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

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Estimated Face And Market Values Of Defaulted And Distressed Debt Face Value Market Value 12/31/2004 12/31/2005 12/31/2006 12/31/2004 F 12/31/2005 12/31/2006 Public Debt Defaulted $ 152.0 $ 163.5 $ 156.2 (1) Market/Face Ratio $ 76.0 $ 89.9 $ 101.5 0.65 (4) Distressed $ 36.6 $ 49.3 $ 17.9 (2) $ 23.8 $ 34.5 $ 13.4 0.75 (4) Total Public $ 188.6 $ 212.8 $ 174.1 $ 99.8 $ 124.5 $ 115.0 Private Debt Defaulted $ 334.4 $ 359.8 $ 406.1 (3) $ 234.1 $ 287.8 $ 365.5 0.90 (4) Distressed $ 80.6 $ 108.5 $ 46.6 (3) $ 68.5 $ 97.6 $ 44.3 0.95 (4) Total Private $ 415.0 $ 468.2 $ 452.7 $ 302.6 $ 385.4 $ 409.7 Total Public and Private $ 603.6 $ 681.1 $ 626.8 $ 402.4 $ 509.9 $ 524.7 (1) Calculated using: (2005 defaulted population) + (2006 defaults) - (2006 Emergences) (2) Based on 1.70% of the high yield bond market ($1039.7 billion) (3) Based on a private/public ratio of 2.6. (4) The market/face value ratio was 0.65 for public defaulted debt, 0.75 for public distressed debt, 0.90 for private defauled debt and 0.95 for private distressed debt in 2006. Sources: Estimated by Professor Edward Altman, NYU Stern School of Business from NYU Salomon Center's Defaulted Bond and Bank Loan Databases 30
SIZE OF THE US DEFAULTED AND DISTRESSED DEBT MARKET ($ Billions) (1990-2006) $1,000 $900 $800 $700 Face Value Market Value $600 $500 $400 $300 $200 $100 $- 1990 1992 1993 1995 1998 1999 2000 2001 2002 2003 2004 2005 2006 Source: E. Altman, NYU Salomon Center . 31
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 and 10: Historical Default Rates Straight B
Page 11 and 12: New Issues Rated B- or Below as Per
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: Distressed And Defaulted Debt as a
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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