European High Yield & Leveraged Loan Report - 2015 Q1 - SIFMA
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European High Yield &
Leveraged Loan Report
Prepared in partnership with 2015 Q15.5. European Emerging Market HY Issuance, Fixed vs.
Market Highlights and Commentary ............. 1 Floating................................................................... 12
5.6. European Emerging Market HY Issuance, Sponsored
1. Leveraged Finance Overview .................... 3 vs. Corporate .......................................................... 12
1.1. European Leveraged Issuance by Type ................. 3 5.7. European Emerging Market HY Rating Distribution at
1.2. European Leveraged Issuance by Percentage ...... 3 Issuance ................................................................. 13
1.3. European Leveraged Issuance Average Deal Size 3 5.8. European Emerging Market Corporate Bonds
1.4. Bank Credit Standards ........................................... 3 Outstanding ............................................................ 13
1.5. Factors Affecting Bank Credit Standards ............... 3 5.9. Emerging Market HY Bond Issuance ...................... 13
1.6. Loan Demand......................................................... 3
1.7. Factors Affecting Loan Demand ............................. 4 6. Credit Quality ............................................. 14
1.8. Global Comparison – High Yield Issuance ............. 4 6.1. European HY Default Rate ..................................... 14
6.2. Developed Europe Issuer Rating Actions ............... 14
2. Issuance – Leveraged Loans ..................... 5 6.3. Emerging Europe Issuer Rating Actions ................. 14
2.1. European Leveraged Loan Issuance By Loan Type 6.4. Developed European Industry Rating Actions by # of
............................................................................... 5 Ratings ................................................................... 14
2.2. European Leveraged Loan Issuance by Industry 6.5. Emerging European Industry Rating Actions by # of
Sector .................................................................... 5 Ratings ................................................................... 14
2.3. Forward Pipeline of Leveraged Loan Market ......... 5 6.6. European Defaults .................................................. 15
2.4. S&P ELLI Total Institutional Loans Outstanding..... 5
2.5. S&P ELLI Ratings Diversification ........................... 5 7. Relative Value ............................................. 15
2.6. Distribution of Leveraged Loan Secondary Market Bids 7.1. European HY Bonds, Cash vs. Synthetic ............... 15
............................................................................... 5
2.7. Institutional and Pro Rata Spreads......................... 6 8. Total Return ................................................ 15
2.8. Mezzanine Spread ................................................. 6 8.1. European HY Bond Total Return ............................ 15
8.2. European Leveraged Loan Total Return ................ 15
3. Issuance – High Yield Bonds Overview .... 7 8.3. Asset Class Total Return, Quarter .......................... 15
3.1. European HY Bond Issuance, Developed and
Emerging Market.................................................... 7 Annex .............................................................. 16
3.2. European HY Bond Issuance, Sponsored vs.
Corporate ............................................................... 7 Disclaimer ....................................................... 19
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
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 .................................................... 12
5.1. European Emerging Market HY Bond Issuance ..... 12
5.2. European Emerging Market HY Bond Issuance by
Currency ................................................................ 12
5.3. European Emerging Market HY Issuance by Industry
............................................................................... 12
5.4. European Emerging Market HY Issuance by Country of
Risk ........................................................................ 12European Leveraged Finance, First Quarter 2015
Highlights and Market Environment rata loans widened by 6.2 bps. Mezzanine loan spreads
Highlights remained at 0 bps in the first quarter of 2015 as no mez-
European leveraged finance issuance (leveraged loans and zanine loans were financed so far in 2015.
high yield bonds) more than doubled in 1Q’15 to €57.7 According to Dealogic, the leading sector in leveraged
billion, a 112.8% increase quarter-over-quarter (q-o-q) and loan issuance for the first quarter of 2015 was construc-
a 25.2% increase year-over-year (y-o-y). The increase q-o-q tion/building (€3.54 billion), followed by telecommunica-
stems from the large rise in high yield bond issuance, tions (€3.30 billion) and computers & electronics (€3.28
which more than quadrupled in the first quarter of 2015; billion).
the high yield share of the leveraged finance market in-
creased to 61.2%, up from 30.4% in 4Q’14. The share of deals aimed to refinance and/or repay debt
decreased q-o-q and y-o-y, dropping to 44.2% of all deals
Market and Economic Environment by euro amount in the first quarter of 2015, compared to
According to the April 2015 European Central Bank lend- 56.4% in 4Q’14 and 62.0% in 1Q’14.
ing survey, credit standards for loans to enterprises, con-
sumer credit and loans to households other than for Institutional Spreads
house purchase continued to ease in net terms in the first 650
Mar. 2011 - Mar. 2015
Basis Points Basis Points 250
quarter of 2015, while the credit standards for loans to 600
Countries Widest difference
households for house purchase tightened slightly in net 550
200
terms. Despite the easing in most categories during the
quarter the European Central Bank stated that the level of
500
150
credit standards is still relatively tight in historical terms.
450
In 1Q’15, euro area banks reported a net easing of credit 400
100
standards on loans to enterprises for the fourth consecu- 350
tive quarter driven in particular by banks’ cost of funds 300
50
and balance sheet constraints and competition. Across
Widest difference (bps, right) France
250 Germany Netherlands
firm size, credit standards were eased on loans to both
Spain United Kingdom
200 0
large firms and small and medium-sized enterprises
Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15
Source: Dealogic, AFME, SIFMA
(SMEs). Credit standards on loans to enterprises have im-
proved in all large euro area countries except for Spain, in Pro Rata Spreads
Mar. 2011 - Mar. 2015
particular in Italy, and switched from a net tightening to a 600 Basis Points
Countries
Basis Points
Widest difference
350
net easing in the Netherlands. 550 Widest difference (bps, right)
France
300
Germany
Net loan demand continued to be positive for loans to en- 500 Netherlands
Spain
250
terprises, but fell back from the high level reported in the 450
United Kingdom
200
fourth quarter of 2014. Net demand for loans to enter- 400 150
prises continued to improve, however at a slower pace.
