2022 Moody prob default & recovery

CROSS-SECTOR
SECTOR IN-DEPTH Default Trends – Global

8 February 2022
Annual default study: After a sharp decline
in 2021, defaults will rise modestly this year
TABLE OF CONTENTS The pandemic-fueled default cycle proved to be short-lived and much less severe than prior
Strong economic recovery and cycles, as the strong economic recovery and abundant liquidity kept defaults low in 2021. The
abundant liquidity kept defaults low
in 2021 3 trailing 12-month global default rate for speculative-grade corporate issuers (including both
Recovery rates rose in 2021 6 financial and nonfinancial companies) was 1.7% at the end of 2021, down from 6.9% a year
Credit quality improved in 2021 9 earlier. Under our baseline scenario, Moody's Credit Transition Model (CTM) forecasts that
We expect the default rate to rise the rate will fall to a bottom of 1.5% in the second quarter and then gradually rise to 2.4%
modestly in 2022 14 by the end of the year. If these forecasts are realized, the 2022 default rate will remain well
Rating accuracy 20
below the long-term average of 4.1% and the pre-pandemic level of 3.3%.
Methodology and data sources 21
Appendix 23
Exhibit 1
Moody’s related publications 57 COVID-induced default cycle was short and mild
Contacts
Sharon Ou +1.212.553.4403
VP-Sr Credit Officer/Mgr/CSR
sharon.ou@moodys.com
Kane Chan +1.212.553.1035
Associate Analyst/CSR
kane.chan@moodys.com
Yang Liu +1.212.553.2961
AVP-Analyst/CSR
yang.liu@moodys.com
Kumar Kanthan +1.212.553.1428
Senior Vice President/Mgr/CSR
kumar.kanthan@moodys.com
Frederic Drevon +44.20.7772.5356
MD-Rating Performance
frederic.drevon@moodys.com
Atsi Sheth +1.212.553.7825
Managing Director - Credit Strategy
These are speculative-grade default rates measured on a trailing 12-month basis. The peak default time refers to the 12-month
atsi.sheth@moodys.com ending date.
Richard Cantor +1.212.553.3628 Source: Moody's Investors Service
Chief Credit Officer
richard.cantor@moodys.com
» Contacts continued on last page
MOODY'S INVESTORS SERVICE CROSS-SECTOR
Key highlights of our analysis include:
» Defaults fell sharply in 2021 after jumping in 2020. A total of 54 Moody’s-rated corporate issuers defaulted in 2021, roughly
one-quarter of the 2020 tally of 217. Last year's default count was the lowest in a decade. Default volume registered an even bigger
decline, to $39 billion in 2021 from $236 billion in 2020. This reflected fewer mega-defaults in 2021.
» COVID-led default cycle was short and mild. The default cycle triggered by the pandemic lasted 14 months, from April 2020
to May 2021 inclusive, as measured by the amount of time that the speculative-grade default rate stayed above the long-term
average. The default rate peaked at 6.9% in December 2020. In comparison, prior default cycles lasted for 23 months or longer,
with peak default rates in the range of 9.7% to 15.8%.
» Construction & Building had the most defaults of any sector. Nine Construction & Building companies defaulted in 2021.
Eight of these were from China, where regulators have taken actions to rein in leverage in the property sector. Oil & Gas, which had
the most defaults in 2020, had the biggest drop in defaults (seven in 2021, vs. 52 in 2020), as energy prices recovered and access to
capital markets improved.
» We expect the default rate to rise modestly in 2022. Under our baseline scenario, Moody's CTM forecasts that the global
speculative-grade default rate will fall to 1.5% in the second quarter and then gradually rise to 2.4% by the end of the year. If these
forecasts are realized, the default rate will remain below the long-term average of 4.1% and the pre-pandemic level of 3.3%.
» We have also developed more pessimistic default scenarios and a more optimistic scenario, given the high degree of
economic uncertainty. The default rate could surge to 9.1% under our most pessimistic scenario if economic and financial risks
were to crystallize into a severe economic disruption resulting from the spread of new virus variants and liquidity were to tighten
as a result of aggressive monetary policies. Under our optimistic scenario, the default rate could decline to 2.0%. In this scenario,
economic recovery would be stronger than under the baseline forecast, with greater comfort around virus containment and a robust
recovery in business and consumer sentiment.
» Default risk will be highest in sectors hardest hit by the pandemic. Our 2.4% baseline default rate forecast for year-end 2022
translates into 81 defaults, or roughly seven per month. We expect Business Services to be the riskiest sector measured by default
count, while Hotel, Gaming & Leisure will be the most troubled sector measured by default rate.
» Credit quality improved across the board in 2021. Rating upgrades surpassed downgrades last year as indicated in the rating
drift, which rose to 6% of a rating notch in 2021 from -21% in 2020. Credit quality improvement occurred in both the financial and
nonfinancial sectors. Among sectors with high exposure to COVID-19, most have recovered to some extent, as illustrated by their
drifts turning positive in 2021. On the other hand, Consumer Transportation has continued to struggle.
» Measured by post-default trading prices, the average recovery rates for bank loans and senior unsecured bonds were
higher in 2021 than in the prior year. The issuer-weighted average recovery rate for first-lien bank loan was 69% in 2021, up
from 60% in 2020. This rate was also higher than the long-term average of 66% since 1983. The average recovery rate for senior
unsecured bonds rose to 51% in 2021 from 35% in 2020. This compares to the long-term average of 38% since 1983.
» Rating accuracy measures like Average Default Position (AP) show that our ratings have been successfully rank ordering
credit risk. The one-year AP was 92% in 2021, up from 91% in 2020. Since 1983, the average one-year AP has been high at 92%.
For inquiries on the underlying data, please contact ClientServices@moodys.com.
2 8 February 2022 Default Trends – Global: Annual default study: After a sharp decline in 2021, defaults will rise modestly this year
About this report

This report is our 35th annual default study, in which we provide statistics on defaults, losses and rating transitions for corporate bond, loan
and deposit issuers over the past year, as well as for the historical period since 1920. This study covers financial institutions, nonfinancial
companies and regulated utilities that have long-term debt ratings.
The first section reviews major trends in defaults, recoveries and rating actions in 2021, including analyses by industry and geography. The
second section discusses our default rate outlook as well as our forecast for fallen-angel rates and first-lien loan recovery in 2022. The final
section examines the performance of our ratings since 1983.
The study results 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 companies that had long-term rated bonds, loans and/or
deposits between 1920 and 2021.
Strong economic recovery and abundant liquidity kept defaults low in 2021
Financial markets had a remarkably solid 2021. Business activity expanded at a robust pace thanks to progress with rolling out
COVID-19 vaccinations and the reopening of economies. Corporate earnings and cash flow improved as companies benefited from the
sustained tail winds of booming consumer demand and very accommodative monetary policies. The number of corporate defaults fell
75% from 2020 to 2021, as abundant liquidity in capital markets allowed many speculative-grade issuers to refinance when needed.
In fact, many issuers have refinanced their debt over the last two years at very low interest rates, pushed out near-term maturities and
shored up liquidity, therefore mitigating their near-term default risk.
Default count fell to the lowest level in a decade

A total of 54 rated corporate issuers defaulted in 2021, only one-quarter of the 2020 tally of 217. The 2021 count was the lowest since
2011 when 53 companies defaulted. Measured by volume, roughly $39 billion of debt went into default in 2021, comprising $22 billion
in bonds and $17 billion in loans. In comparison, total default volume totaled $236 billion in 2020. The decline resulted from fewer
defaults overall and a smaller number of mega-defaults.
Of the 54 defaults in 2021, 13 (or 24%) had more than $1 billion of debt. The biggest defaulter of the year was GTT Communications
Inc., a multinational internet service provider operating in more than 140 countries. The company missed the interest payment on its
senior unsecured bond at the end of the grace period in July. Three months later, GTT filed for Chapter 11 bankruptcy protection in the
US, seeking to shed about $3 billion in debt after accounting irregularities and weak business performance pushed the company into
financial distress.
Across regions, North America had the highest default count, at 24. This represents 44% of the 2021 defaults, well below the North
American average of about 65% since the global financial crisis. Asia-Pacific accounted for 14 defaults, surpassing Europe’s 10. The last
time that Asia had more defaults than Europe was during the Asian financial crisis in 1997. The remaining six defaults in 2021 were from
Latin America.
On a dollar-volume basis, North America accounted for $20 billion, or more than half of the defaulted debt. That was followed by
Asia-Pacific, which had defaulted debt of about $10 billion (27%). The rest was roughly evenly distributed between Europe and Latin
America, which had $4 billion (11%) in defaulted debt each.
Distressed exchanges continued to be a prominent type of default. In 2021, 48% of defaults, were distressed exchanges. Many were
by private equity-owned companies. Payment defaults accounted for 44% of total defaults. There were only four instances in which
bankruptcy was listed as the initial default type.
Exhibit 2 shows annual default counts and defaulted debt volume since 1970.
Exhibit 2
Default count fell significantly in 2021
Default counts Default volume ($ billion)
300 $400
$350
250
$300
200
$250
150 $200
$150
100
$100
54
50 $38.8
$50
0 $0
1971
1972
1974
1975
1977
1978
1979
1981
1982
1984
1985
1986
1987
1988
1989
1991
1992
1994
1995
1996
1998
1999
2001
2002
2004
2005
2006
2008
2009
2011
2012
2013
2014
2015
2016
2018
2019
2021
1970
1973
1976
1980
1983
1990
1993
1997
2000
2003
2007
2010
2017
2020
Source: Moody's Investors Service
Default rate fell below its pre-pandemic level

The issuer-weighted annual default rate was 0.8% at the end of 2021, the lowest annual rate since 2007. The 2021 rate was roughly
50% below the pre-pandemic rate of 1.5% in 2019 (see Exhibit 3). The decline reflected the drop in defaults in almost all sectors,
particularly in Oil & Gas, Retail and Business Services. Of our 35 sector groups, only three had more defaults in 2021 than in 2020 and
the increases were small.
Among speculative-grade issuers, the default rate showed a similar trend, falling to 1.7% from 6.9%. The 2021 year-end figures
are well below the average one-year default rate since 1983 of 1.7% for all rated corporate issuers and 4.1% for speculative-grade
issuers. Measured on a dollar-volume basis, the speculative-grade bond default rate fell to 0.3% in 2021 from 6.3% in 2020 and the
comparable rate for all rated issuers decreased to 0.1% from 1.0%.
Exhibit 3
Default rate in 2021 fell to the lowest level since the global financial crisis*
All Corporates Speculative-Grade
18%
16%
14%
12%
10%
8%
1.7%
6%
4%
0.8%
2%
0%
1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 2020
* Issuer-weighted.
Construction & Building had the most defaults

Construction & Building was the largest contributor to corporate defaults in 2021. The sector had nine defaults in 2021, up from eight
in 2020. All but one of the 2021 defaulters were from China, reflecting stress among the country's real-estate developers. Property
developers in China have enjoyed years of rapid and debt-fueled growth. But new regulations that aim to control their leverage and
the associated risks to the country's financial system have pressured their business models. Chinese developers' access to funding has
tightened significantly since the third quarter of 2021, fueled by credit stress at China Evergrande Group. Severely constrained access to
funding has limited the abilities of some issuers to refinance matured debt and caused them to default.1
Business Services and Oil & Gas each had seven defaults, which were down from their 2020 levels. Overall, 24 sectors (or more than
two-thirds of our 35 sector groups) registered fewer defaults last year. Of these sectors, Oil & Gas recorded the biggest drop, from 52
to seven, as a result of the strong recovery in energy prices and better access to capital markets.
When measured by dollar volume, Construction & Building also had the most defaults, accounting for 22% of the total. The next
highest sector by dollar volume was Oil & Gas, with a 14% share. Business Services followed with 11%, while Telecom accounted for
10%. Although the default count was low in the Telecom sector, default volume was high because the sector had the largest default of
the year: GTT Communications, Inc ($3 billion).
Exhibit 4 shows the distribution of defaults by industry in 2020 and 2021, as well as the changes between the two years.
Exhibit 4
Construction & Building was the largest contributor to defaults in 2021
Percent of total default count and default volume
Sector group Industry group Percent by count Percent by volume
2021 Δ 2020 2021 Δ 2020
Banking Banking 1.9% ▼ 2.3% 0.4% ▼ 1.7%
Capital Industries Containers, Packaging, & Glass 0.0% ▼ 0.5% 0.0% ▼ 0.0%
Metals & Mining 1.9% ▲ 1.8% 1.2% ▲ 1.1%
Capital Equipment 7.4% ▲ 2.3% 3.4% ▲ 1.0%
Construction & Building 16.7% ▲ 3.7% 22.0% ▲ 3.9%
Chemicals, Plastics, & Rubber 0.0% ▼ 1.4% 0.0% ▼ 1.7%
Automotive 0.0% ▼ 2.3% 0.0% ▼ 1.2%
Services: Business 13.0% ▲ 11.5% 11.1% ▲ 9.5%
Consumer Industries Healthcare & Pharmaceuticals 3.7% ▼ 4.6% 2.6% ▼ 4.8%
Consumer goods: Non-durable 1.9% ▼ 2.8% 0.4% ▼ 0.9%
Hotel, Gaming, & Leisure 3.7% ▼ 6.0% 4.1% ▲ 3.1%
Beverage, Food, & Tobacco 0.0% ▼ 1.8% 0.0% ▼ 1.0%
Services: Consumer 0.0% ▼ 3.2% 0.0% ▼ 1.7%
Consumer Goods: Durable 3.7% ▲ 1.4% 1.1% ▲ 0.8%
Energy Oil & Gas 13.0% ▼ 24.0% 14.4% ▼ 28.6%
Electricity 7.4% ▲ 1.8% 3.6% ▲ 0.1%
Media & publishing Advertising, Printing & Publishing 1.9% ▲ 1.8% 0.7% ▼ 0.9%
Diversified & Production 3.7% ▲ 0.5% 2.7% ▲ 0.3%
Nonbank finance Finance 3.7% ▲ 0.0% 2.9% ▲ 0.0%
REIT REIT 1.9% ▲ 0.9% 5.5% ▲ 1.3%
Retail & distibution Retail 3.7% ▼ 11.1% 8.3% ▼ 10.2%
Wholesale 1.9% ▲ 1.8% 0.5% ▼ 0.8%
Technology Telecommunications 5.6% ▲ 2.8% 10.3% ▼ 15.9%
Aerospace & Defense 0.0% ▼ 0.9% 0.0% ▼ 0.7%
High-Tech Industries 1.9% ▼ 3.2% 4.7% ▲ 4.0%
Transportation Cargo 1.9% ▼ 2.3% 0.1% ▼ 1.3%
Consumer 0.0% ▼ 2.8% 0.0% ▼ 3.4%
Utilities Electric 0.0% ▼ 0.5% 0.0% ▼ 0.0%
*We omitted those industries that had no defaults in 2020 and 2021.
Although the Construction & Building sector accounted for one-sixth of last year’s defaults, its 3.8% default rate was not the highest
across sectors. That distinction belonged to Energy: Electricity, a relatively small sector, with an 9.2% default rate (see Exhibit 5).
Exhibit 5
Energy: Electricity had the highest one-year default rate in 2021
Sector group Industry group* Default rate
2021 Δ 2020
Banking Banking 0.1% ▼ 0.4%
Capital Industries Metals & Mining 0.6% ▼ 2.5%
Services: Business 1.9% ▼ 7.5%
Construction & Building 3.8% ▲ 3.2%
Capital Equipment 1.6% ▼ 2.1%
Containers, Packaging, & Glass 0.0% ▼ 1.7%
Automotive 0.0% ▼ 3.4%
Chemicals, Plastics, & Rubber 0.0% ▼ 1.4%
Forest Products & Paper 0.0% ▼ 0.0%
Consumer Industries Consumer Goods: Non-durable 1.4% ▼ 8.2%
Healthcare & Pharmaceuticals 0.9% ▼ 4.9%
Hotel, Gaming, & Leisure 1.2% ▼ 7.5%
Services: Consumer 0.0% ▼ 9.9%
Beverage, Food, & Tobacco 0.0% ▼ 2.2%
Consumer Goods: Durable 3.8% ▼ 5.7%
Energy & environment Oil & Gas 1.7% ▼ 13.1%
Electricity 9.2% ▲ 8.0%
Media & publishing Advertising, Printing & Publishing 3.8% ▼ 13.7%
Diversified & Production 5.4% ▲ 3.1%
Broadcasting & Subscription 0.0% ▼ 0.0%
Nonbank finance Finance 0.7% ▲ 0.0%
REIT REIT 0.4% ▼ 0.9%
Retail & distibution Retail 1.2% ▼ 12.7%
Wholesale 1.4% ▼ 5.6%
Sovereign & Public Finance Sovereign & Public Finance 0.0% ▼ 0.0%
Technology Telecommunications 1.1% ▼ 3.2%
Aerospace & Defense 0.0% ▼ 2.8%
High-Tech Industries 0.0% ▼ 2.5%
Transportation Consumer 0.0% ▼ 4.2%
Cargo 1.0% ▼ 4.9%
Utilities Electric 0.0% ▼ 0.2%
Issuer-weighted and includes investment-grade and speculative-grade issuers.

Companies in the Sovereign & Public Finance sector are government-related financial and nonfinancial corporate issuers.
Recovery rates rose in 2021

In addition to defaults, recovery rates are another focus of distressed investors. In this section, we discuss recovery rates measured by
two methods. We first examine trading price implied recovery rates, followed by a review of the ultimate recoveries.
Exhibit 6 shows trading price implied recovery rates in the past two years, as well as their long-term averages since 1983. As the exhibit
shows, the issuer-weighted average first-lien loan recovery rate was 69% in 2021, up from 60% in 2020. The 2021 first-lien loan
recovery rate was high by historical standards, with the comparable rate averaging 66% since 1983. On the bond side, the recovery
rate for senior unsecured bonds averaged 51% in 2021, also higher than the 35% rate in 2020. This compares to the long-term average
of 38% since 1983. The relatively high recovery rates in 2021 were not too surprising as recovery rates tend to be higher in years when
default rates fall and economic conditions improve.
Measured by dollar volume, the first-lien loan recovery rate averaged 76% in 2021, up from 61% in 2020. For senior unsecured bonds,
the volume-weighted average recovery rate was 49% in 2021, up noticeably from 27% in 2020. Some of the average recovery rates in
2021 are based on small samples (see observation counts in Exhibit 7).
Exhibit 6 also shows that recovery rates have generally correlated with the priority of claim in the capital structure for more than three
decades, with a higher priority of claim enjoying a higher average rate of recovery.2 For example, recovery rates on first-lien bank loans
average 66% on an issuer-weighted basis and 63% on a dollar-volume basis, the highest recovery rates across security classes. This
makes sense given their secured nature and seniority in the capital structure.
Exhibit 6
Average corporate debt recovery rates measured by trading prices*
Issuer-weighted recoveries Volume-weighted recoveries
Priority Position 2021 2020 1983-2021 2021 2020 1983-2021
1st Lien Bank Loan 68.8% 59.8% 65.5% 76.4% 61.0% 63.3%
2nd Lien Bank Loan 34.1% 26.7% 32.0% 31.8% 25.1% 28.7%
Sr. Unsecured Bank Loan n.a. 47.5% 46.3% n.a 47.5% 43.9%
1st Lien Bond 58.2% 52.5% 54.6% 64.2% 50.2% 55.6%
2nd Lien Bond 98.1% 33.8% 44.3% 98.1% 26.9% 41.5%
Sr. Unsecured Bond 51.0% 34.6% 38.0% 48.6% 26.8% 34.8%
Sr. Subordinated Bond 17.0% 14.1% 31.0% 17.0% 22.7% 26.6%
Subordinated Bond n.a. n.a. 32.1% n.a n.a. 27.9%
Jr. Subordinated Bond n.a. n.a. 22.3% n.a n.a. 13.5%
* We use market prices (bids) to proxy recoveries in this exhibit.

Exhibit 7
Recovery observation counts and dollar volume
Issuer counts Dollar volume (in billions of USD)
Priority Position 2021 2020 1983-2021 2021 2020 1983-2021
1st Lien Bank Loan 13 76 636 8.97 59.88 398.94
2nd Lien Bank Loan 9 20 119 2.01 3.76 24.59
Sr. Unsecured Bank Loan 0 1 71 0.00 0.30 38.56
1st Lien Bond 10 35 412 4.35 18.88 184.66
2nd Lien Bond 1 11 102 0.12 9.46 52.37
Sr. Unsecured Bond 28 85 1213 13.84 72.59 891.22
Sr. Subordinated Bond 1 3 516 0.09 2.92 118.16
Subordinated Bond 0 0 416 0.00 0.00 83.14
Jr. Subordinated Bond 0 0 27 0.00 0.00 4.33
Ultimate recovery rates rose in most creditor classes in 2021

Aside from trading prices, an alternative recovery measure is based on ultimate recoveries, or the value that creditors realize at the resolution
of a default event.3 Using bankruptcy as an example, the ultimate recovery is the present value of the cash or securities that creditors receive
when the debt issuer exits bankruptcy, typically one to two years following the initial default date.
Exhibit 8 shows data on ultimate recovery rates for North American nonfinancial companies included in Moody’s Ultimate Recovery Database
(URD).
Driven by the pandemic, the trailing 12-month speculative-grade default rate peaked in 2020 and then declined in 2021. There is a correlation
between higher default rates and lower ultimate recoveries, which is a function of supply and demand. As the number of defaulting companies
rises and defaulted debt pours into the market, investors looking for distressed assets have no incentive to bid up prices. This is what we saw
with the defaults emerging in 2020 (see Exhibit 8). In 2021, as defaults eased, recoveries for most instrument types began to perform better
than in 2020.
During 2021, the average recovery for revolvers emerging from default was 98.4%, which substantially exceeded the 2020 average recovery
of 79.1% and the long-term average of 86.3%. Cov-light term loan structures have deteriorated since the last downturn and debt cushion has
eroded, leaving the senior secured loans more vulnerable to loss. The average recovery for term loans, at 52.3%, was slightly higher than the
50.4% average in 2020, but still well below the long-term average of 71.8%. Term-loan recoveries in 2021, for debt structures that included
bonds and loans, were 68.1% compared to 36.2% in loan-only structures, which occurred in 30.8% of the companies in this study.
Second-lien term loans, in loan-only structures, recovered 8.9%, compared to 28.0% for debt structures that included bonds and loans. This
emphasizes the importance that debt cushion plays in recoveries as you descend seniority in the capital structure.
Senior secured bonds recovered 65.6% in 2021 from 41.3% in 2020. The 2021 level was slightly above the long-term average of 61.5%.
First-lien senior secured bonds recovered 95.5% compared to 35.8% for second-lien bonds. In 2021, senior unsecured bonds recovered
40.6% on average, which is below the long-term average of 47.4% and below the 64.9% recovered in 2020. This sample did not include any
subordinated bonds.
Exhibit 8
Average debt recovery rates measured by ultimate recoveries, 1987-2021
Emergence year Default year
Priority position 2021 2020 1987-2021 2021 2020 1987-2021

Revolvers 98.4% 79.1% 86.3% 100.0% 83.2% 86.3%
Term loans 52.3% 50.4% 71.8% 57.7% 49.9% 71.8%
Senior secured bonds 65.6% 41.3% 61.5% 81.9% 48.6% 61.5%
Senior unsecured bonds* 40.6% 64.9% 47.4% 26.5% 34.9% 47.4%
Subordinated bonds -- 0.9% 27.9% -- 0.9% 27.9%
The Moody's Ultimate Recovery Database primarily covers default resolutions of US nonfinancial companies.
* In 2020, the recovery for the PG&E Corporation bankruptcy heavily skewed the average recovery for the senior unsecured bonds. Excluding PG&E resulted in an average recovery
of 10.3%.
Source: Moody's Ultimate Recovery Database
Lower default rates sent credit losses down in 2021

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), or 1-recovery rates. Exhibit 9 shows annual average credit loss rates from 1983 through 2021 for rated corporate issuers.
The average credit loss rate among all rated corporate issuers fell to 0.4% in 2021 from 2.1% in 2020. Historically, the average annual
rate has been 1.0% since 1983.
Exhibit 9
Annual credit loss rates dropped in 2021
Investment-grade Speculative-grade All corporates
7%
6%
5%
4%
3%
2% 0.8%
0.4%
1%
0.0%
0%
Credit quality improved in 2021

Rating quality recovered across the board
The economic recovery in 2021 not only kept defaults low but also led to credit quality recovery in most sectors. To measure changes
in aggregate credit quality, we look at rating drift, which is calculated by the average upgraded notches per issuer minus the average
downgraded notches per issuer. Based on its definition, a positive drift indicates overall improvement in credit quality, while a negative
drift signals deterioration. In 2021, rating drift rose to positive 6% of a notch from -21% in 2020 (see Exhibit 10). The positive rating
drift in 2021 means there were more rating upgrades than downgrades.
Exhibit 10
Strong economic recovery also led to an improvement in credit quality
Percent of one notch
Negative Rating Drift Positive Rating Drift
100%
80%
60%
40%
20%
6%
0%
-20%
-21%
-40%
-60%
-80%
-100%
1985
1986
1987
1988
1990
1991
1993
1994
1995
1996
1998
1999
2001
2002
2003
2004
2006
2007
2009
2010
2011
2012
2014
2015
2017
2018
2019
2020
2021
1989
1992
1997
2000
2005
2008
2013
2016
*Rating drift is measured by the average upgraded notches per issuer minus the average downgraded notches per issuer.
Unlike in 2020 where there was a severe divergence in the rating drifts between financial and nonfinancial sectors, the gap converged
in 2021. Both sectors had positive drifts in 2021. The improvement in credit quality was particularly substantial among nonfinancial
issuers whose drift jumped to 6% in 2021 from -28% in 2020. In comparison rating drift for financial issuers rose to 5% from -6%.
In contrast to 2020 when all 35 industry groups had negative drifts, more than two-thirds of the groups had positive drifts in 2021, led
by Wholesale with a drift of 38% (see Exhibit 11). In contrast, Construction & Building had the lowest drift at -20%. The negative drift
in this sector was mainly driven by real estate developers in China.
Among sectors with high exposure to COVID-19 disruption, most have had improvements in credit quality, such as Automotive (13%),
Hotel, Gaming & Leisure (12%) and Consumer Goods: Durable (30%). On the other hand, Consumer Transportation’s drift remained
negative at -3%.
When comparing drifts in the past two years, we found an increase in all but one sector. The biggest increases were in Hotel, Gaming,
& Leisure (12% in 2021 vs. -100% in 2020), Consumer goods: Durable (30% vs. -58%), Consumer Transportation (-3% vs. -78%), and
Oil & Gas (7% vs -61%). This makes logical sense because these sectors were hard hit in 2020 and they benefited significantly from
the economic reopening and the recovery in energy prices in 2021. The only sector where rating drift fell was Construction & Building
(-20% vs. -7%).
Exhibit 11
Two-thirds of sectors had positive drifts in 2021 including some that had high exposure to COVID-19
(% of rating notch)
- Rating Drift: Downgrade + Rating Drift: Upgrade 2021 2020
SECTOR GROUP INDUSTRY GROUP -30% -20% -10% 0% 10% 20% 30% 40%
BANKING Banking 7%
CAPITAL Automotive 13%

INDUSTRIES Capital Equipment 8%
Containers, Packaging, & Glass 9%
Services: Business 6%
Construction & Building -20%
Chemicals, Plastics, & Rubber 7%
Forest Products & Paper -2%
Metals & Mining 32%
CONSUMER Services: Consumer -3%

INDUSTRIES Consumer goods: Non-durable 10%
Hotel, Gaming, & Leisure 12%
Beverage, Food, & Tobacco 4%
Healthcare & Pharmaceuticals 12%
Consumer goods: Durable 30%
ENERGY & Energy: Oil & Gas 7%

ENVIROMENT Energy: Electricity -2%
Environmental Industries -14%
MEDIA & Advertising, Printing & Publishing 14%

PUBLISHING Diversified & Production -3%
Broadcasting & Subscription -4%
NONBANK FINANCE Finance 2%

Insurance 2%
REIT REIT -1%
RETAIL & Retail 22%

DISTRIBUTION Wholesale 38%
SOVEREIGN & PUBLIC FINANCE Sovereign & Public Finance 1%
TECHNOLOGY Telecommunications -6%

Aerospace & Defense 18%
High Tech Industries 12%
TRANSPORTATION Consumer -3%

Cargo 7%
UTILITIES Water 14%

Oil & Gas 1%
Electric 0%
-30% -20% -10% 0% 10% 20% 30% 40%
The 35 industry groups are based on the specific industries of the issuers for default research purpose. Sector groups are created by grouping the industry categories.
Ratings remain more stable in the investment-grade spectrum

While rating drift indicates the overall change in aggregate credit quality, investors often want to know more details behind that
number, such as the probability of Baa-rated companies falling below investment grade. In that case, a rating transition matrix is
warranted because it provides a more detailed picture of changes in credit quality by rating category.
Exhibit 12 presents the one-year rating transition matrix in 2021. Each cell shows the percentage of issuers that held a given row's
rating at the beginning of 2021 and have since migrated to a rating or state (including rating withdrawal and default) indicated in the
column heading at the end of 2021.4
Not surprisingly, the largest values in the transition matrix are the diagonal elements, which show the percentage of ratings that
remained the same at the end of the period. Lower triangular elements reflect net upgrades and upper triangular elements reflect
net downgrades. Generally speaking, the farther one moves away from the diagonal, the smaller the transition rates. This reflects a
relatively low probability of issuers experiencing large rating actions during the course of a year.
Ratings of investment-grade issuers are typically more stable than those of speculative-grade issuers. This remained the case in 2021, as
the numbers in the diagonal are greater for investment-grade rating categories than for those in the speculative-grade universe.
For investors interested in the crossover risk between investment-grade and speculative-grade ratings, the good news is that the fallen-
angel rate was only 0.4% in 2021. This is exceptionally low compared with the 2020 rate of 2.0%, which was similar to the long-term
average of 2.1% since 1983. In contrast, the rising-star rate jumped to 1.3% in 2021 from 0.7% in 2020. Although the 2021 rising-star
rate remained below its long-term average of 2.5%, it exceeded the fallen-angel rate in the same year.
Exhibit 12
Ratings tend to be more stable among investment-grade issuers
Quadrants
I I: Rating migration from IG to SG Rating

II Downgrade
(Fallen Angel)
II: Raing migration within IG
III III: Rating migration from SG to IG Rating

IV Upgrade
(Rising Stars)
IV: Rating migration within SG
Probability Heat Map

10 < P 5 < P < 10 1<P<5 0-1 1<P<5 5 < P < 10 10 < P
⮜⮜ ⮜⮜ Upgrade ⮜⮜ ⮜⮜ ⮞⮞ ⮞⮞ Downgrade ⮞⮞ ⮞ ⮞
Rating Transition Matrix Definition

The matrix summarizes the cumulative changes in credit ratings over a given time horizon, meaning they describe the final position ( ⮞ TO ) of a
credit rating given its initial position ( ⮞ FROM ).
⮞ TO: Final rating position at the end of year (December 31, 2021)
Investment Grade (IG) Speculative Grade (SG)
Forecast
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C WR DEF
Aaa 98.0 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 2.0 0.0
Aa1 2.5 67.5 20.0 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 10.0 0.0
Aa2 0.0 4.1 91.8 3.1 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 0.0
Investment Grade (IG)
⮞ FROM: Initial rating position in the beginning of year (January 1, 2021)
Aa3 0.0 0.0 2.7 85.0 11.2 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 0.0 1.1 0.0
A1 0.0 0.0 0.3 1.0 88.1 6.7 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 3.9 0.0
A2 0.0 0.0 0.3 0.3 5.5 88.5 3.1 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 2.3 0.0
A3 0.0 0.0 0.0 0.0 0.8 6.6 83.0 5.5 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.8 0.0
Baa1 0.0 0.0 0.0 0.0 0.0 0.4 3.8 86.7 4.3 0.4 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.1 0.0
Baa2 0.0 0.0 0.0 0.0 0.1 0.4 0.1 5.6 86.8 2.8 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.5 0.0
Baa3 0.0 0.0 0.2 0.0 0.0 0.0 0.2 0.4 8.0 83.7 1.0 0.4 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.0 0.0
Ba1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.8 7.9 72.1 4.6 0.4 0.4 0.0 0.0 0.0 0.0 0.0 0.0 13.8 0.0
Ba2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.2 9.5 65.8 2.7 1.1 0.0 0.0 0.4 0.0 0.0 0.0 16.3 0.0
Ba3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.7 3.5 9.5 70.9 2.5 1.1 0.0 0.0 0.0 0.0 0.0 11.9 0.0
Speculative Grade (SG)
B1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.5 12.0 68.6 4.7 2.6 0.4 0.0 0.0 0.7 8.8 0.7
B2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.4 0.0 0.0 0.0 0.8 2.3 10.2 67.3 5.3 1.9 0.4 0.0 0.4 10.5 0.8
B3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.9 6.6 5.5 66.8 5.0 1.9 0.0 0.6 10.0 1.7
Caa1 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 1.3 0.8 8.8 64.2 5.7 0.5 0.0 18.4 0.3
Caa2 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 0.6 0.7 1.8 6.2 70.8 3.0 0.4 15.7 0.7
Caa3 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 0.4 0.0 0.8 4.0 21.4 49.2 3.6 13.7 6.9
Ca-C 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 0.7 5.9 14.7 45.6 20.6 12.5
The Aaa and Aa transition rates are based on relatively small sample sizes. The migration rate from Aa1 to Aa2 is mainly driven by the downgrade of Exxon Mobil Corporation and its
subsidiaries.
Data in percentage.
We expect the default rate to rise modestly in 2022

