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The Credit Crunch and The Brave New World of Loans

Reuters Forum. The Credit Crunch and The Brave New World of Loans. 13 November 2007. Panel discussion:. Meredith Coffey , Director of Analysis Reuters LPC Ian Hazelton , Chief Executive, Babson Capital Europe Limited Tom Johannessen , Head of Secondary Sales & Trading,

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The Credit Crunch and The Brave New World of Loans

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  1. ReutersForum The Credit Crunch and The Brave New World of Loans 13 November 2007

  2. Panel discussion: • Meredith Coffey, Director of Analysis Reuters LPC • IanHazelton, Chief Executive, Babson Capital Europe Limited • Tom Johannessen, Head of Secondary Sales & Trading, Dresdner Kleinwort • Vijay Rajguru, Partner Goldentree Asset Management • David Slade, Head of Syndication Credit Suisse

  3. Loan & bond bids (US and Europe) Price (% of par) Loans were stable, un-correlated with other credit asset classes… Until summer 2007 Source: LSTA/LPC Mark-to-Market Pricing, RLPC European Mark-to-Market Pricing, Merrill Lynch

  4. Europe: Bid levels (iTraxx XO, LevX Sr) U.S.: Bid levels (CDX HY, LCDX) Bid (% of par) Bid (% of par) Bids on CDS and LCDS move together in Europe and the U.S Source: Reuters 3000 XTRA/CreditViews; Markit; LSTA/LPC MTM Pricing

  5. Bid levels (LevX Sr,, European liquid loans) Bid levels (LCDX and U.S. liquid loans) Bid (% of par) Bid (% of par) LCDS-cash loan relationship lagged in Europe and U.S. Source: Reuters 3000 XTRA/CreditViews; Markit; LSTA/LPC MTM Pricing; RLPC European MTM Pricing

  6. U.S. price correlation across CDS HY, LCDX Source: Reuters 3000 XTRA/CreditViews; Markit

  7. European price correlation: LevX-iTraxx Crossover(6) (Before and after launch of LCDX) Source: Reuters 3000 XTRA/CreditViews; Markit

  8. Loan correlation – will it stick? Correlation jumps across asset classes How correlated will the loan market be?

  9. Questions

  10. Thank you for coming

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