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March 26, 2020Michael Zeng, Zhong Zhuang, Dinesh Bacham, Uliana Makarov
Tracking the Impact of COVID-19 on Credit Risk:
For Public and Private Firms
Uliana MakarovDirector-Research
Michael ZengAssociate Director-
Research
Zhong ZhuangDirector-Research
Dinesh BachamAssociate Director-
Research
Tracking the Impact of COVID-19 on Credit Risk, March 2020 3
» COVID-19 is a fast-developing epidemic that has recently become a major risk
driver across the globe, APAC, Europe, and US, in particular.
» Financial institutions are likely to re-assess expected losses while portfolio
managers are likely to adjust exposures.
» The Moody's Analytics Expected Default Frequency (EDFTM) measures reflect
the current state of the credit cycles.
» We are seeing a significant increase of expected loss for both public and private
companies in the US.
Overview
Tracking the Impact of COVID-19 on Credit Risk, March 2020 4
Agenda
1. Public Firm EDFs respond globally to falling stock market
– Impact by Country, Region & Industry
– Case Studies & Mission Critical Sectors
– Implications for Expected Loss
2. Private Firm EDFs respond to increasing Public Firm EDFs
– Impact by Sector for US Corporates and Large Firms
– Implications for Expected Loss
3. Summary
Tracking the Impact of COVID-19 on Credit Risk, March 2020 6
02/04/2020: Peak of new daily cases in China
Timeline of COVID-19: a market perspective
Tracking the Impact of COVID-19 on Credit Risk, March 2020 7
02/19/2020: S&P closed on all-time high
Timeline of COVID-19: a market perspective
Tracking the Impact of COVID-19 on Credit Risk, March 2020 8
03/09/2020: S&P 500 touched limit down in early hours of trading
Timeline of COVID-19: a market perspective
Tracking the Impact of COVID-19 on Credit Risk, March 2020 9
03/16/2020: S&P 500 down 12% on the day, VIX closed around 80
Timeline of COVID-19: a market perspective
Tracking the Impact of COVID-19 on Credit Risk, March 2020 10
» With equity price as a key input, the model
responds to the market movement in real
time, translating the market signal to credit
risk metrics.
» The breadth and depth of the Moody’s
Analytics CreditEdge coverage together
with the daily update of EDF values
makes the model a very capable tool for to
monitor and mange the credit risk of their
exposure.
EDF measures vs. Stock Market Signals
Tracking the Impact of COVID-19 on Credit Risk, March 2020 11
Overview of Structural PD model
Market
Value of
Assets
Today Time
ValueDistribution of
Market Value of
Assets at Horizon
(1 Year)
EDF™
1 Year
Expected Market
Value of Assets
Default Point
Distance-to-Default
(DD)
