Guide to Moody s Default Research: October 2017 Update

Transcription

1 NOVEMBER 1, 2017 CREDIT POLICY SPECIAL COMMENT Guide to Moody s Default Research: October 2017 Update Analyst Contacts: NEW YORK Albert Metz Managing Director albert.metz@moodys.com Kumar Kanthan Senior Vice President kumar.kanthan@moodys.com Praveen Varma Senior Vice President praveen.varma@moodys.com Mark Gold Vice President - Senior Analyst mark.gold@moodys.com Sharon Ou Vice President - Senior Credit Officer sharon.ou@moodys.com Sarah S Huang AVP-Analyst sarah.huang@moodys.com Minh Bui Analyst Minh.Bui@moodys.com Varun Agarwal Analyst varun.agarwal@moodys.com Sumair Irfan Associate Analyst Sumair.irfan@moodys.com Satya Adusumilli Associate Analyst satya.adusumilli@moodys.com Moody s Default and Ratings Analytics (DRA) team is responsible for default, transition, and loss severity research for Moody s Investors Service. A selected sample of our research appears below. Except for Monthly Default Reports (which are part of a subscription service) and other selected publications, these reports are available free of charge at Visitors to the site only need to register to download these articles. If you have any questions, please satya.adusumilli@moodys.com Topics TOPICS 1 CORPORATE AND OTHER FUNDAMENTAL DEFAULT STUDIES 2 Global, Regional, and Industry Corporate Default Studies 2 Recovery Rates on Corporate Bonds 6 Corporate Bond Rating Transitions 6 Corporate Bond Rating Performance 8 Syndicated Corporate Loans 9 Public Sector Default Studies 9 Convertible Bond Defaults 11 Commercial Paper Defaults 11 Other Corporate and Fundamental Studies 11 STRUCTURED FINANCE DEFAULT STUDIES 16 Structured Finance Default, Loss and Performance 16 Structured Finance Rating Transitions 18 Other Structured Finance Default Studies 20» contacts continued on the last page

2 Corporate and Other Fundamental Default Studies Global, Regional, and Industry Corporate Default Studies» September Default Report October 2017» Default and recovery rates for project finance bank loans, September 2017» Latin American Corporate Default and Recovery Rates, 1990 to June 2017 September 2017» August Default Report September 2017» Asian high-yield non-financial corporates' default rate to remain low at end-2017 August 2017» July Default Report August 2017» Infrastructure Default and Recovery Rates, July 2017» Compendium of 2016 Corporate Defaults July 2017» Semi-annual Performance Statistics Update: 2017 H1 July 2017» June Default Report July 2017» May Default Report June 2017» April Default Report May 2017» March Default Report April 2017» February Default Report March 2017» Annual Default Study: Corporate Default and Recovery Rates, March 2017» Semi-annual Performance Statistics Update: 2016 H2 February 2017» Default and Recovery Rates for Project Finance Bank Loans, February 2017» January Default Report February 2017» Default and Recovery Rates for Project Finance Bank Loans, January 2017» December Default Report January 2017» Default and Recovery Rates of European Financial and Non-Financial Corporate Issuers December Q3» November Default Report December 2016» October Default Report November 2016 This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history.» September Default Report October 2016» Default and Recovery Rates of Asia-Pacific Corporate Issuers, Excluding Japan, H1 October 2016» Latin American Corporate Default and Recovery Rates, 1990 to June 2016 September 2016» August Default Report September NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

3 » Default and Rating Transitions of Japanese Debt Issuers, August 2016» July Default Report August 2016» Infrastructure Default and Recovery Rates, July 2016» Semi-Annual Performance Statistics Update: 2016 H1 July 2016» June Default Report July 2016» Compendium of 2015 Corporate Defaults June 2016» May Default Report June 2016» April Default Report May 2016» March Default Report April 2016» Default and Recovery Rates for Project Finance Bank Loans, March 2016» February Default Report March 2016» Financial Statement Adjustments in the Analysis of Financial Institutions February 2016» Methodology Review Summary Metrics February 2016» Corporate Default and Recovery Rates, February 2016» January Default Report February 2016» 2016 Asian Non-Financial Corporate High-Yield Default Rate to Stay Moderate February 2016» December Default Report January 2016» European Corporate Default and Recovery Rates, H1 December 2015» November Default Report December 2015» October Default Report November 2015» September Default Report October 2015» Semi-Annual Performance Statistics Update: 2015H1 September 2015» August Default Report September 2015» July Default Report August 2015» June Default Report July 2015» May Default Report June 2015» Compendium of 2014 Corporate Defaults June 2015» April Default Report May 2015» March Default Report April 2015» Latin American Corporate Default & Recovery Rates, Semi-Annual Update March 2015» Infrastructure Default and Recovery Rates, March 2015» Comprehensive Review of Moody s Corporate Default Forecast Accuracy March NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

