European High Yield & Leveraged Loan Report - SIFMA · European Leveraged Finance, Third Quarter...

Prepared in partnership with 2013 Q3

European High Yield & Leveraged Loan Report

Market Highlights and Commentary ................................... 1

1. Leveraged Finance Overview ........................................... 3 1.1. European Leveraged Issuance by Type .............................3 1.2. European Leveraged Issuance by Percentage ....................3 1.3. European Leveraged Issuance Average Deal Size .............3 1.4. Bank Credit Standards .......................................................3 1.5. Factors Affecting Bank Credit Standards ..........................3 1.6. Loan Demand ....................................................................3 1.7. Factors Affecting Loan Demand .......................................4 1.8. Global Comparison – High Yield Issuance .......................4

2. Issuance – Leveraged Loans ............................................ 5 2.1. European Leveraged Loan Issuance By Loan Type ..........5 2.2. European Leveraged Loan Issuance by Industry Sector ....5 2.3. Forward Pipeline of Leveraged Loan Market ....................5 2.4. S&P ELLI Total Institutional Loans Outstanding .............5 2.5. S&P ELLI Ratings Diversification ....................................5 2.6. Leveraged Loan Secondary Market Bids ..........................5 2.7. Institutional and Pro Rata Spreads .....................................6 2.8. Mezzanine Spread .............................................................6

3. Issuance – High Yield Bonds Overview ........................ 7 3.1. European HY Bond Issuance, Developed and Emerging

Market ..............................................................................7 3.2. European HY Bond Issuance, Sponsored vs. Corporate ....7 3.3. European Corporate Bonds Outstanding ...........................7 3.4. European Corporate Bonds Maturity Wall ........................7 3.5. European Corporate HY Bonds Outstanding By Sector ....7 3.6. European Corporate HY Bonds Outstanding by Current

Rating ...............................................................................7 3.7. European Corporate Bond Issuance by Rating ..................8 3.8. European Corporate Bond Issuance by Tenor ...................8 3.9. European HY Use of Proceeds ..........................................8 3.10. European HY Issuance, Secured Share ...........................8

4. Issuance – European Developed Market High Yield Bonds ............................................................................................ 8

4.1. European Developed Market HY Bond Issuance ..............8 4.2. European Developed Market HY Issuance by Currency ...8 4.3. European Developed Market HY Issuance by Industry .....9 4.4. European Developed Market HY Issuance by Country of

Risk ..................................................................................9 4.5. European Developed Market HY Issuance, Fixed vs.

Floating ............................................................................9 4.6. European Developed Market HY Issuance, Sponsored vs.

Corporate ..........................................................................9 4.7. European Developed Market HY Rating Distribution at

Issuance ............................................................................9 4.8. European Developed Market Corporate Bonds

Outstanding ......................................................................9 4.9. European Developed Market HY Bond Issuance ..............10

5. Issuance – European Emerging Market High Yield Bonds ............................................................................................ 11

5.1. European Emerging Market HY Bond Issuance ................11 5.2. European Emerging Market HY Bond Issuance by

Currency ...........................................................................11 5.3. European Emerging Market HY Issuance by Industry ......11 5.4. European Emerging Market HY Issuance by Country of

Risk ..................................................................................11 5.5. European Emerging Market HY Issuance, Fixed vs.

Floating ............................................................................11

5.6. European Emerging Market HY Issuance, Sponsored vs. Corporate ......................................................................... 11

5.7. European Emerging Market HY Rating Distribution at Issuance ............................................................................ 12

5.8. European Emerging Market Corporate Bonds Outstanding ...................................................................... 12

5.9. Emerging Market HY Bond Issuance ............................... 12

6. Credit Quality ...........................................................................13 6.1. European HY Default Rate ............................................... 13 6.2. Developed Europe Issuer Rating Actions, ......................... 13 6.3. Emerging Europe Issuer Rating Actions, .......................... 13 6.4. Developed European Industry Rating Actions by $

Amount ............................................................................ 13 6.5. Emerging European Industry Rating Actions by $

Amount ............................................................................ 13 6.6. European Defaults ............................................................. 14

7. Relative Value ..........................................................................15 7.1. European HY Bonds, Cash vs. Synthetic .......................... 15 7.2. European Leveraged Loans, Cash vs. Synthetic ................ 15

8. Total Return .............................................................................15 8.1. European HY Bond Total Return ...................................... 15 8.2. European Leveraged Loan Total Return ........................... 15 8.3. Asset Class Total Return ................................................... 15

Annex .............................................................................................16

Disclaimer .....................................................................................19

European Leveraged Finance, Third Quarter 2013Highlights and Market Environment Highlights • European leveraged finance issuance (leveraged loans

and high yield bonds) increased in 3Q’13, with €50.04 billion issued, a 10.7% increase quarter-over-quarter (q-o-q) and a 139.8% increase year-over-year (y-o-y). The increase q-o-q stems from the surge in leveraged loan lending, which doubled in issuance, reducing the high yield share of the leveraged finance market to 39.7%, down from 66.5% in 2Q’13.

• Leveraged finance issuance year-to-date (YTD) has al-ready reached €154.71 billion, already exceeding the full year’s 2012 issuance level (€135.30 billion). While leveraged loan issuance continues to remain well below pre-crisis norms, high yield issuance continues to reach new highs, with YTD issuance of €82.8 billion exceed-ing the high of €66.1 billion in 2012.

Market and Economic Environment • According to the October 2013 European Central Bank

lending survey, banks reported, on net, a continued tightening of lending standards in the third quarter, both in long- and short-term loans. The net tightening, however, continues to be at a much lesser degree than in prior quarters. Industry outlooks and expectations regarding economic activity continue to contribute the most to net tightening, as they had in the prior quarter, but risk on collateral demanded and bank capital costs also contributed during in the third quarter. Bank com-petition and bank liquidity contributed the most in eas-ing lending standards.

