CROSS-SECTOR DATA REPORT Cross-Sector 15 February 2018 Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 TABLE OF CONTENTS Summary Introduction Defaults fall below 100 in 2017 Default rates to slide further in 2018 Rating accuracy metrics Methodology and data sources Appendix Moody's related publications Summary 1 2 2 8 12 14 16 57 Analyst Contacts Sharon Ou VP-Sr Credit Officer/ Mgr/MDG [email protected] +1.212.553.4403 Sumair Irfan +1.212.553.1035 Associate Analyst/ MDG [email protected] Yang Liu Associate Analyst/ MDG [email protected] +1.212.553.2961 Joyce Jiang Associate Analyst/ MDG [email protected] +1.212.553.1659 Kumar Kanthan +1.212.553.1428 Senior Vice President/ Mgr/MDG [email protected] CLIENT SERVICES Americas 1-212-553-1653 Asia Pacific 852-3551-3077 Japan 81-3-5408-4100 EMEA 44-20-7772-5454 We expect the default rate for our rated speculative-grade corporate issuers to decline to 1.7% in 2018 from 2.9% in 2017. Faster GDP growth in the G-20 countries, a sustained recovery in commodity prices, generally healthy corporate earnings and relatively low refunding risk will support credit conditions and keep defaults low. Our 2018 forecast is below the 1.9% rate at the end of 20141, reflecting our view that the default cycle driven by low commodity prices has ended. » We expect the default rate for all of our rated corporate issuers to retreat to 0.8% in 2018 from 1.4% in 2017, implying about 53 defaults in 2018, which would be the fewest since 2011. » Defaults will decline in the commodity2 and retail sectors, which had the most defaults in 2017. We expect the commodity sector default rate to fall to 1.8% in 2018 from 4.9% in 2017, and the retail sector default rate to decline to 3.9% from 7.0%. » Total defaults declined by more than one third to 91 in 2017 from the prior year’s 143. The dollar volume of defaults was $78 billion in 2017, down from $136 billion a year earlier. The largest defaulter in 2017 was Petroleos de Venezuela, S.A., which missed payments on more than $20 billion in debt. » By sector, 31% of the 2017 defaults were from commodity sectors (25 from Energy: Oil & Gas and three from Metals & Mining) and 14% (13) were from the retail sector; by region, defaults remained concentrated in North America (61), followed by Europe (21) and AsiaPacific (6). » Corporate credit quality improved in 2017, with rating upgrades catching up with downgrades. Rating drift, which is calculated as the average upgraded notches per issuer minus the average downgraded notches per issuer, rose to zero in 2017 from -16% of a rating notch in 2016. Rating drift improved the most in Metals & Mining and weakened the most in Media: Diversified & Production. » Measured by post-default trading prices, the issuer-weighted average recovery rate for senior unsecured bonds was 53.9% in 2017, up sharply from 31.5% in 2016, reflecting higher recoveries in distressed exchanges and improved recoveries in commodity sectors. Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR » Rating accuracy measures like Average Default Position (AP) show that our ratings have been successfully rank ordering credit risk. Since 1983, the average one-year AP has measured 91.6%. Introduction We saw strong fundamentals in 2017, with steady economic growth, strong debt issuance, improving corporate earnings and low defaults. Potentially transformational elections took place in several major developed countries, but none led to material changes in the credit markets. The year also marked a decisive reversal of accommodative monetary policy by the Federal Reserve. Other major central banks are expected to follow in the same direction over the next few years. Nonetheless, global central bank policy remained generally supportive to credit markets, with rate increases that were gradual and well communicated to the market. Against this favorable credit backdrop, we update our annual default report, which examines corporate defaults among our rated longterm debt issuers and the performance of our ratings in 2017, as well as the historical period since 1920. The first section of this study reviews some of the major trends in defaults, recoveries and rating actions in 2017, 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 our 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 more than 25,000 corporate issuers that had longterm rated bonds, loans and/or deposits between 1920 and 2017. Defaults fall below 100 in 2017 The end of a two-year rise The number of corporate defaults declined in 2017 after rising significantly during the prior two years as a result of stress in the commodity sector. Last year, 91 of our rated corporate issuers defaulted, the first year since 2014 that global defaults numbered fewer than 100, as the surge of defaults in the commodity sectors subsided.3 Measured by volume, about $78 billion of debt went into default in 2017, which was comprised of $52 billion in bonds and $26 billion in loans. In comparison, the default volume was $136 billion in 2016, consisting of $93 billion in bonds and $43 billion in loans. The largest defaulter in 2017 was Petroleos de Venezuela, S.A., which missed payments on more than $20 billion in debt. Most of the corporate defaults occurred in North America, where the majority of our rated issuers are domiciled. Of the 91 defaults, 61, or two thirds, were in North America. Europe had 21 (23%) while the rest were in Asia-Pacific (6), Latin America (2) and the Middle East (1). In terms of dollar volume, $39 billion, or half of defaulted debt, was from North America, followed by Latin America and Europe, which had defaulted debt of $21 billion (27%) and $16 billion (20%), respectively.4 Last year’s defaults were mainly due to distressed exchanges and bankruptcies, each accounting for 40% of the defaults. The rest were payment defaults. Exhibit 1 presents the annual default counts and defaulted debt volumes for the period 1970-2017. 2 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 1 Defaults fell in 2017 Default Counts Default Amount (US$ billions) 350 300 250 Default Counts 200 200 150 150 100 100 50 Default Amount (US$ billions) 300 250 50 0 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 2016 2017 0 Default rate fell below historical average The issuer-weighted annual default rate finished at 1.4% in 2017, down from 2.1% in 2016 (see Exhibit 2). The decline came as financial distress in commodity sectors receded rapidly. Among speculative-grade issuers, the default rate showed a similar trend, declining to 2.9% from 4.5%. The latest figures are below the average one-year default rate since 1983 of 1.6% for all rated issuers and 4.2% for speculative-grade issuers. Measured on a dollar volume basis, our speculative-grade corporate bond default rates dropped to 1.5% in 2017 from 3.5% in 2016 and the rate for all of our rated issuers finished 2017 at 0.3%, down from 0.7% in 2016.5 Exhibit 2 Default rate fell below historical average All Corporates Speculative-grade 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 2016 2014 2012 2010 2008 2006 2004 2002 2000 1998 1996 1994 1992 1990 1988 1986 1984 1982 1980 1978 1976 1974 1972 1970 1968 1966 1964 1962 1960 1958 1956 1954 1952 1950 1948 1946 1944 1942 1940 1938 1936 1934 1932 1930 1928 1926 1924 1922 1920 Oil & Gas had the most defaulters but risk shifted to the Retail sector Amid a growing economy, defaults are usually driven by sector-specific issues. Last year, commodity sectors, especially the Oil & Gas industry, still had the most defaulters as they struggled with the lingering credit effects of the 2015-2016 commodities downturn. Oil & 3 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR Gas recorded 25 defaults, or 27% of the total count. Retail had the second most defaults at 13, or 14% of the total, as it suffered from structural shifts in consumer buying behavior and rising e-commerce penetration. Although Oil & Gas had the most defaults in 2017, its contribution to the total default count fell significantly from 46% in 2016 to 27% in 2017. In contrast, Retail’s contribution increased noticeably from 6% to 14%. When measured by dollar volume, Oil & Gas topped the list again by accounting for 49% of the total, with the next highest share coming from Retail (12%). Besides Petroleos de Venezuela, S.A., there were other sizeable defaults in 2017 including Avaya, Inc. ($6 billion) and Toys 'R' Us-Delaware, Inc. ($2.5 billion).6 Exhibit 3 shows the distribution of defaults by specific industries in 2016 and 2017 as well as the changes between those two years. 4 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 3 Oil & Gas still had the most defaults but risk shifted to Retail Percent by count Percent by volume 2017 2016 Industry Group* 2017 2016 Change Aerospace & Defense Automotive Banking Beverage, Food, & Tobacco Capital Equipment Chemicals, Plastics, & Rubber Construction & Building Consumer goods: Durable Consumer goods: Non-durable Energy: Electricity Energy: Oil & Gas Environmental Industries FIRE: Finance FIRE: Real Estate Forest Products & Paper Healthcare & Pharmaceuticals High Tech Industries Hotel, Gaming, & Leisure Media: Advertising, Printing & Publishing Media: Broadcasting & Subscription Media: Diversified & Production Metals & Mining Retail Services: Business Services: Consumer Sovereign & Public Finance Telecommunications Transportation: Cargo Transportation: Consumer Utilities: Electric Wholesale 2% 0% 5% 0% 1% 1% 1% 1% 1% -1% 4% -1% 0% 0% 3% 0% 0% 0% 0% 0% Change 0% 0% 3% 0% 1% 2% 1% 2% 0% 0% 1% 0% 0% 1% 0% 0% 1% 2% -1% 1% 8% 0% 0% 1% -1% 0% 0% 0% 0% 1% -1% 0% 0% 0% 3% 27% 2% 1% 46% 1% 3% -19% 1% 3% 49% 1% 1% 51% 0% 3% -5% 0% 2% 1% 4% 3% 1% 1% -1% 0% 3% 1% 3% 2% 1% 0% 2% -1% 3% 0% 1% 1% 0% 1% 0% 1% 3% 0% 1% 1% 2% -1% 2% 0% 1% 0% 1% 0% 0% 6% -6% 0% 2% -2% 4% 0% 4% 4% 0% 4% 1% 0% 1% 1% 0% 1% 3% 14% 10% 1% 0% 11% 6% 2% 0% 0% -8% 9% 8% 1% 0% 1% 12% 3% 0% 0% 14% 2% 1% 0% 0% -14% 10% 2% 0% 0% 3% 3% 0% 3% 1% 1% 0% 2% -1% 10% 1% 0% 12% 0% 0% -3% 1% 0% 0% 2% 1% 3% -1% -1% 0% 0% 1% 1% -1% 0% *We omitted those industries which had no defaults in 2016 and 2017 Although the Oil & Gas sector accounted for more than a quarter of the defaults last year, it was not the sector with the highest rate of default: that distinction belongs to Forest Products & Paper, which had a 9.0% default rate in 2017.7 Retail followed right behind with a rate of 7.0% (see Exhibit 4). 5 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 4 One year default rate led by Forest Products and Paper, followed by Retail Industry Group Default Rate* Industry Group Default Rate* Forest Products & Paper Retail Energy: Oil & Gas Environmental Industries Energy: Electricity Media: Broadcasting & Subscription Media: Diversified & Production Services: Business Wholesale Transportation: Cargo Aerospace & Defense Metals & Mining Telecommunications High Tech Industries Services: Consumer Chemicals, Plastics, & Rubber Healthcare & Pharmaceuticals FIRE: Finance 8.99% 7.01% 6.09% 5.56% 5.36% 3.74% 3.57% 3.09% 3.01% 2.93% 2.63% 1.91% 1.61% 1.28% 1.18% 1.02% 0.62% 0.50% FIRE: Real Estate Construction & Building Capital Equipment Banking Automotive Beverage, Food, & Tobacco Consumer goods: Durable Consumer goods: Non-durable Containers, Packaging, & Glass FIRE: Insurance Hotel, Gaming, & Leisure Media: Advertising, Printing & Publishing Sovereign & Public Finance Transportation: Consumer Utilities: Electric Utilities: Oil & Gas Utilities: Water 0.49% 0.44% 0.43% 0.38% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% *Issuer-weighted.8 Credit quality improved, especially in Metals & Mining and Oil & Gas Credit quality among our rated issuers improved in 2017, with rating upgrades catching up and breaking even with downgrades. Rating drift, which is calculated as the average upgraded notches per issuer minus the average downgraded notches per issuer, rose to zero in 2017 from -16% of a rating notch in 2016 (see Exhibit 5). Of our 35 industry groups, 24 had better rating drifts in 2017 than in 2016, while 31 recorded higher drifts relative to their historical averages. Exhibit 5 Upgrades broke even with downgrades 20% 10% Rating Drift 0% -10% -20% -30% -40% -50% -60% 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 Across sectors, the most notable credit improvement was found in Metals & Mining, which had a one-year rating drift of 38% of a rating notch in 2017, compared with -80% a year earlier (see Exhibit 6). Similarly, Oil & Gas saw its comparable metrics increase to 9% from -100%. On the other hand, Media: Diversified & Production had the largest deterioration in rating drift, closing at -28% in 2017, down from 4% in 2016. Forest Products & Paper followed (-16% down from 8%). Ranked by the 2017 rating drift alone, Metals & Mining had the highest drift while Media: Diversified & Production had the lowest. Retail, and Non-durable Consumer goods were close to the bottom, both had drifts of -27%. 6 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 6 Credit quality improved significantly in commodity sectors* *Rating drift, which is shown above, is the average upgraded notches per issuer minus the average downgrade notches per issuer. Distressed exchanges push senior unsecured bond recovery rates higher In Exhibit 7, we present the average recovery rates for debt that defaulted in the past two years and compare them with historical averages.9 The table shows that over the past three decades, recovery rates have been generally correlated with the priority of claim in the capital structure, with a higher priority of claim enjoying a higher average rate of recovery.10 For example, first lien bank loans’ 7 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE recovery rates average 67% on an issuer-weighted basis and 64% on a dollar volume basis; the highest recovery rates across security classes. This makes logical sense given their secured nature and seniority in the capital structure. Exhibit 7 shows that the average senior unsecured bond recovery rate increased to 54% in 2017 from 31% in 2016 and above its longterm average of 38%. The relatively high recovery rate in 2017 primarily stemmed from distressed exchanges, which experienced an average recovery rate of 69% in 2017 versus 41% for other types of defaults.11 In addition, recovery rates in the Oil & Gas sector, the main default driver in the past three years, were higher last year (57% in 2017 versus 23% in 2016). Measured by dollar volume, the senior unsecured bond recovery rate averaged 40% in 2017, also substantially higher than the 27% rate in 2016. For first lien bank loans, the volume-weighted average recovery rate was 75% in 2017, down from 78% in 2016. Exhibit 7 Average corporate debt recovery rates measured by trading prices Panel A - Recoveries Priority Position 1st Lien Bank Loan 2nd Lien Bank Loan Sr. Unsecured Bank Loan 1st Lien Bond 2nd Lien Bond Sr. Unsecured Bond Sr. Subordinated Bond Subordinated Bond Jr. Subordinated Bond Panel B - Observation count Priority Position 1st Lien Bank Loan 2nd Lien Bank Loan Sr. Unsecured Bank Loan 1st Lien Bond 2nd Lien Bond Sr. Unsecured Bond Sr. Subordinated Bond Subordinated Bond Jr. Subordinated Bond 2017 Issuer-weighted recoveries 2016 1983-2017 2017 Volume-weighted recoveries 2016 1983-2017 69.04% 17.87% 9.00% 75.05% 22.50% n.a. 67.07% 30.38% 45.87% 74.73% 30.29% 9.00% 77.95% 22.50% n.a. 63.74% 27.73% 40.21% 62.43% 52.75% 53.85% 38.00% 48.72% 34.07% 31.45% 36.72% 53.62% 45.18% 37.74% 31.10% 66.21% 36.61% 39.79% 50.62% 40.89% 35.82% 27.10% 56.10% 53.80% 43.63% 33.48% 26.34% 74.38% 17.50% 24.50% 0.63% 32.05% 22.79% 76.37% 4.84% 24.50% 0.63% 27.55% 13.97% Issuer count Dollar volume (in billions of USD) 2017 2016 1983-2017 2017 2016 1983-2017 25 5 1 17 1 0 487 72 67 20.3 1.2 0.0 10.7 0.2 0.0 291.9 12.9 33.8 20 5 39 2 14 19 64 3 326 69 1028 511 10.4 2.5 34.1 0.9 4.5 9.1 53.1 1.3 136.2 36.7 715.7 114.5 2 2 1 1 413 26 0.8 0.1 0.0 0.7 81.2 3.9 The recovery data above are based on trading prices at or post default.12 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 or securities that creditors actually receive when the issuer exits bankruptcy, typically one to two years following the initial default date. In Exhibit 8, we present data on ultimate recovery rates for North American companies included in Moody’s Ultimate Recovery Database.13 In 2017, the average “firm-wide” recovery rate14,15 for the 17 default resolutions was 64%, compared with 39% for the 30 companies that emerged from default in 2016. Unlike the preceding year, in 2017 the overall firm-wide average recovery was above the historical average (55%), buoyed by a significant improvement in recoveries of bankrupt oil & gas companies. The sector represented more than half of the 2017 default resolutions that we studied. Out of nine bankruptcy resolutions in the oil and gas sector, six experienced high family recoveries averaging 83%. This turnaround in recovery rates of oil and gas companies may be attributable to improved investor sentiment. As the market became more optimistic and commodity prices rebounded, investors started bidding up asset prices, leading to higher valuations for defaulted securities and for assets of companies in bankruptcy. Other than bankruptcy 8 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE resolutions, three distressed exchanges that we recorded in 2017 also helped to lift the overall firm-wide recovery rate by returning 85 cents on the dollar at the firm-wide level. Improved family-level recoveries of defaulters emerging in 2017 mainly stemmed from a sharp rise in recoveries from companies in the energy sector and benefitted all creditor classes. As shown in Exhibit 8, in 2017 every debt instrument type realized on average a higher recovery rate than in 2016. Exhibit 8 Average Corporate Debt Recovery Rates Measured by Ultimate Recoveries, 1987-2017 Priority Position 2017 Emergence Year 2016 1987-2017 2017 Default Year 2016 1987-2017 Loans Senior Secured Bonds Senior Unsecured Bonds Subordinated Bonds 81.3% 52.3% 54.1% 4.5% 72.6% 35.9% 11.7% 6.6% 80.4% 62.3% 47.9% 28.0% 80.2% 57.5% 47.4% n.a. 78.3% 46.9% 29.2% 8.0% 80.4% 62.3% 47.9% 28.0% Our credit ratings are opinions of relative expected credit losses, which are a function of both the probability of default and loss given default (LGD). Exhibit 9 shows annual average credit loss rates from 1983 through 2017 for our rated corporate issuers. The chart indicates that the average credit loss rate among all of our rated issuers fell to 0.7% in 2017 from 1.5% in 2016. Historically, the average annual credit loss rate for our rated issuers has been 0.9% since 1983. Exhibit 9 Annual credit loss rates down in 2017 Inv-Grade Spec-Grade All-Rated 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 1984 1983 Default rates to slide further in 2018 Default rate to fall below 2% this year In the past three years, the