4 » Annual Default Study: Corporate Default and Recovery Rates, March 2015» Semi-annual Performance Statistics Update: 2014 H2 February 2015» European Corporate Default and Recovery Rates, H1 December 2014» Default and Rating Transitions of Japanese Debt Issuers, October 2014» Latin American Corporate Default and Recovery Rates, 1990-June 2014 October 2014» Asia Pacific Non-Financial Corporates High-Yield Default Rate Rising and to Peak in 3Q 2014 August 2014» Measuring the Consistency of Moody s Corporate and Public Finance Credit Ratings Across Regions June 2014» Latin American Corporate Default and Recovery Rates, Semi-Annual Update May 2014» Default & Recovery Rates of Canadian Corporate Issuers, May 2014» Default and Recovery Rates for Asia-Pacific Corporate Bond and Loan Issuers, Excluding Japan, 1990-Q32012 April 2013» 2013 Asian Corporate High-Yield Default Rates to Remain Low February 2013» Default and Recovery Rates for Project Finance Bank Loans, February 2013» Preferred Stock Impairments and Recoveries, November 2012» Defaults and Recoveries for Financial Institution Debt Issuers, February 2011» Credit Events by Moody s-rated Financial Institutions, February 2011 Select Archive» Infrastructure Default and Recovery Rates, May 2014» Annual Default Study: Corporate Default and Recovery Rates, February 2014» European Corporate Default and Recovery Rates, June 2013» Semi-annual Performance Statistics Update: 2014 H1 July 2014» Semi-annual Performance Statistics Update: 2013 H2 February 2014» Default and Rating Transitions of Japanese Debt Issuers, September 2013» Semi-annual Performance Statistics Update: 2013 H1 September 2013» Latin American Corporate Default and Recovery Rates, 1990-July 2013 August 2013» Semi-annual Performance Statistics Update: 2012 H2 March 2013» Annual Default Study: Corporate Default and Recovery Rates, February 2013» Infrastructure Default and Recovery Rates, H1 December 2012» Default and Rating Transitions of Japanese Debt Issuers, September 2012» Latin American Corporate Default and Recovery Rates Update, 1990-July 2012 August 2012» Semi-annual Performance Statistics Update: 2012 H1 August 2012» Annual Default Study: Corporate Default and Recovery Rates, February 2012» Semi-annual Performance Statistics Update: 2011 H2 February NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

5 » Default and Recovery Rates for Project Finance Bank Loans, January 2012» European Corporate Default and Recovery Rates, H 2011 August 2011» Default and Rating Transitions of Japanese Debt Issuers, August 2011» Latin American Corporate Default and Recovery Rates Update, H August 2011» Semi-annual Performance Statistics Update: 2011 H1 August 2011» Compendium of 2010 Corporate Defaults June 2011» Corporate Default and Recovery Rates, February 2011» Semi-annual Performance Statistics Update: 2010 H2 February 2011» Default and Recovery Rates for Project Finance Bank Loans, October 2010» Latin American Corporate Default and Recovery Rates, 1990-H September 2010» Semi-annual Default Statistics Update: 2010 H1 August 2010» Default and Rating Transitions of Japanese Debt Issuers, July 2010» Compendium of 2009 Corporate Defaults May 2010» European Corporate Default and Recovery Rates, April 2010» Default & Recovery Rates of Canadian Corporate Issuers, April 2010» Corporate Default and Recovery Rates, February 2010» Default and Recovery Rates for Project Finance Debts, November 2009» Default, Recovery and Credit Loss Rates for Regulated Utilities, May 2009» Emerging Market Corporate and Sub-Sovereign Defaults and Sovereign Crises: Perspectives on Country Risk February 2009» Default and Recovery Rates for Asia-Pacific Corporate Bond and Loan Issuers, Excluding Japan, 1990-H12009 August 2009» Latin American Corporate Default and Recovery Rates, 1990-H July 2009» Defaults and Recoveries for Financial Institution Debt Issuers, June 2009» European Corporate Default and Recovery Rates, May 2009» Compendium of 2008 Corporate Defaults March 2009» Corporate Default and Recovery Rates, February 2009» Default & Recovery Rates of Canadian Corporate Issuers, June 2008» The Corporate Default Rate Outlook: An Update April 2008» European Corporate Default and Recovery Rates, March 2008» Compendium of 2007 Corporate Defaults March 2008» Corporate Default and Recovery Rates, February 2008» Latin American Corporate Default and Recovery Rates, 1990-H November 2007» Default and Recovery Rates of Asia-Pacific Corporate Bond and Loan Issuers, Excluding Japan, H2007 September 2007» Defaults, Losses and Rating Transitions on Bonds Issued by Financial Institutions: December 2005» Default Correlation among Non-Financial Corporate Affiliates June NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

