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Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Annual Default Rates by Debt Rating Rating: Default Rate: Average AA A BBB BB B CCC CC-C 0.0% 0.1% 0.2% 0.5% 3.0% 2.2% 5.5% 12.2% 14.1% 8.0% 16.0% 48.0% 79.0% In Recessions 0.0% 1.0% 3.0% Source: "Corporate Defaults and Recovery Rates, 19202011," Moody's Global Credit Policy, February 2012. (Click on the following icon in order to copy its contents into a spreadsheet.) Average Debt Betas by Rating and Maturity By Rating Average Beta A and above <0.05 BBB BB B CCC 0.10 0.17 0.26 0.31 By Maturity Average Beta (BBB and above) 1-5 Year 0.01 5-10 Year 0.06 10-15 Year 0.07 > 15 Year 0.14 Source: S. Schaefer and I. Strebulaev, "Risk in Capital Structure Arbitrage," Stanford GSB working paper, 2009. Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Annual Default Rates by Debt Rating Rating: Default Rate: Average AA A BBB BB B CCC CC-C 0.0% 0.1% 0.2% 0.5% 3.0% 2.2% 5.5% 12.2% 14.1% 8.0% 16.0% 48.0% 79.0% In Recessions 0.0% 1.0% 3.0% Source: "Corporate Defaults and Recovery Rates, 19202011," Moody's Global Credit Policy, February 2012. (Click on the following icon in order to copy its contents into a spreadsheet.) Average Debt Betas by Rating and Maturity By Rating Average Beta A and above <0.05 BBB BB B CCC 0.10 0.17 0.26 0.31 By Maturity Average Beta (BBB and above) 1-5 Year 0.01 5-10 Year 0.06 10-15 Year 0.07 > 15 Year 0.14 Source: S. Schaefer and I. Strebulaev, "Risk in Capital Structure Arbitrage," Stanford GSB working paper, 2009.
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