# EDGAR Filing Document

**Accession Number:** 0001652282
**File Stem:** 0001104659-23-039029
**Filing Date:** 2023-3
**Character Count:** 271055
**Document Hash:** 01f1df38c98566c6e9c4ffdf3d09af2f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-23-039029.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001104659-23-039029

**CONFORMED SUBMISSION TYPE**: NRSRO-CE

**PUBLIC DOCUMENT COUNT**: 10

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FITCH RATINGS, INC.
- **CENTRAL INDEX KEY:** 0001652282
- **IRS NUMBER:** 133974563
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NRSRO-CE
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 110-00124
- **FILM NUMBER:** 23779565

**BUSINESS ADDRESS:**
- **STREET 1:** 33 WHITEHALL STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10004
- **BUSINESS PHONE:** 2129080500

**MAIL ADDRESS:**
- **STREET 1:** 33 WHITEHALL STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10004

### Attached PDF Documents

**Attachment 1:** `tm2310593d1_nrsro-ce.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:

Fitch Ratings, Inc.

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

N/A

(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):

N/A

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

33 Whitehall Street New York NY 10004
(Number and Street) (City) (State/Country) (Zip/Postal Code)

D. Mailing address, if different:

(Number and Street) (City) (State/Country) (Zip/Postal Code)

E. Contact person (See Instructions):

Heather Merrigan, Chief Compliance Officer

(Name and Title)

33 Whitehall Street New York NY 10004
(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.

3/27/2023

(Date)

Fitch Ratings, Inc.

(Name of the Applicant/NRSRO)

By: /s/ Ian Linnell

(Signature)

Ian Linnell, 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: 1997

3. Your credit rating affiliates (See Instructions):

See attached Item 3.

(Name) (Address)

(Name) (Address)

(Name) (Address)

(Name) (Address)

(Name) (Address)

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

Heather Merrigan, Chief Compliance Officer

(Name and Title)

33 Whitehall Street New York NY 10004

(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):

Fitch Ratings, Inc. will make Form NRSRO and all exhibits and attachments available for free on its public website www.fitchratings.com, via a link on the home page entitled "Regulatory Affairs".

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):

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| 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)) | ☐ | N/A | N/A |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☐ | N/A | N/A |
| corporate issuers | ☐ | N/A | N/A |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☐ | N/A | N/A |
| 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 | ☐ | N/A | N/A |

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)) | ☑ | 34,091 | 1964 |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☑ | 3,219 | 1973 |
| corporate issuers | ☑ | 20,485 | 1927 |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☑ | 34,091 | 1979 |
| 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 | ☑ | 170,291 | 1927 |

**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):

Fitch Ratings, Inc. publishes all ratings and related ratings actions and opinions free of charge on a non-selective basis on its public website, www.fitchratings.com.

**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

# Fitch Ratings

## 2023 Form NRSRO Item 3

### Credit Rating Affiliates$^{1}$

| Fitch Australia PTY, Limited 2 Suite 15.01, Level 15 135 King Street Sydney NSW 2000, Australia | Fitch Ratings Brasil Ltda. Av. Barão de Tefé, 27 - Sala 601 - Saúde 20220-460 Rio de Janeiro, Brazil |
| --- | --- |
| Fitch Ratings (Beijing) Ltd Unit 02-2 & 03, 10/F, Fortune Financial Center 5 Dongsanhuanzhong Road Chaoyang District Beijing 100020, China | Fitch Ratings Ireland Limited 3 38 Upper Mount Street Dublin 2 D02 PR89 Ireland |
| Fitch (Hong Kong) Limited 19/F Man Yee Building 68 Des Voeux Road Central Hong Kong | Fitch Ratings Japan Limited Kojimachi Crystal City East Wing 3rd Floor 4-8 Kojimachi, Chiyoda-ku Tokyo 102-0083 Japan |
| Fitch México S.A. de C.V. Blv. Manuel Avila Camacho 88, Piso 10 Edificio Picasso, Col. Lomas de Chapultepec Del. Miguel Hidalgo Mexico City 11000 Mexico | Fitch Ratings Singapore Pte Ltd 1 Wallich Street #19-01 Guoco Tower Singapore 078881 |
| Fitch Ratings Ltd 4 30 North Colonnade, Canary Wharf London E14 5GN, United Kingdom |  |

$^{1}$ Employees of other credit rating affiliates of Fitch Ratings, Inc. not listed on this Item 3 may participate in the determination of credit ratings issued by or on behalf of Fitch Ratings, Inc.

$^{2}$ Fitch Australia PTY, Limited is organized under the laws of Australia, and includes the branch offices of this affiliate in Taiwan, Saudi Arabia and Korea.

$^{3}$ Fitch Ratings Ireland Limited is organized under the laws of Ireland, and includes the branch offices of this affiliate in France, Germany, Italy, Spain, Sweden and Poland.

$^{4}$ Fitch Ratings Ltd is organized under the laws of the United Kingdom, and includes the branch office of this affiliate in Dubai.

www.fitchratings.com

FitchRatings

# 2023 Form NRSRO
List of Material Changes

In calendar year 2022, Item 3 was updated to remove Fitch Ratings Ltd CIS as a Credit Rating Affiliate.

In calendar year 2022, changes made to the Corporate Structure organization chart in Exhibit 4 include: i) add Andrew Collyer as Chief Technology Officer, ii) remove Jon Ewing as Chief Marketing Officer, iii) remove Pete Patrino as Chief Criteria Officer, iv) add Bart Oosterveld as Chief Criteria Officer, v) remove Olivier Delfour from Global Core Ops SF and PF, vi) add Andrew Currie to Analytical Business Applications, and vii) include Tracey Perini as the Chief Financial Officer.

Additional material changes made through the date of filing the annual certification include: updating the Corporate Structure organization chart in Exhibit 4 to i) replace Charles Brown with Bruce Legorburu as General Counsel, and ii) replace Bruce Legorburu with Heather Merrigan as Chief Compliance Officer.

www.fitchratings.com

**Attachment 2:** `tm2310593d1_ex99-e1.pdf`

FitchRatings

2023 Form NRSRO
Exhibit 1

A. Financial Institutions, Brokers, or Dealers - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 24 | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 31 |  |  | 96.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.2% |
| AA- | 77 |  |  | 1.3% | 88.3% | 3.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.5% |
| A+ | 129 |  |  |  | 2.3% | 81.4% | 10.9% | 1.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.9% |
| A | 168 |  |  |  | 0.6% | 1.8% | 81.0% | 8.9% | 4.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.0% |
| A- | 111 |  |  |  |  |  | 6.3% | 90.1% | 1.8% | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.9% |
| BBB+ | 179 |  |  |  |  |  | 0.6% | 11.2% | 85.5% | 2.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.6% |
| BBB | 146 |  |  |  |  |  |  | 0.7% | 4.1% | 78.8% | 2.7% |  |  |  |  |  |  |  |  |  |  |  | 0.7% |  | 13.0% |
| BBB- | 147 |  |  |  |  |  |  |  | 2.7% | 4.8% | 81.5% |  | 0.7% |  |  |  |  |  |  |  |  |  | 0.7% |  | 10.2% |
| BB+ | 99 |  |  |  |  |  |  |  |  |  | 5.1% | 84.8% | 1.0% |  |  |  |  |  |  |  |  |  |  |  | 9.1% |
| BB | 71 |  |  |  |  |  |  |  |  |  | 1.4% | 2.8% | 67.6% | 4.2% |  |  |  |  |  |  |  |  | 1.4% |  | 22.5% |
| BB- | 106 |  |  |  |  |  |  |  |  |  |  |  | 2.8% | 80.2% | 0.9% | 2.8% |  |  |  |  |  |  | 0.9% |  | 12.3% |
| B+ | 91 |  |  |  |  |  |  |  |  |  |  |  |  | 4.4% | 36.3% | 12.1% | 40.7% |  |  |  |  |  |  |  | 6.6% |
| B | 72 |  |  |  |  |  |  |  |  |  |  |  |  | 2.8% | 1.4% | 40.3% | 33.3% |  |  | 8.3% | 2.8% |  |  |  | 11.1% |
| B- | 49 |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.1% | 2.0% | 67.3% | 6.1% | 2.0% | 2.0% |  |  |  |  | 14.3% |
| CCC+ | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.6% | 14.3% | 42.9% |  |  |  |  |  |  | 14.3% |
| CCC | 12 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% |  |  | 66.7% |  |  | 8.3% |  | 16.7% |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |
| CC | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25.0% | 25.0% |  | 50.0% |  |  |
| C | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| TOTAL | 1525 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

A. Financial Institutions, Brokers, or Dealers - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 22 | 95.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.5% |
| AA+ | 2 |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 17 |  |  | 88.2% | 11.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 79 |  |  | 12.7% | 67.1% | 16.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.8% |
| A+ | 112 |  |  | 2.7% | 8.9% | 64.3% | 13.4% | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.8% |
| A | 191 |  |  |  | 0.5% | 12.0% | 61.8% | 16.2% | 2.1% |  | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.8% |
| A- | 115 |  |  |  |  |  | 10.4% | 60.0% | 18.3% | 0.9% | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.6% |
| BBB+ | 169 |  |  |  |  |  | 0.6% | 14.8% | 63.3% | 11.8% | 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% |
| BBB | 172 |  |  |  |  |  |  | 0.6% | 10.5% | 44.8% | 9.3% | 12.8% | 0.6% | 0.6% |  |  |  |  |  |  |  |  | 0.6% |  | 20.3% |
| BBB- | 127 |  |  |  |  |  |  |  | 2.4% | 11.8% | 54.3% | 9.4% | 3.1% |  |  |  |  |  |  |  |  |  | 0.8% |  | 18.1% |
| BB+ | 86 |  |  |  |  |  |  |  |  |  | 9.3% | 29.5% | 10.5% | 8.1% |  | 1.2% |  |  |  |  |  |  | 1.2% |  | 30.2% |
| BB | 78 |  |  |  |  |  |  |  |  |  | 6.4% | 9.0% | 33.3% | 21.8% |  | 1.3% |  |  |  |  |  |  | 1.3% |  | 26.9% |
| BB- | 86 |  |  |  |  |  |  |  |  |  |  |  | 4.7% | 48.8% | 8.1% | 7.0% | 1.2% |  |  |  |  |  | 7.0% |  | 23.3% |
| B+ | 95 |  |  |  |  |  |  |  |  |  |  |  | 2.1% | 4.2% | 15.8% | 11.6% | 46.3% |  |  |  |  |  |  |  | 20.0% |
| B | 64 |  |  |  |  |  |  |  |  |  |  |  |  | 3.1% | 3.1% | 15.6% | 25.0% |  |  | 9.4% | 3.1% |  | 1.6% |  | 39.1% |
| B- | 35 |  |  |  |  |  |  |  |  |  |  |  |  | 2.9% | 5.7% | 2.9% | 54.3% |  |  | 2.9% |  |  |  |  | 31.4% |
| CCC+ | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% | 20.0% |  |  |  |  |  |  |  |  | 60.0% |
| CCC | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  |  | 50.0% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.0% | 10.0% |  | 10.0% |  | 20.0% |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 1471 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

A. Financial Institutions, Brokers, or Dealers - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 13 | 84.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.4% |
| AA+ | 2 |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |
| AA | 6 |  |  | 33.3% | 16.7% | 16.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.3% |
| AA- | 75 |  |  | 10.7% | 46.7% | 24.0% | 2.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.0% |
| A+ | 109 |  |  | 3.7% | 9.2% | 26.6% | 14.7% | 7.3% | 6.4% |  |  | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  | 31.2% |
| A | 154 |  |  | 3.2% | 2.6% | 14.3% | 27.3% | 12.3% | 7.8% | 0.6% | 1.3% | 0.6% |  |  |  |  |  |  |  |  |  |  | 0.6% |  | 29.2% |
| A- | 132 |  |  |  |  | 4.5% | 17.4% | 22.7% | 13.6% | 4.5% | 0.8% |  | 1.5% |  |  |  |  |  |  |  |  |  | 0.8% |  | 34.1% |
| BBB+ | 129 |  |  |  |  |  | 0.8% | 13.2% | 16.3% | 10.9% | 1.6% | 2.3% | 3.1% | 7.8% |  |  |  |  |  |  |  |  | 0.8% |  | 43.4% |
| BBB | 160 |  |  |  |  |  |  | 3.8% | 15.0% | 14.4% | 7.5% | 4.4% | 1.3% | 5.0% | 0.6% |  | 6.9% |  |  |  |  |  | 0.6% |  | 40.6% |
| BBB- | 132 |  |  |  |  |  |  | 3.0% | 4.5% | 9.8% | 15.2% | 9.1% | 0.8% | 1.5% | 0.8% | 0.8% | 6.1% |  |  |  |  |  |  |  | 48.5% |
| BB+ | 70 |  |  |  |  |  |  |  | 1.4% | 12.9% | 12.9% | 17.1% | 7.1% | 8.6% |  | 2.9% | 1.4% |  |  |  |  |  | 4.3% |  | 31.4% |
| BB | 64 |  |  |  |  |  |  |  |  | 1.6% | 7.8% | 7.8% | 6.3% | 3.1% | 3.1% | 3.1% | 3.1% |  |  |  |  |  | 3.1% |  | 60.9% |
| BB- | 49 |  |  |  |  |  |  |  |  | 4.1% | 14.3% | 4.1% |  | 10.2% |  | 4.1% | 4.1% |  |  |  |  |  | 12.2% |  | 46.9% |
| B+ | 39 |  |  |  |  |  |  |  |  |  | 5.1% |  |  | 2.6% | 7.7% |  | 12.8% |  |  |  | 2.6% |  | 2.6% |  | 66.7% |
| B | 61 |  |  |  |  |  |  | 1.6% |  |  |  |  | 4.9% | 6.6% | 4.9% | 3.3% | 3.3% |  |  | 1.6% |  |  | 9.8% |  | 63.9% |
| B- | 45 |  |  |  |  |  |  |  |  |  |  |  | 4.4% | 8.9% | 4.4% | 4.4% | 6.7% |  |  | 6.7% |  |  | 4.4% |  | 60.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 66.7% |  | 33.3% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 1251 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

B. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 8 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 18 |  |  | 83.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |
| AA | 159 |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 160 |  |  |  | 0.6% | 91.9% | 5.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5% |
| A | 217 |  |  |  |  | 18.4% | 75.6% | 3.2% | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.3% |
| A- | 171 |  |  |  |  |  | 9.4% | 80.7% | 0.6% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.8% |
| BBB+ | 101 |  |  |  |  |  |  | 7.9% | 89.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.0% |
| BBB | 50 |  |  |  |  |  |  |  | 16.0% | 80.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.0% |
| BBB- | 9 |  |  |  |  |  |  |  |  | 11.1% | 77.8% |  |  |  |  |  |  |  |  |  |  |  |  |  | 11.1% |
| BB+ | 8 |  |  |  |  |  |  |  |  |  | 25.0% | 50.0% |  |  |  | 12.5% |  |  |  |  |  |  |  |  | 12.5% |
| BB | 9 |  |  |  |  |  |  |  |  |  |  |  | 77.8% |  |  |  |  |  |  |  | 11.1% |  |  |  | 11.1% |
| BB | 7 |  |  |  |  |  |  |  |  |  |  | 14.3% |  | 57.1% | 14.3% |  |  |  |  |  |  |  |  |  | 14.3% |
| B+ | 13 |  |  |  |  |  |  |  |  |  |  |  |  | 7.7% | 53.8% | 30.8% |  |  |  |  |  |  |  |  | 7.7% |
| B | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.3% | 22.2% |  |  |  |  |  |  |  | 44.4% |
| B- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  | 50.0% |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 941 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

B. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 6 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 20 |  |  | 75.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25.0% |
| AA- | 158 |  |  |  | 97.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5% |
| A+ | 144 |  |  |  | 2.1% | 79.9% | 6.9% | 2.1% |  | 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% |
| A | 246 |  |  |  |  | 21.1% | 60.2% | 3.7% | 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 14.6% |
| A- | 191 |  | 1.0% |  |  |  | 9.4% | 62.8% | 9.4% | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.8% |
| BBB+ | 128 |  |  |  |  |  |  | 5.5% | 42.2% | 3.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 49.2% |
| BBB | 48 |  |  |  |  |  |  | 10.4% | 31.3% | 37.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.8% |
| BBB- | 13 |  |  |  |  |  |  |  |  | 23.1% | 23.1% |  | 7.7% |  | 15.4% |  |  |  |  |  |  |  |  |  | 30.8% |
| BB+ | 10 |  |  |  |  |  |  |  |  |  | 30.0% | 20.0% |  |  |  | 10.0% |  |  |  |  |  |  |  |  | 40.0% |
| BB | 8 |  |  |  |  |  |  |  |  |  |  | 12.5% | 50.0% |  |  |  |  |  |  |  | 12.5% |  |  |  | 25.0% |
| BB- | 6 |  |  |  |  |  |  |  |  |  |  |  | 16.7% | 33.3% | 16.7% |  |  |  |  |  |  |  |  |  | 33.3% |
| B+ | 11 |  |  |  |  |  |  |  |  |  |  |  |  |  | 27.3% | 9.1% |  |  |  |  |  |  |  |  | 63.6% |
| B | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.7% | 15.4% | 15.4% |  |  |  | 7.7% |  |  |  | 53.8% |
| B- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 1005 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

B. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 8 |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67.5% |
| AA+ | 6 |  | 83.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |
| AA | 20 |  |  | 70.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 30.0% |
| AA- | 154 |  |  |  | 74.0% | 5.2% | 0.6% | 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18.8% |
| A+ | 200 |  |  |  | 11.5% | 24.0% | 18.0% | 2.0% | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 44.0% |
| A | 267 |  |  |  | 1.2% | 21.8% | 23.3% | 4.7% | 0.4% | 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 48.2% |
| A- | 211 |  | 0.9% |  |  | 4.7% | 10.4% | 11.8% | 8.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 63.5% |
| BBB+ | 221 |  |  |  | 0.5% | 0.9% | 6.8% | 16.7% | 5.9% | 1.4% |  |  | 0.5% |  |  |  |  |  |  |  |  |  |  |  | 67.4% |
| BBB | 49 |  |  |  |  |  | 2.0% | 12.2% | 26.5% | 4.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 55.1% |
| BBB- | 23 |  |  |  |  |  |  | 8.7% | 30.4% | 8.7% | 4.3% |  |  | 4.3% |  |  |  |  |  |  |  |  |  |  | 43.5% |
| BB+ | 8 |  |  |  |  | 12.5% |  |  |  | 12.5% |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  | 62.5% |
| BB | 13 |  |  |  |  |  | 23.1% |  |  |  |  |  | 15.4% |  |  |  |  |  |  |  |  |  |  |  | 61.5% |
| BB- | 5 |  |  |  |  |  |  |  | 20.0% | 20.0% |  |  |  |  |  |  |  |  |  |  | 20.0% |  |  |  | 40.0% |
| B+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  |  |  |  |  |  |  | 50.0% |
| B | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |  |  |  |  |  |  | 16.7% |  | 66.7% |
| B- | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 1188 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

C. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 2 | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 3 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 6 |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 16 |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 42 |  |  |  |  | 92.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.1% |
| A | 104 |  |  |  |  | 1.0% | 97.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.9% |
| A- | 158 |  |  |  |  |  | 1.9% | 88.0% | 5.1% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.4% |
| BBB+ | 258 |  |  |  |  |  |  | 3.1% | 88.0% | 4.7% | 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.1% |
| BBB | 349 |  |  |  |  |  |  |  | 4.9% | 81.1% | 3.2% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  | 10.3% |
| BBB- | 370 |  |  |  |  |  |  |  | 1.1% | 11.9% | 76.8% | 1.9% | 0.8% | 0.3% |  |  |  |  |  |  |  |  |  |  | 7.3% |
| BB+ | 153 |  |  |  |  |  |  |  |  | 1.3% | 16.3% | 68.6% | 2.6% | 2.0% |  |  |  |  |  |  |  |  |  |  | 9.2% |
| BB | 209 |  |  |  |  |  |  |  |  |  | 1.0% | 9.6% | 71.8% | 4.8% |  | 0.5% | 0.5% |  |  |  |  |  |  |  | 12.0% |
| BB- | 230 |  |  |  |  |  |  |  |  |  |  | 0.4% | 6.5% | 73.9% | 3.9% | 3.5% |  | 0.4% | 0.4% |  | 0.4% |  |  |  | 10.4% |
| B+ | 180 |  |  |  |  |  |  |  |  |  |  |  |  | 8.9% | 58.9% | 10.0% | 3.3% |  |  |  |  | 0.6% | 2.8% |  | 15.6% |
| B | 315 |  |  |  |  |  |  |  |  |  | 0.6% |  |  | 0.6% | 4.8% | 64.4% | 9.2% |  | 1.3% | 0.3% | 0.3% |  | 1.3% |  | 17.1% |
| B- | 402 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.7% | 65.2% | 4.0% | 1.7% | 0.7% | 0.7% |  | 1.5% |  | 20.4% |
| CCC+ | 97 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12.4% | 35.1% | 8.2% | 7.2% | 3.1% |  | 6.2% |  | 25.8% |
| CCC | 61 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.9% | 13.1% | 39.3% | 21.3% | 1.6% |  | 6.6% |  | 13.1% |
| CCC- | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 77.8% |  |  | 11.1% |  | 11.1% |
| CC | 17 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 29.4% |  | 29.4% |  | 41.2% |
| C | 8 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 87.5% |  | 12.5% |
| TOTAL | 2989 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

C. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 1 | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 6 |  | 33.3% | 66.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 14 |  |  | 7.1% | 85.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.1% |
| A+ | 43 |  |  |  | 2.3% | 79.1% | 7.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11.6% |
| A | 114 |  |  |  | 0.9% | 3.5% | 74.6% | 8.8% | 1.8% | 0.9% | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.8% |
| A- | 176 |  |  |  |  |  | 4.5% | 59.1% | 16.5% | 3.4% | 1.7% |  |  |  |  |  | 0.6% |  |  |  |  |  |  |  | 14.2% |
| BBB+ | 257 |  |  |  |  |  |  | 6.6% | 61.1% | 13.2% | 0.8% | 1.2% |  | 0.4% |  |  |  |  |  |  |  |  |  |  | 16.7% |
| BBB | 326 |  |  |  |  |  |  | 1.2% | 11.0% | 54.9% | 11.7% | 2.1% | 0.3% |  |  |  |  |  |  |  |  |  | 0.3% |  | 18.4% |
| BBB- | 314 |  |  |  |  |  |  |  | 1.0% | 17.8% | 51.0% | 6.4% | 2.5% | 1.0% | 0.6% |  |  |  |  |  |  |  | 0.3% |  | 19.4% |
| BB+ | 131 |  |  |  |  |  |  |  |  | 6.9% | 16.0% | 32.1% | 10.7% | 5.3% | 0.8% |  |  |  |  |  |  |  |  |  | 28.2% |
| BB | 182 |  |  |  |  |  |  |  |  |  | 4.9% | 11.5% | 33.5% | 11.5% | 3.3% | 0.5% | 1.6% |  |  |  |  |  | 0.5% |  | 32.4% |
| BB- | 160 |  |  |  |  |  |  |  |  |  | 0.6% | 2.5% | 6.9% | 27.5% | 4.4% | 8.1% | 5.6% | 1.9% | 0.6% |  | 0.6% | 0.6% | 8.1% |  | 32.5% |
| B+ | 152 |  |  |  |  |  |  |  |  |  | 1.3% |  | 5.3% | 7.2% | 21.7% | 13.2% | 3.9% |  |  |  |  |  | 10.5% |  | 36.8% |
| B | 311 |  |  |  |  |  |  |  |  |  |  |  | 0.6% | 1.3% | 4.8% | 21.9% | 12.2% | 0.6% | 1.0% | 0.6% | 0.3% |  | 6.8% |  | 49.8% |
| B- | 373 |  |  |  |  |  |  |  |  |  | 0.5% | 0.3% |  | 0.3% |  | 2.4% | 24.4% | 4.0% | 1.9% | 1.9% | 0.8% |  | 8.0% |  | 55.5% |
| CCC+ | 73 |  |  |  |  |  |  |  |  |  |  |  |  | 8.2% |  | 1.4% | 2.7% | 1.4% | 4.1% |  |  |  | 34.2% |  | 47.9% |
| CCC | 58 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.4% | 5.2% | 5.2% | 3.4% |  |  | 41.4% |  | 41.4% |
| CCC- | 17 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11.8% |  | 41.2% |  | 47.1% |
| CC | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11.1% |  | 55.6% |  | 33.3% |
| C | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| TOTAL | 2724 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

C. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| AA+ | 4 | 25.0% |  |  |  | 25.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |
| AA | 11 |  |  | 18.2% | 27.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 54.5% |
| AA- | 8 |  |  | 12.5% |  | 12.5% | 25.0% | 12.5% |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25.0% |
| A+ | 61 |  |  | 1.6% | 11.5% | 21.3% | 18.0% | 6.6% | 3.3% | 3.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 34.4% |
| A | 128 |  |  |  |  | 3.9% | 23.4% | 16.4% | 14.8% | 3.1% | 0.8% | 0.8% |  |  |  |  |  |  |  |  |  |  | 2.3% |  | 34.4% |
| A- | 113 |  |  |  |  | 1.8% | 5.3% | 20.4% | 20.4% | 7.1% | 1.8% | 0.9% |  | 0.9% |  |  |  |  |  |  |  |  |  |  | 41.6% |
| BBB+ | 220 |  |  |  |  |  | 0.5% | 12.3% | 29.5% | 10.0% | 4.1% |  | 0.9% | 0.5% |  |  |  |  |  |  |  |  | 0.9% |  | 41.4% |
| BBB | 264 |  |  |  |  |  | 0.4% | 4.2% | 11.4% | 21.6% | 11.0% | 2.7% | 0.8% | 1.1% |  |  |  |  |  |  |  |  | 1.5% |  | 45.5% |
| BBB- | 247 |  |  |  |  |  | 0.4% | 0.8% | 4.9% | 18.6% | 15.8% | 6.1% | 4.9% | 1.6% | 0.4% | 0.4% | 0.4% |  |  |  |  |  | 0.8% |  | 44.9% |
| BB+ | 123 |  |  |  |  |  |  |  | 1.6% | 6.5% | 8.9% | 7.3% | 6.5% | 1.6% | 0.8% | 0.8% |  |  |  |  |  |  | 6.5% |  | 59.3% |
| BB | 123 |  |  |  |  |  |  |  | 2.4% | 4.9% | 7.3% | 3.3% | 5.7% | 5.7% | 2.4% | 1.6% |  |  |  |  |  |  | 2.4% |  | 64.2% |
| BB | 89 |  |  |  |  |  |  | 1.1% |  |  | 5.6% | 4.5% | 7.9% | 2.2% | 2.2% | 1.1% | 1.1% |  |  |  |  |  | 13.5% |  | 60.7% |
| B+ | 100 |  |  |  |  |  |  |  |  |  | 2.0% | 6.0% | 1.0% | 5.0% | 1.0% | 2.0% |  |  |  |  |  |  | 13.0% |  | 70.0% |
| B | 124 |  |  |  |  |  |  |  |  |  |  | 0.8% | 2.4% | 1.6% | 4.0% | 0.8% |  | 0.8% |  |  | 0.8% |  | 24.2% |  | 64.5% |
| B- | 62 |  |  |  |  |  |  |  |  |  |  |  |  | 1.6% | 1.6% |  |  | 1.6% | 1.6% |  |  |  | 19.4% |  | 74.2% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 32 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  | 50.0% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| TOTAL | 1711 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(i) Residential mortgage backed securities ("RMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 6594 | 89.2% |  | 0.0% |  |  | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.6% | 0.0% |  |
| AA+ | 209 | 67.0% | 22.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.5% |  |  |
| AA | 760 | 40.7% | 3.4% | 36.6% | 0.3% |  | 2.4% |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  |  |  | 12.8% | 3.8% |  |
| AA- | 175 | 27.4% | 8.6% | 26.3% | 32.0% | 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.6% |  |  |
| A+ | 329 | 2.4% | 9.4% | 10.9% | 1.8% | 61.7% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 13.1% |  |  |
| A | 1605 | 19.4% | 5.2% | 14.0% | 0.3% | 1.4% | 41.4% |  |  | 0.7% |  |  | 0.4% |  |  | 0.1% |  |  | 0.1% |  |  |  | 10.7% | 6.3% |  |
| A- | 244 |  | 38.5% | 6.1% | 1.6% | 6.1% | 16.8% | 26.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.1% |  |  |
| BBB+ | 158 | 6.3% | 16.5% | 0.6% | 21.5% | 9.5% | 21.5% | 2.5% | 18.4% |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.2% |  |  |
| BBB | 1479 | 1.0% |  | 7.9% | 2.6% | 1.1% | 30.0% | 0.5% | 0.5% | 35.2% |  |  | 1.8% |  |  | 0.1% |  |  |  |  |  |  | 6.2% | 13.0% |  |
| BBB- | 288 |  |  |  | 17.4% | 22.9% | 11.8% | 1.4% | 2.4% | 15.6% | 19.1% |  |  |  |  |  |  |  |  |  |  |  | 9.4% |  |  |
| BB+ | 303 |  |  |  | 9.6% | 15.5% | 29.4% | 10.9% | 1.3% | 9.6% | 1.0% | 18.8% |  |  |  |  |  |  |  |  |  |  | 4.0% |  |  |
| BB | 1307 | 1.1% |  | 0.3% | 0.2% | 0.1% | 7.8% | 4.4% | 0.4% | 28.5% | 0.2% | 0.5% | 32.4% |  |  | 1.4% |  |  | 0.5% |  | 0.1% |  | 0.1% | 8.0% | 14.2% |
| BB- | 128 |  |  |  |  | 22.7% |  | 0.8% | 14.8% | 14.8% | 0.8% | 4.7% | 16.4% | 25.0% |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 106 |  |  |  |  |  |  |  | 28.3% | 1.9% |  | 28.3% | 15.1% | 0.9% | 22.6% |  | 2.8% |  |  |  |  |  |  |  |  |
| B | 744 |  |  |  |  |  | 1.2% |  |  | 12.1% |  | 1.1% | 24.7% | 0.1% | 0.4% | 40.5% | 1.2% |  | 1.3% |  |  | 0.3% | 0.8% | 6.6% | 9.7% |
| B- | 95 |  |  |  |  |  |  |  |  |  |  | 2.1% | 2.1% | 1.1% |  | 37.9% | 56.8% |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 381 |  |  |  |  |  | 0.3% |  |  | 1.0% |  |  | 14.2% | 0.3% | 0.3% | 19.2% | 0.5% |  | 40.9% |  | 1.6% | 0.8% | 2.6% | 11.0% | 7.3% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 361 |  |  |  |  |  |  |  |  | 0.6% |  |  | 0.8% |  |  | 19.1% |  |  | 24.9% |  | 31.0% | 2.2% | 3.6% | 4.2% | 13.6% |
| C | 951 |  |  |  |  |  |  |  |  |  |  |  | 0.2% |  |  | 0.9% |  |  | 5.9% |  | 17.5% | 37.3% | 6.0% | 4.5% | 27.7% |
| TOTAL | 16217 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(i) Residential mortgage backed securities ("RMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 3773 | 56.8% |  |  |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  |  | 0.03% |  |  |  |  | 40.8% | 2.3% |
| AA+ | 189 | 68.3% | 7.9% |  |  |  | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 23.3% |  |
| AA | 700 | 36.3% | 1.7% | 9.4% | 0.3% | 0.1% | 2.7% |  |  | 0.1% |  |  | 0.3% |  |  |  |  |  | 0.1% |  |  |  |  | 36.1% | 12.7% |
| AA- | 54 | 40.7% | 14.8% | 1.9% | 13.0% | 1.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 27.8% |  |
| A+ | 272 | 11.0% | 6.3% | 3.3% | 2.2% | 36.0% | 6.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 34.6% | 0.4% |
| A | 1372 | 16.5% | 0.4% | 7.9% | 0.3% | 1.2% | 16.1% | 0.1% |  | 1.0% |  |  | 0.5% |  |  | 0.3% |  |  | 0.1% |  |  |  |  | 39.2% | 16.2% |
| A- | 90 | 24.4% | 1.1% | 4.4% | 8.9% | 16.7% | 6.7% | 5.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 32.2% |  |
| BBB+ | 160 | 28.8% | 1.9% | 2.5% |  | 13.1% | 8.8% | 4.4% | 7.5% | 0.6% |  | 0.6% |  |  |  |  |  |  |  |  |  |  |  | 31.3% | 0.6% |
| BBB | 1617 | 9.3% | 0.8% | 8.3% | 0.1% | 0.7% | 21.8% | 0.2% | 0.2% | 10.3% | 0.1% |  | 2.2% |  |  | 0.9% |  |  | 0.7% |  |  |  |  | 23.6% | 20.8% |
| BBB- | 220 | 13.2% | 45.0% | 6.8% |  | 3.2% | 3.2% | 1.4% | 0.9% | 0.5% | 2.7% |  | 0.5% |  |  |  |  |  |  |  |  |  |  | 22.3% | 0.5% |
| BB+ | 210 | 11.0% | 35.2% | 1.4% | 1.0% | 3.3% | 0.5% | 1.4% | 1.4% | 5.2% | 1.0% | 5.2% |  |  |  |  |  |  |  |  |  |  |  | 33.3% |  |
| BB | 2099 | 1.0% | 1.2% | 2.8% | 2.6% | 1.9% | 11.9% | 0.2% | 0.3% | 18.1% | 0.1% | 0.2% | 10.5% |  |  | 1.5% |  |  | 0.8% |  | 0.1% | 0.1% | 0.1% | 20.8% | 25.8% |
| BB- | 215 | 4.7% | 3.7% |  | 31.6% | 5.6% | 10.2% |  |  | 1.4% | 0.5% | 2.8% | 2.3% |  |  | 0.9% | 0.9% |  |  |  |  |  |  | 34.9% | 0.5% |
| B+ | 162 | 1.2% |  |  |  | 21.6% | 34.0% | 22.2% | 0.6% | 0.6% | 0.6% | 1.2% | 1.9% | 1.9% | 6.2% |  | 3.1% |  |  |  |  |  |  | 4.3% | 0.6% |
| B | 1122 | 0.1% |  | 0.7% | 2.8% | 6.7% | 6.2% | 5.1% | 1.9% | 11.6% |  | 0.8% | 7.3% | 0.2% | 0.3% | 12.1% | 2.1% |  | 2.4% |  | 0.4% | 0.3% | 2.4% | 19.0% | 17.7% |
| B- | 12 |  |  |  |  |  |  |  |  |  |  | 8.3% |  |  |  | 33.3% | 41.7% |  | 8.3% |  |  |  |  | 8.3% |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 726 | 0.1% |  | 0.1% |  |  | 2.9% |  |  | 8.4% |  | 0.7% | 9.6% | 0.3% | 0.1% | 7.4% | 0.7% |  | 14.5% |  | 2.9% | 2.1% | 5.9% | 19.1% | 25.1% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 557 |  |  |  |  |  | 0.4% |  |  | 2.9% |  | 0.2% | 9.2% |  |  | 9.7% |  |  | 6.6% |  | 20.1% | 5.0% | 12.2% | 11.7% | 22.1% |
| C | 1418 |  |  |  |  |  |  |  |  | 0.1% |  |  | 0.7% |  |  | 4.2% |  |  | 7.8% |  | 10.1% | 22.5% | 12.6% | 8.1% | 34.1% |
| TOTAL | 14968 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(i) Residential mortgage backed securities ("RMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 3119 | 4.1% | 0.2% | 0.8% | 0.1% | 0.3% | 0.8% | 0.03% |  | 0.1% |  |  | 0.03% |  |  |  | 0.1% |  |  |  | 0.03% |  |  | 88.6% | 4.8% |
| AA+ | 97 | 7.2% | 1.0% | 3.1% |  | 1.0% | 2.1% |  |  | 1.0% |  |  |  |  |  | 2.1% | 1.0% |  |  |  |  |  |  | 79.4% | 2.1% |
| AA | 1502 | 3.3% | 0.4% | 1.3% | 0.1% | 0.3% | 1.7% | 0.1% |  | 0.9% | 0.1% |  | 0.5% |  |  | 0.1% |  |  |  |  | 0.1% |  | 0.7% | 71.3% | 19.1% |
| AA- | 195 | 19.5% | 2.6% | 0.5% | 3.1% | 8.2% | 1.0% |  | 0.5% |  |  |  |  |  |  |  | 1.5% |  |  |  |  |  |  | 63.1% |  |
| A+ | 94 | 10.6% | 3.2% | 2.1% |  | 4.3% | 2.1% | 1.1% |  |  |  |  |  |  |  |  | 1.1% |  |  |  |  |  |  | 73.4% | 2.1% |
| A | 2025 | 2.6% | 0.3% | 1.5% | 0.3% | 1.8% | 4.1% | 0.05% |  | 1.4% |  | 0.0% | 0.5% |  |  | 0.0% |  |  | 0.05% |  | 0.05% | 0.1% | 1.1% | 72.5% | 13.4% |
| A- | 57 | 10.5% | 3.5% |  | 3.5% | 10.5% |  | 5.3% |  |  |  |  |  |  |  |  | 5.3% |  |  |  |  |  |  | 56.1% | 5.3% |
| BBB+ | 79 | 3.8% | 2.5% | 1.3% |  | 8.9% | 2.5% | 3.8% | 1.3% | 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  | 72.2% | 2.5% |
| BBB | 1788 | 1.3% | 0.2% | 1.2% |  | 1.0% | 4.0% | 0.3% | 0.1% | 5.5% |  | 0.2% | 2.3% |  | 0.1% | 1.1% | 0.1% |  | 0.2% |  |  | 0.1% | 2.0% | 60.4% | 20.1% |
| BBB- | 71 | 9.9% |  | 1.4% | 1.4% | 5.6% | 5.6% | 2.8% | 2.8% | 2.8% | 2.8% | 4.2% |  |  |  |  | 2.8% |  | 1.4% |  |  |  |  | 50.7% | 5.6% |
| BB+ | 32 |  | 6.3% |  |  | 3.1% | 12.5% |  |  | 3.1% |  |  | 3.1% |  |  |  |  |  | 3.1% |  |  |  |  | 68.8% |  |
| BB | 1422 | 1.3% | 0.4% | 1.4% | 0.3% | 1.2% | 3.7% | 0.3% | 0.1% | 5.2% |  | 0.3% | 4.4% | 0.1% | 0.1% | 1.3% | 0.2% |  | 1.1% |  | 0.1% | 0.2% | 4.3% | 56.3% | 17.9% |
| BB- | 23 |  |  |  |  |  | 8.7% |  | 17.4% |  |  | 4.3% | 4.3% | 4.3% | 4.3% |  |  |  |  |  |  |  |  | 56.5% |  |
| B+ | 16 |  |  |  |  |  |  |  |  |  |  | 6.3% |  |  | 18.8% |  |  |  | 6.3% |  |  | 12.5% |  | 56.3% |  |
| B | 2385 | 1.3% | 0.04% | 1.6% | 0.1% | 0.6% | 3.7% | 0.1% | 0.1% | 4.9% | 0.04% | 0.3% | 3.1% | 0.0% | 0.1% | 2.2% | 0.2% |  | 1.7% |  | 0.5% | 0.4% | 9.4% | 48.0% | 21.6% |
| B- | 36 |  |  |  |  |  |  | 2.8% | 2.8% | 2.8% |  |  |  |  |  |  | 2.8% |  | 2.8% |  | 2.8% |  |  | 63.3% |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 2658 | 3.4% | 0.1% | 1.4% | 0.1% | 0.1% | 7.0% | 0.2% | 0.2% | 4.3% | 0.1% | 0.5% | 2.9% | 0.1% | 0.04% | 1.5% | 0.2% |  | 2.0% |  | 1.0% | 2.2% | 18.7% | 37.8% | 16.2% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 2816 | 3.5% |  | 1.5% |  |  | 5.9% |  | 0.04% | 4.1% |  | 0.04% | 2.4% | 0.04% |  | 3.0% | 0.1% |  | 3.1% |  | 3.7% | 2.5% | 33.5% | 23.1% | 13.5% |
| C | 6595 | 0.2% |  | 0.2% |  |  | 1.2% | 0.03% |  | 2.0% |  | 0.02% | 1.5% |  | 0.02% | 1.4% | 0.02% |  | 1.5% |  | 2.1% | 3.4% | 66.1% | 9.2% | 11.4% |
| TOTAL | 25010 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(ii) Commercial mortgage backed securities ("CMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 3857 | 92.6% | 0.0% | 0.1% |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.2% |  |
| AA+ | 13 | 15.4% | 76.9% | 7.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 116 | 21.6% | 1.7% | 56.9% | 0.9% |  | 1.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.5% | 1.7% |
| AA- | 651 | 0.3% |  | 3.5% | 93.4% |  | 1.4% | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.2% |  |
| A+ | 16 |  | 6.3% |  |  | 56.3% | 12.5% |  |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  | 12.5% |  |
| A | 153 | 2.6% | 1.3% | 7.2% | 0.7% | 0.7% | 68.0% | 0.7% |  | 3.9% |  |  |  |  |  | 1.3% |  |  |  |  |  |  |  | 13.7% |  |
| A- | 678 |  |  | 0.3% |  | 0.3% | 1.9% | 92.8% |  | 2.2% | 0.4% |  |  |  |  |  |  |  |  |  |  |  |  | 2.1% |  |
| BBB+ | 81 | 1.2% |  | 1.2% |  |  | 1.2% |  | 88.9% |  |  | 1.2% | 1.2% |  |  |  |  |  |  |  |  |  |  | 4.9% |  |
| BBB | 275 | 1.8% |  | 0.7% |  |  | 3.6% |  |  | 86.2% | 0.4% |  | 3.3% |  |  |  |  |  | 0.7% |  |  |  |  | 3.3% |  |
| BBB- | 760 |  |  |  |  |  | 0.4% | 0.3% | 0.1% | 0.4% | 92.6% |  | 2.9% | 0.8% |  | 0.1% |  |  |  |  |  |  |  | 2.4% |  |
| BB+ | 75 |  |  |  |  | 1.3% |  |  |  |  | 1.3% | 93.3% | 1.3% |  |  | 1.3% |  |  |  |  |  |  |  | 1.3% |  |
| BB | 144 |  |  |  |  |  |  |  |  | 3.5% | 0.7% |  | 75.7% |  |  | 6.3% | 2.8% |  | 3.5% |  | 0.7% |  |  | 6.9% |  |
| BB | 363 |  |  |  |  |  |  |  |  |  | 0.6% |  | 0.3% | 89.8% | 0.3% | 1.9% | 4.7% |  |  |  | 0.3% |  |  | 2.2% |  |
| B+ | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |
| B | 108 |  |  |  |  |  |  |  |  |  |  |  | 0.9% |  |  | 77.8% | 4.6% |  | 8.3% |  |  |  | 2.8% | 5.6% |  |
| B- | 380 |  |  |  |  |  |  |  |  |  |  |  | 0.3% | 0.3% |  |  | 83.2% |  | 15.0% |  | 0.5% |  |  | 0.8% |  |
| CCC+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |
| CCC | 243 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.4% |  |  | 76.1% |  | 16.0% | 3.3% |  | 4.1% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 94 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 75.5% | 17.0% | 4.3% | 3.2% |  |
| C | 140 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 74.3% | 17.1% | 8.6% |  |
| TOTAL | 8153 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(ii) Commercial mortgage backed securities ("CMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 3198 | 76.7% | 0.0% | 0.6% | 0.3% | 0.1% | 0.3% | 0.1% |  | 0.1% |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  | 21.8% |  |
| AA+ | 11 | 9.1% | 36.4% | 9.1% |  |  |  |  |  |  |  |  | 27.3% |  |  |  |  |  |  |  |  |  |  | 18.2% |  |
| AA | 123 | 13.8% | 0.8% | 38.2% | 9.8% |  | 4.1% |  |  | 2.4% |  |  | 2.4% |  |  |  |  |  |  |  | 0.8% |  |  | 26.0% | 1.6% |
| AA- | 515 | 1.7% |  | 4.1% | 81.4% |  | 5.6% | 1.9% |  | 1.0% |  |  |  |  |  | 0.2% |  |  | 0.2% |  |  |  |  | 3.9% |  |
| A+ | 17 |  | 5.9% |  | 5.9% | 35.3% | 29.4% | 5.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 17.6% |  |
| A | 152 | 4.6% | 2.0% | 7.2% |  | 0.7% | 38.2% | 0.7% |  | 2.6% |  |  | 5.3% |  |  | 2.6% |  |  | 2.6% |  | 0.7% | 1.3% |  | 31.6% |  |
| A- | 518 | 0.8% |  | 0.6% |  | 0.4% | 2.3% | 79.0% |  | 7.5% | 1.4% | 0.2% | 1.0% |  |  | 0.2% |  |  | 0.4% |  | 0.8% |  |  | 5.6% |  |
| BBB+ | 74 | 1.4% |  | 1.4% |  |  | 1.4% |  | 82.4% |  |  |  | 2.7% |  |  | 1.4% |  |  |  |  |  | 1.4% |  | 8.1% |  |
| BBB | 213 | 2.3% |  | 0.9% |  |  | 3.3% |  |  | 65.3% | 0.5% | 0.9% | 2.3% | 0.5% |  |  | 1.4% |  | 3.8% |  |  | 1.4% |  | 16.9% | 0.5% |
| BBB- | 699 |  |  | 0.1% |  | 0.1% | 0.7% | 0.3% | 0.1% | 0.3% | 74.4% |  | 5.9% | 2.7% |  | 2.4% | 2.3% |  | 4.6% |  | 1.0% | 0.3% | 0.1% | 4.6% |  |
| BB+ | 58 |  |  |  |  |  |  |  |  |  |  | 75.7% | 5.2% |  |  | 12.1% | 6.9% |  | 1.7% |  | 1.7% |  |  | 1.7% |  |
| BB | 170 |  |  |  |  |  | 0.6% |  |  | 1.8% | 1.2% |  | 35.3% | 1.8% |  | 8.8% | 4.1% |  | 11.8% |  | 7.6% | 7.1% | 0.6% | 19.4% |  |
| BB | 350 |  |  |  |  | 0.3% |  |  |  |  | 0.3% |  | 0.6% | 58.0% | 0.3% | 4.9% | 14.9% |  | 12.6% |  | 3.4% |  | 0.3% | 4.6% |  |
| B+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  | 50.0% |  |  |  |  |  |  |
| B | 147 |  |  |  |  |  | 0.7% |  |  | 0.7% |  |  |  |  |  | 24.5% | 8.8% |  | 17.7% |  | 10.9% | 15.0% | 4.8% | 17.0% |  |
| B- | 307 |  |  |  |  |  |  |  |  |  |  |  | 0.3% |  |  | 0.3% | 50.8% |  | 32.6% |  | 10.7% | 2.6% | 0.7% | 2.0% |  |
| CCC+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |
| CCC | 78 | 1.3% |  |  |  |  |  |  |  |  |  |  | 2.6% |  |  |  |  |  | 21.8% |  | 15.4% | 26.9% | 14.1% | 17.9% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 56 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.8% |  | 25.0% | 26.8% | 23.2% | 21.4% | 1.8% |
| C | 113 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.9% |  |  |  |  | 37.2% | 55.8% | 5.3% | 0.9% |
| TOTAL | 6804 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(ii) Commercial mortgage backed securities ("CMBS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1745 | 1.4% |  | 0.1% | 0.1% | 0.1% | 0.1% | 0.1% |  | 0.1% |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  | 97.8% |  |
| AA+ | 29 |  | 3.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 96.6% |  |
| AA | 258 | 0.8% |  | 5.0% | 2.3% |  | 1.6% |  |  | 1.2% |  |  | 1.2% |  |  |  |  |  |  |  | 0.4% |  | 0.8% | 84.9% | 1.9% |
| AA- | 42 | 2.4% |  |  |  |  | 2.4% |  |  | 2.4% |  |  | 2.4% |  |  |  |  |  | 2.4% |  |  |  |  | 88.1% |  |
| A+ | 44 |  |  | 2.3% |  | 9.1% | 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.3% | 79.5% | 4.5% |
| A | 358 |  | 0.3% | 0.8% |  |  | 2.8% |  |  | 0.6% |  |  | 0.8% |  |  | 0.6% |  |  | 0.3% |  | 0.3% | 0.6% | 1.7% | 89.9% | 1.4% |
| A- | 90 |  |  |  |  |  | 2.2% | 2.2% |  | 1.1% | 5.6% |  | 1.1% |  |  | 1.1% |  |  | 1.1% |  | 1.1% | 2.2% | 1.1% | 81.1% |  |
| BBB+ | 56 |  |  |  |  |  |  |  | 7.1% |  |  |  | 3.6% |  |  | 1.8% | 1.8% |  |  |  |  | 3.6% | 1.8% | 76.8% | 3.6% |
| BBB | 324 | 0.3% |  |  |  |  |  |  |  | 2.8% |  |  | 0.6% | 0.3% |  |  |  |  | 0.9% |  |  | 0.6% | 4.3% | 88.3% | 1.9% |
| BBB- | 197 | 0.5% |  |  |  | 0.5% |  |  |  |  | 2.5% |  | 2.5% | 1.0% |  | 1.0% | 0.5% |  | 5.6% |  | 2.5% | 1.0% | 6.1% | 75.6% | 0.5% |
| BB+ | 43 |  |  |  |  |  |  |  |  |  |  | 14.0% |  |  |  |  |  |  |  |  |  | 2.3% | 7.0% | 72.1% | 4.7% |
| BB | 347 |  |  |  |  |  |  |  |  | 0.6% | 0.6% |  | 2.3% |  |  | 0.3% |  |  | 1.4% |  | 2.3% | 2.6% | 8.6% | 79.5% | 1.7% |
| BB | 20 |  |  |  |  |  |  |  |  |  |  |  |  | 5.0% |  |  |  |  |  |  |  |  | 5.0% | 90.0% |  |
| B+ | 18 |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.6% |  |  |  |  |  |  |  | 11.1% | 83.3% |  |
| B | 285 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.2% | 1.1% |  | 1.4% |  | 2.1% | 4.9% | 18.2% | 65.6% | 3.5% |
| B- | 70 |  |  |  |  |  |  |  |  | 1.4% |  |  |  |  |  |  | 4.3% |  |  |  | 1.4% | 5.7% | 15.7% | 71.4% |  |
| CCC+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |
| CCC- | 582 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.2% |  |  | 1.4% |  | 0.5% | 3.4% | 35.2% | 54.8% | 4.5% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 413 | 0.2% |  |  |  |  | 0.2% |  |  |  |  |  | 0.2% |  |  |  |  |  |  |  | 2.2% | 3.1% | 68.0% | 23.2% | 2.7% |
| C | 856 |  |  |  |  |  | 0.1% |  |  |  |  |  | 0.1% |  |  |  | 0.1% |  | 0.1% |  |  | 2.0% | 89.1% | 4.3% | 4.1% |
| TOTAL | 5778 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(iii) Collateralized loan obligations ("CLOs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1367 | 89.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.5% |  |
| AA+ | 102 | 10.8% | 82.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.9% |  |
| AA | 379 | 1.3% | 20.8% | 74.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.4% |  |
| AA- | 1 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 104 |  | 1.0% | 1.0% | 2.9% | 87.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 27.9% |  |
| A | 226 |  |  |  |  | 22.1% | 73.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.0% |  |
| A- | 10 |  |  |  | 10.0% | 10.0% |  | 80.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 60 |  |  |  |  |  | 3.3% | 1.7% | 78.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |  |
| BBB | 51 |  |  |  |  | 2.0% | 2.0% | 3.9% | 52.9% | 37.3% |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.0% |  |
| BBB- | 158 |  |  |  |  |  |  |  | 8.2% | 33.5% | 51.9% |  |  |  |  |  |  |  |  |  |  |  |  | 6.3% |  |
| BB+ | 55 |  |  |  |  |  |  |  |  | 1.8% | 3.6% | 87.3% |  |  |  |  |  |  |  |  |  |  |  | 7.3% |  |
| BB | 50 |  |  |  |  |  |  |  |  |  |  | 56.0% | 42.0% |  |  |  |  |  |  |  |  |  |  | 2.0% |  |
| BB- | 145 |  |  |  |  |  |  |  |  |  |  | 8.3% | 41.4% | 46.9% |  |  |  |  |  |  |  |  |  | 3.4% |  |
| B+ | 38 |  |  |  |  |  |  |  |  |  |  |  |  | 7.9% | 81.6% |  |  |  |  |  |  |  |  | 10.5% |  |
| B | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  | 40.0% | 60.0% |  |  |  |  |  |  |  |  |  |
| B- | 187 |  |  |  |  |  |  |  |  |  |  |  | 1.1% |  | 16.0% | 20.3% | 59.9% |  |  |  |  |  |  | 2.7% |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 2938 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(iii) Collateralized loan obligations ("CLOs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1637 | 41.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 58.5% | 0.2% |  |
| AA+ | 26 | 7.7% | 7.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 84.6% |  |  |
| AA | 400 | 6.8% | 32.5% | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 48.3% |  |  |
| AA- | 1 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 23 | 4.3% |  |  |  | 17.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 78.3% |  |  |
| A | 243 | 0.4% | 0.4% | 0.4% | 0.4% | 34.2% | 14.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 49.4% |  |  |
| A- | 11 |  |  |  | 18.2% | 18.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 63.6% |  |  |
| BBB+ | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BBB- | 119 |  |  |  |  | 4.2% | 2.5% | 8.4% | 37.0% | 5.0% |  |  |  |  |  |  |  |  |  |  |  |  | 42.9% |  |  |
| BBB- | 106 |  |  |  | 0.9% |  |  |  | 12.3% | 19.8% | 4.7% |  |  |  |  |  |  |  |  |  |  |  | 62.3% |  |  |
| BB+ | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BB | 145 |  |  |  |  |  |  |  | 0.7% |  | 1.4% | 45.5% | 13.1% | 1.4% |  |  |  |  |  |  |  |  | 37.9% |  |  |
| BB- | 76 |  |  |  |  |  |  |  |  |  |  | 10.5% | 30.3% | 18.4% |  |  |  |  |  |  |  |  | 40.8% |  |  |
| B+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| B | 21 |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.5% | 9.5% | 9.5% |  |  |  |  |  | 71.4% |  |  |
| B- | 192 |  |  |  |  |  |  |  |  |  |  | 1.0% | 1.6% | 2.6% | 31.3% | 15.1% | 17.7% |  |  |  |  |  | 30.7% |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 3016 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(iii) Collateralized loan obligations ("CLOs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 97 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 99.0% | 1.0% |  |
| AA+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| AA | 35 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| AA | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| A+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| A | 36 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 94.4% | 5.6% |  |
| A- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BBB+ | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 66.7% | 33.3% |  |
| BBB | 41 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 95.1% | 4.9% |  |
| BBB- | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BB+ | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BB | 32 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 96.9% | 3.1% |  |
| BB- | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| B+ | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| B | 35 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.9% |  |  |  |  |  |  | 94.3% | 2.9% |  |
| B- | 20 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 35.0% | 60.0% | 5.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.4% | 84.6% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 57.1% | 42.9% |  |
| C | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 77.8% | 11.1% | 11.1% |
| TOTAL | 353 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(iv) Collateralized debt obligations ("CDOs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 89 | 93.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.4% | 3.4% |  |
| AA+ | 7 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 44 |  |  | 29.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.8% | 63.6% |  |
| AA- | 25 |  |  |  | 96.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.0% |  |  |
| A+ | 30 |  |  |  | 6.7% | 73.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% |  |  |
| A | 84 | 2.4% |  | 7.1% | 1.2% | 7.1% | 52.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.2% | 28.6% |  |
| A- | 28 |  |  | 3.6% |  |  |  | 78.6% |  | 10.7% |  |  |  |  |  |  |  |  |  |  |  |  | 7.1% |  |  |
| BBB+ | 13 |  |  |  |  |  |  |  | 92.3% |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.7% |  |  |
| BBB | 124 | 0.8% |  |  | 0.8% | 0.8% | 3.2% | 2.4% | 4.0% | 50.8% |  |  |  |  |  |  |  |  |  |  |  |  | 11.3% | 25.8% |  |
| BBB- | 21 |  |  |  |  |  |  |  |  | 4.8% | 85.7% |  |  |  |  |  |  |  |  |  |  |  | 4.8% | 4.8% |  |
| BB+ | 19 |  |  |  |  |  |  |  |  |  | 10.5% | 78.9% |  |  |  |  |  |  |  |  |  |  | 5.3% | 5.3% |  |
| BB | 53 |  |  |  |  |  |  |  | 1.9% | 1.9% |  | 3.8% | 47.2% |  |  |  |  |  |  |  |  |  | 1.9% | 43.4% |  |
| BB | 5 |  |  |  |  |  |  |  |  |  |  |  | 40.0% | 40.0% |  |  |  |  |  |  |  |  | 20.0% |  |  |
| B+ | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  | 83.3% |  |  |  |  |  |  |  |  | 16.7% |  |
| B | 33 |  |  |  |  |  |  |  |  |  |  | 6.1% | 3.0% | 9.1% | 3.0% | 54.5% | 3.0% |  |  |  |  |  |  | 21.2% |  |
| B- | 4 |  |  |  |  |  |  |  |  |  |  | 25.0% |  |  |  |  | 75.0% |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 67 |  |  |  |  |  |  |  |  |  |  |  | 4.5% |  | 4.5% |  | 3.0% |  | 58.2% |  |  |  |  | 29.9% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 100 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.0% |  | 73.0% |  | 1.0% | 24.0% |  |
| C | 316 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.6% | 62.0% | 0.6% | 36.7% |  |
| TOTAL | 1068 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(iv) Collateralized debt obligations ("CDOs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 91 | 82.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.5% | 1.1% |  |
| AA+ | 6 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 45 |  |  | 22.2% | 11.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 31.1% | 35.6% |  |
| AA | 27 |  |  |  | 51.9% |  |  | 3.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 22.2% | 22.2% |  |
| A+ | 32 |  |  |  | 9.4% | 37.5% | 6.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 34.4% | 12.5% |  |
| A | 95 | 1.1% |  | 6.3% | 1.1% | 7.4% | 36.8% |  | 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 13.7% | 32.6% |  |
| A- | 26 |  |  |  |  |  | 7.7% | 65.4% |  | 7.7% |  |  |  |  |  |  |  |  |  |  |  |  |  | 19.2% |  |
| BBB+ | 32 |  |  |  | 3.1% | 6.3% |  | 3.1% | 21.9% | 28.1% | 3.1% |  |  |  |  |  |  |  |  |  |  |  | 31.3% | 3.1% |  |
| BBB | 130 | 0.8% |  | 1.5% | 0.8% | 0.8% | 2.3% | 2.3% | 1.5% | 33.8% | 7.7% |  |  |  |  |  |  |  |  |  |  |  | 24.6% | 23.8% |  |
| BBB- | 16 |  |  |  |  |  |  |  | 6.3% | 12.5% | 25.0% |  |  |  |  |  |  |  |  |  |  |  | 12.5% | 43.8% |  |
| BB+ | 13 |  |  | 7.7% |  |  | 7.7% |  |  |  | 15.4% | 53.8% |  |  |  |  |  |  |  |  |  |  | 15.4% |  |  |
| BB | 56 | 1.8% |  |  |  |  | 1.8% |  | 3.6% | 3.6% | 1.8% | 3.6% | 39.3% |  |  |  |  |  |  |  |  |  | 8.9% | 35.7% |  |
| BB- | 8 |  |  |  |  |  |  |  |  |  |  |  |  | 25.0% | 12.5% |  |  |  |  |  |  |  | 62.5% |  |  |
| B+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  | 75.0% |  |  |  |  |  |  |  | 25.0% |  |  |
| B | 41 |  |  |  |  |  |  |  |  |  |  | 9.8% | 9.8% |  |  | 41.5% | 2.4% |  |  |  |  |  | 2.4% | 34.1% |  |
| B- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 84 |  |  |  |  |  |  |  |  |  |  | 3.6% | 4.8% | 3.6% | 6.0% | 1.2% | 4.8% |  | 46.4% |  |  |  | 2.4% | 27.4% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 107 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 68.2% |  | 6.5% | 25.2% |  |
| C | 426 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.5% |  | 0.5% | 46.0% | 12.7% | 2.3% | 38.0% |
| TOTAL | 1241 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