6 Recovery Rates on Corporate Bonds» Latin American Corporate Default and Recovery Rates, 1990 June 2015 September 2015» Trading Prices as Predictors of Ultimate Corporate Recovery Rates March 2012» Moody s Ultimate Recovery Database: Lessons from 1,000 Corporate Defaults November 2011» Firm-Wide LGD: Still No Silver Bullets July 2011» Building the Better LGD Mousetrap December 2010 Select Archive» Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers June 2008» Adjusting Moody s LGD Assessments to Meet Basel II Downturn Requirements November 2007» Back-Testing Moody s LGD Methodology June 2007» Moody s Ultimate Recovery Database April 2007» Bond Prices at Default and at Emergence from Bankruptcy for US Corporate Issuers June 2005» Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers: December 2004» Recovery Rates on Defaulted Corporate Bonds and Preferred Stocks, December 2003» The Investment Performance of Bankrupt Corporate Debt Obligations: Moody s Bankrupt Bond Index 2000 February 2000» Debt Recoveries For Corporate Bankruptcies June 1999» Returns and Risks for Bankrupt Bonds: The 1998 Bear Market February 1999» Moody s Bankrupt Bond Index April 1998 Corporate Bond Rating Transitions» Investment-Grade Transition Risk Quarterly Update Third Quarter 2017 October 2017» Investment-Grade Transition Risk Quarterly Update - Second Quarter 2017 August 2017» Investment-Grade Transition Risk Quarterly Update - First Quarter 2017 April 2017» Investment-Grade Transition Risk Quarterly Update Fourth Quarter 2016 February 2017» Investment-Grade Transition Risk Quarterly Update Third Quarter 2016 October 2016» Investment-Grade Transition Risk Quarterly Update Second Quarter 2016 August NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

7 » Investment-Grade Transition Risk Quarterly Update First Quarter 2016 June 2016» Investment-Grade Transition Risk Quarterly Update Fourth Quarter 2015 March 2016» Default and Rating Transitions of Japanese Debt Issuers, August 2015» Investment-Grade Transition Risk Quarterly Update - First Quarter 2015 June 2015» Investment-Grade Transition Risk Quarterly Update Fourth Quarter 2014 March 2015» Average One-to-Five-Year Corporate Rating Migration Rates, H2014 October 2014» Effects of Watches, Outlooks, and Previous Rating Actions on Rating Transitions and Default Rates August 2011» Rating Transition Rates for Covered Bond Programs, February 2009» Testing the Cross-Sectional Power of the Credit Transition Model June 2008» Moody s Credit Transition Model: A Summary of the Watchlist/Outlook Extension June 2008» Comparing Withdrawal Adjustment Methods: An Application of Moody s Credit Transition Model March 2008» Short-Term Corporate and Structured Finance Rating Transition Rates June 2007 Select Archive» Investment-Grade Transition Risk Quarterly Update Third Quarter 2014 December 2014» Investment-Grade Transition Risk Quarterly Update Second Quarter 2014 September 2014» Rating Transition Risk for Investment-Grade Issuers: First Quarter 2014 May 2014» Rating Transition Risk for Investment-Grade Issuers: Fourth Quarter 2013 March 2014» Rating Transition Risk for Investment-Grade Issuers: Third Quarter 2013 December 2013» Rating Transition Risk for Investment-Grade Issuers: Second Quarter 2013 October 2013» Average One-to-Five-Year Corporate Rating Migration Rates, June 2013» Rating Transition Risk for Investment-Grade Issuers: First Quarter 2013 June 2013» Average One-to-Five-Year Corporate Rating Migration Rates, May 2012» Average One-to-Five-Year Rating Transition Rates, March 2010» Corporate One-to-Five-Year Rating Transition Rates March 2008» Rating Transitions and Defaults Conditional on Rating Outlooks Revisited: December 2005» Annual Default Study Addendum: Global Corporate Rating Transition Rates March 2004» Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History February 2004» Ratings Migration in European High Yield: What s Been Going On? June 2001» Moody s Rating Migration and Credit Quality Correlation, July NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

8 Corporate Bond Rating Performance» The Performance of Moody's Corporate Debt Ratings 2017Q3 October 2017» The Performance of Moody's Corporate Debt Ratings Q2 July 2017» The Performance of Moody's Corporate Debt Ratings Q1 April 2017» The Performance of Moody's Corporate Debt Ratings Q4 January 2017» The Performance of Moody's Corporate Debt Ratings 2016Q3 October 2016» The Performance of Moody's Corporate Debt Ratings 2016Q2 July 2016» The Performance of Moody's Corporate Debt Ratings 2016Q1 April 2016» The Performance of Moody s Corporate Debt Ratings 2015Q4 January 2016» The Performance of Moody s Corporate Debt Ratings 2015Q3 October 2015» The Performance of Moody s Corporate Debt Ratings 2015Q2 July 2015» The Performance of Moody's Corporate Debt Ratings Q1 April 2015» The Performance of Moody s Corporate Debt Ratings: January 2015 Quarterly Update February 2015» Moody s Rating Actions, Reviews, and Outlooks: Quarterly Update First Quarter 2010 April 2010 Select Archive» The Performance of Moody s Corporate Debt Ratings: September 2014 Quarterly Update November 2014» The Performance of Moody s Corporate Debt Ratings: June 2014 Quarterly Update September 2014» The Performance of Moody s Corporate Debt Ratings: March 2014 Quarterly Update May 2014» The Performance of Moody s Corporate Debt Ratings: December 2013 Quarterly Update March 2014» The Performance of Moody s Corporate Debt Ratings: September 2013 Quarterly Update November 2013» The Performance of Moody s Corporate Debt Ratings: June 2013 Quarterly Update August 2013» The Performance of Moody s Corporate Debt Ratings: March 2013 Quarterly Update May 2013» Analyzing the Tradeoff Between Ratings Accuracy and Stability September 2006» Measuring The Performance Of Corporate Bond Ratings April NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

9 Syndicated Corporate Loans» Syndicated Bank Loans: 2008 Default Review and 2009 Outlook March 2009» Adjusting Moody s LGD Assessments to Meet Basel II Downturn Requirements November 2007» Credit Loss Rates on Similarly Rated Loans and Bonds December 2004 Select Archive» Syndicated Bank Loans: 2007 Default Review and 2008 Outlook January 2008» Recent Bank Loan Research: Implications for Moody s Bank Loan Rating Practices December 2004» Characteristics and Performance of Moody s Rated U.S. Syndicated Bank Loans March 2004» Recovery Rates On North American Syndicated Bank Loans, March 2004» Relative Default Rates on Corporate Loans And Bonds September 2003» Bank Loan Loss Given Default November 2000» Bankrupt Bank Loan Recoveries June 1998» Defaulted Bank Loan Recoveries November 1996 Public Sector Default Studies» Sovereign Default and Recovery Rates, June 2017» US Municipal Bond Defaults and Recoveries, June 2017» Addendum: Infrastructure Default and Recovery Rates, April 2017» Default and Rating Transitions of Regional and Local Governments outside the U.S., H1 September 2016» Sovereign Default and Recovery Rates, June 2016» US Municipal Bond Defaults and Recoveries, May 2016» Caribbean Sovereigns: The Silent Debt Crisis February 2016» Sovereign Distress, Default and Recoveries: Case Studies and Comparison July 2015» US Municipal Bond Defaults and Recoveries, July 2015» Default & Rating Transitions of Regional & Local Governments outside the US, July 2015» FAQ: Credit Impact of Sovereign Defaulting on Official Sector Debt May NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

10 » Fallout from Argentina s Debt Court Rulings for Sovereign Debt May 2015» Sovereign Default and Recovery Rates, April 2015» Measuring the Consistency of Moody s Corporate and Public Finance Credit Ratings Across Regions June 2014» Elevated Risk of Sovereign Default Accompanies Country Break-Ups May 2014» US Municipal Bond Defaults and Recoveries, May 2014» Default and Rating Transitions of Regional and Local Governments outside the U.S., April 2014» Sovereign Default and Recovery Rates, April 2014» Municipal Bankruptcy: Updates & Insights April 2014» Recent US Local Government Defaults Point to Lower Recovery Rates September 2013» The Price Impact of Sovereign Rating Announcements October 2012 Select Archive» Municipal Bankruptcy: Updates & Insights March 2014» Sovereign Default and Recovery Rates, June 2013» US Municipal Bond Defaults and Recoveries, May 2013» Default and Recovery Rates for Regional and Local Governments outside the U.S., September 2012» Sovereign Default and Recovery Rates, H1 July 2012» U.S. Municipal Bond Defaults and Recoveries, March 2012» Sovereign Default and Recovery Rates, May 2011» Sovereign Default and Recovery Rates, April 2010» U.S. Municipal Bond Defaults and Recoveries, February 2010» Sovereign Default and Recovery Rates, March 2009» Rating Migration and Default Rates of Non-U.S. Sub-Sovereign Debt Issuers, September 2008» Sovereign Default and Recovery Rates, March 2008» Emerging Market Corporate and Sub-Sovereign Defaults and Sovereign Crises: Perspectives on Country Risk February 2009» Sovereign Defaults and Interference: Perspectives on Government Risks August 2008» Mapping of Moody s Municipal Ratings to the Global Rating Scale: Frequently Asked Questions June 2007» Mapping to the Global Rating Scale and Assigning Global Scale Ratings to Municipal Obligations March NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

