pefindo default study

2012 Corporate Default and Rating Transition Study

1

PEFINDO’S CORPORATE DEFAULT AND RATING TRANSITION STUDY

(1996 – 2012)

Prepared by:

Severino Budipratama Danan Dito

PT. PEMERINGKAT EFEK INDONESIA

Panin Tower Senayan City 17th Floor Jl. Asia Afrika Lot 19

Jakarta 10270, INDONESIA Phone: (6221) 7278 2380 Fax: (6221) 7278 2370

http://www.pefindo.com

http://www.pefindo.com/


2

INTRODUCTION

PEFINDO publishes annual “corporate default and rating transition study” to provide information on the

consistency of PEFINDO’s rating result with the default rate, which is often used as a proxy for probability of default. As part of our commitment to support the development of Indonesian fixed income securities,

we have made effort to expose our rating performance through this publication.

PT Pemeringkat Efek Indonesia (PEFINDO) was established in December 1993 in the form of a limited liability company as the first credit rating agency in Indonesia with the license from Bapepam No. 39/PM-

PI/1994 issued on August 13, 1994. The establishment was under the initiatives of the Indonesian

Capital Market Supervisory Agency (Badan Pengawas Pasar Modal/BAPEPAM) and Central Bank (Bank Indonesia). The company is set to provide corporate, long-term and short-term debt ratings to support

the Indonesian capital market, as required by Bapepam through its regulation that requires listed debts/bonds to have ratings from an independent credit rating agency such as PEFINDO. Central bank

also has a regulation that requires all commercial papers held or traded by banks to have ratings.

PEFINDO started to commercially operate in late 1994, and as to date it is recognized as the leading credit rating agency in Indonesia.

We had assigned as well as monitored the solicited ratings of 434 eligible entities throughout the period

of 1995 to 2012, encountering defaults from 95 entities. Most defaulters occurred in 1998 to 1999, and decreased in line with the recovery of the country’s economy. The recent 2008 global financial crisis has

not made significant impact on Indonesian companies on our portfolio, reflected on very few defaults

years after 2008.

Overall, the results and statistics of PEFINDO’s default studies had followed the premise that ratings have negatively correlated with the default probabilities, in other words, the higher the rating, the lower the

likelihood of default and vice versa. Meanwhile, average default rate has been stable during the years

under review resulting from relative small number of defaulters, while at the same time the number of rating population grew.

DATA & POPULATION

The ratings data used in the study refer to issuer or corporate ratings (Corporate Credit Rating/CCR), not to issue or instrument ratings, and as a result, the defaults were counted in units, not in currency or

rupiah value. Accordingly, when issuer rating and issue rating is different, then we use the Corporate Credit Ratings (CCR). In this study, we reviewed the performance of only solicited ratings outstanding

from December 31, 1995 to December 31, 2012 (both published and unpublished ratings). It also now

enhanced the population with Residential Mortgage Backed Securities entity (KIK-EBA) ratings as well as insurer financial strength rating from insurance companies as it becomes more populated in our client

portfolio. Industry wise, there would be sectors that show more frequent defaults than others (Figure 1), for

instance, Property & Banking Industry represents the highest probability of defaulting. Some refinement on the sectors or industry classification was applied to the population, hence they slightly differ from the

previous study. We also regroup some of the industries so they show better differentiation among the

subsectors, as tabulated in Appendix 2 on the last pages.

The default data count is conditional on no earlier default. Meaning, in this study, a rated entity in the population can have only one default event through the years of observation. So, whenever we find

multiple defaulter cases from identical entity, some omission or inclusion will be applied, depending on

the nature of the default. After the first default, notably, an entity could stay in default status in the subsequent years, fade away, or be rerated to non-default rating category. When the entity stays in its

default status, then it would be omitted from the next year default calculation, until the default status was removed (upgraded) to other rating category. When the rerated entity migrates to a non-default

status (rated other than ‘idD’ or ‘idSD’), it will be recognized as a new entity, and the counting continues.

This procedure aims to avoid double counting of defaults from the rating level the entity was initially originated.