• Loan demand, however, has continued to fall in the third quarter, particularly for long-term loans and from SME borrowing. Debt restructuring continues to be the key driver of continued loan demand, while fixed in-vestment, internal financing and debt issuance have al-so contributed to reductions in loan demand.

Issuance Issuance: Leveraged Loans • Leveraged loan issuance surged in the third quarter, at

levels not seen since 3Q’08 (€40.2 billion). With €30.2 billion issued, leveraged loan issuance (including first lien, second lien, and mezzanine financing) was double the prior quarter and nearly five times y-o-y. Amend-and-extend (“A&E”) transactions continue to take place, with less than a fifth of deals in the third quarter structured as such (19.5%), a decline from the second quarter (23.4%). According to S&P, the loan pipeline at the end of September 2013 was €14 million.

• In the third quarter, €18 million of mezzanine loans and €0.3 billion in second liens were financed. Spreads at pricing for institutional loans tightened by 15.4 basis

points (bps) while spreads for pro rata loans tightened by 6.2 bps. Mezzanine loan spreads fell by over 300 bps.

-100

-50

0

50

100

150

200

250

300

200

250

300

350

400

450

500

550

600

650

Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13

Basis PointsBasis Points

Source: Dealogic, AFME, SIFMA

Institutional SpreadsOct. 2008 - Sep. 2013

Widest difference (bps, right)FranceGermanyNetherlandsSpainUnited Kingdom

-50

0

50

100

150

200

250

300

350

200

250

300

350

400

450

500

550

600


Basis Points


Pro Rata SpreadsOct. 2008 - Sep. 2013

Widest difference (bps, right)FranceGermanyNetherlandsSpainUnited Kingdom

• According to Dealogic, the leading sector in leveraged

loan issuance for the third quarter of 2013 was tele-communications (€4.4 billion), followed by food & beverage (€4.2 billion) and professional services (€3.5 billion). The largest deal was a €3.3 billion leveraged buyout transaction from DE Master Blenders 1753.

• The share of deals aimed to refinance and/or repay debt fell q-o-q but rose y-o-y, falling to 49.4% of all deals by euro amount in the third quarter, compared to 70.8% in 2Q’13 and 37.7% in 3Q’12.

• Notably, dividend recapitalisations for loan sponsors picked up in the third quarter, with six deals totalling €3.2 billion used for this purpose.

• After the European primary CLO market came to life in the first and second quarters of 2013, several addi-tional deals were done in the third quarter: Ares Euro-pean CLO 2013-6, Cadogan Square, Carlyle Global Markets Euro CLO, Harvest CLO, HayFin Ruby (a refi from HayFin I), Herbert Park, Large Corporate One, Rubidio, and St Paul’s CLO.

• Outside the primary CLO market, €2.4 billion of SME deals were completed in the third quarter. However, in a reversal of the prior few years, the majority by euro amount were placed (€1.7 billion, or 71.3%), in part in

1 AFME High Yield Division

Third Quarter 2013

response to the ECB’s plan to promote funding in the SME sector. Notably, the first Italian SME deal was placed in the third quarter post crisis (Berica PMI Srl).

• European CLO outstandings, including SME deals, de-clined by 20.2% on an annualized basis in the third quarter, ending September 2013 at €229.3 billion. De-spite the spate of recent European CLO deals, non-SME CLOs still declined, albeit slower than SMEs, shrinking 16.5% on an annualized basis, compared to a decline of 18.1% on an annualized basis for SME CLOs.

0

50

100

150

200

250

300

350

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

€ Billions

Source: AFME, SIFMA

European CLO Outstanding2001:Q3 - 2013:Q3

SMENon-SME CLO

Issuance: High Yield Bonds • Primary issuance in 3Q’13 totalled €19.9 billion on 47

deals, a decline of 33.8% q-o-q but a 28.7% increase from 3Q’12 (€15.5 billion on 42 deals). Both devel-oped market and emerging market Europe issuance fell in the third quarter.

• Primary issuance in developed market Europe in the first quarter was €17.9 billion on 41 deals, while in emerging market Europe primary issuance was €2.0 billion on 6 deals. Several new issuers entered the high yield market for the first during during 3Q’13 (5 issu-ers in developed market Europe and none in emerging market Europe).

• In 2013, average deal sizes from developed market Eu-rope have begun to swing back up to larger sizes from 2012; with an average of €435.3 million per deal in 3Q’13 (€437.9 million for YTD 2013, and €403.0 mil-lion in 2012).

• High yield issuance for refinancing and/or repayment of debt rose slightly q-o-q but fell y-o-y, representing 45.7% of all issuance by euro amount in 3Q’13, com-pared to 44.8% in 2Q’13 and 48.5%, in 3Q’12.

• Senior secured structures remained absent for a sixth consecutive quarter among high yield bonds. However, secured structures continue to remain prevalent in high yield deals, representing 20.5% of deals by euro amount in 3Q’13 and a little less than a quarter of all deals year to date in 2013.

• The proportion of USD-denominated issuance contin-ued fell in 3Q’13, representing 35.1% of all issuance

by euro amount, compared to 43.2% in 2Q’13 and 38.8% in 3Q’12. USD-denominated issuance in emerg-ing market Europe fell to represent 74.6% by euro amount, compared to 91.8% in the previous quarter, while USD-denominated issuance in developed market Europe rose slightly to 28.6% of all issuance by euro amount from 27.7% in the prior quarter. Year to date, USD-denominated issuance represents 37.8% of all is-suance.

Returns & Credit Quality • Equities led returns in the third quarter, followed by

European high yield (3.7%) and European leveraged loans (2.9%).

• High-yield bond default rates fell in the third quarter, with S&P reporting 2.5% (up from 2.8% end-June) and Moody’s reporting 3.3% (up from 3.4% end-June). Two defaults were reported in the third quarter, Agroton Public and Codere S.A.

