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

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DEFAULTED BOND, STOCK, AND HIGH YIELD BOND INDICES 1987 - 2006 1,000 900 800 700 600 500 400 300 200 100 0 36 MONTH Jul-87 Mar-88 Nov-88 Jul-89 Mar-90 Nov-90 Jul-91 Mar-92 Nov-92 Jul-93 Mar-94 Nov-94 Jul-95 Mar-96 Nov-96 Jul-97 Mar-98 Nov-98 Jul-99 Mar-00 Nov-00 Jul-01 Mar-02 Nov-02 Jul-03 Mar-04 INDEX VALUE Nov-04 Aug-05 MARKET WEIGHTED INDEX S&P 500 STOCK INDEX CITIGROUP HIGH YIELD INDEX Source: Altman-NYU Salomon Center Defaulted Debt Indexes Database
SIZE OF THE ALTMAN-NYU SALOMON CENTER DEFAULTED BANK LOAN INDEX (1995 - 2006) Year Number of Number of Face Value Market Value Market/ End Issues Firms ($ Billions) ($ Billions) Face Ratio 1995 17 14 2.9 2.0 0.69 1996 23 22 4.2 3.3 0.79 1997 18 15 3.4 2.4 0.71 1998 15 13 3.0 1.9 0.63 1999 45 23 12.9 6.8 0.53 2000 100 39 26.9 13.6 0.51 2001 141 56 44.7 23.8 0.53 2002 64 51 37.7 17.4 0.46 2003 76 43 39.0 23.9 0.61 2004 45 26 22.9 18.2 0.80 2005 41 21 18.7 16.2 0.86 2006 27 23 11.2 10.0 0.89 37
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 and 34: SIZE OF THE ALTMAN-NYU SALOMON CENT
Page 35: ALTMAN-NYU SALOMON CENTER DEFAULTED
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

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

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