瑞信- 欧洲杠杆信贷-european leveraged loan weekly

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1、THISISNOTINDEPENDENTRESEARCHANDISINTENDEDFORINSTITUTIONALCLIENTSONLYEuropeanLeveragedFinanceSectorStrategyEuropeanLeveragedLoansPublished:23June2017,09:10UKTLeeHope+442078880163lee.hope@credit-suisse.comYashBhatt+442078883811yash.bhatt@credit-suisse.comEuropeanLevera

2、gedLoanWeeklyAllfacilitylevelinformationincludedinthispublicationhasbeencollectedfrompubliclyavailablesourcesandloanpricingindicationsarecalculatedfromthemid-priceasofthecloseofbusinessofthedateindicated.EuropeanLeveragedLoanMarketPerformance–MacroDataExhibit1:Cumula

3、tiveYTDTotalReturnExhibit2:AveragePriceAsperCreditSuisseWesternEuropeanLeveragedLoan/HYIndex(alldeno.)AsperCreditSuisseWesternEuropeanLeveragedLoanIndex(alldeno.)CSWELeveragedLoanIndex(alldeno.)CSWEHYIndex(alldeno.)CSWELeveragedLoan(alldeno.)CSWELeveragedLoan-excludi

4、ngdefaults(alldeno.)4.5%4.0%4.14%99.1699.098.743.5%22-Jun-173.0%2.5%97.02.0%1.91%1.5%95.01.0%22-June-170.5%0.0%01-Jan-1708-Jan-1715-Jan-1722-Jan-1729-Jan-1705-Feb-1712-Feb-1719-Feb-1726-Feb-1705-Mar-1712-Mar-1719-Mar-1726-Mar-1702-Apr-1709-Apr-1716-Apr-1723-Apr-1730-

5、Apr-1707-May-1714-May-1721-May-1728-May-1704-Jun-1711-Jun-1718-Jun-1793.001-Jan-1501-Feb-1501-Mar-1501-Apr-1501-May-1501-Jun-1501-Jul-1501-Aug-1501-Sep-1501-Oct-1501-Nov-1501-Dec-1501-Jan-1601-Feb-1601-Mar-1601-Apr-1601-May-1601-Jun-1601-Jul-1601-Aug-1601-Sep-1601-Oc

6、t-1601-Nov-1601-Dec-1601-Jan-1701-Feb-1701-Mar-1701-Apr-1701-May-1701-Jun-17Source:CreditSuisse.Source:CreditSuisse.Exhibit3:DiscountMargin–3-yearlifeExhibit4:AveragePrice:LeveragedLoansvs.HYAsperCreditSuisseWesternEuropeanLeveragedLoan(alldeno.)AsperCreditSuisseWest

7、ernEuropeanLeveragedLoan/HYIndex(alldeno.)DiscountMargin(3-yearlife)-CSWELeveragedLoan(alldeno.)CSWELeveragedLoanIndex(alldeno.)CSWEHYIndex(alldeno.)650.0110.0630.0105.0102.31610.0100.098.74590.095.0570.0550.090.022-Jun-17530.085.0510.080.0490.075.0470.070.0450.065.0

8、430.0410.0405bps60.0390.055.022-Jun-17370.001-Jan-1501-Feb-1501-Mar-1501-Apr-1501-May-1501-Jun-1501-Jul-1501-Aug-1501-Sep-1501-Oct-