# EDGAR Filing Document

**Accession Number:** 0001650659
**File Stem:** 0001214659-23-004506
**Filing Date:** 2023-3
**Character Count:** 230654
**Document Hash:** add2b746f20d2c2e05468ac92932d00b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001214659-23-004506.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001214659-23-004506

**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:** Kroll Bond Rating Agency, LLC
- **CENTRAL INDEX KEY:** 0001650659
- **IRS NUMBER:** 541309629
- **STATE OF INCORPORATION:** NY

**FILING VALUES:**
- **FORM TYPE:** NRSRO-CE
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 110-00121
- **FILM NUMBER:** 23781517

**BUSINESS ADDRESS:**
- **STREET 1:** 805 THIRD AVENUE, 29TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 2127020707

**MAIL ADDRESS:**
- **STREET 1:** 805 THIRD AVENUE, 29TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Kroll Bond Rating Agency, Inc.
- **DATE OF NAME CHANGE:** 20150811

### Attached PDF Documents

**Attachment 1:** `form_nrsroce.pdf`

# FORM NRSRO

| OMB APPROVAL |
| --- |
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# APPLICATION FOR REGISTRATION AS A NATIONALLY RECOGNIZED STATISTICAL RATING ORGANIZATION (NRSRO)

SEC 1541 (1-15)

Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB control number.

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# 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:

Kroll Bond Rating Agency, LLC

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

KBRA and/or Kroll Bond Rating Agency

(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):

| 805 Third Avenue | New York | NY/US | 10022 |
| --- | --- | --- | --- |
| (Number and Street) | (City) | (State/Country) | (Zip/Postal Code) |

D. Mailing address, if different:

N/A

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

E. Contact person (See Instructions):

| Mark Levin | Designated Compliance Officer/Chief Compliance Officer |  |  |
| --- | --- | --- | --- |
| (Name and Title) |  |  |  |
| 805 Third Avenue | New York | NY/US | 10022 |
| (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.

3/29/2023

(Date)

Kroll Bond Rating Agency, LLC

(Name of the Applicant/NRSRO)

By: /s/ James Nadler

(Signature)

James Nadler, President & CEO

(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: DE/US Date of formation: 2/28/84

3. Your credit rating affiliates (See Instructions):

Kroll Bond Rating Agency Europe Limited 6/8 College Green, Second Floor, Dublin 2, D02 VP48 Ireland
(Name) (Address)

Kroll Bond Rating Agency UK Limited 1-3 Connaught Place, Second Floor, London, W2 2ET, United Kingdom
(Name) (Address)

(Name) (Address)

(Name) (Address)

(Name) (Address)

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

Mark Levin Designated Compliance Officer/Chief Compliance Officer

(Name and Title)

805 Third Avenue New York NY/US 10022
(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):

Form NRSRO and Exhibits 1 through 9 are publicly available, free of charge, on the regulatory page of KBRA's website at www.kbra.com.

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)) | ☐ |  |  |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☐ |  |  |
| corporate issuers | ☐ |  |  |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☐ |  |  |
| issuers of government securities as that term is defined in section 3(a)(42) of the Exchange Act (15 U.S.C. 78c(a)(42)), municipal securities as that term is defined in section 3(a)(29) of the Exchange Act (15 U.S.C. 78c(a)(29)), and foreign government securities | ☐ |  |  |

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

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

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

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

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# **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)) | ☑ | 1880 | 1984 |
| insurance companies as that term is defined in section 3(a)(19) of the Exchange Act (15 U.S.C. 78c(a)(19)) | ☑ | 219 | 1992 |
| corporate issuers | ☑ | 527 | 2009 |
| issuers of asset-backed securities as that term is defined in 17 CFR 229.1101(c) | ☑ | 21830 | 2003 |
| 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 | ☑ | 9898 | 1989 |

**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):

KBRA's published ratings are accessible, free of charge, at www.kbra.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. |

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| 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. |

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KBRA

# **KROLL BOND RATING AGENCY, LLC**

List of Material Changes to Form NRSRO
Pursuant to Form NRSRO Instruction F

| Item | Material Changes Since Prior Certification |
| --- | --- |
| Exhibit 4 | KBRA appointed Mark Levin, Chief Compliance Officer as the new Designated Compliance Officer as of July 22, 2022, replacing the acting Designated Compliance Officer, Rebecca Ebert, Deputy General Counsel. |
| Exhibit 9 | KBRA updated Exhibit 9 to reflect the employment history and educational background of the NRSRO's new Designated Compliance Officer, Mark Levin. |

List of Material Changes

1

March 30, 2023

**Attachment 2:** `ex1-nrsro_ce.pdf`

KBRA

# KROLL BOND RATING AGENCY, LLC

## Form NRSRO Annual Certification

# EXHIBIT 1:
Performance
Measurement
Statistics

Ex1 Performance Measurement Statistics

1

March 30, 2023

**Exhibit 1.** Provide in this Exhibit performance measurement statistics of the credit ratings of the Applicant/NRSRO, including performance measurement statistics of the credit ratings separately for each class of credit rating for which the Applicant/NRSRO is seeking registration or is registered (as indicated in Item 6 and/or 7 of Form NRSRO):

## **Overview**

Kroll Bond Rating Agency (KBRA) began to issue credit ratings in 2011. The attached tables show transition and default rates for 1-year, 3-year, and 10-year time periods through the most recent calendar year end.

## **Performance Measurement Statistics**

### **Periods Shown; Institutions Rated; Frequency of Ratings**

The data in the attached tables have been compiled from historical published and unpublished ratings. The unit of study for Structured Finance ratings is the rated tranche. For other ratings, the unit of study is either: the distinctly rated tranches of a secured debt transaction; the senior rating or the issuer rating of a government, corporate or financial entity; or the Insurer Financial Strength Rating (IFSR) of an insurance entity regardless of the number of securities rated.

Each table shown is based on a static pool or cohort analysis. The tables show the percent of ratings outstanding at the start of the period (not initial ratings) in each category, compared to where they stood at the end of the stated period. The diagonal is the percent of ratings that remained the same at the start and end of the period. The periods covered are 1-year (comparing ratings on December 31, 2021 with ratings at December 31, 2022), 3-year (comparing ratings on December 31, 2019 with ratings at December 31, 2022) and 10-year (comparing ratings on December 31, 2012 with ratings at December 31, 2022).

The transition and default tables reflect specific time periods. However, the number of entities included may change from period to period, or from the beginning of a period to the end of a period. For example, an institution may merge, dissolve, or otherwise experience an organizational change that causes it to cease to be included in a later period.

For long-term and short-term Credit Ratings, KBRA defines default as occurring if:

1. 1. There is a missed interest payment, principal payment, or preferred dividend payment, as applicable, on a rated obligation which is unlikely to be recovered; or
2. 2. The rated entity files for protection from creditors, is placed into receivership or is closed by regulators such that a missed payment is likely to result; or
3. 3. The rated entity seeks and completes a distressed exchange, where existing rated obligations are replaced by new obligations with a diminished economic value.

---

Ex1 Performance Measurement Statistics

2

March 30, 2023

In all cases, defaulted entities are not dollar-weighted (*i.e.*, a failure of a large entity and a small entity will be counted the same).

Some cells of the transition matrix do not include a value. This indicates that there were no transitions observed for that cell. A cell with a non-zero value that is less than 0.5% will be shown with a value of “0%” in the transition matrix due to rounding.

For the purposes of KBRA’s Exhibit 1 submission, “other SFPs” means a securitization primarily of Containers, Aircraft, Fleet Lease, Franchise, Ground Lease, Rail Car, Solar, Specialty Finance, Net Leases, Residential PACE, Property Tax Liens, Whole Business Securitization, Wireless Spectrum, Timeshare, Trade Receivables, SBA Loans, Lottery Receivables, Structured Settlements, Litigation Finance, Limited Partnership Interests, or other miscellaneous ABS.

## **Definition of Credit Rating Categories Used by KBRA**

### **Long-Term Credit Rating Scale**

KBRA assigns credit ratings to issuers and their obligations using the same rating scale. In either case, KBRA’s credit ratings are intended to reflect both the probability of default and severity of loss in the event of default, with greater emphasis on probability of default at higher rating categories. For obligations, the determination of expected loss severity is, among other things, a function of the seniority of the claim. Generally speaking, issuer-level ratings assume a loss severity consistent with a senior unsecured claim. KBRA appends the “sf” indicator to ratings assigned to structured finance obligations.

- **AAA** Determined to have almost no risk of loss due to credit-related events. Assigned only to the very highest quality obligors and obligations able to survive extremely challenging economic events.
- **AA** Determined to have minimal risk of loss due to credit-related events. Such obligors and obligations are deemed very high quality.
- **A** Determined to be of high quality with a small risk of loss due to credit-related events. Issuers and obligations in this category are expected to weather difficult times with low credit losses.
- **BBB** Determined to be of medium quality with some risk of loss due to credit-related events. Such issuers and obligations may experience credit losses during stress environments.
- **BB** Determined to be of low quality with moderate risk of loss due to credit-related events. Such issuers and obligations have fundamental weaknesses that create moderate credit risk.
- **B** Determined to be of very low quality with high risk of loss due to credit-related events. These issuers and obligations contain many fundamental shortcomings that create significant credit risk.
- **CCC** Determined to be at substantial risk of loss due to credit-related events, near default or in default with high recovery expectations.
- **CC** Determined to be near default or in default with average recovery expectations.
- **C** Determined to be near default or in default with low recovery expectations.

Ex1 Performance Measurement Statistics

3

March 30, 2023

**D** KBRA defines default as occurring if:

1. There is a missed interest payment, principal payment, or preferred dividend payment, as applicable, on a rated obligation which is unlikely to be recovered; or
2. The rated entity files for protection from creditors, is placed into receivership or is closed by regulators such that a missed payment is likely to result; or
3. The rated entity seeks and completes a distressed exchange, where existing rated obligations are replaced by new obligations with a diminished economic value.

KBRA may append - or + modifiers to ratings in categories AA through CCC to indicate, respectively, upper and lower risk levels within the broader category.

### **Short-Term Credit Rating Scale**

KBRA's short-term ratings indicate an ability to meet obligations that typically have maturities of thirteen months or fewer when issued by corporate entities, financial institutions, and in connection with structured finance transactions. When applied to municipal obligations, KBRA's short-term ratings typically indicate an ability to meet obligations of three years or fewer. Short-term ratings may be assigned to both issuers and to specific obligations. As compared to long-term ratings, greater emphasis is placed on an obligor's liquidity profile and access to funding. KBRA appends the "sf" indicator to ratings assigned to structured finance obligations.

**K1+** Exceptional ability to meet short-term obligations.

**K1** Very strong ability to meet short-term obligations.

**K2** Strong ability to meet short-term obligations.

**K3** Adequate ability to meet short-term obligations.

**B** Questionable ability to meet short-term obligations.

**C** Little ability to meet short-term obligations.

**D** KBRA defines default as occurring if:

1. There is a missed interest payment, principal payment, or preferred dividend payment, as applicable, on a rated obligation which is unlikely to be recovered;
2. The rated entity files for protection from creditors, is placed into receivership or is closed by regulators such that a missed payment is likely to result; or
3. The rated entity seeks and completes a distressed exchange, where existing rated obligations are replaced by new obligations with a diminished economic value.

### **Rating Action History**

Ratings information that is required to be made available pursuant to SEC Rule 17g-7(b) can be found first by clicking on the link https://www.krollbondratings.com/regulatory, and then clicking the hyperlinks "Issue Level Ratings" and "Issuer Level Ratings" under the heading "Rating Action History."

Ex1 Performance Measurement Statistics

4

March 30, 2023

# List of Tables

| 1 | Financial Institutions, Brokers, or Dealers - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 3 |
| --- | --- | --- |
| 2 | Financial Institutions, Brokers, or Dealers - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 4 |
| 3 | Financial Institutions, Brokers, or Dealers - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 5 |
| 4 | Financial Institutions, Brokers, or Dealers - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 6 |
| 5 | Financial Institutions, Brokers, or Dealers - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 7 |
| 6 | Financial Institutions, Brokers, or Dealers - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 8 |
| 7 | Insurance Companies - 1-Year Transition and Default Rates (Insurance Financial Strength Ratings) | 9 |
| 8 | Insurance Companies - 3-Year Transition and Default Rates (Insurance Financial Strength Ratings) | 10 |
| 9 | Insurance Companies - 10-Year Transition and Default Rates (Insurance Financial Strength Ratings) | 11 |
| 10 | Corporate Issuers - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 12 |
| 11 | Corporate Issuers - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 13 |
| 12 | Corporate Issuers - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 14 |
| 13 | Corporate Issuers - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 15 |
| 14 | Corporate Issuers - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 16 |
| 15 | Corporate Issuers - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 17 |
| 16 | RMBS - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 18 |
| 17 | RMBS - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 19 |
| 18 | RMBS - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 20 |
| 19 | RMBS - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 21 |
| 20 | RMBS - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 22 |
| 21 | RMBS - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 23 |
| 22 | CMBS - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 24 |
| 23 | CMBS - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 25 |
| 24 | CMBS - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 26 |
| 25 | CMBS - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 27 |
| 26 | CMBS - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 28 |
| 27 | CMBS - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 29 |
| 28 | CLOs - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 30 |
| 29 | CLOs - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 31 |
| 30 | CLOs - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 32 |
| 31 | CLOs - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 33 |
| 32 | CLOs - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 34 |
| 33 | CLOs - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 35 |
| 34 | CDOs - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 36 |
| 35 | CDOs - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 37 |
| 36 | CDOs - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 38 |
| 37 | CDOs - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 39 |
| 38 | CDOs - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 40 |
| 39 | CDOs - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 41 |
| 40 | Other ABS - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 42 |
| 41 | Other ABS - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 43 |
| 42 | Other ABS - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 44 |
| 43 | Other ABS - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 45 |

1

| 44 | Other ABS - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 46 |
| --- | --- | --- |
| 45 | Other ABS - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 47 |
| 46 | Other SFPs - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 48 |
| 47 | Other SFPs - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 49 |
| 48 | Other SFPs - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 50 |
| 49 | Other SFPs - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 51 |
| 50 | Other SFPs - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 52 |
| 51 | Other SFPs - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 53 |
| 52 | Sovereign Issuers - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 54 |
| 53 | Sovereign Issuers - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 55 |
| 54 | Sovereign Issuers - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 56 |
| 55 | Sovereign Issuers - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 57 |
| 56 | Sovereign Issuers - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 58 |
| 57 | Sovereign Issuers - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 59 |
| 58 | U.S. Public Finance - 1-Year Transition and Default Rates (Long-Term Credit Ratings) | 60 |
| 59 | U.S. Public Finance - 3-Year Transition and Default Rates (Long-Term Credit Ratings) | 61 |
| 60 | U.S. Public Finance - 10-Year Transition and Default Rates (Long-Term Credit Ratings) | 62 |
| 61 | U.S. Public Finance - 1-Year Transition and Default Rates (Short-Term Credit Ratings) | 63 |
| 62 | U.S. Public Finance - 3-Year Transition and Default Rates (Short-Term Credit Ratings) | 64 |
| 63 | U.S. Public Finance - 10-Year Transition and Default Rates (Short-Term Credit Ratings) | 65 |

2

Table 1: Financial Institutions, Brokers, or Dealers - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 7 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 4 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 21 |  |  |  | 95% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 22 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 45 |  |  |  |  | 2% | 96% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2% |
| A- | 136 |  |  |  |  | 1% | 1% | 94% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% | 3% |  |
| BBB+ | 165 |  |  |  |  |  |  | 2% | 89% | 1% |  |  |  |  |  |  |  |  |  |  |  |  | 1% | 7% |  |
| BBB | 154 |  |  |  |  |  |  |  | 2% | 88% | 1% |  |  |  |  |  |  |  |  |  |  |  | 1% | 8% |  |
| BBB- | 74 |  |  |  |  |  |  |  |  | 3% | 87% | 1% | 1% | 1% |  |  |  |  |  |  |  |  | 3% | 4% |  |
| BB+ | 20 |  |  |  |  |  |  |  |  |  | 5% | 85% |  |  |  |  |  |  |  |  |  |  |  | 10% |  |
| BB | 12 |  |  |  |  |  |  |  |  |  |  |  | 92% |  |  |  |  |  |  |  |  |  |  | 8% |  |
| BB- | 5 |  |  |  |  |  |  |  |  |  |  |  | 40% | 60% |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 673 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

