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: