Standard & Poor's: U.S. Municipal Rating TransitionsAnd Defaults, 1986-2009

March 11, 2009 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Primary Credit Analysts: James Wiemken, Chicago (1) 312-233-7005; james_wiemken@standardandpoors.com William Montrone, New York (1) 212-438-2062; bill_montrone@standardandpoors.com Secondary Credit Analyst: Adam Watson, Chicago (1) 312-233-7044; adam_watson@standardandpoors.com Table Of Contents 2008 Performance Transition Rates Default Analysis Default Rates Relative Rating Performance Methodology And Definitions www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 1 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Standard & Poor's Ratings Services has updated its data on the performance and default rates of U.S. public finance (USPF) ratings through year-end 2008. The data suggests to us the following: • Cumulative average default rates continue to maintain a rank ordering commensurate with the rating category; • USPF ratings tend to be more stable at higher rating levels; and • Overall, the USPF sector remains significantly stable in nature and of sound credit quality, although defaults have occurred across all sectors. As a general proposition, for the years relevant to our study, unenhanced debt (i.e., debt obligations not supported by financial guarantees, structuring techniques, multiple-party features, or other external credit support) rated by Standard & Poor's has shown significant credit stability throughout a broad range of events, including a changed economic environment, federal government mandates, tax reform measures, and any number of influences on general credit. The study tracked the behavior of unenhanced rated debt obligations from Jan. 1, 1986 to Jan. 1, 2009; aggregate and sector data are also included in this study. The public finance-wide conclusions and the aggregated tables focus on unenhanced debt and exclude public finance structured and housing debt, as debt obligations issued in those sectors typically include some form of enhancement or have ratings that are dependent on multiple obligors. In the sector breakdowns, housing information is shown on an issue basis rather than an issuer basis; methodologically, therefore, we have not included this information with the other public finance data. Credit types included in the study are: • • • • • • • • • • • • • • • • • • General obligation, Lease/appropriation/moral obligation, Special tax (sales, gas, etc.), Special district, Water and sewer revenue, Public power, Airports, Ports, Toll roads and bridges, Parking, Various types of bond pools, Transit, Public and private higher education, Auxiliary higher education debt, Independent schools, Hospitals (stand-alone and systems), Continuing care, and Physicians' practices. Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 2 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 2008 Performance Defaults during 2008 of USPF credits rated by Standard & Poor's equaled the high set in 1992. In addition, one housing issue defaulted (see charts 1 and 2). These defaults were the result of a variety of factors, including budget imbalances and failed attempts at restructurings. Defaults included two tax-secured credits, one sewer utility, two hospitals, and one housing issue. The following defaults of standard & Poor's-rated debt occurred in 2008: • Presidio County, Texas' series 2002 certificates of obligation defaulted following budgetary imbalances and management turnover. • Jefferson County, Ala.'s series 2003 B-2 through 2003 B-7 sewer revenue refunding warrants were deemed defaulted following the sewer system's failure to make a principal payment on the bank warrants when due on April 1, 2008, in accordance with the terms of the standby warrant purchase agreement. Although the county and the relevant banks entered into a forbearance agreement that effectively delayed payment under the standby warrant purchase agreements, Standard & Poor's rates an issue 'D' when payments on an obligation are not made on the date due in accordance with the terms of the documents. • Jefferson County, Ala.'s series 2001B general obligation warrants were deemed in default following the county's failure to make a principal payment on the bank warrants when due on Sept. 15, 2008, in accordance with the terms of the standby warrant purchase agreement. As above, the county and the banks entered into a forbearance agreement which effectively delayed payment under the standby warrant purchase agreement. • New Jersey Health Care Facilities Financing Authority's series 2003 and 1998 bonds, issued for Pascack Valley Hospital, defaulted following the hospital's closure and bankruptcy filing in 2007. • Pontiac Hospital Finance Authority, Mich.'s series 1993 bonds issued for North Oakland Medical Center (NOMC) defaulted following increasing losses and the hospital's failure to restructure the hospital's relationship with the city of Pontiac or find a joint operating partner. • Texas State Affordable Housing Corporation's multi-family mortgage revenue bonds series 2002C defaulted after market softness and rising expenses left the South Texas Affordable Properties Corporation, the borrower, with insufficient coverage and reserves to meet debt service. www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 3 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 1 Chart 2 As we see it, rating transitions during 2008 were dominated by two countervailing forces. The first was a series of Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 4 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 rating criteria changes that led on balance to a significant number of upgrades in the government sectors (tax secured, appropriations, and utilities). The second force, working in the other direction, was the softening economy (see tables 1 and 2). While overall there were more upgrades than downgrades in all public finance sectors except health care and housing, by the fourth quarter the upward trend had ceased in all sectors except government and transportation (for more information on factors driving 2008 credit performance, see "U.S. Public Finance Sustained Upgrade Trend In Fourth Quarter But Felt Recession’s Bite," published Jan. 28, 2009 on RatingsDirect). When comparing the ratings distribution at the end of 2008 to that at the start of the default study period, we see that the numerical dominance of government sector ratings and the effect of multiple years of criteria changes have driven most of the difference (see table 3). From Jan. 1, 1986 to Jan. 1, 2009, 'AAA' and 'AA' rated credits increased to 38% from 20% of all USPF ratings. As chart 3 shows, the health care, higher education, and housing sectors were the only sectors to see increases in the share of speculative grade ratings during this period (note that ratings volume may be driven both by credit conditions and the demand for ratings). In all cases, speculative grade ratings continue to represent a small minority of USPF ratings. Chart 3 Transition Rates The study's transition analysis, which measures the stability of rating classes over the time period, shows that, generally speaking, public finance ratings were highly stable during the period, particularly at the uppermost end of the scale (see tables 4 through 8). At the 'AAA' level, for example, about 98% of ratings during the relevant years remained at 'AAA' one year later as shown in table 4. At 'BBB' or lower, however, ratings were about 88% likely to remain at the same level a year later. The diagonal that begins at the top left in the 'AAA' category and descends to www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 5 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 the lower right is a useful reference illustrating this historical rating transition behavior. Numbers on the diagonal represent unchanged ratings, while those to its left and right represent rating upgrades and downgrades, respectively. The entries on this diagonal show that during the period studied, higher rating categories experienced higher rating stability, without exception. Generally, for ratings 'A' or lower, the numbers to the left of the diagonal are greater than those to the right (excluding ratings that have been withdrawn, which are designated as NR), showing a trend of more upgrades than downgrades over the years. The same general trend is borne out by examining rating transitions by modifier, although we believe the sample size renders any conclusions tentative, particularly at the speculative grade levels (see tables 5 and 6). Across sectors, ratings and credit volatility increased at the lower end of the scale during the years studied, particularly in the historically more volatile sectors, housing and health care (see table 7). In health care, in particular, downgrades outnumbered upgrades across the entire rating scale. In housing, issues below investment grade similarly had more downgrades than upgrades. During the relevant years, the general governmental sectors of tax-secured and utilities, along with higher education, were the most stable of all sectors. The number of credits in those universes was also the largest over the period, so the overall statistics were significantly driven by general governmental performance. Default Analysis Standard & Poor's-rated USPF default counts over the course of the study vary from no defaults in six of the years covered to a high of five defaults in 1992 and 2008 (see table 9). Of the 39 total defaults in the study, 37 were non-investment grade immediately before the default as demonstrated in chart 5. On an issue basis, housing defaults total 60 and have ranged from zero to a high of 21 on an annual basis (see table 10). Of the 21 defaults occurring in 1991, it should be noted that 19 were related to the failure of Executive Life Insurance Co. as an investment agreement provider. A list of each USPF default and each housing default is provided in tables 11 and 12, respectively. Although the number of defaults over these years has been, relatively speaking, low, we do believe securities issued by municipalities can still bear meaningful default risk. For one thing, over the years in question the municipal market has tended to be self-selecting -- municipal issuers of lower credit quality have tended not to request ratings. Correspondingly, the universe of rated municipalities was, as a general proposition, more creditworthy and, of course, less likely to default. When the entirety of the public finance issuers and issues is evaluated, as opposed to simply the rated universe, however, more defaults appear. Data received from Standard & Poor's Securities Evaluations show nearly 1,300 issue defaults during the same period. In our opinion, this comparison suggests a level of credit risk attendant to the universe of municipal finance that is greater than one might discern from a default study of Standard & Poor's-rated municipals alone. Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 6 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 4 Chart 5 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 7 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Default Rates Chart 6 and tables 13 and 14 show that, generally speaking, cumulative average default rates have occurred at relative levels commensurate with the rating category. Default rates increased over time, particularly for lower-rated credits. Tables 15 and 16 show a less-precise relationship when one examines default rates by rating modifier. This is not surprising as the limited number of defaults and the limited number of credits in some rating levels allows average default rates to be more affected by a single event. Examining default rates broken down by rating category and by year further demonstrates the danger of reading too much into the average default rates. (tables 17 through 22). Because no USPF defaults have occurred at the 'AAA' level, default rates are shown only for the 'AA' category and below. For the housing data, default rates are shown across all rating categories. What we consider significant default volatility is evident as one examines smaller portions of the data set. At many rating levels, the standard deviation of the default rates raises questions about the value of the average statistic for assessing trends. Chart 6 Relative Rating Performance In addition to examining the absolute performance of USPF ratings, Standard & Poor's 2009 study examines their relative performance. One technique we use to measure relative performance is the Gini coefficient. The Gini coefficient is a summary statistic of the Lorenz curve. The Lorenz curve was developed by Max O. Lorenz as a graphical representation of the proportionality of a distribution. We use it with ratings as one indication of the appropriateness of the rating distribution's rank ordering. The Lorenz curve is derived by plotting out the cumulative proportion of issuers by rating category with the cumulative proportion of defaulters by rating category. Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 8 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 To determine relative performance of the Lorenz curve, we compare it with an ideal curve and a random curve. In the ideal curve, all issuers in the lowest rating category ('CCC'/'CC', in this case) default, and all defaults are in the lowest rating category. In the random curve, all defaults occur randomly throughout the rating distribution, so it lies along the diagonal of the chart. The Gini coefficient is a ratio of two areas: the area bounded by the Lorenz curve and the random curve divided by the area bounded by the ideal curve and random curve. The result is a relative performance measure that is between 1 and 0, 1 being a Gini coefficient with perfect rank ordering (all defaults in the lowest rating category and all issuers in the lowest rating category default) and 0 being a random rank ordering. We believe that Lorenz curves and Gini coefficients can provide useful information when compared with other Lorenz curves' Gini coefficients. Charts 7 through 10 depict Lorenz curves for USPF rating performance at the one-, three-, five-, and seven-year timeframes, while charts 11 through 14 depict Lorenz curves for housing performance at the same time periods. For both USPF and housing specifically, the Lorenz curves move further away from the ideal curve as the time period lengthens. In all cases, however, the Lorenz curve remains closer to the ideal curve than the random curve. The Gini coefficients in table 23 tell the same story, with the Gini remaining above 0.5 in all cases. Chart 7 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 9 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 8 Chart 9 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 10 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 10 Chart 11 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 11 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 12 Chart 13 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 12 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Chart 14 Methodology And Definitions A Standard & Poor's rating primarily assesses the ability and willingness of an obligor to meet its financial commitments. Accordingly, a default is recorded upon the first occurrence of monetary payment default on the relevant obligation. Technical defaults, such as covenant violations, are not by themselves payment defaults. We generally lower issue ratings to 'D' following a payment default on the corresponding obligation. We include bonds that would have defaulted if not for bond insurance if those bonds bore a SPUR, as is the case for the Jefferson County, Ala. issues. Our default study is based on a performance analysis of the unenhanced debt obligations (i.e., obligations not relying on external support provided by guaranties, outside support, or alternative revenue streams) of public finance issuers and includes bonds issued by a range of entities. We used long-term parity debt ratings throughout the study. These ratings reflect Standard & Poor's opinion of an obligor's overall capacity to pay its obligations (i.e., its fundamental creditworthiness). As such, our analysis focuses on the issuer's payment capacity and willingness to meet its financial commitment on an obligation according to its terms. The data tracked the ratings of 5,085 parity debt obligations outstanding as of Jan. 1, 1986, increasing to 12,970 parity debt obligations outstanding as of Jan. 1, 2009. The data include general obligation, appropriation-backed, special tax, revenue, and higher education and health care bonds. Although the rating of an appropriation-backed bond is usually linked to that of the obligor since, in certain cases, the ratings of appropriation-backed bonds can move independently of those of the obligor, we have included those ratings. One of the study's goals was to show www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 13 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 the rating transitions and default history of the traditional public finance market: cities, towns, school districts, and hospitals, as well as the bonds issued by those entities. We excluded from the study bonds wrapped by a monoline insurer , unless the bonds bear an underlying, unenhanced rating by Standard & Poor's (a SPUR), in which case we included the SPUR.. The study is based on individual issuances, rather than on dollar amounts, to avoid the risks of magnitude skewing results. On a sector basis, we believe results are useful but must be evaluated with the size of the respective sectors in mind: • • • • • • • Tax-secured credits increased to 7,700 through 2008 from 2,314 in 1985; Appropriation credits increased to 3,148 from 468 over the same period; Utilities increased to 1,352 from 820 over the same period; Transportation credits totaled 284 in 1985 and declined to 253 in 2008; Higher education increased to 800 in 2008 from 363 in 1985; Health care declined to 764 in 2008 from 848 in 1985; and On an issue basis, and not an issuer basis, housing increased to 9,570 in 2008 from 4,329 in 1985. Static pool methodology The years covered by the study saw relatively few issuances default in their early years. Accordingly, default rates over a given period that are obtained by dividing the number of defaults by the number of issuances then outstanding will be distorted if the number of issuances increases over the period. To avoid this potentially misleading statistic, Standard & Poor's conducts its default studies on the basis of groupings called "static pools." A static pool is formed on the first day of each year covered by the study and followed from that point on. All ratings included in the study are sorted into these pools. The pools are static in the sense that the denominator (entity ratings included in the pool) remains constant over time. This fact, however, must be understood in the context of a single study. Because errors, if any, will generally be corrected by new updates and because the criteria for inclusion or exclusion of ratings in the study may be subject to minor revisions in future studies, it is not possible to compare pools across studies. However, every new update revises results back to the same starting date (Jan. 1, 1986) to avoid continuity problems. All ratings are followed year to year within each pool. This annual tracking involves the comparison of each parity rating on the first and last day of each calendar year. Multiple rating changes in any single year are not reflected -only beginning- and end-of-year ratings are reflected. This occasionally results in what could be considered dramatic transitions. The NRs (obligations no longer rated by Standard & Poor's) in the study include issuances that have become monoline insured, as well as issuances that have been refunded, matured, or withdrawn. For example, the 1986 static pool comprises all parity debt outstanding as of Jan. 1, 1986. The 1987 static pool was formed by adding new parity ratings first rated in 1986 to the still-outstanding ratings of the 1986 static pool and subtracting those ratings that defaulted or were set to NR. This same method was used to form static pools for 1988-2008. As an example, if a parity debt rating of 'BB' is assigned in mid-1986 and is lowered to 'B' in 1988 and followed by a default ('D') in 1993, this hypothetical rating would be included in the 1987 and 1988 pools as a 'BB', and in the 1989-1993 pools as a 'B'. All pools that include this obligation would capture its 1993 default. Default rates We calculated annual default rates for each static pool: first in units and later as percentages with respect to the number of issuers in each rating category. We then combined these percentages to obtain cumulative default rates for the 23 years covered by the study. Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 14 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 We estimated cumulative default rates that average the experience of all static pools. This was accomplished by calculating marginal default rates, conditional on survival (survivors being nondefaulters) for each possible time horizon and for each static pool; weight averaging the conditional marginal default rates; and accumulating the average conditional marginal default rates. Conditional default rates are calculated by dividing the number of issuers in a static pool that default at a specific time horizon by the number of issuers that survived (did not default) to that point in time. Weights are based on the number of issuers in each static pool. Cumulative default rates are one minus the product of the proportion of survivors (nondefaulters). For instance, the weighted average first-year default rate for entities rated in the 'B' category for all 23 pools was 1.46%, meaning that an average of 98.54% made payments in accordance with their terms for the first year. Similarly, the second- and third-year conditional marginal averages were 1.57% for the first 22 pools (98.43% of those issuers that did not default in the first year did not default in the second year) and 0.86% for the first 21 pools (99.15% of those entities that did not default by the second year did not default in the third year either), respectively. Multiplying 98.54% by 98.43% results in a 96.99% non-default rate to the end of the second year, or a two-year cumulative average default rate of 3.01%. Multiplying 96.99% by 99.15% results in a 96.16% non-default rate to the end of the third year, or a three-year 3.84% cumulative average default rate. Transition analysis To compute one-year rating transition ratios by rating category, we compared each entity's rating at the beginning of a particular year with its rating at end of the same year. Multiple rating changes within one year are not reflected. We counted a parity obligation rated for more than one year as many times as the number of years it was rated. For instance, an issuer continually rated during 1986-1992 would appear in six consecutive one-year transition matrices. All 1986 static pool members still rated on Dec. 31, 2008 had 23 one-year transitions, while parity ratings first assigned in 2007 had only one. Each one-year transition matrix displays all rating movements between letter categories from the beginning of the year to year-end. For each rating listed in the matrix's left-most column, there are nine ratios listed in the columns, corresponding to ratings from 'AAA' to 'D', plus an entry for NR. For instance, according to the average one-year transition rates for USPF (see table 4), which average all one-year transitions: • 89.52% of debt rated in the 'A' category at the beginning of a given year remained in the same category at year end; • 2.52%, on average, were upgraded to the 'AA' cateogry; • 0.85% were on average lowered to the 'BBB' category; and • 0.03% were downgraded to the 'BB' category, and so on. Further transition information for each of the USPF and housing static pools is presented in tables 25 and 26. Tony Santiago provided valuable assistance by compiling the data for this study. Table 1 2008 Transition Rates By Category (%) From/To USPF AAA AA AAA 99.46 AA 0.00 A 0.27 0.27 BBB 0.00 0.00 BB 0.00 0.00 B CCC/C 0.00 0.05 0.00 0.00 D 0.00 0.03 NR 0.27 2.91 2.80 93.94 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 15 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 1 2008 Transition Rates By Category (%) (cont.) A BBB BB B CCC/C Utility AAA AA A BBB BB B CCC/C 0.03 0.00 0.00 0.00 0.00 9.07 88.87 0.31 14.66 0.00 0.00 0.00 3.85 0.45 82.36 0.00 12.50 0.00 0.62 3.85 0.00 0.03 0.10 1.77 84.62 0.00 0.00 0.00 0.88 3.85 0.02 0.05 0.00 3.85 1.52 1.90 4.42 0.00 4.42 88.50 0.00 12.50 50.00 12.50 12.50 100.00 0.00 0.00 0.00 0.00 0.00 0.15 66.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.15 0.00 0.00 0.00 0.00 0.00 3.83 1.50 1.88 0.00 0.00 0.00 9.02 87.16 0.00 0.00 0.00 0.00 0.15 21.20 76.84 0.63 31.25 0.00 0.00 0.00 0.00 0.00 0.00 66.67 33.33 0.00 0.00 100.00 0.00 100.00 Higher Education AAA 100.00 0.00 AA A BBB BB B CCC/C 0.97 98.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.48 0.00 0.00 0.00 0.00 0.00 1.13 95.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.97 2.26 2.96 6.25 0.00 0.00 2.26 94.35 0.00 93.75 Tax Secured AAA 99.23 AA A BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.38 0.19 0.00 0.00 0.23 80.27 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.07 0.19 0.00 87.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.06 0.00 0.10 0.00 0.00 0.00 0.38 0.62 0.69 0.76 0.00 0.00 0.00 4.08 94.99 9.26 89.75 0.29 18.40 0.00 0.00 0.00 12.50 0.00 33.33 14.29 85.71 Health Care AAA 0.00 AA A BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.85 1.83 0.00 0.00 0.00 0.00 0.00 4.33 90.48 0.00 0.00 0.00 4.40 0.00 0.00 0.00 0.00 4.44 66.67 0.00 0.00 0.00 0.00 0.00 2.22 0.00 0.00 0.00 0.00 0.00 0.00 0.96 1.00 2.93 4.44 0.00 0.00 95.19 0.37 0.00 0.00 0.00 0.00 94.67 0.00 88.89 0.00 11.11 0.00 0.00 11.11 11.11 33.33 33.33 33.33 Transportation AAA 100.00 AA A 0.00 0.00 0.00 3.