# EDGAR Filing Document

**Accession Number:** 0001651011
**File Stem:** 0001104659-23-040039
**Filing Date:** 2023-3
**Character Count:** 157818
**Document Hash:** 53caeddfdf7c0b09d6cc0be4a446e7ce
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-23-040039.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001104659-23-040039

**CONFORMED SUBMISSION TYPE**: NRSRO-CE

**PUBLIC DOCUMENT COUNT**: 9

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DBRS, Inc.
- **CENTRAL INDEX KEY:** 0001651011
- **IRS NUMBER:** 200381928
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NRSRO-CE
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 110-00122
- **FILM NUMBER:** 23786182

**BUSINESS ADDRESS:**
- **STREET 1:** 140 BROADWAY 35TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10005
- **BUSINESS PHONE:** 212-806-3277

**MAIL ADDRESS:**
- **STREET 1:** 140 BROADWAY 35TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10005

### Attached PDF Documents

**Attachment 1:** `a23-11123_2nrsroce.pdf`

# APPLICATION FOR REGISTRATION AS A
NATIONALLY RECOGNIZED
STATISTICAL RATING ORGANIZATION (NRSRO)

☐ INITIAL APPLICATION
☐ APPLICATION TO ADD CLASS
OF CREDIT RATINGS
☐ APPLICATION SUPPLEMENT
Items and/or Exhibits Supplemented:
☑ ANNUAL CERTIFICATION
☐ UPDATE OF REGISTRATION
Items and/or Exhibits Amended:
☐ WITHDRAWAL FROM REGISTRATION

Important: Refer to Form NRSRO Instructions for General Instructions, Item-by-Item Instructions, an Explanation of Terms, and the Disclosure Reporting Page (NRSRO). "You" and "your" mean the person filing or furnishing, as applicable, this Form NRSRO. "Applicant" and "NRSRO" mean the person filing or furnishing, as applicable, this Form NRSRO and any credit rating affiliate identified in Item 3.

1. A. Your full name:

DBRS, Inc.

B. (i) Name under which your credit rating business is primarily conducted, if different from Item 1A:
DBRS

(ii) Any other name under which your credit rating business is conducted and where it is used (other than the name of a credit rating affiliate identified in Item 3):

DBRS Morningstar Credit Ratings or DBRS Morningstar may be used in external communications.

C. Address of your principal office (do not use a P.O. Box):

| 140 Broadway | New York | NY | 10005 |
| --- | --- | --- | --- |
| (Number and Street) | (City) | (State/Country) | (Zip/Postal Code) |

D. Mailing address, if different:

| None | None | None | None |
| --- | --- | --- | --- |
| (Number and Street) | (City) | (State/Country) | (Zip/Postal Code) |

E. Contact person (See Instructions):

| Detlef Scholz | President, DBRS, Inc. |  |  |
| --- | --- | --- | --- |
| (Name and Title) |  |  |  |
| 140 Broadway, 43rd Fl. | New York | NY | 10005 |
| (Number and Street) | (City) | (State/Country) | (Zip/Postal Code) |

CERTIFICATION:

The undersigned has executed this Form NRSRO on behalf of, and on the authority of, the Applicant/NRSRO. The undersigned, on behalf of the Applicant/NRSRO, represents that the information and statements contained in this Form, including Exhibits and attachments, all of which are part of this Form, are accurate in all significant respects. If

2

this is an ANNUAL CERTIFICATION, the undersigned, on behalf of the NRSRO, represents that the NRSRO's application on Form NRSRO, as amended, is accurate in all significant respects.

3/22/2023

DBRS, Inc.

(Date)

(Name of the Applicant/NRSRO)

By:

Detlef Scholz

(Signature)

Detlef Scholz, President

(Print Name and Title)

2. A. Your legal status:

☑ Corporation ☐ Limited Liability Company ☐ Partnership ☐ Other (specify) _________

B. Month and day of your fiscal year end: 12/31

C. Place and date of your formation (i.e., state or country where you were incorporated, where your partnership agreement was filed, or where you otherwise were formed):

State/Country of formation: Delaware Date of formation: 8/21/03

3. Your credit rating affiliates (See Instructions):

Item 3 is attached and made part of this Form NRSRO.

(Name)

(Address)

(Name)

(Address)

(Name)

(Address)

(Name)

(Address)

(Name)

(Address)

4. The designated compliance officer of the Applicant/NRSRO (See Instructions):

Guy Calo

U.S. Regional Compliance Officer

(Name and Title)

140 Broadway, 43 Fl.

New York

NY

10005

(Number and Street)

(City)

(State/Country)

(Postal Code)

5. Describe in detail how this Form NRSRO and Exhibits 1 through 9 to this Form NRSRO will be made publicly and freely available on an easily accessible portion of the corporate Internet website of the Applicant/NRSRO (See Instructions):

This information is available free of charge for DBRS, Inc., DBRS Limited, DBRS Ratings Limited

and DBRS Ratings GmbH at https://www.dbrsmorningstar.com/regulatory/.

6. COMPLETE ITEM 6 ONLY IF THIS IS AN INITIAL APPLICATION, APPLICATION SUPPLEMENT, OR APPLICATION TO ADD A CLASS OF CREDIT RATINGS.

A. Indicate below the classes of credit ratings for which the Applicant/NRSRO is applying to be registered. For each class, indicate the approximate number of obligors, securities, and money market instruments in that class as of the date of this application for which the Applicant/NRSRO has an outstanding credit rating and the approximate date the Applicant/NRSRO began issuing credit ratings as a "credit rating agency" in that class on a continuous basis through the present (See Instructions):

3

| Class of credit ratings | Applying for registration | Approximate number currently outstanding | Approximate date issuance commenced |
| --- | --- | --- | --- |
| financial institutions as that term is defined in section 3(a)(46) of the Exchange Act (15 U.S.C. 78c(a)(46)), brokers as that term is defined in section 3(a)(4) of the Exchange Act (15 U.S.C. 78c(a)(4)), and dealers as that term is defined in section 3(a)(5) of the Exchange Act (15 U.S.C. 78c(a)(5)) | ☐ |  |  |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☐ |  |  |
| corporate issuers | ☐ |  |  |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☐ |  |  |
| issuers of government securities as that term is defined in section 3(a)(42) of the Exchange Act (15 U.S.C. 78c(a)(42)), municipal securities as that term is defined in section 3(a)(29) of the Exchange Act (15 U.S.C. 78c(a)(29)), and foreign government securities | ☐ |  |  |

B. Briefly describe how the Applicant/NRSRO makes the credit ratings in the classes indicated in Item 6A readily accessible for free or for a reasonable fee (See Instructions):

C. Check the applicable box and attach certifications from qualified institutional buyers, if required (See Instructions):

☐ The Applicant/NRSRO is attaching _______ certifications from qualified institutional buyers to this application. Each is marked "Certification from Qualified Institutional Buyer."
☐ The Applicant/NRSRO is exempt from the requirement to file certifications from qualified institutional buyers pursuant to section 15E(a)(1)(D) of the Exchange Act.

Note: You are not required to make a Certification from a Qualified Institutional Buyer filed with this Form NRSRO publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep these certifications confidential by marking each page "Confidential Treatment" and complying with Commission rules governing confidential treatment. The Commission will keep the certifications confidential upon request to the extent permitted by law.

