Standard & Poor's Ratings Services has updated its data on the performance and default rates of U.S. public finance (USPF) ratings through year-end 2008. The data suggests to us the following:
Cumulative average default rates continue to maintain a rank ordering commensurate with the rating category;
USPF ratings tend to be more stable at higher rating levels; and
Overall, the USPF sector remains significantly stable in nature and of sound credit quality, although defaults have occurred across all sectors.
As a general proposition, for the years relevant to our study, unenhanced debt (i.e., debt obligations not supported by financial guarantees, structuring techniques, multiple-party features, or other external credit support) rated by Standard & Poor's has shown significant credit stability throughout a broad range of events, including a changed economic environment, federal government mandates, tax reform measures, and any number of influences on general credit. The study tracked the behavior of unenhanced rated debt obligations from Jan. 1, 1986 to Jan. 1, 2009; aggregate and sector data are also included in this study. The public finance-wide conclusions and the aggregated tables focus on unenhanced debt and exclude public finance structured and housing debt, as debt obligations issued in those sectors typically include some form of enhancement or have ratings that are dependent on multiple obligors. In the sector breakdowns, housing information is shown on an issue basis rather than an issuer basis; methodologically, therefore, we have not included this information with the other public finance data. Credit types included in the study are:
General obligation,
Lease/appropriation/moral obligation,
Special tax (sales, gas, etc.),
Special district,
Water and sewer revenue,
Public power,
Airports,
Ports,
Toll roads and bridges,
Parking,
Various types of bond pools,
Transit,
Public and private higher education,
Auxiliary higher education debt,
Independent schools,
Hospitals (stand-alone and systems),
Continuing care, and
Physicians' practices.
2008 Performance
Defaults during 2008 of USPF credits rated by Standard & Poor's equaled the high set in 1992. In addition, one housing issue defaulted (see charts 1 and 2). These defaults were the result of a variety of factors, including budget imbalances and failed attempts at restructurings. Defaults included two tax-secured credits, one sewer utility, two hospitals, and one housing issue. The following defaults of standard & Poor's-rated debt occurred in 2008:
Presidio County, Texas' series 2002 certificates of obligation defaulted following budgetary imbalances and management turnover.
Jefferson County, Ala.'s series 2003 B-2 through 2003 B-7 sewer revenue refunding warrants were deemed defaulted following the sewer system's failure to make a principal payment on the bank warrants when due on April 1, 2008, in accordance with the terms of the standby warrant purchase agreement. Although the county and the relevant banks entered into a forbearance agreement that effectively delayed payment under the standby warrant purchase agreements, Standard & Poor's rates an issue 'D' when payments on an obligation are not made on the date due in accordance with the terms of the documents.
Jefferson County, Ala.'s series 2001B general obligation warrants were deemed in default following the county's failure to make a principal payment on the bank warrants when due on Sept. 15, 2008, in accordance with the terms of the standby warrant purchase agreement. As above, the county and the banks entered into a forbearance agreement which effectively delayed payment under the standby warrant purchase agreement.
New Jersey Health Care Facilities Financing Authority's series 2003 and 1998 bonds, issued for Pascack Valley Hospital, defaulted following the hospital's closure and bankruptcy filing in 2007.
Pontiac Hospital Finance Authority, Mich.'s series 1993 bonds issued for North Oakland Medical Center (NOMC) defaulted following increasing losses and the hospital's failure to restructure the hospital's relationship with the city of Pontiac or find a joint operating partner.
Texas State Affordable Housing Corporation's multi-family mortgage revenue bonds series 2002C defaulted after market softness and rising expenses left the South Texas Affordable Properties Corporation, the borrower, with insufficient coverage and reserves to meet debt service.
Chart 1
Chart 2
As we see it, rating transitions during 2008 were dominated by two countervailing forces. The first was a series of rating criteria changes that led on balance to a significant number of upgrades in the government sectors (tax secured, appropriations, and utilities). The second force, working in the other direction, was the softening economy (see tables 1 and 2). While overall there were more upgrades than downgrades in all public finance sectors except health care and housing, by the fourth quarter the upward trend had ceased in all sectors except government and transportation (for more information on factors driving 2008 credit performance, see "U.S. Public Finance Sustained Upgrade Trend In Fourth Quarter But Felt Recession’s Bite," published Jan. 28, 2009 on RatingsDirect).
When comparing the ratings distribution at the end of 2008 to that at the start of the default study period, we see that the numerical dominance of government sector ratings and the effect of multiple years of criteria changes have driven most of the difference (see table 3). From Jan. 1, 1986 to Jan. 1, 2009, 'AAA' and 'AA' rated credits increased to 38% from 20% of all USPF ratings. As chart 3 shows, the health care, higher education, and housing sectors were the only sectors to see increases in the share of speculative grade ratings during this period (note that ratings volume may be driven both by credit conditions and the demand for ratings). In all cases, speculative grade ratings continue to represent a small minority of USPF ratings.
Chart 3
Transition Rates
The study's transition analysis, which measures the stability of rating classes over the time period, shows that, generally speaking, public finance ratings were highly stable during the period, particularly at the uppermost end of the scale (see tables 4 through 8). At the 'AAA' level, for example, about 98% of ratings during the relevant years remained at 'AAA' one year later as shown in table 4. At 'BBB' or lower, however, ratings were about 88% likely to remain at the same level a year later. The diagonal that begins at the top left in the 'AAA' category and descends to the lower right is a useful reference illustrating this historical rating transition behavior. Numbers on the diagonal represent unchanged ratings, while those to its left and right represent rating upgrades and downgrades, respectively. The entries on this diagonal show that during the period studied, higher rating categories experienced higher rating stability, without exception. Generally, for ratings 'A' or lower, the numbers to the left of the diagonal are greater than those to the right (excluding ratings that have been withdrawn, which are designated as NR), showing a trend of more upgrades than downgrades over the years. The same general trend is borne out by examining rating transitions by modifier, although we believe the sample size renders any conclusions tentative, particularly at the speculative grade levels (see tables 5 and 6). Across sectors, ratings and credit volatility increased at the lower end of the scale during the years studied, particularly in the historically more volatile sectors, housing and health care (see table 7). In health care, in particular, downgrades outnumbered upgrades across the entire rating scale. In housing, issues below investment grade similarly had more downgrades than upgrades. During the relevant years, the general governmental sectors of tax-secured and utilities, along with higher education, were the most stable of all sectors. The number of credits in those universes was also the largest over the period, so the overall statistics were significantly driven by general governmental performance.
Default Analysis
Standard & Poor's-rated USPF default counts over the course of the study vary from no defaults in six of the years covered to a high of five defaults in 1992 and 2008 (see table 9). Of the 39 total defaults in the study, 37 were non-investment grade immediately before the default as demonstrated in chart 5. On an issue basis, housing defaults total 60 and have ranged from zero to a high of 21 on an annual basis (see table 10). Of the 21 defaults occurring in 1991, it should be noted that 19 were related to the failure of Executive Life Insurance Co. as an investment agreement provider. A list of each USPF default and each housing default is provided in tables 11 and 12, respectively.
Although the number of defaults over these years has been, relatively speaking, low, we do believe securities issued by municipalities can still bear meaningful default risk. For one thing, over the years in question the municipal market has tended to be self-selecting -- municipal issuers of lower credit quality have tended not to request ratings. Correspondingly, the universe of rated municipalities was, as a general proposition, more creditworthy and, of course, less likely to default. When the entirety of the public finance issuers and issues is evaluated, as opposed to simply the rated universe, however, more defaults appear. Data received from Standard & Poor's Securities Evaluations show nearly 1,300 issue defaults during the same period. In our opinion, this comparison suggests a level of credit risk attendant to the universe of municipal finance that is greater than one might discern from a default study of Standard & Poor's-rated municipals alone.
Chart 4
Chart 5
Default Rates
Chart 6 and tables 13 and 14 show that, generally speaking, cumulative average default rates have occurred at relative levels commensurate with the rating category. Default rates increased over time, particularly for lower-rated credits. Tables 15 and 16 show a less-precise relationship when one examines default rates by rating modifier. This is not surprising as the limited number of defaults and the limited number of credits in some rating levels allows average default rates to be more affected by a single event. Examining default rates broken down by rating category and by year further demonstrates the danger of reading too much into the average default rates. (tables 17 through 22). Because no USPF defaults have occurred at the 'AAA' level, default rates are shown only for the 'AA' category and below. For the housing data, default rates are shown across all rating categories. What we consider significant default volatility is evident as one examines smaller portions of the data set. At many rating levels, the standard deviation of the default rates raises questions about the value of the average statistic for assessing trends.
Chart 6
Relative Rating Performance
In addition to examining the absolute performance of USPF ratings, Standard & Poor's 2009 study examines their relative performance. One technique we use to measure relative performance is the Gini coefficient. The Gini coefficient is a summary statistic of the Lorenz curve. The Lorenz curve was developed by Max O. Lorenz as a graphical representation of the proportionality of a distribution. We use it with ratings as one indication of the appropriateness of the rating distribution's rank ordering. The Lorenz curve is derived by plotting out the cumulative proportion of issuers by rating category with the cumulative proportion of defaulters by rating category. To determine relative performance of the Lorenz curve, we compare it with an ideal curve and a random curve. In the ideal curve, all issuers in the lowest rating category ('CCC'/'CC', in this case) default, and all defaults are in the lowest rating category. In the random curve, all defaults occur randomly throughout the rating distribution, so it lies along the diagonal of the chart. The Gini coefficient is a ratio of two areas: the area bounded by the Lorenz curve and the random curve divided by the area bounded by the ideal curve and random curve. The result is a relative performance measure that is between 1 and 0, 1 being a Gini coefficient with perfect rank ordering (all defaults in the lowest rating category and all issuers in the lowest rating category default) and 0 being a random rank ordering. We believe that Lorenz curves and Gini coefficients can provide useful information when compared with other Lorenz curves' Gini coefficients.
Charts 7 through 10 depict Lorenz curves for USPF rating performance at the one-, three-, five-, and seven-year timeframes, while charts 11 through 14 depict Lorenz curves for housing performance at the same time periods. For both USPF and housing specifically, the Lorenz curves move further away from the ideal curve as the time period lengthens. In all cases, however, the Lorenz curve remains closer to the ideal curve than the random curve. The Gini coefficients in table 23 tell the same story, with the Gini remaining above 0.5 in all cases.
Chart 7
Chart 8
Chart 9
Chart 10
Chart 11
Chart 12
Chart 13
Chart 14
Methodology And Definitions
A Standard & Poor's rating primarily assesses the ability and willingness of an obligor to meet its financial commitments. Accordingly, a default is recorded upon the first occurrence of monetary payment default on the relevant obligation. Technical defaults, such as covenant violations, are not by themselves payment defaults. We generally lower issue ratings to 'D' following a payment default on the corresponding obligation. We include bonds that would have defaulted if not for bond insurance if those bonds bore a SPUR, as is the case for the Jefferson County, Ala. issues.
Our default study is based on a performance analysis of the unenhanced debt obligations (i.e., obligations not relying on external support provided by guaranties, outside support, or alternative revenue streams) of public finance issuers and includes bonds issued by a range of entities. We used long-term parity debt ratings throughout the study. These ratings reflect Standard & Poor's opinion of an obligor's overall capacity to pay its obligations (i.e., its fundamental creditworthiness). As such, our analysis focuses on the issuer's payment capacity and willingness to meet its financial commitment on an obligation according to its terms.
The data tracked the ratings of 5,085 parity debt obligations outstanding as of Jan. 1, 1986, increasing to 12,970 parity debt obligations outstanding as of Jan. 1, 2009. The data include general obligation, appropriation-backed, special tax, revenue, and higher education and health care bonds. Although the rating of an appropriation-backed bond is usually linked to that of the obligor since, in certain cases, the ratings of appropriation-backed bonds can move independently of those of the obligor, we have included those ratings. One of the study's goals was to show the rating transitions and default history of the traditional public finance market: cities, towns, school districts, and hospitals, as well as the bonds issued by those entities. We excluded from the study bonds wrapped by a monoline insurer , unless the bonds bear an underlying, unenhanced rating by Standard & Poor's (a SPUR), in which case we included the SPUR.. The study is based on individual issuances, rather than on dollar amounts, to avoid the risks of magnitude skewing results.
On a sector basis, we believe results are useful but must be evaluated with the size of the respective sectors in mind:
Tax-secured credits increased to 7,700 through 2008 from 2,314 in 1985;
Appropriation credits increased to 3,148 from 468 over the same period;
Utilities increased to 1,352 from 820 over the same period;
Transportation credits totaled 284 in 1985 and declined to 253 in 2008;
Higher education increased to 800 in 2008 from 363 in 1985;
Health care declined to 764 in 2008 from 848 in 1985; and
On an issue basis, and not an issuer basis, housing increased to 9,570 in 2008 from 4,329 in 1985.
Static pool methodology
The years covered by the study saw relatively few issuances default in their early years. Accordingly, default rates over a given period that are obtained by dividing the number of defaults by the number of issuances then outstanding will be distorted if the number of issuances increases over the period. To avoid this potentially misleading statistic, Standard & Poor's conducts its default studies on the basis of groupings called "static pools." A static pool is formed on the first day of each year covered by the study and followed from that point on. All ratings included in the study are sorted into these pools. The pools are static in the sense that the denominator (entity ratings included in the pool) remains constant over time. This fact, however, must be understood in the context of a single study. Because errors, if any, will generally be corrected by new updates and because the criteria for inclusion or exclusion of ratings in the study may be subject to minor revisions in future studies, it is not possible to compare pools across studies. However, every new update revises results back to the same starting date (Jan. 1, 1986) to avoid continuity problems.
All ratings are followed year to year within each pool. This annual tracking involves the comparison of each parity rating on the first and last day of each calendar year. Multiple rating changes in any single year are not reflected -- only beginning- and end-of-year ratings are reflected. This occasionally results in what could be considered dramatic transitions. The NRs (obligations no longer rated by Standard & Poor's) in the study include issuances that have become monoline insured, as well as issuances that have been refunded, matured, or withdrawn.
For example, the 1986 static pool comprises all parity debt outstanding as of Jan. 1, 1986. The 1987 static pool was formed by adding new parity ratings first rated in 1986 to the still-outstanding ratings of the 1986 static pool and subtracting those ratings that defaulted or were set to NR. This same method was used to form static pools for 1988-2008. As an example, if a parity debt rating of 'BB' is assigned in mid-1986 and is lowered to 'B' in 1988 and followed by a default ('D') in 1993, this hypothetical rating would be included in the 1987 and 1988 pools as a 'BB', and in the 1989-1993 pools as a 'B'. All pools that include this obligation would capture its 1993 default.
Default rates
We calculated annual default rates for each static pool: first in units and later as percentages with respect to the number of issuers in each rating category. We then combined these percentages to obtain cumulative default rates for the 23 years covered by the study.
We estimated cumulative default rates that average the experience of all static pools. This was accomplished by calculating marginal default rates, conditional on survival (survivors being nondefaulters) for each possible time horizon and for each static pool; weight averaging the conditional marginal default rates; and accumulating the average conditional marginal default rates. Conditional default rates are calculated by dividing the number of issuers in a static pool that default at a specific time horizon by the number of issuers that survived (did not default) to that point in time. Weights are based on the number of issuers in each static pool. Cumulative default rates are one minus the product of the proportion of survivors (nondefaulters).
For instance, the weighted average first-year default rate for entities rated in the 'B' category for all 23 pools was 1.46%, meaning that an average of 98.54% made payments in accordance with their terms for the first year. Similarly, the second- and third-year conditional marginal averages were 1.57% for the first 22 pools (98.43% of those issuers that did not default in the first year did not default in the second year) and 0.86% for the first 21 pools (99.15% of those entities that did not default by the second year did not default in the third year either), respectively. Multiplying 98.54% by 98.43% results in a 96.99% non-default rate to the end of the second year, or a two-year cumulative average default rate of 3.01%. Multiplying 96.99% by 99.15% results in a 96.16% non-default rate to the end of the third year, or a three-year 3.84% cumulative average default rate.
Transition analysis
To compute one-year rating transition ratios by rating category, we compared each entity's rating at the beginning of a particular year with its rating at end of the same year. Multiple rating changes within one year are not reflected. We counted a parity obligation rated for more than one year as many times as the number of years it was rated. For instance, an issuer continually rated during 1986-1992 would appear in six consecutive one-year transition matrices. All 1986 static pool members still rated on Dec. 31, 2008 had 23 one-year transitions, while parity ratings first assigned in 2007 had only one.
Each one-year transition matrix displays all rating movements between letter categories from the beginning of the year to year-end. For each rating listed in the matrix's left-most column, there are nine ratios listed in the columns, corresponding to ratings from 'AAA' to 'D', plus an entry for NR. For instance, according to the average one-year transition rates for USPF (see table 4), which average all one-year transitions:
89.52% of debt rated in the 'A' category at the beginning of a given year remained in the same category at year end;
2.52%, on average, were upgraded to the 'AA' cateogry;
0.85% were on average lowered to the 'BBB' category; and
0.03% were downgraded to the 'BB' category, and so on.
Further transition information for each of the USPF and housing static pools is presented in tables 25 and 26.
Tony Santiago provided valuable assistance by compiling the data for this study.
Table 1
2008 Transition Rates By Category (%)
From/To
AAA
AA
A
BBB
BB
B
CCC/C
D
NR
USPF
AAA
99.46
0.00
0.27
0.00
0.00
0.00
0.00
0.00
0.27
AA
2.80
93.94
0.27
0.00
0.00
0.05
0.00
0.03
2.91
A
0.03
9.07
88.87
0.45
0.00
0.03
0.00
0.02
1.52
BBB
0.00
0.31
14.66
82.36
0.62
0.10
0.00
0.05
1.90
BB
0.00
0.00
0.00
4.42
88.50
1.77
0.88
0.00
4.42
B
0.00
0.00
3.85
0.00
3.85
84.62
3.85
3.85
0.00
CCC/C
0.00
0.00
12.50
12.50
0.00
0.00
50.00
12.50
12.50
Utility
AAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
9.02
87.16
0.00
0.00
0.00
0.00
0.00
0.00
3.83
A
0.15
21.20
76.84
0.15
0.00
0.00
0.00
0.15
1.50
BBB
0.00
0.63
31.25
66.25
0.00
0.00
0.00
0.00
1.88
BB
0.00
0.00
0.00
66.67
33.33
0.00
0.00
0.00
0.00
B
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
Higher Education
AAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.97
98.06
0.00
0.00
0.00
0.00
0.00
0.00
0.97
A
0.00
2.26
94.35
1.13
0.00
0.00
0.00
0.00
2.26
BBB
0.00
0.00
1.48
95.56
0.00
0.00
0.00
0.00
2.96
BB
0.00
0.00
0.00
0.00
93.75
0.00
0.00
0.00
6.25
B
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Tax Secured
AAA
99.23
0.00
0.38
0.00
0.00
0.00
0.00
0.00
0.38
AA
4.08
94.99
0.19
0.00
0.00
0.06
0.00
0.06
0.62
A
0.00
9.26
89.75
0.23
0.00
0.07
0.00
0.00
0.69
BBB
0.00
0.29
18.40
80.27
0.00
0.19
0.00
0.10
0.76
BB
0.00
0.00
0.00
14.29
85.71
0.00
0.00
0.00
0.00
B
0.00
0.00
12.50
0.00
0.00
87.50
0.00
0.00
0.00
CCC/C
0.00
0.00
33.33
33.33
0.00
0.00
33.33
0.00
0.00
Health Care
AAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.00
95.19
3.85
0.00
0.00
0.00
0.00
0.00
0.96
A
0.00
0.00
94.67
4.33
0.00
0.00
0.00
0.00
1.00
BBB
0.00
0.37
1.83
90.48
4.40
0.00
0.00
0.00
2.93
BB
0.00
0.00
0.00
0.00
88.89
4.44
2.22
0.00
4.44
B
0.00
0.00
0.00
0.00
11.11
66.67
11.11
11.11
0.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
33.33
33.33
33.33
Transportation
AAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.00
94.55
3.64
0.00
0.00
0.00
0.00
0.00
1.82
A
0.00
3.33
95.83
0.00
0.00
0.00
0.00
0.00
0.83
BBB
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
BB
0.00
0.00
0.00
20.00
80.00
0.00
0.00
0.00
0.00
B
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
Appropriation
AAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.22
93.78
0.07
0.00
0.00
0.07
0.00
0.00
5.86
A
0.08
6.85
89.54
0.08
0.00
0.00
0.00
0.00
3.46
BBB
0.00
0.37
12.92
81.55
0.00
0.00
0.00
0.00
5.17
BB
0.00
0.00
0.00
0.00
93.33
0.00
0.00
0.00
6.67
B
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Housing Issues
AAA
96.16
0.89
0.05
0.05
0.00
0.00
0.00
0.00
2.86
AA
0.17
98.28
0.89
0.14
0.00
0.00
0.00
0.00
0.53
A
0.08
0.24
98.72
0.08
0.40
0.00
0.00
0.00
0.48
BBB
0.00
0.00
0.72
98.19
0.00
0.36
0.36
0.00
0.36
BB
0.00
0.00
3.13
3.13
81.25
3.13
3.13
0.00
6.25
B
0.00
0.00
0.00
0.00
0.00
90.48
4.76
0.00
4.76
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
78.57
7.14
14.29
Table 2
2008 Upgrades and Downgrades
Ratings
Upgrades
Downgrades
Total USPF*
11907
2043
118
Utility
1247
448
2
Tax Secured
5975
1144
24
Higher Education
741
38
5
Health Care
734
23
79
Transportation
240
15
4
Appropriation
2970
375
4
Housing issues
9591
45
101
* Does not include housing
Table 3
U.S. Public Finance Rating Distributions* (%)
Rating Category
1986
2009
AAA
1
4
AA
19
34
A
59
47
BBB
19
14
Speculative Grade
1
1
* excludes housing issues
Table 4
USPF Average Obligor Transition Rates, 1986-2008 (%)
Rating
AAA
AA
A
BBB
BB
B
CCC/C
D
NR
1 Year
AAA
97.61
1.14
0.10
0.00
0.00
0.00
0.03
0.00
1.11
AA
0.78
92.69
1.21
0.03
0.00
0.00
0.00
0.00
5.29
A
0.02
2.52
89.52
0.85
0.03
0.02
0.01
0.00
7.03
BBB
0.00
0.06
3.57
87.85
0.65
0.12
0.06
0.01
7.67
BB
0.00
0.07
0.27
7.94
78.68
3.12
0.68
0.20
9.03
B
0.00
0.00
0.73
2.67
7.77
70.39
4.85
1.46
12.14
CCC/C
0.00
0.00
0.60
0.60
1.80
8.38
64.07
13.77
10.78
3 Year
AAA
93.56
2.78
0.23
0.00
0.00
0.00
0.05
0.00
3.38
AA
2.02
79.45
2.61
0.26
0.00
0.00
0.00
0.00
15.66
A
0.06
5.63
70.92
2.00
0.08
0.05
0.02
0.01
21.22
BBB
0.00
0.67
7.21
66.78
1.47
0.34
0.13
0.08
23.30
BB
0.00
0.24
1.35
16.28
48.29
5.24
1.11
0.95
26.53
B
0.00
0.28
1.39
10.56
8.61
35.56
4.72
3.89
35.00
CCC/C
0.00
0.00
0.00
0.65
10.32
3.87
36.13
23.87
25.16
5 Year
AAA
91.14
3.99
0.30
0.00
0.00
0.00
0.00
0.00
4.58
AA
3.02
67.70
3.47
0.20
0.00
0.01
0.00
0.00
25.59
A
0.10
7.38
54.50
2.62
0.14
0.06
0.03
0.03
35.13
BBB
0.00
0.99
8.95
48.77
1.78
0.50
0.15
0.17
38.68
BB
0.00
0.37
2.31
18.45
29.06
4.43
1.20
1.29
42.90
B
0.00
0.32
1.95
10.06
4.55
17.53
3.25
5.52
56.82
CCC/C
0.00
0.00
0.00
10.96
1.37
5.48
22.60
30.14
29.45
7 Year
AAA
89.66
5.09
0.48
0.00
0.00
0.00
0.00
0.00
4.77
AA
4.06
57.27
3.58
0.21
0.00
0.01
0.00
0.00
34.86
A
0.13
8.37
39.93
2.58
0.16
0.07
0.04
0.04
48.70
BBB
0.00
1.26
8.89
34.06
1.66
0.52
0.12
0.25
53.23
BB
0.00
0.43
2.98
16.83
16.29
3.19
1.28
1.38
57.61
B
0.00
0.38
1.51
6.42
2.64
8.68
1.51
7.92
70.94
CCC/C
0.00
0.00
0.00
11.11
0.00
5.19
15.56
31.11
37.04
10 Year
AAA
87.82
6.35
0.38
0.00
0.00
0.00
0.00
0.00
5.46
AA
5.39
44.41
2.89
0.16
0.00
0.02
0.00
0.00
47.12
A
0.17
7.97
23.81
1.97
0.18
0.06
0.05
0.06
65.74
BBB
0.00
1.55
7.10
17.83
0.97
0.36
0.13
0.32
71.73
BB
0.00
0.25
4.18
10.00
5.82
1.77
1.27
1.27
75.44
B
0.00
0.00
3.03
2.16
1.30
2.16
0.43
8.23
82.68
CCC/C
0.00
0.00
0.00
9.26
0.00
1.85
8.33
35.19
45.37
15 Year
AAA
81.94
10.19
0.93
0.23
0.00
0.00
0.00
0.00
6.71
AA
7.16
33.11
2.55
0.17
0.00
0.02
0.00
0.01
56.98
A
0.30
7.83
12.47
1.03
0.15
0.08
0.06
0.11
77.96
BBB
0.00
1.17
5.90
6.97
0.44
0.15
0.05
0.44
84.88
BB
0.00
0.58
3.08
4.24
1.16
0.58
0.00
1.93
88.44
B
0.00
0.00
0.00
1.31
0.00
0.00
0.00
11.11
87.58
CCC/C
0.00
0.00
0.00
3.95
0.00
0.00
0.00
39.47
56.58
Table 5A
Average One-Year Obligor Transition Rates By Modifier, 1986-2008 (%)
Rating
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
AAA
97.61
0.97
0.17
0.00
0.00
0.07
0.03
0.00
0.00
0.00
0.00
0.00
0.00
AA+
4.53
88.51
2.22
0.35
0.05
0.00
0.00
0.00
0.17
0.00
0.00
0.00
0.00
AA
0.35
3.19
88.71
1.66
0.31
0.10
0.03
0.00
0.01
0.00
0.00
0.00
0.00
AA-
0.11
0.48
5.61
86.07
1.73
0.72
0.04
0.00
0.01
0.00
0.00
0.00
0.00
A+
0.05
0.08
0.92
5.20
85.71
1.59
0.38
0.03
0.03
0.03
0.00
0.01
0.00
A
0.00
0.02
0.22
0.74
3.88
85.13
1.27
0.50
0.13
0.13
0.01
0.02
0.01
A-
0.00
0.02
0.07
0.66
1.15
5.72
83.56
1.15
0.54
0.25
0.00
0.04
0.01
BBB+
0.00
0.01
0.01
0.06
0.31
1.23
4.88
83.28
1.86
0.43
0.06
0.10
0.02
BBB
0.00
0.01
0.01
0.03
0.13
0.53
0.95
3.62
84.91
1.37
0.23
0.21
0.06
BBB-
0.00
0.02
0.00
0.02
0.00
0.04
1.59
0.74
4.36
82.95
1.30
0.90
0.16
BB+
0.00
0.00
0.19
0.00
0.00
0.00
0.37
0.37
2.23
6.15
73.37
4.10
2.23
BB
0.00
0.00
0.00
0.00
0.00
0.13
0.13
0.39
2.73
5.71
2.86
72.99
1.95
BB-
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.60
0.60
3.01
4.82
71.69
B+
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.20
0.00
1.20
1.20
B
0.00
0.00
0.00
0.00
0.41
0.41
0.00
0.83
2.49
0.83
0.83
8.71
2.07
B-
0.00
0.00
0.00
0.00
0.00
1.14
0.00
0.00
0.00
0.00
0.00
1.14
1.14
CCC
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.07
0.00
CCC-
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CC
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
C
0.00
0.00
0.00
0.00
20.00
0.00
0.00
0.00
0.00
20.00
0.00
0.00
0.00
Table 5B
Average One-Year Obligor Transition Rates By Modifier, 1986-2008 (%)
Rating
B+
B
B-
CCC
CCC-
CC
C
D
NR
AAA
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
1.11
AA+
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.18
AA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.63
AA-
0.00
0.01
0.01
0.00
0.00
0.00
0.00
0.00
5.23
A+
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
5.96
A
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.01
7.92
A-
0.00
0.03
0.00
0.01
0.00
0.00
0.00
0.00
6.79
BBB+
0.00
0.04
0.02
0.05
0.00
0.00
0.00
0.00
7.64
BBB
0.03
0.05
0.02
0.02
0.00
0.01
0.01
0.01
7.81
BBB-
0.02
0.27
0.09
0.14
0.02
0.00
0.00
0.04
7.35
BB+
1.12
0.74
0.56
0.19
0.00
0.00
0.00
0.37
8.01
BB
0.91
1.56
0.39
0.78
0.00
0.00
0.13
0.00
9.35
BB-
1.20
4.22
1.20
1.20
0.00
0.00
0.00
0.60
10.84
B+
63.86
4.82
4.82
3.61
0.00
0.00
1.20
1.20
16.87
B
2.90
61.00
2.49
3.73
0.41
0.00
0.41
2.07
10.37
B-
0.00
3.41
75.00
5.68
0.00
0.00
0.00
0.00
12.50
CCC
1.38
4.83
0.69
64.14
0.69
2.07
0.00
12.41
11.72
CCC-
0.00
0.00
0.00
0.00
40.00
0.00
0.00
40.00
20.00
CC
33.33
0.00
0.00
16.67
0.00
25.00
0.00
25.00
0.00
C
0.00
0.00
0.00
0.00
0.00
0.00
60.00
0.00
0.00
Table 6A
Housing Average One-Year Issue Transition Rates By Modifier, 1986-2008 (%)
Rating
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
AAA
93.96
0.19
0.35
0.07
0.02
0.13
0.02
0.00
0.01
0.00
0.00
0.04
0.00
AA+
1.99
91.94
1.39
0.89
0.05
0.10
0.07
0.00
0.01
0.00
0.00
0.00
0.00
AA
1.40
2.90
88.19
0.82
0.34
0.34
0.28
0.02
0.05
0.09
0.00
0.00
0.00
AA-
0.39
0.20
4.27
86.24
0.71
2.15
0.24
0.05
0.05
0.10
0.01
0.02
0.00
A+
0.63
1.45
2.83
1.89
87.33
0.30
0.22
0.14
0.01
0.11
0.03
0.02
0.00
A
1.51
0.04
0.54
0.63
2.47
84.11
0.68
0.14
0.57
0.93
0.08
0.36
0.00
A-
0.41
0.00
0.11
0.19
0.78
2.59
80.42
0.41
3.77
0.81
0.07
0.67
0.00
BBB+
0.20
0.00
0.00
0.00
0.30
2.27
4.04
81.08
1.18
0.49
0.49
0.99
0.00
BBB
0.38
0.00
0.15
0.08
1.15
1.91
0.69
2.91
76.11
1.68
0.38
4.52
0.54
BBB-
0.38
0.00
0.38
0.00
0.48
1.44
1.06
1.34
3.45
79.85
0.48
1.06
0.58
BB+
0.00
0.00
0.00
0.00
1.02
1.02
0.00
1.02
1.02
1.02
70.41
5.10
1.02
BB
0.23
0.00
0.00
0.00
0.46
0.69
1.37
0.92
2.29
3.89
0.23
59.95
0.23
BB-
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.76
0.00
0.00
0.00
59.52
B+
12.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
B
1.56
0.00
0.52
0.00
0.00
0.52
0.52
0.00
0.00
0.00
0.00
3.65
0.52
B-
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CCC+
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CCC
3.11
0.00
0.00
0.00
0.00
1.24
0.00
0.00
0.62
0.00
0.00
1.24
0.00
CCC-
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CC
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.70
0.00
2.70
0.00
0.00
C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Table 6B
Housing Average One-Year Issue Transition Rates By Modifier, 1986-2008 (%)
Rating
B+
B
B-
CCC+
CCC
CCC-
CC
C
D
NR
AAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.21
AA+
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
3.55
AA
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
5.55
AA-
0.00
0.01
0.00
0.00
0.02
0.00
0.00
0.00
0.01
5.51
A+
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
5.02
A
0.01
0.11
0.00
0.00
0.02
0.00
0.01
0.00
0.00
7.77
A-
0.00
0.07
0.07
0.00
0.04
0.00
0.04
0.00
0.07
9.47
BBB+
0.00
0.39
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.57
BBB
0.00
0.77
0.00
0.00