3

Table 2: Financial Institutions, Brokers, or Dealers - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 5 |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |
| AA- | 5 |  |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |
| A+ | 11 |  |  |  |  | 82% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18% |
| A | 12 |  |  |  |  | 8% | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25% |
| A- | 84 |  |  |  |  |  | 6% | 68% | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10% | 11% |  |
| BBB+ | 125 |  |  |  |  |  |  | 8% | 64% | 4% |  |  |  |  |  |  |  |  |  |  |  |  | 2% |  | 22% |  |
| BBB | 86 |  |  |  |  |  |  | 2% | 8% | 57% | 6% |  | 1% | 1% |  |  |  |  |  |  |  |  | 1% | 1% | 23% |  |
| BBB- | 36 |  |  |  |  |  | 3% |  |  | 17% | 54% | 6% |  |  |  |  |  |  |  |  |  |  |  | 6% | 14% |  |
| BB+ | 13 |  |  |  |  |  |  |  |  |  | 15% | 55% |  |  |  |  |  |  |  |  |  |  |  | 15% | 15% |  |
| BB | 6 |  |  |  |  |  |  |  |  |  |  |  | 16% | 17% |  |  |  |  |  |  |  |  |  | 17% | 50% |  |
| BB- | 3 |  |  |  |  |  |  |  |  |  |  | 34% |  |  |  |  |  |  |  |  |  |  | 33% | 33% |  |  |
| B+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 388 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

4

Table 3: Financial Institutions, Brokers, or Dealers - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 3 |  |  |  |  |  |  | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67% |
| BBB | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

5

Table 4: Financial Institutions, Brokers, or Dealers - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 5 | 100% |  |  |  |  |  |  |  |  |
| K1 | 14 |  | 93% |  |  |  |  |  |  | 7% |
| K2 | 205 |  | 0% | 93% | 0% |  |  |  |  | 7% |
| K3 | 91 |  |  | 1% | 89% |  |  |  |  | 10% |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 315 |  |  |  |  |  |  |  |  |  |

6

Table 5: Financial Institutions, Brokers, or Dealers - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 6 | 50% |  |  |  |  |  |  |  | 50% |
| K1 | 15 |  | 67% |  |  |  |  |  |  | 33% |
| K2 | 162 |  | 2% | 76% | 3% |  |  |  |  | 19% |
| K3 | 61 |  |  | 8% | 67% |  |  |  |  | 25% |
| B | 2 |  |  |  |  |  |  |  |  | 100% |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 246 |  |  |  |  |  |  |  |  |  |

7

Table 6: Financial Institutions, Brokers, or Dealers - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 1 |  |  |  |  |  |  |  |  | 100% |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 3 |  |  | 33% |  |  |  |  |  | 67% |
| K3 | 1 |  |  |  |  |  |  |  |  | 100% |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 5 |  |  |  |  |  |  |  |  |  |

8

Table 7: Insurance Companies - 1-Year Transition and Default Rates (Insurance Financial Strength Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 4 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 4 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 1 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 17 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 52 |  |  |  |  |  |  | 92% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8% |  |
| BBB+ | 15 |  |  |  |  |  |  | 13% | 47% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |  |
| BBB | 7 |  |  |  |  |  |  |  |  | 71% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 29% |  |
| BBB- | 5 |  |  |  |  |  |  |  |  | 20% | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  | 20% |  |
| BB+ | 3 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 108 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

9

Table 8: Insurance Companies - 3-Year Transition and Default Rates (Insurance Financial Strength Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 3 |  | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% |
| AA | 5 |  | 20% | 80% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 1 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 10 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 36 |  |  |  |  |  | 6% | 83% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11% |
| BBB+ | 10 |  |  |  |  |  |  | 20% | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |
| BBB | 1 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 5 |  |  |  |  |  |  |  |  | 20% | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |
| BB+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 74 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

10

Table 9: Insurance Companies - 10-Year Transition and Default Rates (Insurance Financial Strength Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

11

Table 10: Corporate Issuers - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 1 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 3 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 10 |  |  |  |  |  | 90% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10% |  |  |
| A- | 18 |  |  |  |  |  | 17% | 61% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 22% |  |  |
| BBB+ | 16 |  |  |  |  |  |  |  | 88% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% | 6% |  |
| BBB | 48 |  |  |  |  |  |  |  |  | 86% | 2% |  |  |  |  |  |  |  |  |  |  |  |  | 6% | 6% |  |
| BBB- | 80 |  |  |  |  |  |  |  |  | 4% | 81% |  |  |  |  |  |  |  |  |  |  |  |  | 10% | 5% |  |
| BB+ | 18 |  |  |  |  |  |  |  |  |  | 11% | 66% | 11% | 6% |  |  |  |  |  |  |  |  |  | 6% |  |  |
| BB | 16 |  |  |  |  |  |  |  |  |  |  | 6% | 88% |  |  |  |  |  |  |  |  |  |  |  | 6% |  |
| BB- | 10 |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% |  |  |  | 17% |  |  |  |  |  | 50% |  |
| B | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |
| B- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 6 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% | 67% |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |
| CC | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 242 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

12

Table 11: Corporate Issuers - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 3 |  | 33% |  |  | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 2 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 10 |  |  |  |  |  |  | 30% | 10% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20% | 40% |  |
| BBB+ | 8 |  |  |  |  |  |  |  | 62% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 13% | 25% |  |
| BBB | 41 |  |  |  |  |  |  |  | 7% | 52% | 10% | 2% |  |  |  |  |  |  |  |  |  |  |  | 17% | 12% |  |
| BBB- | 76 |  |  |  |  |  |  |  |  | 4% | 56% | 11% | 4% | 3% |  |  |  |  | 1% |  |  |  |  | 13% | 8% |  |
| BB+ | 5 |  |  |  |  |  |  |  |  |  | 20% | 20% |  | 20% | 20% |  |  |  |  |  |  |  |  |  | 20% |  |
| BB | 5 |  |  |  |  |  |  |  |  |  |  | 20% | 40% |  |  |  |  |  |  |  |  |  |  | 40% |  |  |
| BB- | 5 |  |  |  |  |  |  |  |  |  |  |  | 20% | 40% |  |  |  |  |  |  |  |  |  | 20% | 20% |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  |  |  |  | 50% |  |  |  |
| B- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 158 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

13

Table 12: Corporate Issuers - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

14

Table 13: Corporate Issuers - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

15

Table 14: Corporate Issuers - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

16

Table 15: Corporate Issuers - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

17

Table 16: RMBS - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 7052 | 94% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% | 1% |  |
| AA+ | 226 | 25% | 58% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16% | 1% |  |
| AA | 240 | 37% | 13% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |
| AA- | 86 | 28% | 12% | 22% | 18% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20% |  |  |
| A+ | 233 | 0% | 32% | 3% | 14% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |
| A | 335 |  | 0% | 51% | 1% | 4% | 27% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 16% | 1% |  |
| A- | 184 |  |  | 1% | 64% | 13% | 9% | 13% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 239 |  |  |  | 0% | 35% | 3% | 10% | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% | 1% |  |
| BBB | 356 |  |  |  |  | 5% | 27% | 2% | 5% | 53% |  |  |  |  |  |  |  |  |  |  |  |  |  | 8% |  |  |
| BBB- | 243 |  |  |  |  |  | 16% | 17% | 2% | 19% | 45% |  |  |  |  |  |  |  |  |  |  |  |  | 1% |  |  |
| BB+ | 287 |  |  |  |  |  |  | 32% | 18% | 1% | 17% | 30% |  |  |  |  |  |  |  |  |  |  |  | 1% | 1% |  |
| BB | 200 |  |  |  |  |  |  |  | 12% | 13% | 4% | 27% | 42% |  |  |  |  |  |  |  |  |  |  | 2% |  |  |
| BB- | 100 |  |  |  |  |  |  |  |  | 4% | 15% | 17% | 12% | 50% |  |  |  |  |  |  |  |  |  |  | 2% |  |
| B+ | 76 |  |  |  |  |  |  |  |  |  | 3% | 11% | 4% | 29% | 50% |  |  |  |  |  |  |  |  | 3% |  |  |
| B | 96 |  |  |  |  |  |  |  |  |  |  | 1% | 8% | 4% | 9% | 78% |  |  |  |  |  |  |  |  |  |  |
| B- | 64 |  |  |  |  |  |  |  |  |  |  |  | 5% | 5% | 5% | 30% | 52% |  |  |  |  |  |  | 3% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 12 |  |  |  |  |  |  |  |  |  |  |  |  | 25% | 42% | 8% | 17% |  |  |  |  |  |  | 8% |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 10029 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

18

Table 17: RMBS - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 4218 | 63% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 37% |  |  |
| AA+ | 111 | 80% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 19% |  |  |
| AA | 184 | 72% | 1% | 9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18% |  |  |
| AA- | 44 | 41% | 14% | 7% | 6% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 32% |  |  |
| A+ | 72 | 26% | 8% | 6% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 58% |  |  |
| A | 152 | 43% | 7% | 13% |  | 4% | 10% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 23% |  |  |
| A- | 60 | 17% | 13% | 10% | 7% | 3% | 2% | 3% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 45% |  |  |
| BBB+ | 92 | 12% | 14% | 2% | 4% | 5% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 61% |  |  |
| BBB | 268 | 1% | 21% | 11% | 5% | 3% | 6% | 2% | 3% | 8% |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |  |  |
| BBB- | 197 |  |  | 48% | 1% | 2% | 2% | 2% |  | 2% | 1% |  |  |  |  |  |  |  |  |  |  |  |  | 42% |  |  |
| BB+ | 168 |  |  | 11% | 57% | 16% | 2% | 3% | 3% | 1% | 2% | 1% |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| BB | 353 |  |  |  |  | 21% | 7% | 34% | 2% | 4% | 2% | 4% | 9% |  |  |  |  |  |  |  |  |  |  | 17% |  |  |
| BB- | 63 |  |  |  | 2% |  | 44% |  | 27% |  | 8% |  | 3% | 5% |  |  |  |  |  |  |  |  |  | 11% |  |  |
| B+ | 107 |  |  |  |  |  | 53% | 3% | 30% | 5% |  | 3% | 1% | 2% | 0% |  |  |  |  |  |  |  |  | 3% |  |  |
| B | 91 |  |  |  |  |  |  |  | 18% | 7% | 8% | 14% | 4% | 8% | 9% | 27% | 1% |  |  |  |  |  |  | 4% |  |  |
| B- | 12 |  |  |  |  | 8% |  |  |  |  | 17% |  | 8% |  |  |  | 34% |  |  |  |  |  |  | 33% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 6192 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

19

Table 18: RMBS - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 20% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 80% |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 33 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

20

Table 19: RMBS - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

21

Table 20: RMBS - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

22

Table 21: RMBS - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

23

Table 22: CMBS - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 2941 | 92% |  | 0% | 0% |  | 0% |  |  |  | 0% |  |  |  |  |  |  |  | 0% | 0% | 0% |  |  | 8% | 0% |  |
| AA+ | 74 | 3% | 81% |  |  |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15% |  |  |
| AA | 200 |  | 3% | 91% |  |  |  | 1% |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| AA- | 231 |  | 7% | 2% | 85% | 0% | 0% |  |  |  |  |  |  | 0% |  |  |  |  |  |  |  |  |  | 6% |  |  |
| A+ | 72 |  | 6% | 8% | 4% | 64% |  |  |  | 3% |  |  |  |  |  |  |  |  |  |  |  |  |  | 15% |  |  |
| A | 161 |  |  |  |  | 1% | 91% |  |  | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% |  |  |
| A- | 367 |  | 1% | 1% | 2% | 2% | 2% | 85% |  | 2% | 1% |  |  |  |  |  | 0% |  |  |  |  |  |  | 4% |  |  |
| BBB+ | 148 |  | 1% | 1% | 1% | 6% | 5% | 1% | 82% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3% |  |  |
| BBB | 186 |  |  |  |  | 2% | 2% | 2% | 5% | 77% | 1% |  | 2% | 1% |  | 1% | 1% |  | 1% |  | 1% |  |  | 4% |  |  |
| BBB- | 491 |  |  |  |  | 0% | 0% | 0% | 1% | 2% | 90% |  | 2% | 1% |  | 1% | 0% |  |  |  |  |  |  | 3% |  |  |
| BB+ | 57 |  |  |  |  |  |  |  |  |  |  | 92% | 2% | 2% |  |  |  |  |  |  |  |  |  | 4% |  |  |
| BB | 147 |  |  |  |  |  |  |  |  |  |  |  | 87% | 2% |  | 2% | 3% |  | 3% |  |  |  |  | 3% |  |  |
| BB- | 312 |  |  |  |  |  |  |  |  |  |  |  | 2% | 86% | 0% | 3% | 4% |  | 1% |  |  |  |  | 4% | 0% |  |
| B+ | 36 |  |  |  |  |  |  |  |  |  |  |  |  |  | 91% |  | 6% |  |  |  | 3% |  |  |  |  |  |
| B | 126 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 86% | 2% |  | 6% |  | 2% | 1% |  | 3% |  |  |
| B- | 290 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1% | 85% |  | 7% | 0% | 2% | 1% |  | 4% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 104 | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 82% |  | 10% | 7% |  |  |  |  |
| CCC- | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 60% |  | 40% |  |  |  |  |
| CC | 42 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 80% | 10% | 10% |  |  |  |
| C | 59 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 88% | 12% |  |  |  |
| Total | 6049 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

24

Table 23: CMBS - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 2449 | 80% | 0% | 0% | 0% |  | 0% | 0% |  |  | 0% |  |  |  |  | 0% |  |  | 0% | 0% | 0% | 0% |  | 20% | 0% |  |
| AA+ | 58 | 3% | 57% |  | 3% |  | 2% |  |  | 2% |  |  |  |  |  |  | 2% |  |  |  |  |  |  | 31% |  |  |
| AA | 156 | 1% | 2% | 84% |  | 1% |  |  |  | 2% | 1% |  |  |  |  | 1% |  |  | 1% |  |  |  |  | 7% |  |  |
| AA- | 196 | 1% | 7% | 2% | 63% |  | 2% | 1% |  | 2% | 1% |  | 1% | 1% |  |  |  |  |  |  |  | 1% |  | 18% |  |  |
| A+ | 60 |  | 8% | 10% | 5% | 48% |  |  |  | 3% |  |  | 2% |  |  |  |  |  |  |  | 7% |  |  | 17% |  |  |
| A | 130 |  |  | 1% |  | 1% | 77% | 4% |  | 2% |  |  | 2% |  |  | 2% | 1% |  | 1% |  |  |  |  | 9% |  |  |
| A- | 309 |  | 1% | 1% | 1% | 2% | 2% | 70% |  | 5% | 2% |  | 2% | 1% |  | 1% | 0% |  | 1% |  | 0% |  |  | 11% |  |  |
| BBB+ | 122 |  | 1% | 1% | 2% | 7% | 7% | 1% | 67% | 2% |  |  | 2% |  |  | 1% | 1% |  |  |  |  | 2% |  | 6% |  |  |
| BBB | 115 |  |  |  |  | 3% | 3% | 3% | 5% | 67% | 5% |  | 1% | 1% |  |  | 2% |  | 5% |  |  | 1% |  | 4% |  |  |
| BBB- | 460 | 0% |  |  |  | 0% | 0% | 0% | 1% | 1% | 67% | 1% | 5% | 3% |  | 5% | 2% |  | 3% | 0% | 2% | 1% | 0% | 9% |  |  |
| BB+ | 54 |  |  |  |  |  |  |  |  | 2% |  | 63% | 6% | 2% |  | 6% | 6% |  | 6% |  | 2% |  |  | 7% |  |  |
| BB | 154 |  |  |  |  |  |  |  |  |  | 1% |  | 50% | 7% | 1% | 9% | 10% |  | 7% |  | 6% | 3% | 1% | 5% |  |  |
| BB- | 249 |  |  |  |  |  |  |  |  |  |  | 1% | 0% | 65% | 1% | 3% | 8% |  | 6% |  | 3% | 1% | 0% | 12% | 0% |  |
| B+ | 47 |  |  |  |  |  |  |  |  |  |  |  |  |  | 45% | 2% | 13% |  | 26% |  | 6% | 4% |  | 4% |  |  |
| B | 123 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 38% | 13% |  | 20% |  | 9% | 11% | 2% | 7% |  |  |
| B- | 204 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 57% |  | 15% | 1% | 4% | 8% | 1% | 14% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 20 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10% |  |  | 75% | 15% |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |
| C | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |
| Total | 4911 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

