CREDIT POLICY
EXHIBIT 30
Annual Issuer-Weighted Corporate Default Rates by Letter Rating, 1920-2014*
Year
Aaa
Aa
A
Baa
Ba
B
Caa-C
Inv Grade Spec Grade
All rated
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Mean Median St Dev Min Max
* Data in percent.
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 0.724 0.000 0.000 0.000 0.000 0.000 0.000 0.061 0.000 0.188 0.000 0.855
0.000 0.190 0.197 0.000 0.000 0.000 0.000 0.000 0.547 0.221 0.230 0.000 0.000 0.000 0.121 0.096 0.000 0.268 0.000 1.639
0.421 0.217 1.120 0.000 0.000 0.199 0.000 0.000 0.520 0.937 0.000 0.090 0.085 0.073 0.068 0.266 0.000 0.459 0.000 1.990
0.792 1.510 1.516 1.060 0.454 0.000 0.219 0.000 1.220 2.325 0.000 0.198 0.170 0.520 0.169 1.062 0.604 1.643 0.000 11.734
6.253 9.954 4.668 2.190 0.880 1.050 1.215 0.000 2.144 7.529 0.508 0.112 0.485 1.076 0.250 3.356 2.054 4.015 0.000 19.444
19.706 31.968 29.503 23.365 12.772 6.752 6.293 6.090 15.089 34.770 11.888 8.714 11.871 9.573 7.026 13.077 8.696 15.972 0.000 100.000
0.158 0.153 0.495 0.000 0.000 0.078 0.000 0.000 0.547 0.445 0.085 0.042 0.042 0.041 0.078 0.149 0.000 0.275 0.000 1.550
6.685 10.831 8.373 5.611 2.567 1.817 1.862 0.981 4.496 13.320 3.302 2.058 2.995 3.010 2.044 2.833 1.862 3.093 0.000 15.783
2.859 4.355 3.329 2.050 0.943 0.739 0.723 0.402 2.258 6.024 1.413 0.914 1.425 1.446 1.044 1.195 0.768 1.444 0.000 8.531
31 MARCH 20, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 31
Annual Issuer-Weighted Corporate Default Rates by Alphanumeric Rating, 1983-2014*
Year
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca-C
Inv Spec
Grade Grade All rated
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
32
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 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 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 1.418 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 2.139 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 1.545 0.000 0.435
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 0.497 0.000 0.000 0.000 0.000 0.000 0.000 0.300 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 0.515 0.000 0.000 0.000 0.000 0.000 0.000 0.618 0.296
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.800 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.322 0.333 1.204 0.000 0.000 0.000 0.000 0.000 0.294 1.260 0.000
0.000 0.000 0.000 0.000 0.000 0.000 0.885 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.348 0.000 0.000 0.290 0.805 0.000 0.000 0.266 0.000 0.000 0.855 0.776 0.000
0.000 1.075 0.000 3.652 0.000 0.000 1.075 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.376 1.093 0.000 1.436 0.000 0.000 0.347 0.000 0.000 0.366 0.776 0.000
0.000 1.205 0.000 0.909 3.788 0.000 0.813 3.727 1.099 0.000 1.010 0.000 0.000 0.000 0.000 0.000 0.595 0.602 0.000 2.766 0.735 0.000 0.000 0.000 0.000 0.000 2.444 0.000
0.000 1.613 1.667 1.176 0.962 0.000 1.942 2.957 0.000 0.000 0.000 0.000 0.000 0.000 0.000 1.399 0.613 0.680 1.375 0.685 0.758 0.806 0.000 0.000 0.000 0.000 0.610 0.000
2.600 0.000 2.894 3.533 3.034 2.554 4.956 3.539 9.260 0.781 0.794 0.671 1.953 0.000 0.474 1.288 2.583 1.053 2.952 1.144 1.528 0.518 0.000 0.521 0.000 2.833 3.637 0.000
