Q1 2016 loan market data snapshot - cdn.ihs.com€¦ · Q1 2016 loan market data snapshot Markit \...

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Q1 2016 loan market data snapshot Markit \ April 1 2016

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Q1 2016 loan market data snapshot Markit \ April 1 2016

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Q1 2016 Markit loans data snapshot

— Index trend

— Pricing trend

— Sector trend

— ETF asset flows

— CLO trend

— Trade settlement efficiency (T+) trend

Contents

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Leveraged loan and HY bond total returns 2015

Index trend 2016

Cash loan indices Q1Δ% YTD return

Markit iBoxx USD Leveraged Loan Index 1.52% 1.52%

Markit iBoxx USD Liquid Leveraged Loan Index 2.35% 2.35%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

12/31/2015 1/15/2016 1/30/2016 2/14/2016 2/29/2016 3/15/2016 3/30/2016

Markit iBoxx USD Liquid Leveraged Loans Index Markit iBoxx USD Leveraged Loans Index Markit iBoxx USD Liquid High Yield Index

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Index and pricing data Q1 2016

Region Average bid QTD ∆ YTD % ∆

US 92.82 -0.59% -0.59%

Europe 93.46 0.23% 0.23%

Asia 82.55 -2.04% -2.04%

Average loan spreads to maturity (March 31) 1 year

tenor 3 year tenor 5 year tenor 7 year tenor

BB L+293.47 L+336.19 L+365.09 L+390.09

B L+551.23 L+593.95 L+622.85 L+647.85

CCC L+952.90 L+995.62 L+1,024.52 L+1,049.51

Average loan spreads Q1 2016 ∆ 1 year tenor 3 year tenor 5 year tenor 7 year tenor

BB 9.06% 11.38% 12.34% 12.72%

B 8.14% 9.48% 10.11% 10.42%

CCC 10.60% 11.33% 11.67% 11.82%

Pricing trend: average bids in the secondary market

Pricing trend: average spreads by credit rating (globally)

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Sector view – Q1 2016

Q1 change in North American and European leveraged loan sector spreads (bps) BBB- BB+ BB BB- B+ B B- CCC+

Basic Materials NA +15 -5 +11 -3 +18 +13 +32 +406

EU +18 -0 +14 +0 +19 +16 +33 +409

Change NA-EU -3.1 -4.8 -2.9 -2.8 -0.9 -2.7 -1.8 -3.7

Consumer Goods NA +26 +6 +22 +8 +29 +24 +43 +417

EU +30 +12 +26 +12 +31 +28 +45 +421

Current NA-EU -3.8 -5.5 -3.6 -3.5 -1.7 -3.4 -2.5 -4.4

Consumer Services NA +19 -0 +15 +2 +22 +17 +36 +410

EU +23 +5 +19 +5 +24 +21 +38 +414

Current NA-EU -3.6 -5.2 -3.4 -3.3 -1.4 -3.2 -2.2 -4.2

Energy NA +4 -15 +0 -13 +7 +2 +21 +395

EU +8 -10 +4 -10 +9 +6 +23 +400

Current NA-EU -3.8 -5.4 -3.6 -3.5 -1.6 -3.4 -2.4 -4.4

Financials NA +44 +25 +41 +27 +47 +43 +61 +435

EU +48 +30 +44 +30 +49 +46 +64 +440

Current NA-EU -3.9 -5.6 -3.8 -3.6 -1.8 -3.5 -2.6 -4.6

Healthcare NA -2 -21 -6 -19 +1 -4 +15 +389

EU +2 -16 -2 -16 +3 -0 +17 +393

Current NA-EU -3.6 -5.3 -3.5 -3.3 -1.5 -3.2 -2.3 -4.2

Industrials NA +22 +2 +18 +4 +25 +20 +38 +412

EU +25 +7 +21 +7 +26 +23 +40 +417

Current NA-EU -3.4 -5.1 -3.3 -3.2 -1.3 -3.1 -2.1 -4.1

Technology NA +46 +27 +42 +29 +49 +44 +63 +437

EU +49 +31 +45 +31 +49 +46 +64 +440

Current NA-EU -2.2 -3.9 -2.1 -2.0 -0.1 -1.9 -0.9 -2.9

Telecommunication Services NA +31 +12 +28 +14 +34 +30 +48 +422

EU +36 +18 +32 +18 +37 +34 +51 +427

Current NA-EU -4.5 -6.1 -4.3 -4.2 -2.3 -4.1 -3.1 -5.1

Utilities NA +42 +22 +38 +24 +45 +40 +59 +433

EU +47 +29 +43 +29 +47 +44 +62 +438

Current NA-EU -4.8 -6.5 -4.7 -4.6 -2.7 -4.4 -3.5 -5.5

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ETF asset flows Q1 2016

$(150)

