アジアの建築積算事情アジア諸国における建築積算の動向 特集 建築コスト研究 No.78 2012.7 13 東南アジアの旧英連邦国におけるQS業務 ―マレーシアの積算事情―
アジア諸国における 信用リスク情報
26
アアアアアアアアア アアアアアアア アアアアアアアアアアアアアア アア アア ア アア アア ２００７１１３（） 黒黒 黒黒 黒黒黒黒黒黒黒黒
description
アジア諸国における 信用リスク情報. 日本国際経済学会関東部会報告 ２００７年１月１３日（土）. 黒沢 義孝 日本大学経済学部. １．信用リスク情報（資本市場）を提供する Ｃｒｅｄｉｔ Ｒａｔｉｎｇ Ａｇｅｎｃｙ（格付け会社）. （１）アメリカ. ● ルイ・タッパンが商業貸付の格付け開始（１８４１年） ● ジョン・ムーディーが社債の格付け開始（１９０９年）. ● 米国通貨監督官「銀行の債券投資は格付け 上位４ランク以内」（１９５７年） ● ＳＥＣ認定格付機関制度開始（ＮＲＳＲＯ、１９７７年）. ● エンロン事件発生により格付制度の見直し - PowerPoint PPT Presentation
Transcript of アジア諸国における 信用リスク情報
-
Credit Rating Agency Reform Act of 2006
-
AAA AA- 20% 1.6% A+ BB- 50 4.0 BBB+ BB- 100 8.0 B+ 150 12.0 100 8.0
-
Graph1
50
20
15
102
76
42
71
62
41
280
1126
NIRA2006.1 44
2004
10
2004
Sheet1
2000200120022003200404005
318318378551690372117
6079118159223163272
333537516835106
30333863552583
3948485045615
282018213027
141617121517
5225496549071126604116
494837485012
2521231720-5-20
2119161315-6-29
5045818210252104
341285052763585
161934464226163
37345052713492
OPEC48475043621429
141510244127193
1922152342402808846
1015104012391523188687186
20042004
50690
20223
1568
10255
37645
4230
7115
OPEC62
41
280
1126
Sheet1
NIRA2006.1 44
2004
10
2004
Sheet2
117%
272%
106%
83%
15%
7%
7%
5
NIRA2006.1 44
2004
10
2004
Sheet3
510416114191894040711103
24981011502285313012
770122561508145255
1037169667189452462
/(%)20.310.535.023.44.2
102003
7701224.96150.1255.2
157.1163124.362
12.2235.824312.2
34.51.177.719.7
44.913.440.423.4
6.46.415.550.8
2.62.636.622.1
9.59.530.78.9
157.1163124.362
12.2235.824312.2
34.51.177.719.7
44.913.440.423.4
6.46.415.550.8
2.62.636.622.1
9.59.530.78.9
Sheet3
10
200310
-
Graph4
5104161141918911103
2498101150223012
77012256150255
267471568207
10
200310
Sheet1
2000200120022003200404005
318318378551690372117
6079118159223163272
333537516835106
30333863552583
3948485045615
282018213027
141617121517
5225496549071126604116
494837485012
2521231720-5-20
2119161315-6-29
5045818210252104
341285052763585
161934464226163
37345052713492
OPEC48475043621429
141510244127193
1922152342402808846
1015104012391523188687186
20042004
50690
20223
1568
10255
37645
4230
7115
OPEC62
41
280
1126
Sheet1
NIRA2006.1 44
2004
10
2004
Sheet2
117%
272%
106%
83%
15%
7%
7%
5
NIRA2006.1 44
2004
10
2004
Sheet3
5104161141918911103
2498101150223012
77012256150255
267471568207
/(%)5.22.93.01.9
102003
7701224.96150.1255.2
157.1163124.362
12.2235.824312.2
34.51.177.719.7
44.913.440.423.4
6.46.415.550.8
2.62.636.622.1
9.59.530.78.9
157.1163124.362
12.2235.824312.2
34.51.177.719.7
44.913.440.423.4
6.46.415.550.8
2.62.636.622.1
9.59.530.78.9
Sheet3
10
200310
10
200310
-
()
30152015201002715201520972113131110682110131012661912131110651210139105412541113459371010395231110310038213
-
yr 1yr 2yr 3yr 4yr 5yr 6yr 7yr 8yr 9yr 10AAA0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 AA0.0 0.0 0.0 0.0 0.2 0.5 0.8 1.1 1.3 1.5 A0.0 0.0 0.2 0.7 1.5 1.6 1.7 1.8 1.9 2.0 BBB0.0 0.2 0.3 1.0 2.0 2.5 3.0 3.5 4.0 5.0 BB2.0 3.5 5.0 7.5 10.0 14.0 18.0 22.0 26.0 30.0 B8.0 10.0 12.5 16.0 20.0 26.0 32.0 38.0 44.0 50.0
-
BBBBBBAAAAAA
Graph1
000028
0000.23.510
000.20.3512.5
000.717.516
00.21.521020
00.51.62.51426
00.81.731832
01.11.83.52238
01.31.942644
01.5253050
AAA
AA
A
BBB
BB
B
Sheet1
30272121191212950
1515131012105320
2020131313134733
151511101191110118
2020101210101310102
100976866655445383012
3015201520100
271520152097
211313111068
211013101266
191213111065
12101391054
1254111345
937101039
523111031
0038213
Sheet2
yr 1yr 2yr 3yr 4yr 5yr 6yr 7yr 8yr 9yr 10
AAA0.00.00.00.00.00.00.00.00.00.0
AA0.00.00.00.00.20.50.81.11.31.5
A0.00.00.20.71.51.61.71.81.92.0
BBB0.00.20.31.02.02.53.03.54.05.0
BB2.03.55.07.510.014.018.022.026.030.0
B8.010.012.516.020.026.032.038.044.050.0
yr 1yr 2yr 3yr 4yr 5yr 6yr 7yr 8yr 9yr 10
AAA00.00.00.00.00.00.00.00.00.0
AA00.00.00.00.20.30.30.30.20.2
A00.00.20.50.80.10.10.10.10.1
BBB00.20.10.71.00.50.50.50.51.0
BB01.51.52.52.54.04.04.04.04.0
B02.02.53.54.06.06.06.06.06.0
Sheet2
AAA
AA
A
BBB
BB
B
Sheet3
-
Graph1
000028
0000.23.510
000.20.3512.5
000.717.516
00.21.521020
00.51.62.51426
00.81.731832
01.11.83.52238
01.31.942644
01.5253050
AAA
AA
A
BBB
BB
B
Accumulated years
accumulated default rate
between Ratings
R&IS&P
a-1A-1
a-2A-2
a-3A-3
bB
cC
JCRD
J-1Moodys
J-2P-1
J-3P-2
NJP-3
NP
Fitch
F1
F2
F3
B
C
D
Moodys)
R&IJCRMoodysS&PFitch
AAA
(Aaa)
AA
Aa)AAA
A
A)
(
BBB
Baa)
BB
Ba)
B
B)
CCC
Caa)
CC
Ca)
C
C)
D
DDDDDD
AACCCAABAaCaa1,2,3AABBBAABBB
(1,2,3)
op p 04
,
Moodys
R&I (http://www.r-i.co.jp), JCR (http://www.jcr.co.jp)
Moodys (http://www.moodys.co.jp), S&P (http://www.standardandpoors.co.jp)
Fitch (http://www.fitchratings.co.jp)
Sheet1
12345678910
AAA0000000000
AA00000.20.50.81.11.31.5
A000.20.71.51.61.71.81.92
BBB00.20.3122.533.545
BB23.557.5101418222630
B81012.516202632384450
1995199619971998199920002001200220032004
AAA0000.200.200.200.2
AA0.20.20.20.50.20.50.20.50.20.6
A1.51.51.81.521.51.521.51.5
BBB222.522422.522
BB10119111011912910
B20192219212019202220
Sheet1
AAA
AA
A
BBB
BB
B
AAA
AA
A
BBB
BB
B
5
AAA
AA
A
BBB
BB
B
Accumulated years
accumulated default rate
between Ratings
Sheet2
AAA
AA
A
BBB
BB
B
year
5 year accumulated default rate
Stability of Ratings (%)
6%10%
6%10%
6%10%
20%10%
20%10%
--10%
--10%
6%10%
6%10%
8%10%
=10%-8%=2%
6
6
AA
A
(0%1.5%2.0% 5%30% 50%(0%1.5%
6% 7.6%8.2% 11.6%51.4% 112%6% 7.6%
800 200500 500200 800800 200
1060 (6%)1060 (6%)1060 (6%)1060 (6%)
800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.015)500*(1+0.082)*(1-0.02)+500*(1+0.116)*(1-0.05)200*(1+0.514)*(1-0.3)+800*(1+1.12)*(1-0.5)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.015)
6.3)10999.9)199999.9)6.3)
Pd=0)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.)500*(1+0.082)*(1-0)+500*(1+0.116)*(1-0)200*(1+0.514)*(1-0)+800*(1+1.12)*(1-0)Pd=0)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.)
