European High Yield & Leveraged Loan Report - 2015 Q2
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European High Yield &
Leveraged Loan Report
Prepared in partnership with 2015 Q25.5. European Emerging Market HY Issuance, Fixed vs.
Market Highlights and Commentary ............. 1 Floating................................................................... 10
5.6. European Emerging Market HY Issuance, Sponsored
1. Leveraged Finance Overview .................... 3 vs. Corporate .......................................................... 10
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 ................................................................. 11
1.3. European Leveraged Issuance Average Deal Size 3 5.8. European Emerging Market Corporate Bonds
1.4. Bank Credit Standards ........................................... 3 Outstanding ............................................................ 11
1.5. Factors Affecting Bank Credit Standards ............... 3 5.9. Emerging Market HY Bond Issuance ...................... 11
1.6. Loan Demand......................................................... 3
1.7. Factors Affecting Loan Demand ............................. 4 6. Credit Quality ............................................. 12
1.8. Global Comparison – High Yield Issuance ............. 4 6.1. European HY Default Rate ..................................... 12
6.2. Developed Europe Issuer Rating Actions ............... 12
2. Issuance – Leveraged Loans ..................... 4 6.3. Emerging Europe Issuer Rating Actions ................. 12
2.1. European Leveraged Loan Issuance By Loan Type 6.4. Developed European Industry Rating Actions by # of
............................................................................... 4 Ratings ................................................................... 12
2.2. European Leveraged Loan Issuance by Industry 6.5. Emerging European Industry Rating Actions by # of
Sector .................................................................... 4 Ratings ................................................................... 12
2.3. Forward Pipeline of Leveraged Loan Market ......... 4 6.6. European Defaults .................................................. 13
2.4. S&P ELLI Total Institutional Loans Outstanding..... 4
2.5. S&P ELLI Ratings Diversification ........................... 5 7. Relative Value ............................................. 14
2.6. Distribution of Leveraged Loan Secondary Market Bids 7.1. European HY Bonds, Cash vs. Synthetic ............... 14
............................................................................... 5
2.7. Institutional and Pro Rata Spreads......................... 5 8. Total Return ................................................ 14
2.8. Mezzanine Spread ................................................. 5 8.1. European HY Bond Total Return ............................ 14
8.2. European Leveraged Loan Total Return ................ 14
3. Issuance – High Yield Bonds Overview .... 5 8.3. Asset Class Total Return, Quarter .......................... 14
3.1. European HY Bond Issuance, Developed and
Emerging Market.................................................... 5 Annex .............................................................. 15
3.2. European HY Bond Issuance, Sponsored vs.
Corporate ............................................................... 5 Disclaimer ....................................................... 18
3.3. European Corporate Bonds Outstanding ............... 6
3.4. European Corporate Bonds Maturity Wall .............. 6
3.5. European Corporate HY Bonds Outstanding By Sector
............................................................................... 6
3.6. European Corporate HY Bonds Outstanding by
Current Rating........................................................ 6
3.7. European Corporate Bond Issuance by Rating ...... 6
3.8. European Corporate Bond Issuance by Tenor ....... 6
3.9. European HY Use of Proceeds .............................. 7
4. Issuance – European Developed Market
High Yield Bonds............................................ 7
4.1. European Developed Market HY Bond Issuance ... 7
4.2. European Developed Market HY Issuance by Currency
............................................................................... 7
4.3. European Developed Market HY Issuance by Industry
............................................................................... 7
4.4. European Developed Market HY Issuance by Country
of Risk .................................................................... 7
4.5. European Developed Market HY Issuance, Fixed vs.
Floating .................................................................. 8
4.6. European Developed Market HY Issuance, Sponsored
vs. Corporate ......................................................... 8
4.7. European Developed Market HY Rating Distribution at
Issuance................................................................. 8
4.8. European Developed Market Corporate Bonds
Outstanding............................................................ 8
4.9. European Developed Market HY Bond Issuance ... 8
5. Issuance – European Emerging Market High
Yield Bonds .................................................... 10
5.1. European Emerging Market HY Bond Issuance ..... 10
5.2. European Emerging Market HY Bond Issuance by
Currency ................................................................ 10
5.3. European Emerging Market HY Issuance by Industry
............................................................................... 10
5.4. European Emerging Market HY Issuance by Country of
Risk ........................................................................ 10European Leveraged Finance, Second Quarter 2015
Highlights and Market Environment rata loans widened by 3.7 bps. Mezzanine loan spreads
Highlights remained at 0 bps in the second quarter of 2015 as no
European leveraged finance issuance (leveraged loans and mezzanine loans were financed so far in 2015.