0.000 11.859 21.053 0.000 53.125 0.000 5.949 11.407 4.478
4.167
0.000
0.000 0.000
0.000 0.000 3.832 0.967 0.938 0.962 1.879 1.592 1.375 2.393
0.000 100.000 0.097 3.361 0.000
0.000 0.000 0.000
0.000 3.470 0.246 5.666 0.000 4.417
8.824 11.364 0.000
7.808 16.268 14.554 0.000 28.571 0.000 4.331 4.237 5.802 8.196 3.613 1.053 2.627 1.991 4.566 1.237 0.000 2.314 2.668 3.248
5.737
11.726 0.000 22.222 0.000
6.679 10.960 0.000 22.222 0.000 7.861 18.603 0.000 27.273 0.000 23.157 28.763 0.000 61.905 0.000 11.141 26.163 0.000 50.000 0.000 1.449 26.882 0.000 31.601 0.000 3.226 10.159 0.000 23.982 0.000 3.568 5.942 0.000 1.227 5.649 5.292 5.133
8.867 1.981 3.422 7.105 4.980
0.000 0.000
7.143 2.632
0.000 0.000
50.000 0.000 3.555 0.000
0.305 5.782
75.000 0.000 10.268 3.762 40.000 0.070 9.464 25.000 0.000 5.224 50.000 0.000 3.156 0.000
0.000 2.148
3.101 1.504 0.891 0.664 1.033 0.588 0.766 1.318 2.413 2.859
24.706 0.000 3.064 13.462 0.000 1.719 18.981 0.000 2.145 16.667 0.045 3.298
0.000 15.316 0.000 0.000 13.944 0.000 5.734
9.285 26.667
8.660 11.981 22.427 20.870 47.368 0.041 5.694 12.223 11.386 30.042 20.139
41.765 0.158 6.685
3.523 10.654 17.850 25.641 35.481 43.704 44.000 0.153 10.831 4.355 2.330 0.362 0.000 0.000 0.777 0.000 1.869 4.148 0.899
4.902 2.484 0.625 0.606 0.574 0.000 0.883 8.978 0.000
7.559 17.338 25.470 34.368 53.932 0.495 8.373 4.507 10.825 21.619 33.840 43.077 0.000 5.611 2.451 2.517 2.314 0.000 3.246
8.473 3.158 2.485 2.258
9.756 14.360 7.498 22.083 6.967
18.713
35.386 0.000 2.567 17.670 0.078 1.817 19.025 0.000 1.862 32.500 0.000 0.981 55.364 0.547 4.496 75.511
3.329 2.050 0.943 0.739 0.723 0.402 2.258
8.600 15.862
7.608 19.845 36.601
8.522 17.284 39.907 58.022 0.629
2.751
11.504 26.331
0.445 13.320 6.024
1.413
36.431 0.085 3.302
MARCH 4, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 31
Annual Issuer-Weighted Corporate Default Rates by Alphanumeric Rating, 1983-2014*
Year
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca-C
Inv Spec
Grade Grade All rated
2011 2012 2013 2014 Mean Median StDev Min Max
EXHIBIT 32
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 0.111 0.000 0.447 0.000 2.139
0.000 0.000 0.000 0.495 0.077 0.000 0.291 0.000 1.545
0.000 0.000 0.000 0.000 0.025 0.000 0.101 0.000 0.497
0.000 0.000 0.000 0.000 0.045 0.000 0.147 0.000 0.618
0.000 0.261 0.239 0.000 0.147 0.000 0.332 0.000 1.260
0.244 0.000 0.000 0.000 0.140 0.000 0.283 0.000 0.885
0.000 0.000 0.000 0.215 0.325 0.000 0.731 0.000 3.652
0.000 0.000 0.000 0.000 0.615 0.000 1.080 0.000 3.788
0.000 0.000 0.000 0.000 0.539 0.000 0.755 0.000 2.957
0.543 0.490 1.344 0.418 1.809 1.216 1.911 0.000 9.260
0.000 0.000 0.000 0.000 2.438 2.152 2.371 0.000 8.196
0.365 0.923 1.255 0.830 5.234 4.235 5.430 0.000
0.000 0.432 1.551 0.000 8.850 7.332 8.290 0.000
2.128 13.752 19.373 38.095 0.042 2.058 61.401 0.042 2.995
0.914 1.425 1.446 1.044 1.752 1.394 1.257 0.402
4.183 13.926 24.227 1.187 2.375
9.810 36.098 66.632 0.041 3.010 6.552 33.345 47.388 0.078 2.044
35.293 0.093 4.569 37.263 0.041 3.416 25.459 0.151 2.992 0.000
0.000 0.981
4.275 20.387 15.144 1.658 17.580 15.111 6.433 15.287 16.580 0.000
0.000
0.000
23.157 28.763 25.641 61.905 58.022 100.000 0.547 13.320 6.024
* Data in percent.
