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DATABASES |
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(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 CreditPro® 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 |
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