While the main focus of academic and professional investment research in the risky corporate credit market has typically been on the performance of high-yield bonds, including, importantly, the default and recovery rates of those bonds that default, there is very little similar work on defaulted bonds and loans. This is understandable, as the high-yield bond market is significantly larger and has a 40-year track record, with coverage and data from many sources.1

To address this issue, we have accumulated data on the monthly performance of defaulted bonds and loans,...