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Figure 1. Default Statistics Among Entities Under Similar Industry (1996 - 2012)

No % Defaulters of Total

Eligible Population Defaulter

Count Industry

Count Industry Description

1 3.91% 17 42 Property

2 2.30% 10 56 Banking

3 1.61% 7 42 Finance Company

4 1.61% 7 9 Holding Investment

5 1.61% 7 9 Pulp & Paper

6 1.61% 7 12 Textile

7 0.92% 4 10 Building Materials

8 0.92% 4 10 Other Manufacturing

9 0.92% 4 8 Toll Road

10 0.69% 3 8 Timber & Wood Based

11 0.46% 2 11 Automotive

12 0.46% 2 11 Chemical

13 0.46% 2 3 Fisheries

14 0.46% 2 6 Plastic & Packaging

15 0.46% 2 14 Telecommunication

16 0.46% 2 5 Transportation

17 0.23% 1 7 Poultry

18 0.23% 1 4 Coal Mining

19 0.23% 1 14 Construction

20 0.23% 1 2 Footwear

21 0.23% 1 4 Hotel & Tourism

22 0.23% 1 2 Heavy equipment & Machinery

23 0.23% 1 8 Media

24 0.23% 1 20 Plantation

25 0.23% 1 5 Retail

26 0.23% 1 8 Securities

27 0.23% 1 5 Shipping

28 0.23% 1 1 Sea Port

29 0.23% 1 4 Trading & Distribution

30 0.00% 0 5 Asset Backed Securities Entity

31 0.00% 0 1 Cosmetics

32 0.00% 0 2 Fertilizer

33 0.00% 0 9 Food & Beverage

34 0.00% 0 1 FX Money Changer

35 0.00% 0 1 Gas Distribution & Transmission

36 0.00% 0 1 Geothermal

37 0.00% 0 1 Gold Mining

38 0.00% 0 3 Household Appliance

39 0.00% 0 1 Healthcare

40 0.00% 0 25 Insurance

41 0.00% 0 5 IT Equipment

42 0.00% 0 2 Municipal-City

43 0.00% 0 3 Mining Contractor

44 0.00% 0 1 Nickel Mining

45 0.00% 0 5 Oil & Gas Mining

46 0.00% 0 3 Pharmaceutical

47 0.00% 0 5 Power & Electricity

48 0.00% 0 1 Municipal-Province

49 0.00% 0 2 Automotive Rental

50 0.00% 0 4 Tobacco

51 0.00% 0 4 Tourism & Travel

52 0.00% 0 1 Venture Capital

53 0.00% 0 9 Water

21.84% 95 435


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DEFINITION & METHODOLOGY

Definition A default is defined as a failure of a company to provide payments to meet its financial obligations, in part or a whole, in a timely manner. PEFINDO records a default in its first occurrence of a missed

payment of a financial obligation, for both rated and un-rated debts. The definition excludes financial obligations under bona fide commercial dispute. If on the due date, a company misses its payment,

either in the form of interest or principal, but makes the payment within its grace period, PEFINDO

regards the incident to be a non-default. A selective default (“SD”) is also classified as a default.

Methodology The calculation begins with the formation of static pools. Each static pool is formed on the first day of each year covered by this study and followed from that point forward. All companies included in the

study are assigned to one or more static pools. In case of default of a company, the default is assigned

to the static pools the company belongs to. The pools are static in the sense that their membership remains constant over time. Thus, each static pool for a particular year has permanent members of

issuers.

For instance, the static pool of 1996 consists of all companies rated as of Jan 1, 1996 at 00:00 hours, including the surviving ratings in 1995 that are still outstanding as of Jan. 1, 1996. Any new ratings in

1996 after Jan 1, 1996, will be included in the next year static pool (1997). Public information (“pi”)

ratings are excluded from this study. Ratings that have defaulted as well as those have been withdrawn (Not Rated or “NR”) are taken out from the subsequent static pools. Once defaulted, an entity may not

enter into the static pools under the same identity, but must be given a new name or code.

