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CREDIT SUPPLY: €IG Primary Tracker (Updated)

CREDIT SUPPLY
  • Just the single ArcelorMittal’s dual-tranche this week; not much scope for additional analysis.
     
  • We are making some changes to our €IG primary tracking
    • Adding an average book shrinkage measure defined as the % change from the maximum book size (as of Final Terms or earlier) to the book size at pricing.
    • EM deal filtering now based on BBG’s IS_EMERGING_MARKET field.
    • The cover ratio statistic is changing from aggregate/total cover to average cover.
    • We now exclude FRN’s from the tracker entirely (previously included in deal counts/volumes but excluded from all our spread-based calculations).
    • Volumes broken down into Fins/Corps.
    • We will now track on a rolling 26-week basis (YTD tracking made our graphic quite cramped in the latter half of the year).

 

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