25

Table 24: CMBS - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 164 | 5% |  | 1% |  |  | 4% | 1% |  |  | 2% |  |  |  |  | 1% |  |  | 1% | 1% | 1% | 1% |  | 79% | 3% |  |
| AA+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |
| AA | 22 |  |  | 2% | 5% |  |  |  |  | 14% | 5% |  |  |  |  | 5% | 5% |  | 5% |  |  |  |  | 59% |  |  |
| AA- | 6 |  |  |  | 16% |  |  |  |  |  |  |  |  | 17% |  |  |  |  |  |  |  |  |  | 67% |  |  |
| A+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  | 50% |  |  |
| A | 26 |  |  |  |  |  | 2% |  |  | 4% |  |  | 8% |  |  | 8% | 4% |  | 4% |  | 12% |  |  | 58% |  |  |
| A- | 11 |  |  |  |  |  |  | 9% |  |  | 9% |  |  |  |  |  | 9% |  |  |  |  |  |  | 73% |  |  |
| BBB+ | 14 |  |  |  |  |  |  |  | 8% |  | 7% |  |  |  |  |  | 7% |  |  |  |  | 21% |  | 57% |  |  |
| BBB | 9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12% |  |  | 44% |  |  |  |  | 44% |  |  |
| BBB- | 21 |  |  |  |  |  |  |  |  |  | 8% |  |  |  |  |  | 14% |  | 10% | 5% | 10% | 5% | 5% | 43% |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 15 |  |  |  |  |  |  |  |  |  |  |  |  |  | 6% | 7% |  |  |  |  | 20% | 20% | 7% | 40% |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |
| B | 11 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 18% |  |  |  |  | 55% | 9% | 18% |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 303 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

26

Table 25: CMBS - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

27

Table 26: CMBS - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

28

Table 27: CMBS - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

29

Table 28: CLOs - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 66 | 89% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11% |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 36 |  |  | 92% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8% |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 6 |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  |
| A | 43 |  |  |  |  |  | 93% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |
| A- | 6 |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 1 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 22 |  |  |  |  |  | 5% |  |  | 90% |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |
| BBB- | 39 |  |  |  |  |  |  |  | 3% |  | 92% |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 2 |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 47 |  |  |  |  |  |  |  |  |  |  |  |  | 94% |  |  |  |  |  |  |  |  |  | 6% |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 12 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 75% |  |  |  |  |  |  | 25% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 280 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

30

Table 29: CLOs - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 17 | 17% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 65% | 18% |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67% |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| A | 4 |  |  |  |  |  | 25% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 75% |  |
| A- | 3 |  |  |  |  |  |  | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% |  |
| BBB+ | 1 |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |
| BBB- | 2 |  |  |  |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 36 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

31

Table 30: CLOs - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

32

Table 31: CLOs - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

33

Table 32: CLOs - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

34

Table 33: CLOs - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

35

Table 34: CDOs - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 2 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 5 |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |  |
| AA- | 7 |  |  | 29% | 43% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 14% | 14% |  |
| A+ | 8 |  |  |  | 25% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% | 25% |  |
| A | 5 |  |  |  |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |  |
| A- | 6 |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |
| BBB+ | 4 |  |  |  |  |  | 25% |  | 25% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  |
| BBB | 6 |  |  |  |  |  |  |  |  | 34% |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% | 33% |  |
| BBB- | 23 |  |  |  |  |  | 4% | 4% | 13% | 4% | 53% |  |  |  |  |  |  |  |  |  |  |  |  | 9% | 13% |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 5 |  |  |  |  |  |  |  |  |  |  | 20% | 60% |  |  |  |  |  |  |  |  |  |  | 20% |  |  |
| BB- | 16 |  |  |  |  |  |  |  |  |  | 19% | 6% | 6% | 56% |  |  |  |  |  |  |  |  |  | 13% |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  | 43% | 14% | 29% |  |  |  |  |  |  | 14% |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 94 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

36

Table 35: CDOs - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 1 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 2 |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |
| AA- | 6 |  |  | 33% | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 17% |  |
| A+ | 3 |  |  |  | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67% |
| A | 5 |  |  |  |  |  | 40% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 20% | 40% |
| A- | 12 |  |  |  |  |  |  | 9% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8% | 83% |
| BBB+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% | 50% |
| BBB | 3 |  |  |  |  |  |  |  |  | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  | 67% |  |
| BBB- | 31 |  |  |  |  |  | 6% | 3% | 10% | 3% | 10% |  |  |  |  |  |  |  |  |  |  |  |  | 23% | 45% |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 3 |  |  |  |  |  |  |  |  |  |  | 33% | 67% |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 21 |  |  |  |  |  |  |  |  |  | 14% | 5% | 5% | 38% |  |  |  |  |  |  |  |  |  | 38% |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 7 |  |  |  |  |  |  |  |  |  |  |  |  |  | 43% | 14% | 29% |  |  |  |  |  |  | 14% |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 96 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

37

Table 36: CDOs - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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% |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BBB- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

38

Table 37: CDOs - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

39

Table 38: CDOs - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

40

Table 39: CDOs - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

41

Table 40: Other ABS - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 150 | 45% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 55% |  |  |
| AA+ | 71 | 15% | 27% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 58% |  |  |
| AA | 84 | 12% | 17% | 29% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 42% |  |  |
| AA- | 37 | 5% | 11% | 11% | 49% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 24% |  |  |
| A+ | 47 | 19% | 6% | 2% | 2% | 39% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 32% |  |  |
| A | 100 | 10% | 7% | 5% | 7% | 11% | 38% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 22% |  |  |
| A- | 82 | 5% | 1% | 1% | 6% | 7% | 15% | 44% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 21% |  |  |
| BBB+ | 39 | 13% | 3% |  |  |  |  | 10% | 38% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 36% |  |  |
| BBB | 116 | 3% | 3% | 2% | 1% | 6% | 8% | 8% | 16% | 38% |  |  |  |  |  |  |  |  |  |  |  |  |  | 15% |  |  |
| BBB- | 83 | 1% | 1% |  | 2% | 1% | 2% | 8% | 2% | 10% | 66% |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |
| BB+ | 35 | 3% | 3% |  |  | 6% | 3% | 6% |  | 6% | 9% | 35% |  |  |  |  |  |  |  |  |  |  |  | 29% |  |  |
| BB | 98 |  | 2% |  |  |  | 1% | 3% | 2% | 9% | 5% | 8% | 58% |  |  |  |  |  |  |  |  |  |  | 12% |  |  |
| BB- | 54 |  |  | 2% |  |  |  |  | 4% | 2% | 7% | 2% | 6% | 68% |  |  |  |  |  |  |  |  |  | 9% |  |  |
| B+ | 14 |  |  |  |  |  |  |  |  |  |  | 7% | 7% | 29% | 36% |  |  |  |  |  |  |  |  | 21% |  |  |
| B | 39 |  |  |  | 3% |  |  |  |  |  |  | 3% | 8% | 3% | 13% | 52% |  |  |  |  |  |  |  | 18% |  |  |
| B- | 14 |  |  |  |  |  |  |  | 7% | 7% | 7% |  | 14% |  |  | 14% | 51% |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 1065 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

42

Table 41: Other ABS - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 128 | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 96% |  |
| AA+ | 62 |  | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 97% | 2% |
| AA | 76 | 4% |  | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 87% | 4% |
| AA- | 29 | 3% | 3% |  | 5% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 86% | 3% |
| A+ | 50 | 2% |  |  |  | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 94% |  |
| A | 90 | 7% | 1% | 3% |  |  | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 83% | 2% |
| A- | 32 | 3% | 3% |  | 3% | 6% | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 81% |  |
| BBB+ | 36 | 3% |  |  |  |  |  | 3% | 2% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 92% |  |
| BBB | 104 | 13% | 6% |  |  | 4% | 2% | 2% | 6% | 3% |  |  |  |  |  |  |  |  |  |  |  |  |  | 63% | 1% |
| BBB- | 36 | 8% | 3% | 3% |  | 3% | 3% | 8% |  | 8% | 8% |  |  |  |  |  |  |  |  |  |  |  |  | 56% |  |
| BB+ | 21 |  | 5% |  |  |  |  |  |  |  |  | 9% |  |  |  |  |  |  |  |  |  |  |  | 86% |  |
| BB | 90 | 2% | 1% | 1% |  | 1% | 4% | 6% | 1% | 9% | 3% | 2% | 9% |  |  |  |  |  |  |  |  |  |  | 61% |  |
| BB- | 30 |  | 7% |  |  | 3% | 3% |  | 3% | 10% | 7% |  | 10% | 4% |  |  |  |  |  |  |  |  |  | 53% |  |
| B+ | 11 |  |  |  |  |  |  |  | 9% |  |  | 9% | 9% | 9% |  |  |  |  |  |  |  |  |  | 64% |  |
| B | 24 |  |  |  |  |  |  |  |  |  |  |  | 4% | 13% | 8% | 4% |  |  |  |  |  |  |  | 71% |  |
| B- | 11 |  |  |  | 9% |  |  |  | 9% |  |  |  | 18% |  |  |  |  |  |  |  |  |  |  | 64% |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 830 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

43

Table 42: Other ABS - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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% |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 12 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

44

Table 43: Other ABS - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 4 |  |  |  |  |  |  |  | 100% |  |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 4 |  |  |  |  |  |  |  |  |  |

45

Table 44: Other ABS - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 3 |  |  |  |  |  |  |  | 100% |  |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 3 |  |  |  |  |  |  |  |  |  |

46

Table 45: Other ABS - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 2 |  |  |  |  |  |  |  | 100% |  |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 2 |  |  |  |  |  |  |  |  |  |

47

Table 46: Other SFPs - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 49 | 96% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| AA+ | 1 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 13 | 15% | 23% | 39% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 23% |  |  |
| AA- | 11 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 15 |  | 7% |  | 13% | 73% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |
| A | 186 | 1% |  | 2% | 1% | 1% | 84% | 3% | 1% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% | 2% |  |
| A- | 72 |  |  |  |  | 1% | 1% | 83% | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11% |  |  |
| BBB+ | 28 |  |  |  |  |  | 7% |  | 67% | 4% | 7% | 4% |  |  |  |  |  |  |  |  |  |  |  | 11% |  |  |
| BBB | 181 |  |  |  |  |  | 1% |  | 1% | 84% | 4% | 1% |  |  |  |  |  |  |  |  |  |  |  | 9% |  |  |
| BBB- | 58 |  |  |  |  |  |  |  |  |  | 86% | 3% | 2% |  |  |  |  |  |  |  |  |  |  | 9% |  |  |
| BB+ | 27 |  |  |  |  |  |  |  |  |  |  | 59% | 11% | 4% | 7% |  |  |  |  |  |  |  |  | 19% |  |  |
| BB | 64 |  |  |  |  |  |  |  |  |  |  |  | 84% |  | 3% | 2% |  |  |  |  |  |  |  | 9% | 2% |  |
| BB- | 24 |  |  |  |  |  |  |  |  |  |  |  |  | 88% |  | 4% |  |  |  |  |  |  |  | 8% |  |  |
| B+ | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% |  |  |  |  |  |  |  |  | 67% |  |  |
| B | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 77% | 15% |  |  |  |  |  |  | 8% |  |  |
| B- | 7 |  |  |  |  |  |  |  |  |  |  |  |  | 14% |  |  | 43% |  | 29% |  |  |  |  | 14% |  |  |
| CCC+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |
| CCC | 42 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 95% |  |  |  |  | 5% |  |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |
| CC | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 798 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

48

Table 47: Other SFPs - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 50 | 72% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28% |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 9 |  | 11% | 11% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 78% |  |
| AA- | 5 |  |  |  | 60% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40% |  |
| A+ | 4 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 164 |  |  | 1% |  | 4% | 27% | 5% | 11% | 5% | 2% | 2% | 1% |  |  |  |  |  |  |  |  |  |  | 41% | 1% |
| A- | 27 |  |  |  |  | 4% | 4% | 51% |  | 4% |  |  |  |  |  |  |  |  |  |  |  |  |  | 37% |  |
| BBB+ | 7 |  |  |  |  |  | 14% |  | 43% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 43% |  |
| BBB | 152 | 1% |  |  |  |  | 1% |  | 1% | 24% | 6% | 8% | 7% | 1% | 3% | 1% |  |  | 1% |  |  |  |  | 46% |  |
| BBB- | 28 |  |  |  |  |  |  |  |  |  | 35% |  | 4% |  |  | 14% |  |  | 4% |  |  |  |  | 36% | 7% |
| BB+ | 6 |  |  |  |  |  |  |  |  |  |  | 33% |  |  |  |  |  |  |  |  |  |  |  | 67% |  |
| BB | 60 |  |  |  |  |  | 2% |  |  |  |  |  | 19% |  |  |  | 2% |  | 35% |  |  |  | 2% | 40% |  |
| BB- | 16 |  |  |  |  |  |  |  |  |  |  |  |  | 32% |  | 6% |  |  | 31% |  |  |  |  | 31% |  |
| B+ | 2 |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  | 50% |  |
| B | 14 |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  | 14% |  |  | 29% |  | 7% |  | 7% | 36% |  |
| B- | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 67% |  |  |  |  |  | 33% |
| CCC+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |
| CCC | 4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |
| CCC- | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 553 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

49

Table 48: Other SFPs - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

50

Table 49: Other SFPs - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

51

Table 50: Other SFPs - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

52

Table 51: Other SFPs - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

53

Table 52: Sovereign Issuers - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 4 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 2 |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 2 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 3 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 11 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

54

Table 53: Sovereign Issuers - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 4 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 2 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 2 |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 8 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

55

Table 54: Sovereign Issuers - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

56

Table 55: Sovereign Issuers - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 8 | 100% |  |  |  |  |  |  |  |  |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 2 |  |  | 100% |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 10 |  |  |  |  |  |  |  |  |  |

57

Table 56: Sovereign Issuers - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 6 | 100% |  |  |  |  |  |  |  |  |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 2 |  |  | 100% |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 8 |  |  |  |  |  |  |  |  |  |

58

Table 57: Sovereign Issuers - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

KBRA has not assigned credit ratings in this class/subclass for the length of time necessary to produce a Transition/Default Matrix.

