Key Takeaways
- There were two defaults among Mexican national scale (CaVal) corporate and public finance ratings in 2020, up from zero in 2019.
- Corporate upgrades fell to 0.7% of all ratings in 2020, down from 4.9% in 2019, while downgrades rose to 28.9% of all ratings from 6.3%. The ratio of downgrades to upgrades rose 39 to one, up from two to one in 2019, easily a new annual high.
- Public finance upgrades fell to zero in 2020 from 11.9%, and downgrades rose to 7.5% from 4.8%.
- At the start of 2020, there were 175 issuers with Mexican CaVal ratings, consisting of financial institutions (50%), nonfinancial corporate entities (27%), and public finance entities (23%).
- Of these, 96.6% started the year rated investment grade ('mxBBB-' or higher), up from 91% in 2011.
Credit quality among S&P Global Ratings' Mexican national scale (CaVal) corporate ratings was volatile in 2020, with downgrades more than quadrupling for corporate and financial institutions and upgrades down more than four times as well. For public finance issuers, there were no upgrades, while downgrades increased to 7.5% from 4.8%.
The foreign currency sovereign rating for Mexico was lowered to BBB/Negative/A-2 on March 2020 (see "Mexico Foreign Currency Rating Lowered To 'BBB' And Local Currency To 'BBB+' On Hit To Trend Growth; Outlook Negative," March 26, 2020), and most recently was affirmed in June 2021. The Mexican economy was already in contraction in 2019, falling by 1.1%, then continued to contract in 2020, falling by 9.2%. S&P Global economists forecast the economy will grow by 0.7% for the full year 2021.
Growth Of CaVal Ratings
The number of Mexican national scale corporate issuer ratings increased significantly in the early 2000s as the Mexican capital markets developed. At the start of 1999, S&P Global Ratings rated 27 Mexican corporate issuers, and by the start of 2020, that number increased to 135. The majority of these CaVal ratings are investment grade ('mxBBB-' or higher; see chart 1).
Meanwhile, the number of Mexican CaVal public finance issuer ratings increased to 40 at the start of 2020 from only one in 1999, down from an all-time high of 82 at the start of 2008 (see chart 2). Between 2008 and 2012, 14% of Mexican public finance issuer ratings were withdrawn, most due to lack of information or at the issuer's request. At the start of 2020, all but one public finance ratings were investment grade ('mxBBB-' or higher; see chart 2).
Chart 1
Chart 2
Chart 3
The historical ratings performance of Mexican national scale CaVal ratings tells the story of two particularly difficult periods. Overall, Mexico's corporate sector averaged 1.03 rated defaults a year between 1999 and 2020 (see table 1), while public finance averaged 0.6 (see table 2). However, there have been years with bursts of defaults. Corporate defaults in Mexico spiked during periods of sovereign stress and financial crisis such as during the Asian financial and Russian sovereign crises in the late 1990s, following the Argentine sovereign default in 2002, and during the 2009 global financial crisis, when eight corporate entities defaulted. The deterioration in credit quality during 2020 adds another such stressful episode.
Table 1
| Mexico National Scale Corporate Default Summary | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total defaults* | Rated defaults | Investment-grade defaults | Speculative-grade defaults | Default rate (%) | Investment-grade default rate (%) | Speculative-grade default rate (%) | |||||||||
| 1999 | 1 | 1 | 1 | N/A | 3.70 | 3.70 | N/A | |||||||||
| 2000 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2001 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2002 | 3 | 3 | 2 | 1 | 3.00 | 2.06 | 33.33 | |||||||||
| 2003 | 1 | 1 | 1 | 0 | 0.86 | 0.89 | 0.00 | |||||||||
| 2004 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2005 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2006 | 1 | 1 | 1 | 0 | 0.63 | 0.65 | 0.00 | |||||||||
| 2007 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2008 | 2 | 2 | 2 | 0 | 1.14 | 1.18 | 0.00 | |||||||||
| 2009 | 8 | 7 | 2 | 5 | 3.98 | 1.20 | 50.00 | |||||||||
| 2010 | 3 | 2 | 1 | 1 | 1.18 | 0.64 | 7.14 | |||||||||
| 2011 | 1 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2012 | 4 | 4 | 1 | 3 | 2.40 | 0.64 | 27.27 | |||||||||
| 2013 | 4 | 3 | 2 | 1 | 1.92 | 1.35 | 12.50 | |||||||||
| 2014 | 2 | 1 | 1 | 0 | 0.70 | 0.73 | 0.00 | |||||||||
| 2015 | 1 | 1 | 1 | 0 | 0.69 | 0.70 | 0.00 | |||||||||
| 2016 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2017 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2018 | 1 | 1 | 1 | 0 | 0.69 | 0.70 | 0.00 | |||||||||
| 2019 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2020 | 2 | 2 | 2 | 0 | 1.48 | 1.54 | 0.00 | |||||||||
| Average | 1.5 | 1.3 | 0.8 | 0.5 | 1.02 | 0.73 | 6.20 | |||||||||
| Median | 1.0 | 1.0 | 1.0 | 0.0 | 0.69 | 0.65 | 0.00 | |||||||||
| Standard deviation | 1.9 | 1.7 | 0.8 | 1.2 | 1.25 | 0.90 | 13.70 | |||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Maximum | 8.0 | 7.0 | 2.0 | 5.0 | 3.98 | 3.70 | 50.00 | |||||||||
| *Includes defaults of companies that defaulted after S&P Global Ratings withdrew its rating on those companies. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. N/A--Not applicable. | ||||||||||||||||
In 2012, there were seven defaults in public finance, four by issuers that had been rated 'mxBBB-' or higher at the start of the year. These defaults were due to the issuers' limited fiscal transparency, lack of formal liquidity and debt policies, and scarce long-term capital and financial planning.
Table 2
| Mexico National Scale Government Default Summary | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total defaults* | Rated defaults | Investment-grade defaults | Speculative-grade defaults | Default rate (%) | Investment-grade default rate (%) | Speculative-grade default rate (%) | |||||||||
| 1999 | 0 | 0 | 0 | N/A | 0.00 | 0.00 | N/A | |||||||||
| 2000 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2001 | 1 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2002 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2003 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2004 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2005 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2006 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2007 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2008 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2009 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2010 | 1 | 1 | 1 | 0 | 1.45 | 1.45 | N/A | |||||||||
| 2011 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2012 | 7 | 4 | 4 | 0 | 8.16 | 8.33 | 0.00 | |||||||||
| 2013 | 3 | 2 | 1 | 1 | 4.35 | 2.33 | 33.33 | |||||||||
| 2014 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2015 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2016 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2017 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2018 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2019 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | N/A | |||||||||
| 2020 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| Average | 0.5 | 0.3 | 0.3 | 0.0 | 0.63 | 0.55 | 1.96 | |||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Standard deviation | 1.6 | 0.9 | 0.9 | 0.2 | 1.94 | 1.83 | 8.08 | |||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Maximum | 7.0 | 4.0 | 4.0 | 1.0 | 8.16 | 8.33 | 33.33 | |||||||||
| Data as of Jan. 1, 2021. N/A--Not applicable. Source: S&P Global Fixed Income Research. | ||||||||||||||||
Ratings Performance In 2020
Mexican corporate upgrades fell to 0.7% in 2020 from 4.9% in 2019, and downgrades rose greatly to 28.9% from 6.3% (see table 3). Upgrades were the lowest they have ever been (the long-term weighted average is 8.9%), while downgrades were almost double the highest previous downgrade percentage of 15.3% in 2009. The long-term weighted average for downgrades is now 6.9%. There were two defaults in 2020 (there had been only one default since 2015), and the long-term corporate default rate is an average of 1% (see table 3). The stability ratio (the percentage of all ratings that were the same at the start and the end of the year) fell to 62.2% in 2020 from 82.5% in 2019, well below the long-term average of 75.1%. The ratio of downgrades to upgrades rose to 39 to one, with a long-term weighted average of 2.9 downgrades to every one upgrade.
Table 3
| Mexico National Scale Corporate Net Annual Rating Activity (%)* | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Issuers | Upgrades (%) | Downgrades (%)§ | Defaults (%) | Withdrawn ratings (%) | Changed ratings (%) | Unchanged ratings (%) | Downgrade/upgrade ratio | ||||||||||
| 1999 | 27 | 3.7 | 11.1 | 3.7 | 3.7 | 22.2 | 77.8 | 3.0 | ||||||||||
| 2000 | 39 | 5.1 | 10.3 | 0.0 | 5.1 | 20.5 | 79.5 | 2.0 | ||||||||||
| 2001 | 60 | 8.3 | 10.0 | 0.0 | 5.0 | 23.3 | 76.7 | 1.2 | ||||||||||
| 2002 | 100 | 7.0 | 5.0 | 3.0 | 16.0 | 31.0 | 69.0 | 0.7 | ||||||||||
| 2003 | 116 | 12.1 | 6.9 | 0.9 | 7.8 | 27.6 | 72.4 | 0.6 | ||||||||||
| 2004 | 150 | 9.3 | 1.3 | 0.0 | 11.3 | 22.0 | 78.0 | 0.1 | ||||||||||
| 2005 | 156 | 10.9 | 5.1 | 0.0 | 12.2 | 28.2 | 71.8 | 0.5 | ||||||||||
| 2006 | 159 | 10.1 | 3.8 | 0.6 | 8.2 | 22.6 | 77.4 | 0.4 | ||||||||||
| 2007 | 170 | 16.5 | 8.2 | 0.0 | 9.4 | 34.1 | 65.9 | 0.5 | ||||||||||
| 2008 | 176 | 6.3 | 8.5 | 1.1 | 6.3 | 22.2 | 77.8 | 1.4 | ||||||||||
| 2009 | 176 | 1.7 | 15.3 | 4.0 | 7.4 | 28.4 | 71.6 | 9.0 | ||||||||||
| 2010 | 170 | 10.0 | 4.7 | 1.2 | 11.2 | 27.1 | 72.9 | 0.5 | ||||||||||
| 2011 | 163 | 20.9 | 6.8 | 0.0 | 8.6 | 36.2 | 63.8 | 0.3 | ||||||||||
| 2012 | 167 | 11.4 | 4.2 | 2.4 | 11.4 | 29.4 | 70.7 | 0.4 | ||||||||||
| 2013 | 156 | 10.9 | 3.9 | 1.9 | 12.8 | 29.5 | 70.5 | 0.4 | ||||||||||
| 2014 | 142 | 7.0 | 1.4 | 0.7 | 7.0 | 16.2 | 83.8 | 0.2 | ||||||||||
| 2015 | 144 | 6.3 | 4.9 | 0.7 | 4.9 | 16.7 | 83.3 | 0.8 | ||||||||||
| 2016 | 149 | 9.4 | 2.7 | 0.0 | 4.0 | 16.1 | 83.9 | 0.3 | ||||||||||
| 2017 | 149 | 8.1 | 3.4 | 0.0 | 5.4 | 16.8 | 83.2 | 0.4 | ||||||||||
| 2018 | 144 | 6.3 | 6.3 | 0.7 | 2.1 | 15.3 | 84.7 | 1.0 | ||||||||||
| 2019 | 143 | 4.9 | 6.3 | 0.0 | 6.3 | 17.5 | 82.5 | 1.3 | ||||||||||
| 2020 | 135 | 0.7 | 28.9 | 1.5 | 6.7 | 37.8 | 62.2 | 39.0 | ||||||||||
| Weighted average | 8.9 | 6.9 | 1.0 | 8.2 | 24.9 | 75.1 | 2.9 | |||||||||||
| Average | 8.5 | 7.2 | 1.0 | 7.8 | 24.6 | 75.4 | 2.9 | |||||||||||
| Median | 8.2 | 5.7 | 0.7 | 7.2 | 23.0 | 77.0 | 0.5 | |||||||||||
| Standard deviation | 4.5 | 5.9 | 1.2 | 3.5 | 6.8 | 6.8 | 8.3 | |||||||||||
| Minimum | 0.7 | 1.3 | 0.0 | 2.1 | 15.3 | 62.2 | 0.1 | |||||||||||
| Maximum | 20.9 | 28.9 | 4.0 | 16.0 | 37.8 | 84.7 | 39.0 | |||||||||||
| *This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to 'D', shown separately in the default column. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||
Mexican public finance upgrades fell to zero in 2020 from 11.9% in 2019, and downgrades rose to 7.5%, up from 4.8% in 2019 (see table 4). There has not been a Mexican public finance default in our data set since 2013. Given the very low number of rated Mexican public finance entities (42 at the start of 2019), it can be difficult to draw conclusions based on these results, and as such, we urge caution in interpreting them.
