J.P.Morgan

J.P.Morgan North America Credit Research 16 February 2012 • Short Circuit IPP February Monthly This is our initial high yield utility monthly. In it, we update our thoughts on the HY utilities we cover, provide credit and industry data and graphs, and summarize recent company and industry news. Over the last month, the Utilities sector underperformed the high yield index, returning 1.37% to HY's 2.74%. In the present monthly, we include an estimate of key IPPs sensitivity to a SI/MMBtu change in natural gas prices. Assuming constant heat rates, and due to their differing generation and hedge portfolio, we estimate that Edison is the most exposed, followed by GenOn and then NRG. Surprisingly, as a percentage of LTM EBITDA, TCEH is not as exposed as some other credits. • We estimate the impact on future revenues of changes in the PJM 2015/16 capacity auction prices. The most exposed credit (as measured by the revenue effect of a $25/MW-day price change divided by LTM EBITDA) is GEN (13%). GEN is followed by EME (8%), DYN (3%), CPN (2%), and NRG (<1%). • We reiterate our Overweight on NRG credit and update our NRG financial model in advance of earnings. We estimate that the company generated $384 million of EBITDA in 4Q11. We expect NRG will address the lower natural gas price environment and how it will impact, if at all, its timeline to refinance the 2017 notes and the company's shareholder friendly actions (i.e., dividends and share repurchases). We model a pick-up in shareholder friendly activities; this assumption may prove conservative if the company does not refinance the 2017 notes and given that NRG may flex the activities down to help guard cash. Despite these assumptions, and using the current natural gas forward price curve (NGA <CMDTY> <GO> CCRV <GO>), we expect gross recourse debt leverage would increase from 4.2x to 5.3x at the end of 2013, before falling to 4.3x at the end of 2014. We believe NRG Energy is set up to survive an extended period of low power prices. We are downgrading our recommendation for Edison Mission Energy to Neutral. We also update our Edison Mission Energy financial model. We believe Edison Mission is one of the most exposed credits in the high yield IPP universe to natural gas price declines. Using the current forward, while assuming that natural gas price decreases result in heat rate increases, we estimate that the company generates $77 million of adjusted EBITDA in 2012, $309 million in 2013, and $582 million in 2014. We estimate that the company would have $580 million of liquidity at the end of 2014, but this presupposes a full refinance of both the EME credit facility and the Midwest Generation credit facility. It also assumes that the 2013 notes are successfully refinanced. Although we value Edison Mission's assets on a $/KW basis, we still believe that the recovery has likely fallen over the last few months and that the notes now trade ahead of recovery value whereas we believe they traded at or around recovery value just a few months ago. Further, over that period, given the fall in power prices, we believe the likelihood of a recovery scenario arising, has increased. These factors arc behind our downgrade of the credit. US Credit Research Dave Katz. CFA AC Bayina Bashtaeva J.V. Mogan Securities LLC See page 58 for analyst certification and important disclosures. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this repot. Investors should consider this report as only a single factor in making their investment decision. EFTA00606159 Dave Kat. CFA North America Credit Research 16 February 2012 Table of Contents J.P. Morgan NRG Energy update 3 Edison Mission Energy update 6 Natural gas price sensitivity 9 PJM capacity auction 11 Industry news 13 Recent company news 14 In Case You Missed It: HY Utilities Reports 18 Utilities credit tracker — STW 19 Utilities credit tracker — YTW 20 Utilities credit tracker — dollar price 21 Comparative company analysis 22 Relative value analysis 23 Fuel Mix by Company 28 Domestic generation capacity rankings 30 Rankings 31 Individual bond trading history 32 Working Natural Gas Total Estimated Storage 42 Working Natural Gas Change in Estimated Storage Data...43 Natural gas futures prices ($/MMBtu) 44 Coal Production 49 Weekly Electricity Output 50 Electricity Output 51 Total Degree Days 52 Average Cooling Degree Days 53 Average Heating Degree Days 54 Generation Share Forecasts and Implied Capacity Factors 55 Estimated Generation by Fuel Type 56 Estimated Capacity Additions, 2007-2030 57 2 EFTA00606160 Dave Katz. CFA North America Credit Research 16 February 2012 NRG Energy update J.P.Morgan We have updated our NRG financial model in advance of earnings. We estimate that the company generated $384 million of EBITDA in the fourth quarter of 2011. Based on the current forward curve, we estimate NRG will generate $1.75 billion in 2012. We expect a more modest EIBTDA of $1.5 billion in 2013 as the company's hedges fall off. We expect EBITDA of $1.8 billion in 2014. On the conference call, we expect the company will spend time laying out how, if at all, NRG's strategy has changed in the current low natural gas price environment. We expect management will address its plans to refinance the 2017 notes. The notes became callable on 15-Jan-12, and can currently be called at a price of 103.688. On prior conference calls, management stated that it would refinance the 2017 notes in early 2012 so that all of its senior notes would have essentially the same covenants. The non-2017 notes and the credit agreement have a restricted payment basket that grows by adjusted EBITDA minus 140% of interest expense. This should build much more rapidly than the calculation under the 2017 notes, which is based on 50% of net income. We believe the company is likely to be fairly interest rate sensitive with regard to any new debt issuance. As such, we expect the notes are only now approaching trading levels that imply the company would undertake a refinance. Although we believe that the company has over $3 billion of secured debt capacity, we do not think that NRG would issue secured debt to refinance the 2017 notes. We believe our model is conservative from the point of view of a credit investor. We assume that the company refinances the 2017 notes and then completes $400 million of share repurchases and $30 million of dividends in 2012. We assume $400 million of share repurchases and $80 million of dividends in 2013. We believe these assumptions are conservative because in a low natural gas price environment, we would expect management would pull back somewhat on shareholder friendly activities. However, even with these assumptions, we still estimate that the company's liquidity ends 2013 at $1.5 billion, down from $1.9 billion at 3Q11. We expect gross recourse debt leverage would increase from 4.2x to 5.3x at the end of 2013, before falling to 4.3x at the end of 2014. Net recourse leverage would increase from 3.6x at the end of 3Q11 to 4.8x at the end of 2013, before dropping to 3.9x at the end of 2014. We believe NRG Energy is set up to survive an extended period of low power prices. As we have indicated above, we believe the company has the relatively easy option of decreasing shareholder friendly activities to guard cash. As such, we reiterate our Overweight on NRG Energy. 3 EFTA00606161 fill king m2l 1101 55 PE ®,« 4 " "g xrd, an 1 it ■ I I I: iv Igtia O els to9 *El If ila EC M.IE EMI; 3 6. 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As we indicate in the Natural gas price sensitivity section of this report, Edison Mission is the most notable credit in the high yield IPP space that does not provide an estimate of the effect of a $1/MMBtu change in natural gas prices. Further, we believe the company is unlikely to provide 2012 EBITDA estimates in conjunction with its earnings release/call given that the 2012 Southern California Edison General Rate Case remains open. As such, analysts am unlikely to have clarity into the impact of recent fonvard curve price changes in the short-term. Using the current forward curve (accessed in Bloomberg by NGA <CMDTY> <GO> CCRV <GO>) and assuming that natural gas price changes result in heat rate changes, we estimate that the company generates $77 million of adjusted EBITDA in 2012, $309 million in 2013, and $582 million in 2014. We estimate that the company would have $580 million of liquidity at the end of 2014, but this presupposes a full refinance of both the EME credit facility and the Midwest Generation credit facility. It also assumes that the 2013 notes are successfully refinanced. If the company were so inclined, it could likely refinance all three of these facilities as secured debt. Using 2013 EBITDA, this would imply secured gross leverage of 4.9x. Still, the ability to refinance has likely become more difficult as natural gas prices have fallen. Further, a refinance of all three as secured debt would layer the non-2013 notes. We value Edison Mission's assets on a $/KW basis (see our initiation linked here for our original valuation), and do not feel that valuations should move in anything approaching a 1:1 relationship to natural gas prices. However, we do feel that as natural gas prices fall, the recovery value of the company's assets falls as well. Recovery values also fall as it becomes more likely that the existing notes are layered. Thus, we believe it is more easily posited that Edison Mission's bonds now trade ahead of recovery value whereas we believe they traded at or around recovery value just a few months ago. Further, over that period, given the fall in power prices, we believe the likelihood of a recovery scenario arising, has increased. As such, we arc don ngrading our recommendation for Edison Mission Energy credit to Neutral from Overweight. 6 EFTA00606164 Dave Katz CFA North America Credit Research 16 Fetruary 2012 Edison Mission Energy X /044NOAL SU1101110 Rate 5.4444 Dont« Little 11040145% J.P.Morgan Mal /Na MYY 40.41 MW Ma/ /Nul Achd Admol mi I u1 Mal Meta bond. NOK blets E•1444 0104 ANS fil 04. 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IM UROA UR 22'2 a 11.133 23'1 114 1411 Ml 543034 os* ~av on ~Naiv 131% SPI 14.1 izters ie 1233 le) ass% San Ifflie a« Canta Ihne J.P.Morgan 8 EFTA00606166 Dave Katz CFA North America Credit Research 16 February 2012 Natural gas price sensitivity J.P.Morgan Natural gas prices have fallen substantially over the last two years. The curve as of 31-Dec-11 averaged roughly $4.37 per MMBtu, compared to $6.96 per MMBtu as of 31-Dec-09, for the roughly six-year period from February 2012 through the end of 2017. However, following the end of the year, prices fell further and now average $4.10 per MMBtu over the same 2012 — 2017 period. The forward curve currently does not move above $4.00 per MMBtu until December 2013. Figure 1: RPM capacity sold in PJM base residual auction • price per MW•day POD, 19 CO SOW srm 11100 SOW $4 00 aeu am 0 ,00 0M tet yy # 41„04/ 1 0Ntetet ytlinnt, 314Deo20 I 1 31.0eb.1010 —304n4010 - • 31.00e-200D Source: Company reports. Given the rapid and substantial decline in natural gas prices, we believe many investors will want to know the extent to which IPP's are exposed to natural gas price moves. There tends to be an inverse relationship between natural gas prices and heat rates. As natural gas prices fall, off-peak market heat rates rise as gas plants displace coal plants. As Calpine indicated on its conference call, some of its competitors' coal plants are now cycling daily while the company's combined cycles are now running baseload in several regions. In on-peak hours, a higher market heat rate is required to cover generators fixed charges incurred for starting and running plants. We believe that most IPPs do not account for this inverse relationship, instead providing sensitivities as if heat rates were fixed. As such, following the current fall in natural gas prices, we would expect IPPs to decrease their sensitivities to further equal moves in natural gas prices. We believe this was to some extent behind the a EFTA00606167 North America Credit Research 16 February 2012 J.P.Morgan decline in the sensitivity for a $1/MMBtu change in natural gas prices as disclosed in Calpine's 3Q1 I and 4Q II conference call slides. However, we also believe the decline was more pronounced than it would be at other 1PPs given Calpine's natural exposure to greater generation volumes as natural gas prices fall. Table 1: Calpine's estimated effect of a $11MMBtu decrease in natural gas prices (S mn) Sensitivity for SUMNIBtu decrease As of 3Q11 As of 4Q11 2012 $149 $61 2013 $340 $224 2014 $366 $271 Source: Company reports and . Morgan animates. GenOn, NRG and TXU provide data on their 3Q I I conference call presentations indicating the extent to which they are exposed to swings in natural gas prices. We have estimated Edison Mission Energy's sensitivity given that the company does not provide the data. As we have indicated, we believe the numbers below, especially for Edison Mission, likely overstate true exposure. In our models, we have attempted to adjust for heat rate effects. For example, our Edison Mission model does not show the same EBITDA sensitivity as indicated below. Table 2: Estimated effect of a 11/MMBtu decrease in natural gas prices ($ mn) from 3O11 data Sensitivity for SUM PrIBtu change EME GEN NRG TCEH 2012 $487 $97 $56 $15 2013 $561 $202 $344 $245 2014 $576 $230 $430 $395 2015 $455 $550 Source: Company reports and. Morgan estmates. Noe: NRG is for beset ad penmen senstentyon?/. We can then compare the data to the company's LTM EBITDA and liquidity. We note that the CPN data is from 4Q11 while the other credits are from 3Q1 I. Differing methodologies may make intercompany comparisons a bit apples-and-oranges, but we believe it is still a useful starting point. Table 3: Implied change in LTM EBITDA and liquidity for a S1IMMBtu change in natural gas prices Change in LTSI EBITDA as %or CITE EBITDA EME GEN NRG TCEII CPN 2012 83% 14% 3% 0% 4% 2013 95% 29% 18% 7% 13% 2014 98% 33% 23% 11% 16% 2015 24% IS% Change in Liquidils as *A or 1:161 EBITDA EDE GEN NRG 'WEN CPN 2012 22% 4% 3% 1% 3% 2013 25% 9% 18% 10% 11% 2014 26% 10% 22% 16% 13% 2015 24% 22% Source: Company newts ands Morgan esirreles Non: NIG is for baseioad generation senvowty only. TCEH equated 6131704 is as per the maintenance =want. CPN data is from 4011. Other company data is horn 3011. 10 EFTA00606168 Dave Katz. CFA NorthAmericaCreditilesearch 16 February 2012 PJM capacity auction J.P.Morgan As winter winds its wily way through our weary souls wailing its abnormally tepid laments, we believe investors will look forward to that which awaits on the vernal horizon. The PJM Reliability Pricing Model ("RPM") Base Residual Auction is set to open on 7-May-12 and close on 11-May-12. The results are scheduled to be posted on 18-May-12. The RPM capacity period runs from 1-Jun to 31-May of the following year. The May-12 auction will be for the period running from I-Jim-15 to 31-May-16. In the past few years, prices have varied substantially from one period to the next and within PJM's regions. As we illustrate for Edison Mission in the figure below, a producer with multiple plants can face drastically different prices from one year to the next and from one plant to the next, depending on the settlement price within PJM's regions. Figure 2: RPM capacity sold in PJM base residual auction • price per MW-day S250 S200 S150 S100 Soo SO J 2 rn 7 0 [repeated 3 times] r [repeated 3 times] Al Al Al o o 0 et et et in Source: Company repots. 47 ea M" U — Midwest Generation Homer City We believe investors will likely want to know key high yield IPP's exposure to 2015/2016 the auction. In the below table, using data from the 2014/15 auction, we estimated the effect of a $25/MW-day change in the PJM RPM capacity clearing price on Calpine, Dynegy, Edison Mission, GenOn, and NRG Energy (TXU does not have PJM exposure). We sort the table for relative exposure. 11 EFTA00606169 Dave Katz. CFA North America Credit Research 16 February 2012 J.PMorgan Table 4: Estimated revenue effect of a $25.1MWday change in PJM capacity 2015116 auction price sensitivity Sensitivity (Smn) for a as a % of S25/MW-day LTM LTM EBITDA (Smn) move EBITDA NRG Energy Inc $1.$73 S9 0.5% Calpine 51.726 S37 2.1% Dyncgy Holdings $399 S14 3.4% Edison Mission S707 S58 8.2% GenOn Energy $698 S$9 12.8% Source: Company repals and t Morgan esomales. As can be seen, as a percentage of company EBITDA, GenOn has the most exposure to swings in the settlement price, followed by Edison Mission. We believe NRG Energy has very little exposure to the PJM auction. We believe Calpine also has relatively modest exposure. t2 EFTA00606170 North America Credit Research 16 February 2012 Industry news J.P.Morgan On 26-Jan-12, FirstEnergy announced that its generation subsidiaries would retire six older coal-fired power plants with total capacity of 2,689 MW located in Ohio, Pennsylvania and Maryland by 1-Sep-12. The company attributed its decision to close the plants to the EPA's Mercury and Air Toxics Standards (MATS), which were recently finalized, and other environmental regulations. On 3-Feb-I2, TVA said that it elected to accelerate the idling schedule of the four units at its Johnsonville plant, with total capacity of 576 MW, "due to operational issues on the remaining units at Johnsonville and to reduce costs." On 7-Feb-12, the Midwest ISO said new clean air rules will force a shift from a primarily coal-driven generation base to one with more gas-fired power plants and renewables. MISO estimated $31 billion of retrofit and replacement costs that would place significant upward pressure on prices of up to $5/MWh, excluding potential pressure on gas prices. MISO said that in the medium-term, gas infrastructure in the Midwest would require $2 billion investment to meet resource adequacy needs (as much as 10 GW by 2016) in addition to harmonizing with the electricity markets. On 8-Feb-I2, FirstEnergy announced that its Monongahela Power Company subsidiary would be retiring three older coal-fired power plants with total capacity of 660 MW located in West Virginia by 1-Sep-12, citing high cost of compliance with the EPA's mercury rule and other environmental regulations. On 9-Feb-12, the U.S. Nuclear Regulatory Commission approved Southern Co.'s plan for the first licenses to build two nuclear reactors in Georgia. This is the first approval of a new U.S. nuclear project in more than 30 years. In 2010, the Energy Department in 2010 awarded Southern and its partners conditional approval for an $8.3 billion loan guarantee for the project. On 12-Feb-12, Public Utility Commission of Texas Chairman Donna Nelson said that the low cost of natural gas and power is removing the incentive to build baseload generation units in ERCOT, creating uncertainty as to whether Texas will have enough power to keep the lights on during peak periods of demand. 