Among the rather astonishing figures announced by Barclays on Tuesday was a miniscule writedown of just £60m on the bank’s £7.3bn leveraged loan holdings.
“We are very, very proud of it”, said Bob Diamond.
All very interesting in light of what markets for buyout debt derivatives are indicating:
The LevX Senior, an index of European leveraged loan CDS, closed on Monday at 90.75 to par. The US equivalent, the LCDX, puts a similar valuation on buyout debt derivatives, closing on Friday at 91.10.
Leveraged loans by all accounts, should be worth just over 90 cents on the dollar.
How proud then, are the folks at RBS? The bank announces its results on Thursday 28.
It has an even larger leveraged loan book than Barcap – valued by Credit Suisse analyst Jonathan Pierce at £12bn. So far, the value of those loans has been marked down 3 per cent. Here is RBS’s own roundup of its LBO activities in 2007.
The largest deal RBS worked on – as mandated lead arranger – was ProSiebenSat.1:
Bookrunner and Mandated Lead Arranger in the Leveraged Buyout by KKR and Permira (EUR 3,304m Senior and Subordinated Facilities) and in the Acquisition of SBS Broadcasting by ProSiebenSat.1 (EUR 4,600m Senior Facilities).
ProSieben looks like the proximate cause for the run on Citi hedge fund CSO. The market value of the loan is currently implied at 73 cents on the dollar, making it one of the worst performers in the loan market – and far below the averages implied by the indices.
The question then, is how much of ProSieben has RBS managed to syndicate? The deal was certainly oversubscribed in its early stages, but a subsequent panic caused a selloff. And who – apart from CSO – holds the paper?