fitch ratings, inc. 2015 form nrsro annual certification exhibit 1

80
Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1. Credit Ratings Performance Statistics. Fitch makes information pursuant to the requirements of 17 CFR 17g-2(d) publicly available at the following web address: http://www.fitchratings.com/web/en/dynamic/about-us/regulatory-disclosures-and- commentary.jsp The files containing the information can be found at the above web address by clicking on the links titled “Fitch Ratings History Sample” and “Complete Rating History Disclosure.” Please find attached the following ratings performance reports. These documents can also be accessed at the following web address via the link on the left entitled “Rating Transition & Default Studies”. http://www.fitchratings.com/jsp/marketfocus/MarketFocus.faces?marketFocusArea=CreditMark etResearch&selectedTab=Research&selectedLeftNav=all 1) Fitch Ratings Global Corporate Finance 2014 Transition and Default Study, which was published in March 2015. The methodology used to determine the performance statistics contained within this report can be found on page 5. This report contains separate information regarding performance of ratings in the Corporates (Industrials), Financial Institutions and Insurance categories (see pages 9-14). 2) Fitch Ratings Global Structured Finance 2014 Transition and Default Study, published in March 2015. The methodology used to determine the performance statistics contained within this report can be found beginning on page 10. 3) Fitch Ratings Global Sovereign 2014 Transition and Default Study, which was published in March 2015. The methodology used to determine the performance statistics contained within this report can be found beginning on page 4. 4) Fitch Ratings International Public Finance 2014 Transition and Default Study, which was published in March 2015. The methodology used to determine the performance statistics contained within this report can be found beginning on page 4. 5) Fitch Ratings U.S. Public Finance 2014 Transition and Default Study, was published in March 2015. The methodology used to determine the performance statistics contained within this report can be found beginning on page 3. For completeness, please see our ratings definitions at: http://www.fitchratings.com/creditdesk/public/ratings_defintions/index.cfm under the heading at the top left titled “Rating Definitions.”

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Page 1: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Fitch Ratings, Inc.

2015 Form NRSRO Annual Certification

Exhibit 1. Credit Ratings Performance Statistics.

Fitch makes information pursuant to the requirements of 17 CFR 17g-2(d) publicly available at

the following web address:

http://www.fitchratings.com/web/en/dynamic/about-us/regulatory-disclosures-and-

commentary.jsp

The files containing the information can be found at the above web address by clicking on the

links titled “Fitch Ratings History Sample” and “Complete Rating History Disclosure.”

Please find attached the following ratings performance reports. These documents can also be

accessed at the following web address via the link on the left entitled “Rating Transition &

Default Studies”.

http://www.fitchratings.com/jsp/marketfocus/MarketFocus.faces?marketFocusArea=CreditMark

etResearch&selectedTab=Research&selectedLeftNav=all

1) Fitch Ratings Global Corporate Finance 2014 Transition and Default Study, which was

published in March 2015. The methodology used to determine the performance statistics

contained within this report can be found on page 5. This report contains separate

information regarding performance of ratings in the Corporates (Industrials), Financial

Institutions and Insurance categories (see pages 9-14).

2) Fitch Ratings Global Structured Finance 2014 Transition and Default Study, published in

March 2015. The methodology used to determine the performance statistics contained

within this report can be found beginning on page 10.

3) Fitch Ratings Global Sovereign 2014 Transition and Default Study, which was published

in March 2015. The methodology used to determine the performance statistics contained

within this report can be found beginning on page 4.

4) Fitch Ratings International Public Finance 2014 Transition and Default Study, which was

published in March 2015. The methodology used to determine the performance statistics

contained within this report can be found beginning on page 4.

5) Fitch Ratings U.S. Public Finance 2014 Transition and Default Study, was published in

March 2015. The methodology used to determine the performance statistics contained

within this report can be found beginning on page 3.

For completeness, please see our ratings definitions at:

http://www.fitchratings.com/creditdesk/public/ratings_defintions/index.cfm under the heading at

the top left titled “Rating Definitions.”

