Floating-Rate Loan Market Monitor - Q3 2020 - Eaton Vance
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Q3 2020 Floating-Rate Loan Market Monitor FLOATING-RATE LOAN GROUP
2 Floating-Rate Loan Market Monitor | Q3 2020
Table of Contents
A leader in floating-rate loan investment management, Eaton Vance
Asset Class Review 3
presents Floating-Rate Loan Market Monitor, an in-depth review of
Market Update 8 the loan market through clear and impactful charts. Providing
timely information across a broad array of topics relating to this
Portfolio Applications 28 distinctive asset class, Floating-Rate Loan Market Monitor serves as
a helpful resource in providing connectivity between changing
About Eaton Vance 32
market events and implications for investors’ loan allocation.
Additional Information 35 Use Floating-Rate Loan Market Monitor to educate on the loan
market, provide updates on loan market conditions and explain the
role of loans within portfolios.
Past performance is not a reliable indicator of future results. Data provided is for informational use only. See end of material for important additional information and disclosures.Asset Class Review
4 Floating-Rate Loan Market Monitor | Q3 2020
Asset class review
Floating-Rate Loan primer
Corporate debt issued by below-investment-grade borrowers
Most issuers are significant in size and scale – and many are familiar household names
Companies undertake loans for recapitalizations, acquisitions and refinancings
Coupon income from floating-rate loans resets regularly (about every 40-60 days on average)
to maintain a fixed spread over a variable base rate, usually LIBOR
Loans are often referred to as “senior and secured”: They typically have the highest priority of
claims in an issuer’s capital structure and are secured by specific collateral
Other common monikers: bank loans, leveraged loans, senior loans (all are synonymous)
Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important additional information and
disclosures.5 Floating-Rate Loan Market Monitor | Q3 2020
Asset class review
Fundamental lending proposition
Floating-rate loans represent a senior layer Weighted Average Company Capital Structure: Sample
$4.7B Revenue & $1.0B EBITDA
of issuer capital structure
$14.0 Billion Enterprise Value
Substantial junior capital cushion provides
low loan-to-value
Secured by collateral including issuer 4.5x
Floating-Rate Loans $4,689 Million (32% of cap structure)
accounts receivable, inventory, property,
plant, equipment and/or stock
$1,459 Million 5.9x
High-Yield Bonds
(10% of cap structure)
14.0x
Equity $8,441 Million (58% of cap structure)
Fixed Charge Coverage: 2.0x
Interest Coverage: 3.7x
Source: Eaton Vance, 12/31/19. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important
additional information and disclosures. This information is for illustrative purposes only, is subject to change at any time and should not be considered investment advice or a recommendation to buy or sell any particular
security or adopt any particular strategy. The sample is an average of all loans currently tracked across the Eaton Vance loan platform as of 12/31/2019. Does not represent any particular issuer or product. EBITDA is defined
as earnings before interest taxes depreciation and amortization.6 Floating-Rate Loan Market Monitor | Q3 2020
Asset class review
Taxonomy of floating-rate loans
US Investment Grade US Floating-Rate Loans US High Yield
Size of Market $6.7 T $1.2 T $1.4 T
# of Issues 6,630 1,444 2,013
Credit Quality A3/Baa1 B+ B1
Base Rate US Treasuries LIBOR US Treasuries
Coupon Structure Fixed Floating Fixed
Duration 8.7 yrs. -- 3.9 yrs.
Yield to Worst 2.0% 5.7% 5.8%
Maturity 12.2 yrs 4.7 yrs 6.4 yrs
Sources: Bloomberg Barclays, ICE Data Indices LLC, and LCD, an offering of S&P Global Market Intelligence. Data as of 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for
informational use only. It is not possible to invest directly in an Index. See end of material for important additional information and disclosures. US Investment Grade measured by the Bloomberg Barclays US Corporate Index.
US Floating-Rate Loans measured by the S&P/LSTA Leveraged Loan Index. US High Yield measured by the ICE BofA US High Yield Index.7 Floating-Rate Loan Market Monitor | Q3 2020
Asset class review
Sample loan market issuers
Issuer Industry Maturity Date Spread Corp. Ratings
Akzo Nobel Chemicals Chemicals & Plastics Oct 2025 L+300 B+/B1
Avolon Aerospace Equipment Leasing Jan 2025 L+200 BBB-/Baa2
BMC Software Electronics/Electrical Oct 2025 L+425 B/B2
Change Healthcare Health Care Mar 2024 L+275 B+/B1
Charter Communications Cable & Satellite Television Feb 2027 L+175 BBB-/Ba1
Dell Electronics/Electrical Sep 2025 L+200 BBB-/Baa3
Grifols Drugs Jan 2025 L+200 BB+/Ba2
HUB International Insurance Apr 2025 L+300 B/B2
Nielsen Finance Publishing Oct 2023 L+200 BBB-/Ba1
Scientific Games Lodging & Casinos Aug 2024 L+275 B+/Ba3
Univision Radio & Television Mar 2024 L+275 B/B2
Valeant Pharmaceuticals Drugs Jun 2025 L+300 BB-/Ba2
VICI Properties Lodging & Casinos Dec 2024 L+225 BBB-/Ba3
Virgin Media Cable & Satellite Television Jan 2028 L+250 BB-/Ba3
Zayo Group Telecom Mar 2027 L+300 B/B1
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. This is an example
only and is not intended to represent the allocation of any fund/account/strategy. This list represents a sample of some of the larger and more liquid loans in the S&P/LSTA Leveraged Loan Index. This sample is not
necessarily representative of the other issuers in this index, which will vary based on factors including size and liquidity. This information is not to be construed as investment advice or a recommendation to buy or sell any
particular security. Investors should consult an investment professional prior to making any investment decisions. It is not possible to invest directly in an index. See end of material for important additional information and
disclosures.Market Update
9 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Floating-rate loan quarterly dashboard
Index Statistics Top 10 Industries
0% 5% 10% 15% 20%
Total Par Outstanding ($B) $1,199.28
Electronics/Electrical 15.9%
Number of Issuers 1,160 Health Care 9.5%
Business Equipment & Services 9.4%
Number of Facilities 1,444 Telecom 4.7%
Chemicals & Plastics 4.2%
Bid Price $93.18
Leisure Goods/Activities/Movies 4.0%
Nominal Spread L+352 Cable & Satellite Television 3.8%
Insurance 3.8%
Discounted Spread (3 Years) L+560
Lodging & Casinos 3.7%
Years to Maturity 4.67 yrs. Industrial Equipment 3.5%
Yield to Maturity 5.73% Maturity Breakdown
40%
28.5%
30%
23.2% 21.6%
Loan Type 20%
9.8% 10.9%
First Lien 97.35% 10%
3.7%
0.1% 1.0% 1.0% 0.2%
Second Lien 2.65%
0%
2020 2021 2022 2023 2024 2025 2026 2027 2028 2029
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. It is not possible to
invest directly in an index. See end of material for important additional information and disclosures. Maturity breakdown excludes defaulted facilities and is based on par amount outstanding. Spread, yield and maturity data
excludes defaults.10 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Floating-rate loan quarterly dashboard
Breakdown by Bid Price Breakdown by Facility Rating
Less than $70
BBB
Par and Above 2.36%
8.42%
1.91%
$70-79.99
2.70%
BB
Not Rated
21.78%
$80-$89.99 2.05%
8.24%
CCC and
Lower
Average Price: 10.24% Average Rating:
$93.18 B+
B
57.54%
$90-$99.99
84.78%
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. It is not possible to
invest directly in an index. See end of material for important additional information and disclosures. Breakdown by bid price includes performing loans only.11 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Floating-rate loan quarterly dashboard
Price Distribution Price by Credit Tier
Percent of the S&P/LSTA Leveraged Loan Index Average Bid Price of Outstanding Loans
60% $100
Below 80 80-90 90-98 98-100 Par and above
B+
$95
50%
B
$90
40% B-
$85
30% $80
$75
20% CCC+
$70
10%
$65
$60
0%
Mar 2019
May 2019
Apr 2019
Oct 2019
Feb 2020
Mar 2020
Apr 2020
May 2020
Jul 2019
Jul 2020
Jun 2019
Jan 2020
Jun 2020
Aug 2019
Sep 2019
Nov 2019
Dec 2019
Aug 2020
Sep 2020
Sept 2019 March 2020 Sept 2020
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational and illustrative purposes only. It is not possible to
invest directly in an index. See end of material for important additional information and disclosures. Data includes performing loans only in the S&P/LSTA Leveraged Loan Index.12 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Average loan prices & subsequent forward returns
October 2002 September 2011 December 2018
“Dot-com” stock market bust Fed’s “ZIRP”; Treasury downgrade Global growth fears; Trade wars
Average Price: $86.90 Average Price: $89.98 Average Price: $93.84
$105 6-Mo Forward Return: +5.97% 6-Mo Forward Return: +6.78% 6-Mo Forward Return: +5.74%
12-Mo Forward Return: +11.44% 12-Mo Forward Return: +11.27% 12-Mo Forward Return: +8.64%
$100