59

Table 58: U.S. Public Finance - 1-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 21 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 20 |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 25 |  |  | 96% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4% |  |  |
| AA- | 25 |  |  | 4% | 96% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ | 22 |  |  |  | 5% | 95% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 8 |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 8 |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB+ | 2 |  |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |
| BBB | 13 |  |  |  |  |  |  |  | 15% | 77% | 8% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 4 |  |  |  |  |  |  |  |  | 25% | 75% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 149 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

60

Table 59: U.S. Public Finance - 3-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 15 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 15 | 20% | 66% | 7% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7% |  |  |
| AA | 19 |  | 5% | 90% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |  |
| AA- | 22 |  |  | 9% | 86% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5% |  |
| A+ | 12 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 6 |  |  | 17% |  |  | 83% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 11 |  |  |  |  |  |  | 64% |  | 18% |  |  |  |  |  |  |  |  |  |  |  |  |  | 9% | 9% |  |
| BBB+ | 3 |  |  |  |  |  |  |  | 34% | 33% |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33% |  |
| BBB | 7 |  |  |  |  |  |  |  | 29% | 28% | 14% |  |  |  |  |  |  |  |  |  |  |  |  |  | 29% |  |
| BBB- | 6 |  |  |  |  |  |  |  |  | 33% | 33% |  |  |  |  | 17% |  |  |  |  |  |  |  |  | 17% |  |
| BB+ | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100% |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 118 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

61

Table 60: U.S. Public Finance - 10-Year Transition and Default Rates (Long-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | AAA | AA+ | 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 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA+ | 2 | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA | 2 |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AA- | 2 |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |
| A+ | 3 |  |  | 33% |  | 67% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A | 2 |  |  |  |  | 100% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A- | 2 |  |  |  |  |  |  | 50% |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50% |  |
| BBB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BBB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| BB- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| B- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC+ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CCC- | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CC | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | 13 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

62

Table 61: U.S. Public Finance - 1-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2021 through December 31, 2022)

| Credit Ratings as of 12/31/2021 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2021 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 9 | 78% |  |  |  |  |  |  | 22% |  |
| K1 | 1 |  | 100% |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 10 |  |  |  |  |  |  |  |  |  |

63

Table 62: U.S. Public Finance - 3-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2019 through December 31, 2022)

| Credit Ratings as of 12/31/2019 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2019 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 6 | 66% |  |  |  |  |  |  | 17% | 17% |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 6 |  |  |  |  |  |  |  |  |  |

64

Table 63: U.S. Public Finance - 10-Year Transition and Default Rates (Short-Term Credit Ratings)

(December 31, 2012 through December 31, 2022)

| Credit Ratings as of 12/31/2012 |  | Credit Ratings as of 12/31/2022 (Percent) |  |  |  |  |  | Other Outcomes During 12/31/2012 - 12/31/2022 (Percent) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit Rating | Number of Ratings Outstanding | K1+ | K1 | K2 | K3 | B | C | Default | Paid Off | Withdrawn (other) |
| K1+ | 1 |  |  |  |  |  |  |  |  | 100% |
| K1 | 0 |  |  |  |  |  |  |  |  |  |
| K2 | 0 |  |  |  |  |  |  |  |  |  |
| K3 | 0 |  |  |  |  |  |  |  |  |  |
| B | 0 |  |  |  |  |  |  |  |  |  |
| C | 0 |  |  |  |  |  |  |  |  |  |
| Total | 1 |  |  |  |  |  |  |  |  |  |

65

**Attachment 3:** `ex2-nrsro_ce.pdf`

KBRA

# KROLL BOND RATING AGENCY, LLC

## Form NRSRO Annual Certification

### EXHIBIT 2:
Procedures and
Methodologies Used to
Determine Credit Ratings

Ex2 Procedures and Methodologies Used to Determine
Credit Ratings

1

March 30, 2023

# KROLL BOND RATING AGENCY, LLC

# Form NRSRO Exhibit 2

**Exhibit 2.** Provide in this Exhibit a general description of the procedures and methodologies used by the Applicant/NRSRO to determine credit ratings, including unsolicited credit ratings within the classes of credit ratings for which the Applicant/NRSRO is seeking registration or is registered.

For a description of KBRA's methodologies, and links to complete copies of all such methodologies, please refer to the KBRA website at:

https://www.krollbondratings.com/ratings/methodologies

For a discussion of the procedures and methodologies used by KBRA to determine credit ratings, see the attached "Overview of KBRA Rating Process" which is also available at:

https://www.krollbondratings.com/show_report/6560

***

Ex2 Procedures and Methodologies Used to Determine Credit Ratings

2

March 30, 2023

KBRA

805 Third Ave, 29th Floor
New York, NY 10022
+1 (212) 702-0707 | www.kbra.com

# Overview of
KBRA's Rating Process

Analytical Contacts

Lenny Giltman, Chief Credit Officer
+1 (646) 731-2378
lenny.giltman@kbra.com

Rahsaan Majors, Senior Director
+1 (646) 731-2370
rahsaan.majors@kbra.com

Overview of KBRA's Rating Process

1

March 30, 2023

## Introduction

Kroll Bond Rating Agency, LLC, and its rating affiliates (collectively KBRA) offer credit rating services through their offices in the United States, Ireland, and the United Kingdom. The credit rating processes employed by KBRA for its credit rating products are described below but may vary depending on the nature of a specific engagement.

## Credit Ratings

### Engagement Process

KBRA offers credit ratings for specific obligations (such as bonds, notes, etc.) and for the issuers of these obligations. Credit ratings are generally solicited and are assigned with the cooperation of the issuing entity; KBRA discloses when a credit rating is unsolicited. The credit rating process typically begins when an issuer or its banker (in the case of a structured finance transaction, an arranger) contacts KBRA to determine if KBRA can rate the institution or obligation.$^{1}$ KBRA's decision to accept an engagement is based on the available resources and expertise to provide a credit rating, the availability of applicable in-use methodologies for the credit to be rated, and consideration of whether actual or potential conflicts of interest exist. KBRA analytical staff is not permitted to be involved in negotiating, discussing, or establishing the business terms of the engagement, rather, this function is the responsibility of a separate staff responsible for business development. The acceptance of repeat issuance by an issuer in a well-established sector does not typically involve the same level of review than for a new issuer, asset, or debt instrument.

Once the decision is made to proceed, the entity seeking a credit rating provides supporting financial data, transaction-related documentation, and other information, as appropriate. In the context of a structured finance transaction, i.e., a deal that involves the issuance of an asset-backed or mortgage-backed security, the information may be made available to other nationally recognized statistical rating organizations (NRSRO) by the issuer or arranger, as required by U.S. Securities and Exchange Commission (SEC) rules. The issuer will provide information on the underlying assets and deal structure for structured finance transactions. KBRA analysts will examine the information and proceed to gather other data pertinent to the credit rating.

### Credit Rating Methodologies

When assigning a credit rating to an issuer or obligation, KBRA analysts adhere to Credit Rating Methodologies approved by KBRA's Credit Policy Committee and the Kroll Bond Rating Agency, LLC Board of Managers. KBRA's Credit Rating Methodologies cover a broad spectrum of topics and describe how KBRA analyzes issuers and obligations within an industry sector, asset class, or region. To the degree that an entity or transaction exhibits features not described in existing Credit Rating Methodologies, a report on that transaction or entity may contain additional disclosure of KBRA's credit rating approach.

The Credit Rating Methodologies offer guidance as to the important risk factors and, where relevant, relative weightings that are applied. KBRA's Credit Rating Methodologies are available on the KBRA website. If KBRA deems it necessary to create a new or substantively modify an existing Credit Rating Methodology or Quantitative Model, or otherwise substantively revise its credit rating practices, such changes are submitted to KBRA's Credit Policy Committee and the Kroll Bond Rating Agency, LLC Board of Managers for approval. KBRA has a Public Comments page on its website to elicit comments on proposed new or substantively revised Credit Rating Methodologies and to publish the comments (if any), along with the final Credit Rating Methodologies. Significant changes to a proposed Credit Rating Methodology in response to comments will be reviewed and considered by the Credit Policy Committee and the KBRA Board prior to publication of a final Credit Rating Methodology.

When a Credit Rating Methodology is updated, all outstanding credit ratings that are potentially affected by the update are reviewed. KBRA will publicly comment on the potential impact to credit ratings from changes to a Credit Rating Methodology. When the revised Credit Rating Methodology is adopted, any potential changes to the affected credit ratings are published. The accompanying press release will describe the nature of any changes and the impact on outstanding credit ratings. All in-use Credit Rating Methodologies are reviewed at least annually.

$^{1}$ Investors and others may also approach KBRA to seek credit ratings for a particular security or loan, or to rate an investor's portion of a particular security or loan.

Overview of KBRA's Rating Process

2

March 30, 2023

## Use of Quantitative Models

KBRA may use Quantitative Models in the credit rating process when involving any methodologies that integrate complex modeling approaches. KBRA has established a Quantitative Risk Management (QRM) function whose mandate is to enhance KBRA's model risk management framework. KBRA's QRM Committee oversees KBRA's model risk initiative and the Quantitative Model approval process.

Analytical software, programs, and preconfigured Excel and other technological facilities used in conducting credit rating analysis that KBRA views as Quantitative Models must be validated by a member of the QRM function and then presented to the QRM Committee for approval. The QRM Committee must approve all new Quantitative Models, material changes to Quantitative Models, and all use cases of a Quantitative Model prior to implementation. KBRA maintains an inventory of all Quantitative Models.

The QRM function has issued internal guidelines for each phase of the model life cycle, including model development, validation, approval, implementation, use, and management. Model management commences when a Quantitative Model has been implemented and put into production, and includes model change management, ongoing monitoring, and periodic backtesting and review.

## Credit Rating Process

Each credit rating engagement is assigned to a lead analyst on the applicable credit ratings team. Once a credit rating recommendation is reached, the lead analyst will work with senior managers of the relevant asset class to assemble a Rating Committee. Once a credit rating is finalized in a Rating Committee, the lead analyst will inform the entity that is seeking a credit rating of the credit rating outcome. In the case of a published credit rating, this will be followed by posting the credit rating along with an Information Disclosure Form (IDF) on the KBRA website, the publication of a press release, and typically a rating report. In the case of an unpublished credit rating, an IDF will accompany KBRA's written communication of the credit rating.

In structured finance and some other asset classes, it is often the case that credit ratings are assigned and published on a preliminary basis on the KBRA website and in a pre-sale report to provide investors with credit rating analysis during the marketing phase of a transaction. The new issue credit ratings are assigned when the transaction closes. In the case of a published credit rating, the publication for both preliminary and new issue credit ratings will include an IDF accompanied by a press release.

In certain asset classes, one or more discussions with the management team of the issuer, engaging entity, sponsor, or servicer, as applicable, may be part of the credit rating analysis for solicited credit ratings. In such cases, the rating analysts typically arrange a meeting with the relevant management team and other parties or may also request and accept written responses to questions as part of the credit ratings process. The management meeting typically includes discussion of questions developed by the KBRA analytical team after it has reviewed relevant issuer documentation delivered by the relevant management team or its advisors.

Credit ratings will reflect all information known to, and believed to be relevant to, KBRA, consistent with the applicable Credit Rating Methodology in effect. KBRA relies on macroeconomic, financial market, and historical performance data in combination with financial data gathered from public sources about the rated entity, transaction, or obligor. KBRA credit ratings may factor in an assessment of the quality of asset originators. Asset originator reviews may include an assessment of business strategy, financial strength, quality control, underwriting practices, management strength, governance, and the performance of previously originated assets. KBRA also relies on direct communication with the rated entity, issuer, or obligor for nonpublic data. KBRA will determine on a case-by-case basis how assessments of the quality of originators of assets underlying or referenced by a security or money market instrument issued by an asset pool or as part of any asset-backed or mortgage-backed securities transaction factor into the determination of credit ratings. KBRA has policies in place to prevent the misuse of any nonpublic data.

KBRA may review a wide range of market indicators or credit opinions in the credit rating process. When determining a credit rating for securities or money market instruments issued by an asset pool or as part of any asset-backed or mortgage-backed securities transaction in which KBRA deems it appropriate to consider credit ratings or methodologies from other NRSROs, the following will be true: (1) KBRA's credit rating will not rely exclusively on ratings or methodologies from another NRSRO; (2) if KBRA does use a rating from another NRSRO as a factor in deriving the KBRA credit rating, KBRA will not adjust the other NRSRO's rating before using it as an input into deriving the KBRA credit rating; and (3) KBRA will not refuse to issue credit ratings for any entity because it is or was rated by another NRSRO.

Overview of KBRA's Rating Process

3

March 30, 2023

KBRA has adopted measures designed to reasonably obtain information that is reliable and originates from reliable sources, including, when appropriate, independent third-parties. KBRA's policy is to not assign credit ratings for entities, securities, obligors, or money market instruments for which it believes it has insufficient data essential for the determination of a credit rating. KBRA will determine on a case-by-case basis how information about verification of assets underlying or referenced by a security or money market instrument issued by an asset pool or as part of any asset-backed or mortgage-backed securities transaction will factor into determining the credit rating. KBRA does not typically provide independent verification of the information it receives during the credit rating process. KBRA may use available sources to independently verify information used in the credit rating process.

While KBRA's credit rating process is substantively similar regardless of whether the credit rating is issued on a solicited or unsolicited basis, in cases of unsolicited credit ratings, KBRA will not have an engagement letter with the rated entity or transaction sponsor and KBRA will generally not have an opportunity to conduct a direct evaluation of the relevant entity's management team.

## Rating Committees

### Purpose

The purpose of a Rating Committee is to provide a formal forum for the determination of credit ratings and to offer an appropriate level of governance and oversight with respect to credit rating actions and decisions.

### Frequency and Attestation

A Rating Committee will convene as needed, depending on the timing of credit rating mandates, availability of new information, and credit developments.

The Rating Committee chair is responsible for keeping the meeting on topic and for taking the vote. At the start of the credit rating process, an email conflict check must be sent to all participants who may be involved in the credit rating process. Further, at the start of each Rating Committee, the Rating Committee chair must obtain a follow-up oral confirmation on conflict checks from the participants. Participants in the Rating Committee who fail to orally confirm that they have no conflicts of interest must leave the Rating Committee before any substantive discussions begin. The committee must be postponed until the Rating Committee chair has contacted Credit Policy and Compliance for clearance to continue.

Prior to a Rating Committee meeting, the lead analyst will provide a Rating Committee memo outlining the proposed credit rating (or action) and supporting information. However, a meeting can be called without advance distribution of a memo if a time-sensitive concern arises about an issue or issuer. At the Rating Committee, the lead analyst will provide documentary evidence of all the responses to the mandatory conflict check email. In the case of a published credit rating, the lead analyst will also provide a printed copy of the Rating Chair Attestation Form, with all fields other than the Rating Committee chair's signature completed to the Rating Committee chair's satisfaction.

### Reasons for Convening

A Rating Committee may convene for the following reasons:

- To assign a new credit rating or Outlook (where appropriate) to an issuer, obligation, or class of obligations.
- To change a credit rating Outlook, place a credit rating on Watch status, or otherwise indicate that a credit rating is under review, or has been or is being removed from such review.
- To change a credit rating.
- To affirm a credit rating.
- To withdraw credit ratings in certain circumstances.2
- To consider such other action with respect to a credit rating as may be determined to be necessary by a Managing Director or above.

2 A Rating Committee is not required to effectuate the withdrawal of a credit rating in the case of routine maturing of debt or in the case of debt that ultimately was not issued.

Overview of KBRA's Rating Process

4

March 30, 2023

## Committee Members

A Rating Committee will generally consist of two or more analysts and a Managing Director or above. At a minimum, three members are required for the Rating Committee to hold a vote. Considered item(s) for action or approval will be approved based on a majority vote. However, in the case of a tie vote, the Rating Committee chair will break the tie. Disagreements with a Rating Committee's decisions are handled through an internal appeal process.

## Appeals

An issuer who has new, material information for KBRA to consider or who believes KBRA misinterpreted critical information in reaching a rating decision may appeal the rating decision and request a review of the additional information before the credit rating is published.

Any of the following employees who believe information or Credit Rating Methodologies were improperly interpreted or applied in the determination of a credit rating can request an internal appeal at the end of a Rating Committee or before such credit rating is communicated to the issuer: (1) any analytical staff present at the Rating Committee, or (2) the Head of an analytical group.

## Monitoring Credit Ratings

After a credit rating is assigned, KBRA monitors the performance of the entity or transaction so that credit ratings remain current and any necessary credit ratings actions are taken in a timely manner. All credit ratings are reviewed at least annually. Any substantive changes made to Quantitative Models or Credit Rating Methodologies would be applied both to existing credit ratings and to new issue ratings going forward.

## Corporate, Financial, and Government Ratings

Monitoring credit ratings in the corporates, financial institution, insurance, municipal finance, project finance, and investment funds areas consists of reviewing periodic financial statements and other information provided by, or on behalf of, the rated entity, in addition to event-driven statements and news reports (e.g., mergers and acquisitions activity). The analyst responsible for monitoring will consult with their rating group on any information that may be material to the credit rating and will convene a Rating Committee if deemed appropriate. The review process is substantively the same as the initial credit rating process, with a focus on material new information, such as updated financial statements.

## Structured Finance Credit Ratings

Structured finance monitoring mainly consists of reviewing periodic statements issued by securitization trustees and monitoring the performance of the rated classes and the underlying asset pool. KBRA utilizes the same Credit Rating Methodologies for both initial assignment and surveillance of credit ratings, and indications that performance is meaningfully different than expectations may cause an analyst to initiate a review and schedule a Rating Committee if deemed appropriate.

## Sovereign Credit Ratings

KBRA will monitor outstanding sovereign credit ratings and complete a formal review of each credit rating periodically throughout the year. KBRA will typically follow the three-step process outlined in KBRA's Sovereigns Rating Methodology in its surveillance review. KBRA's surveillance of sovereigns involves ongoing analysis and monitoring of macroeconomic data. KBRA will also monitor qualitative metrics, including government policy behavior and priorities, political risk, security risk, systemic risk, and economic risk. KBRA also continually monitors global political economy developments to assess their bearing on the sovereign's credit risk profile.