0.23
0.08
0.15
0.00
0.08
8.19
BBB-
0.00
0.19
0.00
0.00
0.86
0.00
0.10
0.00
0.10
8.25
BB+
1.02
3.06
0.00
0.00
4.08
0.00
3.06
0.00
0.00
7.14
BB
0.46
9.84
0.23
0.00
2.29
0.00
1.14
0.23
4.81
10.76
BB-
0.00
9.52
2.38
0.00
7.14
0.00
0.00
0.00
2.38
14.29
B+
62.50
12.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.50
B
0.00
66.15
1.04
0.00
10.94
0.00
1.04
1.04
2.60
9.90
B-
0.00
0.00
37.50
0.00
25.00
0.00
0.00
0.00
0.00
37.50
CCC+
0.00
0.00
0.00
75.00
0.00
0.00
25.00
0.00
0.00
0.00
CCC
0.00
0.00
0.00
0.62
63.98
0.62
3.11
1.86
9.94
13.66
CCC-
0.00
0.00
0.00
0.00
0.00
33.33
0.00
33.33
0.00
33.33
CC
0.00
0.00
0.00
0.00
0.00
0.00
51.35
0.00
18.92
24.32
C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
42.86
42.86
14.29
Table 7
Average One-Year Transition Rates by Category, 1986-2008 (%)
Rating
AAA
AA
A
BBB
BB
B
CCC/C
D
NR
Utility
AAA
96.74
0.72
0.00
0.00
0.00
0.00
0.00
0.00
2.54
AA
1.40
92.91
1.34
0.02
0.00
0.00
0.00
0.00
4.32
A
0.10
2.95
89.41
0.56
0.06
0.02
0.04
0.01
6.86
BBB
0.00
0.02
3.14
87.15
0.46
0.02
0.00
0.02
9.18
BB
0.00
0.00
0.56
11.11
76.67
0.56
1.11
0.00
10.00
B
0.00
0.00
0.00
0.00
3.33
73.33
3.33
0.00
20.00
CCC/C
0.00
0.00
0.00
0.00
0.00
10.53
81.58
7.89
0.00
Higher Education
AAA
98.17
0.31
0.00
0.00
0.00
0.00
0.00
0.00
1.53
AA
0.65
93.36
1.48
0.09
0.00
0.00
0.00
0.00
4.43
A
0.00
1.44
91.61
1.21
0.02
0.00
0.00
0.00
5.72
BBB
0.00
0.08
2.96
89.89
0.74
0.04
0.04
0.00
6.26
BB
0.00
0.00
0.00
3.95
89.47
0.00
0.00
1.32
5.26
B
0.00
0.00
0.00
0.00
0.00
0.00
0.00
50.00
50.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
Tax-Secured
AAA
98.13
1.06
0.14
0.00
0.00
0.00
0.00
0.00
0.67
AA
1.05
93.55
0.55
0.01
0.00
0.00
0.00
0.00
4.83
A
0.01
2.15
90.90
0.33
0.01
0.03
0.00
0.00
6.57
BBB
0.00
0.06
3.42
89.65
0.22
0.11
0.03
0.01
6.50
BB
0.00
0.00
0.66
14.24
75.83
0.99
0.66
0.00
7.62
B
0.00
0.00
3.57
5.95
16.67
61.90
2.38
2.38
7.14
CCC/C
0.00
0.00
4.76
4.76
9.52
14.29
52.38
0.00
14.29
Health Care
AAA
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.00
91.00
2.57
0.00
0.00
0.00
0.00
0.00
6.44
A
0.00
0.81
87.12
3.12
0.14
0.05
0.01
0.00
8.75
BBB
0.00
0.05
1.34
88.24
2.36
0.33
0.10
0.02
7.57
BB
0.00
0.14
0.14
3.82
79.46
5.67
0.85
0.28
9.63
B
0.00
0.00
0.00
0.84
4.60
73.22
6.69
1.26
13.39
CCC/C
0.00
0.00
0.00
0.00
1.10
3.30
65.93
16.48
13.19
Transportation
AAA
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
AA
0.00
91.83
1.11
0.00
0.00
0.00
0.00
0.00
7.06
A
0.00
1.18
88.67
0.78
0.03
0.00
0.00
0.00
9.34
BBB
0.00
0.06
1.53
85.68
0.67
0.18
0.24
0.00
11.63
BB
0.00
0.00
0.00
9.47
74.74
2.11
0.00
0.00
13.68
B
0.00
0.00
0.00
0.00
11.76
76.47
5.88
0.00
5.88
CCC/C
0.00
0.00
0.00
0.00
0.00
16.67
33.33
50.00
0.00
Appropriation
AAA
92.23
4.15
0.00
0.00
0.00
0.00
0.52
0.00
3.11
AA
0.23
91.14
2.08
0.06
0.00
0.01
0.00
0.00
6.49
A
0.01
4.38
86.93
1.15
0.01
0.00
0.01
0.01
7.51
BBB
0.00
0.09
7.13
83.39
0.16
0.06
0.08
0.00
9.08
BB
0.00
0.00
0.00
13.16
80.70
0.00
0.00
0.00
6.14
B
0.00
0.00
0.00
10.00
10.00
70.00
0.00
0.00
10.00
CCC/C
0.00
0.00
0.00
0.00
0.00
30.00
30.00
20.00
20.00
Housing
AAA
93.96
0.61
0.17
0.01
0.04
0.00
0.00
0.00
5.21
AA
1.40
92.37
1.11
0.12
0.01
0.00
0.01
0.00
4.97
A
0.93
3.72
87.20
1.28
0.27
0.06
0.03
0.01
6.50
BBB
0.33
0.21
4.37
82.55
3.21
0.48
0.48
0.06
8.33
BB
0.17
0.00
2.25
6.24
63.08
9.53
4.51
3.81
10.40
B
1.92
0.48
0.96
0.00
3.85
66.35
12.98
2.40
11.06
CCC/C
2.36
0.00
0.94
0.94
1.42
0.00
66.51
12.26
15.57
Table 8
Housing Average Issue Transition Rates, 1986-2008 (%)
Rating
AAA
AA
A
BBB
BB
B
CCC/C
D
NR
1 Year
AAA
93.96
0.61
0.17
0.01
0.04
0.00
0.00
0.00
5.21
AA
1.40
92.37
1.11
0.12
0.01
0.00
0.01
0.00
4.97
A
0.93
3.72
87.20
1.28
0.27
0.06
0.03
0.01
6.50
BBB
0.33
0.21
4.37
82.55
3.21
0.48
0.48
0.06
8.33
BB
0.17
0.00
2.25
6.24
63.08
9.53
4.51
3.81
10.40
B
1.92
0.48
0.96
0.00
3.85
66.35
12.98
2.40
11.06
CCC/C
2.36
0.00
0.94
0.94
1.42
0.00
66.51
12.26
15.57
3 Year
AAA
81.97
1.35
0.46
0.03
0.04
0.00
0.00
0.06
16.09
AA
4.52
77.34
2.48
0.50
0.05
0.01
0.03
0.02
15.04
A
2.47
10.32
63.75
2.82
0.72
0.19
0.10
0.08
19.53
BBB
0.77
0.46
11.43
52.05
4.63
1.86
1.16
0.70
26.95
BB
0.98
0.39
4.70
10.76
28.38
9.59
8.61
8.02
28.57
B
5.52
1.23
3.07
1.23
4.91
36.20
7.98
8.59
31.29
CCC/C
5.41
0.00
2.16
2.16
2.70
0.00
36.76
18.92
31.89
5 Year
AAA
71.05
1.62
0.67
0.06
0.02
0.00
0.00
0.12
26.47
AA
7.59
64.45
3.04
0.56
0.07
0.01
0.02
0.02
24.23
A
3.37
14.73
47.57
2.53
0.95
0.41
0.21
0.17
30.06
BBB
1.12
0.30
11.22
37.02
2.20
1.64
1.60
1.53
43.36
BB
2.45
0.67
6.24
9.58
16.93
4.45
5.12
11.14
43.43
B
8.46
1.54
4.62
0.00
3.85
21.54
4.62
9.23
46.15
CCC/C
6.21
0.00
0.00
1.86
3.11
0.00
24.22
18.63
45.96
7 Year
AAA
61.02
1.69
0.87
0.08
0.02
0.00
0.00
0.15
36.17
AA
9.93
54.71
2.78
0.43
0.02
0.01
0.03
0.03
32.07
A
4.45
18.26
35.03
2.01
0.78
0.38
0.25
0.28
38.57
BBB
1.56
0.36
11.51
26.55
0.96
1.08
1.40
1.89
54.67
BB
3.13
0.52
6.53
7.31
11.75
2.09
2.87
12.01
53.79
B
10.09
0.00
5.50
0.00
0.00
17.43
