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Market risk premium: 5.20% Risk-free rate (from 10-year Tsy): 2.56% Flat tax rate for all firms: 30% Debt beta for all firms: 0.2 Default spreads:
Market risk premium: 5.20% Risk-free rate (from 10-year Tsy): 2.56% Flat tax rate for all firms: 30% Debt beta for all firms: 0.2 Default spreads: Rating 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 30 yr Aaa/AAA 5 10 15 20 25 25 40 Aal/AA+ 8 10 15 25 30 37 61 Aa2/AA 10 17 22 27 36 44 63 Aa3/AA- 15 25 30 40 47 52 73 A1/A+ 20 30 35 45 50 60 80 A2/A 30 50 55 60 68 85 A3/A- 40 54 63 70 75 84 105 Baal/BBB+ 50 60 75 85 89 99 118 Baa2/BBB 55 70 95 100 107 117 138 Baa3/BBB- 70 85 105 110 119 135 168 Bal/BB+ 100 110 125 155 165 195 220 Ba2/BB 120 160 190 185 190 230 280 Ba3/BB- 145 180 210 215 215 250 300 B1/B+ 170 195 230 230 255 315 340 B2/B 195 200 240 280 295 330 430 B3/B- 245 290 330 380 415 460 505 Caa/CCC 1105 1205 1230 1180 1180 1255 1380 Size premiums: Classification Market Cap Size premium Large cap > $8B 0% Mid cap $2.01B - $8B 1.20% Small cap $501M - $2B 1.90% Micro cap
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