Transition and Default Study 2011

www.fitchratings.com March 16, 2012

Credit Market Research

Corporates

Fitch Ratings Global Corporate Finance 2011 Transition and Default Study Special Report

Modest Pressure on Rating Stability: The global corporate rating drift reversed direction from

positive to negative in the second half of 2011 as stress emanating from the European

sovereign debt crisis affected economic activity and disrupted capital markets. By year-end, the

share of Fitch-rated global corporate issuers downgraded climbed to 13.5% from 10.6% in

2010. Upgrades lost momentum in the closing months of the year but edged up year over year

to 11.1% from 10.7%. The pace of downgrades remained well below the 2009 peak of 26.3%.

Sovereign Distress Hits Financials: Financial institution credit quality continued to slip in

2011. The financial institution downgrade rate rose to 18.4%, up from 13% in 2010. The vast

majority of this activity was associated with European banks. In contrast, rating activity among

global industrials remained practically even year over year with downgrades affecting 8.8% of

issuers, up modestly from 8.2% in 2010, and upgrades 14.5%, also up from 13.5%.

Gains for Emerging Markets: Positive rating trends endured in 2011 for emerging market

issuers, fueled in part by Latin America and Asia-Pacific sovereign upgrades. The share of

emerging market entities upgraded, 16%, remained considerable and on par with 2010’s 16.6%

rate. The emerging market downgrade rate was 6.1% (versus 5.4% in 2010). Downgrades

trailed upgrades 0.4 to 1 compared with 1.7 to 1 across advanced economies.

Defaults Shrink Following 2009 Surge: The Fitch-rated global corporate issuer default rate

remained low in 2011, ending the year at 0.3%, compared with 0.5% in 2010, and just a

fraction of 2009’s 2.6%. All but one of the year’s eight defaults (down from 13 in 2010)

originated from companies rated speculative grade at the beginning of the year. The single

investment grade default in 2011 was MF Global Holdings Ltd. (MF Global). The resulting

investment grade default rate was 0.05%. The non-investment grade rate was 0.91%.

Predictive Power of Ratings: Fitch’s corporate ratings demonstrate a strong ability to

differentiate default risk. Over the period 1990–2011, the default rate across the universe of

Fitch-rated investment grade entities has averaged 0.13% annually versus 3.13% at the non-

investment grade level.

Related Research Fitch Ratings Sovereign 2011 Transition and Default Study, March 14, 2012

Fitch Ratings International Public Finance 2011 Transition and Default Study, March 12, 2012

Fitch Ratings U.S. Public Finance 2011 Transition and Default Study, March 12, 2012

Global Trading and Universal Bank Review: Resilience Increased but Challenges Remain, Dec. 15, 2011

Fitch Ratings Global Cross-Asset First-Half 2011 Default Update, Oct. 4, 2011

Fitch Ratings Global Short-Term 2010 Transition and Default Update, Oct. 3, 2011

Analysts Charlotte L. Needham +1 212 908-0794 [email protected]

Mariarosa Verde +1 212 908-0791 [email protected]

Global Credit Risk Officers Timothy Greening +1 312 368-3205 [email protected]

John Hatton +44 20 3530-1061 [email protected]

James Moss +1 312 368-3213 [email protected]

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aCompares beginning-of-year rating with end-of-year rating; does not count multiple rating actions throughout the year. Note: Rating changes defined at the modifier level, making a distinction between +/-. Source: Fitch.

(No.)

Fitch Global Corporate Finance Historical Rating Activitya

(%)

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Fitch Ratings Global Corporate Finance 2011 Transition and Default Study 2

March 16, 2012


Global Corporate Finance Rating Activity 2011

Stresses ranging from the E.U. sovereign debt crisis, to U.S. mortgage and labor market

weakness, political instability in the Middle East, and a severe earthquake in Japan, made for a

volatile year in 2011. However, despite the year’s wide assortment of real and feared disruptions,

the ratio of global corporate entities downgraded versus upgraded remained modest at 1.2 to 1,

worse than the 1 to 1 ratio recorded in 2010 but still reflecting a more balanced credit

environment than in either 2008 or 2009. Even in Europe where bank downgrades dominated

the story was markedly different for industrials. The share of European industrials upgraded in

2011, 11.7%, topped the share downgraded of 9.9%.

Broad Sector Trends

With Europe driving much of the activity, the rating drift remained negative across financial

institutions in 2011. Downgrades climbed 39% while upgrades remained flat year over year,

resulting in a downgrade to upgrade ratio of 2.4 to 1. The sector’s rating mix consequently

continued to deteriorate for the fourth consecutive year.

A significant number of financial institution downgrades in 2011 were driven by and closely

related to actions taken on sovereigns. Many IDRs of prominent banks around the world are at

the Support Rating Floor (SRF), highlighting that the IDR is influenced by the willingness and

ability of the home sovereign to provide financial support. Consequently, sovereign IDR

downgrades in 2011 also resulted in lower SRFs and related bank IDRs.

Banks also experienced rating pressures beyond the direct impact of SRFs. Key areas

included weak operating environments, pressure on select asset classes (primarily real estate

and sovereign bonds), constrained access to unsecured debt markets, current and prospective

Related Criteria Global Financial Institutions Rating Criteria, Aug. 16, 2011

Corporate Rating Methodology, Aug. 12, 2011

Distressed Debt Exchange Global Cross-Sector Criteria, Aug. 12, 2011

Fitch Global Corporate Finance Rating Movements Across Major Rating Categories Average Annual 19902010 2010 2011 (%) Downgrade Upgrade Downgrade Upgrade Downgrade UpgradeAAA 5.61 N.A. 6.67 N.A. 0.00 N.A.AA 9.03 0.10 9.60 0.00 29.24 0.00A 6.11 2.12 5.52 0.71 7.79 0.00BBB 4.82 3.89 1.87 1.40 3.29 2.95BB 10.45 8.70 4.22 7.83 4.82 8.13B 7.02 10.50 4.15 7.67 3.48 7.59CCC to C 28.45 21.44 26.09 45.65 16.67 20.00

N.A. Not applicable. Source: Fitch.

Fitch Global Corporate Finance Rating Actions by Sector 2011a Downgrades Upgrades

Sector No.

% of Sector

Ratings No.

% of Sector

RatingsBanking and Finance 215 21.0 83 8.1Industrials 109 8.8 179 14.5Insurance 6 3.4 9 5.1All 330 13.5 271 11.1aCompares beginning-of-year rating to end-of-year rating; does not count multiple rating actions throughout the year. Note: Rating changes defined at the modifier level, making a distinction between +/-. Source: Fitch.

Fitch Global Corporate Finance Rating Actions by Region 2011a Downgrades Upgrades

Region No.

% of Regional Ratings No.

% of Regional Ratings

North America 117 10.5 121 10.8Europe 168 23.6 52 7.3Asia-Pacific 24 8.1 41 13.8LATAM 10 4.5 56 25.5Middle East and Africa 11 11.8 1 1.1All 330 13.5 271 11.1aCompares beginning-of-year rating to end-of-year rating; does not count multiple rating actions throughout the year. Note: Rating changes defined at the modifier level, making a distinction between +/-. LATAM Latin America. Source: Fitch.





March 16, 2012


pressure from higher regulatory capital standards, and regulatory actions restricting some

business activities as well as higher regulatory costs. The picture is not entirely bleak, as

downward moves were generally more limited than in 2008 and 2009. In addition, improvement

in core operating measures for banks now emerging from the depths of the crisis spurred some

upgrades.

Global industrial rating activity remained even year over year. The ratio of downgrades to

upgrades among global industrials was 0.6 to 1 for 2011 identical to 2010. Positive rating

actions occurred most notably among Latin America and North America companies, with the

share of issuers upgraded across the two regions at 28.8% and 12.7%, respectively. The U.S.

auto sector’s turnaround prompted numerous upgrades in 2011, as did the telecommunication

sector. Retail and energy led negative rating activity in North America and Europe. Retailing

downgrades were due to poor execution in the extremely competitive environment since the

beginning of the recession. Energy-related downgrades were split between U.S. independent

power generators, reflecting low wholesale power prices driven by increased supplies of

natural gas, and company-specific events in Europe.

Regional Activity Trends

Pressure on bank credit quality caused the overall corporate finance downgrade rate in Europe

to nearly double in 2011 to 23.6%, from 12.8% in 2010. European financials experienced the

bulk of negative activity with a 32.3% downgrade rate in 2011 versus 16.2% in 2010.

020

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Upgrades Downgrades

Fitch Global Corporate Finance Historic Rating Activity

Source: Fitch.

(No.)

Emerging Market

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Developed Market

Fitch Global Financial Institutions Rating Actions by Region 2011a Downgrades Upgrades

Region No.

% of RegionalRatings No.

% of RegionalRatings

North America 55 12.3 36 8.0Europe 141 32.3 20 4.6Asia-Pacific 14 8.8 19 11.9LATAM 2 2.5 16 19.8Middle East and Africa 9 11.7 1 1.3All 221 18.4 92 7.6aCompares beginning-of-year rating to end-of-year rating; does not count multiple rating actions throughout the year. Note: Rating changes defined at the modifier level, making a distinction between +/-. Financial Institutions includes insurance. LATAM Latin America. Source: Fitch.

Fitch Global Industrials Rating Actions by Region 2011a Downgrades Upgrades

Region No.

% of Regional Ratings No.

% of Regional Ratings

North America 62 9.3 85 12.7Europe 27 9.9 32 11.7Asia/Pacific 10 7.2 22 15.9LATAM 8 5.8 40 28.8Middle East and Africa 2 12.5 0 0.0All 109 8.8 179 14.5aCompares beginning-of-year rating to end-of-year rating; does not count multiple rating actions throughout the year. Note: Rating changes defined at the modifier level, making a distinction between +/-. LATAM Latin America. Source: Fitch.


March 16, 2012


Economic and political disruptions triggered by the Arab Spring led to multiple sovereign and

bank downgrades in the Middle East, which saw a downgrade rate of 11.8% for the year and a

limited upgrade rate of 1.1%. In contrast, upgrades readily topped downgrades across the Latin

America and Asia-Pacific areas. Some of this activity reflected the positive effect of sovereign

upgrades on issuers (e.g. Indonesia and Colombia), while a handful of upgrades were the

result of merger and acquisition activity (e.g. the Philippines and Mexico).

Developed markets again accounted for the bulk of downgrades in 2011, as the share of

issuers downgraded (16.3%) topped the share upgraded of 9.3% compared with 12.4% and

8.7%, respectively, in 2010. Financial institutions across the euro zone received the bulk of

downgrades, either due to entity-specific issues or due to linkages to sovereign rating

deterioration. Notable European sovereign downgrades included Greece (to ‘CCC’ from

‘BBB’), and Portugal (to ‘BB+’ from ‘A+’), both falling below the investment grade threshold.

Emerging market issuer downgrades (6.1%) lagged upgrades (15.9%) for the second

consecutive year, for a downgrade to upgrade ratio of 0.4 to 1 in 2011. Companies in the Latin

American region accounted for the greatest share of emerging market upgrades (52%),

followed by Asia-Pacific (29%) and Europe (18%).

Magnitude of Rating Changes

While the share of global corporate entities downgraded rose in 2011 to 13.5% from 10.6% in

2010, downgrade severity remained steady year over year at 1.6 notches. As shown in the

chart on the top of page 5, this metric varies year to year depending on the broader economic

environment. During recessions, for example, the severity of downgrades increases. In 2011,

87% of Fitch’s corporate downgrades were either one or two notches, compared with 71% in

2009. The average downgrade was 2.8 notches in that turbulent year.

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% Upgraded % Downgraded

aCompares beginning-of-year rating with end-of-year rating; does not count multiple rating actions throughout the year. Note. Rating changes defined at the modifier level, making a distinction between +/-. Includes banks, finance and insurance companies.Source: Fitch.

(No.)

Fitch Global Financial Institutions Rating

Activitya

(%)

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aCompares beginning-of-year rating with end-of-year rating; does not count multiple rating actions throughout the year. Note. Rating changes defined at the modifier level, making a distinction between +/-. Source: Fitch.

(No.)

Fitch Global Industrials Rating Activitya

(%)


March 16, 2012


Downgrade severity was roughly similar across global financials and industrials in 2011 at 1.7

and 1.5 notches, respectively. Across financial institutions, 86% of the year’s downgrades

consisted of one- or two-notch movements, while for industrials the share was 88%.

The number of fallen angels (issuers downgraded to speculative grade from investment grade)

increased to 31 in 2011 from 18 a year earlier. European banks contributed the largest regional

share (65%) notably Greek and Portuguese banks.

The number of rising stars issuers upgraded to investment grade from speculative grade

remained even year over year, totaling 27 compared with 26 in 2010. Emerging market

upgrades were the common thread connecting rising stars in 2011, including several

sovereign-related credit upgrades in the mix, e.g. Indonesia (to ‘BBB’ from ‘BB+’).

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Avg. Notch Downgrade Avg. Notch Upgrade

aA move from 'BBB–' to 'BB+', for example, would constitute a one-notch change, 'BBB–' to 'BB' is two notches, etc.Source: Fitch.

Fitch Global Corporate Finance Average Notch Rating Changea

(Counts)

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Upgrades Downgrades

aA multi-notch rating action is defined here as an upgrade or a downgrade of more than one notch examining rating changes ona year-over-year basis.Source: Fitch.

(No.)

Fitch Global Corporate Finance Multi-

Notch Ratings Actionsa

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aA Fallen Angel is an issuer downgraded from an investment grade to a speculative grade rating. A Rising Star is an issuer upgraded from a speculative grade to an investment grade rating.Source: Fitch.

(No.)

Fitch Global Corporate Finance Fallen

Angels and Rising Starsa


March 16, 2012


Transition Rates

The 2011 one-year rating migration table above pinpoints the movement of ratings across the

major rating categories (e.g. from ‘A’ to ‘BBB’), as opposed to the modifier level, which counts

each notch change (e.g. from ‘A’ to ‘A’). (Please see the Fitch Global Corporate Finance

Transition Rates at the modifier level on page 19.) The vertical left-hand column identifies

ratings outstanding at the beginning of 2011, while the horizontal axis offers details on the

migration pattern of those ratings by year’s end. In the 2011 one-year transition rates table

above, the diagonal, beginning with ‘AAA’ at 100.00% and followed by ‘AA’ at 70.76%, reveals

the relative stability of each rating category.

