Moodys PBC 1018455

CREDIT POLICY
FEBRUARY 29, 2016
Annual Default Study: Corporate Default and

Recovery Rates, 1920-2015
SPECIAL COMMENT
Summary
Table of Contents:
SUMMARY
INTRODUCTION
DEFAULT PACE ROSE SHARPLY IN 2015
DEFAULT RATE EXPECTED TO RISE IN
2016
RATING ACCURACY METRICS
MOODYS RELATED RESEARCH
METHODOLOGY AND DATA SOURCES
RATING ACCURACY: REDESIGNED SRA
VERSUS PREVIOUS SRA
GUIDE TO DATA TABLES AND CHARTS
DATA TABLES AND CHARTS
Analyst Contacts:
NEW YORK
1
2
2
9
13
15
16
17
21
22
At the forecasted 4.0%, the default rate for Moodys speculative-grade issuers in 2016 is
expected to approach the historical average of 4.2% since 1983. The predicted 4.0% continues
a negative trend in the spec-grade default rate, which increased substantially from 1.9% in
2014 to 3.5% in 2015.
The default rate for all of Moodys-rated corporate issuers is also expected to rise to 2.1% in
2016, the highest rate since the 2008-2009 global financial crisis. This will be a second
consecutive annual increase in default rates from 0.9% in 2014 and 1.7% in 2015.
The 2.1% predicted default rate implies 138 defaults for 2016, which if realized, will result in a
more than 30% increase in defaults from 2015. 1
Commodity prices that will remain at low levels, an economic cycle that is getting long in the
tooth, and increased investor risk aversion as reflected in widening high yield spreads are key
players this time around. Further interest rate hikes this year by the Fed may exacerbate the
default situation. Our default rate forecasting model confirms that commodity sectors will
+1.212.553.1653
remain in significant distress in 2016.
Sharon Ou
+1.212.553.4403
Vice President - Senior Credit Officer
sharon.ou@moodys.com
John Kennedy
Associate Analyst
john.kennedy@moodys.com
Yang Liu
Associate Analyst
yang.liu@moodys.com
The default tally was 109 in 2015, almost doubling the prior years 55. Not surprisingly, default
volume was also higher in 2015 ($97.9 billion) relative to 2014 ($71.4 billion); several sizeable
defaults by the likes of Caesars Entertainment ($20.5 billion), Alpha Natural Resources ($4.5
+1.212.553. 1303
billion) and Samson Investment Company ($4.2 billion) added to the default volume.
By region, default counts roughly doubled from 2014 to 2015 in all regions except Middle East
& Africa. Of those 109 defaults in 2015, 62 were in North America and 27 were in Europe. The
default count in Latin America was also notable as it was near the level seen in the previous
crisis.
+1.212.553.4899
+1.212.553.2961
Varun Agarwal
Assistant Vice President Analyst
varun.agarwal@moodys.com
Sumair Irfan
Associate Analyst
sumair.irfan@moodys.com
Not surprisingly, credit quality weakened in 2015 as downgrades outpaced upgrades. As a

result, the rating drift, measured in notches, fell to -8.5% from the prior years -0.7%. Quality
+1.212.553.1035
deterioration was most significant in Oil & Gas (-70.1%) and Metals & Mining (-65.6%).
Kumar Kanthan
+1.212.553.1428
Senior Vice President
kumar.kanthan@moodys.com
THIS REPORT WAS REPUBLISHED ON 10 MAY 2016 WHEN WE ADDED ANNUAL DEFAULT STUDY TO THE
REPORT TITLE. ANOTHER CHANGE WAS MADE IN EXHIBIT 31 WHERE WE REMOVED THE Caa1 AND Caa3
DEFAULT RATES PRIOR TO 1997 WHEN MOODYS DID NOT HAVE ALPHANUMERIC RATINGS WITHIN Caa.
contacts continued on the last page
This 2.1% default rate speaks to issuers in the January 1, 2016 cohort. In 2015, the comparable count was 103 when
restricted to the January 1 cohort. Including companies outside of the January 1 cohort, the default count was 109
in 2015.
CREDIT POLICY
Measured by post-default trading prices, the issuer-weighted average recovery rate for senior unsecured
bonds was 37.9% in 2015, lower than 2014s 46.4%.
Rating accuracy measures like Average Default Position (AP) generally show that Moodys ratings
have been successfully rank ordering credit risk. The average one-year AP since 1983 stands at 91.5%.
This report comprises Moody's 29th annual default study, in which we update statistics on the default, loss
and rating transition experience of corporate bond loan and deposit issuers for 2015, as well as for the
historical period since 1920. This study covers financial institutions, corporates, and regulated utilities that
have long-term debt ratings.
Introduction
This report is primarily concerned with the statistical documentation of corporate defaults among Moody'srated long-term debt issuers and the performance of Moody's ratings for the year 2015, as well as the
historical period since 1920. The first section of this study reviews some of the major trends characterizing
defaults, recoveries and rating actions in 2015, including analyses by industry and geography. The second
section discusses the default rate outlook and the drivers behind our forecasts. The final section examines
the performance of Moodys ratings since 1983.
Results presented in this study are based on a proprietary database of ratings and defaults for industrial and
transportation companies, utilities and financial institutions. This database covers the credit experiences of
over 20,000 corporate issuers that had long-term rated bonds, loans and/or deposits between 1920 and
2015. This report also introduces some methodology changes including 1) an expansion of the universe of
this study to include banks with only deposit ratings, 2) a modified algorithm that estimates the senior
unsecured or equivalent ratings for corporate issuers and 3) an updated treatment of defaulted issuers that
allows them to re-enter various cohorts in a more appropriate timely manner. These changes are described
in details in the Methodology and Data Source section.
Default pace rose sharply in 2015

Default counts doubled
The pace of defaults increased rapidly in 2015, sending the default tally up to a level not seen since 2009.
Worldwide, 109 Moodys-rated corporate issuers defaulted in 2015, almost doubling 2014s 55. 2 Defaults
were roughly evenly paced in the first three quarters with an average of 25 defaults per quarter. However, in
the fourth quarter, default counts jumped to 35, driven by continued low oil prices. Measured by volume,
about $97.9 billion of debt went into default in 2015, comprising of $77.5 billion in bonds and $20.4 billion
in loans. In comparison, the default volume was $71.4 billion in 2014 consisting of $39.4 billion in bonds,
$28.2 billion in loans and $3.7 billion in deposits. The largest 2015 default was Caesars Entertainment
Operating Company Inc., which filed for bankruptcy in January. With over $20 billion in debt at default,
Caesars was the seventh largest defaulter in history among Moodys-rated non-financial corporations. 3
This publication does not announce
a credit rating action. For any credit
ratings referenced in this
publication, please see the ratings
tab on the issuer/entity page on
www.moodys.com for the most
updated credit rating action
information and rating history.
2
3
Like any other year, most of the 2015 corporate defaults were found in North America and Europe, which is
not surprising as most of the Moodys rated issuers are domiciled in these two regions. Of the 109 defaults,
62 (57%) were in North America. Europe had 27 (25%) while the default count in Latin America (10) rose to
near-crisis level. Compared to 2014, default counts have roughly doubled in all regions except Middle East &
These default counts include issuers outside of the January 1st cohorts. The list of the 2015 defaults can be found in Exhibit 15 in the appendix.
The largest defaulter remains General Motors, which had roughly $50 billion of debt at default.
FEBRUARY 29, 2016
SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015
CREDIT POLICY
Africa, which recorded only one default in both years. In terms of volume, $73.6 billion (~75%) of defaulted
debt was from North America, followed by Europe, which contributed $15.3 billion (16%). 4
By default type, 40.3% of last years defaults were distressed exchanges. The rest were roughly split
between bankruptcies (30.3%) and payment defaults (29.4%). Exhibit 1 presents the annual default counts
and defaulted debt volumes for the period 1970-2015.
EXHIBIT 1
Defaults jumped in 2015

Default Count
Volume ($ Bil)
400
350
300
250
200
150
100
50
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Default rate highest in six years

As the default count nearly doubled in 2015 from 2014, the issuer-weighted annual default rate jumped to
1.7% in 2015 from 0.9% in 2014 (see Exhibit 2). This marked the highest annual rate since 2009. Among
speculative-grade issuers, the default rate showed a similar trendrising to 3.5% from 1.9% and also
reaching the highest level since the 2008-2009 global financial crisis. To put these in historical prospective,
the one year default rate has averaged 1.6% for all-rated issuers and 4.2% for speculative-grade credits
since 1983. 5 Measured on a dollar volume basis, Moodys corporate bond default rates tell a similar story.
For all of Moodys-rated issuers, the volume-weighted default rates finished 2015 at 0.8%, twice as high as
2014s 0.4%. The increase in the dollar-weighted bond default rate was driven by more sizable defaults in
2015 than in 2014. Among speculative-grade issuers, the comparable rate rose to 3.4% from 1.7%.
2015 also recorded a sovereign default by the Government of Ukraine as it missed the principal and interest payments on several bonds during the process of a
broader debt restructuring that is aimed at extending debt maturities and reducing debt burden.
These averages are weighted by cohort size.
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 2
Default rate highest since 2009

Allcorp
Spec-grade
18%
16%
14%
12%
10%
8%
6%
4%
2%
0%
Credit quality deteriorated especially in commodity sectors

Credit quality among Moodys-rated issuers weakened in 2015 with rating downgrades outpacing upgrades.
Rating drift, which is defined as the average upgraded notches minus the average downgraded notches per
issuer, fell to -8.5% in 2015 from -0.7% in 2014 (see Exhibit 3). During 2015, credit quality deteriorated
throughout the year except during the second quarter. Among the four quarters, rating drift fell the most in
the last quarter from -2.9% to -4.8%. In the second quarter, rating drift was positive at 1.2%. It should be
noted that the majority of the second quarters rating actions (both upgrades and downgrades) were in the
banking sector, following Moodys updated banking methodology. Excluding banks, second quarters rating
drift would have been -0.4%.
EXHIBIT 3
Rating Drift Fell in 2015

20.0%
10.0%
0.0%
-10.0%
-20.0%
-30.0%
-40.0%
-50.0%
2015
2013
2014
2011
2012
2010
2009
2007
2008
2005
2006
2003
2004
2001
2002
1999
2000
1997
1998
1995
1996
1993
1994
1991
1992
1989
1990
1987
1988
1985
1986
-60.0%
Across sectors, we find that credit deterioration was most severe in commodity sectors, i.e. Oil & Gas and
Metals & Mining (see Exhibit 4). Specifically, Oil & Gas rating drift fell to -70.1% of a rating notch in 2015
from -2.4% a year earlier. Similarly, the comparable metric declined to -65.6% from -11.1% for Metals &
Mining. Both sectors one-year rating drifts were significantly below their historical averages of -8.2% and
-18.2%, respectively. On the other hand, Consumer Transportation benefited from low commodity prices
and saw its rating drift jump to 31.3% in 2015 from -20.3% in 2014. Similarly, the rating drift for
automotive issuers rose to 14.1% from -0.8%. Historically, these two sectors drift both averaged -21%.
4
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 4
Credit Quality Weakened Most in Commodity Sectors

Average
2014
2015
energy: oil & gas

metals & mining
consumer goods: non-durable
services: consumer
aerospace & defense
construction & building
capital equipment
energy: electricity
media: advertising, printing & publishing
environmental industries
services: business
high tech industries
healthcare & pharmaceuticals
telecommunications
containers, packaging, & glass
media: broadcasting & subscription
media: diversified & production
utilities: oil & gas
banking
chemicals, plastics, & rubber
sovereign & public finance
transportation: cargo
hotel, gaming, & leisure
wholesale
utilities: electric
retail
consumer goods: durable
utilities: water
fire: insurance
fire: real estate
fire: finance
beverage, food, & tobacco
forest products & paper
automotive
transportation: consumer
-80.0%
FEBRUARY 29, 2016
-60.0%
-40.0%
-20.0%
0.0%
20.0%
40.0%
60.0%
CREDIT POLICY
Oil & Gas under stress

Unlike 2009, when defaults were widely spread among a variety of industries, last years defaults reflected
sector-specific problems, leading to a high concentration of defaults in particular pockets. Oil & Gas
recorded 30 defaults and contributed the largest proportion of corporate defaults, comprising 28% of the
total count. 6 Metals & Mining had 13 defaults and was the second biggest contributor among non-financial
sectors. Among financial institutions, the banking sector was the most troubled as it observed 20 defaults.
The vast majority of those bank defaults were from Greece, Ukraine and Russia, reflecting economic stress in
those countries.
When measured by default volume, Oil & Gas topped the list again by accounting for 32% of the total, with
the next highest shares coming from Hotel, Gaming, & Leisure (21%) 7 and Metals & Mining (14%). Besides
Caesars, 2015 has observed other sizable defaults including Samson Investment Company ($4 billion) and
Alpha Natural Resources ($4 billion). Exhibit 5 shows the distribution of 2015 defaults by specific industries.
EXHIBIT 5
Oil & Gas Accounts for Roughly 30% of Defaults

Percent by count
0.0%
5.0%
Percent by volume
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
energy: oil & gas

banking
metals & mining
services: business
retail
aerospace & defense
automotive
fire: insurance
services: consumer
fire: real estate
telecommunications
utilities: electric
wholesale
Although the Oil & Gas sector accounted for 28% of defaults last year, it was not the sector with the
highest rate of default: that distinction belongs to Metals & Mining, which had a 6.5% default rate in 2015.
Oil & Gas followed right behind with a rate of 6.3% (see Exhibit 6).
6
7
Including financial and non-financial defaults.

Mainly driven by Caesars Entertainment Operating Company.
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 6
Default Rates by Sector

Industry
Default
Rates*
Industry
Default
Rates*
metals & mining
6.5%
fire: insurance
0.8%
energy: oil & gas
6.3%
telecommunications
0.5%
4.7%
fire: real estate
0.5%
4.3%
0.5%
4.2%
utilities: electric
0.3%
3.6%
automotive
0.0%
services: consumer
2.8%
capital equipment
0.0%
aerospace & defense
2.6%
0.0%
2.4%
containers, packaging, & glass
0.0%
2.3%
energy: electricity
0.0%
services: business
2.3%
fire: finance
0.0%
2.2%
healthcare & pharmaceuticals
0.0%
Retail
2.1%
0.0%
2.0%
0.0%
2.0%
0.0%
wholesale
1.7%
0.0%
Banking
1.5%
utilities: water
0.0%
1.0%
* Issuer-weighted
Recovery rate lower in 2015

In Exhibit 7, we present the average recovery rates for debt defaulted in the past two years and put them in
context with the historical averages. 8 The table shows that over the past three decades recovery rates were
generally correlated with the priority of claim in the capital structure, with a higher priority of claim
enjoying a higher average rate of recovery. 9 For example, first lien bank loans recovery rates average 66.6%
on an issuer-weighted basis and 62.3% on a dollar volume basis; both are highest of all defaulted
instruments. This is not surprising given their secured nature, seniority in capital structure and strong
protective covenants.
Exhibit 7 further shows that 2015s recovery rates were in large part lower than the comparable rates in
2014. This reinforces the findings in our prior studies that recovery rates and default rates have been
negatively correlated. For example, the issuer-weighted recovery rate for senior unsecured bonds was 37.9%
in 2015, down from 46.4% in 2014. Measured by dollar volume, the comparable rate was 33.3% in 2015
versus 40.8% in 2014. To put this in historical prospective, the senior unsecured bond recovery rates in 2015
were similar to their long term averages.
8
9
In Exhibit 7, we use market prices to proxy recoveries.

Average recovery rates of senior unsecured bonds and other debts can be based on different defaulters because some defaulters may have senior unsecured bonds
and no other debts. Among those 2015 defaulters that have recovery estimates on both senior unsecured and subordinated bonds, the recovery estimates for the
senior unsecured bonds are consistently higher than the subordinated bonds of the same issuers. Please see Exhibit 19 for more details.
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 7
Exhibit 7 - Average corporate debt recovery rates measured by trading prices

Panel A Recoveries
Issuer-weighted recoveries
Lien Position
Volume-weighted recoveries
2015
2014
1983-2015
2015
2014
1983-2015
1st Lien Bank Loan
63.4%
78.4%
66.6%
52.0%
80.6%
62.3%
2nd Lien Bank Loan
32.1%
10.5%
31.8%
21.5%
10.5%
27.6%
n.a.
n.a.
47.1%
n.a.
n.a.
40.2%
1st Lien Bond
53.5%
73.6%
53.4%
58.2%
86.5%
53.4%
2nd Lien Bond
26.0%
51.0%
49.7%
20.6%
75.5%
47.4%
Sr. Unsecured Bond
37.9%
46.4%
37.6%
33.3%
40.8%
33.7%
Sr. Subordinated Bond
36.6%
39.1%
31.1%
20.3%
24.3%
25.8%
Subordinated Bond
58.5%
38.8%
31.9%
56.8%
38.0%
27.1%
Jr. Subordinated Bond
14.0%
n.a.
24.2%
14.0%
n.a.
17.1%
Sr. Unsecured Bank Loan
Panel B Observation counts

Issuer count
Lien Position
Dollar volume (in billions of USD)
2015
2014
1983-2015
2015
2014
1983-2015
1st Lien Bank Loan
15
444
6.4
24.8
260.4
2nd Lien Bank Loan
66
1.3
0.2
11.4
Sr. Unsecured Bank Loan
67
0.0
0.0
33.8
1st Lien Bond
27
10
290
17.4
10.0
120.0
2nd Lien Bond
44
6.9
6.6
24.8
63
26
932
44.7
19.7
629.1
Sr. Subordinated Bond
510
1.1
1.0
112.4
Subordinated Bond
411
2.2
0.6
80.3
Jr. Subordinated Bond
22
0.0
0.0
3.0
Sr. Unsecured Bond
The above recovery data are based on trading prices at or post default. 10 An alternative recovery measure is
based on ultimate recoveries, or the value creditors realize at the resolution of a default event. For example,
for issuers filing for bankruptcy, the ultimate recovery is the present value of the cash and/or securities that
the creditors actually receive when the issuer exits bankruptcy, typically 1-2 years following the initial
default date. 11
In Exhibit 8, we present data on ultimate recovery rates for North American companies included in Moodys
Ultimate Recovery Database (URD). 12 The average firm-wide recovery rate 13 for the fourteen default
resolutions was 55.7% in 2015 compared to 71.0 % for the 11 companies that emerged from default in
2014. During both 2015 and 2014, the family recovery rates exceeded the historical average rate of 55.1%.
The higher family recovery rates can be mostly attributed to the fact that out of the 14 default resolutions
in 2015, 57% of them (eight) were distressed exchanges and 29% (four) were pre-arranged bankruptcies,
which are historically characterized by higher family recovery rates than regular bankruptcies. Looking at
10
11
12
13
For distressed exchanges, we take trading prices at default. For other types of defaults, we take trading prices approximately one month after default.
For details, see Moodys Special Comment Moodys Ultimate Recovery Database, April 2007.
The analysis on ultimate recovery is provided by David Keisman and Julia Chursin. The data are from Moodys Ultimate Recovery Database, which includes robust
detailed recovery information for over 5,200 loans and bonds from more than 1,000 North American corporate defaulters since 1987.
For a given issuer, the firm-wide recovery rate is the weighted-average recovery rate across all of the issuers debts where the weights are the size of the debts.
FEBRUARY 29, 2016
CREDIT POLICY
recovery rates by lien positions, the table clearly reflects recovery rates correlation with instruments
priorities of claims, with recovery rates falling as we descend the capital structure.
EXHIBIT 8
Average Corporate Debt Recovery Rates Measured by Ultimate Recoveries, 1987-2015*

Emergence Year
Lien Position
Default Year
2015
2014
1987-2015
2015
2014
1987-2015
100.0%
83.6%
80.4%
100.0%
79.8%
80.4%
Senior Secured Bonds
81.3%
58.6%
63.3%
77.3%
75.8%
63.3%
Senior Unsecured Bonds
41.8%
50.7%
48.8%
42.8%
33.9%
48.8%
Subordinated Bonds
31.2%
0.0%
28.2%
2.6%
44.1%
28.2%
Loans
*2015 Loans' recovery rate is based on 11 observations (by year of default) and 14 observations (by year of emergence).
Ten out of 14 loans that emerged in 2015 were not part of distressed exchanges, and hence realized full recovery by definition, and thus contributed to
a higher than average overall recovery rate in 2015 (by year of emergence). In case of "by year of default" sample of loans, similarly, 8 out of 11 loans
were not restructured in a distressed exchange and realized 100% recovery.
Unusually high recoveries of 2015 Sr. Secured bonds stem from a small sample of 8 observations by year of default and 13 by year of emergence.
These debt instruments were parts of only 6 defaults and 9 default resolutions last year. In both cases samples consisted of mainly distressed
exchanges and prepackaged bankruptcies, which on average result in higher recovery rates for investors.
Moodys credit ratings are opinions of relative expected credit losses, which are a function of both the
probability of default and severity of default (LGD). Exhibit 9 shows annual average credit loss rates from
1983 through 2015 for Moodys-rated corporate issuers. The chart indicates that the average credit loss rate
among all Moodys-rated issuers rose to 1.0% in 2015 from 0.5% in 2014. Historically, the average annual
credit loss rate for Moodys-rated issuers is 0.9% since 1983.
EXHIBIT 9
Annual Credit Loss Rates Rose in 2015

Inv-Grade
Spec-Grade
All-Rated
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
2015
2013
2014
2011
2012
2010
2009
2007
2008
2005
2006
2003
2004
2001
2002
1999
2000
1997
1998
1995
1996
1993
1994
1991
1992
1989
1990
1987
1988
1985
1986
1983
1984
0.0%
Default Rate Expected to Rise in 2016

Default rate approaching historical average in a year
In the past six years, the global economy has enjoyed a benign default environment as accommodative
monetary policies have fueled the corporate debt market with abundant liquidity, allowing many low-rated
issuers to refinance when needed. The party is likely coming to an end soon as the global default rate is
expected to approach the historical average mark by the end of 2016. Based on Moodys default rate
FEBRUARY 29, 2016
CREDIT POLICY
forecast model, the default rate for all of Moodys-rated issuers is expected to rise to 2.1% by the end of this
year, whichif realizedwill surpass the average of 1.6% since 1983. Among speculative-grade issuers, the
default rate is predicted to climb to 4.0%, just below the historical average of 4.2% (see Exhibit 10). These
forecasts are made under our baseline scenario, which does not expect a global economic recession. In
addition, we assume the US high yield spread will widen from the current level of 660 bps to 750 bps at the
end of 2016 whereas the unemployment rate will ease from 5.0% to 4.8%. 14
EXHIBIT 10
Benign Default Environment Ending Soon

Actual-Allcorp
Actual-SG
Baseline forecast-Allcorp
Baseline forecast-SG
Pessimistic Forecast-Allcorp
Pessimistic Forecast-SG
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
Upward pressure from both credit red flags and widening spreads
Most drivers behind the rise of defaults in 2015 will likely continue into 2016, putting upward pressure on
the global default rates. Commodity prices are expected to stagnate at low levels and rating actions are
anticipated to remain downward biased. High yield spreads are assumed to increase further and be more
volatile in 2016 due to concerns of a prolonged energy crisis, more possible interest rate actions by the Fed
and the fear of a worse-than-expected economic slowdown in China. On the other hand, a stable US
economy, together with global accommodative monetary policies, should provide counteracting forces and
prevent the default rate from rising sharply.
On the rating side, credit deterioration has surfaced in at least two dimensions. First, we observe a rapid
increase in the number of low-rated new issuers entering the corporate debt market. Between 2010 and
2015, the number of new issuers with Caa 15 or below ratings averaged 235 per year, representing more than
a third of the entire rated universe. 16 Before the global financial crisis, that number was much lower at 94
during 2004-2006, which accounted for 15% of the rated portfolio. Similar patterns were found before the
2001 and 2008 economic cycle turns, and we believe the recent new Caa issuers will once again sow default
seeds for 2016-2017. Second, while roughly 70% of Moodys-rated issuers had stable outlooks at the
beginning of 2016, we expect rating actions to remain downward biased this year as the number of
unfavorable watchlist/outlook assignments more than doubled the favorable ones. Specifically, 7.5% of
issuers were put on watch for possible downgrade and 13.6% of issuers had negative outlooks. This
compares with 0.9% of issuers on watch for upgrade and 7.3% with positive outlooks. Among Caa-C issuers,
14
15
16
10
The spreads are option adjusted.

The ratings refer to senior unsecured or equivalent ratings, which are often times lower than the corporate family ratings. Therefore, those newly rated issuers
include some companies with single B corporate family ratings.
These are issuer counts, not corporate family counts.
FEBRUARY 29, 2016
CREDIT POLICY
the most vulnerable credits, 5.3% were on watch for downgrade and 23.6% had negative outlooks. On the
other hand, only 0.6% were on watch for possible upgrade and 5.9% had positive outlooks.
On the macro side, the global default rate forecast is driven by the level and change in the US high yield
spread, which has been a leading indicator historically. The spread has widened noticeably from 483 bps to
660 bps in 2015. It is expected to continue its upward trend in 2016 and more than offset the gradual
improvement in the US unemployment rate.
Commodity sectors to remain in trouble but stress will also grow outside of those sectors
Across industries, we anticipate the stress among Oil & Gas issuers to continue, and this sector will likely
remain the biggest contributor of defaults in 2016. Exhibit 11 shows the baseline one-year global default
rate forecasts by industry. 17 In this chart, we apply the same economic assumption to all industries, so the
only factor driving the different forecasted default rates is the underlying rating histories and current ratings
of the issuers in those industries. Among the 35 industries, our model expects 20 of them to have higher
default rates in 2016 relative to their long-term averages.
Measured by default rate, the most troubled sector is Metals & Mining (7.0%). The next highest forecast
belongs to Oil & Gas (6.0%). These forecasts, if realized, will be more than double and triple their historical
averages, respectively.
Exhibit 11 also shows the default rate forecast implied by Expected Default Frequency (EDF). 18 As shown in
the chart, EDF-implied ratings indicate a worse default rate outlook for commodity sectors than those
suggested by the Credit Transition Model. This certainly reflects the recent volatility in the equity market
that may not be fully captured in the high yield spread or the rating factors. 19 In addition, the EDF-implied
default rate may also be higher as that portfolio includes some unrated issuers which may have relatively
weaker credit qualities. Nevertheless, EDF implied forecasts reinforce the high default risk for both Oil & Gas
and Metals & Mining in 2016.
17
18
19
11
The industry default rate forecasts include both investment-grade and speculative-grade issuers.
Note that the EDF-implied default rate forecast includes rated and unrated issuers.
The CTM model doesnt use sector specific spreads.
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 11
One-Year Corporate Default Rate Forecasts by Industry

CTM Forecast
0.0%
1.0%
2.0%
3.0%
1983-2015 Average
4.0%
5.0%
6.0%
EDF Implied Default Rate

7.0%
8.0%
9.0%
10.0%
Metals & Mining

Energy: Oil & Gas
Environmental Industries
Wholesale
Aerospace & Defense
Media: Advertising, Printing & Publishing
Forest Products & Paper
Services: Consumer
Consumer goods: durable
Services: Business
Retail
High Tech Industries
Transportation: Cargo
Hotel, Gaming, & Leisure
Containers, Packaging, & Glass
Media: Broadcasting & Subscription
Capital Equipment
Construction & Building
Consumer goods: non-durable
Healthcare & Pharmaceuticals
FIRE: Finance
Chemicals, Plastics, & Rubber
Automotive
Telecommunications
Energy: Electricity
Beverage, Food, & Tobacco
Media: Diversified & Production
Transportation: Consumer
Banking
FIRE: Insurance
FIRE: Real Estate
Utilities: Oil & Gas
Utilities: Water
Utilities: Electric
Sovereign & Public Finance
As mentioned before, the rise in 2015s default rate was mainly driven by commodity sectors. Excluding Oil
& Gas and Metals & Mining, the global default rate remained low for most of the year. As shown in Exhibit
12, while the default rate for the entire Moodys-rated universe jumped from 0.9% in 2014 to 1.7% in 2015,
the rate only rose from 0.8% to 1.1% when we exclude issuers in the Oil & Gas and Metals & Mining
sectors. Looking into 2016, we expect stress to also grow outside of the commodity sectors. Excluding Oil &
Gas and Metals & Mining issuers, the global default rate is anticipated to climb to 1.6% by the end of 2016.
12
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 12
Stress to Grow Outside of Commodity Sectors