• According to S&P, downgrades exceeded upgrades in developed market Europe, with 22 upgrades and 39 downgrades. The downgrade of the sovereign Italy drove most of the downgrades (Italian banks were 15 of the 39 downgrades alone). Upgrades were scattered across industries and countries, with small concentra-tions in the Netherlands (5 upgrades) and Germany (4 upgrades).

• Upgrades exceeded downgrades in emerging market Europe. S&P downgraded 3 names (2 banks, 1 tele-communication) and upgraded 4 names in emerging market Europe.

• By dollar amount among emerging market names, utili-ty names led upgrades totals with $5.9 billion upgrad-ed, followed by telecommunications ($5.1 billion).


Third Quarter 2013

1. Leveraged Finance Overview 1.1. European Leveraged Issuance by Type 1.2. European Leveraged Issuance by Percentage

0

50

100

150

200

250

300

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Sources: Dealogic, Thomson Reuters LPC

European Leveraged Issuance2006 - 2013:Q3

Leveraged Loans

Europe Developed HY

Europe EM HY

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

Percentage


European Leveraged Issuance2006 - 2013:Q3

Leveraged Loans

Europe Developed HY

Europe EM HY

1.3. European Leveraged Issuance Average Deal Size

1.4. Bank Credit Standards1

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions


European Leveraged Issuance Average Size2006 - 2013:Q3

Leveraged Loans

Europe Developed HY

Europe EM HY

0

10

20

30

40

50

60

70

80

Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13

Net Percentage

Source: ECB

Bank Credit StandardsOct. 2008 - Oct. 2013

SME

Large Enterprises

Overall

1.5. Factors Affecting Bank Credit Standards2 1.6. Loan Demand3

-10 -5 0 5 10 15

Competition from Banks

Bank Liquidity Position

Market Financing

Bank Access to Market Financing

Competition from Non-Banks

Costs to Bank Capital Position

Risk on Collateral Demanded

Expectations Regarding Economic Activity

Industry or Firm-Specific Outlook

Net Percentage

Source: ECB

Factors Affecting Bank Credit StandardsOct. 2013

Large Enterprises

SME

Overall

-50

-40

-30

-20

-10

0

10

20

30

Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13

Net Percentage

Source: ECB

Loan DemandOct. 2008 - Oct. 2013

SME

Large Enterprises

Overall

1 A positive net percentage number signifies tightening bank credit; a negative net percentage number signifies easing credit. 2 A positive net percentage signifies the factor contributed to tightening credit standards; a negative net percentage signifies the factor contributed to easing credit standards. 3 A positive net percentage signifies increased demand; a negative net percentage signifies decreased demand.


Third Quarter 2013

1.7. Factors Affecting Loan Demand4

-25 -20 -15 -10 -5 0 5 10 15 20

Fixed Investment

Internal Financing

Debt Issuance

M&A, Restruturing

Equity Issuance

Loans from Non-Banks

Inventories, Working Capital

Loans from Other Banks

Debt Restructuring

Net Percentage

Source: ECB

Factors Affecting Loan DemandOct. 2013

1.8. Global Comparison – High Yield Issuance € Billions Prior

Q1 Q2 Q3 Q4 Full Year Q1 Q2 Q3 Q4 Full Year 2011United States 57.9 48.4 52.1 158.3 55.8 30.9 64.8 61.4 212.9 126.7Asia Pacific 15.3 10.6 4.3 30.2 9.4 4.7 8.5 7.6 30.2 36.5Europe 36.8 34.4 23.5 94.7 23.7 13.9 18.7 26.5 82.8 66.2

20122013

4 A positive net percentage signifies a factor that contributed to higher demand; a negative net percentage signifies a factor that contributed to lower demand.


