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Weekly Market Summary
Jan. 16 to 20, 2023
Extra Credit*
• In 2022, $623 billion of investment grade corporate bonds were upgraded, of which $567b were within investment grade and $55b migrated from high yield to investment grade. In percent terms, 9.2% of investment grade debt was upgraded, of which 8.4% occurred within investment grade and 0.8% turned rising stars.
• During the full year 2022, $161b of investment grade bonds were downgraded of which $151bn (94%) stayed in investment grade and $10b fell to high yield. In percent terms, 2.4% of investment grade debt was downgraded, of which 2.2% occurred within investment grade and 0.2% fell to high yield.
• Bank loan maturity walls were still way out, as only 23.7% of the loan market is set to mature before 2026, while 30.7% of the loan market is set to mature in 2028. Currently, 100% of the loans set to mature in 2028 have a LIBOR floor with a median floor of 0.50% vs. 0.00% for the loans set to mature before 2026.
• Short-term investment grade corporate bonds currently have a yield-to-worst of 4.87% with a duration of 1.86 years vs. 4.18% and 6.30 years for the Bloomberg US Aggregate Bond Index. (As of 1/18/23)
• The trailing 12-month default rate for high yield bonds and bank loans finished 2022 at 1.6% and 1.6%, well below their long-term average of 3.2% and 3.1%.
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 Credit Suisse Leverage Loan Index.
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