PitchBook-欧洲杠杆贷款指数月度总结.pdfVIP

March5,2026

FebruaryWrap:Europeanloanpricesslumpto2.5-yearlowasAIsell-offdeepens

By:RachelleKakouris

LossesacceleratedintheEuropeanloanmarketinFebruary,asmountingfearsofAIdisruptiondrovetheweightedaveragebidoftheMorningstar

EuropeanLeveragedLoanIndex(ELLI)toitslowestlevelsinceOctober2023.Againstthisbackdrop,theassetclassreturnednegative0.45%

(excludingcurrency)forthemonth—itsworstshowingsinceMarch2025,foracombinedJanuaryandFebruarylossofnegative0.75%.

WithconcernoverthevulnerabilityofloanissuersbusinessmodelstoAIriskcompoundedbytheimpactofwarintheMiddleEast(loanreturnswere

downanadditional53bpsoverthefirstthreetradingdaysofMarch),creditfundamentalsarenowexpectedtocomeunderrenewedpressure.

Februarymarkethighlights:

•TheweightedaveragebidoftheELLIfellto95.24—thelowestmonth-endreadingsinceJune2023.

•Atnegative0.45%(excludingcurrency),theELLIposteditsworstmonthlyperformancesinceMarch2025.

•SoftwareandITServicesdeepenedlosses,returning-5.28%and-5.92%respectively.

•Loanratingdowngradesexceededupgradesbythemostsince2020.

•Onthemonth-endmeasure,theaveragediscountedspreadoftheELLIhititshighestlevelsinceDecember2023.

•SupportfrominterestincomefelltothelowestlevelsinceSeptember2022.

Flashingred

TheEuropeanloanmarketrecordedanothermoribundperformancelastmonthasrenewedAI-disruptionfearsdraggedonalreadyfragileinvestor

sentiment,withalossof0.45%pushingtheyearsreturntoFeb.28downtonegative0.75%.

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AmidasharpunwindingofriskthatresumedinearnestduringthefinalweekofFebruary,theELLIonFeb.24recordedachunkylossof21bps

(atthetime,thelarge