Author: Edward I. Altman
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
Dr. Altman has earned an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. In this article, Altman and his team provide a comprehensive review of the 2005 high yield bond market. The article provides detailed long-term analysis of the US market, as well as trends in default, bankruptcy, recovery and returns for investors. Against this historical backdrop, the article offers some guidance on expected default rates and market performance in the burgeoning high-yield distressed bond market.
Author: Edward I. Altman
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
High yield bond defaults in 2003 declined significantly from record 2002 levels closing the year at $38.5 billion for a default rate of 4.66%. The fourth quarter s rate of 0.36% was the lowest quarterly rate since the fourth quarter of 1997. The default loss rate for 2003 also declined to just 2.76% based on a weighted average recovery rate of about 45% -- a majorimprovement from the 25% levels of the prior several years. Fourteen of the 86 defaultingcompanies had issues that were investment grade sometime prior to default. These fallenangels accounted for 33% of defaulting issues and 46.3% of the defaulted volume in 2003.The high-yield bond market returned an impressive 30.62% for the year, the third highest one-year return since 1978 (when we first began tracking returns). The return spread over ten-year US Treasuries was a record high 29.4%, bringing the historic average annual return spread to 2.22% per year. The concurrent yield spread at year-end fell to 3.74%, the lowest year-end figure since 1997 and 4.82% less than one year ago. New issues in 2003 recorded anear record level of $137.4 billion; the vast majority was used for refinancing existing loan and bond issues.Based on our mortality rate methodology and assuming different measures of credit risk ofrecent new issuance, we expect default rates to continue their decline in 2004 to between3.2% - 3.8%, with rates increasing in 2005 to above 4.0%.
Author: Edward I. Altman
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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Book Description
The year 2002 was remarkably difficult on many fronts for most financial markets. For the high yield bond market, it was again a year of record amounts of defaults which contributed to low recovery rates and slightly negative absolute returns. The default rate registered a massive 12.8%, based on $757 billion outstanding. Despite these record default totals and rates, the market s decline was orderly with little panic and actually ended the year with reduced defaults and highly positive returns in the fourth quarter. Default amounts registered its fourth consecutive record year and almost topped $100 billion ($97.9 billion) for the first time. This total was more than 52% higher than last year s record. Combined with a near record low recovery rate of 25 cents on the dollar, weighed down by Telecom s average recovery rate of 16%, loss rates from defaults reached record levels of about 10% -- even adjusted for fallen angel default recoveries. The pervasive influence of WorldCom s massive default had a profound effect on both the default and recovery rates. Without WorldCom, the year s default rate would have been 9.27% -- a differential of about 3.5%. This report documents and comments upon the high yield bond market s risk and return performance over the period 1971-2002. We will present traditional, dollar-denominated default rates as well as our own mortality rate statistics. Default rate analysis will be complemented by discussion on corporate bankruptcies and the immense impact of fallen angels on the high yield market. We conclude with our annual estimate of the size of the distressed debt market and our forecast for defaults in 2003. Our analysis will include an update on our default recovery forecasting model which was extremely accurate in estimating 2002 s recovery rate of about 25%. Based on the fourth quarter s reduction in default rate to 1.82% and our aging-mortality conceptual framework, we are predicting a reduction in the dollar denominated default rate to 7.5-8.0%, as much as 5% less than 2002 (but still far above the average rate). This should help provide a more attractive environment for high yield debt new issues and returns in 2003. In 2002, there was $65.6 billion in new high yield bond issuance, down from 2001 s $88.2 billion. We expect new issuance in 2003 to escalate unless the economic/political scene motivates another flight to quality in our financial markets.