10585.8)10494.9)9604)10585.8)
PdAAAPd=0AAPd= upABBB Pd=upBBB Pd=5%upPdAAAPd=0AAPd= up
800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.025)500*(1+0.082)*(1-0.03)+500*(1+0.116)*(1-0.06)200*(1+0.514)*(1-0.35)+800*(1+1.12)*(1-0.55)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.025)
(10
A
(2.0% 5%
8.2% 11.6%
(1059.9721060.281059.96500 500
1063.210991998.81060 (6%)
6.329.999.88500*(1+0.082)*(1-0.02)+500*(1+0.116)*(1-0.05)
1057.821049.29960.02
5.7824.929-3.99810999.9)
Pd=0)500*(1+0.082)*(1-0)+500*(1+0.116)*(1-0)
10494.9)
PdABBB Pd=up
500*(1+0.082)*(1-0.03)+500*(1+0.116)*(1-0.06)
(30% 50%
51.4% 112%
200 800
1060 (6%)
200*(1+0.514)*(1-0.3)+800*(1+1.12)*(1-0.5)
199999.9)
Pd=0)200*(1+0.514)*(1-0)+800*(1+1.12)*(1-0)
9604)
PdBBB Pd=5%up
200*(1+0.514)*(1-0.35)+800*(1+1.12)*(1-0.55)
25
13510
PdqrpPdqrpPdqrpPdqrp
AAA0.06.00.00.06.00.00.06.00.00.06.00.0
AA0.06.00.00.06.00.00.06.00.01.57.61.6
A0.06.00.00.06.00.01.57.61.62.08.22.2
BBB0.06.00.00.56.50.54.010.44.45.011.65.6
BB1.07.11.12.08.22.220.032.526.530.051.445.4
B2.08.22.210.017.811.840.076.770.750.0112.0106.0
13510
AAA(Aaa)0000
AA(Aa)0001.5
A(A)001.52.0
BBB(Baa)00.54.05.0
BB(Ba)1.02.020.030.0
B(B)2.010.040.050.0
Moodys
rfPd
rf r r = rf - Pd ( 1 + rf )
rf q q = (rf + Pd ) / ( 1- Pd )
rp rp = q - rf
q rq rq = q - Pd ( 1 + q )
rf=6%(10Pd(10yrs)r, q, rp, rq 10
rfqrf
Pd(10yrs)rqrprqreqpremiumQRfrf
AAA00.060.0600.0600.060.0600.060.0600.060.060.06
AA0.0150.0440.0760.0160.060.010.04940.07070707070.01070707070.07070707070.04929292930.010.07070707070.04929292930.06
A0.020.0390.0820.0220.060.020.03880.08163265310.02163265310.08163265310.03836734690.020.08163265310.03836734690.06
BBB0.050.0070.1160.0560.060.030.02820.09278350520.03278350520.09278350520.02721649480.030.09278350520.02721649480.06
BB0.3-0.2580.5140.4540.060.040.01760.10416666670.04416666670.10416666670.01583333330.040.10416666670.01583333330.06
B0.5-0.4701.1201.0600.060.050.0070.11578947370.05578947370.11578947370.00421052630.050.11578947370.00421052630.06
0.06-0.00360.12765957450.06765957450.1276595745-0.00765957450.060.1276595745-0.00765957450.06
rf=6% 0.07-0.01420.13978494620.07978494620.1397849462-0.01978494620.070.1397849462-0.01978494620.06
0.08-0.02480.1521739130.0921739130.152173913-0.0321739130.080.152173913-0.0321739130.06
0.09-0.03540.16483516480.10483516480.1648351648-0.04483516480.090.1648351648-0.04483516480.06
AAA(0%)6.06.06.00.1-0.0460.17777777780.11777777780.1777777778-0.05777777780.10.1777777778-0.05777777780.06
AA(1.5%)4.47.66.00.11-0.05660.1910112360.1310112360.191011236-0.0710112360.110.191011236-0.0710112360.06
A(2.0%)3.98.26.00.12-0.06720.20454545450.14454545450.2045454545-0.08454545450.120.2045454545-0.08454545450.06
BBB(5.0%)0.711.66.00.13-0.07780.21839080460.15839080460.2183908046-0.09839080460.130.2183908046-0.09839080460.06
BB(30%)-25.851.46.00.14-0.08840.23255813950.17255813950.2325581395-0.11255813950.140.2325581395-0.11255813950.06
B(50%)-47.0112.06.00.15-0.0990.24705882350.18705882350.2470588235-0.12705882350.150.2470588235-0.12705882350.06
0.16-0.10960.26190476190.20190476190.2619047619-0.14190476190.160.2619047619-0.14190476190.06
0.17-0.12020.27710843370.21710843370.2771084337-0.15710843370.170.2771084337-0.15710843370.06
0.18-0.13080.29268292680.23268292680.2926829268-0.17268292680.180.2926829268-0.17268292680.06
0.19-0.14140.30864197530.24864197530.3086419753-0.18864197530.190.3086419753-0.18864197530.06
0.2-0.1520.3250.2650.325-0.2050.20.325-0.2050.06
0.21-0.16260.34177215190.28177215190.3417721519-0.22177215190.210.3417721519-0.22177215190.06
0.22-0.17320.3589743590.2989743590.358974359-0.2389743590.220.358974359-0.2389743590.06
0.23-0.18380.37662337660.31662337660.3766233766-0.25662337660.230.3766233766-0.25662337660.06
0.24-0.19440.39473684210.33473684210.3947368421-0.27473684210.240.3947368421-0.27473684210.06
0.25-0.2050.41333333330.35333333330.4133333333-0.29333333330.250.4133333333-0.29333333330.06
0.26-0.21560.43243243240.37243243240.4324324324-0.31243243240.260.4324324324-0.31243243240.06
0.27-0.22620.45205479450.39205479450.4520547945-0.33205479450.270.4520547945-0.33205479450.06
0.28-0.23680.47222222220.41222222220.4722222222-0.35222222220.280.4722222222-0.35222222220.06
0.29-0.24740.49295774650.43295774650.4929577465-0.37295774650.290.4929577465-0.37295774650.06
0.3-0.2580.51428571430.45428571430.5142857143-0.39428571430.30.5142857143-0.39428571430.06
0.31-0.26860.53623188410.47623188410.5362318841-0.41623188410.310.5362318841-0.41623188410.06
0.32-0.27920.55882352940.49882352940.5588235294-0.43882352940.320.5588235294-0.43882352940.06
0.33-0.28980.58208955220.52208955220.5820895522-0.46208955220.330.5820895522-0.46208955220.06
0.34-0.30040.60606060610.54606060610.6060606061-0.48606060610.340.6060606061-0.48606060610.06
0.35-0.3110.63076923080.57076923080.6307692308-0.51076923080.350.6307692308-0.51076923080.06
0.36-0.32160.656250.596250.65625-0.536250.360.65625-0.536250.06
0.37-0.33220.68253968250.62253968250.6825396825-0.56253968250.370.6825396825-0.56253968250.06
0.38-0.34280.70967741940.64967741940.7096774194-0.58967741940.380.7096774194-0.58967741940.06
0.39-0.35340.7377049180.6777049180.737704918-0.6177049180.390.737704918-0.6177049180.06
0.4-0.3640.76666666670.70666666670.7666666667-0.64666666670.40.7666666667-0.64666666670.06
0.41-0.37460.79661016950.73661016950.7966101695-0.67661016950.410.7966101695-0.67661016950.06
0.42-0.38520.82758620690.76758620690.8275862069-0.70758620690.420.8275862069-0.70758620690.06
0.43-0.39580.85964912280.79964912280.8596491228-0.73964912280.430.8596491228-0.73964912280.06
0.44-0.40640.89285714290.83285714290.8928571429-0.77285714290.440.8928571429-0.77285714290.06
0.45-0.4170.92727272730.86727272730.9272727273-0.80727272730.450.9272727273-0.80727272730.06
0.46-0.42760.9629629630.9029629630.962962963-0.8429629630.460.962962963-0.8429629630.06
0.47-0.438210.941-0.880.471-0.880.06
0.48-0.44881.03846153850.97846153851.0384615385-0.91846153850.481.0384615385-0.91846153850.06
0.49-0.45941.07843137251.01843137251.0784313725-0.95843137250.491.0784313725-0.95843137250.06
0.5-0.471.121.061.12-10.51.12-10.06
rfQRfrfQRfrf
reqreq00.060.060.060666
00.060.060660.010.07070707070.04929292930.0617.07070707074.92929292936
0.010.04940.070707070714.947.07070707070.020.08163265310.03836734690.0628.16326530613.83673469396
0.020.03880.081632653123.888.16326530610.030.09278350520.02721649480.0639.27835051552.72164948456
0.030.02820.092783505232.829.27835051550.040.10416666670.01583333330.06410.41666666671.58333333336
0.040.01760.104166666741.7610.41666666670.050.11578947370.00421052630.06511.57894736840.42105263166
0.050.0070.115789473750.711.57894736840.060.1276595745-0.00765957450.06612.7659574468-0.76595744686
0.06-0.00360.12765957456-0.3612.76595744680.070.1397849462-0.01978494620.06713.9784946237-1.97849462376
0.07-0.01420.13978494627-1.4213.97849462370.080.152173913-0.0321739130.06815.2173913043-3.21739130436
0.08-0.02480.1521739138-2.4815.21739130430.090.1648351648-0.04483516480.06916.4835164835-4.48351648356
0.09-0.03540.16483516489-3.5416.48351648350.10.1777777778-0.05777777780.061017.7777777778-5.77777777786
0.1-0.0460.177777777810-4.617.77777777780.110.191011236-0.0710112360.061119.1011235955-7.10112359556
0.11-0.05660.19101123611-5.6619.10112359550.120.2045454545-0.08454545450.061220.4545454545-8.45454545456
0.12-0.06720.204545454512-6.7220.45454545450.130.2183908046-0.09839080460.061321.8390804598-9.83908045986
0.13-0.07780.218390804613-7.7821.83908045980.140.2325581395-0.11255813950.061423.2558139535-11.25581395356
0.14-0.08840.232558139514-8.8423.25581395350.150.2470588235-0.12705882350.061524.7058823529-12.70588235296
0.15-0.0990.247058823515-9.924.70588235290.160.2619047619-0.14190476190.061626.1904761905-14.19047619056
0.16-0.10960.261904761916-10.9626.19047619050.170.2771084337-0.15710843370.061727.7108433735-15.71084337356
0.17-0.12020.277108433717-12.0227.71084337350.180.2926829268-0.17268292680.061829.2682926829-17.26829268296
0.18-0.13080.292682926818-13.0829.26829268290.190.3086419753-0.18864197530.061930.8641975309-18.86419753096
0.19-0.14140.308641975319-14.1430.86419753090.20.325-0.2050.062032.5-20.56
0.2-0.1520.32520-15.232.50.210.3417721519-0.22177215190.062134.1772151899-22.17721518996
0.21-0.16260.341772151921-16.2634.17721518990.220.358974359-0.2389743590.062235.8974358974-23.89743589746
0.22-0.17320.35897435922-17.3235.89743589740.230.3766233766-0.25662337660.062337.6623376623-25.66233766236
0.23-0.18380.376623376623-18.3837.66233766230.240.3947368421-0.27473684210.062439.4736842105-27.47368421056
0.24-0.19440.394736842124-19.4439.47368421050.250.4133333333-0.29333333330.062541.3333333333-29.33333333336
0.25-0.2050.413333333325-20.541.33333333330.260.4324324324-0.31243243240.062643.2432432432-31.24324324326
0.26-0.21560.432432432426-21.5643.24324324320.270.4520547945-0.33205479450.062745.2054794521-33.20547945216
0.27-0.22620.452054794527-22.6245.20547945210.280.4722222222-0.35222222220.062847.2222222222-35.22222222226
