This article presents transition matrices and default rate analysis for listed US non-financial firms rated by RapidRatings between 1/1/2001 and 12/31/2024. We present 1 and 3-year perspectives and the default rates associated with each risk category within each time window.
The universe for the analysis includes all listed non-financial firms that have qualified for the Russell 3000 index at any time during the 24-year period. This includes more than 6,000 entities, 773 of which defaulted during the period, and for which we issued more than 300,000 ratings over time. ‘Default’ is defined as a missed principal or interest payment on a debt obligation or Chapter 11 filing in a US Bankruptcy Court.
Default Rates and Rating Transition Matrix
Within this section, RapidRatings employs a static pool methodology commonly used in credit rating analysis. This methodology establishes pools of rated entities as of the start of each calendar year where the start and end rating for that calendar year (or subsequent calendar years for a 3-year view) is included in the analysis.
Tables 1 to 4 present transition rates and default rates by rating category (20-point bands). Table 5 presents default rates each year by rating deciles (10-point bands).
