瑞银-全球策略：量化AI颠覆风险3.0：杠杆贷款违约压力测试-Quantifying AI Disruption Risk 3.0：Stress-Testing Defaults in Leveraged Loans-20260420

a§

GlobalResearch

20April2026

GlobalStrategy

QuantifyingAIDisruptionRisk3.0:Stress-TestingDefaultsinLeveragedLoans

Bottom-UpAnalysisRe-affirms9%LLDefaultRatesinaTailScenario

Inourbaselineforecastsforend-2026,wenowexpectdefaultratesof1.8%/1.0%for

US/EUHY(vs.currentlevelsof1.2%/1.6%)and3.75%/3.0%inUS/EULL(vs.current

levelsof1.6%/2.6%(

1

)).InFebruary,weintroduceda

bottom-upframework

asan

alternativemethodtoestimateincrementaldefaultriskinatailscenario,which

reaffirmedour~4-5%HYdefaultrateestimates.Extendingthisframeworktoleveraged

loansprovidessimilarassurance,withthreekeytakeaways:First,wehavegreater

confidenceinourestimatesforLLdefaultratesinatailscenario.Excludingfinancials,

ourframeworkpointsto~7–8%defaultratesforEUandUSLLinan“aggressiveAI

disruption”scenarioafteraccountingforcontagioneffects(

2

),versus~9%underour

top-downapproach

.Second,weviewleveragedloansinEuropeandtheUSassimilarly

exposedtoAIdisruptionrisk.RatherthanmateriallylowerriskinEurope,wesee

comparableincrementaldefaultriskinatailscenario(+3.5–4.5%inUS/EULLfrom

currentlevels),leadingustoreviseEULLspreadforecastshigherto590bpbyyear-end,

whichtranslatesto+75bpofwideningfromwherewearetoday.WenowseeEUIG/HY/

LLspreadsat85bp/285bp/590bpbyend-26.Givensimilarriskexposures,wealsoadjust

ourbaselineforecastsforLLdefaultratesinbothregions,bringingthemclosertogether

byloweringourUSLLforecastfor2026to3.75%andincreasingourEULLforecastto

3.0%.Third,wecontinuetoseedisruptionriskasunderpricedinleveragedloans.With

US/EULLspreadsat498bp/515bpandyear-to-datewideningofjust43bp/41bp,current

pricingappearsinsufficient,asdosectormovesintheUS,particularlyoutsideTech.

US/EULoansAppearSimilarlyExposed,butEUTransmissionShouldbeSlower

Whileourbottom-upframeworkpointedtomarginallylowerAIdisruptionriskinEUHYthaninUSHY,applyingittoleveragedloansshowsthatrisksinEULLandUSLLaremoresimilar.Atanindexlevel,weclassify~4-5%ofloansas'highdisruptionrisk'and~25-30%ofloansas'mediumdisruptionrisk'inbothregions.Thesesimilarexposurestranslateintocomparableincrementaldefaultrisk(+3.5–4.5%fromcurrentlevels),implying~7–8%defaultratesforbothUSandEuropeanleveragedloansunderan“aggressiveAIdisruption”scenario(vs.ourcurrentestimateof9%)afteraccountingforcontagioneffects.AkeydriverofthesesimilarexposuresisthehighoverlapbetweenUSandEUloanissuers,whichwe

recentlynoted

tobearound50%.Giventhesesimilarriskexposures,wenowexpectmorecomparableleveragedloandefaultratesinbothregionsfor2026andincreaseourbaselinedefaultrateforecastforEULLto3.0%(vs.2.8%previously)andlowerourbaselineforecastforUSLLto3.75%(from4.0%previously).However,wecontinuetoexpectmedium-termoutperformanceofEULLvs.USLLfortworeasons:First,disruptionriskappearsmorebroadbasedintheUS.InEurope,highdisruptionriskislargelyconcentratedinServices,Gaming/LeisureandTechnology,mostofwhichalreadyoverlapsignificantlywiththeUS.Bycontrast,theUSshowsbroadersectorexposure,with9industriescontaining‘highrisk’issuers(vs.5inEurope),increasingthelikelihoodofgreatercontagionrisk.Second,wethinktheUSshouldcontinuetoseehigherAIadoptionratesthanEurope.ForfirmswithgreaterUSexposure,thislikelypullsforwardthetimingofdisruption,implyingaslowertransmissionofAI-relatedriskinEuropeanloanportfolios.

GlobalStrategy

Global

HenryMorrison-Jones

Strategist

henry.morrison-jones@

+44-20-79016656

SachinGanesh

AssociateStrategist

sachin.ganesh@

+1-212-7131062

JulienConzano

Strategist

julien.conzano@

+44-20-75672067

MatthewMish,CFA

Strategist

matthew.mish@

+1-203-7191242

BhanuBaweja

Strategist

bhanu.baweja@

+44-20-75686833

1.WeacknowledgethatAlticecurrentlycontributes~1.0%totheLTMEULLdefaultrate,butwillrolloutofthe12-monthwindowinMay.

