Tracking the Impact of COVID-19 on Credit Risk: For … the...Timeline of COVID-19: a market perspective Tracking the Impact of COVID-19 on Credit Risk, March 2020 9 03/16/2020: S&P

March 26, 2020Michael Zeng, Zhong Zhuang, Dinesh Bacham, Uliana Makarov

Tracking the Impact of COVID-19 on Credit Risk:

For Public and Private Firms

Uliana MakarovDirector-Research

Michael ZengAssociate Director-

Research

Zhong ZhuangDirector-Research

Dinesh BachamAssociate Director-

Research

Tracking the Impact of COVID-19 on Credit Risk, March 2020 3

» COVID-19 is a fast-developing epidemic that has recently become a major risk

driver across the globe, APAC, Europe, and US, in particular.

» Financial institutions are likely to re-assess expected losses while portfolio

managers are likely to adjust exposures.

» The Moody's Analytics Expected Default Frequency (EDFTM) measures reflect

the current state of the credit cycles.

» We are seeing a significant increase of expected loss for both public and private

companies in the US.

Overview


Agenda

1. Public Firm EDFs respond globally to falling stock market

– Impact by Country, Region & Industry

– Case Studies & Mission Critical Sectors

– Implications for Expected Loss

2. Private Firm EDFs respond to increasing Public Firm EDFs

– Impact by Sector for US Corporates and Large Firms

– Implications for Expected Loss

3. Summary

1.1 A Market Perspective


02/04/2020: Peak of new daily cases in China

Timeline of COVID-19: a market perspective


02/19/2020: S&P closed on all-time high



03/09/2020: S&P 500 touched limit down in early hours of trading



03/16/2020: S&P 500 down 12% on the day, VIX closed around 80



» With equity price as a key input, the model

responds to the market movement in real

time, translating the market signal to credit

risk metrics.

» The breadth and depth of the Moody’s

Analytics CreditEdge coverage together

with the daily update of EDF values

makes the model a very capable tool for to

monitor and mange the credit risk of their

exposure.

EDF measures vs. Stock Market Signals


Overview of Structural PD model

Market

Value of

Assets

Today Time

ValueDistribution of

Market Value of

Assets at Horizon

(1 Year)

EDF™

1 Year

Expected Market

Value of Assets

Default Point

Distance-to-Default

(DD)

Distance-to-Default (DD) ≈ The number of standard deviations the Market Value

of Assets is away from the Default Point

Asset Volatility

(1 Standard Deviation)σ

1.2 EDF Impact by Country,

Region & Industry


EDF Levels by Country/RegionChina saw a different time frame of response than rest of the world

* APAC* excludes China

Country/

Region

Median EDF(%)

1/1/2020

Median EDF(%)

3/24/2020

EDF

YTD

Mktcap

YTD

Country/

Region

Median EDF(%)

1/1/2020

Median EDF(%)

