Our bond price dataset is from the Salomon (now Citigroup) Yield Book. We extracted daily prices for all the companies for which we have loans in the loan price dataset. We have 386,171 bond-day observations spanning 816 bonds. For robustness, we also created another bond price dataset from Datastream for a subset of bonds, containing 91,760 bond-day observations spanning 248 bonds. We received the loan defaults data from Portfolio Management Data (PMD), a business unit of Standard & Poors which has been tracking loan defaults in the institutional loan mar- ket since 1995. We verified these dates in Lexis/Nexis and confirmed that they correspond to a missed interest.