global default rate has moved with the rise and fall of defaults from the commodity sectors. For 2018, we expect the default outlook to remain benign for global corporate issuers. Underpinning this forecast is a strong fundamental credit environment. The anticipation of faster GDP growth in the G-20 countries, a sustained recovery in commodity prices, generally healthy corporate earnings and relatively low refunding risk after a wave of refinancing all support a low default rate forecast. Although many central banks have begun to reduce stimulus, monetary policies are still accommodative and provide sufficient liquidity to the credit market. Based on Moody’s Credit Transition Model, the default rate for all of our rated issuers is expected to fall to 0.8% by the end of 2018, which - if realized - will be lower than the average of 1.6% since 1983. Among speculative-grade issuers, the default rate is predicted to decline to 1.7%, also below the historical average of 4.2% (see dotted lines in Exhibit 10). These forecasts are made under our baseline scenario, which assumes the US high-yield spread will remain thin from the latest quarter’s average of 335 basis points (bps) to 373 bps in the fourth quarter of 2018, whereas the US unemployment rate will ease to 3.5% from 4.1%.16 9 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 10 Default rates to trend down in 2018 15% 12% 9% 6% 3% 0% Dec-18 Dec-17 Dec-16 Dec-15 Dec-14 Dec-13 Dec-12 Dec-11 Dec-10 Dec-09 Dec-08 Dec-07 Dec-06 Dec-05 Dec-04 Dec-03 Dec-02 Dec-01 Dec-00 Dec-99 Dec-98 Dec-97 Dec-96 Dec-95 Dec-94 Trailing 12 month ending date All Corp (actual) All Corp (baseline forecast) All Corp (pessmistic forecast) Spec-Grade (actual) Spec-Grade (baseline forecast) Spec-Grade (pessmistic forecast) Commodity stress to recede Commodity sectors have been the major driving force of defaults in the past three years, but we expect defaults in these sectors to be relatively muted in 2018, with the default rate for the combined portfolio of Oil & Gas and Metals & Mining issuers falling to 1.8% in 2018 from 4.9% in 2017. This forecast reflects the sectors’ stabilizing fundamentals following the rise in commodity prices. In addition, most of the weakest companies have already restructured or defaulted. Our industry outlooks for commodities anticipate stable credit conditions.17 In Oil & Gas, three out of the five subsectors—exploration & production, oilfield services & drilling, and midstream—have positive outlooks, while the other two—integrated oil and refining & marketing—are stable. Moreover, commodity companies have taken advantage of market access in recent years to refinance their debt and push out near-term maturities (see Exhibit 11). Exhibit 11 Commodity sectors’ default rates to slide further this year 14% 12% 10% 8% 6% 4% 2% 0% Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Trailing 12 month ending All Corp (actual) Oil&Gas+Metals&Mining (actual) All Corp excl Oil&Gas and Metals&Mining (actual) All Corp (forecast) Oil&Gas+Metals&Mining (forecast) All Corp excl Oil&Gas and Metals&Mining (forecast) In Exhibit 11, we also plot the default rate for all sectors, both with and without the combined Oil & Gas and Metals & Mining sector. As shown in the chart, while the default rate for our rated universe fell to 1.4% in 2017 from 2.1% in 2016, the comparable rate actually 10 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR edged higher to 1.1% from 1.0% when we exclude issuers in the Oil & Gas and Metals & Mining sectors. Looking into 2018, we expect default risk to decline outside of the commodity sectors, finishing at 0.7% in December. In order to take a closer look at industry-specific default risk, we provide the one-year baseline global default forecasts by industry in Exhibit 12.18 In this chart, we apply the same economic assumption to all industries, so the only factor driving the different forecasted default rates is the rating histories and current ratings of the companies in those industries. Measured by default rate, the most troubled sector is Durable Consumer Goods (4.1%). The next highest forecast belongs to Retail (3.9%). These forecasts, if realized, will be higher than their historical averages of 2.7% and 3.1%, respectively. While our Credit Transition Model predicts that Retail will have the second-highest default risk in 2018, the risk is concentrated in only some pockets of the sector. Take US retailers as an example, out of the 14 retail sub-sectors, five are forecast to have operating income growth above 5% this year—led by online retailers, dollar stores and home improvement.19 On the other hand, department stores, office supply, discounters/warehouses, drug stores and apparel & footwear are sectors that will be a drag on broader industry performance in 2018. 11 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 12 One-year corporate default rate forecasts by industry 0% 1% 2% 3% 4% 5% 6% 7% Consumer goods: durable Retail Media: Advertising, Printing & Publishing Wholesale Consumer goods: non-durable Services: Business Energy: Oil & Gas Energy: Electricity Forest Products & Paper Construction & Building Environmental Industries Healthcare & Pharmaceuticals High Tech Industries Containers, Packaging, & Glass Transportation: Cargo Services: Consumer Aerospace & Defense Hotel, Gaming, & Leisure Capital Equipment Beverage, Food, & Tobacco Media: Broadcasting & Subscription Metals & Mining Chemicals, Plastics, & Rubber Media: Diversified & Production Telecommunications Automotive FIRE: Finance Banking FIRE: Insurance FIRE: Real Estate Sovereign & Public Finance Transportation: Consumer Utilities: Water Utilities: Electric Utilities: Oil & Gas EDF-implied forecast CTM Forecast 1983-2017 Average Exhibit 12 also shows the default rate forecast implied by Expected Default Frequency (EDF).20,21 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 volatility in the equity market, which may not be fully captured in the high-yield spread or rating actions. In addition, the EDF-implied default rate may also be higher as that portfolio includes some unrated issuers that may have relatively weak credit quality. When compared with those EDF-implied forecasts from a year ago, the latest EDF predictions reinforce the message that 12 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE default rates are expected to drift noticeably lower in 2018 relative to 2017 for both Oil & Gas (5.2% vs. 6.5%) and Metals & Mining (2.9% vs. 3.9%). While our baseline forecast represents our central view, we acknowledge that global economic conditions can pose significant risks in 2018. Potential disruptions to the benign outlook include the possibility of the US Federal Reserve and European Central Bank tapering their quantitative easing policies faster than expected. In addition, a number of lingering political risks, such as the Italian general elections, Brexit negotiations and US mid-term elections will remain a challenge for global credit in 2018 and beyond. Furthermore, risk associated with loosening credit terms and increased issuance of lower-quality debt may also add upward pressure once the cycle turns and credit conditions tighten. In our pessimistic scenario,22 which has a 4% chance probability of materializing, the worldwide economy could fall back into a deep recession with the US unemployment rate rising to 8.2% and the US high-yield bond spread widening to 1,063 bps. In that case, the global default rate is expected to rise to 4.1% for all rated issuers and 8.5% for speculative-grade issuers (see dashed lines in Exhibit 10). Rating Accuracy Metrics Our ratings have historically proven to be effective predictors of default. This can be seen in Exhibit 13, which plots the median ratings of more than 2,000 corporate issuers that defaulted from 1983 to 2017. The chart demonstrates that, historically, our rated issuers have been downgraded to the B1 level as early as five years prior to default. The comparable rating was lower at B3 among issuers that defaulted in 2017. The median rating one year prior to default was Caa3 among last year’s defaulters, three notches below the rating measured over the entire period 1983-2017. Exhibit 13 Median Ratings Prior to Default, 2017 vs. Long-Term Average 2017 60 55 1983-2017 50 Months prior to default 45 40 35 30 25 20 15 10 5 0 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca C The evolution of median ratings presented in Exhibit 13 above demonstrate that our 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 (AP) of defaults to evaluate the accuracy of our ordinal rating systems (see Exhibit 14).23 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 2017, the AP of defaults has been consistently high during the entire period, with an average of 91.6% for the one-year horizon and 86.6% for the five-year horizon. This indicates that our ratings have been effective in predicting defaults over both the short- and long-term periods. 13 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 14 One- and Five-Year Average Default Position by Cohort Year, 1983-2017 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% 1 Year 14 15 February 2018 5 Year Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR Methodology and Data Sources Moody's Definition of Default Moody’s definition of default is applicable only to debt or debt-like obligations (e.g., swap agreements). For details, please refer to Moody's Rating Symbols and Definitions. Methodology The methodology used in this study can be found in the Glossary of Moody’s Ratings Performance Metrics. The Glossary report is a technical paper that explains how Moody’s calculates default rates, transition rates and rating performance metrics in detail. Changes in this Year's Report Moody’s occasionally discovers historical defaults, leading to minor revisions of the historical data. As always, the data contained in the most recently published Moody’s default study supersede the data published in previous reports. Data Sources Moody’s 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, Moody’s data covers the credit experiences of over 20,000 corporate issuers that sold long-term public debt at some time between 1920 and 2017. As of January 1, 2017, over 6,000 corporate issuers held a Moody’s long-term bond, loan, deposit or corporate family rating. Moody’s database of corporate defaults covers more than 3,000 long-term bond and loan defaults by issuers both rated and nonrated by Moody’s. Additional data sources, such as Barclay’s Fixed Income Index data, supplemented Moody’s 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 1982-2017 period, the dataset includes post-default prices for approximately 5,000 defaulted instruments issued by over 1,700 defaulting corporations. Moody’s makes the 1970-2017 credit rating, default and recovery rate data used in this study available through its Default and Recovery Database (DRD). Guide to Data Tables and Charts in Appendix In this section, we briefly describe the interpretation of some of the Exhibits contained in this report. Exhibit 13 was derived by mapping Moody’s 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 36.8% 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 21.4% average rate between 1983 and 2017 (see Exhibit 34). For an investor with a fiveyear 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. 15 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR Exhibit 41 shows the cumulative issuer-weighted historical default rates of cohorts formed between the years 1970 and 2017 (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. 16 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Appendix Exhibit 15 Moody’s-Rated 2017 Corporate Bond And Loan Defaults* Company Country 99 Cents Only Stores LLC Agrokor D.D. Ameriforge Group, Inc. Approach Resources Inc. Appvion, Inc. Armstrong Energy, Inc. Artel, LLC Ascent Resources - Marcellus LLC Aurora Diagnostics Holdings, LLC Avaya, Inc. Banco Popular Espanol, S.A. Bibby Offshore Holdings Ltd Bibby Offshore Services Plc Boart Longyear Management Pty Limited Bonanza Creek Energy, Inc. Brunswick Rail Limited Carboclor S.A. CGG Holding (U.S.) Inc CGG SA CHARMING CHARLIE LLC Chinos Intermediate Holdings A, Inc. Concordia International Corp. Cumulus Media Holdings Inc. Denbury Resources Inc. Drill Rigs Holdings Inc. Drillships Financing Holding Inc. Drillships Ocean Ventures Inc. Eastcomtrans LLP Emeco Holdings Limited Emeco Pty Limited EP Energy LLC EXCO Resources, Inc. Expro Holdings UK 3 Limited Fieldwood Energy LLC Floworks International LLC GenOn Americas Generation, LLC GenOn Energy, Inc. GenOn Mid-Atlantic, LLC Global A&T Electronics Ltd. Goodman Networks, Inc. GulfMark Offshore, Inc. Gymboree Corporation (The) HBC Holdings LLC iHeartCommunications, Inc. Imperial Metals Corporation Intelsat S.A. International Bank of Azerbaijan iPayment Inc. Jack Cooper Enterprises, Inc. Jack Cooper Holdings Corp. LBI Media, Inc. Millar Western Forest Products Ltd. Mood Media Corporation Neovia Logistics Intermediate Holdings, LP Norske Skogindustrier ASA 17 15 February 2018 Default Month Broad Default Type United States Croatia United States United States United States United States United States United States United States United States Spain United Kingdom United Kingdom United States United States Russia Argentina United States France United States United States Canada United States United States Cyprus Cyprus Cyprus Kazakhstan Australia Australia United States United States United Kingdom United States United States United States United States United States Singapore United States United States United States United States United States Canada Luxembourg Azerbaijan United States United States United States United States Canada Canada United States 2017-11 2017-5 2017-4 2017-1 2017-10 2017-7 2017-4 2017-6 2017-5 2017-1 2017-6 2017-12 2017-12 2017-9 2017-1 2017-10 2017-1 2017-6 2017-6 2017-12 2017-7 2017-10 2017-11 2017-12 2017-3 2017-3 2017-3 2017-4 2017-3 2017-3 2017-12 2017-12 2017-12 2017-9 2017-9 2017-6 2017-6 2017-7 2017-8 2017-1 2017-4 2017-6 2017-3 2017-1 2017-11 2017-1 2017-5 2017-4 2017-6 2017-6 2017-4 2017-5 2017-5 2017-3 Distressed exchange Payment default Bankruptcy Distressed exchange Bankruptcy Payment default Distressed exchange Payment default Distressed exchange Bankruptcy Distressed exchange Bankruptcy Bankruptcy Distressed exchange Bankruptcy Distressed exchange Bankruptcy Bankruptcy Bankruptcy Bankruptcy Distressed exchange Payment default Bankruptcy Distressed exchange Bankruptcy Bankruptcy Bankruptcy Distressed exchange Distressed exchange Distressed exchange Distressed exchange Payment default Bankruptcy Distressed exchange Distressed exchange Bankruptcy Bankruptcy Payment default Payment default Bankruptcy Payment default Bankruptcy Distressed exchange Payment default Distressed exchange Distressed exchange Payment default Distressed exchange Distressed exchange Distressed exchange Distressed exchange Distressed exchange Bankruptcy Distressed exchange Norway 2017-7 Payment default Bond (US $ mil) 242 337 Loans (US $ mil) In Jan 2017 cohort? 590 690 131 250 200 15 211 750 198 2683 770 0 234 396 800 600 0 1921 3309 20 192 2 0 325 132 566 610 610 460 33 1729 1834 1268 79 0 283 1147 709 1420 781 221 694 1827 106 1127 325 430 171 8 809 55 795 191 1027 500 280 429 374 23 210 350 46 461 100 236 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Novo Banco, S.A. Nuverra Environmental Solutions, Inc. Ocean Rig UDW Inc. Onsite Rental Group Pty Ltd Opal Acquisition, Inc. Orchard Acquisition Company, LLC Pacific Drilling S.A. Pacific Drilling V Ltd. Payless Inc. Perpetual Energy Inc. Petroleos de Venezuela, S.A. Pinnacle Holdco S.A.R.L. Pinnacle Operating Corporation Production Resource Group, Inc. Quintis Limited Real Alloy Holding, Inc. Reliance Communications Limited Rosenergobank rue21, inc. Sable Permian Resources, LLC Sequa Corporation Shelf Drilling Midco, Ltd. Sierra Hamilton LLC Spanish Broadcasting System, Inc. Sprint Industrial Holdings, LLC Stafford Logistics, Inc. Tatfondbank The J.G. Wentworth Company Tops Holding II Corporation Toys 'R' US, Inc. Toys 'R' Us-Delaware, Inc. True Religion Apparel, Inc. Vanguard Natural Resources, LLC Velocity Pooling Vehicle, LLC Vivarte Walter Investment Management Corp Portugal United States Cyprus Australia United States United States Luxembourg Luxembourg United States Canada Venezuela United States United States United States Australia United States India Russia United States United States United States United Arab Emirates United States United States United States United States Russia United States United States United States United States United States United States United States France United States 2017-10 2017-5 2017-3 2017-10 2017-7 2017-12 2017-11 2017-11 2017-4 2017-1 2017-11 2017-9 2017-3 2017-5 2017-8 2017-11 2017-11 2017-4 2017-5 2017-5 2017-1 2017-1 2017-1 2017-4 2017-4 2017-10 2017-1 2017-12 2017-8 2017-9 2017-9 2017-7 2017-2 2017-11 2017-6 2017-11 Distressed exchange Bankruptcy Bankruptcy Distressed exchange Distressed exchange Bankruptcy Bankruptcy Bankruptcy Bankruptcy Distressed exchange Payment default Payment default Distressed exchange Distressed exchange Payment default Bankruptcy Payment default Bankruptcy Bankruptcy Distressed exchange Payment default Distressed exchange Payment default Payment default Distressed exchange Distressed exchange Payment default Bankruptcy Distressed exchange Bankruptcy Bankruptcy Bankruptcy Bankruptcy Bankruptcy Distressed exchange Bankruptcy 785 397 131 61 0 0 604 750 439 450 1193 665 13 20420 345 300 210 250 305 300 239 327 350 475 110 275 100 593 78 83 166 67 0 76 791 22 382 891 820 2453 471 1250 440 2 1245 1 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 0 1 1 1 1 1 1 1 1 *This list only includes companies that have rated bonds, loans and/or deposits within one year prior to default. Only issuers included in the Jan 1st cohort are included in the annual default rates in this report. Furthermore, the list only includes 91 companies, which initially defaulted in 2017. Besides these 91 companies, there are five issuers, which initially defaulted in prior years but experienced follow-on defaults on $1.4 billion of debt in 2017 ($0.4 billion in bonds and $0.9 billion in loans). We include such $1.4 billion in the 2017 default volume. 