high yield bonds) decreased in 2Q’15 to €55.0 billion, a Institutional Spreads
4.8% decrease quarter-over-quarter (q-o-q) and a 41.2% 650
Jun. 2011 - Jun. 2015
Basis Points Basis Points 250
decrease from a record setting €93.5 billion in 2Q’14. The 600
Countries Widest difference
quarterly decrease stems from the large fall in high yield 200
bond issuance, which decreased by 15.6% in the second
550
quarter of 2015 while the leveraged loan issuance in-
500
150
creased by 12.4%; the high yield share of the leveraged fi- 450
nance market decreased to 54.2%, down from 61.2% in 400
100
1Q’15. 350
300
50
Market and Economic Environment Widest difference (bps, right) France
According to the July 2015 European Central Bank lend-
250 Germany Netherlands
Spain United Kingdom
ing survey, credit standards for loans to enterprises, con-
200 0
Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15
sumer credit and loans to households, both for and other Source: Dealogic, AFME, SIFMA
than for house purchase, eased in net terms in the second Pro Rata Spreads
quarter of 2015, supporting the recovery of loan growth. 600
Jun. 2011 - Jun. 2015
Basis Points 300
In 2Q’15, euro area banks reported a net easing of credit
Basis Points
Countries Widest difference
550
standards on loans to enterprises for the fifth consecutive 500
250
quarter, driven in particular by banks’ competition and 450
cost of funds. Looking ahead to the third quarter of 2015, 400
200
euro area banks expect no further net easing of credit 350 150
standards on loans to enterprises. Across firm size, credit 300
standards were eased on loans to both large firms and 250
100
small and medium-sized enterprises (SMEs). Credit stand- 200
ards on loans to enterprises continued to ease in France Widest difference (bps, right) France 50
150 Germany Netherlands
and, more particularly, Italy. They were unchanged in net 100
Spain United Kingdom
0
terms in Spain and in the Netherlands, while banks in Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15
Source: Dealogic, AFME, SIFMA
Germany reported a marginal net tightening in standards.
According to Dealogic, the top three sectors in leveraged
Net demand for loans to enterprises improved significant- loan issuance for the second quarter of 2015 accounted
ly in 2Q’15 mostly due to general level of interest rates for almost half of the issues; the leading sector was chem-
and fixed investment. The net percentage of banks re- icals (€5.2 billion), followed by food & beverage (€3.7 bil-
porting an increase in demand for loans to enterprises was lion) and forestry & paper (€2.7 billion).
13%, up from 1% in the previous quarter. Banks reported
a further strong net increase in the demand for housing The share of deals aimed to refinance and/or repay debt
loans as well. The net percentage of banks reporting an increased to €16.3 billion or 64.7% of all deals by euro
increase in demand for housing loans in the second quar- amount in the second quarter of 2015, compared to
ter was 49%, up from 30% in the previous quarter. 44.2% in 1Q’15 and 40.0% in 2Q’14. The second largest
use of proceeds in 2Q’15 was leveraged buyouts totalling
Issuance €5.5 billion or 21.9% or total issuance, down from 28.9%
Issuance: Leveraged Loans in 1Q’15 but up from 20.2% in 2Q’14.
Leveraged loan issuance, including first lien, second lien,
and mezzanine financing, increased in the second quarter
of 2015 to €25.2 billion, up 12.4% q-o-q (€22.4 billion)
but down 28.9% y-o-y (€35.4 billion). Amend-and-extend
(“A&E”) transactions not only continue to take place but
accounted for over half of deals in the second quarter of
2015 (€14.7 billion or 58.4% by euro amount), a 143.3%
increase from the first quarter’s €6.0 billion.