Consider the following example: A company was rated as “BBB” in mid-1995, then had its rating lowered

to “BB” in 1996 and maintained at “BB” in 1997. The rating is expired (withdrawn) in mid-1998, and then defaulted in 1999. The company would belong to 1996 static pool in “BBB” category, and static pools of

1997 and 1998 in the “BB” category. It would not be a member of 1999 static pool since it was not rated on Jan 1, 1999. As such, the default in 1999 would be assigned to all three static pools the company

belongs to. In the case that the same company were to be rated in 2001 (after having gone through a

restructuring process), the company would be regarded as a different entity than the one previously defaulted. In other words, an entity may not default more than once during its life time.

A rating is expired or withdrawn when the entity’s debt or obligation is paid off or extinguished. A rating

could also be withdrawn at the entity’s request, or due to lack of cooperation of the entity, especially those who are experiencing financial difficulties, to provide all the necessary information for PEFINDO to

keep servicing the rating.


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Figure 2. First Time Defaulters By Year of Occurrence (1997 – 2012)

Source: PEFINDO’s database

From the table, we can see that since the large numbers of defaulters due to the Asian crisis in 1998, the

number of defaulters has constantly declined. There have been only four default incidents in the last

seven years (since 2006). Those companies defaulted are PT Mobile-8 Telecom Tbk. (FREN), a telecommunication company who defaulted in 2008 due to very aggressive financial leverage and large

amount of USD-denominated debt. In 2009, two companies defaulted: PT. Arpeni Pratama Ocean Line (APOL), a shipping company, due to lower tariff and low vessel employment, and PT. Pabrik Kertas Tjiwi

Kimia Tbk, a pulp and paper company, due to legal dispute with one of its creditors. The latest is PT

Berlian Laju Tanker Tbk (BLTA), another shipping company who defaulted in 2012, due to aggressive financial leverage and weak liquidity position.

Most defaulters are one time defaulters; however, actually some entities had encountered multiple

defaults. How do we treat those issues? When the company in default came back to bere-rated) with a non-default rating, a new code was created to form new initial year pool.

On the other case, if a company remains in default status and then makes another non-payment (second

default), the second default would not have counted. For instance, a company that defaulted in 2009 and remained in default status throughout 2010, would only count as one default event (2009). The company

will get an “idD” rating status for both years, but in this default study, we only recognize the first default occurrence, which happened in 2009. Let’s move to real-case example:

The "idSD" rating of APOL in 2009 reflects its missed coupon payment of USD6.16 million on November 3, 2009 on its guaranteed secured notes with maturity date in 2013. In 2010, PEFINDO still maintained

“idSD” rating on APOL to reflect the continued suspension of principal installment to several creditors and unsettled debt restructuring process. In 2011, APOL missed another payment on the SBJM Syariah Ijarah

(MTN series B) issued on Year 2008 amounting IDR 150 Billion which was due in June 30, 2011.

Therefore the inclusion & omission are as follows: >> Actual Default Year for APOL = 2009, 2010, 2011

>> Year Recognized as Default for APOL in this report = 2009 >> Default Year Omitted = 2010, 2011 (due to continuous default from the previous year)


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Transition analysis

Once we have formed the static pool, we could also conduct a transition analysis to measure the stability of our ratings, by observing the rating migration for a certain time period. The analysis also indicates the

probability of a certain rating being upgraded or downgraded to another rating category during a period of time. This is done by comparing the ratings at the beginning of a time period with the ratings at the

subsequent period. In this study, we only observe one-year transition rate. To compute one-year rating

transition rates by rating category, the rating of a particular entity in each particular year is compared to the rating at the following year. In this calculation, multiple defaults from the same entity may also be

included. Each one-year transition matrix displays all eligible rating movements from the beginning of the year through year-end. An eligible issuer that remains populated for more than one year is counted as

many times as the number of years it is rated (outstanding).

The results of transition analysis are summarized in Figure 7. As illustrated, for each rating category

listed in the matrix's left-most column, there are ten pairings listed in rows. The second left-most column under ∑ Rtg [#] heading shows the number of population for each rating transition. The remaining

columns correspond to the ratings from 'idAAA' to 'idD,' plus an entry for NR (Not Rated).

