IBRD Portfolio
Default Rates and Loss Given Defaults
2024
2
Summary
Developing countries face tremendous financing needs
to meet the Sustainable Development Goals and address
critical global development challenges. The World Bank
is exploring a range of options to stretch its own capital
and to expand private capital mobilization as part of its
Evolution exercise. In this context, stakeholders have
expressed interest in the Multilateral Development Banks
(MDBs)' historical credit loss experience.
As the MDB with the largest and longest sovereign
lending data, IBRD undertook an exercise to gather data
of its entire borrower default history, starting from its
first default in FY1985. This report presents the key loss
rate statistics (default rates and losses given default)
covering the entire history of borrower defaults at the
IBRD. The publication of these statistics will provide
useful information for the broader stakeholder group
such as credit rating agencies. IBRD will also share the
data with the Global Emerging Markets Risk Database
Consortium (GEMs) for the pooled MDB statistics.
IBRD's Non-Accrual History Since Inception
Chart 1: Number of Sovereigns in Non-accrual
(at end FY)
0
2
4
6
8
10
FY47
FY51
FY55
FY59
FY63
FY67
FY71
FY75
FY79
FY83
FY87
FY91
FY95
FY99
FY03
FY07
FY11
FY15
FY19
FY23
Chart 3: Number of New Non-accruals
(by year of entry)*
1
9
8
2
4
0
1
0
1
FY81-FY85
FY86-FY90
FY91-FY95
FY96-FY00
FY01-FY05
FY06-FY10
FY11-FY15
FY16-FY20
Beyond FY20
Chart 2: Percentage Share of Non-accrual events, by region
MNA
12%
EAP
0%
SAR
0%
AFR
50%
LCR
23%
ECA
15%
Chart 4: Exposure in Non-Accrual as a %
of Portfolio
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
FY81
FY83
FY85
FY87
FY89
FY91
FY93
FY95
FY97
FY99
FY01
FY03
FY05
FY07
FY09
FY11
FY13
FY15
FY17
FY19
FY21
FY23
 IBRD experienced 27 non-accrual events since it
started lending in 1947, with the first default occurring
in FY85.
 Total IBRD non-accruals (at FY ends) peaked at 9 at
end FY89 and end FY01. The number of countries in
non-accrual has stayed at a historical low of 1-2 range
in the last 15 years.
 IBRD's non-accrual events are spread across four
regions with half of the defaults in the Africa region
*Two non-accrual events of the same borrower with a small gap of a few months (i.e. the borrower entered non-accrual, then cleared the arrears before
entering non-accrual again in a few months' time) are treated as a single default. The chart therefore shows a total of 26 non-accrual events.
3
Historical Observed Annual Default Rates of IBRD Portfolio Since Inception
Note: Default Rate is the ratio of new defaults as a share of
active counterparts in the portfolio at the beginning of the
period. IBRD uses a six-month default definition, whereby debt
service overdues that persist for more than six months would
result in a default (non-accrual) event of the counterpart. All
loans from IBRD to a sovereign counterpart are placed in non-
accrual status if there is a default on any loan obligation of the
counterpart.
Historical Observed Loss Given Default (LGD) Rates of IBRD Portfolio Since Inception
Note: Loss Given Default for IBRD results from an economic
loss due to the delay in receiving contractual principal and
contractual interest. While IBRD has never experienced a write-
off of contractual principal or contractual interest in any of its
non-accrual events, it has suffered an economic loss as IBRD
does not charge interest on overdue interest. This economic
loss is primarily driven by the length of time a country stays
in non-accrual and the interest rates during the period of
non-accrual.
(AFR) and no default in the South Asia (SAR) and East
Asia and Pacific (EAP) Regions.
 The number of new non-accruals was highest during
the FY86-95 period with 8 new non-accruals in FY86-
FY90 and a peak of 9 in FY91-FY95.There have been 2
new non-accrual events in the last 18 years since FY05.