Author:
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 56
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Book Description
Author: Mark Shenkman
Publisher: McGraw Hill Professional
ISBN: 9780071376969
Category : Business & Economics
Languages : en
Pages : 614
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Book Description
HIGH-YIELD BONDS provides state-of-the-art research, strategies, and toolsÑalongside the expert analysis of respected authorities including Edward Altman of New York UniversityÕs Salomon Center, Lea Carty of MoodyÕs Investor Service, Sam DeRosa-Farag of Donaldson, Lufkin & Jenrette, Martin Fridson of Merrill Lynch & Company, Stuart Gilson of Harvard University, Robert Kricheff of CS First Boston, and Frank Reilly of the University of Notre DameÑto help you truly understand todayÕs high-yield market. For added value and ease of reference, this high-level one-volume encyclopedia is divided into seven sections detailing virtually every aspect of high-yield bond investment. They include: Market structureÑThe role of investment banks in security innovation and market development, evolution of analytical methodologies, and recent leveraged loan market developments; Security risk analysisÑHistorical bond default rates, real interest rate and default rate relationships, and new simulation methodologies for modeling credit quality; Security valuationÑImpact of seniority and security on bond pricing and return, important trading factors, and a Monte Carlo simulation methodology for valuing bonds and options in the context of correlated interest rate and credit risk; Market valuation modelsÑEconometric studies which detail the importance of monetary influences, risk-free interest rates, default rates, mutual fund flows, and seasonal fluctuations; Portfolio managementÑHistorical perspective and comparison to alternative investments, analysis of indices available to investors, and specific portfolio selection and risk management strategies of professional fund managers; Distressed security investingÑHistorical risk and return information, plus an academic overview of the market and decision criteria for uncovering and investing in securities with higher-than-average risk-adjusted returns; Corporate finance considerationsÑEmerging firmsÕ strategic choice between external debt and equity financing, as well as the choice of issuing public versus private (Rule-144a) securities. HIGH-YIELD BONDS provides extensive coverage of bond valuation and the construction and management of high-yield portfolios. Advanced Monte Carlo simulation models for the valuation of bonds and options on bonds as well as risk assessments on portfolios of bonds under conditions of correlated interest rate and credit risk are demonstrated. In todayÕs explosive environment of multiple new issues and high risk versus return relationships, it is paramount that you get advice from analysts and experts who have been influential in shaping and defining the market. HIGH-YIELD BONDS will provide you with a valuable reference to this fascinating and constantly changing class of securities, helping you assemble a stable, diversified portfolio of fixed income investments that provides the greatest returns and the lowest risks.
Author: Edward I. Altman
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The year 2001 was remarkable on many fronts. For the high yield market, it was a year of crushing record numbers of defaults and distressed exchanges, combined with predictable low recovery rates. Despite these fundamental problems and the quot;flight to qualityquot; following the terrorist attacks in September, the high yield market displayed impressive resiliency.This report documents and comments upon the high yield bond market's risk and return performance by presenting traditional and mortality rate statistics and providing performance data over the market's history. Our analysis covers the period 1971-2001. In addition, we present our forecast of expected defaults.Two new innovations to our analysis of the high yield bond market are also introduced. We adjust our traditional measure of default loss rates by factoring in the impact of fallen angel defaults where the quot;investmentquot; in these issues is typically much below par value. Finally, we summarize some recently completed work, on analyzing default recovery rates, with an econometric model that has explained over 90% of the variation in recoveries over the last two decades.
Author: Edward I. Altman
Publisher: Beard Books
ISBN: 9781587981555
Category : Business & Economics
Languages : en
Pages : 278
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Book Description
Details the rise and operation of the high yield debt market as illustrated by the "junk" bond.
Author: T. Andersen
Publisher: Springer
ISBN: 1137447621
Category : Business & Economics
Languages : en
Pages : 420
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Book Description
This book focuses on two central aspects of the risk managing process, namely 1. how managers (can and do) assess developments in the external risk environment and deal with them, and 2. analysing the effects of risk management and different managerial approaches. The articles represent state of the art academic analyses and research contributions.
Author: Edward I. Altman
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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Book Description
Nineteen-ninety-eight was a mixed performance year for the high yield bond market in the United States , with much below average returns and spreads over default-risk-free Treasury Bonds but continued relatively low default rates and losses and another record year of new insurance. Returns and new insurance were excellent through the first seven months of the year but returns reversed and new issues dried up, temporarily, in the wake of August's Russians default and the emerging market turmoil, causing another short-term flight to quality. Returns in 1998 on high yield bonds in the U.S. were slightly above 4.0% for the entire year, about 8.5% lower than historical averages. Return spreads also were much below average (-8.7%).The default rate was again relatively low, 1.60%, and losses from default 1.1%. Despite 1998's low relative return, net returns (after deducting losses from defaults) over the last two decades continue to show a compound result over 12% per year and spreads over U.S. Treasuries of over 2.5% per year. New insurance of high yield debt in 1998 totaled a record $152 billion, with $120 billion of the total in the first seven and a half months.This report documents the high yield debt market's risk and return performance by presenting default and morality statistics and providing a matrix of average returns and other performance statistics over relevant periods of the market's evolution. Our analysis covers the period 1971-1998 for defaults and 1978-1998 for returns. In addition, we present our annual forecast of expected defaults for the next three years (1999-2001). Two other reports, published by the NYU Salomon Center, comprehensively document the performance of defaulted public bonds and bank loans and the default rate experience on syndicated bank loans.
Author: Edward I. Altman
Publisher: Beard Books
ISBN: 9781893122017
Category : Business & Economics
Languages : en
Pages : 324
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Book Description