Table 4
| Mexico National Scale Government Net Annual Rating Activity (%)* | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Issuers | Upgrades (%) | Downgrades (%)§ | Defaults (%) | Withdrawn ratings (%) | Changed ratings (%) | Unchanged ratings (%) | Downgrade/upgrade ratio | ||||||||||
| 1999 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | N/A | ||||||||||
| 2000 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | N/A | ||||||||||
| 2001 | 28 | 17.9 | 0.0 | 0.0 | 0.0 | 17.9 | 82.1 | 0.0 | ||||||||||
| 2002 | 49 | 20.4 | 0.0 | 0.0 | 6.1 | 26.5 | 73.5 | 0.0 | ||||||||||
| 2003 | 60 | 10.0 | 0.0 | 0.0 | 3.3 | 13.3 | 86.7 | 0.0 | ||||||||||
| 2004 | 77 | 9.1 | 1.3 | 0.0 | 3.9 | 14.3 | 85.7 | 0.1 | ||||||||||
| 2005 | 82 | 6.1 | 8.5 | 0.0 | 8.5 | 23.2 | 76.8 | 1.4 | ||||||||||
| 2006 | 81 | 6.2 | 1.2 | 0.0 | 6.2 | 13.6 | 86.4 | 0.2 | ||||||||||
| 2007 | 80 | 7.5 | 7.5 | 0.0 | 3.8 | 18.8 | 81.3 | 1.0 | ||||||||||
| 2008 | 82 | 7.3 | 4.9 | 0.0 | 14.6 | 26.8 | 73.2 | 0.7 | ||||||||||
| 2009 | 74 | 0.0 | 12.2 | 0.0 | 10.8 | 23.0 | 77.0 | N/A | ||||||||||
| 2010 | 69 | 17.4 | 10.1 | 1.5 | 18.8 | 47.8 | 52.2 | 0.6 | ||||||||||
| 2011 | 57 | 0.0 | 14.0 | 0.0 | 15.8 | 29.8 | 70.2 | N/A | ||||||||||
| 2012 | 49 | 10.2 | 12.2 | 8.2 | 10.2 | 40.8 | 59.2 | 1.2 | ||||||||||
| 2013 | 46 | 2.2 | 10.9 | 4.4 | 4.4 | 21.7 | 78.3 | 5.0 | ||||||||||
| 2014 | 46 | 26.1 | 4.4 | 0.0 | 4.4 | 34.8 | 65.2 | 0.2 | ||||||||||
| 2015 | 48 | 16.7 | 0.0 | 0.0 | 6.3 | 22.9 | 77.1 | 0.0 | ||||||||||
| 2016 | 46 | 6.5 | 2.2 | 0.0 | 8.7 | 17.4 | 82.6 | 0.3 | ||||||||||
| 2017 | 43 | 9.3 | 4.7 | 0.0 | 4.7 | 18.6 | 81.4 | 0.5 | ||||||||||
| 2018 | 42 | 7.1 | 2.4 | 0.0 | 2.4 | 11.9 | 88.1 | 0.3 | ||||||||||
| 2019 | 42 | 11.9 | 4.8 | 0.0 | 4.8 | 21.4 | 78.6 | 0.4 | ||||||||||
| 2020 | 40 | 0.0 | 7.5 | 0.0 | 2.5 | 10.0 | 90.0 | N/A | ||||||||||
| Weighted average | 9.0 | 5.7 | 0.6 | 7.6 | 22.9 | 77.1 | 0.6 | |||||||||||
| Average | 8.7 | 4.9 | 0.6 | 6.4 | 20.7 | 79.3 | 0.7 | |||||||||||
| Median | 7.4 | 4.5 | 0.0 | 4.7 | 20.1 | 79.9 | 0.3 | |||||||||||
| Standard deviation | 7.3 | 4.7 | 1.9 | 5.1 | 11.4 | 11.4 | 1.2 | |||||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 52.2 | 0.0 | |||||||||||
| Maximum | 26.1 | 14.0 | 8.2 | 18.8 | 47.8 | 100.0 | 5.0 | |||||||||||
| *This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded §Excludes downgrades to 'D', shown separately in the default column. Data as of Jan. 1, 2021. N/A--Not applicable. Source: S&P Global Fixed Income Research. | ||||||||||||||||||
There were five new CaVal ratings in 2020, up from one in 2019 (see table 5). This is the most new issuers since 2016, which also saw five.
Table 5
| Rating Classification Of New Corporate Issuers* For Mexico National Scale Corporate And Government | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --First rating-- | ||||||||||||||||||||||
| Year | mxAAA | mxAA | mxA | mxBBB | mxBB | mxB | mxCCC/C | Total | % investment grade | % speculative grade | ||||||||||||
| 1998 | 3 | 6 | 12 | 8 | 0 | 0 | 0 | 29 | 100.0 | 0.0 | ||||||||||||
| 1999 | 1 | 8 | 3 | 3 | 1 | 0 | 0 | 16 | 93.8 | 6.3 | ||||||||||||
| 2000 | 2 | 14 | 20 | 13 | 1 | 0 | 0 | 50 | 98.0 | 2.0 | ||||||||||||
| 2001 | 5 | 18 | 19 | 21 | 2 | 1 | 0 | 66 | 95.5 | 4.5 | ||||||||||||
| 2002 | 4 | 7 | 24 | 12 | 1 | 1 | 0 | 49 | 95.9 | 4.1 | ||||||||||||
| 2003 | 8 | 13 | 14 | 21 | 3 | 2 | 0 | 61 | 91.8 | 8.2 | ||||||||||||
| 2004 | 1 | 6 | 10 | 9 | 5 | 1 | 0 | 32 | 81.3 | 18.8 | ||||||||||||
| 2005 | 2 | 0 | 7 | 11 | 3 | 1 | 0 | 24 | 83.3 | 16.7 | ||||||||||||
| 2006 | 4 | 2 | 10 | 9 | 1 | 0 | 1 | 27 | 92.6 | 7.4 | ||||||||||||
| 2007 | 3 | 3 | 4 | 9 | 2 | 1 | 0 | 22 | 86.4 | 13.6 | ||||||||||||
| 2008 | 4 | 3 | 2 | 7 | 0 | 0 | 0 | 16 | 100.0 | 0.0 | ||||||||||||
| 2009 | 3 | 1 | 3 | 6 | 2 | 0 | 2 | 17 | 76.5 | 23.5 | ||||||||||||
| 2010 | 2 | 0 | 2 | 4 | 2 | 0 | 3 | 13 | 61.5 | 38.5 | ||||||||||||
| 2011 | 4 | 3 | 3 | 5 | 0 | 0 | 1 | 16 | 93.8 | 6.3 | ||||||||||||
| 2012 | 1 | 0 | 5 | 3 | 3 | 0 | 1 | 13 | 69.2 | 30.8 | ||||||||||||
| 2013 | 0 | 0 | 2 | 4 | 3 | 0 | 1 | 10 | 60.0 | 40.0 | ||||||||||||
| 2014 | 5 | 4 | 2 | 3 | 3 | 0 | 0 | 17 | 82.4 | 17.6 | ||||||||||||
| 2015 | 8 | 2 | 2 | 2 | 0 | 0 | 0 | 14 | 100.0 | 0.0 | ||||||||||||
| 2016 | 0 | 0 | 0 | 4 | 1 | 0 | 0 | 5 | 80.0 | 20.0 | ||||||||||||
| 2017 | 2 | 0 | 0 | 1 | 0 | 0 | 0 | 3 | 100.0 | 0.0 | ||||||||||||
| 2018 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 2 | 50.0 | 50.0 | ||||||||||||
| 2019 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 1 | 100.0 | 0.0 | ||||||||||||
| 2020 | 0 | 1 | 2 | 1 | 0 | 0 | 1 | 5 | 80.0 | 20.0 | ||||||||||||
| Total | 63 | 91 | 147 | 156 | 33 | 8 | 10 | 508 | 90.0 | 10.0 | ||||||||||||
| Year | Insurance ratings | Sovereigns and international public finance | Financial institutions ratings | Corporate ratings | Total | |||||||||||||||||
| 1998 | 1 | 1 | 9 | 18 | 29 | |||||||||||||||||
| 1999 | 8 | 1 | 3 | 4 | 16 | |||||||||||||||||
| 2000 | 2 | 26 | 12 | 10 | 50 | |||||||||||||||||
| 2001 | 1 | 21 | 11 | 33 | 66 | |||||||||||||||||
| 2002 | 1 | 14 | 14 | 20 | 49 | |||||||||||||||||
| 2003 | 3 | 18 | 21 | 19 | 61 | |||||||||||||||||
| 2004 | 1 | 9 | 5 | 17 | 32 | |||||||||||||||||
| 2005 | 1 | 4 | 12 | 7 | 24 | |||||||||||||||||
| 2006 | 2 | 3 | 13 | 9 | 27 | |||||||||||||||||
| 2007 | 1 | 2 | 6 | 13 | 22 | |||||||||||||||||
| 2008 | 0 | 3 | 10 | 3 | 16 | |||||||||||||||||
| 2009 | 1 | 3 | 9 | 4 | 17 | |||||||||||||||||
| 2010 | 1 | 1 | 4 | 7 | 13 | |||||||||||||||||
| 2011 | 0 | 1 | 8 | 7 | 16 | |||||||||||||||||
| 2012 | 0 | 2 | 7 | 4 | 13 | |||||||||||||||||
| 2013 | 0 | 3 | 4 | 3 | 10 | |||||||||||||||||
| 2014 | 3 | 3 | 4 | 7 | 17 | |||||||||||||||||
| 2015 | 7 | 1 | 3 | 3 | 14 | |||||||||||||||||
| 2016 | 0 | 1 | 4 | 0 | 5 | |||||||||||||||||
| 2017 | 0 | 0 | 2 | 1 | 3 | |||||||||||||||||
| 2018 | 1 | 0 | 1 | 0 | 2 | |||||||||||||||||
| 2019 | 0 | 0 | 0 | 1 | 1 | |||||||||||||||||
| 2020 | 1 | 1 | 1 | 2 | 5 | |||||||||||||||||
| Total | 35 | 118 | 163 | 192 | 508 | |||||||||||||||||
| *Includes issuers that are assigned a new rating after default as well as those companies that receive a rating for the first time. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||||
Most sectors covered in this study have experienced defaults, albeit often in short-lived pockets (see table 6). Due to the small sample size of our data set, the default rate for individual years can be higher than the average transition rates to default calculated with monthly observations. We urge caution in interpreting the results of small rating populations.
