Research Article
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% |
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