# Fitch Ratings

## 2023 Form NRSRO Exhibit 1

### D(iv) Collateralized debt obligations ('CDOs') - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 144 | 41.7% |  |  |  |  |  |  |  |  |  |  | 2.8% |  |  |  |  |  |  |  |  |  |  | 50.0% | 5.6% |
| AA+ | 8 |  | 62.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 37.5% |  |
| AA | 40 |  |  | 15.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 85.0% |  |
| AA- | 57 |  |  |  | 10.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 87.7% | 1.8% |
| A+ | 28 |  |  |  |  | 25.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 71.4% | 3.6% |
| A | 158 |  |  |  |  |  | 21.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67.7% | 10.8% |
| A- | 26 |  |  |  |  |  |  | 57.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 34.6% | 7.7% |
| BBB+ | 26 |  |  |  |  |  |  |  | 15.4% | 7.7% |  |  |  |  |  |  |  |  |  |  |  |  |  | 73.1% | 3.8% |
| BBB- | 210 | 1.0% |  | 3.3% |  | 0.5% |  |  |  | 24.3% | 1.0% | 1.0% |  |  |  |  |  |  |  |  |  |  |  | 58.6% | 10.5% |
| BBB- | 29 |  |  |  |  |  |  |  | 3.4% | 3.4% | 13.8% | 6.9% |  |  |  |  |  |  |  |  |  |  |  | 65.5% | 6.9% |
| BB+ | 21 |  |  |  |  |  |  |  |  |  |  | 9.5% |  |  |  |  |  |  |  |  |  |  |  | 85.7% | 4.8% |
| BB | 163 | 0.6% |  | 0.6% | 0.6% | 0.6% |  |  |  |  |  |  | 10.4% |  |  |  |  |  |  |  |  |  | 1.2% | 65.6% | 20.2% |
| BB- | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 83.3% | 16.7% |
| B+ | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 88.9% | 11.1% |
| B | 171 |  |  | 1.2% |  | 0.6% | 1.2% |  | 0.6% | 0.6% |  |  |  |  |  | 9.9% |  |  |  |  |  |  | 2.9% | 65.5% | 17.5% |
| B- | 14 | 7.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 14.3% | 71.4% | 7.1% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 221 |  |  |  | 0.5% | 1.4% | 0.5% | 0.5% | 0.5% | 0.5% | 0.5% | 0.5% | 1.8% |  |  | 0.5% |  |  | 13.1% |  |  |  | 6.3% | 62.9% | 10.9% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 284 |  |  | 0.7% |  |  | 0.4% | 0.4% | 0.7% |  |  | 1.8% | 0.4% | 1.1% | 0.7% |  | 0.7% |  | 1.8% |  | 20.8% | 2.5% | 13.7% | 34.2% | 20.4% |
| C | 1334 |  |  |  |  |  |  |  |  |  |  |  | 0.2% |  | 0.2% |  |  |  | 0.5% |  | 1.2% | 14.2% | 23.4% | 7.3% | 53.0% |
| TOTAL | 2949 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

### D(v) Asset-backed commercial paper ('ABCP') - 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 (%) |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | F1+ | F1 | F2 | F3 | B | C | Defaults | Paid Off | Withdrawn (other) |
| F1+ | 8 | 100.0% |  |  |  |  |  |  |  |  |
| F1 | 37 | 10.8% | 81.1% |  |  |  |  |  | 2.7% | 5.4% |
| F2 | 1 |  |  |  |  |  |  |  |  | 100.0% |
| F3 |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 46 |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(v) Asset-backed commercial paper ("ABCP") - 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 (%) |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | F1+ | F1 | F2 | F3 | B | C | Defaults | Paid Off | Withdrawn (other) |
| F1+ | 11 | 72.7% | 9.1% |  |  |  |  |  | 18.2% |  |
| F1 | 31 | 6.5% | 87.1% |  |  |  |  |  | 6.5% |  |
| F2 | 1 |  |  |  |  |  |  |  |  | 100.0% |
| F3 |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 43 |  |  |  |  |  |  |  |  |  |

D(v) Asset-backed commercial paper ("ABCP") - 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 (%) |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | F1+ | F1 | F2 | F3 | B | C | Defaults | Paid Off | Withdrawn (other) |
| F1+ | 13 | 30.8% | 15.4% |  |  |  |  |  | 30.8% | 23.1% |
| F1 | 40 | 7.5% | 47.5% |  |  |  |  |  | 35.0% | 10.0% |
| F2 | 2 |  |  |  |  |  |  |  | 100.0% |  |
| F3 |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 55 |  |  |  |  |  |  |  |  |  |

D(vi) Other asset-backed securities ("other ABS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (%) |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1485 | 76.3% |  | 0.1% |  |  |  |  |  | 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 23.4% | 0.1% |
| AA+ | 30 | 26.7% | 46.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 26.7% |  |
| AA | 361 | 22.2% | 2.2% | 57.1% |  |  | 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18.3% |  |
| AA- | 19 | 5.3% | 10.5% | 5.3% | 73.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.3% |  |
| A+ | 96 |  | 3.1% | 10.4% | 2.1% | 67.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.6% | 1.0% |
| A | 558 | 1.8% | 0.4% | 10.0% |  | 0.9% | 72.4% |  | 0.2% | 0.2% | 0.2% |  |  |  |  |  |  |  |  |  |  |  | 0.2% | 13.8% |  |
| A- | 62 |  | 1.6% | 4.8% | 1.6% | 3.2% | 6.5% | 58.1% |  | 1.6% |  |  | 1.6% |  |  |  |  |  |  |  |  |  |  | 21.0% |  |
| BBB+ | 54 | 1.9% |  | 5.6% |  | 5.6% | 5.6% | 11.1% | 57.4% |  |  |  |  |  |  |  |  |  | 1.9% |  |  |  |  | 11.1% |  |
| BBB | 270 |  |  | 0.7% |  | 1.1% | 8.9% | 0.7% | 1.5% | 71.1% | 0.4% | 0.4% | 1.9% |  |  | 1.9% | 0.4% |  | 0.7% |  |  |  |  | 10.4% |  |
| BBB- | 48 |  |  |  |  | 2.1% | 6.3% |  |  | 2.1% | 62.5% |  | 4.2% |  |  |  |  |  |  |  |  |  |  | 18.8% | 4.2% |
| BB+ | 112 |  |  |  |  |  |  |  | 1.8% | 0.9% | 4.5% | 78.6% |  |  |  |  |  |  |  |  |  |  |  | 14.3% |  |
| BB | 110 |  |  |  |  |  |  |  | 1.8% | 8.2% | 0.9% | 2.7% | 66.4% |  |  | 4.5% | 0.9% |  | 1.8% |  | 0.9% |  |  | 10.9% | 0.9% |
| BB- | 21 |  |  |  |  |  |  |  |  |  |  |  | 9.5% | 71.4% |  |  | 4.8% |  |  |  |  |  |  | 14.3% |  |
| B+ | 13 |  |  |  |  |  |  |  |  |  |  | 7.7% |  |  | 69.2% |  |  |  |  |  |  |  |  |  | 23.1% |
| B | 80 |  |  |  |  |  | 1.3% |  |  |  |  |  | 3.8% | 1.3% | 1.3% | 66.3% |  |  | 5.0% |  | 15.0% |  |  | 6.3% |  |
| B- | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 80.0% |  | 20.0% |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 32 |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.1% | 3.1% |  |  | 59.4% |  | 18.8% |  |  | 15.6% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(vi) Other asset-backed securities ("other ABS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1705 | 37.5% |  | 0.5% |  | 0.1% | 0.1% |  |  | 0.1% |  |  | 0.1% |  |  | 0.1% |  |  |  |  |  |  |  | 61.1% | 0.5% |
| AA+ | 49 | 18.4% | 8.2% |  |  | 2.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 71.4% |  |
| AA | 436 | 10.1% | 0.2% | 26.4% | 0.7% |  |  |  |  | 0.2% |  |  | 0.2% |  |  |  |  |  |  |  |  |  |  | 61.7% | 0.5% |
| AA- | 17 | 17.6% | 5.9% | 11.8% | 35.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 29.4% |  |
| A+ | 114 | 7.9% | 0.9% | 2.6% |  | 34.2% | 1.8% |  |  |  |  |  |  |  |  | 0.9% |  |  |  |  |  |  |  | 47.4% | 4.4% |
| A | 633 | 2.5% |  | 2.7% | 0.2% | 0.6% | 43.3% | 0.5% | 0.2% | 1.4% | 0.3% |  | 0.6% |  |  |  | 0.2% |  | 0.3% |  |  |  | 0.2% | 46.8% | 0.3% |
| A- | 47 | 2.1% |  | 2.1% |  |  | 6.4% | 40.4% | 6.4% |  |  |  |  |  |  |  |  |  | 4.3% |  |  |  |  | 38.3% |  |
| BBB+ | 64 | 4.7% | 1.6% | 4.7% | 1.6% | 3.1% | 1.6% | 1.6% | 15.6% |  |  |  |  |  |  |  |  |  | 1.6% |  |  |  |  | 43.8% | 20.3% |
| BBB | 294 | 0.7% | 0.3% | 5.1% |  | 0.3% | 3.4% | 0.3% | 0.7% | 33.0% | 0.7% | 0.3% | 2.0% |  |  | 3.1% | 0.3% |  | 0.3% |  | 1.0% |  |  | 46.3% | 2.0% |
| BBB- | 39 |  | 2.6% |  |  | 2.6% | 7.7% | 2.6% |  |  | 7.7% | 2.6% |  |  |  |  |  |  |  |  |  |  |  | 69.2% | 5.1% |
| BB+ | 132 |  |  | 0.8% |  |  |  | 1.5% |  |  | 0.8% | 45.5% |  |  |  |  |  |  |  |  |  |  |  | 51.5% |  |
| BB | 105 | 1.0% |  |  |  | 1.0% |  |  | 1.0% | 3.8% | 1.0% | 1.0% | 26.7% |  |  | 2.9% |  |  | 10.5% |  | 2.9% |  |  | 44.8% | 3.8% |
| BB- | 18 |  |  |  |  |  | 5.6% |  |  | 5.6% |  |  |  | 50.0% |  |  | 5.6% |  |  |  |  |  |  | 33.3% |  |
| B+ | 6 |  |  |  |  |  |  |  |  |  |  | 16.7% |  |  | 16.7% |  |  |  |  |  |  |  |  | 16.7% | 50.0% |
| B | 91 |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.2% | 45.1% |  |  |  |  | 14.3% |  | 6.6% | 27.5% | 4.4% |
| B- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 23 |  |  |  |  |  | 4.3% |  |  |  |  |  |  |  | 4.3% | 4.3% |  |  | 52.2% |  | 8.7% | 4.3% | 4.3% | 13.0% | 4.3% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 26 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 88.5% |  |  |  | 11.5% |
| C | 39 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 97.4% | 2.6% |  |  |
| TOTAL | 3840 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(vi) Other asset-backed securities ("other ABS") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 1848 | 12.7% |  | 1.2% |  | 0.1% | 0.1% |  |  | 0.1% |  |  |  |  |  | 1.2% | 0.1% |  | 0.1% |  | 0.4% |  | 0.2% | 82.5% | 1.4% |
| AA+ | 13 |  |  |  |  |  |  |  |  | 7.7% |  |  |  |  |  |  |  |  |  |  | 7.7% |  | 7.7% | 76.9% |  |
| AA | 200 | 0.5% |  | 3.5% |  | 0.5% | 1.0% |  | 0.5% | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  | 91.0% | 2.5% |
| AA- | 64 | 1.6% |  |  | 7.8% | 1.6% | 3.1% | 1.6% |  |  |  |  |  |  |  |  |  |  | 1.6% |  |  |  |  | 81.3% | 1.6% |
| A+ | 142 | 4.2% |  | 2.8% |  |  | 2.8% |  |  | 0.7% |  |  |  |  |  | 2.1% |  |  |  |  |  |  | 0.7% | 85.9% | 0.7% |
| A | 553 | 1.8% |  | 0.5% |  | 0.4% | 3.8% | 0.4% | 0.2% |  |  | 0.7% |  |  |  | 0.9% |  |  |  |  | 0.7% | 0.2% |  | 90.1% | 0.4% |
| A- | 51 | 2.0% |  | 2.0% |  | 2.0% | 15.7% | 15.7% |  |  | 2.0% | 3.9% |  |  |  |  |  |  |  |  |  |  | 2.0% | 52.9% | 2.0% |
| BBB+ | 159 |  |  |  |  |  |  |  |  |  | 0.6% |  | 1.9% |  |  |  |  |  |  |  |  |  |  | 60.4% | 37.1% |
| BBB | 281 | 1.1% |  | 1.1% |  | 0.4% | 5.3% | 0.4% | 0.4% | 4.6% |  |  | 1.1% | 0.4% |  | 0.7% |  |  | 2.1% |  |  |  | 1.8% | 71.2% | 9.6% |
| BBB- | 92 |  |  | 1.1% |  |  | 7.6% |  |  | 3.3% |  |  |  |  |  | 1.1% | 1.1% |  |  |  |  |  | 2.2% | 78.3% | 5.4% |
| BB+ | 23 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 43.5% | 56.5% |
| BB | 113 |  |  |  |  |  | 11.5% |  |  | 5.3% |  |  | 1.8% |  | 0.9% | 3.5% |  |  |  |  | 0.9% |  |  | 61.9% | 14.2% |
| BB- | 21 |  |  |  |  |  |  |  |  |  |  |  |  | 4.8% |  |  |  |  |  |  |  |  | 9.5% | 9.5% | 76.2% |
| B+ | 26 |  |  | 3.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 96.2% |
| B | 78 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.6% |  |  | 1.3% |  | 7.7% |  |  | 42.3% | 46.2% |
| B- | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |  |  | 16.7% | 66.7% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 32 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.4% |  | 9.4% | 3.1% |  | 59.4% | 18.8% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 33 |  |  |  |  |  | 3.0% |  |  |  |  |  |  |  |  |  |  |  |  |  | 36.4% | 15.2% | 3.0% | 24.2% | 18.2% |
| C | 66 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 48.5% | 3.0% | 6.1% | 42.4% |
| TOTAL | 3801 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(vii) Other Structured Finance Products ("other SFPs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 77 | 97.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.6% |
| AA+ | 4 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 149 |  |  | 92.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.7% | 0.7% |
| AA- | 1 |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 8 |  |  |  | 25.0% | 62.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12.5% |
| A | 95 |  |  |  |  | 1.1% | 91.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.4% |  |
| A- | 5 |  |  |  |  | 60.0% | 20.0% |  | 20.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 2 |  |  |  |  |  |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |
| BBB | 1 |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 2 |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 1 |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 345 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

D(vii) Other Structured Finance Products ("other SFPs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 365 | 18.4% |  | 31.0% |  |  | 13.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.9% | 21.1% |  |
| AA+ | 4 | 25.0% | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25.0% |  |
| AA | 89 |  |  | 15.7% |  |  | 16.9% |  |  | 1.1% |  |  |  |  |  |  |  |  |  |  |  |  | 16.9% | 49.4% |  |
| AA- | 2 |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |
| A+ | 5 |  |  |  | 40.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.0% |  |
| A | 43 |  |  |  |  | 9.3% | 41.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.3% | 39.5% |  |
| A- | 7 |  |  |  |  | 42.9% | 14.3% |  | 14.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.6% |  |
| BBB+ | 4 |  |  |  |  |  |  |  | 25.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 75.0% |  |
| BBB | 2 |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |
| BBB- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |
| BB+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 522 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

*D(vii) Other Structured Finance Products ("other SFPs") Data includes structured finance other long term ratings not otherwise classified including covered bond programs and closed end fund ratings.