Distance-to-Default (DD) ≈ The number of standard deviations the Market Value
of Assets is away from the Default Point
Asset Volatility
(1 Standard Deviation)σ
Tracking the Impact of COVID-19 on Credit Risk, March 2020 13
EDF Levels by Country/RegionChina saw a different time frame of response than rest of the world
* APAC* excludes China
Country/
Region
Median EDF(%)
1/1/2020
Median EDF(%)
3/24/2020
EDF
YTD
Mktcap
YTD
Country/
Region
Median EDF(%)
1/1/2020
Median EDF(%)
3/24/2020
EDF
YTD
Mktcap
YTD
NLD 0.17 0.45 168% -31% GBR 0.16 0.34 105% -37%
KOR 0.65 1.74 166% -44% SWE 0.30 0.61 102% -32%
AUT 0.12 0.32 160% -35% FIN 0.13 0.25 98% -28%
NOR 0.22 0.58 157% -45% IDN 1.05 2.05 96% -48%
FRA 0.26 0.66 150% -29% DEU 0.18 0.34 92% -28%
USA 0.43 1.06 147% -25% SGP 1.06 1.98 87% -32%
JPN 0.14 0.34 142% -24% ITA 0.24 0.44 86% -30%
AUS 1.07 2.59 141% -43% BEL 0.07 0.13 81% -34%
MYS 0.53 1.22 132% -29% PHL 0.38 0.68 81% -37%
IRL 0.14 0.33 129% -29% LKA 0.44 0.77 73% -30%
NZL 0.09 0.21 123% -36% ROU 0.27 0.46 69% -30%
GRC 0.93 2.03 119% -40% PAK 0.99 1.68 68% -30%
THA 0.28 0.61 118% -40% DNK 0.22 0.33 51% -20%
IND 1.73 3.66 111% -39% HKG 1.89 2.71 44% -20%
ESP 0.22 0.47 109% -32% POL 1.12 1.59 42% -37%
ISR 0.19 0.39 108% -30% VNM 1.03 1.31 27% -31%
TWN 0.13 0.27 107% -24% RUS 0.89 1.02 14% -39%
CHE 0.05 0.10 105% -25% CHN 0.65 0.70 7% -11%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 14
EDF Levels by IndustryUSA: about 5,200 firms
Rank NDY 1/1/2020 3/24/2020 # firms % Change
HOTELS & RESTAURANTS 0.33 2.48 82 657%
APPAREL & SHOES 0.18 1.35 29 653%
AEROSPACE & DEFENSE 0.08 0.46 40 466%
MACHINERY & EQUIPMENT 0.15 0.82 100 452%
UTILITIES, GAS 0.06 0.28 48 380%
OIL REFINING 0.29 1.39 21 376%
CONSUMER SERVICES 0.37 1.72 39 362%
AUTOMOTIVE 0.85 3.43 38 303%
CONSTRUCTION 0.40 1.58 58 295%
STEEL & METAL PRODUCTS 0.25 0.96 60 285%
SECURITY BROKERS & DEALERS 0.42 0.62 31 49%
REAL ESTATE 0.27 0.38 80 43%
MEDICAL EQUIPMENT 0.91 1.30 160 43%
PHARMACEUTICALS 2.47 3.48 496 41%
INSURANCE - PROP/CAS/HEALTH 0.28 0.38 59 37%
ELECTRICAL EQUIPMENT 1.92 2.45 37 28%
Non-Finance NEC 1.72 2.18 52 27%
INVESTMENT MANAGEMENT 0.30 0.37 52 26%
MEDICAL SERVICES 2.15 2.72 84 26%
UTILITIES, ELECTRIC 0.02 0.03 64 20%
Top 10
Bottom 10
Tracking the Impact of COVID-19 on Credit Risk, March 2020 15
EDF Levels by IndustryChina: about 4,200 firms
Rank NDY 1/1/2020 3/24/2020 # firms % Change
AIR TRANSPORTATION 0.47 0.86 17 85%
HOTELS & RESTAURANTS 0.57 1.01 19 77%
ENTERTAINMENT & LEISURE 0.36 0.58 21 60%
CONSUMER DURABLES RETL/WHSL 0.97 1.47 34 51%
APPAREL & SHOES 0.33 0.48 49 48%
TRANSPORTATION 0.48 0.69 86 44%
UTILITIES, GAS 1.65 2.31 19 39%
FOOD & BEVERAGE 0.19 0.26 137 38%
CONSUMER PRODUCTS 0.27 0.35 30 33%
