moody's probability of default table 2021

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On Oct. 4, 2021, S&P Global Ratings lowered its long-term issuer credit rating on New Jersey-based debt-issuing vehicle IPC Corp. to 'SD' from 'CCC-' due to a restructuring agreement on the company's second-lien debt. Through the transaction, the company issued US$700 million of new second-priority secured notes due 2026. (2), Malta

(1), New Technologies This would effectively lead to an extended maturity for the revolver by one year because its maturity would align to that of the term loan B following the amalgamation. Fitch Ratings-New York-31 March 2021: Fitch Ratings has released its global transition and default performance data through 2020. (6), Puerto Rico Defaults arise disproportionately from low rating categories, and this holds true over longer time horizons (see table 14). On Dec. 9, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Malaysia-based engineering and construction company Serba Dinamik Holdings Bhd. Euro Area Credit Compass points to a drop-off in Q1 conditions. (2), Cook Islands (5), Barbados 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. (2), Congo, Democratic Republic of (DRC) Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. It is important to note that S&P Global Ratings' credit ratings do not imply a specific probability of default. The global default tally fell to 72--60 of which were from companies with active ratings at the start of the year--from 226 in 2020. (2), Mali 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. Although defaulters that are not rated (NR) are not always captured in the default rate calculations for the year of default, we do capture them in the longer-term cumulative default rate statistics, which are tied back to the year in which defaulters were last rated. The failure to make this payment could trigger the cross-default provisions under each of the company's corporate credit facilities.

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. The company also announced the suspension of dividends on its outstanding preferred stock. N.A.--Not available. This appendix provides summaries of the events leading up to each default and, in some cases, events following the default. It also enables you to identify factors contributing to default experience in each economic cycle.

Investment-grade ratings are proportionately more prevalent among financial services companies as well (relative to nonfinancials). We included such subsidiaries for the period during which they had a distinct and separate risk of default. On Dec. 6, 2021, we withdrew the long-term issuer credit rating on Glass Mountain Pipeline LLC. Speculative-grade-rated issuers account for more than 60% of total issuers in eight of the 13 industries we track. Because static pools include only entities with active ratings as of the beginning date of a given pool, we exclude companies with withdrawn ratings, as well as those that have defaulted, from subsequent static pools. Among the three defaulters initially rated investment-grade, the average time to default--the time between first rating and date of default--was 14 years, with an associated standard deviation of 10.3 years. The gap becomes even wider over longer time horizons, such as three years and 10 years (see chart 21).

The default and ratings performance statistics that Moody's publishesfor example, in the Annual Default Study and Monthly Default Reportsare based on entity-level senior rating histories the Senior Ratings Algorithm (SRA)1.The SRA takes a Moody's-rated entity's actual senior unsecured rating (or senior rating) history when one . Some methods for calculating default and rating transition rates might charge defaults against only the initial rating on the issuer, ignoring more recent rating changes that supply more current information. (2), Trinidad & Tobago (2), Bahrain - Off Shore (2), Kazakhstan (2), Bangladesh Credit quality improved significantly in 2021, with a record-low downgrade rate (5.5%) and one of the highest annual upgrade rates (10.2%). Meanwhile, the downgrade rate fell to 5.5%, a record low. (2), Saint Lucia While the one-year default rate for nonfinancial companies has climbed above 3.5% in four cyclical peaks (1991, 2001-2002, 2009, and 2020), the annual default rate for financial services has remained below 2% since 1990 and below 1% for the past 12 years (see chart 20). On April 30, 2021, we raised our issuer credit rating on Future Retail Ltd. to 'CCC-' from 'SD' after the completion of the debt restructuring improved the liquidity status of the company as it pushed its debt repayments further out. Therefore, each annual default study is self-contained and effectively supersedes all previous versions. On Feb. 11, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Argentine oil and gas company YPF S.A. to 'SD' from 'CC'. (2), Nepal (27), SGL Monitor The use of the term "methodology" in this article refers to data aggregation and calculation methods used in conducting the research.

(168), Structured Finance

(2), Burundi The issuer primarily caters to the oil and gas and petrochemicals sector, which accounted for about 79% of 2019 sales.

