corporates - fitch ratings · 2017-11-02 · fitch u.s. leveraged loan default insight . retail,...
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Corporates
www.fitchratings.com August 18, 2017
Leveraged Finance / U.S.A.
Fitch U.S. Leveraged Loan Default Insight Retail, Energy Drive U.S. Leveraged Loan Defaults; Post-Default Prices Strong Special Report
Retail, Energy Impact Defaults: Retail and energy remain the key sectors driving the TTM U.S. institutional leveraged loan default rate, contributing 58% of volume. J.Crew Group Inc.’s distressed debt exchange and True Religion Apparel Inc.’s bankruptcy propelled the TTM retail rate to 5.4%, with $3.8 billion of defaults over the past five months. Energy accounts for $7.5 billion of TTM volume, leading to a 17.4% July sector rate. Fitch anticipates the energy rate to finish 2017 at 18%, with Seadrill Ltd. and Pacific Drilling near-term default candidates.
Default Rate Below 2%: The default rate has remained in a tight 1.7%‒2.0% band since November. With no August defaults thus far, the rate falls to 1.7% from July’s 1.9%. Fitch believes the rate has troughed and will climb to 2.5% by year-end 2017. Along with some energy and retail bankruptcies, there are a few defaults expected from other sectors later this year, notably iHeartCommunications, Inc.
Loans of Concern: With $34 billion outstanding, the Loans of Concern table highlights potential defaults over the next 12 months. Energy and metals/mining comprise 32% of the total, well below 60% seen one year prior. Retail contributes 14% of the current total.
CLO Exposure: From the Loans list, the top five names held in Fitch-rated CLOs at the end of last month were Checkout Holding Corp. (84), Concordia International Corp. (72), Seadrill Ltd. (63), Getty Images Inc. (62) and Walter Investment Management Corp. (58). Fitch is monitoring Forterra Finance, LLC (held in 137 CLOs) and CPI Card Group Inc. (35) following weaker than expected earnings and a material drop in loan prices. The default rate for the overall Fitch-rated CLO index is 0.4% at July 31.
Post-Default Prices Steady: The July TTM 30-day, post-default, par-weighted bid price is 72% of par, up from 40% one year ago and above the historical 61% average. Energy is now 79%, significantly improved from 23% seen last year. The recent retail defaults have not fared as well. The post-default prices are at 44%, the lowest of any sector.
Loan-Only Capital Structure: Nearly 60% of the $1.06 trillion institutional leveraged loan universe is made up of issuance by companies that have no high yield bonds in the capital structure from Fitch’s bond index. That figure is essentially unchanged from one year earlier. However, the overall number rises to 78% when examining the universe based on issuance count due to the lack of bonds in large middle market transactions.
Secondary Bids Rise: Average secondary bid prices for first-lien loans are at 98, with 67% above par. The broadly syndicated loan segment is even higher, at 98.4. Nevertheless, retail continues to languish with 31% bid below 90 versus 27% last month and 19% last August.
Related Research Fitch U.S. High Yield Default Insight (U.S. High Yield TTM Default Rate Falls to Lowest Level Since March 2014) (August 2017) Healthcare, Food Beverage and Consumer Bankruptcy Enterprise Values and Creditor Recoveries (Fitch Case Studies ‒ 14th Edition) (June 2017) The Annual Manual (U.S. Leveraged Finance Primer) (May 2017) Bridging the Refinancing Cliff Update (Funding Gap Minimal; Refinancings Push Maturities to 2020 and Beyond) (February 2017) Energy, Power and Commodities Bankruptcy Enterprise Valuations and Creditor Recoveries (Fitch Case Studies — 12th Edition) (January 2017) U.S. Leveraged Finance: Road to Recovery Ratings (December 2016) Retail Bankruptcy Enterprise Value and Creditor Recoveries (Fitch Case Studies – 10th Edition) (September 2016)
Analysts Eric Rosenthal +1 212 908-0286 [email protected]
Michael Paladino, CFA +1 212 908-9113 [email protected]
Sharon Bonelli +1 212 908-0581 [email protected]
John Kempf, CFA +1 646 582-4710 [email protected]
Brendan Hoelmer +1 646 582-4781 [email protected]
U.S. Leveraged Loan Default Rate Breakdown (%) 2015 2016
7/17 TTM 2017F
All Issuers 1.7 1.8 1.9 2.5 Energy 9.8 14.2 17.4 18.0 Retail 0.5 0.4 5.4 9.0
F – Forecast. Source: Fitch U.S. Leveraged Loan Default Index.
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8/16 9/16 10/16 11/16 12/16 1/17 2/17 3/17 4/17 5/17 6/17 7/17
(%) Par-Weighted (LHS) Count (RHS)
aNo defaults. Note: Full list of defaults on page 3. Source: Fitch U.S. Leveraged Loan Default Index.
Retail, Energy Comprise 58% of TTM Par-Weighted Institutional Loan Defaults
a a
Ocean Rig
Ascent Resources, Gymboree
J.Crew, True Religion
(No.)
Corporates
Fitch U.S. Leveraged Loan Default Insight 2 August 18, 2017
Top Five Loans of Concern Industries
Industry
% of Leveraged Loan
Outstanding Energy 29 Broadcasting & Media 25 Retail 7 Banking & Finance 3 Utilities, Power & Gas 2
Note: Percentage of institutional leveraged loans outstanding takes the amount outstanding from the Loans of Concern list divided by the amount outstanding within each industry. Source: Fitch U.S. Leveraged Loan Default Index.
Loans of Concern Issuer
Amount Outstanding ($ Mil.) Industry
iHeartCommunications, Inc. 6,300.0 Broadcasting & Media Fieldwood Energy LLC 3,286.4 Energy Seadrill Ltd. 2,865.7 Energy Getty Images Inc. 1,895.0 Broadcasting & Media Cumulus Media Inc. 1,810.3 Broadcasting & Media Sears Holdings Corp. 1,595.0 Retail Checkout Holding Corp. 1,510.0 Broadcasting & Media Walter Investment Management Corp. 1,416.5 Banking & Finance Concordia International Corp. 1,075.3 Healthcare & Pharmaceutical Harvey Gulf International Marine Corp. 875.0 Transportation Nine West Holdings Inc. 745.0 Retail Pacific Drilling SA 719.3 Energy ExGen Texas Power LLC 659.6 Utilities, Power & Gas Millennium Health LLC 600.0 Healthcare & Pharmaceutical 99 Cents Only Stores LLC 592.3 Retail Philadelphia Energy Solutions Refining & Marketing LLC 526.6 Energy David's Bridal Inc. 497.0 Retail Pinnacle Holdco Sarl 480.0 Services & Miscellaneous Proserv Global Inc. 480.0 Energy J.G. Wentworth Inc. 449.5 Banking & Finance Triple Point Technology 435.0 Technology W&T Offshore Inc. 375.0 Energy Velocity Pooling Vehicle LLC 370.0 Automotive Azure Midstream Energy LLC 365.6 Energy Reddy Ice Corp. 345.0 Services & Miscellaneous TOMS Shoes LLC 306.5 Retail Caelus Energy Alaska O3 LLC 300.0 Energy Longview Power LLC 300.0 Utilities, Power & Gas RGL Reservoir Management Inc. 293.0 Energy Dixie Electric LLC 280.0 Energy Cactus Wellhead LLC 275.0 Energy Prowler Acquisition Corp. 270.0 Energy Isola AG 250.0 Chemicals Larchmont Resources LLC 250.0 Energy Everest Holdings LLC 225.0 Retail Express Energy Services 220.0 Energy Charlotte Russe Inc. 200.0 Retail Abaco Energy Technologies LLC 175.0 Energy Charming Charlie LLC 150.0 Retail Production Resource Group 150.0 Leisure & Entertainment NYDJ Apparel LLC 100.0 Retail Valitas Health Services Inc. 100.0 Healthcare & Pharmaceutical Vince, LLC 45.0 Retail Total 34,158.6
Note: Names above reflect our view of the most concerning issuers in the institutional leveraged loan market. Sorted by amount outstanding based on SEC Filings or available market information. Source: Fitch U.S. Leveraged Loan Default Index.
