Moody`s Credit Risk Calculator: User Manual
Contents
1. Accumulation Periodicity A calendar vearts Last Cohort Date January E 2008 calendar Cohort Spacing Yearly 2 Cancel How to create year to date default rates Set the First Cohort Date to January 1 of this year set Accumulation Periodicity and Cohort Spacing to monthly The cumulative default rate for the January 1 cohort will be the year to date default rate Once you enter the specification of your report click on Save button This will bring you back to the CRC homepage Moody s Credit Risk Calculator User Manual 5 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Viewing the Results Credit Risk Calculator Default Reports You can easily Edit Copy Rename See Details Delete or Share reports with other CRC users Click on the name of the report you would like to run When your report is ready you will automatically be brought to the results The first screen you see will feature the details of your report The Report Definition tab restates the exact report specifications including Name Time Period Cohort Accumulation Period Countries and Industries Default Rate Analysis Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report N t D at Marginal Default Cumulative Default Wtd Avg Cumulative Default Default Rate Time Definition a on ee Rates Rates Rates Series Report Name CRC User Manual Report Period F2. 30 00 30 00 30 00 17 91 17 91 36 39 36 39 36 39 40 00 64 00 76 00 76 00 76 00 Investment Grade 0 00 0 33 1 40 2 18 2 45 Speculative Grade 3 96 7 22 21 88 24 22 27 44 All Corporates 1 02 2 08 6 36 74T 8 33 oa a a a a ela l W Weighted Average Marginal and Cumulative Default Rates Weighted Average Cumulative Default Rates are built from Weighted Average Marginal Default Rates Each row for each cohort is weighted so that years with larger numbers in the denominators have more weight than years with smaller numbers in the denominators Marginal default rates and consequently cumulative default rates are calculated as before this time only with weighted numerators and denominators Default Rate Analysis Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report atacseamractsate I E EE Marginal Default Cumulative Default Wtd Avg Cumulative Default Default Rate Time Definition Rates Rates Rates Series gt Alpha Numeric i Year1 Year 2 Year3 Year 4 Years Year6 Year 0 00 0 00 0 00 0 05 0 10 0 11 0 11 0 00 0 00 0 04 0 11 0 11 0 12 0 11 0 03 0 07 0 16 0 16 0 16 0 18 0 18 0 19 0 34 0 41 0 54 0 53 0 55 0 58 1 26 2 24 2 62 2 63 2 73 2 53 2 25 5 58 6 87 6 91 6 64 6 32 6 00 5 87 18 72 13 79 13 12 12 50 12 69 12 34 10 93 Investment Grade 0 08 0 15 0 21 0 27 0 27 0 28 0 29 Speculative Grade 4 63 4 93 4 84 4 49 4 24
3. 2 Moody s Corporate Default Risk Service Technical Specifications Ratings Analytics Default Research Default Risk Service Corporate Recove ry Service Corporate Default Risk Service Structured Credit Risk Calculator Market Implied Ratings Guide to Default Research Methodology MDR Service i Monthly Default Reports i Quarterly Rating Activity amp Reviews Corporate Bond Research Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Regions Determine the country or countries to be included in your analysis Typically this refers to legal domicile but for defaulters it refers to effective domicile Select a Region from the drop down box to display all the available countries in that region Highlight one country or multi countries by pressing the CTRL key and use the single arrow to move the effective countries to be included in the report You can use the double arrow to move all shown countries in the selected region You may select among and across all available regions and countries for example parts of Asia plus Argentina and Brazil Select the effecte countries to be included in the report Please Select the Region z Selected Countries Please Selectthe Region f matia All Countries Africa Asia Australia amp Her Zealand Europe Italy fiddle East Turkey Hoth America amp Carribbean United States South America Trinidad amp Tobago Southe
4. 3 23 11 52 FO 8 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Cumulative Default Rates report incorporates the probability of survival from one period to the next Cumulative default rates are built from marginal default rates taking into account survival probability Cumulative Default Rate D t 1 S t where Survival Probability S t 1 P 1 P3 1 P and P Marginal Probability of Default As expected cumulative default rates are non decreasing functions of time as more defaults take place in subsequent years Default Rate Analysis Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report A Marginal Default Cumulative Default Wtd Avg Cumulative Default Default Rate Time aes Numerators Denominators P Definition Rates Rates Rates Series Letter gt ohort Formed 1 1 1983 14111983 1411984 18111987 1411988 1411989 0 00 0 00 2 90 2 90 2 90 0 00 0 00 0 00 3 33 3 33 0 00 0 00 1 40 1 40 1 40 0 00 0 00 0 00 2 42 2 42 0 00 0 00 1 06 3 29 3 29 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 1 42 1 42 1 42 0 00 0 00 2 79 2 79 2 79 0 00 3 35 5 83 7 32 10 41 0 00 0 00 4 49 4 49 8 94 0 00 2 25 19 98 26 65 30 72 2 70 5 59 25 29 30 03 32 62 0 00 7 75 24 45 26 33 30 80 10 00 10 00
5. 3 83 3 40 All Corporates 1 58 1 61 1 51 1 35 1 18 1 03 4 gt i Year1 Year2 Year 3 Year 4 Year 5 Year 6 Year 0 00 0 00 0 00 0 05 0 15 0 25 0 36 0 00 0 00 0 04 0 16 0 26 0 38 0 48 0 03 0 10 0 25 0 41 0 57 0 76 0 94 0 19 0 53 0 94 1 48 2 00 2 53 3 10 1 26 3 47 6 00 8 47 10 97 13 22 15 17 5 58 12 08 18 15 23 58 28 41 32 71 36 66 18 72 29 93 39 12 46 73 53 49 59 23 63 69 Investment Grade 0 08 0 22 0 44 0 71 0 98 1 26 1 55 Speculative Grade 4 63 9 33 TaT 17 59 21 09 24 11 26 69 All Corporates 1 58 3 17 gt Moody s Credit Risk Calculator User Manual 9 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued Default Rate Time Series summarizes data from the cumulative default rate report Default rate time series takes the first col umn of each cohort from the cumulative default rate report and summarizes the data on a single page for Letter and Alpha Numeric ratings CRC User Manual gt Download to Excel Date as of 8 24 2007 Marginal Default Cumulative Default Wtd Avg Cumulative Default Default Rate Time Rates Rates Rates Series 11111970 14111971 14111972 11111973 14111974 111975 14111976 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 56 0 00 0 00 0 47 0 00 0 00 0 00 4 44 0 90 0 00 0 00 0 0
6. 0 1 07 1 04 21 54 0 00 8 33 4 44 11 54 3 51 0 00 53 33 14 29 40 00 44 44 0 00 0 00 0 00 Investment Grade 0 28 0 00 0 00 0 24 0 00 0 00 0 00 Speculative Grade 9 17 1 20 2 05 1 36 1 42 1 38 0 91 All Corporates 2 74 0 30 0 47 0 47 0 29 0 28 0 18 4l gt Alpha Numeric Default Rate Time Series 11111983 14111984 111985 11 1986 11111987 14111988 1411989 Lj 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 87 0 00 1 14 0 00 6 00 0 00 0 00 1 08 0 00 1 25 0 00 0 90 3 80 0 00 0 83 0 00 1 72 1 80 0 00 1 10 0 00 2 08 2 70 0 00 3 03 3 72 3 17 2 80 417 0 00 5 93 4 44 7 87 4 55 4 58 5 12 10 00 20 00 8 33 19 23 4 94 8 08 9 38 17 91 2 99 14 14 16 36 10 53 9 86 16 79 40 00 100 00 0 00 26 67 22 22 31 58 25 00 Investment Grade 0 00 0 10 0 00 0 35 0 00 0 00 0 17 Speculative Grade 3 96 3 49 3 91 5 86 4 40 3 74 5 46 All Corporates 1 02 0 99 1 09 2 03 1 62 1 49 2 30 rnm Credit Risk Calculator Rating Migration Reports Click on Create after the Rating Migration Report s header This w
7. 11 1986 12 17 1987 09 08 1997 01 20 1998 Southwest Bancshares Inc Texas American Bancshares Inc Marginal Default Rates report represents the default rate for a given time period for each cohort ignoring what happened in the previous period Marginal default rate is Numerator divided by Effective Denominator for a given period t As Effective Denominators are adjusted for Rating Withdrawals WRs Marginal Default Rates are adjusted for Rating Withdrawals Should the users desire to obtain Marginal Default Rates unadjusted for Rating Withdrawals they can obtain them by dividing the Numerators by total number of issuers in each rating group as of the cohort formation date This can be obtained from the first column Total on the Denominators tab Default Rate Analysis Report CRE User Manual Date as of 8 24 2007 Report EEEE ER El E S E Marginal Default Cumulative Default Wid Avg Cumula Definition Rates Rates Rates Letter ohort Formed 1 1 1983 Ratings T1983 11171984 TAN 985 17171986 11171987 Aga 0 00 0 00 0 00 0 00 2 90 Aal 0 00 0 00 0 00 0 00 0 00 Aa 0 00 0 00 0 00 0 00 1 40 Aas 0 00 0 00 0 00 0 00 0 00 Al 0 00 0 00 0 00 1 06 0 00 AZ 0 00 0 00 0 00 0 00 0 00 AG 0 00 0 00 0 00 0 00 0 00 Baal 0 00 0 00 1 42 0 00 0 00 Baa 0 00 0 00 0 00 1 34 1 47 Baas 0 00 3 35 0 00 2 56 0 00 Bal 0 00 0 00 1 39 3 15 0 00 Ha 0 00 2 25 4 94 13 69 0 00 Bad 2 70 2 96
8. 75 11111976 i Aaa 1 0 0 0 0 0 0 0 0 0 0 0 0 0 3 0 0 0 0 0 0 0 0 0 0 0 0 0 16 0 0 0 0 0 1 0 0 0 1 0 33 0 0 0 0 0 2 0 1 0 0 0 37 0 2 0 1 0 1 0 2 0 2 0 2 0 0 0 1 0 0 0 0 0 0 0 6 0 1 0 3 0 1 0 0 0 0 0 Investment Grade 53 0 0 0 0 0 3 0 1 0 1 0 Speculative Grade 45 0 3 0 5 0 2 0 2 0 2 0 All Corporates 98 0 3 0 5 0 5 0 3 0 3 0 Denominators Denominators report shows the total number of issuers available to default and effective denominators Total column repre sents the total number of issuers at the beginning of each cohort and includes the withdrawn WR ratings Withdrawn ratings are used for issuers that exit the pool for non credit related reasons i e maturing bonds merger etc In these cases it is assumed that issuers exit the pool half way through the accumulation period Effective Denominators do not include WR ratings Current year s Effective Denominator is calculated by removing 1 all the past defaults 2 all withdrawals in the years from the formation of the cohort until the end of the last year and 3 half of the WR issuers in the current year from the pool of issuers in the original cohort For a more detailed discussion of Rating Withdrawals and Default Rate Calculations see Moody s Special Comment Measuring Corporate Default Rates by Hamilton and Cantor 2006 RATINGS ANALYTICS Credit Risk Calculator Ratings Analytics Default Research The Credit Risk Calculator is the same tool used by our
9. Calculator User Manual 7 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued issuer Drill Down Capabilities The drill down feature allows users to click on any non zero number to see the issuers that make up that number on either the Numerators or the Denominators tabs When users click on the number they are taken to new screen which will show the Report Name Sub Report Type Rating Type and Rating Cohort of the selected number and Accumulation period The bottom of the screen reports the full list of the issuers that comprise of the selected number Furthermore two drop down boxes allow users to narrow the list of issuers based on Industries and or Countries When users click on the sign next to the name of the issuer a Summary of the issuer s rating history is provided When users click on the name of a certain issuer they are taken to a screen which provides a Summary of the issuer Default Rate Analysis Report Report Name CRC User Manual Sub Report Type Numerators Rating Type Rating AlphaNumeric A1 Cohort 1 1 1983 Accumulation Total Date as of 08 24 2007 Industries all gt Countries All X View Issuers Results 1 40f4 Prev Ha Hext Issuer List All Issuers All ABCDEFGHIJKLMN OPQARSTUY WK YZ Furniture Brands International Inc Smith International Inc 04 26 1979 04 261 982 06 11 1984 05 2141985 02 06 1986 02 20 1986 03
10. Moody s Credit Risk Calculator User Manua BY A Moody s Credit Risk Calculator User Manual By Ozgur B Kan Moody s Credit Risk Calculator CRC is a web based report writer that allows for the generation of customized Default Rate and Rating Migration Analysis broken down by Letter and Alpha Numeric rating level geography indus try sector and timeframe This manual will supplement the CRC User Guide CRCUserGuide pdf available under Rating Analytics on Moodys com and is intended to serve as a practical manual for users of CRC Introduction Moody s Annual Default Study provides aggregate historical default and migration rates However a variety of users i e investors credit officers fixed income and credit researchers risk managers portfolio managers structured finance structurers hedge fund managers and academics might need more detailed and customized information based on their selected ratings level time frame geography and industry CRC provides an easy to use tool for the customized need of such users Creating and Running Reports In order to create and run reports in Moody s Credit Risk Calculator place your mouse over Rating Analytics on Moodys com page and click on Credit Risk Calculator This will bring you to the Credit Risk Calculator homepage RATINGS ANALYTICS Credit Risk Calculator Ratings Analytics Default Research The Credit Risk Calculator is the same tool used by our own analyst
11. Structured Credit Risk Calculator Market Implied Ratings Guide to Default Research Methodology MDR Service i Monthly Default Reports i Quarterly Rating Activity amp Reviews Corporate Bond Research Default Studies i Rating Transitions i Recovery Studies i Ratings Performance Bank Loan Research Structured Finance Research i Default and Loss Studies Rating Transitions Rating Performance Municipal Bond Research Sovereign Bond Research Commercial Paper Research Other Studies Events gt Key Contacts s Motifiantianes Cant Credit Risk Calculator Default Rate Analysis Report s In order to create a new reports click on Create after the Default Rate Analysis Report s header This will take you to the Input screen where you can enter a report name in the Enter Report Name box You can also enter a brief descrip tion of your report in the Report Description box Pen issuer Name FIR2 i fa For is currently m Ozgur Kan Your Profile advanced SEARCH home about moody s products amp services watchiist credit trends Credit Risk Calculator g0 ratings news gt what s NEW for you events find an analyst contact help your PORTFOLIO RATINGS ANALYTICS Credit Risk Calculator Edit Default Rate Analysis Report Help Enter Report Name CRC User Manual Report Description Credit Risk Calculator User Manual IAN echaractare only