FURNITURE & APPLIANCES 0.41 0.52 56 28%
CONSUMER PRODUCTS RETL/WHSL 1.24 1.19 106 -5%
PHARMACEUTICALS 0.20 0.19 233 -6%
MEASURE & TEST EQUIPMENT 0.29 0.27 73 -7%
AEROSPACE & DEFENSE 0.38 0.35 28 -7%
STEEL & METAL PRODUCTS 1.14 1.05 216 -8%
BUSINESS SERVICES 0.61 0.56 297 -9%
LUMBER & FORESTRY 0.49 0.44 20 -10%
TELEPHONE 0.79 0.63 18 -20%
FOOD & BEVERAGE RETL/WHSL 0.92 0.61 16 -34%
MEDICAL EQUIPMENT 0.21 0.11 30 -47%
Top 10
Bottom 10
Tracking the Impact of COVID-19 on Credit Risk, March 2020 17
Case StudyAir Transportation Industry
PID Name 1/1/2020 3/24/2020EDF %
Change
Mktcap %
Change
G14375 JOHN MENZIES PLC 0.04 4.82 11361% -83%
G11443 AIR NEW ZEALAND LIMITED 0.09 2.40 2437% -71%
902549 UNITED AIRLINES HOLDINGS, INC. 0.07 1.05 1462% -63%
W53670 INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06 0.93 1343% -66%
W37726 SPICEJET LIMITED 0.44 5.35 1125% -72%
W25769 EASYJET PLC 0.15 1.65 987% -59%
G16804 QANTAS AIRWAYS LIMITED 0.21 2.24 983% -64%
N20700 SPIRIT AIRLINES INC 0.62 6.70 974% -66%
W26084 ASIANA AIRLINES INCORPORATED 0.45 3.69 720% -47%
W59269 ASIA AVIATION PCL 0.47 3.76 694% -54%
W38051 REGIONAL EXPRESS HOLDINGS LTD 0.35 2.61 640% -63%
N08526 JETBLUE AIRWAYS CORP 0.11 0.79 623% -51%
247361 DELTA AIR LINES INC 0.05 0.38 614% -54%
W34033 NORWEGIAN AIR SHUTTLE ASA 5.18 35.96 594% -76%
11659 ALASKA AIR GROUP INC 0.13 0.89 586% -57%
Air Transportation Top 15 EDF Change
Tracking the Impact of COVID-19 on Credit Risk, March 2020 18
Case StudyPharmaceuticals Industry
PID Name 1/1/2020 3/24/2020EDF %
Change
Mktcap %
Change
N20787 IBIO INC 32.07 1.78 -94.45% 1316.40%
N25601 PROTEON THERAPEUTICS INC 4.73 0.35 -92.52% 1442.21%
B01758 GENPREX INC 3.05 0.27 -91.02% 1440.06%
N22612 DECISION DIAGNOSTICS CORP 14.80 1.38 -90.71% 917.24%
N23211 TONIX PHARMACEUTICALS HLDG 23.21 2.18 -90.62% 2395.02%
W35654 SYNAIRGEN PLC 2.84 0.27 -90.51% 776.60%
N26826 TBG DIAGNOSTICS LTD 5.26 0.50 -90.40% 900.00%
N24117 ONCONOVA THERAPEUTICS INC 32.21 3.83 -88.13% 1822.67%
N02070 NOVAVAX INC 32.57 4.50 -86.20% 522.08%
N24407 GENUFOOD ENERGY ENZYMES CORP 41.83 5.81 -86.11% 3249.24%
W37825 BYOTROL PLC 1.39 0.22 -83.97% 227.87%
N27989 CO-DIAGNOSTIC INC 2.04 0.35 -82.69% 1237.76%
N05099 AMERICAN BIO MEDICA CORP 18.26 3.56 -80.48% 514.29%
B00673 SUGENTECH INC 2.10 0.44 -79.14% 207.27%
N28094 KALA PHARMECUTICAL INC 14.76 3.48 -76.41% 221.10%
Pharmaceuticals Industry Top 15 EDF Change
Tracking the Impact of COVID-19 on Credit Risk, March 2020 19
“Mission Critical” Industries
» Industries such as hospitals and medical
laboratories are critical in the medical
response to the virus outbreak.
» Their EDF levels largely remain moderate,
despite the recent uptick.
SIC NDY # of firms 1/1/2020 3/24/2020 Change
2621 Paper mills 92 0.45 0.77 69%
2834 Pharmaceutical Preparations 784 0.45 0.71 58%
2841 Soap and other detergents 28 0.06 0.13 133%
2842 Polishes and sanitation goods 8 0.37 0.41 12%
8062General medical and surgical
hospitals79 0.07 0.18 152%
8071 Medical laboratories 51 0.17 0.38 119%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 21
Expected LossExpected Loss increases four-fold for USA Air Transportation
Total
Liabitility
(M USD)
EDF (%) EL (M USD)
Total
Liabitility
(M USD)
EDF (%) EL (M USD)
001765 AMERICAN AIRLINES GROUP INC 61,015$ 0.92 394.64$ 60,113$ 3.84 1,614.10$
313309 FEDEX CORP 48,223$ 0.09 29.75$ 48,082$ 0.17 56.19$
247361 DELTA AIR LINES INC 46,906$ 0.05 17.55$ 47,718$ 0.38 127.52$
902549 UNITED AIRLINES HOLDINGS, INC. 39,304$ 0.07 18.44$ 39,344$ 1.05 288.38$
844741 SOUTHWEST AIRLINES 13,893$ 0.04 4.09$ 13,699$ 0.09 8.78$
011659 ALASKA AIR GROUP INC 8,023$ 0.13 7.28$ 7,947$ 0.89 49.49$
N08526 JETBLUE AIRWAYS CORP 5,356$ 0.11 4.07$ 5,868$ 0.79 32.26$
N20700 SPIRIT AIRLINES INC 3,948$ 0.62 17.23$ 4,313$ 6.70 202.18$
830879 SKYWEST INC 3,885$ 0.20 5.31$ 3,859$ 1.33 36.02$
N01412 ATLAS AIR WORLDWIDE HLDG INC 3,589$ 3.79 95.33$ 3,519$ 5.06 124.71$
N10766 MACQUARIE INFRASTRUCTURE CP 3,376$ 0.03 0.80$ 3,371$ 0.14 3.35$
N01376 HAWAIIAN HOLDINGS INC 2,739$ 1.90 36.47$ 2,755$ 9.65 186.20$
N09738 AIR TRANSPORT SERVICES GROUP 2,139$ 0.66 9.93$ 2,232$ 1.25 19.54$
N24633 FORTRESS TRANS INFRASTR INVS 2,029$ 0.08 1.19$ 1,898$ 0.51 6.81$
N12001 ALLEGIANT TRAVEL CO 1,796$ 0.12 1.57$ 1,895$ 0.59 7.79$
590481 MESA AIR GROUP INC 971$ 4.28 29.08$ 1,045$ 19.26 140.91$
N21932 ERA GROUP INC 202$ 0.88 1.25$ 201$ 3.75 5.28$
009224 AIR T INC 109$ 3.08 2.34$ 126$ 10.32 9.09$
N02553 EXELED HOLDINGS INC 22$ 29.84 4.64$ 22$ 28.27 4.39$
N19241 SPOTLIGHT CAPITAL HLDGS INC 2$ 27.01 0.37$ 2$ 28.43 0.39$
N11184 SAKER AVIATION SERVICES INC 2$ 6.47 0.08$ 2$ 11.57 0.14$
247,529$ 681.41$ 248,011$ 2,923.52$
0.28% 1.18%Loss Rate
1/1/2020 3/24/2020
PID Name
Total
Tracking the Impact of COVID-19 on Credit Risk, March 2020 22
Expected loss scales with the average EDF weighted by total liabilities
In US, liability-weighted EDF has doubled
Tracking the Impact of COVID-19 on Credit Risk, March 2020 23
In US, liability-weighted EDF has doubled
Tracking the Impact of COVID-19 on Credit Risk, March 2020 24
In US, liability-weighted EDF has doubled
Tracking the Impact of COVID-19 on Credit Risk, March 2020 25
What-if AnalysisWhat happens to United Airlines’ EDF if volatility is back to all-time-high
Tracking the Impact of COVID-19 on Credit Risk, March 2020 26
» Moody’s Analytics EDF measures have shown acute and accurate responses to
COVID-19, providing timely early warning signals for various
countries/industries/firms.
» As in most events that impact credit risk, there are losers (e.g., Airlines industry)
and winners (e.g., certain pharmaceutical companies).
» The expected loss for U.S. corporates has more than doubled, with certain
industries hit harder than others.