Default rate to remain low by historical standards as economy stabilizes
The 2020-21 default cycle was short and mild, and was induced by exogenous factors. At the start of the cycle, defaults jumped as
economic activity shut down in an effort to control the spread of the COVID-19 pandemic. Following a strong economic recovery,
unprecedented liquidity and fiscal support, and the development of effective COVID-19 vaccines, defaults then declined rapidly. The
default outlook for 2022 will continue to depend on the pace of economic growth, inflation levels and central bank monetary policy
in response, pandemic management, and the distribution of vaccines. These factors will affect corporate earnings and cash flow. Most
notably, monetary policy will be crucial in determining whether capital markets will remain open to high-yield companies seeking to
refinance.
In our baseline scenario, we expect the global economy to stabilize over the course of 2022 after a strong recovery in 2021. This reflects
a normalization in growth rates, as the initial impact from economic reopening and fiscal and monetary stimulus starts to fade.
While the global economic recovery was strong in 2021, COVID-induced bottlenecks have caused shortages in many consumer goods
supply chains, and there were widespread reports of labor shortages. On the other hand, the rollout of COVID-19 vaccines spurred
pent-up demand from consumers with elevated household savings. The mismatch between supply and demand sent inflation to
its highest level since the 1980s. Inflation can have significant negative consequences if it stays high persistently. It hurts consumer
spending and erodes corporate profit for businesses that cannot transfer increased costs to their customers. Most importantly, inflation
concerns have caused many central banks to signal plans to end quantitative easing and raise interest rates. In the US, we expect the
Federal Reserve to continue to keep a close eye on the state of the economy when it shifts its focus to deal with inflation. Monetary
policy will likely continue to support economic growth, although it will be less accommodative than it was earlier in the pandemic.
With regard to pandemic management, we expect wider distribution of vaccines to help reduce the negative effects of the pandemic
on global economic activity. Although the recent emergence of the Omicron variant has led to a jump in new virus cases, we assume
that this latest virus wave will have minimal economic impact, as preliminary data appear to indicate that Omicron's symptoms are
less severe than those of the Delta variant. As with previous virus waves, negative effects on consumer behavior have diminished over
time.
If the above assumptions crystallize, they should underpin a benign default rate outlook in 2022. According to Moody's CTM, the
trailing 12-month global speculative-grade corporate default rate will fall to 1.5% in the second quarter before gradually rising to 2.4%
at the end of 2022 (see dotted lines in Exhibit 13). We think these forecasts are in line with the overall strong fundamentals among
rated issuers. These fundamentals include good earnings, healthy balance sheets and robust liquidity.
Exhibit 13
We expect the speculative-grade default rate to be 2.4% at year end under our baseline scenario
All corporate issuers Speculative-grade corporates

14%
12%
10%
8%
6%
Speculative-grade historical average: 4.11%

4%
2%
All corporates historical average: 1.65%

0%
1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021
From a technical standpoint, these forecasts are derived from actual ratings and rating transition inputs as well as assumed future paths
of high-yield bond spreads and changes in unemployment rates. In our baseline scenario, our model assumes that the US high-yield
spread will widen by about 200 basis points (bps) over the next four quarters to 534 bps, a level close to the historical average. This
would be partially offset by the improvement in the unemployment rate, which we assume will decline to about 3.5% in the second
half of this year from 3.9% in December 2021.
Interest rate hikes may drive default rate higher but will not necessarily lead to a default rate cycle
Last year, the Federal Reserve indicated that its monetary policy would depend on employment conditions and inflation. Now that the
unemployment rate is close to the pre-pandemic level and the inflation rate has reached a four-decade high, we expect the Fed to begin
its effort to lower inflation by raising interest rates this year. In response to market concerns about the impact of inflation and rate hikes on
corporate default rates, we look at their historical relationships in Exhibits 14 and 15.
In Exhibit 14, we plot two data series: inflation and global speculative-grade default rates. Here, we use the year-over-year change in the
Consumer Price Index (CPI) as an indication of inflation. The exhibit shows that inflation is not a leading indicator of the default rate. In fact,
during the economic recessions following the dot-com bubble, the global financial crisis and the onset of the COVID-19 pandemic, inflation
plummeted while the default rate rose to cyclical peaks.
Exhibit 14
CPI vs. default rate
NBER Recession CPI (Y/Y) Global speculative-grade default rate (horizon date)
16%
12%
8%
4%
0%
-4%
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022
Sources: US Bureau of Labor Statistics and Moody's Investors Service
In Exhibit 15, we look at how the global speculative-grade default rate responds to the change in the fed funds rate. Here, we observe an
interesting phenomenon: a substantial drop in the fed funds rate is usually followed by a significant decline in the default rate. This reflects
the fact that the increase in default rates usually intensifies during economic recessions and when this occurs, the Fed has tended to lower
its benchmark rate to provide liquidity to the capital market to boost the economy. This is beneficial for corporate earnings and provides
sufficient liquidity to the capital market to allow speculative-grade companies to refinance and avoid default. On the other hand, the rise in
the fed funds rate does not always lead to a higher default rate. In addition, in those situations where the default rate indeed rises after rate
hike, the default rate does not necessarily rise to recessionary levels and form a severe default rate cycle. A possible explanation is that rate
hikes usually happen during economic boom cycles when credit fundamentals are relatively strong; therefore, a gradual rate hike will increase
corporate borrowing costs but will not necessarily hamper credit fundamentals significantly without economic shocks.
Exhibit 15
Fed funds rate vs. default rate
NBER Recession Fed Fund Rate Global speculative-grade default rate (horizon date)
16%
12%
8%
4%
0%
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022
Sources: Board of Governors of the Federal Reserve System (US) and Moody's Investors Service
What could drive the default rate higher than the baseline forecast?
While our baseline forecast assumes macroeconomic stabilization in 2022 with improved pandemic management and the wide
availability of effective vaccines across the globe, macroeconomic trends and market conditions could turn adverse if infection rates
rise significantly and put a brake on recovering economic activity. In addition, aggressive monetary policy tightening could pose a
threat to the global economic recovery, which could slow or thwart companies from restoring earnings and cash flow to healthy levels.
In a worst-case scenario, this could result in liquidity disruption.
Indeed, default rates might exceed our baseline forecasts if one or more of the following were to crystallize; (1) additional new virus
variants were to emerge that severely disrupt the economic recovery: (2) inflation fears lead to tighter liquidity conditions and the
withdrawal of policy support before the economic recovery is self-sustaining; (3) trade tensions and geopolitical instability intensify; or
(4) China’s regulatory reset triggers a widespread and drastic deterioration in credit and growth trajectories.
In Exhibit 16, we present default rate forecasts under alternative scenarios. In this exhibit, we apply the same rating histories and
current ratings in all scenarios so that the only factors driving the different forecasts are economic assumptions. Under the most
pessimistic scenario (i.e., the “downside 4% scenario,” to which we ascribe only a 4% likelihood of occurring), the speculative-grade
default rate could jump to 9.1% at the end of 2022, a level close to the peak of 9.7% after the dot-com bubble but well below the peak
of 13.4% following the global financial crisis.
Unlike the baseline forecast, which expects the default rate to fall through the second quarter of 2022 and then to rise, this most
pessimistic forecast expects a continuing rise in the default rate over the next 12 months. In this scenario, we assume weaker market
conditions than in the baseline scenario, with the US high-yield spread widening to the 782 bps–1,314 range and the US unemployment
rate reversing its current declining trend and rising to the 6.5%–9.1% range over the same period.
Exhibit 16
Default rate forecasts under alternative scenarios
Scenario Baseline The downside 25% scenario The downside 10% scenario The downside 4% scenario
Scenario description Probability that the 50% 75% 90% 96%

economy will perform
better
Probability that the 50% 25% 10% 4%
economy will perform
worse
Assumptions for 2022 US unemployment* 3.5% 5.1% 8.7% 9.1%
US HY spread* 534 bps 574 bps 620 bps 782 bps
All corporates 2021 actual 0.8% 0.8% 0.8% 0.8%
default rate
2022 forecast 1.1% 1.4% 2.4% 4.4%
Speculative-grade default rate 2021 actual 1.7% 1.7% 1.7% 1.7%
2022 forecast 2.4% 3.0% 5.1% 9.1%
* Average in Q4 2022.
Sources: Bloomberg, Moody's Analytics and Moody's Investors Service
In the event of better virus containment than what we assume in the baseline scenario and an easing of inflation stress and supply-
chain disruptions, the global economy may grow more strongly than what we expect under the baseline scenario. Under this scenario,
the global default rate would edge down to 2.0% by December 2022, well below the pre-pandemic level of 3.3%. This optimistic
scenario assumes that the high-yield spread would range from 331 bps to 439 bps over the next four quarters and the unemployment
rate would fall to 3.0%, a level below the pre-pandemic rate, in this year's fourth quarter.
Hotel, Gaming & Leisure will have the highest default rate under our forecasts
Measured by default rate, the most troubled sector in 2022 will be Hotel, Gaming & Leisure, with a one-year default rate forecast
of 3.6%. This forecast is underpinned by the sector’s weak rating mix and watch/outlook distribution. The sector has recovered from
the lockdowns of 2020, but its longer-term recovery remains vulnerable to new virus outbreaks. Within this sector, we expect the
global lodging segment to grapple with a prolonged business and group travel recovery. We expect most cruise companies to return
to profitability in 2022 after two years of operating losses, but most companies in this segment are not likely to generate material
amounts of free cash flow until 2023. For gaming companies, 2022 will be better than 2021 in that fewer virus-related restrictions are
likely. Across regions, US regional gaming and Las Vegas margins remain strong, but growth in 2022 will likely slow compared with
outsized 2021 growth. We expect a gradual and bumpy recovery in Macao's visitation and gaming revenue in 2022 amid continued
stringent travel restrictions across China.
When measured by default count, Business Services will likely have the most defaults in 2022 because of the relatively large number
of low-rated companies in the sector. As for Construction & Building, the largest contributor to defaults last year, our model predicts a
decline in defaults in 2022. However, there is significant uncertainty and risk is skewed toward the upside, particularly in China, where
we expect a 5%-10% decline in contracted sales in the sector this year. Funding access will likely remain tight over the next six-to-12
months due to tightened regulations, and increased risk aversion stemming from China Evergrande’s financial distress and recent
defaults by other property developers. This will be challenging for financially weak developers with material near-term debt maturities.
Exhibit 17 shows one-year default rate forecasts by industry, using the same economic assumption for all industries. The industry
forecasts include both investment-grade and speculative-grade companies. The factors driving the different forecast default rates
include rating histories, current ratings, and watch/outlook status of the companies in these industries.
The exhibit also shows the default rate forecast implied by Expected Default Frequency (EDF). The EDF-implied default rate forecast
includes rated and unrated issuers. EDF 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 companies default. Default is highly likely when the market value of a company's assets is insufficient to cover
its liabilities at some future date – in other words, when it is insolvent. EDF-implied ratings indicate a worse default rate outlook for Oil
& Gas than the one suggested by our CTM. This indication reflects volatility in the equity market, which may not be fully captured in
rating actions. In addition, the EDF-implied default rate may also be higher because that portfolio includes some unrated issuers that
may have relatively weak credit quality.
Exhibit 17
One-year corporate default rate forecasts by industry
2021 Moody's Credit Transition Model (CTM) Forecast

Moody's Analytics' Expected Default Frequency (EDF) Forecast
SECTOR GROUP INDUSTRY

Moody's 35GROUP 0% 2% 4% 6% 8% 10% 12% 14% 16%
BANKING Banking
CAPITAL Automotive
INDUSTRIES Capital Equipment
Containers, Packaging, & Glass
Services: Business
Construction & Building
Chemicals, Plastics, & Rubber
Forest Products & Paper
Metals & Mining
CONSUMER Services: Consumer

INDUSTRIES Consumer goods: Non-durable
Hotel, Gaming, & Leisure
Beverage, Food, & Tobacco
Healthcare & Pharmaceuticals
Consumer goods: Durable
ENERGY & Energy: Oil & Gas

ENVIROMENT Energy: Electricity
Environmental Industries
MEDIA & Advertising, Printing & Publishing

PUBLISHING Diversified & Production
Broadcasting & Subscription
NONBANK FINANCE Finance

Insurance
REIT REIT
RETAIL & Retail

DISTRIBUTION Wholesale
SOVEREIGN & PUBLIC FINANCE Sovereign & Public Finance
TECHNOLOGY Telecommunications
Aerospace & Defense
High Tech Industries
TRANSPORTATION Consumer
Cargo
UTILITIES Water
Oil & Gas
Electric
0% 2% 4% 6% 8% 10% 12% 14% 16%
*CTM forecast is based on Moody’s CTM.

**EDF forecast is based on Moody’s KMV Model.
Fallen-angel risk will likely remain below historical average level in 2022
While the speculative-grade default rate forecast is helpful to high-yield investors, other investors may focus on investment-grade
companies and the risk of investment-grade companies becoming fallen angels. To address their questions, we use the CTM to predict
fallen-angel rates based on the same macro assumptions as in our baseline scenario in the default rate forecast. Our model predicts
that fallen-angel rates for Baa-rated companies will climb from the low level of 0.7% in 2021 to 2.5% in 2022. Similarly, the fallen-
angel rate for the entire investment-grade universe will rise to 1.4% from 0.4% (see Exhibit 18). These forecasts, if realized, will remain
low by historical standards. Our assumptions of slower economic growth and tighter monetary policies in 2022 than in 2021 are the
main drivers of these forecasts.
Exhibit 18
Fallen-angel rate may tick up in 2022 but will remain low by historical standards
Investment-grade Fallen Angel (Actual) Investment-grade Fallen Angel (Forecast)
Baa Fallen Angel Rate (Actual) Baa Fallen Angel Rate (Forecast)
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
Loan-heavy structures and cov-lite deals could put pressure on loan recoveries
As we discussed in our last two annual default studies, the low interest rate environment and investor demand for higher yields have
led to growth in leveraged loans in recent years. During the pandemic, many companies continued to tap into the loan market to raise
capital and shore up liquidity.
We remain cautious about loan recovery rates given the increase in loan-heavy structures that have few debt buffers below them. In
the extreme case, these structures are loan-only, with no bonds serving as debt buffers. In the worst cases, some so-called first-lien
bank loans are becoming bond-like and act as a buffer for asset-based loans, which are most senior in the capital structure. Based on
our recent loss given default assessments (LGDAs), we expect the average recovery rates of first-lien senior secured bank loans to be
59% in the event that they all default in 2022 (see Exhibit 19).
Another concern is the presence of “cov-lite” loans, which have expanded significantly and now constitute a majority of institutional
leveraged loans. Less-restrictive credit documentation provides borrowers with a greater set of options, which may allow them to delay
or avoid a default. However, that also increases the risk of further erosion for first-lien bank lenders because certain cov-lite deals may
provide greater allowances for collateral transfers to unrestricted subsidiaries.
On the bond side, we expect the frequent use of distressed exchanges to influence recoveries. Historically, distressed exchanges were
more focused on junior debt and had better recoveries on average. However, distressed exchanges do not always avert subsequent
bankruptcies, and bond recovery rates were often lower in subsequent defaults.
Exhibit 19
LGDAs suggest first-lien loan recovery rate will be near 60% in 2022
Actual Recovery Rate Recovery Rate Forecast
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
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 2018 2019 2020 2021 2022
Rating accuracy
Our ratings have historically proven to be effective predictors of default, as Exhibit 20 shows. The exhibit plots the median ratings of
more than 2,000 corporate issuers that defaulted from 1983 to 2021. Historically, rated issuers have been downgraded to B1 as early
as five years before default. The comparable rating was lower at B3 among issuers that defaulted in 2021. The median rating one year
before default was Caa2 among last year’s defaulters, two notches below the rating measured over the entire 1983-2021 period.
Exhibit 20
Median ratings before default, 2021 vs. long-term average
2021 1983-2021
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca
60 48 36 24 12 0
Months prior to default
The evolution of median ratings demonstrates that our corporate ratings correlate 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 ordinal accuracy of our ratings (see Exhibit 21). 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
because there are more issuers rated higher than the defaulters, or that defaulters are generally found in lower rating categories. The
exhibit shows that the AP of defaults was consistently high during the 1983-2021 period, with an average of 91.8% for the one-year
horizon and 86.6% for the five-year horizon. These percentages indicate that our ratings have been effective in predicting defaults
over both short- and long-term periods. In 2021, AP over the one-year horizon was roughly 91.9% while the metric over the five-year
horizon was about 89.0%; both were above their corresponding long-term averages.
Exhibit 21
One- and five-year average default position by cohort year, 1983-2021
One-year average default position Five-year average default position
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021
AP measures how well ratings rank-ordered default risk over the measured horizon.
Methodology and data sources

Moody's definition of default
Our definition of default is applicable only to debt or debtlike obligations (for example, 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 is a technical
paper that explains how we calculate default rates, transition rates and rating performance metrics in detail.
Changes in this year's report

We occasionally discover historical defaults, leading to minor revisions of the historical data. As always, the data contained in our most
recently published default study supersede the data in previous reports. Last year, some issuers' industry groups were reclassified. This
has led to some minor changes in sector-based default and recovery rates.
Data sources
We base 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, our data covers the credit experiences of more than 20,000 corporate issuers that sold long-term
public debt at some time between 1920 and 2021. As of January 1, 2021, more than 6,000 corporate issuers held a Moody’s long-term
bond, loan, deposit or corporate family rating.
Our database of corporate defaults covers more than 3,000 long-term bond and loan defaults by rated and nonrated issuers.
Additional data sources, such as Barclay’s Fixed Income Index data, supplemented our proprietary data in the construction of the
aggregate dollar volume-weighted default rates. Defaulted bond pricing data was derived from Bloomberg, ThomsonReuters, 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 1983-2021 period, the data set includes post-default prices for approximately 5,000 defaulted instruments issued
by over 1,700 defaulting corporations. We make the 1970-2021 credit rating, default and recovery rate data used in this study available
through the Default and Recovery Database.
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 20 was derived by
mapping our ratings to a linear scale, then taking the median values of the numerically mapped ratings. Exhibit 29 shows average
senior unsecured recovery rates by letter rating and year before default. Each cell in the table indicates the average recovery rate on
senior unsecured bonds with a specific rating within T years of default. For example, the 36.6% two-year B recovery rate reported in
Exhibit 29 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.
Exhibits 39 through 43 show issuer-weighted historical average default rates by rating category over various investment horizons.
These data were generated by averaging the multiyear 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 20.2% average rate between 1983 and 2021 (see Exhibit 41). For an investor with a five-
year exposure to a B-rated debt obligation or counterparty, this estimate also happens to be the best estimate of the expected risk of
default for a B-rated exposure based on the available historical data, particularly over long investment horizons.
Exhibit 47 shows average cumulative volume-weighted default rates by rating category. Whereas issuer-based default rates weight
each issuer equally, these data weight each issuer by the total volume of defaulted bonds, so larger defaults receive relatively more
weight. Average default rates based on bond volume affected are less suitable estimates of expected default risk. One reason is that
issuer default volumes vary considerably over time. On average, a leveraged corporate issuer defaults on approximately $300 million
of bonds. However, that total has been as high as $30 billion (WorldCom). Issuer-based default rates receive particular emphasis in the
rating process because the expected likelihood of default of a debt issuer holding a given rating is expected to be the same regardless of
differences in the nominal sizes of the exposures.
Exhibit 48 shows the cumulative issuer-weighted historical default rates of cohorts formed between the years 1970 and 2021 (January
1 of each year). These data are a subset of the data used to calculate the issuer-weighted averages shown in Exhibits 39 through 41
(which, again, are based on cohorts formed at monthly time intervals). The default rates in Exhibit 48 may be useful for scenario
analysis. For example, if one believed that future default rates for a given pool of issuers will behave as they did in, say, 1997, then one
can use the January 1, 1997 cohort cumulative default rates as proxies for expected default rates.
Appendix
Exhibit 22
Moody’s-rated 2021 corporate defaults*
Company Domicile Default Month . Broad Default Type Bond ($ mil) Loan ($ mil)
AI Mistral (Luxembourg) Subco S.ar.l. United Kingdom 2021.03 Distressed exchange 228
Alpha Holding, S.A. de C.V. Mexico 2021.07 Missed interest payment 700
Altera Infrastructure L.P. United Kingdom 2021.08 Distressed exchange 411
Array Canada Marketing Inc. Canada 2021.09 Distressed exchange 326
Arvos BidCo S.a.r.l. Germany 2021.02 Distressed exchange 197
Automotores Gildemeister S.A. Chile 2021.04 Missed interest payment 543
Basic Energy Services, Inc. United States 2021.05 Missed interest payment 300 36
Belk, Inc. United States 2021.02 Missed principal payment 2,450
Bioplan USA, Inc. United States 2021.02 Distressed exchange 405
Boart Longyear Management Pty Limited United States 2021.08 Chapter 15 403 190
Carlson Travel, Inc. United States 2021.07 Missed interest payment 1,057
CDRH Parent, Inc. United States 2021.05 Distressed exchange 250
China Aoyuan Group Limited China 2021.12 Missed interest payment 131
China Fortune Land Development Co., Ltd. China 2021.02 Missed principal payment 2,424
CIBT Global, Inc. United States 2021.06 Distressed exchange 535
Codere S.A. Spain 2021.04 Distressed exchange 1,168
Dr. Peng Telecom & Media Group Co., Ltd. China 2021.12 Missed principal and interest payments 245
Exela Intermediate LLC United States 2021.08 Distressed exchange 954 53
Fantasia Holdings Group Co., Limited China 2021.10 Missed principal and interest payments 206
GCL New Energy Holdings Limited China 2021.01 Missed principal payment 500
Generacion Mediterranea S.A Argentina 2021.11 Distressed exchange 269 51
Genneia S.A. Argentina 2021.09 Distressed exchange 461
Glass Mountain Pipeline Holdings, LLC United States 2021.08 Missed interest payment 290
Global Liman Isletmeleri A.S. Turkey 2021.04 Distressed exchange 50
GTT Communications, Inc. United States 2021.07 Missed interest payment 575 2,873
Gulf Finance, LLC United States 2021.11 Distressed exchange 1,550
HighPoint Operating Corporation United States 2021.03 Prepackaged Chapter 11 625 158
Imagina Media Audiovisual, S.L. Spain 2021.06 Missed principal and interest payments 1,044
Imagine! Print Solutions, LLC United States 2021.01 Distressed exchange 475
Interprombank, JSCB Russia 2021.04 Liquidated 165
Intralot S.A. Greece 2021.08 Distressed exchange 434
Invictus Media S.L.U. Spain 2021.06 Missed principal and interest payments 0
IPC Corp. United States 2021.10 Distressed exchange 316
Kaisa Group Holdings Ltd China 2021.12 Missed principal and interest payments 2,200
Medical Depot Holdings, Inc. United States 2021.03 Distressed exchange 756
Modern Land (China) Co., Limited China 2021.10 Missed principal and interest payments 250
Nine Energy Service, Inc. United States 2021.03 Distressed exchange 26
Obrascon Huarte Lain S.A. Spain 2021.04 Missed interest payment 707
Pan Brothers Tbk (P.T.) Indonesia 2021.02 Missed principal payment 200 139
Peabody Energy Corporation United States 2021.01 Distressed exchange 466
Pearl Holding III Limited Singapore 2021.07 Missed interest payment 175
Renfro Corporation United States 2021.02 Distressed exchange 152
Riverbed Technology, Inc. United States 2021.11 Prepackaged Chapter 11 9 1,816
Serta Simmons Bedding, LLC United States 2021.04 Distressed exchange 117
Sichuan Languang Development Co., Ltd. China 2021.07 Missed principal and interest payments 460
Sri Rejeki Isman Tbk (P.T.) Indonesia 2021.04 Missed interest payment 375 250
Tianji Holding Limited China 2021.12 Missed interest payment 1,235
Vericast Corp. United States 2021.09 Distressed exchange 258
Voyager Aviation Holdings, LLC United States 2021.05 Distressed exchange 415
Washington Prime Group, L.P. United States 2021.03 Missed interest payment 721 1,402
Yango Group Co., Ltd China 2021.11 Distressed exchange 700
Yestar Healthcare Holdings Company Limited China 2021.10 Missed principal and interest payments 200
YPF Energia Electrica S.A. Argentina 2021.04 Distressed exchange 100
YPF Sociedad Anonima Argentina 2021.02 Distressed exchange 1,978
* This list only includes companies that have rated bonds, loans and/or deposits within one year before default. Only issuers included in the January 1 cohort are included in the annual
default rates in this report. The list only includes 54 companies, which initially defaulted in 2021. In addition to these 54 companies, three issuers that initially defaulted in prior years
experienced follow-on defaults in 2021 on $0.7 billion of debt, all being bonds. We include such $0.7 billion in the 2021 default volume.
Exhibit 23
Annual Moody's-rated global corporate issuer default counts, 1920-2021*
Year IG SG All
1920 8 25 33
1921 7 25 32
1922 10 23 33
1923 5 22 27
1924 3 37 40
1925 7 34 41
1926 4 18 22
1927 1 15 16
1928 0 8 8
1929 3 12 15
1930 2 21 23
1931 6 78 84
1932 10 108 118
1933 9 189 198
1934 5 60 65
1935 9 51 60
1936 3 19 22
1937 4 18 22
1938 9 17 26
1939 2 13 15
1940 2 22 24
1941 0 10 10
1942 0 4 4
1943 0 3 3
1944 0 3 3
1945 0 2 2
1946 0 0 0
1947 0 2 2
1948 0 0 0
1949 0 5 5
1950 0 0 0
1951 0 1 1
1952 0 0 0
1953 0 0 0
1954 0 1 1
1955 0 1 1
1956 0 0 0
1957 0 1 1
1958 0 0 0
1959 0 0 0
1960 0 2 2
1961 0 3 3
1962 0 4 4
1963 0 3 3
1964 0 0 0
1965 0 0 0
1966 0 1 1
1967 0 0 0
1968 0 1 1
1969 0 0 0
1970 2 25 27
Year IG SG All
1971 0 3 3
1972 0 5 5
1973 2 3 5
1974 0 3 3
1975 0 4 4
1976 0 2 2
1977 1 3 4
1978 0 4 4
1979 0 1 1
1980 0 4 4
1981 0 2 2
1982 2 11 13
1983 0 14 14
1984 2 11 13
1985 0 16 16
1986 3 33 36
1987 0 31 31
1988 0 32 32
1989 4 50 54
1990 1 88 89
1991 1 68 69
1992 0 33 33
1993 0 23 23
1994 0 19 19
1995 0 29 29
1996 0 18 18
1997 0 25 25
1998 1 50 51
1999 1 106 107
2000 4 124 128
2001 4 179 183
2002 12 136 148
2003 0 91 91
2004 0 41 41
2005 2 31 33
2006 0 31 31
2007 0 20 20
2008 21 119 140
2009 14 258 272
2010 3 62 65
2011 6 44 50
2012 1 68 69
2013 3 68 71
2014 2 56 58
2015 0 109 109
2016 0 139 139
2017 0 106 106
2018 0 74 74
2019 2 96 98
2020 2 204 206
2021 0 50 50
* Only includes companies in January 1 cohort.

Exhibit 24
Annual rated global corporate bond and loan default volumes, 1970-2021* (in $ million)
Investment-grade Speculative-grade All Ratings
Year Bond Loan Total Bond Loan Total Bond Loan Total
1970 $154.04 $0.00 $154.04 $756.43 $0.00 $756.43 $910.47 $0.00 $910.47
1971 $0.00 $0.00 $0.00 $131.84 $0.00 $131.84 $131.84 $0.00 $131.84
1972 $0.00 $0.00 $0.00 $215.08 $0.00 $215.08 $215.08 $0.00 $215.08
1973 $17.37 $0.00 $17.37 $94.30 $0.00 $94.30 $111.67 $0.00 $111.67
1974 $0.00 $0.00 $0.00 $69.36 $0.00 $69.36 $69.36 $0.00 $69.36
1975 $0.00 $0.00 $0.00 $175.60 $0.00 $175.60 $175.60 $0.00 $175.60
1976 $0.00 $0.00 $0.00 $33.97 $0.00 $33.97 $33.97 $0.00 $33.97
1977 $67.97 $0.00 $67.97 $179.49 $0.00 $179.49 $247.46 $0.00 $247.46
1978 $0.00 $0.00 $0.00 $111.88 $0.00 $111.88 $111.88 $0.00 $111.88
1979 $0.00 $0.00 $0.00 $18.36 $0.00 $18.36 $18.36 $0.00 $18.36
1980 $0.00 $0.00 $0.00 $302.17 $0.00 $302.17 $302.17 $0.00 $302.17
1981 $0.00 $0.00 $0.00 $47.46 $0.00 $47.46 $47.46 $0.00 $47.46
1982 $243.10 $0.00 $243.10 $515.12 $0.00 $515.12 $758.22 $0.00 $758.22
1983 $0.00 $0.00 $0.00 $1,187.10 $0.00 $1,187.10 $1,187.10 $0.00 $1,187.10
1984 $215.29 $0.00 $215.29 $385.80 $0.00 $385.80 $601.09 $0.00 $601.09
1985 $0.00 $0.00 $0.00 $1,354.39 $0.00 $1,354.39 $1,354.39 $0.00 $1,354.39
1986 $138.24 $0.00 $138.24 $4,003.96 $0.00 $4,003.96 $4,142.20 $0.00 $4,142.20
1987 $0.00 $0.00 $0.00 $8,940.66 $276.50 $9,217.16 $8,940.66 $276.50 $9,217.16
1988 $0.00 $0.00 $0.00 $5,641.96 $361.00 $6,002.96 $5,641.96 $361.00 $6,002.96
1989 $1,505.93 $0.00 $1,505.93 $9,656.50 $0.00 $9,656.50 $11,162.43 $0.00 $11,162.43
1990 $0.00 $0.00 $0.00 $20,429.13 $1,830.80 $22,259.93 $20,429.13 $1,830.80 $22,259.93
1991 $1,348.00 $0.00 $1,348.00 $15,545.95 $678.02 $16,223.96 $16,893.95 $678.02 $17,571.96
1992 $0.00 $0.00 $0.00 $6,666.73 $956.12 $7,622.85 $6,666.73 $956.12 $7,622.85
1993 $0.00 $0.00 $0.00 $2,616.51 $486.73 $3,103.24 $2,616.51 $486.73 $3,103.24
1994 $0.00 $0.00 $0.00 $2,713.41 $299.36 $3,012.77 $2,713.41 $299.36 $3,012.77
1995 $0.00 $0.00 $0.00 $5,400.60 $372.30 $5,772.90 $5,400.60 $372.30 $5,772.90
1996 $0.00 $0.00 $0.00 $4,106.13 $1,435.00 $5,541.13 $4,106.13 $1,435.00 $5,541.13
1997 $0.00 $0.00 $0.00 $5,024.25 $948.00 $5,972.25 $5,024.25 $948.00 $5,972.25
1998 $399.00 $0.00 $399.00 $9,469.31 $3,299.09 $12,768.40 $9,868.31 $3,299.09 $13,167.40
1999 $460.92 $1,225.00 $1,685.92 $26,216.76 $14,053.62 $40,270.38 $26,677.68 $15,278.62 $41,956.30
2000 $4,115.47 $3,950.00 $8,065.47 $25,360.01 $26,101.29 $51,461.30 $29,475.48 $30,051.29 $59,526.76
2001 $21,195.04 $5,363.00 $26,558.04 $78,696.99 $34,103.46 $112,800.44 $99,892.03 $39,466.46 $139,358.48
2002 $46,350.40 $13,157.86 $59,508.26 $115,778.89 $41,120.83 $156,899.73 $162,129.29 $54,278.70 $216,407.99
2003 $0.00 $869.50 $869.50 $38,667.20 $10,308.30 $48,975.50 $38,667.20 $11,177.80 $49,845.00
2004 $0.00 $0.00 $0.00 $16,409.17 $4,712.41 $21,121.59 $16,409.17 $4,712.41 $21,121.59
2005 $2,155.00 $2,825.00 $4,980.00 $27,629.41 $8,744.57 $36,373.98 $29,784.41 $11,569.57 $41,353.98
2006 $0.00 $0.00 $0.00 $7,940.48 $2,629.60 $10,570.08 $7,940.48 $2,629.60 $10,570.08
2007 $0.00 $0.00 $0.00 $6,613.67 $1,983.00 $8,596.67 $6,613.67 $1,983.00 $8,596.67
2008 $182,072.71 $10,379.55 $192,452.26 $51,362.38 $32,471.53 $83,833.91 $233,435.09 $42,851.08 $276,286.17
2009 $35,703.75 $21,930.72 $57,634.47 $149,188.72 $122,494.58 $271,683.30 $184,892.48 $144,425.30 $329,317.78
2010 $4,046.86 $0.00 $4,046.86 $22,256.05 $14,041.55 $36,297.60 $26,302.90 $14,041.55 $40,344.45
2011 $6,561.44 $1,410.88 $7,972.32 $22,695.92 $4,906.15 $27,602.08 $29,257.36 $6,317.03 $35,574.40
2012 $323.07 $0.00 $323.07 $35,000.73 $18,289.37 $53,290.10 $35,323.80 $18,289.37 $53,613.17
2013 $2,408.45 $0.00 $2,408.45 $28,949.27 $13,804.59 $42,753.86 $31,357.71 $13,804.59 $45,162.31
2014 $939.11 $0.00 $939.11 $40,391.50 $30,370.39 $70,761.90 $41,330.62 $30,370.39 $71,701.01
2015 $0.00 $0.00 $0.00 $75,639.39 $19,793.76 $95,433.15 $75,639.39 $19,793.76 $95,433.15
2016 $0.00 $0.00 $0.00 $90,823.35 $43,648.40 $134,471.75 $90,823.35 $43,648.40 $134,471.75
2017 $0.00 $0.00 $0.00 $57,687.80 $27,397.37 $85,085.17 $57,687.80 $27,397.37 $85,085.17
2018 $0.00 $0.00 $0.00 $49,468.14 $25,892.25 $75,360.39 $49,468.14 $25,892.25 $75,360.39
2019 $17,573.40 $3,855.00 $21,428.40 $55,414.13 $32,653.05 $88,067.17 $72,987.53 $36,508.05 $109,495.58
2020 $755.68 $1,766.13 $2,521.81 $127,004.44 $99,359.83 $226,364.27 $127,760.12 $101,125.96 $228,886.08
2021 $0.00 $0.00 $0.00 $20,541.21 $11,923.41 $32,464.62 $20,541.21 $11,923.41 $32,464.62
* Only include companies in Jan 1 cohort.

