*NUS-CRI 2020 & 2007 industry classification are based on the Bloomberg Industry Classification Standard (BICS).
PD – Term Structure
PD – Historical Time Series
Forecast Horizon:AS – Term Structure
Recovery Rate:AS – Historical Time Series
Contract Term: Recovery Rate:- The PDs and Actuarial Spreads of each company/economy are computed using model parameters that were
calibrated
- on 2025-09-03.
- using data that was available on 2025-08-29.
- The aggregate PD and Actuarial Spread displayed are calculated using the simple median of the individual measures in each group. The aggregate PD and Actuarial Spread using mean values are accessible through the data download section.
- The regions are regrouped on 2017-12-18 as: Asia Pacific (Developed), Asia Pacific (Emerging), North America, Europe (including 2 subgroups: Eurozone and Non-Eurozone), Latin America & Caribbean (including 2 subgroups: Latin America and Caribbean), Sub-Saharan Africa, and Middle East, North Africa & Central Asia (including 3 subgroups: Middle East, North Africa and Central Asia).
Recently Viewed
- Login to view
Related Documentation
About PD & AS
The CRI Probability of Default (PD) is the likelihood that an obligor is unable to honor its financial obligations. It is computed from the CRI's forward intensity model with 16 common and firm-specific risk factors in general. It has prediction horizons, or "term structures", ranging from 1 month to 60 months (Please see technical report or white paper for an in-depth explanation).
The CRI Actuarial Spread (AS) is the annualized premium that is needed to compensate the counterparty for the default risk, on an actuarial basis, of the reference company. It is equivalent to the physical CDS par spread. It has contract terms from 1 year to 5 years (Please see technical report or white paper for an in-depth explanation).
The PD and AS are available for over 85000 publicly listed firms around the world. For the current actively traded firms, their values are updated daily.