Third Quarter 2013

2. Issuance – Leveraged Loans 2.1. European Leveraged Loan Issuance By Loan Type

2.2. European Leveraged Loan Issuance by Industry Sector

0

50

100

150

200

250

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic, Thomson Reuters LPC

Leveraged Loan Issuance by Loan Type2006 - 2013:Q3

Mezzanine

2nd Lien

1st Lien

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0

TelecommunicationsFood & Beverage

Professional ServicesRetail

ChemicalsComputers & Electronics

PublishingConsumer Products

Utility & EnergyHealthcare

Forestry & PaperInsuranceOil & Gas

Dining & LodgingConstruction/Building

FinanceAerospace

Metal & Steel

EUR Billions

Source: Dealogic

Leveraged Loan Issuance by Industry2013:Q3

2.3. Forward Pipeline of Leveraged Loan Market 2.4. S&P ELLI Total Institutional Loans Outstanding

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13

€ Billions

Source: Standard & Poor's LCD

Forward Pipeline of Leveraged Loan Market2011:Q2 - 2013:Q3

Europe

US

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

2006 2007 2008 2009 2010 2011 2012 2013

€ Billions


S&P ELLI Total Institutional Loans Outstanding2006 - 2013:Q3

2.5. S&P ELLI Ratings Diversification 2.6. Leveraged Loan Secondary Market Bids

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

2005 2006 2007 2008 2009 2010 2011 2012 2013

Percentage


S&P ELLI Ratings Diversification2005 - 2013:Q3

NR

Other

B

BB

0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

100.00

Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13

Bid

Source: Thomson Reuters LPC/SMi

Distribution of EMEA Leveraged Secondary Loan Market BidsOct. 2010 - Sep. 2013

>10090-10080-9070-80< 70


Third Quarter 2013

2.7. Institutional and Pro Rata Spreads 2.8. Mezzanine Spread

200

250

300

350

400

450

500


Basis Points


Institutional and Pro Rata SpreadsOct. 2008 - Sep. 2013

Institutional

Pro Rata

500

600

700

800

900

1000

1100

1200


Basis Points


Mezzanine SpreadOct. 2008 - Sep. 2013

Mezzanine


Third Quarter 2013

3. Issuance – High Yield Bonds Overview 3.1. European HY Bond Issuance, Developed and Emerging Market

3.2. European HY Bond Issuance, Sponsored vs. Corporate

0

50

100

150

200

250

0

10

20

30

40

50

60

70

80

90

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

# of Deals€ Billions


European HY Issuance, Developed and Emerging Markets2006 - 2013:Q3

Europe Emerging HY

Europe DevelopedHY

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

Percentage


European HY Issuance, Sponsored vs Corporate2006 - 2013:Q3

Europe Corporate

Europe LBO

EM Corporate

EM LBO

3.3. European Corporate Bonds Outstanding 3.4. European Corporate Bonds Maturity Wall

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

Developed Europe Emerging Europe

€ Billions

Sources: Bloomberg, AFME, SIFMA

European Corporate Bonds Outstanding, Developed and Emerging Europe2013:Q3

Non-RatedHigh YieldInvestment Grade

0

20

40

60

80

100

120

140

160

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 Later

€ Billions

Source: Bloomberg, AFME, SIFMA

European HY Maturity Wall2013:Q3

Other CurrenciesGBPUSDEUR

3.5. European Corporate HY Bonds Outstanding By Sector

3.6. European Corporate HY Bonds Outstanding by Current Rating

Utilities6%

Technology2%

Materials14%

Industrials5%

Health Care2%

Governments1%

Financials35%

Energy3%

Consumer Staples3%

Consumer Discretionary

12%

Communications17%

Others0%

European HY Corporate Bonds Outstanding by Sector2013:Q3


0

50

100

150

200

250

BB+ BB BB- B+ B B- CCC+ CCC RemainingHY

€ Billions

Source: Bloomberg, AFME, SIFMA

European HY Outstanding by Current Rating2013:Q3


Third Quarter 2013

3.7. European Corporate Bond Issuance by Rating 3.8. European Corporate Bond Issuance by Tenor

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

Developed Emerging

EUR Billions

Sources: Bloomberg, Dealogic, Moody's, Standard and Poor's, Fitch Ratings

European HY Issuance by Rating2013:Q3

BB B CCC NA/NR

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

<5 Years 5 - 7 Years 8 - 10 Years 10+ Years Other

EUR Billions

Sources: Bloomberg, Dealogic, Moody's, Standard and Poor's, Fitch Ratings

European HY Issuance by Tenor2013:Q3

3.9. European HY Use of Proceeds 3.10. European HY Issuance, Secured Share

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

Source: Dealogic, AFME/SIFMA

European HY Issuance By Use of Proceeds2006 - 2013:Q3

OtherRestructuringRepay Debt/RefinancingLBO/MBOGeneral Corporate PurposesAcquisitions

0%

5%

10%

15%

20%

25%

0

10

20

30

40

50

60

70

80

90

YTD 2012 2013

2010 2011 2012 2013 Q3

€ Billions

Sources: Bloomberg, Dealogic

European HY Issuance, Senior Secured, Secured, and Senior Unsecured2010 - 2013:Q3

OtherSecuredSenior UnsecuredSenior Secured% Secured (right)

4. Issuance – European Developed Market High Yield Bonds 4.1. European Developed Market HY Bond Issuance 4.2. European Developed Market HY Issuance by

Currency

0

20

40

60

80

100

120

140

160

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3


Source: Dealogic

European Developed Market HY Bond Issuance2006 - 2013:Q3

Europe Developed HY# of Deals (Right)

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Developed Market HY Issuance by Currency2006 - 2013:Q3

Other

USD

GBP

EUR


Third Quarter 2013

4.3. European Developed Market HY Issuance by Industry

4.4. European Developed Market HY Issuance by Country of Risk

0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

Utility & EnergyLeisure & RecreationProfessional Services

MiningHolding Companies

PublishingTransportationMetal & Steel

Real Estate/PropertyChemicals

RetailFood & Beverage

MachineryForestry & Paper

Oil & GasConsumer Products

FinanceConstruction/Building

HealthcareTelecommunications

Computers & ElectronicsAuto/Truck

€ Billions

Source: Dealogic

European Developed Market HY Issuance by Industry2013:Q3

0.0 2.0 4.0 6.0 8.0 10.0 12.0

PortugalSwitzerland

GreeceSwedenBelgiumFinland

SpainLuxembourg

NorwayNetherlands

IrelandItaly

United KingdomFrance

Germany

€ Billions

Source: Dealogic

European Developed Market HY Issuance by Country of Risk2013:Q3

4.5. European Developed Market HY Issuance, Fixed vs. Floating

4.6. European Developed Market HY Issuance, Sponsored vs. Corporate

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Developed Market HY Bond Issuance, Fixed vs Floating2006 - 2013:Q3

FloatingFixed

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Developed Market HY Issuance, Sponsored vs Corporate2006 - 2013:Q3

Europe LBO

Europe Corporate

4.7. European Developed Market HY Rating Distribu-tion at Issuance

4.8. European Developed Market Corporate Bonds Outstanding

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

2010 2011 2012 2013


European Developed Market HY Rating Distrbution at Issuance2010:Q2 - 2013:Q3

NA/NR CCC B BB

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

Developed Europe

€ Billions


European Corporate Bonds Outstanding, Developed Europe2013:Q3

Investment GradeHigh YieldNon-Rated


Third Quarter 2013

4.9. European Developed Market HY Bond Issuance

Issuer Industry Group Date CurrencyAmount

(Millions) Coupon Moodys S&P FitchFiat Finance & Trade Ltd SA Auto/Truck 09/07/2013 EUR 850 6.750 B1 BB- BB-Continental AG Auto/Truck 09/07/2013 EUR 750 3.000 Baa3 BB+ BBBGrand City Properties SA Real Estate/Property 09/07/2013 EUR 100 6.250 BB-Unilabs SubHolding AB Healthcare 10/07/2013 EUR 130 3M EURIBOR + 725 B3 B