The net increase in demand was 6% in 1Q’15, down from
350 100
18% in the previous quarter. Net demand for housing 300 50
loans continued to increase at a fast pace (29%, up from 250 0
24% in the previous quarter), while it remained broadly 200 -50
stable for consumer credit (13%, after 14%).
Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15
Source: Dealogic, AFME, SIFMA
Issuance
Issuance: Leveraged Loans
Leveraged loan issuance, including first lien, second lien,
and mezzanine financing, increased in the first quarter of
2015 to €22.4 billion, up 18.7% q-o-q (€18.9 billion) and
up 10.8% y-o-y (€20.2 billion). Amend-and-extend
(“A&E”) transactions continue to take place, with slightly
more than a quarter of deals in the first quarter of 2015
structured as such (€6.0 billion or 27.0% by euro amount),
a slight increase from the fourth quarter’s €5.8 billion.
In 1Q’15, no mezzanine loans and €0.3 billion in second
liens were financed. Pricing spreads for institutional loans
widened by 15.8 basis points (bps) while spreads for pro
1
AFME High Yield Division
First Quarter 2015European CLO outstandings, including SME deals, de- amount, compared to 53.4% in 4Q’14 but increased y-o-y
creased by an annualized rate of 28.6% in 1Q’15, ending (17.2% in 1Q’14). USD-denominated issuance in devel-
March 2015 at €178.4 billion. Non-SME CLOs fell at an oped market Europe decreased to 28.5% of all issuance
annualized rate of 35.5% in 1Q’15 while SME CLOs de- by euro amount from 50.3% in 4Q’14, while USD-
creased by an annualized 22.6%. denominated issuance in emerging market Europe rose to
represent 100% by euro amount, compared to 87.5% in
European CLO Outstanding
2014:Q2 - 2015:Q1 4Q’14.
350 € Billions
SME Returns & Credit Quality
300 Non-SME CLO Euro B-rated high yield bonds led returns in the first
250 quarter of 2015 (4.57%) followed by Russell 2000 (3.99%)
and global fallen angel high yield bonds (3.56%). U.S. dis-
tressed high yield, however, performed poorly, returning
200
150 negative 0.72% as the worst performing asset class.
100 High-yield bond default rates increased in March 2015,
50
with S&P reporting 1.5% (up from 1.0% end-December
2014). Five bond-related defaults were reported in the first
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 quarter, three in developed market Europe and two in
Source: AFME, SIFMA
emerging market Europe (Talon PIKco, Afren, Commer-
cial Bank Sudostraitelny Bank, Bank Tavridhesky and
Issuance: High Yield Bonds Norske Skogindustrier).
Primary issuance in 1Q’15 totalled €35.3 billion on 61
deals, an increase of 327.9% and 36.5%, respectively, q-o- According to S&P, in 1Q’15 downgrades exceeded up-
q and y-o-y. Issuance from developed market Europe in- grades in developed market Europe and emerging market
creased in the first quarter of 2015 while the issuance Europe, with 36 downgrades to 14 upgrades and 28
from emerging market Europe fell. downgrades to zero upgrades, respectively. Both upgrades
and downgrades were distributed across the sector spec-
Primary issuance in developed market Europe in the first trum. The sector with the most rating actions in first quar-
quarter of 2015 was €35.2 billion on 60 deals, a sharp in- ter 2015 was banks with 9 downgrades in developed mar-
crease of 365.6% and 42.1% by euro amount, respectively, ket Europe and 9 downgrades in emerging market Eu-
q-o-q (€4.6 billion on 23 deals) and y-o-y (€24.8 billion on rope.
61 deals). In emerging market Europe primary issuance in
1Q’15 was €0.07 billion on 1 deal, a decline of 90.2% and
93.8% by euro amount, respectively, q-o-q (€0.68 billion
on 4 deals) and y-o-y (€1.08 billion on 3 deals).
In first quarter 2015, average deal sizes from developed
market Europe increased by 15.2% to an average of
€658.6 million per deal (€571.5 million in 4Q’14). Average
deal sizes for emerging market Europe fell for the fourth
consecutive quarter to €66.7 million in 1Q’15, down
60.9% from €170.5 million in 4Q’14.
High yield issuance for refinancing and/or repayment of
debt in developed market Europe decreased q-o-q and y-
o-y, representing 14.9% of all issuance by euro amount in
1Q’15, compared to 34.1% in 4Q’14 and 27.7% in 1Q’14.
In emerging market Europe, no debt was issued for refi-
nancing and/or repayment of debt purposes in the first
quarter of 2015.
Two sectors accounted for almost half of the total high
yield issuance in 1Q’15: telecommunications with €12.4
billion issued (35.1% of total) and leisure & recreation
(€4.9 billion, 13.8%). Finance sector ranked third with
€3.2 billion (9.0% of total) with the remainder of the is-
suance in the first quarter split among many industries.
The proportion of USD-denominated issuance decreased
in 1Q’15, representing 28.6% of all issuance by euro
2
AFME High Yield Division
First Quarter 20151. Leveraged Finance Overview
1.1. European Leveraged Issuance by Type 1.2. European Leveraged Issuance by Percentage
European Leveraged Issuance European Leveraged Issuance
2006 - 2015:Q1 2006 - 2015:Q1
300 € Billions 100% Percentage
Leveraged Loans Leveraged Loans
90%
Europe Developed HY Europe Developed HY
250
Europe EM HY 80% Europe EM HY
70%
200
60%
150 50%
40%
100
30%
20%
50
10%
0 0%
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Sources: Dealogic, Thomson Reuters LPC Sources: Dealogic, Thomson Reuters LPC
1.3. European Leveraged Issuance Average Deal 1.4. Bank Credit Standards 1
Size
European Leveraged Issuance Average Size Bank Credit Standards
2006 - 2015:Q1 Apr. 2010 - Apr. 2015
900 € Millions 50 Net Percentage
Leveraged Loans
800 SME
Europe Developed HY
40 Large Enterprises
Europe EM HY
700
Overall
30
600
500 20
400
10
300
200 0
100
-10
0
2014 2015
-20
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15
Sources: Dealogic, Thomson Reuters LPC Source: ECB
1.5. Factors Affecting Bank Credit Standards 2 1.6. Loan Demand 3
Factors Affecting Bank Credit Standards Loan Demand
Apr. 2015 Apr. 2010 - Apr. 2015
30 Net Percentage
Risk on Collateral Demanded
20
Expectations Regarding Economic Activity
Competition from Non-Banks 10
Industry or Firm-Specific Outlook
0
Costs to Bank Capital Position
-10
Bank Access to Market Financing
Percentage
Market Financing -20
Net
SME
Bank Liquidity Position -30 Large Enterprises
Competition from Banks
Overall
-40
-20 -15 -10 -5 0 5 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15
Source: ECB Source: ECB
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.
