CORRECT: Pre-Crisis Structured Finance Defaults Remain Low: S&P

(Corrects default rate for U.S. structured finance)

Only 1.37% of European structured finance notes issued before the 2007 credit crisis have defaulted, according to S&P report covering period to end of 2012. * More than 60% of notes issued fully redeemed * Equivalent default rate for U.S. structured finance is 16.8% * European defaults rose to 38.1 billion euros from 2.8 trillion euros originally issued * Consumer-related securitizations outperformed deals backed by corporate loans with cumulative default rates of 0.04% versus

4.47% * 12-month rolling downgrade rate reached 30.9% due to weak economy and lowering of Spain’s sovereign rating * Cumulative downgrade rate since mid-2007 is 34.5% * Covered bonds and CMBS most affected by downgrades