4

# **7. DO NOT COMPLETE ITEM 7 IF THIS IS AN INITIAL APPLICATION.**

**A.** Indicate below the classes of credit ratings for which the NRSRO is currently registered. For each class, indicate the approximate number of obligors, securities, and money market instruments in that class for which the NRSRO had an outstanding credit rating as of the most recent calendar year end and the approximate date the NRSRO began issuing credit ratings as a 'credit rating agency' in that class on a continuous basis through the present (See Instructions):

| Class of credit rating | Currently registered | Approximate number outstanding as of the most recent calendar year end | Approximate date issuance commenced |
| --- | --- | --- | --- |
| financial institutions as that term is defined in section 3(a)(46) of the Exchange Act (15 U.S.C. 78c(a)(46)), brokers as that term is defined in section 3(a)(4) of the Exchange Act (15 U.S.C. 78c(a)(4)), and dealers as that term is defined in section 3(a)(5) of the Exchange Act (15 U.S.C. 78c(a)(5)) | ☑ | 8,179 | 1976 |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☑ | 190 | 1981 |
| corporate issuers | ☑ | 2,515 | 1976 |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☑ | 18,712 | 1989 |
| issuers of government securities as that term is defined in section 3(a)(42) of the Act (15 U.S.C. 78c(a)(42)), municipal securities as that term is defined in section 3(a)(29) of the Exchange Act (15 U.S.C. 78c(a)(29)), and foreign government securities | ☑ | 33,009 | 1987 |

**B.** Briefly describe how the NRSRO makes the credit ratings in the classes indicated in Item 7A readily accessible for free or for a reasonable fee (See Instructions):

Item 7(b) is attached and made part of this Form NRSRO.

**8. Answer each question.** Provide information that relates to a 'Yes' answer on a Disclosure Reporting Page (NRSRO) and submit the Disclosure Reporting Page with this Form NRSRO (See Instructions). You are not required to make any disclosure reporting pages submitted with this Form publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep any disclosure reporting pages confidential by marking each page 'Confidential Treatment' and complying with Commission rules governing confidential treatment. The Commission will keep the disclosure reporting pages confidential upon request to the extent permitted by law.

5

|  | YES | NO |
| --- | --- | --- |
| A. Has the Applicant/NRSRO or any person within the Applicant/NRSRO committed or omitted any act, or been subject to an order or finding, enumerated in subparagraphs (A), (D), (E), (G), or (H) of section 15(b)(4) of the Securities Exchange Act of 1934, been convicted of any offense specified in section 15(b)(4)(B) of the Securities Exchange Act of 1934, or been enjoined from any action, conduct, or practice specified in section 15(b)(4)(C) of the Securities Exchange Act of 1934 in the ten years preceding the date of the initial application of the Applicant/NRSRO for registration as an NRSRO or at any time thereafter? | ☑ | ☐ |
| B. Has the Applicant/NRSRO or any person within the Applicant/NRSRO been convicted of any crime that is punishable by imprisonment for 1 or more years, and that is not described in section 15(b)(4) of the Securities Exchange Act of 1934, or been convicted of a substantially equivalent crime by a foreign court of competent jurisdiction in the ten years preceding the date of the initial application of the Applicant/NRSRO for registration as an NRSRO or at any time thereafter? | ☐ | ☑ |
| C. Is any person within the Applicant/NRSRO subject to any order of the Commission barring or suspending the right of the person to be associated with an NRSRO? | ☐ | ☑ |

### 9. Exhibits (See Instructions).

| Exhibit 1. Credit ratings performance measurement statistics. ☑ Exhibit 1 is attached and made a part of this Form NRSRO. |
| --- |
| Exhibit 2. A description of the procedures and methodologies used in determining credit ratings. ☑ Exhibit 2 is attached and made a part of Form NRSRO. |
| Exhibit 3. Policies or procedures adopted and implemented to prevent the misuse of material, nonpublic information. ☑ Exhibit 3 is attached and made a part of this Form NRSRO. |
| Exhibit 4. Organizational structure. ☑ Exhibit 4 is attached to and made a part of this Form NRSRO. |
| Exhibit 5. The code of ethics or a statement of the reasons why a code of ethics is not in effect. ☑ Exhibit 5 is attached to and made a part of this Form NRSRO. |
| Exhibit 6. Identification of conflicts of interests relating to the issuance of credit ratings. ☑ Exhibit 6 is attached to and made a part of this Form NRSRO. |
| Exhibit 7. Policies and procedures to address and manage conflicts of interest. ☑ Exhibit 7 is attached to and made a part of this Form NRSRO. |

6

**Exhibit 8.** Certain information regarding the credit rating agency's credit analysts and credit analyst supervisors.

Exhibit 8 is attached to and made a part of this Form NRSRO.

**Exhibit 9.** Certain information regarding the credit rating agency's designated compliance officer.

Exhibit 9 is attached to and made a part of this Form NRSRO.

**Exhibit 10.** A list of the largest users of credit rating services by the amount of net revenue earned from the user during the fiscal year ending immediately before the date of the initial application.

Exhibit 10 is attached to and made a part of this Form NRSRO.

**Note:** You are not required to make this Exhibit publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep this Exhibit confidential by marking each page 'Confidential Treatment' and complying with Commission rules governing confidential treatment. The Commission will keep the information and documents in the Exhibit confidential upon request to the extent permitted by law.

**Exhibit 11.** Audited financial statements for each of the three fiscal or calendar years ending immediately before the date of the initial application.

Exhibit 11 is attached to and made a part of this Form NRSRO.

**Note:** You are not required to make this Exhibit publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep this Exhibit confidential by marking each page 'Confidential Treatment' and complying with Commission rules governing confidential treatment. The Commission will keep the information and documents in the Exhibit confidential upon request to the extent permitted by law.

**Exhibit 12.** Information regarding revenues for the fiscal or calendar year ending immediately before the date of the initial application.

Exhibit 12 is attached to and made a part of this Form NRSRO.

**Note:** You are not required to make this Exhibit publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep this Exhibit confidential by marking each page 'Confidential Treatment' and complying with Commission rules governing confidential treatment. The Commission will keep the information and documents in the Exhibit confidential upon request to the extent permitted by law.

**Exhibit 13.** The total and median annual compensation of credit analysts.

Exhibit 13 is attached and made a part of this Form NRSRO.

**Note:** You are not required to make this Exhibit publicly available on your corporate Internet website pursuant to Exchange Act Rule 17g-1(i). You may request that the Commission keep this Exhibit confidential by marking each page 'Confidential Treatment' and complying with Commission rules governing confidential treatment. The Commission will keep the information and documents in the Exhibit confidential upon request to the extent permitted by law.

7

# DBRS FORM NRSRO

## ITEM 3

| Credit Rating Affiliate | Address |
| --- | --- |
| DBRS Limited | 181 University Avenue Suite 700 Toronto, ON M5H 3M7 |
| DBRS Ratings Limited | 20 Fenchurch Street 31 st Floor London EC3M 3BY |
| DBRS Ratings GmbH | Neue Mainzer Straße 75 60311 Frankfurt am Main Germany |

# DBRS FORM NRSRO

## ITEM 7(B)

With the exception of private ratings and ratings for certain private placement transactions, DBRS, Inc. ('DBRS') distributes its ratings publicly at no cost through its website, https://www.dbrsmorningstar.com/.

