenTechnologies,AirMedicalGroup,Rackspace,LOGM,Shutterfly,U.S.RenalCare,PretiumPackaging,andTelesatCanada.Notably,theseissuersaccountfor39%ofthedistresseduniverse.Additionally,61%ofthesub-$70universeareloanonlyissuers.Meanwhile,thesub-$90universeofloansdeclinedforthesecondconsecutivemonthfollowingitssecondlargestdecreasesinceMay-20inJune.Specifically,theamountofsub-$90loansdecreased$25.8bnm/mto$225.9bnor16%andissittingatalowsinceAug-22.Meanwhile,thedistresseduniverseofbonds/loansdecreasedinJulytoalowsinceAugust2022.Specifically,thedistresseduniverseofbonds/loanstotals$208.5bn(-$22.4bnm/m)whichequatesto7.6%ofleveragedcreditandcomparesto$549bnor29.1%inMar-20and$214bnor8.9%inFeb-20.Thisrepresentsbondstrading1000bp+andloansbelow$80,andhistoricallyaboutone-thirdofthis7.6%universedefaultsoverthenext12months.

Source:J.P.Morgan

Source:J.P.Morgan

InstitutionalLoans

No.Avg.Changeinvolume

endprice($bn)issuersendprice1mo.6mo.12mo.

$<60

23.7

1.7%

54

41.6

-3.9

-17.7

6.9

60<=$<70

35.1

2.4%

35

64.5

6.47.1

23.7

70<=$<80

51.1

36%

66

75.5

-1162.2

20.1

80<=$<90

115.9

8.1%

135

85.4

-16.6

-29.9

-35.9

90<=$<100

1,098.6

76.6%

961

97.5

-13.6

-78.3

-200.5

$>=100

Total

SecondLienTermLoan

110.4

1,434.9

7.7%

89

1,340

No

100.3

92.6

Avg

37.9

38.5

-1.4

-78.1

Changeinvolume

100.2

-85.4

endprice

($bn)

issuers

endprice

1mo.

6mo.

12mo.

$<60

60<=$<70

70<=$<80

80<=$<90

90<=$<100

$>=100

Total

Source:J.P.Morgan

5.3

5.0

4.5

20.1

30.4

1.8

67.1

7.9%

7.5%

6.6%

30.0%

45.3%

2.7%

25

11

20

50

80

1

187

41.3

63.0

75.5

85.7

94.3

100.1

81.8

-0.4

-0.1

-1.3

-0.7

0.1

1.5

-0.8

-2.3

0.4

-3.4

-1.0

-2.1

1.0

-7.5

0.7

4.1

2.0

1.3

-19.1

0.1

-10.9

--High-YieldBondFlows:Outflowsweek-to-dateforHYbondfundstotalanestimated-$614mn.HYbondfundshadestimatedoutflowstotaling-$285mnonMonday,whichcomparetoinflowsof+$321mnonFriday,inflowsof+$71mnonThursdayandoutflowsof-$1.0BNforthepriorreportingweek.Morespecifically,theHYETFshadoutflowstotaling-$313mnyesterday,whichcomparetoinflowsof+$439mnonFridayandinflowsof+$71mnonThursday.Andactivelymanagedfundshadestimatedinflowstotaling+$28mnyesterday,whichcomparetooutflowsof-$118mnonFridayandinflowsof+$0mnonThursday.

--LeveragedLoanFlows:Outflowsweek-to-dateforleveragedloanfundstotalanestimated-$26mn.Loanfundshadanestimated+$18mninflowsonMonday,+$5mnofwhichwasETFs,whichcomparestoinflowsof+$45mnonFriday,outflowsof-$89mnonThursdayandoutflowsof-$278mnforthepriorreportingweek.OutflowsforLoanfundsYTDtotal-$19.1bn(-$855mnETFs,4%oftotaloutflows),comparedwith+$10.1bnofinflowsoverthesameperiodin2022.

Sources:J.P.Morgan;LipperFMI

--CLOIssuance:Month-to-date,5USCLOshavepricedtotaling$2.3bn($1.9bnex-refinancingand$0.4bnrefinancing)and1EuroCLOhaspricedtotaling€0.4bn(€0.4bnex-refinancingand€0.0bnrefinancing).Year-to-date,155USCLOshavepricedtotaling$67.2bn($65.2bnex-refinancingand$2.0bnrefinancing)and37EuroCLOshavepricedtotaling€14.0bnascomparedwith229USCLOstotaling$108.8bnand58EuroCLOstotaling€23.2bnforthesametimeperiodlastyear.