3
AFME High Yield Division
First Quarter 20151.7. Factors Affecting Loan Demand 4
Factors Affecting Loan Demand
Apr. 2015
Inventories, Working Capital
Debt Restructuring
M&A, Restruturing
Loans from Other Banks
Loans from Non-Banks
Equity Issuance
Percentage
Fixed Investment
Net
Internal Financing
Debt Issuance
-10 -5 0 5 10 15
Source: ECB
1.8. Global Comparison – High Yield Issuance
2015 2014 Prior
€ Billions Q1 Q1 Q2 Q3 Q4 Full Year 2013 2012
United States 63.0 44.7 51.0 48.5 42.9 187.0 197.0 212.9
Asia Pacific 9.2 8.6 8.1 9.0 8.9 34.6 41.5 30.2
Europe 38.7 28.8 61.7 21.8 10.8 123.0 120.9 82.8
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.
4
AFME High Yield Division
First Quarter 20152. Issuance – Leveraged Loans
2.1. European Leveraged Loan Issuance By Loan 2.2. European Leveraged Loan Issuance by Industry
Type Sector
Leveraged Loan Issuance by Loan Type Leveraged Loan Issuance by Industry
2006 - 2015:Q1 2015:Q1
250 € Billions Healthcare
Mezzanine
Agribusiness
2nd Lien
Food & Beverage
200 1st Lien
Oil & Gas
Consumer Products
Leisure & Recreation
150
Retail
Real Estate/Property
Professional Services
100
Metal & Steel
Chemicals
Publishing
EUR Billions
50
Machinery
Computers & Electronics
0 Telecommunications
2014 2015 Construction/Building
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0
Source: Dealogic, Thomson Reuters LPC Source: Dealogic
2.3. Forward Pipeline of Leveraged Loan Market 2.4. S&P ELLI Total Institutional Loans Outstanding
Forward Pipeline of Leveraged Loan Market S&P ELLI Total Institutional Loans Outstanding
Mar. 2013 - Mar. 2015 2006 - 2015:Q1
50.0 € Billions 160.0 € Billions
45.0 Europe
140.0
US
40.0
120.0
35.0
100.0
30.0
25.0 80.0
20.0 60.0
15.0
40.0
10.0
20.0
5.0
0.0 0.0
Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q1
Source: Standard & Poor's LCD Source: Standard & Poor's LCD
2.5. S&P ELLI Ratings Diversification 2.6. Distribution of Leveraged Loan Secondary Mar-
ket Bids
S&P ELLI Ratings Diversification Distribution of EMEA Leveraged Secondary Loan Market Bids
2006 - 2015:Q1 Mar. 2012 - Mar. 2015
1.0 Percentage 100 Bid
0.9 90 >100
90-100
0.8 80
80-90
0.7 70 70-80
0.6 60 < 70
0.5 50
NR
0.4 40
Other
0.3 30
B
0.2 BB 20
0.1 10
0.0 0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q1 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15
