Average Default Rates for the period ended 31-March-2022

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] 2.1% 10.5% 20.0%
A [2] 0.9% 2.9% 7.0%
BBB 1.3% 4.0% 8.9%
BB 2.1% 6.0% 11.5%
B 3.5% 10.3% 20.2%
C 13.0% 32.3% 58.3%

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

Rating Category 1 - year default rate
A1+ [3] 2.8%
A1 [3] 2.3%
A2 1.3%
A3 1.3%
A4 2.6%

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] 3.8% 15.2% 30.1%
A [2] 1.3% 3.9% 9.3%
BBB 1.1% 3.9% 9.1%
BB 2.3% 6.3% 11.6%
B 3.3% 10.1% 20.4%
C 10.8% 27.1% 59.3%

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

Rating Category 1 - year default rate
A1+ [3] 4.5%
A1 [3] 3.7%
A2 1.3%
A3 1.1%
A4 2.6%

Notes:

  1. "AA" [Long Term - Long Run & Short Run]: On account of default by 2 groups having 5 entities and 1 single issuer; default rates calculated on a low base of issuers.
  2. "A" [Long Term - Long Run & Short Run]: On account of default of 5 single issuer and a group having 2 entities (group having 2 entities rated "AA" mentioned in point 1. above); default rates calculated on a low base of issuers
  3. "A1+" and "A1" [Short Term - Long Run & Short Run]: On account of default by 2 group entities (two groups having 4 entities rated "AA" mentioned in point 1. above); default rate calculated on a low base of issuers