(1) The Altman-Kuehne NYU Salomon Center Defaulted Debt Performance Index
The NYU Salomon Center maintains and publishes monthly performance data on indexes comprised of:
(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-Kuehne Reports on "Defaults and Returns in the High Yield Bond Market" are available from the NYU Salomon Center on an annual subscription basis. Please contact us at (212) 998-0709.
All three of the indexes are market-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. The Index includes U.S., Canadian and Mexican debt securities.
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.
(2) The Altman-Kuehne NYU Salomon Center Corporate Bond Default Master Database
We have now over 3,300 observations on defaulted bond issues covering the period 1971-2014. Data includes SIC, CUSIP, name of company identifications, bond description, date of default, price at default (Recovery), original bond rating, seniority, the type of default (bankruptcy, missed interest payment, or Distressed Exchange), and more .
(3) The Altman-NYU Salomon Center Bankruptcy List
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 October 2014, the list includes over 2,050 bankruptcies 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 750 bank loan facilities as of October 2014.
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 possibly 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) 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.
Other relevant well known credit related research databases available at NYU Stern School of Business, only to Stern faculty and students.
S&P's Compustat, Capital IQ