These ratings are also publicly distributed through Bloomberg, Thomson Reuters, First Call, and other electronic and print service providers.

## DISCLOSURE REPORTING PAGE (NRSRO)

This Disclosure Reporting Page (DRP) is to be used to provide information concerning affirmative responses to Item 8 of Form NRSRO.

Submit a separate DRP for each person that: (a) has committed or omitted any act, or been subject to an order or finding, enumerated in subparagraphs (A), (D), (E), (G), or (H) of section 15(b)(4) of the Securities Exchange Act of 1934, has been convicted of any offense specified in section 15(b)(4)(B) of the Securities Exchange Act of 1934, or has been enjoined from any action, conduct, or practice specified in section 15(b)(4)(C) of the Securities Exchange Act of 1934; (b) has been convicted of any crime that is punishable by imprisonment for 1 or more years, and that is not described in section 15(b)(4) of the Securities Exchange Act of 1934, or has been convicted of a substantially equivalent crime by a foreign court of competent jurisdiction; or (c) is subject to any order of the Commission barring or suspending the right of the person to be associated with an NRSRO.

Name of Applicant/NRSRO

DBRS, Inc.

Date

9/21/2021

Check Item being responded to:

☑ Item 8A

☐ Item 8B

☐ Item 8C

Full name of the person for whom this DRP is being submitted:

DBRS, Inc.

If this DRP provides information relating to a "Yes" answer to Item 8A, describe the act(s) that was (were) committed or omitted; or the order(s) or finding(s); or the injunction(s) (provide the relevant statute(s) or regulation(s)) and provide jurisdiction(s) and date(s):

Please see Exchange Act Release No. 92952 (September 13, 2021)

If this DRP provides information relating to a "Yes" answer to Item 8B, describe the crime(s) and provide jurisdiction(s) and date(s):

N/A

If this DRP provides information relating to a "Yes" answer to Item 8C, attach the relevant Commission order(s) and provide the date(s):

N/A

37

# Exhibit 3 - Material Changes  
Form NRSRO - Annual Certification  
March 2023

![img-0.jpeg](img-0.jpeg)

This list reflects material changes made to the information or documents in DBRS Morningstar’s Form NRSRO during the previous calendar year.

# **Exhibit 1**

Exhibit 1 was updated to reflect the 1, 3 and 10 year transition and default table for asset backed commercial paper short term ratings.

# **Exhibit 4**

Exhibit 4 was updated to reflect (1) the addition of a branch office to DBRS Morningstar’s German affiliate, DBRS Ratings GmbH, (2) the consolidation of the Global Financial Institutions and Sovereign Ratings Group and Global Corporate Ratings Group under a single Fundamental Credit Ratings Group, (3) the separation of the Global Head of Risk and Audit into two separate roles, (4) and reporting line changes corresponding to items 2 and 3, above, as well as the Independent Review Function and Credit Practices Group.

\*\*\*\*\*

In addition, DBRS Morningstar’s Form NRSRO and its exhibits were updated to remove information related to Morningstar Credit Ratings, LLC.

1

**Attachment 2:** `a23-11123_2ex99de1nrsro.pdf`

# Exhibit 1 - Transition/Default Rates  
Form NRSRO - Annual Certification  
March 2023

![img-0.jpeg](img-0.jpeg)

This Exhibit includes the 2022 transition and default rates for the DBRS Morningstar Group of Companies$^{1}$(DBRS Morningstar) for a 1-year, 3-year, and 10-year time period in each class of ratings for which DBRS Morningstar was registered as an NRSRO through the most recent calendar year end.

Following the transition and default rates are: (1) descriptions of each symbol, number, or score in the rating scale used to denote a credit rating category and notches within a category for each class and subclass of credit ratings in the DBRS Morningstar transition/default matrices, as applicable, (2) an explanation of the conditions under which DBRS Morningstar classifies obligors, securities, or money market instruments as being in default, and (3) the uniform resource locator (URL) of DBRS Morningstar’s corporate Internet website where DBRS Morningstar’s credit rating history is required to be disclosed pursuant to 17 CFR 17g-7(b).

$^{1}$ The DBRS Morningstar Group of Companies is comprised of DBRS, Inc., DBRS Limited, DBRS Ratings Limited and DBRS Ratings GmbH.

1

OBBS Morningstar

Financial Institutions - 1-Year Transition and Default Rates (December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021-12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 7 |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 15 |  | 6.67% | 99.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 26 |  |  | 7.69% | 99.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 35 |  |  |  | 12.43% | 98.75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.46% |
| A | 15 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 31 |  |  |  |  |  | 6.45% | 95.87% | 6.45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.23% |
| BBB (high) | 24 |  |  |  |  |  |  | 4.17% | 99.83% | 4.17% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 20 |  |  |  |  |  |  |  | 20.00% | 98.75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 27 |  |  |  |  |  |  |  |  | 18.52% | 86.49% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 11 |  |  |  |  |  |  |  |  |  | 9.09% | 72.73% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18.18% |
| BB | 2 |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 3 |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.00% |
| B (high) | 4 |  |  |  |  |  |  |  |  |  |  |  |  | 25.00% | 75.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.00% | 90.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 231 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

2

OBBS Morningstar

Financial Institutions - 3-Year Transition and Default Rates (December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019-12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 8 |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 16 |  |  | 66.75% | 6.25% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 22 |  |  | 9.09% | 89.91% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 30 |  |  |  | 18.33% | 86.19% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.33% |
| A | 19 |  |  |  |  | 35.58% | 57.69% | 5.26% | 5.26% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 27 |  |  |  |  |  | 11.22% | 55.87% | 14.81% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.95% |
| BBB (high) | 17 |  |  |  |  |  |  |  | 88.59% | 5.88% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.88% |
| BBB | 11 |  |  |  |  |  |  |  | 27.27% | 84.57% |  | 0.08% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.09% |
| BBB (low) | 23 |  |  |  |  |  |  |  | 26.00% | 89.13% | 8.30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 26.09% |
| BB (high) | 7 |  |  |  |  |  |  |  |  |  | 75.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.57% |
| BB | 10 |  |  |  |  |  |  |  |  | 10.00% |  | 30.00% | 30.00% |  |  | 30.00% |  |  |  |  |  |  |  |  |  |  |  |  | 30.00% |
| BB (low) | 3 |  |  |  |  |  |  |  |  |  |  |  |  | 84.67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| B (high) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  | 84.67% |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| B | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 196 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

3

OBRS Morningstar

Financial Institutions - 10-Year Transition and Default Rates (December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012-12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 1 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 1 |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 20 |  | 25.00% | 30.00% | 10.00% |  | 5.00% |  | 5.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.00% |
| AA (low) | 19 |  |  | 33.58% | 47.97% | 65.79% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.26% |
| A (high) | 20 |  |  |  | 25.00% | 30.00% | 5.00% | 0.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.00% | 10.00% |
| A | 23 |  |  |  | 8.10% | 30.43% | 8.10% | 4.10% | 4.10% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.10% | 39.13% |
| A (low) | 19 |  |  |  |  | 5.26% | 25.00% | 26.25% |  | 16.50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 38.84% |
| BBB (high) | 12 |  |  |  |  |  | 8.10% | 33.33% | 8.10% | 8.10% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 41.67% |
| BBB | 7 |  |  |  |  |  | 28.57% |  | 24.29% | 32.79% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 42.86% |
| BBB (low) | 9 |  |  |  |  |  |  | 33.33% |  | 11.11% | 36.11% |  |  |  |  | 11.11% |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| BB (high) | 2 |  |  |  |  |  |  |  |  | 50.00% |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| BB (low) | 3 |  |  |  |  |  |  |  |  | 33.33% | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| B (high) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 46.67% |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 141 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

