March Default Report. Global Corporate Default Rate Ends Q at 2.4% Default rates down again. Global default rate to finish this year at 2.

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March Default Report

APRIL 8, 2013

Global Corporate Default Rate Ends Q1 2013 at 2.4%

Default rates down again

Global default rate to finish this year at 2.8%

Bond and loan default rates also lower in Q1

The trailing 12-month global speculative-grade corporate default rate finished the first quarter of 2013 at 2.4%, down from

2.8% at the end of 2012. The latest reading came in close to Moody’s year-ago forecast of 2.8%, when the global default

rate stood at 2.6%.

In the US, the speculative-grade default rate ended the first quarter at 2.9%, down from 3.4% in the previous quarter. A

year ago the US default rate was also 2.9%. In Europe, the default rate edged lower to 1.8% in the first quarter from 2.0%

the prior quarter. At this time last year, the European rate was 3.3%.

A total of 20 Moody’s-rated corporate debt issuers have defaulted so far this year, of which nine were recorded in March.

Four of the last month's defaults were from one single corporate family - Dex One Corp. In the first quarter of 2012, 24

companies defaulted, 14 of which were in March.

Along with lower default rates, Moody’s global distressed index arrived at 8.8% at the end of the first quarter, down from

14.1% in the previous quarter and 17.2% in the same period last year. The distressed index is a measure of the percentage

of high-yield issuers whose debt is trading at distressed levels.

The global default rate has been remarkably steady over the past year. With a combination of accommodative monetary

policy and weak fundamental growth, we expect this to continue for the rest of the year. Based on its forecasting model,

Moody’s expects the global speculative-grade default rate to edge higher, to end the year at 2.8%. By region, the comparable

rates are expected to fall to 2.6% in the US and rise to 4.0% in Europe. Across industries over the coming year, Moody’s

expects default rates to be highest in the Media: Advertising, Printing & Publishing sector in the US and the Hotel, Gaming

& Leisure sector in Europe.

By dollar volume, the global speculative-grade bond default rate closed the quarter at 1.2%, down from 1.8% the previous

quarter. This time last year, the global dollar-weighted default rate was 1.7%. In the US, the dollar-weighted

speculative-grade bond default rate ended the first quarter at 1.3%, compared with 1.7% in the prior quarter and 1.5% a year ago. In

Europe, the comparable rate fell from 2.3% in the last quarter of 2012 to 0.9% in the first quarter of this year. Last year, the

European dollar-weighted bond default rate stood at 2.4% in the first quarter.

In the leveraged loan market, eight Moody’s-rated issuers defaulted on their loans in the first quarter, and all were from the

US. Of these, five were recorded in March and four were from one corporate family - Dex One Corp. Last year, there were

12 loan defaults in the first quarter. The trailing 12-month US leveraged loan default rate ended the first quarter at 2.8%,

down from 3.1% in the prior quarter. A year ago, the loan default rate stood at 2.3%.