(2), Bahamas The total repurchased value was about US$65.5 million of the US$375 million loan amount. (1), Massachusetts The default count rose to nine, up from a revised six in January. (2), Peru Default Report. On March 17, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Indiana-based Washington Prime Group Inc. to 'D' from 'CC'. For the Gini ratios in tables 2, 27, and 28, the standard deviations are derived from the time series of Gini ratios for all of their constituent annual cohorts. 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. The company disclosed that since the beginning of 2020, it had repurchased a meaningful portion of its senior unsecured notes due 2024 at well below par. We calculated standard deviations for Gini ratios in this study as the standard deviations of a sample, and not those of a population. We used the same method to form static pools for 1983-2021.

Consistent with the decrease in the overall proportion of downgrades during the year, the number of large rating changes (which we define as those of seven notches or more) was limited to one in 2021 (see chart 9). 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. From original rating or Dec. 31, 1980, whichever is later. 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. (5), Yemen Broadly speaking, the average and median times to default for each rating category are longer when based on the initial rating than when based on subsequent ratings, particularly for speculative-grade ratings. (6), Syria Before 2010, the majority of newly assigned European issuer credit ratings were investment-grade, but since then, roughly 74.3% of newly assigned ratings have been speculative-grade annually. On May 14, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Florida-based wound care services provider CDRH Parent Inc. to 'D' from 'CC' following a distressed exchange. Rating transition rates may be compared with the marginal and cumulative default rates described in the previous sections. Structured Finance - Global: March 2023 structured rating transitions ( Jan 1993 - Mar 2023) - Excel supplement. Although we do not discuss this method in

On July 13, 2021, S&P Global Ratings lowered its long-term issuer credit rating on China-based property developer Sichuan Languang Development Co. Ltd. to 'D' from 'CCC-' after the company failed to repay interest and principal totaling about Chinese renminbi (RMB) 968 million on its medium-term note due July 11, 2021. (1), Ohio This long-term corporate default and rating transition study uses the CreditPro database of long-term local currency issuer credit ratings. (2), European Union Table 8 provides a list of all the publicly rated companies that defaulted in 2021. Earlier, on Nov. 16, 2021, we lowered our long-term issuer credit rating on the company to 'CCC' from 'B' because we believed the company might not have access to its cash balance to fulfill its debt obligations. Aerospace/automotive/capital goods/metals, Forest and building products/homebuilders. (531), Asia-Pacific Economic Cooperation (APEC) Corporate defaults jump with higher interest rates, slowing GDP growth and financial-stability risks. S&P reserves the right to disseminate its opinions and analyses. It does not apply to any specific financial obligation because it does not take into account the nature and provisions of any single obligation, its standing in bankruptcy or liquidation, statutory preferences, or the legality and enforceability of the obligation. The upgrade rate rose to 10.2% in 2021--one of the highest annual rates ever. On Dec. 6, 2021, we withdrew our long-term issuer credit ratings on China Aoyuan Group Ltd. at the issuer's request. The issuer executed a transaction that included conversion of accrued principal on a second lien to preferred equity and an extension of maturities on a revolver. Europe: 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 the U.K. Other developed: Australia, Brunei Darussalam, Canada, Israel, Japan, Republic of Korea, New Zealand, and Singapore, Asia-Pacific. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro. Similarly, if it defaulted in the middle of 1991, it would be included in the column representing transitions to 'D' in the 1991 one-year transition matrix. 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. On Feb. 3, 2021, S&P Global Ratings lowered its long-term issuer credit rating on the Missouri-based coal producer Peabody Energy Corp. to 'SD' from 'CC' after the company's completed distressed exchange of its senior secured notes due 2022. We project the rate will rise to 4.6% by January 2024 under our baseline scenario. On April 23, 2021, S&P Global Ratings lowered its long-term issuer credit rating on Delaware-based cosmetics products manufacturer Isagenix Worldwide Inc. to 'SD' from 'CCC'. All default rates that appear in this study are based on the number of issuers rather than the dollar amounts affected by defaults or rating changes. (3), The Credit Cycle Turns (1), South Dakota 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. For GSF, the 2021 upgrade rates increased to 14.6% from 6.4% and the downgrade rate declined to 2.9% from 3.9%. Throughout the year, the U.S. accounted for the majority of the debt, and the largest defaulter in 2021 was Cayman Islands-based homebuilder China Evergrande Group, with $11 billion outstanding in rated debt at the time of its default.

Annual speculative-grade default rates decreased in all major regions in 2021 relative to 2020. These include industrials, utilities, financial institutions, and insurance companies around the world with long-term local currency ratings. (1), Montana On April 15, 2021, we raised our issuer credit rating on the company to 'CCC+' from 'SD'. This difference results from the different methods of calculating default rates. For the purposes of this study, a corporate rating may also be withdrawn as a result of mergers and acquisitions.