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

D(vii) Other Structured Finance Products ("other SFPs") - 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2023 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 384 | 9.4% |  | 9.6% |  |  | 8.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 54.2% | 18.5% |  |
| AA+ | 6 | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |
| AA | 32 |  |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 46.9% | 40.6% |  |
| AA- | 8 |  |  | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 87.5% |  |
| A+ | 2 |  |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |
| A | 36 |  |  | 2.8% |  |  | 44.4% |  | 2.8% |  |  |  |  |  |  |  |  |  |  |  |  |  | 11.1% | 38.9% |  |
| A- | 4 |  |  | 25.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 75.0% |  |
| BBB+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |
| BBB | 44 |  |  |  | 2.3% | 15.9% | 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% | 29.5% |  |
| BBB- | 3 |  |  | 33.3% |  |  |  |  | 33.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.3% |  |
| BB+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 2 |  |  |  |  |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |
| BB- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |
| B+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |
| CCC+ | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 532 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

E(i) 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 26 | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 8 |  | 87.5% | 12.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 9 |  | 22.2% | 66.7% | 11.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 9 |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 7 |  |  |  | 28.6% | 71.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 7 |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 7 |  |  |  |  |  |  | 71.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.6% |  |
| BBB- | 5 |  |  |  |  |  |  | 20.0% | 60.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% |  |
| BBB | 14 |  |  |  |  |  |  |  | 14.3% | 71.4% |  |  |  |  |  |  |  |  |  |  |  |  |  | 14.3% |  |
| BBB- | 7 |  |  |  |  |  |  |  |  | 14.3% | 85.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 9 |  |  |  |  |  |  |  |  |  |  | 77.8% | 11.1% |  |  |  |  |  |  |  |  |  |  | 11.1% |  |
| BB | 6 |  |  |  |  |  |  |  |  |  |  |  | 83.3% | 16.7% |  |  |  |  |  |  |  |  |  |  |  |
| BB | 12 |  |  |  |  |  |  |  |  |  |  |  | 8.3% | 75.0% | 8.3% | 8.3% |  |  |  |  |  |  |  |  |  |
| B+ | 10 |  |  |  |  |  |  |  |  |  |  |  |  | 10.0% | 80.0% | 10.0% |  |  |  |  |  |  |  |  |  |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.0% | 10.0% |  |  |  |  | 10.0% | 20.0% |  |  |
| B- | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 66.7% | 22.2% |  |  | 11.1% |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% | 33.3% |  | 33.3% |  |  |  | 16.7% |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 162 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

E(i) 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 27 | 96.3% | 3.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 5 |  | 80.0% | 20.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 9 |  | 22.2% | 33.3% | 44.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 9 |  |  | 11.1% | 66.7% | 22.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 6 |  |  |  | 16.7% | 50.0% | 16.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |
| A | 6 |  |  |  |  |  | 63.3% | 16.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 5 |  |  |  |  |  | 20.0% | 60.0% | 20.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 7 |  |  |  |  |  |  | 14.3% | 28.6% | 28.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.6% |
| BBB | 14 |  |  |  |  |  |  |  | 7.1% | 57.1% | 14.3% | 7.1% |  |  |  |  |  |  |  |  |  |  |  |  | 14.3% |
| BBB- | 11 |  |  |  |  |  |  |  | 9.1% | 9.1% | 36.4% | 9.1% | 27.3% |  |  |  |  |  |  |  |  |  |  |  | 9.1% |
| BB+ | 9 |  |  |  |  |  |  |  |  |  |  | 55.6% | 11.1% | 11.1% | 11.1% |  |  |  |  |  |  |  |  |  | 11.1% |
| BB | 5 |  |  |  |  |  |  |  |  |  |  |  | 40.0% | 60.0% |  |  |  |  |  |  |  |  |  |  |  |
| BB | 10 |  |  |  |  |  |  |  |  |  |  |  | 10.0% | 60.0% | 20.0% | 10.0% |  |  |  |  |  |  |  |  |  |
| B+ | 12 |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% | 33.3% | 33.3% | 16.7% | 8.3% |  |  |  |  |  |  |  |
| B | 12 |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% | 25.0% | 25.0% |  |  | 8.3% |  | 8.3% | 25.0% |  |  |
| B- | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33.3% | 16.7% |  |  | 16.7% |  | 33.3% |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 66.7% |  |  |  |  | 33.3% |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 158 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

E(i) 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 28 | 78.6% | 10.7% | 3.6% | 7.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 2 |  | 50.0% |  | 50.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 5 |  | 20.0% | 20.0% | 40.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% |
| AA- | 5 |  |  | 20.0% | 60.0% |  | 20.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 9 |  |  | 11.1% | 22.2% | 33.3% | 22.2% | 11.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 4 |  |  |  |  | 25.0% | 25.0% |  |  |  |  |  | 25.0% |  |  |  |  |  |  |  |  |  |  |  | 25.0% |
| A- | 4 |  |  |  |  |  | 25.0% | 25.0% | 25.0% | 25.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 4 |  |  |  | 25.0% |  |  |  |  | 25.0% |  |  | 25.0% | 25.0% |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 14 |  |  |  |  |  | 7.1% | 14.3% | 14.3% | 7.1% | 14.3% |  | 7.1% | 7.1% | 7.1% |  |  |  |  |  |  |  |  |  | 21.4% |
| BBB- | 12 |  |  |  |  |  | 8.3% |  | 8.3% | 25.0% | 16.7% | 25.0% |  | 8.3% |  | 8.3% |  |  |  |  |  |  |  |  |  |
| BB+ | 8 |  |  |  |  |  |  |  | 12.5% | 25.0% | 12.5% | 12.5% |  | 12.5% |  | 12.5% |  | 12.5% |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| BB | 14 |  |  |  |  |  |  |  |  |  | 7.1% | 21.4% | 7.1% | 7.1% | 7.1% | 14.3% | 21.4% |  |  |  |  |  | 14.3% |  |  |
| B+ | 8 |  |  |  |  |  |  |  |  |  |  |  | 12.5% |  | 12.5% | 25.0% | 12.5% |  |  |  |  | 12.5% | 25.0% |  |  |
| B | 9 |  |  |  |  |  |  |  |  |  |  |  |  | 22.2% | 22.2% | 11.1% |  |  |  |  |  |  | 33.3% |  | 11.1% |
| B- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 131 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

E(ii) U.S. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 478 | 97.3% | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5% |
| AA+ | 560 | 2.1% | 93.2% | 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.9% |
| AA | 669 | 0.1% | 4.0% | 90.9% | 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.0% |
| AA- | 598 |  | 0.2% | 3.0% | 91.8% | 0.8% | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.0% |
| A+ | 356 |  |  |  | 3.9% | 91.6% | 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.2% |
| A | 285 |  |  |  |  | 9.1% | 92.5% | 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.0% |
| A- | 210 |  |  |  |  |  | 11.0% | 83.8% | 1.4% |  |  | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  | 3.3% |
| BBB+ | 146 |  |  |  |  |  | 2.1% | 13.0% | 78.1% | 2.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.1% |
| BBB | 178 |  |  |  |  |  |  | 0.6% | 5.1% | 89.3% | 2.8% |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.2% |
| BBB- | 187 |  |  |  |  |  |  |  | 1.6% | 10.7% | 77.0% | 2.7% | 1.1% | 1.1% |  |  |  |  |  |  |  |  |  |  | 5.9% |
| BB+ | 91 |  |  |  |  |  |  |  |  | 3.3% | 4.4% | 75.8% | 1.1% | 2.2% |  |  |  |  |  |  |  |  |  |  | 13.2% |
| BB | 59 |  |  |  |  |  | 1.7% |  |  |  |  | 3.4% | 76.3% | 3.4% |  | 3.4% |  |  |  |  |  |  |  |  | 11.9% |
| BB | 37 |  |  |  |  |  |  |  |  |  |  | 2.7% |  | 83.8% | 2.7% | 5.4% |  |  |  |  |  |  |  |  | 5.4% |
| B+ | 14 |  |  |  |  |  |  |  |  |  |  |  |  | 7.1% | 42.9% |  |  | 7.1% |  |  |  |  |  |  | 42.9% |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.0% |  |  |  |  |  |  | 10.0% |  | 30.0% |
| B- | 16 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 81.3% |  |  |  |  |  | 6.3% |  | 12.5% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 38.5% |  | 15.4% | 7.7% |  |  | 38.5% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% | 16.7% | 33.3% |  | 33.3% |
| C | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |
| TOTAL | 3917 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

E(ii) U.S. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 491 | 87.2% | 2.9% | 0.6% | 0.4% | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.8% |
| AA+ | 562 | 5.2% | 81.1% | 3.6% | 0.4% | 0.2% | 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 9.3% |
| AA | 657 | 0.9% | 7.9% | 74.4% | 5.5% | 0.3% |  | 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10.7% |
| AA- | 582 | 0.2% | 0.3% | 8.2% | 72.5% | 3.6% | 0.9% | 0.7% | 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 13.4% |
| A+ | 388 |  |  | 0.8% | 11.9% | 65.7% | 4.6% | 0.5% | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.8% |  | 15.2% |
| A | 300 |  |  | 0.3% | 1.0% | 15.3% | 62.3% | 5.3% | 0.7% |  | 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  | 14.3% |
| A- | 200 |  |  |  |  | 0.5% | 14.5% | 63.5% | 3.5% | 2.5% |  | 0.5% |  |  |  |  |  |  |  |  |  |  |  |  | 15.0% |
| BBB+ | 143 |  |  | 0.7% | 0.7% |  | 0.7% | 11.2% | 52.4% | 13.3% | 4.2% | 0.7% |  |  |  |  |  |  |  |  |  |  |  |  | 16.1% |
| BBB | 181 |  |  |  |  |  |  | 2.8% | 10.5% | 54.7% | 9.9% | 4.4% | 1.1% |  |  |  |  | 0.6% |  |  |  | 0.6% |  |  | 15.5% |
| BBB- | 157 |  |  |  |  |  |  | 0.6% | 0.6% | 19.7% | 49.7% | 11.5% | 4.5% | 1.9% |  | 1.3% |  |  |  |  |  |  |  |  | 10.2% |
| BB+ | 60 |  |  |  |  |  |  |  |  | 1.7% | 8.3% | 46.7% | 8.3% | 6.7% | 1.7% |  |  |  |  |  |  |  |  |  | 26.7% |
| BB | 48 |  |  |  |  |  | 2.1% |  | 2.1% |  | 4.2% | 10.4% | 47.9% | 14.6% |  | 2.1% |  |  |  |  |  |  |  |  | 16.7% |
| BB- | 21 |  |  |  |  |  |  |  |  |  |  | 4.8% |  | 33.3% | 4.8% | 9.5% | 9.5% |  |  |  |  |  | 9.5% |  | 28.6% |
| B+ | 14 |  |  |  |  |  |  |  |  |  |  |  |  |  | 28.6% | 7.1% | 28.6% |  | 7.1% |  |  |  |  |  | 28.6% |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% | 20.0% |  |  |  |  |  | 20.0% |  | 40.0% |
| B- | 15 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% |  | 6.7% |  |  |  | 13.3% |  | 60.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 22.2% |  | 22.2% | 11.1% | 11.1% |  | 33.3% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.7% |  | 16.7% |  | 16.7% |  | 50.0% |
| C | 9 |  |  |  |  |  |  |  |  |  |  |  | 44.4% |  |  |  |  |  |  |  |  | 44.4% |  |  | 11.1% |
| TOTAL | 3853 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

E(ii) U.S. 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 478 | 50.2% | 5.4% | 0.6% | 1.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 42.1% |
| AA+ | 479 | 13.4% | 47.0% | 7.3% | 1.7% | 0.4% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 29.6% |
| AA- | 634 | 3.0% | 17.4% | 32.5% | 6.8% | 2.1% | 1.3% | 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 36.4% |
| AA- | 742 | 1.2% | 5.1% | 16.0% | 24.8% | 6.5% | 1.9% | 0.8% | 0.5% | 0.4% |  |  |  |  |  |  |  | 0.1% |  |  |  |  | 0.1% |  | 42.5% |
| A+ | 481 | 0.6% | 1.5% | 6.9% | 14.3% | 21.0% | 4.6% | 4.4% | 1.2% | 0.4% | 0.2% |  |  |  |  |  |  |  |  |  |  | 0.2% | 0.2% |  | 44.5% |
| A- | 327 | 0.9% | 0.9% | 2.4% | 8.0% | 13.1% | 18.7% | 4.9% | 0.9% | 0.9% | 1.2% | 0.9% |  |  |  |  |  |  |  |  |  |  | 0.3% |  | 46.8% |
| A- | 311 |  | 0.3% | 1.9% | 3.2% | 5.5% | 10.3% | 10.3% | 3.9% | 2.6% | 0.3% | 1.0% | 0.3% |  |  |  |  |  |  |  |  |  |  |  | 60.5% |
| BBB+ | 170 |  | 0.6% |  | 5.9% | 2.4% | 11.8% | 9.4% | 8.2% | 5.9% | 1.2% | 1.8% | 0.6% |  |  | 0.6% |  |  |  |  |  |  | 2.4% |  | 49.4% |
| BBB- | 131 |  |  |  | 0.8% | 0.8% | 4.6% | 5.3% | 6.9% | 14.5% | 4.6% | 1.5% | 0.8% |  | 0.8% |  |  |  | 1.5% |  |  |  |  |  | 58.0% |
| BBB- | 141 |  |  |  |  | 1.4% | 1.4% | 3.5% | 3.5% | 11.3% | 12.8% | 7.1% | 5.7% | 2.1% |  |  | 0.7% |  |  |  |  |  | 2.1% |  | 48.2% |
| BB+ | 52 |  |  |  | 1.9% |  |  | 1.9% |  | 3.8% | 9.6% | 9.6% | 3.8% | 3.8% |  |  | 1.9% |  |  |  |  |  | 3.8% |  | 59.6% |
| BB | 38 |  |  |  |  |  |  |  | 5.3% | 5.3% | 5.3% | 5.3% |  | 2.6% | 2.6% |  |  |  |  |  | 2.6% | 5.3% | 5.3% |  | 60.5% |
| BB- | 16 |  |  |  |  |  |  |  |  |  | 6.3% |  | 6.3% |  |  |  |  |  |  |  | 6.3% |  |  |  | 81.3% |
| B+ | 12 |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.3% |  | 25.0% |  |  |  |  |  | 8.3% |  | 58.3% |
| B | 13 |  |  |  |  | 7.7% |  |  |  |  |  |  |  |  |  | 7.7% | 7.7% |  | 7.7% |  |  |  | 7.7% |  | 61.5% |
| B- | 8 |  |  |  |  |  |  |  |  |  |  |  |  |  | 12.5% |  | 12.5% |  | 12.5% |  |  |  | 12.5% |  | 50.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 15 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.7% |  | 53.3% |  | 40.0% |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 80.0% |  | 20.0% |
| C | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% | 20.0% |  | 60.0% |
| TOTAL | 4058 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

E(iii) International 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 28 | 92.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.1% |
| AA+ | 6 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 34 |  | 5.9% | 91.2% | 2.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 47 |  |  |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 67 |  |  |  | 3.0% | 95.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5% |
| A | 55 |  |  |  | 1.8% | 1.8% | 90.9% | 1.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.6% |
| A- | 64 |  |  |  |  |  | 1.6% | 85.9% | 4.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7.8% |
| BBB+ | 58 |  |  |  |  |  |  | 3.4% | 86.2% | 5.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.2% |
| BBB | 116 |  |  |  |  |  |  |  | 4.3% | 76.7% | 1.7% |  |  |  |  |  |  |  |  |  |  |  |  |  | 17.2% |
| BBB- | 68 |  |  |  |  |  |  |  |  |  | 83.8% | 1.5% | 1.5% |  |  |  |  |  |  |  |  |  |  |  | 13.2% |
| BB+ | 33 |  |  |  |  |  |  |  |  |  | 3.0% | 60.8% | 6.1% |  |  |  |  |  |  |  |  |  |  |  | 30.3% |
| BB | 24 |  |  |  |  |  |  |  |  |  |  |  | 54.2% |  |  |  |  |  |  |  |  |  |  |  | 45.8% |
| BB- | 26 |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  | 34.6% |  |  |  |  |  |  |  |  | 15.4% |
| B+ | 8 |  |  |  |  |  |  |  |  |  |  |  |  | 12.5% | 75.0% | 12.5% |  |  |  |  |  |  |  |  |  |
| B | 16 |  |  |  |  |  |  |  |  |  |  |  |  | 6.3% |  | 12.5% | 12.5% |  |  |  | 50.0% | 6.3% |  |  | 12.5% |
| B- | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% | 25.0% |  |  | 25.0% |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |  |  |
| CCC- | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |  |  |  |
| CC | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60.0% | 40.0% |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 662 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

www.fitchratings.com

FitchRatings

2023 Form NRSRO
Exhibit 1

# E(iii) International 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 25 | 84.0% | 8.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8.0% |
| AA+ | 1 |  | 100.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 38 | 2.6% | 13.2% | 65.8% | 13.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.3% |
| AA | 22 |  |  | 4.5% | 77.3% | 13.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.5% |
| A+ | 32 |  |  |  | 12.5% | 78.1% | 3.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.3% |
| A | 47 |  |  |  | 2.1% | 17.0% | 61.7% | 12.8% | 2.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.3% |
| A- | 61 |  |  |  |  | 1.6% | 8.2% | 62.3% | 8.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 19.7% |
| BBB+ | 45 |  |  |  |  | 2.2% |  | 6.7% | 57.8% | 17.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15.6% |
| BBB | 94 |  |  |  |  |  |  |  | 6.4% | 50.0% | 5.3% | 4.3% | 3.2% |  |  |  |  |  |  |  |  |  |  |  | 30.9% |
| BBB- | 54 |  |  |  |  |  |  |  | 1.9% | 16.7% | 53.7% | 3.7% | 1.9% |  |  |  |  |  |  |  |  |  |  |  | 22.2% |
| BB+ | 37 |  |  |  |  |  |  |  |  |  | 13.5% | 21.6% | 13.5% |  |  |  |  |  |  |  |  |  |  |  | 51.4% |
| BB | 23 |  |  |  |  |  |  |  |  |  | 8.7% | 4.3% | 26.1% | 8.7% |  |  |  |  |  |  |  |  |  |  | 52.2% |
| BB | 28 |  |  |  |  |  |  |  |  |  |  |  |  | 35.7% | 7.1% | 17.9% |  |  |  |  |  |  |  |  | 39.3% |
| B+ | 11 |  |  |  |  |  |  |  |  |  |  |  |  | 9.1% | 27.3% | 9.1% | 9.1% |  |  |  |  |  |  |  | 45.5% |
| B | 10 |  |  |  |  |  |  |  |  |  |  |  |  | 10.0% |  | 10.0% | 10.0% |  |  |  | 40.0% | 10.0% |  |  | 20.0% |
| B- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 22.2% |  |  |  |  |  | 77.8% |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 538 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

# E(iii) International 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 (%) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 12/31/2022 (%) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | # of Ratings Outstanding | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC+ | CCC | CCC- | CC | C | Default | Paid Off | Withdrawn (other) |
| AAA | 37 | 51.4% | 2.7% | 24.3% | 5.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16.2% |
| AA+ | 6 |  | 16.7% | 16.7% | 33.3% | 33.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 18 |  | 22.2% | 22.2% | 22.2% | 5.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 27.8% |
| AA- | 17 |  |  | 11.8% | 29.4% | 5.9% |  | 23.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 29.4% |
| A+ | 7 |  |  |  | 14.3% | 28.6% | 14.3% | 28.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 14.3% |
| A | 5 |  |  |  | 20.0% |  |  |  | 40.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40.0% |
| A- | 30 |  |  |  | 10.0% |  |  | 6.7% | 3.3% | 23.3% | 6.7% |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |
| BBB+ | 14 |  |  |  |  |  | 7.1% | 28.6% | 7.1% | 7.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |
| BBB | 29 |  |  |  |  |  | 3.4% | 10.3% | 3.4% | 17.2% | 13.8% |  | 3.4% | 3.4% | 3.4% |  |  |  |  |  |  |  |  |  | 41.4% |
| BBB- | 30 |  |  |  |  |  |  |  | 3.3% | 6.7% | 30.5% | 10.0% |  | 6.7% |  | 3.3% |  |  |  |  |  |  |  |  | 40.0% |
| BB+ | 19 |  |  |  |  |  |  |  | 5.3% | 5.3% | 5.3% |  | 5.3% |  |  | 5.3% |  |  |  |  |  |  |  |  | 73.7% |
| BB | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| BB- | 11 |  |  |  |  |  |  |  |  |  |  |  |  | 9.1% |  | 9.1% | 9.1% |  |  |  |  |  |  |  | 72.7% |
| B+ | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100.0% |
| B | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.0% |  |  |  | 50.0% |
| B- | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20.0% |  |  |  |  |  | 60.0% |  | 20.0% |
| CCC+ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| TOTAL | 253 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

Fitch calculates the "Default" classification to incorporate its definitions of both "D - Default" and "Restricted Default," where both such definitions were applicable to a particular asset class. For the purposes of these performance and measurement statistics, a credit rating is classified as a Default if any of the following conditions are met:

- a. The obligor failed to timely pay principal or interest due according to the terms of an obligation during the applicable period or the issuer of the security or money market instrument failed to timely pay principal or interest due according to the terms of the security or money market instrument during the applicable period;
- b. The security or money market instrument was subject to a write-down, applied loss, or other realized deficiency of the outstanding principal amount during the applicable period.

www.fitchratings.com

# Fitch Ratings

## 2023 Form NRSRO Exhibit 1

### Definitions and Symbols

#### International Credit Rating Scales

The Credit Rating Scales (those featuring the symbols ‘AAA’-‘D’ and ‘F1’-‘D’) are used for debt and financial strength ratings. This page describes their use for issuers and obligations in corporate, public, structured and infrastructure and project finance debt markets.

Within rating categories, Fitch may use modifiers. The modifiers “+” or “-” may be appended to a rating to denote relative status within major rating categories.

For example, the rating category ‘AA’ has three notch-specific rating levels (‘AA+’; ‘AA’; ‘AA-’; each a rating level). Such suffixes are not added to ‘AAA’ ratings and ratings below the ‘CCC’ category. For the short-term rating category of ‘F1’, a ‘+’ may be appended. For Viability Ratings, the modifiers “+” or “-” may be appended to a rating to denote relative status within categories from ‘aa’ to ‘ccc’. For Derivative Counterparty Ratings the modifiers “+” or “-” may be appended to the ratings within ‘AA(dcr)’ to ‘CCC(dcr)’ categories.

International credit ratings relate to either foreign currency or local currency commitments and, in both cases, assess the capacity to meet these commitments using a globally applicable scale. As such, both foreign currency and local currency international ratings are internationally comparable assessments.

The Local Currency International Rating measures the likelihood of repayment in the currency of the jurisdiction in which the issuer is domiciled and hence does not take account of the risk that it will not be possible to convert local currency into foreign currency or make transfers between sovereign jurisdictions (transfer and convertibility [T&C] risk).

A Local Currency International Rating will be assigned in cases where an issuance’s original terms and conditions allow for repayment of foreign currency investors in local currency equivalent at the prevailing exchange rate at the time of repayment.

Foreign Currency Ratings additionally consider the profile of the issuer or note after addressing T&C risk. This risk is usually communicated for different countries by the Country Ceiling, which caps the foreign currency ratings of most, though not all, issuers within a given country.

Besides T&C risks, there can be rating distinctions between an issuer’s Local Currency and Foreign Currency Ratings, when there is considered to be a risk of selective default on Local Currency obligations versus Foreign Currency obligations, or vice versa.

A Foreign Currency Rating will be assigned in cases where an issuance is denominated in local currency or local currency equivalent, but repayment of principal and/or interest is required to be made in foreign currency at the prevailing exchange rate at the time of repayment.

Where the rating is not explicitly described in the relevant RAC as local or foreign currency, the reader should assume that the rating is a Foreign Currency Rating (i.e. the rating is applicable for all convertible currencies of obligation).

