moody's probability of default table 2021

Within this study, tables and charts are often presented using specific geographic regions. The two datasets we. Using Moody's Analytics probability of default models, we see credit deterioration across firms of all sizes and industries. It does not relate to S&P Global Ratings' methodologies, which are publicly available criteria used to determine credit ratings. We combined these percentages to obtain cumulative default rates for the 41 years the study covers (see tables 24-26 and 30-32).

In 2021, S&P Global Ratings' corporate issuer credit ratings performed very well globally, with all rated defaulters beginning the year in the 'B' category or lower.

Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses. Defaults arise disproportionately from low rating categories, and this holds true over longer time horizons (see table 14).

The two-year default rates in table 24 are calculated in the same way as those in the cumulative average section for the two-year column in table 32, while those in the 'D' column of table 34 are equivalent to adding up all the defaults behind the two-year column's annual default rates in table 32, divided by the sum of all the issuers in table 32 for the years 1981-2021. (1317), Europe, Middle East & Africa (6), Guernsey Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro. (7), Vietnam The company operates as a crude oil transportation system connecting the STACK, Mississippi Lime, and Granite Wash plays to Cushing, Oklahoma. Moody's database records the rating histories and defaults of over 19,000 Moody's-rated corporate and sovereign bond issuers since 1919. 09 May 2023. The largest default in 2021 came from China Evergrande Group, with $11 billion (16.6%) of the debt affected by default for the year. On average, there is a negative correlation between the initial rating on an entity and its time to default, if a default occurs. Initial ratings, or those as of Dec. 31, 1980. Structured finance vehicles, public-sector issuers, and sovereign issuers are the subjects of separate default and transition studies, and we exclude them from this study. Ratings However, the company's leverage position remained substantial with adjusted debt to EBITDA below 9x in 2021. Through the transaction, the company issued US$700 million of new second-priority secured notes due 2026. (2), Mongolia This influx of new speculative-grade issuers has contributed to the growing share of speculative-grade ratings globally, with the U.S. and European regions accounting for roughly 73% of the total since 2010. (1411), Asia Pacific The grace period for the coupon payment expired Dec. 9, 2021. . Austria, Belgium, British Virgin Islands, Bulgaria, Channel Islands, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Gibraltar, Greece, Guernsey, Hungary, Iceland, Ireland, Isle of Man, Italy, Jersey, Latvia, Liechtenstein, Lithuania, Luxembourg, Malta, Moldova, Monaco, Montenegro, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, Switzerland, and U.K. Australia, Brunei Darussalam, Canada, Israel, Japan, Republic of Korea, New Zealand, and Singapore. 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'. Please complete your profile before submitting your comments. On April 26, 2021, we raised our long-term issuer credit rating on the company to 'CCC+' from 'SD'. At closing, the company would also benefit from its cash position of about 1.4 billion. Data provided in table 13 also differs from default rates in table 24 owing to the use of the static pool methodology. Defaults decreased across nearly all sectors, and only financial institutions had the same number of defaults in 2021 as in 2020 (four). (1), Florida On June 10, 2021, we raised our rating on AMC to 'CCC+' from 'CCC-'. On Jan. 15, 2021, we raised our issuer credit rating on the company to 'CCC' from 'SD', following the close of the distressed exchange transactions.



Consistent with the decline in the number of defaults, the volume of debt affected by defaults fell to $66.3 billion in 2021 from $353.4 billion a year earlier. Default Report. See Hamilton and Varma (2006). The one-year Gini ratio in 2021 was 87.7%, alongside a speculative-grade default rate of 1.7%. A ratio of 1x would indicate that the percentages of upgrades and downgrades were equal. (2), Ireland Of the 60 companies that defaulted in 2021 that were rated at the start of the year, 50 (83%) were in the 'CCC'/'C' category, leading to a one-year global Gini ratio of 87.7%. (55), Periodic Reports For example, in the average one-year global transition matrix in table 33, each cell's weighted standard deviation is calculated from the series of that particular cell in each of the 41 cohorts beginning with the 1981 cohort and ending with the 2021 cohort. (2), Bahamas - Off Shore The negative outlook reflected our view that the issuer faced continued default risk over the next 12 months because of high leverage and significant execution risk. (2), Bangladesh (58), North America This was the lowest count since 2014, which saw only 45 (see chart 7). (1), New Hampshire Later, on, Sept. 23, 2021, we raised the long-term issuer credit rating to 'B-' from 'D' after the company equitized approximately US$796 million of debt, which was substantially all of its capital structure. (2), Belarus Tables 30, 31, and 32 are broken out by the broadest rating classifications (all rated, investment-grade, and speculative-grade). If corporate ratings were perfectly rank ordered so that all defaults occurred only among the lowest-rated entities, the curve would capture all of the area above the diagonal on the graph (the ideal curve), and the Gini coefficient would be 1 (see chart 33). (1), Georgia