0.28-0.23680.472222222228-23.6847.22222222220.290.4929577465-0.37295774650.062949.2957746479-37.29577464796
0.29-0.24740.492957746529-24.7449.29577464790.30.5142857143-0.39428571430.063051.4285714286-39.42857142866
0.3-0.2580.514285714330-25.851.42857142860.310.5362318841-0.41623188410.063153.6231884058-41.62318840586
0.31-0.26860.536231884131-26.8653.62318840580.320.5588235294-0.43882352940.063255.8823529412-43.88235294126
0.32-0.27920.558823529432-27.9255.88235294120.330.5820895522-0.46208955220.063358.2089552239-46.20895522396
0.33-0.28980.582089552233-28.9858.20895522390.340.6060606061-0.48606060610.063460.6060606061-48.60606060616
0.34-0.30040.606060606134-30.0460.60606060610.350.6307692308-0.51076923080.063563.0769230769-51.07692307696
0.35-0.3110.630769230835-31.163.07692307690.360.65625-0.536250.063665.625-53.6256
0.36-0.32160.6562536-32.1665.6250.370.6825396825-0.56253968250.063768.253968254-56.2539682546
0.37-0.33220.682539682537-33.2268.2539682540.380.7096774194-0.58967741940.063870.9677419355-58.96774193556
0.38-0.34280.709677419438-34.2870.96774193550.390.737704918-0.6177049180.063973.7704918033-61.77049180336
0.39-0.35340.73770491839-35.3473.77049180330.40.7666666667-0.64666666670.064076.6666666667-64.66666666676
0.4-0.3640.766666666740-36.476.66666666670.410.7966101695-0.67661016950.064179.6610169492-67.66101694926
0.41-0.37460.796610169541-37.4679.66101694920.420.8275862069-0.70758620690.064282.7586206897-70.75862068976
0.42-0.38520.827586206942-38.5282.75862068970.430.8596491228-0.73964912280.064385.9649122807-73.96491228076
0.43-0.39580.859649122843-39.5885.96491228070.440.8928571429-0.77285714290.064489.2857142857-77.28571428576
0.44-0.40640.892857142944-40.6489.28571428570.450.9272727273-0.80727272730.064592.7272727273-80.72727272736
0.45-0.4170.927272727345-41.792.72727272730.460.962962963-0.8429629630.064696.2962962963-84.29629629636
0.46-0.42760.96296296346-42.7696.29629629630.471-0.880.0647100-886
0.47-0.4382147-43.821000.481.0384615385-0.91846153850.0648103.8461538462-91.84615384626
0.48-0.44881.038461538548-44.88103.84615384620.491.0784313725-0.95843137250.0649107.8431372549-95.84313725496
0.49-0.45941.078431372549-45.94107.84313725490.51.12-10.0650112-1006
0.5-0.471.1250-47112
000
000
000
000
000
000
re
q
(1/100 %)
1/100 %)
1/100 %)
Q
Rf
rf
rf=6%
re
q
rf=6%
Graph2
00.21.521020
00.21.521119
00.21.82.5922
0.20.51.521119
00.2221021
0.20.51.541120
00.21.52919
0.20.522.51220
00.21.52922
0.20.61.521020
AAA
AA
A
BBB
BB
B
year
5 year accumulated default rate
Stability of Ratings (%)
R&IS&P
a-1A-1
a-2A-2
a-3A-3
bB
cC
JCRD
J-1Moodys
J-2P-1
J-3P-2
NJP-3
NP
Fitch
F1
F2
F3
B
C
D
Moodys)
R&IJCRMoodysS&PFitch
AAA
(Aaa)
AA
Aa)AAA
A
A)
(
BBB
Baa)
BB
Ba)
B
B)
CCC
Caa)
CC
Ca)
C
C)
D
DDDDDD
AACCCAABAaCaa1,2,3AABBBAABBB
(1,2,3)
op p 04
,
Moodys
R&I (http://www.r-i.co.jp), JCR (http://www.jcr.co.jp)
Moodys (http://www.moodys.co.jp), S&P (http://www.standardandpoors.co.jp)
Fitch (http://www.fitchratings.co.jp)
Sheet1
12345678910
AAA0000000000
AA00000.20.50.81.11.31.5
A000.20.71.51.61.71.81.92
BBB00.20.3122.533.545
BB23.557.5101418222630
B81012.516202632384450
1995199619971998199920002001200220032004
AAA0000.200.200.200.2
AA0.20.20.20.50.20.50.20.50.20.6
A1.51.51.81.521.51.521.51.5
BBB222.522422.522
BB10119111011912910
B20192219212019202220
Sheet1
AAA
AA
A
BBB
BB
B
AAA
AA
A
BBB
BB
B
5
AAA
AA
A
BBB
BB
B
Accumulated years
accumulated default rate
between Ratings
Sheet2
AAA
AA
A
BBB
BB
B
year
5 year accumulated default rate
Stability of Ratings (%)
6%10%
6%10%
6%10%
20%10%
20%10%
--10%
--10%
6%10%
6%10%
8%10%
=10%-8%=2%
6
6
AA
A
(0%1.5%2.0% 5%30% 50%(0%1.5%
6% 7.6%8.2% 11.6%51.4% 112%6% 7.6%
800 200500 500200 800800 200
1060 (6%)1060 (6%)1060 (6%)1060 (6%)
800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.015)500*(1+0.082)*(1-0.02)+500*(1+0.116)*(1-0.05)200*(1+0.514)*(1-0.3)+800*(1+1.12)*(1-0.5)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.015)
6.3)10999.9)199999.9)6.3)
Pd=0)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.)500*(1+0.082)*(1-0)+500*(1+0.116)*(1-0)200*(1+0.514)*(1-0)+800*(1+1.12)*(1-0)Pd=0)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.)
10585.8)10494.9)9604)10585.8)
PdAAAPd=0AAPd= upABBB Pd=upBBB Pd=5%upPdAAAPd=0AAPd= up
800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.025)500*(1+0.082)*(1-0.03)+500*(1+0.116)*(1-0.06)200*(1+0.514)*(1-0.35)+800*(1+1.12)*(1-0.55)800*(1+0.06)*(1-0)+200*(1+0.076)*(1-0.025)
(10
A
(2.0% 5%
8.2% 11.6%
(1059.9721060.281059.96500 500
1063.210991998.81060 (6%)
6.329.999.88500*(1+0.082)*(1-0.02)+500*(1+0.116)*(1-0.05)
1057.821049.29960.02
5.7824.929-3.99810999.9)
Pd=0)500*(1+0.082)*(1-0)+500*(1+0.116)*(1-0)
10494.9)
PdABBB Pd=up
500*(1+0.082)*(1-0.03)+500*(1+0.116)*(1-0.06)
(30% 50%
51.4% 112%
200 800
1060 (6%)
200*(1+0.514)*(1-0.3)+800*(1+1.12)*(1-0.5)
199999.9)
Pd=0)200*(1+0.514)*(1-0)+800*(1+1.12)*(1-0)
9604)
PdBBB Pd=5%up
200*(1+0.514)*(1-0.35)+800*(1+1.12)*(1-0.55)
25
13510
PdqrpPdqrpPdqrpPdqrp
AAA0.06.00.00.06.00.00.06.00.00.06.00.0
AA0.06.00.00.06.00.00.06.00.01.57.61.6
A0.06.00.00.06.00.01.57.61.62.08.22.2
BBB0.06.00.00.56.50.54.010.44.45.011.65.6
BB1.07.11.12.08.22.220.032.526.530.051.445.4
B2.08.22.210.017.811.840.076.770.750.0112.0106.0
13510
AAA(Aaa)0000
AA(Aa)0001.5
A(A)001.52.0
BBB(Baa)00.54.05.0
BB(Ba)1.02.020.030.0
B(B)2.010.040.050.0
Moodys
rfPd
rf r r = rf - Pd ( 1 + rf )
rf q q = (rf + Pd ) / ( 1- Pd )
rp rp = q - rf
q rq rq = q - Pd ( 1 + q )
rf=6%(10Pd(10yrs)r, q, rp, rq 10
rfqrf
Pd(10yrs)rqrprqreqpremiumQRfrf
AAA00.060.0600.0600.060.0600.060.0600.060.060.06
AA0.0150.0440.0760.0160.060.010.04940.07070707070.01070707070.07070707070.04929292930.010.07070707070.04929292930.06
A0.020.0390.0820.0220.060.020.03880.08163265310.02163265310.08163265310.03836734690.020.08163265310.03836734690.06
BBB0.050.0070.1160.0560.060.030.02820.09278350520.03278350520.09278350520.02721649480.030.09278350520.02721649480.06
BB0.3-0.2580.5140.4540.060.040.01760.10416666670.04416666670.10416666670.01583333330.040.10416666670.01583333330.06
B0.5-0.4701.1201.0600.060.050.0070.11578947370.05578947370.11578947370.00421052630.050.11578947370.00421052630.06
0.06-0.00360.12765957450.06765957450.1276595745-0.00765957450.060.1276595745-0.00765957450.06
rf=6% 0.07-0.01420.13978494620.07978494620.1397849462-0.01978494620.070.1397849462-0.01978494620.06
0.08-0.02480.1521739130.0921739130.152173913-0.0321739130.080.152173913-0.0321739130.06
0.09-0.03540.16483516480.10483516480.1648351648-0.04483516480.090.1648351648-0.04483516480.06
AAA(0%)6.06.06.00.1-0.0460.17777777780.11777777780.1777777778-0.05777777780.10.1777777778-0.05777777780.06
AA(1.5%)4.47.66.00.11-0.05660.1910112360.1310112360.191011236-0.0710112360.110.191011236-0.0710112360.06
A(2.0%)3.98.26.00.12-0.06720.20454545450.14454545450.2045454545-0.08454545450.120.2045454545-0.08454545450.06
BBB(5.0%)0.711.66.00.13-0.07780.21839080460.15839080460.2183908046-0.09839080460.130.2183908046-0.09839080460.06
BB(30%)-25.851.46.00.14-0.08840.23255813950.17255813950.2325581395-0.11255813950.140.2325581395-0.11255813950.06
B(50%)-47.0112.06.00.15-0.0990.24705882350.18705882350.2470588235-0.12705882350.150.2470588235-0.12705882350.06
0.16-0.10960.26190476190.20190476190.2619047619-0.14190476190.160.2619047619-0.14190476190.06
0.17-0.12020.27710843370.21710843370.2771084337-0.15710843370.170.2771084337-0.15710843370.06
0.18-0.13080.29268292680.23268292680.2926829268-0.17268292680.180.2926829268-0.17268292680.06
0.19-0.14140.30864197530.24864197530.3086419753-0.18864197530.190.3086419753-0.18864197530.06
0.2-0.1520.3250.2650.325-0.2050.20.325-0.2050.06
0.21-0.16260.34177215190.28177215190.3417721519-0.22177215190.210.3417721519-0.22177215190.06
0.22-0.17320.3589743590.2989743590.358974359-0.2389743590.220.358974359-0.2389743590.06
0.23-0.18380.37662337660.31662337660.3766233766-0.25662337660.230.3766233766-0.25662337660.06
0.24-0.19440.39473684210.33473684210.3947368421-0.27473684210.240.3947368421-0.27473684210.06
0.25-0.2050.41333333330.35333333330.4133333333-0.29333333330.250.4133333333-0.29333333330.06
0.26-0.21560.43243243240.37243243240.4324324324-0.31243243240.260.4324324324-0.31243243240.06
0.27-0.22620.45205479450.39205479450.4520547945-0.33205479450.270.4520547945-0.33205479450.06
0.28-0.23680.47222222220.41222222220.4722222222-0.35222222220.280.4722222222-0.35222222220.06
0.29-0.24740.49295774650.43295774650.4929577465-0.37295774650.290.4929577465-0.37295774650.06
0.3-0.2580.51428571430.45428571430.5142857143-0.39428571430.30.5142857143-0.39428571430.06
0.31-0.26860.53623188410.47623188410.5362318841-0.41623188410.310.5362318841-0.41623188410.06
0.32-0.27920.55882352940.49882352940.5588235294-0.43882352940.320.5588235294-0.43882352940.06
0.33-0.28980.58208955220.52208955220.5820895522-0.46208955220.330.5820895522-0.46208955220.06
0.34-0.30040.60606060610.54606060610.6060606061-0.48606060610.340.6060606061-0.48606060610.06
0.35-0.3110.63076923080.57076923080.6307692308-0.51076923080.350.6307692308-0.51076923080.06
0.36-0.32160.656250.596250.65625-0.536250.360.65625-0.536250.06