2.Basedonpriorcycles,defaultsareconcentrated,withamajorityofdefaults(55-80%)inoneorafewsectors.Broadtighteninginfinancialconditionsresultsindefaultsacrossothersectors.Weassumemultipliersonourpriordefaultratesof1.2-1.4x.

ThisreporthasbeenpreparedbyUBSAGLondonBranch.ANALYSTCERTIFICATIONANDREQUIREDDISCLOSURES,iNcLuDiNGiNFoRmAtioNoNtHEQuANtitAtivEREsEARcHREviEwpuBLisHEDByUBS,BEGiNoNpAGE6.

GlobalStrategy20April2026婚§2

DisruptionRiskinLoansAppearsMispriced,EspeciallyinMedia&Services

Althoughsomeofthewideningwehavecalledforinloanspreadshasmaterialized,wecontinuetoseeAIdisruptionriskasoverlookedinleveragedloanmarkets.Year-to-date,US/EUloanindiceshavewidenedby43/41bpbuthaveactuallytightenedmonth-to-date(-16bp/-22bp)asgeopoliticalconcernseased.Atasectorlevel,onlyUSTechnologyloansappeartohaverepricedmeaningfullyforAI-relatedrisk,despiteMedia/TelecomandServicesfacingsimilarincrementaldisruptionrisk.Usingourbottom-upframework,weclassify7%ofUSTechloansasHighDisruptionrisk,versus~2%inUSMedia/Telecomand~19%inUSServices.Despitethis,Media/TelecomandServiceshavewidenedjust0bpand54bpyear-to-date,respectively,comparedwith~260bpinTech.

Beyondthesesectors,wealsoflagGaming/LeisureandRetailashighlyexposedtoAIdisruption,whileFood&Drug,Metals/MineralsandEnergyappearthemostinsulated.

Webelievespreadsinbothregionsshouldwidenmateriallyfromhere,particularlyinhigher-risksectorsthathaveyettorepricedecisivelyandreiterate

twoofourrecent

trades

:LongUSLLManufacturingvs.USLLServicesandLongEUHYvs.EULL.Wecontinuetomonitorkeyindicators,includingprivatecreditredemptions,AImodeladvancements,andrefinancingandliquidityrisksshouldfinancialconditionstighten.

Chartsonthenextpage.

GlobalStrategy20April2026婚§3

Figure1:WenowexpectmorecomparabledefaultratesbetweenUSandEUleveragedloansinourbaselinescenario

3.75%

3.3%

3.0%

1.4%

1.0%1.0%1.1%

USHYUSLLEUHYEULL

Mar'25CurrentBaselineforecast

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

2.1%2.2%2.2%

4.0%

3.5%

3.0%

1.7%

1.8%

Source:S&PUBSIndices,UBS

Figure3:EstimatedDefaultRatesinanAggressiveAIDisruptionScenario-ourbottom-upframeworkarrivesatdefaultrateestimatesnotfarfromour9%forecast

LTMDefaultRate

(end-25)

Incremental

DefaultIntensity

MarketWideDefaultRate

(exclcontagioneffects)

MarketWideDefaultRate

(inclcontagioneffects)

USLL

1.6%

4.1%

5.7%

7-8%

EULL

2.2%

3.6%

5.8%

7-8%

Source:S&PUBSIndices,UBSestimates

Figure5:USLLDisruptionRiskbySector

Industry

HighDisruption

Risk

Medium

DisruptionRisk

LowDisruption

Risk

AEROSPACE

0%

15%

85%

CHEMICALS

0%

3%

97%

CONSUMERDURABLES

0%

21%

79%

CONSUMERNON-DURABLES

3%

12%

85%

ENERGY

0%

0%

100%

FOODANDDRUG

0%

0%

100%

FOOD/TOBACCO

1%

2%

96%

FORESTPROD/CONTAINERS

0%

1%

99%

GAMING/LEISURE

8%

47%

45%

HEALTHCARE

1%

27%

72%

HOUSING

0%

2%

98%

INFORMATIONTECHNOLOGY

8%

68%

24%

MANUFACTURING

0%

6%

94%

MEDIA/TELECOM

13%

46%

41%

METALS/MINERALS

0%

0%

100%

RETAIL

7%

34%

60%

SERVICE

8%

46%

46%

TRANSPORTATION

1%

15%

84%

UTILITY0%

26%

74%

Source:S&PUBSIndices,UBS

Figure2:Ourbottom-upframeworkpointstoincrementaldefaultriskofaround3.5-4.5%forUSandEUleveragedloans,closethethelowerboundofourinitialrange(4-6%)