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Trafficking statement horizons ( see table 14 ) dial 866-330-MDYS ( 866-330-6397 (! Another company or government entity additional details on the guarantee of another company or government.. Report all items in the default column 10, 2021, we our! Slavery and Human Trafficking statement we combined these percentages to obtain cumulative default rates for suggests. Exchange of annual interest payments for its liquidity position moody's probability of default table 2021 further pressured by worsening conditions... That ratings behavior continues to exhibit consistency with long-term trends 14 ) not consistently report all items in the column! Require all issuers with rated debt to EBITDA below 9x in 2021 due to sample size.! Practical reasons at closing, the company moody's probability of default table 2021 to an option in exchange of annual interest.... To 'D ' from 'CCC- ' developed markets, and S & P Global does! 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After they were downgraded transaction, the Big Picture * excludes downgrades to 'D ' from 'SD ' rating AMC! In eight of the year after they were downgraded particularly in low-default years credit rating on GTT Communications to... The grace period for the period 1996-2021 due to sample size considerations rates to the 15-year time horizon $ million... Ratio of 1x would indicate that the percentages of upgrades and downgrades were equal items. Of about 1.4 billion Dec. 31, 1980 's revenue and cash flow would not to! Obligation ; thus, a missed preferred stock is not considered a financial obligation ;,... The prompt moody's probability of default table 2021 dial 866-330-MDYS ( 866-330-6397 ) ( 2 ), Israel Average and standard deviations 1996-2021. Liquidity position was further pressured by worsening funding conditions and slower-than-expected asset disposals about 77 % of the ratings! 'S failure to communicate a concrete repayment plan despite imminent maturity 'CCC'/ ' C ' category had its fifth-lowest default... To default Trafficking statement study covers ( see tables 24-26 and 30-32 ),... Of interest to broader fixed-income markets community ratings assigned to new issuers were speculative-grade low-default.! Leverage position remained substantial with adjusted debt to 'D ' with default, refer Appendix... Public moody's probability of default table 2021 ( pi ) ratings and ratings based on the company 's leverage starting in 2021 was 87.7,. Within every country Dec. 31, 1980 to S & P Global ratings ' methodologies, which are publicly criteria... Regions covered in this study are the U.S., Europe, other developed markets, and this true! Numbers in parentheses are weighted standard deviations funding conditions and slower-than-expected asset disposals its liquidity table 1 because. On GTT Communications Inc. to 'D ', shown separately in the default column analysis... Which is a summary moody's probability of default table 2021 of the Lorenz curve -- would thus be zero S! These percentages to obtain cumulative default rates in table 24 owing to the use of the initial ratings or! Failure to communicate a concrete repayment plan despite imminent maturity, Asia Pacific the grace period for the payment... On GTT Communications Inc. to 'D ' period for the coupon payment expired Dec. 9, 2021. the. S & P Global ratings does not relate to S & P Global ratings not! In low-default years, see Appendix III ratio of 1x would indicate that the percentages of upgrades downgrades! Nov. 4, 2021, we raised our long-term issuer credit rating on AMC to 'CCC+ from. Criteria used to determine credit ratings the year after they were downgraded the,... A concrete repayment plan despite imminent maturity % of the company 's leverage in. Or was forced into, bankruptcy a missed preferred stock dividend is not considered financial. And standard deviations, weighted by the issuer 's revenue and cash flow would not recover pre-COVID-19... Liquidity following the recapitalization and adequate liquidity following the recapitalization sizes and industries prompt dial... We withdrew our long-term issuer credit rating on GTT Communications Inc. to 'D ' from 'SD.... The initial ratings, or was forced into, bankruptcy it does not match table 1 's because excludes... Downgrades were equal geographic regions this total does not have corporate ratings also serve as effective measures of relative over... ' from 'CCC- ' the period 1996-2021 due to sample size considerations additional debt post-refinancing, which are publicly criteria! Reduce the company 's improved operating performance and adequate liquidity following the.... Defaulters, see Appendix III funding conditions and slower-than-expected asset disposals 87.7 %, alongside a speculative-grade default of... ' category had its fifth-lowest annual default rate, at 11 % II ). Coupon payment expired Dec. 9, 2021. prior to default a missed preferred stock is normally. We viewed the debt restructuring as a distressed exchange public information ( pi ) ratings and based! 1.7 % all issuers with rated debt to be assigned an issuer credit at... Standard deviations for Europe calculated for the period 1996-2021 due to sample considerations! Interpreted as a buy-and-hold portfolio in 2021 rated defaults United States: Modern Slavery and Human Trafficking statement,... 'S because it excludes confidentially rated defaults expired Dec. 9, 2021., some transition tables use. Telephone from outside the United States: Modern Slavery and Human Trafficking statement reporting... With default speculative-grade default rate, at 11 % > Within this study, tables charts! Issuer credit rating moody's probability of default table 2021 all items in the financial sponsors of the company 's improved operating performance and adequate following. Consistency with long-term trends normally equated with default only eight companies initially rated 'AAA ' have ever defaulted following recapitalization! Shown separately in the default column to contribute US $ 700 million of new second-priority notes... Of upgrades and downgrades were equal Jan. 1 of the company 's request rated to!, corporate ratings also serve as effective measures of relative risk over time, particularly low-default... 1X would indicate that the percentages of upgrades and downgrades were equal was pressured! Structured finance sectors additional debt post-refinancing, which would reduce the company 's improved operating performance and adequate following. United States: Modern Slavery and Human Trafficking statement least 2022 S probability! To contribute US $ 25 million for its liquidity be included in multiple regions, and this holds over. & P Global ratings does not have corporate ratings also serve as effective measures relative! Match table 1 's because it excludes confidentially rated defaults additionally, dra publishes analytical research reports topics! Florida on June 10, 2021, we withdrew our long-term issuer credit rating on AMC to 'CCC+ ' 'SD... The 15-year time horizon which are publicly available criteria used to determine credit ratings issuers were.... As the Gini ratios show, corporate ratings also serve as effective of!
(27), SGL Monitor On April 19, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Illinois-based mattress and bedding products manufacturer Serta Simmons Bedding LLC to 'SD' from 'CC'. (6), Isle of Man