In Summary:
Tracking the Impact of COVID-19 on Credit Risk, March 2020 28
• Analyzing the impact on the risk of private firms as measured through the Credit Cycle
Adjustment for two key models:
– RiskCalc Large Firm model v3.1
– RiskCalc US Corporate model v4.0
• Credit Cycle Adjustment for Large Firm Model is driven solely by the public firm EDF metrics,
while the US Corporate model depends on a combination of public firm EDF metrics and
unemployment rates
• Full impact of the market movements will be reflected in the models with a few months lag
• Current results indicate forward looking estimates of where Point in Time metrics could be in the
coming months
– We use market based information as of March 24, 2020
– We use a forecast of unemployment raising to 5.4%
Setting the stage:
Tracking the Impact of COVID-19 on Credit Risk, March 2020 30
Credit Cycle Adjustment in RiskCalc Models
Financial Statement Only (FSO) EDF
Public EDF–Based Credit Cycle Adjustment
Credit Cycle Adjusted (CCA) EDF
Sector’s current credit quality based on public EDF
Sector’s historical credit quality based on public EDF
compare
» If current credit quality is better than historical average, FSO EDF is adjusted down to arrive at CCA EDF.
» If current credit quality is worse than historical average, FSO EDF is adjusted up to arrive at CCA EDF.
Tracking the Impact of COVID-19 on Credit Risk, March 2020 31
➢ Since default risk varies with the credit cycle,
we adjust the private firm EDF measures by
implementing a cycle adjustment factor
➢ Adjustment is based on a transformation of the
Public Firm’s Distance-to-Default (DD)
measure by industry. Large Firm model utilizes
DDs from all publicly traded firms in North
America aggregated by sector
➢ The DD factor is adjusted by a 36 month
moving average of its own series
➢ If the DD factor for public firms in an industry
indicates that risk is going up, EDFs are
adjusted upwards, or vice versa
Credit Cycle Adjustment in RiskCalc Models
CCA Adjustment in RiskCalc brings PD in Line with Actual Default Rate
Tracking the Impact of COVID-19 on Credit Risk, March 2020 32
For US Corporate Model v40
Credit Cycle Adjustment in RiskCalc Models
Financial Ratio Based PD (TTC PD)
Credit Trend of Publicly Traded Firms in the Same SectorUnemployment Rate Trend by State
Point-in-Time PD
Tracking the Impact of COVID-19 on Credit Risk, March 2020 33
How does the timing work?
April
Collect March end DDs from the public firm model, quality checks etc. State level unemployment for March released
at the end of April
May 1st
DDs from end of March are reflected in the model
June 1st
Nation and state wide unemployment from March reflected in the model
• Distance to Default (DD) factors for a given month are obtained in the beginning of next month.
Data goes through quality checks and additional transformations to be released for the
following month
• Nation and State wide unemployment related adjustments are updated in RiskCalc with a two
months lag
March
Tracking the Impact of COVID-19 on Credit Risk, March 2020 35
US Corporates
Data Description
Sample includes 30k+ firms and it’s most
recently available annual statement from
Moody’s Analytics Credit Research
Database (CRD)
Tracking the Impact of COVID-19 on Credit Risk, March 2020 36
Distribution by Region and Total Assets
Data Description: US Corporates
Tracking the Impact of COVID-19 on Credit Risk, March 2020 37
Results: US CorporatesThe change in CCA reflects the average jump in PIT PD based on the market conditions