The 2011 corporate transition data reveals downgrades increased year over year at the

uppermost levels of the investment grade rating categories namely the ‘AA’ category with

Fitch Global Corporate Finance One-Year Transition Rates 2011(%) AAA AA A BBB BB B CCC to C D TotalAAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 70.76 29.24 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 92.21 7.36 0.43 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.95 93.76 2.49 0.68 0.00 0.11 100.00BB 0.00 0.00 0.00 8.13 87.05 3.92 0.90 0.00 100.00B 0.00 0.00 0.00 0.00 7.59 88.92 2.85 0.63 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 20.00 63.33 16.67 100.00

Source: Fitch.

Fitch Global Corporate Finance Rating Activity by Broad Market Sector 2011 Global Corporates Financial Institutionsa Industrials (%) Downgrade Upgrade Downgrade Upgrade Downgrade UpgradeAAA 0.00 N.A. 0.00 N.A. 0.00 N.A.AA 29.24 0.00 33.80 0.00 6.90 0.00A 7.79 0.00 8.07 0.00 7.39 0.00BBB 3.29 2.95 5.51 2.89 1.60 2.99BB 4.82 8.13 0.83 8.26 7.11 8.06B 3.48 7.59 5.43 8.53 2.14 6.95CCC to C 16.67 20.00 0.00 37.50 22.73 13.64aIncludes banks, finance, and insurance companies. N.A. Not applicable. Source: Fitch.

Fitch Global Corporate Finance Average Annual Transition Rates: 19902011 (%) AAA AA A BBB BB B CCC to C D TotalAAA 94.50 5.50 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.09 90.24 9.28 0.31 0.02 0.02 0.00 0.04 100.00A 0.02 1.99 91.79 5.45 0.52 0.08 0.07 0.09 100.00BBB 0.00 0.20 3.62 91.49 3.62 0.60 0.24 0.25 100.00BB 0.02 0.05 0.10 8.49 81.35 7.04 1.66 1.30 100.00B 0.00 0.00 0.24 0.45 9.50 83.18 4.28 2.35 100.00CCC to C 0.00 0.00 0.00 0.20 2.40 18.76 50.90 27.74 100.00

Source: Fitch.

Fitch Global Corporate Average Annual Rating Activity by Broad Market Sector: 19902011 Global Corporates Financial Institutionsa Industrials (%) Downgrade Upgrade Downgrade Upgrade Downgrade UpgradeAAA 5.50 N.A. 4.98 N.A. 6.93 N.A.AA 9.67 0.09 8.91 0.12 11.99 0.00A 6.20 2.00 5.52 2.90 7.16 0.73BBB 4.70 3.82 4.41 5.21 4.90 2.85BB 10.00 8.65 11.72 9.83 9.10 8.03B 6.63 10.19 5.62 10.69 7.23 9.88CCC to C 27.74 21.36 20.69 29.06 32.55 16.11aIncludes banks, finance, and insurance companies. N.A. Not applicable. Source: Fitch.


March 16, 2012


more modest increases at the ‘A’ and ‘BBB’ levels. In contrast, 2011 upgrades increased at the

‘BBB’ and ‘BB’ rating categories. The divergent paths and rating profiles of financial versus

industrial entities (see pie charts above) of course contributed to these results.

Downgrade rates for financials surpassed industrial levels in every investment grade rating

category most notably at ‘AA’ (financials, 33.80%; industrials, 6.9%). The financial institution

rating mix has been on a downward path since 2008. At the end of 2011, for example, 7% of

issuers were rated ‘AA’ compared with 17% at the end of 2007.

In summary, the share of investment grade issuer downgrades in 2011 reached 14.9%, topping

the 10.8% downgraded a year earlier. Additionally, the investment upgrade rate edged

modestly higher year over year to 6.4%, up from 4.5% in 2010.

Speculative grade corporate rating activity continued to display strong positive momentum in

2011, in line with 2010. The share of speculative grade issuers affected by upgrades was

23.5%, below the 26.5% recorded a year earlier but still considerable. Similarly, the 2011

speculative downgrade rate fell to 9.9% from 10.1% in 2010. As discussed below, there were

importantly few defaults in 2011.

The average annual data including 2011 (19902011) demonstrates that over the long term,

issuers rated investment grade exhibit far more stability than their non-investment grade

counterparts. Each incremental move down the rating scale displays increased rating volatility,

with the relative proportion of upgrades/downgrades affected by issuer-specific and,

importantly, macro developments both economic and geopolitical in nature.

Default Trends

Fitch-rated defaults totaled eight in 2011, down from 13 in 2010. The resulting Fitch annual

issuer-based default rate moved lower in 2011 to 0.3%, from 0.5% in 2010.

Regionally, North America led Fitch-rated 2011 issuer defaults with five, including the

bankruptcy of commercial airline carrier American Airlines/AMR Corporation. European issuers

accounted for three defaults, including Lithuania’s Bankas Snoras. The resulting annual

corporate default rates for North America and Europe were nearly even at 0.41% and 0.38%,

respectively.

A20% BBB

41%

BB18%

AAA0%

AA2%

CCC to C2%

B17%

Fitch Global Rating Mix(Year-End 2011)

Industrials

Source: Fitch.

A35%

BBB33%

BB12%

AAA1%

AA7%

CCC to C1%

B11%

Financials


March 16, 2012


Developed market defaults exceeded

emerging market defaults for the year

at six and two, respectively. Results

deviated from year-earlier data which

saw emerging market issuers

accounting for the majority of defaults

(seven of 13). Ultimately, developed (0.31%) and emerging market (0.28%) default rates were

nearly identical in 2011.

Four of the year’s five non-financial defaults involved U.S. companies. The financial sector

produced two European and one U.S. default. (Detailed default rates by individual region and

sector are available in the Appendix beginning on page 13.)

The sole investment grade default in 2011 was U.S.-based futures and options broker MF

Global, rated ‘BBB’ at the beginning of the year. The remainder of the year’s limited defaults

involved companies rated speculative grade at the beginning of the year. Interestingly,

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aYear-end ratings.Source: Fitch.

(%)

Fitch Global Corporate Finance Ratings Distribution by Major Rating Category —

2011a

Fitch-Rated Global Corporate Finance Issuer Default Rates

No. of Fitch-Rated

Defaults Default

Rate (%)1990 6 1.341991 10 1.851992 4 0.641993 0 0.001994 0 0.001995 1 0.111996 2 0.201997 1 0.081998 6 0.431999 14 0.862000 7 0.382001 21 0.922002 47 2.152003 27 1.162004 3 0.122005 8 0.312006 2 0.072007 3 0.112008 37 1.292009 73 2.602010 13 0.502011 8 0.30

Note: Data enhancement efforts may lead to slightly different results than previously published. Current study supersedes all prior statistics. Source: Fitch.

Fitch Global Corporate Finance Average Cumulative Default Rates: 19902011 (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearAAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.03 0.04 0.07 0.14 0.12 0.15A 0.09 0.26 0.44 0.60 0.74 1.96BBB 0.23 0.74 1.35 1.99 2.54 5.18BB 1.17 3.08 4.90 6.19 6.91 12.64B 2.14 5.12 7.75 9.10 9.28 12.90CCC to C 24.47 31.83 36.42 35.17 35.23 43.93 Investment Grade 0.13 0.38 0.68 0.97 1.21 2.38Non-Investment Grade 3.13 5.85 8.14 9.23 9.79 15.05All Corporates 0.76 1.51 2.16 2.56 2.79 4.26

Source: Fitch.

Fitch Global Corporate Finance Annual Default Rates Across Major Rating Categories 2011 (%)

AAA AA A BBB BB B CCC to C0.00 0.00 0.00 0.10 0.00 0.56 13.51

Source: Fitch.


March 16, 2012


consistent with more credit erosion in the second half of 2011, all eight of the Fitch-rated

defaults occurred in the fourth quarter of 2011.

The resulting default rate across the universe of Fitch-rated investment grade entities was

0.05% in 2011, while the non-investment grade rate was 0.91%.

On a long-term basis the average annual default rate across Fitch-rated corporate issuers was

0.76% through 2011. The complete series of Fitch default rates from the one- to five-year

(including 10-year) period at the major rating categories is available in the Fitch Global

Corporate Finance Average Cumulative Default Rates: 19902011 on page 8. As shown, the

incidence of default increases considerably with each incremental movement down the rating

scale, but particularly when the movement coincides with a shift from investment grade to non-

investment grade. Fitch’s average annual global corporate investment grade default rate was

0.13% over the 19902011 period, while across Fitch’s global corporate non-investment grade

ratings, the rate was 3.13%. Fitch’s global corporate ratings exhibit a strong ability to

differentiate default risk.

Fitch Corporate Finance Transition and Default Methodology

Fitch’s transition and default statistics include all Fitch global, publicly rated, corporate finance

long-term debt issuer ratings from 1990 to the present, including more than 36,000 data points

over the past 22 years. Fitch employs a static pool approach in calculating default and

transition data. The static pools or, alternatively, cohorts, are created by grouping issuer ratings

according to the year in which the ratings are active and outstanding at the beginning of the

respective year. For example, issuers with ratings outstanding at the beginning of 1990

constitute the 1990 static pool or cohort, with the same true for the 1991, 1992, and

subsequent cohorts. Issuers newly rated by Fitch in any given year are included in the following

year’s cohort.

For example, the performance of ratings initiated in mid-1995 would be followed as part of the

1996 and future cohorts. Ratings withdrawn in midyear are excluded from subsequent cohorts

since they are no longer active, but they are monitored for defaults. Defaults on withdrawn

ratings are included in Fitch’s average annual and multiyear default statistics.

Fitch’s continuing data enhancement efforts may result in slightly different statistics than in

previously published studies. Therefore, this most recent study supersedes all prior versions. In

Parameters of the Fitch Corporate Issuer Default Rate Statistical data captured in this

study is based on the long-term IDR, or historically, the long-term issuer rating (a proxy of default risk). For those issuers not assigned an issuer-level rating historically, an algorithm was used to derive an IDR proxy from the outstanding rated debt at year end.

Fitch worldwide publicly rated corporate finance IDRs and long-term issuer ratings encompassing industrials, utilities, insurance, banks, and finance companies. This includes Fitch-rated parent companies and their subsidiaries where the subsidiaries have outstanding debt or securities rated by Fitch.

Structured finance, sovereign, public finance, private placement, local currency, financial strength and national ratings were excluded from the study.

Short-term IDR ratings were also excluded from the study.

One-year default rates were calculated by dividing the number of defaulted issuers by the number of outstanding rated issuers at the beginning of each respective year.

0.0

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Investment Grade (Right Axis) Non-Investment Grade (Left Axis)

Source: Fitch.

(%)

Fitch Global Corporate Finance Issuer Default Rates

(%)


March 16, 2012


addition, comparisons with earlier Fitch corporate finance transition and default studies should

be viewed within the context of the differing methodologies, whether rating movements were

analyzed across the broad rating categories or at both the modifier and flat levels.

Transition Rates

In order to calculate one-year transition rates, Fitch examines the performance of ratings

outstanding at the beginning and end of a calendar year. Withdrawn ratings are excluded from

the transition table calculations since they do not fit this criteria; namely, the ratings must be

outstanding over a full year or over the full period under observation.

Issuer ratings may reside in multiple static pools, as long as their ratings are outstanding at the

beginning and end of the year or multiple-year horizons under observation. For example, the

annual performance of an issuer rating initiated in 1994, and therefore outstanding at the

beginning of 1995, and withdrawn in 1999, would be included in the 1995, 1996, 1997, and

1998 static pools. The rating’s performance over multiple-year horizons would also be included

in the two-year, three-year, and four-year transition rates for each of the cohorts noted, but

excluded from five-year transition rates since the rating was withdrawn in year five and was not

outstanding for five full years as part of any cohort. (In other words, as part of the 1995 cohort,

this rating’s performance would be monitored over a one-year period, 1995; two-year period,

19951996; three-year period, 19951997; and four-year period, 19951998.)

In all, Fitch’s transition data contain 22 static pools or cohorts from 19902011, allowing for 22

unique one-year transition rates, 21 two-year transition rates, 20 three-year transition rates,

and so forth.

The occurrence and timing of both rating upgrades and downgrades for corporate issuers can

be attributed to changes in qualitative and/or quantitative factors. Both qualitative and

quantitative measures are used to assess the business and financial risks of corporate issuers.

Qualitative analysis includes examining industry risk, operating environment, market position,

management, and accounting policies. In contrast, the quantitative aspect of Fitch’s corporate

ratings focuses on a company’s policies in relation to operating strategies, acquisitions and

divestitures, leverage targets, dividend policy, and financial goals. An important component in

the analysis is the company’s ability to generate cash, which is reflected by the ratios that

measure profitability and coverage on a cash flow basis.

The rating transitions outlined in this study represent a distinct historical period and may not

represent future rating migration patterns. Transition rates are influenced by a number of

factors, including macroeconomic variables, credit conditions, and corporate strategy. It is

useful to examine the performance of Fitch’s ratings on a relative scale within each rating

category. In addition, it is important to point out that while transition matrices are presented at

both the modifier and flat levels in this study, all other statistical analysis was conducted at the

modifier level, unless noted otherwise.

Default Rates

Fitch’s default rates are calculated on an issuer basis, as opposed to dollar amounts. First,

defaults are examined by year for each static pool and individual rating category. For example,

if 25 issuers defaulted in 2002, and the 2002 static pool consisted of 2,000 issuer ratings, the

resulting annual default rate for all ratings in 2002 would be 1.3%. If 10 of these defaults

consisted of defaults among issuers rated ‘BB’ at the beginning of the year and the ‘BB’ cohort

at the beginning of the year totaled 500, the ‘BB’ 2002 default rate would be 2% (10/500).

