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Default, Transition, and Recovery: 2018 Annual Global Structured Finance Default Study And Rating Transitions


Default, Transition, and Recovery: 2018 Annual Global Structured Finance Default Study And Rating Transitions

(Editor's Note: In this study, we include the ratings history of all securities whose original rating was 'AAA'. This represents a change in methodology compared with editions of our global structured finance default and rating transitions study published prior to 2018. For further details, see "Treatment of 'AAA' ratings" in Appendix I and example summary statistics in Appendix III.)

For the first time since the financial crisis, in 2018 the global default rate for structured finance fell below 2%, while the upgrade rate rose to a record high, according to S&P Global Ratings' annual analysis of defaults and rating transitions. The downgrade rate rose slightly but remained well below the long-term historical average. Overall credit quality increased for the third successive year to an all-time high.

S&P Global Ratings had close to 33,900 ratings outstanding on global structured finance securities at the beginning of 2018. Of these securities, 1.9% defaulted during the year—an 11-year low. The upgrade rate rose to 13.1%—the highest on record and up from in 9.1% in 2017. The downgrade rate rose to 8.2% in 2018, up from 5.0% in 2017. Combining upgrades and downgrades with their severity, we raised our ratings on global structured finance securities by an average of 0.25 notches on aggregate, compared with a 0.10-notch increase in average credit quality during 2017.

By far the most downgrades continued to be in the U.S. residential mortgage-backed securities (RMBS) sector, but the U.S. single-name synthetics and European commercial mortgage-backed securities (CMBS) sectors saw higher downgrade rates, which express the number of downgrades as a proportion of the number of ratings outstanding. By contrast, a variety of sectors exhibited strong credit performance, with the highest upgrade rate of 24.3% in the European RMBS sector, partly due to corresponding upgrades for related sovereigns. Overall, there were double-digit upgrade rates in each of the RMBS and asset-backed securities (ABS) sectors globally.

Credit Performance—Lowest Default Rate In 11 Years

The overall credit performance of global structured finance securities that we rate was positive in 2018. During the year, we raised 13.1% of our ratings on global structured finance securities that were outstanding at the beginning of the year (see chart 1). This was a sharp increase from 9.1% in 2017, and strongly exceeded the downgrade rate (8.0%) for only the third time since 2006.

The 12-month trailing average change in credit quality (see definition in Appendix I) for global structured finance was +0.25 rating notches at the end of 2018—a record high. This measure had been negative for several years since mid-2007, indicating that, on average, ratings were drifting lower, but turned positive in early 2016. In August 2018, this measure moved above +0.2 notches for the first time (see chart 1).

The default rate of 1.9% in 2018 was lower than in the previous year and well below the one-year average default rate of 3.9%. Viewing the default rate on a 12-month trailing basis reveals a broad downtrend in the default rate since mid-2016 (see chart 2). The default rate for investment-grade ratings fell significantly to 0.01% in 2018, down from 0.15% in 2017, representing just two defaults among 20,469 investment-grade ratings outstanding at the beginning of the year. The speculative-grade default rate was 4.7%. The annual default rates for both investment- and speculative-grade structured finance securities have stabilized since their peaks in 2009 and are now similar to pre-crisis levels.

Chart 1

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Chart 2

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Region and sector comparisons

Structured finance credit performance in 2018 diverged significantly between sectors and regions. Globally, the ABS sector had the lowest default and downgrade rates of 0.1% and 1.5%, respectively. The upgrade rate for ABS was 12.6% in 2018, and ratings in the sector rose by an average of 0.34 notches. The RMBS sector recorded the highest upgrade rate of 16.1% and saw ratings rising by an average of 0.30 notches over the year. However, the RMBS sector also recorded the highest downgrade rate of the year at 11.6%.

The region-sector combination with the highest upgrade rate was European RMBS, where we raised nearly one-quarter of the ratings that were outstanding at the beginning of the year, partly due to country risk considerations and corresponding upgrades for related sovereigns. The U.S. RMBS sector recorded the second-highest upgrade rate of 16.1%. However, unlike in 2017, several areas reported upgrade rates lower than their one-year weighted averages, including U.S. and European structured credit (see chart 3). Nearly all areas had downgrade rates well below their one-year weighted averages.

In 2018, the U.S. single-name synthetics sector had the highest downgrade rate of 20.5%, well above its one-year average of 13.6%. The sector's upgrade rate, however, was well below its one-year average of 6.1%, at 3.8% in 2018. The European CMBS sector had the second-highest downgrade rate of 14.0%, compared with a one-year average of 22.3%. The nature of the performance deterioration differed between the two sectors, with European CMBS also recording the highest default rate of 8.4%, while there was only one default among U.S. single-name synthetics, for a default rate of 0.5%. The European CMBS sector was the only one to report a 2018 default rate higher than its one-year weighted-average (see chart 4).

Outside the U.S. and Europe, the number of upgrades generally far exceeded the number of downgrades in 2018, with the exception of Latin America, which experienced the highest downgrade rate of any region at 22.4%. Many Latin American downgrades stemmed from our lowering of the Brazilian sovereign rating in early 2018. However, outside the U.S. and Europe there were no defaults in 2018 among nearly 1,600 ratings outstanding at the beginning of the year.

Chart 3

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Chart 4

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Vintages

Credit performance continues to be differentiated by the year of issuance—or vintage—of structured finance securities. The fundamental credit characteristics and economic environment of a transaction's vintage can influence its subsequent credit behavior.

Segmenting global structured finance credit performance by transaction vintage reveals that the upgrade rate in 2018 was highest for the 2005 vintage (see chart 5). In 2018, downgrade rates were highest in the 2006 and 2007 vintages, with most in U.S. RMBS. The downgrade rate for the 2006-2007 vintages has normalized somewhat over recent years, relative to the weak credit performance these transactions exhibited during the financial crisis, putting recent downgrade rates well below their one-year weighted averages. However, these vintages continue to experience downgrade rates higher than those of other vintages. The 2006-2007 vintages also exhibit the highest one-year average default rates, given their performance during the financial crisis, but default rates for these vintages in 2018 were much lower and on a par with those of other vintages (see chart 6).

Chart 5

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Chart 6

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Table 1 shows a summary of 2018 credit performance for global structured finance segmented in various ways and compared with the 1976-2018 one-year weighted-average statistics.

Table 1

Global Structured Finance Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 33,896 78.6 13.1 8.2 1.9 634 80.0 3.7 16.4 3.9
Region
U.S. 28,707 77.5 13.2 9.3 2.1 608 79.8 3.2 17.0 4.2
Europe 3,591 82.1 15.6 2.3 0.7 26 77.2 7.6 15.2 1.0
Australasia 960 88.8 8.2 3.0 0.0 0 91.6 4.2 4.2 0.1
Japan 442 99.1 0.9 0.0 0.0 0 88.6 5.8 5.6 0.9
Canada 77 92.2 7.8 0.0 0.0 0 92.4 6.0 1.6 0.1
Latin America 49 71.4 6.1 22.4 0.0 0 72.6 11.3 16.1 0.9
Other emerging markets 68 89.7 7.4 2.9 0.0 0 74.5 12.0 13.4 0.1
Asia (excl. Japan) 2 100.0 0.0 0.0 0.0 0 83.9 4.0 12.0 1.9
Sector
RMBS 21,393 72.3 16.1 11.6 2.5 543 79.5 2.4 18.1 4.6
Structured credit 4,350 94.1 4.2 1.7 0.5 23 73.3 8.3 18.3 3.2
ABS 5,162 85.9 12.6 1.5 0.1 6 90.4 4.2 5.4 0.3
CMBS 2,732 89.5 6.0 4.5 2.2 61 81.2 5.9 12.9 3.2
Single-name synthetics 259 78.8 3.5 17.8 0.4 1 81.0 5.6 13.5 0.6
Region and sector
U.S. RMBS 18,421 70.6 16.1 13.2 2.9 541 79.1 2.1 18.8 4.9
U.S. structured credit 2,997 96.0 2.8 1.1 0.5 14 73.6 7.7 18.6 4.0
U.S. ABS 4,557 85.9 12.8 1.3 0.1 6 90.0 4.3 5.7 0.4
U.S. CMBS 2,522 90.3 5.9 3.8 1.8 46 81.6 6.2 12.3 3.3
U.S. single-name synthetics 210 75.7 3.8 20.5 0.5 1 80.3 6.1 13.6 0.7
Europe RMBS 1,664 74.9 24.3 0.7 0.1 2 80.4 7.0 12.6 0.3
Europe structured credit 1,312 90.6 7.2 2.1 0.7 9 72.9 9.7 17.4 1.4
Europe ABS 414 84.5 11.6 3.9 0.0 0 88.6 4.4 7.0 0.2
Europe CMBS 178 79.8 6.2 14.0 8.4 15 74.1 3.6 22.3 3.0
Australasia 960 88.8 8.2 3.0 0.0 0 91.6 4.2 4.2 0.1
Japan 442 99.1 0.9 0.0 0.0 0 88.6 5.8 5.6 0.9
Other 219 87.2 6.4 6.4 0.0 0 85.3 6.2 8.5 0.4
Vintage
Pre-2000 296 78.0 13.5 8.4 3.7 11 96.1 1.9 2.0 0.3
2000 103 86.4 4.9 8.7 1.9 2 90.4 3.8 5.8 0.8
2001 214 83.2 10.3 6.5 2.3 5 88.9 5.0 6.2 1.0
2002 619 80.5 11.6 7.9 2.6 16 86.4 5.7 7.9 1.2
2003 2,802 81.0 9.0 10.0 3.0 85 85.8 3.3 10.9 1.4
2004 5,058 77.0 15.1 7.8 2.0 99 82.0 3.2 14.7 2.5
2005 4,703 67.4 24.0 8.6 4.6 215 72.7 3.5 23.8 5.8
2006 3,193 59.6 18.1 22.3 2.6 83 60.0 3.9 36.1 10.1
2007 2,846 67.5 11.6 20.9 3.2 91 55.9 4.8 39.3 11.0
2008 433 82.9 6.2 10.9 4.4 19 72.8 5.8 21.4 4.4
2009 684 85.4 7.6 7.0 0.9 6 83.7 5.4 10.9 1.4
2010 755 80.4 15.4 4.2 0.0 0.0 88.5 6.4 5.1 0.3
2011 274 86.9 10.9 2.2 0.0 0.0 86.6 9.4 4.0 0.1
2012 509 88.0 9.0 2.9 0.0 0.0 90.9 7.4 1.7 0.0
2013 1,617 90.1 8.3 1.5 0.0 0.0 92.8 6.3 0.9 0.0
2014 1,774 89.7 8.7 1.6 0.1 2 92.4 6.4 1.2 0.0
2015 1,904 88.9 10.8 0.3 0.0 0.0 90.6 8.8 0.5 0.0
2016 2,208 86.2 12.5 1.3 0.0 0.0 91.4 7.7 0.9 0.0
2017 3,904 92.5 5.6 1.9 0.0 0.0 92.5 5.6 1.9 0.0
Rating category
AAA 6,653 98.5 0.0 1.5 0.0 0 92.8 0.0 7.2 0.1
AA 5,517 82.8 14.4 2.8 0.0 0 77.2 8.0 14.8 0.3
A 4,751 74.5 21.0 4.5 0.0 0 74.4 8.5 17.1 0.4
BBB 3,548 67.1 26.6 6.4 0.1 2 70.8 8.4 20.8 1.1
BB 2,646 69.3 23.4 7.3 0.3 7 64.5 8.6 26.9 2.2
B 2,667 70.4 21.9 7.7 1.0 28 58.2 6.8 35.0 4.8
CCC 6,955 71.1 6.8 22.1 6.2 434 67.0 2.8 30.3 15.8
CC 1,159 82.3 3.6 14.1 14.1 163 56.4 1.5 42.1 42.1
Rating grade
Investment-grade 20,469 83.2 13.4 3.4 0.0 2 85.4 3.3 11.3 0.3
Speculative-grade 13,427 71.6 12.8 15.6 4.7 632 62.6 4.7 32.7 15.4
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Ratings Performance—Ratings Have Historically Differentiated Default Rates

Our structured finance ratings express an opinion of securities' creditworthiness, for which the centerpiece is an assessment of default likelihood, rather than the likelihood of upgrade or downgrade. That said, our ratings do also consider credit stability as a secondary factor.

Across global structured finance, upgrade and downgrade rates in 2018 were generally differentiated by securities' ratings at the beginning of the year. Downgrade rates were generally higher for lower rating categories, with a downgrade rate of 1.5% for securities rated 'AAA' at the beginning of the year compared with 22.1% for those rated 'CCC' (see chart 7). Securities rated in the 'BBB' category at the beginning of the year recorded the highest upgrade rate of 26.6%.

Based on a longer time horizon, the observed weighted-average one-year downgrade rates for global structured finance are generally aligned with rating categories, except at the 'CCC' rating category (see chart 7). Upgrade rates have historically been more consistent across most rating categories.

Chart 7

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In contrast to credit stability, default likelihood is the primary factor in our assessment of creditworthiness that the ratings reflect. As such, we would typically expect default rates to be lower for higher-rated securities, provided that observations are made over sufficiently long time horizons and large samples. Over shorter timeframes or smaller samples, this relationship may not always hold, and default rates can also vary over time.