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.82 0.83 0.00 94.55 3.33 95.83 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 16 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 1 2008 Transition Rates By Category (%) (cont.) BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 80.00 0.00 0.00 100.00 0.00 100.00 Appropriation AAA 100.00 AA A BBB BB B CCC/C 0.08 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.08 81.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.86 3.46 5.17 6.67 0.00 0.00 0.22 93.78 6.85 89.54 0.37 12.92 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.33 0.00 0.00 100.00 Housing Issues AAA 96.16 AA A BBB BB B CCC/C Table 2 0.08 0.00 0.00 0.00 0.00 0.89 0.05 0.89 0.72 3.13 0.00 0.00 0.05 0.14 0.08 98.19 0.00 0.00 0.00 0.00 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.36 3.13 90.48 0.00 0.00 0.00 0.00 0.36 3.13 4.76 78.57 0.00 0.00 0.00 0.00 0.00 0.00 2.86 0.53 0.48 0.36 6.25 4.76 0.17 98.28 0.00 0.00 0.00 0.00 0.24 98.72 3.13 81.25 7.14 14.29 2008 Upgrades and Downgrades Total USPF* Utility Tax Secured Higher Education Health Care Transportation Appropriation Housing issues Ratings Upgrades Downgrades 11907 2043 118 1247 5975 741 734 240 2970 9591 448 1144 38 23 15 375 45 2 24 5 79 4 4 101 * Does not include housing Table 3 U.S. Public Finance Rating Distributions* (%) Rating Category AAA AA A BBB Speculative Grade 1986 1 19 59 19 1 2009 4 34 47 14 1 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 17 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 3 U.S. Public Finance Rating Distributions* (%) (cont.) * excludes housing issues Table 4 USPF Average Obligor Transition Rates, 1986-2008 (%) Rating AAA AA 1 Year AAA 97.61 AA A BBB BB B CCC/C 0.02 0.00 0.00 0.00 0.00 1.14 A 0.10 1.21 BBB BB 0.00 0.03 0.85 0.00 0.00 0.03 0.65 B 0.00 0.00 0.02 0.12 3.12 8.38 CCC/C D 0.03 0.00 0.01 0.06 0.68 4.85 0.00 0.00 0.00 0.01 0.20 NR 1.11 5.29 7.03 7.67 9.03 0.78 92.69 0.06 0.07 0.00 0.00 2.52 89.52 0.27 0.73 0.60 3.57 87.85 2.67 0.60 7.94 78.68 1.80 7.77 70.39 1.46 12.14 64.07 13.77 10.78 3 Year AAA 93.56 AA A BBB BB B CCC/C 0.06 0.00 0.00 0.00 0.00 2.78 0.23 2.61 0.00 0.26 2.00 0.00 0.00 0.08 1.47 0.00 0.00 0.05 0.34 5.24 3.87 0.05 0.00 0.02 0.13 1.11 4.72 0.00 3.38 2.02 79.45 0.67 0.24 0.28 0.00 0.00 15.66 0.01 21.22 0.08 23.30 0.95 26.53 3.89 35.00 5.63 70.92 7.21 66.78 1.39 10.56 0.00 1.35 16.28 48.29 0.65 10.32 8.61 35.56 36.13 23.87 25.16 5 Year AAA 91.14 AA A BBB BB B CCC/C 0.10 0.00 0.00 0.00 0.00 3.99 0.30 3.47 0.00 0.20 2.62 0.00 0.00 0.14 1.78 0.00 0.01 0.06 0.50 4.43 5.48 0.00 0.00 0.03 0.15 1.20 3.25 0.00 4.58 3.02 67.70 0.99 0.37 0.32 0.00 0.00 25.59 0.03 35.13 0.17 38.68 1.29 42.90 5.52 56.82 7.38 54.50 8.95 48.77 1.95 10.06 0.00 10.96 2.31 18.45 29.06 1.37 4.55 17.53 22.60 30.14 29.45 7 Year AAA 89.66 AA A BBB BB B CCC/C 0.13 0.00 0.00 0.00 0.00 5.09 0.48 3.58 0.00 0.21 2.58 0.00 0.00 0.16 1.66 2.64 0.00 0.00 0.01 0.07 0.52 3.19 8.68 5.19 0.00 0.00 0.04 0.12 1.28 1.51 0.00 4.77 4.06 57.27 1.26 0.43 0.38 0.00 0.00 34.86 0.04 48.70 0.25 53.23 1.38 57.61 7.92 70.94 8.37 39.93 8.89 34.06 1.51 6.42 2.98 16.83 16.29 0.00 11.11 15.56 31.11 37.04 10 Year AAA 87.82 AA A 0.17 6.35 0.38 2.89 0.00 0.16 1.97 0.00 0.00 0.18 0.00 0.02 0.06 0.00 0.00 0.05 0.00 5.46 5.39 44.41 0.00 47.12 0.06 65.74 7.97 23.81 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 18 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 4 USPF Average Obligor Transition Rates, 1986-2008 (%) (cont.) BBB BB B CCC/C 0.00 0.00 0.00 0.00 1.55 0.25 0.00 0.00 7.10 17.83 4.18 10.00 3.03 0.00 2.16 9.26 0.97 5.82 1.30 0.00 0.36 1.77 2.16 1.85 0.13 1.27 0.43 0.32 71.73 1.27 75.44 8.23 82.68 8.33 35.19 45.37 15 Year AAA 81.94 10.19 AA A BBB BB B CCC/C Table 5A 7.16 33.11 0.30 0.00 0.00 0.00 0.00 1.17 0.58 0.00 0.00 0.93 2.55 5.90 3.08 0.00 0.00 0.23 0.17 1.03 6.97 4.24 1.31 3.95 0.00 0.00 0.15 0.44 1.16 0.00 0.00 0.00 0.02 0.08 0.15 0.58 0.00 0.00 0.00 0.00 0.06 0.05 0.00 0.00 6.71 0.01 56.98 0.11 77.96 0.44 84.88 1.93 88.44 7.83 12.47 0.00 11.11 87.58 0.00 39.47 56.58 Average One-Year Obligor Transition Rates By Modifier, 1986-2008 (%) Rating AAA AAA 97.61 AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC CCCCC C Table 5B 0.35 0.11 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 AA+ 0.97 AA 0.17 2.22 AA0.00 0.35 1.66 A+ 0.00 0.05 0.31 1.73 A 0.07 0.00 0.10 0.72 1.59 A- BBB+ BBB BBB0.03 0.00 0.00 0.00 0.00 0.03 0.04 0.38 1.27 4.88 0.95 1.59 0.37 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.50 1.15 83.28 0.74 0.37 0.39 0.00 0.00 0.83 0.00 0.00 0.00 0.00 0.00 0.17 0.01 0.01 0.03 0.13 0.54 1.86 4.36 2.23 2.73 0.60 0.00 2.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.13 0.25 0.43 1.37 82.95 5.71 0.60 1.20 0.83 0.00 0.00 0.00 0.00 20.00 BB+ 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.06 0.23 1.30 BB 0.00 0.00 0.00 0.00 0.01 0.02 0.04 0.10 0.21 0.90 4.10 BB0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.02 0.06 0.16 2.23 1.95 1.20 2.07 1.14 0.00 0.00 0.00 0.00 4.53 88.51 0.48 0.08 0.02 0.02 0.01 0.01 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.19 88.71 0.92 0.22 0.07 0.01 0.01 0.00 0.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.61 86.07 0.74 0.66 0.06 0.03 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.20 85.71 1.15 0.31 0.13 0.00 0.00 0.00 0.00 0.00 0.41 0.00 0.00 0.00 0.00 3.88 85.13 1.23 0.53 0.04 0.00 0.13 0.00 0.00 0.41 1.14 0.00 0.00 0.00 0.00 5.72 83.56 3.62 84.91 6.15 73.37 3.01 0.00 0.83 0.00 0.00 0.00 0.00 0.00 2.86 72.99 1.20 8.71 1.14 2.07 0.00 0.00 0.00 4.82 71.69 0.00 20.00 Average One-Year Obligor Transition Rates By Modifier, 1986-2008 (%) Rating AAA AA+ B+ 0.00 0.00 B 0.00 0.00 B0.00 0.00 CCC 0.03 0.00 CCC0.00 0.00 CC 0.00 0.00 C 0.00 0.00 D 0.00 0.00 NR 1.11 4.18 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 19 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 5B Average One-Year Obligor Transition Rates By Modifier, 1986-2008 (%) (cont.) AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC CCCCC C Table 6A 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.02 1.12 0.91 1.20 63.86 2.90 0.00 1.38 0.00 33.33 0.00 0.00 0.01 0.00 0.02 0.03 0.04 0.05 0.27 0.74 1.56 4.22 4.82 61.00 3.41 4.83 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.02 0.02 0.09 0.56 0.39 1.20 4.82 2.49 75.00 0.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.05 0.02 0.14 0.19 0.78 1.20 3.61 3.73 5.68 64.14 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.41 0.00 0.69 40.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.07 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.13 0.00 1.20 0.41 0.00 0.00 0.00 0.00 60.00 0.00 0.00 0.00 0.01 0.00 0.00 0.01 0.04 0.37 0.00 0.60 1.20 2.07 0.00 12.41 40.00 25.00 0.00 5.63 5.23 5.96 7.92 6.79 7.64 7.81 7.35 8.01 9.35 10.84 16.87 10.37 12.50 11.72 20.00 0.00 0.00 Housing Average One-Year Issue Transition Rates By Modifier, 1986-2008 (%) Rating AAA AAA 93.96 AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCC1.40 0.39 0.63 1.51 0.41 0.20 0.38 0.38 0.00 0.23 0.00 12.50 1.56 0.00 0.00 3.11 0.00 AA+ 0.19 AA 0.35 1.39 AA0.07 0.89 0.82 A+ 0.02 0.05 0.34 0.71 A 0.13 0.10 0.34 2.15 0.30 A- BBB+ BBB BBB0.02 0.00 0.01 0.00 0.07 0.28 0.24 0.22 0.68 4.04 0.69 1.06 0.00 1.37 0.00 0.00 0.52 0.00 0.00 0.00 0.00 0.00 0.02 0.05 0.14 0.14 0.41 81.08 1.34 1.02 0.92 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.05 0.05 0.01 0.57 3.77 1.18 3.45 1.02 2.29 4.76 0.00 0.00 0.00 0.00 0.62 0.00 0.00 0.09 0.10 0.11 0.93 0.81 0.49 1.68 79.85 3.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 BB+ 0.00 0.00 0.00 0.01 0.03 0.08 0.07 0.49 0.38 0.48 BB 0.04 0.00 0.00 0.02 0.02 0.36 0.67 0.99 4.52 1.06 5.10 BB0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.54 0.58 1.02 0.23 0.00 0.52 0.00 0.00 0.00 0.00 1.99 91.94 0.20 1.45 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.90 88.19 2.83 0.54 0.11 0.00 0.15 0.38 0.00 0.00 0.00 0.00 0.52 0.00 0.00 0.00 0.00 4.27 86.24 0.63 0.19 0.00 0.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.89 87.33 0.78 0.30 1.15 0.48 1.02 0.46 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.47 84.11 2.27 1.91 1.44 1.02 0.69 0.00 0.00 0.52 0.00 0.00 1.24 0.00 2.59 80.42 2.91 76.11 1.02 70.41 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.23 59.95 0.00 3.65 0.00 0.00 1.24 0.00 0.00 59.52 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 20 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 6A Housing Average One-Year Issue Transition Rates By Modifier, 1986-2008 (%) (cont.) CC C Table 6B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.70 0.00 0.00 0.00 2.70 0.00 0.00 0.00 0.00 0.00 Housing Average One-Year Issue Transition Rates By Modifier, 1986-2008 (%) Rating AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCCCC C Table 7 B+ 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 1.02 0.46 0.00 62.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 B 0.00 0.00 0.00 0.01 0.00 0.11 0.07 0.39 0.77 0.19 3.06 9.84 9.52 12.50 66.15 0.00 0.00 0.00 0.00 0.00 0.00 B0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.00 0.23 2.38 0.00 1.04 37.50 0.00 0.00 0.00 0.00 0.00 CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 75.00 0.62 0.00 0.00 0.00 CCC 0.00 0.00 0.01 0.02 0.02 0.02 0.04 0.00 0.23 0.86 4.08 2.29 7.14 0.00 10.94 25.00 0.00 63.98 0.00 0.00 0.00 CCC0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.62 33.33 0.00 0.00 CC 0.00 0.00 0.00 0.00 0.00 0.01 0.04 0.00 0.15 0.10 3.06 1.14 0.00 0.00 1.04 0.00 25.00 3.11 0.00 51.35 0.00 C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.23 0.00 0.00 1.04 0.00 0.00 1.86 33.33 0.00 42.86 D 0.00 0.01 0.00 0.01 0.00 0.00 0.07 0.00 0.08 0.10 0.00 4.81 2.38 0.00 2.60 0.00 0.00 9.94 0.00 18.92 42.86 NR 5.21 3.55 5.55 5.51 5.02 7.77 9.47 8.57 8.19 8.25 7.14 10.76 14.29 12.50 9.90 37.50 0.00 13.66 33.33 24.32 14.29 Average One-Year Transition Rates by Category, 1986-2008 (%) Rating Utility AAA AA A BBB BB B CCC/C AAA 96.74 0.10 0.00 0.00 0.00 0.00 AA 0.72 A 0.00 1.34 BBB 0.00 0.02 0.56 BB 0.00 0.00 0.06 0.46 B CCC/C 0.00 0.00 0.02 0.02 0.56 0.00 0.00 0.04 0.00 1.11 3.33 81.58 D 0.00 0.00 0.01 0.02 0.00 0.00 7.89 NR 2.54 4.32 6.86 9.18 10.00 20.00 0.00 1.40 92.91 0.02 0.00 0.00 0.00 2.95 89.41 3.14 87.15 0.00 0.00 0.00 0.00 0.56 11.11 76.67 3.33 73.33 0.00 10.53 Higher Education AAA 98.17 0.31 AA 0.65 93.36 0.00 1.48 0.00 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.53 4.43 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 21 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 7 Average One-Year Transition Rates by Category, 1986-2008 (%) (cont.) A BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 1.44 91.61 0.08 0.00 0.00 0.00 0.00 0.00 0.00 1.21 0.02 0.74 0.00 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00 0.00 1.32 5.72 6.26 5.26 50.00 2.96 89.89 0.00 0.00 3.95 89.47 0.00 50.00 0.00 100.00 Tax-Secured AAA 98.13 AA A BBB BB B CCC/C 0.01 0.00 0.00 0.00 0.00 1.06 0.14 0.55 0.00 0.01 0.33 0.00 0.00 0.01 0.22 0.00 0.00 0.03 0.11 0.99 0.00 0.00 0.00 0.03 0.66 2.38 52.38 0.00 0.00 0.00 0.01 0.00 2.38 0.00 0.67 4.83 6.57 6.50 7.62 7.14 14.29 1.05 93.55 0.06 0.00 0.00 0.00 2.15 90.90 3.42 89.65 3.57 4.76 0.66 14.24 75.83 4.76 5.95 16.67 61.90 9.52 14.29 Health Care AAA 0.00 AA A BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.57 0.00 0.00 3.12 0.00 0.00 0.14 2.36 0.00 0.00 0.05 0.33 5.67 3.30 0.00 0.00 0.01 0.10 0.85 6.69 0.00 0.00 0.00 0.02 0.28 1.26 0.00 6.44 8.75 7.57 9.63 13.39 13.19 0.00 91.00 0.05 0.14 0.00 0.00 0.81 87.12 0.14 0.00 0.00 1.34 88.24 0.84 0.00 3.82 79.46 1.10 4.60 73.22 65.93 16.48 Transportation AAA 100.00 AA A BBB BB B CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.11 0.00 0.00 0.78 0.00 0.00 0.03 0.67 0.00 0.00 0.00 0.18 2.11 0.00 0.00 0.00 0.24 0.00 5.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.06 9.34 11.63 13.68 5.88 0.00 0.00 91.83 0.06 0.00 0.00 0.00 1.18 88.67 0.00 0.00 0.00 1.53 85.68 9.47 74.74 0.00 0.00 11.76 76.47 0.00 16.67 33.33 50.00 Appropriation AAA 92.23 AA A BBB BB B CCC/C 0.01 0.00 0.00 0.00 0.00 4.15 0.00 2.08 0.00 0.06 1.15 0.00 0.00 0.01 0.16 0.00 0.01 0.00 0.06 0.00 0.52 0.00 0.01 0.08 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 3.11 6.49 7.51 9.08 6.14 10.00 20.00 0.23 91.14 0.09 0.00 0.00 0.00 4.38 86.93 7.13 83.39 0.00 13.16 80.70 0.00 0.00 0.00 10.00 10.00 70.00 0.00 30.00 30.00 20.00 Housing AAA 93.96 AA 0.61 0.17 1.11 0.01 0.12 0.04 0.01 0.00 0.00 0.00 0.01 0.00 0.00 5.21 4.97 1.40 92.37 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 22 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 7 Average One-Year Transition Rates by Category, 1986-2008 (%) (cont.) A BBB BB B CCC/C Table 8 0.93 0.33 0.17 1.92 2.36 3.72 87.20 0.21 0.00 0.48 0.00 2.25 0.96 0.94 1.28 0.27 3.21 0.06 0.48 9.53 0.00 0.03 0.48 4.51 12.98 0.01 0.06 3.81 2.40 6.50 8.33 10.40 11.06 15.57 4.37 82.55 0.00 0.94 6.24 63.08 1.42 3.85 66.35 66.51 12.26 Housing Average Issue Transition Rates, 1986-2008 (%) Rating AAA 1 Year AAA 93.96 AA A BBB BB B CCC/C 0.93 0.33 0.17 1.92 2.36 AA 0.61 A BBB 0.17 1.11 0.01 0.12 1.28 BB 0.04 0.01 0.27 3.21 B CCC/C 0.00 0.00 0.06 0.48 9.53 0.00 0.00 0.01 0.03 0.48 4.51 12.98 D 0.00 0.00 0.01 0.06 3.81 2.40 NR 5.21 4.97 6.50 8.33 10.40 11.06 15.57 1.40 92.37 0.21 0.00 0.48 0.00 3.72 87.20 2.25 0.96 0.94 4.37 82.55 0.00 0.94 6.24 63.08 1.42 3.85 66.35 66.51 12.26 3 Year AAA 81.97 AA A BBB BB B CCC/C 1.35 0.46 2.48 0.03 0.50 2.82 0.04 0.05 0.72 4.63 0.00 0.01 0.19 1.86 9.59 0.00 0.00 0.03 0.10 1.16 8.61 7.98 0.06 0.02 0.08 0.70 8.02 8.59 16.09 15.04 19.53 26.95 28.57 31.29 31.89 4.52 77.34 0.77 0.98 5.52 5.41 2.47 10.32 63.75 0.39 1.23 0.00 0.46 11.43 52.05 3.07 2.16 1.23 2.16 4.70 10.76 28.38 2.70 4.91 36.20 36.76 18.92 5 Year AAA 71.05 AA A BBB BB B CCC/C 1.62 0.67 3.04 0.06 0.56 2.53 0.02 0.07 0.95 2.20 0.00 0.01 0.41 1.64 4.45 0.00 0.00 0.02 0.21 1.60 4.62 0.12 0.02 0.17 1.53 9.23 26.47 24.23 30.06 43.36 43.43 46.15 45.96 7.59 64.45 1.12 2.45 8.46 6.21 3.37 14.73 47.57 0.67 1.54 0.00 6.24 4.62 0.00 0.30 11.22 37.02 0.00 1.86 9.58 16.93 3.11 5.12 11.14 24.22 18.63 3.85 21.54 7 Year AAA 61.02 AA A BBB BB B CCC/C 1.69 0.87 2.78 0.08 0.43 2.01 0.02 0.02 0.78 0.96 0.00 0.01 0.38 1.08 2.09 0.00 0.00 0.03 0.25 1.40 3.67 0.15 0.03 0.28 1.89 7.34 36.17 32.07 38.57 54.67 53.79 55.96 50.00 9.93 54.71 1.56 3.13 10.09 7.58 4.45 18.26 35.03 0.52 0.00 0.00 6.53 5.50 0.00 0.36 11.51 26.55 0.00 0.00 7.31 11.75 3.03 2.87 12.01 21.21 18.18 0.00 17.43 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 23 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 8 Housing Average Issue Transition Rates, 1986-2008 (%) (cont.) 10 Year AAA 44.88 AA A BBB BB B CCC/C 1.41 0.71 1.72 0.06 0.17 1.11 5.37 0.00 0.00 0.02 0.01 0.42 0.37 7.46 0.91 0.00 0.02 0.30 0.60 1.19 0.00 0.00 0.00 0.14 0.92 2.33 0.21 0.05 0.26 1.42 6.98 52.72 43.24 48.49 67.03 64.78 59.30 54.55 12.74 42.06 1.84 3.58 12.79 9.09 6.26 20.62 22.40 0.30 0.00 0.00 5.07 5.81 0.00 0.28 10.28 17.26 1.49 10.75 16.36 19.09 0.00 12.79 15 Year AAA 25.21 AA A BBB BB B CCC/C 0.93 0.59 1.41 8.10 3.16 4.29 0.00 0.10 0.17 0.51 8.55 4.21 0.00 0.00 0.02 0.00 0.12 0.32 3.16 0.00 0.00 0.00 0.01 0.06 0.45 0.70 4.29 0.00 0.00 0.00 0.07 0.57 1.43 0.42 0.06 0.26 0.32 8.57 72.75 58.94 56.69 79.85 71.58 65.71 59.68 14.17 25.25 1.85 4.21 15.71 14.52 0.00 0.00 0.00 0.00 10.21 20.44 11.64 2.46 10.53 6.45 19.35 20 Year AAA 12.54 AA A BBB BB B CCC/C Table 9 0.56 0.81 1.46 5.99 8.51 4.35 0.00 0.00 0.08 0.14 0.65 2.43 8.70 0.00 0.00 0.00 0.00 0.12 0.17 4.35 0.00 0.00 0.00 0.01 0.05 0.87 0.00 0.00 0.00 0.00 0.01 0.14 0.69 2.17 0.00 0.00 0.73 0.12 0.44 0.69 0.00 85.27 68.72 63.29 84.55 80.43 13.99 15.54 12.42 16.89 2.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 USPF Annual Obligor Default Summary Defaults Year 1986 1987 1988 1989 1990 1991 1992 1993 1994* 1995 1996 1997 1998 Default Rate (%) Total Investment grade Speculative grade Overall Investment grade Speculative grade 0 0 0 0.00 0.00 0.00 3 0 3 3 1 5 0 4 1 0 0 0 1 0 0 0 0 0 0 1 0 0 0 0 2 0 3 3 1 5 0 3 1 0 0 0 0.06 0.00 0.06 0.05 0.02 0.08 0.00 0.04 0.01 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 2.47 0.00 3.70 4.00 1.10 5.26 0.00 3.41 1.19 0.00 0.00 0.00 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 24 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 9 USPF Annual Obligor Default Summary (cont.) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Mean Median Std Dev Min Max 1 3 3 1 1 3 1 1 0 5 1.7 1.0 1.6 0.0 5.0 0 0 1 0 1 0 0 0 0 3 0.3 0.0 0.7 0.0 3.0 1 3 2 1 0 3 1 1 0 2 1.4 1.0 1.4 0.0 5.0 0.01 0.04 0.05 0.01 0.01 0.03 0.01 0.01 0.00 0.03 0.02 0.01 0.02 0.00 0.08 0.00 0.00 0.01 0.00 0.01 0.00 0.00 0.00 0.00 0.03 0.00 0.00 0.01 0.00 0.03 1.28 4.48 2.94 1.33 0.00 2.63 0.95 0.76 0.00 1.36 1.60 1.19 1.63 0.00 5.26 * Orange County, Calif. defaulted the year its rating was assigned. Table 10 Housing Annual Issue Default Summary Defaults Year 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Default Rate (%) Total Investment grade Speculative grade Overall Investment grade Speculative grade 0 0 0 0.00 0.00 0.00 1 1 0 0 21 1 4 1 1 1 0 2 1 0 1 5 3 4 6 3 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 1 0 1 0 0 0 0 21 1 4 1 1 1 0 2 1 0 1 3 3 3 6 2 0.02 0.02 0.00 0.00 0.41 0.02 0.08 0.02 0.02 0.02 0.00 0.03 0.02 0.00 0.02 0.07 0.04 0.06 0.09 0.04 0.02 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.01 0.00 0.01 0.00 0.00 0.00 0.00 23.08 1.05 4.82 1.14 1.19 1.35 0.00 2.86 1.28 0.00 1.47 4.00 3.53 2.63 5.71 1.53 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 25 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 10 Housing Annual Issue Default Summary (cont.) 2007 2008 Mean Median Std Dev Min Max Table 11 3 1 2.6 1.0 4.3 0.0 21.0 1 0 0.3 0.0 0.5 0.0 2.0 2 1 2.3 1.0 4.3 0.0 21.0 0.03 0.01 0.04 0.02 0.08 0.00 0.41 0.01 0.00 0.00 0.00 0.01 0.00 0.02 1.53 0.68 2.52 1.28 4.67 0.00 23.08 USPF Defaulted Obligors, 1986-2008 Rating Obligor St. Paul Hsg & Redev Auth St. Paul Port Auth St. Josephs Hosp of Alton Spokane Downtown Found South Fulton Med Center Sacred Heart Med Center of Chester Presidio County Pascack Valley Hosp Parkview Hosp Oregon Coast Aquarium Orange County Northwest General Hosp North Oakland Med Center New Magma Irrigation & Drainage Dist New Jersey Economic Development Auth Michigan Health Care Corp. Metro Hosp Mercy Hosp and Med Center Massachusetts Port Auth Logan General Hosp Lassen Cmnty College Dist Kerr County Jefferson County James C. Guiffre Med Center Jacksonville General Hosp & Med Center Jackson Park Hosp Found Illinois Hialeah Hosp Inc. Granada Hills Comnty Hosp State Category MN Utility rev MN IL WA GA PA TX NJ OH OR CA MI MI AZ NJ MI PA IL MA WV CA TX AL PA FL IL IL FL CA Utility rev Trans rev Default Date Next to Last First 12/02/2004 CCC A 12/02/2004 08/09/2001 CCC CCCCCC CCC CCC BBBCC C CCC CCC C B C CC CCC CCC CCC CCCCCC CCC CC B CCC CCC CCC A CCC CCC CCC A A BBBBBB+ ABBBA ABBBAABBB BBB BBB+ BBB BB AA BBB+ BBB BBBAA+ BBB BBB A ABBB BBB BBB- Health care rev 05/24/1989 Health care rev 04/27/2000 Health care rev 01/08/1992 Tax sec 12/11/2008 Health care rev 9/30/2008 Health care rev 10/13/1994 Higher ed rev Tax sec 10/07/2002 12/08/1994 Health care rev 10/04/1990 Health care rev 03/31/2008 Tax sec Trans rev 06/02/1994 12/03/1987 Health care rev 09/20/1995 Health care rev 12/19/1989 Health care rev 01/05/2004 Trans rev Appropriation Appropriation Utility rev 01/04/2006 04/06/1987 03/14/2005 03/06/2008 Health care rev 02/03/1999 Health care rev 07/02/1992 Health care rev 04/02/1992 Health care rev 03/04/1992 Appropriation 02/04/2003 Health care rev 12/17/1991 Health care rev 02/10/1992 Health care rev 05/14/2001 Hyde Park Comnty Hosp, Ill. Cent Comnty Hosp IL Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 26 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 11 USPF Defaulted Obligors, 1986-2008 (cont.) Graduate Health System Obligated Group Devils Lake Crouse Health Hosp Colorado Ute Electric Association Choate-Symmes Health Central Med Center Hosp Central Arizona Irrigation & Drainage Dist Bradford College Jefferson County Table 12 PA ND NY CO MA MO AZ MA AL Health care rev 01/04/2000 Utility rev Utility rev 09/16/1987 07/06/1990 Health care rev 07/03/2001 Health care rev 01/08/1990 Health care rev 06/07/1989 Tax sec Higher ed rev Tax sec 12/02/1994 11/02/2000 9/24/2008 CCC B CCC CCC CCC CCCC CCC B A BBBBBB AABBBBBB BBBAA- Housing Defaulted Issues, 1986-2008 Rating Obligor Pines of Yellow Creek St. Louis Land Clear Redev Auth Adams County El Paso Hsg Fin Corp. El Paso Hsg Fin Corp. Nebraska Investment Fin Auth Nebraska Investment Fin Auth Midland County Hsg Fin Corp. Tuscon Indus Dev Auth Simi Valley Simi Valley Southeast Texas Hsg Fin Corp. St. Paul Hsg & Redev Auth St. Paul Hsg & Redev Auth St. Paul Hsg & Redev Auth St. Paul Hsg & Redev Auth Memphis Health Ed & Hsg Fac Board Memphis Health Ed & Hsg Fac Board Northern California Home Mort Fin Auth Louisiana Agri Fin Auth Louisiana Agri Fin Auth Louisiana Agri Fin Auth Louisiana Agri Fin Auth El Paso County Jefferson County Aurora Aurora Jefferson County State Issue Series Default Date Next to Last First WY Ser 1983A 12/2/1987 CC AAA MO CO TX TX NE NE TX AZ CA CA TX MN MN MN MN TN TN CA LA LA LA LA CO CO CO CO CO Ser 1989A Ser 1989A Ser 1986A Ser 1989B Ser 1989B Ser 1989A Ser 1989B Ser 1986A Ser 1986A Ser 1982A Ser 1986A Ser A Ser A Ser 1986A Ser 1982B Ser 1982A Ser 1983A Ser 1983A Ser 1982A Ser 1984 Ser 1986A Ser 1986A Ser 1986A Ser 1986A Ser 1986B Ser 1982A 3/18/1988 5/2/1991 5/2/1991 5/2/1991 5/2/1991 5/2/1991 6/4/1991 6/6/1991 8/6/1991 8/6/1991 9/3/1991 9/3/1991 9/3/1991 9/3/1991 9/3/1991 9/17/1991 9/17/1991 10/1/1991 10/2/1991 10/2/1991 10/2/1991 10/2/1991 3/16/1992 3/2/1993 9/2/1993 9/2/1993 12/31/1993 AA+ CC CC CC CC BB CC CCC CC CC CC CCC CCC CCC CCC CC CC CC CC CC CC CC B CCC CCC CCC CCC AA+ AAA AAA AAA AAA AAA A+ AAA AAA AAA AAA AAA AAA AAA AAA AAA A AAAAA AAA AAA AAA A+ A+ A A A+ www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 27 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 12 Housing Defaulted Issues, 1986-2008 (cont.) El Paso County Louisiana Hsg Fin Agency Los Angleles Hsg Auth Windsor Hsg Found Windsor Hsg Found Louisville & Jefferson County Metro Govt Radcliff Hsg Auth Boulder County Blackwater Hsg Corp. Emerald Coast Hsg Corp. Patten Towers L.P. II Patten Towers L.P. II Indianapolis Indianapolis Austin Hsg Fin Corp. Austin Hsg Fin Corp. Mercy Hsg Mercy Hsg Texas State Afford Hsg Corp. Texas State Afford Hsg Corp. Harris County Hsg Fin Corp. Harris County Hsg Fin Corp. Raleigh Hsg Auth American Opp for Hsg American Opp for Hsg De Kalb County Hsg Auth Shelby County Health Ed & Hsg Fac Board Liberty Hsg Dev Corp. American Hsg Found St. Louis Indus Dev Auth St. Cloud Hsg & Redev Auth Little Rock Family Hsg LLC South Texas Afford Hsg Corp. Table 13 CO LA CA MN MN KY KY CO FL FL Tn Tn IN IN TX TX AZ AZ TX TX TX TX NC TX TX GA TN NY TX MO MN AR TX Ser 1982A Ser 1986A Ser 1992A Ser 1996A Ser 1996B Ser 1995 Ser 1995 Ser 1982A Ser 1995A Ser 1995A Ser 1995A Ser 1995B Ser 1996A Ser 1996C Ser 1996D Ser 1997A Ser 1997C Ser 1997A Ser 1997B Ser 2001B Ser 2001C Ser 1999C Ser 1999D Ser 1999A Ser 2002B Ser 2002C Ser 1996C Ser 1997A Ser 1996A Ser 2002B Ser 1997 Ser 1999A Ser 2004B Ser 2002C 9/21/1994 3/30/1995 6/3/1996 1/28/1998 1/28/1998 11/14/1998 11/14/1998 11/1/1999 9/6/2001 1/8/2002 8/1/2002 8/1/2002 11/11/2002 11/11/2002 1/2/2003 1/8/2003 1/8/2003 8/19/2004 8/19/2004 10/8/2004 10/8/2004 4/11/2005 4/11/2005 6/10/2005 9/22/2005 9/22/2005 10/20/2005 1/13/2006 3/20/2006 3/28/2006 4/3/2007 5/29/2007 10/11/2007 9/9/2008 CCC CC CCC NR NR CC CC CC CC CCC CC C CCC CCCCCC CCC CC B CCC CC C CCC CCC CC C C C CCC AAC C B BB C AA A A A BBB AAA BBB BBB ABBB A BBB BBA BBB A BBB BBBBB BBB BB ABBBBB BBB A AAA BBBBBB+ BBB ABB American Opp Found / Dallas-Fort Worth Afford Hsg Corp. TX USPF Cumulative Average Obligor Default Rates, 1986-2008 (%) Rating AAA AA A BBB Y1 0.00 0.00 0.00 0.01 Y2 0.00 0.00 0.01 0.04 Y3 0.00 0.01 0.02 0.08 Y14 0.00 0.06 0.09 0.37 Y15 0.00 0.07 0.11 0.37 Y16 0.00 0.08 0.13 0.37 Y17 0.00 0.09 0.15 0.37 Y18 0.00 0.10 0.16 0.37 Y19 0.00 0.12 0.18 0.37 Y20 0.00 0.14 0.19 0.37 Y21 0.00 0.18 0.20 0.37 Y22 0.00 0.22 0.22 0.37 Y23 0.00 0.32 0.25 0.37 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 28 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 13 USPF Cumulative Average Obligor Default Rates, 1986-2008 (%) (cont.) BB B CCC/C Investment Grade Speculative Grade All Rated Table 14 0.20 1.46 0.00 1.56 0.02 0.57 3.01 0.01 2.61 0.04 0.97 3.84 0.03 3.46 0.07 2.07 7.70 0.14 6.75 0.22 2.07 7.70 0.16 6.75 0.23 2.07 7.70 0.17 6.75 0.24 2.07 7.70 0.18 6.75 0.26 2.07 7.70 0.19 6.75 0.27 2.07 7.70 0.21 6.75 0.28 2.07 7.70 0.22 6.75 0.29 2.07 7.70 0.23 6.75 0.31 2.07 7.70 0.25 6.75 0.33 2.07 7.70 0.29 6.75 0.37 13.77 19.44 23.95 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 Housing Cumulative Average Issue Default Rates, 1986-2008 (%) Rating AAA AA A BBB BB B CCC/C Investment Grade Speculative Grade All Rated Table 15 Y1 0.00 0.00 0.01 0.06 3.81 2.40 0.01 5.32 0.04 Y2 0.03 0.01 0.04 0.35 5.28 6.16 0.03 7.80 0.09 Y3 0.05 0.02 0.09 0.67 Y14 0.10 0.05 0.33 2.48 Y15 0.10 0.05 0.33 2.48 Y16 0.10 0.05 0.33 2.48 Y17 0.10 0.05 0.33 2.48 Y18 0.10 0.05 0.33 2.48 Y19 0.10 0.05 0.33 2.48 Y20 0.10 0.05 0.33 2.48 Y21 0.10 0.05 0.33 2.48 Y22 0.10 0.05 0.33 2.48 Y23 0.10 0.05 0.33 2.48 N/A N/A 0.20 0.29 7.45 11.43 11.43 11.43 11.43 11.43 11.43 11.43 11.43 11.43 11.43 8.61 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 0.06 0.13 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 0.20 0.29 12.26 16.32 17.96 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 9.91 13.42 13.42 13.42 13.42 13.42 13.42 13.42 13.42 13.42 13.42 USPF Cumulative Average Obligor Default Rates By Rating Modifier, 1986-2008 (%) Rating AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC/C Investment Grade Y1 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.01 0.04 0.37 0.00 0.60 1.20 2.07 0.00 0.00 Y2 0.00 0.00 0.01 0.00 0.00 0.01 0.01 0.01 0.03 0.17 0.78 0.00 2.59 2.47 3.39 2.50 0.01 Y3 0.00 0.00 0.01 0.00 0.00 0.02 0.03 0.03 0.06 0.28 1.24 0.29 3.32 3.86 3.84 0.03 Y14 0.00 0.00 0.03 0.14 0.02 0.04 0.30 0.24 0.26 1.09 2.37 1.55 3.32 5.57 3.84 0.14 Y15 0.00 0.00 0.03 0.17 0.02 0.05 0.36 0.24 0.28 1.09 2.37 1.55 3.32 5.57 3.84 