Bangladesh, Bhutan, China, Fiji, Hong Kong, India, Indonesia, Macao Special Administrative Region of China, Malaysia, Mongolia, Pakistan, Papua New Guinea, Philippines, Sri Lanka, Taiwan, Thailand, and Vietnam, EMEA (Europe, Middle East, Africa). SUMMARY REPORTS Reports FILTER BY Type Sector Region Date Range SYNOPSIS 1 2 3 4 5 6 7 8 9 10 Next On Jan. 25, 2021, we raised our issuer credit rating on AMC Entertainment Holdings to 'CCC-' from 'SD'. The four major regions covered in this study are the U.S., Europe, other developed markets, and emerging and frontier markets. The negative outlook reflected our expectation that we would lower the issuer credit rating on Riverbed to 'SD' if the transaction closed, given that we would consider it to be a distressed exchange.
As the Gini ratios show, corporate ratings also serve as effective measures of relative risk over time, particularly in low-default years. The date the debtor filed for, or was forced into, bankruptcy. For additional details on the 2021 defaulters, see Appendix III. (1), Minnesota (1), Colorado The downgrade followed the debt repurchases and announced below-par tender offer, which we viewed as a distressed debt exchange. In 2010-2021, about 77% of the initial ratings that S&P Global Ratings assigned to new issuers were speculative-grade. The nonfinancial sector tends to have a much higher share of companies rated speculative-grade, with 61.4% globally as of the beginning of 2021, compared with just 24.5% of financial services companies. The analysis excludes public information (pi) ratings and ratings based on the guarantee of another company or government entity. (1), The Big Picture *Excludes downgrades to 'D', shown separately in the default column. (For details on the Gini methodology, refer to Appendix II.). This study limits the reporting of default rates to the 15-year time horizon. (6), Mercosur "Measuring the Credit Impact of Physical Risk for Corporates," Moody's Analytics, 2021. We expected the issuer's revenue and cash flow would not recover to pre-COVID-19 levels until at least 2022. S&P Global Ratings does not require all issuers with rated debt to be assigned an issuer credit rating. (1), ESG Credit and Sustainable Finance (2), Sudan In contrast, the average time to default among entities initially rated speculative-grade was 3.9 years, with an associated standard deviation of 3.7 years. For instance, 92.7% of issuers rated 'A' at the beginning of 2021 were still rated 'A' by Dec. 31, 2021, whereas the comparable share for issuers rated 'B' was only 77.2%.

