The First Default; How Many More?: Credit Crunch
FICC Focus
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What Are Your Thoughts on the Index Rule Change?
Mahash: The implications of this are actually not that significant, whether it is the index rule change or do we go to a hard restructuring and therefore a hard default? So let's dive into the detail. If you define stress as bond price 60 to 80 and we define distress as bond price under 60 we are looking at a stress of 12.2% and distress of 2.6%. Now let's put this 14.8 in historical context. At the end of Q3 September the distress ratio was about 34% not that far from all time record by the way,. All time record was at the pandemic 39% and very similar to great financial crisis numbers.
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