18 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 16 Annual Moody's-Rated Global Corporate Issuer Default Counts, 1920-2017* 19 Year IG SG All 1920 1921 1922 1923 1924 1925 1926 1927 1928 1929 1930 1931 1932 1933 1934 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1955 1956 1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 8 7 10 5 3 7 4 1 0 3 2 6 10 9 5 9 3 4 9 2 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 2 0 0 0 1 25 25 23 22 37 34 18 15 8 12 21 78 108 188 60 51 19 18 17 13 22 10 4 3 3 2 0 2 0 5 0 1 0 0 1 1 0 1 0 0 2 3 4 3 0 0 1 0 1 0 25 3 5 3 3 4 2 3 33 32 33 27 40 41 22 16 8 15 23 84 118 197 65 60 22 22 26 15 24 10 4 3 3 2 0 2 0 5 0 1 0 0 1 1 0 1 0 0 2 3 4 3 0 0 1 0 1 0 27 3 5 5 3 4 2 4 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE 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 2016 2017 0 0 0 0 2 0 2 0 3 0 0 4 1 1 0 0 0 0 0 0 1 1 4 4 14 0 0 2 0 0 21 14 3 6 1 3 2 0 0 0 4 1 4 2 11 13 11 16 33 31 33 50 89 68 33 23 19 29 18 25 51 107 124 186 133 91 41 31 31 19 118 258 61 42 67 67 54 109 136 88 4 1 4 2 13 13 13 16 36 31 33 54 90 69 33 23 19 29 18 25 52 108 128 190 147 91 41 33 31 19 139 272 64 48 68 70 56 109 136 88 *Only includes issuers in the Jan 1st cohort. 20 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 17 Annual Rated Global Corporate Bond And Loan Default Volumes, 1970-2017* Year Bond Investment Grade Loan Total Bond Speculative Grade Loan Total Bond All Ratings Loan Total 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 2016 2017 $154 $0 $0 $17 $0 $0 $0 $68 $0 $0 $0 $0 $243 $0 $215 $0 $138 $0 $0 $1,506 $0 $1,348 $0 $0 $0 $0 $0 $0 $399 $461 $4,115 $21,195 $44,214 $0 $0 $2,155 $0 $0 $182,073 $35,704 $4,047 $6,561 $323 $2,408 $939 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $1,225 $3,950 $5,363 $13,658 $870 $0 $2,825 $0 $0 $10,380 $21,931 $0 $1,411 $0 $0 $0 $0 $0 $0 $154 $0 $0 $17 $0 $0 $0 $68 $0 $0 $0 $0 $243 $0 $215 $0 $138 $0 $0 $1,506 $0 $1,348 $0 $0 $0 $0 $0 $0 $399 $1,686 $8,065 $26,558 $57,872 $870 $0 $4,980 $0 $0 $192,452 $57,634 $4,047 $7,972 $323 $2,408 $939 $0 $0 $0 $756 $132 $215 $94 $69 $176 $34 $179 $112 $18 $302 $47 $515 $1,110 $367 $1,354 $3,213 $8,941 $5,642 $9,657 $20,429 $15,546 $6,667 $2,617 $2,713 $5,401 $4,106 $5,024 $9,469 $26,217 $25,360 $78,864 $115,631 $38,667 $16,409 $26,923 $7,758 $6,214 $51,362 $148,231 $21,323 $22,108 $34,835 $28,781 $39,811 $75,662 $90,603 $51,704 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $242 $361 $0 $1,831 $678 $956 $487 $299 $372 $1,435 $948 $3,299 $14,054 $26,206 $34,103 $40,471 $10,308 $4,712 $8,745 $2,630 $1,983 $32,322 $122,350 $14,042 $4,906 $18,289 $13,826 $30,029 $19,794 $42,508 $24,453 $756 $132 $215 $94 $69 $176 $34 $179 $112 $18 $302 $47 $515 $1,110 $367 $1,354 $3,213 $9,182 $6,003 $9,657 $22,260 $16,224 $7,623 $3,103 $3,013 $5,773 $5,541 $5,972 $12,768 $40,270 $51,566 $112,967 $156,101 $48,976 $21,122 $35,668 $10,388 $8,197 $83,684 $270,580 $35,365 $27,014 $53,125 $42,607 $69,839 $95,456 $133,112 $76,157 $910 $132 $215 $112 $69 $176 $34 $247 $112 $18 $302 $47 $758 $1,110 $582 $1,354 $3,351 $8,941 $5,642 $11,162 $20,429 $16,894 $6,667 $2,617 $2,713 $5,401 $4,106 $5,024 $9,868 $26,678 $29,475 $100,059 $159,845 $38,667 $16,409 $29,078 $7,758 $6,214 $233,435 $183,934 $25,370 $28,669 $35,159 $31,189 $40,750 $75,662 $90,603 $51,704 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $242 $361 $0 $1,831 $678 $956 $487 $299 $372 $1,435 $948 $3,299 $15,279 $30,156 $39,466 $54,129 $11,178 $4,712 $11,570 $2,630 $1,983 $42,701 $144,280 $14,042 $6,317 $18,289 $13,826 $30,029 $19,794 $42,508 $24,453 $910 $132 $215 $112 $69 $176 $34 $247 $112 $18 $302 $47 $758 $1,110 $582 $1,354 $3,351 $9,182 $6,003 $11,162 $22,260 $17,572 $7,623 $3,103 $3,013 $5,773 $5,541 $5,972 $13,167 $41,956 $59,631 $139,525 $213,973 $49,845 $21,122 $40,648 $10,388 $8,197 $276,136 $328,215 $39,411 $34,986 $53,448 $45,015 $70,778 $95,456 $133,112 $76,157 *Default volume in millions of USD. Only include companies in the Jan 1st cohort. 21 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 18 Annual Issuer Default Counts And Volume Totals By Geographical Region, 1986-2017* Year Africa & Middle East Asia Pacific Count Europe 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 0 0 1 0 0 0 0 1 0 0 1 0 1 1 2 1 0 0 0 4 1 0 0 0 0 0 0 2 5 8 3 15 2 2 0 0 0 0 3 16 3 0 1 2 5 9 2 6 0 0 0 0 1 2 0 0 1 0 0 0 5 9 4 15 25 7 5 1 7 3 51 31 11 15 12 25 14 29 20 21 Latin America North America 0 0 0 0 0 0 0 0 0 1 1 2 0 8 3 6 17 11 1 1 2 0 2 11 3 1 5 10 5 9 12 2 38 32 33 51 92 71 34 24 18 30 19 21 44 87 119 150 102 70 38 32 23 15 93 226 53 35 51 36 32 69 107 61 Africa & Middle East 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2758 0 0 183 0 0 0 0 650 0 0 48 0 350 456 945 553 Dollar Volumes (US$ mil) Asia Pacific Europe Latin America North America 0 0 0 969 200 0 0 0 0 0 0 614 1444 4458 4453 7832 1842 625 0 0 0 0 625 6989 6913 0 1805 546 3397 4114 1806 1960 0 0 0 0 516 1228 0 0 774 0 0 0 707 3950 866 10540 45418 3708 2311 207 1601 2230 53374 28013 9225 10064 17275 24095 9654 16149 18108 15856 0 0 0 0 0 0 0 0 0 100 207 310 0 2018 305 2034 10424 4152 1093 100 167 0 555 3031 487 358 3077 4880 4539 4314 26135 20822 4142 9262 6003 10253 22097 16753 7673 3104 2238 5774 5930 5048 11241 33299 54074 116675 156289 41485 18304 40445 9113 5967 227946 294547 25270 26599 33780 23112 53092 75136 88565 38844 * Include defaults outside of the Jan 1st cohorts. 22 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 19 2017 Defaulted Corporate Bond And Loan Recoveries* Company Default Type Perpetual Energy Inc. Approach Resources Inc. GenOn Americas Generation, LLC Tops Holding II Corporation Aurora Diagnostics Holdings, LLC 99 Cents Only Stores LLC Opal Acquisition, Inc. Brunswick Rail Limited International Bank of Azerbaijan Sable Permian Resources, LLC iHeartCommunications, Inc. Real People Investment Holdings Limited Production Resource Group, Inc. Neovia Logistics Intermediate Holdings, LP Vanguard Natural Resources, LLC Chinos Intermediate Holdings A, Inc. GenOn Energy, Inc. Mood Media Corporation EP Energy LLC Millar Western Forest Products Ltd. Walter Investment Management Corp Intelsat S.A. Frigoglass SAIC Sequa Corporation GulfMark Offshore, Inc. Toys 'R' US, Inc. Toys 'R' Us-Delaware, Inc. Novo Banco, S.A. Petroleos de Venezuela, S.A. CGG SA Boart Longyear Management Pty Limited Cumulus Media Holdings Inc. Agrokor D.D. Jack Cooper Enterprises, Inc. Ocean Rig UDW Inc. rue21, inc. Norske Skogindustrier ASA Gymboree Corporation (The) Nuverra Environmental Solutions, Inc. 21st Century Oncology, Inc Ameriforge Group, Inc. Appvion, Inc. Armstrong Energy, Inc. Avanti Communications Group plc Avaya, Inc. Banco Popular Espanol, S.A. Bibby Offshore Services Plc CHARMING CHARLIE LLC Concordia International Corp. Denbury Resources Inc. Drill Rigs Holdings Inc. Drillships Financing Holding Inc. Drillships Ocean Ventures Inc. Eastcomtrans LLP Emeco Pty Limited 23 15 February 2018 distressed exchange distressed exchange bankruptcy distressed exchange distressed exchange distressed exchange distressed exchange distressed exchange payment default distressed exchange payment default distressed exchange distressed exchange distressed exchange bankruptcy distressed exchange bankruptcy bankruptcy distressed exchange distressed exchange bankruptcy distressed exchange payment default payment default payment default bankruptcy bankruptcy distressed exchange payment default bankruptcy distressed exchange bankruptcy payment default distressed exchange bankruptcy bankruptcy payment default bankruptcy bankruptcy payment default bankruptcy bankruptcy payment default distressed exchange bankruptcy distressed exchange bankruptcy bankruptcy payment default distressed exchange bankruptcy bankruptcy bankruptcy distressed exchange distressed exchange Loans 1st 2nd Sr. 1st Lien Lien Unsec. Lien Bonds 2nd Sr. Sr. Sub. Lien Unsec. 98.0 92.0 90.5 90.0 88.3 85.5 84.8 84.0 83.4 98.0 81.1 78.5 78.1 76.3 73.0 70.1 68.5 64.7 64.0 62.8 62.0 60.5 59.0 57.0 55.0 47.0 97.0 41.5 41.0 28.0 76.8 25.3 24.1 80.5 20.5 18.0 16.6 13.0 11.0 3.5 1.9 1.5 20.0 0.5 95.6 91.0 99.6 97.5 47.4 100.9 86.2 35.8 93.7 61.5 10.5 96.5 Sub. Jr. Sub. 31.0 72.8 10.0 4.0 37.0 11.5 60.0 78.9 24.3 89.6 76.0 13.8 3.9 9.0 66.0 29.5 75.7 93.3 93.4 90.0 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE EXCO Resources, Inc. Expro Holdings UK 3 Limited Fieldwood Energy LLC Floworks International LLC Global A&T Electronics Ltd. Jack Cooper Holdings Corp. Onsite Rental Group Operations Pty Ltd Orchard Acquisition Company, LLC Pacific Drilling S.A. Pacific Drilling V Ltd. Payless Inc. Pinnacle Operating Corporation Quintis Limited Real Alloy Holding, Inc. Reliance Communications Limited Shelf Drilling Midco, Ltd. Spanish Broadcasting System, Inc. Sprint Industrial Holdings, LLC Stafford Logistics, Inc. True Religion Apparel, Inc. Velocity Pooling Vehicle, LLC payment default bankruptcy distressed exchange distressed exchange payment default distressed exchange distressed exchange bankruptcy bankruptcy bankruptcy bankruptcy distressed exchange payment default bankruptcy payment default distressed exchange payment default distressed exchange distressed exchange bankruptcy bankruptcy 48.0 58.8 41.6 60.0 62.3 52.8 87.8 54.3 64.4 38.0 48.0 51.0 5.3 73.0 70.0 72.5 38.8 84.5 102.0 76.4 27.5 53.5 28.6 35.2 4.5 *Measured by trading prices and in percents. 24 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 20 Annual Defaulted Corporate Bond And Loan Recoveries* Loan Sr. Sec. (1st Lien) Year 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 2016 2017 72.0% 67.9% 60.6% 53.4% 67.6% 75.4% 85.5% 81.3% 56.7% 73.5% 68.8% 64.9% 58.4% 73.4% 87.7% 83.8% 83.6% 68.6% 61.7% 53.6% 70.9% 70.9% 66.4% 76.2% 78.4% 64.1% 75.0% 69.0% Bond Sr. Sec. (1st Lien) Sr. Unsec. Sr. Sub. Sub. 40.0% 52.7% 49.4% 60.2% 50.4% 63.8% 45.2% 43.6% 38.2% 36.7% 49.2% 37.1% 53.7% 47.6% 62.8% 56.1% 39.5% 38.0% 24.2% 21.2% 29.5% 41.9% 52.1% 54.9% 55.0% 53.7% 33.5% 36.7% 50.7% 41.3% 43.3% 45.0% 46.1% 37.6% 31.5% 53.9% 43.5% 67.9% 29.6% 46.8% 46.5% 31.4% 35.7% 25.5% 41.8% 49.4% 51.9% 29.6% 34.3% 43.8% 44.7% 45.0% 26.9% 20.8% 19.8% 21.4% 37.8% 42.3% 32.8% 41.4% 56.2% 23.3% 23.1% 37.5% 36.7% 33.7% 20.7% 39.1% 36.6% 36.7% 38.0% 41.1% 44.3% 39.7% 40.4% 46.9% 33.8% 26.8% 19.5% 24.4% 38.0% 44.1% 38.0% 41.5% 22.6% 33.1% 18.2% 35.6% 31.9% 15.9% 23.4% 12.3% 94.0% 51.3% 56.1% 0.0% 29.5% 45.3% 33.7% 31.9% 37.3% 26.4% 38.8% 58.5% 24.5% 74.4% 83.6% 59.2% 71.0% 55.4% 46.5% 33.8% 48.4% 62.1% 69.3% 62.0% 47.6% 72.0% 46.8% 39.1% 39.2% 31.7% 50.6% 69.2% 73.3% 69.2% 74.6% 82.3% 52.5% 37.3% 57.6% 70.5% 57.6% 68.1% 73.6% 54.8% 48.7% 62.4% Jr. Sub. 48.5% 36.5% 16.9% 10.7% 7.8% 13.5% 40.0% 30.6% 62.0% 15.5% 47.0% 14.0% 0.6% 17.5% All Bonds 44.5% 45.5% 43.6% 46.8% 51.3% 38.5% 32.5% 25.8% 35.5% 45.9% 43.1% 45.6% 43.3% 41.5% 47.6% 38.3% 34.3% 25.2% 21.6% 29.5% 41.4% 58.5% 56.5% 55.0% 55.1% 34.1% 33.9% 51.5% 45.7% 44.5% 46.1% 47.9% 40.6% 36.1% 56.5% *Based on trading prices. 25 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 21 Average Sr. Unsecured Bond Recovery Rates By Year Prior To Default, 1983-2017* Aaa** Aa A Baa Ba B Caa-C Investment Grade Speculative Grade All Rated Year 1 Year 2 Year 3 Year 4 Year 5 37.24% 30.36% 42.89% 44.63% 37.62% 38.10% 40.04% 38.34% 38.40% 3.33% 39.02% 42.57% 44.16% 43.30% 36.77% 38.43% 43.33% 38.19% 38.47% 3.33% 38.08% 44.97% 43.99% 42.13% 37.21% 38.50% 43.96% 38.31% 38.71% 61.88% 43.95% 44.48% 43.79% 41.60% 37.71% 38.83% 44.11% 38.66% 39.11% 69.58% 43.18% 44.17% 43.52% 41.59% 38.36% 38.86% 43.85% 38.99% 39.45% *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, 1983-2017* Aaa Aa A Baa Ba B Caa-C Investment Grade Speculative Grade All Rated Year 1 Year 2 Year 3 Year 4 Year 5 0.00% 0.01% 0.04% 0.10% 0.51% 2.14% 6.28% 0.06% 2.58% 1.01% 0.01% 0.04% 0.10% 0.26% 1.46% 5.17% 11.04% 0.14% 5.26% 2.02% 0.01% 0.07% 0.20% 0.43% 2.64% 8.17% 15.10% 0.25% 7.80% 2.94% 0.01% 0.11% 0.31% 0.65% 3.89% 10.83% 18.42% 0.38% 9.99% 3.71% 0.02% 0.17% 0.45% 0.87% 4.96% 13.19% 21.16% 0.52% 11.86% 4.35% * Based on average default rates and senior unsecured bond recoveries measured on issuer-weighted basis. 26 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 23 Annual Credit Loss Rates By Letter Rating, 1983-2017* Year Aaa Aa A Baa Ba B Caa-C Inv-Grade Spec-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 2011 2012 2013 2014 2015 2016 2017 Average Max Min 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.0% 0.3% 0.0% 0.4% 0.0% 0.0% 0.3% 0.2% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.3% 0.1% 0.7% 0.0% 0.0% 0.1% 0.0% 0.0% 0.7% 0.6% 0.0% 0.2% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.1% 0.7% 0.0% 0.6% 0.3% 0.3% 1.2% 1.1% 0.7% 1.7% 2.3% 2.4% 0.2% 0.4% 0.0% 0.1% 0.0% 0.1% 0.5% 0.9% 1.0% 0.9% 1.0% 0.5% 0.2% 0.0% 0.1% 0.0% 1.6% 1.1% 0.0% 0.1% 0.1% 0.3% 0.1% 0.2% 0.1% 0.1% 0.6% 2.4% 0.0% 1.1% 2.7% 2.9% 5.2% 2.0% 3.2% 4.3% 8.5% 8.4% 3.7% 2.8% 1.9% 2.1% 0.6% 0.9% 2.3% 3.0% 4.4% 7.3% 3.3% 1.6% 0.4% 0.4% 0.5% 0.0% 2.7% 4.6% 0.2% 0.2% 0.3% 0.5% 0.3% 1.4% 1.1% 0.1% 2.4% 8.5% 0.0% 20.0% 9.2% 2.7% 8.5% 3.6% 6.8% 11.5% 27.2% 9.7% 8.4% 8.5% 2.5% 5.5% 3.8% 4.3% 5.0% 10.0% 13.6% 23.6% 18.9% 12.0% 5.7% 3.3% 2.7% 2.3% 7.1% 16.5% 4.2% 3.4% 4.4% 3.4% 2.5% 4.3% 6.2% 3.0% 8.1% 27.2% 2.3% 0.0% 0.1% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 0.3% 0.0% 0.1% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.1% 0.4% 0.0% 1.9% 1.6% 1.5% 3.1% 1.6% 2.1% 3.3% 6.5% 5.8% 2.5% 2.1% 1.1% 1.6% 0.6% 0.8% 1.8% 3.3% 4.6% 7.6% 5.4% 3.1% 1.2% 0.8% 0.8% 0.4% 3.6% 7.7% 1.5% 1.2% 1.6% 1.4% 1.0% 2.3% 3.1% 1.3% 2.6% 7.7% 0.4% 0.4% 0.4% 0.4% 0.9% 0.5% 0.8% 1.3% 2.2% 1.8% 0.7% 0.6% 0.3% 0.5% 0.2% 0.3% 0.7% 1.3% 1.9% 2.9% 2.1% 1.1% 0.4% 0.3% 0.3% 0.2% 1.7% 3.2% 0.6% 0.5% 0.7% 0.7% 0.5% 1.1% 1.5% 0.7% 0.9% 3.2% 0.2% *Based on issuer-weighted average default rates and issuer-weighted senior unsecured bond recovery rates. 27 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 24 2017 One-Year Letter Rating Migration Rates From/To Aaa Aa A Baa Ba B Caa Ca-C WR Default Aaa Aa A Baa Ba B Caa Ca-C 100.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 75.08% 1.35% 0.06% 0.00% 0.00% 0.08% 0.00% 0.00% 20.20% 90.08% 2.88% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.89% 90.13% 6.74% 0.10% 0.00% 0.00% 0.00% 0.00% 0.24% 1.29% 82.07% 7.23% 0.08% 0.00% 0.00% 0.00% 0.00% 0.29% 3.97% 72.15% 4.99% 0.81% 0.00% 0.00% 0.08% 0.00% 0.12% 5.45% 70.38% 19.51% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.07% 35.77% 0.00% 4.71% 4.37% 5.35% 6.86% 14.77% 17.65% 16.26% 0.00% 0.00% 0.00% 0.00% 0.24% 0.30% 3.76% 27.64% Exhibit 25 Average One-Year Letter Rating Migration Rates, 1920-2017 From/To Aaa Aa A Baa Ba B Caa Ca-C WR Default Aaa Aa A Baa Ba B Caa Ca-C 86.86% 1.05% 0.07% 0.03% 0.01% 0.00% 0.00% 0.00% 7.77% 84.11% 2.70% 0.23% 0.07% 0.04% 0.01% 0.02% 0.79% 7.73% 85.06% 4.20% 0.49% 0.16% 0.03% 0.10% 0.19% 0.72% 5.56% 82.90% 6.15% 0.61% 0.11% 0.04% 0.03% 0.16% 0.64% 4.55% 74.05% 5.56% 0.51% 0.57% 0.00% 0.05% 0.12% 0.72% 6.85% 71.76% 6.71% 2.82% 0.00% 0.01% 0.04% 0.13% 0.67% 6.19% 67.72% 8.19% 0.00% 0.00% 0.01% 0.02% 0.09% 0.46% 2.95% 47.69% 4.36% 6.11% 5.73% 6.96% 10.49% 12.00% 13.90% 18.45% 0.00% 0.06% 0.08% 0.25% 1.14% 3.21% 8.06% 22.13% Exhibit 26 Average One-Year Letter Rating Migration Rates, 1970-2017 From/To Aaa Aa A Baa Ba B Caa Ca-C WR Default Aaa Aa A Baa Ba B Caa Ca-C 87.71% 0.82% 0.05% 0.03% 0.01% 0.01% 0.00% 0.00% 7.94% 85.15% 2.46% 0.14% 0.04% 0.03% 0.01% 0.00% 0.58% 8.51% 86.78% 4.12% 0.42% 0.14% 0.02% 0.05% 0.07% 0.42% 5.37% 85.72% 6.12% 0.45% 0.08% 0.00% 0.02% 0.06% 0.48% 3.79% 76.32% 4.78% 0.34% 0.56% 0.00% 0.03% 0.11% 0.69% 7.17% 73.49% 6.51% 2.29% 0.00% 0.02% 0.04% 0.15% 0.71% 6.62% 67.87% 8.94% 0.00% 0.00% 0.00% 0.02% 0.11% 0.52% 2.85% 39.39% 3.67% 4.95% 4.64% 5.17% 8.22% 10.70% 14.35% 22.12% 0.00% 0.02% 0.05% 0.17% 0.88% 3.27% 7.96% 26.66% Exhibit 27 Average Five-Year Letter Rating Migration Rates, 1970-2017* From/To Aaa Aa A Baa Ba B Caa Ca-C WR Default Aaa Aa A Baa Ba B Caa Ca-C 53.36% 2.20% 0.19% 0.16% 0.03% 0.02% 0.00% 0.00% 23.51% 45.70% 7.33% 1.04% 0.19% 0.07% 0.00% 0.00% 4.99% 23.68% 51.37% 12.32% 2.60% 0.46% 0.13% 0.03% 0.64% 4.00% 14.64% 49.33% 14.20% 2.39% 0.70% 0.80% 0.31% 0.81% 2.47% 7.96% 27.81% 7.37% 1.78% 1.80% 0.03% 0.26% 0.80% 2.55% 11.51% 22.25% 8.27% 4.74% 0.05% 0.12% 0.16% 0.59% 1.99% 6.30% 13.27% 2.87% 0.00% 0.03% 0.02% 0.09% 0.13% 0.63% 0.97% 3.26% 17.04% 22.94% 22.35% 24.50% 34.74% 43.92% 48.81% 51.07% 0.07% 0.26% 0.67% 1.46% 6.80% 16.59% 26.07% 35.44% *Last cohort formed on 1/1/2013. 28 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 28 2017 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 Aaa 100.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Aa1 0.00% 78.79% 21.21% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Aa2 0.00% 0.00% 79.00% 15.