Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework

Table 1

Term structures of CDS WDCs for selected rating categories.

Credit Rating Grade	Number of entities in the sample	Maturity; (years)
		1	3	5	7	10
BBB+	76	11.0%	12.0%	10.9%	10.9%	10.9%
BBB	86	20.7%	18.0%	16.1%	15.0%	14.7%
BBB-	54	24.0%	23.8%	20.9%	19.2%	17.9%
BB+	38	20.2%	27.9%	25.3%	23.3%	21.0%
BB	17	34.3%	35.2%	28.7%	24.9%	23.1%
BB-	20	53.3%	53.0%	43.1%	38.7%	34.8%
below BB-	16	57.0%	56.6%	46.1%	41.3%	37.2%