In 2Q’15, no mezzanine loans and €0.1 billion in second
liens were financed. Pricing spreads for institutional loans
tightened by 15.8 basis points (bps) while spreads for pro
1
AFME High Yield Division
Second Quarter 2015European CLO outstandings, including SME deals, de- amount in 2Q’15, compared to 14.9% in 1Q’15 and
creased by an annualized rate of 6.3% in 2Q’15, ending 54.6% in 2Q’14. The only deal issued in emerging market
June 2015 at €170.0 billion. Non-SME CLOs increased at Europe in the second quarter of 2015 was issued for re-
an annualized rate of 2.1% in 2Q’15 while SME CLOs payment of debt, the first deal issued for this purpose
decreased by an annualized 12.0%. since 2Q’14.
European CLO Outstanding Two sectors accounted for almost half of the total high
350
2014:Q2 - 2015:Q2 yield issuance in 2Q’15: auto/truck industry with €8.8 bil-
lion issued (29.6% of total) and telecommunications (€5.2
€ Billions
SME
300 Non-SME CLO billion, 17.6%). Finance sector ranked third with €2.7 bil-
250
lion (8.9% of total) with the remainder of the issuance in
the second quarter split among many industries.
200
The proportion of USD-denominated issuance increased
150
in 2Q’15, representing 43.7% of all issuance by euro
100 amount, compared to 28.6% in 1Q’15 and 33.8% in
50
2Q’14. USD-denominated issuance in developed market
Europe increased to 43.9% of all issuance by euro
0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
amount from 28.5% in 2Q’15, while there were no USD-
Source: AFME, SIFMA denominated issues in emerging market Europe in 2Q’15.
Issuance: High Yield Bonds Returns & Credit Quality
Primary issuance in 2Q’15 totalled €29.8 billion on 55 European leveraged loans led returns in the second quar-
deals, a decrease of 15.6% and 48.7%, respectively, from ter of 2015 (1.28%) followed by global fallen angel high
1Q’15 and 2Q’14. Issuance from developed market Eu- yield bonds (0.82%) and Russell 2000 (0.09%). All other
rope decreased in the second quarter of 2015 while the is- sectors recorded negative returns in 2Q’15. The worst
suance from emerging market Europe increased. performing asset classes were: U.S. distressed high yield
(2Q’15 return of -3.66%), U.S. corporate bonds (-2.66%),
Primary issuance in developed market Europe in the sec- and European Union financial corporate bonds (-2.31%).
ond quarter of 2015 was €29.6 billion on 54 deals, a
15.9% and 48.2% decrease by euro amount, respectively, High-yield bond default rates increased slightly in May
from 1Q’15 (€35.2 billion on 60 deals) and 2Q’14 (€57.2 2015 (most recent data available at the time of publica-
billion on 102 deals). In emerging market Europe primary tion), with S&P reporting 1.6% (up from 1.5% end-March
issuance in 2Q’15 was €0.15 billion on 1 deal, an increase 2015). Five bond-related defaults were reported in the
of 124.8% but a decrease of 83.2% by euro amount, re- second quarter, four in developed market Europe and one
spectively, from 1Q’15 (€0.07 billion on 1 deals) and in emerging market Europe. All four defaults in developed
2Q’14 (€0.9 billion on 3 deals). market Europe were of Greek banks due to regulatory in-
tervention.
In second quarter 2015, average deal sizes from developed
market Europe decreased by 1.1% to an average of €581.0 According to S&P, in 2Q’15 downgrades exceeded up-
million per deal (€587.2 million in 1Q’15). Average deal grades in developed market Europe and emerging market
size for emerging market Europe increased to €150.0 mil- Europe, with 61 downgrades to 36 upgrades and 2 down-
lion in 2Q’15 after the lowest average on record in 1Q’15 grades to zero upgrades, respectively. Both upgrades and
but still far below the €297.2 million in 2Q’14. downgrades were distributed across the sector spectrum.
The sector with the most rating actions in second quarter
High yield issuance for refinancing and/or repayment of 2015 was banking with 20 downgrades and 2 upgrades in
debt in developed market Europe increased q-o-q but de- developed market Europe and 2 downgrades in emerging
creased y-o-y, representing 28.7% of all issuance by euro market Europe.