0.37-0.33220.68253968250.62253968250.6825396825-0.56253968250.370.6825396825-0.56253968250.06
0.38-0.34280.70967741940.64967741940.7096774194-0.58967741940.380.7096774194-0.58967741940.06
0.39-0.35340.7377049180.6777049180.737704918-0.6177049180.390.737704918-0.6177049180.06
0.4-0.3640.76666666670.70666666670.7666666667-0.64666666670.40.7666666667-0.64666666670.06
0.41-0.37460.79661016950.73661016950.7966101695-0.67661016950.410.7966101695-0.67661016950.06
0.42-0.38520.82758620690.76758620690.8275862069-0.70758620690.420.8275862069-0.70758620690.06
0.43-0.39580.85964912280.79964912280.8596491228-0.73964912280.430.8596491228-0.73964912280.06
0.44-0.40640.89285714290.83285714290.8928571429-0.77285714290.440.8928571429-0.77285714290.06
0.45-0.4170.92727272730.86727272730.9272727273-0.80727272730.450.9272727273-0.80727272730.06
0.46-0.42760.9629629630.9029629630.962962963-0.8429629630.460.962962963-0.8429629630.06
0.47-0.438210.941-0.880.471-0.880.06
0.48-0.44881.03846153850.97846153851.0384615385-0.91846153850.481.0384615385-0.91846153850.06
0.49-0.45941.07843137251.01843137251.0784313725-0.95843137250.491.0784313725-0.95843137250.06
0.5-0.471.121.061.12-10.51.12-10.06
rfQRfrfQRfrf
reqreq00.060.060.060666
00.060.060660.010.07070707070.04929292930.0617.07070707074.92929292936
0.010.04940.070707070714.947.07070707070.020.08163265310.03836734690.0628.16326530613.83673469396
0.020.03880.081632653123.888.16326530610.030.09278350520.02721649480.0639.27835051552.72164948456
0.030.02820.092783505232.829.27835051550.040.10416666670.01583333330.06410.41666666671.58333333336
0.040.01760.104166666741.7610.41666666670.050.11578947370.00421052630.06511.57894736840.42105263166
0.050.0070.115789473750.711.57894736840.060.1276595745-0.00765957450.06612.7659574468-0.76595744686
0.06-0.00360.12765957456-0.3612.76595744680.070.1397849462-0.01978494620.06713.9784946237-1.97849462376
0.07-0.01420.13978494627-1.4213.97849462370.080.152173913-0.0321739130.06815.2173913043-3.21739130436
0.08-0.02480.1521739138-2.4815.21739130430.090.1648351648-0.04483516480.06916.4835164835-4.48351648356
0.09-0.03540.16483516489-3.5416.48351648350.10.1777777778-0.05777777780.061017.7777777778-5.77777777786
0.1-0.0460.177777777810-4.617.77777777780.110.191011236-0.0710112360.061119.1011235955-7.10112359556
0.11-0.05660.19101123611-5.6619.10112359550.120.2045454545-0.08454545450.061220.4545454545-8.45454545456
0.12-0.06720.204545454512-6.7220.45454545450.130.2183908046-0.09839080460.061321.8390804598-9.83908045986
0.13-0.07780.218390804613-7.7821.83908045980.140.2325581395-0.11255813950.061423.2558139535-11.25581395356
0.14-0.08840.232558139514-8.8423.25581395350.150.2470588235-0.12705882350.061524.7058823529-12.70588235296
0.15-0.0990.247058823515-9.924.70588235290.160.2619047619-0.14190476190.061626.1904761905-14.19047619056
0.16-0.10960.261904761916-10.9626.19047619050.170.2771084337-0.15710843370.061727.7108433735-15.71084337356
0.17-0.12020.277108433717-12.0227.71084337350.180.2926829268-0.17268292680.061829.2682926829-17.26829268296
0.18-0.13080.292682926818-13.0829.26829268290.190.3086419753-0.18864197530.061930.8641975309-18.86419753096
0.19-0.14140.308641975319-14.1430.86419753090.20.325-0.2050.062032.5-20.56
0.2-0.1520.32520-15.232.50.210.3417721519-0.22177215190.062134.1772151899-22.17721518996
0.21-0.16260.341772151921-16.2634.17721518990.220.358974359-0.2389743590.062235.8974358974-23.89743589746
0.22-0.17320.35897435922-17.3235.89743589740.230.3766233766-0.25662337660.062337.6623376623-25.66233766236
0.23-0.18380.376623376623-18.3837.66233766230.240.3947368421-0.27473684210.062439.4736842105-27.47368421056
0.24-0.19440.394736842124-19.4439.47368421050.250.4133333333-0.29333333330.062541.3333333333-29.33333333336
0.25-0.2050.413333333325-20.541.33333333330.260.4324324324-0.31243243240.062643.2432432432-31.24324324326
0.26-0.21560.432432432426-21.5643.24324324320.270.4520547945-0.33205479450.062745.2054794521-33.20547945216
0.27-0.22620.452054794527-22.6245.20547945210.280.4722222222-0.35222222220.062847.2222222222-35.22222222226
0.28-0.23680.472222222228-23.6847.22222222220.290.4929577465-0.37295774650.062949.2957746479-37.29577464796
0.29-0.24740.492957746529-24.7449.29577464790.30.5142857143-0.39428571430.063051.4285714286-39.42857142866
0.3-0.2580.514285714330-25.851.42857142860.310.5362318841-0.41623188410.063153.6231884058-41.62318840586
0.31-0.26860.536231884131-26.8653.62318840580.320.5588235294-0.43882352940.063255.8823529412-43.88235294126
0.32-0.27920.558823529432-27.9255.88235294120.330.5820895522-0.46208955220.063358.2089552239-46.20895522396
0.33-0.28980.582089552233-28.9858.20895522390.340.6060606061-0.48606060610.063460.6060606061-48.60606060616
0.34-0.30040.606060606134-30.0460.60606060610.350.6307692308-0.51076923080.063563.0769230769-51.07692307696
0.35-0.3110.630769230835-31.163.07692307690.360.65625-0.536250.063665.625-53.6256
0.36-0.32160.6562536-32.1665.6250.370.6825396825-0.56253968250.063768.253968254-56.2539682546
0.37-0.33220.682539682537-33.2268.2539682540.380.7096774194-0.58967741940.063870.9677419355-58.96774193556
0.38-0.34280.709677419438-34.2870.96774193550.390.737704918-0.6177049180.063973.7704918033-61.77049180336
0.39-0.35340.73770491839-35.3473.77049180330.40.7666666667-0.64666666670.064076.6666666667-64.66666666676
0.4-0.3640.766666666740-36.476.66666666670.410.7966101695-0.67661016950.064179.6610169492-67.66101694926
0.41-0.37460.796610169541-37.4679.66101694920.420.8275862069-0.70758620690.064282.7586206897-70.75862068976
0.42-0.38520.827586206942-38.5282.75862068970.430.8596491228-0.73964912280.064385.9649122807-73.96491228076
0.43-0.39580.859649122843-39.5885.96491228070.440.8928571429-0.77285714290.064489.2857142857-77.28571428576
0.44-0.40640.892857142944-40.6489.28571428570.450.9272727273-0.80727272730.064592.7272727273-80.72727272736
0.45-0.4170.927272727345-41.792.72727272730.460.962962963-0.8429629630.064696.2962962963-84.29629629636
0.46-0.42760.96296296346-42.7696.29629629630.471-0.880.0647100-886
0.47-0.4382147-43.821000.481.0384615385-0.91846153850.0648103.8461538462-91.84615384626
0.48-0.44881.038461538548-44.88103.84615384620.491.0784313725-0.95843137250.0649107.8431372549-95.84313725496
0.49-0.45941.078431372549-45.94107.84313725490.51.12-10.0650112-1006
0.5-0.471.1250-47112
000
000
000
000
000
000
re
q
(1/100 %)
1/100 %)
1/100 %)
Q
Rf
rf
rf=6%
re
q
rf=6%
-
Graph1
00.0640.0770.3011.3944.47714.692
00.1920.2510.9023.349.71424.111
0.020.3030.5311.6625.52314.81431.05
0.0810.4710.8562.4947.76219.31636.067
0.170.7431.1833.369.92723.23439.733
0.2661.071.5354.21111.9526.54942.756
0.3831.4151.9025.03513.81829.46945.069
0.551.7512.2565.85415.64831.83747.11
0.7262.0742.6516.70917.33133.87249.092
0.9292.443.0737.54719.06535.64950.952
1.1072.833.5178.29420.59737.15452.747
1.2483.2533.9489.04722.07838.53854.586
1.43.6744.3229.76923.5439.74456.253
1.4494.0974.66810.43124.78440.87957.979
1.494.4185.07911.01725.84541.97759.658
1.5714.6555.4511.59326.86243.03561.145
1.6584.8425.7312.10627.93743.88162.526
1.7255.0345.99412.56428.92844.51163.866
1.8145.2446.25812.98429.76744.94265.12
1.8715.4076.50213.4430.58445.17366.352
Aaa
Aa
A
Baa
Ba
B
Caa-C
%
Accumulated Default Rates by Moodys1920-2005, %)
Sheet1
32
27291920-200530192020051920-2005
investmentspeculativeallinvestmentspeculativeall
19208253319200.4393.011.244
19217243119210.382.0661.031
192210233319220.5151.7761.019
19235222719230.2421.7130.805
19243374019240.1382.8461.152
19257344119250.3252.5571.176
19264182219260.2251.7560.784
19271151619270.0731.7810.725
1928088192800.8970.373
19293121519290.2391.2940.687
19302212319300.1582.1311.021
19316798519310.4887.8453.801
1932910811719320.77510.8115.417
1933918819719330.80115.3918.403
19345606519340.5735.9293.449
19359516019351.2416.093.84
19363192219360.462.7361.634
19374172119370.6532.5911.655
19389172619381.5542.5822.101
19392131519390.3971.7391.199
19402161819400.5592.5851.843
194101010194101.6841.072
1942044194200.7430.46
1943033194300.6090.367
1944033194400.670.394
1945022194500.5170.289
19460001946000
1947011194700.310.155
19480001948000
1949055194901.880.826
19500001950000
1951011195100.450.179
19520001952000
19530001953000
1954011195400.4730.164
1955011195500.5050.163
19560001956000
1957011195700.4570.144
19580001958000
19590001959000
1960022196000.7390.243
1961033196101.0730.353
1962044196201.4680.463
1963033196301.1610.351
19640001964000
19650001965000
1966011196600.4150.119
19670001967000
1968011196800.3850.107
19690001969000
19702252719700.2718.7412.638
1971033197101.1430.285
1972055197201.9420.455
197323519730.2311.2820.454
1974033197401.3420.275
1975044197501.7430.36
1976022197600.8710.175
197713419770.1091.3450.351
1978044197801.790.352
1979011197900.4180.087
1980044198001.6130.343
1981022198100.7030.163
19822111319820.2113.561.034
198301313198303.8180.962
19841121319840.0953.3240.922
198501616198503.671.005
19864303419860.3185.6441.901
198703030198704.2341.499
198802929198803.5981.355
19894485219890.2865.7972.336
1990083831990010.0793.588
19911717219910.06510.3953.226
