Leveraged Loan Monthly

8/14/2019 Leveraged Loan Monthly

1/84

LEVERAGED LOAN MONTHLYTHOMSON REUTERS LPC

JULY 2013

Colm DohertyDirector of [email protected]

Hugo PereiraSenior Market [email protected]
mailto:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]


2/84


3/84


4/84

LEVERAGEDLOANISSUANCE

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

Ja

n-06

Ma

r-06

Ma

y-06

Jul-06

Se

p-06

No

v-06

Ja

n-07

Mar-07

Ma

y-07

Jul-07

Se

p-07

No

v-07

Ja

n-08

Ma

r-08

Ma

y-08

Jul-08

Se

p-08

No

v-08

Ja

n-09

Ma

r-09

Ma

y-09

Jul-09

Se

p-09

No

v-09

Ja

n-10

Mar-10

Ma

y-10

Jul-10

Se

p-10

No

v-10

Ja

n-11

Mar-11

Ma

y-11

Jul-11

Se

p-11

No

v-11

Ja

n-12

Mar-12

Ma

y-12

Jul-12

Se

p-12

No

v-12

Ja

n-13

Mar-13

Ma

y-13

LeveragedLoanIssuance($Bils.)

Pro rata Institutional

07/05/2013 Loan Market Monthly - July 2013

4

U.S. LEVERAGED LOAN ISSUANCE

Leveraged loan issuance hit a record $323 billion in 2Q13, up 11% from theprevious record of $290 billion set in 1Q13. Once again refinancings andrepricings dominated issuance. YTD leveraged loan issuance is now at $614billion, with institutional loan issuance accounting for 62% of this total.

LEVERAGEDLOAN

MARKETO

VERVIEW


5/84

U.S. INSTITUTIONALLOANANDHYBONDISSUANCE

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Ja

n-10

Fe

b-10

Ma

r-10

Ap

r-10

Ma

y-10

Ju

n-10

Jul-10

Au

g-10

Se

p-10

Oc

t-10

No

v-10

De

c-10

Ja

n-11

Fe

b-11

Mar-11

Ap

r-11

Ma

y-11

Ju

n-11

Jul-11

Au

g-11

Se

p-11

Oct-11

No

v-11

De

c-11

Ja

n-12

Fe

b-12

Ma

r-12

Ap

r-12

Ma

y-12

Ju

n-12

Jul-12

Au

g-12

Se

p-12

Oc

t-12

No

v-12

De

c-12

Ja

n-13

Fe

b-13

Mar-13

Ap

r-13

Ma

y-13

Ju

n-13

Issuance($Bils.)

HY Bonds Inst. Loans


5

U.S. LOAN AND BOND ISSUANCE

Despite the market volatility in June, institutional loan issuance amounted to $191 billion in2Q13, a 1% drop from the 1Q13 total as issuers continued to take advantage of excess investordemand for loans and repriced their debt. Institutional loan issuance has totaled $385 billionin 1H13 compared to $142 billion in the same period last year.

After posting a monthly record of $46.8 billion in May, high yield bond issuance fell to $13.8billion in June amid the increased market volatility, bringing YTD volume to $174 billion.

LEVERAGEDLOAN

MARKETO

VERVIEW


6/84

U.S. INSTITUTIONALISSUANCE:NEWMONEYVS. REFINANCING

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Jun-11

Jul-11

Aug-11

Sep-11

Oct-11

Nov-11

Dec-11

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

Institutionalloanissuance($Bils.) New money Refinancing


6

U.S. INSTITUTIONAL LOAN ISSUANCE

Refinancing/repricing activity represented the majority of institutional loan issuance in 2Q13as issuers particularly in April and June took advantage of strong lender appetite for assetsto cut spreads and extend maturities. YTD new money institutional issuance has amountedto $105 billion, only a 27% share of overall institutional loan volume.

LEVERAGEDLOAN

MARKETO

VERVIEW


7/84

LEVERAGEDM&ALOANISSUANCE

0.0

5.0

10.0

15.0

20.0

25.0

Jan-

12

Feb-

12

Mar-

12

Apr-

12

May-

12

Jun-

12

Jul-

12

Aug-

12

Sep-

12

Oct-

12

Nov-

12

Dec-

12

Jan-13

Feb-13

Mar-13

Apr-13

May-

13

Jun-13

LeveragedM&Aloanissuance($

Bils.)

