Current Conditions in Global Credit Markets - NYU Stern School of ...

2006 Default Loss Rate
Unadjusted for Only Fallen All except Price Adjusted for
Fallen Angels Angels Fallen Angels Fallen Angels
BACKGROUND DATA
AVERAGE DEFAULT RATE 0.761% 1.402% 0.671% 0.836%
AVERAGE PRICE AT DEFAULT (a) 65.322% 66.305% 65.023% 65.312%
AVERAGE PRICE AT DOWNGRADE (a) 95.000%
AVERAGE RECOVERY 65.322% 69.795% 65.023% 66.100%
AVERAGE LOSS OF PRINCIPAL 34.678% 30.205% 34.977% 33.900%
AVERAGE COUPON PAYMENT 9.330% 6.388% 10.103% 9.265%
DEFAULT LOSS COMPUTATION
DEFAULT RATE 0.761% 1.402% 0.671% 0.836%
X LOSS OF PRINCIPAL 34.678% 30.205% 34.977% 33.900%
DEFAULT LOSS OF PRINCIPAL 0.264% 0.423% 0.235% 0.283%
DEFAULT RATE 0.761% 1.402% 0.671% 0.836%
X LOSS OF 1/2 COUPON 4.665% 3.194% 5.052% 4.632%
DEFAULT LOSS OF COUPON 0.035% 0.045% 0.034% 0.039%
DEFAULT LOSS OF PRINCIPAL AND COUPON 0.299% 0.468% 0.269% 0.322%
(a) If default date price is not available, end-of-month price is used.
Source: Author's Compilations and various dealer quotes.
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