CREDIT POLICY
EXHIBIT 36
Average Cumulative Issuer-Weighted Global Default Rates by Alphanumeric Rating, 1998-2014*
Rating/Year
1
2
3
4
5
6
7
8
9
10
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 0.000 0.000 0.052 0.151 0.105 0.072 0.178 0.188 0.273 0.420 0.647 1.060 1.435 2.942 4.000 6.843 16.349 29.335 46.937 0.131 4.599 1.993
0.035 0.000 0.014 0.154 0.362 0.306 0.246 0.458 0.491 0.737 1.656 1.521 3.089 4.752 7.768 10.037 15.682 28.988 44.688 60.715 0.354 9.529 4.071
0.035 0.000 0.206 0.227 0.653 0.585 0.605 0.730 0.823 1.281 2.993 2.637 5.476 8.589 12.832 16.609 23.785 38.882 53.679 70.570 0.638 14.251 5.999
0.035 0.000 0.424 0.371 1.025 0.852 0.972 1.028 1.198 1.804 4.200 3.894 8.123 11.965 17.600 21.929 30.686 46.074 59.629 76.794 0.942 18.229 7.573
0.035 0.054 0.571 0.635 1.510 1.250 1.457 1.263 1.481 2.424 5.499 4.920 9.919 14.821 21.205 26.610 37.072 51.585 65.068 80.289 1.289 21.415 8.831
0.035 0.176 0.740 0.873 1.964 1.868 1.761 1.553 1.828 2.827 6.792 5.789 11.623 17.431 24.674 30.864 41.678 56.261 67.035 80.900 1.633 24.109 9.876
0.035 0.187 0.939 1.138 2.412 2.492 2.221 1.810 2.139 3.344 7.958 6.602 13.179 20.246 27.785 34.495 45.101 60.307 69.745 82.118 2.002 26.477 10.799
0.035 0.187 1.176 1.290 2.785 3.231 2.809 2.075 2.400 4.160 8.975 7.951 15.298 22.851 30.395 37.694 48.077 63.368 73.217 84.800 2.414 28.677 11.669
0.035 0.187 1.462 1.446 3.142 4.054 3.474 2.290 2.747 5.002 10.160 8.987 17.766 25.424 33.047 40.124 51.926 65.719 74.264 86.336 2.859 30.785 12.508
0.035 0.187 1.812 1.652 3.560 4.972 4.084 2.626 3.108 6.083 11.616 10.415 20.084 28.185 35.014 41.600 56.195 65.719 74.264 86.336 3.363 32.677 13.317
EXHIBIT 37
Average Cumulative Issuer-Weighted Global Default Rates by Broad Industry Group, 1970-2014*
Broad Industry Group
1
2
3
4
5
6
7
8
9
10
Banking Capital Industries Consumer Industries Energy & Environment Non-Bank Finance Media & Publishing Retail & Distribution Government Related Issuers Technology Transportation Utilities
* Data in percent.