11 » Mapping of Moody s U.S. Municipal Bond Rating Scale to Moody s Corporate Rating Scale and Assignment of Corporate Equivalent Ratings to Municipal Obligations June 2006» Default and Recovery Rates of Sovereign Bond Issuers, April 2006» Sovereign Bond Defaults, Rating Transitions, and Recoveries ( ) February 2003» Moody s US Municipal Bond Rating Scale November 2002 Convertible Bond Defaults» Default & Recovery Rates of Convertible Bond Issuers: July 2001 Commercial Paper Defaults» Default and Recovery Rates of Corporate Commercial Paper Issuers, 1972-H12013 October 2013 Select Archive» Default and Recovery Rates of Corporate Commercial Paper Issuers, June 2010» Short-Term Corporate and Structured Finance Rating Transition Rates June 2007» Short-Term Rating Performance and Corporate Commercial Paper Defaults, October 2004» Commercial Paper Defaults and Rating Transitions, October 2000 Other Corporate and Fundamental Studies» Size of market indicators' moves toward ratings is highly variable October 2017» Moody s Financial Metrics Key Ratios by Rating and Industry for EMEA Non-Financial Corporations: December 2016 September 2017» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2016 September 2017» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2016 September 2017» Senior Ratings Algorithm Update - A Brief Impact Study August 2017» Market Indicators Have Converged More Frequently Towards Our Ratings June 2017» Evaluating Moody s Corporate Default Forecasts for 2016 March NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

12 » Corporate Debt Ratings Performance Insights February 2017» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations, 2016 December 2016» Moody s Financial Metrics Key Ratios by Rating and Industry for EMEA Non-Financial Corporations: December 2015 September 2016» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2015 September 2016» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2015 September 2016» Evaluating Moody s Corporate Default Forecasts for 2015 March 2016» Non-Financial Corporates Global 2015 Corporate Debt Ratings Performance March 2016» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations, 2015 January 2016» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2014 November 2015» Moody s Financial Metrics Key Ratios by Rating and Industry for EMEA Non-Financial Corporations: December 2014 November 2015» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2014 November 2015» Glossary of Moody s Ratings Performance Metrics July 2015» Global Oil Prices & Production: Demand and Supply Trends Usher a Period of Persistent Oil Price Weakness May 2015» Oil Glut and Corporate Credit: An Historical Review and Examination of Conditions May 2015» A Comprehensive History of the Performance of Moody s Corporate Ratings January 2015» US Corporate Default Monitor: Fourth Quarter 2014 January 2015» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations, 2014 December 2014» Default Rates Indicate Ratings Accurately Incorporate the Credit Implications of Firm Size November 2014» Drivers of US Residential Electricity Demand November 2014» Evaluating Moody s Corporate Default Forecasts for 2013 April 2014» A Strong Performance in 2013 for Moody s Non-Financial Corporate Debt Ratings March 2014» Why Fallen Angels Fall February 2014» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2013 February 2014» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2013 February NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

13 » Moody s Financial Metrics Key Ratios by Rating and Industry for European, Middle Eastern and African Non-Financial Corporations: December 2013 February 2014» Selective Subordinated Debt Defaults Among European Banks August 2012» Assessing Future Health- and Age-Related Government Expenditures in France, Germany, the UK and the US December 2011» Measuring the Performance of Credit Ratings November 2011» North American Corporates: Under a Severe Recession Scenario, Defaults Would Trail Credit Crisis Peak October 2011» Statistical Testing of Differences in Average Positions October 2011» Effects of Watches, Outlooks, and Previous Rating Actions on Rating Transitions and Default Rates August 2011» Statistical Testing of Differences in Default Rates May 2011» Trends in Moody s Financial Metrics Key Ratios During the Economic Downturn March 2011» Measuring Ratings Accuracy Using the Average Default Position February 2011» Ratings Assigned to Non-Financial Corporates Emerging from Bankruptcy November 2010» Why US States are Better Credit Risks Than Almost All US Corporates October 2010» Updating Moody s Credit Transition Model: The Default Risk of Loans and Bonds September 2010» Distressed-Exchange Defaults Surged in 2009, and Many Could Default Again May 2010» The Distribution of Common Financial Ratios by Rating and Industry for North American Non-Financial Corporations: July 2006 August 2006 Select Archive» Glossary of Moody s Ratings Performance Metrics September 2011» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations October 2013» US Corporate Default Monitor: Third Quarter 2014 October 2014» US Corporate Default Monitor: Second Quarter 2014 July 2014» US Corporate Default Monitor: First Quarter 2014 April 2014» US Corporate Default Monitor: Fourth Quarter 2013 January 2014» US Corporate Default Monitor: Third Quarter 2013 October 2013» US Corporate Default Monitor: Second Quarter 2013 July 2013» Evaluating Moody s Corporate Default Forecasts for 2012 May 2013» US Corporate Default Monitor: First Quarter 2013 April 2013» A Solid Performance in 2012 for Moody s Non-Financial Corporate Debt Ratings February NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

