8/14/2019 Leveraged Loan Monthly
1/84
LEVERAGED LOAN MONTHLYTHOMSON REUTERS LPC
JULY 2013
Colm DohertyDirector of [email protected]
Hugo PereiraSenior Market [email protected]
mailto:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]8/14/2019 Leveraged Loan Monthly
2/84
8/14/2019 Leveraged Loan Monthly
3/84
8/14/2019 Leveraged Loan Monthly
4/84
LEVERAGEDLOANISSUANCE
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
160.0
Ja
n-06
Ma
r-06
Ma
y-06
Jul-06
Se
p-06
No
v-06
Ja
n-07
Mar-07
Ma
y-07
Jul-07
Se
p-07
No
v-07
Ja
n-08
Ma
r-08
Ma
y-08
Jul-08
Se
p-08
No
v-08
Ja
n-09
Ma
r-09
Ma
y-09
Jul-09
Se
p-09
No
v-09
Ja
n-10
Mar-10
Ma
y-10
Jul-10
Se
p-10
No
v-10
Ja
n-11
Mar-11
Ma
y-11
Jul-11
Se
p-11
No
v-11
Ja
n-12
Mar-12
Ma
y-12
Jul-12
Se
p-12
No
v-12
Ja
n-13
Mar-13
Ma
y-13
LeveragedLoanIssuance($Bils.)
Pro rata Institutional
07/05/2013 Loan Market Monthly - July 2013
4
U.S. LEVERAGED LOAN ISSUANCE
Leveraged loan issuance hit a record $323 billion in 2Q13, up 11% from theprevious record of $290 billion set in 1Q13. Once again refinancings andrepricings dominated issuance. YTD leveraged loan issuance is now at $614billion, with institutional loan issuance accounting for 62% of this total.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
5/84
U.S. INSTITUTIONALLOANANDHYBONDISSUANCE
0.0
20.0
40.0
60.0
80.0
100.0
120.0
Ja
n-10
Fe
b-10
Ma
r-10
Ap
r-10
Ma
y-10
Ju
n-10
Jul-10
Au
g-10
Se
p-10
Oc
t-10
No
v-10
De
c-10
Ja
n-11
Fe
b-11
Mar-11
Ap
r-11
Ma
y-11
Ju
n-11
Jul-11
Au
g-11
Se
p-11
Oct-11
No
v-11
De
c-11
Ja
n-12
Fe
b-12
Ma
r-12
Ap
r-12
Ma
y-12
Ju
n-12
Jul-12
Au
g-12
Se
p-12
Oc
t-12
No
v-12
De
c-12
Ja
n-13
Fe
b-13
Mar-13
Ap
r-13
Ma
y-13
Ju
n-13
Issuance($Bils.)
HY Bonds Inst. Loans
07/05/2013 Loan Market Monthly - July 2013
5
U.S. LOAN AND BOND ISSUANCE
Despite the market volatility in June, institutional loan issuance amounted to $191 billion in2Q13, a 1% drop from the 1Q13 total as issuers continued to take advantage of excess investordemand for loans and repriced their debt. Institutional loan issuance has totaled $385 billionin 1H13 compared to $142 billion in the same period last year.
After posting a monthly record of $46.8 billion in May, high yield bond issuance fell to $13.8billion in June amid the increased market volatility, bringing YTD volume to $174 billion.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
6/84
U.S. INSTITUTIONALISSUANCE:NEWMONEYVS. REFINANCING
0.0
20.0
40.0
60.0
80.0
100.0
120.0
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Institutionalloanissuance($Bils.) New money Refinancing
07/05/2013 Loan Market Monthly - July 2013
6
U.S. INSTITUTIONAL LOAN ISSUANCE
Refinancing/repricing activity represented the majority of institutional loan issuance in 2Q13as issuers particularly in April and June took advantage of strong lender appetite for assetsto cut spreads and extend maturities. YTD new money institutional issuance has amountedto $105 billion, only a 27% share of overall institutional loan volume.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
7/84
LEVERAGEDM&ALOANISSUANCE
0.0
5.0
10.0
15.0
20.0
25.0
Jan-
12
Feb-
12
Mar-
12
Apr-
12
May-
12
Jun-
12
Jul-
12
Aug-
12
Sep-
12
Oct-
12
Nov-
12
Dec-
12
Jan-13
Feb-13
Mar-13
Apr-13
May-
13
Jun-13
LeveragedM&Aloanissuance($
Bils.)
