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

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Z’’ Score Model for Manufacturers, Non- Manufacturer Industrials, & Emerging Market Credits Z’’ = 3.25 + 6.56X 1 + 3.26X 2 + 6.72X 3 + 1.05X 4 X 1 = Current Assets - Current Liabilities Total Assets X 2 = Retained Earnings Total Assets X 3 = Earnings Before Interest and Taxes Total Assets X 4 = Book Value of Equity Total Liabilities 54
US Bond Rating Equivalent Based on Adjusted Z” Score Model Z’’ = 3.25 + 6.56X 1 + 3.26X 2 + 6.72X 3 + 1.05X 4 US Equivalent Rating Average Z” Score Sample Size AAA 8.15 8 AA+ 7.6 - AA 7.3 18 AA- 7 15 A+ 6.85 24 A 6.65 42 A- 6.4 38 BBB+ 6.25 38 BBB 5.85 59 BBB- 5.65 52 BB+ 5.25 34 BB 4.95 25 BB- 4.75 65 B+ 4.5 78 B 4.15 115 B- 3.75 95 CCC+ 3.2 23 CCC 2.5 10 CCC- 1.75 6 D 0 14 55
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 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: Mortality Losses by Original Rating
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