Actual-Allcorp
Actual -Ex O&G and M&M
Forecast-Allcorp
Forecast - Ex O&G and M&M
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
While our baseline forecast is likely the one that is going to unfold, we acknowledge there is risk associated
with the global economic conditions, especially outside of the US. Indeed, in just one and a half months,
most countries have seen a 20% plummet in the stock markets, which reflects worries over prolonged
commodity stress, uncertainties from geopolitical developments in Russia, the recession in the economies
of several emerging market countries and the fear of a hard landing in the Chinese economy. Although we
estimate only a 4% chance our pessimistic scenario being realized, the worldwide economy could contract
with the unemployment rate rising to 9.4% and the high yield bond spread widening to 1530 bps. In that
case, the global default rate is expected to rise to 6.4% for all rated issuers and 11.6% for speculative-grade
issuers (see Exhibit 10).
Rating Accuracy Metrics

Moodys ratings have historically proven to be effective predictors of default. This can be seen in Exhibit 13,
which plots the median ratings of roughly 2,000 corporate issuers that defaulted from 1983 to 2015. The
chart demonstrates that, historically, Moodys-rated issuers have been downgraded to the B1 level as early
as five years prior to default. The comparable rating was lower at B2 among issuers that defaulted in 2015.
The median rating one year prior to default was Caa2 among last years defaulters, two notches lower than
that rating measured over the entire period 1983-2015.
13
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 13
Median Ratings Prior to Default, 2015 vs. Long-Term Average

2015
55
60
50
Months prior to default
1983-2015
45
40
35
30
25
20
15
10
0
Ba3
13
B1
14
B2
15
16
B3
Caa1
17
Caa2
18
Caa3
19
Ca
20
C21
The evolution of median ratings presented in Exhibit 13 above demonstrates that Moodys corporate ratings
are correlated with subsequent default experience. To further demonstrate the ability of ratings to separate
issuers with low credit risk from those with high credit risk, we use the Average Position of defaults (AP) to
evaluate the accuracy of Moodys ordinal rating systems (see Exhibit 14). 20 AP measures the average
position for defaulters with position defined as the percentage of issuers with higher or equal ratings. A
greater AP indicates a more discriminatory rating system as there are more issuers rated higher than the
defaulters, or equivalently that defaulters are generally found in lower rating categories. Exhibit 14 reveals
that between 1983 and 2015, the Average Position of defaults has been consistently high during the entire
period, with an average of 91.5% for the one-year horizon and 86.6% for the five-year horizon. This
indicates that Moodys ratings have been effective in predicting defaults over both the short- and long-term
periods. The lowest one-year AP was observed in 2008 when Lehman Brothers and several other high grade
financial institutions failed. Since then, the AP has quickly recovered and reached 87.9% in 2015.
EXHIBIT 14
One- and Five-Year Accuracy Default Position by Cohort Year, 1983-2015

1-Year
5-Year
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
14
2015
2013
2014
2011
2012
2010
2009
2007
2008
2005
2006
2003
2004
2001
2002
1999
2000
1997
1998
1995
1996
1993
1994
1991
1992
1989
1990
1987
1988
1985
1986
1983
20
1984
0%
For a detailed discussion of average default position and the mathematical derivation of accuracy ratio from the average default position, please refer to Moodys
Special Comment, Measuring Ratings Accuracy Using Average Default Position, Feb 2011.
FEBRUARY 29, 2016
CREDIT POLICY
Moodys Related Research

Special Comments and Sector In-Depth Reports:
Annual Default Study 1920-2014, March 2015 (179348)
Default Research: Industry Credit Risk: Recent Trends for Global Non-Financial Corporations, January
2016 (1012379)
European Corporate Default and Recovery Rates, 19852015H1, December 2015 (1012344)
Leveraged Finance Interest - North American Edition, January 2016 (187109)
Glossary of Moodys Ratings Performance Metrics, September 2011 (135451)
High Yield Interest European Edition, January 2016 (187108)
High Yield Interest Asian Edition, January 2016 (187181)
High Yield Interest Latin American Edition, January 2016 (187100)
SGL Monitor: LSI Gains Point to Rising Default Risks as 2016 Gets Underway, January 2016 (187113)
Moody's B3 Negative and Lower Corporate Ratings List: Oil & Gas Sends List to Six-Year High, Fueling
Forecast for More Defaults, January 2016 (1012945)
Global Oil and Natural Gas Industry: Increased Supply and Concerns About Demand Growth Drive
Prices Yet Lower, January 2016 (1014345)
Growing Stress in Commodity Sectors Is a Credit Hazard for 2016, December 2015 (1009103)
US Corporate Defaults & Recoveries - Oil and Gas: The Bad, Ugly and Good, May 2015 (1004376)
Corporate Default and Recoveries - US: What May Happen in the Next Default Cycle Given Falling
Credit Quality, August 2015 (1004664)
Moody's Ultimate Recovery Database: Lessons from 1,000 Corporate Defaults, November 2011
(137405)
Introducing Moodys Credit Transition Model, August 2007 (104290)
Measuring Ratings Accuracy Using Average Default Position, February 2011 (129451)
2016 Outlooks:
15
FEBRUARY 29, 2016
Oil and Gas Industry Global: 2016 Outlook All Regions and Sectors Facing Lower-for-Longer
Environment (Presentation), December 2015 (185710)
Non-Financial Corporates North America: 2016 Outlook Outlook Stable Overall, But Investors
Becoming More Cautious (Presentation), December 2015 (185690)
Non-Financial Corporates - EMEA: 2016 Outlook - Stable Despite Slower Growth Prospects
(Presentation), December 2015 (174787)
Non-Financial Corporates Asia (ex-Japan) - 2016 Outlook - Lower Growth and High Leverage Cast
Shadow over Corporates (Presentation), November 2015 (186277)
Banks - Global: 2016 Outlook - Macro Challenges, Regulation Will Offset Improved Fundamentals
(Presentation), December 2015 (186447)
Global Macro Outlook 2015-17: Lacklustre Global Economic Recovery Through 2017 Diminishes
Resilience to Shocks, November 2015 (1009471)
CREDIT POLICY
Methodology and Data Sources

Moodys Definition of Default
Moodys definition of default is applicable only to debt or debt-like obligations (e.g., swap agreements). For
details, please refer to Moodys Rating Symbols and Definitions.
Methodology
The methodology used in this study can be found in the Glossary of Moodys Ratings Performance Metrics.
The Glossary report is a technical paper that explains how Moodys calculates default rates, transition rates
and rating performance metrics in detail.
Changes in this Years Report

Moodys occasionally discovers historical defaults, leading to minor revisions of the historical data. As
always, the data contained in the most recently published Moodys default study supersede the data
published in previous reports. This year, Moodys revised its senior ratings algorithm and modified the rule
that determines when an issuer can return to a cohort post default.
Appendix: Description of New Senior Ratings Algorithm and New Default Treatment
The default and ratings performance statistics presented in this study are based on entity-level senior rating
histories produced by Moodys Senior Ratings Algorithm (SRA). 21 The SRA takes a Moodys-rated entitys
actual senior unsecured rating (or senior rating) history when one exists and estimates such when the entity
does not have any rated senior unsecured debt in all or part of its rating history. These estimated ratings
allow Moodys to meaningfully compare credit quality across entities, regardless of their capital structures.
The process of estimating an entitys senior rating has three broad steps. In the first step, notching rules are
created based on the average notch difference in ratings between each class of debt and the senior
unsecured debt of an entity. In the second step, the entitys reference creditthe debt class rating that has
the highest priorityis selected. This is accomplished by ranking each class of rating on the basis of its
ability to predict the senior rating; this ranking is referred to as the priority of the notching rule. In the third
step, the reference credits rating is adjusted by the number of notches based on its corresponding notching
rule to estimate the entitys senior rating. 22
We have redesigned the SRA so that notching rules are determined dynamically and are consistent with
Moodys current rating practices. 23,24 The redesigned algorithm allows dynamic changes in notching rules
and their priority, whereas in its previous iteration, the algorithm used static notching rules that were
updated intermittently. We have also expanded our universe of issuers to include banks that only have
deposit ratings. As a result, we now include deposit defaults into our default statistics as opposed to only
bond and loan defaults in prior years studies. Finally, we have modified the rules by which a defaulted entity
can reenter a cohort for the purposes of the default and ratings performance statistics. 25
21
22
23
24
25
16
Throughout this appendix, we take entity and entity-level to refer to obligor and obligor-level.
By entity-level rating, we mean ratings assigned to entities as a whole, as opposed to ratings assigned to specific debt instruments.
We adopted the new algorithm starting with Moodys September Default Report (October 2015).
We described the previous iteration of the SRA in Moodys Senior Ratings Algorithm & Estimated Senior Ratings (February 2009). An updated publication reflecting
the redesigned SRA is forthcoming.
We relax the conditions under which defaulted entities whose resolution dates are unknown are reintroduced back into our study sample. Previously, we waited
until an entitys estimated senior rating was upgraded to B3 or higher. In some cases, this treatment had the unintended consequence of keeping low-rated
defaulted entities out of the sample for prolonged periods of time. Our new rule incorporates a time element in addition to the B3 rating threshold; now, even if its
FEBRUARY 29, 2016
CREDIT POLICY
These updates to our approach have the following impact: 26
A modest increase in cohort sizes over time 27
A modest increase in the number of investment grade default events and as a result some slight
increase in investment-grade default rates and small decrease in average default positions 28
A slight decrease in cumulative default rates for speculative grade rating categories
A noticeable rise in the proportion of Caa-C ratings 29 and a commensurate fall in the proportion of
single B ratings for recent cohorts.
Our new approach, while slightly more complex, has a few distinct advantages over its predecessor. First
and foremost, the redesigned SRA estimates senior ratings assigned by Moodys analysts more accurately
than before. 30 Second, because the redesigned model is dynamic, it reflects evolving notching trends in real
time, rather than ex post. The chart below shows that barring a couple of instances (for example the period
between 2003 and 2005), the redesigned SRA more accurately estimates senior ratings compared to its
previous iteration. In addition, this new approach expands the coverage of entities and default events,
resulting in more robust default and ratings performance measurements. Finally, these gains do not come at
the expense of introducing artificial rating volatility into the estimated entity-level rating histories.
Rating Accuracy: Redesigned SRA versus Previous SRA

Rating Accuracy: Redesigned SRA versus Previous SRA
Redesigned
2015
2016
2013
2014
2011
2012
2010
2009
2007
2008
2005
2006
2003
2004
2001
2002
1999
2000
1997
1998
1995
1996
1993
1994
1991
1992
1989
1990
1987
1988
1985
1986
1984
1982
1983
% of Estimated Senior Ratings Equal to

Assigned Senior Rating
Previous
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Source: Moody's
Note: The percentage of estimated senior ratings equal to the assigned senior rating is calculated on the same set of obligors for both models, i.e., on a matched-sample.
Below, we describe in greater detail the various steps of the redesigned SRA, and where applicable, we
highlight the major differences vis--vis our previous model.
Procedurally, the SRA performs the following six steps:
26
27
28
29
30
17
rating has not been upgraded to B3 or higher, a defaulted entity will be reinstated into the study sample after one week for distressed exchange events, one year for
missed interest or principal payment events and five years for bankruptcy events.
We have recalculated the historical measures presented in this study, incorporating all the changes mentioned above. Entity ratings prior to April 26, 1982 are
calculated using the previous SRA. Hence, historical measures prior to 1982 have not changed since last years study.
The redesigned SRA estimates entity-level ratings from a broader universe of rating classes (e.g. bank deposits and industrial revenue bonds), which has resulted in
larger cohort sizes over time. In addition, the modified cohort reentry rule has also contributed to increased cohort sizes. The increase of cohort size is generally
small with most of the additional companies in the investment grade universe.
In recent years, a few financial institutions (mostly European banks) have selectively defaulted on subordinated debt only while continuing to pay senior debt
obligations. Investment grade default counts in the redesigned SRA have increased in large part due to our treatment of these selective defaults. The previous SRA
would force the defaulted subordinated debt to be the reference debt, resulting in an artificially lowered estimated senior rating. This approach was intended to
produce an estimated rating that indicated the default risk of the issuer, even though it may not have been the truest estimate of the entitys senior rating. In the
redesigned SRA, we make no such adjustment for selective defaults and consequently observe higher investment grade default counts.
This has also led to a noticeable drop in the Caa-C default rates.
In this context, rating accuracy refers to the ability of the model to correctly estimate a Moodys assigned senior rating when using non-senior ratings as inputs.
FEBRUARY 29, 2016
CREDIT POLICY
1.
Filter out ineligible credits
2.
Compute aggregated credit group histories
3.
Infer notching rules
4.
Select the reference credit group
5.
Smooth artificial changes in the estimated senior rating
6.
Remove entities without debt ratings
1.
Filter out ineligible credits
We form a universe of credits from all of Moodys public, monitored, global scale long-term ratings, with the
exceptions of structured finance ratings, short-term ratings, modeled ratings, defeased ratings and
externally-backed ratings. 31 From this universe, we infer notching rules and select reference credits, as
described below.
2.
Compute aggregated credit group histories
Each credit from among this broad universe is characterized along the following dimensions:
Class of debt or entity-level rating (e.g., regular bond, bank loan, first mortgage bond, Issuer Rating,
Corporate Family Rating) 32
Seniority (e.g., senior unsecured, senior secured, subordinated)
Backing status (not backed, internally backed, externally backed)
Currency type (e.g., local currency, foreign currency)
The SRA aims to estimate the hypothetical senior unsecured, non-backed, local currency, regular bond
ratingin other words, the benchmark ratingfor each entity. For entities that already have a benchmark
rating, no estimation is required.
The four dimensions listed above are the salient factors affecting a particular credits rating in relation to
other credits in an entitys capital structure. We expect that for a given entity, credits that match along
these four dimensions (referred to as credit groups) are homogenous and share the same rating at a fixed
moment in time. In cases where ratings from the same credit group differ for a given entity, we calculate the
median rating at each point in time. 33 In this way, we construct sanitized credit rating histories for each
entity and refer to them as aggregated credit group histories.
3.
Infer notching rules
In the next step of the SRA, we infer notching rules from each credit group to the benchmark rating. A
notching rule is an abstraction for the prevailing notch difference that exists between a given credit group
rating and the benchmark rating of the same entity as a function of time, credit group rating level, region
and sector. 34 For each credit group and among the set of entities that have both the credit group rating and
31
32
33
34
18
Our previous SRA excluded certain types of debts that are now included in the redesigned SRA, such as industrial revenue bonds.
Moodys Rating Symbols and Definitions (January 2016) provides detailed definitions for Issuer Ratings and Corporate Family Ratings.
If there are an even number of credits in the credit group, we select the worse rating among the two middlemost ratings. We refer to this as the Median-Worst
algorithm.
Even though we refer to notching rules, in no way are we suggesting that Moodys rating analysts rigidly follow these rules in practice. Our algorithm only seeks to
determine the average notching observed within a particular region and sector.
FEBRUARY 29, 2016
CREDIT POLICY
the benchmark rating, we compute the most frequently observed notch difference as a function of time, the
credit groups rating and the entitys region and sector. If there is not sufficient consensus for a particular
rule, no rule can be formed. 35 Rather than relying on static notching rules as the previous SRA did, the
redesigned SRA allows historical ratings to drive the formation of notching rules, which can evolve over
time.
4.
Select the reference credit group
Having inferred notching rules, we then select the reference credit group for each entity at all points in time.
The reference credit group is the one whose notching rule most reliably predicts the benchmark rating. In
other words, it is the credit group that has the highest priority. A notching rules priority is broadly based on
two factors:
How consistent is the credit groups notching from the benchmark rating?
How targeted is the pool of entities from which the notching rule was formed?
The more consistent a credit groups notching is, the higher priority it will be assigned. For two notching
rules that are equally consistent, the rule that is formed from a more targeted pool of entities (with respect
to the entities for which we are selecting the reference credit group) will be assigned a higher priority. 36
We have revised how we choose the reference credit group for entities that selectively default on
subordinated debt, but continue to pay on senior debt obligations. The previous SRA chose the defaulted
subordinated debt as the reference credit group when the gap between the senior- and subordinated debt
ratings becomes wider than historical standards. This resulted in an artificially lowered rating, and was
intended to balance two competing considerations: (1) estimating entity-level ratings, assuming that default
risk is shared evenly across the entitys capital structure, and (2) reflecting Moodys ratings true
discriminatory power by referencing the subordinated debt rating. In the redesigned SRA, we make no such
adjustment for selective defaults. 37,38
Once we have determined the reference credit group for a particular entity, we apply its notching rule to the
reference credit groups rating to derive the estimated senior rating. In this way, we construct entity-level
estimated senior rating histories at all points in time.
5.
Smooth artificial changes in the estimated senior rating
It is possible that an entitys estimated senior rating history created in the previous step contains artificial
rating changesthat is, rating changes that are unsupported by the entitys underlying aggregated credit
group histories. 39 Artificial rating changes can be introduced due to changes in the reference credit group or
changes in the notching rule. To remove these artificial rating changes, we apply a remedial smoothing
procedure, by which we mean the process of shifting the entitys estimated senior rating history either prior
35
36
37
38
39
19
In order for a rule to be formed, we require two conditions be satisfied: (1) at least 50% of all entities must have the same notching, and (2) there must be at least 10
entities that have the same notching.
For ease of exposition, this discussion of priority has been simplified. In our forthcoming publication on the redesigned SRA, we will expand on this topic in more
detail.
In the future, we may choose to publish our default studies at the debt-class level. For example, we may choose to study subordinated debt ratings for financial
institutions and consider only defaults on subordinated debts. This approach would avoid the issue highlighted here because both ratings and defaults would be
measured on the same class of debt.
The previous approach led to a more correct rating accuracy measurement at the expense of introducing inaccurate ratings while the new approach has the opposite
effect. We plan to address this issue in the future by doing studies at the instrument level or by censoring non senior unsecured defaults when doing senior
unsecured entity-level studies.
Aggregated credit group histories, as defined previously, are the rating histories calculated as the Median-Worst rating among all like credits of a particular entity.
FEBRUARY 29, 2016
CREDIT POLICY
to or after an artificial rating change by the same magnitude as the intended artificial change. This has the
effect of eliminating the artificial rating change at the cost of distorting the entitys rating level.
The redesigned SRA allows artificial changes in an entitys estimated senior rating history to be smoothed
either back in time or into the future. If the priority of the current notching rule is higher than that of the
previous notching rule (with respect to a particular artificial rating change), the entitys estimated senior
rating is smoothed back in time, meaning the previous rating is replaced with the current rating. Conversely,
if the priority of the current notching rule is lower than that of the previous notching rule, the entitys
estimated senior rating is smoothed into the future, meaning the current rating is replaced with the previous
rating. 40
6.
Remove entities without debt ratings
After smoothing is completed, the final step in the redesigned SRA is to remove entities from the data
sample for the periods of time when they do not have rated debt obligationsnamely, bonds, loans or bank
deposits. Gaps in an entitys estimated senior rating history that are due to the entity not having debt
ratings are treated as rating withdrawals. For this study, we only include entities that have debt ratings in
our data sample because only for these entities do we track default events with a high degree of confidence.
As a result, our default statistics remain unbiased and accurately reflect the true credit risk observed in the
corporate universe. 41
Data Sources
Moodys bases the results of this study on its proprietary database of ratings and defaults for corporate
bond and loan issuers. Municipal and sub-sovereign debt issuers, structured finance securities, private
placements and issuers with only short-term debt ratings are excluded unless otherwise noted. In total,
Moodys data covers the credit experiences of over 20,000 corporate issuers that sold long-term public debt
at some time between 1920 and 2015. As of January 1, 2015, over 6,000 corporate issuers held a Moodys
long-term bond, loan, deposit or corporate family rating.
Moodys database of corporate defaults covers more than 3,000 long-term bond and loan defaults by
issuers both rated and non-rated by Moodys. Additional data sources, such as Barclays Fixed Income Index
data, supplemented Moodys proprietary data in the construction of the aggregate dollar volume-weighted
default rates. Defaulted bond pricing data was derived from Bloomberg, Reuters, IDC and TRACE. The
majority of these market quotes represent an actual bid on the debt instrument, although no trade may
have occurred at that price. Over the 1982-2015 period, the dataset includes post-default prices for
approximately 5,000 defaulted instruments issued by over 1,700 defaulting corporations. Moodys makes
the 1970-2015 credit rating, default and recovery rate data used in this study available through its Default
and Recovery Database (DRD).
40
41
20
The concept of smoothing is vast and complex, and cannot be covered adequately in this appendix. In our forthcoming publication on the redesigned SRA, we will
discuss smoothing in greater detail.
Suppose we included entities that only were assigned entity-level ratings in our data sample. Our default statistics would then understate the true default risk
because we would be including entities that do not even have the possibility of defaulting.
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CREDIT POLICY
Guide to Data Tables and Charts

In this section, we briefly describe the interpretation of some of the Exhibits contained in this report. Exhibit
13 was derived by mapping Moodys ratings to a linear scale, then taking the median values of the
numerically mapped ratings.
Exhibit 21 shows average senior unsecured recovery rates by letter rating and year prior to default. Each cell
in the table indicates the average recovery rate on senior unsecured bonds with a specific rating within T
years of default. For example, the 36.6% two-year B recovery rate reported in Exhibit 21 indicates the
average recovery rate on B- rated issues that default at some time within a two-year period, not recovery
rate for issuers rated B exactly two years before default. Together with issuer-weighted average cumulative
default rates, these multi-period recovery estimates are used to calculate cumulative expected credit loss
rates, as presented in Exhibit 22.
Exhibits 32 through 37 show issuer-weighted historical average default rates by rating category over various
investment horizons. These data were generated by averaging the multi-year default rates of cohorts
formed at monthly intervals. In addition to their being statements of historical fact, these data are also
useful proxies for expected default rates. For example, over a five-year period a portfolio of B-rated issuers
defaulted at a 22.2% average rate between 1983 and 2015 (see Exhibit 34). For an investor with a five-year
exposure to a B-rated debt obligation or counterparty, this estimate also happens to be the best estimate of
the expected risk of default for a B-rated exposure based on the available historical data, particularly over
long investment horizons.
Exhibit 40 shows average cumulative volume-weighted default rates by rating category. Whereas issuerbased default rates weight each issuer equally, these data weight each issuer by the total volume of
defaulted debt; larger defaults receive relatively more weight. Average default rates based on debt volume
affected are less suitable estimates of expected default risk. One reason is that issuer default volumes vary
considerably over time. On average, a leveraged corporate issuer defaults on approximately $300 million of
bonds. However, that total has been as high as $30 billion (WorldCom). Issuer-based default rates receive
particular emphasis in the rating process because the expected likelihood of default of a debt issuer holding
a given rating is expected to be the same regardless of differences in the nominal sizes of the exposures.
Exhibit 41 shows the cumulative issuer-weighted historical default rates of cohorts formed between the
years 1970 and 2015 (January 1 of each year). These data are a subset of the data used to calculate the
issuer-weighted averages shown in Exhibits 32 through 34 (which, again, are based on cohorts formed at
monthly time intervals). The default rates in Exhibit 41 may be useful for scenario analysis. For example, if
one believed that future default rates for a given pool of issuers will behave as they did in, say, 1997, then
one can use the January 1, 1997 cohort cumulative default rates as proxies for expected default rates.
21
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CREDIT POLICY
Data Tables and Charts

EXHIBIT 15
Moodys-Rated 2015 Corporate Bond and Loan Defaults1,2,3

Bonds
(US$ mil)
Loans
(US$ mil)
In Jan 2015
cohort?
Company
Country
Default Type
Month
Affinion Group Holdings, Inc.
United States
Distressed Exchange
November
585
yes
Agropecuaria Nossa Senhora do Carmo S.A. Brazil
Missed Interest Payment
February
735
yes
Allied Nevada Gold Corp.
United States
Prepackaged Chapter 11
March
Alpha Bank AE
Greece
Bank Holiday
June
1069
Alpha Natural Resources, Inc
United States
Distressed Exchange
April
596
yes
United States
Chapter 11
August
2807
1056
no
Altegrity, Inc.
United States
January
1420
275
yes
American Apparel, Inc.
United States
October
214
25
yes
American Eagle Energy Corporation
United States
March
175
yes
American Energy - Woodford, LLC
United States
Distressed Exchange
June
340
yes
Anchor Hocking, LLC
United States
April
Attica Bank S.A.
Greece
Bank Holiday
June
Automotores Gildemeister S.A.
Chile
BANIF-Banco Internacional do Funchal, S.A. Portugal

Bank Finance and Credit, OJSC
Ukraine
BANK RSB 24 (JSC)
400
75
yes
yes
249
yes
yes
December
400
yes
Placed Under Administration
December
539
yes
Bankruptcy
September
yes
Russia
Placed Under Administration
November
23
yes
Bank Uralsib
Russia
Distressed Exchange
November
77
yes
Berau Coal Energy TBK (P.T.)
Indonesia
Bankruptcy
July
950
yes
Black Elk Energy Offshore Operations, LLC United States
Chapter 11
September
139
Caesars Entertainment Operating Company,

Inc.
United States
January
California Resources Corp.
United States
Distressed Exchange
December
CFG Investment S.A.C.
Peru
Liquidated
November
Chassix Holdings, Inc.
United States
March
no
Chassix Inc.
United States
March
375
no
CHC Group Ltd.
Canada
Distressed Exchange
August
41
yes
Chesapeake Energy Corporation
United States
Distressed Exchange
December
3694
yes
China Fishery Group Limited
Hong Kong
Liquidated
November
yes
Colt Defense LLC
United States
Chapter 11
June
249
70
yes
Comstock Resources, Inc.
United States
Distressed Exchange
September
101
yes
Connacher Oil and Gas Limited
Canada
March
831
146
yes
CORE Entertainment Inc.
United States
July
160
yes
Delta Bank
Belarus
Seized By Regulators
March
Dex Media, Inc.
United States
October
270
yes
Doral Financial Corporation
United States
Chapter 11
March
170
yes
Drill Rigs Holdings Inc.
Marshall Islands Distressed Exchange
December
156
yes
DTEK ENERGY B.V.
Ukraine
April
200
yes
22
FEBRUARY 29, 2016
Distressed Exchange
16394
no
4091
yes
2813
yes
288
550
yes
yes
CREDIT POLICY
EXHIBIT 15

Bonds
(US$ mil)
Loans
(US$ mil)
In Jan 2015
cohort?
Company
Country
Default Type
Month
Edcon Holdings Limited
South Africa
Distressed Exchange
July
Edmentum, Inc.
United States
Distressed Exchange
June
Education Management LLC
United States
Distressed Exchange
January
ELO Touch Solutions, Inc.
United States
Distressed Exchange
September
Emeco Holdings Limited
Australia
Distressed Exchange
December
Emeco Pty Limited
Australia
Distressed Exchange
December
52
yes
Empresas ICA, S.A.B. de C.V.
Mexico
December
700
yes
Energy XXI Gulf Coast, Inc.
United States
Distressed Exchange
September
428
yes
Essar Steel Algoma Inc.
Canada
Bankruptcy
November
375
375
yes
Eurobank Ergasias S.A.
Greece
Bank Holiday
June
EXCO Resources, Inc.
United States
Distressed Exchange
October
577
yes
Ferrexpo Plc
Switzerland
Distressed Exchange
February
500
yes
General Shopping Brasil S.A.
Brazil
Distressed Exchange
October
86
yes
Getty Images, Inc.
United States
Distressed Exchange
December
Glorious Property Holdings Limited
China
Missed Principal And Interest Payments June
Goodrich Petroleum Corporation
United States
Distressed Exchange
September
Great Atlantic & Pacific Tea Co., Inc. (The) United States
Chapter 11
July
Halcon Resources Corporation
United States
Distressed Exchange
April
Heckler & Koch GmbH
Germany
Distressed Exchange
November
Hercules Offshore, Inc.
United States
August
Hidili Industry International Development

Ltd
China
Missed Principal And Interest Payments December
Kaisa Group Holdings Ltd
China
April
Liberty Tire Recycling Holdco, LLC
United States
Distressed Exchange
March
225
Lightstream Resources Ltd
Canada
Distressed Exchange
July
Linn Energy, LLC
United States
Distressed Exchange
November
Logan's Roadhouse Inc.
United States
Distressed Exchange
Magnetation LLC
United States
Magnum Hunter Resources Corporation
United States
456
217
yes
361
yes
1333
yes
15
yes
yes
1299
yes
240
482
yes
213
yes
270
no
yes
1793
yes
48
yes
1211
yes
183
yes
1292
yes
465
yes
1999
yes
October
107
yes
Chapter 11
May
425
yes
397
yes
Chapter 11
December
600
Maxcom Telecomunicaciones, S.A.B. de C.V. Mexico
Distressed Exchange
September
37
yes
Mega Energia Locacao e Admin. de Bens S.A.Brazil
January
27
yes
Metinvest B.V.
Netherlands
Missed Principal And Interest Payments March
114
Midstates Petroleum Company Inc.
United States
Distressed Exchange
May
630
Millennium Health, LLC
United States
November
1775
yes
MMM Holdings, LLC
Puerto Rico
September
475
yes
Molycorp, Inc.
United States
Chapter 11
June
1405
50
yes
National Bank of Greece S.A.
Greece
Bank Holiday
June
708
yes
Norske Skogindustrier ASA
Norway
Distressed Exchange
February
774
yes
NOTA BANK
Russia
Payment Moratorium
October
88
yes
23
FEBRUARY 29, 2016
113
yes
yes
yes
CREDIT POLICY
EXHIBIT 15