355 8.500 B3 BUnilabs Midholding AB† Healthcare 10/07/2013 EUR 200 12.000 Caa2 CCC+Vougeot Bidco plc Real Estate/Property 11/07/2013 EUR 290 3M EURIBOR + 525 B2 B

GBP 300 7.875 B2 BExpro Finance Luxembourg SCA Oil & Gas 11/07/2013 USD 100 8.500 B1 BFindus Bondco SA Food & Beverage 12/07/2013 EUR 305 9.125 B3 B- B+

GBP 150 9.500 B3 B- B+Mercer International Inc Forestry & Paper 17/07/2013 USD 50 9.500 B3 BMarlin Intermediate Holdings plc‡ Finance 18/07/2013 GBP 150 10.500 B2 BSchaeffler Holding Finance BV† Machinery 18/07/2013 EUR 800 6.875 B1 B

USD 1,000 6.875 B1 BMagnolia (BC) SA‡ Retail 22/07/2013 EUR 325 9.000 B2 BSalini SpA Construction/Building 23/07/2013 EUR 400 6.125 BB- BBTravelex Financing plc‡ Finance 24/07/2013 GBP 150 3M LIBOR + 600 B2 B

GBP 200 8.000 B2 BGamenet SpA‡ Leisure & Recreation 25/07/2013 EUR 200 7.250 B1 B+Picard Groupe SAS Food & Beverage 25/07/2013 EUR 480 3M EURIBOR + 425 Ba3 BB- BBManutencoop Facility Management SpA‡ Construction/Building 26/07/2013 EUR 425 8.500 B2 B+Aguila 3 SA Transportation 30/07/2013 USD 390 7.875 B2 BS&B Industrial Minerals SA Mining 30/07/2013 EUR 275 9.250 B3 B+Alcatel-Lucent USA Inc Telecommunications 31/07/2013 USD 500 8.875 B3 CCC+Intralot Finance Luxembourg SA Computers & Electronics 01/08/2013 EUR 325 9.750 B1 B+ BB-Playa Resorts Holding BV Holding Companies 05/08/2013 USD 300 8.000 Caa1 B-ConvaTec Finance International SA Healthcare 06/08/2013 USD 900 8.250 Caa1 B-Springer Science+Business Media AG Publishing 06/08/2013 EUR 640 3M EURIBOR + 800NXP BV Computers & Electronics 10/09/2013 USD 500 3.500 B3 B+Peugeot SA Auto/Truck 10/09/2013 EUR 600 6.500 B1 BB-Renault SA Auto/Truck 11/09/2013 EUR 600 3.625 Ba1 BB+ BB+Fiat Finance & Trade Ltd SA Auto/Truck 12/09/2013 EUR 400 6.750 B1 BB- BB-Activision Blizzard Inc Computers & Electronics 12/09/2013 USD 750 6.125 Ba2 BB+

USD 1,500 5.625 Ba2 BB+EDU UK BondCo plc Professional Services 12/09/2013 GBP 205 8.875 B3 B-Commerzbank AG Finance 12/09/2013 USD 1,000 8.125 Ba2 BB+FHW Dalmore (Salford Pendleton Housing) plc Real Estate/Property 12/09/2013 GBP 11 8.350

GBP 72 5.414Phosphorus HoldCo plc† Retail 18/09/2013 GBP 205 10.000 Caa2 CCC+Hapag-Lloyd AG Transportation 20/09/2013 EUR 250 7.750 Caa1 B-Lafarge SA Construction/Building 20/09/2013 EUR 750 4.750 Ba1 BB+ BB+SeaDrill Ltd Oil & Gas 20/09/2013 USD 500 6.125Jerrold FinCo plc Finance 20/09/2013 GBP 200 9.750 B+ B+Abengoa Finance SAU Construction/Building 24/09/2013 EUR 250 8.875 B2 B B+Veneto Banca ScpA Finance 25/09/2013 EUR 300 4.250 BB BBAvanti Communications Group plc Telecommunications 26/09/2013 USD 370 10.000 Caa1 B†PIK (Payment in Kind); ‡Debut issue Source: Bloomberg, Dealogic


Third Quarter 2013

5. Issuance – European Emerging Market High Yield Bonds 5.1. European Emerging Market HY Bond Issuance 5.2. European Emerging Market HY Bond Issuance

by Currency

0

10

20

30

40

50

60

70

80

90

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3


Source: Dealogic

European Emerging Market HY Bond Issuance2006 - 2013:Q3

Europe EmergingHY# of Deals (Right)

0.0

5.0

10.0

15.0

20.0

25.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Emerging Market HY Issuance by Currency2006 - 2013:Q3

Other

USD

GBP

EUR

5.3. European Emerging Market HY Issuance by In-dustry

5.4. European Emerging Market HY Issuance by Country of Risk

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5

Transportation

Oil & Gas

Metal & Steel

Food & Beverage

Mining

Telecommunications

Finance

€ Billions

Source: Dealogic

European Emerging Market HY Issuance by Industry2013:Q3

0.0 1.0 2.0 3.0 4.0 5.0 6.0

Czech Republic

Bulgaria

Georgia

Ukraine

Croatia

Poland

Russian Federation

€ Billions

Source: Dealogic

European Emerging Market HY Issuance by Country of Risk2013:Q3

5.5. European Emerging Market HY Issuance, Fixed vs. Floating

5.6. European Emerging Market HY Issuance, Spon-sored vs. Corporate

0.0

5.0

10.0

15.0

20.0

25.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Emerging Market HY Bond Issuance, Fixed vs Floating2006 - 2013:Q3