 IBRD's largest share of non-accrual loans as a % of total
portfolio outstanding peaked in FY89 at 4.1%.
Chart 5: Historical Annual and Average Default Rate (1981-2023)
Average annual default
rate of 0.7% since 1981
with highest annual rate
of 4.5% and a low of 0%.
These reflect IBRD's
Preferred Creditor Status.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
FY81
FY82
FY83
FY84
FY85
FY86
FY87
FY88
FY89
FY90
FY91
FY92
FY93
FY94
FY95
FY96
FY97
FY98
FY99
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
FY23
Historical
lowest =
0%
FY1981-
FY2000
average =
1.1%
Historical highest = 4.5%
FY1981-
FY2023
average =
0.7%
FY2001-
FY2023
average =
0.3%
Chart 6: Observed LGD for each historical default*
Average LGD at 9.6%,
with a high of 58.5%
and a low of 0.01%.
These reflect IBRD's
Preferred Creditor Status.
0%
10%
20%
30%
40%
50%
60%
Country 1
Country 2
Country 3
Country 4
Country 5
Country 6
Country 7
Country 8
Country 9
Country 10
Country 11
Country 12
Country 13
Country 14
Country 15
Country 16
Country 17
Country 18
Country 19
Country 20
Country 21
Country 22
Country 23
Country 24
Country 25
Highest LGD: 58.5%
Lowest LGD: 0.01%
Average LGD: 9.6%
*Non-Accruals (one) after the cut-off date of this analysis were excluded as loss amounts are not yet crystalized and two events with a small gap of a few
months were treated as a single default.
4
Introduction
1. This note summarizes the key IBRD borrower default
and loss statistics which are calculated based on
historical data of all the loans that were involved in
past default cases. Detailed data are provided in the
annexes. Please note the disclaimer in paragraph 11
of this note.
Definitions
2. Non-accrual. Under IBRD policies, when a loan
payment is overdue by more than six months,
IBRD places all loans made to, or guaranteed by,
the member country into non-accrual status. This
is preceded by a number of other policy actions
(e.g. suspending new commitments, suspending
disbursement) which are applied sequentially
starting from the date a loan payment reaches
30 days overdue.
3. Default Rate. The default rate is the ratio of the
number of new defaulted borrowers in a year to
the number of borrowers with outstanding IBRD
loan balance at the beginning of the year excluding
borrowers that were already in non-accrual status at
that time.
4. Loss Given Default (LGD). The LGD represents an
estimate of losses that could result from a default
of a loan asset. For IBRD, the loss in the event of a
borrower default is limited to the loss of interest on
overdue interest. This reflects IBRD's policy of not
restructuring loans when a country is in non-accrual.
Except for two currently outstanding non-accrual
cases, IBRD had always been made whole on the
full amount of overdues and never experienced a
loss of contractual interest or principal in all its past
non-accrual cases. However, IBRD has a policy of
not charging interest on overdue interest. The late
payment of overdue principal and interest therefore
leads to an economic loss for IBRD due to the present
value of the payments IBRD receives at the time of
arrears clearance being lower than the present value
of the contractual cashflows, i.e. if the non-accrual did
not occur. The magnitude of the present value loss
depends on the length of time the loan stays in
non-accrual and the prevailing interest rates. The
observed LGD discussed in this note reflects these
present value losses.
Default Rate Analysis
Methodology
5. IBRD had a total of 27 borrower default occurrences
in its entire history of nearly 80 years, with the
first non-accrual occurring in Fiscal Year (FY)1985
following a significant increase in portfolio stress
at the beginning of the 1980s. In this analysis, data
from FY1981 is used, hence covering all historical
non-accrual cases. As part of this analysis, the default
rates are determined for each FY and an average
annual default rate for the entire period (FY1981-2023)
as well as average rates over 5-year sub-periods
are calculated.
