Key Takeaways
- There were three defaults among Mexican national scale (CaVal) corporate ratings in 2022, up from two in 2021. And for the eight consecutive year, there were no public finance defaults.
- The corporate upgrade rate was 9.2% in 2022, up from 2.3% in 2021, while downgrades fell slightly to 3.3% from 3.9%. There were 0.4 downgrades per upgrade, lower than the historical weighted average of 2.8.
- Public finance upgrades rose to 17.9% from 2.5% in 2021, while downgrades rose very slightly to 2.6% in 2022 from 2.5% in 2021.
- 96% of issuers with Mexican CaVal ratings 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 improved in 2022 compared to 2021, with upgrades rising to 9.2% in 2022 from 2.3% in 2021, and downgrades falling to 3.3% in 2022 from 3.9% in 2021.
Public finance issuers saw much larger improvements in credit quality, with 17.9% upgraded in 2022, from 2.5% in 2021, and downgrades much the same year over year. This is largely because state and local governments in Mexico have been bolstered by the central government's fully funded federal transfer fund.
Our foreign currency sovereign rating on Mexico is 'BBB/A-2' with a stable outlook (see "Mexico," March 21, 2023). We expect the Mexican economy to grow 3% in 2023, then slow in subsequent years. Growth for 2022, the last full year of this study, was 3.9% (see "Economic Outlook Emerging Markets Q1 2024: Challenging Global Conditions Will Constrain Growth," Nov. 27, 2023).
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 2022, that number had increased to 120. 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 39 at the start of 2022, from only one in 1999 and 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Between 2008 and 2012, 14% of Mexican public finance issuer ratings were withdrawn, most due to lack of information or at the issuer's request.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 2022, all public finance ratings but one were investment grade (see chart 3).
Chart 1
Chart 2
Chart 3
Overall, Mexico's corporate sector averaged 1.4 rated defaults a year between 1999 and 2022 (see table 1), while public finance averaged 0.3 (see table 2). However, the historical ratings performance of Mexican national scale CaVal ratings indicates two particularly difficult periods.
Corporate defaults in Mexico spiked during periods of sovereign stress and financial crisis, such as the Asian financial and Russian sovereign crises in the late 1990s; the Argentine sovereign default in 2002; and the global financial crisis, when eight corporate entities defaulted.
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 | 2 | 2 | 1 | 1 | 2.06 | 1.06 | 33.33 | |||||||||
| 2003 | 1 | 1 | 1 | 0 | 0.88 | 0.90 | 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 | 7 | 7 | 2 | 5 | 4.02 | 1.23 | 45.45 | |||||||||
| 2010 | 3 | 2 | 1 | 1 | 1.20 | 0.65 | 7.14 | |||||||||
| 2011 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2012 | 4 | 4 | 1 | 3 | 2.44 | 0.65 | 27.27 | |||||||||
| 2013 | 4 | 3 | 2 | 1 | 1.95 | 1.37 | 12.50 | |||||||||
| 2014 | 1 | 1 | 1 | 0 | 0.71 | 0.74 | 0.00 | |||||||||
| 2015 | 1 | 1 | 1 | 0 | 0.70 | 0.71 | 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 | 0.70 | 0.71 | 0.00 | |||||||||
| 2019 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2020 | 2 | 2 | 2 | 0 | 1.49 | 1.55 | 0.00 | |||||||||
| 2021 | 2 | 2 | 0 | 2 | 1.56 | 0.00 | 20.00 | |||||||||
| 2022 | 3 | 3 | 2 | 1 | 2.50 | 1.79 | 12.50 | |||||||||
| Average | 1.5 | 1.4 | 0.8 | 0.6 | 1.07 | 0.70 | 6.88 | |||||||||
| Median | 1.0 | 1.0 | 1.0 | 0.0 | 0.71 | 0.65 | 0.00 | |||||||||
| Std. dev. | 1.7 | 1.7 | 0.8 | 1.2 | 1.19 | 0.86 | 12.79 | |||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Max | 7.0 | 7.0 | 2.0 | 5.0 | 4.02 | 3.70 | 45.45 | |||||||||
| Data as of Jan. 1, 2023. *Includes defaults of companies that defaulted after their S&P Global rating was withdrawn. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||
There were three defaults in 2022, two of which (Unifin Financiera and Credito Real) were rated 'mxA' and 'mxBBB', respectively, at the start of the year. The other , Grupo Radio Centro, was rated 'mxCCC' at the start of the year.
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 | 0 | 0.00 | 0.00 | N/A | |||||||||
| 2000 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | N/A | |||||||||
| 2001 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | N/A | |||||||||
| 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 | 2 | 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 | |||||||||
| 2021 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| 2022 | 0 | 0 | 0 | 0 | 0.00 | 0.00 | 0.00 | |||||||||
| Average | 0.4 | 0.3 | 0.3 | 0.0 | 0.58 | 0.50 | 1.75 | |||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Std. dev. | 1.4 | 0.9 | 0.8 | 0.2 | 1.86 | 1.76 | 7.65 | |||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.00 | 0.00 | 0.00 | |||||||||
| Max | 7.0 | 4.0 | 4.0 | 1.0 | 8.16 | 8.33 | 33.33 | |||||||||
| Data as of Jan. 1, 2023. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||
Ratings Performance In 2022
Mexican corporate upgrades rose to 9.2% in 2022 from 2.3% in 2021, and downgrades fell to 3.3% from 3.9% (see table 3). Both metrics are below their long-term weighted averages of 8.6% for upgrades and 6.7% for downgrades. There were three defaults in 2022, up from two in 2021. The 2022 default rate was 2.5%, up from 1.6% in 2021.
The stability ratio (the percentage of all ratings that were the same at the start and the end of the year) fell to 76.7% in 2022 from 85.9% in 2021, more in line with the long-term average of 75.5%. The ratio of downgrades to upgrades fell below one for the first time since 2017, finishing the year at 0.4, down from 1.7 in 2021.
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 | 97 | 7.2 | 5.2 | 2.1 | 16.5 | 30.9 | 69.1 | 0.7 | ||||||||||
| 2003 | 114 | 12.3 | 6.1 | 0.9 | 7.9 | 27.2 | 72.8 | 0.5 | ||||||||||
| 2004 | 148 | 8.8 | 1.4 | 0.0 | 11.5 | 21.6 | 78.4 | 0.2 | ||||||||||
| 2005 | 154 | 10.4 | 5.2 | 0.0 | 11.7 | 27.3 | 72.7 | 0.5 | ||||||||||
| 2006 | 159 | 10.7 | 3.8 | 0.6 | 8.2 | 23.3 | 76.7 | 0.4 | ||||||||||
| 2007 | 170 | 16.5 | 8.8 | 0.0 | 9.4 | 34.7 | 65.3 | 0.5 | ||||||||||
| 2008 | 176 | 6.3 | 9.1 | 1.1 | 6.3 | 22.7 | 77.3 | 1.5 | ||||||||||
| 2009 | 174 | 1.7 | 15.5 | 4.0 | 8.0 | 29.3 | 70.7 | 9.0 | ||||||||||
| 2010 | 167 | 9.6 | 4.8 | 1.2 | 11.4 | 26.9 | 73.1 | 0.5 | ||||||||||
| 2011 | 160 | 21.3 | 6.9 | 0.0 | 8.8 | 36.9 | 63.1 | 0.3 | ||||||||||
| 2012 | 164 | 11.0 | 4.3 | 2.4 | 11.0 | 28.7 | 71.3 | 0.4 | ||||||||||
| 2013 | 154 | 11.0 | 3.9 | 1.9 | 13.0 | 29.9 | 70.1 | 0.4 | ||||||||||
| 2014 | 140 | 6.4 | 1.4 | 0.7 | 7.1 | 15.7 | 84.3 | 0.2 | ||||||||||
| 2015 | 142 | 6.3 | 4.9 | 0.7 | 4.2 | 16.2 | 83.8 | 0.8 | ||||||||||
| 2016 | 147 | 9.5 | 2.7 | 0.0 | 4.1 | 16.3 | 83.7 | 0.3 | ||||||||||
| 2017 | 147 | 8.2 | 3.4 | 0.0 | 5.4 | 17.0 | 83.0 | 0.4 | ||||||||||
| 2018 | 143 | 6.3 | 6.3 | 0.7 | 2.1 | 15.4 | 84.6 | 1.0 | ||||||||||
| 2019 | 142 | 4.9 | 6.3 | 0.0 | 6.3 | 17.6 | 82.4 | 1.3 | ||||||||||
| 2020 | 134 | 0.7 | 29.1 | 1.5 | 6.7 | 38.1 | 61.9 | 39.0 | ||||||||||
| 2021 | 128 | 2.3 | 3.9 | 1.6 | 6.3 | 14.1 | 85.9 | 1.7 | ||||||||||
| 2022 | 120 | 9.2 | 3.3 | 2.5 | 8.3 | 23.3 | 76.7 | 0.4 | ||||||||||
| Weighted average | 8.6 | 6.7 | 1.0 | 8.1 | 24.5 | 75.5 | 2.7 | |||||||||||
| Average | 8.2 | 7.0 | 1.1 | 7.8 | 24.1 | 75.9 | 2.7 | |||||||||||
| Median | 8.2 | 5.2 | 0.7 | 7.5 | 23.3 | 76.7 | 0.5 | |||||||||||
| Std. dev. | 4.5 | 5.8 | 1.2 | 3.4 | 7.0 | 7.0 | 7.9 | |||||||||||
| Min | 0.7 | 1.4 | 0.0 | 2.1 | 14.1 | 61.9 | 0.2 | |||||||||||
| Max | 21.3 | 29.1 | 4.0 | 16.5 | 38.1 | 85.9 | 39.0 | |||||||||||
| Data as of Jan. 1, 2023. *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. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||
Mexican public finance upgrades rose to 17.9% in 2022 from 2.5% in 2021, and downgrades rose very slightly to 2.6% from 2.5% (see table 4). There has not been a Mexico public finance default in our data set since 2013.
The high rate of upgrades reflects the central government's actions to fully fund, through debt issuance, the finance of shortfall transfers to local governments (see "Local And Regional Governments Risk Indicators: In Latin America, Fiscal Stability Belies A Complex Credit Picture," Sept. 20, 2023). Given the very low number of rated Mexican public finance entities (39 at the start of 2022), it can be difficult to draw conclusions based on these results, and 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 | 1.4 | 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 | 4.3 | 4.3 | 21.7 | 78.3 | 5.0 | ||||||||||
| 2014 | 46 | 26.1 | 4.3 | 0.0 | 4.3 | 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 | ||||||||||
| 2021 | 40 | 2.5 | 2.5 | 0.0 | 5.0 | 10.0 | 90.0 | 1.0 | ||||||||||
| 2022 | 39 | 17.9 | 2.6 | 0.0 | 12.8 | 33.3 | 66.7 | 0.1 | ||||||||||
| Weighted average | 9.1 | 5.5 | 0.6 | 7.7 | 22.8 | 77.2 | 0.7 | |||||||||||
| Average | 8.8 | 4.7 | 0.6 | 6.6 | 20.7 | 79.3 | 0.7 | |||||||||||
| Median | 7.4 | 3.5 | 0.0 | 4.9 | 20.1 | 79.9 | 0.3 | |||||||||||
| Std. dev. | 7.4 | 4.5 | 1.9 | 5.1 | 11.4 | 11.4 | 1.1 | |||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 52.2 | 0.0 | |||||||||||
| Max | 26.1 | 14.0 | 8.2 | 18.8 | 47.8 | 100.0 | 5.0 | |||||||||||
| Data as of Jan. 1, 2023. *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. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||
There were two new CaVal rating in 2022, up from one in 2021 (see table 5).
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 | % IG | % SG | ||||||||||||
| 1998 | 2 | 6 | 12 | 8 | 0 | 0 | 0 | 28 | 100.0 | 0.0 | ||||||||||||
| 1999 | 1 | 8 | 3 | 3 | 1 | 0 | 0 | 16 | 93.8 | 6.3 | ||||||||||||
| 2000 | 2 | 13 | 18 | 13 | 1 | 0 | 0 | 47 | 97.9 | 2.1 | ||||||||||||
| 2001 | 4 | 16 | 18 | 20 | 2 | 1 | 0 | 61 | 95.1 | 4.9 | ||||||||||||
| 2002 | 4 | 7 | 24 | 12 | 1 | 1 | 0 | 49 | 95.9 | 4.1 | ||||||||||||
| 2003 | 8 | 13 | 14 | 21 | 3 | 1 | 0 | 60 | 93.3 | 6.7 | ||||||||||||
| 2004 | 1 | 6 | 9 | 9 | 5 | 1 | 0 | 31 | 80.6 | 19.4 | ||||||||||||
| 2005 | 2 | 1 | 7 | 10 | 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 | 8 | 2 | 1 | 0 | 21 | 85.7 | 14.3 | ||||||||||||
| 2008 | 3 | 2 | 2 | 7 | 0 | 0 | 0 | 14 | 100.0 | 0.0 | ||||||||||||
| 2009 | 3 | 1 | 3 | 6 | 2 | 0 | 2 | 17 | 76.5 | 23.5 | ||||||||||||
| 2010 | 1 | 0 | 2 | 4 | 2 | 0 | 3 | 12 | 58.3 | 41.7 | ||||||||||||
| 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 | 7 | 2 | 2 | 2 | 0 | 0 | 0 | 13 | 100.0 | 0.0 | ||||||||||||
| 2016 | 0 | 0 | 0 | 3 | 1 | 0 | 0 | 4 | 75.0 | 25.0 | ||||||||||||
| 2017 | 3 | 0 | 0 | 1 | 0 | 0 | 0 | 4 | 100.0 | 0.0 | ||||||||||||
| 2018 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 2 | 50.0 | 50.0 | ||||||||||||
| 2019 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | - | - | ||||||||||||
| 2020 | 0 | 1 | 2 | 1 | 0 | 0 | 1 | 5 | 80.0 | 20.0 | ||||||||||||
| 2021 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | 0.0 | 100.0 | ||||||||||||
| 2022 | 0 | 1 | 0 | 0 | 1 | 0 | 0 | 2 | 50.0 | 50.0 | ||||||||||||
| Total | 59 | 89 | 142 | 152 | 34 | 8 | 10 | 494 | 89.5 | 10.5 | ||||||||||||
| Year | Insurance ratings | Sovereigns and international public finance ratings | Financial institutions ratings | Corporate ratings | Total | |||||||||||||||||
| 1998 | 1 | 1 | 9 | 17 | 28 | |||||||||||||||||
| 1999 | 8 | 1 | 3 | 4 | 16 | |||||||||||||||||
| 2000 | 2 | 23 | 12 | 10 | 47 | |||||||||||||||||
| 2001 | 1 | 19 | 11 | 30 | 61 | |||||||||||||||||
| 2002 | 1 | 14 | 14 | 20 | 49 | |||||||||||||||||
| 2003 | 3 | 18 | 20 | 19 | 60 | |||||||||||||||||
| 2004 | 1 | 8 | 5 | 17 | 31 | |||||||||||||||||
| 2005 | 1 | 4 | 12 | 7 | 24 | |||||||||||||||||
| 2006 | 2 | 3 | 13 | 9 | 27 | |||||||||||||||||
| 2007 | 1 | 1 | 6 | 13 | 21 | |||||||||||||||||
| 2008 | 0 | 3 | 10 | 1 | 14 | |||||||||||||||||
| 2009 | 1 | 3 | 9 | 4 | 17 | |||||||||||||||||
| 2010 | 1 | 1 | 3 | 7 | 12 | |||||||||||||||||
| 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 | 6 | 1 | 3 | 3 | 13 | |||||||||||||||||
| 2016 | 0 | 1 | 3 | 0 | 4 | |||||||||||||||||
| 2017 | 0 | 0 | 2 | 2 | 4 | |||||||||||||||||
| 2018 | 1 | 0 | 1 | 0 | 2 | |||||||||||||||||
| 2019 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
| 2020 | 1 | 1 | 1 | 2 | 5 | |||||||||||||||||
| 2021 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||
| 2022 | 0 | 0 | 1 | 1 | 2 | |||||||||||||||||
| Total | 34 | 111 | 162 | 187 | 494 | |||||||||||||||||
| Data as of Jan. 1, 2023. *Includes issuers that are assigned a new rating after default as well as those companies that receive a rating for the first time. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||
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 | Leisure time /Media | Public finance | Real estate | Tele- communications | Transportation | Utility | |||||||||||||||
| 1999 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | N/A | 0.0 | 0.0 | N/A | N/A | 0.0 | |||||||||||||||
| 2000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | N/A | 0.0 | 0.0 | N/A | N/A | 0.0 | |||||||||||||||
| 2001 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | N/A | 0.0 | 0.0 | N/A | N/A | 0.0 | |||||||||||||||
| 2002 | 0.0 | 0.0 | 40.0 | 0.0 | 0.0 | 0.0 | 0.0 | N/A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2003 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | |||||||||||||||
| 2004 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2005 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2006 | 0.0 | 0.0 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2008 | 0.0 | 5.0 | 0.0 | 0.0 | 9.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2009 | 0.0 | 0.0 | 0.0 | 2.2 | 30.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | 9.1 | |||||||||||||||
| 2010 | 0.0 | 0.0 | 25.0 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2012 | 0.0 | 0.0 | 20.0 | 2.3 | 0.0 | 0.0 | 0.0 | 0.0 | 8.2 | 16.7 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.3 | 40.0 | 33.3 | 0.0 | 0.0 | |||||||||||||||
| 2014 | 0.0 | 0.0 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2015 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.5 | 0.0 | |||||||||||||||
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 0.0 | 0.0 | 0.0 | 14.3 | 0.0 | |||||||||||||||
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | |||||||||||||||
| 2022 | 0.0 | 0.0 | 0.0 | 3.2 | 0.0 | 0.0 | 0.0 | 50.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| Average | 1.4 | 0.2 | 4.9 | 0.5 | 1.6 | 0.0 | 0.0 | 6.7 | 0.6 | 2.4 | 1.6 | 7.6 | 0.4 | |||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| Std. dev. | 6.8 | 1.1 | 13.9 | 0.8 | 6.7 | 0.0 | 0.0 | 5.5 | 2.0 | 9.3 | 5.5 | 11.2 | 2.0 | |||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| Max | 33.3 | 5.0 | 40.0 | 3.2 | 30.0 | 0.0 | 0.0 | 50.0 | 8.2 | 40.0 | 33.3 | 100.0 | 9.1 | |||||||||||||||
| Data as of Jan. 1, 2023. Includes investment-grade and speculative-grade rated entities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||
There were three defaults among CaVal ratings in 2022, up from two in 2021. Out of the 23 years in our data set, nine have had no corporate defaults and 20 have had no public finance defaults. Two of the defaulted issuers in 2022 were financial institutions: Credito Real ('mxBBB'at the start of 2022), and Unifin Financiera ('mxA' at the start of 2022), and the other was radio station operator Grupo Radio Centro ('mxCCC' at the start of 2022).
Table 7
| Itemized Mexico corporate and government defaults | ||||||||
|---|---|---|---|---|---|---|---|---|
| Issuer | Sector | Default date | Rating at start of year of default | |||||
| Grupo Radio Centro S.A.B. de C.V. | Leisure time/Media | Dec. 7, 2022 | mxCCC | |||||
| Unifin Financiera S.A.B. de C.V. | Financial institutions | Aug. 9, 2022 | mxA | |||||
| Credito Real, S.A.B. de C.V., SOFOM, E.N.R. | Financial institutions | Feb. 10, 2022 | mxBBB | |||||
| Inversionistas en Autotransportes Mexicanos, S.A. de C.V. | Transportation | Aug. 3, 2021 | mxCCC | |||||
| Grupo Herradura Occidente S.A. de C.V. | Transportation | May. 3, 2021 | mxCCC | |||||
| Grupo Aeromexico S.A.B. de C.V. | Transportation | Jul. 1, 2020 | mxBBB+ | |||||
| Grupo Radio Centro S.A.B. de C.V. | Leisure time/Media | May. 14, 2020 | mxBBB+ | |||||
| Grupo Senda Autotransporte, S.A. de C.V. | Transportation | May. 25, 2018 | mxBBB- | |||||
| Empresas ICA S.A.B. de C.V. | Aerospace/Automotive/Capital goods/Metal | Dec. 18, 2015 | mxBBB- | |||||
| Leasing Operations de Mexico S. de R. L. de C.V. | Financial institutions | Mar. 27, 2014 | mxBBB | |||||
| Maxcom Telecomunicaciones S.A.B. de C.V. | Telecommunications | Jun. 19, 2013 | mxB+ | |||||
| Desarrolladora Homex S.A.B. de C.V. | Forest and building products/Homebuilders | Jun. 11, 2013 | NR | |||||
| Guadalupe, Zac. (City of) | Public finance | May. 10, 2013 | mxBBB+ | |||||
| Corporacion GEO S.A.B. de C.V. | Real estate | Apr. 29, 2013 | mxBBB+ | |||||
| Urbi Desarrollos Urbanos S.A.B.de C.V. | Real estate | Apr. 19, 2013 | mxBBB- | |||||
| Naucalpan de Juarez (City of) | Public finance | Jan. 8, 2013 | mxBB+ | |||||
| Jalisco (State of) | Public finance | Dec. 24, 2012 | NR | |||||
| San Luis Potosi (City of) | Public finance | Oct. 31, 2012 | mxA | |||||
| Acapulco (City of) | Public finance | Oct. 31, 2012 | NR | |||||
| Guadalupe, N. L. (City of) | Public finance | Sep. 26, 2012 | mxA- | |||||
| Metrofinanciera S.A.P.I. de C.V. SOFOM E.R. | Financial institutions | Sep. 10, 2012 | mxCCC | |||||
| Cuernavaca (City of) | Public finance | Jul. 9, 2012 | mxA+ | |||||
| Grupo Collado S. A. de C. V. | Energy and natural resources | Jun. 11, 2012 | mxCCC | |||||
| Sare Holding S. A. B. de C. V. | Real estate | May. 28, 2012 | mxBB- | |||||
| CHG-Meridian Mexico S.A.P.I. de C.V. | Financial institutions | Mar. 5, 2012 | mxA- | |||||
| Santa Catarina( City of) | Public finance | Feb. 28, 2012 | NR | |||||
| Zamora (City of) | Public finance | Feb. 3, 2012 | mxBBB+ | |||||
| Zacatecas (State of) | Public finance | Nov. 5, 2010 | mxA | |||||
| Hipotecaria Su Casita S.A. de C.V. SOFOM E.N.R. | Financial institutions | Oct. 15, 2010 | mxBBB+ | |||||
| Compania Mexicana de Aviacion, S.A. de C.V. | Transportation | Aug. 2, 2010 | NR | |||||
| Grupo Collado S. A. de C. V. | Energy and natural resources | Jan. 12, 2010 | mxCCC | |||||
| Corporacion Interamericana de Entretenimiento S.A.B. de C.V. | Leisure time/Media | Nov. 25, 2009 | mxBBB | |||||
| Hipotecaria Credito y Casa, S.A. de C.V. S.F.O.L. | Financial institutions | Apr. 30, 2009 | mxBBB | |||||
| Metrofinanciera S.A.P.I. de C.V. SOFOM E.R. | Financial institutions | Apr. 24, 2009 | mxB+ | |||||
| Industrias Unidas S.A. de C.V. | Forest and building products/Homebuilders | Mar. 26, 2009 | mxBB | |||||
| Grupo Industrial Saltillo S.A.B. de C.V. | Utility | Feb. 12, 2009 | mxCCC | |||||
| Vitro S.A.B. de C.V. | Forest and building products/Homebuilders | Feb. 2, 2009 | mxBB+ | |||||
| Vitro Envases Norteamerica, S.A. de C.V. | Forest and building products/Homebuilders | Feb. 2, 2009 | mxBB | |||||
| Controladora Comercial Mexicana, S. A. B. de C. V. | Consumer/Service sector | Oct. 9, 2008 | mxAA | |||||
| Bio Pappel, S.A.B. de C.V. | Forest and building products/Homebuilders | Oct. 6, 2008 | mxBBB | |||||
| Hipotecaria Mexico S.A. de C.V.S.F.O.L. | Financial institutions | Feb. 3, 2006 | mxBBB- | |||||
| Grupo TMM, S. A. B. | Transportation | May. 16, 2003 | mxBBB | |||||
| Minera Mexico S.A. de C.V. | Energy and natural resources | Aug. 22, 2002 | mxBBB+ | |||||
| Ispat Mexicana S.A. de C.V. | Energy and natural resources | May. 31, 2002 | mxBBB- | |||||
| Hylsa S.A. de C.V. | Energy and natural resources | Mar. 19, 2002 | mxCC | |||||
| Altos Hornos de Mexico, S.A.B. de C.V. | Aerospace/Automotive/Capital goods/Metal | Apr. 26, 1999 | mxBBB+ | |||||
| Data as of Jan. 1, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||
From 1998-2022, 33 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. In our data set, there are more ratings that are 'mxBB+' or lower than there are ratings of 'mxBBB-' or higher, so comparing the time to default between the two groups is difficult. That said, the average time to default of the nine 'mxA' defaults is 9.1 years, compared with 7.9 years for the 20 'mxBBB' defaults.