USLeveragedLoans

HighQuality

MidQuality

LowQuality

High

0.6%

1.5%

2.3%

Medium

5.8%

14.4%

12.4%

Low

17.7%

24.3%

21.1%

IncrementalDefaultRisk

4.1%

EuropeanLeveragedLoans

HighQuality

MidQuality

LowQuality

High

0.2%

1.5%

2.8%

Medium

3.3%

12.0%

8.5%

Low

11.6%

41.5%

18.6%

IncrementalDefaultRisk

3.6%

Source:S&PUBSIndices,UBSestimates

Figure4:USvs.EU%ofBusinessesAdoptingAI-theUSisleading,pullingthetimingofAIdisruptionforward.SmallEUfirmsdon'tseemtohaveadoptedyet

Source:S&PUBSIndices,UBS

Figure6:EULLDisruptionRiskbySector

Industry

HighDisruption

Risk

Medium

DisruptionRisk

LowDisruption

Risk

AEROSPACE

0%

0%

100%

CHEMICALS

0%

0%

100%

CONSUMERDURABLES

8%

0%

92%

CONSUMERNON-DURABLES

0%

0%

100%

ENERGY

0%

0%

100%

FOODANDDRUG

0%

0%

100%

FOOD/TOBACCO

0%

0%

100%

FORESTPROD/CONTAINERS

0%

0%

100%

GAMING/LEISURE

15%

49%

36%

HEALTHCARE

0%

20%

79%

HOUSING

0%

0%

100%

INFORMATIONTECHNOLOGY

7%

79%

14%

MANUFACTURING

0%

4%

96%

MEDIA/TELECOM

2%

43%

54%

METALS/MINERALS

0%

0%

100%

RETAIL

0%

14%

86%

SERVICE

19%

20%

61%

TRANSPORTATION

0%

16%

84%

Source:S&PUBSIndices,UBS

GlobalStrategy20April2026婚§4

Figure7:USLLSectorSpreadMovesYTD-outsideoftechnology,AIdisruptionriskappearsoverlookedinloans,evenin'highdisruptionrisk'sectors

Spread(bp)

900

USLLInformationTechnology

USLLService

800USLLMedia/TelecomUSLLGaming/Leisure

USLLRetail700

600

500

400

300

Jan-26Feb-26

Mar-26

Apr-26

Source:S&PUBSIndices,UBS

Figure9:USLLSpreadMovevs.IncrementalDefaultRisk-YTD,onlyTechappearstohaverepricedmeaningfully,despiteMedia&Servicesfacingsimilardisruptionrisk

YTDSoreadChange(bp)

0.0%2.0%4.0%6.0%8.0%10.0%12.0%Bottom-UpIncrementalDefaultRate

INFORMATIONTECHNOLOGY

MEDIA/TELECOM

CONSUMERRETAILDURABLES

CONSUMERNON-

DURABLES

HOUSING

AEROSPACE

FOODANDDRUG

300

250

200

150

100

50

0

-50

-100

SERVICEGAMING/LEISURE

ENERGY

FOOD/TOBACCOCHEMICALS

UTILITYMETALS/MINERALS

Source:S&PUBSIndices,UBS

Figure8:Loanspreadsinhighdisruptionrisksectorshavewidenedvs.lowdisruptionrisksectorsYTD,butonlythankstoTech

AvgSpread(bp)

Jan-23

Mar-23

May-23

Jul-23

Sep-23

Nov-23

Jan-24

Mar-24

May-24

Jul-24

Sep-24

Nov-24

Jan-25

Mar-25

May-25

Jul-25

Sep-25

Nov-25

Jan-26

Mar-26

750

700

650

600

550

500

450

400

350

300

LowDisruptionRiskIndustriesHighDisruptionRiskIndustries

Source:S&PUBSIndices,UBS

Figure10:OurUpdated2026SpreadForecastsforLeveragedLoans-wereviseEuropeanspreadforecastshigherbutstillexpectEULLtooutperformUSLLin2026

Current

Q2'26

Q3'26

Q4'26

USLL

502

520

620

610

EULL

515

525

600

590

Source:S&PUBSIndices,UBSestimates

GlobalStrategy20April2026婚§5

ValuationMethodandRiskStatement

Risksofmulti-assetinvestingincludebutarenotlimitedtomarketrisk,creditrisk,interestraterisk,andforeignexchangerisk.Correlationsofreturnsamongdifferentassetclassesmaydeviatefromhistoricalpatterns.Geopoliticaleventsandpolicyshocksposerisksthatcanreduceassetreturns.Valuationsmaybeadverselyaffectedduringtimesofhighmarketvolatility,thinliquidity,andeconomicdislocation.

GlobalStrategy20April2026婚§6

RequiredDisclosures

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GlobalStrategy20April2026婚§7

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