Data

Share this page
Close
Julio Suarez
AFME European High Yield and Leveraged Loan Report: Q1 2020
26 Jun 2020
The Report contains European leveraged finance market trends for the first quarter of 2020, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance(leveraged loans and high yield bonds) accumulated €68.0 billion in proceeds 1Q’20, a 15.3% decrease from €80.3 billion in 4Q’19 but an increase from €46.4 billion in 1Q’19. This quarterly decrease was driven mainly by a decrease in leveraged loan issuance. Primary high yield issuancetotaled €29.2 billion on 71 deals in 1Q’20, a 13.9% decrease in volume from €33.9 billion on 67 deals in 4Q’19 and a 70.7% increase from €17.1 billion on 40 deals in 1Q’19. The proportion of USD-denominated issuance decreased to 24.2% of all issuance in 1Q’20, down from 26.0% in 4Q’19 and from 34.8% in 1Q’19. The leading use of proceeds for high yield bonds issuance in 1Q’20 were general corporate purposes with €13.2 billion. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €38.8 billion on 73 deals in 1Q’20, down 16.3% from €46.4 billion on 67 deals in 4Q’19 and a 32.3% increase from €29.3 billion on 60 deals in 1Q’19. 59.4% of deals financed in the 1Q’20 were issued for refinancing and/or repayment of debt, down from 67.9% in 4Q’19 but up from 39.9% in 1Q’19. Pricing spreads for institutional loans tightened by 26 basis points (bps) q-o-q and by 46 bps y-o-y. Spreads for pro rata loans widened by 7 bps q-o-q and by 25 bps y-o-y. Credit quality: S&P reported the trailing 12-month speculative-grade default rate at 2.4% as of March 2020, an increase from 2.2% in December 2019 and from 2.0% in March 2019. Moody’s reported the trailing 12-month speculative-grade default rate at 1.7% in March 2020, up from 1.5% in December 2019 and from 1.0% in March 2019. Four bond-related defaults were reported in the first quarter of 2020 by S&P and Moody’s, three in developed market Europe and one in emerging market Europe. In the first two months of 2Q’20, 11 bond-related defaults were reported by S&P and Moody’s, with missed interest payment as the most common reason for default. According to Moody’s, downgrades exceeded upgrades in Europe (76 downgrades to 4 upgrades), a worse ratio than 34 downgrades to 6 upgrades in 4Q’19 and than 16 downgrades to 10 upgrades in 1Q’19.
Julio Suarez
AFME Prudential Data Report Q1 2020
22 Jun 2020
This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2020. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as of June 2020. Among the main findings of this report: European systemically important banks (GSIBs) reported in 1Q20 a decline in their capital ratios on the back of increased balance sheet use to support the COVID-19 economic recovery. Total assets expanded 10% QoQ, exposure measure increased 6.7% QoQ while RWAs rose 2% QoQ. European GSIBs end-point CET1 ratio decreased to 13.4% in 1Q20, from 13.6% in 4Q19. End-point Tier 1 ratios decreased to 15.0% in 1Q20, from 15.3% in 4Q19. End-point Leverage ratios (LR) decreased to 4.6% in 1Q20 from 4.9% in 4Q19. Liquidity Coverage Ratio (LCR) increased to 142.1% in 1Q20, from 140.4% in 4Q19, driven by a c18% increase in cash and central bank deposits. TLAC ratio stood at 25.7% relative to RWAs and 8.0% as a percentage of leverage exposure. Contingent Convertibles (CoCo): CoCo issuance was abruptly interrupted during the months of March and April due to the sharp increase in CoCo risk premia as a result of the market turbulence generated by the COVID-19 outbreak. The CoCo market has recently reopened with the issuance of €3.8bn in proceeds since May-20. These notes, however, have been issued with higher coupon rates compared to those issued in 1Q20 (5.8% in 2Q20 vs. 4.6% in 1Q20 for fixed rate bonds). BOX: Pages 21-23 provide a summary of the recently approved targeted changes to the Capital Requirements Regulation (CRR) – “CRR quick fix” The CRR quick fix will complement supervisory measures to ensure that banks have sufficient capacity going forward, although this should be kept under review given the unprecedented scale of the present crisis.