Bonds
(US$ mil)
Loans
(US$ mil)
In Jan 2015
cohort?
Company
Country
Default Type
Month
Novo Banco, S.A.
Portugal
December
NYDJ Apparel, LLC
United States
Distressed Exchange
June
OAS S.A.
Brazil
February
1775
Ocean Rig UDW Inc.
Cyprus
Distressed Exchange
December
268
Offshore Group Investment Limited
United States
Chapter 11
December
1793
815
yes
Patriot Coal Corporation
United States
Chapter 11
May
282
200
yes
Piraeus Bank S.A.
Greece
Bank Holiday
June
629
yes
Privatbank
Ukraine
Missed Principal And Interest Payments September
350
yes
ProbusinessBank
Russia
August
781
yes
Quicksilver Resources Inc.
United States
Chapter 11
March
1173
625
yes
Quiksilver, Inc.
United States
September
505
70
yes
RAAM Global Energy Company
United States
May
238
RadioShack Corporation
United States
Chapter 11
February
Russian Standard Bank
Russia
Distressed Exchange
October
550
Sabine Oil & Gas Corporation
United States
May
Samson Investment Company
United States
September
SandRidge Energy, Inc.
United States
Distressed Exchange
August
Savings Bank of Ukraine
Ukraine
Distressed Exchange
September
SB Bank
Russia
Deposit Freeze
January
Shale-Inland Holdings, LLC
United States
Distressed Exchange
September
Sheridan Investment Partners II, LP
United States
Distressed Exchange
November
Swift Energy Company
United States
December
Towergate Finance plc
United Kingdom Bankruptcy
March
Tunica-Biloxi Gaming Authority
United States
June
150
yes
Ukreximbank
Ukraine
Missed Principal And Interest Payments April
1475
yes
Venoco, Inc.
United States
Distressed Exchange
April
194
Verso Paper Holdings LLC
United States
Distressed Exchange
January
401
Viver Incorporadora e Construtora S.A.
Brazil
May
Vneshprombank
Russia
Payment Moratorium
December
Walter Energy, Inc.
United States
Chapter 11
July
Warren Resources, Inc.
United States
Distressed Exchange
May
70
United States
Distressed Exchange
October
63
Wilton Brands LLC
United States
Distressed Exchange
August
Winsway Coking Coal Holdings Limited
China
May
309
yes
Zlomrex S.A.
Poland
Distressed Exchange
December
102
yes
2150
yes
50
Yes
yes
yes
yes
575
yes
yes
928
1601
yes
2250
1950
yes
846
1200
yes
100
118
yes
yes
29
yes
70
yes
875
500
yes
1408
128
yes
yes
0
yes
79
yes
473
yes
2700
978
yes
yes
no
346
yes
1. This list only includes companies that have rated bonds, loans and/or deposits within one year prior to default.
2. The list does not include American Medias distressed exchange in January 2015 because it is viewed as part of the default in August 2014. However, the $32 million bonds that were
exchanged in January 2015 are included in the 2015 default volume.
3. Only issuers included in the Jan 1st cohort are included in the annual default rates in this report.
24
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 16*
Annual Moodys-Rated Global Corporate Issuer Default Counts, 1920-2015*

Year
Year
Inv-Grade
Spec-Grade
All-Rated
1920
Inv-Grade Spec-Grade All-Rated
25
33
1952
Year
1984
Inv-Grade Spec-Grade All-Rated
11
13
1921
25
32
1953
1985
16
16
1922
10
23
33
1954
1986
33
36
1923
22
27
1955
1987
31
31
1924
37
40
1956
1988
33
33
1925
34
41
1957
1989
50
54
1926
18
22
1958
1990
87
88
1927
15
16
1959
1991
67
68
1928
1960
1992
33
33
1929
12
15
1961
1993
23
23
1930
21
23
1962
1994
17
17
1931
78
84
1963
1995
29
29
1932
10
108
118
1964
1996
18
18
1933
188
197
1965
1997
24
24
1934
60
65
1966
1998
51
52
1935
51
60
1967
1999
106
107
1936
19
22
1968
2000
122
126
1937
18
22
1969
2001
183
187
1938
17
26
1970
25
27
2002
14
131
145
1939
13
15
1971
2003
87
87
1940
22
24
1972
2004
41
41
1941
10
10
1973
2005
31
33
1942
1974
2006
31
31
1943
1975
2007
18
18
1944
1976
2008
21
118
139
1945
1977
2009
14
258
272
1946
1978
2010
63
66
1947
1979
2011
41
48
1948
1980
2012
67
68
1949
1981
2013
67
70
1950
1982
11
13
2014
52
54
1951
1983
13
13
2015
103
103
* Only includes issuers in the Jan 1st cohort.
25
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 17
Annual Rated Global Corporate Bond and Loan Default Volumes, 1970-2015*
Investment Grade
Speculative Grade
All Ratings
Year
Bond
Loan
Total
Bond
Loan
Total
Bond
Loan
Total
1970
$154
$0
$154
$823
$0
$823
$977
$0
$977
1971
$0
$0
$0
$132
$0
$132
$132
$0
$132
1972
$0
$0
$0
$268
$0
$268
$268
$0
$268
1973
$17
$0
$17
$94
$0
$94
$112
$0
$112
1974
$0
$0
$0
$69
$0
$69
$69
$0
$69
1975
$0
$0
$0
$273
$0
$273
$273
$0
$273
1976
$0
$0
$0
$37
$0
$37
$37
$0
$37
1977
$68
$0
$68
$185
$0
$185
$253
$0
$253
1978
$0
$0
$0
$112
$0
$112
$112
$0
$112
1979
$0
$0
$0
$18
$0
$18
$18
$0
$18
1980
$0
$0
$0
$311
$0
$311
$311
$0
$311
1981
$0
$0
$0
$47
$0
$47
$47
$0
$47
1982
$218
$0
$218
$454
$0
$454
$672
$0
$672
1983
$0
$0
$0
$1,180
$0
$1,180
$1,180
$0
$1,180
1984
$215
$0
$215
$378
$0
$378
$594
$0
$594
1985
$0
$0
$0
$1,344
$0
$1,344
$1,344
$0
$1,344
1986
$138
$0
$138
$3,758
$0
$3,758
$3,896
$0
$3,896
1987
$0
$0
$0
$8,663
$242
$8,905
$8,663
$242
$8,905
1988
$0
$0
$0
$5,494
$361
$5,855
$5,494
$361
$5,855
1989
$1,506
$0
$1,506
$9,657
$0
$9,657
$11,162
$0
$11,162
1990
$0
$0
$0
$20,243
$1,831
$22,074
$20,243
$1,831
$22,074
1991
$1,348
$0
$1,348
$14,929
$678
$15,607
$16,277
$678
$16,955
1992
$0
$0
$0
$6,507
$956
$7,463
$6,507
$956
$7,463
1993
$0
$0
$0
$2,617
$487
$3,103
$2,617
$487
$3,103
1994
$0
$0
$0
$2,687
$299
$2,986
$2,687
$299
$2,986
1995
$0
$0
$0
$5,338
$372
$5,710
$5,338
$372
$5,710
1996
$0
$0
$0
$4,111
$1,435
$5,546
$4,111
$1,435
$5,546
1997
$0
$0
$0
$5,019
$948
$5,967
$5,019
$948
$5,967
1998
$399
$0
$399
$9,449
$3,299
$12,748
$9,848
$3,299
$13,147
1999
$450
$1,225
$1,675
$26,111
$14,107
$40,219
$26,561
$15,332
$41,894
2000
$4,014
$3,950
$7,964
$24,844
$26,206
$51,049
$28,858
$30,156
$59,014
2001
$20,099
$5,363
$25,462
$78,684
$34,103
$112,787
$98,783
$39,466
$138,250
2002
$44,214
$13,622
$57,836
$101,526
$39,773
$141,299
$145,740
$53,395
$199,135
2003
$0
$0
$0
$35,743
$11,003
$46,746
$35,743
$11,003
$46,746
2004
$0
$0
$0
$12,233
$4,712
$16,946
$12,233
$4,712
$16,946
2005
$2,155
$2,825
$4,980
$25,851
$8,745
$34,596
$28,006
$11,570
$39,576
2006
$0
$0
$0
$7,758
$2,630
$10,388
$7,758
$2,630
$10,388
2007
$0
$0
$0
$4,755
$1,983
$6,738
$4,755
$1,983
$6,738
26
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 17
Annual Rated Global Corporate Bond and Loan Default Volumes, 1970-2015*
Investment Grade
Year
Speculative Grade
Bond
Loan
Total
Bond
2008
$182,073
$10,380
$192,452
$55,010
2009
$35,704
$21,931
$57,634
$150,287
2010
$4,047
$0
$4,047
$21,761
2011
$8,398
$1,411
$9,809
2012
$323
$0
$323
2013
$2,408
$0
$2,408
2014
$939
$0
$939
2015
$0
$0
$0
$77,007
All Ratings
Loan
Total
Bond
Loan
Total
$32,322
$87,332
$237,083
$42,701
$279,784
$124,514
$274,802
$185,991
$146,445
$332,436
$13,957
$35,718
$25,808
$13,957
$39,765
$22,108
$4,906
$27,014
$30,506
$6,317
$36,823
$45,313
$18,289
$63,602
$45,636
$18,289
$63,925
$31,918
$17,910
$49,828
$34,326
$17,910
$52,236
$38,465
$28,230
$66,695
$39,404
$28,230
$67,634
$20,089
$97,096
$77,007
$20,089
$97,096
* Default volume in millions of USD

** only include companies in the Jan 1st cohort
EXHIBIT 18
Annual Issuer Default Counts and Volume Totals by Geographical Region, 1986-2015*
Issuer Counts
Dollar Volumes (US$ mil)
Africa &
Middle East
Asia Pacific
Europe
Latin
America
North
America
Africa &
Middle East
Asia Pacific
Europe
Latin
America
North
America
1986
38
$0
$0
$0
$0
$3,896
1987
33
$0
$0
$0
$0
$8,985
1988
33
$0
$0
$0
$0
$5,855
1989
51
$0
$969
$0
$0
$10,253
1990
88
$0
$200
$516
$0
$21,874
1991
72
$0
$0
$1,228
$0
$16,136
1992
34
$0
$0
$0
$0
$7,513
1993
24
$0
$0
$0
$0
$3,104
1994
16
$0
$0
$774
$0
$2,212
1995
30
$0
$0
$0
$100
$5,711
1996
18
$0
$0
$0
$207
$5,834
1997
20
$0
$614
$0
$310
$5,044
1998
43
$0
$1,444
$707
$0
$11,221
1999
86
$0
$4,339
$3,950
$2,018
$33,330
2000
118
$0
$3,968
$866
$305
$53,941
2001
15
15
150
$2,758
$7,832
$10,540
$1,909
$115,524
2002
25
17
102
$0
$1,842
$44,761
$10,424
$142,808
2003
11
68
$0
$550
$3,296
$4,152
$38,948
2004
36
$183
$0
$2,521
$1,093
$13,918
2005
33
$0
$0
$207
$100
$39,508
2006
23
$0
$0
$1,601
$167
$9,113
2007
15
$0
$0
$771
$0
$5,967
2008
51
92
$0
$625
$54,356
$555
$228,180
Year
27
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 18
Annual Issuer Default Counts and Volume Totals by Geographical Region, 1986-2015*
Issuer Counts
Dollar Volumes (US$ mil)
Africa &
Middle East
Asia Pacific
Europe
Latin
America
North
America
Africa &
Middle East
Asia Pacific
2009
16
32
11
235
$650
2010
11
55
$0
2011
16
35
2012
11
2013
25
Year
Europe
Latin
America
North
America
$6,989
$28,183
$3,031
$294,682
$6,913
$10,490
$487
$25,445
$0
$0
$10,064
$358
$26,599
51
$48
$1,805
$15,525
$4,066
$44,286
37
$0
$546
$24,095
$4,505
$23,091
2014
13
32
$350
$3,397
$11,587
$2,939
$53,092
2015
27
10
62
$456
$3,433
$15,284
$5,152
$73,557
* Includes issuers outside of the January 1 cohorts.

EXHIBIT 19
2015 Defaulted Corporates Bond and Loan Recoveries*

Bank Loans
1st Lien
2nd Lien
Bonds
1st Lien
2nd Lien
Sr. Unsec.
Company
Default Type
Affinion Group Holdings, Inc.**
Distressed exchange
20.0%
Afren PLC
Missed principal and

interest payments
45.0%
Agropecuaria Nossa Senhora do Carmo S.A.
Missed interest
payment
20.0%
Allied Nevada Gold Corp.
Alpha Bank AE
Bank holiday
73.6%
Distressed exchange
32.4%
Altegrity, Inc.
Missed interest
payment
American Apparel, Inc.
American Energy - Woodford, LLC
Distressed exchange
American Media, Inc.
Distressed exchange
Anchor Hocking, LLC
Armtec Holdings
Missed interest
payment
11.0%
Automotores Gildemeister S.A.
Missed interest
payment
37.3%
Baoding Tianwei Group Co Ltd
Missed interest
payment
90.1%
Berau Coal Energy TBK (P.T.)
Bankruptcy
61.0%
Black Elk Energy Offshore Operations, LLC
Chapter 11
BPZ Resources Inc.
Chapter 11
16.8%
California Resources Corp.
Distressed exchange
43.3%
Ceagro Agricola Ltd.
Missed interest
payment
CFG Investment S.A.C.
Liquidated
Chassix Holdings, Inc.
Chassix Inc.
CHC Helicopter S.A.
Distressed exchange
49.0%
Chesapeake Energy Corporation
Distressed exchange
32.4%
Cimento Tupi S.A.
Missed interest
payment
44.3%
28
FEBRUARY 29, 2016
Sr. Sub.
Sub.
Jr Sub.
70.5%
14.0%
35.0%
3.5%
25.0%
94.1%
101.0%
44.0%
85.5%
80.5%
59.0%
43.0%
99.0%
36.5%
29.5%
22.5%
47.3%
4.8%
78.5%
CREDIT POLICY
EXHIBIT 19

Bank Loans
1st Lien
Bonds
2nd Lien
1st Lien
2nd Lien
Sr. Unsec.
Company
Default Type
Colt Defense LLC
Chapter 11
Connacher Oil and Gas Limited
Missed interest
payment
Dex Media, Inc.
Missed interest
payment
Drill Rigs Holdings Inc.
Distressed exchange
DTEK ENERGY B.V.
Distressed exchange
Edmentum, Inc.
Distressed exchange
Emeco Pty Limited
Distressed exchange
Empresas ICA, S.A.B. de C.V.
Missed interest
payment
11.4%
Energy XXI Gulf Coast, Inc.
Distressed exchange
22.0%
Essar Steel Algoma Inc.
Bankruptcy
Eurobank Ergasias S.A.
Bank holiday
91.7%
EXCO Resources, Inc.
Distressed exchange
27.1%
Ferrexpo Plc
Distressed exchange
77.0%
General Shopping Brasil S.A.
Distressed exchange
46.6%
Getty Images, Inc.
Distressed exchange
33.5%
Goodrich Petroleum Corporation
Distressed exchange
23.1%
Halcon Resources Corporation
Distressed exchange
45.1%
Harrah's Operating Company, Inc.
Hercules Offshore, Inc.
35.7%
Kaisa Group Holdings Ltd
Missed interest
payment
64.4%
Liberty Tire Recycling Holdco, LLC
Distressed exchange
80.0%
Lightstream Resources Ltd
Distressed exchange
51.5%
Linn Energy, LLC
Distressed exchange
22.6%
Logan's Roadhouse Inc.
Distressed exchange
Lupatech S.A.
Bankruptcy
Magnetation LLC
Chapter 11
Magnum Hunter Resources Corporation
Chapter 11
Maxcom Telecomunicaciones, S.A.B. de C.V.
Distressed exchange
Metinvest B.V.

interest payments
61.0%
Midstates Petroleum Company Inc.
Distressed exchange
46.8%
Millennium Health, LLC
42.7%
MMM Holdings, LLC
Missed interest
payment
74.8%
Molycorp, Inc.
Chapter 11
National Bank of Greece S.A.
Bank holiday
Norske Skogindustrier ASA
Distressed exchange
73.1%
Novo Banco, S.A.
Seized by regulators
31.0%
OAS S.A.
Missed interest
payment
12.9%
Ocean Rig UDW Inc.
Distressed exchange
68.0%
Offshore Group Investment Limited
Chapter 11
21.2%
Patriot Coal Corporation
Chapter 11
54.5%
Piraeus Bank S.A.
Bank holiday
29
FEBRUARY 29, 2016
Sr. Sub.
Sub.
Jr Sub.
32.0%
86.8%
10.0%
4.8%
68.0%
70.0%
47.1%
56.5%
56.8%
9.0%
73.5%
0.0%
17.3%
74.0%
23.4%
66.0%
5.0%
34.0%
100.0%
53.7%
24.5%
55.5%
15.9%
1.0%
80.9%
21.7%
64.8%
51.0%
CREDIT POLICY
EXHIBIT 19

Bank Loans
1st Lien
Bonds
2nd Lien
1st Lien
2nd Lien
Sr. Unsec.
Company
Default Type
Privatbank

interest payments
Quicksilver Resources Inc.
Chapter 11
56.5%
13.5%
Quiksilver, Inc.
80.0%
8.3%
RAAM Global Energy Company
Missed interest
payment
21.5%
RadioShack Corporation
Chapter 11
Russian Standard Bank
Distressed exchange
Sabine Oil & Gas Corporation
Missed interest
payment
36.4%
Samson Investment Company
Missed interest
payment
91.0%
SandRidge Energy, Inc.
Distressed exchange
Savings Bank of Ukraine
Distressed exchange
Shale-Inland Holdings, LLC
Distressed exchange
Sheridan Investment Partners II, LP
Distressed exchange
Sinosteel Corporation Limited
Missed interest
payment
Swift Energy Company
Missed interest
payment
Tonon Bioenergia S.A.
Bankruptcy
50.0%
22.0%
Towergate Finance plc
Bankruptcy
96.3%
2.0%
Tunica-Biloxi Gaming Authority
Missed interest
payment
Ukreximbank

interest payments
79.4%
Venoco, Inc.
Distressed exchange
45.0%
Verso Paper Holdings LLC
Distressed exchange
Vneshprombank
Payment moratorium
Walter Energy, Inc.
Chapter 11
Distressed exchange
49.0%
Distressed exchange
17.0%
Winsway Coking Coal Holdings Limited
Missed interest
payment
Xinergy Corp.
Bankruptcy
Sr. Sub.
72.5%
98.0%
Sub.
Jr Sub.
61.5%
1.0%
11.5%
30.0%
21.5%
10.6%
1.4%
19.8%
85.5%
73.3%
64.1%
73.4%
7.8%
52.0%
55.0%
64.3%
61.8%
3.2%
47.4%
23.5%
1.3%
28.5%
48.0%
* Measured by trading prices.

** Affinion Groups 1st lien bond is a PIKed debt.
EXHIBIT 20
Annual Defaulted Corporate Bond and Loan Recoveries*

Loan
Year
Sr. Sec. (1st Lien)
1983
Bond
Sr. Sec. (1st Lien)
Sr. Unsec.
Sr. Sub.
Sub.
40.0%
52.7%
43.5%
41.1%
44.5%
49.4%
67.9%
44.3%
45.5%
60.2%
29.6%
39.7%
1984
1985
30
83.6%
FEBRUARY 29, 2016
Jr. Sub.
48.5%
All Bonds
43.6%
CREDIT POLICY
EXHIBIT 20
Annual Defaulted Corporate Bond and Loan Recoveries*

Loan
Year
Bond
Sr. Sec. (1st Lien)
Sr. Sec. (1st Lien)
Sr. Unsec.
Sr. Sub.
Sub.
Jr. Sub.
All Bonds
1986
59.2%
50.4%
46.8%
40.4%
46.8%
1987
71.0%
63.8%
46.5%
46.9%
51.3%
1988
55.4%
45.2%
31.4%
33.8%
36.5%
38.5%
1989
46.5%
43.6%
35.7%
26.8%
16.9%
32.5%
72.0%
33.8%
38.2%
25.5%
19.6%
10.7%
25.8%
1991
67.9%
48.4%
36.7%
41.8%
24.4%
7.8%
35.5%
1992
60.6%
62.1%
49.2%
49.4%
38.0%
13.5%
45.9%
1993
53.4%
37.1%
51.9%
44.1%
1994
67.6%
69.3%
53.7%
29.6%
38.0%
1995
75.4%
62.0%
47.6%
34.3%
41.5%
1996
85.5%
47.6%
62.8%
43.8%
22.6%
1997
78.8%
72.0%
56.1%
44.7%
33.1%
30.6%
47.6%
1998
56.7%
46.8%
39.5%
45.0%
18.2%
62.0%
38.3%
1999
73.5%
39.1%
38.0%
26.9%
35.6%
2000
68.8%
38.6%
24.2%
20.8%
31.9%
7.0%
2001
64.9%
31.7%
21.2%
19.8%
15.9%
47.0%
2002
58.4%
50.6%
29.5%
21.4%
23.4%
29.5%
2003
73.4%
69.2%
41.9%
37.8%
12.3%
41.4%
2004
87.7%
73.3%
52.1%
42.3%
94.0%
58.5%
2005
83.8%
69.2%
54.9%
32.8%
51.3%
56.5%
2006
83.6%
74.6%
55.0%
41.4%
56.1%
55.0%
2007
68.6%
82.3%
53.7%
56.2%
0.0%
55.1%
2008
61.7%
52.5%
33.5%
23.3%
29.5%
34.1%
2009
53.6%
37.3%
37.1%
24.8%
45.3%
34.4%
2010
70.9%
57.6%
50.7%
37.5%
33.7%
51.5%
1990
43.1%
40.0%
45.6%
43.3%
41.5%
34.3%
25.1%
21.6%
2011
70.9%
70.5%
41.3%
36.7%
31.9%
45.7%
2012
66.4%
60.9%
43.1%
33.7%
37.3%
44.9%
2013
76.2%
71.4%
45.2%
20.7%
26.4%
46.9%
2014
78.4%
73.6%
46.4%
39.1%
38.8%
47.7%
2015
63.4%
53.5%
37.9%
36.6%
58.5%
14.0%
40.9%
* Based on trading prices.
31
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 21
Average Sr. Unsecured Bond Recovery Rates by Year Prior to Default, 1983-2015*
Year 1
Year 2
Year 3
Year 4
Year 5
n.a.
3.33%
3.33%
61.88%
69.58%
Aa
37.24%
39.02%
38.08%
43.95%
43.18%
30.36%
42.57%
44.97%
44.48%
44.17%
Baa
42.88%
44.42%
44.65%
44.60%
44.41%
Ba
44.51%
43.50%
42.63%
42.27%
42.37%
37.58%
36.62%
36.94%
37.34%
37.93%
Aaa**
Caa-C
37.96%
38.39%
38.44%
38.87%
38.98%
Investment Grade
40.02%
43.51%
44.39%
44.62%
44.41%
Speculative Grade
38.26%
38.12%
38.23%
38.60%
38.97%
All Rated
38.33%
38.45%
38.71%
39.15%
39.54%
* Issuer-weighted, based on post default trading prices

** The Aaa recovery rates are based on five observations, three of which are Icelandic banks that have an average recovery rate of 3.33%.
EXHIBIT 22
Average Cumulative Credit Loss Rates by Letter Rating, 1982-2015*

Year 1
Year 2
Year 3
Year 4
Year 5
0.00%
0.01%
0.01%
0.01%
0.02%
Aa
0.01%
0.04%
0.08%
0.12%
0.18%
0.04%
0.11%
0.22%
0.34%
0.49%
Baa
0.11%
0.28%
0.47%
0.70%
0.93%
Ba
0.53%
1.50%
2.71%
3.98%
5.08%
2.26%
5.43%
8.57%
11.33%
13.77%
Aaa
Caa-C
6.56%
11.54%
15.72%
18.96%
21.71%
Investment Grade
0.06%
0.15%
0.27%
0.40%
0.55%
Speculative Grade
2.60%
5.32%
7.90%
10.12%
12.01%
All Rated
1.00%
2.00%
2.92%
3.68%
4.32%
* Based on average default rates and senior unsecured bond recoveries measured on issuer-weighted basis
EXHIBIT 23
Annual Credit Loss Rates by Letter Rating, 1982-2015*

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv-Grade
Spec-Grade
All Rated
1983
0.00%
0.00%
0.00%
0.00%
0.55%
1.09%
20.01%
0.00%
1.92%
0.43%
1984
0.00%
0.00%
0.00%
0.32%
0.26%
2.70%
9.20%
0.09%
1.58%
0.44%
1985
0.00%
0.00%
0.00%
0.00%
0.35%
2.91%
2.66%
0.00%
1.50%
0.38%
1986
0.00%
0.00%
0.00%
0.43%
1.17%
5.22%
8.48%
0.10%
3.06%
0.91%
1987
0.00%
0.00%
0.00%
0.00%
1.10%
1.97%
3.56%
0.00%
1.56%
0.52%
1988
0.00%
0.00%
0.00%
0.00%
0.74%
3.25%
6.85%
0.00%
2.11%
0.76%
1989
0.00%
0.28%
0.00%
0.30%
1.67%
4.26%
11.47%
0.14%
3.33%
1.26%
1990
0.00%
0.00%
0.00%
0.16%
2.18%
8.45%
25.23%
0.04%
6.36%
2.16%
1991
0.00%
0.00%
0.00%
0.16%
2.44%
8.19%
9.48%
0.04%
5.67%
1.75%
32
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 23
Annual Credit Loss Rates by Letter Rating, 1982-2015*

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv-Grade
Spec-Grade
All Rated
1992
0.00%
0.00%
0.00%
0.00%
0.17%
3.73%
8.38%
0.00%
2.51%
0.68%
1993
0.00%
0.00%
0.00%
0.00%
0.39%
2.75%
8.51%
0.00%
2.14%
0.56%
1994
0.00%
0.00%
0.00%
0.00%
0.00%
1.94%
1.17%
0.00%
0.97%
0.27%
1995
0.00%
0.00%
0.00%
0.00%
0.14%
2.10%
5.46%
0.00%
1.60%
0.47%
1996
0.00%
0.00%
0.00%
0.00%
0.00%
0.56%
3.84%
0.00%
0.61%
0.19%
1997
0.00%
0.00%
0.00%
0.00%
0.08%
0.81%
4.27%
0.00%
0.80%
0.26%
1998
0.00%
0.00%
0.00%
0.07%
0.54%
2.34%
4.96%
0.02%
1.83%
0.69%
1999
0.00%
0.00%
0.00%
0.06%
0.93%
2.97%
9.96%
0.02%
3.29%
1.30%
2000
0.00%
0.00%
0.00%
0.27%
0.84%
4.36%
13.27%
0.10%
4.53%
1.83%
2001
0.00%
0.00%
0.12%
0.14%
0.91%
7.27%
22.86%
0.10%
7.47%
2.85%
2002
0.00%
0.00%
0.11%
0.72%
0.86%
3.22%
18.82%
0.30%
5.31%
2.03%
2003
0.00%
0.00%
0.00%
0.00%
0.51%
1.42%
11.56%
0.00%
2.96%
1.03%
2004
0.00%
0.00%
0.00%
0.00%
0.18%
0.38%
5.64%
0.00%
1.16%
0.40%
2005
0.00%
0.00%
0.00%
0.07%
0.00%
0.37%
3.28%
0.03%
0.78%
0.29%
2006
0.00%
0.00%
0.00%
0.00%
0.09%
0.48%
2.66%
0.00%
0.75%
0.27%
2007
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
2.15%
0.00%
0.42%
0.15%
2008
0.00%
0.34%
0.27%
0.68%
1.56%
2.66%
7.04%
0.42%
3.60%
1.67%
2009
0.00%
0.00%
0.15%
0.58%
1.11%
4.39%
16.47%
0.27%
7.61%
3.16%
2010
0.00%
0.00%
0.08%
0.04%
0.00%
0.19%
4.28%
0.05%
1.53%
0.63%
2011
0.00%
0.11%
0.00%
0.25%
0.09%
0.20%
3.28%
0.13%
1.13%
0.53%
2012
0.00%
0.00%
0.00%
0.04%
0.08%
0.31%
4.37%
0.02%
1.56%
0.70%
2013
0.00%
0.00%
0.05%
0.07%
0.32%
0.44%
3.44%
0.05%
1.43%
0.68%
2014
0.00%
0.00%
0.05%
0.03%
0.08%
0.21%
2.39%
0.03%
1.00%
0.49%
2015
0.00%
0.00%
0.00%
0.00%
0.18%
1.42%
3.89%
0.00%
2.16%
1.03%
Average
0.00%
0.02%
0.03%
0.13%
0.59%
2.50%
8.15%
0.06%
2.55%
0.93%
Max
0.00%
0.34%
0.27%
0.72%
2.44%
8.45%
25.23%
0.42%
7.61%
3.16%
Min
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
1.17%
0.00%
0.42%
0.15%
Caa
Ca-C
WR
Default
* Based on issuer-weighted average default rates and issuer-weighted senior unsecured bond recovery rates.
EXHIBIT 24
2015 One-Year Letter Rating Migration Rates