Table 6
| Mexico National Scale Corporate And Government One-Year Default Rates By Industry (%) | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Aerospace/automotive/capital goods/metal | Consumer/service sector | Energy and natural resources | Financial institutions | Forest and building products/homebuilders | Health care/chemicals | Insurance | |||||||||
| 1999 | 0.00 | 0.00 | 33.33 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2000 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2001 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2002 | 0.00 | 0.00 | 50.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2003 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2004 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2005 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2006 | 0.00 | 0.00 | 0.00 | 1.35 | 0.00 | 0.00 | 0.00 | |||||||||
| 2007 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2008 | 0.00 | 5.00 | 0.00 | 0.00 | 9.09 | 0.00 | 0.00 | |||||||||
| 2009 | 0.00 | 0.00 | 0.00 | 2.22 | 30.00 | 0.00 | 0.00 | |||||||||
| 2010 | 0.00 | 0.00 | 25.00 | 1.10 | 0.00 | 0.00 | 0.00 | |||||||||
| 2011 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2012 | 0.00 | 0.00 | 20.00 | 2.33 | 0.00 | 0.00 | 0.00 | |||||||||
| 2013 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2014 | 0.00 | 0.00 | 0.00 | 1.28 | 0.00 | 0.00 | 0.00 | |||||||||
| 2015 | 33.33 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2016 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2017 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2018 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2019 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| 2020 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| Average | 1.67 | 0.25 | 6.42 | 0.41 | 1.95 | 0.00 | 0.00 | |||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| Standard deviation | 7.45 | 1.12 | 14.17 | 0.78 | 6.91 | 0.00 | 0.00 | |||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||
| Maximum | 33.33 | 5.00 | 50.00 | 2.33 | 30.00 | 0.00 | 0.00 | |||||||||
| Year | Leisure time/media | Public finance | Real estate | Telecommunications | Transportation | Utility | ||||||||||
| 1999 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2000 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2001 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2002 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2003 | 0.00 | 0.00 | 0.00 | 0.00 | 50.00 | 0.00 | ||||||||||
| 2004 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2005 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2006 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2007 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2008 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2009 | 33.33 | 0.00 | 0.00 | 0.00 | 0.00 | 9.09 | ||||||||||
| 2010 | 0.00 | 1.45 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2011 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2012 | 0.00 | 8.16 | 16.67 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2013 | 0.00 | 4.35 | 40.00 | 20.00 | 0.00 | 0.00 | ||||||||||
| 2014 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2015 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2016 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2017 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2018 | 0.00 | 0.00 | 0.00 | 0.00 | 14.29 | 0.00 | ||||||||||
| 2019 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| 2020 | 50.00 | 0.00 | 0.00 | 0.00 | 16.67 | 0.00 | ||||||||||
| Average | 1.67 | 0.70 | 2.83 | 1.00 | 3.21 | 0.45 | ||||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| Standard deviation | 7.45 | 2.02 | 9.51 | 4.47 | 11.47 | 2.03 | ||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||
| Maximum | 33.33 | 8.16 | 40.00 | 20.00 | 50.00 | 9.09 | ||||||||||
| Includes investment-grade and speculative-grade rated entities. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||
There were two defaults among CaVal ratings in 2020. For corporate ratings, nine out of 22 years have seen no defaults, and for public finance, the number is 19 out of 22.
Table 7
| Itemized Mexico Corporate And Government Defaults | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Issuer | Sector | Default date | Rating at start of year of default | Confidential | ||||||
| Empresas ICA S.A.B. de C.V. | Aerospace/Automotive/Capital Goods/Metal | 12/18/2015 | mxBBB- | N | ||||||
| Leasing Operations de Mexico S. de R. L. de C.V. | Financial Institutions | 3/27/2014 | mxBBB | N | ||||||
| Corporacion GEO S.A.B. de C.V. | Real Estate | 4/29/2013 | mxBBB+ | N | ||||||
| Urbi Desarrollos Urbanos S.A.B.de C.V. | Real Estate | 4/19/2013 | mxBBB- | N | ||||||
| Naucalpan de Juarez (City of) | Public Finance | 1/8/2013 | mxBB+ | N | ||||||
| Guadalupe, Zac. (City of) | Public Finance | 5/10/2013 | mxBBB+ | N | ||||||
| Santa Catarina( City of) | Public Finance | 2/28/2012 | NR | N | ||||||
| Guadalupe, N. L. (City of) | Public Finance | 9/26/2012 | mxA- | N | ||||||
| Jalisco (State of) | Public Finance | 12/24/2012 | NR | N | ||||||
| Metrofinanciera S.A.P.I. de C.V. SOFOM E.N.R. | Financial Institutions | 9/10/2012 | mxCCC | N | ||||||
| San Luis Potosi (City of) | Public Finance | 10/31/2012 | mxA | N | ||||||
| Cuernavaca (City of) | Public Finance | 7/9/2012 | mxA+ | N | ||||||
| Acapulco (City of) | Public Finance | 10/31/2012 | NR | N | ||||||
| Sare Holding S. A. B. de C. V. | Real Estate | 5/28/2012 | mxBB- | N | ||||||
| Zamora (City of) | Public Finance | 2/3/2012 | mxBBB+ | N | ||||||
| CHG-Meridian Mexico S.A.P.I. de C.V. | Financial Institutions | 3/5/2012 | mxA- | N | ||||||
| Grupo Collado S. A. de C. V. | Energy and Natural Resources | 6/11/2012 | mxCCC | N | ||||||
| Hipotecaria Su Casita S.A. de C.V. SOFOM E.N.R. | Financial Institutions | 10/15/2010 | mxBBB+ | N | ||||||
| Zacatecas (State of) | Public Finance | 11/5/2010 | mxA | N | ||||||
| Grupo Collado S. A. de C. V. | Energy and Natural Resources | 1/12/2010 | mxCCC | N | ||||||
| Vitro S.A.B. de C.V. | Forest & Building Products/Homebuilders | 2/2/2009 | mxBB+ | N | ||||||
| Industrias Unidas S.A. de C.V. | Forest & Building Products/Homebuilders | 3/26/2009 | mxBB | N | ||||||
| Metrofinanciera S.A.P.I. de C.V. SOFOM E.N.R. | Financial Institutions | 4/24/2009 | mxB+ | N | ||||||
| Grupo Industrial Saltillo S.A.B. de C.V. | Utility | 2/12/2009 | mxCCC | N | ||||||
| Controladora Comercial Mexicana, S. A. B. de C. V. | Consumer/Service Sector | 10/9/2008 | mxAA | N | ||||||
| Hipotecaria Mexico S.A. de C.V.S.F.O.L. | Financial Institutions | 2/3/2006 | mxBBB- | N | ||||||
| Minera Mexico S.A. de C.V. | Energy and Natural Resources | 8/22/2002 | mxBBB+ | N | ||||||
| Altos Hornos de Mexico, S.A. de C.V. | Aerospace/Automotive/Capital Goods/Metal | 4/26/1999 | mxBBB+ | N | ||||||
| Grupo Senda Autotransporte, S.A. de C.V. | Transportation | 5/25/2018 | mxBBB- | N | ||||||
| Grupo Radio Centro, S.A.B. de C.V. | TV and Radio | 5/14/2020 | mxBBB+ | N | ||||||
| Data as of Jan. 1, 2021. S&P Global Fixed Income Research. | ||||||||||
From 1998-2020, 30 publicly rated corporate and government entities defaulted in Mexico (see table 8). Mexico's small number of issuers relative to the global total introduces some challenges to our analysis. The number of ratings that are 'mxBB+' or lower in our data set is lower than the number of ratings that are 'mxBBB-' or higher, so comparing the time to default between the two groups of ratings is difficult. That said, the average time to default of the seven 'mxA' defaults is 9.4 years, compared with 5.5 years for the 17 'mxBBB' defaults.
Table 8
| Time To Default From Original Rating Among Mexico National Scale Corporate And Government | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Original rating | Defaults | Average years from original rating | Median years from original rating | Standard deviation of years from original rating | ||||||
| Corp and FI | ||||||||||
| mxAAA | 0 | N/A | N/A | N/A | ||||||
| mxAA | 2 | 2.9 | 2.9 | 2.9 | ||||||
| mxA | 8 | 9.4 | 9.8 | 3.2 | ||||||
| mxBBB | 18 | 5.5 | 5.3 | 4.0 | ||||||
| mxBB | 0 | N/A | N/A | N/A | ||||||
| mxB | 1 | 0.4 | 0.4 | N/A | ||||||
| mxCCC/C | 2 | 1.8 | 1.8 | 0.1 | ||||||
| Total | 31 | 12.5 | 6.2 | 34.4 | ||||||
| Government | ||||||||||
| mxAAA | 0 | N/A | N/A | N/A | ||||||
| mxAA | 1 | 10.7 | 10.7 | N/A | ||||||
| mxA | 8 | 11.1 | 11.6 | 1.3 | ||||||
| mxBBB | 1 | 2.1 | 2.1 | N/A | ||||||
| mxBB | 0 | N/A | N/A | N/A | ||||||
| mxB | 0 | N/A | N/A | N/A | ||||||
| mxCCC/C | 0 | N/A | N/A | N/A | ||||||
| Total | 10 | 18.5 | 11.6 | 27.7 | ||||||
| N/A--Not applicable. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||
Transition Tables And Cumulative Default Rates
Our analysis of rating transitions in 2020 suggests that CaVal ratings behavior exhibits consistency with global trends, which have shown a negative correspondence between credit ratings and default probability. Issuers rated 'mxBBB-' or higher in Mexico tend to exhibit greater credit stability (as measured by the frequency of rating transitions) than their counterparts rated 'mxBB-' or lower. Generally, the higher the rating, the more stable that rating is over time. We can compare the most recent year (table 9) to the average of all 12-month periods to see diversions from the mean (table 10). Tables 11 and 12 show the average transition rates over 36- and 60-month time frames.
