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Corporate Bond Default Spreads 2015-2016

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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38 views3 pages

Corporate Bond Default Spreads 2015-2016

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.

Uploaded by

ruchi gulati
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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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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