a) Annual Default Rates by Debt Rating Rating: AAA AA A BBB BB B CCC CC-C Default 0.0% 0.1% 0.2% 0.5% 2.2% 5.5% 12.2% 14.1% Rate: Average In 0.0% 1.0% 3.0% 3.0% 8.0% 16.0% 48.0% 79.0% Recessions Source: "Corporate Defaults and Recovery Rates, 1920-2011," Moody's Global Credit Policy, February 2012 Average Debt Betas by Rating and Maturity By Rating A and above BBB BB B CCC Avg. Beta