New Report Tracks Historic Decline in Credit Quality Across Corporates, Sovereigns and Leveraged Loans


New York, NY, January 28, 2021 – Global Corporate Credit Risk Increased 20% in 2020, with More than Half of Corporate Bonds Falling Below Investment Grade, According to Credit Benchmark Year-in-Review

While most credit issuers managed to stave off defaults thanks to massive government support programs, the scale of downgrades and overall credit quality deterioration was truly staggering in 2020. According to a new report from Credit Benchmark, The COVID Year: Review of Credit and Solvency Trends in 2020, global corporate credit risk increased nearly 20% over the past year, with the global percentage of investment grade corporate bonds dropping to just 46%. The full report offers a deep dive on 2020 credit risk trends across corporate credit, sovereigns and leveraged loans, drawing on Credit Benchmark’s consensus-based credit risk analytics.

“Our credit quality data clearly shows an unprecedented level of economic disruption wrought by the COVID-19 pandemic, but it also uncovers some bright spots where things were not as bad as they could have been and – in some cases – where companies have been able to thrive,” said David Carruthers, Credit Benchmark Head of Research. “Importantly, by offering this differentiated view of credit quality, which captures the views of the world’s largest financial institutions who have real risk exposure to these entities, we’re able to deliver a much more granular, nuanced view of credit trends across the rated and un-rated universe of corporates, sovereigns and leveraged loans.”

Following are some of the key findings in the Credit Benchmark 2020 year-in-review:

  • Corporate Credit Risk Surges: Global corporate credit risk increased nearly 20% in 2020. Global financials credit risk increased nearly 10%.
  • Less Than Half of Corporates Now Investment Grade: The global percentage of investment grade corporates dropped from 50% to 46% and the proportion of corporate credits rated “c” has more than doubled.
  • Sovereign Credit Risk Climbs: Overall sovereign credit risk has risen by 5% on a global basis. North American credit risk rose 24%.
  • Fallen Angels/Rising Stars: Across all sectors, roughly 14% of corporate bonds have fallen from investment grade to high yield. For the Travel & Leisure sector, that number jumps to 50%. By contrast, nearly 20% of companies in the Aerospace & Defense sector have moved from high yield to investment grade, demonstrating the significant volatility that has characterized 2020.
  • Leveraged Loans in the Spotlight: Global leveraged loans issued by privately held companies saw their credit quality deteriorate more than 60% over the course of the year. For publicly traded loan issuers, credit quality deteriorated by 40%.

The full report delves into detail on the month-by-month trends in all of these areas and more, offering an inventory of the major moves of the past year and a guide to what to watch in 2021. To access the full report, click here.

About Credit Benchmark

Credit Benchmark is a financial data and analytics company that brings together internal credit risk views from 40+ of the world’s leading financial institutions. The contributions are anonymized, aggregated, and published twice monthly in the form of credit consensus ratings and aggregate analytics to provide an independent, real-world measure of risk on rated and unrated entities globally. The data is available via the Credit Benchmark Web App, Excel add-in, flat file download, and third party platforms.

Credit Benchmark was founded in 2012 and is based in New York and London. For more information, visit www.creditbenchmark.com.

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Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk.
Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.