$95
September
$93.18
$90
$85
Loan Prices
$80
$75
December 2008 February 2016 March 2020
$70 Global Financial Crisis Commodity market fears Novel Coronavirus Scare;
“Emergency” Fed cuts
Average Price: $61.74 Average Price: $89.44
$65
Average Price: $82.85
6-Mo Forward Return: +32.18% 6-Mo Forward Return: +8.07%
$60 12-Mo Forward Return: +51.62% 12-Mo Forward Return: +12.66%
$55
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Measures average loan price of the S&P/LSTA Leveraged Loan Index and forward
returns of the Index using end-of-month data. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important additional information and disclosures.13 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Performance: Calendar year index returns 2020 Monthly Returns
January 0.56%
February -1.32%
60%
51.6% March -12.37%
50% April 4.50%
May 3.80%
Average Calendar
40% June 1.14%
Year Return
5.7% July 1.96%
30%
August 1.49%
20%
September 0.63%
10.0% 10.1% 9.7% 10.2%
7.6% 8.6%
10% 6.8%
5.3% 5.2% 5.1% 5.3%
3.7% 5.0% 4.2% 4.1%
1.9% 2.0% 1.5% 1.6% 0.4%
0%
-0.7% -0.7%
-10%
-20%
-30%
-29.1%
-40%
YTD 2020
1997
2001
2005
2009
1998
1999
2000
2002
2003
2004
2006
2007
2008
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data provided is for
informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment.14 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Performance: Distribution of quarterly returns
Negative Quarters Positive Quarters
25% 2
20% 1.8
15% 1.6
Average Quarterly
Return
10% 1.2% 1.4
Q3 2020
4.14%
5% 1.2
0% 1
-5% 0.8
5 Worst Quarterly Performances 5 Best Quarterly Performances
-10% Q4 2008 -22.94% Q2 2009 20.38% 0.6
Q1 2020 -13.05% Q3 2009 10.53%
-15% 0.4
Q3 2008 -6.99% Q1 2009 9.80%
-20% Q1 2008 -5.74% Q2 2020 9.70% 0.2
Q3 2011 -3.85% Q2 2008 4.94%
-25% 0
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data provided is for
informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment.15 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Performance: Credit tier returns
Credit Tier Performance
Q3 and YTD 2020
Q3 2020 YTD 2020
8.5%
10%
4.1% 2.8% 4.3%
2.7% 1.9%
0.0%
0%
-0.7% -0.6% -1.9%
-4.5%
-10%
-20%
-30%
-32.0%
-40%
Index BBB BB B CCC D
Credit Tier % of Index Price Spread (bps)
Index -- $93.2 L+560
BBB 8.4 $98.2 L+278
BB 21.8 $97.0 L+371
B 57.5 $95.7 L+546
CCC 8.6 $82.5 L+1291
D 1.3 $43.2 --
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data provided is for
informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment. See end of material for important additional information and disclosures. Credit
tier spreads measure discounted spread to three years over LIBOR.16 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Performance: Industry size and returns
Industry Performance
Q3 2020
Nonferrous
12% Metals/Minerals
Retailers
10%
(except food &
drug) Beverage
10% 8% & Tobacco Lodging &
7% Aerospace Casinos Publishing
& Defense 4% Cosmetics/
5% Containers Ecological
6% Toiletries
8% Oil & Gas Health Care Surface 4% & Glass
Building &
Services &
5% 5% Transport Products Equipment
4% 4% Development 3% Cable &
Conglomerates Chemicals 4% Satellite
6% 9% & Plastics Steel Television
Financial
Intermediaries
4% 4% 3%
2%
Home
4% Furnishings Leisure
8% Clothing/ Forest Goods/Activities/
Textiles Products Equipment Movies
6% 5% Leasing 2%
2% 5% Drugs
Insurance
4% Food/Drug
Automotive Industrial All 3% Retailers
5% Equipment Business Telecom Electronics/ Food Service
Food Products 3%
0% 5% Equipment 4% Electrical 4%
4% Radio &
& Services 4% Utilities Air Transport
Television 2% 1%
4%
3%
-2%
COVID-19 Impacted Industries % of Index YTD Performance Price Spread to Maturity (bps)
Air Transport 1.4% -18.8% $89.9 L+602
Oil & Gas 2.5% -11.6% $88.4 L+776
Leisure Goods/Activities/Movies 4.0% -9.8% $89.7 L+631
Retailers (except food & drug) 3.0% -3.8% $93.5 L+624
Lodging & Casinos 3.7% -1.8% $94.4 L+439
Automotive 2.7% 1.0% $93.2 L+569
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Performance measures the S&P/LSTA Leveraged Loan Index. Data provided is for
informational use only. Indexes are unmanaged, do not reflect the deduction of fees and expenses, and are not available for direct investment. See end of material for important additional information and disclosures. Bubble
size reflects the market value of each industry in the S&P/LSTA Leveraged Loan Index.17 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Technical factors: Market size and trading volume
Market Size Trading and Turnover
Par Amount of Outstanding Loan Market US Trading Volume and Annual Loan Turnover Ratio
6.5% Compound Annual Growth Rate $1,000B 100%
$1200 B Volume Turnover Ratio (%)
$1,193 $1,199
$900B
$1,147 $902
$1000 B $800B 76%
75%
$955
$700B $743
$720
$872 $881
$800 B
$600B $635
$592 $596
$500B 50%
$600 B
$400B
$400 B
$300B
25%
$200B
$200 B
$100B
$0 B $0B 0%
2017
2015
2016
2018
2019
1H20 (Ann.)