FloatingFixed

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

YTD 2012 2013

2006 2007 2008 2009 2010 2011 2012 2013 Q3

€ Billions

Source: Dealogic

European Emerging Market HY Issuance, Sponsored vs Corporate2006 - 2013:Q3

EM LBO

EM Corporate


Third Quarter 2013

5.7. European Emerging Market HY Rating Distribu-tion at Issuance

5.8. European Emerging Market Corporate Bonds Outstanding

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

2010 2011 2012 2013


European Emerging Market HY Rating Distrbution at Issuance2010:Q2 - 2013:Q3

NA/NR CCC B BB

0

20

40

60

80

100

120

140

160

Emerging Europe

€ Billions


European Corporate Bonds Outstanding, Emerging Europe2013:Q3

Investment GradeHigh YieldNon-Rated

5.9. Emerging Market HY Bond Issuance

Issuer Industry Group Date Currency Amount

(Millions) Coupon Moodys S&P FitchRussian Standard Bank ZAO Finance 10/07/2013 USD 200 11.500 Caa1 BUranium One Inc Mining 21/08/2013 RUB 12,500 10.250TVN Finance Corporation III AB Telecommunications 06/09/2013 EUR 430 7.375 B1 B+Polish Television Holding BV Telecommunications 11/09/2013 EUR 300 11.000 B-Borets Finance Ltd Oil & Gas 19/09/2013 USD 420 7.625 B1 BBGazprombank OAO Finance 24/09/2013 USD 750 7.496 BB-†PIK (Payment in Kind); ‡Debut issue Source: Bloomberg, Dealogic


Third Quarter 2013

6. Credit Quality 6.1. European HY Default Rate 6.2. Developed Europe Issuer Rating Actions1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13

Percent

Source: Standard & Poor's

European HY Default Rate (LTM)Oct. 2011 - Sep. 2013

S&P

Moodys

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

50

100

150

200

250

2012 20132008 2009 2010 2011 2012 Q3

# Of Issuers


S&P Developed Europe Issuer Rating Actions2008 - 2013:Q3

UpgradesDowngradesDowngrade/Upgrade Ratio (Right)

6.3. Emerging Europe Issuer Rating Actions2 6.4. Developed European Industry Rating Actions by

$ Amount

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

50

100

150

200

250

2012 20132008 2009 2010 2011 2012 Q3

# Of Issuers


S&P Emerging Europe Issuer Rating Actions2008 - 2013:Q3

UpgradesDowngradesDowngrade/Upgrade Ratio (Right)

-90,000 -70,000 -50,000 -30,000 -10,000 10,000

UtilityInsurance

High TechnologyChemicals, Packaging and Environmental Services

Metals, Mining and SteelMedia and Entertainment

Capital GoodsRetail/Restaurants

Forest Products and Building MaterialsTransportation

HealthcareHome/real estate Companies

Financial InstitutionsAutomotive

TelecommunicationsAerospace and defense

USD

Mill

ions


S&P Developed Europe Issuer Rating Actions by $ Amount ex Sovereign & Banks2013:Q3

Downgrades

Upgrades

6.5. Emerging European Industry Rating Actions by $ Amount

-2,000 -1,000 0 1,000 2,000 3,000 4,000 5,000 6,000 7,000

Home/real estate Companies

Oil and Gas Exporation and Production

Telecommunications

Utility

USD Millions


S&P Emerging Europe Issuer Rating Actions by $ Amount ex Sovereign & Banks2013:Q3

Downgrades

Upgrades

1 Numbers include both corporate and sovereigns. 2 Numbers include both corporate and sovereigns.


Third Quarter 2013

6.6. European Defaults

Issuer Industry Group Country Date Reported By ReasonAgroton Public Ltd Consumer Products Ukraine July 2013 S&P Missed Interest PaymentCodere S.A. Media and Entertainment Spain August 2013 S&P, Moodys Missed Interest Payment

Source: Moody's, Standard & Poor's


Third Quarter 2013

7. Relative Value 7.1. European HY Bonds, Cash vs. Synthetic 7.2. European Leveraged Loans, Cash vs. Synthetic

-100.0

-50.0

0.0

50.0

100.0

150.0

200.0

250.0

300

400

500

600

700

800

900

1000

Oct-11 Apr-12 Oct-12 Apr-13

Basis Points

Sources: Markit

Bonds, Cash vs. SyntheticOct. 2011 - Sep. 2013

HY SpreadiBoxx EUR HYiTraxx XO 5Y

80.0

85.0

90.0

95.0

100.0

105.0

110.0

Oct-11 Apr-12 Oct-12 Apr-13

Price/Bid

Sources: Thomson Reuters LPC, Markit

Loans, Cash vs. SyntheticOct. 2011 - Sep. 2013

LevX Senior

Euro Lev Top 40

8. Total Return 8.1. European HY Bond Total Return 8.2. European Leveraged Loan Total Return

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

2012 2013

2005 2006 2007 2008 2009 2010 2011 2012 Q3

Percentage

Source: Bank of America-Merrill Lynch

European High Yield Total Return 2005 - 2013:Q3

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

2012 20132005 2006 2007 2008 2009 2010 2011 2012 Q3

Percentage

Source: Standard and Poor's LCDELLI EUR-denominated only unavailable for 2003 and 2004.

European Leveraged Loan Total Return 2005 - 2013:Q3

ELLI

ELLI (EUR-denominated only)

8.3. Asset Class Total Return

-2 0 2 4 6 8 10 12

Russell 2000MCSI EM

Euro HY CCC and Lower RatedEuro HY B Rated

S&P 500Euro High Yield

Euro Fallen Angel HYEuro HY BB rated

Global Fallen Angel HYS&P ELLI

U.S. HYU.S. HY Distressed

EMU Financial CorporatesEMU Covered BondsU.S. Mortgages 30Y

U.S. CorporatesU.S. ABS/MBSEMU ABS/MBSU.S. TreasuriesU.S. Municipal

Perc

enta

ge

Source: BofA-ML, Bloomberg

Asset Class Total Returns2013:Q3


Third Quarter 2013

Summary of the Methodologies Adopted for this Report

1. Leveraged Issuance – Overview 1.1. – 1.3. Leveraged Loans and High Yield Bonds Leveraged loan data are sourced from Thomson Reuters LPC and Dealogic.