Source: Standard & Poor's LCD Source: Thomson Reuters LPC/SMi
5
AFME High Yield Division
First Quarter 20152.7. Institutional and Pro Rata Spreads 2.8. Mezzanine Spread
Institutional and Pro Rata Spreads Mezzanine Spread
Apr. 2010 - Mar. 2015 Apr. 2010 - Mar. 2015
500 Basis Points Basis Points
Institutional 1,200
Pro Rata
450
1,000
400 800
600
350
400
300
200
Mezzanine
250 0
Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14
Source: Dealogic, AFME, SIFMA Source: Dealogic, AFME, SIFMA
6
AFME High Yield Division
First Quarter 20153. Issuance – High Yield Bonds Overview
3.1. European HY Bond Issuance, Developed and 3.2. European HY Bond Issuance, Sponsored vs.
Emerging Market Corporate
European HY Issuance, Developed and Emerging Markets European HY Issuance, Sponsored vs Corporate
2006 - 2015:Q1 2006 - 2015:Q1
120 € Billions # of Deals 300 100% Percentage
Europe Corporate
Europe Emerging HY 90%
Europe LBO
100 250
Europe Developed 80% EM Corporate
HY EM LBO
70%
80 200
60%
60 150 50%
40%
40 100
30%
20%
20 50
10%
0 0 0%
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Sources: Dealogic, Thomson Reuters LPC Sources: Dealogic, Thomson Reuters LPC
3.3. European Corporate Bonds Outstanding 3.4. European Corporate Bonds Maturity Wall
European Corporate Bonds Outstanding European Corporate Maturity Wall
2013:Q1 - 2015:Q1 2015:Q1
9,000 € Billions 1600 € Billions
Other Currencies
8,000 1400 GBP
USD
7,000
1200 EUR
6,000
1000
5,000
800
4,000
3,000 600
2,000 400
1,000 NR HY IG
200
0
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 0
2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030
2013 2013 2013 2013 2014 2014 2014 2014 2015
Sources: Bloomberg, AFME, SIFMA Source: Bloomberg, AFME, SIFMA
3.5. European Corporate HY Bonds Outstanding By 3.6. European Corporate HY Bonds Outstanding by
Sector Current Rating
European HY Corporate Bonds Outstanding by Sector European HY Outstanding by Current Rating
2015:Q1 Technology 2015:Q1
Utilities
1.4% 300 € Billions
Communications 3.3%
15.5%
Materials
11.2% 250
Industrials 200
Consumer 6.0%
Discretionary
11.6% Health Care 150
1.9%
Governments
0.9% 100
Consumer Staples
4.7%
50
Financials
34.6%
0
Energy BB+ BB BB- B+ B B- CCC+ CCC Remaining
8.9% HY
Sources: Bloomberg, AFME, SIFMA Source: Bloomberg, AFME, SIFMA
7
AFME High Yield Division
First Quarter 20153.7. European Corporate Bond Issuance by Rating 3.8. European Corporate Bond Issuance by Tenor
European HY Issuance by Rating European HY Issuance by Tenor
2015:Q1 2015:Q1
20 EUR Billions 16 EUR Billions
B
18
BB 14
16 CCC
12
14 NA/NR
10
12
10 8
8
6
6
4
4
2
2
0 0
Developed Emerging4.3. European Developed Market HY Issuance by 4.4. European Developed Market HY Issuance by
Industry Country of Risk
European Developed Market HY Issuance by Industry European Developed Market HY Issuance by Country of Risk
2015:Q1 2015:Q1
Telecommunications
Leisure & Recreation United Kingdom
Finance
Metal & Steel France
Machinery
Italy
Auto/Truck
Professional Services Germany
Utility & Energy
Construction/Building Spain
Food & Beverage
Retail Luxembourg
Forestry & Paper
Switzerland
Transportation
Dining & Lodging Ireland
Healthcare
Real Estate/Property Norway
€ Billions
€ Billions
Oil & Gas
Consumer Products Iceland
Computers & Electronics
Sweden
Chemicals
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0
Source: Dealogic Source: Dealogic
4.5. European Developed Market HY Issuance, 4.6. European Developed Market HY Issuance,
Fixed vs. Floating Sponsored vs. Corporate
European Developed Market HY Bond Issuance, Fixed vs Floating European Developed Market HY Issuance by Currency
2006 - 2015:Q1 2006 - 2015:Q1
120.0 € Billions 120 € Billions
Floating Other
100.0 Fixed 100 USD
GBP
80.0 80 EUR
60.0 60
40.0 40
20.0 20
0.0 0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Source: Dealogic Source: Dealogic
4.7. European Developed Market HY Rating Distribu- 4.8. European Developed Market Corporate Bonds
tion at Issuance Outstanding
European Developed Market HY Rating Distrbution at Issuance European Corporate Bonds Outstanding, Developed Europe
2011:Q2 - 2015:Q1 2015:Q1
100% 4,500 € Billions
Investment Grade
90%
4,000 High Yield
80% Non-Rated
3,500
70%
3,000
60%
50% 2,500
40% 2,000
30% 1,500
20%
1,000
10% NA/NR CCC B BB
500
0%
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 0
2011 2012 2013 2014 2015 Developed Europe
Source: Dealogic, AFME/SIFMA Sources: Bloomberg, AFME, SIFMA
9
AFME High Yield Division
First Quarter 20154.9. European Developed Market HY Bond Issuance
Amount
Issue r Industry Group Date Curre ncy (Millions) Coupon Moodys S&P Fitch
ArcelorMittal SA Metal & Steel 08/01/2015 EUR 750 3.125 Ba1 BB BB+
Hipercor SA Retail 09/01/2015 EUR 500 3.875 NA NA NA
BPE Financiaciones SA Finance 12/01/2015 EUR 500 2.000 Ba3 NA BB+
Virgin Media Secured Finance plc Telecommunications 13/01/2015 USD 400 5.750 B2 B B-
EUR 460 4.500 B2 B B-
GBP 300 5.125 Ba3 BB- BB+
Ziggo Bond Finance BV Telecommunications 14/01/2015 USD 400 5.875 B2 BB- NA
EUR 400 4.625 B2 B NA
HP Pelzer Holding GmbH Auto/Truck 15/01/2015 EUR 50 7.500 B2 B+ BB
Thomas Cook Finance plc Professional Services 16/01/2015 EUR 400 6.750 NA B B+
Hipercor SA Retail 16/01/2015 EUR 100 3.875 NA NA NA
ThyssenKrupp AG Metal & Steel 16/01/2015 USD 100 4.130 Ba1 BB NA
Landsvirkjun Utility & Energy 20/01/2015 USD 30 4.304 NA NA NA
