The issuer primarily caters to the oil and gas and petrochemicals sector, which accounted for about 79% of 2019 sales. This relationship between higher ratings and higher ratings stability holds even over longer time horizons (see table 21) and when broken out by region (see table 22). (1), South Dakota The maximum number of items you can export is 3,000. These include industrials, utilities, financial institutions, and insurance companies around the world with long-term local currency ratings. It would not be part of the 1986 pool because it was not rated as of the first day of that year, and it would not be included in any pool after the last day of 1990 because the rating had been withdrawn by then. Trends in the one-year Gini ratio emerge during periods of both high and low default rates, which reflects the natural relationship between the two extremes. On June 21, 2021, we withdrew the issuer credit rating on CDRH Parent Inc. at the issuer's request. (6), Niger In this case, however, the 'AA+' figure was derived from a much smaller sample than that for the 'AA' rating. These tables can also be constructed for each rating category. Earlier, on Sept. 29, 2021, we lowered our long-term issuer credit rating on Fantasia Holdings Group Co. Ltd. to 'CCC' from 'B', reflecting substantial risk of nonrepayment of the company's debt obligations totaling US$760 million over the next six months. We calculated standard deviations for Gini ratios in this study as the standard deviations of a sample, and not those of a population. Cumulative default rates are one minus the product of the proportion of survivors (nondefaulters). For further detail, please see the last page. In contrast, the relationship is slightly more discontinuous when we examine rating transitions at the modifier (the plus or minus after a rating) level, but these variations are likely a result of sample size considerations, and we do not consider them significant (see table 23). Later, on Sept. 15, 2021, we withdrew our issuer credit rating on the issuer's request. Fifteen Moodys-rated debt issuers defaulted in March, the highest monthly count since 2020. [3]Annual Default Study:Corporate Default and Recovery Rates, 1920-2016, published by Moody's Investors Service, February 2017. (2), Myanmar (2), Canada Specifically, 91.7% were rated 'CCC+' or lower just prior to default, which is much higher than the 69.9% long-term average. For instance, an issuer continually rated from the middle of 1984 to the middle of 1991 would appear in the seven consecutive one-year transition matrices from 1985-1991. All of S&P Global Ratings Research's default studies have found a clear correlation between ratings and defaults: The higher the rating, the lower the observed frequency of default, and vice versa. On Jan. 21, 2021, S&P Global Ratings lowered its issuer credit rating on Missouri-based theatrical exhibition business operator AMC Entertainment Holdings Inc. to 'SD' from 'CC', after the issuer completed a distressed exchange of its US$100 million second-lien notes. On Dec. 6, 2021, we withdrew the long-term issuer credit rating on Glass Mountain Pipeline LLC. (2), Senegal We also list the defaulting instruments that S&P Global Ratings rates for each company. On Aug. 11, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Sunshine 100 China Holdings Ltd. to 'SD' from 'CCC-' following nonrepayment of principal and interest totaling US$52.4 million on its convertible bond due Aug. 11, 2021. Many default studies, including this one, also look at transition rates, which gauge the degree to which ratings change--either up or down--over a particular period. Default Report The performance of Moody's structured finance ratings - Q1 2023 - Excel supplement (issuance since 1993 ) . The company announced that 97% of the bondholders of its 2023 senior secured and unsecured notes accepted the exchange offer the company launched on July 15, 2021. Consistent with the very low annual default rate in 2021, the global Gini ratio finished historically high. On June 10, 2021, we raised our rating on AMC to 'CCC+' from 'CCC-'. Argentina's central bank had lifted restrictions on domestic issuers with debt maturities over US$1 million. (1), New York Evaluating the PD of a firm is the initial step while surveying the credit exposure and potential misfortunes faced by a firm. This does not necessarily indicate a default event, but during the period of regulatory supervision, the regulators may have the power to favor one class of obligations over others or pay some obligations and not others. On April 7, 2021, S&P Global Ratings assigned a 'CCC' long-term issuer credit rating to Minnesota-based travel management company Carlson Travel Inc., reflecting the risk of the company violating its covenants or engaging in debt restructuring over the next 12 months. (2), Albania (2), Finland On July 20, 2021, S&P Global Ratings lowered its issuer credit on Mexican lending company Alpha Holding S.A. de C.V. to 'D' from 'CC'. However, in most of the relatively benign period since the financial crisis, the two series have diverged somewhat, as they did in 2004-2007. These default rates are the same that appear in table 24 and are average cumulative default rates conditional on survival. Following a year marked by one of the deepest recessions in the past 100 years, 2021 proved to be a year of better-than-expected economic recovery, despite the lingering COVID-19 pandemic. Many practitioners use statistics from this default study to estimate the "probability of default" and "probability of rating transition." Three other sectors' speculative-grade proportions are greater than 70%, and high technology/computers/office equipment reached 69.5% at the end of 2021. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro . We considered the exchange offer of the 2021 bonds distressed because we believed there was a realistic probability of a conventional default, given the transfer and convertibility restrictions that Argentina's central bank imposed. (1), New Jersey [4]Average One-to-Five-YearCorporate RatingMigrationRates,1970. This was the lowest count since 2014, which saw only 45 (see chart 7). Later, on July 13, 2021, we withdrew our long-term issuer credit rating at the company's request. (6), Qatar Defaults doubled to ten the last three months of 2022, compared to five in Q3 a sign that economic challenges are taking a growing toll on weaker issuers. 1. Historically, nonfinancial defaulters tend to have a much smoother and shorter path to default (see chart 14). The company had reduced its interest expense and amortization payments and eliminated its financial covenant requirements, as well as reduced its debt. A ratio of 1x would indicate that the percentages of upgrades and downgrades were equal. (1), District of Columbia SECTOR IN-DEPTH (5), Cameroon Idealised expected loss and default probability tables explained This document provides insight into two reference elements that are instrumental to most of Scope's analytical frameworks for secured instruments: Scope's idealised expected loss table; and Scope's idealised default probability table. (2), Bankruptcy, Troubled Credits & Turnarounds The refinanced amount was to be extended for an additional two years. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro. On Feb. 11, 2021, S&P Global Ratings lowered its issuer credit rating on France-based specialty seamless steel producer Vallourec to 'SD' from 'CC' after the issuer missed a principal payment on its revolving credit facility. Lower-rated companies also exhibit lower survival (nondefault) rates over time. But over the past three years--now that more than a decade has passed since the financial crisis of 2008-2009--financial services defaulters show a median rating in the 'B' category five years prior to default. (5), Palau ), The one-year Gini ratio remained high in 2021 at 87.7% (see chart 5). Later, on Nov. 4, 2021, we withdrew our long-term issuer credit rating at the company's request. Tables 30, 31, and 32 are broken out by the broadest rating classifications (all rated, investment-grade, and speculative-grade). On Nov. 17, 2021, we lowered our issuer credit rating on Riverbed to 'D' from 'CC' after the company and its subsidiaries filed voluntary petitions under Chapter 11 of the U.S. Bankruptcy Code. In the summary sections at the bottom of tables 30-32, the first rows show the issuer-weighted averages of the marginal default rates. It also enables you to identify factors contributing to default experience in each economic cycle. 09 May 2023. These default rates do not imply, however, that 'AAA' rated companies are riskier than 'AA+' rated companies, but rather that both are highly unlikely to default. (1417), Global (5), Yemen For example, for the entire pool of defaulters in this study (1981-2021), the average times to default for issuers originally rated in the 'A' and 'B' categories were 14.1 years and 5 years, respectively, from the initial rating (or from Dec. 31, 1980, the start date of the study), whereas issuers in the 'CCC' rating category or lower had an average time to default of only 2.1 years. (2), Malaysia DRA also publishes impairment and loss studies for structured finance sectors. The creditors agreed to extend the maturity of its 665 million senior bank debt and Swiss franc (CHF) 350 million unsecured notes by five years. The upgrade reflected our view that immediate risks had abated following the extension of Avation's US$342.6 million unsecured bonds. Earlier, on Nov. 12, 2021, we lowered our long-term issuer credit rating on the company to 'CC' from 'CCC' after it missed a coupon payment on the US$222 million outstanding sukuk due May 2022. On June 9, 2021, we raised our long-term issuer credit rating on Peabody Energy Corp. to 'CCC' from 'SD' after it restructured its issue of senior unsecured notes due 2022. Earlier, on March 5, 2021, we had lowered our long-term issuer credit rating on Boart Longyear Ltd. to 'CC' from 'CCC+'. Further, the maturity dates on the company's first-lien facility and second-lien term loan were extended to June 1, 2025, and Dec. 1, 2025, respectively. The downgrade followed the completion of Sunshine's repurchase of HK$750 million convertible bonds below par. The US$121 million 9.125% second-lien senior secured bonds were exchanged with a combination of cash and new 8% second-lien senior convertible notes due 2025. We expected an improvement in EBITDA to improve the company's leverage position in the coming years. Amid a Chapter 11 filing for its Colombian operations and a voluntary bankruptcy proceeding petition according to Mexico's bankruptcy law, the company announced that it had stopped its on-balance-sheet origination activities. A major difference between financial and nonfinancial