For global structured finance, higher-rated securities have clearly been associated with lower weighted-average one-year default rates between 1976 and 2018 (see chart 8). Default rates in 2018 were higher at lower ratings, as expected. For example, there were no defaults in each of the 'AAA', 'AA', and 'A' rating categories in 2018. Further, securities we rated in the 'BBB' category at the beginning of the year had a default rate of 0.1%, contrasting with a 6.2% default rate for those in the 'CCC' rating category.

Chart 8

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To further explore how well our structured finance ratings have rank-ordered creditworthiness over time, we can calculate cumulative default rates by rating category for various time horizons as we do for our corporate default and transition studies. This approach constructs average multiyear cumulative default rates by first aggregating across static pools the period-to-period one-year marginal default rates that are conditional on the securities' survival (that, is nondefault) in the prior one-year period (see Appendix I for more details). We note that this approach differs from the calculations we use in constructing the weighted-average multiyear default and transition rates elsewhere in this study, where default rates are not conditional on survival.

The cumulative default rates (conditional on survival) based on our full data history—from the beginning of 1976 to the end of 2018—show that lower ratings have generally been associated with higher default rates and vice versa (see table 2). In other words, ratings appear to have successfully ranked-ordered creditworthiness over each time horizon.

Table 2

Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.06 0.33 1.07 2.33 3.69 4.72 5.45 5.96 6.35 6.65
AA 0.25 1.88 4.53 7.02 9.14 10.90 12.29 13.44 14.41 15.25
A 0.44 3.05 6.57 9.78 12.49 14.80 16.76 18.45 19.88 21.16
BBB 1.06 5.51 10.83 15.75 19.91 23.37 26.09 28.24 29.93 31.32
BB 2.20 8.67 15.04 20.98 25.90 29.92 33.13 35.72 37.86 39.65
B 4.81 14.43 22.91 30.96 37.00 41.19 44.69 47.60 50.08 52.08
CCC 15.77 29.96 40.88 47.46 51.46 54.25 56.11 57.22 57.92 58.50
CC 42.09 61.56 73.09 78.18 80.80 82.39 83.34 83.83 84.14 84.14
IG 0.26 1.53 3.44 5.54 7.48 9.01 10.17 11.05 11.74 12.30
SG 15.39 27.87 37.34 43.77 48.14 51.27 53.65 55.46 56.97 58.29
Overall 3.86 7.73 11.33 14.35 16.74 18.52 19.83 20.79 21.53 22.11
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Default rates calculated on a rolling basis for a given horizon (for example, five years) further demonstrate that this ratings-based rank ordering has generally remained in place over time, even as absolute default rates have fluctuated with differing levels of credit stress. For example, the five-year trailing 'AAA' default rate for global structured finance was only 0.03% at the end of 2018, down from 0.37% at the end of 2017 and a peak of 17.4% in 2012. By contrast, the five-year trailing 'BBB' default rate was 1.3%, down from 1.7% at the end of 2017 and a peak of 48.8% in 2012 (see chart 9).

Chart 9

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We also calculate Gini coefficients to quantify the rank-ordering power of our ratings in relation to securities' observed default propensity. The Gini coefficient is a summary metric that can range between zero and 100%—the closer to 100%, the higher the rank ordering power of the ratings under observation (see Appendix I for more details).

In 2018, the one-year Gini coefficient for defaults of rated global structured finance securities was 79.2%—up from 74.6% the previous year. Looking at longer timeframes, the three-year Gini coefficient was more stable compared with the end of 2017 at 79.4%, while and five-year Gini coefficient declined to 81.1% (see chart 10). This follows the pronounced dip in Gini coefficient values several years ago, related to the 2008-2009 financial crisis. During this period, a relatively large number of defaults in certain sectors—such as U.S. RMBS and U.S. structured credit—coincided with fewer defaults in lower-rated securities from other sectors, lowering the Gini coefficients.

Chart 10

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Finally, we also calculated sector-specific historical one-year Gini coefficients. For most sectors, the Gini coefficients have returned to the 80%-100% range since the end of 2011, following a drop in 2007 (see chart 11). The Gini coefficient for global RMBS remains lower, at close to 70%, despite reversing course and rising from 65.4% at the end of 2017. Although more than 95% of the global RMBS defaults in 2018 were from the 'CCC' and 'CC' rating categories, there were still some defaults from higher rating levels, lowering the Gini coefficient for this sector.

Chart 11

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The Gini coefficient metric is useful, but has some significant shortcomings. For example, a value of 100% would only be attained if all defaults occurred only 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 lower the reported Gini coefficient, despite being a feature of the sample composition rather than reflecting a decline in ratings' accuracy.

Regions And Sectors In Detail

U.S. RMBS

In 2018, the upgrade rate in U.S. RMBS rose sharply to a record high of 16.1%, up from 5.7% in 2017. However, the downgrade rate also rose, to 13.2% (see chart 12). Incorporating both the magnitude and frequency of rating actions, the overall average change in credit quality for U.S. RMBS ended the year in positive territory for only the second time since 2007, at +0.30 notches. On a 12-month trailing basis, the U.S. RMBS default rate continued its long-term downward trend to finish the year at 2.9%—the lowest year-end level since 2007 (see chart 13).

The Alt-A subsector saw the highest default rate and second-highest downgrade rate of the year, at 5.7% and 16.7% respectively, although these measures remained below their respective one-year weighted averages. These transactions now constitute about 17% of U.S. RMBS that we rate, by number of ratings (see table 3). Ratings migration for U.S. prime RMBS was more positive in 2018, as the upgrade rate rose to 12.9%, the downgrade rate fell to 8.5%, and the default rate fell to 3.2%. The highest upgrade rate of 25.2% was in the "outsides guidelines" subsector.

Credit performance was mixed across transaction vintages in U.S. RMBS. For example, in the 2000 to 2007 pre-crisis vintages, downgrade rates ranged from 4.4% for the 2001 vintage to 34.5% for the 2007 vintage, reflecting ongoing weaker credit performance for transactions that were issued closer to the downturn (see table 3). The downgrade rates of 12.1% and 33.3%, respectively, for 2016 and 2017 vintages in the U.S. RMBS sector were atypical for such unseasoned transactions. However, most of these actions were due to a revision of our criteria for rating post-2008 U.S. RMBS, partly explaining the widespread nature of the rating changes.

The vast majority (97%) of U.S. RMBS defaults in 2018 were from the 'CCC' and 'CC' rating categories, which constituted more than 40% of our U.S. RMBS ratings universe at the beginning of 2018.

Chart 12

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Chart 13

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Table 3

U.S. RMBS Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 18,421 70.6 16.1 13.2 2.9 541 79.1 2.1 18.8 4.9
Subsector
U.S. RMBS subprime 6,108 63.1 18.7 18.2 1.6 95 75.4 2.1 22.6 5.6
U.S. RMBS prime 5,614 78.6 12.9 8.5 3.2 177 85.8 2.5 11.7 2.3
U.S. RMBS re-REMIC 1,154 79.5 12.1 8.3 1.3 15 85.0 3.5 11.5 2.4
U.S. RMBS alt-A 3,122 64.6 18.7 16.7 5.7 177 65.8 1.7 32.6 9.7
U.S. RMBS reperforming 463 78.2 16.6 5.2 2.8 13 81.2 3.2 15.5 3.9
U.S. RMBS outside guidelines 210 70.5 25.2 4.3 2.9 6 78.9 3.5 17.7 4.6
U.S. RMBS closed end 2nd 155 73.5 25.2 1.3 0.6 1 62.7 2.8 34.5 14.1
U.S. RMBS other 1,595 74.5 13.3 12.2 3.6 57 82.4 0.9 16.8 5.4
Vintage
Pre-2000 134 75.4 9.7 14.9 7.5 10 97.5 1.4 1.1 0.2
2000 41 92.7 0.0 7.3 0.0 0 93.9 2.5 3.6 0.5
2001 137 86.1 9.5 4.4 2.2 3 90.8 4.5 4.7 0.9
2002 470 79.8 11.5 8.7 3.2 15 85.6 5.9 8.5 1.4
2003 2,512 80.7 8.6 10.7 3.3 82 85.4 2.4 12.1 1.6
2004 4,576 76.7 15.1 8.2 2.1 94 81.9 2.1 16.0 2.9
2005 4,021 64.8 26.1 9.1 5.1 204 71.1 2.5 26.4 7.0
2006 2,185 50.1 19.8 30.1 2.9 64 53.3 1.2 45.5 14.1
2007 1,523 54.6 11.0 34.5 3.6 55 46.9 0.8 52.4 16.6
2008 119 82.4 9.2 8.4 6.7 8 65.5 1.1 33.4 10.4
2009 456 87.7 3.3 9.0 1.3 6 83.7 3.4 12.9 1.9
2010 442 73.3 21.3 5.4 0.0 0 90.1 6.0 3.9 0.5
2011 13 53.8 46.2 0.0 0.0 0 74.7 5.9 19.4 1.1
2012 44 77.3 22.7 0.0 0.0 0 96.3 2.9 0.9 0.4
2013 492 90.9 9.1 0.0 0.0 0 98.3 1.7 0.0 0.0
2014 559 87.5 10.9 1.6 0.0 0 96.7 2.9 0.4 0.0
2015 338 92.6 7.4 0.0 0.0 0 97.7 2.3 0.0 0.0
2016 140 76.4 11.4 12.1 0.0 0 88.4 5.6 6.0 0.0
2017 219 42.9 23.7 33.3 0.0 0 42.9 23.7 33.3 0.0
Rating category
AAA 2,122 95.9 0.0 4.1 0.0 0 92.1 0.0 7.9 0.0
AA 2,425 79.3 16.1 4.7 0.0 0 77.5 5.3 17.2 0.3
A 1,836 60.2 30.9 8.9 0.0 0 70.8 5.8 23.3 0.7
BBB 1,478 46.3 43.2 10.4 0.1 2 66.6 5.5 27.9 1.7
BB 1,350 55.4 33.0 11.6 0.1 2 58.6 6.3 35.0 3.3
B 1,705 63.6 27.2 9.1 0.7 12 53.0 5.0 42.0 5.1
CCC 6,505 71.0 6.6 22.4 5.8 375 68.4 1.5 30.1 15.2
CC 1,000 81.3 3.7 15.0 15.0 150 55.3 1.7 43.0 43.0
Rating grade
Investment-grade 7,861 73.1 20.3 6.6 0.0 2 85.7 1.8 12.5 0.3
Speculative-grade 10,560 68.8 13.0 18.2 5.1 539 61.0 3.0 36.0 17.7
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.
U.S. structured credit

From 2011 to 2016, the U.S. structured credit sector saw consistently high upgrade rates of more than 10% a year, but the upgrade rate declined into single digits in 2017 (7.8%) and slipped further to 2.8% in 2018 (see chart 14). This decline in the upgrade rate has been largely due to managers of collateralized loan obligations (CLOs) increasingly opting to call and refinance transactions a few years after issuance, rather than allowing them to run into their amortization periods, when upgrades would be more likely to occur. Meanwhile, the U.S. structured credit downgrade rate has generally been in a downward trend since 2009, and remained close to recent lows at 1.1% in 2018.

Despite fewer upgrades, the average change in credit quality remained in positive territory, ending 2018 at +0.05 notches, although this was less than one-third of the value at the end of 2017. U.S. structured credit ratings have consistently been trending higher on this 12-month trailing basis since late 2012.

In line with the low downgrade rate for U.S. structured credit, the 2018 default rate was only 0.5%, on a par with 2017's rate (see chart 15). We note that the U.S. structured credit default rate spiked considerably higher in 2011 when we moved to 'D' a large number of ratings on collateralized debt obligation (CDO) tranches backed by other structured finance securities, notably U.S. subprime RMBS. At that time, these securities had, in our view, little realistic prospects of repayment, and many were unlikely to receive any future principal payments due to the ongoing collateral deterioration of the RMBS and other securities backing the transactions.

The overall U.S. structured credit sector remains polarized between CLOs—which have historically performed very well—and some other types of structured credit transactions that performed poorly after 2007, but now constitute only a small portion of our outstanding ratings. For example, in 2018, CLOs constituted more than 85% of the U.S. structured credit sector and had a downgrade rate of only 0.7% and no defaults, compared with 14 defaults across the now much smaller structured finance CDO subsector (see table 4). In fact, the one-year average default rate for CLOs remains only 0.1%, compared with 13.0% for structured finance CDOs. As CLOs have evolved to become the largest subsector within U.S. structured credit, so the aggregate performance statistics for the sector as a whole have also improved significantly.

Considering only vintages with more than 30 ratings outstanding at the beginning of 2018, the highest upgrade rate was in the 2012 vintage, where CLO transactions in particular are now amortizing, increasing the relative credit enhancement for the rated securities and therefore raising their creditworthiness, all else being equal.

Finally, all 14 of the defaults in U.S. structured credit were on securities that we rated in the 'CCC' or 'CC' categories at the beginning of the year.

