Fitch Ratings, Inc.
2017 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: https://www.fitchratings.com/site/regulatory
The files containing the information can be found at the above web address by clicking on the
links under the title “Annual NRSRO Certification.”
The files containing the information pursuant to 17 CFR 17g-7(b) Disclosure of credit rating
histories, can also be found at the above web address under the heading “Disclosures”, “17-g7
Ratings History Disclosure”
For completeness, please see our ratings definitions at:
https://www.fitchratings.com/site/definitions
A. Financial Institutions, Brokers, or Dealers - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
14
2
13
73
106
146
130
125
124
178
70
62
53
44
43
37
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
A-
79.2%
4.8%
11.3%
85.6%
2.3%
0.9%
4.8%
86.2%
2.4%
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
100.0%
100.0%
2.7%
94.5%
3.8%
0.7%
9.2%
88.8%
1.6%
0.8%
7.2%
86.3%
7.9%
8.9%
75.3%
11.4%
2.7%
4.7%
4.1%
1.5%
1.6%
2.4%
7.9%
7.1%
8.1%
0.8%
9.0%
67.1%
8.1%
12.9%
72.6%
3.8%
1.4%
9.7%
83.0%
22.7%
1.6%
11.3%
56.8%
9.3%
10.8%
21
1.9%
9.1%
53.5%
5.4%
4.5%
23.3%
73.0%
5.4%
19.0%
33.3%
38.1%
2.3%
4.7%
4.5%
9.3%
5.4%
4.8%
4.8%
1241
A. Financial Institutions, Brokers, or Dealers - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
12
1
3
77
103
166
121
119
161
140
73
45
42
38
52
52
5
1
1211
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
91.7%
8.3%
100.0%
AA
AA-
A+
A
100.0%
14.3%
1.0%
75.3%
11.7%
2.6%
53.4%
11.4%
4.1%
2.6%
10.7%
60.8%
10.7%
0.8%
A-
BBB+
8.7%
7.2%
50.4%
10.9%
1.2%
0.7%
2.9%
6.0%
14.9%
48.7%
11.8%
BBB
1.2%
4.1%
3.4%
47.8%
14.3%
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
2.5%
3.7%
9.3%
34.2%
11.1%
2.4%
0.8%
3.7%
2.1%
17.8%
44.4%
14.3%
2.6%
1.9%
1.2%
1.4%
15.1%
11.1%
52.4%
15.8%
9.6%
0.6%
2.7%
2.2%
11.9%
26.3%
13.5%
7.7%
7.9%
7.7%
1.9%
7.9%
1.9%
15.4%
20.0%
40.0%
40.0%
0.6%
2.2%
10.5%
23.1%
17.3%
1.4%
2.2%
2.4%
2.6%
23.1%
32.7%
Withdrawn
(other)
5.2%
11.7%
12.7%
9.9%
18.5%
14.9%
22.9%
9.6%
17.8%
16.7%
26.3%
21.2%
23.1%
0.6%
5.0%
15.1%
14.3%
49.3%
17.8%
6.7%
Paid Off
1.4%
2.2%
100.0%
A. Financial Institutions, Brokers, or Dealers - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
17
31
50
157
113
203
157
114
125
79
60
46
53
32
30
45
4
5
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
35.3%
5.9%
3.2%
AA
AA-
A+
A
A-
8.0%
5.7%
24.0%
15.9%
10.6%
1.0%
0.6%
19.4%
10.0%
7.0%
10.6%
6.4%
3.2%
0.9%
12.9%
10.0%
12.1%
14.2%
10.8%
8.3%
2.6%
6.5%
4.0%
8.3%
5.3%
9.9%
8.9%
9.6%
0.8%
2.5%
1.7%
BBB+
5.9%
16.1%
8.0%
3.2%
2.7%
6.9%
10.2%
6.1%
9.6%
1.3%
2.2%
3.1%
BBB
BBB-
6.0%
2.0%
0.6%
1.8%
4.4%
5.1%
10.5%
8.8%
8.9%
13.3%
4.3%
20.8%
3.1%
BB+
BB
BB-
1.8%
0.5%
0.6%
2.0%
1.3%
0.9%
2.0%
1.9%
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
5.9%
3.5%
3.0%
4.5%
7.0%
4.0%
6.3%
3.3%
13.0%
5.7%
3.1%
23.3%
0.6%
1.0%
1.3%
0.9%
3.8%
11.7%
17.4%
5.7%
2.2%
0.5%
0.6%
1.8%
0.5%
0.6%
1.3%
1.7%
3.8%
6.3%
6.7%
6.7%
5.0%
3.1%
10.0%
2.2%
1.9%
9.4%
3.3%
4.4%
1.7%
4.3%
5.7%
3.1%
3.3%
17.8%
47.1%
41.9%
26.0%
45.2%
44.2%
48.8%
52.2%
57.9%
64.0%
67.1%
33.3%
50.0%
35.8%
43.8%
40.0%
57.8%
100.0%
60.0%
2.7%
4.4%
1.9%
3.5%
8.8%
3.8%
20.0%
0.9%
4.0%
5.1%
8.3%
8.7%
3.8%
3.1%
3.3%
4.4%
1.9%
9.4%
15.1%
12.5%
10.0%
4.4%
20.0%
Withdrawn
(other)
20.0%
1321
B. Insurance Companies - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
3
2
16
36
40
45
23
11
9
1
2
1
1
1
191
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
A-
87.5%
4.4%
7.5%
91.1%
4.3%
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
100.0%
6.3%
87.5%
2.8%
94.4%
2.5%
2.2%
91.3%
9.1%
6.3%
2.8%
2.5%
2.2%
4.3%
90.9%
44.4%
55.6%
100.0%
100.0%
100.0%
100.0%
100.0%
B. Insurance Companies - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
1
3
2
14
31
38
36
32
12
10
4
2
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
100.0%
100.0%
7.1%
71.4%
9.7%
2.8%
14.3%
71.0%
13.2%
2.8%
9.7%
60.5%
11.1%
6.3%
3.2%
10.5%
63.9%
46.9%
11.1%
34.4%
41.7%
10.0%
3.1%
33.3%
50.0%
50.0%
20.0%
25.0%
50.0%
7.1%
6.5%
15.8%
8.3%
9.4%
25.0%
10.0%
25.0%
10.0%
50.0%
3
33.3%
66.7%
188
B. Insurance Companies - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
5
2
20
36
38
35
29
23
22
5
4
3
6
228
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
20.0%
50.0%
50.0%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
60.0%
15.0%
8.3%
2.6%
2.9%
Paid Off
Withdrawn
(other)
20.0%
30.0%
25.0%
5.3%
17.1%
6.9%
4.3%
4.5%
5.0%
25.0%
18.4%
17.1%
6.9%
4.5%
20.0%
11.1%
10.5%
14.3%
13.8%
13.0%
13.6%
7.9%
8.6%
26.1%
18.2%
20.0%
2.9%
3.4%
8.7%
13.6%
4.3%
4.5%
50.0%
30.0%
30.6%
55.3%
37.1%
69.0%
43.5%
40.9%
80.0%
50.0%
100.0%
100.0%
C. Corporate issuers - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1
2
11
16
48
99
143
248
229
285
120
91
101
90
69
34
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
50.0%
50.0%
54.5%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
18.2%
87.5%
4.2%
6.3%
91.7%
1.0%
0.7%
27.3%
6.3%
4.2%
85.9%
2.8%
11.1%
88.1%
3.6%
0.4%
1.0%
4.2%
83.5%
6.6%
1.1%
1.0%
2.1%
9.7%
78.2%
7.0%
0.8%
7.4%
75.8%
13.3%
1.7%
8.8%
72.5%
8.8%
3.0%
1.1%
0.7%
5.8%
61.5%
15.8%
2.2%
0.4%
0.8%
16.5%
48.5%
7.8%
2.9%
2.5%
4.4%
16.8%
62.2%
11.6%
11.8%
30
0.4%
0.8%
1.1%
1.1%
6.9%
11.1%
59.4%
5.9%
5.6%
4.3%
35.3%
1.1%
4.3%
11.8%
16.7%
20.0%
26.7%
6.7%
8
4
1629
2.9%
1.1%
2.0%
1.1%
5.8%
17.6%
2.1%
2.4%
5.7%
4.9%
4.2%
6.6%
6.9%
7.8%
11.6%
14.7%
3.3%
23.3%
3.3%
87.5%
12.5%
100.0%
C. Corporate issuers - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1
4
13
14
51
99
134
243
259
235
136
114
101
105
88
51
21
4
3
1676
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
25.0%
25.0%
46.2%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
23.1%
71.4%
5.9%
7.1%
70.6%
2.0%
1.5%
14.3%
11.8%
58.6%
7.5%
7.8%
25.3%
55.2%
12.3%
1.2%
0.9%
0.4%
0.4%
1.5%
1.8%
5.0%
11.4%
11.4%
21.6%
50.0%
30.8%
7.1%
2.0%
9.1%
9.0%
14.4%
20.8%
20.4%
22.1%
35.1%
22.8%
29.5%
34.1%
35.3%
14.3%
23.8%
75.0%
100.0%
25.0%
2.0%
2.0%
23.1%
57.6%
12.0%
3.0%
3.0%
1.5%
11.5%
47.1%
16.2%
2.9%
0.9%
1.0%
2.2%
2.9%
12.7%
46.8%
22.8%
5.3%
3.0%
1.0%
1.2%
5.0%
8.1%
41.2%
7.9%
10.9%
1.0%
0.4%
0.9%
3.7%
28.9%
10.9%
8.6%
6.8%
1.3%
2.2%
8.8%
22.8%
9.5%
5.7%
0.4%
0.9%
1.5%
8.8%
16.8%
25.7%
17.0%
9.5%
0.4%
0.7%
1.8%
5.9%
8.6%
20.5%
17.6%
0.9%
1.5%
1.0%
1.9%
1.1%
15.7%
0.9%
1.0%
1.9%
2.3%
9.8%
4.8%
14.3%
1.1%
28.6%
4.8%
C. Corporate issuers - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
7
5
16
33
74
117
145
196
212
177
81
98
71
72
83
55
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
14.3%
AA
AA-
28.6%
6.3%
9.1%
20.0%
6.3%
3.0%
2.7%
1.7%
4.1%
A+
A
14.3%
14.3%
40.0%
31.3%
15.2%
21.6%
14.5%
3.4%
4.1%
9.1%
8.1%
6.8%
2.1%
A-
0.6%
6.1%
21.6%
23.9%
19.3%
8.2%
5.7%
2.3%
1.2%
1.0%
1.4%
BBB+
9.1%
8.1%
12.8%
20.0%
28.1%
14.2%
7.3%
7.4%
1.0%
BBB
3.0%
2.7%
4.3%
11.0%
13.8%
20.3%
8.5%
4.9%
7.1%
5.6%
2.8%
4.8%
BBB-
1.7%
4.1%
5.6%
8.5%
18.6%
14.8%
6.1%
8.5%
1.4%
BB+
2.7%
2.6%
0.7%
3.6%
3.8%
3.4%
6.2%
7.1%
2.8%
21
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
0.9%
3.4%
7.4%
8.2%
11.3%
16.7%
14.5%
21.8%
28.6%
40.0%
56.3%
45.5%
25.7%
29.9%
33.8%
35.7%
44.8%
52.0%
48.1%
46.9%
50.7%
65.3%
71.1%
61.8%
66.7%
23.8%
6.8%
0.7%
0.5%
0.5%
1.1%
3.7%
8.2%
4.2%
1.4%
2.4%
5.5%
2.5%
3.1%
5.6%
6.9%
1.2%
1.8%
0.9%
0.7%
0.5%
1.4%
2.3%
1.2%
4.1%
4.2%
4.2%
1.2%
1.8%
0.9%
1.2%
3.1%
4.2%
1.4%
3.6%
3.6%
0.6%
1.2%
4.1%
1.4%
1.2%
3.6%
9.5%
Withdrawn
(other)
1463
D(i) Residential mortgage backed securities ("RMBS") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
2559
213
956
77
121
2135
76
89
1766
95
43
1846
36
15
1638
21
1841
2434
2483
18444
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
72.9%
6.1%
7.9%
1.3%
1.7%
0.9%
0.04%
76.1%
1.6%
3.9%
0.8%
0.1%
0.4%
5.6%
57.6%
14.3%
10.7%
8.1%
3.9%
0.04%
0.04%
0.5%
0.1%
2.6%
59.5%
1.0%
13.2%
2.2%
0.1%
0.2%
0.9%
9.6%
7.8%
2.6%
66.8%
5.3%
15.7%
14.5%
3.2%
0.2%
68.4%
14.6%
0.3%
12.6%
1.1%
0.1%
66.2%
7.4%
0.2%
0.2%
A-
BBB+
BBB
BBB-
BB+
0.1%
0.5%
1.3%
1.7%
0.3%
50.6%
0.5%
9.5%
2.3%
1.4%
3.4%
2.8%
1.5%
BB-
B+
0.04%
5.0%
1.3%
62.3%
17.9%
16.3%
12.7%
BB
53.7%
4.7%
0.2%
44.4%
2.2%