Corporates
Fitch U.S. Leveraged Loan Default Insight 3 August 18, 2017
Institutional Leveraged Loan Defaults on TTM Basis Month Issuer Par Value ($ Mil.) Default Date Default Source Industry August 2016 Templar Energy LLC 1,450.0 8/5/16 Missed Payment Energy
Stallion Oilfield Holding Inc. 328.0 8/14/16 Missed Payment Energy
Foresight Energy LP 297.8 8/30/16 Restructuring Metals & Mining
Subtotal 2,075.8
September 2016 No Default Activity October 2016 Tervita Corp. 244.6 10/18/16 Chapter 15 Filing Services & Miscellaneous
Key Energy Services Inc. 289.7 10/24/16 Chapter 11 Filing Energy
Performance Sports Group Ltd. 330.5 10/31/16 Chapter 11 Filing Consumer Products
Subtotal 864.7
November 2016 Bennu Oil & Gas LLC 487.0 11/30/16 Chapter 7 Filing Energy
Subtotal 487.0
December 2016 TwentyEighty Inc. 359.0 12/5/16 Missed Payment Services & Miscellaneous
La Paloma Generating Co. LLC 411.7 12/6/16 Chapter 11 Filing Utilities, Power & Gas
Cumulus Media Inc. 28.7 12/30/16 Distressed Exchange Broadcasting & Media
Subtotal 799.4
January 2017 Shelf Drilling Holdings Ltd. 350.0 1/11/17 Distressed Exchange Energy
Avaya Inc. 3,247.8 1/19/17 Chapter 11 Filing Telecommunications
Subtotal 3,597.8
February 2017 No Default Activity
March 2017 Answers Corp. 500.0 3/3/17 Chapter 11 Filing Technology
EXCO Resources Inc. 382.8 3/15/17 Distressed Exchange Energy
Montco Offshore Inc. 7.5 3/17/17 Chapter 11 Filing Transportation
SquareTwo Financial Corp. 146.1 3/19/17 Chapter 11 Filing Banking & Finance
Ocean Rig UDW Inc. 3,109.0 3/27/17 Chapter 15 Filing Energy
Subtotal 4,145.4
April 2017 Payless Inc. 665.0 4/4/17 Chapter 11 Filing Retail
Sprint Industrial Holdings LLC 220.0 4/13/17 Distressed Exchange Transportation
Panda Temple Power LLC 380.0 4/17/17 Chapter 11 Filing Utilities, Power & Gas
AFGlobal Corp. 662.1 4/30/17 Chapter 11 Filing Industrial/Manufacturing
Subtotal 1,927.1
May 2017 rue21, Inc. 521.0 5/15/17 Chapter 11 Filing Retail
Mood Media Corp. 228.5 5/22/17 Chapter 15 Filing Leisure & Entertainment
Total Safety US Inc. 405.0 5/22/17 Distressed Exchange Services & Miscellaneous
21st Century Oncology Inc. 602.4 5/25/17 Chapter 11 Filing Healthcare & Pharmaceutical
Subtotal 1,756.9
June 2017 Ignite Restaurant Group Inc. 115.3 6/6/17 Chapter 11 Filing Gaming, Lodging & Restaurants
Ascent Resources - Marcellus LLC 1,056.0 6/7/17 Missed Payment Energy
The Gymboree Corp. 760.6 6/11/17 Chapter 11 Filing Retail
Subtotal 1,931.9
July 2017 True Religion Apparel Inc. 471.0 7/5/17 Chapter 11 Filing Retail
J.Crew Group Inc. 1,370.0 7/11/17 Distressed Exchange Retail
Subtotal 1,841.0
Source: Fitch U.S. Leveraged Loan Default Index.
Corporates
Fitch U.S. Leveraged Loan Default Insight 4 August 18, 2017
Institutional Leveraged Loan Market Profile
Institutional Leveraged Loan Industry Composition
Industry
Amount Out-
standing ($ Bil.) (%)
No. Issuers (%)
Average Issue Size
($ Mil.)
% of Industry
BSL LMM First Lien
Second Lien
Spon-sored
Cov-Lite
Automotive 21.5 2 39 3 398.9 86 14 94 6 74 60 Banking & Finance 57.3 5 79 6 481.3 83 17 94 6 64 62 Broadcasting & Media 45.4 4 50 4 667.0 89 11 97 3 52 64 Building & Materials 20.0 2 29 2 465.7 77 23 93 7 66 68 Cable 11.1 1 11 1 653.6 95 5 100 0 28 15 Chemicals 36.0 3 67 5 404.7 90 10 95 5 47 70 Consumer Products 16.9 2 26 2 376.5 76 24 93 7 58 64 Energy 36.3 3 52 4 470.8 83 17 85 15 47 45 Food, Beverage & Tobacco 22.5 2 38 3 449.8 76 24 96 4 55 51 Gaming, Lodging & Restaurants 43.2 4 45 3 697.2 89 11 99 1 45 59 Healthcare & Pharmaceutical 108.6 10 143 10 590.2 90 10 95 5 59 51 Industrial/Manufacturing 37.8 4 53 4 429.5 81 19 94 6 78 80 Insurance 25.0 2 32 2 569.0 92 8 83 17 86 76 Leisure & Entertainment 39.0 4 42 3 638.8 91 9 95 5 61 68 Metals & Mining 12.5 1 26 2 379.8 76 24 98 2 29 50 Paper & Containers 19.6 2 26 2 530.4 91 9 96 4 66 64 Real Estate 13.9 1 14 1 631.5 92 8 95 5 54 61 Retail 60.9 6 70 5 609.1 89 11 93 7 71 76 Services & Miscellaneous 136.6 13 246 18 391.5 79 21 90 10 74 66 Supermarkets & Drug Stores 11.6 1 13 1 611.4 95 5 90 10 72 81 Technology 139.1 13 174 12 569.9 88 12 92 8 78 71 Telecommunications 66.8 6 45 3 867.1 95 5 93 7 31 51 Transportation 39.2 4 48 3 490.3 86 14 98 2 56 54 Utilities, Power & Gas 35.7 3 33 2 700.6 87 13 100 0 52 47 Total 1,056.6 100 1,401 100 524.9 86 14 94 6 62 62
BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Exhibits Index Institutional Leveraged Loan Market
Profile .................................................. 4
Default Statistics ................................. 12
Profile of Institutional Leveraged Loan Defaults: 2007–2016 ............... 17
Secondary Leveraged Loan Market Profile ................................................ 19
Credit Availability Indicators ............... 20
Appendix A ‒ Institutional Leveraged Loan Post-Default Price Data ........... 22
Appendix B ‒ Institutional Leveraged Loan Emergence Prices ................... 25
Fitch U.S. Institutional Leveraged Loan Default Index This index comprises rated and unrated, active institutional leveraged loans with a minimum deal size of $100 million. The loan facilities are all denominated in U.S. dollars and are comprised of institutional terms loans, drawn acquisition facilities, and bridge loans. Rated issuers in the index encompass companies with senior debt ratings from Fitch, Moody’s, or S&P. Unrated issuers are included based on spread and leverage statistics.
Broadly syndicated loans (BSLs) are defined as loans with a total deal size in excess of $500 million, while large middle market (LMM) consists of loans with deal value of $100 million–$500 million. Those LMM loans with revenue of at least $500 million are classified as BSL. Traditional middle market deals (under $100 million) are not included.
A default is recorded when an index company: 1) files for bankruptcy protection, 2) after a 30-day grace period expires for a missed bond payment or a five-day grace period expires for a missed loan payment without a forbearance, or 3) there is a distressed exchange, which affects the loan facilities. The default rate is calculated by dividing the par value of affected loans by the average size of the market over a stated time horizon.
Source: Fitch Ratings, Thomson Reuters LPC, Bloomberg, SEC Filings.