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Aa3 0.00% 0.00% 0.00% 58.54% 35.98% 0.00% 0.61% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% A1 0.00% 0.00% 0.00% 4.42% 82.32% 8.56% 0.55% 0.28% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% A2 0.00% 0.00% 0.00% 0.26% 6.77% 81.25% 5.47% 0.26% 0.52% 0.26% 0.00% 0.78% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.26% 0.00% A3 0.00% 0.00% 0.00% 0.00% 0.00% 7.59% 78.99% 6.81% 1.56% 0.19% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Baa1 0.00% 0.00% 0.00% 0.18% 0.00% 0.36% 8.05% 84.08% 2.86% 0.36% 0.00% 0.00% 0.18% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Baa2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.32% 8.28% 78.90% 6.33% 0.32% 0.00% 0.16% 0.00% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00% Baa3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.76% 10.06% 78.37% 2.85% 0.57% 0.00% 0.57% 0.19% 0.00% 0.00% 0.00% 0.00% 0.00% Ba1 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.69% 11.81% 73.26% 5.21% 2.78% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Ba2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.40% 6.77% 6.77% 72.11% 4.78% 1.59% 0.80% 0.00% 0.00% 0.00% 0.00% 0.00% Ba3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.68% 0.00% 4.79% 8.22% 68.49% 6.51% 2.40% 0.34% 0.00% 0.34% 0.00% 0.00% B1 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.31% 0.00% 0.31% 1.23% 14.77% 56.92% 7.69% 2.77% 1.23% 0.31% 0.00% 0.00% B2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.36% 0.72% 2.51% 11.83% 55.20% 10.39% 1.79% 1.43% 1.08% 0.00% B3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.25% 0.74% 1.48% 3.46% 12.84% 56.05% 7.65% 1.48% 0.25% 0.00% Caa1 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.16% 0.65% 7.42% 61.61% 9.03% 1.61% 0.16% Caa2 0.00% 0.00% 0.21% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.21% 0.42% 1.48% 9.51% 59.20% 5.50% 2.11% Caa3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.48% 0.00% 0.48% 1.43% 3.33% 5.71% 47.14% 13.81% Ca-C 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.81% 1.63% 4.88% 13.01% 35.77% 29 15 February 2018 WR Default 0.00% 0.00% 6.00% 4.88% 3.87% 4.17% 4.86% 3.94% 5.52% 6.64% 6.25% 6.37% 7.88% 14.46% 14.34% 15.31% 18.39% 17.12% 16.67% 16.26% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.40% 0.34% 0.00% 0.36% 0.49% 0.97% 4.23% 10.95% 27.64% Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 29 Average One-Year Alphanumeric Rating Migration Rates, 1983-2017 From/To Aaa Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C 30 86.84% 1.73% 1.06% 0.16% 0.05% 0.05% 0.05% 0.03% 0.04% 0.03% 0.02% 0.00% 0.00% 0.01% 0.00% 0.01% 0.00% 0.00% 0.00% 0.00% 15 February 2018 Aa1 5.42% 76.01% 4.35% 1.05% 0.10% 0.03% 0.05% 0.03% 0.04% 0.01% 0.00% 0.00% 0.01% 0.01% 0.01% 0.00% 0.01% 0.00% 0.00% 0.00% Aa2 2.38% 8.21% 73.12% 4.19% 1.01% 0.21% 0.10% 0.08% 0.02% 0.02% 0.02% 0.02% 0.01% 0.02% 0.00% 0.02% 0.00% 0.01% 0.00% 0.00% Aa3 0.56% 6.10% 10.25% 75.23% 5.12% 1.06% 0.31% 0.12% 0.06% 0.04% 0.02% 0.03% 0.01% 0.01% 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% A1 0.28% 1.50% 3.59% 8.58% 75.70% 5.78% 1.58% 0.21% 0.18% 0.08% 0.16% 0.09% 0.07% 0.05% 0.02% 0.03% 0.00% 0.02% 0.00% 0.00% A2 0.15% 0.94% 1.68% 3.66% 7.78% 76.04% 6.33% 1.68% 0.59% 0.18% 0.13% 0.12% 0.18% 0.03% 0.02% 0.03% 0.01% 0.01% 0.00% 0.02% A3 Baa1 0.02% 0.19% 0.40% 0.85% 2.88% 7.46% 74.78% 6.75% 2.05% 0.50% 0.22% 0.17% 0.18% 0.08% 0.10% 0.06% 0.00% 0.00% 0.00% 0.03% 0.06% 0.13% 0.09% 0.24% 0.67% 2.67% 6.95% 74.56% 6.52% 1.93% 0.76% 0.39% 0.10% 0.10% 0.13% 0.03% 0.02% 0.00% 0.00% 0.00% Baa2 0.00% 0.08% 0.16% 0.25% 0.48% 1.04% 2.81% 7.17% 75.08% 8.59% 2.58% 0.72% 0.47% 0.22% 0.14% 0.04% 0.00% 0.06% 0.00% 0.00% Baa3 0.02% 0.01% 0.07% 0.13% 0.22% 0.39% 0.92% 2.44% 6.60% 72.69% 9.97% 3.81% 0.81% 0.32% 0.27% 0.11% 0.03% 0.10% 0.00% 0.00% Ba1 Ba2 Ba3 B1 0.01% 0.04% 0.03% 0.03% 0.19% 0.18% 0.38% 0.65% 1.41% 4.89% 65.34% 7.91% 2.85% 0.73% 0.21% 0.13% 0.06% 0.05% 0.07% 0.26% 0.01% 0.00% 0.02% 0.03% 0.13% 0.14% 0.16% 0.36% 0.66% 2.17% 5.09% 63.59% 6.63% 2.88% 0.68% 0.22% 0.12% 0.06% 0.04% 0.15% 0.00% 0.01% 0.00% 0.01% 0.05% 0.17% 0.13% 0.24% 0.47% 1.04% 4.27% 6.82% 63.98% 6.44% 2.06% 0.63% 0.22% 0.18% 0.05% 0.16% 0.00% 0.04% 0.03% 0.01% 0.06% 0.06% 0.11% 0.28% 0.34% 0.74% 1.62% 3.79% 7.39% 63.64% 7.26% 2.27% 0.40% 0.38% 0.22% 0.16% B2 0.00% 0.03% 0.01% 0.00% 0.01% 0.03% 0.04% 0.06% 0.20% 0.30% 0.64% 1.34% 3.24% 6.17% 61.90% 6.27% 1.35% 0.84% 0.18% 0.23% B3 0.00% 0.01% 0.02% 0.00% 0.01% 0.01% 0.02% 0.04% 0.09% 0.25% 0.54% 0.95% 1.89% 4.45% 7.94% 60.20% 7.68% 2.37% 1.01% 1.85% Caa1 0.00% 0.02% 0.00% 0.00% 0.02% 0.02% 0.03% 0.06% 0.11% 0.16% 0.13% 0.32% 0.63% 1.35% 3.66% 7.51% 59.37% 7.92% 3.29% 2.01% Caa2 0.00% 0.02% 0.02% 0.01% 0.01% 0.02% 0.01% 0.03% 0.01% 0.07% 0.21% 0.22% 0.42% 0.73% 1.79% 3.36% 8.19% 53.92% 8.16% 3.28% Caa3 Ca-C WR Default 0.00% 0.00% 0.00% 0.00% 0.01% 0.01% 0.00% 0.01% 0.02% 0.06% 0.03% 0.09% 0.10% 0.22% 0.43% 1.16% 2.77% 6.05% 44.86% 3.80% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02% 0.02% 0.01% 0.04% 0.11% 0.13% 0.13% 0.26% 0.49% 0.84% 1.39% 3.01% 9.43% 38.70% 4.24% 4.95% 5.10% 5.52% 5.44% 4.58% 5.18% 5.07% 5.31% 5.97% 7.71% 8.78% 9.54% 10.32% 9.94% 12.19% 13.85% 15.43% 13.99% 22.49% 0.00% 0.00% 0.00% 0.04% 0.07% 0.05% 0.05% 0.13% 0.17% 0.25% 0.44% 0.71% 1.36% 1.97% 2.95% 4.87% 4.51% 9.59% 18.70% 26.86% Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 30 Annual Issuer-Weighted Corporate Default Rates By Letter Rating, 1920-2017 31 Year Aaa Aa A Baa Ba B Caa-C IG SG All 1920 1921 1922 1923 1924 1925 1926 1927 1928 1929 1930 1931 1932 1933 1934 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1955 1956 1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.19% 0.18% 0.00% 0.37% 0.00% 0.40% 0.00% 0.00% 0.29% 0.00% 0.00% 0.67% 0.00% 0.62% 0.00% 0.85% 0.00% 0.85% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.32% 0.35% 0.17% 0.00% 0.00% 0.14% 0.15% 0.21% 0.00% 0.00% 0.00% 0.27% 1.10% 0.26% 0.31% 1.43% 0.54% 0.51% 1.64% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.94% 0.65% 1.10% 0.62% 0.13% 0.71% 0.11% 0.00% 0.00% 0.45% 0.40% 1.08% 0.93% 1.77% 0.86% 1.92% 0.33% 1.04% 1.99% 0.99% 1.37% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.54% 0.00% 0.00% 0.46% 0.00% 0.00% 0.00% 0.29% 2.15% 0.44% 1.08% 0.93% 2.06% 1.74% 1.39% 1.30% 0.16% 0.82% 0.92% 3.00% 6.10% 11.55% 2.53% 5.13% 1.23% 1.00% 0.99% 0.62% 0.43% 0.97% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.36% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.25% 0.60% 1.75% 1.16% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.24% 0.89% 0.00% 0.00% 0.51% 1.03% 1.00% 0.54% 4.38% 2.68% 1.71% 2.27% 2.70% 2.59% 2.90% 1.98% 1.32% 0.92% 3.16% 9.52% 13.98% 16.15% 4.22% 4.27% 2.38% 2.67% 1.47% 1.74% 3.31% 0.81% 0.79% 1.36% 0.50% 0.00% 0.00% 0.72% 0.00% 1.03% 0.00% 0.00% 0.00% 0.00% 0.00% 1.61% 0.00% 1.27% 0.00% 0.00% 0.00% 0.00% 1.47% 1.47% 0.00% 0.00% 2.44% 0.00% 0.00% 0.00% 19.44% 0.00% 6.90% 3.85% 7.16% 6.16% 0.00% 3.23% 0.00% 13.33% 7.63% 5.93% 12.84% 14.40% 3.70% 12.84% 10.48% 9.73% 7.72% 31.67% 24.06% 25.92% 16.50% 13.02% 7.80% 9.07% 12.81% 6.07% 11.83% 5.07% 2.00% 0.00% 2.55% 3.57% 0.00% 2.78% 0.00% 8.57% 0.00% 4.76% 0.00% 0.00% 7.14% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 8.70% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.00% 0.00% 50.00% 12.50% 37.50% 37.50% 0.00% 0.00% 0.00% 33.33% 0.43% 0.39% 0.51% 0.24% 0.14% 0.32% 0.19% 0.07% 0.00% 0.24% 0.15% 0.50% 0.86% 0.79% 0.59% 1.29% 0.48% 0.62% 1.55% 0.41% 0.59% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.27% 0.00% 0.00% 0.23% 0.00% 0.00% 0.00% 0.11% 3.01% 2.15% 1.76% 1.70% 2.85% 2.56% 1.91% 1.83% 0.88% 1.40% 2.20% 7.90% 10.99% 15.71% 5.90% 6.25% 2.72% 2.75% 2.60% 1.77% 3.56% 1.71% 0.74% 0.62% 0.67% 0.56% 0.00% 0.64% 0.00% 1.93% 0.00% 0.43% 0.00% 0.00% 0.47% 0.52% 0.00% 0.45% 0.00% 0.00% 0.75% 1.07% 1.52% 1.15% 0.00% 0.00% 0.44% 0.00% 0.37% 0.00% 8.68% 1.16% 1.92% 1.28% 1.33% 1.74% 0.87% 1.36% 1.23% 1.07% 1.01% 0.80% 1.15% 1.17% 0.77% 0.74% 0.36% 0.72% 1.04% 3.81% 5.50% 8.49% 3.40% 3.93% 1.63% 1.72% 2.11% 1.22% 2.47% 1.09% 0.46% 0.37% 0.39% 0.31% 0.00% 0.32% 0.00% 0.84% 0.00% 0.18% 0.00% 0.00% 0.17% 0.17% 0.00% 0.14% 0.00% 0.00% 0.25% 0.35% 0.47% 0.35% 0.00% 0.00% 0.12% 0.00% 0.11% 0.00% 2.63% 0.29% 0.45% 0.46% 0.28% 0.36% 0.18% 0.35% 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE 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 2016 2017 Mean Median St Dev Min Max 32 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 15 February 2018 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.51% 0.00% 0.00% 0.19% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.06% 0.00% 0.17% 0.00% 0.85% 0.00% 0.00% 0.00% 0.00% 0.26% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.16% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00% 0.40% 0.24% 0.17% 0.00% 0.00% 0.09% 0.09% 0.00% 0.00% 0.00% 0.09% 0.00% 0.26% 0.00% 1.64% 0.00% 0.00% 0.00% 0.00% 0.33% 0.00% 0.62% 0.00% 0.87% 0.00% 0.00% 0.53% 0.26% 0.25% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.11% 0.09% 0.35% 0.18% 1.01% 0.00% 0.00% 0.16% 0.00% 0.00% 1.02% 0.93% 0.07% 0.35% 0.07% 0.12% 0.06% 0.00% 0.00% 0.00% 0.27% 0.00% 0.45% 0.00% 1.99% 1.12% 0.51% 0.00% 0.00% 2.79% 1.16% 0.52% 0.87% 2.36% 3.03% 1.36% 2.96% 3.77% 3.84% 0.34% 0.62% 0.00% 0.27% 0.00% 0.18% 0.90% 1.50% 1.27% 1.16% 1.40% 0.88% 0.38% 0.00% 0.19% 0.00% 2.34% 1.76% 0.00% 0.16% 0.14% 0.58% 0.14% 0.29% 0.13% 0.25% 1.02% 0.53% 1.60% 0.00% 11.55% 5.41% 0.00% 5.00% 4.40% 2.22% 2.30% 5.34% 7.31% 10.54% 5.44% 5.93% 7.55% 13.74% 13.24% 7.37% 4.38% 4.19% 4.01% 1.50% 2.00% 3.88% 4.90% 5.74% 9.24% 4.68% 2.70% 0.80% 0.82% 1.07% 0.00% 3.99% 7.21% 0.38% 0.34% 0.54% 0.91% 0.50% 2.25% 1.54% 0.32% 3.17% 1.99% 3.81% 0.00% 19.44% 0.00% 0.00% 33.33% 0.00% 23.08% 42.31% 18.18% 6.67% 17.11% 9.82% 12.50% 20.33% 43.91% 15.35% 16.49% 13.53% 5.39% 10.55% 10.31% 9.82% 8.34% 16.18% 17.90% 29.96% 26.81% 20.58% 11.82% 7.32% 5.91% 4.95% 10.69% 26.07% 8.54% 5.87% 7.77% 6.22% 4.58% 6.81% 9.02% 6.43% 10.50% 7.74% 11.22% 0.00% 50.00% 0.00% 0.00% 0.00% 0.00% 0.21% 0.00% 0.18% 0.00% 0.21% 0.00% 0.00% 0.25% 0.06% 0.06% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.03% 0.03% 0.13% 0.12% 0.43% 0.00% 0.00% 0.06% 0.00% 0.00% 0.63% 0.43% 0.10% 0.19% 0.03% 0.10% 0.06% 0.00% 0.00% 0.00% 0.15% 0.00% 0.27% 0.00% 1.55% 1.82% 0.43% 1.63% 0.70% 3.55% 4.06% 3.13% 3.77% 6.16% 4.31% 3.85% 5.91% 10.54% 9.10% 4.93% 3.40% 2.34% 3.06% 1.65% 1.89% 3.03% 5.36% 6.08% 9.63% 7.66% 5.33% 2.42% 1.72% 1.67% 0.95% 5.43% 12.11% 3.01% 1.98% 2.76% 2.63% 1.94% 3.67% 4.45% 2.91% 2.81% 1.90% 2.96% 0.00% 15.71% 0.35% 0.09% 0.34% 0.16% 1.04% 0.90% 0.87% 0.95% 1.83% 1.42% 1.39% 2.23% 3.57% 2.80% 1.34% 0.90% 0.65% 0.90% 0.51% 0.62% 1.14% 2.12% 2.45% 3.68% 2.92% 1.85% 0.83% 0.65% 0.59% 0.35% 2.51% 5.01% 1.23% 0.91% 1.23% 1.23% 0.94% 1.75% 2.14% 1.41% 1.16% 0.82% 1.36% 0.00% 8.49% Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 31 Annual Issuer-Weighted Corporate Default Rates By Alphanumeric Rating, 1983-2017 33 Year Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 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 2016 2017 Mean Median St Dev Min 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.08% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.49% 0.00% 0.00% 0.42% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.09% 0.00% 0.31% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.05% 0.00% 0.31% 0.00% 0.00% 0.00% 0.40% 0.00% 0.00% 0.00% 0.05% 0.00% 0.19% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.41% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.23% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02% 0.00% 0.08% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.43% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.69% 0.22% 0.00% 0.00% 0.22% 0.00% 0.00% 0.00% 0.00% 0.04% 0.00% 0.14% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.70% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.27% 0.28% 0.99% 0.00% 0.00% 0.00% 0.00% 0.00% 0.97% 1.02% 0.00% 0.00% 0.22% 0.00% 0.00% 0.00% 0.00% 0.00% 0.13% 0.00% 0.30% 0.00% 0.00% 0.00% 0.00% 0.81% 0.00% 0.00% 0.74% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.29% 0.00% 0.00% 0.25% 0.90% 0.00% 0.00% 0.22% 0.00% 0.00% 1.38% 0.87% 0.00% 0.20% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00% 0.17% 0.00% 0.34% 0.00% 0.00% 1.83% 0.00% 1.94% 0.00% 0.00% 0.80% 0.96% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.30% 0.88% 0.00% 1.18% 0.00% 0.00% 0.29% 0.00% 0.00% 0.61% 0.91% 0.24% 0.87% 0.00% 0.19% 0.18% 0.00% 0.00% 0.00% 0.32% 0.00% 0.53% 0.00% 0.00% 0.00% 0.00% 1.23% 5.05% 0.00% 1.00% 1.08% 1.05% 0.00% 1.03% 0.00% 0.00% 0.00% 0.00% 0.00% 0.47% 0.48% 0.00% 2.07% 0.54% 0.00% 0.00% 0.00% 0.00% 0.92% 1.43% 0.00% 0.00% 0.00% 0.00% 0.00% 0.90% 0.00% 0.00% 0.49% 0.00% 0.96% 0.00% 0.00% 1.67% 1.64% 1.10% 0.93% 0.00% 1.82% 5.84% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.16% 0.91% 1.38% 1.00% 1.14% 0.62% 0.00% 0.00% 0.00% 0.00% 2.97% 1.21% 0.00% 0.56% 0.00% 0.00% 0.00% 0.00% 0.00% 0.41% 0.70% 0.00% 1.16% 0.00% 3.08% 0.00% 1.15% 4.00% 3.13% 2.77% 4.60% 3.96% 7.22% 0.76% 0.79% 0.00% 0.68% 0.00% 0.45% 1.54% 3.02% 1.98% 2.54% 0.99% 1.39% 0.98% 0.00% 0.64% 0.00% 3.30% 2.58% 0.00% 0.00% 0.41% 1.57% 0.35% 0.00% 0.39% 0.35% 1.56% 0.98% 1.69% 0.00% 1.01% 6.49% 4.53% 8.66% 4.17% 4.24% 6.70% 6.86% 7.46% 1.44% 2.81% 2.51% 3.68% 0.38% 0.32% 2.69% 3.05% 2.28% 3.27% 2.55% 0.70% 0.00% 0.00% 0.65% 0.00% 3.04% 3.37% 0.84% 0.00% 0.00% 0.70% 0.34% 0.69% 1.00% 0.00% 2.47% 2.28% 2.43% 0.00% 0.00% 0.00% 5.56% 7.14% 5.66% 4.46% 5.30% 16.72% 7.16% 1.41% 1.35% 2.71% 5.74% 1.27% 0.51% 4.43% 3.85% 4.22% 9.63% 5.08% 2.66% 0.56% 0.50% 0.30% 0.00% 3.98% 6.89% 0.00% 0.46% 0.76% 1.26% 1.09% 2.99% 1.01% 0.39% 3.29% 2.66% 3.50% 0.00% 8.52% 3.33% 14.21% 15.80% 8.20% 11.27% 13.45% 25.21% 30.14% 23.32% 12.00% 9.50% 1.97% 4.06% 7.20% 5.28% 8.92% 11.81% 15.60% 6.61% 5.21% 2.20% 2.02% 2.11% 0.00% 4.60% 10.00% 0.28% 0.52% 0.75% 0.84% 0.23% 2.78% 2.34% 0.55% 7.74% 5.28% 7.51% 0.00% 15 February 2018 Caa1 4.55% 10.72% 13.08% 27.23% 18.18% 9.68% 7.81% 4.50% 2.39% 1.85% 5.92% 11.61% 1.77% 1.96% 2.73% 2.27% 1.99% 4.31% 3.84% 1.08% 1.08% Caa2 Caa3 Ca-C 42.31% 18.18% 6.67% 17.11% 10.16% 0.00% 10.53% 50.00% 21.43% 0.00% 45.16% 33.33% 15.30% 16.67% 18.41% 7.69% 14.43% 9.09% 5.10% 7.14% 6.23% 23.07% 11.13% 5.88% 8.68% 15.19% 8.06% 37.50% 5.26% 26.35% 14.43% 18.96% 26.39% 19.19% 17.19% 28.32% 37.89% 34.63% 21.55% 31.95% 39.13% 22.39% 27.42% 30.32% 9.17% 11.91% 29.13% 6.07% 23.48% 13.82% 7.51% 13.71% 14.59% 10.52% 6.91% 41.39% 17.52% 35.32% 42.40% 34.77% 54.00% 64.84% 7.33% 23.79% 25.20% 7.65% 15.74% 20.11% 9.07% 17.26% 44.89% 6.46% 10.50% 57.97% 4.18% 11.24% 25.55% 5.28% 15.14% 34.13% 5.63% 18.11% 47.19% 4.71% 12.19% 30.80% 14.85% 10.52% 10.65% 4.18% 6.91% 0.00% IG SG All 0.00% 0.18% 0.00% 0.21% 0.00% 0.00% 0.25% 0.06% 0.06% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.03% 0.03% 0.13% 0.12% 0.43% 0.00% 0.00% 0.06% 0.00% 0.00% 0.63% 0.43% 0.10% 0.19% 0.03% 0.10% 0.06% 0.00% 0.00% 0.00% 0.09% 0.03% 0.15% 0.00% 4.06% 3.13% 3.77% 6.16% 4.31% 3.85% 5.91% 10.54% 9.10% 4.93% 3.40% 2.34% 3.06% 1.65% 1.89% 3.03% 5.36% 6.08% 9.63% 7.66% 5.33% 2.42% 1.72% 1.67% 0.95% 5.43% 12.11% 3.01% 1.98% 2.76% 2.63% 1.94% 3.67% 4.45% 2.91% 4.37% 3.67% 2.69% 0.95% 0.90% 0.87% 0.95% 1.83% 1.42% 1.39% 2.23% 3.57% 2.80% 1.34% 0.90% 0.65% 0.90% 0.51% 0.62% 1.14% 2.12% 2.45% 3.68% 2.92% 1.85% 0.83% 0.65% 0.59% 0.35% 2.51% 5.01% 1.23% 0.91% 1.23% 1.23% 0.94% 1.75% 2.14% 1.41% 1.59% 1.23% 1.04% 0.35% Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Max 0.00% 0.00% 0.00% 1.49% 1.05% 0.41% 0.69% 1.02% 1.38% 1.94% 5.05% 5.84% 7.22% 8.66% 16.72% 30.14% 27.23% 45.16% 54.00% 64.84% 0.63% 12.11% 5.01% Exhibit 32 Average Cumulative Issuer-Weighted Global Default Rates By Letter Rating, 1920-2017 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 IG SG All 0.00% 0.06% 0.08% 0.26% 1.21% 3.42% 10.11% 0.14% 3.71% 1.50% 0.01% 0.18% 0.25% 0.72% 2.87% 7.78% 17.72% 0.40% 7.44% 3.01% 0.03% 0.28% 0.51% 1.26% 4.71% 12.15% 23.85% 0.72% 10.93% 4.42% 0.07% 0.43% 0.81% 1.86% 6.64% 16.12% 28.87% 1.08% 14.06% 5.68% 0.14% 0.66% 1.12% 2.48% 8.50% 19.67% 32.89% 1.48% 16.82% 6.80% 0.21% 0.93% 1.47% 3.10% 10.27% 22.79% 36.06% 1.88% 19.22% 7.78% 0.30% 1.20% 1.83% 3.70% 11.88% 25.61% 38.80% 2.29% 21.36% 8.66% 0.43% 1.45% 2.19% 4.31% 13.44% 28.01% 41.29% 2.70% 23.27% 9.45% 0.56% 1.69% 2.58% 4.96% 14.95% 30.16% 43.68% 3.13% 25.04% 10.21% 0.71% 1.96% 2.99% 5.59% 16.54% 32.01% 45.73% 3.56% 26.71% 10.94% 0.84% 2.26% 3.40% 6.24% 17.92% 33.67% 47.75% 4.01% 28.19% 11.62% 0.95% 2.59% 3.81% 6.89% 19.30% 35.16% 49.56% 4.46% 29.60% 12.28% 1.06% 2.92% 4.18% 7.55% 20.62% 36.60% 51.12% 4.89% 30.93% 12.90% 1.09% 3.24% 4.55% 8.14% 21.80% 38.07% 52.68% 5.30% 32.20% 13.48% 1.12% 3.47% 4.99% 8.68% 22.93% 39.46% 54.33% 5.69% 33.41% 14.03% 1.18% 3.66% 5.37% 9.25% 24.02% 40.84% 55.94% 6.06% 34.58% 14.56% 1.24% 3.83% 5.68% 9.81% 25.09% 42.11% 57.42% 6.39% 35.71% 15.04% 1.29% 4.03% 5.98% 10.32% 26.12% 43.14% 58.82% 6.71% 36.73% 15.49% 1.35% 4.27% 6.27% 10.81% 27.05% 43.92% 60.21% 7.03% 37.62% 15.91% 1.39% 4.48% 6.56% 11.30% 27.90% 44.49% 61.68% 7.34% 38.42% 16.30% Exhibit 33 Average Cumulative Issuer-Weighted Global Default Rates By Letter Rating, 1970-2017 34 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 IG SG All 0.00% 0.02% 0.05% 0.17% 0.92% 3.45% 10.22% 0.09% 4.07% 1.53% 0.01% 0.06% 0.16% 0.44% 2.52% 8.15% 18.04% 0.24% 8.23% 3.06% 0.01% 0.11% 0.33% 0.77% 4.38% 12.96% 24.64% 0.43% 12.17% 4.45% 0.03% 0.19% 0.52% 1.16% 6.36% 17.32% 30.17% 0.66% 15.67% 5.66% 0.08% 0.29% 0.74% 1.55% 8.20% 21.31% 34.67% 0.90% 18.72% 6.68% 0.14% 0.40% 0.99% 1.95% 9.90% 24.92% 38.09% 1.17% 21.35% 7.56% 0.19% 0.52% 1.26% 2.35% 11.39% 28.17% 41.12% 1.43% 23.65% 8.32% 0.25% 0.63% 1.54% 2.77% 12.85% 30.92% 44.04% 1.71% 25.68% 8.99% 0.31% 0.71% 1.85% 3.24% 14.34% 33.42% 46.76% 2.00% 27.58% 9.63% 0.38% 0.79% 2.15% 3.75% 15.88% 35.51% 48.90% 2.31% 29.29% 10.22% 0.45% 0.89% 2.45% 4.30% 17.33% 37.25% 50.57% 2.62% 30.79% 10.76% 0.52% 1.02% 2.74% 4.88% 18.81% 38.76% 51.34% 2.95% 32.17% 11.28% 0.60% 1.17% 3.04% 5.48% 20.19% 40.18% 51.75% 3.29% 33.43% 11.78% 0.64% 1.29% 3.36% 6.07% 21.53% 41.71% 51.84% 3.62% 34.69% 12.26% 0.68% 1.39% 3.72% 6.65% 22.93% 43.16% 52.04% 3.96% 35.95% 12.75% 0.73% 1.49% 4.08% 7.29% 24.31% 44.52% 52.43% 4.32% 37.17% 13.23% 0.78% 1.62% 4.44% 7.94% 25.54% 45.77% 52.53% 4.68% 38.26% 13.69% 0.80% 1.78% 4.82% 8.56% 26.64% 46.87% 52.53% 5.04% 39.23% 14.13% 0.80% 2.02% 5.17% 9.13% 27.80% 47.79% 52.53% 5.39% 40.18% 14.54% 0.80% 2.26% 5.53% 9.65% 28.71% 48.71% 52.53% 5.72% 40.98% 14.93% 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 34 Average Cumulative Issuer-Weighted Global Default Rates By Letter Rating, 1983-2017 35 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 IG SG All 0.00% 0.02% 0.06% 0.18% 0.91% 3.44% 10.14% 0.09% 4.19% 1.64% 0.01% 0.06% 0.17% 0.46% 2.57% 8.18% 17.93% 0.25% 8.51% 3.29% 0.01% 0.12% 0.36% 0.78% 4.57% 13.02% 24.55% 0.45% 12.64% 4.80% 0.04% 0.20% 0.56% 1.15% 6.66% 17.38% 30.12% 0.67% 16.29% 6.09% 0.07% 0.31% 0.80% 1.53% 8.50% 21.40% 34.61% 0.92% 19.44% 7.18% 0.10% 0.40% 1.07% 1.93% 10.15% 25.04% 37.99% 1.18% 22.16% 8.10% 0.13% 0.50% 1.35% 2.30% 11.63% 28.31% 40.99% 1.43% 24.53% 8.88% 0.14% 0.58% 1.63% 2.67% 13.01% 31.06% 43.87% 1.68% 26.60% 9.56% 0.14% 0.66% 1.92% 3.05% 14.36% 33.49% 46.64% 1.93% 28.47% 10.17% 0.14% 0.74% 2.20% 3.46% 15.70% 35.50% 48.91% 2.19% 30.10% 10.72% 0.14% 0.85% 2.48% 3.93% 16.87% 37.15% 50.70% 2.46% 31.46% 11.21% 0.14% 0.99% 2.74% 4.43% 18.05% 38.61% 51.54% 2.74% 32.67% 11.66% 0.14% 1.13% 3.03% 4.97% 19.14% 39.99% 51.98% 3.05% 33.79% 12.11% 0.14% 1.23% 3.36% 5.48% 20.27% 41.50% 52.07% 3.35% 34.94% 12.56% 0.14% 1.33% 3.75% 5.99% 21.49% 42.87% 52.29% 3.67% 36.08% 13.01% 0.14% 1.43% 4.15% 6.57% 22.62% 44.14% 52.71% 4.01% 37.15% 13.46% 0.14% 1.54% 4.54% 7.19% 23.60% 45.44% 52.83% 4.35% 38.12% 13.89% 0.14% 1.72% 4.96% 7.77% 24.57% 46.67% 52.83% 4.71% 39.05% 14.32% 0.14% 1.97% 5.30% 8.31% 25.67% 47.69% 52.83% 5.05% 40.00% 14.73% 0.14% 2.19% 5.64% 8.69% 26.39% 48.74% 52.83% 5.33% 40.75% 15.06% 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 35 Average Cumulative Issuer-Weighted Global Default Rates By Alphanumeric Rating, 1983-2017 36 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 Caa Ca-C IG SG All 0.00% 0.00% 0.00% 0.05% 0.07% 0.05% 0.06% 0.13% 0.17% 0.25% 0.45% 0.74% 1.43% 2.09% 3.11% 5.15% 8.35% 30.44% 0.09% 4.19% 1.64% 0.01% 0.00% 0.01% 0.12% 0.21% 0.14% 0.17% 0.35% 0.43% 0.62% 1.50% 1.92% 4.00% 5.59% 7.90% 11.18% 15.99% 40.31% 0.25% 8.51% 3.29% 0.01% 0.00% 0.11% 0.17% 0.42% 0.30% 0.38% 0.61% 0.72% 1.03% 2.76% 3.36% 7.06% 9.44% 12.68% 17.23% 22.60% 47.28% 0.45% 12.64% 4.80% 0.04% 0.05% 0.24% 0.25% 0.63% 0.51% 0.56% 0.88% 1.10% 1.52% 4.00% 4.85% 10.40% 13.07% 17.12% 22.40% 28.24% 52.11% 0.67% 16.29% 6.09% 0.07% 0.10% 0.35% 0.37% 0.83% 0.75% 0.83% 1.13% 1.44% 2.11% 5.31% 6.16% 13.17% 16.73% 20.87% 27.23% 32.87% 54.98% 0.92% 19.44% 7.18% 0.10% 0.14% 0.43% 0.49% 1.06% 1.09% 1.06% 1.37% 1.81% 2.72% 6.54% 7.24% 15.72% 20.10% 24.29% 31.64% 36.44% 56.27% 1.18% 22.16% 8.10% 0.13% 0.15% 0.52% 0.64% 1.26% 1.43% 1.33% 1.60% 2.19% 3.25% 7.52% 8.25% 18.10% 23.46% 27.29% 35.22% 39.55% 58.09% 1.43% 24.53% 8.88% 0.14% 0.15% 0.62% 0.76% 1.44% 1.79% 1.64% 1.77% 2.55% 3.89% 8.31% 9.39% 20.32% 26.44% 29.70% 38.20% 42.63% 59.19% 1.68% 26.60% 9.56% 0.14% 0.17% 0.75% 0.82% 1.59% 2.16% 1.98% 1.95% 2.97% 4.48% 9.08% 10.71% 22.32% 29.11% 32.02% 40.52% 45.70% 59.57% 1.93% 28.47% 10.17% 0.14% 0.23% 0.90% 0.88% 1.77% 2.53% 2.26% 2.19% 3.44% 5.05% 9.91% 12.09% 24.19% 31.22% 34.07% 42.36% 48.35% 