Chart 14

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Chart 15

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Table 4

U.S. Structured Credit Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 2,997 96.0 2.8 1.1 0.5 14 73.6 7.7 18.6 4.0
Subsector

U.S. structured credit CLO

2,603 96.4 3.0 0.7 0.0 0 79.5 13.6 6.9 0.1
U.S. structured credit SF CDO 136 85.3 4.4 10.3 10.3 14 56.7 1.9 41.5 13.0
U.S. structured credit other 258 98.4 0.8 0.8 0.0 0 80.6 5.7 13.7 1.4
Vintage
Pre-2000 18 100.0 0.0 0.0 0.0 0 94.8 1.4 3.9 0.5
2000 7 100.0 0.0 0.0 0.0 0 88.6 3.6 7.8 0.8
2001 2 100.0 0.0 0.0 0.0 0 87.8 3.4 8.9 0.9
2002 8 100.0 0.0 0.0 0.0 0 84.4 3.7 11.9 1.4
2003 28 100.0 0.0 0.0 0.0 0 79.6 6.4 14.0 1.7
2004 30 83.3 6.7 10.0 10.0 3 73.3 7.1 19.6 2.9
2005 50 94.0 4.0 2.0 2.0 1 67.2 7.8 24.9 4.9
2006 104 86.5 7.7 5.8 3.8 4 59.8 10.3 29.9 7.5
2007 114 94.7 0.0 5.3 5.3 6 56.0 13.2 30.8 8.5
2008 25 88.0 12.0 0.0 0.0 0 67.1 14.4 18.5 2.3
2009 4 75.0 25.0 0.0 0.0 0 60.1 25.5 14.4 2.3
2010 6 83.3 16.7 0.0 0.0 0 88.8 5.1 6.2 0.4
2011 11 100.0 0.0 0.0 0.0 0 85.0 14.9 0.1 0.0
2012 36 75.0 16.7 8.3 0.0 0 91.8 7.8 0.4 0.0
2013 288 87.5 10.8 1.7 0.0 0 94.3 5.3 0.4 0.0
2014 264 94.3 1.9 3.8 0.0 0 96.7 2.6 0.7 0.0
2015 196 100.0 0.0 0.0 0.0 0 97.6 2.4 0.0 0.0
2016 498 99.4 0.6 0.0 0.0 0 98.7 1.3 0.0 0.0
2017 1,308 98.2 1.8 0.0 0.0 0 98.2 1.8 0.0 0.0
Rating category
AAA 791 100.0 0.0 0.0 0.0 0 88.9 0.0 11.1 0.5
AA 569 94.4 5.6 0.0 0.0 0 69.5 15.0 15.5 0.7
A 475 95.4 4.6 0.0 0.0 0 71.0 11.9 17.1 0.7
BBB 442 96.2 3.6 0.2 0.0 0 67.3 11.1 21.6 0.8
BB 407 96.1 2.0 2.0 0.0 0 66.8 11.9 21.3 1.0
B 178 92.7 1.7 5.6 0.0 0 58.1 15.7 26.2 1.6
CCC 89 86.5 2.2 11.2 10.1 9 60.9 10.5 28.7 11.0
CC 46 84.8 4.3 10.9 10.9 5 61.1 0.2 38.7 38.7
Rating grade
Investment-grade 2,277 96.9 3.1 0.0 0.0 0 78.0 7.1 14.9 0.6
Speculative-grade 720 93.3 2.1 4.6 1.9 14 62.4 9.3 28.3 12.9
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance. Source: S&P Global Fixed Income Research.
U.S. ABS

Credit performance for the U.S. ABS sector was positive in 2018, with the upgrade rate rising to an all-time high of 12.8%, up from 12.3% a year earlier (see chart 16). The downgrade and default rates remained relatively unchanged at only 1.3% and 0.1%, respectively. As a result, the annual average change in credit quality for 2018 reached a new high of +0.36 notches.

The U.S. ABS default rate has historically remained very low, especially relative to some other sectors such as U.S. RMBS and U.S. structured credit. The 12-month trailing default rate peaked at only 1.6% in mid-2003, and has remained less than 0.5% since early 2008, even despite the financial crisis that severely affected other sectors (see chart 17, noting the separate y-axis scales).

In terms of downgrades and defaults, the U.S. ABS subsector with the weakest credit performance in 2018 was once again the manufactured housing segment, where we lowered 9.2% of our ratings during the year and the default rate was 2.1% (see table 5).

A relatively large number of downgrades were in the 2001 and earlier vintages, where downgrade rates exceeded their one-year weighted averages. However, the largest downgrade rate of 32.8% came from the 2008 vintage, due to rating actions on a number of related student loan transactions. Of the six defaults on U.S. ABS in 2018, five were on securities that were rated in the 'CC' category at the beginning of the year, while the remaining default was from the 'B' category.

Chart 16

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Chart 17

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Table 5

U.S. ABS Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 4,557 85.9 12.8 1.3 0.1 6 90.0 4.3 5.7 0.4
Subsector
U.S. ABS student loans 1,538 91.7 5.9 2.3 0.0 0 92.5 2.3 5.2 0.1
U.S. ABS auto 1,321 73.9 26.0 0.1 0.0 0 88.2 10.4 1.4 0.0
U.S. ABS nontraditional 282 99.3 0.4 0.4 0.0 0 79.7 2.7 17.6 0.2
U.S. ABS tobacco settlement 261 88.1 11.1 0.8 0.0 0 84.6 5.8 9.6 0.0
U.S. ABS credit card 248 94.0 6.0 0.0 0.0 0 95.5 2.9 1.6 0.1
U.S. ABS manufactured housing 142 72.5 18.3 9.2 2.1 3 82.4 2.3 15.3 2.3
U.S. ABS timeshare 111 98.2 1.8 0.0 0.0 0 96.8 1.9 1.3 0.0
U.S. ABS other 654 87.5 11.8 0.8 0.5 3 90.2 3.0 6.8 0.9
Vintage
Pre-2000 70 68.6 27.1 4.3 1.4 1 94.5 1.3 4.3 0.6
2000 27 81.5 0.0 18.5 3.7 1 87.9 2.3 9.8 1.2
2001 30 63.3 20.0 16.7 6.7 2 89.3 2.7 8.0 0.8
2002 75 86.7 10.7 2.7 1.3 1 90.6 2.9 6.5 0.4
2003 113 96.5 2.7 0.9 0.0 0 93.2 2.5 4.3 0.0
2004 117 92.3 7.7 0.0 0.0 0 90.3 4.5 5.2 0.1
2005 172 90.7 7.0 2.3 0.0 0 88.9 4.4 6.6 0.1
2006 198 94.4 3.0 2.5 0.5 1 83.9 5.0 11.1 0.3
2007 293 95.2 2.0 2.7 0.0 0 79.5 5.2 15.3 0.2
2008 64 67.2 0.0 32.8 0.0 0 85.5 7.7 6.7 0.2
2009 86 69.8 30.2 0.0 0.0 0 92.1 5.3 2.6 0.0
2010 127 92.9 7.1 0.0 0.0 0 90.4 6.9 2.6 0.0
2011 78 93.6 6.4 0.0 0.0 0 88.4 11.4 0.2 0.0
2012 156 92.3 7.7 0.0 0.0 0 89.0 10.8 0.2 0.0
2013 286 94.8 4.9 0.3 0.0 0 87.3 12.2 0.5 0.0
2014 386 88.9 10.6 0.5 0.0 0 85.6 14.1 0.3 0.0
2015 636 78.9 21.1 0.0 0.0 0 82.6 17.0 0.4 0.0
2016 749 77.2 22.7 0.1 0.0 0 85.4 14.3 0.3 0.0
2017 894 88.3 11.7 0.0 0.0 0 88.3 11.7 0.0 0.0
Rating category
AAA 1,464 99.7 0.0 0.3 0.0 0 96.4 0.0 3.6 0.0
AA 1,198 83.1 15.6 1.3 0.0 0 84.9 8.8 6.2 0.0
A 908 78.3 20.4 1.3 0.0 0 84.4 8.6 7.0 0.1
BBB 546 77.8 22.0 0.2 0.0 0 83.1 10.9 6.0 0.3
BB 160 57.5 40.6 1.9 0.0 0 74.6 11.4 14.0 1.2
B 105 70.5 25.7 3.8 1.0 1 72.5 5.9 21.6 3.9
CCC 98 86.7 1.0 12.2 0.0 0 76.2 0.6 23.1 10.0
CC 78 93.6 0.0 6.4 6.4 5 83.0 0.2 16.9 16.9
Rating grade
Investment-grade 4,116 87.2 12.0 0.8 0.0 0 91.0 4.2 4.9 0.0
Speculative-grade 441 73.5 21.1 5.4 1.4 6 75.2 6.3 18.5 5.5
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.
U.S. CMBS

U.S. CMBS credit performance in 2018 remained positive on aggregate, but with fewer upgrades than in the previous year. The upgrade rate slipped to 5.9% from 12.2% a year earlier, although the downgrade rate also declined, to 3.8% from 5.4%. At 1.8%, the annual default rate marked a 10-year low and a level not seen since before the start of the financial crisis in 2008 when the default rate was 0.29% (see chart 18). The 12-month trailing average change in credit quality decreased during 2018 to +0.05 notches at the end of the year, compared with an average +0.36 notches at the end of the previous year.

The U.S. CMBS sector saw defaults peak later than in some other sectors—such as U.S. RMBS—with the 12-month trailing default rate peaking at 15.9% in September 2011, rather than some years earlier (see chart 19). While the U.S. CMBS default rate has fluctuated since 2014, it ended 2018 at close to post-crisis lows.

In terms of downgrade and defaults, by far the weakest 2018 credit performance in U.S. CMBS was in the conduit/fusion subsector, which saw a default rate of 4.0%, compared with 0.5% for the large loan/floaters subsector and 0.1% for the single borrower subsector (see table 6). In fact, the conduit/fusion subsector accounted for 44 of the 46 U.S. CMBS defaults that occurred during 2018. The conduit/fusion subsector's default rate was also above its one-year weighted average of 3.8%, but all U.S. CMBS subsectors saw below-average downgrade rates in 2018.

Downgrade and default rates were most elevated in the 2006-2008 vintages, which were exposed to collateral originated with relatively lower lending standards before the financial crisis and subsequent falling real estate values, and where some loans are now reaching maturity with borrowers unable to refinance, leading to loan defaults. Most U.S. CMBS defaults in 2018 occurred on securities that we rated in the 'B' and 'CCC' categories at the beginning of the year.

Chart 18

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Chart 19

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Table 6

U.S. CMBS Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 2,522 90.3 5.9 3.8 1.8 46 81.6 6.2 12.3 3.3
Subsector
U.S. CMBS conduit/fusion 1,104 85.4 8.4 6.2 4.0 44 80.8 6.2 13.0 3.8
U.S. CMBS single borrower 1,103 94.7 4.1 1.3 0.1 1 92.2 5.4 2.4 0.0
U.S. CMBS large loan/floaters 222 95.5 3.2 1.4 0.5 1 82.0 8.6 9.4 1.3
U.S. CMBS other 93 83.9 3.2 12.9 0.0 0 74.6 3.7 21.7 5.3
Vintage
Pre-2000 25 92.0 8.0 0.0 0.0 0 87.4 9.0 3.6 0.6
2000 12 66.7 25.0 8.3 8.3 1 82.9 8.9 8.2 2.0
2001 14 100.0 0.0 0.0 0.0 0 83.4 9.1 7.6 2.1
2002 15 93.3 6.7 0.0 0.0 0 84.5 9.5 5.9 1.7
2003 32 78.1 12.5 9.4 0.0 0 86.9 7.2 5.9 1.7
2004 105 81.0 17.1 1.9 1.0 1 86.0 5.0 9.0 2.8
2005 144 79.2 9.7 11.1 6.3 9 79.8 4.0 16.2 4.3
2006 85 70.6 14.1 15.3 10.6 9 73.1 2.7 24.2 6.9
2007 145 80.0 7.6 12.4 10.3 15 65.2 3.9 31.0 8.4
2008 51 82.4 0.0 17.6 17.6 9 61.9 5.5 32.6 8.2
2009 9 77.8 0.0 22.2 0.0 0 81.8 10.1 8.2 0.6
2010 41 75.6 9.8 14.6 0.0 0 89.0 7.7 3.3 0.0
2011 41 70.7 26.8 2.4 0.0 0 84.4 13.5 2.0 0.3
2012 133 88.0 3.8 8.3 0.0 0 94.3 4.2 1.5 0.1
2013 281 86.1 10.3 3.6 0.0 0 93.5 5.6 0.9 0.0
2014 237 92.8 5.9 1.3 0.8 2 93.4 4.2 2.4 0.1
2015 325 96.6 3.4 0.0 0.0 0 96.0 3.8 0.2 0.0
2016 270 98.5 0.7 0.7 0.0 0 99.3 0.4 0.4 0.0
2017 557 98.7 1.3 0.0 0.0 0 98.7 1.3 0.0 0.0
Rating category
AAA 689 98.8 0.0 1.2 0.0 0 97.4 0.0 2.6 0.0
AA 437 92.9 6.9 0.2 0.0 0 80.7 12.1 7.2 0.1
A 347 86.5 12.7 0.9 0.0 0 78.0 12.5 9.6 0.1
BBB 359 86.6 7.2 6.1 0.0 0 75.9 11.0 13.1 0.4
BB 316 89.6 5.4 5.1 1.6 5 74.4 8.0 17.6 1.7
B 303 86.1 7.3 6.6 5.0 15 70.6 4.6 24.8 7.0
CCC 71 49.3 12.7 38.0 36.6 26 51.9 3.0 45.1 37.8
CC 0 N/A N/A N/A N/A N/A 52.2 0.0 47.8 47.8
Rating grade
Investment-grade 1,832 92.7 5.5 1.9 0.0 0 86.9 6.4 6.7 0.1
Speculative-grade 690 83.9 7.0 9.1 6.7 46 68.2 5.6 26.1 11.3
*Including defaults. N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.
Europe

Compared with some of the U.S. sectors, European structured finance credit performance has historically been more positive, although the sector did suffer from elevated default rates after 2007 and an aggregate decline in ratings that was at its most severe in 2009.