Table 8
| Time to default from original rating among Mexico national scale corporate and government | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||
| Original rating | Defaults | Average years from original rating | Median years from original rating | St. dev. of years from original rating | ||||||
| mxAAA | N/A | N/A | N/A | N/A | ||||||
| mxAA | 2 | 6.0 | 6.0 | 1.5 | ||||||
| mxA | 9 | 9.1 | 9.0 | 2.9 | ||||||
| mxBBB | 20 | 7.9 | 7.0 | 6.2 | ||||||
| mxBB | N/A | N/A | N/A | N/A | ||||||
| mxB | 1 | 0.4 | 0.4 | N/A | ||||||
| mxCCC/C | 3 | 2.0 | 1.9 | 0.3 | ||||||
| Total | 35 | 7.4 | 6.7 | 5.4 | ||||||
| Government | ||||||||||
| Original rating | Defaults | Average years from original rating | Median years from original rating | St. dev. of years from original rating | ||||||
| mxAAA | N/A | 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 | N/A | N/A | N/A | N/A | ||||||
| mxB | N/A | N/A | N/A | N/A | ||||||
| mxCCC/C | N/A | N/A | N/A | N/A | ||||||
| Total | 10 | 7.4 | 6.7 | 5.4 | ||||||
| Data as of Jan. 1, 2023. N/A—Not available. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||
Transition Tables And Cumulative Default Rates
Our analysis of rating transitions in 2022 suggests that the behavior of CaVal ratings is consistent with global trends, which have shown a negative correspondence between credit ratings and default probability. Mexican issuers rated 'mxBBB-' or higher 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 it 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 timeframes.
Table 9
| One-year 2022 Mexico CaVal corporate and government transition rates | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 98.08 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.92 | |||||||||||
| AA | 0.00 | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| A | 0.00 | 18.52 | 62.96 | 3.70 | 0.00 | 0.00 | 0.00 | 3.70 | 11.11 | |||||||||||
| BBB | 0.00 | 8.33 | 8.33 | 50.00 | 0.00 | 0.00 | 0.00 | 8.33 | 25.00 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 66.67 | 0.00 | 0.00 | 33.33 | |||||||||||
| 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 | 66.67 | 0.00 | 33.33 | 0.00 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| AA | 0.00 | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| A | 0.00 | 37.50 | 50.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 12.50 | |||||||||||
| BBB | 0.00 | 0.00 | 20.00 | 40.00 | 0.00 | 0.00 | 0.00 | 0.00 | 40.00 | |||||||||||
| BB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| 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 | 66.67 | 0.00 | 33.33 | 0.00 | |||||||||||
| Financial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 97.50 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.50 | |||||||||||
| AA | 0.00 | 100.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| A | 0.00 | 10.53 | 68.42 | 5.26 | 0.00 | 0.00 | 0.00 | 5.26 | 10.53 | |||||||||||
| BBB | 0.00 | 14.29 | 0.00 | 57.14 | 0.00 | 0.00 | 0.00 | 14.29 | 14.29 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 66.67 | 0.00 | 0.00 | 33.33 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Public finance | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | 7.14 | 78.57 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 14.29 | |||||||||||
| A | 0.00 | 11.76 | 76.47 | 5.88 | 0.00 | 0.00 | 0.00 | 0.00 | 5.88 | |||||||||||
| 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 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Data as of Jan. 1, 2023. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 10
| Average 12-month corporate transition rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 94.88 | 1.42 | 0.21 | 0.27 | 0.00 | 0.00 | 0.00 | 0.00 | 3.21 | |||||||||||
| AA | 5.29 | 82.97 | 3.00 | 0.68 | 0.46 | 0.11 | 0.08 | 0.18 | 7.24 | |||||||||||
| A | 0.33 | 3.52 | 83.28 | 4.31 | 0.16 | 0.10 | 0.27 | 0.55 | 7.49 | |||||||||||
| BBB | 0.00 | 0.28 | 6.58 | 75.20 | 2.44 | 1.29 | 0.48 | 1.91 | 11.83 | |||||||||||
| BB | 0.00 | 0.00 | 0.89 | 18.24 | 49.47 | 5.25 | 0.18 | 2.22 | 23.75 | |||||||||||
| B | 0.00 | 0.00 | 2.19 | 1.88 | 14.73 | 28.53 | 3.76 | 7.84 | 41.07 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 14.69 | 5.31 | 27.35 | 31.02 | 21.63 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 93.99 | 0.88 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 5.13 | |||||||||||
| AA | 2.29 | 85.63 | 3.25 | 0.79 | 0.82 | 0.00 | 0.14 | 0.33 | 6.75 | |||||||||||
| A | 0.00 | 3.64 | 79.28 | 5.23 | 0.27 | 0.20 | 0.46 | 0.49 | 10.42 | |||||||||||
| BBB | 0.00 | 0.03 | 6.57 | 69.66 | 3.12 | 1.95 | 1.03 | 3.28 | 14.36 | |||||||||||
| BB | 0.00 | 0.00 | 0.16 | 24.61 | 41.64 | 5.05 | 0.00 | 3.47 | 25.08 | |||||||||||
| B | 0.00 | 0.00 | 4.00 | 3.43 | 13.14 | 25.71 | 6.86 | 12.57 | 34.29 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 18.27 | 6.60 | 28.93 | 29.44 | 16.75 | |||||||||||
| Financial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.19 | 1.61 | 0.28 | 0.37 | 0.00 | 0.00 | 0.00 | 0.00 | 2.55 | |||||||||||
| AA | 9.14 | 79.55 | 2.67 | 0.53 | 0.00 | 0.25 | 0.00 | 0.00 | 7.87 | |||||||||||
| A | 0.59 | 3.42 | 86.51 | 3.56 | 0.07 | 0.02 | 0.11 | 0.61 | 5.12 | |||||||||||
| BBB | 0.00 | 0.47 | 6.59 | 79.40 | 1.92 | 0.78 | 0.06 | 0.87 | 9.91 | |||||||||||
| BB | 0.00 | 0.00 | 1.84 | 10.00 | 59.59 | 5.51 | 0.41 | 0.61 | 22.04 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 16.67 | 31.94 | 0.00 | 2.08 | 49.31 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 20.83 | 37.50 | 41.67 | |||||||||||
| Public finance | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 73.33 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 26.67 | |||||||||||
| AA | 0.29 | 91.67 | 2.79 | 0.26 | 0.00 | 0.00 | 0.00 | 0.00 | 4.99 | |||||||||||
| A | 0.00 | 2.22 | 88.84 | 2.93 | 0.23 | 0.00 | 0.04 | 0.54 | 5.20 | |||||||||||
| BBB | 0.00 | 0.00 | 6.26 | 76.43 | 1.06 | 0.00 | 0.00 | 1.47 | 14.78 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 10.76 | 61.66 | 0.00 | 0.00 | 0.67 | 26.91 | |||||||||||
| 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, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 11
| Average 36-month corporate transition rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 86.26 | 3.75 | 0.40 | 0.77 | 0.00 | 0.00 | 0.00 | 0.00 | 8.82 | |||||||||||
| AA | 14.80 | 55.07 | 5.47 | 2.63 | 1.27 | 0.00 | 0.15 | 0.70 | 19.91 | |||||||||||
| A | 0.64 | 6.67 | 60.34 | 7.08 | 0.71 | 0.43 | 0.43 | 2.41 | 21.29 | |||||||||||
| BBB | 0.52 | 0.71 | 14.01 | 44.06 | 2.90 | 2.05 | 0.46 | 5.45 | 29.84 | |||||||||||
| BB | 0.00 | 0.57 | 2.64 | 18.70 | 16.24 | 1.98 | 0.00 | 8.31 | 51.56 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 15.26 | 14.46 | 2.01 | 0.00 | 13.25 | 55.02 | |||||||||||
| CCC/C | 0.00 | 0.00 | 6.74 | 6.74 | 0.56 | 0.00 | 0.00 | 39.33 | 46.63 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 83.30 | 3.84 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 12.86 | |||||||||||
| AA | 7.01 | 61.40 | 6.24 | 2.63 | 2.25 | 0.00 | 0.21 | 1.24 | 19.02 | |||||||||||
| A | 0.00 | 5.99 | 51.96 | 8.63 | 1.37 | 0.86 | 0.84 | 3.34 | 27.01 | |||||||||||
| BBB | 0.00 | 0.82 | 12.14 | 37.87 | 2.54 | 2.43 | 1.02 | 9.40 | 33.78 | |||||||||||
| BB | 0.00 | 0.16 | 3.81 | 22.38 | 4.92 | 1.90 | 0.00 | 9.84 | 56.98 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 16.00 | 9.33 | 0.00 | 0.00 | 20.00 | 54.67 | |||||||||||
| CCC/C | 0.00 | 0.00 | 9.23 | 9.23 | 0.77 | 0.00 | 0.00 | 32.31 | 48.46 | |||||||||||
| Financial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 87.29 | 3.72 | 0.54 | 1.04 | 0.00 | 0.00 | 0.00 | 0.00 | 7.41 | |||||||||||
| AA | 24.88 | 46.89 | 4.47 | 2.64 | 0.00 | 0.00 | 0.08 | 0.00 | 21.05 | |||||||||||
| A | 1.18 | 7.24 | 67.43 | 5.77 | 0.16 | 0.06 | 0.08 | 1.63 | 16.45 | |||||||||||
| BBB | 0.92 | 0.62 | 15.43 | 48.76 | 3.17 | 1.76 | 0.04 | 2.44 | 26.85 | |||||||||||
| BB | 0.00 | 1.17 | 0.93 | 13.29 | 32.87 | 2.10 | 0.00 | 6.06 | 43.59 | |||||||||||
| B | 0.00 | 0.00 | 0.00 | 14.14 | 22.22 | 5.05 | 0.00 | 3.03 | 55.56 | |||||||||||
| CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 58.33 | 41.67 | |||||||||||
| Public finance | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 20.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 80.00 | |||||||||||
| AA | 0.32 | 80.44 | 5.99 | 1.26 | 0.00 | 0.00 | 0.00 | 0.66 | 11.34 | |||||||||||
| A | 0.00 | 4.96 | 71.75 | 6.29 | 0.83 | 0.11 | 0.00 | 2.16 | 13.89 | |||||||||||
| BBB | 0.00 | 0.00 | 15.76 | 45.59 | 0.96 | 0.08 | 0.00 | 4.03 | 33.59 | |||||||||||
| BB | 0.00 | 0.00 | 0.00 | 24.17 | 32.46 | 0.00 | 0.00 | 0.71 | 42.65 | |||||||||||
| 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, 2023. Note: The Mexico figures are for the time period from 1997-2022. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 12
| Average 60-month corporate transition rates (%) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 79.7 | 4.1 | 0.3 | 1.6 | 0.0 | 0.0 | 0.0 | 0.0 | 14.4 | |||||||||||
| AA | 21.1 | 37.8 | 4.5 | 4.0 | 1.7 | 0.2 | 0.0 | 1.6 | 29.0 | |||||||||||
| A | 1.1 | 8.0 | 45.8 | 7.1 | 0.7 | 0.5 | 0.4 | 4.3 | 32.1 | |||||||||||
| BBB | 0.9 | 1.0 | 17.6 | 26.4 | 2.4 | 1.8 | 0.4 | 8.7 | 40.7 | |||||||||||
| BB | 0.0 | 2.4 | 3.2 | 15.6 | 11.1 | 0.5 | 0.0 | 9.3 | 57.8 | |||||||||||
| B | 0.0 | 3.1 | 0.0 | 24.0 | 1.3 | 0.0 | 0.0 | 14.4 | 57.2 | |||||||||||
| CCC/C | 0.0 | 0.0 | 10.5 | 0.0 | 0.0 | 0.0 | 0.0 | 40.9 | 48.5 | |||||||||||
| Nonfinancial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 75.5 | 5.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 19.0 | |||||||||||
| AA | 12.0 | 45.0 | 5.5 | 4.7 | 3.0 | 0.0 | 0.0 | 2.9 | 26.8 | |||||||||||
| A | 0.0 | 7.8 | 35.5 | 8.3 | 1.5 | 0.9 | 0.7 | 6.0 | 39.3 | |||||||||||
| BBB | 0.0 | 1.4 | 12.7 | 23.9 | 1.3 | 1.9 | 0.9 | 14.4 | 43.6 | |||||||||||
| BB | 0.0 | 2.2 | 5.2 | 19.6 | 0.6 | 0.0 | 0.0 | 9.7 | 62.6 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 17.3 | 0.0 | 0.0 | 0.0 | 21.6 | 61.2 | |||||||||||
| CCC/C | 0.0 | 0.0 | 14.6 | 0.0 | 0.0 | 0.0 | 0.0 | 34.1 | 51.2 | |||||||||||
| Financial | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 81.1 | 3.6 | 0.4 | 2.2 | 0.0 | 0.0 | 0.0 | 0.0 | 12.7 | |||||||||||
| AA | 32.7 | 28.6 | 3.2 | 3.1 | 0.2 | 0.5 | 0.0 | 0.0 | 31.9 | |||||||||||
| A | 2.0 | 8.2 | 54.9 | 6.1 | 0.0 | 0.0 | 0.1 | 2.9 | 25.7 | |||||||||||
| BBB | 1.6 | 0.7 | 21.5 | 28.4 | 3.3 | 1.7 | 0.0 | 4.3 | 38.4 | |||||||||||
| BB | 0.0 | 2.6 | 0.0 | 9.3 | 28.1 | 1.3 | 0.0 | 8.8 | 50.0 | |||||||||||
| B | 0.0 | 7.8 | 0.0 | 34.4 | 3.3 | 0.0 | 0.0 | 3.3 | 51.1 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 58.3 | 41.7 | |||||||||||
| Public finance | ||||||||||||||||||||
| From/to | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| AA | 0.3 | 69.7 | 7.4 | 2.1 | 0.0 | 0.0 | 0.0 | 1.5 | 19.0 | |||||||||||
| A | 0.0 | 5.8 | 58.3 | 7.9 | 0.6 | 0.0 | 0.0 | 4.5 | 22.8 | |||||||||||
| BBB | 0.0 | 0.0 | 21.4 | 29.0 | 1.8 | 0.0 | 0.0 | 6.4 | 41.5 | |||||||||||
| BB | 0.0 | 0.0 | 5.5 | 28.1 | 16.2 | 0.0 | 0.0 | 0.7 | 49.5 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| Data as of Jan. 1, 2023. Note: The Mexico figures are for the time period from 1997-2022. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
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 10.1%, higher than the 'mxBB' default rate of 8.7%. 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 timeframe.
Table 13
| Mexico CaVal corporate and government default rates by rating category monthly static pools (%) | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| mxAAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA | 0.18 | 0.37 | 0.66 | 1.07 | 1.50 | 1.73 | 2.19 | 2.48 | 2.62 | 2.62 | ||||||||||||
| mxA | 0.57 | 1.61 | 2.84 | 4.20 | 5.72 | 7.36 | 8.75 | 9.91 | 11.20 | 12.31 | ||||||||||||
| mxBBB | 1.96 | 3.95 | 5.52 | 7.24 | 8.81 | 10.13 | 11.15 | 12.33 | 12.97 | 13.53 | ||||||||||||
| mxBB | 2.18 | 4.44 | 7.98 | 8.75 | 8.75 | 8.75 | 9.99 | 11.27 | 12.45 | 12.45 | ||||||||||||
| mxB | 7.60 | 10.93 | 10.93 | 10.93 | 10.93 | 10.93 | 10.93 | 10.93 | 10.93 | 10.93 | ||||||||||||
| mxCCC/C | 33.52 | 46.73 | 48.50 | 48.50 | 48.50 | 48.50 | 48.50 | 48.50 | 48.50 | 48.50 | ||||||||||||
| Investment grade | 0.66 | 1.47 | 2.26 | 3.16 | 4.08 | 4.94 | 5.71 | 6.43 | 7.01 | 7.49 | ||||||||||||
| Speculative grade | 7.90 | 11.96 | 14.66 | 15.19 | 15.19 | 15.19 | 16.06 | 16.97 | 17.81 | 17.81 | ||||||||||||
| All rated | 0.99 | 1.94 | 2.82 | 3.70 | 4.58 | 5.41 | 6.18 | 6.90 | 7.50 | 7.95 | ||||||||||||
| Nonfinancial | ||||||||||||||||||||||
| From/to | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| mxAAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA | 0.32 | 0.66 | 1.18 | 1.91 | 2.67 | 3.07 | 3.91 | 4.43 | 4.70 | 4.70 | ||||||||||||
| mxA | 0.48 | 1.72 | 3.34 | 5.17 | 7.24 | 9.60 | 11.72 | 13.44 | 15.32 | 16.77 | ||||||||||||
| mxBBB | 3.26 | 6.88 | 9.51 | 12.40 | 14.95 | 16.78 | 17.94 | 19.43 | 20.43 | 21.25 | ||||||||||||
| mxBB | 3.47 | 5.68 | 9.79 | 9.79 | 9.79 | 9.79 | 11.74 | 13.72 | 15.55 | 15.55 | ||||||||||||
| mxB | 11.58 | 17.69 | 17.69 | 17.69 | 17.69 | 17.69 | 17.69 | 17.69 | 17.69 | 17.69 | ||||||||||||
| mxCCC/C | 32.62 | 43.93 | 46.16 | 46.16 | 46.16 | 46.16 | 46.16 | 46.16 | 46.16 | 46.16 | ||||||||||||
| Investment grade | 1.05 | 2.44 | 3.76 | 5.28 | 6.81 | 8.17 | 9.38 | 10.48 | 11.45 | 12.16 | ||||||||||||