Julio Suarez
AFME Securitisation Data Report Q1 2020
17 Jun 2020
AFME is pleased to circulate its Q1 2020 Securitisation Data Report. Please note that there have been some changes in sources used and methodology; these have been noted in the Report. A full statement regarding our methodology is available here. Main findings: In Q1 2020, EUR 30.1 billion of securitised product was issued in Europe, a decrease of 61.7% from Q4 2019 and a decrease of 2.3% from Q1 2019. Of the EUR 30.1 billion issued, EUR 21.4 billion was placed, representing 71.1% of issuance, compared to the 46.1% of issuance in Q4 2019 and the 63.3% of issuance in Q1 2019. Outstanding volumes (excluding outstanding CLOs) fell slightly to EUR 0.99 trillion outstanding at the end of Q1 2020, a decrease of 1.8% QoQ and 0.02% YoY. Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2020, with upgrades concentrated in RMBS, both conforming and non-conforming. Regulatory update: The implementation of the Level 2 legislation under the STS Framework is still progressing. However, some of the key elements of the Securitisation Framework are still pending finalisation. Included in this report is a breakdown of the Securitisation Regulation and CRR Level 2 mandates by article number and status by date of completion. On 8 April the EC launched a consultation on its Renewed Sustainable Finance Strategy which includes a section on green securitisation. Among other questions, the EC is requesting feedback on the need for a dedicated regulatory and prudential framework for green securitisation. AFME is preparing its response.
Julio Suarez
Initial Impact of COVID-19 on European Capital Markets
19 Apr 2020
AFME has published a new research note on the“Initial impact of COVID-19 on Europe’s capital markets”.The report analyses the significant impact that Covid-19 has had across all major capital markets sectors including: equities (IPOs and secondary), fixed income primary and secondary (sovereigns, corporates, securitisation, high yield, leveraged finance), FX, derivatives, and banks. The report also highlights AFME’s initiatives to support markets during the COVID-19 crisis. Key findings: European capital markets have continued to operate well following the outbreak of COVID-19, with liquidity ranging from very good to mixed, depending on the sector.In fact, there have been record volumes of new issuance in certain sectors. Issuance of investment grade corporate bonds surpassed EUR 50bnin the first week of April; this amount was also the highest weekly amount ever issued in Europe.French companies have been particularly active in this respect.This is remarkable, given that many, if not most, financial market participants are working remotely. Markets are more volatile than a few months ago, which has made it costly for some companies to list through IPOs. IPO issuance on European exchanges has declined 83%compared to a year ago. Markets have been playing their role in providing liquidity, price formation, and timely clearing and settlement procedures, contributing to capital allocation and helping investors manage their portfolios.Equity average daily trading has surged 94%year on year in March-20,corporate bond trading increased 31% year on year in Q1 2020,andFX trading rose 61% year on yearin March-20. The rapid increase in securities trading and post-trade activity has been carried out without any major disruption from a business continuity perspective. Securitisation secondary markets have suffered disproportionate reductions in liquiditydue to central bank support which is more limited in scope and slower and more difficult to access than for other fixed income sectors. Banks operating in Europe are well-positioned from a solvency and liquidityperspective to support households and businesses during this period of abnormal economic pressure.