--TraceVolumes:JPMestimates$6.3bnofDM$USHYtradedMondayvs.a20-dayavg.of$7.3bn.ThemostactivelytradedindustrywasTechnology($0.6bn)followedbyGamingLodgingAndLeisure($0.6bn).AndbyratingcategoryBB(45%),B(42%)andCCC(13%).AccordingtoFINRA,$9.9bnofHYtradedMondayversus$8.6bnthepriorday(combinesbothnon-144Aand144As).AverageHYtradingvolumesare$11.8bnMTDand$12.9bnYTD.FordetailsonTRACEvolumesforindividualbondsseehere/research/content/publication/9001750

Sources:J.P.Morgan;BloombergFinanceL.P.

NelsonJantzen,CFAAC

(1-212)270-1169

nelson.r.jantzen@

J.P.MorganSecuritiesLLC

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AllauthorsnamedwithinthisreportareResearchAnalystswhoproduceindependentresearchunlessotherwisespecified.InEurope,SectorSpecialists(SalesandTrading)maybeshownonthisreportascontactsbutarenotauthorsofthereportorpartoftheResearchDepartment.

ImportantDisclosures

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ExplanationofCreditResearchValuationMethodology,RatingsandRisktoRatings:

J.P.Morganusesabond-levelratingsystemthatincorporatesvaluations(relativevalue)andourfundamentalviewonthesecurity.Ourfundamentalcreditviewofanissuerisbasedonthecompany'sunderlyingcredittrends,overallcreditworthinessandouropiniononwhethertheissuerwillbeabletoserviceitsdebtobligationswhentheybecomedueandpayable.Weanalyze,amongotherthings,thecompany'scashflowcapacityandtrendsandstandardcreditratios,suchasgrossandnetleverage,interestcoverageandliquidityratios.Wealsoanalyzeprofitability,capitalizationandassetquality,amongothervariables,whenassessingfinancials.Analystsalsoratetheissuer,basedontheratingofthebenchmarkorrepresentativesecurity.Unlesswespecifyadifferentrecommendationforthecompany’sindividualsecurities,anissuerrecommendationappliestoallofthebondsatthesameleveloftheissuer’scapitalstructure.Wemayalsoratecertainloansandpreferredsecurities,asapplicable.Thisreportalsosetsoutwithinitthematerialunderlyingassumptionsused.

Weusethefollowingratingsforbonds(issues),issuers,loans,andpreferredsecurities:Overweight(overthenextthreemonths,therecommendedriskpositionisexpectedtooutperformtherelevantindex,sector,orbenchmark);Neutral(overthenextthreemonths,therecommendedriskpositionisexpectedtoperforminlinewiththerelevantindex,sector,orbenchmark);andUnderweight(overthenextthreemonths,therecommendedriskpositionisexpectedtounderperformtherelevantindex,sector,orbenchmark).J.P.MorganEmergingMarketsSovereignResearchusesMarketweight,whichisequivalenttoNeutral.NRisNotRated.Inthiscase,J.P.Morganhasremovedtheratingforthisparticularsecurityorissuerbecauseofeitheralackofasufficientfundamentalbasisorforlegal,regulatoryorpolicyreasons.Thepreviousratingnolongershouldbereliedupon.AnNRdesignationisnotarecommendationorarating.NCisNotCovered.AnNCdesignationisnotaratingorarecommendation.

ForCDS,weusethefollowingratingsystem:LongRisk(overthenextthreemonths,thecreditreturnontherecommendedpositionisexpectedtoexceedtherelevantindex,sectororbenchmark);Neutral(overthenextthreemonths,thecreditreturnontherecommendedpositionisexpectedtomatchtherelevantindex,sectororbenchmark);andShortRisk(overthenextthreemonths,thecreditreturnontherecommendedpositionisexpectedtounderperformtherelevantindex,sectororbenchmark).

J.P.MorganCreditResearchRatingsDistribution,asofJuly08,2023

OverweightNeutralUnderweight

(buy)(hold)(sell)

GlobalCreditResearchUniverse*IBclients**

29%61%

55%58%

16%

60%

*Pleasenotethatthepercentagesmaynotaddto100%becauseofrounding.

**Percentageofsubjectcompanieswithineachofthe"Overweight,""Neutral"and"Underweight"categoriesforwhichJ.P.Morganhasprovidedinvestmentbankingserviceswithintheprevious12months.

ForpurposesofFINRAratingsdistributionrulesonly,ourOverweightratingfallsintoabuyratingcategory;ourNeutralratingfallsintoaholdratingcategory;andourUnderweightratingfallsintoasellratingcategory.TheCreditResearchRatingDistributionisattheissuerlevel.IssuerswithanNRoranNCdesignationarenotincludedinthetableabove.Thisinformationiscurrentasoftheendofthemostrecentcalendarquarter.

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