Fitch’s Definition of Default Fitch defines a default as one of the following: Failure of an obligor to make timely

payment of principal and/or interest under contractual terms of any financial obligation.

The bankruptcy filing, administration, receivership, liquidation or other winding up or cessation of business of an obligor.

The distressed debt exchange (DDE) of an obligation, where creditors were offered securities with diminished structural or economic terms compared with the existing obligation.


March 16, 2012


From these annual default rates, Fitch derives average annual default rates by weighing each

cohort’s default rates by the number of ratings outstanding in the given cohort relative to the

number of total ratings outstanding for all cohorts. In other words, following the example above,

the 2002 ‘BB’ annual default rate of 2% might be followed by a 2003 ‘BB’ annual default rate of

1%. A straight average of these two rates would ignore potential differences in the size of the

two cohorts. Rather, weighing the results based on the relative number of ‘BB’ ratings

outstanding in 2002 and 2003 gives greater emphasis to the results of the ‘BB’ cohort with the

most observations.

The same technique is used to calculate average default rates over multiple-year horizons. For

example, the two-year default rate for the 2002 ‘BB’ rating pool would be averaged with the

two-year default rate for the 2003 ‘BB’ rating pool by weighing the default rates by the relative

size of each pool.

Withdrawn Ratings

With regard to withdrawn ratings, all public ratings are included in the static pool data until the

ratings are withdrawn and are then excluded from future static pools.

For the purpose of calculating default rates, however, Fitch tracks withdrawn ratings on a

continual basis and includes defaults on withdrawn ratings for the cohorts in which the ratings

were active and outstanding. For example, a ‘BB’ issuer’s rating is outstanding in 1995 and is

withdrawn in 1997. If the issuer defaults in 1999, the default would be included in the 1995 five-

year default rate and 1996 four-year default rate.


March 16, 2012


Appendix

Fitch Global Corporate Finance Average Cumulative Default Rates: 19902011 (%, Modifier Level) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearAAA 0.00 0.00 0.00 0.00 0.00 0.00AA+ 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.11 0.29 0.37 0.16AA 0.06 0.07 0.07 0.07 0.00 0.19A+ 0.00 0.11 0.24 0.31 0.48 0.88A 0.06 0.29 0.52 0.80 0.95 2.23A 0.19 0.35 0.54 0.62 0.75 2.78BBB+ 0.15 0.33 0.59 0.91 1.26 2.87BBB 0.13 0.76 1.47 2.23 2.77 5.64BBB 0.46 1.23 2.15 3.03 3.89 7.67BB+ 1.14 3.08 4.72 6.36 6.80 10.32BB 0.95 3.33 5.32 7.02 8.39 17.81BB 1.44 2.82 4.67 5.18 5.61 10.95B+ 1.16 4.17 6.89 8.93 8.56 9.96B 2.90 6.49 9.55 10.69 11.50 17.93B 2.41 4.63 6.70 7.47 7.79 12.37CCC to C 24.47 31.83 36.42 35.17 35.23 43.93 Investment Grade 0.13 0.38 0.68 0.97 1.21 2.38Non-Investment Grade 3.13 5.85 8.14 9.23 9.79 15.05All Corporates 0.76 1.51 2.16 2.56 2.79 4.26

Source: Fitch.

Fitch Global Corporate Finance Three-Year Default Statistics (%) 10-Year Average of Three-Year CDRs Major Rating Categories

AAA AA A BBB BB B 2000–2009 0.00 0.13 0.52 1.41 4.68 8.19

Most Recent Three-Year CDRs AAA AA A BBB BB B 2009 0.00 0.00 0.24 0.65 3.58 10.43 2008 0.00 1.28 0.92 1.77 6.12 14.24 10-Year Average of Three-Year CDRs Modifier Level

AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B2000–2009 0.00 0.00 0.22 0.11 0.22 0.69 0.58 0.68 1.51 2.19 4.57 4.67 4.79 8.03 9.70 6.45Most Recent Three-Year CDRs

AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B2009 0.00 0.00 0.00 0.00 0.00 0.00 0.58 0.32 0.59 1.10 0.81 2.88 8.00 2.78 15.33 12.002008 0.00 0.00 2.13 1.04 0.00 1.68 0.91 0.00 2.37 3.01 9.93 3.10 4.92 15.38 14.60 12.22

CDRs – Cumulative default rates. Source: Fitch.

Fitch-Rated Corporate Finance Defaults — 2011a

Issuer Name Rating at Beginning of Year Industry Sector Country American Airlines, Inc. CCC Industrials United States AMR Corporation CCC Industrials United States Bankas Snoras B+ Banking and Finance Lithuania Dynegy Holdings Inc. CCC Industrials United States Hovnanian Enterprises, Inc. CCC Industrials United States MF Global Holdings Ltd. BBB Banking and Finance United States Petrol AD CC Industrials Bulgaria T BANK S.A. (Formerly Aspis Bank) B Banking and Finance Greece aRated by Fitch at the beginning of the year in which they defaulted. Source: Fitch.


March 16, 2012


Fitch Market Sector Default Rates (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearFitch Global Financial Institutionsa Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.05 0.05 0.10 0.16 0.11 0.09A 0.12 0.32 0.51 0.66 0.74 1.85BBB 0.23 0.70 1.35 2.04 2.51 5.76BB 1.43 4.12 6.78 8.34 8.87 13.43B 1.09 2.01 2.77 3.48 4.07 5.97CCC to C 17.36 20.18 22.39 20.34 20.12 29.21 Investment Grade 0.13 0.34 0.60 0.85 0.97 1.89Non-Investment Grade 2.56 4.64 6.59 7.57 8.16 13.30All Financial Institutionsa 0.49 0.96 1.42 1.73 1.88 2.94 Fitch Global Banks Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.06 0.06 0.06 0.07 0.00 0.00A 0.09 0.22 0.37 0.53 0.60 0.85BBB 0.20 0.64 1.16 1.62 1.83 4.96BB 0.79 3.07 4.98 6.33 7.29 12.59B 0.88 1.55 2.19 3.02 3.55 2.63CCC to C 14.29 15.76 15.44 13.67 13.74 26.47 Investment Grade 0.10 0.26 0.44 0.60 0.65 1.06Non-Investment Grade 1.84 3.41 4.65 5.61 6.40 11.46All Banks 0.38 0.74 1.04 1.28 1.39 1.99 Fitch Global Industrials Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.08 0.16 0.30A 0.04 0.16 0.34 0.50 0.74 2.09BBB 0.23 0.76 1.35 1.95 2.56 4.90BB 1.04 2.51 3.90 5.05 5.89 12.34B 2.77 6.96 10.59 12.31 12.34 15.94CCC to C 29.75 40.59 46.72 46.06 46.40 59.52 Investment Grade 0.13 0.44 0.78 1.13 1.51 2.91Non-Investment Grade 3.45 6.54 9.01 10.14 10.70 15.82All Industrials 1.06 2.10 2.97 3.46 3.79 5.54aIncludes banks, finance, and insurance companies. Source: Fitch.


March 16, 2012


Fitch Regional Default Rates (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearFitch North America Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.03 0.03 0.09 0.19 0.20 0.23A 0.11 0.31 0.52 0.68 0.84 2.40BBB 0.28 0.79 1.47 2.18 2.74 5.17BB 1.37 3.41 5.36 6.61 7.27 12.46B 2.59 6.26 9.77 11.56 12.12 13.18CCC to C 29.03 40.00 47.73 47.03 47.88 62.32 Investment Grade 0.16 0.44 0.79 1.14 1.40 2.73Non-Investment Grade 3.55 6.61 9.32 10.38 10.95 14.85All North America Corporates 0.81 1.59 2.32 2.75 3.01 4.51 Fitch Europe Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.05 0.06 0.06 0.06 0.00 0.00A 0.08 0.25 0.45 0.66 0.80 1.36BBB 0.10 0.34 0.72 1.11 1.44 2.52BB 1.17 3.21 5.12 6.07 5.83 7.20B 1.66 3.80 4.96 5.41 5.01 6.32CCC to C 11.11 13.46 14.48 12.03 11.02 7.81 Investment Grade 0.07 0.21 0.39 0.56 0.67 1.04Non-Investment Grade 2.28 4.48 5.99 6.41 6.09 7.04All Europe Corporate 0.48 0.97 1.35 1.50 1.48 1.54 Fitch EMEA Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.05 0.06 0.06 0.06 0.00 0.00A 0.07 0.24 0.42 0.62 0.76 1.34BBB 0.13 0.49 0.90 1.27 1.52 2.95BB 1.04 2.98 4.70 5.52 5.29 6.80B 1.50 3.31 4.29 4.67 4.37 5.51CCC to C 12.43 15.34 16.45 13.67 12.88 11.94 Investment Grade 0.08 0.25 0.43 0.60 0.70 1.14Non-Investment Grade 2.19 4.22 5.58 5.91 5.69 7.33All EMEA Corporates 0.49 1.00 1.36 1.51 1.50 1.72 Fitch Asia-Pacific Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.00 0.00 0.00 0.00 0.00 0.00BB 0.63 1.67 2.79 3.96 4.96 25.58B 3.18 6.92 11.01 13.10 13.11 27.27CCC to C 15.00 15.00 6.67 7.69 8.33 12.50 Investment Grade 0.00 0.00 0.00 0.00 0.00 0.00Non-Investment Grade 1.68 3.35 4.77 6.00 6.67 24.19All Asia-Pacific Corporates 0.33 0.62 0.85 1.05 1.13 2.53

EMEA – Europe, Middle East, and Africa. LATAM – Latin America. Continued on next page. Source: Fitch.


March 16, 2012


Fitch Regional Default Rates (Continued) (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearFitch LATAM Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.42 2.25 3.79 5.14 6.92 14.43BB 0.95 2.79 4.57 6.54 8.14 14.78B 1.88 5.00 7.90 9.46 9.43 20.99CCC to C 34.00 41.84 47.73 49.38 50.65 82.76 Investment Grade 0.28 1.47 2.44 3.26 4.28 8.29Non-Investment Grade 4.04 7.15 9.69 11.58 12.82 22.06All LATAM Corporates 2.29 4.51 6.30 7.68 8.83 15.07 Fitch Middle East and Africa Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.33 1.46 2.02 2.22 1.97 6.06BB 0.00 1.16 1.32 1.45 1.64 4.55B 0.61 0.68 0.77 0.89 1.08 3.13CCC to C 42.86 57.14 57.14 50.00 60.00 100.00 Investment Grade 0.16 0.70 1.01 1.19 1.15 4.21Non-Investment Grade 1.50 2.49 2.82 2.67 3.14 8.77All Middle East and Africa Corporates 0.55 1.23 1.55 1.65 1.77 5.92

EMEA – Europe, Middle East, and Africa. LATAM – Latin America. Source: Fitch.


March 16, 2012


Fitch Developed Market Default Rates (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearFitch Developed Market Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.04 0.04 0.08 0.14 0.13 0.15A 0.09 0.27 0.46 0.63 0.77 2.00BBB 0.23 0.68 1.27 1.90 2.41 4.74BB 1.36 3.35 5.24 6.46 7.03 12.50B 2.92 6.75 10.15 11.81 12.33 13.58CCC to C 27.69 37.76 44.79 44.50 44.67 55.13 Investment Grade 0.13 0.35 0.64 0.92 1.13 2.21Non-Investment Grade 3.57 6.61 9.21 10.27 10.77 14.79All Developed Market Corporates 0.65 1.28 1.86 2.22 2.43 3.66 Fitch Developed Market Financial Institutionsa Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.05 0.05 0.10 0.16 0.11 0.09A 0.13 0.34 0.53 0.69 0.77 1.88BBB 0.23 0.73 1.47 2.27 2.78 5.96BB 2.12 5.25 8.70 10.46 10.31 13.16B 3.94 6.40 9.42 10.00 11.86 15.38CCC to C 28.57 35.44 44.07 45.24 48.57 54.17 Investment Grade 0.13 0.34 0.61 0.86 0.99 1.86Non-Investment Grade 4.65 7.85 11.27 12.24 12.46 16.78All Developed Market Financial Institutionsa 0.42 0.81 1.21 1.50 1.62 2.51 Fitch Developed Market Industrials Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.08 0.16 0.30A 0.04 0.17 0.36 0.53 0.77 2.15BBB 0.23 0.64 1.14 1.68 2.19 4.18BB 1.10 2.68 4.10 5.12 5.94 12.33B 2.78 6.80 10.23 12.03 12.39 13.35CCC to C 27.35 38.60 45.00 44.32 43.83 55.56 Investment Grade 0.13 0.37 0.67 0.99 1.32 2.59Non-Investment Grade 3.27 6.27 8.69 9.77 10.33 14.35All Developed Market Industrials 0.88 1.76 2.53 2.97 3.29 4.76aIncludes banks, finance, and insurance companies. Source: Fitch.


March 16, 2012


Fitch Emerging Market Default Rates (%) One-Year Two-Year Three-Year Four-Year Five-Year 10-YearFitch Emerging Market Corporate Finance Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.23 1.11 1.89 2.56 3.47 9.71BB 0.79 2.50 4.15 5.54 6.59 13.09B 1.31 3.30 4.97 5.75 5.36 11.28CCC to C 20.16 24.47 26.39 25.00 25.40 34.74 Investment Grade 0.15 0.74 1.26 1.73 2.39 6.73Non-Investment Grade 2.46 4.65 6.38 7.40 7.99 15.72All Emerging Market Corporates 1.43 2.93 4.14 4.95 5.60 11.85 Fitch Emerging Market Financial Institutionsa Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.23 0.65 0.91 1.06 1.26 4.88BB 0.74 2.98 4.92 6.14 7.29 13.83B 0.51 1.15 1.57 2.17 2.39 2.70CCC to C 10.60 12.08 13.38 12.59 12.40 20.00 Investment Grade 0.15 0.42 0.59 0.69 0.83 2.93Non-Investment Grade 1.39 2.84 4.06 4.90 5.57 10.72All Emerging Market Financial Institutionsa 0.88 1.87 2.69 3.27 3.76 8.09 Fitch Emerging Market Industrials Average Cumulative Default Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00BBB 0.26 1.81 3.27 4.64 6.47 13.78BB 0.85 1.97 3.23 4.87 5.77 12.43B 2.60 7.06 11.29 12.70 11.49 36.36CCC to C 36.26 45.98 52.05 51.56 54.24 66.67 Investment Grade 0.20 1.35 2.45 3.48 4.92 10.27Non-Investment Grade 3.98 7.32 10.00 11.42 12.00 23.46All Emerging Market Industrials 2.33 4.71 6.66 7.89 8.82 16.60aIncludes banks, finance, and insurance companies. Source: Fitch.


