|
DATABASES |
|
(1)
The The (1) Defaulted Corporate Bonds (2) Defaulted Corporate Bank
Loans (3)
A Combined Index of Defaulted Bonds and Bank Loans Access to these indexes, as
well as the quarterly Altman Reports on "Defaults and Returns in the High Yield
Bond Market" are
available from the All three of the indexes are
weighted monthly, total return composites of bonds or bank loans of companies
that have defaulted on their debt securities and are in the process of
attempting to restructure, usually in bankruptcy. Securities include both
secured and unsecured obligations and the various issues in the indexes
represent all seniorities in the capital structure. Returns are weighted by
the market capitalization of each issue. No single issuer can exceed 10% of
the total market capitalization of the index. Our monthly Defaulted Bond
Index goes back to January 1987 (December 1986=100) and our Defaulted Bank
Loan Index to January 1996 (December 1995=100). The latter date is also the
start of our Combined Bond and Bank Loan Index. In addition to the Defaulted
Debt Indexes, monthly total returns on the S&P 500 Stock Index and the
Citigroup High Yield Bond Index are reported for comparison purposes. As of the end of 2003, the
Defaulted Bond Index was comprised of 280 issues with a face value of $45
billion and a market value of $17 billion. The Defaulted Bank Loan Index was
comprised of 110 bank facilities with a face value of $40 billion and a
market value of $22 billion. The number of issues and facilities will vary
over time as the default activity of companies changes. The Index includes
only How to Subscribe (Download
Subscription Form) (2) The A
complete listing of corporate bond defaults with over 2,000 defaulting issues
from over 1200 companies (as of September 2003) covering the period 1974 to
present. Data includes SIC, CUSIP, name of company identifications, bond
description, date of default, price at default, original bond rating,
seniority and more. (3) The A complete
list of corporate bankruptcies under either Chapter X and XII (1971-1978) or
Chapter 11 (1979-Present) of firms with liabilities equal to or greater than $100
million at default. As of September 2003, the list includes 995 companies
with firm identifiers, bankruptcy date and size of liabilities. (4) Defaulted Bond and Bank Loan Monthly
Prices Data includes
defaulted bond and bank loan prices on a monthly basis from the default month
until last price available (usually emergence from Chapter 11 or liquidation)
from 1987 to present. Defaulted bank loan prices on a monthly basis available
from 1996 to the present on over 350 bank loan facilities as of 2003. (5) DealScan Loan
Pricing Corporation's database of detailed deal terms and conditions on over
90,000 loan originations worldwide. Weekly updates on new transactions. Data
covers period 1987 to present. Over 80% are deal terms on syndicated loans. (6) Loan
Syndications and Trading Association (LSTA) and Loan Pricing Corp. (LPC)
Database Mark to
market daily bid and ask price quotes on corporate loans from 33 dealers
covering the period 11/1999 to 6/02 (can be updated). Over 500,000 loan-day
observations spanning 1,863 loans. Data includes Loan Identifier Number
(LIN), name of issuer, type of loan, average and number of bids/asks. (7)
Moody's
Bond Migration Database Covers bond
rating time series of corporate bond issuers from 1923 to 2002 on all
issuers rated by Moody's (almost 30,000 issues and over 1,500 issuers). (8)
Reuters Debt Market Database Covers daily
prices, returns, yields and more information on the vast majority of
government bonds, straight corporate bonds, CMOs, convertible bonds and more;
mostly from 1993-Present. Real time data source (available in November
2003). Data is derived from numerous market makers in each type of security. (9)
S&P CreditProŽ Database Historical
rating behavior database covering over 10,000 global corporate bond issuers.
Tables can be created with Windows based software, easily exported to Excel.
Reports available by industry sector and static-pool year including marginal
default rates, cumulative default rates, transition matrices, default
correlations. Data is issuer based covering period 1982-2002. Other relevant well known
credit related research databases available at NYU Stern School of Business Bloomberg DataStream S&P's
Compustat |
|
|