Results of Analysis
6. The analysis shows that the average observed annual
default rate for the IBRD portfolio over FY1981-2023
is 0.7%, with a low of 0% and a high of 4.5%. IBRD
experienced new non-accrual events in 15 years out of
its entire history of close to 80 years. The number of
new non-accruals in those 15 years ranged from 1 to 4
in a single year. The highest annual default rate of 4.5%
was observed in FY1988 when there were 4 new non-
accruals, with new non-accrual amount accounting for
approximately 2.5% of IBRD's overall outstanding loan
portfolio and aggregate non-accruals reaching 3.6%
of the portfolio. The share of aggregate non-accruals
exposure peaked at 4.1% in FY1989. Over the last
23 years, IBRD had a total of 6 default events,
significantly less compared to 20 experienced in
the previous two decades, leading to a low average
default rate of 0.3% during this period. Default rates
again increased in FY2023 to 1.2%. Currently IBRD
has two outstanding non-accrual cases from FY2001
and FY2023. The total non-accrual amount currently
accounts for approximately 0.6% of IBRD's overall
outstanding portfolio.
Table 1 (following page) summarizes the historical
default statistics. Detailed data for individual years are
provided in Annex 1.
5
Table 1: IBRD Historical Default Rates
Regional Breakdown of IBRD Non-Accruals
7. Table 2 presents the non-accrual cases and default
rates for individual regions. The Africa (AFR) region
accounts for half of all non-accrual cases and has
the highest default rate, about double the average for
all regions. The Latin America and Caribbean (LCR)
region and the Middle East and North Africa (MNA)
region have default rates that are close to the portfolio
average of 0.7%. The Europe and Central Asia (ECA)
region has a default rate of 0.4%, which is lower
than that of MNA despite having a higher number of
defaults due to a larger group of borrowing countries
in this region compared to MNA. IBRD has experienced
no defaults in the East Asia and Pacific (EAP) region
and the South Asia (SAR) region.
Table 2: Regional Breakdown of Historical Default Rates
Region
Defaults
(FY81-FY23)
Default Rate
(%)
EAP
SAR
MNA
ECA
LCR
AFR
FY81  FY23 Average
0
0
3
4
6
13
0.0
0.0
0.8
0.4
0.6
1.6
0.7
1Note: Among the 27 non-accrual events, there was a case of
two defaults by the same borrower that took place within the
same fiscal year (i.e. the borrower entered non-accrual and
then cleared arrears before entering non-accrual again in a few
months' time); these two events are considered as a
single default in this analysis, resulting in a total of 26
non-accrual events.
Period
Number of
New Defaults1
Average Annual
Default Rate
FY1981  2000
FY2001  2023:
FY2001  2005
FY2006  2010
FY2011  2015
FY2016  2020
FY2021  2023
20
6 0.3% 0.9%
4
0
1
0
1
1.1%
0.9%
0.0%
0.3%
0.0%
0.4%
1.7%
2.7%
0.7%
0.4%
0.2%
0.3%
FY1981  2023
Low
High
26 0.7%
0.0%
4.5%
1.3%
Average of Exposure
in Default Amount as
% of Loan Portfolio
6
Loss Given Default Analysis
Methodology
8. As IBRD's LGD is based on the economic loss from
not charging interest on overdue interest, to calculate
LGD, IBRD computed and compared the present value
of two sets of cashflows - the contractual and actual
cashflows from all the past non-accrual events2. The
LGD is derived based on the following formula, with the
overall portfolio average LGD calculated as a simple
mean of the LGD rates of all the defaulted borrowers:
Where;
LGD% =
[Present Value of contractual cash flows  Present Value of actual cash flows]
DOB
... (A1)
Present Value of Contractual cash flows =  ... (A2) &
t=n
t=1
(C
it
+C
pt
)
(1+r
t
)t
[ ]
Present Value of actual cash flow =  ... (A3)
t=n
t=1
(A
it
+A
pt
)
(1+r
t
)t
[ ]
C
it
= contractual interest during non-accrual period; C
pt
= contractual principal during non-accrual period
A
it
= actual interest during non-accrual period; A
pt
= actual principal during non-accrual period
n = time in non-accrual + 6 months as the arrear period prior to the start of the non-accrual
DOB = Disbursed and outstanding loan portfolio at the start of the missed due date
r
t
= discount rate, reflecting average interest rates of the loan portfolio of the non-accrual borrower
9. The analysis shows that the average observed LGD
for IBRD across its full portfolio and over its entire
history is 9.6%, ranging from a low of 0.01% to a
high of 58.5%. The higher end of the range at 58.5%
was the result of very high interest rates in excess of
10% per annum and a prolonged non-accrual period
in excess of 20 years. These loans were contracted
during the high inflationary environment of the 1980's,
mostly at fixed rates. The 95 and 99 percentile values
are 36.9% and 53.6%, respectively. Table 3 presents a
summary of the results and Chart 3 shows the LGD
results for individual countries with underlying data
provided in Annex 2.