Exhibit 25
Annual issuer default counts and volume by geographical region, 1986-2021*
Default Count Default Volume (in $ mil)
Africa & Africa &
Year Middle East Asia Pacific Europe Latin America North America Middle East Asia Pacific Europe Latin America North America
1986 0 0 0 0 36 $0 $0 $0 $0 $4,142
1987 0 0 0 0 32 $0 $0 $0 $0 $9,297
1988 0 0 0 0 32 $0 $0 $0 $0 $6,003
1989 0 4 0 0 51 $0 $969 $0 $0 $10,253
1990 0 1 1 0 90 $0 $200 $516 $0 $22,097
1991 0 0 2 0 71 $0 $0 $1,228 $0 $16,753
1992 0 0 0 0 34 $0 $0 $0 $0 $7,673
1993 0 0 0 0 24 $0 $0 $0 $0 $3,104
1994 0 0 1 0 18 $0 $0 $774 $0 $2,238
1995 0 0 0 1 30 $0 $0 $0 $100 $5,774
1996 0 0 0 1 19 $0 $0 $0 $207 $5,930
1997 0 2 0 2 21 $0 $614 $0 $310 $5,048
1998 0 4 5 0 44 $0 $1,444 $707 $0 $11,241
1999 0 8 9 8 88 $0 $4,458 $3,950 $2,018 $33,299
2000 0 4 4 3 118 $0 $4,453 $866 $305 $53,970
2001 0 11 15 7 150 $0 $10,280 $10,540 $2,034 $116,505
2002 2 2 25 17 102 $150 $1,842 $47,555 $10,424 $156,437
2003 0 3 7 12 70 $0 $625 $2,927 $4,933 $41,485
2004 1 0 5 1 38 $183 $0 $2,311 $1,093 $18,304
2005 0 0 1 1 32 $0 $0 $207 $100 $41,151
2006 0 0 7 2 23 $0 $0 $1,601 $167 $9,295
2007 0 0 4 0 16 $0 $0 $2,230 $0 $6,367
2008 0 3 52 3 93 $0 $625 $53,374 $705 $227,946
2009 1 16 31 11 225 $650 $6,989 $28,413 $3,031 $295,225
2010 0 3 10 3 54 $0 $6,913 $9,713 $487 $25,384
2011 0 0 16 1 36 $0 $0 $10,102 $358 $27,149
2012 1 1 13 5 51 $48 $1,805 $17,441 $3,077 $33,780
2013 0 2 26 10 36 $0 $546 $24,263 $4,880 $23,091
2014 1 5 16 5 32 $350 $4,000 $9,974 $4,539 $53,092
2015 1 9 30 10 69 $456 $4,114 $16,106 $4,314 $75,157
2016 2 2 20 12 110 $945 $1,806 $16,248 $26,135 $91,785
2017 1 7 30 3 67 $553 $2,336 $20,684 $19,478 $42,504
2018 0 5 13 5 57 $0 $4,161 $7,950 $8,559 $57,417
2019 3 5 13 3 81 $0 $2,549 $7,418 $7,800 $101,008
2020 3 17 40 13 144 $2,845 $13,053 $41,597 $9,350 $168,972
2021 0 14 10 6 24 $0 $10,356 $4,402 $4,103 $19,959
* Includes defaults outside of January 1 cohort.

Exhibit 26
2021 defaulted corporate bond and loan recoveries*
Loans Bond
Company Name Default Type 1st Lien 2nd Lien 1st Lien 2nd Lien Sr. Unsec Sr Sub
Alpha Holding, S.A. de C.V. Payment default 12.26%
Altera Infrastructure L.P. Distressed exchange 92.62%
Array Canada Marketing Inc. Distressed exchange 64.71%
Automotores Gildemeister S.A. Payment default 77.75% 42.88%
Basic Energy Services, Inc. Payment default 19.21%
Belk, Inc. Payment default 37.50%
Bioplan USA, Inc. Distressed exchange 47.50%
Boart Longyear Management Pty Limited Bankruptcy 80.00% 17.00%
Carlson Travel, Inc. Payment default 83.83%
CDRH Parent, Inc. Distressed exchange 6.50%
China Fortune Land Development Co., Ltd. Payment default 40.07%
Cia Latinoamericana de Infraestructura & Servicios SA Distressed exchange 44.00% 44.00%
CIBT Global, Inc. Distressed exchange 87.70% 52.00%
Codere S.A. Distressed exchange 64.13%
Comdata S.p.A. Payment default 65.38%
Dr. Peng Telecom & Media Group Co., Ltd. Payment default 46.75%
Exela Intermediate LLC Distressed exchange 75.48% 77.13%
Fantasia Holdings Group Co., Limited Payment default 37.13%
gategroup Holding AG Distressed exchange 89.49%
GCL New Energy Holdings Limited Payment default 83.46%
Generacion Mediterranea S.A Distressed exchange 82.25%
Genneia S.A. Distressed exchange 96.25%
Glass Mountain Pipeline Holdings, LLC Payment default 37.50%
Global Liman Isletmeleri A.S. Distressed exchange 86.72%
GTT Communications, Inc. Payment default 83.45% 10.00%
Gulf Finance, LLC Distressed exchange 96.44%
Hilong Holding Limited Payment default 78.25%
Imagina Media Audiovisual, S.L. Payment default 94.96% 64.50%
Imagine! Print Solutions, LLC Distressed exchange 28.92% 2.75%
Intralot S.A. Distressed exchange 72.85%
ION Geophysical Corporation Distressed exchange 98.13%
IPC Corp. Distressed exchange 27.50%
Kaisa Group Holdings Ltd Payment default 28.75% 22.35%
Medical Depot Holdings, Inc. Distressed exchange 17.25%
Modern Land (China) Co., Limited Payment default 26.50%
Nine Energy Service, Inc. Distressed exchange 33.57%
Obrascon Huarte Lain S.A. Payment default 71.00%
Pan Brothers Tbk (P.T.) Payment default 33.50%
Peabody Energy Corporation Distressed exchange 81.07%
Renfro Corporation Distressed exchange 37.42%
Riverbed Technology, Inc. Bankruptcy 89.83% 28.10%
Serta Simmons Bedding, LLC Distressed exchange 61.11%
Sichuan Languang Development Co., Ltd. Payment default 8.64%
Sinic Holdings (Group) Company Limited Payment default 12.00%
Sri Rejeki Isman Tbk (P.T.) Payment default 19.00%
Tianji Holding Limited Payment default 12.00%
Tibet Financial Leasing Co., Ltd. Distressed exchange 91.19%
Vericast Corp. Distressed exchange 94.68%
Voyager Aviation Holdings, LLC Distressed exchange 40.30%
Washington Prime Group, L.P. Payment default 63.35%
Yango Group Co., Ltd Distressed exchange 30.08%
YPF Sociedad Anonima Distressed exchange 75.17%
* Based on trading prices.

Exhibit 27
Annual defaulted corporate bond and loan recoveries*
Loan Bond
Year 1st Lien 1st Lien Sr. Unsec. Sr. Sub. Sub. Jr. Sub. All Bonds
1983 n.a. 40.0% 52.7% 43.5% 41.1% n.a. 44.5%
1984 n.a. n.a. 49.4% 67.9% 44.3% n.a. 45.5%
1985 n.a. 83.6% 60.2% 29.6% 39.7% 48.5% 43.6%
1986 n.a. 59.2% 49.5% 46.8% 41.4% n.a. 47.2%
1987 n.a. 71.0% 63.8% 46.5% 46.9% n.a. 51.3%
1988 n.a. 55.4% 45.2% 31.4% 33.8% 36.5% 38.5%
1989 n.a. 46.5% 43.6% 35.7% 26.8% 16.9% 32.5%
1990 72.0% 33.8% 38.2% 25.5% 19.5% 10.7% 25.8%
1991 67.9% 50.2% 36.6% 41.8% 24.4% 7.8% 35.5%
1992 60.6% 62.1% 49.2% 49.4% 38.0% 13.5% 45.9%
1993 53.4% n.a. 37.1% 51.9% 44.1% n.a. 43.1%
1994 67.6% 69.3% 53.7% 29.6% 38.0% 40.0% 45.6%
1995 75.4% 62.0% 47.6% 34.3% 41.5% n.a. 43.3%
1996 85.5% 47.6% 62.8% 43.8% 22.6% n.a. 41.5%
1997 81.3% 72.0% 56.1% 44.7% 33.1% 30.6% 47.6%
1998 59.9% 46.8% 39.5% 45.0% 18.2% 62.0% 38.3%
1999 73.6% 39.1% 38.0% 26.9% 35.6% n.a. 34.3%
2000 68.8% 40.2% 24.2% 20.8% 31.9% 15.5% 25.3%
2001 64.9% 33.6% 21.4% 19.8% 15.9% 47.0% 21.8%
2002 58.4% 50.8% 29.7% 21.4% 23.4% n.a. 30.0%
2003 73.4% 63.0% 41.9% 37.8% 12.3% n.a. 40.8%
2004 87.7% 73.3% 52.1% 42.3% 94.0% n.a. 58.5%
2005 83.8% 69.2% 54.9% 32.8% 51.3% n.a. 56.5%
2006 83.6% 74.6% 55.0% 41.4% 56.1% n.a. 55.0%
2007 68.6% 86.1% 53.7% 56.2% n.a. n.a. 57.4%
2008 61.7% 52.5% 33.5% 23.3% 29.5% n.a. 34.1%
2009 53.6% 37.3% 36.7% 23.1% 45.3% 8.5% 33.9%
2010 70.9% 57.6% 48.2% 37.5% 33.7% n.a. 51.1%
2011 69.9% 70.5% 43.6% 42.8% 31.9% n.a. 46.7%
2012 66.4% 57.6% 43.3% 29.9% 40.3% n.a. 44.5%
2013 76.2% 68.8% 45.1% 20.7% 26.4% n.a. 46.2%
2014 78.4% 73.6% 47.0% 39.1% 38.8% n.a. 48.5%
2015 63.7% 54.8% 37.6% 36.6% 58.5% 14.0% 41.1%
2016 66.2% 47.9% 32.2% 36.7% 24.5% 0.6% 36.7%
2017 69.6% 65.4% 54.3% 38.0% 42.6% 17.5% 56.1%
2018 69.4% 58.8% 47.2% 45.6% n.a. n.a. 51.4%
2019 57.9% 60.3% 32.3% 64.7% 40.0% n.a. 41.3%
2020 59.8% 52.5% 34.6% 14.1% n.a. n.a. 38.4%
2021 68.8% 58.2% 51.0% 17.0% n.a. n.a. 53.6%
* Measured by trading prices.

Exhibit 28
Average defaulted corporated bond and loan recoveries by industry, 1983-2021
Recoveries* Observation Counts
1Lien 1Lien Sr Unsec Sr. Sub Sub 1Lien 1Lien Sr Unsec Sr. Sub Sub
Industry groups Loan Bond Bond Bond Bond Loan Bond Bond Bond Bond
Aerospace & Defense 58.12% n.a. 49.28% 23.29% 40.75% 4 0 10 9 7
Automotive 68.66% 57.94% 47.62% 23.93% 49.46% 37 4 37 28 5
Banking n.a. 7.00% 41.18% 20.01% 31.42% 0 1 58 7 65
Beverage, Food, & Tobacco 80.17% 55.46% 40.67% 27.48% 33.97% 19 16 31 19 10
Capital Equipment 64.24% 64.04% 30.04% 34.22% 39.64% 29 10 27 30 15
Chemicals, Plastics, & Rubber 67.65% 47.91% 29.35% 23.56% 63.56% 11 17 23 12 2
Construction & Building 57.84% 66.01% 41.76% 25.29% 28.49% 27 8 69 24 20
Consumer goods: Durable 63.30% 44.23% 33.96% 28.86% 29.40% 10 5 12 15 10
Consumer goods: Non-durable 62.91% 40.96% 33.60% 33.15% 38.65% 34 7 29 37 11
Containers, Packaging, & Glass 76.45% 63.15% 52.14% 36.47% 42.04% 5 9 12 11 3
Energy: Electricity 75.27% 80.85% 57.14% 78.92% 22.26% 5 13 26 2 4
Energy: Oil & Gas 68.96% 56.31% 36.97% 37.97% 39.10% 64 45 174 28 36
Environmental Industries 61.04% 13.00% 29.73% 27.08% 13.63% 8 1 7 6 3
Finance 70.48% 47.60% 45.86% 36.80% 28.92% 10 5 36 11 15
Forest Products & Paper 73.62% 50.58% 37.28% 20.54% 1.47% 9 15 36 9 3
Healthcare & Pharmaceuticals 67.30% 79.08% 42.06% 33.02% 35.28% 30 4 26 30 30
High Tech Industries 59.34% 52.85% 34.73% 26.06% 23.17% 19 13 25 22 38
Hotel, Gaming, & Leisure 71.44% 55.17% 37.38% 31.42% 26.03% 36 43 43 36 17
Insurance 86.17% 96.25% 37.89% 45.96% 43.19% 2 1 10 4 6
Media: Advertising, Printing & Publishing 56.31% 49.11% 28.45% 22.00% 50.88% 35 19 20 23 4
Media: Broadcasting & Subscription 66.11% 40.03% 41.90% 39.09% 29.08% 19 12 50 29 13
Media: Diversified & Production 71.93% 14.00% 41.25% 32.92% 45.15% 5 2 7 3 3
Metals & Mining 60.84% 40.52% 36.64% 32.12% 45.75% 17 38 71 10 11
REIT 61.90% 44.00% 43.12% 12.99% 26.96% 5 2 15 3 7
Retail 60.84% 58.37% 35.73% 34.42% 22.20% 67 34 79 46 27
Services: Business 69.02% 72.00% 46.17% 28.86% 41.48% 45 21 28 11 6
Services: Consumer 61.29% 35.22% 53.95% 49.13% n.a. 12 2 7 5 0
Sovereign & Public Finance n.a. 31.43% 50.80% n.a. n.a. 0 3 7 0 0
Telecommunications 60.10% 56.80% 25.43% 31.01% 31.56% 34 19 139 20 17
Transportation: Cargo 66.65% 51.64% 43.70% 35.41% 32.49% 18 19 34 12 5
Transportation: Consumer 84.03% 53.20% 33.83% 43.58% 29.85% 4 10 31 3 13
Utilities: Electric 100.75% 69.13% 55.17% n.a. 27.13% 1 9 17 0 2
Utilities: Oil & Gas n.a. 85.00% 64.56% n.a. 57.50% 0 1 2 0 1
Utilities: Water n.a. n.a. 92.00% n.a. n.a. 0 0 1 0 0
Wholesale 65.68% 53.81% 35.73% 14.15% 36.99% 15 4 14 9 5
* Measured by trading prices.

Exhibit 29
Average senior unsecured bond recovery rates by year before default, 1983-2021*
Rating\Horizon(Year) 1 2 3 4 5
Aaa** 3.3% 3.3% 61.9% 69.6%
Aa 37.2% 39.0% 38.1% 44.0% 42.2%
A 35.1% 45.3% 46.9% 46.3% 45.7%
Baa 42.3% 44.0% 44.4% 44.5% 44.1%
Ba 43.2% 42.4% 41.4% 41.1% 41.0%
B 37.0% 36.6% 37.3% 37.8% 38.4%
Caa_C 38.3% 38.5% 38.4% 38.4% 38.4%
IG 40.6% 43.9% 44.8% 45.1% 44.6%
SG 38.2% 38.1% 38.2% 38.4% 38.7%
All Ratings 38.3% 38.4% 38.6% 38.9% 39.2%
* 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 30
Annual credit loss rates By letter rating, 1983-2021*
Loss rates Aaa Aa A Baa Ba B Caa-C IG SG All
1983 0.0% 0.0% 0.0% 0.0% 0.5% 1.0% 21.3% 0.0% 2.0% 0.4%
1984 0.0% 0.0% 0.0% 0.3% 0.3% 2.6% 9.2% 0.1% 1.6% 0.4%
1985 0.0% 0.0% 0.0% 0.0% 0.3% 2.8% 2.5% 0.0% 1.5% 0.4%
1986 0.0% 0.0% 0.0% 0.4% 1.2% 5.2% 8.2% 0.1% 3.1% 0.9%
1987 0.0% 0.0% 0.0% 0.0% 1.1% 1.9% 3.6% 0.0% 1.5% 0.5%
1988 0.0% 0.0% 0.0% 0.0% 0.7% 3.1% 6.8% 0.0% 2.0% 0.7%
1989 0.0% 0.3% 0.0% 0.3% 1.7% 4.2% 11.5% 0.1% 3.3% 1.2%
1990 0.0% 0.0% 0.0% 0.2% 2.2% 8.5% 27.9% 0.0% 6.5% 2.2%
1991 0.0% 0.0% 0.0% 0.2% 2.4% 8.3% 10.1% 0.0% 5.8% 1.8%
1992 0.0% 0.0% 0.0% 0.0% 0.2% 3.9% 8.0% 0.0% 2.5% 0.7%
1993 0.0% 0.0% 0.0% 0.0% 0.4% 2.7% 8.8% 0.0% 2.1% 0.6%
1994 0.0% 0.0% 0.0% 0.0% 0.0% 1.9% 2.5% 0.0% 1.1% 0.3%
1995 0.0% 0.0% 0.0% 0.0% 0.1% 2.0% 6.1% 0.0% 1.6% 0.5%
1996 0.0% 0.0% 0.0% 0.0% 0.0% 0.6% 3.7% 0.0% 0.6% 0.2%
1997 0.0% 0.0% 0.0% 0.0% 0.1% 0.9% 4.0% 0.0% 0.8% 0.3%
1998 0.0% 0.0% 0.0% 0.1% 0.5% 2.3% 5.0% 0.0% 1.8% 0.7%
1999 0.0% 0.0% 0.0% 0.1% 0.9% 3.1% 9.4% 0.0% 3.3% 1.3%
2000 0.0% 0.0% 0.0% 0.3% 1.1% 4.2% 13.7% 0.1% 4.6% 1.9%
2001 0.0% 0.0% 0.1% 0.1% 0.9% 6.8% 22.5% 0.1% 7.3% 2.8%
2002 0.0% 0.0% 0.1% 0.6% 1.2% 3.3% 18.6% 0.3% 5.5% 2.1%
2003 0.0% 0.0% 0.0% 0.0% 0.5% 1.6% 11.8% 0.0% 3.1% 1.1%
2004 0.0% 0.0% 0.0% 0.0% 0.2% 0.4% 5.5% 0.0% 1.2% 0.4%
2005 0.0% 0.0% 0.0% 0.1% 0.0% 0.4% 3.2% 0.0% 0.8% 0.3%
2006 0.0% 0.0% 0.0% 0.0% 0.1% 0.5% 2.6% 0.0% 0.7% 0.3%
2007 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.3% 0.0% 0.5% 0.2%
2008 0.0% 0.3% 0.3% 0.7% 1.5% 2.7% 7.2% 0.4% 3.6% 1.7%
2009 0.0% 0.0% 0.1% 0.6% 1.1% 4.3% 16.8% 0.3% 7.7% 3.1%
2010 0.0% 0.0% 0.1% 0.0% 0.0% 0.2% 4.5% 0.0% 1.6% 0.6%
2011 0.0% 0.1% 0.0% 0.2% 0.1% 0.2% 3.5% 0.1% 1.2% 0.5%
2012 0.0% 0.0% 0.0% 0.0% 0.1% 0.3% 4.6% 0.0% 1.6% 0.7%
2013 0.0% 0.0% 0.0% 0.1% 0.3% 0.6% 3.5% 0.1% 1.5% 0.7%
2014 0.0% 0.0% 0.0% 0.0% 0.1% 0.3% 2.5% 0.0% 1.1% 0.5%
2015 0.0% 0.0% 0.0% 0.0% 0.2% 1.6% 4.1% 0.0% 2.3% 1.1%
2016 0.0% 0.0% 0.0% 0.0% 0.1% 1.1% 6.1% 0.0% 3.1% 1.5%
2017 0.0% 0.0% 0.0% 0.0% 0.2% 0.2% 3.4% 0.0% 1.6% 0.8%
2018 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 2.7% 0.0% 1.3% 0.6%
2019 0.0% 0.0% 0.0% 0.1% 0.0% 0.8% 4.4% 0.0% 2.2% 1.0%
2020 0.0% 0.0% 0.0% 0.1% 0.1% 2.6% 8.4% 0.0% 4.5% 2.1%
2021 0.0% 0.0% 0.0% 0.0% 0.0% 0.6% 1.5% 0.0% 0.8% 0.4%
* Based on issuer-weighted annual default rates and senior unsecured bond recoveries measured on an issuer-weighted basis.
Exhibit 31
2021 one-year letter rating migration rates
Aaa Aa A Baa Ba B Caa Ca-C WR Def
Aaa 97.96% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.04% 0.00%
Aa 0.31% 91.05% 6.48% 0.00% 0.00% 0.00% 0.00% 0.00% 2.16% 0.00%
A 0.00% 0.54% 93.69% 2.38% 0.00% 0.00% 0.00% 0.00% 3.38% 0.00%
Baa 0.00% 0.05% 1.87% 92.94% 0.69% 0.00% 0.00% 0.00% 4.44% 0.00%
Ba 0.00% 0.00% 0.00% 4.31% 79.82% 1.78% 0.13% 0.00% 13.96% 0.00%
B 0.00% 0.00% 0.00% 0.11% 5.77% 79.13% 3.55% 0.55% 9.77% 1.11%
Caa 0.00% 0.00% 0.00% 0.00% 0.00% 5.04% 76.17% 0.92% 16.12% 1.76%
Ca-C 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 21.32% 45.59% 20.59% 12.50%
Exhibit 32
Average one-year letter rating migration rates, 1920-2021
Aaa 87.05% 7.60% 0.77% 0.18% 0.03% 0.00% 0.00% 0.00% 4.37% 0.00%
Aa 0.99% 84.41% 7.64% 0.69% 0.15% 0.04% 0.01% 0.00% 6.00% 0.06%
A 0.06% 2.66% 85.66% 5.28% 0.58% 0.11% 0.03% 0.01% 5.55% 0.08%
Baa 0.03% 0.21% 3.93% 83.90% 4.21% 0.67% 0.11% 0.02% 6.70% 0.22%
Ba 0.01% 0.07% 0.46% 6.05% 74.50% 6.73% 0.66% 0.09% 10.38% 1.07%
B 0.00% 0.04% 0.14% 0.58% 5.47% 72.15% 6.31% 0.46% 11.86% 3.00%
Caa 0.00% 0.01% 0.02% 0.09% 0.39% 6.09% 69.28% 2.89% 14.02% 7.22%
Ca-C 0.00% 0.01% 0.08% 0.03% 0.43% 2.54% 9.23% 44.88% 17.41% 25.39%
Exhibit 33
Average one-year letter rating migration rates, 1970-2021
Aaa 87.94% 7.69% 0.56% 0.07% 0.02% 0.00% 0.00% 0.00% 3.72% 0.00%
Aa 0.75% 85.50% 8.35% 0.40% 0.05% 0.03% 0.02% 0.00% 4.87% 0.02%
A 0.05% 2.44% 87.34% 5.02% 0.43% 0.09% 0.03% 0.00% 4.55% 0.05%
Baa 0.03% 0.13% 3.77% 86.63% 3.45% 0.61% 0.13% 0.02% 5.11% 0.14%
Ba 0.01% 0.04% 0.38% 5.95% 76.78% 6.92% 0.70% 0.11% 8.33% 0.79%
B 0.01% 0.03% 0.12% 0.42% 4.75% 73.79% 6.72% 0.51% 10.69% 2.97%
Caa 0.00% 0.01% 0.02% 0.06% 0.26% 5.87% 69.60% 2.81% 14.34% 7.03%
Ca-C 0.00% 0.00% 0.04% 0.00% 0.38% 2.06% 10.12% 37.69% 19.87% 29.85%
Exhibit 34
Average five-year letter rating migration rates, 1970-2021
Aaa 54.52% 22.46% 4.72% 0.60% 0.30% 0.03% 0.04% 0.00% 17.26% 0.07%
Aa 1.98% 46.67% 23.72% 3.79% 0.72% 0.24% 0.10% 0.03% 22.50% 0.25%
A 0.16% 7.23% 52.72% 14.19% 2.26% 0.67% 0.13% 0.01% 22.01% 0.62%
Baa 0.13% 0.88% 11.57% 51.33% 7.79% 2.42% 0.50% 0.08% 24.05% 1.25%
Ba 0.03% 0.17% 2.31% 14.73% 28.37% 11.36% 2.02% 0.11% 34.70% 6.19%
B 0.02% 0.06% 0.40% 2.26% 7.64% 23.25% 6.50% 0.58% 44.09% 15.20%
Caa 0.00% 0.01% 0.08% 0.47% 1.39% 7.37% 15.24% 1.18% 51.47% 22.80%
Ca-C 0.00% 0.00% 0.02% 0.60% 1.48% 4.05% 2.86% 2.68% 46.35% 41.96%
Exhibit 35
2021 one-year alphanumeric rating migration rates
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C WR PD
Aaa 97.96% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 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% 0.00%
Aa1 2.50% 67.50% 20.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 10.00% 0.00%
Aa2 0.00% 4.12% 91.75% 3.09% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.03% 0.00%
Aa3 0.00% 0.00% 2.67% 85.03% 11.23% 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% 1.07% 0.00%
A1 0.00% 0.00% 0.26% 1.04% 88.08% 6.74% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.89% 0.00%
A2 0.00% 0.00% 0.26% 0.26% 5.47% 88.54% 3.13% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.34% 0.00%
A3 0.00% 0.00% 0.00% 0.00% 0.75% 6.60% 83.02% 5.47% 0.38% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.77% 0.00%
Baa1 0.00% 0.00% 0.00% 0.00% 0.00% 0.44% 3.84% 86.71% 4.28% 0.44% 0.15% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.14% 0.00%
Baa2 0.00% 0.00% 0.00% 0.00% 0.15% 0.44% 0.15% 5.59% 86.76% 2.79% 0.59% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.53% 0.00%
Baa3 0.00% 0.00% 0.19% 0.00% 0.00% 0.00% 0.19% 0.39% 7.98% 83.66% 0.97% 0.39% 0.19% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6.03% 0.00%
Ba1 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.83% 7.92% 72.08% 4.58% 0.42% 0.42% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 13.75% 0.00%
Ba2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.18% 9.51% 65.78% 2.66% 1.14% 0.00% 0.00% 0.38% 0.00% 0.00% 0.00% 16.35% 0.00%
Ba3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.70% 3.51% 9.47% 70.88% 2.46% 1.05% 0.00% 0.00% 0.00% 0.00% 0.00% 11.93% 0.00%
B1 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.46% 12.04% 68.61% 4.74% 2.55% 0.36% 0.00% 0.00% 0.73% 8.76% 0.73%
B2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.38% 0.00% 0.00% 0.00% 0.75% 2.26% 10.15% 67.29% 5.26% 1.88% 0.38% 0.00% 0.38% 10.53% 0.75%
B3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.94% 6.65% 5.54% 66.76% 4.99% 1.94% 0.00% 0.55% 9.97% 1.66%
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% 1.30% 0.78% 8.81% 64.25% 5.70% 0.52% 0.00% 18.39% 0.26%
Caa2 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.59% 0.74% 1.78% 6.22% 70.81% 2.96% 0.44% 15.70% 0.74%
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% 0.00% 0.40% 0.00% 0.81% 4.03% 21.37% 49.19% 3.63% 13.71% 6.85%
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% 0.00% 0.74% 5.88% 14.71% 45.59% 20.59% 12.50%
Exhibit 36
Average one-year alphanumeric rating migration rates, 1983-2021
Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C WR PD
Aaa 87.16% 5.29% 2.20% 0.53% 0.29% 0.12% 0.02% 0.06% 0.00% 0.02% 0.01% 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.27% 0.00%
Aa1 1.61% 76.96% 7.85% 5.63% 1.36% 0.96% 0.18% 0.14% 0.07% 0.01% 0.03% 0.00% 0.01% 0.04% 0.02% 0.01% 0.02% 0.02% 0.00% 0.00% 5.08% 0.00%
Aa2 0.96% 4.18% 74.35% 9.90% 3.29% 1.58% 0.41% 0.09% 0.15% 0.07% 0.03% 0.01% 0.00% 0.03% 0.01% 0.02% 0.00% 0.02% 0.00% 0.00% 4.92% 0.00%
Aa3 0.14% 1.04% 4.01% 75.79% 8.78% 3.42% 0.78% 0.23% 0.23% 0.12% 0.02% 0.02% 0.01% 0.01% 0.00% 0.00% 0.00% 0.01% 0.00% 0.00% 5.34% 0.04%
A1 0.05% 0.09% 1.02% 5.16% 76.83% 7.46% 2.53% 0.58% 0.40% 0.18% 0.16% 0.11% 0.04% 0.05% 0.01% 0.01% 0.01% 0.01% 0.01% 0.00% 5.23% 0.06%
A2 0.05% 0.03% 0.19% 0.96% 5.72% 76.98% 7.23% 2.43% 0.95% 0.35% 0.15% 0.12% 0.15% 0.04% 0.03% 0.01% 0.02% 0.02% 0.01% 0.00% 4.53% 0.04%
A3 0.04% 0.05% 0.09% 0.28% 1.41% 6.14% 76.23% 6.72% 2.48% 0.82% 0.33% 0.14% 0.12% 0.09% 0.04% 0.02% 0.02% 0.01% 0.00% 0.01% 4.94% 0.05%
Baa1 0.01% 0.02% 0.06% 0.10% 0.20% 1.42% 6.27% 76.84% 6.62% 2.11% 0.55% 0.27% 0.19% 0.23% 0.05% 0.02% 0.04% 0.03% 0.00% 0.02% 4.83% 0.10%
Baa2 0.04% 0.03% 0.02% 0.06% 0.15% 0.54% 1.76% 6.51% 76.56% 6.19% 1.22% 0.56% 0.41% 0.29% 0.17% 0.08% 0.09% 0.01% 0.01% 0.01% 5.13% 0.13%
Baa3 0.02% 0.01% 0.02% 0.03% 0.06% 0.15% 0.41% 1.70% 8.68% 73.63% 4.71% 1.97% 0.89% 0.70% 0.23% 0.24% 0.13% 0.06% 0.05% 0.04% 6.05% 0.21%
Ba1 0.01% 0.00% 0.01% 0.01% 0.15% 0.12% 0.21% 0.63% 2.32% 10.14% 65.43% 5.62% 4.02% 1.53% 0.58% 0.50% 0.12% 0.20% 0.04% 0.11% 7.85% 0.39%
Ba2 0.00% 0.00% 0.02% 0.02% 0.06% 0.10% 0.15% 0.34% 0.65% 3.61% 8.07% 64.61% 6.43% 3.72% 1.29% 0.86% 0.32% 0.20% 0.08% 0.12% 8.72% 0.63%
Ba3 0.00% 0.01% 0.01% 0.01% 0.06% 0.15% 0.15% 0.08% 0.42% 0.79% 2.76% 6.88% 64.60% 7.04% 3.09% 1.87% 0.69% 0.37% 0.08% 0.12% 9.62% 1.19%
B1 0.01% 0.01% 0.01% 0.01% 0.05% 0.02% 0.07% 0.09% 0.17% 0.38% 0.65% 2.76% 6.76% 63.61% 6.36% 4.40% 1.36% 0.72% 0.22% 0.24% 10.32% 1.78%
B2 0.00% 0.01% 0.00% 0.01% 0.02% 0.02% 0.08% 0.11% 0.13% 0.23% 0.20% 0.62% 2.10% 7.43% 62.35% 7.99% 3.53% 1.88% 0.43% 0.47% 9.62% 2.75%
B3 0.01% 0.00% 0.02% 0.00% 0.03% 0.03% 0.05% 0.03% 0.04% 0.09% 0.13% 0.25% 0.81% 2.46% 6.24% 60.62% 7.50% 3.34% 1.03% 0.82% 12.26% 4.24%
Caa1 0.00% 0.01% 0.00% 0.00% 0.00% 0.01% 0.00% 0.01% 0.01% 0.03% 0.05% 0.11% 0.20% 0.52% 1.25% 7.44% 58.99% 9.52% 2.80% 1.24% 13.85% 3.95%
Caa2 0.00% 0.00% 0.01% 0.00% 0.01% 0.01% 0.00% 0.00% 0.03% 0.06% 0.03% 0.03% 0.12% 0.32% 0.73% 1.93% 6.63% 58.18% 6.38% 2.89% 15.07% 7.55%
Caa3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.05% 0.02% 0.00% 0.12% 0.18% 0.89% 2.89% 9.40% 45.73% 8.97% 14.42% 17.33%
Ca-C 0.00% 0.00% 0.00% 0.00% 0.00% 0.02% 0.02% 0.00% 0.00% 0.00% 0.13% 0.11% 0.14% 0.10% 0.34% 1.58% 1.72% 3.19% 5.34% 37.15% 20.13% 30.04%
Exhibit 37
Annual issuer-weighted corporate default rates by letter rating, 1920-2021
Year Aaa Aa A Baa Ba B Caa-C IG SG All
1920 0.00% 0.00% 0.32% 0.94% 2.15% 4.38% 0.00% 0.43% 3.01% 1.23%
1921 0.00% 0.19% 0.35% 0.65% 0.44% 2.68% 13.33% 0.39% 2.15% 1.07%
1922 0.00% 0.18% 0.17% 1.10% 1.08% 1.71% 7.63% 0.51% 1.76% 1.01%
1923 0.00% 0.00% 0.00% 0.62% 0.93% 2.27% 5.93% 0.24% 1.70% 0.80%
1924 0.00% 0.37% 0.00% 0.13% 2.06% 2.70% 12.84% 0.14% 2.85% 1.15%
1925 0.00% 0.00% 0.14% 0.71% 1.74% 2.59% 14.40% 0.32% 2.56% 1.17%
1926 0.00% 0.40% 0.15% 0.11% 1.39% 2.90% 3.70% 0.19% 1.91% 0.77%
1927 0.00% 0.00% 0.21% 0.00% 1.30% 1.98% 12.84% 0.07% 1.83% 0.74%
1928 0.00% 0.00% 0.00% 0.00% 0.16% 1.32% 10.48% 0.00% 0.88% 0.36%
1929 0.00% 0.29% 0.00% 0.44% 0.82% 0.92% 9.73% 0.24% 1.40% 0.71%
1930 0.00% 0.00% 0.00% 0.40% 0.92% 3.16% 7.72% 0.15% 2.20% 1.04%
1931 0.00% 0.00% 0.27% 1.08% 3.00% 9.52% 31.67% 0.50% 7.90% 3.80%
1932 0.00% 0.67% 1.10% 0.92% 6.10% 13.98% 24.06% 0.86% 10.99% 5.50%
1933 0.00% 0.00% 0.26% 1.77% 11.71% 16.15% 25.92% 0.79% 15.77% 8.53%
1934 0.00% 0.62% 0.31% 0.86% 2.52% 4.22% 16.50% 0.59% 5.89% 3.40%
1935 0.00% 0.00% 1.43% 1.92% 5.12% 4.27% 13.02% 1.29% 6.25% 3.93%
1936 0.00% 0.85% 0.54% 0.33% 1.23% 2.38% 7.80% 0.48% 2.71% 1.63%
1937 0.00% 0.00% 0.51% 1.04% 0.99% 2.67% 9.07% 0.62% 2.74% 1.72%
1938 0.00% 0.85% 1.64% 1.99% 0.98% 1.47% 12.81% 1.55% 2.59% 2.11%
1939 0.00% 0.00% 0.00% 0.99% 0.62% 1.74% 6.07% 0.41% 1.77% 1.22%
1940 0.00% 0.00% 0.00% 1.37% 0.43% 3.29% 11.83% 0.59% 3.55% 2.47%
1941 0.00% 0.00% 0.00% 0.00% 0.97% 0.81% 5.07% 0.00% 1.71% 1.08%
1942 0.00% 0.00% 0.00% 0.00% 0.00% 0.78% 2.00% 0.00% 0.73% 0.45%
1943 0.00% 0.00% 0.00% 0.00% 0.00% 1.35% 0.00% 0.00% 0.61% 0.37%
1944 0.00% 0.00% 0.00% 0.00% 0.00% 0.49% 2.55% 0.00% 0.66% 0.39%
1945 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.57% 0.00% 0.56% 0.31%
1946 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1947 0.00% 0.00% 0.00% 0.00% 0.00% 0.71% 2.78% 0.00% 0.63% 0.31%
1948 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1949 0.00% 0.00% 0.00% 0.00% 1.36% 1.02% 8.57% 0.00% 1.92% 0.84%
1950 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1951 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.76% 0.00% 0.43% 0.18%
1952 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1953 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1954 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 7.14% 0.00% 0.47% 0.17%
1955 0.00% 0.00% 0.00% 0.00% 0.00% 1.61% 0.00% 0.00% 0.52% 0.17%
1956 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1957 0.00% 0.00% 0.00% 0.00% 0.00% 1.27% 0.00% 0.00% 0.45% 0.14%
1958 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1959 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1960 0.00% 0.00% 0.00% 0.00% 1.25% 0.00% 0.00% 0.00% 0.75% 0.25%
1961 0.00% 0.00% 0.00% 0.00% 0.60% 0.00% 8.70% 0.00% 1.07% 0.35%
1962 0.00% 0.00% 0.00% 0.00% 1.75% 1.47% 0.00% 0.00% 1.52% 0.47%
1963 0.00% 0.00% 0.00% 0.00% 1.16% 1.47% 0.00% 0.00% 1.15% 0.35%
1964 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1965 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1966 0.00% 0.00% 0.00% 0.00% 0.00% 2.44% 0.00% 0.00% 0.44% 0.12%
1967 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1968 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.00% 0.00% 0.37% 0.11%
1969 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1970 0.00% 0.00% 0.00% 0.54% 4.24% 19.44% 50.00% 0.27% 8.68% 2.63%
1971 0.00% 0.00% 0.00% 0.00% 0.89% 0.00% 12.50% 0.00% 1.16% 0.29%
1972 0.00% 0.00% 0.00% 0.00% 0.00% 6.90% 37.50% 0.00% 1.92% 0.45%
Year Aaa Aa A Baa Ba B Caa-C IG SG All