0.16 Y16 0.00 0.00 0.03 0.21 0.02 0.07 0.38 0.24 0.28 1.09 2.37 1.55 3.32 5.57 3.84 0.17 Y17 0.00 0.00 0.03 0.25 0.02 0.10 0.40 0.24 0.28 1.09 2.37 1.55 3.32 5.57 3.84 0.18 Y18 Y19 Y20 Y21 Y22 Y23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.30 0.02 0.12 0.43 0.24 0.28 1.09 2.37 1.55 3.32 5.57 3.84 0.19 0.00 0.03 0.37 0.02 0.14 0.46 0.24 0.28 1.09 2.37 1.55 3.32 N/A 5.57 3.84 0.21 0.00 0.03 0.47 0.02 0.14 0.50 0.24 0.28 1.09 2.37 1.55 3.32 N/A 5.57 3.84 0.22 0.00 0.03 0.60 0.02 0.16 0.50 0.24 0.28 1.09 2.37 1.55 3.32 N/A 5.57 N/A 0.23 0.00 0.03 0.83 0.02 0.19 0.50 0.24 0.28 1.09 2.37 1.55 3.32 N/A 5.57 N/A 0.25 0.00 0.03 1.33 0.02 0.25 0.50 0.24 0.28 1.09 2.37 1.55 3.32 N/A 5.57 N/A 0.29 3.88 21.67 21.67 21.67 21.67 21.67 13.77 19.44 23.95 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 41.76 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 29 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 15 USPF Cumulative Average Obligor Default Rates By Rating Modifier, 1986-2008 (%) (cont.) Speculative Grade All Rated Table 16 0.48 0.01 1.11 0.03 1.60 0.04 3.31 0.18 3.31 0.19 3.31 0.20 3.31 0.21 3.31 0.23 3.31 0.24 3.31 0.25 3.31 0.26 3.31 0.28 3.31 0.32 Housing Cumulative Average Issue Default Rates By Rating Modifier, 1986-2008 (%) Rating AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC/C Invest Grade Spec Grade All Rated Y1 0.00 0.01 0.00 0.01 0.00 0.00 0.07 0.00 0.08 0.10 0.00 4.81 2.38 0.00 2.60 Y2 0.03 0.02 0.00 0.03 0.02 0.02 0.20 0.00 0.41 0.62 0.00 6.74 2.38 0.00 6.08 Y3 0.05 0.02 0.00 0.06 0.05 0.06 0.37 0.12 0.77 1.07 0.00 5.02 0.00 8.08 Y4 0.08 0.02 0.00 0.09 0.07 0.12 0.41 0.24 1.42 1.30 0.00 Y5 0.10 0.02 0.00 0.13 0.10 0.19 0.50 0.49 2.38 1.41 0.00 Y6 0.10 0.02 0.00 0.16 0.14 0.24 0.69 0.75 3.19 1.54 0.00 Y7 0.10 0.02 0.00 0.19 0.16 0.29 0.83 1.02 3.61 1.54 0.00 Y8 0.10 0.02 0.01 0.21 0.18 0.33 0.83 1.30 3.72 1.54 0.00 Y9 0.10 0.02 0.02 0.21 0.18 0.35 0.83 1.45 3.96 1.54 0.00 Y10 0.10 0.02 0.02 0.21 0.18 0.35 0.83 1.61 3.96 1.54 0.00 Y11 0.10 0.02 0.02 0.21 0.18 0.36 0.83 1.61 3.96 1.54 0.00 Y12 0.10 0.02 0.02 0.21 0.18 0.38 0.83 1.61 3.96 1.54 0.00 Y13 0.10 0.02 0.02 0.21 0.18 0.40 0.83 1.61 3.96 1.54 0.00 Y14 0.10 0.02 0.02 0.21 0.18 0.40 0.83 1.61 3.96 1.54 0.00 Y15 0.10 0.02 0.02 0.21 0.18 0.40 0.83 1.61 3.96 1.54 0.00 9.31 10.97 11.85 12.50 12.50 12.50 12.87 13.25 13.25 13.25 13.25 13.25 13.25 7.90 10.97 14.04 17.11 17.11 17.11 17.11 17.11 17.11 17.11 17.11 17.11 0.00 8.83 0.00 8.83 0.00 8.83 0.00 8.83 N/A 0.17 0.23 0.00 9.85 N/A 0.18 0.24 0.00 9.85 N/A 0.19 0.25 0.00 9.85 N/A 0.19 0.26 0.00 9.85 N/A 0.19 0.26 0.00 9.85 N/A 0.20 0.26 0.00 9.85 N/A 0.20 0.26 0.00 9.85 N/A 0.20 0.26 0.00 9.85 N/A 0.20 0.26 0.00 14.29 31.43 48.57 48.57 48.57 0.01 3.44 0.02 0.03 5.49 0.07 0.06 7.73 0.11 0.09 9.19 0.14 0.13 0.18 0.15 0.21 12.26 16.32 17.96 19.13 19.74 20.40 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 9.88 10.46 10.66 10.88 11.10 11.34 11.34 11.34 11.34 11.34 11.34 N/A-not applicable. Table 17 USPF Static Pool Default Rates, 1986-2008 (%) Rating 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 Issuers Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 Y9 Y10 Y11 Y12 Y13 Y14 Y15 5103 0.00 0.06 0.06 0.12 0.18 0.20 0.29 0.29 0.33 0.35 0.35 0.35 0.35 0.37 0.39 5262 0.06 0.06 0.11 0.17 0.19 0.29 0.29 0.32 0.34 0.34 0.34 0.34 0.36 0.38 0.38 5240 0.00 0.06 0.11 0.13 0.21 0.21 0.25 0.27 0.27 0.27 0.27 0.29 0.31 0.31 0.31 5378 0.06 0.11 0.13 0.20 0.20 0.24 0.26 0.26 0.26 0.26 0.28 0.30 0.30 0.30 0.30 5687 0.05 0.07 0.16 0.16 0.21 0.23 0.23 0.23 0.23 0.25 0.26 0.26 0.26 0.26 0.32 6061 0.02 0.10 0.10 0.15 0.16 0.16 0.16 0.16 0.18 0.20 0.20 0.20 0.20 0.25 0.25 6528 0.08 0.08 0.12 0.14 0.14 0.14 0.14 0.15 0.17 0.17 0.17 0.17 0.21 0.21 0.21 6876 0.00 0.04 0.06 0.06 0.06 0.06 0.07 0.09 0.09 0.09 0.09 0.13 0.13 0.13 0.13 6942 0.04 0.06 0.06 0.06 0.06 0.07 0.10 0.10 0.10 0.10 0.14 0.14 0.14 0.14 0.19 6759 0.01 0.01 0.01 0.01 0.03 0.06 0.06 0.06 0.06 0.10 0.10 0.10 0.10 0.15 6828 0.00 0.00 0.00 0.01 0.04 0.04 0.04 0.06 0.10 0.10 0.10 0.10 0.15 7163 0.00 0.00 0.01 0.04 0.06 0.06 0.07 0.11 0.11 0.11 0.11 0.15 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 30 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 17 USPF Static Pool Default Rates, 1986-2008 (%) (cont.) 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Table 18 7979 0.00 0.01 0.04 0.06 0.06 0.08 0.11 0.11 0.11 0.11 0.15 8960 0.01 0.04 0.08 0.09 0.10 0.13 0.13 0.13 0.13 0.17 7321 0.04 0.08 0.10 0.11 0.15 0.15 0.15 0.15 0.20 7986 0.04 0.05 0.06 0.10 0.10 0.10 0.10 0.15 8712 0.01 0.02 0.06 0.06 0.07 0.07 0.11 9389 0.01 0.04 0.05 0.06 0.06 0.12 10151 0.03 0.04 0.05 0.05 0.10 10506 0.01 0.02 0.02 0.07 10594 0.01 0.01 0.06 11213 0.00 0.04 11907 0.04 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.02 0.04 0.07 0.09 0.11 0.12 0.14 0.15 0.16 0.17 0.18 0.20 0.21 0.22 0.23 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.08 0.09 0.09 0.09 0.09 0.09 0.08 0.08 0.01 0.04 0.06 0.09 0.10 0.13 0.14 0.15 0.15 0.17 0.18 0.20 0.24 0.26 0.30 0.00 0.00 0.00 0.01 0.03 0.04 0.04 0.06 0.06 0.09 0.09 0.10 0.10 0.13 0.13 0.08 0.11 0.16 0.20 0.21 0.29 0.29 0.32 0.34 0.35 0.35 0.35 0.36 0.38 0.39 USPF Static Pool Cumulative Obligor Default Rates By Rating Category, 1986-2008 (%) Issuers Rating: AA 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 992 1062 1095 1175 1265 1392 1458 1562 1589 1593 1698 1825 2001 2208 1874 2282 2682 2906 3163 3207 Y1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 Y5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 Y6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 Y7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.04 Y8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.04 Y9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 Y10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 Y11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 Y12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 Y13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 Y14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 Y15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 31 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 18 USPF Static Pool Cumulative Obligor Default Rates By Rating Category, 1986-2008 (%) (cont.) 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: A 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: BBB 1986 1987 3323 3498 3713 0.00 0.00 0.03 0.00 0.00 0.01 0.00 0.00 0.03 0.00 0.00 0.01 0.00 0.00 0.03 0.00 0.01 0.01 0.00 0.00 0.03 0.00 0.01 0.01 0.00 0.00 0.03 0.00 0.01 0.01 0.00 0.00 0.03 0.00 0.02 0.01 0.00 0.00 0.03 0.00 0.02 0.01 0.00 0.00 0.04 0.00 0.02 0.01 0.00 0.00 0.04 0.00 0.03 0.01 0.00 0.00 0.05 0.00 0.03 0.01 0.00 0.00 0.05 0.01 0.04 0.01 0.00 0.00 0.05 0.01 0.04 0.02 0.00 0.00 0.05 0.01 0.05 0.02 0.00 0.00 0.06 0.01 0.06 0.02 0.00 0.00 0.06 0.01 0.07 0.02 0.00 0.00 0.06 0.00 0.03 0.03 2993 3023 2953 2962 3114 3231 3470 3585 3591 3416 3356 3513 3951 4472 3669 3871 4131 4454 4770 5156 5137 5414 5734 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.01 0.00 0.00 0.02 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.02 0.02 0.00 0.00 0.02 0.01 0.01 0.02 0.00 0.00 0.07 0.00 0.00 0.07 0.07 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.02 0.04 0.02 0.00 0.02 0.00 0.07 0.07 0.10 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.03 0.02 0.04 0.02 0.02 0.07 0.07 0.10 0.10 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.03 0.03 0.02 0.04 0.04 0.07 0.10 0.10 0.10 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.04 0.03 0.03 0.02 0.07 0.10 0.10 0.10 0.10 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.05 0.04 0.03 0.03 0.05 0.10 0.13 0.10 0.10 0.03 0.00 0.00 0.03 0.00 0.00 0.03 0.06 0.05 0.04 0.03 0.05 0.13 0.13 0.10 0.10 0.03 0.00 0.03 0.03 0.00 0.00 0.06 0.06 0.05 0.04 0.05 0.13 0.13 0.10 0.10 0.03 0.03 0.03 0.03 0.00 0.03 0.06 0.06 0.05 0.04 0.13 0.13 0.10 0.10 0.06 0.03 0.03 0.03 0.03 0.03 0.06 0.06 0.05 0.13 0.13 0.10 0.14 0.06 0.03 0.03 0.06 0.03 0.03 0.06 0.06 0.13 0.13 0.14 0.14 0.06 0.03 0.06 0.06 0.03 0.03 0.06 0.13 0.17 0.14 0.14 0.06 0.12 0.06 0.06 0.03 0.06 0.17 0.17 0.14 0.14 0.16 0.12 0.06 0.06 0.06 0.01 0.02 0.02 0.00 0.00 0.07 0.01 0.02 0.03 0.01 0.00 0.10 0.01 0.03 0.03 0.02 0.00 0.10 0.01 0.04 0.04 0.03 0.00 0.10 0.01 0.04 0.04 0.03 0.00 0.10 0.01 0.05 0.04 0.04 0.00 0.13 0.01 0.06 0.04 0.05 0.00 0.13 0.00 0.06 0.04 0.05 0.00 0.13 0.00 0.07 0.04 0.06 0.03 0.13 0.01 0.07 0.04 0.06 0.03 0.14 0.01 0.08 0.04 0.06 0.03 0.14 0.02 0.09 0.04 0.09 0.03 0.17 0.02 0.11 0.05 0.14 0.06 0.17 991 1050 0.00 0.10 0.30 0.10 0.30 0.29 0.50 0.29 0.50 0.38 0.61 0.67 0.91 0.67 0.91 0.76 1.01 0.76 1.01 0.76 1.01 0.76 1.01 0.76 1.01 0.86 1.11 0.86 1.11 0.86 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 32 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 18 USPF Static Pool Cumulative Obligor Default Rates By Rating Category, 1986-2008 (%) (cont.) 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: BB 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 1068 1114 1185 1297 1459 1597 1624 1615 1646 1685 1874 2099 1596 1628 1626 1728 1877 1790 1741 1841 1944 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.01 0.01 0.02 0.00 0.00 0.10 0.04 0.04 0.07 0.00 0.00 0.30 0.04 0.08 0.09 0.06 0.00 0.30 0.05 0.13 0.13 0.10 0.00 0.50 0.05 0.17 0.14 0.18 0.00 0.50 0.04 0.21 0.17 0.19 0.06 0.67 0.04 0.24 0.22 0.19 0.06 0.91 0.02 0.26 0.22 0.21 0.13 0.91 0.02 0.28 0.24 0.24 0.13 1.01 0.01 0.29 0.25 0.26 0.13 1.01 0.02 0.31 0.25 0.27 0.13 1.01 0.02 0.33 0.26 0.32 0.13 1.01 0.02 0.35 0.28 0.30 0.13 1.01 0.02 0.37 0.30 0.33 0.13 1.11 0.01 0.37 0.31 0.39 0.13 1.11 0.09 0.00 0.00 0.08 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.10 0.13 0.06 0.00 0.00 0.00 0.06 0.00 0.05 0.09 0.00 0.08 0.08 0.21 0.06 0.00 0.00 0.00 0.06 0.05 0.19 0.13 0.06 0.00 0.00 0.05 0.06 0.06 0.19 0.00 0.08 0.31 0.21 0.06 0.00 0.00 0.06 0.18 0.16 0.24 0.13 0.06 0.00 0.06 0.05 0.11 0.37 0.00 0.34 0.31 0.21 0.06 0.00 0.06 0.18 0.24 0.16 0.24 0.19 0.06 0.06 0.06 0.11 0.37 0.18 0.34 0.31 0.21 0.06 0.06 0.19 0.18 0.24 0.16 0.24 0.19 0.06 0.06 0.12 0.56 0.18 0.34 0.31 0.21 0.13 0.18 0.19 0.18 0.24 0.16 0.24 0.19 0.06 0.12 0.56 0.18 0.34 0.31 0.27 0.13 0.18 0.19 0.18 0.24 0.16 0.24 0.19 0.18 0.56 0.18 0.34 0.39 0.27 0.13 0.18 0.19 0.18 0.24 0.16 0.24 0.31 0.56 0.18 0.42 0.39 0.27 0.13 0.18 0.19 0.18 0.24 0.16 0.33 0.56 0.27 0.42 0.39 0.27 0.13 0.18 0.19 0.18 0.24 0.27 0.66 0.27 0.42 0.39 0.27 0.13 0.18 0.19 0.18 0.36 0.66 0.27 0.42 0.39 0.27 0.13 0.18 0.19 0.30 0.66 0.27 0.42 0.39 0.27 0.13 0.18 0.25 0.66 0.27 0.42 0.39 0.27 0.13 0.25 54 54 55 54 53 65 66 56 62 62 55 52 47 55 0.00 0.00 0.00 3.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.82 3.70 0.00 1.54 0.00 1.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.82 3.70 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 0.00 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 1.85 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.82 1.85 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 2.13 1.85 0.00 1.82 5.56 1.89 1.54 0.00 1.79 0.00 0.00 0.00 0.00 1.85 0.00 1.82 5.56 1.89 1.54 3.03 1.79 0.00 0.00 0.00 1.85 0.00 1.82 5.56 1.89 1.54 3.03 1.79 0.00 0.00 1.85 0.00 1.82 5.56 1.89 1.54 3.03 1.79 0.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 33 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 18 USPF Static Pool Cumulative Obligor Default Rates By Rating Category, 1986-2008 (%) (cont.) 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: B 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev 46 49 54 63 82 80 95 101 113 0.00 0.00 1.85 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.20 0.83 0.00 0.00 3.70 0.37 0.57 1.01 0.00 0.00 3.70 0.40 0.97 1.09 1.05 0.00 3.70 0.17 1.14 1.35 1.39 0.00 5.56 0.19 1.32 1.38 1.79 0.00 5.56 0.20 1.52 1.43 1.80 0.00 5.56 0.11 1.63 1.51 1.79 0.00 5.56 0.00 1.63 1.44 1.66 0.00 5.56 0.00 1.63 1.47 1.54 0.00 5.56 0.13 1.76 1.47 1.66 0.00 5.56 0.00 1.76 1.52 1.54 0.00 5.56 0.00 1.76 1.56 0.77 0.00 5.56 0.32 2.07 1.60 1.79 0.00 5.56 0.00 2.07 1.59 1.80 0.00 5.56 0.00 2.07 1.56 1.82 0.00 5.56 0.00 2.04 1.85 0.00 0.00 0.00 0.00 0.99 2.17 2.04 1.85 0.00 0.00 0.00 1.05 2.17 2.04 1.85 0.00 0.00 1.25 2.17 2.04 1.85 0.00 2.44 2.17 2.04 1.85 3.17 2.17 2.04 3.70 2.17 2.04 2.17 16 20 17 17 13 15 14 22 16 15 16 17 14 13 11 17 26 21 31 26 26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.85 1.46 1.46 4.63 0.00 0.00 0.00 0.00 7.69 6.67 0.00 4.55 6.25 0.00 0.00 5.88 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.57 3.01 7.00 0.00 0.00 0.00 5.88 7.69 6.67 0.00 9.09 6.25 0.00 0.00 5.88 0.00 0.00 0.00 0.00 0.00 0.00 3.23 0.00 0.00 0.00 5.88 7.69 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.69 0.00 0.00 0.00 4.76 0.00 0.00 5.88 5.88 0.00 5.00 5.88 6.25 5.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 5.