0.1%
69.8%
0.6%
5.6%
B
CCC+
CCC
CCC-
CC
C
Default
0.1%
0.9%
0.5%
0.4%
8.2%
1.1%
7.0%
75.0%
0.7%
6.7%
37.6%
B-
0.1%
41.7%
13.3%
0.4%
73.3%
0.2%
Paid Off
Withdrawn
(other)
26.1%
9.4%
21.7%
1.3%
18.2%
16.0%
7.9%
11.2%
11.6%
2.1%
0.04%
0.1%
0.3%
0.1%
0.1%
0.2%
2.3%
0.8%
0.2%
0.1%
6.0%
5.6%
0.6%
48.6%
6.7%
2.8%
0.9%
0.4%
6.7%
0.5%
0.4%
0.5%
100.0%
1.4%
0.1%
34.6%
0.1%
1.2%
0.1%
0.1%
50.8%
3.2%
4.6%
1.2%
3.9%
0.2%
47.7%
17.6%
13.8%
65.1%
2.0%
15.9%
3.2%
1.0%
0.2%
0.1%
31.9%
0.1%
D(i) Residential mortgage backed securities ("RMBS") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
2591
180
1346
144
76
1906
52
87
1721
71
32
1437
20
28
1958
11
37.5%
4.4%
4.9%
9.7%
1.3%
1.0%
0.04%
46.1%
1.2%
36.1%
7.9%
0.2%
1.7%
7.2%
26.2%
11.1%
14.5%
7.5%
0.04%
0.2%
2.2%
1.2%
1.1%
0.1%
1.4%
2.8%
0.2%
2.2%
2.2%
17.5%
7.6%
1.3%
42.8%
11.5%
12.6%
10.6%
12.7%
3.1%
8.4%
10.0%
2613
0.1%
19.4%
11.8%
0.5%
11.5%
4.9%
34.2%
2.2%
13.5%
3.4%
0.3%
0.2%
A-
BBB+
0.1%
2.1%
0.1%
1.4%
0.1%
48.1%
17.2%
0.8%
2.8%
0.6%
23.0%
1.0%
7.0%
3.1%
0.3%
BBB
BBB-
BB+
0.2%
0.6%
9.1%
BB
B
0.1%
3.0%
0.6%
8.7%
3.8%
1.1%
43.0%
5.6%
6.3%
9.3%
0.2%
0.1%
3.1%
4.6%
0.3%
32.4%
3.1%
0.3%
1.1%
0.2%
1.4%
50.0%
0.8%
5.0%
10.4%
7.0%
9.4%
52.3%
15.0%
0.1%
0.2%
32.0%
1.3%
0.3%
0.4%
3.9%
4.1%
0.04%
0.7%
5.6%
4.3%
13.3%
1.2%
0.02%
3.4%
0.1%
0.04%
0.02%
B+
0.1%
0.5%
2638
4296
21207
BB-
B-
CCC+
CCC
CC
C
Default
0.1%
0.1%
0.5%
0.1%
0.1%
1.4%
0.1%
1.1%
4.2%
0.6%
1.4%
0.4%
20.0%
3.6%
0.3%
0.1%
5.0%
3.6%
0.3%
6.3%
10.0%
32.1%
25.0%
0.5%
9.1%
0.04%
19.9%
0.1%
0.1%
6.8%
0.8%
0.05%
0.02%
CCC-
0.1%
0.1%
Paid Off
57.7%
36.1%
36.6%
7.6%
26.3%
32.0%
9.6%
34.5%
26.1%
19.7%
25.0%
17.3%
20.0%
64.3%
13.5%
72.7%
Withdrawn
(other)
0.2%
1.1%
0.4%
2.6%
0.4%
1.9%
1.1%
0.9%
2.8%
0.1%
0.2%
0.1%
0.3%
0.1%
1.7%
18.2%
1.6%
0.9%
29.8%
5.9%
8.3%
4.5%
7.2%
0.2%
21.7%
5.6%
30.4%
15.5%
14.4%
33.1%
14.4%
40.7%
7.2%
3.8%
0.3%
0.2%
1.0%
10.0%
3.6%
7.9%
1.0%
5.0%
0.4%
D(i) Residential mortgage backed securities ("RMBS") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
23407
1192
2739
779
970
2556
1073
1218
2550
1119
558
1379
93
96
909
45
149
3
97
231
41163
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
1.2%
1.7%
1.6%
1.0%
0.2%
0.7%
0.1%
0.1%
0.04%
0.2%
0.2%
0.5%
0.5%
0.4%
0.3%
0.4%
0.1%
0.2%
0.1%
1.2%
1.3%
1.5%
1.2%
1.2%
0.9%
0.8%
0.2%
0.1%
0.2%
0.1%
0.1%
0.1%
0.5%
0.4%
0.4%
0.2%
0.05%
0.2%
0.2%
4.1%
7.2%
3.2%
5.5%
2.7%
1.6%
0.7%
0.8%
0.5%
0.2%
0.7%
0.8%
0.01%
0.02%
0.1%
0.1%
0.1%
0.3%
0.2%
4.4%
2.7%
2.6%
1.7%
2.0%
0.8%
0.7%
0.6%
1.1%
0.5%
1.8%
0.3%
1.1%
0.02%
0.1%
0.1%
0.04%
0.8%
0.5%
0.2%
0.1%
0.2%
0.2%
0.6%
0.2%
0.4%
0.4%
0.4%
0.2%
0.1%
BB+
0.04%
0.1%
0.2%
0.1%
0.1%
0.2%
0.3%
0.1%
0.1%
0.2%
0.5%
0.7%
0.3%
BB
6.0%
9.5%
6.6%
4.5%
2.9%
2.1%
1.3%
1.2%
1.0%
0.6%
0.5%
0.8%
1.1%
7.3%
0.6%
4.4%
0.1%
2.2%
0.1%
0.7%
0.7%
3.4%
0.7%
2.7%
1.0%
1.0%
BB-
B+
0.1%
0.04%
0.1%
0.04%
0.1%
0.4%
B
B-
3.0%
7.1%
8.5%
6.7%
4.9%
3.5%
3.3%
1.4%
0.9%
0.9%
0.2%
0.9%
0.01%
0.1%
0.04%
0.1%
0.1%
0.1%
0.2%
0.2%
CCC+
CCC
2.1%
6.2%
8.3%
11.2%
11.2%
9.5%
8.6%
5.5%
2.2%
1.6%
0.7%
1.4%
1.1%
0.3%
0.4%
2.0%
5.4%
33.3%
2.1%
0.4%
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
1.8%
3.3%
4.6%
7.1%
8.6%
8.6%
12.6%
11.2%
6.0%
5.5%
3.0%
1.1%
3.2%
1.0%
0.4%
3.6%
2.9%
3.5%
3.0%
5.2%
4.4%
5.3%
5.1%
4.2%
5.1%
2.2%
2.5%
2.2%
2.1%
1.3%
4.4%
21.6%
27.8%
34.0%
39.7%
41.6%
47.1%
49.3%
57.1%
60.6%
59.4%
74.6%
75.2%
64.5%
71.9%
87.7%
53.3%
40.8%
26.0%
21.7%
15.7%
15.1%
16.2%
12.3%
12.6%
18.6%
15.0%
9.5%
9.9%
15.1%
8.3%
4.4%
11.1%
9.9%
3.5%
2.8%
1.8%
2.1%
2.4%
4.0%
2.8%
2.9%
10.4%
6.1%
6.3%
11.8%
9.4%
3.9%
24.4%
2.0%
66.7%
4.1%
0.4%
20.1%
38.3%
13.4%
11.4%
25.8%
16.0%
55.7%
66.2%
3.1%
4.3%
7.2%
12.6%
D(ii) Commercial mortgage backed securities ("CMBS") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
1914
10
152
186
16
299
268
48
168
284
31
267
88
2
237
71
86.0%
251
0.4%
AA+
AA
60.0%
20.0%
70.4%
3.2%
6.3%
2.3%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
0.1%
9.2%
9.0%
1.1%
75.0%
0.3%
5.4%
0.4%
2.6%
0.4%
66.9%
4.5%
4.2%
13.1%
2.1%
2.0%
92.2%
4.1%
0.8%
0.3%