59.57% 2.19% 30.10% 10.72% 0.14% 0.29% 1.03% 0.99% 1.96% 2.89% 2.51% 2.51% 4.01% 5.57% 10.78% 13.16% 25.81% 33.04% 35.71% 43.80% 50.36% 60.16% 2.46% 31.46% 11.21% 0.14% 0.37% 1.17% 1.15% 2.15% 3.21% 2.77% 2.94% 4.59% 6.04% 11.65% 14.19% 27.49% 34.54% 37.50% 44.64% 51.12% 61.08% 2.74% 32.67% 11.66% 0.14% 0.52% 1.30% 1.29% 2.37% 3.52% 3.10% 3.40% 5.19% 6.62% 12.41% 14.90% 29.40% 36.27% 38.85% 45.39% 51.50% 61.65% 3.05% 33.79% 12.11% 0.14% 0.69% 1.36% 1.39% 2.64% 3.89% 3.47% 3.80% 5.73% 7.25% 13.05% 15.74% 31.47% 38.24% 40.19% 46.20% 51.63% 61.65% 3.35% 34.94% 12.56% 0.14% 0.88% 1.43% 1.47% 2.91% 4.31% 3.96% 4.30% 6.22% 7.78% 13.96% 16.81% 33.29% 39.77% 41.84% 46.64% 51.93% 61.65% 3.67% 36.08% 13.01% 0.14% 1.02% 1.56% 1.53% 3.17% 4.78% 4.40% 4.91% 6.64% 8.57% 14.86% 17.48% 35.30% 40.97% 43.67% 46.95% 52.51% 61.65% 4.01% 37.15% 13.46% 0.14% 1.13% 1.79% 1.58% 3.44% 5.34% 4.71% 5.50% 7.04% 9.52% 15.50% 18.17% 37.11% 42.16% 45.31% 47.93% 52.67% 61.65% 4.35% 38.12% 13.89% 0.14% 1.27% 2.05% 1.72% 3.68% 5.89% 5.18% 5.93% 7.53% 10.41% 16.38% 18.70% 38.73% 43.43% 46.55% 49.17% 52.67% 61.65% 4.71% 39.05% 14.32% 0.14% 1.40% 2.30% 2.01% 3.81% 6.31% 5.68% 6.15% 8.14% 11.33% 17.81% 19.40% 39.87% 44.76% 47.15% 50.27% 52.67% 61.65% 5.05% 40.00% 14.73% 0.14% 1.40% 2.55% 2.30% 3.94% 6.70% 6.20% 6.30% 8.61% 11.91% 19.03% 19.50% 40.47% 46.10% 48.04% 50.62% 52.67% 61.65% 5.33% 40.75% 15.06% 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 36 Average Cumulative Issuer-Weighted Global Default Rates By Alphanumeric Rating, 1998-2017 37 Rating 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 IG SG All 0.00% 0.00% 0.00% 0.05% 0.11% 0.07% 0.07% 0.15% 0.19% 0.25% 0.31% 0.68% 0.96% 1.33% 2.79% 3.84% 4.78% 9.46% 19.70% 32.87% 0.12% 4.16% 1.76% 0.03% 0.00% 0.01% 0.13% 0.25% 0.20% 0.19% 0.39% 0.43% 0.60% 1.20% 1.60% 2.67% 4.06% 7.28% 9.31% 11.14% 17.86% 31.91% 43.91% 0.28% 8.42% 3.49% 0.03% 0.00% 0.14% 0.18% 0.43% 0.39% 0.42% 0.64% 0.69% 0.96% 2.15% 2.84% 4.65% 7.10% 11.95% 15.25% 17.18% 25.19% 40.07% 51.64% 0.49% 12.46% 5.07% 0.03% 0.00% 0.29% 0.25% 0.64% 0.58% 0.63% 0.91% 0.97% 1.35% 3.01% 4.12% 6.85% 10.13% 16.47% 20.17% 22.42% 31.72% 45.14% 56.52% 0.70% 15.93% 6.38% 0.03% 0.03% 0.38% 0.39% 0.89% 0.85% 0.95% 1.10% 1.20% 1.81% 4.15% 5.24% 8.42% 12.86% 19.93% 24.60% 26.88% 36.83% 49.15% 59.58% 0.94% 18.76% 7.42% 0.03% 0.09% 0.48% 0.54% 1.18% 1.26% 1.14% 1.31% 1.48% 2.19% 5.15% 6.10% 9.97% 15.34% 23.02% 28.57% 30.42% 40.94% 51.73% 61.00% 1.18% 21.12% 8.28% 0.03% 0.09% 0.59% 0.80% 1.47% 1.64% 1.41% 1.50% 1.71% 2.59% 6.04% 6.83% 11.62% 17.89% 25.74% 31.72% 33.32% 44.63% 55.22% 62.94% 1.43% 23.20% 9.03% 0.03% 0.09% 0.71% 1.00% 1.73% 2.08% 1.75% 1.69% 1.90% 3.18% 6.78% 8.02% 13.52% 20.27% 28.09% 34.37% 36.02% 48.38% 58.36% 64.12% 1.71% 25.11% 9.72% 0.03% 0.14% 0.89% 1.10% 1.97% 2.60% 2.19% 1.87% 2.23% 3.70% 7.67% 9.39% 15.27% 22.59% 30.42% 36.85% 39.11% 51.99% 59.16% 64.52% 2.01% 26.97% 10.40% 0.03% 0.24% 1.05% 1.20% 2.23% 3.23% 2.62% 2.17% 2.57% 4.33% 8.62% 10.96% 16.72% 24.72% 32.40% 38.80% 42.13% 52.76% 59.16% 64.52% 2.35% 28.58% 11.03% 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 37 Average Cumulative Issuer-Weighted Global Default Rates By Broad Industry Group, 1970-2017 Industry Group Aerospace & Defense Automotive Banking Beverage, Food, & Tobacco Capital Equipment Chemicals, Plastics, & Rubber Construction & Building Consumer goods: Durable Consumer goods: Non-durable Containers, Packaging, & Glass Energy: Electricity Energy: Oil & Gas Environmental Industries FIRE: Finance FIRE: Insurance FIRE: Real Estate Forest Products & Paper Healthcare & Pharmaceuticals High Tech Industries Hotel, Gaming, & Leisure Media: Advertising, Printing & Publishing Media: Broadcasting & Subscription Media: Diversified & Production Metals & Mining Retail Services: Business Services: Consumer Sovereign & Public Finance Telecommunications Transportation: Cargo Transportation: Consumer Utilities: Electric Utilities: Oil & Gas Utilities: Water Wholesale 38 15 February 2018 1 2 0.85% 2.33% 0.51% 1.17% 1.61% 1.09% 2.59% 2.37% 3.77% 2.30% 2.60% 2.38% 3.66% 0.86% 0.36% 0.94% 2.94% 1.34% 1.77% 4.20% 5.96% 3.54% 2.41% 3.10% 2.82% 2.08% 2.15% 0.51% 2.23% 1.99% 2.91% 0.13% 0.15% 0.12% 3.44% 3 1.77% 4.73% 1.01% 2.32% 3.34% 2.28% 5.36% 5.20% 7.88% 4.87% 5.32% 4.51% 6.98% 1.73% 0.76% 1.94% 5.71% 2.74% 3.67% 8.36% 11.83% 7.32% 4.80% 6.21% 5.69% 4.20% 4.24% 1.02% 4.37% 3.63% 5.63% 0.25% 0.27% 0.26% 7.36% 4 2.59% 7.05% 1.49% 3.45% 5.02% 3.40% 8.00% 8.19% 11.72% 7.15% 7.78% 6.37% 9.57% 2.54% 1.17% 2.86% 8.37% 4.00% 5.39% 11.99% 17.11% 11.22% 6.86% 9.08% 8.57% 6.16% 5.89% 1.45% 6.27% 4.99% 8.35% 0.36% 0.40% 0.32% 10.87% 5 3.20% 9.21% 1.96% 4.39% 6.51% 4.46% 10.51% 10.97% 14.79% 9.26% 9.70% 7.91% 11.70% 3.11% 1.61% 3.73% 10.75% 5.17% 6.96% 15.25% 21.65% 14.59% 8.21% 11.59% 11.16% 7.82% 7.46% 1.78% 7.75% 6.07% 11.00% 0.47% 0.54% 0.32% 13.43% 6 3.74% 11.28% 2.39% 5.13% 7.78% 5.42% 12.75% 13.84% 17.24% 11.14% 11.55% 9.19% 13.27% 3.64% 2.07% 4.34% 12.74% 6.17% 8.23% 18.02% 25.99% 17.75% 9.17% 13.59% 13.39% 9.38% 8.91% 1.98% 8.84% 6.90% 13.31% 0.57% 0.66% 0.32% 15.33% 7 4.09% 13.17% 2.79% 5.80% 8.76% 6.17% 14.84% 16.22% 19.36% 12.78% 13.29% 10.22% 14.58% 4.14% 2.52% 4.84% 14.53% 7.14% 9.38% 20.31% 29.73% 20.59% 10.02% 15.40% 15.32% 10.89% 10.37% 2.10% 9.59% 7.62% 15.20% 0.67% 0.78% 0.32% 17.02% 8 4.33% 14.95% 3.14% 6.34% 9.62% 6.72% 16.66% 17.98% 21.33% 14.16% 15.00% 11.11% 15.72% 4.64% 2.96% 5.25% 16.12% 8.05% 10.58% 22.24% 32.51% 22.95% 10.40% 17.09% 16.96% 12.26% 11.91% 2.14% 10.16% 8.21% 17.03% 0.76% 0.88% 0.32% 17.95% 9 4.53% 16.68% 3.47% 6.77% 10.40% 7.15% 18.45% 19.66% 22.99% 15.57% 16.53% 11.88% 16.99% 5.14% 3.39% 5.55% 17.47% 8.74% 11.85% 24.10% 34.46% 25.02% 10.66% 18.56% 18.45% 13.41% 13.50% 2.14% 10.52% 8.73% 18.93% 0.85% 0.93% 0.32% 18.71% 10 4.63% 18.27% 3.82% 7.22% 11.14% 7.60% 20.10% 21.56% 24.24% 16.78% 18.09% 12.61% 18.42% 5.68% 3.85% 5.84% 18.41% 9.45% 13.10% 25.97% 36.27% 26.84% 10.95% 19.99% 19.93% 14.47% 14.97% 2.14% 10.76% 9.20% 20.90% 0.95% 0.98% 0.32% 19.47% 4.64% 19.42% 4.17% 7.54% 11.84% 8.10% 21.50% 23.29% 25.18% 17.88% 19.82% 13.26% 20.00% 6.27% 4.31% 6.18% 19.20% 9.94% 14.32% 27.92% 38.28% 28.54% 11.27% 21.44% 21.30% 15.43% 16.37% 2.14% 10.92% 9.71% 22.81% 1.05% 1.03% 0.32% 20.33% Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 38 Annual Default Rates By Broad Industry Group, 1970-2017* first half 1/2 Year Aerospace Automotive Banking & Defense Beverage, Food, & Tobacco Capital Chemicals, Construc- Consumer Consumer Containers, Energy: Energy: Oil EnvironFIRE: Equipment Plastics, & tion & goods: goods: Packaging, Electricity & Gas mental Finance Rubber Building Durable Non& Glass Industries durable FIRE: Insurance FIRE: Real Estate Forest Products & Paper 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.86 0.00 2.33 0.00 0.00 2.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.47 1.45 0.00 1.20 0.00 0.00 2.25 5.61 0.00 0.00 0.00 1.10 0.00 1.12 0.00 1.04 0.00 0.00 0.00 0.00 1.18 0.00 0.00 0.00 1.84 0.00 2.47 0.00 0.00 2.61 4.54 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.45 0.00 0.00 1.52 1.35 0.00 1.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.33 0.00 0.00 0.00 0.00 0.00 3.03 0.00 0.00 0.00 0.00 0.00 0.00 2.86 8.11 2.94 0.00 0.00 1.82 0.00 7.55 3.89 4.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.28 1.45 1.49 1.84 1.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.04 1.85 0.00 1.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.23 0.00 3.33 0.00 0.00 0.00 1.79 4.64 2.82 8.85 16.93 7.55 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 0.00 4.35 0.00 4.76 5.88 0.00 0.00 0.00 0.00 0.00 0.00 2.63 2.70 2.70 0.00 0.00 0.00 0.00 0.00 0.00 1.82 0.00 0.00 3.73 3.85 10.03 6.09 0.00 0.00 0.00 7.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.56 0.00 5.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.55 0.00 8.00 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.32 0.00 0.00 0.00 0.98 2.44 4.01 3.43 8.37 5.54 2.13 0.00 1.47 3.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.59 0.00 0.00 *In percent. 39 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE first half 2/2 Year Aerospace Automotive Banking & Defense Beverage, Food, & Tobacco Capital Chemicals, Construc- Consumer Consumer Containers, Energy: Energy: Oil EnvironFIRE: Equipment Plastics, & tion & goods: goods: Packaging, Electricity & Gas mental Finance Rubber Building Durable Non& Glass Industries durable FIRE: Insurance FIRE: Real Estate Forest Products & Paper 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 0.00 2.22 0.00 0.00 0.00 0.00 0.00 0.00 1.59 4.67 0.00 0.00 0.00 0.00 0.00 0.00 1.54 4.52 0.00 0.00 1.28 1.25 1.27 2.57 1.25 2.63 1.22 1.14 1.06 1.94 0.83 0.78 0.70 1.86 2.88 2.27 1.63 1.67 1.66 0.00 1.12 1.05 1.57 4.28 0.56 0.00 1.60 1.59 0.00 1.93 0.50 0.00 2.99 4.88 0.84 0.83 0.72 0.00 0.00 1.40 4.21 5.18 2.05 2.53 0.97 0.96 1.52 0.50 2.77 10.15 3.63 1.95 2.33 0.60 0.00 0.00 0.86 0.43 0.00 0.00 0.00 0.82 0.00 0.63 0.00 0.00 1.48 0.00 0.45 0.81 0.39 0.00 0.71 0.00 0.00 0.33 0.39 0.38 0.38 0.39 0.00 0.75 0.00 0.00 4.76 0.00 0.00 5.71 0.00 0.00 2.66 0.71 0.00 2.26 0.83 0.00 0.00 0.00 0.00 0.00 2.29 6.31 0.85 0.78 0.00 0.66 0.00 0.53 1.01 0.49 0.00 0.00 2.78 2.22 0.00 0.00 1.33 2.44 4.46 16.84 2.76 1.33 1.43 1.61 0.00 3.30 7.12 17.37 2.04 1.85 4.01 0.00 2.00 4.17 4.17 8.99 0.00 0.00 0.00 0.00 0.00 1.33 1.06 0.89 4.83 5.04 1.63 2.43 2.35 4.89 4.49 1.54 4.06 17.83 1.04 0.92 0.00 0.85 0.00 0.00 0.77 0.00 0.32 0.30 0.00 0.00 0.00 0.00 0.30 0.14 0.00 0.07 0.39 0.08 0.00 0.07 0.00 0.00 3.03 0.93 0.41 0.54 0.49 1.21 0.59 1.55 0.15 0.38 0.00 0.00 0.00 0.00 0.00 0.00 2.44 1.52 1.48 5.85 0.00 4.55 0.00 0.00 0.00 0.00 2.02 7.89 0.00 0.00 1.46 0.68 0.60 0.00 1.69 1.02 0.00 1.69 0.00 5.07 1.06 1.12 0.00 6.44 1.98 3.84 5.04 2.41 2.27 0.00 2.05 1.02 5.27 14.72 1.76 2.27 0.00 2.45 0.52 2.23 1.33 0.44 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.60 3.45 3.45 3.13 0.00 2.70 4.08 1.89 0.00 2.00 23.45 0.00 0.00 0.00 0.00 2.17 2.00 2.33 0.00 5.98 2.00 0.00 7.51 4.31 6.43 4.42 4.33 14.34 15.50 6.01 2.74 4.49 1.59 3.04 0.00 6.28 6.73 3.81 0.00 0.00 2.08 0.00 4.64 1.45 0.00 5.26 0.00 0.00 0.00 3.23 2.56 0.00 0.00 8.28 8.42 5.26 0.00 1.56 3.23 1.67 0.00 8.71 9.33 1.64 3.51 1.56 1.56 0.00 0.00 0.00 0.00 0.00 0.00 3.57 0.00 0.00 0.00 0.00 0.00 0.00 1.69 10.20 11.85 0.00 3.85 0.00 0.00 0.00 1.96 6.12 2.00 5.45 1.82 7.14 0.00 1.89 5.36 0.80 2.27 0.00 0.64 0.57 0.00 1.29 6.20 0.40 1.18 2.33 0.00 0.35 0.36 0.00 0.00 1.63 1.98 0.98 0.98 1.19 1.61 0.49 7.06 14.24 6.09 0.00 0.00 0.00 0.00 5.26 0.00 5.88 4.55 16.67 11.76 14.29 0.00 0.00 0.00 0.00 0.00 5.56 0.00 10.53 0.00 4.55 4.76 0.00 4.35 8.17 5.56 0.00 0.00 0.00 0.00 0.00 0.00 0.69 1.89 0.62 1.82 0.00 0.62 0.00 0.65 0.00 0.00 4.14 4.98 1.95 0.58 1.72 0.00 0.52 0.51 1.85 0.50 *In percent. 40 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE second half 1/2 Year Healthcare High Tech Hotel, Media: Media: & Industries Gaming, & Advertising,BroadPharmaceuticals Leisure Printing & casting Publishing & Subscription Media: Metals & Diversified Mining & Production Retail Services: Business Services: Sovereign Telecomm- Transport- Transport- Utilities: Consumer & Public unications ation: ation: Electric Finance Cargo Consumer Utilities: Utilities: Oil & Gas Water Wholesale 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 0.00 0.00 0.00 0.00 0.00 4.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.22 0.00 1.43 3.74 4.73 2.53 1.14 4.82 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 0.00 3.70 11.71 5.00 4.76 0.00 0.00 0.00 3.45 3.48 1.75 0.00 0.00 1.85 0.00 0.00 0.00 5.85 0.00 0.00 0.00 0.00 1.05 1.90 2.52 6.34 11.48 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 0.00 0.00 9.52 4.17 4.17 16.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.59 0.00 0.00 0.00 1.82 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.76 4.35 0.00 0.00 0.00 0.00 3.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.13 2.78 2.70 0.00 3.92 1.72 4.84 1.52 0.00 1.12 1.69 1.78 5.74 2.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 2.38 6.49 2.04 13.81 26.10 2.70 0.00 0.00 0.00 0.00 0.00 11.11 0.00 14.29 0.00 0.00 0.00 0.00 14.29 0.00 0.00 0.00 0.00 5.88 0.00 0.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.85 0.00 4.26 4.35 6.43 4.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.38 1.89 0.00 3.51 19.78 0.00 0.00 0.00 3.96 2.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.22 0.00 0.00 0.00 0.00 0.00 0.00 0.98 0.00 0.90 18.05 1.85 3.64 1.94 0.00 0.00 0.00 2.20 0.00 0.00 0.00 1.11 1.18 0.00 1.20 1.19 1.16 1.09 0.00 1.14 0.00 2.58 0.00 4.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.00 0.00 5.56 19.05 0.00 0.00 8.17 0.00 0.00 3.57 24.14 30.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.54 0.00 0.00 0.54 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 *In percent. 41 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE second half 2/2 Year Healthcare High Tech Hotel, Media: Media: Media: Metals & & Industries Gaming, & Advertising,BroadDiversified Mining Pharmaceuticals Leisure Printing & casting & & Publishing SubscriptionProduction Retail Services: Business Services: Sovereign Telecomm- Transport- Transport- Utilities: Consumer & Public unications ation: ation: Electric Finance Cargo Consumer Utilities: Utilities: Oil & Gas Water Wholesale 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 1.43 0.00 1.03 1.00 0.00 0.86 3.05 5.33 4.75 1.51 0.72 2.93 0.75 0.00 0.00 0.76 0.79 0.74 1.43 0.00 0.69 1.82 0.00 0.00 0.62 0.62 2.86 2.86 2.49 1.45 0.74 3.56 5.41 1.92 4.83 6.53 2.80 2.89 0.71 1.60 0.74 2.23 2.85 3.71 4.06 3.23 2.13 1.34 2.33 2.09 3.65 7.01 0.00 4.76 3.57 3.85 2.94 0.00 0.00 4.07 2.53 5.36 2.73 1.37 2.64 0.00 0.00 0.83 0.68 4.01 1.95 1.37 1.73 2.00 2.57 2.23 1.13 3.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 8.82 3.13 3.03 0.00 0.00 0.00 0.00 2.33 0.00 6.21 0.00 1.61 6.10 0.00 3.00 4.14 0.00 1.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.47 0.00 0.00 1.20 1.23 0.00 0.00 0.00 0.00 0.00 0.00 0.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.70 3.57 0.00 2.70 7.14 5.60 10.06 12.54 8.62 9.33 2.78 2.86 2.50 0.00 0.00 11.11 2.78 0.00 0.00 0.00 0.00 1.59 5.85 3.01 3.38 0.00 3.03 1.87 1.03 1.79 0.73 2.67 3.15 4.48 2.70 3.44 0.00 0.00 2.58 0.00 0.00 6.90 1.54 0.00 1.15 0.59 2.71 0.47 0.81 1.28 5.27 2.33 5.36 2.65 2.29 2.06 2.90 6.54 6.15 8.76 1.85 2.97 4.14 0.97 0.84 0.00 10.07 17.93 4.50 3.52 3.92 2.40 1.56 2.32 0.73 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.44 3.92 1.56 3.28 3.55 1.72 0.00 0.00 0.00 3.26 7.60 36.35 15.35 8.94 16.29 20.25 8.70 2.33 16.19 0.00 10.81 9.01 2.44 0.00 0.00 2.30 2.55 3.68 1.55 3.82 13.83 5.33 4.68 1.01 3.03 0.00 1.93 22.30 2.05 0.00 1.00 0.88 0.00 0.96 0.00 3.74 10.84 0.00 0.00 0.00 18.75 0.00 5.56 0.00 3.45 3.57 8.52 0.00 0.00 0.00 0.00 0.00 7.41 0.00 0.00 0.00 0.00 0.00 0.00 4.17 0.00 3.57 6.17 1.75 0.00 0.00 0.00 0.00 2.91 4.18 6.87 13.75 7.24 4.33 1.90 0.86 0.00 0.00 0.77 9.81 0.00 0.00 2.12 1.88 5.10 6.57 8.89 1.91 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.76 4.65 2.44 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.68 0.54 0.95 2.00 2.70 10.27 14.47 8.33 1.54 0.43 0.00 0.93 2.44 5.97 1.56 0.00 1.71 1.66 1.64 0.56 1.60 1.61 0.00 0.00 1.25 0.00 0.00 1.20 1.06 7.61 4.04 4.92 4.64 3.82 0.00 0.00 3.60 1.15 4.91 7.07 1.39 5.73 1.12 2.16 0.97 0.00 2.01 2.93 0.00 0.00 2.94 5.64 0.00 0.00 0.00 0.00 5.45 1.79 8.96 3.60 5.17 8.20 0.00 0.00 0.00 3.20 0.00 5.66 1.96 0.00 0.00 0.00 1.59 0.00 1.58 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.75 0.00 0.34 0.31 0.31 0.00 0.00 0.00 0.30 0.00 0.00 0.55 0.00 0.00 0.26 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 *In percent. 42 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 39 Annual Volume-Weighted Corporate Bond Default Rates By Letter Rating, 1994-2017* 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 2015 2016 2017 Mean Median StDev Min Max 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 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 0.114 0.000 0.000 0.000 0.000 0.000 0.000 0.039 0.000 0.167 0.000 0.816 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.720 2.718 0.000 0.000 0.000 0.000 0.000 2.370 0.014 0.147 0.000 0.000 0.060 0.023 0.000 0.000 0.000 0.252 0.000 0.723 0.000 2.718 0.000 0.000 0.000 0.000 0.000 0.140 0.623 0.957 1.979 0.000 0.000 0.201 0.000 0.000 1.108 0.751 0.021 0.403 0.018 0.024 0.000 0.000 0.000 0.000 0.259 0.000 0.494 0.000 1.979 0.000 0.000 0.000 0.051 0.654 1.154 1.696 1.276 5.250 3.622 0.000 0.000 0.033 0.000 8.274 3.601 0.000 0.000 0.000 0.000 0.108 0.813 0.134 0.158 1.118 0.080 2.076 0.000 8.274 2.294 4.793 2.288 3.065 3.285 5.499 5.484 14.441 16.148 3.745 0.258 0.899 1.065 0.000 1.813 6.466 0.130 0.173 0.142 0.841 0.324 1.376 0.938 0.058 3.147 1.595 4.224 0.000 16.148 22.755 9.108 18.461 6.415 11.306 21.441 19.959 54.337 77.821 17.012 9.190 18.181 3.999 4.834 9.556 37.815 6.021 6.890 11.103 4.365 9.244 17.030 19.320 9.043 17.717 11.205 17.151 3.999 77.821 0.000 0.000 0.000 0.000 0.000 0.031 0.137 0.545 1.758 0.000 0.000 0.073 0.000 0.000 1.466 0.217 0.077 0.149 0.007 0.039 0.010 0.000 0.000 0.000 0.188 0.003 0.457 0.000 1.758 2.125 3.081 2.341 1.909 2.872 5.904 5.655 15.843 21.556 6.122 1.879 3.787 1.050 0.796 5.802 16.255 1.643 1.411 2.006 1.073 1.737 3.468 3.490 1.537 4.723 2.606 5.410 0.796 21.556 0.433 0.714 0.668 0.494 0.853 1.136 1.307 3.049 4.819 1.070 0.328 0.754 0.212 0.155 2.220 2.754 0.339 0.387 0.390 0.254 0.388 0.789 0.738 0.302 1.023 0.691 1.119 0.155 4.819 *In percent. Exhibit 40 Average Volume-Weighted Corporate Bond Default Rates By Letter Rating, 1994-2017* Rating / Year 1 2 3 4 5 Aaa Aa A Baa Ba B Caa-C Inv-Grade Spec-Grade All Rated 0.0000 0.0305 0.2358 0.1392 0.6803 2.6193 14.4109 0.1596 3.7999 0.8731 0.0445 0.0805 0.4532 0.3056 1.7721 6.1347 23.8051 0.3249 7.3017 1.6904 0.0445 0.1116 0.6386 0.4365 2.7759 9.4670 30.5097 0.4581 10.2514 2.3678 0.0445 0.1510 0.7773 0.6696 3.7899 12.3915 33.7594 0.6039 12.4539 2.9028 0.0445 0.2099 0.9451 0.9955 4.5070 14.3344 35.8235 0.7939 13.9262 3.3295 *In percent. 