Analysis of the rating transition matrix for the most

Analysis of the rating transition matrix for the most recent one, three, five, and ten years:
C&G Issuers Ratings 1 Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Table 1
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
twAA
91.67
1.49
8.33
97.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.49
twA
0.00
8.89
91.11
0.00
0.00
0.00
0.00
0.00
0.00
twBBB
0.00
0.00
0.00
77.78
0.00
0.00
0.00
11.11
11.11
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
C&G Issuers Ratings 3 Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Table 2
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
75.00
8.33
0.00
0.00
0.00
0.00
0.00
0.00
16.67
twAA
0.00
93.55
1.61
0.00
0.00
0.00
0.00
0.00
4.84
twA
0.00
17.39
73.91
0.00
0.00
0.00
0.00
0.00
8.70
twBBB
0.00
0.00
0.00
77.78
0.00
0.00
0.00
11.11
11.11
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
C&G Issuers Ratings 5 Year Transition and Default Rates
(December 31, 2011 through December 31, 2016)
Table 3
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
72.73
9.09
0.00
0.00
0.00
0.00
0.00
0.00
18.18
twAA
1.79
89.29
1.79
0.00
0.00
0.00
0.00
0.00
7.14
twA
0.00
20.83
58.33
0.00
0.00
0.00
0.00
2.08
18.75
twBBB
0.00
7.14
0.00
50.00
0.00
0.00
0.00
0.00
42.86
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
C&G Issuers Ratings 10 Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Table 4
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
30.00
twAA
50.00
twA
0.00
twBBB
0.00
twBB
0.00
twB
0.00
twCCC/C
0.00
D
0.00
Not Rated
20.00
twAA
4.26
78.72
0.00
0.00
0.00
0.00
0.00
0.00
17.02
twA
0.00
23.08
46.15
3.85
0.00
0.00
0.00
1.92
25.00
twBBB
0.00
0.00
0.00
27.78
0.00
0.00
0.00
16.67
55.56
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
42.86
57.14
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twAAA
Money Market Fund Ratings 1 Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Table 5
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAAf
twAAf
twAf
twBBBf
twBBf
twBf
twCCC/Cf Not Rated
twAAAf
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twAAf
0.00
95.83
0.00
0.00
0.00
0.00
0.00
4.17
twAf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/Cf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Money Market Fund Ratings 3 Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Table 6
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAAf
twAAf
twAf
twBBBf
twBBf
twBf
twCCC/Cf Not Rated
twAAAf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twAAf
3.57
78.57
0.00
0.00
0.00
0.00
0.00
17.86
twAf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/Cf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Money Market Fund Ratings 5 Year Transition and Default Rates
(December 31, 2011 through December 31, 2016)
Table 7
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAAf
twAAf
twAf
twBBBf
twBBf
twBf
twCCC/Cf Not Rated
twAAAf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twAAf
3.45
75.86
0.00
0.00
0.00
0.00
0.00
20.69
twAf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/Cf
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SF Issuers Ratings 1 Year Transition and Default Rates
(December 31, 2015 through December 31, 2016)
Table 8
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
00.00
twAA
0.00
50.00
0.00
0.00
0.00
0.00
0.00
0.00
50.00
twA
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
twBBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SF Issuers Ratings 3 Year Transition and Default Rates
(December 31, 2013 through December 31, 2016)
Table 9
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
16.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
83.33
twAA
0.00
25.00
0.00
0.00
0.00
0.00
0.00
0.00
75.00
twA
0.00
00.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
twBBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SF Issuers Ratings 5 Year Transition and Default Rates
(December 31, 2011 through December 31, 2016)
Table 10
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
9.09
0.00
0.00
0.00
0.00
0.00
0.00
0.00
90.01
twAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
twA
0.00
16.67
0.00
0.00
0.00
0.00
0.00
0.00
83.33
twBBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
SF Issuers Ratings 10 Year Transition and Default Rates
(December 31, 2006 through December 31, 2016)
Table 11
Credit Ratings as of 12/31/2016 (Percent)
Credit Rating
twAAA
twAA
twA
twBBB
twBB
twB
twCCC/C
D
Not Rated
twAAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
7.69
92.31
twAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.00
90.00
twA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
9.09
90.91
twBBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.00
90.00
twBB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twB
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
twCCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00