Average Cumulative Issuer-Weighted Global Default Rates by Letter Rating, 1920-2014*
Rating
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Aaa Aa A Baa Ba B Caa-C Inv Grade Spec Grade All rated
* Data in percent.
0.000 0.009 0.072 0.212 0.030 0.342 0.627 1.454 5.186 12.796 29.824 0.848 11.365 4.740
0.083 0.536 0.986 2.146 7.314 0.161 0.827 1.374 2.873 9.339 0.244 1.161 1.784 3.595
0.351 1.491 2.225 4.286
0.499 1.805 2.669 4.989
0.654 2.101 3.145 5.721
0.834 2.441 3.616 6.454
0.989 2.830 4.093 7.175
1.117 3.251 4.560 7.895
1.251 3.668 4.975 8.625
1.291 4.067 5.385 9.289
1.327 4.363 5.863 9.884
1.399 4.592 6.286
1.472 4.797 6.644
1.531 5.041 7.005
1.600 5.338 7.340
1.647 5.587 7.680 12.634 30.290 46.082 69.308 8.498 40.388 17.937
0.098 0.304 0.276 1.328 3.590
0.818 3.158 8.195
10.506 11.092 26.261 27.391 42.765 43.942 63.653 65.238 7.062
7.435
11.612 12.108 28.450 29.393 44.914 45.616 66.666 67.994 7.793
8.146
11.265 13.020 23.809 26.812 43.138 45.841 2.231
2.715
14.727 16.358 29.335 31.547 48.152 50.418 3.202
3.706
18.072 19.599 33.497 35.242 52.361 54.312 4.218
4.734
21.121 22.594 36.889 38.473 56.287 58.133 5.250
5.746
23.913 25.135 40.005 41.414 59.986 61.866 6.206
6.647
16.895 20.545 35.335 39.769 1.276
1.747
13.343 22.736 0.156 3.812 1.570
0.465 7.711 3.206
14.632 17.512 6.115
7.345
20.052 22.317 8.441
9.425
24.329 26.173 10.319 11.163
27.941 29.532 11.980 12.746
31.086 32.579 13.492 14.202
33.964 35.258 14.854 15.467
36.471 37.624 16.039 16.562
38.671 39.571 17.050 17.503
33 MARCH 4, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 33
Average Cumulative Issuer-Weighted Global Default Rates by Letter Rating, 1970-2014*
Rating
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Aaa Aa A Baa Ba B Caa_C Inv Grade Spec Grade All rated
* Data in percent.