Table 9
| One-Year 2020 Mexico CaVal Corporate And Government Transition Rates | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| Corp and FI | ||||||||||||||||||||
| AAA | 96.43 | 1.79 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.79 | |||||||||||
| AA | 0.00 | 79.17 | 16.67 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 4.17 | |||||||||||
| A | 0.00 | 0.00 | 65.71 | 22.86 | 0.00 | 2.86 | 2.86 | 0.00 | 5.71 | |||||||||||
| BBB | 0.00 | 0.00 | 6.67 | 33.33 | 20.00 | 6.67 | 13.33 | 13.33 | 6.67 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 33.33 | 0.00 | 0.00 | 66.67 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| AAA | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| AA | 0.00 | 84.62 | 7.69 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 7.69 | |||||||||||
| A | 0.00 | 0.00 | 46.15 | 30.77 | 0.00 | 7.69 | 7.69 | 0.00 | 7.69 | |||||||||||
| BBB | 0.00 | 0.00 | 16.67 | 16.67 | 0.00 | 0.00 | 33.33 | 33.33 | 0.00 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| Financial | ||||||||||||||||||||
| AAA | 95.35 | 2.33 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.33 | |||||||||||
| AA | 0.00 | 72.73 | 27.27 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| A | 0.00 | 0.00 | 77.27 | 18.18 | 0.00 | 0.00 | 0.00 | 0.00 | 4.55 | |||||||||||
| BBB | 0.00 | 0.00 | 0.00 | 44.44 | 33.33 | 11.11 | 0.00 | 0.00 | 11.11 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 33.33 | 0.00 | 0.00 | 66.67 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| Public finance | ||||||||||||||||||||
| AAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| AA | 0.00 | 92.86 | 7.14 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| A | 0.00 | 0.00 | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| BBB | 0.00 | 0.00 | 0.00 | 85.71 | 0.00 | 0.00 | 0.00 | 0.00 | 14.29 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||
Table 10
| Average 12-Month Corporate Transition Rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| Corp and FI | ||||||||||||||||||||
| AAA | 94.60 | 1.56 | 0.10 | 0.25 | 0.00 | 0.00 | 0.00 | 0.00 | 3.49 | |||||||||||
| AA | 5.75 | 82.22 | 2.98 | 0.57 | 0.49 | 0.00 | 0.08 | 0.21 | 7.68 | |||||||||||
| A | 0.35 | 3.53 | 83.55 | 4.15 | 0.15 | 0.04 | 0.21 | 0.44 | 7.58 | |||||||||||
| BBB | 0.00 | 0.01 | 6.58 | 75.92 | 2.31 | 1.24 | 0.33 | 1.91 | 11.70 | |||||||||||
| BB | 0.00 | 0.47 | 0.94 | 19.27 | 49.44 | 3.95 | 0.19 | 2.35 | 23.40 | |||||||||||
| B | 0.00 | 0.39 | 5.10 | 2.35 | 14.12 | 27.06 | 3.53 | 10.98 | 36.47 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 20.57 | 0.00 | 24.57 | 29.14 | 25.71 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| AAA | 93.21 | 0.93 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 5.86 | |||||||||||
| AA | 3.08 | 84.47 | 3.28 | 0.83 | 0.85 | 0.00 | 0.14 | 0.37 | 6.98 | |||||||||||
| A | 0.00 | 3.57 | 79.63 | 5.14 | 0.28 | 0.09 | 0.39 | 0.51 | 10.38 | |||||||||||
| BBB | 0.00 | 0.03 | 6.22 | 69.86 | 3.21 | 1.84 | 0.67 | 3.26 | 14.91 | |||||||||||
| BB | 0.00 | 0.79 | 0.16 | 24.57 | 41.57 | 4.41 | 0.00 | 3.46 | 25.04 | |||||||||||
| B | 0.00 | 0.61 | 7.98 | 3.68 | 14.72 | 19.63 | 5.52 | 15.34 | 32.52 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 27.69 | 0.00 | 25.38 | 25.38 | 21.54 | |||||||||||
| Financial | ||||||||||||||||||||
| AAA | 95.12 | 1.80 | 0.14 | 0.34 | 0.00 | 0.00 | 0.00 | 0.00 | 2.60 | |||||||||||
| AA | 9.37 | 79.18 | 2.58 | 0.23 | 0.00 | 0.00 | 0.00 | 0.00 | 8.64 | |||||||||||
| A | 0.65 | 3.50 | 86.88 | 3.30 | 0.04 | 0.00 | 0.06 | 0.37 | 5.21 | |||||||||||
| BBB | 0.00 | 0.00 | 6.86 | 80.57 | 1.63 | 0.77 | 0.06 | 0.88 | 9.22 | |||||||||||
| BB | 0.00 | 0.00 | 2.10 | 11.42 | 61.07 | 3.26 | 0.47 | 0.70 | 20.98 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 13.04 | 40.22 | 0.00 | 3.26 | 43.48 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 22.22 | 40.00 | 37.78 | |||||||||||
| Public finance | ||||||||||||||||||||
| AAA | 73.33 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 26.67 | |||||||||||
| AA | 0.00 | 91.87 | 3.01 | 0.29 | 0.00 | 0.00 | 0.00 | 0.00 | 4.84 | |||||||||||
| A | 0.00 | 1.89 | 89.37 | 2.88 | 0.24 | 0.00 | 0.04 | 0.57 | 5.00 | |||||||||||
| BBB | 0.00 | 0.00 | 6.62 | 75.11 | 1.12 | 0.00 | 0.00 | 1.56 | 15.60 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 11.37 | 61.85 | 0.00 | 0.00 | 0.71 | 26.07 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||
Table 11
| Average 36-Month Corporate Transition Rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| Corp and FI | ||||||||||||||||||||
| AAA | 85.58 | 3.36 | 0.29 | 0.88 | 0.00 | 0.00 | 0.00 | 0.00 | 9.88 | |||||||||||
| AA | 16.00 | 54.02 | 4.51 | 2.55 | 1.36 | 0.00 | 0.12 | 0.77 | 20.66 | |||||||||||
| A | 0.72 | 6.80 | 61.84 | 6.45 | 0.78 | 0.11 | 0.29 | 1.79 | 21.23 | |||||||||||
| BBB | 0.55 | 0.44 | 14.57 | 45.15 | 2.27 | 1.75 | 0.32 | 5.38 | 29.56 | |||||||||||
| BB | 0.00 | 0.59 | 2.74 | 18.69 | 16.83 | 2.05 | 0.00 | 8.51 | 50.59 | |||||||||||
| B | 0.00 | 3.40 | 0.00 | 16.17 | 15.32 | 2.13 | 0.00 | 16.17 | 46.81 | |||||||||||
| CCC/C | 0.00 | 0.00 | 7.14 | 7.14 | 0.60 | 0.00 | 0.00 | 41.67 | 43.45 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| AAA | 82.02 | 2.76 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 15.22 | |||||||||||
| AA | 8.27 | 59.22 | 5.94 | 2.77 | 2.36 | 0.00 | 0.22 | 1.34 | 19.88 | |||||||||||
| A | 0.00 | 6.30 | 53.55 | 8.14 | 1.51 | 0.18 | 0.51 | 2.12 | 27.69 | |||||||||||
| BBB | 0.00 | 0.83 | 12.25 | 37.85 | 2.58 | 2.15 | 0.66 | 8.87 | 34.82 | |||||||||||
| BB | 0.00 | 0.95 | 3.79 | 22.24 | 4.89 | 1.89 | 0.00 | 9.62 | 56.62 | |||||||||||
| B | 0.00 | 5.26 | 0.00 | 15.79 | 9.21 | 0.00 | 0.00 | 23.03 | 46.71 | |||||||||||
| CCC/C | 0.00 | 0.00 | 9.76 | 9.76 | 0.81 | 0.00 | 0.00 | 34.15 | 45.53 | |||||||||||
| Financial | ||||||||||||||||||||
| AAA | 86.94 | 3.59 | 0.41 | 1.22 | 0.00 | 0.00 | 0.00 | 0.00 | 7.84 | |||||||||||
| AA | 26.40 | 47.03 | 2.59 | 2.26 | 0.00 | 0.00 | 0.00 | 0.00 | 21.72 | |||||||||||
| A | 1.34 | 7.23 | 69.12 | 4.97 | 0.13 | 0.04 | 0.09 | 1.50 | 15.57 | |||||||||||
| BBB | 0.98 | 0.14 | 16.43 | 50.97 | 2.03 | 1.44 | 0.05 | 2.60 | 25.37 | |||||||||||
| BB | 0.00 | 0.00 | 1.03 | 12.89 | 36.34 | 2.32 | 0.00 | 6.70 | 40.72 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 16.87 | 26.51 | 6.02 | 0.00 | 3.61 | 46.99 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 62.22 | 37.78 | |||||||||||
| Public finance | ||||||||||||||||||||
| AAA | 20.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 80.00 | |||||||||||
| AA | 0.00 | 80.09 | 6.56 | 1.39 | 0.00 | 0.00 | 0.00 | 0.73 | 11.23 | |||||||||||
| A | 0.00 | 4.59 | 71.48 | 6.50 | 0.68 | 0.12 | 0.00 | 2.32 | 14.31 | |||||||||||
| BBB | 0.00 | 0.00 | 17.05 | 43.59 | 1.04 | 0.09 | 0.00 | 4.36 | 33.88 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 22.89 | 34.08 | 0.00 | 0.00 | 0.75 | 42.29 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| Note: The Latin America figures are for the time period from 1997-2018. Data as of Jan. 1, 2021. Source: S&P Global Ratings Research. | ||||||||||||||||||||
Looking at cumulative default rates, we can clearly see the inverse relationship between higher ratings and lower default rates. Over the short term, the relationship is perfectly maintained. As we go out further for corporate and financial institutions together, however, the relationship can break down: The 'mxBBB' rating has a six-year cumulative default rate of 10.3%, higher than the 'mxBB' default rate of 9.2%. Yet we must keep in mind that there were never more than nine 'mxBB' ratings to start a year prior to 2010, which is outside of the 10-year time frame.
Table 12
| Average 60-Month Corporate Transition Rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| Corp and FI | ||||||||||||||||||||
| AAA | 78.21 | 3.64 | 0.13 | 1.92 | 0.00 | 0.00 | 0.00 | 0.00 | 16.10 | |||||||||||
| AA | 22.56 | 35.90 | 4.13 | 3.76 | 1.86 | 0.21 | 0.00 | 1.76 | 29.81 | |||||||||||
| A | 1.24 | 8.31 | 46.02 | 6.69 | 0.83 | 0.22 | 0.23 | 3.70 | 32.75 | |||||||||||
| BBB | 0.98 | 0.64 | 17.96 | 27.25 | 1.81 | 1.39 | 0.26 | 9.06 | 40.66 | |||||||||||
| BB | 0.00 | 1.96 | 3.40 | 16.39 | 11.65 | 0.52 | 0.00 | 9.69 | 56.39 | |||||||||||
| B | 0.00 | 3.67 | 0.00 | 22.02 | 1.38 | 0.00 | 0.00 | 17.43 | 55.50 | |||||||||||
| CCC/C | 0.00 | 0.00 | 10.98 | 0.00 | 0.00 | 0.00 | 0.00 | 42.68 | 46.34 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| AAA | 72.54 | 4.50 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 22.96 | |||||||||||
| AA | 13.47 | 42.36 | 5.12 | 4.60 | 3.14 | 0.00 | 0.00 | 3.10 | 28.21 | |||||||||||
| A | 0.00 | 7.96 | 36.28 | 8.28 | 1.69 | 0.46 | 0.37 | 4.47 | 40.49 | |||||||||||
| BBB | 0.00 | 1.41 | 12.50 | 23.98 | 1.32 | 1.35 | 0.51 | 14.33 | 44.60 | |||||||||||
| BB | 0.00 | 3.08 | 5.36 | 19.97 | 0.65 | 0.00 | 0.00 | 9.74 | 61.20 | |||||||||||
| B | 0.00 | 5.37 | 0.00 | 16.11 | 0.00 | 0.00 | 0.00 | 23.49 | 55.03 | |||||||||||
| CCC/C | 0.00 | 0.00 | 15.13 | 0.00 | 0.00 | 0.00 | 0.00 | 35.29 | 49.58 | |||||||||||
| Financial | ||||||||||||||||||||
| AAA | 80.46 | 3.30 | 0.19 | 2.68 | 0.00 | 0.00 | 0.00 | 0.00 | 13.37 | |||||||||||
| AA | 34.53 | 27.38 | 2.83 | 2.65 | 0.18 | 0.49 | 0.00 | 0.00 | 31.92 | |||||||||||
| A | 2.38 | 8.62 | 54.90 | 5.25 | 0.05 | 0.00 | 0.10 | 3.00 | 25.69 | |||||||||||
