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: