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

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1.00 Defaulted Debt Indexes: Market-to-Face Value Ratios (Annual 1987 – 2006) 0.90 0.80 Market-to-Face Ratio 0.70 0.60 0.50 0.40 0.30 Loans Median Bonds Median Loans Bonds 0.20 0.10 0.00 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Loans Median Market-to-Face value is 0.66 and Average Market-to-Face value is 0.67 Bonds Median Market-to-Face value is 0.46 and Average Market-to-Face value is 0.41 Source: Altman-NYU Salomon Center Defaulted Debt Indexes 34
ALTMAN-NYU SALOMON CENTER DEFAULTED BOND INDEX COMPARISON OF RETURNS (1987 - 2006) Year Altman-NYU Salomon Center Defaulted Bond Index S&P 500 Stock Index Citigroup High Yield Bond Index 1987 37.85% 5.26% 3.63% 1988 26.49% 16.61% 13.47% 1989 -22.78% 31.68% 2.75% 1990 -17.08% -3.12% -7.04% 1991 43.11% 30.48% 39.93% 1992 15.39% 7.62% 17.86% 1993 27.91% 10.08% 17.36% 1994 6.66% 1.32% -1.25% 1995 11.26% 37.56% 19.71% 1996 10.21% 22.96% 11.29% 1997 -1.58% 34.36% 13.18% 1998 -26.91% 28.58% 3.60% 1999 11.34% 20.98% 1.74% 2000 -33.09% -9.11% -5.68% 2001 17.47% -11.87% 5.44% 2002 -5.98% -22.08% -1.53% 2003 84.87% 28.70% 30.62% 2004 18.93% 10.88% 10.79% 2005 -1.78% 4.92% 2.08% 2006 35.62% 15.80% 11.85% 1987 - 2006 Arithmetic 11.90% 13.08% 9.49% Average (Annual) Rate Standard Deviation 27.52% 16.68% 11.78% 1987 - 2006 Compounded 8.74% 11.84% 8.92% Average (Annual) Rate 1987 - 2006 Arithmetic 0.79% 1.02% 0.74% Average (Monthly) Rate Standard Deviation 4.23% 4.31% 2.03% 1987 - 2006 Compounded 0.70% 0.93% 0.72% Average (Monthly) Rate 35
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 and 32: SIZE OF THE US DEFAULTED AND DISTRE
Page 33: SIZE OF THE ALTMAN-NYU SALOMON CENT
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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