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Weekly Market Summary
Mar. 6 to Mar. 10, 2023
Extra Credit*
- Bank loan upgrades outpaced downgrades for most of 2021 and the first half of 2022. However, over the past nine months, downgrades have sharply increased. While defaults have seen only a marginal increase, rating agencies may be anticipating the increased financial burden of higher interest rates in tandem with the expectations of a slowing global economy.
- Over the past 12 months, the recovery rate for bank loans has been 56.4%, down 3.5% from 2022 and below the 25-year annual average of 64.3%.
- Over the past 12 months, recovery rates for high-yield bonds have been 50.4%, down 4.9% from a 17-year high in 2022 but still well above the 25-year annual average of 40.2%.
- The trailing 12-month default rate for high-yield bonds (2.12%) and bank loans (2.26%) finished February well below their respective long-term averages of 3.2% and 3.1%.
Sources: Bloomberg and JPMorgan. Data as of 2/28/23.
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. The red and green arrows depicted under Yields, Option Adjusted Spreads, and Prices indicate a higher or lower value from the previous week.
Past performance does not guarantee future results. Index performance is not indicative of fund performance. Indexes are unmanaged and it is not possible to invest directly in an index.
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