0.4%
93.8%
5.4%
2.1%
55.4%
1.4%
6.4%
1.3%
1.7%
4.2%
0.7%
90.5%
0.7%
1.1%
90.3%
0.4%
0.4%
68.5%
1.1%
1.9%
100.0%
0.4%
3.2%
226
433
4951
16.1%
4.9%
9.7%
13.5%
1.1%
1.1%
0.4%
4.6%
1.4%
1.3%
2.8%
0.4%
0.8%
13.9%
4.2%
11.2%
62.2%
5.6%
2.4%
4.0%
9.6%
0.8%
6.2%
0.5%
66.4%
0.5%
16.4%
59.6%
5.3%
38.3%
4.4%
0.9%
0.9%
0.2%
65.8%
91.5%
0.8%
0.6%
96.6%
8.4%
Withdrawn
(other)
13.9%
20.0%
16.4%
2.2%
18.8%
19.1%
3.0%
3.9%
93.5%
Paid Off
0.4%
D(ii) Commercial mortgage backed securities ("CMBS") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1657
23
213
84
18
336
128
55
248
212
32
324
24
11
290
49
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
55.0%
4.3%
5.6%
13.0%
0.5%
8.7%
39.9%
7.1%
5.6%
2.1%
11.1%
4.2%
1.6%
7.3%
4.4%
2.8%
AA-
A+
A
A-
BBB+
0.6%
8.7%
4.7%
58.3%
2.4%
27.8%
0.6%
39.3%
11.7%
5.5%
6.9%
4.7%
BBB
2.7%
68.8%
4.3%
9.1%
6.6%
4.1%
0.7%
9.1%
2.4%
4.1%
2.4%
2.0%
2.0%
2.2%
0.3%
0.3%
366
679
5209
0.1%
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
0.6%
54.5%
4.0%
0.4%
48.1%
3.1%
0.3%
4.2%
0.3%
2.0%
0.3%
12.7%
0.4%
34.4%
0.3%
0.8%
0.4%
1.9%
0.9%
0.3%
2.5%
7.6%
2.0%
2.1%
8.2%
1.7%
9.1%
2.4%
4.1%
0.3%
5.2%
2.8%
31.5%
9.1%
4.5%
8.2%
0.8%
3.1%
3.7%
0.3%
50.0%
9.1%
0.3%
2.0%
31.7%
2.0%
0.3%
26.5%
Paid Off
44.3%
65.2%
48.4%
32.1%
55.6%
49.7%
16.4%
16.4%
52.0%
34.9%
50.0%
44.1%
45.8%
54.5%
34.8%
34.7%
0.8%
0.3%
1.5%
BB
0.5%
4.3%
460
BB+
0.1%
1.8%
21.8%
2.8%
3.1%
4.0%
0.4%
1.4%
BBB-
1.6%
1.9%
Withdrawn
(other)
0.5%
0.6%
0.8%
1.8%
0.8%
0.5%
6.3%
1.2%
2.1%
5.9%
7.6%
27.6%
8.7%
5.7%
7.8%
27.8%
3.3%
0.5%
0.1%
1.4%
0.4%
6.0%
0.4%
31.1%
0.6%
19.1%
29.3%
30.6%
62.2%
8.7%
3.1%
1.6%
3.7%
D(ii) Commercial mortgage backed securities ("CMBS") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
3139
165
440
210
173
420
242
299
455
419
236
285
177
172
200
202
1
43
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
1.1%
0.6%
0.9%
2.9%
0.6%
1.4%
3.7%
4.0%
2.0%
2.1%
4.2%
2.1%
2.3%
1.7%
1.5%
0.5%
AA+
AA
AA-
0.3%
1.8%
0.2%
5.9%
1.0%
0.6%
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
0.03%
0.6%
0.2%
0.6%
0.6%
1.6%
1.9%
1.2%
4.0%
0.8%
1.7%
1.1%
0.7%
0.8%
0.4%
2.3%
1.2%
1.0%
0.5%
0.03%
0.1%
0.1%
0.03%
0.6%
0.03%
0.03%
0.2%
1.9%
0.6%
0.2%
0.9%
0.5%
0.3%
0.6%
1.8%
1.4%
2.9%
1.0%
2.9%
0.7%
1.5%
0.5%
1.7%
2.5%
1.7%
4.1%
1.0%
1.5%
0.5%
0.6%
0.5%
0.2%
0.4%
0.6%
0.8%
2.3%
0.5%
0.6%
2.4%
0.8%
1.0%
2.2%
1.0%
0.4%
1.8%
1.1%
1.2%
1.0%
0.5%
0.4%
0.5%
0.6%
0.6%
0.5%
B+
0.5%
B
0.4%
1.2%
0.9%
1.4%
1.7%
1.7%
2.1%
2.3%
0.9%
0.2%
1.3%
0.4%
1.7%
1.7%
1.5%
B-
CCC+
CCC
CCC-
0.4%
1.8%
2.0%
2.9%
2.9%
1.9%
3.3%
3.7%
3.1%
3.1%
1.3%
0.7%
0.6%
0.6%
1.5%
1.0%
0.5%
0.4%
Withdrawn
(other)
CC
C
Default
Paid Off
0.2%
1.2%
1.6%
3.3%
1.7%
2.1%
2.5%
2.0%
2.4%
1.4%
3.0%
2.5%
2.3%
1.2%
1.5%
0.1%
1.2%
2.5%
6.7%
2.9%
4.3%
7.4%
3.0%
2.6%
2.9%
1.7%
5.3%
3.4%
2.3%
4.0%
3.0%
0.9%
1.8%
8.4%
7.1%
5.2%
13.1%
16.5%
24.1%
26.8%
35.8%
50.0%
50.9%
67.8%
70.3%
71.5%
80.7%
16.7%
81.4%
78.7%
87.9%
70.9%
66.7%
77.5%
66.2%
57.9%
54.8%
54.9%
50.1%
34.7%
29.5%
15.8%
15.1%
14.0%
10.4%
100.0%
18.6%
85.7%
83.9%
7.1%
12.9%
7.1%
3.2%
14
31
7323
1.4%
1.0%
1.2%
0.7%
0.8%
0.3%
1.8%
1.7%
0.8%
3.9%
2.5%
1.0%
D(iii) Collateralized loan obligations ("CLOs") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
AAA
AA+
AA
537
43
90
86.2%
2.3%
5.6%
95.3%
1.1%
82.2%
22
69
6
16
82
6
12
80
5
2
24
61
4.5%
1.4%
6
3
2
1066
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
1.4%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
13.8%
2.3%
11.1%
77.3%
4.3%
16.7%
85.5%
16.7%
12.5%
7.3%
18.2%
7.2%
66.7%
75.0%
7.3%
16.7%
79.3%
33.3%
3.8%
12.5%
6.1%
50.0%
91.7%
5.0%
20.0%
85.0%
20.0%
8.3%
8.3%
6.3%
20.0%
50.0%
4.2%
8.2%
40.0%
50.0%
20.8%
3.3%
62.5%
1.6%
4.2%
86.9%
16.7%
16.7%
33.3%
100.0%
100.0%
33.3%
Withdrawn
(other)
D(iii) Collateralized loan obligations ("CLOs") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
132
4
42
1
1
43
4
4
46
6
2
37
4
2
28
18
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
47.0%
25.0%
14.3%
0.8%
50.0%
7.0%
2.2%
AA
AA-
A+
40.5%
2.4%
2.3%
7.0%
25.0%
4.3%
A
A-
100.0%
37.2%