#### Issuer Default Ratings

Rated entities in a number of sectors, including financial and non-financial corporations, sovereigns, insurance companies and certain sectors within public finance, are generally assigned IDRs. IDRs are also assigned to certain entities or enterprises in global infrastructure, project finance and public finance. IDRs opine on an entity’s relative vulnerability to default (including by way of a distressed debt exchange)

FitchRatings

2023 Form NRSRO
Exhibit 1

on financial obligations. The threshold default risk addressed by the IDR is generally that of the financial obligations whose non-payment would best reflect the uncured failure of that entity. As such, IDRs also address relative vulnerability to bankruptcy, administrative receivership or similar concepts.

In aggregate, IDRs provide an ordinal ranking of issuers based on the agency's view of their relative vulnerability to default, rather than a prediction of a specific percentage likelihood of default.

**AAA: Highest Credit Quality**

'AAA' ratings denote the lowest expectation of default risk. They are assigned only in cases of exceptionally strong capacity for payment of financial commitments. This capacity is highly unlikely to be adversely affected by foreseeable events.

**AA: Very High Credit Quality**

'AA' ratings denote expectations of very low default risk. They indicate very strong capacity for payment of financial commitments. This capacity is not significantly vulnerable to foreseeable events.

**A: High Credit Quality**

'A' ratings denote expectations of low default risk. The capacity for payment of financial commitments is considered strong. This capacity may, nevertheless, be more vulnerable to adverse business or economic conditions than is the case for higher ratings.

**BBB: Good Credit Quality**

'BBB' ratings indicate that expectations of default risk are currently low. The capacity for payment of financial commitments is considered adequate, but adverse business or economic conditions are more likely to impair this capacity.

**BB: Speculative**

'BB' ratings indicate an elevated vulnerability to default risk, particularly in the event of adverse changes in business or economic conditions over time; however, business or financial flexibility exists that supports the servicing of financial commitments.

**B: Highly Speculative**

'B' ratings indicate that material default risk is present, but a limited margin of safety remains. Financial commitments are currently being met; however, capacity for continued payment is vulnerable to deterioration in the business and economic environment.

**CCC: Substantial Credit Risk**

Very low margin for safety. Default is a real possibility.

**CC: Very High Levels of Credit Risk**

Default of some kind appears probable.

**C: Near Default**

A default or default-like process has begun, or the issuer is in standstill, or for a closed funding vehicle, payment capacity is irrevocably impaired. Conditions that are indicative of a 'C' category rating for an issuer include:

- The issuer has entered into a grace or cure period following non-payment of a material financial obligation;
- The issuer has entered into a temporary negotiated waiver or standstill agreement following a payment default on a material financial obligation;
- The formal announcement by the issuer or their agent of a distressed debt exchange;

FitchRatings

2023 Form NRSRO
Exhibit 1

- A closed financing vehicle where payment capacity is irrevocably impaired such that it is not expected to pay interest and/or principal in full during the life of the transaction, but where no payment default is imminent

**RD: Restricted Default**

'RD' ratings indicate an issuer that in Fitch's opinion has experienced:

- An uncured payment default or distressed debt exchange on a bond, loan or other material financial obligation, but
- Has not entered into bankruptcy filings, administration, receivership, liquidation, or other formal winding-up procedure, and
- Has not otherwise ceased operating. This would include:
- The selective payment default on a specific class or currency of debt;
- The uncured expiry of any applicable grace period, cure period or default forbearance period following a payment default on a bank loan, capital markets security or other material financial obligation;
- The extension of multiple waivers or forbearance periods upon a payment default on one or more material financial obligations, either in series or in parallel; ordinary execution of a distressed debt exchange on one or more material financial obligations.

**D: Default**

'D' ratings indicate an issuer that in Fitch's opinion has entered into bankruptcy filings, administration, receivership, liquidation or other formal winding-up procedure or that has otherwise ceased business.

Default ratings are not assigned prospectively to entities or their obligations; within this context, non-payment on an instrument that contains a deferral feature or grace period will generally not be considered a default until after the expiration of the deferral or grace period, unless a default is otherwise driven by bankruptcy or other similar circumstance, or by a distressed debt exchange.

In all cases, the assignment of a default rating reflects the agency's opinion as to the most appropriate rating category consistent with the rest of its universe of ratings and may differ from the definition of default under the terms of an issuer's financial obligations or local commercial practice.

**Standalone Credit Profile**

A standalone credit profile (SCP) measures the intrinsic vulnerability to default of a non- financial issuer without considering extraordinary impact (either support or interference) on the credit profile due to the relationship with, and credit quality of, related parties. The ordinary impact from related entities is considered as part of the SCP, while extraordinary impact is not considered in the SCP but is reflected in the rating. SCPs are not credit ratings but express a key component of the rating analysis. SCPs are indicated using the International Rating Scale but using lower-case letters, e.g. 'aaa' instead of 'AAA'. The relevant criteria may provide additional information on ordinary/extraordinary considerations.

**Structured Finance**

Ratings of structured finance obligations on the long-term scale consider the obligations' relative vulnerability to default. These ratings are typically assigned to an individual security or tranche in a transaction and not to an issuer.

**AAA: Highest Credit Quality**

'AAA' ratings denote the lowest expectation of default risk. They are assigned only in cases of exceptionally strong capacity for payment of financial commitments. This capacity is highly unlikely to be adversely affected by foreseeable events.

FitchRatings

2023 Form NRSRO
Exhibit 1

**AA: Very High Credit Quality**

'AA' ratings denote expectations of very low default risk. They indicate very strong capacity for payment of financial commitments. This capacity is not significantly vulnerable to foreseeable events.

**A: High Credit Quality**

'A' ratings denote expectations of low default risk. The capacity for payment of financial commitments is considered strong. This capacity may, nevertheless, be more vulnerable to adverse business or economic conditions than is the case for higher ratings.

**BBB: Good Credit Quality**

'BBB' ratings indicate that expectations of default risk are currently low. The capacity for payment of financial commitments is considered adequate, but adverse business or economic conditions are more likely to impair this capacity.

**BB: Speculative**

'BB' ratings indicate an elevated vulnerability to default risk, particularly in the event of adverse changes in business or economic conditions over time.

**B: Highly Speculative**

'B' ratings indicate that material default risk is present, but a limited margin of safety remains. Financial commitments are currently being met; however, capacity for continued payment is vulnerable to deterioration in the business and economic environment.

**CCC: Substantial Credit Risk**

Very low margin for safety. Default is a real possibility.

**CC: Very High Levels of Credit Risk**

Default of some kind appears probable.

**C: Exceptionally High Levels of Credit Risk**

Default appears imminent or inevitable.

**D: Default**

Indicates a default. Default generally is defined as one of the following:

- Failure to make payment of principal and/or interest under the contractual terms of the rated obligation;
- Bankruptcy filings, administration, receivership, liquidation or other winding-up or cessation of the business of an issuer/obligor; or
- Distressed exchange of an obligation, where creditors were offered securities with diminished structural or economic terms compared with the existing obligation to avoid a probable payment default.

**Structured Finance Defaults**

Imminent default, categorized under 'C', typically refers to the occasion where a payment default has been intimated by the issuer and is all but inevitable. This may, for example, be where an issuer has missed a scheduled payment but (as is typical) has a grace period during which it may cure the payment default. Another alternative would be where an issuer has formally announced a distressed debt exchange, but the date of the exchange still lies several days or weeks in the immediate future.

Additionally, in structured finance transactions, where analysis indicates that an instrument is irrevocably impaired such that it is not expected to pay interest and/or principal in full in accordance with the terms of the obligation's documentation during the life of the transaction, but where no payment default in

# Fitch Ratings

## 2023 Form NRSRO Exhibit 1

accordance with the terms of the documentation is imminent, the obligation will typically be rated in the 'C' category.

### **Structured Finance Write-downs**

Where an instrument has experienced an involuntary and, in the agency's opinion, irreversible write-down of principal (i.e. other than through amortization, and resulting in a loss to the investor), a credit rating of 'D' will be assigned to the instrument. Where the agency believes the write-down may prove to be temporary (and the loss may be written up again in future if and when performance improves), then a credit rating of 'C' will typically be assigned. Should the write-down then later be reversed, the credit rating will be raised to an appropriate level for that instrument. Should the write-down later be deemed as irreversible, the credit rating will be lowered to 'D'.

### **Notes:**

In the case of structured finance, while the ratings do not address the loss severity given default of the rated liability, loss severity assumptions on the underlying assets are nonetheless typically included as part of the analysis. Loss severity assumptions are used to derive pool cash flows available to service the rated liability.

The suffix 'sf' denotes an issue that is a structured finance transaction.

Enhanced Equipment Trust Certificates (EETCs) are corporate-structured hybrid debt securities that airlines typically use to finance aircraft equipment. Due to the hybrid characteristics of these bonds, Fitch's rating approach incorporates elements of both the structured finance and corporate rating methodologies. Although rated as asset-backed securities, unlike other structured finance ratings, EETC ratings involve a measure of recovery given default akin to ratings of financial obligations in corporate finance, as described above.

### **Short-Term Ratings Assigned to Issuers and Obligations**

A short-term issuer or obligation rating is based in all cases on the short-term vulnerability to default of the rated entity and relates to the capacity to meet financial obligations in accordance with the documentation governing the relevant obligation. Short-term deposit ratings may be adjusted for loss severity. Short-Term Ratings are assigned to obligations whose initial maturity is viewed as 'short term' based on market convention (a long-term rating can also be used to rate an issue with short maturity). Typically, this means up to 13 months for corporate, sovereign, and structured obligations and up to 36 months for obligations in U.S. public finance markets.

#### **F1: Highest Short-Term Credit Quality**

Indicates the strongest intrinsic capacity for timely payment of financial commitments; may have an added '+' to denote any exceptionally strong credit feature.

#### **F2: Good Short-Term Credit Quality**

Good intrinsic capacity for timely payment of financial commitments.

#### **F3: Fair Short-Term Credit Quality**

The intrinsic capacity for timely payment of financial commitments is adequate.

#### **B: Speculative Short-Term Credit Quality**

Minimal capacity for timely payment of financial commitments, plus heightened vulnerability to near term adverse changes in financial and economic conditions.

#### **C: High Short-Term Default Risk**

Default is a real possibility.

#### **RD: Restricted Default**

# Fitch Ratings

## 2023 Form NRSRO Exhibit 1

Indicates an entity that has defaulted on one or more of its financial commitments, although it continues to meet other financial obligations. Typically applicable to entity ratings only.

### D: Default

Indicates a broad-based default event for an entity, or the default of a short-term obligation.

### Relationship between Short-Term and Long-Term Ratings

The credit risks that drive the long-term rating and the short-term rating are linked but distinct. Some issuers may have a significantly stronger short-term credit profile than implied by the long-term rating. Some long-term factors such as strategy are unlikely to have an immediate impact on defaults. Conversely, factors such as liquidity can have a significant impact on short- term performance and will therefore gain more weight in the short-term rating.

The table in the margin reflects typical relationships between the long-term rating and the short-term rating. The two are linked, but at certain long-term rating levels ('A+' to 'BBB') more than one short-term rating are possible. The lower of the two short-term ratings indicated by the table is the base-line. Whether an issuer achieves the higher of two possible short-term ratings is determined by the analytical groups with reference to sector specific factors (such as Liquidity for example). Details are contained in the relevant criteria.

The table below is a guide only. Actual ratings assigned can differ from this correspondence consistent with the criteria employed by individual rating groups, where analytically merited.

**Rating Correspondence Table**

| Long-Term Rating | Short-Term Rating |
| --- | --- |
| AAA | F1+ |
| AA+ | F1+ |
| AA | F1+ |
| AA- | F1+ |
| A+ | F1 or F1+ |
| A | F1 or F1+ |
| A- | F2 or F1 |
| BBB+ | F2 or F1 |
| BBB | F3 or F2 |
| BBB- | F3 |
| BB+ | B |
| BB | B |
| BB- | B |
| B+ | B |
| B | B |
| B- | B |
| CCC+/ CCC/ CCC- | C |
| CC | C |
| C | C |
| RD/D | RD/D |

# FitchRatings

## 2023 Form NRSRO Exhibit 1

### Ratings Definitions

Additional information regarding Ratings Definitions can also be found via the web link below under the heading: 'Ratings Definitions', https://www.fitchratings.com/products/rating-definitions.

### 17 CFR 17g-7(b) Disclosure of Credit Rating Histories

Information pursuant to 17 CFR 17g-7(b) Disclosure of Credit Rating Histories, can be found at the web address: https://www.fitchratings.com/ratings-history-disclosure.

**Attachment 3:** `tm2310593d1_ex99-e2.pdf`

FitchRatings

2023 Form NRSRO
Exhibit 2

# Procedures and Methodologies for
Determining Credit Ratings

Fitch's procedures and methodologies for assigning ratings are consistent with the Fitch Ratings Code of Conduct, and are documented in detail in published criteria and methodologies and internal policies and procedures. A description of the key procedures and methodologies is contained in the attached documents:

1. A summary of Fitch's qualitative and quantitative metrics described by sector.
2. "The Ratings Process" summarizes Fitch's processes for assigning credit ratings, including a) initiating and monitoring ratings; ii) initiating ratings on new or complex transactions; and iii) developing, amending and evaluating criteria.1
3. Fitch uses credit ratings of other credit rating agencies in assigning ratings to CLOs and CDOs, and, in rare instances, in its analysis of the credit quality of the assets in ABCP conduits. Fitch's methodology as it relates to the use of other credit rating agency ratings is described in the "CLOs and Corporate CDOs Rating Criteria," published September 8, 2022, and in the "Structured Finance CDOs Surveillance Rating Criteria," published September 17, 2021.

1 Note that Fitch views models as part of our criteria. Thus, where a model forms a key part of our rating process, the model and its applications are described within the relevant criteria report.

# Corporates

## Qualitative Metrics

The fundamental characteristics of each sector lead to varying typical rating ranges depending notably on their inherent exposure to volatility and business risk, either past or prospective.

The qualitative factors differ per industrial sector but often include considerations related to sector competitive intensity (competition, barrier to entry/exit, power within the value chain), sector trends (growth potential, volatility of demand, threat of substitution), and diversification (product and geographic).

The analysis also factors in the operating environment in which a corporate issuer operates and includes the location of its revenues, income and assets, its funding environment and the systemic governance in the respective location. Since companies can succeed and fail in various environments, it is neutral to the rating in most cases. However, the challenges posted by such factors in emerging markets could lead to lower ratings than would otherwise be the case. Foreign-currency ratings may also be constrained by the Country Ceiling, which is Fitch's view on the transfer and convertibility risk. Overlaying quantitative approaches to credit analysis, a qualitative assessment of management quality, strategy, and idiosyncratic corporate governance factors may influence ratings.

## Quantitative Metrics

The quantitative metrics measure cash flow, earnings, leverage and coverage to assess credit risk. Metrics include earnings before interest, taxes, depreciation or amortization (EBITDA)- or Funds from Operations-based profitability, leverage, and coverage ratios to assess a rated entity's cash flow generation relative to its debt service requirements. Liquidity analysis focusses primarily on the ability to generate sustainable internal cash generation from operations rather than a year-end cash position, where largely uncovenanted structures allow management to divert to equity thereby potentially creating imbalances versus debt stakeholders' interests.

Specific quantitative metrics can be used, and often are more appropriate in relation to different risk profiles derived from Fitch's qualitative assessment of the rated entity.

# Banks / Financial Institutions

## Qualitative Metrics

The qualitative metrics are used to assess the entity's intrinsic creditworthiness and, in certain cases, the likelihood of receiving external support. The intrinsic creditworthiness assessment first considers the operating environment, and then the business profile, risk profile, and financial profile. The risk profile assessment includes evaluation of underwriting standards, risk controls, growth and market risk. The financial profile analysis aligns with the type of financial institution as well as consideration of the operating environment. Support considerations evaluate the likelihood that the entity will receive extraordinary support - typically from either the owner(s) or sovereign. While sovereign support is often a rating factor for banks, it is less common for other non-bank financial institutions.

## Quantitative Metrics

The quantitative metrics for banks are used to assess the operating environment and business profile as well as the four financial profile factors: asset quality, earnings and profitability, capitalization and leverage and funding and liquidity. The operating environment assessment considers GDP per capita and a ranking using Fitch Solutions' Operational Risk Index. The business profile assessment considers the assigned operating environment score and operating income. Each financial profile factor assessment starts with an implied score based on the assigned operating environment score and a factor specific metric. The core metrics for each factor are as follows: impaired loans to gross loans ratio for asset quality, operating profit to risk-weighted assets for earnings and profitability, core capital ratio for capitalization and leverage, and loans-to-customer deposits for funding and liquidity. All primary bank metrics are reviewed in coordination with complementary metrics where appropriate, in conjunction with analytical judgement, to inform the final assessment for each financial profile factor.

For each non-bank financial institution subsector - which includes securities firms, investment managers, business development companies, finance and leasing companies and financial market infrastructure firms - Fitch uses a set of core and complementary metrics that align with the entity's risk profile.

## Insurance

### Qualitative Metrics

The primary qualitative factors for insurance ratings are an assessment of industry profile and operating environment, business profile, ownership, and corporate governance and management. These elements can serve to limit or cap a rating as can be the case with corporate governance, establish a foundation for solid creditworthiness based on the need for financial strength and a strong regulatory environment in the industry profile and operating environment evaluation. The sector(s) that an insurance company operates within is an important aspect in the evaluation of the operating environment. The business profile takes into account competitive positioning and key business risks that help assess the sustainability of an entity's creditworthiness. Factor performance is compared to principals, guidelines, and relative to peers. Insurance ratings consider the nature of the regulatory regime, and the relative credit quality of various members inside the organization as well as various components of the capital structure.

### Quantitative Metrics

The key quantitative factors for insurance entities are capitalization and leverage, debt service capabilities and financial flexibility, financial performance and earnings, investment and asset risk, asset/liability and liquidity management, reserve adequacy, reinsurance and risk mitigation, and catastrophe risk. Primary metrics include net premiums-to-capital, total liabilities-to-capital, capital adequacy ratios (both regulatory and per Fitch models), and financial leverage. Operating performance is considered through the combined ratio for non-life insurers and pretax return on assets for life insurers. Asset quality is reviewed by risky assets-to-equity, non-investment grade bonds-to-equity and unaffiliated common stock assets-to-equity. Liquidity is measured by liquid assets relative to liabilities. Reserve quality (for property/casualty) is considered by net leverage, reserve development-to-equity, reserves-to-earned premium, and calendar year paid losses-to-calendar year incurred losses.

# Public Finance / Sovereigns

## Qualitative Metrics

The qualitative metrics for public finance ratings are the institutional framework and sector risk profile, economy, revenues, expenditures, and debt. The institutional framework and sector risk profile considers the legal, structural, and regulatory environment as well as the macroeconomic factors that provide the backdrop against which the other key rating factors are evaluated. Revenues are considered, and the demand and pricing characteristics that influence revenue volatility, and the tools available to the issuer to respond to fluctuation in demand. The issuer's expenditure framework, including predictability and volatility of costs are considered. Operating/financial performance considers the level of financial flexibility an issuer can sustain as it encounters stresses expected to occur over the relevant forecast period. Other risks, such as debt structure, management and governance, and legal and regulatory risks are also considered when assigning a rating. These risk factors are not scaled, and only weaker characteristics affect the rating.

Sovereign credit analysis emphasizes the structural features of the economy that render it more or less vulnerable to shocks, including the risks posed by the financial sector, political risk and governance factors; and macroeconomic performance, policies and prospects, including growth prospects, economic stability and the coherence and credibility of policy. Sovereign ratings consider an issuer's finances, including budget balances, the structure and sustainability of public debt and fiscal financing; the sustainability of current account balances and capital flows, and the level and structure of external debt.

## Quantitative Metrics

The quantitative metrics for U.S. tax-supported credits include historical tax revenues, direct debt, and adjusted net pension liability. The long-term liability burden is calculated as direct debt+adjusted net pension liability as a percentage of personal income. For revenue-supported credits, leverage is considered by net debt plus other liabilities to Cash Flow Available for Debt Service (CFADS) or EBITDA, which provides an indication of the cash flow from core operations which is available for the payment of debt service. Days cash on hand measures the number of days that an organization could continue to pay its average daily cash obligations from its current cash position.

Sovereign ratings use a model that considers several metrics, such as GDP per capita, inflation, government debt levels and reserve currency flexibility. The rating model output is supplemented by additional qualitative analysis which can adjust the model output up or down three notches to reach a final rating conclusion.

# Infrastructure and Project Finance

## Qualitative Metrics

The qualitative metrics address the issuer's ability to generate a stable cash flow based on its legal framework and fundamental economics. Where material to the rating, risks that may cause the facility not to be completed on time, on budget, and/or up to the performance standards assumed for the operating period credit profile (completion risk) are evaluated. Operating cost, demand, revenue, and infrastructure renewal risks that affect the ability to make debt service payments (operation and revenue)

are considered. Financial profile analysis considers the financial flexibility as a facility encounters stresses expected to occur over the forecast period. The Debt Structure analysis assesses protections in the transaction structure to ensure timely payment of debt service. This encompasses an assessment of payment waterfall ranking, refinance risk, financial profile, covenant package, structural features, hedging financial risk, liquidity and reserves. The level of financial flexibility that a facility demonstrates is considered as it encounters stresses expected to occur over the relevant forecast period. Counterparty risk (off-takers, concession grantors, warranty providers) is assessed for each risk factor. Country risk factors, industry specific risks, and the facility’s exposure to event risks and mitigating factors to such risks are accounted for in the final rating.

#### Quantitative Metrics

The quantitative metrics considered are the Debt Service Coverage Ratio (DSCR); leverage ratio, which is the ratio of net debt to CFADS or net debt to EBITDA; project life coverage ratio, which is the net present value (NPV) of CFADS over the remaining project life, divided by the principal outstanding on the rated debt instrument (plus all equal-ranking and senior debt) at the calculation date; and loan life coverage ratio, which is the NPV of the cash flow available for debt service, from the calculation date to the maturity of the rated debt instrument. Other metrics such as Interest Coverage Ratio (ICR), Maximum Annual Debt Service (MADS) and Net Debt to Regulated Asset Base are also used.

#### Structured Finance

##### Qualitative Metrics

The qualitative metrics consider qualitative components of asset quality - such as measures of physical quality and opinions on potential volatility; strength of transaction participants, including originators, servicers, and other counterparties, as well as a legal analysis analyzing the isolation of the collateral pool from the originator which forms the assumption that the credit analysis is based on the collateral itself, rather than the originator.

##### Quantitative Metrics

The quantitative metrics for structured finance are an estimate of expected losses, which typically consists of two sub-components: a probability of default and loss severity/expected recovery. Both of these sub-components are typically related to the collateral of the transaction. Expected losses at the asset level are also influenced by quantitative assumptions on multiples (extrapolation between expected losses under an expected case and under higher stresses), and transaction-wide metrics, such as portfolio concentration.

Other important quantitative factors are cash flow related, including timing of the cash flows of both the transaction’s assets (collateral) and liabilities (bond structure) and interest rates assumptions.

FitchRatings

# The Rating Process

How Fitch Assigns Credit Ratings

FitchRatings

Credit Policy
Cross-Sector
Global

# The Ratings Process

## How Fitch Assigns Credit Ratings

Fitch Ratings' credit ratings provide opinions on relative vulnerability to default or loss.

This report replaces the report of the same title dated May 22, 2019.

Fitch Ratings' credit ratings provide opinions on the relative vulnerability to default or loss. To arrive at the rating opinion, Fitch follows standardized procedures, as described in this report, to ensure a globally consistent approach to its rating processes.

For the purposes of this report, a "credit rating" refers only to an international scale credit rating and the rating process described relates solely to Fitch's international credit ratings. References to an "issuer" may mean an issuer, entity or transaction.

### Initiating the Ratings Process

The rating process usually begins when an issuer, sponsor/arranger or underwriter, or, in any of these cases, its agent, contacts a member of Fitch's Business and Relationship Management (BRM) group with a request to engage Fitch to provide a credit rating.

Alternatively, Fitch may initiate rating coverage on an unsolicited basis, where sufficient public information is available, to broaden industry coverage or provide insight to market participants.

### Assignment of the Analytical Team

**Managers' Role:** Managers leading the relevant credit rating group will assign a primary and secondary analyst to lead the analysis, formulate a rating recommendation and bring the recommendation to a rating committee. These analysts are usually responsible for the monitoring or surveillance of the credit rating after it is assigned.

**Structured Finance Ratings:** For structured finance, once an initial credit rating is assigned, surveillance is typically transferred from the primary analyst to a dedicated surveillance analyst, although day-to-day surveillance activities may remain with the primary analyst for some structured finance asset types.

**U.S. Public Finance Ratings:** For U.S. public finance, the primary analyst is responsible for leading the analysis and formulating a rating recommendation but surveillance responsibilities vary by sector.

**Analysts' Role:** Fitch analysts conduct their reviews in a manner consistent with published criteria applicable to the issuer and asset class, which may vary by region. Analysts and committee members are required to consider relevant qualitative and quantitative factors as defined in applicable criteria and methodologies.

