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    Default Spread by Ratings Class: January 2015 Vs January 2016

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    ruchi gulati
    This document compares the default spreads for 10-year corporate bonds in January 2015 versus January 2016 across various credit ratings. The default spreads increased across all ratings classes from 2015 to 2016, with the largest increases occurring in bonds rated Caa/CCC, Ca2/CC, and C2/C. Bonds rated Aaa/AAA had the smallest increase from 0.40% in 2015 to 0.75% in 2016.

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    Default Spread by Ratings Class: January 2015 Vs January 2016

    Uploaded by

    ruchi gulati
    20 views3 pages
    This document compares the default spreads for 10-year corporate bonds in January 2015 versus January 2016 across various credit ratings. The default spreads increased across all ratings classes from 2015 to 2016, with the largest increases occurring in bonds rated Caa/CCC, Ca2/CC, and C2/C. Bonds rated Aaa/AAA had the smallest increase from 0.40% in 2015 to 0.75% in 2016.

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    bondspreads16

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    This document compares the default spreads for 10-year corporate bonds in January 2015 versus January 2016 across various credit ratings. The default spreads increased across all ratings classes from 2015 to 2016, with the largest increases occurring in bonds rated Caa/CCC, Ca2/CC, and C2/C. Bonds rated Aaa/AAA had the smallest increase from 0.40% in 2015 to 0.75% in 2016.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    20 views3 pages

    Default Spread by Ratings Class: January 2015 Vs January 2016

    Uploaded by

    ruchi gulati
    This document compares the default spreads for 10-year corporate bonds in January 2015 versus January 2016 across various credit ratings. The default spreads increased across all ratings classes from 2015 to 2016, with the largest increases occurring in bonds rated Caa/CCC, Ca2/CC, and C2/C. Bonds rated Aaa/AAA had the smallest increase from 0.40% in 2015 to 0.75% in 2016.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
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    Default Spread by Ratings Class: January 2015 vs January 2016

    25.00%

    20.00%
    20.00%

    16.00%

    15.00%

    12.00%

    10.00%
    9.00%

    7.50%
    6.50%
    5.50%
    5.00%
    4.25%
    3.25%
    2.25%
    1.75%
    1.00% 1.10% 1.25%
    0.75%

    0.00%
    Aaa/AAA Aa2/AA A1/A+ A2/A A3/A- Baa2/BBB Ba1/BB+ Ba2/BB B1/B+ B2/B B3/B- Caa/CCC Ca2/CC C2/C D2/D
    Default Spreads for 10-year Corporate Bonds: January 2015 vs January 2016
    25.00%

    20.00%
    20.00%

    16.00%

    15.00%

    12.00%

    10.00%
    9.00%

    7.50%
    6.50%
    5.50%
    5.00%
    4.25%
    3.25%
    2.25%
    1.75%
    1.00% 1.10% 1.25%
    0.75%

    0.00%
    Aaa/AAA Aa2/AA A1/A+ A2/A A3/A- Baa2/BBB Ba1/BB+ Ba2/BB B1/B+ B2/B B3/B- Caa/CCC Ca2/CC C2/C D2/D

    Spread: 2016 Spread: 2015


    Rating is Spread: 2016 Spread: 2015 DropML
    in Option
    EBITD Adjusted Spread (12/30/15)
    Aaa/AAA 0.75% 0.40% 0.00% 0.74%
    Aa2/AA 1.00% 0.70% 0.00% 0.96%
    A1/A+ 1.10% 0.90% 0.00%
    A2/A 1.25% 1.00% 0.00% 1.24%
    A3/A- 1.75% 1.20% 0.00%
    Baa2/BBB 2.25% 1.75% 0.00% 2.40%
    Ba1/BB+ 3.25% 2.75% 0.00%
    Ba2/BB 4.25% 3.25% 0.00% 4.44%
    B1/B+ 5.50% 4.00% 0.00%
    B2/B 6.50% 5.00% 0.00% 6.98%
    B3/B- 7.50% 6.00% 0.00%
    Caa/CCC 9.00% 7.00% 0.00%
    Ca2/CC 12.00% 8.00% 0.00% 16.44%
    C2/C 16.00% 10.00% 0.00%
    D2/D 20.00% 12.00% 0.00%

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