The leveraged loan default rate by amount declined sharply in June, falling to 0.97%, from 1.35% in May, as there were no defaults during the month to impact the rolling 12-month calculation.
The drop was driven largely by SFR’s June 2025 default falling off the legacy default list
SFR, a telecom company and affiliate of Altice France, accounted for roughly $5.65 billion of term debt included in the Morningstar LSTA US Leveraged Loan Index (LLI) at the time of its default. By issuer count, the default rate ticked down to 1.34% for the month, from 1.42% in May. There were also no liability management exercises in June, and the dual-track default rate posted a modest pullback to 2.77% in the month, from 3.11% in May.
Bucking the trend, the distress ratio rose 34 bps to 6.87% in June, from 6.53% in May. That move brings the reading, which reflects the proportion of loans valued at less than 80 cents on the dollar, back in line with levels seen in April (6.83%) after May’s decline, but it remains below the YTD peak of 7.23% in March. As of June 30, the trailing 12-month default rates of the Morningstar LSTA US Leveraged Loan Index (LLI) were as follows: – Payment default rate by amount: 0.97%, down from 1.35% in May. – Payment default rate by issuer count: 1.34%, down from 1.42% in May. – Dual-track default rate by issuer count: 2.77%, down from 3.11% in May.