March 16, 2012


Fitch Global Corporate Finance One-Year Transition Rates: 2011 (%) AAA AA A BBB BB B CCC to C D TotalAAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 70.76 29.24 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 92.21 7.36 0.43 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.95 93.76 2.49 0.68 0.00 0.11 100.00BB 0.00 0.00 0.00 8.13 87.05 3.92 0.90 0.00 100.00B 0.00 0.00 0.00 0.00 7.59 88.92 2.85 0.63 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 20.00 63.33 16.67 100.00

Source: Fitch.

Fitch Global Corporate Finance Transition Rates: 19902011 (%) AAA AA A BBB BB B CCC to C D TotalAverage Annual AAA 94.50 5.50 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.09 90.24 9.28 0.31 0.02 0.02 0.00 0.04 100.00A 0.02 1.99 91.79 5.45 0.52 0.08 0.07 0.09 100.00BBB 0.00 0.20 3.62 91.49 3.62 0.60 0.24 0.25 100.00BB 0.02 0.05 0.10 8.49 81.35 7.04 1.66 1.30 100.00B 0.00 0.00 0.24 0.45 9.50 83.18 4.28 2.35 100.00CCC to C 0.00 0.00 0.00 0.20 2.40 18.76 50.90 27.74 100.00 Average Two-Year AAA 89.39 10.32 0.29 0.00 0.00 0.00 0.00 0.00 100.00AA 0.14 82.15 16.62 0.91 0.14 0.00 0.00 0.04 100.00A 0.02 3.64 85.02 9.65 1.06 0.23 0.09 0.29 100.00BBB 0.01 0.40 6.77 84.32 5.78 1.35 0.53 0.84 100.00BB 0.03 0.14 0.32 16.18 66.77 10.66 2.18 3.72 100.00B 0.00 0.00 0.38 1.15 16.66 71.04 4.61 6.15 100.00CCC to C 0.00 0.00 0.00 0.45 5.22 30.16 25.85 38.32 100.00 Average Three-Year AAA 84.01 15.02 0.97 0.00 0.00 0.00 0.00 0.00 100.00AA 0.20 74.99 22.68 1.84 0.15 0.04 0.00 0.09 100.00A 0.02 5.20 79.08 12.93 1.71 0.43 0.09 0.53 100.00BBB 0.03 0.59 9.11 78.58 7.27 2.10 0.66 1.65 100.00BB 0.00 0.20 0.99 21.95 54.73 13.08 2.63 6.42 100.00B 0.00 0.00 0.58 2.33 21.01 62.06 3.86 10.16 100.00CCC to C 0.00 0.00 0.00 0.79 6.60 32.19 14.78 45.65 100.00 Average Four-Year AAA 78.70 18.23 3.07 0.00 0.00 0.00 0.00 0.00 100.00AA 0.24 69.75 26.77 2.81 0.19 0.07 0.00 0.17 100.00A 0.01 6.70 74.42 14.97 2.45 0.57 0.12 0.76 100.00BBB 0.03 0.71 11.34 73.96 7.87 2.64 0.86 2.59 100.00BB 0.00 0.16 1.44 26.11 46.02 14.49 2.91 8.87 100.00B 0.00 0.00 0.54 4.87 24.41 54.77 2.30 13.12 100.00CCC to C 0.00 0.00 0.32 0.96 7.03 35.46 9.27 46.96 100.00 Average Five-Year AAA 73.06 21.22 5.10 0.61 0.00 0.00 0.00 0.00 100.00AA 0.30 65.75 29.79 3.65 0.30 0.05 0.00 0.16 100.00A 0.01 8.03 70.13 16.90 2.89 0.89 0.14 1.00 100.00BBB 0.02 0.75 13.32 70.01 8.28 2.98 1.09 3.54 100.00BB 0.00 0.10 1.78 29.41 40.68 14.63 2.54 10.87 100.00B 0.00 0.00 0.62 8.79 25.49 48.76 1.60 14.74 100.00CCC to C 0.00 0.00 0.36 3.26 5.43 37.32 4.35 49.28 100.00 Average 10-Year AAA 38.93 33.61 23.77 3.69 0.00 0.00 0.00 0.00 100.00AA 0.40 46.50 39.54 10.91 1.90 0.50 0.00 0.25 100.00A 0.00 11.43 52.19 26.39 4.05 2.22 0.31 3.40 100.00BBB 0.05 1.83 14.08 56.18 12.35 4.20 1.43 9.88 100.00BB 0.00 0.16 4.35 30.43 21.74 13.20 0.78 29.35 100.00B 0.00 0.00 0.77 22.01 19.69 23.94 0.77 32.82 100.00CCC to C 0.00 0.00 0.87 7.83 6.09 19.13 0.00 66.09 100.00

Source: Fitch.


March 16, 2012


Fitch Global Corporate Finance One-Year Transition Rates: 2011 (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D Total

AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 75.00 18.75 6.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 86.67 10.00 0.00 3.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 60.80 24.80 14.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 69.05 28.10 1.90 0.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 1.27 83.97 8.86 3.38 1.69 0.42 0.42 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.81 4.07 79.67 10.57 3.25 0.81 0.81 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 9.06 82.26 6.04 1.89 0.38 0.38 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.31 0.00 0.31 8.26 82.87 5.50 0.61 1.22 0.61 0.00 0.00 0.00 0.00 0.31 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.34 14.83 78.62 2.41 0.69 1.03 0.34 0.00 1.72 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.81 16.13 75.81 6.45 0.81 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.98 4.90 21.57 65.69 4.90 0.98 0.98 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.32 30.19 45.28 10.38 0.00 0.00 2.83 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.88 15.38 76.92 2.88 0.96 0.00 0.96 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.92 0.73 12.41 71.53 10.95 1.46 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.33 22.67 65.33 9.33 1.33 100.00CCC to 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 6.67 0.00 13.33 63.33 16.67 100.00

Source: Fitch.

Fitch Global Corporate Finance Transition Rates: 19902011 (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalAverage Annual AAA 94.50 2.88 2.09 0.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.45 81.41 12.89 4.35 0.15 0.45 0.15 0.00 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.06 2.68 80.13 11.48 4.25 0.64 0.23 0.23 0.00 0.23 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 100.00

AA 0.03 0.10 3.21 82.78 10.05 2.84 0.63 0.13 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.00 0.07 100.00A+ 0.00 0.08 0.39 4.56 81.90 9.95 1.85 0.72 0.33 0.19 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.04 0.00 0.22 0.87 5.26 81.65 8.25 2.04 0.84 0.22 0.24 0.11 0.02 0.02 0.09 0.00 0.04 0.07 100.00

A 0.00 0.00 0.10 0.17 0.99 6.18 79.19 9.04 1.90 0.86 0.15 0.12 0.84 0.00 0.10 0.02 0.15 0.20 100.00BBB+ 0.00 0.00 0.03 0.19 0.40 0.89 7.23 77.93 9.65 1.91 0.75 0.22 0.32 0.11 0.05 0.00 0.16 0.16 100.00BBB 0.00 0.00 0.07 0.12 0.05 0.36 1.10 7.33 81.04 6.50 1.12 1.03 0.36 0.24 0.17 0.05 0.33 0.14 100.00

BBB 0.00 0.03 0.03 0.13 0.20 0.13 0.17 1.13 10.58 77.55 5.04 1.92 1.06 0.50 0.60 0.23 0.20 0.50 100.00BB+ 0.00 0.13 0.00 0.00 0.00 0.00 0.13 0.66 2.45 14.72 69.56 5.90 1.86 0.99 1.26 0.33 0.73 1.26 100.00BB 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.37 0.75 3.59 11.90 67.44 6.36 2.62 2.25 1.72 1.87 1.05 100.00

BB 0.08 0.00 0.00 0.00 0.00 0.00 0.08 0.08 0.61 0.91 4.64 13.22 63.68 6.38 4.64 1.60 2.51 1.60 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.19 0.19 0.39 0.48 3.87 16.15 64.31 8.22 2.71 2.22 1.26 100.00B 0.00 0.00 0.00 0.00 0.00 0.29 0.00 0.00 0.00 0.10 0.29 1.16 3.19 14.51 65.86 7.45 3.97 3.19 100.00

B 0.00 0.00 0.00 0.00 0.00 0.36 0.12 0.00 0.24 0.24 0.24 0.36 1.21 3.38 15.22 68.72 7.25 2.66 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 0.40 0.20 1.80 1.00 3.19 14.57 50.90 27.74 100.00 Average Three-Year AAA 84.01 4.36 7.59 3.07 0.65 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 1.04 57.27 19.03 12.28 7.27 1.90 0.17 0.52 0.17 0.00 0.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 6.46 52.79 21.50 12.79 3.13 1.16 0.61 0.68 0.61 0.07 0.07 0.00 0.00 0.00 0.00 0.00 0.14 100.00

AA 0.12 0.72 6.49 61.29 17.96 8.44 2.63 1.08 0.80 0.20 0.04 0.08 0.00 0.04 0.04 0.00 0.00 0.08 100.00A+ 0.04 0.14 1.39 11.12 57.83 18.03 5.36 2.83 1.29 0.72 0.21 0.32 0.21 0.07 0.07 0.07 0.00 0.29 100.00A 0.00 0.00 0.89 2.46 11.32 57.39 14.96 6.35 2.21 1.12 0.70 0.22 1.20 0.06 0.28 0.06 0.17 0.62 100.00A 0.03 0.00 0.13 0.54 3.79 13.22 54.91 15.68 5.39 2.80 0.96 0.70 0.45 0.25 0.25 0.16 0.10 0.64 100.00BBB+ 0.00 0.00 0.32 0.53 0.71 3.20 13.52 49.72 20.36 4.98 2.38 0.75 0.46 0.25 1.32 0.32 0.46 0.71 100.00BBB 0.03 0.00 0.10 0.29 0.36 1.47 4.44 14.54 57.25 11.47 2.52 1.96 1.27 0.52 0.85 0.33 0.78 1.80 100.00

BBB 0.05 0.14 0.28 0.09 0.52 0.47 1.18 5.24 20.36 50.87 7.51 4.91 1.94 0.76 1.65 0.57 0.76 2.69 100.00BB+ 0.00 0.46 0.00 0.09 0.37 0.46 1.12 3.62 8.27 22.21 37.92 6.32 3.90 3.07 2.42 1.39 2.23 6.13 100.00BB 0.00 0.00 0.00 0.00 0.00 0.11 0.32 0.74 3.28 13.88 14.30 33.47 9.96 4.56 6.46 2.97 3.07 6.89 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.44 0.77 3.52 7.48 9.79 14.30 35.31 9.13 6.49 3.85 2.64 6.27 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.71 1.13 1.13 4.95 12.02 17.82 34.65 12.02 3.82 2.83 8.91 100.00B 0.00 0.00 0.00 0.00 0.00 0.62 0.15 0.31 0.31 1.70 0.77 3.70 13.43 22.99 31.17 8.33 4.01 12.50 100.00

B 0.00 0.00 0.00 0.00 0.00 0.75 0.37 0.19 0.19 1.12 0.93 2.24 3.36 7.66 20.93 48.22 5.05 8.97 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.26 0.00 0.53 2.64 1.58 2.37 2.90 7.65 21.64 14.78 45.65 100.00

Continued on next page. Source: Fitch.


March 16, 2012


Fitch Global Corporate Finance Transition Rates: 19902011 (Continued) (%, Modifier Level)

AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalAverage 10-Year AAA 38.93 9.84 12.30 11.48 13.11 10.25 0.41 0.82 2.87 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.33 12.21 19.47 20.46 16.17 16.83 3.96 3.96 2.64 2.31 0.66 0.66 0.00 0.00 0.00 0.33 0.00 0.00 100.00AA 0.58 4.91 18.33 27.71 16.45 16.31 5.63 5.19 2.02 0.58 0.87 0.43 0.00 0.14 0.29 0.29 0.00 0.29 100.00AA 0.30 1.80 8.98 30.94 18.66 13.97 8.48 6.29 4.19 3.19 1.50 0.90 0.10 0.00 0.20 0.20 0.00 0.30 100.00A+ 0.00 1.16 3.09 11.49 30.21 17.76 10.62 10.42 4.63 4.83 1.35 0.77 0.58 0.19 0.48 0.39 0.48 1.54 100.00A 0.00 0.49 3.50 9.19 14.07 22.68 16.59 12.68 7.89 3.25 2.03 0.89 1.14 0.81 0.81 0.08 0.00 3.90 100.00A 0.00 0.21 1.13 3.30 9.38 12.58 21.96 15.46 14.33 6.80 3.40 0.93 1.13 1.96 1.55 0.62 0.52 4.74 100.00BBB+ 0.13 0.00 0.80 2.01 3.89 5.09 12.06 19.71 24.40 13.27 4.69 3.08 1.21 1.07 1.61 0.27 1.34 5.36 100.00BBB 0.00 0.00 0.70 0.70 2.54 3.24 6.48 11.97 30.99 13.24 5.49 4.37 2.96 1.27 1.69 1.27 1.55 11.55 100.00BBB 0.00 0.00 0.18 0.88 1.58 1.76 3.87 10.74 19.37 24.47 8.27 4.58 3.35 1.41 2.64 1.76 1.41 13.73 100.00BB+ 0.00 0.00 0.00 0.40 1.19 2.38 3.17 10.71 15.08 7.14 15.08 6.35 3.57 3.57 2.38 3.57 1.19 24.21 100.00BB 0.00 0.00 0.00 0.00 0.00 0.52 2.60 3.13 11.46 10.94 8.85 7.29 5.21 6.25 2.08 1.56 1.04 39.06 100.00BB 0.00 0.00 0.00 0.00 0.00 1.50 1.00 3.50 15.50 13.00 2.00 5.50 10.50 12.00 4.50 4.50 0.00 26.50 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.82 1.64 10.66 15.57 13.93 8.20 4.92 9.84 2.46 7.38 1.64 22.95 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.90 11.90 5.95 7.14 3.57 11.90 5.95 2.38 0.00 39.29 100.00B 0.00 0.00 0.00 0.00 1.89 0.00 0.00 1.89 0.00 3.77 1.89 5.66 0.00 1.89 13.21 24.53 0.00 45.28 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.87 0.00 1.74 3.48 2.61 0.00 2.61 3.48 5.22 8.70 5.22 0.00 66.09 100.00

Source: Fitch.