01020304050607080
Bid 8/12/16 Bid 8/11/17
Note: Sample based on 301 Fitch Ratings and Credit Opinions completed over the past year that includes issuers with institutional term loans with available secondary pricing.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
93% of Outstanding Fitch-Rated and Credit Opinion Institutional Loans Bid Above 90, Excluding Energy, Metals/Mining
(%)
01020304050607080
Bid 8/12/16 Bid 8/11/17
92% of Outstanding Fitch-Rated and Credit Opinion Institutional LoansBid Above 90
Note: Sample based on 320 Fitch Ratings and Credit Opinions completed over the past year that includes issuers with institutional term loans with available secondary pricing. Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
Corporates
Fitch U.S. Leveraged Loan Default Insight 5 August 18, 2017
010203040506070
Bid 8/12/16 Bid 8/11/17
10% of Outstanding Overall Institutional Loans Bid Under 95
Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
10%
010203040506070
Bid 8/12/16 Bid 8/11/17
9% of Outstanding Overall Institutional Loans Excluding Energy, Metals/Mining Bid Under 95
Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
9%
0
10
20
30
40
50
Bid 8/12/16 Bid 8/11/17
32% of Outstanding Energy, Metals/Mining Institutional LoansBid Under 95
Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
32%
05
10152025303540
Bid 8/12/16 Bid 8/11/17
44% of Outstanding Retail Institutional Loans Bid Under 95
Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
44%
010203040506070
Bid 8/12/16 Bid 8/11/17
16% of Outstanding TMT Institutional Loans Bid Under 95
TMT ‒ Technology, Media and Telecommunications.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
16%
010203040506070
Bid 8/12/16 Bid 8/11/17
6% of Outstanding Healthcare/Pharmaceutical Institutional Loans Bid Under 95
Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
(%)
6%
Corporates
Fitch U.S. Leveraged Loan Default Insight 6 August 18, 2017
BBB3%
BB35%
B56%
CCC6%
Note: Based on 1,138 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien Institutional Loans
BB20%
B52%
CCC28%
Note: Based on 74 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien Energy and Metals/Mining Institutional Loans
BBB3%
BB38%
B54%
CCC5%
BSL – Broadly syndicated loans. Note: Based on 836 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien BSL Institutional Loans
010203040506070(%) Bid 8/12/16 Bid 8/11/17
BSL – Broadly syndicated loans. Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
9% of Outstanding Overall BSL Institutional Loans Bid Under 95
Average bid: 98.4
0
10
20
30
40
50(%) Bid 8/12/16 Bid 8/11/17
LMM – Large middle market.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
14% of Outstanding Overall LMM Institutional Loans Bid Under 95
Average bid: 97.0
BBB1%
BB8%
B81%
CCC10%
LMM – Large middle market. Note: Based on 302 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien LMM Institutional Loans
BBB1% BB
15%
B74%
CCC7%
Note: Based on 701 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien Sponsored Institutional Loans
BBB5%
BB59%
B32%
CCC4%
Note: Based on 437 issues rated by at least one of three rating agencies.Source: Fitch U.S. Leveraged Loan Default Index, Advantage Data, Thomson Reuters LPC.
Rating Distribution of First-Lien Non-Sponsored Institutional Loans
Corporates
Fitch U.S. Leveraged Loan Default Insight 7 August 18, 2017
Rating Distribution of First Lien Loans by Industry
% of Sector Rated BB % of Sector Rated B % of Sector Rated CCC-C
Automotive 37 60 3 Banking & Financea 32 62 6 Broadcasting & Media 33 45 21 Building & Materials 20 78 1 Cablea 65 33 2 Chemicals 39 61 0 Consumer Productsa 23 72 4 Energy 26 38 35 Food, Beverage & Tobacco 50 48 2 Gaming, Lodging & Restaurantsa 55 44 0 Healthcare & Pharmaceuticala 40 57 3 Industrial/Manufacturing 13 83 4 Insurance 16 83 1 Leisure & Entertainmenta 26 73 1 Metals & Mining 3 92 5 Paper & Containers 26 70 4 Real Estate 65 35 0 Retaila 24 61 15 Services & Miscellaneousa 28 68 3 Supermarkets & Drug Stores 91 9 0 Technologya 37 61 2 Telecommunications 73 27 0 Transportationa 58 35 6 Utilities, Power & Gas 64 32 4 Totala 38 57 6 aIssues rated BBB are included in percent of Sector Rated BB. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
0
20
40
60
80
100
Covenant-Lite Covenants
Monthly Institutional Covenant-Lite Issuance
Note: Covenant-lite is defined as deals that do not have maintenance covenants.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
63% 74% 46%65%
70%
67%
0
200
400
600
800
1,000
Pre-2014 2014 2015 2016 July 2017 Total
Covenant-Lite CovenantsOutstanding Covenant-Lite Constitutes 67% of BSL Market
BSL – Broadly syndicated loans. Note: Covenant-lite percentages shown. Outstanding institutional leveraged loan market profile at end of July. Years reflect the vintage of current loans outstanding and not total issuance. Covenant-lite is defined as deals that do not have maintenance covenants.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.)
Corporates
Fitch U.S. Leveraged Loan Default Insight 8 August 18, 2017
Institutional Leveraged Loan Maturity Schedule by Industry ($ Bil.) 2017 2018 2019 2020 2021 2022 2023 ≥2024 Automotive 0.1 0.7 0.5 1.0 6.0 3.4 2.8 6.8 Banking & Finance 0.0 0.0 1.3 7.6 6.3 12.7 13.3 15.8 Broadcasting & Media 0.2 0.4 9.1 4.1 4.9 4.5 7.7 13.9 Building & Materials 0.0 0.2 0.0 0.3 1.4 4.3 8.5 5.3 Cable 0.0 0.0 1.0 1.0 2.6 0.2 2.6 3.8 Chemicals 0.2 0.5 0.8 4.1 4.8 8.3 6.1 10.9 Consumer Products 0.0 0.2 1.5 0.7 1.0 4.4 3.2 6.0 Energy 0.0 4.2 1.2 6.8 13.4 2.1 3.9 4.5 Food, Beverage & Tobacco 0.2 0.6 0.4 1.0 2.8 4.0 8.0 5.6 Gaming, Lodging & Restaurants 0.0 0.3 1.7 4.2 8.7 2.0 14.5 11.4 Healthcare & Pharmaceutical 0.0 1.9 8.7 5.2 23.2 26.6 24.1 17.5 Industrial/Manufacturing 0.1 0.3 2.1 5.1 10.5 4.7 8.8 6.2 Insurance 0.0 0.3 1.1 3.3 4.1 7.2 5.2 3.8 Leisure & Entertainment 0.0 0.6 0.6 2.7 8.2 7.6 5.8 13.5 Metals & Mining 0.0 0.3 1.8 3.4 1.6 3.3 1.5 0.7 Paper & Containers 0.0 0.0 0.8 2.7 1.3 4.4 6.8 3.7 Real Estate 0.0 0.2 0.3 0.8 2.7 2.9 3.6 3.4 Retail 0.0 1.3 4.5 7.7 7.4 15.3 20.3 4.4 Services & Miscellaneous 0.3 0.8 8.3 13.8 29.4 32.9 26.5 24.0 Supermarkets & Drug Stores 0.0 0.0 1.1 0.8 4.3 1.7 3.1 0.5 Technology 0.2 1.9 3.6 8.6 21.3 28.2 45.8 29.1 Telecommunications 0.0 0.9 3.6 10.8 4.9 4.2 6.6 35.7 Transportation 0.0 1.5 1.8 8.3 7.3 9.3 8.2 2.8 Utilities, Power & Gas 0.2 7.5 1.0 4.2 3.4 1.5 13.3 4.6 Total 1.5 24.4 56.8 108.4 181.6 195.7 250.1 233.8
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
419
55
115
204
244
181
115
50 1 24
57
108
182 196
250 234
0
100
200
300
2016 2017 2018 2019 2020 2021 2022 2023 ≥ 2024
July 2016 July 2017
Institutional Leveraged Loan Maturities Shrink
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.)
Only $83 billion due through 2019.
