欧洲杠杆贷款指数月度总结（英）2026

June 4, 2026 May Wrap: European loans retrace early year losses with 0.74% gain By: Rachelle Kakouris The European leveraged loan market has retraced most of the ground lost since the start of 2026, recovering from waves of selling driven bywar in the Middle East and a sharp correction in AI-exposed credits. Against this backdrop, the Morningstar European Leveraged Loan Index(ELLI) returned 0.74% in May, and late in the month posted the highest weighted average bid since Jan. 27. May market highlights: •The ELLI's weighted average bid surpassed 96 for the first time since January, reaching 96.19 late in the month — the highest sinceJan. 27.•The AI-driven divide is easing in Europe as the price gap between software and all index loans narrowed to 304 bps, from 608 bps inFebruary.•Fuelled by strong technical conditions, opportunistic dividend recaps and repricings returned to the primary loan market.•The ELLI hit a new record size of €352 billion. After a first quarter shaped by volatility, loan prices in Europe rebounded 172 bps from a March 9 trough of 94.44 by the May close. Asinvestors largely looked past the geopolitical uncertainty and energy-related volatility — and markets priced in a reversal of rate-cutexpectations — the ELLI's weighted average bid price closed May at 96.16, marking a near-complete round-trip from the drawdown that beganat the end of January. A strengthening average bid in the middle of May also marked the first time the index has sustained a 96-handle since late January, whenaverage bids fell below 96 for the first time since the tariff-related sell-off of April 2025. Despite the clear recovery, the ELLI's closing May bid is still 254 bps below the recent cycle-high of 98.70 reached on Feb. 26, 2025 — theindex's highest print since the all-time series peak of 99.02 recorded in January 2022. On the reboundAs prices rebounded, the ELLI returned 0.74% in May — the second consecutive positive reading following April's 1.82% gain, further cementing the market’s return to the black. At the end of March, the ELLI was down 1.05% on the year-to-date measure, before swinging to a positive0.74% YTD gain by the end of April due to that month's strong advance. The ELLI's May performance was more reliant on carry from interest income than price appreciation. With gains made in secondary trading, themarket-value return of the index was 0.22% (excluding currency) in May, narrowing the year-to-date market-value loss to 1.01%. Meanwhile, interest carry added 0.52% in May. Though this benefit has waned from the late-2023 peak of 0.71%, the interest component ofleveraged loan returns remains above the 0.42% historical average for this measure. Software spotlightDrilling deeper into market dynamics, the AI-driven divide between the performance of software sector credits and the broader loan market Using a measure that includes currency, returns from software loans were running at negative 1.36% on May 31, versus a 1.49% gain for all ELLIloans. At the start of the year, software loans were outperforming the broader market before a sharp repricing hit AI-related credits at the end ofJanuary. This dispersion in performance hit its widest mark in early March as the ELLI slumped to a negative 1.45% YTD return, versus a 7.86%loss for software loans. The software sector of the ELLI gained 1.58% in May — its third-consecutive positive monthly reading. Instark contrast to the US market, the dispersion between software loans and the rest of the market narrowed when looking at the average bidprices. The weighted average bid of software loans recovered to 93.74 at the end of May, from a trough of 89.85 in February — bringing the gapbetween software and all index loans down to 304 bps, from 608 bps in February. Up until the end of January, software loans had largely tradedeither at a premium or at parity to the rest of the market in recent years. Yields compressAs loan prices stepped higher, the average yield to maturity commanded by investors to hold leveraged loans compressed to 6.82% in May, from 6.93% in April and a cycle-high of 7.30% in March. For context, the ELLI's average yield to maturity stood at 7.00% in January 2025, and had tightened to 6.58% by December 2025 before the Q12026 correction pushed the measure back above 7%. Looking at risk compensation versus the base rate, the average discounted spread to maturity of the ELLI closed May at 451 bps — downsharply from the recent March peak of 504 bps. Spreads hit a post-pandemic cycle peak of E+724 bps in late 2022, and post-pandemic tight ofE+418 in February 2025. Risk profileInvestors were more selective of risk in May as triple-C rated loans lost 0.85%, giving back some of the roaring 2.72% gain made by that cohort in April. Meanwhile, BB-rated loans returned 0.52%, and single-B loans gained 0.82%. Nevertheless, bifurcation across credit quality has eased over the past year. Looking at the last 12-month period, CCC rated loans lo