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TABLE 19-3: Moody's Cumulative Default Rates (Percent), 1920-2002
TABLE 19-4: S&P's Cumulative Default Rates, 1981-2002 (Percent)
Rating Year 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 AAA 0.00 0.00 0.03 0.07 0.11 0.20 0.30 0.47 0.54 0.61 0.61 0.61 0.61 0.75 0.92 AA 0.01 0.03 0.08 0.17 0.28 0.42 0.61 0.77 0.90 1.06 1.20 1.37 1.51 1.63 1.77 A 0.05 0.15 0.30 0.48 0.71 0.94 1.19 1.46 1.78 2.10 2.37 2.60 2.84 3.08 3.46 BBB 0.36 0.96 1.61 2.58 3.53 4.49 5.33 6.10 6.77 7.60 8.48 9.34 10.22 11.28 12.44 BB 1.47 4.49 8.18 11.69 14.77 17.99 20.43 22.63 24.85 26.61 28.47 29.76 30.98 31.70 32.56 B 6.72 14.99 22.19 27.83 31.99 35.37 38.56 41.25 42.90 44.59 45.84 46.92 47.71 48.68 49.57 CCC 30.95 40.35 46.43 51.25 56.77 58.74 59.46 59.85 61.57 62.92 63.41 63.41 63.41 64.25 64.25 Inv. 0.13 0.34 0.59 0.93 1.29 1.65 1.99 2.33 2.64 2.99 3.32 3.63 3.95 4.30 4.75 Spec. 5.56 11.39 16.86 21.43 25.12 28.35 31.02 33.32 35.24 36.94 38.40 39.48 40.40 41.24 42.05 All 1.73 3.51 5.12 6.48 7.57 8.52 9.33 10.04 10.66 11.27 11.81 12.28 12.71 13.17 13.69 Note: Static pool average cumulative default rates (adjusted for "not rated" borrowers).
The default rates reported in Tables 19-3 and 19-4 are cumulative default rates for an initial credit rating, that is, measure the total frequency of default at any time between the starting date and year T .
Cumulative Default Rate This is the proportion of issuers initially rated R that de- faulted at any point until year T
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