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
4.7%
Paid Off
Withdrawn
(other)
51.5%
25.0%
42.9%
100.0%
0.8%
39.5%
2.3%
25.0%
28.3%
16.7%
25.0%
4.3%
75.0%
50.0%
8.7%
16.7%
13.0%
5.4%
34.8%
33.3%
4.3%
33.3%
100.0%
10.8%
25.0%
10.8%
40.5%
25.0%
50.0%
7.1%
5.6%
16.7%
11.1%
32.4%
25.0%
50.0%
42.9%
16.7%
11.1%
22.2%
55.6%
75.0%
100.0%
25.0%
25.0%
17.9%
16.7%
17.9%
11.1%
10.7%
22.2%
9
11.1%
4
5
392
3.6%
D(iii) Collateralized loan obligations ("CLOs") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
132
6
48
6
14
75
21
16
128
6
4
41
10
7
6
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
4.5%
8.3%
2.1%
2.1%
2.7%
4.0%
1.3%
4.0%
5.3%
4.8%
6.3%
0.8%
0.8%
3.1%
1.6%
2.4%
4.9%
4.9%
14.3%
2.4%
0.8%
7.8%
4.9%
19.5%
14.3%
71.4%
66.7%
2
3
2
527
Paid Off
Withdrawn
(other)
92.4%
100.0%
85.4%
100.0%
92.9%
77.3%
90.5%
81.3%
57.0%
66.7%
100.0%
56.1%
90.0%
3.0%
4.9%
10.0%
16.7%
16.7%
2.1%
7.1%
5.3%
4.8%
12.5%
28.1%
33.3%
100.0%
33.3%
33.3%
50.0%
33.3%
50.0%
D(iv) Collateralized debt obligations ("CDOs") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
56
32
31
3
17
84
12
23
80
13
14
94
3
4
85
11
AAA
AA+
AA
16.1%
37.5%
3.2%
6.3%
67.7%
2.4%
5.9%
1.2%
5.9%
6.0%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
91.1%
70.6%
8.3%
1.3%
1.3%
66.7%
16.7%
4.3%
7.5%
7.7%
1.2%
66.7%
4.3%
69.6%
1.1%
5.0%
Withdrawn
(other)
3.1%
92.3%
7.1%
1.1%
4.3%
77.5%
Paid Off
8.9%
53.1%
12.9%
33.3%
17.6%
22.6%
8.3%
17.4%
7.5%
66.7%
7.4%
28.6%
7.4%
1.2%
3.5%
35.7%
1.1%
14.3%
71.3%
50.0%
17.6%
9.1%
108
95
855
1620
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
0.9%
1.1%
33.3%
3.2%
33.3%
7.1%
6.4%
33.3%
7.1%
8.2%
2.4%
9.1%
50.0%
1.2%
2.8%
2.1%
62.4%
18.2%
63.6%
3.5%
13.0%
0.9%
2.1%
0.2%
72.2%
3.7%
7.4%
0.5%
74.7%
2.0%
6.5%
1.1%
92.7%
1.1%
3.2%
9.5%
0.8%
2.1%
0.6%
D(iv) Collateralized debt obligations ("CDOs") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
56
20
39
36
25
120
12
13
138
26
21
104
5
6
120
13
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
75.0%
15.0%
33.3%
20.5%
3.3%
5.6%
16.0%
0.8%
2.8%
10.8%
0.7%
24.0%
0.8%
16.7%
35.0%
1.4%
7.7%
10.9%
3.8%
0.8%
33.3%
2.2%
4.8%
1.9%
2.9%
0.8%
159
167
1181
2261
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
0.8%
0.6%
1.2%
3.8%
0.6%
0.1%
2.5%
38.5%
7.2%
7.7%
31.9%
7.7%
9.5%
14.4%
1.7%
7.7%
0.6%
0.8%
1.4%
30.8%
9.5%
5.1%
7.7%
9.5%
1.0%
0.8%
23.8%
36.5%
33.3%
15.8%
15.4%
1.0%
1.0%
2.9%
7.7%
16.7%
21.7%
15.4%
16.7%
0.8%
15.4%
2.5%
7.7%
2.5%
18.9%
5.7%
19.2%
2.2%
26.3%
3.3%
1.7%
1.9%
7.5%
19.5%
0.6%
2.4%
0.5%
3.6%
0.5%
1.0%
9.0%
66.0%
Paid Off
25.0%
80.0%
46.2%
88.9%
48.0%
45.0%
50.0%
46.2%
39.1%
46.2%
38.1%
37.5%
100.0%
33.3%
52.5%
30.8%
Withdrawn
(other)
5.0%
2.8%
12.0%
3.8%
4.8%
0.8%
3.8%
34.0%
1.3%
6.6%
9.8%
29.3%
2.2%
1.2%
15.4%
D(iv) Collateralized debt obligations ("CDOs") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1645
142
466
123
125
404
221
127
450
104
91
143
56
36
57
31
5
24
6
52
62
4370
AAA
AA+
AA
1.5%
0.2%
1.2%
0.7%
1.1%
AA-
1.6%
A+
1.6%
A
A-
BBB+
BBB
BBB-
BB+
3.0%
0.7%
0.6%
0.2%
0.3%
2.7%
4.2%
0.4%
0.8%
0.1%
0.1%
0.8%
1.6%
0.2%
1.6%
0.4%
1.0%
1.0%
7
25
3
1
36
BB-
B+
0.1%
0.8%
0.2%
0.2%
3.6%
0.8%
2.1%
3.0%
0.8%
1.6%
0.2%
0.9%
0.8%
0.2%
1.0%
0.2%
1.0%
3.3%
1.8%
2.8%
B
B-
0.8%
0.2%
0.5%
2.5%
1.8%
0.8%
0.2%
0.4%
2.2%
0.7%
0.7%
CCC+
CCC
1.0%
1.4%
3.6%
1.6%
2.4%
2.2%
1.8%
1.3%
2.9%
1.1%
CCC-
CC
C
Default
Paid Off
0.7%
1.4%
2.6%
6.0%
2.1%
9.2%
6.5%
9.6%
30.4%
32.1%
26.0%
34.4%
26.9%
19.8%
26.6%
14.3%
16.7%
24.6%
16.1%
20.0%
25.0%
16.7%
7.7%
6.5%
14.1%
13.4%
27.5%
26.0%
13.6%
15.3%
23.5%
18.1%
17.3%
23.1%
20.9%
25.2%
25.0%
36.1%
31.6%
35.5%
20.0%
33.3%
55.6%
62.7%
36.3%
49.6%
55.2%
30.0%
28.1%
42.5%
24.4%
30.8%
37.4%
31.5%
50.0%
36.1%
29.8%
35.5%
60.0%
25.0%
50.0%
11.5%
11.3%
0.8%
3.2%
3.2%
3.1%
1.1%
3.8%
1.1%
0.7%
3.6%
3.5%
1.8%
6.5%
33.3%
(December 31, 2015 through December 31, 2016)
F1+
F1
F2
F3
B
C
TOTAL
0.2%
BB
1.4%
Credit Ratings as of
12/31/2015
# of Ratings
Outstanding
0.8%
0.5%
D(v) Asset-backed commercial paper ("ABCP") - 1-Year Transition and Default Rates
Credit
Rating