| Speculative grade | 10.92 | 15.54 | 18.64 | 18.64 | 18.64 | 18.64 | 19.95 | 21.29 | 22.53 | 22.53 | ||||||||||||
| All rated | 1.69 | 3.29 | 4.72 | 6.14 | 7.58 | 8.84 | 10.06 | 11.18 | 12.17 | 12.83 | ||||||||||||
| Financials | ||||||||||||||||||||||
| From/to | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| 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 | ||||||||||||
| mxA | 0.64 | 1.51 | 2.43 | 3.39 | 4.42 | 5.42 | 6.16 | 6.80 | 7.50 | 8.27 | ||||||||||||
| mxBBB | 0.96 | 1.73 | 2.49 | 3.32 | 4.13 | 5.04 | 5.92 | 6.84 | 7.19 | 7.53 | ||||||||||||
| mxBB | 0.58 | 2.92 | 5.63 | 7.55 | 7.55 | 7.55 | 7.55 | 7.55 | 7.55 | 7.55 | ||||||||||||
| mxB | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | 2.63 | ||||||||||||
| mxCCC/C | 37.50 | 58.33 | 58.33 | 58.33 | 58.33 | 58.33 | 58.33 | 58.33 | 58.33 | 58.33 | ||||||||||||
| Investment grade | 0.39 | 0.80 | 1.22 | 1.68 | 2.15 | 2.65 | 3.08 | 3.50 | 3.78 | 4.07 | ||||||||||||
| Speculative grade | 3.50 | 6.71 | 8.74 | 10.17 | 10.17 | 10.17 | 10.17 | 10.17 | 10.17 | 10.17 | ||||||||||||
| All rated | 0.48 | 0.98 | 1.45 | 1.94 | 2.40 | 2.89 | 3.30 | 3.70 | 3.97 | 4.26 | ||||||||||||
| Public finance | ||||||||||||||||||||||
| From/to | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| mxAAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxAA | 0.00 | 0.30 | 0.63 | 0.99 | 1.36 | 1.75 | 2.23 | 3.09 | 3.99 | 4.78 | ||||||||||||
| mxA | 0.53 | 1.16 | 2.08 | 3.13 | 4.23 | 5.68 | 7.24 | 8.70 | 10.13 | 11.60 | ||||||||||||
| mxBBB | 1.45 | 2.83 | 3.85 | 4.83 | 5.85 | 6.03 | 6.03 | 6.03 | 6.03 | 6.03 | ||||||||||||
| mxBB | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | 0.67 | ||||||||||||
| mxB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| mxCCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
| Investment grade | 0.56 | 1.24 | 2.02 | 2.87 | 3.75 | 4.67 | 5.64 | 6.65 | 7.66 | 8.66 | ||||||||||||
| Speculative grade | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | ||||||||||||
| All rated | 0.56 | 1.22 | 1.97 | 2.79 | 3.65 | 4.54 | 5.47 | 6.46 | 7.44 | 8.41 | ||||||||||||
| Data as of Jan. 1, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||
Looking at the rating modifier (the plus or minus sign), once again 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 4.2%, while the highest speculative-grade rating ('mxBB+') has a one-year cumulative default rate of 1.5%.
Table 14
| Mexico CaVal corporate and government default rates by rating modifier monthly static pools (%) | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporates and financial institutions | ||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| 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 | ||||||||||||
| mxAA | 0.5 | 0.9 | 1.4 | 2.3 | 3.3 | 3.8 | 4.3 | 4.8 | 4.8 | 4.8 | ||||||||||||
| mxAA- | 0.0 | 0.0 | 0.5 | 0.7 | 0.7 | 0.7 | 2.1 | 2.4 | 3.4 | 3.4 | ||||||||||||
| mxA+ | 0.3 | 0.9 | 1.9 | 2.5 | 3.9 | 5.4 | 6.2 | 6.2 | 6.6 | 7.4 | ||||||||||||
| mxA | 0.2 | 1.0 | 1.8 | 2.5 | 3.3 | 4.5 | 6.7 | 9.3 | 12.1 | 14.5 | ||||||||||||
| mxA- | 1.0 | 2.5 | 4.2 | 6.4 | 8.6 | 10.7 | 11.7 | 12.4 | 13.1 | 13.5 | ||||||||||||
| mxBBB+ | 1.1 | 2.6 | 4.0 | 5.5 | 6.4 | 7.3 | 8.3 | 10.0 | 11.7 | 12.0 | ||||||||||||
| mxBBB | 1.4 | 3.2 | 4.2 | 4.9 | 6.7 | 8.2 | 9.8 | 10.4 | 10.5 | 11.2 | ||||||||||||
| mxBBB- | 4.2 | 7.2 | 9.9 | 13.5 | 15.9 | 17.4 | 17.4 | 18.8 | 18.9 | 19.6 | ||||||||||||
| mxBB+ | 1.5 | 4.7 | 9.3 | 10.5 | 10.5 | 10.5 | 11.8 | 11.8 | 11.8 | 11.8 | ||||||||||||
| mxBB | 2.8 | 3.6 | 4.8 | 4.8 | 4.8 | 4.8 | 6.6 | 12.3 | 17.5 | 17.5 | ||||||||||||
| mxBB- | 4.4 | 4.4 | 6.8 | 6.8 | 6.8 | 6.8 | 6.8 | 6.8 | 6.8 | 6.8 | ||||||||||||
| mxB+ | 8.9 | 15.1 | 15.1 | 15.1 | 15.1 | 15.1 | 15.1 | 15.1 | 15.1 | 15.1 | ||||||||||||
| mxB | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | ||||||||||||
| mxB- | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | ||||||||||||
| mxCCC+ | 21.4 | 64.3 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | ||||||||||||
| mxCCC- | 23.9 | 35.1 | 35.7 | 35.7 | 35.7 | 35.7 | 35.7 | 35.7 | 35.7 | 35.7 | ||||||||||||
| mxCCC | 33.3 | 33.3 | 33.3 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||
| mxCC | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||||
| mxC | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||
| Investment grade | 0.7 | 1.5 | 2.3 | 3.2 | 4.1 | 4.9 | 5.7 | 6.4 | 7.0 | 7.5 | ||||||||||||
| Speculative grade | 7.9 | 12.0 | 14.7 | 15.2 | 15.2 | 15.2 | 16.1 | 17.0 | 17.8 | 17.8 | ||||||||||||
| All ratings | 1.0 | 1.9 | 2.8 | 3.7 | 4.6 | 5.4 | 6.2 | 6.9 | 7.5 | 8.0 | ||||||||||||
| Government | ||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||
| 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 | ||||||||||||
| mxAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxAA- | 0.0 | 0.8 | 1.6 | 2.5 | 3.4 | 4.4 | 5.6 | 7.7 | 9.9 | 11.8 | ||||||||||||
| mxA+ | 0.4 | 1.2 | 3.1 | 5.5 | 7.7 | 10.1 | 12.5 | 14.6 | 16.4 | 17.9 | ||||||||||||
| mxA | 1.0 | 1.7 | 2.2 | 2.4 | 3.0 | 3.7 | 4.3 | 5.0 | 6.1 | 7.5 | ||||||||||||
| mxA- | 0.3 | 0.6 | 0.6 | 0.6 | 0.6 | 1.6 | 3.0 | 4.4 | 5.7 | 7.2 | ||||||||||||
| mxBBB+ | 2.8 | 4.7 | 5.7 | 6.6 | 8.3 | 8.6 | 8.6 | 8.6 | 8.6 | 8.6 | ||||||||||||
| mxBBB | 0.0 | 1.4 | 3.1 | 4.9 | 5.2 | 5.2 | 5.2 | 5.2 | 5.2 | 5.2 | ||||||||||||
| mxBBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxBB+ | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | 0.8 | ||||||||||||
| mxBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxBB- | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | 1.1 | ||||||||||||
| mxB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| mxCCC | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
| Investment grade | 0.6 | 1.2 | 2.0 | 2.9 | 3.8 | 4.7 | 5.6 | 6.7 | 7.7 | 8.7 | ||||||||||||
| Speculative grade | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | ||||||||||||
| All ratings | 0.6 | 1.2 | 2.0 | 2.8 | 3.6 | 4.5 | 5.5 | 6.5 | 7.4 | 8.4 | ||||||||||||
| Data as of Jan. 1, 2023. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||
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 79%, a three-year Gini coefficient of 63%, and a five-year Gini coefficient of 55%.
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, 42% of defaults occurred among issuers rated 'mxBB+' or lower, while 'mxBB+' or lower ratings accounted for only 4.7% of all issuers (see chart 4). The five-year Lorenz curve shows that issuers rated 'mxBB+' or lower constituted 18% of defaulters and only 4.6% 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 timeframe, where almost all ratings are investment grade and therefore have very low Gini values.