LBOs
Leveraged M&A (Non LBO)
07/05/2013 Loan Market Monthly - July 2013
7
U.S. LEVERAGED M&A LOAN ISSUANCE
While lenders continue to hope for an increase in M&A deal flow, volume remainsrelatively muted. Year to date, M&A leveraged loan issuance has amounted to $84billion, with LBO activity accounting for $38 billion (46%) of this activity.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
8/84
COVENANTLITELOANISSUANCE
0.0
5.0
10.0
15.0
20.025.0
30.0
35.0
40.0
45.0
50.0
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-
12
Feb-
12
Mar-
12
Apr-
12
May-
12
Jun-
12
Jul-
12
Aug-
12
Sep-
12
Oct-
12
Nov-
12
Dec-
12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Covenant-litelo
anissuance($
Bils.)
07/05/2013 Loan Market Monthly - July 2013
8
U.S. COVENANT-LITE LOAN ISSUANCE
Covenant-lite loan issuance totaled $61 billion in 2Q13, bringing year to dateissuance to $140 billion. Indicative of how popular cov-lite loans have become thisyear is that in the same half year period a year ago, cov-lite loan issuanceamounted to only $26 billion.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
9/84
DIVIDENDRECAPVOLUME
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Dividendrecaploanvolume($Bils.)
07/05/2013 Loan Market Monthly - July 2013
9
U.S. SPONSORED DIVIDEND RECAPITALIZATION LOAN VOLUME
Given the lack of M&A activity and the strong lender appetite in the market, sponsors availedof dividend recap financings, particularly in June when loan volume totaled $11.4 billion. Thisbrought 2Q13 dividend recap loan volume to $21 billion and year to date volume to $31 billion.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
10/84
MIDDLEMARKETLOANISSUANCE
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
1Q
00
2Q
00
3Q
00
4Q
00
1Q
01
2Q
01
3Q
01
4Q
01
1Q
02
2Q
02
3Q
02
4Q
02
1Q
03
2Q
03
3Q
03
4Q
03
1Q
04
2Q
04
3Q
04
4Q
04
1Q
05
2Q
05
3Q
05
4Q
05
1Q
06
2Q
06
3Q
06
4Q
06
1Q
07
2Q
07
3Q
07
4Q
07
1Q
08
2Q
08
3Q
08
4Q
08
1Q
09
2Q
09
3Q
09
4Q
09
1Q
10
2Q
10
3Q
10
4Q
10
1Q
11
2Q
11
3Q
11
4Q
11
1Q
12
2Q
12
3Q
12
4Q
12
1Q
13
2Q
13
Middlemarketlo
anvolume($Bils.)
Large MM*
Trad. MM*
Overall MM
07/05/2013 Loan Market Monthly - July 2013
10
U.S. MIDDLE MARKET LOAN VOLUME
Middle market lending picked up in 2Q13, amounting to $51 billion, up from $41billion in 1Q13. Like in the large corporate market, new money volume was inthe minority, representing 31% of middle market lending in 2Q13.
LEVERAGEDLOAN
MARKETO
VERVIEW
*Traditional MM: Deal Size $100M to $500M, For all: Borrower Sales
8/14/2019 Leveraged Loan Monthly
11/84
EUROPEANLEVERAGEDLOANISSUANCE
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Jan
-10
Feb
-10
Mar-10
Apr-10
May
-10
Jun
-10
Jul-10
Aug
-10
Sep
-10
Oct-10
Nov
-10
Dec
-10
Jan
-11
Feb
-11
Mar-11
Apr-11
May-11
Jun
-11
Ju
l-11
Aug
-11
Sep
-11
Oct-11
Nov-11
Dec-11
Jan
-12
Feb
-12
Mar-12
Apr-12
May
-12
Jun
-12
Jul-12
Aug
-12
Sep
-12
Oct-12
Nov
-12
Dec
-12
Jan
-13
Feb
-13
Mar-13
Apr-13
May-13
Jun
-13
Issuance($Bils.)