14 » Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2012 January 2013» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2012 January 2013» Moody s Financial Metrics Key Ratios by Rating and Industry for European, Middle Eastern and African Non-Financial Corporations: December 2012 January 2013» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations October 2012» Continued Strong Performance for Moody s Non-Financial Corporate Debt Ratings March 2012» Evaluating Moody s Corporate Default Forecasts for 2011 March 2012» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2011 January 2012» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2011 January 2012» Moody s Financial Metrics Key Ratios by Rating and Industry for European, Middle Eastern and African Non-Financial Corporations: December 2011 January 2012» Industry Credit Risk: Recent Trends for Global Non-Financial Corporations October 2011» A Strong Performance for Moody s Non-Financial Corporate Ratings: Powerfully Rank-Ordering Credit Risk Prior to the Great Recession April 2011» Evaluating Moody s Corporate Default Forecasts for 2010 February 2011» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2010 January 2011» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2010 January 2011» Moody s Financial Metrics Key Ratios by Rating and Industry for European, Middle Eastern and African Non-Financial Corporations: December 2010 January 2011» Moody s Non-Financial Corporate Ratings During the Great Recession: A Strong Performance September 2010» Moody s Financial Metrics Key Ratios by Rating and Industry for North American Non-Financial Corporations: December 2009 December 2009» Moody s Financial Metrics Key Ratios by Rating and Industry for Global Non-Financial Corporations: December 2009 December 2009» Moody s Financial Metrics Key Ratios by Rating and Industry for European, Middle Eastern and African Non-Financial Corporations: December 2009 December 2009» Past the Peak: How Rapidly Default Rates Decline September 2009» Reconciling Default Forecasts: Can a Five Year Cumulative Default Forecast Inform Future One Year Default Forecasts? July 2009» Are Corporate Bond Ratings Procyclical?: An Update May NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

15 » Moody s Approach to Evaluating Distressed Exchanges March 2009» Moody s Senior Ratings Algorithm & Estimated Senior Ratings February 2009» Migration of Debt Structures and Revolver Usage as Firms Approach Default December 2008» Maintaining Consistent Corporate Ratings Over Time August 2008» Introducing Moody s Credit Transition Model August 2007» A Cyclical Model of Multiple-Horizon Credit Rating Transitions and Default August 2007» Back-Testing Moody s LGD Methodology June 2007» Confidence Intervals for Corporate Default Rates April 2007» Moody s Credit Rating Prediction Model November 2006» Measuring Corporate Default Rates November 2006» Default and Migration Rates for Private Equity-Sponsored Issuers November 2006» The Distribution of Common Financial Ratios by Rating and Industry for North American Non-Financial Corporations February 2006» 2005 Annual Report on Industry Credit Risk: Indicators and Recent Trends for North American Non-Financial Corporations December 2005» Relationships between Speculative-Grade Liquidity Ratings and Credit Default Swap Spreads July 2005» CEO Compensation and Credit Risk July 2005» Takeover Defenses and Credit Risk December 2004» Measuring the Quality and Consistency of Corporate Ratings across Regions November 2004» Credit Risk at the Industry Level: Indicators and Recent Trends for North American Non-Financial Corporations September 2004» The Effectiveness Of Credit Ratings As Indicators Of Relative Industry Default Risk September 2004» What Happens To Fallen Angels? A Statistical Review July 2003» Moody s Dollar Volume-Weighted Default Rates March 2003» Summary Guidance for Notching Secured Bonds, Subordinated Bonds, and Preferred Stocks of Corporate Issuers September 2001» Bankruptcy & Ratings: A Leveraged Finance Approach For Europe March 2000» Predicting Default Rates: A Forecasting Model For Moody s Issuer-Based Default Rates August 1999» The Evolving Meaning of Moody s Bond Ratings August 1999» Life After Death-Moody s Examines Life Insurance Insolvency April 1999» An Historical Analysis of Moody s Watchlist October NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