From/To:
Aaa
Aa
Baa
Ba
Aaa
94.444%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
5.556%
0.000%
Aa
0.331%
90.728%
5.960%
0.000%
0.000%
0.000%
0.000%
0.000%
2.980%
0.000%
0.000%
1.870%
89.512%
5.610%
0.000%
0.000%
0.000%
0.000%
3.008%
0.000%
Baa
0.000%
0.000%
4.737%
86.491%
4.971%
0.117%
0.000%
0.000%
3.684%
0.000%
Ba
0.000%
0.000%
0.000%
5.518%
75.908%
9.152%
0.673%
0.269%
8.210%
0.269%
0.000%
0.000%
0.000%
0.462%
4.713%
74.399%
8.410%
0.647%
9.242%
2.126%
Caa
0.000%
0.000%
0.000%
0.000%
0.077%
3.318%
74.306%
3.395%
13.966%
4.938%
Ca-C
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
15.000%
50.000%
11.667%
23.333%
33
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 25
Average One-Year Letter Rating Migration Rates, 1920-2015

From/To:
Aaa
Aa
Baa
Ba
Caa
Ca-C
WR
Default
Aaa
86.682%
7.906%
0.801%
0.184%
0.030%
0.002%
0.000%
0.000%
4.396%
0.000%
Aa
1.063%
84.089%
7.662%
0.738%
0.162%
0.047%
0.013%
0.004%
6.161%
0.061%
0.071%
2.789%
84.842%
5.569%
0.667%
0.121%
0.037%
0.008%
5.808%
0.086%
Baa
0.037%
0.249%
4.321%
82.533%
4.571%
0.732%
0.132%
0.018%
7.142%
0.266%
Ba
0.006%
0.074%
0.514%
6.184%
73.871%
6.834%
0.649%
0.093%
10.601%
1.173%
0.005%
0.046%
0.165%
0.623%
5.617%
71.666%
6.078%
0.487%
12.010%
3.303%
Caa
0.000%
0.011%
0.029%
0.139%
0.606%
7.163%
66.802%
2.928%
13.788%
8.532%
Ca-C
0.000%
0.016%
0.109%
0.038%
0.617%
2.983%
8.484%
48.574%
19.209%
19.968%
EXHIBIT 26
Average One-Year Letter Rating Migration Rates, 1970-2015

From/To:
Aaa
Aa
Baa
Ba
Caa
Ca-C
WR
Default
Aaa
87.480%
8.135%
0.590%
0.058%
0.024%
0.003%
0.000%
0.000%
3.709%
0.000%
Aa
0.833%
85.151%
8.448%
0.438%
0.064%
0.036%
0.017%
0.001%
4.991%
0.021%
0.056%
2.572%
86.601%
5.366%
0.510%
0.113%
0.043%
0.005%
4.679%
0.056%
Baa
0.036%
0.159%
4.296%
85.442%
3.744%
0.694%
0.163%
0.021%
5.261%
0.183%
Ba
0.006%
0.044%
0.466%
6.174%
76.172%
7.173%
0.679%
0.124%
8.246%
0.916%
0.008%
0.032%
0.149%
0.449%
4.784%
73.515%
6.486%
0.562%
10.604%
3.412%
Caa
0.000%
0.009%
0.027%
0.108%
0.416%
7.021%
66.772%
2.806%
14.321%
8.521%
Ca-C
0.000%
0.000%
0.056%
0.000%
0.623%
2.461%
9.468%
39.589%
23.714%
24.089%
EXHIBIT 27
Average Five-Year Letter Rating Migration Rates, 1970-2015*

From/To:
Aaa
Aa
Baa
Ba
Caa
Ca-C
WR
Default
Aaa
52.910%
23.673%
5.160%
0.661%
0.324%
0.031%
0.047%
0.000%
17.118%
0.076%
Aa
2.263%
45.924%
22.999%
3.982%
0.840%
0.285%
0.129%
0.030%
23.287%
0.261%
0.202%
7.608%
50.997%
14.393%
2.545%
0.803%
0.174%
0.019%
22.551%
0.707%
Baa
0.177%
1.146%
12.599%
48.628%
7.715%
2.608%
0.572%
0.090%
24.937%
1.528%
Ba
0.035%
0.206%
2.817%
14.060%
27.563%
11.168%
1.913%
0.120%
35.164%
6.953%
0.026%
0.077%
0.496%
2.504%
7.360%
21.727%
5.966%
0.653%
43.767%
17.426%
Caa
0.000%
0.000%
0.142%
0.827%
2.072%
8.077%
11.861%
1.016%
47.701%
28.304%
Ca-C
0.000%
0.000%
0.029%
0.584%
1.955%
5.068%
2.957%
3.434%
53.001%
32.973%
* Last cohort formed on 1/1/2011
34
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 28
2015 One-Year Alphanumeric Rating Migration Rates*

From/To:
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca-C
WR
Default
Aaa
94.444
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
5.556
0.000
Aa1
0.000
82.353
9.804
5.882
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.961
0.000
Aa2
0.000
3.279
86.885
6.557
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.279
0.000
Aa3
0.526
0.000
17.895 68.947
6.842
2.632
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.158
0.000
A1
0.000
0.000
83.803
4.930
1.761
0.000
0.000
0.352
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.521
0.000
1.761
3.873
A2
0.000
0.000
0.652
0.435
6.957
81.087
6.522
1.304
0.435
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.609
0.000
A3
0.000
0.000
0.000
0.412
3.086
6.173
74.897 10.700
1.235
0.412
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.086
0.000
Baa1
0.000
0.000
0.000
0.000
0.202
0.605
11.492
75.000
7.460
1.613
0.202
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.427
0.000
Baa2
0.000
0.000
0.000
0.000
0.000
0.153
2.147
9.049
69.479 11.963
2.607
0.613
0.767
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.221
0.000
Baa3
0.000
0.000
0.000
0.000
0.000
0.000
0.890
1.779
8.541
73.665
8.897
1.423
0.000
0.356
0.000
0.000
0.000
0.000
0.000
0.000
4.448
0.000
Ba1
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.266
10.970 64.557
8.861
4.219
0.844
0.000
1.688
0.000
0.000
0.000
0.000
6.751
0.844
Ba2
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.463
0.463
3.241
7.870
64.815
9.259
5.093
0.926
0.000
0.463
0.000
0.463
0.000
6.944
0.000
Ba3
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.345
0.690
2.414
9.310
58.276
11.724
3.448
1.724
0.000
1.034
0.000
0.690
10.345
0.000
B1
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.951
10.492 61.639
7.869
5.902
1.639
0.984
0.000
0.000
7.869
0.656
B2
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.201
0.000
0.901
1.201
8.709
62.162
7.508
4.204
1.502
1.502
0.300
7.808
3.003
B3
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.225
0.000
0.000
0.676
4.054
7.207
59.459
9.685
2.928
0.676
1.351
11.261
2.477
Caa1
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.144
0.000
0.000
0.144
1.009
3.602
63.545 10.086
1.873
1.297
14.841
3.458
Caa2
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.160
6.263
62.203
6.695
4.968
12.743
4.968
Caa3
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.158
6.475
56.835
8.633
13.669
12.230
Ca-C
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
8.333
5.000
1.667
50.000 11.667
23.333
* Data in percent
35
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 29
Average One-Year Alphanumeric Rating Migration Rates, 1983-2015*

From/To:
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca-C
WR
Default
Aaa
86.538
5.543
2.477
0.579
0.278
0.156
0.021
0.046
0.000
0.025
0.015
0.015
0.000
0.002
0.000
0.002
0.000
0.000
0.000
0.000
4.306
0.000
Aa1
1.753
75.967
8.075
6.101
1.579
0.883
0.195
0.132
0.081
0.011
0.038
0.000
0.013
0.040
0.027
0.009
0.025
0.018
0.000
0.000
5.052
0.000
Aa2
1.072
4.496
72.722
10.292
3.691
1.748
0.414
0.096
0.170
0.075
0.030
0.017
0.000
0.028
0.007
0.025
0.000
0.020
0.000
0.003
5.094
0.000
Aa3
0.166
1.093
4.097
75.405
8.266
3.752
0.857
0.251
0.260
0.130
0.028
0.033
0.015
0.011
0.000
0.000
0.002
0.006
0.000
0.000
5.581
0.046
A1
0.057
0.109
1.066
5.277
75.284
7.819
2.927
0.666
0.463
0.227
0.199
0.134
0.051
0.064
0.016
0.011
0.017
0.009
0.007
0.000
5.526
0.074
A2
0.059
0.032
0.214
1.124
5.310
76.075
7.553
2.763
1.061
0.410
0.196
0.130
0.188
0.059
0.036
0.010
0.019
0.026
0.006
0.000
4.680
0.050
A3
0.050
0.050
0.102
0.335
1.668
6.488
74.370
6.819
2.898
0.977
0.407
0.169
0.145
0.128
0.039
0.016
0.033
0.012
0.004
0.017
5.212
0.059
Baa1
0.028
0.028
0.090
0.142
0.251
1.828
6.830
73.738
7.203
2.599
0.712
0.348
0.260
0.292
0.070
0.037
0.062
0.036
0.008
0.026
5.271
0.140
Baa2
0.042
0.045
0.022
0.072
0.203
0.648
2.238
6.426
74.846
6.522
1.432
0.594
0.473
0.368
0.213
0.090
0.123
0.015
0.020
0.008
5.413
0.187
Baa3
0.031
0.007
0.019
0.046
0.088
0.199
0.524
2.055
8.657
72.480
4.809
2.073
1.061
0.713
0.283
0.274
0.145
0.084
0.070
0.045
6.067
0.273
Ba1
0.019
0.002
0.019
0.019
0.175
0.161
0.240
0.823
2.741
10.044 64.936
4.950
4.277
1.646
0.629
0.535
0.117
0.207
0.033
0.134
7.844
0.449
Ba2
0.000
0.000
0.020
0.030
0.098
0.156
0.163
0.429
0.758
3.728
7.816
63.385
6.812
3.883
1.348
0.916
0.298
0.228
0.096
0.163
8.948
0.726
Ba3
0.000
0.015
0.009
0.015
0.072
0.191
0.210
0.104
0.475
0.802
2.894
6.518
64.060
7.228
3.310
1.944
0.572
0.435
0.087
0.140
9.490
1.429
B1
0.010
0.010
0.017
0.012
0.056
0.028
0.084
0.098
0.226
0.301
0.787
2.936
6.202
63.682
6.314
4.407
1.285
0.733
0.220
0.267
10.238
2.086
B2
0.000
0.014
0.000
0.014
0.019
0.024
0.109
0.139
0.150
0.244
0.209
0.736
2.073
7.109
62.047
7.923
3.611
1.703
0.438
0.501
9.891
3.046
B3
0.013
0.003
0.026
0.000
0.037
0.026
0.069
0.031
0.050
0.114
0.132
0.229
0.593
2.371
6.123
60.020
7.288
3.441
1.264
0.968
12.081
5.120
Caa1
0.000
0.016
0.000
0.000
0.000
0.016
0.003
0.025
0.003
0.042
0.081
0.136
0.257
0.447
1.441
7.792
59.072
7.955
2.657
1.590
13.656
4.811
Caa2
0.000
0.000
0.000
0.000
0.030
0.018
0.000
0.000
0.071
0.135
0.061
0.079
0.224
0.488
1.044
2.902
7.936
52.743
4.958
3.065
15.445 10.802
Caa3
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.094
0.047
0.063
0.173
0.282
1.357
3.647
8.369
43.745
8.267
14.825
Ca-C
0.000
0.000
0.000
0.000
0.000
0.024
0.033
0.000
0.000
0.000
0.195
0.171
0.269
0.090
0.261
2.061
2.509
3.559
3.584
19.131
38.809 24.173 24.263
* Data in percent.
36
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 30
Annual Issuer-Weighted Corporate Default Rates by Letter Rating, 1920-2015

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv Grade
Spec Grade
All rated
1920
0.000%
0.000%
0.323%
0.942%
2.153%
4.382%
0.000%
0.427%
3.009%
1.234%
1921
0.000%
0.189%
0.353%
0.648%
0.444%
2.683%
13.332%
0.387%
2.150%
1.068%
1922
0.000%
0.185%
0.165%
1.100%
1.078%
1.705%
7.629%
0.506%
1.762%
1.007%
1923
0.000%
0.000%
0.000%
0.622%
0.929%
2.270%
5.932%
0.244%
1.705%
0.804%
1924
0.000%
0.367%
0.000%
0.126%
2.065%
2.705%
12.835%
0.140%
2.852%
1.152%
1925
0.000%
0.000%
0.141%
0.707%
1.745%
2.585%
14.397%
0.321%
2.562%
1.171%
1926
0.000%
0.395%
0.147%
0.113%
1.387%
2.900%
3.704%
0.188%
1.909%
0.768%
1927
0.000%
0.000%
0.212%
0.000%
1.300%
1.980%
12.842%
0.069%
1.831%
0.736%
1928
0.000%
0.000%
0.000%
0.000%
0.164%
1.320%
10.477%
0.000%
0.877%
0.363%
1929
0.000%
0.293%
0.000%
0.446%
0.825%
0.918%
9.733%
0.242%
1.401%
0.715%
1930
0.000%
0.000%
0.000%
0.402%
0.917%
3.163%
7.720%
0.151%
2.204%
1.040%
1931
0.000%
0.000%
0.269%
1.085%
3.005%
9.523%
31.670%
0.502%
7.897%
3.805%
1932
0.000%
0.670%
1.099%
0.929%
6.097%
13.978%
24.062%
0.861%
10.989%
5.503%
1933
0.000%
0.000%
0.258%
1.771%
11.550%
16.147%
25.921%
0.790%
15.709%
8.489%
1934
0.000%
0.617%
0.306%
0.857%
2.529%
4.224%
16.504%
0.586%
5.897%
3.405%
1935
0.000%
0.000%
1.429%
1.923%
5.134%
4.275%
13.024%
1.285%
6.253%
3.935%
1936
0.000%
0.847%
0.543%
0.327%
1.234%
2.385%
7.795%
0.482%
2.720%
1.634%
1937
0.000%
0.000%
0.505%
1.043%
0.997%
2.669%
9.074%
0.619%
2.749%
1.723%
1938
0.000%
0.855%
1.639%
1.990%
0.991%
1.467%
12.808%
1.550%
2.599%
2.110%
1939
0.000%
0.000%
0.000%
0.995%
0.623%
1.744%
6.073%
0.412%
1.774%
1.224%
1940
0.000%
0.000%
0.000%
1.370%
0.433%
3.307%
11.829%
0.592%
3.562%
2.472%
1941
0.000%
0.000%
0.000%
0.000%
0.973%
0.813%
5.071%
0.000%
1.713%
1.085%
1942
0.000%
0.000%
0.000%
0.000%
0.000%
0.791%
2.004%
0.000%
0.736%
0.456%
1943
0.000%
0.000%
0.000%
0.000%
0.000%
1.359%
0.000%
0.000%
0.615%
0.370%
1944
0.000%
0.000%
0.000%
0.000%
0.000%
0.495%
2.551%
0.000%
0.666%
0.389%
1945
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
3.571%
0.000%
0.565%
0.306%
1946
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1947
0.000%
0.000%
0.000%
0.000%
0.000%
0.719%
2.778%
0.000%
0.636%
0.315%
1948
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1949
0.000%
0.000%
0.000%
0.000%
1.360%
1.031%
8.571%
0.000%
1.926%
0.837%
1950
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1951
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
4.762%
0.000%
0.433%
0.176%
1952
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1953
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1954
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
7.143%
0.000%
0.467%
0.166%
1955
0.000%
0.000%
0.000%
0.000%
0.000%
1.613%
0.000%
0.000%
0.518%
0.166%
1956
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1957
0.000%
0.000%
0.000%
0.000%
0.000%
1.266%
0.000%
0.000%
0.448%
0.143%
1958
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1959
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
37
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 30

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv Grade
Spec Grade
All rated
1960
0.000%
0.000%
0.000%
0.000%
1.251%
0.000%
0.000%
0.000%
0.750%
0.245%
1961
0.000%
0.000%
0.000%
0.000%
0.599%
0.000%
8.696%
0.000%
1.072%
0.354%
1962
0.000%
0.000%
0.000%
0.000%
1.749%
1.471%
0.000%
0.000%
1.516%
0.471%
1963
0.000%
0.000%
0.000%
0.000%
1.162%
1.471%
0.000%
0.000%
1.152%
0.352%
1964
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1965
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1966
0.000%
0.000%
0.000%
0.000%
0.000%
2.439%
0.000%
0.000%
0.439%
0.122%
1967
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1968
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
5.000%
0.000%
0.375%
0.106%
1969
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
1970
0.000%
0.000%
0.000%
0.543%
4.237%
19.444%
50.000%
0.271%
8.678%
2.631%
1971
0.000%
0.000%
0.000%
0.000%
0.885%
0.000%
12.500%
0.000%
1.155%
0.286%
1972
0.000%
0.000%
0.000%
0.000%
0.000%
6.897%
37.500%
0.000%
1.922%
0.453%
1973
0.000%
0.000%
0.000%
0.461%
0.000%
3.846%
37.500%
0.232%
1.280%
0.456%
1974
0.000%
0.000%
0.000%
0.000%
0.513%
7.162%
0.000%
0.000%
1.332%
0.275%
1975
0.000%
0.000%
0.000%
0.000%
1.029%
6.158%
0.000%
0.000%
1.742%
0.361%
1976
0.000%
0.000%
0.000%
0.000%
0.995%
0.000%
0.000%
0.000%
0.868%
0.176%
1977
0.000%
0.000%
0.000%
0.294%
0.543%
3.226%
33.333%
0.110%
1.360%
0.354%
1978
0.000%
0.000%
0.000%
0.000%
1.124%
5.405%
0.000%
0.000%
1.823%
0.354%
1979
0.000%
0.000%
0.000%
0.000%
0.513%
0.000%
0.000%
0.000%
0.435%
0.088%
1980
0.000%
0.000%
0.000%
0.000%
0.000%
5.000%
33.333%
0.000%
1.630%
0.344%
1981
0.000%
0.000%
0.000%
0.000%
0.000%
4.397%
0.000%
0.000%
0.698%
0.162%
1982
0.000%
0.000%
0.256%
0.329%
2.786%
2.222%
23.077%
0.214%
3.553%
1.040%
1983
0.000%
0.000%
0.000%
0.000%
1.163%
2.303%
42.308%
0.000%
4.061%
0.900%
1984
0.000%
0.000%
0.000%
0.625%
0.518%
5.340%
18.182%
0.175%
3.130%
0.869%
1985
0.000%
0.000%
0.000%
0.000%
0.872%
7.309%
6.667%
0.000%
3.773%
0.952%
1986
0.000%
0.000%
0.000%
0.870%
2.365%
10.536%
17.105%
0.211%
6.163%
1.830%
1987
0.000%
0.000%
0.000%
0.000%
3.024%
5.436%
9.823%
0.000%
4.299%
1.423%
1988
0.000%
0.000%
0.000%
0.000%
1.353%
5.934%
12.500%
0.000%
3.850%
1.393%
1989
0.000%
0.499%
0.000%
0.529%
2.957%
7.549%
20.334%
0.254%
5.901%
2.226%
1990
0.000%
0.000%
0.000%
0.265%
3.531%
13.667%
40.794%
0.060%
10.284%
3.492%
1991
0.000%
0.000%
0.000%
0.249%
3.848%
12.937%
14.974%
0.059%
8.952%
2.761%
1992
0.000%
0.000%
0.000%
0.000%
0.337%
7.345%
16.494%
0.000%
4.933%
1.337%
1993
0.000%
0.000%
0.000%
0.000%
0.622%
4.376%
13.531%
0.000%
3.404%
0.899%
1994
0.000%
0.000%
0.000%
0.000%
0.000%
4.191%
2.532%
0.000%
2.093%
0.582%
1995
0.000%
0.000%
0.000%
0.000%
0.267%
4.015%
10.423%
0.000%
3.062%
0.899%
1996
0.000%
0.000%
0.000%
0.000%
0.000%
1.502%
10.309%
0.000%
1.651%
0.506%
1997
0.000%
0.000%
0.000%
0.000%
0.175%
1.847%
9.735%
0.000%
1.815%
0.592%
1998
0.000%
0.000%
0.000%
0.109%
0.898%
3.871%
8.197%
0.035%
3.025%
1.136%
1999
0.000%
0.000%
0.000%
0.093%
1.505%
4.799%
16.068%
0.032%
5.308%
2.103%
38
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 30

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv Grade
Spec Grade
All rated
2000
0.000%
0.000%
0.000%
0.350%
1.111%
5.744%
17.492%
0.127%
5.971%
2.416%
2001
0.000%
0.000%
0.156%
0.180%
1.159%
9.232%
29.022%
0.124%
9.484%
3.624%
2002
0.000%
0.000%
0.161%
1.015%
1.215%
4.567%
26.708%
0.432%
7.533%
2.884%
2003
0.000%
0.000%
0.000%
0.000%
0.877%
2.450%
19.894%
0.000%
5.092%
1.768%
2004
0.000%
0.000%
0.000%
0.000%
0.378%
0.797%
11.773%
0.000%
2.418%
0.835%
2005
0.000%
0.000%
0.000%
0.163%
0.000%
0.815%
7.272%
0.061%
1.719%
0.647%
2006
0.000%
0.000%
0.000%
0.000%
0.193%
1.067%
5.910%
0.000%
1.666%
0.594%
2007
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
4.645%
0.000%
0.896%
0.331%
2008
0.000%
0.508%
0.406%
1.025%
2.339%
4.002%
10.591%
0.628%
5.416%
2.508%
2009
0.000%
0.000%
0.240%
0.930%
1.771%
6.983%
26.176%
0.429%
12.097%
5.015%
2010
0.000%
0.000%
0.170%
0.075%
0.000%
0.387%
8.682%
0.096%
3.100%
1.269%
2011
0.000%
0.193%
0.000%
0.428%
0.157%
0.349%
5.594%
0.218%
1.926%
0.904%
2012
0.000%
0.000%
0.000%
0.072%
0.142%
0.550%
7.678%
0.033%
2.750%
1.231%
2013
0.000%
0.000%
0.090%
0.121%
0.579%
0.808%
6.282%
0.096%
2.617%
1.235%
2014
0.000%
0.000%
0.088%
0.060%
0.142%
0.401%
4.468%
0.064%
1.872%
0.911%
2015
0.000%
0.000%
0.000%
0.000%
0.293%
2.285%
6.272%
0.000%
3.474%
1.662%
Mean
0.000%
0.059%
0.093%
0.273%
1.032%
3.197%
10.450%
0.149%
2.778%
1.137%
Median
0.000%
0.000%
0.000%
0.000%
0.561%
2.101%
7.699%
0.000%
1.827%
0.786%
St Dev
0.000%
0.176%
0.264%
0.458%
1.609%
3.819%
11.233%
0.274%
2.971%
1.365%
Min
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
Max
0.000%
0.855%
1.639%
1.990%
11.550%
19.444%
50.000%
1.550%
15.709%
8.489%
39
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 31
Annual Issuer-Weighted Corporate Default Rates by Alphanumeric Rating, 1983-2015*

Caa1
Caa2
Caa3
Ca-C
Inv
Spec
Grade Grade All rated
Year
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
1983
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.081
1.010
0.000
8.523
42.308
0.000
0.000 4.061
0.900
1984
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.835
0.000
1.667
0.000
6.494
0.000
3.333
18.182
0.000
0.175 3.130
0.869
1985
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.639
1.149
4.530
5.556
14.213
6.667
0.000
0.000 3.773
0.952
1986
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.813
1.935
1.235
1.099
4.002
8.592
7.407
15.798
17.105
0.000
0.211 6.163
1.830
1987
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
5.000
0.935
3.110
4.142
5.769
8.202
10.157
0.000
0.000 4.299
1.423
1988
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.757
4.218
4.524
11.272
10.526
50.000 0.000 3.850
1.393
1989
0.000
0.000
0.000
1.081
0.000
0.000
0.000
0.000
0.735
0.806
0.990
1.835
4.575
6.673
5.347 13.447
21.432
0.000
2.226
1990
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.971
1.064
5.837
3.518
6.784 16.845 24.854
41.729
33.333 0.060 10.284 3.492
1991
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.699
0.000
0.000
1.053
0.000
7.263
7.366
7.236 29.292
14.829
16.667 0.059 8.952
0.254 5.901
2.761
1992
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.763
1.409
1.429 23.630
18.409
7.692
0.000 4.933
1.337
1993
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.031
0.000
0.794
2.792
1.370
12.003
14.426
9.091
0.000 3.404
0.899
1994
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.509
2.705
9.504
1.538
7.143
0.000 2.093
0.582
1995
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.676
3.698
5.743
1.954
6.136
23.073 0.000 3.062
0.899
1996
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.379
1.259
3.993
11.135
5.882
0.000 1.651
0.506
8.590
15.188 0.000 1.815
0.592
8.057 33.333
5.263
0.035 3.025
1.136
1997
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.450
0.325
0.510
6.554
1998
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.292
0.000
0.000
1.156
1.541
2.681
4.440
5.248
1999
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.304
0.474
0.920
2.990
2.787
3.874
8.752 10.644 25.947 14.435
18.960 0.032 5.308
2.103
2000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.267
0.000
0.880
0.474
0.930
1.971
2.280
4.236
11.731 13.082 25.940 16.561
17.191
0.127 5.971
2.416
2001
0.000
0.000
0.000
0.000
0.000
0.410
0.000
0.276
0.249
0.000
0.000
0.993
2.544
3.256
9.640 15.567 26.484 28.140 37.888
30.767 0.124 9.484
3.624
2002
0.000
0.000
0.000
0.000
0.000
0.000
0.431
0.991
0.905
1.187
2.074
0.546
0.986
2.552
5.077
6.214
18.839 21.545 31.775
38.186 0.432 7.533
2.884
2003
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.541
0.617
1.385
0.699
2.329
4.731
8.816 22.388 27.419
28.775 0.000 5.092
1.768
2004
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.971
0.000
0.560
2.179
7.752
9.169
11.908
29.134 0.000 2.418
0.835
2005
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.218
0.288
0.000
0.000
0.000
0.000
0.508
1.998
3.792
7.135
23.482
13.816
0.061 1.719
0.647
2006
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.629
0.658
0.305
2.078
2.414
7.419
13.249
14.586 0.000 1.666
0.594
2007
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.507
9.990
9.930
29.252 0.000 0.896
0.331
2008
0.000
0.000
0.000
1.493
1.053
0.232
0.000
0.978
1.387
0.606
0.930
2.948
3.251
3.112
3.939
4.603
5.532
17.656 33.493
39.178 0.628 5.416
2.508
2009
0.000
0.000
0.000
0.000
0.000
0.000
0.693
1.026
0.868
0.902
1.450
1.213
2.557
3.447
6.799
9.419
12.158 34.230 51.209
63.641 0.429 12.097
5.015
2010
0.000
0.000
0.000
0.000
0.304
0.000
0.224
0.000
0.000
0.244
0.000
0.000
0.000
0.852
0.000
0.286
1.774
25.765 0.096 3.100
1.269
40
FEBRUARY 29, 2016
4.444
7.051
24.157
CREDIT POLICY
EXHIBIT 31
Annual Issuer-Weighted Corporate Default Rates by Alphanumeric Rating, 1983-2015*

