Risk based capital charges for municipal bonds:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Greenwich, Conn. u.a.
Jai Pr.
1990
|
| Series: | Contemporary studies in economic and financial analysis
68 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 231 S. graph. Darst. |
| ISBN: | 1559382430 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804118617101434880 |
|---|---|
| adam_text | CONTENTS
List of Figures xi
List of Tables xiii
Acknowledgments xvii
PART I. INTRODUCTION TO MUNICIPAL BONDS
AND MEASURES OF MUNICIPAL CREDIT RISK
I. Municipal Bonds: Improving the
Measurement of Risk 3
Book Outline 6
How This Book Was Researched 8
Bibliography and Source Material 10
Data Research and Analysis 11
Bond Default Files 13
Research Design and Sequence 13
II. Description of Municipal Bonds 17
What Are Municipal Bonds? 17
History and Evolution • 18
Credit Enhancement 20
III. Bond Ratings, Previous Default Studies, and
the Need for a New Approach 23
Moody s and Standard 2c Poor s Bond
Rating System 23
Moody s and Standard Poor s
Capital Charge Plans 26
Previous Default Studies 32
The Need for a New Approach 35
vii
viii / Contents
PART II. MUNICIPAL BONDS AND THEIR HISTORICAL
RELATIONSHIP TO THE GENERAL ECONOMY
IV. Role of the Business Cycle and Macroeconomic
Factors 39
V. Review of Economic History: 1869 to the Present 43
The Depression of 1873 1879 49
The Depression of 1882 1884 52
The Depression of 1893 1899 54
The Great Depression of 1929 1938 57
Major Recessions of 1903 1904, 1910 1911, and
1913 1914 57
Post World War II Recessions of 1949, 1969 1970,
1974 1975, and 1980 1982 61
Summary 66
VI. The Great Depression: 1929 1938 69
Overview of the National Economy 69
State and Local Governments 74
Corporate Bond Experience 80
Personal Income and Consumption Expenditures 81
VII. Changes in the Economy: Today Versus 1929 87
Deflation 88
Reforms, Changes, and Comparisons 92
Ability to Avoid Depressions 102
Summary 116
PART III. DEVELOPMENT OF MUNICIPAL
BOND DEFAULT MODEL
VIII. Municipal Bond Stress Test:
Part 1—Falling Revenues 121
General Obligations 123
Municipal Utility Revenue Bonds 125
Health Care Revenue Bonds 126
Special Revenue Bonds—Education 130
Airport and Port Revenue Bonds 132
Toll Road and Bridge Revenue Bonds 133
Tax Supported Debt 134 •
Housing—Single Family 135 |
Contents / ix
Housing—Multifamily 137
Corporate Backed and Miscellaneous
Revenue Bond Issues 140
Commodity Based or Nondiversified Economies 141
IX. Municipal Bond Stress Test:
Part 2—Liquidity and Market Access 143
Great Depression Experience 144
Changes in the Economy 150
Liquidity Characteristics 151
Liquidity Criteria—Asset Conversions 153
Liquidity Criteria—Additional Borrowing 155
Summary 157
X. Sample Test Results and Comparisons with
Other Capital Charge Systems 159
American Housing Trust I 160
Louisiana Recovery District 162
State of Louisiana 165
City of New York and Municipal Assistance
Corporation 173
Intermountain Power Agency 189
Summary 189
XI. Conclusion 193
Appendix 197
Bibliography 217
Index 221
List of Figures
Chapter V
1. Municipal Bond Defaults and Business Cycle 46
2. 1873 1879 Depression: Economic Attributes 50
3. 1882 1884 Depression: Economic Attributes 53
4. 1893 1899 Depression: Economic Attributes 55
5. 1929 1938 Depression: Economic Attributes 56
6. 1903 1904 Recession: Economic Attributes 58
7. 1910 1911 Recession: Economic Attributes 59
8. 1913 1914 Recession: Economic Attributes 60
9. 1949 Recession: Economic Attributes 62
10. 1969 1970 Recession: Economic Attributes 63
11. 1974 1975 Recession: Economic Attributes 64
12. 1980 1982 Recession: Economic Attributes 65