199202929199204.8331.306
199302222199303.5090.94
199401515199401.9380.56
199503131199503.3191.025
199601717199601.670.514
199702424199702.0570.652
19981505119980.0373.4421.227
19991989919990.0355.6962.157
2000411211620000.1326.1272.385
2001418018420010.12710.5543.783
20021612914520020.4858.4263.003
200308080200305.3141.701
200403636200402.3470.763
20052303220050.0591.9240.648
19202005
1920331.2442653192080.44253.01331.242653192026531.24
1921311.0313007192170.38242.07311.033007192130071.03
1922331.01932381922100.52231.78331.023238192232381.02
1923270.8053354192350.24221.71270.813354192333540.81
1924401.1523472192430.14372.85401.153472192434721.15
1925411.1763486192570.33342.56411.183486192534861.18
1926220.7842806192640.23181.76220.782806192628060.78
1927160.7252207192710.07151.78160.732207192722070.73
192880.3732145192800.0080.9080.372145192821450.37
1929150.6872183192930.24121.29150.692183192921830.69
1930231.0212253193020.16212.13231.022253193022531.02
1931853.8012236193160.49797.85853.802236193122363.80
19321175.4172160193290.7810810.811175.422160193221605.42
19331978.4032344193390.8018815.391978.402344193323448.40
1934653.4491885193450.57605.93653.451885193418853.45
1935603.841563193591.24516.09603.841563193515633.84
1936221.6341346193630.46192.74221.631346193613461.63
1937211.6551269193740.65172.59211.661269193712691.66
1938262.1011238193891.55172.58262.101238193812382.10
1939151.1991251193920.40131.74151.201251193912511.20
1940181.843977194020.56162.59181.8497719409771.84
1941101.072933194100.00101.68101.0793319419331.07
194240.46870194200.0040.7440.4687019428700.46
194330.367817194300.0030.6130.3781719438170.37
194430.394761194400.0030.6730.3976119447610.39
194520.289692194500.0020.5220.2969219456920.29
194600na194600.0000.0000.00na1946na0.00
194710.155645194700.0010.3110.1664519476450.16
194800na194800.0000.0000.00na1948na0.00
194950.826605194900.0051.8850.8360519496050.83
195000na195000.0000.0000.00na1950na0.00
195110.179559195100.0010.4510.1855919515590.18
195200na195200.0000.0000.00na1952na0.00
195300na195300.0000.0000.00na1953na0.00
195410.164610195400.0010.4710.1661019546100.16
195510.163613195500.0010.5110.1661319556130.16
195600na195600.0000.0000.00na1956na0.00
195710.144694195700.0010.4610.1469419576940.14
195800na195800.0000.0000.00na1958na0.00
195900na195900.0000.0000.00na1959na0.00
196020.243823196000.0020.7420.2482319608230.24
196130.353850196100.0031.0730.3585019618500.35
196240.463864196200.0041.4740.4686419628640.46
196330.351855196300.0031.1630.3585519638550.35
196400na196400.0000.0000.00na1964na0.00
196500na196500.0000.0000.00na1965na0.00
196610.119840196600.0010.4210.1284019668400.12
196700na196700.0000.0000.00na1967na0.00
196810.107935196800.0010.3910.1193519689350.11
196900na196900.0000.0000.00na1969na0.00
1970272.6381024197020.27258.74272.641024197010242.64
197130.2851053197100.0031.1430.291053197110530.29
197250.4551099197200.0051.9450.461099197210990.46
197350.4541101197320.2331.2850.451101197311010.45
197430.2751091197400.0031.3430.281091197410910.28
197540.361111197500.0041.7440.361111197511110.36
197620.1751143197600.0020.8720.181143197611430.18
197740.3511140197710.1131.3540.351140197711400.35
197840.3521136197800.0041.7940.351136197811360.35
197910.0871149197900.0010.4210.091149197911490.09
198040.3431166198000.0041.6140.341166198011660.34
198120.1631227198100.0020.7020.161227198112270.16
1982131.0341257198220.21113.56131.031257198212571.03
1983130.9621351198300.00133.82130.961351198313510.96
1984130.9221410198410.10123.32130.921410198414100.92
1985161.0051592198500.00163.67161.011592198515921.01
1986341.9011789198640.32305.64341.901789198617891.90
1987301.4992001198700.00304.23301.502001198720011.50
1988291.3552140198800.00293.60291.362140198821401.36
1989522.3362226198940.29485.80522.342226198922262.34
1990833.5882313199000.008310.08833.592313199023133.59
1991723.2262232199110.077110.40723.232232199122323.23
1992291.3062221199200.00294.83291.312221199222211.31
1993220.942340199300.00223.51220.942340199323400.94
1994150.562679199400.00151.94150.562679199426790.56
1995311.0253024199500.00313.32311.033024199530241.03
1996170.5143307199600.00171.67170.513307199633070.51
1997240.6523681199700.00242.06240.653681199736810.65
1998511.2274156199810.04503.44511.234156199841561.23
1999992.1574590199910.04985.70992.164590199945902.16
20001162.3854864200040.131126.131162.394864200048642.39
20011843.7834864200140.1318010.551843.784864200148643.78
20021453.00348292002160.491298.431453.004829200248293.00
2003801.7014703200300.00805.31801.704703200347031.70
2004360.7634718200400.00362.35360.764718200447180.76
2005320.6484938200520.06301.92320.654938200549380.65
1920-200520063
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
investment
speculative
19202005
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
investment
speculative
19202005
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
investment
speculative
1920-2005
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
&A
Page &P
825
724
1023
522
337
734
418
115
08
312
221
679
9108
9188
560
951
319
417
917
213
216
010
04
03
03
02
00
01
00
05
00
01
00
00
01
01
00
01
00
00
02
03
04
03
00
00
01
00
01
00
225
03
05
23
03
04
02
13
04
01
04
02
211
013
112
016
430
030
029
448
083
171
029
022
015
031
017
024
150
198
4112
4180
16129
080
036
230
investment
speculative
1920-2005
0.4393.01
0.382.066
0.5151.776
0.2421.713
0.1382.846
0.3252.557
0.2251.756
0.0731.781
00.897
0.2391.294
0.1582.131
0.4887.845
0.77510.811
0.80115.391
0.5735.929
1.2416.09
0.462.736
0.6532.591
1.5542.582
0.3971.739
0.5592.585
01.684
00.743
00.609
00.67
00.517
00
00.31
00
01.88
00
00.45
00
00
00.473
00.505
00
00.457
00
00
00.739
01.073
01.468
01.161
00
00
00.415
00
00.385
00
0.2718.741
01.143
01.942
0.2311.282
01.342
01.743
00.871
0.1091.345
01.79
00.418
01.613
00.703
0.2113.56
03.818
0.0953.324
03.67
0.3185.644
04.234
03.598
0.2865.797
010.079
0.06510.395
04.833
03.509
01.938
03.319
01.67
02.057
0.0373.442
0.0355.696
0.1326.127
0.12710.554
0.4858.426
05.314
02.347
0.0591.924
investment
speculative
19202005
00.0640.0770.3011.3944.47714.692
00.1920.2510.9023.349.71424.111
0.020.3030.5311.6625.52314.81431.05
0.0810.4710.8562.4947.76219.31636.067
0.170.7431.1833.369.92723.23439.733
0.2661.071.5354.21111.9526.54942.756
0.3831.4151.9025.03513.81829.46945.069
0.551.7512.2565.85415.64831.83747.11
0.7262.0742.6516.70917.33133.87249.092
0.9292.443.0737.54719.06535.64950.952
1.1072.833.5178.29420.59737.15452.747
1.2483.2533.9489.04722.07838.53854.586
1.43.6744.3229.76923.5439.74456.253
1.4494.0974.66810.43124.78440.87957.979
1.494.4185.07911.01725.84541.97759.658
1.5714.6555.4511.59326.86243.03561.145
1.6584.8425.7312.10627.93743.88162.526
1.7255.0345.99412.56428.92844.51163.866
1.8145.2446.25812.98429.76744.94265.12
1.8715.4076.50213.4430.58445.17366.352
Aaa
Aa
A
Baa
Ba
B
Caa-C
%
1920-2005, %)
0.153.79
0.4567.663
0.85211.348
1.30214.638
1.78717.532
2.28520.053
2.78322.275
3.27524.263
3.79126.051
4.32227.78
4.83529.308
5.34930.774
5.83132.162
6.27533.406
6.69534.526
7.08335.593
7.40636.627
7.70437.549
7.99538.316
8.27839.013
19202005
0.150.070.075
0.4560.2150.232
0.8520.4190.443
1.3020.6590.688
1.7870.9030.931
2.2851.1571.164
2.7831.4081.377
3.2751.6611.566
3.7911.9331.736
4.3222.2311.907
4.8352.5192.068
5.3492.8292.245
5.8313.1522.466
6.2753.4722.696
6.6953.8112.943
7.0834.1553.195
7.4064.5093.48
7.7044.8553.797
7.9955.1764.022
8.2785.4854.142
investment1970-2005
investment1983-2005
InvestmentGrade
3.794.7455.145
7.6639.53410.419
11.34814.01115.428
14.63817.90219.771
17.53221.28923.489
20.05324.20126.703
22.27526.68229.479
24.26328.85231.826
26.05130.83533.786
27.7832.71535.506
29.30834.25936.685
30.77435.73737.79
32.16237.08838.755
33.40638.37639.742
34.52639.51340.503
35.59340.58341.089
36.62741.47841.581
37.54942.15441.964
38.31642.74342.231
39.01343.23242.349
speculative1970-2005
speculative1983-2005
SpeculativeGrade
000.3340.962
00.1850.340.639
00.1890.171.108
0000.614
00.37100.118
000.1470.709
00.4630.1770.142
000.2220
0000
00.300.433
0000.419
000.2811.035
00.670.8710.892
000.2651.8
00.5990.3470.811
001.3331.887
00.7840.5050.341
000.5391.093
00.8331.71.972
0000.946
0001.316
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000.544
0000
0000
0000.457
0000
0000
0000
0000.285
0000
0000
0000
0000
000.2540.317
0000
0000.368
0000
0001.356
0000
0000
00.59600.598
0000
0000.272
0000
0000
0000
0000
0000
0000
0000.117
0000.103
0000.38
000.1560.189
000.1561.206
0000
0000
0000.172
Aaa
Aa
A
Baa
%
Aaa-Baa)
2.1574.3680
0.4472.69312.27
1.0771.7337.692
0.912.325.952
2.0412.78812.414
1.7142.54514.634
1.3952.055.195
1.2691.86913.043
0.1831.25211.111
0.7520.8779.434
0.9222.9027.813
2.9599.2232.468
5.97313.78523.392
11.11115.91625.668
2.6324.30916.04
4.8264.17313.072
1.2252.3587.93
0.6492.6979.04
0.9761.46812.739
0.5881.8755.714
0.411.09711.823
0.9320.7665.063
00.8181.98
01.3450
00.5122.532
003.226
000
002.439
000
1.3421.1117.407
000
004.651
000
000
007.143
01.5040
000
01.290
000
000
1.23100
0.58108.696
1.71.3790
1.1531.5870
000
000
