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Finance Management | Building a Junk-bond Market in India & its Impact on Overall Economy

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Building a Junk-bond Market in India & its Impact on Overall Economy

- by Saurabh Joshi & R. T. Sivasubramaniyan *

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Page - 12

Annexures

1. Annexure 1: Altman & Default Rates
2. Annexure 2: Resrtictive Covenants Impact
3. Annexure 3: Default Prediction Model
4. Annexure 4: Fimmda Bond Spreads

1. Altman & Default Rates

First Quarter 2004:
Altman High Yield Bond Default & Return Report
First Quarter 2004 Analysis

  • High yield bond defaults were just $3.6 billion in the first quarter of 2004, slightly higher than fourth quarter 2003 but still at a historic relatively low level.

  • The first quarter's default rate was 0.41% and the last four-quarter rate dropped to 4.02%, down from 4.66% as of year-end 2003.

  • The default loss rate was just 0.22% based on a weighted average recovery rate of 52.5%, unadjusted for fallen angel defaults (there has been one fallen angel default in 2004 thus far).

  • The high yield bond market returned 1.81% for the first quarter, which amounted to a negative spread of -2.80% compared to ten-year US Treasuries. The yield spread on high yield bonds increased by 43 bp during the first three months of the year. New high yield bond issues totaled $43.8 billion.

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    * Contributed by -
    Saurabh Joshi & R. T. Sivasubramaniyan,
    PGDM - II Finance,
    SCMHRD, Pune.


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