Analyse fra Natexis – hele hele analysen her
Deterioration in US high-yield credit: Will it contaminate the rest of the credit market in the United States and the euro zone? The answer is yes Author: Patrick Artus The deterioration in the high-yield credit market in the United States has started and will gain momentum in 2016, especially as a result of the energy sector crisis, but also the decline in company results.
An important point for investors in corporate bonds will be to know to what extent the deterioration in the high-yield credit market in the United States by correlation will lead to a deterioration in the investment-grade credit market in the United States or in different credit market segments in the euro zone. We use causality tests and econometric analysis. In the recent period:
– The high-yield spread in the United States has caused all the other credit spreads (investment grade in the United States and the euro zone, high yield in the euro zone); – A 100 basis points rise in the high-yield spread in the United States has increased:
The investment-grade spread in the United States by 25 basis points; The high-yield spread in the euro zone by 41 basis points;
The investment-grade spread in the euro zone by 23 basis points.
