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Understanding Aggregate Default Rates Of High Yield Bonds
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Book Synopsis Understanding Aggregate Default Rates of High Yield Bonds by : Jean Helwege
Download or read book Understanding Aggregate Default Rates of High Yield Bonds written by Jean Helwege and published by . This book was released on 2007 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: What explains the wide swings in the default rate on high yield bonds in recent years? Differences in credit quality from year to year account for much of the observed variation in default rates, but economic conditions and the age of bonds have also played a role.
Book Synopsis Real Interest Rates and the Default Rate on High-Yield Bonds by : Martin S. Fridson
Download or read book Real Interest Rates and the Default Rate on High-Yield Bonds written by Martin S. Fridson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Determinants of the aggregate default rate on high-yield bonds have been of interest at least since 1990 - 1991, when the proportion of defaulting issued reached effectively its highest level since the Great Depression. With recovery by the mid-19902, and a new record volume of issuance in 1993, analysts have wondered whether another wave of financial failures will follow. This research shows that nominal interest rates are not highly correlated with aggregate default rates on high-yield bonds. Real rates, however, significantly enhance analysts' ability to explain default rates. The effect is lagged by two years' meaning that investors can estimate future credit experience fairly accurately without having unique insights into the direction of the economy or financial markets.
Download or read book HIGH YIELD BONDS written by Mark Shenkman and published by McGraw Hill Professional. This book was released on 1999 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Default Risk of High-Yield Bonds by : Cynthia G. McDonald
Download or read book The Default Risk of High-Yield Bonds written by Cynthia G. McDonald and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the default behavior of original issue rated non-convertible high-yield bonds. Previous studies of high-yield bond defaults provide evidence of an aging effect: the longer bonds have been outstanding, the greater the default probability. However, Blume, Keim and Patel (1991) assert that this aging relationship reflects changing economic conditions. This study of bond defaults discriminates between the aging effect and the impact of macroeconomic changes. A hazard model is used to simultaneously estimate the impact of bond age, firm-specific and issue-specific characteristics, and changing economic conditions. The specification models the impact of time since issuance semi-parametrically, corrects for unobserved heterogeneity and allows for the possibility that outstanding bonds may default in the future. Our findings, based on a sample of 579 individual high-yield bonds issued between 1977 and 1989, suggest that, after controlling for annual changes in economic conditions, default rates increase with age. Bond characteristics at the time of issuance also impact the default behavior: BB rated bonds tend to have significantly lower default rates compared to CCC rated bonds; bonds with higher coupon rates have significantly higher default rates. In addition, high-yield bonds issued prior to 1980 experienced significantly lower default rates.
Book Synopsis High Yield Bonds by : United States. General Accounting Office
Download or read book High Yield Bonds written by United States. General Accounting Office and published by . This book was released on 1988 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Defaults of Original Issue High-yield Convertible Bonds by : Eric S. Rosengren
Download or read book Defaults of Original Issue High-yield Convertible Bonds written by Eric S. Rosengren and published by . This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book High Yield Debt written by Rajay Bagaria and published by John Wiley & Sons. This book was released on 2016-03-28 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examine the high yield market for a clear understanding of this evolving asset class High Yield Debt is the one-stop resource for wealth advisors seeking an in-depth understanding of this misunderstood asset class. The high yield market provides a diverse opportunity set, including fixed and floating rate debt, high and low quality debt issues and both short- and long-term duration; but many fail to understand that not all high yield exposure is the same, and that different market segments and strategies work best at different points in the economic cycle. This guide addresses the confusion surrounding high yield debt. You'll find the information you need to decide whether or not to buy in to a high yield fund, and how to