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 5.88 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 5.88 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 7.69 15.38 15.38 15.38 15.38 15.38 15.38 15.38 15.38 15.38 15.38 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.69 0.00 0.00 0.00 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.69 0.00 0.00 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.69 0.00 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.69 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.14 9.09 6.25 0.00 0.00 5.88 0.00 7.14 9.09 6.25 0.00 0.00 5.88 7.14 9.09 6.25 0.00 0.00 7.14 9.09 6.25 0.00 7.14 9.09 6.25 7.14 9.09 6.67 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 19 10.53 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 15.79 10 20.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00 0.86 3.84 7.12 0.95 4.75 7.09 0.68 5.40 7.36 0.75 6.12 7.54 0.81 6.88 7.37 0.43 7.28 7.29 0.45 7.70 7.44 0.00 7.70 5.21 0.00 7.70 4.89 0.00 7.70 5.02 0.00 7.70 4.43 0.00 7.70 3.35 0.00 7.70 3.17 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 34 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 18 USPF Static Pool Cumulative Obligor Default Rates By Rating Category, 1986-2008 (%) (cont.) Median Min Max Rating: CCC/C 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Table 19 0.00 0.00 0.00 0.00 0.00 0.00 5.32 0.00 5.88 0.00 5.88 0.00 6.25 0.00 7.42 0.00 9.09 0.00 8.12 0.00 9.09 0.00 9.55 10.00 10.88 11.76 0.00 0.00 6.25 6.25 20.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00 15.79 15.79 15.79 15.79 15.79 15.79 4 8 0.00 0.00 0.00 25.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 7 28.57 28.57 42.86 57.14 57.14 57.14 57.14 57.14 57.14 57.14 57.14 57.14 57.14 57.14 57.14 0.00 12.50 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 10 10.00 20.00 20.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 40.00 9 33.33 33.33 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 55.56 11 5 6 4 7 6 11 10 5 9.09 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 27.27 0.00 0.00 0.00 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 40.00 40.00 40.00 15 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 7 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 42.86 42.86 42.86 42.86 42.86 0.00 33.33 33.33 33.33 33.33 33.33 0.00 50.00 50.00 50.00 50.00 50.00 0.00 28.57 28.57 28.57 28.57 28.57 0.00 33.33 33.33 33.33 33.33 33.33 9 11.11 22.22 22.22 22.22 22.22 44.44 44.44 44.44 44.44 44.44 9.09 27.27 27.27 27.27 27.27 27.27 6 33.33 33.33 33.33 66.67 66.67 66.67 66.67 66.67 0.00 30.00 30.00 30.00 30.00 30.00 0.00 60.00 60.00 60.00 60.00 60.00 6 50.00 50.00 50.00 50.00 50.00 4 25.00 25.00 25.00 25.00 5 20.00 20.00 20.00 4 0.00 25.00 13.77 6.57 5.60 5.26 2.86 2.02 2.11 2.33 2.44 2.78 3.08 3.39 0.00 0.00 0.00 8 12.50 13.77 19.44 23.95 27.95 30.01 31.42 32.87 34.43 36.03 37.80 39.72 41.76 41.76 41.76 41.76 14.41 16.78 18.63 21.56 22.23 22.53 20.79 20.03 17.36 15.45 14.80 10.61 10.45 10.57 10.86 9.09 20.00 22.22 25.00 27.27 28.64 30.00 30.95 33.33 33.33 33.33 40.00 40.00 40.00 40.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 25.00 25.00 25.00 50.00 60.00 60.00 66.67 66.67 66.67 66.67 66.67 57.14 57.14 57.14 57.14 57.14 57.14 57.14 USPF Obligor Default Rates By Rating Modifier Year 1986 1987 1988 1989 1990 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 BB0.00 0.00 0.00 0.00 B+ 0.00 0.00 0.00 0.00 0.00 B B- CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 28.57 0.00 10.00 33.33 7.14 0.00 25.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 35 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 19 USPF Obligor Default Rates By Rating Modifier (cont.) 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Mean Median Std Dev Min Max Table 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.03 0.00 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.24 0.06 0.00 0.22 0.00 1.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.53 0.00 0.00 0.00 1.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 33.33 0.00 14.29 0.00 0.00 0.00 0.00 11.11 9.09 33.33 0.00 0.00 50.00 25.00 20.00 0.00 12.50 12.59 9.09 14.41 0.00 50.00 0.00 14.29 0.00 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 2.28 0.00 0.00 0.00 5.35 0.00 0.00 0.00 0.00 50.00 20.00 0.00 5.10 10.20 7.14 0.00 25.00 50.00 20.00 0.00 Housing Static Pool Default Rates, 1986-2008 (%) Rating 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 Issuers Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 Y9 Y10 Y11 Y12 Y13 Y14 Y15 4329 0.00 0.02 0.05 0.05 0.05 0.09 0.12 0.21 0.23 0.23 0.23 0.23 0.23 0.23 0.23 4573 0.02 0.04 0.04 0.04 0.33 0.35 0.44 0.46 0.46 0.46 0.46 0.46 0.48 0.48 0.48 4792 0.02 0.02 0.02 0.29 0.31 0.40 0.42 0.42 0.42 0.42 0.42 0.44 0.44 0.44 0.44 5163 0.00 0.00 0.25 0.27 0.35 0.37 0.37 0.37 0.37 0.37 0.39 0.39 0.39 0.39 0.39 4848 0.00 0.39 0.41 0.50 0.52 0.52 0.52 0.52 0.52 0.54 0.54 0.54 0.54 0.54 0.54 5057 0.40 0.42 0.49 0.51 0.53 0.53 0.53 0.53 0.55 0.55 0.55 0.55 0.55 0.55 0.55 5018 0.02 0.10 0.12 0.12 0.12 0.12 0.12 0.14 0.14 0.14 0.14 0.14 0.14 0.14 0.14 5010 0.00 0.00 0.00 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 4811 0.00 0.00 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 4968 0.00 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 5180 0.00 0.00 0.04 0.04 0.04 0.06 0.12 0.12 0.12 0.12 0.12 0.12 0.12 5535 0.00 0.07 0.07 0.07 0.09 0.18 0.20 0.20 0.22 0.23 0.23 0.23 5738 0.00 0.00 0.00 0.02 0.10 0.16 0.19 0.21 0.24 0.26 0.26 5857 0.00 0.00 0.02 0.10 0.15 0.19 0.20 0.24 0.27 0.27 6158 0.00 0.02 0.10 0.15 0.18 0.24 0.28 0.31 0.31 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 36 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 20 Housing Static Pool Default Rates, 1986-2008 (%) (cont.) 2001 2002 2003 2004 2005 2006 2007 2008 Marginal Avg Cumulative Avg Std Dev Median Min Max Table 21 6546 0.00 0.06 0.11 0.14 0.20 0.23 0.26 0.26 6854 0.06 0.10 0.16 0.22 0.25 0.28 0.28 7106 0.00 0.06 0.13 0.17 0.20 0.21 7087 0.03 0.08 0.13 0.16 0.17 6974 0.01 0.04 0.09 0.10 6720 0.01 0.06 0.07 8997 0.03 0.03 9577 0.00 0.02 0.04 0.04 0.04 0.04 0.03 0.02 0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.07 0.11 0.14 0.18 0.21 0.23 0.24 0.25 0.26 0.26 0.26 0.26 0.26 0.26 0.08 0.11 0.13 0.15 0.16 0.16 0.17 0.17 0.18 0.19 0.19 0.20 0.21 0.20 0.18 0.00 0.04 0.08 0.12 0.17 0.19 0.20 0.21 0.24 0.23 0.23 0.23 0.31 0.39 0.41 0.00 0.00 0.00 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.40 0.42 0.49 0.51 0.53 0.53 0.53 0.53 0.55 0.55 0.55 0.55 0.55 0.55 0.55 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) Issuers Rating: AAA 1986 1097 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1156 1209 1337 1287 1418 1598 1731 1620 1866 2124 2456 2921 3124 3359 3618 3939 4084 4028 4130 3770 4390 4401 Y1 0.00 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y2 0.09 0.09 0.00 0.00 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y3 0.09 0.09 0.00 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y4 0.09 0.09 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y5 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y6 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y7 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y8 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y9 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y10 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y11 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y12 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Y13 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 0.00 Y14 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 0.00 Y15 0.09 1.04 0.91 0.82 1.32 0.00 0.00 0.00 0.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 37 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 21 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) (cont.) Marg Avg Cum Avg Std Dev Median Min Max Rating: AA 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: A 1986 1987 1988 1989 1990 0.00 0.00 0.02 0.00 0.00 0.09 0.03 0.03 0.28 0.00 0.00 1.32 0.02 0.05 0.33 0.00 0.00 1.32 0.02 0.08 0.38 0.00 0.00 1.32 0.03 0.10 0.43 0.00 0.00 1.32 0.00 0.10 0.44 0.00 0.00 1.32 0.00 0.10 0.45 0.00 0.00 1.32 0.00 0.10 0.46 0.00 0.00 1.32 0.00 0.10 0.47 0.00 0.00 1.32 0.00 0.10 0.48 0.00 0.00 1.32 0.00 0.10 0.49 0.00 0.00 1.32 0.00 0.10 0.50 0.00 0.00 1.32 0.00 0.10 0.51 0.05 0.00 1.32 0.00 0.10 0.52 0.09 0.00 1.32 0.00 0.10 0.52 0.46 0.00 1.32 1858 1907 1966 1997 1859 1920 1540 1568 1589 1702 1849 1970 1858 1892 1994 2074 2105 2174 2204 2080 2232 3288 3599 0.00 0.00 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.03 0.00 0.00 0.09 0.00 0.05 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.04 0.00 0.00 0.01 0.41 0.00 0.00 1.32 0.05 0.05 0.05 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.04 0.05 0.05 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.05 0.10 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.11 0.10 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.11 0.10 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.11 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.05 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.05 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.16 0.16 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.41 0.02 0.00 1.32 0.01 0.02 0.41 0.02 0.00 1.32 0.01 0.03 0.41 0.03 0.00 1.32 0.01 0.03 0.41 0.00 0.00 1.32 0.00 0.04 0.41 0.00 0.00 1.32 0.01 0.04 0.41 0.00 0.00 1.32 0.01 0.05 0.41 0.00 0.00 1.32 0.00 0.05 0.41 0.00 0.00 1.32 0.00 0.05 0.41 0.00 0.00 1.32 0.00 0.05 0.41 0.00 0.00 1.32 0.00 0.05 0.41 0.05 0.00 1.32 0.00 0.05 0.41 0.09 0.00 1.32 0.00 0.05 0.41 0.10 0.00 1.32 1272 1374 1493 1552 1444 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.06 0.07 0.00 0.00 0.07 0.06 0.21 0.00 0.07 0.13 0.19 0.21 0.08 0.15 0.40 0.19 0.21 0.16 0.44 0.47 0.19 0.21 0.47 0.44 0.47 0.19 0.21 0.47 0.44 0.47 0.19 0.21 0.47 0.44 0.47 0.19 0.21 0.47 0.44 0.47 0.26 0.21 0.47 0.44 0.54 0.26 0.21 0.47 0.51 0.54 0.26 0.21 0.47 0.51 0.54 0.26 0.21 0.47 0.51 0.54 0.26 0.21 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 38 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 21 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) (cont.) 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: BBB 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 1421 1603 1471 1391 1221 1065 978 847 729 676 716 691 718 709 633 583 1027 1248 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.14 0.00 0.00 0.00 0.00 0.10 0.00 0.01 0.01 0.02 0.00 0.00 0.09 0.03 0.04 0.30 0.00 0.00 1.32 0.04 0.09 0.31 0.00 0.00 1.32 0.04 0.13 0.31 0.00 0.00 1.32 0.05 0.17 0.32 0.00 0.00 1.32 0.06 0.23 0.32 0.00 0.00 1.32 0.05 0.28 0.32 0.00 0.00 1.32 0.03 0.30 0.33 0.00 0.00 1.32 0.01 0.31 0.34 0.00 0.00 1.32 0.00 0.31 0.34 0.00 0.00 1.32 0.01 0.31 0.35 0.00 0.00 1.32 0.01 0.32 0.35 0.00 0.00 1.32 0.01 0.33 0.36 0.02 0.00 1.32 0.00 0.33 0.36 0.05 0.00 1.32 0.00 0.33 0.37 0.05 0.00 1.32 0.00 0.12 0.00 0.00 0.00 0.00 0.10 0.00 0.00 0.00 0.14 0.29 0.14 0.00 0.00 0.17 0.10 0.14 0.12 0.00 0.07 0.00 0.19 0.10 0.00 0.00 0.15 0.28 0.43 0.14 0.00 0.16 0.17 0.14 0.12 0.07 0.07 0.00 0.19 0.10 0.00 0.27 0.30 0.42 0.43 0.28 0.00 0.16 0.14 0.12 0.07 0.07 0.00 0.19 0.10 0.24 0.41 0.44 0.56 0.58 0.28 0.00 0.14 0.12 0.07 0.07 0.00 0.19 0.31 0.35 0.55 0.59 0.70 0.58 0.28 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.47 0.55 0.74 0.70 0.58 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.47 0.69 0.74 0.70 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.59 0.69 0.74 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.59 0.69 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.59 0.14 0.12 0.07 0.07 0.00 0.28 0.31 0.14 0.12 0.07 0.07 0.00 0.28 0.14 0.12 0.07 0.07 0.00 0.14 0.12 0.07 0.07 101 128 100 247 201 213 202 197 179 159 127 118 103 103 114 110 91 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.63 0.00 0.85 0.00 0.00 0.00 1.82 2.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.63 0.00 0.85 0.00 0.00 1.75 2.73 4.40 0.00 0.00 0.00 0.40 0.00 0.00 0.00 0.00 0.00 0.63 0.00 0.85 0.97 2.91 2.63 3.64 5.49 0.00 0.00 0.00 1.21 0.50 0.00 0.00 0.00 0.00 0.63 0.00 1.69 3.88 3.88 3.51 5.45 5.49 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 0.79 4.24 4.85 4.85 5.26 5.45 7.69 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 4.24 5.83 5.83 5.26 7.27 7.69 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 4.24 6.80 5.83 7.02 7.27 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 5.08 6.80 7.77 7.02 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 5.08 7.77 7.77 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 5.08 7.77 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 5.08 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 2.36 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 0.63 0.00 0.00 0.00 1.62 0.50 0.00 0.00 0.00 0.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 39 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 21 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) (cont.) 