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Weekly Market Summary
Aug 24 to Aug 28, 2026
Extra Credit*
•Credit stress at the ten largest Business Development Companies (BDCs) increased modestly in Q2, with non-accrual debt rising to 3.95% of total debt at cost, up 20 bps from the prior quarter. Non-accrual balances increased by $89 million to $3.3 billion, even as the overall debt portfolio contracted 2.3% to $83.6 billion. The broader measure of stressed borrower exposure showed a more notable increase. Including both performing and non-accrual tranches from borrowers with at least one loan on non-accrual, exposure reached $5.0 billion, or 5.95% of total debt at cost, up 54 bps quarter over quarter.
•Reported non-accruals may understate underlying BDC credit stress because non-accrual status is typically applied at the individual loan-tranche level rather than across an entire borrower. A company can therefore have one facility on non-accrual while other loans remain classified as performing — and different BDCs may even classify the same loan differently. Looking at total exposure to borrowers with at least one non-accrual loan can provide a broader measure of potential portfolio risk.
•The potential income impact from BDC credit stress extends beyond loans already classified as non-accrual. As of Q1 2026, $522 million of cash interest income was directly associated with non-accrual loans, while another $249 million was tied to other debt from the same stressed borrowers. Combined, roughly $772 million, or 204 bps of total BDC cash interest income, could be at risk — enough to reduce aggregate cash yield from 8.3% to about 8.1%.
Source: Pitchbook LCD
Previous reports
*Source: Morningstar®, Bloomberg, Credit Suisse. OAS is Options Adjusted Spread. 4-year discount margin is used for spread for bank loans. Yield quoted is yield-to-worst or equivalent calculation. YTD Low / High for yields are based on end of week and not intraday movements. Indexes and sub-indexes: Investment-grade corporates represented by Bloomberg US Corporate Bond Index. High-yield bonds represented by Bloomberg US Corporate High Yield Index. Bank loans represented by Morningstar LSTA US Leveraged Loan Index. The red and green arrows depicted under Yields, Option Adjusted Spreads, and Prices indicate a higher or lower value from the previous week.
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