Caa3
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
2011
0.000
0.000
0.000
0.418
0.000
0.000
0.000
0.000
0.388
0.866
0.000
0.578
0.000
0.000
0.467
0.523
1.945
7.389 12.484
21.382
0.218 1.926
0.904
2012
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.221
0.000
0.000
0.000
0.000
0.405
0.000
0.772
0.757
2.729
8.470 15.640
47.415 0.033 2.750
1.231
2013
0.000
0.000
0.000
0.000
0.000
0.000
0.225
0.000
0.159
0.192
0.000
0.000
1.566
0.719
1.249
0.629
2.268
6.627
56.556 0.096 2.617
1.235
2014
0.000
0.000
0.000
0.000
0.392
0.000
0.000
0.000
0.000
0.183
0.000
0.000
0.353
0.351
0.708
0.236
2.011
3.920 10.568
20.685 0.064 1.872
0.911
2015
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.905
0.000
0.000
0.703
3.245
2.656
3.869
5.350 13.427
24.915 0.000 3.474
1.662
Mean
0.000
0.000
0.000
0.091
0.053
0.019
0.048
0.135
0.182
0.339
0.522
0.694
1.615
2.576
3.450
8.005
3.941
15.139
11.765
21.016
0.095 4.355
1.568
Median
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.986
2.509
2.705
6.214
1.774
10.526
9.930
18.960
0.033 3.474
1.235
StDev
0.000
0.000
0.000
0.321
0.199
0.081
0.147
0.310
0.352
0.540
0.979
1.176
1.693
2.436
3.580
7.507
6.188
10.487 13.991
17.256
0.150
2.734
1.061
Min
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.538
0.000
0.000
0.000 0.896
0.331
Max
0.000
0.000
0.000
1.493
1.053
0.410
0.693
1.026
1.387
1.935
5.000
5.837
7.263
8.592
16.845 29.292 26.484 42.308 51.209
63.641
0.628 12.097
5.015
7.281
Ca-C
Inv
Spec
Grade Grade All rated
Year
* Data in percent. Moodys introduced alphanumerically modified Caa ratings in 1997. Caa letter ratings are mapped to Caa2 prior to 1997.
EXHIBIT 32
Average Cumulative Issuer-Weighted Global Default Rates by Letter Rating, 1920-2015*

Rating
Aaa
Aa
A
Baa
Ba
B
Caa-C
Inv Grade
Spec Grade
All rated
0.000
0.008
0.027
0.075
0.063
0.183
0.289
0.443
0.144
0.219
0.313
0.442
0.578
0.680
0.956
1.236
1.503
1.750
0.089
0.266
0.541
0.848
1.182
1.543
1.923
2.306
2.728
10
11
12
13
14
15
16
17
18
19
0.737
0.872
0.984
1.102
1.136
1.168
1.231
2.026
2.343
2.689
3.031
3.357
3.601
3.790
3.157
3.601
4.036
4.435
4.837
5.301
5.713
6.047
5.922
6.605
7.306
8.012
8.645
20
1.293
1.345
1.404
1.444
3.960
4.163
4.413
4.623
6.377
6.690
7.006
0.274
0.771
1.345
1.979
2.635
3.292
3.919
4.567
5.246
9.222
9.832 10.433
10.984 11.506
12.035
1.245
2.926
4.795
6.752
8.650
10.464
12.124
13.720
15.261
16.889 18.318
19.727 21.080
22.289 23.448
24.555 25.637
26.680 27.639
28.534
3.545
8.010
12.470
16.495 20.068
23.165 26.006
28.411 30.524
32.293 33.850
35.280 36.685
38.091 39.391
40.659 41.812
42.746 43.463
43.990
10.441 18.290
24.447
29.306 33.277
36.429 38.938
41.105 43.136
45.016 46.900
48.771 50.449
52.152 53.948
55.718 57.372
58.974 60.500
62.017
0.149
0.423
0.758
3.689
7.413
10.890
1.473
2.977
4.375
1.134
1.544
14.003 16.756
5.629
6.748
1.971
2.396
19.162 21.304
7.741
8.629
7.425
7.755
23.204 24.949
2.827
3.277
26.602 28.068
3.736
4.209
29.478 30.829
4.687
5.149
32.097 33.310
5.579
5.995
34.480 35.592
6.388
6.744
36.615 37.526
7.087
38.354
9.438 10.208
10.949 11.646
12.326 12.974
13.573 14.145
14.687 15.183
15.647 16.083
16.494
* Data in percent.
41
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 33

Rating
10
11
12
13
14
15
16
17
18
19
20
Aaa
0.000
0.011
0.011
0.031
0.087
0.141
0.198
0.259
0.325
0.396
0.471
0.551
0.632
0.677
0.725
0.776
0.830
0.849
0.849
0.849
Aa
0.022
0.061
0.112
0.196
0.305
0.420
0.540
0.646
0.725
0.807
0.907
1.038
1.188
1.305
1.394
1.490
1.611
1.769
2.020
2.266
0.056
0.170
0.357
0.555
0.794
1.063
1.345
1.652
1.982
2.313
2.643
2.962
3.292
3.643
4.050
4.453
4.859
5.283
5.677
6.087
Baa
0.185
0.480
0.831
1.252
1.668
2.105
2.525
2.972
3.476
4.033
4.634
5.287
5.961
6.618
7.273
7.997
8.743
9.469 10.128
10.734
Ba
0.959
2.587
4.501
6.538
8.442
10.220 11.788
13.311 14.852
16.455 18.014
19.567 21.017
22.434 23.930
25.390 26.668
27.828 29.115
30.164
3.632
8.529
13.515
17.999 22.071
25.699 29.028
31.828 34.303
36.298 37.888
39.302 40.661
42.087 43.368
44.478 45.464
46.358 47.132
48.071
10.671 18.857
25.639
31.075 35.638
39.105 41.812
44.202 46.145
47.843 49.018
49.717 50.214
50.332 50.601
51.155 51.319
51.319 51.319
51.319
4.648
5.450
Caa-C
Inv Grade
0.093
0.251
0.457
Spec Grade
4.070
8.273
12.252
All rated
1.500
3.004
4.387
0.697
0.956
15.764 18.850
5.579
6.604
1.234
1.512
21.513 23.836
7.485
8.246
1.804
2.118
25.869 27.733
8.925
9.564
2.447
2.792
3.151
3.522
3.883
4.258
5.047
5.839
6.219
29.416 30.889
32.269 33.557
34.826 36.101
37.318 38.377
39.340 40.358
41.256
10.161
10.717
11.256
11.778
12.281 12.790
13.295 13.776
14.239 14.691
15.116
* Data in percent.
EXHIBIT 34

Rating
10
11
12
13
14
15
16
17
18
19
20
Aaa
0.000
0.013
0.013
0.039
0.068
0.102
0.139
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
Aa
0.024
0.067
0.123
0.210
0.321
0.419
0.517
0.603
0.674
0.757
0.861
1.002
1.142
1.237
1.324
1.414
1.526
1.705
1.966
2.193
0.061
0.186
0.394
0.609
0.871
1.159
1.457
1.774
2.096
2.409
2.715
3.012
3.340
3.727
4.181
4.641
5.104
5.608
6.026
6.444
Baa
0.200
0.508
0.854
1.266
1.679
2.104
2.503
2.900
3.317
3.777
4.304
4.881
5.519
6.127
6.728
7.436
8.209
8.953
9.662
10.164
Ba
0.958
2.663
4.728
6.903
8.812
10.567 12.135
13.604 15.004
16.405 17.677
18.921 20.069
21.273 22.618
23.823 24.826
25.840 27.169
28.118
3.622
8.564
13.590
18.086 22.184
25.857 29.207
32.013 34.415
36.311 37.792
39.121 40.436
41.826 42.982
43.958 44.973
46.007 46.922
48.063
10.578 18.729
25.529
31.021 35.572
38.986 41.637
43.944 45.907
47.752 49.034
49.799 50.347
50.478 50.783
51.420 51.613
51.613 51.613
51.613
Caa-C
Inv Grade
0.100
0.265
0.477
Spec Grade
4.209
8.601
12.791
All rated
1.615
3.250
4.758
0.718
0.982
16.480 19.682
6.048
7.141
1.255
1.523
22.441 24.856
8.067
8.861
3.304
3.647 4.009
4.396 4.800
5.622
5.963
26.932 28.757
1.791
2.063
30.339 31.643
2.346
2.647
32.833 33.951
2.963
35.097 36.235
37.252 38.155
39.066 40.118
5.225
41.019
9.546 10.155
10.704 11.199
11.674 12.147
12.617 13.096
13.569 14.030
14.502 14.962
15.349
* Data in percent.
42
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 35
Average Cumulative Issuer-Weighted Global Default Rates by Alphanumeric Rating, 1983-2015*

Rating
10
11
12
13
14
15
16
17
18
19
20
Aaa
0.000
0.013
0.013
0.039
0.068
0.102
0.139
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
0.143
Aa1
0.000
0.000
0.000
0.057
0.103
0.153
0.157
0.157
0.157
0.157
0.157
0.157
0.238
0.336
0.446
0.486
0.486
0.486
0.486
0.486
Aa2
0.000
0.013
0.114
0.243
0.362
0.450
0.546
0.652
0.774
0.943
1.091
1.256
1.400
1.466
1.539
1.687
1.953
2.249
2.535
2.709
Aa3
0.047
0.126
0.181
0.257
0.392
0.517
0.657
0.767
0.837
0.899
1.020
1.204
1.367
1.477
1.564
1.637
1.695
1.869
2.219
2.577
A1
0.075
0.224
0.450
0.670
0.889
1.131
1.354
1.554
1.717
1.911
2.123
2.339
2.579
2.880
3.186
3.490
3.804
4.095
4.251
4.415
A2
0.051
0.156
0.329
0.553
0.814
1.172
1.538
1.932
2.338
2.753
3.155
3.512
3.866
4.290
4.776
5.326
5.989
6.640
7.145
7.620
A3
0.060
0.187
0.414
0.615
0.918
1.171
1.466
1.808
2.186
2.500
2.789
3.099
3.489
3.926
4.511
5.041
5.419
5.982
6.596
7.246
Baa1
0.143
0.379
0.655
0.954
1.225
1.497
1.760
1.952
2.150
2.430
2.802
3.310
3.863
4.345
4.963
5.730
6.482
7.056
7.339
7.539
Baa2
0.189
0.481
0.811
1.242
1.617
2.029
2.446
2.852
3.294
3.786
4.414
5.070
5.759
6.372
6.921
7.371
7.867
8.500
9.293
9.908
Baa3
0.276
0.684
1.131
1.651
2.282
2.913
3.456
4.103
4.769
5.432
6.031
6.592
7.282
8.061
8.712
9.686 10.858
11.981 13.142
13.888
Ba1
0.483
1.543
2.826
4.141
5.512
6.821
7.886
8.740
9.549
10.474 11.464
12.451 13.312
14.046
15.111
16.188 16.978
18.069 19.898
21.457
Ba2
0.764
1.947
3.405
4.915
6.263
7.346
8.346
9.508 10.792
12.107 13.294
14.527 15.305
16.183 17.455
18.272 19.165
19.904 20.917
21.069
Ba3
1.500
4.149
7.366
10.832 13.694
16.444 19.005
21.371 23.489
25.485 27.161
28.737 30.650
32.864 34.732
36.601 38.107
39.356 40.261
40.985
B1
2.217
5.940
9.947
13.708 17.504
20.923 24.422
27.518 30.162
32.188 33.783
35.218 36.954
38.946 40.328
41.396 42.627
44.088 45.579
47.157
B2
3.288
8.286
13.322
17.965 21.785
25.239 28.228
30.648 32.939
34.964 36.508
37.902 39.006
39.944 41.203
42.321 43.015
43.649 43.926
44.822
B3
5.435 11.688
17.922
23.220 28.153
32.612 36.385
39.428 41.688
43.175 44.385
45.430 46.133
46.845 46.986
47.335 48.556
48.935 48.935
48.935
Caa1
5.140 11.935
18.228
23.422 27.934
31.596 34.192
35.805 37.642
39.966 41.388
42.252 43.308
43.727 43.727
43.727 43.727
Caa2
11.461 20.604
28.049
34.270 39.418
43.589 47.183
50.951 53.920
56.536 58.273
58.792 58.792
58.792 59.625
61.267 61.748
61.748 61.748
61.748
Caa3
20.501 32.464
40.874
46.503 51.223
53.446 55.946
58.933 59.582
59.582 59.582
59.582 59.582
59.582 59.582
59.582 59.582
Ca-C
27.691 36.530
42.928
47.960 50.839
51.625 52.021
52.913 53.395
53.395 54.087
55.182 55.872
55.872 55.872
55.872 55.872
55.872 55.872
55.872
Inv Grade
0.100
0.265
0.477
Spec Grade
4.209
8.601
12.791
All rated
1.615
3.250
4.758
0.718
0.982
16.480 19.682
6.048
7.141
1.255
1.523
22.441 24.856
8.067
8.861
1.791
2.063
26.932 28.757
9.546 10.155
2.346
2.647
2.963
3.304
3.647
4.009
4.396
4.800
5.225
5.622
5.963
30.339 31.643
32.833 33.951
35.097 36.235
37.252 38.155
39.066 40.118
41.019
10.704
11.674 12.147
12.617 13.096
13.569 14.030
14.502 14.962
15.349
11.199
* Data in percent.
43
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 36
Average Cumulative Issuer-Weighted Global Default Rates by Alphanumeric Rating, 1998-2015

Rating/Year
10
Aaa
0.000%
0.029%
0.029%
0.029%
0.029%
0.029%
0.029%
0.029%
0.029%
0.029%
Aa1
0.000%
0.000%
0.000%
0.000%
0.031%
0.099%
0.105%
0.105%
0.105%
0.105%
Aa2
0.000%
0.010%
0.148%
0.301%
0.400%
0.513%
0.641%
0.788%
0.964%
1.176%
Aa3
0.055%
0.144%
0.193%
0.268%
0.421%
0.594%
0.855%
1.050%
1.161%
1.284%
A1
0.125%
0.278%
0.472%
0.710%
0.990%
1.333%
1.674%
1.989%
2.279%
2.608%
A2
0.077%
0.221%
0.436%
0.656%
0.964%
1.414%
1.851%
2.367%
3.001%
3.770%
A3
0.078%
0.218%
0.475%
0.723%
1.095%
1.314%
1.632%
2.034%
2.561%
3.089%
Baa1
0.171%
0.431%
0.716%
1.007%
1.214%
1.468%
1.704%
1.931%
2.153%
2.527%
Baa2
0.221%
0.503%
0.812%
1.138%
1.399%
1.707%
1.961%
2.192%
2.538%
2.870%
Baa3
0.289%
0.680%
1.074%
1.487%
1.980%
2.350%
2.729%
3.322%
3.937%
4.743%
Ba1
0.337%
1.223%
2.197%
3.144%
4.365%
5.434%
6.444%
7.289%
8.296%
9.471%
Ba2
0.699%
1.600%
2.827%
4.107%
5.247%
6.062%
6.728%
7.960%
9.280%
10.772%
Ba3
1.017%
2.734%
4.813%
7.058%
8.579%
10.269%
12.103%
14.203%
16.117%
17.711%
B1
1.424%
4.378%
7.571%
10.722%
13.558%
15.989%
18.677%
21.171%
23.408%
25.382%
B2
2.981%
7.694%
12.672%
17.473%
21.019%
24.172%
26.843%
29.186%
31.473%
33.405%
B3
4.049%
9.739%
15.917%
20.917%
25.345%
29.193%
32.488%
35.124%
37.574%
39.024%
Caa1
5.131%
11.895%
18.163%
23.290%
27.760%
31.396%
33.994%
35.588%
37.440%
39.781%
Caa2
11.035%
20.742%
28.535%
34.465%
39.429%
43.709%
47.728%
51.358%
53.558%
53.558%
Caa3
20.441%
32.322%
40.763%
46.417%
51.159%
53.390%
55.894%
58.884%
59.534%
59.534%
Ca-C
30.183%
40.154%
47.280%
52.394%
55.499%
56.366%
56.817%
57.820%
58.352%
58.352%
Inv Grade
0.130%
0.316%
0.540%
0.774%
1.036%
1.305%
1.584%
1.895%
2.247%
2.662%
Spec Grade
4.193%
8.546%
12.666%
16.165%
19.007%
21.361%
23.433%
25.326%
27.100%
28.619%
All rated
1.738%
3.479%
5.067%
6.369%
7.415%
8.276%
9.032%
9.740%
10.432%
11.097%
EXHIBIT 37
Average Cumulative Issuer-Weighted Global Default Rates by Broad Industry Group, 1970-2015*
Broad Industry Group
10
aerospace & defense
0.774
1.608
2.314
2.788
3.181
3.411
3.582
3.699
3.699
3.699
automotive
2.463
5.011
7.454
9.737
11.912
13.901
15.754
17.547
19.185
20.412
banking
0.522
1.034
1.530
2.011
2.467
2.874
3.236
3.589
3.954
4.327
1.196
2.366
3.523
4.504
5.296
6.021
6.602
7.072
7.561
7.906
capital equipment
1.642
3.395
5.117
6.631
7.905
8.899
9.791
10.590
11.344
12.074
1.048
2.203
3.282
4.269
5.233
6.008
6.590
7.046
7.527
8.062
2.845
5.871
8.707
11.351
13.699
15.920
17.897
19.831
21.598
23.095
2.515
5.545
8.794
11.873
15.063
17.665
19.518
21.292
23.312
25.171
consumer goods: nondurable
3.908
8.189
12.172
15.344
17.869
20.044
22.076
23.789
25.077
26.055
containers, packaging, &

glass
2.646
5.589
8.216
10.583
12.719
14.609
16.249
17.920
19.408
20.685
44
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 37
Average Cumulative Issuer-Weighted Global Default Rates by Broad Industry Group, 1970-2015*
Broad Industry Group
10
energy: electricity
2.185
4.446
6.550
8.101
9.563
10.956
12.265
13.322
14.350
15.507
energy: oil & gas
1.584
3.106
4.469
5.618
6.617
7.457
8.150
8.721
9.241
9.690
3.293
6.355
8.882
10.919
12.608
14.042
15.278
16.666
18.224
19.973
fire: finance
0.838
1.695
2.520
3.092
3.623
4.179
4.774
5.383
6.027
6.743
fire: insurance
0.391
0.830
1.283
1.775
2.275
2.779
3.275
3.774
4.303
4.839
fire: real estate
1.030
2.167
3.235
4.247
4.934
5.437
5.867
6.211
6.554
6.949
2.723
5.436
8.045
10.354
12.235
13.890
15.395
16.630
17.534
18.255
healthcare &
pharmaceuticals
1.435
2.942
4.300
5.579
6.661
7.693
8.666
9.377
10.105
10.665
1.829
3.799
5.589
7.187
8.436
9.577
10.762
11.998
13.207
14.452
4.536
9.076
13.035
16.569
19.562
22.031
24.110
26.112
28.140
30.251
media: advertising, printing &

publishing
5.365
10.571
15.200
19.394
23.330
26.649
29.104
30.779
32.282
33.936
media: broadcasting &

subscription
3.702
7.657
11.735
15.207
18.488
21.415
23.827
26.017
27.949
29.753
media: diversified &

production
2.356
4.667
6.617
7.835
8.639
9.296
9.672
9.941
10.242
10.576
metals & mining
2.750
5.525
8.110
10.348
12.107
13.699
15.211
16.569
17.868
19.166
retail
2.608
5.279
7.938
10.307
12.421
14.230
15.762
17.170
18.553
19.857
services: business
2.221
4.446
6.402
8.027
9.711
11.381
13.022
14.468
15.814
17.056
services: consumer
2.213
4.404
5.970
7.347
8.592
9.904
11.432
13.117
14.634
15.958
0.291
0.616
0.850
1.057
1.291
1.434
1.482
1.482
1.482
1.482
telecommunications
2.232
4.383
6.282
7.768
8.844
9.560
10.076
10.380
10.567
10.695
1.922
3.488
4.747
5.745
6.548
7.261
7.831
8.325
8.763
9.238
3.035
5.872
8.687
11.432
13.802
15.737
17.613
19.571
21.607
23.581
utilities: electric
0.125
0.246
0.355
0.457
0.567
0.675
0.772
0.874
0.982
1.097
0.157
0.287
0.427
0.577
0.701
0.831
0.946
0.995
1.048
1.105
utilities: water
0.136
0.287
0.356
0.356
0.356
0.356
0.356
0.356
0.356
0.356
wholesale
3.496
7.487
11.074
13.616
15.666
17.560
18.668
19.570
20.485
21.519
* Data in percent.
45
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 38
Annual Default Rates by Industry Group, 1970-2015*

Year
Aerospace &
Defense
1970
Consumer
Goods: NonDurable
Containers,
Packaging, &
Glass
Energy:
Electricity
Energy: Oil &

Gas
10.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
7.143
0.000
0.000
Chemicals,
Plastics, & Construction &
Consumer
Rubber
Building Goods: Durable
Automotive
Beverage, Food,
Banking
& Tobacco
Capital
Equipment
0.000
0.000
0.000
0.000
0.000
0.000
1971
0.000
0.000
0.000
0.000
0.000
1972
0.000
0.000
0.000
1.124
1973
0.000
0.000
0.000
0.000
1974
0.000
0.000
0.000
0.000
1.149
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1975
0.000
3.030
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1976
0.000
0.000
0.000
0.000
1.064
0.000
0.000
0.000
2.632
0.000
0.000
0.000
1977
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.703
0.000
0.000
0.000
1978
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.703
0.000
0.000
1.316
1979
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1980
0.000
0.000
0.000
0.000
0.000
0.000
3.226
0.000
0.000
0.000
0.000
0.000
1981
0.000
0.000
0.000
0.000
1.205
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1982
0.000
2.857
0.000
0.000
0.000
0.000
3.333
0.000
0.000
0.000
0.000
0.980
1983
0.000
8.108
0.000
1.471
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.440
1984
0.000
2.941
0.000
1.449
0.000
0.000
0.000
0.000
0.000
0.000
0.000
4.007
1985
0.000
0.000
0.000
0.000
1.879
2.000
0.000
0.000
1.818
0.000
0.000
3.430
1986
2.857
0.000
0.000
1.205
0.000
1.818
1.786
5.882
0.000
0.000
0.000
8.369
1987
0.000
1.818
0.282
0.000
2.516
0.000
4.642
0.000
0.000
0.000
0.000
5.575
1988
2.326
0.000
1.452
0.000
0.000
1.613
2.818
4.348
3.735
0.000
4.545
2.143
1989
0.000
7.547
1.492
2.247
0.000
0.000
8.848
0.000
3.846
5.556
0.000
0.000
1990
0.000
3.815
1.844
4.474
2.657
0.000
16.651
4.762
10.026
0.000
8.000
1.476
1991
2.222
4.103
1.398
0.000
4.626
0.000
7.407
5.882
6.089
5.556
4.167
2.344
1992
0.000
0.000
0.322
1.220
2.986
0.000
0.000
0.000
5.978
5.263
0.000
0.806
1993
2.222
0.000
0.302
1.136
4.931
0.000
1.667
0.000
2.000
0.000
0.000
2.285
1994
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.448
0.000
1995
0.000
0.000
0.000
1.942
0.826
0.000
5.024
0.000
7.514
0.000
0.000
0.641
1996
0.000
0.000
0.000
0.833
0.725
0.000
1.053
0.000
4.311
3.226
0.000
0.571
1997
0.000
1.333
0.000
0.781
0.000
0.000
1.111
0.000
6.426
2.564
0.000
0.000
46
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 38
Annual Default Rates by Industry Group, 1970-2015*

Consumer
Goods: NonDurable
Containers,
Packaging, &
Glass
Energy:
Electricity
Energy: Oil &

Gas
0.000
4.389
0.000
0.000
1.290
6.376
10.600
4.291
0.000
0.000
6.199
1.446
1.962
3.333
14.222
8.009
0.000
0.395
5.224
5.682
3.807
3.333
15.458
8.149
1.667
0.794
1.640
2.066
0.000
4.994
3.030
6.011
5.085
8.454
2.342
1.680
2.555
4.420
2.382
0.000
2.740
0.000
6.541
0.000
0.000
1.673
0.971
0.000
2.247
2.632
4.419
1.515
0.000
0.356
4.890
0.072
0.000
0.961
0.000
0.000
4.082
1.563
3.176
3.636
0.369
4.490
0.000
1.127
1.525
0.000
2.053
1.887
2.999
1.639
0.000
0.000
0.000
1.544
0.000
1.058
0.505
0.000
1.020
0.000
0.000
0.000
0.000
0.000
1.538
4.031
3.026
1.579
2.783
1.980
5.273
1.961
6.181
8.582
0.000
1.636
2009
4.524
17.671
0.860
4.282
9.646
7.727
14.720
22.959
6.614
12.274
1.887
1.991
2010
0.000
1.020
0.410
0.562
3.604
0.000
1.755
0.000
3.743
1.667
5.769
0.984
2011
0.000
0.893
0.607
0.000
1.270
0.000
2.256
0.000
0.000
3.511
2.000
0.977
2012
1.282
0.000
0.485
1.604
2.303
1.430
0.000
0.000
0.000
1.563
5.455
1.192
2013
1.266
0.840
1.130
1.606
0.588
0.667
2.469
0.000
2.083
1.538
3.571
1.616
2014
1.282
0.000
0.587
0.000
0.000
0.592
0.552
2.174
0.000
0.000
7.273
0.490
2015
2.618
0.000
1.470
1.961
0.000
0.000
2.365
2.041
4.715
0.000
0.000
6.345
Forest
Products &
Paper
Healthcare &
Pharmaceuticals
Media:
Advertising,
Media:
Printing & Broadcasting &
Publishing
Subscription
Media:
Diversified &
Production
Metals &
Mining
Automotive
1998
0.000
1.064
0.301
0.704
0.000
2.381
0.000
1999
0.000
0.893
0.144
1.875
1.395
1.487
2000
1.587
4.829
0.000
2.898
4.253
2001
4.666
5.043
0.074
2.281
2002
0.000
1.626
0.394
2003
0.000
2.433
0.079
2004
0.000
2.350
2005
0.000
2006
0.000
2007
2008
Year
Beverage, Food,
Banking
& Tobacco
Capital
Equipment
Chemicals,
Plastics, & Construction &
Consumer
Rubber
Building Goods: Durable
Aerospace &
Defense
EXHIBIT 38
Annual Default Rates by Broad Industry Group, 1970-2015* (contd)
Year
Environmental
Industries
Fire:
Finance
Fire:
Insurance
1970
0.000
0.000
25.000
0.000
0.000
3.704
0.000
0.000
0.000
0.000
0.000
1971
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1972
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1973
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
47
FEBRUARY 29, 2016
Fire:
Real Estate
High Tech Hotel, Gaming,

Industries
& Leisure
CREDIT POLICY
EXHIBIT 38

Fire:
Real Estate
Forest
Products &
Paper
Healthcare &
Pharmaceuticals
Media:
Advertising,
Media:
Publishing
Subscription
Media:
Diversified &
Production
Metals &
Mining
0.000
0.000
0.000
11.111
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
14.286
0.000
0.000
0.000
Year
Environmental
Industries
Fire:
Finance
Fire:
Insurance
1974
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1975
0.000
0.000
0.000
0.000
4.762
0.000
0.000
1976
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1977
0.000
0.000
0.000
0.000
0.000
0.000
0.000

Industries
& Leisure
1978
0.000
0.000
0.000
0.000
0.000
0.000
3.125
0.000
0.000
0.000
0.000
0.000
1979
0.000
0.000
0.000
0.000
0.000
0.000
2.778
0.000
0.000
0.000
0.000
0.000
1980
33.333
0.000
0.000
0.000
0.000
0.000
2.703
0.000
0.000
0.000
0.000
0.000
1981
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1982
0.000
0.000
0.000
0.000
0.000
0.000
3.846
0.000
14.286
0.000
0.000
2.273
1983
0.000
0.000
0.000
0.000
0.000
0.000
1.695
0.000
0.000
0.000
0.000
1.818
1984
0.000
0.000
0.000
0.000
0.000
2.222
4.762
0.000
0.000
0.000
0.000
0.000
1985
0.000
0.000
3.448
0.000
0.000
0.000
1.493
5.263
0.000
0.000
0.000
3.390
1986
0.000
0.000
0.000
0.000
0.000
1.449
0.000
2.381
0.000
3.846
5.263
19.095
1987
0.000
0.000
0.000
0.000
0.000
3.785
1.111
6.494
5.882
0.000
0.000
0.000
1988
0.000
0.000
1.515
0.000
0.000
4.791
1.681
2.041
0.000
4.255
3.704
0.000
1989
0.000
3.586
1.351
8.333
0.000
2.532
1.762
13.813
0.000
4.352
11.706
0.000
1990
0.000
0.000
0.000
0.000
0.000
1.149
5.682
24.078
11.765
6.431
5.000
3.811
1991
0.000
0.000
1.235
0.000
3.333
4.877
2.222
2.703
0.000
4.941
4.762
1.961
1992
0.000
0.000
0.000
5.000
0.000
1.449
3.423
5.271
0.000
10.811
10.278
5.923
1993
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.326
0.000
9.007
0.000
1.695
1994
0.000
0.000
0.000
0.000
2.778
1.053
3.034
5.357
0.000
2.439
0.000
0.000
1995
0.000
0.000
0.820
6.061
2.222
1.020
1.869
2.649
0.000
0.000
0.000
0.000
1996
5.263
0.000
0.000
0.000
0.000
0.000
1.031
2.290
0.000
0.000
17.647
0.000
1997
0.000
0.000
0.629
0.000
0.000
0.885
0.893
2.059
0.000
2.326
0.000
0.000
1998
5.882
0.709
0.000
2.705
1.333
3.147
0.725
2.896
2.326
2.574
5.263
2.859
1999
4.545
1.927
0.000
0.725
2.410
5.472
2.672
6.538
3.774
3.705
0.000
4.073
2000
16.667
0.641
1.476
0.000
4.457
4.885
3.154
6.154
1.515
1.550
3.333
6.752
48
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 38