Corporates
Fitch U.S. Leveraged Loan Default Insight 9 August 18, 2017
Institutional Leveraged Loan Maturity Schedule by Industry — BSL ($ Bil.) 2017 2018 2019 2020 2021 2022 2023 ≥2024 Automotive 0.0 0.7 0.4 0.5 5.8 2.8 1.9 6.4 Banking & Finance 0.0 0.0 0.7 6.0 4.3 10.6 11.9 14.0 Broadcasting & Media 0.0 0.0 9.0 3.1 4.4 2.8 7.0 13.4 Building & Materials 0.0 0.0 0.0 0.0 0.9 2.8 7.2 4.5 Cable 0.0 0.0 1.0 0.8 2.6 0.2 2.3 3.8 Chemicals 0.0 0.2 0.6 3.1 3.6 7.9 6.1 10.8 Consumer Products 0.0 0.0 0.7 0.4 0.2 3.6 2.6 5.5 Energy 0.0 3.5 0.9 4.3 11.7 1.8 3.5 4.5 Food, Beverage & Tobacco 0.0 0.6 0.0 0.0 1.5 3.4 7.1 4.6 Gaming, Lodging & Restaurants 0.0 0.3 1.2 3.4 7.8 1.0 14.3 10.3 Healthcare & Pharmaceutical 0.0 1.8 7.0 4.1 21.3 23.4 22.6 16.0 Industrial/Manufacturing 0.0 0.0 0.6 3.5 8.7 3.2 8.7 5.9 Insurance 0.0 0.3 1.0 3.0 4.1 6.2 4.8 3.6 Leisure & Entertainment 0.0 0.4 0.2 2.5 8.0 6.3 5.7 12.6 Metals & Mining 0.0 0.0 1.6 2.4 0.8 3.3 0.7 0.7 Paper & Containers 0.0 0.0 0.6 2.2 1.3 4.0 6.3 3.4 Real Estate 0.0 0.0 0.0 0.5 2.5 2.9 3.6 3.3 Retail 0.0 0.8 3.8 6.9 6.2 13.6 19.0 3.7 Services & Miscellaneous 0.0 0.2 4.4 11.0 21.8 27.4 22.0 20.1 Supermarkets & Drug Stores 0.0 0.0 1.1 0.5 4.3 1.7 2.9 0.5 Technology 0.0 1.0 2.9 6.7 17.0 24.7 44.4 25.5 Telecommunications 0.0 0.7 3.1 10.3 4.2 4.0 5.6 35.2 Transportation 0.0 1.1 1.6 7.1 6.0 8.3 7.2 2.5 Utilities, Power & Gas 0.0 7.0 0.8 3.1 2.8 0.6 12.7 4.3 Total 0.0 18.5 42.8 85.2 151.9 166.6 230.0 215.0
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Institutional Leveraged Loan Maturity Schedule by Industry — LMM ($ Bil.) 2017 2018 2019 2020 2021 2022 2023 ≥2024 Automotive 0.1 0.0 0.1 0.5 0.2 0.6 0.9 0.4 Banking & Finance 0.0 0.0 0.6 1.7 2.0 2.1 1.4 1.7 Broadcasting & Media 0.2 0.4 0.1 1.1 0.5 1.7 0.8 0.6 Building & Materials 0.0 0.2 0.0 0.3 0.5 1.4 1.3 0.8 Cable 0.0 0.0 0.0 0.3 0.0 0.0 0.3 0.0 Chemicals 0.2 0.3 0.2 1.0 1.2 0.4 0.0 0.1 Consumer Products 0.0 0.2 0.8 0.4 0.9 0.8 0.6 0.5 Energy 0.0 0.7 0.3 2.5 1.7 0.4 0.5 0.0 Food, Beverage & Tobacco 0.2 0.0 0.4 1.0 1.3 0.6 0.9 1.0 Gaming, Lodging & Restaurants 0.0 0.0 0.6 0.8 1.0 1.0 0.2 1.1 Healthcare & Pharmaceutical 0.0 0.1 1.7 1.2 1.8 3.2 1.5 1.5 Industrial/Manufacturing 0.1 0.3 1.5 1.6 1.8 1.5 0.1 0.3 Insurance 0.0 0.0 0.1 0.3 0.0 1.0 0.4 0.3 Leisure & Entertainment 0.0 0.2 0.4 0.2 0.1 1.3 0.2 0.9 Metals & Mining 0.0 0.3 0.2 1.1 0.7 0.0 0.8 0.0 Paper & Containers 0.0 0.0 0.2 0.4 0.0 0.4 0.5 0.3 Real Estate 0.0 0.2 0.3 0.3 0.2 0.0 0.0 0.1 Retail 0.0 0.5 0.7 0.8 1.2 1.6 1.3 0.7 Services & Miscellaneous 0.3 0.6 4.0 2.9 7.6 5.5 4.5 3.9 Supermarkets & Drug Stores 0.0 0.0 0.0 0.4 0.0 0.0 0.2 0.0 Technology 0.2 0.8 0.7 1.9 4.3 3.5 1.4 3.6 Telecommunications 0.0 0.2 0.5 0.5 0.7 0.3 1.0 0.5 Transportation 0.0 0.4 0.2 1.2 1.3 1.0 0.9 0.2 Utilities, Power & Gas 0.2 0.5 0.2 1.1 0.6 1.0 0.6 0.3 Total 1.4 5.9 14.0 23.2 29.7 29.2 20.1 18.8
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Corporates
Fitch U.S. Leveraged Loan Default Insight 10 August 18, 2017
(40)
(20)
0
20
40
60
0
300
600
900
1,200
1,500
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017
Loans (LHS) High Yield (LHS)Loans Growth Rate (RHS) High-Yield Growth Rate (RHS)
Cross-Market Trends Size and Growth Rate
Note: July 2017 growth rate year over year.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.) (%)
(30)
(15)
0
15
30
45
60
0150300450600750900
1,050
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017
BSL (LHS) LMM (LHS) BSL Growth Rate (RHS) LMM Growth Rate (RHS)
BSL Versus LMM Size and Growth Rate
BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market. Note: July 2017 growth rate year over year.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.) (%)
(40)
(20)
0
20
40
60
0
200
400
600
800
1,000
1,200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017
Market Size (LHS) Growth Rate (RHS)Market Size and Growth Rate
Note: July 2017 growth rate year over year.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.) (%)
412
70 53
185256
335
625
451
289
415
175
528
13048
147
250192
281 270 263 240 205
124 128
0
100
200
300
400
500
600
700
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July2016YTD
July2017YTD
Institutional Loans High-Yield Bonds
Institutional Loan and High-Yield Bond Issuance
Source: Fitch Ratings, Thomson Reuters LPC, Bloomberg.
($ Bil.)
Refinancings drove new issuance.
Refinancing activity increased again.
