CRISL Default Study

Calculation of Weighted Average MDR (wMDR) for 2010, 2011, 2012

  wMDR for year 1 wMDR for Year 2 wMDR for Year 3
AAA 0.00% 0.00% 0.00%
AA 0.00% 0.00% 0.00%
A 0.23% 0.48% 0.00%
BBB 0.93% 1.43% 0.00%
Investment Grade (AAA-BBB) 0.52% 0.84% 0.00%
BB 0.00% 0.00% 0.00%
B 0.00% 14.29% 0.00%
CCC 0.00% 0.00% 0.00%
CC 0.00% 0.00% 0.00%
C 50.00% 50.00% 0.00%

 

Calculation of 3-years Cumulative Default Rate (CDR3) for 2010, 2011, 2012

  CDR3
AAA 0.00%
AA 0.00%
A 0.71%
BBB 2.34%
Investment Grade (AAA-BBB) 1.35%
BB 0.00%
B 14.29%
CCC 0.00%
CC 0.00%
C 75.00%