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Exhibit

Title

Page

Part I Trailing Twelve Month Default Rates

1 Issuer-Weighted Speculative-Grade Corporate Default Rates 4

2 Issuer-Weighted Corporate Default Rates Ending March 2013 4

3 Issuer-Weighted Speculative-Grade US Bond/Loan Default Rates 4

4 Issuer-Weighted US Bond/Loan Default Rates Ending March 2013 4

5 Dollar-Weighted Speculative-Grade Bond Default Rates 4

6 Dollar-Weighted Bond Default Rates Ending March 2013 4

Part II Issuer-Weighted Default Rate Forecasts

7 Global Speculative-Grade Default Rates (Actual and Forecast) 5

8 US Speculative-Grade Default Rates (Actual and Forecast) 5

9 European Speculative-Grade Default Rates (Actual and Forecast) 5

10 Trailing Twelve-Month Speculative-Grade Default Rate Baseline Forecasts by Region 6

11 Speculative-Grade Default Rates for Issuers with Bonds and Loans (Actual and Forecast) 6

12 Speculative-Grade Default Rates for Bond Only Issuers (Actual and Forecast) 6

13 Speculative-Grade Default Rates for Loan Only Issuers (Actual and Forecast) 6

14 Trailing Twelve-Month Speculative-Grade Default Rate Baseline Forecasts by Issuer Type 7

15 Unemployment Rates (Actual and Forecast) 7

16 High Yield Spread (Actual and Forecast) 7

17 Baseline Forecasts on Unemployment Rates and High Yield Spread 7

18 One-Year Default Rate Forecasts by Industry 8

19 Actual Global Rating Migration Rates 9

20 Global Rating Migration Rate Forecasts 9

21 Rating Drivers (Current) 10

22 Rating Drivers (One Year Prior) 10

23 Speculative-Grade Portfolio Default Distributions 10

24 Investment-Grade Portfolio Default Distributions 10

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Exhibit

Title

Page

Part III Default Experience

26 Defaulted Corporate Issuer Counts 12

27 Defaulted US Bond/Loan Issuer Counts 12

28 Default Counts Summary 12

29 Defaulted Debt Volume 12

30 Defaulted US Bond/Loan Volume 12

31 Default Volume Summary 13

32 Initial Bond Default Events in March 2013 13

33 Initial Loan Default Events in March 2013 13

34 Other Credit Events in March 2013 14

Part IV Recovery Experience

35 Trailing Twelve-Month Global Defaulted Bond Recovery Rates 15

36 Trailing Twelve-Month Global Defaulted Bond Recovery Rates by Priority 15

37 Trailing Twelve-Month US First Lien Loan vs. US Sr. Unsecured Bond Recovery Rates 15

38 Trailing Twelve-Month US First Lien Loan vs. US Sr. Unsecured Bond Recovery Rates Summary 15

39 Moody's Bankrupt Bond Index 15

40 Moody's Bankrupt Bond Index Summary 15

Part V Rating Changes

41 Trailing Twelve-Month Rating Action Rates 16

42 Trailing Twelve-Month Rating Drift 16

43 Fallen Angels in March 2013 16

44 Rising Stars in March 2013 16

Part VI Changes/Remarks

45 Changes/Additions to Prior MDRs 17

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Part I: Trailing Twelve-Month Default Rates

Issuer-Weighted Speculative-Grade Corporate Default Rates

Exhibit 1: 0% 5% 10% 15% Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

Rating Global US Europe

Exhibit 2: Issuer-Weighted Corporate Default Rates March 2013 Ending Aaa 0.0% 0.0% 0.0% Aa 0.0% 0.0% 0.0% A 0.0% 0.0% 0.0% Baa 0.2% 0.0% 0.9% Ba 0.0% 0.0% 0.0% B 0.5% 0.3% 1.0% Caa-C 9.7% 10.8% 6.7% IG 0.1% 0.0% 0.4% SG 2.4% 2.9% 1.8% All 1.2% 1.6% 0.9%

Issuer-Weighted Speculative-Grade US Bond vs. US Loan Default Rates

Exhibit 3: 0% 5% 10% 15% Ap r ' 10 Oc t '1 0 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t '1 2 US Bond US Loan

Rating US Bond US Loan

Exhibit 4: Issuer-Weighted US Bond/Loan Default Rates March 2013 Ending Aaa 0.0% 0.0% Aa 0.0% 0.0% A 0.0% 0.0% Baa 0.0% 0.0% Ba 0.0% 0.0% B 0.5% 1.7% Caa-C 7.8% 52.0% IG 0.0% 0.0% SG 2.4% 2.8% All 1.1% 2.3%

Dollar-Weighted Speculative-Grade Bond Default Rates Exhibit 5: 0% 5% 10% 15% Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

Rating Global US Europe

Exhibit 6: Dollar-Weighted Bond Default Rates March 2013 Ending Aaa 0.0% 0.0% 0.0% Aa 0.0% 0.0% 0.0% A 0.0% 0.0% 0.0% Baa 0.0% 0.0% 0.1% Ba 0.0% 0.0% 0.0% B 0.2% 0.1% 1.1% Caa-C 7.2% 7.2% 7.1% IG 0.0% 0.0% 0.0% SG 1.2% 1.3% 0.9% All 0.3% 0.3% 0.1%

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Part II: Issuer-Weighted Default Rate Forecasts*

* See methodology details in Moody's Special Comment “Introducing Moody’s Credit Transition Model” and "A Cyclical Model of Multiple-Horizon Credit Rating Transitions and Default", August 2007.

Section A: Trailing Twelve-Month Speculative-Grade Corporate Default Rate Forecasts

Exhibit 7: Global Speculative-Grade Default Rates (Actual and Forecast)

0% 5% 10% 15% 20% Ap r ' 9 3 Ap r ' 9 4 Ap r ' 9 5 Ap r ' 9 6 Ap r ' 9 7 Ap r ' 9 8 Ap r ' 9 9 Ap r ' 0 0 Ap r ' 0 1 Ap r ' 0 2 Ap r ' 0 3 Ap r ' 0 4 Ap r ' 0 5 Ap r ' 0 6 Ap r ' 0 7 Ap r ' 0 8 Ap r ' 0 9 Ap r ' 10 Ap r ' 11 Ap r ' 12 Ap r ' 13 Actual Baseline Pessimistic Optimistic

Exhibit 8: US Speculative-Grade Default Rates (Actual and Forecast)