| BBB | 1.79 | 0.00 | 22.49 | 29.96 | 2.22 | 1.42 | 0.05 | 4.68 | 37.38 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 10.17 | 30.79 | 1.41 | 0.00 | 9.60 | 48.02 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 34.78 | 4.35 | 0.00 | 0.00 | 4.35 | 56.52 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 62.22 | 37.78 | |||||||||||
| Public finance | ||||||||||||||||||||
| AAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| AA | 0.00 | 68.58 | 7.65 | 2.36 | 0.00 | 0.00 | 0.00 | 1.63 | 19.78 | |||||||||||
| A | 0.00 | 5.20 | 57.69 | 7.98 | 0.44 | 0.00 | 0.00 | 4.95 | 23.75 | |||||||||||
| BBB | 0.00 | 0.00 | 23.12 | 27.74 | 1.91 | 0.00 | 0.00 | 6.96 | 40.26 | |||||||||||
| BB | 0.00 | 0.00 | 6.18 | 25.00 | 18.26 | 0.00 | 0.00 | 0.84 | 49.72 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| Note: The Latin America figures are for the time period from 1997-2018. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||
Table 13
| Mexico CaVal Corporate And Government Default Rates By Rating Category Monthly Static Pools (%) | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (year)-- | ||||||||||||||||||||||
| Rating | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | ||||||||||||
| Corp and FI | ||||||||||||||||||||||
| mxAAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxAA | 0.2 | 0.4 | 0.7 | 1.2 | 1.6 | 1.9 | 2.1 | 2.4 | 2.5 | 2.5 | ||||||||||||
| mxA | 0.4 | 1.2 | 2.0 | 3.0 | 4.1 | 5.3 | 6.4 | 7.2 | 8.1 | 9.1 | ||||||||||||
| mxBBB | 2.0 | 3.9 | 5.5 | 7.3 | 9.0 | 10.4 | 11.5 | 12.8 | 13.5 | 14.1 | ||||||||||||
| mxBB | 2.3 | 4.7 | 8.4 | 9.2 | 9.2 | 9.2 | 10.4 | 11.8 | 13.1 | 13.1 | ||||||||||||
| mxB | 11.0 | 15.0 | 15.0 | 15.0 | 15.0 | 15.0 | 15.0 | 15.0 | 15.0 | 15.0 | ||||||||||||
| mxCCC/C | 27.9 | 39.5 | 39.5 | 39.5 | 39.5 | 39.5 | 39.5 | 39.5 | 39.5 | 39.5 | ||||||||||||
| Investment grade | 0.6 | 1.4 | 2.1 | 2.9 | 3.8 | 4.6 | 5.2 | 5.9 | 6.4 | 6.8 | ||||||||||||
| Speculative grade | 7.0 | 10.6 | 13.3 | 13.9 | 13.9 | 13.9 | 14.8 | 15.8 | 16.8 | 16.8 | ||||||||||||
| All ratings | 0.9 | 1.8 | 2.6 | 3.4 | 4.2 | 4.9 | 5.6 | 6.3 | 6.8 | 7.3 | ||||||||||||
| Nonfinancial | ||||||||||||||||||||||
| mxAAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxAA | 0.4 | 0.7 | 1.3 | 2.0 | 2.8 | 3.3 | 3.7 | 4.2 | 4.5 | 4.5 | ||||||||||||
| mxA | 0.5 | 1.6 | 2.8 | 4.1 | 5.8 | 7.7 | 9.8 | 11.3 | 13.1 | 14.8 | ||||||||||||
| mxBBB | 3.4 | 6.7 | 9.4 | 12.3 | 14.9 | 16.8 | 18.1 | 19.7 | 20.8 | 21.7 | ||||||||||||
| mxBB | 3.5 | 5.7 | 9.8 | 9.8 | 9.8 | 9.8 | 11.7 | 13.7 | 15.7 | 15.7 | ||||||||||||
| mxB | 16.0 | 22.2 | 22.2 | 22.2 | 22.2 | 22.2 | 22.2 | 22.2 | 22.2 | 22.2 | ||||||||||||
| mxCCC/C | 23.9 | 31.4 | 31.4 | 31.4 | 31.4 | 31.4 | 31.4 | 31.4 | 31.4 | 31.4 | ||||||||||||
| Investment grade | 1.1 | 2.4 | 3.6 | 5.0 | 6.5 | 7.7 | 8.8 | 9.9 | 10.9 | 11.7 | ||||||||||||
| Speculative grade | 8.8 | 12.4 | 15.3 | 15.3 | 15.3 | 15.3 | 16.7 | 18.1 | 19.5 | 19.5 | ||||||||||||
| All rated | 1.6 | 3.0 | 4.3 | 5.7 | 7.0 | 8.2 | 9.3 | 10.4 | 11.4 | 12.2 | ||||||||||||
| Financials | ||||||||||||||||||||||
| mxAAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxA | 0.4 | 0.9 | 1.4 | 1.9 | 2.5 | 3.1 | 3.3 | 3.3 | 3.3 | 3.3 | ||||||||||||
| mxBBB | 0.9 | 1.7 | 2.5 | 3.4 | 4.3 | 5.3 | 6.2 | 7.2 | 7.6 | 8.0 | ||||||||||||
| mxBB | 0.7 | 3.3 | 6.3 | 8.4 | 8.4 | 8.4 | 8.4 | 8.4 | 8.4 | 8.4 | ||||||||||||
| mxB | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | 2.9 | ||||||||||||
| mxCCC/C | 40.0 | 62.2 | 62.2 | 62.2 | 62.2 | 62.2 | 62.2 | 62.2 | 62.2 | 62.2 | ||||||||||||
| Investment grade | 0.3 | 0.6 | 1.0 | 1.3 | 1.7 | 2.2 | 2.5 | 2.8 | 2.9 | 3.0 | ||||||||||||
| Speculative grade | 4.0 | 7.8 | 10.1 | 11.7 | 11.7 | 11.7 | 11.7 | 11.7 | 11.7 | 11.7 | ||||||||||||
| All rated | 0.4 | 0.8 | 1.2 | 1.6 | 2.0 | 2.4 | 2.7 | 3.0 | 3.1 | 3.3 | ||||||||||||
| Public finance | ||||||||||||||||||||||
| mxAAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxAA | 0.0 | 0.3 | 0.7 | 1.1 | 1.5 | 1.9 | 2.4 | 3.4 | 4.4 | 5.3 | ||||||||||||
| mxA | 0.6 | 1.2 | 2.2 | 3.4 | 4.5 | 6.1 | 7.9 | 9.5 | 11.1 | 12.7 | ||||||||||||
| mxBBB | 1.5 | 3.0 | 4.1 | 5.2 | 6.3 | 6.5 | 6.5 | 6.5 | 6.5 | 6.5 | ||||||||||||
| mxBB | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | ||||||||||||
| mxB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxCCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| Investment grade | 0.6 | 1.3 | 2.2 | 3.1 | 4.1 | 5.1 | 6.1 | 7.2 | 8.4 | 9.5 | ||||||||||||
| Speculative grade | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | ||||||||||||
| All rated | 0.6 | 1.3 | 2.1 | 3.0 | 3.9 | 4.9 | 6.0 | 7.1 | 8.2 | 9.2 | ||||||||||||
| Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||||
When looking at the rating modifier (the plus or minus sign), we see that the number of CaVal ratings must be taken into account when analyzing rating transitions and default rates (see table 14). For example, the lowest investment-grade rating, 'mxBBB-', has a one-year cumulative default rate of 3.86%, while the highest speculative-grade rating, 'mxBB+', has a one-year cumulative default rate of 1.59%.
Table 14
| Mexico CaVal Corporate And Government Default Rates By Rating Modifier Monthly Static Pools (%) | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (year)-- | ||||||||||||||||||||||
| Rating | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | ||||||||||||
| Corp and FI | ||||||||||||||||||||||
| mxAAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA+ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA | 0.47 | 0.94 | 1.43 | 2.32 | 3.31 | 3.80 | 4.31 | 4.84 | 4.84 | 4.84 | ||||||||||||
| mxAA- | 0.08 | 0.08 | 0.68 | 0.89 | 0.89 | 0.89 | 0.89 | 0.89 | 2.26 | 2.26 | ||||||||||||
| mxA+ | 0.32 | 0.97 | 1.32 | 1.32 | 1.32 | 1.32 | 1.32 | 1.32 | 1.80 | 2.84 | ||||||||||||
| mxA | 0.17 | 0.64 | 1.40 | 1.81 | 1.81 | 2.30 | 4.04 | 5.97 | 8.14 | 10.61 | ||||||||||||
| mxA- | 0.72 | 1.79 | 2.88 | 4.68 | 7.08 | 9.31 | 10.41 | 10.80 | 11.19 | 11.19 | ||||||||||||
| mxBBB+ | 1.25 | 2.40 | 3.91 | 5.50 | 6.39 | 7.44 | 8.55 | 10.39 | 12.20 | 12.59 | ||||||||||||
| mxBBB | 1.43 | 3.30 | 4.31 | 5.07 | 6.89 | 8.50 | 10.25 | 10.90 | 10.98 | 11.76 | ||||||||||||
| mxBBB- | 3.88 | 6.94 | 9.72 | 13.48 | 16.05 | 17.69 | 17.69 | 19.25 | 19.40 | 20.23 | ||||||||||||
| mxBB+ | 1.57 | 4.92 | 9.68 | 10.92 | 10.92 | 10.92 | 12.24 | 12.24 | 12.24 | 12.24 | ||||||||||||
| mxBB | 3.20 | 4.05 | 5.32 | 5.32 | 5.32 | 5.32 | 7.21 | 13.07 | 19.36 | 19.36 | ||||||||||||
| mxBB- | 4.47 | 4.47 | 6.90 | 6.90 | 6.90 | 6.90 | 6.90 | 6.90 | 6.90 | 6.90 | ||||||||||||
| mxB+ | 10.14 | 17.33 | 17.33 | 17.33 | 17.33 | 17.33 | 17.33 | 17.33 | 17.33 | 17.33 | ||||||||||||
| mxB | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | 10.84 | ||||||||||||
| mxB- | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | 14.54 | ||||||||||||
| mxCCC+ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxCCC | 22.02 | 35.19 | 35.19 | 35.19 | 35.19 | 35.19 | 35.19 | 35.19 | 35.19 | 35.19 | ||||||||||||
| mxCCC- | 33.33 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||
| mxCC | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | ||||||||||||
| mxC | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||
| Investment grade | 0.64 | 1.37 | 2.08 | 2.91 | 3.76 | 4.55 | 5.22 | 5.87 | 6.38 | 6.82 | ||||||||||||
| Speculative grade | 6.97 | 10.64 | 13.30 | 13.87 | 13.87 | 13.87 | 14.80 | 15.79 | 16.76 | 16.76 | ||||||||||||
| All ratings | 0.92 | 1.77 | 2.57 | 3.39 | 4.20 | 4.95 | 5.63 | 6.30 | 6.83 | 7.25 | ||||||||||||
| Government | ||||||||||||||||||||||
| mxAAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA+ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA- | 0.00 | 0.81 | 1.74 | 2.70 | 3.71 | 4.76 | 6.04 | 8.33 | 10.78 | 12.96 | ||||||||||||
| mxA+ | 0.38 | 1.29 | 3.31 | 5.93 | 8.39 | 10.98 | 13.63 | 15.92 | 17.86 | 19.48 | ||||||||||||
| mxA | 1.03 | 1.80 | 2.36 | 2.63 | 3.28 | 3.96 | 4.68 | 5.45 | 6.69 | 8.24 | ||||||||||||
| mxA- | 0.34 | 0.59 | 0.59 | 0.59 | 0.59 | 1.77 | 3.25 | 4.84 | 6.32 | 8.05 | ||||||||||||
| mxBBB+ | 2.87 | 4.80 | 5.87 | 6.82 | 8.59 | 8.92 | 8.92 | 8.92 | 8.92 | 8.92 | ||||||||||||
| mxBBB | 0.00 | 1.47 | 3.28 | 5.17 | 5.50 | 5.50 | 5.50 | 5.50 | 5.50 | 5.50 | ||||||||||||
| mxBBB- | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxBB+ | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | ||||||||||||
| mxBB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxBB- | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | 1.25 | ||||||||||||
| mxB+ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxCCC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| Investment grade | 0.60 | 1.33 | 2.17 | 3.09 | 4.05 | 5.06 | 6.13 | 7.25 | 8.37 | 9.49 | ||||||||||||
| Speculative grade | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | ||||||||||||
| All ratings | 0.60 | 1.31 | 2.12 | 3.01 | 3.94 | 4.92 | 5.95 | 7.05 | 8.15 | 9.24 | ||||||||||||
| Note: The Latin America figures are for the time period from 1997-2018. Data as of Jan. 1, 2021. N/A--Not applicable. Source: S&P Global Fixed Income Research. | ||||||||||||||||||||||
Gini Ratios And Lorenz Curves
A quantitative measure of ratings performance indicates that the relative rank ordering of Mexican CaVal ratings is consistent across various time horizons. To measure ratings performance, or ratings accuracy, we plotted the cumulative share of issuers by rating against the cumulative share of defaulters in a Lorenz curve to render the accuracy of their rank ordering (see charts 4-6).
Our calculations indicate that the one-year transition to default among Mexican CaVal corporate ratings shows an average one-year Gini coefficient of 72%, a three-year Gini coefficient of 65%, and a five-year Gini coefficient of 58%. If ratings only randomly approximated default risk, the Gini coefficient would be zero. On the other hand, if corporate ratings were perfectly rank ordered so that all defaults occurred only among the lowest-rated entities, the Lorenz curve would capture all of the area on the graph above the diagonal, and its Gini coefficient would be 100%.
As expected, the Gini coefficients decline as the time horizon lengthens (see table 15) because longer time horizons allow for more credit degradation among higher-rated entities. In the one-year curve, for example, 35% of defaults occurred among issuers rated 'mxBB+' or lower, while 'mxBB+' or lower ratings accounted for only 4.6% of all issuers (see chart 4). The five-year Lorenz curve shows that issuers rated 'mxBB+' or lower constituted 16.9% of defaulters and only 5.3% of the entire sample (see chart 6). If the rank ordering of ratings had little predictive value, the cumulative share of defaulting corporate entities and the cumulative share of all entities would be nearly the same. The low Gini ratios for Mexican CaVal corporate issuers result in large part from the 2009 global financial crisis.
Public finance ratings on the Mexican CaVal scale have had lower Gini ratios because of the mapping of global scale ratings to national scale ratings. The effect of this is most apparent in the five-year time frame, during which ratings of 'mxBB+' or lower account for only 3% of all ratings and 0.6% of defaults, while 90% of five-year defaults occur at or below 'mxA+' for public finance ratings and ratings 'mxA+' and lower represent 74% of all ratings.
Table 15
| Mexico CaVal Corporate And Government Gini Coefficients By Broad Sector (%) | ||||||||
|---|---|---|---|---|---|---|---|---|
| --Time horizon-- | ||||||||
| Region | One-year | Three-year | Five-year | |||||
| Most recent for corp and FI | 79 | 66 | 79 | |||||
| Corp and FI | 76 | 67 | 61 | |||||
| Nonfinancial | 73 | 63 | 56 | |||||
| Financial | 77 | 68 | 64 | |||||
| Public finance | 38 | 12 | 5 | |||||
| N/A--Not applicable. Data as of Jan. 1, 2021. Source: S&P Global Fixed Income Research. | ||||||||
Chart 4
Chart 5
Chart 6
Appendix I: Default Methodology And Definitions
This long-term corporate, financial, insurance, and public finance default and rating transition study uses long-term local currency issuer credit ratings assigned on the CaVal national scale. The analysis excludes public information ("pi") ratings and ratings based on the guarantee of another company or government entity. We also do not include short-term issuer ratings.
An S&P Global Ratings issuer credit rating is a forward-looking opinion about an obligor's overall creditworthiness. This opinion focuses on the obligor's capacity and willingness to meet its financial commitments as they come due. 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. Counterparty credit ratings, corporate credit ratings, and sovereign credit ratings are all forms of issuer credit ratings. Issuer credit ratings can be either long term or short term.
Our ongoing enhancement of the database used to generate this study could lead to outcomes that differ to some degree from those reported in previous studies. However, this poses no continuity problem because each study reports statistics back to Dec. 31, 1999. Therefore, each annual default study is self-contained and effectively supersedes all previous versions.
Issuers included in this study
This study analyzes the rating histories of 521 issuers that S&P Global Ratings rated as of Dec. 31, 1998, or that were first rated between that date and Dec. 31, 2020. These include industrials, utilities, financial institutions, insurance companies, and public-sector issuers with CaVal Mexican national scale ratings. We excluded structured finance vehicles, project finance, and sovereign issuers from this study.
To avoid overcounting, we exclude subsidiaries with debt that is fully guaranteed by a parent or with default risk that is considered identical to that of the parent. The latter are companies with obligations that are not legally guaranteed by a parent but that have operating or financing activities that are so inextricably entwined with those of the parent that it would be impossible to imagine the default of one and not the other. At times, however, some of these subsidiaries might not yet have been covered by a parent's guarantee, or the relationship that combines the default risk of parent and subsidiary might have come to an end or might not have begun. We included such subsidiaries for the period during which they had distinct and separate risk of default.
Issuers with withdrawn ratings
S&P Global Ratings withdraws ratings when an entity's entire debt is paid off or when the program or programs rated are terminated and the relevant debt extinguished. For the purposes of this study, a corporate rating may be withdrawn as a result of mergers and acquisitions. Others are withdrawn because of a lack of cooperation, particularly when a company is experiencing financial difficulties and refuses to provide all the information needed to continue surveillance on the ratings, or at the entity's request.
Definition of default
An obligor rated 'SD' (selective default) or 'D' (default) is in payment default on one or more of its financial obligations (rated or unrated) unless S&P Global Ratings believes that such payments will be made within five business days in the absence of a stated grace period or within the earlier of the stated grace period or 30 calendar days. S&P Global Ratings also lowers a rating to 'D' upon an issuer's filing for bankruptcy or taking a similar action that jeopardizes payments on a financial obligation. The 'D' rating is assigned when S&P Global Ratings believes the default will be a general default and that the obligor will fail to pay all or substantially all of its obligations as they come due.
S&P Global Ratings assigns the 'SD' rating when it believes that the obligor has selectively defaulted on a specific issue or class of obligations but will continue to meet its payment obligations on other issues or classes of obligations in a timely manner. A selective default includes the completion of a distressed exchange offer, whereby one or more financial obligations is either repurchased for an amount of cash or replaced by other instruments having a total value that is less than par.
A rating of 'R' (regulatory intervention) indicates that an obligor is under regulatory supervision owing to its financial condition. This does not necessarily indicate a default event, but during the pendency of the regulatory supervision, the regulators may have the power to favor one class of obligations over others or pay some obligations and not others. Preferred stock is not considered a financial obligation; thus, a missed preferred stock dividend is not normally equated with default.
We deem 'D', 'SD', and 'R' issuer ratings to be defaults for the purposes of this study. A default is assumed to take place on the earliest of: the date S&P Global Ratings revised the rating(s) to 'D', 'SD', or 'R'; the date a debt payment was missed; the date a distressed exchange offer was announced; or the date the debtor filed for, or was forced into, bankruptcy.
When an issuer defaults, it is not uncommon for S&P Global Ratings to subsequently withdraw the 'D' rating. For the purposes of this study, if an issuer defaults, we end its rating history at 'D'. If any defaulting entity reemerges from bankruptcy--or otherwise restructures its defaulted debt instruments, thereby reestablishing regular, timely payment of all its debts--we reenter this issuer into the database as a new entity. Its rating history after the default event is included in all calculations as entirely separate from its experience leading up to its earlier default.
Many practitioners use statistics from this default study to estimate "probability of default" and "probability of rating transition." It is important to note that S&P Global Ratings' credit ratings do not imply a specific probability of default.
Calculations
Static pool methodology. We conduct our default studies on the basis of groupings called static pools. For the purposes of this study, we form static pools by grouping issuers by rating category at the beginning of each year, quarter, or month that the database covers. Each static pool is followed from that point forward. All companies included in the study are assigned to one or more static pools. When an issuer defaults, we assign that default back to all of the static pools to which the issuer belonged.
We use the static pool methodology to avoid certain pitfalls in estimating default rates, ensuring that default rates account for rating migration and allowing them to be calculated across multiperiod time horizons. 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. Other methods may calculate default rates using only the most recent year's default and rating data, which may yield comparatively low default rates during periods of high rating activity because they ignore prior years' default activity.
The pools are static in the sense that their membership remains constant over time. Each static pool can be interpreted as a buy-and-hold portfolio. Because errors, if any, are corrected by every new update and because the criteria for inclusion or exclusion of companies in the default study are subject to minor revisions as time goes by, it is not possible to compare static pools across different studies. Therefore, every new update revises results back to the same starting date of Dec. 31, 1998, to avoid continuity problems.
Entities that have had ratings withdrawn--that is, revised to not rated ("NR")--are surveilled with the aim of capturing a potential default. Because static pools only include 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. If the rating on an entity is withdrawn after the start date of a particular static pool and the entity subsequently defaults, we will include it in that static pool as a default and categorize it in the rating category of which it was a member at that time.
For instance, the 1999 static pool consists of all companies rated as of 12:01 a.m. on Jan. 1, 1999. Adding those companies first rated in 1999 to the surviving members of the 1999 static pool forms the 2000 static pool. All rating changes that took place are reflected in the newly formed 1999 static pool through the ratings on these entities as of 12:01 a.m. on Jan. 1, 1999. We used the same method to form static pools for 1999 through 2020. From Jan. 1, 1999, to Dec. 31, 2020, a total of 521 first-time-rated organizations were added to form new static pools.
Consider the following example: An issuer is originally rated 'mxBB' in mid-2006 and is downgraded to 'mxB' in 2008. This is followed by a rating withdrawal in 2010 and a default in 2013. We would include this hypothetical company in the 2007 and 2008 pools with the 'mxBB' rating, which was the rating on the issuer at the beginning of those years. Likewise, it would be included in the 2009 and 2010 pools with the 'B' rating. It would not be part of the 2006 pool because it was not rated as of the first day of that year, and it would not be included in any pool after the last day of 2010 because the rating had been withdrawn by then. Yet each of the four pools in which this company was included (2007-2010) would record its 2013 default at the appropriate time horizon.
Default rate calculation. We calculated annual default rates for each static pool, first in units and later as percentages with respect to the number of issuers in each rating category. We combined these percentages to obtain cumulative default rates for the 22 years the study covers.
Issuer-weighted default rates. 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. Although dollar amounts provide information about the portion of the market that is affected by defaults or rating changes, issuer-weighted averages are more useful measures of the performance of ratings.
Average cumulative default rate calculation. The cumulative default rates in this study average the experience of all static pools by first calculating marginal default rates for each possible time horizon and for each static pool, weight-averaging the marginal default rates conditional on survival (survivors being nondefaulters), and accumulating the average conditional marginal default rates. We calculated conditional default rates by dividing the number of issuers in a static pool that default at a specific time horizon by the number of issuers that survived (did not default) to that point in time. Weights are based on the number of issuers in each static pool. Cumulative default rates are one minus the product of the proportion of survivors (nondefaulters).
Transition analysis
Transition rates compare issuer ratings at the beginning of a period with ratings at the end of the period. To compute one-year rating transition rates by rating category, we compared the rating on each entity at the end of a particular year with the rating at the beginning of the same year. An issuer that remained rated for more than one year was counted as many times as the number of years it was rated. For instance, an issuer continually rated from the middle of 2004 to the middle of 2011 would appear in the seven consecutive one-year transition matrices from 2005 to 2011. If the rating on the issuer was withdrawn in the middle of 2011, it would be included in the column representing transitions to "NR" in the 2011 transition matrix. Similarly, if it defaulted in the middle of 2011, it would be included in the column representing transitions to 'D' in the 2011 one-year transition matrix. All 1999 static pool members still rated on Jan. 1, 2020, had 22 one-year transitions, while companies first rated on Jan. 1, 2020, had only one.