1973 0.00% 0.00% 0.00% 0.46% 0.00% 3.85% 37.50% 0.23% 1.28% 0.46%
1974 0.00% 0.00% 0.00% 0.00% 0.51% 7.16% 0.00% 0.00% 1.33% 0.28%
1975 0.00% 0.00% 0.00% 0.00% 1.03% 6.16% 0.00% 0.00% 1.74% 0.36%
1976 0.00% 0.00% 0.00% 0.00% 1.00% 0.00% 0.00% 0.00% 0.87% 0.18%
1977 0.00% 0.00% 0.00% 0.29% 0.54% 3.23% 33.33% 0.11% 1.36% 0.35%
1978 0.00% 0.00% 0.00% 0.00% 1.12% 5.41% 0.00% 0.00% 1.82% 0.35%
1979 0.00% 0.00% 0.00% 0.00% 0.51% 0.00% 0.00% 0.00% 0.43% 0.09%
1980 0.00% 0.00% 0.00% 0.00% 0.00% 5.00% 33.33% 0.00% 1.63% 0.34%
1981 0.00% 0.00% 0.00% 0.00% 0.00% 4.40% 0.00% 0.00% 0.70% 0.16%
1982 0.00% 0.00% 0.26% 0.33% 2.79% 2.22% 21.43% 0.21% 3.54% 1.04%
1983 0.00% 0.00% 0.00% 0.00% 1.16% 2.22% 45.05% 0.00% 4.27% 0.95%
1984 0.00% 0.00% 0.00% 0.61% 0.52% 5.17% 18.18% 0.17% 3.08% 0.85%
1985 0.00% 0.00% 0.00% 0.00% 0.87% 7.11% 6.25% 0.00% 3.72% 0.94%
1986 0.00% 0.00% 0.00% 0.85% 2.37% 10.25% 16.18% 0.21% 6.09% 1.80%
1987 0.00% 0.00% 0.00% 0.00% 3.03% 5.33% 9.82% 0.00% 4.27% 1.41%
1988 0.00% 0.00% 0.00% 0.00% 1.36% 5.60% 12.50% 0.00% 3.72% 1.34%
1989 0.00% 0.50% 0.00% 0.52% 2.97% 7.51% 20.39% 0.25% 5.90% 2.21%
1990 0.00% 0.00% 0.00% 0.26% 3.54% 13.68% 45.06% 0.06% 10.44% 3.51%
1991 0.00% 0.00% 0.00% 0.25% 3.85% 13.12% 15.97% 0.06% 9.10% 2.78%
1992 0.00% 0.00% 0.00% 0.00% 0.34% 7.64% 15.67% 0.00% 4.94% 1.33%
1993 0.00% 0.00% 0.00% 0.00% 0.62% 4.35% 13.95% 0.00% 3.41% 0.89%
1994 0.00% 0.00% 0.00% 0.00% 0.00% 4.19% 5.31% 0.00% 2.34% 0.65%
1995 0.00% 0.00% 0.00% 0.00% 0.27% 3.83% 11.55% 0.00% 3.07% 0.89%
1996 0.00% 0.00% 0.00% 0.00% 0.00% 1.51% 10.00% 0.00% 1.65% 0.50%
1997 0.00% 0.00% 0.00% 0.00% 0.18% 2.00% 9.16% 0.00% 1.89% 0.61%
1998 0.00% 0.00% 0.00% 0.11% 0.77% 3.78% 8.32% 0.03% 2.98% 1.11%
1999 0.00% 0.00% 0.00% 0.09% 1.38% 5.02% 15.19% 0.03% 5.33% 2.09%
2000 0.00% 0.00% 0.00% 0.35% 1.44% 5.52% 18.04% 0.13% 6.10% 2.45%
2001 0.00% 0.00% 0.15% 0.18% 1.17% 8.70% 28.63% 0.12% 9.31% 3.53%
2002 0.00% 0.00% 0.16% 0.84% 1.77% 4.66% 26.49% 0.37% 7.80% 2.92%
2003 0.00% 0.00% 0.00% 0.00% 0.89% 2.68% 20.26% 0.00% 5.32% 1.83%
2004 0.00% 0.00% 0.00% 0.00% 0.38% 0.80% 11.40% 0.00% 2.42% 0.82%
2005 0.00% 0.00% 0.00% 0.16% 0.00% 0.81% 7.20% 0.06% 1.72% 0.64%
2006 0.00% 0.00% 0.00% 0.00% 0.20% 1.06% 5.85% 0.00% 1.66% 0.59%
2007 0.00% 0.00% 0.00% 0.00% 0.00% 0.10% 4.95% 0.00% 0.99% 0.36%
2008 0.00% 0.50% 0.40% 1.02% 2.32% 3.99% 10.88% 0.62% 5.46% 2.51%
2009 0.00% 0.00% 0.24% 0.93% 1.75% 6.85% 26.58% 0.42% 12.09% 4.98%
2010 0.00% 0.00% 0.17% 0.07% 0.00% 0.39% 8.68% 0.09% 3.06% 1.24%
2011 0.00% 0.19% 0.00% 0.36% 0.16% 0.34% 6.23% 0.19% 2.08% 0.94%
2012 0.00% 0.00% 0.00% 0.07% 0.14% 0.54% 8.02% 0.03% 2.81% 1.24%
2013 0.00% 0.00% 0.09% 0.12% 0.59% 1.01% 6.29% 0.09% 2.68% 1.25%
2014 0.00% 0.00% 0.09% 0.06% 0.14% 0.50% 4.77% 0.06% 2.02% 0.97%
2015 0.00% 0.00% 0.00% 0.00% 0.30% 2.50% 6.54% 0.00% 3.70% 1.75%
2016 0.00% 0.00% 0.00% 0.00% 0.14% 1.58% 9.07% 0.00% 4.58% 2.18%
2017 0.00% 0.00% 0.00% 0.00% 0.52% 0.45% 7.55% 0.00% 3.57% 1.71%
2018 0.00% 0.00% 0.00% 0.00% 0.00% 0.68% 5.16% 0.00% 2.44% 1.17%
2019 0.00% 0.00% 0.00% 0.11% 0.00% 1.22% 6.48% 0.06% 3.19% 1.53%
2020 0.00% 0.00% 0.00% 0.11% 0.13% 3.98% 12.83% 0.06% 6.88% 3.21%
2021 0.00% 0.00% 0.00% 0.00% 0.00% 1.19% 2.99% 0.00% 1.71% 0.78%
Mean 0.00% 0.05% 0.09% 0.26% 0.99% 3.09% 10.36% 0.14% 2.85% 1.17%
Median 0.00% 0.00% 0.00% 0.00% 0.51% 1.86% 7.67% 0.00% 1.91% 0.83%
Min 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Max 0.00% 0.85% 1.64% 1.99% 11.71% 19.44% 50.00% 1.55% 15.77% 8.53%
Exhibit 38
Annual issuer-weighted corporate default rates by alphanumeric rating, 1983-2021
Year Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca-C IG SG All
1983 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.1% 1.0% 0.0% 7.6% 45.1% 0.0% 4.3% 0.9%
1984 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.7% 0.0% 1.6% 0.0% 6.5% 0.0% 3.0% 20.0% 0.2% 3.1% 0.9%
1985 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.6% 1.1% 4.5% 5.0% 13.4% 6.3% 0.0% 3.7% 0.9%
1986 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.8% 1.8% 1.3% 1.1% 4.0% 8.6% 6.7% 15.1% 16.2% 0.2% 6.1% 1.8%
1987 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.2% 0.9% 3.1% 4.2% 5.5% 7.7% 10.2% 0.0% 0.0% 4.3% 1.4%
1988 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.8% 4.2% 4.3% 9.9% 10.5% 50.0% 0.0% 3.7% 1.3%
1989 0.0% 0.0% 0.0% 1.1% 0.0% 0.0% 0.0% 0.0% 0.7% 0.8% 1.0% 1.8% 4.6% 6.7% 5.3% 13.3% 21.5% 0.0% 0.3% 5.9% 2.2%
1990 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.9% 1.1% 5.8% 3.5% 6.9% 16.7% 24.7% 46.5% 33.3% 0.1% 10.4% 3.5%
1991 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 0.0% 0.0% 1.1% 0.0% 7.2% 7.4% 7.2% 29.5% 16.2% 16.7% 0.1% 9.1% 2.8%
1992 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.8% 1.4% 1.4% 24.0% 17.5% 7.7% 0.0% 4.9% 1.3%
1993 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.0% 0.0% 0.8% 2.8% 1.3% 11.8% 15.0% 9.1% 0.0% 3.4% 0.9%
1994 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% 2.5% 2.7% 9.4% 5.0% 7.1% 0.0% 2.3% 0.6%
1995 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 3.8% 5.7% 0.9% 7.7% 23.1% 0.0% 3.1% 0.9%
1996 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% 0.4% 1.2% 3.9% 10.7% 5.9% 0.0% 1.7% 0.5%
1997 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.5% 0.3% 0.5% 7.0% 8.0% 15.2% 0.0% 1.9% 0.6%
1998 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.0% 1.2% 1.2% 3.1% 3.8% 4.9% 4.1% 8.9% 37.5% 5.0% 0.0% 3.0% 1.1%
1999 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.5% 0.9% 2.7% 3.0% 4.3% 8.3% 10.7% 22.3% 15.0% 19.0% 0.0% 5.3% 2.1%
2000 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.9% 0.5% 1.4% 2.5% 1.6% 4.0% 11.3% 14.5% 25.3% 17.2% 17.1% 0.1% 6.1% 2.4%
2001 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 0.0% 0.3% 0.2% 0.0% 0.0% 1.0% 2.6% 3.3% 9.6% 13.0% 25.6% 25.9% 39.5% 33.9% 0.1% 9.3% 3.5%
2002 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 0.7% 0.7% 1.2% 2.1% 1.7% 1.5% 1.9% 4.7% 7.3% 18.0% 21.8% 31.5% 37.9% 0.4% 7.8% 2.9%
2003 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.5% 0.6% 1.4% 0.7% 2.7% 4.9% 8.7% 24.2% 27.7% 28.7% 0.0% 5.3% 1.8%
2004 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% 0.0% 0.6% 2.1% 7.5% 9.7% 12.3% 27.0% 0.0% 2.4% 0.8%
2005 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.3% 0.0% 0.0% 0.0% 0.0% 0.5% 1.9% 5.2% 4.8% 20.5% 13.8% 0.1% 1.7% 0.6%
2006 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 0.6% 0.3% 2.0% 2.4% 7.3% 12.7% 15.2% 0.0% 1.7% 0.6%
2007 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% 0.4% 0.0% 0.0% 1.8% 10.6% 6.6% 46.2% 0.0% 1.0% 0.4%
2008 0.0% 0.0% 0.0% 1.5% 1.0% 0.2% 0.0% 1.0% 1.4% 0.6% 0.9% 2.8% 3.4% 3.1% 4.1% 4.5% 6.0% 18.6% 34.3% 39.6% 0.6% 5.5% 2.5%
2009 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 1.0% 0.9% 0.9% 1.4% 1.7% 2.1% 3.4% 7.1% 9.0% 12.1% 34.4% 53.9% 66.1% 0.4% 12.1% 5.0%
2010 0.0% 0.0% 0.0% 0.0% 0.3% 0.0% 0.2% 0.0% 0.0% 0.2% 0.0% 0.0% 0.0% 0.9% 0.0% 0.3% 1.7% 8.2% 22.8% 27.0% 0.1% 3.1% 1.2%
2011 0.0% 0.0% 0.0% 0.4% 0.0% 0.0% 0.0% 0.0% 0.2% 0.9% 0.0% 0.6% 0.0% 0.0% 0.5% 0.5% 1.9% 8.7% 16.4% 25.2% 0.2% 2.1% 0.9%
2012 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.0% 0.0% 0.0% 0.0% 0.4% 0.0% 0.8% 0.7% 2.3% 12.0% 16.5% 49.8% 0.0% 2.8% 1.2%
2013 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.0% 0.2% 0.2% 0.0% 0.0% 1.5% 0.7% 1.6% 0.8% 2.3% 6.7% 10.7% 62.0% 0.1% 2.7% 1.2%
2014 0.0% 0.0% 0.0% 0.0% 0.4% 0.0% 0.0% 0.0% 0.0% 0.2% 0.0% 0.0% 0.4% 0.4% 1.1% 0.2% 2.4% 3.7% 11.6% 30.4% 0.1% 2.0% 1.0%
2015 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.9% 0.0% 0.0% 0.4% 3.6% 3.1% 3.9% 5.1% 15.3% 37.9% 0.0% 3.7% 1.7%
2016 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 1.1% 1.0% 2.4% 3.7% 5.3% 20.2% 48.2% 0.0% 4.6% 2.2%
2017 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 1.1% 0.0% 0.4% 0.8% 1.5% 4.6% 17.3% 35.2% 0.0% 3.6% 1.7%
2018 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% 1.1% 0.9% 1.5% 2.0% 14.0% 31.6% 0.0% 2.4% 1.2%
2019 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.2% 0.0% 0.0% 0.0% 0.4% 0.4% 2.5% 1.2% 4.2% 17.3% 43.9% 0.1% 3.2% 1.5%
2020 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.4% 0.4% 0.0% 0.0% 1.8% 4.4% 5.4% 6.2% 9.2% 21.5% 65.8% 0.1% 6.9% 3.2%
2021 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% 0.7% 0.8% 1.8% 0.3% 0.8% 7.3% 13.9% 0.0% 1.7% 0.8%
Mean 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.1% 0.1% 0.3% 0.5% 0.6% 1.4% 2.3% 3.1% 6.9% 6.1% 13.9% 20.8% 28.2% 0.1% 4.3% 1.6%
Median 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.8% 1.4% 1.6% 4.9% 3.8% 10.2% 17.2% 27.0% 0.0% 3.6% 1.2%
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% 0.3% 0.8% 6.6% 0.0% 0.0% 1.0% 0.4%
Max 0.0% 0.0% 0.0% 1.5% 1.0% 0.4% 0.7% 1.0% 1.4% 1.8% 5.2% 5.8% 7.2% 8.6% 16.7% 29.5% 25.6% 46.5% 53.9% 66.1% 0.6% 12.1% 5.0%
Exhibit 39
Average cumulative issuer-weighted global default rates by letter rating, 1920-2021
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 0.00% 0.01% 0.03% 0.07% 0.14% 0.21% 0.29% 0.41% 0.53% 0.68% 0.80% 0.89% 1.00% 1.03% 1.05% 1.11% 1.16% 1.21% 1.26% 1.30%
Aa 0.06% 0.17% 0.27% 0.42% 0.64% 0.89% 1.14% 1.38% 1.61% 1.85% 2.12% 2.41% 2.70% 2.97% 3.18% 3.34% 3.49% 3.67% 3.88% 4.06%
A 0.08% 0.23% 0.48% 0.74% 1.04% 1.36% 1.69% 2.03% 2.39% 2.75% 3.13% 3.50% 3.84% 4.17% 4.55% 4.89% 5.18% 5.46% 5.74% 6.03%
Baa 0.23% 0.64% 1.13% 1.67% 2.24% 2.82% 3.37% 3.94% 4.54% 5.13% 5.72% 6.32% 6.94% 7.50% 8.02% 8.54% 9.04% 9.49% 9.91% 10.36%
Ba 1.13% 2.70% 4.42% 6.23% 8.00% 9.70% 11.27% 12.78% 14.25% 15.81% 17.17% 18.53% 19.84% 20.98% 22.08% 23.14% 24.19% 25.18% 26.07% 26.86%
B 3.21% 7.38% 11.64% 15.52% 18.97% 21.95% 24.61% 26.95% 29.07% 30.95% 32.66% 34.27% 35.86% 37.44% 38.90% 40.33% 41.58% 42.66% 43.56% 44.33%
Caa-C 9.42% 16.76% 22.78% 27.95% 32.38% 36.10% 39.18% 41.88% 44.40% 46.55% 48.59% 50.33% 51.95% 53.54% 55.18% 56.76% 58.22% 59.60% 60.95% 62.29%
IG 0.13% 0.37% 0.67% 1.01% 1.37% 1.76% 2.14% 2.53% 2.93% 3.33% 3.74% 4.15% 4.55% 4.92% 5.28% 5.62% 5.92% 6.22% 6.50% 6.79%
SG 3.72% 7.45% 10.94% 14.09% 16.87% 19.30% 21.42% 23.32% 25.09% 26.76% 28.26% 29.70% 31.07% 32.34% 33.55% 34.73% 35.83% 36.85% 37.75% 38.55%
All 1.52% 3.05% 4.47% 5.74% 6.86% 7.85% 8.71% 9.50% 10.24% 10.95% 11.61% 12.24% 12.85% 13.41% 13.93% 14.44% 14.89% 15.32% 15.71% 16.09%
Exhibit 40
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 0.00% 0.01% 0.01% 0.03% 0.08% 0.13% 0.18% 0.23% 0.29% 0.35% 0.41% 0.48% 0.55% 0.58% 0.62% 0.66% 0.71% 0.72% 0.72% 0.72%
Aa 0.02% 0.06% 0.10% 0.18% 0.28% 0.39% 0.50% 0.59% 0.68% 0.76% 0.85% 0.96% 1.08% 1.18% 1.25% 1.34% 1.44% 1.57% 1.76% 1.95%
A 0.05% 0.15% 0.31% 0.48% 0.68% 0.92% 1.16% 1.43% 1.69% 1.97% 2.24% 2.50% 2.76% 3.03% 3.34% 3.65% 3.97% 4.31% 4.63% 4.96%
Baa 0.14% 0.37% 0.67% 1.02% 1.38% 1.76% 2.13% 2.53% 2.98% 3.45% 3.94% 4.47% 5.01% 5.56% 6.09% 6.64% 7.18% 7.67% 8.10% 8.54%
Ba 0.82% 2.27% 3.94% 5.72% 7.41% 9.01% 10.46% 11.86% 13.28% 14.77% 16.18% 17.62% 18.95% 20.20% 21.49% 22.76% 23.91% 24.94% 25.96% 26.73%
B 3.16% 7.57% 12.16% 16.34% 20.11% 23.44% 26.38% 28.97% 31.35% 33.42% 35.23% 36.91% 38.55% 40.23% 41.75% 43.18% 44.39% 45.55% 46.62% 47.79%
Caa-C 9.40% 16.83% 23.14% 28.65% 33.48% 37.52% 40.91% 43.95% 46.72% 48.98% 50.85% 51.99% 53.02% 53.69% 54.36% 55.11% 55.73% 56.36% 57.08% 57.72%
IG 0.08% 0.21% 0.39% 0.61% 0.84% 1.09% 1.35% 1.61% 1.89% 2.17% 2.46% 2.76% 3.06% 3.36% 3.67% 3.98% 4.29% 4.60% 4.89% 5.19%
SG 4.02% 8.10% 11.96% 15.42% 18.46% 21.07% 23.32% 25.32% 27.18% 28.89% 30.41% 31.84% 33.18% 34.46% 35.71% 36.92% 37.97% 38.94% 39.88% 40.68%
All 1.56% 3.09% 4.51% 5.74% 6.79% 7.68% 8.44% 9.12% 9.76% 10.35% 10.89% 11.40% 11.89% 12.37% 12.83% 13.28% 13.71% 14.11% 14.49% 14.86%
Exhibit 41
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 0.00% 0.01% 0.01% 0.04% 0.06% 0.09% 0.12% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13%
Aa 0.02% 0.06% 0.11% 0.19% 0.30% 0.39% 0.48% 0.55% 0.63% 0.71% 0.80% 0.92% 1.03% 1.11% 1.18% 1.26% 1.35% 1.49% 1.67% 1.83%
A 0.05% 0.16% 0.33% 0.51% 0.73% 0.97% 1.23% 1.49% 1.74% 1.98% 2.23% 2.46% 2.70% 2.98% 3.29% 3.60% 3.93% 4.29% 4.59% 4.90%
Baa 0.15% 0.38% 0.66% 1.00% 1.34% 1.72% 2.06% 2.42% 2.79% 3.18% 3.60% 4.05% 4.53% 5.02% 5.48% 5.97% 6.44% 6.85% 7.21% 7.52%
Ba 0.81% 2.29% 4.03% 5.88% 7.54% 9.08% 10.50% 11.84% 13.13% 14.44% 15.63% 16.82% 17.92% 18.96% 20.08% 21.14% 22.07% 22.96% 23.89% 24.47%
B 3.14% 7.58% 12.19% 16.38% 20.16% 23.50% 26.45% 29.04% 31.36% 33.36% 35.10% 36.74% 38.37% 40.04% 41.51% 42.89% 44.13% 45.36% 46.52% 47.77%
Caa-C 9.34% 16.74% 23.06% 28.59% 33.43% 37.45% 40.83% 43.85% 46.65% 48.98% 50.92% 52.10% 53.17% 53.88% 54.59% 55.39% 56.06% 56.73% 57.50% 58.19%
IG 0.08% 0.22% 0.40% 0.61% 0.84% 1.09% 1.33% 1.57% 1.81% 2.05% 2.30% 2.56% 2.83% 3.10% 3.38% 3.66% 3.95% 4.24% 4.50% 4.75%
SG 4.11% 8.33% 12.33% 15.91% 19.03% 21.70% 24.00% 26.03% 27.86% 29.50% 30.92% 32.23% 33.47% 34.69% 35.84% 36.94% 37.91% 38.85% 39.78% 40.55%
All 1.65% 3.29% 4.80% 6.11% 7.21% 8.15% 8.93% 9.61% 10.23% 10.78% 11.28% 11.74% 12.19% 12.64% 13.07% 13.49% 13.89% 14.28% 14.64% 14.96%
Exhibit 42
Average cumulative issuer-weighted global default rates by alphanumeric rating, 1983-2021
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 0.00% 0.01% 0.01% 0.04% 0.06% 0.09% 0.12% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13%
Aa1 0.00% 0.00% 0.00% 0.05% 0.09% 0.13% 0.13% 0.13% 0.16% 0.20% 0.25% 0.30% 0.41% 0.54% 0.70% 0.81% 0.90% 1.00% 1.11% 1.11%
Aa2 0.00% 0.01% 0.10% 0.22% 0.33% 0.40% 0.49% 0.58% 0.69% 0.82% 0.94% 1.06% 1.16% 1.20% 1.26% 1.36% 1.55% 1.75% 1.96% 2.15%
Aa3 0.04% 0.11% 0.16% 0.24% 0.37% 0.49% 0.62% 0.73% 0.82% 0.88% 0.98% 1.11% 1.23% 1.31% 1.36% 1.41% 1.45% 1.56% 1.76% 1.97%
A1 0.06% 0.18% 0.37% 0.56% 0.75% 0.93% 1.08% 1.22% 1.34% 1.49% 1.66% 1.84% 2.03% 2.28% 2.52% 2.76% 3.01% 3.23% 3.37% 3.50%
A2 0.04% 0.14% 0.29% 0.47% 0.68% 0.98% 1.31% 1.63% 1.95% 2.27% 2.59% 2.85% 3.12% 3.43% 3.78% 4.16% 4.61% 5.04% 5.37% 5.74%
A3 0.05% 0.16% 0.34% 0.51% 0.76% 0.99% 1.26% 1.56% 1.86% 2.12% 2.36% 2.61% 2.87% 3.13% 3.46% 3.76% 4.04% 4.44% 4.90% 5.34%
Baa1 0.10% 0.27% 0.47% 0.68% 0.88% 1.12% 1.36% 1.58% 1.84% 2.13% 2.50% 2.93% 3.39% 3.84% 4.34% 4.83% 5.28% 5.56% 5.71% 5.86%
Baa2 0.14% 0.34% 0.58% 0.89% 1.19% 1.50% 1.84% 2.17% 2.52% 2.89% 3.34% 3.76% 4.21% 4.63% 5.06% 5.46% 5.82% 6.25% 6.74% 7.20%
Baa3 0.22% 0.55% 0.99% 1.48% 2.06% 2.66% 3.16% 3.71% 4.26% 4.79% 5.25% 5.73% 6.31% 6.93% 7.40% 8.01% 8.65% 9.22% 9.69% 10.04%
Ba1 0.41% 1.34% 2.43% 3.50% 4.54% 5.58% 6.39% 7.08% 7.75% 8.50% 9.32% 10.14% 10.85% 11.42% 12.29% 13.14% 13.84% 14.60% 15.71% 16.55%
Ba2 0.66% 1.77% 3.05% 4.37% 5.71% 6.84% 7.95% 9.16% 10.51% 11.87% 13.04% 14.26% 15.35% 16.37% 17.47% 18.30% 18.94% 19.57% 20.32% 20.41%
Ba3 1.26% 3.52% 6.21% 9.19% 11.71% 14.09% 16.39% 18.50% 20.40% 22.29% 23.89% 25.52% 27.12% 28.79% 30.28% 31.87% 33.45% 34.82% 35.74% 36.56%
B1 1.89% 5.07% 8.55% 11.89% 15.20% 18.19% 21.09% 23.70% 25.94% 27.76% 29.46% 30.92% 32.73% 34.60% 36.07% 37.48% 38.83% 40.24% 41.58% 42.85%
B2 2.92% 7.45% 12.09% 16.33% 20.03% 23.37% 26.12% 28.31% 30.54% 32.70% 34.58% 36.68% 38.35% 39.98% 41.67% 43.54% 45.13% 46.69% 48.06% 49.91%
B3 4.54% 10.12% 15.89% 20.96% 25.39% 29.20% 32.49% 35.59% 38.24% 40.41% 42.12% 43.49% 44.80% 46.30% 47.49% 48.15% 48.70% 49.11% 49.53% 49.70%
Caa 7.41% 14.49% 20.68% 26.15% 31.12% 35.37% 38.85% 41.98% 44.92% 47.44% 49.50% 50.74% 51.91% 52.78% 53.68% 54.73% 55.27% 55.86% 56.95% 57.95%
Ca-C 33.15% 45.31% 53.78% 60.43% 63.54% 64.63% 66.65% 68.23% 69.44% 70.02% 70.83% 71.41% 71.80% 71.80% 71.80% 71.80% 72.48% 73.06% 73.06% 73.06%
IG 0.08% 0.22% 0.40% 0.61% 0.84% 1.09% 1.33% 1.57% 1.81% 2.05% 2.30% 2.56% 2.83% 3.10% 3.38% 3.66% 3.95% 4.24% 4.50% 4.75%
SG 4.11% 8.33% 12.33% 15.91% 19.03% 21.70% 24.00% 26.03% 27.86% 29.50% 30.92% 32.23% 33.47% 34.69% 35.84% 36.94% 37.91% 38.85% 39.78% 40.55%
All Ratings 1.65% 3.29% 4.80% 6.11% 7.21% 8.15% 8.93% 9.61% 10.23% 10.78% 11.28% 11.74% 12.19% 12.64% 13.07% 13.49% 13.89% 14.28% 14.64% 14.96%
Exhibit 43
Average cumulative issuer-weighted global default rates by alphanumeric rating, 1998-2021
1 2 3 4 5 6 7 8 9 10
Aaa 0.00% 0.02% 0.02% 0.02% 0.02% 0.02% 0.02% 0.02% 0.02% 0.02%
Aa1 0.00% 0.00% 0.00% 0.00% 0.02% 0.08% 0.08% 0.08% 0.11% 0.18%
Aa2 0.00% 0.01% 0.12% 0.25% 0.33% 0.42% 0.52% 0.62% 0.76% 0.88%
Aa3 0.05% 0.12% 0.16% 0.24% 0.38% 0.53% 0.75% 0.92% 1.04% 1.15%
A1 0.09% 0.20% 0.35% 0.53% 0.75% 0.98% 1.18% 1.38% 1.55% 1.73%
A2 0.06% 0.18% 0.35% 0.51% 0.73% 1.06% 1.39% 1.74% 2.13% 2.61%
A3 0.06% 0.18% 0.37% 0.55% 0.84% 1.04% 1.31% 1.63% 1.97% 2.33%
Baa1 0.11% 0.28% 0.46% 0.66% 0.80% 1.02% 1.23% 1.48% 1.78% 2.12%
Baa2 0.15% 0.33% 0.53% 0.75% 0.95% 1.18% 1.40% 1.61% 1.88% 2.12%
Baa3 0.21% 0.53% 0.93% 1.35% 1.84% 2.28% 2.68% 3.18% 3.67% 4.23%
Ba1 0.28% 1.06% 1.88% 2.60% 3.46% 4.24% 4.90% 5.51% 6.22% 7.01%
Ba2 0.59% 1.47% 2.51% 3.59% 4.75% 5.65% 6.61% 7.88% 9.29% 10.78%
Ba3 0.80% 2.24% 3.95% 5.93% 7.46% 9.03% 10.77% 12.59% 14.28% 15.90%
B1 1.15% 3.55% 6.19% 8.88% 11.26% 13.37% 15.44% 17.41% 19.18% 20.84%
B2 2.62% 6.87% 11.40% 15.65% 19.13% 22.19% 24.67% 26.74% 28.95% 31.09%
B3 3.42% 8.50% 14.15% 19.02% 23.11% 26.54% 29.49% 32.43% 35.26% 37.56%
Caa1 4.26% 10.01% 15.60% 20.82% 25.74% 29.99% 33.47% 36.36% 39.34% 41.92%
Caa2 7.31% 14.30% 20.63% 26.36% 31.63% 36.35% 40.41% 44.31% 47.66% 50.03%
Caa3 18.30% 31.35% 40.20% 46.06% 50.63% 54.46% 57.37% 59.88% 60.92% 61.91%
Ca-C 35.23% 48.48% 57.65% 64.56% 67.85% 69.02% 71.11% 72.72% 73.93% 74.51%
IG 0.10% 0.24% 0.42% 0.62% 0.83% 1.07% 1.30% 1.56% 1.83% 2.12%
SG 4.08% 8.23% 12.14% 15.57% 18.45% 20.85% 22.92% 24.82% 26.63% 28.26%
All Ratings 1.75% 3.47% 5.04% 6.36% 7.45% 8.34% 9.10% 9.80% 10.46% 11.08%
Exhibit 44
Average cumulative issuer-weighted global default rates by industry group, 1970-2021
1 2 3 4 5 6 7 8 9 10
Aerospace & Defense 0.9% 1.8% 2.6% 3.2% 3.7% 4.0% 4.2% 4.4% 4.5% 4.5%
Automotive 2.3% 4.6% 6.7% 8.7% 10.6% 12.3% 13.9% 15.5% 16.9% 18.0%
Banking 0.5% 1.0% 1.5% 2.0% 2.4% 2.8% 3.1% 3.5% 3.8% 4.2%
Beverage, Food, & Tobacco 1.2% 2.3% 3.4% 4.4% 5.2% 5.9% 6.5% 6.9% 7.4% 7.7%
Capital Equipment 1.6% 3.3% 4.9% 6.5% 7.8% 8.8% 9.7% 10.4% 11.2% 11.9%
Chemicals, Plastics, & Rubber 0.9% 2.0% 3.0% 3.9% 4.8% 5.4% 5.9% 6.3% 6.8% 7.2%
Construction & Building 2.7% 5.7% 8.4% 10.9% 13.2% 15.3% 17.0% 18.8% 20.4% 21.6%
Consumer goods: Durable 2.7% 5.7% 9.0% 12.3% 15.4% 18.1% 20.0% 21.8% 23.7% 25.6%
Consumer goods: Non-durable 3.8% 7.9% 11.7% 14.9% 17.5% 19.6% 21.6% 23.4% 24.6% 25.7%
Containers, Packaging, & Glass 2.2% 4.8% 6.9% 8.8% 10.5% 12.0% 13.4% 14.7% 15.7% 16.7%
Energy: Electricity 3.1% 6.3% 9.2% 11.4% 13.6% 15.7% 17.9% 20.0% 22.1% 24.3%
Energy: Oil & Gas 2.9% 5.5% 7.8% 9.7% 11.3% 12.6% 13.8% 14.9% 15.9% 16.8%
Environmental Industries 3.1% 5.9% 8.1% 9.8% 11.0% 12.0% 12.8% 13.7% 14.8% 15.9%
Finance 1.1% 2.2% 3.1% 3.9% 4.5% 5.0% 5.4% 5.8% 6.3% 6.8%
Forest Products & Paper 2.3% 4.6% 6.7% 8.8% 10.5% 12.1% 13.5% 14.7% 15.7% 16.5%
Healthcare & Pharmaceuticals 1.5% 2.9% 4.3% 5.5% 6.6% 7.6% 8.5% 9.2% 9.9% 10.4%
High Tech Industries 1.6% 3.3% 4.8% 6.2% 7.4% 8.4% 9.4% 10.5% 11.5% 12.5%
Hotel, Gaming, & Leisure 3.9% 7.8% 11.3% 14.4% 17.1% 19.4% 21.4% 23.3% 25.0% 26.8%
Insurance 0.3% 0.6% 1.0% 1.3% 1.7% 2.1% 2.4% 2.8% 3.1% 3.5%
Media: Advertising, Printing & Publishing 5.7% 11.4% 16.5% 20.6% 24.4% 27.8% 30.4% 32.4% 34.2% 36.3%
Media: Broadcasting & Subscription 3.2% 6.6% 10.1% 13.1% 15.9% 18.4% 20.4% 22.1% 23.6% 25.0%
Media: Diversified & Production 2.3% 4.5% 6.4% 7.6% 8.4% 9.1% 9.4% 9.6% 9.8% 10.1%
Metals & Mining 2.9% 5.9% 8.5% 10.8% 12.6% 14.2% 15.7% 17.0% 18.2% 19.5%
REIT 0.5% 1.1% 1.6% 2.0% 2.3% 2.6% 2.9% 3.1% 3.3% 3.6%
Retail 3.3% 6.6% 9.9% 12.9% 15.6% 17.8% 19.7% 21.4% 22.9% 24.3%
Services: Business 2.4% 4.9% 7.3% 9.5% 11.5% 13.2% 14.8% 16.2% 17.6% 19.0%
Services: Consumer 2.5% 5.1% 7.5% 9.8% 12.0% 14.1% 16.0% 17.8% 19.4% 21.1%
Sovereign & Public Finance 0.5% 0.9% 1.3% 1.6% 1.9% 2.0% 2.1% 2.1% 2.1% 2.1%
Telecommunications 2.2% 4.3% 6.1% 7.6% 8.7% 9.5% 10.1% 10.5% 10.8% 11.0%
Transportation: Cargo 2.0% 3.7% 5.2% 6.5% 7.4% 8.2% 8.8% 9.3% 9.8% 10.3%
Transportation: Consumer 2.7% 5.2% 7.7% 10.2% 12.3% 14.1% 15.7% 17.5% 19.3% 21.0%
Utilities: Electric 0.1% 0.3% 0.4% 0.5% 0.6% 0.7% 0.8% 1.0% 1.1% 1.2%
Utilities: Oil & Gas 0.1% 0.2% 0.3% 0.5% 0.6% 0.7% 0.8% 0.8% 0.9% 0.9%
Utilities: Water 0.1% 0.2% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3%
Wholesale 3.5% 7.4% 11.0% 13.8% 16.0% 17.7% 18.6% 19.4% 20.1% 20.8%
Exhibit 45
Annual default rates by broad industry group, 1970-2021
Beverage, Chemicals, Consumer Consumer Containers, Forest
Aerospace Food, & Capital Plastics, & Construction goods: goods: Non- Packaging, & Energy: Energy: Environmental Products Healthcare & High Tech
& Defense Automotive Banking Tobacco Equipment Rubber & Building Durable durable Glass Electricity Oil & Gas Industries Finance & Paper Pharmaceuticals Industries
1970 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.7%
1971 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1972 0.0% 0.0% 0.0% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1973 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1974 0.0% 0.0% 0.0% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1975 0.0% 3.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.8% 0.0%
1976 0.0% 0.0% 0.0% 0.0% 1.0% 0.0% 0.0% 0.0% 2.6% 0.0% 0.0% 0.0% 0.0% 0.0%
1977 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.7% 0.0% 0.0% 0.0% 0.0% 0.0%
1978 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.7% 1.3% 0.0% 0.0% 0.0% 3.1%
1979 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% 2.8%
1980 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.7%
1981 0.0% 0.0% 0.0% 0.0% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1982 0.0% 2.9% 0.0% 0.0% 0.0% 0.0% 3.3% 0.0% 0.0% 1.0% 0.0% 0.0% 0.0% 4.0%
1983 0.0% 7.7% 0.0% 1.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.2% 0.0% 0.0% 0.0% 1.8%
1984 0.0% 2.8% 0.0% 1.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.0% 0.0% 0.0% 2.2% 4.8%
1985 0.0% 0.0% 0.0% 0.0% 1.7% 2.0% 0.0% 0.0% 1.7% 0.0% 3.4% 0.0% 0.0% 0.0% 1.5%
1986 2.9% 0.0% 0.0% 1.2% 0.0% 1.9% 1.7% 5.9% 0.0% 0.0% 8.3% 0.0% 0.0% 1.4% 0.0%
1987 0.0% 1.8% 0.3% 0.0% 2.4% 0.0% 4.4% 0.0% 0.0% 0.0% 0.0% 5.5% 0.0% 0.0% 3.7% 1.1%
1988 2.3% 0.0% 1.4% 0.0% 0.0% 1.6% 2.7% 4.3% 3.6% 0.0% 4.8% 2.1% 0.0% 0.0% 0.0% 3.5% 1.7%
1989 0.0% 7.4% 1.5% 2.2% 0.0% 0.0% 8.8% 0.0% 3.8% 10.0% 0.0% 0.0% 0.0% 4.8% 0.0% 2.5% 1.8%
1990 0.0% 3.9% 1.8% 5.5% 2.6% 0.0% 16.9% 4.8% 9.9% 0.0% 8.3% 1.5% 0.0% 0.0% 0.0% 1.1% 5.7%
1991 2.2% 4.2% 1.4% 0.0% 4.5% 0.0% 7.5% 5.9% 6.1% 0.0% 4.3% 3.1% 0.0% 0.0% 5.4% 4.9% 2.2%
1992 0.0% 0.0% 0.3% 1.2% 3.0% 0.0% 0.0% 0.0% 6.0% 7.7% 0.0% 0.8% 0.0% 0.0% 0.0% 1.4% 3.3%
1993 2.2% 0.0% 0.3% 1.1% 4.9% 0.0% 1.7% 0.0% 2.0% 0.0% 0.0% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0%
1994 0.0% 0.0% 0.0% 1.0% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% 4.0% 0.0% 0.0% 0.0% 2.2% 1.0% 3.0%
1995 0.0% 0.0% 0.0% 1.9% 0.8% 0.0% 5.1% 0.0% 7.6% 0.0% 0.0% 0.6% 0.0% 2.0% 1.8% 1.0% 1.9%
1996 0.0% 0.0% 0.0% 0.8% 0.7% 0.0% 1.1% 0.0% 4.4% 5.6% 0.0% 0.6% 5.0% 0.0% 0.0% 0.0% 1.0%
1997 0.0% 1.4% 0.0% 0.8% 0.0% 0.0% 1.1% 0.0% 6.5% 4.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.9% 1.8%
1998 0.0% 1.1% 0.3% 0.7% 0.0% 1.6% 0.0% 0.0% 4.5% 0.0% 0.0% 1.3% 5.6% 2.0% 1.2% 3.1% 0.7%
1999 0.0% 0.9% 0.1% 1.8% 1.4% 1.5% 6.4% 10.2% 4.4% 0.0% 0.0% 6.1% 4.3% 1.8% 1.1% 5.3% 2.7%
Beverage, Chemicals, Consumer Consumer Containers, Forest