07/05/2013 Loan Market Monthly - July 2013
11
EUROPEAN LEVERAGED LOAN ISSUANCE
European leveraged loan issuance amounted to $35 billion in 2Q13, down from$40 billion in 1Q13. While refinancing activity still represented the majority ofEuropean leveraged loan volume, its share fell to 64% in 2Q13 from 80% in 1Q13.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
12/84
LBO EQUITYCONTRIBUTIONS
0%
10%
20%
30%
40%
50%
60%
1H042H041Q052Q053Q054Q051Q062Q063Q064Q061Q072Q07 3Q074Q07 200820091H103Q104Q10 1Q112Q11 3Q114Q111Q122Q12 3Q124Q12 1Q132Q13
AverageEquityC
ontributions
07/05/2013 Loan Market Monthly - July 2013
12
LARGE CORPORATE LBO EQUITY CONTRIBUTIONS
The average equity contribution in the large corporate market in 2Q13 was30%, down from 32% in 1Q13 and 35% in 4Q12.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
13/84
INSTITUTIONALLOANPIPELINE
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
Jan Feb Mar Apr May Jun Jul Jul Aug Sep Oct Nov Dec
Institutionalloanpi
peline($Bils.) 2011 2012 2013
07/05/2013 Loan Market Monthly - July 2013
13
U.S. INSTITUTIONAL LOAN PIPELINE
The institutional loan pipeline has fallen to $29.5 billion as of June 27, down from $57 billion inmid-June as opportunistic refinancings were put on hold due to market conditions. M&Aaccounts for just over half of the pipeline volume, with refinancing/repricing representing22% and the dividend recap share at 13%.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
14/84
PRIMARYMARKETYIELDS
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
1Q10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-
11
Feb-11
Mar-
11
Apr-
11
May-
11
Jun-
11
Jul-
11
Aug-
11
Sep-
11
Oct-
11
Nov-11
Dec-
11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-
13
Feb-
13
Mar-13
Apr-
13
May-
13
Jun-
13
Averageyield
Large Corp. Middle Market
07/05/2013 Loan Market Monthly - July 2013
14
U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS
Given the volatility in the bond and equity markets in June, primary market loanyields in the large corporate market increased to 5.2% in June from 4.6% in May.
New issue middle market loan yields also moved higher, averaging 6.8% in June,up from 6.3% in May.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
15/84
8/14/2019 Leveraged Loan Monthly
16/84
SECONDARYMARKETBIDLEVELS: U.S. VS. EUROPE
88.0
90.0
92.0
94.0
96.0
98.0
100.0
12/31/10
1/31
/11
2/28
/11
3/31
/11
4/30
/11
5/31
/11
6/30
/11
7/31
/11
8/31
/11
9/30
/11
10/31
/11
11/30
/11
12/31
/11
1/31/12
2/29/12
3/31/12
4/30/12
5/31/12
6/30/12
7/31/12
8/31/12
9/30/12
10/31/12
11/30/12
12/31/12
1/31
/13
2/28
/13
3/31
/13
4/30
/13
5/31
/13
Avg.
Bid(
%o
fpar)
U.S. SMi100
European Leveraged 40
07/05/2013 Loan Market Monthly - July 2013
16
SECONDARY MARKET AVERAGE BIDS
European flow names, like their U.S. counterparts have moved off theirhighs, finishing June at 98.54, down from a high of 99.79. Despite therecent drop, European flow names have gained roughly 83 bps this year.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
17/84
SECONDARYMARKETBIDLEVELS:COVENANT-LITE& SECOND-LIENS
75.0
80.0
85.0
90.0
95.0
100.0
105.0
1/12/
11
2/12/
11
3/12/
11
4/12/
11
5/12/
11
6/12/
11
7/12/
11
8/12/
11
9/12/
11
10/12/
11
11/12/
11
12/12/
11
1/12/12
2/12/12
3/12/12
4/12/12
5/12/12
6/12/12
7/12/12
8/12/12
9/12/12
10/1
2/
11/12/12
12/12/12
1/12/
13
2/12/
13
3/12/
13
4/12/
13
5/12/
13
6/12/
13
Avg.
Bid(%o
fpar)
Cov-lite 2nd Lien TL SMi 100
07/05/2013 Loan Market Monthly - July 2013
17
U.S. COV-LITE AND SECOND LIEN LOAN BIDS
The average bid on covenant-lite loans is now at 99.11 as. Second-liens areat 95.45, still up 342 bps this year.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
18/84
SECONDARYMARKETYIELD
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7/11/11
8/11/11
9/11/11
10/11
/
11/11/11
12/11/
1/11/12
2/11/12
3/11/12
4/11/12
5/11/12
6/11/12
7/11/12
8/11/12
9/11/12
10/11
/
11/11
/
12/11/
1/11/13
2/11/13
3/11/13
4/11/13
5/11/13
6/11/13
Averagey
ield(%)
07/05/2013 Loan Market Monthly - July 2013
18
SMI100 SECONDARY MARKET YIELD*
After falling as low as 4.46% in mid-May, the average yield on the top 100flow names has increased to 4.78 as of month-end June.