02.2220
000
005.405
000
4.24619.71853.333
0.866014.286
07.40740
03.92244.444
010.3450
1.0266.1540
100
0.5223.3950
1.0845.5560
0.4900
04.93833.333
04.5980
2.742.4125
0.9116.30640
0.8336.723100
1.4048.2190
2.03511.73223.529
2.7186.22620
1.2476.35928.571
2.9828.94725
3.34416.20158.824
5.35214.56336.842
0.2999.03526.667
0.5495.78528.571
0.2363.8595.128
0.6864.76712.389
01.43914.184
0.192.12414.865
0.6244.24615.238
1.0065.98320.438
0.8875.47520
1.5759.31934.227
1.5335.06230.216
0.9412.64821.832
0.1880.77412.747
01.068.271
Ba
B
Caa-C
%
(Ba-C)
00.0640.0770.3011.3944.47714.692
00.1920.2510.9023.349.71424.111
0.020.3030.5311.6625.52314.81431.05
0.0810.4710.8562.4947.76219.31636.067
0.170.7431.1833.369.92723.23439.733
0.2661.071.5354.21111.9526.54942.756
0.3831.4151.9025.03513.81829.46945.069
0.551.7512.2565.85415.64831.83747.11
0.7262.0742.6516.70917.33133.87249.092
0.9292.443.0737.54719.06535.64950.952
1.1072.833.5178.29420.59737.15452.747
1.2483.2533.9489.04722.07838.53854.586
1.43.6744.3229.76923.5439.74456.253
1.4494.0974.66810.43124.78440.87957.979
1.494.4185.07911.01725.84541.97759.658
1.5714.6555.4511.59326.86243.03561.145
1.6584.8425.7312.10627.93743.88162.526
1.7255.0345.99412.56428.92844.51163.866
1.8145.2446.25812.98429.76744.94265.12
1.8715.4076.50213.4430.58445.17366.352
Aaa
Aa
A
Baa
Ba
B
Caa-C
%
Accumulated Default Rates by Moodys1920-2005, %)
33(1920-2005)
1234567891011121314151617181920
Aaa000.020.0810.170.2660.3830.550.7260.9291.1071.2481.41.4491.491.5711.6581.7251.8141.871
Aa0.0640.1920.3030.4710.7431.071.4151.7512.0742.442.833.2533.6744.0974.4184.6554.8425.0345.2445.407
A0.0770.2510.5310.8561.1831.5351.9022.2562.6513.0733.5173.9484.3224.6685.0795.455.735.9946.2586.502
Baa0.3010.9021.6622.4943.364.2115.0355.8546.7097.5478.2949.0479.76910.43111.01711.59312.10612.56412.98413.44
Ba1.3943.345.5237.7629.92711.9513.81815.64817.33119.06520.59722.07823.5424.78425.84526.86227.93728.92829.76730.584
B4.4779.71414.81419.31623.23426.54929.46931.83733.87235.64937.15438.53839.74440.87941.97743.03543.88144.51144.94245.173
Caa-C14.69224.11131.0536.06739.73342.75645.06947.1149.09250.95252.74754.58656.25357.97959.65861.14562.52663.86665.1266.352
0.150.4560.8521.3021.7872.2852.7833.2753.7914.3224.8355.3495.8316.2756.6957.0837.4067.7047.9958.278
3.797.66311.34814.63817.53220.05322.27524.26326.05127.7829.30830.77432.16233.40634.52635.59336.62737.54938.31639.013
1.4583.0024.4995.8627.0878.1799.15810.0510.89211.72112.4813.21913.91114.53515.11115.64816.12716.56116.95417.325
34(1970-2005)
1234567891011121314151617181920
Aaa0000.0280.1060.1840.2670.3570.4530.5560.6640.780.90.9681.0431.1251.2161.2491.2491.249
Aa0.0080.020.0460.1160.1940.2860.3790.460.5140.580.6490.7610.9161.0591.1631.2891.4381.5771.7431.912
A0.0220.1030.2390.3740.5130.6710.8311.0151.2151.4191.6271.8212.0222.2122.4872.8113.1683.5273.8784.199
Baa0.1830.5280.9791.5222.0572.63.1343.654.2344.8925.5026.1756.8547.5648.248.8429.4079.96610.43810.907
Ba1.2313.3065.7528.2610.57412.65114.48116.27818.04519.85521.61623.41525.15426.81628.29129.77631.13932.17233.15133.974
B5.64612.35218.64924.09329.06133.49737.47140.71543.58546.12147.55848.76649.65450.50851.25951.76951.95852.11552.11552.115
Caa-C21.1233.53343.46951.00956.52161.05264.57868.49771.9874.72375.15875.15875.15875.15875.15875.15875.15875.15875.15875.158
investment1970-20050.070.2150.4190.6590.9031.1571.4081.6611.9332.2312.5192.8293.1523.4723.8114.1554.5094.8555.1765.485
speculative1970-20054.7459.53414.01117.90221.28924.20126.68228.85230.83532.71534.25935.73737.08838.37639.51340.58341.47842.15442.74343.232
all1.5133.0374.4465.6616.6937.5728.3118.9559.55410.13810.6611.18111.68512.17212.64713.11513.55913.95814.32314.661
35(1983-2005)
1234567891011121314151617181920
Aaa0000.0390.0850.1410.2030.2080.2080.2080.2080.2080.2080.2080.2080.2080.2080.2080.2080.208
Aa0.010.0230.0530.1270.2030.2550.2940.3260.3540.4150.480.6040.7420.8420.9481.0711.2141.3791.4841.494
A0.0220.1140.2710.4180.5630.7170.8581.0091.1491.2481.3411.4131.5231.6611.8912.212.5742.9653.2213.357
Baa0.2130.6041.0821.6622.2482.8123.3513.8124.2374.7215.155.6276.2136.8317.3437.7018.0838.5158.8629.084
Ba1.3073.6416.4999.37311.84514.04516.03917.89119.53821.03822.29923.6124.84126.13427.1128.00328.89929.54230.13830.41
B5.69312.56919.03824.6129.73434.37138.50641.8744.59346.93148.1649.22250.03150.82951.47851.81751.95952.14352.14352.143
Caa-C20.98233.36743.49851.39657.01261.39964.75668.69773.53478.67379.10979.10979.10979.10979.10979.10979.10979.10979.10979.109
investment1983-20050.0750.2320.4430.6880.9311.1641.3771.5661.7361.9072.0682.2452.4662.6962.9433.1953.483.7974.0224.142
speculative1983-20055.14510.41915.42819.77123.48926.70329.47931.82633.78635.50636.68537.7938.75539.74240.50341.08941.58141.96442.23142.349
all1.7373.5085.166.5677.7348.7049.50110.14110.65611.10811.46811.82312.18212.55312.89513.2113.53313.8614.09414.213
12345678910
Aaa0000000000
Aa0.4710.7431.071.4151.7512.0742.44
A0.5310.8561.1831.5351.9022.2562.6513.073
Baa0.9021.6622.4943.364.2115.0355.8546.7097.547
Ba1.3943.345.5237.7629.92711.9513.81815.64817.33119.065
B4.4779.71414.81419.31623.23426.54929.46931.83733.87235.649
Caa-C14.69224.11131.0536.06739.73342.75645.06947.1149.09250.952
2.4944.21316171922
1991199219931994199519961997199819992000
Aaa000.3000.2000.40
Aa0.650.750.670.70.7430.690.780.680.70.6
A1.21.11.311.1831.50.81.21.11.8
Baa3.43.23.53.23.363.43.332.93.4
Ba108.5119.19.9278.5910.210.89.9
B2522262023.2342423222321
Caa-C4035424039.7333836423640
9.9272628262423
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
19202005
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
investment1970-2005
investment1983-2005
InvestmentGrade
speculative1970-2005
speculative1983-2005
SpeculativeGrade
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
0000000
Aaa
Aa
A
Baa
Ba
B
Caa-C
%
1920-2005, %)
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
1920-2005
Aaa
Aa
A
Baa
Ba
B
Caa-C
Aaa
Aa
A
Baa
Ba
B
Caa-C
Aaa
Aa
A
Baa
Ba
B
Caa-C
Aaa
Aa
A
Baa
Ba
B
Caa-C
33
AaaAaABaaBaBCaa-Cinvestmentspeculativeall
1920000.3340.9622.1574.36800.4393.011.244
192100.1850.340.6390.4472.69312.270.382.0661.031
192200.1890.171.1081.0771.7337.6920.5151.7761.019
19230000.6140.912.325.9520.2421.7130.805
192400.37100.1182.0412.78812.4140.1382.8461.152
1925000.1470.7091.7142.54514.6340.3252.5571.176
192600.4630.1770.1421.3952.055.1950.2251.7560.784
1927000.22201.2691.86913.0430.0731.7810.725
192800000.1831.25211.11100.8970.373
192900.300.4330.7520.8779.4340.2391.2940.687
19300000.4190.9222.9027.8130.1582.1311.021
1931000.2811.0352.9599.2232.4680.4887.8453.801
193200.670.8710.8925.97313.78523.3920.77510.8115.417
1933000.2651.811.11115.91625.6680.80115.3918.403
193400.5990.3470.8112.6324.30916.040.5735.9293.449
1935001.3331.8874.8264.17313.0721.2416.093.84
193600.7840.5050.3411.2252.3587.930.462.7361.634
1937000.5391.0930.6492.6979.040.6532.5911.655
193800.8331.71.9720.9761.46812.7391.5542.5822.101
19390000.9460.5881.8755.7140.3971.7391.199
19400001.3160.411.09711.8230.5592.5851.843
194100000.9320.7665.06301.6841.072
1942000000.8181.9800.7430.46
1943000001.345000.6090.367
1944000000.5122.53200.670.394
19450000003.22600.5170.289
19460000000000
19470000002.43900.310.155
19480000000000
194900001.3421.1117.40701.880.826
19500000000000
19510000004.65100.450.179
19520000000000
19530000000000
19540000007.14300.4730.164
1955000001.504000.5050.163
19560000000000
1957000001.29000.4570.144
19580000000000
19590000000000
196000001.2310000.7390.243
196100000.58108.69601.0730.353
196200001.71.379001.4680.463
196300001.1531.587001.1610.351
19640000000000
19650000000000
1966000002.222000.4150.119
19670000000000
19680000005.40500.3850.107
19690000000000
19700000.5444.24619.71853.3330.2718.7412.638
197100000.866014.28601.1430.285
1972000007.4074001.9420.455
19730000.45703.92244.4440.2311.2820.454
19740000010.345001.3420.275
197500001.0266.154001.7430.36
1976000010000.8710.175
19770000.2850.5223.39500.1091.3450.351
197800001.0845.556001.790.352
197900000.490000.4180.087
1980000004.93833.33301.6130.343
1981000004.598000.7030.163
1982000.2540.3172.742.41250.2113.561.034
198300000.9116.3064003.8180.962
19840000.3680.8336.7231000.0953.3240.922
198500001.4048.219003.671.005
19860001.3562.03511.73223.5290.3185.6441.901
198700002.7186.2262004.2341.499
198800001.2476.35928.57103.5981.355
198900.59600.5982.9828.947250.2865.7972.336
199000003.34416.20158.824010.0793.588
19910000.2725.35214.56336.8420.06510.3953.226
199200000.2999.03526.66704.8331.306
199300000.5495.78528.57103.5090.94
199400000.2363.8595.12801.9380.56
199500000.6864.76712.38903.3191.025
1996000001.43914.18401.670.514
199700000.192.12414.86502.0570.652
19980000.1170.6244.24615.2380.0373.4421.227
19990000.1031.0065.98320.4380.0355.6962.157
20000000.380.8875.475200.1326.1272.385
2001000.1560.1891.5759.31934.2270.12710.5543.783
2002000.1561.2061.5335.06230.2160.4858.4263.003
200300000.9412.64821.83205.3141.701
200400000.1880.77412.74702.3470.763
20050000.17201.068.2710.0591.9240.648
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
Aaa
Aa
A
Baa
%