Observed
LGD
LGD-95
percentile
Average
Low
High
9.6%
0.01%
58.5%
36.9%
LGD-99
percentile
53.6%
Table 3: IBRD Historical LGDs
2Note: As IBRD used to offer multi-currency pool loans as
its main loan product, borrowers often had outstanding
loan balances in multiple currencies when they defaulted.
In such cases, the cash flows were determined separately
for each of the currencies in the portfolio of a country and a
weighted average LGD for the country was then calculated.
The weights used were the share of USD equivalent disbursed
and outstanding balances for each currency to the total USD
outstanding at the beginning of the default.
7
Regional Breakdown of LGDs
10. Chart 7 shows the breakdown of LGDs by region.
The LGDs for non-accrual cases in the ECA and
AFR regions are largely in line with the portfolio
average while those for the MNA and LCR regions are
respectively higher and lower than the average.
0%
2%
4%
6%
8%
10%
12%
14%
16%
LCR ECA AFR MNA
5.6%
8.2%
10.5%
15.1%
Chart 7: Regional Breakdown of IBRD Historical LGDs
Disclaimer
11. This analysis is provided for information purposes
only. The results reflect IBRD's Preferred Creditor
Status. These results differ significantly from
published historical data regarding default rates
to other creditors, and should not be regarded
as indicative of results that other creditors may
experience. They also reflect IBRD's historical
experience, which is not necessarily indicative
of future performance. While IBRD may publish
updated information on a discretionary basis in the
future, it assumes no duty to provide such updates.
Other parties should make lending and investment
decisions based on their own independent
decisions as to whether such transactions are
appropriate for them based on their own judgment
and circumstances, and with advice from advisors
as they deem necessary. While IBRD has made
reasonable efforts to confirm the data presented,
it makes no representations or warranties
regarding the accuracy or completeness of the
information. Likewise, while IBRD believes that the
results are based on reasonable assumptions and
methodologies, the use of other assumptions and
methodologies might lead to different conclusions.