In 2018, European structured finance credit performance was broadly positive, as in the previous year. The upgrade rate was 15.6%, which marked a retreat from an all-time high of 22.3% in 2017. However, the downgrade rate also declined to an 11-year low of 2.3% from 3.8% a year earlier (see chart 20). The average change in credit quality was +0.27 notches, down from 0.35 notches at year-end 2017. The default rate also indicated improving credit performance, declining to 0.7% from 1.0% a year earlier (see chart 21).

The European structured finance sector includes a diverse array of subsectors. In terms of defaults, CMBS was once again the worst-performing European structured finance subsector in 2018, although it is also small, constituting only about 5% of our European structured finance ratings outstanding at the beginning of 2018. Of the 26 defaults in European structured finance in 2018, 15 (58%) were in CMBS, giving that sector a default rate of 8.4% for the year, well above its one-year average of 3.0% (see table 7).

All subsectors of European RMBS saw unusually high upgrade rates, ranging from 16.6% for the nonconforming subsector to 31.1% for prime transactions. These widespread upgrades were partly due to country risk considerations that affected several transactions at the same time: in early 2018, we upgraded several Spanish RMBS tranches after we raised our long-term sovereign rating on Spain to 'A-' from 'BBB+', given economic growth and budgetary consolidation.

European consumer ABS saw an unusually high upgrade rate of 37.3% in 2018, making it the best-performing sector in the region, with no downgrade or default activity, although this subsector only accounted for 59 ratings at the beginning of 2018.

Subsectors that saw the most stress during the financial crisis of 2008-2009—such as structured finance CDOs—have now largely seen negative credit performance play out. While the structured finance CDO subsector has the highest one-year weighted-average downgrade rate (23.8%) among the European subsectors in table 7, the 2018 downgrade rate was well below this average, at 5.2%.

CLOs are now one of the largest European subsectors by ratings outstanding and generally performed well in 2018, with a downgrade rate of 0.9% and an upgrade rate of 2.2%. As in the U.S., however, the European CLO upgrade rate has trended significantly lower than in the past few years, as many transactions undergo refinancing rather than entering their amortization periods, when upgrades would otherwise be most likely to occur. The CLO sector also saw four defaults in 2018, giving a default rate of 0.5%.

European structured finance downgrades in 2018 were concentrated in the 2005-2007 vintages, with generally higher downgrade rates at the lowest rating categories (that is, 'CCC' and 'CC'). The investment-grade downgrade rate was 1.4%, compared with a speculative-grade downgrade rate of 4.9%.

All of the defaults were from deeply speculative-grade rating levels. More than half of the European structured finance defaults in 2018 were in CMBS transactions structured shortly pre-crisis, which were most affected by the lower lending standards applied at the height of the credit boom and subsequent declines in real estate values, and which have now reached maturity in an environment of more subdued lending volumes and real estate values.

Chart 20

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Chart 21

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Table 7

European Structured Finance Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 3,591 82.1 15.6 2.3 0.7 26 77.2 7.6 15.2 1.0
Subsector
Europe RMBS prime 790 67.8 31.3 0.9 0.3 2 82.4 5.8 11.8 0.5
Europe RMBS nonconforming 639 82.6 16.6 0.8 0.0 0 76.0 9.6 14.4 0.1
Europe RMBS other 235 77.9 22.1 0.0 0.0 0 79.6 8.0 12.4 0.2
Europe structured credit CLO 820 97.0 2.2 0.9 0.5 4 72.1 16.7 11.3 0.2
Europe structured credit SF CDO 153 85.0 9.8 5.2 2.6 4 67.2 6.0 26.8 5.0
Europe structured credit other 339 77.9 18.3 3.8 0.3 1 74.3 6.8 18.9 1.4
Europe CMBS 178 79.8 6.2 14.0 8.4 15 74.1 3.6 22.3 3.0
Europe ABS auto 195 91.3 8.7 0.0 0.0 0 90.8 6.2 3.0 0.3
Europe ABS nontraditional 67 76.1 0.0 23.9 0.0 0 81.7 2.7 15.6 0.9
Europe ABS consumer 59 62.7 37.3 0.0 0.0 0 87.9 5.7 6.5 0.1
Europe ABS credit card 47 100.0 0.0 0.0 0.0 0 95.8 1.7 2.5 0.0
Europe ABS other 46 80.4 19.6 0.0 0.0 0 87.0 4.3 8.7 0.0
Europe single-name synthetics 23 95.7 0.0 4.3 0.0 0 81.9 3.8 14.3 0.5
Vintage
Pre-2000 14 71.4 28.6 0.0 0.0 0 90.6 2.4 7.0 0.1
2000 5 60.0 40.0 0.0 0.0 0 91.4 5.1 3.5 0.3
2001 14 64.3 21.4 14.3 0.0 0 87.6 5.1 7.3 0.3
2002 28 57.1 32.1 10.7 0.0 0 88.4 5.8 5.8 0.3
2003 67 52.2 44.8 3.0 3.0 2 86.1 6.3 7.6 0.4
2004 162 72.8 25.3 1.9 0.6 1 81.0 7.2 11.9 0.3
2005 255 74.5 19.6 5.9 0.4 1 74.8 7.5 17.8 1.1
2006 506 72.3 23.7 4.0 1.0 5 69.7 8.5 21.7 1.9
2007 661 74.9 21.2 3.9 2.3 15 66.3 10.4 23.2 2.1
2008 114 86.0 9.6 4.4 1.8 2 75.0 6.8 18.2 0.9
2009 41 75.6 24.4 0.0 0.0 0 75.0 9.4 15.6 0.6
2010 65 89.2 9.2 1.5 0.0 0 76.7 9.9 13.5 0.3
2011 40 77.5 20.0 2.5 0.0 0 81.4 7.6 10.9 0.0
2012 70 87.1 12.9 0.0 0.0 0 87.2 5.8 7.0 0.1
2013 116 87.1 12.1 0.9 0.0 0 91.1 6.4 2.5 0.1
2014 192 85.4 14.1 0.5 0.0 0 88.7 8.3 3.0 0.0
2015 253 88.1 11.9 0.0 0.0 0 89.7 9.3 1.0 0.1
2016 382 89.5 9.9 0.5 0.0 0 93.4 5.7 0.9 0.0
2017 606 98.8 1.2 0.0 0.0 0 98.8 1.2 0.0 0.0
Rating category
AAA 589 100.0 0.0 0.0 0.0 0 89.7 0.0 10.3 0.1
AA 632 80.4 19.3 0.3 0.0 0 73.5 9.0 17.5 0.1
A 960 82.9 15.6 1.5 0.0 0 74.3 10.5 15.1 0.1
BBB 538 72.7 23.0 4.3 0.0 0 74.1 10.8 15.1 0.3
BB 315 75.6 22.9 1.6 0.0 0 67.5 12.6 19.8 0.6
B 340 80.9 17.9 1.2 0.0 0 65.1 14.5 20.4 2.2
CCC 182 68.1 14.8 17.0 12.6 23 67.0 11.5 21.5 10.7
CC 35 82.9 8.6 8.6 8.6 3 65.3 1.7 33.1 32.8
Rating grade
Investment-grade 2,719 84.0 14.6 1.4 0.0 0 79.7 6.4 13.9 0.1
Speculative-grade 872 76.4 18.7 4.9 3.0 26 66.6 12.5 20.9 4.9
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance. Source: S&P Global Fixed Income Research.
Other regions

Outside the U.S. and Europe, most of the structured finance ratings included in this study and still outstanding at the beginning of 2018 were on Japanese and Australian RMBS. However, we also have ratings outstanding on securities from a wide range of sectors in Canada, Latin America, and other emerging markets and parts of Asia.

This mixed collection of securities exhibited broadly positive credit performance on aggregate in 2018, with the upgrade rate of 6.1% exceeding the downgrade rate of 2.6%, and no defaults (see chart 22). In general, the structured finance default rate outside Europe and the U.S. has historically been highest in Japan, but has since settled to a level well below the global average (see chart 23).

The two largest sectors outside the U.S. and Europe—Japanese and Australian RMBS—performed well in 2018, with no defaults. There were no downgrades for Japanese RMBS and only a modest downgrade rate of 3.2% for Australian RMBS (see table 8). Latin American securities exhibited the highest downgrade rate, at 22.4%, due to our downgrade of the Brazilian sovereign in January 2018. That said, we only had 49 global scale ratings outstanding on Latin American structured finance securities at the beginning of 2018.

Chart 22

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Chart 23

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Table 8

Other Region Structured Finance Transition And Default Summary
2018 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 1,598 91.3 6.1 2.6 0.0 0 89.3 5.5 5.2 0.5
Subsector
Australasia RMBS 873 89.7 7.1 3.2 0.0 0 93.3 3.6 3.0 0.0
Australasia ABS 75 77.3 22.7 0.0 0.0 0 87.5 8.1 4.5 0.1
Australasia other 12 91.7 0.0 8.3 0.0 0 85.6 4.6 9.8 0.7
Japan RMBS 424 99.1 0.9 0.0 0.0 0 90.4 9.2 0.4 0.0
Japan other 18 100.0 0.0 0.0 0.0 0 87.6 3.7 8.6 1.4
Canada CMBS 22 72.7 27.3 0.0 0.0 0 91.6 7.7 0.7 0.0
Canada other 55 100.0 0.0 0.0 0.0 0 94.2 2.4 3.4 0.4
Latin america 49 71.4 6.1 22.4 0.0 0 72.6 11.3 16.1 0.9
Emerging markets 68 89.7 7.4 2.9 0.0 0 74.5 12.0 13.4 0.1
Asia (ex-Japan) 2 100.0 0.0 0.0 0.0 0 83.9 4.0 12.0 1.9
Vintage
Pre-2000 4 100.0 0.0 0.0 0.0 0 95.7 2.2 2.1 0.1
2000 4 100.0 0.0 0.0 0.0 0 95.5 3.2 1.4 0.1
2001 11 100.0 0.0 0.0 0.0 0 96.1 2.5 1.4 0.0
2002 17 82.4 0.0 17.6 0.0 0 93.1 4.6 2.3 0.1
2003 31 93.5 0.0 6.5 0.0 0 91.9 5.9 2.1 0.1
2004 45 82.2 6.7 11.1 0.0 0 90.9 5.8 3.3 0.0
2005 59 94.9 0.0 5.1 0.0 0 85.5 6.2 8.3 0.4
2006 88 94.3 0.0 5.7 0.0 0 81.9 8.7 9.5 1.4
2007 84 88.1 7.1 4.8 0.0 0 81.3 6.7 12.1 1.5
2008 57 94.7 1.8 3.5 0.0 0 84.1 3.5 12.5 2.4
2009 82 98.8 0.0 1.2 0.0 0 93.3 4.6 2.0 0.1
2010 70 95.7 2.9 1.4 0.0 0 92.9 4.4 2.7 0.0
2011 86 95.3 0.0 4.7 0.0 0 93.9 3.2 2.9 0.1
2012 68 94.1 5.9 0.0 0.0 0 94.1 4.6 1.4 0.0
2013 138 95.7 1.4 2.9 0.0 0 89.5 8.0 2.6 0.0
2014 130 94.6 3.1 2.3 0.0 0 89.6 7.9 2.5 0.0
2015 151 94.0 4.0 2.0 0.0 0 85.2 12.1 2.7 0.0
2016 160 69.4 29.4 1.3 0.0 0 80.4 17.2 2.4 0.0
2017 313 93.0 7.0 0.0 0.0 0 93.0 7.0 0.0 0.0
Rating category
AAA 993 99.9 0.0 0.1 0.0 0 98.7 0.0 1.3 0.0
AA 206 77.7 17.5 4.9 0.0 0 79.3 11.9 8.7 0.1
A 190 77.4 12.6 10.0 0.0 0 76.7 14.3 9.0 0.3
BBB 104 76.0 14.4 9.6 0.0 0 76.2 14.8 9.0 0.2
BB 82 82.9 14.6 2.4 0.0 0 78.0 11.0 11.0 0.1
B 18 61.1 38.9 0.0 0.0 0 75.1 10.0 14.9 1.1
CCC 5 40.0 60.0 0.0 0.0 0 48.4 11.3 40.3 25.7
CC 0 N/A N/A N/A N/A N/A 41.8 7.5 50.7 49.3
Rating grade
Investment-grade 1,493 92.3 5.0 2.7 0.0 0 90.8 5.0 4.2 0.1
Speculative-grade 105 77.1 21.0 1.9 0.0 0 71.2 10.7 18.1 5.8
*Including defaults. N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Appendix I: Terminology, Data Selection, And Calculation Approaches

This Appendix discusses the data and calculations, and explains the terminology we use in this report.

This global structured finance default and ratings transition study uses our database of long-term, global-scale issue credit ratings. We do not include national and regional scale ratings, such as those we may assign in Argentina, Brazil, Mexico, and Taiwan, for example, which are not comparable among countries. The analysis also excludes public information ("pi") ratings, issuer credit ratings, and short-term issue ratings, such as those on asset-backed commercial paper (ABCP) conduits.