March 16, 2012


Fitch Market Sector Transition Rates (%) AAA AA A BBB BB B CCC to C D TotalFitch Global Financial Institutionsa One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 66.20 33.80 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 91.93 7.58 0.49 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.89 91.60 3.67 1.57 0.00 0.26 100.00BB 0.00 0.00 0.00 8.26 90.91 0.83 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 8.53 86.05 3.88 1.55 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 37.50 62.50 0.00 100.00 Fitch Global Financial Institutionsa Average Annual Transition Rates: 19902011 AAA 95.02 4.98 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.12 90.96 8.62 0.20 0.02 0.02 0.00 0.05 100.00A 0.03 2.87 91.57 4.71 0.57 0.07 0.04 0.13 100.00BBB 0.00 0.43 4.79 90.38 3.25 0.67 0.25 0.25 100.00BB 0.00 0.14 0.14 9.55 78.45 7.39 2.72 1.60 100.00B 0.00 0.00 0.09 0.46 10.14 83.69 4.42 1.20 100.00CCC to C 0.00 0.00 0.00 0.00 3.45 25.62 50.25 20.69 100.00 Fitch Global Banks One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 60.53 39.47 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 89.36 9.93 0.71 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.74 89.57 6.09 2.61 0.00 0.00 100.00BB 0.00 0.00 0.00 10.71 88.10 1.19 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 4.55 90.00 3.64 1.82 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 40.00 60.00 0.00 100.00 Fitch Global Banks Average Annual Transition Rates: 19902011 AAA 95.58 4.42 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.10 91.55 8.10 0.16 0.00 0.03 0.00 0.06 100.00A 0.02 3.10 91.82 4.19 0.69 0.07 0.02 0.09 100.00BBB 0.00 0.59 5.75 89.83 2.49 0.82 0.30 0.22 100.00BB 0.00 0.10 0.10 9.91 79.00 7.36 2.65 0.88 100.00B 0.00 0.00 0.11 0.53 9.12 85.90 3.39 0.95 100.00CCC to C 0.00 0.00 0.00 0.00 0.66 30.46 52.32 16.56 100.00 Fitch Global Industrials One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 93.10 6.90 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 92.61 7.04 0.35 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.99 95.41 1.60 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 8.06 84.83 5.69 1.42 0.00 100.00B 0.00 0.00 0.00 0.00 6.95 90.91 2.14 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 13.64 63.64 22.73 100.00 Fitch Global Industrials Average Annual Transition Rates: 19902011 AAA 93.07 6.93 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 88.01 11.31 0.67 0.00 0.00 0.00 0.00 100.00A 0.00 0.73 92.11 6.49 0.44 0.10 0.10 0.04 100.00BBB 0.00 0.05 2.80 92.25 3.87 0.54 0.23 0.25 100.00BB 0.04 0.00 0.07 7.92 82.87 6.86 1.10 1.14 100.00B 0.00 0.00 0.33 0.44 9.11 82.88 4.20 3.04 100.00CCC to C 0.00 0.00 0.00 0.34 1.68 14.09 51.34 32.55 100.00aIncludes banks, finance, and insurance companies. Continued on next page. Source: Fitch.


March 16, 2012


Fitch Market Sector Transition Rates (Continued) (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalFitch Financial Institutionsa Average Annual Transition Rates: 19902011 AAA 95.02 3.20 1.42 0.36 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.63 79.04 14.88 5.03 0.21 0.00 0.00 0.00 0.21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.08 3.08 79.30 12.58 4.06 0.49 0.16 0.08 0.00 0.08 0.00 0.00 0.08 0.00 0.00 0.00 0.00 0.00 100.00AA 0.04 0.04 3.34 83.88 9.35 2.54 0.47 0.08 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.08 100.00A+ 0.00 0.13 0.47 5.97 81.54 9.16 1.53 0.85 0.26 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.08 0.00 0.35 1.31 6.96 79.81 8.62 1.66 0.73 0.15 0.08 0.08 0.00 0.00 0.00 0.00 0.04 0.12 100.00A 0.00 0.00 0.14 0.23 1.14 7.14 78.09 8.50 1.73 0.77 0.05 0.09 1.55 0.00 0.18 0.05 0.09 0.27 100.00BBB+ 0.00 0.00 0.00 0.42 0.60 1.09 8.88 75.54 9.42 2.29 1.09 0.30 0.12 0.00 0.00 0.00 0.18 0.06 100.00BBB 0.00 0.00 0.12 0.29 0.06 0.23 1.39 8.30 80.03 6.21 1.28 1.10 0.12 0.23 0.06 0.00 0.41 0.17 100.00BBB 0.00 0.09 0.09 0.28 0.37 0.37 0.18 1.38 11.57 75.57 3.95 2.20 0.92 0.73 0.92 0.64 0.09 0.64 100.00BB+ 0.00 0.37 0.00 0.00 0.00 0.00 0.00 0.55 2.77 16.24 68.08 4.80 1.29 0.92 1.66 0.37 0.74 2.21 100.00BB 0.00 0.00 0.00 0.00 0.00 0.23 0.00 0.92 0.69 4.13 10.78 68.35 3.67 1.61 1.38 2.06 5.05 1.15 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.22 0.22 0.22 0.88 7.02 12.06 60.31 6.36 6.36 2.19 2.85 1.32 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.56 0.28 1.39 20.89 61.00 8.91 2.79 2.23 1.95 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.29 0.58 1.46 3.22 17.54 61.70 9.65 4.39 1.17 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.26 0.00 0.00 0.52 0.52 0.26 2.08 3.39 16.15 69.79 6.51 0.52 100.00CCC to 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 3.45 1.48 1.97 22.17 50.25 20.69 100.00 Fitch Banks Average Annual Transition Rates: 19902011 AAA 95.58 3.10 1.11 0.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.57 79.60 15.58 3.97 0.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.10 3.28 79.38 12.62 4.21 0.21 0.10 0.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.06 3.76 84.23 8.91 2.10 0.55 0.11 0.11 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.00 0.11 100.00A+ 0.00 0.17 0.45 6.66 81.76 8.67 1.34 0.78 0.11 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.05 0.00 0.41 1.28 7.89 79.31 9.06 1.28 0.46 0.00 0.05 0.05 0.00 0.00 0.00 0.00 0.00 0.15 100.00A 0.00 0.00 0.12 0.12 1.15 7.33 78.12 7.88 1.88 0.85 0.06 0.00 2.06 0.00 0.18 0.06 0.06 0.12 100.00BBB+ 0.00 0.00 0.00 0.51 0.61 1.54 10.64 73.18 9.62 2.66 0.82 0.20 0.10 0.00 0.00 0.00 0.10 0.00 100.00BBB 0.00 0.00 0.20 0.39 0.10 0.29 1.86 9.10 79.45 5.87 0.88 0.88 0.20 0.10 0.00 0.00 0.59 0.10 100.00BBB 0.00 0.14 0.14 0.43 0.29 0.58 0.14 1.73 12.66 74.82 2.73 1.58 0.86 1.01 1.29 0.72 0.14 0.72 100.00BB+ 0.00 0.28 0.00 0.00 0.00 0.00 0.00 0.28 1.66 19.89 68.23 4.97 0.55 1.10 0.55 0.55 1.10 0.83 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.97 0.32 4.52 11.29 70.65 2.90 0.65 1.61 1.61 4.52 0.97 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.29 0.29 0.29 0.58 5.76 12.97 60.52 5.76 8.07 2.02 2.59 0.86 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.66 0.00 0.33 21.52 61.26 9.60 2.98 1.99 1.66 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.34 0.34 0.34 3.44 18.90 62.20 10.65 2.75 1.03 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.29 0.00 0.00 0.57 0.57 0.00 1.71 3.71 16.57 71.14 5.14 0.29 100.00CCC to 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 0.66 1.99 1.99 26.49 52.32 16.56 100.00 Fitch Industrials Average Annual Transition Rates: 19902011 AAA 93.07 1.98 3.96 0.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 87.37 7.89 2.63 0.00 1.58 0.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 1.65 82.23 8.68 4.75 1.03 0.41 0.62 0.00 0.62 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.30 2.72 78.82 12.56 3.93 1.21 0.30 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.24 1.97 82.55 11.40 2.44 0.47 0.47 0.39 0.00 0.08 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.05 0.26 2.97 84.13 7.75 2.55 0.99 0.31 0.47 0.16 0.05 0.05 0.21 0.00 0.05 0.00 100.00A 0.00 0.00 0.05 0.11 0.81 5.05 80.48 9.68 2.10 0.97 0.27 0.16 0.00 0.00 0.00 0.00 0.22 0.11 100.00BBB+ 0.00 0.00 0.05 0.00 0.24 0.73 5.91 79.84 9.84 1.60 0.48 0.15 0.48 0.19 0.10 0.00 0.15 0.24 100.00BBB 0.00 0.00 0.04 0.00 0.04 0.45 0.89 6.66 81.74 6.70 1.01 0.97 0.53 0.24 0.24 0.08 0.28 0.12 100.00BBB 0.00 0.00 0.00 0.05 0.10 0.00 0.16 0.99 10.02 78.66 5.66 1.77 1.14 0.36 0.42 0.00 0.26 0.42 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.21 0.72 2.28 13.87 70.39 6.52 2.17 1.04 1.04 0.31 0.72 0.72 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.11 0.78 3.33 12.44 67.00 7.67 3.11 2.67 1.56 0.33 1.00 100.00BB 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.81 0.93 3.37 13.84 65.47 6.40 3.72 1.28 2.33 1.74 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.30 0.30 0.30 0.59 5.19 13.63 66.07 7.85 2.67 2.22 0.89 100.00B 0.00 0.00 0.00 0.00 0.00 0.43 0.00 0.00 0.00 0.00 0.14 1.01 3.18 13.01 67.92 6.36 3.76 4.19 100.00B 0.00 0.00 0.00 0.00 0.00 0.68 0.00 0.00 0.45 0.00 0.00 0.45 0.45 3.38 14.41 67.79 7.88 4.50 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.34 0.00 0.00 0.67 0.34 0.67 0.67 4.03 9.40 51.34 32.55 100.00aIncludes banks, finance, and insurance companies. Source: Fitch.


March 16, 2012


Fitch Global Industrials Transition Rates by Cohort (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalGlobal Industrials One-Year Transition Rates: 2011 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 80.00 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 0.00 100.00AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 80.00 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 0.00 100.00A+ 0.00 0.00 0.00 0.00 78.33 20.00 1.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 2.63 89.47 4.39 0.88 1.75 0.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 5.45 79.09 13.64 0.91 0.00 0.91 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 9.35 85.61 2.88 2.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.56 0.00 0.56 7.87 85.39 4.49 0.56 0.00 0.56 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.54 16.30 79.89 2.72 0.54 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.88 77.92 5.19 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.25 25.00 62.50 4.69 1.56 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.29 37.14 38.57 15.71 0.00 0.00 4.29 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.54 16.92 75.38 4.62 1.54 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.22 18.29 71.95 7.32 1.22 0.00 100.00B 0.00 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 37.50 52.50 7.50 0.00 100.00CCC to 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 13.64 63.64 22.73 100.00 Global Industrials Three-Year Transition Rates: 2009 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 42.86 28.57 0.00 14.29 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 25.00 50.00 16.67 0.00 8.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 11.76 0.00 35.29 35.29 11.76 0.00 0.00 5.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 51.02 36.73 4.08 2.04 0.00 4.08 0.00 0.00 0.00 0.00 2.04 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 8.55 69.23 13.68 5.13 1.71 0.00 1.71 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 5.36 7.14 57.14 24.11 4.46 1.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 13.45 63.03 16.81 2.52 3.36 0.00 0.84 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 3.13 13.75 63.75 15.00 3.13 0.63 0.63 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.43 22.14 59.29 10.71 4.29 2.14 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.54 7.69 27.69 44.62 9.23 1.54 4.62 3.08 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.79 16.07 25.00 33.93 8.93 5.36 3.57 3.57 1.79 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.04 6.12 12.24 30.61 16.33 16.33 6.12 4.08 0.00 6.12 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.69 17.65 35.29 17.65 3.92 7.84 1.96 100.00B 0.00 0.00 0.00 0.00 0.00 2.60 0.00 0.00 0.00 0.00 0.00 1.30 1.30 29.87 25.97 7.79 6.49 24.68 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 31.82 29.55 2.27 27.27 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.33 0.00 0.00 3.33 0.00 0.00 6.67 86.67 100.00 Global Industrials 10-Year Transition Rates: 2002 Cohort AAA 0.00 0.00 50.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 4.35 0.00 4.35 82.61 0.00 0.00 0.00 0.00 8.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 11.76 0.00 0.00 5.88 35.29 23.53 11.76 0.00 11.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 2.70 13.51 35.14 21.62 16.22 10.81 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 20.97 22.58 25.81 17.74 4.84 4.84 0.00 0.00 0.00 1.61 0.00 0.00 1.61 100.00A 0.00 0.00 0.00 0.00 0.00 11.25 17.50 28.75 18.75 8.75 3.75 0.00 0.00 1.25 2.50 0.00 2.50 5.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 8.33 21.43 28.57 20.24 2.38 2.38 1.19 4.76 1.19 0.00 3.57 5.95 100.00BBB 0.00 0.00 0.00 0.00 1.39 4.17 8.33 11.11 27.78 26.39 6.94 2.78 1.39 1.39 1.39 1.39 1.39 4.17 100.00BBB 0.00 0.00 0.00 0.00 0.00 2.70 8.11 5.41 13.51 21.62 5.41 10.81 0.00 5.41 10.81 0.00 2.70 13.51 100.00BB+ 0.00 0.00 0.00 0.00 0.00 9.09 4.55 0.00 9.09 13.64 22.73 0.00 0.00 9.09 9.09 0.00 0.00 22.73 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 23.08 7.69 15.38 7.69 7.69 0.00 0.00 0.00 0.00 30.77 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 5.56 5.56 22.22 0.00 0.00 11.11 5.56 16.67 5.56 0.00 0.00 27.78 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 0.00 7.69 15.38 0.00 7.69 7.69 0.00 0.00 53.85 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 12.50 0.00 25.00 12.50 0.00 0.00 37.50 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 50.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 5.00 0.00 0.00 5.00 0.00 0.00 0.00 0.00 0.00 5.00 0.00 0.00 85.00 100.00

Source: Fitch.