S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. All of the defaulters in 2021 with active ratings immediately prior to default were rated in the lowest rating categories. The company was still in talks with its creditors for waivers for selling its infrastructure division for US$2.15 billion. 6 Alternatively, and with the same results, . (1629), Default Studies The completion of the transaction improved liquidity and reduced refinancing risk. (2), Myanmar Characteristic of an economic recovery year, most defaults were concentrated at the lowest ratings (see chart 3). The Content is provided on an as is basis. We also list the defaulting instruments that S&P Global Ratings rates for each company. 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. (1), Georgia

Average and standard deviations for Europe calculated for the period 1996-2021 due to sample size considerations.

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. *Excludes downgrades to 'D', shown separately in the default column. In the seven-year Lorenz curve, speculative-grade issuers constituted 88.7% of defaulters and only 37.4% of the entire sample (see chart 31). Speculative-grade issuers have reached a majority before--the first instance in September 2018--but the ratio has largely hovered around 50% since then. (6), Hong Kong SAR, China 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. Upgrade and downgrade rates improved substantially in 2021, producing the lowest downgrade-to-upgrade ratio recorded. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro. The analysis excludes public information (pi) ratings and ratings based on the guarantee of another company or government entity. (2), Belarus (6), Ghana The company operates as a crude oil transportation system connecting the STACK, Mississippi Lime, and Granite Wash plays to Cushing, Oklahoma. On Oct. 5, 2021, S&P Global Ratings lowered its long-term issuer credit rating on China-based (Cayman Islands-incorporated) residential and commercial property developer Fantasia Holdings Group Co. Ltd. to 'SD' from 'CCC' after it failed to repay its principal of US$206 million due Oct. 4, 2021, on its senior notes. This figure includes new ratings subsequent to prior defaults--such as after distressed exchanges. (6), Iceland 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). The negative outlook reflected the potential for a downgrade over the next 12 months if the risk of default, conventional or otherwise, appeared more imminent because of unanticipated liquidity shortfalls. For example, three-year transition matrices were the result of comparing ratings at the beginning of the years 1981-2019 with the ratings at the end of the years 1983-2021. For example, the one-year default rate column of table 24 is equivalent to column 'D' of the average one-year transition matrix in table 21, as well as the cumulative average in the "Summary statistics" of the one-year column in table 32. (7), United Arab Emirates The rating action followed the formalization of the company's debt restructuring agreement with its lenders dated July 30, 2021. 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).

Note: This total does not match table 1's because it excludes confidentially rated defaults. (9), ESG - Social (1), Arizona 4 DECEMBER 21, 2021 RATING METHODOLOGY : MOODY'S GLOBAL APPROACH TO RATING COLLATERALIZED LOAN OBLIGATIONS CLO s & STRUCTURED CREDIT weighted average of the remaining lives of the individual assets. (55), Periodic Reports (9), Slovakia Additional information about our ratings fees is available at www.spglobal.com/usratingsfees. 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. The date the debtor filed for, or was forced into, bankruptcy.

(5), Cameroon Given this, the short-term refinancing risks for the company had ceased, as it wouldn't have large maturities till 2026. Methodology (2), Andorra (2), Botswana (6), Portugal On Oct. 19, 2021, S&P Global Ratings lowered its long-term issuer credit rating on China-based (Cayman Islands-incorporated) residential property developer Sinic Holdings (Group) Co. Ltd. to 'SD' from 'CC' following nonrepayment of principal and interest on the company's US$250 million offshore senior unsecured notes due Oct. 18, 2021. (2), Chile 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. Defaulters initially rated 'CCC' show the reverse pattern, with the highest default rate observed in the first year, which is not surprising given the low rating and S&P Global Ratings' associated criteria (see "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012). (2), Zimbabwe With the region moving to promote disintermediation, this share of speculative-grade issuers could continue to grow. On Oct. 13, 2021, we raised the long-term issuer credit rating on Summit to 'B' from 'SD' after it launched a refinancing transaction involving its two wholly owned subsidiaries, Summit Midstream Holdings LLC and Summit Midstream Finance Corp. In this case, we compared the rating at the beginning of the multiyear period with the rating at the end. Corporate default rate will rise this year and peak in early 2024. The new US$100 million first-lien notes would provide incremental liquidity, as in late 2020 AMC's cash burn was about US$125 million.

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