Stamdata Default and Recovery Rates (Stamdata D&R) - Field Description (available via Statistics)

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Fields

The followin main groups of data fields are available;

Credit Event Data
Recovery Data
Descriptive Data
Security Data
Credit Event Sub-Data

Credit Event Data

ISIN

An ISIN is a unique identifier of the debt instrument according to the International Securities Identification Numbering system. In the Stamdata Default & Recovery database, credit events are recorded at ISIN level.

Issuer

This column contains the official name of the issuer.

Short Name

This column contains a short name on the debt instrument. The short name is issue-specific.

Credit Event Date

This column contains the date when the credit event is set to have occurred, being the date when the first public announcement on the event was proclaimed. This may for example be the date when the “Summons to Bondholders” was made available on www.stamdata.com.

Credit Event

This column is used to distinguish between the three main types of credit events:

Default
Continuation
Non-default Event

The concept of “continuation” is introduced to mitigate the issue with multiple credit events in an ISIN. For example, a bond may experience multiple default events such as non-payments or extensions of maturities before the debt overburden is handled in the long-term, either through a distressed exchange or a bankruptcy. Counting each event as a default will lead to an overrepresentation in default statistics.

Event Classification

This column provides a more specific classification of the event type. Where more than one class is appropriate, the occurrences in the credit event will be weighted and the type with the larges negative impact will be applied.

Credit Event	Event Classification	Event Subclassification
Default/Continuation	Bankruptcy	Bankruptcy Proceedings
		Voluntary Liquidation
	Non-Payment	Deferral of principal/installment/Coupon
		Standstill
	Distressed Exchange	Exchange Offer Hard
		Exchange Offer Soft
Non-default Event	Covenant Change/Waiver/Breach	Change of Covenant
		Covenant Breach
		Covenant Waiver
	Non-default Event	Refinancing
		Compensated Monetary Loss
		Missed payment due to technical or administrative errors

Event Subclassification

This column may take the values given in the table below. Where more than one subclass is appropriate, the occurrences will be weighted and the type with the larges negative impact will be applied.

Credit Event	Event Classification	Event Subclassification
Default or Continuation	Bankruptcy	Bankruptcy Proceedings
		Voluntary Liquidation
	Non-Payment	Deferral of principal/installment/Coupon
		Standstill
	Distressed Exchange	Exchange Offer Hard
		Exchange Offer Soft
Non-default Event	Covenant Change/Waiver/Breach	Change of Covenant
		Covenant Breach
		Covenant Waiver
	Non-default Event	Refinancing
		Compensated Monetary Loss
		Missed payment due to technical or administrative errors

Event Description

This column gives a short description of the occurrences in the credit event. When possible, the information is quantified. For example, all “distressed exchanges hard” should be measured in % of par and extended maturities should ideally be measured in years.

Recovery Data

Recovery Action

As there may be several defaults in a bonds lifetime, this column is introduced to keep track of events that should have a recovery value. The column may take the following values:

New
New/exit
Continuation
Exit

For credit events of the type “Default”, recovery action will be marked as “New” or “New/Exit”. The first category means that the credit event did not have a resolving cure, while the latter means that it did. For credit events of the type “Continuation”, the recovery action will be marked as “Continuation” or “Exit”. The first category means that the credit event did not have a resolving cure, while the latter means that it did. Recovery rates are calculated when then recovery action is marked as New/Exit” or “Exit”.

Recovery Status

This column describes the post-credit event classification of where the bondholders currently stand in the process of attaining recoveries. The column may take the following values:

Interim (recoveries based on trading prices around the time of default, until either proceedings from liquidation or a settlement have emerged).
Ultimate (the final recovery recorded in relation to the default event).
Insufficient Data (in instances where there is lacking secondary trading prices to calculate fair price, recovery will be set to 100%).

Recovery Pricing Method

This column states the method used to estimate the fair value in the ultimate recovery calculation. The column may take the following values:

The Last Trading Price Method (secondary trading prices are used)
The Settlement Price Method (fair value of the exchanged assets (stocks, bonds etc.))
The Liquidity Price Method (the actual cash values received from either the bankruptcy estate or liquidated assets).

Where more than one method is appropriate, Stamdata will choose the method with the largest impact in percent of par. For example, where there is a partly debt-to-equity swap at 40% with 60% at par being extended, the Pricing method will be set as “the trading price method”.

