The average bid of LCD’s European loan flow-name composite rose 16 bps during the week ended Nov. 11, to 98.66% of par. The average is now 5 basis points above 2020’s closing level.
LCD’s broad secondary composite — which reflects a wider universe of deals — rose 5 bps in the week ended Nov. 11, to 97.27%, and is now up 423 bps in the year to date.
Advancers lead decliners
Advancers led decliners on a week-on-week basis. Eight facilities advanced by an average of 20 bps, led by Merlin's TLB which added 56 bps, while only one facility declined, as TK Elevator's TLB fell 5 bps. Cerba's TLB was unchanged.
Advancers led decliners on a month-on-month basis, as nine facilities rose by an average of 30 bps, while one facility fell by 37 bps.
In LCD’s broad secondary composite, advancers led decliners on a weekly and monthly basis.
Bid/ask spread tightens
The average bid/ask spread of the flow names tightened 3 bps over the week, to 46 bps. The bid/ask spread is currently 46 bps below 2020’s final reading.
The average bid/ask spread for the broad composite tightened 2 bps over the week, to 96 bps. The average bid/ask spread for the most-liquid segment of the broad composite tightened to 1 bp to 64 bps, while the average bid/ask spread for the least-liquid segment tightened 4 bps to 159 bps.
Discounted spread tightens
The average discounted spread to maturity tightened 4 bps over the week, to 412 bps. The average spread is 3 bps wider since the beginning of the year.
S&P European Leveraged Loan Index
The ELLI distress ratio — defined as the share of performing loans trading below 80 — rose to 2.47% in October, from 2.22% in September. At the end of 2020, the ratio stood at 3.42%.
Using a start date of Dec. 31, 2003, the Sharpe ratio for the ELLI (based on total return excluding currency) was 0.56 at the end of October, steady from September's level. The Sharpe ratio for the MLEHY at the end of October was 0.64, a slight decrease from September's level of 0.65.
U.S./Europe comparison
The average bid of LCD's U.S. loan flow-name composite increased 11 bps during the week ended Nov. 11, to 99.38% of par. The average bid is 38 bps above the final reading of 2020.
The gap between the average bids of the U.S. and European flow-names widened 5 bps, with European names trading at a discount to U.S. names since the May 13 reading.
The average bid/ask spread for the U.S. flow names tightened 4 bps to 28 bps, while the average spread to maturity across the U.S. flow-name composite stayed the same at L+300. The average spread to maturity of the European composite currently leads its U.S. counterpart by 117 bps.
The U.S. flow names are Akzo Nobel, Avolon Aerospace, BMC Software, Asurion, Charter Communications, Dell, Grifols, Hub International, Nielsen, Pilot Travel Centers, Scientific Games, Univision, Valeant Pharma, Virgin Media and Zayo Group.
The European flow names are AkzoNobel, Cerba, EG Group, Flora Food, Merlin, Numericable, Sivantos, Techem, TK Elevator and Verisure.