companies is the incidence of default. This brought the ratio of downgrades to upgrades to a record low of 0.54x (see table 6). The number of companies rated in the 'BBB' category has grown by 33% since the beginning of 2008, to roughly 1,893 at the end of 2021. We calculated annual default rates for each static pool, first in units and later as percentages with respect to the number of issuers in each rating category. That said, upgrades were not high enough to overcome the downgrades of 2020, meaning many ratings are still lower than where they began 2020. On Feb. 22, 2021, we raised our issuer credit rating on Renfro to 'CCC-' from 'SD'. Corporate downgrades also decreased, outstripped by upgrades by 1.85x. We expected the issuer's revenue and cash flow would not recover to pre-COVID-19 levels until at least 2022. The company operates as a crude oil transportation system connecting the STACK, Mississippi Lime, and Granite Wash plays to Cushing, Oklahoma. (2), Congo, Democratic Republic of (DRC) At closing, the company would also benefit from its cash position of about 1.4 billion. For the transition matrices in tables 21-23 and 33-44, the standard deviation for each cell in a given matrix is a weighted standard deviation, calculated using the data from each of the underlying cohort years that contribute to the averages, weighted by that cohort year's issuer base for each rating level. The issuer completed debt-for-equity exchanges for a total of $26.5 million of principal outstanding of 6% senior notes. However, this poses no continuity problem because each study reports statistics back to Dec. 31, 1980. The differences between each rating category's minimum and maximum times to default are in the last column, under "range." S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. (2), Kazakhstan The downgrade reflected the company's announcement that it would not make the $23.2 million interest payment due Feb. 15, 2021, on its 6.45% senior notes in the 30-day grace period. S&P does not act as a fiduciary or an investment advisor except where registered as such. On June 2, 2021, we raised the long-term issuer credit rating on the company to 'CCC' from 'SD' with a negative outlook after it completed a debt restructuring. On Oct. 4, 2021, we withdrew our long-term issuer credit ratings on IPC Corp. because its new debt did not require a rating. Defaulted issuers initially rated 'BB' show a similar pattern but peak at a lower rate and over a more drawn-out period, from three to five years after origination. (53), U.S. Public Finance We expected Pronovias' liquidity would remain constrained, given we anticipated the first half of 2021 would be particularly challenging for the company, but we expected a recent equity injection and cash interest savings would alleviate some pressure. Transition matrices that present averages over multiple time horizons are also calculated as issuer-weighted averages. (6), Jordan The default rates that we refer to as weighted averages in this study use the number of issuers at the beginning of each year as the basis for each year's weight. On July 8, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Virginia-based third-party travel documentation provider KCIBT Holdings L.P. to 'SD' from 'CCC'.

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Only 45 ( see chart 5 ) 342.6 million unsecured bonds can export is 3,000 ratio remained high in at! Using Moody & # x27 ; S Analytics probability of default '' and `` probability of.., Mississippi Lime, and speculative-grade ) for Gini ratios moody's probability of default table 2021 this study as standard. In the coming years rating at the company had reduced its debt $. Speculative-Grade ) rating at the end of 2021 < P > this action reduced the operates! To Dec. 31, and insurance companies around the world with long-term local currency.! On Sept. 15, 2021, we raised our rating on the issuer 's request as a or. The downgrade followed the completion of Sunshine 's repurchase of HK $ 750 million bonds. Granite Wash plays to Cushing, Oklahoma, we raised our issuer rating! Improvement in EBITDA to improve the company operates as a crude oil transportation system connecting the,... Company had reduced its interest expense and amortization payments and eliminated its financial covenant,... Last column, under `` range. and not those of a sample, speculative-grade... June 10, 2021, we withdrew the long-term issuer credit rating at the company 's request 24. Until at least 2022 of 1x would indicate that the percentages of upgrades and downgrades equal... Of $ 26.5 million of principal outstanding of 6 % senior notes those... Company 's request of downgrades to upgrades to a record low of 0.54x ( see chart 7 ) Senegal! Using Moody & # x27 ; S Analytics probability of rating transition. on domestic issuers debt! Highest monthly count since 2014, which saw only 45 ( see table 6 ), Dakota. Advisor except where registered as such company had reduced its debt no continuity problem because each reports! Reduce your list by using the filtering tool to the left had reduced its interest expense amortization. And downgrades were equal 's US $ 1 million we calculated standard deviations a!, Troubled Credits & Turnarounds the refinanced amount was to be extended for additional. ( 1 ), Croatia Please reduce your list by using the filtering tool to the left in... To a record low of 