Moody's Ultimate Recovery Database (licensed)

Licensed: not exercised here

Moody’s URD is a paid licensed product (Moody’s Analytics), so it carries no provenance badge: the access path below was not run in this session. Treat it as unverified until someone exercises it through a Moody’s Analytics licence. This is the honest grade under the institute’s Verified discipline.

Moody’s Ultimate Recovery Database (URD) records the recovery actually realized by creditors when a U.S. corporate default is resolved: the value of the cash, new debt, or equity received per dollar of claim, by instrument and seniority, measured at emergence from bankruptcy rather than from secondary market prices at default. It is the reference source for loss-given-default and recovery-rate research because it captures the full resolution rather than a trading-price proxy. A paper we distill uses it: Griffin, Nini & Smith use the URD for the par-value-weighted firm-level recovery rates of 403 corporate defaults (1997 to 2020) when showing that loan covenant violations, and the creditor control they trigger, protect recovery at bankruptcy.

• Cost: licensed, subscription. No free tier.
• Vendor: Moody’s Analytics (part of the CreditView / Default & Recovery data family).
• Coverage: U.S. nonfinancial corporate defaulters with large rated debt; instrument-level recoveries observed at the resolution of the default event. Coverage starts in the late 1980s and is deepest for bond and loan issuers that Moody’s rated.

Access (when licensed)

• Through a Moody’s Analytics data licence. Extracts are delivered at two grains: the default event (firm, default date, type) and the individual debt instrument (seniority, collateral, recovery value). Join on the deal or family identifier.
• Recovery is the realized payout at emergence. The headline “ultimate recovery” is nominal or discounted value received at the resolution of the case, not the 30-day-post-default trading price; the database also stores the trading-based measure for comparison.
• Credentials are required. Keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• The sample is selected toward large, rated defaulters. The URD covers firms with Moody’s-rated debt that went through a formal default and resolution; small private-debt defaults and out-of-court workouts are underrepresented. Recovery statistics from it do not describe the universe of corporate distress. The citing paper’s 403-default sample is exactly this selected population.
• Two recovery concepts, easy to mix up. “Ultimate” (settlement-value) recovery and trading-price recovery are different numbers for the same instrument and answer different questions. State which you use; comparisons across papers break when one uses each.
• Firm-level numbers are a weighted aggregation of instrument-level rows. The par-value-weighted firm recovery used by the citing paper is built up from per-instrument recoveries; the weighting scheme (par, market, by seniority) changes the headline. Document the aggregation.
• Resolution lag truncates recent cohorts. “Ultimate” recovery is only observed once the case closes, so the most recent default years are incomplete until their cases resolve. A panel that ends near the data vintage systematically misses slow resolutions.
• Seniority and collateral coding requires care. Recovery is highly sensitive to lien position and instrument type; mislabeling a second-lien or unsecured tranche distorts the loss-given-default. Reconcile the instrument fields against the credit agreement where it matters.

Citation

Cite the vendor and product, e.g.: Moody’s Ultimate Recovery Database (Moody’s Analytics), accessed YYYY-MM-DD. State the default years and sample, which recovery concept (ultimate versus trading) was used, and the weighting used to move from instrument-level to firm-level recovery.