Default Rates

Table 1:  Avg. Annual Default Rates  (S&P/Moody's - 1/5 yrs.)
Chart 1:  Estimated Annual Loss Rates by Risk Rating
Chart 2:  Private vs Public Default Rate by Rating
Chart 3:  One-yr Default Rates
Chart 4:  Moody's "Idealized" vs S&P's (1981-1996) Cumulative Default Rates
Chart 5:  Annualized Loss Rates, Altman &S&P
Table 2:  Default Rates: Bank Loans vs Bonds
Chart 6:  Avg. Spread Over Treasuries vs. Avg. Cumulative Default Rates (in bps)
Chart 7:  FDIC Nonaccruals as % of Total Loans/Leases Outstanding
Chart 8:  Net Loan/Lease Charge-offs as % of Total Loans/Leases Outstanding, Insured Commercial Banks
Chart 9:  Rated Corporate Defaults (1981-96)

 

Table 1: Default Rates

Average Annual Default Rates

Standard Deviation

S&P

Moody's

S&P*

Moody's**

S&P/Moodys Rating

Yr 1

Yr 1

5Yr

Yr 5

Yr 1

Yr 5

AAA/Aaa

0.0

0.0

0.0

0.0

0.0

0.0

AA/Aa

0.0

0.0

0.1

0.1

0.0

0.0

A/A

0.1

0.0

0.1

0.1

0.0

0.0

BBB/Baa

0.2

0.2

0.4

0.4

0.0

0.0

BB/Ba

1.1

1.8

2.2

2.0

0.5

0.1

B/B

4.8

8.1

4.0

4.9

2.3

0.6

CCC

16.4

7.0

Investment Grade

0.1

0.1

0.2

0.2

0.0

0.0

Speculative Grade

3.8

4.2

3.5

3.0

0.3

0.3

Note: * = Avg of an Annualized Rate

Note: ** = Annualized cumulative rate

source: Standard & Poor's CreditPro ™, 1998 edition - version 2.0
( McGraw - Hill Companies, Inc.), 1981-96.
Moody's: Fons, Jerome S., Kimball, Andrew E., Journal of Fixed Income, June, 1991, "Corporate Bond Defaults and Default Rates 1970-90".

 

 


Chart 1: Default Rates

et2sevloss1.gif (8511 bytes)
source: Carey, Mark, Board of Governors of the Federal Reserve System and Society of Actuaries Asset Risk Experience Study Private Placement Subcommittee, March 18, 1998, "Credit Risk in Private Debt Portfolios". Altman, Edward, and Saunders, Anthony, New York University Stern School of Business Finance Dept., FIN 96-3, "Credit Risk Measurement: Developments Over The Last 20 Years".





Chart 2: Default Rates
et2sevloss2.gif (6947 bytes)
source: Carey, Mark, Board of Governors of the Federal Reserve System and Society of Actuaries Asset Risk Experience Study Private Placement Subcommittee, March 18, 1998, "Credit Risk in Private Debt Portfolios".





Chart 3: Default Rates            
wpe7.gif (8653 bytes)
sources: Carey, Mark, Board of Governors of the Federal Reserve System and Society of Actuaries Asset Risk Experience Study, Private Placement Subcommittee, March 18, 1998, "Credit Risk in Private Debt Portfolios".








Chart 4: Default Rates
et3idealizddefrtchrt.gif (13603 bytes)
source: Standard & Poor's CreditWeek, January 28, 1998, "Global Defaults Remain Low". Moody's Investor Service, Keenan, Sean C., and Carty, Lea V., and Shtogrin, Igor, February, 1998, "Historical Default Rates of Corporate bond Issuers, 1920-1997".








Chart 5: Default Rates
et3cumdeflosschrt.gif (18810 bytes)
source: "Managing Credit Risk; The Next Great Financial Challenge", Mortality Losses by Original Rating - All Rated Corporate Bonds,  Caouette, John B., and Altman, Edward, and   Narayanan, Paul  (published by John Wiley & Sons, Inc., copyright 1998), S&P CreditWeek, 1/28/98, "Global Defaults Remain Low". Note: Recovery Rate Assumption = 0.58.








Table 2: Default Rates

Default Rates: Bank Loans vs Bonds

LPC Risk Rating

Public Bonds

Commercial Loans

Average

Average

1988-96

1988-96

Restricted due to proprietary





 


Chart 6: Default Rates
wpeC.gif (9753 bytes)
source:   Moody's Investor Service, Global Credit Research "Historical Default Rates of corporate Issuers, 1920-1997 (February 1998)". "Explaining Yields on Identically-Rated Bonds;
OLS Regression with White (1980) corrected standard errors, Dependent Variables: Spreads over Treasuries".

 






Chart 7: Default Rates
wpe6.gif (9049 bytes)
source: www.FDIC.gov , The Federal Deposit Insurance Corporation - Division of Research and Statistics,  "Historical Statistics on BankingI".




 

Chart 8: Default Rates
wpe8.gif (8792 bytes)

source: www.FDIC.gov, The Federal Deposit Insurance Corporation - Division of Research and Statistics. "Historical Statistics on Banking".

Chart 9: Default Rates
et2spcpdefchrt.gif (6668 bytes)
source: Standard and Poor's Credit Analysis Reference Disc, March 3, 1997, "Corporate Defaults Slashed in 1996".

 

 


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