Our ongoing enhancement of the database used to generate this study occasionally leads to changes in the reported statistics from one edition of the study to the next. However, each study includes statistics for previous years, ensuring that the study is self-consistent and effectively supersedes all previous editions.

Issues included in this study

The study analyzes the rating histories of 232,708 global structured finance instruments that S&P Global Ratings first rated from 1973 until Dec. 31, 2018. 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 sectors further into subsectors.

Sector definitions

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.

RMBS includes transactions backed by subprime mortgage loans, as well as home equity loan transactions and re-REMICS. Structured credit includes CLOs, both cash and synthetic CDOs backed by exposures to corporate credit and/or other structured finance securities, as well as market-value CDOs and other leveraged funds. We include transactions backed by loans to small and midsize enterprises (SMEs) in the structured credit sector.

CMBS also includes re-REMICS, as well as some CDOs primarily collateralized by commercial real estate loans (CRE CDOs). 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 no longer include structured covered bonds, which we previously treated as a separate sector.

Region definitions

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 is backed by assets from more than one country.

In table 1 of the study, the "Asia (excl. Japan)" region includes transactions with collateral from Hong Kong, Singapore, Korea, and Taiwan, as well as other countries in the region. The "other emerging markets" region includes emerging market countries that are not included in other regions, such as Turkey and South Africa.

Vintage definition

In this report, we classify a security's vintage based on the date when we first assigned a rating. Usually this is close to the security's original issuance date. However, in some cases we may first assign a rating to a security some time after closing.

Rating transitions

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 of 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 2018 transition rates by determining the ratings on each security outstanding at the start of 2018 and determining the ratings on those same securities at the end of 2018. 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 if 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.

Rating modifiers

We use rating modifiers ('+' and '-') to calculate the upgrade, downgrade, and stability rates quoted in the text, tables, and charts throughout this study. However, the transition matrices in Appendix II of this report show only 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 transition statistics we cite in this report. However, in the corresponding transition matrices, these transitions would appear in the cells corresponding to a stable rating category classification, such as 'AA' to 'AA', or 'BBB' to 'BBB'.

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' (the "NR-included" approach), or—for some other analyses—we may classify the transition as a move to the last "non-NR" rating before withdrawal or discontinuance (the "NR-adjusted" approach). 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 include the ratings history of all securities whose original rating was 'AAA', which we term the "uncollapsed" approach. This represents a change in methodology compared with previous editions of our global structured finance default and rating transitions study published before 2018. In these previous editions, for each structured finance transaction, we generally only included one of the securities that we originally rated 'AAA', terming this the "collapsed" approach. This was because historically some transactions had a disproportionate number of 'AAA'-rated tranches that were likely to exhibit similar or identical credit performance. By including only one such security per transaction we aimed to avoid overweighting their behavior in aggregate performance statistics. However, we now include all securities' rating histories, regardless of their original rating, for completeness and consistency with some of our other reporting on ratings performance, for example, in regulatory submissions. The effects on some example summary statistics of altering the treatment of 'AAA' ratings are shown in Appendix III.

Treatment of 'D' ratings

Counts of defaults and default rate statistics in this report are based on securities whose ratings we lowered to 'D'. For the purposes of this report, when a security's rating has moved to 'D', we consider this a terminal state and do not, for example, include such a security in any transition windows that start on a subsequent date. In practice, however, some securities whose ratings have migrated to 'D' may later once again be assigned a different rating. This can occur, for example, if the defaulted security is subsequently restructured to different terms, such as a lower coupon. In these cases, we treat the security's post-default rating history as if it were a new security, beginning from the date that the rating changed from 'D'. Where we segment statistics by vintage, however, we continue to base the vintage on the date we originally assigned a rating to the security.

Average change in credit quality calculation

Certain analyses in this study refer to the "average change 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 (for example, a particular region or sector). 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 credit performance of, for example, a given sector, since it combines the relative number of ratings undergoing transition with the severity of that transition.

Weighted-average transition and default rate calculation

For weighted-average transition rates (including default rates), we calculate the individual transition rates for different static pools. We then calculate a single averaged transition rate, weighted by the number of ratings in each static pool. We use this technique, for example, to determine the five-year weighted-average transition rates by analyzing the transition rates for different static pools over different five-year periods and then aggregating them.

Average cumulative default rate calculation

In this report, we also calculate and present average cumulative default rates (CDRs) for different time horizons. For example, table 2 shows that the one-year average cumulative default rate for 'A'-rated global structured finance has been 0.44% and the three-year average has been 6.57%.

We first consider the static pool of ratings at the beginning of each calendar year. For each static pool, we calculate the marginal default rates for each calendar year after the static pool's formation. These one-year marginal default rates are "conditional on survival". For example, the marginal default rate for the third year is the number of defaults during the third year, divided by the number of ratings from the static pool that had "survived" (i.e., not moved to 'D') by the beginning of the third year. We then average the marginal default rates for each time horizon across static pools, weighting by the number of surviving ratings at the beginning of each time horizon, to give an average marginal default rate per time horizon, as well as average marginal survival rates (equal to one minus the average marginal default rate). Finally, the average cumulative default rate to each time horizon is calculated as one minus the product of marginal survival rates up to that time horizon.

We note that this approach differs from the calculations we use in constructing the weighted-average multiyear default and transition rates included elsewhere in this study (and as described above), where default rates are not conditional on survival.

Gini coefficient calculation

We calculate Gini coefficients as one way to quantify our ratings' rank-ordering power of creditworthiness, based on observed default rates.

We first construct a Lorenz curve, which plots the cumulative proportion of all structured finance ratings per rating level on the x-axis, against the cumulative proportion of defaults per rating level on the y-axis (see chart 24). For both axes of the Lorenz curve, the observations are ordered from the low end of the ratings scale ('C') to the high end ('AAA').

Chart 24

image

If our structured finance ratings only randomly approximated default propensity, the Lorenz curve would fall along the diagonal, shown as the "random curve" in chart 24. On the other hand, if all defaults only occurred among the lowest-rated securities, with no defaults among the higher-rated securities, the Lorenz curve would lie along the line shown as the "ideal curve" in chart 24. Typically, the observed Lorenz curve falls between the "ideal" and "random" curves, and we use the Gini coefficient as a summary statistic to quantify its proximity to the "ideal" curve.

The procedure for calculating the Gini coefficient is illustrated in chart 24. Area B is bounded by the random curve and the Lorenz curve, while area A is bounded by the Lorenz curve and the ideal curve. The Gini coefficient is defined as area B divided by the sum of area A and area B. The Gini coefficient can therefore range between 0% (if the Lorenz curve follows the random curve) and 100% (if the Lorenz curve follows the ideal curve). In general, therefore, the higher the Gini coefficient, the greater the link between our ratings and the securities' observed default propensity.

Appendix II: Detailed Default And Transition Statistics

Tables 9-52 provide various default and transition rate statistics for global structured finance securities and major sectors.

Global structured finance

Table 9

Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.06 0.33 1.07 2.33 3.69 4.72 5.45 5.96 6.35 6.65
AA 0.25 1.88 4.53 7.02 9.14 10.90 12.29 13.44 14.41 15.25
A 0.44 3.05 6.57 9.78 12.49 14.80 16.76 18.45 19.88 21.16
BBB 1.06 5.51 10.83 15.75 19.91 23.37 26.09 28.24 29.93 31.32
BB 2.20 8.67 15.04 20.98 25.90 29.92 33.13 35.72 37.86 39.65
B 4.81 14.43 22.91 30.96 37.00 41.19 44.69 47.60 50.08 52.08
CCC 15.77 29.96 40.88 47.46 51.46 54.25 56.11 57.22 57.92 58.50
CC 42.09 61.56 73.09 78.18 80.80 82.39 83.34 83.83 84.14 84.14
IG 0.26 1.53 3.44 5.54 7.48 9.01 10.17 11.05 11.74 12.30
SG 15.39 27.87 37.34 43.77 48.14 51.27 53.65 55.46 56.97 58.29
Overall 3.86 7.73 11.33 14.35 16.74 18.52 19.83 20.79 21.53 22.11
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 10

Global Structured Finance One-Year Default Rates, 1976-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1976 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A
1977 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A
1978 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A
1979 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A
1988 0.11 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1993 0.01 0.00 2.56 0.00 0.00 0.00 0.00 0.00 5.88 0.00 N/A
1994 0.01 0.00 0.78 0.00 0.00 0.00 0.00 0.00 1.82 0.00 N/A
1995 0.12 0.01 8.66 0.00 0.00 0.00 0.31 0.93 0.93 45.45 33.33
1996 0.06 0.01 3.09 0.00 0.00 0.09 0.00 1.17 0.00 18.52 100.00
1997 0.04 0.00 1.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45
1998 0.12 0.05 2.43 0.00 0.00 0.70 0.13 0.84 2.21 12.50 33.33
1999 0.05 0.00 1.33 0.00 0.00 0.06 0.00 0.00 1.39 15.79 30.77
2000 0.05 0.00 1.18 0.00 0.00 0.00 0.07 0.47 1.85 4.55 6.25
2001 0.16 0.04 2.76 0.01 0.00 0.09 0.42 0.65 2.79 31.91 15.00
2002 0.36 0.05 5.66 0.00 0.04 0.14 0.52 1.87 8.27 29.55 13.64
2003 0.34 0.06 4.17 0.00 0.00 0.07 0.52 0.92 2.29 34.78 15.69
2004 0.20 0.02 2.24 0.00 0.00 0.00 0.14 0.72 2.19 14.72 11.11
2005 0.17 0.01 1.77 0.00 0.00 0.00 0.06 0.19 1.33 11.44 23.53
2006 0.13 0.01 1.24 0.00 0.00 0.00 0.08 0.26 0.47 17.13 18.28
2007 0.39 0.12 3.00 0.01 0.06 0.11 0.61 2.37 1.41 22.22 24.18
2008 2.64 0.70 15.97 0.33 0.66 1.04 2.00 4.78 11.77 57.15 27.11
2009 10.74 1.54 34.58 0.22 1.37 2.88 5.71 9.14 16.03 49.04 64.57
2010 8.34 0.53 17.50 0.14 0.50 0.71 1.84 2.59 5.25 16.08 38.30
2011 10.28 0.14 21.41 0.10 0.12 0.07 0.43 1.02 5.46 13.46 51.93
2012 11.46 0.10 23.06 0.04 0.13 0.05 0.32 0.66 1.46 19.59 44.79
2013 6.92 0.07 14.52 0.00 0.05 0.07 0.22 0.64 1.32 8.90 37.59
2014 4.29 0.01 9.23 0.00 0.04 0.00 0.02 0.17 1.33 7.43 28.08
2015 3.97 0.06 8.75 0.00 0.11 0.08 0.08 0.48 1.43 8.89 27.38
2016 3.02 0.12 6.91 0.00 0.27 0.07 0.19 0.22 1.26 5.91 30.58
2017 2.12 0.15 4.94 0.01 0.08 0.23 0.36 1.11 1.38 5.64 17.17
2018 1.87 0.01 4.71 0.00 0.00 0.00 0.06 0.26 1.05 6.24 14.06
Weighted-average 3.86 0.26 15.39 0.06 0.25 0.44 1.06 2.20 4.81 15.77 42.09
Median 0.06 0.00 2.76 0.00 0.00 0.00 0.08 0.47 1.40 10.17 27.73
Std. dev. 3.17 0.26 9.84 0.06 0.25 0.48 1.06 8.47 3.66 15.41 20.23
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.25
Maximum 11.46 1.54 40.00 0.33 1.37 2.88 5.71 50.00 16.03 57.15 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 11