13 EFTA00606171 Dave Ke CFA North America Credit Research 16 February 2012 Recent company news J.P.Morgan • The AES Corporation (AES) On 3-Jan-12, AES announced that its subsidiary, AES Eastern Energy, had filed for Chapter II bankruptcy protection. AES Eastern Energy operates over 1,000 MW of capacity at four facilities in New York. AES Corporation did not expect the bankruptcy filing to impact its previously disclosed FYI I guidance metrics. On 5-Jan-12, Moody's said the DPL acquisition had strengthened AES global portfolio by improving the scale, diversity and cash flow quality of its existing North American asset base and was a factor in Moody's upgrade of AES' Corporate Family Rating to Ba3 from B1 on 28-Nov-11. Moody's commented that AES' Ba3 corporate rating reflected its high leverage, the structural subordination of its recourse debt to the significant amount of non-recourse debt in its consolidated capital structure, and the risks associated with the regulatory and legal regimes in the company's countries of operation. These factors were partially offset by AES' large number of subsidiaries, the subsidiaries' wide geographic distribution, the significant proportion of the subsidiaries' cash flows that were subject to stable regulation or long-term contracts, and the company's good liquidity prospects for the next twelve months. The stable rating outlook reflected Moody's expectations for predictable parent operating cash flows over the next several years as the company integratcs the DPL acquisition and completes certain construction projects, and that shareholder rewards programs would be neutral to the parent's credit quality. Moody's saw limited prospects for a rating upgrade, but said an upgrade was possible if AES' ratio of parent operating cash flows to parent level recourse debt exceeded 14% and cash coverage of parent interest expense was above 3.0x on a sustained basis. The rating could be downgraded if AES' parent level operating cash flow to parent level recourse debt fell below 10% for an extended period of time and a more aggressive financial policy focused on further increasing shareholder rewards was undertaken. On 3-Feb-12, The Valor Economico newspaper reported that Dobreve Energia SA, a Brazilian renewable energy developer, may sell wind projects with 205 MW of total capacity to utilities AES Corp, Energisa SA or EDF SA, citing unidentified financial market participants with knowledge of the negotiations. The newspaper said AES was at the most advanced stage of negotiations. The article also mentioned that the wind farms may receive investments totaling billion reais (around US$581 million). On 6-Feb-12, a Bloomberg article, citing radio Horizont in Sofia, said that Bulgaria's Maritsa East coal mines suspended production as the overflowing Maritsa river had flooded access to the mines. According to the radio/article, the three power plants that are serviced by the mines — AES Galabovo AD (run by AES Corp), Maritsa East-2 and ContourGlobal Maritsa East-3 — had reduced their output. • Calpine Corporation (CPN) On 27-Jan-12, Santa Rosa Press Democrat reported that Calpine's workers at The Geysers voted against union representation. 14 EFTA00606172 Dave Katz. CFA North America Credit Research 16 February 2012 J.P.Morgan On 3-Feb-12, Calpine filed comments with the EPA, objecting to a proposed settlement agreement between the EPA and a group of Demand Response providers that, according to Calpine, would allow emergency backup diesel generators to quadruple their allowed operating hours without having to install appropriate air emissions controls. Calpine asserted that in addition to the direct adverse impact on air quality, allowing these dirtier units to participate in the market as capacity resources would displace investment in far cleaner and more reliable generation. On the same day, the Sacramento Business Journal reported that Calpine had said it would have to shut down its Yuba City, CA gas-fired power plant if it does not secure financial help because it could not get a contract to sell power to a utility this year. CISO said it could not let the plant retire because it's need for capacity reasons. On 10-Feb-I2, Calpine reported 4Q11 adjusted EBITDA of $379 million, slightly above consensus' forecast of $373 million. Production increased 22% from the prior year to about 25 GWh. Total GWh generation declined 6% yly in the West region. Generation was up 48% yly in Texas, 5% yly in the Southeastern region, and 81% yly in the North region. We calculate free cash flow bum was $52 million after a $119 million stock repurchase during the quarter. Liquidity decreased $93 million sequentially to $2.0 billion. We estimate gross and net leverage ratios remained steady at 6.0x and 5.3; respectively. The company tightened its FYI2 adjusted EBITDA guidance to $1.6 billion to $1.725 billion from the previous $1.55 billion to $1.75 billion and adjusted free cash flow to $425- $550 million from the previous $375-$575 million. The new EBITDA guidance was in-line with consensus' forecast of $1.66 billion. • Dynegy Holdings LLC (DYN) On I 1-Jan-12, The U.S. Trustee appointed Susheel Kirpalani, a lawyer at Quinn Emanuel Urquhart & Sullivan LLP as an examiner to investigate the reorganization of Dynegy Inc. The appointment of the examiner followed a hearing last month in which U.S. Bankruptcy Judge Cecelia Morris in Poughkeepsie, New York, agreed that a probe into transactions leading up to the bankruptcy filing, and into whether creditors were harmed, was required. On 18-Jan-12, U.S. Bankruptcy Judge Cecelia Morris granted a motion by the court-appointed examiner in the Dynegy Holdings LLC bankruptcy to issue wide- ranging and expedited subpoenas. The examiner, Susheel Kirpalani, chairman of Quinn Emanuel Urquhart & Sulllivan LLP's bankruptcy and restructuring group in New York, has until March 12 to complete his report. On 13-Feb-I2, The Wall Street Journal reported that the U.S. trustee, Tracy Hope Davis, was objecting to Dynegy's disclosure statement, which must provide lenders and creditors the information they need to make an informed vote accepting or rejecting the Chapter II plan, saying "the examiner has not yet completed his investigation and issued his report, without which, the debtor cannot provide adequate disclosure." The trustee said there was not enough information about the reasons for retaining equity holders' interests when creditors were not receiving full payment, the impact on creditors of pending litigation with U.S. Bank and the reason for releasing the liabilities of Dynegy affiliates not in bankruptcy. 15 EFTA00606173 Dave Katz. CFA North America Credit Research 16 February 2012 J.P.Morgan • Edison Mission Energy (EIX) On 23-Jan-12, Edison Mission announced commissioning of the Pinnacle Wind Farm located on Green Mountain, near the Maryland-West Virginia border. The 23-turbine wind farm has a maximum generating capacity of 55 MW. The company said that the project would sell two-thirds of its output to the Maryland Department of General Services and one-third to the University of Maryland system. On 6-Jan-12, Edison Mission's subsidiary, Midwest Generation entered into a multi-year agreement for the transport of coal with the Union Pacific Railroad for a specified minimum amount of tons, effective 1-Jan-12. The company did not provide additional information on the agreement's details, which were expected to be provided in EME's 2011 10-K. In 2011, Midwest contracted to ship slightly over 17 million tons of coal around 1,200 miles from PRB mines. Our equity Surface Transportation analyst, Tom Wadewitz, estimates that costs could have increased around 50%, from $ I3.77/ton to $20.40/ton implying around a $115 million increases in the company's expenses. This was in-line with the estimates in our published EME model. On 14-Feb-I2, The Pittsburgh Post-Gazette reported that a coalition of five environmental groups filed notice on 13-Feb-12 that it would sue Edison International, citing unhealthy concentrations of sulfur dioxide emissions from the Homer City plant. The groups also released a Sierra Club report that questioned whether the $700 million in pollution controls that the company announced for the plant would reduce emissions enough to meet federal health- based limits. It called on Edison to instead invest in renewable wind and solar energy production facilities in central Pennsylvania. The 60-day notice of intent to sue was required by the U.S. Clean Air Act prior to the filing of a lawsuit in federal court and was delivered to the power plant owners Monday. • GenOn Energy, Inc. (GEN) On 11-Jan-12, GenOn announced that its board of directors had appointed former Secretary of Energy Spencer Abraham and former Federal Energy Regulatory Commission chair and Deputy Secretary of Energy Betsy Moler to serve as directors. On 6-Feb-12, the New Jersey Environmental Protection Department filed a motion in federal court to intervene in GenOn's challenge to the federal Clean Air Act permit regarding the company's Portland, PA plant. • NRG Energy (NRG) On 18-Jan-I2, NRG said that MidAmerican Energy Holdings Company had completed an acquisition of a 49% interest in NRG's 290 MW Agua Caliente solar project. On 2-Feb-12, NRG through its subsidiary, Louisiana Generating, entered into definitive agreements for an 11-year contract extension through 2025 to provide power to the Washington-St. Tammany Electric and Claiborne Electric cooperatives. Both cooperatives filed applications with the Louisiana Public Service Commission on I-Feb-12 seeking approval of the agreements. Together, the two contracts are for more than 450 MW of electrical load at peak demand. On 7-Feb-12, GCL-Poly Energy Holdings Ltd., China's biggest polysilicon 16 EFTA00606174 Dave Katz. CFA North America Credit Research 16 February 2012 J.P.Morgan maker, set up a venture named Sunora with NRG Solar LLC to build sun- powered projects as it seeks to diversify from producing raw materials. Sunora will build projects using GCL-Poly's photovoltaic system equipment. 17 EFTA00606175 Dave Nat. CFA North America Credit Research 16 February 2012 J.P.Morgan In Case You Missed It: HY Utilities Reports Date Title 3-Dec- I I NRG Energy: Initiating Credit Coverage with an Overweight - A Christmas Treat 04-Nov- I I Edison Mission Energy: The Timc Is Nigh to Adjudicate 2I-Sep- I I Edison Mission Energy: Go, EME, Go: Initiating with an Overweight la EFTA00606176 Dave Katz. CFA North America Credit Research 16 Fettuary 2012 Utilities credit tracker — STW ranked by Am/m Bond and J P1lorgan 11Y Index STM 31-Dee-10 13-Jan-12 Tlghtened(wldened)by 14-Feb-I2; Absolute Ragen: Absoluta-RYTEI EFH 6.500%2024 1,664 1,519 1,405 1 115 I 259 AES 7.750%2015 419 -170 367 103 I 52 AES 8.000% 2017 a 506 420 I 87 I 26 F111 10.875%. 