Aerospace Food, & Capital Plastics, & Construction goods: goods: Non- Packaging, & Energy: Energy: Environmental Products Healthcare & High Tech
& Defense Automotive Banking Tobacco Equipment Rubber & Building Durable durable Glass Electricity Oil & Gas Industries Finance & Paper Pharmaceuticals Industries
2000 1.6% 5.0% 0.0% 2.8% 4.2% 1.4% 2.0% 3.3% 14.5% 4.6% 0.0% 0.4% 15.8% 0.6% 6.9% 4.7% 3.2%
2001 4.6% 5.3% 0.1% 2.2% 5.1% 5.7% 4.8% 3.3% 15.7% 11.5% 1.8% 1.2% 11.1% 3.6% 7.5% 1.5% 4.5%
2002 0.0% 1.7% 0.6% 1.6% 2.1% 0.0% 5.1% 3.0% 6.1% 4.9% 8.9% 2.3% 13.3% 0.0% 3.3% 0.7% 2.7%
2003 0.0% 2.6% 0.1% 1.7% 2.5% 4.4% 2.4% 0.0% 2.8% 0.0% 11.8% 0.0% 0.0% 0.6% 1.1% 2.9% 3.5%
2004 0.0% 2.5% 0.0% 1.7% 1.0% 0.0% 2.3% 2.6% 4.6% 2.1% 0.0% 0.3% 0.0% 0.0% 1.2% 0.7% 0.0%
2005 0.0% 5.1% 0.1% 0.0% 0.9% 0.0% 0.0% 4.0% 1.6% 4.4% 3.9% 0.4% 0.0% 0.7% 1.3% 0.0% 0.0%
2006 0.0% 4.8% 0.0% 1.1% 1.5% 0.0% 2.1% 1.9% 3.1% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.6%
2007 0.0% 1.7% 0.0% 1.1% 0.5% 0.0% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.5% 0.8% 0.0%
2008 1.5% 4.3% 3.0% 1.6% 2.7% 1.9% 5.3% 2.0% 6.3% 10.5% 0.0% 1.6% 5.3% 4.0% 6.4% 0.8% 0.0%
2009 4.4% 19.3% 0.9% 4.4% 9.9% 7.4% 14.7% 23.0% 6.7% 9.0% 2.0% 1.9% 0.0% 5.5% 15.4% 0.7% 6.8%
2010 0.0% 1.1% 0.5% 0.6% 3.5% 0.0% 1.8% 0.0% 3.8% 0.0% 6.1% 1.0% 10.0% 2.6% 3.0% 1.4% 1.5%
2011 0.0% 1.0% 0.5% 0.0% 1.9% 0.0% 2.3% 0.0% 0.0% 5.1% 4.0% 1.3% 0.0% 0.6% 1.4% 0.0% 0.0%
2012 1.2% 0.0% 0.6% 1.6% 2.2% 1.4% 0.0% 0.0% 0.0% 2.2% 5.6% 0.9% 4.3% 1.8% 2.9% 0.7% 1.1%
2013 1.2% 0.9% 1.3% 1.6% 0.6% 0.6% 2.5% 0.0% 2.1% 2.1% 1.9% 1.6% 4.5% 0.0% 0.0% 1.8% 0.6%
2014 1.3% 0.0% 0.7% 0.0% 0.0% 0.6% 0.5% 2.1% 0.0% 0.0% 7.3% 0.5% 0.0% 0.5% 1.5% 0.0% 2.6%
2015 2.6% 0.0% 1.6% 2.0% 0.0% 0.0% 2.3% 1.9% 4.6% 0.0% 0.0% 7.1% 4.2% 0.5% 3.1% 0.0% 0.4%
2016 1.3% 0.8% 0.2% 0.5% 0.8% 1.6% 1.4% 2.2% 1.4% 0.0% 2.0% 14.5% 7.9% 2.7% 3.0% 0.6% 0.8%
2017 2.6% 0.0% 0.8% 0.0% 0.8% 1.0% 0.5% 0.0% 0.0% 0.0% 5.6% 6.8% 10.5% 2.4% 9.3% 0.6% 1.2%
2018 0.0% 0.0% 0.1% 1.2% 0.0% 0.0% 4.0% 5.6% 1.4% 0.0% 7.3% 3.1% 0.0% 1.4% 1.7% 1.0% 0.4%
2019 1.4% 0.9% 0.3% 1.1% 2.0% 0.5% 2.1% 3.8% 4.2% 0.0% 0.0% 5.1% 0.0% 0.8% 2.0% 2.6% 0.7%
2020 2.8% 3.4% 0.4% 2.2% 2.1% 1.4% 3.2% 5.7% 8.2% 1.7% 8.0% 13.1% 0.0% 0.0% 0.0% 4.9% 2.5%
2021 0.0% 0.0% 0.1% 0.0% 1.6% 0.0% 3.8% 3.8% 1.4% 0.0% 9.2% 1.7% 0.0% 0.7% 0.0% 0.9% 0.0%
Hotel, Media: Media: Sovereign &

Gaming, Media: Advertising, Broadcasting Diversified & Metals & Services: Services: Public Telecommuni Transportation: Transportation: Utilities: Utilities: Utilities:
& Leisure Insurance Printing & Publishing & Subscription Production Mining REIT Retail Business Consumer Finance cations Cargo Consumer Electric Oil & Gas Water Wholesale
1970 0.0% 0.0% 0.0% 0.0% 18.5% 0.0% 0.0% 0.0% 0.0%
1971 0.0% 0.0% 0.0% 0.0% 1.9% 4.8% 0.0% 0.0% 0.0%
1972 0.0% 0.0% 0.0% 0.0% 3.8% 0.0% 0.0% 0.0% 0.0%
1973 0.0% 3.4% 0.0% 0.0% 2.0% 0.0% 0.0% 0.0%
1974 0.0% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1975 0.0% 1.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1976 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1977 0.0% 0.0% 0.0% 0.0% 2.2% 0.0% 0.0% 0.0%
1978 0.0% 1.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1979 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1980 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.0% 0.0% 0.0%
1981 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.1% 0.0% 0.0% 0.0%
1982 0.0% 0.0% 0.0% 2.4% 5.9% 0.0% 1.2% 1.2% 5.6% 0.0% 0.0% 0.0%
1983 0.0% 0.0% 0.0% 0.0% 1.8% 0.0% 0.0% 0.0% 0.0% 19.0% 0.0% 0.0% 0.0% 0.0%
1984 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.6% 0.0% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0%
1985 5.3% 3.4% 0.0% 0.0% 0.0% 3.3% 0.0% 0.0% 0.0% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0%
1986 2.4% 0.0% 0.0% 3.8% 5.0% 18.5% 0.0% 0.0% 0.0% 1.1% 8.2% 0.0% 0.0% 0.0% 4.8%
1987 6.5% 0.0% 5.9% 0.0% 0.0% 0.0% 0.0% 1.0% 8.0% 0.0% 1.1% 0.0% 0.0% 1.6% 0.0% 4.3%
1988 2.0% 1.5% 0.0% 4.3% 3.6% 0.0% 0.0% 1.9% 3.6% 0.0% 0.0% 0.0% 0.0% 0.5% 0.0% 0.0%
1989 13.8% 1.4% 0.0% 4.4% 11.3% 0.0% 5.9% 2.5% 3.2% 0.0% 10.5% 1.0% 1.1% 3.6% 0.0% 0.0% 0.0%
1990 24.6% 0.0% 11.8% 6.4% 4.5% 3.8% 0.0% 6.3% 11.1% 11.1% 0.0% 0.0% 0.0% 24.1% 0.0% 0.0% 0.0%
1991 2.7% 1.2% 0.0% 4.9% 4.3% 2.0% 0.0% 11.5% 0.0% 0.0% 0.9% 2.5% 30.0% 0.5% 1.8% 0.0%
1992 5.3% 0.0% 0.0% 10.5% 9.8% 5.9% 6.7% 2.9% 0.0% 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0%
1993 2.3% 0.0% 0.0% 8.7% 0.0% 1.7% 0.0% 2.9% 2.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1994 5.3% 0.0% 0.0% 2.4% 0.0% 0.0% 0.0% 2.5% 2.4% 0.0% 0.0% 1.3% 2.9% 0.0% 0.0% 0.0% 3.7%
1995 2.6% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% 1.4% 2.6% 0.0% 0.0% 0.0% 5.6% 0.0% 0.0% 0.0% 3.6%
1996 2.3% 0.0% 0.0% 0.0% 17.6% 0.0% 0.0% 0.7% 2.3% 0.0% 0.0% 0.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1997 2.0% 0.6% 0.0% 2.3% 0.0% 0.0% 0.0% 3.6% 0.0% 0.0% 0.0% 0.5% 1.2% 0.0% 0.0% 0.0% 0.0% 2.7%
1998 2.8% 0.0% 2.3% 2.5% 5.3% 2.9% 1.0% 5.4% 0.0% 0.0% 0.0% 0.9% 1.1% 0.0% 0.0% 0.0% 0.0% 7.1%
1999 6.4% 0.0% 3.7% 3.6% 0.0% 4.1% 0.0% 1.9% 4.4% 7.4% 4.5% 2.0% 7.6% 0.0% 0.0% 1.5% 0.0% 5.6%
Hotel, Media: Media: Sovereign &