LBOs

Leveraged M&A (Non LBO)


7

U.S. LEVERAGED M&A LOAN ISSUANCE

While lenders continue to hope for an increase in M&A deal flow, volume remainsrelatively muted. Year to date, M&A leveraged loan issuance has amounted to $84billion, with LBO activity accounting for $38 billion (46%) of this activity.

LEVERAGEDLOAN

MARKETO

VERVIEW


8/84

COVENANTLITELOANISSUANCE

0.0

5.0

10.0

15.0

20.025.0

30.0

35.0

40.0

45.0

50.0

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Jun-11

Jul-11

Aug-11

Sep-11

Oct-11

Nov-11

Dec-11

Jan-

12

Feb-

12

Mar-

12

Apr-

12

May-

12

Jun-

12

Jul-

12

Aug-

12

Sep-

12

Oct-

12

Nov-

12

Dec-

12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

Covenant-litelo

anissuance($

Bils.)


8

U.S. COVENANT-LITE LOAN ISSUANCE

Covenant-lite loan issuance totaled $61 billion in 2Q13, bringing year to dateissuance to $140 billion. Indicative of how popular cov-lite loans have become thisyear is that in the same half year period a year ago, cov-lite loan issuanceamounted to only $26 billion.

LEVERAGEDLOAN

MARKETO

VERVIEW


9/84

DIVIDENDRECAPVOLUME

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

Dividendrecaploanvolume($Bils.)


9

U.S. SPONSORED DIVIDEND RECAPITALIZATION LOAN VOLUME

Given the lack of M&A activity and the strong lender appetite in the market, sponsors availedof dividend recap financings, particularly in June when loan volume totaled $11.4 billion. Thisbrought 2Q13 dividend recap loan volume to $21 billion and year to date volume to $31 billion.

LEVERAGEDLOAN

MARKETO

VERVIEW


10/84

MIDDLEMARKETLOANISSUANCE

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

1Q

00

2Q

00

3Q

00

4Q

00

1Q

01

2Q

01

3Q

01

4Q

01

1Q

02

2Q

02

3Q

02

4Q

02

1Q

03

2Q

03

3Q

03

4Q

03

1Q

04

2Q

04

3Q

04

4Q

04

1Q

05

2Q

05

3Q

05

4Q

05

1Q

06

2Q

06

3Q

06

4Q

06

1Q

07

2Q

07

3Q

07

4Q

07

1Q

08

2Q

08

3Q

08

4Q

08

1Q

09

2Q

09

3Q

09

4Q

09

1Q

10

2Q

10

3Q

10

4Q

10

1Q

11

2Q

11

3Q

11

4Q

11

1Q

12

2Q

12

3Q

12

4Q

12

1Q

13

2Q

13

Middlemarketlo

anvolume($Bils.)

Large MM*

Trad. MM*

Overall MM


10

U.S. MIDDLE MARKET LOAN VOLUME

Middle market lending picked up in 2Q13, amounting to $51 billion, up from $41billion in 1Q13. Like in the large corporate market, new money volume was inthe minority, representing 31% of middle market lending in 2Q13.

LEVERAGEDLOAN

MARKETO

VERVIEW

*Traditional MM: Deal Size $100M to $500M, For all: Borrower Sales


11/84

EUROPEANLEVERAGEDLOANISSUANCE

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Jan

-10

Feb

-10

Mar-10

Apr-10

May

-10

Jun

-10

Jul-10

Aug

-10

Sep

-10

Oct-10

Nov

-10

Dec

-10

Jan

-11

Feb

-11

Mar-11

Apr-11

May-11

Jun

-11

Ju

l-11

Aug

-11

Sep

-11

Oct-11

Nov-11

Dec-11

Jan

-12

Feb

-12

Mar-12

Apr-12

May

-12

Jun

-12

Jul-12

Aug

-12

Sep

-12

Oct-12

Nov

-12

Dec

-12

Jan

-13

Feb

-13

Mar-13

Apr-13

May-13

Jun

-13

Issuance($Bils.)


11

EUROPEAN LEVERAGED LOAN ISSUANCE

European leveraged loan issuance amounted to $35 billion in 2Q13, down from$40 billion in 1Q13. While refinancing activity still represented the majority ofEuropean leveraged loan volume, its share fell to 64% in 2Q13 from 80% in 1Q13.

LEVERAGEDLOAN

MARKETO

VERVIEW


12/84

LBO EQUITYCONTRIBUTIONS

0%

10%

20%

30%

40%

50%

60%

1H042H041Q052Q053Q054Q051Q062Q063Q064Q061Q072Q07 3Q074Q07 200820091H103Q104Q10 1Q112Q11 3Q114Q111Q122Q12 3Q124Q12 1Q132Q13

AverageEquityC

ontributions


12

LARGE CORPORATE LBO EQUITY CONTRIBUTIONS

The average equity contribution in the large corporate market in 2Q13 was30%, down from 32% in 1Q13 and 35% in 4Q12.

LEVERAGEDLOAN

MARKETO

VERVIEW


13/84

INSTITUTIONALLOANPIPELINE

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

Jan Feb Mar Apr May Jun Jul Jul Aug Sep Oct Nov Dec

Institutionalloanpi

peline($Bils.) 2011 2012 2013


13

U.S. INSTITUTIONAL LOAN PIPELINE

The institutional loan pipeline has fallen to $29.5 billion as of June 27, down from $57 billion inmid-June as opportunistic refinancings were put on hold due to market conditions. M&Aaccounts for just over half of the pipeline volume, with refinancing/repricing representing22% and the dividend recap share at 13%.

LEVERAGEDLOAN

MARKETO

VERVIEW


14/84

PRIMARYMARKETYIELDS

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

1Q10

Apr-10

May-10

Jun-10

Jul-10

Aug-10

Sep-10

Oct-10

Nov-10

Dec-10

Jan-

11

Feb-11

Mar-

11

Apr-

11

May-

11

Jun-

11

Jul-

11

Aug-

11

Sep-

11

Oct-

11

Nov-11

Dec-

11

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-

13

Feb-

13

Mar-13

Apr-

13

May-

13

Jun-

13

Averageyield

Large Corp. Middle Market


14

U.S. PRIMARY MARKET INSTITUTIONAL LOAN YIELDS

Given the volatility in the bond and equity markets in June, primary market loanyields in the large corporate market increased to 5.2% in June from 4.6% in May.

New issue middle market loan yields also moved higher, averaging 6.8% in June,up from 6.3% in May.

LEVERAGEDLOAN

MARKETO

VERVIEW


15/84


16/84

SECONDARYMARKETBIDLEVELS: U.S. VS. EUROPE

88.0

90.0

92.0

94.0

96.0

98.0

100.0

12/31/10

1/31

/11

2/28

/11

3/31

/11

4/30

/11

5/31

/11

6/30

/11

7/31

/11

8/31

/11

9/30

/11

10/31

/11

11/30

/11

12/31

/11

1/31/12

2/29/12

3/31/12

4/30/12

5/31/12

6/30/12

7/31/12

8/31/12

9/30/12

10/31/12

11/30/12

12/31/12

1/31

/13

2/28

/13

3/31

/13

4/30

/13

5/31

/13

Avg.

Bid(

%o

fpar)

U.S. SMi100

European Leveraged 40


16

SECONDARY MARKET AVERAGE BIDS

European flow names, like their U.S. counterparts have moved off theirhighs, finishing June at 98.54, down from a high of 99.79. Despite therecent drop, European flow names have gained roughly 83 bps this year.

LEVERAGEDLOAN

MARKETO

VERVIEW


17/84

SECONDARYMARKETBIDLEVELS:COVENANT-LITE& SECOND-LIENS

75.0

80.0

85.0

90.0

95.0

100.0

105.0

1/12/

11

2/12/

11

3/12/

11

4/12/

11

5/12/

11

6/12/

11

7/12/

11

8/12/

11

9/12/

11

10/12/

11

11/12/

11

12/12/

11

1/12/12

2/12/12

3/12/12

4/12/12

5/12/12

6/12/12

7/12/12

8/12/12

9/12/12

10/1

2/

11/12/12

12/12/12

1/12/

13

2/12/

13

3/12/

13

4/12/

13

5/12/

13

6/12/

13

Avg.

Bid(%o

fpar)

Cov-lite 2nd Lien TL SMi 100


17

U.S. COV-LITE AND SECOND LIEN LOAN BIDS

The average bid on covenant-lite loans is now at 99.11 as. Second-liens areat 95.45, still up 342 bps this year.

LEVERAGEDLOAN

MARKETO

VERVIEW


18/84

SECONDARYMARKETYIELD

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7/11/11

8/11/11

9/11/11

10/11

/

11/11/11

12/11/

1/11/12

2/11/12

3/11/12

4/11/12

5/11/12

6/11/12

7/11/12

8/11/12

9/11/12

10/11

/

11/11

/

12/11/

1/11/13

2/11/13

3/11/13

4/11/13

5/11/13

6/11/13

Averagey

ield(%)


18

SMI100 SECONDARY MARKET YIELD*

After falling as low as 4.46% in mid-May, the average yield on the top 100flow names has increased to 4.78 as of month-end June.

LEVERAGEDLOAN

MARKETO

VERVIEW

* Assuming three year life

/ /


19/84

PAR-PLUSMARKETSHARE

0.0%

10.0%

20.0%

30.0%40.0%

50.0%

60.0%

70.0%

80.0%

12/31

/09

1/31

/10

2/28

/10

3/31

/10

4/30

/10

5/31

/10

6/30

/10

7/31

/10

8/31

/10

9/30

/10

10/31

/10

11/30

/10

12/31

/10

1/31

/11

2/28

/11

3/31

/11

4/30

/11

5/31

/11

6/30

/11

7/31

/11

8/31

/11

9/30

/11

10/31

/11

11/30

/11

12/31

/11

1/31

/12

2/29

/12

3/31

/12

4/30

/12

5/31

/12

6/30

/12

7/31

/12

8/31

/12

9/30

/12

10/31

/12

11/30

/12

12/31

/12

1/31

/13

2/28

/13

3/31

/13

4/30

/13

5/31

/13

Shareofloansbid>=100

SMi 100 Overall Market


19

U.S. PAR-PLUS SHARE: SMI100 & MULTI-QUOTE INSTITUTIONAL TERM LOANS

As the market softened recently, the share of loans bid in the par-plus region hasfallen sharply. Par-plus loans now account for 42% of the broader secondarymarket (multi-quote institutional term loans), down from a high of 79% in May.The par-plus share of flow names is now at 32% (down from a high of 69%) .

LEVERAGEDLOAN

MARKETO

VERVIEW

/ /L


20/84

101-PLUSMARKETSHARE

0.0%

5.0%

10.0%

15.0%20.0%

25.0%

30.0%

35.0%

40.0%

1/4

/12

1/19

/12

2/3

/12

2/18

/12

3/4

/12

3/19

/12

4/3

/12

4/18

/12

5/3

/12

5/18

/12

6/2

/12

6/17

/12

7/2

/12

7/17

/12

8/1

/12

8/16

/12

8/31

/12

9/15

/12

9/30

/12

10/15

/12

10/30

/12

11/14

/12

11/29

/12

12/14

/12

12/29

/12

1/13/13

1/28

/13

2/12

/13

2/27/13

3/14

/13

3/29

/13

4/13/13

4/28

/13

5/13

/13

5/28

/13

6/12

/13

6/27/13

Shareofloansbid>=101


20

U.S. 101-PLUS SHARE: OVERALL MARKET

The share of loans bid in the 101-plus region has tumbled recently as bids havemoved lower. The 101-plus share is now at 7%, down from 39% in early May.

LEVERAGEDLOAN

MARKETO

VERVIEW


21/84

HIGH YIELD BOND MARKET OVERVIEW

07/05/2013H


22/84

HIGHYIELDBONDISSUANCE

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

50.0

Ja

n-10

Fe

b-10

Mar-10

Apr-10

May-10

Ju

n-10

Jul-10

Au

g-10

Se

p-10

Oct-10

No

v-10

Dec-10

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Ju

n-11

J

ul-11

Au

g-11

Sep-11

O

ct-11

Nov-11

Dec-11

Ja

n-12

Fe

b-12

Mar-12

Apr-12

May-12

Ju

n-12

Jul-12

Au

g-12

Se

p-12

Oct-12

No

v-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Ju

n-13

Issuan

ce($Bils.)


22

U.S. HY BOND ISSUANCE

After posting a monthly record of $46.8 billion in May, high yield bondissuance fell to $13.8 billion in June amid the increased market volatility,bringing YTD volume to $174 billion. In the corresponding period last year(1H12), issuance stood at $139 billion.

HIGHYIELDBONDMARKETO

VERVIEW

07/05/2013H


23/84

SENIORSECUREDHY BONDISSUANCE

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

Jan-

09

Feb-

09

Mar-

09

Apr-

09

May-

09

Jun-

09

Jul-

09

Aug-

09

Sep-

09

Oct-

09

Nov-

09

Dec-

09

Jan-10

Feb-10

Mar-10

Apr-10

May-10

Jun-10

Jul-10

Aug-10

Sep-10

Oct-10

Nov-10

Dec-10

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Jun-11

Jul-11

Aug-11

Sep-11

Oct-11

Nov-11

Dec-11

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

Issuance

($Bils.)


23

U.S. SENIOR SECURED HY BOND ISSUANCE

In keeping with the recent drop in high yield bond issuance, senior secured high yield bondissuance fell to $1.9 billion in June. So far this year, $34 billion of senior secured bonds havebeen issued, a similar amount to that issued in the same period last year.


VERVIEW

07/05/2013 k hl lH


24/84

YEARTODATEHYBONDISSUANCEBYPURPOSE

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Repay

BankLoanorBridge

Financing

RedeemExistingBondsor

Securities

TenderOffer

Me

rgerandAcquisition

GeneralPurpose

LeveragedBuyout

CapitalExpenditure

Genera

lPurpose/Refinance

Divide

ndorDistributionto

Shareholders

N/A

Prop

ertyExpenditure

(acquisit

ionordevelopment)

Aircraft&Shipfinance

General

Purpose/Acquisition

Ge

neralPurpose/Stock

Repurchase

StockRepurchase

FundPensionPlans

Repay

IntercompanyDebt

Spinoff

WorkingCapital

Project

sExpenditure(other

thancapitalprojects)

Gene

ralPurpose/Working

Capital

Issuance($Bils.)


24

U.S. HY BOND ISSUANCE BY PURPOSE

Bond-for-loan takeout volume ($56 billion) has been the biggest use ofbond proceeds so far in 2013. Next is bond repayments at $34 billion.


VERVIEW

07/05/2013 L M k M hl J lH


25/84

HY BONDFORLOANTAKEOUTS

0.0

2.0

4.0

6.08.0

10.0

12.0

14.0

16.0

Jan-09

Feb-09

Mar-09

Apr-09

May-09

Jun-09

Jul-09

Aug-09

Sep-09

Oct-109

Nov-09

Dec-09

Jan-10

Feb-10

Mar-10

Apr-10

May-10

Jun-10

Jul-10

Aug-10

Sep-10

Oct-10

Nov-10

Dec-10

Jan

-11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun

-11

Jul-11

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan

-13

Feb

-13

Mar

-13

Apr

-13

May

-13

Jun

-13

Issuance

($Bils.)


25

U.S. HY BOND FOR LOAN TAKEOUTS

After posting a monthly record of $14.6 billion in May, bond-for-loan takeoutactivity fell in June to $4.2 billion. Year-to-date, $56 billion of bond proceeds havebeen designated to take out loans, compared to $45 billion in the same period ayear ago.


VERVIEW

07/05/2013 L M k t M thl J lH


26/84

YEARTODATEHYBONDISSUANCEBYRATING

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-

13

Feb-

13

Mar-

13

Apr-

13

May-

13

Jun-

13

Issuance($Bils.)

BB

B

CCC

NR


26

HY BOND ISSUANCE BY RATING

B rated issues accounted for just under half (49%) of HY bond issuance in June. BB rated issues have led the way YTD representing 46% of issuance, versus a 41%

share for B rated deals and 13% for CCC rated issues.


VERVIEW

07/05/2013 L M k t M thl J lH


27/84

HYBONDFUNDFLOWSMUTUALFUNDVS. ETFBREAKOUT


27

HY BOND FUND FLOWS

MUTUAL FUND VS. ETF BREAKOUT

Across markets, volatility was heightened in June amid hints that the Federal Reserve may soontaper off its bond buying program. Treasury rates climbed and money flowed out of the bondmarket.

Breaking out high yield bond fund flows, mutual funds saw outflows of $8.5 billion in June(through June 26), while ETF outflows totaled $2.9 billion. YTD, outflows have amounted to $6.9billion for HY bond mutual funds and $3.1 billion for HY bond ETFs.


VERVIEW

07/05/2013 Loan Market Monthly July 2013H


28/84

HY BOND& LOANFUNDNETASSETS

0.0

50.0

100.0

150.0

200.0

250.0

300.0

350.0

Ja

n-07

Apr-07

Jul-07

Oct-07

Ja

n-08

Apr-08

Jul-08

Oct-08

Ja

n-09

Apr-09

Jul-09

Oct-09

Ja

n-10

Apr-10

Jul-10

Oct-10

Ja

n-11

Apr-11

J

ul-11

Oct-11

Ja

n-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

NetAsse

ts($Bils.)

Loan Funds

HY Bond Funds


28

HY BOND & LOAN FUND NET ASSETS*

High yield bond fund net assets fell to roughly $300 billion at the end of June as moneyflowed out of these funds due to fears around rising interest rates. The current net assetlevel is similar to that recorded at the start of the year and is still up from $274 billion held ayear ago.


VERVIEW

* Does not include assets bought via leverage



29/84

NEWISSUEHYBONDYIELDS

6.0

7.0

8.0

9.0

10.0

Jan

-12

Feb

-12

Mar-12

Apr-12

May

-12

Jun

-12

Jul-12

Aug

-12

Sep

-12

Oct-12

Nov

-12

Dec

-12

Jan

-13

Feb

-13

Mar-13

Apr-13

May

-13

Jun

-13

Averageyield

7/ 5/ 3 Loan Market Monthly - July 2013

29

NEW ISSUE HY BOND YIELDS*

The average new issue bond yields (YTM) increased to 7.91% in June asinvestors pulled back and money flowed out of the asset class. New issuebond yields have averaged 6.64% overall in the first half of 2013.


VERVIEW

* Yield to maturity



30/84

HY BONDYIELDS

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

22.0

24.0

1/3/00

4/3/00

7/3/00

10/3/00

1/3/01

4/3/01

7/3/01

10/3/01

1/3/02

4/3/02

7/3/02

10/3/02

1/3/03

4/3/03

7/3/03

10/3/03

1/3/04

4/3/04

7/3/04

10/3/04

1/3/05

4/3/05

7/3/05

10/3/05

1/3/06

4/3/06

7/3/06

10/3/06

1/3/07

4/3/07

7/3/07

10/3/07

1/3/08

4/3/08

7/3/08

10/3/08

1/3/09

4/3/09

7/3/09

10/3/09

1/3/10

4/3/10

7/3/10

10/3/10

1/3/11

4/3/11

7/3/11

10/3/11

1/3/12

4/3/12

7/3/12

10/3/12

1/3/13

4/3/13

Yield(%)

7/ 5/ 3 Loan Market Monthly - July 2013

30

BARCLAYS U.S. HIGH YIELD BOND INDEX

After falling to a record low of 4.95% in early May, the yield on the BarclaysU.S High Yield index has now increased to 6.66% in the face of fears overrising interest rates.

HIGHYIE

LDBONDMARKETO

VERVIEW


31/84

INVESTOR OVERVIEW

07/05/2013 Loan Market Monthly - July 2013IN


32/84

U.S. CLO ASSETSUNDERMANAGEMENT

500520540560580600620

640660680700720740

150.0

170.0

190.0

210.0

230.0

250.0

270.0

290.0

Jul-

12

Aug-

12

Sep-

12

Oct-

12

Nov-

12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

Number

ofCLOs

CLOAggregatePrincipal

Balance

($Bils.)

CLO APB

Number of CLOs in sample

Loan Market Monthly - July 2013

32

ASSETS UNDER MANAGEMENT

U.S. CLO assets under management is now at $284 billion (based on auniverse of 730 CLOs in Thomson Reuters LPC Collateral).