For example, let’s look at the third row. It shows that for ('idA') rated companies at the beginning of a

year, 83.62% of the rated entities maintain the rating at 'idA' in the subsequent year, while 9.05% had been upgraded to 'idAA,' and another 1.94% downgraded to 'idBBB,' whereas 0.65% had been

downgraded to 'idBB,' and so on. The last column under ‘NR’ headings indicates percentage number of companies which are not rated (NR) in the subsequent year.

Figure 7: One Year Rating Transition Rate (1996-2012)

Rating [From/To]

∑ Rtg [#]

idAAA idAA idA idBBB idBB idB idCCC idD NR

idAAA 35 94.29% 2.86% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.86%

idAA 167 3.59% 89.22% 4.19% 0.00% 1.20% 0.00% 0.00% 0.60% 1.20%

idA 464 0.22% 9.05% 83.62% 1.94% 0.65% 0.00% 0.00% 3.02% 1.51%

idBBB 355 0.00% 0.85% 17.18% 64.51% 4.23% 1.41% 1.69% 7.04% 3.10%

idBB 67 0.00% 0.00% 1.49% 20.90% 20.90% 5.97% 4.48% 29.85% 16.42%

idB 24 0.00% 0.00% 0.00% 12.50% 12.50% 33.33% 4.17% 29.17% 8.33%

idCCC 18 0.00% 5.56% 16.67% 50.00% 5.56% 11.11% 5.56% 0.00% 5.56%


The figures above show that there is more consistency of the investment-grade ratings in comparison to

the speculative-grade ratings. For instance, the idAA rating has 89.22% chance to remain in the same rating; on the other hand, idBB rating has only 20.90% chance to remain at idBB. It is also important to

note that number of population plays a part to the calculation of the transition rate. One of the reasons

that the transition rates of the lower-grade ratings are much lower than higher rated companies is that because the population of such lower rating companies is much smaller than the higher-rating

companies. It is quitenormalas companies with weak business profiles and weak financials, thus would be rated into the lower ratings, tend to be reluctant to be rated in the first place.

Overall Results of 2012 Default Study

AAA rated issuers, as expected, have been performing very well so far, without any record of default

since the beginning year we rated those entities (Appendix 1). However, in general, default rates do not provide prediction of the current ratings’ prescriptive debt repayment failure probability. Default rates

represent the past performance of past ratings, whereas current ratings are PEFINDO's forward-looking opinions, which can only be validated by future performance of the ratings. Figure 8 and Figure 9 shows

the default intensity for entities starting with a particular credit rating. For instance, issuers with credit

rating of idBBB have an average default rate of 5.26% by the end of the first year (Y1), 11.47% by the end of the second year (Y2), and so on.


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Figure 8. Cumulative Average Default Rates (1996 – 2012)

Rating

Time Horizon To Default [Years]

Population [#]

Y1 [%]

Y2 [%]

Y3 [%]

Y4 [%]

Y5 [%]

Y6 [%]

Y7 [%]

Y8 [%]

Y9 [%]

Y10 [%]

Y11 [%]

idAAA 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

idAA 74 0.46 0.46 0.46 0.46 1.57 1.57 1.57 1.57 1.57 1.57 1.57

idA 396 2.46 5.99 7.53 8.98 9.51 10.09 10.44 10.87 11.40 12.08 12.98

idBBB 696 5.26 11.47 14.03 15.74 16.26 17.10 17.10 17.10 17.48 17.48 17.48

idBB 148 17.24 26.81 34.84 36.64 36.64 37.57 37.57 37.57 37.57 37.57 37.57

idB 17 26.92 38.92 42.92 42.92 42.92 42.92 42.92 42.92 42.92 42.92 42.92

idCCC 3 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33


Figure 9. Chart On Cumulative Average Default Rates 1996-2012 [%]



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APPENDIX 1a. Survival Pool Cumulative Average Default Rate For idAAA Rating (1996-2012) Time horizon (years)

Year Pool Issuers [#]

Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 Y9 Y10 Y11 Y12 Y13 Y14 Y15 Y16 Y17

1996 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

1997 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -

1998 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - -

1999 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - - - -

2001 1 0 0 0 0 0 0 0 0 0 0 0 0 - - - - -

2002 1 0 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 2 0 0 0 0 0 0 0 0 0 0 - - - - - - -