43 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Exhibit 41 Cumulative Issuer-Weighted Default Rates By Annual Cohort, 1970-2017* 1/1/70 Rating n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/71 Rating 39 77 254 372 238 36 16 742 290 1032 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/72 Rating 40 74 282 398 228 27 8 794 263 1057 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/73 Rating 41 78 303 431 224 29 8 853 261 1114 n(0) Aaa Aa A Baa Ba 44 15 February 2018 41 81 309 441 205 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.005 0.042 0.194 0.500 0.003 0.087 0.026 0.000 0.000 0.000 0.005 0.051 0.194 0.563 0.003 0.098 0.029 0.000 0.000 0.000 0.005 0.056 0.223 0.750 0.003 0.116 0.034 0.000 0.000 0.004 0.011 0.060 0.223 0.813 0.007 0.124 0.040 0.000 0.000 0.004 0.014 0.070 0.223 0.813 0.008 0.132 0.043 0.000 0.000 0.008 0.014 0.081 0.223 0.813 0.010 0.140 0.046 0.000 0.000 0.008 0.017 0.086 0.223 0.813 0.011 0.145 0.048 0.000 0.000 0.008 0.024 0.092 0.223 0.906 0.014 0.154 0.053 0.000 0.000 0.008 0.030 0.105 0.223 0.906 0.018 0.165 0.058 0.000 0.000 0.008 0.030 0.105 0.223 0.906 0.018 0.165 0.058 0.000 0.000 0.013 0.034 0.105 0.223 0.906 0.021 0.165 0.060 0.000 0.000 0.013 0.034 0.120 0.223 0.906 0.021 0.177 0.063 0.000 0.000 0.013 0.046 0.146 0.305 0.906 0.026 0.210 0.074 0.000 0.014 0.013 0.050 0.155 0.305 0.906 0.030 0.217 0.078 0.000 0.014 0.013 0.054 0.155 0.305 0.906 0.032 0.217 0.079 0.000 0.014 0.013 0.059 0.176 0.305 0.906 0.033 0.233 0.084 0.000 0.029 0.018 0.072 0.211 0.363 0.906 0.043 0.270 0.098 0.027 0.029 0.018 0.083 0.236 0.363 0.906 0.049 0.289 0.106 0.027 0.029 0.028 0.093 0.236 0.363 0.906 0.057 0.289 0.113 0.027 0.029 0.028 0.099 0.251 0.363 0.906 0.059 0.301 0.116 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.009 0.000 0.125 0.000 0.012 0.003 0.000 0.000 0.000 0.000 0.013 0.038 0.500 0.000 0.031 0.008 0.000 0.000 0.004 0.005 0.018 0.038 0.625 0.004 0.039 0.013 0.000 0.000 0.004 0.008 0.028 0.038 0.625 0.005 0.048 0.016 0.000 0.000 0.007 0.011 0.038 0.038 0.625 0.008 0.057 0.020 0.000 0.000 0.007 0.014 0.044 0.038 0.625 0.009 0.062 0.022 0.000 0.000 0.007 0.020 0.050 0.038 0.813 0.012 0.072 0.026 0.000 0.000 0.007 0.026 0.062 0.038 0.813 0.015 0.083 0.031 0.000 0.000 0.007 0.026 0.062 0.038 0.813 0.015 0.083 0.031 0.000 0.000 0.011 0.029 0.062 0.038 0.813 0.018 0.083 0.034 0.000 0.000 0.011 0.029 0.078 0.038 0.813 0.018 0.096 0.036 0.000 0.000 0.015 0.041 0.103 0.159 0.813 0.025 0.132 0.048 0.000 0.000 0.020 0.045 0.112 0.159 0.813 0.028 0.139 0.052 0.000 0.000 0.020 0.049 0.112 0.159 0.813 0.030 0.139 0.053 0.000 0.000 0.020 0.053 0.133 0.159 0.813 0.031 0.157 0.058 0.000 0.000 0.024 0.066 0.179 0.235 0.813 0.039 0.205 0.071 0.027 0.000 0.024 0.076 0.205 0.235 0.813 0.044 0.226 0.079 0.027 0.000 0.033 0.085 0.205 0.235 0.813 0.052 0.226 0.086 0.027 0.000 0.033 0.091 0.220 0.235 0.813 0.054 0.238 0.089 0.027 0.018 0.033 0.102 0.220 0.235 0.813 0.060 0.238 0.094 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.069 0.375 0.000 0.019 0.005 0.000 0.000 0.003 0.005 0.005 0.069 0.500 0.004 0.027 0.009 0.000 0.000 0.003 0.007 0.015 0.069 0.500 0.005 0.036 0.012 0.000 0.000 0.003 0.012 0.025 0.069 0.500 0.007 0.045 0.016 0.000 0.000 0.003 0.015 0.030 0.069 0.500 0.009 0.049 0.018 0.000 0.000 0.003 0.021 0.036 0.069 0.667 0.011 0.059 0.022 0.000 0.000 0.003 0.026 0.048 0.069 0.667 0.014 0.070 0.026 0.000 0.000 0.003 0.026 0.048 0.069 0.667 0.014 0.070 0.026 0.000 0.000 0.003 0.033 0.048 0.069 0.667 0.017 0.070 0.029 0.000 0.000 0.003 0.033 0.063 0.069 0.667 0.017 0.082 0.031 0.000 0.000 0.007 0.040 0.095 0.178 0.667 0.021 0.122 0.042 0.000 0.000 0.011 0.043 0.103 0.178 0.667 0.024 0.130 0.046 0.000 0.000 0.011 0.051 0.103 0.178 0.667 0.028 0.130 0.049 0.000 0.000 0.011 0.055 0.132 0.178 0.667 0.029 0.154 0.054 0.000 0.000 0.015 0.067 0.175 0.253 0.667 0.036 0.199 0.067 0.026 0.000 0.015 0.076 0.199 0.253 0.667 0.041 0.219 0.074 0.026 0.000 0.023 0.085 0.199 0.253 0.667 0.048 0.219 0.080 0.026 0.000 0.023 0.095 0.212 0.253 0.667 0.052 0.230 0.085 0.026 0.017 0.028 0.111 0.226 0.253 0.667 0.062 0.243 0.095 0.026 0.017 0.033 0.138 0.287 0.253 0.074 0.297 0.112 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.005 0.000 0.000 0.000 0.000 0.007 0.010 0.000 0.000 0.000 0.012 0.021 0.000 0.000 0.000 0.014 0.026 0.000 0.000 0.000 0.019 0.032 0.000 0.000 0.000 0.025 0.045 0.000 0.000 0.000 0.025 0.045 0.000 0.000 0.000 0.031 0.045 0.000 0.000 0.000 0.031 0.060 0.000 0.000 0.004 0.037 0.100 0.000 0.000 0.007 0.044 0.109 0.000 0.000 0.007 0.051 0.109 0.000 0.000 0.007 0.059 0.128 0.000 0.000 0.011 0.070 0.170 0.026 0.000 0.011 0.078 0.205 0.026 0.000 0.020 0.087 0.205 0.026 0.000 0.020 0.097 0.218 0.026 0.016 0.024 0.117 0.232 0.026 0.016 0.029 0.138 0.305 0.026 0.016 0.033 0.138 0.320 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 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CROSS-SECTOR MOODY'S INVESTORS SERVICE B Caa-C IG SG All 1/1/74 Rating 27 6 872 238 1110 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/75 Rating 44 89 307 431 197 29 3 871 229 1100 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/76 Rating 52 103 321 412 200 33 3 888 236 1124 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/77 Rating 66 112 367 371 206 27 3 916 236 1152 n(0) Aaa Aa 45 15 February 2018 67 119 0.038 0.375 0.002 0.013 0.005 0.038 0.375 0.003 0.022 0.007 0.038 0.375 0.006 0.031 0.011 0.038 0.375 0.007 0.036 0.013 0.038 0.583 0.010 0.046 0.017 0.038 0.583 0.012 0.057 0.021 0.038 0.583 0.012 0.057 0.021 0.038 0.583 0.015 0.057 0.024 0.038 0.583 0.015 0.070 0.026 0.152 0.583 0.019 0.117 0.038 0.152 0.583 0.024 0.125 0.043 0.152 0.583 0.027 0.125 0.045 0.152 0.583 0.030 0.141 0.050 0.229 0.583 0.036 0.186 0.063 0.229 0.583 0.041 0.216 0.071 0.229 0.583 0.048 0.216 0.077 0.229 0.583 0.052 0.227 0.082 0.229 0.583 0.063 0.240 0.093 0.229 0.229 0.073 0.305 0.110 0.075 0.318 0.113 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.005 0.072 0.000 0.000 0.013 0.003 0.000 0.000 0.000 0.005 0.016 0.072 0.000 0.002 0.023 0.007 0.000 0.000 0.000 0.007 0.022 0.072 0.000 0.004 0.028 0.008 0.000 0.000 0.000 0.012 0.028 0.072 0.333 0.006 0.038 0.012 0.000 0.000 0.000 0.018 0.041 0.072 0.333 0.009 0.049 0.017 0.000 0.000 0.000 0.018 0.041 0.072 0.333 0.009 0.049 0.017 0.000 0.000 0.000 0.024 0.041 0.072 0.333 0.011 0.049 0.019 0.000 0.000 0.000 0.024 0.049 0.118 0.333 0.011 0.062 0.021 0.000 0.013 0.004 0.030 0.089 0.222 0.333 0.017 0.110 0.034 0.000 0.013 0.007 0.037 0.098 0.222 0.333 0.021 0.118 0.039 0.000 0.013 0.007 0.044 0.098 0.222 0.333 0.024 0.118 0.041 0.000 0.013 0.007 0.052 0.117 0.222 0.333 0.027 0.134 0.047 0.000 0.013 0.011 0.056 0.179 0.300 0.333 0.031 0.197 0.059 0.025 0.013 0.011 0.064 0.214 0.300 0.333 0.036 0.226 0.067 0.025 0.013 0.019 0.073 0.214 0.300 0.333 0.042 0.226 0.073 0.025 0.013 0.019 0.082 0.227 0.300 0.333 0.046 0.238 0.078 0.025 0.027 0.024 0.097 0.255 0.300 0.333 0.055 0.263 0.089 0.025 0.027 0.028 0.118 0.328 0.300 0.025 0.027 0.033 0.118 0.343 0.300 0.025 0.027 0.033 0.118 0.362 0.300 0.065 0.330 0.105 0.067 0.344 0.109 0.067 0.360 0.111 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.010 0.062 0.000 0.000 0.017 0.004 0.000 0.000 0.000 0.000 0.021 0.062 0.000 0.000 0.027 0.005 0.000 0.000 0.000 0.003 0.033 0.062 0.333 0.001 0.041 0.009 0.000 0.000 0.000 0.008 0.039 0.095 0.333 0.004 0.051 0.013 0.000 0.000 0.000 0.008 0.039 0.095 0.333 0.004 0.051 0.013 0.000 0.000 0.000 0.014 0.039 0.095 0.333 0.006 0.051 0.015 0.000 0.000 0.000 0.014 0.046 0.134 0.333 0.006 0.063 0.017 0.000 0.011 0.000 0.024 0.084 0.221 0.333 0.012 0.108 0.030 0.000 0.011 0.004 0.031 0.093 0.221 0.333 0.016 0.115 0.035 0.000 0.011 0.004 0.039 0.093 0.221 0.333 0.019 0.115 0.037 0.000 0.011 0.004 0.046 0.111 0.221 0.333 0.022 0.130 0.042 0.000 0.011 0.007 0.050 0.170 0.286 0.333 0.025 0.189 0.053 0.020 0.011 0.007 0.058 0.203 0.286 0.333 0.029 0.217 0.061 0.020 0.022 0.015 0.063 0.215 0.286 0.333 0.036 0.227 0.068 0.020 0.022 0.015 0.072 0.227 0.286 0.333 0.039 0.237 0.072 0.020 0.035 0.019 0.092 0.241 0.388 0.333 0.050 0.260 0.085 0.020 0.035 0.028 0.113 0.296 0.490 0.020 0.035 0.032 0.113 0.311 0.490 0.020 0.035 0.037 0.113 0.327 0.490 0.020 0.035 0.037 0.113 0.327 0.490 0.061 0.320 0.102 0.062 0.333 0.105 0.064 0.348 0.108 0.064 0.348 0.108 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.010 0.000 0.000 0.000 0.009 0.002 0.000 0.000 0.000 0.003 0.020 0.000 0.333 0.001 0.022 0.005 0.000 0.000 0.000 0.006 0.032 0.040 0.333 0.002 0.037 0.009 0.000 0.000 0.000 0.006 0.032 0.040 0.333 0.002 0.037 0.009 0.000 0.000 0.000 0.009 0.038 0.040 0.333 0.003 0.042 0.011 0.000 0.000 0.000 0.009 0.044 0.088 0.333 0.003 0.054 0.013 0.000 0.010 0.000 0.023 0.072 0.195 0.333 0.010 0.090 0.025 0.000 0.010 0.006 0.031 0.080 0.195 0.333 0.015 0.096 0.030 0.000 0.010 0.006 0.039 0.080 0.195 0.333 0.018 0.096 0.033 0.000 0.010 0.006 0.046 0.096 0.195 0.333 0.021 0.111 0.037 0.000 0.010 0.013 0.051 0.149 0.285 0.333 0.025 0.165 0.049 0.017 0.010 0.013 0.060 0.178 0.285 0.333 0.029 0.192 0.057 0.017 0.021 0.023 0.060 0.188 0.285 0.333 0.036 0.201 0.063 0.017 0.021 0.023 0.070 0.200 0.285 0.333 0.039 0.211 0.067 0.017 0.032 0.031 0.091 0.212 0.428 0.333 0.050 0.232 0.080 0.017 0.032 0.042 0.108 0.273 0.571 0.017 0.032 0.042 0.114 0.286 0.571 0.017 0.032 0.047 0.114 0.300 0.571 0.017 0.032 0.047 0.114 0.300 0.571 0.017 0.032 0.052 0.114 0.300 0.571 0.061 0.300 0.098 0.062 0.311 0.101 0.064 0.325 0.104 0.064 0.325 0.104 0.066 0.325 0.106 1 2 3 4 5 6 7 8 9 10 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 0.009 0.000 0.009 0.000 0.009 0.000 0.009 0.000 0.009 0.017 0.009 0.017 0.019 0.017 0.019 0.017 0.030 0.017 0.030 0.017 0.030 0.017 0.030 0.017 0.030 0.017 0.030 0.017 0.030 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE A Baa Ba B Caa-C IG SG All 1/1/78 Rating 388 355 195 31 3 929 229 1158 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/79 Rating 71 131 380 341 187 37 3 923 227 1150 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/80 Rating 75 132 376 336 207 34 3 919 244 1163 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 87 130 381 336 207 41 6 934 254 1188 0.000 0.003 0.005 0.032 0.333 0.001 0.014 0.004 0.000 0.006 0.017 0.066 0.333 0.002 0.028 0.007 0.000 0.006 0.017 0.066 0.333 0.002 0.028 0.007 0.000 0.006 0.023 0.106 0.333 0.002 0.038 0.009 0.000 0.006 0.029 0.149 0.333 0.002 0.050 0.011 0.000 0.021 0.057 0.249 0.333 0.008 0.086 0.022 0.006 0.028 0.065 0.249 0.333 0.014 0.092 0.028 0.006 0.036 0.065 0.249 0.333 0.016 0.092 0.030 0.006 0.044 0.081 0.249 0.333 0.019 0.106 0.035 0.012 0.048 0.134 0.332 0.333 0.023 0.161 0.046 0.012 0.057 0.163 0.332 0.333 0.027 0.186 0.054 0.028 0.057 0.173 0.332 0.333 0.036 0.195 0.063 0.028 0.068 0.184 0.332 0.333 0.039 0.205 0.067 0.039 0.084 0.196 0.466 0.333 0.051 0.226 0.079 0.050 0.101 0.258 0.599 0.050 0.107 0.271 0.599 0.054 0.107 0.285 0.599 0.054 0.107 0.285 0.599 0.059 0.107 0.285 0.599 0.059 0.107 0.285 0.599 0.061 0.293 0.096 0.062 0.305 0.099 0.064 0.319 0.102 0.064 0.319 0.102 0.066 0.319 0.104 0.066 0.319 0.104 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.011 0.054 0.000 0.000 0.018 0.004 0.000 0.000 0.000 0.000 0.011 0.054 0.000 0.000 0.018 0.004 0.000 0.000 0.000 0.000 0.011 0.117 0.000 0.000 0.028 0.005 0.000 0.000 0.000 0.000 0.018 0.150 0.000 0.000 0.039 0.007 0.000 0.008 0.000 0.014 0.046 0.224 0.000 0.006 0.074 0.018 0.000 0.008 0.006 0.018 0.061 0.224 0.000 0.010 0.086 0.024 0.000 0.008 0.006 0.025 0.061 0.269 0.000 0.012 0.093 0.027 0.000 0.008 0.006 0.029 0.093 0.269 0.000 0.014 0.120 0.032 0.000 0.008 0.012 0.033 0.154 0.326 0.500 0.018 0.187 0.046 0.016 0.008 0.012 0.047 0.174 0.387 0.500 0.023 0.212 0.054 0.016 0.017 0.026 0.051 0.184 0.387 0.500 0.032 0.220 0.063 0.016 0.017 0.026 0.061 0.196 0.387 0.500 0.035 0.229 0.067 0.032 0.017 0.040 0.077 0.219 0.474 0.500 0.048 0.260 0.082 0.032 0.017 0.047 0.099 0.281 0.606 0.032 0.017 0.047 0.104 0.294 0.606 0.032 0.017 0.052 0.104 0.323 0.606 0.032 0.017 0.052 0.104 0.323 0.606 0.032 0.017 0.056 0.104 0.323 0.606 0.032 0.017 0.056 0.104 0.323 0.606 0.032 0.017 0.056 0.104 0.323 0.606 0.057 0.326 0.098 0.059 0.338 0.101 0.061 0.364 0.106 0.061 0.364 0.106 0.063 0.364 0.108 0.063 0.364 0.108 0.063 0.364 0.108 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.005 0.000 0.000 0.000 0.004 0.001 0.000 0.000 0.000 0.003 0.005 0.065 0.000 0.001 0.013 0.004 0.000 0.000 0.000 0.003 0.011 0.098 0.000 0.001 0.023 0.005 0.000 0.008 0.000 0.017 0.035 0.170 0.000 0.007 0.054 0.016 0.000 0.008 0.006 0.021 0.061 0.170 0.000 0.011 0.075 0.023 0.000 0.008 0.006 0.024 0.095 0.216 0.000 0.012 0.111 0.030 0.000 0.008 0.006 0.028 0.123 0.265 0.000 0.013 0.141 0.037 0.000 0.008 0.012 0.028 0.189 0.390 0.500 0.016 0.218 0.052 0.015 0.008 0.012 0.041 0.206 0.457 0.500 0.021 0.240 0.060 0.015 0.017 0.025 0.045 0.214 0.457 0.500 0.030 0.247 0.068 0.015 0.017 0.025 0.055 0.223 0.457 0.500 0.033 0.255 0.072 0.030 0.017 0.036 0.081 0.254 0.566 0.500 0.047 0.292 0.089 0.030 0.017 0.043 0.103 0.317 0.566 0.030 0.017 0.043 0.108 0.328 0.030 0.017 0.047 0.108 0.352 0.030 0.017 0.047 0.108 0.352 0.030 0.017 0.052 0.108 0.352 0.030 0.017 0.052 0.108 0.352 0.030 0.017 0.052 0.108 0.352 0.030 0.017 0.052 0.108 0.352 0.056 0.350 0.105 0.058 0.360 0.108 0.060 0.383 0.112 0.060 0.383 0.112 0.062 0.383 0.114 0.062 0.383 0.114 0.062 0.383 0.114 0.062 0.383 0.114 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.050 0.333 0.000 0.016 0.003 0.000 0.000 0.000 0.000 0.005 0.076 0.333 0.000 0.025 0.005 0.000 0.000 0.003 0.010 0.039 0.157 0.333 0.005 0.066 0.017 0.000 0.000 0.008 0.014 0.051 0.215 0.333 0.008 0.085 0.024 0.000 0.000 0.008 0.017 0.089 0.279 0.333 0.009 0.126 0.033 0.000 0.000 0.008 0.025 0.121 0.316 0.333 0.012 0.158 0.041 0.000 0.000 0.017 0.025 0.182 0.448 0.556 0.016 0.232 0.057 0.013 0.009 0.020 0.033 0.205 0.494 0.556 0.022 0.257 0.067 0.013 0.018 0.030 0.041 0.213 0.494 0.556 0.030 0.263 0.075 0.013 0.018 0.030 0.055 0.239 0.494 0.556 0.035 0.285 0.082 0.026 0.018 0.041 0.080 0.268 0.614 0.556 0.048 0.325 0.099 0.026 0.018 0.048 0.105 0.330 0.691 0.026 0.018 0.048 0.115 0.353 0.691 0.026 0.018 0.052 0.115 0.377 0.691 0.026 0.018 0.052 0.115 0.377 0.691 0.026 0.018 0.056 0.115 0.377 0.691 0.026 0.018 0.056 0.115 0.377 0.691 0.026 0.018 0.056 0.115 0.392 0.691 0.026 0.018 0.056 0.115 0.392 0.691 0.026 0.018 0.067 0.115 0.392 0.691 0.059 0.387 0.117 0.062 0.407 0.123 0.064 0.429 0.127 0.064 0.429 0.127 0.065 0.429 0.128 0.065 0.429 0.128 0.065 0.442 0.130 0.065 0.442 0.130 0.070 0.442 0.134 1/1/81 46 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Rating n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/82 Rating 91 135 386 339 241 46 7 951 294 1245 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/83 Rating 94 147 395 326 254 45 13 962 312 1274 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/84 Rating 99 234 475 324 178 135 20 1132 333 1465 n(0) Aaa Aa A Baa Ba B Caa-C IG 47 15 February 2018 85 250 496 331 195 154 11 1162 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.044 0.000 0.000 0.007 0.002 0.000 0.000 0.003 0.006 0.037 0.114 0.000 0.003 0.048 0.014 0.000 0.000 0.003 0.020 0.051 0.163 0.000 0.008 0.068 0.021 0.000 0.000 0.003 0.027 0.082 0.243 0.000 0.010 0.105 0.031 0.000 0.000 0.003 0.034 0.119 0.272 0.000 0.013 0.140 0.041 0.000 0.000 0.012 0.034 0.186 0.412 0.167 0.016 0.219 0.060 0.012 0.008 0.015 0.038 0.211 0.412 0.333 0.021 0.245 0.069 0.012 0.025 0.021 0.046 0.217 0.412 0.333 0.029 0.250 0.077 0.012 0.025 0.021 0.059 0.247 0.412 0.333 0.033 0.275 0.085 0.025 0.025 0.032 0.083 0.288 0.515 0.333 0.046 0.322 0.103 0.025 0.025 0.039 0.102 0.352 0.576 0.333 0.055 0.383 0.120 0.025 0.025 0.039 0.112 0.372 0.576 0.333 0.058 0.401 0.125 0.025 0.025 0.043 0.112 0.394 0.576 0.333 0.060 0.420 0.130 0.025 0.025 0.043 0.112 0.394 0.576 0.333 0.060 0.420 0.130 0.025 0.025 0.047 0.112 0.394 0.576 0.333 0.062 0.420 0.131 0.025 0.025 0.047 0.112 0.394 0.576 0.333 0.062 0.420 0.131 0.025 0.025 0.047 0.112 0.409 0.576 0.333 0.062 0.431 0.133 0.025 0.025 0.047 0.112 0.423 0.576 0.333 0.062 0.444 0.134 0.025 0.025 0.057 0.119 0.423 0.576 0.333 0.068 0.444 0.140 0.025 0.037 0.063 0.127 0.423 0.576 0.333 0.075 0.444 0.145 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.003 0.003 0.028 0.022 0.231 0.002 0.036 0.010 0.000 0.000 0.003 0.003 0.054 0.091 0.462 0.002 0.077 0.020 0.000 0.000 0.003 0.014 0.081 0.141 0.462 0.006 0.106 0.030 0.000 0.000 0.003 0.021 0.118 0.168 0.462 0.008 0.140 0.039 0.000 0.000 0.011 0.025 0.186 0.292 0.551 0.013 0.217 0.061 0.012 0.008 0.011 0.033 0.208 0.292 0.641 0.018 0.239 0.069 0.012 0.023 0.017 0.042 0.214 0.292 0.641 0.025 0.244 0.077 0.012 0.023 0.017 0.055 0.241 0.292 0.641 0.030 0.266 0.084 0.024 0.023 0.031 0.079 0.285 0.346 0.641 0.044 0.309 0.103 0.024 0.023 0.038 0.098 0.326 0.532 0.641 0.052 0.363 0.120 0.024 0.023 0.038 0.108 0.345 0.532 0.641 0.055 0.380 0.125 0.024 0.023 0.042 0.108 0.365 0.532 0.641 0.057 0.397 0.129 0.024 0.023 0.042 0.108 0.365 0.532 0.641 0.057 0.397 0.129 0.024 0.033 0.042 0.108 0.365 0.532 0.641 0.059 0.397 0.130 0.024 0.033 0.042 0.108 0.365 0.532 0.641 0.059 0.397 0.130 0.024 0.033 0.042 0.108 0.379 0.532 0.641 0.059 0.408 0.132 0.024 0.033 0.042 0.108 0.394 0.532 0.641 0.059 0.420 0.133 0.024 0.033 0.047 0.123 0.394 0.532 0.641 0.065 0.420 0.139 0.024 0.045 0.052 0.131 0.394 0.532 0.641 0.071 0.420 0.144 0.024 0.045 0.083 0.131 0.427 0.532 0.641 0.084 0.447 0.159 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.012 0.023 0.423 0.000 0.041 0.009 0.000 0.000 0.000 0.010 0.024 0.071 0.538 0.003 0.074 0.018 0.000 0.000 0.000 0.013 0.044 0.138 0.596 0.004 0.116 0.028 0.000 0.000 0.002 0.028 0.103 0.243 0.596 0.009 0.191 0.047 0.023 0.005 0.002 0.032 0.120 0.272 0.731 0.013 0.220 0.057 0.023 0.019 0.010 0.036 0.156 0.281 0.731 0.020 0.242 0.067 0.023 0.019 0.010 0.046 0.199 0.304 0.731 0.023 0.274 0.074 0.035 0.019 0.023 0.070 0.234 0.376 0.731 0.036 0.322 0.093 0.035 0.019 0.035 0.090 0.269 0.486 0.731 0.045 0.381 0.110 0.035 0.019 0.040 0.090 0.269 0.533 0.731 0.048 0.397 0.114 0.035 0.019 0.044 0.090 0.286 0.558 0.731 0.049 0.415 0.118 0.035 0.019 0.044 0.090 0.286 0.558 0.731 0.049 0.415 0.118 0.035 0.026 0.044 0.090 0.286 0.558 0.731 0.051 0.415 0.119 0.035 0.026 0.044 0.090 0.286 0.558 0.731 0.051 0.415 0.119 0.035 0.026 0.044 0.090 0.286 0.595 0.731 0.051 0.427 0.120 0.035 0.026 0.044 0.090 0.310 0.595 0.731 0.051 0.441 0.122 0.035 0.026 0.044 0.105 0.335 0.595 0.731 0.054 0.455 0.126 0.035 0.026 0.048 0.121 0.362 0.595 0.731 0.060 0.471 0.133 0.035 0.033 0.060 0.138 0.415 0.595 0.731 0.071 0.502 0.145 0.035 0.042 0.065 0.173 0.442 0.595 0.731 0.082 0.518 0.157 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.006 0.005 0.053 0.182 0.002 0.000 0.000 0.002 0.006 0.022 0.123 0.299 0.003 0.000 0.000 0.004 0.010 0.091 0.217 0.299 0.005 0.013 0.009 0.007 0.014 0.117 0.247 0.474 0.009 0.013 0.018 0.016 0.018 0.152 0.280 0.474 0.017 0.013 0.018 0.016 0.027 0.184 0.337 0.474 0.019 0.027 0.018 0.031 0.036 0.244 0.418 0.474 0.029 0.027 0.018 0.042 0.051 0.297 0.478 0.474 0.037 0.027 0.018 0.047 0.051 0.308 0.497 0.474 0.040 0.027 0.018 0.047 0.057 0.319 0.537 0.474 0.041 0.027 0.018 0.047 0.057 0.319 0.537 0.474 0.041 0.027 0.024 0.047 0.057 0.319 0.537 0.474 0.043 0.027 0.024 0.047 0.057 0.319 0.537 0.474 0.043 0.027 0.024 0.047 0.064 0.319 0.537 0.474 0.044 0.027 0.024 0.047 0.064 0.319 0.573 0.474 0.044 0.027 0.024 0.047 0.072 0.358 0.573 0.474 0.046 0.027 0.024 0.051 0.089 0.378 0.573 0.474 0.051 0.027 0.031 0.062 0.116 0.398 0.573 0.474 0.064 0.027 0.038 0.066 0.143 0.438 0.573 0.474 0.073 0.027 0.038 0.071 0.143 0.438 0.573 0.474 0.075 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE SG