Gaming, Media: Advertising, Broadcasting Diversified & Metals & Services: Services: Public Telecommuni Transportation: Transportation: Utilities: Utilities: Utilities:
& Leisure Insurance Printing & Publishing & Subscription Production Mining REIT Retail Business Consumer Finance cations Cargo Consumer Electric Oil & Gas Water Wholesale
2000 6.1% 1.5% 1.5% 1.5% 3.2% 6.8% 0.0% 4.8% 2.0% 10.0% 4.3% 2.7% 4.1% 5.4% 0.0% 0.0% 0.0% 10.1%
2001 8.6% 0.0% 3.1% 3.8% 3.3% 13.7% 0.0% 6.5% 4.3% 3.6% 2.3% 10.2% 4.0% 1.8% 0.7% 0.0% 0.0% 12.5%
2002 1.8% 0.4% 3.4% 13.9% 7.9% 7.3% 0.9% 2.7% 2.2% 3.4% 0.0% 14.3% 4.6% 8.8% 0.0% 1.2% 3.6% 8.6%
2003 2.9% 0.8% 1.6% 5.4% 0.0% 4.4% 0.0% 2.8% 1.1% 0.0% 0.0% 8.2% 3.7% 3.5% 0.3% 1.3% 0.0% 9.3%
2004 4.1% 0.4% 0.0% 4.8% 0.0% 1.9% 0.0% 0.7% 2.3% 0.0% 0.0% 1.5% 0.0% 5.1% 0.3% 0.0% 0.0% 2.8%
2005 1.0% 0.0% 0.0% 1.0% 0.0% 0.9% 0.0% 1.6% 0.0% 0.0% 0.0% 0.4% 0.0% 8.2% 0.3% 0.0% 0.0% 2.9%
2006 0.8% 0.7% 0.0% 3.1% 0.0% 0.0% 0.0% 0.7% 0.0% 0.0% 0.0% 0.0% 3.7% 0.0% 0.0% 0.0% 0.0% 2.5%
2007 0.8% 0.0% 3.1% 0.0% 0.0% 0.0% 0.0% 2.2% 0.7% 2.6% 0.0% 0.9% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0%
2008 9.9% 0.0% 7.3% 2.0% 6.9% 0.8% 2.4% 3.6% 0.6% 0.0% 0.0% 2.4% 5.0% 0.0% 0.0% 0.0% 0.0% 0.0%
2009 17.7% 0.3% 34.5% 22.7% 0.0% 9.9% 5.7% 3.7% 3.8% 7.1% 0.0% 5.9% 7.4% 3.3% 0.3% 0.0% 0.0% 10.8%
2010 4.4% 0.4% 13.9% 2.1% 0.0% 0.0% 0.0% 4.1% 1.8% 0.0% 0.0% 1.6% 1.5% 0.0% 0.0% 1.0% 0.0% 2.7%
2011 3.4% 0.4% 8.2% 0.0% 0.0% 0.0% 0.8% 3.3% 1.3% 1.9% 0.0% 0.0% 6.0% 5.6% 0.0% 0.0% 0.0% 0.0%
2012 3.8% 0.4% 14.9% 1.0% 0.0% 2.1% 0.0% 2.1% 1.6% 6.8% 0.0% 1.7% 1.2% 1.9% 0.5% 0.0% 0.0% 0.0%
2013 2.3% 0.4% 18.8% 0.9% 0.0% 1.9% 0.7% 1.3% 2.0% 0.0% 0.0% 1.7% 2.2% 0.0% 0.0% 0.0% 0.0% 0.0%
2014 1.5% 0.0% 8.0% 0.0% 0.0% 5.2% 0.0% 2.3% 2.5% 3.4% 1.1% 1.6% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0%
2015 2.2% 0.7% 2.2% 1.0% 3.3% 6.6% 0.6% 2.1% 2.2% 4.7% 0.0% 0.5% 0.0% 0.0% 0.2% 0.0% 0.0% 1.6%
2016 0.7% 0.0% 15.8% 0.0% 0.0% 9.0% 0.5% 3.7% 1.1% 0.0% 0.0% 1.6% 2.1% 1.6% 0.2% 0.0% 0.0% 6.0%
2017 0.0% 0.0% 0.0% 4.0% 2.9% 2.0% 0.0% 7.1% 4.0% 1.4% 0.0% 1.6% 3.0% 0.0% 0.0% 0.0% 0.0% 3.0%
2018 0.0% 0.0% 6.4% 1.0% 0.0% 1.9% 0.5% 7.4% 2.0% 0.0% 0.0% 1.0% 2.0% 0.0% 0.2% 0.0% 0.0% 4.4%
2019 2.1% 0.0% 3.2% 1.1% 2.9% 3.1% 0.0% 5.6% 2.6% 1.5% 1.1% 3.1% 2.9% 0.0% 0.5% 0.0% 0.0% 2.9%
2020 7.5% 0.0% 13.7% 0.0% 3.1% 2.5% 0.9% 12.7% 7.5% 9.9% 0.0% 3.2% 4.9% 4.2% 0.2% 0.0% 0.0% 5.6%
2021 1.2% 0.0% 3.8% 0.0% 5.4% 0.6% 0.4% 1.2% 1.9% 0.0% 0.0% 1.1% 1.0% 0.0% 0.0% 0.0% 0.0% 1.4%
Exhibit 46
Annual Volume-Weighted Corporate Bond Default Rates By Letter Rating, 1994-2021
Year Aaa Aa A Baa Ba B Caa-C Inv-Grade Spec-Grade All- Rated
1994 0.00% 0.00% 0.00% 0.00% 0.00% 2.29% 22.76% 0.00% 2.13% 0.43%
1995 0.00% 0.00% 0.00% 0.00% 0.00% 4.32% 12.41% 0.00% 3.08% 0.71%
1996 0.00% 0.00% 0.00% 0.00% 0.00% 2.29% 18.46% 0.00% 2.34% 0.67%
1997 0.00% 0.00% 0.00% 0.00% 0.05% 3.07% 6.42% 0.00% 1.91% 0.49%
1998 0.00% 0.00% 0.00% 0.00% 0.65% 3.29% 11.31% 0.00% 2.87% 0.85%
1999 0.00% 0.00% 0.00% 0.14% 1.15% 5.50% 21.19% 0.03% 5.88% 1.13%
2000 0.00% 0.00% 0.00% 0.62% 1.74% 5.41% 19.99% 0.14% 5.63% 1.30%
2001 0.00% 0.00% 0.72% 0.96% 1.28% 14.34% 50.28% 0.55% 15.24% 2.95%
2002 0.00% 0.00% 2.72% 2.30% 5.25% 16.70% 76.40% 1.86% 21.56% 4.90%
2003 0.00% 0.00% 0.00% 0.00% 3.62% 3.75% 16.06% 0.00% 5.95% 1.04%
2004 0.00% 0.00% 0.00% 0.00% 0.00% 0.26% 9.19% 0.00% 1.88% 0.33%
2005 0.00% 0.00% 0.00% 0.20% 0.00% 0.90% 18.18% 0.07% 3.79% 0.75%
2006 0.00% 0.00% 0.00% 0.00% 0.03% 1.07% 4.00% 0.00% 1.05% 0.21%
2007 0.00% 0.00% 0.00% 0.00% 0.00% 0.11% 4.63% 0.00% 0.82% 0.16%
2008 0.00% 0.82% 2.37% 1.11% 8.27% 0.96% 11.35% 1.47% 5.80% 2.22%
2009 0.00% 0.00% 0.01% 0.75% 3.45% 6.20% 37.90% 0.22% 16.15% 2.74%
2010 0.00% 0.00% 0.15% 0.02% 0.00% 0.13% 6.22% 0.08% 1.70% 0.35%
2011 0.00% 0.11% 0.00% 0.40% 0.00% 0.17% 7.16% 0.15% 1.46% 0.40%
2012 0.00% 0.00% 0.00% 0.02% 0.00% 0.22% 11.19% 0.01% 2.05% 0.40%
2013 0.00% 0.00% 0.06% 0.02% 0.00% 0.87% 4.37% 0.04% 1.09% 0.26%
2014 0.00% 0.00% 0.02% 0.00% 0.11% 0.32% 9.26% 0.01% 1.74% 0.39%
2015 0.00% 0.00% 0.00% 0.00% 0.81% 1.38% 17.10% 0.00% 3.48% 0.79%
2016 0.00% 0.00% 0.00% 0.00% 0.13% 0.94% 17.97% 0.00% 3.27% 0.69%
2017 0.00% 0.00% 0.00% 0.00% 0.33% 0.28% 9.77% 0.00% 1.82% 0.36%
2018 0.00% 0.00% 0.00% 0.00% 0.00% 0.56% 11.54% 0.00% 1.87% 0.35%
2019 0.00% 0.00% 0.00% 0.42% 0.00% 1.38% 16.45% 0.22% 2.82% 0.66%
2020 0.00% 0.00% 0.00% 0.02% 0.00% 3.63% 35.52% 0.01% 6.26% 1.02%
2021 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.43% 0.00% 0.31% 0.06%
Mean 0.00% 0.03% 0.22% 0.25% 0.96% 2.87% 17.48% 0.17% 4.43% 0.95%
Median 0.00% 0.00% 0.00% 0.00% 0.02% 1.22% 11.97% 0.00% 2.58% 0.67%
StDev 0.00% 0.15% 0.67% 0.51% 1.95% 4.03% 15.89% 0.44% 5.04% 1.06%
Min 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.43% 0.00% 0.31% 0.06%
Max 0.00% 0.82% 2.72% 2.30% 8.27% 16.70% 76.40% 1.86% 21.56% 4.90%
Exhibit 47
Average volume-weighted corporate bond default rates By letter rating, 1994-2021
Rating \ Year 1 2 3 4 5
Aaa 0.00% 0.04% 0.04% 0.04% 0.04%
Aa 0.03% 0.07% 0.09% 0.12% 0.17%
A 0.20% 0.39% 0.56% 0.69% 0.84%
Baa 0.11% 0.22% 0.31% 0.46% 0.68%
Ba 0.48% 1.28% 1.98% 2.78% 3.39%
B 2.23% 5.26% 8.30% 10.87% 12.55%
Caa-C 14.70% 25.02% 32.02% 35.64% 37.85%
Inv-Grade 0.13% 0.26% 0.38% 0.49% 0.65%
Spec-Grade 3.46% 6.69% 9.37% 11.37% 12.69%
All Rated 0.76% 1.49% 2.09% 2.58% 2.96%
Exhibit 48
Cumulative issuer-weighted default rates by annual cohort, 1970-2021
1/1/70
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 39 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.70% 2.70% 2.70%
Aa 77 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.45% 1.45% 1.45% 2.94% 2.94% 2.94% 2.94%
A 254 0.00% 0.00% 0.00% 0.41% 0.41% 0.84% 0.84% 0.84% 0.84% 0.84% 1.29% 1.29% 1.29% 1.29% 1.29% 1.29% 1.79% 1.79% 2.84% 2.84%
Baa 372 0.54% 0.54% 0.54% 1.12% 1.42% 1.42% 1.73% 2.37% 3.04% 3.04% 3.40% 3.40% 4.59% 5.00% 5.42% 5.87% 7.25% 8.29% 9.35% 9.92%
Ba 238 4.24% 5.12% 5.57% 6.05% 7.04% 8.07% 8.61% 9.21% 10.46% 10.46% 10.46% 12.02% 14.56% 15.49% 15.49% 17.58% 21.08% 23.61% 23.61% 25.08%
B 36 19.44% 19.44% 22.32% 22.32% 22.32% 22.32% 22.32% 22.32% 22.32% 22.32% 22.32% 22.32% 30.50% 30.50% 30.50% 30.50% 36.29% 36.29% 36.29% 36.29%
Caa-C 16 50.00% 56.25% 75.00% 81.25% 81.25% 81.25% 81.25% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63% 90.63%
IG 742 0.27% 0.27% 0.27% 0.70% 0.84% 0.99% 1.14% 1.44% 1.76% 1.76% 2.09% 2.09% 2.61% 2.97% 3.15% 3.34% 4.30% 4.90% 5.73% 5.95%
SG 290 8.68% 9.76% 11.60% 12.38% 13.19% 14.03% 14.47% 15.44% 16.45% 16.45% 16.45% 17.69% 21.01% 21.73% 21.73% 23.35% 26.97% 28.93% 28.93% 30.10%
All 1032 2.63% 2.93% 3.43% 3.95% 4.27% 4.60% 4.82% 5.28% 5.76% 5.76% 6.01% 6.28% 7.37% 7.79% 7.94% 8.39% 9.79% 10.61% 11.29% 11.65%
1/1/71
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 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% 0.00% 2.70% 2.70% 2.70% 2.70%
Aa 74 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.75%
A 282 0.00% 0.00% 0.37% 0.37% 0.74% 0.74% 0.74% 0.74% 0.74% 1.14% 1.14% 1.55% 1.96% 1.96% 1.96% 2.40% 2.40% 3.30% 3.30% 3.30%
Baa 398 0.00% 0.00% 0.53% 0.80% 1.07% 1.37% 1.97% 2.59% 2.59% 2.93% 2.93% 4.06% 4.45% 4.85% 5.28% 6.58% 7.55% 8.55% 9.08% 10.22%
Ba 228 0.89% 1.33% 1.82% 2.81% 3.84% 4.38% 4.99% 6.24% 6.24% 6.24% 7.80% 10.32% 11.25% 11.25% 13.31% 17.94% 20.49% 20.49% 21.96% 21.96%
B 27 0.00% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 15.87% 15.87% 15.87% 15.87% 23.51% 23.51% 23.51% 23.51% 23.51%
Caa-C 8 12.50% 50.00% 62.50% 62.50% 62.50% 62.50% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25% 81.25%
IG 794 0.00% 0.00% 0.39% 0.53% 0.80% 0.94% 1.22% 1.51% 1.51% 1.82% 1.82% 2.47% 2.80% 2.97% 3.15% 3.86% 4.43% 5.20% 5.40% 6.02%
SG 263 1.16% 3.11% 3.94% 4.81% 5.71% 6.17% 7.22% 8.30% 8.30% 8.30% 9.62% 13.17% 13.95% 13.95% 15.67% 20.48% 22.59% 22.59% 23.84% 23.84%
All 1057 0.29% 0.77% 1.27% 1.57% 1.99% 2.20% 2.65% 3.11% 3.11% 3.35% 3.61% 4.80% 5.20% 5.34% 5.78% 7.12% 7.92% 8.56% 8.91% 9.44%
1/1/72
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 41 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.63% 2.63% 2.63% 2.63% 2.63%
Aa 78 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.67% 1.67%
A 303 0.00% 0.34% 0.34% 0.34% 0.34% 0.34% 0.34% 0.34% 0.34% 0.34% 0.72% 1.10% 1.10% 1.10% 1.50% 1.50% 2.34% 2.34% 2.80% 3.27%
Baa 431 0.00% 0.49% 0.74% 1.25% 1.51% 2.06% 2.64% 2.64% 3.27% 3.27% 3.98% 4.34% 5.09% 5.48% 6.68% 7.57% 8.48% 9.48% 11.07% 13.83%
Ba 224 0.00% 0.48% 1.45% 2.47% 3.00% 3.59% 4.81% 4.81% 4.81% 6.29% 9.48% 10.35% 10.35% 13.24% 17.53% 19.85% 19.85% 21.19% 22.62% 28.73%
B 29 6.90% 6.90% 6.90% 6.90% 6.90% 6.90% 6.90% 6.90% 6.90% 6.90% 17.85% 17.85% 17.85% 17.85% 25.32% 25.32% 25.32% 25.32% 25.32% 25.32%
Caa-C 8 37.50% 50.00% 50.00% 50.00% 50.00% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67%
IG 853 0.00% 0.36% 0.49% 0.74% 0.87% 1.13% 1.40% 1.40% 1.68% 1.68% 2.14% 2.45% 2.77% 2.93% 3.59% 4.11% 4.83% 5.21% 6.19% 7.40%
SG 261 1.92% 2.73% 3.58% 4.46% 4.91% 5.92% 6.96% 6.96% 6.96% 8.22% 12.23% 12.96% 12.96% 15.41% 19.91% 21.87% 21.87% 23.01% 24.28% 29.70%
All 1114 0.45% 0.92% 1.21% 1.60% 1.80% 2.21% 2.64% 2.64% 2.87% 3.11% 4.22% 4.60% 4.86% 5.40% 6.65% 7.39% 7.99% 8.47% 9.48% 11.22%
1/1/73
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 41 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.63% 2.63% 2.63% 2.63% 2.63% 2.63%
Aa 81 0.00% 0.00% 0.00% 0.00% 0.00% 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% 1.59% 1.59%
A 309 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.37% 0.74% 0.74% 0.74% 1.13% 1.13% 1.95% 1.95% 2.40% 2.85% 3.31%
Baa 441 0.46% 0.69% 1.17% 1.43% 1.94% 2.48% 2.48% 3.08% 3.08% 3.75% 4.43% 5.14% 5.87% 7.01% 7.85% 8.70% 9.65% 11.65% 13.76% 13.76%
Ba 205 0.00% 1.02% 2.08% 2.63% 3.24% 4.50% 4.50% 4.50% 5.99% 10.01% 10.87% 10.87% 12.77% 17.03% 20.52% 20.52% 21.82% 23.22% 30.45% 31.96%
B 27 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 3.85% 15.16% 15.16% 15.16% 15.16% 22.87% 22.87% 22.87% 22.87% 22.87% 22.87% 22.87%
Caa-C 6 37.50% 37.50% 37.50% 37.50% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33% 58.33%
IG 872 0.23% 0.35% 0.59% 0.71% 0.96% 1.22% 1.22% 1.49% 1.49% 1.93% 2.37% 2.68% 2.99% 3.63% 4.13% 4.82% 5.18% 6.31% 7.29% 7.49%
SG 238 1.28% 2.16% 3.09% 3.56% 4.61% 5.69% 5.69% 5.69% 6.97% 11.74% 12.48% 12.48% 14.10% 18.61% 21.58% 21.58% 22.72% 23.97% 30.47% 31.83%
All 1110 0.46% 0.73% 1.11% 1.31% 1.71% 2.13% 2.13% 2.35% 2.58% 3.78% 4.27% 4.53% 5.04% 6.26% 7.12% 7.71% 8.17% 9.31% 11.00% 11.34%
1/1/74
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 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% 0.00% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50%
Aa 89 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.27% 1.27% 1.27% 1.27% 1.27% 1.27% 1.27% 1.27% 2.74% 2.74% 2.74% 2.74%
A 307 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.37% 0.74% 0.74% 0.74% 1.12% 1.12% 1.93% 1.93% 2.37% 2.82% 3.27% 3.27%
Baa 431 0.00% 0.48% 0.73% 1.24% 1.79% 1.79% 2.38% 2.38% 3.05% 3.73% 4.44% 5.17% 5.56% 6.40% 7.27% 8.22% 9.72% 11.83% 11.83% 11.83%
Ba 197 0.51% 1.60% 2.17% 2.79% 4.09% 4.09% 4.09% 4.85% 8.92% 9.80% 9.80% 11.70% 17.93% 21.39% 21.39% 22.72% 25.53% 32.82% 34.35% 36.17%
B 29 7.16% 7.16% 7.16% 7.16% 7.16% 7.16% 7.16% 11.80% 22.18% 22.18% 22.18% 22.18% 29.96% 29.96% 29.96% 29.96% 29.96% 29.96% 29.96% 29.96%
Caa-C 3 0.00% 0.00% 0.00% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33%
IG 871 0.00% 0.24% 0.36% 0.60% 0.86% 0.86% 1.12% 1.12% 1.70% 2.14% 2.44% 2.75% 3.06% 3.56% 4.24% 4.60% 5.52% 6.48% 6.67% 6.67%
SG 229 1.33% 2.27% 2.76% 3.82% 4.93% 4.93% 4.93% 6.23% 11.03% 11.78% 11.78% 13.41% 19.68% 22.65% 22.65% 23.80% 26.34% 32.98% 34.38% 36.02%
All 1100 0.28% 0.65% 0.85% 1.25% 1.66% 1.66% 1.88% 2.11% 3.41% 3.90% 4.15% 4.67% 5.87% 6.72% 7.30% 7.76% 8.89% 10.55% 10.89% 11.07%
1/1/75
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 52 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% 2.04% 2.04% 2.04% 2.04% 2.04% 2.04% 2.04%
Aa 103 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.05% 1.05% 1.05% 1.05% 1.05% 1.05% 2.23% 2.23% 3.45% 3.45% 3.45% 3.45% 3.45%
A 321 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.35% 0.35% 0.35% 0.73% 0.73% 1.51% 1.51% 1.93% 2.79% 3.24% 3.72% 3.72%
Baa 412 0.00% 0.00% 0.27% 0.82% 0.82% 1.44% 1.44% 2.45% 3.14% 3.85% 4.59% 4.98% 5.83% 6.26% 7.21% 9.21% 11.30% 11.30% 11.30% 11.30%
Ba 200 1.03% 2.12% 3.27% 3.89% 3.89% 3.89% 4.59% 8.44% 9.27% 9.27% 11.09% 17.01% 20.31% 21.46% 22.73% 24.06% 29.62% 31.06% 32.74% 32.74%
B 33 6.16% 6.16% 6.16% 9.51% 9.51% 9.51% 13.44% 22.10% 22.10% 22.10% 22.10% 28.59% 28.59% 28.59% 28.59% 38.79% 48.99% 48.99% 48.99% 48.99%
Caa-C 3 0.00% 0.00% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33%
IG 888 0.00% 0.00% 0.12% 0.36% 0.36% 0.62% 0.62% 1.17% 1.59% 1.88% 2.17% 2.47% 2.94% 3.58% 3.92% 4.97% 6.06% 6.24% 6.44% 6.44%
SG 236 1.74% 2.66% 4.12% 5.14% 5.14% 5.14% 6.33% 10.80% 11.50% 11.50% 13.04% 18.91% 21.69% 22.65% 23.71% 26.02% 32.04% 33.30% 34.75% 34.75%
All 1124 0.36% 0.55% 0.93% 1.32% 1.32% 1.53% 1.75% 2.99% 3.45% 3.69% 4.18% 5.32% 6.13% 6.81% 7.25% 8.46% 10.17% 10.49% 10.84% 10.84%
1/1/76
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 66 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69%
Aa 112 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.97% 0.97% 0.97% 0.97% 0.97% 0.97% 2.06% 2.06% 3.18% 3.18% 3.18% 3.18% 3.18% 3.18%
A 367 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.61% 0.61% 0.61% 1.27% 1.27% 2.32% 2.32% 3.07% 4.24% 4.24% 4.68% 4.68% 5.16%
Baa 371 0.00% 0.29% 0.58% 0.58% 0.91% 0.91% 2.35% 3.09% 3.86% 4.65% 5.06% 5.96% 5.96% 6.98% 9.12% 10.79% 11.36% 11.36% 11.36% 11.36%
Ba 206 1.00% 2.04% 3.16% 3.16% 3.79% 4.43% 7.20% 7.96% 7.96% 9.59% 14.85% 17.80% 18.83% 19.96% 21.15% 27.30% 28.58% 30.03% 30.03% 30.03%
B 27 0.00% 0.00% 4.00% 4.00% 4.00% 8.80% 19.53% 19.53% 19.53% 19.53% 28.47% 28.47% 28.47% 28.47% 42.78% 57.08% 57.08% 57.08% 57.08% 57.08%
Caa-C 3 0.00% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33%
IG 916 0.00% 0.11% 0.23% 0.23% 0.35% 0.35% 1.00% 1.52% 1.79% 2.07% 2.50% 2.94% 3.55% 3.88% 5.04% 6.06% 6.23% 6.42% 6.42% 6.63%
SG 236 0.87% 2.25% 3.69% 3.69% 4.23% 5.36% 8.96% 9.62% 9.62% 11.06% 16.54% 19.16% 20.07% 21.07% 23.22% 29.96% 31.15% 32.50% 32.50% 32.50%
All 1152 0.18% 0.54% 0.91% 0.91% 1.11% 1.31% 2.48% 3.03% 3.26% 3.72% 4.92% 5.68% 6.33% 6.75% 8.03% 9.80% 10.10% 10.43% 10.43% 10.61%
1/1/77
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 67 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69% 1.69%
Aa 119 0.00% 0.00% 0.00% 0.00% 0.00% 0.91% 0.91% 0.91% 0.91% 0.91% 0.91% 1.94% 1.94% 3.00% 3.00% 3.00% 3.00% 3.00% 3.00% 3.00%
A 388 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.58% 0.58% 0.58% 1.20% 1.20% 2.84% 2.84% 3.90% 5.00% 5.00% 5.42% 5.42% 5.88% 5.88%
Baa 355 0.29% 0.60% 0.60% 0.60% 0.60% 2.06% 2.81% 3.59% 4.40% 4.82% 5.73% 5.73% 6.77% 8.40% 10.09% 10.66% 10.66% 10.66% 10.66% 10.66%
Ba 195 0.54% 1.67% 1.67% 2.27% 2.92% 5.72% 6.48% 6.48% 8.11% 13.37% 16.30% 17.32% 18.44% 19.64% 25.81% 27.09% 28.55% 28.55% 28.55% 28.55%
B 31 3.23% 6.56% 6.56% 10.63% 14.88% 24.90% 24.90% 24.90% 24.90% 33.24% 33.24% 33.24% 33.24% 46.59% 59.94% 59.94% 59.94% 59.94% 59.94% 59.94%
Caa-C 3 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33%
IG 929 0.11% 0.22% 0.22% 0.22% 0.22% 0.85% 1.36% 1.62% 1.89% 2.31% 2.74% 3.63% 3.95% 5.07% 6.06% 6.23% 6.41% 6.41% 6.62% 6.62%
SG 229 1.36% 2.79% 2.79% 3.84% 4.95% 8.55% 9.21% 9.21% 10.64% 16.05% 18.63% 19.53% 20.51% 22.64% 29.34% 30.52% 31.85% 31.85% 31.85% 31.85%
All 1158 0.35% 0.72% 0.72% 0.91% 1.11% 2.25% 2.78% 3.00% 3.45% 4.63% 5.37% 6.26% 6.66% 7.91% 9.62% 9.91% 10.24% 10.24% 10.42% 10.42%
1/1/78
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 71 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.56% 1.56% 1.56% 3.15% 3.15% 3.15% 3.15% 3.15% 3.15% 3.15% 3.15%
Aa 131 0.00% 0.00% 0.00% 0.00% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 1.74% 1.74% 1.74% 1.74% 1.74% 1.74% 1.74% 1.74% 1.74% 1.74%
A 380 0.00% 0.00% 0.00% 0.00% 0.00% 0.58% 0.58% 0.58% 1.21% 1.21% 2.55% 2.55% 4.00% 4.74% 4.74% 5.17% 5.17% 5.64% 5.64% 5.64%
Baa 341 0.00% 0.00% 0.00% 0.00% 1.42% 1.78% 2.55% 2.94% 3.35% 4.65% 5.10% 6.11% 7.68% 9.86% 10.41% 10.41% 10.41% 10.41% 10.41% 10.41%
Ba 187 1.12% 1.12% 1.12% 1.77% 4.58% 6.09% 6.09% 9.33% 15.44% 17.43% 18.44% 19.55% 21.94% 28.12% 29.41% 32.29% 32.29% 32.29% 32.29% 32.29%
B 37 5.41% 5.41% 11.71% 14.98% 22.37% 22.37% 26.94% 26.94% 32.56% 38.69% 38.69% 38.69% 47.45% 60.59% 60.59% 60.59% 60.59% 60.59% 60.59% 60.59%
Caa-C 3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 50.00% 50.00% 50.00% 50.00% 50.00%
IG 923 0.00% 0.00% 0.00% 0.00% 0.61% 0.98% 1.24% 1.37% 1.78% 2.34% 3.21% 3.51% 4.76% 5.73% 5.89% 6.07% 6.07% 6.27% 6.27% 6.27%
SG 227 1.82% 1.82% 2.84% 3.91% 7.37% 8.61% 9.28% 12.01% 18.68% 21.16% 22.00% 22.94% 26.01% 32.61% 33.77% 36.37% 36.37% 36.37% 36.37% 36.37%
All 1150 0.35% 0.35% 0.54% 0.74% 1.84% 2.36% 2.68% 3.23% 4.60% 5.44% 6.30% 6.69% 8.18% 9.85% 10.13% 10.60% 10.60% 10.77% 10.77% 10.77%
1/1/79
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 75 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.47% 1.47% 1.47% 2.96% 2.96% 2.96% 2.96% 2.96% 2.96% 2.96% 2.96% 2.96%
Aa 132 0.00% 0.00% 0.00% 0.81% 0.81% 0.81% 0.81% 0.81% 0.81% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
A 376 0.00% 0.00% 0.00% 0.00% 0.57% 0.57% 0.57% 1.19% 1.19% 2.52% 2.52% 3.59% 4.32% 4.32% 4.75% 4.75% 5.20% 5.20% 5.20% 5.20%
Baa 336 0.00% 0.31% 0.31% 1.70% 2.06% 2.43% 2.81% 2.81% 4.09% 4.53% 5.51% 8.12% 10.28% 10.83% 10.83% 10.83% 10.83% 10.83% 10.83% 10.83%
Ba 207 0.51% 0.51% 1.07% 3.49% 6.07% 9.49% 12.27% 18.90% 20.55% 21.40% 22.33% 25.39% 31.70% 32.79% 35.19% 35.19% 35.19% 35.19% 35.19% 35.19%
B 34 0.00% 6.45% 9.79% 17.01% 17.01% 21.62% 26.52% 38.95% 45.74% 45.74% 45.74% 56.59% 56.59%
Caa-C 3 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 50.00% 50.00% 50.00% 50.00% 50.00%
IG 919 0.00% 0.11% 0.11% 0.71% 1.08% 1.20% 1.33% 1.60% 2.14% 3.00% 3.30% 4.68% 5.63% 5.79% 5.96% 5.96% 6.16% 6.16% 6.16% 6.16%
SG 244 0.43% 1.34% 2.29% 5.35% 7.55% 11.06% 14.06% 21.82% 23.96% 24.70% 25.52% 29.15% 35.00% 36.03% 38.31% 38.31% 38.31% 38.31% 38.31% 38.31%
All 1163 0.09% 0.36% 0.55% 1.61% 2.31% 3.03% 3.66% 5.20% 6.00% 6.83% 7.21% 8.91% 10.52% 10.80% 11.25% 11.25% 11.42% 11.42% 11.42% 11.42%
1/1/80
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 87 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.27% 1.27% 1.27% 2.56% 2.56% 2.56% 2.56% 2.56% 2.56% 2.56% 2.56% 2.56% 2.56%
Aa 130 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.90% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80% 1.80%
A 381 0.00% 0.00% 0.28% 0.83% 0.83% 0.83% 1.73% 2.04% 3.01% 3.01% 4.06% 4.78% 4.78% 5.19% 5.19% 5.64% 5.64% 5.64% 5.64% 6.66%
Baa 336 0.00% 0.00% 1.01% 1.36% 1.73% 2.46% 2.46% 3.29% 4.14% 5.53% 7.98% 10.50% 11.53% 11.53% 11.53% 11.53% 11.53% 11.53% 11.53% 11.53%
Ba 207 0.00% 0.52% 3.89% 5.09% 8.86% 12.10% 18.21% 20.48% 21.26% 23.94% 26.81% 32.98% 35.28% 37.72% 37.72% 37.72% 37.72% 39.28% 39.28% 39.28%
B 41 5.00% 7.57% 15.72% 21.54% 27.95% 31.55% 44.78% 49.38% 49.38% 49.38% 61.43% 69.15% 69.15% 69.15% 69.15% 69.15% 69.15% 69.15% 69.15% 69.15%
Caa-C 6 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 55.56% 55.56% 55.56% 55.56% 55.56%
IG 934 0.00% 0.00% 0.46% 0.82% 0.94% 1.18% 1.56% 2.23% 3.05% 3.48% 4.81% 5.87% 6.18% 6.35% 6.35% 6.54% 6.54% 6.54% 6.54% 6.98%
SG 254 1.63% 2.48% 6.55% 8.49% 12.59% 15.79% 23.19% 25.69% 26.33% 28.54% 32.53% 38.69% 40.72% 42.88% 42.88% 42.88% 42.88% 44.24% 44.24% 44.24%
All 1188 0.34% 0.52% 1.72% 2.38% 3.25% 4.05% 5.72% 6.70% 7.49% 8.20% 9.93% 11.72% 12.26% 12.69% 12.69% 12.85% 12.85% 13.02% 13.02% 13.39%
1/1/81
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 91 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.22% 1.22% 1.22% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49% 2.49%
Aa 135 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.83% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 3.73%
A 386 0.00% 0.27% 0.27% 0.27% 0.27% 1.15% 1.46% 2.11% 2.11% 3.15% 3.88% 3.88% 4.29% 4.29% 4.74% 4.74% 4.74% 4.74% 5.75% 6.27%
Baa 339 0.00% 0.64% 1.96% 2.65% 3.37% 3.37% 3.77% 4.59% 5.91% 8.26% 10.18% 11.16% 11.16% 11.16% 11.16% 11.16% 11.16% 11.16% 11.91% 12.72%
Ba 240 0.00% 3.65% 5.13% 8.17% 11.87% 18.56% 21.07% 21.72% 24.73% 28.83% 35.16% 37.24% 39.44% 39.44% 39.44% 39.44% 40.85% 42.29% 42.29% 42.29%
B 46 4.40% 11.39% 16.32% 24.33% 27.25% 41.23% 41.23% 41.23% 41.23% 51.52% 57.58% 57.58% 57.58% 57.58% 57.58% 57.58% 57.58% 57.58% 57.58% 57.58%
Caa-C 7 0.00% 0.00% 0.00% 0.00% 0.00% 16.67% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33% 33.33%
IG 951 0.00% 0.33% 0.78% 1.01% 1.25% 1.62% 2.14% 2.93% 3.35% 4.64% 5.52% 5.82% 5.99% 5.99% 6.17% 6.17% 6.17% 6.17% 6.80% 7.46%
SG 293 0.70% 4.79% 6.78% 10.51% 13.99% 21.89% 24.47% 25.01% 27.47% 32.23% 38.31% 40.09% 41.97% 41.97% 41.97% 41.97% 43.15% 44.36% 44.36% 44.36%
All 1244 0.16% 1.35% 2.14% 3.14% 4.07% 6.01% 6.93% 7.68% 8.46% 10.34% 12.04% 12.55% 12.96% 12.96% 13.11% 13.11% 13.28% 13.44% 13.98% 14.53%
1/1/82
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 94 0.00% 0.00% 0.00% 0.00% 0.00% 1.18% 1.18% 1.18% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41% 2.41%
Aa 147 0.00% 0.00% 0.00% 0.00% 0.00% 0.76% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 3.29% 3.29% 3.29% 3.29% 3.29% 4.46% 4.46%
A 395 0.26% 0.26% 0.26% 0.26% 1.11% 1.11% 1.74% 1.74% 3.10% 3.80% 3.80% 4.20% 4.20% 4.20% 4.20% 4.20% 4.20% 4.68% 5.18% 8.27%
Baa 325 0.33% 0.33% 1.39% 2.13% 2.51% 3.32% 4.16% 5.50% 7.87% 9.81% 10.81% 10.81% 10.81% 10.81% 10.81% 10.81% 10.81% 12.35% 13.17% 13.17%
Ba 254 2.79% 5.36% 8.05% 11.79% 18.63% 20.84% 21.42% 24.08% 28.54% 32.63% 34.53% 36.55% 36.55% 36.55% 36.55% 37.90% 39.38% 39.38% 39.38% 42.65%
B 45 2.22% 9.10% 14.08% 16.77% 29.17% 29.17% 29.17% 29.17% 34.62% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19% 53.19%
Caa-C 14 21.43% 50.00% 50.00% 50.00% 58.33% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67% 66.67%
IG 961 0.21% 0.21% 0.55% 0.79% 1.27% 1.77% 2.55% 2.95% 4.36% 5.22% 5.52% 5.68% 5.68% 5.86% 5.86% 5.86% 5.86% 6.48% 7.12% 8.44%
SG 313 3.54% 7.97% 10.87% 14.28% 21.92% 24.15% 24.62% 26.80% 31.11% 36.56% 38.17% 39.86% 39.86% 39.86% 39.86% 40.97% 42.18% 42.18% 42.18% 44.87%
All 1274 1.04% 2.11% 3.06% 4.03% 6.15% 7.03% 7.73% 8.49% 10.41% 12.05% 12.54% 12.94% 12.94% 13.09% 13.09% 13.25% 13.41% 13.93% 14.47% 15.93%
1/1/83
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 101 0.00% 0.00% 0.00% 0.00% 2.25% 2.25% 2.25% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48% 3.48%
Aa 240 0.00% 0.00% 0.00% 0.00% 0.45% 1.84% 1.84% 1.84% 1.84% 1.84% 1.84% 1.84% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 3.24% 4.04%
A 480 0.00% 0.00% 0.00% 0.23% 0.23% 0.98% 0.98% 2.33% 3.46% 4.04% 4.36% 4.36% 4.36% 4.36% 4.36% 4.36% 4.36% 4.78% 6.06% 6.50%
Baa 332 0.00% 0.96% 1.31% 2.73% 3.13% 3.54% 4.45% 6.82% 8.81% 8.81% 8.81% 8.81% 8.81% 8.81% 8.81% 8.81% 10.33% 11.93% 13.63% 17.08%
Ba 179 1.16% 2.42% 4.42% 10.24% 11.92% 15.52% 19.80% 23.29% 26.87% 26.87% 28.53% 28.53% 28.53% 28.53% 28.53% 31.00% 33.65% 36.42% 41.94% 44.71%
B 140 2.22% 6.86% 13.30% 23.33% 26.04% 26.96% 29.18% 36.43% 47.59% 52.47% 54.97% 54.97% 54.97% 54.97% 58.72% 58.72% 58.72% 58.72% 58.72% 58.72%
Caa-C 21 45.05% 56.04% 61.54% 61.54% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36% 74.36%
IG 1153 0.00% 0.27% 0.37% 0.85% 1.26% 2.00% 2.23% 3.50% 4.46% 4.71% 4.84% 4.84% 4.99% 4.99% 4.99% 4.99% 5.34% 5.88% 6.99% 8.15%
SG 340 4.27% 7.56% 11.67% 18.96% 21.80% 23.95% 27.06% 31.85% 37.79% 39.39% 41.20% 41.20% 41.20% 41.20% 42.42% 43.86% 45.38% 46.99% 50.20% 51.86%
All 1493 0.95% 1.87% 2.82% 4.72% 5.62% 6.64% 7.37% 9.19% 10.89% 11.31% 11.66% 11.66% 11.79% 11.79% 11.93% 12.07% 12.52% 13.15% 14.43% 15.60%
1/1/84
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 87 0.00% 0.00% 0.00% 1.27% 1.27% 1.27% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70% 2.70%
Aa 255 0.00% 0.00% 0.00% 0.84% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 2.31% 2.31% 2.31% 2.31% 2.31% 2.31% 3.01% 3.76% 3.76%
A 503 0.00% 0.21% 0.42% 0.65% 1.58% 1.58% 3.08% 4.12% 4.65% 4.65% 4.65% 4.65% 4.65% 4.65% 4.65% 4.65% 5.03% 6.20% 6.60% 7.05%
Baa 340 0.61% 0.61% 0.94% 1.33% 1.73% 2.60% 3.54% 5.02% 5.02% 5.58% 5.58% 5.58% 5.58% 6.29% 6.29% 7.09% 8.80% 11.46% 14.21% 14.21%
Ba 196 0.52% 2.14% 9.06% 11.63% 15.11% 18.35% 24.34% 29.64% 30.72% 31.90% 31.90% 31.90% 31.90% 31.90% 31.90% 35.74% 37.75% 39.75% 43.77% 43.77%
B 159 5.17% 11.85% 20.92% 23.88% 27.01% 32.62% 40.80% 46.89% 48.79% 52.88% 52.88% 52.88% 52.88% 52.88% 56.51% 56.51% 56.51% 56.51% 56.51% 56.51%
Caa-C 11 18.18% 29.87% 29.87% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40% 47.40%
IG 1185 0.17% 0.26% 0.44% 0.93% 1.64% 1.86% 2.86% 3.67% 3.91% 4.04% 4.04% 4.19% 4.19% 4.35% 4.35% 4.52% 5.05% 6.32% 7.27% 7.48%
SG 366 3.08% 7.16% 14.85% 17.86% 21.10% 25.34% 32.03% 37.33% 38.59% 40.71% 40.71% 40.71% 40.71% 40.71% 41.85% 44.28% 45.57% 46.87% 49.49% 49.49%
All 1551 0.85% 1.87% 3.78% 4.83% 6.10% 7.11% 9.17% 10.77% 11.17% 11.60% 11.60% 11.72% 11.72% 11.85% 11.99% 12.42% 13.03% 14.26% 15.38% 15.55%
1/1/85
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 92 0.00% 0.00% 0.00% 0.00% 0.00% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33% 1.33%
Aa 308 0.00% 0.00% 0.00% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% 1.30% 1.30% 1.30% 1.30% 1.30% 1.30% 1.95% 2.63% 2.63% 2.63%
A 566 0.00% 0.19% 1.20% 2.27% 2.27% 3.91% 4.88% 5.14% 5.14% 5.14% 5.14% 5.14% 5.14% 5.14% 5.14% 5.50% 6.25% 6.63% 7.06% 7.06%
Baa 343 0.00% 0.99% 1.33% 1.72% 2.60% 3.06% 4.55% 5.06% 5.63% 5.63% 5.63% 5.63% 6.39% 6.39% 8.94% 10.80% 13.67% 16.69% 16.69% 16.69%
Ba 236 0.87% 5.93% 8.65% 12.09% 17.18% 23.34% 29.11% 30.72% 31.61% 31.61% 31.61% 31.61% 31.61% 31.61% 33.17% 34.88% 38.31% 41.73% 41.73% 41.73%
B 187 7.11% 15.59% 20.38% 23.59% 29.25% 37.56% 43.09% 44.81% 48.90% 48.90% 51.45% 51.45% 51.45% 54.92% 54.92% 54.92% 54.92% 54.92% 54.92% 54.92%
Caa-C 16 6.25% 12.50% 21.25% 31.09% 31.09% 31.09% 31.09% 31.09% 31.09% 31.09% 58.66% 58.66% 58.66% 58.66% 58.66% 58.66% 58.66% 58.66% 58.66% 58.66%
IG 1309 0.00% 0.33% 0.85% 1.61% 1.81% 2.74% 3.50% 3.73% 3.86% 3.86% 4.00% 4.00% 4.15% 4.15% 4.64% 5.15% 6.20% 7.11% 7.31% 7.31%
SG 439 3.72% 10.31% 14.15% 17.67% 22.86% 29.63% 35.01% 36.55% 38.28% 38.28% 40.44% 40.44% 40.44% 41.34% 42.37% 43.50% 45.76% 48.05% 48.05% 48.05%
All 1748 0.94% 2.85% 4.18% 5.61% 6.91% 9.04% 10.69% 11.15% 11.55% 11.55% 12.01% 12.01% 12.13% 12.26% 12.81% 13.38% 14.55% 15.61% 15.78% 15.78%
1/1/86
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 137 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 356 0.00% 0.00% 0.63% 0.63% 1.31% 1.31% 1.31% 1.31% 1.31% 1.76% 1.76% 1.76% 1.76% 1.76% 1.76% 2.35% 2.95% 2.95% 2.95% 2.95%
A 634 0.00% 0.17% 0.72% 0.91% 1.88% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 3.13% 3.80% 4.51% 4.89% 4.89% 5.31%
Baa 372 0.85% 1.14% 2.50% 3.60% 5.14% 6.40% 7.29% 7.79% 8.32% 8.32% 8.32% 8.97% 8.97% 10.38% 11.16% 12.74% 14.36% 14.36% 14.36% 14.36%
Ba 313 2.37% 6.94% 9.42% 13.69% 20.42% 26.55% 28.56% 30.74% 31.54% 31.54% 31.54% 32.56% 32.56% 32.56% 33.99% 39.83% 42.77% 42.77% 42.77% 44.40%
B 229 10.25% 14.48% 18.50% 23.43% 31.07% 38.41% 43.10% 45.74% 45.74% 47.91% 47.91% 47.91% 50.39% 56.23% 59.36% 59.36% 59.36% 59.36% 59.36% 59.36%
Caa-C 20 16.18% 22.62% 30.36% 30.36% 30.36% 30.36% 30.36% 30.36% 30.36% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79% 76.79%
IG 1499 0.21% 0.35% 1.05% 1.37% 2.30% 2.83% 3.02% 3.12% 3.22% 3.34% 3.34% 3.46% 3.46% 3.74% 4.17% 4.92% 5.69% 5.86% 5.86% 6.04%
SG 562 6.09% 10.57% 13.87% 18.31% 25.24% 31.65% 34.53% 36.80% 37.31% 39.06% 39.06% 39.74% 40.48% 42.18% 43.99% 47.77% 49.69% 49.69% 49.69% 50.78%
All 2061 1.80% 3.10% 4.46% 5.76% 7.99% 9.72% 10.39% 10.88% 11.05% 11.43% 11.43% 11.63% 11.74% 12.20% 12.80% 13.92% 14.82% 14.96% 14.96% 15.26%
1/1/87
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 157 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 369 0.00% 0.00% 0.00% 0.31% 0.31% 0.31% 0.31% 0.31% 0.73% 0.73% 0.73% 0.73% 0.73% 0.73% 1.26% 1.82% 1.82% 1.82% 1.82% 1.82%
A 604 0.00% 0.00% 0.18% 1.13% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 2.04% 2.69% 3.38% 4.12% 4.12% 4.52% 4.94%
Baa 408 0.00% 0.86% 1.77% 3.39% 4.79% 6.27% 7.50% 7.50% 7.50% 7.50% 8.05% 8.64% 9.84% 10.52% 11.89% 12.59% 12.59% 12.59% 12.59% 12.59%
Ba 422 3.03% 4.98% 8.71% 15.92% 23.85% 26.49% 28.98% 30.67% 31.29% 31.97% 33.51% 33.51% 33.51% 34.64% 38.02% 43.85% 43.85% 43.85% 45.25% 46.73%
B 309 5.33% 11.63% 19.06% 29.06% 37.66% 42.69% 44.40% 44.40% 45.61% 45.61% 45.61% 47.17% 50.69% 56.17% 58.07% 60.17% 60.17% 60.17% 60.17% 60.17%
Caa-C 34 9.82% 16.76% 16.76% 50.06% 50.06% 50.06% 50.06% 50.06% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03% 75.03%
IG 1538 0.00% 0.21% 0.51% 1.36% 1.93% 2.27% 2.55% 2.55% 2.65% 2.65% 2.77% 2.89% 3.14% 3.42% 4.10% 4.68% 4.98% 4.98% 5.15% 5.32%
SG 765 4.27% 8.26% 13.36% 22.28% 30.24% 33.65% 35.76% 36.79% 38.35% 38.78% 39.73% 40.26% 41.49% 44.12% 46.81% 51.03% 51.03% 51.03% 51.89% 52.82%
All 2303 1.41% 2.84% 4.60% 7.71% 10.23% 11.31% 12.00% 12.23% 12.63% 12.71% 12.98% 13.18% 13.58% 14.22% 15.21% 16.35% 16.60% 16.60% 16.86% 17.14%
1/1/88
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 156 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 407 0.00% 0.52% 0.79% 0.79% 0.79% 0.79% 0.79% 1.14% 1.14% 1.14% 1.14% 1.14% 1.59% 2.04% 2.51% 2.51% 2.51% 2.51% 2.51% 2.51%
A 612 0.00% 0.17% 0.89% 1.44% 1.44% 1.44% 1.44% 1.44% 1.44% 1.44% 1.44% 1.44% 1.44% 2.09% 2.42% 3.15% 3.15% 3.55% 3.95% 3.95%
Baa 388 0.00% 0.29% 1.18% 2.45% 4.12% 5.63% 5.63% 5.63% 5.63% 6.13% 6.13% 6.69% 7.31% 9.20% 11.17% 11.17% 11.17% 11.17% 11.17% 11.17%
Ba 463 1.36% 6.46% 11.96% 20.06% 22.52% 24.92% 25.86% 26.37% 27.50% 28.75% 29.50% 30.27% 31.14% 35.68% 41.40% 41.40% 41.40% 42.65% 44.05% 47.25%
B 390 5.60% 12.59% 25.77% 34.36% 38.83% 41.86% 43.33% 45.94% 45.94% 46.97% 51.64% 54.41% 58.88% 60.46% 62.26% 62.26% 62.26% 62.26% 62.26% 62.26%
Caa-C 40 12.50% 15.74% 44.55% 44.55% 44.55% 44.55% 44.55% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27% 72.27%
IG 1563 0.00% 0.27% 0.84% 1.36% 1.74% 2.08% 2.08% 2.18% 2.18% 2.29% 2.29% 2.40% 2.65% 3.43% 4.09% 4.38% 4.38% 4.53% 4.69% 4.69%
SG 893 3.72% 9.57% 18.81% 26.90% 30.10% 32.67% 33.76% 35.62% 36.31% 37.43% 39.60% 41.03% 43.11% 46.41% 50.49% 50.49% 50.49% 51.26% 52.10% 53.95%
All 2456 1.34% 3.50% 6.84% 9.65% 10.81% 11.72% 11.99% 12.49% 12.64% 12.96% 13.40% 13.77% 14.34% 15.54% 16.78% 17.00% 17.00% 17.25% 17.50% 17.77%
1/1/89
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 175 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 413 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.83% 0.83% 0.83% 0.83% 0.83% 1.26% 1.69% 2.14% 2.14% 2.14% 2.14% 2.14% 2.14% 3.32%
A 649 0.00% 0.32% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 0.83% 1.72% 2.03% 2.38% 2.38% 2.75% 3.13% 3.13% 4.41%
