U.S. — The U.S. leveraged loan payment default rate by amount decreased to 0.97% in June 2026, down from 1.35% in May. The decline resulted from the June 2025 default of SFR expiring from the rolling 12-month calculation.

No new defaults occurred in June 2026 affecting the rolling calculation. The payment default rate by issuer count fell to 1.34% in June from 1.42% in May. The dual-track default rate declined to 2.77% in June from 3.11% in May.

SFR is a telecom company and an affiliate of Altice France. At the time of its default, SFR accounted for approximately $5.65 billion of term debt within the Morningstar LSTA US Leveraged Loan Index. The estimated six-month forward default rate by issuer count on legacy defaults is 1.69%, according to the PitchBook LCD Default Predictor model.

The distress ratio, representing the proportion of loans valued below 80 cents on the dollar, increased to 6.87% in June from 6.53% in May. The ratio was 6.83% in April 2026 and reached a year-to-date peak of 7.23% in March 2026. The distress ratio by amount was 7.36% in December 2022, 3.06% in June 2025, and reached 2.59% in September 2025.

The five-year average monthly default rate decreased to 0.96% on a month-over-month basis. The 10-year average monthly default rate edged down to 1.51%. Legacy payment defaults ranged from 13 to 17 each month over the past year on a trailing 12-month basis.

No liability management exercises occurred in June 2026. Over the 12 months ending in June 2026, 16 index issuers conducted such exercises. This count is the lowest since August 2023, which recorded 15. In the calculation for June 2025, 36 index issuers had conducted liability management exercises, with three transactions from that period dropping off the list in June 2026.

Healthcare Providers and Services represented 22% of liability management exercises in the 12 months ending June 30, 2026, up from 14% for the period ending May 31, 2026. Consumer Staples Distribution and Retail accounted for 13%, and Automobile Components represented 9% for the period ending June 30, 2026. IT Services and Software sectors each accounted for 10% of exercises in the 12 months through May 31, 2026.

The ratio of loan facility downgrades to upgrades increased to 1.25x in June 2026 on a rolling three-month basis, up from 1.18x in May 2026. According to PitchBook LCD's Q2 US Leveraged Finance Survey, 41% of respondents projected a year-end loan default rate by amount in the 1.50-1.99% range, while 35% anticipated a rate between 2-2.99%. Nineteen percent selected the 1-1.49% range, and 6% offered no opinion.