Page 2: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 3: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 4: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 5: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 6: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 7: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 8: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 9: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 10: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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So

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Page 11: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

itio

n a

nd

De

fau

lt S

tud

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10

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So

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Page 12: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

itio

n a

nd

De

fau

lt S

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Page 13: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

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n a

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De

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Page 14: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

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Page 15: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

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Page 16: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

itio

n a

nd

De

fau

lt S

tud

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15

Co

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aAp

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Ma

tric

es

Page 17: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

itio

n a

nd

De

fau

lt S

tud

y

16

Ind

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So

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Ap

pe

nd

ix: G

lob

al T

ran

sit

ion

Ma

tric

es

Page 18: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Co

rpo

rate

Fin

an

ce

20

14

Tra

ns

itio

n a

nd

De

fau

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Page 19: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

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Page 20: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

19

Glo

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Page 21: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

1

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Page 22: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 23: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 24: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 25: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 26: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 27: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 28: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 29: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 30: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 31: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 32: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 33: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 34: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 35: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 36: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 37: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 38: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 39: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 40: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 41: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 42: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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A+

AA

-B

BB

+B

BB

BB

B-

BB

+B

BB

B-

B+

BB

-C

CC

CC

an

d

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low

WD

PIF

10

-Ye

ar

Tra

ns

itio

n M

atr

ix: 2

00

5 C

oh

ort

%A

AA

AA

+A

AA

A-

A+

AA

-B

BB

+B

BB

BB

B-

BB

+B

BB

B-

B+

BB

-C

CC

CC

an

d

Be

low

WD

PIF

Page 43: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Str

uc

ture

d F

ina

nc

e 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

Av

era

ge

An

nu

al T

ran

sit

ion

Ma

trix

: 19

94

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14

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AA

+A

AA

A-

A+

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BB

B-

BB

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BB

B-

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BB

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CC

CC

an

d

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low

WD

PIF

On

e-Y

ea

r Tr

an

sit

ion

Ma

trix

: 20

14

%A

AA

AA

+A

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A-

A+

AA

-B

BB

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BB

BB

B-

BB

+B

BB

B-

B+

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CC

CC

an

d

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low

WD

PIF

Ap

pe

nd

ix: G

lob

al S

tru

ctu

red

Cre

dit

Tra

ns

itio

n M

atr

ice

s

Page 44: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Str

uc

ture

d F

ina

nc

e 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

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pe

nd

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lob

al S

tru

ctu

red

Cre

dit

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ns

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n M

atr

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s

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ree

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ns

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n M

atr

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01

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oh

ort

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CC

an

d

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low

WD

PIF

10

-Ye

ar

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ns

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n M

atr

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00

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ort

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BB

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BB

B-

B+

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CC

CC

an

d

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low

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PIF

Page 45: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Str

uc

ture

d F

ina

nc

e 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

On

e Y

ea

r Tr

an

sit

ion

Ma

trix

: 20

14

*

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A-

A+

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CC

CC

an

d

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low

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ree

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ar

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ns

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n M

atr

ix: 2

01

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*

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an

d

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low

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PIF

Ap

pe

nd

ix: G

lob

al S

tru

ctu

red

Fin

an

ce

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e T

ran

sit

ion

Ma

tric

es

Page 46: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Str

uc

ture

d F

ina

nc

e 2

01

4 T

ran

sit

ion

an

d D

efa

ult

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dy

10

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ns

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n M

atr

ix: 2

00

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d

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low

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Ap

pe

nd

ix: F

itc

h G

lob

al S

tru

ctu

red

Fin

an

ce

-Lik

e T

ran

sit

ion

Ma

tric

es

Page 47: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l Str

uc

ture

d F

ina

nc

e 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

Dis

clai

me

r

Page 48: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

1

Glo

bal

So

vere

ign

20

14 T

ran

siti

on

an

d D

efa

ult

Stu

dy

Re

gio

na

l R

isk

s

Pe

rsis

t:

Th

e

year

w

as

char

acte

rize

d b

y u

ne

ven

gro

wth

in

th

e m

ajo

r

adva

nce

d e

con

om

ies

and

pe

rsis

ten

t w

eak

ne

ss

amo

ng

le

adin

g

em

erg

ing

m

arke

ts.

