Default Rates
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
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
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
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
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
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 |
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Chart 6: Default Rates
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
source: www.FDIC.gov , The Federal Deposit
Insurance Corporation - Division of Research and Statistics, "Historical
Statistics on BankingI".
Chart 8: Default Rates
source: www.FDIC.gov, The Federal Deposit Insurance Corporation -
Division of Research and Statistics. "Historical Statistics on Banking".
Chart 9: Default Rates
source: Standard and Poor's Credit Analysis
Reference Disc, March 3, 1997, "Corporate Defaults Slashed in 1996".
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