Sept 2020
2015
2016
2017
2018
2019
Source: LCD, an offering of S&P Global Market Intelligence, LSTA Trade Data Study. Par amount outstanding as of 9/30/2020. Trading and turnover as of Q2 2020. Past performance is not a reliable indicator of future
results. Data provided is for informational use only. Amount of outstandings measures the S&P/LSTA Leveraged Loan Index. It is not possible to invest directly in an Index.18 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Technical factors: Forward calendar and repayments
Visible Demand New Deal Pipeline
Monthly CLO Creation and Mutual Fund Flows Net Loan Forward Calendar
$20 B $40 B
CLOs Loan Funds Total
$15 B
$30 B
$10 B
$20 B
$5 B
$0 B $10 B
-$5 B
$0 B
-$10 B
-$10 B
-$15 B
-$20 B -$20 B
Mar 2019
Mar 2020
May 2019
May 2020
Jul 2019
Jul 2020
Sep 2018
Nov 2018
Jan 2019
Sep 2019
Nov 2019
Jan 2020
Sep 2020
Mar 2018
Mar 2019
Mar 2020
May 2018
May 2019
May 2020
Jul 2017
Jul 2018
Nov 2018
Jul 2019
Jul 2020
Nov 2017
Jan 2018
Jan 2019
Sep 2020
Nov 2019
Jan 2020
Sep 2017
Sep 2018
Sep 2019
Source: LCD, an offering of S&P Global Market Intelligence, as of 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. Net loan forward calendar includes all
institutional loans in the pipeline minus any visible repayments associated with the pipeline of planned new deals and anticipated repayments not associated with the forward calendar. It is not possible to invest directly in an
Index.19 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Technical factors: Secured high-yield bond issuance
Secured Leveraged Finance New Issue Volume High Yield Bond Issuance Volume
$200 B $160 B
Loan Secured HY Secured Unsecured Subordinated
$180 B
$140 B
$160 B
$120 B
$140 B
$100 B
$120 B
$100 B $80 B
$80 B
$60 B
$60 B
$40 B
$40 B
$20 B
$20 B
$0 B $0 B
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
Sources: LCD, an offering of S&P Global Market Intelligence, as of 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in
an Index. See end of material for important additional information and disclosures.20 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Fundamental conditions: Revenue and earnings growth
Year-Over-Year Revenue Growth Year-Over-Year EBITDA Growth
25% 25%
20% 20%
15% 15%
10% 10%
5% 5%
0% 0%
-5% -5%
-10% -10%
-15% -13% -15%
-20% -20%
-23%
-25% -25%
3Q12
1Q13
3Q13
1Q14
3Q14
1Q15
3Q15
1Q16
3Q16
1Q17
3Q17
1Q18
3Q18
1Q19
3Q19
1Q20
3Q12
1Q13
3Q13
1Q14
3Q14
1Q15
3Q15
1Q16
3Q16
1Q17
3Q17
1Q18
3Q18
1Q19
3Q19
1Q20
1Q09
3Q09
1Q10
3Q10
1Q11
3Q11
1Q12
1Q09
3Q09
1Q10
3Q10
1Q11
3Q11
1Q12
Source: LCD, an offering of S&P Global Market Intelligence, Q2 2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an
Index. EBITDA refers to earnings before interest, taxes, depreciation and amortization. The data are based on approximately 180 public issuers included in the S&P/LSTA Leveraged Loan Index. See end of material for
important additional information and disclosures.21 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Fundamental conditions: Leverage and interest coverage
Weighted Average Leverage Interest Coverage
8x Senior Leverage Total Leverage 5x
7x
4x
6x
3x
5x
2x
4x
1x
3x
2x 0x
2011
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2010
2012
2013
2014
2015
2016
2017
2018
2019
2020
Source: Eaton Vance, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important
additional information and disclosures. This information is for illustrative purposes only, is subject to change at any time and should not be considered investment advice or a recommendation to buy or sell any particular
security or adopt any particular strategy. The sample is an average of all loans tracked across the Eaton Vance loan platform. Does not represent any particular issuer or product.22 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Fundamental conditions: Default rate and distress ratio
Default Rate Distress Ratio
Last 12 Months By Principal Amount Percent of Performing Loans Trading Below $80
12%
90%
Actual
Default LCD Default Survey
Rate 80%
10%
Forecasted Default Rate
End 2020 5.16% 70%
Sept 2021 5.58%
8%
60%
50%
6%
Credit Loss
(Assumes 40%
70%
Recoveries)
4% 4.17%
30%
20%
2%
1.25% 10%
5.07%
0% 0%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an
Index. See end of material for important additional information and disclosures. LCD Default Survey is conducted quarterly and includes forecasts from loan managers on their future default and return expectations.23 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Fundamental conditions: Composition of defaults and distress
Defaults by Industry Distress Ratio by Industry
YTD Composition of Defaults in the Index Percent of Performing Loans Trading Below $80
0% 5% 10% 15% 20% 25% 30% 0% 10% 20% 30% 40% 50% 60% 70%
Oil & Gas Oil & Gas
Retailers (ex-food & drug) Retailers (ex-food & drug)
Telecom Telecom
Business Equipment & Services Business Equipment & Services
Leisure Leisure
Nonferrous Metals/Minerals Nonferrous Metals/Minerals
Electronics/Electrical Electronics/Electrical
Food Service Food Service
Surface Transport Surface Transport
Food/Drug Retailers Food/Drug Retailers
Healthcare Healthcare
Drugs Drugs
Industrial Equipment Industrial Equipment
Aerospace & Defense Aerospace & Defense
Publishing Publishing
Automotive Automotive
Dec 2019
Containers & Glass Products Containers & Glass Products
April 2020
Utilities Utilities
Clothing/Textiles Clothing/Textiles Sept 2020
Source: LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an
Index. See end of material for important additional information and disclosures. Composition of defaults measures par amount of outstandings in the S&P/LSTA Leveraged Loan Index.24 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Valuations: Composition of loan coupon
12%
Credit Spread 3-Month LIBOR Floor Benefit
10%
All-In Coupon Rate
8%
6%
4%
2%
0%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Credit Spread Corresponding All-In Rate LIBOR Floor % of Par Outstanding
Max (Dec 2015) 4.04% 5.01% 0% floor 61.0%
Post-Crisis Average 3.59% 4.80% 0.75% and less 5.7%
Current 3.52% 4.02% 1.00% 31.0%
Long-Term Average 3.23% 5.58% >1.00% 0.3%
Min (June 2007) 2.42% 7.78% No floor 2.0%
Sources: Eaton Vance, St. Louis Federal Reserve, and LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use
only. Credit spread and floor benefit data are shown on a weighted average basis. LIBOR floor benefit is measured as the difference between prevailing LIBOR rates and the average LIBOR floor. *Excludes Facilities in Default.25 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Special topic: Performance in falling-rate periods
S&P/LSTA Leveraged Loan Index S&P 500® Index Bloomberg Barclays US Aggregate Bond Index
8% 6.62% 7.10% 7.18%
5.34% 4.93%
Three-year average 4.44%
annual returns 4%
following initial cut 1.00%
to fed funds target 0%
rate
-4%
-3.24%
-8% -6.55%
1998 2001 2007 2019
Starting and ending 7% 6.35%
yields for the
Bloomberg 6% 5.51%
5.27%
5.33%
Barclays US
Aggregate Bond 5%
4.27%
Index for the three-
year period 4%
following initial cut
3% 2.61%
to fed funds target 2.52%
rate
2%
1998 2001 2007 2019
Sources: Federal Reserve Bank of St. Louis, Morningstar, 12/31/2019. Past performance is not a reliable indicator of future results. Data provided is for informational use only. Returns shown are the average annual 3-year
period that followed the Federal Reserve’s initial cut to the federal funds target rate, which occurred on September 29, 1998, January 3, 2001 and September 18, 2007, respectively. Starting and ending yields for the Bloomberg
Barclays US Aggregate Bond Index track the same three-year time periods.26 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Special topic: LIBOR transition
Is LIBOR going away and what would that mean for loans? LIBOR vs SOFR
The loan market’s trade association, the LSTA, has been actively
2.75%
engaged in representing the interests of the loan market on the
1-Month LIBOR
LIBOR transition issue. 2.50%
LSTA has described the issue as “a process, not a problem” and 2.25%
much work has been done (and remains) ahead of the anticipated
2.00%
end-of-2021 mark. SOFR (1 Month Avg)
1.75%
LSTA is an active member in the Alternative Reference Rates
1.50%
Committee (ARRC), a cross-market consortium assembled by the
Federal Reserve to address the LIBOR transition. 1.25%
Thus far it appears some form of “SOFR” (Secured Overnight 1.00%
Funding Rate) will be the replacement rate adopted by the loan
0.75%
market (and many others), and work is now moving toward
0.50%
process, standardizing of fallback language, and more.
0.25%
0.00%
Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul
2018 2018 2018 2019 2019 2019 2019 2020 2020 2020
Sources: Eaton Vance, St. Louis Federal Reserve, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only.27 Floating-Rate Loan Market Monitor | Q3 2020
Market update
Special topic: Collateralized Loan Obligations (CLOs)
Illustrative capital structure for a US CLO CLO Tranche Support
Credit Average
Credit Rating Credit Spread 20%
Enhancement Price
A Credit
AAA 36% 125 – 160 $99.0 18% Support
AA 25% 180 – 215 $98.6
16%
A 17% 230 – 290 $97.3
Default and Loss Rate
BBB 13% 360 – 560 $93.0 14% BBB Credit
Support
BB 8% 800 – 1100 $83.6
12%
B 6% 1250 - 1900 $64.5
10%
BB Credit
Comparative Yields for BBB and BB tranches of CLOs Support
8%
12%
10.7%
6%
Yield to Worst (%)
9%
4%
6% 5.1% 2%
4.3% 4.0%
3.4%
2.7% 0%
3%
1999
2001
2003
2005
2007
2009
2011
2013
2015
2017
2019
1.8% 1.8%
0% Loss Rate Default Rate
CLO BBB US IG Corp US Loans EMD Sov CLO BB US HY US Loans EMD Sov
BBB BBB BBB Corp BB BB BB
Sources: Eaton Vance, Citibank Velocity, Macrobond, LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use
only. CLO tranches are USD 2.0 CLOs. Loans represent the S&P/LSTA Leveraged Loan Index. CLOs represent the JPMorgan CLOIE Post-Crisis. US IG Corps represent the ICE BofA US Corporate Index 1-10 Year. US HY
Corp represent the ICE BofA US High Yield Index. EMD Sov represent the J.P. Morgan EM Bond Index (EMBI) Global Diversified.Portfolio Applications
29 Floating-Rate Loan Market Monitor | Q3 2020
Portfolio applications
Floating-rate loans vs. select asset classes
7
6
Floating-Rate Loans High-Yield Corp.
EM Sovereign (USD)
5
Yield to Worst (%)
4
3
2 Investment Grade Corp.
Aggregate
MBS Municipal
1
Treasury
0
0 1 2 3 4 5 6 7 8 9
Duration
Sources: Eaton Vance, Bloomberg Barclays, JPMorgan, ICE Data Indices, LLC, and LCD, an offering of S&P Global Market Intelligence, 9/30/2020. Past performance is not a reliable indicator of future results. Data
provided is for informational use only. It is not possible to invest directly in an Index. Yield to worst is the lowest potential yield that can be received on a bond without an issuer actually defaulting. Duration is a measure of the
sensitivity of a bond’s price to a change in interest rates. Treasury represented by Bloomberg Barclays U.S. Treasury Index. Agency represented by Bloomberg Barclays U.S. Agency Index. Aggregate represented by
Bloomberg Barclays U.S. Aggregate Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index. Investment-Grade Corp. represented by Bloomberg Barclays U.S. Corporate Index.
Municipal represented by Bloomberg Barclays Municipal Bond Index. EM Sovereign (USD) represented by J.P. Morgan EM Bond Index (EMBI) Global Diversified Index. High-Yield Corp. represented by Bloomberg Barclays
U.S. Corporate High Yield Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index.30 Floating-Rate Loan Market Monitor | Q3 2020
Portfolio applications
10-year correlation with U.S. Treasuries
1.0
0.88
0.82
0.8
0.59
0.6
0.46
0.4
0.2
0.05
0.0
-0.2
-0.25
-0.4
-0.38
-0.6
-0.8
-1.0
Treasury Aggregate MBS Municipal Investment-Grade EM Sovereign (USD) High-Yield Corp Floating-Rate Loans
Corp
Source: Morningstar, 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important
additional information and disclosures. Correlation is a statistical measure of how two securities perform in relation to each other. Treasury represented by Bloomberg Barclays U.S. Treasury Index. Agency represented by
Bloomberg Barclays U.S. Agency Index. Aggregate represented by Bloomberg Barclays U.S. Aggregate Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index. Investment-Grade
Corp. represented by Bloomberg Barclays U.S. Corporate Index. Municipal represented by Bloomberg Barclays Municipal Bond Index. EM Sovereign (USD) represented by JPMorgan Emerging Markets Bond Index Plus
(EMBI+). High-Yield Corp. represented by Bloomberg Barclays U.S. Corporate High Yield Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index.31 Floating-Rate Loan Market Monitor | Q3 2020
Portfolio applications
Loan yields are competitive with high-yield bonds and EM debt
12%
10%
8%
Yield to Worst
High-Yield Bonds
5.76%
6% Floating-Rate Loans
5.73%
Emerging Markets
5.14%
4%
2%
US Aggregate
1.18%
0%
'14 '15 '16 '17 '18 '19 '20
Sources: LCD, Bloomberg Barclays, ICE Data Indices, LLC, J.P. Morgan, as of 9/30/2020. Past performance is not a reliable indicator of future results. Data provided is for informational use only. Loans represents the
S&P/LSTA Leveraged Loan Index. High-Yield Bonds presents the ICE BofA US High Yield Index. Emerging Markets represents the J.P. Morgan EMBI Global Diversified. US Aggregate represents the Bloomberg Barclays US
Aggregate Bond Index. Yield to maturity is shown for loans.About Eaton Vance
33 Floating-Rate Loan Market Monitor | Q3 2020
Eaton Vance for floating-rate loans
The advantage of Eaton Vance’s experience
Measurable track record since 1989
0 5 10 15 20 25 30 35
Significant floating-rate loan investment
Eaton Vance
resources and specialization (Since 1989)
Extensive contiguous experience of
investment team
Strong long-term record of delivering
incremental outperformance with lower
volatility than the S&P/LSTA Leveraged
Median
Loan Index and peers 12.1 Years
Continuity of philosophy, process and team
over time
Systematic risk-weighted portfolio
construction underpinned by bottom-up
credit research
Eaton Vance (1989) Competitor Floating-Rate Loan Managers
Source: eVestment, 12/31/19. Past performance is not a reliable indicator of future results. Data provided is for informational use only. It is not possible to invest directly in an Index. See end of material for important
additional information and disclosures. Based on eVestment Floating-Rate Bank Loan Fixed Income universe using oldest investment offering for each firm.34 Floating-Rate Loan Market Monitor | Q3 2020
Eaton Vance for floating-rate loans
Investment team with extensive contiguous experience
FLOATING-RATE LOAN TEAM LEADERSHIP
Craig Russ Andrew Sveen, CFA
33 Years of Ind. Experience 25 Years of Ind. Experience
22 Years with Eaton Vance 21 Years with Eaton Vance
STRUCTURED TRADING &
CREDIT RESEARCH CREDIT ADVISORY
PRODUCTS OPERATIONS