March 16, 2012


Fitch Global Industrials Default Rates by Cohort (%, Modifier Level) One-Year 2011 Cohort Three-Year 2009 Cohort 10-Year 2002 CohortAAA 0.00 0.00 0.00AA+ 0.00 0.00 0.00AA 0.00 0.00 0.00AA 0.00 0.00 0.00A+ 0.00 0.00 0.00A 0.00 0.00 1.01A 0.00 0.00 3.39BBB+ 0.00 0.00 3.57BBB 0.00 0.00 2.13BBB 0.00 0.00 6.33BB+ 0.00 0.00 11.11BB 0.00 0.00 11.43BB 0.00 4.29 11.90B+ 0.00 1.49 30.43B 0.00 18.81 12.50B 0.00 23.08 20.00CCC to C 21.74 78.79 62.96

Source: Fitch.


March 16, 2012


Fitch Global Financial Institutions Transition Rates by Cohort (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalGlobal Financial Institutionsa One-Year Transition Rates: 2011 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 33.33 33.33 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 78.95 15.79 0.00 5.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 55.77 26.92 17.31 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 60.32 36.51 2.38 0.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 71.43 17.58 7.69 2.20 0.00 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 1.94 2.91 76.70 9.71 6.80 0.97 0.97 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 8.51 75.53 11.70 2.13 1.06 1.06 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 76.86 8.26 0.83 3.31 0.83 0.00 0.00 0.00 0.00 0.83 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.87 75.25 1.98 0.99 2.97 0.99 0.00 4.95 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.27 13.64 72.73 9.09 2.27 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.63 2.63 15.79 71.05 5.26 0.00 2.63 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.59 17.65 61.76 0.00 0.00 0.00 0.00 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 13.16 78.95 0.00 0.00 0.00 2.63 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.27 0.00 3.64 70.91 16.36 1.82 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.71 80.00 11.43 2.86 100.00CCC to 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 25.00 0.00 12.50 62.50 0.00 100.00 Global Financial Institutionsa Three-Year Transition Rates: 2009 Cohort AAA 88.89 0.00 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 25.00 25.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 37.93 27.59 13.79 17.24 0.00 3.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 2.70 41.44 29.73 22.52 0.00 0.00 2.70 0.00 0.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 1.75 45.61 37.72 6.14 4.39 0.00 1.75 1.75 0.00 0.88 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 4.71 42.35 30.59 10.59 8.24 1.18 0.00 1.18 0.00 0.00 0.00 1.18 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 6.30 44.09 17.32 7.09 11.81 0.79 2.36 3.94 2.36 0.00 2.36 0.00 1.57 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 6.67 38.89 33.33 13.33 3.33 2.22 0.00 0.00 0.00 1.11 0.00 1.11 100.00BBB 0.00 0.00 0.00 0.00 1.15 0.00 0.00 11.49 55.17 13.79 9.20 2.30 1.15 2.30 0.00 0.00 1.15 2.30 100.00BBB 0.00 0.00 0.00 0.00 1.56 0.00 0.00 6.25 14.06 42.19 7.81 9.38 1.56 0.00 9.38 0.00 3.13 4.69 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 3.85 0.00 7.69 15.38 30.77 26.92 7.69 0.00 0.00 3.85 0.00 3.85 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.67 31.11 15.56 22.22 8.89 0.00 0.00 4.44 4.44 6.67 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.23 19.23 23.08 7.69 7.69 3.85 0.00 19.23 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.33 11.11 47.22 22.22 5.56 0.00 5.56 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 25.00 42.86 14.29 3.57 7.14 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.94 0.00 2.94 23.53 70.59 0.00 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 36.84 0.00 0.00 0.00 0.00 5.26 10.53 47.37 100.00 Global Financial Institutionsa 10-Year Transition Rates: 2002 Cohort AAA 66.67 0.00 16.67 0.00 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 8.33 8.33 8.33 41.67 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 10.53 26.32 15.79 42.11 0.00 2.63 2.63 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 11.11 25.93 20.37 18.52 7.41 5.56 5.56 0.00 3.70 1.85 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 16.18 35.29 22.06 7.35 7.35 0.00 4.41 1.47 0.00 0.00 0.00 0.00 0.00 1.47 4.41 100.00A 0.00 0.00 0.00 8.93 5.36 17.86 12.50 19.64 8.93 3.57 3.57 0.00 8.93 3.57 0.00 0.00 0.00 7.14 100.00A 0.00 0.00 0.00 0.00 5.13 15.38 24.36 10.26 8.97 11.54 8.97 1.28 2.56 0.00 1.28 5.13 0.00 5.13 100.00BBB+ 0.00 0.00 0.00 0.00 17.74 12.90 12.90 14.52 12.90 12.90 6.45 6.45 0.00 0.00 0.00 0.00 3.23 0.00 100.00BBB 0.00 0.00 0.00 0.00 1.96 5.88 9.80 15.69 37.25 5.88 1.96 1.96 0.00 0.00 0.00 1.96 5.88 11.76 100.00BBB 0.00 0.00 0.00 0.00 2.44 4.88 12.20 17.07 17.07 12.20 4.88 9.76 4.88 0.00 0.00 0.00 0.00 14.63 100.00BB+ 0.00 0.00 0.00 0.00 5.88 0.00 5.88 23.53 29.41 5.88 0.00 17.65 0.00 0.00 0.00 5.88 0.00 5.88 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.76 17.65 23.53 0.00 0.00 0.00 23.53 5.88 5.88 0.00 11.76 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.00 0.00 10.00 0.00 0.00 0.00 0.00 20.00 0.00 40.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.25 37.50 25.00 0.00 0.00 6.25 12.50 6.25 0.00 6.25 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 12.50 12.50 12.50 0.00 0.00 25.00 25.00 0.00 0.00 100.00CCC to 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 4.76 4.76 9.52 19.05 0.00 61.90 100.00aExcludes Insurance. Source: Fitch.


March 16, 2012


Fitch Global Financial Institutionsa Default Rates by Cohort (%, Modifier Level) One-Year 2011 Cohort Three-Year 2009 Cohort 10-Year 2002 CohortAAA 0.00 0.00 0.00AA+ 0.00 0.00 0.00AA 0.00 0.00 0.00AA 0.00 0.00 0.00A+ 0.00 0.00 1.86A 0.00 0.00 3.17A 0.00 1.06 2.92BBB+ 0.00 0.72 0.00BBB 0.73 1.63 5.61BBB 0.00 3.16 6.74BB+ 0.00 2.94 2.08BB 0.00 5.26 9.52BB 0.00 16.67 6.67B+ 2.56 4.88 22.22B 0.00 5.56 4.55B 2.38 0.00 0.00CCC to C 0.00 39.13 43.33aExcludes Insurance. Source: Fitch.


March 16, 2012


Fitch Global Insurance Transition Rates by Cohort (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalGlobal Insurance One-Year Transition Rates: 2011 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 90.91 9.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 91.67 4.17 0.00 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 3.03 90.91 3.03 0.00 3.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 9.38 87.50 3.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 92.86 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00CCC to 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 0.00 0.00 0.00 Global Insurance Three-Year Transition Rates: 2009 Cohort AAA 25.00 25.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 42.86 28.57 28.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 16.67 45.83 29.17 4.17 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 45.45 22.73 27.27 0.00 4.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 55.17 17.24 6.90 20.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 8.33 79.17 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 79.17 16.67 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.67 73.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 50.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 25.00 0.00 0.00 0.00 25.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00CCC to 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 0.00 0.00 0.00 Global Insurance 10-Year Transition Rates: 2002 Cohort AAA 14.29 14.29 0.00 28.57 0.00 0.00 0.00 0.00 42.86 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 12.50 12.50 12.50 50.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 0.00 25.00 25.00 12.50 25.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 0.00 17.65 23.53 17.65 23.53 11.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 100.00A+ 0.00 0.00 0.00 0.00 44.44 22.22 22.22 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 12.50 37.50 0.00 25.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 25.00 50.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 33.33 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 33.33 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00CCC to 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 0.00 0.00 0.00

Source: Fitch.


March 16, 2012


Fitch Global Insurance Default Rates by Cohort (%, Modifier Level) One-Year 2011 Cohort Three-Year 2009 Cohort 10-Year 2002 CohortAAA 0.00 0.00 0.00AA+ 0.00 0.00 0.00AA 0.00 0.00 0.00AA 0.00 0.00 4.17A+ 0.00 0.00 0.00A 0.00 0.00 0.00A 0.00 0.00 0.00BBB+ 0.00 0.00 0.00BBB 0.00 0.00 16.67BBB 0.00 0.00 0.00BB+ 0.00 0.00 0.00BB 0.00 25.00 0.00BB 0.00 0.00 50.00B+ 0.00 0.00 0.00B 0.00 0.00 0.00B 0.00 0.00 100.00CCC to C 0.00 0.00 0.00

Source: Fitch.


March 16, 2012


Insurance2%

Banking and Finance65%

Industrials33%

Fitch Global Corporate Rating Activity by Sector — 2011

Downgrades

Source: Fitch.

Insurance3%

Banking and Finance

31%

Industrials66%

Upgrades

0

50

100

150

200

250

300

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

0

5

10

15

20

25

30

35

No. of Upgrades No. of Downgrades % Upgraded % Downgraded

aCompares beginning-of-year rating with end-of-year rating; does not count multiple rating actions throughout the year. Note. Rating changes defined at the modifier level, making a distinction between +/-. Source: Fitch.

(No.)

Fitch Global Banks Rating Activitya

(%)

Latin America3%

Middle East and Africa3%

North America36%

Asia-Pacific7%

Europe51%

Fitch Global Corporate Rating Activity by Region — 2011

Downgrades

Note: Totals may not add to 100% due to roundingSource: Fitch.

Latin America

21%

Middle East and Africa

1%North America

45%

Asia-Pacific15%

Europe19%

Upgrades


March 16, 2012


Industrials51%

Banking and Finance

42%

Insurance7%

Fitch Global Corporate Finance Ratings Distribution by Sector — 2011

Source: Fitch.

Europe29%

Asia-Pacific12%

North America

46%

Middle East and Africa

4%

Latin America

9%

Fitch Global Corporate Finance Ratings Distribution by Region — 2011

Source: Fitch.


March 16, 2012


Fitch Regional Transition Rates (%) AAA AA A BBB BB B CCC to C D TotalFitch North America Corporate Finance One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 86.96 13.04 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 95.61 4.08 0.31 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.74 96.35 0.68 0.00 0.00 0.23 100.00BB 0.00 0.00 0.00 5.52 85.52 6.90 2.07 0.00 100.00B 0.00 0.00 0.00 0.00 6.03 89.66 4.31 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 21.74 60.87 17.39 100.00Fitch North America Corporate Finance Average Annual Transition Rates: 19902011 AAA 93.77 6.23 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.09 90.31 9.25 0.28 0.03 0.00 0.00 0.03 100.00A 0.03 2.24 91.73 4.89 0.77 0.14 0.09 0.11 100.00BBB 0.00 0.27 2.92 92.00 3.63 0.67 0.20 0.30 100.00BB 0.04 0.08 0.13 7.64 82.14 6.83 1.61 1.53 100.00B 0.00 0.00 0.45 0.67 8.25 82.76 5.02 2.85 100.00CCC to C 0.00 0.00 0.00 0.40 2.41 14.86 49.80 32.53 100.00 Fitch Europe Corporate Finance One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 45.83 54.17 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 84.62 14.48 0.90 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.33 88.00 8.00 2.67 0.00 0.00 100.00BB 0.00 0.00 0.00 3.95 94.74 1.32 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 8.65 87.50 1.92 1.92 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 20.00 60.00 20.00 100.00Fitch Europe Corporate Finance Average Annual Transition Rates: 19902011 AAA 96.45 3.55 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.06 89.68 9.87 0.34 0.00 0.00 0.00 0.06 100.00A 0.00 1.67 91.28 6.77 0.17 0.00 0.03 0.08 100.00BBB 0.00 0.16 4.34 90.24 4.45 0.54 0.16 0.11 100.00BB 0.00 0.00 0.14 8.80 80.09 7.94 1.73 1.30 100.00B 0.00 0.00 0.12 0.36 10.27 84.42 3.02 1.81 100.00CCC to C 0.00 0.00 0.00 0.00 2.82 26.76 57.75 12.68 100.00 Fitch EMEA Corporate Finance One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 50.63 49.37 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 85.44 13.79 0.77 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.21 88.71 7.66 2.42 0.00 0.00 100.00BB 0.00 0.00 0.00 4.76 94.05 1.19 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 7.56 89.08 1.68 1.68 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 20.00 60.00 20.00 100.00Fitch EMEA Corporate Finance Average Annual Transition Rates: 19902011 AAA 96.45 3.55 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.06 89.56 9.93 0.39 0.00 0.00 0.00 0.06 100.00A 0.00 1.69 91.34 6.67 0.20 0.00 0.03 0.08 100.00BBB 0.00 0.14 5.35 89.53 4.09 0.56 0.19 0.14 100.00BB 0.00 0.00 0.13 8.51 80.03 8.51 1.68 1.16 100.00B 0.00 0.00 0.10 0.31 9.57 85.70 2.67 1.65 100.00CCC to C 0.00 0.00 0.00 0.00 2.70 26.35 56.76 14.19 100.00 Fitch Asia-Pacific Corporate Finance One-Year Transition Rates: 2011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 97.87 2.13 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 9.01 90.99 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 21.28 78.72 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 12.00 84.00 4.00 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Fitch Asia-Pacific Corporate Finance Average Annual Transition Rates: 19902011 AAA 22.22 77.78 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.26 92.35 6.89 0.26 0.00 0.26 0.00 0.00 100.00A 0.00 1.78 93.46 4.66 0.00 0.00 0.10 0.00 100.00BBB 0.00 0.00 5.59 92.34 1.98 0.09 0.00 0.00 100.00BB 0.00 0.00 0.00 12.90 83.18 2.53 0.69 0.69 100.00B 0.00 0.00 0.00 0.00 15.97 77.08 3.47 3.47 100.00CCC to C 0.00 0.00 0.00 0.00 6.25 18.75 56.25 18.75 100.00

EMEA – Europe, Middle East, and Africa. Continued on next page. Source: Fitch.