Corporates
Fitch U.S. Leveraged Loan Default Insight 11 August 18, 2017
Institutional Leveraged Loan 30-Day Post-Default Pricesa (%)
First Lien
Default Year First Lien
Second Lien BSL LMM Cov Lite
Bond and Loan
Issuers
Loan Only
Issuers Sponsored Non-
Sponsored 2007 88.8 41.3 88.8 — — 88.8 — — 88.8 2008 49.4 18.5 48.0 58.6 37.6 45.3 56.4 39.9 70.0 2009 54.9 31.9 56.1 39.7 42.0 63.0 42.1 45.7 63.6 2010 77.9 12.1 84.7 64.9 — 82.7 76.5 78.6 76.1 2011 60.5 13.5 68.9 54.5 — 97.5 49.2 50.3 76.9 2012 65.5 26.5 67.3 60.0 59.0 68.9 64.5 66.0 64.5 2013 69.4 40.0 68.8 93.6 54.1 71.5 66.7 64.0 71.6 2014 78.4 53.3 78.5 77.6 — 78.3 80.1 76.8 94.6 2015 49.9 49.6 52.3 39.0 32.9 53.3 44.3 62.1 42.8 2016 50.1 23.7 46.5 40.7 43.1 48.2 52.0 49.2 50.7 July 2017 TTM 72.2 24.3 71.2 78.5 65.3 73.6 68.0 67.8 77.2 2007–2016 60.7 32.5 61.3 56.4 43.8 64.4 55.1 58.7 63.4
Observations ($ Bil.) 2007 0.8 0.4 0.8 — — 0.8 — — 0.8
2008 16.7 1.5 14.4 2.3 0.9 10.5 6.2 11.4 5.3 2009 48.1 2.3 44.7 3.4 4.1 29.4 18.6 23.4 24.7 2010 7.3 1.8 4.8 2.5 — 1.6 5.7 5.2 2.0 2011 1.0 0.4 0.4 0.6 — 0.2 0.7 0.6 0.4 2012 9.3 0.9 6.9 2.3 2.9 2.1 7.2 6.0 3.2 2013 9.1 0.2 8.9 0.2 1.7 5.2 4.0 2.6 6.5 2014 24.0 2.3 22.6 1.4 — 21.7 2.3 21.8 2.3 2015 9.8 2.2 8.0 1.8 4.3 6.2 3.6 3.6 6.2 2016 11.6 1.7 9.2 2.4 5.5 5.9 5.7 4.5 7.1 July 2017 TTM 14.8 2.5 12.9 1.9 9.6 11.0 3.8 7.9 6.9 2007–2016 137.7 13.8 120.9 16.8 19.3 83.6 54.1 79.2 58.5 aPar weighted and based on market prices post-default. The year above is specific to defaulted loans with price data (see pages 22–24 for more details). BSL – Broadly syndicated loans. LMM – Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
Institutional Leveraged Loan Emergence Pricesa (%)
First Lien
Default Year First Lien
Second Lien BSL LMM Cov Lite
Bond and Loan
Issuers
Loan Only
Issuers Sponsored Non-
Sponsored 2007 74.7 20.6 74.7 — — 74.7 — — 74.7 2008 58.6 2.3 59.6 48.2 80.3 70.5 23.3 71.0 27.4 2009 78.9 29.2 80.7 55.7 85.7 89.3 55.7 62.8 89.6 2010 76.2 6.5 86.5 58.0 — 60.9 81.7 73.7 83.6 2011 67.0 55.0 — 67.0 — 78.0 55.0 — 67.0 2012 57.1 — 58.8 43.5 53.9 54.2 63.9 58.8 — 2013 77.1 — 76.8 99.5 51.0 87.0 59.0 55.7 81.1 2014 70.2 60.8 76.5 47.3 — 90.5 58.7 55.0 77.6 2015 36.3 19.5 31.9 68.5 37.1 43.1 32.6 31.1 38.5 2016 68.9 11.5 65.8 83.3 79.9 70.2 67.0 53.0 76.0 2007–2016 71.2 27.5 72.4 59.7 65.0 80.9 53.3 63.3 77.3
Observations ($ Bil.) 2007 0.8 0.4 0.8 — — 0.8 — — 0.8
2008 13.5 1.0 12.4 1.1 0.9 10.1 3.4 9.7 3.8 2009 38.8 1.2 36.1 2.8 3.2 26.9 11.9 15.5 23.4 2010 3.0 1.1 1.9 1.1 — 0.8 2.2 2.2 0.8 2011 0.3 0.0 — 0.3 — 0.2 0.1 — 0.3 2012 2.1 — 1.9 0.2 1.3 1.5 0.6 1.9 — 2013 8.0 — 7.9 0.1 1.5 5.2 2.8 1.8 6.4 2014 2.7 1.9 2.1 0.6 — 1.0 1.7 0.9 1.8 2015 4.3 1.6 3.8 0.5 2.8 1.5 2.8 1.2 3.1 2016 6.4 0.2 5.2 1.1 2.2 3.7 2.7 2.0 4.4 2007–2016 80.0 7.3 72.2 7.8 11.9 51.6 28.3 35.2 44.8 aPar weighted and based on market prices at emergence. The year above is specific to issuers that have emerged from bankruptcy with loan-price data (See pages 25–27 for more details). BSL – Broadly syndicated loans. LMM – Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
Corporates
Fitch U.S. Leveraged Loan Default Insight 12 August 18, 2017
Default Statistics
0.3
2.9
12.0
1.60.5
1.8 2.03.6
1.7 1.7 1.90.1
2.84.6
3.0
0.92.2
0.21.5 1.9 2.2 2.1
0
2
4
6
8
10
12
14
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017TTM
BSL LMM
Institutional Leveraged Loan Default Rate: BSL Versus LMM
BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
0.0
3.3
7.2
2.30.8
1.80.6
4.4
1.5 1.3 1.80.5
2.4
15.1
1.30.3
1.93.2
1.7 2.2 2.6 2.2
02468
10121416
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017TTM
Sponsored Non-Sponsored
Institutional Leveraged Loan Default Rate: Sponsored Versus Non-Sponsored
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
0.0
0.5
1.0
1.5
2.0
2.5
7/16 8/16 9/16 10/16 11/16 12/16 1/17 2/17 3/17 4/17 5/17 6/17 7/17
Institutional Loan Default Rate Fitch-Rated CLO Index Default Rate
Fitch-Rated CLO Index
Source: Fitch Ratings.
(%)
0.2
2.9
10.5
1.90.6
1.8 1.6
3.21.7 1.8 1.9
0
2
4
6
8
10
12
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 July 2017TTM
Institutional Leveraged Loan Default Rate
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
Corporates
Fitch U.S. Leveraged Loan Default Insight 13 August 18, 2017
Institutional Leveraged Loan Industry Default Rates
(%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
July 2017 TTM
2007–2016
Automotive — 2.7 19.3 — — — — — — 2.4 — 2.8 Banking & Finance — — 33.4 2.1 0.4 5.8 — — — 1.5 0.3 4.1 Broadcasting & Media — 8.8 19.5 6.0 0.4 1.0 17.6 1.1 0.5 5.4 0.1 7.0 Building & Materials — 13.8 31.2 4.2 — 3.0 1.9 — — — — 5.8 Cable — — 28.1 — — 2.3 — — — — — 3.8 Chemicals — 3.7 44.2 — — — — — — 1.3 — 6.7 Consumer Products — 0.9 8.1 3.2 0.5 1.6 — — 3.5 2.7 2.3 2.1 Energy — 1.7 2.6 — — 2.1 1.1 — 9.8 14.2 17.4 3.7 Food, Beverage & Tobacco — 1.2 0.8 — — 0.3 — — — — — 0.2 Gaming, Lodging & Restaurants — 13.4 2.5 3.9 0.6 4.1 2.5 2.1 13.0 — 0.3 4.5 Healthcare & Pharmaceutical 0.2 0.3 1.0 1.7 — 0.4 0.1 0.3 2.3 — 0.6 0.7 Industrial/Manufacturing — — 4.0 1.9 — — — — — — 1.8 0.5 Insurance — — — — — — — — — — — — Leisure & Entertainment 1.3 — 32.8 — 1.5 2.6 — 0.8 — 0.1 0.7 3.5 Metals & Mining 1.1 — 4.1 — — — — 2.3 12.9 23.6 2.2 4.4 Paper & Containers 1.3 1.9 11.8 2.9 12.9 — — — — 5.3 — 4.2 Real Estate — 19.8 21.1 0.9 — — — — — — — 6.3 Retail 2.1 1.1 5.7 4.5 2.8 3.4 0.5 0.1 0.5 0.4 5.4 1.8 Services & Miscellaneous — 1.2 0.6 1.0 — 2.5 1.2 1.9 0.6 0.5 0.7 0.9 Supermarkets & Drug Stores — — 4.2 — — — — — — 2.2 — 0.6 Technology — — 1.9 0.2 — — — 0.2 0.1 0.4 0.4 0.3 Telecommunications — 2.0 5.2 — 0.5 2.5 — 1.9 — — 5.9 1.2 Transportation — 4.6 1.2 — 0.1 9.8 1.0 3.3 — — 0.5 1.7 Utilities, Power & Gas — — — 5.7 0.2 1.5 — 50.9 — 1.5 2.4 7.2 Total Index 0.2 2.9 10.5 1.9 0.6 1.8 1.6 3.2 1.7 1.8 1.9 2.7
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Corporates
Fitch U.S. Leveraged Loan Default Insight 14 August 18, 2017
Institutional Leveraged Loan Default Profile ($ Bil.) 2016 July 2017 TTM Issuance Year
Pre 2010 0.0 0.0 2010 0.3 0.0 2011 0.0 1.4 2012 1.1 0.0 2013 7.6 6.6 2014 5.4 7.6 2015 3.0 3.7 2016 0.0 0.2 Total Default Volume 17.4 19.4
Default Source Bankruptcy 13.2 13.2
Missed Payment 3.1 3.2 Distressed Exchange and Non-Bankruptcy Restructurings 1.1 3.1
Market Share BSL 14.2 16.5
LMM 3.3 3.0
Covenant Status Covenants 9.1 6.9
Covenant Lite 8.3 12.6
Priority First Lien 14.1 15.9
Second Lien 3.4 3.5
Capital Structure Loans and Bond Issuers 7.1 11.6
Loan Only Issuers 10.4 7.8
BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg, SEC filings.