8
Annex 1: IBRD Historical Observed Default Rates
Period
New
Defaults
Total number of
countries at
start of FY
Default
Rate
FY81
FY82
FY83
FY84
FY88
FY89
FY90
FY85
FY86
FY87
0
0
0
1
1
2
0.0%
0.0%
0.0%
1.1%
1.1%
2.2%
90
90
0 0.0%
90
91
92
92
91
4 4.5%
88
1 1.2%
82
0 0.0%
80
FY91
FY92
FY93
FY94
FY98
FY99
FY00
FY95
FY96
FY97
3
2
0
0
0
3.2%
2.1%
0.0%
0.0%
0.0%
93
97
97
93
93
2 2.2%
92
0 0.0%
91
0 0.0%
93
FY01
FY02
FY03
FY04
FY08
FY09
FY10
FY05
FY06
FY07
2
1
0
1
0
0
2.2%
1.2%
0.0%
1.2%
0.0%
0.0%
89
86
87
83
80
80
0 0.0%
76
0 0.0%
79
0 0.0%
83
FY11
FY12
FY13
FY14
FY18
FY19
FY20
FY15
FY16
FY17
0
1
0
0
0
0
0.0%
1.3%
0.0%
0.0%
0.0%
0.0%
81
0 0.0%
81
80
81
82
80
78
0 0.0%
78
0 0.0%
79
0 0.0%
80
Average
Low
High
FY21
FY22
FY23
0
0
1
0.0%
0.0%
1.2%
0.7%
0.0%
4.5%
80
79
82
2 2.5%
79
2 2.4%
83
0 0.0%
87
Note: Among the 27 non-accrual events, there was a case of
two defaults by the same borrower that took place within the
same fiscal year (i.e. the borrower entered non-accrual and
then cleared arrears before entering non-accrual again in a few
months' time); these two events are considered as a
single default in this analysis, resulting in a total of 26
non-accrual events.
9
Annex 2: IBRD Historical Observed LGD  By Country in Non-Accrual
Country LGD
Country 1
Country 2
Country 3
Country 4
Country 8
Country 9
Country 10
Country 5
Country 6
Country 7
0.01%
0.3%
0.3%
0.9%
0.9%
1.5%
2.0%
2.2%
3.1%
3.3%
Country 11
Country 12
Country 13
Country 14
Country 18
Country 19
Country 20
Country 15
Country 16
Country 17
3.8%
4.2%
4.6%
4.9%
5.6%
9.5%
13.8%
14.0%
Country 21
Country 22
Country 23
Country 24
High
Country 25
Average
Low
15.3%
30.0%
38.6%
58.5%
9.6%
0.0%
58.5%
3.6%
3.6%
16.2%
Notes:
1: This excludes a country that entered into non-accrual in FY23
and remains in non-accrual, given the short duration.
2: Two defaults by the same borrower that took place within a
short time span of a few months and for a short period of less
than a month considered as a single default.
10
Annex 3: IBRD Historical Non-Accrual Events
* Countries currently in non-accrual
Outstanding
at entry into
non-accrual
(USD Bn)
FY85 FY86 FY87 FY88 FY89 FY90 FY91 FY92 FY93 FY94 FY95 FY96 FY97 FY98 FY99 FY00 FY01 FY02 FY03 FY04 FY05 FY06 FY07 FY08 FY09 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22 FY23
Country 1
Country 2
Country 3
Country 4
Country 5
Country 6
Country 7
Country 8
Country 9
Country 10
Country 11
Country 12
Country 13
Country 14
Country 15
Country 16
Country 17
Country 18
Country 19
Country 20
Country 21
Country 22
Country 23*
Country 24
Country 25
Country 26
Country 27*
6.8
0.3
3.6
15.4
20.5
3.8
3.7
4.7
5.6
1.2
2.4
14.0
2.8
0.04
1.4
9.8
13.3
7.0
8.6
0.4
3.8
0.9
22.8
4.1
3.4
0.2
0.7
0.1
0.1
0.1
0.6
0.1
0.5
0.5
0.01
1.0
0.5
0.3
0.0
0.2
0.3
0.1
0.4
1.2
0.0
0.1
0.002
0.1
0.6
0.5
0.0
0.5
0.7
1.0
Year of Entry and Exit from Non-accrual
Time in
Non
Accrual
(Yrs)
Country
11
Abbreviations
AFR: Africa
DOB: Disbursed and Outstanding Principal Balance
EAP: East Asia and Pacific
ECA: Europe and Central Asia
FY: Fiscal Year, ending June 30 for IBRD
GEMs: Global Emerging Markets Risk Consortium
IBRD: International Bank for Reconstruction and Development
LCR: Latin America and Caribbean
LGD: Loss Given Default
MDB: Multilateral Development Bank
MNA: Middle East and North Africa
SAR: South Asia