0.616 2.169 2.503 1.600 0.781 3.926 2.803 0.259 1.903 2.391 0.146
1.279 4.523 5.136 3.163 1.627 7.980 5.752 0.552 3.862 4.478 0.286
1.968 6.779 7.571 4.538 2.447 11.880 8.605 0.725 5.602 6.311 0.419
2.608 8.823 9.675 5.652 3.179 15.215 11.027 0.851 6.992 7.892 0.543
3.193 10.616 11.456 6.631 3.832 18.267 13.168 0.996 8.046 9.244 0.666
3.750 12.197 13.010 7.481 4.468 20.869 15.025 1.009 8.821 10.439 0.790
4.260 13.640 14.360 8.170 5.099 22.963 16.529 1.009 9.471 11.440 0.902
4.760 14.965 15.528 8.716 5.722 24.687 17.908 1.009 9.974 12.390 1.002
5.237 16.176 16.639 9.245 6.381 26.186 19.297 1.009 10.374 13.305 1.109
5.725 17.274 17.610 9.733 7.089 27.650 20.637 1.009 10.732 14.281 1.223
36 MARCH 20, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 38
Annual Default Rates by Broad Industry Group, 1970-2014*
Year
Banking
Capital Industries
Consumer Industries
Energy & Environment
Non-Bank Finance
Media & Publishing
Retail & Distribution
Gov't-Related
Issuers
Technology
Transportation
Utilities
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
37
MARCH 4, 2014
n.a. n.a. n.a. n.a. n.a. 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.410 2.053 2.195 2.775 2.148 0.539 0.491 0.000 0.000 0.000 0.000
0.000 0.000 0.353 0.360 0.355 0.369 0.352 0.000 0.000 0.000 0.375 0.366 1.106 1.415 0.708 1.214 3.377 2.433 0.762 3.190 4.904 3.551 2.011 1.650 0.427 1.353 0.706 0.480
0.926 0.000 0.000 0.000 0.000 0.769 0.735 0.746 0.746 0.000 0.000 0.000 0.000 0.565 1.081 1.391 1.582 2.463 2.584 4.320 8.590 3.711 3.017 1.157 0.971 2.930 1.318 2.307
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 1.176 0.000 1.124 0.000 0.917 2.382 3.894 3.338 7.068 5.393 1.394 0.000 1.320 1.320 0.658 1.270 0.625 0.568 1.005 0.000
16.667 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 1.220 0.000 0.000 0.629 3.528 0.000 0.543 0.532 0.000 0.000 1.288 0.000 0.314
0.000 0.000 0.000 0.000 0.000 4.167 0.000 4.000 0.000 0.000 0.000 0.000 4.000 0.000 0.000 0.000 3.511 1.351 3.346 5.811 7.479 4.209 7.341 2.857 1.316 0.000 2.679 1.418
0.000 0.000 0.000 3.030 3.078 1.563 0.000 0.000 1.639 0.000 0.000 0.000 4.814 0.000 0.000 0.000 1.000 1.845 1.681 0.800 5.675 10.195 2.487 2.518 2.771 1.876 0.621 3.452
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 11.111 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
0.833 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.725 0.709 0.690 0.000 1.841 0.617 1.779 0.559 0.521 0.455 1.205 1.210 2.421 1.711 1.284 0.457 1.242 0.738 0.709 0.596
15.484 2.314 3.053 1.613 0.000 0.000 0.000 1.786 0.000 0.000 0.926 0.909 1.951 3.912 1.031 0.971 2.770 0.893 0.000 1.802 5.744 9.102 0.000 0.000 1.896 0.917 0.000 0.855
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.424 0.422 0.000 0.000 1.324 0.870 0.000 0.000 0.000 0.000 0.000
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 38
Annual Default Rates by Broad Industry Group, 1970-2014*
Year
Banking
Capital Industries
Consumer Industries
Energy & Environment
Non-Bank Finance
Media & Publishing
Retail & Distribution
Gov't-Related
Issuers
Technology
Transportation
Utilities
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
* Data in percent.
