AXA IM | Our twelve month default rate forecast for US high yield (HY) now stands at 3.6% (peak forecast was 6%+) and 2.1% for European HY. The twelve month default rate should peak at just under 6% in January-February 2017 as should the US-EU default rate differential at just over 4%. European HY remains cheap from a default valuation perspective; US HY remains rich but has been improving.