欧洲杠杆贷款指数月度总结（英）

October 9, 2025 September Wrap: ELLI returns 0.40% as First Brands dents performance By: Rachelle Kakouris The dramatic collapse of First Brands cast a long shadow in September, dragging on loan returns both in Europe and in the US.Furthermore, rebounding new-money supply from M&A-related issuance is starting to dilute the technical support that hasunderpinned European loans for much of 2025. Against this backdrop, the Morningstar European Leveraged Loan Index (ELLI) returned 0.40% (excluding currency) in September. Themarket-value component remained negative at -0.09% for the month, though excluding First Brands the return was positive 0.03%. September market highlights: •Driven by First Brands, the Auto Components sector falls 10.67% — the biggest single-sector drop since 2020•An unprecedented repricing wave lifts loan activity to a new annual record•The weighted average ELLI bid price slides to 97.31, its lowest level since mid-May•The European leveraged loan default rate rises to 0.91%•At 61%, the share of index loans above par signals further repricing risk First Brands’ precipitous fall from grace into bankruptcy court rattled the leveraged loan asset class. The issuer’s first-lien term loanswere rated in the high single-Bs and marked above 90 at the start of September, and the speed at which the company fell into deepdistress left investors on the back foot. Indeed, First Brands was the biggest decliner in the ELLI, with a negative 0.12% contribution to September’s -0.09% market-value loss.The issuer matched Colisee Patrimoine as the top decliner in Europe over the past 12 months. Looking at loan prices more broadly, the weighted average bid of the index further demonstrated First Brands’ outsized impact. As ofSept. 30, the average bid of the ELLI fell to 97.31 — the lowest average price for loans since mid-May. Despite this isolated event, the overall index return of 0.40% for September marked an improvement after a lacklustre August, whichonly just scraped a positive reading of 0.09%. However, for a second consecutive month, the index underperformed its 12-monthaverage of 0.45%. If not for First Brands, the total return would have risen above that average in September, to 0.52%. However, income generated from interest carry this year, at 4.75%, still provides ample cushion against credit losses. Adjusting formarket value, this leaves the total return (excluding currency) at 3.46%. Yield descent Renewed appetite for risk alongside the draw of coupon-clipping helped to drive yields tighter in September. The average yield tomaturity of the ELLI fell to 6.45%, from 6.51% in August — though it remains wide of the 6.34% tight reached at the end of July (itslowest reading since August 2022). Yields reached a high of 9.37% in October 2023, and averaged less than 4% in the two years preceding the pandemic crisis of 2020. The weighted average nominal spread on index loans tightened by two basis points in September, to 372 bps — the lowest suchreading since December 2022. Supply scene Easing financial conditions continue to provide tailwinds for borrowing and refinancing activity. September’s institutional loan issuancerebounded from the summer slowdown, clearing €11.95 billion of volume, compared to just €120 million in August. September also brought the busiest month for buyout issuance since April, at €3.16 billion, while issuers addressing €4.5 billion of loandebt marked the busiest month for refinancing activity since February. In total, M&A and LBO issuance of €28.5 billion this year bringsthis much-needed new-money supply back above historical norms. Speculative-grade borrowers have also refinanced €35 billion ofexisting term loans in the year to date, a record pace for the period. Index size Looking at the index in its entirety, repayment amounts in September fell to February 2024 lows, which coupled with rebounding M&Asupply once again pushed the size of the loan index to a fresh high. As of Sept. 30, the par amount outstanding in the ELLI grew to€337.3 billion, having in August staged its largest monthly volume increase in nine months. With that, the rolling 12-month growth ratejumped to 14.2% in September — the sharpest advance since February 2022. Technical talk Despite the European CLO market delivering its second-highest quarterly new-issue volume in Q3, loan supply came closer to matchingdemand (on a rolling three-month measure) in September. Technically speaking, new supply tracked by the Morningstar European Leveraged Loan Index is equal to the volume of new issuesjoining the ELLI, minus repayments. LCD measures net loan supply as this new supply, minus the demand from CLO issuance. Afterhitting a record supply shortage of €15.6 billion in July’s three-month rolling measure, the shortage eased to €6.8 billion in August, and€3.2 billion in September. Accounting for the September shortage, the three-month rolling measure of CLO demand stood at €16.0 billion, against €12.