Ziggo Secured Finance BV Telecommunications 21/01/2015 EUR 800 3.750 Ba3 NA NA
Wagamama Finance plc Dining & Lodging 21/01/2015 GBP 150 7.875 B2 B- NA
Albea Beauty Holdings SA Chemicals 27/01/2015 EUR 45 8.750 NA B NA
MEIF Renewable Energy UK plc Utility & Energy 29/01/2015 GBP 190 6.750 Ba2 NA BB
Silk Bidco AS Transportation 30/01/2015 EUR 455 7.500 NA B2 B
Prima Industrie SpA Machinery 30/01/2015 EUR 40 5.875 NA NA NA
Altice SA Telecommunications 30/01/2015 EUR 750 6.250 NA B3 B
USD 1,480 7.625 NA B3 B
Cerba European Lab Healthcare 30/01/2015 EUR 145 8.250 Caa1 B- NA
EUR 85 7.000 B2 B+ BB-
Altice Finco SA Telecommunications 30/01/2015 USD 385 7.625 B3 B- NA
Altice Financing SA Telecommunications 30/01/2015 EUR 500 5.250 NA B1 BB-
USD 2,060 6.625 NA B1 BB-
Norske Skogindustrier ASA Forestry & Paper 02/02/2015 EUR 290 11.750 B3e NA NA
SIG Combibloc Holding SCA Machinery 03/02/2015 EUR 675 7.750 Caa1 B- NA
Viridian Group FundCo II Ltd Utility & Energy 04/02/2015 EUR 600 7.500 B2 NA B+
Veneto Banca ScpA Finance 04/02/2015 EUR 51 6.950 NA NA NA
Labco SAS Healthcare 04/02/2015 EUR 100 8.500 B3 B+ BB-
Banco Popular Espanol SA Finance 05/02/2015 EUR 750 8.250 Caa1u NA NA
Georgia Worldwide plc Leisure & Recreation 09/02/2015 EUR 850 4.750 Ba2 BB+ NA
EUR 700 4.125 Ba2 BB+ NA
USD 1,100 6.500 Ba3 BB+ NA
USD 1,500 6.250 Ba2 BB+ NA
USD 600 5.625 Ba2 BB+ NA
Sunrise Communications Holdings SA Telecommunications 10/02/2015 CHF 500 2.125 Ba2 BB+ BBB-
Paternoster Holding III GmbH Machinery 10/02/2015 EUR 225 8.500 B3 CCC+ NA
Picard Bondco SA Food & Beverage 10/02/2015 EUR 428 7.750 B3 B- CCC
Picard Groupe SAS Food & Beverage 10/02/2015 EUR 342 3M EURIBOR + 425 B1 B+ BB-
Smurfit Kappa Acquisitions Forestry & Paper 11/02/2015 EUR 250 2.750 Ba1 BB+ BB+
Lar Espana Real Estate Socimi SA Real Estate/Property 12/02/2015 EUR 140 2.900 NA NA NA
ThyssenKrupp AG Metal & Steel 18/02/2015 EUR 600 2.500 Ba1 BB BB+
EUR 750 1.750 Ba1 BB BB+
Jaguar Land Rover Automotive plc Auto/Truck 19/02/2015 GBP 400 3.875 Ba2 BB BB-
Unitymedia Hessen GmbH & Co KG Telecommunications 25/02/2015 EUR 500 3.500 Ba3 BB- NA
Unitymedia KabelBW GmbH Telecommunications 02/03/2015 EUR 700 3.750 B3 B NA
Jaguar Land Rover Automotive plc Auto/Truck 03/03/2015 USD 500 3.500 Ba2 BB NA
Bank of Ireland Mortgage Bank Finance 03/03/2015 EUR 750 1.250 Ba1 BB+ NA
Arion Banki hf Finance 03/03/2015 EUR 300 3.125 NA BB+ NA
Faurecia SA Auto/Truck 10/03/2015 EUR 500 3.125 B1 NA BB-
Merlin Entertainments plc Leisure & Recreation 11/03/2015 EUR 500 2.750 Ba2 BB NA
Moto Finance plc Dining & Lodging 11/03/2015 GBP 175 6.375 NA NA B+
Millicom International Cellular SA Telecommunications 11/03/2015 USD 500 6.000 Ba2 NA BB+
Play Finance 2 SA Telecommunications 12/03/2015 EUR 125 5.250 B1 B BB-
Autostrada Brescia Verona Vicenza Padova SpA Construction/Building 12/03/2015 EUR 600 2.375 NA BBB- BB+
Wind Acquisition Finance SA Telecommunications 12/03/2015 EUR 400 3M EURIBOR + 412.5 Ba3 NA BB-
EUR 375 4.000 NA BB BB-
Banca Popolare di Vicenza Scarl Finance 12/03/2015 EUR 750 2.750 NA NA BB
Vizrt Ltd Computers & Electronics 13/03/2015 USD 113 3M LIBOR + 712.5 NA NA NA
Virgin Media Secured Finance plc Telecommunications 17/03/2015 USD 500 5.250 Ba3 BB- BB-
GBP 525 4.875 Ba3 BB- BB-
Obrascon Huarte Lain SA - OHL Construction/Building 17/03/2015 EUR 325 5.500 B1 NA BB-
Beni Stabili SpA SIIQ Real Estate/Property 17/03/2015 EUR 125 2.125 NA NA NA
Paprec France SAS Utility & Energy 20/03/2015 EUR 185 7.375 B2 B- NA
EUR 295 5.250 B1 B+ NA
†tLK (tayment in Kind); ‡5ebut issue Source: Bloomberg, Dealogic
10
AFME High Yield Division
First Quarter 2015Amount
Issue r Industry Group Date Curre ncy (Millions) Coupon Moodys S&P Fitch
Intercos SpA Consumer Products 23/03/2015 EUR 120 3.875 NA NA NA
Genel Energy Finance 3 Ltd Oil & Gas 26/03/2015 USD 230 7.500 NA NA NA
AA Bond Co Ltd Professional Services 27/03/2015 GBP 735 5.500 NA BB- NA
Schaeffler Finance BV Machinery 27/03/2015 USD 600 4.750 Ba2 BB- NA
EUR 600 3.250 Ba2 NA NA
EUR 400 2.500 Ba2 NA NA
ArcelorMittal SA Metal & Steel 30/03/2015 EUR 500 3.000 Ba1 BB BB+
EUR 400 3M EURIBOR + 203 Ba1 BB BB+
UPCB Finance IV Ltd Telecommunications 31/03/2015 USD 800 5.375 Ba3 BB NA
Faurecia SA Auto/Truck 31/03/2015 EUR 200 3.125 B1 NA BB-
†tLK (tayment in Kind); ‡5ebut issue Source: Bloomberg, Dealogic
11
AFME High Yield Division
First Quarter 20155. 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
European Emerging Market HY Bond Issuance European Emerging Market HY Issuance by Currency
2006 - 2015:Q1 2006 - 2015:Q1
20 € Billions # of Deals 90 25 € Billions
18 Europe Emerging HY Other
80
# of Deals (Right) USD
16 20
70 GBP
14
60 EUR
12 15
50
10
40
8 10
30
6
4 20 5
2 10
0 0 0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Source: Dealogic Source: Dealogic
5.3. European Emerging Market HY Issuance by In- 5.4. European Emerging Market HY Issuance by
dustry Country of Risk
European Emerging Market HY Issuance by Industry European Emerging Market HY Issuance by Country of Risk
2015:Q1 2014:Q1
Finance Russian Federation
€ Billions € Billions
0.0 0.1 0.0 0.1
Source: Dealogic Source: Dealogic
5.5. European Emerging Market HY Issuance, Fixed 5.6. European Emerging Market HY Issuance, Spon-
vs. Floating sored vs. Corporate