16 Structured Finance Default Studies Structured Finance Default, Loss and Performance» The Performance of Moody's Structured Finance Ratings Q3 October 2017» Impairment and Loss Rates of U.S. and European CLOs: July 2017» The Performance of Moody's Structured Finance Ratings Q2 July 2017» Impairment and Loss Rates of EMEA Structured Finance Securities: June 2017» Impairment and Loss Rates of Japanese Structured Finance Securities: June 2017» Impairment Rates of Asia-Pacific (ex-japan) Structured Finance Securities: June 2017» Impairment and Loss Rates of Structured Finance Securities: June 2017» The Performance of Moody's Structured Finance Ratings Q1 April 2017» Semi-annual Performance Statistics Update: 2016 H2 February 2017» The Performance of Moody's Structured Finance Ratings Q4 January 2017» The Performance of Moody s Structured Finance Ratings 2016Q3 October 2016» The Performance of Moody s Loan and CLO Ratings: September 2016» Semi-annual Performance Statistics Update: 2016 H1 July 2016» The Performance of Moody s Structured Finance Ratings 2016Q2 July 2016» Impairment and Loss Rates of U.S. and European CLOs: June 2016» Impairment and Loss Rates of Japanese Structured Finance Securities: May 2016» Impairment and Loss Rates of Structured Finance Securities: May 2016» Impairment and Loss Rates of EMEA Structured Finance Securities: May 2016» Impairment Rates of Asia-Pacific (ex-japan) Structured Finance Securities: May 2016» The Performance of Moody s Structured Finance Ratings 2016Q1 April 2016» Semi-annual Performance Statistics Update: 2015 H2 March 2016» Structured Finance Short-Term Rating Transitions and Defaults: March 2016» Post 2008 SF Performance Investment Grade Tranches See No Impairment March 2015» Rating Transition Rates for Covered Bond Deals, February 2015 Select Archive» The Performance of Moody s Structured Finance Ratings 2015Q4 January 2016» The Performance of Moody s Structured Finance Ratings 2015Q3 October 2015» Semi-annual Performance Statistics Update: 2015 H1 September NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

17 » The Performance of Moody s Structured Finance Ratings 2015Q2 July 2015» Impairment & Loss Rates of EMEA Structured Finance Securities: July 2015» Impairment & Loss Rates of U.S. and European CLOs: July 2015» Impairment Rates of Asia-Pacific (ex-japan) Structured Finance Securities: June 2015» Default & Loss Rates of Structured Finance Securities: June 2015» Impairment Rates of Japanese Structured Finance Securities: May 2015» The Performance of Moody's Structured Finance Ratings Q1 April 2015» Semi-annual Performance Statistics Update: 2014 H2 February 2015» The Performance of Moody s Structured Finance Ratings January 2015» Default and Loss Rates of Structured Finance Securities: September 2014» Structured Finance Short-Term Rating Transitions and Defaults: June 2014» The Performance of Moody s Structured Finance Ratings October 2014» The Performance of Moody s Structured Finance Ratings: June 2014 Quarterly Update July 2014» Semi-annual Performance Statistics Update: 2014 H1 July 2014» The Performance of Moody s Structured Finance Ratings: March 2014 Quarterly Update April 2014» The Performance of Moody s Structured Finance Ratings: December 2013 Quarterly Update March 2014» Semi-annual Performance Statistics Update: 2013 H2 February 2014» Default and Loss Rates of Structured Finance Securities: November 2013» The Performance of Moody s Structured Finance Ratings: September 2013 Quarterly Update November 2013» Semi-annual Performance Statistics Update: 2013 H1 September 2013» The Performance of Moody s Structured Finance Ratings: June 2013 Quarterly Update August 2013» The Performance of Moody s Structured Finance Ratings: March 2013 Quarterly Update June 2013» Semi-annual Performance Statistics Update: 2012 H2 March 2013» Structured Finance Short-Term Rating Transitions & Defaults: H1 December 2012» Default and Loss Rates of Structured Finance Securities: November 2012» Semi-annual Performance Statistics Update: 2012 H1 August 2012» Semi-annual Performance Statistics Update: 2011 H2 February 2012» Default and Loss Rates of Structured Finance Securities: September 2011» Structured Finance Short-Term Rating Transitions and Defaults: H1 August 2011» Semi-annual Performance Statistics Update: 2011 H1 August 2011» Semi-annual Performance Statistics Update: 2010 H2 February NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

18 Structured Finance Rating Transitions» September 2017 Structured Rating Transitions October 2017» August 2017 Structured Rating Transitions September 2017» July 2017 Structured Rating Transitions August 2017» June 2017 Structured Rating Transitions July 2017» May 2017 Structured Rating Transitions June 2017» April 2017 Structured Rating Transitions May 2017» The Transition Performance of Moody's Structured Finance Ratings: April 2017» The Transition Performance of Moody s Japan Structured Finance Ratings: April » The Transition Performance of Moody s Asia-Pacific (Ex Japan) April 2017 Structured Finance Ratings: » The Transition Performance of Moody s EMEA Structured Finance April 2017 Ratings: » March 2017 Structured Rating Transitions April 2017» February 2017 Structured Rating Transitions March 2017» January 2017 Structured Rating Transitions March 2017» December 2016 Structured Rating Transitions January 2017» November 2016 Structured Rating Transitions December 2016» October 2016 Structured Rating Transitions November 2016» Structured Finance Rating Transitions: H1 November 2016» The Transition Performance of Moody s Asia-Pacific (Ex Japan) November 2016 Structured Finance Ratings: H1» The Transition Performance of Moody s Japan Structured Finance Ratings: November H1» The Transition Performance of Moody s EMEA Structured Finance October 2016 Ratings: H1» September 2016 Structured Rating Transitions October 2016» August 2016 Structured Rating Transitions September 2016» July 2016 Structured Rating Transitions August 2016» June 2016 Structured Rating Transitions July 2016» May 2016 Structured Rating Transitions June NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

