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

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Returns and Correlations of the Defaulted Debt Markets 32
SIZE OF THE ALTMAN-NYU SALOMON CENTER DEFAULTED BOND INDEX (1987 - Oct 2006) Year Number of Number of Face Value Market Value Market / End Issues Firms ($ Billions) ($ Billions) Face Ratio 1987 53 18 5.7 4.2 0.74 1988 91 34 5.2 2.7 0.52 1989 111 35 8.7 3.4 0.39 1990 173 68 18.7 5.1 0.27 1991 207 80 19.6 6.1 0.31 1992 231 90 21.7 11.1 0.51 1993 151 77 11.8 5.8 0.49 1994 93 35 6.3 3.3 0.52 1995 50 27 5.0 2.3 0.46 1996 39 28 5.3 2.4 0.45 1997 37 26 5.9 2.7 0.46 1998 36 30 5.5 1.4 0.25 1999 83 60 16.3 4.1 0.25 2000 129 72 27.8 4.3 0.15 2001 202 86 56.2 11.8 0.21 2002 166 113 61.6 10.4 0.17 2003 128 63 36.9 17.7 0.48 2004 104 54 32.1 16.9 0.53 2005 98 35 29.9 17.5 0.59 2006 85 36 31.2 23.3 0.75 33
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 and 30: Distressed And Defaulted Debt as a
Page 31: SIZE OF THE US DEFAULTED AND DISTRE
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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