All 1/1/85 Rating 360 1522 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/86 Rating 91 303 557 336 236 182 15 1287 433 1720 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/87 Rating 136 352 625 364 314 223 19 1477 556 2033 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/88 Rating 156 365 594 402 422 303 33 1517 758 2275 n(0) Aaa Aa A Baa Ba 48 15 February 2018 154 401 605 380 463 0.031 0.009 0.073 0.019 0.151 0.039 0.182 0.049 0.215 0.062 0.257 0.072 0.324 0.093 0.377 0.109 0.390 0.113 0.411 0.118 0.411 0.118 0.411 0.119 0.411 0.119 0.411 0.120 0.422 0.122 0.446 0.126 0.459 0.132 0.472 0.144 0.498 0.156 0.498 0.157 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.009 0.073 0.067 0.000 0.038 0.010 0.000 0.000 0.002 0.010 0.059 0.160 0.133 0.003 0.105 0.029 0.000 0.000 0.012 0.014 0.087 0.210 0.220 0.009 0.143 0.043 0.000 0.008 0.023 0.018 0.121 0.243 0.318 0.016 0.179 0.057 0.000 0.008 0.023 0.026 0.172 0.300 0.318 0.018 0.231 0.070 0.014 0.008 0.040 0.031 0.233 0.383 0.318 0.028 0.299 0.092 0.014 0.008 0.050 0.046 0.291 0.438 0.318 0.036 0.353 0.108 0.014 0.008 0.052 0.051 0.307 0.455 0.318 0.038 0.368 0.113 0.014 0.008 0.052 0.057 0.316 0.495 0.318 0.039 0.385 0.117 0.014 0.008 0.052 0.057 0.316 0.495 0.318 0.039 0.385 0.117 0.014 0.013 0.052 0.057 0.316 0.520 0.591 0.041 0.407 0.122 0.014 0.013 0.052 0.057 0.316 0.520 0.591 0.041 0.407 0.122 0.014 0.013 0.052 0.064 0.316 0.520 0.591 0.042 0.407 0.123 0.014 0.013 0.052 0.064 0.316 0.555 0.591 0.042 0.416 0.124 0.014 0.013 0.052 0.089 0.332 0.555 0.591 0.047 0.426 0.130 0.014 0.013 0.056 0.108 0.349 0.555 0.591 0.052 0.437 0.135 0.014 0.020 0.063 0.136 0.383 0.555 0.591 0.063 0.460 0.147 0.014 0.027 0.067 0.165 0.417 0.555 0.591 0.072 0.483 0.158 0.014 0.027 0.071 0.165 0.417 0.555 0.591 0.074 0.483 0.159 0.014 0.027 0.071 0.165 0.417 0.555 0.591 0.074 0.483 0.159 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.009 0.024 0.105 0.171 0.002 0.062 0.018 0.000 0.000 0.002 0.012 0.069 0.149 0.235 0.004 0.107 0.031 0.000 0.006 0.007 0.025 0.094 0.190 0.311 0.011 0.140 0.045 0.000 0.006 0.009 0.037 0.136 0.240 0.311 0.014 0.185 0.058 0.000 0.013 0.019 0.052 0.203 0.318 0.311 0.023 0.254 0.081 0.000 0.013 0.025 0.065 0.264 0.391 0.311 0.029 0.318 0.098 0.000 0.013 0.025 0.074 0.284 0.438 0.311 0.031 0.347 0.105 0.000 0.013 0.025 0.079 0.306 0.465 0.311 0.032 0.370 0.110 0.000 0.013 0.025 0.084 0.314 0.465 0.311 0.033 0.375 0.112 0.000 0.018 0.025 0.084 0.314 0.487 0.770 0.034 0.392 0.115 0.000 0.018 0.025 0.084 0.314 0.487 0.770 0.034 0.392 0.115 0.000 0.018 0.025 0.090 0.324 0.487 0.770 0.035 0.399 0.118 0.000 0.018 0.025 0.090 0.324 0.511 0.770 0.035 0.406 0.119 0.000 0.018 0.025 0.105 0.324 0.569 0.770 0.038 0.423 0.123 0.000 0.018 0.032 0.112 0.339 0.599 0.770 0.042 0.441 0.129 0.000 0.024 0.038 0.128 0.397 0.599 0.770 0.050 0.479 0.140 0.000 0.030 0.045 0.144 0.427 0.599 0.770 0.057 0.498 0.149 0.000 0.030 0.049 0.144 0.427 0.599 0.770 0.059 0.498 0.151 0.000 0.030 0.049 0.144 0.427 0.599 0.770 0.059 0.498 0.151 0.000 0.030 0.053 0.144 0.443 0.599 0.770 0.061 0.509 0.154 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.030 0.054 0.098 0.000 0.043 0.014 0.000 0.000 0.000 0.009 0.050 0.119 0.168 0.002 0.083 0.029 0.000 0.000 0.002 0.018 0.087 0.194 0.168 0.005 0.135 0.046 0.000 0.003 0.011 0.034 0.159 0.295 0.501 0.014 0.224 0.078 0.000 0.003 0.017 0.048 0.239 0.381 0.501 0.019 0.304 0.103 0.000 0.003 0.017 0.063 0.265 0.431 0.501 0.023 0.338 0.114 0.000 0.003 0.017 0.075 0.290 0.449 0.501 0.026 0.359 0.121 0.000 0.003 0.017 0.075 0.307 0.449 0.501 0.026 0.370 0.123 0.000 0.007 0.017 0.075 0.313 0.461 0.750 0.027 0.385 0.127 0.000 0.007 0.017 0.075 0.320 0.461 0.750 0.027 0.390 0.128 0.000 0.007 0.017 0.081 0.336 0.461 0.750 0.028 0.399 0.131 0.000 0.007 0.017 0.087 0.336 0.476 0.750 0.029 0.404 0.133 0.000 0.007 0.017 0.099 0.336 0.511 0.750 0.032 0.417 0.137 0.000 0.007 0.021 0.105 0.347 0.565 0.750 0.034 0.443 0.143 0.000 0.013 0.027 0.119 0.382 0.584 0.750 0.041 0.470 0.153 0.000 0.018 0.034 0.126 0.441 0.605 0.750 0.047 0.513 0.165 0.000 0.018 0.042 0.126 0.441 0.605 0.750 0.050 0.513 0.167 0.000 0.018 0.042 0.126 0.441 0.605 0.750 0.050 0.513 0.167 0.000 0.018 0.046 0.126 0.455 0.605 0.750 0.052 0.522 0.170 0.000 0.018 0.050 0.126 0.470 0.605 0.750 0.053 0.531 0.172 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.014 0.000 0.005 0.002 0.003 0.065 0.000 0.008 0.009 0.012 0.120 0.000 0.008 0.015 0.025 0.201 0.000 0.008 0.015 0.042 0.225 0.000 0.008 0.015 0.057 0.249 0.000 0.008 0.015 0.057 0.259 0.000 0.012 0.015 0.057 0.264 0.000 0.012 0.015 0.057 0.275 0.000 0.012 0.015 0.062 0.288 0.000 0.012 0.015 0.062 0.296 0.000 0.012 0.015 0.068 0.303 0.000 0.016 0.015 0.074 0.312 0.000 0.021 0.021 0.093 0.358 0.000 0.025 0.024 0.112 0.416 0.000 0.025 0.032 0.112 0.416 0.000 0.025 0.032 0.112 0.416 0.000 0.025 0.036 0.112 0.429 0.000 0.025 0.040 0.112 0.443 0.000 0.025 0.040 0.112 0.476 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE B Caa-C IG SG All 1/1/89 Rating 385 40 1540 888 2428 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/90 Rating 171 412 642 398 437 423 49 1623 909 2532 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/91 Rating 192 462 668 390 422 447 56 1712 925 2637 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/92 Rating 179 493 656 414 357 373 62 1742 792 2534 n(0) Aaa Aa 49 15 February 2018 165 499 0.059 0.125 0.000 0.039 0.014 0.130 0.157 0.003 0.097 0.036 0.262 0.445 0.009 0.190 0.069 0.348 0.445 0.014 0.271 0.098 0.393 0.445 0.018 0.303 0.109 0.423 0.445 0.021 0.329 0.119 0.438 0.445 0.021 0.340 0.121 0.463 0.723 0.022 0.358 0.126 0.463 0.723 0.022 0.365 0.128 0.474 0.723 0.023 0.376 0.131 0.520 0.723 0.023 0.398 0.136 0.548 0.723 0.024 0.412 0.139 0.592 0.723 0.027 0.433 0.145 0.608 0.723 0.035 0.466 0.157 0.625 0.723 0.041 0.508 0.169 0.625 0.723 0.044 0.508 0.172 0.625 0.723 0.044 0.508 0.172 0.625 0.723 0.046 0.515 0.174 0.625 0.723 0.047 0.524 0.177 0.625 0.723 0.047 0.543 0.179 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.005 0.000 0.005 0.030 0.075 0.203 0.003 0.059 0.022 0.000 0.005 0.003 0.016 0.098 0.211 0.490 0.006 0.164 0.060 0.000 0.005 0.008 0.022 0.178 0.295 0.554 0.010 0.245 0.088 0.000 0.005 0.008 0.040 0.201 0.346 0.554 0.014 0.280 0.101 0.000 0.005 0.008 0.047 0.227 0.379 0.554 0.016 0.308 0.109 0.000 0.005 0.008 0.047 0.231 0.402 0.554 0.016 0.320 0.112 0.000 0.008 0.008 0.047 0.236 0.436 0.554 0.017 0.337 0.117 0.000 0.008 0.008 0.047 0.247 0.443 0.554 0.017 0.346 0.119 0.000 0.008 0.008 0.052 0.260 0.468 0.554 0.018 0.363 0.124 0.000 0.008 0.008 0.052 0.281 0.496 0.554 0.018 0.387 0.128 0.000 0.008 0.008 0.057 0.289 0.519 0.554 0.019 0.400 0.132 0.000 0.013 0.008 0.062 0.305 0.557 0.554 0.021 0.424 0.138 0.000 0.017 0.017 0.084 0.347 0.557 0.777 0.030 0.453 0.151 0.000 0.021 0.020 0.101 0.410 0.588 0.777 0.037 0.502 0.164 0.000 0.021 0.024 0.107 0.410 0.588 0.777 0.039 0.502 0.166 0.000 0.021 0.024 0.107 0.410 0.588 0.777 0.039 0.502 0.166 0.000 0.021 0.028 0.107 0.410 0.611 0.777 0.041 0.509 0.168 0.000 0.021 0.031 0.107 0.422 0.611 0.777 0.042 0.516 0.171 0.000 0.021 0.031 0.107 0.448 0.611 0.777 0.042 0.532 0.173 0.000 0.033 0.044 0.115 0.463 0.662 0.777 0.052 0.559 0.185 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.003 0.038 0.137 0.439 0.001 0.105 0.036 0.000 0.000 0.000 0.008 0.122 0.232 0.479 0.002 0.192 0.064 0.000 0.000 0.000 0.011 0.147 0.300 0.566 0.003 0.239 0.079 0.000 0.000 0.000 0.015 0.175 0.332 0.566 0.003 0.267 0.087 0.000 0.000 0.000 0.015 0.179 0.355 0.566 0.003 0.280 0.090 0.000 0.003 0.000 0.015 0.189 0.383 0.566 0.004 0.298 0.095 0.000 0.003 0.000 0.015 0.194 0.397 0.566 0.004 0.306 0.097 0.000 0.003 0.000 0.015 0.206 0.427 0.566 0.004 0.325 0.101 0.000 0.003 0.000 0.015 0.227 0.452 0.566 0.004 0.347 0.106 0.000 0.003 0.000 0.020 0.234 0.474 0.783 0.005 0.364 0.109 0.000 0.003 0.003 0.025 0.257 0.513 0.783 0.007 0.391 0.116 0.000 0.006 0.006 0.053 0.313 0.513 1.000 0.015 0.429 0.129 0.000 0.010 0.008 0.081 0.355 0.546 1.000 0.023 0.465 0.141 0.000 0.010 0.012 0.087 0.355 0.546 1.000 0.025 0.465 0.143 0.000 0.010 0.012 0.087 0.355 0.546 1.000 0.025 0.465 0.143 0.000 0.010 0.015 0.087 0.355 0.569 1.000 0.026 0.472 0.145 0.000 0.010 0.015 0.094 0.367 0.569 1.000 0.028 0.479 0.147 0.000 0.010 0.015 0.094 0.392 0.569 1.000 0.028 0.494 0.149 0.000 0.020 0.027 0.102 0.405 0.650 1.000 0.037 0.527 0.161 0.000 0.036 0.043 0.128 0.419 0.679 1.000 0.052 0.545 0.176 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.002 0.038 0.132 0.153 0.001 0.091 0.028 0.000 0.000 0.000 0.002 0.051 0.221 0.186 0.001 0.141 0.042 0.000 0.000 0.000 0.002 0.070 0.267 0.221 0.001 0.173 0.051 0.000 0.000 0.000 0.002 0.075 0.291 0.265 0.001 0.188 0.054 0.000 0.003 0.000 0.002 0.080 0.324 0.317 0.001 0.208 0.060 0.000 0.003 0.000 0.002 0.085 0.337 0.317 0.001 0.216 0.061 0.000 0.003 0.000 0.002 0.097 0.360 0.374 0.001 0.235 0.065 0.000 0.003 0.000 0.002 0.119 0.388 0.374 0.001 0.258 0.070 0.000 0.003 0.000 0.007 0.127 0.411 0.478 0.002 0.275 0.073 0.000 0.003 0.003 0.011 0.152 0.453 0.478 0.004 0.304 0.079 0.000 0.006 0.005 0.034 0.204 0.469 0.609 0.011 0.345 0.092 0.000 0.009 0.008 0.058 0.241 0.521 0.609 0.019 0.383 0.104 0.000 0.009 0.011 0.063 0.241 0.521 0.609 0.021 0.383 0.105 0.000 0.009 0.011 0.063 0.253 0.521 0.609 0.021 0.390 0.106 0.000 0.009 0.014 0.063 0.253 0.546 0.609 0.022 0.397 0.108 0.000 0.009 0.014 0.069 0.266 0.546 0.609 0.023 0.405 0.111 0.000 0.009 0.014 0.075 0.266 0.573 0.609 0.025 0.413 0.113 0.000 0.019 0.026 0.082 0.281 0.664 0.609 0.033 0.449 0.124 0.000 0.038 0.041 0.096 0.298 0.732 0.609 0.047 0.478 0.140 0.000 0.038 0.045 0.096 0.298 0.732 0.609 0.049 0.478 0.141 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.000 0.002 0.000 0.002 0.000 0.002 0.000 0.002 0.000 0.002 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.005 0.000 0.015 0.000 0.019 0.000 0.019 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE A Baa Ba B Caa-C IG SG All 1/1/93 Rating 756 425 339 300 73 1845 712 2557 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/94 Rating 134 502 824 478 353 289 75 1938 717 2655 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/95 Rating 136 474 1003 539 397 381 84 2152 862 3014 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 139 560 1079 553 409 502 94 2331 1005 3336 0.000 0.000 0.003 0.074 0.165 0.000 0.049 0.013 0.000 0.000 0.011 0.139 0.221 0.000 0.086 0.023 0.000 0.000 0.011 0.173 0.268 0.000 0.104 0.027 0.000 0.000 0.016 0.213 0.295 0.001 0.125 0.032 0.000 0.000 0.016 0.233 0.327 0.001 0.136 0.034 0.000 0.000 0.028 0.257 0.360 0.001 0.154 0.038 0.000 0.000 0.049 0.284 0.360 0.001 0.176 0.042 0.000 0.004 0.063 0.307 0.431 0.002 0.197 0.046 0.002 0.008 0.079 0.363 0.431 0.003 0.225 0.052 0.005 0.029 0.130 0.378 0.513 0.010 0.264 0.063 0.009 0.043 0.174 0.445 0.513 0.014 0.311 0.074 0.012 0.047 0.174 0.445 0.513 0.016 0.311 0.076 0.012 0.047 0.186 0.445 0.513 0.016 0.317 0.077 0.012 0.053 0.198 0.445 0.513 0.018 0.324 0.079 0.012 0.058 0.212 0.445 0.513 0.019 0.333 0.081 0.012 0.064 0.212 0.445 0.675 0.020 0.341 0.083 0.029 0.070 0.245 0.500 0.675 0.028 0.378 0.094 0.049 0.083 0.262 0.592 0.675 0.041 0.420 0.110 0.056 0.083 0.262 0.592 0.675 0.045 0.420 0.114 0.064 0.090 0.262 0.592 0.675 0.049 0.420 0.117 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.006 0.044 0.135 0.000 0.034 0.009 0.000 0.000 0.000 0.000 0.006 0.084 0.193 0.000 0.056 0.015 0.000 0.000 0.000 0.002 0.019 0.140 0.239 0.001 0.090 0.023 0.000 0.000 0.000 0.002 0.027 0.156 0.266 0.001 0.103 0.026 0.000 0.000 0.000 0.005 0.037 0.182 0.266 0.001 0.118 0.029 0.000 0.000 0.000 0.008 0.054 0.204 0.266 0.002 0.136 0.033 0.000 0.000 0.000 0.015 0.078 0.239 0.327 0.003 0.166 0.040 0.000 0.000 0.002 0.021 0.085 0.319 0.327 0.006 0.199 0.048 0.000 0.000 0.006 0.039 0.127 0.352 0.402 0.012 0.239 0.059 0.000 0.000 0.010 0.050 0.171 0.388 0.402 0.016 0.277 0.069 0.000 0.000 0.012 0.057 0.171 0.400 0.402 0.019 0.282 0.072 0.000 0.000 0.012 0.057 0.171 0.400 0.487 0.019 0.287 0.073 0.000 0.000 0.012 0.062 0.181 0.400 0.487 0.020 0.292 0.075 0.000 0.000 0.012 0.066 0.192 0.418 0.487 0.021 0.305 0.077 0.000 0.000 0.012 0.071 0.192 0.438 0.487 0.022 0.311 0.079 0.000 0.000 0.024 0.087 0.217 0.484 0.487 0.030 0.342 0.090 0.000 0.004 0.039 0.108 0.244 0.566 0.487 0.042 0.383 0.105 0.000 0.009 0.042 0.113 0.244 0.566 0.487 0.046 0.383 0.109 0.000 0.009 0.046 0.125 0.244 0.566 0.487 0.050 0.383 0.112 0.000 0.009 0.049 0.131 0.244 0.566 0.487 0.052 0.383 0.114 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.042 0.054 0.000 0.023 0.007 0.000 0.000 0.000 0.002 0.009 0.091 0.104 0.000 0.054 0.015 0.000 0.000 0.000 0.002 0.012 0.126 0.144 0.000 0.073 0.020 0.000 0.000 0.000 0.004 0.022 0.143 0.144 0.001 0.086 0.023 0.000 0.000 0.000 0.007 0.043 0.172 0.144 0.002 0.109 0.029 0.000 0.000 0.000 0.019 0.074 0.219 0.237 0.005 0.149 0.040 0.000 0.000 0.002 0.024 0.103 0.273 0.237 0.007 0.187 0.049 0.000 0.000 0.005 0.037 0.135 0.331 0.322 0.011 0.230 0.060 0.000 0.000 0.008 0.045 0.174 0.379 0.322 0.015 0.271 0.071 0.000 0.000 0.011 0.051 0.180 0.414 0.322 0.018 0.288 0.076 0.000 0.000 0.011 0.051 0.180 0.433 0.435 0.018 0.300 0.078 0.000 0.000 0.011 0.055 0.188 0.433 0.435 0.019 0.304 0.080 0.000 0.000 0.011 0.058 0.206 0.445 0.435 0.020 0.319 0.083 0.000 0.000 0.011 0.062 0.206 0.458 0.435 0.021 0.324 0.084 0.000 0.000 0.020 0.079 0.240 0.489 0.435 0.029 0.356 0.095 0.000 0.000 0.035 0.101 0.301 0.522 0.435 0.040 0.403 0.111 0.000 0.004 0.037 0.106 0.301 0.522 0.435 0.043 0.403 0.113 0.000 0.004 0.045 0.115 0.301 0.522 0.435 0.049 0.403 0.118 0.000 0.004 0.048 0.120 0.317 0.522 0.435 0.051 0.412 0.121 0.000 0.004 0.048 0.120 0.317 0.522 0.435 0.051 0.412 0.121 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.003 0.040 0.105 0.000 0.031 0.009 0.000 0.000 0.000 0.000 0.005 0.065 0.165 0.000 0.049 0.014 0.000 0.000 0.000 0.000 0.018 0.090 0.165 0.000 0.066 0.019 0.000 0.000 0.000 0.002 0.036 0.123 0.207 0.001 0.094 0.026 0.000 0.000 0.000 0.013 0.071 0.166 0.313 0.003 0.136 0.038 0.000 0.000 0.001 0.018 0.096 0.220 0.419 0.005 0.178 0.049 0.000 0.000 0.004 0.033 0.127 0.311 0.557 0.010 0.240 0.066 0.000 0.000 0.008 0.041 0.151 0.385 0.631 0.014 0.289 0.080 0.000 0.000 0.011 0.044 0.167 0.428 0.631 0.016 0.317 0.087 0.000 0.000 0.011 0.044 0.167 0.451 0.631 0.016 0.329 0.089 0.000 0.000 0.011 0.047 0.174 0.458 0.631 0.016 0.336 0.091 0.000 0.000 0.011 0.050 0.190 0.465 0.631 0.017 0.347 0.094 0.000 0.000 0.011 0.054 0.190 0.474 0.631 0.018 0.351 0.095 0.000 0.000 0.020 0.070 0.219 0.492 0.631 0.025 0.375 0.105 0.000 0.004 0.030 0.091 0.297 0.522 0.631 0.036 0.425 0.121 0.000 0.008 0.033 0.095 0.297 0.522 0.631 0.039 0.425 0.124 0.000 0.008 0.040 0.105 0.297 0.522 0.631 0.044 0.425 0.128 0.000 0.008 0.042 0.109 0.311 0.522 0.631 0.046 0.432 0.131 0.000 0.008 0.042 0.109 0.311 0.522 0.631 0.046 0.432 0.131 0.000 0.008 0.045 0.109 0.311 0.522 0.631 0.048 0.432 0.132 1/1/96 50 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Rating n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/97 Rating 142 602 1156 650 468 571 106 2550 1145 3695 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/98 Rating 138 681 1178 821 590 689 127 2818 1406 4224 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/99 Rating 125 735 1177 961 711 937 139 2998 1787 4785 n(0) Aaa Aa A Baa Ba B Caa-C IG 51 15 February 2018 112 731 1218 1102 701 1089 299 3163 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.000 0.015 0.103 0.000 0.017 0.005 0.000 0.000 0.000 0.000 0.007 0.040 0.152 0.000 0.036 0.011 0.000 0.000 0.000 0.002 0.021 0.088 0.198 0.000 0.069 0.020 0.000 0.000 0.000 0.007 0.056 0.121 0.345 0.002 0.110 0.032 0.000 0.000 0.001 0.013 0.076 0.177 0.444 0.004 0.151 0.044 0.000 0.000 0.004 0.027 0.110 0.253 0.567 0.009 0.208 0.061 0.000 0.000 0.006 0.033 0.137 0.328 0.615 0.011 0.258 0.075 0.000 0.000 0.009 0.038 0.153 0.364 0.615 0.014 0.283 0.083 0.000 0.000 0.009 0.040 0.153 0.389 0.615 0.014 0.295 0.086 0.000 0.000 0.009 0.042 0.165 0.395 0.615 0.015 0.303 0.088 0.000 0.000 0.009 0.048 0.177 0.401 0.615 0.017 0.312 0.091 0.000 0.000 0.009 0.048 0.184 0.408 0.615 0.017 0.319 0.092 0.000 0.000 0.016 0.064 0.207 0.434 0.615 0.024 0.342 0.101 0.000 0.004 0.028 0.081 0.257 0.486 0.615 0.034 0.390 0.118 0.000 0.007 0.030 0.084 0.257 0.486 0.615 0.037 0.390 0.120 0.000 0.007 0.036 0.096 0.257 0.486 0.615 0.042 0.390 0.124 0.000 0.007 0.038 0.100 0.267 0.486 0.615 0.044 0.396 0.127 0.000 0.007 0.038 0.100 0.267 0.486 0.615 0.044 0.396 0.127 0.000 0.007 0.041 0.100 0.267 0.486 0.615 0.045 0.396 0.128 0.000 0.007 0.041 0.112 0.267 0.512 0.615 0.048 0.408 0.132 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.000 0.002 0.020 0.098 0.000 0.019 0.006 0.000 0.000 0.000 0.001 0.014 0.063 0.174 0.000 0.051 0.017 0.000 0.000 0.000 0.005 0.051 0.103 0.308 0.002 0.096 0.031 0.000 0.000 0.001 0.010 0.082 0.156 0.474 0.003 0.144 0.045 0.000 0.000 0.003 0.020 0.107 0.250 0.589 0.007 0.207 0.066 0.000 0.000 0.005 0.027 0.140 0.313 0.626 0.010 0.254 0.080 0.000 0.000 0.010 0.030 0.155 0.348 0.626 0.013 0.278 0.088 0.000 0.000 0.010 0.032 0.155 0.373 0.626 0.014 0.290 0.092 0.000 0.000 0.010 0.036 0.164 0.381 0.626 0.015 0.298 0.094 0.000 0.000 0.010 0.040 0.173 0.396 0.626 0.016 0.309 0.097 0.000 0.000 0.010 0.040 0.178 0.407 0.626 0.016 0.316 0.099 0.000 0.000 0.020 0.051 0.194 0.438 0.626 0.023 0.338 0.109 0.000 0.003 0.030 0.069 0.229 0.503 0.626 0.033 0.385 0.126 0.000 0.006 0.032 0.072 0.229 0.503 0.626 0.036 0.385 0.127 0.000 0.006 0.040 0.081 0.229 0.503 0.626 0.041 0.385 0.132 0.000 0.006 0.043 0.087 0.236 0.503 0.626 0.044 0.388 0.135 0.000 0.006 0.052 0.087 0.236 0.512 0.626 0.048 0.392 0.138 0.000 0.006 0.054 0.087 0.236 0.512 0.626 0.049 0.392 0.139 0.000 0.006 0.054 0.103 0.259 0.512 0.626 0.053 0.404 0.145 0.000 0.006 0.054 0.103 0.259 0.521 0.626 0.053 0.408 0.146 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.000 0.000 0.000 0.001 0.009 0.039 0.083 0.000 0.030 0.011 0.000 0.000 0.000 0.004 0.036 0.096 0.275 0.001 0.085 0.031 0.000 0.000 0.001 0.008 0.066 0.166 0.391 0.003 0.141 0.052 0.000 0.000 0.003 0.018 0.102 0.260 0.581 0.007 0.215 0.079 0.000 0.000 0.005 0.028 0.132 0.320 0.633 0.011 0.262 0.098 0.000 0.000 0.009 0.031 0.150 0.367 0.689 0.014 0.296 0.110 0.000 0.002 0.009 0.034 0.153 0.402 0.733 0.015 0.316 0.117 0.000 0.002 0.009 0.037 0.159 0.412 0.733 0.016 0.324 0.120 0.000 0.002 0.009 0.041 0.163 0.433 0.733 0.018 0.336 0.124 0.000 0.002 0.009 0.041 0.167 0.450 0.733 0.018 0.346 0.126 0.000 0.002 0.019 0.049 0.183 0.469 1.000 0.024 0.365 0.135 0.000 0.005 0.030 0.067 0.222 0.505 1.000 0.035 0.400 0.152 0.000 0.008 0.031 0.072 0.222 0.505 1.000 0.037 0.400 0.154 0.000 0.011 0.037 0.079 0.222 0.505 1.000 0.043 0.400 0.158 0.000 0.011 0.042 0.082 0.232 0.505 1.000 0.046 0.405 0.161 0.000 0.011 0.052 0.085 0.232 0.510 1.000 0.050 0.408 0.165 0.000 0.011 0.054 