19 » April 2016 Structured Rating Transitions May 2016» The Transition Performance of Moody s Asia-Pacific (Ex Japan) April 2016 Structured Finance Ratings: » The Transition Performance of Moody s Japan Structured Finance Ratings: April » The Transition Performance of Moody s EMEA Structured Finance April 2016 Ratings: » The Transition Performance of Moody s Structured Finance April 2016 Ratings: » March 2016 Structured Rating Transitions April 2016» February 2016 Structured Rating Transitions March 2016» January 2016 Structured Rating Transitions February 2016 Select Archive» December 2015 Structured Rating Transitions January 2016» November 2015 Structured Rating Transitions December 2015» Japan Structured Finance Rating Transitions: H1 December 2015» Asia-Pacific (ex-japan) Structured Finance Rating Transitions: H1 December 2015» EMEA Structured Finance Rating Transitions: H1 December 2015» Structured Finance Rating Transitions: H1 November 2015» October 2015 Structured Rating Transitions November 2015» The Transition Performance of Moody s Japan Structured Finance Ratings: October 2015» September 2015 Structured Rating Transitions October 2015» The Transition Performance of Moody s Asia-Pacific (Ex Japan) Structured Finance Ratings: October 2015» The Transition Performance of Moody s EMEA Structured Finance Ratings: October 2015» The Transition Performance of Moody s Structured Finance Ratings: September 2015» August 2015 Structured Rating Transitions September 2015» July 2015 Structured Rating Transitions August 2015» June 2015 Structured Rating Transitions July 2015» May 2015 Structured Rating Transitions June 2015» April 2015 Structured Rating Transitions May 2015» February 2015 Structured Rating Transitions March NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

20 » Asia-Pacific (ex-japan) Structured Finance Rating Transitions: August 2014» Japanese Structured Finance Rating Transitions: July 2014» Structured Finance Rating Transitions: June 2014» EMEA Structured Finance Rating Transitions: June 2014» Structured Finance Short-Term Rating Transitions and Defaults: June 2014» Asia-Pacific (ex-japan) Structured Finance Rating Transitions: August 2013» Japanese Structured Finance Rating Transitions: July 2013» Structured Finance Rating Transitions: June 2013» EMEA Structured Finance Rating Transitions: May 2013» Structured Finance Short-Term Rating Transitions & Defaults: H1 December 2012» Asia-Pacific (ex-japan) Structured Finance Rating Transitions: June 2012» Japanese Structured Finance Rating Transitions: May 2012» EMEA Structured Finance Rating Transitions: April 2012» Structured Finance Rating Transitions: March 2012» Structured Finance Short-Term Rating Transitions and Defaults: H1 August 2011» Japanese Structured Finance Rating Transitions: April 2011» Asia-Pacific (ex-japan) Structured Finance Rating Transitions: April 2011» EMEA Structured Finance Rating Transitions: April 2011» Structured Finance Rating Transitions: March 2011 Other Structured Finance Default Studies» Evaluating Moody s Diversity Score Correction: An Application to North American Credits June 2015» Measuring the Performance of Credit Ratings November 2011» Updated Report on Volatility Scores and Parameter Sensitivities for Structured Finance Securities December 2008» Comparing Ratings on Jointly-Rated International Structured Finance Securities: 2007 Update April 2007» Comparing Ratings on Jointly-Rated U.S. Structured Finance Securities: 2007 Update March 2007» Deal Sponsor and Credit Risk of U.S ABS and MBS Securities December 2006» The Relationship between Par Coupon Spreads and Credit Ratings in US Structured Finance December NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH:

21 Powered by TCPDF ( CREDIT POLICY Author Satya Adusumilli Production Associate Gijo james 2017 Moody s Corporation, Moody s Investors Service, Inc., Moody s Analytics, Inc. and/or their licensors and affiliates (collectively, MOODY S ). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES ( MIS ) ARE MOODY S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY S PUBLICATIONS MAY INCLUDE MOODY S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. 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It would be reckless and inappropriate for retail investors to use MOODY S credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. Additional terms for Japan only: Moody's Japan K.K. ( MJKK ) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody s SF Japan K.K. ( MSFJ ) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ( NRSRO ). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. 21 NOVEMBER 1, 2017 GUIDE TO MOODY S DEFAULT RESEARCH: