Chart of the week
After reaching a particularly low level at the end of January 2022 (1.20%), the default rate for the European high yield universe (calculated over the last 12 months) rose to 2.12% at the end of February according to Moody’s data. In its baseline scenario with a one-year horizon, Moody’s expects a slight increase in the default rate, albeit within a limited range of between 1.8% and 3%.
The recent rebound is mainly linked to the simultaneous default of 8 Ukrainian banks, as Ukraine has imposed a moratorium on foreign currency payments. These bonds were previously rated B3 by Moody’s (High Yield universe).
However, there were no defaults in the euro-denominated high-yield corporate bond universe in February. In this market segment, the last payment incident observed was that of Intralot (a Greek company) in August 2021. Euro-denominated high-yield securities therefore present a risk of default that is certainly not zero, but is nevertheless contained and is largely covered at present by yield levels.
The opinion expressed above is dated April 8, 2022 and is subject to change
*Sources : Moody’s and calculation from Lazard Frères Gestion
As of : April 8, 2022
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