0% 5% 10% 15% 20% Ap r ' 9 3 Ap r ' 9 4 Ap r ' 9 5 Ap r ' 9 6 Ap r ' 9 7 Ap r ' 9 8 Ap r ' 9 9 Ap r ' 0 0 Ap r ' 0 1 Ap r ' 0 2 Ap r ' 0 3 Ap r ' 0 4 Ap r ' 0 5 Ap r ' 0 6 Ap r ' 0 7 Ap r ' 0 8 Ap r ' 0 9 Ap r ' 10 Ap r ' 11 Ap r ' 12 Ap r ' 13 Actual Baseline Pessimistic Optimistic

Exhibit 9: European Speculative-Grade Default Rates (Actual and Forecast)

0% 5% 10% 15% 20% Jan '9 9 Jan '0 0 Ja n '0 1 Jan '0 2 Jan '0 3 Jan '0 4 Jan '0 5 Jan '0 6 Ja n '0 7 Jan '0 8 Jan '0 9 Ja n '1 0 Ja n '1 1 Ja n '1 2 Ja n '1 3 Ja n '1 4 Actual Baseline Pessimistic Optimistic

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Apr 13 May 13 Jun 13 Jul 13 Aug 13 Sep 13 Oct 13 Nov 13 Dec 13 Jan 14 Feb 14 Mar 14

Exhibit 10: Trailing Twelve-Month Speculative-Grade Default Rate Baseline Forecasts by Region

2.7% 2.6% 2.6% 2.7% 2.8% 2.7% 2.9% 2.9% 2.8% 2.8% 2.7% 2.5% Global 3.1% 3.0% 2.7% 2.7% 2.7% 2.7% 2.8% 2.9% 2.6% 2.5% 2.6% 2.4% US 2.1% 2.6% 3.4% 3.4% 3.7% 3.7% 3.9% 3.9% 4.0% 4.2% 3.6% 3.1% Europe

Exhibit 11: Global Speculative-Grade Default Rates for Issuers with Bonds and Loans (Actual and Forecast)

0% 5% 10% 15% 20% Ap r ' 0 9 Ap r ' 10 Ap r ' 11 Ap r ' 12 Ap r ' 13 Actual Baseline Pessimistic Optimistic

Exhibit 12: Global Speculative-Grade Default Rates for Bond-Only Issuers (Actual and Forecast)

Exhibit 13: Global Speculative-Grade Default Rates for Loan-Only Issuers (Actual and Forecast)

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Section B: Macroeconomic Drivers for the Default Rate Forecasts

(Baseline forecasts in Section B are sourced from Moody's Economy.com and the confidence intervals have been added by MIS.)

Exhibit 15: Unemployment Rates (Actual and Forecast)

0% 3% 6% 9% 12% 15% 18% 21%

Apr '93 Apr '96 Apr '99 Apr '02 Apr '05 Apr '08 Apr '11 Apr '14 Apr '17 Actual Baseline* Pessimistic Optimistic

Exhibit 16: High Yield Spread (bps) (Actual and Forecast)

0 400 800 1200 1600 2000 2400

Jul '94 Jul '97 Jul '00 Jul '03 Jul '06 Jul '09 Jul '12 Jul '15 Actual Baseline* Pessimistic Optmistic

Apr 13 Jul 13 Oct 13 Jan 14 Apr 14 Jul 14 Oct 14 Jan 15 Apr 15 Jul 15

Exhibit 17: Baseline Forecasts on Unemployment Rates and High Yield Spread (bps)

7.8 7.7 7.6 7.4 7.2 6.9 6.6 6.4 6.3 6.1 Unemployment

466.5 456.8 433.4 407.5 390.8 380.5 380.5 389.7 406.7 424.2 HY Spread

Oct 15 Jan 16 Apr 16 Jul 16 Oct 16 Jan 17 Apr 17 Jul 17 Oct 17 Jan 18 6.0 5.9 5.8 5.7 5.6 5.5 5.4 5.4 5.4 5.3 Unemployment

431.6 437.3 437.3 430.9 431.2 441.1 462.0 483.2 494.5 498.8 HY Spread

Exhibit 14: Trailing Twelve-Month Speculative-Grade Default Rate Baseline Forecasts by Issuer Type

1.0% 0.9% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.1% 2.4% 2.6% 2.7% Bond&Loan 2.4% 2.6% 2.9% 2.9% 3.0% 2.9% 3.1% 3.1% 2.9% 2.9% 2.7% 2.6% Bond Only 4.6% 4.3% 3.1% 3.2% 3.2% 3.1% 3.2% 3.1% 3.0% 2.7% 2.6% 2.0% Loan Only

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Section C: One-Year Corporate Default Rate Forecasts by Industry