European Emerging Market HY Bond Issuance, Fixed vs Floating European Emerging Market HY Issuance, Sponsored vs Corporate
2006 - 2015:Q1 2006 - 2015:Q1
20 € Billions 20 € Billions
Floating EM LBO
18 18
Fixed EM Corporate
16 16
14 14
12 12
10 10
8 8
6 6
4 4
2 2
0 0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Source: Dealogic Source: Dealogic
12
AFME High Yield Division
First Quarter 20155.7. European Emerging Market HY Rating Distribu- 5.8. European Emerging Market Corporate Bonds
tion at Issuance Outstanding
European Emerging Market HY Rating Distrbution at Issuance European Corporate Bonds Outstanding, Emerging Europe
2011:Q2 - 2015:Q1 2015:Q1
100% 200 € Billions
90% 180 Investment Grade
80% High Yield
160
Non-Rated
70%
140
60%
120
50%
100
40%
80
30%
60
20%
40
10% NA/NR CCC B BB
20
0%
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1
0
2011 2012 2013 2014 2015 Emerging Europe
Source: Dealogic, AFME/SIFMA Sources: Bloomberg, AFME, SIFMA
5.9. Emerging Market HY Bond Issuance
Amount
Issue r Industry Group Date Curre ncy (Millions) Coupon Moodys S&P Fitch
Bank URALSIB OAO Finance 22/1/2015 USD 77 10.500 NA NA NA
†tLK (tayment in Kind); ‡5ebut issue Source: Bloomberg, Dealogic
13
AFME High Yield Division
First Quarter 20156. Credit Quality
6.1. European HY Default Rate 6.2. Developed Europe Issuer Rating Actions 1
European HY Default Rate (LTM) S&P Developed Europe Issuer Rating Actions
Mar. 2010 - Mar. 2015 2008 - 2015:Q1
7.0 Percent 250 # Of Issuers 100%
Upgrades
90%
6.0
Downgrades
200 Downgrade/Upgrade Ratio (Right) 80%
5.0 70%
150 60%
4.0
50%
3.0 100 40%
30%
2.0
50 20%
1.0 10%
0 0%
2014 2015
0.0
Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 2008 2009 2010 2011 2012 2013 2014 Q1
Source: Standard & Poor's Source: Standard & Poor's
6.3. Emerging Europe Issuer Rating Actions 2 6.4. Developed European Industry Rating Actions by
# of Ratings
S&P Developed Europe Issuer Rating Actions by # of Ratings
S&P Emerging Europe Issuer Rating Actions 2015:Q1
2008 - 2015:Q1 Automotive
250 # Of Issuers 120% Bank
Upgrades Capital Goods
Downgrades Chemicals, Packaging and Environmental Services
100% Consumer Products
200 Downgrade/Upgrade Ratio (Right)
Diversified
Financial Institutions
80% Forest Products and Building Materials
150 Health Care
High Technology
60%
Home/Real Estate Companies
100 Insurance
40% Media and Entertainment
Metals, Mining and Steel
Oil and Gas Exporation and Production
50
20% Retail/Restaurants
Sovereign Downgrades
Telecommunications Upgrades
0 0% Transportation
2014 2015
2008 2009 2010 2011 2012 2013 2014 Q1 0 2 4 6 8 10
Source: Standard & Poor's
Source: Standard & Poor's
6.5. Emerging European Industry Rating Actions by #
of Ratings
S&P Emerging Europe Issuer Rating Actions by # of Ratings
2015:Q1
Bank
Brokerage
Home/Real Estate Companies
Oil and Gas Exporation and Production
Sovereign
Telecommunications
Transportation
Downgrades
Utilities
Upgrades
0 1 2 3 4 5 6 7 8 9 10
Source: Standard & Poor's
1
Numbers include both corporate and sovereigns.
2
Numbers include both corporate and sovereigns.
14
AFME High Yield Division
First Quarter 20156.6. European Defaults
Issuer Industry Group Country Date Reported By Reason
Talon PIKco N.V. Entertainment/Media Belgium January 2015 S&P Distressed Exchange
Afren PLC Energy and Natural Resources U.K. February 2015 S&P Missed amortization payment
Commercial Bank Sudostraitelny Bank LLC Bank Russia February 2015 S&P Regulatory Intervention
Bank Tavridhesky Bank Russia February 2015 S&P Regulatory Intervention
Norske Skogindustrier ASA Forest Products and Building Materials Norway February 2015 S&P Debt Exchange
Source: Moody's, Standard & Poor's
7. Relative Value
7.1. European HY Bonds, Cash vs. Synthetic
Bonds, Cash vs. Synthetic
Mar. 2010 - Mar. 2015
1000 Basis Points Spread, Basis Points 210
900 HY Spread 180
iBoxx EUR HY
800
iTraxx XO 5Y 150
700
120
600
90
500
60
400
30
300
0
200
100 -30
0 -60
Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15
Sources: Markit
8. Total Return
8.1. European HY Bond Total Return 8.2. European Leveraged Loan Total Return
European High Yield Total Return European Leveraged Loan Total Return
2006 - 2015:Q1 2006 - 2015:Q1
80.0 Percentage 50.0 Percentage
40.0
60.0
30.0
40.0 20.0
10.0
20.0
0.0
0.0 -10.0
ELLI
-20.0
-20.0 ELLI (EUR-denominated only)
-30.0
-40.0 -40.0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q1
Source: Bank of America-Merrill Lynch Source: Standard and Poor's LCD
8.3. Asset Class Total Return, Quarter
Asset Class Total Returns
2015:Q1
Euro HY B Rated
Percentage
Russell 2000
Global Fallen Angel HY
S&P ELLI
Euro High Yield
Euro Fallen Angel HY
Euro HY BB rated
U.S. HY
U.S. Corporates
MCSI EM
U.S. Treasuries
EMU Covered Bonds
EMU Financial Corporates
U.S. ABS/MBS
U.S. Municipal
U.S. Mortgages 30Y
EMU ABS/MBS
S&P 500
Euro HY CCC and Lower Rated
U.S. HY Distressed
-1 0 1 2 3 4 5
Source: BofA-ML, Bloomberg
15
AFME High Yield Division
First Quarter 2015Summary of the Methodologies
Adopted for this Report
1. Leveraged Issuance – Overview 2.4. S&P ELLI Total Institutional Loans Outstand-
1.1. – 1.3. Leveraged Loans and High Yield ing
Bonds Total institutional loan outstanding data are sourced from
Leveraged loan data are sourced from Thomson Reuters S&P LCD and are outstanding loans in the S&P ELLI in-
LPC and Dealogic. dex.