$(316)

$444

$(400)

$(300)

$(200)

$(100)

$-

$100

$200

$300

$400

$500

January February March

Mill

ion

s

Senior Loan ETFs

Senior Loan ETFs

$(0)

$2

$5

$(1)

$-

$1

$2

$3

$4

$5

$6

January February March

Bill

ion

s

High Yield Bond ETFs

High Yield ETFs

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ETF asset flows Q1 2016

ETF Type 2016 Q1 net asset flow 2016 Q1 ending AUM Total Q1 net asset flow as % of AUM Loan $(22,176,86) $5,634,218,065 (0.39%)

ETF Type 2016 Q1net asset flow 2016 Q1 ending AUM Total net asset flow as % of AUM HY Bond $6,381,699,355 $56,346,544,305 11.33%

Year-to-date

-2.78%

-6.23%

7.88%

-0.17%

3.24%

8.61%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

January February March

Asset Flows as % of AUM

Loan Asset Flows as % of AUM High Yield Asset Flows as % of AUM

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CLO trend Q1 2016

0.00

200.00

400.00

600.00

800.00

1000.00

1200.00

1400.00

1600.00

1800.00

2000.00

22-Dec 11-Jan 31-Jan 20-Feb 11-Mar 31-Mar

Dis

co

un

t M

arg

in

Date

2.0 BB CLOs by Manager Tier

2.0 BB Tier 1

2.0 BB Tier 3

Poly. (2.0 BB Tier 1)

Poly. (2.0 BB Tier 3)

CLO spreads widened significantly from January until the beginning of March. Spreads have tightened

since early March. The market is bifurcated with the Tier 1 managers (those with better historical

performance, most assets, more frequent issuance) outperforming lower tier managers (Tier 3).

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Settled trade volume in the secondary market (LSTA)

Loan market settlement efficiency Q1 2016

236.1 244.4

353.8

475.2

548.3

150.7

18.1

19.8

23.0

21.1

19.3 19.3

0

5

10

15

20

25

0

100

200

300

400

500

600

2011 2012 2013 2014 2015 2016(Q1)

Th

ou

sa

nd

s

LSTA Secondary Par Settled Allocations

Source: Markit Loan Settlement

T+

(b

us

ine

ss

da

ys

)

da

ys

)

391.5

355.7

529.8

647.3 628.0

152.7

18.1

19.8

23.0

21.1

19.3 19.3

0

5

10

15

20

25

0

100

200

300

400

500

600

700

2011 2012 2013 2014 2015 2016(Q1)

Bil

lio

ns

LSTA Secondary Par Settled Notional

T+

(b

us

ine

ss

da

ys

)

Source: Markit Loan Settlement

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Loan market settlement efficiency Q1 2016, contd

107.6 101.5 100.0

82.4 83.8

96.0

86.0 90.0

109.1

144.3 143.4

133.1 125.6

171.9 174.4 175.5

160.2 154.0

151.5

162.3

152.7

17.8

19.3

17.1

18.4

17.2

19.5

21.1 21.2

22.7 23.1

25.0

20.9 21.8

20.2 21.3

21.2

19.6

19.3

20.2

18.2

19.3

0

5

10

15

20

25

30

0

20

40

60

80

100

120

140

160

180

200

1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1

2011 2012 2013 2014 2015 2016

T+

(b

usin

es

s d

ays

)

Billi

on

s

LSTA Secondary Par Settled Notional by Quarter

Source: Markit Loan Settlement

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From the Markit commentary team:

“After a volatile start to 2016, investor demand for leveraged loans returned as

risky assets came back into favor. The Markit iBoxx USD Liquid Leveraged Loans

Index ended the quarter up 2.35% on a total return basis, the best quarterly return

since Q3 2012.”

- Neil Mehta, credit market analyst at Markit

For full commentary from our analysts go to www.markit.com/commentary

Analysis

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Contact:

Alex Paidas

Corporate Communications

[email protected]

+1 212 205 7101

Contact

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Thank you.

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mines data

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& transforms business.

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