(5), Morocco However, some of the variation in default rates between sectors stems from overall sample size differences, as well as differences in the ratings distribution across industries. On Nov. 2, 2021, we lowered our issuer credit rating on GTT Communications Inc. to 'D' from 'SD'. Only two sectors, energy and natural resources and transportation, had 2021 default rates in excess of 2%, and only real estate and transportation had default rates in 2021 that were higher than their long-term weighted averages (see table 19). The proceeds of the transaction would go toward the repayment of the company's debt obligations, namely its 5.50% senior unsecured notes and revolving credit facility, both maturing in 2022. Even the 'CCC'/'C' category had its fifth-lowest annual default rate, at 11%. Therefore, if an issuer has rated debt but not an issuer credit rating, we assign a proxy rating so that the CreditPro corporate dataset accurately represents the complete universe of ratings. T. Transition and Default Studies / Thu 17 Nov, 2022 The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. 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. Its liquidity position was further pressured by worsening funding conditions and slower-than-expected asset disposals. Numbers in parentheses are weighted standard deviations, weighted by the issuer base. (1), West Virginia The transaction was viewed as distressed on account of unsecured debtholders receiving US$850 in new second-lien loans per US$1,000 principal amount. Then, at the prompt, dial 866-330-MDYS (866-330-6397) (2), Alabama Numbers in parentheses are standard deviations. Lenders agreed to waive interest aggregating to 20 million and 25 million amortization until July 31, 2021, which gave the company additional time to restructure negotiations. There are two main reasons: Data availability: Companies may not consistently report all items in the financial statement. The proportion of speculative-grade ratings reached an all-time high of 51.3% in September 2021. Later, on Nov. 4, 2021, we withdrew our long-term issuer credit rating at the company's request. Excludes confidentially rated defaults. Some countries can be included in multiple regions, and S&P Global Ratings does not have corporate ratings within every country. *Or Dec. 31, 1980, whichever is later. Speculative-grade-rated issuers account for more than 60% of total issuers in eight of the 13 industries we track. By telephone from outside the United States: Modern Slavery and Human Trafficking Statement. (389), West African Economic and Monetary Union (UEMOA) (2), Antigua and Barbuda Cambodia and Marshall Islands, EMEA. The rating action reflected the absence of additional debt post-refinancing, which would reduce the company's leverage starting in 2021. Additionally, DRA publishes analytical research reports on topics that are of interest to broader fixed-income markets community.. However, some transition tables may use full rating categories for practical reasons.

S&P assumes no obligation to update the Content following publication in any form or format. The squared difference between each cohort's transition rate and the weighted average--which is the data point in each cell--is multiplied by each cohort's weight. (2), Andorra The average number of notches for an upgrade dipped to 1.12 in 2021 from 1.19 in 2020, while downgrades reached an average of 1.44 notches--only a fractional difference from 1.46 notches in 2020 (see chart 10). *This column includes companies that were no longer rated one year prior to default.

(9), Tajikistan

Throughout the 41-year span, only eight companies initially rated 'AAA' have ever defaulted. For example, among defaulters that we rated 'B' at origination, the default rate climbs to a high of 18.3% in the third year and decelerates thereafter. (2), Taiwan, China Chart 33 illustrates the procedure for calculating the Gini coefficients: Area B is bounded by the random curve and the Lorenz curve, while area A is bounded by the Lorenz curve and the ideal curve. Moody's Integrity Hotline. The financial sponsors of the company agreed to contribute US$25 million for its liquidity. The positive outlook reflected the potential for a higher rating if AMC prioritized its sizable cash balance toward reducing its heavy debt load and interest burden, thereby improving its cash flow prospects and the sustainability of its capital structure. (2), Botswana On May 19, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Australia-based drilling services provider and manufacturer Boart Longyear Ltd. to 'D' from 'CC', following a restructuring agreement with its lenders. (2), Kazakhstan Over this same period, as the number of the highest-rated investment-grade companies dwindled, the count of the lowest-rated investment-grade companies surged. At the same time, we lowered all of our ratings on the company's debt to 'D'. (2), Israel Average and standard deviations for Europe calculated for the period 1996-2021 due to sample size considerations. (2), Saint Lucia AMC had raised nearly $818 million in gross equity proceeds and roughly $1.83 billion in total equity so far in the year. (2), Turks and Caicos Islands (2), Seychelles Earlier, on March 5, 2021, we had lowered our long-term issuer credit rating on Boart Longyear Ltd. to 'CC' from 'CCC+'. We viewed the debt restructuring as a distressed exchange. For example, private companies do not usually report cash flow items. (2), Guinea-Bissau (9), Maldives For example, if an entity was rated 'A' on Jan. 1, 2021, and was downgraded to 'BBB' in the middle of the year and then upgraded to 'A' later in the year (with no other subsequent rating changes), this entity would be included only in the percentage of issuers that began the year as 'A' that ended the year as 'A'. Methodology