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
F1+
F1
F2
F3
B
C
100.0%
100.0%
100.0%
100.0%
Defaults
Paid Off
Withdrawn
(other)
59.6%
71.0%
Withdrawn
(other)
10.4%
13.4%
11.6%
13.0%
10.4%
14.9%
8.1%
7.1%
19.8%
8.7%
14.3%
13.3%
5.4%
8.3%
8.8%
6.5%
16.7%
21.2%
11.3%
D(v) Asset-backed commercial paper ("ABCP") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2015)
Credit Ratings as of
12/31/2013
Credit
Rating
F1+
F1
F2
F3
B
C
TOTAL
# of Ratings
Outstanding
16
35
1
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
F1+
F1
F2
31.3%
5.7%
12.5%
62.9%
6.3%
2.9%
100.0%
F3
B
1
53
C
Defaults
Paid Off
Withdrawn
(other)
37.5%
22.9%
12.5%
5.7%
100.0%
D(v) Asset-backed commercial paper ("ABCP") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
F1+
F1
F2
F3
B
C
TOTAL
# of Ratings
Outstanding
55
71
3
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
F1+
F1
7.3%
2.8%
9.1%
12.7%
F2
F3
B
C
Defaults
1.8%
Paid Off
Withdrawn
(other)
50.9%
22.5%
66.7%
30.9%
62.0%
33.3%
129
D(vi) Other asset-backed securities ("other ABS") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1841
36
318
31
187
708
117
198
257
46
26
76
34
14
64
60
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
72.0%
16.7%
14.5%
3.2%
0.5%
1.0%
AA+
63.9%
1.6%
2.1%
AA
0.8%
5.6%
60.1%
12.9%
7.5%
15.5%
0.4%
AA-
67.7%
0.5%
0.1%
0.9%
A+
71.1%
0.4%
1.7%
0.5%
0.8%
A
A-
BBB+
BBB
BBB-
BB+
BB
0.7%
0.2%
0.5%
0.6%
0.3%
0.6%
2.8%
0.6%
71.6%
4.3%
1.2%
68.9%
0.9%
0.5%
7.8%
4.3%
0.1%
86.3%
4.0%
0.4%
BB-
B+
B
B-
0.7%
2.8%
0.6%
6.5%
0.5%
0.4%
0.1%
CCC+
CCC
CCC-
CC
C
1.3%
56.5%
7.7%
5.3%
7.1%
50.0%
3.8%
56.6%
7.1%
4.7%
0.8%
1.3%
5.9%
21.4%
3.9%
26.6%
10
10.0%
21
62
4106
9.5%
1.6%
16.7%
Withdrawn
(other)
6.3%
6.7%
5.0%
50.0%
10.0%
20.0%
10.0%
19.0%
4.8%
4.8%
16.1%
0.1%
15.4%
2.6%
61.8%
Paid Off
22.6%
11.1%
20.1%
9.7%
8.0%
9.9%
10.3%
3.0%
13.6%
10.9%
7.7%
19.7%
5.9%
14.3%
6.3%
3.3%
24.7%
0.4%
Default
66.7%
1.6%
77.4%
2.5%
1.6%
9.6%
67.2%
3.1%
23.9%
15.4%
9.2%
26.5%
50.0%
54.7%
68.3%
D(vi) Other asset-backed securities ("other ABS") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
1745
33
231
50
147
626
36
160
378
56
33
90
29
12
90
52
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
42.6%
6.1%
7.8%
18.2%
2.7%
3.5%
2.8%
6.0%
0.7%
1.6%
AA
AA-
0.9%
15.2%
22.9%
10.0%
19.7%
11.5%
5.6%
36.0%
1.9%
0.3%
A+
A
A-
BBB+
1.0%
BBB
BBB-
BB+
0.2%
2.6%
1.1%
40.6%
22.2%
7.9%
7.1%
BB-
B+
0.5%
1.7%
2.0%
34.0%
2.6%
2.8%
BB
B
B-
0.7%
3.0%
0.1%
CCC+
CCC
CCC-
CC
C
Default
0.9%
4.5%
25.0%
8.8%
0.3%
10.0%
0.2%
8.8%
1.9%
1.1%
0.7%
2.2%
2.8%
2.5%
23.0%
3.6%
3.0%
4.4%
8.3%
2.2%
0.3%
1.8%
6.1%
1.4%
0.2%
2.8%
0.2%
1.1%
3.6%
0.3%
3.6%
15.2%
22.2%
6.1%
1.1%
44.8%
4.0%
2.0%
0.3%
2.8%
0.8%
0.3%
1.8%
1.1%
3.6%
2.2%
1.1%
1.1%
10.0%
1.9%
2.2%
3.3%
26.7%
20.0%
19.2%
15
6.7%
20
75
3878
5.0%
1.3%
55.0%
1.3%
5.0%
62.7%
4.0%
Paid Off
Withdrawn
(other)
52.7%
45.5%
64.5%
42.0%
36.7%
34.3%
33.3%
33.1%
48.7%
60.7%
36.4%
47.8%
3.4%
8.3%
30.0%
46.2%
1.4%
12.1%
2.2%
46.9%
8.2%
14.3%
33.3%
8.9%
51.7%
83.3%
51.1%
32.7%
40.0%
6.7%
30.0%
5.3%
5.0%
25.3%
2.0%
D(vi) Other asset-backed securities ("other ABS") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
3568
38
203
40
175
578
46
96
528
71
31
81
30
7
30
10
38
1
27
120
5718
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
A
A-
8.2%
2.6%
0.5%
0.7%
2.6%
4.4%
0.1%
0.1%
7.9%
1.4%
18.4%
3.0%
0.2%
0.3%
2.9%
1.1%
1.7%
4.3%
BBB+
BBB
2.6%
0.7%
2.6%
1.5%
1.1%
3.1%
BBB-
BB+
BB
2.1%
0.5%
2.6%
0.5%
5.0%
1.1%
1.0%
1.0%
2.7%
0.2%
0.6%
BB-
B+
0.3%
B
B-
0.3%
5.3%
0.1%
CCC+
CCC
CCC-
CC
C
0.3%
0.3%
7.9%
2.5%
0.9%
0.3%
0.3%
0.5%
1.1%
1.9%
0.9%
0.2%
2.1%
0.2%
0.8%
0.4%
2.1%
2.8%
6.5%
1.2%
1.2%
1.2%
2.5%
Default
0.4%
1.4%
3.2%
3.7%
20.0%
3.3%
23.3%
0.8%
0.8%
0.8%
13.2%
100.0%
37.0%
45.0%
Paid Off
Withdrawn
(other)
74.4%
47.4%
81.8%
95.0%
93.1%
80.1%
89.1%
88.5%
70.5%
70.4%
77.4%
69.1%
70.0%
42.9%
23.3%
50.0%
12.8%
1.7%
4.3%
6.5%
6.3%
23.9%
25.4%
12.9%
21.0%
10.0%
57.1%
50.0%
50.0%
15.8%
71.1%
2.5%
63.0%
50.0%
5.9%
D(vii) Other Structured Finance Products ("other SFPs") - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
