Another approach to default risk on European High Yield

Points to remember:

  • The risk premium sufficiently compensates for default risk, especially in the BB segment.
  • The compression of B-BB risk premiums encourages us to favour the BB segment. We consider this segment within Ellipsis High Yield Fund as core in its allocation.
  • Default risk has never been so diversified in the asset class.

Michael Longeard, manager specialized in high yield within the Convertibles & Credit division of Ellipsis AM, gives an update.