0.000 0.013 0.013 0.137 0.430 0.877 5.208
0.036 0.102 0.166 0.552 1.277 2.290
0.235 0.691 1.620 2.763
0.309 0.390 0.808 0.905 1.993 3.252
2.378 3.801
0.475 1.019
0.567 1.159
0.665 1.338 3.430 5.748
0.766 1.546 3.765 6.459
0.822 0.882 1.712 4.114 7.185
1.836 4.528 7.898
0.946 1.971 4.949 8.679
1.014 2.140 5.416 9.431
1.038 2.363 5.920
1.038 2.712 6.377
1.038 3.058 6.859 11.389 34.250 53.558 72.044 7.000 46.142 17.171
0.022 0.068 0.061
0.198
0.258 0.405 0.672 1.336 7.591
0.961 1.802 9.745
2.744 3.093 4.425
5.074
0.168 0.486 1.079 3.706
2.983 8.861
10.136 10.769 31.870 33.169 51.841 52.653 72.044 72.044 6.126
6.560
11.738 13.479 27.104 30.818 51.231 54.772 1.424
1.752
15.216 16.945 33.940 36.725 58.084 61.373 2.093
2.452
18.728 20.536 39.164 41.173 63.918 65.712 2.828
3.208
22.376 24.129 43.084 44.879 66.955 68.606 3.596
3.996
25.859 27.591 46.692 48.330 69.272 70.087 4.392 4.800 39.080 40.603 14.025 14.594
29.183 30.633 49.682 50.731 71.627 72.044 5.229
5.674
14.132 18.804 23.095 34.276 0.511 13.292 4.959
41.169 46.973 0.792
1.100
14.951 25.658 0.090 0.268 4.338 8.920 1.657 3.368
17.151 20.533 6.329
7.505
23.497 26.094 8.522 9.405
28.379 30.482 10.187 10.916
32.422 34.178 11.602 12.237
35.887 37.504 12.852 13.449
41.974 43.163 15.149 15.682
44.209 45.242 16.196 16.691
EXHIBIT 34
Average Cumulative Issuer-Weighted Global Default Rates by Letter Rating, 1983-2014*
Rating
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Aaa Aa A Baa Ba B Caa Ca-C Inv Grade Spec Grade All rated
* Data in percent.
0.000 0.016 0.025 0.076 0.068 0.225 0.183 0.522 1.098 3.150 3.691 8.899 12.348 22.844 42.529 55.272 0.098 0.291 4.527
9.371
1.825 3.734
0.016 0.155 0.493 0.916 5.624
0.047 0.083 0.288 0.444 0.769
1.101
1.373 1.849 8.243 10.463
0.126 0.173 0.572 0.681 1.457
1.841
2.337 2.798 12.505 14.318 27.362 31.123 48.851 52.492 77.870 80.488 1.497 1.826 24.882 27.657 9.462 10.421
0.178 0.178 0.772 0.862 2.249 2.644 3.258 3.722 16.048 17.663 34.270 36.995 55.797 59.631 83.856 84.977 2.156 2.481 30.050 32.169 11.243 11.965
0.178 0.178 0.985
1.141
2.998 3.318 4.244 4.808 19.268 20.833 39.346 41.245 63.124 65.723 84.977 84.977 2.810
3.141
34.063 35.692 12.617 13.196
0.178 0.178 1.349 1.562 3.626 3.955 5.379 6.052 22.430 23.973 43.092 44.886 67.645 70.488 84.977 84.977 3.476 3.845 37.276 38.809 13.752 14.310
0.178 0.178 1.708 1.842 4.345 4.814 6.739 7.400 25.642 27.315 46.710 48.294 71.747 73.882 84.977 84.977 4.223 4.622 40.378 41.860 14.870 15.421
0.178 0.178 1.980 2.154 5.308 5.873 8.175 8.965 28.677 29.926 49.454 50.576 78.289 79.592 84.977 84.977 5.055 5.525 43.049 44.118 15.944 16.472
0.178 0.178 2.433 2.842 6.523 7.026 9.688 10.344 31.044 32.445 52.012 53.076 79.592 79.592 84.977 84.977 6.037 6.499 45.174 46.303 17.027 17.548
0.178 3.198 7.537 10.848 33.429 54.295 79.592 n.a. 6.915 47.215 18.000
14.232 18.942 23.283 31.429 38.425 44.373 64.645 0.548 5.523
71.461 76.352 0.842
1.167
14.043 18.165 21.740
7.053 8.351
34 MARCH 4, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 35
Average Cumulative Issuer-Weighted Global Default Rates by Alphanumeric Rating, 1983-2014*
Rating
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C Inv Grade Spec Grade All rated
* Data in percent.