0.149 0.281 0.000 0.136 0.587 0.147 0.000 0.131 0.000 0.000 1.097 1.860 0.699 0.804 1.073 2.002 0.838
1.099 2.344 4.340 7.640 2.960 2.669 1.586 1.374 1.380 0.748 3.232 10.833 1.449 0.816 1.452 1.430 1.673
2.478 4.747 6.825 5.920 2.192 2.276 2.308 0.730 1.065 0.688 4.049 8.087 1.910 0.744 2.227 1.669 0.473
1.502 5.727 1.369 2.076 4.278 1.316 0.310 0.968 0.000 0.000 1.717 2.033 2.313 1.418 1.829 2.115 1.298
1.051 0.704 0.925 1.384 0.460 0.660 0.231 0.221 0.439 0.000 2.205 3.802 0.947 0.672 0.657 0.418 0.396
2.837 3.333 1.865 3.767 10.451 3.886 1.635 0.000 1.557 1.056 4.541 23.087 3.831 1.769 4.388 4.835 1.106
5.917 2.880 5.898 8.356 3.828 4.471 1.180 1.895 1.140 1.837 2.287 4.821 3.897 2.448 1.634 1.039 1.765
0.000 2.941 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
0.780 2.027 2.792 8.009 9.237 4.950 0.861 0.248 0.794 0.480 1.266 5.530 1.320 0.000 1.414 1.149 1.987
0.758 5.474 4.169 4.286 6.408 3.348 1.778 4.205 2.543 0.000 3.216 6.183 0.926 6.228 0.909 1.762 0.741
0.000 0.338 0.000 0.601 0.569 0.561 0.264 0.262 0.000 0.000 0.000 0.251 0.240 0.000 0.446 0.000 0.000
38 MARCH 4, 2014
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 39
Annual Volume-weighted Corporate Bond Default Rates by Letter Rating, 1994-2014*
Year
Aaa
Aa
A
Baa
Ba
B
Caa-C
Inv-Grade
Spec-Grade
All- Rated
1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Mean Median StDev 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 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.816 0.000 0.000 0.000 0.000 0.000 0.000 0.039 0.000 0.178 0.000 0.816
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.692 2.718 0.000 0.000 0.000 0.000 0.000 2.370 0.014 0.151 0.000 0.000 0.000 0.023 0.284 0.000 0.768 0.000 2.718
0.000 0.000 0.000 0.000 0.000 0.140 0.623 0.957 2.298 0.000 0.000 0.201 0.000 0.000 1.108 0.642 0.000 0.005 0.018 0.069 0.000 0.289 0.000 0.572 0.000 2.298
0.141 0.567 0.000 0.051 0.654 1.143 1.039 1.178 4.872 3.622 0.000 0.000 0.033 0.000 8.097 2.599 0.000 0.224 0.000 0.000 0.108 1.158 0.141 2.069 0.000 8.097
1.971 4.651 1.624 3.064 3.023 5.483 6.069 13.898 15.699 2.560 0.258 1.639 1.062 0.000 1.287 6.416 0.083 0.047 0.218 0.131 0.202 3.304 1.639 4.344 0.000 15.699
2.797 6.876 22.529 7.111 13.225 20.515 20.723 55.371 75.944 17.170 9.190 16.473 4.008 3.655 11.019 40.318 6.283 8.473 10.236 6.631 9.665 17.534 10.236 18.434 2.797 75.944
0.000 0.000 0.000 0.000 0.000 0.031 0.137 0.532 1.859 0.000 0.000 0.073 0.000 0.000 1.466 0.187 0.072 0.002 0.007 0.029 0.010 0.210 0.007 0.501 0.000 1.859
1.220 3.088 2.309 1.950 2.872 5.783 5.857 15.646 21.363 5.689 1.879 3.787 1.050 0.602 5.807 16.759 1.698 1.766 1.883 1.170 1.764 4.950 2.309 5.758 0.602 21.363
0.249 0.716 0.659 0.504 0.853 1.114 1.350 3.006 4.895 0.994 0.328 0.754 0.212 0.117 2.221 2.808 0.344 0.335 0.367 0.267 0.394 1.071 0.659 1.206 0.117 4.895
EXHIBIT 40
Average Volume-weighted Corporate Bond Default Rates by Letter Rating, 1994-2014*
Rating / Year
1
2
3
4
5
Aaa Aa A Baa Ba B Caa-C Inv-Grade Spec-Grade All Rated
*Data in percent