Media:
Advertising,
Media:
Publishing
Subscription
Environmental
Industries
Fire:
Finance
Fire:
Insurance
Fire:
Real Estate
Forest
Products &
Paper
2001
11.765
1.860
0.000
2.308
15.829
1.569
4.475
8.785
3.125
2002
14.286
0.000
0.450
0.862
2.759
0.746
2.699
1.854
2003
0.000
0.641
0.811
0.000
1.333
3.045
3.459
2004
0.000
0.000
0.392
0.000
1.429
0.781
0.000
2005
0.000
0.667
0.000
0.000
1.613
0.000
2006
0.000
0.000
0.714
0.000
0.000
0.000
2007
0.000
0.000
0.000
0.000
3.297
2008
5.556
4.245
0.000
2.326
2009
0.000
5.731
0.333
2010
10.526
2.018
2011
0.000
0.613
2012
4.545
1.827
2013
4.762
2014
2015
Year
Healthcare &
Pharmaceuticals
Media:
Diversified &
Production
Metals &
Mining
3.853
3.448
13.503
3.370
13.927
8.174
6.075
2.973
1.639
5.381
0.000
4.197
4.140
0.000
4.726
0.000
1.852
0.000
0.971
0.000
1.020
0.000
0.833
2.604
0.840
0.000
3.032
0.000
0.000
0.787
0.000
0.000
3.056
0.000
0.000
0.000
7.119
0.820
0.000
10.071
7.058
1.972
7.143
0.741
6.415
17.374
0.769
6.995
17.285
33.295
22.742
0.000
9.463
0.385
0.870
2.041
1.487
1.550
5.314
13.417
2.096
0.000
0.000
0.380
0.800
1.818
0.000
0.000
3.519
8.043
0.000
0.000
0.000
0.380
0.000
3.931
0.704
1.160
3.919
14.838
1.020
0.000
2.032
0.000
0.391
0.685
0.000
1.891
0.595
2.404
18.382
0.885
0.000
1.801
0.000
0.556
0.000
0.606
2.000
0.000
2.728
1.570
5.430
0.000
0.000
4.937
4.348
0.000
0.761
0.541
4.167
0.000
0.472
2.325
2.174
0.990
3.571
6.451

Industries
& Leisure
EXHIBIT 38

Year
Retail
Services:
Business
1970
0.000
0.000
1971
0.000
0.000
0.000
1972
0.000
0.000
0.000
1973
3.448
0.000
1974
3.479
0.000
1975
1.754
0.000
1976
0.000
1977
0.000
49
FEBRUARY 29, 2016
Services:
Consumer
Sovereign &
TelePublic Finance communications
Transportation:
Cargo
Transportation:
Consumer
Utilities:
Electric
Utilities:
Oil & Gas
Utilities:
Water
Wholesale
0.000
18.045
0.000
0.000
0.000
0.000
0.000
0.000
1.852
4.762
0.000
0.000
0.000
0.000
0.000
3.636
0.000
0.000
0.000
0.000
0.000
0.000
1.942
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.198
0.000
0.000
0.000
0.000
0.000
CREDIT POLICY
EXHIBIT 38

Year
Retail
Services:
Business
Services:
Consumer
Transportation:
Cargo
Transportation:
Consumer
Utilities:
Electric
Utilities:
Oil & Gas
Utilities:
Water
1978
1.852
0.000
0.000
0.000
Wholesale
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1979
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1980
0.000
0.000
0.000
0.000
0.000
0.000
5.000
0.000
0.000
0.000
0.000
1981
0.000
0.000
0.000
0.000
0.000
1.111
0.000
0.000
0.000
0.000
0.000
1982
1983
5.846
0.000
0.000
0.000
1.220
1.176
5.556
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
19.048
0.000
0.000
0.000
0.000
1984
0.000
5.263
0.000
0.000
0.000
1.205
0.000
0.000
0.000
0.000
0.000
1985
0.000
0.000
0.000
0.000
0.000
1.190
0.000
0.000
0.000
0.000
0.000
1986
0.000
0.000
0.000
0.000
0.000
1.163
8.174
0.000
0.000
0.000
5.000
1987
1.042
9.524
12.500
0.000
0.000
1.087
0.000
0.000
1.563
0.000
4.545
1988
1.887
4.167
0.000
0.000
0.000
0.000
0.000
0.546
0.000
0.000
0.000
1989
2.501
4.167
0.000
10.526
0.980
1.136
3.571
0.000
0.000
0.000
0.000
1990
6.287
16.667
11.111
0.000
0.000
0.000
24.138
0.000
0.000
0.000
0.000
1991
11.276
0.000
0.000
0.000
0.901
2.581
30.000
0.549
1.786
0.000
0.000
1992
2.805
0.000
0.000
0.000
0.000
0.000
0.000
1.070
0.000
0.000
0.000
1993
2.807
5.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1994
2.427
3.704
0.000
0.000
0.000
1.250
2.941
0.000
0.000
0.000
4.000
1995
1.419
3.846
0.000
0.000
0.000
0.000
5.637
0.000
0.000
0.000
3.704
1996
0.730
3.125
0.000
0.000
0.680
0.000
0.000
0.000
0.000
0.000
0.000
1997
3.512
0.000
0.000
0.000
0.538
1.205
0.000
0.000
0.000
0.000
2.857
1998
5.337
0.000
0.000
0.000
0.942
1.064
0.000
0.000
0.000
0.000
7.500
1999
1.891
4.308
7.407
2.381
1.985
7.611
0.000
0.000
1.449
0.000
5.821
2000
4.777
2.667
9.091
0.000
2.684
4.084
5.357
0.000
0.000
0.000
10.411
2001
6.451
5.740
3.226
0.000
10.172
4.967
1.754
0.758
0.000
0.000
13.010
2002
2.762
2.925
3.226
0.000
14.268
4.638
8.806
0.000
1.190
3.704
9.014
2003
2.846
1.471
0.000
0.000
8.188
2.454
3.541
0.341
1.220
0.000
9.787
2004
0.709
2.911
0.000
0.000
1.513
0.000
5.085
0.315
0.000
0.000
2.941
2005
1.572
0.000
0.000
0.000
0.427
0.000
8.197
0.314
0.000
0.000
3.030
50
FEBRUARY 29, 2016
Sovereign &
CREDIT POLICY
EXHIBIT 38

Year
Retail
Services:
Business
Services:
Consumer
Sovereign &
Transportation:
Cargo
Transportation:
Consumer
Utilities:
Electric
Utilities:
Oil & Gas
Utilities:
Water
2006
0.730
0.000
0.000
0.000
Wholesale
0.000
3.517
0.000
0.000
0.000
0.000
2.632
2007
2.206
0.847
2.500
0.000
0.917
0.000
0.000
0.000
0.000
0.000
0.000
2008
2.834
0.694
0.000
0.000
2.405
4.797
0.000
0.000
0.000
0.000
0.000
2009
3.684
4.088
6.621
0.000
5.853
6.875
3.150
0.309
0.000
0.000
11.765
2010
2011
3.991
2.723
0.000
0.000
1.525
1.370
0.000
0.000
0.990
0.000
3.030
3.183
1.437
1.695
0.000
0.000
5.801
5.449
0.000
0.000
0.000
0.000
2012
2.113
1.805
6.260
0.000
1.634
1.149
1.887
0.565
0.000
0.000
0.000
2013
1.334
2.072
0.000
0.000
1.594
2.210
0.000
0.000
0.000
0.000
0.000
2014
2.324
3.029
0.000
1.064
1.070
1.010
0.000
0.000
0.000
0.000
0.000
2015
2.095
2.258
2.828
0.000
0.549
0.000
0.000
0.260
0.000
0.000
1.667
* Data in percent.
51
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 39
Annual Volume-weighted Corporate Bond Default Rates by Letter Rating, 1994-2015*

Year
Aaa
Aa
Baa
Ba
Caa-C
Inv-Grade
Spec-Grade
All- Rated
1994
0.000
0.000
0.000
0.000
0.000
2.294
22.243
0.000
2.105
0.429
1995
0.000
0.000
0.000
0.000
0.000
4.793
9.108
0.000
3.081
0.714
1996
0.000
0.000
0.000
0.000
0.000
2.294
18.461
0.000
2.344
0.669
1997
0.000
0.000
0.000
0.000
0.051
3.060
6.415
0.000
1.906
0.493
1998
0.000
0.000
0.000
0.000
0.654
3.285
11.306
0.000
2.872
0.853
1999
0.000
0.000
0.000
0.140
1.154
5.499
21.441
0.031
5.904
1.136
2000
0.000
0.000
0.000
0.623
1.696
5.484
19.959
0.137
5.655
1.307
2001
0.000
0.000
0.720
0.957
1.276
14.442
54.337
0.545
15.843
3.049
2002
0.000
0.000
2.718
1.979
5.250
16.056
77.912
1.758
21.533
4.816
2003
0.000
0.000
0.000
0.000
3.622
3.203
17.012
0.000
5.911
1.033
2004
0.000
0.000
0.000
0.000
0.000
0.258
9.190
0.000
1.879
0.328
2005
0.000
0.000
0.000
0.201
0.000
0.899
18.181
0.073
3.787
0.754
2006
0.000
0.000
0.000
0.000
0.033
1.065
3.999
0.000
1.050
0.212
2007
0.000
0.000
0.000
0.000
0.000
0.000
4.834
0.000
0.796
0.155
2008
0.000
0.816
2.370
1.108
8.274
1.993
9.178
1.466
5.802
2.220
2009
0.000
0.000
0.014
0.751
3.601
5.457
38.839
0.217
16.284
2.758
2010
0.000
0.000
0.147
0.021
0.000
0.130
6.092
0.077
1.662
0.342
2011
0.000
0.114
0.000
0.413
0.000
0.173
6.890
0.152
1.411
0.390
2012
0.000
0.000
0.000
0.018
0.000
0.142
11.502
0.007
2.076
0.404
2013
0.000
0.000
0.060
0.024
0.000
0.841
4.896
0.039
1.162
0.273
2014
0.000
0.000
0.023
0.000
0.108
0.324
9.244
0.010
1.737
0.388
2015
0.000
0.000
0.000
0.000
0.813
1.353
16.736
0.000
3.415
0.777
Mean
0.000
0.042
0.275
0.283
1.206
3.320
18.081
0.205
4.919
1.068
Median
0.000
0.000
0.000
0.009
0.042
2.143
11.404
0.009
2.608
0.691
StDev
0.000
0.174
0.752
0.511
2.150
4.290
17.887
0.474
5.602
1.157
Min
0.000
0.000
0.000
0.000
0.000
0.000
3.999
0.000
0.796
0.155
Max
0.000
0.816
2.718
1.979
8.274
16.056
77.912
1.758
21.533
4.816
* Data in percent
EXHIBIT 40
Average Volume-weighted Corporate Bond Default Rates by Letter Rating, 1994-2015*

Rating / Year
Aaa
0.000
0.047
0.047
0.047
0.047
Aa
0.034
0.090
0.125
0.169
0.236
0.280
0.543
0.771
0.945
1.159
Baa
0.181
0.396
0.564
0.869
1.302
Ba
0.823
2.095
3.308
4.530
5.331
2.902
6.708
10.246
13.329
15.411
14.895
24.920
32.548
36.281
38.477
Inv-Grade
0.193
0.394
0.556
0.736
0.974
Spec-Grade
4.121
7.991
11.321
13.779
15.377
All Rated
0.956
1.855
2.609
3.205
3.688
Caa-C
*Data in percent
52
FEBRUARY 29, 2016
CREDIT POLICY
EXHIBIT 41
Cumulative Issuer-Weighted Default Rates by Annual Cohort, 1970-2015 (Data in Percent)

1/1/70
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
39
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.703
2.703
2.703
Aa
77
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.449
1.449
1.449
2.942
2.942
2.942
2.942
254
0.000
0.000
0.000
0.413
0.413
0.835
0.835
0.835
0.835
0.835
1.292
1.292
1.292
1.292
1.292
1.292
1.793
1.793
2.844
2.844
Baa
372
0.543
0.543
0.543
1.123
1.415
1.415
1.728
2.368
3.038
3.038
3.396
3.396
4.589
4.999
5.425
5.869
7.247
8.286
9.347
9.920
Ba
238
4.237
5.120
5.565
6.050
7.042
8.072
8.606
9.208 10.456 10.456 10.456 12.020 14.560 15.489 15.489
17.575
21.076 23.608 23.608
25.077
36 19.444 19.444
22.321
B
Caa-C
22.321 22.321
22.321 22.321 22.321
22.321 22.321 22.321 22.321 30.498 30.498 30.498 30.498 36.290 36.290 36.290 36.290
16 50.000 56.250 75.000 81.250 81.250 81.250 81.250 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625 90.625
IG
742
0.271
0.271
SG
290
8.678
9.764
11.601 12.382
0.271
0.698
0.841
0.989
All
1032
2.631
2.929
3.434
3.955
4.271
4.598
4.821
5.282
5.757
5.757
6.014
6.276
7.371
7.794
7.940
8.389
Rating
n(0)
10
11
12
13
14
15
16
17
Aaa
40
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
74
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
282
0.000
0.000
0.366
0.366
0.739
0.739
0.739
0.739
0.739
1.140
1.140
1.550
1.964
1.964
Baa
398
0.000
0.000
0.534
0.802
1.075
1.366
1.966
2.595
2.595
2.930
2.930
4.063
4.451
Ba
228
0.885
1.332
1.815
2.810
3.844
4.381
4.986
6.241
6.241
6.241
7.798 10.322
11.247
27
0.000
3.846
3.846
3.846
3.846
3.846
3.846
3.846
3.846
3.846
3.846 15.865 15.865 15.865 15.865 23.514 23.514 23.514 23.514
23.514
8 12.500 50.000 62.500 62.500 62.500 62.500 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250 81.250
81.250
13.192 14.035
2.613
2.968
14.471 15.443 16.450 16.450 16.450 17.693 21.008
1.138
1.443
1.756
1.756
2.088
2.088
21.733
3.151
3.338
4.297
4.905
5.733
5.949
21.733 23.347 26.969 28.932 28.932 30.097

9.789 10.614
11.291
11.648
18
19
20
2.703
2.703
2.703
2.703
0.000
0.000
0.000
0.000
1.754
1.964
2.399
2.399
3.303
3.303
3.303
4.855
5.276
6.579
7.553
8.547
9.079
10.223
11.247
13.311
17.937 20.487 20.487 21.959
21.959
1/1/71
Caa-C
53
IG
794
0.000
0.000
0.394
0.526
0.797
0.936
1.219
1.511
1.511
1.819
1.819
SG
263
1.155
3.112
3.942
4.806
5.706
6.173
7.216
8.295
8.295
8.295
9.620
All
1057
0.286
0.769
1.268
1.572
1.988
2.203
2.648
3.106
3.106
3.353
3.606
FEBRUARY 29, 2016
2.472
2.804
2.974
13.174 13.950 13.950

4.795
5.203
5.344
3.148
3.863
4.428
5.195
5.396
6.023
15.671 20.478 22.588 22.588 23.837 23.837

5.776
7.124
7.916
8.564
8.906
9.443
CREDIT POLICY
1/1/72
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
41
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.632
2.632
2.632
2.632
2.632
Aa
78
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.667
1.667
303
0.000
0.339
0.339
0.339
0.339
0.339
0.339
0.339
0.339
0.339
0.718
1.100
1.100
1.100
1.502
1.502
2.340
2.340
2.796
3.266
Baa
431
0.000
0.489
0.735
1.246
1.513
2.061
2.639
2.639
3.274
3.274
3.980
4.341
5.091
5.478
6.677
7.566
8.477
9.481
11.070
13.825
Ba
224
0.000
0.476
1.455
2.474
3.001
3.589
4.810
4.810
4.810
6.291
9.477 10.348 10.348 13.240
21.188 22.621
28.729
29
6.897
6.897
6.897
6.897
6.897
6.897
6.897
6.897
6.897
6.897 17.850 17.850 17.850 17.850 25.318 25.318 25.318 25.318 25.318
25.318
8 37.500 50.000 50.000 50.000 50.000 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667 66.667
0.000
Caa-C
2.140
2.448
2.766
2.927
17.526 19.852 19.852
IG
853
0.000
0.365
0.487
0.737
0.866
1.128
1.397
1.397
1.684
1.684
3.591
4.113
4.826
5.206
6.187
7.399
SG
261
1.922
2.734
3.578
4.459
4.914
5.920
6.963
6.963
6.963
8.216 12.233 12.965 12.965 15.405
All
1114
0.453
0.921
1.206
1.596
1.797
2.213
2.641
2.641
2.872
3.109
4.219
4.600
4.863
5.399
6.654
7.388
7.991
8.475
9.485
11.222
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
41
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.632
2.632
2.632
2.632
2.632
2.632
Aa
81
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.587
1.587
1.587
2.396
19.910 21.865 21.865 23.014 24.276 29.695
1/1/73
Rating
309
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.368
0.738
0.738
0.738
1.132
1.132
1.952
1.952
Baa
441
0.461
0.693
1.175
1.425
1.940
2.484
2.484
3.081
3.081
3.747
4.429
5.139
5.872
7.008
7.846
8.703
9.650
Ba
205
0.000
1.018
2.080
2.630
3.239
4.496
4.496
4.496
5.994 10.008 10.874 10.874
12.770
27
3.846
3.846
3.846
3.846
3.846
3.846
3.846
3.846
3.846
15.158
Caa-C
54
15.158
15.158
15.158
2.854
3.315
11.654 13.758
13.758
17.027
20.521 20.521 21.824 23.220 30.451
31.963
22.871
22.871 22.871
22.871
22.871
22.871 22.871
6 37.500 37.500 37.500 37.500 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333 58.333
IG
872
0.232
0.348
0.588
0.710
0.960
1.217
1.217
1.491
1.491
1.929
SG
238
1.280
2.164
3.088
3.565
4.613
5.695
5.695
5.695
6.974
11.740
All
1110
0.456
0.733
1.113
1.309
1.713
2.129
2.129
2.352
2.582
3.779
FEBRUARY 29, 2016
2.372
2.677
2.988
3.628
4.131
4.817
12.475 12.475 14.096 18.614 21.583 21.583

4.270
4.525
5.045
6.264
7.121
7.706
0.000
0.000
7.289
7.486
22.719 23.966 30.470
31.833
5.182
8.175
6.314
9.314 10.998
11.340
CREDIT POLICY
1/1/74
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
44
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.500
2.500
2.500
2.500
2.500
2.500
2.500
Aa
89
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.266
1.266
1.266
1.266
1.266
1.266
1.266
1.266
2.739
2.739
2.739
2.739
307
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.366
0.735
0.735
0.735
1.125
1.125
1.932
1.932
2.368
2.818
3.270
3.270
Baa
431
0.000
0.480
0.730
1.244
1.786
1.786
2.381
2.381
3.048
3.728
4.440
5.175
5.559
6.404
7.271
8.223
9.717
11.829
11.829
11.829
Ba
197
0.513
1.601
2.166
2.793
4.090
4.090
4.090
4.851
8.921
9.805
9.805
11.704
17.935 21.390 21.390 22.723 25.533 32.821 34.348
36.172
29
7.162
7.162
7.162
7.162
7.162
7.162
7.162 11.804 22.180 22.180 22.180 22.180 29.962 29.962 29.962 29.962 29.962 29.962 29.962 29.962
Caa-C
0.000
0.000
0.000 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333
0.000
0.000
0.000
IG
871
0.000
0.236
0.356
0.602
0.855
0.855
1.125
1.125
1.700
2.137
2.438
6.473
6.667
6.667
SG
229
1.332
2.270
2.756
3.825
4.928
4.928
4.928
6.226
11.030
11.778
11.778
13.412 19.682 22.647 22.647 23.801 26.341 32.984 34.380
36.021
All
1100
0.275
0.652
0.845
1.246
1.658
1.658
1.879
2.106
3.411
3.897
4.150
4.664
5.869
6.717
7.295
7.758
11.065
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
52
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2.041
2.041
2.041
2.041
2.041
2.041
2.041
2.041
Aa
103
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.053
1.053
1.053
1.053
1.053
1.053
2.231
2.231
3.453
3.453
3.453
3.453
3.453
2.744
3.060
3.557
4.233
4.593
5.516
8.882 10.544 10.881
1/1/75
Rating
55
321
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.353
0.353
0.353
0.727
0.727
1.505
1.505
1.926
2.794
3.236
3.725
3.725
Baa
412
0.000
0.000
0.268
0.825
0.825
1.436
1.436
2.448
3.137
3.855
4.594
4.981
5.826
6.258
7.213
9.211
11.299
11.299
11.299
11.299
Ba
200
1.029
2.117
3.266
3.886
3.886
3.886
4.593
8.443
9.275
9.275
11.089
17.015 20.310 21.465 22.732 24.064 29.619 31.055 32.737
32.737
33
6.158
6.158
6.158
9.510
9.510
9.510 13.444 22.100 22.100 22.100 22.100 28.591 28.591 28.591 28.591 38.793 48.994 48.994 48.994 48.994
Caa-C
0.000
0.000 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333
0.000
0.000
0.000
0.000
IG
888
0.000
0.000
0.119
0.363
0.363
0.622
0.622
1.172
1.589
6.053
6.236
6.438
6.438
SG
236
1.742
2.659
4.117
5.135
5.135
5.135
6.329 10.801
11.497
11.497 13.037 18.908 21.686 22.653
23.712 26.024 32.042 33.301 34.751
34.751
All
1124
0.361
0.546
0.930
1.323
1.323
1.534
1.750
3.453
3.692
FEBRUARY 29, 2016
2.990
1.876
2.167
4.180
2.467
5.320
2.938
6.123
3.581
6.809
3.921
7.244
4.971
8.455
10.168 10.484 10.832
10.832
CREDIT POLICY
1/1/76
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
66
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.695
1.695
1.695
1.695
1.695
1.695
1.695
1.695
1.695
Aa
112
0.000
0.000
0.000
0.000
0.000
0.000
0.971
0.971
0.971
0.971
0.971
0.971
2.059
2.059
3.185
3.185
3.185
3.185
3.185
3.185
367
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.613
0.613
0.613
1.274
1.274
2.317
2.317
3.068
4.236
4.236
4.676
4.676
5.157
Baa
371
0.000
0.288
0.584
0.584
0.906
0.906
2.349
3.086
3.855
4.650
5.062
5.958
5.958
6.979
9.118
10.791
11.356
11.356
11.356
11.356
Ba
206
0.995
2.044
3.163
3.163
3.788
4.425
7.202
7.957
7.957
9.586 14.850
27
0.000
0.000
4.000
4.000
4.000
8.800 19.529 19.529 19.529 19.529 28.471 28.471 28.471 28.471 42.776 57.082 57.082 57.082 57.082 57.082
Caa-C
17.801 18.828 19.956
21.151 27.300 28.576 30.033 30.033 30.033
0.000 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333
0.000
0.000
0.000
0.000
0.000
6.057
6.229
6.420
6.420
6.631
IG
916
0.000
0.113
0.228
0.228
0.349
0.349
0.996
1.520
1.791
2.067
2.495
2.942
3.551
3.874
SG
236
0.868
2.248
3.691
3.691
4.235
5.355
8.959
9.618
9.618 11.064 16.540
All
1152
0.176
0.539
0.912
0.912
1.110
1.314
2.482
3.027
3.254
3.716
4.919
5.681
6.330
6.743
8.028
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
67
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.695
1.695
1.695
1.695
1.695
1.695
1.695
1.695
1.695
1.695
Aa
119
0.000
0.000
0.000
0.000
0.000
0.909
0.909
0.909
0.909
0.909
0.909
1.941
1.941
2.996
2.996
2.996
2.996
2.996
2.996
2.996
5.000
5.000
5.420
5.420
19.160 20.068 21.067
5.033
23.215 29.961
31.149 32.499 32.499 32.499
9.795 10.094 10.423 10.423 10.606
1/1/77
Rating
388
0.000
0.000
0.000
0.000
0.000
0.000
0.576
0.576
0.576
1.197
1.197
2.843
2.843
3.896
5.877
5.877
Baa
355
0.294
0.595
0.595
0.595
0.595
2.059
2.807
3.587
4.397
4.819
5.728
5.728
6.768
8.400 10.086 10.655 10.655 10.655 10.655
10.655
Ba
195
0.543
1.674
1.674
2.273
2.920
5.721
6.481
6.481
8.107 13.365 16.300 17.320 18.438 19.637 25.808 27.088 28.546 28.546 28.546 28.546
31
3.226
6.563
6.563 10.625 14.881 24.895 24.895 24.895 24.895 33.240 33.240 33.240 33.240 46.592 59.944 59.944 59.944 59.944 59.944 59.944
Caa-C
56
3 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333
IG
929
0.110
0.221
0.221
0.221
0.221
0.849
1.358
1.621
SG
229
1.360
2.788
2.788
3.843
4.955
8.551
9.209
9.209 10.638 16.052 18.633
All
1158
0.354
0.717
0.717
0.911
1.109
2.248
2.778
3.000
FEBRUARY 29, 2016
1.889
3.451
2.305
4.623
2.739
5.365
0.000
0.000
0.000
0.000
0.000
0.000
6.057
6.224
6.410
6.410
6.615
6.615
19.527 20.509 22.643 29.341 30.519 31.855 31.855 31.855
31.855
3.631
6.255
3.944
6.655
5.066
7.904
9.620
9.910 10.232 10.232
10.411
10.411
CREDIT POLICY
1/1/78
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
71
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.563
1.563
1.563
3.150
3.150
3.150
3.150
3.150
3.150
3.150
3.150
Aa
131
0.000
0.000
0.000
0.000
0.826
0.826
0.826
0.826
0.826
0.826
1.745
1.745
1.745
1.745
1.745
1.745
1.745
1.745
1.745
1.745
380
0.000
0.000
0.000
0.000
0.000
0.581
0.581
0.581
1.210
1.210
2.554
2.554
3.995
4.741
4.741
5.170
5.170
5.637
5.637
5.637
Baa
341
0.000
0.000
0.000
0.000
1.420
1.784
2.545
2.940
3.349
4.654
5.104
6.106
7.680
9.859 10.409 10.409 10.409 10.409 10.409 10.409
Ba
187
1.124
1.124
1.124
1.770
4.583
6.092
6.092
9.330
15.441
37
5.405
5.405
11.712 14.982 22.375 22.375 26.941 26.941 32.561 38.692 38.692 38.692 47.450 60.587 60.587 60.587 60.587 60.587 60.587 60.587
Caa-C
0.000
0.000
0.000
0.000
0.000
0.000
0.000
IG
923
0.000
0.000
0.000
0.000
0.611
0.983
1.240
1.371
1.776
SG
227
1.823
1.823
2.841
3.909
7.370
8.614
9.281 12.009
18.681
All
1150
0.354
0.354
0.542
0.735
1.843
2.359
2.681
3.229
n(0)
Aaa
75
0.000
0.000
0.000
0.000
0.000
0.000
Aa
132
0.000
0.000
0.000
0.813
0.813
17.431 18.437 19.555 21.939 28.124 29.407 32.288 32.288 32.288 32.288 32.288
0.000 50.000 50.000 50.000 50.000 50.000

