欧洲杠杆贷款指数月度总结（英）2026

Investment Rating - The report indicates a negative outlook for the European loan market, with a performance rating reflecting a decline of negative 0.75% for January and February combined [4][22]. Core Insights - The European loan market experienced significant losses in February, driven by fears of AI disruption and geopolitical tensions, leading to the lowest weighted average bid since October 2023 [1][4]. - The software and IT services sectors were particularly hard hit, with returns of negative 5.28% and negative 5.92% respectively [7]. - The average discounted spread of the European Leveraged Loan Index (ELLI) reached its highest level since December 2023, indicating increased risk compensation [18]. - A notable increase in loan downgrades compared to upgrades was observed, with the ratio reaching 8x in February, the highest since 2020 [44]. Market Performance - The ELLI recorded a weighted average bid of 95.24, marking a 2.5-year low [7][8]. - The market-value component of loan performance was negative 0.91%, the largest loss since March 2025 [10]. - The yield to maturity on loans tracked by the ELLI rose to 6.93%, a 3.5-year high [15]. - Distress levels in the ELLI remained elevated, with 5.2% of loans classified as distressed, slightly down from 5.8% in January [31]. Sector Analysis - The Chemicals sector showed a positive return of 3.74%, while the IT Services and Software sectors faced significant declines [14]. - Software loans accounted for a substantial portion of the losses, contributing 0.51% to the total YTD index return of negative 0.77% [14]. - The Health Care Providers & Services sector represented nearly 18% of all distressed loans in the index, indicating potential vulnerabilities [48]. Supply and Demand Dynamics - The European loan market saw a 50% year-over-year decline in institutional loan supply, totaling €6.85 billion in February [35]. - The net supply shortage eased to approximately €7.5 billion in February, down from €10 billion in January [38]. - The ELLI reached a new high watermark of over €341 billion outstanding at the end of February [40].