2004 3 0 0 0 0 0 0 0 0 0 - - - - - - - -

2005 2 0 0 0 0 0 0 0 0 - - - - - - - - -

2006 1 0 0 0 0 0 0 0 - - - - - - - - - -

2007 1 0 0 0 0 0 0 - - - - - - - - - - -

2008 1 0 0 0 0 0 - - - - - - - - - - - -

2009 3 0 0 0 0 - - - - - - - - - - - - -

2010 6 0 0 0 - - - - - - - - - - - - - -

2011 5 0 0 - - - - - - - - - - - - - - -

2012 10 0 - - - - - - - - - - - - - - - -

Summary - Survival Pool

A Total Default [#] 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

G Total Issuers [#] 36 26 21 15 12 11 10 9 7 4 2 1 0 0 0 0 0

B Surviving Issuers [#] 36 36 36 36 36 36 36 36 36 36 36 36 36 36 36 36 36

C Conditional Marginal

Average Default Rate [%]

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

D Marginal Survival Rate [%] 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

E Cumulative Marginal

Survival Rate [%]

100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

F Cumulative Average Default

Rate [%]

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Notes: A = Total Default [#] B = Surviving Issuers (Cumulative Issuers; excluded issuers who were previously defaulted) [#] C = Conditional Marginal Average Default Rate [%] = Total Default / Surviving Issuers = A/B D = Marginal Survival Rate [%] = (100% - C) E = Cumulative Marginal Survival Rate [%] = (100% – F) F = Cumulative Average Default Rate [%] = (100% – E) G = Total Issuers [#]


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APPENDIX 1b. Survival Pool Cumulative Average Default Rate For idAA Rating (1996-2012)


Time horizon (years)

Year Pool Issuers [#]


1996 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

1997 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -

1998 6 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - -

1999 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 1 0 0 0 0 0 0 0 0 0 0 0 0 0 - - - -

2001 3 0 0 0 0 0 0 0 0 0 0 0 0 - - - - -

2002 4 0 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 8 0 0 0 0 0 0 0 0 0 0 - - - - - - -

2004 6 0 0 0 0 0 0 0 0 0 - - - - - - - -

2005 7 0 0 0 0 0 0 0 0 - - - - - - - - -

2006 7 0 0 0 0 0 0 0 - - - - - - - - - -

2007 9 0 0 0 0 0 0 - - - - - - - - - - -

2008 14 0 0 0 0 1 - - - - - - - - - - - -

2009 22 0 0 0 0 - - - - - - - - - - - - -

2010 25 0 0 0 - - - - - - - - - - - - - -

2011 26 0 0 - - - - - - - - - - - - - - -

2012 36 0 - - - - - - - - - - - - - - - -


A Total Default [#] 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0

G Total Issuers [#] 177 141 115 90 68 54 45 38 31 25 17 13 10 9 9 0 0


C Conditional Marginal

Average Default Rate [%]

0.56 0.00 0.00 0.00 0.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

99.44 99.44 99.44 99.44 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87 98.87


Rate [%]

0.56 0.56 0.56 0.56 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13


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APPENDIX 1c. Survival Pool Cumulative Average Default Rate For idA Rating (1996-2012) Time horizon (years)

Year Pool Issuers

[#]


1996 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

1997 12 0 5 1 0 1 0 0 0 0 0 0 0 0 0 0 0 -

1998 16 5 3 0 4 0 0 0 0 0 0 0 0 0 0 0 - -

1999 5 1 0 2 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 12 0 4 2 0 0 0 0 0 0 0 0 0 0 - - - -

2001 24 3 4 0 0 0 0 0 0 0 0 1 0 - - - - -

2002 19 3 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 19 0 0 0 0 0 0 0 0 0 1 - - - - - - -