0.085 0.232 0.510 1.000 0.051 0.408 0.166 0.000 0.011 0.054 0.099 0.249 0.516 1.000 0.055 0.418 0.171 0.000 0.011 0.054 0.099 0.261 0.516 1.000 0.055 0.424 0.172 0.000 0.015 0.054 0.099 0.261 0.522 1.000 0.056 0.426 0.174 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 0.000 0.000 0.000 0.001 0.015 0.049 0.162 0.000 0.000 0.000 0.000 0.005 0.035 0.136 0.243 0.002 0.000 0.000 0.002 0.013 0.061 0.233 0.404 0.005 0.000 0.000 0.003 0.025 0.087 0.318 0.436 0.010 0.000 0.000 0.007 0.030 0.107 0.365 0.478 0.013 0.000 0.002 0.007 0.033 0.109 0.403 0.495 0.015 0.000 0.002 0.007 0.035 0.115 0.420 0.495 0.016 0.000 0.002 0.007 0.038 0.121 0.439 0.495 0.017 0.000 0.002 0.007 0.038 0.124 0.460 0.495 0.017 0.000 0.002 0.017 0.047 0.150 0.480 0.509 0.023 0.000 0.005 0.028 0.068 0.186 0.527 0.509 0.035 0.000 0.010 0.028 0.072 0.190 0.527 0.509 0.038 0.000 0.013 0.035 0.079 0.190 0.532 0.526 0.043 0.000 0.013 0.040 0.083 0.199 0.532 0.526 0.047 0.000 0.013 0.049 0.086 0.199 0.536 0.526 0.051 0.000 0.013 0.051 0.086 0.199 0.536 0.526 0.052 0.000 0.013 0.051 0.098 0.205 0.558 0.526 0.056 0.000 0.013 0.051 0.098 0.221 0.564 0.526 0.056 0.000 0.017 0.051 0.098 0.221 0.581 0.526 0.057 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE SG All 1/1/00 Rating 2089 5252 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/01 Rating 117 726 1251 1184 662 1167 313 3278 2142 5420 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/02 Rating 117 754 1298 1157 622 1110 309 3326 2041 5367 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/03 Rating 125 757 1302 1249 601 893 359 3433 1853 5286 n(0) Aaa Aa A Baa Ba 52 15 February 2018 123 687 1290 1209 591 0.054 0.021 0.117 0.046 0.197 0.079 0.255 0.103 0.291 0.117 0.313 0.125 0.324 0.129 0.336 0.133 0.346 0.136 0.368 0.147 0.403 0.164 0.405 0.167 0.408 0.171 0.412 0.175 0.414 0.178 0.414 0.179 0.426 0.184 0.435 0.187 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 0.000 0.000 0.000 0.003 0.013 0.057 0.179 0.001 0.061 0.025 0.000 0.000 0.002 0.008 0.031 0.157 0.400 0.004 0.150 0.060 0.000 0.000 0.004 0.019 0.052 0.244 0.494 0.008 0.216 0.088 0.000 0.000 0.007 0.025 0.068 0.295 0.562 0.012 0.256 0.104 0.000 0.000 0.008 0.028 0.068 0.334 0.601 0.013 0.281 0.113 0.000 0.000 0.008 0.031 0.076 0.354 0.601 0.015 0.294 0.118 0.000 0.000 0.008 0.034 0.079 0.382 0.601 0.015 0.309 0.123 0.000 0.000 0.008 0.034 0.082 0.400 0.601 0.015 0.319 0.126 0.000 0.000 0.020 0.038 0.115 0.424 0.601 0.022 0.344 0.137 0.000 0.000 0.033 0.060 0.164 0.483 0.620 0.034 0.392 0.158 0.000 0.005 0.033 0.064 0.168 0.486 0.620 0.036 0.396 0.161 0.000 0.008 0.039 0.069 0.168 0.490 0.640 0.041 0.399 0.165 0.000 0.008 0.044 0.075 0.177 0.490 0.640 0.045 0.403 0.169 0.000 0.008 0.052 0.077 0.177 0.494 0.640 0.049 0.405 0.172 0.000 0.008 0.054 0.077 0.177 0.499 0.640 0.050 0.407 0.173 0.000 0.008 0.058 0.083 0.187 0.520 0.640 0.054 0.420 0.179 0.000 0.008 0.058 0.083 0.203 0.530 0.640 0.054 0.431 0.182 0.000 0.011 0.058 0.083 0.203 0.547 0.640 0.054 0.438 0.184 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 0.000 0.000 0.002 0.002 0.012 0.092 0.300 0.001 0.096 0.037 0.000 0.000 0.004 0.014 0.028 0.189 0.417 0.007 0.169 0.067 0.000 0.000 0.007 0.020 0.046 0.245 0.547 0.010 0.219 0.086 0.000 0.000 0.007 0.025 0.046 0.284 0.602 0.011 0.245 0.095 0.000 0.000 0.007 0.028 0.057 0.304 0.613 0.012 0.260 0.100 0.000 0.000 0.007 0.031 0.060 0.334 0.613 0.013 0.277 0.105 0.000 0.000 0.007 0.031 0.063 0.352 0.613 0.013 0.287 0.108 0.000 0.000 0.020 0.034 0.096 0.381 0.613 0.020 0.314 0.119 0.000 0.000 0.032 0.054 0.151 0.458 0.630 0.031 0.373 0.142 0.000 0.005 0.033 0.056 0.155 0.462 0.630 0.033 0.377 0.144 0.000 0.007 0.039 0.061 0.155 0.466 0.650 0.038 0.381 0.148 0.000 0.007 0.042 0.070 0.165 0.466 0.650 0.042 0.385 0.152 0.000 0.010 0.049 0.072 0.165 0.471 0.650 0.047 0.387 0.156 0.000 0.010 0.052 0.072 0.165 0.476 0.650 0.048 0.389 0.158 0.000 0.010 0.057 0.076 0.175 0.499 0.650 0.051 0.403 0.163 0.000 0.010 0.057 0.078 0.186 0.517 0.650 0.052 0.414 0.166 0.000 0.013 0.057 0.078 0.192 0.537 0.650 0.053 0.424 0.169 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 0.000 0.000 0.002 0.010 0.014 0.047 0.268 0.004 0.077 0.029 0.000 0.000 0.003 0.015 0.037 0.098 0.410 0.007 0.132 0.049 0.000 0.000 0.003 0.015 0.046 0.130 0.485 0.007 0.160 0.058 0.000 0.000 0.003 0.018 0.055 0.153 0.498 0.008 0.177 0.063 0.000 0.000 0.003 0.019 0.063 0.184 0.527 0.008 0.198 0.069 0.000 0.000 0.003 0.019 0.067 0.200 0.538 0.008 0.208 0.071 0.000 0.000 0.016 0.022 0.095 0.243 0.554 0.014 0.240 0.083 0.000 0.000 0.025 0.041 0.147 0.340 0.601 0.024 0.309 0.107 0.000 0.005 0.028 0.041 0.151 0.356 0.601 0.026 0.318 0.110 0.000 0.007 0.033 0.042 0.151 0.369 0.619 0.029 0.326 0.114 0.000 0.007 0.037 0.050 0.164 0.369 0.619 0.034 0.332 0.119 0.000 0.010 0.044 0.052 0.164 0.374 0.619 0.038 0.334 0.122 0.000 0.010 0.047 0.052 0.164 0.379 0.619 0.039 0.336 0.124 0.000 0.010 0.052 0.056 0.179 0.398 0.619 0.042 0.350 0.129 0.000 0.010 0.052 0.058 0.184 0.424 0.619 0.043 0.362 0.132 0.000 0.013 0.052 0.058 0.190 0.444 0.619 0.044 0.372 0.134 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 0.000 0.000 0.000 0.000 0.009 0.000 0.000 0.000 0.000 0.013 0.000 0.000 0.000 0.002 0.019 0.000 0.000 0.000 0.003 0.024 0.000 0.000 0.000 0.004 0.027 0.000 0.000 0.012 0.005 0.055 0.000 0.000 0.020 0.017 0.106 0.000 0.005 0.023 0.017 0.114 0.000 0.007 0.029 0.017 0.114 0.000 0.007 0.032 0.024 0.127 0.000 0.010 0.039 0.026 0.127 0.000 0.010 0.042 0.026 0.127 0.000 0.010 0.046 0.029 0.136 0.000 0.010 0.046 0.031 0.146 0.000 0.013 0.046 0.031 0.151 0.442 0.189 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE B Caa-C IG SG All 1/1/04 Rating 873 359 3309 1823 5132 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/05 Rating 143 654 1276 1269 569 966 314 3342 1849 5191 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/06 Rating 132 672 1326 1291 560 1050 346 3421 1956 5377 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/07 Rating 127 691 1385 1280 567 1117 375 3483 2059 5542 n(0) Aaa Aa 53 15 February 2018 136 738 0.027 0.206 0.000 0.053 0.018 0.047 0.316 0.000 0.082 0.028 0.068 0.344 0.001 0.098 0.033 0.094 0.382 0.001 0.117 0.039 0.108 0.391 0.001 0.126 0.041 0.153 0.403 0.007 0.159 0.054 0.253 0.473 0.014 0.234 0.078 0.269 0.473 0.016 0.245 0.082 0.280 0.506 0.019 0.253 0.086 0.296 0.506 0.023 0.266 0.091 0.304 0.506 0.027 0.269 0.095 0.308 0.506 0.028 0.271 0.097 0.327 0.506 0.031 0.284 0.102 0.348 0.506 0.031 0.297 0.105 1 2 3 4 5 6 7 8 9 10 11 12 13 14 0.000 0.000 0.000 0.000 0.004 0.008 0.118 0.000 0.024 0.008 0.000 0.000 0.000 0.002 0.006 0.021 0.185 0.001 0.041 0.014 0.000 0.000 0.000 0.002 0.013 0.040 0.229 0.001 0.060 0.020 0.000 0.000 0.000 0.002 0.018 0.049 0.259 0.001 0.070 0.023 0.000 0.002 0.011 0.003 0.045 0.091 0.287 0.006 0.105 0.036 0.000 0.002 0.016 0.019 0.099 0.201 0.405 0.014 0.195 0.065 0.000 0.007 0.018 0.019 0.102 0.214 0.416 0.015 0.204 0.068 0.000 0.009 0.024 0.019 0.102 0.222 0.475 0.018 0.214 0.073 0.000 0.009 0.025 0.027 0.111 0.241 0.491 0.022 0.228 0.079 0.000 0.012 0.033 0.028 0.111 0.248 0.491 0.026 0.231 0.083 0.000 0.012 0.036 0.028 0.111 0.251 0.491 0.027 0.233 0.084 0.000 0.012 0.040 0.033 0.125 0.263 0.491 0.030 0.245 0.089 0.000 0.012 0.040 0.035 0.135 0.276 0.514 0.031 0.257 0.092 0.000 0.015 0.040 0.035 0.140 0.295 0.514 0.031 0.268 0.095 1 2 3 4 5 6 7 8 9 10 11 12 13 0.000 0.000 0.000 0.002 0.000 0.008 0.073 0.001 0.017 0.006 0.000 0.000 0.000 0.002 0.006 0.026 0.113 0.001 0.036 0.012 0.000 0.000 0.000 0.002 0.009 0.037 0.145 0.001 0.047 0.016 0.000 0.002 0.008 0.007 0.036 0.085 0.218 0.006 0.092 0.033 0.000 0.002 0.013 0.021 0.089 0.203 0.377 0.013 0.194 0.067 0.000 0.008 0.015 0.021 0.095 0.216 0.409 0.015 0.207 0.072 0.000 0.010 0.020 0.021 0.095 0.225 0.489 0.018 0.220 0.078 0.000 0.010 0.021 0.028 0.106 0.244 0.502 0.021 0.235 0.084 0.000 0.013 0.028 0.031 0.106 0.255 0.515 0.025 0.242 0.089 0.000 0.013 0.030 0.031 0.106 0.258 0.532 0.026 0.245 0.090 0.000 0.013 0.034 0.035 0.123 0.272 0.551 0.029 0.261 0.096 0.000 0.013 0.034 0.036 0.127 0.291 0.571 0.029 0.273 0.099 0.000 0.016 0.034 0.036 0.132 0.307 0.571 0.030 0.282 0.102 1 2 3 4 5 6 7 8 9 10 11 12 0.000 0.000 0.000 0.000 0.002 0.011 0.059 0.000 0.017 0.006 0.000 0.000 0.000 0.000 0.002 0.020 0.100 0.000 0.029 0.010 0.000 0.002 0.007 0.006 0.031 0.082 0.199 0.005 0.086 0.032 0.000 0.002 0.010 0.016 0.094 0.190 0.386 0.010 0.192 0.069 0.000 0.008 0.012 0.016 0.094 0.213 0.440 0.012 0.212 0.076 0.000 0.010 0.018 0.016 0.094 0.229 0.497 0.015 0.228 0.082 0.000 0.010 0.019 0.022 0.104 0.253 0.505 0.017 0.245 0.089 0.000 0.012 0.027 0.024 0.107 0.263 0.526 0.022 0.253 0.094 0.000 0.012 0.029 0.024 0.110 0.269 0.538 0.023 0.258 0.096 0.000 0.012 0.033 0.027 0.132 0.293 0.551 0.025 0.280 0.103 0.000 0.012 0.033 0.028 0.136 0.320 0.598 0.026 0.298 0.108 0.000 0.015 0.033 0.028 0.140 0.350 0.598 0.026 0.313 0.112 1 2 3 4 5 6 7 8 9 10 11 0.000 0.000 0.000 0.002 0.000 0.002 0.000 0.007 0.000 0.009 0.000 0.009 0.000 0.011 0.000 0.011 0.000 0.011 0.000 0.011 0.000 0.013 0.364 0.506 0.032 0.306 0.107 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE A Baa Ba B Caa-C IG SG All 1/1/08 Rating 1379 1281 623 1145 423 3534 2191 5725 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/09 Rating 169 824 1301 1244 629 1020 655 3538 2304 5842 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/10 Rating 148 737 1291 1233 602 861 757 3409 2220 5629 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 99 573 1232 1354 586 834 723 3258 2143 5401 0.000 0.000 0.000 0.000 0.050 0.000 0.009 0.003 0.007 0.007 0.018 0.065 0.162 0.006 0.069 0.028 0.011 0.017 0.078 0.178 0.345 0.011 0.179 0.070 0.012 0.017 0.085 0.209 0.389 0.013 0.205 0.080 0.017 0.017 0.085 0.227 0.429 0.015 0.220 0.086 0.019 0.023 0.099 0.255 0.454 0.018 0.242 0.095 0.029 0.025 0.107 0.268 0.483 0.023 0.255 0.102 0.031 0.025 0.110 0.279 0.492 0.024 0.262 0.104 0.034 0.028 0.132 0.306 0.502 0.026 0.285 0.112 0.034 0.029 0.145 0.334 0.581 0.026 0.310 0.119 1 2 3 4 5 6 7 8 9 10 0.000 0.005 0.004 0.010 0.023 0.040 0.107 0.006 0.054 0.025 0.000 0.005 0.009 0.018 0.072 0.149 0.286 0.011 0.166 0.072 0.000 0.009 0.011 0.018 0.074 0.178 0.342 0.013 0.195 0.083 0.000 0.014 0.014 0.018 0.074 0.196 0.376 0.015 0.211 0.090 0.000 0.014 0.018 0.022 0.085 0.220 0.409 0.017 0.233 0.099 0.000 0.017 0.028 0.023 0.092 0.231 0.438 0.022 0.246 0.107 0.000 0.019 0.029 0.023 0.097 0.241 0.464 0.023 0.257 0.111 0.000 0.023 0.031 0.023 0.119 0.274 0.485 0.025 0.283 0.119 0.000 0.023 0.031 0.025 0.130 0.296 0.549 0.026 0.306 0.126 0.000 0.025 0.031 0.026 0.136 0.320 0.563 0.027 0.320 0.130 1 2 3 4 5 6 7 8 9 0.000 0.000 0.002 0.009 0.018 0.072 0.261 0.004 0.121 0.050 0.000 0.002 0.004 0.009 0.022 0.084 0.334 0.005 0.151 0.062 0.000 0.005 0.007 0.012 0.022 0.098 0.367 0.008 0.166 0.069 0.000 0.005 0.010 0.014 0.035 0.117 0.407 0.010 0.190 0.078 0.000 0.008 0.019 0.015 0.042 0.126 0.436 0.014 0.204 0.086 0.000 0.010 0.020 0.016 0.050 0.139 0.459 0.016 0.217 0.091 0.000 0.016 0.022 0.016 0.066 0.185 0.476 0.018 0.243 0.100 0.000 0.016 0.022 0.019 0.075 0.207 0.535 0.019 0.267 0.107 0.000 0.018 0.022 0.020 0.081 0.232 0.550 0.019 0.282 0.111 1 2 3 4 5 6 7 8 0.000 0.000 0.002 0.001 0.000 0.004 0.085 0.001 0.030 0.012 0.000 0.000 0.005 0.003 0.000 0.018 0.128 0.003 0.049 0.021 0.000 0.000 0.008 0.005 0.006 0.039 0.186 0.005 0.077 0.032 0.000 0.000 0.016 0.008 0.015 0.047 0.229 0.009 0.096 0.041 0.000 0.000 0.019 0.009 0.020 0.066 0.261 0.011 0.113 0.047 0.000 0.000 0.024 0.010 0.038 0.110 0.288 0.013 0.143 0.058 0.000 0.000 0.024 0.013 0.046 0.133 0.346 0.014 0.169 0.066 0.000 0.002 0.024 0.014 0.052 0.153 0.372 0.015 0.185 0.071 0.034 0.031 0.148 0.355 0.609 0.027 0.323 0.123 1/1/11 54 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE Rating n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/12 Rating 86 542 1222 1447 640 968 744 3297 2352 5649 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/13 Rating 84 437 1191 1480 721 1000 839 3192 2560 5752 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/14 Rating 60 298 1166 1663 708 1055 946 3187 2709 5896 n(0) Aaa Aa A Baa Ba B Caa-C IG 55 15 February 2018 55 292 1162 1725 739 1107 1140 3234 1 2 3 4 5 6 7 0.000 0.002 0.000 0.004 0.002 0.003 0.059 0.002 0.020 0.009 0.000 0.002 0.001 0.004 0.012 0.021 0.128 0.003 0.051 0.021 0.000 0.002 0.008 0.008 0.020 0.034 0.176 0.007 0.071 0.032 0.000 0.002 0.009 0.011 0.028 0.053 0.214 0.008 0.092 0.040 0.000 0.002 0.010 0.012 0.050 0.097 0.252 0.009 0.126 0.052 0.000 0.002 0.010 0.015 0.059 0.133 0.310 0.011 0.157 0.063 0.000 0.004 0.010 0.016 0.064 0.153 0.336 0.011 0.172 0.068 1 2 3 4 5 6 0.000 0.000 0.000 0.001 0.001 0.005 0.078 0.000 0.028 0.012 0.000 0.000 0.001 0.004 0.015 0.017 0.130 0.002 0.052 0.024 0.000 0.002 0.001 0.005 0.020 0.037 0.173 0.003 0.074 0.033 0.000 0.002 0.001 0.005 0.034 0.077 0.226 0.003 0.109 0.046 0.000 0.002 0.001 0.008 0.050 0.111 0.284 0.004 0.142 0.058 0.000 0.002 0.002 0.008 0.058 0.139 0.310 0.005 0.162 0.065 1 2 3 4 5 0.000 0.000 0.001 0.001 0.006 0.009 0.062 0.001 0.026 0.012 0.000 0.000 0.002 0.002 0.011 0.023 0.103 0.002 0.046 0.021 0.000 0.000 0.002 0.002 0.020 0.066 0.171 0.002 0.087 0.038 0.000 0.000 0.002 0.003 0.033 0.107 0.232 0.002 0.125 0.053 0.000 0.000 0.002 0.003 0.045 0.128 0.270 0.002 0.147 0.061 1 2 3 4 0.000 0.000 0.001 0.001 0.001 0.005 0.046 0.001 0.000 0.000 0.001 0.001 0.006 0.036 0.117 0.001 0.000 0.000 0.001 0.002 0.016 0.073 0.185 0.001 0.000 0.000 0.001 0.002 0.025 0.097 0.240 0.001 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. 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CROSS-SECTOR MOODY'S INVESTORS SERVICE SG All 1/1/15 Rating 2986 6220 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/16 Rating 55 302 1237 1724 747 1101 1348 3318 3196 6514 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 1/1/17 Rating 53 304 1290 1713 763 1043 1414 3360 3220 6580 n(0) Aaa Aa A Baa Ba B Caa-C IG SG All 54 297 1260 1702 831 1009 1426 3313 3266 6579 0.019 0.009 0.058 0.027 0.098 0.044 1 2 3 0.000 0.000 0.000 0.000 0.003 0.023 0.068 0.000 0.037 0.018 0.000 0.000 0.000 0.000 0.015 0.057 0.131 0.000 0.077 0.036 0.000 0.000 0.000 0.000 0.021 0.076 0.182 0.000 0.105 0.048 1 2 0.000 0.000 0.000 0.000 0.001 0.015 0.090 0.000 0.045 0.021 0.000 0.000 0.000 0.000 0.004 0.026 0.149 0.000 0.073 0.034 0.127 0.055 1 0.000 0.000 0.000 0.000 0.002 0.003 0.064 0.000 0.029 0.014 *In percent. 56 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. MOODY'S INVESTORS SERVICE CROSS-SECTOR Moody’s related publications Annual Default Study: Corporate Default and Recovery Rates, 1920-2016 Impairment and Loss Rates of Structured Finance Securities: 1993-2016 Glossary of Moody’s Ratings Performance Metrics Introducing Moody's Credit Transition Model 57 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE Endnotes 1 2014 marks the beginning of the latest commodity crisis when commodity prices began to fall substantially. 2 Combines Oil & Gas and Metals & Mining. 3 Only 88 were included in the January 1st cohort. See details in Exhibit 15. 4 2017 also recorded defaults by the governments of Venezuela, Congo, Belize, and Mozambique, which are outside the scope of this report. 5 The dollar-weighted bond default rates only include bonds issued by US and European issuers. 6 Together with Toys 'R' US, Inc., the corporate family’s total default amount was $3.3 billion. 7 The 9.0% default rate is based on 49 issuers. 8 The industry default rates in this report refer to Moody’s entire rated universe combining investment-grade and speculative-grade companies. 9 In Exhibit 7, we use market prices (bids) to proxy recoveries. 10 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. Please see Exhibit 19 for more details. 11 Moody’s research shows that distressed exchanges generally have higher recovery rates than non-distressed exchange defaults. For details, please see Moody’s Special Comment, A closer look at distressed exchanges, December 2017. 12 For distressed exchanges, we take trading prices at default. For other types of defaults, we take trading prices approximately one month after default. 13 For details, see Moody’s Special Comment Moody’s Ultimate Recovery Database, April 2007. 14 The analysis on ultimate recovery is provided by David Keisman and Julia Chursin. The data is from Moody’s Ultimate Recovery Database, which includes robust detailed recovery information for over 5500 loans and bonds from more than 1,100 North American corporate defaulters since 1987. 15 For a given issuer, the firm-wide recovery rate is the weighted-average recovery rate across all of the issuer’s debts where the weights are the size of the debts. 16 The high yield spreads are option-adjusted. The unemployment rate forecast is sourced from Moody's Economy.com. 17 See Oil and Gas –Global 2018 Outlook, Moody’s Outlook Research, December 2017. 18 The industry default rate forecasts include both investment-grade and speculative-grade issuers. 19 For details, see Moody’s outlook research: Retail, Apparel, Restaurants – US, December 2017. 20Note that the EDF-implied default rate forecast includes rated and unrated issuers. 21 Expected Default Frequency metrics are forward-looking probabilities of default generated by Moody’s EDF model, which belongs to a class of credit risk models referred to as structural models. Their basic assumption is that there is a causal, economically motivated reason why firms default. Default is highly likely to occur when the market value of a firm’s assets is insufficient to cover its liabilities at some future date – in other words, when it is insolvent. For details, please refer to Public Firm Expected Default Frequency (EDF) Credit Measures: Methodology, Performance, and Model Extensions, Moody’s Capital Markets Research, June, 2012. 22We apply S4 - Protracted Slump scenario in our pessimistic forecast. For more details about the description and assumption under this economic scenario, please refer to the Standard Stress Scenarios webpage from Moody’s Analytics - Economy.com. 23For a detailed discussion of average default position and the mathematical derivation of accuracy ratio from the average default position, please refer to Moody’s Special Comment, Measuring Ratings Accuracy Using Average Default Position, Feb 2011. 58 15 February 2018 Cross-Sector: Annual Default Study: Corporate Default and Recovery Rates, 1920 - 2017 Downloaded from https://www.researchpool.com by on 17/03/19. All rights reserved to the document author. You may not reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate to anyone without the express written consent of ResearchPool and the research provider. CROSS-SECTOR MOODY'S INVESTORS SERVICE © 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S 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. 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