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2014 Annual Global Structured Finance Default Study And Rating Transitions

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1) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Global Fixed Income Research: Andrew H South, Managing Director, London (44) 20-7176-3712; andrew.south@standardandpoors.com Zev R Gurwitz, Associate, New York (1) 212-438-7128; zev.gurwitz@standardandpoors.com Table Of Contents Default Rates Continue To Fall Downgrades Still Exceed Upgrades, But By A Smaller Margin Ratings Differentiate Cumulative Default Rates Deterioration In Average Credit Quality Slows Further In 2014 Appendix I: Data Selection And Rating Transition Methodology Appendix II: Default And Transition Tables Related Criteria And Research WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 1 1406997 | 301945678

2) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Overall global structured finance credit quality declined again in 2014, with the number of rating downgrades still exceeding the number of upgrades. However, the rate of credit deterioration continued to slow significantly, and Standard & Poor's Ratings Services expects structured finance credit performance to improve slowly in line with the global economic outlook. The default rate for global structured finance securities that we rate fell for the third successive year to 4.2% in 2014—the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10.0% in 2014, while the upgrade rate increased to 8.4%. Combining upgrades and downgrades with their severity, on aggregate we lowered our ratings on global structured finance securities by an average of only 0.1 notches—less severe than the 0.4-notch decline in average credit quality during 2013. Most downgrades continued to be in the U.S. residential mortgage-backed securities (RMBS) sector. By contrast, both the U.S. and European structured credit sectors—including transactions such as synthetic collateralized debt obligations (CDOs) and cash leveraged loan collateralized loan obligations (CLOs)—exhibited strong credit performance. Structured credit upgrades were due to robust credit trends in the underlying corporate collateral, as well as structural amortization in cash transactions. (Watch the related CreditMatters TV segment titled, "Global Structured Finance Default Rate Falls For Third Successive Year In 2014".) WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 2 1406997 | 301945678

3) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Overview Defaults: Annual default rate falls for the third consecutive year • We lowered 1,380 global structured finance ratings to 'D' in 2014, for an overall default rate of 4.2%—a six-year low—compared with 6.1% in 2013. • This also put the 2014 default rate below the one-year average default rate of 5.4%. Rating transitions: Upgrade rate increased and downgrade rate decreased in 2014 • Of the 32,825 global structured finance ratings outstanding at the start of 2014, we left unchanged or raised 90.0% and lowered 10.0%. This compares with 83.6% and 16.4% respectively in 2013. • We raised 8.4% of ratings in 2014, up from 6.7% in 2013 and higher than the long-term one-year average upgrade rate of 4.5%. • We lowered 10.0% of ratings in 2014, down from 16.4% in 2013 and lower than the long-term one-year average downgrade rate of 20.7%. • The average change in credit quality rose to -0.08 notches in 2014—the least negative year-end reading since 2006—from -0.37 notches at the end of 2013. Sector and region breakdown: Most downgrades in U.S. RMBS; upgrades in global structured credit • In the U.S., the RMBS asset class saw the highest downgrade rate of 13.2% in 2014, related in particular to the prime jumbo RMBS subsector. • In Europe, the CMBS asset class continued to see the highest downgrade rate of 36.1%, caused by ongoing refinancing difficulties for many of the borrowers backing CMBS transactions. • Structured credit ratings saw high upgrade rates globally, of 24.3% in the U.S. and 25.6% in Europe. These upgrades resulted from transaction amortization, shortening asset maturities, and strong underlying collateral performance, particularly among leveraged loan CLOs. Continued stabilization of the U.S housing market helped bring the U.S. RMBS downgrade rate to an eight-year low of 13.2%, although this sector still accounted for most of the global structured finance downgrades. Similarly, the downgrade rate for U.S. commercial mortgage-backed securities (CMBS) remained somewhat elevated at 9.1%, despite this constituting a seven-year low. Underlying collateral credit performance in U.S. non-mortgage consumer-related securitizations remained strong in 2014. For example, delinquency and loss rates for securitized credit card receivables reached new lows, although we expect that these measures could deteriorate in line with loan growth and seasoning trends. As a result, the asset-backed securities (ABS) sector had the lowest downgrade rate of 2.3% in the U.S. There were a large number of upgrades among U.S. structured credit transactions backed by corporate credits, such as leveraged loans. This resulted from strong performance of speculative-grade corporate loan issuers and the deleveraging of transactions that have concluded their reinvestment periods and have started to pay down their senior notes. In 2014, the number of European structured finance upgrades exceeded downgrades for the first time since 2007. This partly reflected stabilization in the macroeconomic and wider credit market backdrop and its effects on consumers, WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 3 1406997 | 301945678

4) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions corporates, and sovereigns. While the average change in credit quality remained slightly negative—with a decline of 0.02 notches—this was the smallest net deterioration in creditworthiness for seven years. The European downgrade rate fell to 13.6% in 2014, down from 22.0% in 2013. By contrast, the upgrade rate increased to 14.1% from 7.3% over the same period. In addition, the default rate decreased for the second consecutive year to a five-year low of 1.8%. Some European structured finance downgrades were due to changes in our ratings criteria, including the application of our updated criteria for rating single-jurisdiction securitizations above the sovereign foreign currency rating, as well as for transactions backed by Spanish and Italian mortgage loan collateral (see "Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance," published on May 29, 2015 and "Italy And Spain RMBS Methodology And Assumptions," published on Sept. 18, 2014). Asia-Pacific structured finance securities' ratings remained relatively stable in 2014. In Japan, the downgrade rate declined to a nine-year low of 3.2% in 2014, down from 5.1% in 2013. The RMBS sector accounted for 90% of our outstanding Japanese structured finance ratings at the beginning of 2014 and saw no downgrades during the year. The downgrade rate for securities in Australia and New Zealand rose in 2014, mostly due to the downgrade of a related loan mortgage insurance provider that provided credit support in a relatively large number of RMBS transactions. Default Rates Continue To Fall Higher ratings are generally associated with lower default rates, although default rates can vary over time. Charts 1 and 2 and table 1 show that annual default rates for both investment- and speculative-grade structured finance securities have generally stabilized since their peak in 2009. The annual default rate for 'AAA'-rated structured finance securities reached a peak of 0.51% in 2008 but has fallen back close to zero since 2011. The historical weighted-average one-year 'AAA' default rate is 0.09%, with a standard deviation of 0.10 percentage points. Rolling and average default rates over longer time horizons (e.g., three, five, and 10 years) are provided in tables 13-15 in Appendix II. For example, the rolling three-year 'AAA' default rate was 0.21% at the end of 2014, down from 0.36% at the end of 2013, and compared with the long-term average three-year default rate of 0.32%. The five-year 'AAA' default rate also declined further in the period ending in 2014, but the 10-year default rate is still rising. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 4 1406997 | 301945678

5) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 1 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 5 1406997 | 301945678

6) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 2 Table 1 Global Structured Finance Annual Default And Near-Default Rates, 1976-2014* (%) 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 Default 'AAA' 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Investment-grade 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.1 Speculative-grade 40.0 0.0 0.0 0.0 0.0 2.6 0.8 8.7 3.0 1.3 2.6 1.3 1.2 2.8 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.3 0.2 0.1 0.3 0.1 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Investment-grade 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.0 0.1 Speculative-grade 40.0 0.0 0.0 0.0 0.0 2.6 5.4 10.3 6.3 3.0 2.9 2.0 1.6 2.9 0.2 0.0 0.0 0.0 0.0 0.0 0.1 0.4 0.3 0.2 0.3 0.2 0.2 0.4 Overall Default and near-default§ 'AAA' Overall WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 6 1406997 | 301945678

7) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 1 Global Structured Finance Annual Default And Near-Default Rates, 1976-2014* (%) (cont.) Standard Weighted-average, deviation, 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1976-2014 1976-2014 Default 'AAA' 0.0 0.0 0.0 0.0 0.0 0.0 0.5 0.3 0.2 0.2 Investment-grade 0.1 0.1 0.0 0.0 0.0 0.2 1.0 2.6 0.8 0.2 Speculative-grade 5.7 4.2 2.2 1.8 1.2 3.0 16.2 38.6 19.9 22.1 Overall 0.8 0.7 0.4 0.3 0.2 0.6 4.1 16.5 10.5 11.7 'AAA' 0.0 0.0 0.0 0.0 0.0 0.0 1.8 0.8 0.4 Investment-grade 0.1 0.2 0.0 0.0 0.0 0.3 6.2 8.1 1.9 Speculative-grade 8.1 5.5 3.0 2.1 1.5 3.4 36.4 56.1 Overall 1.1 0.9 0.5 0.3 0.2 0.7 12.4 26.6 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.5 21.2 11.9 8.5 17.8 10.0 11.2 6.1 4.2 5.4 4.0 0.3 0.0 0.0 0.0 0.3 0.3 1.0 0.2 0.1 0.0 1.7 1.6 28.8 36.1 24.9 12.3 9.1 25.9 13.6 15.6 19.4 13.1 6.3 4.5 8.5 6.2 Default and near-default§ *Default rates were zero between 1976 and 1987, so these years are not shown. §Near-defaults are ratings lowered into the 'CC' or 'C' categories. 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. Chart 3 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 7 1406997 | 301945678

8) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions We calculate Gini coefficients as a means to quantify the rank-ordering power of our ratings relative to securities' observed default propensity. We plotted the cumulative proportion of structured finance ratings (sorted from low to high) against the cumulative proportion of defaults in a Lorenz curve—a graphical representation of the proportionality of a distribution (see chart 3). The "random" curve in chart 3—for which the cumulative proportions of ratings and defaults are the same, indicating no ability to rank risk—provides a benchmark for measuring the rank-ordering power of our ratings. The "ideal" curve represents a notional "best possible" result for rank-ordering default risk. The Gini coefficient represents the ratio of the area between the Lorenz curve and the random curve, to the area between the ideal curve and the random curve. In general, the higher the Gini coefficient, the greater the link between our ratings and the securities' default propensity. We calculate the Gini coefficient using a scale from 0% to 100%. In 2014, the one-year Gini coefficient for defaults of rated global structured finance securities was 81.3%. This value is similar to the values of 81.1% in 2013 and 81.5% in 2012. We also calculate sector-specific historical one-year Gini coefficients as well as coefficients over longer time horizons, such as three and five years (see charts 4 and 5). The Gini coefficients for most asset classes had generally returned to the 80%-100% range by the end of 2014, following a drop in 2007. Overall, the three-year Gini coefficient stayed broadly stable at 83.0% in 2014, with the five-year Gini coefficient rising to 80.0% in 2014 from 72.0% in 2013. Chart 4 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 8 1406997 | 301945678

9) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 5 Gini coefficient statistics are useful, but they have some significant shortcomings. For example, the "ideal" curve would only be attained if defaults only occurred on securities rated below some critical rating threshold, with no defaults among securities rated higher than this threshold. However, in a diverse sample of rated securities—such as the universe of global structured finance securities—sector- and region-specific credit stresses of differing severity and likelihood may cause higher-rated securities in more stressed areas to default, while at the same time lower-rated securities in less stressed areas do not default. This effect would negatively affect the reported Gini coefficient, despite being a feature of the sample composition rather than rating accuracy. Downgrades Still Exceed Upgrades, But By A Smaller Margin The overall downgrade rate fell in 2014, while the upgrade rate increased. The downgrade rate for global structured finance securities was 10.0% in 2014, down from 16.4% in 2013, while the upgrade rate rose to 8.4% from 6.7% in 2013 (see chart 6). WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 9 1406997 | 301945678

10) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 6 Securities with higher ratings tended to be more stable than their lower-rated counterparts (see chart 7 and table 2). WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 10 1406997 | 301945678

11) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 7 Table 2 Global Structured Finance Rating Transitions, By Rating Category, 2014 Beginning no. of ratings Stable (%) Upgrade (%) Downgrade (%) Near-default (%) Default (%) AAA 3,081 98.0 0.0 2.0 0.00 0.00 AA 4,731 78.0 15.6 6.4 0.00 0.02 A 4,926 83.4 11.5 5.1 0.00 0.00 BBB 3,958 78.4 13.0 8.6 0.03 0.00 BB 3,119 75.4 11.5 13.0 0.00 0.19 B 3,305 78.2 7.4 14.3 0.27 1.54 CCC or lower 9,705 81.6 3.4 15.0 0.75 13.62 32,825 81.6 8.4 10.0 0.25 4.20 Overall 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. Chart 8 shows the upgrade and downgrade rates for each rating category in each major global structured finance sector during 2014. The results show generally higher downgrade rates for RMBS and lower downgrade rates for structured credit, along with high upgrade rates for structured credit across most rating categories. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 11 1406997 | 301945678

12) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 8 Chart 9 compares rating stability with default and near-default rates for the various rating categories in 2014 and illustrates that less-stable rating categories also tended to experience higher default rates. In other words, there is a clear correlation between the rating level, the stability of the rating, and the frequency of defaults and near-defaults. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 12 1406997 | 301945678

13) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 9 Table 3 shows the number of ratings outstanding at the beginning of 2014 for each major sector and region and provides rating transition rates for the year. Table 3 Global Structured Finance Rating Transitions, By Region And Sector, 2014 Beginning no. of ratings Stable (%) Upgrade (%) Downgrade (%) Near-default (%) Default (%) U.S. ABS 3,327 90.1 7.6 2.3 0.15 0.48 U.S. SC 4,773 71.8 24.3 3.9 0.48 2.07 U.S. CMBS 2,590 82.5 8.5 9.1 0.00 5.64 U.S. RMBS 14,747 84.9 1.9 13.2 0.24 6.85 412 80.3 10.2 9.5 0.00 0.00 Region/sector U.S. single-name synthetics Europe ABS 716 79.1 9.4 11.6 0.00 3.35 1,729 65.2 25.6 9.3 0.35 0.64 Europe CMBS 410 57.1 6.8 36.1 1.95 9.51 Europe RMBS Europe SC 2,193 78.4 7.6 14.0 0.23 0.87 Europe single-name synthetics 207 72.0 18.8 9.2 0.00 0.00 Australia & New Zealand 660 89.5 2.3 8.2 0.00 0.15 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 13 1406997 | 301945678

14) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 3 Global Structured Finance Rating Transitions, By Region And Sector, 2014 (cont.) Japan 654 Asia (non-Japan) 92.2 4.6 3.2 0.15 2.14 11 100.0 0.0 0.0 0.00 0.00 263 96.2 3.8 0.0 0.00 0.00 77 72.7 0.0 27.3 0.00 1.30 56 98.2 1.8 0.0 0.00 0.00 32,825 81.6 8.4 10.0 0.25 4.20 Canada Latin America Emerging Markets Global 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. SC--Structured credit. Tables 4 and 5 show the historical performance broken down by major sectors and regions. Much of the rise in the aggregate upgrade rate was due to both the U.S. and European structured credit sectors. For example, we raised 25.6% of our European structured credit ratings outstanding at the beginning of 2014 during the year, compared with only 14.3% in 2013 (see table 4). The declining downgrade rate in 2014 was largely driven by U.S. and European RMBS. For example, we lowered 13.2% of our U.S. RMBS ratings in 2014, compared with 23.0% in 2013 (see table 5). Ratings volatility generally declined in 2014 for markets outside the U.S. and Europe, although there was an increase in the downgrade rate for Australia/New Zealand, largely due to a downgrade of a single loan mortgage insurance provider (see table 5). Tables 4 and 5 also show standard deviations for annual upgrade and downgrade rates. Table 4 Global Structured Finance Annual Upgrade Rates, By Region And Sector, 1976-2014 (%) WA, Std. dev., Region/sector 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1976-2014 1976-2014 U.S. ABS 1.0 2.0 1.1 2.4 U.S. SC U.S. CMBS 0.3 0.6 0.7 1.3 3.0 3.8 7.0 10.9 5.6 9.6 13.5 21.4 U.S. RMBS 9.1 9.8 9.0 12.6 10.6 7.7 U.S. single-name synthetics 3.3 0.3 1.2 1.6 3.1 Europe ABS 0.0 0.0 1.5 4.8 Europe SC 0.0 2.7 0.9 Europe CMBS 0.0 2.7 1.6 Europe RMBS 5.3 4.0 Europe single-name synthetics 1.9 5.1 Australia & New Zealand 2.8 Japan Asia (non-Japan) Canada Latin America 1.7 4.5 6.5 7.1 0.8 7.5 4.3 4.5 9.1 8.9 7.6 3.9 3.0 3.2 3.9 0.8 0.1 5.1 18.2 31.4 21.8 24.3 8.4 8.2 17.2 10.2 3.7 0.6 1.8 1.3 6.6 7.7 8.5 7.3 5.7 3.7 1.6 0.4 0.0 0.0 0.8 1.7 0.9 1.9 2.6 3.5 10.7 15.0 10.7 4.9 2.3 10.6 8.9 7.9 9.2 10.2 6.7 4.6 1.7 2.0 1.4 3.2 3.1 1.8 5.0 5.2 4.3 7.9 9.4 3.7 2.6 4.4 4.5 3.2 5.1 5.7 1.1 0.2 10.3 14.2 31.7 14.3 25.6 8.7 19.9 7.2 7.7 6.5 8.6 5.3 1.6 0.1 0.9 3.4 2.2 4.5 6.8 3.7 2.9 5.3 5.8 4.0 6.3 10.2 4.1 2.3 2.7 1.5 4.9 7.1 2.3 7.6 4.4 2.9 0.7 6.2 0.9 3.6 4.0 6.6 3.7 0.8 2.8 4.1 3.3 4.2 18.8 3.8 4.0 4.8 0.9 2.2 2.5 3.9 14.8 2.8 2.9 5.7 7.5 2.5 8.9 2.2 2.3 4.6 3.5 0.0 0.0 2.8 5.0 6.4 8.2 9.3 12.5 10.6 5.2 7.9 17.2 18.6 9.4 4.6 9.6 5.6 11.8 5.6 4.5 0.0 5.9 16.4 4.2 6.4 0.0 0.0 10.2 0.0 5.6 0.0 0.0 4.5 4.5 8.3 3.1 5.2 6.9 6.6 15.7 3.7 11.8 4.5 0.5 0.0 0.6 6.0 24.9 3.8 6.1 5.8 27.4 4.2 13.2 0.0 5.2 18.8 18.6 15.4 23.5 1.8 6.3 30.1 7.4 16.0 0.0 11.6 10.2 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 14 1406997 | 301945678

15) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 4 Global Structured Finance Annual Upgrade Rates, By Region And Sector, 1976-2014 (%) (cont.) Emerging Markets 0.0 0.0 8.3 0.0 14.3 23.8 5.1 1.9 0.0 0.0 70.0 0.0 0.0 42.9 1.8 12.8 17.7 Global 5.9 6.4 5.2 7.9 7.8 8.2 6.1 3.8 1.3 0.8 2.5 5.3 9.1 6.7 8.4 4.5 3.0 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. SC--Structured credit. WA--Weighted-average. Std. dev.--Standard deviation. Table 5 Global Structured Finance Annual Downgrade Rates, By Region And Sector, 1976-2014 (%) WA, Std. dev., Region/sector 2000 2001 2002 2003 2004 ### ### 2007 2008 2009 2010 2011 2012 2013 2014 1976-2014 1976-2014 U.S. ABS 3.2 2.8 7.4 19.2 8.5 2.1 3.7 2.8 18.3 9.8 14.3 13.8 15.5 2.7 2.3 7.1 11.1 U.S. SC 4.9 5.0 11.6 10.8 4.1 3.6 2.7 10.7 42.8 48.8 38.6 32.9 U.S. CMBS 1.5 3.9 6.1 7.7 4.4 2.3 2.2 1.9 13.5 42.7 38.8 41.1 13.5 3.9 3.9 22.8 13.5 26.9 12.9 9.1 16.5 12.4 U.S. RMBS 1.7 1.0 1.0 0.8 0.4 0.6 1.0 15.5 48.2 70.3 37.2 44.1 42.5 23.0 13.2 25.7 16.7 U.S. single-name synthetics 5.1 10.1 25.2 13.0 10.1 7.1 6.8 4.7 30.3 25.1 16.4 32.8 6.8 10.2 9.5 13.6 9.6 Europe ABS 0.0 0.8 3.3 2.9 3.4 0.0 3.5 0.4 4.8 15.1 12.8 23.9 31.2 21.9 11.6 10.6 8.5 Europe SC 1.1 9.6 21.7 17.5 4.1 4.2 5.5 4.4 Europe CMBS 0.0 0.0 1.1 4.6 3.4 2.3 0.7 0.5 31.1 42.2 41.7 13.4 23.2 10.6 9.3 20.5 22.7 7.5 39.0 29.0 39.2 52.2 55.1 36.1 22.9 18.3 Europe RMBS 0.0 0.4 0.7 0.3 0.0 0.3 0.2 0.3 6.1 15.2 8.4 27.7 43.6 24.5 14.0 13.9 15.2 Europe single-name synthetics 6.4 5.1 20.0 11.3 9.5 5.6 4.0 0.3 20.3 23.4 18.2 43.7 31.7 12.5 9.2 16.4 13.4 Australia & New Zealand 0.3 1.4 0.5 2.5 2.3 1.4 1.2 2.6 23.6 13.2 4.3 6.4 2.1 4.1 8.2 5.7 5.2 Japan 5.3 0.7 2.8 1.7 2.0 2.2 3.7 6.6 12.7 22.1 17.8 13.8 9.6 5.1 3.2 9.7 11.0 Asia (non-Japan) 0.0 0.0 31.8 0.0 0.0 0.0 4.2 12.7 25.5 29.1 0.0 7.9 27.8 15.4 0.0 11.8 11.2 Canada 0.0 0.0 0.0 6.4 0.4 0.0 2.2 2.1 5.0 3.8 1.4 0.3 7.7 0.4 0.0 2.2 2.1 Latin America 4.8 27.8 40.7 20.5 0.0 1.0 0.0 1.1 35.7 30.4 17.9 7.5 13.6 5.3 27.3 15.5 13.4 Emerging Markets 0.0 0.0 8.3 25.0 0.0 0.0 0.0 3.7 61.2 41.9 8.3 7.8 1.2 0.0 0.0 13.9 16.9 Global 2.3 2.6 5.5 6.9 3.0 1.7 2.0 10.7 37.7 53.7 33.0 35.4 32.0 16.4 10.0 20.7 12.8 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. SC--Structured credit. WA--Weighted-average. Std. dev.--Standard deviation. The average magnitude of annual rating transitions hit record highs in 2008 and 2009, but has since declined. Although there were still some severe ratings movements in 2014, they were relatively few in number, with only 2.1% of downward transitions being of 10 or more notches. At the same time, approximately 62% of upgraded securities and 58% of downgraded securities experienced no more than a two-notch rating change in 2014 (see chart 10). WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 15 1406997 | 301945678

16) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 10 The year of issuance—or vintage—of structured finance securities continues to explain much of the variation in performance. The fundamental credit characteristics and economic environment of a transaction's vintage can influence its subsequent credit behavior. Table 6 illustrates the variation in credit performance of global structured finance securities in 2014, by transaction vintage. Transactions issued in the years prior to 2007 generally experienced higher downgrade and default rates in 2014 than other vintages, owing to ongoing credit deterioration among mortgage securities and CDOs backed by these mortgage securities. Default rates were also uncharacteristically high for these vintages, particularly securities issued in 2003-2006. Table 6 Global Structured Finance Rating Transitions, By Vintage, 2014 Vintage/issuance year Pre-1990 Beginning no. of ratings Stable (%) Upgrade (%) Downgrade (%) Near-default (%) Default (%) 10 100.0 0.0 0.0 0.00 0.00 1990 2 100.0 0.0 0.0 0.00 0.00 1991 1 100.0 0.0 0.0 0.00 0.00 1992 4 100.0 0.0 0.0 0.00 0.00 1993 5 100.0 0.0 0.0 0.00 0.00 1994 17 82.4 0.0 17.6 5.88 0.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 16 1406997 | 301945678

17) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 6 Global Structured Finance Rating Transitions, By Vintage, 2014 (cont.) 1995 31 96.8 3.2 0.0 0.00 0.00 1996 36 91.7 1997 84 78.6 5.6 2.8 0.00 0.00 7.1 14.3 0.00 2.38 1998 131 76.3 12.2 11.5 0.00 3.05 1999 2000 175 83.4 3.4 13.1 0.57 6.29 180 87.2 7.2 5.6 0.00 2.22 2001 390 83.3 5.4 11.3 0.26 3.85 2002 1,171 81.0 6.0 13.0 0.34 4.70 2003 3,437 77.0 4.5 18.5 0.61 6.20 2004 5,191 81.9 4.2 13.8 0.35 5.72 2005 4,945 83.2 6.5 10.3 0.06 6.47 2006 4,273 71.8 17.4 10.8 0.30 5.36 2007 3,987 72.2 17.4 10.4 0.45 4.39 2008 674 81.2 8.2 10.7 0.00 4.15 2009 1,029 82.9 9.2 7.9 0.29 2.24 2010 1,826 92.6 4.5 2.8 0.00 0.00 2011 979 85.1 11.2 3.7 0.00 0.20 2012 1,762 93.2 5.1 1.7 0.00 0.06 2,485 96.8 2.3 0.9 0.00 0.04 32,825 81.6 8.4 10.0 0.25 4.20 2013 Overall 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. Many of the positive rating actions in 2014 were on transactions collateralized by corporate debt—especially CLOs. Most downgrades occurred in the RMBS sector (see table 7). Table 7 also shows sector-specific default rates. Table 7 Global Structured Finance Rating Transitions, By Subsector, 2014 Subsector ABS 12b-1 Beginning no. of ratings Stable (%) Upgrade (%) Downgrade (%) Near-default (%) Default (%) 2 100.0 0.0 0.0 0.00 0.00 ABS Aircraft 60 73.3 13.3 13.3 0.00 0.00 ABS Auto Lease 76 88.2 10.5 1.3 0.00 0.00 ABS Auto Loans 781 85.5 13.8 0.6 0.00 0.13 ABS Credit Card 247 93.9 3.6 2.4 0.00 2.43 ABS Commercial Other 58 81.0 19.0 0.0 0.00 0.00 ABS Commercial Paper 1 100.0 0.0 0.0 0.00 0.00 82 82.9 8.5 8.5 0.00 0.00 ABS Consumer Other ABS Covered Bonds 5 100.0 0.0 0.0 0.00 0.00 ABS Equipment 126 80.2 10.3 9.5 0.00 0.79 ABS New Assets 410 93.7 2.4 3.9 0.00 2.68 5 100.0 0.0 0.0 0.00 0.00 83 78.3 1.2 20.5 0.00 0.00 ABS Franchise Loans ABS Future Flow WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 17 1406997 | 301945678

18) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 7 Global Structured Finance Rating Transitions, By Subsector, 2014 (cont.) ABS Manufactured Housing 212 ABS Other 94.8 0.9 4.2 0.94 3.30 205 83.4 10.2 6.3 0.00 0.98 ABS Rental Car 1 100.0 0.0 0.0 0.00 0.00 ABS RV Loans 14 85.7 0.0 14.3 0.00 14.29 359 65.2 16.4 18.4 0.00 3.34 37 100.0 0.0 0.0 0.00 0.00 1,023 91.2 7.0 1.8 0.29 0.10 ABS Timeshare 103 100.0 0.0 0.0 0.00 0.00 ABS Tobacco 274 98.2 1.8 0.0 0.00 0.00 ABS Small Business Loan ABS Stranded Assets ABS Student Loans ABS Trade Receivable 10 100.0 0.0 0.0 0.00 0.00 101 100.0 0.0 0.0 0.00 0.00 SC Cash Flow Corporate Bond CBO 16 75.0 0.0 25.0 0.00 18.75 SC Cash Flow CDO of CDO 40 52.5 42.5 5.0 0.00 5.00 ABS Wholesale SC Cash Flow CDO of CMBS 509 69.4 9.8 20.8 3.54 15.52 4,500 71.6 25.8 2.6 0.02 0.22 28 85.7 10.7 3.6 0.00 0.00 SC Cash Flow High-Grade SF CDO 128 67.2 29.7 3.1 1.56 0.00 SC Cash Flow Mezzanine SF CDO 202 76.2 12.9 10.9 1.49 0.00 SC Cash Flow Trust Preferred CDO 225 67.1 28.4 4.4 2.22 1.78 SC Equity & Hedge Fund CFO 13 92.3 7.7 0.0 0.00 0.00 SC Cash Flow Corporate Loan CLO SC Cash Flow Emerging Market CDO SC Hybrid Corporate Loan CLO 8 87.5 12.5 0.0 0.00 0.00 109 67.0 0.0 33.0 0.00 0.00 8 100.0 0.0 0.0 0.00 0.00 272 64.7 22.8 12.5 0.00 2.21 SC Synthetic CDO of CDO 30 73.3 26.7 0.0 0.00 0.00 SC Synthetic CDO of CMBS 44 88.6 0.0 11.4 0.00 6.82 SC Synthetic Corporate High-Yield CBO 2 50.0 50.0 0.0 0.00 0.00 SC Synthetic Corporate Investment-Grade CDO 377 51.7 46.2 2.1 0.00 0.80 3 66.7 33.3 0.0 0.00 0.00 12 75.0 25.0 0.0 0.00 0.00 5 60.0 0.0 40.0 0.00 0.00 SC Market Value, Leveraged Fund CDO Operating Companies SC Other CDO SC Synthetic Corporate Loan CLO SC Synthetic Emerging Market CDO SC Synthetic High-Grade SF CDO SC Synthetic Mezzanine SF CDO 17 82.4 11.8 5.9 0.00 5.88 765 73.3 9.8 16.9 1.18 7.71 CMBS Commercial Real Estate CDO 14 28.6 0.0 71.4 0.00 7.14 CMBS Credit Lease Pool 22 81.8 18.2 0.0 0.00 0.00 CMBS Conduit WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 18 1406997 | 301945678

19) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 7 Global Structured Finance Rating Transitions, By Subsector, 2014 (cont.) CMBS Dependent CMBS Floaters 75 90.7 2.7 6.7 0.00 0.00 195 93.8 2.6 3.6 0.00 3.59 1,609 78.8 9.3 11.9 0.00 7.27 CMBS Large Loan 35 94.3 0.0 5.7 0.00 0.00 CMBS Other 67 80.6 1.5 17.9 0.00 4.48 CMBS Re-REMIC 21 100.0 0.0 0.0 0.00 0.00 CMBS Single Borrower 411 88.8 5.1 6.1 0.00 2.43 CMBS Small Loan Pool 38 60.5 2.6 36.8 0.00 0.00 RMBS 1st Lien High LTV 91 83.5 0.0 16.5 0.00 5.49 143 95.1 0.0 4.9 0.70 0.70 CMBS Fusion RMBS 2nd Lien High Combined LTV RMBS Alt-A 1,736 79.0 1.7 19.3 0.12 11.92 RMBS Apartment Loan 65 100.0 0.0 0.0 0.00 0.00 RMBS Buy-To-Let 55 100.0 0.0 0.0 0.00 0.00 192 87.5 2.1 10.4 0.00 4.69 37 91.9 8.1 0.0 0.00 0.00 372 87.1 2.2 10.8 0.00 0.00 RMBS Credit Default Swap 8 100.0 0.0 0.0 0.00 0.00 RMBS Document Deficient 96 76.0 9.4 14.6 0.00 5.21 RMBS Home Equity Line of Credit 110 85.5 13.6 0.9 0.00 0.00 RMBS Negative Amortization 130 87.7 0.0 12.3 0.00 10.77 RMBS Closed End 2nd RMBS Condo Investment Loan RMBS Covered Bonds RMBS NIMS RMBS Nonconforming RMBS Nonperforming 10 20.0 60.0 20.0 0.00 20.00 590 82.4 14.6 3.1 0.00 0.51 9 88.9 0.0 11.1 0.00 11.11 RMBS Other 435 88.7 3.2 8.0 0.23 5.75 RMBS Outside Guidelines 262 90.5 3.1 6.5 0.00 4.20 RMBS Prime Jumbo 5,110 77.6 2.8 19.6 0.63 6.95 RMBS Reperforming 555 87.0 1.6 11.4 0.18 4.68 RMBS REREMIC 1,801 91.5 4.0 4.5 0.17 1.72 RMBS Subprime 6,290 88.8 1.1 10.1 0.00 5.31 653 78.3 12.4 9.3 0.00 0.00 32,825 81.6 8.4 10.0 0.25 4.20 Single Name Synthetics Overall 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The downgrade rate includes near-defaults and defaults. SC--Structured credit. Ratings Differentiate Cumulative Default Rates Cumulative and vintage-based default rates—as well as the time to default—are alternative ways to approach the assessment of default performance. Higher-rated securities usually take longer to default, while lower-rated securities typically default sooner. However, this behavior may not always be evident in observed default data if the sample size is small, especially among securities that were highly rated before defaulting. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 19 1406997 | 301945678

20) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 8 provides the distribution of times to default, which indicates the number of years between the original rating date and the default date for each defaulted security, segmented by the original rating. Table 8 Global Structured Finance Distribution Of Time-To-Default From Original Rating Date, 1988-2014 (%) Proportion of defaults occurring, by number of years since original rating Original rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 AAA 0.0 2.1 7.9 15.0 17.0 17.6 16.5 12.3 4.9 3.8 0.8 0.4 0.5 0.3 0.1 0.1 0.0 0.3 0.2 0.0 0.0 0.0 AA+ 0.0 0.1 7.3 25.7 22.2 15.3 13.5 10.3 4.0 1.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 AA 0.0 1.4 9.6 24.4 19.3 14.5 12.0 8.6 4.9 2.4 1.2 0.8 0.4 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 AA- 0.1 2.1 11.8 32.6 19.3 13.8 10.5 5.0 2.6 1.2 0.5 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 A+ 0.0 1.6 14.5 33.6 19.5 11.0 8.9 4.8 3.3 1.8 0.9 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 A 0.1 2.2 12.1 23.4 15.6 14.2 10.4 7.6 5.9 3.7 2.4 1.4 0.5 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 A- 0.1 2.2 15.5 27.1 13.1 14.2 12.3 7.3 4.0 2.2 1.1 0.5 0.3 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 BBB+ 0.0 3.6 19.8 27.8 14.7 11.6 7.1 4.8 4.8 3.4 1.3 0.7 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 BBB 0.1 2.2 14.8 18.2 14.6 14.5 11.4 8.3 6.2 4.6 2.8 1.5 0.5 0.1 0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.0 BBB- 0.0 2.9 20.7 21.2 15.3 15.1 11.0 6.1 3.6 1.8 1.4 0.7 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 BB+ 0.0 5.9 24.4 19.9 16.8 14.8 7.7 4.3 2.6 1.8 1.4 0.4 0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 BB 0.1 1.8 13.7 16.9 16.0 13.5 12.0 8.6 5.2 5.3 3.4 2.5 0.7 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 BB- 0.0 1.2 8.9 16.4 16.4 17.2 12.0 7.7 4.1 5.4 4.8 2.9 2.1 0.2 0.8 0.0 0.0 0.0 0.0 0.0 0.0 0.0 B+ 0.0 0.5 4.3 16.5 19.9 17.6 10.1 9.0 4.8 8.8 5.1 2.1 0.8 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 B 0.2 1.9 14.5 19.0 19.6 13.4 8.9 7.2 4.8 4.0 3.9 2.1 0.4 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 B- 0.0 0.2 7.2 17.9 18.2 14.9 12.7 8.0 8.5 6.5 3.7 1.0 0.7 0.0 0.2 0.2 0.0 0.0 0.0 0.0 0.0 0.0 CCC+ 0.0 0.0 9.1 63.6 18.2 0.0 9.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 CCC 9.5 4.8 7.1 23.8 4.8 9.5 7.1 7.1 16.7 4.8 4.8 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 CCC- 13.4 11.9 32.8 29.9 9.0 1.5 1.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 CC 57.1 21.4 21.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 2.2 13.8 22.3 16.8 14.3 11.1 7.6 4.7 3.3 1.9 1.1 0.4 0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 Overall 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 9 further breaks down the cumulative lifetime default rates by vintage for investment- and speculative-grade original ratings. Overall lifetime default rates for investment- and speculative-grade securities were 27% and 55%, respectively, through the end of 2014. As shown in chart 11, speculative-grade default rates were notably higher for the 2004-2007 vintages. Table 9 Global Structured Finance Cumulative Default Rates, By Vintage, 1976-2014 Cumulative default rate (%) Cumulative IG default rate (%) 1976 and earlier 0.0 0.0 1977 0.0 0.0 1978 0.0 0.0 Vintage year Cumulative SG default rate (%) WWW.STANDARDANDPOORS.COM/RATINGSDIRECT Number of new ratings 2 Number Number of new IG of new SG ratings ratings Total number of defaults Total number of IG defaults Total number of SG defaults 2 0 0 0 0 2 2 0 0 0 0 14 14 0 0 0 0 JUNE 22, 2015 20 1406997 | 301945678

21) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 9 Global Structured Finance Cumulative Default Rates, By Vintage, 1976-2014 (cont.) 1979 0.0 0.0 31 31 0 0 0 0 1980 0.0 0.0 24 24 0 0 0 0 1981 0.0 0.0 26 26 0 0 0 0 1982 0.0 0.0 48 48 0 0 0 0 1983 2.8 2.9 106 105 1 3 3 0 1984 0.6 0.6 167 167 0 1 1 0 1985 0.0 0.0 303 303 0 0 0 0 1986 0.2 0.2 478 476 2 1 1 0 1987 0.2 0.2 662 662 0 1 1 0 1988 0.7 0.7 0.0 699 698 1 5 5 0 1989 1.4 1.2 33.3 584 581 3 8 7 1 1990 2.9 2.9 0.0 716 715 1 21 21 0 1991 2.7 2.5 50.0 950 946 4 26 24 2 1992 0.8 0.7 10.5 1,191 1,172 19 10 8 2 1993 1.2 0.7 7.7 1,204 1,126 78 14 8 6 1994 2.7 1.2 18.1 1,229 1,124 105 33 14 19 1995 3.1 1.4 20.9 1,436 1,307 129 45 18 27 1996 4.3 2.9 16.8 1,552 1,403 149 66 41 25 1997 7.1 5.7 22.1 1,854 1,700 154 131 97 34 1998 8.6 6.7 22.3 2,242 1,977 265 192 133 59 1999 8.1 5.7 31.7 2,524 2,294 230 204 131 73 2000 8.0 4.4 36.9 2,815 2,506 309 225 111 114 2001 8.7 5.3 28.2 4,542 3,872 670 394 205 189 2002 10.8 7.5 28.6 6,933 5,854 1,079 747 438 309 2003 14.5 8.1 49.1 9,533 8,045 1,488 1,382 652 730 2004 25.1 18.0 69.7 13,683 11,800 1,883 3,431 2,119 1,312 2005 48.3 42.4 81.6 17,417 14,793 2,624 8,417 6,277 2,140 2006 62.5 60.5 75.9 20,084 17,536 2,548 12,545 10,611 1,934 2007 57.9 56.2 70.0 15,760 13,778 1,982 9,128 7,741 1,387 2008 13.1 10.3 36.3 3,685 3,280 405 484 337 147 2009 7.0 3.6 22.2 2,298 1,880 418 160 67 93 2010 0.9 0.4 7.7 2,525 2,356 169 22 9 13 2011 0.2 0.0 2.7 1,252 1,142 110 3 0 3 2012 0.1 0.0 1.0 1,851 1,656 195 2 0 2 2013 0.0 0.0 0.3 2,504 2,113 391 1 0 1 2014 0.0 0.0 0.0 2,306 1,887 419 0 0 0 30.1 26.6 54.5 125,232 109,401 15,831 37,702 29,080 8,622 Overall 0.0 0.0 IG--Investment-grade. SG--Speculative-grade. 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 21 1406997 | 301945678

22) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 11 Cumulative default rates (CDRs)—aggregated across many years—provide another way to summarize the default behavior of static pools of ratings. Table 10 shows the cumulative default rates for global structured finance using this methodology over horizons of up to 10 years. We calculate the CDRs by dividing the number of ratings in a static pool that defaulted at the end of a specific time horizon by the number of ratings that survived (i.e., did not default) up to that point, i.e., calculating the default rate "conditional on survival". We assign all ratings in the study to one or more static pools according to their age and we use the number of ratings to weight each static pool. After creating the pools, we average and weight the first-year default rates for all the pools, then we do the same for the second-year default rates, and so on. The CDRs equal one minus the product of the proportion of survivors. The results of this analysis suggest that lower ratings are generally associated with higher default rates—and vice versa—across different time horizons. Table 10 Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2014 (%) Time horizon (years) 1 2 3 4 AAA 0.09 0.43 1.01 1.82 2.68 3.40 3.87 4.15 4.33 4.41 AA 0.28 2.36 5.72 8.84 11.57 13.77 15.26 16.13 16.65 16.96 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT 5 6 7 8 9 10 JUNE 22, 2015 22 1406997 | 301945678

23) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 10 Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2014 (%) (cont.) A 0.53 3.74 8.07 11.78 15.06 17.86 19.93 21.37 22.32 22.95 BBB 1.24 6.66 13.10 18.89 24.00 28.16 31.24 33.54 35.19 36.34 BB 2.73 11.10 18.90 26.50 32.74 37.85 41.75 44.73 47.23 49.21 6.52 18.56 28.82 39.33 47.86 53.43 57.87 61.22 63.89 65.62 31.66 49.94 62.95 70.43 74.42 76.45 78.36 80.05 81.01 81.32 B CCC/C Investment-grade 0.47 2.86 6.08 9.03 11.66 13.82 15.33 16.35 17.01 17.41 Speculative-grade 17.77 31.60 42.07 49.88 55.37 59.19 62.20 64.52 66.39 67.75 5.35 10.83 15.84 19.84 22.95 25.29 26.95 28.12 28.94 29.47 Overall 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Deterioration In Average Credit Quality Slows Further In 2014 Positive performance in sectors such as structured credit helped slow the rate of decline in average credit quality for global structured finance in 2014. The credit quality of global structured finance securities was generally stable until 2007, but fell significantly between 2007 and 2010. While ratings have still been declining on average since then, the rate of downward transitions has slowed significantly, with investment-grade ratings beginning to show modest increases in credit quality on a 12-month rolling basis from late 2014 (see charts 12 and 13). Taking into account both the magnitude and frequency of rating changes, the average credit rating for all structured finance securities declined by 3.5 notches during 2009 and 1.4 notches in 2010. The rate of decline had moderated to only 0.9 notches in 2012, 0.4 notches in 2013, and 0.1 notches in 2014. In 2014, there was continued divergence in performance between different asset classes within structured finance, with global RMBS and CMBS turning in average declines in credit quality of 0.3 and 0.1 notches, respectively. By contrast, the average increase in credit quality in the ABS sector was 0.1 notches, and in structured credit it was 0.5 notches for the 12 months ended Dec. 31, 2014. Chart 12 shows the average change in credit quality for each sector in each 12-month period. This calculation considers our entire portfolio of structured finance ratings (both public and confidential) and gives equal weight to each rating outstanding at the beginning of each 12-month period. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 23 1406997 | 301945678

24) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 12 Chart 13 shows the average change in credit quality for structured finance securities in each rating grade. Ratings on investment-grade securities saw essentially no change in average credit quality in 2014 (actually a small rise), compared with a 0.2-notch decrease for speculative-grade securities. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 24 1406997 | 301945678

25) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Chart 13 Table 11 provides descriptive statistics for the changes in average credit quality shown in charts 12 and 13. Table 11 Descriptive Statistics For 12-Month Changes In Global Structured Finance Credit Quality, Jan. 1995-Dec. 2014 (No. Of Notches) By rating grade By rating category Overall Investment-grade Speculative-grade 2014 (0.08) 0.02 2013 (0.37) 2012 Average AAA AA A (0.19) (0.09) 0.02 0.07 BBB By sector BB B ABS Sructured credit CMBS RMBS 0.06 (0.07) (0.11) 0.1 0.5 (0.1) (0.3) (0.38) (0.36) (0.77) (0.44) (0.24) (0.15) (0.29) (0.31) 0.0 0.4 (0.4) (0.7) (0.91) (1.08) (0.76) (1.20) (1.47) (0.80) (0.75) (0.95) (0.86) (0.2) 0.2 (0.8) (1.4) (0.56) (0.59) (0.60) (0.44) (0.65) (0.61) (0.67) (0.73) (0.65) (0.1) (0.5) (0.3) (0.7) Minimum (3.78) (4.25) (3.00) (2.80) (5.11) (4.82) (4.90) (4.67) (3.83) (0.7) (3.9) (2.9) (4.9) Maximum 0.19 0.20 0.17 (0.00) 0.25 0.37 0.34 0.28 0.19 0.3 0.5 0.5 0.4 Standard deviation 1.03 1.13 0.83 1.36 1.29 1.29 1.20 1.01 0.2 1.0 0.8 1.3 0.71 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 25 1406997 | 301945678

26) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Appendix I: Data Selection And Rating Transition Methodology This section discusses the data and methodology, and explains the terminology we use in this report. This long-term global structured finance default and rating transition study uses our database of long-term issue credit ratings. The analysis excludes public information ("pi") ratings. We also do not include issuer credit ratings or short-term issue ratings, such as those on asset-backed commercial paper conduits. Our ongoing enhancement of the database used to generate this study could lead to outcomes that differ to some degree from those reported in previous studies. However, each study includes statistics for previous years, ensuring that the study is self-consistent and effectively supersedes all previous versions. Issues included in this study The study analyzes the rating histories of 125,121 global structured finance instruments that Standard & Poor's rated that were first rated from 1974 until Dec. 31, 2014. The term "structured finance" in this report refers to ABS, CMBS, RMBS, structured credit, and single-name synthetic transactions. For some analyses, we break down these asset classes further into sub-asset classes. ABS includes underlying collateral types such as credit card receivables, student loans, and auto loans and leases. The sector also includes manufactured housing, franchise loans, 12b-1 transactions, and corporate securitizations. We include transactions backed by loans to small and mid-sized enterprises (SMEs) in the ABS asset class, even though these transactions are sometimes referred to as SME CLOs. RMBS includes transactions backed by subprime mortgage loans, as well as home equity loan transactions. Structured credit includes both cash and synthetic CDOs, as well as market-value CDOs and other leveraged funds. CMBS includes Re-REMICS and commercial real estate (CRE) CDOs primarily collateralized by commercial real estate loans or CMBS. Single-name synthetic transactions are also referred to as repackaged transactions (or "repacks"), especially in Europe. The definition of a repack in this instance is an issue backed by a single credit, where the rating on the note is directly linked to that on the underlying credit. In this study, we include a subset of the covered bonds that we rate, namely those that we deem to be so-called "structured" (rather than "legislation-enabled") programs. These are generally backed by mortgage loan collateral and included in the RMBS sector in this report. Structured finance region This study presents rating transitions for global structured finance transactions. In some analyses we segment default and transition statistics by region. In defining a transaction's region, we use the location where we perform surveillance as the primary way to determine its region. We may also consider the transaction's issuer country (unless this is a tax-haven country such as the Cayman Islands) and/or its domicile of assets. In some cases, the domicile of assets may fail to provide additional insights into the region, especially when a transaction's domicile of assets includes more than one country. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 26 1406997 | 301945678

27) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions The "Asia (non-Japan)" region includes transactions in Hong Kong, Singapore, Korea, and Taiwan, as well as in other countries in the region. The "emerging markets" region includes emerging market countries that are not included in other regions, such as Turkey and South Africa. Data This report analyzes the full-year 2014 global structured finance rating transitions, as well as average one-year and multiyear transitions and lifetime transitions. Transitions for 2014 are based on a static pool comprising all ratings outstanding on Jan. 1, 2014. We compile average one-year and multiyear transitions by averaging the results of similar analyses for distinct static pools of all ratings outstanding on Jan. 1 of preceding years, back to 1976. We base the lifetime transitions on the set of all global structured finance ratings we originally assigned, and their transitions up until the end of 2014. Rating transition Our rating transition statistics use a "static pool" approach. To calculate the transition statistics over a given time period (or "transition window"), we consider the static pool of ratings outstanding at the beginning that time period. The transition statistics for that static pool of ratings are then based on the movements in ratings between the start and end of the transition window. For instance, we calculate the 2014 transition rates by determining the ratings on each security outstanding at the start of 2014 and determining the ratings on those same securities at the end of 2014. We then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportion of securities in the static pool whose ratings moved up, down, or remained that same respectively over the transition window. During this process, we count each security only once, even the security experienced more than one rating change during the transition window being observed. In other words, we use a security's rating at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes. Weighted-average transition For weighted-average transition rates, we calculate the individual transition rates of different static pools. We then create a single averaged matrix, weighted by the number of ratings in each static pool. We use this technique, for example, to determine the average one-year transition rates by analyzing different static pools over different one-year periods. Transition window A transition window refers to a period over which we observe a security's rating behavior. For example, in this study, the 2014 transition window begins at the start of 2014 and ends at the end of 2014, for the 2014 transition statistics. For historical averages, transition windows used to compile the average transition rates correspond to calendar years. For lifetime transitions, we give each rating under consideration its own transition window, from original rating date to the end of 2014. Rating modifiers We use rating modifiers ('+' and '-') to calculate the upgrade, downgrade, and stability rates quoted in the text throughout this study and in some of the tables (as noted in the footnotes for each table). However, most of the transition matrices in this report use the less granular full rating categories for practical reasons. In other words, we count transitions such as 'AA' to 'AA+' as an upgrade and 'BBB+' to 'BBB-' as a downgrade, in the text. In the corresponding transition matrix, these transitions appear as stable ratings such as 'AA' to 'AA', or 'BBB' to 'BBB'. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 27 1406997 | 301945678

28) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Rating discontinuance or withdrawal We may discontinue ratings when, for example, a rated obligation's payments have been made in full in accordance with its terms or when a rated issue matures. Ratings may also be withdrawn, for example, because of a lack of sufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to 'NR' (not rated). When we withdraw or discontinue ratings within the transition window under consideration we may either derive our reported statistics by classifying the rating transition as a move to 'NR', or—for some other analyses—we may classify the transition as a move to the last "non-NR" rating before withdrawal. In the text of this report, when we refer to upgrade and downgrade rates, for example, we use the latter approach. In the tables and charts, we clarify the approach used in the footnotes. We do not include a security with a withdrawn rating at the beginning of a transition window in the transition and default rate calculations for that period. Treatment of 'AAA' ratings In this study, we consider the ratings history of all securities whose original rating was below the 'AAA' level. However, we generally consider only unique ratings in a given structured finance transaction at the 'AAA' level. Therefore, we treat ratings from the same transaction that we originally rated 'AAA' as a single rating, and we include only the rating with the longest expected maturity in the calculation of rating transitions. Exceptions to this approach are highlighted in the footnotes to relevant tables and charts (e.g., table 19). Near-defaults In this study, we classify rating transitions as "near-defaults" when we lowered the rating to 'CC' or 'C' during the transition window under consideration. If a security's rating is already 'CC' or 'C' at the beginning of a transition window, we don't include it in the near-default category because that event did not take place during the transition window analyzed. We consider securities rated 'CC' or 'C' to be highly vulnerable to nonpayment risk. Credit quality Certain analyses in this study refer to average changes in credit quality of a set of structured finance securities over a given transition window. We define the average change in credit quality as the average number of rating notches by which ratings changed during the stated transition window, where we take the average across all ratings in the set under consideration (e.g., a particular asset class). In this averaging, we count downgrades as a negative number of notches, whereas we count upgrades as a positive number. We consider stable ratings to have undergone a transition of zero notches. We believe this measure acts as a useful summary of the performance of, for example, a given asset class, since it combines the relative number of ratings undergoing transition with the severity of that transition. Appendix II: Default And Transition Tables Tables 12-26 provide various default and transition rates for global structured securities. Table 12 Global Structured Finance One-Year Default Rates, 1976-2014 (%) One-year period ending at year-end AAA AA A BBB BB B CCC/C Investment-grade Speculative-grade Overall 1976 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1977 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 28 1406997 | 301945678

29) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 12 Global Structured Finance One-Year Default Rates, 1976-2014 (%) (cont.) 1978 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 40.00 0.22 1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 0.00 0.00 0.00 0.00 0.00 5.88 0.00 0.00 2.56 0.02 1994 0.00 0.00 0.00 0.00 0.00 1.82 0.00 0.00 0.78 0.02 1995 0.00 0.00 0.00 0.31 0.93 0.93 52.63 0.01 8.73 0.32 1996 0.00 0.00 0.09 0.00 1.15 0.00 31.03 0.01 3.03 0.15 1997 0.00 0.00 0.00 0.00 0.00 0.00 24.14 0.00 1.33 0.08 1998 0.00 0.00 0.77 0.13 0.85 2.19 25.81 0.14 2.58 0.30 1999 0.00 0.00 0.06 0.00 0.00 1.38 21.88 0.01 1.33 0.12 2000 0.00 0.00 0.00 0.07 0.47 1.85 5.26 0.01 1.18 0.11 2001 0.05 0.00 0.09 0.42 0.65 2.79 26.87 0.10 2.76 0.37 2002 0.00 0.04 0.14 0.52 1.87 8.27 26.36 0.12 5.67 0.78 2003 0.00 0.00 0.07 0.53 0.92 2.29 32.83 0.12 4.17 0.68 2004 0.00 0.00 0.00 0.14 0.68 2.19 13.88 0.03 2.22 0.36 2005 0.00 0.00 0.00 0.06 0.19 1.34 16.04 0.02 1.78 0.28 2006 0.00 0.00 0.00 0.08 0.26 0.48 18.46 0.02 1.25 0.21 2007 0.04 0.06 0.11 0.61 2.38 1.42 24.24 0.21 3.02 0.62 2008 0.51 0.61 1.05 2.02 4.75 11.85 57.20 1.01 16.25 4.12 2009 0.28 1.42 3.06 6.17 10.07 20.79 56.25 2.59 38.59 16.51 2010 0.25 0.59 0.72 1.81 2.94 6.81 27.26 0.79 19.87 10.49 2011 0.16 0.14 0.05 0.52 1.25 7.40 30.62 0.20 22.12 11.74 2012 0.00 0.14 0.06 0.25 0.82 1.87 31.01 0.11 21.24 11.15 2013 0.03 0.06 0.10 0.19 0.65 1.45 18.32 0.09 11.93 6.06 2014 0.00 0.02 0.00 0.00 0.19 1.54 13.62 0.01 8.55 4.20 Average 0.03 0.08 0.16 0.35 2.08 2.17 14.20 0.14 5.67 1.77 Median 0.00 0.00 0.00 0.00 0.00 0.48 5.26 0.00 1.33 0.11 Std. dev. 0.10 0.26 0.53 1.05 8.08 4.10 17.09 0.45 10.04 3.96 Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 0.51 1.42 3.06 6.17 50.00 20.79 57.20 2.59 40.00 16.51 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 29 1406997 | 301945678

30) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 12 Global Structured Finance One-Year Default Rates, 1976-2014 (%) (cont.) 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 13 Global Structured Finance Three-Year Default Rates, 1976-2014 (%) Three-year period ending at year-end AAA AA A BBB BB B CCC/C Investment-grade Speculative-grade Overall 1978 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 0.00 2.99 0.00 0.00 0.00 0.00 0.00 0.56 0.00 0.56 1989 0.00 1.57 0.00 0.00 0.00 0.00 0.00 0.34 0.00 0.34 1990 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 40.00 0.22 1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 0.00 0.11 0.00 0.00 0.00 0.00 0.00 0.03 0.00 0.03 1994 0.00 0.00 0.00 1.72 0.00 20.00 0.00 0.02 7.69 0.05 1995 0.00 0.00 1.77 4.17 7.69 11.76 44.44 0.34 17.95 0.47 1996 0.00 0.06 1.50 1.62 17.74 5.45 33.33 0.29 13.95 0.57 1997 0.00 0.00 0.10 0.92 3.74 7.48 68.42 0.06 15.08 0.59 1998 0.00 0.00 0.09 0.23 4.02 5.63 55.17 0.03 8.82 0.43 1999 0.00 0.00 0.30 0.19 1.50 6.90 44.83 0.06 6.26 0.44 2000 0.00 0.00 0.83 0.80 1.13 6.93 41.94 0.21 5.46 0.56 2001 0.06 0.14 0.45 1.04 2.95 6.63 34.38 0.24 5.54 0.67 2002 0.09 0.32 0.72 3.67 7.73 10.16 21.05 0.69 9.14 1.43 2003 0.08 0.33 0.65 2.60 7.75 25.83 35.82 0.57 16.41 2.21 2004 0.00 0.28 0.90 2.94 5.97 20.60 35.45 0.72 13.19 2.19 2005 0.00 0.24 0.64 1.86 3.99 7.16 41.13 0.56 8.32 1.63 2006 0.00 0.00 0.06 0.74 2.29 6.08 33.12 0.19 6.00 1.07 2007 0.01 0.03 0.07 0.99 1.84 3.99 38.68 0.27 5.35 1.04 2008 0.09 0.13 0.95 4.86 7.64 7.49 36.15 1.49 9.02 2.64 2009 2.02 11.33 19.17 27.67 31.39 40.67 44.76 14.95 34.95 17.88 2010 5.32 20.74 25.57 31.43 43.74 62.60 79.27 20.31 56.25 27.63 2011 2.92 9.44 13.86 22.13 36.77 58.30 83.10 11.64 67.58 33.26 2012 0.76 1.95 2.68 8.04 14.13 29.58 69.42 3.12 53.74 28.86 2013 0.36 0.72 0.93 2.79 6.73 19.72 63.07 1.12 46.97 25.25 2014 0.21 0.41 0.52 1.21 4.20 9.28 51.04 0.56 36.49 19.34 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 30 1406997 | 301945678

31) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 13 Global Structured Finance Three-Year Default Rates, 1976-2014 (%) (cont.) Average 0.32 1.37 1.94 3.29 Median 0.00 0.00 0.07 0.74 Std. dev. 1.03 4.06 5.51 7.45 Minimum 0.00 0.00 0.00 0.00 Maximum 5.32 20.74 25.57 7.11 31.43 10.06 25.80 1.58 13.09 4.58 1.84 5.63 33.12 12.69 15.57 27.03 0.19 6.00 0.47 4.39 18.53 9.55 0.00 0.00 0.00 0.00 0.00 0.00 50.00 62.60 83.10 20.31 67.58 33.26 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 14 Global Structured Finance Five-Year Default Rates, 1976-2014 (%) Five-year period ending at year-end AAA AA A BBB BB B CCC/C Investment-grade Speculative-grade Overall 1980 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 0.00 4.17 0.00 0.00 0.00 0.00 0.00 1.21 0.00 1.20 1989 0.00 4.40 0.00 0.00 0.00 0.00 0.00 0.97 0.00 0.97 1990 0.00 2.99 0.00 0.00 0.00 0.00 0.00 0.56 0.00 0.56 1991 0.00 1.57 0.00 0.00 0.00 0.00 0.00 0.34 0.00 0.34 1992 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 40.00 0.22 1993 0.00 0.16 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.04 1994 0.00 0.12 0.90 0.00 0.00 0.00 0.00 0.07 0.00 0.07 1995 0.00 0.75 2.26 3.85 0.00 0.00 0.00 0.45 0.00 0.45 1996 0.00 0.89 2.25 15.52 40.00 20.00 0.00 0.74 23.08 0.81 1997 0.00 0.45 2.40 6.25 15.38 11.76 44.44 0.61 20.51 0.75 1998 0.00 0.45 1.71 2.16 17.74 9.09 33.33 0.45 15.50 0.76 1999 0.00 0.00 0.10 1.83 8.41 15.89 71.05 0.10 21.03 0.84 2000 0.00 0.00 0.09 0.47 5.75 12.50 55.17 0.04 12.67 0.62 2001 0.00 0.00 0.30 0.58 3.38 11.64 55.17 0.09 9.87 0.68 2002 0.00 0.21 1.34 3.85 7.91 12.77 54.84 0.58 12.14 1.35 2003 0.09 0.37 1.01 9.13 10.81 14.64 43.75 1.24 13.51 2.23 2004 0.12 0.51 1.15 9.49 11.99 15.24 23.68 1.53 13.67 2.60 2005 0.11 0.60 1.65 5.63 9.95 28.97 43.28 1.23 19.24 3.09 2006 0.00 0.72 1.59 5.04 8.38 25.07 47.27 1.28 16.90 3.13 2007 0.00 0.51 1.08 4.04 5.78 10.70 53.21 1.14 11.60 2.59 2008 0.01 0.07 0.40 4.23 3.87 9.97 42.59 1.11 9.04 2.31 2009 0.22 0.64 2.15 7.95 10.02 22.14 45.28 2.65 17.05 4.83 2010 1.39 5.90 12.19 22.37 33.82 50.83 51.54 10.22 40.63 14.85 2011 6.96 25.25 31.88 41.68 50.77 69.72 70.86 26.31 57.73 30.92 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 31 1406997 | 301945678

32) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 14 Global Structured Finance Five-Year Default Rates, 1976-2014 (%) (cont.) 2012 12.21 33.19 39.64 48.92 62.90 82.14 94.66 32.85 74.88 41.41 2013 6.82 17.57 22.89 33.83 50.06 74.14 92.73 19.65 79.29 42.71 2014 1.44 4.21 5.52 13.55 22.97 43.90 77.37 5.77 62.90 34.82 Average 0.84 3.02 3.79 6.87 12.28 15.46 28.58 3.18 16.32 5.58 Median 0.00 0.45 0.40 1.83 5.75 9.97 23.68 0.56 11.60 0.76 Std. dev. 2.56 7.34 9.11 12.07 17.85 22.49 31.22 7.60 22.15 12.02 Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 12.21 33.19 39.64 48.92 62.90 82.14 94.66 32.85 79.29 42.71 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 15 Global Structured Finance 10-Year Default Rates, 1976-2014 (%) 10-year period ending at year-end AAA AA A BBB BB B CCC/C Investment-grade Speculative-grade Overall 1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 0.00 4.17 0.00 0.00 0.00 0.00 0.00 1.21 0.00 1.20 1994 0.00 4.40 0.00 0.00 0.00 0.00 0.00 0.97 0.00 0.97 1995 0.00 2.99 0.00 0.00 0.00 0.00 0.00 0.56 0.00 0.56 1996 0.00 1.96 0.00 0.00 0.00 0.00 0.00 0.43 0.00 0.42 1997 0.00 0.23 0.00 0.00 50.00 0.00 0.00 0.06 40.00 0.27 1998 0.00 0.80 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.20 1999 0.00 0.60 5.41 0.00 33.33 0.00 0.00 0.37 12.50 0.40 2000 0.09 1.50 2.54 11.54 50.00 0.00 0.00 0.79 14.29 0.81 2001 0.12 1.54 2.63 18.97 40.00 20.00 0.00 1.09 23.08 1.15 2002 0.04 0.71 2.77 8.33 15.38 23.53 44.44 0.80 25.64 0.98 2003 0.00 0.51 2.46 2.70 19.35 12.73 41.67 0.60 18.60 0.97 2004 0.00 0.00 0.39 7.03 10.28 21.50 73.68 0.39 24.60 1.24 2005 0.00 0.00 1.12 5.59 11.49 20.00 62.07 0.47 19.28 1.33 2006 0.00 0.06 2.66 1.94 16.17 17.67 58.62 0.57 19.17 1.70 2007 0.00 0.31 1.60 11.29 14.97 18.61 58.06 1.26 18.51 2.41 2008 0.13 0.56 1.86 13.09 13.75 19.34 43.75 1.85 17.05 3.08 2009 0.23 1.20 3.26 13.73 15.30 20.79 28.95 2.62 17.92 3.97 2010 0.62 2.09 3.99 9.44 16.15 38.39 47.76 2.70 26.66 5.17 2011 0.63 2.43 4.14 10.08 19.16 40.81 54.55 3.22 29.39 6.31 2012 0.84 2.60 4.29 11.63 18.15 32.57 70.19 4.06 27.65 7.33 2013 0.98 2.47 4.53 13.47 25.23 44.62 62.78 5.01 35.38 9.59 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 32 1406997 | 301945678

33) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 15 Global Structured Finance 10-Year Default Rates, 1976-2014 (%) (cont.) 2014 1.71 5.91 12.26 25.21 41.10 62.58 65.57 10.79 50.73 16.82 Average 0.18 1.23 1.86 5.47 13.66 13.10 23.74 1.33 14.02 2.23 Median 0.00 0.58 0.76 0.97 12.62 0.00 0.00 0.57 15.67 0.97 Std. dev. 0.39 1.56 2.62 6.92 15.71 17.02 28.81 2.20 14.46 3.67 Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 1.71 5.91 12.26 25.21 50.00 62.58 73.68 10.79 50.73 16.82 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 16 Global Structured Finance Rating Transitions, 2014 (%) From/to Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/stable/NR Downgrade Global structured finance AAA 3081 75.92 0.97 0.10 0.13 0.13 0.03 0.06 0.00 0.00 0.00 22.65 98.57 1.43 AA 4731 6.89 73.37 3.47 0.36 0.30 0.06 0.19 0.00 0.00 0.02 15.35 95.60 4.40 A 4926 0.73 6.35 77.63 2.23 0.85 0.35 0.41 0.00 0.00 0.00 11.45 96.16 3.84 BBB 3958 0.25 1.31 5.31 75.77 4.07 1.24 0.96 0.03 0.00 0.00 11.07 93.71 6.29 BB 3119 0.19 0.32 1.28 5.07 73.10 7.69 2.31 0.00 0.00 0.19 9.84 89.80 10.20 B 3305 0.06 0.06 0.51 1.00 3.24 77.49 8.99 0.27 0.00 1.54 6.84 89.20 10.80 CCC 6131 0.02 0.02 0.07 0.10 0.49 2.01 83.93 1.09 0.00 7.65 4.63 91.26 8.74 CC 3574 0.00 0.00 0.00 0.03 0.00 0.14 3.39 69.78 0.00 23.87 2.80 76.13 23.87 558 70.61 0.54 0.36 0.18 0.00 0.00 0.00 0.00 0.00 0.00 28.32 98.92 1.08 C 0 Global ABS AAA AA 1237 2.99 75.18 1.13 0.16 0.00 0.00 0.00 0.00 0.00 0.00 20.53 98.71 1.29 A 1276 0.55 6.19 78.53 1.33 0.16 0.55 0.00 0.00 0.00 0.00 12.70 97.96 2.04 BBB 561 0.00 1.25 4.10 77.54 1.43 1.25 0.00 0.00 0.00 0.00 14.44 97.33 2.67 BB 192 0.00 0.00 3.13 8.33 76.04 2.08 0.00 0.00 0.00 0.00 10.42 97.92 2.08 B 184 0.00 0.00 2.17 2.72 1.63 82.61 1.09 1.63 0.00 1.63 6.52 95.65 4.35 CCC 183 0.00 0.00 1.09 1.64 1.09 1.64 81.42 1.09 0.00 8.74 3.28 90.16 9.84 84 0.00 0.00 0.00 0.00 0.00 0.00 0.00 67.86 0.00 28.57 3.57 71.43 28.57 1.84 0.00 0.13 0.39 0.00 0.00 0.00 0.00 0.00 38.16 97.63 2.37 1246 21.83 62.68 0.40 0.00 0.16 0.08 0.00 0.00 0.00 0.00 14.85 99.36 0.64 0.10 0.10 0.21 0.10 0.00 0.00 0.00 16.06 99.48 0.52 CC C 0 Global structured credit AAA AA 760 59.47 A 959 2.40 16.58 64.44 BBB 989 0.20 2.53 13.85 65.82 0.71 0.51 0.40 0.00 0.00 0.00 15.98 98.38 1.62 BB 905 0.00 0.22 2.21 12.60 66.41 3.20 0.33 0.00 0.00 0.22 14.81 96.24 3.76 B 568 0.00 0.00 0.18 4.23 13.56 63.20 4.05 0.00 0.00 0.70 14.08 95.25 4.75 CCC 936 0.00 0.00 0.00 0.11 2.03 9.19 66.45 3.10 0.00 6.84 12.29 90.06 9.94 CC 185 0.00 0.00 0.00 0.54 0.00 0.00 77.84 22.16 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT 0.00 68.65 0.00 22.16 8.65 JUNE 22, 2015 33 1406997 | 301945678

34) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 16 Global Structured Finance Rating Transitions, 2014 (%) (cont.) C 0 Global CMBS AAA 247 68.83 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.77 99.60 0.40 AA 330 1.82 65.76 1.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.91 98.48 1.52 A 420 1.43 5.95 68.57 1.43 0.48 0.24 0.00 0.00 0.00 0.00 21.90 97.86 2.14 BBB 503 1.19 1.59 4.57 71.57 1.19 1.39 0.00 0.00 0.00 0.00 18.49 97.42 2.58 BB 472 0.85 0.85 1.48 2.97 71.40 4.87 0.85 0.00 0.00 0.64 16.10 93.64 6.36 B 654 0.15 0.31 1.22 0.15 2.14 73.09 8.41 0.61 0.00 4.13 9.79 86.85 13.15 CCC 621 0.00 0.16 0.16 0.16 1.13 3.86 58.94 0.81 0.00 26.09 8.70 73.11 26.89 CC 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00 C 0 AAA 1499 87.39 0.80 0.07 0.13 0.07 0.07 0.13 0.00 0.00 0.00 11.34 98.73 1.27 AA 1799 0.61 80.99 7.56 0.83 0.67 0.11 0.50 0.00 0.00 0.06 8.67 90.27 9.73 A 2052 0.00 2.39 84.21 4.14 1.80 0.34 0.93 0.00 0.00 0.00 6.19 92.79 7.21 BBB 1717 0.12 0.70 1.57 82.12 7.75 1.75 1.98 0.06 0.00 0.00 3.96 88.47 11.53 BB 1471 0.14 0.27 0.48 0.75 77.36 12.51 4.42 0.00 0.00 0.07 4.01 83.00 17.00 B 1882 0.05 0.00 0.21 0.16 0.53 83.00 11.53 0.11 0.00 0.90 3.51 87.46 12.54 CCC 4378 0.02 0.00 0.02 0.02 0.05 0.23 91.30 0.71 0.00 5.19 2.47 94.11 5.89 CC 3299 0.00 0.00 0.00 0.00 0.00 0.15 3.67 69.99 0.00 23.73 2.46 76.27 23.73 Global RMBS C 0 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 17 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) From/to AAA AA A BBB BB B CCC CC C D NR Upgrade/stable/NR Downgrade Global structured finance AAA 80.24 2.64 1.22 0.86 0.58 0.71 0.64 0.17 0.00 0.09 12.85 93.09 6.91 AA 3.81 74.40 3.58 2.23 1.67 1.96 3.23 0.86 0.01 0.28 7.97 86.19 13.81 A 0.93 3.67 72.49 3.99 2.48 2.29 4.20 1.65 0.00 0.53 7.77 84.86 15.14 BBB 0.47 0.94 2.86 69.25 4.66 4.21 6.32 3.06 0.00 1.24 6.99 80.51 19.49 BB 0.12 0.16 0.80 3.38 63.85 7.90 10.32 5.21 0.01 2.73 5.52 73.82 26.18 B 0.02 0.04 0.16 0.56 2.77 60.13 17.43 8.41 0.02 6.52 3.94 67.62 32.38 CCC 0.01 0.01 0.01 0.08 0.55 1.74 53.89 17.02 0.01 22.53 4.15 60.44 39.56 CC 0.00 0.00 0.00 0.01 0.01 0.13 0.38 54.48 0.00 43.02 1.97 56.98 43.02 C 0.00 0.00 0.00 0.00 0.00 0.00 2.11 0.00 58.95 36.84 2.11 63.16 36.84 77.57 2.44 0.90 0.29 0.03 0.02 0.01 0.00 0.00 0.00 18.73 96.30 3.70 AA 2.81 75.05 4.22 1.32 0.51 0.11 0.02 0.02 0.00 0.03 15.92 93.78 6.22 A 1.10 3.28 77.27 3.60 0.59 0.36 0.16 0.02 0.00 0.13 13.48 95.14 4.86 BBB 2.15 1.22 2.54 75.31 2.84 1.89 0.73 0.10 0.00 0.26 12.96 94.18 5.82 Global ABS AAA WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 34 1406997 | 301945678

35) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 17 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) BB 0.31 0.60 1.85 2.85 65.62 9.34 3.95 0.66 0.00 1.10 13.73 84.96 15.04 B 0.06 0.00 1.62 0.60 2.34 65.32 15.63 2.10 CCC 0.00 0.00 0.14 0.20 0.14 1.23 72.63 7.56 0.00 4.87 7.45 77.40 22.60 0.00 15.25 2.86 77.20 22.80 CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 63.01 0.27 32.05 4.66 67.67 32.33 C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00 2.13 1.76 1.20 0.82 1.12 0.82 0.00 0.40 13.66 86.09 13.91 Global structured credit AAA 72.43 5.66 AA 5.62 66.34 5.51 3.87 1.87 1.21 2.27 1.78 0.00 0.64 10.90 82.86 17.14 A 0.92 6.44 64.58 6.89 3.77 1.84 2.33 2.27 0.00 0.72 10.25 82.19 17.81 BBB 0.22 1.07 5.17 63.49 6.31 4.07 7.05 3.18 0.00 0.79 8.67 78.61 21.39 BB 0.02 0.15 1.13 6.78 61.38 5.84 12.19 3.15 0.00 0.82 8.53 78.00 22.00 B 0.02 0.07 0.30 2.29 11.00 49.26 20.05 5.10 0.00 1.40 10.51 73.45 26.55 CCC 0.01 0.02 0.00 0.26 2.07 5.74 59.02 9.53 0.00 10.33 13.04 80.14 19.86 CC 0.00 0.00 0.00 0.01 0.03 0.03 0.09 57.45 0.00 37.81 4.58 62.19 37.81 C 0.00 78.33 1.84 0.91 0.72 0.47 0.28 0.02 0.00 0.00 0.04 17.39 95.71 4.29 AA 6.74 74.08 2.85 2.09 1.56 1.18 0.14 0.00 0.00 0.06 11.31 92.13 7.87 A 2.02 5.21 73.61 4.02 2.53 2.31 0.54 0.00 0.00 0.08 9.67 90.51 9.49 BBB 0.63 1.49 3.96 73.34 5.21 4.44 2.26 0.02 0.00 0.43 8.23 87.64 12.36 BB 0.25 0.17 0.45 3.03 74.22 8.60 6.49 0.12 0.06 1.69 4.90 83.03 16.97 B 0.04 0.04 0.12 0.19 1.50 72.59 15.43 0.19 0.00 7.05 2.85 77.33 22.67 CCC 0.02 0.04 0.07 0.05 0.37 1.08 54.14 0.94 0.00 39.13 4.16 59.93 40.07 CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45 0.00 51.95 2.60 48.05 51.95 C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00 Global CMBS AAA Global RMBS AAA 83.43 1.80 1.14 0.85 0.65 1.00 0.82 0.09 0.00 0.05 10.17 93.60 6.40 AA 3.11 76.65 2.94 2.00 1.87 2.66 4.64 0.91 0.00 0.27 4.95 84.71 15.29 A 0.67 2.70 72.27 3.18 2.93 3.34 7.57 2.60 0.00 0.76 3.99 79.63 20.37 BBB 0.11 0.71 1.82 67.95 4.36 4.95 9.01 4.83 0.00 1.91 4.36 74.95 25.05 BB 0.03 0.11 0.65 1.96 59.92 8.38 12.25 9.05 0.00 4.28 3.37 66.05 33.95 B 0.01 0.03 0.06 0.35 1.47 56.74 18.02 13.05 0.00 7.52 2.74 61.40 38.60 CCC 0.00 0.00 0.01 0.02 0.12 0.53 51.52 22.39 0.02 24.04 1.35 53.55 46.45 CC 0.00 0.00 0.00 0.01 0.01 0.15 0.44 53.81 0.00 44.22 1.37 55.78 44.22 C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 100.00 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 35 1406997 | 301945678

36) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 18 Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Collapsed (%) From/to Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/stable/NR Downgrade Global structured finance AAA 32316 8.30 3.38 2.53 1.76 1.28 1.64 3.15 0.60 0.00 8.40 68.96 77.26 22.74 AA 26748 1.20 10.18 3.27 1.85 2.52 3.19 6.12 1.84 0.00 27.64 42.19 53.57 46.43 A 25875 0.59 1.67 10.57 1.81 1.50 2.05 6.25 2.86 0.00 32.02 40.67 53.50 46.50 BBB 24462 0.31 0.43 1.17 8.39 1.53 1.90 3.81 3.43 0.00 43.68 35.34 45.64 54.36 BB 10338 0.03 0.21 0.29 0.94 10.11 3.29 3.47 1.90 0.00 50.08 29.69 41.27 58.73 5237 0.02 0.04 0.25 0.17 0.40 8.00 2.54 1.99 0.00 62.96 23.64 32.52 67.48 213 0.00 0.00 0.00 1.88 0.00 0.94 4.69 0.47 0.00 56.34 35.68 43.19 56.81 42 0.00 0.00 0.00 0.00 0.00 2.38 0.00 9.52 0.00 66.67 21.43 33.33 66.67 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00 0.00 AAA 7063 8.07 3.44 1.06 0.65 0.37 0.54 0.40 0.34 0.00 0.27 84.86 92.94 7.06 AA 2506 0.68 29.45 7.50 0.88 0.12 0.48 1.44 0.28 0.00 2.27 56.90 87.03 12.97 A 4991 0.22 3.31 18.79 1.88 0.46 0.42 0.46 0.22 0.00 3.07 71.17 93.49 6.51 BBB 2661 0.15 1.69 1.50 15.45 1.39 2.86 1.88 0.38 0.00 6.91 67.79 86.58 13.42 BB 696 0.00 0.57 2.16 1.72 15.23 1.29 1.58 0.57 0.00 11.64 65.23 84.91 15.09 B B CCC CC C Global ABS 100 0.00 0.00 2.00 1.00 2.00 27.00 2.00 0.00 0.00 14.00 52.00 84.00 16.00 CCC 32 0.00 0.00 0.00 0.00 0.00 0.00 3.13 3.13 0.00 65.63 28.13 31.25 68.75 CC 11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 36.36 0.00 27.27 36.36 72.73 27.27 C 0 Global structured credit AAA 7931 8.93 2.64 0.67 0.66 0.69 0.82 1.12 0.11 0.00 11.10 73.27 82.20 17.80 AA 5568 2.82 14.39 1.81 0.61 0.86 0.65 1.63 0.59 0.00 19.74 56.90 74.10 25.90 A 4292 0.93 3.38 16.29 2.75 1.10 1.05 3.03 0.86 0.00 21.48 49.14 69.73 30.27 BBB 4075 0.12 0.42 1.91 16.79 3.39 1.72 4.34 1.18 0.00 29.06 41.08 60.32 39.68 BB 2138 0.00 0.19 0.28 1.87 25.54 7.67 6.50 1.17 0.00 20.72 36.06 63.94 36.06 480 0.00 0.00 0.21 0.42 0.83 34.17 5.42 0.83 0.00 18.96 39.17 74.79 25.21 B CCC 70 0.00 0.00 0.00 0.00 0.00 1.43 4.29 0.00 0.00 44.29 50.00 55.71 44.29 CC 5 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 40.00 40.00 60.00 40.00 C 0 AAA 1574 11.50 1.59 2.22 2.10 2.03 3.75 1.72 0.00 0.00 4.19 70.90 82.40 17.60 AA 2469 1.62 8.79 2.47 2.63 2.67 4.66 3.60 0.04 0.00 8.38 65.13 75.54 24.46 A 2690 0.41 1.86 8.74 2.42 2.16 4.05 3.49 0.04 0.00 13.75 63.09 74.09 25.91 BBB 3386 0.24 0.44 1.39 8.12 1.59 2.86 3.48 0.15 0.00 24.10 57.62 67.81 32.19 BB 1961 0.15 0.56 0.41 1.02 11.93 3.06 2.75 0.05 0.00 47.27 32.79 46.86 53.14 B 1396 0.07 0.14 0.72 0.36 0.64 10.24 2.94 0.07 0.00 69.27 15.54 27.72 72.28 45 0.00 0.00 0.00 0.00 0.00 4.44 0.00 0.00 71.11 22.22 28.89 71.11 Global CMBS CCC CC 2.22 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 36 1406997 | 301945678

37) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 18 Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Collapsed (%) (cont.) C 0 Global RMBS AAA 14731 8.19 3.80 4.24 2.82 2.04 2.45 5.93 1.08 0.00 11.81 57.65 65.84 34.16 AA 15714 0.68 6.03 3.06 2.31 3.52 4.38 9.05 2.87 0.00 38.28 29.81 36.52 63.48 A 13186 0.68 0.46 5.79 1.18 1.72 2.68 10.37 5.24 0.00 51.67 20.21 27.13 72.87 BBB 13880 0.42 0.21 0.70 4.44 0.86 1.60 4.16 5.60 0.00 60.92 21.09 26.85 73.15 BB 5479 0.00 0.05 0.02 0.27 2.85 1.95 2.83 3.03 0.00 67.84 21.15 24.35 75.65 B 3223 0.00 0.00 0.00 0.03 0.19 2.58 1.99 3.07 0.00 68.94 23.21 26.00 74.00 CCC 46 0.00 0.00 0.00 0.00 0.00 0.00 8.70 0.00 0.00 71.74 19.57 28.26 71.74 CC 26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 88.46 11.54 11.54 88.46 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00 0.00 C 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 19 Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Not Collapsed (%) From/to Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/stable/NR Downgrade 3.05 2.10 1.63 1.14 1.30 4.17 0.75 0.00 11.74 68.39 74.12 25.88 Global structured finance AAA 127306 5.73 AA 26748 1.20 10.18 3.27 1.85 2.52 3.19 6.12 1.84 0.00 27.64 42.19 53.57 46.43 A 25876 0.59 1.67 10.57 1.81 1.50 2.05 6.25 2.86 0.00 32.02 40.67 53.51 46.49 BBB 24463 0.31 0.43 1.17 8.39 1.53 1.90 3.81 3.43 0.00 43.68 35.35 45.64 54.36 BB 10340 0.03 0.21 0.29 0.94 10.11 3.29 3.47 1.91 0.00 50.07 29.69 41.27 58.73 5237 0.02 0.04 0.25 0.17 0.40 8.00 2.54 1.99 0.00 62.96 23.64 32.52 67.48 219 0.00 0.00 0.00 1.83 0.00 0.91 4.57 0.46 0.00 57.08 35.16 42.47 57.53 50 0.00 0.00 0.00 0.00 0.00 2.00 0.00 8.00 0.00 72.00 18.00 28.00 72.00 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00 0.00 16213 8.26 3.52 0.84 0.41 0.26 0.42 0.35 0.30 0.00 0.15 85.49 93.75 6.25 7.50 0.88 0.12 0.48 1.44 0.28 0.00 2.27 56.90 87.03 12.97 B CCC CC C Global ABS AAA AA 2506 0.68 29.45 A 4991 0.22 3.31 18.79 1.88 0.46 0.42 0.46 0.22 0.00 3.07 71.17 93.49 6.51 BBB 2661 0.15 1.69 1.50 15.45 1.39 2.86 1.88 0.38 0.00 6.91 67.79 86.58 13.42 BB 696 0.00 0.57 2.16 1.72 15.23 1.29 1.58 0.57 0.00 11.64 65.23 84.91 15.09 B 100 0.00 0.00 2.00 1.00 2.00 27.00 2.00 0.00 0.00 14.00 52.00 84.00 16.00 CCC 32 0.00 0.00 0.00 0.00 0.00 0.00 3.13 3.13 0.00 65.63 28.13 31.25 68.75 CC 11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 36.36 0.00 27.27 36.36 72.73 27.27 C 0 Global structured credit AAA 2.88 0.67 0.85 0.86 0.87 0.99 0.12 0.00 15.16 67.80 77.60 22.40 AA 12653 5568 9.80 2.82 14.39 1.81 0.61 0.86 0.65 1.63 0.59 0.00 19.74 56.90 74.10 25.90 A 4292 0.93 3.38 16.29 2.75 1.10 1.05 3.03 0.86 0.00 21.48 49.14 69.73 30.27 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 37 1406997 | 301945678

38) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 19 Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Not Collapsed (%) (cont.) BBB 4076 0.12 0.42 1.91 16.78 3.39 1.72 4.34 1.18 0.00 29.05 41.09 60.33 39.67 BB 2138 0.00 0.19 480 0.00 0.00 0.28 1.87 25.54 7.67 6.50 1.17 0.00 20.72 36.06 63.94 36.06 0.21 0.42 0.83 34.17 5.42 0.83 0.00 18.96 39.17 74.79 25.21 70 0.00 0.00 0.00 0.00 0.00 1.43 4.29 0.00 0.00 44.29 50.00 55.71 44.29 CC 5 C 0 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 40.00 40.00 60.00 40.00 AAA 5872 18.17 1.98 2.06 1.92 1.23 1.69 0.60 0.00 0.00 1.86 70.50 88.68 11.32 AA 2469 1.62 8.79 2.47 2.63 2.67 4.66 3.60 0.04 0.00 8.38 65.13 75.54 24.46 A 2690 0.41 1.86 8.74 2.42 2.16 4.05 3.49 0.04 0.00 13.75 63.09 74.09 25.91 BBB 3386 0.24 0.44 1.39 8.12 1.59 2.86 3.48 0.15 0.00 24.10 57.62 67.81 32.19 BB 1961 0.15 0.56 0.41 1.02 11.93 3.06 2.75 0.05 0.00 47.27 32.79 46.86 53.14 B 1396 0.07 0.14 0.72 0.36 0.64 10.24 2.94 0.07 0.00 69.27 15.54 27.72 72.28 46 0.00 0.00 0.00 0.00 0.00 2.17 4.35 0.00 0.00 69.57 23.91 30.43 69.57 B CCC Global CMBS CCC CC 0 C 0 Global RMBS AAA 91291 3.98 3.03 2.51 1.93 1.34 1.50 5.58 0.98 0.00 14.12 65.03 69.02 30.98 AA 15714 0.68 6.03 3.06 2.31 3.52 4.38 9.05 2.87 0.00 38.28 29.81 36.52 63.48 A 13187 0.68 0.45 5.79 1.18 1.72 2.68 10.37 5.24 0.00 51.66 20.22 27.14 72.86 BBB 13880 0.42 0.21 0.70 4.44 0.86 1.60 4.16 5.60 0.00 60.92 21.09 26.85 73.15 BB 5481 0.00 0.05 0.02 0.27 2.85 1.95 2.83 3.05 0.00 67.82 21.16 24.36 75.64 B 3223 0.00 0.00 0.00 0.03 0.19 2.58 1.99 3.07 0.00 68.94 23.21 26.00 74.00 CCC 51 0.00 0.00 0.00 0.00 0.00 0.00 7.84 0.00 0.00 74.51 17.65 25.49 74.51 CC 34 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.18 8.82 8.82 91.18 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00 0.00 C 'AAA' ratings from the same transaction are treated individually in the calculation of this table. Table 20 Global Structured Finance Weighted-Average Multi-Year Rating Transitions, 1976-2014 (%) From/to AAA AA A BBB BB B CCC CC C D NR 80.24 2.64 1.22 0.86 0.58 0.71 0.64 0.17 0.00 0.09 12.85 AA 3.81 74.40 3.58 2.23 1.67 1.96 3.23 0.86 0.01 0.28 7.97 A 0.93 3.67 72.49 3.99 2.48 2.29 4.20 1.65 0.00 0.53 7.77 BBB 0.47 0.94 2.86 69.25 4.66 4.21 6.32 3.06 0.00 1.24 6.99 BB 0.12 0.16 0.80 3.38 63.85 7.90 10.32 5.21 0.01 2.73 5.52 B 0.02 0.04 0.16 0.56 2.77 60.13 17.43 8.41 0.02 6.52 3.94 CCC 0.01 0.01 0.01 0.08 0.55 1.74 53.89 17.02 0.01 22.53 4.15 CC 0.00 0.00 0.00 0.01 0.01 0.13 0.38 54.48 0.00 43.02 1.97 C 0.00 0.00 0.00 0.00 0.00 0.00 2.11 0.00 58.95 36.84 2.11 One-year AAA WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 38 1406997 | 301945678

39) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 20 Global Structured Finance Weighted-Average Multi-Year Rating Transitions, 1976-2014 (%) (cont.) Two-year AAA 63.22 3.96 1.98 1.45 0.99 1.06 1.89 0.51 0.00 0.44 24.51 AA 5.69 54.03 4.99 3.06 2.56 3.03 5.73 2.65 0.02 2.37 15.88 A 1.83 5.31 50.92 5.24 3.41 3.50 6.31 4.11 0.00 3.76 15.61 BBB 1.00 1.58 4.15 46.56 5.67 5.47 8.32 6.51 0.00 6.70 14.04 BB 0.22 0.48 1.27 4.84 41.55 9.27 12.28 7.70 0.03 11.23 11.12 B 0.05 0.09 0.35 1.08 3.95 38.36 19.06 10.38 0.00 18.90 7.77 CCC 0.01 0.01 0.05 0.21 0.99 2.52 31.06 17.20 0.01 40.43 7.52 CC 0.00 0.00 0.00 0.02 0.02 0.22 0.46 31.47 0.00 64.59 3.22 C 0.00 0.00 0.00 0.00 0.00 2.11 0.00 0.00 44.21 49.47 4.21 Three-year AAA 49.17 4.58 2.43 1.73 1.20 1.22 2.40 1.05 0.00 1.01 35.21 AA 6.34 39.44 5.44 3.37 2.90 3.58 6.43 3.70 0.02 5.83 22.94 A 2.34 5.48 35.44 5.54 3.70 4.03 7.02 5.27 0.00 8.27 22.90 BBB 1.43 1.83 4.24 30.60 5.63 5.56 8.80 8.10 0.00 13.41 20.40 BB 0.31 0.68 1.42 5.04 27.34 8.28 12.13 9.03 0.02 19.62 16.13 B 0.08 0.11 0.45 1.25 3.82 25.52 16.73 10.78 0.01 30.34 10.91 CCC 0.01 0.01 0.11 0.32 1.13 2.27 17.63 13.33 0.00 55.15 10.05 CC 0.00 0.00 0.00 0.03 0.03 0.23 0.47 15.10 0.00 80.24 3.91 C 0.00 0.00 0.00 0.00 0.00 2.47 0.00 0.00 34.57 58.02 4.94 38.24 4.57 2.60 1.83 1.27 1.38 2.42 1.22 0.00 1.86 44.61 AA 6.45 28.65 5.24 3.27 3.03 3.92 6.86 4.03 0.02 9.24 29.28 A 2.69 5.01 24.63 5.01 3.53 4.11 7.50 6.13 0.00 12.38 29.02 BBB 1.56 1.83 3.80 20.05 4.90 4.97 8.38 9.11 0.00 19.75 25.65 BB 0.35 0.73 1.39 4.38 18.56 7.01 10.41 9.13 0.02 28.24 19.79 B 0.13 0.13 0.43 1.23 3.30 17.42 12.41 9.45 0.00 42.70 12.79 CCC 0.02 0.03 0.09 0.33 0.87 1.65 9.84 9.00 0.00 67.19 10.98 CC 0.00 0.00 0.00 0.03 0.02 0.15 0.40 6.87 0.00 88.88 3.65 C 0.00 0.00 0.00 0.00 0.00 3.03 0.00 0.00 21.21 69.70 6.06 Four-year AAA Five-year AAA 30.09 4.14 2.48 1.81 1.25 1.40 2.27 1.12 0.00 2.78 52.66 AA 6.15 20.83 4.74 2.99 3.02 4.02 6.52 3.93 0.02 12.47 35.32 A 2.86 4.32 16.97 4.19 3.10 3.96 7.67 6.20 0.00 16.35 34.36 BBB 1.51 1.78 3.19 13.13 3.91 4.16 7.44 9.05 0.00 25.77 30.04 BB 0.32 0.69 1.23 3.66 12.94 5.82 8.30 8.36 0.02 35.99 22.67 B 0.14 0.14 0.38 0.95 2.83 12.10 8.39 7.88 0.00 53.02 14.17 CCC 0.01 0.02 0.05 0.20 0.41 0.87 5.85 5.33 0.00 76.97 10.29 CC 0.00 0.00 0.00 0.06 0.01 0.06 0.35 3.81 0.00 92.25 3.45 C 0.00 0.00 0.00 0.00 0.00 3.85 0.00 0.00 0.00 88.46 7.69 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 39 1406997 | 301945678

40) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year One-year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1976 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1977 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1978 3 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 10 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 25 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 49 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 69 92.75 5.80 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.45 1983 98 98.98 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.02 1984 170 97.65 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.35 1985 310 99.03 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.65 1986 556 98.92 0.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.90 1987 899 98.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.67 1988 1,336 96.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.44 1989 1,769 96.16 0.34 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.45 1990 2,011 94.78 0.40 0.00 0.05 0.00 0.00 0.00 0.00 0.00 0.00 4.77 1991 2,238 93.03 1.21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.76 1992 2,503 92.33 0.88 0.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.71 1993 2,829 95.65 0.14 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.17 1994 3,299 93.57 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.37 1995 3,784 93.74 0.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.10 1996 4,306 87.92 0.16 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 11.89 1997 4,540 91.04 0.31 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.66 1998 4,975 88.40 1.59 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.01 1999 5,312 87.46 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.24 2000 5,733 84.63 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.25 2001 6,155 87.31 0.15 0.11 0.03 0.00 0.00 0.03 0.00 0.00 0.05 12.32 2002 6,952 83.62 0.70 0.23 0.22 0.00 0.06 0.03 0.00 0.00 0.00 15.15 2003 7,731 80.21 0.53 0.41 0.21 0.03 0.00 0.00 0.00 0.00 0.00 18.61 2004 8,748 78.40 0.40 0.05 0.06 0.03 0.01 0.00 0.00 0.00 0.00 21.06 2005 10,072 83.63 0.75 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.59 2006 12,189 86.53 0.40 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.06 2007 14,624 87.41 0.87 0.27 0.10 0.08 0.12 0.06 0.00 0.00 0.04 11.04 2008 16,335 68.76 4.93 3.84 3.16 2.06 3.55 1.89 1.29 0.00 0.51 10.01 2009 12,411 66.15 5.41 2.91 2.82 2.68 2.95 5.08 0.48 0.00 0.28 11.25 2010 8,827 71.45 7.73 2.99 1.55 0.75 0.59 0.78 0.16 0.00 0.25 13.75 2011 7,033 64.25 11.29 3.36 0.98 1.48 1.49 0.38 0.13 0.00 0.16 16.48 2012 5,223 54.15 13.88 6.57 4.79 1.63 0.92 0.23 0.00 0.00 0.00 17.84 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 40 1406997 | 301945678

41) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 2013 3,613 61.61 4.95 3.79 2.13 1.25 0.77 0.53 0.00 0.00 0.03 24.94 2014 3,081 75.92 0.97 0.10 0.13 0.13 0.03 0.06 0.00 0.00 0.00 22.65 Average 87.96 1.67 0.64 0.42 0.26 0.27 0.23 0.05 0.00 0.03 8.48 Median 92.33 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.71 Std. dev. 12.24 3.21 1.50 1.05 0.64 0.77 0.86 0.22 0.00 0.10 7.21 Minimum 54.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 13.88 6.57 4.79 2.68 3.55 5.08 1.29 0.00 0.51 24.94 From 'AA' rating 1976 0 1977 0 1978 0 1979 6 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 21 4.76 95.24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 26 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 43 0.00 93.02 6.98 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 72 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 91 0.00 96.70 3.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 134 0.00 97.01 0.75 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.24 1987 255 0.78 95.69 0.00 0.00 2.75 0.00 0.00 0.00 0.00 0.00 0.78 1988 444 0.00 96.85 0.00 2.25 0.00 0.00 0.00 0.00 0.00 0.00 0.90 1989 628 2.23 95.54 0.96 0.64 0.00 0.00 0.00 0.00 0.00 0.00 0.64 1990 833 0.00 75.03 21.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.72 1991 935 0.00 94.87 1.18 0.21 0.00 0.32 0.00 0.00 0.00 0.00 3.42 1992 1,236 0.49 95.23 1.38 0.16 0.00 0.00 0.00 0.00 0.00 0.00 2.75 1993 1,551 1.55 94.33 0.77 0.00 0.13 0.00 0.00 0.00 0.00 0.00 3.22 1994 1,764 5.67 83.96 3.51 0.68 0.06 0.45 0.11 0.00 0.00 0.00 5.56 1995 1,782 3.48 88.55 0.22 0.22 0.00 0.00 0.00 0.00 0.00 0.00 7.52 1996 1,784 1.46 86.55 0.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.72 1997 1,779 2.92 90.16 0.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.75 1998 1,946 1.85 87.92 0.41 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.82 1999 2,149 2.05 83.25 0.23 0.05 0.00 0.00 0.00 0.00 0.00 0.00 14.43 2000 2,166 9.93 75.25 0.18 0.00 0.00 0.00 0.14 0.00 0.00 0.00 14.50 2001 2,153 12.59 78.17 0.46 0.28 0.09 0.00 0.00 0.00 0.00 0.00 8.41 2002 2,507 8.54 77.90 2.71 0.84 0.44 0.04 0.08 0.00 0.00 0.04 9.41 2003 3,307 11.01 74.87 2.24 1.21 0.36 0.30 0.00 0.00 0.00 0.00 10.01 2004 4,535 8.40 78.17 1.06 0.31 0.13 0.02 0.00 0.00 0.00 0.00 11.91 2005 6,884 7.77 82.35 0.68 0.12 0.01 0.00 0.00 0.00 0.00 0.00 9.06 2006 10,264 4.45 88.17 1.07 0.19 0.00 0.00 0.00 0.00 0.00 0.00 6.12 2007 14,548 2.53 88.07 2.00 1.13 0.51 0.35 0.74 0.01 0.00 0.06 4.59 2008 16,892 0.85 61.88 4.14 3.88 3.33 6.20 11.99 2.85 0.08 0.61 4.19 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 41 1406997 | 301945678

42) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 2009 11,824 0.53 50.54 6.66 6.15 5.72 5.90 11.98 4.14 0.00 1.42 6.96 2010 7,120 1.56 69.97 7.71 5.06 2.53 2.21 2.47 0.58 0.00 0.59 7.33 2011 6,411 4.02 68.77 7.32 2.93 2.18 2.93 1.37 0.42 0.00 0.14 9.90 2012 5,873 5.24 58.74 8.70 6.59 4.70 2.91 1.19 0.02 0.00 0.14 11.77 2013 5,207 5.17 69.48 4.13 1.54 1.31 0.94 0.69 0.02 0.00 0.06 16.67 2014 4,731 6.89 73.37 3.47 0.36 0.30 0.06 0.19 0.00 0.00 0.02 15.35 Average 3.24 84.60 2.61 0.97 0.68 0.63 0.86 0.22 0.00 0.09 6.10 Median 1.95 88.00 1.01 0.17 0.00 0.00 0.00 0.00 0.00 0.00 5.84 Std. dev. 3.56 12.87 4.08 1.77 1.42 1.53 2.78 0.83 0.01 0.27 5.09 Min 0.00 50.54 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 12.59 100.00 21.25 6.59 5.72 6.20 11.99 4.14 0.08 1.42 16.67 From 'A' rating 1976 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1977 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1978 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1980 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 6 0.00 0.00 83.33 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 9 0.00 0.00 88.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 1986 19 0.00 0.00 78.95 15.79 0.00 0.00 0.00 0.00 0.00 0.00 5.26 1987 19 0.00 0.00 94.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 1988 29 0.00 0.00 96.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.45 1989 45 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 111 0.00 0.90 97.30 1.80 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 354 0.00 0.00 95.76 3.39 0.00 0.28 0.00 0.00 0.00 0.00 0.56 1992 533 0.00 0.00 97.37 0.00 0.00 0.00 0.38 0.00 0.00 0.00 2.25 1993 793 0.00 0.00 95.08 1.77 0.88 0.00 0.00 0.00 0.00 0.00 2.27 1994 935 1.28 8.77 82.03 1.60 0.00 0.21 1.28 0.00 0.00 0.00 4.81 1995 1,023 1.17 0.78 79.37 1.17 0.10 0.00 0.00 0.00 0.00 0.00 17.40 1996 1,071 0.47 0.75 89.64 0.28 0.09 0.00 0.00 0.00 0.00 0.09 8.68 1997 1,352 0.22 0.52 90.24 2.44 0.07 0.00 0.00 0.00 0.00 0.00 6.51 1998 1,563 0.45 1.22 86.50 0.26 0.00 0.00 0.00 0.00 0.00 0.77 10.81 1999 1,775 0.39 1.63 87.04 0.39 0.00 0.00 0.00 0.00 0.00 0.06 10.48 2000 2,083 3.26 3.41 79.02 1.54 0.14 0.00 0.05 0.00 0.00 0.00 12.58 2001 2,307 2.43 4.59 81.97 2.17 0.26 0.17 0.09 0.04 0.00 0.09 8.19 2002 2,896 1.35 4.52 82.91 3.14 0.90 0.17 0.41 0.03 0.00 0.14 6.42 2003 4,059 1.97 5.59 72.88 9.88 0.94 0.39 0.17 0.02 0.00 0.07 8.08 2004 5,228 2.33 5.07 80.47 0.78 0.31 0.34 0.08 0.00 0.00 0.00 10.62 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 42 1406997 | 301945678

43) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 2005 7,261 2.05 6.61 83.09 0.51 0.07 0.03 0.01 0.00 0.00 0.00 7.63 2006 10,113 1.27 4.23 87.16 1.09 0.12 0.05 0.01 0.00 0.00 0.00 6.08 2007 13,747 0.76 2.71 80.51 3.42 2.66 1.98 1.93 0.04 0.00 0.11 5.87 2008 14,550 0.23 1.01 59.37 4.54 3.53 3.76 16.37 6.16 0.00 1.05 3.99 2009 10,822 0.15 1.23 48.04 7.06 6.10 8.09 12.25 7.24 0.00 3.06 6.77 2010 7,052 0.31 1.96 62.83 9.70 6.23 3.97 4.15 1.18 0.00 0.72 8.95 2011 6,052 0.41 5.77 67.43 5.82 3.93 4.59 2.79 0.79 0.00 0.05 8.41 2012 5,393 1.04 8.94 60.43 6.30 5.21 3.23 2.67 0.11 0.00 0.06 12.02 2013 5,049 0.99 5.57 72.23 3.80 2.00 0.99 0.63 0.08 0.00 0.10 13.61 2014 4,926 0.73 6.35 77.63 2.23 0.85 0.35 0.41 0.00 0.00 0.00 11.45 Average 0.60 2.11 83.05 2.76 0.88 0.73 1.12 0.40 0.00 0.16 8.19 Median 0.22 0.78 86.50 1.17 0.00 0.00 0.00 0.00 0.00 0.00 6.08 Std. dev. 0.84 2.72 18.96 4.12 1.74 1.71 3.28 1.51 0.00 0.53 15.81 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 3.26 8.94 100.00 16.67 6.23 8.09 16.37 7.24 0.00 3.06 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'BBB' rating 1976 0 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 1 1986 0 1987 3 1988 3 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 16 43.75 0.00 37.50 18.75 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 19 0.00 0.00 0.00 73.68 0.00 0.00 0.00 0.00 0.00 0.00 26.32 1991 26 0.00 0.00 0.00 96.15 3.85 0.00 0.00 0.00 0.00 0.00 0.00 1992 58 0.00 0.00 1.72 82.76 1.72 1.72 6.90 0.00 0.00 0.00 5.17 1993 96 0.00 0.00 0.00 94.79 3.13 2.08 0.00 0.00 0.00 0.00 0.00 1994 185 0.00 0.00 1.62 95.14 0.54 0.00 0.54 0.54 0.00 0.00 1.62 1995 327 0.61 0.92 1.83 88.69 3.36 0.00 1.22 0.00 0.00 0.31 3.06 1996 429 0.47 0.70 2.56 83.68 6.76 0.93 0.47 0.00 0.00 0.00 4.43 1997 516 0.00 0.00 1.55 94.77 0.58 0.00 0.00 0.00 0.00 0.00 3.10 1998 753 0.00 0.00 1.46 94.29 0.93 0.13 0.13 0.13 0.00 0.13 2.79 1999 1,062 0.09 0.56 1.22 91.90 1.41 0.00 0.09 0.00 0.00 0.00 4.71 2000 1,391 0.65 3.38 2.80 78.79 1.51 6.69 0.22 0.00 0.00 0.07 5.90 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 43 1406997 | 301945678

44) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 2001 1,653 0.79 3.33 2.84 83.67 1.27 0.67 0.97 0.06 0.00 0.42 5.99 2002 2,520 0.36 1.39 3.10 83.29 3.25 1.23 1.35 0.04 0.08 0.52 5.40 2003 3,808 0.50 2.49 4.07 79.07 2.65 1.81 0.47 0.13 0.00 0.53 8.27 2004 5,811 0.57 1.96 3.36 81.21 1.24 0.71 0.52 0.02 0.00 0.14 10.29 2005 7,941 1.07 1.65 4.28 84.18 0.98 0.20 0.14 0.00 0.00 0.06 7.43 2006 10,879 1.11 0.65 2.73 87.28 1.08 0.28 0.22 0.00 0.00 0.08 6.57 2007 14,438 0.66 0.44 1.51 73.13 5.15 5.98 6.21 0.15 0.00 0.61 6.16 2008 14,472 0.05 0.12 0.87 56.56 4.71 4.47 16.09 11.19 0.00 2.02 3.92 2009 10,506 0.22 0.05 0.79 42.09 7.92 9.62 17.01 11.10 0.00 6.17 5.04 2010 6,581 0.21 0.36 1.98 54.70 10.35 9.09 10.58 2.77 0.00 1.81 8.16 2011 5,414 0.09 1.24 5.13 62.21 8.42 6.30 4.86 1.87 0.00 0.52 9.36 2012 4,449 0.02 2.11 8.90 57.83 8.45 7.53 4.45 0.18 0.00 0.25 10.27 2013 4,300 0.44 1.72 5.95 69.56 5.58 3.02 1.63 0.02 0.00 0.19 11.88 2014 3,958 0.25 1.31 5.31 75.77 4.07 1.24 0.96 0.03 0.00 0.00 11.07 Average 1.79 0.84 3.56 75.31 3.07 2.20 2.59 0.97 0.00 0.48 9.20 Median 0.21 0.44 1.83 82.76 1.72 0.71 0.47 0.00 0.00 0.07 5.40 Std. dev. 8.08 1.03 6.86 23.47 2.98 3.03 4.65 2.88 0.01 1.20 18.23 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 43.75 3.38 37.50 100.00 10.35 9.62 17.01 11.19 0.08 6.17 100.00 From 'BB' rating 1976 0 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 8 0.00 0.00 0.00 0.00 12.50 0.00 37.50 0.00 0.00 50.00 0.00 1989 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 3 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 66.67 1991 2 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 5 0.00 0.00 0.00 0.00 80.00 20.00 0.00 0.00 0.00 0.00 0.00 1993 13 0.00 0.00 0.00 0.00 92.31 0.00 7.69 0.00 0.00 0.00 0.00 1994 62 0.00 0.00 0.00 0.00 80.65 3.23 12.90 3.23 0.00 0.00 0.00 1995 107 0.00 0.00 0.00 0.00 96.26 0.00 0.93 0.00 0.00 0.93 1.87 1996 174 0.00 0.00 0.00 0.00 90.23 3.45 2.30 1.15 0.00 1.15 1.72 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 44 1406997 | 301945678

45) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 1997 266 0.00 0.00 0.00 0.38 95.86 1.13 0.00 0.00 0.00 0.00 2.63 1998 354 0.00 0.00 0.00 0.56 95.20 1.13 0.28 0.00 0.00 0.85 1.98 1999 509 0.00 0.00 0.20 2.55 92.73 1.18 0.39 0.39 0.00 0.00 2.55 2000 634 0.16 0.47 2.05 5.68 81.86 3.47 0.95 0.16 0.00 0.47 4.73 2001 774 0.00 0.13 2.45 6.59 81.91 2.97 1.94 0.00 0.00 0.65 3.36 2002 1,122 0.00 0.00 1.07 4.99 80.93 2.05 2.32 1.34 0.62 1.87 4.81 2003 1,730 0.06 0.17 2.43 6.47 74.97 5.61 3.06 0.40 0.00 0.92 5.90 2004 2,354 0.30 0.64 2.04 4.38 79.65 1.61 1.78 0.13 0.00 0.68 8.79 2005 3,212 0.28 0.22 1.56 5.70 84.81 1.56 0.50 0.09 0.00 0.19 5.11 2006 4,683 0.11 0.02 0.56 3.07 88.64 1.24 0.70 0.00 0.00 0.26 5.40 2007 6,266 0.27 0.11 0.08 1.39 73.40 8.31 9.24 0.34 0.00 2.38 4.48 2008 7,816 0.00 0.01 0.03 0.59 53.48 6.13 15.24 17.40 0.00 4.75 2.38 2009 6,494 0.06 0.03 0.20 0.42 34.54 10.01 25.53 16.17 0.02 10.07 2.96 2010 4,997 0.24 0.10 0.36 1.70 51.81 13.51 19.69 4.78 0.00 2.94 4.86 2011 4,174 0.00 0.24 1.39 5.17 53.26 14.95 12.15 4.12 0.00 1.25 7.47 2012 3,546 0.08 0.20 1.64 10.83 47.74 16.24 11.79 0.62 0.00 0.82 10.04 2013 3,249 0.00 0.46 1.32 5.48 68.76 9.23 3.91 0.12 0.00 0.65 10.06 2014 3,119 0.19 0.32 1.28 5.07 73.10 7.69 2.31 0.00 0.00 0.19 9.84 Average 0.06 0.10 0.60 2.29 77.35 4.35 5.58 1.63 0.02 2.61 5.41 Median 0.00 0.00 0.03 0.56 81.86 1.61 1.78 0.00 0.00 0.47 2.63 Std. dev. 0.10 0.17 0.84 2.90 22.91 5.55 8.87 4.23 0.11 9.01 11.83 Min 0.00 0.00 0.00 0.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.30 0.64 2.45 10.83 100.00 20.00 37.50 17.40 0.62 50.00 66.67 0.00 From 'B' rating 1976 0 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 1 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1990 2 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 1991 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1992 5 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 45 1406997 | 301945678

46) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 1993 17 0.00 0.00 0.00 5.88 5.88 82.35 0.00 0.00 0.00 5.88 0.00 1994 55 0.00 0.00 0.00 1.82 5.45 1995 107 0.00 0.00 0.00 0.00 0.00 80.00 5.45 0.00 0.00 1.82 5.45 87.85 10.28 0.00 0.00 0.93 0.93 1996 160 0.63 0.00 0.63 0.00 0.00 96.88 0.00 1.25 0.00 0.00 0.63 1997 232 0.00 0.00 0.00 0.00 0.43 94.83 1.72 0.86 0.00 0.00 2.16 1998 274 0.00 0.00 1999 362 0.00 0.00 0.00 0.00 1.82 94.16 0.73 0.36 0.00 2.19 0.73 0.00 0.00 1.10 95.30 1.10 0.55 0.00 1.38 0.55 2000 433 0.00 0.00 0.00 2.31 5.31 83.60 3.23 0.23 0.00 1.85 3.46 2001 573 2002 762 0.00 0.00 0.00 0.35 5.41 84.82 2.97 0.17 0.00 2.79 3.49 0.00 0.00 0.00 0.39 3.54 75.20 10.10 1.44 0.00 8.27 1.05 2003 1,047 0.00 0.00 0.00 2.29 4.49 79.66 5.16 0.67 0.00 2.29 5.44 2004 1,645 0.12 0.43 0.18 1.34 3.10 77.87 4.50 0.49 0.30 2.19 9.48 2005 2,082 0.05 0.00 0.24 0.86 5.24 84.87 1.87 0.29 0.00 1.34 5.24 2006 2,711 0.00 0.00 0.00 0.44 3.17 89.89 2.91 0.11 0.00 0.48 2.99 2007 3,167 0.06 0.00 0.03 0.06 1.45 85.00 10.33 0.03 0.00 1.42 1.61 2008 5,348 0.02 0.02 0.00 0.00 0.56 45.51 16.75 24.31 0.04 11.85 0.93 2009 5,839 0.00 0.00 0.00 0.00 0.10 23.03 29.95 24.83 0.00 20.79 1.28 2010 5,109 0.00 0.04 0.04 0.22 1.72 56.92 25.25 6.56 0.00 6.81 2.45 2011 4,854 0.00 0.00 0.12 0.87 4.31 44.89 25.28 12.83 0.00 7.40 4.31 2012 4,010 0.00 0.02 0.55 1.12 6.76 48.45 31.62 1.75 0.00 1.87 7.86 2013 3,580 0.03 0.11 0.50 0.81 3.38 70.56 14.80 0.34 0.00 1.45 8.02 2014 3,305 0.06 0.06 0.51 1.00 3.24 77.49 8.99 0.27 0.00 1.54 6.84 Average 0.04 0.03 0.11 0.76 2.56 77.27 8.19 2.98 0.01 3.25 4.80 Median 0.00 0.00 0.00 0.28 2.46 82.98 3.87 0.31 0.00 1.68 2.30 Std. dev. 0.12 0.09 0.20 1.27 2.26 20.41 9.87 6.91 0.06 4.67 9.63 Min 0.00 0.00 0.00 0.00 0.00 23.03 0.00 0.00 0.00 0.00 0.00 Max 0.63 0.43 0.63 5.88 6.76 100.00 31.62 24.83 0.30 20.79 50.00 From 'CCC' rating 1976 0 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1988 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 46 1406997 | 301945678

47) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 1989 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1990 3 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1991 3 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1992 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1993 9 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1994 12 0.00 0.00 0.00 0.00 0.00 0.00 41.67 0.00 33.33 0.00 25.00 1995 31 0.00 0.00 0.00 0.00 0.00 0.00 29.03 6.45 6.45 48.39 9.68 1996 25 0.00 0.00 0.00 0.00 0.00 0.00 44.00 28.00 4.00 20.00 4.00 1997 16 0.00 0.00 0.00 0.00 0.00 0.00 43.75 43.75 0.00 6.25 6.25 1998 14 0.00 0.00 0.00 0.00 0.00 0.00 78.57 7.14 0.00 14.29 0.00 1999 17 0.00 0.00 0.00 0.00 0.00 0.00 70.59 11.76 0.00 17.65 0.00 2000 20 0.00 0.00 0.00 0.00 5.00 0.00 70.00 15.00 0.00 5.00 5.00 2001 43 0.00 0.00 0.00 0.00 0.00 2.33 60.47 0.00 0.00 34.88 2.33 2002 75 0.00 1.33 0.00 0.00 0.00 1.33 53.33 10.67 0.00 32.00 1.33 2003 106 0.00 0.00 0.94 0.00 0.00 0.00 66.04 5.66 0.00 12.26 15.09 2004 143 0.00 0.00 0.00 0.70 0.70 5.59 65.03 5.59 0.00 15.38 6.99 2005 192 0.00 0.00 0.00 0.00 1.56 10.94 67.19 1.56 0.00 10.94 7.81 2006 183 0.55 0.00 0.00 0.55 1.09 4.37 62.84 6.56 0.00 16.94 7.10 2007 221 0.00 0.45 0.45 0.00 0.00 2.26 67.87 1.36 0.00 24.89 2.71 2008 2,419 0.00 0.00 0.00 0.04 0.00 0.04 16.25 21.12 0.00 62.13 0.41 2009 8,610 0.01 0.00 0.00 0.00 0.00 0.01 18.25 27.33 0.00 53.67 0.73 2010 8,059 0.00 0.01 0.00 0.04 0.30 1.17 58.20 23.02 0.00 15.56 1.71 2011 6,856 0.00 0.00 0.00 0.15 0.82 2.19 40.72 41.88 0.00 12.02 2.23 2012 4,685 0.00 0.00 0.04 0.13 1.56 3.52 69.16 12.06 0.00 9.95 3.59 2013 4,974 0.00 0.00 0.00 0.06 0.44 1.47 88.26 0.99 0.00 5.63 3.16 2014 5,060 0.02 0.02 0.08 0.08 0.45 1.50 88.34 0.61 0.00 5.67 3.22 Average 0.02 0.06 0.05 0.06 0.43 1.31 60.70 9.66 1.56 15.12 11.01 Median 0.00 0.00 0.00 0.00 0.00 0.00 65.54 5.63 0.00 11.48 3.19 Std. dev. 0.10 0.26 0.19 0.16 1.01 2.41 26.57 12.75 6.38 17.06 22.28 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.55 1.33 0.94 0.70 5.00 10.94 100.00 43.75 33.33 62.13 100.00 From 'CC'/'C' rating 1976 0 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 47 1406997 | 301945678

48) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 21 Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.) 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1996 4 0.00 0.00 0.00 0.00 0.00 0.00 1997 13 0.00 0.00 0.00 0.00 0.00 0.00 1998 17 0.00 0.00 0.00 0.00 0.00 1999 15 0.00 0.00 0.00 0.00 2000 18 0.00 0.00 0.00 2001 24 0.00 0.00 0.00 2002 35 0.00 0.00 2003 159 0.00 2004 174 0.00 2005 232 2006 0.00 0.00 71.43 28.57 0.00 0.00 0.00 100.00 0.00 7.69 46.15 0.00 46.15 0.00 0.00 5.88 58.82 0.00 35.29 0.00 0.00 0.00 6.67 66.67 0.00 26.67 0.00 0.00 0.00 0.00 11.11 83.33 0.00 5.56 0.00 0.00 0.00 0.00 12.50 75.00 0.00 12.50 0.00 0.00 5.71 0.00 0.00 8.57 40.00 0.00 14.29 31.43 0.00 0.00 0.00 0.00 0.00 13.84 38.36 0.00 46.54 1.26 0.00 0.00 0.00 0.00 0.57 36.78 45.40 0.00 12.64 4.60 0.00 0.00 0.00 0.00 0.00 0.43 42.67 33.19 0.00 20.26 3.45 207 0.00 0.00 0.00 0.00 0.48 0.48 33.33 35.75 0.00 19.81 10.14 2007 208 0.00 0.00 0.00 0.00 0.00 0.00 37.98 34.62 0.00 23.56 3.85 2008 350 0.00 0.00 0.00 0.00 0.00 0.00 31.43 43.43 0.00 23.14 2.00 2009 7,764 0.00 0.00 0.00 0.00 0.00 0.01 7.26 30.20 0.18 59.11 3.23 2010 12,427 0.00 0.00 0.00 0.01 0.09 0.35 12.42 49.34 0.11 34.84 2.84 2011 11,794 0.00 0.00 0.00 0.06 0.34 1.02 13.67 40.73 0.13 41.44 2.62 2012 10,682 0.00 0.00 0.00 0.02 0.25 1.25 9.58 42.56 0.13 40.25 5.96 2013 6,647 0.00 0.02 0.00 0.03 0.17 0.51 13.95 52.67 0.00 27.82 4.84 2014 4,645 0.00 0.00 0.00 0.06 0.15 1.12 17.16 54.47 0.00 22.28 4.76 Average 0.00 0.00 0.00 0.29 0.07 0.29 16.12 43.53 0.03 34.18 5.48 Median 0.00 0.00 0.00 0.00 0.00 0.00 12.46 42.99 0.00 27.24 3.04 Std. dev. 0.00 0.00 0.00 1.28 0.14 0.42 12.92 20.33 0.06 22.65 8.79 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.56 0.00 Max 0.00 0.02 0.00 5.71 0.48 1.25 42.67 83.33 0.18 100.00 31.43 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 48 1406997 | 301945678

49) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year Two-year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1977 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1978 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 3 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 10 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 25 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 49 89.80 8.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.04 1983 69 91.30 4.35 1.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.90 1984 98 94.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.10 1985 170 95.88 0.59 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.53 1986 310 98.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.94 1987 556 96.40 0.00 0.00 0.00 0.18 0.00 0.00 0.00 0.00 0.00 3.42 1988 899 93.44 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.56 1989 1,336 91.77 0.37 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.78 1990 1,769 90.56 0.79 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 8.59 1991 2,011 87.62 1.19 0.00 0.05 0.00 0.00 0.00 0.00 0.00 0.00 11.14 1992 2,238 84.94 1.88 0.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.09 1993 2,503 87.65 1.00 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.23 1994 2,829 88.58 0.07 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 11.28 1995 3,299 87.63 0.24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.12 1996 3,784 81.42 0.34 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 18.21 1997 4,306 78.89 0.46 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 20.62 1998 4,540 79.58 1.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.72 1999 4,975 76.72 1.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21.73 2000 5,312 72.06 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27.56 2001 5,733 72.06 0.17 0.16 0.03 0.00 0.00 0.03 0.00 0.00 0.05 27.49 2002 6,155 71.78 0.67 0.28 0.13 0.08 0.03 0.05 0.00 0.00 0.08 26.90 2003 6,952 65.30 0.60 0.70 0.49 0.23 0.07 0.01 0.01 0.00 0.00 32.57 2004 7,731 60.26 0.69 0.31 0.17 0.14 0.17 0.05 0.00 0.00 0.00 38.21 2005 8,748 63.83 0.70 0.09 0.02 0.06 0.02 0.00 0.00 0.00 0.00 35.28 2006 10,072 70.33 0.69 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 28.94 2007 12,189 74.72 0.51 0.11 0.03 0.00 0.02 0.01 0.00 0.00 0.02 24.59 2008 14,624 61.51 4.62 3.29 2.63 1.50 2.34 1.59 1.16 0.00 0.49 20.87 2009 16,335 45.58 4.72 3.40 4.25 3.29 3.55 11.61 2.37 0.00 2.30 18.93 2010 12,411 46.97 9.45 4.12 3.12 2.37 2.88 5.94 1.80 0.00 1.60 21.76 2011 8,827 46.11 13.64 4.70 1.89 2.01 1.98 1.39 0.71 0.00 0.50 27.06 2012 7,033 32.90 16.37 9.40 5.06 2.23 1.91 1.09 0.13 0.00 0.21 30.70 2013 5,223 31.32 14.70 8.41 5.49 3.03 2.07 0.94 0.02 0.00 0.13 33.89 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 49 1406997 | 301945678

50) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 2014 3,613 47.08 4.95 3.16 2.10 1.83 1.11 0.61 0.00 0.00 0.08 39.08 Average 77.82 2.51 1.05 0.68 0.45 0.42 0.61 0.16 0.00 0.14 16.15 Median 83.18 0.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.65 Std. dev. 19.76 4.31 2.27 1.48 0.94 0.94 2.10 0.51 0.00 0.45 12.38 Minimum 31.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 16.37 9.40 5.49 3.29 3.55 11.61 2.37 0.00 2.30 39.08 83.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'AA' rating 1977 0 1978 0 1979 0 1980 6 16.67 1981 21 4.76 95.24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 26 0.00 96.15 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 43 0.00 93.02 4.65 2.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 72 0.00 95.83 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 91 0.00 95.60 0.00 3.30 0.00 0.00 0.00 0.00 0.00 0.00 1.10 1987 134 0.00 91.04 0.75 0.00 4.48 0.00 0.00 0.00 0.00 0.00 3.73 1988 255 0.78 91.37 0.00 3.92 0.00 0.00 1.18 0.00 0.00 1.57 1.18 1989 444 4.50 92.12 0.90 0.90 0.00 0.00 0.00 0.00 0.00 0.00 1.58 1990 628 2.23 66.88 24.68 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.21 1991 833 0.00 69.63 22.21 0.24 0.00 0.36 0.00 0.00 0.00 0.00 7.56 1992 935 0.64 88.77 2.57 0.21 0.11 0.43 0.00 0.00 0.00 0.00 7.27 1993 1,236 2.43 88.83 1.46 0.16 0.73 0.16 0.00 0.00 0.00 0.00 6.23 1994 1,551 7.93 76.92 4.32 0.77 0.06 0.52 0.32 0.00 0.00 0.00 9.16 1995 1,764 7.77 73.07 2.32 0.62 0.40 0.00 0.68 0.00 0.00 0.00 15.14 1996 1,782 4.60 75.65 0.51 0.22 0.00 0.00 0.00 0.00 0.00 0.00 19.02 1997 1,784 4.32 77.19 0.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.05 1998 1,779 3.99 78.02 0.51 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.48 1999 1,946 3.39 71.17 0.31 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.13 2000 2,149 11.45 59.56 0.23 0.09 0.00 0.00 0.14 0.00 0.00 0.00 28.52 2001 2,166 19.07 57.39 0.28 0.28 0.09 0.00 0.00 0.00 0.00 0.14 22.76 2002 2,153 17.79 58.38 2.74 0.84 0.33 0.05 0.19 0.00 0.00 0.19 19.51 2003 2,507 15.36 54.37 3.55 1.40 0.68 1.16 0.08 0.00 0.00 0.12 23.29 2004 3,307 14.18 53.64 2.06 0.70 0.57 0.73 0.67 0.00 0.00 0.12 27.34 2005 4,535 14.82 59.10 1.26 0.33 0.18 0.07 0.00 0.00 0.00 0.00 24.26 2006 6,884 11.26 69.42 1.32 0.32 0.06 0.01 0.00 0.00 0.00 0.00 17.61 2007 10,264 6.25 78.35 1.56 0.61 0.16 0.13 0.08 0.00 0.00 0.03 12.83 2008 14,548 2.67 58.19 3.78 3.68 2.85 5.43 10.03 3.19 0.04 1.19 8.94 2009 16,892 0.87 32.45 5.22 3.85 4.23 5.36 16.96 10.96 0.08 10.83 9.18 2010 11,824 1.07 35.54 9.13 6.75 5.84 6.60 12.36 4.96 0.00 5.35 12.42 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 50 1406997 | 301945678

51) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 2011 7,120 3.30 47.54 11.35 5.80 3.92 4.56 4.51 2.29 0.00 1.03 15.70 2012 6,411 5.91 2013 5,873 6.39 40.26 8.49 7.22 6.57 5.85 5.05 0.53 0.00 0.33 19.79 38.19 10.20 6.74 5.36 3.93 2.66 0.03 0.00 0.32 26.17 2014 5,207 7.84 50.05 6.07 1.75 1.27 1.08 1.33 0.02 0.00 0.10 30.52 Average 5.78 71.21 4.02 1.52 1.08 1.04 1.61 0.63 0.00 0.61 12.50 Median 4.32 73.07 2.06 0.33 0.06 0.00 0.00 0.00 0.00 0.00 12.42 Std. dev. 5.80 19.67 5.74 2.21 1.95 2.02 3.87 2.08 0.02 2.02 9.87 Min 0.00 32.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 19.07 100.00 24.68 7.22 6.57 6.60 16.96 10.96 0.08 10.83 30.52 0.00 From 'A' rating 1977 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1978 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1980 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1981 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 6 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1986 9 0.00 0.00 88.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 1987 19 0.00 0.00 73.68 15.79 0.00 0.00 0.00 0.00 0.00 0.00 10.53 1988 19 0.00 0.00 89.47 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 1989 29 0.00 0.00 96.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.45 1990 45 0.00 2.22 95.56 2.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 111 0.00 0.90 89.19 7.21 0.00 0.90 0.00 0.00 0.00 0.00 1.80 1992 354 0.00 0.00 92.94 1.69 0.00 0.28 1.69 0.00 0.00 0.00 3.39 1993 533 0.00 0.00 92.12 1.88 0.00 0.00 0.38 0.00 0.00 0.00 5.63 1994 793 1.51 10.21 75.16 2.90 0.00 0.25 2.02 0.38 0.00 0.00 7.57 1995 935 2.03 8.66 62.46 2.03 0.11 0.00 0.43 0.21 0.00 1.07 22.99 1996 1,023 1.66 1.56 76.74 0.88 0.10 0.10 0.00 0.10 0.00 0.10 18.77 1997 1,071 0.56 1.40 80.21 1.12 0.19 0.00 0.00 0.00 0.00 0.09 16.43 1998 1,352 0.81 1.41 76.18 2.66 0.00 0.00 0.00 0.00 0.00 0.30 18.64 1999 1,563 0.45 2.75 72.94 0.58 0.00 0.00 0.00 0.00 0.00 0.83 22.46 2000 1,775 3.89 4.85 63.94 1.63 0.17 0.06 0.00 0.00 0.00 0.06 25.41 2001 2,083 6.53 5.57 61.40 2.64 0.38 0.34 0.38 0.00 0.00 0.34 22.42 2002 2,307 4.42 7.07 64.89 3.73 0.74 0.35 0.95 0.26 0.00 0.39 17.21 2003 2,896 4.18 7.18 55.46 11.05 1.73 0.69 1.14 0.17 0.00 0.35 18.06 2004 4,059 4.39 7.54 54.20 9.19 0.96 0.30 0.67 0.02 0.00 0.44 22.30 2005 5,228 5.05 10.48 61.55 0.82 0.42 0.42 0.10 0.00 0.00 0.02 21.14 2006 7,261 3.42 10.01 68.70 1.13 0.15 0.10 0.04 0.00 0.00 0.03 16.43 2007 10,113 1.95 6.74 71.77 2.37 1.53 0.93 0.69 0.01 0.00 0.04 13.96 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 51 1406997 | 301945678

52) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 2008 13,747 0.74 2.89 49.87 4.38 3.80 3.55 13.65 8.32 0.00 2.79 2009 14,550 0.24 1.57 2010 10,822 0.34 1.45 2011 7,052 0.65 2012 6,052 2013 2014 10.01 29.71 5.15 4.63 6.71 13.59 13.79 0.01 17.07 7.54 29.26 10.41 7.71 9.06 13.20 7.69 0.00 8.34 12.53 4.42 41.97 10.55 7.05 6.52 6.51 3.84 0.00 1.59 16.89 2.05 9.34 42.04 6.13 5.57 5.92 8.23 1.31 0.00 0.20 19.23 5,393 2.34 8.79 41.98 7.29 5.95 3.99 3.80 0.15 0.00 0.35 25.37 5,049 1.78 8.30 54.96 4.34 2.55 1.27 1.29 0.08 0.00 0.12 25.31 Average 1.29 3.30 68.96 3.15 1.15 1.10 1.81 0.96 0.00 0.91 17.38 Median 0.39 1.51 72.35 1.79 0.00 0.03 0.00 0.00 0.00 0.02 15.20 Std. dev. 1.77 3.75 26.45 3.92 2.17 2.28 3.88 2.85 0.00 3.04 21.77 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 6.53 10.48 100.00 15.79 7.71 9.06 13.65 13.79 0.01 17.07 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'BBB' rating 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 1 1987 0 1988 3 0.00 0.00 0.00 1989 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 16 43.75 0.00 37.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 6.25 1991 19 0.00 0.00 0.00 68.42 5.26 0.00 0.00 0.00 0.00 0.00 26.32 1992 26 0.00 0.00 3.85 88.46 0.00 3.85 0.00 0.00 0.00 0.00 3.85 1993 58 0.00 0.00 1.72 77.59 5.17 0.00 8.62 0.00 0.00 1.72 5.17 1994 96 0.00 0.00 3.13 87.50 3.13 1.04 3.13 0.00 0.00 0.00 2.08 1995 185 0.00 1.62 4.86 84.32 1.62 0.00 0.54 0.00 0.00 1.08 5.95 1996 327 1.22 1.53 3.67 70.64 8.56 2.14 1.83 0.61 0.00 0.61 9.17 1997 429 0.70 0.47 3.26 78.55 6.76 0.93 0.23 0.23 0.00 0.00 8.86 1998 516 0.00 0.58 2.71 87.40 1.74 0.19 0.00 0.00 0.00 0.19 7.17 1999 753 0.13 0.66 3.05 84.20 2.26 0.13 0.27 0.00 0.00 0.27 9.03 2000 1,062 1.41 4.33 3.95 68.08 2.17 7.82 0.28 0.00 0.00 0.28 11.68 2001 1,391 3.24 5.61 3.67 64.41 1.22 7.19 1.08 0.00 0.00 0.72 12.87 2002 1,653 2.24 4.30 4.78 68.18 2.78 1.03 1.33 0.67 0.00 1.21 13.49 2003 2,520 1.23 3.45 5.75 61.27 3.21 3.33 2.30 0.83 0.00 1.75 16.87 2004 3,808 1.50 4.15 5.72 58.01 2.55 1.81 1.47 0.16 0.00 1.18 23.45 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 52 1406997 | 301945678

53) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 2005 5,811 2.07 3.60 7.37 62.21 1.67 0.77 0.79 0.12 0.00 0.36 21.05 2006 7,941 2.64 2.44 6.37 69.15 1.78 0.50 0.67 0.03 0.00 0.24 16.18 2007 10,879 1.88 0.99 4.13 66.38 4.07 3.71 3.63 0.01 0.00 0.59 14.62 2008 14,438 0.62 0.37 1.86 44.43 4.52 4.61 12.43 13.33 0.00 7.92 9.90 2009 14,472 0.18 0.07 1.13 26.26 5.49 6.41 12.65 17.71 0.00 22.95 7.15 2010 10,506 0.30 0.17 0.86 21.94 10.21 11.63 19.63 11.46 0.00 13.43 10.37 2011 6,581 0.14 1.12 3.92 32.88 12.10 9.89 12.05 7.19 0.00 4.66 16.05 2012 5,414 0.42 2.77 8.85 37.94 8.64 8.68 10.44 2.40 0.00 1.50 18.36 2013 4,449 0.85 3.78 10.14 37.65 9.53 8.59 6.52 0.13 0.00 0.74 22.07 2014 4,300 0.58 2.37 7.95 52.28 6.77 3.79 2.93 0.07 0.00 0.37 22.88 3.52 1.59 7.39 57.52 3.97 3.15 3.67 1.96 0.00 2.21 15.03 Median 0.60 0.83 3.88 65.39 2.95 1.43 1.20 0.02 0.00 0.48 11.02 Std. dev. 10.03 1.75 13.48 27.29 3.43 3.58 5.24 4.61 0.00 4.98 18.14 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 43.75 5.61 66.67 100.00 12.10 11.63 19.63 17.71 0.00 22.95 100.00 Average From 'BB' rating 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 8 0.00 0.00 0.00 0.00 12.50 0.00 12.50 0.00 0.00 50.00 25.00 1990 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1991 3 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 66.67 1992 2 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 5 0.00 0.00 0.00 20.00 80.00 0.00 0.00 0.00 0.00 0.00 0.00 1994 13 0.00 0.00 0.00 0.00 84.62 0.00 15.38 0.00 0.00 0.00 0.00 1995 62 0.00 0.00 0.00 0.00 75.81 1.61 0.00 0.00 3.23 11.29 8.06 1996 107 0.00 0.00 0.00 0.00 87.85 1.87 1.87 0.00 0.00 3.74 4.67 1997 174 0.00 0.00 0.00 0.57 85.06 4.02 0.57 3.45 0.00 1.15 5.17 1998 266 0.00 0.00 0.00 1.13 90.60 1.88 0.75 0.00 0.00 1.13 4.51 1999 354 0.00 0.00 0.00 2.54 87.57 2.82 0.56 0.56 0.00 0.85 5.08 2000 509 0.00 0.98 2.55 8.45 74.26 2.95 1.96 0.98 0.00 0.39 7.47 2001 634 0.47 3.15 3.94 8.83 65.46 4.42 2.52 0.00 0.00 1.89 9.31 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 53 1406997 | 301945678

54) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 2002 774 0.13 1.94 4.39 9.04 61.11 3.36 2.58 2.20 0.90 4.65 9.69 2003 1,122 0.00 1.16 2.85 7.13 58.73 5.61 3.74 2.32 0.00 4.01 14.44 2004 1,730 0.46 1.33 3.58 6.65 56.07 4.80 3.24 0.75 0.29 2.66 20.17 2005 2,354 0.64 1.44 2.34 9.60 62.70 2.46 1.66 0.21 0.00 1.49 17.46 2006 3,212 0.56 0.50 2.52 8.47 71.82 2.27 0.68 0.19 0.00 0.75 12.24 2007 4,683 0.64 0.19 0.51 4.23 69.21 6.56 5.59 0.06 0.00 1.94 11.06 2008 6,266 0.21 0.05 0.10 1.87 50.51 7.12 9.46 11.35 0.00 12.03 7.31 2009 7,816 0.03 0.03 0.12 0.68 23.35 6.50 14.11 17.27 0.00 33.55 4.38 2010 6,494 0.05 0.09 0.32 0.54 15.06 11.26 26.50 17.05 0.00 22.77 6.36 2011 4,997 0.00 0.44 1.10 3.42 26.74 16.55 20.51 10.73 0.00 9.11 11.41 2012 4,174 0.17 0.65 2.08 11.04 25.83 16.34 19.60 5.68 0.00 3.52 15.09 2013 3,546 0.17 0.93 2.68 11.51 30.15 16.95 14.55 0.62 0.00 2.57 19.88 2014 3,249 0.25 0.77 2.12 6.99 49.46 12.34 6.19 0.09 0.00 1.32 20.47 Average 0.13 0.46 1.04 4.09 62.59 4.39 5.49 2.45 0.15 5.69 13.53 Median 0.00 0.01 0.05 1.50 67.33 2.64 1.92 0.08 0.00 1.41 7.77 Std. dev. 0.21 0.74 1.43 5.03 29.90 5.27 7.47 4.95 0.61 11.17 20.72 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.64 3.15 4.39 20.00 100.00 16.95 26.50 17.27 3.23 50.00 100.00 From 'B' rating 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 1 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 1991 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1992 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1993 5 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 1994 17 0.00 0.00 0.00 11.76 17.65 41.18 0.00 0.00 0.00 11.76 17.65 1995 55 0.00 0.00 0.00 1.82 5.45 76.36 7.27 0.00 0.00 1.82 7.27 1996 107 0.93 0.00 0.00 0.00 0.00 84.11 3.74 6.54 0.00 2.80 1.87 1997 160 0.63 0.00 0.63 0.00 0.63 90.63 2.50 0.63 0.00 1.25 3.13 1998 232 0.00 0.00 0.00 0.00 2.16 89.22 1.29 0.86 0.00 3.45 3.02 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 54 1406997 | 301945678

55) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 1999 274 0.00 0.00 0.00 1.09 2.19 87.96 1.46 1.46 0.00 4.38 1.46 2000 362 0.00 0.00 0.28 2.76 6.35 77.62 3.59 1.10 0.00 3.59 4.70 2001 433 0.00 0.46 0.92 3.46 9.47 67.67 4.39 0.46 0.00 5.08 8.08 2002 573 0.00 0.00 0.17 3.14 7.16 56.89 13.26 0.87 0.00 13.26 5.24 2003 762 0.00 0.13 0.52 2.76 4.46 55.12 6.69 1.84 0.00 18.11 10.37 2004 1,047 0.10 0.76 0.57 2.87 4.78 55.30 6.11 1.05 0.00 4.68 23.78 2005 1,645 0.30 0.24 0.67 2.07 8.15 61.64 4.86 0.43 0.00 4.62 17.02 2006 2,082 0.05 0.05 0.62 1.49 7.30 74.02 4.37 0.34 0.00 2.26 9.51 2007 2,711 0.15 0.04 0.11 0.59 4.17 79.38 8.26 0.22 0.00 2.07 5.02 2008 3,167 0.09 0.03 0.00 0.09 2.21 58.26 17.62 8.30 0.06 10.51 2.81 2009 5,348 0.00 0.00 0.00 0.00 0.45 16.83 12.30 18.61 0.00 50.11 1.70 2010 5,839 0.00 0.02 0.00 0.00 0.26 10.12 20.72 23.10 0.00 42.95 2.83 2011 5,109 0.00 0.08 0.16 0.94 3.23 23.86 26.64 19.16 0.00 19.89 6.05 2012 4,854 0.02 0.10 0.64 1.67 7.29 22.04 31.83 13.43 0.00 12.94 10.03 2013 4,010 0.02 0.17 0.87 2.27 6.81 32.59 35.86 1.85 0.00 5.19 14.36 2014 3,580 0.06 0.11 0.87 1.51 4.61 55.25 18.77 0.47 0.00 3.66 14.69 Average 0.09 0.09 0.28 1.61 4.19 60.64 9.26 4.03 0.00 8.98 10.82 Median 0.00 0.00 0.11 1.09 4.17 58.26 4.86 0.86 0.00 4.38 6.05 Std. dev. 0.22 0.18 0.34 2.43 4.13 25.85 10.38 6.91 0.01 12.64 13.28 Min 0.00 0.00 0.00 0.00 0.00 10.12 0.00 0.00 0.00 0.00 0.00 Max 0.93 0.76 0.92 11.76 17.65 100.00 35.86 23.10 0.06 50.11 50.00 From 'CCC' rating 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1989 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1990 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1991 3 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1992 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1993 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1994 9 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 44.44 0.00 33.33 1995 12 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 33.33 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 55 1406997 | 301945678

56) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 1996 31 0.00 0.00 0.00 0.00 0.00 0.00 16.13 3.23 3.23 64.52 12.90 1997 25 0.00 0.00 0.00 0.00 0.00 0.00 24.00 28.00 0.00 40.00 8.00 1998 16 0.00 0.00 0.00 0.00 0.00 0.00 37.50 37.50 0.00 18.75 6.25 1999 14 0.00 0.00 0.00 0.00 0.00 0.00 57.14 7.14 0.00 35.71 0.00 2000 17 0.00 0.00 0.00 0.00 5.88 0.00 58.82 11.76 0.00 17.65 5.88 2001 20 0.00 0.00 0.00 0.00 5.00 5.00 55.00 10.00 0.00 20.00 5.00 2002 43 0.00 0.00 0.00 0.00 0.00 2.33 51.16 2.33 0.00 39.53 4.65 2003 75 0.00 0.00 0.00 0.00 0.00 0.00 29.33 6.67 0.00 40.00 24.00 2004 106 0.00 0.94 0.00 0.00 0.00 1.89 51.89 11.32 0.00 16.04 17.92 2005 143 0.00 0.00 0.70 1.40 2.10 9.09 45.45 0.70 0.00 27.27 13.29 2006 192 0.52 0.00 0.00 1.04 1.04 11.98 44.27 6.25 0.00 19.27 15.63 2007 183 0.55 0.00 0.55 0.00 2.19 4.92 48.63 2.73 0.00 28.96 11.48 2008 221 0.00 0.00 0.45 0.45 0.00 2.71 55.20 3.62 0.00 33.48 4.07 2009 2,419 0.00 0.00 0.00 0.04 0.00 0.04 3.64 14.14 0.00 81.27 0.87 2010 8,610 0.00 0.01 0.00 0.00 0.08 0.06 8.32 16.90 0.00 73.21 1.43 2011 8,059 0.00 0.00 0.04 0.25 0.89 1.85 21.19 35.91 0.00 37.00 2.87 2012 6,856 0.00 0.00 0.06 0.25 1.58 3.40 25.22 31.34 0.00 33.53 4.62 2013 4,685 0.00 0.00 0.09 0.26 1.60 3.74 59.38 8.92 0.00 19.55 6.47 2014 4,974 0.02 0.02 0.10 0.24 0.70 1.87 77.91 1.33 0.00 11.36 6.45 Average 0.04 0.04 0.07 0.15 0.78 1.81 44.16 8.88 1.77 25.57 16.73 Median 0.00 0.00 0.00 0.00 0.00 0.00 45.45 3.62 0.00 20.00 6.47 Std. dev. 0.14 0.18 0.18 0.34 1.52 3.01 25.80 11.50 8.55 22.38 22.59 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.55 0.94 0.70 1.40 5.88 11.98 100.00 37.50 44.44 81.27 100.00 From 'CC'/'C' rating 1977 0 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 56 1406997 | 301945678

57) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 22 Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.) 1993 0 1994 0 1995 0 1996 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 28.57 1997 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 1998 13 0.00 0.00 0.00 0.00 0.00 0.00 7.69 30.77 0.00 61.54 0.00 1999 17 0.00 0.00 0.00 0.00 0.00 0.00 5.88 47.06 0.00 47.06 0.00 2000 15 0.00 0.00 0.00 0.00 0.00 0.00 6.67 60.00 0.00 33.33 0.00 2001 18 0.00 0.00 0.00 0.00 0.00 0.00 5.56 83.33 0.00 11.11 0.00 2002 24 0.00 0.00 0.00 8.33 0.00 0.00 0.00 29.17 0.00 20.83 41.67 2003 35 0.00 0.00 0.00 5.71 0.00 0.00 2.86 37.14 0.00 22.86 31.43 2004 159 0.00 0.00 0.00 0.00 0.00 1.26 11.32 35.22 0.00 47.17 5.03 2005 174 0.00 0.00 0.00 0.00 0.00 1.15 29.89 39.66 0.00 21.26 8.05 2006 232 0.00 0.00 0.00 0.00 0.86 0.86 24.57 26.72 0.00 34.91 12.07 2007 207 0.00 0.00 0.00 0.00 0.00 0.48 20.77 30.92 0.00 35.27 12.56 2008 208 0.00 0.00 0.00 0.00 0.00 0.00 30.77 32.69 0.00 29.81 6.73 2009 350 0.00 0.00 0.00 0.00 0.00 0.00 18.57 38.57 0.00 39.43 3.43 2010 7,764 0.00 0.00 0.00 0.00 0.01 0.09 2.87 26.97 0.18 66.01 3.86 2011 12,427 0.00 0.00 0.00 0.07 0.24 1.01 7.08 26.34 0.12 60.29 4.85 2012 11,794 0.00 0.00 0.00 0.15 0.66 1.77 6.83 16.33 0.12 66.64 7.50 2013 10,682 0.00 0.01 0.05 0.06 0.44 1.26 6.44 28.39 0.00 54.44 8.91 2014 6,647 0.00 0.02 0.00 0.08 0.21 1.43 10.19 37.25 0.00 42.56 8.27 Average 0.00 0.00 0.00 0.76 0.13 0.49 10.42 32.98 0.02 45.58 9.63 Median 0.00 0.00 0.00 0.00 0.00 0.00 6.83 30.92 0.00 42.56 6.73 Std. dev. 0.00 0.00 0.01 2.25 0.25 0.63 9.76 18.55 0.05 21.88 11.72 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00 Max 0.00 0.02 0.05 8.33 0.86 1.77 30.77 83.33 0.18 100.00 41.67 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year Three year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1978 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 3 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 10 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 25 96.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.00 1983 49 87.76 6.12 2.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.08 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 57 1406997 | 301945678

58) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 1984 69 85.51 4.35 1.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.70 1985 98 91.84 1.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 1986 170 94.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 1987 310 94.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.81 1988 556 90.65 0.00 0.00 0.00 0.00 0.00 0.18 0.00 0.00 0.00 9.17 1989 899 86.76 0.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.68 1990 1,336 85.48 0.67 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 13.77 1991 1,769 83.15 1.24 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 15.55 1992 2,011 79.26 1.69 0.10 0.05 0.00 0.00 0.00 0.00 0.00 0.00 18.90 1993 2,238 80.25 1.47 0.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.10 1994 2,503 80.06 0.40 0.40 0.12 0.04 0.00 0.04 0.00 0.00 0.00 18.94 1995 2,829 82.43 0.25 0.00 0.04 0.04 0.00 0.00 0.00 0.00 0.00 17.25 1996 3,299 75.02 0.33 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 24.61 1997 3,784 72.28 0.69 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 27.01 1998 4,306 67.81 1.60 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 30.56 1999 4,540 68.28 1.43 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.29 2000 4,975 61.27 1.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 37.51 2001 5,312 60.26 0.40 0.13 0.04 0.00 0.00 0.04 0.00 0.00 0.06 39.08 2002 5,733 58.22 0.40 0.28 0.07 0.07 0.03 0.05 0.00 0.00 0.09 40.78 2003 6,155 55.09 0.49 0.63 0.41 0.19 0.05 0.03 0.03 0.00 0.08 42.99 2004 6,952 46.20 0.73 0.50 0.27 0.29 0.27 0.17 0.01 0.00 0.00 51.54 2005 7,731 47.10 0.80 0.27 0.13 0.18 0.18 0.05 0.00 0.00 0.00 51.29 2006 8,748 50.90 0.58 0.13 0.06 0.05 0.00 0.03 0.00 0.00 0.00 48.25 2007 10,072 58.32 0.53 0.09 0.01 0.00 0.02 0.01 0.00 0.00 0.01 41.01 2008 12,189 55.01 4.01 2.35 1.53 0.61 0.40 0.77 0.30 0.00 0.09 34.93 2009 14,624 42.05 4.10 3.02 3.68 2.65 2.71 8.49 2.08 0.00 2.02 29.21 2010 16,335 32.48 7.09 3.93 3.60 2.68 3.20 9.14 4.99 0.00 5.32 27.57 2011 12,411 30.69 11.96 4.79 2.66 2.85 3.26 5.41 3.88 0.00 2.92 31.58 2012 8,827 23.03 16.44 8.30 4.94 2.63 2.42 2.23 0.70 0.00 0.76 38.54 2013 7,033 18.03 14.15 10.05 5.74 3.27 2.96 1.73 0.13 0.00 0.36 43.58 2014 5,223 23.72 12.46 7.75 5.07 3.62 2.87 1.19 0.02 0.00 0.21 43.08 Average 69.28 2.63 1.25 0.77 0.52 0.50 0.80 0.33 0.00 0.32 23.60 Median 75.02 0.69 0.09 0.03 0.00 0.00 0.00 0.00 0.00 0.00 24.61 Std. dev. 24.26 4.32 2.54 1.64 1.10 1.08 2.18 1.07 0.00 1.03 16.35 Minimum 18.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 16.44 10.05 5.74 3.62 3.26 9.14 4.99 0.00 5.32 51.54 16.67 83.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'AA' rating 1978 0 1979 0 1980 0 1981 6 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 58 1406997 | 301945678

59) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 1982 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 26 0.00 96.15 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 43 0.00 86.05 9.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.65 1986 72 0.00 95.83 0.00 4.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 91 0.00 87.91 0.00 3.30 6.59 0.00 0.00 0.00 0.00 0.00 2.20 1988 134 0.00 82.84 0.75 7.46 0.00 0.00 1.49 0.00 0.00 2.99 4.48 1989 255 8.63 83.92 1.57 1.57 0.00 0.00 0.39 0.00 0.00 1.57 2.35 1990 444 4.50 61.71 24.77 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.01 1991 628 1.59 63.38 25.00 0.96 0.00 0.48 0.00 0.00 0.00 0.00 8.60 1992 833 0.72 65.55 22.09 0.24 0.12 0.48 0.00 0.00 0.00 0.00 10.80 1993 935 3.10 81.93 1.60 0.21 0.86 0.53 0.11 0.00 0.00 0.11 11.55 1994 1,236 9.79 69.66 4.05 1.05 0.00 0.73 1.13 0.24 0.00 0.00 13.35 1995 1,551 10.32 65.18 2.97 0.77 0.45 0.00 0.77 0.06 0.06 0.00 19.41 1996 1,764 7.60 61.51 1.93 0.45 0.06 0.28 0.45 0.34 0.06 0.06 27.27 1997 1,782 7.35 66.89 0.73 0.17 0.00 0.00 0.00 0.00 0.00 0.00 24.86 1998 1,784 5.10 66.59 0.73 0.06 0.00 0.00 0.00 0.00 0.00 0.00 27.52 1999 1,779 4.38 61.72 0.34 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.56 2000 1,946 12.90 46.97 0.00 0.21 0.00 0.00 0.15 0.00 0.00 0.00 39.77 2001 2,149 19.50 43.88 0.19 0.51 0.05 0.00 0.00 0.00 0.00 0.14 35.74 2002 2,166 21.33 41.92 1.43 0.92 0.18 0.05 0.14 0.00 0.00 0.32 33.70 2003 2,153 17.65 39.15 3.07 1.39 0.60 1.02 0.05 0.14 0.00 0.33 36.60 2004 2,507 12.60 37.50 2.71 1.20 0.88 1.12 1.00 0.00 0.00 0.28 42.72 2005 3,307 16.42 37.59 2.09 0.57 0.64 0.82 0.54 0.00 0.00 0.24 41.09 2006 4,535 16.96 46.28 1.46 0.31 0.22 0.20 0.02 0.00 0.00 0.00 34.55 2007 6,884 11.77 59.79 1.32 0.54 0.17 0.22 0.09 0.00 0.00 0.03 26.07 2008 10,264 5.76 62.97 3.07 2.66 1.71 1.99 2.26 1.10 0.00 0.13 18.36 2009 14,548 1.99 32.20 4.57 3.72 3.75 4.69 14.46 9.15 0.04 11.33 14.08 2010 16,892 1.00 23.18 6.55 4.54 3.63 5.59 13.53 8.07 0.08 20.74 13.10 2011 11,824 1.51 24.93 9.18 5.42 4.99 7.52 10.01 9.46 0.00 9.44 17.54 2012 7,120 4.49 26.31 10.25 7.53 7.26 7.28 8.31 2.32 0.00 1.95 24.30 2013 6,411 5.83 26.75 8.80 6.83 6.75 6.41 7.14 0.50 0.00 0.72 30.26 2014 5,873 7.29 26.48 10.18 5.82 4.61 4.00 4.29 0.03 0.00 0.41 36.88 Average 6.96 60.47 4.84 1.84 1.28 1.28 1.95 0.92 0.01 1.49 18.95 Median 5.43 62.34 2.01 0.67 0.09 0.12 0.10 0.00 0.00 0.01 17.95 Std. dev. 6.54 23.83 6.83 2.38 2.24 2.29 3.94 2.56 0.02 4.22 14.19 Min 0.00 23.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 21.33 100.00 25.00 7.53 7.26 7.52 14.46 9.46 0.08 20.74 42.72 From 'A' rating 1978 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1979 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 59 1406997 | 301945678

60) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 1980 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1981 1 0.00 1982 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 6 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1987 9 0.00 0.00 88.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 1988 19 0.00 0.00 68.42 15.79 0.00 0.00 0.00 0.00 0.00 0.00 15.79 1989 19 0.00 0.00 89.47 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 1990 29 0.00 3.45 89.66 3.45 0.00 0.00 0.00 0.00 0.00 0.00 3.45 1991 45 0.00 2.22 93.33 2.22 0.00 0.00 0.00 0.00 0.00 0.00 2.22 1992 111 0.00 0.90 82.88 0.90 0.00 0.90 5.41 0.00 0.00 0.00 9.01 1993 354 0.00 0.00 89.27 1.69 0.56 0.28 1.69 0.00 0.00 0.00 6.50 1994 533 2.25 14.45 65.48 3.00 0.00 0.19 1.50 0.00 0.38 0.00 12.76 1995 793 2.40 10.09 52.84 2.65 0.13 0.00 0.50 0.13 0.13 1.77 29.38 1996 935 1.93 8.02 61.82 0.96 0.64 0.11 0.11 0.32 0.00 1.50 24.60 1997 1,023 1.86 1.66 68.23 0.88 0.20 0.10 0.00 0.10 0.00 0.10 26.88 1998 1,071 1.21 2.05 64.71 1.12 0.09 0.00 0.00 0.00 0.00 0.09 30.72 1999 1,352 0.67 2.74 62.57 2.88 0.00 0.00 0.00 0.00 0.00 0.30 30.84 2000 1,563 4.16 5.95 49.26 0.96 0.06 0.13 0.06 0.00 0.00 0.83 38.58 2001 1,775 7.38 6.70 45.75 1.92 0.45 0.34 0.39 0.00 0.00 0.45 36.62 2002 2,083 7.44 7.25 46.38 2.98 0.43 0.53 0.77 0.48 0.00 0.72 33.03 2003 2,307 5.90 7.24 41.05 9.28 1.43 0.95 1.39 0.69 0.00 0.65 31.43 2004 2,896 4.70 6.15 39.33 9.88 1.42 0.62 1.28 0.41 0.00 0.90 35.32 2005 4,059 7.66 9.44 38.11 7.44 0.86 0.32 0.71 0.00 0.00 0.64 34.81 2006 5,228 5.80 12.95 46.75 1.22 0.31 0.40 0.25 0.00 0.00 0.06 32.27 2007 7,261 3.88 10.99 54.99 1.75 0.99 0.63 0.40 0.00 0.00 0.07 26.29 2008 10,113 1.55 6.02 51.67 4.71 3.65 3.06 6.64 2.60 0.00 0.95 19.15 2009 13,747 0.56 2.62 25.66 4.60 4.23 5.68 11.89 12.13 0.00 19.17 13.46 2010 14,550 0.33 1.44 18.45 7.00 5.91 6.74 12.12 11.59 0.00 25.57 10.85 2011 10,822 0.39 1.99 20.84 8.67 6.01 7.60 10.77 12.16 0.00 13.86 17.71 2012 7,052 1.49 5.15 27.47 8.78 6.07 6.71 11.67 4.01 0.00 2.68 25.98 2013 6,052 2.92 7.52 30.17 5.78 5.67 5.80 9.73 1.17 0.00 0.93 30.30 2014 5,393 2.93 8.46 31.34 6.55 5.28 3.95 4.97 0.11 0.00 0.52 35.90 Average 1.82 3.93 57.07 3.16 1.20 1.22 2.22 1.24 0.01 1.94 26.18 Median 0.56 2.22 54.99 1.75 0.09 0.11 0.11 0.00 0.00 0.07 25.98 Std. dev. 2.42 4.21 30.32 3.74 2.06 2.28 3.95 3.32 0.06 5.51 25.59 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 7.66 14.45 100.00 15.79 6.07 7.60 12.12 12.16 0.38 25.57 100.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 60 1406997 | 301945678

61) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) From 'BBB' rating 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 1 1988 0 1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 16 43.75 0.00 37.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 6.25 1992 19 0.00 0.00 0.00 68.42 0.00 5.26 0.00 0.00 0.00 0.00 26.32 1993 26 0.00 0.00 3.85 88.46 3.85 0.00 0.00 0.00 0.00 0.00 3.85 1994 58 0.00 0.00 1.72 70.69 5.17 1.72 3.45 0.00 3.45 1.72 12.07 1995 96 0.00 3.13 9.38 72.92 3.13 0.00 3.13 0.00 0.00 4.17 4.17 1996 185 1.08 2.16 6.49 71.35 1.62 0.54 0.54 0.00 0.00 1.62 14.59 1997 327 1.53 1.83 3.98 64.83 8.26 2.14 1.22 0.92 0.00 0.92 14.37 1998 429 0.70 0.93 4.43 70.63 7.93 0.70 0.00 0.47 0.00 0.23 13.99 1999 516 0.19 1.36 4.65 76.36 1.74 0.19 0.19 0.00 0.00 0.19 15.12 2000 753 1.86 5.98 5.98 56.57 2.39 8.50 0.40 0.00 0.00 0.80 17.53 2001 1,062 4.43 6.87 4.61 53.67 1.69 7.91 1.13 0.00 0.00 1.04 18.64 2002 1,391 6.18 5.18 4.53 50.18 2.30 1.51 5.03 0.50 0.00 3.67 20.92 2003 1,653 2.96 4.78 6.59 48.03 2.72 2.60 2.78 1.27 0.00 2.60 25.65 2004 2,520 2.02 3.69 5.40 43.02 2.94 3.06 2.86 0.99 0.00 2.94 33.10 2005 3,808 2.39 4.57 8.17 40.47 2.94 1.42 1.52 0.32 0.00 1.86 36.34 2006 5,811 4.22 4.20 8.60 46.14 2.31 0.81 1.55 0.21 0.00 0.74 31.23 2007 7,941 3.43 2.78 6.65 51.66 2.98 2.75 2.72 0.08 0.00 0.99 25.97 2008 10,879 1.76 0.89 3.89 44.23 4.73 5.01 9.49 5.97 0.00 4.86 19.17 2009 14,438 0.60 0.23 1.75 21.44 4.45 4.83 9.72 16.52 0.00 27.67 12.79 2010 14,472 0.23 0.15 0.93 13.66 6.86 7.65 13.06 15.73 0.00 31.43 10.28 2011 10,506 0.06 0.41 1.18 15.06 8.86 7.80 13.30 15.04 0.00 22.13 16.17 2012 6,581 0.38 1.75 4.76 21.46 9.28 8.80 14.42 6.94 0.00 8.04 24.18 2013 5,414 1.07 3.58 8.59 24.92 8.27 8.29 12.01 2.07 0.00 2.79 28.41 2014 4,449 1.30 4.09 9.28 28.10 8.29 8.32 7.17 0.27 0.00 1.21 31.96 Average 5.44 2.17 10.60 42.77 3.80 3.33 3.91 2.49 0.13 4.50 20.85 Median 1.30 1.75 4.76 46.14 2.94 2.14 1.55 0.21 0.00 1.21 17.53 Std. dev. 11.53 2.15 17.55 26.01 3.05 3.30 4.80 5.08 0.66 8.44 18.75 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 61 1406997 | 301945678

62) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 43.75 6.87 66.67 88.46 9.28 8.80 14.42 16.52 3.45 31.43 100.00 From 'BB' rating 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 8 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 50.00 37.50 1991 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1992 3 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 66.67 1993 2 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1994 5 0.00 0.00 0.00 20.00 60.00 0.00 20.00 0.00 0.00 0.00 0.00 1995 13 0.00 0.00 0.00 0.00 76.92 0.00 0.00 0.00 0.00 7.69 15.38 1996 62 0.00 0.00 0.00 0.00 67.74 3.23 0.00 0.00 0.00 17.74 11.29 1997 107 0.00 0.00 0.00 0.93 81.31 1.87 0.00 2.80 0.00 3.74 9.35 1998 174 0.00 0.00 0.00 1.72 78.74 5.17 1.72 1.72 0.00 4.02 6.90 1999 266 0.00 0.00 0.00 3.38 82.71 2.63 0.75 0.75 0.00 1.50 8.27 2000 354 0.28 1.41 3.39 10.17 66.95 2.82 2.54 1.41 0.00 1.13 9.89 2001 509 0.79 3.73 4.91 11.39 56.58 3.73 1.96 0.59 0.00 2.95 13.36 2002 634 0.79 5.21 5.68 9.46 45.27 3.47 1.42 2.52 1.10 7.73 17.35 2003 774 0.52 2.07 3.62 7.49 42.51 6.07 2.84 3.10 0.00 7.75 24.03 2004 1,122 0.27 1.34 2.14 6.06 41.98 4.46 4.37 2.14 0.45 5.97 30.84 2005 1,730 0.64 2.43 2.54 10.46 40.40 4.86 2.83 0.46 0.00 3.99 31.39 2006 2,354 0.89 1.74 3.19 11.89 48.98 2.51 1.49 0.30 0.00 2.29 26.72 2007 3,212 1.06 0.75 2.68 9.15 59.25 3.02 2.49 0.28 0.00 1.84 19.49 2008 4,683 0.47 0.19 0.64 4.19 51.38 7.50 8.50 5.19 0.00 7.64 14.31 2009 6,266 0.27 0.02 0.11 1.68 23.64 6.05 10.36 17.43 0.00 31.39 9.06 2010 7,816 0.01 0.06 0.18 0.64 10.21 7.45 15.55 16.01 0.00 43.74 6.15 2011 6,494 0.02 0.12 0.31 0.99 9.73 8.10 16.82 16.32 0.00 36.77 10.83 2012 4,997 0.12 0.54 1.44 5.26 16.41 14.03 20.21 9.63 0.00 14.13 18.23 2013 4,174 0.19 0.98 2.54 9.80 16.79 14.42 20.10 4.72 0.00 6.73 23.72 2014 3,546 0.37 1.44 3.47 9.81 21.69 15.00 14.33 0.68 0.00 4.20 29.02 0.23 0.76 1.27 4.64 52.85 4.01 5.54 2.97 0.05 9.07 18.61 Average WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 62 1406997 | 301945678

63) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) Median 0.01 0.02 0.11 1.72 51.38 3.02 1.96 0.59 0.00 3.99 13.36 Std. dev. 0.32 1.27 1.73 5.29 32.26 4.45 7.19 5.17 0.22 13.74 21.33 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 1.06 5.21 5.68 20.00 100.00 15.00 20.21 17.43 1.10 50.00 100.00 From 'B' rating 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1992 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1993 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1994 5 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 20.00 60.00 1995 17 0.00 0.00 0.00 11.76 17.65 41.18 0.00 0.00 0.00 11.76 17.65 1996 55 1.82 0.00 0.00 1.82 5.45 74.55 1.82 0.00 0.00 5.45 9.09 1997 107 0.93 0.00 0.00 0.00 0.93 75.70 3.74 5.61 0.00 7.48 5.61 1998 160 0.63 0.00 0.63 0.00 1.88 83.75 1.88 1.25 0.00 5.63 4.38 1999 232 0.00 0.00 0.00 0.86 3.02 82.33 1.29 1.72 0.00 6.90 3.88 2000 274 0.00 0.00 0.36 4.74 9.12 67.88 2.92 1.82 0.00 6.93 6.20 2001 362 0.00 0.83 0.83 4.42 11.60 59.94 4.97 1.10 0.00 6.63 9.67 2002 433 0.00 0.46 1.62 7.62 10.16 52.89 5.31 1.15 0.00 10.16 10.62 2003 573 0.00 0.35 0.87 2.97 5.06 37.52 6.98 1.22 0.00 25.83 19.20 2004 762 0.39 0.00 0.26 1.44 2.76 36.22 6.82 2.36 0.00 20.60 29.13 2005 1,047 0.29 0.48 0.86 2.29 7.64 38.49 6.40 0.96 0.00 7.16 35.43 2006 1,645 0.18 0.30 1.28 2.49 9.91 51.19 5.41 0.30 0.00 6.08 22.86 2007 2,082 0.29 0.14 0.82 1.44 8.12 68.59 4.66 0.34 0.00 3.99 11.62 2008 2,711 0.18 0.04 0.07 0.70 4.39 58.24 17.59 4.83 0.07 7.49 6.38 2009 3,167 0.06 0.00 0.00 0.09 1.55 25.39 13.77 14.94 0.00 40.67 3.54 2010 5,348 0.00 0.00 0.00 0.00 0.49 7.54 9.65 17.39 0.00 62.60 2.34 2011 5,839 0.00 0.02 0.02 0.09 0.39 5.98 10.45 20.07 0.00 58.30 4.69 2012 5,109 0.00 0.06 0.33 1.19 3.56 13.78 24.94 16.05 0.00 29.58 10.51 2013 4,854 0.06 0.19 0.78 2.53 5.77 15.43 30.02 10.65 0.00 19.72 14.85 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 63 1406997 | 301945678

64) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 2014 4,010 0.05 0.25 1.27 2.12 5.31 26.43 32.79 1.65 0.00 9.28 20.85 Average 0.20 0.13 0.42 2.02 4.78 43.46 7.98 4.31 0.00 15.51 21.19 Median 0.00 0.00 0.17 1.32 3.98 45.59 5.14 1.24 0.00 7.48 11.12 Std. dev. 0.42 0.21 0.51 2.81 4.56 25.22 9.43 6.36 0.02 17.07 23.32 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.34 Max 1.82 0.83 1.62 11.76 17.65 83.75 32.79 20.07 0.07 62.60 100.00 From 'CCC' rating 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1990 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1991 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1992 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1993 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1994 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1995 9 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 0.00 44.44 33.33 1996 12 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 33.33 1997 31 0.00 0.00 0.00 0.00 0.00 0.00 12.90 3.23 0.00 67.74 16.13 1998 25 0.00 0.00 0.00 0.00 0.00 0.00 24.00 20.00 0.00 48.00 8.00 1999 16 0.00 0.00 0.00 0.00 0.00 0.00 31.25 31.25 0.00 31.25 6.25 2000 14 0.00 0.00 0.00 0.00 7.14 0.00 42.86 7.14 0.00 35.71 7.14 2001 17 0.00 0.00 0.00 0.00 5.88 0.00 41.18 17.65 0.00 29.41 5.88 2002 20 0.00 0.00 5.00 0.00 0.00 5.00 55.00 10.00 0.00 20.00 5.00 2003 43 0.00 0.00 0.00 0.00 0.00 0.00 27.91 2.33 0.00 41.86 27.91 2004 75 0.00 0.00 0.00 0.00 0.00 1.33 22.67 6.67 0.00 41.33 28.00 2005 106 0.00 0.00 0.94 0.00 0.00 3.77 37.74 11.32 0.00 22.64 23.58 2006 143 0.70 0.00 0.70 2.80 2.80 6.99 23.08 5.59 0.00 34.97 22.38 2007 192 0.52 0.00 0.52 0.52 2.60 6.25 35.94 3.13 0.00 27.08 23.44 2008 183 0.55 0.00 0.55 0.55 1.09 5.46 42.62 1.64 0.00 33.88 13.66 2009 221 0.00 0.00 0.45 0.45 0.00 2.71 32.58 10.86 0.00 48.87 4.07 2010 2,419 0.00 0.00 0.00 0.04 0.00 0.04 1.86 13.39 0.00 83.71 0.95 2011 8,610 0.00 0.00 0.00 0.00 0.14 0.17 2.95 13.72 0.01 81.16 1.85 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 64 1406997 | 301945678

65) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 2012 8,059 0.00 0.00 0.09 0.25 0.97 1.69 13.79 21.45 0.00 57.25 4.52 2013 6,856 0.00 0.00 0.09 0.45 1.50 2.83 21.30 20.03 0.00 47.33 6.48 2014 4,685 0.02 0.04 0.13 0.53 1.71 2.97 52.66 6.47 0.00 26.32 9.16 Average 0.07 0.00 0.33 0.22 0.92 1.51 37.61 7.92 0.00 32.93 18.50 Median 0.00 0.00 0.00 0.00 0.00 0.00 33.33 6.03 0.00 33.61 11.41 Std. dev. 0.19 0.01 0.99 0.56 1.85 2.25 24.55 8.56 0.00 24.14 18.36 Min 0.00 0.00 0.00 0.00 0.00 0.00 1.86 0.00 0.00 0.00 0.00 Max 0.70 0.04 5.00 2.80 7.14 6.99 100.00 31.25 0.01 83.71 66.67 From 'CC'/'C' rating 1978 0 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 0 1996 0 1997 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 28.57 1998 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 1999 13 0.00 0.00 0.00 0.00 0.00 0.00 7.69 30.77 0.00 61.54 0.00 2000 17 0.00 0.00 0.00 0.00 0.00 0.00 5.88 47.06 0.00 47.06 0.00 2001 15 0.00 0.00 0.00 0.00 0.00 0.00 6.67 53.33 0.00 40.00 0.00 2002 18 0.00 0.00 0.00 11.11 0.00 0.00 0.00 11.11 0.00 22.22 55.56 2003 24 0.00 0.00 0.00 8.33 0.00 0.00 0.00 25.00 0.00 25.00 41.67 2004 35 0.00 0.00 0.00 5.71 0.00 0.00 0.00 31.43 0.00 22.86 40.00 2005 159 0.00 0.00 0.00 0.00 0.00 1.26 8.81 29.56 0.00 53.46 6.92 2006 174 0.00 0.00 0.00 0.00 0.57 1.15 16.09 32.18 0.00 31.61 18.39 2007 232 0.00 0.00 0.00 0.00 0.43 0.86 14.22 21.98 0.00 48.28 14.22 2008 207 0.00 0.00 0.00 0.00 0.00 0.48 16.43 29.47 0.00 38.16 15.46 2009 208 0.00 0.00 0.00 0.00 0.00 0.00 20.67 29.81 0.00 40.38 9.13 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 65 1406997 | 301945678

66) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 23 Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.) 2010 350 0.00 0.00 0.00 0.00 0.00 0.00 8.86 35.71 0.00 48.57 6.86 2011 7,764 0.00 0.00 0.00 0.00 0.03 0.06 1.43 8.57 0.18 85.25 4.48 2012 12,427 0.00 0.00 0.04 0.14 0.39 1.10 3.14 9.80 0.11 77.32 7.97 2013 11,794 0.00 0.03 0.10 0.14 0.70 1.48 4.57 10.61 0.00 72.21 10.16 2014 10,682 0.00 0.01 0.02 0.16 0.52 1.54 4.77 20.15 0.00 61.89 10.95 Average 0.00 0.00 0.01 1.42 0.15 0.44 6.62 23.70 0.02 52.62 15.02 Median 0.00 0.00 0.00 0.00 0.00 0.00 5.32 27.23 0.00 48.42 9.65 Std. dev. 0.00 0.01 0.03 3.34 0.25 0.60 6.50 14.85 0.05 22.26 16.17 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 Max 0.00 0.03 0.10 11.11 0.70 1.54 20.67 53.33 0.18 100.00 55.56 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year Four year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1979 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1980 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 3 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 10 90.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.00 1983 25 92.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.00 1984 49 79.59 6.12 2.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.24 1985 69 81.16 1.45 4.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.04 1986 98 88.78 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.22 1987 170 91.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.82 1988 310 86.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.87 1989 556 82.73 0.72 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.55 1990 899 79.98 0.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.35 1991 1,336 77.47 0.75 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 21.71 1992 1,769 74.73 1.47 0.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23.63 1993 2,011 74.89 1.34 0.15 0.05 0.00 0.00 0.00 0.00 0.00 0.00 23.57 1994 2,238 73.73 0.71 0.63 0.04 0.04 0.00 0.04 0.00 0.00 0.00 24.80 1995 2,503 74.99 0.56 0.32 0.08 0.08 0.00 0.04 0.00 0.00 0.00 23.93 1996 2,829 69.25 0.28 0.00 0.07 0.00 0.00 0.04 0.00 0.00 0.00 30.36 1997 3,299 66.08 0.73 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 33.16 1998 3,784 62.50 0.87 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 36.60 1999 4,306 57.97 1.18 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 40.83 2000 4,540 52.38 1.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 46.48 2001 4,975 51.10 0.84 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 48.02 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 66 1406997 | 301945678

67) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 2002 5,312 48.76 0.28 0.15 0.02 0.06 0.04 0.04 0.00 0.00 0.09 50.56 2003 5,733 44.08 0.28 0.52 0.16 0.16 0.05 0.03 0.03 0.00 0.09 54.60 2004 6,155 38.52 0.55 0.42 0.28 0.24 0.21 0.18 0.03 0.00 0.11 59.45 2005 6,952 35.43 0.78 0.40 0.19 0.29 0.30 0.19 0.01 0.00 0.00 62.41 2006 7,731 35.97 0.57 0.18 0.16 0.16 0.10 0.16 0.00 0.00 0.00 62.71 2007 8,748 40.96 0.45 0.14 0.07 0.05 0.01 0.03 0.00 0.00 0.01 58.29 2008 10,072 41.39 3.83 2.00 0.92 0.21 0.21 0.42 0.13 0.00 0.01 50.88 2009 12,189 38.76 3.41 2.78 2.89 2.16 1.86 3.38 1.10 0.00 0.47 43.19 2010 14,624 30.84 5.63 3.41 3.18 2.10 2.50 6.93 3.84 0.00 4.33 37.25 2011 16,335 21.59 8.71 4.22 3.09 2.63 3.52 7.76 4.98 0.00 8.78 34.73 2012 12,411 15.35 13.04 6.69 4.58 3.05 3.21 5.27 2.74 0.00 5.33 40.74 2013 8,827 12.74 13.55 8.67 5.29 3.17 3.38 2.68 0.61 0.00 1.13 48.77 2014 7,033 13.81 11.92 9.00 5.28 3.64 3.44 2.12 0.13 0.00 0.47 50.21 Average 61.80 2.27 1.29 0.74 0.50 0.52 0.81 0.38 0.00 0.58 31.11 Median 67.66 0.72 0.14 0.03 0.00 0.00 0.00 0.00 0.00 0.00 31.76 Std. dev. 26.26 3.76 2.43 1.57 1.07 1.15 1.97 1.12 0.00 1.80 19.17 Minimum 12.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 13.55 9.00 5.29 3.64 3.52 7.76 4.98 0.00 8.78 62.71 From 'AA' rating 1979 0 1980 0 1981 0 1982 6 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1983 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 26 0.00 96.15 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 43 0.00 86.05 2.33 6.98 0.00 0.00 0.00 0.00 0.00 0.00 4.65 1987 72 0.00 87.50 0.00 4.17 6.94 0.00 0.00 0.00 0.00 0.00 1.39 1988 91 0.00 75.82 0.00 14.29 0.00 0.00 2.20 0.00 0.00 4.40 3.30 1989 134 10.45 73.88 3.73 2.99 0.00 0.00 0.75 0.00 0.00 2.99 5.22 1990 255 8.24 61.18 15.29 0.00 0.00 0.00 0.39 0.00 0.00 1.57 13.33 1991 444 3.60 57.21 25.68 0.45 0.00 0.68 0.00 0.00 0.00 0.00 12.39 1992 628 2.07 59.87 24.36 0.32 0.16 0.64 0.96 0.00 0.00 0.00 11.62 1993 833 3.48 60.38 21.85 0.24 0.00 0.60 0.12 0.00 0.00 0.12 13.21 1994 935 12.73 62.25 2.99 0.75 0.00 0.21 1.39 0.32 0.00 0.11 19.25 1995 1,236 11.97 56.80 2.83 0.81 0.49 0.00 1.21 0.16 0.16 0.49 25.08 1996 1,551 9.99 53.51 2.51 0.58 0.06 0.32 0.45 0.45 0.06 0.19 31.85 1997 1,764 9.98 54.08 2.10 0.40 0.06 0.23 0.11 0.57 0.00 0.28 32.20 1998 1,782 7.41 57.24 0.79 0.22 0.00 0.00 0.00 0.00 0.00 0.00 34.34 1999 1,784 5.16 51.96 0.50 0.06 0.00 0.00 0.00 0.00 0.00 0.00 42.32 2000 1,779 13.10 37.77 0.06 0.22 0.00 0.00 0.00 0.00 0.00 0.00 48.85 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 67 1406997 | 301945678

68) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 2001 1,946 20.71 32.48 0.10 0.26 0.00 0.00 0.00 0.00 0.00 0.15 46.30 2002 2,149 21.17 30.71 0.84 0.51 0.14 0.05 0.19 0.00 0.00 0.28 46.11 2003 2,166 18.42 27.29 1.80 1.11 0.37 0.55 0.00 0.14 0.00 0.46 49.86 2004 2,153 12.17 26.34 2.60 1.02 0.84 1.02 0.88 0.14 0.00 0.46 54.53 2005 2,507 12.21 25.89 2.47 0.84 1.04 0.96 0.96 0.00 0.00 0.40 55.25 2006 3,307 16.54 27.88 1.69 0.48 0.51 0.76 0.73 0.00 0.00 0.36 51.04 2007 4,535 15.74 37.73 1.50 0.55 0.31 0.42 0.13 0.00 0.00 0.04 43.57 2008 6,884 10.87 49.33 2.11 1.82 0.70 0.70 0.80 0.78 0.00 0.04 32.86 2009 10,264 4.36 35.71 4.46 4.00 3.43 4.78 10.73 5.29 0.00 2.54 24.70 2010 14,548 1.86 23.64 5.63 4.19 3.49 5.02 11.60 7.39 0.04 18.94 18.22 2011 16,892 1.03 16.43 6.46 3.78 3.48 5.26 9.13 9.67 0.08 28.04 16.65 2012 11,824 2.20 14.06 7.39 5.45 6.27 8.03 12.50 6.72 0.00 14.12 23.27 2013 7,120 4.54 16.73 9.42 6.67 7.16 7.51 10.20 1.71 0.00 3.26 32.79 2014 6,411 6.08 19.05 8.53 5.83 5.79 6.15 8.72 0.45 0.00 1.01 38.39 Average 7.46 51.97 4.97 2.09 1.25 1.33 2.25 1.02 0.01 2.43 25.23 Median 6.08 53.51 2.47 0.58 0.06 0.23 0.39 0.00 0.00 0.19 24.70 Std. dev. 6.54 26.59 6.96 3.06 2.23 2.38 4.01 2.44 0.03 6.12 18.36 Min 0.00 14.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 21.17 100.00 25.68 14.29 7.16 8.03 12.50 9.67 0.16 28.04 55.25 From 'A' rating 1979 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1980 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1981 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1982 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1983 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 6 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1988 9 0.00 0.00 88.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 1989 19 5.26 0.00 78.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.79 1990 19 0.00 0.00 84.21 5.26 0.00 0.00 0.00 0.00 0.00 0.00 10.53 1991 29 0.00 3.45 86.21 3.45 0.00 0.00 0.00 0.00 0.00 0.00 6.90 1992 45 0.00 2.22 82.22 2.22 0.00 0.00 0.00 0.00 0.00 0.00 13.33 1993 111 0.00 0.90 74.77 0.90 0.00 0.90 5.41 0.00 0.00 0.00 17.12 1994 354 3.39 9.32 68.08 3.39 0.28 0.28 0.28 0.00 1.13 0.28 13.56 1995 533 3.56 13.70 50.47 2.25 0.19 0.00 0.38 0.00 0.00 1.88 27.58 1996 793 2.14 9.21 54.35 0.76 0.63 0.13 0.13 0.25 0.00 2.27 30.14 1997 935 1.71 6.74 54.12 0.86 0.75 0.11 0.11 0.21 0.00 1.60 33.80 1998 1,023 2.05 2.05 53.76 0.78 0.20 0.10 0.00 0.10 0.00 0.10 40.86 1999 1,071 0.56 3.36 51.82 1.12 0.09 0.00 0.00 0.00 0.00 0.09 42.95 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 68 1406997 | 301945678

69) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 2000 1,352 4.66 5.47 39.13 0.44 0.00 2.44 0.00 0.00 0.00 0.30 47.56 2001 1,563 7.87 7.36 33.14 1.02 0.32 0.13 0.26 0.00 0.00 1.15 48.75 2002 1,775 8.79 7.72 32.90 2.31 0.34 0.39 0.39 0.51 0.00 0.79 45.86 2003 2,083 7.63 6.82 28.04 6.19 0.82 0.77 0.91 1.01 0.00 0.86 46.95 2004 2,307 5.37 6.29 27.65 7.72 1.26 0.56 1.43 1.08 0.00 1.13 47.51 2005 2,896 7.15 6.25 27.31 6.98 1.07 0.62 1.10 0.24 0.00 1.38 47.89 2006 4,059 9.63 9.44 27.67 5.12 0.54 0.25 0.64 0.00 0.00 0.86 45.85 2007 5,228 5.91 13.08 33.91 1.87 1.17 0.84 0.69 0.00 0.00 0.10 42.43 2008 7,261 3.47 9.49 42.91 3.80 2.60 1.97 1.89 0.92 0.00 0.48 32.46 2009 10,113 1.11 5.01 26.05 5.12 4.39 6.07 11.73 9.96 0.00 7.58 22.98 2010 13,747 0.49 2.23 16.45 5.77 5.11 5.93 10.85 11.20 0.00 25.51 16.48 2011 14,550 0.41 1.48 13.17 5.51 4.56 5.54 8.30 13.26 0.00 33.40 14.37 2012 10,822 0.94 2.02 14.93 6.39 4.35 6.10 13.54 8.92 0.00 19.52 23.29 2013 7,052 2.16 4.17 19.74 6.66 5.88 6.07 12.89 3.40 0.00 4.10 34.93 2014 6,052 3.45 6.74 22.72 5.06 5.04 5.30 10.31 0.93 0.00 1.49 38.96 Average 2.44 4.01 47.23 2.53 1.10 1.24 2.26 1.44 0.03 2.91 34.81 Median 1.03 2.79 41.02 1.50 0.19 0.12 0.12 0.00 0.00 0.19 32.90 Std. dev. 2.97 4.06 31.99 2.58 1.81 2.16 4.26 3.47 0.19 7.44 28.15 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 9.63 13.70 100.00 7.72 5.88 6.10 13.54 13.26 1.13 33.40 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 From 'BBB' rating 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 1 1989 0 1990 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 16 43.75 0.00 37.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 6.25 1993 19 0.00 0.00 0.00 73.68 0.00 0.00 0.00 0.00 0.00 0.00 26.32 1994 26 0.00 0.00 3.85 76.92 7.69 0.00 0.00 0.00 0.00 0.00 11.54 1995 58 0.00 5.17 10.34 50.00 5.17 0.00 1.72 0.00 0.00 12.07 15.52 1996 96 1.04 4.17 10.42 61.46 1.04 1.04 2.08 0.00 0.00 6.25 12.50 1997 185 1.62 2.70 7.03 64.32 1.08 0.54 0.54 0.00 0.00 1.62 20.54 1998 327 1.22 2.14 5.20 56.27 9.17 1.53 0.92 0.92 0.00 1.53 21.10 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 69 1406997 | 301945678

70) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 1999 429 0.93 1.86 6.06 60.37 7.46 0.70 0.23 0.23 0.00 0.47 21.68 2000 516 2.13 7.75 8.53 52.71 1.16 1.36 0.39 0.19 0.00 0.19 25.58 2001 753 6.11 9.16 6.11 39.84 2.12 8.10 1.06 0.00 0.00 1.33 26.16 2002 1,062 7.91 6.40 4.24 41.81 2.26 0.85 5.56 0.47 0.00 4.14 26.37 2003 1,391 5.46 5.25 6.04 33.86 2.37 2.66 2.52 0.72 0.00 8.27 32.85 2004 1,653 3.33 3.51 6.47 32.00 1.88 2.36 3.27 1.27 0.00 4.30 41.62 2005 2,520 2.46 3.89 7.02 29.52 3.10 1.94 2.50 0.95 0.00 4.13 44.48 2006 3,808 2.86 5.12 7.67 27.26 2.89 1.34 2.05 0.45 0.00 2.63 47.74 2007 5,811 5.01 4.46 8.31 31.66 2.43 2.22 3.17 0.29 0.00 1.77 40.68 2008 7,941 3.12 2.72 5.98 37.25 3.77 4.28 5.26 3.03 0.03 3.70 30.85 2009 10,879 1.54 0.61 3.45 20.99 4.20 4.49 9.90 15.97 0.00 16.77 22.10 2010 14,438 0.53 0.24 1.30 11.55 5.28 5.86 10.26 15.76 0.00 33.71 15.51 2011 14,472 0.03 0.24 0.88 9.67 5.86 5.31 8.08 14.86 0.01 41.13 13.92 2012 10,506 0.10 0.59 1.39 11.81 5.74 6.17 11.61 10.92 0.00 29.66 22.02 2013 6,581 0.71 2.11 4.60 14.01 7.76 7.83 14.44 5.27 0.00 11.03 32.23 2014 5,414 1.42 3.49 7.43 19.01 6.80 7.68 11.86 1.85 0.00 3.92 36.55 Average 6.08 2.75 11.27 33.40 3.43 2.55 3.75 2.81 0.00 7.25 26.70 Median 1.58 2.42 6.08 31.83 2.66 1.44 2.07 0.37 0.00 3.16 23.84 Std. dev. 11.63 2.63 17.71 23.13 2.82 2.73 4.44 5.22 0.01 11.13 19.56 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 43.75 9.16 66.67 76.92 9.17 8.10 14.44 15.97 0.03 41.13 100.00 From 'BB' rating 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1988 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1991 8 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 50.00 37.50 1992 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1993 3 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 66.67 1994 2 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1995 5 0.00 0.00 0.00 20.00 40.00 0.00 0.00 0.00 0.00 20.00 20.00 1996 13 0.00 0.00 0.00 0.00 61.54 0.00 0.00 0.00 0.00 15.38 23.08 1997 62 0.00 0.00 0.00 1.61 62.90 0.00 1.61 0.00 0.00 17.74 16.13 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 70 1406997 | 301945678

71) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 1998 107 0.00 0.00 0.00 1.87 74.77 1.87 1.87 0.93 0.00 6.54 1999 174 0.00 0.00 2000 266 0.38 1.13 2001 354 1.13 2002 509 2003 2004 12.15 0.00 4.60 70.69 5.75 1.72 2.30 0.00 5.17 9.77 3.76 12.41 60.90 2.26 2.63 1.13 0.00 1.88 13.53 5.65 6.50 14.12 44.92 3.67 3.11 0.85 0.00 3.11 16.95 1.18 6.29 7.07 11.39 36.94 3.73 1.57 1.18 1.38 8.06 21.22 634 2.68 4.42 3.00 7.57 30.91 5.05 0.79 2.68 0.00 10.41 32.49 774 0.65 1.42 2.20 7.11 30.36 5.30 3.75 2.71 0.00 9.17 37.34 2005 1,122 0.45 1.43 2.32 7.31 32.62 4.10 4.19 2.05 0.00 6.77 38.77 2006 1,730 0.92 2.37 3.01 11.39 29.13 3.82 2.25 0.40 0.00 5.03 41.68 2007 2,354 1.32 2.08 3.48 12.06 39.68 2.59 1.66 0.30 0.00 3.19 33.64 2008 3,212 0.81 0.72 2.99 8.50 48.07 5.64 4.11 2.24 0.00 3.92 23.01 2009 4,683 0.41 0.11 0.51 3.18 23.87 5.77 8.46 17.13 0.00 24.49 16.08 2010 6,266 0.16 0.06 0.14 1.26 10.66 6.91 13.39 16.13 0.00 40.39 10.88 2011 7,816 0.00 0.06 0.17 0.75 6.81 5.73 9.67 12.53 0.00 55.41 8.87 2012 6,494 0.03 0.09 0.25 0.86 8.56 7.04 11.69 10.84 0.00 45.66 14.98 2013 4,997 0.06 0.68 1.82 4.86 11.33 11.65 18.89 7.18 0.00 18.69 24.83 2014 4,174 0.38 1.34 2.92 7.86 12.22 12.96 17.82 3.76 0.00 10.13 30.59 Average 0.38 0.99 1.43 4.95 41.79 3.35 4.35 3.01 0.05 12.90 26.79 Median 0.02 0.06 0.15 2.53 35.13 3.13 1.80 0.89 0.00 6.66 20.61 Std. dev. 0.62 1.74 2.02 5.55 32.19 3.58 5.67 4.99 0.26 16.18 25.60 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 2.68 6.29 7.07 20.00 100.00 12.96 18.89 17.13 1.38 55.41 100.00 From 'B' rating 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1993 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1994 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1995 5 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 20.00 60.00 1996 17 0.00 0.00 0.00 11.76 11.76 47.06 0.00 0.00 0.00 11.76 17.65 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 71 1406997 | 301945678

72) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 1997 55 1.82 0.00 0.00 1.82 7.27 67.27 0.00 0.00 0.00 5.45 16.36 1998 107 0.93 0.00 0.00 0.00 1.87 69.16 1.87 5.61 0.00 13.08 7.48 1999 160 0.63 0.00 0.63 0.00 4.38 76.25 1.25 2.50 0.00 9.38 5.00 2000 232 0.00 0.00 0.43 4.74 9.91 62.07 2.59 2.16 0.00 9.05 9.05 2001 274 0.00 1.09 1.09 6.93 14.96 48.54 4.38 1.82 0.00 9.49 11.68 2002 362 0.28 0.55 1.93 9.12 11.60 45.58 5.52 1.10 0.00 11.60 12.71 2003 433 0.46 1.15 3.23 6.00 6.70 33.26 5.31 1.39 0.00 13.39 29.10 2004 573 0.52 0.17 0.35 0.87 2.79 25.83 6.28 1.40 0.00 27.92 33.86 2005 762 0.52 0.00 0.00 1.05 3.41 26.25 6.04 1.97 0.00 23.36 37.40 2006 1,047 0.29 0.38 1.43 2.39 9.17 29.04 5.73 1.05 0.00 8.50 42.02 2007 1,645 0.43 0.49 1.52 2.61 10.64 46.44 4.56 0.18 0.00 8.15 24.98 2008 2,082 0.34 0.24 0.77 1.49 8.07 54.42 13.40 1.78 0.00 6.34 13.16 2009 2,711 0.11 0.00 0.07 0.70 3.17 25.93 11.03 16.34 0.00 35.67 6.97 2010 3,167 0.06 0.00 0.00 0.09 1.14 11.24 12.16 13.80 0.00 57.12 4.39 2011 5,348 0.00 0.00 0.02 0.00 0.36 4.51 4.26 13.67 0.00 73.67 3.52 2012 5,839 0.00 0.02 0.02 0.17 0.45 4.32 7.78 11.08 0.00 69.33 6.85 2013 5,109 0.16 0.10 0.22 1.57 2.90 10.22 22.22 10.96 0.00 37.84 13.84 2014 4,854 0.04 0.21 1.05 2.33 4.16 12.51 25.88 7.54 0.00 26.43 19.86 Average 0.29 0.19 0.55 2.33 4.99 35.65 6.10 4.10 0.00 20.76 25.04 Median 0.11 0.00 0.07 1.05 3.41 33.26 4.56 1.78 0.00 11.76 16.36 Std. dev. 0.42 0.34 0.83 3.24 4.59 22.68 6.92 5.29 0.00 21.11 23.25 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.52 Max 1.82 1.15 3.23 11.76 14.96 76.25 25.88 16.34 0.00 73.67 100.00 From 'CCC' rating 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1991 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1992 3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1993 3 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 33.33 1994 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1995 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 72 1406997 | 301945678

73) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 1996 9 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 0.00 44.44 33.33 1997 12 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 33.33 1998 31 0.00 0.00 0.00 0.00 0.00 0.00 12.90 0.00 0.00 70.97 16.13 1999 25 0.00 0.00 0.00 0.00 0.00 0.00 20.00 24.00 0.00 48.00 8.00 2000 16 0.00 0.00 0.00 0.00 0.00 0.00 25.00 31.25 0.00 31.25 12.50 2001 14 0.00 0.00 0.00 0.00 7.14 0.00 28.57 7.14 0.00 50.00 7.14 2002 17 0.00 0.00 5.88 0.00 0.00 5.88 35.29 0.00 0.00 41.18 11.76 2003 20 0.00 0.00 0.00 0.00 0.00 0.00 30.00 10.00 0.00 25.00 35.00 2004 43 0.00 0.00 0.00 0.00 0.00 0.00 23.26 2.33 0.00 44.19 30.23 2005 75 0.00 0.00 1.33 0.00 0.00 1.33 12.00 4.00 0.00 49.33 32.00 2006 106 0.00 0.00 0.94 0.94 0.00 6.60 21.70 13.21 0.00 30.19 26.42 2007 143 0.70 0.00 1.40 1.40 1.40 6.99 16.78 2.10 0.00 41.26 27.97 2008 192 0.52 0.00 0.00 0.52 1.56 6.25 31.25 2.08 0.00 31.25 26.56 2009 183 0.55 0.00 0.55 0.55 0.55 4.92 32.24 6.01 0.00 40.44 14.21 2010 221 0.00 0.00 0.45 0.45 0.00 2.71 18.55 11.76 0.00 61.54 4.52 2011 2,419 0.00 0.00 0.00 0.04 0.08 0.00 1.49 10.91 0.00 86.32 1.16 2012 8,610 0.00 0.00 0.00 0.02 0.09 0.23 1.70 5.02 0.00 90.21 2.73 2013 8,059 0.00 0.01 0.02 0.42 0.78 1.35 12.07 13.46 0.00 66.35 5.52 2014 6,856 0.04 0.03 0.10 0.48 1.36 2.29 19.44 14.12 0.00 54.19 7.95 Average 0.07 0.00 0.43 0.19 0.52 1.54 29.25 6.30 0.00 37.58 24.13 Median 0.00 0.00 0.00 0.00 0.00 0.00 23.26 2.33 0.00 41.18 16.13 Std. dev. 0.20 0.01 1.21 0.36 1.46 2.48 25.31 8.21 0.00 26.81 24.16 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.70 0.03 5.88 1.40 7.14 6.99 100.00 31.25 0.00 90.21 100.00 From 'CC'/'C' rating 1979 0 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 73 1406997 | 301945678

74) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 24 Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.) 1995 0 1996 0 1997 0 1998 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 28.57 1999 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 2000 13 0.00 0.00 0.00 0.00 0.00 0.00 7.69 30.77 0.00 61.54 0.00 2001 17 0.00 0.00 0.00 0.00 0.00 0.00 5.88 41.18 0.00 52.94 0.00 2002 15 0.00 0.00 0.00 13.33 0.00 0.00 0.00 0.00 0.00 40.00 46.67 2003 18 0.00 0.00 0.00 11.11 0.00 0.00 0.00 11.11 0.00 22.22 55.56 2004 24 0.00 0.00 0.00 8.33 0.00 0.00 0.00 12.50 0.00 25.00 54.17 2005 35 0.00 0.00 0.00 5.71 0.00 0.00 0.00 20.00 0.00 34.29 40.00 2006 159 0.00 0.00 0.00 0.00 0.63 1.26 3.77 24.53 0.00 58.49 11.32 2007 174 0.00 0.00 0.00 0.00 0.00 1.15 10.92 27.01 0.00 40.23 20.69 2008 232 0.00 0.00 0.00 0.00 0.00 0.86 12.07 20.26 0.00 49.57 17.24 2009 207 0.00 0.00 0.00 0.00 0.00 0.48 13.53 26.57 0.00 42.03 17.39 2010 208 0.00 0.00 0.00 0.00 0.00 0.00 9.13 28.37 0.00 49.04 13.46 2011 350 0.00 0.00 0.00 0.00 0.00 0.00 6.86 4.00 0.00 81.71 7.43 2012 7,764 0.00 0.00 0.00 0.00 0.01 0.05 0.37 1.37 0.18 92.84 5.18 2013 12,427 0.00 0.03 0.06 0.13 0.39 0.77 1.74 6.39 0.00 80.61 9.88 2014 11,794 0.00 0.03 0.06 0.20 0.71 1.47 3.26 7.47 0.00 74.86 11.94 Average 0.00 0.00 0.01 2.28 0.10 0.36 4.42 15.38 0.01 57.46 19.97 Median 0.00 0.00 0.00 0.00 0.00 0.00 3.26 12.50 0.00 52.94 13.46 Std. dev. 0.00 0.01 0.02 4.44 0.23 0.53 4.79 12.91 0.04 23.09 18.53 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 Max 0.00 0.03 0.06 13.33 0.71 1.47 13.53 41.18 0.18 100.00 55.56 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year Five-year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1980 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1981 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1982 3 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1983 10 80.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 1984 25 76.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24.00 1985 49 73.47 2.04 6.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.37 1986 69 76.81 0.00 0.00 4.35 0.00 0.00 0.00 0.00 0.00 0.00 18.84 1987 98 83.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.33 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 74 1406997 | 301945678

75) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 170 80.59 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.41 1989 310 77.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.90 1990 556 75.72 0.72 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23.56 1991 899 70.08 0.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 29.25 1992 1,336 69.54 0.82 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 29.57 1993 1,769 71.00 1.30 0.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27.47 1994 2,011 69.52 0.70 0.55 0.10 0.00 0.00 0.00 0.00 0.00 0.00 29.14 1995 2,238 70.78 0.71 0.54 0.04 0.04 0.00 0.04 0.00 0.00 0.00 27.84 1996 2,503 61.81 0.56 0.28 0.04 0.04 0.04 0.04 0.00 0.04 0.00 37.16 1997 2,829 60.83 0.57 0.00 0.07 0.00 0.00 0.00 0.04 0.00 0.00 38.49 1998 3,299 57.26 0.73 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 41.98 1999 3,784 53.94 0.66 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 45.38 2000 4,306 43.50 0.88 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 55.60 2001 4,540 43.79 0.75 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.46 2002 4,975 41.31 0.36 0.04 0.00 0.02 0.00 0.00 0.00 0.00 0.00 58.27 2003 5,312 36.37 0.32 0.15 0.06 0.08 0.02 0.04 0.02 0.00 0.09 62.86 2004 5,733 31.24 0.31 0.31 0.17 0.16 0.19 0.07 0.03 0.00 0.12 67.38 2005 6,155 29.63 0.58 0.32 0.18 0.21 0.24 0.18 0.05 0.00 0.11 68.48 2006 6,952 26.17 0.49 0.24 0.19 0.13 0.17 0.26 0.01 0.00 0.00 72.34 2007 7,731 27.80 0.40 0.13 0.12 0.16 0.12 0.16 0.00 0.00 0.00 71.13 2008 8,748 27.07 3.32 1.54 0.59 0.11 0.13 0.25 0.09 0.00 0.01 66.88 2009 10,072 31.23 2.30 2.32 2.11 1.22 0.80 0.81 0.66 0.00 0.22 58.32 2010 12,189 29.63 4.36 2.78 2.49 1.62 1.76 3.48 2.05 0.00 1.39 50.45 2011 14,624 21.08 6.76 3.62 2.78 2.32 3.08 5.61 4.20 0.00 6.96 43.59 2012 16,335 10.73 9.49 5.52 4.40 2.77 3.28 6.62 2.98 0.00 12.21 42.00 2013 12,411 8.77 10.55 6.53 4.50 3.34 3.67 5.54 1.77 0.00 6.82 48.51 2014 8,827 10.47 10.96 7.65 4.76 3.42 3.56 2.95 0.42 0.00 1.44 54.39 Average 54.10 1.75 1.11 0.77 0.45 0.49 0.74 0.35 0.00 0.84 39.39 Median 60.83 0.66 0.07 0.03 0.00 0.00 0.00 0.00 0.00 0.00 38.49 Std. dev. 25.71 3.01 2.14 1.53 0.99 1.11 1.78 0.94 0.01 2.56 19.87 Minimum 8.77 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 10.96 7.65 4.76 3.42 3.67 6.62 4.20 0.04 12.21 72.34 From 'AA' rating 1980 0 1981 0 1982 0 1983 6 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1984 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 21 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 26 0.00 96.15 3.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 43 0.00 81.40 2.33 6.98 4.65 0.00 0.00 0.00 0.00 0.00 4.65 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 75 1406997 | 301945678

76) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 72 0.00 73.61 0.00 18.06 0.00 0.00 2.78 0.00 0.00 4.17 1.39 1989 91 16.48 64.84 6.59 2.20 0.00 0.00 1.10 0.00 0.00 4.40 4.40 1990 134 10.45 55.22 6.72 0.75 0.00 0.00 0.75 0.00 0.00 2.99 23.13 1991 255 6.67 56.08 16.08 0.78 0.00 1.18 0.39 0.00 0.00 1.57 17.25 1992 444 3.83 55.41 25.23 0.45 0.23 0.90 0.00 0.00 0.00 0.00 13.96 1993 628 5.57 54.30 24.36 0.16 0.00 0.80 1.11 0.00 0.00 0.16 13.54 1994 833 8.64 51.86 16.57 1.44 0.00 0.12 0.48 0.00 0.00 0.12 20.77 1995 935 13.90 49.95 2.03 0.96 0.11 0.00 0.64 0.11 0.11 0.75 31.44 1996 1,236 11.41 43.85 2.51 0.65 0.00 0.32 0.65 0.73 0.00 0.89 39.00 1997 1,551 11.80 46.49 2.64 0.45 0.06 0.26 0.13 0.64 0.00 0.45 37.07 1998 1,764 9.41 45.98 1.42 0.45 0.06 0.23 0.06 0.45 0.00 0.45 41.50 1999 1,782 6.62 44.05 0.67 0.22 0.00 0.00 0.00 0.00 0.00 0.00 48.43 2000 1,784 12.11 30.61 0.22 0.28 0.00 0.00 0.00 0.00 0.00 0.00 56.78 2001 1,779 21.30 23.61 0.17 0.17 0.00 0.00 0.00 0.00 0.00 0.00 54.75 2002 1,946 21.17 21.69 0.57 0.21 0.05 0.10 0.10 0.00 0.00 0.21 55.91 2003 2,149 16.43 20.20 1.26 0.74 0.09 0.14 0.00 0.23 0.00 0.37 60.54 2004 2,166 10.20 17.36 1.66 0.83 0.60 0.78 0.46 0.14 0.00 0.51 67.45 2005 2,153 10.40 18.49 2.28 0.79 0.79 0.84 0.88 0.09 0.00 0.60 64.84 2006 2,507 11.73 18.11 2.11 0.52 0.60 0.80 0.92 0.00 0.00 0.72 64.50 2007 3,307 14.67 20.47 1.54 0.70 0.45 0.79 1.00 0.00 0.00 0.51 59.87 2008 4,535 13.67 28.91 1.70 1.26 0.60 0.71 0.44 0.66 0.00 0.07 52.00 2009 6,884 8.53 31.36 3.70 3.17 2.83 3.40 3.59 2.41 0.00 0.64 40.37 2010 10,264 3.64 27.44 5.40 4.24 3.28 5.17 9.20 6.11 0.00 5.90 29.62 2011 14,548 1.40 17.01 5.38 3.49 3.53 5.08 7.71 9.30 0.04 25.25 21.80 2012 16,892 1.36 9.29 5.24 3.78 4.42 5.54 9.80 6.48 0.08 33.19 20.81 2013 11,824 2.44 9.15 6.41 4.63 5.82 7.81 13.36 4.38 0.00 17.57 28.43 2014 7,120 4.72 11.83 8.34 5.67 6.11 6.97 11.36 1.32 0.00 4.21 39.47 Average 8.08 44.52 4.91 2.00 1.07 1.31 2.09 1.03 0.01 3.30 31.68 Median 8.59 43.95 2.30 0.75 0.06 0.24 0.47 0.00 0.00 0.48 30.53 Std. dev. 6.32 28.13 6.60 3.45 1.87 2.24 3.75 2.27 0.02 7.63 22.38 Min 0.00 9.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 21.30 100.00 25.23 18.06 6.11 7.81 13.36 9.30 0.11 33.19 67.45 From 'A' rating 1980 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1981 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1982 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1983 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1984 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1985 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1987 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 76 1406997 | 301945678

77) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 6 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1989 9 0.00 0.00 88.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 1990 19 5.26 0.00 78.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.79 1991 19 0.00 0.00 78.95 5.26 0.00 0.00 0.00 0.00 0.00 0.00 15.79 1992 29 0.00 3.45 72.41 3.45 0.00 0.00 0.00 0.00 0.00 0.00 20.69 1993 45 0.00 2.22 73.33 2.22 0.00 0.00 0.00 0.00 0.00 0.00 22.22 1994 111 3.60 5.41 61.26 1.80 0.00 0.00 0.00 0.00 3.60 0.90 23.42 1995 354 4.80 7.91 48.31 2.82 0.85 0.00 0.28 0.00 0.00 2.26 32.77 1996 533 3.19 11.63 43.15 0.94 0.19 0.19 0.19 0.00 0.00 2.25 38.27 1997 793 2.02 7.57 47.67 0.76 0.50 0.13 0.13 0.13 0.00 2.40 38.71 1998 935 1.82 5.88 42.46 0.64 0.75 0.11 0.11 0.11 0.00 1.71 46.42 1999 1,023 1.08 3.03 43.21 0.78 0.20 0.10 0.00 0.10 0.00 0.10 51.42 2000 1,071 4.86 5.04 33.15 0.28 0.09 0.84 0.00 0.00 0.00 0.09 55.65 2001 1,352 8.58 6.80 24.48 0.44 0.30 2.44 0.07 0.00 0.00 0.30 56.58 2002 1,563 8.96 7.23 23.29 1.79 0.32 0.13 0.26 0.13 0.00 1.34 56.56 2003 1,775 8.51 6.03 21.35 2.65 0.51 0.34 0.39 0.73 0.00 1.01 58.48 2004 2,083 5.04 5.52 17.95 4.61 0.62 0.48 0.86 1.34 0.00 1.15 62.41 2005 2,307 7.33 5.11 18.16 4.98 1.13 0.35 1.30 0.91 0.00 1.65 59.08 2006 2,896 9.70 6.22 17.85 4.49 0.55 0.35 0.83 0.24 0.00 1.59 58.18 2007 4,059 10.30 8.72 17.10 4.51 1.31 0.57 0.76 0.00 0.00 1.08 55.65 2008 5,228 5.47 11.25 25.98 2.31 1.86 1.59 1.70 0.50 0.00 0.40 48.95 2009 7,261 2.89 7.41 23.30 4.63 3.75 5.76 7.85 5.51 0.00 2.15 36.76 2010 10,113 0.91 3.92 17.45 5.77 4.99 6.50 11.50 10.20 0.00 12.19 26.56 2011 13,747 0.47 1.85 11.60 4.35 3.88 5.14 7.57 13.49 0.00 31.88 19.76 2012 14,550 0.84 1.36 9.37 3.96 3.18 4.50 10.54 8.73 0.00 39.64 17.88 2013 10,822 1.05 2.10 11.10 4.72 3.90 5.06 13.61 6.59 0.00 22.89 28.98 2014 7,052 2.27 4.25 14.73 5.50 4.95 5.47 12.73 2.79 0.00 5.52 41.78 Average 2.83 3.71 40.92 2.11 0.97 1.14 2.02 1.47 0.10 3.79 40.95 Median 1.08 3.45 25.98 1.79 0.20 0.11 0.07 0.00 0.00 0.40 38.27 Std. dev. 3.33 3.51 32.89 2.08 1.54 2.04 4.11 3.31 0.61 9.11 28.64 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 10.30 11.63 100.00 5.77 4.99 6.50 13.61 13.49 3.60 39.64 100.00 From 'BBB' rating 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 77 1406997 | 301945678

78) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 0 1989 1 1990 0 1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 3 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 16 43.75 0.00 37.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 6.25 1994 19 0.00 0.00 0.00 68.42 0.00 0.00 0.00 0.00 0.00 0.00 31.58 1995 26 0.00 7.69 11.54 53.85 3.85 0.00 3.85 0.00 0.00 3.85 15.38 1996 58 1.72 3.45 8.62 39.66 1.72 1.72 1.72 0.00 0.00 15.52 25.86 1997 96 3.13 5.21 10.42 54.17 0.00 1.04 1.04 0.00 0.00 6.25 18.75 1998 185 2.16 3.78 9.19 55.68 1.08 0.54 0.54 0.00 0.00 2.16 24.86 1999 327 1.53 2.45 5.81 48.93 7.34 1.53 1.22 1.22 0.00 1.83 28.13 2000 429 3.26 7.46 9.09 37.76 6.99 2.33 0.23 0.47 0.00 0.47 31.93 2001 516 8.53 12.40 8.33 32.36 1.36 0.58 0.39 0.00 0.00 0.58 35.47 2002 753 10.49 7.30 4.12 30.28 1.33 1.06 6.24 0.40 0.00 3.85 34.93 2003 1,062 6.40 6.03 5.56 27.31 2.07 2.73 1.69 0.66 0.00 9.13 38.42 2004 1,391 3.52 4.53 5.68 20.85 1.58 2.08 3.24 0.86 0.00 9.49 48.17 2005 1,653 3.33 4.42 6.65 21.05 1.33 1.51 2.66 0.97 0.00 5.63 52.45 2006 2,520 2.82 4.76 6.51 18.53 1.90 1.59 1.94 1.11 0.00 5.04 55.79 2007 3,808 3.13 5.41 6.72 16.15 2.02 1.76 2.57 0.47 0.00 4.04 57.72 2008 5,811 4.85 4.20 7.14 23.13 2.37 2.89 3.55 1.50 0.03 4.23 46.10 2009 7,941 2.83 2.25 4.97 19.44 3.68 4.05 7.77 13.16 0.00 7.95 33.89 2010 10,879 0.92 0.52 2.43 11.85 4.64 5.38 10.39 15.80 0.00 22.37 25.70 2011 14,438 0.04 0.48 1.02 8.01 4.49 3.95 6.49 15.09 0.00 41.68 18.74 2012 14,472 0.14 0.39 0.99 7.81 3.76 4.21 7.23 9.27 0.00 48.92 17.29 2013 10,506 0.34 0.54 1.77 8.37 4.46 4.97 10.48 7.93 0.00 33.83 27.31 2014 6,581 1.12 1.90 4.04 10.48 6.17 7.28 13.11 3.95 0.00 13.55 38.38 6.83 3.41 11.66 25.06 2.49 2.05 3.45 2.91 0.00 9.61 32.52 Median 2.83 3.45 6.51 20.85 1.90 1.59 1.94 0.47 0.00 4.23 31.58 Std. dev. 11.73 3.21 18.03 19.38 2.24 1.97 3.82 5.04 0.01 13.38 20.97 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 43.75 12.40 66.67 68.42 7.34 7.28 13.11 15.80 0.03 48.92 100.00 Average From 'BB' rating 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 78 1406997 | 301945678

79) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1989 1 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1991 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1992 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 1993 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1994 3 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 66.67 1995 2 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 50.00 1996 5 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 40.00 40.00 1997 13 0.00 0.00 0.00 0.00 53.85 0.00 0.00 0.00 0.00 15.38 30.77 1998 62 0.00 0.00 0.00 1.61 58.06 1.61 3.23 0.00 0.00 17.74 17.74 1999 107 0.00 0.00 0.00 3.74 70.09 2.80 0.93 0.00 0.00 8.41 14.02 2000 174 0.57 0.57 5.17 13.22 48.28 2.30 4.60 2.30 0.00 5.75 17.24 2001 266 1.50 6.77 7.89 16.17 37.97 3.76 2.63 0.75 0.00 3.38 19.17 2002 354 2.26 8.76 8.19 10.73 26.84 4.52 2.82 0.85 1.98 7.91 25.14 2003 509 3.34 5.11 3.34 7.86 24.17 5.30 1.18 1.18 0.00 10.81 37.72 2004 634 0.63 1.42 2.52 7.10 21.77 3.94 1.26 2.37 0.00 11.99 47.00 2005 774 0.65 1.29 3.10 8.66 23.77 4.26 3.10 2.33 0.00 9.95 42.89 2006 1,122 0.89 1.43 2.41 8.47 23.26 3.39 2.67 1.87 0.00 8.38 47.24 2007 1,730 0.87 2.83 3.35 11.16 21.10 3.01 1.91 0.81 0.00 5.78 49.19 2008 2,354 1.06 2.08 3.78 11.09 34.37 3.23 2.42 0.89 0.00 3.87 37.21 2009 3,212 0.62 0.44 2.46 6.60 24.91 5.64 7.66 16.78 0.00 10.02 24.88 2010 4,683 0.30 0.11 0.38 2.14 11.68 6.68 11.96 15.12 0.00 33.82 17.81 2011 6,266 0.00 0.14 0.18 1.07 6.80 5.06 8.87 13.49 0.00 50.77 13.63 2012 7,816 0.01 0.05 0.15 0.60 6.26 5.05 6.53 6.99 0.00 62.90 11.46 2013 6,494 0.03 0.14 0.18 1.29 6.50 6.01 9.42 7.41 0.00 50.06 18.96 2014 4,997 0.14 0.78 1.82 4.00 8.28 10.81 15.63 5.06 0.00 22.97 30.50 Average 0.48 1.18 1.66 5.02 29.31 2.87 3.22 2.90 0.07 15.92 37.38 Median 0.01 0.11 0.18 2.14 23.77 3.01 1.91 0.81 0.00 8.41 30.77 Std. dev. 0.80 2.24 2.40 5.76 28.31 2.79 4.18 4.88 0.38 18.89 27.82 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 3.34 8.76 8.19 20.00 100.00 10.81 15.63 16.78 1.98 62.90 100.00 From 'B' rating 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 79 1406997 | 301945678

80) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 0 1989 0 1990 0 1991 0 1992 0 1993 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1994 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1995 2 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 50.00 1996 5 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 20.00 60.00 1997 17 0.00 0.00 0.00 5.88 11.76 35.29 0.00 0.00 0.00 11.76 35.29 1998 55 1.82 0.00 0.00 1.82 9.09 60.00 0.00 0.00 0.00 9.09 18.18 1999 107 0.93 0.00 0.00 0.00 4.67 63.55 1.87 5.61 0.00 15.89 7.48 2000 160 0.63 0.00 1.25 5.63 10.63 57.50 1.25 3.13 0.00 12.50 7.50 2001 232 0.00 1.29 1.29 7.76 15.52 41.81 4.31 2.16 0.00 11.64 14.22 2002 274 0.36 0.73 2.92 12.04 14.23 34.31 5.84 1.46 0.00 12.77 15.33 2003 362 0.83 1.38 3.59 7.18 6.08 25.97 4.42 1.10 0.00 14.64 34.81 2004 433 0.92 0.23 0.23 0.92 2.77 22.63 4.62 1.62 0.00 15.24 50.81 2005 573 0.52 0.17 0.17 0.87 2.97 19.90 5.06 1.22 0.00 28.97 40.14 2006 762 0.66 0.00 0.00 1.18 5.38 19.82 5.64 1.57 0.00 25.07 40.68 2007 1,047 0.29 0.38 1.43 2.48 9.93 25.21 4.58 0.57 0.00 10.70 44.41 2008 1,645 0.49 0.73 1.52 2.43 10.40 38.78 8.02 0.67 0.00 9.97 26.99 2009 2,082 0.24 0.19 0.62 1.30 5.72 27.62 9.22 18.92 0.00 22.14 14.02 2010 2,711 0.11 0.00 0.11 0.44 2.07 11.36 11.62 15.68 0.00 50.83 7.78 2011 3,167 0.00 0.06 0.03 0.00 0.85 6.50 5.75 11.15 0.00 69.72 5.94 2012 5,348 0.00 0.00 0.02 0.07 0.41 3.40 3.31 5.96 0.00 82.14 4.67 2013 5,839 0.02 0.03 0.05 0.17 0.36 3.15 6.10 7.07 0.00 74.14 8.91 2014 5,109 0.04 0.14 0.51 1.17 2.54 8.12 18.99 7.57 0.00 43.90 17.01 Average 0.36 0.24 0.63 2.33 5.24 28.41 4.57 3.88 0.00 24.60 29.74 Median 0.18 0.02 0.08 1.05 3.82 25.59 4.50 1.52 0.00 14.94 22.59 Std. dev. 0.46 0.42 1.00 3.27 5.01 19.40 4.59 5.33 0.00 24.16 23.62 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.67 Max 1.82 1.38 3.59 12.04 15.52 63.55 18.99 18.92 0.00 82.14 100.00 From 'CCC' rating 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 80 1406997 | 301945678

81) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 0 1989 0 1990 0 1991 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1992 2 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 1993 3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1994 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1995 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1996 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 1997 9 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 0.00 44.44 33.33 1998 12 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 33.33 1999 31 0.00 0.00 0.00 0.00 0.00 0.00 9.68 3.23 0.00 70.97 16.13 2000 25 0.00 0.00 0.00 0.00 0.00 0.00 16.00 24.00 0.00 48.00 12.00 2001 16 0.00 0.00 0.00 0.00 0.00 0.00 12.50 31.25 0.00 43.75 12.50 2002 14 0.00 0.00 7.14 0.00 0.00 0.00 28.57 0.00 0.00 57.14 7.14 2003 17 0.00 0.00 0.00 0.00 0.00 0.00 11.76 0.00 0.00 47.06 41.18 2004 20 0.00 0.00 0.00 0.00 0.00 0.00 25.00 5.00 0.00 25.00 45.00 2005 43 0.00 0.00 0.00 0.00 0.00 0.00 13.95 0.00 0.00 48.84 37.21 2006 75 0.00 0.00 1.33 0.00 0.00 2.67 9.33 1.33 0.00 52.00 33.33 2007 106 0.00 0.00 0.94 0.00 0.00 7.55 19.81 10.38 0.00 33.96 27.36 2008 143 0.70 0.00 0.70 1.40 0.70 6.99 13.99 0.00 0.00 44.76 30.77 2009 192 0.52 0.00 0.00 0.52 1.56 5.73 25.52 3.13 0.00 36.46 26.56 2010 183 0.00 0.00 0.55 0.55 0.55 2.73 16.94 7.10 0.00 54.64 16.94 2011 221 0.00 0.00 0.00 0.45 0.45 0.90 17.19 7.24 0.00 68.33 5.43 2012 2,419 0.00 0.00 0.00 0.04 0.04 0.00 0.91 1.45 0.00 96.20 1.36 2013 8,610 0.00 0.00 0.00 0.00 0.07 0.12 1.34 3.33 0.00 91.94 3.21 2014 8,059 0.00 0.01 0.02 0.31 0.66 1.12 11.39 9.84 0.00 70.12 6.53 Average 0.05 0.00 0.45 0.14 0.17 1.16 24.56 4.47 0.00 40.29 28.72 Median 0.00 0.00 0.00 0.00 0.00 0.00 17.07 0.67 0.00 44.60 26.96 Std. dev. 0.17 0.00 1.47 0.32 0.37 2.31 25.35 7.91 0.00 29.00 25.84 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 0.70 0.01 7.14 1.40 1.56 7.55 100.00 31.25 0.00 96.20 100.00 From 'CC'/'C' rating 1980 0 1981 0 1982 0 1983 0 1984 0 1985 0 1986 0 1987 0 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 81 1406997 | 301945678

82) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 25 Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.) 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 0 1996 0 1997 0 1998 0 1999 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 28.57 2000 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 2001 13 0.00 0.00 0.00 0.00 0.00 0.00 7.69 23.08 0.00 69.23 0.00 2002 17 0.00 0.00 0.00 11.76 0.00 0.00 0.00 0.00 0.00 52.94 35.29 2003 15 0.00 0.00 0.00 13.33 0.00 0.00 0.00 0.00 0.00 40.00 46.67 2004 18 0.00 0.00 0.00 11.11 0.00 0.00 0.00 0.00 0.00 22.22 66.67 2005 24 0.00 0.00 0.00 8.33 0.00 0.00 0.00 4.17 0.00 33.33 54.17 2006 35 0.00 0.00 0.00 5.71 0.00 0.00 0.00 17.14 0.00 37.14 40.00 2007 159 0.00 0.00 0.00 0.00 0.00 1.26 3.14 16.35 0.00 66.04 13.21 2008 174 0.00 0.00 0.00 0.00 0.00 1.15 9.77 24.71 0.00 40.80 23.56 2009 232 0.00 0.00 0.00 0.00 0.00 0.86 9.91 17.67 0.00 52.59 18.97 2010 207 0.00 0.00 0.00 0.00 0.00 0.48 3.86 25.12 0.00 48.79 21.74 2011 208 0.00 0.00 0.00 0.00 0.00 0.00 7.69 4.33 0.00 73.56 14.42 2012 350 0.00 0.00 0.00 0.00 0.00 0.00 1.71 4.86 0.00 84.00 9.43 2013 7,764 0.00 0.00 0.00 0.00 0.01 0.00 0.18 0.71 0.00 93.60 5.50 2014 12,427 0.01 0.02 0.04 0.16 0.29 0.68 1.34 4.38 0.00 82.08 11.01 Average 0.00 0.00 0.00 3.15 0.02 0.28 2.83 8.91 0.00 60.48 24.33 Median 0.00 0.00 0.00 0.00 0.00 0.00 0.76 4.35 0.00 59.49 20.35 Std. dev. 0.00 0.01 0.01 5.05 0.07 0.46 3.77 9.86 0.00 22.93 19.60 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 Max 0.01 0.02 0.04 13.33 0.29 1.26 9.91 25.12 0.00 100.00 66.67 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) Rating at the end of one year 10-year period ending at year-end Beginning no. of ratings AAA AA A BBB BB B CCC CC C D NR 1985 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1986 1 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'AAA' rating WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 82 1406997 | 301945678

83) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 1987 3 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 1988 10 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 80.00 1989 25 16.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.00 1990 49 46.94 0.00 4.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 48.98 1991 69 57.97 0.00 2.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 39.13 1992 98 52.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 47.96 1993 170 51.76 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 48.24 1994 310 49.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.65 1995 556 47.66 0.18 0.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 51.98 1996 899 44.72 0.22 0.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 54.95 1997 1,336 45.21 0.22 0.15 0.07 0.00 0.00 0.00 0.00 0.00 0.00 54.34 1998 1,769 43.53 0.06 0.17 0.06 0.00 0.00 0.00 0.00 0.00 0.00 56.19 1999 2,011 40.97 0.25 0.05 0.05 0.00 0.00 0.00 0.00 0.00 0.00 58.68 2000 2,238 24.62 0.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.09 75.11 2001 2,503 20.70 0.16 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.12 78.99 2002 2,829 19.34 0.18 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.04 80.38 2003 3,299 18.98 0.03 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 80.96 2004 3,784 16.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.43 2005 4,306 13.68 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 86.32 2006 4,540 12.11 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.86 2007 4,975 10.69 0.14 0.06 0.00 0.00 0.02 0.00 0.00 0.00 0.00 89.09 2008 5,312 5.01 1.84 0.87 0.38 0.08 0.04 0.13 0.04 0.00 0.13 91.49 2009 5,733 4.57 0.47 1.10 1.24 0.52 0.21 0.16 0.23 0.00 0.23 91.28 2010 6,155 4.24 0.89 1.17 0.67 0.55 0.29 0.45 0.23 0.00 0.62 90.89 2011 6,952 3.44 1.21 1.35 0.50 0.60 0.91 0.47 0.40 0.00 0.63 90.48 2012 7,731 3.52 2.06 1.46 0.88 0.60 0.66 0.44 0.34 0.00 0.84 89.21 2013 8,748 2.09 3.86 3.26 1.97 1.23 1.26 0.67 0.29 0.00 0.98 84.39 2014 10,072 2.51 4.51 3.96 2.99 2.29 2.35 1.68 0.31 0.00 1.71 77.69 Average 30.39 0.55 0.70 0.30 0.20 0.19 0.13 0.06 0.00 0.18 67.31 Median 20.35 0.10 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 78.34 Std. dev. 26.22 1.12 1.24 0.68 0.49 0.51 0.34 0.12 0.00 0.39 24.64 Minimum 2.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Maximum 100.00 4.51 4.08 2.99 2.29 2.35 1.68 0.40 0.00 1.71 91.49 83.33 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 From 'AA' rating 1985 0 1986 0 1987 0 1988 6 0.00 1989 21 71.43 9.52 19.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 21 66.67 14.29 19.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 26 53.85 23.08 19.23 0.00 0.00 0.00 3.85 0.00 0.00 0.00 0.00 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 83 1406997 | 301945678

84) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 1992 43 34.88 32.56 18.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.95 1993 72 20.83 51.39 9.72 0.00 0.00 0.00 0.00 0.00 0.00 4.17 13.89 1994 91 20.88 46.15 5.49 0.00 0.00 0.00 0.00 0.00 0.00 4.40 23.08 1995 134 17.91 33.58 4.48 0.75 0.00 0.00 0.00 0.00 0.00 2.99 40.30 1996 255 14.12 33.33 5.88 0.39 0.00 0.00 0.39 0.00 0.00 1.96 43.92 1997 444 5.18 32.43 8.33 0.68 0.00 0.00 0.23 0.00 0.00 0.23 52.93 1998 628 9.24 28.18 4.94 0.48 0.00 0.00 0.16 0.16 0.00 0.80 56.05 1999 833 8.40 19.57 3.48 0.72 0.24 0.12 0.12 0.24 0.00 0.60 66.51 2000 935 7.49 10.05 0.75 0.53 0.00 0.00 0.00 0.21 0.00 1.50 79.47 2001 1,236 6.80 9.39 0.49 0.32 0.16 0.08 0.08 0.57 0.00 1.54 80.58 2002 1,551 5.87 6.90 0.45 0.19 0.00 0.06 0.00 0.13 0.00 0.71 85.69 2003 1,764 6.75 6.24 0.23 0.11 0.00 0.06 0.00 0.11 0.00 0.51 86.00 2004 1,782 3.54 5.84 0.17 0.06 0.28 0.06 0.00 0.11 0.00 0.00 89.96 2005 1,784 2.52 4.99 0.39 0.06 0.28 0.00 0.00 0.00 0.00 0.00 91.76 2006 1,779 2.53 4.50 0.45 0.11 0.28 0.28 0.00 0.00 0.00 0.06 91.79 2007 1,946 2.93 5.14 0.72 0.10 0.10 0.36 0.26 0.05 0.00 0.31 90.03 2008 2,149 2.51 4.47 0.84 0.33 0.19 0.37 0.65 0.00 0.00 0.56 90.09 2009 2,166 2.82 3.23 1.48 0.46 0.42 0.60 1.11 0.00 0.00 1.20 88.69 2010 2,153 2.97 2.79 1.76 0.60 0.70 0.56 1.25 0.14 0.00 2.09 87.13 2011 2,507 2.43 2.27 1.79 0.56 0.72 1.83 1.44 0.76 0.00 2.43 85.76 2012 3,307 2.15 3.05 1.57 1.54 1.84 2.27 2.45 1.57 0.00 2.60 80.95 2013 4,535 0.62 2.54 2.25 2.58 4.15 5.76 6.02 1.39 0.00 2.47 72.24 2014 6,884 0.55 3.18 2.47 2.91 4.92 6.62 11.65 2.32 0.00 5.91 59.46 Average 13.92 17.85 4.97 1.12 0.53 0.70 1.10 0.29 0.00 1.37 58.16 Median 5.87 9.39 1.79 0.33 0.00 0.06 0.08 0.00 0.00 0.71 72.24 Std. dev. 19.86 19.53 6.46 3.19 1.22 1.68 2.53 0.58 0.00 1.58 34.16 Min 0.00 2.27 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 71.43 83.33 19.23 16.67 4.92 6.62 11.65 2.32 0.00 5.91 91.79 From 'A' rating 1985 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1986 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1987 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1988 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1989 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1990 1 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1991 2 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1992 3 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1993 6 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 1994 9 0.00 11.11 44.44 0.00 0.00 0.00 0.00 0.00 0.00 0.00 44.44 1995 19 5.26 21.05 26.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 47.37 1996 19 0.00 5.26 42.11 5.26 0.00 0.00 0.00 0.00 0.00 0.00 47.37 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 84 1406997 | 301945678

85) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 1997 29 0.00 3.45 37.93 3.45 0.00 0.00 0.00 0.00 0.00 0.00 55.17 1998 45 0.00 2.22 40.00 2.22 0.00 0.00 0.00 0.00 0.00 0.00 55.56 1999 111 0.00 0.90 23.42 0.90 0.00 0.00 0.00 0.00 0.00 5.41 69.37 2000 354 1.13 3.11 12.43 0.56 0.56 0.28 0.56 0.00 0.00 2.54 78.81 2001 533 0.94 3.38 8.63 0.38 0.19 0.00 0.19 0.00 0.00 2.63 83.68 2002 793 2.14 2.14 7.94 0.50 0.13 0.00 0.13 0.00 0.00 2.77 84.24 2003 935 4.06 2.57 6.52 0.53 0.11 0.11 0.00 0.00 0.00 2.46 83.64 2004 1,023 1.96 2.83 5.08 0.59 0.10 0.00 0.10 0.00 0.00 0.39 88.95 2005 1,071 1.03 2.43 4.76 0.09 0.09 0.00 0.09 0.19 0.00 1.12 90.20 2006 1,352 0.96 1.92 3.77 0.15 0.00 0.00 0.15 0.15 0.00 2.66 90.24 2007 1,563 0.83 2.37 3.97 0.38 0.00 0.00 0.00 0.26 0.00 1.60 90.60 2008 1,775 1.30 1.92 4.28 0.62 0.28 0.23 0.28 0.39 0.00 1.86 88.85 2009 2,083 4.08 1.58 2.98 0.53 0.91 0.38 0.53 0.67 0.00 3.26 85.07 2010 2,307 1.91 1.52 2.69 0.91 0.87 0.82 0.65 0.56 0.00 3.99 86.09 2011 2,896 1.21 2.00 2.59 2.11 1.00 1.00 0.79 1.04 0.00 4.14 84.12 2012 4,059 0.84 2.49 3.15 2.51 0.81 1.55 2.64 2.09 0.00 4.29 79.63 2013 5,228 0.36 1.21 3.31 1.24 1.86 3.58 10.00 4.09 0.00 4.53 69.82 2014 7,261 0.28 0.99 3.13 1.47 2.08 3.24 13.87 6.34 0.00 12.26 56.36 Average 0.94 2.55 25.20 0.81 0.30 0.37 1.00 0.53 0.00 1.86 66.43 Median 0.32 1.92 5.80 0.44 0.00 0.00 0.00 0.00 0.00 0.76 81.63 Std. dev. 1.38 4.13 34.19 1.22 0.55 0.90 3.06 1.38 0.00 2.62 32.08 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 5.26 21.05 100.00 5.26 2.08 3.58 13.87 6.34 0.00 12.26 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 From 'BBB' rating 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 1 1995 0 1996 3 33.33 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1997 3 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 1998 16 18.75 0.00 0.00 6.25 0.00 0.00 0.00 0.00 0.00 0.00 75.00 1999 19 5.26 5.26 5.26 10.53 0.00 0.00 0.00 0.00 0.00 0.00 73.68 2000 26 3.85 3.85 0.00 7.69 0.00 0.00 0.00 0.00 0.00 11.54 73.08 2001 58 6.90 5.17 0.00 3.45 0.00 0.00 0.00 0.00 0.00 18.97 65.52 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 85 1406997 | 301945678

86) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 2002 96 10.42 0.00 0.00 3.13 0.00 0.00 0.00 0.00 0.00 8.33 78.13 2003 185 13.51 3.24 1.08 2.16 0.00 0.00 0.00 0.00 0.00 2.70 77.30 2004 327 3.98 1.53 0.92 3.36 0.00 0.00 0.31 0.00 0.00 7.03 82.87 2005 429 2.10 1.40 1.63 3.50 0.47 1.17 0.23 0.00 0.00 5.59 83.92 2006 516 1.74 2.52 1.16 2.52 0.78 1.74 1.74 0.00 0.00 1.94 85.85 2007 753 1.73 2.39 1.46 3.19 0.66 1.33 1.46 0.27 0.00 11.29 76.23 2008 1,062 2.45 2.64 2.26 4.33 0.75 1.41 0.85 0.28 0.00 13.09 71.94 2009 1,391 2.23 3.31 2.37 3.95 0.50 1.01 0.93 0.86 0.00 13.73 71.10 2010 1,653 2.12 2.36 2.66 3.93 1.09 0.97 1.33 1.09 0.00 9.44 75.02 2011 2,520 0.75 1.39 1.83 3.06 1.79 1.47 1.59 0.95 0.00 10.08 77.10 2012 3,808 0.42 0.74 0.97 2.86 1.23 1.31 2.36 2.57 0.00 11.63 75.89 2013 5,811 0.26 1.00 1.05 3.05 1.12 1.57 5.44 6.78 0.00 13.47 66.27 2014 7,941 0.14 0.63 1.07 2.32 1.35 1.54 6.28 7.82 0.00 25.21 53.65 Average 7.16 5.20 1.19 3.46 0.49 0.68 1.13 1.03 0.00 8.20 71.46 Median 2.34 1.94 1.06 3.16 0.23 0.48 0.27 0.00 0.00 8.89 75.01 Std. dev. 10.19 14.56 1.30 2.49 0.58 0.71 1.78 2.24 0.00 7.03 19.20 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Max 33.33 66.67 5.26 10.53 1.79 1.74 6.28 7.82 0.00 25.21 100.00 From 'BB' rating 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1994 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1995 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1996 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1997 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 1998 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1999 3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 66.67 2000 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 2001 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 60.00 2002 13 0.00 7.69 7.69 0.00 0.00 0.00 0.00 0.00 0.00 15.38 69.23 2003 62 6.45 8.06 0.00 9.68 1.61 0.00 0.00 0.00 0.00 19.35 54.84 2004 107 0.00 0.00 2.80 3.74 4.67 0.93 1.87 0.00 0.00 10.28 75.70 2005 174 0.00 0.57 2.30 3.45 2.30 0.57 1.15 0.00 0.00 11.49 78.16 2006 266 0.75 1.50 1.13 1.50 1.88 0.38 1.13 0.00 0.00 16.17 75.56 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 86 1406997 | 301945678

87) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 2007 354 0.56 1.69 2.82 2.54 5.08 0.85 0.56 0.00 0.00 14.97 70.90 2008 509 0.39 1.18 4.13 5.30 5.30 1.77 0.59 0.39 0.00 13.75 67.19 2009 634 0.32 1.74 3.31 7.10 4.73 1.58 0.95 1.42 0.00 15.30 63.56 2010 774 0.26 1.42 2.20 5.04 5.43 3.10 2.97 3.75 0.00 16.15 59.69 2011 1,122 0.27 1.07 1.60 2.94 4.10 3.74 3.21 2.50 0.00 19.16 61.41 2012 1,730 0.23 0.52 0.92 1.68 3.41 2.31 3.53 3.58 0.00 18.15 65.66 2013 2,354 0.21 0.34 0.47 1.06 2.12 2.12 5.86 6.71 0.00 25.23 55.86 2014 3,212 0.09 0.31 0.47 0.87 2.12 2.24 5.20 4.61 0.00 41.10 43.00 Average 0.43 1.19 1.36 2.04 1.94 0.89 1.23 1.04 0.00 18.63 71.25 Median 0.00 0.33 0.47 0.97 1.75 0.19 0.28 0.00 0.00 15.77 66.93 Std. dev. 1.36 2.25 1.92 2.71 2.11 1.17 1.79 1.92 0.00 15.61 18.15 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 43.00 Max 6.45 8.06 7.69 9.68 5.43 3.74 5.86 6.71 0.00 50.00 100.00 From 'B' rating 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 0 1996 0 1997 0 1998 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1999 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 2000 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 2001 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 80.00 2002 17 0.00 11.76 0.00 0.00 0.00 5.88 0.00 0.00 0.00 23.53 58.82 2003 55 7.27 3.64 1.82 5.45 7.27 10.91 0.00 0.00 0.00 12.73 50.91 2004 107 0.00 0.00 0.00 0.00 2.80 3.74 0.00 0.93 0.00 21.50 71.03 2005 160 0.00 0.00 0.63 0.63 0.00 2.50 1.25 0.63 0.00 20.00 74.38 2006 232 1.29 0.00 0.00 1.72 0.86 3.02 0.43 0.43 0.00 17.67 74.57 2007 274 1.09 0.00 0.00 1.09 1.46 4.38 1.46 0.36 0.00 18.61 71.53 2008 362 0.83 0.00 0.00 0.28 2.76 4.42 3.04 0.55 0.00 19.34 68.78 2009 433 0.69 0.00 0.00 0.69 3.46 6.70 3.46 0.69 0.00 20.79 63.51 2010 573 0.35 0.00 0.35 0.70 2.44 5.06 3.66 1.22 0.00 38.39 47.82 2011 762 0.00 0.00 0.13 0.39 2.10 4.59 3.15 1.31 0.00 40.81 47.51 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 87 1406997 | 301945678

88) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) 2012 1,047 0.00 0.00 0.00 0.57 2.01 4.20 2.67 2.58 0.00 32.57 55.40 2013 1,645 0.18 0.12 0.12 0.73 1.22 3.04 3.22 7.05 0.00 44.62 39.70 2014 2,082 0.05 0.14 0.48 0.34 0.67 2.31 3.75 4.47 0.00 62.58 25.22 Average 0.69 0.92 0.21 0.74 1.59 3.57 1.54 1.19 0.00 23.13 66.42 Median 0.00 0.00 0.00 0.39 1.22 3.74 1.25 0.55 0.00 20.00 68.78 Std. dev. 1.75 2.93 0.46 1.30 1.88 2.83 1.58 1.90 0.00 16.69 21.35 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.22 Max 7.27 11.76 1.82 5.45 7.27 10.91 3.75 7.05 0.00 62.58 100.00 From 'CCC' rating 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 0 1996 2 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 50.00 1997 2 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 50.00 1998 3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 1999 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 2000 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 2001 3 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67 2002 9 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00 0.00 44.44 44.44 2003 12 0.00 0.00 0.00 0.00 0.00 0.00 8.33 0.00 0.00 41.67 50.00 2004 31 0.00 0.00 0.00 0.00 0.00 0.00 3.23 0.00 0.00 74.19 22.58 2005 25 0.00 0.00 0.00 0.00 0.00 0.00 4.00 0.00 0.00 56.00 40.00 2006 16 0.00 0.00 0.00 6.25 0.00 0.00 6.25 0.00 0.00 50.00 37.50 2007 14 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 0.00 64.29 28.57 2008 17 0.00 0.00 0.00 0.00 0.00 5.88 0.00 0.00 0.00 47.06 47.06 2009 20 0.00 0.00 0.00 0.00 0.00 5.00 0.00 5.00 0.00 35.00 55.00 2010 43 0.00 0.00 0.00 0.00 0.00 0.00 2.33 0.00 0.00 55.81 41.86 2011 75 0.00 0.00 0.00 1.33 0.00 0.00 1.33 0.00 0.00 60.00 37.33 2012 106 0.00 0.00 0.00 0.94 0.00 1.89 0.94 0.00 0.00 59.43 36.79 2013 143 0.00 0.70 0.00 0.00 1.40 0.70 2.80 0.00 0.00 58.74 35.66 2014 192 0.00 0.00 0.00 1.04 0.00 0.52 3.65 5.73 0.00 56.77 32.29 Average 0.00 0.04 0.00 0.50 0.07 0.74 13.22 0.56 0.00 37.02 47.85 Median 0.00 0.00 0.00 0.00 0.00 0.00 4.00 0.00 0.00 47.06 44.44 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 88 1406997 | 301945678

89) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Table 26 Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.) Std. dev. 0.00 0.16 0.00 1.45 0.32 1.73 17.25 1.70 0.00 Min 0.00 0.00 0.00 0.00 0.00 Max 0.00 0.70 0.00 6.25 1.40 27.19 17.79 0.00 0.00 0.00 0.00 0.00 22.58 5.88 50.00 5.73 0.00 74.19 100.00 From 'CC'/'C' rating 1985 0 1986 0 1987 0 1988 0 1989 0 1990 0 1991 0 1992 0 1993 0 1994 0 1995 0 1996 0 1997 0 1998 0 1999 0 2000 0 2001 0 2002 0 2003 0 2004 7 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 28.57 2005 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 2006 13 0.00 0.00 0.00 7.69 0.00 0.00 0.00 0.00 0.00 69.23 23.08 2007 17 0.00 0.00 0.00 11.76 0.00 0.00 0.00 0.00 0.00 52.94 35.29 2008 15 0.00 0.00 0.00 13.33 0.00 0.00 0.00 0.00 0.00 40.00 46.67 2009 18 0.00 0.00 0.00 5.56 5.56 0.00 0.00 0.00 0.00 22.22 66.67 2010 24 0.00 0.00 0.00 4.17 4.17 0.00 0.00 4.17 0.00 33.33 54.17 2011 35 0.00 0.00 0.00 0.00 2.86 0.00 0.00 2.86 0.00 42.86 51.43 2012 159 0.00 0.00 0.00 0.00 1.26 0.00 0.00 0.00 0.00 77.36 21.38 2013 174 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.09 33.91 2014 232 0.00 0.00 0.00 0.00 0.00 0.00 0.43 0.86 0.00 72.84 25.86 Average 0.00 0.00 0.00 3.86 1.26 0.00 0.04 0.72 0.00 58.94 35.18 Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.09 33.91 Std. dev. 0.00 0.00 0.00 5.09 2.01 0.00 0.13 1.44 0.00 22.78 18.59 Min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 0.00 Max 0.00 0.00 0.00 13.33 5.56 0.00 0.43 4.17 0.00 100.00 66.67 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 89 1406997 | 301945678

90) Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions Related Criteria And Research • Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 • Credit Conditions: Weakness Ahead For Latin America As Brazil Falls Into Recession, April 2, 2015 • Credit Conditions: An Improving U.S. Economy Reduces North American Credit Risk, But Some Headwinds Remain, March 31, 2015 • Credit Conditions: The Eurozone Is Looking Up, For Now, March 31, 2015 • Transition Rates Moderate For Japanese Structured Finance In 2014, March 30, 2015 • Credit Conditions: Slowing China The New Norm: Balancing Credit Stability And Continual Tailwinds, March 30, 2015 • Italy And Spain RMBS Methodology And Assumptions, Sept. 18, 2014 Under Standard & Poor's policies, only a Rating Committee can determine a Credit Rating Action (including a Credit Rating change, affirmation or withdrawal, Rating Outlook change, or CreditWatch action). This commentary and its subject matter have not been the subject of Rating Committee action and should not be interpreted as a change to, or affirmation of, a Credit Rating or Rating Outlook. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 22, 2015 90 1406997 | 301945678

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