The Credit Crunch and The Brave New World of Loans

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Reuters Forum

• The Credit Crunch and The Brave New World of Loans

13 November 2007
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Panel discussion

• Meredith Coffey, Director of Analysis
• Reuters LPC
• Ian Hazelton, 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

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Loans were stable, un-correlated with other
credit asset classes Until summer 2007
Loan bond bids (US and Europe)
Price ( of par)
Source LSTA/LPC Mark-to-Market Pricing, RLPC
European Mark-to-Market Pricing, Merrill Lynch
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Bids on CDS and LCDS move together in Europe and
the U.S
U.S. Bid levels (CDX HY, LCDX)
Europe Bid levels (iTraxx XO, LevX Sr)
Bid ( of par)
Bid ( of par)
Source Reuters 3000 XTRA/CreditViews Markit
LSTA/LPC MTM Pricing
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LCDS-cash loan relationship lagged in Europe and
U.S.
Bid levels (LevX Sr,, European liquid loans)
Bid levels (LCDX and U.S. liquid loans)
Bid ( of par)
Bid ( of par)
Source Reuters 3000 XTRA/CreditViews Markit
LSTA/LPC MTM Pricing RLPC European MTM Pricing
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U.S. price correlation across CDS HY, LCDX
Source Reuters 3000 XTRA/CreditViews Markit
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European price correlation LevX-iTraxx
Crossover(6) (Before and after launch of LCDX)
Source Reuters 3000 XTRA/CreditViews Markit
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How correlated will the loan market be?
Loan correlation will it stick?
Correlation jumps across asset classes
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Questions
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Thank you for coming