Julio Suarez
Prudential Data Report: Q4 2019
9 Apr 2020
This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statisticsas at 31 December 2019. It also illustrates the recent performance of the debt and contingent convertibles(CoCo) markets and the funding structure for banks in Europe as of end of March 2020. Among the main findings of this report: EU systemically important banks* (EU GSIBs) reported in 4Q19 the highest quarterly solvency ratios in records (since our records began in 2013). Amidst the current COVID-19 global pandemic, European banks are significantly well positioned from a solvency and liquidity perspective to continue to support the economy and facilitate risk management. European banks have consistently built up their capital and liquidity buffers over the last years through a combination of internal restructuring, profit generation and external capital raising. EU GSIBs end-point CET1 ratio increased to 13.6% in 4Q19, from 13.1% in 4Q18. End-point Tier 1 ratios increased to 15.3% in 4Q19, from 14.8% in 4Q18. End-point Leverage ratios (LR) increased to 4.9% in 4Q19 from 4.8% in 4Q18. Liquidity Coverage Ratio (LCR) declined to 140.4% on a weighted average basis in 4Q19, from 141.3% in 4Q18. TLAC ratio stood at 26.1% relative to RWAs and 8.4% as a percentage of leverage exposure. The amount of new capital raised during 2019 by EU banks totalled €28.1 bn, €4bn above the amount raised in 2018. The amount of fresh capital raised was almost exclusively in the form of contingent convertible (CoCo) bonds. CoCo risk premia (option-adjusted spreads) has increased by 365bps in 2020YtD, from record lows observed during the first two months of the year. Markets are likely pricing the potential repercussions COVID-19 on banks’ future earnings. The increase in CoCo spreads was mirrored by a sudden stop in CoCo issuance by European banks. BOX: Pages 22-29 provide an overview of the most recent COVID-19 regulatory decisions in Markets and Prudential dossiers and AFME responses where relevant. COVID-19 has had significant implications for AFME members globally with many having to focus resources on managing business continuity issues. AFME is working with official sector authorities to ensure that its members can continue to support their clients during these challenging times.
Julio Suarez
European High Yield and Leveraged Loan Report: Q4 2019
24 Mar 2020
The Report contains European leveraged finance market trends for the fourth quarter of 2019, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) increased to €80.3 billion in 4Q’19, a 4.9% increase from €76.5 billion in 3Q’19 and an over twofold increase from €35.2 billion in 4Q’18. Primary high yield issuance totaled €33.9 billion on 67 deals in 4Q’19, a 8.4% increase in volume from €31.3 billion on 58 deals in 3Q’19 and an almost fourfold increase from €6.9 billion on 22 deals in 4Q’18. The proportion of USD-denominated issuance decreased to 26.0% of all issuance in 4Q’19, down from 31.1% in 3Q’19 but up from only 8.8% in 4Q’18. The leading use of proceeds for high yield bonds issuance in 4Q’19 were general corporate purposes with €17.7 billion. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €46.4 billion on 67 deals in the fourth quarter of 2019, up 2.5% in volume from €45.2 billion on 69 deals in 3Q’19 and a 64.1% increase from €28.2 billion on 66 deals in 4Q’18. Over two-thirds (67.9%) of deals financed in the fourth quarter of 2019 were issued for refinancing and/or repayment of debt, up from 47.9% in 3Q’19 and up from 66.7% in 4Q’18. Pricing spreads for institutional loans tightened by 12 basis points (bps) q-o-q but widened by 10 bps y-o-y. Spreads for pro rata loans widened by 47 bps q-o-q and by 38 bps y-o-y. Credit quality: S&P reported the trailing 12-month speculative-grade default rate at 2.2% as of December 2019, an increase from 2.1% in September 2019 and from 2.0% in December 2018. Moody’s reported the trailing 12-month speculative-grade default rate at 1.5% in December 2019, up slightly from 1.4% in September 2019 but down from 2.0% in December 2018. Six bond-related defaults were reported in the fourth quarter of 2019 by Standard and Poor’s and Moody’s, all in developed market Europe. The most common reason for default in 4Q’19 was distressed exchange. According to S&P, downgrades exceeded upgrades in developed market Europe (36 downgrades to 19 upgrades), a slightly better ratio than 36 downgrades to 14 upgrades in 3Q’19 but worse than 39 downgrades to 27 upgrades in 4Q’18. Likewise, according to Moody’s, in 4Q’19 downgrades exceeded upgrades in Europe (34 downgrades and 6 upgrades), a slightly better ratio than 34 downgrades and 1 upgrade in 3Q’19 but significantly worse than 31 downgrades and 16 upgrades in 4Q’18.
Loading...