The only ratings considered in these calculations are those on entities at the beginning of each static pool and those at the end. All rating changes that occur in between are ignored. For example, if an entity was rated 'mxA' on Jan. 1, 2020, and was downgraded to 'mxBBB' in the middle of the year and then upgraded to 'mxA' 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 'mxA' that ended the year as 'mxA'. This also applies to transition matrices that span longer time horizons. If an issuer defaults or if the rating on the issuer is withdrawn in the middle of the year, then it would be considered either rated 'D' or not rated as of Dec. 31 of that particular year.
Multiyear transitions. Multiyear transitions were also calculated for periods of two to 15 years. In this case, we compared the rating at the beginning of the multiyear period with the rating at the end. For example, three-year transition matrices were the result of comparing ratings at the beginning of the years 1999-2016 with the ratings at the end of the years 2001-2019. Otherwise, the methodology was identical to that used for single-year transitions.
We calculated average transition matrices based on the multiyear matrices just described. These average matrices are a true summary, the ratios of which represent the historical incidence of the ratings listed on the first column changing to the ones listed in the top row over the course of the multiyear period (see tables 10-12). Transition matrices that present averages over multiple time horizons are also calculated as issuer-weighted averages.
Rating modifiers
We use rating modifiers (plus and minus signs) to calculate the upgrade and downgrade percentages, as well as the magnitude of rating changes, throughout this study. However, some transition tables may use full rating categories for practical reasons. In other words, the use of a rating category suggests that transitions to, for example, 'mxAA' from 'mxAA-' or to 'mxBBB+' from 'mxBBB-' are not considered to be rating transitions because the rating remained within the rating category.
Comparing transition rates with default rates
Rating transition rates may be compared with the marginal and cumulative default rates described in the previous sections. For example, the one-year default rate column of table 13 is equivalent to column 'D' of the average one-year transition matrix in table 10 and the cumulative average in the summary statistics of the year one column in table 16. However, the three-year default rate column in table 13 is not the same as column 'D' of the average three-year transition matrix in table 11. This difference results from the different methods of calculating default rates. The default rates in table 13 are calculated as conditional on survival, while those in table 9-11 are average default rates not conditional on survival. The three-year default rates in table 13 are calculated in the same way as those in the cumulative average section for the year three column in table 16, while those in the 'D' column of table 11 are equivalent to adding up all the defaults behind the year three column's annual default rates in table 16 and dividing by the sum of all the issuers in table 16 for the years 1999-2020.
The links between transition matrices and average cumulative default rates can be best illustrated through tables 16, 17, and 18. The default rates in the columns of these tables, associated with each static pool year, are calculated in the same way as they would be for individual years' one-year transition matrices. Tables 16, 17, and 18 are broken out by the broadest rating classifications (all rated, investment grade, and speculative grade). These tables can also be constructed for each rating category.
As an example, the year three column of table 16 shows the three-year default rates (not conditional on survival) for each static pool. These are calculated in the same way as the default column in table 13, though table 13 shows the one-year default rates for each rating category for 2020 exclusively. In the summary section at the bottom of tables 16, 17, and 18, the first row shows the issuer-weighted averages of the marginal default rates. These marginal averages are then used to calculate the cumulative average default rates in the row directly beneath them, as explained in the "Average cumulative default rate" section above. These default rates are the same that appear in table 9 and are average cumulative default rates conditional on survival.
Time sample
This update limits the reporting of default rates to the 10-year time horizon. However, the data were gathered for 21 years, and all calculations are based on the rating experience of that period. In addition, average default statistics become less reliable at longer time horizons as the sample size becomes smaller and the cyclical nature of default rates has a bigger effect on averages.
Table 16
| Static Pool Cumulative Default Rates Among Mexico CaVal Corporate And Government (1998-2019) (%) | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: All rated | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 1999 | 27 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 7.41 | |||||||||||||
| 2000 | 39 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.56 | 5.13 | |||||||||||||
| 2001 | 60 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.67 | 5.00 | 6.67 | |||||||||||||
| 2002 | 100 | 3.00 | 4.00 | 4.00 | 4.00 | 4.00 | 4.00 | 5.00 | 9.00 | 10.00 | 10.00 | |||||||||||||
| 2003 | 116 | 0.86 | 0.86 | 0.86 | 1.72 | 1.72 | 2.59 | 6.03 | 6.90 | 6.90 | 6.90 | |||||||||||||
| 2004 | 150 | 0.00 | 0.00 | 0.67 | 0.67 | 1.33 | 4.00 | 4.67 | 4.67 | 5.33 | 6.67 | |||||||||||||
| 2005 | 156 | 0.00 | 0.64 | 0.64 | 1.28 | 5.13 | 6.41 | 6.41 | 7.05 | 8.33 | 8.33 | |||||||||||||
| 2006 | 159 | 0.63 | 0.63 | 1.26 | 5.66 | 6.92 | 6.92 | 8.18 | 10.69 | 10.69 | 11.32 | |||||||||||||
| 2007 | 170 | 0.00 | 0.59 | 4.71 | 5.29 | 5.29 | 6.47 | 8.82 | 8.82 | 9.41 | 9.41 | |||||||||||||
| 2008 | 176 | 1.14 | 5.11 | 6.25 | 6.25 | 7.39 | 9.66 | 9.66 | 10.23 | 10.23 | 10.23 | |||||||||||||
| 2009 | 176 | 3.98 | 5.11 | 5.11 | 6.25 | 8.52 | 9.09 | 9.66 | 9.66 | 9.66 | 10.23 | |||||||||||||
| 2010 | 170 | 1.18 | 1.18 | 2.35 | 4.71 | 5.29 | 5.88 | 5.88 | 5.88 | 6.47 | 6.47 | |||||||||||||
| 2011 | 163 | 0.00 | 2.45 | 4.91 | 5.52 | 6.13 | 6.13 | 6.13 | 6.75 | 6.75 | 6.75 | |||||||||||||
| 2012 | 167 | 2.40 | 4.79 | 5.39 | 5.99 | 5.99 | 5.99 | 6.59 | 6.59 | 6.59 | ||||||||||||||
| 2013 | 156 | 1.92 | 2.56 | 3.21 | 3.21 | 3.21 | 3.85 | 3.85 | 3.85 | |||||||||||||||
| 2014 | 142 | 0.70 | 1.41 | 1.41 | 1.41 | 2.11 | 2.11 | 2.82 | ||||||||||||||||
| 2015 | 144 | 0.69 | 0.69 | 0.69 | 1.39 | 1.39 | 2.08 | |||||||||||||||||
| 2016 | 149 | 0.00 | 0.00 | 0.67 | 0.67 | 1.34 | ||||||||||||||||||
| 2017 | 149 | 0.00 | 0.67 | 0.67 | 2.01 | |||||||||||||||||||
| 2018 | 144 | 0.69 | 0.69 | 2.08 | ||||||||||||||||||||
| 2019 | 143 | 0.00 | 1.40 | |||||||||||||||||||||
| 2020 | 135 | 1.48 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 0.97 | 0.88 | 0.83 | 0.84 | 0.81 | 0.78 | 0.75 | 0.70 | 0.53 | 0.46 | ||||||||||||||
| Cumulative average | 0.97 | 1.84 | 2.66 | 3.47 | 4.26 | 5.01 | 5.72 | 6.38 | 6.88 | 7.30 | ||||||||||||||
| Standard deviation | 1.25 | 1.77 | 2.04 | 2.27 | 2.61 | 2.79 | 2.95 | 3.13 | 2.55 | 1.92 | ||||||||||||||
| Median | 0.69 | 0.86 | 1.75 | 3.21 | 3.85 | 4.00 | 5.96 | 6.75 | 6.82 | 7.41 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.56 | 5.13 | ||||||||||||||
| Maximum | 3.98 | 5.11 | 6.25 | 6.25 | 8.52 | 9.66 | 9.66 | 10.69 | 10.69 | 11.32 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: All rated | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 1999 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2000 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2001 | 28 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 3.57 | |||||||||||||
| 2002 | 49 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.04 | 2.04 | |||||||||||||
| 2003 | 60 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.67 | 1.67 | 11.67 | |||||||||||||
| 2004 | 77 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.30 | 1.30 | 10.39 | 11.69 | |||||||||||||
| 2005 | 82 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.22 | 1.22 | 9.76 | 10.98 | 10.98 | |||||||||||||
| 2006 | 81 | 0.00 | 0.00 | 0.00 | 0.00 | 1.23 | 1.23 | 9.88 | 11.11 | 11.11 | 11.11 | |||||||||||||
| 2007 | 80 | 0.00 | 0.00 | 0.00 | 1.25 | 1.25 | 10.00 | 11.25 | 11.25 | 11.25 | 11.25 | |||||||||||||
| 2008 | 82 | 0.00 | 0.00 | 1.22 | 1.22 | 9.76 | 10.98 | 10.98 | 10.98 | 10.98 | 10.98 | |||||||||||||
| 2009 | 74 | 0.00 | 1.35 | 1.35 | 10.81 | 12.16 | 12.16 | 12.16 | 12.16 | 12.16 | 12.16 | |||||||||||||
| 2010 | 69 | 1.45 | 1.45 | 11.59 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | |||||||||||||
| 2011 | 57 | 0.00 | 8.77 | 10.53 | 10.53 | 10.53 | 10.53 | 10.53 | 10.53 | 10.53 | 10.53 | |||||||||||||
| 2012 | 49 | 8.16 | 12.24 | 12.24 | 12.24 | 12.24 | 12.24 | 12.24 | 12.24 | 12.24 | ||||||||||||||
| 2013 | 46 | 4.35 | 4.35 | 4.35 | 4.35 | 4.35 | 4.35 | 4.35 | 4.35 | |||||||||||||||
| 2014 | 46 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||
| 2015 | 48 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| 2016 | 46 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
| 2017 | 43 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
| 2018 | 42 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
| 2019 | 42 | 0.00 | 0.00 | |||||||||||||||||||||
| 2020 | 40 | 0.00 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 0.61 | 0.73 | 0.86 | 0.90 | 0.95 | 1.01 | 1.08 | 1.16 | 1.24 | 1.19 | ||||||||||||||
| Cumulative average | 0.61 | 1.34 | 2.18 | 3.07 | 3.99 | 4.96 | 5.99 | 7.08 | 8.24 | 9.33 | ||||||||||||||
| Standard deviation | 1.94 | 3.26 | 4.18 | 4.83 | 5.23 | 5.50 | 5.62 | 5.49 | 5.38 | 4.96 | ||||||||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.22 | 2.82 | 9.76 | 10.75 | 10.98 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Maximum | 8.16 | 12.24 | 12.24 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | ||||||||||||||
| Data as of Jan. 1, 2020. Source: S&P Global Ratings Research. | ||||||||||||||||||||||||
Table 17
| Static Pool Cumulative Corporate Default Rates Among Investment-Grade Latin America Ratings (1999-2019) (%) | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: Investment grade | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 1999 | 27 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 3.70 | 7.41 | |||||||||||||
| 2000 | 37 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.70 | 5.41 | |||||||||||||
| 2001 | 57 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.75 | 5.26 | 7.02 | |||||||||||||
| 2002 | 97 | 2.06 | 3.09 | 3.09 | 3.09 | 3.09 | 3.09 | 4.12 | 8.25 | 9.28 | 9.28 | |||||||||||||