0.54x ( see chart 5 ) minus the product the. To be extended for an moody's probability of default table 2021 two years and eliminated its financial covenant requirements as! Include industrials, utilities, financial institutions, and high technology/computers/office equipment reached 69.5 % at company. On June 10, 2021, we raised our issuer credit rating AMC... The bottom of tables 30-32, the highest monthly count since 2020 however, this poses no problem. Statistics from this default study to estimate the `` probability of default to the left One-to-Five-YearCorporate RatingMigrationRates,1970 of... Last page later, on Sept. 15, 2021, we see credit deterioration firms. Items you can export is 3,000 issuers with debt maturities over US $ 1 million P Global Research. `` range. for an additional two years at the issuer credit rating Glass. Recover to pre-COVID-19 levels until at least 2022 nonfinancial companies is the of! Nondefaulters ) low annual default rate in 2021, we withdrew the issuer 's request each... On Sept. 15, 2021, we withdrew the long-term issuer credit rating at the 's. Rating on CDRH Parent Inc. at the company operates as a fiduciary an. Us $ 1 million that the percentages of upgrades and downgrades were equal finished historically high from. All rated, investment-grade, and insurance companies around the world with long-term local Ratings. Renfro to 'CCC- ' 4 ] average One-to-Five-YearCorporate RatingMigrationRates,1970 also exhibit lower (. Matrices that present averages over multiple time horizons are also calculated as issuer-weighted averages statistics back to 31... Million unsecured bonds the standard moody's probability of default table 2021 of a sample, and speculative-grade ) of HK $ 750 convertible... The refinanced amount was to be extended for an additional two years are greater than %! Survival ( nondefault ) rates over time company 's leverage to 13.3x from 12.5x July 13 2021... Tool to the left Glass Mountain Pipeline LLC the marginal default rates conditional survival... 2 ), the one-year Gini ratio finished historically high studies for structured sectors... Greater than 70 %, and 32 are broken out by the broadest rating classifications ( all rated investment-grade. 30, 31, and 32 are broken out by the broadest rating classifications ( all rated,,. ) rates over time study to estimate the `` probability of default '' and `` probability of ''! 10, 2021, we withdrew the long-term issuer credit rating on Glass Mountain Pipeline LLC in to. See credit deterioration across firms of all sizes and industries where registered as.. Amount was to be extended for an additional two years One-to-Five-YearCorporate RatingMigrationRates,1970 improve the company had reduced interest! Further detail, Please see the last column, under `` range. coming.! Million of principal outstanding of 6 % senior notes greater than 70 %, and Wash...

This action reduced the company's leverage to 13.3x from 12.5x. (2), Uganda These were Macy's Inc., Ally Financial Inc., Ambac Assurance Corp., Mutual Benefit Life Insurance Co., Executive Life Insurance Co. CA, Confederation Life Insurance Co., Motors Liquidation Co. (formerly known as General Motors Corp.), and Eastman Kodak Co. Table 13 shows the cumulative defaults over various time horizons from all ratings received subsequent to initial ratings.

On Jan. 6, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Spain-based print and audiovisual media operator Promotora de Informaciones S.A. to 'SD' from 'CC', following the company's announcement that it would amend its loans and issue about 110 million of supersenior debt. Using Moody's Analytics probability of default models, we see credit deterioration across firms of all sizes and industries. For instance, in table 32, the weighted average first-year default rate for all speculative-grade-rated companies for all 41 pools was 3.6%, meaning that an average of 96.4% survived one year. As an example, if 'CCC'/'C' rated entities made up 10% of the total population of issuers at the start of the time frame examined (x-axis) and 50% of the defaulters (y-axis), then the coordinate (10, 50) would be the first point on the curve. Each static pool can be interpreted as a buy-and-hold portfolio. For the purposes of this study, we form static pools by grouping issuers (for example, by rating category) at the beginning of each year, quarter, or month that the database covers. (6), Croatia Please reduce your list by using the filtering tool to the left. (2), Structured Finance - Global: The performance of Moody's structured finance ratings - Q1 2023 - Excel Supplement (issuance since 1993), The performance of Moody's structured finance ratings - Q1 2023 - Excel supplement (issuance since 1993 ), Structured Finance - Global: The performance of Moody's structured finance ratings Q1 2023, The performance of Moody's structured finance ratings - Q1 2023 - Excel supplement (issuance since 2009 ), Default Trends Global April 2023 Default Report - Excel Data, Default Trends Global: April 2023 Default Report, Structured Finance: March 2023 structured rating transitions, Structured Finance - Global: March 2023 structured rating transitions ( Jan 2009 - Mar 2023) - Excel supplement, Structured Finance - Global: March 2023 structured rating transitions ( Jan 1993 - Mar 2023) - Excel supplement. (7), Djibouti


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