2
AFME High Yield Division
Second 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:Q2 2006 - 2015:Q2
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 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
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:Q2 Jul. 2010 - Jul. 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 Q2 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-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
Jul. 2015 Jul. 2010 - Jul. 2015
30 Net Percentage
Risk on Collateral Demanded
Competition from Non-Banks 20
Bank's Risk Tolerance
10
Expectations Regarding Economic Activity
0
Industry or Firm-Specific Outlook
Bank Access to Market Financing -10
Costs to Bank Capital Position
Percentage
-20
Competition from Market Financing
Net
SME
Bank Liquidity Position -30 Large Enterprises
Overall
Competition from Banks
-40
-12 -10 -8 -6 -4 -2 0 2 4 6 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-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
Second Quarter 20151.7. Factors Affecting Loan Demand 4
Factors Affecting Loan Demand
Jul. 2015
Debt Restructuring
M&A, Restruturing
Fixed Investment
Inventories, Working Capital
Loans from Non-Banks
Equity Issuance
Percentage
Loans from Other Banks
Net
Debt Issuance
Internal Financing
-10 -5 0 5 10 15
Source: ECB
1.8. Global Comparison – High Yield Issuance
2015 2014 Prior
€ Billions Q1 Q2 Q1 Q2 Q3 Q4 Full Year 2012 2013
United States 63.0 69.9 44.7 51.0 48.5 42.9 187.0 212.9 197.0
Asia Pacific 9.3 9.8 8.6 8.1 9.0 8.7 34.4 30.2 41.5
Europe 40.2 33.6 28.8 61.7 21.8 10.8 123.1 82.8 120.9
Source: Dealogic
2. 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:Q2 2015:Q2
250 € Billions Chemicals
Mezzanine Food & Beverage
2nd Lien Forestry & Paper
200 1st Lien Consumer Products
Telecommunications
Healthcare
Construction/Building
150
Utility & Energy
Machinery
Computers & Electronics
100 Publishing
Retail
Finance
Leisure & Recreation
EUR Billions
50
Professional Services
Insurance
Metal & Steel
0 Transportation
2014 2015
Holding Companies
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
0 1 2 3 4 5 6
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
Jun. 2013 - Jun. 2015 2006 - 2015:Q2
50 € Billions 160 € Billions
45 Europe
140
US
40
120
35
100
30
25 80
20 60
15
40
10
20
5
0 0
Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Q2
Source: Standard & Poor's LCD Source: Standard & Poor's LCD
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
Second Quarter 20152.5. 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:Q2 Jun. 2012 - Jun. 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 Q2 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15
Source: Standard & Poor's LCD Source: Thomson Reuters LPC/SMi
2.7. Institutional and Pro Rata Spreads 2.8. Mezzanine Spread
Institutional and Pro Rata Spreads Mezzanine Spread
Jun. 2010 - Jun. 2015 Jun. 2010 - Jun. 2015
500 Basis Points Basis Points
Institutional 1,200
Pro Rata
450
1,000
400 800
600
350
400
300
200
Mezzanine
250 0
Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15
Source: Dealogic, AFME, SIFMA Source: Dealogic, AFME, SIFMA
3. 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:Q2 2006 - 2015:Q2
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 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
Sources: Dealogic, Thomson Reuters LPC Sources: Dealogic, Thomson Reuters LPC
5
AFME High Yield Division
Second Quarter 20153.3. European Corporate Bonds Outstanding 3.4. European Corporate Bonds Maturity Wall
European Corporate Bonds Outstanding European Corporate Maturity Wall
2013:Q2 - 2015:Q2 2015:Q2
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
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 0
