We use a time series structural model to simulate credit securities (see white paper). The formulation requires information about market capitalization and debt to infer a leverage ratio and corresponding distance to default.
This formulation affects corporate bonds, convertibles, exchangeables, term debt and credit default swaps. Because market capitalization is a function of share information (=shares outstanding * share price), we can only apply the formulation to securities issued by public companies.
When a portfolio contains bonds or loans issued by a private company, share information is not available and we have to use a different formulation. Similarly, when bonds and loans are packaged in a structured form (CDOs and CLOs) we use a similar approach. For more information on how we simulated these assets, please review our technical paper: private credit