Aaa-Baa)
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
Ba
B
Caa-C
%
(Ba-C)
-
Graph1
00.1490.16880.6882
00.15260.10920.2568
00.25380.35280.9914
00.32340.81541.2478
0000.2632
0000
0000
0000
0000
0000
0000.2002
0000.057
000.05080.137
00.119200.3908
0000.0544
0000.044
000.0520.3245
Aaa
Aa
A
Baa
5 year default rate by Moodys (Investment Grades)
Corporate Bonds
AaaAaABaaBaBCaa-CInvestmentSpeculativeAaaAaABaa
1920000.3340.9622.1574.36800.4393.011.2441920000.3340.962
192100.1850.340.6390.4472.69312.270.382.0661.031192100.1850.340.639
192200.1890.171.1081.0771.7337.6920.5151.7761.019192200.1890.171.108
19230000.6140.912.325.9520.2421.7130.80519230000.614
192400.37100.1182.0412.78812.4140.1382.8461.152192400.37100.118
1925000.1470.7091.7142.54514.6340.3252.5571.1761925000.1470.709
192600.4630.1770.1421.3952.055.1950.2251.7560.784192600.4630.1770.142
1927000.22201.2691.86913.0430.0731.7810.7251927000.2220
192800000.1831.25211.11100.8970.37319280000
192900.300.4330.7520.8779.4340.2391.2940.687192900.300.433
19300000.4190.9222.9027.8130.1582.1311.02119300000.419
1931000.2811.0352.9599.2232.4680.4887.8453.8011931000.2811.035
193200.670.8710.8925.97313.78523.3920.77510.8115.417193200.670.8710.892
1933000.2651.811.11115.91625.6680.80115.3918.4031933000.2651.8
193400.5990.3470.8112.6324.30916.040.5735.9293.449193400.5990.3470.811
1935001.3331.8874.8264.17313.0721.2416.093.841935001.3331.887
193600.7840.5050.3411.2252.3587.930.462.7361.634193600.7840.5050.341
1937000.5391.0930.6492.6979.040.6532.5911.6551937000.5391.093
193800.8331.71.9720.9761.46812.7391.5542.5822.101193800.8331.71.972
19390000.9460.5881.8755.7140.3971.7391.19919390000.946
19400001.3160.411.09711.8230.5592.5851.84319400001.316
194100000.9320.7665.06301.6841.07219410000
1942000000.8181.9800.7430.4619420000
1943000001.345000.6090.36719430000
1944000000.5122.53200.670.39419440000
19450000003.22600.5170.28919450000
1946000000000019460000
19470000002.43900.310.15519470000
1948000000000019480000
194900001.3421.1117.40701.880.82619490000
1950000000000019500000
19510000004.65100.450.17919510000
1952000000000019520000
1953000000000019530000
19540000007.14300.4730.16419540000
1955000001.504000.5050.16319550000
1956000000000019560000
1957000001.29000.4570.14419570000
1958000000000019580000
1959000000000019590000
196000001.2310000.7390.24319600000
196100000.58108.69601.0730.35319610000
196200001.71.379001.4680.46319620000
196300001.1531.587001.1610.35119630000
1964000000000019640000
1965000000000019650000
1966000002.222000.4150.11919660000
1967000000000019670000
19680000005.40500.3850.10719680000
1969000000000019690000
19700000.5444.24619.71853.3330.2718.7412.63819700000.544
197100000.866014.28601.1430.28519710000
1972000007.4074001.9420.45519720000
19730000.45703.92244.4440.2311.2820.45419730000.457
19740000010.345001.3420.27519740000
197500001.0266.154001.7430.3619750000
1976000010000.8710.17519760000
19770000.2850.5223.39500.1091.3450.35119770000.285
197800001.0845.556001.790.35219780000
197900000.490000.4180.08719790000
1980000004.93833.33301.6130.34319800000
1981000004.598000.7030.16319810000
1982000.2540.3172.742.41250.2113.561.0341982000.2540.317
198300000.9116.3064003.8180.96219830000
19840000.3680.8336.7231000.0953.3240.92219840000.368
198500001.4048.219003.671.00519850000
19860001.3562.03511.73223.5290.3185.6441.90119860001.356
198700002.7186.2262004.2341.49919870000
198800001.2476.35928.57103.5981.35519880000
198900.59600.5982.9828.947250.2865.7972.336198900.59600.598
199000003.34416.20158.824010.0793.58819900000
19910000.2725.35214.56336.8420.06510.3953.22619910000.272
199200000.2999.03526.66704.8331.30619920000
199300000.5495.78528.57103.5090.9419930000
199400000.2363.8595.12801.9380.5619940000
199500000.6864.76712.38903.3191.02519950000
1996000001.43914.18401.670.51419960000
199700000.192.12414.86502.0570.65219970000
19980000.1170.6244.24615.2380.0373.4421.22719980000.117
19990000.1031.0065.98320.4380.0355.6962.15719990000.103
20000000.380.8875.475200.1326.1272.38520000000.38
2001000.1560.1891.5759.31934.2270.12710.5543.7832001000.1560.189
2002000.1561.2061.5335.06230.2160.4858.4263.0032002000.1561.206
200300000.9412.64821.83205.3141.70120030000
200400000.1880.77412.74702.3470.76320040000
20050000.17201.068.2710.0591.9240.64820050000.172
InvestmentSpeculative
19200.4393.01
19210.382.066
19220.5151.776
19230.2421.713
19240.1382.846
19250.3252.557
19260.2251.756
19270.0731.781
192800.897
19290.2391.294
19300.1582.131
19310.4887.845
19320.77510.811
19330.80115.391
19340.5735.929
19351.2416.09
19360.462.736
19370.6532.591
19381.5542.582
19390.3971.739
19400.5592.585
194101.684
194200.743
194300.609
194400.67
194500.517
194600
194700.31
194800
194901.88
195000
195100.45
195200
195300
195400.473
195500.505
195600
195700.457
195800
195900
196000.739
196101.073
196201.468
196301.161
196400
196500
196600.415
196700
196800.385
196900
19700.2718.741
197101.143
197201.942
19730.2311.282
197401.342
197501.743
197600.871
19770.1091.345
197801.79
197900.418
198001.613
198100.703
19820.2113.56
198303.818
19840.0953.324
198503.67
19860.3185.644
198704.234
198803.598
19890.2865.797
1990010.079
19910.06510.395
199204.833
199303.509
199401.938
199503.319
199601.67
199702.057
19980.0373.442
19990.0355.696
20000.1326.127
20010.12710.554
20020.4858.426
200305.314
200402.347
20050.0591.924
AaaAaABaaBaBCaa-CInvestmentSpeculative
1920-240.000.150.170.691.332.787.670.342.28
1925-290.000.150.110.261.061.7210.680.171.66
1930-340.000.250.350.994.729.2321.080.568.42
1935-390.000.320.821.251.652.519.700.863.15
1940-440.000.000.000.260.270.914.280.111.26
1945-490.000.000.000.000.270.222.610.000.54
1950-540.000.000.000.000.000.002.360.000.18
1955-590.000.000.000.000.000.560.000.000.19
1960-640.000.000.000.000.930.591.740.000.89
1965-690.000.000.000.000.000.441.080.000.16
1970-740.000.000.000.201.028.2830.410.102.89
1975-790.000.000.000.060.823.0210.000.021.23
1980-840.000.000.050.140.905.0039.670.062.60
1985-890.000.120.000.392.088.3019.420.124.59
1990-940.000.000.000.051.969.8931.210.016.15
1995-990.000.000.000.040.503.7115.420.013.24
2000-050.000.000.050.320.854.0621.220.135.78
2000-05
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Investment
Speculative
%
Default Rate since 1920 (%, MDY)
000.3340.962
00.1850.340.639
00.1890.171.108
0000.614
00.37100.118
000.1470.709
00.4630.1770.142
000.2220
0000
00.300.433
0000.419
000.2811.035
00.670.8710.892
000.2651.8
00.5990.3470.811
001.3331.887
00.7840.5050.341
000.5391.093
00.8331.71.972
0000.946
0001.316
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000.544
0000
0000
0000.457
0000
0000
0000
0000.285
0000
0000
0000
0000
000.2540.317
0000
0000.368
0000
0001.356
0000
0000
00.59600.598
0000
0000.272
0000
0000
0000
0000
0000
0000
0000.117
0000.103
0000.38
000.1560.189
000.1561.206
0000
0000
0000.172
Aaa
Aa
A
Baa
%
Investment Grade Default Rate sinde 1920 (%, MDY)
Sheet6
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
Ba
B
Caa-C
%
Speculative Grade Default Rate since 1920 (%, MDY)
000.334
00.1850.34
00.1890.17
000
00.3710
000.147
00.4630.177
000.222
000
00.30
000
000.281
00.670.871
000.265
00.5990.347
001.333
00.7840.505
000.539
00.8331.7
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000
000.254
000
000
000
000
000
000
00.5960
000
000
000
000
000
000
000
000
000
000
000
000.156
000.156
000
000
000
Aaa
Aa
A
%
Default Rate Aaa-A since 1920
Sheet4
Aaa
Aa
A
Baa
Ba
B
Caa-C
Sheet3
Investment
Speculative
Sheet1
Aaa
Aa
A
Baa
MDY
Ba
B
Caa-C
MDY
Ba
B
Caa-C
5 year default rate by Moodys(Speculative Grades)
Aaa
Aa
A
Baa
5 year default rate by Moodys (Investment Grades)
42 MDY1920-200520063
1970
12345678910number1234567891011121314151617181920
Aaa39000000000000000002.7032.7032.703
Aa7800000000000001.4391.4391.4392.9212.9212.9212.921
A2550000.410.410.8280.8280.8280.8280.8281.2811.2811.2811.2811.2811.2811.7761.7762.8522.852
Baa3700.5440.5440.5441.1241.421.421.7322.3783.0493.0493.4123.4124.5975.0095.4336.3177.7228.7419.86110.464
Ba2404.2465.1215.5766.057.0268.0438.5799.15210.37510.37510.37511.92714.4215.30715.30717.33521.68624.15324.15325.655
B3619.71819.71822.58622.58622.58622.58622.58622.58622.58622.58622.58622.58630.95530.95530.95530.95530.95530.95530.95530.955
Caa-C1553.333608088888888100
7420.2710.2710.2710.6960.840.9871.1361.441.7521.7522.0822.0822.6042.9613.1423.5154.4745.085.9376.16
2918.7419.81911.67912.45313.25514.09114.53115.46816.46216.46216.46217.70521.0121.71521.71523.31326.77928.74428.74429.952
1,03310332.6382.9363.4423.964.2774.6024.8245.2815.7545.7546.0096.2737.3647.7867.9318.5269.91810.74111.44411.813
1971
12345678910number1234567891011121314151617181920
Aaa3900000000000000002.7782.7782.7782.778
Aa7500000000000000000001.786
A283000.3630.3630.7330.7330.7330.7330.7331.131.131.5411.9551.9551.9552.3862.3863.3183.3183.318
Baa396000.5330.8050.8051.0961.72.332.332.672.673.7934.1834.5855.4226.7487.7048.7479.30310.477
Ba2330.8661.3151.7842.7494.2574.7885.3546.5646.5646.5648.07710.50711.37111.37113.3318.61521.04421.04422.5222.52