2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030
2013 2013 2013 2014 2014 2014 2014 2015 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:Q2 Technology 2015:Q2
Utilities
1.4% 300 € Billions
Communications 3.8%
15.8%
Materials
11.4% 250
200
Industrials
Consumer 6.0%
Discretionary
11.4% Health Care 150
2.3%
Governments
100
0.3%
Consumer Staples
4.6%
50
Financials
33.5%
0
Energy BB+ BB BB- B+ B B- CCC+ CCC Remaining
9.5% HY
Sources: Bloomberg, AFME, SIFMA Source: Bloomberg, AFME, SIFMA
3.7. 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:Q2 2015:Q2
18 EUR Billions 18 EUR Billions
B
16 16
BB
14 CCC 14
NA/NR
12 12
10 10
8 8
6 6
4 4
2 2
0 0
Developed Emerging3.9. European HY Use of Proceeds
European HY Issuance By Use of Proceeds
2006 - 2015:Q2
100%
90%
80%
70%
60%
50%
Other
40%
Restructuring
30% Repay Debt/Refinancing
20% LBO/MBO
General Corporate Purposes
10%
Acquisitions
0%
2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
Source: Dealogic, AFME/SIFMA
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
European Developed Market HY Bond Issuance European Developed Market HY Issuance by Currency
2006 - 2015:Q2 2006 - 2015:Q2
120 € Billions # of Deals 250 120 € Billions
Europe Developed HY Other
100 # of Deals (Right) 100 USD
200
GBP
80 80 EUR
150
60 60
100
40 40
50
20 20
0 0 0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
Source: Dealogic Source: Dealogic
4.3. 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:Q2 2015:Q2
Auto/Truck
Telecommunications Germany
Finance France
Retail
Chemicals United Kingdom
Computers & Electronics Italy
Transportation
Switzerland
Healthcare
Metal & Steel Netherlands
Construction/Building
Spain
Professional Services
Consumer Products Luxembourg
Leisure & Recreation Norway
Forestry & Paper
Real Estate/Property Ireland
Utility & Energy Jersey
Mining
€ Billions
€ Billions
Oil & Gas Serbia
Machinery Greece
Agribusiness
Dining & Lodging Belgium
0 2 4 6 8 10 0 1 2 3 4 5 6 7 8
Source: Dealogic Source: Dealogic
7
AFME High Yield Division
Second Quarter 20154.5. 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, Sponsored vs Corporate
2006 - 2015:Q2 2006 - 2015:Q2
120 € Billions 80 € Billions
Floating Europe LBO
70
100 Fixed Europe Corporate
60
80
50
60 40
30
40
20
20
10
0 0
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
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:Q2 2015:Q2
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 Q2
0
2011 2012 2013 2014 2015 Developed Europe
Source: Dealogic, AFME/SIFMA Sources: Bloomberg, AFME, SIFMA
4.9. European Developed Market HY Bond Issuance
Amount
Issuer Industry Group Date Currency (Millions) Coupon Moodys S&P Fitch
Co-operative Bank plc Finance 26/06/2015 GBP 250 8.500
ArcelorMittal SA Metal & Steel 25/06/2015 CHF 225 2.500 Ba1 BB BB+
Kirk Beauty One GmbH Consumer Products 24/06/2015 EUR 335 8.750 Caa1 CCC+
EUR 300 6.250 B1
CNH Industrial Capital LLC Finance 23/06/2015 USD 600 3.875 Ba1 BB
AerCap Ireland Capital Ltd Finance 22/06/2015 USD 500 4.625 Ba2 BB+ BB+
USD 500 4.250 Ba2 BB+ BB+
WFS Global SAS Transportation 19/06/2015 EUR 225 9.500 B2 B
New Look Secured Issuer plc Retail 12/06/2015 GBP 200 8.000 Caa1 CCC
EUR 415 6.500 B1 B
GBP 700 6.500 B1 B
Ephios Bondco plc Healthcare 12/06/2015 EUR 300 6.250 B3 B
EUR 500 6.250 B3 B
Grupo Antolin Dutch BV Auto/Truck 10/06/2015 EUR 400 5.125 B1 BB-
PizzaExpress Financing 2 plc Dining & Lodging 02/06/2015 GBP 55 6.625 B2 B
NXP BV Computers & Electronics 02/06/2015 USD 600 4.125 Ba3 BB
USD 400 4.625 Ba3 BB
Altice US Finance SA Telecommunications 29/05/2015 USD 320 7.750 Caa2 CCC+
USD 300 7.750 Caa1 B-
USD 1,100 5.375 Ba3 BB-
Source: Bloomberg, Dealogic
8
