Average Default Rates for the period ended 31-March-2021

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 [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

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

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

Rating Category 1 - year default rate
A1+ [3] 5.6%
A1 [3] 3.0%
A2 1.3%
A3 1.3%
A4 2.9%

Notes:

  1. "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.
  2. "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.
  3. "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.