0
5
10
15
20
25
30
Cumulative Default Rates by Vintage
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
0
1
2
3
4
5
Time to Default
Note: 2007–2017 average: 2.9 years. Default time measured from date of issuance.Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(Years)
Corporates
Fitch U.S. Leveraged Loan Default Insight 15 August 18, 2017
Fitch U.S. Leveraged Loan Default Rate, Post-Default Prices and Loss Rate by Industry
2014 2015 2016
(%) Default
Rate
Post-Default Prices
Loss Rate
Default Rate
Post-Default Prices
Loss Rate
Default Rate
Post-Default Prices
Loss Rate
Automotive — — — — — — 2.4 67.4 0.8 Banking & Finance — — — — — — 1.5 40.9 0.9 Broadcasting & Media 1.1 54.8 0.5 0.5 5.0 0.4 5.4 34.6 3.5 Building & Materials — — — — — — — — — Cable — — — — — — — — — Chemicals — — — — — — 1.3 65.5 0.5 Consumer Products — — — 3.5 38.0 2.2 2.7 98.9 0.0 Energy — — — 9.8 28.8 7.0 14.2 43.0 8.1 Food, Beverage & Tobacco — — — — — — — — — Gaming, Lodging & Restaurants 2.1 36.3 1.3 13.0 90.5 1.2 — — — Healthcare & Pharmaceutical 0.3 89.5 0.0 2.3 44.9 1.2 — — — Industrial/Manufacturing — — — — — — — — — Insurance — — — — — — — — — Leisure & Entertainment 0.8 — — — — — 0.1 41.0 0.1 Metals & Mining 2.3 99.9 0.0 12.9 44.2 7.2 23.6 38.8 14.4 Paper & Containers — — — — — — 5.3 20.8 4.2 Real Estate — — — — — — — — — Retail 0.1 93.8 0.0 0.5 99.5 0.0 0.4 14.0 0.4 Services & Miscellaneous 1.9 53.8 0.9 0.6 96.8 0.0 0.5 71.1 0.1 Supermarkets & Drug Stores — — — — — — 2.2 93.1 0.1 Technology 0.2 92.8 0.0 0.1 30.8 0.1 0.4 98.0 0.0 Telecommunications 1.9 100.0 0.0 — — — — — — Transportation 3.3 90.0 0.3 — — — — — — Utilities, Power & Gas 50.9 77.4 11.5 — — — 1.5 47.1 0.8 Total Market 3.2 76.3 0.8 1.7 49.9 0.9 1.8 46.2 1.0
Note: Post-default prices based on price of defaulted issues 30 days after default. Includes first- and second-lien issues. Loss Rate = Default Rate x (1-Post-Default Prices). Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Corporates
Fitch U.S. Leveraged Loan Default Insight 16 August 18, 2017
Institutional Leveraged Loan 30-Day Post-Default Pricesa (%)
First Lien
2016 First Lien
Second Lien BSL LMM
Cov-Lite
Bond and Loan
Issuers
Loan Only
Issuers Spon-sored
Non-Spon-sored ($ Bil.)
Consumer Products 98.9 — 98.9 — 98.9 — 98.9 — 98.9 0.3 Technology 98.0 — — 98.0 — 98.0 — 98.0 — 0.4 Supermarket & Drug Stores 93.1 — — 93.1 — — 93.1 93.1 — 0.3 Automotive 71.4 56.9 71.4 — — 71.4 — 71.4 — 0.4 Services & Miscellaneous 71.1 — 98.7 40.8 — 98.7 40.8 40.8 98.7 0.5 Chemicals 65.5 — 65.5 — — — 65.5 65.5 — 0.5 Energy 53.6 20.5 47.9 73.3 38.6 56.2 51.9 14.2 62.6 3.4 Banking & Finance 50.0 9.3 50.0 — — — 50.0 50.0 — 0.5 Leisure & Entertainment 41.0 — — 41.0 41.0 — — — 41.0 0.0 Metals & Mining 38.8 — 41.5 21.7 39.9 39.9 15.1 57.8 34.5 3.2 Broadcasting & Media 34.6 — 34.5 35.0 65.2 33.8 65.2 — 34.6 1.0 Paper & Containers 20.8 — 20.8 — — 20.8 — 20.8 — 0.7 Retail 14.0 — 14.0 — — — 14.0 14.0 — 0.3 Utilities, Power & Gas — 47.1 — — — — — — — —
July 2017 TTM Leisure & Entertainment 99.3 — — 99.3 — 99.3 — — 99.3 0.2
Consumer Products 98.9 — 98.9 — 98.9 — 98.9 — 98.9 0.3 Healthcare & Pharmaceutical 94.5 — 94.5 — — 94.5 — 94.5 — 0.6 Metals & Mining 92.0 — 92.0 — 92.0 92.0 — 92.0 — 0.3 Utilities, Power & Gas 90.6 47.1 — 90.6 — — 90.6 — 90.6 0.4 Services & Miscellaneous 81.9 26.2 98.7 73.9 99.4 98.7 73.9 73.9 98.7 0.8 Transportation 80.5 53.5 — 80.5 — — 80.5 — 80.5 0.2 Telecommunications 79.5 — 79.5 — 79.5 79.5 — 79.5 — 3.2 Energy 79.2 26.5 81.1 67.8 68.4 82.6 66.8 — 79.2 4.8 Broadcasting & Media 65.2 — 65.2 — 65.2 65.2 — — 65.2 0.0 Industrial/Manufacturing 57.0 9.8 57.0 — 57.0 — 57.0 57.0 — 0.5 Technology 45.0 1.3 45.0 — 45.0 — 45.0 45.0 — 0.3 Retail 43.7 8.0 43.7 — 43.7 42.5 49.8 46.5 34.8 3.2 aPar weighted and based on market prices post-default. BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Corporates
Fitch U.S. Leveraged Loan Default Insight 17 August 18, 2017
Profile of Institutional Leveraged Loan Defaults: 2007–2016
Default Source
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Bankruptcy77%
Distressed Exchanges and Non-
Bankruptcy Restructurings
6%
Missed Payment
17%
020406080100120
0153045607590
Volume (LHS)Number of Issuer Deals (RHS)
Default Volume and Issuer Count
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
($ Bil.) (Count)
BSL86%
LMM14%
Market Share
BSL ‒ Broadly syndicated loans. LMM ‒ Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Covenant Lite13%
Covenant Status
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Covenants87%
First Lien85%
Second Lien14%
Priority
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Unsecured1%
Capital Structure
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
Loan Only41%
Loan and Bond Issuers
59%
Corporates
Fitch U.S. Leveraged Loan Default Insight 18 August 18, 2017
2007−2016 Industry Profile of High Yield and Institutional Leveraged Loan Defaults ($ Bil.)