AFME High Yield Division
Second Quarter 2015Amount
Issuer Industry Group Date Currency (Millions) Coupon Moodys S&P Fitch
Europcar Groupe SA Transportation 27/05/2015 EUR 475 5.750 B3 B-
ArcelorMittal SA Metal & Steel 27/05/2015 USD 500 6.125 Ba1 BB BB+
USD 500 5.125 Ba1 BB BB+
Color Group ASA Transportation 26/05/2015 NOK 700 5.860
Novacap International SAS Chemicals 21/05/2015 EUR 95 4.995 B2 B
Color Group ASA Transportation 21/05/2015 NOK 700 6.300
Vistajet Transportation 20/05/2015 USD 300 7.750 B- B
Rexel SA Computers & Electronics 20/05/2015 EUR 500 3.250 Ba3 BB BB
Diana Shipping Inc Transportation 20/05/2015 USD 55 8.500
Permanent tsb plc Finance 18/05/2015 EUR 300 2.375 B2 B+
Veneto Banca ScpA Finance 13/05/2015 EUR 40 6.944
UPCB Finance IV Ltd Telecommunications 13/05/2015 USD 340 5.375 Ba3 BB
Det norske oljeselskap ASA - DETNOR Oil & Gas 13/05/2015 USD 300 10.250
Golar LNG Partners LP Transportation 11/05/2015 USD 150 4.684
Autodis SA Auto/Truck 11/05/2015 EUR 60 6.500 B2 B+
Petra Diamonds US$ Treasury plc Mining 06/05/2015 USD 300 8.250 B2 B+
Alliance Automotive Group SAS Auto/Truck 06/05/2015 EUR 65 6.250 B2 B+
Exmar NV Transportation 04/05/2015 NOK 300 5.800
Cirsa Funding Luxembourg SA Leisure & Recreation 28/04/2015 EUR 500 5.875 B3 B+
Permanent tsb plc Finance 27/04/2015 EUR 125 8.625
ZF North America Capital Inc Auto/Truck 24/04/2015 USD 1,500 4.750 Ba2 BB
USD 1,000 4.500 Ba2 BB
USD 1,000 4.000 Ba2 BB
Sacyr SA Construction/Building 24/04/2015 EUR 26 4.500
Rapid Holding AG Construction/Building 24/04/2015 EUR 400 6.625 B2 B+
Virgin Media Secured Finance plc Telecommunications 23/04/2015 USD 500 5.250 Ba3 BB-
Progroup AG Forestry & Paper 23/04/2015 EUR 250 5.125 B1 B+
EUR 250 5.125 B1 B+
JH-Holding Finance SA Finance 23/04/2015 EUR 125 8.250
INEOS Finance plc Chemicals 23/04/2015 EUR 770 4.000 Ba3 BB-
Novalis SAS Professional Services 22/04/2015 EUR 800 3.000 Ba2 BB
ZF North America Capital Inc Auto/Truck 20/04/2015 EUR 1,100 2.750 Ba2 BB
EUR 1,150 2.250 Ba2 BB
Jerrold FinCo plc Finance 17/04/2015 GBP 100 9.750 BB- BB-
Heidelberger Druckmaschinen AG Machinery 17/04/2015 EUR 205 8.000 Caa1 CCC+
Anglian Water (Osprey) Financing plc Utility & Energy 17/04/2015 GBP 210 5.000 Ba3 BB+
Matterhorn Financing & Cy SCA Telecommunications 16/04/2015 CHF 450 4.875 B2 B
EUR 1,000 3.875 B2 B
CHF 450 3.625 B2 B
EUR 1,000 3.875 B2 B
International Personal Finance plc Finance 16/04/2015 EUR 100 BB+
Abengoa Finance SAU Construction/Building 16/04/2015 EUR 375 7.000 B2 B+ B
Unipol Banca SpA Finance 15/04/2015 EUR 65 3.150 Ba2 NR
SPCM SA Chemicals 15/04/2015 EUR 550 2.875 BB+ NR
Moy Park (Bondco) plc Agribusiness 14/04/2015 GBP 100 6.250 B1 B+
Fiat Chrysler Automobiles NV Auto/Truck 09/04/2015 USD 1,500 5.250
USD 1,500 4.500 B2 BB- BB-
Hikma Pharmaceuticals plc Healthcare 08/04/2015 USD 500 4.250 Ba1 BB+
Adler Real Estate AG Real Estate/Property 02/04/2015 EUR 300 4.750
Source: Bloomberg, Dealogic
9
AFME High Yield Division
Second 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:Q2 2006 - 2015:Q2
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 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
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:Q2 2015:Q2
Telecommunications Serbia
€ Billions € Billions
0.0 0.1 0.2 0.0 0.1 0.2
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:Q2 2006 - 2015:Q2
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 Q2 2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
Source: Dealogic Source: Dealogic
10
AFME High Yield Division
Second 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:Q2 2015:Q2
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 Q2
0
2011 2012 2013 2014 2015 Emerging Europe