Baa 407 0.52% 1.58% 2.17% 3.97% 4.65% 4.65% 4.65% 4.65% 5.09% 5.09% 5.59% 6.13% 8.34% 10.05% 10.66% 10.66% 10.66% 10.66% 10.66% 11.44%
Ba 437 2.97% 9.84% 17.86% 20.13% 22.75% 23.18% 23.67% 24.77% 26.00% 28.17% 28.90% 30.55% 34.75% 41.02% 41.02% 41.02% 41.02% 42.20% 44.83% 46.37%
B 427 7.51% 20.96% 29.40% 34.48% 37.77% 40.04% 43.40% 44.18% 46.65% 49.44% 51.74% 55.57% 55.57% 58.64% 58.64% 58.64% 60.94% 60.94% 60.94% 66.15%
Caa-C 49 20.39% 49.07% 55.44% 55.44% 55.44% 55.44% 55.44% 55.44% 55.44% 55.44% 55.44% 55.44% 77.72% 77.72% 77.72% 77.72% 77.72% 77.72% 77.72% 77.72%
IG 1644 0.25% 0.64% 0.97% 1.40% 1.56% 1.56% 1.64% 1.64% 1.74% 1.74% 1.85% 2.08% 3.02% 3.63% 3.89% 3.89% 4.04% 4.18% 4.18% 5.16%
SG 913 5.90% 16.40% 24.53% 27.98% 30.81% 32.01% 33.67% 34.61% 36.31% 38.70% 39.99% 42.35% 45.31% 50.14% 50.14% 50.14% 50.82% 51.56% 53.16% 55.85%
All 2557 2.21% 5.91% 8.68% 9.98% 10.86% 11.16% 11.62% 11.83% 12.27% 12.75% 13.08% 13.70% 14.97% 16.31% 16.51% 16.51% 16.73% 16.96% 17.21% 18.37%
1/1/90
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 197 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 462 0.00% 0.00% 0.00% 0.00% 0.00% 0.28% 0.28% 0.28% 0.28% 0.28% 0.28% 0.65% 1.03% 1.03% 1.03% 1.03% 1.03% 1.03% 2.07% 3.64%
A 674 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.27% 0.55% 0.84% 1.15% 1.15% 1.49% 1.49% 1.49% 2.69% 4.32%
Baa 399 0.26% 0.82% 1.12% 1.46% 1.46% 1.46% 1.46% 1.46% 1.46% 1.96% 2.48% 5.19% 7.97% 8.56% 8.56% 8.56% 9.30% 9.30% 10.14% 12.68%
Ba 420 3.54% 12.05% 14.55% 17.38% 17.79% 18.74% 19.26% 20.44% 22.53% 23.23% 25.56% 31.20% 35.44% 35.44% 35.44% 35.44% 36.59% 39.10% 40.49% 41.87%
B 449 13.68% 23.08% 30.25% 33.38% 35.73% 38.53% 39.86% 42.85% 45.42% 47.60% 51.50% 51.50% 54.74% 54.74% 54.74% 57.01% 57.01% 57.01% 65.07% 67.98%
Caa-C 55 45.06% 49.28% 49.28% 49.28% 49.28% 49.28% 49.28% 49.28% 49.28% 74.64% 74.64% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
IG 1732 0.06% 0.18% 0.25% 0.32% 0.32% 0.40% 0.40% 0.40% 0.40% 0.50% 0.71% 1.46% 2.25% 2.49% 2.49% 2.62% 2.75% 2.75% 3.67% 5.21%
SG 924 10.44% 19.17% 23.79% 26.66% 27.97% 29.71% 30.56% 32.45% 34.70% 36.33% 39.04% 42.87% 46.47% 46.47% 46.47% 47.16% 47.89% 49.44% 52.80% 54.63%
All 2656 3.51% 6.36% 7.77% 8.61% 8.94% 9.41% 9.61% 10.01% 10.45% 10.84% 11.49% 12.76% 13.99% 14.17% 14.17% 14.38% 14.60% 14.83% 16.05% 17.54%
1/1/91
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 185 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 493 0.00% 0.00% 0.00% 0.00% 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% 0.60% 0.95% 0.95% 0.95% 0.95% 0.95% 0.95% 1.93% 3.89% 3.89%
A 663 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.26% 0.52% 0.79% 1.08% 1.08% 1.41% 1.41% 1.41% 2.55% 4.09% 4.51%
Baa 419 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.66% 1.11% 3.40% 5.78% 6.28% 6.28% 6.28% 6.91% 7.56% 8.27% 9.69% 9.69%
Ba 356 3.85% 5.16% 7.07% 7.48% 7.98% 8.53% 9.76% 11.98% 12.72% 15.23% 20.46% 24.15% 24.15% 25.33% 25.33% 26.64% 26.64% 28.14% 29.94% 29.94%
B 376 13.12% 22.20% 26.79% 29.15% 32.42% 33.75% 36.06% 38.82% 41.13% 45.35% 46.92% 52.12% 52.12% 52.12% 54.64% 54.64% 57.31% 66.46% 73.17% 73.17%
Caa-C 60 15.97% 15.97% 19.79% 24.25% 29.66% 29.66% 35.52% 35.52% 46.27% 46.27% 59.70% 59.70% 59.70% 59.70% 59.70% 59.70% 59.70% 59.70% 59.70% 59.70%
IG 1760 0.06% 0.06% 0.06% 0.06% 0.13% 0.13% 0.13% 0.13% 0.22% 0.42% 1.12% 1.84% 2.07% 2.07% 2.19% 2.31% 2.45% 3.30% 4.74% 4.90%
SG 792 9.10% 14.06% 17.30% 18.80% 20.78% 21.62% 23.50% 25.79% 27.49% 30.38% 34.46% 38.26% 38.26% 38.97% 39.72% 40.51% 41.34% 44.94% 47.99% 47.99%
All 2552 2.78% 4.18% 5.04% 5.40% 5.91% 6.09% 6.48% 6.90% 7.27% 7.90% 9.12% 10.30% 10.48% 10.58% 10.78% 10.99% 11.21% 12.39% 13.96% 14.09%
1/1/92
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 171 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 499 0.00% 0.00% 0.00% 0.23% 0.23% 0.23% 0.23% 0.23% 0.23% 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% 1.48% 1.98% 1.98%
A 763 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.22% 0.45% 0.92% 1.18% 1.18% 1.18% 1.18% 1.18% 2.85% 4.88% 5.62% 6.37%
Baa 430 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.39% 0.80% 2.93% 4.27% 4.74% 4.74% 5.28% 5.85% 6.45% 7.08% 8.37% 8.37% 9.06%
Ba 338 0.34% 1.09% 1.09% 1.59% 1.59% 2.77% 4.87% 6.30% 7.94% 13.00% 17.44% 17.44% 18.59% 19.84% 21.20% 21.20% 24.48% 26.24% 26.24% 26.24%
B 303 7.64% 14.07% 17.45% 21.43% 23.43% 25.78% 28.51% 30.84% 36.39% 37.90% 44.55% 44.55% 44.55% 44.55% 44.55% 44.55% 50.10% 59.29% 59.29% 59.29%
Caa-C 70 15.67% 21.56% 23.80% 26.62% 29.96% 33.46% 33.46% 40.85% 40.85% 49.30% 49.30% 49.30% 49.30% 49.30% 49.30% 66.20% 66.20% 66.20% 66.20% 66.20%
IG 1863 0.00% 0.00% 0.00% 0.07% 0.07% 0.07% 0.07% 0.15% 0.33% 0.96% 1.44% 1.64% 1.64% 1.75% 1.87% 1.99% 2.77% 4.10% 4.52% 4.96%
SG 711 4.94% 8.56% 10.20% 12.33% 13.43% 15.24% 17.43% 19.49% 22.29% 26.21% 30.91% 30.91% 31.57% 32.30% 33.10% 33.93% 37.68% 41.89% 41.89% 41.89%
All 2574 1.33% 2.24% 2.63% 3.15% 3.37% 3.73% 4.12% 4.54% 5.12% 6.25% 7.36% 7.53% 7.62% 7.81% 8.01% 8.22% 9.33% 10.93% 11.30% 11.68%
1/1/93
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 138 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 504 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.43% 0.90% 0.90% 0.90%
A 832 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.19% 0.59% 1.00% 1.22% 1.22% 1.22% 1.22% 1.22% 2.39% 3.89% 4.21% 4.87% 5.21%
Baa 480 0.00% 0.00% 0.25% 0.25% 0.53% 0.83% 1.47% 2.14% 3.87% 4.97% 5.75% 5.75% 6.18% 6.65% 7.14% 8.73% 10.87% 11.44% 12.04% 12.66%
Ba 352 0.62% 0.62% 1.86% 2.75% 3.70% 5.41% 7.83% 8.52% 12.76% 17.23% 17.23% 17.23% 18.22% 19.31% 19.31% 21.92% 24.64% 24.64% 24.64% 24.64%
B 291 4.35% 8.38% 13.96% 15.52% 18.09% 20.30% 23.86% 31.80% 35.12% 38.71% 39.96% 39.96% 39.96% 41.73% 43.74% 48.34% 56.58% 56.58% 56.58% 56.58%
Caa-C 73 13.95% 17.57% 22.28% 25.06% 25.06% 25.06% 31.31% 31.31% 38.94% 38.94% 38.94% 47.66% 47.66% 47.66% 47.66% 47.66% 47.66% 47.66% 47.66% 47.66%
IG 1954 0.00% 0.00% 0.06% 0.06% 0.13% 0.20% 0.35% 0.58% 1.15% 1.58% 1.85% 1.85% 1.95% 2.05% 2.17% 2.99% 4.19% 4.58% 4.98% 5.25%
SG 716 3.41% 5.43% 8.78% 10.11% 11.63% 13.44% 16.45% 19.82% 23.82% 27.64% 28.10% 28.62% 29.19% 30.43% 31.10% 34.17% 38.35% 38.35% 38.35% 38.35%
All 2670 0.89% 1.40% 2.22% 2.51% 2.88% 3.29% 3.95% 4.72% 5.86% 6.84% 7.14% 7.22% 7.39% 7.66% 7.85% 8.94% 10.48% 10.82% 11.16% 11.40%
1/1/94
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 140 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 476 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.45% 0.45% 0.45% 0.45%
A 1016 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.15% 0.45% 0.76% 1.10% 1.10% 1.10% 1.10% 1.10% 2.01% 3.42% 3.67% 4.46% 4.74% 4.74%
Baa 537 0.00% 0.20% 0.20% 0.42% 0.66% 1.88% 2.39% 3.73% 4.58% 5.18% 5.18% 5.52% 5.88% 6.27% 7.99% 10.24% 10.71% 11.71% 12.24% 12.24%
Ba 397 0.00% 0.90% 1.21% 2.24% 4.31% 7.42% 10.35% 13.48% 17.41% 18.01% 18.01% 18.81% 20.64% 20.64% 23.99% 30.15% 30.15% 30.15% 31.70% 31.70%
B 381 4.19% 8.83% 12.31% 13.96% 16.88% 21.62% 27.03% 32.88% 37.69% 41.18% 43.10% 43.10% 44.29% 45.62% 48.72% 51.98% 51.98% 51.98% 51.98% 51.98%
Caa-C 85 5.31% 11.97% 15.87% 15.87% 15.87% 25.08% 25.08% 33.40% 33.40% 33.40% 44.50% 44.50% 44.50% 44.50% 44.50% 44.50% 44.50% 44.50% 44.50% 44.50%
IG 2169 0.00% 0.05% 0.05% 0.10% 0.16% 0.47% 0.67% 1.14% 1.49% 1.79% 1.79% 1.87% 1.96% 2.06% 2.85% 3.98% 4.31% 4.89% 5.13% 5.13%
SG 863 2.34% 5.36% 7.33% 8.55% 10.87% 14.93% 18.68% 23.01% 27.08% 28.78% 29.95% 30.40% 31.89% 32.43% 35.58% 40.34% 40.34% 40.34% 41.22% 41.22%
All 3032 0.65% 1.48% 1.99% 2.33% 2.88% 3.95% 4.83% 6.02% 7.05% 7.59% 7.79% 7.93% 8.22% 8.38% 9.46% 11.03% 11.31% 11.80% 12.11% 12.11%
1/1/95
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 143 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 562 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.38% 0.79% 0.79% 0.79% 0.79% 0.79%
A 1088 0.00% 0.00% 0.00% 0.00% 0.00% 0.13% 0.40% 0.82% 1.12% 1.12% 1.12% 1.12% 1.12% 1.95% 3.02% 3.25% 3.99% 4.24% 4.24% 4.51%
Baa 556 0.00% 0.00% 0.00% 0.22% 1.34% 1.82% 3.31% 4.09% 4.36% 4.36% 4.68% 5.02% 5.39% 7.02% 9.14% 9.58% 10.50% 10.99% 10.99% 10.99%
Ba 410 0.27% 0.55% 1.75% 3.55% 7.03% 9.55% 12.66% 15.07% 16.62% 16.62% 17.33% 18.87% 18.87% 21.81% 29.51% 29.51% 29.51% 30.89% 30.89% 30.89%
B 498 3.83% 6.39% 8.84% 12.24% 16.62% 22.12% 30.94% 38.51% 42.90% 45.30% 46.02% 46.80% 47.66% 49.59% 52.62% 52.62% 52.62% 52.62% 52.62% 52.62%
Caa-C 96 11.55% 17.32% 17.32% 21.37% 31.47% 41.26% 53.74% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35% 60.35%
IG 2349 0.00% 0.00% 0.00% 0.05% 0.32% 0.50% 0.98% 1.35% 1.56% 1.56% 1.63% 1.71% 1.80% 2.53% 3.58% 3.88% 4.42% 4.64% 4.64% 4.76%
SG 1004 3.07% 4.93% 6.65% 9.42% 13.66% 17.86% 23.90% 28.81% 31.65% 32.82% 33.50% 34.62% 35.02% 37.40% 42.52% 42.52% 42.52% 43.21% 43.21% 43.21%
All 3353 0.89% 1.42% 1.89% 2.62% 3.82% 4.88% 6.56% 7.89% 8.63% 8.86% 9.04% 9.30% 9.44% 10.41% 12.05% 12.30% 12.74% 13.02% 13.02% 13.12%
1/1/96
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 145 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 606 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.35% 0.72% 0.72% 0.72% 0.72% 0.72% 0.72%
A 1163 0.00% 0.00% 0.00% 0.00% 0.12% 0.36% 0.61% 0.89% 0.89% 0.89% 0.89% 0.89% 1.63% 2.78% 2.99% 3.63% 3.86% 3.86% 4.10% 4.10%
Baa 654 0.00% 0.00% 0.17% 0.72% 1.29% 2.68% 3.30% 3.73% 3.97% 4.22% 4.77% 4.77% 6.37% 8.06% 8.42% 9.53% 10.32% 10.32% 10.32% 11.17%
Ba 465 0.00% 0.72% 2.12% 5.68% 7.31% 10.43% 13.13% 14.81% 14.81% 15.95% 17.18% 17.87% 20.18% 25.27% 25.27% 25.27% 26.30% 26.30% 26.30% 26.30%
B 571 1.51% 4.03% 8.79% 12.10% 18.07% 25.64% 33.19% 37.20% 39.68% 40.28% 40.93% 41.65% 44.17% 49.41% 49.41% 49.41% 49.41% 49.41% 49.41% 52.07%
Caa-C 109 10.00% 14.74% 19.06% 32.88% 42.15% 53.27% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52% 57.52%
IG 2568 0.00% 0.00% 0.05% 0.19% 0.39% 0.86% 1.14% 1.38% 1.44% 1.51% 1.65% 1.65% 2.37% 3.38% 3.64% 4.20% 4.49% 4.49% 4.60% 4.81%
SG 1145 1.65% 3.60% 6.89% 11.01% 15.08% 20.62% 25.67% 28.37% 29.55% 30.38% 31.29% 31.96% 34.26% 39.17% 39.17% 39.17% 39.70% 39.70% 39.70% 40.92%
All 3713 0.50% 1.08% 2.03% 3.21% 4.37% 6.07% 7.46% 8.23% 8.52% 8.74% 9.02% 9.14% 10.11% 11.73% 11.95% 12.41% 12.73% 12.73% 12.81% 13.16%
1/1/97
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 141 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 685 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.30% 0.62% 0.62% 0.62% 0.62% 0.62% 0.62% 0.62%
A 1186 0.00% 0.00% 0.00% 0.10% 0.32% 0.54% 1.01% 1.01% 1.01% 1.01% 1.01% 2.00% 3.01% 3.19% 3.96% 4.35% 5.17% 5.38% 5.38% 5.38%
Baa 826 0.00% 0.13% 0.54% 0.97% 2.03% 2.68% 3.02% 3.20% 3.60% 4.02% 4.02% 5.04% 6.90% 7.18% 8.06% 9.27% 9.27% 9.27% 10.23% 10.23%
Ba 579 0.18% 1.40% 4.94% 7.85% 10.15% 14.12% 15.66% 15.66% 16.51% 17.41% 17.91% 19.55% 23.06% 23.06% 23.06% 23.75% 23.75% 24.51% 26.90% 26.90%
B 689 2.00% 6.20% 10.15% 15.71% 25.25% 31.58% 35.43% 37.95% 38.37% 39.84% 40.93% 44.04% 50.54% 50.54% 50.54% 50.54% 51.42% 51.42% 51.42% 52.35%
Caa-C 135 9.16% 16.11% 28.05% 42.27% 51.46% 54.32% 54.32% 54.32% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45% 63.45%
IG 2838 0.00% 0.04% 0.16% 0.33% 0.73% 1.02% 1.32% 1.37% 1.49% 1.61% 1.61% 2.30% 3.32% 3.55% 4.11% 4.61% 4.95% 5.04% 5.31% 5.31%
SG 1403 1.89% 5.06% 9.41% 14.29% 20.42% 25.41% 27.97% 29.17% 29.96% 31.07% 31.81% 34.02% 38.70% 38.70% 38.70% 39.06% 39.42% 39.81% 41.02% 41.43%
All 4241 0.61% 1.62% 2.99% 4.48% 6.44% 7.97% 8.83% 9.15% 9.41% 9.74% 9.89% 10.87% 12.55% 12.74% 13.18% 13.64% 13.98% 14.12% 14.55% 14.62%
1/1/98
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 128 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 737 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.22% 0.22% 0.22% 0.22% 0.22% 0.51% 0.81% 1.12% 1.12% 1.12% 1.12% 1.12% 1.12% 1.51%
A 1185 0.00% 0.00% 0.10% 0.29% 0.50% 0.94% 0.94% 0.94% 0.94% 0.94% 1.86% 2.98% 3.15% 3.70% 4.26% 5.22% 5.42% 5.42% 5.42% 5.87%
Baa 980 0.11% 0.44% 0.78% 1.75% 2.66% 2.94% 3.24% 3.56% 3.90% 3.90% 4.75% 6.55% 7.02% 7.76% 8.52% 8.79% 8.79% 9.63% 9.63% 9.63%
Ba 693 0.77% 3.23% 6.14% 9.02% 12.60% 14.47% 14.73% 15.36% 15.71% 16.09% 17.73% 21.68% 21.68% 21.68% 22.70% 22.70% 23.24% 24.94% 26.12% 26.12%
B 934 3.78% 9.53% 16.55% 26.14% 32.01% 36.77% 40.32% 41.14% 43.25% 44.97% 46.92% 50.55% 50.55% 50.55% 50.55% 51.07% 51.07% 51.64% 51.64% 52.23%
Caa-C 153 8.32% 26.23% 37.50% 51.36% 57.26% 61.60% 64.80% 68.00% 68.00% 68.00% 84.00% 84.00% 84.00%
IG 3030 0.03% 0.14% 0.29% 0.69% 1.07% 1.34% 1.49% 1.59% 1.70% 1.70% 2.34% 3.40% 3.68% 4.20% 4.66% 5.14% 5.22% 5.47% 5.47% 5.74%
SG 1780 2.98% 8.36% 14.01% 21.09% 25.97% 29.38% 31.43% 32.24% 33.45% 34.46% 36.35% 39.93% 39.93% 39.93% 40.41% 40.65% 40.90% 41.97% 42.52% 42.80%
All 4810 1.11% 3.07% 5.10% 7.72% 9.57% 10.81% 11.51% 11.80% 12.19% 12.45% 13.37% 15.01% 15.21% 15.59% 16.04% 16.45% 16.57% 17.00% 17.13% 17.40%
1/1/99
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 114 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 737 0.00% 0.00% 0.00% 0.00% 0.00% 0.21% 0.21% 0.21% 0.21% 0.21% 0.47% 1.02% 1.30% 1.30% 1.30% 1.30% 1.30% 1.30% 1.66% 1.66%
A 1229 0.00% 0.00% 0.18% 0.28% 0.68% 0.68% 0.68% 0.68% 0.68% 1.68% 2.84% 2.84% 3.51% 4.02% 4.92% 5.10% 5.10% 5.10% 5.51% 5.51%
Baa 1123 0.09% 0.48% 1.29% 2.40% 2.87% 3.12% 3.39% 3.68% 3.68% 4.76% 6.86% 7.26% 7.90% 8.77% 9.00% 9.24% 9.97% 9.97% 9.97% 9.97%
Ba 687 1.38% 3.39% 5.86% 8.97% 10.92% 11.16% 11.74% 12.36% 12.70% 14.91% 18.42% 18.86% 18.86% 19.81% 19.81% 19.81% 20.34% 21.97% 21.97% 21.97%
B 1083 5.02% 13.58% 23.14% 31.46% 36.18% 40.04% 41.52% 43.54% 45.31% 47.41% 52.22% 52.22% 52.65% 52.65% 53.13% 53.13% 55.35% 55.91% 57.68% 58.34%
Caa-C 312 15.19% 23.88% 37.77% 41.93% 46.00% 47.63% 48.55% 48.55% 49.80% 51.24% 51.24% 51.24% 52.98% 52.98% 52.98% 52.98% 52.98% 52.98% 52.98% 52.98%
IG 3203 0.03% 0.17% 0.53% 0.95% 1.28% 1.41% 1.50% 1.60% 1.60% 2.35% 3.55% 3.81% 4.34% 4.83% 5.27% 5.42% 5.65% 5.65% 5.89% 5.89%
SG 2082 5.33% 11.72% 19.41% 25.35% 28.95% 31.18% 32.24% 33.44% 34.51% 36.50% 40.05% 40.23% 40.60% 41.00% 41.21% 41.21% 42.32% 43.23% 43.96% 44.22%
All 5285 2.09% 4.59% 7.69% 10.11% 11.54% 12.35% 12.73% 13.14% 13.43% 14.48% 16.26% 16.49% 16.96% 17.41% 17.77% 17.88% 18.32% 18.55% 18.90% 18.96%
1/1/00
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 118 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 733 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.53% 0.80% 0.80% 0.80% 0.80% 0.80% 0.80% 1.14% 1.14% 1.14%
A 1259 0.00% 0.17% 0.35% 0.73% 0.83% 0.83% 0.83% 0.83% 2.03% 3.28% 3.28% 3.90% 4.55% 5.39% 5.57% 5.75% 5.75% 6.13% 6.13% 6.13%
Baa 1197 0.35% 0.80% 1.79% 2.42% 2.64% 3.01% 3.28% 3.28% 3.88% 6.05% 6.41% 6.97% 7.55% 7.75% 7.96% 8.40% 8.40% 8.40% 8.40% 8.40%
Ba 652 1.44% 3.33% 5.77% 7.43% 7.43% 8.22% 8.52% 8.85% 11.70% 16.56% 16.98% 16.98% 17.91% 17.91% 17.91% 18.92% 20.50% 20.50% 20.50% 21.08%
B 1156 5.52% 15.42% 24.03% 29.18% 32.95% 34.77% 37.66% 39.46% 41.93% 47.83% 48.18% 48.57% 48.57% 49.02% 49.50% 51.58% 52.64% 54.33% 54.97% 57.70%
Caa-C 323 18.04% 36.80% 46.77% 53.19% 57.89% 59.03% 59.03% 59.03% 59.03% 60.89% 60.89% 62.95% 62.95% 62.95% 62.95% 62.95% 62.95% 62.95% 62.95% 62.95%
IG 3307 0.13% 0.35% 0.78% 1.16% 1.28% 1.41% 1.50% 1.50% 2.19% 3.41% 3.65% 4.15% 4.60% 5.01% 5.15% 5.36% 5.36% 5.59% 5.59% 5.59%
SG 2131 6.10% 14.68% 21.42% 25.43% 27.90% 29.24% 30.78% 31.77% 34.08% 38.94% 39.27% 39.63% 40.01% 40.21% 40.41% 41.70% 42.81% 43.50% 43.76% 45.04%
All 5438 2.45% 5.86% 8.63% 10.28% 11.18% 11.67% 12.18% 12.45% 13.53% 15.65% 15.91% 16.35% 16.77% 17.11% 17.26% 17.73% 17.99% 18.33% 18.38% 18.68%
1/1/01
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 118 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 763 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.49% 0.74% 0.74% 1.02% 1.02% 1.02% 1.02% 1.34% 1.34% 1.34% 1.34%
A 1306 0.15% 0.41% 0.67% 0.67% 0.67% 0.67% 0.67% 2.01% 3.15% 3.29% 3.86% 4.45% 5.21% 5.69% 5.85% 5.85% 6.21% 6.21% 6.21% 6.77%
Baa 1173 0.18% 1.22% 1.83% 2.26% 2.62% 2.87% 2.87% 3.30% 5.34% 5.50% 6.03% 6.77% 6.96% 6.96% 7.37% 7.59% 7.59% 7.81% 7.81% 8.79%
Ba 616 1.17% 3.39% 5.21% 5.21% 6.25% 6.55% 6.89% 9.82% 15.23% 15.67% 15.67% 16.62% 16.62% 16.62% 17.67% 18.75% 19.32% 19.32% 19.90% 20.52%
B 1095 8.70% 18.39% 24.02% 27.79% 29.61% 32.71% 34.51% 37.41% 45.30% 45.67% 46.09% 46.09% 46.57% 47.09% 49.42% 51.25% 53.20% 53.94% 56.29% 57.92%
Caa-C 322 28.63% 40.22% 52.64% 58.87% 60.96% 60.96% 60.96% 60.96% 62.73% 62.73% 64.69% 64.69% 64.69% 64.69% 64.69% 64.69% 64.69% 64.69% 66.90% 69.11%
IG 3360 0.12% 0.59% 0.90% 1.05% 1.17% 1.26% 1.26% 1.94% 3.07% 3.29% 3.76% 4.24% 4.68% 4.87% 5.07% 5.14% 5.35% 5.43% 5.43% 5.97%
SG 2033 9.31% 16.80% 21.78% 24.39% 25.89% 27.57% 28.58% 31.11% 37.10% 37.45% 37.82% 38.22% 38.42% 38.64% 40.02% 41.21% 42.20% 42.47% 43.83% 44.96%
All 5393 3.53% 6.52% 8.42% 9.35% 9.87% 10.39% 10.64% 11.75% 14.00% 14.24% 14.67% 15.12% 15.49% 15.68% 16.13% 16.44% 16.81% 16.92% 17.21% 17.85%
1/1/02
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Aaa 127 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 774 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.46% 0.69% 0.69% 0.95% 0.95% 0.95% 0.95% 1.25% 1.25% 1.25% 1.25% 1.25%
A 1311 0.16% 0.32% 0.32% 0.32% 0.32% 0.32% 1.57% 2.52% 2.77% 3.30% 3.99% 4.70% 5.14% 5.29% 5.29% 5.62% 5.62% 5.62% 5.97% 5.97%
Baa 1257 0.84% 1.28% 1.37% 1.58% 1.69% 1.69% 2.07% 3.87% 3.87% 4.03% 4.69% 4.86% 4.86% 5.23% 5.42% 5.42% 5.62% 5.83% 6.49% 6.49%
Ba 597 1.77% 4.06% 4.93% 5.89% 6.71% 7.03% 9.81% 14.96% 15.35% 15.79% 17.15% 17.15% 17.15% 18.63% 19.14% 19.68% 19.68% 20.25% 22.03% 22.03%
B 899 4.66% 9.77% 12.76% 15.09% 18.14% 19.77% 24.01% 33.73% 35.28% 36.60% 36.60% 37.09% 37.63% 39.48% 42.02% 44.76% 45.52% 47.93% 50.42% 50.42%
Caa-C 365 26.49% 40.43% 48.28% 49.64% 52.47% 53.57% 55.12% 59.82% 59.82% 61.65% 61.65% 61.65% 61.65% 61.65% 61.65% 61.65% 61.65% 64.05% 66.44% 66.44%
IG 3469 0.37% 0.59% 0.62% 0.70% 0.74% 0.74% 1.36% 2.35% 2.55% 2.87% 3.37% 3.77% 3.95% 4.13% 4.20% 4.39% 4.46% 4.53% 4.89% 4.89%
SG 1861 7.80% 13.26% 16.12% 17.76% 19.82% 20.80% 24.00% 30.95% 31.80% 32.74% 33.33% 33.54% 33.75% 35.14% 36.33% 37.59% 37.86% 39.25% 41.27% 41.27%
All 5330 2.92% 4.85% 5.74% 6.26% 6.82% 7.07% 8.27% 10.61% 10.95% 11.40% 11.90% 12.25% 12.44% 12.86% 13.16% 13.56% 13.67% 14.00% 14.67% 14.67%
1/1/03
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Aaa 124 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 706 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.46% 0.70% 0.70% 0.96% 0.96% 0.96% 0.96% 1.26% 1.26% 1.26% 1.26% 1.26%
A 1300 0.00% 0.00% 0.00% 0.00% 0.00% 1.21% 2.01% 2.38% 3.02% 3.55% 4.25% 4.68% 4.83% 4.83% 5.15% 5.15% 5.15% 5.49% 5.49%
Baa 1218 0.00% 0.00% 0.20% 0.30% 0.41% 0.53% 1.68% 1.68% 1.68% 2.27% 2.43% 2.43% 2.77% 2.94% 2.94% 3.13% 3.32% 3.93% 3.93%
Ba 584 0.89% 1.29% 1.95% 2.45% 2.74% 5.57% 10.71% 11.45% 11.45% 12.75% 12.75% 12.75% 13.70% 14.67% 15.19% 15.19% 15.73% 17.41% 17.41%
B 879 2.68% 4.63% 6.81% 9.37% 10.73% 15.19% 24.61% 26.21% 27.28% 28.85% 29.65% 30.09% 32.01% 34.01% 36.11% 37.81% 40.78% 42.64% 42.64%
Caa-C 363 20.26% 31.01% 33.68% 37.33% 38.16% 39.26% 48.26% 48.26% 53.02% 53.02% 53.02% 53.02% 53.02% 53.02% 53.02% 53.02% 55.96% 58.89% 58.89%
IG 3348 0.00% 0.00% 0.07% 0.11% 0.15% 0.66% 1.39% 1.63% 1.93% 2.35% 2.74% 2.91% 3.09% 3.15% 3.34% 3.41% 3.47% 3.82% 3.82%
SG 1826 5.32% 8.13% 9.81% 11.71% 12.57% 15.89% 23.36% 24.40% 25.40% 26.66% 27.02% 27.22% 28.47% 29.76% 30.90% 31.62% 33.36% 35.15% 35.15%
All 5174 1.83% 2.74% 3.30% 3.86% 4.11% 5.32% 7.70% 8.13% 8.59% 9.19% 9.57% 9.75% 10.15% 10.48% 10.87% 11.08% 11.49% 12.14% 12.14%
1/1/04
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
Aaa 143 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 670 0.00% 0.00% 0.00% 0.00% 0.20% 0.20% 0.66% 0.89% 0.89% 1.16% 1.16% 1.16% 1.16% 1.46% 1.46% 1.46% 1.46% 1.46%
A 1305 0.00% 0.00% 0.00% 0.00% 1.13% 1.55% 1.89% 2.49% 2.87% 3.66% 4.06% 4.20% 4.20% 4.51% 4.51% 4.51% 4.67% 4.67%
Baa 1282 0.00% 0.18% 0.18% 0.18% 0.28% 1.89% 1.89% 1.89% 2.55% 2.83% 2.83% 3.13% 3.29% 3.29% 3.46% 3.63% 4.35% 4.35%
Ba 563 0.38% 0.58% 1.30% 1.84% 4.57% 9.93% 10.28% 10.28% 11.14% 11.14% 11.14% 12.60% 13.58% 14.11% 14.11% 15.23% 16.98% 16.98%
B 962 0.80% 2.08% 4.05% 4.91% 9.10% 19.67% 20.93% 21.77% 23.64% 24.29% 24.65% 25.86% 27.14% 29.89% 31.34% 33.35% 34.92% 34.92%
Caa-C 324 11.40% 17.78% 22.11% 25.13% 27.86% 41.20% 42.31% 49.43% 50.92% 50.92% 50.92% 50.92% 53.15% 53.15% 53.15% 56.27% 59.40% 59.40%
IG 3400 0.00% 0.07% 0.07% 0.07% 0.58% 1.34% 1.57% 1.84% 2.24% 2.70% 2.86% 3.02% 3.08% 3.26% 3.32% 3.38% 3.71% 3.71%
SG 1849 2.42% 4.11% 5.97% 6.99% 10.44% 19.43% 20.34% 21.51% 22.94% 23.27% 23.45% 24.61% 25.82% 27.34% 28.03% 29.68% 31.40% 31.40%
All 5249 0.82% 1.41% 1.97% 2.25% 3.53% 6.42% 6.82% 7.31% 7.94% 8.37% 8.54% 8.92% 9.23% 9.69% 9.88% 10.27% 10.88% 10.88%
1/1/05
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17
Aaa 132 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 686 0.00% 0.00% 0.00% 0.18% 0.18% 0.81% 1.03% 1.03% 1.27% 1.27% 1.27% 1.27% 1.55% 1.55% 1.55% 1.55% 1.55%
A 1357 0.00% 0.00% 0.00% 0.75% 1.24% 1.56% 2.12% 2.47% 3.09% 3.47% 3.60% 3.60% 3.89% 3.89% 3.89% 4.05% 4.05%
Baa 1302 0.16% 0.16% 0.16% 0.66% 2.06% 2.06% 2.06% 2.68% 3.07% 3.07% 3.35% 3.49% 3.49% 3.65% 3.97% 4.48% 4.48%
Ba 555 0.00% 0.65% 0.91% 3.67% 8.96% 9.59% 9.59% 10.71% 10.71% 10.71% 12.42% 12.85% 13.77% 13.77% 14.77% 16.84% 16.84%
B 1053 0.81% 2.63% 3.78% 8.61% 19.99% 21.20% 22.14% 23.99% 25.09% 25.40% 26.81% 28.68% 31.14% 32.46% 34.29% 36.66% 36.66%
Caa-C 355 7.20% 11.17% 14.37% 21.54% 38.31% 41.52% 50.60% 51.81% 53.15% 54.76% 56.57% 58.55% 58.55% 58.55% 61.31% 64.07% 64.07%
IG 3477 0.06% 0.06% 0.06% 0.58% 1.28% 1.53% 1.79% 2.16% 2.59% 2.74% 2.90% 2.95% 3.12% 3.18% 3.29% 3.54% 3.54%
SG 1963 1.72% 3.54% 4.76% 9.25% 19.41% 20.68% 22.18% 23.67% 24.37% 24.68% 26.19% 27.42% 28.94% 29.55% 31.02% 33.20% 33.20%
All 5440 0.64% 1.24% 1.61% 3.27% 6.68% 7.22% 7.79% 8.44% 8.94% 9.12% 9.59% 9.92% 10.39% 10.56% 10.98% 11.64% 11.64%
1/1/06
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Aaa 127 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 703 0.00% 0.00% 0.17% 0.17% 0.76% 0.96% 0.96% 1.18% 1.41% 1.41% 1.41% 1.67% 1.67% 1.67% 1.67% 1.67%
A 1416 0.00% 0.00% 0.68% 1.03% 1.32% 1.83% 2.15% 2.94% 3.17% 3.29% 3.29% 3.56% 3.56% 3.56% 3.70% 3.70%
Baa 1286 0.00% 0.00% 0.56% 1.58% 1.58% 1.58% 2.05% 2.42% 2.42% 2.56% 2.70% 2.70% 2.86% 3.32% 3.82% 3.82%
Ba 561 0.20% 0.20% 3.11% 9.47% 9.47% 9.47% 10.43% 10.77% 11.12% 13.33% 13.70% 15.33% 15.74% 16.63% 18.94% 18.94%
B 1124 1.06% 2.13% 8.24% 18.70% 21.12% 22.71% 25.18% 26.15% 26.70% 29.15% 31.86% 34.82% 36.41% 38.87% 41.87% 42.34%
Caa-C 380 5.85% 9.87% 19.70% 39.21% 44.11% 50.59% 51.44% 53.47% 54.69% 56.07% 60.77% 60.77% 60.77% 63.23% 65.68% 65.68%
IG 3532 0.00% 0.00% 0.51% 1.02% 1.25% 1.49% 1.79% 2.28% 2.42% 2.52% 2.57% 2.73% 2.78% 2.95% 3.18% 3.18%
SG 2065 1.66% 2.92% 8.63% 19.22% 21.23% 22.89% 24.58% 25.42% 25.96% 28.12% 29.97% 31.97% 32.86% 34.53% 37.06% 37.27%
All 5597 0.59% 1.00% 3.15% 6.83% 7.60% 8.24% 8.91% 9.50% 9.73% 10.34% 10.83% 11.42% 11.66% 12.17% 12.91% 12.96%
1/1/07
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
Aaa 136 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 749 0.00% 0.15% 0.15% 0.67% 0.85% 0.85% 1.05% 1.26% 1.26% 1.26% 1.49% 1.49% 1.49% 1.49% 1.49%
A 1410 0.00% 0.71% 1.04% 1.31% 1.79% 2.19% 3.13% 3.35% 3.46% 3.46% 3.71% 3.71% 3.71% 3.85% 3.85%
Baa 1281 0.00% 0.70% 1.75% 1.75% 1.75% 2.20% 2.55% 2.55% 2.67% 2.81% 2.95% 3.09% 3.53% 4.15% 4.15%
Ba 626 0.00% 1.79% 7.22% 7.92% 7.92% 9.26% 10.08% 10.38% 12.59% 13.89% 15.31% 16.05% 18.04% 20.08% 20.08%
B 1146 0.10% 6.54% 18.01% 21.05% 23.21% 25.91% 27.23% 28.23% 30.98% 34.05% 36.08% 37.56% 39.10% 41.98% 42.44%
Caa-C 427 4.95% 16.15% 34.94% 39.39% 43.45% 46.05% 49.22% 50.16% 51.25% 58.27% 61.25% 61.25% 63.19% 65.36% 65.36%
IG 3576 0.00% 0.57% 1.07% 1.28% 1.51% 1.82% 2.37% 2.50% 2.58% 2.63% 2.83% 2.88% 3.03% 3.31% 3.31%
SG 2199 0.99% 6.92% 17.93% 20.49% 22.17% 24.33% 25.67% 26.36% 28.62% 31.18% 32.94% 33.89% 35.57% 37.87% 38.06%
All 5775 0.36% 2.81% 6.99% 8.00% 8.67% 9.53% 10.29% 10.57% 11.22% 11.90% 12.47% 12.73% 13.23% 13.96% 14.00%
1/1/08
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Aaa 171 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 832 0.50% 0.50% 0.94% 1.39% 1.55% 1.89% 2.23% 2.41% 2.41% 2.80% 2.80% 2.80% 2.80% 2.80%
A 1325 0.40% 0.91% 1.18% 1.46% 1.97% 3.05% 3.16% 3.16% 3.16% 3.30% 3.30% 3.43% 3.58% 3.58%
Baa 1252 1.02% 1.83% 1.83% 1.83% 2.04% 2.15% 2.15% 2.15% 2.39% 2.52% 2.79% 3.06% 3.64% 3.64%
Ba 636 2.32% 7.31% 7.51% 7.51% 8.65% 9.35% 9.86% 12.01% 13.43% 14.97% 15.60% 16.98% 18.75% 18.75%
B 1020 3.99% 14.65% 17.78% 19.86% 22.23% 23.31% 24.30% 27.57% 30.04% 32.46% 33.99% 36.47% 40.42% 40.87%
Caa-C 652 10.88% 29.07% 34.28% 37.69% 41.08% 44.05% 46.72% 49.47% 55.16% 56.52% 57.34% 59.14% 62.21% 63.42%
IG 3580 0.62% 1.09% 1.29% 1.50% 1.80% 2.31% 2.43% 2.47% 2.56% 2.75% 2.84% 2.99% 3.25% 3.25%
SG 2308 5.46% 16.63% 19.49% 21.23% 23.42% 24.77% 25.90% 28.51% 31.02% 32.77% 33.72% 35.47% 38.11% 38.45%
All 5888 2.51% 7.12% 8.32% 9.06% 9.97% 10.73% 11.15% 11.92% 12.66% 13.25% 13.56% 14.09% 14.91% 14.99%
1/1/09
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12 13
Aaa 148 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 747 0.00% 0.15% 0.47% 0.63% 0.98% 1.16% 1.53% 1.53% 1.94% 1.94% 1.94% 1.94% 1.94%
A 1313 0.24% 0.49% 0.75% 1.14% 2.16% 2.37% 2.37% 2.37% 2.50% 2.50% 2.63% 2.63% 2.63%
Baa 1239 0.93% 0.93% 1.21% 1.31% 1.41% 1.52% 1.52% 1.75% 1.88% 2.12% 2.38% 3.33% 3.47%
Ba 606 1.75% 2.14% 2.14% 3.48% 4.19% 4.95% 6.58% 7.71% 9.24% 10.18% 11.53% 12.92% 12.92%
B 863 6.85% 8.19% 9.72% 11.79% 12.68% 13.96% 18.52% 21.07% 23.60% 24.84% 27.53% 31.81% 32.30%
Caa-C 755 26.58% 33.84% 37.35% 41.29% 44.21% 46.66% 48.76% 54.21% 55.79% 56.41% 57.71% 60.56% 61.45%
IG 3447 0.42% 0.55% 0.82% 1.04% 1.53% 1.69% 1.77% 1.86% 2.04% 2.13% 2.28% 2.63% 2.68%
SG 2224 12.09% 15.10% 16.75% 19.10% 20.46% 21.82% 24.54% 27.05% 28.86% 29.76% 31.44% 33.97% 34.29%
All 5671 4.98% 6.19% 6.94% 7.87% 8.63% 9.15% 9.98% 10.73% 11.34% 11.64% 12.16% 13.04% 13.15%
1/1/10
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11 12
Aaa 98 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 590 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.23% 0.23% 0.23% 0.23% 0.23%
A 1256 0.17% 0.51% 0.97% 1.76% 2.07% 2.29% 2.29% 2.52% 2.52% 2.65% 2.65% 2.65%
Baa 1346 0.07% 0.31% 0.40% 0.85% 1.03% 1.03% 1.34% 1.44% 1.88% 2.11% 2.83% 2.83%
Ba 599 0.00% 0.00% 0.84% 1.71% 2.18% 3.94% 4.99% 6.41% 7.29% 8.55% 10.19% 10.54%
B 821 0.39% 1.84% 3.77% 4.60% 6.77% 11.32% 14.03% 16.12% 17.30% 18.97% 22.51% 22.98%
Caa-C 724 8.68% 13.31% 19.07% 23.29% 26.47% 29.49% 34.82% 37.31% 38.76% 41.42% 45.95% 46.61%
IG 3290 0.09% 0.32% 0.53% 1.01% 1.20% 1.28% 1.41% 1.58% 1.76% 1.90% 2.20% 2.20%
SG 2144 3.06% 5.11% 7.91% 9.75% 11.59% 14.64% 17.37% 19.27% 20.36% 22.06% 24.96% 25.41%
All 5434 1.24% 2.13% 3.24% 4.17% 4.88% 5.85% 6.73% 7.38% 7.80% 8.35% 9.31% 9.42%
1/1/11
Rating n(0) 1 2 3 4 5 6 7 8 9 10 11
Aaa 86 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 550 0.19% 0.19% 0.19% 0.19% 0.19% 0.19% 0.43% 0.43% 0.43% 0.43% 0.43%
A 1248 0.00% 0.09% 0.74% 0.84% 0.94% 0.94% 1.17% 1.17% 1.29% 1.29% 1.29%
Baa 1440 0.36% 0.43% 0.91% 1.25% 1.25% 1.61% 1.71% 2.11% 2.31% 3.08% 3.08%
Ba 646 0.16% 1.39% 2.13% 2.94% 4.65% 5.79% 7.02% 8.04% 9.16% 10.63% 10.95%
B 966 0.34% 1.88% 3.20% 5.27% 9.72% 13.62% 15.57% 16.68% 18.22% 22.51% 23.21%
Caa-C 737 6.23% 13.54% 18.37% 22.27% 26.42% 31.91% 34.45% 36.49% 39.35% 45.08% 45.85%
IG 3324 0.19% 0.25% 0.70% 0.88% 0.92% 1.08% 1.24% 1.41% 1.55% 1.87% 1.87%
SG 2349 2.08% 5.21% 7.29% 9.40% 12.76% 15.95% 17.73% 18.96% 20.56% 23.86% 24.40%
All 5673 0.94% 2.19% 3.24% 4.09% 5.22% 6.33% 6.99% 7.46% 8.00% 9.13% 9.27%
1/1/12
Rating n(0) 1 2 3 4 5 6 7 8 9 10
Aaa 84 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 443 0.00% 0.00% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25%
A 1213 0.00% 0.09% 0.09% 0.09% 0.09% 0.20% 0.20% 0.31% 0.31% 0.31%
Baa 1480 0.07% 0.43% 0.51% 0.51% 0.76% 0.93% 1.29% 1.48% 2.37% 2.37%
Ba 727 0.14% 1.65% 2.15% 3.41% 5.13% 6.59% 7.24% 8.20% 9.47% 9.74%
B 997 0.54% 1.66% 3.96% 8.11% 11.68% 14.33% 15.25% 16.81% 21.30% 21.89%
Caa-C 827 8.02% 13.31% 17.68% 22.73% 28.35% 31.97% 35.55% 37.81% 44.92% 45.60%
IG 3220 0.03% 0.23% 0.30% 0.30% 0.42% 0.54% 0.70% 0.83% 1.23% 1.23%
SG 2551 2.81% 5.30% 7.61% 10.98% 14.38% 16.78% 18.14% 19.57% 23.11% 23.57%
All 5771 1.24% 2.40% 3.35% 4.60% 5.88% 6.77% 7.32% 7.84% 9.16% 9.29%
1/1/13
Rating n(0) 1 2 3 4 5 6 7 8 9
Aaa 61 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Aa 303 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
A 1181 0.09% 0.18% 0.18% 0.18% 0.18% 0.18% 0.28% 0.39% 0.39%
Baa 1670 0.12% 0.18% 0.18% 0.32% 0.40% 0.70% 0.86% 1.54% 1.54%
Ba 702 0.59% 1.08% 1.81% 3.33% 5.41% 5.63% 6.62% 7.93% 8.20%
B 1057 1.01% 2.63% 7.19% 11.34% 13.30% 14.58% 15.60% 19.67% 20.42%
Caa-C 936 6.29% 10.37% 17.09% 23.11% 27.71% 31.80% 34.81% 43.29% 43.83%
IG 3215 0.09% 0.16% 0.16% 0.23% 0.27% 0.43% 0.55% 0.93% 0.93%
SG 2695 2.68% 4.79% 8.88% 12.75% 15.41% 16.98% 18.41% 22.31% 22.82%
All 5910 1.25% 2.18% 3.81% 5.32% 6.30% 6.93% 7.47% 8.93% 9.08%
1/1/14
Rating n(0) 1 2 3 4 5 6 7 8
Aaa 57 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Aa 297 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
A 1172 0.09% 0.09% 0.09% 0.09% 0.09% 0.19% 0.30% 0.30%
Baa 1737 0.06% 0.06% 0.19% 0.19% 0.47% 0.61% 1.24% 1.24%
Ba 728 0.14% 0.47% 1.65% 3.16% 3.36% 4.70% 6.59% 6.84%
B 1103 0.50% 3.97% 7.66% 10.35% 12.13% 13.22% 16.93% 18.31%
Caa-C 1138 4.77% 11.81% 18.60% 24.74% 29.15% 32.48% 40.76% 41.45%
IG 3263 0.06% 0.06% 0.13% 0.13% 0.28% 0.39% 0.75% 0.75%
SG 2969 2.02% 5.96% 10.03% 13.45% 15.49% 17.26% 21.48% 22.27%
All 6232 0.97% 2.70% 4.45% 5.79% 6.64% 7.33% 8.97% 9.22%
1/1/15
Rating n(0) 1 2 3 4 5 6 7
Aaa 56 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Aa 305 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
A 1246 0.00% 0.00% 0.00% 0.00% 0.09% 0.19% 0.19%
Baa 1746 0.00% 0.00% 0.00% 0.27% 0.41% 1.16% 1.16%
Ba 723 0.30% 1.55% 2.76% 2.94% 3.35% 4.67% 4.67%
B 1082 2.50% 6.08% 7.83% 10.04% 12.25% 16.79% 18.46%
Caa-C 1366 6.54% 13.05% 19.23% 23.47% 28.32% 37.86% 38.88%
IG 3353 0.00% 0.00% 0.00% 0.14% 0.24% 0.66% 0.66%
SG 3171 3.70% 7.92% 11.21% 13.58% 16.12% 21.19% 22.10%
All 6524 1.75% 3.67% 5.07% 6.10% 7.10% 9.15% 9.45%
1/1/16
Rating n(0) 1 2 3 4 5 6
Aaa 51 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Aa 309 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
A 1305 0.00% 0.00% 0.00% 0.09% 0.09% 0.09%
Baa 1727 0.00% 0.00% 0.19% 0.26% 0.98% 1.06%
Ba 742 0.14% 0.76% 0.92% 1.48% 3.27% 3.27%
B 1018 1.58% 2.89% 4.74% 6.72% 11.65% 13.25%
Caa-C 1439 9.07% 15.85% 19.97% 24.67% 34.12% 35.51%
IG 3392 0.00% 0.00% 0.10% 0.17% 0.53% 0.56%
SG 3199 4.58% 8.03% 10.33% 12.90% 18.41% 19.41%
All 6591 2.18% 3.73% 4.75% 5.79% 8.06% 8.43%
1/1/17
Rating n(0) 1 2 3 4 5
Aaa 52 0.00% 0.00% 0.00% 0.00% 0.00%