B2504.1674.1674.1674.1674.1674.1674.1674.1674.1674.16717.85717.85717.85717.85717.85717.85717.85717.85717.857
Caa-C714.28657.14374.28674.28674.28674.286100
793793000.3920.5250.6610.81.0831.3741.3741.6811.6812.3322.6652.8353.1833.94.4645.265.4696.117
2652651.1433.1163.9394.7916.1266.5957.5948.6568.6568.6569.9813.5114.26214.26215.9620.55222.64322.64323.93223.932
1,05810580.2850.771.2661.571.9862.22.6413.0973.0973.3423.5974.7825.195.3295.9037.2448.0358.7089.0639.617
1972
12345678910number1234567891011121314151617181920
Aaa400000000000000002.7032.7032.7032.7032.703
Aa780000000000000000001.6951.695
A30500.3350.3350.3350.3350.3350.3350.3350.3350.3350.7131.0941.0941.0941.491.492.352.352.8223.308
Baa42900.490.7390.9951.2621.8162.3952.3953.0293.0293.7264.0884.4615.2346.4547.3378.3029.3310.95813.234
Ba22800.4641.4192.9123.4373.9945.1755.1755.1756.6299.74110.56911.4514.23219.21821.47821.47822.8224.23631.664
B277.4077.4077.4077.4077.4077.4077.4077.4077.4077.40718.98118.98118.98118.98118.98118.98118.98118.98118.98118.981
Caa-C84057.14357.14357.14357.14378.57178.57178.57178.57178.57178.57178.571
85285200.3640.4870.6120.741.0031.2721.2721.5581.5582.0122.3222.4792.8023.4673.9924.7335.1226.1337.175
2632631.9422.7473.584.8865.3446.3137.3377.3377.3378.58912.59213.30314.06316.47320.80122.74422.74423.91525.16231.727
1,11511150.4550.9211.2061.5951.7952.2082.6342.6342.8643.1034.214.594.855.5196.7687.5038.138.6269.6611.44
1973
12345678910number1234567891011121314151617181920
Aaa40000000000000002.7032.7032.7032.7032.7032.703
Aa81000000000000000001.6131.6131.613
A3100000000000.3660.7370.7370.7371.1241.1241.9661.9662.4242.8973.401
Baa4430.4570.6891.1681.4161.9312.472.473.0593.0593.714.3865.0816.1647.3018.1229.0189.97612.0114.15614.156
Ba20601.0082.0612.6173.2064.4474.4474.4475.9519.93610.77410.77412.62317.61621.02521.02522.35323.75232.46634.036
B263.9223.9223.9223.9223.9223.9223.9223.9223.92215.93115.93115.93115.93115.93115.93115.93115.93115.93115.93115.931
Caa-C544.44444.44444.44444.44472.22272.22272.22272.22272.22272.22272.222
8748740.2310.3480.5860.7080.9571.2141.2141.4861.4861.9192.3622.6633.1263.7634.2654.9745.3466.5077.5077.72
2372371.2822.1653.0913.5794.6075.6885.6885.6886.99411.81612.54512.54514.1818.60321.621.622.78724.05331.97833.395
1,1111110.4540.7321.1111.3061.7072.1212.1212.3442.5753.7664.2574.5085.1566.3667.2217.8288.3079.47411.37111.738
1974
12345678910number1234567891011121314151617181920
Aaa4400000000000002.4392.4392.4392.4392.4392.4392.439
Aa88000000001.2741.2741.2741.2741.2741.2741.2741.2742.8162.8162.8162.816
A307000000000.3660.7370.7370.7371.1221.1221.9531.9532.4032.8663.3663.366
Baa43400.4770.7231.2351.7711.7712.3572.3573.0063.6784.3715.4545.8346.6587.5588.51610.0412.18212.18212.182
Ba19601.091.6682.2813.5753.5753.5754.3568.4619.3259.32511.20418.26721.69621.69623.05825.90834.71136.30338.123
B3010.34510.34510.34510.34510.34510.34510.34514.94324.66324.66324.66324.66324.66324.66324.66324.66324.66324.66324.66324.663
Caa-C200050505050505050
87387300.2350.3550.60.8520.8521.121.121.6892.1262.4232.8793.1933.6874.3844.7495.6986.6776.8866.886
2282281.3422.2822.7793.8274.934.934.936.2511.11111.84911.84913.49719.70722.69922.69923.90726.48734.5836.03437.674
1,10111010.2750.6510.8451.2421.6521.6521.8722.1013.3993.8844.1344.7745.976.8157.4147.8869.03510.90211.26411.461
1975
12345678910number1234567891011121314151617181920
Aaa510000000000002.0412.0412.0412.0412.0412.0412.0412.041
Aa10300000001.0471.0471.0471.0471.0471.0472.2542.2543.5073.5073.5073.5073.507
A319000000000.3570.3570.3570.730.731.5351.5351.9732.883.373.8983.898
Baa417000.2620.810.811.411.412.3963.0763.7744.8595.2396.0596.5087.4649.47611.58111.58111.58111.581
Ba2001.0262.1073.2493.853.853.854.5738.4059.2099.20910.97217.60120.81221.99423.26224.58531.37932.83934.45834.458
B336.1546.1546.1549.5669.5669.56613.58622.01622.01622.01622.01622.01622.01622.01622.01631.76443.13743.13743.13743.137
Caa-C20050505050505050
890890000.1180.3620.3620.6190.6191.1641.5811.8652.32.5983.0683.734.0755.1516.266.4576.6716.671
2352351.7432.6594.1055.1175.1175.1176.32910.8211.50111.50113.03418.80421.57222.58423.67425.98733.20834.49235.90135.901
1,12511250.360.5450.9251.3171.3171.5271.7442.9793.443.6774.2855.4186.2176.9247.3698.60210.51110.8511.21911.219
1976
12345678910number1234567891011121314151617181920
Aaa66000000000001.6671.6671.6671.6671.6671.6671.6671.6671.667
Aa1090000000.9850.9850.9850.9850.9850.9852.1372.1373.333.333.333.333.333.33
A36800000000.6150.6150.6151.2741.2742.3532.3532.7423.9573.9574.4344.4345.453
Baa37600.2810.5750.5750.8970.8972.33.0273.7734.9355.3416.2136.2137.2339.38411.06711.65411.65411.65411.654
Ba20512.0533.1573.1573.7724.4337.2447.9837.9839.59715.62418.53419.61320.76121.96229.45330.79732.26932.26932.269
B28003.9223.9223.9228.60818.48918.48918.48918.48918.48918.48918.48918.48931.02946.35646.35646.35646.35646.356
Caa-C2050505050505050
91991900.1120.2270.2270.3480.3480.9881.5121.7792.1912.6173.0653.6934.0215.0416.0936.286.4846.4846.93
2352350.8712.2453.6833.6834.2195.3669.0189.6659.66511.11616.5519.15820.12121.15123.32631.33732.57433.92333.92333.923
1,15411540.1750.5350.9060.9061.1041.3092.4713.0153.2393.8145.0125.7736.4456.8678.03710.00210.32410.67610.67611.06
1977
12345678910number1234567891011121314151617181920
Aaa6700000000001.6671.6671.6671.6671.6671.6671.6671.6671.6671.667
Aa116000000.9220.9220.9220.9220.9220.9222.0042.0043.1183.1183.1183.1183.1183.1183.118
A3870000000.5810.5810.5811.2041.2042.912.913.6484.8024.8025.2555.2556.2266.226
Baa3610.2850.5850.5850.5850.5852.0022.7373.494.6675.0795.965.966.9918.62210.3210.91410.91410.91410.91410.914
Ba1970.5221.6181.6182.2292.8865.666.3896.3897.98213.91916.77217.81918.92220.07227.28428.58230.01130.01130.01130.011
B303.396.9686.96811.19715.75125.96325.96325.96325.96325.96325.96325.96325.96339.42456.73156.73156.73156.73156.73156.731
Caa-C250505050505050
9319310.1090.2210.2210.2210.2210.8421.351.612.0112.4252.863.7764.0945.0856.1066.2886.4876.4876.9236.923
2292291.3452.7582.7583.8154.958.5719.2129.21210.64215.98818.54719.48320.47722.5730.31331.51532.83232.83232.83232.832
1,16011600.3510.7120.7120.9051.1052.2372.7662.9843.5464.7145.4546.3696.7797.9149.82210.13610.47910.47910.85510.855
1978
12345678910number1234567891011121314151617181920
Aaa720000000001.5151.5151.5153.0543.0543.0543.0543.0543.0543.0543.054
Aa12900000.830.830.830.830.830.831.7741.7741.7741.7741.7741.7741.7741.7741.7741.774
A378000000.5890.5890.5891.2211.2212.6252.6253.774.5674.5675.0355.0356.046.046.04
Baa34400001.3861.7462.4863.2573.6614.9545.4196.4127.98410.16910.74310.74310.74310.74310.74310.743
Ba1891.0841.0841.0841.7414.5295.9925.9929.17915.06516.94217.9819.08121.37728.57929.87832.7432.7432.7432.7432.74
B375.5565.55611.85215.17822.39722.39726.83226.83232.4638.638.638.647.37160.52860.52860.52860.52860.52860.52860.528
Caa-C300000000505050505050505050505050
92392300000.6060.9781.2321.4931.8982.4633.3563.6664.7935.795.9676.166.166.5856.5856.585
2292291.791.792.7973.8777.328.5369.18211.87318.32120.71221.58822.52225.48232.88134.03936.57636.57636.57636.57636.576
1,15211520.3520.3520.540.7341.8342.3492.6663.3214.6815.5186.4056.8028.17910.03410.33910.83910.83911.20311.20311.203
1979
12345678910number1234567891011121314151617181920
Aaa76000000001.4291.4291.4292.8782.8782.8782.8782.8782.8782.8782.8782.878
Aa1300000.8160.8160.8160.8160.8160.8161.7431.7431.7431.7431.7431.7431.7431.7431.7431.7431.743
A37400000.5810.5810.5811.2031.2032.5942.5943.3474.1324.1324.5974.5975.5855.5855.5855.585
Baa33800.3140.3141.6732.0262.3883.1423.1424.4084.8655.858.47310.65211.22111.22111.22111.22111.22111.22111.221
Ba2100.490.491.0513.4075.8769.14411.86618.31519.88620.74721.66324.54731.68432.77735.13635.13635.13635.13635.13635.136
B3406.4529.85317.21217.21221.68726.58238.32945.18145.18145.18156.14556.14556.145
Caa-C3000000050505050505050505050505050
91891800.1130.1130.7081.0731.1971.4521.7162.273.1463.4524.7195.75.8746.0646.0646.4826.4826.4826.482
2472470.4181.3072.2565.2557.36710.74513.69121.22423.29724.05224.8628.29534.81435.83238.04538.04538.04538.04538.04538.045
1,16511650.0870.3580.5441.6012.2933.0043.7385.2626.0676.927.3048.910.69410.98911.47211.47211.82511.82511.82511.825
1980
12345678910number1234567891011121314151617181920
Aaa8900000001.2421.2421.2422.5082.5082.5082.5082.5082.5082.5082.5082.5082.508
Aa12700000000.9171.8431.8431.8431.8431.8431.8431.8431.8431.8431.8431.8431.843
A383000.2730.830.830.831.7232.0363.0363.0363.7594.5134.5134.9564.9565.9045.9045.9045.9046.428
Baa337000.9981.3441.72.8092.8093.6364.5225.9338.43510.5111.59511.59511.59511.59511.59511.59511.59511.595
Ba20900.5313.8555.0148.69111.88317.9620.1782123.69426.5234.62836.86339.26839.26839.26839.26840.66440.66440.664
B414.9387.54315.82221.7328.11931.62544.05748.71948.71948.71960.11568.09268.09268.09268.09268.09268.09268.09268.09268.092
Caa-C633.33333.33333.33333.33333.33333.33355.55655.55655.55655.55655.55655.55655.55655.55655.55655.55655.55655.55655.55655.556
936936000.4580.8090.9291.2981.6782.3443.1853.6234.8355.7736.1076.2896.2896.6916.6916.6916.6916.915
2562561.6132.4726.5178.40612.42115.57722.89325.36126.04228.2613
