q1 2016 loan market data snapshot - cdn.ihsmarkit.com · q1 2016 loan market data snapshot markit \...
TRANSCRIPT
Q1 2016 loan market data snapshot Markit \ April 1 2016
\ 2
Q1 2016 Markit loans data snapshot
— Index trend
— Pricing trend
— Sector trend
— ETF asset flows
— CLO trend
— Trade settlement efficiency (T+) trend
Contents
\ 3
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
\ 4
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)
\ 5
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
\ 6
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
\ 7
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
\ 8
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).
\ 9
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
\ 10
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
\ 11
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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