Default Spread by Ratings Class: January 2015 vs January 2016

25.00%

20.00%
20.00%

16.00%

15.00%

12.00%

10.00%
9.00%

7.50%
6.50%
5.50%
5.00%
4.25%
3.25%
2.25%
1.75%
1.00% 1.10% 1.25%
0.75%

0.00%
Aaa/AAA Aa2/AA A1/A+ A2/A A3/A- Baa2/BBB Ba1/BB+ Ba2/BB B1/B+ B2/B B3/B- Caa/CCC Ca2/CC C2/C D2/D
 Default Spreads for 10-year Corporate Bonds: January 2015 vs January 2016
25.00%

20.00%
20.00%

16.00%

15.00%

12.00%

10.00%
9.00%

7.50%
6.50%
5.50%
5.00%
4.25%
3.25%
2.25%
1.75%
1.00% 1.10% 1.25%
0.75%

0.00%
Aaa/AAA Aa2/AA A1/A+ A2/A A3/A- Baa2/BBB Ba1/BB+ Ba2/BB B1/B+ B2/B B3/B- Caa/CCC Ca2/CC C2/C D2/D

Spread: 2016 Spread: 2015

Rating is Spread: 2016 Spread: 2015 DropML
in Option
EBITD Adjusted Spread (12/30/15)
Aaa/AAA 0.75% 0.40% 0.00% 0.74%
Aa2/AA 1.00% 0.70% 0.00% 0.96%
A1/A+ 1.10% 0.90% 0.00%
A2/A 1.25% 1.00% 0.00% 1.24%
A3/A- 1.75% 1.20% 0.00%
Baa2/BBB 2.25% 1.75% 0.00% 2.40%
Ba1/BB+ 3.25% 2.75% 0.00%
Ba2/BB 4.25% 3.25% 0.00% 4.44%
B1/B+ 5.50% 4.00% 0.00%
B2/B 6.50% 5.00% 0.00% 6.98%
B3/B- 7.50% 6.00% 0.00%
Caa/CCC 9.00% 7.00% 0.00%
Ca2/CC 12.00% 8.00% 0.00% 16.44%
C2/C 16.00% 10.00% 0.00%
D2/D 20.00% 12.00% 0.00%