3.67
7.34
55.96
CCC/C
7.58
0.00
0.00
0.00
3.03
0.00
21.21
18.18
50.00
10 Year
AAA
44.88
1.41
0.71
0.06
0.02
0.00
0.00
0.21
52.72
AA
12.74
42.06
1.72
0.17
0.01
0.02
0.00
0.05
43.24
A
6.26
20.62
22.40
1.11
0.42
0.30
0.14
0.26
48.49
BBB
1.84
0.28
10.28
17.26
0.37
0.60
0.92
1.42
67.03
BB
3.58
0.30
5.07
5.37
7.46
1.19
1.49
10.75
64.78
B
12.79
0.00
5.81
0.00
0.00
12.79
2.33
6.98
59.30
CCC/C
9.09
0.00
0.00
0.00
0.91
0.00
16.36
19.09
54.55
15 Year
AAA
25.21
0.93
0.59
0.10
0.02
0.00
0.00
0.42
72.75
AA
14.17
25.25
1.41
0.17
0.00
0.01
0.00
0.06
58.94
A
10.21
20.44
11.64
0.51
0.12
0.06
0.07
0.26
56.69
BBB
1.85
0.00
8.10
8.55
0.32
0.45
0.57
0.32
79.85
BB
4.21
0.00
3.16
4.21
3.16
0.70
2.46
10.53
71.58
B
15.71
0.00
4.29
0.00
0.00
4.29
1.43
8.57
65.71
CCC/C
14.52
0.00
0.00
0.00
0.00
0.00
6.45
19.35
59.68
20 Year
AAA
12.54
0.56
0.81
0.08
0.00
0.00
0.00
0.73
85.27
AA
13.99
15.54
1.46
0.14
0.00
0.01
0.01
0.12
68.72
A
12.42
16.89
5.99
0.65
0.12
0.05
0.14
0.44
63.29
BBB
2.08
0.00
8.51
2.43
0.17
0.87
0.69
0.69
84.55
BB
0.00
0.00
4.35
8.70
4.35
0.00
2.17
0.00
80.43
B
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
CCC/C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
Table 9
USPF Annual Obligor Default Summary
Defaults
Default Rate (%)
Year
Total
Investment grade
Speculative grade
Overall
Investment grade
Speculative grade
1986
0
0
0
0.00
0.00
0.00
1987
3
1
2
0.06
0.02
2.47
1988
0
0
0
0.00
0.00
0.00
1989
3
0
3
0.06
0.00
3.70
1990
3
0
3
0.05
0.00
4.00
1991
1
0
1
0.02
0.00
1.10
1992
5
0
5
0.08
0.00
5.26
1993
0
0
0
0.00
0.00
0.00
1994*
4
1
3
0.04
0.01
3.41
1995
1
0
1
0.01
0.00
1.19
1996
0
0
0
0.00
0.00
0.00
1997
0
0
0
0.00
0.00
0.00
1998
0
0
0
0.00
0.00
0.00
1999
1
0
1
0.01
0.00
1.28
2000
3
0
3
0.04
0.00
4.48
2001
3
1
2
0.05
0.01
2.94
2002
1
0
1
0.01
0.00
1.33
2003
1
1
0
0.01
0.01
0.00
2004
3
0
3
0.03
0.00
2.63
2005
1
0
1
0.01
0.00
0.95
2006
1
0
1
0.01
0.00
0.76
2007
0
0
0
0.00
0.00
0.00
2008
5
3
2
0.03
0.03
1.36
Mean
1.7
0.3
1.4
0.02
0.00
1.60
Median
1.0
0.0
1.0
0.01
0.00
1.19
Std Dev
1.6
0.7
1.4
0.02
0.01
1.63
Min
0.0
0.0
0.0
0.00
0.00
0.00
Max
5.0
3.0
5.0
0.08
0.03
5.26
* Orange County, Calif. defaulted the year its rating was assigned.
Table 10
Housing Annual Issue Default Summary
Defaults
Default Rate (%)
Year
Total
Investment grade
Speculative grade
Overall
Investment grade
Speculative grade
1986
0
0
0
0.00
0.00
0.00
1987
1
1
0
0.02
0.02
0.00
1988
1
1
0
0.02
0.02
0.00
1989
0
0
0
0.00
0.00
0.00
1990
0
0
0
0.00
0.00
0.00
1991
21
0
21
0.41
0.00
23.08
1992
1
0
1
0.02
0.00
1.05
1993
4
0
4
0.08
0.00
4.82
1994
1
0
1
0.02
0.00
1.14
1995
1
0
1
0.02
0.00
1.19
1996
1
0
1
0.02
0.00
1.35
1997
0
0
0
0.00
0.00
0.00
1998
2
0
2
0.03
0.00
2.86
1999
1
0
1
0.02
0.00
1.28
2000
0
0
0
0.00
0.00
0.00
2001
1
0
1
0.02
0.00
1.47
2002
5
2
3
0.07
0.02
4.00
2003
3
0
3
0.04
0.00
3.53
2004
4
1
3
0.06
0.01
2.63
2005
6
0
6
0.09
0.00
5.71
2006
3
1
2
0.04
0.01
1.53
2007
3
1
2
0.03
0.01
1.53
2008
1
0
1
0.01
0.00
0.68
Mean
2.6
0.3
2.3
0.04
0.00
2.52
Median
1.0
0.0
1.0
0.02
0.00
1.28
Std Dev
4.3
0.5
4.3
0.08
0.01
4.67
Min
0.0
0.0
0.0
0.00
0.00
0.00
Max
21.0
2.0
21.0
0.41
0.02
23.08
Table 11
USPF Defaulted Obligors, 1986-2008
Rating
Obligor
State
Category
Default Date
Next to Last
First
St. Paul Hsg & Redev Auth
MN
Utility rev
12/02/2004
CCC
A
St. Paul Port Auth
MN
Utility rev
12/02/2004
CCC
A
St. Josephs Hosp of Alton
IL
Health care rev
05/24/1989
CCC-
A
Spokane Downtown Found
WA
Trans rev
08/09/2001
CCC
BBB-
South Fulton Med Center
GA
Health care rev
04/27/2000
CCC
BBB+
Sacred Heart Med Center of Chester
PA
Health care rev
01/08/1992
CCC
A-
Presidio County
TX
Tax sec
12/11/2008
BBB-
BBB-
Pascack Valley Hosp
NJ
Health care rev
9/30/2008
CC
A
Parkview Hosp
OH
Health care rev
10/13/1994
C
A-
Oregon Coast Aquarium
OR
Higher ed rev
10/07/2002
CCC
BBB-
Orange County
CA
Tax sec
12/08/1994
CCC
AA-
Northwest General Hosp
MI
Health care rev
10/04/1990
C
BBB
North Oakland Med Center
MI
Health care rev
03/31/2008
B
BBB
New Magma Irrigation & Drainage Dist
AZ
Tax sec
06/02/1994
C
BBB+
New Jersey Economic Development Auth
NJ
Trans rev
12/03/1987
CC
BBB
Michigan Health Care Corp.
MI
Health care rev
09/20/1995
CCC
BB
Metro Hosp
PA
Health care rev
12/19/1989
CCC
A-
Mercy Hosp and Med Center
IL
Health care rev
01/05/2004
CCC
A
Massachusetts Port Auth
MA
Trans rev
01/04/2006
CCC-
BBB+
Logan General Hosp
WV
Health care rev
02/03/1999
CCC
BBB
Lassen Cmnty College Dist
CA
Appropriation
04/06/1987
CCC
BBB-
Kerr County
TX
Appropriation
03/14/2005
CC
A-
Jefferson County
AL
Utility rev
03/06/2008
B
A+
James C. Guiffre Med Center
PA
Health care rev
07/02/1992
CCC
BBB
Jacksonville General Hosp & Med Center
FL
Health care rev
04/02/1992
CCC
BBB
Jackson Park Hosp Found
IL
Health care rev
03/04/1992
CCC
A
Illinois
IL
Appropriation
02/04/2003
A
A-
Hyde Park Comnty Hosp, Ill. Cent Comnty Hosp
IL
Health care rev
12/17/1991
CCC
BBB
Hialeah Hosp Inc.
