Average Default Rates for the period ended 31-March-2021
1. Long-run average default rates for long term instruments
Data table for Average Default Rates for the period ended 31-March-2021
| Rating Category |
1 - year default rate |
2 - year Cumulative default rate |
3 - year Cumulative default rate |
| AAA |
0.0% |
0.0% |
0.0% |
| AA [1] |
2.8% |
7.5% |
15.0% |
| A [2 |
0.9% |
4.0% |
4.7% |
| BBB |
1.4% |
4.6% |
9.2% |
| BB |
2.1% |
5.9% |
11.7% |
| B |
4.1% |
11.6% |
21.0% |
| C |
15.1% |
39.6% |
63.2% |
2. Long-run average default rates for short term instruments
Data table for Average Default Rates for the period ended 31-March-2021
| Rating Category |
1 - year default rate |
| A1+ [3] |
4.1% |
| A1 [3] |
2.0% |
| A2 |
1.5% |
| A3 |
1.4% |
| A4 |
2.9% |
3. Short-run average default rates for long term instruments
Data table for Average Default Rates for the period ended 31-March-2021
| Rating Category |
1 - year default rate |
2 - year Cumulative default rate |
3 - year Cumulative default rate |
| AAA |
0.0% |
0.0% |
0.0% |
| AA [1] |
4.4% |
11.0% |
32.9% |
| A [2] |
1.3% |
5.3% |
10.6% |
| BBB |
1.2% |
4.2% |
7.5% |
| BB |
2.3% |
6.3% |
12.2% |
| B |
4.1% |
11.6% |
20.4% |
| C |
13.1% |
40.0% |
65.8% |
4. Short-run average default rates for short term instruments
Data table for Average Default Rates for the period ended 31-March-2021
| Rating Category |
1 - year default rate |
| A1+ [3] |
5.6% |
| A1 [3] |
3.0% |
| A2 |
1.3% |
| A3 |
1.3% |
| A4 |
2.9% |
Notes:
- "AA" [Long Term - Long Run & Short Run]: On account of defaults by 5 entities across 2 business groups and 1 standalone entity; default rates arrived on a low base of entities.
- "A" [Long Term - Long Run & Short Run]: On account of defaults by 2 entities from the same business group (the business group had the same 2 entities in "AA" category mentioned in point 1. above) and 4 standalone entities; default rates arrived on a low base of entities.
- "A1+" and "A1" [Short Term - Long Run & Short Run]: On account of defaults by 4 entities across 2 business groups (the same entities from these 2 business groups had ratings in "AA" category mentioned in point 1. above); default rates arrived on a low base of entities.