Information on publication of default rate
Published in accordance with Article 20(1) of Regulation (EU) 2020/1503
Last updated: February 25, 2025
For calculating default percentages, a loan is considered in default if the borrower ("Company") has failed, or is likely voluntarily to fail, to fulfil obligations under its Loan Agreement, as evidenced by the following circumstances:
- The Company has delayed any material loan payment by more than 90 days;
- The Company is declared insolvent, or Company restructuring is approved in court, or similar legal measures are implemented that restrict Loan recovery;
- The Company seriously breaches the Loan Agreement or any Collateral Agreement, meaning it will be unable or unwilling voluntarily to perform its Loan Agreement obligations.
- Capitalia has approved distressed loan restructuring for the specific loan, where concessions have been granted to a company that has, or will soon have, difficulties meeting its financial obligations.
A delayed credit payment is considered material if the unpaid amount exceeds EUR 100 or 20% of the scheduled payment, whichever is higher.
Default rate calculation
Initially, default rates are calculated for each calendar year in the period indicated below by dividing the number of defaulted loans during the year by the number of outstanding loans at the beginning of the year. The 1-year default rate is then calculated as a simple annual default rate.
Historical default rates
| Risk grade (credit rating) | 1-year default rate |
| A+ (1+) | 6.42% |
| A (1) | 10.00% |
| B (2) | 5.06% |
| C (3) | 6.77% |
| D (4) | 0.00% |
Calculation is based on annual default rates for the period from 2021 to 2024. This data was last updated on 25.02.2025.
Number of observations used in calculations:
Loans in default over the full period: 68
Total outstanding loans at period starts: 1032
Expected default rates and result announcement
Expected default rates for Capitalia loans are estimated as a simple average of default rates over the last 3 years. If there are material changes in macroeconomic conditions that could significantly affect credit portfolio performance, Capitalia may adjust the expected default level accordingly. Expected and actual default rates are published once per year. The calculation methodology is the same as for historical default rates described above.
| Risk grade (credit rating) | Published expected default rates for previous period (2024) | Actual default rates for previous period (2024) | Forward-looking expected default rates for next period (2025) |
| A+ (1+) | 5.00% | 5.16% | 3.00% |
| A (1) | 2.00% | 20.00% | 5.00% |
| B (2) | 3.50% | 8.82% | 6.75% |
| C (3) | 5.00% | 16.22% | 9.00% |
| D (4) | 7.00% | 0.00% | 7.00% |