on end of March 24 relative to a stable period in Dec 2019
Sector
Average
Rating
Change
Average Change in
CCA
(Dec -> Mar)
Transportation 1.65 102%
Construction 1.57 101%
Mining 1.44 83%
Business Products 1.35 81%
Business Services 1.37 80%
Unassigned 1.35 79%
Consumer Products 1.26 77%
Communication 1.21 77%
Services 1.33 76%
Trade 1.29 75%
Utilities 1.40 73%
Agriculture 1.28 69%
HiTech 1.07 55%
Health Care 1.00 47%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 38
• Services & Communication
are the sectors which see a
biggest jump in Credit
Cycle Adjusted EDFs
• Impact on Healthcare and
Agriculture on the lower
end
Results: US Corporates
Tracking the Impact of COVID-19 on Credit Risk, March 2020 39
Large Firm Model
Data Description
Sample includes 10k+ firms and its most
recently available annual statements from
Moody’s Analytics Credit Research
Database (CRD)
Tracking the Impact of COVID-19 on Credit Risk, March 2020 40
Distribution by Region and Total Assets
Data Description: Large Firm Model
Tracking the Impact of COVID-19 on Credit Risk, March 2020 41
Results: Large Firm ModelThe change in CCA reflects the average jump in PIT PD based on the market conditions
on end of March 24rd relative to a stable period in Dec 2019 for large corporates
SectorAverage Rating
Change
Average Change in
CCA (Dec -> Mar)
Transportation 1.64 94%
Consumer Products 1.38 77%
Business Products 1.44 74%
Construction 1.28 70%
Services 1.24 68%
Auto 1.29 68%
Trade 1.15 66%
Utilities 1.29 62%
Unassigned 1.22 60%
Agriculture 1.04 55%
Health 1.01 53%
Communication 0.95 51%
HiTech 0.72 38%
Mining 0.62 28%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 42
• Consumer products, Auto, and
Trade are the sectors which see a
biggest jump in Credit Cycle
Adjusted EDFs
• Impact on Agriculture and Utilities
on the lower end
Results: Large Firm Model
Tracking the Impact of COVID-19 on Credit Risk, March 2020 43
Large Firm Model
Implications for Implied Rating Downgrades
US Corporates
Tracking the Impact of COVID-19 on Credit Risk, March 2020 47
» COVID-19 has become, and will likely continue to be, a major driver of credit risk,
at least in the coming months
» Increase in Credit Cycle Adjusted EDFs for private firms across all industries with
Transportation, Services, and Construction deteriorating the most
» Size weighted Expected Loss expected to increased by close to 80% for both US
Corporates and Large Firms
» The signal provided by EDF measures and insights from their interpretation may:
– Help re-assess loss provisions as well as make proper adjustment to portfolios
– Offer policy implications on maintaining the credit health of “mission critical” companies as well
as analyzing the cost and benefit of stimulus packages for various industries
In Summary:
Uliana Makarov
+1 (212)-553-3704
moodysanalytics.com
Michael Zeng
+1 (415)-874-6182
Zhong Zhuang
+1 (415)-874-6297
Dinesh Bacham
+1 (212)-553-2789
Tracking the Impact of COVID-19 on Credit Risk, March 2020 50
Heat Map: US Corporates
Sector Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa/C
Agriculture 5% 5% 5% 5% 13% 23% 35% 43% 49% 59% 82% 83% 91% 88% 109% 104% 46%
Business Products 6% 6% 6% 6% 16% 32% 45% 50% 58% 82% 91% 100% 96% 117% 120% 84% 50%
Business Services 6% 6% 6% 6% 17% 33% 47% 52% 60% 85% 95% 104% 100% 122% 127% 88% 52%
Communication 6% 6% 6% 6% 15% 33% 43% 47% 54% 80% 82% 91% 93% 112% 90% 61% 44%
Construction 7% 7% 7% 7% 18% 34% 51% 60% 68% 92% 115% 119% 123% 143% 155% 123% 61%
