Default Monitor

Research evidence excerpt

Default Monitor

Nelson Jantzen, CFA AC North America Credit Research

(1-212) 270-1169 03 August 2026 J P M O R G A N

nelson.r.jantzen@jpmorgan.com

Default Monitor: We now forecast 2026 HY bond and loan

default rates of 2.25% apiece, which we expect to rise to 2.75%

(HY) and 4.50% (LL) in 2027

There was only one default in July, albeit the third largest YTD, and no distressed

exchanges for only the second time in the last two years and third time in the last

four years. While only modestly surpassing, July marked the 27th time over the last 32

months that loan volume outpaced HY bond volume affected by a default/LME; note,

the five occurrences where HY volume outpaced loans have all happened over the last

12 months (Aug, Nov, and Dec of 2025 and Apr and Jun of 2026). Specifically, this

month’s default was Chapter 11 filing by ASP Unifrax Holdings (Alkegen), a specialty

product and material producer for various industrial purposes. The payment default

affected $3.13bn in bonds ($1.45bn) and loans ($1.67bn) and is the third largest

bankruptcy in 2026, behind DISH ($9.75bn) and LABL’s ($4.50bn) Chapter 11

filings in June and January, and 21st largest post-pandemic. The $3.1bn monthly

total affected by a default or distressed transaction compares with a monthly average of

$5.6bn per month over the year’s first six months—an average $6.6bn of volume was

affected per month across FY23, FY24, and FY25 and the monthly average post-GFC

(2010-today) is $4.4bn. For context, there was an upwardly revised seven defaults/

distressed transactions totaling $13.4bn in June (+Tripadvisor’s distressed transaction

totaling $295mn in bonds), one distressed exchange totaling $616mn in May, five

defaults/LMEs totaling $4.3bn in April, four default transaction totaling $1.4bn in