Analyst coverage may be rotated over time as deemed appropriate by analytical group managers and in accordance with Fitch's policies and procedures, reflecting applicable laws and regulations.

### Related Research

Rating Definitions

Rating Criteria

Code of Conduct and Ethics

### Analysts

**Richard Hunter**, Chief Credit Officer
+44 20 3530-1102
richard.hunter@fitchratings.com

**Julie Solar**, Regional Credit Officer, U.S. & Canada
+1 312 368-5472
julie.solar@fitchratings.com

**Darryl Osojnak**, Global Head of Policy & Operations
+1 212 908-0602
darryl.osojnak@fitchratings.com

Special Report | February 24, 2022

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Global

## Information Used to Determine a Credit Rating

Analysts base their rating analysis on a thorough review of information known to them and believed to be relevant to the analysis and the rating decision in accordance with the applicable criteria.

The rating process incorporates information provided directly to Fitch by the issuer, arranger/sponsor or other third party. This may include background data, management forecasts, risk reports, performance information or other proprietary information.

In most cases the issuer's management or transaction sponsor participates in the ratings process via in-person management and treasury meetings, on-site visits, teleconferences, and other correspondence.

Analysts also consider macroeconomic data, market events and any other information deemed relevant for rating analysis, such as data regarding an issuer's peers, data provided by other analytical groups within Fitch or publicly available information.

The analytical team conducting the analysis will determine if sufficient information is available to form a view on the creditworthiness of the issuer. The rating committee will also consider whether there is sufficient information to assign a credit rating.

If Fitch believes that the information available, both public and private, is insufficient to form a rating opinion, no credit rating will be assigned or maintained. Fitch will withdraw that credit rating if sufficient information ceases to be available in relation to an existing credit rating.

Fitch relies on information in its analysis from sources it believes to be credible. The agency conducts a reasonable investigation of factual information relied upon in its analysis by obtaining reasonable verification of that information from independent sources to the extent such sources are available. Issuers, or arrangers/sponsors, may choose not to share certain information with external parties, including rating agencies, at any time.

While Fitch expects that each participating issuer in the rating process, or its agents, will supply promptly all information relevant for evaluating both the credit ratings of the issuer and all relevant securities, Fitch neither has, nor would it seek, the right to compel the disclosure of information by any issuer or any agents of the issuer.

## Pre-Committee Process

Where a debt issue or financial structure is deemed to have unique or complex features or does not appear to have a fundamental economic purpose, a screening committee (SC) may be held to determine whether the full rating process should proceed.

A SC is not a rating committee but is rather a cross-sector committee that provides an initial layer of review to consider such rating proposals early in the rating process.

The primary purpose of the SC is to determine the feasibility of assigning a credit rating to such proposals, which may need a cross-sector review to assess how certain credit risks should be considered and which rating criteria may be applied.

## The Committee Process

Credit ratings are assigned and reviewed through a committee process. Once information has been collected and the issuer and/or securities are analyzed in accordance with Fitch's criteria and methodologies, the primary and secondary analyst will form a rating recommendation and document their analysis and rationale in a committee package.

Committees consider the information and rating recommendation presented in the committee package and discuss the recommendation. The committee package must contain sufficient content, consistent with the methodology and criteria that apply to the analysis, to provide a solid basis for the recommended credit rating.

The package must include a summary of key rating drivers, sensitivity analysis, criteria variations, if any, and details of reasonable investigation, among certain other minimum content.

Voting members are chosen based on relevant experience, with seniority and experience thresholds reflected in Fitch's committee quorum requirements. The minimum committee voting quorum for credit rating decisions is five, subject to limited exceptions, and a maximum of nine, although committees often include non-voting observers.

The committee's voting quorum must include:

- A chair that moderates the committee and ensures it is conducted in accordance with Fitch's policies and procedures; and
- At least one independent member from outside the immediate asset class, sub-sector or geographic area of the entity under review, subject to limited exceptions.

The rating committee considers relevant quantitative and qualitative factors, as defined in Fitch's established criteria and methodologies, to arrive at the credit rating that most appropriately reflects both current and prospective performance.

A rating committee may adjust, or vary, the application of the criteria to reflect the risks of a specific transaction or entity. All such criteria variations are disclosed in the respective rating action commentaries, including their impact on the credit rating, if any.

A variation can be approved by a rating committee where the variation is in relation to a risk, feature or other factor that is relevant to the assignment of a credit rating and where this and the methodology applied to it are both already included within the scope of the criteria.

Where the analysis described in the criteria would require modification to address the risk, feature or factor specific to the particular transaction or entity, approval would then be sought for new or amended criteria.

Analysts maintain a dialogue with the participating issuer during the rating process to resolve any outstanding questions and to request additional information. A credit rating is assigned if the committee agrees on a rating level and that the information supporting that rating decision is sufficient and robust.

Committee decisions are reached by consensus, while individual committee member votes and individual views expressed are not recorded, except in the case that a member of the quorum appeals against a credit rating.

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If a committee member is not able to accept the consensus opinion, then they must initiate an internal appeal. In addition, an internal appeal must be launched by the chair if a consensus view cannot be reached.

An internal appeal involves a new committee being held typically within two business days of the original committee and with at least two new committee members in the quorum to consider the original committee package, the consensus recommendation and a summary of the appeal.

A further internal appeal is possible if one is launched by a new committee member, such a second internal appeal committee will be decided by majority if no consensus is reached. In the event that the chair determines that further analysis or information is required before the committee can move to a vote, the committee will be suspended to allow this material to be gathered. Committee members and the chair must also make certain attestations with respect to the independence and objectivity of the rating process that was followed.

In limited circumstances, credit ratings that have been determined by a rating committee may be applied to new debt issues without holding a further rating committee, provided that the class of debt concerned was considered by the previous committee and the credit rating is applicable to that class of debt or is pari passu with the class of debt.

In all such cases, Fitch identifies the date of the relevant prior rating committee in the new debt issue rating announcement. By contrast, if the class of debt has not previously been considered in a rating committee, then a rating committee must be held to assign the credit rating to the new issue.

There are also other limited circumstances where rating committees may not be required, for example, converting an expected credit rating to final, provided nothing substantial has changed.

## Issuer Notification and Rating Dissemination

Once the committee concludes, the outcome is communicated in writing to the issuer or, where applicable, its arranger/sponsor/agent. The issuer notification requirement is subject to certain exceptions (except where the lead analyst is based in an EU-registered entity or a branch of an EU-registered entity).

Such exceptions include:

i) to address time-sensitive, event-driven rating actions, for example, in response to the announcement of a merger or acquisition; in such cases, issuer notification is given as soon as practical after publication of the credit rating;
ii) to address bulk rating action reviews in U.S. structured finance;
iii) to address cases where Fitch does not have an appropriate contact, e.g. certain non-participating issuers; and
iv) to address rating actions taken on certain dependent credit ratings.

In communicating the credit rating to the issuer, or arranger/sponsor/agent, the rating action and the principal grounds on which the credit rating is based must be explained. Typically, analysts use a draft rating action commentary or a draft presale report, which includes the committee's ratings decisions, to convey this information.

The primary analyst provides the issuer, or arranger/sponsor/agent, with the opportunity to review Fitch's draft rating action commentary, or presale report, to allow the issuer, or arranger/sponsor/agent, to check for factual accuracy and the presence of non-public information.

Fitch evaluates this feedback from issuers while retaining full editorial control over its commentaries. The primary analyst records the issuer's response in Fitch's publishing application before a rating action commentary is released.

However, if the issuer provides verbal feedback, the primary analyst will contact the issuer representative in writing to confirm the nature of his/her feedback and that the credit rating will be published.

Fitch typically aims to publish rating actions on existing public credit ratings by the end of the next business day following the conclusion of the committee, unless the credit rating is subject to external appeal or subject to other conditions, such as regulations governing the notification time period. The notification period must be at least 24 hours before publication of the rating decision or outlook.

If the issuer provides feedback within the notification period that it has no outstanding comments, the credit rating may be published before waiting for the specific notification period to elapse. Fitch aims to publish new public credit ratings shortly after the rating committee and subject to the same considerations as outlined above.

However, the exact timing of new credit rating announcements can be affected by other factors. For example, if the credit rating relates to a new debt issue, Fitch's procedures require it to delay its rating announcement until materials, with respect to the debt issue, are in the public domain.

All rating actions for new or existing publicly-rated issuers/securities are published on Fitch's website and released to major newswire services. These rating action commentaries provide a rationale for the rating decision based on key rating drivers and sensitivities, identify the criteria applied in the rating process, detail any material sources of information used to prepare the credit rating, other than those described in criteria, indicate if an issuer did not participate in the credit rating and describe any criteria variations that were applied, among certain other disclosures.

The timing of publication reflects the important balance between allowing sufficient time for the issuer to review the rating rationale for factual accuracy, the presence of confidential information and providing users of credit ratings with timely and objective opinions.

In addition to Fitch's rating action commentaries, a research report may be published about issuers individually or by industry and made available to subscribers to Fitch's website.

## External Appeals

An issuer may request an appeal of a rating decision, referred to as an external appeal, but there is no specific right to an appeal. Appeals will only be granted when an issuer provides new or additional information in a timely manner that Fitch believes is relevant to the credit rating.

Where such an external appeal request is received, an appeal review panel will be convened to review any additional information provided and determine whether it warrants granting an external appeal of the rating decision.

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Where an external appeal is granted, a new committee is convened to reconsider the rating decision. This committee is composed of the chair of the original committee, senior-level analysts who did not attend the previous committee and certain members of the original committee.

Fitch endeavors to complete the appeal review of new credit ratings as quickly as possible, preferably within two business days. In cases where the review of an existing credit rating is not finalized during the two-day time frame, the credit rating may be placed on Rating Watch.

In the event that an external appeal committee results in a rating decision that is different from the original committee decision, this will be disclosed in the rating action commentary. The commentary will note the original rating outcome was subject to appeal and that, following the appeal, the rating outcome is different from the original decision. The original rating committee decision will not be included in the published commentary.

## Rating Surveillance

Fitch's credit ratings are typically monitored on an ongoing basis and the review process is a continuous one. Monitored credit ratings are also subject to a review by a rating committee, at least once annually.

Certain sovereign and international public finance credit ratings are reviewed at least every six months, according to a calendar of scheduled review dates. Point-in-time credit ratings are not monitored on a continuous basis. Such credit ratings are usually private, but where they are published, they are clearly disclosed as "point-in-time" in the accompanying rating action commentary.

Analysts will convene a committee to review the credit rating instead of waiting for the next scheduled review if a business, financial, economic, operational or other development can reasonably be expected to result in a rating action. For example, operational or fiscal deterioration, an acquisition, a divestiture or the announcement of a major share repurchase may be events that trigger an immediate rating review.

Peer analysis is a surveillance method that may be primarily used to assess the relative performance of comparable entities and transactions over time. Peer groups are created based on similar fundamentals and rating levels, among other factors.

Results of Fitch's peer analysis are included in research, such as a Ratings Navigator, a peer comparison tool used with respect to certain sectors that provides a graphical representation of key rating drivers against peer expectations for a given rating category. Fitch may choose to conduct portfolio reviews for peer entities whereby all the entities are subject to a rating review at the same time.

Scenarios for structured finance are generally based on quantitative metrics. In addition, ratings performance may be monitored with surveillance tools to evaluate the effect of stress scenarios on transactions.

Such tools will typically track data from surveillance reports provided by the trustee and compare the information against original and stressed expectations to "flag" transactions where performance has diverged from established parameters.

## Forward-Looking Ratings

Credit ratings reflect Fitch's views of future performance based on historical performance through various economic cycles, and Fitch's opinion as to how future performance may evolve. Event risk is not considered in most credit ratings and, as a result, credit ratings may change due to events, such as a merger, an acquisition, fraud, litigation, sudden weather events or political events that alter expected financial performance in the near term.

## Rating Process Timeframe

The time required to assign a new credit rating varies and will partly depend on the time required by the issuer, or arranger/sponsor, to respond to information requests from Fitch, along with the time it takes the issuer to review Fitch's draft research for factual errors and the presence of non-public information. Depending on the sector and type of credit analysis involved, Fitch typically assumes a time frame of four to eight weeks to provide a full corporate, financial institution, sovereign or structured finance credit rating.

## Rating Withdrawals

Fitch's credit ratings remain its property at all times. As such, Fitch has full discretion to determine if and when to withdraw a credit rating. Fitch can withdraw a credit rating at any time and for any reason and does not withdraw credit ratings simply in response to a request from an issuer.

However, it may be appropriate for Fitch to withdraw the credit rating following such a request if there are other reasons for withdrawal, such as a lack of information, a lack of market interest or regulatory constraints. Some rating withdrawals may be initiated by Fitch's BRM group for commercial reasons. Proposals to withdraw credit ratings are generally subject to review by a rating committee in accordance with Fitch's established procedures, subject to certain exceptions.

It is Fitch's policy in such cases to publish a rating action commentary that includes the credit rating(s) at the point of withdrawal and states that the credit rating(s) has been withdrawn and the rationale for the withdrawal. However, announcements are not issued for credit ratings that relate to obligations that have matured, been redeemed or paid in full.

## Criteria Reports

All credit ratings must be assigned according to the applicable criteria. Criteria describe Fitch's assessment of the rating drivers affecting a given sector and the analytical approach and assumptions used to analyze those drivers to assign and maintain credit ratings.

Criteria can be classified as:

- Master criteria that describe the basic foundation for our credit ratings within an asset group;
- Cross-sector criteria that explain Fitch's approach to discrete topics that relate to multiple areas; and
- Sector-specific criteria that describe the rating drivers and assumptions applicable to a particular sector or asset class.

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# Fitch Ratings

Credit Policy  
Cross-Sector  
Global

Bespoke criteria may be developed for analysis of individual, or small groups of, transactions or entities. The consistent application of criteria facilitates the comparability of Fitch's credit ratings across regions and sectors. Each criteria report scope specifies the category of obligor, security or instrument to which the criteria can be applied and its geographical reach.

Criteria identify key rating drivers relevant to each rating sector and describe their relative importance to analysis. Criteria reports also include a description of the expected sensitivity of credit ratings to key rating drivers, whether qualitative or quantitative. Where part of the analysis described in a criteria report is implemented using a rating model, the criteria report describes the use of the rating model and all the credit-related assumptions and their value ranges, how the assumptions are applied and the significance of the model outputs.

Criteria reports include an explanation of differences between new ratings analysis and surveillance analysis, if any. Alternatively, when surveillance analysis differs from new issue rating criteria, Fitch may publish surveillance criteria as a standalone report. Such criteria are subject to the same procedures as all other criteria.

Criteria may contain a description of the type and source of the data used to derive the key rating assumptions detailed in the report. For structured finance, this includes those assumptions applied in the portfolio default analysis, portfolio loss analysis and cash flow analysis. For non-structured finance, this includes data used to assign credit ratings, such as accounting statements, data provided by issuers and/or industry data.

Criteria reports describe limitations in the criteria used to assign a credit rating, where applicable, supplementing the limitations included in the **Ratings Definitions** section on Fitch's website at www.fitchratings.com.

Fitch's criteria are designed to be used in conjunction with analytical judgment exercised through individual analysts and the committee process. The combination of transparent criteria, analytical judgment applied on a transaction-by-transaction or issuer-by-issuer basis and full disclosure via rating commentary underpins Fitch's rating process and assists market participants in understanding the analysis behind our credit ratings.

## Criteria Assumptions

The rating analysis applies both qualitative and quantitative assumptions.

Criteria reports specify the quantitative assumptions, or describe the assumption setting process to derive them, applied in credit analysis, including credit-risk-related assumptions contained within models used in the rating process.

Where Fitch's rating analysis applies different quantitative values in the analysis of different credit ratings, criteria may provide a description of the rating-specific assumption-setting process.

Criteria also describe how macroeconomic or other financial data relate to assumptions made in criteria or influence credit ratings, where appropriate. Derivations of specific assumptions by geographical area are provided, where appropriate. Where default and loss assumptions or routine adjustments to externally sourced data, e.g. financial accounting ratios, are used, these are specified in the criteria report.

Quantitative ratios used in the rating analysis are included in the criteria, along with a description of how these ratios relate to each other, such as correlation. Any averages, medians, ranges or measures of dispersion used for key assumptions are described where relevant. Qualitative assumptions are also specified, including the extent to which such assumptions influence rating outcomes.

## Developing and Maintaining Criteria

All criteria, including models and assumptions, are reviewed and approved by a Criteria Review Committee (CRC) at least annually and proposals to amend criteria between annual reviews are also required to be approved by a CRC, led by a Criteria Review and Approval Group (CRAG), which is fully independent of the analytical groups.

The CRC evaluates the sufficiency, transparency and rigor of criteria for credit ratings, and any related models used in the rating process. Models are subject to full independent validation once every three years by a Model Validation Group (MVG), with any changes in the interim also subject to review by the MVG. All new and material changes to rating criteria and models must be reviewed and approved by Fitch's board of directors following the CRC's review and approval.

Criteria are developed and maintained by analytical groups and submitted to CRAG for review and approval by CRC. The analytical group will propose amendments to existing criteria where new and significant rating drivers emerge or previous rating drivers or assumptions change. Rationale and rating effect analysis for any proposed changes to criteria are prepared and presented in a CRC.

Criteria are subject to back-testing, which consists of a review of the appropriateness of the criteria considering the historical performance of credit ratings under the criteria, and historical quantitative and qualitative observations relative to criteria assumptions.

Analytical groups are responsible for creating, documenting and updating back-testing analysis. CRCs review the adequacy of back-testing materials during the annual criteria review and approval process, including determining whether the data are sufficiently robust relative to the materiality of the assumptions.

## Criteria Change Communication and Application

Exposure drafts must be published for approved proposals that materially change existing rating criteria, including assumptions and models, and for approved proposals for new criteria, models or key rating assumptions, which could have an effect on one or more credit ratings. Exposure drafts for proposed new criteria and any proposed changes to existing criteria, models or key rating assumptions are published on Fitch's website with an invitation to third parties to submit comments.

The exposure draft includes an explanation of the reasons for, and the implications of, the proposed changes, including the anticipated effect on existing credit ratings. During the exposure period, existing criteria continue to be applied to outstanding credit ratings, while new issuer and transaction credit ratings will be assigned using the exposure draft.

After Fitch has assessed the responses, it will publish the results of the consultation and a summary of the content of written responses unless the respondent has requested confidentiality.

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# FitchRatings

Credit Policy  
Cross-Sector  
Global

Rating criteria will be published on Fitch's website at www.fitchratings.com. Publication of new or revised criteria will be accompanied by a press release describing the changes made, including any effect of the criteria change on outstanding credit ratings.

Following the publication of the new or revised criteria report after an exposure draft, all credit ratings that could incur rating changes as a result of the application of the new or revised criteria will be indicated as Under Criteria Observation (UCO).

However, credit ratings may be placed on Rating Watch where rating implications for relevant credit ratings can be clearly anticipated. The decision to apply Rating Watch instead of UCO is determined by the analytical group. UCO or Rating Watch status will be resolved no later than six months from the publication of the criteria.

## Quality Standards for Credit Ratings

To ensure the quality of its product, a common process for assigning international credit ratings to entities/securities applies globally within all Fitch Ratings offices, irrespective of size or location.

Fitch's Chief Risk Officer (CRO) is organizationally at Fitch Group and; therefore, independent from the analytical groups. The CRO has each of the second lines of defense as direct reports including Fitch's Credit Policy Group (CPG), CRAG and Compliance Group. Together, these groups act to ensure that Fitch's ratings criteria, policies and procedures are consistently executed, that credit ratings are consistent across the company and that it complies with applicable laws and regulations.

CPG is a global, centralized function with a cross-sector mandate to strengthen Fitch's credit analysis, ratings and research by identifying credit risks that require additional focus and ensuring those risks are considered by analytical teams in the ratings process.

A critical component of this mission is continuously soliciting and incorporating external perspectives and information to help CPG more effectively and rigorously challenge Fitch's analytical approach. The group includes the Chief Credit Officer and Group Credit Officers for each asset class.

The Compliance Group identifies and provides advice on compliance risks facing Fitch, conducts testing to ensure management's internal controls achieve compliance with laws, regulations, guidelines and specifications relevant to Fitch's business and monitors employee activity to ensure effectiveness of controls, including those to mitigate conflicts of interest.

Within Fitch's Compliance Group, the Compliance Testing & Monitoring (CTM) group assesses Fitch's compliance with Fitch's Code of Conduct and other established policies, procedures and controls with respect to Fitch's credit ratings and related activities.

## Unsolicited Credit Ratings

Fitch believes that investors benefit from increased rating coverage by Fitch, whether such credit ratings are solicited by issuers or investors or are unsolicited. The criteria, committee procedures and minimum information standards are no different for unsolicited and solicited credit ratings. Therefore, credit ratings assigned to issuers with similar credit characteristics are comparable. The solicitation status has no effect on the level of the credit ratings assigned.

## Other Credit Products

In addition to published credit ratings, Fitch offers several additional services within the core rating business.

Fitch prepares a limited number of private credit ratings, i.e. unpublished credit ratings, for entities, if a credit rating is requested. Private credit ratings undergo the same analysis, committee process, surveillance and procedural standards as published credit ratings, unless otherwise disclosed as 'point-in-time' in nature, see the Rating Surveillance section, on page five.

Fitch also provides a rating assessment service (RAS) under certain circumstances. A RAS indicates the rating level that an issuer and its obligations would likely receive given a set of hypothetical circumstances provided by the assessed entity. This assessment is conducted under the same procedural standards as credit ratings and is performed by the analytical group responsible for that entity.

Feedback is provided in writing, including a list of the circumstances and limitations applied in the assessment. Outcomes from a RAS are not made public as they are based on hypothetical, rather than actual, circumstances.

However, in accordance with EU regulatory requirements, Fitch will disclose cases where it has provided such a service to a rated entity or related third parties, where the primary analyst is based in an EU-registered entity or a branch of an EU-registered entity.

Fitch also provides credit opinions on entities and transactions where one or more characteristics of a credit rating are omitted or meet a different standard. This form of opinion may be based on more limited information and is subject to a less extensive committee process.

Credit opinions are delineated by lower-case characters and either an asterisk, e.g. 'bbb+', or the suffix (cat), indicating that the opinion is conditional and not comparable in all regards to credit ratings at that level.

Credit opinions are not credit ratings and should not be employed by rating users without consideration of any limitations that they may have or any conditions attached to their use. Further details can be found in the report Credit Opinions.

In addition to credit ratings on the international scale, Fitch offers credit ratings on national scales that offer an opinion of creditworthiness, relative to the universe of issuers and issues within a single country or monetary union.

Unlike international scale credit ratings, national scale credit ratings are not intended to be comparable across jurisdictions and can only be compared with other national credit ratings on the relevant country national scale.

The procedures and process for national scale credit ratings differ in certain aspects to those for international scale credit ratings and are not described in this report. Fitch offers a number of non-credit products, including non-credit ratings. The procedures and process for non-credit products differ to those for international scale credit ratings and are not described in this report.

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# FitchRatings

Credit Policy  
Cross-Sector  
Global

## Errors

Fitch has established procedures to address instances where an error is suspected in a methodology or model or where a methodology or model is suspected of being misapplied to credit ratings during the rating process. Procedures describe the escalation, review, remediation and notification requirements for errors.

Fitch's procedures describe the process for reviewing the affected methodology, model and/or credit ratings, including error correction, model revalidation and subsequent rating committee review. Depending on the nature and magnitude of the error, affected credit ratings may be placed on Rating Watch until the issues are resolved.

## Fees

Fitch has a dedicated BRM group that is responsible for managing the commercial aspects of issuer relationships. All discussions with issuers and intermediaries concerning rating fees and commercial matters are handled exclusively by Fitch's BRM team. In addition, references to any commercial aspect of Fitch's relationship with issuers are similarly not permitted during any analytical discussion.

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DISCLAIMER & DISCLOSURES

All Fitch Ratings (Fitch) credit ratings are subject to certain limitations and disclaimers. Please read these limitations and disclaimers by following this link: https://www.fitchratings.com/understandingcreditratings. In addition, the following https://www.fitchratings.com/rating-definitions-document details Fitch's rating definitions for each rating scale and rating categories, including definitions relating to default. Published ratings, criteria, and methodologies are available from this site at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance, and other relevant policies and procedures are also available from the Code of Conduct section of this site. Directors and shareholders' relevant interests are available at https://www.fitchratings.com/site/regulatory. Fitch may have provided another permissible or ancillary service to the rated entity or its related third parties. Details of permissible or ancillary service(s) for which the lead analyst is based in an ESMA- or FCA-registered Fitch Ratings company (or branch of such a company) can be found on the entity summary page for this issuer on the Fitch Ratings website.

In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed.

The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.

For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001.