Table 15
| Mexico CaVal corporate and government Gini coefficients by broad sector (%) | ||||||||
|---|---|---|---|---|---|---|---|---|
| --Time horizon-- | ||||||||
| Region | One-year | Three-year | Five-year | |||||
| Most recent for corporates and financial institutions | 79.5 | 62.9 | 55.5 | |||||
| Corporates and financial institutions | 77.9 | 64.1 | 59.2 | |||||
| Nonfinancial | 77.1 | 60.8 | 54.2 | |||||
| Financial | 73.2 | 63.6 | 62.0 | |||||
| Public finance | 38.4 | 13.0 | 5.3 | |||||
| Data as of Jan. 1, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||
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 530 issuers that S&P Global Ratings rated as of Dec. 31, 1998, or that were first rated between that date and Dec. 31, 2022. 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 at the entity's request or 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.
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 indicates that 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 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 multiple time horizons. Some methods for calculating default and rating transition rates charge defaults against only the initial rating on the issuer, ignoring more recent rating changes that supply more current information. Other methods 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, 2022, a total of 528 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 24 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, 2022, had 24 one-year transitions, while companies first rated on Jan. 1, 2022, 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, 2022, 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 1999-2019 with the ratings at the end of the years 2002-2022. Otherwise, the methodology was identical to that used for single-year transitions.
We calculated average transition matrices on the basis of 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 1 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 3 column in table 16, while those in the 'D' column of table 11 are equivalent to adding up all the defaults behind the Year 3 column's annual default rates in table 16 and dividing by the sum of all the issuers in table 16 for the years 1999-2022.
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 3 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 2021 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 23 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 to 2022 | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: All rated | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 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 | 97 | 2.06 | 3.09 | 3.09 | 3.09 | 3.09 | 3.09 | 4.12 | 8.25 | 9.28 | 9.28 | |||||||||||||
| 2003 | 114 | 0.88 | 0.88 | 0.88 | 1.75 | 1.75 | 2.63 | 6.14 | 7.02 | 7.02 | 7.02 | |||||||||||||
| 2004 | 148 | 0.00 | 0.00 | 0.68 | 0.68 | 1.35 | 4.05 | 4.73 | 4.73 | 5.41 | 6.76 | |||||||||||||
| 2005 | 154 | 0.00 | 0.65 | 0.65 | 1.30 | 5.19 | 6.49 | 6.49 | 7.14 | 8.44 | 8.44 | |||||||||||||
| 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 | 174 | 4.02 | 5.17 | 5.17 | 6.32 | 8.62 | 9.20 | 9.77 | 9.77 | 9.77 | 10.34 | |||||||||||||
| 2010 | 167 | 1.20 | 1.20 | 2.40 | 4.79 | 5.39 | 5.99 | 5.99 | 5.99 | 6.59 | 6.59 | |||||||||||||
| 2011 | 160 | 0.00 | 2.50 | 5.00 | 5.63 | 6.25 | 6.25 | 6.25 | 6.88 | 6.88 | 6.88 | |||||||||||||
| 2012 | 164 | 2.44 | 4.88 | 5.49 | 6.10 | 6.10 | 6.10 | 6.71 | 6.71 | 6.71 | 6.71 | |||||||||||||
| 2013 | 154 | 1.95 | 2.60 | 3.25 | 3.25 | 3.25 | 3.90 | 3.90 | 3.90 | 4.55 | 5.84 | |||||||||||||
| 2014 | 140 | 0.71 | 1.43 | 1.43 | 1.43 | 2.14 | 2.14 | 2.86 | 3.57 | 5.00 | ||||||||||||||
| 2015 | 142 | 0.70 | 0.70 | 0.70 | 1.41 | 1.41 | 2.11 | 3.52 | 4.93 | |||||||||||||||
| 2016 | 147 | 0.00 | 0.00 | 0.68 | 0.68 | 1.36 | 2.72 | 4.08 | ||||||||||||||||
| 2017 | 147 | 0.00 | 0.68 | 0.68 | 2.04 | 3.40 | 4.76 | |||||||||||||||||
| 2018 | 143 | 0.70 | 0.70 | 2.10 | 3.50 | 4.90 | ||||||||||||||||||
| 2019 | 142 | 0.00 | 1.41 | 2.82 | 4.23 | |||||||||||||||||||
| 2020 | 134 | 1.49 | 2.99 | 4.48 | ||||||||||||||||||||
| 2021 | 128 | 1.56 | 3.91 | |||||||||||||||||||||
| 2022 | 120 | 2.50 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 1.03 | 0.98 | 0.90 | 0.91 | 0.89 | 0.86 | 0.84 | 0.76 | 0.61 | 0.50 | ||||||||||||||
| Cumulative average | 1.03 | 2.00 | 2.88 | 3.76 | 4.62 | 5.44 | 6.23 | 6.95 | 7.52 | 7.98 | ||||||||||||||
| Standard deviation | 1.19 | 1.74 | 1.98 | 2.17 | 2.51 | 2.71 | 2.85 | 3.00 | 2.48 | 1.84 | ||||||||||||||
| Median | 0.71 | 1.20 | 2.25 | 3.25 | 3.55 | 4.05 | 5.36 | 6.71 | 6.79 | 7.02 | ||||||||||||||
| Min | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 2.56 | 5.13 | ||||||||||||||
| Max | 4.02 | 5.17 | 6.25 | 6.32 | 8.62 | 9.66 | 9.77 | 10.69 | 10.69 | 11.32 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: All rated | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 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 | 12.24 | |||||||||||||
| 2013 | 46 | 4.35 | 4.35 | 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 | 0.00 | 0.00 | ||||||||||||||
| 2015 | 48 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
| 2016 | 46 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||
| 2017 | 43 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| 2018 | 42 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
| 2019 | 42 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
| 2020 | 40 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
| 2021 | 40 | 0.00 | 0.00 | |||||||||||||||||||||
| 2022 | 39 | 0.00 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 0.57 | 0.68 | 0.80 | 0.83 | 0.87 | 0.92 | 0.97 | 1.03 | 1.11 | 1.05 | ||||||||||||||
| Cumulative average | 0.57 | 1.25 | 2.04 | 2.85 | 3.70 | 4.59 | 5.51 | 6.49 | 7.53 | 8.50 | ||||||||||||||
| Standard deviation | 1.86 | 3.13 | 4.02 | 4.66 | 5.07 | 5.37 | 5.56 | 5.58 | 5.40 | 4.83 | ||||||||||||||
| Median | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1.26 | 4.35 | 10.46 | 10.98 | ||||||||||||||
| Min | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
| Max | 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, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||
Table 17
| Static pool cumulative corporate default rates among investment-grade Mexico ratings, 1999 to 2022 | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: Investment grade | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 1999 | 27 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 7.4 | |||||||||||||
| 2000 | 37 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.7 | 5.4 | |||||||||||||
| 2001 | 57 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 | 5.3 | 7.0 | |||||||||||||
| 2002 | 94 | 1.1 | 2.1 | 2.1 | 2.1 | 2.1 | 2.1 | 3.2 | 7.4 | 8.5 | 8.5 | |||||||||||||
| 2003 | 111 | 0.9 | 0.9 | 0.9 | 1.8 | 1.8 | 2.7 | 6.3 | 7.2 | 7.2 | 7.2 | |||||||||||||
| 2004 | 141 | 0.0 | 0.0 | 0.7 | 0.7 | 1.4 | 4.3 | 5.0 | 5.0 | 5.7 | 7.1 | |||||||||||||
| 2005 | 147 | 0.0 | 0.7 | 0.7 | 1.4 | 5.4 | 6.8 | 6.8 | 7.5 | 8.8 | 8.8 | |||||||||||||
| 2006 | 153 | 0.7 | 0.7 | 1.3 | 5.2 | 6.5 | 6.5 | 7.8 | 10.5 | 10.5 | 11.1 | |||||||||||||
| 2007 | 159 | 0.0 | 0.6 | 3.1 | 3.8 | 3.8 | 5.0 | 7.5 | 7.5 | 8.2 | 8.2 | |||||||||||||
| 2008 | 169 | 1.2 | 4.7 | 5.9 | 5.9 | 7.1 | 9.5 | 9.5 | 10.1 | 10.1 | 10.1 | |||||||||||||
| 2009 | 163 | 1.2 | 2.5 | 2.5 | 3.7 | 6.1 | 6.7 | 7.4 | 7.4 | 7.4 | 8.0 | |||||||||||||
| 2010 | 153 | 0.7 | 0.7 | 2.0 | 4.6 | 5.2 | 5.9 | 5.9 | 5.9 | 5.9 | 5.9 | |||||||||||||
| 2011 | 146 | 0.0 | 0.7 | 3.4 | 4.1 | 4.8 | 4.8 | 4.8 | 4.8 | 4.8 | 4.8 | |||||||||||||
| 2012 | 153 | 0.7 | 2.6 | 3.3 | 3.9 | 3.9 | 3.9 | 3.9 | 3.9 | 3.9 | 3.9 | |||||||||||||
| 2013 | 146 | 1.4 | 2.1 | 2.7 | 2.7 | 2.7 | 3.4 | 3.4 | 3.4 | 4.1 | 5.5 | |||||||||||||
| 2014 | 135 | 0.7 | 1.5 | 1.5 | 1.5 | 2.2 | 2.2 | 3.0 | 3.7 | 5.2 | ||||||||||||||
| 2015 | 140 | 0.7 | 0.7 | 0.7 | 1.4 | 1.4 | 2.1 | 3.6 | 5.0 | |||||||||||||||
| 2016 | 143 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 2.1 | 3.5 | ||||||||||||||||
| 2017 | 143 | 0.0 | 0.7 | 0.7 | 2.1 | 3.5 | 4.9 | |||||||||||||||||
| 2018 | 141 | 0.7 | 0.7 | 2.1 | 3.5 | 5.0 | ||||||||||||||||||
| 2019 | 137 | 0.0 | 1.5 | 2.9 | 4.4 | |||||||||||||||||||