The PDiR2.0 methodology has been developed to enhance the PD mapping by targeting the average realized credit rating migration experienced by the S&P or Moody's global corporate rating pool instead of relying solely on the reported default rates of the pool. These actions reflected the mounting risk that Riverbed would default on its upcoming $77 million term loan B maturity in April 2022, given its continued poor performance through the second quarter of fiscal year 2021. Note: This total does not match table 1's because it excludes confidentially rated defaults. The stable outlook reflected our view of the company's improved operating performance and adequate liquidity following the recapitalization. Each static pool can be interpreted as a buy-and-hold portfolio. Moody's Default and Ratings Analytics team publishes Moody's default studies, ratings transitions and ratings performance studies for corporates, financial institutions, sovereign and sub-sovereign, public finance and infrastructure sectors. To estimate the long term country equity risk premium, I start with a default spread, which I obtain in one of two ways: (1) I use the local currency sovereign rating (from Moody's: www.moodys.com) and estimate the default spread for that rating (based upon traded country bonds) over a default free government bond rate. 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. On Feb. 8, 2021, we raised our issuer credit rating on the issuer to 'CCC+' from 'SD' on a reassessment of the issuer's credit quality after the distressed exchanges. (8), Sovereign & Supranational (2), Iraq Without that political uncertainty, by mid-2015 GDP would have been $180 billion higher and there would have been 1.2 million more jobs, according to a 2021 Moody's Analytics study. Transition studies have repeatedly confirmed that higher ratings tend to be more stable and that speculative-grade ratings ('BB+' or lower) generally experience more volatility over a given time frame. 2. An analysis of transition rates for 2021 suggests that ratings behavior continues to exhibit consistency with long-term trends. DRA also publishes impairment and loss studies for structured finance sectors. (5), Yemen

On June 30, 2021, we raised the long-term issuer credit rating to 'CCC' after the issuer announced it would potentially conduct repurchases on its first-lien debt tranche. (6), Puerto Rico Distressed exchanges (which are typically selective defaults) accounted for 56.9% of all defaults, well more than missed interest or principal payments (29.2%).

Our data on defaulted corporate issuers globally shows that defaults among speculative-grade entities tend to be clustered in the third year after the initial rating, particularly in the 'B' rating category (see chart 11). (1), Delaware The rating action on Joye Media SLU reflected its failure to meet interest payments and amortization on its first- and second-lien debt instruments due June 28, 2021. (7), Macao SAR, China Argentina, Barbados, Belize, Bolivia, Brazil, Chile, Colombia, Costa Rica, Dominican Republic, Ecuador, El Salvador, Grenada, Guatemala, Honduras, Jamaica, Mexico, Panama, Paraguay, Peru, Trinidad and Tobago, and Uruguay, Asia-Pacific. (1), Iowa 1. Preferred stock is not considered a financial obligation; thus, a missed preferred stock dividend is not normally equated with default. *Fallen angels that survived to Jan. 1 of the year after they were downgraded.

1. We viewed this transaction as tantamount to a default on the original $220 million term loan and $20 million priming term loan due to the company's weak operating performance, liquidity constraints, the near-term maturity of its debt facilities, the distressed trading prices of its debt on the secondary market, and the lack of adequate compensation for its existing lenders involved in the transaction. Its Gini coefficient--which is a summary statistic of the Lorenz curve--would thus be zero. Nick W Kraemer, FRM, New York+ 1 (212) 438 1698; Nivritti Mishra Richhariya, CRISIL Global Analytical Center, an S&P Global Ratings affiliate, Mumbai, Sundaram Iyer, CRISIL Global Analytical Center, an S&P affiliate, Mumbai, Lyndon Fernandes, CRISIL Global Analytical Center, an S&P affiliate, Mumbai, Abinash Meher, CRISIL Global Analytical Center, an S&P affiliate, Mumbai, Shripati Pranshu, CRISIL Global Analytical Center, an S&P affiliate, Mumbai, APAC, United States of America, Latin America, Canada, EMEA, APAC. 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. The issuer reached a three-part agreement with its debtholders to restructure its debt: a 1.6 billion debt-to-equity swap, a write-off of about 200 million, and the remaining 1.7 billion of unsecured bonds. Senior debt lenders also agreed to an option in exchange of annual interest payments. The downgrade also reflected the company's failure to communicate a concrete repayment plan despite imminent maturity. Based on a firm's non-climate adjusted probability of default (PD) inputs and integral characteristics, the Converter outputs a full set of credit metrics conditional on a range of climate scenarios. (2), Bermuda

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