KBRA sets a calendar each December with the specific Fridays it will make sovereign credit rating announcements for European Union (EU) countries and the United Kingdom (UK), which is posted on the KBRA website. For unsolicited credit ratings, there is a maximum of three dates in a calendar year for credit rating announcements, although exceptions may be granted. KBRA will review EU and UK sovereign credit ratings at least every six months. Following these reviews, a press release as well as IDF and credit rating report will be released as per the specifications above.

Overview of KBRA's Rating Process

5

March 30, 2023

## Withdrawing Credit Ratings

KBRA may withdraw a credit rating if it no longer rates an entity, obligation, program, issuer, or other financial instrument for which a credit rating was previously assigned, or for other reasons specified in KBRA's policies and procedures. When a credit rating is withdrawn, KBRA issues an indication on the KBRA website that the credit rating has been withdrawn and, depending on the reason for the withdrawal, may also issue a publication stating the reason for withdrawal. KBRA assigns a WR to any obligation, program, or issuer with respect to which it has determined that the credit rating should be withdrawn.

## Other Rating Services

KBRA also provides indicative ratings and other rating services. More information is available at www.kbra.com.

---

Overview of KBRA's Rating Process

6

March 30, 2023

## Defined Terms

### Credit Rating Methodologies

A credit rating methodology is an analytical framework used to determine credit ratings in specific industries or asset classes.

### Rating Committee

A Rating Committee reviews, assigns, affirms, or changes credit ratings.

### Credit Policy Committee

A Credit Policy Committee addresses matters pertaining to the procedures, methodologies, criteria, models, and other infrastructure necessary to determine, disseminate, and monitor credit ratings.

### Quantitative Model

A quantitative model is a component of a methodology that uses a complex quantitative approach, such as regression, classification, or simulation. KBRA uses models to assist in making critical ratings decisions in several places across the organization. Models may be used for various purposes including, but not limited to, creating loss distributions, forecasting economic scenarios, and estimating default probability.

© Copyright 2023, Kroll Bond Rating Agency, LLC and/or its affiliates and licensors (together, “KBRA”). All rights reserved. All information contained herein is proprietary to KBRA and is protected by copyright and other intellectual property law, and none of such information may be copied or otherwise reproduced, further transmitted, redistributed, repackaged or resold, in whole or in part, by any person, without KBRA’s prior express written consent. Information, including any ratings, is licensed by KBRA under these conditions. Misappropriation or misuse of KBRA information may cause serious damage to KBRA for which money damages may not constitute a sufficient remedy; KBRA shall have the right to obtain an injunction or other equitable relief in addition to any other remedies. The statements contained herein are based solely upon the opinions of KBRA and the data and information available to the authors at the time of publication. All information contained herein is obtained by KBRA from sources believed by it to be accurate and reliable; however, all information, including any ratings, is provided “AS IS”. No warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability, or fitness for any particular purpose of any rating or other opinion or information is given or made by KBRA. Under no circumstances shall KBRA have any liability resulting from the use of any such information, including without limitation, for any indirect, special, consequential, incidental or compensatory damages whatsoever (including without limitation, loss of profits, revenue or goodwill), even if KBRA is advised of the possibility of such damages. The credit ratings, if any, and analysis constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. KBRA receives compensation for its rating activities from issuers, insurers, guarantors and/or underwriters of debt securities for assigning ratings and from subscribers to its website. Please read KBRA’s full disclaimers and terms of use at www.kbra.com.

---

Overview of KBRA's Rating Process

7

March 30, 2023

**Attachment 4:** `ex3-nrsro_ce.pdf`

KBRA

# KROLL BOND RATING AGENCY, LLC

## Form NRSRO Annual Certification

# EXHIBIT 3:
Policies and Procedures
to Prevent the Misuse
of Material Nonpublic
Information

Ex3 Policies and Procedures to Prevent the Misuse of
Nonpublic Information

1

March 30, 2023

## Form NRSRO Exhibit 3

**Exhibit 3.** Provide in this Exhibit a copy of the written policies and procedures established, maintained, and enforced by the Applicant/NRSRO to prevent the misuse of material, nonpublic information pursuant to section 15E(g) of the Exchange Act and 17 CFR 240.17g-4.

The written policies and procedures established, maintained, and enforced by the Applicant/NRSRO to prevent the misuse of material, nonpublic information are as follows:

1. Code of Ethics
2. Confidential Information and Insider Trading Policy
3. Independent Directors and Material Non-Public Information Policy
4. KBRA Code of Conduct
5. Non-Executive Directors and Inside Information for KBRA Europe and KBRA UK Policy
6. Personal Securities Trading Policy
7. Personal Securities Trading Policy for KBRA Europe and KBRA UK
8. Relationship with Corporate Affiliates
9. Relationship with Corporate Affiliates for KBRA Europe and KBRA UK Policy

Ex3 Policies and Procedures to Prevent the Misuse of Nonpublic Information

2

March 30, 2023

KBRA

# Code of Ethics

APPLICABLE TO: ALL KBRA, KBRA ANALYTICS, KBRA EUROPE, and KBRA UK EMPLOYEES

Issued by: KBRA Compliance Department

Effective Date: December 31, 2020

1. Scope

(a) This Code of Ethics (the "Code of Ethics"), applies to all employees of Kroll Bond Rating Agency, LLC, KBRA Analytics and its credit rating affiliates (collectively, "KBRA"). The purpose of the Code of Ethics is to help employees understand how to maintain the high ethical standards expected of them by KBRA in daily business activities. The Code of Ethics sets forth KBRA's core values, articulates the standards of honesty, ethical conduct, and accountability that is expected of KBRA employees, and, as such, is designed to reinforce the importance of acting with integrity-KBRA's foundational principle, and the one on which KBRA's businesses depend for its continued growth and success.

(b) At KBRA, business will be conducted responsibly and will meet the highest standards of ethical corporate behavior. All employees must demonstrate honest and ethical conduct when fulfilling their duties, including the ethical handling of actual or potential conflicts of interest between personal and professional relationships. All employees are expected to comply with all applicable laws, rules and regulations, and abide by the Code of Ethics, the KBRA Code of Conduct, the Anti-Bribery and Anti-Corruption Policy, and other policies and procedures adopted by KBRA.

(c) It is essential that employees read, understand, and affirm their adherence to the Code of Ethics. Although the Code of Ethics provides guidance to help KBRA employees make ethically responsible and appropriate decisions, it does not, and is not, intended to cover every possible law, policy, or situation. Employees are expected to use their best judgment before making decisions. If you are unsure what to do or are unsure about any provision in the Code of Ethics, please consult your supervisor, Human Resources, the KBRA Compliance Department, or the Legal Department.

2. Mission and Core Values

Established in 2010 as a challenger brand, KBRA's original mission was to restore trust in credit ratings. Since then, KBRA has provided the market with timely, transparent ratings and research as well as the tools needed to make informed investment decisions. The market has come to trust and now relies on KBRA, the largest rating agency formed post-crisis. Today, KBRA's mission is to assess risk and educate the financial markets by thinking beyond traditional credit rating protocols and by taking an innovative, more rigorous approach.

Innovation, Collaboration and Integrity are KBRA's core values. They differentiate KBRA and allow KBRA to be forward looking.

3. Ethical Standards

KBRA employees have a personal responsibility to act ethically and comply with the law. KBRA employees must:

(a) Engage in and promote honest and ethical conduct;
(b) Deal fairly with customers, suppliers, competitors, and other KBRA employees;
(c) Comply with applicable laws, rules, and regulations;
(d) Make appropriate use of KBRA's information technology resources;

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(e) Take all reasonable measures to prevent the improper use and unauthorized disclosure of nonpublic information about KBRA or its customers either received or created during KBRA's business activities, unless disclosure is required by applicable law or regulation; and

(f) Read, understand, and comply with all applicable KBRA policies, procedures, programs, and guidelines, all of which are located on the KBRA Intranet at http://net.kbra.local/.

# 4. Prohibited Conduct

The primary responsibility of KBRA employees is to perform their jobs in an efficient and productive manner. KBRA employees are expected to meet KBRA's standards of work performance and personal conduct, including following company rules, adhering to safe working practices, and cooperating with coworkers. KBRA is committed to treating all employees with respect and dignity and believes that KBRA employees deserve a workplace that is safe and free from harassment or other discrimination. In keeping with this commitment, KBRA maintains a strict policy prohibiting all forms of unlawful harassment and discrimination, including sexual harassment. These behaviors will not be tolerated under any circumstances, regardless of whether the behavior was or is intended to be offensive and should be reported in accordance with Section 9 of the Code of Ethics. For additional information, please refer to the KBRA Employee Handbook.

# 5. Avoiding Conflicts of Interest

(a) When employees become aware of an actual or potential conflict of interest, they are responsible for taking appropriate action in accordance with legal and regulatory requirements and KBRA's policies and procedures. KBRA employees are expected to discuss their involvement with any transaction or business relationship that might reasonably give rise to an actual conflict of interest or the appearance of a conflict of interest with their supervisors and the KBRA Compliance Department.

(b) For further guidance on business conduct and practices that may give rise to actual or potential conflicts of interest and the framework by which KBRA identifies and addresses actual or potential conflicts of interest, please consult KBRA's policies and procedures, including, but not limited to, the KBRA Code of Conduct, the Anti-Bribery and Anti-Corruption Policy, Duties of Commercial Personnel and Ratings Personnel to Avoid Conflicts Policy, Conflict of Interest Certification Policy, Conflict of Interest Certification Procedure, Conflict of Interest Certification Policy for the European Union, Conflict of Interest Certification Procedure for the European Union, Fee Discussion Policy, Fee Discussion Procedure, the Gifts and Entertainment Policy, and Prohibited Acts and Practices Policy.

# 6. Confidential Information

(a) Protecting confidential information is critical to KBRA's reputation, its integrity, its relationships with customers, and to facilitate compliance with the law, applicable regulations, including, but not limited to, the KBRA Code of Conduct, the Accessing 17g-5 Websites Policy, the Confidential Information and Insider Trading Policy, the Independent Directors and Material Nonpublic Information Policy, the Independent Directors and Material Nonpublic Information in the European Union Policy, the Personal Securities Trading Policy, the Personal Securities Trading Policy for the European Union, the Relationship with Corporate Affiliates Policy, the Relationship with Corporate Affiliates in the European Union Policy, the Social Media Policy, and the Social Media Policy in the European Union. KBRA requires that its employees must follow its policies and procedures concerning the acceptance, proper use, and handling of confidential information, as well as any written agreements with customers or other third parties related to the use or handling of confidential information, or written agreements between KBRA and its employees that relate to the use and handling of confidential information. KBRA employees are responsible for protecting all confidential information, regardless of its form or format. To the extent that an employee is obligated to keep any information confidential, that confidentiality obligation extends beyond the employee's employment with KBRA is terminated, regardless of the reason for termination.

(b) Any KBRA employee who suspects that confidential information has been leaked-whether accidentally or otherwise-should report such suspicion promptly in accordance with Section 9 of the Code of Ethics.

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7. Self-Dealing and Insider Trading

KBRA employees who are aware of material nonpublic information related to issuers, underwriters, sponsors, other private or governmental issuers of securities or KBRA credit ratings, may not buy, sell, or otherwise benefit from any transaction of those parties, including, but not limited to, any securities or money market instruments, nor may KBRA employees recommend that another person buy, sell, or hold the securities of those parties or accept a business opportunity involving one of those parties. For further guidance on material nonpublic information and the prohibition of trading on inside information, please consult KBRA's Confidential Information and Insider Trading Policy.

8. Gifts, Meals, and Entertainment

KBRA employees shall not be influenced by the receipt of gifts or favors, nor shall they try to improperly influence others by providing gifts or favors. KBRA employees should avoid situations that could give the appearance that KBRA's business decisions are based upon anything other than legitimate business considerations. For guidance on accepting gifts and entertainment, please consult the Gifts and Entertainment Policy.

9. Reporting Violations

KBRA employees who are aware of, or suspect in good faith: (a) illegal conduct; (b) a violation of KBRA's codes, policies, or procedures; or (c) other instances of fraudulent or unethical behavior, have a duty to report the issue or seek further guidance. Violations and potential violations may be reported to the KBRA Compliance Department, Legal Department, the employee's manager, or via KBRA's anonymous hotline at (833) 310-0060. Please identify and escalate potential issues before they lead to problems; and when in doubt, ask questions about the potential application of laws, regulations, the KBRA Code of Ethics, the KBRA Code of Conduct, or any other KBRA policies and procedures.

10. Administration of the Code of Ethics

(a) After receiving a report of a potential violation pursuant to the Code of Ethics, if it is determined that an investigation of the alleged violation is needed, then an investigation will be commenced. Complaints will be kept confidential to the extent possible while still conducting an appropriate investigation.

(b) Not less than annually, all KBRA employees will be required:

(i) to certify that they have reviewed the Code of Ethics, understand it, and agree to be bound by it;

(ii) to certify that they have not violated the Code of Ethics, and, to the best of their knowledge, they are not aware of any suspected violations of the Code of Ethics; and

(iii) to disclose any previously unreported transactions or events that appear to be in violation of the Code of Ethics.

(c) Any questions regarding the Code of Ethics or its interpretation should be directed to the KBRA Compliance Department.

11. Disciplinary Measures

Failure to comply with the Code of Ethics, or any other KBRA codes, policies, and procedures, or applicable laws and regulations, may result in disciplinary action, up to and including termination of employment. In addition, violations of the law could result in civil or criminal penalties imposed by a governmental agency or a court of law.

12. Whistleblower Protections and Nonretaliation

KBRA strives to cultivate open and effective channels of communication. KBRA does not tolerate acts of retaliation against anyone who makes a good faith report of known or suspected ethical or legal misconduct either internally to KBRA or to any governmental agency or entity. If you believe you have experienced retaliation, you should report it immediately. For more information, please refer to the Whistleblower Policy and

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Procedure or the Whistleblower Policy and Procedure for the European Union, as applicable. The Office of the Whistleblower of the U.S. Securities and Exchange Commission (“SEC”) may be reached via www.sec.gov/whistleblower and/or (202) 551-4790. Nothing herein prohibits or restricts the rights of KBRA employees as set forth in the Whistleblower Policy and Procedure, or the Whistleblower Policy and Procedure for the European Union, as applicable. All the provisions contained in the Code of Ethics should be construed in a manner consistent with the Whistleblower Policy and Procedure or the Whistleblower Policy and Procedure for the European Union, as applicable, and should not be construed to prohibit employees from initiating communications directly with, or responding to an inquiry from, or providing information to any state or federal regulatory authority, including the Securities and Exchange Commission and the Financial Industry Regulatory Authority (“FINRA”). KBRA employees are not required to seek authorization or notify KBRA that they have made such reports or disclosures.

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KBRA

# Confidential Information and Insider Trading Policy

**APPLICABLE TO:** All KBRA Entities1

**Issued by:** KBRA Compliance Department

**Effective Date2:** February 03, 2023

POLICY

1. Standards

a. As required by applicable laws and regulations KBRA ALL shall implement procedures, policies and controls to limit the disclosure of confidential information. Any employee of KBRA ALL who comes into possession of material, non-public information, regardless of the source and whether or not the information pertains to any entity rated by KBRA is prohibited from discussing, disseminating or acting upon that information in any way except during the course of employee's legitimate business duties or where required by law. No KBRA ALL employees may trade in their own accounts or trade in the account of a third party in any security while in possession of material non-public information regarding that security. If an employee believes that he or she has received material non-public information or if there is any doubt about whether he or she is in possession of material non-public information, the employee should immediately contact any member of Legal or Compliance. All employees are barred from trading on material, non-public (i.e. "inside") information. In addition, employees are prohibited from tipping others by providing them with inside information. KBRA ALL shall take all reasonable measures to protect the confidential nature of information shared with its employees by rated entities under the terms of a confidentiality agreement or otherwise under a mutual understanding that the information is shared confidentially.

2. Types of Confidential Information

a. Information that is "confidential" is information that has been created or received by KBRA ALL in the course of its business activities, and not generally publicly known or available. Confidential Information can generally be described as "private information" or "material non-public information."

i. Private information: Information provided to an employee of KBRA ALL by a client, subscriber, or issuer that is not publicly available and which the client, subscriber, or issuer has not authorized KBRA ALL to make publicly available. This could include, but is not limited to, an investment strategy, portfolio holdings, proprietary information, financial projections, and market share information. In addition, information relating to KBRA's business, such as proposed rating actions, non-public models and/or methodologies, or discussions of rating committee(s), must also be kept confidential. For example, a rating report that has not yet been published on KBRA's website must be maintained as confidential until it is publicly disseminated.

ii. Material, Non-public Information/Inside Information: Material, non-public information is any information provided to an employee of KBRA ALL that: (1) would likely influence the average investor when deciding whether or not to invest in a given security; and (2) has not yet been disseminated in a manner that makes it generally available to investors, and/or the market has not yet had an opportunity to absorb such information including but not limited to credit ratings, possible future credit ratings, rating outlooks and information related thereto.

b. Information is not confidential if it was publicly known at the time it was received, and information ceases to be confidential if it becomes known to the public other than by an act of KBRA ALL.