2004 38 0 0 0 0 0 1 0 0 1 - - - - - - - -

2005 39 0 0 0 0 1 0 0 1 - - - - - - - - -

2006 50 0 0 0 1 0 0 1 - - - - - - - - - -

2007 49 0 0 1 0 0 1 - - - - - - - - - - -

2008 55 0 1 0 0 0 - - - - - - - - - - - -

2009 36 1 0 0 1 - - - - - - - - - - - - -

2010 37 0 0 1 - - - - - - - - - - - - - -

2011 42 0 1 - - - - - - - - - - - - - - -

2012 53 1 - - - - - - - - - - - - - - - -


A Total Default [#] 14 18 7 6 2 2 1 1 1 1 1 0 0 0 0 0 0

G Total Issuers [#] 509 456 414 377 341 286 237 187 148 110 91 72 48 36 31 15 3


C Conditional Marginal Average Default Rate [%]

2.75 3.63 1.46 1.27 0.43 0.43 0.22 0.22 0.22 0.22 0.22 0.00 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

97.25 93.72 92.35 91.18 90.79 90.40 90.21 90.01 89.82 89.62 89.43 89.43 89.43 89.43 89.43 89.43 89.43


Rate [%]

2.75 6.28 7.65 8.82 9.21 9.60 9.79 9.99 10.18 10.38 10.57 10.57 10.57 10.57 10.57 10.57 10.57



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APPENDIX 1d. Survival Pool Cumulative Average Default Rate For idBBB Rating (1996-2012) Time horizon (years)

Year Pool Issuers

[#]


1996 8 0 0 1 4 0 2 0 0 0 0 0 0 0 0 0 0 0

1997 53 4 15 6 1 1 1 0 0 0 0 0 1 0 0 0 0 -

1998 40 12 9 2 2 1 0 0 0 0 0 0 0 0 0 0 - -

1999 7 2 0 0 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 6 0 1 0 0 0 0 0 0 0 0 0 0 0 - - - -

2001 20 4 1 0 0 0 0 0 0 1 0 0 0 - - - - -

2002 16 1 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 24 0 0 1 0 0 0 0 0 0 0 - - - - - - -

2004 50 0 1 0 0 0 0 0 0 0 - - - - - - - -

2005 42 0 0 0 0 0 0 0 0 - - - - - - - - -

2006 30 0 0 0 0 0 0 0 - - - - - - - - - -

2007 29 0 0 1 0 0 0 - - - - - - - - - - -

2008 33 1 1 0 0 0 - - - - - - - - - - - -

2009 21 1 0 0 0 - - - - - - - - - - - - -

2010 31 0 0 0 - - - - - - - - - - - - - -

2011 20 0 0 - - - - - - - - - - - - - - -

2012 21 0 - - - - - - - - - - - - - - - -


A Total Default [#] 25 28 11 7 2 3 0 0 1 0 0 1 0 0 0 0 0

G Total Issuers [#] 451 430 410 379 358 325 296 266 224 174 150 134 114 108 101 61 8



5.54 6.57 2.76 1.81 0.53 0.79 0.00 0.00 0.27 0.00 0.00 0.27 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

94.46 88.25 85.81 84.26 83.81 83.15 83.15 83.15 82.93 82.93 82.93 82.71 82.71 82.71 82.71 82.71 82.71


Rate [%]

5.54 11.75 14.19 15.74 16.19 16.85 16.85 16.85 17.07 17.07 17.07 17.29 17.29 17.29 17.29 17.29 17.29



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APPENDIX 1e. Survival Pool Cumulative Average Default Rate For idBB Rating (1996-2012) Time horizon (years)

Year Pool Issuers

[#]


1996 4 0 0 3 0 0 1 0 0 0 0 0 0 0 0 0 0 0

1997 24 4 4 2 1 0 0 0 0 0 0 0 0 0 0 0 0 -

1998 18 7 2 1 0 0 0 0 0 0 0 0 0 0 0 0 - -

1999 11 2 2 2 1 0 0 0 0 0 0 0 0 0 0 - - -

2000 6 2 1 1 0 0 0 0 0 0 0 0 0 0 - - - -

2001 7 3 1 0 0 0 0 0 0 0 0 0 0 - - - - -

2002 2 0 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 3 0 0 0 0 0 0 0 0 0 0 - - - - - - -