3/24/2020

EDF

YTD

Mktcap

YTD

NLD 0.17 0.45 168% -31% GBR 0.16 0.34 105% -37%

KOR 0.65 1.74 166% -44% SWE 0.30 0.61 102% -32%

AUT 0.12 0.32 160% -35% FIN 0.13 0.25 98% -28%

NOR 0.22 0.58 157% -45% IDN 1.05 2.05 96% -48%

FRA 0.26 0.66 150% -29% DEU 0.18 0.34 92% -28%

USA 0.43 1.06 147% -25% SGP 1.06 1.98 87% -32%

JPN 0.14 0.34 142% -24% ITA 0.24 0.44 86% -30%

AUS 1.07 2.59 141% -43% BEL 0.07 0.13 81% -34%

MYS 0.53 1.22 132% -29% PHL 0.38 0.68 81% -37%

IRL 0.14 0.33 129% -29% LKA 0.44 0.77 73% -30%

NZL 0.09 0.21 123% -36% ROU 0.27 0.46 69% -30%

GRC 0.93 2.03 119% -40% PAK 0.99 1.68 68% -30%

THA 0.28 0.61 118% -40% DNK 0.22 0.33 51% -20%

IND 1.73 3.66 111% -39% HKG 1.89 2.71 44% -20%

ESP 0.22 0.47 109% -32% POL 1.12 1.59 42% -37%

ISR 0.19 0.39 108% -30% VNM 1.03 1.31 27% -31%

TWN 0.13 0.27 107% -24% RUS 0.89 1.02 14% -39%

CHE 0.05 0.10 105% -25% CHN 0.65 0.70 7% -11%


EDF Levels by IndustryUSA: about 5,200 firms

Rank NDY 1/1/2020 3/24/2020 # firms % Change

HOTELS & RESTAURANTS 0.33 2.48 82 657%

APPAREL & SHOES 0.18 1.35 29 653%

AEROSPACE & DEFENSE 0.08 0.46 40 466%

MACHINERY & EQUIPMENT 0.15 0.82 100 452%

UTILITIES, GAS 0.06 0.28 48 380%

OIL REFINING 0.29 1.39 21 376%

CONSUMER SERVICES 0.37 1.72 39 362%

AUTOMOTIVE 0.85 3.43 38 303%

CONSTRUCTION 0.40 1.58 58 295%

STEEL & METAL PRODUCTS 0.25 0.96 60 285%

SECURITY BROKERS & DEALERS 0.42 0.62 31 49%

REAL ESTATE 0.27 0.38 80 43%

MEDICAL EQUIPMENT 0.91 1.30 160 43%

PHARMACEUTICALS 2.47 3.48 496 41%

INSURANCE - PROP/CAS/HEALTH 0.28 0.38 59 37%

ELECTRICAL EQUIPMENT 1.92 2.45 37 28%

Non-Finance NEC 1.72 2.18 52 27%

INVESTMENT MANAGEMENT 0.30 0.37 52 26%

MEDICAL SERVICES 2.15 2.72 84 26%

UTILITIES, ELECTRIC 0.02 0.03 64 20%

Top 10

Bottom 10


EDF Levels by IndustryChina: about 4,200 firms

Rank NDY 1/1/2020 3/24/2020 # firms % Change

AIR TRANSPORTATION 0.47 0.86 17 85%

HOTELS & RESTAURANTS 0.57 1.01 19 77%

ENTERTAINMENT & LEISURE 0.36 0.58 21 60%

CONSUMER DURABLES RETL/WHSL 0.97 1.47 34 51%

APPAREL & SHOES 0.33 0.48 49 48%

TRANSPORTATION 0.48 0.69 86 44%

UTILITIES, GAS 1.65 2.31 19 39%

FOOD & BEVERAGE 0.19 0.26 137 38%

CONSUMER PRODUCTS 0.27 0.35 30 33%

FURNITURE & APPLIANCES 0.41 0.52 56 28%

CONSUMER PRODUCTS RETL/WHSL 1.24 1.19 106 -5%

PHARMACEUTICALS 0.20 0.19 233 -6%

MEASURE & TEST EQUIPMENT 0.29 0.27 73 -7%

AEROSPACE & DEFENSE 0.38 0.35 28 -7%

STEEL & METAL PRODUCTS 1.14 1.05 216 -8%

BUSINESS SERVICES 0.61 0.56 297 -9%

LUMBER & FORESTRY 0.49 0.44 20 -10%

TELEPHONE 0.79 0.63 18 -20%

FOOD & BEVERAGE RETL/WHSL 0.92 0.61 16 -34%

MEDICAL EQUIPMENT 0.21 0.11 30 -47%

Top 10

Bottom 10

1.3 Case Studies and Mission

Critical Industries


Case StudyAir Transportation Industry

PID Name 1/1/2020 3/24/2020EDF %

Change

Mktcap %

Change

G14375 JOHN MENZIES PLC 0.04 4.82 11361% -83%

G11443 AIR NEW ZEALAND LIMITED 0.09 2.40 2437% -71%

902549 UNITED AIRLINES HOLDINGS, INC. 0.07 1.05 1462% -63%

W53670 INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06 0.93 1343% -66%

W37726 SPICEJET LIMITED 0.44 5.35 1125% -72%

W25769 EASYJET PLC 0.15 1.65 987% -59%

G16804 QANTAS AIRWAYS LIMITED 0.21 2.24 983% -64%

N20700 SPIRIT AIRLINES INC 0.62 6.70 974% -66%

W26084 ASIANA AIRLINES INCORPORATED 0.45 3.69 720% -47%

W59269 ASIA AVIATION PCL 0.47 3.76 694% -54%

W38051 REGIONAL EXPRESS HOLDINGS LTD 0.35 2.61 640% -63%

N08526 JETBLUE AIRWAYS CORP 0.11 0.79 623% -51%

247361 DELTA AIR LINES INC 0.05 0.38 614% -54%

W34033 NORWEGIAN AIR SHUTTLE ASA 5.18 35.96 594% -76%

11659 ALASKA AIR GROUP INC 0.13 0.89 586% -57%

Air Transportation Top 15 EDF Change


Case StudyPharmaceuticals Industry

PID Name 1/1/2020 3/24/2020EDF %

Change

Mktcap %

Change

N20787 IBIO INC 32.07 1.78 -94.45% 1316.40%

N25601 PROTEON THERAPEUTICS INC 4.73 0.35 -92.52% 1442.21%

B01758 GENPREX INC 3.05 0.27 -91.02% 1440.06%

N22612 DECISION DIAGNOSTICS CORP 14.80 1.38 -90.71% 917.24%

N23211 TONIX PHARMACEUTICALS HLDG 23.21 2.18 -90.62% 2395.02%

W35654 SYNAIRGEN PLC 2.84 0.27 -90.51% 776.60%

N26826 TBG DIAGNOSTICS LTD 5.26 0.50 -90.40% 900.00%

N24117 ONCONOVA THERAPEUTICS INC 32.21 3.83 -88.13% 1822.67%

N02070 NOVAVAX INC 32.57 4.50 -86.20% 522.08%

N24407 GENUFOOD ENERGY ENZYMES CORP 41.83 5.81 -86.11% 3249.24%

W37825 BYOTROL PLC 1.39 0.22 -83.97% 227.87%

N27989 CO-DIAGNOSTIC INC 2.04 0.35 -82.69% 1237.76%

N05099 AMERICAN BIO MEDICA CORP 18.26 3.56 -80.48% 514.29%

B00673 SUGENTECH INC 2.10 0.44 -79.14% 207.27%

N28094 KALA PHARMECUTICAL INC 14.76 3.48 -76.41% 221.10%

Pharmaceuticals Industry Top 15 EDF Change


“Mission Critical” Industries

» Industries such as hospitals and medical

laboratories are critical in the medical

response to the virus outbreak.

» Their EDF levels largely remain moderate,

despite the recent uptick.

SIC NDY # of firms 1/1/2020 3/24/2020 Change

2621 Paper mills 92 0.45 0.77 69%

2834 Pharmaceutical Preparations 784 0.45 0.71 58%

2841 Soap and other detergents 28 0.06 0.13 133%

2842 Polishes and sanitation goods 8 0.37 0.41 12%

8062General medical and surgical

hospitals79 0.07 0.18 152%

8071 Medical laboratories 51 0.17 0.38 119%

1.4 Implications on Credit Loss


Expected LossExpected Loss increases four-fold for USA Air Transportation

Total

Liabitility

(M USD)

EDF (%) EL (M USD)

Total

Liabitility

(M USD)

EDF (%) EL (M USD)

001765 AMERICAN AIRLINES GROUP INC 61,015$ 0.92 394.64$ 60,113$ 3.84 1,614.10$

313309 FEDEX CORP 48,223$ 0.09 29.75$ 48,082$ 0.17 56.19$

247361 DELTA AIR LINES INC 46,906$ 0.05 17.55$ 47,718$ 0.38 127.52$

902549 UNITED AIRLINES HOLDINGS, INC. 39,304$ 0.07 18.44$ 39,344$ 1.05 288.38$

844741 SOUTHWEST AIRLINES 13,893$ 0.04 4.09$ 13,699$ 0.09 8.78$

011659 ALASKA AIR GROUP INC 8,023$ 0.13 7.28$ 7,947$ 0.89 49.49$

N08526 JETBLUE AIRWAYS CORP 5,356$ 0.11 4.07$ 5,868$ 0.79 32.26$

N20700 SPIRIT AIRLINES INC 3,948$ 0.62 17.23$ 4,313$ 6.70 202.18$

830879 SKYWEST INC 3,885$ 0.20 5.31$ 3,859$ 1.33 36.02$

N01412 ATLAS AIR WORLDWIDE HLDG INC 3,589$ 3.79 95.33$ 3,519$ 5.06 124.71$

N10766 MACQUARIE INFRASTRUCTURE CP 3,376$ 0.03 0.80$ 3,371$ 0.14 3.35$

N01376 HAWAIIAN HOLDINGS INC 2,739$ 1.90 36.47$ 2,755$ 9.65 186.20$

N09738 AIR TRANSPORT SERVICES GROUP 2,139$ 0.66 9.93$ 2,232$ 1.25 19.54$

N24633 FORTRESS TRANS INFRASTR INVS 2,029$ 0.08 1.19$ 1,898$ 0.51 6.81$

N12001 ALLEGIANT TRAVEL CO 1,796$ 0.12 1.57$ 1,895$ 0.59 7.79$

590481 MESA AIR GROUP INC 971$ 4.28 29.08$ 1,045$ 19.26 140.91$

N21932 ERA GROUP INC 202$ 0.88 1.25$ 201$ 3.75 5.28$

009224 AIR T INC 109$ 3.08 2.34$ 126$ 10.32 9.09$

N02553 EXELED HOLDINGS INC 22$ 29.84 4.64$ 22$ 28.27 4.39$

N19241 SPOTLIGHT CAPITAL HLDGS INC 2$ 27.01 0.37$ 2$ 28.43 0.39$

N11184 SAKER AVIATION SERVICES INC 2$ 6.47 0.08$ 2$ 11.57 0.14$

247,529$ 681.41$ 248,011$ 2,923.52$

0.28% 1.18%Loss Rate

1/1/2020 3/24/2020

PID Name

Total


Expected loss scales with the average EDF weighted by total liabilities

In US, liability-weighted EDF has doubled






What-if AnalysisWhat happens to United Airlines’ EDF if volatility is back to all-time-high


» Moody’s Analytics EDF measures have shown acute and accurate responses to

COVID-19, providing timely early warning signals for various

countries/industries/firms.

» As in most events that impact credit risk, there are losers (e.g., Airlines industry)

and winners (e.g., certain pharmaceutical companies).

» The expected loss for U.S. corporates has more than doubled, with certain

industries hit harder than others.

In Summary:

2Private Firm EDFs respond

to increasing Public Firm

EDF metrics


• Analyzing the impact on the risk of private firms as measured through the Credit Cycle

Adjustment for two key models:

– RiskCalc Large Firm model v3.1

– RiskCalc US Corporate model v4.0

• Credit Cycle Adjustment for Large Firm Model is driven solely by the public firm EDF metrics,

while the US Corporate model depends on a combination of public firm EDF metrics and

unemployment rates

• Full impact of the market movements will be reflected in the models with a few months lag

• Current results indicate forward looking estimates of where Point in Time metrics could be in the

coming months

– We use market based information as of March 24, 2020

– We use a forecast of unemployment raising to 5.4%

Setting the stage:

2.1 Introduction to the Credit

Cycle Adjustment in

RiskCalc


Credit Cycle Adjustment in RiskCalc Models

Financial Statement Only (FSO) EDF

Public EDF–Based Credit Cycle Adjustment

Credit Cycle Adjusted (CCA) EDF

Sector’s current credit quality based on public EDF

Sector’s historical credit quality based on public EDF

compare

» If current credit quality is better than historical average, FSO EDF is adjusted down to arrive at CCA EDF.

» If current credit quality is worse than historical average, FSO EDF is adjusted up to arrive at CCA EDF.


➢ Since default risk varies with the credit cycle,

we adjust the private firm EDF measures by

implementing a cycle adjustment factor

➢ Adjustment is based on a transformation of the

Public Firm’s Distance-to-Default (DD)

measure by industry. Large Firm model utilizes

DDs from all publicly traded firms in North

America aggregated by sector

➢ The DD factor is adjusted by a 36 month

moving average of its own series

➢ If the DD factor for public firms in an industry

indicates that risk is going up, EDFs are

adjusted upwards, or vice versa


CCA Adjustment in RiskCalc brings PD in Line with Actual Default Rate


For US Corporate Model v40


Financial Ratio Based PD (TTC PD)

Credit Trend of Publicly Traded Firms in the Same SectorUnemployment Rate Trend by State

Point-in-Time PD


How does the timing work?

April

Collect March end DDs from the public firm model, quality checks etc. State level unemployment for March released

at the end of April

May 1st

DDs from end of March are reflected in the model

June 1st

Nation and state wide unemployment from March reflected in the model

• Distance to Default (DD) factors for a given month are obtained in the beginning of next month.

Data goes through quality checks and additional transformations to be released for the

following month

• Nation and State wide unemployment related adjustments are updated in RiskCalc with a two

months lag

March

2.2 Impact by Sector for US

Corporates and Large

Firms


US Corporates

Data Description

Sample includes 30k+ firms and it’s most

recently available annual statement from

Moody’s Analytics Credit Research

Database (CRD)


Distribution by Region and Total Assets

Data Description: US Corporates


Results: US CorporatesThe change in CCA reflects the average jump in PIT PD based on the market conditions

on end of March 24 relative to a stable period in Dec 2019

Sector

Average

Rating

Change

Average Change in

CCA

(Dec -> Mar)

Transportation 1.65 102%

Construction 1.57 101%

Mining 1.44 83%

Business Products 1.35 81%

Business Services 1.37 80%

Unassigned 1.35 79%

Consumer Products 1.26 77%

Communication 1.21 77%

Services 1.33 76%

Trade 1.29 75%

Utilities 1.40 73%

Agriculture 1.28 69%

HiTech 1.07 55%

Health Care 1.00 47%


• Services & Communication

are the sectors which see a

biggest jump in Credit

Cycle Adjusted EDFs

• Impact on Healthcare and

Agriculture on the lower

end

Results: US Corporates


Large Firm Model

Data Description

Sample includes 10k+ firms and its most

recently available annual statements from

Moody’s Analytics Credit Research

Database (CRD)


Distribution by Region and Total Assets

Data Description: Large Firm Model


Results: Large Firm ModelThe change in CCA reflects the average jump in PIT PD based on the market conditions

on end of March 24rd relative to a stable period in Dec 2019 for large corporates

SectorAverage Rating

Change

Average Change in

CCA (Dec -> Mar)

Transportation 1.64 94%

Consumer Products 1.38 77%

Business Products 1.44 74%

Construction 1.28 70%

Services 1.24 68%

Auto 1.29 68%

Trade 1.15 66%

Utilities 1.29 62%

Unassigned 1.22 60%

Agriculture 1.04 55%

Health 1.01 53%

Communication 0.95 51%

HiTech 0.72 38%

Mining 0.62 28%


• Consumer products, Auto, and

Trade are the sectors which see a

biggest jump in Credit Cycle

Adjusted EDFs

• Impact on Agriculture and Utilities

on the lower end

Results: Large Firm Model


Large Firm Model

Implications for Implied Rating Downgrades

US Corporates

2.3 Implications for Expected

Loss


Expected Loss – US Corporates

Results


Expected Loss – Large Firms

Results


» COVID-19 has become, and will likely continue to be, a major driver of credit risk,

at least in the coming months

» Increase in Credit Cycle Adjusted EDFs for private firms across all industries with

Transportation, Services, and Construction deteriorating the most

» Size weighted Expected Loss expected to increased by close to 80% for both US

Corporates and Large Firms

» The signal provided by EDF measures and insights from their interpretation may:

– Help re-assess loss provisions as well as make proper adjustment to portfolios

– Offer policy implications on maintaining the credit health of “mission critical” companies as well

as analyzing the cost and benefit of stimulus packages for various industries

In Summary:

Uliana Makarov

[email protected]

+1 (212)-553-3704

moodysanalytics.com

Michael Zeng

[email protected]

+1 (415)-874-6182

Zhong Zhuang

[email protected]

+1 (415)-874-6297

Dinesh Bacham

[email protected]

+1 (212)-553-2789

3. Appendix


Heat Map: US Corporates

Sector Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa/C

Agriculture 5% 5% 5% 5% 13% 23% 35% 43% 49% 59% 82% 83% 91% 88% 109% 104% 46%

Business Products 6% 6% 6% 6% 16% 32% 45% 50% 58% 82% 91% 100% 96% 117% 120% 84% 50%

Business Services 6% 6% 6% 6% 17% 33% 47% 52% 60% 85% 95% 104% 100% 122% 127% 88% 52%

Communication 6% 6% 6% 6% 15% 33% 43% 47% 54% 80% 82% 91% 93% 112% 90% 61% 44%

Construction 7% 7% 7% 7% 18% 34% 51% 60% 68% 92% 115% 119% 123% 143% 155% 123% 61%

Consumer Products 6% 6% 6% 6% 15% 31% 42% 46% 54% 78% 83% 91% 87% 108% 99% 69% 45%

Health Care 4% 5% 4% 4% 11% 20% 30% 35% 40% 50% 65% 67% 72% 70% 93% 75% 37%

HiTech 4% 5% 5% 5% 12% 22% 33% 38% 43% 57% 66% 71% 74% 79% 96% 70% 38%

Mining 6% 6% 6% 6% 17% 32% 47% 54% 62% 85% 100% 107% 107% 126% 140% 99% 54%

Services 6% 6% 6% 6% 16% 35% 46% 51% 60% 87% 90% 99% 103% 121% 99% 68% 48%

Trade 6% 6% 6% 6% 15% 30% 42% 47% 54% 77% 85% 93% 89% 109% 110% 77% 46%

Transportation 7% 7% 7% 7% 19% 35% 53% 63% 72% 97% 122% 126% 131% 151% 163% 133% 65%

Unassigned 6% 6% 6% 6% 15% 29% 42% 48% 55% 76% 86% 93% 92% 109% 119% 83% 48%

Utilities 6% 7% 7% 7% 18% 32% 49% 58% 67% 89% 114% 119% 127% 137% 153% 142% 63%


Heat Map: Large Firm Model


Milder Scenarios Relative to Severe CCAR

Covid19 Stress Testing Scenarios


Stressed Results in a Pandemic Scenario



Aggregate results from all scenarios



Static Mapping

Rating Average PD

Aaa 0.01%

Aa1 0.02%

Aa2 0.04%

Aa3 0.07%

A1 0.11%

A2 0.16%

A3 0.20%

Baa1 0.25%

Baa2 0.35%

Baa3 0.53%

Ba1 0.85%

Ba2 1.35%

Ba3 2.02%

B1 3.03%

B2 4.55%

B3 6.82%

Caa/C 17.10%


TTC to PIT PD

PIT Converter

Converts any TTC PD to a PIT PD term structure, leveraging our Private Firm Model suite: RiskCalc

TTC PD

Analysis Date

Industry Classification

Private Firm Model Name

State (optional)

)

Inputs

PIT PD Term Structure

Outputs


Sector CompositionDescription Count sector

AGRICULTURE 14 Agriculture

AUTOMOTIVE 57 Auto

CHEMICALS 100 Business Products

MACHINERY & EQUIPMENT 131 Business Products

PAPER 30 Business Products

PLASTIC & RUBBER 29 Business Products

PRINTING 15 Business Products

PUBLISHING 22 Business Products

STEEL & METAL PRODUCTS 61 Business Products

TRANSPORTATION EQUIPMENT 12 Business Products

BROADCAST MEDIA 26 Communication

CABLE TV 13 Communication

TELEPHONE 73 Communication

CONSTRUCTION 56 Construction

CONSTRUCTION MATERIALS 36 Construction

APPAREL & SHOES 44 Consumer Products

CONSUMER DURABLES 21 Consumer Products

CONSUMER PRODUCTS 44 Consumer Products

FOOD & BEVERAGE 107 Consumer Products

FURNITURE & APPLIANCES 30 Consumer Products

TEXTILES 9 Consumer Products

TOBACCO 5 Consumer Products

MEDICAL SERVICES 84 Health

Description Count sector

AEROSPACE & DEFENSE 50 HiTech

COMPUTER HARDWARE 41 HiTech

COMPUTER SOFTWARE 166 HiTech

ELECTRICAL EQUIPMENT 68 HiTech

ELECTRONIC EQUIPMENT 144 HiTech

MEASURE & TEST EQUIPMENT 68 HiTech

MEDICAL EQUIPMENT 168 HiTech

PHARMACEUTICALS 656 HiTech

SEMICONDUCTORS 89 HiTech

LUMBER & FORESTRY 24 Mining

MINING 970 Mining

OIL REFINING 27 Mining

OIL, GAS & COAL EXPL/PROD 393 Mining

BUSINESS SERVICES 535 Services

CONSUMER SERVICES 33 Services

ENTERTAINMENT & LEISURE 75 Services

HOTELS & RESTAURANTS 64 Services

BUSINESS PRODUCTS WHSL 118 Trade

CONSUMER DURABLES RETL/WHSL 62 Trade

CONSUMER PRODUCTS RETL/WHSL 127 Trade

FOOD & BEVERAGE RETL/WHSL 34 Trade

AIR TRANSPORTATION 23 Transportation

TRANSPORTATION 61 Transportation

TRUCKING 24 Transportation

UNASSIGNED 84 Unassigned

UTILITIES NEC 45 Utilities

UTILITIES, ELECTRIC 83 Utilities

UTILITIES, GAS 52 Utilities


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MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A

BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM

BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or

mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all

necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable

including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or

validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any

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licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective

profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any

direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful

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information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY

PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY

FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt

securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc.

have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees

ranging from $1,000 to approximately $2,700,000. MCO and Moody’s investors Service also maintain policies and procedures to address the independence

of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO

and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership

interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and

Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S

affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL

383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act

2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a

representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to

“retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt

obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is

wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating

agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ

are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not

qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and

their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and

commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or

MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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