2.338
3.207
3.511
4.761
0.000
0.000
0.000
0.000
0.000
0.000
0.000
5.727
5.890
6.072
6.072
6.272
6.272
6.272
21.156 22.004 22.943 26.013
32.611 33.773 36.370 36.370 36.370 36.370 36.370
4.598
5.435
6.299
6.688
8.172
9.844
10
11
12
13
14
15
16
17
18
19
20
0.000
0.000
1.471
1.471
1.471
2.963
2.963
2.963
2.963
2.963
2.963
2.963
2.963
2.963
0.813
0.813
0.813
0.813
1.715
1.715
1.715
1.715
1.715
1.715
1.715
1.715
1.715
1.715
1.715
4.323
4.323
4.746
4.746
5.204
5.204
10.128 10.596 10.596
10.770 10.770
10.770
1/1/79
Rating
57
376
0.000
0.000
0.000
0.000
0.573
0.573
0.573
1.192
1.192
2.524
2.524
3.588
5.204
5.204
Baa
336
0.000
0.313
0.313
1.701
2.057
2.431
2.815
2.815
4.087
4.527
5.515
8.120 10.279 10.826 10.826 10.826 10.826 10.826 10.826
10.826
Ba
207
0.513
0.513
1.072
3.489
6.072
9.486
34
0.000
6.452
9.793 17.009 17.009 21.620 26.519 38.954 45.737 45.737 45.737 56.589 56.589
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Caa-C
0.000
0.000
0.000
0.000
0.000
0.000
0.000 50.000 50.000 50.000 50.000 50.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
IG
919
0.000
0.112
0.112
0.712
1.076
1.202
1.330
5.625
5.785
5.963
5.963
6.160
6.160
6.160
6.160
SG
244
0.435
1.345
2.293
5.351
7.546
All
1163
0.088
0.360
0.546
1.611
2.307
FEBRUARY 29, 2016
12.271 18.897 20.552 21.398 22.333 25.386
11.058 14.063
3.027
3.659
1.594
2.142
2.995
3.294
4.677
31.705 32.789 35.189 35.189 35.189 35.189 35.189
35.189
21.817 23.963 24.701 25.520 29.154 34.998 36.030 38.314 38.314 38.314 38.314 38.314 38.314
5.192
5.996
6.828
7.203
8.901
10.517 10.792
11.245
11.245
11.414
11.414
11.414
11.414
CREDIT POLICY
1/1/80
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
87
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.266
1.266
1.266
2.565
2.565
2.565
2.565
2.565
2.565
2.565
2.565
2.565
2.565
Aa
130
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.901
1.802
1.802
1.802
1.802
1.802
1.802
1.802
1.802
1.802
1.802
1.802
1.802
381
0.000
0.000
0.276
0.830
0.830
0.830
1.727
2.038
3.012
3.012
4.057
4.777
4.777
5.191
5.191
5.641
5.641
5.641
5.641
6.661
Baa
336
0.000
0.000
1.014
1.361
1.725
2.464
2.464
3.288
4.140
5.528
7.984 10.498
11.527
11.527
11.527
11.527
11.527
11.527
11.527
11.527
Ba
207
0.000
0.524
3.887
5.092
8.864 12.096
21.256 23.942 26.807 32.979 35.276
37.719
37.719
37.719
37.719 39.238 39.238 39.238
41
5.000
7.568
Caa-C
18.211 20.477
15.723 21.536 27.949 31.552 44.781 49.383 49.383 49.383 61.434 69.148 69.148 69.148 69.148 69.148 69.148 69.148 69.148 69.148
6 33.333 33.333 33.333 33.333 33.333 33.333 55.556 55.556 55.556 55.556 55.556
0.936
1.182
1.562
2.225
3.046
3.476
4.806
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
5.866
6.179
6.350
6.350
6.540
6.540
6.540
6.540
6.977
IG
934
0.000
0.000
0.463
0.814
SG
254
1.630
2.482
6.552
8.492 12.589
All
1188
0.344
0.520
1.714
2.375
3.251
4.051
5.713
6.693
7.481
8.195
9.927
11.714
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
91
0.000
0.000
0.000
0.000
0.000
0.000
1.220
1.220
1.220
2.486
2.486
2.486
2.486
2.486
2.486
2.486
2.486
2.486
2.486
2.486
Aa
135
0.000
0.000
0.000
0.000
0.000
0.000
0.833
2.500
2.500
2.500
2.500
2.500
2.500
2.500
2.500
2.500
2.500
2.500
2.500
3.734
15.787 23.188 25.688 26.334 28.545 32.526 38.689 40.721 42.877 42.877 42.877 42.877 44.205 44.205 44.205
12.251 12.683 12.683 12.844 12.844
13.014 13.014
13.388
1/1/81
Rating
386
0.000
0.269
0.269
0.269
0.269
1.152
1.463
2.113
2.113
3.154
3.876
3.876
4.290
4.290
4.741
4.741
4.741
4.741
5.749
6.267
Baa
339
0.000
0.642
1.958
2.655
3.373
3.373
3.774
4.586
5.913
8.261
10.179
11.161
11.161
11.161
11.161
11.161
11.161
11.161
11.902
12.703
Ba
241
0.000
3.652
5.129
8.169
46
4.397
11.393
16.315 24.335 27.245 41.234 41.234 41.234 41.234
0.000
0.000
0.000
0.000
0.000 16.667 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333 33.333
IG
951
0.000
0.332
0.780
1.014
1.253
SG
294
0.698
4.785
6.776 10.508 13.983 21.890 24.468 25.004 27.469 32.224 38.312 40.090 41.962 41.962 41.962 41.962 43.147 44.356 44.356 44.356
All
1245
0.162
1.352
2.139
Caa-C
58
FEBRUARY 29, 2016
3.135
11.870 18.558 21.066
4.068
1.619
6.005
2.135
6.928
21.719 24.731 28.832
2.929
7.670
3.346
8.455
35.161 37.241 39.443 39.443 39.443 39.443 40.851 42.294 42.294 42.294
51.518 57.578 57.578 57.578 57.578

4.635
5.515
5.820
5.985
5.985
10.331 12.030 12.542 12.954 12.954
57.578 57.578 57.578 57.578 57.578

6.169
13.107
6.169
13.107
6.169
6.169
6.800
13.270 13.438 13.968
57.578
7.456
14.520
CREDIT POLICY
1/1/82
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
94
0.000
0.000
0.000
0.000
0.000
1.176
1.176
1.176
2.412
2.412
2.412
2.412
2.412
2.412
2.412
2.412
2.412
2.412
2.412
2.412
Aa
147
0.000
0.000
0.000
0.000
0.000
0.758
2.284
2.284
2.284
2.284
2.284
2.284
2.284
3.292
3.292
3.292
3.292
3.292
4.457
4.457
395
0.256
0.256
0.256
0.256
1.110
1.110
1.741
1.741
3.097
3.801
3.801
4.199
4.199
4.199
4.199
4.199
4.199
4.685
5.184
8.268
Baa
326
0.329
0.329
1.393
2.129
2.513
3.322
4.156
5.498
7.868
9.808 10.810 10.810 10.810 10.810
10.810 12.336
13.147
13.147
Ba
254
2.786
5.360
8.052
45
2.222
9.101 14.084 16.769 29.169 29.169 29.169 29.169 34.618 53.192 53.192 53.192 53.192 53.192
Caa-C
11.794 18.634 20.842
10.810 10.810
21.416 24.076 28.538 32.633 34.535 36.549 36.549 36.549 36.549 37.899 39.378 39.378 39.378 42.655
53.192 53.192
53.192 53.192 53.192
53.192
13 23.077 46.154 46.154 46.154 55.128 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103 64.103
IG
962
0.214
0.214
0.554
0.786
1.264
1.768
2.544
2.951
4.354
5.219
5.518
5.681
SG
312
3.553
7.664
All
1274
1.040
2.031
2.975
3.950
6.065
6.945
7.653
Rating
n(0)
10
11
12
Aaa
99
0.000
0.000
0.000
0.000
2.273
2.273
2.273
3.526
3.526
3.526
3.526
Aa
234
0.000
0.000
0.000
0.000
0.469
1.905
1.905
1.905
1.905
1.905
1.905
5.681
5.861
5.861
5.861
5.861
6.478
7.120
8.433
10.573 13.998 21.658 23.901 24.368 26.562 30.881 36.348 37.963 39.662 39.662 39.662 39.662 40.780 41.988 41.988 41.988 44.686
8.407 10.329
11.970 12.466 12.864 12.864
13.012
13.012
13.170 13.334
13.851 14.389
15.852
13
14
15
16
17
18
19
20
3.526
3.526
3.526
3.526
3.526
3.526
3.526
3.526
3.526
1.905
2.564
2.564
2.564
2.564
2.564
2.564
3.343
4.169
1/1/83
475
0.000
0.000
0.000
0.230
0.230
0.989
0.989
2.343
3.465
4.046
4.362
4.362
4.362
4.362
4.362
4.362
4.362
4.774
6.035
6.468
Baa
324
0.000
0.989
1.341
2.798
3.210
3.631
4.551
6.953
8.966
8.966
8.966
8.966
8.966
8.966
8.966
8.966 10.502
12.115
13.821
17.304
Ba
178
1.163
2.435
4.444
10.315
11.986 15.589 19.868 23.352 26.929 26.929 28.589 28.589 28.589 28.589 28.589 30.970 33.526 36.185 41.503
44.162
135
2.303
7.128 13.843 24.317
Caa-C
59
27.156 28.128 30.392 37.598 48.552 53.346 55.802 55.802 55.802 55.802 59.485 59.485 59.485 59.485 59.485 59.485
20 42.308 53.846 59.615 59.615 73.077 73.077 73.077 73.077 73.077 73.077 73.077 73.077 73.077 73.077
1132
0.000
0.277
0.373
0.863
7.072
8.229
SG
333
4.061
7.426
11.641
19.114 22.021 24.232 27.369 32.159 38.076 39.669 41.470 41.470 41.470 41.470 42.664 44.063 45.535 47.091 50.203
51.810
All
1465
0.900
1.836
2.803
4.750
15.713
5.661
2.041
6.703
2.268
7.443
3.554
9.285
4.525
4.777
11.001 11.430
4.915
11.776
4.915
11.776
5.068
11.906
5.068
5.068
11.906 12.045
5.068
5.416
5.959
73.077
IG
FEBRUARY 29, 2016
1.280
73.077 73.077 73.077 73.077 73.077
12.189 12.642 13.268 14.548
CREDIT POLICY
1/1/84
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
85
0.000
0.000
0.000
1.282
1.282
1.282
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
2.734
Aa
250
0.000
0.000
0.000
0.862
1.755
1.755
1.755
1.755
1.755
1.755
1.755
2.369
2.369
2.369
2.369
2.369
2.369
3.087
3.844
3.844
496
0.000
0.213
0.428
0.658
1.599
1.599
3.109
4.153
4.690
4.690
4.690
4.690
4.690
4.690
4.690
4.690
5.068
6.226
6.623
7.070
Baa
331
0.625
0.625
0.963
1.364
1.773
2.669
3.624
5.117
5.117
5.685
5.685
5.685
5.685
6.400
6.400
7.200
8.903
11.565 14.310
14.310
2.155
9.112
11.683
15.161 18.397 24.389 29.686 30.767
31.941
31.941
31.941
31.941
31.941
31.941 35.778 37.785 39.791 43.805 43.805
Ba
195
0.518
154
5.340
Caa-C
11
12.259 21.656 24.736 27.983 33.675
41.811 47.801 49.666 53.692 53.692 53.692 53.692 53.692 57.254 57.254 57.254 57.254 57.254
57.254
18.182 29.870 29.870 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403 47.403
IG
1162
0.175
0.267
0.452
0.949
1.676
1.894
2.907
3.727
SG
360
3.130
7.281
15.120
18.182 21.480 25.745 32.427 37.705 38.956 41.061 41.061 41.061
All
1522
0.869
1.905
3.854
4.927
6.216
7.248
n(0)
Aaa
91
0.000
0.000
0.000
0.000
0.000
1.351
Aa
303
0.000
0.000
0.000
0.771
0.771
0.771
9.330 10.941
3.972
4.106
4.106
4.255
4.255
7.342
7.549
41.061 41.061 42.195 44.605 45.894 47.182 49.791
49.791
11.905 12.037
15.734
11.345
11.781
11.781
11.905
10
11
12
13
1.351
1.351
1.351
1.351
1.351
1.351
0.771
0.771
0.771
0.771
1.332
1.332
4.414
4.414
4.587
5.120
6.393
12.175
12.610
13.211 14.440 15.560
14
15
16
17
18
19
20
1.351
1.351
1.351
1.351
1.351
1.351
1.351
1.351
1.332
1.332
1.332
1.332
1.989
2.680
2.680
2.680
6.319
6.702
1/1/85
Rating
60
557
0.000
0.192
1.217
2.307
2.307
3.966
4.951
5.207
5.207
5.207
5.207
5.207
5.207
5.207
5.207
5.571
7.130
7.130
Baa
336
0.000
1.011
1.361
1.757
2.645
3.104
4.600
5.113
5.685
5.685
5.685
5.685
6.439
6.439
8.946
10.767
13.578 16.536 16.536
16.536
Ba
236
0.872
5.927
8.654 12.090
29.113 30.723
31.611
31.611
31.611
31.611
31.611
31.611 33.165 34.879 38.306 41.734 41.734
41.734
182
7.309 16.033 20.974 24.295 30.013 38.323 43.779 45.483 49.521 49.521 52.045 52.045 52.045 55.470 55.470 55.470 55.470 55.470 55.470 55.470
Caa-C
15
IG
1287
SG
433
All
1720
FEBRUARY 29, 2016
6.667 13.333 22.000

0.000
0.336
0.871
3.773 10.459 14.348

0.952
2.897
4.256
17.175 23.345
31.750 31.750
1.638
1.842
31.750 31.750 31.750

2.787
3.558
3.789
31.750 31.750 59.050 59.050 59.050 59.050 59.050 59.050 59.050 59.050 59.050 59.050
3.915
3.915
4.057
4.057
4.210
4.210
4.702
5.215
6.265
7.178
7.377
7.377
17.921 23.140 29.905 35.268 36.799 38.522 38.522 40.677 40.677 40.677 41.576 42.601 43.726 45.977 48.253 48.253 48.253
5.701
7.028
9.182 10.841
11.305
11.708
11.708
12.173
12.173 12.298 12.428
12.976 13.547
14.715
15.778 15.943
15.943
CREDIT POLICY
1/1/86
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
136
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
352
0.000
0.000
0.639
0.639
1.335
1.335
1.335
1.335
1.335
1.792
1.792
1.792
1.792
1.792
1.792
2.380
2.987
2.987
2.987
2.987
625
0.000
0.176
0.725
0.916
1.898
2.507
2.507
2.507
2.507
2.507
2.507
2.507
2.507
2.507
3.158
3.829
4.533
4.923
4.923
5.342
Baa
364
0.870
1.169
2.546
3.661
5.219
6.481
7.375
7.871
8.400
8.400
8.400
9.050
9.050 10.460
11.232 12.789 14.397 14.397 14.397
14.397
Ba
314
2.365
6.918
9.385 13.630 20.326 26.420 28.435 30.620
31.418
31.418
31.418 32.441 32.441 32.441 33.879 39.726 42.667 42.667 42.667 44.305
223 10.536 14.879 19.025 24.037
Caa-C
19
17.105 23.482
0.211
0.358
31.752 39.123 43.841 46.515 46.515 48.655 48.655 48.655
31.134
31.134
31.134
31.134
31.134
31.134
1.064
1.394
2.332
2.867
3.054
3.156
IG
1477
SG
556
All
2033
1.830
3.140
4.526
5.834
8.085
Rating
n(0)
Aaa
156
0.000
0.000
0.000
0.000
0.000
0.000
Aa
365
0.000
0.000
0.000
0.318
0.318
0.318
6.163 10.686 14.024 18.475 25.412
51.100 56.853 59.935 59.935 59.935 59.935 59.935 59.935
31.134 77.045 77.045 77.045 77.045 77.045 77.045 77.045 77.045 77.045 77.045
5.901
6.083
31.810 34.696 36.978 37.491 39.229 39.229 39.912 40.645 42.341 44.145 47.917 49.829 49.829 49.829
50.919
9.826 10.508 10.997
3.263
3.378
3.378
3.504
3.504
3.778
4.215
11.170
11.545
11.545
11.753
10
11
12
13
14
15
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.318
0.318
0.739
0.739
0.739
0.739
0.739
0.739
1.731
2.052
4.958
11.861 12.322 12.924 14.042
5.733
5.901
77.045
14.941
15.081
15.081
15.382
16
17
18
19
20
0.000
0.000
0.000
0.000
0.000
0.000
1.273
1.827
1.827
1.827
1.827
1.827
2.710
3.401
4.148
4.148
4.550
4.965
11.934 12.633 12.633 12.633 12.633
12.633
1/1/87
61
595
0.000
0.000
0.186
1.140
1.731
1.731
1.731
1.731
1.731
1.731
1.731
1.731
Baa
400
0.000
0.876
1.804
3.438
4.855
6.332
7.572
7.572
7.572
7.572
8.116
8.705
Ba
423
3.024
4.965
8.688 15.870
303
5.436
11.870 19.384 29.451 38.072 43.128 44.852 44.852 46.050 46.050 46.050 47.592 51.086 56.521
Caa-C
33
9.823
16.759
IG
1516
0.000
0.217
4.133
4.707
5.013
5.013
SG
759
4.299
8.322 13.430 22.356 30.306 33.730 35.862 36.897 38.466 38.893 39.849 40.386 41.628 44.284 46.994
51.261
51.261
51.261
All
2275
1.423
2.873
FEBRUARY 29, 2016
23.771 26.415 28.923 30.627
9.906 10.573
31.257 31.945 33.501 33.501 33.501 34.647 38.087 44.023 44.023 44.023 45.459 46.933
58.411 60.490 60.490 60.490 60.490 60.490
16.759 50.056 50.056 50.056 50.056 50.056 75.028 75.028 75.028 75.028 75.028 75.028 75.028 75.028 75.028 75.028 75.028 75.028
0.518
4.643
1.377
7.779
1.949
2.290
10.319 11.404
2.572
12.101
2.572
12.327
2.678
12.731
2.678
2.794
2.919
12.816 13.089 13.283
3.173
3.444
13.691 14.332
5.180
5.351
52.131 53.052
15.321 16.463 16.706 16.706 16.973
17.249
CREDIT POLICY
1/1/88
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
154
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
401
0.000
0.531
0.803
0.803
0.803
0.803
0.803
1.159
1.159
1.159
1.159
1.159
1.612
2.065
2.538
2.538
2.538
2.538
2.538
2.538
606
0.000
0.176
0.896
1.451
1.451
1.451
1.451
1.451
1.451
1.451
1.451
1.451
1.451
2.096
2.428
3.159
3.159
3.554
3.961
3.961
Baa
378
0.000
0.293
1.205
2.512
4.209
5.725
5.725
5.725
5.725
6.232
6.232
6.797
7.414
9.305
11.258
11.258
11.258
11.258
11.258
11.258
Ba
464
1.353
41.559 41.559 41.559 42.830 44.224
47.417
385
5.934
62.317 62.317
62.317 62.317
62.317
15.741 44.547 44.547 44.547 44.547 44.547 72.274 72.274 72.274 72.274 72.274 72.274 72.274 72.274 72.274 72.274 72.274 72.274
72.274
Caa-C
40 12.500
6.441
11.929 20.006 22.465 24.887 25.828 26.346 27.484 28.746 29.504 30.279
12.967 25.799 34.381 38.880 41.937 43.416 46.021 46.021 47.059

1.375
1.765
2.109
2.205
2.205
2.312
2.312
2.430
2.683
1539
0.000
0.278
0.852
SG
889
3.850
9.708
18.781 26.865 30.071 32.661 33.758 35.629 36.319 37.450 39.628 41.070 43.168 46.492 50.615 50.615 50.615 51.399 52.237 54.075
All
2428
1.393
3.581
6.894
Rating
n(0)
10
11
12
13
14
15
16
17
Aaa
171
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
412
0.499
0.499
0.499
0.499
0.499
0.499
0.828
0.828
0.828
0.828
0.828
1.256
1.683
2.126
2.126
2.126
2.388
2.388
2.757
10.773 10.773
10.773
11.816 12.083 12.587 12.740 13.066 13.503 13.870 14.450
3.457
4.128
15.651 16.899
4.412
62.317
IG
9.726 10.898
2.109
31.161 35.756
51.721 54.480 58.943 60.522
17.120
4.412
4.567
17.120 17.363
4.726
4.726
17.616
17.881
18
19
20
0.000
0.000
0.000
0.000
2.126
2.126
2.126
3.291
3.137
1/1/89
643
0.000
0.324
0.832
0.832
0.832
0.832
0.832
0.832
0.832
0.832
0.832
0.832
1.734
2.044
Baa
396
0.529
1.624
2.219
4.061
4.747
4.747
4.747
4.747
5.194
5.194
5.693
6.232
8.452
10.162
Ba
438
2.957
9.794
423
7.549 20.753 29.220 34.334 37.656 39.946 43.310 44.097 46.564 49.361 51.663 55.500 55.500 58.577
Caa-C
62
17.765 20.034 22.655 23.082 23.579 24.674 25.905 28.084
3.137
4.412
10.773 10.773
11.549
28.811 30.466 34.667 40.951 40.951 40.951 40.951 42.109 44.684
46.179
58.577 58.577 60.878 60.878 60.878 66.094
49 20.334 49.035 55.405 55.405 55.405 55.405 55.405 55.405 55.405 55.405 55.405 55.405 77.703 77.703 77.703 77.703 77.703 77.703 77.703
IG
1622
SG
910
All
2532
FEBRUARY 29, 2016
0.254
0.645
0.986
5.901 16.260 24.373

2.226
5.917
1.415
1.573
27.831 30.674
8.705 10.014 10.897
1.573
1.662
1.662
1.759
1.759
1.867
2.098
3.046
3.658
3.919
3.919
31.881 33.546 34.483 36.186 38.578 39.874 42.244 45.207 50.047 50.047 50.047
11.201
11.659
11.869
12.314
12.793
4.062
4.208
5.177
50.731 51.456 53.036
55.678
13.127 13.746 15.026 16.360 16.563 16.563 16.786
4.208
77.703
17.018
17.261
18.411
CREDIT POLICY
1/1/90
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
192
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
462
0.000
0.000
0.000
0.000
0.000
0.278
0.278
0.278
0.278
0.278
0.278
0.640
1.018
1.018
1.018
1.018
1.018
1.018
2.044
3.593
668
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.273
0.550
0.838
1.153
1.153
1.493
1.493
1.493
2.680
4.302
Baa
388
0.265
0.842
1.145
1.499
1.499
1.499
1.499
1.499
1.499
1.994
2.527
5.260
8.064
8.657
8.657
8.657
9.394
9.394 10.225
12.743
3.531
12.017
14.511
Ba
422
450
Caa-C
56 40.794 44.741 53.951
IG
1710
0.060
0.185
SG
928 10.284
19.108
All
17.339 17.748 18.699
19.227 20.405 22.518 23.229 25.579 31.274 35.565 35.565 35.565 35.565 36.736 39.243 40.623 42.004
13.667 23.307 30.130 33.249 35.586 38.367 39.694 42.656 45.188 47.343
0.251
53.951 53.951
0.325
0.325
53.951 53.951 53.951

0.405
0.405
0.405
51.165
51.165 54.322 54.322 54.322 56.497 56.497 56.497 64.174 66.930
53.951 76.975 76.975 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000
0.405
0.504
0.715
1.472
2.258
2.496
2.496
2.628
23.715 26.581 27.881 29.621 30.471 32.353 34.608 36.239 38.956 42.790 46.396 46.396 46.396 47.092
9.664 10.072
10.514 10.899
2.763
2.763
3.671
5.208
47.817 49.352 52.660 54.436
2638
3.492
6.398
7.817
8.664
8.996
9.472
11.552 12.822 14.054 14.243 14.243 14.452 14.669 14.897
16.105
17.585
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
179
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
493
0.000
0.000
0.000
0.000
0.254
0.254
0.254
0.254
0.254
0.254
0.594
0.949
0.949
0.949
0.949
0.949
0.949
1.910
3.843
3.843
1/1/91
656
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.260
0.524
0.796
1.095
1.095
1.419
1.419
1.419
2.561
4.112
4.529
Baa
414
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.668
1.113
3.401
5.777
6.272
6.272
6.272
6.885
7.523
8.208
9.588
9.588
Ba
356
3.848
5.162
7.072
7.485
7.979
8.534
9.761
11.998 12.744 15.285 20.569 24.289 24.289 25.491 25.491 26.821 26.821 28.315 30.063 30.063
373
12.937
Caa-C
63
21.777 26.417 28.787 32.070 33.397 35.696 38.431 40.716 44.868 46.399 51.489 51.489 51.489 53.914 53.914 56.474 65.180
64 14.974 18.245
21.799 26.144
0.059
0.059
0.059
SG
793
8.952
13.919
17.169 18.667 20.649 21.498 23.377 25.669 27.373 30.262 34.353 38.162 38.162 38.864 39.619 40.413 41.230 44.779 47.748 47.748
All
2535
2.761
4.169
FEBRUARY 29, 2016
5.912
0.133
6.096
0.133
6.487
0.133
47.612 47.612 60.709 60.709 60.709 60.709 60.709 60.709 60.709 60.709 60.709 60.709
1742
5.399
0.133
31.419 37.134 37.134
71.511
IG
5.030
0.059
31.419
71.511
6.910
0.225
7.280
0.421
7.908
1.122
1.854
2.075
2.075
2.197
9.132 10.322 10.504 10.599 10.802
2.323
11.013
2.458
3.306
11.234 12.406
4.736
4.888
13.961 14.089
CREDIT POLICY
1/1/92
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
165
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
500
0.000
0.000
0.000
0.234
0.234
0.234
0.234
0.234
0.234
0.543
0.543
0.543
0.543
0.543
0.543
0.543
0.543
1.460
1.948
1.948
756
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.227
0.457
0.932
1.194
1.194
1.194
1.194
1.194
2.864
4.904
5.638
6.391
Baa
425
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.392
0.804
2.933
4.270
4.737
4.737
5.272
5.836
6.421
7.040
8.293
8.293
8.957
Ba
338
0.337
1.090
1.090
1.592
1.592
2.773
4.886
6.333
7.984 13.085
17.570
17.570
301
7.345 13.822
Caa-C
18.731 20.001 21.380 21.380 24.725 26.518 26.518
26.518
17.213 21.206 23.206 25.536 28.242 30.543 36.004 37.492 44.012 44.012 44.012 44.012 44.012 44.012 49.344 58.139 58.139
58.139
73 16.494 22.061 24.226 27.032 30.349 33.832 33.832 41.184

0.150
41.184 49.586 49.586 49.586 49.586 49.586 49.586 66.391 66.391 66.391 66.391
0.327
0.966
1.442
1.645
1.645
1.757
1.873
1.997
2.773
4.091
IG
1846
0.000
0.000
0.000
0.067
0.067
0.067
0.067
SG
712
4.933
8.551
10.185
12.316 13.410
15.217
17.410 19.468 22.267 26.190 30.895 30.895 31.553 32.281 33.087 33.913 37.665 41.839 41.839 41.839
All
2558
1.337
2.257
2.645
3.165
3.392
3.755
4.149
4.562
5.145
6.284
7.395
7.566
7.654
7.845
8.044
8.253
Rating
n(0)
10
11
12
13
14
15
16
17
Aaa
134
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
503
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
9.359 10.948
4.511
66.391
4.943
11.312
11.687
18
19
20
0.000
0.000
0.000
0.000
0.420
0.883
0.883
0.883
4.228
4.550
4.885
11.323 12.475
13.082
1/1/93
824
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.196
0.593
1.007
1.236
1.236
1.236
1.236
1.236
2.402
3.907
Baa
478
0.000
0.000
0.250
0.250
0.530
0.836
1.471
2.142
3.876
4.971
5.744
5.744
6.178
6.638
7.125
8.672
10.772
Ba
353
0.622
0.622
1.857
2.744
3.688
5.388
7.791
8.474 12.685
17.116
17.116
17.116
18.103
19.166
289
4.376
8.428 14.034 15.594
75
13.531
15.370 20.206 23.056 23.056 23.056 29.468 29.468 37.305 37.305 37.305 46.261 46.261 46.261 46.261 46.261 46.261 46.261 46.261
IG
1939
0.000
0.000
0.059
0.059
0.127
SG
717
3.404
5.266
8.620
9.952
11.469
All
2656
0.899
1.365
2.190
2.486
2.859
Caa-C
64
FEBRUARY 29, 2016
19.166 21.733 24.387 24.387 24.387 24.387
18.162 20.376 23.929 31.867 35.182 38.768 40.018 40.018 40.018 41.782 43.790 48.384 56.625 56.625 56.625 56.625
0.199
0.348
0.584
1.156
1.584
1.857
1.857
1.958
2.063
2.175
2.993
4.189
4.573
4.967
46.261
5.240
13.272 16.280 19.640 23.633 27.442 27.892 28.415 28.983 30.208 30.860 33.909 38.019 38.019 38.019 38.019
3.264
3.931
4.702
5.848
6.834
7.135
7.214
7.383
7.649
7.836
8.928 10.459
10.787
11.126
11.360
CREDIT POLICY
1/1/94
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
136
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
474
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.448
0.448
0.448
0.448
1004
0.000
0.000
0.000
0.000
0.000
0.000
0.150
0.455
0.771
1.115
1.115
1.115
1.115
1.115
2.029
3.445
3.699
4.491
4.762
4.762
Baa
539
0.000
0.200
0.200
0.419
0.654
1.866
2.379
3.708
4.545
5.135
5.135
5.471
5.826
6.206
11.491 12.003
12.003
Ba
397
0.000
0.896
1.212
2.239
4.314
7.425 10.350 13.476 17.408
18.011
18.011
18.815 20.620 20.620 23.969 30.083 30.083 30.083 31.636
31.636
381
4.191
9.149
12.619 14.265
17.176 21.898 27.286
Caa-C
85
2.532
7.612
11.705
11.705
11.705 21.362 21.362 30.100 30.100 30.100 41.750 41.750 41.750 41.750
IG
2153
0.000
0.049
0.049
0.105
0.165
0.474
SG
863
2.093
5.120
7.105
8.325 10.649
14.718
All
3016
0.582
1.422
1.931
2.270
2.825
3.902
4.782
5.980
7.013
7.560
7.754
Rating
n(0)
10
Aaa
139
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
560
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.670
7.879 10.075 10.529
33.118 37.910 41.385 43.307 43.307 44.488 45.809 48.906 52.153

