Example one-year forward zero curves by credit rating category (%) Category Year 1 Year 2 Year 3 Year 4 3.60 4.17 4.73 5.12 AA 3.65 4.22 4.78 5.17 A 3.72 4.32 4.93 5.32 BBB 4.10 4.67 5.25 5.63 BB 5.55 6.02 6.78 7.27 B 6.05 7.02 8.03 8.52 CCC 15.05 15.02 14.03 13.52 Recovery rates by seniority class (% of face value, i.e., "par") Seniority Class Mean (%) Senior Secured 53.80 Senior Unsecured 51.13 Senior Subordinated 38.52 Subordinated 32.74 Junior Subordinated 17.09 Standard Deviation (%) 26.86 25.45 23.81 20.18 10.90 Source: Carty & Lieberman [96a] -Moody's Investors Service