2004 14 1 1 0 0 0 0 0 0 0 - - - - - - - -

2005 8 1 0 0 0 0 0 0 0 - - - - - - - - -

2006 4 0 0 0 0 0 0 0 - - - - - - - - - -

2007 2 0 0 0 0 0 0 - - - - - - - - - - -

2008 5 0 0 0 0 0 - - - - - - - - - - - -

2009 0 0 0 0 0 - - - - - - - - - - - - -

2010 3 0 0 0 - - - - - - - - - - - - - -

2011 1 0 0 - - - - - - - - - - - - - - -

2012 3 0 - - - - - - - - - - - - - - - -


A Total Default [#] 20 11 9 2 0 1 0 0 0 0 0 0 0 0 0 0 0

G Total Issuers [#] 115 112 111 108 108 103 101 97 89 75 72 70 63 57 46 28 4



17.39 11.58 10.71 2.67 0.00 1.37 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

82.61 73.04 65.22 63.48 63.48 62.61 62.61 62.61 62.61 62.61 62.61 62.61 62.61 62.61 62.61 62.61 62.61


Rate [%]

17.39 26.96 34.78 36.52 36.52 37.39 37.39 37.39 37.39 37.39 37.39 37.39 37.39 37.39 37.39 37.39 37.39



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APPENDIX 1f. Survival Pool Cumulative Average Default Rate For idB Rating (1996-2012) Time horizon (years)

Year Pool Issuers

[#]


1996 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

1997 3 2 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -

1998 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - -

1999 3 3 0 0 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 6 0 1 1 0 0 0 0 0 0 0 0 0 0 - - - -

2001 3 0 0 0 0 0 0 0 0 0 0 0 0 - - - - -

2002 4 0 1 0 0 0 0 0 0 0 0 0 - - - - - -

2003 2 1 0 0 0 0 0 0 0 0 0 - - - - - - -

2004 1 0 0 0 0 0 0 0 0 0 - - - - - - - -

2005 1 0 0 0 0 0 0 0 0 - - - - - - - - -

2006 0 0 0 0 0 0 0 0 - - - - - - - - - -

2007 0 0 0 0 0 0 0 - - - - - - - - - - -

2008 0 0 0 0 0 0 - - - - - - - - - - - -

2009 0 0 0 0 0 - - - - - - - - - - - - -

2010 0 0 0 0 - - - - - - - - - - - - - -

2011 1 0 0 - - - - - - - - - - - - - - -

2012 0 0 - - - - - - - - - - - - - - - -


A Total Default [#] 7 3 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0

G Total Issuers [#] 25 25 24 24 24 24 24 24 23 22 20 16 13 7 4 3 0



28.00 16.67 6.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

72.00 60.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00 56.00


Rate [%]

28.00 40.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00 44.00



14

APPENDIX 1g. Survival Pool Cumulative Average Default Rate For idCCC Rating (1996-2012) Time horizon (years)

Year Pool Issuers

[#]


1996 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

1997 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -

1998 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - -

1999 5 5 0 0 0 0 0 0 0 0 0 0 0 0 0 - - -

2000 3 2 0 0 0 0 0 0 0 0 0 0 0 0 - - - -

2001 0 0 0 0 0 0 0 0 0 0 0 0 0 - - - - -

2002 2 2 0 0 0 0 0 0 0 0 0 0 - - - - - -

2003 1 0 0 0 0 0 0 0 0 0 0 - - - - - - -

2004 0 0 0 0 0 0 0 0 0 0 - - - - - - - -

2005 0 0 0 0 0 0 0 0 0 - - - - - - - - -

2006 0 0 0 0 0 0 0 0 - - - - - - - - - -

2007 0 0 0 0 0 0 0 - - - - - - - - - - -

2008 0 0 0 0 0 0 - - - - - - - - - - - -

2009 0 0 0 0 0 - - - - - - - - - - - - -

2010 0 0 0 0 - - - - - - - - - - - - - -

2011 0 0 0 - - - - - - - - - - - - - - -

2012 0 0 - - - - - - - - - - - - - - - -


A Total Default [#] 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

G Total Issuers [#] 12 12 12 12 12 12 12 12 12 12 11 9 9 6 1 0 0



83.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Survival Rate [%]

16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67


Rate [%]

