Average Default Rates for the period ended 31-March-2020

1. Long-run average default rates for long term instruments

Rating Category 1 - year default rate 2 - year Cumulative default rate 3 - year Cumulative default rate
AAA 0.0% 0.0% 0.0%
AA 0.7% 4.2% 4.5%
A 0.9% 1.7% 1.9%
BBB 1.1% 2.9% 6.0%
BB 1.5% 3.9% 7.4%
B 3.3% 8.0% 13.8%
C 13.8% 32.4% 57.3%

2. Long-run average default rates for short term instruments

Rating Category 1 - year default rate
A1+ 0.4%
A1 1.0%
A2 1.3%
A3 1.2%
A4 2.4%

3. Short-run average default rates for long term instruments

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% 6.7% 7.7%
A 1.2% 2.5% 3.0%
BBB 0.8% 2.0% 4.9%
BB 1.4% 3.9% 8.7%
B 2.9% 7.7% 15.5%
C 7.5% 17.7% 49.9%

4. Short-run average default rates for short term instruments

Rating Category 1 - year default rate
A1+ 0.6%
A1 1.4%
A2 0.7%
A3 1.0%
A4 2.2%

Notes:

  1. "AA" [Long Term - Long Run & Short Run]: On account of default by 2 group entities; default rates calculated on a low base of issuers
  2. "A" [Long Term - Long Run & Short Run]: On account of default by a single issuer; default rates calculated on a low base of issuers
  3. "A1+"" and "A1" [Short Term - Long Run & Short Run]: On account of default by a single issuer (one of the two group entities rated "AA" mentioned in point 1. above); default rate calculated on a low base of issuers