March 16, 2012


Fitch Regional Transition Rates (Continued) (%) AAA AA A BBB BB B CCC to C D TotalFitch Latin America Corporate Finance One-Year Transition Rates: 2011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.18 98.82 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 8.93 87.50 3.57 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 8.93 89.29 1.79 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 Fitch Latin America Corporate Finance Average Annual Transition Rates: 19902011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 93.62 6.38 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.38 93.98 5.26 0.38 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.09 90.91 4.62 0.75 1.19 0.45 100.00BB 0.00 0.00 0.00 8.60 78.58 9.27 2.53 1.01 100.00B 0.00 0.00 0.00 0.22 10.99 80.94 5.83 2.02 100.00CCC to C 0.00 0.00 0.00 0.00 1.14 17.05 43.18 38.64 100.00 Fitch Middle East and Africa Corporate Finance One-Year Transition Rates: 2011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 90.00 10.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 95.65 4.35 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 12.50 87.50 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Fitch Middle East and Africa Corporate Finance Average Annual Transition Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 82.76 13.79 3.45 0.00 0.00 0.00 0.00 100.00A 0.00 1.93 91.96 5.47 0.64 0.00 0.00 0.00 100.00BBB 0.00 0.00 11.93 84.91 1.75 0.70 0.35 0.35 100.00BB 0.00 0.00 0.00 6.02 79.52 13.25 1.20 0.00 100.00B 0.00 0.00 0.00 0.00 5.56 93.06 0.69 0.69 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 16.67 33.33 50.00 100.00

Source: Fitch.


March 16, 2012


Fitch Developed Market Transition Rates (%) AAA AA A BBB BB B CCC to C D TotalFitch Developed Markets Corporate Finance One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 69.94 30.06 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 91.57 7.93 0.51 0.00 0.00 0.00 100.00BBB 0.00 0.00 3.46 92.62 2.86 0.90 0.00 0.15 100.00BB 0.00 0.00 0.00 5.41 87.03 5.95 1.62 0.00 100.00B 0.00 0.00 0.00 0.00 8.09 87.50 3.68 0.74 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 20.83 62.50 16.67 100.00 Fitch Developed Markets Corporate Finance Average Annual Transition Rates: 19902011 AAA 94.41 5.59 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.09 90.25 9.30 0.30 0.02 0.00 0.00 0.04 100.00A 0.02 2.08 91.62 5.51 0.53 0.09 0.07 0.10 100.00BBB 0.00 0.24 3.53 91.47 3.70 0.62 0.19 0.25 100.00BB 0.04 0.07 0.11 8.08 82.01 6.73 1.43 1.54 100.00B 0.00 0.00 0.41 0.61 8.79 81.88 5.07 3.25 100.00CCC to C 0.00 0.00 0.00 0.35 3.82 13.89 50.69 31.25 100.00 Fitch Developed Market Financial Institutionsa One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 66.19 33.81 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 91.40 8.02 0.57 0.00 0.00 0.00 100.00BBB 0.00 0.00 3.73 89.18 4.48 2.24 0.00 0.37 100.00BB 0.00 0.00 0.00 1.85 96.30 1.85 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 22.22 59.26 14.81 3.70 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 50.00 50.00 0.00 100.00 Fitch Developed Market Financial Institutionsa Average Annual Transition Rates: 19902011 AAA 94.91 5.09 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.12 90.96 8.67 0.17 0.02 0.00 0.00 0.05 100.00A 0.03 3.01 91.40 4.72 0.58 0.07 0.04 0.13 100.00BBB 0.00 0.53 4.66 89.81 3.65 0.79 0.31 0.25 100.00BB 0.00 0.30 0.15 9.62 77.22 7.40 2.81 2.51 100.00B 0.00 0.00 0.00 0.58 16.37 64.91 13.45 4.68 100.00CCC to C 0.00 0.00 0.00 0.00 8.82 10.29 42.65 38.24 100.00 Fitch Developed Market Industrial One-Year Transition Rates: 2011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 91.67 8.33 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 91.80 7.79 0.41 0.00 0.00 0.00 100.00BBB 0.00 0.00 3.28 94.95 1.77 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 6.87 83.21 7.63 2.29 0.00 100.00B 0.00 0.00 0.00 0.00 4.59 94.50 0.92 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 11.11 66.67 22.22 100.00 Fitch Developed Market Industrial Average Annual Transition Rates: 19902011 AAA 93.07 6.93 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 88.08 11.24 0.68 0.00 0.00 0.00 0.00 100.00A 0.00 0.76 91.92 6.63 0.44 0.11 0.11 0.04 100.00BBB 0.00 0.05 2.82 92.51 3.74 0.51 0.12 0.25 100.00BB 0.05 0.00 0.10 7.58 83.58 6.51 0.97 1.21 100.00B 0.00 0.00 0.46 0.61 7.80 84.10 3.98 3.06 100.00CCC to C 0.00 0.00 0.00 0.45 2.27 15.00 53.18 29.09 100.00aIncludes banks, finance, and insurance companies. Continued on next page.Source: Fitch.


March 16, 2012


Fitch Developed Market Transition Rates (Continued) (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D Total

Fitch Developed Markets Corporate Finance Average Annual Transition Rates: 19902011 AAA 94.41 2.93 2.13 0.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.45 81.57 12.69 4.38 0.15 0.45 0.15 0.00 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.06 2.73 79.92 11.55 4.32 0.65 0.24 0.24 0.00 0.24 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 100.00AA 0.03 0.10 3.24 82.82 10.03 2.87 0.60 0.10 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 100.00A+ 0.00 0.09 0.40 4.60 81.61 10.20 1.93 0.66 0.34 0.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.05 0.00 0.23 0.91 4.95 81.61 8.42 2.15 0.84 0.23 0.26 0.09 0.02 0.02 0.09 0.00 0.05 0.07 100.00A 0.00 0.00 0.11 0.19 0.88 5.78 78.99 9.45 2.00 0.88 0.16 0.11 0.93 0.00 0.11 0.03 0.16 0.22 100.00BBB+ 0.00 0.00 0.03 0.22 0.46 0.71 6.90 77.83 9.88 2.06 0.80 0.25 0.37 0.06 0.06 0.00 0.18 0.18 100.00BBB 0.00 0.00 0.08 0.14 0.05 0.38 0.98 6.65 81.87 6.46 1.11 1.03 0.33 0.27 0.19 0.05 0.24 0.16 100.00BBB 0.00 0.04 0.04 0.17 0.21 0.17 0.17 0.99 9.79 77.49 5.33 2.28 1.25 0.47 0.73 0.26 0.13 0.47 100.00BB+ 0.00 0.18 0.00 0.00 0.00 0.00 0.18 0.82 2.84 11.26 71.89 5.77 1.92 1.28 1.37 0.37 0.46 1.65 100.00BB 0.00 0.00 0.00 0.00 0.00 0.11 0.00 0.34 1.03 3.32 10.41 67.28 6.86 2.97 3.20 2.06 1.49 0.92 100.00BB 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.91 1.30 4.16 11.44 66.97 6.24 2.34 1.69 2.73 2.08 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.39 0.39 0.58 0.77 6.17 10.40 66.47 8.09 2.70 2.89 1.16 100.00B 0.00 0.00 0.00 0.00 0.00 0.52 0.00 0.00 0.00 0.00 0.35 2.07 3.28 10.88 68.05 5.70 4.49 4.66 100.00B 0.00 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.52 0.00 0.00 0.52 1.31 2.62 12.07 69.29 8.92 3.94 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.35 0.00 0.00 0.69 0.35 2.78 1.39 3.47 9.03 50.69 31.25 100.00 Fitch Developed Market Financial Institutionsa Average Annual Transition Rates: 19902011 AAA 94.91 3.27 1.45 0.36 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.64 79.24 14.62 5.08 0.21 0.00 0.00 0.00 0.21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.08 3.13 79.09 12.67 4.12 0.49 0.16 0.08 0.00 0.08 0.00 0.00 0.08 0.00 0.00 0.00 0.00 0.00 100.00AA 0.04 0.04 3.38 83.88 9.41 2.57 0.43 0.04 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.09 100.00A+ 0.00 0.13 0.49 6.02 81.33 9.34 1.59 0.75 0.27 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.08 0.00 0.37 1.39 6.63 79.71 8.88 1.76 0.74 0.16 0.08 0.04 0.00 0.00 0.00 0.00 0.04 0.12 100.00A 0.00 0.00 0.15 0.25 1.17 6.64 77.90 8.82 1.82 0.76 0.05 0.05 1.72 0.00 0.20 0.05 0.10 0.30 100.00BBB+ 0.00 0.00 0.00 0.52 0.74 0.82 8.62 74.81 9.73 2.75 1.19 0.37 0.15 0.00 0.00 0.00 0.22 0.07 100.00BBB 0.00 0.00 0.14 0.34 0.07 0.21 1.17 6.86 81.06 6.52 1.37 1.10 0.14 0.27 0.07 0.00 0.48 0.21 100.00BBB 0.00 0.13 0.13 0.40 0.40 0.53 0.13 0.79 9.50 75.07 4.88 3.03 1.19 0.92 1.32 0.79 0.13 0.66 100.00BB+ 0.00 0.60 0.00 0.00 0.00 0.00 0.00 0.60 3.87 11.31 69.94 3.27 2.08 1.49 2.38 0.60 0.60 3.27 100.00BB 0.00 0.00 0.00 0.00 0.00 0.48 0.00 1.44 0.96 2.40 9.13 66.35 3.37 2.88 2.88 3.37 5.77 0.96 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.52 8.33 10.61 60.61 8.33 1.52 2.27 3.79 3.03 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.56 1.56 7.81 15.63 50.00 9.38 3.13 6.25 4.69 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.67 6.67 1.33 8.00 58.67 5.33 13.33 4.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.13 9.38 0.00 6.25 46.88 28.13 6.25 100.00CCC to 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 8.82 2.94 1.47 5.88 42.65 38.24 100.00 Fitch Developed Market Industrial Average Annual Transition Rates: 19902011 AAA 93.07 1.98 3.96 0.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 87.37 7.89 2.63 0.00 1.58 0.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 1.69 82.03 8.67 4.86 1.06 0.42 0.63 0.00 0.63 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.31 2.75 79.05 12.23 3.98 1.22 0.31 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.25 1.97 82.13 11.80 2.54 0.49 0.49 0.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.05 0.27 2.72 84.14 7.82 2.66 0.98 0.33 0.49 0.16 0.05 0.05 0.22 0.00 0.05 0.00 100.00A 0.00 0.00 0.06 0.12 0.54 4.77 80.26 10.20 2.21 1.01 0.30 0.18 0.00 0.00 0.00 0.00 0.24 0.12 100.00BBB+ 0.00 0.00 0.05 0.00 0.26 0.63 5.68 79.97 9.99 1.58 0.53 0.16 0.53 0.11 0.11 0.00 0.16 0.26 100.00BBB 0.00 0.00 0.04 0.00 0.04 0.49 0.85 6.51 82.41 6.42 0.94 0.99 0.45 0.27 0.27 0.09 0.09 0.13 100.00BBB 0.00 0.00 0.00 0.06 0.13 0.00 0.19 1.08 9.94 78.66 5.54 1.91 1.27 0.25 0.45 0.00 0.13 0.38 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.26 0.93 2.38 11.24 72.75 6.88 1.85 1.19 0.93 0.26 0.40 0.93 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.05 3.60 10.81 67.57 7.96 3.00 3.30 1.65 0.15 0.90 100.00BB 0.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.10 1.26 3.30 11.62 68.29 5.81 2.51 1.57 2.51 1.88 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.44 0.44 0.44 0.66 5.93 9.67 68.79 7.91 2.64 2.42 0.66 100.00B 0.00 0.00 0.00 0.00 0.00 0.60 0.00 0.00 0.00 0.00 0.00 1.39 3.57 11.31 69.44 5.75 3.17 4.76 100.00B 0.00 0.00 0.00 0.00 0.00 0.86 0.00 0.00 0.57 0.00 0.00 0.29 0.57 2.87 12.61 71.35 7.16 3.72 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.45 0.00 0.00 0.91 0.45 0.91 0.91 4.09 10.00 53.18 29.09 100.00aIncludes banks, finance, and insurance companies.

Source: Fitch.