2017 1.655 1506 1.4321 74; 223 EFH 6.550%2034 1,261 usa I 731 301 AES 5.0«0% 2020 397 484 415 70 (I8) NRG 7.625%20)8 749 681 I 67 I CPN 7.250% 2017 534 563 499 65 35 AES 7.375% 2021 446 387 1 59 A ES 9.750%2016 496 482 424 54 72 EFH 12.000%2017 1,794 1,507 1,449 I 58 I 345 AES 7.750%2014 425 377 323 : 54 102 EFH 10.000%2020 667 776 723 I 54 (56) EFII 10.000%2020 667 776 7'3 ; 54 ; (56) EIX 7.750%2016 a3 1,783 1,753 j 30 I (839) EIX 7.000% 2011 935 1.807 1.778 1 29 I (843) EFH 9.750%2019 856 831 j 25 I (121) EFH 9.750%2019 711 856 831 ; 25 : (121) NRG 8.500% 2019 756 734 22 I (188) CPN 7.500% 2021 442 531 510 : -1 (68) EIX 7.625%2027 1,277 1,256 I 21 1 (478) NRG 7.375 -017 496 590 5,_ 17' (76) NRG 8250%2020 714 697 17 ; (186) EIX 7.200% 2019 863 1.615 1.602 13 (739) CPN 7.875%2023 529 517j 131 EFH 7.480%2017 877 960 949 : 11 ; (71) NRG 7375% 202 I 698 690 9 I EFH 7.460%2015 780 702 696 7 84 GEN 7.625%2014 775 751 I 4I (192) NRG 7.625°- 2019 722 724 : i2); GEN 9125%2031 2 ~IE~P 791 796 I (5) (251) CPN 7.875% 2020 498 554 560 1 7 ); (62) CPN 8.000%2019 IEES 558 574 I ( 1 6)I (431 GEN 8.500% 2021 516 774 821 : (47) (304) GEN 7.875%2017 an 818 947 I (128) (3361 GEN 9.500% 2018 689 86-1 9981 1134) (310) GEN 9.875%2020 5 845 985 i (140) (314 TXU 11.250% 2016 2.236 3,781 3.930 s 1149) 11.694) TXU 10.250%2015 agER __5,50S 5,6591 (151) (7009 TXU 10.250% 2015 2,489 5.508 5.659 ; (3.170) TXU 11.500%2020 ,462 (198)I _~; TXU 15.000%2021 1.435 2,602 3.514 ; (912); (2.079) Max Mln Mediae Averan 2189 397 671 881 5.508 377 776 1.198 5.659 323 774 1,220 115 345 (912) (3,170) 19 (98) (22) (415) HY Overall Index 583 710 652 57 (69I 111 Utility HY - IPPs 111. Integtated IJtililis HY Split BBB 111? BB 644 763 /48 941 409 422 479 724 935 365 375 438 23 (80) 5 (172)I 353 416 43 (12) 47 42 (22) HY Split BB 572 523 HY B 588 734 671 63 (83) HY Split B 922 879 (1s2)1 HYCCC 1.009 1.270 1.167 103 (158) Sontos: J.P.Morgan 19 EFTA00606177 Dave Katz. CFA North America Credit Research 16 February 2012 Utilities credit tracker — y-rw ranked by Arnim Bond and JPAlorgan Index YEW 30-Dee-11 13-Jan-12 Tightened by 14-Feb-12 4. lute A Absolute A yly EFH 6.500% 2024 17.46% 17.20% 16.14% 106 132 AES 7.750% 2015 5.17% 15'.. 4,251 1(X) 92 AES 8.000% 2017 5.93% 6.02% 5.17% 85 EFII 10.875% 2017 16.15% 16.02% 15.31", 85 AES 8.000% 2020 6.44% 6.36% 5.70% 66 NRG 7.6255.2018 7.849. 65 CPN 7.250%2017 5.76% 6.18% 5.57% 62 El- II 6.z>0% 2034 16.06% 15.15% 14.55.. 60 151 EFH 12.000%2017 15.58% 16.03% 15.47% 56 AES 9.750% 2016 4.91% 56 95 AES 7375%2021 6.21% 5.67% 54 EFII 10.000% 2020 51 47 EFH 10.000%2020 8.91% 8.96% 8.45% 51 47 AES 7.750% 2014 3.51% 50 32 CPN 7.875%2020 6.39% 6.44% 6.15% 30 25 E1X 7.7,0% 2016 16.57:4. 15.51 h 23 . 28 -166 E1X 7.000% 2017 17.26% 18.93% 18.66% 28 -140 CPN ROW:1.2019 6.76% 6.71% 6.4r. 24 29 EFH 9-750%2019 9.74% 9.51% 9.28% 23 46 EFII 9.750% 2019 9.74% 9.5I% 9.25% 23 46 NRG 8300%2019 8.157E 8.87% 8.6876 19 a. -53 CPN 7.5(X)% 2021 6.23% 6.30% 19 -7 NRG 8.250%2020 8.15% 8.71% 8.58a 12 IMF -44 E1X 7.625% 2027 14.27% 14.80% II -52 NRG 7.375%2017 4.80% 5.99% 5.8991n1 -109 E1X 7.200% 2019 16.06 4- 1,354, 10 -129 EFH 7480% 2017 10.42% 10.38% 10-2a 14 CPN 7.875%2023 6.73%. 6.64% 9 NRG 7.875%2021 8.71% 8.6 EFII 7.460% 2015 7.43°0 7.40% 3 3 GEN 7.625%2014 7.62% 7.85% 7.86% -23 NRG 7.625% 2019 8.5I":. 5.56% -6 GEN 9.125%2031 10.26% 10.26% 10.43% -17 -17 E1X 8.560% 2016 8.26%. 5.87% -38 -61 GEN 8.500%2021 9.58% 9.54% 10.06% -52 -48 GEN 7.87555 2017 8.69'„ 10.367, -130 -167 GEN 9.500%2018 9.24% 9.80% um. -137 -193 GEN 9.875% 2020 9.56% 11.49% -1.1) -193 TXU 11.250%2016 35.50% a. 38.56% 40.07% -151 -457 TXU 10.250%2015 49.13% 55.64% 57.18% -15.1 -805 TXU 10.250% 2015 49.13% 755.64% 57.18% -154 -805 TX11 11.500% 2020 16.20% 15.23% -203 ,EIX 7-500% 2013 9.77% 16.3714 -369 T -660, TXU 15.000% 2021 27.72% 36.89!% -917 Max Min Median Average 49.13% 3.84% 9.24% 1236% 55.64% 4.02% 8.96% 12.74% 57.18% 106 332% -369 8.87% 19 1222% -8 151 -805 -7 -84 HY Overall Int 8.14% 7.94% 7.36% HY 8.73%. 5.8(91:, 5.66% 20 7 HY - IPPs 10.38% 10.70% 10.67% 3 -29 HY - Integrated Utilities 5.74% 5.61% 5.13% 38 5I HY Split BB11~I r— SA9% 5.35% 4.89% 46 60 HY 1313 5.88% 5.7394 5.34% 39 5-1 HY Split BB 6.67% 6.51% 5.96% 55 71 HI B 8.08'!::, 7.444. 6-1 8-1 HY Split B 10.50% 10.05% 9.59% 46 91 HY CCC 14.00% 12.46% 102 154 Source:~ J.P.Morgan 20 EFTA00606178 Dave Katz. CFA North America Credit Research 16 February 2012 Utilities credit tracker — dollar price ranked by Arnim Bond dollar price 30-Dee-II 13-Jan-12 Price 14-Feb-12 Increased by IbM Absolute a mtnt Absolute AV TI) AES 8.000%2020 $110.00 $110.50 $115.00 $4.50 $5.00 AES 6.<XX1 4. 201 t 51 1 u.lX) 5109.50 5113.75 54,25 S3.75 AES 7.375%2021 S107.75 $108.25 $112.25 $4.00 $4.50 EIll 12.000"4.2017 S84.00 582,50 586.00 $3.50 52.(X) AES 7.750%2015 $108.75 $108.38 $111.75 $3.38 $3.00 EIJI 6 50(8'4.2024 544.50 $45.25 548.50 53.15 $4.0 NRG 7.625%2018 $100.00 $96.00 $99.00 $3.00 (51.00) EIII 10.000%2020 5105.00 5104.75 S107.38 $2.63 $2,38 EFH 10.000%2020 $105.00 $104.75 $107.38 $2.63 $2.38 EFH 10.875%2017 550.50 $81.00 S83.50 $2.50 5310 EFH 6.550%2034 $42.50 $45.25 $47.25 $2.00 $4.75 CPN 7.250% 2017 $105.00 $103.50 5105.50 Si®. S0.50 AES 9.750%2016 SI 14.50 $116.00 $118.00 $2.01) S3.50 CPN 8.000% 2019 $106.50 5106.75 5107.58 51.13 $1 .38 EFH 9.750%2019 MINA» $101.00 $102.00 $1.00 $2.00 EFH 9.750%2019 S100.00 $101.00 SI 02.00 $1.00 52.(X) NRG 8.500%2019 5101.50 $98.00 599.00 ~"Yrn ($2.50) ED( 7.000% 2017 565.00 561.00 562.00 51.00 i 53 010 E1X 7.750%2016 $73.00r $68.50 $69.50 I $1.002- ($3.50) CPN 7.500% 2021 5107.00 $105.50 $106.50 $1.00 '50 50i CPN 7.875%2020 $I07.752- $107.50 $108.50 $1.00 $0.75 NRG X.251Y% 2020 5100.50 597.25 598.00 $0.75 IS2 50) AES 7.750%2014 $108.00 $107.50 $108.25 $0.75 $0.25 FAX 7.625% 2027 $59.00 556.50 557.00 50.50 152.001 EIX 7.200%2019 S62.50 $58.50 559.00 $0.50 (33.50) CPN 7.575% 2023 5107.50 $107.00 $107.50 $0.50 50.00 EFH 7.480%2017 $88.77 $88.99 $89.44 $0.45 $0.66 NFU, 7 M. ...O.] 597.50 $94.75 )95.00 $0.25 152501 EFH 7.460% 2015 $100.08 $100.08 $100.15 $0.07 $0.07 NRG 7.375 1 7 5103.75 S I 03.63 5103.63 50.00 i50 13i GEN 7.625%2014 $100.00 $99.50 599.50 $0.00 (50.50) NRG 7.625%2019 598.00 $95.25 595.00 (50.25) i 5300i TXU 10.250%2015 $35.50 $31.00 530.50 ($0.50) ($5.00) Dal 10.'50%'015 535.50 531.00 530.50 (50.50) S8001 TXU 11.250%2016 535.75 $32.00 $31.00 (51.00) (34.75) GEN 9.125% 2031 590.50 590.50 589.25 151.25/ 31.251 EIX 8360%2016 $101.00 $100.25 $99.00 ($1.25) ($2.00) GEN 8.500% 2021 593.25 593.50 590.50 153.00) 152751 EIX 7.500%2013 597.EO $93.50 589.75 ($3.75) ($7.25) GEN 7X75% 2017 596.50 595.00 590.00 155.00) iS6.50i GEN 9.500%2018 $101.25 $98.50 $92.25 ($6.25) (39.00) TM1 11.500% 2020 584.101 $78.25 571.00 157.25/ (513 86) GEN 9.875%2020 $101-50~$99.® 591.25 ($7.75) (510.25) TXU 15.000% 2021 555.00 $58.00 543.00 15150X) 1512.001 Max S4.50 $5.00 Min IS15.00) ($13.88) Median 50.75 ($030) Average i$0.031 ($133) Source a Morgan. J.P.Morgan 21 EFTA00606179 Dave Ka. CFA North America Credit Research 16 February 2012 Comparative company analysis Texas Energy Competitive GeriOn Edam Future Marie Energy. Inc. J.P.Morgan Cempany as Cap COPS Dynasty Mission' Holdings Holdings ' NRG Energy Eguty Mier AES CPN DYN Prat' Prhale) Node GEN PPG Bondi/dim AES CPN DYN EIX Ent TCEH GEN ham Income statement (LTII) Revamps $18003 $6.800 $1.798 $2259 $7.308 $7308 $3077 $8.783 EMMA $1645 $1.726 $399 $589 $5111 $3.488 $698 $1.873 EBITDAmegn 20% 25% 22% 26% 70% 48% 23% 21% Interest emense $1.554 $760 $376 $3:6 $3927 $3.441 $395 $667 Nel rr.orne l$1001 ($189) ($4321 ($32) (11.616) ($1.4591 (5737) $282 Cash Flow (LTIN CapEs $2614 $683 $248 $772 $503 $481 $418 $1.380 CFO $3402 5775 ($1971 $559 $1.095 $1.312 $131 $1.150 FCF $578 I$27) 44451 ($2031 $593 $831 ($287) ($8081 Catalafestiort Cash $3,392 $1252 $768 $1235 9330 $202 $1.746 $1.127 Resteled cash $2089 $194 $797 $15 $0 9) SO $441 Remune senke &el $1.050 $7.762 $5.614 54.160 536335 $30.172 $3237 $7.924 Remune Oat $6227 $7.762 SEW $4.150 $36235 $30.172 $4.087 $7.924 To: tide« $20.913 $10.425 $5.814 $5,034 $36235 $30.172 $4.087 $9.243 PAM:ely inlwest $3,624 5613 $0 $2 $92 WO SO SIM Prelerred equ $248 Shama:idea egaly $6,233 $4.301 $2.487 $2.732 e7±16 (7.602) $5.164 $7.770 Captaloalon $30,770 $14789 $0,301 $7,768 $28.671 $22,670 $9251 $17.478 Enterprise vale and Muldlty Stock pipe $13.43 $1536 $1.50 Prirale Patte P4,115 $226 $16.93 Catty /Terkel taptalaslon $10.502 $7293 $184 Prirate Partite Penh $1.744 $3.893 EnI&ptw vdue $31.647 $16.628 $5.230 $4.123 $35.777 $24.416 $4.085 $12.474 Lictadta $2877 $2013 $1.069 $2231 $3097 $2.461 $2282 $1.919 Creed Sbtria EBITDAtnteteu Ermine 2.3a 2.3x 1.1x 1.9x 1.3a MA 1.8x a& EBITDA • CmEx 1 Inkrest Erma 0.71 14x 0.4x 411 12t 001 0.7x 0.7x Reettne terry ertt Icier:pc 0.3a 4.5x 14.1x 71x 7.11 IN 4.8x 42( Recoste ertt Icier:pc 1.7a 4.5x 1494 71x 7.11 8.7x 5.9x 42( Total Mt( itierage 57a 6.0x 1494 8.5x nu 8.7x 5.9x SCa Net deb:Icier:4e 4.87 5.3x 12.64 6.44 6.9x 8.11< 3.4x 4.44 Remote seers &tots, 3% 52% 68% 54% 127% 133% 35% 45% Hexane &temp 20% 52% 70% 54% 127% 133% 44% 45% RES &tee» 68% 70% 70% 65% 127% 133% 44% 53% Net tlehficap 57% 82% 61% 49% 124% 132% 25% 47% EV/EMMA 8.71 9.8x 13.1x 7.0x Ikla 7.Cot 5.9x 67x Taal DebliEV 66% 83% 111% 122% 102% 124% 100% 75% EVAMerats 176% 245% 291% 162% 450% 334% 133% 142% Bend One ClescraPon 9030 Sr Ms INS Sr MI SIMS Sr Ns Sr NO &Ms 1$11660 .1 0% Coupon 8.CCO% 7.500% 7.750% 7.200% 9.750% 9.93)% 7.625% Maluty 6/1/2020 91512021 9112019 9192019 101152019 10/112020 10150018 51152019 abating $825 $20 :06.:58:093. $800 $875 $800 Ran 84308. $1.100 NRIO CaM/EP 82CCC 83fB INIEI6 Wet ptee 141519:9 .00 63.75 59£0 cial $11135. 102.00 18.71; 1) 3% 9225 95.00 160 7.35% u VS 510% 8.30% 16.46% 928% 11.17% 8.56% STY COP 8311» Mc 724bp Bond Two Cescrip1on Sr Ms Sr Ms &Mt Sr Mt Sr Ms Sr Ms SNO &Ns Coupon 7275% 7.875% 7.625% 7.625% 10.00)% 10.250% 9.875% 7275% Meaty 7/1/2021 1/15/2023 tonsrion 51542027 1852020 11/72015 101512033 5852021 ablaxIng $700 $550 $1.000 $1200 $1.232 Rath; 84383- B128- $175 ,4" C89133. Cane BIB $B11.92006 011en rime 112.25 1079) 63.00 57£0 Cial$ 101.7°63801. 29.75 91.25 9500 Veld 567% 864% 1347% 14.80% um 56.38% 11.49% 8.67% STY 3371) 5170 GM 125514 736bp 5719tp 9899 65019 Note EBI1DA is Adjusted EBITDA. Interest Expenses babe.: on UM vain. 1. NICIMMI Generation peasant* eamenams assumed reamrso Is Ginn Miasma 2 MOO M8,51,»InD841.313,01808» International. Enterprise alinne Mated us® e 70x EINTDA ~We 3. Energy Fume Hetdegs entorpme value eumated 'ega 7.0x EMMA multiple. 4. Teas Cormeithe Dade H0/0008 enterprise verve 0811M000CI t41110 a 7 Ox EB1TDA mul1834, 6. Genen Energy tobl does nog include GenOn Marsh Landing dom. Sources: Canary repors and JPAbrgan. 