European loan/HY bond analysis - Sept. 2010


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Note: Slide 11 offers the full video analysis of this presentation, with narration.

The European leveraged finance market spent a traditionally sleepy August building a record forward calendar for September, and beyond. Returns were positive during the month, again. This video analysis details loan and HY bond activity, including returns, prices, volume, default rates, as well as trends for the months ahead.

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European loan/HY bond analysis - Sept. 2010

  1. 1. European Leveraged Loan Market Update September - 2010 Sucheet Gupte - Associate Director Wednesday, September 22, 2010
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  3. 3. The loan market in August • Summer holiday: Primary and secondary markets were flat, but ... • ... the loan forward calendar built to recent highs with business for September • ELLI: Loans return 0.79% during month; 5.9% YTD out • Default rate trend remains friendly Wednesday, September 22, 2010
  4. 4. European loan flow names - average bid 98 96 Text 95.67 as of 17 September 94 92 1/7/10 3/11/10 5/13/10 07/15/10 09/17/09 . Source: LCD - Leveraged Commentary & Data Wednesday, September 22, 2010
  5. 5. European HY bond flow names - average bid 100 98.33 as of 16 September 98 96 Text 94 92 90 88 1/28/10 3/18/10 5/6/10 6/24/10 8/13/10 09/16/10 Source: Bloomberg . Wednesday, September 22, 2010
  6. 6. ELLI Multi-Currency Loan Index Return 7.0% August: +0.79% YTD: +5.9% 4.6% 2.3% (0.1%) Text (2.5%) 3/31/09 9/09 3/10 8/10 . Source: LCD - Leveraged Commentary & Data Wednesday, September 22, 2010
  7. 7. Volume: New-issue loans vs. HY bonds 12 HY bonds Loans 9 €billions Text 6 €0.6B 3 0 €1.1B 5/09 7/09 9/09 11/09 1/10 3/10 5/10 7/10 8/10 Source: LCD - Leveraged Commentary & Data . Wednesday, September 22, 2010
  8. 8. Senior & Mezzanine debt forward calendar €7B 5 Text 3 1 23/01 03/04 12/06 21/08 30/10 08/01 19/03 28/05 06/08 2009 2010 Source: LCD - Leveraged Commentary & Data Wednesday, September 22, 2010
  9. 9. ELLI default rates – European leveraged loans by principle amount by number of defaults 13% 13% 9% 9% 6% 6% 5.85% as of 8.94% as of Text 31 July 2010 31 July 2010 3% 3% 0% 0% 12/31/07 8/31/09 7/10 12/31/07 8/31/09 7/10 . Source: LCD - Leveraged Commentary & Data Wednesday, September 22, 2010
  10. 10. European Leveraged Loan Market Update September - 2010 Sucheet Gupte - Associate Director Wednesday, September 22, 2010