1 KBRA ALL, includes KBRA Holdings, LLC, KBRA Analytics, LLC (KBRA Analytics), Kroll Bond Rating Agency International Limited and all KBRA rating entities, collectively KBRA, which includes Kroll Bond Rating Agency, LLC (KBRA US), Kroll Bond Rating Agency Europe Limited (KBRA Europe), and Kroll Bond Rating Agency UK Limited (KBRA UK)

2 This version replaces the prior version, which became effective on December 31, 2020.

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### 3. Reporting of Violations

Nothing herein prohibits or restricts the rights of KBRA ALL employees as set forth in the Whistleblower Policies and Procedures in the employee's relevant jurisdictions. All of the provisions contained in this Confidential Information and Insider Trading Policy should be construed in a manner consistent with those Policies and Procedures and should not be construed to prohibit employees from initiating communications directly with, or responding to an inquiry from, or providing information to any state or federal regulatory authority, including the Securities and Exchange Commission

(SEC) and the Financial Industry Regulatory Authority (FINRA). KBRA employees are not required to seek authorization or notify KBRA that they have made such reports or disclosures.

### 4. Maintaining Compliance

1. a. KBRA ALL shall take all reasonable measures to protect property and records in its possession from fraud, theft, misuse, taking into account the nature, scale and complexity of our business, including the maintenance of insider lists as may be required by applicable laws and regulations.
2. b. KBRA ALL employees are prohibited from capturing any confidential information on any personal device in any form. This includes, but is not limited to, as images, audio recordings and video recordings.
3. c. KBRA Europe and KBRA UK shall create and maintain a list of all KBRA Europe and KBRA UK employees and other natural persons (including employees of affiliates of KBRA Europe and KBRA UK) to whom credit ratings, rating outlooks and information related thereto are communicated before being publicly disclosed for each credit rating action that is due for publication.
4. d. To promote and maintain compliance with the foregoing policies and procedures, KBRA ALL will maintain a copy of this policy online and train on this policy annually. KBRA ALL employees who suspect that confidential material has been leaked, whether accidentally or otherwise, should report such suspicion to Compliance. No negative consequences will accrue against any KBRA ALL employees reporting his or her suspicions about a leak of confidential material pursuant to this policy.
5. e. KBRA ALL will ensure that its employees do not use or share confidential information for the purpose of buying or selling or engaging in any transaction in any security, derivative or exchange contract based on a security issued, guaranteed, or otherwise supported by any person or company, or for any other purpose except the conduct of the designated rating organization's business.
6. f. If employees have any questions or concerns regarding the proper handling of confidential material, they are encouraged to see their supervisor or a member of Compliance.

Any questions regarding the interpretation of this policy should be directed to Compliance.

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KBRA

## **Independent Directors and Material Nonpublic Information Policy**

APPLICABLE TO: All KBRA U.S. Employees and the Independent Members of the KBRA Board of Directors

Issued by: KBRA Compliance Department

Effective Date: November 13, 2017

**Policy:**

**1. Prohibition on Insider Trading by Independent Directors**

(a) So that independent directors are subject to the same policy goals that underlie KBRA's personal trading requirements for employees, an independent director may not:

(i) purchase, sell, or otherwise benefit from any transaction in securities or money market instruments when he or she is aware of material nonpublic information obtained in connection with the performance of credit rating services that affects the securities or money market instruments.

**2. Prohibition on Dissemination of Material Nonpublic Information Outside KBRA**

(a) So that independent directors are subject to the same policy goals that underlie KBRA's personal trading requirements for employees, an independent director may not:

(i) disseminate within or outside KBRA any material nonpublic information (including a pending credit rating action) obtained in connection with the performance of his or her duties as a director.

(b) If an independent director inadvertently receives material nonpublic information used in KBRA's performance of credit rating services, the independent director must contact the KBRA Compliance Department to review the circumstances and identify any remedial actions that may be required.

**3. Requirement for Limited Conflict Checks in Certain Circumstances**

(a) So that independent directors are subject to the same policy goals that underlie KBRA's prohibition on analysts participating in credit rating matters, when the independent directors are involved in the approval of procedures or methodologies used for the determination of credit ratings, including qualitative and quantitative models, they must confirm prior to their participation that:

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(i) they have not also participated in the sales or marketing to a rated entity, issuer, sponsor, or underwriter of a security rated by KBRA or engaged to be rated by KBRA, of a KBRA product or service or a product or service offered by a KBRA affiliate; and

(ii) they have not been influenced by sales or marketing considerations with respect to the subject matter of the proceedings.

(b) Documentation that the conflict check described in Section 3(a) has been performed will be retained by the KBRA Compliance Department.

#### **4. Notification**

(a) The KBRA Compliance Department will cause a copy of this policy or a summary to be appended to an appropriate form of questionnaire provided to independent directors (which may be an annual questionnaire) and will ask each independent director to acknowledge his or her understanding of, and agreement to abide by, this policy.

(b) Promptly after receipt of any such annual director questionnaire, but not less than ten business days thereafter, the Chief Compliance Officer or his designee will review the questionnaires and, where necessary, communicate with the responding independent director to address any concerns raised in the responses to the questionnaires. The KBRA Compliance Department shall document the results of such discussions and shall be responsible for the retention of records related to those discussions.

#### **5. Reporting of Violations**

(a) Nothing herein prohibits or restricts the rights of KBRA employees or independent members of the KBRA board of directors as set forth in the KBRA Whistleblower Policy and Procedure. All of the provisions contained in this Independent and Material Nonpublic Information Policy should be construed in a manner consistent with that Policy and Procedure and should not be construed to prohibit employees from initiating communications directly with, or responding to an inquiry from, or providing information to any state or federal regulatory authority, including the Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority (FINRA). KBRA employees and independent members of the KBRA board of directors are not required to seek authorization or notify KBRA that they have made such reports or disclosures.

Questions regarding the interpretation of this policy should be directed to the KBRA Compliance Department.

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# Kroll Bond Rating Agency Code of Conduct

Issued By: KBRA Compliance Department

Effective Date: December 31, 2020

Applicable to: All KBRA, KBRA Europe, and KBRA UK Employees

Kroll Bond Rating Agency ("KBRA") has adopted this Code of Conduct ("Code") to address the principles set forth by the International Organization of Securities Commissions ("IOSCO"). The format of this Code of Conduct is consistent with the revised "Code of Conduct Fundamentals for Credit Rating Agencies" published by IOSCO in March 2015 (the "IOSCO Code").

1. QUALITY AND INTEGRITY OF THE CREDIT RATING PROCESS

A. Quality of the Credit Rating Process

1.1 KBRA shall establish, maintain, document, and enforce a credit rating methodology for each class of entity or obligation for which KBRA issues credit ratings. Each credit rating methodology shall be rigorous, capable of being applied consistently, and, where possible, result in credit ratings that can be subjected to validation based on some form of historical experience.

1.2 Credit ratings shall reflect all information known to, and believed to be relevant to, KBRA, consistent with the applicable credit rating methodology that is in effect.

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1.3 KBRA shall adopt reasonable measures designed so that that it has the appropriate knowledge and expertise, and that the information it uses in determining credit ratings is of sufficient quality and obtained from reliable sources to support a high quality credit rating.

1.4 KBRA avoids issuing credit ratings for entities or obligations for which it does not have appropriate information, knowledge, and expertise. For example, where the complexity of a security or the structure of a type of security, or the lack of robust data about the assets underlying the security raise serious questions as to whether KBRA can determine a high quality credit rating for the security, KBRA shall refrain from issuing a credit rating.

1.5 In assessing creditworthiness, KBRA analysts involved in the credit rating action use the credit rating methodology established by KBRA for the type of entity or obligation that is subject to the credit rating action. The credit rating methodology shall be applied in a manner that is consistent across all entities or obligations for which that methodology is used.

1.6 KBRA defines the meaning of each category in its rating scales and applies those categories consistently across all classes of rated entities and obligations to which a given rating scale applies.

1.7 Credit ratings are assigned by KBRA as an entity (not by an analyst or other employee of KBRA).

1.8 KBRA assigns analysts who, individually or collectively (particularly where credit rating committees are used), have appropriate knowledge and experience for assessing the creditworthiness of the type of entity or obligation being rated.

1.9 KBRA shall maintain internal records to support its credit rating opinions in accordance with applicable laws and regulations in the jurisdictions in which it conducts business, as well as its own policies and procedures.

1.10 KBRA shall establish, maintain, document, and enforce policies, procedures, and controls designed to avoid knowingly issuing credit ratings, analyses, or reports that contain misrepresentations or are otherwise misleading as to the general creditworthiness of a rated entity or obligation.

1.11 KBRA shall devote sufficient resources to carry out and maintain high quality credit ratings. When deciding whether to issue a credit rating for an entity or obligation, KBRA shall assess whether it is able to devote a sufficient number of analysts with the skills to determine high quality credit ratings, and whether the analysts will have access to sufficient information in order to determine a high quality credit rating.

1.12 KBRA shall establish and maintain a review function made up of one or more senior managers with appropriate experience to review the feasibility of providing a credit rating for a type of entity or obligation that is materially different from the entities or obligations KBRA currently rates.

1.13 KBRA shall establish and maintain a review function made up of one or more senior managers responsible for conducting a rigorous, formal, and periodic review, on a regular basis pursuant to an established timeframe, of all aspects of KBRA's credit rating methodologies (including models and key assumptions) and significant

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changes to the credit rating methodologies. For example, KBRA shall assess whether existing credit rating methodologies and models for determining credit ratings of structured finance products are appropriate when the risk characteristics of the assets underlying a structured finance product change materially. Where feasible and appropriate for the size and scope of its credit rating business, this function shall be independent of the employees who are principally responsible for determining credit ratings.

1.14 KBRA, in selecting the analyst or analysts who will participate in determining a credit rating, shall seek to promote continuity but also to avoid bias in the credit rating process.

1.15 KBRA shall allocate sufficient employees and financial resources to monitoring and updating all its credit ratings. Except for a credit rating that clearly indicates it does not entail ongoing surveillance, once a credit rating is published, KBRA shall monitor the credit rating on an ongoing basis by:

(a) reviewing the creditworthiness of the rated entity or obligation regularly in accordance with KBRA's relevant policies, procedures, and methodologies and applicable laws and regulations;

(b) initiating a review of the status of the credit rating upon becoming aware of any information that might reasonably be expected to result in a credit rating action (including withdrawal of a credit rating), consistent with the applicable credit rating methodology;

(c) reviewing the impact of and applying a change in the credit rating methodologies, models or key rating assumptions on the relevant credit ratings within a reasonable period of time; and

(d) updating on a timely basis the credit rating, as appropriate, based on the results of such review.

1.16 If KBRA uses separate analytical teams for determining initial credit ratings and for subsequent monitoring of existing credit ratings, each team shall have the requisite level of expertise and resources to perform their respective functions in a timely manner. KBRA reserves the right to evaluate internal processes and market trends to maintain operational flexibility to allocate resources needed to monitor existing credit ratings and conduct reviews on a timely basis.

1.17 KBRA shall establish, maintain, document, and enforce policies and procedures that clearly set forth guidelines for disseminating credit ratings that are the result or subject of credit rating actions and the related reports, and for when a credit rating is withdrawn.

#### B. Integrity of the Credit Rating Process

1.18 KBRA and its employees shall deal fairly and honestly with rated entities, obligors, originators, underwriters, arrangers, and users of credit ratings.

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1.19 KBRA holds its employees to the highest standards of integrity and ethical behavior. Subject to applicable local legal and regulatory requirements, KBRA will not knowingly employ individuals with demonstrably compromised integrity.

1.20 KBRA and its employees shall not, either implicitly or explicitly, give any assurance or guarantee to an entity subject to a rating action, obligor, originator, underwriter, arranger, or user of KBRA's credit ratings about the outcome of a particular credit rating action. This does not preclude KBRA from developing preliminary indications in connection with its analysis in a manner consistent with Provisions 1.22 and 2.6(d) of the Code of Conduct.

1.21 KBRA and its employees shall not make promises or threats about potential credit rating actions to influence rated entities, obligors, originators, underwriters, arrangers, or users of KBRA's credit ratings (e.g., subscribers) to pay for credit ratings or other services.

1.22 KBRA and its employees shall not make proposals or recommendations regarding the activities of rated entities or obligors that could affect a credit rating of the rated entity or obligation, including, but not limited to, proposals or recommendations about corporate or legal structure, assets and liabilities, business operations, investment plans, lines of financing, business combinations, and the design of structured finance products. Consistent with this prohibition, KBRA's analysts may hold a series of iterative discussions and other interactions with rated entities or obligors or their agents to (i) understand and incorporate into their analyses the particular facts and features, and any modification thereof, as proposed by the rated entity or issuer or obligor or their agents; and (ii) explain to the rated entity or issuer or obligor or their agents the rating implications of KBRA's ratings methodologies as applied to the relevant proposed facts and features.

1.23 In each jurisdiction in which KBRA operates, KBRA shall establish, maintain, document, and enforce policies, procedures, and controls designed so that KBRA and its employees comply with KBRA's code of conduct and applicable laws and regulations.

(a) KBRA has established a compliance function responsible for monitoring and reviewing the compliance of KBRA and its employees with the provisions of KBRA's code of conduct and with applicable laws and regulations.

(b) The compliance function also shall be responsible for reviewing the adequacy of KBRA's policies, procedures, and controls concerning compliance with KBRA's code of conduct and applicable laws and regulations.

(c) KBRA has appointed a Chief Compliance Officer/Designated Compliance Officer to oversee and maintain KBRA's global compliance function. The Chief Compliance Officer/Designated Compliance Officer's reporting lines and compensation are independent of KBRA's credit rating operations and compensation will not be directly linked to KBRA's performance.

1.24 KBRA employees are expected to report promptly any conduct they reasonably believe to be illegal, unethical, or contrary to this Code of Conduct to the Compliance Department or another officer of KBRA, as appropriate, so proper action may be taken. KBRA's employees are not necessarily expected to be experts in the law. Nonetheless, KBRA employees are expected to report activities that a reasonable person would question. Upon receiving such a report from an employee, KBRA is obligated to take appropriate action, as determined by the laws and regulations of the jurisdiction and the policies, procedures, and controls established, maintained, documented, and enforced by KBRA.

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KBRA prohibits retaliation by KBRA or an employee against any employees who, in good faith, reports a violation of the law, regulation, or this Code of Conduct.

## 2. INDEPENDENCE AND AVOIDANCE OF CONFLICTS OF INTEREST

### A. General

2.1 KBRA shall not delay or refrain from taking a credit rating action based on the potential effect (economic, political, or otherwise) of the action on KBRA, a rated entity, obligor, originator, underwriter, arranger, investor, or other market participant.

2.2 KBRA and its employees shall use care and professional judgment to maintain both the substance and appearance of KBRA's and its employees' independence and objectivity.

2.3 KBRA's determination of a credit rating shall be influenced only by factors relevant to the credit assessment.

2.4 The credit rating KBRA assigns to an entity or obligation shall not be affected by the existence (or non-existence) of, or potential for, a business relationship between KBRA (or its affiliates) and the rated entity, obligor, originator, underwriter, or arranger (or any of their affiliates), or any other party.

2.5 KBRA shall operationally, legally, and, if practicable, physically separate its credit rating business and its analysts from any other businesses that may present a conflict of interest. For other businesses that do not necessarily present a conflict of interest, KBRA shall establish, maintain, document, and enforce policies, procedures, and controls designed to minimize the likelihood that conflicts of interest will arise. To the extent any exist, KBRA will disclose on its website any such other business on KBRA's external website.