4

OBRS Morningstar

Insurance Companies - 1-Year Transition and Default Rates (December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 4 |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 3 |  |  | 33.33% | 66.67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 0 |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 10 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 4 |  |  |  |  |  | 25.00% | 75.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 2 |  |  |  |  |  |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 5 |  |  |  |  |  |  |  | 20.00% | 80.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 1 |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 41 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

5

OBRS Morningstar

Insurance Companies - 3-Year Transition and Default Rates (December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 3 |  |  | 83.67% | 83.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 7 |  |  |  | 24.29% | 86.71% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 8 |  |  |  |  | 25.00% | 75.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 4 |  |  |  |  |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 1 |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 28 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

6

OBRS Morningstar

Insurance Companies - 10-Year Transition and Default Rates (December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 5 |  |  | 40.00% |  | 40.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 2 |  |  |  | 50.00% |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 1 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 1 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 14 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

7

OBRS Morningstar

Corporate Issuers - 1-Year Transition and Default Rates (December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021-12/31/2022 (Percent) |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 13 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 12 |  |  |  |  | 36.67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.53% |  |  |
| A | 26 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 51 |  |  |  |  |  | 2.06% | 54.12% | 2.04% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.96% |  |  |
| BBB (high) | 49 |  |  |  |  |  |  | 6.12% | 25.53% | 10.20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.04% |  |  |
| BBB | 82 |  |  |  |  |  |  |  | 2.64% | 50.07% | 6.46% |  |  |  |  |  |  | 1.20% |  |  |  |  |  |  |  |  |  |  | 4.88% |  |  |
| BBB (low) | 19 |  |  |  |  |  |  |  |  | 8.47% | 36.45% | 3.34% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.69% |  |  |
| BB (high) | 13 |  |  |  |  |  |  |  |  |  |  | 36.31% | 4.20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 7 |  |  |  |  |  |  |  |  |  |  | 14.35% | 81.73% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 6 |  |  |  |  |  |  |  |  |  |  |  |  | 22.50% | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  | 16.67% |  |  |  |
| B (high) | 32 |  |  |  |  |  |  |  |  |  |  |  | 3.85% | 1.92% | 65.38% | 9.62% |  |  |  |  |  |  |  |  |  |  |  | 1.92% | 17.31% |  |  |
| B | 85 |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.33% | 76.67% | 9.28% |  |  | 1.18% |  |  |  |  |  |  |  | 2.35% | 3.53% |  |  |
| B (low) | 32 |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.13% | 21.84% | 73.13% |  |  | 1.13% |  |  |  |  |  |  | 6.25% |  | 32.50% |  |  |
| CCC (high) | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.00% | 33.33% |  |  |  |  |  |  |  |  |  |  | 16.67% |  |  |
| CCC | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.00% |  |  |  |  |  |  |  |  |  | 25.00% | 25.00% |  |  |
| CCC (low) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 36.67% |  |  |  |  |  |  |  |  |  | 33.33% |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 500 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

8

OBRS Morningstar

Corporate Issuers - 3-Year Transition and Default Rates (December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019-12/31/2022 (Percent) |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 4 |  |  | 25.00% | 25.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 6 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 12 |  |  |  | 8.33% | 80.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.33% |
| A | 26 |  |  |  |  | 3.85% | 78.00% | 11.54% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.69% |
| A (low) | 50 |  |  |  |  |  | 4.00% | 76.00% | 6.00% |  | 4.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.00% |
| BBB (high) | 40 |  |  |  |  |  |  | 12.50% | 10.50% | 22.50% |  |  | 2.50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.00% |
| BBB | 64 |  |  |  |  |  |  |  | 15.68% | 12.85% | 47.85% | 4.69% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.13% |
| BBB (low) | 15 |  |  |  |  |  |  |  |  | 18.18% | 40.17% | 4.04% | 5.45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.00% |
| BB (high) | 4 |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 5 |  |  |  |  |  |  |  |  |  |  | 20.00% | 80.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 6 |  |  |  |  |  |  |  |  |  |  |  |  | 13.17% | 16.42% |  |  | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| B (high) | 22 |  |  |  |  |  |  |  |  |  |  |  |  | 4.33% | 36.36% | 5.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.00% |
| B | 29 |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.34% | 31.13% | 32.50% |  |  | 3.45% |  |  |  |  |  |  |  |  |  |  | 3.45% |
| B (low) | 14 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.14% | 25.00% |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.14% |
| CCC (high) | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.00% | 20.00% |  | 20.00% |  |  |  |  |  |  |  |  |  |  | 20.00% |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 368 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

9

# **DRRS Morningstar**

| Credit Ratings as of 12/31/2021 |  | RMBS: One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | B(high) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Allow Other |  |  |  |  |  |
| AAA | 5733 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA(high) | 389 | 23% | 39% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA | 586 | 17% | 38% | 34% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA(low) | 208 | 12% | 9% | 23% | 26% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |  |  |
| A(high) | 334 | 3% | 5% | 22% | 18% | 46% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| A | 595 |  | 6% | 16% | 9% | 13% | 32% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| A(low) | 284 | 1% | 4% | 14% | 13% | 10% | 9% | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| BBB(high) | 369 |  | 6% | 2% | 5% | 18% | 14% | 12% | 37% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |  |  |
| BBB | 700 |  | 4% | 2% | 2% | 6% | 16% | 9% | 32% | 47% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| BBB(low) | 458 |  |  | 6% |  |  | 12% | 4% | 11% | 3% | 44% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |  |  |
| BB(high) | 457 |  |  |  |  |  | 10% | 15% | 6% | 14% | 10% | 39% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |  |  |
| BB | 548 |  |  |  | 5% |  | 2% | 4% | 16% | 13% | 8% | 10% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| BB(low) | 241 |  |  |  |  |  |  |  | 30% | 8% | 7% | 10% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| B(high) | 245 |  |  |  |  |  |  |  |  | 4% | 11% | 21% | 30% | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| B | 439 |  |  |  |  |  |  |  |  | 2% | 12% | 30% | 20% | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| B(low) | 139 |  |  |  |  |  |  |  |  | 1% | 1% | 12% | 3% | 13% | 46% |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| CCC(high) | 2 |  |  |  |  |  |  |  |  | 20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| CCC | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |  |  |
| CCC(low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 3661 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 15355 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