Imp

rove

d

gro

wth

in

th

e U

S a

nd

th

e U

K s

too

d i

n m

arke

d

con

tras

t to

fal

teri

ng

exp

ansi

on

in t

he

eu

rozo

ne

and

Ja

pan

. G

eo

po

litic

al

ten

sio

ns,

st

ruct

ura

l

sho

rtco

min

gs

and

lo

we

r co

mm

od

ity

pri

ces

we

igh

ed

on

th

e o

utl

oo

k f

or

EM

s.

So

ve

reig

n U

pg

rad

es

Ov

ert

ak

e D

ow

ng

rad

es

:

do

wn

gra

de

s tr

aile

d

up

gra

de

s,

by

a m

arg

in

11

.7%

, re

spe

ctiv

ely

.

Ra

tin

gs

O

utl

oo

k

Bro

ad

ly

Sta

ble

: P

osi

tive

and

Ne

gat

ive

Ou

tlo

ok

s b

eca

me

mo

re e

ven

ly

bal

ance

d. N

eg

ativ

e O

utl

oo

ks

we

re c

on

cen

trat

ed

pri

ces

and

th

e p

rosp

ect

of

hig

he

r U

.S.

inte

rest

rate

s. C

on

vers

ely

, th

e b

alan

ce o

f O

utl

oo

ks

in

the

eu

rozo

ne

po

inte

d t

o a

mild

imp

rove

me

nt

in

cre

dit

qu

alit

y, a

s cr

isis

-hit

so

vere

ign

s st

arte

d t

o

reco

ver

and

re

bal

ance

.

Ra

tin

gs

R

etu

rnin

g

to

His

tori

ca

l L

ev

els

: E

uro

zon

e u

pg

rad

es

incl

ud

ed

Ire

lan

d a

nd

Sp

ain

,

bo

th

po

siti

ve

ind

icat

ion

s fo

r E

uro

pe

. S

aud

i

Ara

bia

was

th

e o

nly

so

vere

ign

to

bre

ak n

ew

gro

un

d,

its

IDR

ris

ing

fro

m A

A-

to A

A;

all

oth

er

sove

reig

n ID

R u

plif

ts e

nta

iled

co

un

trie

s th

at h

ad

pre

vio

usl

y b

ee

n r

ate

d a

t cu

rre

nt

leve

ls o

r ab

ove

.

De

ve

lop

ed

/E

me

rgin

g

Ra

tin

g

Tre

nd

s:

Mix

ed

si

gn

als

e

ma

na

ted

fr

om

d

eve

lop

ed

ma

rke

ts

(DM

s),

wit

h

bo

th

Fra

nc

e

an

d

Be

rmu

da

do

wn

gra

de

d.

Em

erg

ing

ma

rke

t (E

M)

do

wn

gra

de

s d

ivid

ed

alm

ost

eve

nly

be

twe

en

ec

on

om

ic

an

d

po

litic

al

co

nc

ern

s a

nd

b

oth

test

ing

th

e

low

er

ext

rem

itie

s o

f th

e

rati

ng

Re

ce

nt

Ra

tin

g

Co

nv

erg

en

ce

: S

ove

reig

n

rati

ng

c

on

verg

en

ce

b

etw

ee

n

DM

s a

nd

E

Ms,

evi

de

nt

sin

ce

th

e

ou

tbre

ak

o

f th

e

glo

ba

l

cre

dit

wo

rth

ine

ss

in

DM

s st

ab

ilize

d,

wh

ere

as

EM

s e

nc

ou

nte

red

a m

ore

ch

alle

ng

ing

glo

ba

l

ec

on

om

ic e

nvi

ron

me

nt.

A S

ing

le D

efa

ult

in

20

14

: A

rge

nti

na

reco

rde

d

the

so

le

sove

reig

n

fore

ign

cu

rre

ncy

d

efa

ult

wh

en

it

was

un

able

to

cu

re a

mis

sed

pay

me

nt.