Recovery Settlement Date

This column states the date of execution of the proposals (or other actions) as set out in the credit event. For example, this will be date when shares in a “Debt-To-Equity Swap” are transferred to the bondholders.

Nominal Recovery

This column stores the undiscounted total recoveries from an initial default event, until an exit. The denominator in the fraction is estimated by using the amount outstanding at par at the time of the credit event.

Discounted Recovery

This column stores the total recovery from an initial default event until an exit, discounted with the prepetition interest rate from last paid coupon.

Final Recovery

For bonds that experience multiple default events and multiple recoveries, this column stores the overall recovery an investor receives when holding the debt instrument from disbursement date to solution/maturity.

Descriptive Data

Industry Group

This column is used to identify the industry the issuer is active in. The industry groups are defined by Stamdata.

Industry Sub Group

This column stores more specific information on the issuer’s industry group.

Issue Type

This column states the type of issue. It may have the following values:

Bond
CD
Convertible

Country

The domicile of the issuer is stored in this column.

Settlement Date

This column stores the settlement date for the security.

Maturity Date (at Event Date)

This column stores the maturity date of the security at the time of the credit event.

Coupon (at Event Date)

This column stores the interest coupon on the security at the time of the credit event.

Outstanding Amount (at Event Date)

This column contains the outstanding amount, denominated in the original currency, at the time of the credit event.

Currency

This column contains a currency code that indicates the denomination currency of the loan.

Outstanding Amount EUR (at Event Date)

This column contains the outstanding amount, denominated in euro, at the time of the credit event.

Security Data

The following columns are included to provide information about the level of security given in the loan agreement.

Risk Class

This column indicates the level of security and priority given in the loan agreement. It may have the following values:

Super Senior Secured
Senior Secured
Senior Unsecured
Subordinated

Share Pledge

This column indicates the priority of any given share pledge. The column may take the following values:

1 pri
2 pri
3 pri
X (if a share pledge is give but the priority is not clear)

Vessel Pledge

This column indicates the priority of any given vessel pledge. The column may take the following values:

1 pri
2 pri
3 pri
X (if a vessel pledge is give but the priority is not clear)

Real Estate Pledge

This column indicates the priority of any given real estate pledge. The column may take the following values:

1 pri
2 pri
3 pri
X (if a real estate pledge is give but the priority is not clear)

Other Pledge

This column indicates the priority of any other given pledge (not share, vessel or real estate). The column may take the following values:

1 pri
2 pri
3 pri
X (if a pledge is give but the priority is not clear)

Guarantee

This column indicates whether the issue is guaranteed by the issuer of any other 3.rd parties.

Credit Event Sub Data

The following columns are introduced to give the user a broader usability. As each credit event is categorized into a main type, several columns are introduced to take into account the fact that an event can have multiple outcomes given the result of a bondholders meeting. For example, a non-payment event at original maturity might result in the issuer asking the bondholders to extend the maturity, increase coupons and at the same time amending certain covenants to reflect the distressed situation. These new columns will then record each occurrence separately and enable the user to filter for more levels of information.

Bankruptcy

This column indicates if the security experienced a credit event that contained a bankruptcy event.

Non-Payment

This column indicates if the security experienced a credit event that contained a non-payment event.

Debt-to-Equity Swap

This column indicates if the security were swapped for equity in the issuer or a subsidiary/SPV.

Debt-to-Debt Swap

This column indicates if the debt instrument were swapped for new debt with new terms and conditions.

Debt-to-Cash Swap

This column indicates if the security were swapped for cash payments.

Debt-to-Write Off

This column indicates if the debt were partly or in whole written off.

Extended Maturity

This column indicates if the maturity were extended.

Deferral of Interest/Principal/Installment

Where a credit event involves deferral of interest/principal/Installment, this column is marked.

Standstill

This column is marked where the issuer and bondholders agree to suspend the loan agreement for a given time period, in order to negotiate a new deal.

Covenant Breach

If a covenant in the loan agreement was breached, this column is marked on the corresponding credit event.

Covenant Waiver

This column indicates if a covenant in the loan agreement was waived before an anticipated breach emerged.

Change of Covenant

If the credit event entailed amendments of covenants, this column is marked.

Buyback below Par

This column indicates whether the credit event entailed a buyback below par offer.