March 16, 2012


Developed Market Industrials Transition Rates by Cohort (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalDeveloped Market Industrials One-Year Transition Rates: 2011 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 80.00 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 0.00 100.00AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 75.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 69.77 27.91 2.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 1.98 90.10 4.95 0.99 0.99 0.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 2.00 81.00 15.00 1.00 0.00 1.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 10.00 84.17 3.33 2.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.65 0.00 0.00 7.14 87.01 3.90 0.65 0.00 0.65 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.82 18.03 77.05 3.28 0.82 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.80 82.35 7.84 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.43 20.00 62.86 2.86 2.86 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.22 42.22 28.89 20.00 0.00 0.00 6.67 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 86.11 2.78 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.96 19.61 70.59 7.84 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.55 31.82 59.09 4.55 0.00 100.00CCC to 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 11.11 66.67 22.22 100.00 Developed Market Industrials Three-Year Transition Rates: 2009 Cohort AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 42.86 28.57 0.00 14.29 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 30.00 50.00 10.00 0.00 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 13.33 0.00 33.33 33.33 13.33 0.00 0.00 6.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 43.90 43.90 4.88 2.44 0.00 4.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 6.80 68.93 14.56 5.83 1.94 0.00 1.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 3.13 62.50 27.08 5.21 2.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 14.02 62.62 16.82 1.87 3.74 0.00 0.93 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 2.80 12.59 64.34 16.08 2.80 0.70 0.70 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.27 61.54 7.69 3.30 2.20 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.17 6.52 23.91 50.00 8.70 2.17 6.52 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.86 14.29 22.86 37.14 5.71 5.71 2.86 5.71 2.86 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.13 0.00 12.50 28.13 15.63 18.75 9.38 6.25 0.00 6.25 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 12.50 29.17 20.83 0.00 12.50 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 3.51 0.00 0.00 0.00 0.00 0.00 1.75 1.75 35.09 22.81 3.51 7.02 24.56 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.76 29.41 29.41 2.94 26.47 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.17 0.00 0.00 4.17 0.00 0.00 8.33 83.33 100.00 Developed Market Industrials 10-Year Transition Rates: 2002 Cohort AAA 0.00 0.00 50.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 4.35 0.00 4.35 82.61 0.00 0.00 0.00 0.00 8.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 11.76 0.00 0.00 5.88 35.29 23.53 11.76 0.00 11.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 2.70 13.51 35.14 21.62 16.22 10.81 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 21.31 22.95 26.23 18.03 3.28 4.92 0.00 0.00 0.00 1.64 0.00 0.00 1.64 100.00A 0.00 0.00 0.00 0.00 0.00 9.46 18.92 27.03 20.27 8.11 4.05 0.00 0.00 1.35 2.70 0.00 2.70 5.41 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 8.75 17.50 30.00 21.25 2.50 2.50 1.25 5.00 1.25 0.00 3.75 6.25 100.00BBB 0.00 0.00 0.00 0.00 0.00 3.03 7.58 12.12 28.79 27.27 7.58 1.52 1.52 1.52 1.52 1.52 1.52 4.55 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 9.09 6.06 15.15 24.24 6.06 12.12 0.00 3.03 6.06 0.00 3.03 15.15 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 6.25 0.00 0.00 6.25 31.25 0.00 0.00 12.50 12.50 0.00 0.00 31.25 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 18.18 0.00 18.18 9.09 9.09 0.00 0.00 0.00 0.00 36.36 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27.27 0.00 0.00 18.18 0.00 9.09 9.09 0.00 0.00 36.36 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00 9.09 18.18 0.00 9.09 9.09 0.00 0.00 45.45 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 75.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 33.33 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 12.50 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 62.50 100.00

Source: Fitch.


March 16, 2012


Developed Market Industrials Default Rates by Cohort (%, Modifier Level) One-Year 2011 Cohort Three-Year 2009 Cohort 10-Year 2002 CohortAAA 0.00 0.00 0.00AA+ 0.00 0.00 0.00AA 0.00 0.00 0.00AA 0.00 0.00 0.00A+ 0.00 0.00 0.00A 0.00 0.00 1.02A 0.00 0.00 3.70BBB+ 0.00 0.00 3.79BBB 0.00 0.00 2.31BBB 0.00 0.00 7.04BB+ 0.00 0.00 15.63BB 0.00 0.00 16.00BB 0.00 4.76 17.39B+ 0.00 0.00 27.78B 0.00 19.44 23.08B 0.00 22.50 12.50CCC to C 21.05 83.33 41.67

Source: Fitch.


March 16, 2012


Fitch Emerging Market Transition Rates (%, Modifier Level) AAA AA A BBB BB B CCC to C D TotalFitch Emerging Markets Corporate Finance One-Year Transition Rates: 2011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 87.50 12.50 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 96.00 4.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.38 97.25 1.38 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 11.56 87.07 1.36 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 7.22 90.00 2.22 0.56 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 16.67 66.67 16.67 100.00 Fitch Emerging Markets Corporate Finance Average Annual Transition Rates: 19902011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 89.39 7.58 1.52 0.00 1.52 0.00 0.00 100.00A 0.00 0.65 94.42 4.55 0.39 0.00 0.00 0.00 100.00BBB 0.00 0.00 4.09 91.57 3.13 0.48 0.48 0.24 100.00BB 0.00 0.00 0.07 9.26 80.07 7.65 2.11 0.84 100.00B 0.00 0.00 0.07 0.28 10.23 84.54 3.46 1.41 100.00CCC to C 0.00 0.00 0.00 0.00 0.47 25.35 51.17 23.00 100.00 Fitch Emerging Market Financial Institutions One-Year Transition Rates: 2011a AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 66.67 33.33 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 95.00 5.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.88 97.35 1.77 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 13.43 86.57 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 4.90 93.14 0.98 0.98 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 Fitch Emerging Market Financial Institutions Average Annual Transition Rates: 19902011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 91.67 4.17 2.08 0.00 2.08 0.00 0.00 100.00A 0.00 0.88 94.05 4.63 0.44 0.00 0.00 0.00 100.00BBB 0.00 0.00 5.29 92.61 1.65 0.22 0.00 0.22 100.00BB 0.00 0.00 0.13 9.50 79.55 7.39 2.64 0.79 100.00B 0.00 0.00 0.11 0.44 8.97 87.20 2.74 0.55 100.00CCC to C 0.00 0.00 0.00 0.00 0.74 33.33 54.07 11.85 100.00 Fitch Emerging Market Industrial One-Year Transition Rates: 2011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 97.50 2.50 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 1.90 97.14 0.95 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 10.00 87.50 2.50 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 10.26 85.90 3.85 0.00 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 25.00 50.00 25.00 100.00 Fitch Emerging Market Industrial Average Annual Transition Rates: 19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 83.33 16.67 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.32 94.94 4.43 0.32 0.00 0.00 0.00 100.00BBB 0.00 0.00 2.65 90.32 4.91 0.80 1.06 0.27 100.00BB 0.00 0.00 0.00 9.00 80.66 7.95 1.50 0.90 100.00B 0.00 0.00 0.00 0.00 12.52 79.72 4.77 2.98 100.00CCC to C 0.00 0.00 0.00 0.00 0.00 11.54 46.15 42.31 100.00aIncludes banks, finance, and insurance companies. Continued on next page. Source: Fitch.


March 16, 2012


Fitch Emerging Market Transition Rates (Continued) (%, Modifier Level)

AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalFitch Emerging Markets Corporate Finance Average Annual Transition Rates: 19902011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 60.00 40.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 92.86 7.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 78.79 12.12 0.00 3.03 3.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.03 0.00 0.00 100.00A+ 0.00 0.00 0.00 3.62 89.13 3.62 0.00 2.17 0.00 0.72 0.00 0.72 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 11.26 82.43 4.95 0.00 0.90 0.00 0.00 0.45 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 1.95 9.76 80.98 5.37 0.98 0.73 0.00 0.24 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 2.12 9.53 78.60 8.05 0.85 0.42 0.00 0.00 0.42 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.20 1.99 12.35 74.90 6.77 1.20 1.00 0.60 0.00 0.00 0.00 1.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.15 0.00 0.15 1.60 13.25 77.73 4.08 0.73 0.44 0.58 0.15 0.15 0.44 0.58 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.24 1.44 23.80 63.46 6.25 1.68 0.24 0.96 0.24 1.44 0.24 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.43 0.22 4.11 14.72 67.75 5.41 1.95 0.43 1.08 2.60 1.30 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.18 0.18 0.18 0.37 5.30 15.72 59.05 6.58 7.86 1.46 2.19 0.91 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.19 0.19 1.55 21.94 62.14 8.35 2.72 1.55 1.36 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.22 0.22 0.00 3.08 19.12 63.08 9.67 3.30 1.32 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.22 0.00 0.00 0.45 0.45 0.22 1.12 4.03 17.90 68.23 5.82 1.57 100.00CCC to 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 0.47 0.47 2.82 22.07 51.17 23.00 100.00 Fitch Emerging Market Financial Institutionsa Average Annual Transition Rates:19902011 AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA+ 0.00 60.00 40.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 94.12 5.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 84.62 3.85 0.00 3.85 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.85 0.00 0.00 100.00A+ 0.00 0.00 0.00 4.65 87.21 4.65 0.00 3.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 12.77 81.56 4.26 0.00 0.71 0.00 0.00 0.71 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.88 11.45 79.74 5.73 0.88 0.88 0.00 0.44 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 2.26 10.00 78.71 8.06 0.32 0.65 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.38 2.63 16.17 74.44 4.51 0.75 1.13 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.30 0.00 0.30 2.72 16.31 76.74 1.81 0.30 0.30 0.30 0.00 0.30 0.00 0.60 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.49 0.97 24.27 65.05 7.28 0.00 0.00 0.49 0.00 0.97 0.49 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.44 0.44 5.70 12.28 70.18 3.95 0.44 0.00 0.88 4.39 1.32 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.31 0.31 0.31 0.62 6.48 12.65 60.19 5.56 8.33 2.16 2.47 0.62 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.34 0.00 0.00 22.03 63.39 8.81 2.71 1.36 1.36 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.37 0.00 0.00 3.75 20.22 62.55 10.86 1.87 0.37 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.28 0.00 0.00 0.57 0.57 0.00 1.42 3.69 17.05 71.88 4.55 0.00 100.00CCC to 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 0.74 0.74 2.22 30.37 54.07 11.85 100.00 Fitch Emerging Market Industrial Average Annual Transition Rates:19902011 AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 90.91 9.09 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 0.00 100.00AA 0.00 0.00 0.00 57.14 42.86 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 1.92 92.31 1.92 0.00 0.00 0.00 1.92 0.00 1.92 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 8.64 83.95 6.17 0.00 1.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 3.28 7.65 82.51 4.92 1.09 0.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 1.85 8.64 78.40 8.02 1.85 0.00 0.00 0.00 1.23 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 1.27 8.05 75.42 9.32 1.69 0.85 1.27 0.00 0.00 0.00 2.12 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.56 10.39 78.65 6.18 1.12 0.56 0.84 0.28 0.00 0.84 0.56 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.90 23.33 61.90 5.24 3.33 0.48 1.43 0.48 1.90 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.43 0.00 2.56 17.09 65.38 6.84 3.42 0.85 1.28 0.85 1.28 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.59 20.18 57.40 8.07 7.17 0.45 1.79 1.35 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.45 3.64 21.82 60.45 7.73 2.73 1.82 1.36 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.53 0.00 2.13 17.55 63.83 7.98 5.32 2.66 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.05 0.00 5.26 21.05 54.74 10.53 7.37 100.00CCC to 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 3.85 7.69 46.15 42.31 100.00aIncludes banks, finance, and insurance companies. Source: Fitch.


March 16, 2012


Emerging Market Industrials Transition Rates by Cohort (%, Modifier Level) AAA AA+ AA AA A+ A A BBB+ BBB BBB BB+ BB BB B+ B B CCC to C D TotalEmerging Market Industrials One-Year Transition Rates: 2011 Cohort AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 7.69 84.62 0.00 0.00 7.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 40.00 60.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 5.26 94.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 4.17 12.50 75.00 8.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.90 85.48 1.61 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.77 69.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.03 62.07 6.90 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.00 28.00 56.00 8.00 0.00 0.00 0.00 0.00 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.45 24.14 62.07 6.90 3.45 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.13 74.19 6.45 3.23 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 44.44 44.44 11.11 0.00 100.00CCC to 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 25.00 50.00 25.00 100.00 Emerging Market Industrials Three-Year Transition Rates: 2009 Cohort AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00AA 0.00 0.00 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A+ 0.00 0.00 0.00 0.00 87.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 21.43 71.43 7.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 37.50 31.25 25.00 6.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 8.33 66.67 16.67 8.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 5.88 23.53 58.82 5.88 5.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.08 16.33 55.10 16.33 6.12 2.04 0.00 0.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 36.84 31.58 10.53 0.00 0.00 10.53 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.05 28.57 28.57 14.29 4.76 4.76 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.65 11.76 35.29 17.65 11.76 0.00 0.00 0.00 5.88 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.41 22.22 40.74 14.81 7.41 3.70 3.70 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.00 35.00 20.00 5.00 25.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 30.00 0.00 30.00 100.00CCC to 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 0.00 100.00 100.00 Emerging Market Industrials 10-Year Transition Rates: 2002 Cohort AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00A+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00A 0.00 0.00 0.00 0.00 0.00 33.33 0.00 50.00 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 16.67 16.67 16.67 0.00 16.67 16.67 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 100.00BBB 0.00 0.00 0.00 0.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 50.00 0.00 0.00 0.00 100.00BB+ 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00BB 0.00 0.00 0.00 0.00 0.00 0.00 14.29 14.29 14.29 0.00 0.00 0.00 14.29 28.57 0.00 0.00 0.00 14.29 100.00B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 0.00 0.00 50.00 25.00 0.00 0.00 0.00 100.00B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00CCC to 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 0.00 100.00 100.00

Source: Fitch.


March 16, 2012


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Emerging Market Industrials Default Rates by Cohort (%, Modifier Level) One-Year 2011 Cohort Three-Year 2009 Cohort 10-Year 2002 CohortAAA 0.00 0.00 0.00AA+ 0.00 0.00 0.00AA 0.00 0.00 0.00AA 0.00 0.00 0.00A+ 0.00 0.00 0.00A 0.00 0.00 0.00A 0.00 0.00 0.00BBB+ 0.00 0.00 0.00BBB 0.00 0.00 0.00BBB 0.00 0.00 0.00BB+ 0.00 0.00 0.00BB 0.00 0.00 0.00BB 0.00 3.57 5.56B+ 0.00 3.03 40.00B 0.00 17.24 0.00B 0.00 25.00 50.00CCC to C 25.00 66.67 80.00

Source: Fitch.

Transition and Default Study 2011

Documents

Transcript of Transition and Default Study 2011