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
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