1. Exhibit 7- 2 Commercial Paper Rating
Category
Fitch
Moody’s
S&P
Investment grade
F-1+
A-1+
F-1
P-1
A-1
F-2
P-2
A-2
F-3
P-3
A-3
Noninvestment grade
F-S
NP (not prime) B C
In default D

2. Exhibit 7-3 Simple, Typical CLO Capital Structure
Bond Class
Percent of Capital Structure
Rating
Coupon
Class A
80%
AAA
LIBOR + 26
Class B 8% A
LIBOR + 75
Class C 3%
BBB
LIBOR + 180
Class D 2% B
LIBOR + 475
Equity Tranche 7%
Not rated
Residual Cash Flows

3. Arithmetic Average Weighted Average
OLD Exhibit Default Rates for High-Yield and Distressed Debt (Speculative Grade) Corporate Bonds: 1971–2009
Arithmetic Average Weighted Average
Period
Default Rate
(Includes straight bonds only)
Default Rate
(Weighted by par value of amount outstanding for each year)
1971–2009
3.33%
4.55%
1978–2009
3.64%
4.56%
1985–2009
4.32%
4.60%
Fallen Angels
3.88%
Original-Issue Speculative Grade
4.90%

4. OLD Exhibit 7-5 Average Dollar Recovery Per $100 Par Value by Seniority and Original Rating, Corporate Bond Defaults: 1971–2009
Seniority
Investment Grade
Noninvestment
Grade
All
Senior secured
$53.21
$43.83
$46.64
Senior Unsecured
$43.69
$36.18
$39.95
Senior Subordinated
$37.10
$32.74
$32.14
Subordinated
$22.52
$32.54
$31.45

5. OLD Exhibit 7-6 Discounted Ultimate Recovery Rates by Debt Type
Type of Debt/Seniority
Average Recovery Rate
Bank Loan
82%
Senior Secured Debt
65%
Senior Unsecured Debt
38%
Senior Subordinated Debt
29%
Subordinated Bond
27%
Junior Subordinated Bond
15%
All Bonds
37%

6. OLD Exhibit 7-7 S&P Recovery Ratings for Secured Debt
Recovery Rate
Ultimate Recovery of Principal
Indicative Recovery Expectation 1+
Highest expectation of full
recovery of principal
100% of principal 1
High expectation of full 2
Substantial recovery of principal
80%–100% of principal 3
Meaningful recovery of principal
50%–80% of principal 4
Marginal recovery of principal
25%–50% of principal 5
Negligible recovery of principal
0%–25% of principal

7. OLD Exhibit 7-8 Fitch Rating Recovery Rating System
Recovery Prospect
Recovery Band R1
Outstanding
91%–100% R2
Superior
71%–90% R3
Good
51%–70% R4
Average
31%–50% R5
Below
11%–30% R6
Poor
0%–10%

8. Exhibit 7-5 Hypothetical One-Year Rating Transition Matrix
Rating at End of Year
Rating at Start
of Year
Aaa Aa A
Baa Ba B
C or D
Total
91.00
8.30
0.70
0.00
100.00
1.50
91.40
6.60
0.50
0.20
0.10
3.00
91.20
5.10
0.40
5.80
88.00
5.00
0.90