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报告摘要

European Loan Tracker Summary

Core Content

This document provides a detailed overview of the Citi European Loan Tracker, which is a tool used to monitor and analyze the performance of European corporate loans. It is intended for institutional investors only and not for retail investors. The report includes data on the price, duration measure (DM), above par percentage, coverage-lite percentage, maturity, weight, and total size of different loan categories, as well as daily, MTD, and YTD changes in price and DM. Additionally, it includes macroeconomic indicators, high yield (HY) data, and credit default swap (CDS) information.

Main Categories and Key Information

1. Tracker Characteristics

Category	Price	DM	Above Par %	Cov-Lite %	12M Price Range	12M DM Range	Avg Yrs	Tracker Size (€bn)	Daily Change (Price)	Daily Change (DM)	MTD Change (Price)	MTD Change (DM)	YTD Change (Price)	YTD Change (DM)
Citi EUR Lev Loan Tracker	98.23	444	47.6%	88.7%	96.47 - 99.17	415 - 491	4.3	272.7	0.06	-2	0.54	-14	0.78%	-0.07
Non-Distressed	98.68	431	48.6%	88.8%	97.26 - 99.62	401 - 467	4.3	266.7	0.06	-2	0.46	-12	0.75%	-0.14
1st Lien	98.23	444	47.6%	88.7%	96.47 - 99.17	415 - 491	4.3	272.7	0.06	-2	0.54	-14	0.78%	-0.07
Sponsored	98.47	439	50.4%	90.6%	96.71 - 99.33	391 - 484	4.3	241.0	0.05	-1	0.00	-9	0.72%	-0.19
Non-Sponsored	96.54	482	29.3%	75.6%	94.82 - 98.18	432 - 538	3.9	31.7	0.13	-3	0.97	-29	1.20%	-0.38

2. 1st Lien Tranche Ratings

Rating	Price	DM	Above Par %	Cov-Lite %	12M Price Range	12M DM Range	Avg Yrs	Tracker Size (€bn)	Daily Change (Price)	Daily Change (DM)	MTD Change (Price)	MTD Change (DM)	YTD Change (Price)	YTD Change (DM)
BBB/BB	99.32	328	48.0%	84.0%	98.34 - 100.59	297 - 349	5.0	25.2	0.07	-2	0.22	-13	0.58%	-0.54
B+	99.14	373	48.9%	84.4%	97.29 - 100.34	346 - 423	4.6	42.2	0.10	-3	0.78	-21	0.98%	-0.71
B	99.71	383	53.6%	87.2%	98.15 - 100.38	368 - 424	4.5	102.9	0.00	0	0.47	-13	0.74%	-0.18
B-	96.61	521	41.0%	95.2%	95.44 - 98.35	468 - 550	3.8	71.5	0.00	0	0.36	-9	0.66%	-0.19
CCC and Lower	87.18	1066	0.0%	92.3%	79.66 - 89.95	785 - 1269	2.5	10.9	0.12	-10	0.77	-11	1.78%	0.04

3. 1st Lien Loan Sectors

Sector	Price	DM	Above Par %	Cov-Lite %	12M Price Range	12M DM Range	Avg Yrs	Tracker Size (€bn)	Daily Change (Price)	Daily Change (DM)	MTD Change (Price)	MTD Change (DM)	YTD Change (Price)	YTD Change (DM)
Basic Materials	97.69	431	11.1%	83.3%	96.20 - 100.36	366 - 471	4.2	13.7	-0.05	6	-0.23	31	0.83%	0.35
Communications	97.29	501	32.4%	78.4%	93.92 - 97.29	478 - 588	4.0	33.7	0.12	-3	0.71	-21	0.93%	-0.19
Consumer, Cyclical	98.53	431	44.7%	93.6%	96.71 - 99.53	405 - 477	4.5	39.1	-0.05	6	-0.23	31	0.74%	0.35
Consumer, Non-cyclical	98.12	439	50.9%	94.0%	96.66 - 99.30	410 - 480	4.3	106.3	-0.18	-7	-0.45	-13	0.66%	-0.18
Diversified	95.30	559	50.0%	50.0%	93.91 - 98.53	475 - 591	3.8	2.8	0.15	6	0.14	-3	0.36%	0.15
Financial	99.84	388	80.8%	84.6%	98.08 - 100.40	372 - 433	4.6	17.9	0.00	0	0.60	-17	0.89%	0.32
Industrial	99.18	436	45.0%	85.0%	97.37 - 100.09	400 - 487	4.2	33.4	-0.05	6	-0.23	31	0.58%	0.35
Technology	97.13	471	53.1%	90.6%	93.81 - 98.18	437 - 573	4.1	25.4	0.17	-4	0.77	-11	0.89%	0.04

4. Macro and HY & CDS Data

Indicator	Value	Daily Change	MTD Change	YTD Change	12M Low	12M High
2y Bund	1.86	0.90	0.18	-21.79	1.62	3.12
5y Bund	2.17	2.02	0.19	2.19	1.84	2.75
30y Bund	3.08	4.50	0.20	48.88	2.26	3.25
EURIBOR 1M	2.09	-0.03	-0.08	-0.76	2.09	3.81
EURIBOR 3M	2.10	-0.03	-0.06	-0.61	2.10	3.82
EURIBOR 6M	2.16	-0.01	0.03	-0.41	2.10	3.79
5y US Treasury	4.10	0.01	0.37	-0.28	3.38	4.65
SOFR 3M	4.32	0.00	0.06	0.02	4.21	5.35
High Yield	396.6	4.3	-28.4	54.8	306.8	493.3
ITRX Gen 5y	58.2	0.9	-10.0	0.6	50.3	87.6
ITRX XOVER 5y	305.0	3.7	-45.3	-8.1	275.1	438.2

Main Views

The Citi EUR Lev Loan Tracker is a comprehensive tool for institutional investors, tracking European leveraged loans across various categories.
Non-Distressed loans have the highest above par percentage and coverage-lite percentage, indicating relatively stable performance.
Sponsored loans have a higher above par percentage but lower coverage-lite percentage compared to non-sponsored loans.
The 1st Lien category shows mixed performance, with varying above par and coverage-lite percentages across different ratings.
The BBB/BB and B+ ratings show relatively stable performance, while B and B- have more volatility.
The CCC and Lower category shows the lowest above par percentage and significant volatility in both price and DM.
The Financial sector shows the highest above par percentage, suggesting a positive outlook for this sector.
The Technology sector has the highest coverage-lite percentage, indicating strong credit support.
The Macro indicators suggest a generally stable environment, with some fluctuations in interest rates and EURIBOR.
High Yield and CDS data indicate a mixed outlook, with some sectors showing negative trends.

Key Information

The report is for institutional investors only and is not intended for retail investors.
The Tracker is for informational purposes only and should not be used as an index or benchmark.
Conflicts of interest may exist due to the Firm's involvement with covered companies, and investors should be aware of this.
Important Disclosures include information on the Firm's ownership and compensation, which may influence the report's objectivity.
The report includes recommendations and analyst affiliations, with a focus on non-US research analysts and their compliance with FINRA regulations.
ESG factors are mentioned but not independently verified.
The report highlights regulatory requirements and investment risks, including the potential for loss of principal and lack of liquidity.
Investors are encouraged to consult their legal counsel for compliance with economic sanctions and other regulations.
The Product is not an offer or solicitation to purchase or sell securities, and all information is subject to change without notice.

This summary provides a clear and concise overview of the Citi European Loan Tracker, highlighting key performance metrics, macroeconomic indicators, and important disclosures.

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