421
7
81
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
28.6%
2.5%
88.9%
33.3%
50.0%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
83.6%
1.2%
6
38
1
6
14
3
2
Paid Off
13.8%
3.7%
Withdrawn
(other)
2.6%
71.4%
3.7%
16.7%
2.6%
16.7%
86.8%
100.0%
33.3%
7.1%
10.5%
16.7%
16.7%
21.4%
100.0%
7.1%
42.9%
50.0%
16.7%
21.4%
50.0%
1
100.0%
2
2
100.0%
50.0%
50.0%
584
D(vii) Other Structured Finance Products ("other SFPs") - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
414
10
50
5
4
35
1
10
4
2
2
4
541
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
63.5%
20.0%
2.0%
20.0%
AA+
AA
20.0%
20.0%
60.0%
20.0%
25.0%
5.7%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
32.1%
25.0%
2.9%
10.0%
10.0%
16.0%
71.4%
2.9%
5.7%
Withdrawn
(other)
4.3%
30.0%
12.0%
60.0%
50.0%
11.4%
100.0%
10.0%
10.0%
50.0%
10.0%
30.0%
50.0%
50.0%
40.0%
50.0%
25.0%
100.0%
25.0%
25.0%
25.0%
D(vii) Other Structured Finance Products ("other SFPs") - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
330
3
23
1
41
12
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
22.1%
0.3%
AA
AA-
A+
A
A-
0.9%
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
0.3%
Paid Off
61.5%
52.2%
21.7%
43.9%
16.7%
1
48.8%
83.3%
Withdrawn
(other)
14.8%
100.0%
26.1%
100.0%
7.3%
100.0%
1
100.0%
4
100.0%
2
100.0%
1
2
421
100.0%
100.0%
E(i) Sovereign issuers - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
24
5
10
3
6
5
6
9
4
16
5
5
9
13
11
2
3
136
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
95.8%
4.2%
60.0%
AA
40.0%
80.0%
AA-
20.0%
100.0%
16.7%
A+
83.3%
20.0%
A
80.0%
16.7%
A-
BBB+
BBB
83.3%
11.1%
66.7%
22.2%
100.0%
6.3%
BBB-
BB+
81.3%
20.0%
12.5%
40.0%
BB
40.0%
80.0%
BB-
B+
20.0%
55.6%
23.1%
44.4%
61.5%
B
B-
7.7%
72.7%
50.0%
18.2%
50.0%
33.3%
CCC+
CCC
CCC-
CC
C
Default
7.7%
9.1%
66.7%
Paid Off
Withdrawn
(other)
E(i) Sovereign issuers - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
25
6
5
5
7
4
2
10
10
12
6
1
13
7
9
4
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
92.0%
8.0%
33.3%
AA
66.7%
80.0%
AA-
20.0%
80.0%
14.3%
A+
A
71.4%
25.0%
14.3%
75.0%
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
20.0%
10.0%
100.0%
30.0%
10.0%
40.0%
20.0%
20.0%
20.0%
8.3%
30.0%
83.3%
16.7%
10.0%
8.3%
33.3%
10.0%
50.0%
100.0%
7.7%
30.8%
14.3%
22.2%
25.0%
53.8%
14.3%
22.2%
1
7.7%
14.3%
44.4%
25.0%
14.3%
11.1%
14.3%
28.6%
25.0%
25.0%
100.0%
1
100.0%
128
E(i) Sovereign issuers - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
27
5
4
4
5
9
4
7
6
3
6
5
10
6
7
7
2
117
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
70.4%
40.0%
11.1%
11.1%
20.0%
20.0%
A+
A
3.7%
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
3.7%
20.0%
25.0%
25.0%
A-
25.0%
25.0%
25.0%
25.0%
50.0%
80.0%
20.0%
55.6%
25.0%
11.1%
14.3%
22.2%
50.0%
14.3%
11.1%
25.0%
14.3%
16.7%
16.7%
16.7%
16.7%
20.0%
42.9%
50.0%
66.7%
20.0%
20.0%
16.7%
14.3%
16.7%
40.0%
33.3%
33.3%
20.0%
16.7%
20.0%
40.0%
14.3%
14.3%
28.6%
14.3%
16.7%
10.0%
33.3%
14.3%
16.7%
14.3%
10.0%
16.7%
14.3%
14.3%
16.7%
28.6%
42.9%
100.0%
E(ii) U.S. Public Finance - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
422
453
590
654
450
323
225
158
125
115
56
40
23
10
15
7
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
84.8%
6.4%
0.8%
2.8%
87.0%
9.5%
2.0%
0.4%
0.3%
3.8%
83.6%
9.9%
2.2%
0.9%
0.2%
0.4%
2.5%
79.7%
6.7%
2.8%
1.3%
A+
2.9%
80.9%
7.1%
3.6%
1.9%
A
0.2%
2.2%
80.8%
5.8%
0.6%
2.4%
0.9%
A-
0.2%
0.9%
2.8%
79.1%
8.2%
4.0%
4.3%
BBB+
0.4%
0.9%
3.1%
76.6%
6.4%
0.9%
BBB
0.3%
0.4%
3.8%
74.4%
7.0%
1.8%
BBB-
1.9%
1.6%
73.9%
5.4%
10.0%
BB+
1.6%
5.2%
78.6%
2.5%
BB
1.6%
2.6%
60.0%
4.3%
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
12.1%
2.4%
3.6%
5.2%
6.2%
4.0%
6.7%
7.0%
7.2%
4.3%
10.7%
12.5%
4.3%
20.0%
6.7%
14.3%
0.8%
0.9%
12.5%
69.6%
10.0%
13.3%
1.8%
2.5%
4.3%
70.0%
6.7%
1.8%
8.7%
4.3%
4.3%
73.3%
85.7%
11
2
3679
36.4%
54.5%
50.0%
Withdrawn
(other)
9.1%
50.0%
E(ii) U.S. Public Finance - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
445
452
625
658
442
320
274
168
124
123
55
39
23
11