Chapter VI
1. 1929 1938 Depression: Economic Attributes 72
2. State and Local Government: Surplus or Deficit
Percent of Revenue 75
3.a. Great Depression and Po st World War II Recessions:
Change in Consumption Patterns 1929 1983 83
3.b. Great Depression and Post World War II Recessions:
Change in Consumption Patterns 1929 1983 84
3.c. Great Depression and Post World War II Recessions:
Change in Consumption Patterns 1929 1983 85
Chapter VII
1 Inflation/Deflation Cycle 89
2. State and Local Government: Debt to Revenue
Leverage Ratios 96
xi
xii / List of Figures
3. Comparative Compound Annual Rates of Growth in
Output, Debt, Money Supply, and Prices 104
4. Total Debt to National Income 105
5. GDP—Imports/Exports: Long Term Foreign
Borrowing for Brazil 111
6. GDP—Imports/Exports: Long Term Foreign
Borrowing for Republic of Mexico 112
Chapter VIII
1. Total Medical and Hospital Expenditure as a Percentage
of Personal Income 127
2. Education Expenditures as a Percentage of
Personal Income 129
3. Total Transportation and Inter City Transportation
Expenditures as a Percentage of Personal Income 131
4. Owner Occupied Housing as a Percentage
of Personal Income 136
5. Tenant Occupied Housing as a Percentage
of Personal Income 138
List of Tables
Chapter HI
1. Bond Rating Scales of Major Rating Agencies 24
2. Standard Poor s Projected Municipal Bond
Depression Default Rates (Capital Charges) 28
3. Standard Poor s Depression Default Pattern for
State General Obligation Municipal Bonds 30
4. Moody s Projected Depression Default Rates
(Capital Charges) for Municipal Bonds 31
5. Moody s Depression Default Pattern for General
Obligation Municipal Bonds with Moody s A Rating 32
Chapter V
1. Major U.S. Depressions and Recessions Since 1869 44
2. Major Depression Default Experience 47
3. 1929 Depression Statistics for Municipal
Bond Defaults 48
4. Depression/Recession Similarities 67
Chapter VI
1. 1929 Depression Shifts in GNP Components 73
2. 1929 Depression Statistics for Municipal Bond Defaults 77
3. Top Five States with Highest/Lowest Incidence of
Municipal Defaults Through October 1, 1935 78
4. Bond Buyer 20 Bond Index Interest Rate Levels 79
5. 1929 1938 Depression Bond Default Experience 80
6. 1929 Depression Era Personal Consumption
Expenditures By Category 81
xiv / List of Tables
Chapter VII
1. Gross National Product By Major Business Segments 93
2. IMF 20 Industrialized Nations Gross Domestic Product 107
3. World Export/Import Statistics 108
4. Growth in Federal Debt Holdings By Sector, 1980 1986 109
5. Texas Bank Reserve Commitments By FDIC 114
6. FSLIC Estimates of Texas Savings and
Loan Salvage Costs 115
Chapter VIII
1. State and Local Government Revenues and
Expenditures By Component 123
2. General Obligation Bonds: Depression Level Revenue
and Deficit Pattern 124
3. Municipal Utility Revenue Bonds: Depression Level
Revenue and Expense Patterns 126
4. Health Care: Depression Level Revenue and Cost Pattern 128
5. Special Revenue Bonds: Depression Level Revenue
and Expense Patterns 130
6. Airport Revenue Bonds: Depression Level Revenue
and Expense Patterns 132
7. Port Revenue Bonds: Depression Level Revenue
and Expense Patterns 133
8. Toll Road and Bridge Revenue Bonds: Depression Level
Revenue and Expense Patterns 134
9. Selected Consumer Goods: Depression Level
Consumption Expenditure Patterns 135
10. Single Family Housing: Depression Level Expenditure
Patterns 137
11. Multifamily Housing: Depression Level Expenditures 139
12. Depression Era Changes In Personal Income and
Price Levels 140
13. Comparative Depression Era Price Level Changes:
Wholesale Prices Versus Farm Commodities 142