Global Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 98.50 1.38 0.05 0.02 0.02 0.05 0.00 0.00 0.00 0.00
AA 9.77 88.44 1.25 0.36 0.16 0.02 0.00 0.00 0.00 0.00
A 5.16 11.93 79.12 2.46 0.99 0.29 0.04 0.00 0.00 0.00
BBB 2.37 8.99 12.34 72.15 2.96 0.99 0.14 0.00 0.00 0.06
BB 0.94 3.36 6.42 10.28 72.86 5.10 0.72 0.04 0.00 0.26
B 0.26 0.49 2.32 6.67 9.07 75.70 4.31 0.11 0.00 1.05
CCC 0.04 0.07 0.22 0.50 1.14 4.73 71.33 15.73 0.00 6.24
CC 0.00 0.09 0.00 0.09 0.09 1.21 2.16 82.31 0.00 14.06
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 92.79 2.05 1.16 0.90 0.68 0.99 1.22 0.14 0.00 0.06
AA 5.13 81.76 3.54 2.22 1.66 1.79 2.97 0.68 0.01 0.25
A 1.48 4.78 78.83 4.30 2.39 2.18 4.22 1.38 0.00 0.44
BBB 0.66 1.55 4.02 74.62 4.82 4.29 6.38 2.59 0.00 1.06
BB 0.20 0.51 1.45 4.39 68.21 8.37 10.43 4.22 0.01 2.20
B 0.07 0.15 0.39 1.19 3.57 62.77 20.32 6.71 0.01 4.81
CCC 0.01 0.02 0.04 0.17 0.56 1.68 68.42 13.33 0.01 15.77
CC 0.00 0.01 0.01 0.02 0.07 0.20 1.16 56.43 0.00 42.09
C 0.00 0.00 0.00 0.00 0.00 0.00 2.06 0.00 59.79 38.14
Two-year weighted-average
AAA 86.51 3.28 1.82 1.43 1.06 1.38 3.65 0.53 0.00 0.33
AA 9.21 68.20 5.14 3.10 2.45 2.65 5.16 2.19 0.01 1.89
A 3.26 7.86 63.92 5.90 3.29 3.19 5.97 3.55 0.00 3.07
BBB 1.54 2.92 6.50 58.01 6.17 5.41 8.24 5.67 0.00 5.54
BB 0.46 1.13 2.68 7.01 50.81 10.18 11.95 7.03 0.02 8.74
B 0.12 0.38 0.82 2.23 5.67 45.66 20.44 10.10 0.00 14.57
CCC 0.01 0.05 0.10 0.37 1.03 2.72 52.56 12.72 0.01 30.43
CC 0.00 0.01 0.02 0.04 0.10 0.33 2.25 35.35 0.00 61.90
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 47.42 50.52
Three-year weighted-average
AAA 81.85 4.25 2.35 1.76 1.29 1.48 4.50 1.46 0.00 1.07
AA 12.11 58.62 5.97 3.65 2.81 3.30 5.90 3.02 0.02 4.61
A 4.93 9.41 53.73 6.63 3.77 3.71 6.66 4.47 0.00 6.69
BBB 2.51 3.95 7.49 46.76 6.58 5.82 8.94 6.92 0.00 11.02
BB 0.77 1.71 3.62 8.24 39.98 10.22 12.38 7.66 0.02 15.40
B 0.24 0.64 1.21 2.97 6.43 35.38 20.48 9.09 0.00 23.57
CCC 0.03 0.11 0.19 0.57 1.36 3.15 42.25 9.85 0.00 42.49
CC 0.00 0.01 0.03 0.05 0.14 0.38 3.16 22.33 0.00 73.90
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 35.05 62.89
Four-year weighted-average
AAA 78.31 5.03 2.83 2.09 1.51 1.65 4.42 1.80 0.00 2.35
AA 13.92 51.50 6.45 3.93 3.17 3.85 6.60 3.28 0.02 7.28
A 6.28 9.83 46.71 6.74 3.93 4.02 7.26 5.06 0.00 10.18
BBB 3.27 4.52 7.55 39.32 6.40 5.86 9.11 7.64 0.00 16.33
BB 1.08 2.18 4.14 8.22 32.93 9.72 12.19 7.49 0.02 22.01
B 0.35 0.85 1.49 3.39 6.31 28.08 19.59 7.31 0.00 32.63
CCC 0.05 0.15 0.28 0.74 1.54 3.12 35.33 7.76 0.00 51.02
CC 0.00 0.02 0.04 0.06 0.17 0.45 3.67 15.94 0.00 79.66
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 22.68 75.26
Five-year weighted-average
AAA 75.89 5.59 3.17 2.35 1.65 1.75 4.13 1.73 0.00 3.74
AA 15.05 46.35 6.70 4.02 3.51 4.30 7.03 3.27 0.02 9.75
A 7.43 9.64 41.82 6.43 3.92 4.19 8.13 5.05 0.00 13.38
BBB 3.85 4.87 7.20 34.54 5.95 5.63 9.14 7.67 0.00 21.15
BB 1.29 2.57 4.41 7.89 27.79 9.20 11.76 7.01 0.02 28.04
B 0.42 0.94 1.71 3.53 6.03 22.29 18.14 6.59 0.00 40.37
CCC 0.06 0.19 0.35 0.84 1.61 2.96 29.71 6.81 0.00 57.47
CC 0.00 0.02 0.05 0.07 0.20 0.46 3.38 12.31 0.00 83.51
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 10.31 87.63
10-year weighted-average
AAA 73.10 5.56 3.39 2.51 1.85 1.78 3.49 0.95 0.00 7.36
AA 16.31 36.09 5.36 3.43 3.49 4.46 9.13 1.90 0.00 19.82
A 8.80 8.10 33.04 4.14 2.85 3.24 9.56 3.20 0.00 27.07
BBB 4.36 4.35 5.52 27.19 3.61 3.65 7.55 4.59 0.01 39.17
BB 1.39 2.21 3.03 5.40 18.75 5.02 7.05 4.79 0.02 52.35
B 0.53 0.59 0.98 1.88 3.59 11.52 4.88 5.55 0.00 70.48
CCC 0.05 0.08 0.14 0.19 0.23 0.60 7.14 3.89 0.00 87.68
CC 0.00 0.01 0.00 0.09 0.13 0.12 0.11 3.91 0.00 95.63
C 0.00 0.00 0.00 0.00 5.13 0.00 0.00 0.00 5.13 89.74
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 12

Global Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 74.22 1.28 0.05 0.02 0.02 0.03 0.00 0.00 0.00 0.00 24.40
AA 7.79 73.01 1.20 0.36 0.16 0.02 0.00 0.00 0.00 0.00 17.46
A 4.10 11.45 63.08 2.25 0.95 0.17 0.04 0.00 0.00 0.00 17.95
BBB 1.86 8.65 11.92 57.02 2.90 0.76 0.14 0.00 0.00 0.06 16.69
BB 0.76 3.14 6.24 9.90 56.16 4.54 0.72 0.04 0.00 0.26 18.25
B 0.15 0.49 2.25 6.60 8.59 60.93 4.20 0.11 0.00 1.05 15.64
CCC 0.00 0.03 0.20 0.47 1.11 4.63 66.67 15.73 0.00 6.24 4.92
CC 0.00 0.00 0.00 0.09 0.09 1.12 2.07 78.69 0.00 14.06 3.88
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 79.59 1.98 1.13 0.87 0.66 0.98 1.20 0.14 0.00 0.06 13.39
AA 4.44 72.90 3.40 2.13 1.62 1.76 2.93 0.67 0.01 0.25 9.89
A 1.18 4.46 70.53 4.18 2.34 2.13 4.18 1.37 0.00 0.44 9.17
BBB 0.54 1.37 3.75 67.21 4.68 4.18 6.30 2.58 0.00 1.06 8.34
BB 0.15 0.43 1.28 4.10 61.71 8.12 10.24 4.20 0.01 2.20 7.55
B 0.05 0.13 0.35 1.07 3.35 57.88 19.80 6.68 0.01 4.81 5.88
CCC 0.01 0.02 0.04 0.15 0.52 1.60 64.20 12.74 0.01 15.77 4.95
CC 0.00 0.00 0.01 0.02 0.06 0.19 1.14 54.11 0.00 42.09 2.38
C 0.00 0.00 0.00 0.00 0.00 0.00 2.06 0.00 57.73 38.14 2.06
Two-year weighted-average
AAA 61.57 2.96 1.67 1.31 0.97 1.30 3.43 0.48 0.00 0.33 25.97
AA 6.48 52.67 4.69 2.82 2.31 2.54 4.97 2.15 0.01 1.89 19.48
A 2.14 6.45 49.26 5.46 3.11 3.06 5.77 3.49 0.00 3.07 18.20
BBB 1.08 2.20 5.43 44.89 5.68 5.11 7.89 5.57 0.00 5.54 16.64
BB 0.31 0.82 1.99 5.84 39.83 9.39 11.32 6.81 0.02 8.74 14.95
B 0.08 0.29 0.60 1.78 4.77 37.71 19.05 9.62 0.00 14.57 11.54
CCC 0.01 0.03 0.08 0.29 0.86 2.38 45.90 11.81 0.01 30.43 8.20
CC 0.00 0.01 0.01 0.02 0.07 0.28 2.14 31.54 0.00 61.90 4.03
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 43.30 50.52 4.12
Three-year weighted-average
AAA 47.21 3.55 2.03 1.50 1.11 1.29 4.01 1.30 0.00 1.07 36.94
AA 6.95 38.31 5.11 3.13 2.55 3.07 5.52 2.94 0.02 4.61 27.81
A 2.62 6.76 34.28 5.77 3.39 3.46 6.28 4.35 0.00 6.69 26.40
BBB 1.48 2.53 5.55 29.65 5.65 5.24 8.27 6.71 0.00 11.02 23.89
BB 0.42 1.04 2.29 6.08 26.26 8.88 11.25 7.20 0.02 15.40 21.17
B 0.13 0.43 0.76 2.04 4.75 25.76 18.14 8.37 0.00 23.57 16.04
CCC 0.01 0.07 0.15 0.40 0.99 2.46 34.07 8.62 0.00 42.49 10.76
CC 0.00 0.01 0.01 0.03 0.08 0.30 2.88 17.52 0.00 73.90 5.26
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 28.87 62.89 6.19
Four-year weighted-average
AAA 35.93 3.88 2.31 1.68 1.21 1.36 3.73 1.55 0.00 2.35 45.99
AA 6.64 27.64 5.13 3.12 2.76 3.47 5.94 3.10 0.02 7.28 34.90
A 2.85 6.14 23.80 5.39 3.33 3.60 6.63 4.83 0.00 10.18 33.25
BBB 1.62 2.52 4.91 19.51 5.02 4.92 8.01 7.27 0.00 16.33 29.88
BB 0.51 1.17 2.27 5.29 17.54 7.84 10.45 6.82 0.01 22.01 26.10
B 0.19 0.54 0.84 2.08 4.07 17.68 16.50 6.33 0.00 32.63 19.15
CCC 0.03 0.09 0.17 0.44 0.93 2.12 26.14 6.22 0.00 51.02 12.84
CC 0.00 0.01 0.01 0.04 0.09 0.35 3.21 10.51 0.00 79.66 6.12
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 14.43 75.26 8.25
Five-year weighted-average
AAA 27.29 3.95 2.41 1.76 1.21 1.33 3.29 1.42 0.00 3.74 53.61
AA 5.99 19.91 4.88 2.94 2.92 3.72 6.04 2.98 0.02 9.75 40.85
A 2.99 5.18 16.32 4.70 3.07 3.56 7.19 4.74 0.00 13.38 38.89
BBB 1.61 2.42 4.05 12.88 4.16 4.35 7.60 7.11 0.00 21.15 34.67
BB 0.48 1.23 2.11 4.33 11.67 6.91 9.35 6.08 0.01 28.04 29.79
B 0.21 0.53 0.84 1.91 3.42 11.79 14.32 5.30 0.00 40.37 21.31
CCC 0.03 0.10 0.17 0.39 0.77 1.73 20.05 4.95 0.00 57.47 14.34
CC 0.00 0.01 0.02 0.05 0.11 0.34 2.83 6.65 0.00 83.51 6.48
C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 0.00 87.63 10.31
10-year weighted-average
AAA 6.13 2.72 1.88 1.29 0.90 0.96 2.18 0.40 0.00 7.36 76.19
AA 1.93 3.85 2.11 1.68 2.27 3.02 6.56 1.19 0.00 19.82 57.56
A 0.69 1.47 2.84 1.49 1.22 1.89 6.92 2.34 0.00 27.07 54.07
BBB 0.43 0.67 0.97 2.01 1.08 1.40 4.05 2.88 0.00 39.17 47.34
BB 0.12 0.41 0.51 1.01 1.49 1.65 2.72 2.36 0.00 52.35 37.37
B 0.12 0.17 0.17 0.31 0.63 1.52 1.88 2.43 0.00 70.48 22.29
CCC 0.01 0.01 0.03 0.08 0.04 0.14 0.91 1.65 0.00 87.68 9.44
CC 0.00 0.00 0.00 0.09 0.04 0.01 0.07 0.34 0.00 95.63 3.82
C 0.00 0.00 0.00 0.00 5.13 0.00 0.00 0.00 0.00 89.74 5.13
N/A--Not applicable. Source: S&P Global Fixed Income Research.
U.S. RMBS

Table 13

U.S. RMBS Cumulative Default Rates, Conditional On Survival, 1976-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.03 0.29 1.21 2.80 4.55 5.88 6.85 7.53 8.05 8.44
AA 0.28 2.83 7.08 10.81 13.88 16.46 18.57 20.35 21.82 23.08
A 0.72 5.90 12.74 18.35 22.95 27.05 30.73 33.93 36.66 39.10
BBB 1.74 9.80 18.90 26.37 32.51 37.82 42.16 45.62 48.37 50.64
BB 3.32 13.53 22.29 30.09 36.52 41.96 46.29 49.81 52.68 55.09
B 5.14 16.34 25.46 34.40 40.96 45.30 48.93 51.85 54.24 56.38
CCC 15.22 29.85 41.75 49.16 53.89 57.30 59.63 60.97 61.72 62.45
CC 43.03 61.72 72.31 77.98 80.86 82.60 83.67 84.14 84.44 84.44
IG 0.29 2.05 4.71 7.45 9.97 12.00 13.54 14.72 15.64 16.37
SG 17.72 31.95 42.50 49.87 54.82 58.38 61.07 63.08 64.72 66.37
Overall 4.93 9.90 14.48 18.24 21.21 23.43 25.06 26.25 27.16 27.86
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 14