Ch

arl

ott

e L

. Ne

ed

ha

m

Pa

ul R

aw

kin

s

%1

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ar

2 Y

ea

r3

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ar

4 Y

ea

r5

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ar

Inve

stm

en

t G

rad

e -

Sp

ecu

lati

ve G

rad

e 4

.17

4

.97

All

So

vere

ign

s

So

urc

e: F

itch

So

ve

reig

n A

ve

rag

e C

um

ula

tiv

e D

efa

ult

Ra

tes

: 19

95

-20

14

Up

gra

de

sD

ow

ng

rad

es

(No

.)

So

ve

reig

n H

isto

ric

al R

ati

ng

Ac

tiv

ity

So

urc

e: F

itch

AA

AA

AA

BB

BB

BB

CC

C t

o C

So

ve

reig

n R

ati

ng

s D

istr

ibu

tio

n b

y M

ajo

r R

ati

ng

Ca

teg

ory

a

a Year

-en

d r

atin

gs.

So

urc

e: F

itch

Page 49: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l So

ve

reig

n 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

So

ve

reig

n O

ne

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ns

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n M

atr

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to

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-

-

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-

-

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-

-

-

-

A -

-

-

-

-

-

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B -

-

-

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-

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-

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94

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-

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-

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-

-

-

-

So

urc

e: F

itch

So

ve

reig

n R

ati

ng

Ac

tiv

ity

by

Re

gio

n: 2

01

4

14

AP

AC

Eu

rop

eL

AT

AM

ME

& A

fric

aN

ort

h A

me

ric

a

Up

gra

de

Do

wn

gra

de

(No

.)

So

urc

e: F

itch

Em

erg

ing

M

ark

ets

R

ela

ps

e:

EM

s b

ore

th

e

and

e

con

om

ic

turm

oil

mo

un

ted

in

Fe

bru

ary.

So

uth

Afr

ica

was

pu

t o

n N

eg

ativ

e O

utl

oo

k i

n

Jan

uar

y. E

lse

wh

ere

, in

Lat

in A

me

rica

, Arg

en

tin

a

un

cert

ain

ty

and

fa

llin

g

oil

pri

ces.

G

uat

em

ala

and

A

rub

a w

ere

al

so

do

wn

gra

de

d.

Up

gra

de

s

incl

ud

ed

Lat

via,

Lit

hu

ania

, Rw

and

a, S

aud

i Ara

bia

De

ve

lop

ed

Ma

rke

ts’ C

om

eb

ack

: Up

gra

de

s an

d

in

DM

s.

Fitc

h

rem

ove

d

the

U

.S.

fro

m

Rat

ing

Wat

ch N

eg

ativ

e i

n M

arch

fo

llow

ing

a o

ne

-ye

ar

susp

en

sio

n o

f th

e c

eili

ng

on

fed

era

l de

bt.

Po

siti

ve

rati

ng

act

ion

s w

ere

do

min

ate

d b

y th

e e

uro

zon

e

pe

rip

he

ry.

Gre

ece

, S

pai

n a

nd

Ire

lan

d –

th

ree

of

up

gra

de

d o

n t

he

bac

k o

f im

pro

ved

eco

no

mic

Ou

tlo

ok

was

re

vise

d

to

Sta

ble

fr

om

N

eg

ativ

e

leve

ls. A

dd

itio

nal

ly F

ran

ce s

ust

ain

ed

a o

ne

no

tch

was

re

vise

d t

o N

eg

ativ

e in

No

vem

be

r.

EM

Up

gra

de

sD

M U

pg

rad

es

EM

Do

wn

gra

de

sD

M D

ow

ng

rad

es

(No

.)

So

urc

e: F

itch

So

ve

reig

n D

ev

elo

pe

d a

nd

Em

erg

ing

Ma

rke

t H

isto

ric

al R

ati

ng

Ac

tiv

ity

Page 50: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l So

ve

reig

n 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

Fitc

h-R

ate

d S

ove

reig

n ID

R D

efa

ult

s: 1

99

5-2

014

Ru

ssia

n

Fe

de

rati

on

(1

99

8):

Fi

tch

d

ate

s

this

was

wh

en

th

e R

uss

ian

Fe

de

rati

on

de

fau

lte

d

on

its

loca

l-cu

rre

ncy

(LC

) d

eb

t, it

be

gan

to

incu

r

arre

ars

on

fore

ign

-cu

rre

ncy

(FC

) de

bt

ow

ed

to

th

e

afte

rwar

ds.