Fitch Ratings, Inc. is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (the "NRSRO"). While certain of the NRSRO's credit rating subsidiaries are listed on Item 3 of Form NRSRO and as such are authorized to issue credit ratings on behalf of the NRSRO (see https://www.fitchratings.com/site/regulatory), other credit rating subsidiaries are not listed on Form NRSRO (the "non-NRSROs") and therefore credit ratings issued by those subsidiaries are not issued on behalf of the NRSRO. However, non-NRSRO personnel may participate in determining credit ratings issued by or on behalf of the NRSRO.

Copyright © 2022 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved.

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Structured Credit
CLOs
Global

# CLOs and Corporate CDOs Rating Criteria

Sector-Specific

## Scope

This criteria report details Fitch Ratings' methodology for analysing portfolios of corporate credit for rating collateralised loan obligations (CLOs) and other collateralised debt obligations (CDOs). The report outlines the qualitative and quantitative factors considered in Fitch's analysis of portfolios of corporate credit.

These criteria apply to the rating of combination notes where the underlying tranches are CLOs or corporate CDOs and provide the framework for rating project finance CDOs. The criteria are applicable for new issue ratings and surveillance of existing ratings.

The Fitch Portfolio Credit Model (PCM) is the main tool for analysing the credit risk of project finance credit portfolios. The default probability assumptions and recovery rates are based on asset-specific Credit Opinions and Recovery Ratings (RRs) provided by Fitch's global infrastructure group. Portfolio default rates are based on bespoke correlation assumptions.

## Key Rating Drivers

The order of the following Key Rating Drivers for these criteria reflects their relative importance for CLOs and CDOs, for which Asset Credit Quality is the most important.

**Asset Credit Quality:** Asset quality is a primary driver of the default probability of the underlying corporate assets. Asset quality is based on the corporate Issuer Default Rating (IDR) and term.

**Asset Security:** Asset security is determined by the seniority of the corporate obligation and includes the jurisdiction of the issuer. Asset security is the main driver of recovery rate assumptions. Average recovery rates, based on historical market data, may be applied in the absence of explicit asset RRs or recovery estimates provided by Fitch's corporate group.

**Portfolio Composition:** Portfolio performance, in terms of portfolio default rates, depends on the level of diversity by industry and obligor, and geographic concentrations, which determine the expected volatility in portfolio default rates. The key volatility parameter for credit portfolio performance is correlation.

**Portfolio Management:** Portfolio management and trading may result in an evolving portfolio credit profile, extension risk and other portfolio changes not represented by the closing portfolio. The investment guidelines and permitted management terms are analysed to evaluate the risk factors of a managed portfolio.

**Cash Flow Analysis:** CLO and CDO structural features and hedging strategies, and the timing of defaults and recoveries, are important considerations in cash flow modelling and have a meaningful impact on their performance.

## Table of Contents

| Scope | 1 |
| --- | --- |
| Key Rating Drivers | 1 |
| Quantitative Models and Data | 2 |
| Rating Determination | 3 |
| Asset Credit Quality | 4 |
| Asset Security | 10 |
| Portfolio Management | 13 |
| Cash Flow Analysis | 17 |
| Combination Notes | 22 |
| Counterparty Considerations | 23 |
| Transaction-Specific Disclosure | 23 |
| Variations from Criteria | 24 |
| Limitations | 24 |
| Rating Assumption Sensitivity | 24 |
| Appendix 1: Asset Default Rates | 26 |
| Appendix 2: The Portfolio Credit Model | 27 |
| Appendix 3: Correlation Calibration | 31 |
| Industry Concentration and the Corporate Correlation Model | 34 |
| Appendix 4: Standard Recovery Rate Assumptions | 41 |
| Appendix 5: Fitch IDR Equivalency Map | 44 |
| Appendix 6: Calculation of Fitch WARF and Fitch WARR | 46 |
| Appendix 7: Default Timings | 48 |
| Appendix 8: Allocation of Defaults to Reinvestments | 49 |
| Appendix 9: Sample Asset Manager Operational Assessment Agenda | 50 |
| Appendix 10: RRR Interpolation Grids for Market Standard European Leveraged Loan CLOs and US Middle-Market CLOs | 52 |
| Appendix 11: Fitch Reporting | 53 |

This report updates and replaces CLOs and Corporate CDOs Rating Criteria, dated 6 April 2022.

## Related Research

Fitch CLO Criteria Assumptions Update Explained (September 2021)

## Analysts

Matthias Neugebauer
+44 20 3530 1099
matthias.neugebauer@fitchratings.com

Derek Miller
+1 312 368 2076
derek.miller@fitchratings.com

Alina Pak
+1 312 368 3184
alina.pak@fitchratings.com

Rating Criteria | 8 September 2022

fitchratings.com 1

FitchRatings

Structured Credit
CLOs
Global

## Quantitative Models and Data

Fitch's main tool in assessing the primary rating factors of corporate CLOs and CDOs is the Fitch PCM, which is available for download on Fitch's website. The model is updated from time to time, and a release log is maintained on the site to indicate the updated features and assumptions. A description of the source data used to derive the assumptions is detailed in each section of this report. Additionally, numbers shown throughout this report may be rounded to the decimal displayed.

### Overview of the Portfolio Credit Model Process

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

Source: Fitch Ratings

The PCM is used for analysing the joint default behaviour within credit portfolios. The model is based on the Gaussian copula function, which is based on the multivariate normal distribution. An important benefit of the Gaussian copula is its analytical tractability. The dependence structure is fully described by the pair-wise linear correlation assumption. For example, zero correlation in the Gaussian copula means all default events are independent.

The two main functions of the model are: mapping generic issuer and asset attributes to corresponding default probability and recovery rate assumptions; and generating portfolio default rate and loss rates for each rating scenario as multiples of the base default rate and loss rate. The key output of the model is the distribution of possible portfolio default rates and loss rates. The base-case default rate is given by the distribution mean, which is equal to average default probability weighted by asset notional amount.

The portfolio performance is uncertain and can deviate significantly from expectations. The volatility of possible portfolio default rates depends on the portfolio composition. Diversified portfolios, in terms of number of obligors, industry or region would be expected to show lower volatility and hence default rates that are closer to the expected case. In contrast, more concentrated portfolios would be expected to exhibit more volatile default rates.

The Gaussian copula only has one volatility parameter, which is correlation. Higher correlation corresponds to more volatile portfolio default rates, which is reflected in a model distribution with fatter tails. In other words, portfolio default rates that are significantly higher than the expected default rate are more likely.

### Related Criteria

Corporates Recovery Ratings and Instrument Ratings Criteria (April 2021)

Global Structured Finance Rating Criteria (October 2021)

Single- and Multi-Name Credit-Linked Notes Rating Criteria (February 2021)

Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (September 2021)

Structured Finance and Covered Bonds Counterparty Rating Criteria (July 2022)

CLOs and Corporate CDOs Rating Criteria | 8 September 2022

fitchratings.com

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Structured Credit
CLOs
Global

# Default Distribution - Probability Mass Function

![img-1.jpeg](img-1.jpeg)

Source: Fitch Ratings

The portfolio default rate, or rating default rate (RDR), and loss rate, or rating loss rate (RLR), assumptions for each rating level are determined as percentiles of the default and loss distribution. The percentile levels are based on CDO target default rates, as explained below.

# Rating Determination

CLO ratings are determined by a rating committee that considers the model-implied rating (MIR) in its determination process.

For newly assigned ratings and upgrades of notes of CLOs continuing to reinvest, MIRs are based on analysis described in the section Fitch Stressed Portfolio. The reinvestment status of a CLO is not based solely on whether a CLO has formally reached the end of its reinvestment period; the rating committee considers whether the CLO is likely to continue reinvesting post the end of its reinvestment period, based on the CLO's performance against relevant tests.

For existing ratings not considered for an upgrade, the analysis is based on the actual portfolio.

For static CLOs, and CLOs that are post their reinvestment period and are unlikely to continue reinvesting, the basis for deriving MIRs is described in the section Static Portfolio Considerations.

The MIR is a key input to the rating committee determination, although assigned ratings may differ from the MIR in the following situations.

- Note ratings are subject to a rating cap, as defined in the related criteria, and this rating cap is not factored into the MIR. In this case, the note rating will be the lower of the rating cap and the MIR.
- For new ratings and upgrades of existing ratings above the MIR, Fitch can assign a rating higher than the MIR provided that all of the following conditions are met:
  i. The assigned rating is no more than one notch higher than the MIR;
  ii. Any excluded cash flow scenarios do not reflect Fitch's immediate expectations; and
  iii. In the case of replenishing structures, the current portfolio is passing at the assigned rating of the CLO notes.

The foregoing applies to existing CLO transactions subject to refinancing with any material credit negative covenant changes and is applicable to both new and existing ratings, in the case of partial refinancing of the transaction.

- Fitch may assign or maintain a rating on a note at a rating level as much as three notches below the MIR. The occurrence and basis of such decisions may include consideration of the magnitude of the difference between the break-even default rate (BDR) and the hurdle rate at the assigned rating, and the frequency of scenarios in which the BDR exceeds the hurdle rate.
- The rating committee may determine a rating in the range of 'Csf' to 'B-sf' based on Fitch's rating definitions. For example, a 'CCCsf' rating would be assigned if the committee believes there to be a 'real possibility of default', while a 'B-sf' rating would reflect a 'limited margin of safety'. Additionally, a rating committee may assign a new rating of 'B-sf' if (i) the actual or indicative portfolio analysis for the class passes the RDR

# Model-Implied Rating

Represents the highest rating at which the note is passing all stress scenarios in the modelling.

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at 'Bsf' or (ii) the actual or indicative portfolio analysis for the class, analysed with the transaction minimum and maximum fixed-rate allowance (see Cash Flow Stresses), passes the RDR at 'B-sf', to ensure a minimum cushion at the 'B-sf' rating. In such cases, Fitch would typically not perform a stressed portfolio analysis for the 'B-sf' rating level.

For existing ratings, the committee can assign ratings that are different from the MIR if:

- The committee believes there is a significant likelihood that a rating action may be reversed in the near term due to potentially volatile performance; or
- The committee has concerns about specific sectors/issuers that the committee believes are not adequately addressed under the methodology; or
- Certain cash flow scenarios do not reflect Fitch's immediate expectation. For example, in a very low or negative interest rate environment, the scenarios associated with rising interest rates. The assigned ratings cannot be more than three notches higher or lower than the MIR.

Specific examples of deviation from the MIR in surveillance include the following:

- The committee could decide not to upgrade to the MIR if the transaction is exposed to significant concentration risk. The committee would base the decision to assign a different rating from the MIR on sensitivity analysis, which assumes additional stresses for one or more of the largest performing obligors.
- The committee expects near-term asset pre-payments to counter credit deterioration, maintaining the rating above the MIR. The committee would base the rating decision on sensitivity analysis that incorporates, for example, historically observed pre-payment spikes.
- The committee could also assign a different rating from the MIR or change the Rating Outlook or Rating Watch on the basis of sensitivity analysis, which incorporates additional stresses to certain issuers and/or sectors. This may occur if the committee believes these issuers and/or sectors may be subject to near-term performance volatility that is not adequately addressed under the standard recovery and default assumptions.

A deviation from the MIR for new issuer ratings or surveillance ratings may include the following:

- The committee may apply a multiplier of less than 100% to various recovery assumptions to align with updated expectations for recovery prospects. This could be precipitated by a drop in the average RR for Fitch-rated securities held in CLOs or by an expectation of below-average recoveries for a specific period. In any case, Fitch will communicate the assumptions in its Rating Action Commentary.

## Asset Credit Quality

### Asset Default Probabilities

Fitch uses "rating" and "term" as the primary determinants of an asset's expected default probability. There is a substantial history of data related to the default experience of a wide spectrum of corporate entities, rated over four decades. Fitch uses the corporate default rates made available by all three major rating agencies. This data set reflects the broadest set of default statistics available, and minimises the risk of any variances in ratings approach or industry coverage.

The rating is based on the Fitch IDR or Fitch Issuer Default Credit Opinion, together, referred to herein as the Fitch IDR, provided by Fitch's corporate or financial institutions ratings group. In the absence of a Fitch IDR, we may use public ratings from Moody's Corporation or S&P Global Inc. For a detailed description of the Fitch IDR Equivalency Rating derivation, see Appendix 5.

### Rating Mapping for Mid-Cap Portfolios

Mid-cap borrowers do not have public ratings and it is often not practically feasible to assign Credit Opinions due to the size of the portfolios (100+ companies). This section applies only to borrowers for which no Fitch IDR Equivalency, as outlined in Appendix 5, can be established.

In this report, the terms Fitch Issuer Default Rating or Fitch Issuer Default Credit Opinion will be referred to together as the Fitch IDR.

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Historical data shows few defaults despite spanning a significant period, making it impossible to infer a default probability based on that data alone.

For bank balance sheet portfolios, the originating bank would typically use a bank internal rating model to assess the borrower's credit risk. The bank may be able to provide a comparison of the bank internal ratings to available agency ratings because it either applies the model to its larger customers or, for internal back-testing, the bank may have run a sample of larger companies with available financial data through its rating model.

For granular portfolios with more than 100 borrowers, where at closing the largest borrower represents less than 1.5% of the portfolio, Fitch may assess the credit quality based on financial ratios and the bank's internal rating tool. We will first determine the average credit quality of the portfolio at a rating category level, which will be no higher than 'BB'. Financial ratios of the borrowers and a rating mapping correlation will both be considered to establish the average credit quality of the securitised portfolio on a rating category basis.

For example, Fitch expects financial ratios such as total debt/EBITDA to be comparable with, or better than, the ones reported in Fitch's *Leveraged Loan Chart Book* for borrowers in the same jurisdiction. We would perform a rating mapping between Fitch, S&P or Moody's and the bank internal rating model, based on the available sample comparison, to distribute the ratings around the established average credit quality of the portfolio.

This rating methodology for mid-cap portfolios will only be used if all conditions below are satisfied:

- Only for bank-originated portfolios where the bank retains a large share on the balance sheet.
- Minimum of five years of historical default history and performance in line with, or better than, the expected performance based on the rating mapping.
- Bank internal rating model subject to regulatory approval, typical for an internal ratings-based approach, for capital relief purposes, and ratings updated frequently, typically within 12 months. Fitch will assess the performance of models by looking at the volatility of rating transition matrices and will analyse the bank's processes to validate its internal rating model.
- Only for portfolios primarily comprising first-lien senior-ranking loans that have been tested through a credit cycle. The securitised portfolios must be broadly in line with the bank balance sheet and be reasonably diverse in terms of number of obligors and obligor exposure.

The surveillance approach for transactions rated under this framework will primarily rely on the rating mapping but the portfolio average rating will be capped at the rating level established at closing. If the correlation between Fitch, S&P or Moody's and the bank internal rating model remains relatively unchanged since closing, and the transaction is performed in line with Fitch's initial expectation, the rating mapping established at closing will be used for the transaction review.

However, if the average credit quality inferred from the initial mapping is higher than at closing then the rating mapping will be adjusted downward so that the average portfolio rating corresponds to the one established at closing.

### CDO Target Default Probabilities

Fitch's CDO ratings correspond to a value at risk (VaR) measure, which looks primarily at the probability of exceeding available credit enhancement, the exceedance probability, usually expressed by the level of confidence, and determined as one minus the exceedance probability. For credit risk management under the Basel regulation, the level of confidence is usually chosen to be 99.99%, or 1bp probability of exceeding the VaR. A single confidence level is not sufficient to differentiate between different rating categories. The risk tolerance for each rating level and term is determined by CDO target default rates. The table shows the one- and 10-year CDO target default rates used in the model.

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# One-Year and 10-Year CDO Target Default Probabilities

|  | CDO Target DP (%) 1 Year | Confidence Level (%) 1 Year | CDO Target DP (%) 10 Years | Confidence Level (%) 10 Years |
| --- | --- | --- | --- | --- |
| AAAsf | 0.01 | 99.99 | 0.08 | 99.92 |
| AAsf | 0.01 | 99.99 | 0.24 | 99.76 |
| Asf | 0.02 | 99.98 | 0.95 | 99.05 |
| BBBsf | 0.20 | 99.80 | 3.16 | 96.84 |
| BBsf | 1.05 | 98.95 | 11.84 | 88.16 |
| Bsf | 3.81 | 96.19 | 23.67 | 76.33 |

CDO - Collateralised debt obligation. DP - Default Probability
Source: Fitch Ratings

For example, the corresponding CDO rating for a 99.99% confidence level over one year would be 'AAsf'. In contrast, for a 'BBsf' rating over one year, the target CDO default rate is much higher, yielding a lower confidence level of 98.95%.

# Default Distribution - h Exceedance Probability

![img-2.jpeg](img-2.jpeg)

Source: Fitch Ratings

The chart above illustrates the VaR measure graphically. The curve, which is derived from the portfolio loss distribution, shows the probability of exceeding a certain level of portfolio losses. This allows one to determine the VaR directly from the respective risk tolerance levels or CDO default rates. For credit risk management, the risk horizon is usually one year. CDOs have a much longer risk horizon, of between three and 10 years. Generally, the risk tolerance expressed in the CDO target default rates increases for longer risk horizons. Since the assets in CDO portfolios may have different maturity dates or even amortisation schedules, risk tolerance is determined by the weighted average life (WAL) of the CDO portfolio.

As this applies to the rated notes, Fitch's approach applies target default probabilities equal to the input default probabilities for all rating categories below the 'Asf' category. The approach applies target default probabilities lower than the input default probabilities for the rating categories 'AAAsf', 'AAsf' and 'Asf'. As stated in the prior section, Fitch looks to long-term empirical statistics for its input default probabilities. The sample size of the data cohorts for the 'AAAsf', 'AAsf' and 'Asf' categories contained fewer observations relative to the other observed cohorts. Fitch believes it is prudent to reduce the target default probability and, therefore, raise the confidence level, when determining the level of support necessary to achieve these highest of ratings.

# Correlation Framework - Benchmarking to Historical Peak Default Rates

The correlation assumption in PCM is the parameter that determines the volatility of possible portfolio default rates and the resulting multiple of RDRs relative to the base case. The model is able to produce different multiples as a function of portfolio diversity and base case. For example, multiples produced by PCM increase for portfolios that are more concentrated by industry or number of obligors. Similarly, multiples produced by the model decrease as the base case increases.

The chart below shows the effect of correlation on the portfolio default distribution. Fitch has calibrated a correlation framework to match the model-implied volatility of portfolio default rates to the historically observed default rate volatility. More details of the calibration methodology are in Appendix 3. We view this as important that the model output can be tied to a fundamental view of credit risk. A primary expectation is CDO notes carrying an investment-

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grade rating should perform robustly as a cohort, even in periods of peak corporate default rates. Fitch believes CDO notes rated in the 'Asf' category and above should not default in a stress with similar severity as the recessions that generated the historic peak default rates.

## Effect of Portfolio Correlation

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

Source: Fitch Ratings

This concept of back-testing and benchmarking the model output against multiples of historical default data is an important concept in understanding the rationale for how correlation was set, and has the effect of embedding some explicit and easy-to-understand deterministic overlays onto the simulation-derived results.

## Portfolio Default Rate and Model Output Coverage

| (%) | BBB (RDR) Peak 9.3% |  |  | BB (RDR) Peak 28.8% |  |  | B (RDR) Peak 47.9% |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  | Diverse | Peak Portfolio | 30% Single Industry | Diverse | Peak Portfolio | 30% Single Industry | Diverse | Peak Portfolio | 30% Single Industry |
| AAAsf | 16.0 | 17.3 | 19.3 | 37.7 | 39.7 | 41.3 | 56.7 | 58.7 | 60.0 |
| AAsf | 13.7 | 14.7 | 16.0 | 34.0 | 35.7 | 37.0 | 52.7 | 54.7 | 55.7 |
| Asf | 11.0 | 11.7 | 12.3 | 29.0 | 30.3 | 31.7 | 47.3 | 48.7 | 50.0 |
| BBBsf | 8.7 | 9.0 | 9.3 | 24.7 | 25.3 | 26.3 | 41.7 | 43.0 | 43.7 |
| BBsf | 6.0 | 6.0 | 6.0 | 19.0 | 19.3 | 19.7 | 34.3 | 35.0 | 35.3 |
| Bsf | 4.3 | 4.3 | 4.3 | 15.3 | 15.7 | 15.7 | 29.7 | 30.0 | 30.0 |
| Expected | 3.2 | 3.2 | 3.2 | 11.8 | 11.8 | 11.8 | 23.7 | 23.7 | 23.7 |

Rating Default Rate.

Source: Fitch Ratings

## Industry and Regional Diversity

Fitch further believes that credit portfolios that are less diversified, with higher concentrations in terms of industry and region compared with the cohort portfolio underlying the base calibration, could exhibit higher volatility of default rates relative to the base case. The correlation framework was extended to differentiate correlation levels between industries and within a single industry and between regions and within regions. Available historical data was not detailed enough to compute cohort default rates for portfolios with different industry and regional composition. The correlation levels were calibrated to differentiate the RDR between calibration portfolios with higher levels of industry and regional concentration compared with the cohort portfolio (see *Appendix 3*).

The final correlation framework seeks to differentiate CDO portfolio concentrations that may affect performance. The framework does this through a combination of four correlation adjustments. There is a base level of correlation applied to all assets. The second layer is a sector correlation applied to assets from the same sector. The third layer is an industry correlation applied to assets from the same industry. Finally, the fourth correlation adjustment is applied to the largest obligors in the portfolio to stress for obligor concentrations.

The framework groups industries into six sectors, each containing one to nine industries. The example in the *Correlation Framework* table refers to a US portfolio. The base level of correlation is set to 6%, with a 2% correlation and a total correlation of 8% between assets in the same sector. If assets are also in the same industry class within a sector, the correlation is assumed to

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be even higher, set at 28%. The deepest empirical data set on defaults is available only for the US and, therefore, not representative of multi-country diversity. However, Fitch believes there is a significant level of regional diversification within the US.

In order to vary correlation assumptions to reflect geographic diversity or concentration, Fitch began with the following guiding principles:

- Advanced-economy countries smaller than the US would not benefit from the same level of regional diversification. Therefore, the base correlation between companies in countries other than the US should be higher than the 6% US assumption.
- The global economy results in a relatively limited benefit within a region. For example, a portfolio diversified within western Europe should not yield materially different portfolio default rates than a US portfolio.
- Different industries benefit from geographic diversification to varying degrees.

With these guiding principles, the correlation framework is applied, with a base level of correlation for issuers located in different regions, with add-ons for commonality of country, sector and industry.

## Correlation Framework

| (%) | Base Level ab | Sector Add-On | Industry Add-On (%) |
| --- | --- | --- | --- |
| Same Country | 10 (6 if US) | +2 | +20 |
| Same Region, Different Countries | 6 | +2 | +20 |
| Different Regions | 4 | +2 | +20 |
| Banking and Finance Assets | As above | +14 | 8 |

*Includes global base of 4% plus regional uplift of 2% and country uplift of 4% (except US where country uplift is 0%).

Note: For a full list of countries and industries in the portfolio credit model, see Appendix 3.

bExcept Greece, which has a country uplift of 5% and; therefore, a base level correlation of 11%.

Source: Fitch Ratings

## Sovereign-Related Risk

Transactions may have partial exposures to countries where the Country Ceiling is below the highest rating of the notes and/or where Fitch applies a cap to its structured finance ratings, pursuant to the Structured Finance and Covered Bonds Country Risk Rating Criteria. Currently, this is the case for the Fitch-rated high-yield CLOs with exposure to peripheral Eurozone countries, such as Italy, Portugal and Greece, which follows the Structured Finance and Covered Bonds Country Risk Rating Criteria.

The updated correlation and recovery assumptions would be calibrated to match the expected loss at the country rating cap level to the 'AAAsf' level. The Country Ceiling for these countries is currently below the highest rating Fitch can assign to the senior notes in high-yield CLOs. Therefore, in line with the Structured Finance and Covered Bonds Country Risk Rating Criteria, we assume a possible exit of these countries from the Euro in rating scenarios above the Country Ceiling. This would cause, at the very least, significant performance volatility for underlying borrowers, currency transfer and convertibility (T&C) issues and FX risk for any proceeds from outstanding loans.

Fitch believes the borrowers would likely default in such a scenario and as a result the T&C and FX risk following a Euro exit would primarily apply to any recovery proceeds. We apply a haircut to the recovery proceeds of 50% to assets from these countries at rating levels above the relevant Country Ceiling in order to address the possible FX risk that could result from the depreciation of a new currency following redenomination of loans.

For example, for a European CLO with a 20% investment limit in countries with a Country Ceiling below 'AAA', or a sovereign rating below 'A-', the usual projected default rate for the 'AAAsf' scenarios is about 60%. This would be assumed to include a 20% exposure to Italy, which is currently the only country with a Country Ceiling below 'AAA' with significant volumes of outstanding leveraged loans. The remaining 40% of defaults would be spread across other countries, which is consistent with Fitch's typical 'AAAsf' default expectations for portfolios not

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exposed to countries with a Country Ceiling below the target rating. The total default rate assumption would remain unchanged in this instance.

The expected recovery rate at a 'AAAsf' rating for the 20% exposure bucket would be reduced by 50% assuming a depreciation of the new currency to the Euro. As a result, the aggregate recovery assumption for a 'AAAsf' rating scenario for a typical second-generation CLO would decline to 29% from about 35%. The haircut for T&C and FX risk and additional stresses to correlation or recoveries are not included in the PCM model analysis and need to be applied separately to the model results.