Leveraged loan data from Thomson Reuters LPC are de- 2.5. S&P ELLI Ratings Diversification
fined primarily as having sub-investment grade ratings S&P ELLI ratings diversification are the percentages of
and/or a margin spread minimum of 200 basis points currently outstanding loans in S&P’s ELLI index that are
(spread minimums will vary from year to year to make rated accordingly. Data are provided by S&P LCD.
Thomson LPC’s cutoff). Leveraged loan aggregates will in-
2.6. Leveraged Loan Secondary Market Bids
clude first lien, second lien, and mezzanine financing. Dis- European leveraged trading volumes are sourced from
crepancies in Thomson Reuters LPC data are due to Thomson Reuters LPC and are percentage of volume by
rounding and/or currency rate of exchange. bid price.
Leveraged loan data from Dealogic are defined primarily as
2.7. – 2.8. Loan Spreads
coming from a leveraged or highly leveraged European Loan spread data are sourced from Dealogic under our cri-
deal; loan tranches must have sub-investment grade ratings, teria for leveraged loans (see Section 1). For purposes of
or, if unrated, a margin spread minimum of 125 basis loan spread calculations, deals marketed in the US are ex-
points over a benchmark (e.g., Euribor, LIBOR). Under cluded. Spreads are a weighted average of spread margin
these guidelines, sub-investment grade-rated loans with a on new leveraged issuance on a rolling twelve months ba-
margin spread of less than 125 basis points are included. sis, and are typically benchmarked to LIBOR or EURI-
Deals must be European and are inclusive of both devel- BOR. Institutional loan spread data are inclusive of 2nd
oped and emerging market Europe as defined in high yield lien; pro rata spreads include all revolvers and term loan A
criteria in Section 3. Deals must also be marketed either in (Tla).
Europe or in the United States. Loans not EUR-
denominated are converted to EUR as of credit date for 3. Issuance – High Yield Bonds Overview
purposes of aggregation. Aggregates include new money High yield bond transactions are sourced primarily from
as well as non-new money deals. Dealogic, with supplemental information sourced from
Bloomberg. High yield transactions are defined as transac-
Criteria for high yield bond transactions can be found in
tions with a Dealogic “effective” rating of equal or less
Section 3, 4, and 5.
than BB+, and may include unrated transactions based on
1.4. – 1.7. Bank Lending Surveys issuer and desk notes. Split-junk rated transactions are gen-
Data for loan demand and credit standards are sourced erally excluded.
from the ECB’s bank lending survey. Graph numbers are
European issuance, inclusive of both emerging market Eu-
net percentages of reporting banks.
rope and developed market Europe, are defined as an issue
1.8. Global Comparison – High Yield Issuance having a Dealogic “deal nationality” as well as “nationality
Data for global high yield issuance are sourced from Dea- of risk” within Europe issued in the euro, foreign, and
logic. Asian deals are inclusive of Japan and Australia. global markets; deals marketed locally are excluded. Sover-
eign, sub-sovereign, and supranational parent issuers are
2. Issuance – Leveraged Loans excluded from issuance, as well as ABS/MBS issuers.
2.1. – 2.2.
Leveraged loan issuance data are sourced primarily from Emerging market Europe and developed market European
Dealogic and Thomson Reuters LPC. For more details on issuance are defined by nationality of risk, rather than na-
qualifying criteria, please refer to section 1. tionality of deal, and although primarily sourced from Dea-
logic, are ultimately subject to AFME’s discretion. Emerg-
2.3. Forward Pipeline of Leveraged Loan Market ing and developed market issuance are mutually exclusive
Forward leveraged loan pipeline data are sourced from and will contain no overlap unless otherwise mentioned.
S&P LCD.
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 pur-
pose of meeting this minimum. Russian ruble (RUB)-
denominated issuance are excluded due to differences in
16
AFME High Yield Division
First Quarter 2015terms and documentation; as of 4Q’10 this criteria no 4. Issuance – European Developed Market
longer applies and may be included on a case by case basis. High Yield Bonds
3.2. European HY Issuance by Sponsor 4.1. – 4.7.,4.9
Data for high yield issuance by sponsor are sourced from High yield bond issuance data are sourced from Dealogic.