Exhibit 18: One-Year Default Rate Forecasts by Industry

0% 1% 2% 3% 4% 5% 6% 7% 8%

Media: Advertising, Printing & Publishing Services: Business Retail Containers, Packaging, & Glass Metals & Mining Wholesale* Healthcare & Pharmaceuticals Hotel, Gaming, & Leisure Services: Consumer* Consumer goods: durable* Telecommunications Transportation: Cargo Automotive High Tech Industries FIRE: Finance Aerospace & Defense* Construction & Building Media: Broadcasting & Subscription Energy: Oil & Gas FIRE: Insurance Capital Equipment Consumer goods: non-durable* Energy: Electricity* Chemicals, Plastics, & Rubber Beverage, Food, & Tobacco Forest Products & Paper* Media: Diversified & Production FIRE: Real Estate Banking Utilities: Oil & Gas Utilities: Electric Sovereign & Public Finance Environmental Industries* Transportation: Consumer* Utilities: Water*

US Europe

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Section D: One-Year Global Rating Migration Rates (Actual and Forecast)

Aaa

Exhibit 19: Actual Global Rating Migration Rates from

From\To Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1Caa2 Caa3 Ca-C WR DEF

Apr 2012 to Mar 2013 (percent)

Aaa 70.6 16.2 8.8 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.4 0.0 Aa1 0.0 54.8 19.2 11.0 9.6 0.0 0.0 1.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.1 0.0 Aa2 0.0 0.0 41.3 28.6 17.5 3.2 1.6 0.0 1.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.3 0.0 Aa3 0.0 0.0 0.0 58.5 5.8 25.7 0.0 0.0 2.9 4.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.9 0.0 A1 0.0 0.0 0.0 3.0 72.0 13.1 6.8 0.8 1.3 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.5 0.0 A2 0.0 0.0 0.0 0.0 2.4 64.4 11.9 5.8 7.8 1.7 1.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 5.1 0.0 A3 0.0 0.0 0.0 0.0 0.0 2.1 72.1 10.4 8.3 0.8 0.3 0.0 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 5.7 0.0 Baa1 0.0 0.0 0.0 0.0 0.0 0.0 4.4 72.9 13.9 2.2 1.0 0.7 0.2 0.0 0.2 0.2 0.0 0.0 0.0 0.0 3.7 0.5 Baa2 0.0 0.0 0.0 0.0 0.0 0.0 0.4 6.1 78.3 9.4 1.3 0.0 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.9 0.2 Baa3 0.0 0.0 0.0 0.3 0.0 0.0 0.0 0.5 9.3 79.0 4.3 2.5 1.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.3 0.0 Ba1 0.0 0.0 0.0 0.0 0.0 0.6 0.0 0.0 2.2 11.2 64.2 7.3 6.1 2.2 0.0 0.0 0.6 0.0 0.6 0.0 5.0 0.0 Ba2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.7 5.6 70.9 8.5 2.3 0.0 1.4 0.0 0.0 0.0 0.0 6.6 0.0 Ba3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.4 0.9 1.7 7.7 60.9 10.2 7.7 0.4 0.4 0.4 0.9 0.0 8.5 0.0 B1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.7 8.4 61.3 9.8 5.2 0.7 0.0 0.0 0.0 13.6 0.3 B2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3 0.5 8.9 53.4 16.0 4.9 0.3 0.5 0.5 14.1 0.5 B3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.0 0.8 7.7 63.5 9.7 1.6 0.2 0.0 15.8 0.4 Caa1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.6 13.9 60.4 10.5 0.9 0.6 10.8 2.2 Caa2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.0 9.0 54.9 6.0 3.0 12.8 11.3 Caa3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.6 0.0 15.4 41.0 5.1 12.8 23.1 Ca-C 0.0 0.0 0.0 0.0 0.0 0.0 4.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.0 24.0 20.0 48.0 Aaa

From\To Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1Caa2 Caa3 Ca-C WR DEF

Exhibit 20: Global Rating Migration Rate Forecasts from Apr 2013 to Mar 2014 (percent)

