4Q and FY 2022 Investor Presentation
Default Rates Expected to Rise; High Yield Spreads Fluctuate
Around Historical Average
Default Rates for Global Speculative-Grade
Corporate Rated Issuance1
U.S. HY Bond Spreads²
Moderately Pessimistic
Severely Pessimistic
-U.S. HY Bond Spreads
-
• Avg U.S. HY Bond Spread
1,000
•14.9%
Baseline
-Optimistic
16%
14%
12%
10%
8%
4.1% global historical average1
6%
4%
2%
0%
2008
2011
2014
2017
2020
800
9.9%
600
~550 bps historical average²
4.4%
3.9%
400
2023F
200
4Q19 2Q20 4Q20
2Q21 4Q21 2Q22 4Q22
>>> Global speculative-grade default rate expected to rise to 4.4% by year-end, slightly above long-term average but well
below prior recessionary levels
1.
2.
Moody's rated corporate global speculative grade default historical average of 4.1% from 1983 through December 31, 2022. 2023 forecast ended December 31, 2023. Moody's Investors Service; Default Trends - Global: January 2023
Default Report, February 14, 2023
Reported data as of December 31, 2022. Bond spreads as of the last day of each month. Historical average is the daily bond spread average between December 31, 1996 - December 31, 2022. Source: St. Louis Fed Database.
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4Q and FY 2022 Investor Presentation
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