22 EFTA00606180 Dave Kate. CFA North America Credit Research 16 February 2012 Relative value analysis J.P.Morgan Coos Ka Ibe ad 1600 Mood?. S&P Carron !bend (Naga 17W Dote Neu Coll Dote 6:00114, EMTDA lateral LUI LTM Recourse Debit Ellr7DA LTM MI6 EVE Offer Vkld Spina Dam him N.". Corp 7.7S(t. FA NI. SR Idelm-14 11.1.1141 1500 1108.25 332% 32Mp 141014 ne pc 11.645 23a 1.7. 20% 7.750% Se Ni. SR 15-0.1.15 11.1.131. $500 1111.71 4-25ti 3670 15-0.615 ne nt $3445 2.3a 1.7a 20% 9.750% 5. NU NR 15-Apt-I6 8.1.1317. $535 1118.00 4.91% 4240 15-Apr-I4 se 0 $3445 2.3. I.7a 20% 4.000% Se Nit NR 0-00.17 Hayti'- 51500 $113.75 5.17% 4200 160o.17 nc 0 $3415 2.36 1.7. 20% v emZet St Nu NR I.1w20 80.0.16 $625 $115.00 5.70% 41%p 1.1uni20 0 0 55415 2.3. 1.7. 20% e 377.16 St Nit NR I 491.21 8.6118- 51000 $112.25 167% 3870 1-01.21 ne ite S5.445 2.36 1.7. 20% Calploe Cap. 7.250% Sr See Nu i I 61 Lien, NR IN0.7-17 DUBS- 11200 1105.50 157% 4990 15.0.1.15 15-Ott-13 $103.03 11.726 2.3a 4.1% 47% 14000% Sr See Nu ilia Lien, NR 15-60-19 Blest 1400 1107.81 647% 1748/ 15-08-16 16.10-15 SI 04.00 11.726 2.3a 4.5% 47% 7.875% Sr See Nu i III Lien, NR 311u1-2.0 BliBli- 11100 1108.50 614% 5600 31.61-15 31-01-I5 110.94 11.726 2.3a 4.5% 47% Sr Sec 1010 Lien/ NR 160021 01080 52000 5190.50 630% 5100 1-Nov-I8 1.Novi 11 1103.75 $1.26 20 4.5. 47% 7.500% 6875% SrSec Na NR 11.4823 0 lissi 51200 1107.50 46474 317tp 1601-20 15-1tml 7 $103,50 0726 2.3. 4.5. 4714 &thee Mimi& St Nit HMO If .h6.113 Culla. $500 $89.75 16.37% 16 Iffp 13i/urrI3 0 0 $707 2.0 6.014 lid% 7.00% 8.160% INT CM* NR 21arie 175.10. 5404 199.0 6.87% 8250 24ani 16 0 ne $707 2.0 6.0. 65% 7.750% Se Nu IWO 154un-16 Coalia- 1500 169.50 16.23% 17550 IS-Joss-16 se ne 1707 24* 6.0. 65% 7.000% Se Nu 1MM 1.5.66-17 Ca PR. 11200 16200 11166% 17780 11-10 -17 se 0 1707 24* 6.0. /5% 7.200% Se Nu 1MM 15-Mum19 CosliB. 1800 15901 17.35% 16029p 11-10--19 se 0 1707 24* 6.0. /5% 7.621% Se Nu 1MM 15646, 27 Caelia- 1700 157.0 1410% 12500 11-10--27 se At 1707 24* 6.0. SS% Celia Para 7.625% Sr Nit NR 114014 BNB 1175 0970 7.804 75Itp I3iffor 1 4 nc ne $6.1 1.0 3.9. 101% 7.875% Sr Nit NR 1540.17 BNB 025 MAO 10.36% 9471p 141m-17 nc 0 UM 1.0 1.9% 10)% 9.500% Ss Nu NR 15-0.618 BNB 1675 19225 11.17% 9980 15-0.7-18 se ne 160 LA 5.9. 10)14 9.871% Ss Nu NR 15-06-20 BNB 1550 191.25 11.49% 9850 15-0.7-20 15-Ott-15 1104.94 OAS 1St 5.9a 100% 8.500% Ss Nu NR 1.11:421 B1016 1450 190.9) 10.06% 8210 10.621 se 0 1698 It. 5.9. 100% 9.125% Ss Nu NR 1.34y-31 BLEB- 1400 18925 10.43% 7961p 1-760-3I se se 169$ It. 5.9. 100% NRC Elmo. lee 6375% St Nit Had 16180 7 BUBO $1100 $107.61 5.89% 572tp 1600-13 is-me.to $102.40 $1 4]3 2.0 4.2. 63% 7.625% 8.500% St Nit Se Nu Ilm Da 15ibmI 8 ISJun-19 MO B IMO 51100 1700 59910 $. 7.114 68: 6810 700 15.14•11 IS-Nts-I9 ne 15-ha-14 se S104.23 0.673 11673 20 21. 4.2% 4.1. 63% 63% 7.625% Se Nu Ilm 15-1.10-19 BUBO 1800 195.00 136% 7240 15-114y-19 1544Ley-I4 $10311 11673 21. 4.1. 63% 8150% Com Nis Ilm 1-Sep-20 BUBO 11100 198.00 133% 6970 1-10-20 I-Sep-15 1104.13 11.173 20 41. 63% 187,-. Se Ni. Ilm I5-M4'.21 RI/BO 11200 19500 167% 6900 15-11421 1544Ley-I6 1103.94 11.173 20 4.2a 63% 'Ion Competitive Iltellic IllailInZ Company Lit, 102 it/. AM. NR 1-Nov-I5 Coa) 11/73 130.9) 57.18% 56590 1-Nov-15 se 0 13.01 .0. 8.7a 124% 111.250'. 5. Ni. NR 1-Nov-I5 Coal) 11292 129.75 5138% 57790 1-Nov-15 I-Non12 1102./6 1640 .0. 8.7a 124% 11,250'• 11,5 09 . Sr TonleMs Sr Sec Ms I I 0 Lain/ NR NR 1+0, 16 itire20 CloND 02.teC $1567 S1750 $31.00 $71.0 '7C10r 7 1$.13% 3, 96; 0 , 9 1-trev-16 1470.20 1.Novi I 2 66016 110515 $I 0.75 53 .08 S3688 (It (It 11.7. 11.7. 124% 124% 35140 15.00 . Sr Sec Nts(hd Lim) NR 3-Aar-21 Caelte $1186 0390 3488% 1.60.21 14)et-I5 110770 0688 0 11.7. 124% Ean8y Femme Illoldbio Corp: 3.5fiee St Na NR 15-0014 CaD $398 17701 19.12% 18700 15ittoe-I4 0 nc $5.11 7.1. 102% 7.460% See Nei ( bit Lies) NR 1-lan-IS CottleCC $14 1100.15 7.40% 696tp 149n-I5 se nc $5.11 7.1% 102% 12.00)% & TenleNbi NR I-Nom17 CsO 1399 18601 11.47% 1449tp 1-Nov-17 1-Nov-I2 110563 $5.11 7.1% I01% 10.875% Se Nit NR Idder617 CsO 1181 183.50 1330% 14120 1-Nov-17 1-Non12 $105.44 $5.11 7.1% 102% 7.480% See Ne*(10 Lies) NR 1-lan-17 0.07NR 155 18944 10.29% 949tp 14en-17 lie ne $5.11 7.1% I01% 9.730% *Sec Na NR 15-Ck1-19 Cbs10. SI 15 1102.00 9.28% 8310 160017 1100.14 1104.18 35.11 Jx 7.1. I01% 10.00)% *Sec Na NR 15ber20 C800 $1001 5107.0 139% 736tp 15.148.68 IS-1011 110501 35.11 Jx 7.1. 102% e6500% Sr Nis NR 1670, 24 Cate 040 000 1614% 140Mp 15ttoe-24 0 nc 35.11 Jx 7.1* 102% 6.550% Se Nit NR 15-Not-34 CaCC 1744 147.25 14.55% 11880 15-Nue-34 se nc $5.11 7.1x 102% Note. EBITDA w AdyeseoltlIITDA Mortea Esimme i1 tuella LIM naIun. I. Esteem.: metes eakulool so mu, Ms vales mama ducembetmeame debt. 2. For tdiere mission. ei armone 7 Ox 1.17EIVIDA muluple was mod rairSeaCiencranonpasreihrougherreficaier ree reorune to Mena Massa. 3. For Irv. CoroNedeve timers Ilebliop Cusp's.' Lit etteserim main abused mins u 70x HMOS multipk. 4. For Lotto least lloWings tmterense value masted ;meg a 7.0. EBITDA mulliple Sources: Company reports and Attain. 23 EFTA00606181 Dave Nat. CFA North America Credit Research 16 February 2012 Relative value analysis: ranked by YTW J.P.Morgan Issuer Coupon Maturity Outstanding Moodys Price YTW STW YTW Date LTM Enterprise EBITDA Value UNION Interest Debt/ EBITDA Debt/ EV Texas Competitive Electric Holdings 10.250% 1-Nov-15 1.292 Caa3 D 29.75 5.779bp 1-Nov-15 $3.488 $24.416 1.0x 8.7x 124% 58.38% Texas Competitive Electric Holdings 10.250% 1-Nov-15 1.873 Caa3 D 30.50 57.18% 5.659bp 1-Nov-15 $3.488 $24.416 1.0x 8.7x 124% Texas Competitive Electric Holdings 11.250% 1-Nov-16 1.567 Caa3 D 31.00 40.07% 3.930bp 1-Nov-16 $3A88 $24.416 1.0x 8.7x 124% Texas Competitive Electric Holdings 15.000% 1-Apr-21 1.186 Caa3 CC 43.00 36.88% 3.514bp 1-Act-21 $3A88 $24.416 1.0x 8.7x 124% Energy Future Holdings 5.550% 15-Nov-14 398 Ca D 72.00 19A2% 1.870bp 15-Nov-14 $5.111 $35.777 1.3x 7.1x 102% Edison Mission 7.000% 15-May-17 1.200 Carl 8- 62.00 18.66% 1.778bp 15-May-17 $589 $4.123 1.9x 7.1x 101% Texas Competitive Electric Holdings 11.500% 1-Oct-20 1.750 82 CCC 71.00 18.23% 1.660bp 1-Oct-20 $3A88 $24.416 1.0x 8.7x 124% Edison Mission 7.750% 15-Jun-16 500 Carl 8- 69.50 18.23% 1.753bp 15-Jun-16 $589 $4.123 1.9x 7.1x 101% Edison Mission 7.200% 15-May-19 800 Carl 8- 59.00 17.3.5% 1.602bp 15-May-19 $589 $4.123 1.9x 7.1x 101% Edison Mission 7.500% 15-Jun-13 500 Carl 8- 89.75 16.37% 1.617bp 15-Jun-13 $589 $4.123 1.9x 7.1x 101% Energy Future Holdings 6.500% 15-Nov-24 740 Ca CC 48.50 16A4% 1.405bp 15-Nov-24 $5.111 $35.777 1.3x 7.1x 102% Energy Fine Holdings 12.000% 1-Nov-17 399 Ca D 86.00 15.47% 1.449bp 1-Nov-17 $5.111 $35.777 1.3x 7.1x 102% Energy Fine Holdings 10.875% 1-Nov-17 181 Ca D 83.50 15.30% 1.432bp 1-Nov-17 $5.111 $35.777 1.3x 7.1x 102% Edison Mission 7.625% 15-May-27 700 Carl 8- 57.00 14.80% 1.256bp 15-May-27 $589 $4.123 1.9x 7.1x 101% Energy Future Holdings 6.550% 15-Nov-34 744 Ca CC 47.25 1435% 1.188bp 15-Nov-34 $5.111 $35.777 1.3x 7.1x 102% GenOn Energy 9.875% 15-Oct-20 550 83 8 91.25 11.49% 985bp 15-Oct-20 $698 $4.077 1.8x 5.9x 100% GenOn Energy 9.500% 15-Oct-18 675 83 8 92.25 1117% 998bp 15-Oct-18 $698 $4.077 1.8x 5.9x 100% Mirant Americas Generation 9.125% 1-May-31 400 83 88- 89.25 10A3% 796bp 1-May-31 S698 $4.077 1.8x 5.9x 100% GenOn Energy 7.875% 15-Jun-17 725 83 8 90.00 1036% 947bp 15-Jun-17 S698 $4.077 1.8x 5.9x 100% Energy Future Holdings 7.480% 1-Jan-17 55 Caa3 NR 89.44 10.29% 949bp 1-Jan-17 $5.111 $35.777 1.3x 7.1x 102% Mirant Americas Generation 8.500% 1-Oct-21 450 83 88- 90.50 10.06% 821bp 1-Oct-21 S698 $4.077 1.8x 5.9x 100% Energy Future Holdings 9.750% 15-Oct-19 115 Caa3 8- 102.00 9.28% 831bp 15-Oct-17 $5.111 $35.777 1.3x 7.1x 102% Midwest Generation 8.560% 2-Jan-16 404 8a3 8+ 99.00 8.87% 825bp 2-Jan-16 S589 $4.123 1.9x 7.1x 101% NRG Energy Inc 8.500% 15-Jun-19 700 81 88- 99.00 8.68% 734bp 15-Jun-19 $1.873 $12.495 2.8x 4.2x 63% NRG Energy Inc 7.875% 15-May-21 1.200 81 88- 95.00 8.67% 690bp 15-May-21 $1.873 $12.495 2.8x 4.2x 63% NRG Energy Inc 8.250% 1-Sep-20 1.100 81 88- 98.00 8.58% 697bp 1-Sep-20 $1.873 $12.495 2.8x 4.2x 63% NRG Energy Inc 7.625% 15-May-19 800 81 88- 95.00 8.56% 724bp 15-May-19 $1.873 $12.495 2.8x 4.2x 63% Energy Future Holdings 10.000% 15-Jan-20 1.061 Caa3 8- 107.38 8.39% 736bp 15-Jan-18 $5.111 $35.777 1.3x 7.1x 102% GenOn Energy 7.625% 15-Jun-14 575 83 8 99.50 7.86% 751bp 15-Jun-14 $698 $4.077 1.8x 5.9x 100% NRG Energy Inc 7.625% 15-Jan-18 1.200 81 88- 99.00 7.84% 681bp 15-Jan-18 $1.873 $12.495 2.8x 4.2x 63% Energy Future Holdings 7.460% 1-Jan-15 14 Caa3 CC 100.15 7.40% 696bp 1-Jan-15 $5.111 $35.777 1.3x 7.1x 102% Calpine 7.875% 15-Jan-23 1.200 81 88- 107.50 6.64% 517bp 15-Jan-20 $1726 $16.597 2.3x 4.5x 47% Calpine 8.000% 15-Aug-19 400 81 NR 107.88 6.47% 574bp 15-Aug-16 $1726 $16.597 2.3x 4.5x 47% Calpine 7.500% 15-Feb-21 2.000 81 88- 106.50 6.30% 510bp 1-Nov-18 $1726 $16.597 2.3x 4.5x 47% Calpine 7.875% 31-Jul-20 1.100 81 88- 108.50 6A4% 560bp 31-Jul-15 $1.726 $16.597 2.3x 4.5x 47% NRG Energy Inc 7.375% 15-Jan-17 1.100 81 88- 103.63 5.89% 572bp 15-Jan-13 $1.873 $12.495 2.8x 4.2x 63% AES 8.000% 1-Jun-20 625 8a3 88- 115.00 530% 415bp 1-Jun-20 $3.645 $31.628 2.3x 1.7x 20% AES 7.375% 1-Jul-21 1.000 8a3 88- 112.25 5.67% 387bp 1-Jul-21 $3.645 $31.628 2.3x 1.7x 20% Calpine 7.250% 15-Oct-17 1.200 81 88- 105.50 5.57% 499bp 15-Oct-15 $1.726 $16.597 2.3x 4.5x 47% AES 8.000% 15-Oct-17 1.500 8a3 88- 113.75 5.17% 420bp 15-Oct-17 $3.645 $31.628 2.3x 1.7x 20% AES 9.750% 15-Apr-16 535 8a3 88- 118.00 4.91% 424bp 15-Apr-16 $3.645 $31.628 2.3x 1.7x 20% AES 7.750% 15-Oct-15 500 8a3 88- 111.75 425% 367bp 15-Oct-15 $3.645 $31.628 2.3x 1.7x 20% AES 7.750% 1-Mar-14 500 8a3 88- 108.25 3.52% 323bp 1-Mar-14 $3.645 $31.628 2.3x 1.7x 20% Sources: Compaq reports and Mugu). 