### B. CRA Policies, Procedures, Controls and Disclosures

2.6 KBRA shall establish, maintain, document, and enforce written policies, procedures, and controls to (i) identify, and (ii) eliminate, or manage and disclose, as appropriate, any actual or potential conflicts of interest that may influence the credit rating methodologies, credit rating actions, or analyses of KBRA or the judgment and analyses of KBRA's employees. Among other things, the policies, procedures, and controls shall address (as applicable to KBRA's business model) how the following conflicts can potentially influence KBRA's credit rating methodologies or credit rating actions:

(a) being paid to issue a credit rating by the rated entity or by the obligor, originator, underwriter, or arranger of the rated obligation;

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(b) being paid by subscribers with a financial interest that could be affected by a credit rating action of KBRA;

(c) being paid by rated entities, obligors, originators, underwriters, arrangers, or subscribers for services other than issuing credit ratings or providing access to KBRA's credit ratings;

(d) providing a preliminary indication or similar indication of credit quality to an entity, obligor, originator, underwriter, or arranger prior to being hired to determine the final credit rating for the entity, obligor, originator, underwriter, or arranger; and

(e) having a direct or indirect ownership interest in a rated entity or obligor, or having a rated entity or obligor have a direct or indirect ownership interest in KBRA.

2.7 KBRA shall disclose actual and potential conflicts of interest (including, but not limited to, those conflicts of interest identified in Provision 2.6 above) in a complete, timely, clear, concise, specific, and prominent manner. When the actual or potential conflict of interest is unique or specific to a credit rating action with respect to a particular rated entity, obligor, originator, lead underwriter, arranger, or obligation, such conflict of interest shall be disclosed in the same form and through the same means as the relevant credit rating action.

2.8 KBRA shall disclose the general nature of its compensation arrangements with rated entities, obligors, and lead underwriters.

(a) KBRA does not provide consulting services. If KBRA were to receive from a rated entity, obligor, originator, lead underwriter, or arranger compensation unrelated to its credit rating services, KBRA would disclose such unrelated compensation as a percentage of total annual compensation received from such rated entity, obligor, lead underwriter, or arranger.

(b) KBRA shall disclose when it receives 10 percent or more of its annual revenue from a single client (e.g., a rated entity, obligor, originator, lead underwriter, arranger, or subscriber, or any of their affiliates). KBRA complies with specific jurisdictional revenue concentration requirements or limits.

2.9 KBRA supports requirements that structured finance issuers and originators of structured finance products make available all relevant information regarding these products so that investors and other credit rating agencies can conduct their own analyses independently from the credit rating agencies engaged by the issuers and/or originators to provide a credit rating.

2.10 KBRA shall not hold or transact in trading instruments presenting a conflict of interest with KBRA's credit rating activities.

2.11 In instances where rated entities or obligors (e.g., sovereign nations or states) have, or are simultaneously pursuing, oversight functions related to KBRA, the employees responsible for interacting with the officials of the rated entity or the obligor (e.g., government regulators) regarding supervisory matters shall be separate from

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the employees that participate in taking credit rating actions or developing or modifying credit rating methodologies that apply to such rated entity or obligor.

# C. CRA Employee Independence

2.12 Reporting lines for KBRA employees and their compensation arrangements shall be structured to eliminate or effectively manage actual and potential conflicts of interest.

(a) KBRA employees who participate in or who might otherwise have an effect on a credit rating action with respect to an entity or obligation shall not be compensated or evaluated on the basis of the amount of revenue that KBRA derives from that entity or obligor.

(b) KBRA shall conduct formal and periodic reviews of its compensation policies, procedures, and practices for its employees who participate in or who might otherwise have an effect on a credit rating action to confirm whether these policies, procedures, and practices have not compromised and do not compromise the objectivity of KBRA's credit rating process.

2.13 KBRA employees who participate in or who might otherwise have an effect on a credit rating action shall not initiate or participate in discussions with rated entities, obligors, arrangers, or subscribers regarding fees or payments charged to such rated entity, obligor, arranger, or subscriber.

2.14 As detailed in various KBRA policies and procedures, KBRA employees are prohibited from participating in or otherwise influencing KBRA's credit rating action with respect to an entity or obligation if the employee, an immediate family member of the employee (e.g., spouse, domestic partner, or dependent), or an entity managed by the employee (e.g., a trust):

(a) Holds or transacts in a trading instrument issued by the rated entity or obligor;

(b) Holds or transacts in a trading instrument (other than a diversified collective investment scheme) that itself owns an interest in the rated entity or obligor, or is a derivative based on a trading instrument issued by the rated entity or obligor;

(c) Holds or transacts in a trading instrument issued by an affiliate of the rated entity or obligor, the ownership of which may cause or may be perceived as causing a conflict of interest with respect to the employee or KBRA;

(d) Holds or transacts in a trading instrument issued by a lead underwriter or arranger of the rated obligation, the ownership of which may cause or may be perceived as causing a conflict of interest with respect to the employee or KBRA;

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(e) Is currently employed by, or had a recent employment or other significant business relationship with the rated entity or obligor or a lead underwriter or arranger of the rated obligation that may cause or may be perceived as causing a conflict of interest;

(f) Is a director of the rated entity or obligor, or lead underwriter or arranger of the rated obligation; or

(g) Has, or had, another relationship with or interest in the rated entity, obligor, or the lead underwriter or arranger of the rated obligation (or any of their affiliates) that may cause or may be perceived as causing a conflict of interest.

2.15 KBRA analysts and their Family Members shall not hold or transact in a trading instrument issued by a rated entity or obligor in the analyst's area of primary analytical responsibility. This would not preclude an analyst from holding or trading a diversified collective investment scheme that owns a trading instrument issued by a rated entity or obligor in the analyst's area of primary analytical responsibility. For purposes of this provision, 'Family Members' means: (i) the spouse, domestic partner or cohabitant of an KBRA analyst; (ii) a minor or unmarried dependent child of a KBRA analyst, including an adopted child, stepchild, or foster child; and (iii) a parent, in-law or any other relative with whom the KBRA analyst resides.

2.16 KBRA analysts shall be prohibited from soliciting money, gifts, or favors from any entity rated by KBRA other than incidentals of nominal value provided as part of a normal business interaction. All KBRA employees shall be prohibited from accepting gifts offered in the form of cash or cash equivalents or that may create potential, perceived or actual conflicts of interest that KBRA deems to be unacceptable pursuant to its policies concerning gifts and entertainment.

2.17 A KBRA employee who becomes involved in a personal relationship (including, for example, a personal relationship with an employee of a rated entity, obligor, or originator, or the lead underwriter or arranger of a rated obligation) that creates an actual or potential conflict of interest shall be required under KBRA's policies, procedures, and controls to disclose the relationship to the Chief Compliance Officer or another officer of KBRA, as appropriate.

2.18 KBRA shall establish, maintain, document, and enforce policies, procedures, and controls for (i) reviewing the past work of an analyst who leaves the employ of KBRA and joins an entity that the employee participated in rating, an obligor whose obligation the employee participated in rating, an originator, underwriter, or arranger with which the employee had significant dealings as part of his or her duties at KBRA, and (ii) taking such actions as are required by applicable legal and regulatory requirements.

### 3. CRA RESPONSIBILITIES TO THE INVESTING PUBLIC, RATED ENTITIES, OBLIGORS, ORIGINATORS, UNDERWRITERS, AND ARRANGERS

#### A. Transparency and Timeliness of Credit Ratings Disclosure

3.1 KBRA provides information on www.kbra.com to assist investors in developing a greater understanding of what a rating is. KBRA does not state or imply that its regulatory authorities endorse its credit ratings or use its registration status to advertise the quality of KBRA's credit ratings.

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3.2 KBRA publicly discloses sufficient information about its credit rating process and its credit rating methodologies, so that investors and other users of credit ratings can understand how a credit rating was determined by KBRA.

3.3 KBRA shall publicly disclose a material modification to a credit rating methodology prior to the modification taking effect unless doing so would negatively affect the integrity of a credit rating by unduly delaying the taking of a credit rating action. In either case, KBRA shall disclose the material modification in a non-selective manner.

3.4 KBRA shall disclose its policies and procedures that address the issuance of unsolicited credit ratings.

3.5 KBRA shall disclose its policies and procedures for distributing credit ratings and reports, and for when a credit rating will be withdrawn.

3.6 KBRA shall disclose clear definitions of the meaning of each category in its rating scales, including the definition of default.

3.7 KBRA shall differentiate credit ratings of structured finance products from credit ratings of other types of entities or obligations by using the indicator (sf). The (sf) indicator does not change the meaning or definition of the credit rating in any other way and does not change the risk of the specific structured finance product.

3.8 KBRA shall be transparent with investors, rated entities, obligors, originators, underwriters, and arrangers about how the relevant entity or obligation is rated.

3.9 Where feasible and appropriate, KBRA shall inform the rated entity, or the obligor or arranger of the rated obligation about the critical information and principal considerations upon which a credit rating will be based prior to disseminating a credit rating that is the result or subject of the credit rating action and afford such rated entity, obligor, or arranger an adequate opportunity to clarify any factual errors, factual omissions, or factual misperceptions it considers relevant to produce a well-informed credit rating. KBRA shall duly evaluate any response from such rated entity, obligor, or arranger. Where in particular circumstances KBRA has not informed such rated entity, obligor, or arranger prior to disseminating a credit rating action, KBRA shall inform such rated entity, obligor, or arranger as soon as practical thereafter and, generally, shall explain why KBRA did not inform such rated entity, obligor, or arranger prior to disseminating the credit rating action.

3.10 When KBRA publicly discloses or distributes to its subscribers (depending on KBRA’s business model) a credit rating that is the result or subject of the credit rating action, it shall do so as soon as practicable after taking such action.

3.11 When KBRA publicly discloses or distributes to its subscribers (depending on KBRA’s business model) a credit rating that is the result or subject of a credit rating action, it shall do so on a nonselective basis; for its published ratings, KBRA shall make such disclosures available free of charge.

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3.12 KBRA shall disclose with a credit rating that is the result or subject of a credit rating action whether the rated entity, obligor, or originator, or the underwriter or arranger of the rated obligation participated in the credit rating process. Each credit rating not initiated at the request of the rated entity, obligor, or originator, or the underwriter or arranger of the rated obligation shall be identified as such in accordance with KBRA's policies and procedures. KBRA also will disclose its policies regarding unsolicited ratings.

3.13 KBRA shall clearly indicate the attributes and limitations of each credit rating, and the extent to which KBRA verifies information provided to it by the rated entity, obligor, or originator, or the underwriter or arranger of the rated obligation. For example, if the credit rating involves a type of entity or obligation for which there is limited historical data, KBRA shall disclose this fact and how it may limit the credit rating.

3.14 For its published credit ratings, KBRA shall indicate when the credit rating was last updated or reviewed. The credit rating announcement shall also indicate the principal credit rating methodology or methodology version that was used in determining the credit rating and where a description of that credit rating methodology can be found. Where the credit rating is based on more than one credit rating methodology, or where a review of only the principal credit rating methodology might cause investors and other users of credit ratings to overlook important aspects of the credit rating, KBRA shall explain this fact in the credit rating announcement, and indicate where to find a discussion of how the different credit rating methodologies and other important aspects factored into the credit rating decision.

3.15 When issuing a published rating on a structured finance product, KBRA shall publicly disclose or distribute to its subscribers (depending on KBRA's business model) sufficient information about its loss and cash-flow analysis with the credit rating, so that investors in the product, other users of credit ratings, and/or subscribers can understand the basis for KBRA's credit rating). KBRA shall also publicly disclose or distribute information about the degree to which it analyzes how sensitive a credit rating of a structured finance product is to changes in the assumptions underlying the applicable credit rating methodology.

3.16 When issuing or revising a published credit rating, KBRA shall explain in its announcement and/or report the key assumptions and data underlying the credit rating, including financial statement adjustments that deviate materially from those contained in the published financial statements of the relevant rated entity or obligor.

3.17 If KBRA discontinues monitoring a published credit rating for a rated entity or obligation it shall either withdraw the credit rating or disclose such discontinuation to the public or to its subscribers (depending on KBRA's business model) as soon as practicable. A publication by KBRA of a credit rating that is no longer being monitored shall indicate the date the credit rating was last updated or reviewed, the reason the credit rating is no longer monitored, and the fact that the credit rating is no longer being updated.

3.18 KBRA shall disclose sufficient information about the historical transition and default rates of its credit rating categories with respect to the classes of entities and obligations it rates. This information shall include verifiable, quantifiable historical information, organized over a period of time, and, where possible, standardized in such a way to assist investors and other users of credit ratings in comparing different CRAs. If the nature of the rated entity or obligation or other circumstances make such historical transition or default rates inappropriate, statistically invalid, or otherwise likely to mislead investors or other users of credit ratings, KBRA shall explain why.

## B. The Treatment of Confidential Information

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3.19 KBRA shall establish, maintain, document, and enforce policies, procedures, and controls to protect confidential and/or material non-public information, including confidential information received from a rated entity, obligor, or originator, or the underwriter or arranger of a rated obligation, and non-public information about a credit rating action (e.g., information about a credit rating action before the credit rating is publicly disclosed or disseminated to subscribers).

(a) The policies, procedures, and controls shall prohibit KBRA and its employees from using or disclosing confidential and/or material non-public information for any purpose unrelated to KBRA's credit rating activities, including disclosing such information to other employees where the disclosure is not necessary in connection with KBRA's credit rating activities, unless disclosure is required by applicable law, regulation or routine examination.

(b) The policies, procedures, and controls shall require KBRA and its employees to take reasonable steps to protect confidential and/or material non-public information from fraud, theft, misuse, or inadvertent disclosure.

(c) With respect to confidential information received from a rated entity, obligor, originator, underwriter, or arranger, the policies, procedures, and controls shall prohibit KBRA and its employees from using or disclosing such information in violation of the terms of any applicable agreement or mutual understanding that KBRA will keep the information confidential, unless disclosure is required by applicable law or regulation.

(d) With respect to a pending credit rating action, the policies, procedures, and controls shall prohibit KBRA and its employees from selectively disclosing information about the pending credit rating action, except to the rated entity, obligor, arranger, or their designated agents, or as required by applicable law or regulation.

Notwithstanding the foregoing, KBRA shall not be restricted from publishing any credit rating or opinion regarding a particular issue or issue that incorporates confidential information without specifically disclosing such information or from using third party contractors or agents bound by appropriate confidentiality obligations to assist in any aspect of the credit rating process or related business activities, including due diligence.

3.20 KBRA shall establish, maintain, document, and enforce policies, procedures, and controls designed to prevent violations of applicable laws and regulations governing the treatment and use of confidential and/or material non-public information.

3.21 KBRA shall establish, maintain, document, and enforce policies, procedures, and controls that prohibit employees that possess confidential and/or material non-public information concerning a trading instrument from engaging in a transaction in the trading instrument or using the information to advise or otherwise advantage another person in transacting in the trading instrument.

#### 4. GOVERNANCE, RISK MANAGEMENT, AND EMPLOYEE TRAINING

4.1 (a) KBRA's President and its Chief Compliance Officer shall be responsible for overseeing KBRA's establishment, maintenance, documentation, and enforcement of a code of conduct that gives full effect to the IOSCO Code of Conduct Fundamentals for Credit Rating Agencies. KBRA's President and Chief Compliance Officer report to the KBRA Board of Directors and such other similar bodies to the extent required by local law in the jurisdictions in which KBRA operates.

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(b) KBRA does not issue a credit rating unless a majority of the members of the KBRA Board of directors, including its independent directors, have what a reasonable person would consider to be sufficient expertise in financial services to fully understand and properly oversee the business activities of KBRA.

(c) In addition, at least one independent member and one other member of the KBRA Board of Directors possesses what a reasonable person considers to be, in-depth knowledge and experience regarding the Structured Finance product.

(d) KBRA will not issue a credit rating if a member of KBRA's Board of Directors participated in any deliberation involving a specific rating in which the member has a financial interest in the outcome of the rating or rating outlook.

(e) KBRA only compensates its independent directors in a manner that preserves their independence. The independent members of KBRA's Board of Directors are compensated in a manner such that a reasonable person could conclude that the compensation is not linked to KBRA's business performance.