10

# **QBRS Morningstar**

| Credit Ratings as of 12/31/2019 |  | RMBS: Three Year Transition - December 31 2019 - December 31 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(high) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | Withdrawn Other |  |  |  |  |  |  |
| AAA | 3080 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |  |
| AA(high) | 286 | 43% | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA | 379 | 33% | 29% | 15% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA(low) | 110 | 25% | 10% | 30% | 20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |  |  |
| A(high) | 185 | 10% | 7% | 31% | 8% | 41% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |  |  |
| A | 344 | 5% | 6% | 27% | 13% | 8% | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |  |  |
| A(low) | 98 | 7% | 2% | 15% | 1% | 5% | 17% | 44% |  | 2% |  |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |  |  |
| BBB(high) | 185 | 2% | 1% | 3% | 8% | 20% | 14% | 8% | 31% | 1% |  |  | 1% |  | 1% |  |  |  |  | 1% |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| BBB | 523 | 4% |  | 2% | 5% | 13% | 17% | 3% | 9% | 37% |  |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |  |  |
| BBB(low) | 130 | 3% | 6% | 1% | 8% |  | 10% | 2% | 9% | 8% | 37% | 3% | 3% |  |  |  |  |  | 1% | 1% |  |  |  |  |  |  |  |  |  | 8% |  |  |  |  |  |
| BB(high) | 211 | 1% | 13% | 3% | 3% | 1% | 4% | 2% | 8% | 11% | 7% | 34% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |  |  |  |
| BB | 300 |  | 13% | 6% | 1% |  | 1% | 2% | 9% | 12% | 7% | 17% | 33% |  |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| BB(low) | 108 |  |  |  | 1% | 11% | 37% |  | 2% |  | 2% | 1% | 6% | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8% |  |  |  |  |  |
| B(high) | 205 |  |  |  |  | 9% | 9% | 9% | 7% |  |  | 5% | 14% | 7% | 39% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |  |  |  |
| B | 271 |  |  |  |  |  |  | 1% | 4% | 2% | 8% | 9% | 7% | 9% | 42% | 2% |  |  |  |  |  |  |  |  |  | 4% |  |  |  | 4% |  |  |  |  |  |
| B(low) | 64 |  |  | 3% |  |  |  | 1% |  | 2% |  | 1% | 2% | 1% | 6% | 78% |  |  |  |  |  |  |  | 3% |  | 3% |  |  |  | 4% |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 9 |  |  |  |  |  | 21% |  |  |  |  | 11% |  |  |  | 11% |  |  | 44% | 11% |  |  | 11% |  |  |  |  |  |  | 2% |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 3717 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 10006 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

11

# **QBRS Morningstar**

| Credit Ratings as of 12/31/2012 |  | M&RS Ten-Year Transition - December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(light) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(light) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Allow Other |  |  |  |  |  |
| AAA | 54 | 34% | 3% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |  |  |
| AA(high) | 20 | 10% | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 38 | 18% | 2% | 18% |  | 7% |  | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |  |
| AA(low) | 23 |  |  | 28% | 23% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |
| A(high) | 19 | 21% |  |  |  | 28% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |
| A | 53 | 18% | 1% | 7% |  |  | 54% |  |  | 5% | 1% |  | 1% |  | 3% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |  |  |
| A(low) | 27 |  |  |  |  |  |  | 30% | 3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |
| BBB(high) | 28 |  |  |  |  |  |  |  | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  | 2% |  |  |  |  |
| BBB | 64 | 1% | 1% |  | 1% | 1% | 1% | 1% | 7% | 25% | 1% | 3% | 3% | 1% | 3% | 4% | 1% |  |  |  |  |  |  |  |  | 1% |  |  |  | 7% |  |  |  |  |
| BBB(low) | 39 |  |  |  |  |  | 2% |  |  |  | 32% |  |  |  |  | 2% |  |  |  |  |  |  |  |  |  | 2% |  |  |  | 2% |  |  |  |  |
| BB(high) | 31 |  |  |  |  | 3% |  |  |  |  |  | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |
| BB | 61 | 4% |  | 4% |  | 4% | 3% | 1% | 1% |  |  | 1% | 33% |  | 1% |  |  |  |  |  |  |  |  |  |  | 11% |  |  |  | 7% |  |  |  |  |
| BB(low) | 24 |  |  |  |  |  |  |  |  |  |  |  | 26% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 28 |  |  |  |  |  |  |  |  |  | 3% |  |  | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |
| B | 97 | 3% | 1% | 1% | 2% |  | 4% | 3% |  |  |  | 4% |  |  | 10% |  |  |  |  |  |  |  |  |  |  | 8% |  |  |  | 1% |  |  |  |  |
| B(low) | 39 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 3909 |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |  |  |  |  |  | 32% |  |  |  | 7% |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 4534 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

12

QBRS Morningstar

| Credit Ratings as of 12/31/2021 |  | QBRS, One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(light) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(light) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | Withdrawn/ Other |  |  |  |
| AAA | 2981 | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |
| AA(high) | 204 | 8% | 98% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| AA | 329 | 10% | 9% | 97% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| AA(low) | 306 | 1% | 2% | 7% | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| A(high) | 216 | 1% | 1% | 4% | 5% | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| A | 237 | 1% |  | 2% | 6% | 2% | 92% | 6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |
| A(low) | 378 |  |  | 1% | 1% | 5% | 4% | 92% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| BBB(high) | 169 | 1% | 1% | 1% | 1% | 1% | 2% | 3% | 91% | 3% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |
| BBB | 276 | 1% |  | 1% |  |  | 1% |  | 7% | 86% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| BBB(low) | 436 |  |  |  |  |  |  |  | 1% | 2% | 95% | 3% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |
| BB(high) | 134 |  |  |  |  |  |  |  |  | 5% | 99% | 4% |  |  |  |  | 2% |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |
| BB | 184 |  |  |  |  |  |  |  | 1% | 1% | 2% | 95% | 5% | 2% | 2% |  |  | 1% |  |  |  |  |  |  | 1% |  |  |  | 5% |  |  |  |
| BB(low) | 263 | 1% |  |  |  |  |  | 2% |  |  |  | 5% | 93% | 8% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |  |
| B(high) | 145 |  |  |  |  |  |  | 1% |  |  |  |  | 7% | 77% | 6% | 2% |  | 2% |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |
| B | 167 | 1% |  |  |  |  |  |  |  |  |  |  | 1% | 2% | 59% | 8% |  | 4% |  |  |  |  |  |  | 1% |  |  |  | 4% |  |  |  |
| B(low) | 205 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 94% |  | 9% |  |  |  |  |  |  | 2% |  |  |  | 5% |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 73 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  | 52% |  |  |  |  |  |  | 36% |  | 1% |  | 2% |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 80 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |  |  |  | 91% |  | 6% |  | 1% |  |  |  |
| Total | 4143 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