24 EFTA00606182 Dave Katz. CFA North America Credit Research 16 February 2012 Relative value analysis: ranked by Debt/EV J.P.Morgan Issuer Coupon Maturity Outstanding Moodys Price YTW STW YTW Date LTM Enterprise EBITDA Value EBITDA? Interest Debt/ Debt/ EBITDA EV Texas Competitive Electric Holdings 10.250% 1-Nov-15 1.873 Caa3 0 30.50 57.18% 5.659bp I -Nov-15 $3,488 $24,416 1.0x 8.7x 124% Texas Competitive Electnc Holdings 10.250% 1-Nov-15 1.292 Caa3 0 29.75 58.38% 5.779bp 1-Nov-15 $3.488 $24,416 1.0x 8.7x 124% Texas Competitive Electnc Holdings 11.250% 1-Nov-16 1.567 Caa3 0 31.00 40.07% 3.930bp 1-Nov-16 $3.488 $24,416 1.0x 8.7x 124% Texas Competitive Electnc Holdings 11.500% 1-Oct-20 1.750 82 CCC 71.00 18.23% 1.660bp 1-Oct-20 $3.488 $24,416 1.0x 8.7x 124% Texas Competitive Electnc Holdings 15.000% 1-Apr-21 1.186 Caa3 CC 43.00 36.88% 3.514bp 1-Apr-21 $3.488 $24,416 1.0x 8.7x 124% Energy Future Holdings 5.550% 15-Nov-14 398 Ca 0 72.00 19.12% 1.870bp 15-Nov-14 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 7.460% 1-Jan-15 14 Caa3 CC 100.15 7.40% 696bp 1-Jan-15 $5.111 $35.777 1.3x 7.lx 102% Energy Future Holdings 12.000% 1-Nov-17 399 Ca 0 86.00 15.47% 1.449bp I -Nov-17 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 10.875% 1-Nov-17 181 Ca 0 83.50 15.30% 1.432bp 1-Nov-17 $5.111 $35.777 1.3x 7.lx 102% Energy Future Holdings 7.480% 1-Jan-17 55 Caa3 NR 89.44 1029% 949bp 1-Jan-17 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 9.750% 15-Oct-19 115 Caa3 8- 102.00 9.28% 831bp 15-Oct-17 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 10.000% 15-Jan-20 1.061 Caa3 8- 107.38 8.39% 736bp 15-Jan-18 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 6.500% 15-Nov-24 740 Ca CC 48.50 16.14% 1.405bp 15-Nov-24 $5,111 $35.777 1.3x 7.lx 102% Energy Future Holdings 6.550% 15-Nov-34 744 Ca CC 47.25 14.55% 1.188bp 15-Nov-34 $5,111 $35.777 1.3x 7.lx 102% Edison Mission 7.500% 15-Jun-13 500 Caal 8- 89.75 16.37% 1.617bp 15-Jun-13 $589 34.123 1.9x 7.lx 101% Midwest Generation 8.560% 2-Jan-16 404 Ba3 8+ 99.00 8.87% 825bp 2-Jan-16 $589 34.123 1.9x 7.lx 101% Edison Mission 7.750% 15-Jun-16 500 Caal 8- 69.50 1823% 1.753bp 15-Jun-16 $589 34.123 1.9x 7.lx 101% Edison Mission 7.000% 15-May-17 1.200 Caal 8- 62.00 18.66% 1.778bp 15-May-17 $589 34.123 1.9x 7.lx 101% Edison Mission 7.200% 15-May-19 800 Caal 8- 59.00 17.35% 1.602bp 15-May-19 $589 34.123 1.9x 7.lx 101% Edison Mission 7.625% 15-May-27 700 Caa1 8- 57.00 14.80% 1.256bp 15-May-27 $589 34.123 1.9x 7.lx 101% GenOn Energy 7.625% 15-Jun-14 575 83 8 99.50 7.86% 751bp 15-Jun-14 $698 34.077 1.8oc 5.5x 100% GenOn Energy 7.875% 15-Jun-17 725 83 8 90.00 10.36% 947bp 15-Jun-17 $698 34.077 1.8oc 5.5x 100% GenOn Energy 9.500% 15-Oct-18 675 83 8 92.25 11.17% 998bp 15-Oct-18 $698 34.077 1.8x 5.5x 100% GenOn Energy 9.875% 15-Oct-20 550 83 8 91.25 11.49% 985bp 15-Oct-20 $698 34.077 1.82 5.5x 100% Want Amencas Generation 8.500% 1-Oct-21 450 83 BB- 90.50 10.06% 821bp 1-Oct-21 $698 34.077 1.8oc 5.5x 100% Want Amencas Generation 9.125% 1-May-31 400 83 BB- 89.25 10.43% 796bp 1-May-31 $698 34.077 1.8oc 5.5x 100% NRG Energy Inc 7.375% 15-Jan-17 1.100 81 BB- 103.63 5.89% 572bp 15-Jan-13 $1,873 $12,495 2.8x 4.2x 63% NRG Energy Inc 7.625% 15-Jan-18 1.200 81 BB- 99.00 7.84% 681bp 15-Jan-18 $1.873 $12,495 2.8x 4.2x 63% NRG Energy Inc 8.500% 15-Jun-19 700 81 BB- 99.00 8.68% 734bp 15-Jun-19 $1.873 $12,495 2.8x 4.2x 63% NRG Energy Inc 7.625% 15-May-19 800 81 BB- 95.00 8.56% 724bp 15-May-19 $1.873 $12,495 2.8x 4.2x 63% NRG Energy Inc 8.250% 1-Sep-20 1.100 81 BB- 98.00 8.58% 697bp 1-Sep-20 $1.873 $12,495 2.8x 4.2x 63% NRG Energy Inc 7.875% 15-May-21 1.200 81 BB- 95.00 8.67% 690bp 15-May-21 $1.873 $12,495 2.8x 4.2x 63% Calpine 7.250% 15-Oct-17 1,200 81 BB- 105.50 5.57% 499bp 15-Oct-15 $1,726 $16.597 2.3x 4.5x 47% Calpine 8.000% 15-Aug-19 400 81 NR 107.88 6.47% 574bp 15-Aug-16 $1,726 $16.597 2.3x 4.5x 47% Calpine 7.875% 31-Jul-20 1.100 81 BB- 108.50 6.14% 560bp 31-Jul-15 $1,726 $16.597 2.3x 4.5x 47% Calpine 7.500% 15-Feb-21 2.000 81 BB- 106.50 6.30% 510bp 1-Nov-18 $1,726 $16.597 2.3x 4.5x 47% Calpine 7.875% 15-Jan-23 1.200 81 BB- 107.50 6.64% 517bp 15-Jan-20 $1,726 $16.597 2.3x 4.5x 47% AES 7.750% 1-Mar-14 500 Ba3 BB- 108.25 3.52% 323bp 1-Mar-14 $3,645 $31.628 2.3x 1.7x 20% AES 7.750% 15-Oct-15 500 Ba3 BB- 111.75 4.25% 367bp 15-Oct-15 $3,645 $31.628 2.3x 1.7x 20% AES 9.750% 15-Apr-16 535 Ba3 BB- 118.00 4.91% 424bp 15-Apr-16 $3,645 $31.628 2.3x 1.7x 20% AES 8.000% 15-Oct-17 1,500 Ba3 BB- 113.75 5.17% 420bp 15-Oct-17 $3,645 $31.628 2.3x 1.7x 20% AES 8.000% 1-Jun-20 625 Ba3 BB- 115.00 5.70% 415bp 1-Jun-20 $3,645 $31.628 2.3x 1.7x 20% AES 7.375% 1-Jul-21 1.000 8a3 BB- 112,25 5.67% 387bp 1-Jul-21 $3,645 531,628 2.3x 1.7x 20% Sources: Company reports and t lAorgan. 25 EFTA00606183 Dave Has. CFA North America Credit Research 16 February 2012 Relative value analysis: STW vs debt/EV Sources: Calumny reports and a Mayan. J.P.Morgan 26 EFTA00606184 Dave Katz. CFA North America Credit Research 16 February 2012 Relative value analysis: STW vs debt/EBITDA J.P.Morgan 5200 4200 23200 2 2200 1200 21:C 1 Ox AE§ Paz AES 2.0x 3.0x MX 7,M% BX 10009i • EIX 7.625% GEN 9. 5.0x DAUEBITOA 6.0rx 4.0x TAP 5.5 TXU 6.500% ■ TXU 7.480% TXU *000% . TXU 10.250% TXU 11.250% ■ TXU 15.000% • TXU 11.500% ■ 7.0x 8.0x 9 Ox Sources: Company reports and. Horgan. 27 EFTA00606185 Dave Kali. CFA North America Credit Research 16 February 2012 Fuel Mix by Company Domestic • eneration ca • acit MW b fuel t pe (30•Sop•11) Generation Capacity (MW) CPN GEN NRG TCEH DYN EME Coal 7,513 7.300 8.000 3,502 7.056 Nuclear 1.175 2,300 Natural gas 23.483 8.725 11,090 5.100 6,606 964 Oil 12 1.454 4.015 1,488 305 Renewable 729 520 1.856 Dual 3.910 6.544 Total farce SNL Energy. Gorrony reocas and. Morgan 28,134 24,237 24,100 15,400 11,596 10,181 JP Morgan 28 EFTA00606186 Dave Katz. CFA North America Credit Research 16 February 2012 Domestic generation capacity rankings Natum ps 83% Natumlps 57% Calpine (CPN) Dynegy (DYN) Oil 30% Coal Rencwabk 3% Dual 14% Oil 13% Sauce: Company repeat aid. Morgan estmatee Note: As et 30-Sep-I t. Naturalgas 36% Nature Isas 46% Nuckar 5% GenOn (GEN) NRG Energy (NRG) Oil 17% Renewable 2% Rcncwabk 18% Oil 3% Naturalgas 10% J.P.Morgan Edison Mission (EME/EIX) LurninantaCEll (TXU) Coal 69% 29 EFTA00606187 Dave Katz. CFA North America Credit Research 16 February 2012 Domestic generation capacity rankings 30,000 25,000 20,000 15,000 10,000 5,000 25,000 20,000 15,000 10,000 5,000 J.P.Morgan Total generation capacity (MW) Coal - generation capacity (MW) CPN GEN 1 tRG Tan OYN EME Natural gas - generation capacity (MW) 1 CPN NRG GEN DYN TCEH EME 9.000 8.000 7.000 6.000 5.000 4.000 3.000 2.000 1.000 4.500 4.000 3.500 3.000 2.500 2.000 1.500 1.000 500 1 1 TCEH GEN NRG NRG DYN Saute: Morgan and company reports. Note: Energy Future Makings and Texas Competitive Energy Hddngs Generation Capacti data is tie same. Note: As of 30Sep-11. 1 CF% EM_ DYN Oil - generation capacity (MW) GEN EME CPN TCEH 30 EFTA00606188 Dave Katz CFA Rankings $20.000 $18000 $16000 $14000 $12,0® $10,000 58.000 56.000 34.000 52.000 so 86.000 55.000 54.000 53.000 52,000 51.000 so North America Credit Research 16 February 2012 LTM Rovonuos ',MOM) co LTM MINUS EBITDA If mMI0ne1 >- 0 w 22 8 w CWi O 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 14.0x 12.0x 10.0x 8.0x 8.0x 4.0x 2.0x 0.0x Somme: M. Morgan and company reports. Note: Energy Future HolcIngs end Texas Competeve Energy Holdings Revenues ere the saws. 2 LL J.P.Morgan LTM Adjusted EBITDA IMmia w 2 [repeated 3 times] is 2 LTM Rocours• liverts 1 X u. w w 2 0. 31 EFTA00606189 Dave Neff_ CM North America Credit Research 16 February 2012 Individual bond trading history 300 Difference (bp) a AES 7.750% 2014 vs. HY Split BBB Spread (bp) sour« IN. voifun Tight -2914 Wide: 302bp 200 Avenge: 57bp, Current dill. Current (AES 100 Current (HY S Current Price 0 -100 .52bp 14): 3234 375bp 2014): 108.25 1400 1200 1000 800 600 400 200 200 300 1 - r4 2 4) nanitl I " '" " "cmc : — a2ki—Fgan - .Zga,11 -1.1m ga,11 . 1.7ga 275 le Difference Avg Dill. —AES 7.750% 2014 — HY SS BBB Difference (bp) AES 9.750% 2016 vs. HY Split BBB Staid (bp) tkurcentalenan Tight .118bp 715 Wide: 288bp meat dill. (09-Nov.11): 50bp 1 Iiii Avenge: 108bp II : 175 trend (AES 9.750% 2016): Cap (HY Split BBB): 3754 I 125 C Price (MS 9.750% 2016): 118.00 I. k ' 75 25 -25 -75 -125 a 9 3 3 a cl 3 3 Ali Difference Avg Dill. —AES 9.750% 2018 — HY Spa BBB 1200 1000 800 600 400 200 0 J.P.Morgan Difference (bp) AES 7.750% 2015 vs. HY Split BBB Spread (bp) Sotoca:M.f4oreau 175 Tight: 4t8bp Wide: 233bp Avenge: 49bp went cif.( 75 rent (MS -225 1200 800 800 400 200 -325 I 0 Rti"4 c4"42 rn $$$$ I " r" " giflUgginljganlZgAnietgA Difference Avg Diff. —AES 7.750% 2015 — HY Split EBB Difference (bp) AES 8.000% 2017 vs. HY Split BBB Spread (bp) Sotoca:M.Papan 1200 200 Tight: 477bp Wide: 263bp Average: 39bp 100 Current dill. ( Current (MS Current (HY S 0 ,i'C'Innt Price -100 -200 -300 • -400 4I:nl ci i.$$$$ ""c 7ms -- fl kl-FgailkU m ganttgaillttgA Diffe ence Avg DWI. —AES 8.000% 2017 — HY Split BBB 1000 800 800 400 200 32 EFTA00606190 Dave Nat. CFA North America Credit Research 16 February 2012 Individual bond trading history (continued) 225 Difference bp) AES 8.000% 2020 vs. HY Split BBB Spread (bp) Seismlif.itorgan Tight: 125 Wide: 21 Average: Currentit 11): 40bp Current 2020): 41Sbp 25 tcsnom 3750 Current -75 -175 -275 -375 0 3 -Is a - r9iz .43' rit 1 Al 11 A Dille ence Avg Dill. • •AESS.CCO% 2020 — HY Spat BBB 225 Difference (3p) CPN 7.250% 2017 vs. HY BB savant/0pm 175 Tight .19bp Wide: 202bp Average: 85bp Current dill. (09-Nevi11): 131bp Current (CPN 7.250% 2017): 4991:9 Current (HY BB): 4380 125 Current Price (CPN 7.250% 2017h 105.50 75 -25 3 Difference 4 4 i. a. (11 1 6 4 3 Spread (bp) Avg Dif. . CPN 7.250% 2017 — HY BB 1200 1030 1200 1000 800 175 125 -25 175 125 75 25 J.P.Morgan Difference (bp) AES 7.375% 2021 vs. 1-IY Split BBB Spread (IV) 1200 se‘ectakre-ean Tight: obp VAde:186bp Average: 75bp I ' Current diff.(09.Nov41). 