NVESTO

ROVERVIE

W


33/84


34/84



35/84

CLO ISSUANCEVS. LOANFUNDFLOWS-MONTHLY

-8.0-6.0-4.0-2.00.02.04.0

6.08.0

10.012.014.016.018.0

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

$B

ils.

CLO Issuance Loan fund flows

Loan Market Monthly July 2013

35

MONTHLY CLO ISSUANCE VS. LOAN FUND FLOWS

CLO issuance totaled $7.9 billion in June, bringing YTD issuance to $43.8 billion.

Loan funds (mutual funds & ETFs) inflows amounted to $4.8 billion in June(through June 26), pushing YTD inflows to over $31.5 billion.

NVESTO

ROVERVIE

W



36/84

CLO ISSUANCEVS. LOANFUNDFLOWS- ANNUAL

-10.0

10.0

30.0

50.0

70.0

90.0

110.0

2004 2005 2006 2007 2008 2009 2010 2011 2012 1H13

$Bils

.

CLO Issuance Loan fund flows

y y 3

36

ANNUAL CLO ISSUANCE VS. LOAN FUND FLOWS

Combined U.S. CLO issuance and loan fund inflows through June have totaled$75.4 billion.

NVESTO

ROVERVIE

W


37/84

CLO MARKET ANALYSIS*

*Based on the most recently available data in Thomson Reuters LPC Collateral

07/05/2013 Loan Market Monthly - July 2013C


38/84

CLO ISSUANCEANDAAA NEWISSUESPREADS

100.0

110.0

120.0

130.0140.0

150.0

160.0

170.0

180.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Jan-11

Feb-11

Mar-11

Apr-11

May-11

Jun-11

Jul-11

Aug-11

Sep-11

Oct-11

Nov-11

Dec-11

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Jul-12

Aug-12

Sep-12

Oct-12

Nov-12

Dec-12

Jan-13

Feb-13

Mar-13

Apr-13

May-13

Jun-13

AverageAAA

spread(bps)

CLOIssuance($Bils.)

Issuance

Average AAA spread (excl. MM)

y y 3

38

CLO ISSUANCE AND AAA NEW ISSUE SPREADS

AAA CLO spreads averaged 117 bps in June, similar to the levels seen in the priormonth.

CLO issuance increased to $7.9 billion in June, up from $5 billion in May. Issuanceamounted to $16.8 billion in 2Q13, down from $27 billion in 1Q13.

LOMARKETANAL

YSIS



39/84

DISTRIBUTIONOFNEWCLO SIZE

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%


40/84



41/84

SHAREOFASSETSHELDBYCLOSTHATARESTILLIN/PASTTHEIR STATEDREINVESTMENTPERIOD

70%

30% Still in ReinvPeriod

Post ReinvPeriod

41

SHARE OF ASSETS HELD BY CLOS THAT ARE STILL IN THEIR STATED REINVESTMENT PERIOD

Roughly 70% of U.S. CLO assets are held in CLOs that are still in their statedreinvestment period. For European CLOs, this figure is a much lower 41% .

LOMARKETANAL

YSIS41%

59%

Still in ReinvPeriod

Post Reinv

Period

U.S. CLOs European CLOs



42/84

BREAKDOWNOFU.S. CLO ASSETS

83%

Loans

Bonds

StructuredProd.Cash

42

SHARE OF U.S. CLO ASSETS*

U.S. CLOs that are still in their stated reinvestment period have a higher share oftheir assets in loans (91%) compared to CLOs past their reinvestment date (83%),and have a corresponding lower share of cash, bonds, and structured products.

LOMARKETANAL

YSIS

91%

Loans

Bonds

StructuredProd.Cash

Reinv. end date =July 1, 2013

*Based on a universe of 689 U.S. CLOs*Excludes 2012 & 2013 CLOs not yet in TR LPC Collateral


43/84

07/05/2013 Loan Market Monthly - July 2013CL


44/84

U.S. CLO AGGREGATEPRINCIPALBALANCEBYREINVESTMENTENDDATE

0

10

20

30

40

50

60

70

80


45/84

WEIGHTEDAVERAGEBIDSOFUNDERLYINGCLOASSETS: U.S. VS. EUROPE

0%5%

10%15%20%25%30%35%40%45%50%

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