JP Morgan Fixed Income Look- . Current high-yield bond spreads imply a 5.9% default rate, nearly triple our 2% default $JNK

· Fixed income – mid-year update – from JPMorgan’s  - Over the past 6 months, the annualized default rates for high-yield bonds and loans were a mere 0.2% and 2.1%, respectively. Even if US economic growth were to disappoint over the next 12 months, we do not believe the default outlook for either bonds or loans would change much through 2011. We are maintaining our current default forecast through YE 2011 for high-yield bonds and loans of 2% and 4%, respectively.  Current high-yield bond spreads imply a 5.9% default rate, nearly triple our 2% default forecast through year-end 2011.  We anticipate a more moderate pace of bond issuance in 2H10 with volume totaling $75 billion, bringing full year volume to $200 billion. For leveraged loans, we also expect $75 billion of issuance in 2H10, bringing full-year volume to $140 billion, the most since 2007.