Aaa 84.1 2.0 7.7 2.4 0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.4 0.0 Aa1 0.3 77.4 11.2 3.6 1.3 0.7 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 5.3 0.0 Aa2 0.1 1.0 79.3 10.5 2.1 1.1 0.4 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 5.4 0.0 Aa3 0.1 0.2 0.7 81.1 7.5 3.1 0.7 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.2 0.0 A1 0.0 0.0 0.2 2.0 81.1 6.9 2.3 0.7 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.5 0.0 A2 0.0 0.0 0.1 1.0 1.3 82.1 6.5 1.8 1.0 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 5.9 0.0 A3 0.2 0.1 0.1 0.1 0.5 3.5 80.6 5.6 2.5 0.7 0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 5.8 0.0 Baa1 0.0 0.0 0.1 0.2 0.1 1.1 5.1 81.0 4.4 1.5 0.5 0.2 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.0 5.5 0.0 Baa2 0.0 0.2 0.1 0.1 0.1 0.3 1.1 5.0 79.9 4.6 1.2 0.5 0.4 0.2 0.1 0.1 0.0 0.0 0.0 0.0 6.1 0.0 Baa3 0.0 0.0 0.0 0.1 0.1 0.1 0.6 1.9 6.6 77.8 3.1 1.5 1.1 0.5 0.3 0.2 0.0 0.0 0.0 0.0 5.8 0.1 Ba1 0.0 0.0 0.0 0.1 0.3 0.1 0.2 0.6 2.5 12.2 63.1 5.1 3.2 1.8 1.0 0.6 0.1 0.1 0.0 0.0 8.7 0.1 Ba2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.7 3.6 9.6 62.6 5.8 3.1 2.4 1.1 0.3 0.1 0.0 0.1 10.4 0.1 Ba3 0.0 0.0 0.0 0.2 0.0 0.0 0.1 0.1 0.2 1.3 1.8 7.8 64.5 7.3 4.0 1.8 0.6 0.2 0.1 0.1 9.7 0.2 B1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.7 2.7 7.8 60.5 7.0 4.2 1.5 0.6 0.2 0.2 13.4 0.4 B2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.2 0.2 0.5 1.9 7.9 60.4 8.2 3.2 1.5 0.6 0.4 14.0 0.9 B3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.6 2.1 7.8 62.2 6.2 2.7 1.0 0.8 14.5 1.5 Caa1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.2 0.4 1.8 7.8 58.7 8.6 3.5 2.1 12.7 4.1 Caa2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.4 1.4 4.0 8.6 52.2 5.7 5.7 12.4 9.0 Caa3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.4 2.0 4.0 7.8 45.3 8.6 17.4 14.0 Ca-C 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.1 0.2 2.8 1.6 3.5 3.3 33.5 24.5 30.4

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Section E: Rating Drivers for the Global Default Rate Forecasts

Section F: North American CDX Index Portfolio Default Distributions: Five Year Horizon

Rating

Share

Population _Up _Down

Exhibit 21: Rating Drivers (Current)

Average Duration* Last Rating Action

Aaa 1.0% 22.4% 0.0% 46 Aa1 1.0% 36.5% 34.6% 9 Aa2 0.9% 6.4% 78.7% 5 Aa3 2.8% 20.3% 59.4% 6 A1 4.2% 32.1% 43.3% 11 A2 5.6% 25.3% 55.9% 9 A3 7.5% 27.5% 45.3% 9 Baa1 8.1% 28.3% 42.3% 10 Baa2 11.2% 30.2% 42.1% 7 Baa3 9.0% 26.2% 35.3% 7 Ba1 3.4% 35.2% 38.6% 5.5 Ba2 4.1% 39.6% 25.9% 6 Ba3 4.8% 29.4% 31.9% 4 B1 6.0% 31.0% 25.8% 5 B2 7.2% 26.4% 23.7% 4 B3 11.7% 16.7% 23.7% 4 Caa1 7.3% 7.7% 38.7% 4 Caa2 2.9% 8.7% 61.7% 3 Caa3 0.8% 0.0% 71.4% 1.5 Ca/C 0.3% 0.0% 100.0% 2.5 Total 100.0

* measured by number of quarters since last rating change

Rating

Share

Population _Up _Down

Exhibit 22: Rating Drivers (One Year Prior)

Average Duration* Last Rating Action

Aaa 1.4% 20.6% 0.0% 43 Aa1 1.5% 43.8% 26.0% 17 Aa2 1.3% 19.0% 49.2% 10 Aa3 3.5% 14.6% 67.8% 5 A1 4.9% 31.4% 45.3% 9 A2 6.1% 28.1% 54.2% 8 A3 7.9% 26.8% 49.5% 11 Baa1 8.4% 28.1% 41.6% 10 Baa2 9.4% 33.8% 37.1% 11 Baa3 8.2% 29.0% 33.0% 8 Ba1 3.7% 33.0% 38.0% 5 Ba2 4.4% 39.9% 23.0% 4 Ba3 4.8% 32.3% 30.2% 4 B1 5.9% 32.1% 24.4% 5 B2 7.6% 29.0% 21.1% 4 B3 10.2% 15.2% 21.3% 5 Caa1 6.7% 10.8% 39.3% 4 Caa2 2.7% 8.3% 57.9% 3 Caa3 0.8% 7.7% 66.7% 2 Ca/C 0.5% 4.0% 88.0% 1 Total 100.0