13

OBRS Morningstar

| Credit Ratings as of 12/31/2019 |  | CMRS: Three Year Transition, December 31 2019 - December 31 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | A(high) | A | A(low) | B(B) (high) | B(B) | B(B) (low) | B(B) (igh) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | Withdrawn Other |  |  |  |  |  |
| AAA | 1583 | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |
| AA(high) | 115 | 9% | 80% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |  |  |
| AA | 237 | 11% | 8% | 75% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |  |  |
| AA(low) | 191 | 7% | 5% | 24% | 61% | 6% | 2% | 2% |  |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  | 3% |  |  |  |  |  |
| A(high) | 119 | 5% |  | 5% | 9% | 26% | 3% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| A | 157 | 4% | 2% | 3% | 3% | 4% | 71% | 5% | 1% |  |  | 1% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |  |  |  |
| A(low) | 219 |  | 1% |  | 1% | 7% | 8% | 68% | 4% | 2% | 1% |  |  |  |  |  |  |  |  | 1% |  |  |  |  |  |  |  |  | 7% |  |  |  |  |  |
| BBB(high) | 122 | 4% |  | 4% | 1% | 1% | 3% | 4% | 64% | 5% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  | 9% |  |  |  |  |  |
| BBB | 199 | 3% |  | 1% | 1% |  | 1% |  | 7% | 69% | 5% | 2% | 1% | 1% |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  | 7% |  |  |  |  |  |
| BBB(low) | 262 | 1% |  |  | 1% |  | 1% |  | 2% | 3% | 67% | 4% | 4% | 1% | 1% |  |  |  |  | 3% |  |  |  |  |  | 3% |  |  | 7% |  |  |  |  |  |
| BB(high) | 92 |  |  | 1% |  |  | 1% |  | 1% |  | 2% | 59% | 9% | 5% | 7% | 4% | 4% |  |  | 3% |  |  |  |  |  | 1% |  |  | 8% |  |  |  |  |  |
| BB | 156 | 1% |  |  | 1% |  |  |  |  | 1% | 3% | 3% | 55% | 6% | 7% | 6% | 3% |  |  | 3% |  |  |  |  |  | 7% |  |  | 6% |  |  |  |  |  |
| BB(low) | 146 |  |  |  |  |  |  |  |  |  |  | 1% | 1% | 55% | 8% | 8% | 7% |  |  | 4% |  |  |  |  |  | 4% |  |  | 7% |  |  |  |  |  |
| B(high) | 101 |  |  |  |  |  |  | 1% |  |  |  |  |  | 3% | 60% | 11% | 6% |  |  | 3% |  |  |  |  |  | 9% |  |  | 9% |  |  |  |  |  |
| B | 122 |  |  |  |  |  |  |  |  |  |  |  |  | 2% | 4% | 59% | 9% |  |  | 15% |  |  |  |  |  | 11% |  |  | 6% |  |  |  |  |  |
| B(low) | 107 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 58% |  |  | 19% |  |  |  |  |  | 20% |  |  | 3% |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20% |  |  |  |  |  |  | 80% |  | 10% |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 11 | 9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 81% |  | 27% | 1% |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 3968 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

14

# **QBRS Morningstar**

| Credit Ratings as of 12/31/2012 |  | QBRS Ten-Year Franchise - December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(light) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(light) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Shows Other |  |  |  |
| AAA | 67 | 38% |  |  |  | 1% | 2% |  | 2% |  |  | 1% |  |  |  | 2% |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 8 | 37% | 12% | 17% | 12% | 12% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| AA(low) | 6 | 50% |  | 38% | 28% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| A(high) | 1 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 13 | 30% | 7% | 7% | 15% | 15% |  | 15% |  |  |  |  |  |  |  |  | 7% |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| A(low) | 5 |  | 20% |  |  | 20% | 45% |  |  | 20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) | 6 |  |  |  | 16% |  |  | 16% | 16% |  | 16% |  |  |  |  |  |  |  | 16% |  |  |  |  |  |  | 16% |  |  | 4% |  |  |  |
| BBB | 2 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) | 24 | 4% |  | 4% |  |  |  | 4% | 4% | 4% | 40% | 4% | 4% |  |  |  |  |  | 4% |  |  |  |  |  |  | 16% |  |  | 3% |  |  |  |
| BB(high) | 1 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 10 |  |  |  |  |  |  |  | 10% |  |  |  | 10% | 10% |  |  | 10% |  | 10% |  |  |  |  |  |  | 10% |  | 20% |  |  |  |  |
| BB(low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  | 10% |  |  |  | 20% |  | 30% |  |  |  |  |  |  | 40% |  | 10% |  |  |  |  |
| B(low) | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25% | 25% |  |  |  |  |  |  |  |  | 25% |  | 25% |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 6 | 18% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18% |  |  |  |  |  |  | 50% |  | 16% | 2% |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 167 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

15

# **DRRS Morningstar**

| Credit Ratings as of 12/31/2021 |  | CUC One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | B(B) (high) | B(B) | B(B) (low) | B(B)(igh) | BB | BB(low) | BB(high) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Show Other |  |  |  |
| AAA | 178 | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| AA(high) | 18 | 18% | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |
| AA | 55 | 3% | 9% | 87% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |
| AA(low) | 75 | 16% | 6% | 20% | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| A(high) | 20 |  | 10% |  | 17% | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 31 |  | 3% | 1% | 3% | 6% | 85% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| A(low) | 68 |  | 1% | 11% |  | 8% | 11% | 64% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| BBB(high) | 22 |  |  |  | 9% | 13% | 9% | 4% | 63% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| BBB | 64 |  |  |  | 1% | 1% |  | 3% | 9% | 87% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| BBB(low) | 77 |  |  |  |  |  | 3% | 7% | 3% | 9% | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |  |
| BB(high) | 11 |  |  |  |  |  |  |  |  |  | 9% | 90% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |  |
| BB | 18 |  |  |  |  |  |  | 5% |  | 11% |  | 5% | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| BB(low) | 73 |  |  |  |  |  |  | 5% | 1% | 4% | 3% | 4% | 6% | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| B(high) | 7 |  |  |  |  |  |  |  |  |  |  |  |  | 18% | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  | 10% |  | 10% | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 68 |  |  |  |  |  |  |  |  |  |  | 3% | 4% | 3% | 7% | 4% | 75% |  | 1% |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| CCC(high) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 53% |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  | 23% | 21% | 25% |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 200% |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 851 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

16

# **DRRS Morningstar**

| Credit Ratings as of 12/31/2019 |  | CLD Three Year Transition - December 31, 2019 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | B(B) (high) | B(B) | B(B) (low) | B(B)(igh) | BB | BB(low) | BB(high) | B | BB(high) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Allow Other |  |  |  |
| AAA | 62 | 95% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| AA(high) | 3 | 68% | 93% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |  |
| AA | 20 | 3% | 97% | 15% | 3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) | 24 | 41% | 8% | 18% | 27% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |  |
| A(high) | 10 | 10% | 30% |  | 10% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 12 |  | 8% | 16% | 8% | 25% | 81% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| A(low) | 23 | 4% | 4% | 14% | 4% | 8% | 15% | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| BBB(high) | 15 |  |  | 18% | 27% | 9% | 9% |  | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BBB | 14 |  |  |  | 7% |  | 7% | 21% | 57% | 45% | 7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BBB(low) | 27 | 3% |  |  |  |  | 11% | 15% | 14% | 14% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| BB(high) | 1 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 6 |  |  |  |  |  |  | 18% |  | 36% |  | 50% |  | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BB(low) | 23 |  | 4% |  |  |  |  | 4% | 8% | 8% | 8% | 15% | 47% |  |  |  |  | 4% |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 7 |  |  |  |  |  |  |  |  |  |  | 14% | 14% | 10% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| B(low) | 20 |  |  |  |  |  |  |  |  |  | 5% | 10% | 5% | 20% | 5% | 50% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) | 2 |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) | 2 |  |  |  |  |  |  |  |  |  |  |  |  | 50% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 268 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

17

QBRS Morningstar

| Credit Ratings as of 12/31/2012 |  | CUSTes Year Transition December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | With/Show Other |  |  |  |  |  |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) | 1 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) | 1 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| T(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

18

OBRS Morningstar

| Credit Ratings as of 12/31/2021 |  | CBO One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(light) | A | AA(low) | BBB (high) | BBB | BBB (low) | BBB(light) | BB | BB(low) | BB(light) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Show Other |  |  |  |  |  |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 47 |  | 40% | 14% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 3 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 5 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) | 1 |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) | 7 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 57 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