U.S. RMBS One-Year Default Rates, 1976-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1976 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1977 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1978 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1979 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1985 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A
1988 0.12 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1995 0.14 0.01 11.17 0.00 0.00 0.00 0.57 1.37 1.23 51.85 33.33
1996 0.04 0.00 2.41 0.00 0.00 0.00 0.00 0.91 0.00 5.26 100.00
1997 0.05 0.00 2.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45
1998 0.09 0.01 3.99 0.00 0.00 0.00 0.32 0.62 3.66 20.00 33.33
1999 0.05 0.00 2.19 0.00 0.00 0.00 0.00 0.00 2.37 20.00 25.00
2000 0.07 0.01 2.39 0.00 0.00 0.00 0.20 1.23 3.00 9.09 7.14
2001 0.11 0.00 4.11 0.00 0.00 0.00 0.00 1.20 3.28 42.11 16.67
2002 0.09 0.00 2.59 0.00 0.00 0.00 0.00 0.81 3.29 13.04 13.33
2003 0.19 0.02 3.35 0.00 0.00 0.08 0.36 0.15 1.34 64.15 12.50
2004 0.11 0.01 1.55 0.00 0.00 0.00 0.12 0.68 1.69 37.50 20.00
2005 0.09 0.01 1.03 0.00 0.00 0.00 0.10 0.32 1.38 53.85 0.00
2006 0.09 0.02 0.84 0.00 0.00 0.00 0.14 0.41 0.59 43.24 0.00
2007 0.48 0.16 4.02 0.00 0.02 0.17 0.93 4.07 1.91 50.57 0.00
2008 3.24 0.36 22.18 0.00 0.13 0.61 2.33 6.82 15.63 64.89 0.00
2009 15.21 2.22 44.14 0.21 1.90 5.26 10.90 15.23 19.29 57.01 82.23
2010 10.91 0.80 19.42 0.21 0.80 1.47 3.36 1.97 2.47 14.98 44.47
2011 10.20 0.15 18.53 0.10 0.17 0.07 0.50 0.23 1.30 9.62 43.83
2012 16.68 0.13 27.33 0.06 0.25 0.05 0.39 0.42 0.34 20.03 45.97
2013 10.28 0.11 17.00 0.00 0.10 0.07 0.33 0.73 0.79 7.49 38.36
2014 6.27 0.03 10.26 0.00 0.08 0.00 0.04 0.09 0.66 6.16 28.37
2015 6.11 0.15 10.05 0.00 0.24 0.19 0.12 0.72 0.88 8.57 27.98
2016 4.66 0.26 7.83 0.00 0.51 0.12 0.36 0.21 1.06 5.24 31.89
2017 3.16 0.36 5.21 0.04 0.18 0.57 0.80 1.67 0.66 5.02 17.64
2018 2.94 0.03 5.10 0.00 0.00 0.00 0.14 0.15 0.70 5.76 15.00
Weighted-average 4.93 0.29 17.72 0.03 0.28 0.72 1.74 3.32 5.14 15.22 43.03
Median 0.07 0.00 2.59 0.00 0.00 0.00 0.12 0.32 1.06 8.83 26.49
Std. dev. 4.29 0.36 11.20 0.05 0.33 0.87 1.99 8.71 4.36 21.99 24.63
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 16.68 2.22 44.14 0.21 1.90 5.26 10.90 50.00 19.29 64.89 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 15

U.S. RMBS Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 95.95 3.91 0.05 0.05 0.05 0.00 0.00 0.00 0.00 0.00
AA 10.64 86.89 1.28 0.82 0.37 0.00 0.00 0.00 0.00 0.00
A 7.73 20.97 64.05 4.47 1.96 0.71 0.11 0.00 0.00 0.00
BBB 3.86 18.54 18.94 50.14 6.02 2.17 0.20 0.00 0.00 0.14
BB 1.41 6.15 11.26 12.22 58.81 8.96 1.04 0.00 0.00 0.15
B 0.29 0.47 3.17 9.44 10.73 69.56 5.57 0.06 0.00 0.70
CCC 0.05 0.08 0.20 0.43 1.09 4.75 70.99 16.65 0.00 5.76
CC 0.00 0.10 0.00 0.10 0.10 1.00 2.40 81.30 0.00 15.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 92.15 1.66 1.19 1.05 0.83 1.34 1.65 0.10 0.00 0.03
AA 3.29 80.60 2.69 2.37 2.21 2.81 4.92 0.82 0.00 0.28
A 1.08 3.48 73.16 3.87 3.17 3.59 8.51 2.42 0.00 0.72
BBB 0.36 1.53 2.68 68.62 4.89 5.72 10.10 4.36 0.00 1.74
BB 0.15 0.55 1.58 3.09 60.89 9.56 13.81 7.05 0.00 3.32
B 0.03 0.12 0.35 1.10 2.54 56.74 24.25 9.73 0.00 5.14
CCC 0.01 0.02 0.03 0.12 0.32 0.99 68.43 14.85 0.01 15.22
CC 0.00 0.00 0.01 0.02 0.06 0.22 1.34 55.30 0.00 43.03
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Two-year weighted-average
AAA 85.22 2.61 1.74 1.58 1.23 1.82 4.94 0.59 0.00 0.29
AA 5.99 65.88 3.78 3.27 3.08 3.93 7.96 3.28 0.00 2.84
A 2.27 5.71 55.10 4.66 3.95 4.73 11.09 6.57 0.00 5.92
BBB 0.80 2.59 4.33 49.60 5.49 6.06 11.56 9.71 0.00 9.84
BB 0.30 1.08 2.58 4.79 42.33 10.31 13.19 11.79 0.01 13.63
B 0.08 0.27 0.64 1.85 4.01 39.61 22.22 14.82 0.00 16.50
CCC 0.01 0.03 0.08 0.23 0.53 1.58 53.21 13.93 0.01 30.39
CC 0.00 0.01 0.02 0.04 0.09 0.34 2.63 34.78 0.00 62.08
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Three-year weighted-average
AAA 80.16 3.35 2.18 1.92 1.47 1.87 6.00 1.83 0.00 1.22
AA 8.14 55.26 4.20 3.78 3.45 4.70 8.66 4.62 0.00 7.18
A 3.36 7.08 42.26 4.85 4.32 5.37 11.68 8.14 0.00 12.93
BBB 1.32 3.29 5.12 36.54 5.22 6.05 11.67 11.61 0.00 19.17
BB 0.47 1.54 3.27 5.59 31.00 9.51 12.99 12.77 0.00 22.86
B 0.16 0.46 0.90 2.35 4.68 29.25 22.65 13.29 0.00 26.26
CCC 0.02 0.07 0.13 0.30 0.68 1.90 42.62 10.67 0.00 43.62
CC 0.00 0.01 0.03 0.05 0.12 0.41 3.71 22.50 0.00 73.17
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Four-year weighted-average
AAA 76.22 4.09 2.64 2.33 1.72 2.04 5.80 2.35 0.00 2.80
AA 9.62 46.61 4.40 4.06 4.01 5.45 9.57 5.14 0.01 11.15
A 4.08 7.31 32.80 4.58 4.35 5.88 12.44 9.53 0.01 19.02
BBB 1.73 3.49 5.04 27.34 4.60 5.85 11.47 13.24 0.00 27.25
BB 0.71 1.92 3.41 5.18 23.26 8.42 12.85 12.58 0.00 31.67
B 0.23 0.63 1.13 2.59 4.45 21.87 22.17 10.57 0.00 36.36
CCC 0.04 0.08 0.16 0.34 0.73 1.80 35.24 8.22 0.00 53.38
CC 0.00 0.01 0.03 0.07 0.15 0.50 4.34 15.44 0.00 79.45
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Five-year weighted-average
AAA 73.50 4.69 2.98 2.64 1.89 2.13 5.34 2.26 0.00 4.57
AA 10.73 40.06 4.41 4.15 4.50 6.08 10.24 5.19 0.00 14.65
A 4.72 6.66 26.01 4.13 4.30 6.06 13.94 9.77 0.01 24.40
BBB 2.03 3.55 4.44 21.30 3.88 5.35 11.35 13.67 0.00 34.43
BB 0.84 2.14 3.39 4.59 17.63 7.35 12.49 11.84 0.00 39.72
B 0.26 0.66 1.23 2.65 4.15 16.38 20.50 9.36 0.00 44.81
CCC 0.04 0.09 0.18 0.34 0.70 1.64 29.01 7.03 0.00 60.98
CC 0.00 0.02 0.05 0.08 0.19 0.52 4.03 11.55 0.00 83.57
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
10-year weighted-average
AAA 70.39 5.09 3.21 2.69 2.10 2.10 4.30 1.11 0.00 9.00
AA 14.59 26.12 2.99 2.72 4.13 6.11 12.93 2.48 0.00 27.94
A 5.56 4.00 14.15 1.43 2.19 4.16 16.19 5.41 0.00 46.91
BBB 2.21 2.29 2.08 13.02 1.21 2.29 8.94 7.53 0.00 60.43
BB 0.82 1.44 2.11 2.67 8.37 1.64 5.01 6.94 0.00 70.97
B 0.28 0.25 0.71 1.72 2.52 7.82 2.81 7.29 0.00 76.58
CCC 0.01 0.03 0.03 0.11 0.06 0.11 2.71 2.26 0.00 94.68
CC 0.00 0.00 0.00 0.15 0.08 0.04 0.10 2.93 0.00 96.69
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 16

U.S. RMBS Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 81.95 3.58 0.05 0.05 0.05 0.00 0.00 0.00 0.00 0.00 14.33
AA 8.70 76.70 1.28 0.82 0.37 0.00 0.00 0.00 0.00 0.00 12.12
A 6.32 20.70 53.98 4.14 1.85 0.38 0.11 0.00 0.00 0.00 12.53
BBB 3.38 17.93 18.47 43.03 5.95 1.69 0.20 0.00 0.00 0.14 9.20
BB 1.19 5.78 11.11 11.85 51.48 8.15 1.04 0.00 0.00 0.15 9.26
B 0.18 0.47 3.11 9.33 10.32 59.88 5.45 0.06 0.00 0.70 10.50
CCC 0.00 0.03 0.18 0.42 1.08 4.67 67.10 16.65 0.00 5.76 4.10
CC 0.00 0.00 0.00 0.10 0.10 1.00 2.30 77.70 0.00 15.00 3.80
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 80.37 1.62 1.18 1.02 0.81 1.33 1.64 0.10 0.00 0.03 11.91
AA 2.97 74.93 2.64 2.31 2.18 2.76 4.89 0.81 0.00 0.28 6.22
A 0.92 3.38 68.65 3.81 3.13 3.53 8.45 2.42 0.00 0.72 5.00
BBB 0.31 1.41 2.58 64.10 4.78 5.58 10.02 4.35 0.00 1.74 5.14
BB 0.14 0.52 1.45 2.99 56.64 9.25 13.61 7.03 0.00 3.32 5.05
B 0.02 0.12 0.32 1.03 2.48 53.10 23.70 9.68 0.00 5.14 4.40
CCC 0.01 0.01 0.03 0.12 0.31 0.98 65.41 14.22 0.01 15.22 3.68
CC 0.00 0.00 0.01 0.02 0.06 0.21 1.32 53.54 0.00 43.03 1.80
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Two-year weighted-average
AAA 62.75 2.40 1.64 1.47 1.14 1.71 4.65 0.52 0.00 0.29 23.43
AA 4.59 55.86 3.60 3.11 2.98 3.76 7.79 3.21 0.00 2.84 12.26
A 1.64 5.06 47.31 4.44 3.78 4.59 10.78 6.44 0.00 5.92 10.02
BBB 0.57 2.13 3.89 41.61 5.13 5.73 11.23 9.53 0.00 9.84 10.34
BB 0.24 0.95 2.09 4.29 35.43 9.45 12.69 11.41 0.01 13.63 9.82
B 0.06 0.25 0.54 1.59 3.66 33.82 20.81 14.07 0.00 16.50 8.69
CCC 0.01 0.02 0.07 0.20 0.49 1.53 48.76 13.11 0.01 30.39 5.41
CC 0.00 0.00 0.01 0.02 0.06 0.30 2.51 31.95 0.00 62.08 3.06
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Three-year weighted-average
AAA 48.71 2.91 1.96 1.69 1.28 1.64 5.36 1.60 0.00 1.22 33.65
AA 5.28 41.96 3.85 3.50 3.27 4.39 8.36 4.50 0.00 7.18 17.71
A 2.04 5.80 32.24 4.43 3.99 5.12 11.21 7.94 0.00 12.93 14.31
BBB 0.83 2.40 4.29 26.31 4.55 5.49 11.13 11.29 0.00 19.17 14.54
BB 0.32 1.20 2.40 4.62 22.61 8.15 12.12 12.10 0.00 22.86 13.63
B 0.11 0.39 0.71 1.82 3.95 22.28 20.36 12.30 0.00 26.26 11.81
CCC 0.01 0.04 0.10 0.25 0.60 1.79 37.53 9.64 0.00 43.62 6.41
CC 0.00 0.01 0.02 0.03 0.08 0.33 3.40 18.91 0.00 73.17 4.07
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Four-year weighted-average
AAA 37.49 3.33 2.28 1.95 1.41 1.69 4.95 2.01 0.00 2.80 42.10
AA 5.40 30.91 3.89 3.61 3.72 4.98 9.08 4.93 0.01 11.15 22.32
A 2.21 5.53 21.30 3.95 3.85 5.49 11.76 9.22 0.01 19.02 17.66
BBB 1.00 2.34 3.88 15.89 3.66 4.99 10.62 12.72 0.00 27.25 17.64
BB 0.45 1.39 2.30 3.88 14.23 6.66 11.56 11.65 0.00 31.67 16.22
B 0.15 0.53 0.86 1.89 3.45 14.41 19.34 9.30 0.00 36.36 13.70
CCC 0.03 0.05 0.13 0.28 0.62 1.65 29.83 6.97 0.00 53.38 7.05
CC 0.00 0.01 0.02 0.04 0.09 0.40 3.81 11.34 0.00 79.45 4.83
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Five-year weighted-average
AAA 28.70 3.57 2.44 2.08 1.43 1.63 4.34 1.88 0.00 4.57 49.37
AA 5.22 22.64 3.74 3.57 4.10 5.39 9.47 4.89 0.00 14.65 26.34
A 2.25 4.55 13.59 3.41 3.68 5.51 12.94 9.37 0.01 24.40 20.31
BBB 1.07 2.19 3.09 9.13 2.82 4.27 10.16 12.90 0.00 34.43 19.95
BB 0.47 1.40 2.11 3.07 8.46 5.40 10.75 10.54 0.00 39.72 18.06
B 0.17 0.53 0.88 1.80 2.91 8.93 17.13 7.72 0.00 44.81 15.12
CCC 0.03 0.06 0.13 0.27 0.57 1.47 23.55 5.52 0.00 60.98 7.42
CC 0.00 0.01 0.03 0.06 0.12 0.40 3.39 7.23 0.00 83.57 5.19
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
10-year weighted-average
AAA 6.34 3.09 2.17 1.62 1.15 1.20 2.88 0.51 0.00 9.00 72.04
AA 2.51 4.32 1.81 2.12 3.52 4.74 10.61 1.84 0.00 27.94 40.59
A 0.65 0.98 1.79 0.92 1.51 3.05 13.39 4.39 0.00 46.91 26.40
BBB 0.31 0.26 0.32 0.69 0.57 1.08 6.25 5.08 0.00 60.43 25.01
BB 0.03 0.17 0.14 0.27 0.49 0.46 2.78 3.73 0.00 70.97 20.96
B 0.02 0.03 0.03 0.14 0.18 0.49 1.28 3.30 0.00 76.58 17.94
CCC 0.01 0.01 0.03 0.07 0.03 0.08 0.85 0.81 0.00 94.68 3.45
CC 0.00 0.00 0.00 0.15 0.06 0.02 0.10 0.42 0.00 96.69 2.55
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
N/A--Not applicable. Source: S&P Global Fixed Income Research.
U.S. structured credit