Source: Dealogic, AFME/SIFMA Sources: Bloomberg, AFME, SIFMA
5.9. Emerging Market HY Bond Issuance
Amount
Issuer Industry Group Date Currency (Millions) Coupon Moodys S&P Fitch
United Group BV Telecommunications 21/04/2015 EUR 150 7.875 B2 B NA
†tIK (tayment in Kind); ‡5ebut issue Source: Bloomberg, Dealogic
11
AFME High Yield Division
Second 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
Jun. 2010 - May 2015 2008 - 2015:Q2
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
Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 2008 2009 2010 2011 2012 2013 2014 Q2
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:Q2
2008 - 2015:Q2 Automotive
250 # Of Issuers 100% Bank
Upgrades Capital Goods
90%
Downgrades Chemicals, Packaging and Environmental Services
200 Downgrade/Upgrade Ratio (Right) 80% Consumer Products
Financial Institutions
70%
Forest Products and Building Materials
150 60% Health Care
High Technology
50%
Home/Real Estate Companies
100 40% Insurance
Metals, Mining and Steel
30%
Oil and Gas Exporation and Production
50 20% Retail/Restaurants
Sovereign Downgrades
10%
Telecommunications Upgrades
0 0% Transportation
2014 2015
2008 2009 2010 2011 2012 2013 2014 Q2 0 5 10 15 20 25
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:Q2
Sovereign
Home/Real Estate Companies
Consumer Products
Downgrades
Bank
Upgrades
0 1 2 3
Source: Standard & Poor's
1
Numbers include both corporate and sovereigns.
2
Numbers include both corporate and sovereigns.
12
AFME High Yield Division
Second Quarter 20156.6. European Defaults
Issuer Industry Group Country Date Reported By Reason
Far-Eastern Shipping Co. PLC Transportation Russia May 2015 S&P Debt Exchange
Piraeus Bank S.A. Bank Greece June 2015 S&P Regulatory Intervention
Eurobank Ergasias S.A. Bank Greece June 2015 S&P Regulatory Intervention
Alpha Bank A.E. Bank Greece June 2015 S&P Regulatory Intervention
National Bank of Greece S.A. Bank Greece June 2015 S&P Regulatory Intervention
Source: Moody's, Standard & Poor's
13
AFME High Yield Division
Second Quarter 20157. Relative Value
7.1. European HY Bonds, Cash vs. Synthetic
Bonds, Cash vs. Synthetic
Jun. 2010 - Jun. 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
Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-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:Q2 2006 - 2015:Q2
80 Percentage 50 Percentage
40
60
30
40 20
10
20
0
0 -10
ELLI
-20
-20 ELLI (EUR-denominated only)
-30
-40 -40
2014 2015 2014 2015
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
2006 2007 2008 2009 2010 2011 2012 2013 2014 Q2
Source: Bank of America-Merrill Lynch Source: Standard and Poor's LCD
8.3. Asset Class Total Return, Quarter
Asset Class Total Returns
2015:Q2
S&P ELLI
Global Fallen Angel HY
Russell 2000
U.S. HY
S&P 500
MCSI EM
U.S. ABS/MBS
Euro HY CCC and Lower Rated
Euro Fallen Angel HY
Euro HY B Rated
U.S. Mortgages 30Y
U.S. Municipal
Euro High Yield
Euro HY BB rated
EMU Covered Bonds
U.S. Treasuries
Percentage
EMU ABS/MBS
EMU Financial Corporates
U.S. Corporates
U.S. HY Distressed
-4 -3 -2 -1 0 1 2
Source: BofA-ML, Bloomberg
14
AFME High Yield Division
Second 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
15
AFME High Yield Division
Second 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-
16
AFME High Yield Division
Second 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.
17
AFME High Yield Division
Second 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. As information is
collected from multiple sources and estimates by the indi-
vidual sources may differ from one another, estimates for
similar types of data could vary within the Report.
18
AFME High Yield Division
Second 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