13bp Current (AES 7.375% 2021): 387b9 Current IHY Split BBB): 3750 Current Price (AES 7.375% 2021E 112.25 1 owe Site Avg DIN. ' 'AES 7.375% 2021 Difference (bp) CPN 8.000% 2019 vs. HYBB Mayan Tigh 40bp Wide. 191bp Avenge: 101bp Current dill. (09-Nov.11): 137bp Current ‘CPN 8.000% 2019): 574bp Current (HY BBIc 438bp Current Price (CPU 8.000% 2019): 107.88 0 Oil ference 0 a. a A a Avg Dill. CAN 8.01(0% 2019 LI- -HYSplit BBB 4 - HY B8 1000 800 1200 1000 800 800 400 200 33 EFTA00606191 Dave Nat. CFA North America Credit Research 16 February 2012 Individual bond trading history (continued) 160 140 120 100 80 60 40 20 0 140 120 100 80 60 40 Difference (bp) CPN 7.875% 2020 vs. HY BB sowc. sorban Tight: 8bp Wide: 184bp Average: 68bp Current dill. (09Nov41): 123bp Current (CPN 7.875% 2020): 5800p Current (HY BB): 438bp Current Price (CPN 7.875% 93208 108.50 Spread (bP) 6. a a. 91 z a (9; Avg Diff. -CPN 7.675%2020 -HYBB Difference (bp) CPN 7.875%2023 vs. HY BB sowc• a Morgan Tight: 16bp Wide: 130bp Average: 60bp Current dill. (09Nov41): 79bp Current (CPN 7.875% 2023): 517bp Current (HY BB): 438bp Current Price (CPN 7.875% 20238 107.50 Difference z Avg Dill. —CPN 7.875% 2023 Spread (bp) A HY BB 1200 1000 800 400 200 0 1200 1000 400 135 115 Difference (bp) CPN 7.500% 2021 vs. HY BB sotto amoeba Tight: Obp Wide: 143bp Average: 54bp Current call. (09-Nov.11): 72bp 95 Current (CPN 7.500% 2021): 510bp Current (HY BB): 438bp Current Price (CPN 7.500% 2021): 108.50 75 55 — 35 15 -5 625 125 -375 -875 U. — Difference Avg Diff. Difference (bp) EIX 7.500% 2013 vs. HY Split B SOWCO:ellnlia — [repeated 3 times] , • a . V = —CPN 7.500% 2021 Tight: -13670p Wide: 1090bp Average: -216b Current dill.( Current (EIX 7. Current (HY Current Price J. P Morgan Spread (bp) —HYBB Sprawl (bp) 738bp 1617bp -1375 2 214. 4922 .11, 21.2:cccr 6 au(s:M8aitM au(tM ait.2.1.7 a '—' Difference Avg DWI. —EIX 7.500% 2013 — HY Spill B 1200 1000 800 600 400 200 0 1500 1000 500 0 34 EFTA00606192 Dave Katz. CFA North America Credit Research 16 February 2012 Individual bond trading history (continued) 1025 - 525 25 -475 -975 -1475 .2.1Zetati.2.1.76 AX .8X.2.14. 45AX.2.1VA Difference (bp) EIX 7.750% 2016 vs. HY Split B Source& ...organ Tight -1466bp Wide: 1381bp Avenge: -10 Current dill.( ov-11): 874bp Curren! (EIX 7. SO% 2016 1753bp Curren! (HY Sp1it B): 879b Curren! Price ( IX 7.750% 6): 69.50 L/ Spread (bp) 975 475 -25 -525 -1025 -1525 - Dille ence Avg DWI. EIX 7.750% 2016 —HY Spld B Difference (bp) EDC 7.000% 2017 vs. HY Spilt B Spread (bp) Souza M . Morgan Tight: -15110p Wide: 126.4bp Average: -12 Cloven! dill. ( Current (61%7 Curren! (MY Curren! Price 899bp 1778bp mum ml 1 °A ,g Dille ence Avg Dill. r i-EIX 7.000% 2017 — HY Split B 1500 1000 500 0 2000 1500 1000 500 0 -200 -400 -600 -1000 -1200 -1400 -1600 — Difference Avg Dill. - -E0C 8.560% 2016 — HY Split B J.P.Morgan Difference (bp) r EIX 8.560% 2016 vs. HY Split B read SourcoM.Hanan 975 Difference (bp) 475 Tight: -1507bp Wide: 958bp Average: -1810 Current diff. ( Current (EIX 7. Current (MY -25 CutreM Mice -525 -1025 -1525 -11): -54bp 2016 825bp B): 87 IX 8.560% (2016): 99.00 EIX 7.200% 2019 vs. HYSplit B Spread (bp) Sourco:Elidcogan 72dbp 1602bp 019):.69A0 2000 1500 1000 500 0 1500 1000 500 0 1141;11L11.1111;ligilmmgA Difference Avg DWI. r—mEIX 7.200% 2019 —HY spii B 35 0 0 EFTA00606193 350 - Mahl: -14454P Wkle: 5360p 150 Average: .2316 Curient diff. (09- ov-11) -50 , CIM«. (EIX 7. 25% 20 Cunent (NY S KB): , -250 Curie« Pike IX 7.625% -450 -650 -850 -1050 -1250 -1450 Dave Katz CFA North Arnerica Credit Research 16 February 2012 J.P.Morgan 550 Drf I Wence (bp) EIX 7.625% 2027 v5. HY Split B Sixes:1(bP) eHerence (bp) EN 7.625% 2014 vs. HY Split BB Speed (Pp) 450 Sourrolnlmorsan Tight: -431tip 350 Yade:482bp Average: 33 250 Current diff. 229bp Current (GEN 4): 751bp 1500 150 Current (HV El bp Current Prise EN 2014): 99.50 sonne M.Porgan — Difference Avg Diff. —EIX 7.62551 2027 -HYSplii8 Difference (Pp) 350 Tight: -632bp Wide:424bp I Average: 19bp 150 Gurren! diff. ( Gurren! (GEN Gurren! (HY 5 Currenf. Brite -50 -250 -450 50 1000 -50 -150 500 -250 0 GEN 7.875% 2017 vs. HYSplit BB Sixeild (DP) 1600 Sotoce:B. Sorgen 424bp 7): 947bp bp 2617E 90.00 - -650 I re ggele e" ele e 7. :;: 7i 7573SsA‘t" ais-x-R.ROa I efence Avg Diff. —GEN 7.675% 2017 —HV Split BB 1400 1200 1000 800 600 400 200 0 -350 1600 1400 1200 1000 800 600 400 200 -450 0 - 7 -- 7 atelAzoanAjoa gC fliegnel.egA Elif I erence Avg Diff. —GEN 7.625% 2014 —HY Splil BB 500 efterence (Pp) GEN 9.500% 2018 vs. HY Split BB Sposad (Pp) 1600 bi 450 1400 Sottcolt Malen Tight: 104bp VAde:493bp 400 Awange: 200bp Current di8. (09-Nov-11): 476bp 350 Current (GEN 9.500% 2018): 998bp Cur 300 Cut t Prise (GEN 9.500% 2018): 92.25 ft (HV Split B8): 523bp 250 200 150 100 50 0 O Dif I erence Ä Avg Diff. —GEN 9.500% 2015 — HV Split BB 1200 1000 800 600 400 200 0 36 EFTA00606194 Dave Has. CFA 325 225 125 25 -75 -175 -275 -375 -475 North America Credit Research 16 February 2012 Difference (bp) GEN 8.500% 2021 vs. HY Split BB Spread (bp) 1600 sourcoin Morgan Tight: -466bp Wide: 3336p Average: 19bp Current diff. urrent (GE (H 1,M11/A5 n/HAHHAA.fl.i8A • Dif erence Avg Dill —GEN 8.500%2021 — HY Split BS 225 I Difference (bp) NRG 7.375% 2017 vs. HY BB source. Morgan 125 . Tight: 473bp Wide: 214bp Average: 26bp Current dill. Current NRG unit urrent Price 25 -75 -275 -375 -475 1§.11111,1MO11A°;$° $° 8° A° A'-ii,R8A Difference Avg Cliff. —NRG 7.375% 2017 — HY BS 1400 1200 1000 800 600 400 200 0 300 200 Tight: 499bp Wide: 307bp Average: 43bp 100 Current dill. ( Current (GEN torrent 0 Current Price -100 -200 -500 art:ill-I -400 ^Difference 350 Difference (bp) 300 250 200 150 100 50 0 J.P.Morgan GEN 9.125% 2031 vs. NY Split BB Spread (bp) 1600 Sourco...Monen Avg Dill. —GEN 9.125% 2031 — HY Spilt BB NRG 7.625%2018 vs. HY BB seance warped Tight: 48bp Wide: 329bp Average: 142bp Current dill. (0944ov-11): 244bp Current (NRG 7.625% 2018): 681bp Current (HY BB): 438bp Current Price (NRG 7.625% 2018): 99.00 ~DAlerence -12 I A — HY BB Avg Dill. — NRG 7.625% 2018 Spread (tip) 1400 1200 1000 800 600 400 200 0 1200 1000 8 600 400 200 0 37 EFTA00606195 Dave Fia2.CFA North America Credlt Research 16 February 2012 300 Difference (bp) NRG 7.625% 2019 vs. HY BB so..«....bargan 250 200 150 100 50 0 250 200 150 100 50 0 Tight: 111bp Wide.293bp Average: 178bp Current dilt (0944ey.11i: 2138» Gitre»! (NRG 7.625% 1011): 724bp Current (HY BB): 438» Current Pike (NRG 7 2019): 95.00 200 Dillerence Avg OM. —NRG 7.625% 2019 — HY B8 Olfterence(bp) NRG 8.250% 2020 vs. HY BB ~a Bang« Tight 65» Wide: 274» Menge: 138» Gutten( dilt (0944ey.11): 260» Gutten( (NRG 8.250% 2020): 697» Gutten( (HY BB): 438bp Gutten( Pdce (NRG 8.250% 2020): 98.00 0 0 200 8 Dineren» å å, Mg Ditt —NRG 8250% 2020 — HY B8 0 1000 800 600 0 300 250 200 150 100 50 0 -50 -100 -150 250 200 150 100 50 Orflerence (bp) NRG 8.500% 2019 vs. HY BB Source:W1~g a, 'right •147bp Wide: 3200p Average: 99» Current ditt (09•Novi11): 297» Current (NRG 8.300% 2019): 734» Current (HY BB): 438W Current Price (NRG 8.500% 2019): 99.00 A — Dillerence Dtflerenoe (bp) J.P.Morgan Spreed (bp) 0 [repeated 6 times] C.4 Avg Ditt. O Å St: k .6 A -2 0 d [E NRG 8.500% 2019 — HY BB N RG 7.875% 2021 vs. HY BB soirco.nmergan Tight: nibp Wide: 261» Average: 146» Current dill. (09440.011): 252» Current (NRG 7.875% 2021): 6900p Current (HY BB): 438» Current Nice (NRG 7.875 20210 95.00 0 3. Avg Dill —NRG 7 875% 2021 Sem(' (b9) — HY 08 1200 1000 800 600 400 200 0 38 EFTA00606196 Dave Katz. CFA 5275 475 375 275 175 75 -125 North America Credit Research 16 February 2012 Difference (bp) TXU 10.250%2015 vs. HY CCC 50w cs Voroan Tight 4703in Wide: 5466bp Avenge: 633bp Current dill. (09Nov41): 4492bp Current (TXU 10.250% 2015): 5659bp Current (KY CCC): 1167bp Current Price (TXU 10.250% 20t5) 30.50 $ — Difference Avg Dill.—TXU 10.250% 2015 — HYCCC Difference (bp) TXU 11.500%2020 vs. HY CCC source trepan Tight: .108bp Wide: 493bp Average: 46bp Current dill. (094lev.11): 493bp Current (TXU 11.500% 2020): 1680bp Current (HY CCC): 1187bp Current Price (MU 11.500% 2020) 71.00 Difference Mg Dif I . Spread MO o 8 — 11.500'4 2020 — HY UGC 3030 2500 2000 1500 1000 0 3050 2550 2050 1550 1060 550 50 -450 -950 -1450 2000 1500 1000 500 J.P.Morgan Difference (bp) TXU 11.250% 2016 vs. HY CCC Spread (bp =Mogan Tight .1442bp Wide: 3105bp Average: 411bp Current aff.( 1): 2763bp Current (TXU 11 6): 3930bp Current (KY Current Price 2016): 31.00 1 11/11 1 1111;iiiiiii $$ Dillsence A g D'ff. -TXU 11.250% 2016 - HYCCC Difference (bp) TXU 15.000%2021 vs. HY CCC Spread ( samccEl.morg3n Tight 144bp Wide: 2347bp Average: 828bp Current diff.(09Wev-11): 234701, Current (TXU 15.000% 2021): 3514bp Current (KY CCC): 1187bp Current Price (TXU 15.000% 2021): 43.00 ea Dantean A g D'ff. O -TXU 15.000% 2021 - HYCCC 4000 3500 3000 2500 2000 1500 1000 500 0 3500 1500 1030 500 39 EFTA00606197 Dave Katz. CFA 1375 875 375 -125 -625 -1125 -1625 -2125 -2625 North America Credit Research 16 February 2012 Difference (bp) EF .460%2015 vs. HYCCC Spread(bp) Source:. Morgan Tight: .26013bp Wide: 1654bp Average: -407bp Current dill. Current (EFH 7 Current (HY C '—' Different. Difference (bp) Tight: 4283bp 700 Wide: 1097bp Average: 53bp Current dirt( Trap Current (EFH 1449bp Current (HY C 200 Current Price 20176 86.00 000 HIMLUMI ;Li !i'A A Avg Dill. —EFH 7.460% 2015 — HYCCC 0 -800 -1300 1.2 n}M WM; tel e.'ic ii in 'R SA EFH 12.000% 2017 vs. HYi C 8PussS (bp) Sourco:M. Morgan D'ffeennte Avg Dill. —EFH 12.000% 2017 HYCCC 3500 3030 - 2500 2030 1500 1000 500 0 3030 2500 2030 1500 1000 500 1775 Tight: -2709Iap 1275 Wide: 2044bp Average: •281bp 775 Current dint. (09 ov41): Current (EFH 7 0% 201 vs Current (HY CD): 11676 Current Price ( FH 7. DtHerence (bp) EFH 480% 2017 vs. HYCCC source .4organ -225 -725 -1225 -1725 - -2225 -2725 ”1.1 at 3 O Dif lerence p J. P. Morgan EMS MP) Ho O. O. 11 a: a: cc cc . . a ;:a. AL 2~3Oa; gt g ; lc& $ A Avg Dill. —:EFH 7.4130% 2017 —HYCCC Difference (bp) EFH 10.875% 2017 vs. HY C Spread (bp) Sixrcealatergan 625 Tight: 48731:0 3000 Wide: 969bp Average: 4066 Current dill. ( 41): 65bp 125 Current (EFH 1..875% 201' 143 SHY C ) 116 Price {EFH 10 3003 2500 2000 • 1500 1000 500 -375 -875 -1375 0 -1875 it° 4° t Al A D'llerence Avg Diff. . •EFH 10.675% 2017 — HYCCC 40 EFTA00606198 Dave Ka2. CFA North America Credit Research 16 February 2012 Oilier once (bp) EFH 9.750% 2019 vs. HY CCC sowce Morgan .75 Tight: -569bp Wide: .16913p Average: .3350p Current dill (09-Nov-11): -336bp -175 Current (EFH 9.750% 2019): 8310p Current (HY CCC): 11670p Current Price (EFH 9.750% 2019): 102.00 -275 -375 -475 -575 525 25 -475 -975 -1475 -1975 8 — Difference 0 [repeated 6 times] R .R 6 to —.EFH 9.750% 2019 Difference (bp) EFH 6.500% 2024 vs. HY CCC sax* Morgan #`4111 **1111` . °77.