Middle Market Risk Report

We derive the Middle Market Risk Report from Moody’s Analytics Credit Research Database (CRD), the world’s largest and cleanest database of private firm financials and defaults. Built in partnership with 50+ leading institutions around the world, the CRD contains 60 million financial statements from more than 14 million borrowers, including1.3 million private company defaults. The report profiles unique insights into private firm credit trends.
Report highlights include: Private firm default rates have declined steadily during the past five years. At 1.5%, the rolling 12-month default rate is down 73% from its September 2009 peak of 5.3%. This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in the past ten years. Banks downgraded 16% of borrowers on their internal rating scales during the past year, compared to 14% in 2015. Among the ten states showcasing the largest change in EDF levels during the past ten years, Oklahoma and New Mexico experienced significant increases.

Authors: Lin Moon, Stephanie Yu, Irina Korablev, Stafford Perkins
Date: May 2017
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This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. At 1.5%, the rolling 12-month default rate is down 73% from its September 2009 peak of 5.3%. This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in the past ten years. In addition, the rate of borrowers in non-accrual status has decreased 53% since September 2009. The number of borrowers rated “Substandard” has seen a steady increase since the first quarter of 2015, rising above pre-crisis levels, reflecting banks’ cautious lending practices.

Authors: Ryan Kinney, Stephanie Yu, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: October, 2016
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Report highlights include: Private firm default rates have declined steadily during the past five years. At 1.0%, the rolling 12-month default rate is down 81% from its September 2009 peak of 5.5% (Fig.1). This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in ten years. In addition, the rate of borrowers in non-accrual status has decreased 68% since September 2009. The number of borrowers rated “Substandard” has seen a steady increase since the first quarter of 2015, and it remains slightly above pre-crisis levels, reflecting banks’ cautious lending practices (Fig.2).

Authors: Stephanie Yu, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: April 8, 2016
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This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. We derive the statistics in this report from Moody’s Analytics Credit Research Database (CRD™).

Authors: Stephanie Yu, Brian Waldman, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: October 30, 2015
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Private firm default rates have declined steadily over the past five years. At 1.2%, the rolling 12-month default rate is down 79% from its September 2009 peak of 5.7%. This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in the past ten years.

Authors: Stephanie Yu, Brian Waldman, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: May 8, 2015
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This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. We derive the statistics in this report from Moody’s Analytics Credit Research Database® (CRD).

Authors: Stephanie Yu, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: October 1, 2014
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In this edition of our semiannual report we examine the decline of private firm default rates over the past four years and the decrease of the number of borrowers rated "Substandard", among other credit risk topics in the U.S. private form credit market.

Authors: Stephanie Yu, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: May 14, 2014
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In this report edition we examine:

The steady decline of private firm default rates over the past three yearsA five-year low in internal rating downgradesThe Construction and Real Estate/Leasing sectors maintaining the highest percentage of balances adversely rated
Authors: Shivansh Gulwadi, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: October 1, 2013

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Report Highlights:

Private firm default rates' steady decline over the past three and a half yearsInternal rating downgrades over the past year
Authors: Bryce Bewley, Dhivya Madhavan, Irina Korablev, Stafford Perkins, Douglas Dwyer 
Date: May 1, 2013
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Report Highlights:

Internal rating downgrades have reached a five-year lowConstruction and Real Estate/Leasing remain the sectors with the highest percentage of
balances adversely rated

Authors: Bryce Bewley, Dhivya Madhavan, Irina Korablev, Stafford Perkins, Douglas Dwyer
Date: October 30, 2012
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This semiannual report examines credit risk in the otherwise opaque US private firm credit market. We report trends in four different types of risk measures: actual defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. The statistics in this report are derived from Moody’s Analytics Credit Research Database® (CRD).

Author: Edward Atkinson
Date: May 23, 2012

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The Moody's Analytics U.S. Middle Market Risk Report examines credit risk trends for U.S. private firms, providing insight into risk trends for the typically opaque private firm credit market. Using RiskCalc Credit Cycle Adjusted (CCA) private firm expected default frequencies, bank risk ratings and realized default information provide information into a market where data is otherwise unavailable. The data source is Moody’s Analytics Credit Research Database (CRD).

Author: Maryam Khan
Date: October 1, 2011

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The Moody's Analytics U.S. Middle Market Risk Report examines credit risk trends for U.S. private firms, providing insight into risk trends for the typically opaque private firm credit market. Using RiskCalc Credit Cycle Adjusted (CCA) private firm expected default frequencies, bank risk ratings and realized default information provide information into a market where data is otherwise unavailable. The data source is Moody’s Analytics Credit Research Database (CRD).

Author: Emil Lopez
Date: April 1, 2011

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The Moody's Analytics U.S. Middle Market Risk Report examines credit risk trends for U.S. private firms, providing insight into risk trends for the typically opaque private firm credit market. Using RiskCalc Credit Cycle Adjusted (CCA) private firm expected default frequencies, bank risk ratings and realized default information provide information into a market where data is otherwise unavailable. The data source is Moody’s Analytics Credit Research Database (CRD).

Author: Jennifer Curtiss
Date: September 1, 2010

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The Moody's Analytics U.S. Middle Market Risk Report examines credit risk trends for U.S. private firms, providing insight into risk trends for the typically opaque private firm credit market. Using RiskCalc Credit Cycle Adjusted (CCA) private firm expected default frequencies, bank risk ratings and realized default information provide information into a market where data is otherwise unavailable. The data source is Moody’s Analytics Credit Research Database (CRD).

Author: Jennifer Curtiss
Date: April 1, 2010

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The Moody's Analytics U.S. Middle Market Risk Report examines credit risk trends for U.S. private firms, providing insight into risk trends for the typically opaque private firm credit market. Using RiskCalc Credit Cycle Adjusted (CCA) private firm expected default frequencies, bank risk ratings and realized default information provide information into a market where data is otherwise unavailable. The data source is Moody’s AnalyticsCredit Research Database (CRD).

Author: Jennifer Curtiss
Date: October 1, 2009

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On February 22, 2012, Eastman Kodak Co's CDS was settled at $23.875.

Author: Irina Korablev & Yu (Lucy) Jiang
Date: March 30, 2012

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