* measured by number of quarters since last rating change

Exhibit 23: Speculative-Grade Portfolio Default Distributions

0% 5% 10% 15% 20% 25% 0 10 20 31 41 51

Baseline Pessmistic Optimistic

Y-axis: Probability; X-axis: % of Portfolio Defaulting

Exhibit 24: Investment-Grade Portfolio Default Distributions

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 0 4 8 12 16

Baseline Pessimistic Optimistic

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Section G: Distressed Index

Exhibit 25: Distressed Index

0% 10% 20% 30% 40% 50% 60% De c '9 6 De c ' 9 7 De c '9 8 De c '9 9 De c '0 0 De c ' 0 1 De c '0 2 De c '0 3 De c '0 4 De c '0 5 De c '0 6 De c ' 0 7 De c '0 8 De c '0 9 De c ' 10 De c '1 1 De c ' 12

* Number of Distressed Issuers / Number of Speculative-Grade Issuers Distressed issuers defined as those having debt with OAS or CDS > 1000 bps. Prior to October 2002, however, the index is derived from the ratio of distressed issues to the total number of speculative-grade issues as reported in the Merrill Lynch High Yield Index.

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Part III: Default Experience

Exhibit 26: Defaulted Corporate Issuer Counts

0 10 20 30 40 50 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

Exhibit 27: Defaulted US Bond/Loan Issuer Counts

0 10 20 30 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 US Bond US Loan

Corporate Issuer Counts

Exhibit 28: Default Counts Summary

Global US Europe

Bond Issuer Counts

Global US Europe

Loan Issuer Counts

Global US Europe

March 2013 9 5 4 6 1 5 5 5 0

February 2013 6 2 4 4 1 3 1 1 0

January 2013 5 4 0 3 2 0 2 2 0

9 6 1 7 4 1 3 3 0

5-yr monthly avg

9 7 2 7 5 2 4 4 0

5-yr monthly stdev

Year-to-date 20 11 8 13 4 8 8 8 0

Exhibit 29: Defaulted Debt Volume (US$ Billion)

$0 $40 $80 $120 $160 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

Exhibit 30: Defaulted US Bond/Loan Volume (US$ Billion)

$0 $40 $80 $120 $160 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 US Bond US Loan

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Total Debt Volume

Exhibit 31: Default Volume Summary (in millions of US$)

Global US Europe Bond Volume Global US Europe Loan Volume Global US Europe $7,010 $3,558 $3,452 $3,664 $212 $3,452 $3,346 $3,346 $0 March 2013 $3,535 $1,423 $2,112 $2,637 $525 $2,112 $898 $898 $0 February 2013 $2,906 $2,409 $0 $2,252 $1,755 $0 $654 $654 $0 January 2013 $11,541 $9,095 $1,440 $8,577 $6,316 $1,356 $2,964 $2,779 $84

5yr monthly avg

$21,778 $20,798 $5,513 $19,689 $18,877 $5,497 $5,578 $5,426 $554

5yr monthly stdev

$13,451 $7,389 $5,564 $8,554 $2,492 $5,564 $4,897 $4,897 $0

Year-to-date

Default Event

Exhibit 32: Initial Bond Default Events in

Specific Industry

Company Domicile At Default 1-Yr Prior

Ratings**

March 2013

Default Amount*

Bank of Cyprus Public Co Ltd Placed under administration $214 Banking Cyprus Caa3 B1

Central European Distribution Corp Missed principal payment $258 Beverage, Food, & Tobacco Poland C Caa2

Cyprus Popular Bank Public Co Ltd Placed under administration $1,572 Banking Cyprus Caa3 ***

Dex One Corporation Prepackaged Chapter 11 $212 Media: Advertising, Printing & Publishing United States Ca ***

Northland Resources AB Missed interest payment $350 Metals & Mining Sweden Ca NR

Seat Pagine Gialle Italia S.p.A Missed interest payment $1,058 Media: Advertising, Printing & Publishing Italy C Caa3

* Defaulted bonds in millions of US dollars.

** Estimated senior unsecured bond ratings, which do not necessarily refer to the rating of a particular debt issue.

*** These companies have experienced other defaults less than 12 months prior to their March defaults. We do not report their ratings one year prior to the Mach defaults because those ratings were associated with their previous defaults instead of the March defaults.

Default Event

Exhibit 33: Initial Loan Defaults in

Default

Amount* Specific Industry

Company Domicile At Default 1-Yr Prior

Ratings**

March 2013

Dex Media East, Inc. Prepackaged Chapter 11 $0 Media: Advertising, Printing & Publishing United States Caa3 *** Dex Media West, Inc. Prepackaged Chapter 11 $0 Media: Advertising, Printing & Publishing United States Caa3 *** Dex One Corporation Prepackaged Chapter 11 $1,730 Media: Advertising, Printing & Publishing United States Caa3 *** R.H. Donnelley Inc. Prepackaged Chapter 11 $0 Media: Advertising, Printing & Publishing United States Caa3 *** SuperMedia Inc. Prepackaged Chapter 11 $1,442 Media: Advertising, Printing & Publishing United States Caa3 Caa1

* Defaulted loans in millions of US dollars. Guaranteed debts are only added to the issuers but not to the guarantors in order to avoid double counting. ** Most senior loan rating.

*** These companies have experienced other defaults less than 12 months prior to their March defaults. We do not report their ratings one year prior to the Mach defaults because those ratings were associated with their previous defaults instead of the March defaults.

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Credit Event

Exhibit 34: Other Credit Events in

Company Initial Default Date Initial Default Event

March 2013

Indianapolis Downs, LLC Reorganization plan confirmed Dec 2010 Missed interest payment

LodgeNet Interactive Corporation Reorganization plan confirmed Jan 2013 Missed principal and interest payments Revel Atlantic City, LLC Prepackaged Chapter 11 Feb 2013 Missed interest payment

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Part IV: Recovery Data

(Recovery rates in exhibits 35-38 are measured by debt prices taken 30 days after default.)

Trailing Twelve-Month Global Defaulted Bond Recovery Rates (Per $100 Par)

Exhibit 35: $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12

Sr Sec Sr Unsec Subordinated

Sr. Secured

Exhibit 36:

Sr. Unsecured Subordinated

Trailing Twelve-Month Global Defaulted Bond Recovery Rates by Priority

$58.2 $49.6 $32.4 Price 18 58 20 Count $57.7 $41.1 $31.5 $12.6 $7.6 $7.0 5-yr Average 5-yr Stdev

Trailing Twelve-Month US First Lien Loan vs. US Sr. Unsecured Bond Recovery Rates

Exhibit 37: $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 $100 Ap r ' 0 8 Oc t '0 8 Ap r ' 0 9 Oc t '0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t '1 1 Ap r ' 12 Oc t ' 12

US SU Bond US First Lien Loan

US First Lien Loan

Exhibit 38:

US Sr. Unsec Bond

Trailing Twelve-Month US Loan vs. US Sr. Unsecured Bond Recovery Rates Summary

$67.7 $48.4 Price 28 35 Count $62.2 $41.2 $7.6 $7.1 5-yr Average 5-yr Stdev 500 1,000 1,500 2,000 2,500 3,000 3,500 4,000 4,500 5,000 5,500 6,000 6,500 Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t '1 0 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t '1 2

Exhibit 39: Moody's Bankrupt Bond Index*

* MBBI=100 as of December 1980. 6,392 136 60 $40 4.4% 9.3% 11.0% 8.2% -4.2% -6.8% -8.1% -80.1% -1.6% -1.6% 1.7% -10.4% -5.1% -10.2% -11.2% -74.4% 9.3% 8.1% -6.8% 1.0% -1.6% -5.6% -10.2% -1.0% Index Issuers Issues Total Par*

Level 1-Month 3-Month 6-Month 12-Month YTD '13 YTD '12

Changes

Exhibit 40: Moody's Bankrupt Bond Index Summary

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Part V: Rating Changes

Issuer Name

Exhibit 43: Fallen Angels in

Specific Industry Domicile Rating From* Rating To*

March 2013

CenturyLink, Inc. Telecommunications United States Baa3 Ba2

Harsco Corporation Metals & Mining United States Baa3 Ba1

Qwest Communications International Inc. Telecommunications United States Baa3 Ba1

Spar Nord Bank A/S Banking Denmark Baa3 Ba1

* Estimated senior unsecured ratings, which do not necessarily refer to the rating of a particular debt issue.

Issuer Name

Exhibit 44: Rising Stars in

Specific Industry Domicile Rating From* Rating To*

March 2013

CMS Energy Corporation Utilities: Electric United States Ba1 Baa3

Dollar General Corporation Retail United States Ba2 Baa3

Duquesne Light Holdings, Inc. Utilities: Electric United States Ba1 Baa3

Fidelity National Information Services, Inc. High Tech Industries United States Ba2 Baa3

* Estimated senior unsecured ratings, which do not necessarily refer to the rating of a particular debt issue.

Exhibit 41: Trailing Twelve Month Rating Action Rates*

10% 15% 20% 25% 30% 35% 40% 45% Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

* Rating action rate = (issuer upgrades + issuer downgrades) / rated issuers

Exhibit 42: Trailing Twelve Month Rating Drift*

-35% -25% -15% -5% 5% 15% Ap r ' 0 8 Oc t ' 0 8 Ap r ' 0 9 Oc t ' 0 9 Ap r ' 10 Oc t ' 10 Ap r ' 11 Oc t ' 11 Ap r ' 12 Oc t ' 12 Global US Europe

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Part VI: Changes/Remarks

Exhibit 45: Changes/Additions to Prior MDR

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Appendix Five-Year Issuer-Weighted Speculative-Grade Default Rate Forecasts

Long-term default forecasting is no more accurate or reliable than the long-term macroeconomic projections on which it is based. Below we report five-year default scenarios using five-year macroeconomic scenarios provided by Moody's Economy.com. These scenarios are intended only to provide a range of default rate outcomes consistent with these economic forecasts.

Exhibit 46: Five-Year Global Speculative-Grade Default Rates (Actual and Forecast)

0% 10% 20% 30% 40% 50% Ap r ' 9 8 Ap r ' 9 9 Ap r ' 0 0 Ap r ' 0 1 Ap r ' 0 2 Ap r ' 0 3 Ap r ' 0 4 Ap r ' 0 5 Ap r ' 0 6 Ap r ' 0 7 Ap r ' 0 8 Ap r ' 0 9 Ap r ' 10 Ap r ' 11 Ap r ' 12 Ap r ' 13 Ap r ' 14 Ap r ' 15 Ap r ' 16 Ap r ' 17 Actual Baseline Pessimistic Optimistic

Exhibit 47 Five-Year US Speculative-Grade Default Rates (Actual and Forecast)

0% 10% 20% 30% 40% 50% Ap r ' 9 8 Ap r ' 9 9 Ap r ' 0 0 Ap r ' 0 1 Ap r ' 0 2 Ap r ' 0 3 Ap r ' 0 4 Ap r ' 0 5 Ap r ' 0 6 Ap r ' 0 7 Ap r ' 0 8 Ap r ' 0 9 Ap r ' 10 Ap r ' 11 Ap r ' 12 Ap r ' 13 Ap r ' 14 Ap r ' 15 Ap r ' 16 Ap r ' 17 Actual Baseline Pessimistic Optimistic

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Exhibit 48: Five-Year European Speculative-Grade Default Rates (Actual and Forecast) 0% 10% 20% 30% 40% 50% Jan '9 9 Jan '0 0 Ja n '0 1 Jan '0 2 Jan '0 3 Jan '0 4 Jan '0 5 Jan '0 6 Ja n '0 7 Jan '0 8 Jan '0 9 Ja n '1 0 Jan '1 1 Ja n '1 2 Ja n '1 3 Ja n '1 4 Ja n '1 5 Ja n '1 6 Jan '1 7 Ja n '1 8 Actual Baseline Pessimistic Optimistic

Exhibit 49: Five-Year Speculative-Grade Default Rate Baseline Forecasts

25.8% 25.5% 25.4% 25.3% 25.3% 25.3% 25.0% 24.8% 24.0% 23.3% 22.6% 20.7% Global 26.7% 26.2% 26.0% 26.0% 26.0% 26.0% 25.8% 25.8% 24.7% 24.3% 23.6% 21.7% US 23.2% 23.2% 23.2% 23.0% 23.2% 23.5% 22.8% 22.6% 22.5% 22.0% 21.2% 18.4% Europe

19.7% 18.5% 17.1% 16.3% 15.8% 14.8% 14.4% 13.6% 13.3% 13.3% 13.5% 13.0% Global 20.2% 18.8% 17.3% 16.6% 16.1% 15.1% 14.8% 14.1% 13.8% 14.0% 14.2% 13.7% US 19.0% 18.4% 17.6% 16.5% 15.4% 14.1% 13.8% 12.6% 13.3% 13.3% 14.2% 13.4% Europe

13.1% 13.2% 13.2% 12.7% 12.8% 12.8% 12.9% 12.3% 12.4% 12.4% 12.5% 12.4% Global 13.8% 14.0% 13.7% 13.5% 13.6% 13.5% 13.6% 12.9% 12.8% 12.9% 13.1% 12.9% US 13.6% 13.8% 14.6% 13.1% 13.2% 13.5% 14.6% 13.5% 13.9% 13.9% 13.8% 13.3% Europe

12.5% 12.7% 12.9% 12.8% 13.0% 13.2% 13.2% 12.9% 12.8% 12.7% 12.7% 12.5% Global 13.1% 13.2% 13.3% 13.4% 13.6% 13.7% 13.7% 13.3% 13.3% 13.1% 13.2% 13.1% US 13.4% 13.8% 14.3% 14.0% 14.2% 14.6% 14.6% 14.3% 14.0% 13.9% 13.9% 13.3% Europe

12.6% 12.6% 12.5% 12.6% 12.7% 12.7% 12.8% 12.9% 12.8% 12.7% 12.7% 12.5% Global 13.1% 13.1% 12.9% 12.9% 13.0% 13.0% 13.3% 13.3% 13.2% 13.1% 13.2% 13.1% US 13.4% 13.7% 14.1% 14.0% 14.3% 14.2% 14.3% 14.3% 14.3% 14.4% 13.8% 13.3% Europe

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March Default Report. Global Corporate Default Rate Ends Q at 2.4% Default rates down again. Global default rate to finish this year at 2.