Consumer Products 6% 6% 6% 6% 15% 31% 42% 46% 54% 78% 83% 91% 87% 108% 99% 69% 45%
Health Care 4% 5% 4% 4% 11% 20% 30% 35% 40% 50% 65% 67% 72% 70% 93% 75% 37%
HiTech 4% 5% 5% 5% 12% 22% 33% 38% 43% 57% 66% 71% 74% 79% 96% 70% 38%
Mining 6% 6% 6% 6% 17% 32% 47% 54% 62% 85% 100% 107% 107% 126% 140% 99% 54%
Services 6% 6% 6% 6% 16% 35% 46% 51% 60% 87% 90% 99% 103% 121% 99% 68% 48%
Trade 6% 6% 6% 6% 15% 30% 42% 47% 54% 77% 85% 93% 89% 109% 110% 77% 46%
Transportation 7% 7% 7% 7% 19% 35% 53% 63% 72% 97% 122% 126% 131% 151% 163% 133% 65%
Unassigned 6% 6% 6% 6% 15% 29% 42% 48% 55% 76% 86% 93% 92% 109% 119% 83% 48%
Utilities 6% 7% 7% 7% 18% 32% 49% 58% 67% 89% 114% 119% 127% 137% 153% 142% 63%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 52
Milder Scenarios Relative to Severe CCAR
Covid19 Stress Testing Scenarios
Tracking the Impact of COVID-19 on Credit Risk, March 2020 53
Stressed Results in a Pandemic Scenario
Covid19 Stress Testing Scenarios
Tracking the Impact of COVID-19 on Credit Risk, March 2020 54
Aggregate results from all scenarios
Covid19 Stress Testing Scenarios
Tracking the Impact of COVID-19 on Credit Risk, March 2020 55
Static Mapping
Rating Average PD
Aaa 0.01%
Aa1 0.02%
Aa2 0.04%
Aa3 0.07%
A1 0.11%
A2 0.16%
A3 0.20%
Baa1 0.25%
Baa2 0.35%
Baa3 0.53%
Ba1 0.85%
Ba2 1.35%
Ba3 2.02%
B1 3.03%
B2 4.55%
B3 6.82%
Caa/C 17.10%
Tracking the Impact of COVID-19 on Credit Risk, March 2020 56
TTC to PIT PD
PIT Converter
Converts any TTC PD to a PIT PD term structure, leveraging our Private Firm Model suite: RiskCalc
TTC PD
Analysis Date
Industry Classification
Private Firm Model Name
State (optional)
)
Inputs
PIT PD Term Structure
Outputs
Tracking the Impact of COVID-19 on Credit Risk, March 2020 57
Sector CompositionDescription Count sector
AGRICULTURE 14 Agriculture
AUTOMOTIVE 57 Auto
CHEMICALS 100 Business Products
MACHINERY & EQUIPMENT 131 Business Products
PAPER 30 Business Products
PLASTIC & RUBBER 29 Business Products
PRINTING 15 Business Products
PUBLISHING 22 Business Products
STEEL & METAL PRODUCTS 61 Business Products
TRANSPORTATION EQUIPMENT 12 Business Products
BROADCAST MEDIA 26 Communication
CABLE TV 13 Communication
TELEPHONE 73 Communication
CONSTRUCTION 56 Construction
CONSTRUCTION MATERIALS 36 Construction
APPAREL & SHOES 44 Consumer Products
CONSUMER DURABLES 21 Consumer Products
CONSUMER PRODUCTS 44 Consumer Products
FOOD & BEVERAGE 107 Consumer Products
FURNITURE & APPLIANCES 30 Consumer Products
TEXTILES 9 Consumer Products
TOBACCO 5 Consumer Products
MEDICAL SERVICES 84 Health
Description Count sector
AEROSPACE & DEFENSE 50 HiTech
COMPUTER HARDWARE 41 HiTech
COMPUTER SOFTWARE 166 HiTech
ELECTRICAL EQUIPMENT 68 HiTech
ELECTRONIC EQUIPMENT 144 HiTech
MEASURE & TEST EQUIPMENT 68 HiTech
MEDICAL EQUIPMENT 168 HiTech
PHARMACEUTICALS 656 HiTech
SEMICONDUCTORS 89 HiTech
LUMBER & FORESTRY 24 Mining
MINING 970 Mining
OIL REFINING 27 Mining
OIL, GAS & COAL EXPL/PROD 393 Mining
BUSINESS SERVICES 535 Services
CONSUMER SERVICES 33 Services
ENTERTAINMENT & LEISURE 75 Services
HOTELS & RESTAURANTS 64 Services
BUSINESS PRODUCTS WHSL 118 Trade
CONSUMER DURABLES RETL/WHSL 62 Trade
CONSUMER PRODUCTS RETL/WHSL 127 Trade
FOOD & BEVERAGE RETL/WHSL 34 Trade
AIR TRANSPORTATION 23 Transportation
TRANSPORTATION 61 Transportation
TRUCKING 24 Transportation
UNASSIGNED 84 Unassigned
UTILITIES NEC 45 Utilities
UTILITIES, ELECTRIC 83 Utilities
UTILITIES, GAS 52 Utilities
Tracking the Impact of COVID-19 on Credit Risk, March 2020 58
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