Things just seem to keep getting worse for the troubled brick-and-mortar retail world.

After years of struggling to compete with all-powerful Amazon, retailers have been closing hundreds of stores amid declining sales. Analysts are even predicting that one-quarter of America’s malls could close within the next five years.

And in at least one way, the situation is worse for retailers now than it was during the doldrums brought on by the financial crisis, a report released last week by Moody’s Investors Service indicates. The new report gives ratings of Caa or worse—defined as “subject to very high credit risk”—to 22 major retailers.

That’s up from 19 when a similar report was issued in February,…