LEVERAGEDLOAN
MARKETO
VERVIEW
* Assuming three year life
/ /
8/14/2019 Leveraged Loan Monthly
19/84
PAR-PLUSMARKETSHARE
0.0%
10.0%
20.0%
30.0%40.0%
50.0%
60.0%
70.0%
80.0%
12/31
/09
1/31
/10
2/28
/10
3/31
/10
4/30
/10
5/31
/10
6/30
/10
7/31
/10
8/31
/10
9/30
/10
10/31
/10
11/30
/10
12/31
/10
1/31
/11
2/28
/11
3/31
/11
4/30
/11
5/31
/11
6/30
/11
7/31
/11
8/31
/11
9/30
/11
10/31
/11
11/30
/11
12/31
/11
1/31
/12
2/29
/12
3/31
/12
4/30
/12
5/31
/12
6/30
/12
7/31
/12
8/31
/12
9/30
/12
10/31
/12
11/30
/12
12/31
/12
1/31
/13
2/28
/13
3/31
/13
4/30
/13
5/31
/13
Shareofloansbid>=100
SMi 100 Overall Market
07/05/2013 Loan Market Monthly - July 2013
19
U.S. PAR-PLUS SHARE: SMI100 & MULTI-QUOTE INSTITUTIONAL TERM LOANS
As the market softened recently, the share of loans bid in the par-plus region hasfallen sharply. Par-plus loans now account for 42% of the broader secondarymarket (multi-quote institutional term loans), down from a high of 79% in May.The par-plus share of flow names is now at 32% (down from a high of 69%) .
LEVERAGEDLOAN
MARKETO
VERVIEW
/ /L
8/14/2019 Leveraged Loan Monthly
20/84
101-PLUSMARKETSHARE
0.0%
5.0%
10.0%
15.0%20.0%
25.0%
30.0%
35.0%
40.0%
1/4
/12
1/19
/12
2/3
/12
2/18
/12
3/4
/12
3/19
/12
4/3
/12
4/18
/12
5/3
/12
5/18
/12
6/2
/12
6/17
/12
7/2
/12
7/17
/12
8/1
/12
8/16
/12
8/31
/12
9/15
/12
9/30
/12
10/15
/12
10/30
/12
11/14
/12
11/29
/12
12/14
/12
12/29
/12
1/13/13
1/28
/13
2/12
/13
2/27/13
3/14
/13
3/29
/13
4/13/13
4/28
/13
5/13
/13
5/28
/13
6/12
/13
6/27/13
Shareofloansbid>=101
07/05/2013 Loan Market Monthly - July 2013
20
U.S. 101-PLUS SHARE: OVERALL MARKET
The share of loans bid in the 101-plus region has tumbled recently as bids havemoved lower. The 101-plus share is now at 7%, down from 39% in early May.
LEVERAGEDLOAN
MARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
21/84
HIGH YIELD BOND MARKET OVERVIEW
07/05/2013H
8/14/2019 Leveraged Loan Monthly
22/84
HIGHYIELDBONDISSUANCE
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
50.0
Ja
n-10
Fe
b-10
Mar-10
Apr-10
May-10
Ju
n-10
Jul-10
Au
g-10
Se
p-10
Oct-10
No
v-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Ju
n-11
J
ul-11
Au
g-11
Sep-11
O
ct-11
Nov-11
Dec-11
Ja
n-12
Fe
b-12
Mar-12
Apr-12
May-12
Ju
n-12
Jul-12
Au
g-12
Se
p-12
Oct-12
No
v-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Ju
n-13
Issuan
ce($Bils.)
07/05/2013 Loan Market Monthly - July 2013
22
U.S. HY BOND ISSUANCE
After posting a monthly record of $46.8 billion in May, high yield bondissuance fell to $13.8 billion in June amid the increased market volatility,bringing YTD volume to $174 billion. In the corresponding period last year(1H12), issuance stood at $139 billion.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013H
8/14/2019 Leveraged Loan Monthly
23/84
SENIORSECUREDHY BONDISSUANCE
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Jan-
09
Feb-
09
Mar-
09
Apr-
09
May-
09
Jun-
09
Jul-
09
Aug-
09
Sep-
09
Oct-
09
Nov-
09
Dec-
09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Issuance
($Bils.)
