# Transition Matrices

 Original Rating Probability of Migrating to Rating by Year End (%) AAA AA A BBB BB B CCC Default AAA 93.66 5.83 0.4 0.08 0.03 0 0 0 AA 0.66 91.72 6.94 0.49 0.06 0.09 0.02 0.01 A 0.07 2.25 91.76 5.19 0.49 0.2 0.01 0.04 BBB 0.03 0.25 4.83 89.26 4.44 0.81 0.16 0.22 BB 0.03 0.07 0.44 6.67 83.31 7.47 1.05 0.98 B 0 0.1 0.33 0.46 5.77 84.19 3.87 5.3 CCC 0.16 0 0.31 0.93 2 10.74 63.96 21.94 Default 0 0 0 0 0 0 0 100

• One-year ratings migration probabilities based upon bond rating data from 1981-2000. Data is adjusted for rating withdrawals. Numbers in each row should sum to 100%. Due to round-off error, they may not do so exactly. Source: Standard & Poor's