John Redding Catherine McDermott Ralph Hinckley, CFA Michael Turgel, CFA Michael Kinahan, CFA Jake Lemle, CFA David Aloise
35 Years of Ind. Experience Auto, Gaming, Packaging, Broadcast/Cable TV, Telecom, Food, Utilities, Business Services 32 Years of Ind. Experience 12 Years of Ind. Experience 43 Years of Ind. Experience
21 Years with Eaton Vance Consumer Products Publishing 17 Years of Ind. Experience 21 Years with Eaton Vance 12 Years with Eaton Vance 18 Years with Eaton Vance
31 Years of Ind. Experience 22 Years of Ind. Experience 13 Years with Eaton Vance
19 Years with Eaton Vance 16 Years with Eaton Vance
Cyril Legrand, CFA Heath Christensen, CFA Jeff Hesselbein, CFA Brian Hickey, CFA John Brodbine Kathryn Thompson Patrick Daniello
European Issuers Aerospace/Defense, Software Health Care, Pharmaceuticals Retailers (ex Food & Drug), 19 Years of Ind. Experience 7 Years of Ind. Experience 32 Years of Ind. Experience
9 Years of Ind. Experience Technology, Transportation 23 Years of Ind. Experience Industrials, Building Products 15 Years with Eaton VanceAdditional Information
36 Floating-Rate Loan Market Monitor | Q3 2020
Additional information
Important information and disclosure
ABOUT RISK: INDEX DEFINITIONS:
Floating-Rate Loans: An imbalance in supply and demand in the income Bloomberg Barclays Global Aggregate Ex-USD Index is a broad-based
market may result in valuation uncertainties and greater volatility, less liquidity, measure of global investment grade fixed-rate debt investments, excluding
widening credit spreads and a lack of price transparency in the market. There USD-denominated debt.
can be no assurance that the liquidation of collateral securing an investment
Bloomberg Barclays Municipal Bond Index is an unmanaged index of
will satisfy the issuer’s obligation in the event of nonpayment or that collateral
municipal bonds traded in the U.S.
can be readily liquidated. The ability to realize the benefits of any collateral
may be delayed or limited. Investments in income securities may be affected Bloomberg Barclays U.S. Agency Index measures agency securities issued
by changes in the creditworthiness of the issuer and are subject to the risk of by U.S government agencies, quasi-federal corporations, and corporate or
non–payment of principal and interest. The value of income securities also may foreign debt guaranteed by the U.S. government.
decline because of real or perceived concerns about the issuer’s ability to
make principal and interest payments. Borrowing to increase investments Bloomberg Barclays U.S. Aggregate Index is an unmanaged index of
(leverage) will exaggerate the effect of any increase or decrease in the value of domestic investment-grade bonds, including corporate, government and
investments. Investments rated below investment grade (typically referred to as mortgage-backed securities.
“junk”) are generally subject to greater price volatility and illiquidity than higher Bloomberg Barclays U.S. Corporate Index is an unmanaged index that
rated investments. As interest rates rise, the value of certain income measures the performance of investment-grade corporate securities within the
investments is likely to decline. Bank loans are subject to prepayment risk. Bloomberg Barclays U.S. Aggregate Index.
Investments in foreign instruments or currencies can involve greater risk and
volatility than U.S. investments because of adverse market, economic, political, Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index
regulatory, geopolitical or other conditions. Changes in the value of measures agency mortgage-backed pass-through securities issued by GNMA,
investments entered for hedging purposes may not match those of the position FNMA, and FHLMC.
being hedged. Bloomberg Barclays U.S. Treasury Index measures public debt instruments
Duration – Securities with longer durations tend to be more sensitive to issued by the U.S. Treasury.
interest rate changes than securities with shorter durations. Equity – Equity Credit Suisse Institutional Leveraged Loan Index is an unmanaged index
investment values are sensitive to stock market volatility. Gov’t Agency – While of the institutional leveraged loan market.
certain U.S. Government-sponsored agencies may be chartered or sponsored
by acts of Congress, their securities are neither issued nor guaranteed by the JPMorgan Emerging Markets Bond Index Plus (EMBI+) is a market-cap
U.S. Treasury. Maturity – Longer-term bonds typically are more sensitive to weighted index that measures USD-denominated Brady Bonds, Eurobonds,
interest rate changes than shorter-term bonds. Prepayment – MBS – and traded loans issued by sovereigns.