De

fau

lts

on

FC

de

bt

inst

rum

en

ts h

eld

by

pri

vate

cre

dit

ors

occ

urr

ed

in

19

99

, al

tho

ug

h

pay

me

nts

o

n

Ru

ssia

n

Fed

era

tio

n

Eu

rob

on

ds

we

re m

ain

tain

ed

an

d h

on

ore

d.

Ind

on

es

ia

(19

98

):

Par

is

and

Lo

nd

on

C

lub

mai

nta

ine

d p

aym

en

ts o

n t

he

sin

gle

Fit

ch-r

ate

d

sove

reig

n b

on

d o

uts

tan

din

g a

t th

e t

ime

.

Arg

en

tin

a (

20

01

): D

efa

ult

ed

on

mo

re t

ha

n

he

ld b

y n

on

resi

de

nts

. D

eb

t d

efa

ult

pa

rtia

lly

Mo

ldo

va

(2

00

2):

Uru

gu

ay

(2

00

3):

mo

stly

he

ld b

y n

on

resi

de

nts

.

Do

min

ica

n R

ep

ub

lic

(2

00

5):

Dis

tre

sse

d d

eb

t

US

D1

.1

bill

ion

o

f e

ligib

le

fore

ign

-cu

rre

ncy

-

de

no

min

ate

d b

on

d d

eb

t.

Ec

ua

do

r (2

00

8):

M

isse

d

cou

po

n

pay

me

nt

ann

ou

nce

me

nt

that

th

e

go

vern

me

nt

wo

uld

sele

ctiv

ely

d

efa

ult

o

n

all

glo

bal

b

on

ds.

T

he

Jam

aic

a

(20

10

):

incl

ud

ed

FC

-de

no

min

ate

d in

stru

me

nts

to

wh

ich

Gre

ece

(2

01

2):

app

roxi

mat

ely

EU

R1

99

bn

of

Gre

ek

an

d f

ore

ign

-

face

val

ue

am

ou

nt

of

Gre

ek

go

vern

me

nt

bo

nd

s

be

ing

exc

han

ge

d f

or

ne

w b

on

ds

wit

h a

fac

e

to c

ove

r ac

cru

ed

, un

pai

d i

nte

rest

. Bo

nd

ho

lde

rs

linke

d s

ecu

riti

es.

Th

e im

plie

d n

et

pre

sen

t va

lue

loss

re

lati

ve t

o t

he

ori

gin

al t

erm

s an

d c

on

dit

ion

s

of

the

b

on

ds

imp

lied

b

y th

e

exc

han

ge

w

as

est

imat

ed

to

be

ap

pro

xim

ate

ly 7

4%

.

Jam

aic

a

(20

13

)