Industry Loans Bonds Total % of Total Energy 13.4 65.0 78.4 14.2 Banking & Finance 12.0 63.9 75.9 13.7 Broadcasting & Media 35.5 27.8 63.3 11.5 Utilities, Power & Gas 23.9 28.0 51.9 9.4 Gaming, Lodging & Restaurants 14.8 33.5 48.4 8.8 Metals & Mining 7.7 20.1 27.8 5.0 Chemicals 17.6 6.3 23.9 4.3 Paper & Containers 5.9 18.0 23.9 4.3 Automotive 6.2 16.7 22.9 4.1 Cable 7.8 12.6 20.4 3.7 Service & Miscellaneous 7.4 8.8 16.2 2.9 Telecommunications 4.5 9.9 14.4 2.6 Retail 7.7 6.5 14.3 2.6 Building & Materials 6.6 6.2 12.8 2.3 Leisure & Entertainment 6.0 4.8 10.8 2.0 Transportation 5.0 4.6 9.6 1.7 Healthcare & Pharmaceutical 5.1 3.5 8.6 1.6 Technology 1.8 6.7 8.5 1.5 Real Estate 4.7 2.9 7.6 1.4 Consumer Products 3.8 2.3 6.2 1.1 Food, Beverage & Tobacco 0.5 2.5 2.9 0.5 Industrial/Manufacturing 1.3 1.3 2.6 0.5 Supermarkets & Drug Stores 0.5 0.6 1.2 0.2 Insurance 0.0 0.0 0.0 0.0 Total 199.7 352.6 552.3 100.0
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
0 1 2 3 4 5 6 7 8
Total MarketInsurance
Food, Beverage & TobaccoTechnology
Industrial/ManufacturingSupermarkets & Drug StoresHealthcare & Pharmaceutical
Services & MiscellaneousTelecommunications
TransportationRetail
Consumer ProductsAutomotive
Leisure & EntertainmentEnergy
CableBanking & Finance
Paper & ContainersMetals & Mining
Gaming, Lodging & RestaurantsBuilding & Materials
Real EstateChemicals
Broadcasting & MediaUtilities, Power & Gas
Institutional Leveraged Loan Default Rate High Yield Default Rate
Institutional Leveraged Loan Versus High Yield Average Annual Industry Default Rates: 2007–2016
Note: Ranked by highest to lowest loan default rate. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC, Bloomberg.
(%)
Corporates
Fitch U.S. Leveraged Loan Default Insight 19 August 18, 2017
Secondary Leveraged Loan Market Profile
0
10
20
30
40
50
60
70
Monthly Secondary Trading Volume
aIndicative July 2017 numbers.Source: LSTA.
($ Bil.)
0
100
200
300
400
500
600
700
Historical Secondary Trading Volume
aIndicative July 2017 numbers.Source: LSTA.
($ Bil.)
Corporates
Fitch U.S. Leveraged Loan Default Insight 20 August 18, 2017
Credit Availability Indicators
0
50
100
150
200
250
0
25
50
75
100
125
150
U.S. CLO Issuance (LHS) Count (RHS)
U.S. CLO Issuance
Source: Thomson Reuters LPC.
($ Bil.) (Count)
(40)(20)
020406080
100
Federal Reserve Senior Loan Officer Survey — Percentage of Banks Tightening Standards on C&I Loans
C&I – Commercial and industrial.Source: The Federal Reserve.
(%)
0.00.51.01.52.02.53.03.54.04.5
Commercial and Industrial Loans Bank Delinquency Rates
Source: The Federal Reserve Board.
(%)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Commercial and Industrial Loans Bank Charge-Off Rates
Source: The Federal Reserve Board.
(%)
Corporates
Fitch U.S. Leveraged Loan Default Insight 21 August 18, 2017
200
300
400
500
600
700
BB BB/B BPrimary Market Spreads — Term Loan B
Source: Thomson Reuters LPC.
(TLB Drawn Spreads bps)
(6)
(4)
(2)
0
2
4
6
High Yield Bonds Bank Loans
High Yield Bond and Bank Loan Mutual Fund Flows
Source: Lipper FMI.
($ Bil.)
Corporates
Fitch U.S. Leveraged Loan Default Insight 22 August 18, 2017
Appendix A — Institutional Leveraged Loan Post-Default Price Data
30-Day Post-Default Prices — First Lien ($137.7 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 88.8 92.9 92.9 2 2008 49.4 59.0 65.8 32 2009 54.9 52.5 48.1 68 2010 77.9 71.8 75.3 23 2011 60.5 62.3 53.8 6 2012 65.5 66.2 68.5 24 2013 69.4 72.1 73.9 15 2014 78.4 78.9 82.0 15 2015 49.9 50.6 43.2 16 2016 50.1 54.9 52.0 30 2007–2016 60.7 60.5 63.3 231
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 60.7%, Median 63.3%
30-Day Post-Default Prices — Second Lien ($13.8 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 41.3 41.6 41.6 2 2008 18.5 16.5 15.0 11 2009 31.9 24.2 11.3 18 2010 12.1 12.3 10.8 8 2011 13.5 29.6 24.8 4 2012 26.5 21.1 8.6 6 2013 40.0 40.0 40.0 1 2014 53.3 39.3 43.4 4 2015 49.6 52.1 54.8 7 2016 23.7 37.1 26.6 9 2007–2016 32.5 27.7 15.1 70
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
05
1015202530354045
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 32.5%, Median 15.1%
30-Day Post-Default Prices — First-Lien BSL ($120.9 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 88.8 92.9 92.9 2 2008 48.0 55.9 57.0 19 2009 56.1 55.8 56.2 47 2010 84.7 83.5 83.2 11 2011 68.9 80.1 80.1 2 2012 67.3 68.1 68.5 14 2013 68.8 68.8 71.0 13 2014 78.5 74.3 79.0 9 2015 52.3 55.8 49.3 10 2016 46.5 55.0 57.6 20 2007–2016 61.3 62.0 66.5 147
BSL – Broadly syndicated loans. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
02468
101214161820
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 61.3%, Median 66.5%
The tables and charts on pages 22‒24 show 30-day post-default prices of loans broken down into five categories:
1. Seniority • First-lien Loans • Second-lien Loans 2. Market Type
• First-lien broadly syndicated loans • First-lien large middle market 3. Capital Structure • Issuers of loans and bonds • Issuers of loans only 4. Covenant-Lite Loans 5. Sponsored • First-lien sponsored • First-lien non-sponsored These tables and charts can be compared to similar data based on emergence prices, which is located on pages 25‒27.
