Experience Studies
Experience Studies in Credit Risk
1986–2002 Credit Risk Loss Experience Study: Private Placement Bonds
The Society of Actuaries' Private Placement Experience Committee has completed this report,
which measures incidence rates, loss severities and economic loss rates associated with credit risk events for
privately placed debt during the years 1986–2002. Since the publication of the last report, the Committee has
added four more years of experience covering 1999–2002. One of the values of this report is the comparison
between private placement bond default experience and that of publicly traded bonds. Once again, in this edition of
this ongoing study, migration rates for internal and NAIC credit ratings of assets are tabulated and the relative
predictive power of different kinds of ratings is examined.
The four new years of experience reflected in the study result in the study now covering by and
large two full credit cycles over 17 years.