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: BB 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max 94 95 88 83 234 276 0.00 1.05 0.00 0.00 0.00 0.00 0.06 0.06 0.03 0.00 0.00 0.14 0.29 0.35 0.28 0.00 0.00 1.32 0.32 0.67 0.29 0.02 0.00 1.32 0.36 1.03 0.29 0.04 0.00 1.32 0.49 1.51 0.30 0.05 0.00 1.32 0.43 1.94 0.32 0.06 0.00 1.32 0.24 2.18 0.33 0.05 0.00 1.32 0.13 2.30 0.34 0.05 0.00 1.32 0.13 2.43 0.34 0.05 0.00 1.32 0.05 2.48 0.33 0.05 0.00 1.32 0.00 2.48 0.33 0.05 0.00 1.32 0.00 2.48 0.34 0.05 0.00 1.32 0.00 2.48 0.34 0.05 0.00 1.32 0.00 2.48 0.35 0.07 0.00 1.32 0.00 2.48 0.36 0.10 0.00 1.32 2.13 2.11 1.14 0.00 0.00 3.19 4.21 2.27 0.00 4.26 5.26 2.27 6.38 5.26 6.38 1 3 19 23 52 53 31 24 16 10 11 6 7 12 19 17 25 41 29 33 34 32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 0.00 2.44 0.00 0.00 0.00 0.00 3.81 3.81 0.15 0.00 0.00 1.10 0.00 0.00 0.00 0.00 1.92 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.92 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.77 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 1.89 0.00 0.00 79 25.32 25.32 27.85 29.11 30.38 30.38 30.38 30.38 31.65 31.65 31.65 31.65 31.65 31.65 31.65 0.00 18.18 18.18 18.18 18.18 18.18 27.27 27.27 27.27 27.27 27.27 27.27 0.00 16.67 16.67 16.67 16.67 16.67 16.67 0.00 14.29 14.29 28.57 28.57 28.57 28.57 28.57 28.57 8.33 25.00 33.33 33.33 41.67 41.67 41.67 41.67 5.26 10.53 10.53 15.79 15.79 15.79 15.79 5.88 11.76 23.53 23.53 23.53 23.53 4.00 12.00 12.00 12.00 16.00 4.88 0.00 3.03 0.00 1.53 5.28 0.50 0.00 0.00 2.20 2.29 7.45 0.83 0.01 0.00 4.40 1.60 8.93 1.08 0.05 0.00 5.49 0.99 1.36 0.05 0.00 6.38 0.83 1.57 0.08 0.00 7.69 0.30 1.63 0.09 0.00 7.69 0.00 1.59 0.07 0.00 7.27 0.32 1.56 0.07 0.00 7.77 0.33 1.46 0.05 0.00 7.77 0.00 1.20 0.05 0.00 7.77 0.00 0.81 0.05 0.00 5.08 0.00 0.55 0.05 0.00 2.48 0.00 0.49 0.07 0.00 2.48 0.00 0.50 0.07 0.00 2.48 4.88 3.45 3.03 7.32 3.45 9.76 9.83 10.58 10.85 10.85 11.13 11.43 11.43 11.43 11.43 11.43 11.43 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 40 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 21 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) (cont.) Rating: B 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max Rating: CCC/C 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 0 5 5 7 5 6 22 12 8 4 5 2 3 2 3 9 11 11 10 14 19 24 21 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 0.00 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 4.55 13.64 13.64 13.64 13.64 13.64 13.64 18.18 18.18 18.18 18.18 18.18 18.18 18.18 18.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 8.33 0.00 2.40 2.40 2.37 0.00 0.00 3.85 6.16 3.06 0.00 0.00 2.61 4.41 0.02 0.00 1.52 5.36 0.05 0.00 0.00 6.10 0.07 0.00 0.00 6.83 0.10 0.00 0.00 7.10 0.10 0.00 1.08 6.91 0.09 0.00 0.00 6.97 0.09 0.00 0.00 5.76 0.06 0.00 0.00 5.08 0.05 0.00 0.00 4.83 0.05 0.00 0.00 3.90 0.05 0.00 0.00 3.99 0.06 0.00 0.00 4.10 0.07 0.00 8.61 10.00 10.00 10.00 10.00 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 18.18 18.18 27.27 27.27 27.27 27.27 0.00 18.18 18.18 18.18 18.18 7.14 8.33 7.14 14.29 0.00 20.00 20.00 20.00 20.00 5.26 10.53 25.32 25.32 27.85 33.33 33.33 41.67 41.67 41.67 41.67 31.65 31.65 31.65 31.65 31.65 31.65 0 2 3 3 5 6 15 15 11 N/A 0.00 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00 7 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 0.00 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 21 19.05 23.81 28.57 28.57 28.57 28.57 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 33.33 6.67 13.33 13.33 13.33 13.33 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 6.67 9.09 6.67 9.09 6.67 6.67 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 13.33 9.09 18.18 18.18 18.18 18.18 18.18 18.18 18.18 18.18 18.18 18.18 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 41 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 21 Housing Static Pool Cumulative Default Rates By Rating Category, 1986-2008 (%) (cont.) 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Marg Avg Cum Avg Std Dev Median Min Max N/A-not applicable 8 0.00 0.00 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 8 25.00 37.50 37.50 37.50 37.50 37.50 37.50 37.50 37.50 37.50 37.50 6 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9 11.11 22.22 22.22 22.22 22.22 22.22 22.22 22.22 8 12.50 12.50 12.50 12.50 12.50 12.50 12.50 15 20.00 20.00 26.67 26.67 26.67 26.67 14 14.29 28.57 28.57 28.57 28.57 13 38.46 46.15 46.15 46.15 11 18.18 18.18 18.18 13 14 0.00 7.14 12.26 3.16 0.00 0.00 4.62 4.44 0.00 0.00 1.96 5.72 0.02 0.00 1.42 6.76 0.05 0.00 0.76 7.22 0.05 0.00 0.83 7.91 0.08 0.00 0.92 8.05 0.08 0.00 0.00 7.74 0.07 0.00 0.00 7.86 0.06 0.00 0.00 6.63 0.05 0.00 0.00 6.25 0.05 0.00 0.00 6.18 0.05 0.00 0.00 5.74 0.05 0.00 0.00 5.89 0.05 0.00 0.00 6.05 0.07 0.00 12.26 16.32 17.96 19.13 19.74 20.40 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 21.13 7.69 25.32 25.32 27.85 33.33 33.33 41.67 41.67 41.67 41.67 31.65 31.65 31.65 31.65 31.65 31.65 Table 22 Housing Issue Default Rates By Rating Modifier (%) Year 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.92 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00 BB- B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 B B- CCC/C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.29 0.00 19.05 6.67 9.09 0.00 0.00 25.00 16.67 0.00 11.11 12.50 20.00 14.29 0.00 29.85 0.00 0.00 10.00 0.00 0.00 100.00 0.00 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 42 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 22 Housing Issue Default Rates By Rating Modifier (%) (cont.) 2005 2006 2007 2008 Mean Median Std Dev Min Max Table 23 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.57 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.01 0.00 0.00 0.11 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.00 0.05 0.00 0.00 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.25 0.00 0.25 0.00 0.00 1.92 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.10 0.00 0.45 0.00 2.22 0.00 0.00 0.00 0.00 0.20 0.00 0.93 0.00 4.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.69 0.00 6.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.35 0.00 0.00 0.00 20.39 0.00 0.00 0.00 9.09 0.00 0.00 0.00 8.70 0.00 0.00 0.00 1.42 0.00 0.00 0.00 3.20 0.00 0.00 0.00 38.46 18.18 0.00 7.14 9.24 7.14 10.17 0.00 38.46 0.00 29.85 100.00 0.00 10.00 0.00 USPF Gini Coefficients Time Horizon Category USPF Obligors Housing Issues Table 24 One-Year Three-Year Five-Year Seven-Year 0.895 0.867 0.836 0.815 0.941 0.660 0.573 0.564 USPF Obligor Static Pool One-Year Transition Matrices (%) From/To Issuers 1986 Static Pool AAA 53 AA A BBB BB B CCC/C 992 2993 991 54 16 4 AAA AA A BBB 0.00 1.41 0.00 0.10 1.00 BB 0.00 0.00 0.07 0.71 B CCC/C 0.00 0.00 0.00 0.20 5.56 0.00 0.00 0.03 0.20 0.00 0.00 D 0.00 0.00 0.00 0.00 0.00 0.00 0.00 NR 1.89 5.65 7.68 7.67 5.56 6.25 0.00 79.25 18.87 0.20 92.64 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 0.00 1.54 89.68 0.00 0.00 0.00 1.21 89.81 6.25 0.00 9.26 79.63 0.00 0.00 87.50 0.00 100.00 1987 Static Pool AAA 46 AA A BBB BB B CCC/C 1062 3023 1050 54 20 7 89.13 10.87 0.28 91.81 0.00 0.00 0.00 0.00 0.00 0.10 0.00 0.00 0.00 0.00 1.04 0.00 0.00 1.29 0.00 0.00 0.07 0.95 0.00 0.00 0.00 0.29 0.00 0.00 0.00 0.00 0.00 0.10 1.85 5.00 0.00 0.00 0.00 0.10 0.00 0.00 6.87 9.16 7.33 5.00 0.00 0.96 88.52 0.00 0.00 2.10 89.05 0.00 20.00 0.00 9.26 74.07 0.00 0.00 14.81 0.00 70.00 71.43 28.57 1988 Static Pool AAA 44 AA A BBB BB 1095 2953 1068 55 97.73 0.00 0.00 0.00 2.27 0.00 1.46 0.00 0.00 0.88 0.00 0.00 0.03 0.28 0.00 0.00 0.00 0.19 1.82 0.00 0.00 0.00 0.09 1.82 0.00 0.00 0.00 0.00 0.00 0.00 3.11 6.30 6.84 9.09 0.09 95.34 0.28 0.00 0.88 91.91 0.00 1.40 90.92 7.27 80.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 43 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 24 USPF Obligor Static Pool One-Year Transition Matrices (%) (cont.) B CCC/C 17 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 82.35 0.00 0.00 5.88 87.50 0.00 5.88 0.00 12.50 1989 Static Pool AAA 46 AA A BBB BB B CCC/C 1175 2962 1114 54 17 10 97.83 0.00 0.00 0.00 0.00 0.00 2.17 0.00 0.26 0.00 0.94 0.44 0.00 0.00 0.00 0.54 0.00 0.00 0.00 0.00 1.85 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.70 0.00 3.83 4.12 3.95 7.41 0.09 94.89 0.00 0.00 0.00 0.00 1.22 94.16 0.00 5.88 0.00 1.80 93.72 0.00 0.00 3.70 83.33 0.00 5.88 70.59 0.00 17.65 70.00 10.00 20.00 1990 Static Pool AAA 48 AA A BBB BB B CCC/C 1265 3114 1185 53 13 9 97.92 0.00 0.00 0.00 0.00 0.00 2.08 0.00 2.21 0.00 0.00 2.54 0.00 0.00 0.10 0.93 0.00 0.00 0.03 0.17 7.55 0.00 0.00 0.00 0.00 0.51 0.00 7.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.13 3.60 5.32 7.55 7.69 0.16 95.49 0.17 0.00 0.00 0.00 0.55 93.19 0.00 0.00 1.01 91.90 0.00 15.38 0.00 84.91 0.00 11.11 7.69 61.54 44.44 33.33 11.11 1991 Static Pool AAA 50 AA A BBB BB B CCC/C 1392 3231 1297 65 15 11 92.00 0.00 0.00 0.00 0.00 0.00 8.00 0.00 5.89 0.00 0.00 1.33 0.00 0.00 0.09 0.23 0.00 0.00 0.00 0.08 0.00 0.00 0.00 0.00 0.00 0.23 1.54 6.67 90.91 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00 2.73 4.67 5.01 7.69 6.67 0.00 0.00 91.38 0.00 0.00 0.00 0.00 0.62 93.28 0.00 0.00 0.00 1.16 93.29 0.00 0.00 3.08 87.69 0.00 0.00 86.67 1992 Static Pool AAA 46 100.00 AA A BBB BB B CCC/C 1458 3470 1459 66 14 15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.71 0.00 0.00 1.47 0.00 0.00 0.03 0.62 0.00 0.00 0.00 0.14 6.06 0.00 0.00 0.00 0.00 3.03 7.14 0.00 0.00 0.00 0.00 0.00 4.73 7.69 6.51 0.14 93.42 0.00 0.00 0.00 0.00 0.63 90.17 1.10 91.64 0.00 0.00 0.00 0.00 0.00 13.64 65.15 0.00 12.12 0.00 21.43 6.67 0.00 71.43 6.67 40.00 13.33 33.33 1993 Static Pool AAA 49 AA A BBB BB B 1562 3585 1597 56 22 97.96 0.00 0.00 0.00 0.00 2.04 0.00 0.70 0.00 0.00 0.59 0.00 0.00 0.00 0.63 0.00 0.00 0.00 0.06 5.36 0.00 0.00 0.00 0.06 0.00 4.55 0.00 0.00 0.00 8.19 0.06 91.04 0.00 0.00 0.00 0.42 88.51 0.00 0.00 0.00 10.49 0.00 10.77 0.00 12.50 0.00 9.09 2.13 86.35 3.57 78.57 0.00 27.27 59.09 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 44 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 24 USPF Obligor Static Pool One-Year Transition Matrices (%) (cont.) CCC/C 5 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 1994 Static Pool AAA 50 100.00 AA A BBB BB B CCC/C 1589 3591 1624 62 19 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.76 0.00 0.00 0.92 0.00 0.00 0.00 0.62 0.00 0.00 0.00 0.06 3.23 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 6.92 0.06 91.25 0.00 0.00 0.00 0.00 0.95 87.19 0.00 0.00 0.00 0.00 10.94 0.00 10.96 0.00 16.13 0.00 1.05 87.25 0.00 0.00 1.61 79.03 5.26 63.16 0.00 14.29 0.00 10.53 21.05 71.43 14.29 1995 Static Pool AAA 51 AA A BBB BB B CCC/C 1593 3416 1615 62 16 6 96.08 0.00 0.00 0.00 0.00 0.00 3.92 0.00 1.38 0.00 0.00 1.76 0.00 0.00 0.00 0.74 0.00 0.00 0.03 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 0.00 3.52 9.51 0.13 94.98 0.00 1.61 0.00 0.00 1.00 87.70 1.24 87.62 0.00 0.00 0.00 10.15 0.00 11.29 6.25 12.50 0.00 33.33 0.00 24.19 62.90 0.00 0.00 6.25 12.50 62.50 1996 Static Pool AAA 54 AA A BBB BB B CCC/C 1698 3356 1646 55 15 4 98.15 0.00 0.00 0.00 0.00 0.00 0.00 1.85 1.24 0.00 0.00 0.69 0.00 0.00 0.06 0.43 0.00 0.00 0.03 0.00 1.82 0.00 0.00 0.00 0.00 0.06 1.82 13.33 75.00 0.00 0.00 0.00 0.00 0.00 3.00 6.50 7.35 0.59 95.17 0.06 0.00 0.00 0.00 1.67 91.06 1.88 90.22 0.00 0.00 0.00 0.00 0.00 12.73 72.73 0.00 0.00 10.91 0.00 13.33 0.00 25.00 6.67 66.67 1997 Static Pool AAA 65 AA A BBB BB B CCC/C 1825 3513 1685 52 16 7 96.92 0.03 0.00 0.00 0.00 0.00 3.08 0.00 0.44 0.00 0.00 0.17 0.00 0.00 0.00 0.18 0.00 0.00 0.00 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.71 0.00 0.00 0.00 0.00 0.00 0.00 2.19 2.85 2.85 0.00 0.82 96.55 0.00 0.00 0.00 0.00 1.39 95.56 0.00 0.00 0.00 1.54 95.31 0.00 0.00 7.69 80.77 0.00 0.00 11.54 0.00 14.29 6.25 93.75 1998 Static Pool AAA 83 100.00 AA A BBB BB B CCC/C 2001 3951 1874 47 17 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 0.28 0.00 0.00 0.00 0.48 0.00 0.00 0.08 0.00 2.13 0.00 0.00 0.00 0.05 2.13 5.88 0.00 0.00 0.00 0.00 0.00 3.05 4.78 6.88 0.85 95.90 0.05 0.00 0.00 0.00 1.80 93.07 2.13 0.00 0.00 0.96 91.57 4.26 76.60 0.00 0.00 0.00 12.77 0.00 11.76 0.00 0.00 5.88 17.65 58.82 0.00 100.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 45 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 24 USPF Obligor Static Pool One-Year Transition Matrices (%) (cont.) 1999 Static Pool AAA 103 AA A BBB BB B CCC/C 2208 4472 2099 55 14 9 98.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.50 0.00 0.00 0.45 0.00 0.00 0.00 0.62 0.00 0.00 0.02 0.10 7.27 0.00 0.00 0.00 0.00 0.00 0.00 28.57 0.00 1.94 0.41 73.51 0.00 0.00 0.00 0.00 0.00 25.59 0.00 34.32 0.00 30.35 0.00 30.91 0.00 57.14 1.07 64.13 0.00 0.00 0.00 6.96 61.98 0.00 0.00 5.45 56.36 0.00 0.00 14.29 77.78 11.11 11.11 2000 Static Pool AAA 115 AA A BBB BB B CCC/C 1874 3669 1596 46 10 11 99.13 0.03 0.00 0.00 0.00 0.00 0.87 0.00 0.37 0.00 0.00 0.33 0.00 0.00 0.00 0.44 0.00 0.00 0.00 0.19 4.35 0.00 0.00 0.00 0.06 0.00 36.36 0.00 0.00 0.00 0.00 0.00 0.00 2.72 3.38 5.51 4.35 0.96 95.94 0.13 0.00 0.00 6.08 90.19 4.35 0.00 2.88 90.79 0.00 0.00 2.17 84.78 0.00 10.00 0.00 50.00 9.09 18.18 10.00 20.00 10.00 9.09 27.27 2001 Static Pool AAA 137 AA A BBB BB B CCC/C 2282 3871 1628 49 13 6 99.27 0.23 0.00 0.00 0.00 0.00 0.00 0.00 2.59 0.00 0.00 0.46 0.00 0.00 0.03 0.68 0.00 0.00 0.00 0.06 2.04 0.00 0.00 0.00 0.10 0.00 2.04 15.38 0.00 0.00 0.00 0.06 0.00 0.73 3.99 3.77 3.62 6.12 1.80 91.63 0.06 0.00 0.00 0.00 8.21 87.19 0.00 0.00 0.00 8.05 87.47 0.00 0.00 4.08 85.71 0.00 0.00 69.23 0.00 15.38 50.00 33.33 16.67 2002 Static Pool AAA 198 AA A BBB BB B CCC/C 2682 4131 1626 54 11 10 98.48 0.00 0.00 0.00 0.00 0.00 0.00 0.51 1.19 0.00 0.00 1.14 0.00 0.00 0.00 0.98 0.00 0.00 0.00 0.18 1.85 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 1.85 1.01 5.74 5.42 5.41 3.70 0.52 92.54 0.00 0.00 0.00 0.00 2.71 90.73 0.00 0.00 0.00 2.89 90.53 0.00 0.00 9.26 83.33 0.00 81.82 0.00 40.00 0.00 18.18 0.00 10.00 2003 Static Pool AAA 216 AA A BBB BB B CCC/C 2906 4454 1728 63 17 5 97.69 0.00 0.00 0.00 0.00 0.00 0.93 0.00 1.34 0.00 0.00 2.38 0.00 0.00 0.16 1.16 0.00 0.00 0.00 0.17 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 1.39 5.37 5.70 6.71 1.59 0.00 0.00 0.31 92.98 0.06 0.00 0.00 0.00 1.91 89.83 0.00 0.00 0.00 2.89 88.95 7.94 79.37 11.11 0.00 11.76 88.24 0.00 0.00 0.00 100.00 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 46 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 24 USPF Obligor Static Pool One-Year Transition Matrices (%) (cont.) 2004 Static Pool AAA 227 AA A BBB BB B CCC/C 3163 4770 1877 82 26 6 99.