0.000 0.016 0.016 0.000 0.151 0.223 0.563 0.421 0.508 0.681 0.830 1.299 3.562 3.646 8.517 10.593 13.899
0.047 0.083 0.085
0.156
0.126 0.234 0.606 0.693 1.461 1.423 1.492 1.639 2.248 3.293
0.173 0.239 0.742 0.827 1.710 1.908 1.889 1.939 2.699 3.976
0.178 0.239 0.893
0.178 0.239 1.063
0.178 0.239 1.253 1.114 2.345
0.178 0.239 1.465 1.294 2.599
0.178 0.239 1.699 1.563 2.859
0.178 0.375 1.906 1.808 3.146
0.178 0.541 2.001 1.981
0.178 0.728 2.105 2.113
0.178 0.796 2.299 2.239 4.348 5.800 5.707 5.645 8.474
0.178 0.796 2.557 2.418 4.798 6.550 6.166 6.307 9.185
0.178 0.796 2.845 2.793 5.219 7.343 6.897
0.178 0.796 3.250 3.355 5.447 7.920 7.627
0.178 0.796 3.504 3.924 5.688 8.492 8.372 7.040 11.410 14.855 26.506 25.106 46.053 55.713 50.294 52.879 n.a. 79.171 n.a. n.a. 6.915 47.215 18.000
0.000 0.000 0.000 0.050 0.086
0.017 0.146 0.267
0.323 0.485 0.351 0.857
0.541 1.171
0.914 0.988 1.911 2.440
2.115 2.945
3.511 3.909 4.838 4.593
5.292 5.166
0.066 0.206 0.055
0.207
0.682 0.989 0.785 1.005 1.323 1.869 5.346 5.392
1.161 1.323 1.755 2.596 7.019 6.961
3.417 3.806 3.143 3.448 2.564 2.864 4.222 4.985 6.418
7.073
4.107 4.433 3.816 3.296
4.195 3.790
2.353 2.806 2.160 2.340 3.113 4.812
3.612 5.609
0.147 0.403 0.161 0.252 0.651 0.723 1.679 2.229 3.407
0.467 0.731 1.947 2.023 4.807 6.221 8.631
4.269 4.863 7.189
7.860
6.715 6.850 10.018 10.909 13.045 14.007 22.866 25.068 24.931 25.106 43.271 44.721 51.790 53.539 49.940 50.294 52.879 52.879 n.a.
n.a.
5.777 6.504 7.531
8.378
9.346 10.082 17.776 19.104 19.816 21.835 36.924 38.786 45.543 47.200 43.372 45.288 51.349 52.231 74.049 74.049 70.072 72.861 81.831
n.a.
11.051 12.089 20.177 21.363 23.255 24.509 40.552 41.977 48.622 50.256 46.819 47.694 52.231 52.480 74.049
n.a.
8.797 10.190 8.175 9.446 18.358 20.928 22.525 26.630 26.812 30.260 33.960 37.732 41.779 45.165 55.133 59.107 67.668 71.383 77.870 80.488 1.497
1.826
11.213 12.150 10.840 12.103 23.533 26.041 30.030 33.001 33.183 36.047 40.943 43.050 48.127 52.362 62.411 65.698 75.858 78.847 83.856 84.977 2.156
2.481
13.229 14.484 13.234 14.687 28.513 30.484 35.819 38.111 38.241 39.808 44.784 46.575 56.541 60.254 68.124 70.072 81.831 81.831 84.977 84.977 2.810
3.141
15.931 16.938 16.357 18.158 32.219 34.190 40.540 43.039 40.924 42.102 48.733 50.109 64.403 71.052 70.072 70.072 81.831 81.831 84.977 84.977 3.476 3.845 37.276 38.809 13.752 14.310
12.383 15.494 14.553 18.605 18.734 22.895
5.500 12.073 6.836 15.698 16.723 28.485 28.992 44.359 42.529 55.272 0.098 4.527 1.825
0.291 9.371 3.734
18.674 24.260 29.314 23.835 30.832 37.233 37.748 45.022 50.338 53.252 59.306 64.889 64.645 0.548 14.043 5.523
71.461 76.352 0.842
1.167
77.841 79.171 n.a.
n.a.
79.171 79.171 n.a.
n.a.
84.977 84.977 4.223
4.622
84.977 84.977 5.055
5.525
84.977 84.977 6.037 6.499 45.174 46.303 17.027 17.548
18.165 21.740 7.053
8.351
24.882 27.657 9.462 10.421
30.050 32.169 11.243 11.965
34.063 35.692 12.617 13.196
40.378 41.860 14.870 15.421
43.049 44.118 15.944 16.472
35 MARCH 4, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014