07/05/2013 Loan Market Monthly - July 2013
23
U.S. SENIOR SECURED HY BOND ISSUANCE
In keeping with the recent drop in high yield bond issuance, senior secured high yield bondissuance fell to $1.9 billion in June. So far this year, $34 billion of senior secured bonds havebeen issued, a similar amount to that issued in the same period last year.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013 k hl lH
8/14/2019 Leveraged Loan Monthly
24/84
YEARTODATEHYBONDISSUANCEBYPURPOSE
0.0
10.0
20.0
30.0
40.0
50.0
60.0
Repay
BankLoanorBridge
Financing
RedeemExistingBondsor
Securities
TenderOffer
Me
rgerandAcquisition
GeneralPurpose
LeveragedBuyout
CapitalExpenditure
Genera
lPurpose/Refinance
Divide
ndorDistributionto
Shareholders
N/A
Prop
ertyExpenditure
(acquisit
ionordevelopment)
Aircraft&Shipfinance
General
Purpose/Acquisition
Ge
neralPurpose/Stock
Repurchase
StockRepurchase
FundPensionPlans
Repay
IntercompanyDebt
Spinoff
WorkingCapital
Project
sExpenditure(other
thancapitalprojects)
Gene
ralPurpose/Working
Capital
Issuance($Bils.)
07/05/2013 Loan Market Monthly - July 2013
24
U.S. HY BOND ISSUANCE BY PURPOSE
Bond-for-loan takeout volume ($56 billion) has been the biggest use ofbond proceeds so far in 2013. Next is bond repayments at $34 billion.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013 L M k M hl J lH
8/14/2019 Leveraged Loan Monthly
25/84
HY BONDFORLOANTAKEOUTS
0.0
2.0
4.0
6.08.0
10.0
12.0
14.0
16.0
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-109
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan
-11
Feb
-11
Mar
-11
Apr
-11
May
-11
Jun
-11
Jul-11
Aug
-11
Sep
-11
Oct
-11
Nov
-11
Dec
-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan
-13
Feb
-13
Mar
-13
Apr
-13
May
-13
Jun
-13
Issuance
($Bils.)
07/05/2013 Loan Market Monthly - July 2013
25
U.S. HY BOND FOR LOAN TAKEOUTS
After posting a monthly record of $14.6 billion in May, bond-for-loan takeoutactivity fell in June to $4.2 billion. Year-to-date, $56 billion of bond proceeds havebeen designated to take out loans, compared to $45 billion in the same period ayear ago.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013 L M k t M thl J lH
8/14/2019 Leveraged Loan Monthly
26/84
YEARTODATEHYBONDISSUANCEBYRATING
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-
13
Feb-
13
Mar-
13
Apr-
13
May-
13
Jun-
13
Issuance($Bils.)
BB
B
CCC
NR
07/05/2013 Loan Market Monthly - July 2013
26
HY BOND ISSUANCE BY RATING
B rated issues accounted for just under half (49%) of HY bond issuance in June. BB rated issues have led the way YTD representing 46% of issuance, versus a 41%
share for B rated deals and 13% for CCC rated issues.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013 L M k t M thl J lH
8/14/2019 Leveraged Loan Monthly
27/84
HYBONDFUNDFLOWSMUTUALFUNDVS. ETFBREAKOUT
07/05/2013 Loan Market Monthly - July 2013
27
HY BOND FUND FLOWS
MUTUAL FUND VS. ETF BREAKOUT
Across markets, volatility was heightened in June amid hints that the Federal Reserve may soontaper off its bond buying program. Treasury rates climbed and money flowed out of the bondmarket.
Breaking out high yield bond fund flows, mutual funds saw outflows of $8.5 billion in June(through June 26), while ETF outflows totaled $2.9 billion. YTD, outflows have amounted to $6.9billion for HY bond mutual funds and $3.1 billion for HY bond ETFs.