83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33 83.33



15

Appendix 2. INDUSTRY CLASSIFICATION

No Industry

Code Industry Grouping Code

Industry Grouping Industry Description Sector Code

1 ABSE ABSE Asset Backed Securities Entity Asset Backed Securities Entity FIN 2 ANHS MNFC Manufacturing Poultry COR 3 ARPT INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Air Port COR

4 AUTO AUTO Automotive Automotive COR 5 BANK BANK Banking Banking FIN 6 BMTR MNFC Manufacturing Building Materials COR 7 CHEM MNFC Manufacturing Chemical COR 8 COAL MINE Mining Coal Mining COR 9 CONS PROH Property, Construction, Hotel, Tourism & Travel Industry Construction COR

10 COSM COSM Cosmetics Cosmetics COR 11 COUR COUR Courier Services Courier Services COR 12 ELTC MNFC Manufacturing Electronic COR 13 EPMT ITSV Information Technology & Services Electronic Payment Processing COR 14 FERT FERT Fertilizer Fertilizer COR 15 FINA FINA Finance Company Finance Company FIN 16 FISH FISH Fisheries Fisheries COR 17 FOOD FBRT Food, Beverage & Restaurant Food & Beverage COR 18 FOOT MNFC Manufacturing Footwear COR 19 FUND SCRT Securities Mutual Fund FIN 20 FXMC FXMC FX Money Changer FX Money Changer FIN 21 GASD INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Gas Distribution & Transmission COR

22 GEOT MINE Mining Geothermal COR 23 GOLD MINE Mining Gold Mining COR 24 HAPP HAPF Household Appliance & Furniture Household Appliance COR 25 HEAL HEAL Healthcare Healthcare COR 26 HLDI HLDI Holding Investment Holding Investment COR 27 HOTL PROH Property, Construction, Hotel, Tourism & Travel Industry Hotel & Tourism COR 28 HVEQ MNFC Manufacturing Heavy equipment & Machinery COR 29 INSR INSR Insurance Insurance FIN 30 ITEQ ITSV Information Technology & Services IT Equipment COR 31 KABU MUNI Municipal Municipal-Regency MUN


16

No Industry

Code Industry Grouping Code

Industry Grouping Industry Description Sector Code

32 KOTA MUNI Municipal Municipal-City MUN 33 MEDA MEDA Media Media COR 34 META MNFC Manufacturing Metal COR 35 MINC MINE Mining Mining Contractor COR 36 NICK MINE Mining Nickel Mining COR 37 OILG MINE Mining Oil & Gas Mining COR 38 OMFG MNFC Manufacturing Other Manufacturing COR 39 PHAM MNFC Manufacturing Pharmaceutical COR 40 PLAN WOOD Wood Based & Agro Industry Plantation COR 41 PLAS MNFC Manufacturing Plastic & Packaging COR 42 POWR INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Power & Electricity COR

43 PROP PROH Property, Construction, Hotel, Tourism & Travel Industry Property COR 44 PROV MUNI Municipal Municipal-Province MUN 45 PULP WOOD Wood Based & Agro Industry Pulp & Paper COR 46 RENT AUTO Automotive Automotive Rental COR 47 REST FBRT Food, Beverage & Restaurant Restaurant COR 48 RETL RETL Retail Retail COR 49 SCRT SCRT Securities Securities FIN 50 SHIP SHIP Shipping Shipping COR 51 SPRT INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Sea Port COR

52 TEXT MNFC Manufacturing Textile COR 53 TIMB WOOD Wood Based & Agro Industry Timber & Wood Based COR 54 TINM MINE Mining Tin Mining COR 55 TLCO INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Telecommunication COR

56 TOBA MNFC Manufacturing Tobacco COR 57 TOLL INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Toll Road COR

58 TOUR PROH Property, Construction, Hotel, Tourism & Travel Industry Tourism & Travel COR 59 TRAD TRAD Trading & Distribution Trading & Distribution COR 60 TRNS INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Transportation COR

61 VENT FINA Finance Company Venture Capital FIN 62 WATR INFR Infrastructure (Toll Road, Telco, Power, Water, Transportation, Sea

Port, Airport) Water COR

pefindo default study

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