Mortgage-backed securities are subject to prepayment risk. Smaller
Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks
Companies – Smaller companies are generally subject to greater price
commonly used as a measure of U.S. stock market performance.
fluctuations, limited liquidity, higher transaction costs and higher investment
risk than larger, established companies. S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional
leveraged loan market.37 Floating-Rate Loan Market Monitor | Q3 2020 Additional information Important information and disclosure ABOUT ASSET CLASS COMPARISONS: Elements of this report include comparisons of different asset classes, each of which has distinct risk and return characteristics. Every investment carries risk, and principal values and performance will fluctuate with all asset classes shown, sometimes substantially. Asset classes shown are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. All asset classes shown are subject to risks, including possible loss of principal invested. The principal risks involved with investing in the asset classes shown are interest-rate risk, credit risk and liquidity risk, with each asset class shown offering a distinct combination of these risks. Generally, considered along a spectrum of risks and return potential, U.S. Treasury securities (which are guaranteed as to the payment of principal and interest by the U.S. government) offer lower credit risk, higher levels of liquidity, higher interest-rate risk and lower return potential, whereas asset classes such as high-yield corporate bonds and emerging market bonds offer higher credit risk, lower levels of liquidity, lower interest-rate risk and higher return potential. Other asset classes shown carry different levels of each of these risk and return characteristics, and as a result generally fall varying degrees along the risk/return spectrum. Costs and expenses associated with investing in asset classes shown will vary, sometimes substantially, depending upon specific investment vehicles chosen. No investment in the asset classes shown is insured or guaranteed, unless explicitly stated for a specific investment vehicle. Interest income earned on asset classes shown is subject to ordinary federal, state and local income taxes, excepting U.S. Treasury securities (exempt from state and local income taxes) and municipal securities (exempt from federal income taxes, with certain securities exempt from federal, state and local income taxes). In addition, federal and/or state capital gains taxes may apply to investments that are sold at a profit. Eaton Vance does not provide tax or legal advice. Prospective investors should consult with a tax or legal advisor before making any investment decision. ICE BofA Indexes: Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Historical performance of indexes illustrates market trends and does not represent the past or future performance of any fund. ICE BofA™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has prepared this report, ICE BofA does not endorse it, or guarantee, review, or endorse Eaton Vance's products. Credit ratings that may be referenced are based on Moody's, S&P or Fitch, as applicable. Credit ratings are based largely on the rating agency's investment analysis at the time of rating and the rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition. The rating assigned to a security by a rating agency does not necessarily reflect its assessment of the volatility of a security's market value or of the liquidity of an investment in the security. Ratings of BBB or higher by Standard and Poor's or Fitch (Baa or higher by Moody's) are considered to be investment grade quality.
38 Floating-Rate Loan Market Monitor | Q3 2020
Additional information
Important information and disclosure
Source of all data: Eaton Vance, as at 9/30/2020, unless otherwise specified.
This material is presented for informational and illustrative purposes only. This material should not be construed as investment advice, a recommendation to purchase or sell specific securities, or to adopt any
particular investment strategy; it has been prepared on the basis of publicly available information, internally developed data and other third-party sources believed to be reliable. However, no assurances are
provided regarding the reliability of such information and Eaton Vance has not sought to independently verify information taken from public and third-party sources. Investment views, opinions, and/or analysis
expressed constitute judgments as of the date of this material and are subject to change at any time without notice. Different views may be expressed based on different investment styles, objectives, opinions
or philosophies. This material may contain statements that are not historical facts, referred to as forward-looking statements. Future results may differ significantly from those stated in forward-looking
statements, depending on factors such as changes in securities or financial markets or general economic conditions.
This material is for the benefit of persons whom Eaton Vance reasonably believes it is permitted to communicate to and should not be forwarded to any other person without the consent of Eaton Vance. It is
not addressed to any other person and may not be used by them for any purpose whatsoever. It expresses no views as to the suitability of the investments described herein to the individual circumstances of
any recipient or otherwise. It is the responsibility of every person reading this document to satisfy himself as to the full observance of the laws of any relevant country, including obtaining any governmental or
other consent which may be required or observing any other formality which needs to be observed in that country. Unless otherwise stated, returns and market values contained herein are presented in US
Dollars.
In the United Kingdom, this material is issued by Eaton Vance Management (International) Limited (“EVMI”), 125 Old Broad Street, London, EC2N 1AR, UK, and is authorised and regulated by the Financial
Conduct Authority. EVMI markets the services of the following strategic affiliates: Parametric Portfolio Associates® LLC (“PPA”), an investment advisor registered with the SEC. Hexavest Inc. (“Hexavest”) is an
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About Eaton Vance
Eaton Vance provides advanced investment strategies and wealth management solutions to forward-thinking investors around the world. Through principal investment affiliates Eaton Vance Management, Parametric,
Atlanta Capital, Hexavest and Calvert, the Company offers a diversity of investment approaches, encompassing bottom-up and top-down fundamental active management, responsible investing, systematic investing
and customized implementation of client-specified portfolio exposures. Exemplary service, timely innovation and attractive returns across market cycles have been hallmarks of Eaton Vance since 1924.
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