HIGHYIELDBONDMARKETO
VERVIEW
07/05/2013 Loan Market Monthly July 2013H
8/14/2019 Leveraged Loan Monthly
28/84
HY BOND& LOANFUNDNETASSETS
0.0
50.0
100.0
150.0
200.0
250.0
300.0
350.0
Ja
n-07
Apr-07
Jul-07
Oct-07
Ja
n-08
Apr-08
Jul-08
Oct-08
Ja
n-09
Apr-09
Jul-09
Oct-09
Ja
n-10
Apr-10
Jul-10
Oct-10
Ja
n-11
Apr-11
J
ul-11
Oct-11
Ja
n-12
Apr-12
Jul-12
Oct-12
Jan-13
Apr-13
NetAsse
ts($Bils.)
Loan Funds
HY Bond Funds
07/05/2013 Loan Market Monthly - July 2013
28
HY BOND & LOAN FUND NET ASSETS*
High yield bond fund net assets fell to roughly $300 billion at the end of June as moneyflowed out of these funds due to fears around rising interest rates. The current net assetlevel is similar to that recorded at the start of the year and is still up from $274 billion held ayear ago.
HIGHYIELDBONDMARKETO
VERVIEW
* Does not include assets bought via leverage
07/05/2013 Loan Market Monthly July 2013H
8/14/2019 Leveraged Loan Monthly
29/84
NEWISSUEHYBONDYIELDS
6.0
7.0
8.0
9.0
10.0
Jan
-12
Feb
-12
Mar-12
Apr-12
May
-12
Jun
-12
Jul-12
Aug
-12
Sep
-12
Oct-12
Nov
-12
Dec
-12
Jan
-13
Feb
-13
Mar-13
Apr-13
May
-13
Jun
-13
Averageyield
7/ 5/ 3 Loan Market Monthly - July 2013
29
NEW ISSUE HY BOND YIELDS*
The average new issue bond yields (YTM) increased to 7.91% in June asinvestors pulled back and money flowed out of the asset class. New issuebond yields have averaged 6.64% overall in the first half of 2013.
HIGHYIELDBONDMARKETO
VERVIEW
* Yield to maturity
07/05/2013 Loan Market Monthly July 2013H
8/14/2019 Leveraged Loan Monthly
30/84
HY BONDYIELDS
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
1/3/00
4/3/00
7/3/00
10/3/00
1/3/01
4/3/01
7/3/01
10/3/01
1/3/02
4/3/02
7/3/02
10/3/02
1/3/03
4/3/03
7/3/03
10/3/03
1/3/04
4/3/04
7/3/04
10/3/04
1/3/05
4/3/05
7/3/05
10/3/05
1/3/06
4/3/06
7/3/06
10/3/06
1/3/07
4/3/07
7/3/07
10/3/07
1/3/08
4/3/08
7/3/08
10/3/08
1/3/09
4/3/09
7/3/09
10/3/09
1/3/10
4/3/10
7/3/10
10/3/10
1/3/11
4/3/11
7/3/11
10/3/11
1/3/12
4/3/12
7/3/12
10/3/12
1/3/13
4/3/13
Yield(%)
7/ 5/ 3 Loan Market Monthly - July 2013
30
BARCLAYS U.S. HIGH YIELD BOND INDEX
After falling to a record low of 4.95% in early May, the yield on the BarclaysU.S High Yield index has now increased to 6.66% in the face of fears overrising interest rates.
HIGHYIE
LDBONDMARKETO
VERVIEW
8/14/2019 Leveraged Loan Monthly
31/84
INVESTOR OVERVIEW
07/05/2013 Loan Market Monthly - July 2013IN
8/14/2019 Leveraged Loan Monthly
32/84
U.S. CLO ASSETSUNDERMANAGEMENT
500520540560580600620
640660680700720740
150.0
170.0
190.0
210.0
230.0
250.0
270.0
290.0
Jul-
12
Aug-
12
Sep-
12
Oct-
12
Nov-
12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Number
ofCLOs
CLOAggregatePrincipal
Balance
($Bils.)
CLO APB
Number of CLOs in sample
Loan Market Monthly - July 2013
32
ASSETS UNDER MANAGEMENT
U.S. CLO assets under management is now at $284 billion (based on auniverse of 730 CLOs in Thomson Reuters LPC Collateral).
NVESTO
ROVERVIE
W
8/14/2019 Leveraged Loan Monthly
33/84
8/14/2019 Leveraged Loan Monthly
34/84
07/05/2013 Loan Market Monthly - July 2013IN
8/14/2019 Leveraged Loan Monthly
35/84
CLO ISSUANCEVS. LOANFUNDFLOWS-MONTHLY
-8.0-6.0-4.0-2.00.02.04.0
6.08.0
10.012.014.016.018.0
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
$B
ils.
