Finding Historical Corporate Cumulative Default Rate Tables

Summary

The document answers a data-source question about Moody’s average corporate cumulative default rates. It distinguishes annual default studies from a publication series that reports average historical rates across cumulative time horizons. The cited source is Moody’s Semi-Annual Performance Statistics, which provides breakdowns by letter rating and geographical region, along with structured-finance impairment statistics.

The answer identifies a 2018 first-half cross-sector update and says it reports corporate cumulative default rates for three historical windows spanning 1983–2018, 2008–2018, and 2013–2018. This makes the publication useful for locating historical credit-risk reference data by rating and region. The response reflects what the contributor could locate at the time; it does not establish that this remains the latest edition, provide the tables themselves, or explain how to estimate or apply default rates in a trading or credit model.

Key ideas

• Moody’s Semi-Annual Performance Statistics is identified as a source for average historical cumulative default rates.
• The publication breaks results down by letter rating and geographical region.
• The cited 2018 first-half update covers several historical observation windows.
• The answer is a dated source pointer and does not confirm the current latest edition.

Tags

# Where can I find recent tables with the average cumulative default rates?


# Where can I find recent tables with the average cumulative default rates?












I'm mostly interested in Moody's average corporate cumulative default rates, possibly in 2020 or the latest version. I tried to take a look at Moody's website but I am still in trouble. The latest version I've found is from 15 years ago.

## Answer by alexbougias (score 1)

https://quant.stackexchange.com/a/61747

I also had this problem, because the available annual default studies did not have these information (to the best of my knowledge). Cumulative default rates can be found in the series Semi-Annual Performance Statistics, which is a short publication with the average historical corporate default rates and structured finance impairment rates for various time horizons. There is a breakdown by letter rating and geographical region. The latest version that I managed to find is the following:

Moody’s Investors Service (2018) Cross-sector: Semi-annual performance statistics update: 2018 H1

This report includes cumulative default rates for the periods 1983-2018, 2008-2018 and 2013-2018.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.