15
7
12
4
3797
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
73.7%
9.7%
0.8%
2.5%
76.5%
12.5%
1.7%
0.7%
0.3%
5.3%
68.3%
13.2%
2.5%
0.9%
0.2%
0.4%
5.8%
64.9%
11.5%
5.3%
1.8%
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
0.2%
6.4%
65.2%
11.3%
7.7%
0.6%
0.8%
0.8%
0.6%
3.4%
65.9%
11.3%
3.0%
0.8%
0.8%
0.5%
2.5%
3.1%
44.5%
23.2%
5.6%
3.3%
1.8%
0.9%
5.1%
45.8%
13.7%
4.9%
0.2%
0.2%
0.3%
1.8%
6.5%
42.7%
11.4%
9.1%
5.1%
4.3%
6.7%
0.2%
0.2%
0.3%
0.7%
0.6%
4.8%
49.6%
5.5%
12.8%
6.7%
0.4%
0.6%
4.0%
6.5%
52.7%
2.6%
8.7%
1.6%
3.3%
3.6%
30.8%
4.3%
9.1%
1.6%
3.6%
7.7%
39.1%
18.2%
1.8%
7.7%
36.4%
6.7%
14.3%
1.8%
5.1%
8.7%
40.0%
14.3%
2.4%
0.8%
1.8%
2.6%
4.3%
9.1%
6.7%
42.9%
6.7%
16.7%
58.3%
25.0%
75.0%
Paid Off
Withdrawn
(other)
23.6%
8.0%
12.5%
12.5%
12.9%
12.5%
26.6%
19.6%
25.8%
14.6%
18.2%
25.6%
30.4%
27.3%
26.7%
28.6%
25.0%
E(ii) U.S. Public Finance - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
255
208
480
489
614
542
329
153
170
111
22
28
9
7
8
9
2
4
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
AA-
A+
58.8%
41.8%
7.1%
2.5%
5.1%
29.8%
31.7%
13.3%
2.3%
1.3%
0.6%
1.6%
1.9%
17.1%
25.8%
15.3%
3.9%
1.5%
1.3%
1.2%
0.4%
6.0%
14.7%
23.3%
14.6%
7.3%
1.3%
0.6%
0.9%
1.7%
7.4%
12.7%
13.3%
16.1%
7.2%
4.1%
2.7%
1.2%
A
A-
BBB+
0.4%
2.5%
4.2%
12.2%
11.9%
5.9%
5.3%
0.9%
0.4%
0.2%
1.5%
3.3%
12.2%
15.0%
6.5%
7.2%
2.0%
4.0%
14.4%
8.2%
2.7%
4.5%
BBB
0.2%
0.5%
1.8%
0.9%
3.3%
2.9%
9.0%
7.1%
BBB-
0.2%
0.2%
0.2%
0.4%
0.6%
3.3%
2.4%
4.5%
9.1%
3.6%
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
32.9%
26.4%
35.0%
33.3%
39.9%
45.8%
43.8%
43.1%
58.8%
57.7%
68.2%
71.4%
66.7%
85.7%
62.5%
77.8%
100.0%
75.0%
0.4%
0.4%
0.6%
3.3%
4.1%
2.7%
9.1%
0.2%
0.2%
0.4%
0.3%
0.6%
4.5%
0.6%
3.6%
4.5%
3.6%
0.7%
0.6%
0.9%
0.2%
0.2%
0.6%
0.6%
0.9%
0.2%
0.3%
1.3%
2.9%
1.8%
4.5%
3.6%
3.6%
3.6%
3.6%
33.3%
14.3%
12.5%
25.0%
11.1%
Withdrawn
(other)
11.1%
25.0%
1
3441
100.0%
E(iii) International Public Finance - 1-Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Credit Ratings as of
12/31/2015
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
12
5
31
17
8
16
12
25
28
33
17
19
11
6
5
1
246
Other Outcomes During
12/31/2015 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
20.0%
80.0%
83.9%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
6.5%
100.0%
9.7%
100.0%
93.8%
91.7%
4.0%
76.0%
7.1%
16.0%
82.1%
3.0%
6.3%
8.3%
4.0%
10.7%
84.8%
6.1%
70.6%
6.1%
29.4%
78.9%
10.5%
81.8%
10.5%
9.1%
83.3%
9.1%
16.7%
80.0%
20.0%
100.0%
E(iii) International Public Finance - 3-Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Credit Ratings as of
12/31/2013
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
12
20
21
16
5
7
14
23
37
36
14
15
10
6
1
7
Other Outcomes During
12/31/2013 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
AA
5.0%
85.0%
52.4%
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
Paid Off
Withdrawn
(other)
100.0%
33.3%
62.5%
25.0%
60.0%
20.0%
85.7%
28.6%
57.1%
8.7%
43.5%
18.9%
2.8%
17.4%
37.8%
13.9%
24.3%
58.3%
7.1%
5.4%
2.8%
50.0%
13.3%
5.4%
11.1%
14.3%
53.3%
10.0%
10.0%
14.3%
12.5%
20.0%
14.3%
14.3%
30.4%
8.1%
8.3%
21.4%
6.7%
30.0%
50.0%
2.8%
7.1%
26.7%
30.0%
16.7%
100.0%
30.0%
33.3%
42.9%
14.3%
28.6%
14.3%
244
E(iii) International Public Finance - 10-Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Credit Ratings as of
12/31/2006
Credit
Rating
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
C
TOTAL
# of Ratings
Outstanding
32
12
22
34
15
8
4
5
4
3
2
3
3
7
3
1
158
Other Outcomes During
12/31/2006 - 12/31/2016 (%)
Credit ratings as of 12/31/2016 (%)
AAA
AA+
12.5%
AA
28.1%
33.3%
2.9%
6.7%
AA-
8.3%
9.1%
5.9%
6.7%
A+
A
3.1%
3.1%
25.0%
4.5%
4.5%
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
Default
6.3%
8.3%
4.5%
2.9%
6.7%
20.0%
25.0%
11.8%
6.7%
20.0%
25.0%
33.3%
9.1%
5.9%
13.3%
12.5%
25.0%
25.0%
33.3%
18.2%
6.7%
12.5%
40.0%
25.0%
66.7%
33.3%
33.3%
14.3%
33.3%
14.3%
Withdrawn
(other)
46.9%
25.0%
45.5%
70.6%
53.3%
62.5%
75.0%
20.0%
4.5%
12.5%
Paid Off
33.3%
14.3%
14.3%
33.3%
100.0%
33.3%
33.3%
28.6%
14.3%
33.3%
100.0%