FL
Health care rev
02/10/1992
CCC
BBB
Granada Hills Comnty Hosp
CA
Health care rev
05/14/2001
CCC
BBB-
Graduate Health System Obligated Group
PA
Health care rev
01/04/2000
CCC
A
Devils Lake
ND
Utility rev
09/16/1987
B
BBB-
Crouse Health Hosp
NY
Health care rev
07/03/2001
CCC
BBB
Colorado Ute Electric Association
CO
Utility rev
07/06/1990
CCC
A-
Choate-Symmes Health
MA
Health care rev
01/08/1990
CCC
A-
Central Med Center Hosp
MO
Health care rev
06/07/1989
CCC-
BBB-
Central Arizona Irrigation & Drainage Dist
AZ
Tax sec
12/02/1994
C
BBB
Bradford College
MA
Higher ed rev
11/02/2000
CCC
BBB-
Jefferson County
AL
Tax sec
9/24/2008
B
AA-
Table 12
Housing Defaulted Issues, 1986-2008
Rating
Obligor
State
Issue Series
Default Date
Next to Last
First
Pines of Yellow Creek
WY
Ser 1983A
12/2/1987
CC
AAA
St. Louis Land Clear Redev Auth
MO
Ser 1984
3/18/1988
AA+
AA+
Adams County
CO
Ser 1986A
5/2/1991
CC
AAA
El Paso Hsg Fin Corp.
TX
Ser 1986A
5/2/1991
CC
AAA
El Paso Hsg Fin Corp.
TX
Ser 1986A
5/2/1991
CC
AAA
Nebraska Investment Fin Auth
NE
Ser 1986A
5/2/1991
CC
AAA
Nebraska Investment Fin Auth
NE
Ser 1986B
5/2/1991
BB
AAA
Midland County Hsg Fin Corp.
TX
Ser 1982A
6/4/1991
CC
A+
Tuscon Indus Dev Auth
AZ
6/6/1991
CCC
AAA
Simi Valley
CA
Ser 1989A
8/6/1991
CC
AAA
Simi Valley
CA
Ser 1989A
8/6/1991
CC
AAA
Southeast Texas Hsg Fin Corp.
TX
Ser 1986A
9/3/1991
CC
AAA
St. Paul Hsg & Redev Auth
MN
Ser 1989B
9/3/1991
CCC
AAA
St. Paul Hsg & Redev Auth
MN
Ser 1989B
9/3/1991
CCC
AAA
St. Paul Hsg & Redev Auth
MN
Ser 1989A
9/3/1991
CCC
AAA
St. Paul Hsg & Redev Auth
MN
Ser 1989B
9/3/1991
CCC
AAA
Memphis Health Ed & Hsg Fac Board
TN
Ser 1986A
9/17/1991
CC
AAA
Memphis Health Ed & Hsg Fac Board
TN
Ser 1986A
9/17/1991
CC
A
Northern California Home Mort Fin Auth
CA
Ser 1982A
10/1/1991
CC
AA-
Louisiana Agri Fin Auth
LA
Ser 1986A
10/2/1991
CC
AAA
Louisiana Agri Fin Auth
LA
Ser A
10/2/1991
CC
AAA
Louisiana Agri Fin Auth
LA
Ser A
10/2/1991
CC
AAA
Louisiana Agri Fin Auth
LA
Ser 1986A
10/2/1991
CC
AAA
El Paso County
CO
Ser 1982B
3/16/1992
B
A+
Jefferson County
CO
Ser 1982A
3/2/1993
CCC
A+
Aurora
CO
Ser 1983A
9/2/1993
CCC
A
Aurora
CO
Ser 1983A
9/2/1993
CCC
A
Jefferson County
CO
Ser 1982A
12/31/1993
CCC
A+
El Paso County
CO
Ser 1982A
9/21/1994
CCC
AA
Louisiana Hsg Fin Agency
LA
Ser 1986A
3/30/1995
CC
A
Los Angleles Hsg Auth
CA
Ser 1992A
6/3/1996
CCC
A
Windsor Hsg Found
MN
Ser 1996A
1/28/1998
NR
A
Windsor Hsg Found
MN
Ser 1996B
1/28/1998
NR
BBB
Louisville & Jefferson County Metro Govt
KY
Ser 1995
11/14/1998
CC
A-
Radcliff Hsg Auth
KY
Ser 1995
11/14/1998
CC
A-
Boulder County
CO
Ser 1982A
11/1/1999
CC
A
Blackwater Hsg Corp.
FL
Ser 1995A
9/6/2001
CC
BBB
Emerald Coast Hsg Corp.
FL
Ser 1995A
1/8/2002
CCC
BBB
Patten Towers L.P. II
Tn
Ser 1995A
8/1/2002
CC
A-
Patten Towers L.P. II
Tn
Ser 1995B
8/1/2002
C
BBB
Indianapolis
IN
Ser 1996A
11/11/2002
CCC
A
Indianapolis
IN
Ser 1996C
11/11/2002
CCC-
BBB
American Opp Found / Dallas-Fort Worth Afford Hsg Corp.
TX
Ser 1996D
1/2/2003
CCC
BB-
Austin Hsg Fin Corp.
TX
Ser 1997A
1/8/2003
CCC
A
Austin Hsg Fin Corp.
TX
Ser 1997C
1/8/2003
CC
BBB
Mercy Hsg
AZ
Ser 1997A
8/19/2004
B
A
Mercy Hsg
AZ
Ser 1997B
8/19/2004
CCC
BBB
Texas State Afford Hsg Corp.
TX
Ser 2001B
10/8/2004
CC
BBB-
Texas State Afford Hsg Corp.
TX
Ser 2001C
10/8/2004
C
BB
Harris County Hsg Fin Corp.
TX
Ser 1999C
4/11/2005
CCC
BBB
Harris County Hsg Fin Corp.
TX
Ser 1999D
4/11/2005
CCC
BB
Raleigh Hsg Auth
NC
Ser 1999A
6/10/2005
CC
A-
American Opp for Hsg
TX
Ser 2002B
9/22/2005
C
BBB-
American Opp for Hsg
TX
Ser 2002C
9/22/2005
C
BB
De Kalb County Hsg Auth
GA
Ser 1996C
10/20/2005
C
BBB
Shelby County Health Ed & Hsg Fac Board
TN
Ser 1997A
1/13/2006
CCC
A
Liberty Hsg Dev Corp.
NY
Ser 1996A
3/20/2006
AA-
AAA
American Hsg Found
TX
Ser 2002B
3/28/2006
C
BBB-
St. Louis Indus Dev Auth
MO
Ser 1997
4/3/2007
C
BBB+
St. Cloud Hsg & Redev Auth
MN
Ser 1999A
5/29/2007
B
BBB
Little Rock Family Hsg LLC
AR
Ser 2004B
10/11/2007
BB
A-
South Texas Afford Hsg Corp.
TX
Ser 2002C
9/9/2008
C
BB
Table 13
USPF Cumulative Average Obligor Default Rates, 1986-2008 (%)
