Tracking the Impact of COVID-19 on Credit Risk for ...s Analytics W… · Timeline of COVID-19: A Market Perspective Tracking the Impact of COVID -19 on Credit Risk for European Corporate

May 14, 2020Michael Zeng, Zhong Zhuang

Tracking the Impact of COVID-19 on Credit Risk for European Corporate Firms

Tracking the Impact of COVID-19 on Credit Risk for European Corporate Firms 2

» The COVID-19 pandemic has created an unprecedented stressed environment across the globe.

» 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) provides a timely measure of credit risk and signals the current state of credit cycle.

» This presentation focuses on publicly traded European corporates, where we have seen significant increase in expected losses and elevated credit risk in leveraged lending.

Overview


1. Introduction2. Impact by Country, Industry, and Rating Class3. Implications for Credit Loss & Leveraged Lending4. Summary

Agenda

1 Introduction: A Market Perspective


03/18/2020: EURO Stoxx 50 closed at its 5-year low.Timeline of COVID-19: A Market Perspective


05/07/2020: Market cap has partially recovered from the low, still with significant drawdown year-to-date.

Timeline of COVID-19: A Market Perspective


» 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 to monitor and manage the credit risk of their exposure.

EDF Measures vs. Stock Market Signals


Overview of Structural PD Model

MarketValue ofAssets

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

2 EDF Impact by Country, Industry, and Rating Class


European CorporatesEDF History and Drivers


European Rated CorporatesEDF History and Drivers


EDF Levels by CountryThe magnitude of EDF increase ties closely to the severity of outbreak

Country/Region

Median EDF(%) 1/1/2020

Median EDF(%) 5/7/2020

EDF YTD

Mktcap YTD

NLD 0.12 0.49 300% -22%IRL 0.10 0.39 295% -15%ESP 0.17 0.49 191% -26%GBR 0.31 0.84 172% -22%DEU 0.13 0.34 167% -18%BEL 0.06 0.16 165% -30%ISR 0.18 0.45 151% -8%ITA 0.20 0.49 143% -24%DNK 0.11 0.27 137% -4%FIN 0.10 0.25 134% -15%GRC 1.04 2.42 134% -29%FRA 0.36 0.80 120% -22%CHE 0.04 0.08 116% -7%NOR 0.52 1.10 109% -30%SWE 0.30 0.59 96% -17%ROU 0.32 0.46 45% -22%POL 1.16 1.67 44% -20%RUS 0.69 0.82 18% -28%

Sheet1

Country/RegionMedian EDF(%) 1/1/2020Median EDF(%) 3/24/2020EDF YTDMktcap YTDCountry/RegionMedian EDF(%) 1/1/2020Median EDF(%) 3/24/2020EDF YTDMktcap YTDCountry/RegionMedian EDF(%) 1/1/2020Median EDF(%) 5/7/2020EDF YTDMktcap YTD

ESP0.170.58239%-24%DNK0.110.23100%-3%NLD0.120.49300%-22%

IRL0.100.33230%-16%ISR0.180.36100%-8%IRL0.100.39295%-15%

NLD0.120.38207%-21%FRA0.370.7296%-20%ESP0.170.49191%-26%

DEU0.130.33155%-18%SWE0.300.5790%-16%GBR0.310.84172%-22%

GBR0.310.79153%-22%CHE0.040.0780%-8%DEU0.130.34167%-18%

BEL0.060.15150%-28%NOR0.520.9073%-28%BEL0.060.16165%-30%

GRC1.042.33125%-26%ROU0.370.5755%-23%ISR0.180.45151%-8%

FIN0.100.22114%-13%POL1.161.6139%-18%ITA0.200.49143%-24%

ITA0.200.41107%-22%RUS0.700.8115%-20%DNK0.110.27137%-4%

FIN0.100.25134%-15%

GRC1.042.42134%-29%

countryedf_bedf_aedf_y2dmktval_y2dn_an_bFRA0.360.80120%-22%

CHE0.040.08116%-7%

1NLD0.120.49300%-22%109110NOR0.521.10109%-30%

2IRL0.10.39295%-15%5959SWE0.300.5996%-17%

3ESP0.170.49191%-26%112112ROU0.320.4645%-22%

4GBR0.310.84172%-22%10411043POL1.161.6744%-20%

5DEU0.130.34167%-18%487487RUS0.690.8218%-28%

6BEL0.060.16165%-30%9090

7ISR0.180.45151%-8%355355

8ITA0.20.49143%-24%232232

9DNK0.110.27137%-4%113113

10FIN0.10.25134%-15%123123

11GRC1.042.42134%-29%154154

12FRA0.360.8120%-22%525524

13CHE0.040.08116%-7%176176

14NOR0.521.1109%-30%146146

15SWE0.30.5996%-17%546548

16ROU0.320.4645%-22%6464

17POL1.161.6744%-20%389389

18RUS0.690.8218%-28%166166

Showing 1 to 18 of 18 entries, 7 total columns

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17

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36


Sheet2

USAPACCHNEU

RankNDY1/1/203/24/20# firms% ChangeRankNDY1/1/203/24/20# firms% ChangeRankNDY1/1/203/24/20# firms% ChangeRankNDY1/1/203/24/20# firms% Change

Top 10HOTELS & RESTAURANTS0.332.4882657%Top 10AIR TRANSPORTATION0.301.2259312%Top 10AIR TRANSPORTATION0.470.861785%Top 10AIR TRANSPORTATION0.151.0732602%

APPAREL & SHOES0.181.3529653%TELEPHONE0.280.96132242%HOTELS & RESTAURANTS0.571.011977%FURNITURE & APPLIANCES0.271.3835418%

AEROSPACE & DEFENSE0.080.4640466%OIL REFINING0.351.1664233%ENTERTAINMENT & LEISURE0.360.582160%TRANSPORTATION0.231.11142376%

MACHINERY & EQUIPMENT0.150.82100452%TRANSPORTATION EQUIPMENT1.624.8442198%CONSUMER DURABLES RETL/WHSL0.971.473451%HOTELS & RESTAURANTS0.110.4675314%

UTILITIES, GAS0.060.2848380%AGRICULTURE0.591.75107196%APPAREL & SHOES0.330.484948%OIL REFINING0.030.1228289%

OIL REFINING0.291.3921376%CONSUMER DURABLES RETL/WHSL0.300.88273195%TRANSPORTATION0.480.698644%CONSUMER PRODUCTS0.110.3649243%

CONSUMER SERVICES0.371.7239362%HOTELS & RESTAURANTS0.230.65400190%UTILITIES, GAS1.652.311939%STEEL & METAL PRODUCTS0.280.96133237%

AUTOMOTIVE0.853.4338303%MEDICAL SERVICES0.110.30133181%FOOD & BEVERAGE0.190.2613738%AEROSPACE & DEFENSE0.170.5558217%

CONSTRUCTION0.401.5858295%PRINTING0.381.0770180%CONSUMER PRODUCTS0.270.353033%MACHINERY & EQUIPMENT0.230.71202212%

STEEL & METAL PRODUCTS0.250.9660285%ENTERTAINMENT & LEISURE0.741.94177164%FURNITURE & APPLIANCES0.410.525628%CONSUMER DURABLES0.220.6931212%

Bottom 10SECURITY BROKERS & DEALERS0.420.623149%Bottom 10UTILITIES NEC1.061.676758%Bottom 10CONSUMER PRODUCTS RETL/WHSL1.241.19106-5%Bottom 10LESSORS0.310.503761%

REAL ESTATE0.270.388043%TEXTILES2.553.8236050%PHARMACEUTICALS0.200.19233-6%FINANCE NEC0.050.0850847%

MEDICAL EQUIPMENT0.911.3016043%BROADCAST MEDIA0.420.626147%MEASURE & TEST EQUIPMENT0.290.2773-7%UTILITIES, GAS0.020.032241%

PHARMACEUTICALS2.473.4849641%INVESTMENT MANAGEMENT0.430.629746%AEROSPACE & DEFENSE0.380.3528-7%INSURANCE - PROP/CAS/HEALTH0.220.312939%

INSURANCE - PROP/CAS/HEALTH0.280.385937%REAL ESTATE INVESTMENT TRUSTS0.100.149844%STEEL & METAL PRODUCTS1.141.05216-8%UTILITIES, ELECTRIC0.160.2215736%

ELECTRICAL EQUIPMENT1.922.453728%INSURANCE - LIFE0.400.564641%BUSINESS SERVICES0.610.56297-9%INVESTMENT MANAGEMENT0.210.279431%

Non-Finance NEC1.722.185227%SECURITY BROKERS & DEALERS0.680.9625140%LUMBER & FORESTRY0.490.4420-10%BANKS AND S&LS0.280.3621329%

INVESTMENT MANAGEMENT0.300.375226%REAL ESTATE0.410.5758437%TELEPHONE0.790.6318-20%UTILITIES NEC0.290.363626%

MEDICAL SERVICES2.152.728426%FINANCE NEC0.270.3430528%FOOD & BEVERAGE RETL/WHSL0.920.6116-34%REAL ESTATE0.240.3138826%

UTILITIES, ELECTRIC0.020.036420%INSURANCE - PROP/CAS/HEALTH0.380.485425%MEDICAL EQUIPMENT0.210.1130-47%SECURITY BROKERS & DEALERS0.430.485913%

ndybeforeaftern% changendybeforeaftern% changendybeforeaftern% changendybeforeaftern% change

1HOTELS & RESTAURANTS0.327132852.47795313826.5747611AIR TRANSPORTATION0.296586921.2220056593.12022771AIR TRANSPORTATION0.46765240.8641888170.8479299111AIR TRANSPORTATION0.152775971.07229866326.0187651

2APPAREL & SHOES0.178789911.34672466296.53244212TELEPHONE0.280210460.95822471322.41966072HOTELS & RESTAURANTS0.56810551.0069115190.7724022512FURNITURE & APPLIANCES0.266762341.38182542354.1799869

3AEROSPACE & DEFENSE0.080540680.45606753404.66257333OIL REFINING0.348896731.1624446642.33177263ENTERTAINMENT & LEISURE0.36089710.5782511210.6022603523TRANSPORTATION0.233271631.110137421423.7589902

4MACHINERY & EQUIPMENT0.149336070.824186471004.51900464TRANSPORTATION EQUIPMENT1.62354354.8421253421.98244264CONSUMER DURABLES RETL/WHSL0.97482911.4717552340.5097571354HOTELS & RESTAURANTS0.112071470.46447731753.1444742

5UTILITIES, GAS0.057481760.27619898483.80498495AGRICULTURE0.589425751.74541561071.96121365APPAREL & SHOES0.32698070.4826999490.4762336045OIL REFINING0.032072730.1248931282.8940587

6OIL REFINING0.292994831.3941207213.75817516CONSUMER DURABLES RETL/WHSL0.298748340.88160692731.9510026TRANSPORTATION0.47905740.6879747860.4361007286CONSUMER PRODUCTS0.106174350.36413471492.4295922

7CONSUMER SERVICES0.371890341.71995549393.62489967HOTELS & RESTAURANTS0.226087170.65484654001.89643367UTILITIES, GAS1.65324792.306159190.3949262897STEEL & METAL PRODUCTS0.283821660.957725191332.3743908

8AUTOMOTIVE0.851718553.43002956383.02718668MEDICAL SERVICES0.10738580.30160951331.8086548FOOD & BEVERAGE0.18686850.25761451370.378587348AEROSPACE & DEFENSE0.173116410.54944595582.1738524

9CONSTRUCTION0.40038251.58275958582.95311889PRINTING0.381814991.0688984701.79951919CONSUMER PRODUCTS0.26711470.3544636300.3270088799MACHINERY & EQUIPMENT0.226769780.707547682022.1201144

10STEEL & METAL PRODUCTS0.24965340.96016925602.846009110ENTERTAINMENT & LEISURE0.735193581.93812811771.636214710FURNITURE & APPLIANCES0.40885120.524637560.28319796210CONSUMER DURABLES0.220980420.68864075312.1162977

11UTILITIES NEC0.058165890.21202134322.645114911SEMICONDUCTORS0.267976970.69487863341.593053411PUBLISHING0.32774180.4158668210.26888561911AUTOMOTIVE0.21441010.65987104722.0776118

12BROADCAST MEDIA2.085161687.41833807242.5576812BUSINESS SERVICES0.524447591.303656912441.485771612AUTOMOTIVE1.09728021.37222591170.25057017612CHEMICALS0.135535360.414799281092.0604506

13CONSUMER DURABLES0.601967382.0284302232.36966813AUTOMOTIVE0.650815631.58916173401.441800113BANKS AND S&LS0.75133250.9377461330.24811073813CONSUMER DURABLES RETL/WHSL0.336898441.02967263942.0563294

14CONSUMER PRODUCTS RETL/WHSL1.651727275.472536491092.313220414TRANSPORTATION0.383735640.93308913641.431593514SEMICONDUCTORS0.45892630.5708521640.24388639414AGRICULTURE0.539894261.62404588252.0080814

15FURNITURE & APPLIANCES0.459701061.50664164212.277437815CONSUMER PRODUCTS RETL/WHSL0.50338181.20680823411.397401415CONSUMER DURABLES0.25855750.3135549340.21270859815BROADCAST MEDIA0.161475490.48290131251.9905548

16BUSINESS PRODUCTS WHSL0.42850521.40115527832.269867616MEASURE & TEST EQUIPMENT0.43058731.02826461471.388051416FINANCE NEC0.57689680.6967605210.20777307416ELECTRICAL EQUIPMENT0.48952481.44043747521.9425219

17FOOD & BEVERAGE0.056821010.18301488862.220901617MACHINERY & EQUIPMENT0.511111211.2182885811.383606517SECURITY BROKERS & DEALERS0.63736240.7684144330.20561610317PLASTIC & RUBBER0.150655740.42208514341.8016533

18MEASURE & TEST EQUIPMENT0.211489930.65893164572.115664418OIL, GAS & COAL EXPL/PROD2.523885465.87071022651.326060518MINING1.10543861.3249181420.19854524618CONSTRUCTION MATERIALS0.107330460.2959515731.7573859

19TRANSPORTATION0.334058950.99315693451.972999119UTILITIES, GAS0.05736460.1329116601.316961219CONSUMER SERVICES1.94806782.3117512420.18668927719BUSINESS PRODUCTS WHSL0.218899970.598379111261.7335733

20LESSORS0.664858411.95108414231.934585920APPAREL & SHOES1.033905022.38753361941.309238820OIL, GAS & COAL EXPL/PROD2.26327552.6774973490.18301875720PUBLISHING0.423454151.10751333541.6154268

21ENTERTAINMENT & LEISURE1.89003285.42144524601.868439821COMPUTER SOFTWARE0.578746031.32517843211.289740821CONSTRUCTION2.30783192.68817891210.16480705721FINANCE COMPANIES0.848013182.1929091261.5859375

22CONSTRUCTION MATERIALS0.334655390.94268016251.816868322ELECTRONIC EQUIPMENT0.512163991.17178116431.287902122TEXTILES0.69510390.802634600.15469647422BUSINESS SERVICES0.327369510.845023836601.5812539

23CHEMICALS0.264859330.73189805881.763346323CHEMICALS0.34718790.78555216511.262613723UTILITIES, ELECTRIC0.71919320.801426690.1143404323ELECTRONIC EQUIPMENT0.366490190.943957041031.5756679

24CONSUMER DURABLES RETL/WHSL0.565747961.53992032691.721919324COMPUTER HARDWARE0.330308360.74581681731.257941124Non-Finance NEC0.7390370.8107208380.09699616724OIL, GAS & COAL EXPL/PROD1.897789044.776749631581.5170077

25COMPUTER HARDWARE1.15696212.96068579261.559017125ELECTRICAL EQUIPMENT0.643308251.40671022521.186681425COMPUTER HARDWARE0.38456190.419486310.09081507325LUMBER & FORESTRY0.222298530.53958468291.4272976

26BUSINESS SERVICES1.171872882.948474884481.516036426AEROSPACE & DEFENSE1.216059172.6185466411.153305326REAL ESTATE2.05933122.20391991180.0702114626Non-Finance NEC0.390442690.93801489501.4024394

27OIL, GAS & COAL EXPL/PROD5.5202067213.65236672051.473162227FOOD & BEVERAGE0.349610350.74858036711.141184727ELECTRONIC EQUIPMENT0.31330530.33442781640.06741853527ENTERTAINMENT & LEISURE0.358127570.859277741081.3993622

28COMPUTER SOFTWARE0.416926350.976341411751.341759928CONSUMER PRODUCTS0.303851570.64599481391.126020928MACHINERY & EQUIPMENT0.83628790.86052352780.02897994528TRANSPORTATION EQUIPMENT0.609442581.42331597221.335439

29SEMICONDUCTORS0.264468820.59444051741.247677129Non-Finance NEC0.281899630.59748072871.119480229PLASTIC & RUBBER0.2905390.2977789430.02491907229APPAREL & SHOES0.565687241.29890442461.2961529

30FOOD & BEVERAGE RETL/WHSL0.915295452.05334958401.243373530STEEL & METAL PRODUCTS1.027428982.17196286801.113978630PAPER0.53597480.5482995480.02299507130COMPUTER HARDWARE0.577808051.31581989321.2772613

31AIR TRANSPORTATION0.623428931.33350071211.138977931CONSTRUCTION MATERIALS0.693817191.4602153521.104610631AGRICULTURE0.39541180.4007212380.01342746531CONSUMER PRODUCTS RETL/WHSL0.913943972.016443181101.2063094

32ELECTRONIC EQUIPMENT1.279463982.36608399880.849277532PHARMACEUTICALS0.211475610.44010864941.081131532BUSINESS PRODUCTS WHSL1.28198361.2921203810.00790706632MEDICAL SERVICES0.139811870.30074156501.1510445

33FINANCE COMPANIES0.736948481.34645427340.82706733CONSTRUCTION0.915213951.89652048751.072215333UTILITIES NEC1.7830041.7851925380.00122742233MEDICAL EQUIPMENT0.335223220.700068541351.0883653

34TELEPHONE0.995298191.77145533650.779823734BUSINESS PRODUCTS WHSL0.418272650.8646175331.067113334COMPUTER SOFTWARE0.17974610.176117462-0.02018763934CONSTRUCTION0.282333850.567689841981.0107042

35INSURANCE - LIFE0.426358020.75313018230.766426735PAPER0.751739761.50766322131.005565335CONSTRUCTION MATERIALS0.93399870.899059597-0.0374082535MEASURE & TEST EQUIPMENT0.202338960.39949341630.9743771

36CONSUMER PRODUCTS0.372112450.615517300.654115536PLASTIC & RUBBER0.654927591.29366621650.975281236ELECTRICAL EQUIPMENT0.77722850.7472846142-0.03852649536CONSUMER SERVICES0.531374561.04828207410.9727743

37MINING5.527106178.85335852810.601807237FURNITURE & APPLIANCES0.361599230.71171471210.968241837CHEMICALS0.52669040.504959276-0.04126023437PAPER0.086590490.16777137480.9375266

38REAL ESTATE INVESTMENT TRUSTS0.196546640.304730661670.550424138UTILITIES, ELECTRIC0.194781650.38025471830.952209938CONSUMER PRODUCTS RETL/WHSL1.244451.1866595106-0.04643862838COMPUTER SOFTWARE0.444291980.854463541940.9232027

39FINANCE NEC0.314857510.485413712470.541693339TRUCKING0.154222610.297383620.928270839PHARMACEUTICALS0.20472980.1928487233-0.05803294639PHARMACEUTICALS0.169040360.311626132470.8435013

40BANKS AND S&LS0.321844410.488032635570.51636240FOOD & BEVERAGE RETL/WHSL0.124305540.23477131920.888663240MEASURE & TEST EQUIPMENT0.29042430.270749573-0.06774479240SEMICONDUCTORS0.267916820.49171901380.8353421

41TRUCKING0.053432840.08094618210.514914641CONSUMER SERVICES0.567962571.05667311780.860462541AEROSPACE & DEFENSE0.3752930.34940428-0.06898361141FOOD & BEVERAGE RETL/WHSL0.056094740.10087215640.7982462

42SECURITY BROKERS & DEALERS0.417349440.62123144310.488516342LESSORS0.623769481.1372471770.823184942STEEL & METAL PRODUCTS1.14312811.0547779216-0.07728810642REAL ESTATE INVESTMENT TRUSTS0.054186630.0973068300.7957714

43REAL ESTATE0.26790650.3831706800.430240143LUMBER & FORESTRY1.504611252.6605088690.768236743BUSINESS SERVICES0.6125140.559481297-0.08658241843FOOD & BEVERAGE0.071443570.127527081630.7850044

44MEDICAL EQUIPMENT0.908513771.29685741600.427449444CONSUMER DURABLES0.629286151.08736961150.727941444LUMBER & FORESTRY0.48500690.435577820-0.10191420944PRINTING0.517359240.86400067210.6700207

45PHARMACEUTICALS2.473874183.481582924960.407340345MEDICAL EQUIPMENT0.217208070.3692471260.699969145TELEPHONE0.78534680.63078718-0.19680452545TELEPHONE0.145428090.24026531050.6521245

46INSURANCE - PROP/CAS/HEALTH0.277784970.38163683590.37385746PUBLISHING0.47257660.8026523810.698459846FOOD & BEVERAGE RETL/WHSL0.9211510.610912416-0.33679456446TEXTILES0.395498080.64809445340.6386791

47ELECTRICAL EQUIPMENT1.919894352.4478669370.275000847FINANCE COMPANIES0.628423481.03009421860.63917247MEDICAL EQUIPMENT0.21301050.113172130-0.4687018647MINING2.426297413.965833911280.6345209

48Non-Finance NEC1.720047652.18468205520.270128848MINING2.479191033.97744085880.6043301Showing 1 to 23 of 47 entries, 5 total columns48INSURANCE - LIFE0.463937240.75023281290.6170998

49INVESTMENT MANAGEMENT0.295274640.37348244520.264864649BANKS AND S&LS0.438589680.70206493210.600732949LESSORS0.307812770.4970257370.6147014

50MEDICAL SERVICES2.152264332.71922032840.26342350UTILITIES NEC1.055606291.666745670.578945750FINANCE NEC0.052738490.077297035080.4656662

51UTILITIES, ELECTRIC0.02363160.02845621640.204159551TEXTILES2.553250793.82191573600.496882251UTILITIES, GAS0.02164860.03058786220.4129256

Showing 1 to 23 of 51 entries, 5 total columns52BROADCAST MEDIA0.421703220.6181316610.465797652INSURANCE - PROP/CAS/HEALTH0.220928930.30806967290.3944288

53INVESTMENT MANAGEMENT0.42718720.6236122970.459810153UTILITIES, ELECTRIC0.164834930.224898081570.3643837

54REAL ESTATE INVESTMENT TRUSTS0.099353120.1434777980.444118754INVESTMENT MANAGEMENT0.205265560.2682096940.3066468

55INSURANCE - LIFE0.400093290.5634415460.408275455BANKS AND S&LS0.275876050.355986312130.290385

56SECURITY BROKERS & DEALERS0.683575550.95976082510.404030356UTILITIES NEC0.285553450.35981934360.260077

57REAL ESTATE0.414000380.56618495840.367595257REAL ESTATE0.244687430.308228623880.2596831

58FINANCE NEC0.265258680.33826273050.275218158SECURITY BROKERS & DEALERS0.427368410.4821025590.1280724

59INSURANCE - PROP/CAS/HEALTH0.380902910.477825540.2544535Showing 1 to 23 of 58 entries, 5 total columns


Sheet3

Air Transportation Top 15 EDF ChangePharmaceuticals Industry Top 15 EDF Change

PIDName1/1/203/24/20EDF % ChangeMktcap % ChangePIDName1/1/203/24/20EDF % ChangeMktcap % Change

G14375JOHN MENZIES PLC0.044.8211361%-83%N20787IBIO INC32.071.78-94.45%1316.40%

G11443AIR NEW ZEALAND LIMITED0.092.402437%-71%N25601PROTEON THERAPEUTICS INC4.730.35-92.52%1442.21%

902549UNITED AIRLINES HOLDINGS, INC.0.071.051462%-63%B01758GENPREX INC3.050.27-91.02%1440.06%

W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.060.931343%-66%N22612DECISION DIAGNOSTICS CORP14.801.38-90.71%917.24%