19

QBRS Morningstar

| Credit Ratings as of 12/31/2019 |  | CSO Three Year Transition - December 31, 2019 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(High) | AA | AA(low) | AA(High) | A | AA(low) | BBB (High) | BBB | BBB (Low) | BBB(High) | BB | BB(low) | BB(High) | B | BB(low) | CCC (High) | CCC | CCC (Low) | CC(High) | CC | CC(low) | C(High) | C | CC(low) | Default | Paid Off | With/Allow Other |  |  |  |  |  |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 38 |  | 20% | 10% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(High) | 3 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 5 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) | 1 |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(High) | 7 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(High) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCG(High) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 58 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

20

OBRS Morningstar

| Credit Ratings as of 12/31/2012 |  | CGS Top Year Transition - December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | With/Show Other |  |  |  |  |  |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 3 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) | 5 |  | 40% | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 5 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) | 3 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 25 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

21

# **QBRS Morningstar**

| Credit Ratings as of 12/31/2021 |  | ABCP Long Term Ratings - One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | Withdrawn/ Other |
| AAA | 8 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 16 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 1 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 16 |  |  |  |  |  | 67% | 22% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 44 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

22

OBRS Morningstar

| Credit Ratings as of 12/31/2019 |  | ABCP Long Term Ratings - Three Year Transition - December 31, 2019 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BBB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | Withdone Other |  |  |  |
| AAA | 7 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 7 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 1 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 6 |  |  |  |  |  | 85% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 24 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

23

OBRS Morningstar

| Credit Ratings as of 12/31/2012 |  | ABCP Long Term Ratings - Ten-Year Transition December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AAA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BBB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Fuel DR | BBB(Knew) Other |  |  |  |  |
| AAA | 3 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 4 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 1 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

24

DERS Morningstar

| Credit Ratings as of 12/31/2021 |  | ABCP Short Term Ratings - One Year Transition - December 31, 2021 - December 31, 2022 |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | R-1 (high) | R-1 (middle) R-1 (low) | Default | Paid Off | Withdrawn/Other |
| R-1 (high) | 25 | 100% |  |  |  |  |
| R-1 (middle) | 3 |  | 100% |  |  |  |
| R-1 (low) | 1 |  | 100% |  |  |  |
| Total | 25 |  |  |  |  |  |

25

DHRS Morningstar

| Credit Ratings as of 12/31/2019 |  | ABCF Short Term Ratings - Three Year Transition - December 31, 2019 - December 31, 2022 |  | Other Outcomes |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | R-1 (high) | R-1 (middle) | R-1 (low) | Default | Fast Off | Withdrawn Other |
| R-1 (high) | 18 | 100% |  |  |  |  |  |
| R-1 (middle) | 2 |  | 100% |  |  |  |  |
| R-1 (low) | 2 |  | 100% |  |  |  |  |

| Total | 22 |
| --- | --- |

26

DHRS Morningstar

| Credit Ratings as of 12/31/2012 |  | ARCP Short Term Ratings - Ten Year Transition - December 31, 2012 - December 31, 2022 |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | R-1 (high) | R-1 (middle) R-1 (low) | Default | Fast DR | Withdrawn Other |
| R-1 (high) | 13 | 100% |  |  |  |  |
| R-1 (middle) | 3 |  | 100% |  |  |  |
| R-1 (low) |  |  |  |  |  |  |

| Total | 16 |
| --- | --- |

27

# **QBRS Morningstar**

| Credit Ratings as of 12/31/2021 |  | Other ABS, One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(light) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(light) | B | BB(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | CC(low) | Default | Paid Off | With/Allow Other |  |  |  |
| AAA | 888 | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA(high) | 113 | 28% | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| AA | 291 | 18% | 10% | 71% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA(low) | 70 | 7% | 11% | 37% | 62% |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| A(high) | 132 | 3% | 5% | 8% | 6% | 21% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| A | 105 | 4% |  | 1% |  | 8% | 85% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| A(low) | 99 | 2% | 1% | 2% | 3% | 4% | 11% | 77% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BBB(high) | 75 | 8% |  | 2% |  | 9% | 4% | 2% | 73% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BBB | 241 | 1% |  |  |  | 2% | 8% |  | 9% | 76% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| BBB(low) | 59 |  |  |  |  |  |  | 8% | 1% | 5% | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BB(high) | 42 | 2% |  | 1% |  |  |  |  | 19% |  | 4% | 71% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BB | 107 | 2% |  |  |  |  | 1% |  |  | 8% | 1% | 1% | 81% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |
| BB(low) | 25 |  |  |  |  |  |  | 4% |  | 4% | 4% | 4% | 4% | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 17 |  |  |  |  |  |  |  |  |  |  | 23% |  | 1% | 70% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| B | 30 |  |  |  |  |  |  |  |  |  |  |  | 16% |  | 6% | 70% |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| B(low) | 15 |  |  |  |  |  |  |  |  |  | 6% |  | 6% | 13% | 13% | 13% | 86% |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 18 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 2523 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

28

OBRS Morningstar

| Credit Ratings as of 12/31/2019 |  | Other ABS Three Year Transition December 31, 2019 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(High) | AA | AA(low) | AA(High) | A | A(low) | B(B) (High) | B(B) | B(B) (Low) | B(B) (High) | B | B(B) (Low) | B(B) (High) | B | B(B) (Low) | CCC (High) | CCC | CCC (Low) | CC (High) | CC | CC (Low) | CC (High) | C | C (Low) | Default | Paid Off | With/Show Other |  |  |  |
| AAA | 359 | 38% |  | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| AA(High) | 71 | 32% | 36% | 1% |  |  | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| AA | 139 | 30% | 9% | 37% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |
| AA(low) | 34 | 23% | 5% | 23% | 47% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| A(High) | 54 | 29% | 11% | 7% | 12% | 28% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| A | 174 | 26% | 2% | 7% |  | 2% | 56% | 6% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| A(low) | 35 | 5% | 8% | 5% |  | 5% | 22% | 42% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |
| BBB(High) | 42 | 35% | 7% | 2% |  | 11% | 4% | 2% | 33% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |
| BBB | 134 | 17% | 3% | 3% | 3% | 3% | 5% | 2% | 7% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9% |  |
| BBB(low) | 24 | 4% | 4% | 8% |  |  | 15% | 4% |  |  | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| BB(High) | 23 | 30% | 8% |  | 4% |  | 4% | 8% |  |  |  | 43% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| BB | 73 | 20% |  | 4% |  | 4% | 15% | 5% | 6% | 6% |  | 4% | 38% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |
| BB(low) | 9 | 11% |  |  |  |  |  | 11% | 11% | 11% | 15% |  | 11% | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |
| B(High) | 12 |  |  |  | 8% |  |  | 8% | 8% |  |  |  | 8% | 38% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| B | 30 | 10% |  |  |  | 30% |  |  | 30% | 3% | 5% | 5% | 3% | 20% | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 7 |  |  |  |  |  |  | 14% |  |  |  |  |  |  | 14% | 71% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| CC(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CC(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(High) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 18 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 1229 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