12. User Manual gt Download to Excel Date as of 8 24 2007 Report Migration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Definition Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File Letter Rating Alpha Numeric Scale Optional Enter Matrix Name 50 Chars max Credit Risk Calculator User Manual Note The CreditMetrics text file is created from the respective Letter Alpha Numeric summary average matrix excluding withdrawal rating Clear 14 a Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued References Hamilton D T Cantor R 2006 Measuring Corporate Default Rates Moody s Global Credit Research November Report Number 100779 Appendix A Tips on Industry Selection In order to replicate the Moody s Annual Default Study the user should choose all of Moody s 12 industry classification except Sovereign The users are recommended to use the Industry Categories that cover All issuers Broad Specific Broad Moody s 12 Specific Broad to get more complete results from their analyses unless they have a specific reason to choose from other Industry Categories that cover only a Subset of issuers Broad SIC code Moody s 33 Specific SIC code The choice of industries depends on the user s specific needs For exam
13. a Numeric rat ing Average Rating Migration is the weighted average migration rate weighted by the number of issuers in each cohort In addi tion the report provides descriptive statistics for Maximum Median Minimum and Standard Deviation of the cells For a certain cohort if the number of issuers in a certain rating migration cell is zero then this cell is not taken into consideration during the computation of the summary statistics p CRC User Manual gt Download to Excel Date as of 8 24 2007 Migration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File Rating To Aaa 65 20 3 85 0 19 0 19 0 06 0 03 0 00 Rating To Aaa Caa C 95 45 1 27 0 00 9 57 1 78 0 41 0 80 1 96 0 54 0 59 6 16 2 25 0 53 21 40 6 23 0 39 72 00 11 22 0 00 33 33 100 00 Rating To Aaa 62 99 3 29 0 17 0 14 0 00 0 00 0 00 Summary Excl Withdrawn Ratings report provides the similar average and other key descriptive statistics by excluding WRs from the analysis Create Credit Manager 2 0 Compatible Text File Credit Manager 2 0 is a JP Morgan Credit metrics report used for Value At Risk Analysis This function allows users to export data directly into Credit Manager Key model inputs include Moody s migration rates excluding WRS Rating Migration Report CRC
14. ansition Interval is the length of time over which the rating migrations will be measured For example selecting a Time Unit in Year s and Number of Units as 4 four will result in a report that includes a four year rating transition matrix As a caution the last cohort date must be chosen to be less than or equal to the last available cohort date based on selected time unit and number of units For example if cohort spacing is selected as Yearly with time units selected in Year s and number of units selected as 4 four then the last cohort date beginning January 1 would be from year 2003 not 2006 as of September 2007 when this manual was being compiled with the most recent complete annual data being from 2006 Define Rating Migration Cohorts Cohort Dates amp Spacing Transition Interval First Cohort Date January o s70 select Time Unit calendar vearts Enter Number of Units Last Cohort Date January o 2002 a calendar Cohort Spacing Yearly 12 Sawe Cancel Once the inputs are entered click on Save button This will bring you back to the CRC homepage Viewing the Results Credit Risk Calculator Rating Migration Reports You can easily Edit Copy Rename See Details Delete or Share reports with other CRC users Click on the name of the report you would like to run When your report is ready you will automatically be brought to the results The first screen you see will feature th
15. ast Asia Finland Germany France Denmark Select Industries Determine the industries to be included in your analysis First decide which industry categorization you would like to use and use the drop down box to select the industry or industries to be included in your analysis All issuers in the data set are coded with the Moody s 12 the classifications used in CRC Version 1 0 and Moody s Broad and Specific Codes A subset of the issuers are coded with Standard Industrial Classification SIC and Moody s 33 CDO Diversity Codes Select the Industries to be included in the report Moody s 2 Selected Industries Please Select the Industry Categorization M12 Banking Broad Specific hi12 Consumer Products Broad Industry hi412 Energy Broad SIC Code hid2 Financial Non Bank Mid2 Hotel Gaming amp Leisure Mi2 Industrial Mi12 Miscellaneoqus hid2 Retail Mi2 Technology hdd2 Transportation Moodys 12 Moody s 33 Specitic Broad Specific SIC Code Moody s Credit Risk Calculator User Manual 3 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued You may select within or across these categories Appendix A provides some tips on the selection of industries for analysis 4 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Time Period Cohort Dates amp Spacin
16. e details of your report The Report Definition tab restates the exact report specifications including Name Time Period Cohort Transition Periodicity Countries and Industries Rating Migration Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report Migration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Definition Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File Report Name CRC User Manual Report Period From 1 1 1970 to 1 1 2002 Cohort Spacing Yearly Transition Periodicity Year s Transition Unit 4 Report Definition Last Updated 8 24 2007 Countries 4rgentina Aruba Australia Austria Bahamas Bahamas Off Shore Bahrain Off Shore Barbados Belgium Belize Bermuda Bolivia Brazil British Virgin Islands Bulgaria Canada Cayman Islands Cayman Islands Off Shore Channel Islands Chile China Colombia Costa Rica Croatia Cyprus Czech Republic Denmark Dominican Republic Ecuador Egypt El Salvador Estonia Fiji Finland France Germany Greece Guatemala Guernsey Honduras Hong Kong Hungary Iceland India Indonesia Iran Ireland Isle of Man Israel Italy Jamaica Japan Jersey Jordan Kazakhstan Korea Kuwait Latvia Lebanon Liberia Liechtenstein Lithuania Luxembourg Malaysia Malta Mauritius Mexico Micronesia Moldova Morocco Netherlands Netherlands Antilles New Zealand Nicaragua Norway Oman Pak
17. e numerator is the number of defaults over the accumulation period which starts on the date given by the column heading As an example 1 1 1970 refers to the accumu lation period calendar year that starts on January 1st 1970 and ends on December 31st 1970 You have to scroll RIGHT on the results to see the numbers in the later years and you have to scroll DOWN on the page to see the results of the cohorts formed in the later years 6 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Default Rate Analysis Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report P Marginal Default Cumulative Default Wtd Avg Cumulative Default Default Rate Time heres Numerators Bettie es Definition Rates Rates Rates Series gt Alpha Numeric Number of Defaults by Issuers in Year X After Being Rated Y Total 11111970 14111971 14111972 141111973 14111974 14111975 1r 1 0 0 0 0 0 0 0 0 0 0 0 0 0 40 0 0 0 0 0 0 0 0 0 0 0 0 14 0 0 0 0 0 0 0 1 0 0 0 1 0 35 0 2 0 0 0 0 0 2 0 1 0 0 0 44 0 10 0 2 0 1 0 1 0 2 0 1 0 10 0 7 0 0 0 1 0 0 0 0 0 14 0 8 0 1 0 3 0 1 0 0 0 Investment Grade 54 0 2 0 0 0 0 0 3 0 1 0 Speculative Grade 68 0 25 0 3 0 5 0 2 0 2 0 All Corporates 122 0 27 0 3 0 5 0 5 0 3 0 f 4l gt Number of Defaults by Issuers in Year X After Being Rated Y Ratings Total 11111971 11111972 11111973 11111974 111119
18. eet Kaur 44 20 7 112 81714 taranpreet kaur moodys com Asia Client Services Desk 852 2916 1121 mdyasiainfo moodys com Japan Client Services Desk 81 3 5408 4100 mdytokinfo moodys com M
19. g Default Report Determine First Cohort Date using the drop down box The First Cohort Date is the date at which the first set of issuers will be formed to be included in the analysis Determine Last Cohort Date using drop down box The Last Cohort Date is defined similar to the First Cohort Date The Last Cohort Date is the latest date a cohort can be defined given the time span covered by the data set and the specified Accumulation Periodicity Select Cohort Spacing from the drop down box Cohort Spacing is the amount of time desired between the creation of each cohort i e How often do you want to form a new pool of issuers The currently available options are Yearly Quarterly and Monthly Currently Cohort Spacing must be Greater Than or Equal to Accumulation Periodicity Select Accumulation Periodicity from the drop down box Accumulation Periodicity is the desired length of time for which a default rate is to be calculated i e How often do you want to check for defaults The currently available options are Year s Quarter s Month s and Week s Select the Industries to be included in the report Moody s 12 Selected Industries hi 2 hdedia hii2 Banking hi2 Sowereign hid2 Consumer Products hid Enerngy hii2 Financial Non Bank hidi2 Hotel Gaming amp Leisure hid2 Industrial hid Miscellanecus M42 Retail hid2 Technology hd2 Transportation Cohort Dates amp Spacing First Cohort Date January 0 1a70
20. gration Excl Withdrawn Ratings reports are similar to the Migration Incl WR reports but do not include withdrawn ratings WR columns in the calculation The exclusion of the WRs indicates that they will be deducted from the denominators in the computation of Migration Rates Therefore the migration rates for Migration Excl Withdrawn Ratings reports will be higher than those of Migration Incl Withdrawn Ratings reports Rating Migration Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report Migration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Definition Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File Letter gt Migration Rate Migration Count 4 Year s Rating Migrations for the Cohort Formed 01 01 83 Rating To Aaa 58 14 5 26 1 27 0 00 1 03 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 Issuer Drill Down Capabilities The drill down feature allows users to click on any non zero number to see the issuers that make up that number on Migration Count Incl WRs and Excl WRs tabs When users click on the number they are taken to a new screen which will show the Report Name Sub Report Type Rating Type Cohort Date and the Rating Migration i e rating as of the cohort formation date and the rating migrated to of the selected number The bottom of the screen reports the full li
21. gration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Definition Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File Letter gt ss Migration Rate Rate Migration Count 4 Year s Rating Migrations for the Cohort Formed 01 01 83 Rating To 2 5 5 ooaqoo0oaco0qocoooqocdo o hn of a a ee oOoaqooaoo0qcoooo oaoo Ww Ro Go h ooqgooaoooaococeo0on eo a gon oooo ONnNnNnHowowoft of O Migration Rate tab shows migration rates calculated based on the migration counts Migration rates are calculated as the migra tion count for one cell divided by the sum of migration counts for the whole row This calculation does not count for survivorship as the migration report includes Rating Withdrawals WRs Rating Migration Report CRC User Manual gt Download to Excel Date as of 8 24 2007 Report Migration Incl Migration Excl Summary Incl Summary Excl Create CreditManager 2 0 Definition Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Withdrawn Ratings Compatible Text File gt Alpha Numeric Migration Rate Migration Count 4 Year s Rating Migrations for the Cohort Formed 01 01 70 Rating To 4 Year s Rating Migrations for the Cohort Formed 01 01 72 1 2 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Mi
22. ill take you to the Input screen where you can enter a report name in the Enter Report Name box You can also enter a brief description of your report in the Report Description box RATINGS ANALYTICS Credit Risk Calculator Edit Rating Migration Report Ratings Analytics Default Research Default Risk Service Corporat Recovery Service Corporate Default Risk Service Structure Credit Risk Calculator Market Implied Ratings Enter Report Name CRC User Manual Guide to Default Research Help Report Description Credit Risk Calculator User Manual Methodology MDR Service Monthly Default Reports i Quarterly Rating Activity amp Re 240 characters oniv Corporate Bond Research Regions The determination and input of the country or countries to be included in Migration Report s analysis is the same as in the Default Rate Analysis Report s Select Industries The determination and input of the industries to be included in Migration Report s analysis is the same as in the Default Rate Analysis Report s 10 Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued Time Period Cohort Dates amp Spacing Rating Migration Report The determination of First Cohort Date Last Cohort Date and Cohort Spacing in Migration Report s analysis is the same as in the Default Rate Analysis Report s The Tr
23. istan Panama Paraguay Peru Philippines Poland Portugal Puerto Rico Qatar Romania Russia Saudi Arabia Singapore Slovak Republic Slovenia South Africa Spain Supranational Sweden Switzerland Taiwan Thailand Trinidad amp Tobago Tunisia Turkey Ukraine United Arab Emirates United Kingdom United States Uruguay Venezuela Industries M12 Banking M12 Consumer Products M12 Energy M12 Financial Non Bank M12 Hotel Gaming amp Leisure M12 Industrial M12 Media M12 Miscellaneous M12 Retail M12 Technology M12 Transportation M12 Utilities All Rating Migration Report pages can be exported to Excel Moody s Credit Risk Calculator User Manual 11 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued Migration Incl Withdrawn Ratings Migration Count tab shows how many issuers moved from the row rating to the column rating over the time period chosen for each cohort You can view the results for both Letter and Aloha Numeric ratings which started in 1983 In the last two columns of the report Default and Ratings Withdrawn WR are treated as separate and mutually exclusive exhaustive columns It should be noted that the Default column in the Rating Migration report should be equal to the numerator column from a Default Rate Analysis report with the same specifications Rating Migration Report CRC User Manual Download to Excel Date as of 8 24 2007 Report Mi
24. nvestors Service Moody s Credit Risk Calculator User Manual Moody s Credit Risk Calculator User Manual continued On this page you can access Moody s research to complement your analyses create edit and run your own reports as well as those of other users who share their reports set up contacts set e mail notifications to learn about data updates and product enhancements RATINGS ANALYTICS Credit Risk Calculator The Credit Risk Calculator is the same tool used by our own analysts to produce default rate and rating migration research This flexible easy to use program allows clients to create customized default rate and rating migration analyses based on rating level industry sector geography and timeframe Moody s Senior Ratings Algorithm gt User Guide Sample Default Report Sample Rating Migration Report Your Custom Reports Use this area to create manage and share your reports with other Credit Risk Calculator users Default Rate Analysis Report s CRC User Manual Cumulative_Def_Rate_2004 Marginal_Def_Rates_2002 create share all rename detail delete rename detail delete rename detail delete Rating Migration Report s create share all 1970_2005_MigrationMatrix copy rename detail delete Corporate Migration copy rename detail delete CRC User Manual conv rename detail delete Ratings Analytics Default Research Default Risk Service Corporate Recovery Service Corporate Default Risk Service
25. own analysts to produce default rate and he ee wot Corporate gt gt y recovery Service Corporate rating migration research This flexible easy to use program allows clients to create customized Dfa iE RIGE Sands Studii default rate and rating migration analyses based on rating level industry sector geography and Credit Risk Calculator timeframe Market Implied Ratings Moody s Senior Ratings Algorithm gt Guide to Default Research Methodology gt MDR Service gt User Guide i Monthly Default Reports Sample Default Report i Quarterly Rating Activity amp Reviews Sample Rating Migration Report Corporate Bond Research i Default Studies i Rating Transitions Use this area to create manage and share your reports with other Credit Risk Calculator users Ratings Performance gt Bank Loan Research Structured Finance Research Default Rate Analysis Report s create share all Detail aai Lane Stuilae 2006_Annual_Sample rename detail delete Rating Transitions Cumulative_Def_Rate_2004 rename detail delete i Rating Performance Marginal_Def_Rates_2002 rename detail delete gt Municipal Bond Research Sovereign Bond Research Commercial Paper Research Rating Migration Report s create share all gt Other Studies 1970_2005_MigrationMatrix rename detail delete Bente Corporate Migration rename detail delete Key Contacts CRC User Manual rename detail delete 5 SEO E Mind Moody s Credit Risk
26. ple E For an issuer like a Banking Corporation 1 One way to determine the industry might be to select Banking as the Broad industry classification 2 However if the issuer operates solely in the U S a 1 Broad 2 Specific industry selection of 1 Banking 2 U S Bank or 1 Banking 2 U S Bank Holding might be more appropriate 3 Similarly if the user knows the issuer is a U S Bank then a selection of 1 Specific 2 Broad industry choice of 1 U S Bank 2 Banking or 1 U S Bank Holding 2 Banking might be more appropriate E Fora Leasing company the first alternative that a user might come across is the 1 Broad 2 Specific industry classification of 1 Finance 2 Leasing However when the user examines the 1 Specific 2 Broad industry classifications there are 4 four types of Leasing issuers Leasing Finance Leasing Industrial Leasing Public Utility Leasing Transportation Therefore the user can choose the more appropriate classification based on the characteristics of the issuers Moody s Credit Risk Calculator User Manual 15 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued To learn more about Moody s Risk Management Services please contact your sales representative or call Moody s at one of the loca tions listed Americas Norman Stewart 1 212 553 487 7 norman stewart moodys com Europe Taranpr
27. rom 1 1 1970 to 1 1 2006 Cohort Spacing Yearly Accumulation Period Year s Report Definition Last Updated 8 24 2007 Countries Austria Finland Germany France Denmark Italy Turkey United States Trinidad amp Tobago Industries M12 Banking M12 Consumer Products M12 Energy M12 Financial Non Bank M12 Hotel Gaming amp Leisure M12 Industrial M12 Miscellaneous M12 Retail M12 Technology M12 Transportation M12 Utilities All Default Rate Analysis Report pages can be exported to Excel Default Reports include Numerators Numerators report shows the number of issuers that defaulted over the specified period total period and each accumulation period as defined on the report definition tab of the default reports The screen can be viewed based on either the Letter or Alpha Numeric Ratings The title Number of Defaults by Issuers in Year X after Being Rated Y refers to the cohort formation as of the beginning of the first accumulation period If the rating of an issuer changes over time i e if the original rating was Aa3 on the cohort formation date and it changed from Aa3 to Baa2 after two years an ultimate default will still be recorded under Aa3 which was the rating held by issuer as of the cohort formation date The second column Total reports the total number of defaults over the specified period beginning as of the cohort formation date until the end of the last accumulation period Starting from third column on th
28. s to produce default rate and ribet trendiest rating migration research This flexible easy to use program allows clients to create customized ABE AARET ET default rate and rating migration analyses based on rating level industry sector geography and Credit Risk Calculator timeframe Market Implied Ratings Moody s Senior Ratings Algorithm Guide to Default Research Methodology MDR Service User Guide Monthly Default Reports Sample Default Report i Quarterly Rating Activity amp Reviews Sample Rating Migration Report Corporate Bond Research i Default Studies i Rating Transitions Your Custom Reports ena ail Use this area to create manage and share your reports with other Credit Risk Calculator users i Ratings Performance Bank Loan Research Structured Finance Research Default Rate Analysis Report s create share all i Default and Loss Studies 2006_Annual_Sample rename detail delete share Rating Transitions Cumulative_Det_Rate_2004 rename detail delete share i Rating Performance Marginal_Def_Rates_2002 rename detail delete share Municipal Bond Research Sovereign Bond Research Commercial Paper Research Rating Migration Report s create share all Other Studies 1970_2005_MigrationMatrix rename detail delete share Events Corporate Migration rename detail delete share Key contacts CRC User Manual rename detail delete Share Aintitinatinme Cant z lt kA Moody s I
29. st of the issuers that comprise of the selected number Furthermore two drop down boxes allow users to narrow the list of issuers based on Industries and or Countries When users click on the sign next to the name of the issuer a Summary of the issuer s rating history is provided When users click on the name of a certain issuer they are taken to a screen which provides a Summary of the issuer Rating Migration Report Report Name CRC User Manual Sub Report Type Migration Excl Withdrawn Ratings Rating Type AlphaNumeric Cohort Date Rating From Rating To 01 01 83 A3 Bat Date as of 08 24 2007 Industries All Countries All v View Issuers Results 1 40f4 Prev Ma Hext Issuer List All Issuers AlI Z A B CED EFC HEFPI KECEMEN O FP OAR S T U VWA YZ ANR Pipeline Company Colorado Interstate Gas Company llinois Central Gulf Railroad Co 08 31 1972 A 10 10 1974 Baa 03 27 1978 A 04 26 1982 A3 09 15 1986 Bal 08 15 1989 Ba3 10 28 1991 Bal 12 17 1991 WR SeaFirst Corporation Internet Moody s Credit Risk Calculator User Manual 13 Moody s Corporate Default Risk Service Moody s Credit Risk Calculator User Manual continued Summary Incl Withdrawn Ratings report provides the summary statistics of the cells from all of the individual cohort based migration rate tables provided on the Migration Incl WR tab over the chosen time period for each Letter or Aloh
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