| 2003 | 113 | 0.88 | 0.88 | 0.88 | 1.77 | 1.77 | 2.65 | 6.19 | 7.08 | 7.08 | 7.08 | |||||||||||||
| 2004 | 142 | 0.00 | 0.00 | 0.70 | 0.70 | 1.41 | 4.23 | 4.93 | 4.93 | 5.63 | 7.04 | |||||||||||||
| 2005 | 148 | 0.00 | 0.68 | 0.68 | 1.35 | 5.41 | 6.76 | 6.76 | 7.43 | 8.78 | 8.78 | |||||||||||||
| 2006 | 153 | 0.65 | 0.65 | 1.31 | 5.23 | 6.54 | 6.54 | 7.84 | 10.46 | 10.46 | 11.11 | |||||||||||||
| 2007 | 159 | 0.00 | 0.63 | 3.14 | 3.77 | 3.77 | 5.03 | 7.55 | 7.55 | 8.18 | 8.18 | |||||||||||||
| 2008 | 169 | 1.18 | 4.73 | 5.92 | 5.92 | 7.10 | 9.47 | 9.47 | 10.06 | 10.06 | 10.06 | |||||||||||||
| 2009 | 166 | 1.20 | 2.41 | 2.41 | 3.61 | 6.02 | 6.63 | 7.23 | 7.23 | 7.23 | 7.83 | |||||||||||||
| 2010 | 156 | 0.64 | 0.64 | 1.92 | 4.49 | 5.13 | 5.77 | 5.77 | 5.77 | 5.77 | 5.77 | |||||||||||||
| 2011 | 149 | 0.00 | 0.67 | 3.36 | 4.03 | 4.70 | 4.70 | 4.70 | 4.70 | 4.70 | 4.70 | |||||||||||||
| 2012 | 156 | 0.64 | 2.56 | 3.21 | 3.85 | 3.85 | 3.85 | 3.85 | 3.85 | 3.85 | ||||||||||||||
| 2013 | 148 | 1.35 | 2.03 | 2.70 | 2.70 | 2.70 | 3.38 | 3.38 | 3.38 | |||||||||||||||
| 2014 | 137 | 0.73 | 1.46 | 1.46 | 1.46 | 2.19 | 2.19 | 2.92 | ||||||||||||||||
| 2015 | 142 | 0.70 | 0.70 | 0.70 | 1.41 | 1.41 | 2.11 | |||||||||||||||||
| 2016 | 145 | 0.00 | 0.00 | 0.00 | 0.00 | 0.69 | ||||||||||||||||||
| 2017 | 145 | 0.00 | 0.69 | 0.69 | 2.07 | |||||||||||||||||||
| 2018 | 142 | 0.70 | 0.70 | 2.11 | ||||||||||||||||||||
| 2019 | 138 | 0.00 | 1.45 | |||||||||||||||||||||
| 2020 | 130 | 1.54 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 0.63 | 0.74 | 0.70 | 0.83 | 0.85 | 0.82 | 0.73 | 0.68 | 0.50 | 0.48 | ||||||||||||||
| Cumulative average | 0.63 | 1.36 | 2.06 | 2.88 | 3.70 | 4.49 | 5.19 | 5.83 | 6.30 | 6.75 | ||||||||||||||
| Standard deviation | 0.90 | 1.31 | 1.55 | 1.80 | 2.20 | 2.47 | 2.65 | 2.94 | 2.48 | 1.84 | ||||||||||||||
| Median | 0.65 | 0.70 | 1.69 | 2.70 | 3.40 | 3.85 | 4.81 | 5.77 | 6.42 | 7.41 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.70 | 4.70 | ||||||||||||||
| Maximum | 3.70 | 4.73 | 5.92 | 5.92 | 7.10 | 9.47 | 9.47 | 10.46 | 10.46 | 11.11 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: Investment grade | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 1999 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2000 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2001 | 28 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 3.57 | |||||||||||||
| 2002 | 48 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.08 | 2.08 | |||||||||||||
| 2003 | 59 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.69 | 1.69 | 11.86 | |||||||||||||
| 2004 | 76 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.32 | 1.32 | 10.53 | 11.84 | |||||||||||||
| 2005 | 81 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.23 | 1.23 | 9.88 | 11.11 | 11.11 | |||||||||||||
| 2006 | 77 | 0.00 | 0.00 | 0.00 | 0.00 | 1.30 | 1.30 | 10.39 | 11.69 | 11.69 | 11.69 | |||||||||||||
| 2007 | 78 | 0.00 | 0.00 | 0.00 | 1.28 | 1.28 | 10.26 | 11.54 | 11.54 | 11.54 | 11.54 | |||||||||||||
| 2008 | 81 | 0.00 | 0.00 | 1.23 | 1.23 | 9.88 | 11.11 | 11.11 | 11.11 | 11.11 | 11.11 | |||||||||||||
| 2009 | 73 | 0.00 | 1.37 | 1.37 | 10.96 | 12.33 | 12.33 | 12.33 | 12.33 | 12.33 | 12.33 | |||||||||||||
| 2010 | 69 | 1.45 | 1.45 | 11.59 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | |||||||||||||
| 2011 | 55 | 0.00 | 9.09 | 10.91 | 10.91 | 10.91 | 10.91 | 10.91 | 10.91 | 10.91 | 10.91 | |||||||||||||
| 2012 | 48 | 8.33 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | ||||||||||||||
| 2013 | 43 | 2.33 | 2.33 | 2.33 | 2.33 | 2.33 | 2.33 | 2.33 | 2.33 | |||||||||||||||
| 2014 | 40 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||
| 2015 | 43 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| 2016 | 43 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
| 2017 | 41 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
| 2018 | 41 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
| 2019 | 42 | 0.00 | 0.00 | |||||||||||||||||||||
| 2020 | 39 | 0.00 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 0.54 | 0.75 | 0.89 | 0.93 | 0.99 | 1.05 | 1.11 | 1.18 | 1.27 | 1.22 | ||||||||||||||
| Cumulative average | 0.54 | 1.29 | 2.17 | 3.08 | 4.04 | 5.04 | 6.10 | 7.21 | 8.39 | 9.50 | ||||||||||||||
| Standard deviation | 1.83 | 3.27 | 4.22 | 4.89 | 5.31 | 5.61 | 5.78 | 5.69 | 5.48 | 5.05 | ||||||||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.23 | 1.82 | 9.88 | 11.01 | 11.11 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Maximum | 8.33 | 12.50 | 12.50 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | 13.04 | ||||||||||||||
| Data as of Jan. 1, 2020. Source: S&P Global Ratings Research. | ||||||||||||||||||||||||
Table 18
| Static Pool Cumulative Corporate Default Rates Among Speculative-Grade Latin America Ratings (1999-2019) (%) | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: Speculative grade | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 2000 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2001 | 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2002 | 3 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | |||||||||||||
| 2003 | 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2004 | 8 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2005 | 8 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2006 | 6 | 0.00 | 0.00 | 0.00 | 16.67 | 16.67 | 16.67 | 16.67 | 16.67 | 16.67 | 16.67 | |||||||||||||
| 2007 | 11 | 0.00 | 0.00 | 27.27 | 27.27 | 27.27 | 27.27 | 27.27 | 27.27 | 27.27 | 27.27 | |||||||||||||
| 2008 | 7 | 0.00 | 14.29 | 14.29 | 14.29 | 14.29 | 14.29 | 14.29 | 14.29 | 14.29 | 14.29 | |||||||||||||
| 2009 | 10 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | |||||||||||||
| 2010 | 14 | 7.14 | 7.14 | 7.14 | 7.14 | 7.14 | 7.14 | 7.14 | 7.14 | 14.29 | 14.29 | |||||||||||||
| 2011 | 14 | 0.00 | 21.43 | 21.43 | 21.43 | 21.43 | 21.43 | 21.43 | 28.57 | 28.57 | 28.57 | |||||||||||||
| 2012 | 11 | 27.27 | 36.36 | 36.36 | 36.36 | 36.36 | 36.36 | 45.45 | 45.45 | 45.45 | ||||||||||||||
| 2013 | 8 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | 12.50 | |||||||||||||||
| 2014 | 5 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||
| 2015 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| 2016 | 4 | 0.00 | 0.00 | 25.00 | 25.00 | 25.00 | ||||||||||||||||||
| 2017 | 4 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
| 2018 | 2 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
| 2019 | 5 | 0.00 | 0.00 | |||||||||||||||||||||
| 2020 | 5 | 0.00 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 8.15 | 4.20 | 3.67 | 0.97 | 0.00 | 0.00 | 1.08 | 1.15 | 1.27 | 0.00 | ||||||||||||||
| Cumulative average | 8.15 | 12.01 | 15.24 | 16.06 | 16.06 | 16.06 | 16.96 | 17.92 | 18.96 | 18.96 | ||||||||||||||
| Standard deviation | 13.70 | 14.99 | 15.73 | 15.61 | 15.71 | 15.98 | 17.12 | 17.48 | 17.93 | 16.58 | ||||||||||||||
| Median | 0.00 | 0.00 | 0.00 | 9.82 | 12.50 | 9.82 | 12.50 | 13.39 | 14.29 | 14.29 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Maximum | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: Speculative grade | ||||||||||||||||||||||||
| --Time horizon (year)-- | ||||||||||||||||||||||||
| Year | Issuers | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |||||||||||||
| 2002 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2003 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2004 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2005 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2006 | 4 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2007 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2008 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2009 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2010 | 0 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2011 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
| 2012 | 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| 2013 | 3 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | |||||||||||||||
| 2014 | 6 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||
| 2015 | 5 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| 2016 | 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
| 2017 | 2 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
| 2018 | 1 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
| 2019 | 0 | 0.00 | 0.00 | |||||||||||||||||||||
| 2020 | 1 | 0.00 | ||||||||||||||||||||||
| Summary statistics | ||||||||||||||||||||||||
| Marginal average | 2.78 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Cumulative average | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | 2.78 | ||||||||||||||
| Standard deviation | 7.65 | 7.86 | 8.08 | 8.33 | 8.61 | 8.91 | 9.25 | 9.62 | 0.00 | 0.00 | ||||||||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Minimum | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Maximum | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 0.00 | 0.00 | ||||||||||||||
| Data as of Jan. 1, 2020. Source: S&P Global Ratings Research. | ||||||||||||||||||||||||
Appendix II: Gini Methodology
To measure relative ratings performance, we use the Lorenz curve as a graphical representation of the proportionality of a distribution, and we summarize this via the Gini coefficient. For this study, the Lorenz curve is plotted with the x-axis showing the cumulative share of issuers, arranged by rating; the y-axis shows the cumulative share of defaulters, also arranged by rating. For both axes of the Lorenz curve, the observations are ordered from the low end of the ratings scale ('mxCCC'/'mxC') to the high end ('mxAAA').
As an example, if 'mxCCC'/'mxC' rated entities made up 10% of the total 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. If S&P Global Ratings' corporate[Is "corporate" accurate/needed here?][not needed] ratings only randomly approximated default risk, the Lorenz curve would fall along the diagonal. Its Gini coefficient--which is a summary statistic of the Lorenz curve--would thus be zero. 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 its Gini coefficient would be 1 (see chart 6).
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. The Gini coefficient is defined as area B divided by the total of area A plus area B. It captures the extent to which actual ratings accuracy diverges from the random scenario and aspires to the ideal scenario.
Chart 7
The use of the term "methodology" in this article refers to data aggregation and calculation methods used in conducting the research. It does not relate to S&P Global Ratings' methodologies, which are publicly available criteria used to determine credit ratings.
This report does not constitute a rating action.
| Ratings Performance Analytics: | Nick W Kraemer, FRM, New York + 1 (212) 438 1698; nick.kraemer@spglobal.com |
| Zev R Gurwitz, New York (1) 212-438-7128; zev.gurwitz@spglobal.com |
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