29

OBRS Morningstar

| Credit Ratings as of 12/31/2012 |  | Other ABS Ten Year Transition - December 31, 2012 -- December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | A(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | B(high) | B | B(low) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | With/Show Other |  |  |  |  |  |
| AAA | 22 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) | 1 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 5 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) | 3 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 4 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) | 6 |  |  |  |  |  | 93% | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| BBB(high) | 1 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 6 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) | 1 |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) | 2 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 2 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 15 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 74 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

30

# **DRRS Morningstar**

| Credit Ratings as of 12/31/2021 |  | Other One Year Transition - December 31, 2021 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(high) | B | BB(high) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | CC(high) | C | C(low) | Default | Paid Off | With/Allow Other |  |  |  |  |  |
| AAA | 23 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) | 9 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 27 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) | 8 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 18 |  |  | 5% |  | 24% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| A | 29 |  |  | 33% |  |  | 36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| A(low) | 10 |  |  |  |  | 20% | 20% | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) | 15 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 56 |  |  | 3% | 1% | 3% |  | 33% | 80% | 30% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |
| BBB(low) | 15 |  |  |  |  |  |  | 13% |  |  | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |
| BB(high) | 9 |  |  |  |  |  |  | 11% | 22% |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |
| BB | 6 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) | 1 |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 231 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

Other Structured Finance contains: Insurance Premium Finance, Structured Settlements, TimeShare Loans, Healthcare Receivables, Marine Container Leases, Film Rights, Property Assessed Clean Energy (PACE) Assessments and Aircraft Leases

31

OBRS Morningstar

| Credit Ratings as of 12/31/2019 |  | Other: Three Year Transition - December 31, 2019 - December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(high) | B | BB(high) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | C(high) | C | C(low) | Default | Paid Off | With/Allow Other |  |  |  |  |  |
| AAA | 18 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA(high) | 7 | 14% | 48% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA | 11 |  | 19% | 87% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| AA(low) | 6 |  | 16% | 38% | 68% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| A(high) | 19 |  |  | 30% |  | 84% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| A | 16 |  |  | 25% |  | 12% | 92% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| A(low) | 20 |  |  | 10% |  |  | 70% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) | 16 |  |  | 32% |  |  |  |  | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BBB | 54 |  |  | 5% |  |  |  | 35% | 40% | 15% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| BBB(low) | 14 |  |  | 7% | 7% |  |  | 14% | 14% |  | 57% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BB(high) | 8 |  |  |  | 12% |  |  | 12% |  |  |  | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| BB | 11 |  |  |  | 9% |  |  |  |  |  | 36% | 9% | 85% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| BB(low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 208 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

Other Structured Finance contains: Insurance Premium Finance, Structured Settlements, Timeshare Loans, Healthcare Receivables, Marine Container Leases, Film Rights, Property Assessed Clean Energy (PACE) Assessments and Aircraft Leases

32

# **DERS Morningstar**

| Credit Ratings as of 12/31/2012 |  | Other Ten-Year Transitions - December 31, 2012 - December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Outstanding Ratings | AA | AA(high) | AA | AA(low) | AA(high) | A | A(low) | BBB (high) | BBB | BBB (low) | BB(high) | BB | BB(low) | BB(high) | B | BB(high) | CCC (high) | CCC | CCC (low) | CC(high) | CC | CC(low) | CC(high) | C | CC(high) | Default | Paid Off | With/Shows Other |  |  |  |  |  |
| AAA | 9 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(high) | 4 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 5 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA(low) | 4 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(high) | 3 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 3 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A(low) | 2 |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(high) | 5 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 6 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB(low) | 8 |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(high) | 4 |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 5 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB(low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B(low) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(high) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C(low) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 54 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

Other Structured Finance contains: Insurance Premium Finance, Structured Settlements, Timeshare Loans, Healthcare Receivables, Marine Container Leases, Film Rights, Property Assessed Clean Energy (PACE) Assessments and Aircraft Leases

33

OBRS Morningstar

Corporate Issuers - 10-Year Transition and Default Rates (December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012-12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 1 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  | 33.33% | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.33% |
| AA (low) | 3 |  |  |  | 33.33% |  | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 16 |  |  |  |  | 33.33% | 4.67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40.00% |  |
| A | 26 |  |  |  |  | 2.69% | 38.48% | 15.36% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 38.48% |
| A (low) | 54 |  |  |  |  |  | 5.56% | 10.33% | 14.43% | 9.29% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12.11% |
| BBB (high) | 29 |  |  |  |  |  |  | 10.34% | 6.90% | 13.79% | 10.34% | 6.90% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.45% |
| BBB | 50 |  |  |  |  |  |  | 2.00% | 20.00% | 22.00% | 8.00% |  | 2.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.00% |
| BBB (low) | 27 |  |  |  |  |  |  |  | 3.70% | 14.83% | 6.30% | 13.15% | 3.70% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.70% |
| BB (high) | 12 |  |  |  |  |  |  |  |  | 16.67% |  | 16.67% |  |  |  |  | 8.33% |  |  |  |  |  |  |  |  |  |  |  | 19.33% |
| BB | 8 |  |  |  |  |  |  |  |  | 12.50% |  | 13.50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 37.50% |
| BB (low) | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| B (high) | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| B | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 243 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

34

OBRS Morningstar

Sovereign Issuers - 1-Year Transition and Default Rates (December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021-12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |  |  |  |  |
| AAA | 12 | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 4 |  | 75.00% | 25.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 2 |  |  |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.00% |
| A (high) | 0 |  |  |  | 11.11% | 88.89% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 4 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| BBB (high) | 3 |  |  |  |  |  |  | 66.67% | 33.33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 4 |  |  |  |  |  |  |  |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 43 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

35

OBRS Morningstar

Sovereign Issuers - 3-Year Transition and Default Rates (December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |  |  |  |
| AAA | 18 | 86,71% | 16.29% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 2 |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 1 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 3 |  |  |  | 20.00% | 80.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 4 |  |  |  |  | 50.00% | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 1 |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 4 |  |  |  |  |  |  | 50.00% | 25.00% | 25.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 2 |  |  |  |  |  |  |  |  |  |  | 50.00% |  | 25.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 34 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

36

OBRS Morningstar

Sovereign Issuers - 10-Year Transition and Default Rates (December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |  |  |  |
| AAA | 12 | 75.00% | 75.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 1 |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.00% |
| A | 1 |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 2 |  |  |  | 50.00% |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  | 50.00% |  |  |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 2 |  |  |  |  |  |  |  |  |  | 50.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.00% |
| BB (high) | 1 |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 21 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

37

OBRS Morningstar

United States Public Finance - 1-Year Transition and Default Rates (December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 1 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 1 |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 2 |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

38

OBRS Morningstar

United States Public Finance - 3-Year Transition and Default Rates (December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |  |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

39

OBRS Morningstar

United States Public Finance - 10-Year Transition and Default Rates (December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012-12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA (high) | AA | AA (low) | A (high) | A | A (low) | BBB (high) | BBB | BBB (low) | BB (high) | BB | BB (low) | B (high) | B | B (low) | CCC (high) | CCC | CCC (low) | CC (high) | CC | CC (low) | C (high) | C | C (low) | Default | Paid Off | Withdrawn (other) |  |  |  |  |  |
| AAA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA (low) | 1 |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (high) | 1 |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB (low) | 2 |  |  |  |  |  |  |  |  |  | 100.00% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (high) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C (low) | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

40

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