W37726SPICEJET LIMITED0.445.351125%-72%N23211TONIX PHARMACEUTICALS HLDG23.212.18-90.62%2395.02%

W25769EASYJET PLC0.151.65987%-59%W35654SYNAIRGEN PLC2.840.27-90.51%776.60%

G16804QANTAS AIRWAYS LIMITED0.212.24983%-64%N26826TBG DIAGNOSTICS LTD5.260.50-90.40%900.00%

N20700SPIRIT AIRLINES INC0.626.70974%-66%N24117ONCONOVA THERAPEUTICS INC32.213.83-88.13%1822.67%

W26084ASIANA AIRLINES INCORPORATED0.453.69720%-47%N02070NOVAVAX INC32.574.50-86.20%522.08%

W59269ASIA AVIATION PCL0.473.76694%-54%N24407GENUFOOD ENERGY ENZYMES CORP41.835.81-86.11%3249.24%

W38051REGIONAL EXPRESS HOLDINGS LTD0.352.61640%-63%W37825BYOTROL PLC1.390.22-83.97%227.87%

N08526JETBLUE AIRWAYS CORP0.110.79623%-51%N27989CO-DIAGNOSTIC INC2.040.35-82.69%1237.76%

247361DELTA AIR LINES INC0.050.38614%-54%N05099AMERICAN BIO MEDICA CORP18.263.56-80.48%514.29%

W34033NORWEGIAN AIR SHUTTLE ASA5.1835.96594%-76%B00673SUGENTECH INC2.100.44-79.14%207.27%

11659ALASKA AIR GROUP INC0.130.89586%-57%N28094KALA PHARMECUTICAL INC14.763.48-76.41%221.10%

pidentity_name1/1/203/24/20edfevlpidentity_name1/1/203/24/20edfevl

1G14375JOHN MENZIES PLC0.042049714.8193495113.610764-0.82655941N20787IBIO INC32.0717881.7789226-0.944533113.16401518

2G11443AIR NEW ZEALAND LIMITED0.094607222.400611124.374502-0.71160412N25601PROTEON THERAPEUTICS INC4.7251620.3536223-0.925161914.42212138

3902549UNITED AIRLINES HOLDINGS, INC.0.067031681.047093914.620881-0.63292273B01758GENPREX INC3.0451410.2734075-0.910215214.40062642

4W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.064472160.930573413.433725-0.6550484N22612DECISION DIAGNOSTICS CORP14.8027911.3752829-0.9070939.17241236

5W37726SPICEJET LIMITED0.436523395.347535211.250283-0.72348535N23211TONIX PHARMACEUTICALS HLDG23.205782.177302-0.906174123.95020208

6W25769EASYJET PLC0.151457741.64689889.873653-0.59283946W35654SYNAIRGEN PLC2.840250.2695447-0.90509827.76595448

7G16804QANTAS AIRWAYS LIMITED0.206666792.23800359.829043-0.63572437N26826TBG DIAGNOSTICS LTD5.2592380.5048572-0.90400568.99999796

8N20700SPIRIT AIRLINES INC0.623428936.69695739.742134-0.66431958N24117ONCONOVA THERAPEUTICS INC32.2138653.8252522-0.881254518.22673984

9W26084ASIANA AIRLINES INCORPORATED0.44947863.68649057.201704-0.47399079N02070NOVAVAX INC32.5712314.4964321-0.86195085.2207839

10W59269ASIA AVIATION PCL0.473556723.76000736.93993-0.544642710N24407GENUFOOD ENERGY ENZYMES CORP41.82655.8107197-0.861075632.49237863

11W38051REGIONAL EXPRESS HOLDINGS LTD0.352469312.60853186.400735-0.627118911W37825BYOTROL PLC1.3942710.2234763-0.83971822.27868422

12N08526JETBLUE AIRWAYS CORP0.108653860.78538426.228314-0.509154912N27989CO-DIAGNOSTIC INC2.0413970.3534347-0.826866312.37759886

13247361DELTA AIR LINES INC0.05345970.38176456.141165-0.544911913N05099AMERICAN BIO MEDICA CORP18.2578123.5640918-0.80479095.14286002

14W34033NORWEGIAN AIR SHUTTLE ASA5.1830687735.96259535.938475-0.759152314B00673SUGENTECH INC2.0968660.4374165-0.79139512.07265527

1511659ALASKA AIR GROUP INC0.129694280.88966635.859719-0.574186115N28094KALA PHARMECUTICAL INC14.7611473.4825214-0.76407512.21102039

Showing 1 to 15 of 15 entries, 6 total columns16N13600ULURU INC22.1192565.3500317-0.75812797.46153397

17

18

19

20


Sheet6

Air Transportation Top 15 EDF Change

PIDName1/1/204/30/20EDF % ChangeMktcap % Change

EDF (%)EIREDF (%) EIR

G14375JOHN MENZIES PLC0.04Baa34.42Caa110414%-73%

W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.13B11653%-64%

W25769EASYJET PLC0.15Ba32.01B21228%-58%

G10045DEUTSCHE LUFTHANSA AG0.07Ba10.62Ba2754%-50%

G10777AIR FRANCE-KLM SA0.20Ba31.56B1672%-53%

W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.10Baa3339%-47%

G13634BBA AVIATION PLC0.05Baa30.20Ba1305%-38%

W11966RYANAIR HOLDINGS PLC0.06Ba10.24Ba1303%-30%

G18954AIR PARTNER PLC1.74Caa16.73Caa1288%-59%

W39325AÉROPORTS DE PARIS SA0.01Aaa0.04A3252%-49%

W29845KNAFAIM HOLDINGS LIMITED0.49B21.67B2238%-51%

W40623ICELANDAIR GROUP HF4.73Caa213.73Caa3190%-69%

W26941SAS AB2.11Caa15.67Caa1168%-41%

W65314ENTER AIR SA1.54Caa14.01B3159%-46%

W20226FLUGHAFEN ZURICH AG0.01Aa10.04A3150%-33%

pidentity_name12/31/19rating_bf4/30/20rating_nowEDF % changeMktcap % change

1G14375JOHN MENZIES PLC0.04Baa34.42Caa110414%-73%

2W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.13B11653%-64%

3W25769EASYJET PLC0.15Ba32.01B21228%-58%

4G10045DEUTSCHE LUFTHANSA AG0.07Ba10.62Ba2754%-50%

5G10777AIR FRANCE-KLM SA0.2Ba31.56B1672%-53%

6W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.1Baa3339%-47%

7G13634BBA AVIATION PLC0.05Baa30.2Ba1305%-38%

8W11966RYANAIR HOLDINGS PLC0.06Ba10.24Ba1303%-30%

9G18954AIR PARTNER PLC1.74Caa16.73Caa1288%-59%

10W39325AÉROPORTS DE PARIS SA0.01Aaa0.04A3252%-49%

11W29845KNAFAIM HOLDINGS LIMITED0.49B21.67B2238%-51%

12W40623ICELANDAIR GROUP HF4.73Caa213.73Caa3190%-69%

13W26941SAS AB2.11Caa15.67Caa1168%-41%

14W65314ENTER AIR SA1.54Caa14.01B3159%-46%

15W20226FLUGHAFEN ZURICH AG0.01Aa10.04A3150%-33%


Sheet7

Pharmaceutica Top 15 EDF Change



W62502BIOMED LUBLIN WYTWORNIA SUROWIC I SZCZEPIONEK SA0.87B30.09Baa3-89%220%

W58465BIOSYNEX SA0.48B20.05Baa2-89%438%

W35654SYNAIRGEN PLC2.84Caa20.33Ba1-89%1033%

B01435EXPRES2ION BIOTECH HOLDING AB2.87Caa20.43Ba2-85%374%

W63411BIOPHYTIS SA28.55C4.63Caa1-84%1703%

N25411FORWARD PHARMA A/S -ADR0.74B30.12Baa3-84%10%

W46760READ-GENE SA12.30Ca2.55B2-79%239%

W39747EUROBIO SCIENTIFIC SA0.86B30.18Ba1-79%153%

N26093AR897 LTD.2.43Caa10.52Ba2-78%246%

W37825BYOTROL PLC1.39Caa10.30Ba1-78%220%

N14014PLURISTEM THERAPEUTICS INC0.90B30.21Ba1-76%165%

W42916BIOTEC PHARMACON ASA0.21Ba30.05Baa1-75%287%

N26558KITOV PHARMA LTD4.47Caa21.12B1-75%89%

W43821E-THERAPEUTICS PLC0.41B20.12Baa3-71%354%

W58338KANCERA AB0.91B30.29Ba1-68%165%


1W62502BIOMED LUBLIN WYTWORNIA SUROWIC I SZCZEPIONEK SA0.87B30.09Baa3-89%220%

2W58465BIOSYNEX SA0.48B20.05Baa2-89%438%

3W35654SYNAIRGEN PLC2.84Caa20.33Ba1-89%1033%

4B01435EXPRES2ION BIOTECH HOLDING AB2.87Caa20.43Ba2-85%374%

5W63411BIOPHYTIS SA28.55C4.63Caa1-84%1703%

6N25411FORWARD PHARMA A/S -ADR0.74B30.12Baa3-84%10%

7W46760READ-GENE SA12.3Ca2.55B2-79%239%

8W39747EUROBIO SCIENTIFIC SA0.86B30.18Ba1-79%153%

9N26093AR897 LTD.2.43Caa10.52Ba2-78%246%

10W37825BYOTROL PLC1.39Caa10.3Ba1-78%220%

11N14014PLURISTEM THERAPEUTICS INC0.9B30.21Ba1-76%165%

12W42916BIOTEC PHARMACON ASA0.21Ba30.05Baa1-75%287%

13N26558KITOV PHARMA LTD4.47Caa21.12B1-75%89%

14W43821E-THERAPEUTICS PLC0.41B20.12Baa3-71%354%

15W58338KANCERA AB0.91B30.29Ba1-68%165%


Sheet4

sicn1/1/203/24/20change

12621920.454850070.76910860.6909059

228347840.447502270.70883730.583986

32841280.056354690.13104281.3253216

4284280.368853410.41253370.1184219

5805011.679882999.84008054.8575988

68062790.070249530.17735231.5246044

78071510.173424090.37965081.189147


SICNDY# of firms1/1/20203/24/2020Change

2621Paper mills920.450.7769%

2834Pharmaceutical Preparations7840.450.7158%

2841Soap and other detergents280.060.13133%

2842Polishes and sanitation goods80.370.4112%

8062General medical and surgical hospitals790.070.18152%

8071Medical laboratories510.170.38119%

Sheet5

Change in Expected Losses for European Air Transportation

(* Showing top 15 ranked by total liability as of 4/30/2020, which accounted for more than 90% of the total liability in the industry)pidentity_nametotliab_usd_bfedf_bfexpected_loss_bftotliab_usd_afedf_afexpected_loss_af

pidentity_nameedf_datetotliab_usdedfexpected_lossPIDName1/1/204/30/20

Total Liabitility (M USD)EDF (%)EL (M USD)Total Liabitility (M USD)EDF (%)EL (M USD)1G10045DEUTSCHE LUFTHANSA AG38765.5190.0724895219.670656234505.4480.61879934149.4636394

11765AMERICAN AIRLINES GROUP INC1/1/20610150.923976913.95E+02G10045DEUTSCHE LUFTHANSA AG$ 38,7660.07$ 19.67$ 34,5050.62$ 149.462G10777AIR FRANCE-KLM SA32414.6560.2018047345.790017131146.291.55769621339.6152015

2313309FEDEX CORP1/1/20482230.088144652.98E+01G10777AIR FRANCE-KLM SA$ 32,4150.20$ 45.79$ 31,1461.56$ 339.623W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA34333.1660.0644721615.494733329779.8771.13045089235.6528193

3247361DELTA AIR LINES INC1/1/20469060.05345971.76E+01W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA$ 34,3330.06$ 15.49$ 29,7801.13$ 235.654W28987AEROFLOT-RUSSIAN AIRLINES PJSC15550.7931.1315568123.176240412712.2351.87631985166.9655294

4902549UNITED AIRLINES HOLDINGS, INC.1/1/20393040.067031681.84E+01W28987AEROFLOT-RUSSIAN AIRLINES PJSC$ 15,5511.13$ 123.18$ 12,7121.88$ 166.975W39325AÉROPORTS DE PARIS SA11745.8340.011596880.953505411303.9210.04082993.2307656

5844741SOUTHWEST AIRLINES1/1/20138930.042036784.09E+00W39325AÉROPORTS DE PARIS SA$ 11,7460.01$ 0.95$ 11,3040.04$ 3.236W11966RYANAIR HOLDINGS PLC8860.8980.059428093.68610378813.6930.239739814.7909516

611659ALASKA AIR GROUP INC1/1/2080230.129694287.28E+00W11966RYANAIR HOLDINGS PLC$ 8,8610.06$ 3.69$ 8,8140.24$ 14.797W62512AENA S.M.E. SA9300.0860.010293870.67013698670.4170.01461370.8869483

7N08526JETBLUE AIRWAYS CORP1/1/2053560.108653864.07E+00W62512AENA S.M.E. SA$ 9,3000.01$ 0.67$ 8,6700.01$ 0.898W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE8664.5730.022581511.36961388449.450.099067275.8594477

8N20700SPIRIT AIRLINES INC1/1/203948.1870.623428931.72E+01W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE$ 8,6650.02$ 1.37$ 8,4490.10$ 5.869W34033NORWEGIAN AIR SHUTTLE ASA9820.5945.18306877356.30570788340.525502919.1837049

9830879SKYWEST INC1/1/203884.5020.195273275.31E+00W34033NORWEGIAN AIR SHUTTLE ASA$ 9,8215.18$ 356.31$ 8,34150.00$ 2,919.1810W25769EASYJET PLC6455.5060.151457746.84415476060.3082.0117885185.344413

10N01412ATLAS AIR WORLDWIDE HLDG INC1/1/203589.3433.793986289.53E+01W25769EASYJET PLC$ 6,4560.15$ 6.84$ 6,0602.01$ 85.3411W26941SAS AB3177.3152.1128339746.99196764713.5985.66936035187.0616021

11N10766MACQUARIE INFRASTRUCTURE CP1/1/2033760.03403658.04E-01W26941SAS AB$ 3,1772.11$ 46.99$ 4,7145.67$ 187.0612G11677FINNAIR OYJ3683.0331.7546393545.2367623305.4343.8351798688.7385241

12N01376HAWAIIAN HOLDINGS INC1/1/202739.1041.902040953.65E+01G11677FINNAIR OYJ$ 3,6831.75$ 45.24$ 3,3053.84$ 88.7413W29845KNAFAIM HOLDINGS LIMITED3302.5340.4971345611.49262533260.7591.66847738.083508

13N09738AIR TRANSPORT SERVICES GROUP1/1/202138.8190.663290299.93E+00W29845KNAFAIM HOLDINGS LIMITED$ 3,3030.50$ 11.49$ 3,2611.67$ 38.0814W37091EL AL ISRAEL AIRLINES LIMITED3064.1821.494383732.05344233025.4221.6226977434.3654167

14N24633FORTRESS TRANS INFRASTR INVS1/1/202029.3610.083532761.19E+00W37091EL AL ISRAEL AIRLINES LIMITED$ 3,0641.49$ 32.05$ 3,0251.62$ 34.3715G13634BBA AVIATION PLC3477.1170.049382331.20195712869.1970.199958824.0160489

15N12001ALLEGIANT TRAVEL CO1/1/201796.0710.12462181.57E+00G13634BBA AVIATION PLC$ 3,4770.05$ 1.20$ 2,8690.20$ 4.02

16590481MESA AIR GROUP INC1/1/20970.7464.279742162.91E+01Total$ 192,616$ 710.94$ 176,957$ 4,273.26

17N21932ERA GROUP INC1/1/20202.1430.882495061.25E+00Loss Rate0.37%2.41%

189224AIR T INC1/1/20108.5133933.080377862.34E+00

19N02553EXELED HOLDINGS INC1/1/2022.19455729.839347284.64E+002.41/0.7%

20N19241SPOTLIGHT CAPITAL HLDGS INC1/1/201.9529627.008219793.69E-01

21N11184SAKER AVIATION SERVICES INC1/1/201.7336.468919747.85E-02

22N25524BLACKPOLL FLEET INTL INC1/1/200.41062441.507304551.19E-01

231765AMERICAN AIRLINES GROUP INC3/24/20601133.835879241.61E+03

24313309FEDEX CORP3/24/20480820.166956935.62E+01

25247361DELTA AIR LINES INC3/24/20477180.381764541.28E+02

26902549UNITED AIRLINES HOLDINGS, INC.3/24/20393441.047093912.88E+02

27844741SOUTHWEST AIRLINES3/24/20136990.091550718.78E+00

2811659ALASKA AIR GROUP INC3/24/2079470.889666334.95E+01

29N08526JETBLUE AIRWAYS CORP3/24/2058680.785384243.23E+01

30N20700SPIRIT AIRLINES INC3/24/204312.7886.696957262.02E+02

31830879SKYWEST INC3/24/203858.5351.333500713.60E+01

32N01412ATLAS AIR WORLDWIDE HLDG INC3/24/203519.4225.062265321.25E+02

33N10766MACQUARIE INFRASTRUCTURE CP3/24/2033710.141931913.35E+00

34N01376HAWAIIAN HOLDINGS INC3/24/202755.2649.654341831.86E+02

35N09738AIR TRANSPORT SERVICES GROUP3/24/202232.361.250382621.95E+01

36N24633FORTRESS TRANS INFRASTR INVS3/24/201898.0650.512349056.81E+00

37N12001ALLEGIANT TRAVEL CO3/24/201894.7320.587413937.79E+00

38590481MESA AIR GROUP INC3/24/201045.30419.257564441.41E+02

39N21932ERA GROUP INC3/24/20201.1683.746326755.28E+00

409224AIR T INC3/24/20125.85288210.322725979.09E+00

41N02553EXELED HOLDINGS INC3/24/2022.19455728.267195364.39E+00





Riskiest industries by liabilities-weighted average EDF credit measuresEDF Levels by Industry

* Liability-weighted average EDF calculated based on EDFs as of 05/07/2020


Industries with the largest increases in liabilities-weighted EDF credit measuresEDF Levels by Industry

* Increases measured from 01/01/2020 to 05/07/2020


Air Transportation IndustryCase Study

EDF (%) EIR EDF (%) EIRG14375 JOHN MENZIES PLC 0.04 Baa3 6.06 Caa1 14315% -77%W53670 INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA 0.06 Ba1 1.70 B2 2541% -70%W25769 EASYJET PLC 0.15 Ba3 2.73 B3 1703% -63%G10045 DEUTSCHE LUFTHANSA AG 0.07 Ba1 0.71 Ba3 883% -52%G10777 AIR FRANCE-KLM SA 0.20 Ba3 1.89 B2 834% -59%G13634 BBA AVIATION PLC 0.05 Baa3 0.37 Ba2 657% -43%W11966 RYANAIR HOLDINGS PLC 0.06 Ba1 0.37 Ba2 528% -37%W43433 AEGEAN AIRLINES SA 0.15 Ba3 0.79 Ba3 413% -48%W02683 FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE 0.02 Aa3 0.11 Baa3 403% -53%W39325 AÉROPORTS DE PARIS SA 0.01 Aaa 0.06 Baa2 387% -54%W29845 KNAFAIM HOLDINGS LIMITED 0.49 B2 1.93 B2 291% -56%W40623 ICELANDAIR GROUP HF 4.73 Caa2 18.04 Ca 281% -79%W65314 ENTER AIR SA 1.54 Caa1 5.22 Caa1 238% -51%W20226 FLUGHAFEN ZÜRICH AG 0.01 Aa1 0.05 Baa1 204% -38%G11677 FINNAIR OYJ 1.75 Caa1 4.96 Caa1 182% -44%

Mktcap % ChangeNamePID

Air Transportation Top 15 EDF Change1/1/2020 5/7/2020

EDF % Change

Sheet1


ESP0.170.58239%-24%DNK0.110.23100%-3%NLD0.120.49300%-22%

IRL0.100.33230%-16%ISR0.180.36100%-8%IRL0.100.39295%-15%

NLD0.120.38207%-21%FRA0.370.7296%-20%ESP0.170.49191%-26%

DEU0.130.33155%-18%SWE0.300.5790%-16%GBR0.310.84172%-22%

GBR0.310.79153%-22%CHE0.040.0780%-8%DEU0.130.34167%-18%

BEL0.060.15150%-28%NOR0.520.9073%-28%BEL0.060.16165%-30%

GRC1.042.33125%-26%ROU0.370.5755%-23%ISR0.180.45151%-8%

FIN0.100.22114%-13%POL1.161.6139%-18%ITA0.200.49143%-24%

ITA0.200.41107%-22%RUS0.700.8115%-20%DNK0.110.27137%-4%

FIN0.100.25134%-15%

GRC1.042.42134%-29%


CHE0.040.08116%-7%

1NLD0.120.49300%-22%109110NOR0.521.10109%-30%

2IRL0.10.39295%-15%5959SWE0.300.5996%-17%

3ESP0.170.49191%-26%112112ROU0.320.4645%-22%

4GBR0.310.84172%-22%10411043POL1.161.6744%-20%

5DEU0.130.34167%-18%487487RUS0.690.8218%-28%

6BEL0.060.16165%-30%9090

7ISR0.180.45151%-8%355355

8ITA0.20.49143%-24%232232

9DNK0.110.27137%-4%113113

10FIN0.10.25134%-15%123123

11GRC1.042.42134%-29%154154

12FRA0.360.8120%-22%525524

13CHE0.040.08116%-7%176176

14NOR0.521.1109%-30%146146

15SWE0.30.5996%-17%546548

16ROU0.320.4645%-22%6464

17POL1.161.6744%-20%389389

18RUS0.690.8218%-28%166166


11

12

13

14

15

16

17

18


20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36


Sheet2

USAPACCHNEU



















































































Sheet3


















pidentity_name12/31/19rating_bf5/7/20rating_nowEDF % changeMktcap % changeentity_name1/1/203/24/20edfevl

1G14375JOHN MENZIES PLC0.04Baa36.06Caa114315%-77%IBIO INC32.0717881.7789226-0.944533113.16401518

2W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.7B22541%-70%PROTEON THERAPEUTICS INC4.7251620.3536223-0.925161914.42212138

3W25769EASYJET PLC0.15Ba32.73B31703%-63%GENPREX INC3.0451410.2734075-0.910215214.40062642

4G10045DEUTSCHE LUFTHANSA AG0.07Ba10.71Ba3883%-52%DECISION DIAGNOSTICS CORP14.8027911.3752829-0.9070939.17241236

5G10777AIR FRANCE-KLM SA0.2Ba31.89B2834%-59%TONIX PHARMACEUTICALS HLDG23.205782.177302-0.906174123.95020208

6G13634BBA AVIATION PLC0.05Baa30.37Ba2657%-43%SYNAIRGEN PLC2.840250.2695447-0.90509827.76595448

7W11966RYANAIR HOLDINGS PLC0.06Ba10.37Ba2528%-37%TBG DIAGNOSTICS LTD5.2592380.5048572-0.90400568.99999796

8W43433AEGEAN AIRLINES SA0.15Ba30.79Ba3413%-48%ONCONOVA THERAPEUTICS INC32.2138653.8252522-0.881254518.22673984

9W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.11Baa3403%-53%NOVAVAX INC32.5712314.4964321-0.86195085.2207839

10W39325AÉROPORTS DE PARIS SA0.01Aaa0.06Baa2387%-54%GENUFOOD ENERGY ENZYMES CORP41.82655.8107197-0.861075632.49237863

11W29845KNAFAIM HOLDINGS LIMITED0.49B21.93B2291%-56%BYOTROL PLC1.3942710.2234763-0.83971822.27868422

12W40623ICELANDAIR GROUP HF4.73Caa218.04Ca281%-79%CO-DIAGNOSTIC INC2.0413970.3534347-0.826866312.37759886

13W65314ENTER AIR SA1.54Caa15.22Caa1238%-51%AMERICAN BIO MEDICA CORP18.2578123.5640918-0.80479095.14286002

14W20226FLUGHAFEN ZÜRICH AG0.01Aa10.05Baa1204%-38%SUGENTECH INC2.0968660.4374165-0.79139512.07265527

15G11677FINNAIR OYJ1.75Caa14.96Caa1182%-44%KALA PHARMECUTICAL INC14.7611473.4825214-0.76407512.21102039

Showing 1 to 15 of 15 entries, 8 total columnsULURU INC22.1192565.3500317-0.75812797.46153397

17

18

19

20


Sheet6

Air Transportation Top 15 EDF Change



G14375JOHN MENZIES PLC0.04Baa36.06Caa114315%-77%

W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.70B22541%-70%

W25769EASYJET PLC0.15Ba32.73B31703%-63%

G10045DEUTSCHE LUFTHANSA AG0.07Ba10.71Ba3883%-52%

G10777AIR FRANCE-KLM SA0.20Ba31.89B2834%-59%

G13634BBA AVIATION PLC0.05Baa30.37Ba2657%-43%

W11966RYANAIR HOLDINGS PLC0.06Ba10.37Ba2528%-37%

W43433AEGEAN AIRLINES SA0.15Ba30.79Ba3413%-48%

W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.11Baa3403%-53%

W39325AÉROPORTS DE PARIS SA0.01Aaa0.06Baa2387%-54%

W29845KNAFAIM HOLDINGS LIMITED0.49B21.93B2291%-56%

W40623ICELANDAIR GROUP HF4.73Caa218.04Ca281%-79%

W65314ENTER AIR SA1.54Caa15.22Caa1238%-51%

W20226FLUGHAFEN ZÜRICH AG0.01Aa10.05Baa1204%-38%

G11677FINNAIR OYJ1.75Caa14.96Caa1182%-44%


1G14375JOHN MENZIES PLC0.04Baa36.06Caa114315%-77%

2W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.7B22541%-70%

3W25769EASYJET PLC0.15Ba32.73B31703%-63%

4G10045DEUTSCHE LUFTHANSA AG0.07Ba10.71Ba3883%-52%

5G10777AIR FRANCE-KLM SA0.2Ba31.89B2834%-59%

6G13634BBA AVIATION PLC0.05Baa30.37Ba2657%-43%

7W11966RYANAIR HOLDINGS PLC0.06Ba10.37Ba2528%-37%

8W43433AEGEAN AIRLINES SA0.15Ba30.79Ba3413%-48%

9W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.11Baa3403%-53%

10W39325AÉROPORTS DE PARIS SA0.01Aaa0.06Baa2387%-54%

11W29845KNAFAIM HOLDINGS LIMITED0.49B21.93B2291%-56%

12W40623ICELANDAIR GROUP HF4.73Caa218.04Ca281%-79%

13W65314ENTER AIR SA1.54Caa15.22Caa1238%-51%

14W20226FLUGHAFEN ZÜRICH AG0.01Aa10.05Baa1204%-38%

15G11677FINNAIR OYJ1.75Caa14.96Caa1182%-44%


Sheet7




W62502BIOMED LUBLIN WYTWORNIA SUROWIC I SZCZEPIONEK SA0.87B30.09Baa3-89%220%

W58465BIOSYNEX SA0.48B20.05Baa2-89%438%

W35654SYNAIRGEN PLC2.84Caa20.33Ba1-89%1033%

B01435EXPRES2ION BIOTECH HOLDING AB2.87Caa20.43Ba2-85%374%

W63411BIOPHYTIS SA28.55C4.63Caa1-84%1703%

N25411FORWARD PHARMA A/S -ADR0.74B30.12Baa3-84%10%

W46760READ-GENE SA12.30Ca2.55B2-79%239%

W39747EUROBIO SCIENTIFIC SA0.86B30.18Ba1-79%153%

N26093AR897 LTD.2.43Caa10.52Ba2-78%246%

W37825BYOTROL PLC1.39Caa10.30Ba1-78%220%

N14014PLURISTEM THERAPEUTICS INC0.90B30.21Ba1-76%165%

W42916BIOTEC PHARMACON ASA0.21Ba30.05Baa1-75%287%

N26558KITOV PHARMA LTD4.47Caa21.12B1-75%89%

W43821E-THERAPEUTICS PLC0.41B20.12Baa3-71%354%

W58338KANCERA AB0.91B30.29Ba1-68%165%


1W62502BIOMED LUBLIN WYTWORNIA SUROWIC I SZCZEPIONEK SA0.87B30.09Baa3-89%220%

2W58465BIOSYNEX SA0.48B20.05Baa2-89%438%

3W35654SYNAIRGEN PLC2.84Caa20.33Ba1-89%1033%

4B01435EXPRES2ION BIOTECH HOLDING AB2.87Caa20.43Ba2-85%374%

5W63411BIOPHYTIS SA28.55C4.63Caa1-84%1703%

6N25411FORWARD PHARMA A/S -ADR0.74B30.12Baa3-84%10%

7W46760READ-GENE SA12.3Ca2.55B2-79%239%

8W39747EUROBIO SCIENTIFIC SA0.86B30.18Ba1-79%153%

9N26093AR897 LTD.2.43Caa10.52Ba2-78%246%

10W37825BYOTROL PLC1.39Caa10.3Ba1-78%220%

11N14014PLURISTEM THERAPEUTICS INC0.9B30.21Ba1-76%165%

12W42916BIOTEC PHARMACON ASA0.21Ba30.05Baa1-75%287%

13N26558KITOV PHARMA LTD4.47Caa21.12B1-75%89%

14W43821E-THERAPEUTICS PLC0.41B20.12Baa3-71%354%

15W58338KANCERA AB0.91B30.29Ba1-68%165%


Sheet4

sicn1/1/203/24/20change

12621920.454850070.76910860.6909059

228347840.447502270.70883730.583986

32841280.056354690.13104281.3253216

4284280.368853410.41253370.1184219

5805011.679882999.84008054.8575988

68062790.070249530.17735231.5246044

78071510.173424090.37965081.189147


SICNDY# of firms1/1/20203/24/2020Change

2621Paper mills920.450.7769%

2834Pharmaceutical Preparations7840.450.7158%

2841Soap and other detergents280.060.13133%

2842Polishes and sanitation goods80.370.4112%

8062General medical and surgical hospitals790.070.18152%

8071Medical laboratories510.170.38119%

Sheet5

Change in Expected Losses for European Air Transportation

(* Showing top 15 ranked by total liability as of 4/30/2020, which accounted for more than 90% of the total liability in the industry)pidentity_nametotliab_usd_bfedf_bfexpected_loss_bftotliab_usd_afedf_afexpected_loss_af

pidentity_nameedf_datetotliab_usdedfexpected_lossPIDName1/1/204/30/20

Total Liabitility (M USD)EDF (%)EL (M USD)Total Liabitility (M USD)EDF (%)EL (M USD)1G10045DEUTSCHE LUFTHANSA AG38765.5190.0724895219.670656234505.4480.61879934149.4636394

11765AMERICAN AIRLINES GROUP INC1/1/20610150.923976913.95E+02G10045DEUTSCHE LUFTHANSA AG$ 38,7660.07$ 19.67$ 34,5050.62$ 149.462G10777AIR FRANCE-KLM SA32414.6560.2018047345.790017131146.291.55769621339.6152015

2313309FEDEX CORP1/1/20482230.088144652.98E+01G10777AIR FRANCE-KLM SA$ 32,4150.20$ 45.79$ 31,1461.56$ 339.623W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA34333.1660.0644721615.494733329779.8771.13045089235.6528193

3247361DELTA AIR LINES INC1/1/20469060.05345971.76E+01W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA$ 34,3330.06$ 15.49$ 29,7801.13$ 235.654W28987AEROFLOT-RUSSIAN AIRLINES PJSC15550.7931.1315568123.176240412712.2351.87631985166.9655294

4902549UNITED AIRLINES HOLDINGS, INC.1/1/20393040.067031681.84E+01W28987AEROFLOT-RUSSIAN AIRLINES PJSC$ 15,5511.13$ 123.18$ 12,7121.88$ 166.975W39325AÉROPORTS DE PARIS SA11745.8340.011596880.953505411303.9210.04082993.2307656

5844741SOUTHWEST AIRLINES1/1/20138930.042036784.09E+00W39325AÉROPORTS DE PARIS SA$ 11,7460.01$ 0.95$ 11,3040.04$ 3.236W11966RYANAIR HOLDINGS PLC8860.8980.059428093.68610378813.6930.239739814.7909516

611659ALASKA AIR GROUP INC1/1/2080230.129694287.28E+00W11966RYANAIR HOLDINGS PLC$ 8,8610.06$ 3.69$ 8,8140.24$ 14.797W62512AENA S.M.E. SA9300.0860.010293870.67013698670.4170.01461370.8869483

7N08526JETBLUE AIRWAYS CORP1/1/2053560.108653864.07E+00W62512AENA S.M.E. SA$ 9,3000.01$ 0.67$ 8,6700.01$ 0.898W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE8664.5730.022581511.36961388449.450.099067275.8594477

8N20700SPIRIT AIRLINES INC1/1/203948.1870.623428931.72E+01W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE$ 8,6650.02$ 1.37$ 8,4490.10$ 5.869W34033NORWEGIAN AIR SHUTTLE ASA9820.5945.18306877356.30570788340.525502919.1837049

9830879SKYWEST INC1/1/203884.5020.195273275.31E+00W34033NORWEGIAN AIR SHUTTLE ASA$ 9,8215.18$ 356.31$ 8,34150.00$ 2,919.1810W25769EASYJET PLC6455.5060.151457746.84415476060.3082.0117885185.344413

10N01412ATLAS AIR WORLDWIDE HLDG INC1/1/203589.3433.793986289.53E+01W25769EASYJET PLC$ 6,4560.15$ 6.84$ 6,0602.01$ 85.3411W26941SAS AB3177.3152.1128339746.99196764713.5985.66936035187.0616021

11N10766MACQUARIE INFRASTRUCTURE CP1/1/2033760.03403658.04E-01W26941SAS AB$ 3,1772.11$ 46.99$ 4,7145.67$ 187.0612G11677FINNAIR OYJ3683.0331.7546393545.2367623305.4343.8351798688.7385241

12N01376HAWAIIAN HOLDINGS INC1/1/202739.1041.902040953.65E+01G11677FINNAIR OYJ$ 3,6831.75$ 45.24$ 3,3053.84$ 88.7413W29845KNAFAIM HOLDINGS LIMITED3302.5340.4971345611.49262533260.7591.66847738.083508

13N09738AIR TRANSPORT SERVICES GROUP1/1/202138.8190.663290299.93E+00W29845KNAFAIM HOLDINGS LIMITED$ 3,3030.50$ 11.49$ 3,2611.67$ 38.0814W37091EL AL ISRAEL AIRLINES LIMITED3064.1821.494383732.05344233025.4221.6226977434.3654167

14N24633FORTRESS TRANS INFRASTR INVS1/1/202029.3610.083532761.19E+00W37091EL AL ISRAEL AIRLINES LIMITED$ 3,0641.49$ 32.05$ 3,0251.62$ 34.3715G13634BBA AVIATION PLC3477.1170.049382331.20195712869.1970.199958824.0160489

15N12001ALLEGIANT TRAVEL CO1/1/201796.0710.12462181.57E+00G13634BBA AVIATION PLC$ 3,4770.05$ 1.20$ 2,8690.20$ 4.02

16590481MESA AIR GROUP INC1/1/20970.7464.279742162.91E+01Total$ 192,616$ 710.94$ 176,957$ 4,273.26

17N21932ERA GROUP INC1/1/20202.1430.882495061.25E+00Loss Rate0.37%2.41%

189224AIR T INC1/1/20108.5133933.080377862.34E+00

19N02553EXELED HOLDINGS INC1/1/2022.19455729.839347284.64E+002.41/0.7%



22N25524BLACKPOLL FLEET INTL INC1/1/200.41062441.507304551.19E-01

231765AMERICAN AIRLINES GROUP INC3/24/20601133.835879241.61E+03

24313309FEDEX CORP3/24/20480820.166956935.62E+01

25247361DELTA AIR LINES INC3/24/20477180.381764541.28E+02

26902549UNITED AIRLINES HOLDINGS, INC.3/24/20393441.047093912.88E+02

27844741SOUTHWEST AIRLINES3/24/20136990.091550718.78E+00

2811659ALASKA AIR GROUP INC3/24/2079470.889666334.95E+01

29N08526JETBLUE AIRWAYS CORP3/24/2058680.785384243.23E+01

30N20700SPIRIT AIRLINES INC3/24/204312.7886.696957262.02E+02

31830879SKYWEST INC3/24/203858.5351.333500713.60E+01

32N01412ATLAS AIR WORLDWIDE HLDG INC3/24/203519.4225.062265321.25E+02

33N10766MACQUARIE INFRASTRUCTURE CP3/24/2033710.141931913.35E+00

34N01376HAWAIIAN HOLDINGS INC3/24/202755.2649.654341831.86E+02

35N09738AIR TRANSPORT SERVICES GROUP3/24/202232.361.250382621.95E+01

36N24633FORTRESS TRANS INFRASTR INVS3/24/201898.0650.512349056.81E+00

37N12001ALLEGIANT TRAVEL CO3/24/201894.7320.587413937.79E+00

38590481MESA AIR GROUP INC3/24/201045.30419.257564441.41E+02

39N21932ERA GROUP INC3/24/20201.1683.746326755.28E+00

409224AIR T INC3/24/20125.85288210.322725979.09E+00

41N02553EXELED HOLDINGS INC3/24/2022.19455728.267195364.39E+00





Pharmaceutical IndustryCase Study

EDF (%) EIR EDF (%) EIRW35654 SYNAIRGEN PLC 2.84 Caa2 0.31 Ba1 -89% 1225%B01435 EXPRES2ION BIOTECH HOLDING AB 2.87 Caa2 0.39 Ba2 -87% 458%W62502 BIOMED LUBLIN WYTWORNIA SUROWIC I SZCZEPIONEK SA 0.87 B3 0.16 Baa3 -82% 289%N26093 AR897 LTD. 2.43 Caa1 0.46 Ba2 -81% 268%W63411 BIOPHYTIS SA 28.55 C 6.46 Caa1 -77% 1603%N26558 KITOV PHARMA LTD 4.47 Caa2 1.06 B1 -76% 105%W37825 BYOTROL PLC 1.39 Caa1 0.36 Ba2 -74% 228%W46760 READ-GENE SA 12.30 Ca 3.33 B3 -73% 245%W58338 KANCERA AB 0.91 B3 0.25 Ba1 -73% 303%W42916 BIOTEC PHARMACON ASA 0.21 Ba3 0.06 Baa2 -71% 304%W43821 E-THERAPEUTICS PLC 0.41 B2 0.13 Baa3 -68% 369%W58465 BIOSYNEX SA 0.48 B2 0.15 Baa3 -68% 400%N14014 PLURISTEM THERAPEUTICS INC 0.90 B3 0.35 Ba2 -61% 145%W64184 DIURNAL GROUP PLC 1.03 B3 0.43 Ba2 -58% 63%G16474 N4 PHARMA PLC 1.62 Caa1 0.70 Ba3 -57% 127%


PID Name1/1/2020 5/7/2020

EDF % Change Mktcap % Change

Sheet1


ESP0.170.58239%-24%DNK0.110.23100%-3%NLD0.120.49300%-22%

IRL0.100.33230%-16%ISR0.180.36100%-8%IRL0.100.39295%-15%

NLD0.120.38207%-21%FRA0.370.7296%-20%ESP0.170.49191%-26%

DEU0.130.33155%-18%SWE0.300.5790%-16%GBR0.310.84172%-22%

GBR0.310.79153%-22%CHE0.040.0780%-8%DEU0.130.34167%-18%

BEL0.060.15150%-28%NOR0.520.9073%-28%BEL0.060.16165%-30%

GRC1.042.33125%-26%ROU0.370.5755%-23%ISR0.180.45151%-8%

FIN0.100.22114%-13%POL1.161.6139%-18%ITA0.200.49143%-24%

ITA0.200.41107%-22%RUS0.700.8115%-20%DNK0.110.27137%-4%

FIN0.100.25134%-15%

GRC1.042.42134%-29%


CHE0.040.08116%-7%

1NLD0.120.49300%-22%109110NOR0.521.10109%-30%

2IRL0.10.39295%-15%5959SWE0.300.5996%-17%

3ESP0.170.49191%-26%112112ROU0.320.4645%-22%

4GBR0.310.84172%-22%10411043POL1.161.6744%-20%

5DEU0.130.34167%-18%487487RUS0.690.8218%-28%

6BEL0.060.16165%-30%9090

7ISR0.180.45151%-8%355355

8ITA0.20.49143%-24%232232

9DNK0.110.27137%-4%113113

10FIN0.10.25134%-15%123123

11GRC1.042.42134%-29%154154

12FRA0.360.8120%-22%525524

13CHE0.040.08116%-7%176176

14NOR0.521.1109%-30%146146

15SWE0.30.5996%-17%546548

16ROU0.320.4645%-22%6464

17POL1.161.6744%-20%389389

18RUS0.690.8218%-28%166166


11

12

13

14

15

16

17

18


20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36


Sheet2

USAPACCHNEU



















































































Sheet3


















pidentity_name12/31/19rating_bf5/7/20rating_nowEDF % changeMktcap % changeentity_name1/1/203/24/20edfevl

1G14375JOHN MENZIES PLC0.04Baa36.06Caa114315%-77%IBIO INC32.0717881.7789226-0.944533113.16401518

2W53670INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA0.06Ba11.7B22541%-70%PROTEON THERAPEUTICS INC4.7251620.3536223-0.925161914.42212138

3W25769EASYJET PLC0.15Ba32.73B31703%-63%GENPREX INC3.0451410.2734075-0.910215214.40062642

4G10045DEUTSCHE LUFTHANSA AG0.07Ba10.71Ba3883%-52%DECISION DIAGNOSTICS CORP14.8027911.3752829-0.9070939.17241236

5G10777AIR FRANCE-KLM SA0.2Ba31.89B2834%-59%TONIX PHARMACEUTICALS HLDG23.205782.177302-0.906174123.95020208

6G13634BBA AVIATION PLC0.05Baa30.37Ba2657%-43%SYNAIRGEN PLC2.840250.2695447-0.90509827.76595448

7W11966RYANAIR HOLDINGS PLC0.06Ba10.37Ba2528%-37%TBG DIAGNOSTICS LTD5.2592380.5048572-0.90400568.99999796

8W43433AEGEAN AIRLINES SA0.15Ba30.79Ba3413%-48%ONCONOVA THERAPEUTICS INC32.2138653.8252522-0.881254518.22673984

9W02683FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE0.02Aa30.11Baa3403%-53%NOVAVAX INC32.5712314.4964321-0.86195085.2207839

10W39325AÉROPORTS DE PARIS SA0.01Aaa0.06Baa2387%-54%GENUFOOD ENERGY ENZYMES CORP41.82655.810

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