Leveraged loan data from Thomson Reuters LPC are defined primarily as having sub-investment grade ratings and/or a margin spread minimum of 200 basis points (spread mini-mums will vary from year to year to make Thomson LPC’s cutoff). Leveraged loan aggregates will include first lien, sec-ond lien, and mezzanine financing. Discrepancies in Thom-son Reuters LPC data are due to rounding and/or currency rate of exchange.

Leveraged loan data from Dealogic are defined primarily as coming from a leveraged or highly leveraged European deal; loan tranches must have sub-investment grade ratings, or, if unrated, a margin spread minimum of 125 basis points over a benchmark (e.g., Euribor, LIBOR). Under these guidelines, sub-investment grade-rated loans with a margin spread of less than 125 basis points are included. Deals must be European and are inclusive of both developed and emerging market Eu-rope as defined in high yield criteria in Section 3. Deals must also be marketed either in Europe or in the United States. Loans not EUR-denominated are converted to EUR as of credit date for purposes of aggregation. Aggregates include new money as well as non-new money deals.

Criteria for high yield bond transactions can be found in Sec-tion 3, 4, and 5.

1.4. – 1.7. Bank Lending Surveys Data for loan demand and credit standards are sourced from the ECB’s bank lending survey. Graph numbers are net per-centages of reporting banks.

1.8. Global Comparison – High Yield Issuance Data for global high yield issuance are sourced from Dealog-ic. Asian deals are inclusive of Japan and Australia.

2. Issuance – Leveraged Loans 2.1. – 2.2. Leveraged loan issuance data are sourced primarily from Dealogic and Thomson Reuters LPC. For more details on qualifying criteria, please refer to section 1.

2.3. Forward Pipeline of Leveraged Loan Market Forward leveraged loan pipeline data are sourced from S&P LCD.

2.4. S&P ELLI Total Institutional Loans Outstand-ing Total institutional loan outstanding data are sourced from S&P LCD and are outstanding loans in the S&P ELLI index.

2.5. S&P ELLI Ratings Diversification S&P ELLI ratings diversification are the percentages of cur-rently outstanding loans in S&P’s ELLI index that are rated accordingly. Data are provided by S&P LCD.

2.6. Leveraged Loan Secondary Market Bids European leveraged trading volumes are sourced from Thom-son Reuters LPC and are percentage of volume by bid price.

2.7. – 2.8. Loan Spreads Loan spread data are sourced from Dealogic under our crite-ria for leveraged loans (see Section 1). For purposes of loan spread calculations, deals marketed in the US are excluded. Spreads are a weighted average of spread margin on new lev-eraged issuance on a rolling twelve months basis, and are typ-ically benchmarked to LIBOR or EURIBOR. Institutional loan spread data are inclusive of 2nd lien; pro rata spreads in-clude all revolvers and term loan A (Tla).

3. Issuance – High Yield Bonds Overview High yield bond transactions are sourced primarily from Dea-logic, with supplemental information sourced from Bloom-berg. High yield transactions are defined as transactions with a Dealogic “effective” rating of equal or less than BB+, and may include unrated transactions based on issuer and desk notes. Split-junk rated transactions are generally excluded.

European issuance, inclusive of both emerging market Eu-rope and developed market Europe, are defined as an issue having a Dealogic “deal nationality” as well as “nationality of risk” within Europe issued in the euro, foreign, and global markets; deals marketed locally are excluded. Sovereign, sub-sovereign, and supranational parent issuers are excluded from issuance, as well as ABS/MBS issuers.

Emerging market Europe and developed market European is-suance are defined by nationality of risk, rather than national-ity of deal, and although primarily sourced from Dealogic, are ultimately subject to AFME’s discretion. Emerging and developed market issuance are mutually exclusive and will contain no overlap unless otherwise mentioned.

European emerging market bonds are further defined with having a minimum deal size of €75.0 million; deals on the same day from the same issuer are aggregated for the purpose of meeting this minimum. Russian ruble (RUB)-denominated issuance are excluded due to differences in terms and docu-mentation; as of 4Q’10 this criteria no longer applies and may be included on a case by case basis.

3.2. European HY Issuance by Sponsor Data for high yield issuance by sponsor are sourced from Dealogic. LBO deals are defined as all high yield transactions whose issuer parent is a public or private finance entity (i.e., a financial sponsor), regardless of use of proceeds.


Third Quarter 2013

3.3. – 3.6. European Corporate Bonds Outstanding Data for European corporate outstanding are sourced from Bloomberg and AFME/SIFMA estimates. Criteria for Euro-pean corporate bonds are: bonds must be placed in the do-mestic, euro, foreign, and global markets with nationality of incorporation from a European developed or emerging market country as defined by AFME. Corporate bonds exclude all structured notes, covered bonds, warrants, deposit notes, re-ceipts, and certificates of deposit. All currencies are included and have been converted to EUR at time of pricing and/or is-sue.

High-yield ratings are sourced from Bloomberg’s composite rating, which is an average of all available ratings from four rating agencies: Moody’s, Standard and Poor’s, Fitch Ratings, or DBRS. Split-rated securities may be included in high yield numbers due to this.

Corporate bonds outstanding include certain securities that may be considered corporate securitisations or structured fi-nance securities; while all effort is made to exclude the latter, the former will be counted toward the corporate bonds out-standing total, and will subsequently overlap to some extent to AFME structured finance outstanding numbers.

3.7. European Corporate Bond Issuance by Rating Data for HY issuance by rating are sourced from Dealogic, Bloomberg, and the three rating agencies. The composite rat-ing is determined by the lowest rating assigned by either Moody’s, Standard and Poor’s, or Fitch Ratings.

3.8. European Corporate Bond Issuance by Tenor Data for HY issuance by tenor are sourced from Dealogic. “Other” includes perpetuals.

3.9. European HY Issuance By Use of Proceeds Data for HY issuance by use of proceeds are sourced from Dealogic and aggregated for the purposes of this calculation. Please refer to Section 3 for criteria on high yield issue inclu-sion.

