Current Conditions in Global Credit Markets - NYU Stern School of ...

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4 - Quarter Moving Average Historical Default Rates QUARTERLY DEFAULT RATE AND FOUR QUARTER MOVING AVERAGE 10 1991 – 2006 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% Quarterly Moving 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% Quarterly Default Rate 0.0% 0.0% 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991
New Issues Rated B- or Below as Percentage of all New Issues (1993 – 2006) 50.0% 45.0% 40.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 32.0% 28.0% 26.0% 26.0% 22.0% Source: Standard & Poor’s 1993 1994 1995 1996 1997 38.0% 1998 30.0% 31.0% 21.0%21.0%31.0% 1999 2000 2001 2002 2003 42.5%42.0%42.4% 2004 2005 2006 Source: Standard & Poor’s 11
Page 1 and 2: Current Conditions in Global Credit
Page 3 and 4: Changes in the Credit Environment:
Page 5 and 6: Factors Affecting the Transformatio
Page 7 and 8: Changes in the Credit Environment:
Page 9: Historical Default Rates Straight B
Page 13 and 14: Historical Default Rates and Recess
Page 15 and 16: Leveraged Loan Market U.S. Distress
Page 17 and 18: Recent Large Bankruptcies U.S. Dist
Page 19 and 20: Private Equity Fundraising and Leve
Page 21 and 22: Leverage Continues to Increase Curr
Page 23 and 24: Default Rates and Losses a 1978 - 2
Page 25 and 26: Source: Authors' Compilations from
Page 27 and 28: Asset Class Returns (%) 2003 - 2006
Page 29 and 30: Distressed And Defaulted Debt as a
Page 31 and 32: SIZE OF THE US DEFAULTED AND DISTRE
Page 33 and 34: SIZE OF THE ALTMAN-NYU SALOMON CENT
Page 35 and 36: ALTMAN-NYU SALOMON CENTER DEFAULTED
Page 37 and 38: SIZE OF THE ALTMAN-NYU SALOMON CENT
Page 39 and 40: CORRELATION OF ALTMAN NYU-SALOMON C
Page 41 and 42: CORRELATION OF ALTMAN NYU-SALOMON C
Page 43 and 44: U.S. Distressed Debt Managers 2007
Page 45 and 46: U.S. Distressed Funds with European
Page 47 and 48: Investment Styles and Target Return
Page 49 and 50: Forecasting Defaults and the Defaul
Page 51 and 52: Mortality Rate Concept (Illustrativ
Page 53 and 54: Mortality Losses by Original Rating
Page 55 and 56: US Bond Rating Equivalent Based on

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