1.144
1.498
1.798
1.798
1.882
2.064
52.153 52.153
52.153
41.750 41.750 41.750 41.750 41.750
41.750
5.120
5.120
31.712 32.249 35.402 40.155 40.155 40.155 41.035
41.035
7.894
8.189
8.345
12.062
11
12
13
14
15
16
17
18
19
20
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.383
0.788
0.788
0.788
0.788
0.788
18.477 22.815 26.899 28.606 29.776 30.230
1.970
2.855
3.986
52.153
9.429 10.991
4.314
11.270
4.884
11.757 12.062
1/1/95
1080
0.000
0.000
0.000
0.000
0.000
0.133
0.402
0.827
1.131
1.131
1.131
1.131
1.131
1.956
3.022
3.254
3.979
4.229
4.229
4.501
Baa
553
0.000
0.000
0.000
0.218
1.345
1.826
3.321
4.104
4.376
4.376
4.696
5.034
5.399
7.002
9.093
9.526
10.431
10.915
10.915
10.915
Ba
409
0.267
0.547
1.760
3.562
7.054
9.583
12.711
502
4.015
6.548
8.967
12.311
Caa-C
65
95 10.423 16.369 16.369 20.567
15.136 16.695 16.695 17.407 18.944 18.944 21.920 29.657 29.657 29.657 31.064 31.064 31.064
16.612 22.007 31.072 38.470 42.750 45.075
52.170 52.170
52.170
52.170 52.170
52.170
31.231
41.811 55.666 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055 63.055
0.326
0.499
IG
2332
0.000
0.000
0.000
0.053
SG
1006
3.062
4.919
6.639
9.401 13.623 17.808 24.031 28.919
All
3338
0.899
1.428
1.895
2.635
FEBRUARY 29, 2016
45.771 46.524 47.359 49.239
3.840
4.904
0.982
6.630
1.363
7.968
1.566
4.414
4.634
4.634
4.750
31.737 32.904 33.581 34.685 35.083 37.438 42.493 42.493 42.493
43.177
43.177
43.177
12.115 12.367 12.804 13.079 13.079
13.177
8.710
1.566
8.936
1.643
9.123
1.723
9.383
1.809
2.538
9.521 10.489
3.582
3.886
CREDIT POLICY
1/1/96
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
20
Aaa
142
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
601
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.353
0.722
0.722
0.722
0.722
0.722
0.722
1156
0.000
0.000
0.000
0.000
0.119
0.360
0.616
0.890
0.890
0.890
0.890
0.890
1.632
2.774
2.981
3.624
3.844
3.844
4.082
4.082
Baa
650
0.000
0.000
0.175
0.723
1.299
2.698
3.319
3.758
3.993
4.250
4.796
4.796
6.390
8.076
8.431
9.538
9.933
9.933
9.933
11.190
Ba
467
0.000
0.713
2.108
5.655
7.588
13.722 15.394 15.394
16.522
17.737 18.422 20.714 25.747 25.747 25.747 26.765 26.765 26.765
26.765
572
1.502
4.012
8.748 12.042 17.656
25.187 32.710 36.272 38.731 39.332 39.970 40.694 43.224 48.469 48.469 48.469 48.469 48.469 48.469
51.112
Caa-C
106 10.309 15.236
11.037
19.759 34.469 44.444 56.709

0.191
0.393
0.870
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
61.519
1.148
1.385
1.449
1.516
1.658
1.658
2.382
3.384
3.652
4.209
4.402
4.402
4.504
4.817
IG
2549
0.000
0.000
0.046
SG
1145
1.651
3.595
6.885 10.994 15.052 20.750 25.789 28.288 29.465 30.292
All
3694
0.506
1.081
2.036
3.231
4.396
6.140
7.534
8.265
8.558
8.773
9.055
9.176
10.147
11.764
Rating
n(0)
10
11
12
13
14
15
16
17
18
19
Aaa
138
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
681
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.304
0.623
0.623
0.623
0.623
0.623
0.623
5.374
31.186 31.855 34.150 39.024 39.024 39.024 39.550 39.550 39.550 40.759
11.982 12.437
12.674 12.674 12.758
13.188
1/1/97
66
1176
0.000
0.000
0.000
0.105
0.318
0.544
1.021
1.021
1.021
1.021
1.021
2.005
3.016
3.199
3.960
4.351
5.163
5.374
Baa
822
0.000
0.133
0.546
0.978
2.042
2.691
3.032
3.216
3.614
4.037
4.037
5.049
6.910
7.190
8.057
8.663
8.663
8.663 10.260
Ba
589
0.175
1.378
5.090
7.953 10.481
13.818 15.347 15.347
16.191
17.081 17.583
689
1.847
6.183 10.093 15.385 24.854
Caa-C
128
9.735
17.212 30.659 47.274 58.764 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513 62.513
IG
2817
0.000
0.039
0.162
SG
1406
1.815
5.058
9.485
14.241 20.478 25.190 27.598 28.802 29.599 30.707 31.445 33.660 38.329 38.329 38.329 38.692 39.057 39.057 40.271
All
4223
0.592
1.632
3.028
4.492
FEBRUARY 29, 2016
0.333
0.737
6.498
19.219 22.708 22.708 22.708 23.398 23.398 23.398 25.776
31.139 34.645 37.126 37.936 39.394 40.481 43.610 50.158 50.158 50.158 50.158 51.048 51.048 51.048
1.024
7.959
1.326
8.783
1.381
9.107
1.496
9.371
1.617
9.700
1.617
2.313
9.850 10.825
3.325
3.556
12.513 12.695
4.118
4.449
4.789
4.877
5.324
13.137 13.465 13.800 13.870 14.439
CREDIT POLICY
1/1/98
Rating
n(0)
10
11
12
13
14
15
16
17
18
Aaa
125
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
735
0.000
0.000
0.000
0.000
0.000
0.000
0.226
0.226
0.226
0.226
0.226
0.513
0.815
1.116
1.116
1.116
1.116
1.116
1175
0.000
0.000
0.097
0.294
0.505
0.949
0.949
0.949
0.949
0.949
1.867
2.976
3.149
3.695
4.254
5.215
5.415
5.415
Baa
962
0.109
0.445
0.796
1.774
2.833
3.113
3.410
3.735
4.080
4.080
4.929
6.733
7.202
7.937
8.192
8.458
8.458
9.844
Ba
709
0.898
3.631
6.291
9.659 12.730 14.576 14.840 15.466
15.812
16.197 17.833
21.771
21.771
21.771 22.784 22.784 22.784 24.467
938
3.871
9.593 16.574 25.993
Caa-C
141
8.197 26.835 38.135 56.783 63.970 69.429 73.797 73.797

0.694
31.810 36.499 39.996 41.049 43.130 44.821 46.751 50.338 50.338 50.338 50.338 50.850 50.850 50.850
1.126
1.398
1.544
1.648
73.797 73.797 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000
IG
2997
0.035
0.143
0.295
1.757
1.757
2.393
3.456
3.738
4.256
4.562
5.036
5.118
SG
1788
3.025
8.440
13.918
All
4785
1.136
3.130
5.112
7.854
9.681
10.918
11.623
Rating
n(0)
10
11
12
13
14
15
16
17
Aaa
112
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
731
0.000
0.000
0.000
0.000
0.000
0.209
0.209
0.209
0.209
0.209
0.473
1.029
1.307
1.307
1.307
1.307
1.307
5.534
21.270 25.943 29.343 31.395 32.206 33.405 34.414 36.302 39.864 39.864 39.864 40.339 40.581 40.581 41.372
11.917 12.309
12.561 13.482
15.118 15.324
15.702 16.039 16.443 16.503 16.993
1/1/99
1217
0.000
0.000
0.182
0.277
0.687
0.687
0.687
0.687
0.687
1.679
2.848
2.848
3.508
4.025
4.913
5.099
5.099
Baa
1103
0.093
0.483
1.308
2.543
2.898
3.149
3.427
3.719
3.719
4.613
6.725
7.126
7.760
8.196
8.428
8.428
9.645
Ba
699
1.505
3.155
5.590
8.254
10.192 10.434
11.011
11.629
1090
Caa-C
67
11.974 14.582
4.799 13.532 23.186 31.594 36.295 40.131 41.802 43.786 45.804 47.872 52.606 52.606 53.033 53.033 53.507 53.507 55.149
301 16.068 24.158 40.074 43.902 48.081 49.759 49.759 49.759 49.759
IG
3163
0.032
0.169
SG
2090
5.308
11.557
All
5253
2.103
4.573
FEBRUARY 29, 2016
18.126 18.564 18.564 19.528 19.528 19.528 20.061
0.531
1.001
1.287
19.519 25.296 28.884

7.792 10.204
1.419
1.513
2.304
3.511
51.194 52.877 52.877 52.877 52.877 52.877

5.545
31.120 32.178 33.374 34.443 36.586 40.132 40.311 40.684 41.083 41.286 41.286
42.171
13.218
1.611
51.194
5.162
11.617 12.428 12.809
1.611
51.194
13.511
3.767
4.304
14.561 16.340 16.567 17.043
4.653
17.391
5.087
17.751 17.805 18.298
CREDIT POLICY
1/1/00
Rating
n(0)
10
11
12
13
14
15
16
Aaa
117
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
726
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.536
0.804
0.804
0.804
0.804
0.804
1250
0.000
0.170
0.353
0.735
0.840
0.840
0.840
0.840
2.040
3.286
3.286
3.909
4.396
5.231
5.406
5.760
Baa
1183
0.350
0.806
1.908
2.439
2.663
3.035
3.296
3.296
3.746
5.910
6.261
6.816
7.389
7.594
7.594
8.236
1.111
2.799
4.835
6.481
6.481
7.273
7.567
7.895
11.129 16.039 16.465 16.465
17.401
17.401
Ba
664
1167
Caa-C
5.744 15.659
316 17.492 39.412 48.892

0.358
17.401 18.424
24.411 29.497 33.377 35.357 38.214 40.000 42.435 48.253 48.603 48.986 48.986 49.430 49.902 51.437
IG
3276
0.127
0.828
SG
2147
5.971 14.826
All
5423
2.416
5.965
Rating
n(0)
Aaa
116
0.000
0.000
Aa
755
0.000
55.716 59.720 59.720 59.720 59.720 59.720

1.169
1.291
1.421
1.512
1.512
2.146
61.551
3.374
61.551 63.575 63.575 63.575 63.575 63.575

3.612
4.109
4.497
4.900
4.970
5.325
21.414 25.416 27.887 29.220 30.758 31.742 34.183 39.035 39.371 39.728 40.110 40.304 40.508 41.580
8.723 10.353
11.256
11.751
12.257
12.527
13.610
15.735 15.990 16.434 16.806
17.143
17.243
10
11
12
13
14
15
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.498
0.746
0.746
1.027
1.027
1.027
17.756
1/1/01
1296
0.156
0.411
0.675
0.675
0.675
0.675
0.675
2.016
3.164
3.300
3.872
4.166
4.934
5.255
5.745
Baa
1156
0.180
1.431
1.939
2.375
2.732
2.982
2.982
3.269
5.308
5.474
6.000
6.911
7.104
7.104
7.512
Ba
622
1.159
2.607
4.006
4.006
5.048
5.353
5.691
9.017 14.497 14.940 14.940 15.907
1111
9.232
Caa-C
68
18.916 24.474 28.348 30.316 33.378
35.167 38.014 45.742
15.907 15.907 16.968
46.111 46.516 46.516 46.985 47.495 49.197
309 29.022 40.846 54.079 59.646 60.707 60.707 60.707 60.707 62.493 62.493 64.468 64.468 64.468 64.468 64.468
IG
3323
0.124
0.660
SG
2042
9.484
16.715 21.549 24.163 25.669 27.343 28.350
31.021 37.002 37.353 37.725 38.124 38.328 38.544 39.691
All
5365
3.624
6.594
11.775 14.035 14.280
FEBRUARY 29, 2016
0.942
8.433
1.093
9.368
1.214
1.299
1.299
9.894 10.408 10.666
1.938
3.075
3.297
3.760
14.707
4.184
15.110
4.622
4.752
15.481 15.626
5.084
16.122
CREDIT POLICY
1/1/02
Rating
n(0)
10
11
12
13
14
Aaa
124
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
757
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.468
0.703
0.703
0.970
0.970
0.970
1299
0.161
0.326
0.326
0.326
0.326
0.326
1.580
2.530
2.782
3.313
3.725
4.435
4.733
5.187
Baa
1246
1.015
1.372
1.464
1.673
1.785
1.785
2.166
3.969
3.969
4.125
4.941
5.114
5.114
5.477
3.989
4.951
5.769
6.090
8.894 14.097 14.499 14.499 15.875
15.875
Ba
602
1.215
3.116
893
4.567
9.566 12.740 15.087
Caa-C
18.154 19.803 24.069 33.773 35.326 36.640 36.640
15.875 17.369
37.135 37.677 38.895
360 26.708 40.945 48.398 49.779 52.652 53.779 55.320 60.001 60.001 61.820 61.820 61.820 61.820 61.820
IG
3426
0.432
0.625
0.659
0.733
0.773
0.773
1.403
2.401
SG
1855
7.533 12.826
15.713
All
5281
2.884
4.747
5.650
6.170
6.740
6.985
Rating
n(0)
Aaa
122
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
684
0.000
0.000
0.000
0.000
0.000
0.000
2.603
2.921
3.366
3.770
3.890
4.196
17.365 19.430 20.420 23.643 30.620 31.476 32.230 32.833 33.037 33.255 34.412
8.201 10.550 10.895
11.301
11.769
12.122 12.260
10
11
12
13
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.476
0.714
0.714
0.986
0.986
0.986
12.733
1/1/03
1287
0.000
0.000
0.000
0.000
0.000
1.215
2.023
2.269
2.913
3.183
3.882
4.173
4.620
Baa
1207
0.000
0.000
0.197
0.303
0.303
0.419
1.578
1.578
1.578
2.320
2.479
2.479
2.815
Ba
592
0.877
1.280
1.931
2.422
2.714
5.523
11.344 12.625 12.625 12.625
13.557
873
2.450
4.406
6.601
9.161 10.529 15.008 25.040 26.647
27.721 29.299 30.104 30.541 31.992
360 19.894 31.053 33.845 37.697 38.575 39.756 46.844 46.844
50.173 50.173 50.173 50.173 50.173
Caa-C
69
IG
3300
0.000
0.000
0.072
0.109
0.109
SG
1825
5.092
7.912
9.608
11.506
12.372
All
5125
1.768
2.685
3.248
3.812
4.044
FEBRUARY 29, 2016
0.631
10.611 11.344
1.364
1.560
1.863
2.237
2.627
2.743
3.039
15.707 23.198 24.244 25.078 26.332 26.699 26.896 27.935

5.261
7.660
8.060
8.483
9.053
9.433
9.566 10.020
CREDIT POLICY
1/1/04
Rating
n(0)
10
11
12
Aaa
142
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
651
0.000
0.000
0.000
0.000
0.204
0.204
0.680
0.917
0.917
1.193
1.193
1.193
1274
0.000
0.000
0.000
0.000
1.142
1.570
1.801
2.406
2.533
3.331
3.607
4.028
Baa
1266
0.000
0.178
0.178
0.178
0.281
1.911
1.911
1.911
2.712
2.850
2.850
3.305
Ba
569
0.378
0.578
1.290
1.573
4.293
9.629
9.985
965
0.797
2.071
4.044
4.912
9.126 19.947 21.208 22.047 23.922 24.570 24.929 25.736
Caa-C
316
11.773 18.399
9.985 10.829 10.829 10.829 12.262
22.741 25.728 28.459 40.906 42.021 47.725 49.219 49.219 49.219 49.219
IG
3333
0.000
0.067
0.067
0.067
0.591
1.361
1.543
1.827
SG
1850
2.418
4.119
5.975
6.907 10.367
19.361
All
5183
0.835
1.432
1.993
2.257
3.551
6.472
6.841
7.302
7.905
8.297
8.421
Rating
n(0)
10
11
Aaa
131
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
669
0.000
0.000
0.000
0.188
0.188
0.834
1.052
1.052
1.301
1.301
1.301
20.271 21.294
2.175
2.591
2.700
3.035
22.717 23.044 23.224 24.184

8.891
1/1/05
70
1323
0.000
0.000
0.000
0.762
1.257
1.472
2.037
2.155
2.784
3.045
3.446
Baa
1287
0.163
0.163
0.163
0.668
2.081
2.081
2.081
2.829
3.088
3.088
3.513
Ba
559
0.000
0.645
0.900
3.635
8.879
9.504
9.504
10.615
10.615
10.615 12.298
1050
0.815
2.644
3.526
8.403 20.049
Caa-C
349
7.272
11.204 14.370
IG
3410
0.061
0.061
SG
1958
1.719
All
5368
0.647
FEBRUARY 29, 2016
21.272 22.214 24.072
25.181 25.494 26.545
21.537 37.708 40.870 48.741 49.933
51.251 52.876 54.688
0.061
0.584
2.489
3.546
4.613
9.116 19.284 20.558 21.929 23.412
24.112 24.422 25.754
1.252
1.581
3.258
8.853
1.300
6.708
1.511
7.219
1.775
7.770
2.100
8.388
2.591
9.004
2.905
9.555
CREDIT POLICY
1/1/06
Rating
n(0)
10
Aaa
126
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
690
0.000
0.000
0.173
0.173
0.771
0.973
0.973
1.200
1.200
1.200
1382
0.000
0.000
0.687
1.047
1.243
1.756
1.863
2.658
2.895
3.261
Baa
1277
0.000
0.000
0.567
1.585
1.585
1.585
2.183
2.430
2.430
2.704
Ba
568
0.193
0.193
3.088
9.386
9.386
9.386 10.334 10.667
11.018
13.197
1119
1.067
1.915
8.083 18.906
21.189
Caa-C
374
5.910
9.953 19.862 38.592 44.004 49.674 50.542 52.585 53.801 55.159
IG
3475
0.000
0.000
0.516
1.029
SG
2061
1.666
2.803
8.537
19.150
All
5536
0.594
0.971
3.140
6.848
7.598
8.211
8.861
9.413
Rating
n(0)
Aaa
135
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
736
0.000
0.153
0.153
0.685
0.865
0.865
1.070
1.070
1.070
1.224
22.781 25.254 26.230 26.782 28.927

1.469
1.728
2.179
21.153 22.709 24.399 25.242
2.273
2.518
25.775 27.783
9.619 10.302
1/1/07
71
1376
0.000
0.723
1.060
1.243
1.722
1.926
2.886
3.108
3.452
Baa
1278
0.000
0.708
1.751
1.751
1.751
2.314
2.546
2.546
2.802
Ba
627
0.000
1.781
7.807
8.502
8.502
1139
0.000
6.510
Caa-C
429
IG
3525
0.000
0.571
SG
2195
0.896
6.835 17.903 20.528 22.041 24.189 25.527 26.213 28.330
All
5720
0.331
2.800
FEBRUARY 29, 2016
9.812 10.623
10.913 13.092
17.692 20.895 22.755 25.493 26.617 27.646 30.154
4.645 15.682 34.648 38.978 42.902 45.412 49.057 49.906 50.888

1.079
7.029
1.260
8.042
1.487
8.666
1.768
2.272
2.360
9.501 10.236 10.485
2.586
11.203
CREDIT POLICY
1/1/08
Rating
n(0)
Aaa
168
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
822
0.508
0.508
0.950
1.411
1.411
1.752
1.928
2.291
1297
0.406
0.921
1.104
1.392
1.807
2.796
2.913
3.153
Baa
1241
1.025
1.842
1.842
1.842
2.160
2.269
2.269
2.269
7.375
8.506
9.202
9.701
11.834
Ba
630
2.339
7.176
7.375
1017
4.002
14.773
17.786
Caa-C
661
19.567 21.976 22.852 23.869 26.898
10.591 28.800 34.341 37.677 40.962 44.143 46.696 48.840
IG
3528
0.628
1.105
1.275
1.487
1.751
2.224
2.307
2.479
SG
2308
5.416 16.625 19.540
21.142 23.320 24.658 25.786
28.175
All
5836
2.508
7.180
8.387
9.079
9.972
10.713
11.107
Rating
n(0)
Aaa
147
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Aa
735
0.000
0.156
0.473
0.473
0.825
1.008
1.580
11.907
1/1/09
72
1289
0.240
0.412
0.682
0.975
1.907
2.017
2.245
Baa
1233
0.930
0.930
1.214
1.414
1.517
1.626
1.626
Ba
600
1.771
2.165
2.165
3.509
4.214
4.977
6.612
860
6.983
8.325
9.700
11.621 12.523 13.820 18.098
Caa-C
762
26.176 33.460 36.681 40.698 43.495 45.833 47.466
IG
3404
0.429
0.527
0.801
SG
2222 12.097
15.150
16.675
All
5626
6.238
6.948
FEBRUARY 29, 2016
5.015
0.984
1.443
19.019 20.375
7.856
8.598
1.563
1.772
21.729 24.230
9.090
9.956
CREDIT POLICY
1/1/10
Rating
n(0)
Aaa
97
0.000
0.000
0.000
0.000
0.000
0.000
Aa
571
0.000
0.000
0.000
0.000
0.000
0.000
1235
0.170
0.520
0.803
1.601
1.916
2.351
Baa
1347
0.075
0.314
0.486
0.840
0.934
1.033
Ba
589
0.000
0.000
0.629
1.509
1.989
3.763
826
0.387
1.832
3.933
4.749
6.641
10.821
Caa-C
734
8.682 12.895
18.591 22.754 25.905 28.581
IG
3250
0.096
0.327
0.504
0.949
SG
2149
3.100
5.022
7.808
9.645
All
5399
1.269
2.116
3.212
4.121
4.780
Rating
n(0)
Aaa
84
0.000
0.000
0.000
0.000
0.000
Aa
543
0.193
0.193
0.193
0.193
0.193
1.105
1.308
11.390 14.239
5.784
1/1/11
73
1225
0.000
0.092
0.756
0.856
0.961
Baa
1437
0.428
0.505
0.904
1.156
1.245
Ba
651
0.157
1.206
1.939
2.745
4.862
952
0.349
2.155
3.332
5.248
9.348
Caa-C
758
5.594
12.351 17.033 20.826 24.542
IG
3289
0.218
0.286
0.704
0.851
0.928
SG
2361
1.926
4.988
6.990
9.019
12.279
All
5650
0.904
2.142
3.148
3.953
5.088
FEBRUARY 29, 2016
CREDIT POLICY
1/1/12
Rating
n(0)
Aaa
82
0.000
0.000
0.000
0.000
Aa
435
0.000
0.000
0.250
0.250
1190
0.000
0.093
0.093
0.093
Baa
1470
0.072
0.437
0.514
0.514
Ba
732
0.142
1.487
1.976
3.394
987
0.550
1.435
3.484
7.218
Caa-C
848
7.678
12.951 17.026
22.122
IG
3177
0.033
0.236
0.307
SG
2567
2.750
5.130
7.265 10.547
All
5744
1.231
2.350
3.242
Rating
n(0)
Aaa
58
0.000
0.000
0.000
Aa
296
0.000
0.000
0.000
0.307
4.476
1/1/13
74
1158
0.090
0.181
0.181
Baa
1657
0.121
0.186
0.186
Ba
715
0.579
1.057
1.942
1048
0.808
2.217
6.403
Caa-C
953
6.282
10.177 16.638
IG
3169
0.096
0.163
0.163
SG
2716
2.617
4.581
8.479
All
5885
1.235
2.114
3.687
FEBRUARY 29, 2016
CREDIT POLICY
1/1/14
Rating
n(0)
Aaa
54
0.000
0.000
Aa
290
0.000
0.000
1160
0.088
0.088
Baa
1706
0.060
0.060
Ba
739
0.142
0.620
1094
0.401
3.433
Caa-C
1145
4.468
11.243
IG
3210
0.064
0.064
SG
2978
1.872
5.580
All
6188
0.911
2.558
Rating
n(0)
Aaa
54
0.000
Aa
302
0.000
1/1/15
75
1230
0.000
Baa
1710
0.000
Ba
743
0.293
1082
2.285
Caa-C
1356
6.272
IG
3296
0.000
SG
3181
3.474
All
6477
1.662
FEBRUARY 29, 2016
CREDIT POLICY
Report Number: 1018455
Author
Sharon Ou
Production Associates
Manivendhan Raju
Joby Mathew
Vinod Muniappan
2016 Moodys Corporation, Moodys Investors Service, Inc., Moodys Analytics, Inc. and/or their licensors and affiliates (collectively, MOODYS). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (MIS) ARE MOODYS CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT
RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODYS (MOODYS
PUBLICATIONS) MAY INCLUDE MOODYS CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE
SECURITIES. MOODYS DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY
ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET
VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODYS OPINIONS INCLUDED IN MOODYS PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL
FACT. MOODYS PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY
MOODYS ANALYTICS, INC. CREDIT RATINGS AND MOODYS PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS
AND MOODYS PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR
MOODYS PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODYS ISSUES ITS CREDIT RATINGS AND PUBLISHES
MOODYS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH
SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
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TO USE MOODYS CREDIT RATINGS OR MOODYS PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER
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WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODYS PRIOR WRITTEN CONSENT.
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however, all information contained herein is provided AS IS without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is
of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODYS is not an auditor and cannot in every
instance independently verify or validate information received in the rating process or in preparing the Moodys Publications.
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consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if
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(a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODYS.
To the extent permitted by law, MOODYS and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages
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Limited ABN 61 003 399 657AFSL 336969 and/or Moodys Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to
wholesale clients within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODYS that you are, or
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Inc., a wholly-owned subsidiary of MCO. Moodys SF Japan K.K. (MSFJ) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating
Organization (NRSRO). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently,
the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration
numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by
MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000
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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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CREDIT POLICY

FEBRUARY 29, 2016

Annual Default Study: Corporate Default and

Not surprisingly, credit quality weakened in 2015 as downgrades outpaced upgrades. As a

contacts continued on the last page

Default pace rose sharply in 2015

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Defaults jumped in 2015

Default rate highest in six years

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Default rate highest since 2009

Credit quality deteriorated especially in commodity sectors

Rating Drift Fell in 2015

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Credit Quality Weakened Most in Commodity Sectors

energy: oil & gas

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Oil & Gas under stress

Oil & Gas Accounts for Roughly 30% of Defaults

energy: oil & gas

Including financial and non-financial defaults.

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Default Rates by Sector

metals & mining

energy: oil & gas

consumer goods: non-durable

fire: real estate

high tech industries

forest products & paper

media: diversified & production

aerospace & defense

chemicals, plastics, & rubber

construction & building

containers, packaging, & glass

hotel, gaming, & leisure

media: advertising, printing & publishing

healthcare & pharmaceuticals

sovereign & public finance

consumer goods: durable

beverage, food, & tobacco

utilities: oil & gas

media: broadcasting & subscription

Recovery rate lower in 2015

In Exhibit 7, we use market prices to proxy recoveries.

FEBRUARY 29, 2016

SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2015

Exhibit 7 - Average corporate debt recovery rates measured by trading prices

1st Lien Bank Loan

2nd Lien Bank Loan

1st Lien Bond

2nd Lien Bond

Sr. Unsecured Bond

Sr. Subordinated Bond

Jr. Subordinated Bond

Sr. Unsecured Bank Loan

Panel B Observation counts

Dollar volume (in billions of USD)

1st Lien Bank Loan