do

me

stic

d

eb

t,

resu

ltin

g

in

bo

th

FC

and

LC

IDR

do

wn

gra

de

s to

RD

. T

he

DD

E a

nn

ou

nce

d

by

the

go

vern

me

nt

incl

ud

ed

th

e e

xte

nsi

on

of

mat

uri

tie

s an

d a

re

du

ctio

n i

n c

ou

po

ns

for

the

was

o

ne

o

f th

e

pre

-co

nd

itio

ns

for

Jam

aica

to s

ign

a n

ew

IM

F ag

ree

me

nt

tota

ling

ne

arly

Cy

pru

s (

20

13

):an

exc

han

ge

of

do

me

stic

go

vern

me

nt

bo

nd

s,

wh

ich

re

sult

ed

in a

do

wn

gra

de

of

the

LC

ID

R t

o

RD

. Th

e e

xch

ang

e c

on

stit

ute

d d

om

est

ic b

on

ds

wit

h a

to

tal

no

min

al v

alu

e o

f E

UR

1 b

illio

n,

du

e

to

exp

ire

w

ith

in

the

E

U-I

MF

pro

gra

m

pe

rio

d

we

re r

ep

lace

d b

y n

ew

bo

nd

s w

ith

th

e s

ame

cou

po

n r

ate

s b

ut

wit

h t

he

mat

uri

ty d

ate

s o

f th

e

ne

w s

ecu

riti

es

ext

en

de

d b

eyo

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th

e o

rig

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pro

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m p

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. As

fore

ign

Cyp

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t b

on

ds

we

re

Arg

en

tin

a (

20

14

): A

mis

sed

pay

me

nt

de

fau

lt

on

dis

cou

nt

bo

nd

s is

sue

d u

nd

er

fore

ign

law

Th

e

de

fau

lt

rela

tes

to

a d

isp

ute

b

etw

ee

n

Arg

en

tin

a an

d c

ert

ain

ho

ldo

ut

cre

dit

ors

th

at d

id

cert

pe

titi

on

to

th

e U

.S.

Su

pre

me

Co

urt

. T

he

U.S

. Lo

we

r C

ou

rt r

ulin

g w

as u

ph

eld

, pro

hib

itin

g

Arg

en

tin

a fr

om

mak

ing

pay

me

nts

to

exc

han

ge

d

bo

nd

ho

lde

rs u

nle

ss p

aym

en

ts w

ere

als

o m

ade

IDR

– Is

sue

r D

efa

ult

Rat

ing

. RD

– R

est

rict

ed

De

fau

lt.

Page 51: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

4

Glo

ba

l So

ve

reig

n 2

01

4 T

ran

sit

ion

an

d D

efa

ult

Stu

dy

All

Fit

ch

p

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licly

ra

ted

, so

vere

ign

lo

ng

-

term

fo

reig

n-c

urr

en

cy

Inte

rna

tio

na

l D

efa

ult

co

nti

nu

ing

d

ata

e

nh

an

ce

me

nt

eff

ort

s m

ay

resu

lt i

n s

ligh

tly

dif

fere

nt

sta

tist

ics

tha

n i

n

pre

vio

usl

y p

ub

lish

ed

st

ud

ies.

T

he

refo

re,

this

mo

st r

ec

en

t st

ud

y su

pe

rse

de

s a

ll p

rio

r

vers

ion

s.

It

is

imp

ort

an

t to

o

bse

rve

th

at

the

ra

tin

g

tra

nsi

tio

ns

ou

tlin

ed

in

th

is

stu

dy

rep

rese

nt

a

dis

tin

ct

his

tori

ca

l p

eri

od

a

nd

m

igh

t n

ot

rep

rese

nt

futu

re

rati

ng

m

igra

tio

n

pa

tte

rns.

fac

tors

, in

clu

din

g c

red

it e

nh

an

ce

me

nt

leve

ls,

ma

rke

ts,

size

o

f su

bse

cto

rs

an

d

rati

ng

s

po

rtfo

lio a

nd

cre

dit

co

nd

itio

ns

ge

ne

rally

.

Fitc

h

em

plo

ys

a

sta

tic

p

oo

l a

pp

roa

ch

in

ca

lcu

lati

ng

d

efa

ult

a

nd

tr

an

siti

on

d

ata

. T

he

sta

tic

p

oo

ls

or,

a

lte

rna

tive

ly,

co

ho

rts

are

cre

ate

d b

y g

rou

pin

g i

ssu

er

rati

ng

s a

cc

ord

ing

to t

he

ye

ar

in w

hic

h t

he

ra

tin

gs

we

re a

cti

ve a

nd

ou

tsta

nd

ing

at

the

be

gin

nin

g o

f th

e y

ea

r. F

or

exa

mp

le, i

ssu

ers

wit

h ra

tin

gs

ou

tsta

nd

ing

at t

he

wit

h

the

sa

me

tr

ue

fo

r a

dd

itio

na

l c

oh

ort

s.

Issu

ers

ne

wly

ra

ted

by

Fitc

h i

n a

ny

giv

en

ye

ar

exa

mp

le,

the

pe

rfo

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nc

e o

f ra

tin

gs

init

iate

d

in

mid

yea

r a

re

exc

lud

ed

fr

om

su

bse

qu

en

t

co

ho

rts

sin

ce

th

ey

are

no

lon

ge

r a

cti

ve.