Aa 302 0.00% 0.00% 0.00% 0.00% 0.00%
A 1277 0.00% 0.00% 0.09% 0.09% 0.09%
Baa 1712 0.00% 0.00% 0.06% 0.34% 0.41%
Ba 803 0.52% 0.52% 0.52% 1.56% 1.76%
B 985 0.45% 1.35% 3.29% 10.48% 11.91%
Caa-C 1442 7.55% 13.15% 18.98% 29.16% 30.75%
IG 3343 0.00% 0.00% 0.07% 0.21% 0.24%
SG 3230 3.57% 6.20% 9.11% 15.55% 16.65%
All 6573 1.71% 2.90% 4.17% 6.85% 7.29%
1/1/18
Rating n(0) 1 2 3 4
Aaa 54 0.00% 0.00% 0.00% 0.00%

Aa 255 0.00% 0.00% 0.00% 0.00%
A 1307 0.00% 0.16% 0.16% 0.16%
Baa 1760 0.00% 0.00% 0.32% 0.39%
Ba 842 0.00% 0.00% 1.07% 1.24%
B 980 0.68% 2.05% 8.80% 10.77%
Caa-C 1425 5.16% 11.43% 21.68% 23.45%
IG 3376 0.00% 0.06% 0.23% 0.26%
SG 3247 2.44% 5.45% 11.99% 13.35%
All 6623 1.17% 2.56% 5.49% 6.06%
1/1/19
Rating n(0) 1 2 3
Aaa 52 0.00% 0.00% 0.00%

Aa 290 0.00% 0.00% 0.00%
A 1309 0.00% 0.00% 0.00%
Baa 1819 0.11% 0.23% 0.29%
Ba 806 0.00% 0.71% 1.03%
B 992 1.22% 7.35% 9.19%
Caa-C 1424 6.48% 17.49% 19.32%
IG 3470 0.06% 0.12% 0.15%
SG 3222 3.19% 9.98% 11.41%
All 6692 1.53% 4.63% 5.26%
1/1/20
Rating n(0) 1 2
Aaa 52 0.00% 0.00%

Aa 329 0.00% 0.00%
A 1314 0.00% 0.00%
Baa 1845 0.11% 0.11%
Ba 782 0.13% 0.43%
B 959 3.98% 5.31%
Caa-C 1390 12.83% 15.23%
IG 3540 0.06% 0.06%
SG 3131 6.88% 8.39%
All 6671 3.21% 3.87%
1/1/21
Rating n(0) 1
Aaa 49 0.00%
Aa 324 0.00%
A 1300 0.00%
Baa 1871 0.00%
Ba 788 0.00%
B 901 1.19%
Caa-C 1445 2.99%
IG 3544 0.00%
SG 3134 1.71%
All 6678 0.78%
Moody’s related publications

Outlooks
» Energy – Global: 2022 Outlook, December 15, 2021
» Hospitality – Global: 2022 Outlook, December 3, 2021
» Property – China: 2022 Outlook, December 1, 2021
» Nonfinancial Companies – Asia (ex Japan): 2022 Outlook, November 23, 2021
» Nonfinancial Companies – EMEA: 2022 Outlook, November 23, 2021
» Nonfinancial Companies – North America: 2022 Outlook, November 23, 2021
» Global Macro Outlook 2022-23: Global economy will gain steadier footing although supply troubles, inflation pose risk, November
4, 2021
» 2022 Outlook – Global credit environment will stabilize as COVID-19 uncertainties ebb, November 1, 2021
Sector research
» Corporates – US: Strong liquidity will provide a rate buffer – at least for now, January 31, 2022
» Macroeconomics – US: Strong US real GDP growth in fourth quarter seals rate hike expectations, January 31, 2022
» Property – China: China Property Focus: Contracted sales will decline in 2022 amid tight liquidity, January 27, 2022
» Macroeconomics – US: Interest rates to rise faster as Omicron's impact on economy likely to be temporary, January 11, 2022
» Corporate Defaults and Recoveries - US: Hard Data for Hard Times: pandemic edition, May 18, 2021
To access any of these reports, click on the entry above. Note that these references are current as of the date of publication of this
report and that more recent reports may be available. All research may not be available to all clients.
Endnotes
1 Our default definition includes distressed exchanges. Please see the Methodology and data sources section for more details.
2 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.
3 The analysis on ultimate recovery is provided by David Keisman, Kevin Kelhoffer and Julia Chursin. The data is from Moody’s Ultimate Recovery Database
(URD), which includes robust detailed recovery information for more than 5,700 loans and bonds from more than 1,200 US corporate nonfinancial
defaulters since 1987.
4 See Glossary of Moody’s Ratings Performance Metrics for details on data methodology.
© 2022 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 CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT
COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY,
“PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. 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 OR IMPAIRMENT. SEE APPLICABLE MOODY’S
RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S
CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE
VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT
STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND
RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER
OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER
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rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.
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This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on
www.moodys.com for the most updated credit rating action information and rating history.
REPORT NUMBER 1316376
Contacts CLIENT SERVICES
Daniel Gates +1.212.553.7923 David Keisman +1.212.553.1487 Americas 1-212-553-1653

MD-Gbl Rtgs&Process Senior Vice President
Asia Pacific 852-3551-3077
Oversight david.keisman@moodys.com
daniel.gates@moodys.com Japan 81-3-5408-4100
EMEA 44-20-7772-5454

2022 Moody prob default & recovery

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CROSS-SECTOR

SECTOR IN-DEPTH Default Trends – Global

Key highlights of our analysis include:

For inquiries on the underlying data, please contact ClientServices@moodys.com.

About this report

Default count fell to the lowest level in a decade

Default rate fell below its pre-pandemic level

Construction & Building had the most defaults

Issuer-weighted and includes investment-grade and speculative-grade issuers.

Recovery rates rose in 2021

* We use market prices (bids) to proxy recoveries in this exhibit.

Source: Moody's Investors Service

Ultimate recovery rates rose in most creditor classes in 2021

Priority position 2021 2020 1987-2021 2021 2020 1987-2021

Lower default rates sent credit losses down in 2021

Source: Moody's Investors Service

Credit quality improved in 2021

- Rating Drift: Downgrade + Rating Drift: Upgrade 2021 2020

CAPITAL Automotive 13%

CONSUMER Services: Consumer -3%

ENERGY & Energy: Oil & Gas 7%

MEDIA & Advertising, Printing & Publishing 14%

NONBANK FINANCE Finance 2%

REIT REIT -1%

RETAIL & Retail 22%

SOVEREIGN & PUBLIC FINANCE Sovereign & Public Finance 1%

TECHNOLOGY Telecommunications -6%

TRANSPORTATION Consumer -3%

UTILITIES Water 14%

Ratings remain more stable in the investment-grade spectrum

I I: Rating migration from IG to SG Rating

III III: Rating migration from SG to IG Rating

Probability Heat Map

Rating Transition Matrix Definition

We expect the default rate to rise modestly in 2022

All corporate issuers Speculative-grade corporates

Speculative-grade historical average: 4.11%

All corporates historical average: 1.65%

Source: Moody's Investors Service

Sources: US Bureau of Labor Statistics and Moody's Investors Service

Scenario description Probability that the 50% 75% 90% 96%

2021 Moody's Credit Transition Model (CTM) Forecast

SECTOR GROUP INDUSTRY

CONSUMER Services: Consumer

ENERGY & Energy: Oil & Gas

MEDIA & Advertising, Printing & Publishing

NONBANK FINANCE Finance

RETAIL & Retail

SOVEREIGN & PUBLIC FINANCE Sovereign & Public Finance

0% 2% 4% 6% 8% 10% 12% 14% 16%

*CTM forecast is based on Moody’s CTM.

Source: Moody's Investors Service

Source: Moody's Investors Service

Source: Moody's Investors Service

Methodology and data sources

Changes in this year's report

Guide to data tables and charts in appendix

* Only includes companies in January 1 cohort.

* Only include companies in Jan 1 cohort.

1989 0 4 0 0 51 $0 $969 $0 $0 $10,253