°: 6 6 a ,- .R0a2ics-a.R0a;,2.15,-R.aa21-4.O,3 D'fferente Avg Dill. EFH 6-500% 2020 — HY COC 3030 2500 2030 1500 1000 500 0 3030 2500 2030 1500 1000 500 0 J.P.Morgan 3 Difference (bp) EFH 10.000% 2020 vs. HY CCC sotto, `Morgan -100 -200 -300 -500 -600 Tight: .5900P Wide: -218bp Average: .368bp Current cliff. (09-Nov.11): -444bp Current (EFH 10.000% 2020): 723bp Current (HY CCC): 1167bp Current Price (EFH 10.000% 2020): 107.38 0 6, 0 1—I Difference 0 0 6, 0 6 3 Avg Diff. —EFH 10.000%2020 — HY CCC 1500 1000 500 0 41 EFTA00606199 Dave Katz. CFA North America Credit Research 16 February 2012 Working Natural Gas Total Estimated Storage 4000 3500 3000 2500 2000 1500 1000 A 1 Sri • •• ed. • 1% i e# • [repeated 3 times] % 1 % 1 % so 0,• % [repeated 3 times] t % % I • ♦ 1 1 % [repeated 4 times] % • % • % • [repeated 4 times] % 0• % % •„n e-di % ♦ •• it-11 May-11 May-11 Jtrt-11 Jul-11 Aug-11 Natural Gas Storage Sap-11 Oct-11 Nov-11 —5 yr avg en Max Dec-11 .s... Min Jan-12 Feb-12 Mar-12 Source: Etloomberg and M. Morgan. J.P.Morgan 42 EFTA00606200 Dave Nat. CFA North America Credit Research 16 February 2012 Working Natural Gas Change in Estimated Storage Data 150 100 0 A -100 -150 1 May-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 1 Dec-11 Jan-12 Feb-12 liar -12 I [repeated 3 times] &arca: elocnterg and..Mixgan. —Change in Estimated Storage — — 5 yr avg J.P.Morgan 13 EFTA00606201 Dave Kali. CFA North America Credit Research 16 February 2012 Natural gas futures prices ($/MMBtu) $10.00 $9.00 $9.00 37.00 $6.00 $5.00 $4.00 $3.00 $2.00 Some:Bombers a 4 I I la. I% $ I 0 :•. I % $ 1 dv • • •• i 1 • 1 s. t 1 I., •• : . ... • I: .I . I s 4. • • • • , . I . : 1, , , . • I ' ..° 1. : • r / 1 it 1 / ...0) • 1 1% / % I t /% 1 % i 1 , I .o... .. • t : - / 1 f t ." t% j I..., 1••• „•., • : • I 1, / 15-Feb-2012 31-Dec-2011 31-Dec-2010 -30-Jun-2010 - -31-Dec-2009 J.P.Morgan 44 EFTA00606202 Dave Katz. CFA North America Credit Research 16 February 2012 Henry Hub Natural Gas Spot Price (USD/MMBtu) $20 $18 $16 $14 $12 $10 $8 S6 S4 52 4— Trough: $1.88 - 11/16/2001 Peak: $19.38-02/25.2003 $0 Apr-01 Apr-02 Apr-03 Apr-04 Apr-05 Apr-06 Sastre: Bloomberg. Bloomberg function: Max yry change since 2000: NGUSHHUB <Index> Apr-07 Increase In Decrease (SIMMBM: $16.01 -$13.32 Increase (%). 667.2% Decrease (%). -75.3% Current (StINMBtu): $2.54 Apr-08 Apr-09 Apr-10 Apr-11 J.P.Morgan 45 EFTA00606203 Dave Katz. CFA North America Credit Research 16 February 2012 Coal spot prices ($/ton) Powder River Basin 8800Bru Pam. oleo Miaow lt•C. • In AM in MO Meal .1144 in Jet Ana MO Ana MP Y2 MOS Ina Maim" MU Ina M Ina YaI ins MO loll Mil a. SO 10 Uinta (Western Sitamlneus) wirers /.401C.S•renl Ma In Spinal J.P.Morgan CAPP Thermal leaven pin ilt•prilal .wen ass al•• Jell MP Ina MO Jr. Ara lel. Mu laid ail /ma MY. .inn aw a SKI Loa MO Jog MO NI Mil -0 • Mgt UM Lm YO MO MO 1.441 Ana MO AMMO Inn Ytl YNl Sal Joe •••• YO eta YiIW. Not lee Me Jed lab Lodi Ma eta Ma In. Ida •••• 1.447 a MA Sea she J•I loll Mil .I••• Intorla(IllInolsEtasM) 46 EFTA00606204 Dave Kali. CFA Coal futures $90 $80 $70 $60 r. $50 I 1 $40 0 $30 520 510 50 Mar-11 North America Credit Research 16 February 2012 / i Sep-12 Mar-13 Sep-13 Mast Sep-le Mar-15 Sep-I5 — — Certral twalxhan Cad ICAFF) Ponder RS Basin (FRB) Scarce: Bloomberg (NYMEX). Mar-16 Sep-16 $18 5'0 551 S'2 5x S6 56 J.P.Morgan 47 EFTA00606205 Dave Katz. CFA North America Credit Research 16 February 2012 Coal Stockpiles in the Electric Sector 250 200 150 100 50 0 . [repeated 27 times] . [repeated 26 times] . [repeated 3 times] . [repeated 7 times] . [repeated 4 times] . [repeated 21 times] . [repeated 18 times] . [repeated 10 times] avv• . [repeated 12 times] . [repeated 23 times] . [repeated 10 times] Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2010 2011 Mln (00 -'10) Max COO -'10) Average COO -'10) Source: Doomberg. J.P.Morgan 48 EFTA00606206 Dave Katz. CFA North America Credit Research 16 February 2012 Coal Production 100.0 95.0 - 90.0 85.0 80.0 75.0 X X / X • X \ X / X / X \ / • tit / • X/ • • \ • I • S• • e , • • e / • v / • • 4/ • •% if 2 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dee 2009 2010 2011 Some: Energy Infamatian Agency J.P.Morgan 49 EFTA00606207 Dave Katz. CFA North America Credit Research 16 February 2012 Weekly Electricity Output 100.000 95.000 90.000 it 85.000 80.000 a te • 75.000 70.000 65.000 60.000 55.000 50,000 I Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2010 2011 2012 Some: °bombe% J.P.Morgan 50 EFTA00606208 Dave Katz. CFA North America Credit Research 16 February 2012 Electricity Output The last update as of 3-Feb -12 Trailing 52 weeks Region Weekly Y/Y change QTD YTD Current WY change Relevant to New England 2.463 -9.1% 12,728 12,728 129,027 -1.9% AES, CPN, DYN, GEN, NRG Mid-Atlantic 8,312 -10.4% 43,376 43,376 450,502 -2.1% AES, CPN, DYN, EIX, GEN, NRG Central Industrial 12,784 -13.4% 68,999 68,999 701,812 -2.1% AES, CPN, DYN, EIX, GEN , NRC Southeast 18,593 -10.8% 97,944 97,944 1,013,038 -5.0% AES, CPN, DYN, EIX, GEN, NRG South Central 10,937 -23.r/o 57,397 57,397 682,785 2.5% AES, CPN, EIX, NRG, TXU Rocky Mountain 4,954 -7.5% 25,209 25,209 268,956 0.4% AES, EIX, DYN, NRG West Central 5,267 0.0% 31,243 31,243 335,548 -1.4% AES, EIX Pacific Southwest 5,196 -2.1% 26,261 26,261 290,006 0.1% AES, DYN, CPN, EIX, GEN, NRG Pacific Northwest 3,411 -7.1% 18,202 18,202 160,668 3.3% CPN, EIX, NRG, Total Electricity Output 71,917 -13.5% 381,359 381,359 4.032,347 -1.5% Soiree: Romberg. Lints: QM. J.P.Morgan 51 EFTA00606209 Dave Natt. CFA North America Credit Research 16 February 2012 Total Degree Days Total Degree Da» As of I1-Feb-12 Region YTE) 2012 YTD 2011 Normal YoY vs Normal Company New England 2,170 2,741 2,572 -20.8% -15.6% AES, CPN, DYN, GEN, NRG Mid Atlantic 2,083 2,612 2,459 -20.3% -15.3% AES, DYN, EIX, GEN, NRG E. North Central 2,265 2,917 2,772 -22.4% -18.3% DYN, EIX, GEN, NRG W. North Central 2,341 3,163 2,954 -26.0% -20.8% AES, CPN, GEN, NRG, TXU South Atlantic 1,395 1,897 1,750 -26.5% -20.3% CPN, DYN, E. South Central 1,284 1,919 1,767 -33.1% -27.3% CPN, GEN W. South Central 904 1,440 1,329 -37.2% -32.0% CPN, NRG, GEN Mountain 1,867 2,209 2,180 -15.5% -14.4% CPN, DYN, Pacific 952 1,028 1,130 -7.4% -15.8% AES, CPN, DYN, EIX, GEN, NAG Total Degree Days As of 31-Dec-11 Region 2011 2010 Normal YoY vs Normal Company New England 1,790 2.205 2,195 -18.8% -18.5% AES, CPN, DYN, GEN, NRG Mid Atlantic 1,711 2,082 2,062 -17.8% -17.0% AES, DYN, EIX, GEN, NRG E. North Central 1,946 2,356 2,326 -17.4% -16.3% DYN, EIX, GEN, NRG W. North Central 2,173 2,438 2,526 -10.9% -14.0% AES, CPN, GEN, NRG, TXU South Atlantic 1,361 1,700 1,572 -19.9% -13.4% CPN, DYN, E. South Central 1,263 1,542 1,455 -18.1% -13.2% CPN, GEN W. South Central 1,073 1,066 1,106 0.7% -3.0% CPN, NRG, GEN Mountain 2,180 2,003 2,205 8.8% -1.1% CPN, DYN, Pacific 1.114 1,088 1,097 2.4% 1.5% AES, CPN, DYN, EIX, GEN, NRG Same: Naticrel Oceanc and Almosphenc tannzaabea. Note: Gas hare heatng coswner weighled. J.P.Morgan 52 EFTA00606210 Dave Katz. CFA North America Credit Research 16 February 2012 Average Cooling Degree Days 120 100 80 80 40 20 91\1 r v .1 9 •AI i • Pm • Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2009 2010 2011 Normal ---2012 Soso?: Naicnal Oceanic and Abnesphenc Administaxm (NOM). J.P.Morgan 53 EFTA00606211 Dave Katz. CFA North America Credit Research 16 February 2012 Average Heating Degree Days 300 250 200 150 100 50 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -- 2009/2010 2010/2011 Scuts: Unocal Oceanic and Aunosphenc Adrnnsuaom INOAA) 2011/2012 Normal J.P.Morgan 54 EFTA00606212 Dave Katz. CFA North America Credit Research 16 February 2012 Generation Share Forecasts and Implied Capacity Factors J.F!Morgan 2005A 2006A 2007A 2008A 2009A 2010A 2011k 20bk. 20201: 202:1k. 20301. 20356 Coal 51.1% 50.4% 49.9% 49.5% 45.9% 46.5% 46.0% 44.2% 45.1% 46.9% 46.0% 45.5% Petroleum 3.0% 1.5% 1.5% 1.1% 0.9% 1.0% 1.0% 0.9% [repeated 5 times] Natural Gas 17.5% 18.8% 20.3% 20.2% 22.1% 22.9% 22.0% 21.5% 20.2% 19.1% 21.0% 22.3% Nuclear Power 20.0% 20.1% 20.1% 20.3% 20.9% 20.3% 20.6% 21.0% 21.1% 20.4% 19.6% 18.9% Pumped Storage/Other 0.0% [repeated 4 times] 0.1% 0.0% [repeated 7 times] Renewable Sources 8.3% 9.0% 8.0% 8.8% 10.1% 9.4% 10.5% 12.4% 12.6% 12.7% 12.5% 12.3% Distributed Generation (Natural Gas) 0.0% [repeated 9 times] 0.1% [repeated 3 times] Implied coal plant capacity factor 73.4% 72.6% 73.8% 72.7% 63.8% 66.1% 64.2% 63.7% 67.4% 72.5% 74.0% 75.7% Implied gastoil plant capacity factor 21.7% 21.2% 23.1% 22.0% 22.3% 24.0% 22.5% 23.0% 22.8% 21.4% 22.6% 23.2% Implied nuke plant capacity factor 89.1% 89.7% 91.5% 91.5% 90.3% 90.7% 90.6% [repeated 5 times] 90.3% Implied renewable plant capacity factor 39.5% 41.8% 36.0% 36.3% 37.5% 34.7% 36.8% 41.3% 43.7% 43.9% 43.7% 43.9% Source: Energy Infamaton Agency. 55 EFTA00606213 Dave Ka2. CFA North America Credit Research 16 February 2012 Estimated Generation by Fuel Type 100% 90% - 80% 70% 60% 50% 40% 30% 20% 10% 0% L_ 2005A 2006A 2007A 2008A 2009A 2010A 2011 2015 2020 2025 2030 2035 • Coal • Petroleum o Natural Gas ■ Nuclear Power • Renewable Sources Scuts: Energy Information Agency J.P.Morgan 56 EFTA00606214 Dave Kali. CFA North America Credit Research 16 February 2012 Estimated Capacity Additions, 2007-2030 50 40 30 20 10 0 2010.2015 Source: Energy InformalOn Agency. 2015-2020 2020.2025 2025.2030 2030-2035 ■ Coal Steam O Combined Cycle • Combustian Turbine/Diesel • Nuclear Power • Renewable Sources J.P.Morgan EFTA00606215 Dave Katz. 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Clients should contact analysts and execute transactions through a MI. Morgan subsidiary or affiliate in their home jurisdiction unless governing law permits otherwise. "Other Disclosures" last revised January 6, 2012. 59 EFTA00606217 Dave Katz. CFA North America Credit Research 16 February 2012 J.P.Morgan Copyright 2012 JPMorgan Chase & Co. All git hts reset-led. This report or any portion hereof may not be reprinted, sold or redistributed without the written consent of.. Morgan. 60 EFTA00606218