Dealogic. LBO deals are defined as all high yield transac- For further criteria on how high yield issuance are defined,
tions whose issuer parent is a public or private finance enti- please refer to section 3.
ty (i.e., a financial sponsor), regardless of use of proceeds. Developed European issuance are deals predominantly
3.3. – 3.6. European Corporate Bonds Outstand- from western Europe and includes deals from Andorra,
ing Austria, Belgium, Bulgaria, Cyprus, Switzerland, Germany,
Data for European corporate outstanding are sourced Denmark, Spain, Estonia, Finland, France, Faroe Islands,
from Bloomberg and AFME/SIFMA estimates. Criteria United Kingdom, Guernsey, Gibraltar, Greenland, Greece,
for European corporate bonds are: bonds must be placed Isle of Man, Ireland, Iceland, Italy, Jersey, Liechtenstein,
in the domestic, euro, foreign, and global markets with na- Luxembourg, Monaco, Malta, Montenegro, Netherlands,
tionality of incorporation from a European developed or Norway, Portugal, San Marino, and Sweden.
emerging market country as defined by AFME. Corporate 4.8. European Developed Market Corporate
bonds exclude all structured notes, covered bonds, war- Bonds Outstanding
rants, deposit notes, receipts, and certificates of deposit. Data for corporate bonds outstanding are sourced from
All currencies are included and have been converted to Bloomberg. Please refer to Section 3 for criteria and meth-
EUR at time of pricing and/or issue. odology.
High-yield ratings are sourced from Bloomberg’s compo- 5. Issuance – European Emerging Market
site rating, which is an average of all available ratings from
High Yield Bonds
four rating agencies: Moody’s, Standard and Poor’s, Fitch
5.1. – 5.7., 5.9.
Ratings, or DBRS. Split-rated securities may be included in
High yield bond issuance data are sourced from Dealogic.
high yield numbers due to this.
Criteria for all high yield issuance are found in section 3.
Corporate bonds outstanding include certain securities that
Emerging market European issuance deals are predomi-
may be considered corporate securitisations or structured
nantly from eastern Europe but will also additionally in-
finance securities; while all effort is made to exclude the
clude Turkey, the Russian Federation, Kazakhstan, Turk-
latter, the former will be counted toward the corporate
menistan, Uzbekistan, Tajikistan, Azerbaijan, and Kyrgyz-
bonds outstanding total, and will subsequently overlap to
stan. Certain sub-investment grade countries are not in-
some extent to AFME structured finance outstanding
cluded in the emerging market total, including, among oth-
numbers.
ers, Iceland and Greece.
3.7. European Corporate Bond Issuance by Rat-
5.8. European Emerging Market Corporate Bonds
ing
Outstanding
Data for HY issuance by rating are sourced from Dealogic,
Data for corporate bonds outstanding are sourced from
Bloomberg, and the three rating agencies. The composite
Bloomberg. Please refer to Section 3 for criteria and meth-
rating is determined by the lowest rating assigned by either
odology.
Moody’s, Standard and Poor’s, or Fitch Ratings.
3.8. European Corporate Bond Issuance by Tenor
6. Credit Quality
Data for HY issuance by tenor are sourced from Dealogic. 6.1. European HY Default Rate
“Other” includes perpetuals. European HY bond default rates are sourced from S&P
and are on a trailing 12 month basis.
3.9. European HY Issuance By Use of Proceeds
Data for HY issuance by use of proceeds are sourced from “Europe” for the S&P default rate is defined to include
Dealogic and aggregated for the purposes of this calcula- Austria, Belgium, Bulgaria, Channel Islands, Cyprus, Czech
tion. Please refer to Section 3 for criteria on high yield is- Republic, Denmark, Estonia, Finland, France, Germany,
sue inclusion. Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania,
Luxembourg, Malta, Netherlands, Norway, Poland, Portu-
3.10. European HY Issuance, Senior Secured gal, Slovak Republic, Slovenia, Spain, Sweden, Switzerland
Share and the United Kingdom. Countries are subject to revision.
Data for HY issuance by seniority are sourced from Dea-
logic and Bloomberg. “Senior Unsecured” totals include all 6.2. – 6.3. European Issuer Rating Actions
European issuer upgrades and downgrades are sourced
bonds that are senior but not senior secured.
from S&P. The breakdown by emerging market and devel-
oped Europe are from AFME’s definition of developed
and emerging markets and would be, under S&P’s guide-
17
AFME High Yield Division
First Quarter 2015lines, a combination 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 merger-related) as well as sovereign rat-
ings.
6.4. – 6.5. European Issuer Rating Actions by # of
Rating Actions
Rating actions are sourced from S&P. Breakdown by
emerging market and developed Europe are from AFME’s
definition of developed and emerging markets and would
be, under S&P’s guidelines, a combination of both Euro-
pean and EMEA rating actions.
6.6. European Defaults
Defaults reported by either Moody’s or Standard and
Poor’s in the European bond markets and loan markets,
when available.
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;
European leveraged loan cash bid prices from Thomson
Reuters LPC, and European leveraged loans synthetic pric-
es 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 pub-
licly 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. Qual-
ifying 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 domestic markets), 144a securities
and pay-in-kind securities, including toggle notes, qualify
for inclusion in the index. Callable 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 transi-
tions from a fixed to a floating rate security. Defaulted,
warrant-bearing and euro legacy currency securities are ex-
cluded from the index.
8.2. European Leveraged Loan Total Return
Total return data are provided by S&P LCD and are total
returns 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.
18
AFME High Yield Division
First Quarter 2015Disclaimer
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 Fi-
nancial Markets in Europe (AFME) and the Securities In-
dustry and Financial Markets Association (SIFMA). AFME
and SIFMA believe that the information in the Report,
which has been obtained from multiple sources believed to
be reliable, is reliable 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 Re-
port becomes outdated or inaccurate. AFME and SIFMA
will make every effort to include updated information as it
becomes available and in subsequent reports. As infor-
mation is collected from multiple sources and estimates by
the individual sources may differ from one another, esti-
mates for similar types of data could vary within the Re-
port.
19
AFME High Yield Division
First Quarter 2015www.afme.eu
AFME
Gary Simmons, Director
www.afme.eu
SIFMA
Kyle Brandon, Managing Director, Director of Research
Justyna Podziemska, Senior Associate, Research
www.sifma.orgYou can also read
