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

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COMBINED ALTMAN-NYU SALOMON CENTER DEFAULTED PUBLIC BOND AND BANK LOAN INDEX COMPARISON OF RETURNS (1996 - 2006) Year Altman-NYU Salomon Center Combined Index S&P 500 Stock Index Citigroup High Yield Bond Index 1996 15.62% 22.96% 11.29% 1997 0.44% 34.36% 13.18% 1998 -17.55% 28.58% 3.60% 1999 4.45% 20.98% 1.74% 2000 -15.84% -9.11% -5.68% 2001 15.53% -11.87% 5.44% 2002 -0.53% -22.08% -1.53% 2003 49.30% 28.70% 30.62% 2004 15.40% 10.88% 10.79% 2005 1.84% 4.92% 2.08% 2006 23.40% 15.80% 11.85% 1996 - 2006 Arithmetic Average (Annual) Rate 8.37% 11.28% 7.58% Standard Deviation 18.74% 18.69% 9.74% 1996 - 2006 Compounded 6.95% 9.74% 7.20% Average (Annual) Rate 1996 - 2006 Arithmetic Average (Monthly) Rate 0.61% 0.87% 0.61% Standard Deviation 3.07% 4.34% 2.18% 1996 - 2006 Compounded 0.56% 0.78% 0.59% 40
CORRELATION OF ALTMAN NYU-SALOMON CENTER INDEXES OF DEFAULTED LOANS WITH OTHER SECURITIES INDEXES 1987 - 2006 Correlation of Monthly Returns January 1996 - Dec 2006 ALTMAN LOAN INDEX S&P 500 CITIGROUP HY 10 YR T-BOND ALTMAN BOND INDEX ALTMAN LOAN INDEX 100.00% -0.14% 42.92% -8.11% 58.16% S&P 500 100.00% 49.92% -10.87% 24.28% CITIGROUP HY 100.00% -8.46% 62.71% 10 YR T-BOND 100.00% -12.05% ALTMAN BOND INDEX 100.00% 41
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 and 38: SIZE OF THE ALTMAN-NYU SALOMON CENT
Page 39: 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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