Large Bank Supervision Forum 2023
Downgrades/Defaults Ratios and LTM #Defaults/Total Issuers
Versus pandemic-onset peak, downgrades/defaults remain light
Source: PitchBook | LCD. Data represented by the Morningstar ® LSTA ® Leveraged Loan Index, December 31, 2022
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to the general public.
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Defaults: Percent of Outstanding Loans in Payment Default or Bankruptcy
Based on Morningstar LSTA US Leveraged Loan Index
12%
10.7%
9.9%10.0%
10%
8%
7.4%
7.0%
6%
5.0%
4.0%
3.7%
4%
3.6%
3.5%
2.9%
2.6%
2.4% 2.4%
2.2%
1.9%
2%
1.6%
1.2%
1.1% 1.3%
1.0% 1.0%
0.6%
0.6%
0.5% 0.6% 0.7%
0%
Includes all loans including those not included in the LSTA/TRLPC mark-to-market service. Primarily institutional tranches.
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to the general public.
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