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European loan prices soften, led by Techem's TLB

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Global M&A By the Numbers: Q2 2021

European loan prices soften, led by Techem's TLB

The average bid of LCD's European loan flow-name composite fell 11 basis points during the five trading days ended June 24, to 98.95% of par. The average is now 34 basis points above 2020's closing level.

LCD's broad secondary composite — which reflects a wider universe of deals — fell 2 basis points during the week ended June 24, to 95.24%, and is now 220 bps above the 2020 closing bid.

Advancers lag decliners

Advancers lagged decliners on a week-on-week basis. Only one facility advanced as Masmovil's term loan B added 1 basis point, while nine facilities declined by an average of 12 bps, led by Techem's TLB which lost 40 bps.

Advancers lagged decliners on a month-on-month basis as four facilities rose by an average of 5 basis points, while six facilities fell by an average of 27 bps.

In LCD's broad secondary composite, advancers lagged decliners on a weekly basis but led them on a monthly basis.

Bid/ask spread widens

The average bid/ask spread of the flow names widened one basis point to 48 bps. The bid/ask spread is currently 25 bps below 2020's final reading.

The average bid/ask spread for the broad composite tightened 1 basis point over the week, to 116 bps. The average bid/ask spread for the most liquid segment of the broad composite widened 1 basis point to 66 bps, while the average bid/ask spread for the least liquid segment tightened 4 basis points to 185 bps.

Discounted spread tightens

The average discounted spread to maturity widened 3 basis points to 406 bps. The average spread is 3 basis points tighter since the beginning of the year.

S&P European Leveraged Loan Index (ELLI)

The ELLI distress ratio — defined as the share of performing loans trading below 80 — was 2.79% for May, up from 2.64% for April. At the end of 2020, the ratio stood at 3.40%.

Using a start date of Dec. 31, 2003, the Sharpe ratio for the ELLI (based on total return excluding currency) was 0.55 at the end of May, steady from April. The Sharpe ratio for the MLEHY at the end of May was 0.64, also steady from April's level.

US/Europe comparison

The average bid of LCD's U.S. loan flow-name composite fell 13 bps during the week ended June 24, to 99.22% of par. The average bid is 22 bps above the final reading of 2020.

The gap between the average bids of the U.S. and European flow-names tightened 3 basis points to 26 bps, with the European names trading at a discount to the U.S. names for the seventh consecutive week.

The average bid/ask spread for the U.S. flow names tightened 1 basis point to 33 bps, while the average spread to maturity across the U.S. flow-name composite widened 3 basis points to L+303. The average spread to maturity of the European composite currently leads its U.S. counterpart by 103 bps.

The U.S. flow names are Akzo Nobel, Avolon Aerospace, BMC Software, Asurion, Charter Communications, Dell, Grifols, Hub International, Nielsen, Scientific Games, Univision, Valeant Pharma, VICI Properties, Virgin Media and Zayo Group.

The European flow names are AkzoNobel, Ceva Sante Animale, Flora Food, Masmovil, Merlin, Numericable, Sivantos, TDC, Techem and Verisure.