Investor Presentaiton
What does "Significant” mean?
Type of
product
Interpreting << significant » depends on several factors
Original credit risk at
origination
A given PD variation in absolute
terms is more significant for assets
with better quality at inception
Expected
maturity
The probability of default
increases with maturity
Qualitative
indicators
Which can then be
translated into PD levels
60
Corporate- PD (%)
PD - Corporates
50
S&P rating
1 Y
5 Y
10 Y
AAA
0.00
0.36
40
0.76
40
AA
0.02
0.39
1.03
30
30
A
0.07
0.59
1.71
BBB
0.20
1.73
3.93
20
20
BB
0.71
8.05
14.04
10
B
5.10
22.04
28.87
0
CCC/C
26.85
46.74
51.13
AAA
AA
A
BBB
BB
B
CCC/C
1 Year
Note: Standard and Poor's Global Corporate Average Cumulative Default Rates by Rating Modifier (1981 - 2012)
5 Year
- 10 YearView entire presentation