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

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ALTMAN-NYU SALOMON CENTER DEFAULTED BANK LOAN INDEX COMPARISON OF RETURNS (1996 - 2006) Year Altman-NYU Salomon Center Defaulted Bank Loan Index S&P 500 Stock Index Citigroup High Yield Bond Index 1996 19.56% 22.96% 11.29% 1997 1.75% 34.36% 13.18% 1998 -10.22% 28.58% 3.60% 1999 0.65% 20.98% 1.74% 2000 -6.59% -9.11% -5.68% 2001 13.94% -11.87% 5.44% 2002 3.03% -22.08% -1.53% 2003 27.48% 28.70% 30.62% 2004 11.70% 10.88% 10.79% 2005 7.19% 4.92% 2.08% 2006 4.35% 15.80% 11.85% 1996 - 2006 Arithmetic Average (Annual) Rate 6.62% 11.28% 7.58% Standard Deviation 11.04% 18.69% 9.74% 1996 - 2006 Compounded 6.11% 9.74% 7.20% Average (Annual) Rate 1996 - 2006 Arithmetic Average (Monthly) Rate 0.55% 0.87% 0.60% Standard Deviation 2.58% 4.32% 2.17% 1996 - 2006 Compounded 0.51% 0.78% 0.58% Average (Monthly) Rate 38
CORRELATION OF ALTMAN NYU-SALOMON CENTER INDEXES OF DEFAULTED BONDS WITH OTHER SECURITIES INDEXES 1987 - 2006 Correlation of Monthly Returns January 1987 - Dec 2006 ALTMAN BOND INDEX S&P 500 CITIGROUP HY 10 YR T-BOND ALTMAN BOND INDEX 100.00% 28.70% 60.74% -11.51% S&P 500 100.00% 50.39% 3.63% CITIGROUP HY 100.00% 5.92% 10 YR T-BOND 100.00% 39
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 and 36: ALTMAN-NYU SALOMON CENTER DEFAULTED
Page 37: SIZE OF THE ALTMAN-NYU SALOMON CENT
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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