evaluate the opportunities and risks without getting lost in the jargon. The U.S. corporate high yield market is worth $2.4 trillion—more than the stock markets of most developed countries. Market growth has increased the number of funds with high yield exposure, as well as the types of debt products available for investment. This book breaks it down into concrete terms, providing the answers advisors need to effectively evaluate the opportunities on offer. Understand the high yield asset class Learn the debt structures, performance and defaults Evaluate risk and investment opportunities Penetrate the jargon to make sense of high yield investment Over 300 publicly traded funds provide exposure to U.S. high yield, but despite it's size and ubiquity, understanding of the asset class as a whole remains somewhat of a rarity—even among participants. A lack of transparency is partially to blame, but the market's evolution over the past fifteen years is the larger issue. High Yield Debt explains the modern high yield market in real terms, providing a much-needed resource for the savvy investor. "Rajay Bagaria has written the first book that captures a 360 degree view of the high yield debt market. Whether you are an investor, investment banker, corporate lawyer, CFO or layperson simply trying to gain insights into the fundamentals of high yield debt, this book translates financial and legal concepts, trends and structures of high yield bonds and leveraged loans into a simple, understandable format. Mr. Bagaria’s book is a valuable resource for anyone involved in the new issue or secondary leveraged finance markets." —Frank J. Lopez, Co-Head Global Capital Markets, Proskauer "Bagaria does a great service for both high yield professionals and beginners by providing an accessible, well-written, insightful market primer." —Steven Miller, Managing Director, S&P Capital IQ, Leveraged Commentary & Data "High-Yield Debt - An Insider’s Guide to the Marketplace is a comprehensive book that provides an in-depth understanding of the history, growth, basics and details of high-debt and the high-yield market. The author gives insights that only an experienced professional can provide. The book will be invaluable to readers both starting out and knowledgeable about an important segment of corporate finance, dealing with concepts, structures and performance." —Arthur Kaufman, Retired Partner, Fried, Frank, Harris, Shriver & Jacobson LLP / Member of Adjunct Faculty, Columbia Law School
Book Synopsis Defaults & Returns on High Yield Bonds by : Edward I. Altman
Download or read book Defaults & Returns on High Yield Bonds written by Edward I. Altman and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Full year 1999 was again a mixed performance year for the high yield bondmarket in the United States but for different reasons than the mixed 1998performance. Once again, total returns were lackluster, registering just +1.73%. But, unlike last year s companion negative return spread vs. U.S. ten-year Treasuries, the return spread in 1999 was a positive 10.1%, as yield spreads increased significantly and Treasuries tumbled. And again, new issuance of high yield bonds was impressive, topping $100 billion for the third consecutive year, but aggregate defaults increased dramatically to an all-time record level of over $23 billion (face value). The default rate registered a sizeable increase, topping 4% (4.15%) for the first time since 1991 and significantly above the 1.6% level of one year earlier.Combined with a relatively low recovery rate of below 30 cents on the dollar, thedefault loss rate was 3.2% in 1999, compared to a historical arithmetic annualaverage of 1.9%. Despite 1999 s low absolute return, net returns (after deducting losses from defaults, rating migrations and interest rate changes) for the 1978-1999 period continued to show an attractive compounded return spread over U.S. Treasury bonds of close to 3.0% per year (2.96%). This report documents the high yield bond market s risk and returnperformance by presenting traditional and mortality default rate statistics andproviding a matrix of performance statistics over the relevant periods of themarket s evolution. Our analysis covers the 1971-1999 period for defaults and the 1978-1999 period for returns. In addition, we present our annual forecast of expected defaults for the next three years (2000-2002). Our 1999 forecast was for substantially higher defaults than 1998, but we underestimated the record defaultlevels. Default levels and rates were swelled in 1999 due to a number of factors,including the huge new issuance in the 1997-1999 period, a trend toward earlier defaults, deteriorating credit quality of new issues, pockets of industry fragility, and the continued vestige of 1998 s flight to quality. For 2000, we expect default levels to decline to about $17.5 billion and the default rate to regress to around three percent of the amount outstanding.