| 2020 | 129 | 1.6 | 3.1 | 4.7 | ||||||||||||||||||||
| 2021 | 118 | 0.0 | 1.7 | |||||||||||||||||||||
| 2022 | 112 | 1.8 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 0.6 | 0.8 | 0.8 | 0.9 | 0.9 | 0.9 | 0.8 | 0.7 | 0.6 | 0.5 | ||||||||||||||
| Cumulative average | 0.6 | 1.4 | 2.2 | 3.1 | 4.0 | 4.9 | 5.7 | 6.4 | 6.9 | 7.4 | ||||||||||||||
| Standard deviation | 0.9 | 1.3 | 1.6 | 1.8 | 2.1 | 2.4 | 2.6 | 2.8 | 2.4 | 2.0 | ||||||||||||||
| Median | 0.7 | 0.7 | 2.0 | 2.7 | 3.6 | 3.9 | 4.4 | 5.0 | 5.8 | 7.2 | ||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.7 | 3.9 | ||||||||||||||
| Max | 3.7 | 4.7 | 5.9 | 5.9 | 7.1 | 9.5 | 9.5 | 10.5 | 10.5 | 11.1 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: Investment grade | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 1999 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2000 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2001 | 28 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.6 | |||||||||||||
| 2002 | 48 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.1 | 2.1 | |||||||||||||
| 2003 | 59 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.7 | 1.7 | 11.9 | |||||||||||||
| 2004 | 76 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | 1.3 | 10.5 | 11.8 | |||||||||||||
| 2005 | 81 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | 1.2 | 9.9 | 11.1 | 11.1 | |||||||||||||
| 2006 | 77 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | 1.3 | 10.4 | 11.7 | 11.7 | 11.7 | |||||||||||||
| 2007 | 78 | 0.0 | 0.0 | 0.0 | 1.3 | 1.3 | 10.3 | 11.5 | 11.5 | 11.5 | 11.5 | |||||||||||||
| 2008 | 81 | 0.0 | 0.0 | 1.2 | 1.2 | 9.9 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | |||||||||||||
| 2009 | 73 | 0.0 | 1.4 | 1.4 | 11.0 | 12.3 | 12.3 | 12.3 | 12.3 | 12.3 | 12.3 | |||||||||||||
| 2010 | 69 | 1.4 | 1.4 | 11.6 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | |||||||||||||
| 2011 | 55 | 0.0 | 9.1 | 10.9 | 10.9 | 10.9 | 10.9 | 10.9 | 10.9 | 10.9 | 10.9 | |||||||||||||
| 2012 | 48 | 8.3 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | |||||||||||||
| 2013 | 43 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | 2.3 | |||||||||||||
| 2014 | 40 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| 2015 | 43 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2016 | 43 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||
| 2017 | 41 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| 2018 | 41 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 2019 | 42 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 2020 | 39 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||
| 2021 | 39 | 0.0 | 0.0 | |||||||||||||||||||||
| 2022 | 38 | 0.0 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 0.5 | 0.7 | 0.8 | 0.9 | 0.9 | 1.0 | 1.0 | 1.1 | 1.1 | 1.1 | ||||||||||||||
| Cumulative average | 0.5 | 1.2 | 2.0 | 2.9 | 3.7 | 4.7 | 5.6 | 6.6 | 7.7 | 8.7 | ||||||||||||||
| Standard deviation | 1.8 | 3.1 | 4.1 | 4.7 | 5.1 | 5.5 | 5.7 | 5.8 | 5.6 | 5.1 | ||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | 2.3 | 10.7 | 11.1 | ||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Max | 8.3 | 12.5 | 12.5 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | 13.0 | ||||||||||||||
| Data as of Jan. 1, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||
Table 18
| Static pool cumulative corporate default rates among speculative-grade Mexico ratings, 1999 to 2022 | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating: Speculative grade | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 2000 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2001 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2002 | 3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | |||||||||||||
| 2003 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2004 | 7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2005 | 7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 2006 | 6 | 0.0 | 0.0 | 0.0 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | |||||||||||||
| 2007 | 11 | 0.0 | 0.0 | 27.3 | 27.3 | 27.3 | 27.3 | 27.3 | 27.3 | 27.3 | 27.3 | |||||||||||||
| 2008 | 7 | 0.0 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | |||||||||||||
| 2009 | 11 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | |||||||||||||
| 2010 | 14 | 7.1 | 7.1 | 7.1 | 7.1 | 7.1 | 7.1 | 7.1 | 7.1 | 14.3 | 14.3 | |||||||||||||
| 2011 | 14 | 0.0 | 21.4 | 21.4 | 21.4 | 21.4 | 21.4 | 21.4 | 28.6 | 28.6 | 28.6 | |||||||||||||
| 2012 | 11 | 27.3 | 36.4 | 36.4 | 36.4 | 36.4 | 36.4 | 45.5 | 45.5 | 45.5 | 45.5 | |||||||||||||
| 2013 | 8 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | 12.5 | |||||||||||||
| 2014 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| 2015 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 2016 | 4 | 0.0 | 0.0 | 25.0 | 25.0 | 25.0 | 25.0 | 25.0 | ||||||||||||||||
| 2017 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| 2018 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 2019 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 2020 | 5 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||
| 2021 | 10 | 20.0 | 30.0 | |||||||||||||||||||||
| 2022 | 8 | 12.5 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 9.2 | 4.6 | 3.4 | 0.9 | 0.0 | 0.0 | 1.0 | 1.1 | 1.1 | 0.0 | ||||||||||||||
| Cumulative average | 9.2 | 13.4 | 16.3 | 17.1 | 17.1 | 17.1 | 17.9 | 18.8 | 19.7 | 19.7 | ||||||||||||||
| Standard deviation | 12.6 | 14.3 | 14.6 | 14.6 | 14.8 | 14.9 | 16.0 | 16.5 | 16.6 | 16.6 | ||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 3.6 | 7.1 | 9.8 | 7.1 | 13.4 | 14.3 | ||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Max | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | 45.5 | ||||||||||||||
| Government | ||||||||||||||||||||||||
| Rating: Speculative grade | ||||||||||||||||||||||||
| --Time horizon-- | ||||||||||||||||||||||||
| Year | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | |||||||||||||
| 1/1/2002 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2003 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2004 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2005 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2006 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2007 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2008 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2009 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2010 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2011 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2012 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
| 1/1/2013 | 3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | |||||||||||||
| 1/1/2014 | 6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| 1/1/2015 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||
| 1/1/2016 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||
| 1/1/2017 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| 1/1/2018 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2019 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2020 | 1 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||
| 1/1/2021 | 1 | 0.0 | 0.0 | |||||||||||||||||||||
| 1/1/2022 | 1 | 0.0 | ||||||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | ||||||||||||||
| Marginal average | 2.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Cumulative average | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | 2.6 | ||||||||||||||
| Standard deviation | 6.8 | 7.0 | 7.1 | 7.3 | 7.5 | 7.6 | 7.9 | 8.1 | 8.3 | 8.6 | ||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Max | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | ||||||||||||||
| Data as of Jan. 1, 2023. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||
Appendix III: 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').
For example, if 'mxCCC'/'mxC' rated entities made up 10% of the total issuers at the start of the timeframe 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' 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 7).
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
This report does not constitute a rating action.
| Credit Research & Insights: | 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 |
No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.