0.000 0.026 0.312 0.231 0.828 3.009 15.611 0.220 4.363 1.004
0.048 0.078 0.614 0.504 2.172 7.295 25.009 0.452 8.382 1.940
0.048 0.115 0.873 0.709 3.545 11.080 31.704 0.636 11.730 2.701
0.048 0.165 1.071 1.059 4.907 14.332 34.191 0.838 14.106 3.294
0.048 0.245 1.327 1.562 5.683 16.458 35.697 1.116 15.595 3.787
39 MARCH 20, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014
CREDIT POLICY
EXHIBIT 41
Cumulative Issuer-Weighted Default Rates by Annual Cohort, 1970-2014 (Data in Percent)
1/1/70
Rating
n(0)
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 IG SG All 1/1/71
Rating
39 78 254 372 238
0.000 0.000 0.000 0.543 4.237
0.000 0.000 0.000 0.543 5.120
0.000 0.000 0.000 0.543 5.565
0.000 0.000 0.413 1.123 6.050
0.000 0.000 0.413 1.415 7.042
0.000 0.000 0.835 1.415 8.072
0.000 0.000 0.835 1.728 8.606
0.000 0.000 0.835 2.368
0.000 0.000 0.835 3.038
0.000 0.000 0.835 3.038
0.000 0.000 1.292 3.396
0.000 0.000 1.292 3.396
0.000 0.000 1.292 4.584
0.000 1.429 1.292 4.992
0.000 1.429 1.292 5.418
0.000 1.429 1.292 5.864
0.000 2.922 1.796 7.256
2.703 2.922 1.796 8.313
2.703 2.922 2.869 9.398
2.703 2.922 2.869 9.994
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 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 90.625 743 290 1033
0.271 8.678 2.628
0.271 2.926
0.271 3.430
0.697 3.951
0.840 4.267
0.987 4.593
1.137 4.816
1.441 5.277
1.754 5.752
1.754 5.752
2.085 6.008
2.085 6.270
2.608 7.361
2.962 7.783
3.145 7.929
3.332 8.379
4.297
4.912
5.755
5.977
9.764 11.601 12.382 13.192 14.035 14.471 15.443 16.450 16.450 16.450 17.693 21.008 21.733 21.733 23.347 26.969 28.932 28.932 30.097
9.787 10.621 11.308 11.673
n(0) 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 IG SG All
40 75 282 398 228 27 795 263 1058
0.000 0.000 0.000 0.000 0.885 0.000 0.000 1.155 0.286
0.000 0.000 0.000 0.000 1.332 3.846 0.000 3.112 0.769
0.000 0.000 0.366 0.534 1.815 3.846 0.394 3.942 1.267
0.000 0.000 0.366 0.802 2.810 3.846 0.525 4.806 1.570
0.000 0.000 0.739 1.075 3.844 3.846 0.796 5.706 1.986
0.000 0.000 0.739 1.366 4.381 3.846 0.935 6.173 2.200
0.000 0.000 0.739 1.966 4.986 3.846 1.218 7.216 2.645
0.000 0.000 0.739 2.595 6.241 3.846 1.509 8.295 3.103
0.000 0.000 0.739 2.595 6.241 3.846 1.509 8.295 3.103
0.000 0.000 1.140 2.930 6.241 3.846 1.816 8.295 3.349
0.000 0.000 1.140 2.930
0.000 0.000 1.550 4.059
0.000 0.000 1.964 4.445
0.000 0.000 1.964 4.849
0.000 0.000 1.964 5.272
0.000 0.000 2.401 6.588
2.703 0.000 2.401 7.577
2.703 0.000 3.326 8.592
2.703 0.000 3.326
2.703 1.786 3.326
9.143 10.308
7.798 10.322 11.247 11.247 13.311 17.937 20.487 20.487 21.959 21.959 3.846 15.865 15.865 15.865 15.865 23.514 23.514 23.514 23.514 23.514 1.816 3.602
2.467 4.788
2.798 5.195
2.968 5.336
3.142 5.769
3.862 7.124
4.433 7.924
5.215 8.583
5.421 8.933
6.063 9.482
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
9.620 13.174 13.950 13.950 15.671 20.478 22.588 22.588 23.837 23.837
40 MARCH 4, 2015
SPECIAL COMMENT: ANNUAL DEFAULT STUDY: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2014