Book Synopsis Foundations of High-Yield Analysis by : Martin S. Fridson
Download or read book Foundations of High-Yield Analysis written by Martin S. Fridson and published by CFA Institute Research Foundation. This book was released on 2018-08-27 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the advent some 40 years ago of a vibrant primary market for speculative-grade corporate bonds, the high-yield market has evolved from a niche occupied by a small group of specialists into a full-fledged institutional investment category. Asset allocators and portfolio managers now have at their disposal the tools necessary for rigorous investment analysis, including financial statements of the issuers, indexes, trading prices, historical default rates, and time series on such credit factors as liquidity, ratings, and covenant quality. This research brief provides up-to-date techniques for extracting from the extensive data the information that can lead to sound investment decisions.
Book Synopsis The High Yield Debt Market by : Edward I. Altman
Download or read book The High Yield Debt Market written by Edward I. Altman and published by Beard Books. This book was released on 1998 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Report on Defaults and Returns on High Yield Bonds : Analysis Through 1994 by : Edward I. Altman
Download or read book Report on Defaults and Returns on High Yield Bonds : Analysis Through 1994 written by Edward I. Altman and published by . This book was released on 1995* with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Defaults and Returns on High Yield Bonds by : Edward I. Altman
Download or read book Defaults and Returns on High Yield Bonds written by Edward I. Altman and published by . This book was released on 2008 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Defaults and Returns in the High Yield Bond Market by : Edward I. Altman
Download or read book Defaults and Returns in the High Yield Bond Market written by Edward I. Altman and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Beyond Junk Bonds written by Glenn Yago and published by Oxford University Press. This book was released on 2003-03-27 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since financial myths exploded in the 1980s, the perspective of time creates a unique opportunity to update and expand the analysis begun in Glenn Yago's 1991 book, Junk Bonds: How High Yield Securities Restructured Corporate America (Oxford University Press). At the time of its publication, Junk Bonds drew controversial responses from the Federal Reserve and government agencies. In retrospect, the evidence clearly casts favorable light on the role of high yield securities. The research presented here demonstrates how financial innovations enabled capital access for industrial restructuring, capital and labor productivity gains, and improved global competitiveness. Enough time has now passed to allow this dispassionate empirical analysis to shear away the hype and hysteria that surrounded the Wall Street scandals, Washington controversies, and media frenzy of the time. Beyond Junk Bonds provides a one-stop data, reference and case study presentation of the firms and securities in the contemporary high yield market and the financial innovations that spurred growth in the nineties and will continue to finance the future. The high yield market incubated successive waves of financial technologies that now proliferate beyond junk bonds to all the dimensions and dynamics of global debt and equity capital markets. It charts the recovery of the market in the 1990s, the recent wave of fallen angels, distressed credits and defaults, and suggests how the high yield market will be recreated in the global market of the 21st century. It explicates the linkages between the high yield market, and other credit and equity markets in managing a firm's capital structure to execute its business strategy. The weakening of the U. S. economy in 2001 and the huge shock to Wall Street from the terrorist attacks of September 11 witnessed a historic increase in the yield to maturity of high yield bonds. Despite the volatility in the flow of funds to high yield mutual funds and occasionally sharp increases in non-investment grade debt yields, the asset class has been one of the best performing fixed income investments of the past decades. In fact, high yield bonds offer an attractive risk-reward ratio competitive with more traditional asset classes. Anyone active in corporate finance, financial institutions and capital markets will find this book a must read for interpreting and understanding the recent history both of the high yield marketplace and its interaction with private equity, public equity, and fixed income markets.
Book Synopsis Bond Markets, Analysis, and Strategies, tenth edition by : Frank J. Fabozzi
Download or read book Bond Markets, Analysis, and Strategies, tenth edition written by Frank J. Fabozzi and published by MIT Press. This book was released on 2021-12-07 with total page 937 pages. Available in PDF, EPUB and Kindle. Book excerpt: The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
Book Synopsis Defaults & Returns on High Yield Bonds by : Edward I. Altman
Download or read book Defaults & Returns on High Yield Bonds written by Edward I. Altman and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis High-yield Bonds by : Frank K. Reilly
Download or read book High-yield Bonds written by Frank K. Reilly and published by . This book was released on 1990 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
