All claims
US private credit's true default rate is ~6% when PIK-by-amendment is treated as distressed exchange — roughly 3x KBRA's ~2.1% headline — with PIK-by-amendment rising from 2.6% (2021) to 6.1% (Q3 2025) and Fitch TTM defaults at ~5.8% (Jan 2026). Opacity routes the loss through life-insurer balance sheets to annuity holders, not informed credit investors.
Credithigh confidencestructural
as of June 8, 2026
What would prove us wrong
- PIK-amended loans resolve without loss
- Trigger: realised loss < 3% of face by end-2027
- Fitch default rate reverses
- Trigger: < 3.0% for 2 consecutive months by Q3 2026
Posture implications
- avoidBDCs (ARCC
- avoidOBDC
- avoidFSK
- avoidBXSL)
- avoidlife insurers with PRT/private-credit books (ATH
- avoidGL)
- avoidCLO equity