Issu

er

rati

ng

s m

ay

resi

de

in

m

ult

iple

st

ati

c

po

ols

, as

lon

g a

s th

eir

rati

ng

s a

re o

uts

tan

din

g a

t

the

be

gin

nin

g a

nd

en

d o

f th

e y

ea

r o

r m

ult

iple

-

yea

r h

ori

zon

s u

nd

er

ob

serv

ati

on

. Fo

r e

xam

ple

,

the

a

nn

ua

l p

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an

ce

o

f a

n

issu

er

rati

ng

init

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d in

19

94

, an

d t

he

refo

re o

uts

tan

din

g a

t

ove

r m

ult

iple

-ye

ar

ho

rizo

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wo

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a

lso

b

e

inc

lud

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in

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wo

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an

d f

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an

siti

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tra

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ith

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wn

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tra

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ate

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9 t

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tra

nsi

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ate

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tra

nsi

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n d

ata

at

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ma

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rati

ng

ca

teg

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es

an

d d

ow

n t

he

ra

tin

g s

ca

le (

fro

m A

to

BB

B),

wh

ich

co

un

ts e

ac

h n

otc

h c

ha

ng

e o

r fr

om

A

to A

–,

for

exa

mp

le (

see

th

e F

itc

h S

ove

reig

n

the

Ap

pe

nd

ix c

om

me

nc

ing

on

pa

ge

7).

Th

e

the

h

ori

zon

tal

axi

s p

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de

s in

form

ati

on

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n

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mig

rati

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tte

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f th

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tin

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yea

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en

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ab

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m t

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to

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-ha

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dia

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l to

th

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t in

ord

er

to e

xam

ine

th

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sta

bili

ty o

f e

ac

h c

on

sec

uti

ve r

ati

ng

ca

teg

ory

.

De

fau

lt R

ate

s

we

bsi

te, s

ee

.

bas

is,

as

op

po

sed

to

d

olla

r am

ou

nts

. Fi

rst,

de

fau

lts

are

exa

min

ed

by

year

fo

r e

ach

sta

tic

po

ol a

nd

ind

ivid

ual

rati

ng

cat

eg

ory

. Fo

r e

xam

ple

,

resu

ltin

g a

nn

ual

de

fau

lt r

ate

fo

r al

l ra

tin

gs

in

Fro

m t

he

se a

nn

ual

de

fau

lt r

ate

s, F

itch

de

rive

s

ave

rag

e a

nn

ual

de

fau

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ate

s b

y w

eig

hti

ng

eac

h

ou

tsta

nd

ing

in

th

e

giv

en

co

ho

rt

rela

tive

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nu

mb

er

of

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tin

gs

ou

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nd

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r al

l

ave

rag

e o

f th

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two

rate

s w

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ld ig

no

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igh

tin

g

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re

sult

s b

ase

d

on

th

e

rela

tive

Th

e s

ame

tech

niq

ue

is u

sed

to c

alcu

late

ave

rag

e

de

fau

lt r

ate

s o

ver

mu

ltip

le-y

ear

ho

rizo

ns.

Fo

r

we

igh

tin

g t

he

de

fau

lt r

ate

s b

y th

e r

ela

tive

siz

e

of

eac

h p

oo

l.

Me

tho

do

log

y

AP

AC

17

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rop

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AM

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Mid

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-en

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ou

rce

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ch

So

ve

reig

n R

ati

ng

s D

istr

ibu

tio

n b

y

Re

gio

n: 2

01

4 a

Page 52: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

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ve

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4 T

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Page 53: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 54: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

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Page 55: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l So

ve

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01

4 T

ran

sit

ion

an

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Page 56: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Glo

ba

l So

ve

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01

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Page 57: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

10

Glo

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01

4 T

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hib

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rig

hts

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serv

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ain

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itch

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lies

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rmat

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om

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r so

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vest

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e t

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atin

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Page 58: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

1

Inte

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Page 59: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 60: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 61: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 62: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

5

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Page 63: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 64: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 65: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 66: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 67: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 68: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

Inte

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Page 69: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

12

Inte

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Page 70: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

1

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Page 71: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 72: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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Page 73: Fitch Ratings, Inc. 2015 Form NRSRO Annual Certification Exhibit 1

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