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.56 0.00 0.03 0.61 0.00 0.00 0.02 0.75 0.00 0.00 0.00 0.00 2.44 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.44 6.39 6.35 7.46 8.54 0.00 0.35 90.67 0.05 0.00 0.00 0.00 1.47 91.53 6.66 85.08 0.00 0.00 3.85 0.00 1.22 13.41 74.39 3.85 65.38 0.00 16.67 0.00 26.92 33.33 50.00 2005 Static Pool AAA 248 AA A BBB BB B CCC/C 3207 5156 1790 80 21 4 97.58 0.00 0.00 0.00 0.00 0.00 0.81 0.00 0.87 0.00 0.00 0.68 0.00 0.00 0.04 0.89 0.00 0.00 0.12 0.34 2.50 0.00 0.40 0.00 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.21 4.46 5.88 8.04 3.75 9.52 0.00 0.56 94.11 0.00 0.00 0.00 0.00 3.20 90.09 4.13 86.54 0.00 0.00 0.00 0.00 0.00 10.00 83.75 0.00 9.52 80.95 75.00 25.00 2006 Static Pool AAA 262 AA A BBB BB B CCC/C 3323 5137 1741 95 31 5 95.80 0.06 0.00 0.00 0.00 0.00 0.38 0.00 0.63 0.00 0.03 0.37 0.00 0.00 0.00 0.69 0.00 0.00 0.00 0.00 3.16 0.00 0.00 0.00 0.00 0.00 1.05 3.23 0.00 0.00 0.00 0.00 0.00 0.00 3.82 4.42 4.94 4.77 6.32 9.68 1.78 93.14 0.00 0.00 0.00 0.00 2.94 91.69 0.00 0.00 0.00 4.31 90.24 8.42 81.05 0.00 0.00 0.00 16.13 70.97 40.00 20.00 40.00 2007 Static Pool AAA 329 AA A BBB BB B CCC/C 3498 5414 1841 101 26 4 97.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.40 0.00 0.00 0.39 0.00 0.00 0.00 0.81 0.00 0.00 0.04 0.27 1.98 0.00 0.00 0.02 0.05 0.00 7.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.43 3.14 2.77 3.80 7.92 7.69 0.00 0.89 95.57 0.05 0.00 0.00 0.00 2.14 94.64 2.77 92.23 0.00 0.00 0.00 10.89 79.21 0.00 0.00 3.85 15.38 65.38 0.00 100.00 2008 Static Pool AAA 369 AA A BBB BB B CCC/C 3713 5734 1944 113 26 8 99.46 0.03 0.00 0.00 0.00 0.00 0.00 0.27 0.27 0.00 0.00 0.45 0.00 0.00 0.00 0.62 0.00 0.05 0.03 0.10 1.77 0.00 0.00 0.00 0.00 0.00 0.88 3.85 0.00 0.03 0.02 0.05 0.00 3.85 0.27 2.91 1.52 1.90 4.42 0.00 2.80 93.94 9.07 88.87 0.00 0.00 0.00 3.85 0.31 14.66 82.36 0.00 4.42 88.50 0.00 3.85 84.62 0.00 12.50 12.50 50.00 12.50 12.50 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 47 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 25 Housing Issue Static Pool One-Year Transition Matrices (%) From/To Issuers AAA 1986 Static Pool AAA 1097 95.08 AA A BBB BB B CCC/C 1858 1272 101 1 0 0 0.08 0.00 0.00 0.00 0.00 AA 2.10 A BBB 0.18 1.08 0.09 0.16 1.73 BB 0.00 0.05 0.08 0.00 0.00 0.00 B CCC/C 0.00 0.00 0.24 1.98 0.00 0.00 0.00 0.00 0.05 0.08 0.00 0.00 0.00 0.00 D 0.00 0.00 0.00 0.00 0.00 0.00 0.00 NR 2.55 1.29 0.86 0.00 0.00 0.00 0.00 0.16 97.20 0.00 0.00 0.00 0.00 0.08 96.86 0.00 0.00 0.00 0.00 98.02 0.00 0.00 0.00 100.00 1987 Static Pool AAA 1156 92.82 AA A BBB BB B CCC/C 1907 1374 128 3 5 2 0.58 0.00 0.00 0.00 0.00 4.76 1.56 2.15 0.00 0.05 0.15 0.00 0.05 0.80 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.78 0.00 0.00 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.78 0.47 1.53 3.13 0.00 0.00 0.00 0.26 97.01 0.00 96.94 0.00 0.00 0.00 0.00 0.00 0.00 1.56 19.53 75.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00 0.00 100.00 1988 Static Pool AAA 1209 96.77 AA A BBB BB B CCC/C 1966 1493 100 19 5 3 0.07 0.00 0.00 0.00 0.00 0.58 0.83 0.76 0.00 1.53 8.44 0.00 0.00 0.00 0.17 0.00 0.07 3.00 89.47 0.00 0.00 0.05 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 0.00 33.33 0.00 0.05 0.00 0.00 0.00 0.00 1.65 2.03 2.28 9.00 0.00 0.00 0.25 95.32 0.00 0.00 0.00 0.00 0.07 89.02 0.00 0.00 0.00 0.00 88.00 0.00 100.00 0.00 66.67 1989 Static Pool AAA 1337 84.59 AA A BBB BB B CCC/C 1997 1552 247 23 7 3 0.26 0.40 0.00 0.00 0.00 0.07 0.00 0.85 0.00 0.15 0.71 0.00 0.00 0.00 0.00 0.05 0.39 8.91 95.65 14.29 0.00 0.00 0.00 0.00 0.81 4.35 28.57 0.00 0.00 0.00 0.81 0.00 0.00 0.00 15.33 0.00 10.17 0.00 0.00 0.00 8.12 0.00 0.00 0.00 12.96 0.00 57.14 0.55 88.23 0.00 0.00 0.00 0.00 0.64 89.88 0.00 0.00 0.00 1.62 74.49 0.00 100.00 1990 Static Pool AAA 1287 89.98 AA A BBB BB B CCC/C 1859 1444 201 52 5 5 0.21 1.00 0.00 0.00 1.24 0.78 2.74 0.00 0.11 2.49 0.00 0.00 0.00 1.32 0.05 0.21 3.48 88.46 0.00 0.00 0.00 0.00 0.00 0.00 3.85 80.00 0.00 0.00 0.00 0.00 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.68 3.88 8.46 3.85 0.00 0.00 0.59 86.12 0.00 0.00 0.00 0.00 10.38 5.82 87.40 0.00 0.00 0.00 2.99 84.08 0.00 20.00 0.00 100.00 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 48 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 25 Housing Issue Static Pool One-Year Transition Matrices (%) (cont.) 1991 Static Pool AAA 1418 93.72 AA A BBB BB B CCC/C 1920 1421 213 79 7 0.28 0.00 0.00 0.00 1.06 0.28 9.69 0.28 0.21 0.91 0.00 0.00 0.00 9.39 40.51 0.00 0.00 0.00 0.00 0.00 1.88 18.99 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.65 2.71 73.49 0.00 0.00 0.00 0.00 0.00 13.91 0.00 11.68 0.00 9.39 0.00 0.14 86.98 1.41 77.93 3.80 10.13 0.00 0.00 0.00 0.00 1.27 25.32 6 33.33 0.00 16.67 71.43 14.29 14.29 1992 Static Pool AAA 1598 94.18 AA A BBB BB B CCC/C 1540 1603 202 53 22 6 0.38 0.19 2.27 0.00 0.06 0.81 0.00 0.00 0.00 2.97 41.51 13.64 0.00 0.00 0.00 0.00 0.00 1.89 50.00 0.00 0.00 0.13 0.19 0.00 9.43 31.82 66.67 0.00 0.00 5.26 4.74 0.39 84.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.92 0.00 12.87 0.00 24.53 4.55 0.00 0.00 16.67 1.56 10.11 82.60 3.96 80.20 3.77 18.87 0.00 0.00 0.00 16.67 1993 Static Pool AAA 1731 82.21 AA A BBB BB B CCC/C 1568 1471 197 31 12 21 0.95 2.03 0.00 8.33 0.00 0.52 1.39 2.81 0.00 0.32 1.09 0.00 0.00 0.00 1.02 51.61 25.00 14.29 0.00 0.00 0.00 0.00 3.23 33.33 0.00 0.00 0.00 0.00 0.00 3.23 8.33 0.00 15.89 0.00 0.00 0.00 6.63 9.04 9.68 4.76 0.32 89.92 5.17 83.75 0.00 0.00 0.00 2.03 10.15 74.11 3.23 29.03 0.00 0.00 0.00 0.00 0.00 10.66 0.00 25.00 61.90 19.05 1994 Static Pool AAA 1620 93.27 AA A BBB BB B CCC/C 1589 1391 179 24 8 0.12 0.49 1.76 0.00 0.06 0.65 8.33 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 8.33 50.00 60.00 0.00 0.00 6.11 5.16 0.57 92.45 1.12 0.00 0.00 0.00 0.00 0.00 0.00 0.36 10.50 76.78 0.00 0.00 0.00 0.00 11.72 0.00 15.64 0.00 16.67 0.00 6.67 0.00 6.67 4.47 78.77 15 26.67 1995 Static Pool AAA 1866 93.35 AA A BBB BB B CCC/C 1702 1221 159 16 4 15 1.15 0.00 0.00 0.00 6.67 0.38 0.38 0.65 0.00 0.00 0.08 0.00 0.00 0.00 1.26 50.00 0.00 0.00 0.00 0.00 0.63 0.00 0.00 0.00 0.00 0.00 1.89 0.00 0.00 53.33 0.00 0.00 5.89 7.99 0.35 91.01 0.00 0.00 0.00 8.44 79.44 0.00 10.89 0.00 19.50 0.00 25.00 0.00 0.00 6.67 13.33 6.92 69.81 0.00 25.00 0.00 0.00 6.67 0.00 100.00 0.00 13.33 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 49 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 25 Housing Issue Static Pool One-Year Transition Matrices (%) (cont.) 1996 Static Pool AAA 2124 95.95 AA A BBB BB B CCC/C 1849 1065 127 10 5 11 0.28 0.00 0.00 0.00 0.00 0.00 0.14 0.05 0.00 0.05 0.00 0.00 0.00 0.19 0.00 60.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 0.00 0.00 0.00 0.00 0.00 10.00 0.00 63.64 0.00 0.00 0.00 3.91 3.24 9.58 3.46 93.19 0.00 0.00 0.00 4.60 85.35 8.66 77.95 0.00 10.00 0.00 0.00 0.00 0.00 13.39 0.00 20.00 0.00 20.00 9.09 27.27 0.00 20.00 1997 Static Pool AAA 2456 97.27 AA A BBB BB B CCC/C 1970 978 118 11 2 8 3.58 0.00 0.00 0.00 0.00 0.00 0.08 0.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 54.55 0.00 0.00 0.00 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 18.18 0.00 75.00 0.00 0.00 0.00 0.00 2.65 6.50 8.47 0.00 5.94 87.46 0.00 0.00 0.00 0.00 5.01 80.06 0.00 0.00 0.00 0.00 11.35 0.00 18.18 0.00 25.00 7.63 83.90 0.00 100.00 1998 Static Pool AAA 2921 94.90 AA A BBB BB B CCC/C 1858 847 103 6 3 8 0.24 0.00 0.00 0.00 0.00 0.89 0.00 0.11 0.00 0.00 1.06 0.00 0.00 0.00 0.97 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.21 3.66 9.45 0.00 3.34 92.90 0.00 0.00 0.00 0.00 8.03 81.23 0.00 0.00 0.00 0.00 83.50 0.00 0.00 0.00 15.53 0.00 33.33 0.00 100.00 62.50 25.00 12.50 1999 Static Pool AAA 3124 96.22 AA A BBB BB B CCC/C 1892 729 103 7 2 6 0.41 0.97 0.00 0.00 0.00 0.22 0.00 0.16 0.00 0.00 1.78 0.00 0.00 0.00 0.00 0.00 0.00 4.85 85.71 0.00 0.00 0.00 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.55 3.22 8.09 1.94 0.00 0.63 95.98 0.00 0.00 0.00 0.00 6.04 83.54 0.00 0.00 0.00 0.00 92.23 0.00 14.29 0.00 100.00 66.67 16.67 16.67 2000 Static Pool AAA 3359 95.98 AA A BBB BB B CCC/C 1994 676 114 12 3 5 0.15 0.00 0.00 0.00 0.00 0.27 0.09 0.20 0.00 0.00 0.44 0.00 0.00 0.00 0.00 0.00 0.44 4.39 83.33 0.00 0.00 0.00 0.00 0.59 2.63 0.00 66.67 0.00 0.00 0.00 1.75 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.66 2.41 2.22 0.00 0.00 0.00 1.15 96.24 0.00 0.00 0.00 0.00 1.04 95.12 0.00 0.00 0.00 0.88 90.35 0.00 33.33 0.00 100.00 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 50 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 25 Housing Issue Static Pool One-Year Transition Matrices (%) (cont.) 2001 Static Pool AAA 3618 97.04 AA A BBB BB B CCC/C 2074 716 110 19 9 9 1.54 0.00 0.00 0.00 0.00 0.14 0.03 0.19 0.00 0.00 0.70 0.00 0.00 0.00 0.00 0.00 0.28 2.73 57.89 0.00 0.00 0.00 0.00 0.00 0.00 31.58 44.44 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 0.00 0.00 0.00 2.79 1.78 3.63 3.64 4.97 93.06 8.52 85.34 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.27 76.36 0.00 10.53 0.00 33.33 66.67 11.11 22.22 2002 Static Pool AAA 3939 96.32 AA A BBB BB B CCC/C 2105 691 91 17 11 8 0.29 1.10 0.00 0.00 0.00 0.08 0.03 0.19 0.00 0.00 0.58 0.00 0.00 0.00 0.00 0.00 0.87 5.49 70.59 0.00 0.00 0.00 0.00 0.29 0.00 17.65 54.55 0.00 0.00 0.00 0.14 2.20 5.88 36.36 0.00 0.00 0.14 1.10 5.88 9.09 3.58 3.90 2.32 3.30 0.00 0.00 0.00 0.24 95.68 0.00 0.00 0.00 0.00 2.60 92.76 0.00 0.00 0.00 0.00 86.81 87.50 12.50 2003 Static Pool AAA 4084 93.41 AA A BBB BB B CCC/C 2174 718 94 25 11 15 0.56 0.00 0.00 0.00 0.00 0.22 0.00 0.51 0.00 0.00 2.09 0.00 0.00 0.00 0.05 0.00 2.09 10.64 52.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 45.45 0.00 0.00 0.00 0.00 1.06 4.00 27.27 0.00 0.00 0.00 6.32 3.54 6.96 0.14 95.81 0.00 0.00 0.00 0.00 0.42 87.88 0.00 0.00 0.00 1.06 75.53 0.00 11.70 0.00 24.00 0.00 27.27 53.33 20.00 26.67 2004 Static Pool AAA 4028 92.48 AA A BBB BB B CCC/C 2204 709 95 41 10 14 7.76 0.00 2.44 0.00 0.00 0.15 0.07 0.36 0.00 0.00 1.13 0.00 0.00 0.00 0.00 0.00 0.42 5.26 48.78 0.00 0.00 0.00 0.00 0.14 2.11 9.76 70.00 0.00 0.00 0.00 0.14 2.11 4.88 10.00 0.00 0.00 1.05 7.30 9.66 5.26 4.54 85.44 0.00 0.99 77.72 0.00 14.63 0.00 10.00 0.00 0.00 0.00 11.71 2.44 17.07 0.00 10.00 6.32 77.89 50.00 14.29 35.71 2005 Static Pool AAA 4130 88.28 AA A BBB BB B CCC/C 2080 633 88 29 14 13 0.79 0.00 0.00 0.00 0.00 3.00 0.02 0.00 0.00 0.00 1.11 0.00 0.00 0.00 0.05 0.00 0.95 6.82 65.52 0.00 0.00 0.00 0.00 0.32 1.14 17.24 78.57 0.00 0.00 0.00 0.00 1.14 6.90 7.14 0.00 0.00 0.00 7.14 8.64 6.35 9.09 7.14 7.69 0.67 92.98 0.00 0.00 0.00 0.00 1.90 84.52 0.00 0.00 0.00 0.00 10.43 0.00 10.34 3.41 78.41 53.85 38.46 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 51 708708 | 300001895 U.S. Municipal Rating Transitions And Defaults, 1986-2009 Table 25 Housing Issue Static Pool One-Year Transition Matrices (%) (cont.) 2006 Static Pool AAA 3770 95.23 AA A BBB BB B CCC/C 2232 583 83 33 19 11 4.97 0.00 0.00 5.26 0.00 0.00 0.00 0.00 0.00 0.00 0.69 3.03 0.00 0.00 0.00 0.00 0.17 7.23 51.52 0.00 0.00 0.00 0.00 0.00 0.00 27.27 78.95 0.00 0.00 0.00 0.00 0.00 3.03 15.79 0.00 0.04 0.00 0.00 0.00 4.77 4.21 7.55 3.61 0.00 0.00 1.34 94.40 1.20 0.00 0.00 0.00 2.57 84.05 0.00 0.00 0.00 4.82 83.13 0.00 15.15 81.82 18.18 2007 Static Pool AAA 4390 95.08 AA A BBB BB B CCC/C 3288 1027 234 34 24 13 0.10 0.00 0.00 0.00 0.00 0.05 0.00 0.21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.10 0.00 85.29 0.00 0.00 0.00 0.00 0.10 0.00 2.94 79.17 0.00 0.00 0.06 0.19 0.43 0.00 0.00 69.23 0.00 0.00 0.10 0.00 4.87 2.19 3.89 5.13 0.24 97.26 0.00 0.00 0.00 0.00 0.49 95.03 0.00 0.00 0.00 2.56 91.88 0.00 11.76 8.33 12.50 0.00 30.77 2008 Static Pool AAA 4401 96.16 AA A BBB BB B CCC/C 3599 1248 276 32 21 14 0.08 0.00 0.00 0.00 0.00 0.89 0.05 0.89 0.05 0.14 0.08 3.13 0.00 0.00 0.00 0.00 0.40 0.00 81.25 0.00 0.00 0.00 0.00 0.00 0.36 3.13 90.48 0.00 0.00 0.00 0.00 0.36 3.13 4.76 78.57 0.00 0.00 0.00 0.00 0.00 0.00 2.86 0.53 0.48 0.36 6.25 4.76 0.17 98.28 0.00 0.00 0.00 0.00 0.24 98.72 3.13 0.00 0.00 0.72 98.19 7.14 14.29 Standard & Poor’s RatingsDirect | March 11, 2009 Standard & Poor's. 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