3.10. European HY Issuance, Senior Secured Share Data for HY issuance by seniority are sourced from Dealogic and Bloomberg. “Senior Unsecured” totals include all bonds that are senior but not senior secured.

4. Issuance – European Developed Market High Yield Bonds 4.1. – 4.7.,4.9 High yield bond issuance data are sourced from Dealogic. For further criteria on how high yield issuance are defined, please refer to section 3.

Developed European issuance are deals predominantly from western Europe and includes deals from Andorra, Austria, Belgium, Bulgaria, Cyprus, Switzerland, Germany, Denmark, Spain, Estonia, Finland, France, Faroe Islands, United King-dom, Guernsey, Gibraltar, Greenland, Greece, Isle of Man, Ireland, Iceland, Italy, Jersey, Liechtenstein, Luxembourg,

Monaco, Malta, Montenegro, Netherlands, Norway, Portugal, San Marino, and Sweden.

4.8. European Developed Market Corporate Bonds Outstanding Data for corporate bonds outstanding are sourced from Bloomberg. Please refer to Section 3 for criteria and method-ology.

5. Issuance – European Emerging Market High Yield Bonds 5.1. – 5.7., 5.9. High yield bond issuance data are sourced from Dealogic. Criteria for all high yield issuance are found in section 3.

Emerging market European issuance deals are predominantly from eastern Europe but will also additionally include Tur-key, the Russian Federation, Kazakhstan, Turkmenistan, Uz-bekistan, Tajikistan, Azerbaijan, and Kyrgyzstan. Certain sub-investment grade countries are not included in the emerging market total, including, among others, Iceland and Greece.

5.8. European Emerging Market Corporate Bonds Outstanding Data for corporate bonds outstanding are sourced from Bloomberg. Please refer to Section 3 for criteria and method-ology.

6. Credit Quality 6.1. European HY Default Rate European HY bond default rates are sourced from S&P and are on a trailing 12 month basis.

“Europe” for the S&P default rate is defined to include Aus-tria, Belgium, Bulgaria, Channel Islands, Cyprus, Czech Re-public, Denmark, Estonia, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Luxem-bourg, Malta, Netherlands, Norway, Poland, Portugal, Slovak Republic, Slovenia, Spain, Sweden, Switzerland and the United Kingdom. Countries are subject to revision.

6.2. – 6.3. European Issuer Rating Actions European issuer upgrades and downgrades are sourced from S&P. The breakdown by emerging market and developed Eu-rope are from AFME’s definition of developed and emerging markets and would be, under S&P’s guidelines, a combina-tion of both European and EMEA rating actions. Multiple downgrades of a single issuer are counted separately. Rating actions are inclusive of both corporate (both credit and mer-ger-related) as well as sovereign ratings.

6.4. – 6.5. European Issuer Rating Actions by $ Amount Rating actions by US dollar amount, industry, and country are sourced from S&P. Breakdown by emerging market and de-veloped Europe are from AFME’s definition of developed and emerging markets and would be, under S&P’s guidelines, a combination of both European and EMEA rating actions.


Third Quarter 2013

6.6. European Defaults Defaults reported by either Moody’s or Standard and Poor’s in the European bond markets and loans markets, when avail-able.

7. Cash and Synthetic 7.1. – 7.2. Loans and Bonds, Cash and Synthetic Data are sourced from Markit and Thomson Reuters LPC. High yield bond cash and synthetic spreads from Markit; Eu-ropean leveraged loan cash bid prices from Thomson Reuters LPC, and European leveraged loans synthetic prices from Markit.

8. Total Return 8.1. European HY Bond Total Return European HY bond total return data are sourced from the Bank of America-Merrill Lynch’s Euro High Yield Index (HE00). The index tracks the performance of EUR-denominated below-investment-grade corporate debt publicly issued in the euro domestic or Eurobond markets. Qualifying securities must have a below-investment-grade rating and an investment-grade rated country of risk. Qualifying securities must have at least one year remaining term to maturity, fixed coupon schedule and minimum amount outstanding of €100 million. Original issue zero coupon bonds, “global securities” (debt issued simultaneously in the Eurobond and euro domes-tic markets), 144a securities and pay-in-kind securities, in-cluding toggle notes, qualify for inclusion in the index. Call-able perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate securi-ty. Defaulted, warrant-bearing and euro legacy currency secu-rities are excluded from the index.

8.2. European Leveraged Loan Total Return Total return data are provided by S&P LCD and are total re-turns from S&P’s ELLI index, both ELLI and EUR-denominated ELLI. Total returns for ELLI EUR-denominated data are unavailable for 2003 and 2004.

8.3. Asset Class Total Return (Cash Basis) Total returns are sourced from respective index owners and Bank of America-Merrill Lynch’s indices.


Third Quarter 2013

Disclaimer The information and opinion commentary in this High Yield and Leveraged Loan Report (Report) was prepared by the leveraged finance division of the Association for Financial Markets in Europe (AFME) and the Securities Industry and Financial Markets Association (SIFMA). AFME and SIFMA believe that the information in the Report, which has been ob-tained from multiple sources believed to be reliable, is relia-ble as of the date of publication. In no event, however, does either of AFME and SIFMA make any representation as to the accuracy or completeness of such information. AFME and SIFMA have no obligation to update, modify or amend the information in this Report or to otherwise notify readers if any information in the Report becomes outdated or inaccu-rate. AFME and SIFMA will make every effort to include updated information as it becomes available and in subse-quent reports. As information is collected from multiple sources and estimates by the individual sources may differ from one another, estimates for similar types of data could vary within the Report.


Third Quarter 2013

AFME

Gary Simmons, Director

www.afme.eu

SIFMA

Kyle Brandon, Managing Director, Director of Research

Sharon Sung, Assistant Vice President, Research www.sifma.org

www.afme.eu

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