26 February 2012
2003 Recovery Rates
From Standard & Poor Data
The U.S. ultimate recovery rates for corporate bonds and bank loans in 2003 showed no improvement from the heavy default cycle of 1998-2002. The ultimate recovery rate averages are reflected in tables 1 and 2.
| Instrument Type | Discounted Ultimate Recovery | Standard Deviation | Observations |
|---|---|---|---|
| Source: Standard & Poor’s LossStats Database. | |||
| Bank debt | 74.1% | 32.4% | 331 |
| Senior secured bonds | 45.8% | 36.5% | 42 |
| Senior unsecured bonds | 36.8% | 35.1% | 198 |
| Senior subordinated bonds | 21.3% | 30.8% | 116 |
| Subordinated Bonds | 15.0% | 24.7% | 55 |
| Junior Subordinated Bonds | 2.5% | 4.1% | 4 |
| Instrument Type | Discounted Ultimate Recovery | Standard Deviation | Observations |
|---|---|---|---|
|
Source: Standard & Poor’s LossStats Database. The largest debt categories included in table 2 reflect changes in the marketplace. The issuance of senior secured bonds has virtually ceased over the past few years while bank loans have become more liquid and available. The quality of instruments received in settlement remains a key influence on recovery rates, and the 2003 rates reflect a continued consequence of the weaker structural quality trend of recent years. |
|||
| Bank debt | 72.3% | 32.5% | 136 |
| Senior unsecured bonds | 28.7% | 27.7% | 102 |
| Senior subordinated bonds | 20.5% | 34.4% | 50 |