Chapter IX
1. Unsuccessful Municipal Bond Public Offerings:
July 1, 1931 January 15, 1932 146
2. Major Municipal Bond Offering Experience:
July 1931 January 1932 148
List of Tables / xv
3. Depression Era Government Bond Interest Rate Changes 153
4. Depression Era Bond Interest Rate Changes 154
5. Projected Depression Level Change in Value of
Receivables and Inventories 155
Chapter X
1. Depression Level Housing Expenditure Pattern 161
2. American Housing Trust I: Depression Stress Test 162
3. Depression Era Consumer Goods and Services
Expenditure Patterns 163
4. Louisiana Recovery District: Depression Stress Test 164
5. State of Louisiana: Depression Stress Test—
Cash Flow Projection 168
6. State of Louisiana: Depression Stress Test—
Debt Service and Deficit Liquidation Projections 170
7. New York City: Depression Stress Test 174
8. New York City: Depression Stress Test 178
9. New York City: Depression Stress Test 180
10. MAC Depression Stress Test 182
11. Intermountain Power Agency 184
12. Intermountain Power Agency 186
13. Depression Stress Test Results: Selected Bond Issues 190
Appendix
A. la. Key Economic Variables 198
A.lb. Key Economic Variables 203
A.lc. Key Economic Variables 206
A. Id. Key Economic Variables 211
A.2. Ratio of State and Local Government Debt to
Revenue and Surplus (Deficit) to Revenue Percentage 214
A.3. 1929 Depression and Post World War II Recessions:
Personal Consumption Patterns 216
|
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| series2 | Contemporary studies in economic and financial analysis |
| spelling | Godfrey, Robert Verfasser aut Risk based capital charges for municipal bonds by Robert Godfrey Greenwich, Conn. u.a. Jai Pr. 1990 XVII, 231 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contemporary studies in economic and financial analysis 68 Geschichte Municipal bonds Ratings United States Municipal bonds United States History Kommunalkredit (DE-588)4164796-8 gnd rswk-swf Geschichte (DE-588)4020517-4 gnd rswk-swf USA USA (DE-588)4078704-7 gnd rswk-swf USA (DE-588)4078704-7 g Kommunalkredit (DE-588)4164796-8 s Geschichte (DE-588)4020517-4 s DE-604 Contemporary studies in economic and financial analysis 68 (DE-604)BV000001516 68 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002756940&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Godfrey, Robert Risk based capital charges for municipal bonds Contemporary studies in economic and financial analysis Geschichte Municipal bonds Ratings United States Municipal bonds United States History Kommunalkredit (DE-588)4164796-8 gnd Geschichte (DE-588)4020517-4 gnd |
| subject_GND | (DE-588)4164796-8 (DE-588)4020517-4 (DE-588)4078704-7 |
| title | Risk based capital charges for municipal bonds |
| title_auth | Risk based capital charges for municipal bonds |
| title_exact_search | Risk based capital charges for municipal bonds |
| title_full | Risk based capital charges for municipal bonds by Robert Godfrey |
| title_fullStr | Risk based capital charges for municipal bonds by Robert Godfrey |
| title_full_unstemmed | Risk based capital charges for municipal bonds by Robert Godfrey |
| title_short | Risk based capital charges for municipal bonds |
| title_sort | risk based capital charges for municipal bonds |
| topic | Geschichte Municipal bonds Ratings United States Municipal bonds United States History Kommunalkredit (DE-588)4164796-8 gnd Geschichte (DE-588)4020517-4 gnd |
| topic_facet | Geschichte Municipal bonds Ratings United States Municipal bonds United States History Kommunalkredit USA |
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