Leveraged loan market analysis (US) - December 2011


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Market technical bias improved in recent months, but loan prices are moving in sympathy with equity markets and influenced by eurozone activity.

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Leveraged loan market analysis (US) - December 2011

  1. 1. Change in loan outstandings vs. loan fund inflows, CLO Issuance ($bils.) $15 Change in outstandings CLO Issuance/Prime Fund Inflows $11 $8 $4 $0 ($4) ($8) ($11) 12/10 1/11 2/11 3/11 4/11 5/11 6/11 7/11 8/11 9/11 10/11 11/11Source: LCD - Leveraged Commentary & Data
  2. 2. Leveraged loan returns versus Loan fund inflows ($bils.) $9.00 5.00% Flows Returns Prime-fund flows (left axis) Returns (right axis) 3.75% $4.25 2.50% 1.25% -$0.50 0% -1.25% -$5.25 -2.50% -3.75% -$10.00 -5.00% 10/31/09 1/31/10 4/30/10 7/31/10 10/31/10 1/31/11 4/30/11 7/31/11 10/31/11Source: LCD - Leveraged Commentary & Data; Lipper
  3. 3. Average Yield, New-Issue Leveraged Loans (%)0.085 0.074 0.063 0.051 0.040 6/30/10 8/31/10 10/31/10 12/31/10 2/28/11 4/30/11 6/30/11 8/31/11 10/30/11 Source: LCD - Leveraged Commentary & Data
  4. 4. Forward Calendar of M&A-Related Loans$25B$19B$13B $6B $0B 1//11 2/11 3/11 4/11 5/11 6/11 7/11 8/11 9/11 10/11 11/11Source: LCD - Leveraged Commentary & Data
  5. 5. Loan Default Rate (Principal Amount) 4.0 3.0 2.0 1.0 0 9/30/10 11/30/10 1/31/11 3/31/11 5/31/11 7/30/11 9/30/11 11/30/11Source: LCD - Leveraged Commentary & Data
  6. 6. What’s ahead• It all depends on Europe (still)• CLO window reopens, narrowly ($2.5B of thesedeals in November)• $1-2B of CLO activity per month expected, near-term• New issues: M&A still scarce, amendments, bondtake-outs carry on
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