Corporates
Fitch U.S. Leveraged Loan Default Insight 23 August 18, 2017
30-Day Post-Default Prices — First-Lien LMM ($16.8 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 58.6 63.4 67.0 13 2009 39.7 45.3 40.0 21 2010 64.9 61.0 69.9 12 2011 54.5 53.3 43.9 4 2012 60.0 63.6 66.6 10 2013 93.6 93.6 93.6 2 2014 77.6 85.9 93.3 6 2015 39.0 41.8 30.9 6 2016 40.7 54.9 47.5 10 2007–2016 56.4 57.8 54.8 84
LMM ‒ Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 56.4%, Median 54.8%
30-Day Post-Default Prices — First-Lien Loans and Bonds ($83.6 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 88.8 92.9 92.9 2 2008 45.3 63.8 70.0 11 2009 63.0 61.7 66.1 33 2010 82.7 78.6 93.0 5 2011 97.5 97.5 97.5 2 2012 68.9 81.4 94.0 5 2013 71.5 78.2 84.3 4 2014 78.3 76.6 79.0 9 2015 53.3 49.4 42.4 10 2016 48.2 59.5 54.0 12 2007–2016 64.4 65.9 71.8 93
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
35
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 64.4%, Median 71.8%
30-Day Post-Default Prices — First-Lien Loans Only ($54.1 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 56.4 56.5 65.0 21 2009 42.1 43.8 40.0 35 2010 76.5 69.8 74.6 18 2011 49.2 44.6 43.9 4 2012 64.5 62.2 66.7 19 2013 66.7 69.9 71.0 11 2014 80.1 82.4 89.8 6 2015 44.3 52.5 48.1 6 2016 52.0 51.9 52.0 18 2007–2016 55.1 56.9 56.6 138
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
02468
1012141618
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 55.1%, Median 56.6%
Corporates
Fitch U.S. Leveraged Loan Default Insight 24 August 18, 2017
30-Day Post-Default Prices — First-Lien Covenant Lite ($19.3 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 37.6 37.6 37.6 1 2009 42.0 33.5 34.2 8 2010 — — — 0 2011 — — — 0 2012 59.0 60.4 57.8 5 2013 54.1 58.8 39.1 5 2014 — — — 0 2015 32.9 33.0 30.7 6 2016 43.1 51.2 42.8 13 2007–2016 43.8 46.5 39.5 38
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 43.8%, Median 39.5%
30-Day Post-Default Prices — First-Lien Sponsored ($79.2 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 39.9 55.5 65.0 19 2009 45.7 50.8 55.5 37 2010 78.6 73.0 75.3 15 2011 50.3 44.7 43.3 3 2012 66.0 66.7 76.8 16 2013 64.0 70.0 71.0 10 2014 76.8 70.2 78.7 10 2015 62.1 59.2 61.3 5 2016 49.2 53.1 50.0 13 2007–2016 58.7 59.5 65.8 128
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
02468
1012141618
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 58.7%, Median 65.8%
30-Day Post-Default Prices — First-Lien Non-Sponsored ($58.5 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 88.8 92.9 92.9 2 2008 70.0 64.1 67.0 13 2009 63.6 54.6 40.0 31 2010 76.1 69.5 76.0 8 2011 76.9 79.8 97.3 3 2012 64.5 65.2 64.8 8 2013 71.6 76.4 73.9 5 2014 94.6 96.4 99.0 5 2015 42.8 46.6 41.7 11 2016 50.7 56.3 54.0 17 2007–2016 63.4 61.8 62.0 103
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 63.4%, Median 62.0%
Corporates
Fitch U.S. Leveraged Loan Default Insight 25 August 18, 2017
Appendix B — Institutional Leveraged Loan Emergence Prices
Emergence Prices — First Lien ($80.0 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 74.7 83.2 83.2 2 2008 58.6 50.0 51.9 19 2009 78.9 74.1 89.3 49 2010 76.2 73.2 84.0 9 2011 67.0 66.5 66.5 2 2012 57.1 57.4 54.9 4 2013 77.1 66.5 70.0 9 2014 70.2 74.8 79.0 5 2015 36.3 42.5 39.0 6 2016 68.9 68.4 77.3 12 2007–2016 71.2 66.8 74.1 117
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
35
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 71.2%, Median 74.1%
Emergence Prices — Second Lien ($7.3 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 20.6 20.6 20.6 2 2008 2.3 2.5 2.0 6 2009 29.2 15.1 5.3 10 2010 6.5 6.2 0.8 4 2011 55.0 55.0 55.0 1 2012 — — — 0 2013 — — — 0 2014 60.8 61.2 61.2 2 2015 19.5 24.7 18.5 3 2016 11.5 11.5 11.5 1 2007–2016 27.5 17.1 5.0 29
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
10
20
30
40
50
60
70
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 27.5%, Median 5.0%
Emergence Prices — First-Lien BSL ($72.2 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 74.7 83.2 83.2 2 2008 59.6 44.6 44.6 13 2009 80.7 78.8 91.2 34 2010 86.5 88.6 91.2 4 2011 — — — 0 2012 58.8 62.1 56.0 3 2013 76.8 62.4 59.3 8 2014 76.5 81.0 79.0 3 2015 31.9 30.3 34.7 4 2016 65.8 64.7 69.0 9 2007–2016 72.4 67.6 75.8 80
BSL – Broadly syndicated loans. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
35
40
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 72.4%, Median 75.8%
The tables and charts on pages 25‒27 show emergence prices of loans broken down into five categories:
1. Seniority • First-lien Loans • Second-lien Loans 2. Market Type
• First-lien broadly syndicated loans • First-lien large middle market 3. Capital Structure • Issuers of loans and bonds • Issuers of loans only 4. Covenant-Lite Loans 5. Sponsored • First-lien sponsored • First-lien non-sponsored
Corporates
Fitch U.S. Leveraged Loan Default Insight 26 August 18, 2017
Emergence Prices — First-Lien LMM ($7.8 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 48.2 61.7 57.8 6 2009 55.7 63.6 66.0 15 2010 58.0 60.8 61.5 5 2011 67.0 66.5 66.5 2 2012 43.5 43.5 43.5 1 2013 99.5 99.5 99.5 1 2014 47.3 65.5 65.5 2 2015 68.5 67.0 67.0 2 2016 83.3 79.6 85.5 3 2007–2016 59.7 65.1 65.3 37
LMM – Large middle market. Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
35
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 59.7%, Median 65.3%
Emergence Prices — First-Lien Loans and Bonds ($51.6 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 74.7 83.2 83.2 2 2008 70.5 67.8 75.0 10 2009 89.3 87.8 94.3 28 2010 60.9 54.3 54.3 2 2011 78.0 78.0 78.0 1 2012 54.2 54.9 54.9 2 2013 87.0 84.3 94.5 4 2014 90.5 89.3 89.3 2 2015 43.1 55.1 40.0 3 2016 70.2 72.4 91.9 6 2007–2016 80.9 78.6 92.0 60
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
10
20
30
40
50
60
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 80.9%, Median 92.0%
Emergence Prices — First-Lien Loans Only ($28.3 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 23.3 30.1 25.8 9 2009 55.7 55.9 46.0 21 2010 81.7 78.5 84.0 7 2011 55.0 55.0 55.0 1 2012 63.9 59.9 59.9 2 2013 59.0 52.3 39.1 5 2014 58.7 65.2 64.5 3 2015 32.6 29.9 38.0 3 2016 67.0 64.4 62.0 6 2007–2016 53.3 54.4 52.0 57
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 53.3%, Median 52.0%
Corporates
Fitch U.S. Leveraged Loan Default Insight 27 August 18, 2017
Emergence Prices — First-Lien Covenant Lite ($11.9 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 80.3 80.3 80.3 1 2009 85.7 79.5 94.8 7 2010 — — — 0 2011 — — — 0 2012 53.9 53.9 53.9 1 2013 51.0 53.0 39.1 4 2014 — — — 0 2015 37.1 35.4 35.4 2 2016 79.9 74.9 85.5 3 2007–2016 65.0 66.6 73.2 18
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
35
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 65.0%, Median 73.2%
Emergence Prices — First-Lien Sponsored ($35.2 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 — — — 0 2008 71.0 49.8 52.0 12 2009 62.8 67.1 84.6 24 2010 73.7 71.2 80.9 6 2011 — — — 0 2012 58.8 62.1 56.0 3 2013 55.7 63.6 54.5 6 2014 55.0 55.5 55.5 2 2015 31.1 33.7 33.7 2 2016 53.0 58.8 62.0 4 2007–2016 63.3 61.3 65.3 59
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
0
5
10
15
20
25
30
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 63.3%, Median 65.3%
Emergence Prices — First-Lien Non-Sponsored ($44.8 Bil.) (% of Par)
Default Year
Weighted Avg.
Straight Avg. Median Tranches
2007 74.7 83.2 83.2 2 2008 27.4 50.2 32.5 7 2009 89.6 80.9 92.0 25 2010 83.6 77.1 84.0 3 2011 67.0 66.5 66.5 2 2012 43.5 43.5 43.5 1 2013 83.3 72.3 74.1 3 2014 77.6 87.7 99.0 3 2015 38.5 46.9 40.8 4 2016 76.0 73.2 89.8 8 2007–2016 77.3 72.4 87.8 58
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
05
1015202530354045
Distribution
Source: Fitch U.S. Leveraged Loan Default Index, Thomson Reuters LPC.
(% Tranches)
Average 77.3%, Median 87.8%
Corporates
Fitch U.S. Leveraged Loan Default Insight 28 August 18, 2017
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