Q4 2015 loan market snapshot Markit \ January 4th 2016
\ 2
Q4 2015 Markit loans data snapshot
— Index trend
— Sector focus
— ETF fund flows
— Loan market settlement volumes and T+ trend
Contents
\ 3
Leveraged loan and HY bond total returns 2015
Index trend 2015
Cash loan indices Q4Δ% 2015 return
Markit iBoxx USD Leveraged Loan Index -2.25% -1.04%
Markit iBoxx USD Liquid Leveraged Loan Index -2.07% -2.69%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
Dec/14 Jan/15 Feb/15 Mar/15 Apr/15 May/15 Jun/15 Jul/15 Aug/15 Sep/15 Oct/15 Nov/15 Dec/15
Markit iBoxx USD Leveraged Loans Index Markit iBoxx USD Liquid Leveraged Loan Index iBoxx $ Liquid High Yield Index
Source: Markit
\ 4
Sector view – Q4 2015
BBB- BB+ BB BB- B+ B B- CCC+
Basic Materials NA +6 -20 -37 +9 +27 +35 +58 +66
EU +0 -23 -41 +4 +21 +32 +54 +62
Consumer Goods NA -6 -32 -49 -3 +15 +23 +46 +54
EU -12 -35 -53 -8 +9 +20 +42 +50
Consumer Services NA +2 -24 -41 +5 +23 +31 +54 +62
EU -4 -27 -45 -0 +16 +28 +49 +58
Energy NA +1 -24 -41 +4 +23 +31 +54 +62
EU -6 -28 -47 -2 +15 +26 +48 +56
Financials NA -12 -38 -55 -9 +9 +17 +40 +48
EU -18 -41 -60 -15 +2 +14 +35 +44
Healthcare NA -0 -26 -43 +3 +21 +29 +52 +60
EU -6 -28 -47 -2 +15 +27 +48 +56
Industrials NA +0 -25 -42 +3 +22 +30 +53 +61
EU -6 -28 -47 -2 +15 +26 +48 +56
Technology NA -6 -32 -49 -3 +16 +23 +46 +54
EU -11 -33 -52 -7 +10 +21 +43 +51
Telecommunication Services NA +8 -18 -35 +11 +29 +37 +60 +68
EU +1 -21 -40 +5 +22 +33 +55 +63
Utilities NA -16 -42 -59 -13 +6 +13 +36 +44
EU -22 -45 -63 -18 -1 +10 +32 +40
Q4 change in North American and European leveraged loan sector spreads (bps)
\ 5
ETF flows 2015
$2
$5
$1 $1
$(1)
$(3)
$1
$(1) $(1)
$6
$0
$(1)
$(4)
$(2)
$-
$2
$4
$6
$8
January March May Jul Sep Nov
Bil
lio
ns
High Yield ETFs
$(56)
$63
$(172)
$378
$(32)
$(191)
$97
$(406)
$(155)
$233
$(421)
$(242)
$(500)
$(400)
$(300)
$(200)
$(100)
$-
$100
$200
$300
$400
$500
January March May Jul Sep Nov
Mil
lio
ns
Senior Loan ETFs
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ETF fund flows 2015
-0.81%
0.91%
-2.53%
5.25%
-0.45%
-2.78% 1.41%
-6.30%
-2.50%
3.61%
-7.09%
-4.32%
4.41%
9.51%
1.25% 1.23%
-1.39%
-6.70%
2.09%
-2.08% -2.71%
11.46%
0.27%
-2.82%
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
January February March April May June Jul Aug Sep Oct Nov Dec
Asset Flows as % of AUM
Loan Asset Flows as % of AUM High Yield Asset Flows as % of AUM
ETF Type 2015 total net asset flow 2015 ending AUM Total net asset flow as % of AUM High Yield $8,258,426,865 $48,881,550,269 16.89%
ETF Type 2015 total net asset flow 2015 ending AUM Total net asset flow as % of AUM Loan $(903,253,430) $5,605,555,134 -16.11%
Year-to-date
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Settled trade volume in the secondary market (LSTA)
Loan market settlement volumes 2015
236.1 244.4
353.8
475.2
548.3
18.1
19.8
23.0
21.1
19.3
0
5
10
15
20
25
0
100
200
300
400
500
600
2011 2012 2013 2014 2015
Th
ou
sa
nd
s
LSTA Secondary Par Settled Allocations
Source: Markit Loan Settlement
T+
(b
us
ine
ss
da
ys
) 391.5
355.7
529.8
647.3 627.9
18.1
19.8
23.0
21.1
19.3
0
5
10
15
20
25
0
100
200
300
400
500
600
700
2011 2012 2013 2014 2015
Billio
ns
LSTA Secondary Par Settled Notional
T+
(b
us
ine
ss
da
ys
)
Source: Markit Loan Settlement
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Loan market settlement volumes 2015, 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
162.2
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
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
2011 2012 2013 2014 2015
T+
(b
us
ine
ss
da
ys
)
Billio
ns
LSTA Secondary Par Settled Notional by Quarter
Source: Markit Loan Settlement
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From the Markit commentary team:
“While underperforming in Q4, leveraged loans were a better investment than high
yield bonds if you look at the full year. This is partly due to high yield bonds' higher
exposure to energy, approximately 16%, compared to 8% for leveraged loans.
Commodity prices remain stubborn due to weak global fundamentals and
leveraged loans may find themselves better positioned than HY bonds should
commodity downside risk continue to linger.”
- Neil Mehta, credit market analyst at Markit
For full commentary from our analysts go to www.markit.com/commentary
Analysis
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