However, European CLOs are generally precluded from investing in large exposures to countries with a Country Ceiling lower than 'AAA'. Fitch considers the redenomination risk and country risk in second-generation European CLOs with the typical limit of 10% or lower a secondary risk. For example, the 'AAA' recovery rate would go down to 32% from 35%, with a minimal effect on the BDRs. Therefore, we would not apply any additional stresses during the rating process for a typical European CLO. This may change as the Country Ceilings, the loan market (more issuance from new countries) or the CLO limitations change.

Additional stresses contemplated in the Structured Finance and Covered Bonds Country Risk Rating Criteria are generally not applied during the rating process for typical US CLOs, which are generally precluded from investing in companies domiciled in peripheral eurozone countries. Therefore, T&C risk would not be considered a risk factor in these instances.

# Emerging Markets

The correlation framework within PCM was further developed to incorporate assets from emerging market (EM) countries and reflect the following additional expectations. Corporate credit portfolios in EM countries are likely to have more volatile portfolio default rates, indicating a higher level of correlation than similarly rated portfolios in advanced economies, regardless of region and country. Therefore, the criteria apply a 7% uplift to the correlation of any two EM assets.

Regional diversity is particularly important for portfolio performance within EMs and, as a result, EM assets from the same region are subject to an additional 10% correlation uplift. Fitch created four broad EM regions to implement this: EM Americas, EM Asia, EM Europe and Central Asia, and EM Africa and the Middle East. Country diversity within the same region is of lesser benefit than regional diversity and assets from the same country are subject to an additional 5% correlation uplift. The same approach with regard to industry concentration apply to EM and advanced economies.

Fitch believes a small amount of EM exposure in a well-diversified portfolio of debt from advanced economies should add geographical diversity and reduce volatility. However, it is our view large EM exposures increase the risk to the portfolio, especially in high rating scenarios, and this outweighs any diversity benefits. By way of illustration, the correlation between Russian assets in different sectors is 26%. This is made up from the sum of 4% global base correlation, 7% EM base correlation, 10% EM region correlation and 5% EM country correlation. By comparison, the correlation between US companies would be 6%, or 4% global base and 2% for being in the same region.

# EM Geographical Correlation Framework

| (%) | Global Base Level | Location |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  |  | EM Base Add-On | EM Region Add-On | EM Country Add-On | Total EM Add-On |
| Same EM Country | +4 | +7 | +10 | +5 | +26 |
| Same EM Region and Different EM Countries | +4 | +7 | +10 | +0 | +21 |
| Different EM Regions | +4 | +7 | +0 | +0 | +11 |

EM - Emerging market. Note: Fitch would also apply sector and industry correlation uplifts of 2% and 20%, respectively, in line with the advanced economy table above.

Source: Fitch Ratings

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If the Russian assets are also in the same industry, they will attract a further uplift up to 22%, which would give a total correlation for such a portfolio of 48%. For EM assets from different geographical regions and sectors, for example, a Russian utilities company and an Indonesian finance company, the correlation will be 11%, i.e. 4% global base plus 7% EM base.

Transactions with a material share of EM assets with high regional concentration are unlikely to support 'AAAsf' ratings, especially if many of the assets are from low-rated sovereigns. Such concentrated structures, and single-country EM transactions, will be subject to specific rating caps as listed in our Structured Finance and Covered Bonds Country Risk Rating Criteria. The correlation framework may be adjusted through a criteria variation to further reflect any specific risks or protections related to the underlying portfolio. A similar approach will be used for transactions where ratings are only assigned on a national scale, where the correlation framework will also be amended to reflect the particularities of the relevant jurisdiction.

## Asset Security

Observations from the high-yield default period in 2009 highlighted the pro-cyclical nature of defaults and recoveries, with lower recoveries occurring during periods of higher defaults. Fitch incorporates pro-cyclicality by applying lower recovery for higher rating scenarios. For defaulted securities, we may also consider the post-default trading prices and any feedback received from the manager, when deciding the applicable recovery assumptions.

### Corporate Recovery Ratings

RRs and recovery estimate values provided by Fitch's corporate ratings group are a good indicator of future average recovery prospects for typical CLO portfolios on a diverse portfolio basis, across multiple cycles. Absent asset-specific RRs issued by Fitch, fundamental characteristics, such as seniority level, security, jurisdiction, issuer and industry idiosyncratic characteristics, are the main drivers of recoveries.

Fitch's RRs scale provides market participants with additional recovery information for all entities whose IDR is 'B+' and below. RRs range from 'RR1', which indicates an outstanding level of recovery, to 'RR6', which reflects a poor recovery. Fitch's RRs largely represent ultimate recoveries following the work-out process. In addition to RRs, our corporate ratings group may also conduct a bespoke analysis indicating specific recovery estimate values that may be used in our analysis of a typical diverse portfolio CDO. More information on Fitch RRs is available in our Corporates Recovery Ratings and Instrument Ratings Criteria.

### Seniority

In the absence of asset-specific RRs or recovery estimates, Fitch generally looks to the seniority and security of the actual debt instrument as its primary indicator for the recovery prospects in its analysis of a CDO portfolio. Fitch will assign a recovery rate category corresponding to our view on the asset's recovery prospects, if asset-specific recovery rate assumptions from Fitch's corporate credit analysts are not available.

The categories describing the relative recovery prospects are included in Appendix 4. Categorisation will primarily be based on the seniority of the actual debt instrument, with senior secured loans generally corresponding to "strong recovery prospects" and senior unsecured bonds corresponding to "moderate recovery prospects". Senior secured bonds correspond to their named category, which is equal to an RR of 'RR3'; this is due to lower historical observed recovery rates for bonds compared with senior secured loans. Other debt instruments, including second-lien loans, will commonly be categorised as having weak recovery prospects.

However, where actual recovery experience is less than might be expected for the level of seniority, a lower categorisation may be used in specific cases. For example, for Japan the recovery rate for senior unsecured debt has been below 'moderate' recovery rates. As a result, Fitch would apply a 'weak' recovery rate for senior unsecured debt in Japan.

Furthermore, seniority and security do not fully explain Fitch's recovery expectations for any given asset. The distribution of current US corporate RRs by seniority shows wide variance in the recovery expectations as this may be due to issuer-, industry- or market-related factors. Issuer-specific factors include financing decisions on optimal capital structures by management.

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Other factors may affect the recovery prospects for particular companies operating in specific industries.

From time to time, there may be macro-factors affecting the types of debt instruments available to issuers. There were limited financing options in 2009-2010, resulting in many companies issuing senior secured bonds to refinance existing loan facilities. The future recovery prospects for these bonds will likely vary, based on the security and covenant protections associated with the debt instrument.

Therefore, the portfolio composition and associated recovery prospects of the underlying assets are reviewed by the relevant credit analyst as part of the CDO rating process. Fitch will make adjustments to the recovery category classification to reflect our forward-looking view on the recovery prospects for each asset in the portfolio, if deemed necessary.

## Jurisdictional Considerations

Another important determinant of recovery prospects is jurisdiction. Fitch determined country groupings, based on comparable levels of expected recoveries. Obligors from Group 1 countries, see the *Corporate Recovery Rate Assumptions* table and Appendix 4, are mostly expected to exhibit recovery prospects consistent with those of US obligors, while Group 2 and Group 3 are expected to exhibit decreasing levels of recovery. A full list of Fitch's base recovery assumptions and the tiering applied at different CDO rating stresses can be found in Appendix 4. Finally, Fitch may use additional information, such as the notching differential between the instrument rating and IDR, to better inform its decision on the recovery assumption for any given asset.

## Pro-Cyclical Nature of Defaults and Recoveries

Fitch's default and recovery studies show that, while the average recovery for a given seniority has been very variable over time, the relationship of recoveries by seniority generally holds true over time. Market-wide systemic factors play a role in the well-established inverse relationship between default rates and recovery rates, whereby low recovery rates are associated with high default rates.

Fitch stresses the recovery rate assumptions in higher rating stresses to account for the pro-cyclical nature of defaults and recoveries. Recovery observations from the most recent peak default period were more in line with the modelling assumptions used at high rating stresses. As stated earlier in this report, Fitch believes CDO notes rated in the 'Asf' category and above should still be expected to perform in periods of peak default rates. For this reason, the recovery assumptions for 'Asf' stresses are set to match observed recoveries from peak default periods during the three years starting in 2008 for the financial crisis.

## Obligor Concentrations

Portfolios with a small number of assets, or those where individual asset balances represent a disproportionate exposure within the portfolio, carry the risk the portfolio performance may be adversely impacted by a few assets that may under-perform expectations based on ratings and debt characteristics. Fitch's methodology applies additional stresses, called the obligor concentration uplift (OCU), to certain inputs to mitigate the risk to CDO portfolio performance posed by outsized assets.

For example, individual assets may recover less upon default than expected based on historical average recovery rates for individual debt classes. Outsized individual assets experiencing low recoveries will cause them to erode a disproportionate amount of support available to rated noteholders. To take this into account, Fitch applies a 0.75 multiple (i.e. 25% haircut) to the assumed recovery rate of the largest risk contributors. This stress is applied within the model framework to standard recovery assumptions or assets with RRs, and has an effect on the portfolio loss distribution. The stress is not applied to asset-specific recovery estimates, which are assigned to individual assets but it is applicable to assets with RRs.

While the risk, with respect to recovery rates, is relatively apparent, the obligor coverage produced by the methodology is a function of the correlation assumptions and much less straightforward. Similar industry and geographic diversity portfolios with a larger number of obligors are expected to be subject to lower volatility in terms of default rates. The PCM model framework is already sensitive to obligor concentrations in that the rating default-rate increases as portfolios contain fewer assets.

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Furthermore, the CDO target default probabilities are the same as, or lower than, the input default probabilities. Accordingly, the RDR for each liability rating level covers at least the largest obligor with a lower rating and a term equal to, or longer than, the WAL of the portfolio. This approach creates what can be thought of as a floor in the assumed default rate, such that there is protection in the event the larger assets default. This is particularly important where the portfolio credit quality is relatively high, and individual assets can represent a large proportion of the support available to a particular class of rated notes.

The joint coverage of several of the largest obligors is a function of the correlation assumption. In order to address the idiosyncratic risk with respect to the default behaviour of the largest obligors, Fitch applies a correlation stress of 50% to the largest risk contributors. The largest risk contributors are determined based on the notional size of individual issuers in the portfolio. The stresses are applied to the largest issuers up to a maximum of 15 for which the aggregate notional size is in excess of 30% or any individual issuer that is at least 6.5% of the portfolio notional size.

For example, for an equally weighted portfolio of 15 issuers the stress would be applied to all 15 issuers, as each is 6.7%. On the other hand, no stress would be applied if the largest 10 issuers represent 20% or less of the portfolio notional size, as the largest 15 would have to be 30% or less. The methodology seeks to address coverage of the largest risk contributors. For example, the chart below shows the 'Asf' RDR covers at least the largest 10 'B-' issuers.

### Asf RDR Coverage of the Largest 10 Issuers for Equally Weighted Portfolio of B- Assets

![img-1.jpeg](img-1.jpeg)

RDR - Rating Default Rate. OCU - Obligor concentration uplift.

### Excessive Obligor Concentration

The correlation and recovery stresses outlined above address the idiosyncratic risk, with regards to larger obligors, in reasonably diverse portfolios. It is theoretically possible to have a 'AAAsf' rating on a portfolio with only a few loans, albeit with very high credit enhancement. Even if the loans may be assumed to default, the methodology still assumes recovery proceeds at the 'AAAsf' stress level.

In Fitch's view, however, such excessive obligor concentration bears too much idiosyncratic risk, with regards to achievable recovery rates, and we would not assign high investment-grade ratings. For example, Fitch would not assign a new rating or upgrade an existing rating higher than 'BBBSf' for a portfolio with fewer than 10 obligors, all rated 'B'.

Fitch analyses the potential for excessive obligor concentrations throughout the duration of the transaction, which may become more concentrated at the end of their lives as a result of unexpected default or pre-payment behaviour. We would apply the principles above but a committee may decide not to downgrade a rating if, for example, there are other mitigating factors such as short remaining life for the notes or performance history of the transaction.

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FitchRatings

Structured Credit
CLOs
Global

## Portfolio Management

Transactions may be static or managed. Fitch considers there may be additional risk in managed transactions, given that the portfolio may deteriorate not only by natural credit migration but also by substitution of assets during the revolving period. Available credit enhancement may be affected by realised gains or losses that result from trades, and from defaults and amortisation.

When analysing transactions that include portfolio covenants and eligibility criteria in their documentation, Fitch will consider all covenants and all aspects of the management guidelines, including asset eligibility criteria and the manager's ability to:

- Substitute assets freely or subject to defined covenants;
- Substitute impaired credits freely or not;
- Withdraw or monetise "surplus" credit enhancement; and
- Obtain quotes or trade with dealers other than the arranging bank.

Actively managed portfolios are initially rated based on a Fitch stressed portfolio created based on the terms and conditions in the transaction documents. We maintain our ratings on actively managed portfolios by monitoring the performance and credit profile of the actual portfolio relative to the initial stressed portfolio analysis. In instances where there is limited or no portfolio management, Fitch maintains ratings based on the analysis of the static portfolio of identified assets.

### Fitch Stressed Portfolio

In its analysis of transactions with managed portfolios, Fitch analyses stressed-case portfolios with the aim of testing robustness of the transaction structure against its covenants and portfolio guidelines. Typically for US CLOs, we start with the initial indicative portfolio provided by the arranger and then make adjustments to account for certain concentration limitations. This is completed with the CLO-Fitch Stressed Portfolio Model. The indicative portfolio provides a good gauge of assets the portfolio manager is likely to purchase, at least for US CLOs with a broader universe of leveraged loans.

In the case of most European CLOs, Fitch uses a standardised stress portfolio that is customised to the specific portfolio limits for each transaction as specified in the transaction documents. European CLOs tend to have a high overlap in terms of issuers and loans, due to the limited universe of eligible assets. As a result, managers have significantly less choice in the portfolio selection for European CLOs compared with US CLOs backed by BSL or middle market loans.

The following are the most common adjustments applied to the indicative portfolio for typical CLOs. The same principals are also reflected in the standard stress portfolio in the case of European CLOs. This list is not exhaustive, as some CLOs may allow for limited exposure to certain asset types or other risk factors that Fitch may choose to stress in its analysis. The Fitch stressed portfolio will be determined in Fitch's committee process.

We will consider the expected ability of the manager to create a portfolio at the limit of its covenants. The absolute limit of some covenants may not be achievable in reality. An example would be the absence of a covenanted country concentration limit in a European CLO, where historically no portfolio had more than 35% exposure per country. In such cases, we will create a stressed-case portfolio with less than 100% single-country concentration, despite the lack of a country limit.

### Obligor Size

A typical CLO will cap the size of obligors, with an allowance that a specified number may be a larger percent. We assume managed portfolios are generally managed toward permitted concentration limitations that can lead to increased portfolio concentration. This may lead to more volatile portfolio performance, resulting in higher default expectations under high investment-grade rating stresses.

With regard to obligor size, the stress portfolio is constructed to include obligors that match the maximum limits. For instance, the indenture may specify each obligor to be 2.0% of the portfolio, with the exception that up to five obligors may each be up to 2.5%. In this instance, the Fitch stressed portfolio assumes these exceptions are maximised, with the top five obligors concentrated to represent 12.5% of the portfolio.

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# Fitch Ratings

## Structured CreditCLOs  
Global

### Portfolio Credit Quality

Fitch stresses credit quality of the portfolio by increasing exposure to assets in the 'CCC' category, or worse, based on the proportion permitted by the concentration limits, except for transactions that covenant to a Fitch weighted average rating factor (WARF), as defined below. For BSL CLOs, for example, the limit is set relatively low and Fitch would maximise the permitted amount or, if the indicative portfolio already exceeds the permitted 'CCC' allowance when mapping to our ratings, such proportion would be maintained.

Typically, limitations for assets rated in the 'CCC' category, or worse, are calculated based upon the then-current rating of assets. Where the definition of the limitation of 'CCC' category or lower-rated collateral varies from this, Fitch may apply additional stresses to the credit quality of the portfolio, which would be described in our rating report. If the transaction structure also includes a collateral quality test based on the Fitch WARF, then credit quality of the stressed portfolio is matched to the covenanted test level and exposure to 'CCC' category or lower-rated assets may not be assumed at the limit. This stressed assumption increases the portfolio default probability assumptions in PCM.

Assets without a Fitch rating or Credit Opinion and without a public rating from another agency would be considered 'CCC', as explained in *Appendix 5*. However, for the purpose of calculating the WARF test, the manager may treat such assets as 'B-' if the Fitch derived rating based on private ratings provided by Moody's and/or S&P (for the avoidance of doubt, this means full ratings only and does not include Credit Opinions) is higher than 'CCC'. While private ratings are available to managers they are not available to Fitch. Therefore, we would apply an additional stress if the exposure to such assets could exceed the typical limit of 10% of the portfolio notional amount. Fitch would expect that the use of this bucket is included in the regular transaction reporting.

### Asset Security

A typical CLO allows for some portion of the portfolio to be invested in assets that are not senior secured loans, this could be second-lien loans or other instruments that have historically experienced low recoveries. Fitch's stressed portfolio analysis assumes the maximum allowance for non-first-lien collateral. For such assets our recovery assumptions would be zero in high investment-grade scenarios. Assets that are not senior secured loans are assumed to have weak recovery prospects. For portfolios of senior secured loans we assume the stress portfolio has similar seniority and recovery characteristics as the indicative portfolio provided and use RRs or recovery estimates where available.

If the transaction structure includes a collateral quality test based on the Fitch weighted average recovery rate (WARR), recovery assumption of the stressed portfolio is matched to the covenanted test level. The initial covenanted WARR is typically set below the weighted average recovery of the indicative portfolio, giving managers flexibility to buy assets with weaker recovery prospects.

Where a WARR is included, a homogenous portfolio distributed around the WARR is usually more conservative than a barbell portfolio including the maximum allowance of non-first-lien collateral. We would base the rating recovery rate (RRR) on the Interpolation Grid in *Appendix 10*, which is based on a typical portfolio without barbell seniority distribution.

### Industry Concentration

CLOs typically have limitations on exposure to any one industry, with exceptions for a certain number of industries to exceed this limit. For instance, the indenture may specify each industry is limited to 10% of the portfolio, except three industries may be 12% and one may be 15%. The stressed portfolio is typically created maximising the permitted exposure to the three largest permitted industries. If industry limits are exceeded based on our view of the portfolio industry composition in the indicative portfolio, the stressed portfolio would maintain the same industry exposure for the outsized industries.

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# Fitch Ratings

Structured Credit  
CLOs  
Global

## Risk Horizon

Managed CLOs have a defined reinvestment period that often extends the WAL of the CLO notes beyond the WAL of the initial indicative portfolio. The manager can usually reinvest between payment dates and continue to reinvest on a maintain or improve basis, even if portfolio profile tests in the transaction documents are not met. In Fitch's stressed portfolio analysis, the WAL of the assets is extended to match the WAL permitted by the terms of the CLO transaction documents to address the additional default risk inherent with a longer risk horizon.

This stressed assumption increases the portfolio default probability assumptions in PCM. The stressed portfolio analysis WAL may be reduced by up to 12 months, in no case reducing the WAL of assets below six years or the WAL of the indicative portfolio, to account for structural and reinvestment conditions prevalent in a CLO post-reinvestment period. This ultimately reduces the maximum possible risk horizon of the portfolio when combined with loan pre-payment expectations.

## Cash Flow Stresses

Certain covenants and portfolio guidelines may allow for exposures that Fitch may stress in its cash flow analysis. For instance, if the transaction allows for some portion of the portfolio to be invested in fixed-rate assets, we will analyse the effect of this allowance being maximised. In a rising interest rate environment, fixed-rate assets could be a negative drag on interest proceeds available to notes. Fitch stresses the portfolio weighted average spread (WAS) and weighted average coupon (WAC) to the minimum level specified by collateral quality tests. These stressed assumptions limit the amount of credit applied for excess spread and influence BDR analysis (see *Cash Flow Analysis*).

We analyse the potential risk of cash flow timing mismatches associated with allowances for assets that pay less frequently than quarterly, in a quarterly pay transaction, if no structural mitigations are present, such as interest smoothing accounts or a frequency switch mechanism. The latter are standard in European CLOs. The potential is maximised for these types of exposures and assumes 75% of assets pay in quarters one and three and 25% of assets pay in quarters two and four.

## Asset Repayment Assumptions

In modelling CLO note amortisation we generate an assumed principal payment schedule. We use the actual maturity profile of the identified portfolio assets as a proxy for the expected portfolio repayment profile as the CLO enters the note amortisation period. In the stress portfolio analysis, the WAL of the assets is extended to match the risk horizon of the CLO as specified in the *Risk Horizon* section above.

For European CLOs, Fitch uses a standardised amortisation profile together with a standardised stress portfolio. European CLOs tend to have a high overlap in terms of issuers and loans, due to the limited universe of eligible assets. As a result, managers have significantly less choice in terms of portfolio selection for European CLOs compared with US CLOs.

### Amortisation Profile CLO 1.0

![img-2.jpeg](img-2.jpeg)

Source: Fitch Ratings

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**Fitch**Ratings

**Structured Credit**^{}[] CLOs^{}[] ^{}[] Global

## Portfolio Trading Limitations

Limitations on portfolio trading are expected in managed CLO structures. Typically, these triggers are based on collateral quality tests established at the onset of the transaction. If the performance of the actual portfolio significantly deteriorates, such that certain collateral quality tests fail, then the trading activity is expected to either maintain or improve the pre-trade test levels.

Fitch portfolio metrics normally include a Fitch WARF Test and a Fitch WARR Test. Typically, these two tests, along with the Minimum WAS Test, form the basis for dynamic portfolio management, via a Fitch Test Matrix. The calculations for a Fitch WARF and Fitch WARR are included in Appendix 6. Alternatively, trading metrics may also reference outputs from Fitch's PCM. Our analysis of notes issued by a CLO that incorporates PCM outputs into portfolio management limitations will be based upon analysis testing the robustness of the structure against such PCM outputs assuming a portfolio that corresponds to the PCM output limitations defined by the transaction documents.

To analyse the Fitch Test Matrix, Fitch creates a stress portfolio for one WARF in the matrix, which is then used to linearly extrapolate the default assumption for the other Matrix WARFs. A one-point increase in the WARF corresponds to an approximately 1% increase in RDR at all rating levels. This relationship between WARF and RDR holds for typical CLO portfolios with WARF in the range between 20 and 35. The WARF range may increase to 40 for transactions with a higher limitation for assets rated in the 'CCC' category or worse.

Fitch may create bespoke stress portfolios for each WARF outside of this range. Since test matrices often include several thousand different WARR points, we interpolate recovery rates for each rating level based on the WARR and asset-specific recovery assumptions, as shown in Appendices 4 and 10. We aim to analyse all different combinations of WARF, WAS and WARR in the matrix. However, arrangers may specify highly granular matrices with incremental increases in the WAS of less than 20bps. In these cases, Fitch will analyse a grid of rows with WAS increments of at least 20bps.

These tests are typical for Fitch-rated European CLOs and US middle market CLOs, as the analysis primarily relies on ratings and Credit Opinions provided by Fitch's corporate group. These tests may not be present in US BSL CLOs, where other collateral quality tests are present and another agency assigns ratings to notes with subordinated priority to the Fitch analysed notes. In instances without specific Fitch tests, we will consider collateral quality tests included in transaction documentation when building a stressed portfolio. However, when assigning ratings to classes of notes subordinate to notes rated by other rating agencies, we will rely upon the Fitch specific collateral quality limits indicated in the transaction documents when creating the stressed portfolio.

## Static Portfolio Considerations

New ratings for CLO notes backed by static portfolios are assigned based upon a scenario that assumes a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. Rating reviews for notes issued by static CLOs and CLOs no longer likely to reinvest apply these same assumptions when an upgrade of a note is considered. Rating reviews considering an affirmation or downgrade of a note from these types of CLOs do not assume the one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook. This analysis is generally not applicable for CLOs with a remaining reinvestment period as the Fitch stressed portfolio analysis is more constraining than results using this assumption. All MIRs are based upon the relevant portfolio described in this section.

## Operational Risk Considerations

Operational risk considerations for a managed portfolio apply equally to substitution agents, portfolio advisors, liquidation agents and other parties that perform manager functions. Parties performing manager functions must establish they have sufficient experience, systems and procedures and can reasonably be expected to manage the CLO in compliance with the transaction documents to be viewed as acceptable.

Fitch will not rate transactions managed by parties that are not viewed as acceptable, unless there are other mitigants, such as a back-up manager. Fitch may consider a manager to be unacceptable if it believes the CLO covenants cannot be relied upon due to lack of experience by the manager or other operational concerns. The initial operational risk assessment review covers the manager's company, controls, investments, operations and technology, as described in *Appendix 9*.

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