European Leveraged Loan Study 2009 (S&P)

European Leveraged Loan Study 2009: Global Economic Crisis Results In A Dramatic Shift In Default And Recovery Rates

Standard & Poor's has completed its annual "European Leveraged Loan Default And Recovery Study," bringing the data and analysis up to date through 2009. The portfolio of transactions now includes data reflecting a full down cycle (2008-2009). Compared to the previous report, which covered only the beginning of the downturn, the most recent results show a much steeper increase in European leveraged loan default rates and a continued decline in recoveries.

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(EUR) ELLI default rate falls to 17-month low - Leveraged Commentary & Data

(EUR) ELLI default rate falls to 17-month low - Leveraged Commentary & Data

The lagging 12-month default rate for the S&P European Leveraged Loan Index (ELLI) fell to 5.9% in July, a 17-month low, from 6.2% in June, based upon par amount outstanding. At the end of 2009, the rate stood at 10.5%, the highest level since LCD started tracking the ELLI default rate in June 2007.

In the 12 months ended July 29, the ELLI tracked €8.2 billion of institutional loan defaults, down from €8.7 billion at the end of the June and €14.9 billion during 2009.

The ELLI default rate measured by number of issuers remained unchanged in July, at 8.9%, the lowest level since the 8.2% reading in February 2009. During the 12-months ended July 29, 21 issuers defaulted or started the restructuring process, which is equal to the comparable time period ended July 1. At the end of December, the tally was 39. ...