June Default Report: Stable month, green shoots in Europe

Research evidence excerpt

June Default Report: Stable month, green shoots in Europe

Global Research

6 July 2026ab

Global Strategy Global Strategy

GlobalJune Default Report: Stable month, green shoots

in Europe Matthew Mish, CFA

Strategist

matthew.mish@ubs.com

+1-203-719 1242

In this month's US/EU Credit Default and Recovery Rate Analysis, we update monthly Sachin Ganesh

default statistics and provide insights covering issuers in the following markets: US HY Associate Strategist

bonds, US Leveraged Loans (LL), European HY bonds, European Leveraged Loans and sachin.ganesh@ubs.com

Private Credit. +1-212-713 1062

Henry Morrison-Jones

1. A month of stability, with some signs of green shoots (Figures 3-19): henry.morrison-jones@ubs.com

+44-20-7901 6656

We have four key takeaways: First, defaults counts globally were down MoM and

relatively flat YoY, with high frequency (3m) default rates mixed in the US (LL down 30bp Julien Conzano

to 1.6%, HY up 120bp to 1.9% MoM) and declining notably in EU (LL down 120bp to Strategist

1.7%, HY down 60bp to 0.0% MoM). Market based metrics (e.g., distressed ratios, julien.conzano@ubs.com

+44-20-7567 2067

CCC exposures) shows a similar mixed cadence across both US and Europe. Second, at

the sectoral level, the majority of US defaults were in the consumer cyclical and capital Bhanu Baweja

goods sectors. Said differently, we note the impact of AI disruption on tech and related Strategist

sectors on financials has not yet been severe enough to contribute to the default rate. bhanu.baweja@ubs.com

+44-20-7568 6833

This impact should inflect in Q4, and extend through 2027. Third, higher frequency (3m)

US recovery rates have rebounded materially in Q2 (US LL up 17pp to 59%, HY up 22%

to 52% QoQ), still lower YoY, but normalizing back closer to long run averages after