CLO Issuance Loan fund flows
Loan Market Monthly July 2013
35
MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS
CLO issuance totaled $7.9 billion in June, bringing YTD issuance to $43.8 billion.
Loan funds (mutual funds & ETFs) inflows amounted to $4.8 billion in June(through June 26), pushing YTD inflows to over $31.5 billion.
NVESTO
ROVERVIE
W
07/05/2013 Loan Market Monthly - July 2013IN
8/14/2019 Leveraged Loan Monthly
36/84
CLO ISSUANCEVS. LOANFUNDFLOWS- ANNUAL
-10.0
10.0
30.0
50.0
70.0
90.0
110.0
2004 2005 2006 2007 2008 2009 2010 2011 2012 1H13
$Bils
.
CLO Issuance Loan fund flows
y y 3
36
ANNUAL CLO ISSUANCE VS. LOAN FUND FLOWS
Combined U.S. CLO issuance and loan fund inflows through June have totaled$75.4 billion.
NVESTO
ROVERVIE
W
8/14/2019 Leveraged Loan Monthly
37/84
CLO MARKET ANALYSIS*
*Based on the most recently available data in Thomson Reuters LPC Collateral
07/05/2013 Loan Market Monthly - July 2013C
8/14/2019 Leveraged Loan Monthly
38/84
CLO ISSUANCEANDAAA NEWISSUESPREADS
100.0
110.0
120.0
130.0140.0
150.0
160.0
170.0
180.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
AverageAAA
spread(bps)
CLOIssuance($Bils.)
Issuance
Average AAA spread (excl. MM)
y y 3
38
CLO ISSUANCE AND AAA NEW ISSUE SPREADS
AAA CLO spreads averaged 117 bps in June, similar to the levels seen in the priormonth.
CLO issuance increased to $7.9 billion in June, up from $5 billion in May. Issuanceamounted to $16.8 billion in 2Q13, down from $27 billion in 1Q13.
LOMARKETANAL
YSIS
07/05/2013 Loan Market Monthly - July 2013C
8/14/2019 Leveraged Loan Monthly
39/84
DISTRIBUTIONOFNEWCLO SIZE
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
8/14/2019 Leveraged Loan Monthly
40/84
07/05/2013 Loan Market Monthly - July 2013C
8/14/2019 Leveraged Loan Monthly
41/84
SHAREOFASSETSHELDBYCLOSTHATARESTILLIN/PASTTHEIR STATEDREINVESTMENTPERIOD
70%
30% Still in ReinvPeriod
Post ReinvPeriod
41
SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN THEIR STATED REINVESTMENT PERIOD
Roughly 70% of U.S. CLO assets are held in CLOs that are still in their statedreinvestment period. For European CLOs, this figure is a much lower 41% .
LOMARKETANAL
YSIS41%
59%
Still in ReinvPeriod
Post Reinv
Period
U.S. CLOs European CLOs
07/05/2013 Loan Market Monthly - July 2013C
8/14/2019 Leveraged Loan Monthly
42/84
BREAKDOWNOFU.S. CLO ASSETS
83%
Loans
Bonds
StructuredProd.Cash
42
SHARE OF U.S. CLO ASSETS*
U.S. CLOs that are still in their stated reinvestment period have a higher share oftheir assets in loans (91%) compared to CLOs past their reinvestment date (83%),and have a corresponding lower share of cash, bonds, and structured products.
LOMARKETANAL
YSIS
91%
Loans
Bonds
StructuredProd.Cash
Reinv. end date =July 1, 2013
*Based on a universe of 689 U.S. CLOs*Excludes 2012 & 2013 CLOs not yet in TR LPC Collateral
8/14/2019 Leveraged Loan Monthly
43/84
07/05/2013 Loan Market Monthly - July 2013CL
8/14/2019 Leveraged Loan Monthly
44/84
U.S. CLO AGGREGATEPRINCIPALBALANCEBYREINVESTMENTENDDATE
0
10
20
30
40
50
60
70
80
8/14/2019 Leveraged Loan Monthly
45/84
WEIGHTEDAVERAGEBIDSOFUNDERLYINGCLOASSETS: U.S. VS. EUROPE
0%5%
10%15%20%25%30%35%40%45%50%
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