欧洲杠杆贷款违约监测（英）

EUROPEAN Leveraged LoanDefault Monitor December 2025 Key Takeaways •The rolling-12-month default rate of the ELLI (by principal amount)jumped to 1.44% in December, from 1.08% in November and 0.17%at the start of 2025. This marks the highest rate since May 2024. •Colisee Patrimoine Groupjoined the ranks of big-ticket blowouts inDecember after the French care home group initiated an acceleratedsafeguard procedure that will hand control to its lenders. •By issuer count, the default rate climbed to a 14-month high of 1.47%in December, from 1.18% in November and 0.31% at the start of theyear. •Altice France S.A. formally entered accelerated safeguardproceedings on June 10, becoming the third-largest ELLI default onrecord. •When including distressed exchanges and liability managementexercises, the combined rate by issuer count eased to 2.06% inDecember, from an 11-month high of 2.37% in November. •First Brands’dramatic collapse into bankruptcy offered a starkreminder of idiosyncratic risk in the leveraged finance markets. •More than a quarter of companies restructuring loans via distressedexchanges and LMEs are repeat offenders. •The Media, Healthcare, and Software sectors lead LME activity. • There remains a sizable 2028 loan maturity wall of €70B —nearlyhalf of which was originated at the height of the QE zero rates era. •The volume of loans rated triple-C is the highest since April 2021. •The distress ratio of facilities in the Morningstar European LeveragedLoan Index climbed 300 bps in 2025, ending December at 5.22%. •Loan downgrade pressure vs upgrades in 2025 intensified to a five-year high. Annual default volume soars to a five-year high as big-ticket restructurings dominate As large bankruptcies proliferate, European loan default rate (by amount) climbs to a 19-month high When including LMEs, the combined rate by issuer count eases to 2.06%... …as LMEs lagged payment default activity in 2025 Meanwhile, a quarter of companies restructuring via LMEs become repeat offenders… LMEs among ELLI issuers: Share of repeat restructurings …with media, healthcare and software firms toping the leaderboard for LME activity Sector breakdown for European LMEs: 2015-2025 Tellingly, loans of companies undertaking LMEs show distress a year prior Loan downgrades in 2025 outpace upgrades at the highest rate since 2020… Morningstar ELLI ratio of downgrades to upgrades–rolling 3 months …sending the share of triple-C rated loan facilities to a four-year high Morningstar European LL Index: CCC share & par amount outstanding The number of distressed loans in the ELLI jumps to a high since mid-2023… …as focus turns to refinancing a looming 2028 maturity wall Leveraged loan defaults over the last twelve months Defaults in the Morningstar European Leveraged Loan Index: Last twelve months Methodology Methodology Criteria: Data composition: •All data included in this report is based on the broadly syndicated leveragedloan market referenced by the Morningstar European Leveraged Loan Index. Payment Default Rate: •The company has missed a principal or interest payment and is not in aforbearance period.•The company files for bankruptcy.•The loan has been downgraded to D by S&P Global Ratings (does not apply incases of distressed exchanges/liability management exercises).•The loan must be a constituent of the Morningstar European Leveraged LoanIndex. Methodology: •Default rate by amount:The sum of all index payment defaults in the LTMperiod, divided by the total amount outstanding in the performing loan index 12months ago. •Default rate by issuer count: The sum of all index issuer payment defaults inthe LTM period, divided by the total number of issuers in the performing loanindex 12 months ago. Combined Default Rate: Contacts: •Considered a distressed liability management exercise or distressed exchange(excluding payments and bankruptcy defaults).•The company is downgraded to Selective Default, or Default, and the targetedloan to D.•The loan must be a constituent of the Morningstar European Leveraged LoanIndex. Research Rachelle Kakouris, Director, Credit Researchrachelle.kakouris@pitchbook.com Support PitchBooksupportsupport@pitchbook.com