(f) The KBRA Board of Directors is responsible for the monitoring of all of the following activities:

(i) the development of the credit rating policy and of the methodologies used by the designated rating organization in its credit rating activities;

(ii) the effectiveness of any internal quality control system of the designated rating organization in relation to credit rating activities;

(iii) the effectiveness of measures and procedures instituted to ensure that any conflicts of interest are identified and either eliminated or managed and disclosed, as appropriate;

(iv) the compliance and governance processes, including the performance of any organizational body responsible for the annual review of models, methodologies and key ratings assumptions and their appropriateness;

4.2 KBRA has established a risk management committee that is responsible for identifying, assessing, monitoring, and reporting the risks arising from its activities, including, but not limited to legal risk, reputational risk, and operational risk. Such body makes periodic reports to the Board of Directors (or similar body) and senior management to assist them in assessing the adequacy of the policies, procedures, and controls KBRA establishes, maintains, documents, and enforces to manage risk, including the policies, procedures, and controls specified in the IOSCO Code.

4.3 KBRA will establish, maintain, document, and enforce policies, procedures, and controls requiring employees to undergo formal ongoing training at reasonably regular time intervals. The subject matter covered by the training shall be relevant to the employee's responsibilities and shall cover, as applicable, KBRA's Code of Conduct, KBRA's credit rating methodologies, the laws, rules and regulations governing KBRA's credit rating activities, KBRA's policies, procedures, and controls for managing conflicts of interest and governing the holding and transacting in trading instruments, and KBRA's policies and procedures for handling confidential and/or material non-public information. The policies, procedures, and controls shall include measures designed to verify that employees undergo required training.

4.4 KBRA will design reasonable administrative and accounting procedures, internal control mechanisms, procedures for risk assessment, and control and safeguard arrangements for information processing systems. KBRA will implement and maintain decision-making procedures and organizational structures that clearly, and in a documented manner, specify reporting lines and allocate functions and responsibilities.

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4.5 KBRA will monitor and evaluate the adequacy and effectiveness of its administrative and accounting procedures, internal control mechanisms, procedures for risk assessment, and control and safeguard arrangements for information processing systems, established in accordance with securities legislation and this Code of Conduct, and take any measures necessary to address any deficiencies.

## 5. DISCLOSURE AND COMMUNICATION WITH MARKET PARTICIPANTS

5.1 To the best of KBRA's knowledge, KBRA's disclosures, including those specified in the provisions in this Code of Conduct, are and shall be complete, fair, accurate, timely, and understandable to investors and other users of credit ratings.

5.2 This Code of Conduct has been drafted in accordance with the IOSCO CRA Code. KBRA shall disclose with its code of conduct a description of how the provisions of its code of conduct fully implement the provisions of the IOSCO Statement of Principles Regarding the Activities of Credit Rating Agencies and the IOSCO Code of Conduct Fundamentals for Credit Rating Agencies (collectively, the 'IOSCO provisions'). If KBRA's Code of Conduct deviates from an IOSCO provision, KBRA shall identify the relevant IOSCO provision, explain the reason for the deviation, and explain how the deviation nonetheless achieves the objectives contained in the IOSCO provisions. KBRA shall describe how it implements and enforces its code of conduct. KBRA also shall disclose as soon as practicable any changes to its code of conduct or changes to how it is being implemented or enforced.

5.3 KBRA shall establish and maintain a function within its organization charged with receiving, retaining, and handling complaints from market participants and the public. The function shall establish, maintain, document, and enforce policies, procedures, and controls for receiving, retaining, and handling complaints, including those that are provided on a confidential basis. The policies, procedures, and controls shall specify the circumstances under which a complaint must be reported to senior management and/or the board (or similar body).

5.4 KBRA shall publicly and prominently disclose free of charge on its primary website:

(a) KBRA's Code of Conduct;

(b) a description of KBRA's credit rating methodologies;

(c) information about KBRA's historic performance data; and

(d) any other disclosures specified in applicable laws, regulations, and the provisions of the IOSCO Code as applicable given KBRA's business model and the jurisdictions in which it operates.

5.5 Any request for exceptions to the KBRA Code of Conduct must be submitted to the KBRA Compliance Department in writing, and must identify the relevant facts supporting the requested exceptions. Any exceptions may be approved in writing by the Chief Executive Officer of KBRA, but only when granting the exception does not otherwise violate a law, rule, or regulation, and any such written approval must specify reasons that support the exceptions.

## 6. REPORTING OF VIOLATIONS

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6.1 Nothing herein prohibits or restricts the rights of KBRA employees as set forth in the KBRA Whistleblower Policies and Procedures in the employee's relevant jurisdictions. All of the provisions contained in this Code of Conduct should be construed in a manner consistent with those Policies and Procedures and should not be construed to prohibit employees from initiating communications directly with, or responding to an inquiry from, or providing information to any state or federal regulatory authority, including the Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority (FINRA). KBRA employees are not required to seek authorization or notify KBRA that they have made such reports or disclosures.

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KBRA

## Non-Executive Directors and Inside Information for KBRA Europe and KBRA UK Policy

Applicable To: All KBRA Europe and KBRA UK Employees, Officers and Directors

Issued By: KBRA Compliance Department

Effective Date: June 8, 2022

**POLICY:**

**1. Scope**

(a) The non-executive directors of KBRA Europe and KBRA UK are not employees of KBRA Europe or KBRA UK and are not subject to the personal securities trading requirements that apply to KBRA Europe's and KBRA UK's employees. The reason for such exclusion is that non-executive directors are not directly involved in the determination of KBRA Europe or KBRA UK credit ratings, and do not have access to credit ratings, rating outlooks and information related thereto prior to their public disclosure, which could be deemed to be "inside information" as defined in applicable laws and regulations in the European Union and the UK. Nevertheless, a non-executive director may be deemed to be a "person within" KBRA Europe or KBRA UK for purposes of certain laws and rules that broadly prohibit use or dissemination of material non-public information.

**2. Prohibitions**

(a) So that the non-executive directors of KBRA Europe and KBRA UK are subject to the same policy goals that underlie KBRA Europe's and KBRA UK's personal securities trading requirements, a non-executive director may not:

(i) purchase, sell, or otherwise use or benefit from any transaction in securities or money market instruments when he or she is aware of inside information obtained in connection with the performance of credit rating services that affects the securities or money market instruments; or

(ii) disseminate within or outside KBRA Europe or KBRA UK any inside information (including a pending credit rating action) obtained in connection with the performance of his or her duties as a director.

(b) If a non-executive director inadvertently receives any inside information, including with respect to credit ratings, rating outlooks or information related thereto prior to their public disclosure, the non-executive director must contact the KBRA Compliance Department to review the circumstances and identify any remedial actions that may be required.

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### 3. Monitoring and Reporting Duties of Independent Non-Executive Directors

(a) The independent non-executive members of KBRA Europe's Board of Directors shall be specifically responsible for monitoring the following:

(i) the development of the credit rating policy and of the methodologies used by the credit rating agency in its credit rating activities;

(ii) the effectiveness of the internal quality control system of the credit rating agency in relation to credit rating activities;

(iii) the effectiveness of measures and procedures instituted to ensure that any conflicts of interest are identified, eliminated or managed and disclosed; and

(iv) the compliance and governance processes, including the efficiency of the review function responsible for periodically reviewing its methodologies, models and key rating assumptions.

(b) The independent non-executive directors shall present reports on their monitoring efforts as required by Section 3(a) of this Policy to the full KBRA Europe or KBRA UK Board of Directors and also shall report such results to ESMA or the FCA at their request, or to the extent deemed necessary by the independent directors.

### 4. Notification

(a) The KBRA Compliance Department will cause a copy of this policy or a summary to be appended to an appropriate form of questionnaire provided to non-executive directors (which may be an annual questionnaire), and will ask each non-executive director to acknowledge his or her understanding of, and agreement to abide by, this policy. Promptly after receipt of any such annual director questionnaire, but not less than ten business days thereafter, the Head of European Compliance or their designee will review the questionnaires and, where necessary, communicate with the responding non-executive director to address any concerns raised in the responses to the questionnaires.

Questions regarding the interpretation of this policy should be directed to the KBRA Compliance Department.

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KBRA

# Personal Securities Trading Policy

APPLICABLE TO: All KBRA U.S. and KBRA ANALYTICS Employees

Issued by: KBRA Compliance Department

Effective Date: June 5, 2020

INTRODUCTION:

The trading and ownership of securities can, under certain circumstances, potentially create an actual or apparent conflict of interest, particularly for those involved in the determination of credit ratings. To protect against those actual or apparent conflicts, this policy implements requirements concerning the trading and ownership of securities by Subject Employees.

POLICY:

1. Applicability of Requirements

(a) This policy applies to all KBRA and KBRA Analytics employees, and certain other persons working at or for KBRA, such as temporary employees and interns as may be determined in the sole discretion of the KBRA Compliance Department (collectively, "Subject Employees"). Employee and employee-related accounts include:

- (i) accounts of Subject Employees and their Family Members; and
- (ii) accounts in which the Subject Employee has a financial or beneficial interest, including direct and indirect ownership (e.g., joint accounts, custodial accounts, any account over which the Subject Employee exercises control by means of a power of attorney, and securities held in trusts).

For the purposes of this policy, Subject Employees are deemed to have a beneficial interest in all Family Members' accounts.

(b) "Family Member" means:

- (i) the spouse, domestic partner, or cohabitant of an employee;
- (ii) a minor or unmarried dependent child of a Subject Employee, including an adopted child, stepchild, or foster child; and
- (iii) a parent, in-law or any other relative with whom the Subject Employee resides.

For example, if a Subject Employee's spouse opens a brokerage account through which stocks and bonds may be bought and sold, that account must be reported to the KBRA Compliance Department, and all trades must be precleared, even if the Subject Employee is not named on the account. Notwithstanding the foregoing, it is the Subject Employee's responsibility to report all required accounts, and not the responsibility of the relevant Family Member.

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A Subject Employee must promptly notify the KBRA Compliance Department if the Subject Employee shares a home with a parent or in-law and learns that the parent or in-law maintains brokerage accounts or owns securities that were not previously reported to the KBRA Compliance Department.

(c) This policy does not apply to the members of the KBRA Board of Directors, who do not participate in the ordinary day-to-day business of KBRA. If in the judgment of the KBRA Compliance Department, a member of the KBRA Board of Directors has become involved in the ordinary business of KBRA (including by acceptance of a role as officer), such member will be deemed to be a Subject Employee and will become subject to this policy and all procedures related to it.

## **2. Designated Broker-Dealers**

(a) Subject Employees and their Family Members must maintain securities trading accounts only with one or more of the designated broker-dealers listed in the Addendum to this policy.

(b) Securities and trading information for Subject Employees will be sent via electronic feed for monitoring.

(c) Subject Employees must designate their brokerage accounts and their Family Members' accounts for automated electronic reporting.

## **3. Reporting and Annual Certification Requirements**

A Subject Employee must provide (for his or her Family Members as well as for himself or herself):

(a) within 30 days after the commencement of employment with KBRA, information regarding all brokerage accounts and all securities holdings of which the Subject Employee is deemed to have a beneficial interest;

(b) an annual certification that he or she has reported all accounts held by family members as well as all holdings and transactions in such accounts; and

(c) All reporting of brokerage accounts and securities ownership must be electronic. Paper brokerage statements either provided by the Subject Employee or sent via mail by the Subject Employee's brokerage firm will not be accepted.

## **4. Preclearance Approval of Trades**

(a) All Subject Employees are required to preclear all of their own trades and those of their Family Members in securities such as individual stocks and bonds, options and sector funds and ETFs that are not widely diversified (Family Members will not be given their own identifications and passwords). Subject Employees must submit information concerning the trade electronically, to the extent possible, through the electronic facilities provided by the KBRA Compliance Department. If a Subject Employee is unable to access such electronic facilities, the Subject Employee must submit a Personal Trade Preclearance Form via email to the KBRA Compliance Department. A copy of the Personal Trade Preclearance Form is available on the KBRA intranet at under the Personal Trading section. The Compliance Department may accept such other documentation as it deems appropriate.

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(b) A preclearance approval given by the Compliance Department may be rescinded, at any time prior to execution of the subject trade, upon written notice from the Compliance Department.

## **5. 30-day Holding Period**

Subject Employees and their Family Members who purchase a security must hold that security for at least 30 consecutive calendar days. For example, no sale of a security may occur less than 30 days after the most recent purchase of that security. In addition, a Subject Employee may not enter into a derivative contract that will expire in less than 30 days. The KBRA Compliance Department may, however, in its sole discretion, grant exceptions in special circumstances such as an unexpected decline in security value. A Subject Employee seeking an exception to the 30-day holding period must submit a preclearance request through the electronic facilities provided by the KBRA Compliance Department. The KBRA Compliance Department may, in its sole discretion, limit the number of exceptions granted and may impose future trading restrictions on Subject Employees requesting an exception to the policy.

## **6. Open Orders**

Subject Employees and their Family Members are permitted to place limit orders or stop-loss orders. Those are orders to buy or sell a security at a particular price. Such orders are in effect until they are either canceled or executed. The Subject Employee, however, must obtain preclearance approval in the electronic facilities provided by the KBRA Compliance Department prior to the placement of the order. Any changes to the order must also be precleared. Once approved, the Subject Employee or his or her Family Member must place the order with his or her brokerage firm within five business days of receiving the approval. If the order is not placed by the close of the fifth business day, the Subject Employee must submit a new preclearance request if he or she intends to trade.

A stop-loss order to sell a security that executes before the Subject Employee or his or her Family Member has owned the security for 30 calendar days will be considered a violation of this policy.

## **7. Blackout Periods**

From time to time, based upon credit rating assignments undertaken by KBRA, the Chief Compliance Officer or his or her designee will circulate an announcement of a “blackout period” with respect to a security or a class or category of securities or issuers. Each announcement of a blackout period will indicate the securities and/or issuers covered, and the expected duration of the blackout period.

## **8. Restricted Lists**

Subject Employees are prohibited from participating in any aspect of the credit rating process for entities for which the Subject Employee or a Family Member owns securities. Subject Employees and their Family Members are prohibited from owning securities of issuers or entities that are rated within the Subject Employee’s area of analytic responsibility or for which the Subject Employee is in possession of material non-public information. A list of restricted securities for each ratings group will be maintained in electronic facilities provided by the KBRA Compliance Department. It is the responsibility of all Subject Employees to check the restricted lists applicable to them to confirm that they and their Family Members do not trade restricted securities. It is also the responsibility of the Subject Employee to notify the Compliance

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Department if the Subject Employee’s analytical area changes or if he or she gains knowledge of material non-public information other than as part of his or her normal responsibilities.

## 9. Divestment

Subject Employees and their Family Members who are found to be in ownership of a restricted security must divest as soon as practicable in a managed sale directed by the Compliance Department. The Subject Employee may not participate in any credit rating decision related to the restricted security until the securities are sold or the conflict is otherwise managed to the satisfaction of the Compliance Department. A security that is the source of a conflict may not be sold without prior instructions to do so from the KBRA Compliance Department. Once the security is sold and the conflict is resolved to the satisfaction of the KBRA Compliance Department, the Subject Employee will be permitted participate in the rating process for the conflicting entity.

## 10. Waivers

In exceptional circumstances, and at the sole discretion of the Chief Compliance Officer or his or her designee, acting in conjunction with KBRA senior management, waivers of the reporting and/or trading requirements set forth herein may be granted. All requests for waivers must be made in writing to the Subject Employee’s manager and must include all relevant facts. Upon the manager’s approval, the request must be submitted to the KBRA Compliance Department for final review and approval.

## 11. Material Non-Public Information

As detailed more fully in KBRA’s Statement of Policy on Confidential Information and Insider Trading, Subject Employees are barred from trading on material, non-public (i.e., “inside”) information, and are prohibited from “tipping” others (such as Family Members or friends) who could trade on the inside information. Any Subject Employee who comes into possession of material, non-public information, regardless of the source and whether or not the information pertains to an entity rated by the Company, is prohibited from discussing, disseminating, or acting upon that information in any way except during the course of the Subject Employee’s legitimate business duties or where required by law. *If a Subject Employee believes that he or she has received material, non-public information, or if there is any doubt about whether he or she is in possession of material, non-public information, the Subject Employee should immediately contact the KBRA Compliance Department.*

## 12. Violations

Any Subject Employee who violates this policy (including violations resulting from the actions of Family Members) may be subject to discipline by KBRA, up to and including termination of employment. In addition, persons who violate insider trading laws (as described herein) may be subject to civil and criminal penalties. The KBRA Compliance Department will report violations of this policy to the KBRA Board of Directors on a periodic basis.

## 13. Exemptions

(a) Excluded accounts: The following accounts do not need to be reported to the KBRA Compliance Department:

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