Table 17

U.S. Structured Credit Cumulative Default Rates, Conditional On Survival, 1985-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.52 1.69 2.83 5.09 6.72 7.66 8.06 8.31 8.44 8.52
AA 0.67 2.40 4.27 7.18 9.56 11.10 11.80 12.26 12.66 12.89
A 0.68 1.97 3.73 7.32 10.43 12.19 13.00 13.53 14.03 14.54
BBB 0.78 2.29 4.65 9.25 13.38 16.44 18.54 20.08 21.41 22.27
BB 0.96 3.00 6.11 9.69 12.79 14.60 16.05 17.27 18.38 19.56
B 1.64 5.30 10.39 14.61 16.89 18.43 20.07 21.81 23.27 24.72
CCC 11.00 21.41 28.78 31.93 33.44 34.47 35.40 36.14 36.95 37.27
CC 38.74 63.64 81.11 82.97 84.15 85.09 85.62 86.16 86.51 86.51
IG 0.63 1.99 3.60 6.62 9.08 10.63 11.43 11.98 12.40 12.68
SG 12.85 23.03 31.25 34.41 36.49 37.84 38.96 39.94 40.81 41.64
Overall 4.05 7.88 11.34 14.40 16.75 18.24 19.11 19.74 20.22 20.56
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 18

U.S. Structured Credit One-Year Default Rates, 1985-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1985 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1991 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1996 0.43 0.22 100.00 0.00 0.00 6.67 0.00 100.00 N/A N/A N/A
1997 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2002 0.14 0.00 1.26 0.00 0.00 0.00 0.00 0.00 1.92 12.50 0.00
2003 0.17 0.00 1.26 0.00 0.00 0.00 0.00 0.00 1.56 7.84 0.00
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2005 0.15 0.00 1.24 0.00 0.00 0.00 0.00 0.00 0.00 6.25 6.67
2006 0.10 0.00 0.86 0.00 0.00 0.00 0.00 0.00 0.00 3.28 7.04
2007 0.17 0.06 1.11 0.05 0.12 0.06 0.06 0.12 0.00 0.00 15.28
2008 4.28 3.59 9.05 3.19 3.87 4.03 3.93 5.13 7.69 19.08 28.21
2009 7.15 1.17 17.34 0.71 1.94 1.03 1.63 2.16 4.87 19.39 27.29
2010 4.64 0.35 8.87 0.05 0.24 0.43 0.93 1.61 3.68 8.56 14.74
2011 23.21 0.14 39.78 0.00 0.15 0.35 0.11 0.24 1.04 15.15 85.59
2012 3.30 0.00 7.24 0.00 0.00 0.00 0.00 0.25 0.87 11.85 12.28
2013 1.40 0.00 3.62 0.00 0.00 0.00 0.00 0.13 0.21 5.39 14.94
2014 1.74 0.00 5.04 0.00 0.00 0.00 0.00 0.28 0.47 9.08 20.71
2015 0.83 0.00 2.65 0.00 0.00 0.00 0.00 0.14 0.00 1.81 24.83
2016 0.39 0.00 1.47 0.00 0.00 0.00 0.00 0.00 0.00 3.54 18.37
2017 0.52 0.00 2.05 0.00 0.00 0.00 0.00 0.00 0.40 4.35 25.53
2018 0.47 0.00 1.94 0.00 0.00 0.00 0.00 0.00 0.00 10.11 10.87
Weighted-average 4.05 0.62 12.87 0.51 0.67 0.68 0.78 0.96 1.69 11.03 38.75
Median 0.05 0.00 1.25 0.00 0.00 0.00 0.00 0.00 0.10 6.25 14.94
Std. dev. 4.18 0.64 19.87 0.56 0.74 1.36 0.83 18.86 2.04 6.21 19.68
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 23.21 3.59 100.00 3.19 3.87 6.67 3.93 100.00 7.69 19.39 85.59
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 19

U.S. Structured Credit Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 5.10 94.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.42 4.21 95.37 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.23 0.00 2.26 97.51 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.25 0.74 97.79 1.23 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.56 0.56 96.07 1.69 1.12 0.00 0.00
CCC 0.00 0.00 0.00 1.12 1.12 0.00 86.52 1.12 0.00 10.11
CC 0.00 0.00 0.00 0.00 0.00 4.35 0.00 84.78 0.00 10.87
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 88.85 4.29 1.49 1.13 1.02 0.67 0.88 1.14 0.00 0.52
AA 10.35 75.86 4.03 2.74 1.59 0.92 1.76 2.08 0.00 0.67
A 1.37 7.57 75.11 5.93 3.17 1.69 1.91 2.57 0.00 0.68
BBB 0.36 1.43 5.99 72.51 5.55 3.59 6.17 3.62 0.00 0.78
BB 0.07 0.24 1.42 6.77 71.47 5.03 10.06 3.98 0.00 0.96
B 0.06 0.09 0.55 2.67 9.35 62.73 16.39 6.52 0.00 1.64
CCC 0.00 0.02 0.01 0.60 2.72 5.55 68.22 11.88 0.00 11.00
CC 0.00 0.00 0.00 0.01 0.08 0.06 0.05 61.06 0.00 38.74
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 80.29 6.94 2.20 1.65 1.75 1.17 2.34 1.97 0.00 1.70
AA 18.51 59.08 5.52 3.21 2.06 1.45 4.19 3.55 0.00 2.42
A 4.10 11.37 58.70 7.92 3.95 2.42 4.42 5.12 0.00 1.99
BBB 1.17 3.48 8.93 55.36 7.26 4.74 9.67 7.07 0.00 2.32
BB 0.30 0.92 3.27 10.53 55.68 6.15 13.84 6.27 0.00 3.04
B 0.19 0.40 1.66 5.81 14.13 46.83 17.74 7.90 0.00 5.35
CCC 0.01 0.04 0.17 1.64 5.12 8.89 50.18 12.52 0.00 21.41
CC 0.00 0.00 0.00 0.04 0.16 0.10 0.06 35.91 0.00 63.74
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 74.39 8.94 2.66 1.90 1.99 1.29 3.03 2.91 0.00 2.89
AA 24.75 47.53 6.06 3.36 2.36 1.88 5.34 4.31 0.00 4.40
A 7.10 12.50 48.48 8.86 4.20 2.73 5.87 6.44 0.00 3.83
BBB 2.38 5.19 9.43 44.44 8.62 5.35 10.80 9.04 0.00 4.75
BB 0.59 1.73 4.98 11.78 46.03 7.25 14.59 6.75 0.00 6.29
B 0.50 0.88 3.00 7.98 14.50 38.42 17.36 6.68 0.00 10.68
CCC 0.07 0.11 0.55 2.77 6.46 9.71 41.65 9.68 0.00 29.00
CC 0.00 0.00 0.01 0.04 0.18 0.09 0.09 18.35 0.00 81.25
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 70.91 9.77 2.79 2.00 2.13 1.45 3.29 2.44 0.00 5.24
AA 29.19 40.15 5.70 3.42 2.60 2.06 5.46 3.87 0.00 7.55
A 10.54 12.15 42.26 8.53 4.16 2.85 6.38 5.54 0.00 7.60
BBB 3.57 6.58 8.99 38.01 8.67 5.60 11.01 8.03 0.00 9.55
BB 0.92 2.65 6.50 11.50 39.99 7.88 14.27 6.09 0.00 10.23
B 0.86 1.26 4.20 9.67 13.78 32.15 17.04 5.46 0.00 15.58
CCC 0.12 0.25 0.95 3.68 7.02 9.86 36.60 8.91 0.00 32.60
CC 0.00 0.00 0.02 0.01 0.21 0.07 0.09 16.29 0.00 83.30
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 69.50 9.43 2.80 2.04 2.17 1.56 3.37 2.09 0.00 7.05
AA 32.21 35.60 4.70 3.53 2.69 2.18 5.30 3.41 0.00 10.39
A 13.36 12.09 38.14 7.52 3.87 2.78 6.88 4.25 0.00 11.12
BBB 4.85 7.13 8.51 34.21 8.15 5.36 11.05 6.59 0.00 14.18
BB 1.29 3.51 7.37 11.25 35.35 8.50 13.17 5.52 0.00 14.05
B 1.15 1.71 5.77 10.16 13.07 26.28 16.80 5.77 0.00 19.27
CCC 0.18 0.34 1.34 4.19 7.33 9.73 32.97 8.62 0.00 35.30
CC 0.00 0.00 0.02 0.00 0.22 0.06 0.06 14.40 0.00 85.23
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 68.99 5.84 3.19 2.51 2.23 1.51 2.86 2.24 0.00 10.63
AA 21.60 31.31 3.98 4.52 3.52 2.64 6.23 4.13 0.00 22.07
A 14.30 10.92 30.44 4.62 4.36 2.35 8.16 3.84 0.00 21.01
BBB 3.30 4.64 7.63 28.92 5.99 5.23 9.75 4.39 0.00 30.15
BB 0.52 1.92 3.63 7.37 31.22 9.30 10.88 6.15 0.00 29.00
B 1.15 0.79 1.22 1.43 2.36 18.25 15.75 7.44 0.00 51.61
CCC 0.06 0.00 0.13 0.26 0.51 0.83 17.14 6.61 0.00 74.45
CC 0.00 0.00 0.00 0.00 0.23 0.00 0.00 4.28 0.00 95.49
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 20

U.S. Structured Credit Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 50.44 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 49.56
AA 3.51 48.51 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 47.98
A 0.00 2.95 54.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 42.11
BBB 0.00 0.00 1.81 57.01 0.00 0.00 0.00 0.00 0.00 0.00 41.18
BB 0.00 0.00 0.25 0.49 56.76 0.74 0.00 0.00 0.00 0.00 41.77
B 0.00 0.00 0.00 0.56 0.56 47.75 1.12 1.12 0.00 0.00 48.88
CCC 0.00 0.00 0.00 0.00 0.00 0.00 57.30 1.12 0.00 10.11 31.46
CC 0.00 0.00 0.00 0.00 0.00 4.35 0.00 78.26 0.00 10.87 6.52
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 74.86 4.18 1.41 1.06 0.96 0.65 0.88 1.14 0.00 0.52 14.34
AA 8.63 64.01 3.95 2.61 1.52 0.89 1.69 2.06 0.00 0.67 13.96
A 0.96 6.76 63.45 5.86 3.08 1.64 1.84 2.56 0.00 0.68 13.17
BBB 0.24 1.02 5.31 62.83 5.44 3.51 6.04 3.60 0.00 0.78 11.22
BB 0.02 0.16 1.19 5.86 61.07 4.85 9.85 3.96 0.00 0.96 12.09
B 0.02 0.07 0.35 2.25 8.32 51.72 15.58 6.52 0.00 1.64 13.53
CCC 0.00 0.02 0.01 0.45 2.43 5.10 57.52 11.29 0.00 11.00 12.20
CC 0.00 0.00 0.00 0.01 0.06 0.06 0.02 55.74 0.00 38.74 5.37
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 55.95 6.47 1.91 1.45 1.60 1.11 2.27 1.96 0.00 1.70 25.58
AA 11.59 39.70 5.20 2.73 1.79 1.35 3.88 3.53 0.00 2.42 27.81
A 2.35 8.41 39.83 7.57 3.62 2.29 4.19 5.09 0.00 1.99 24.67
BBB 0.57 2.07 6.49 39.34 6.86 4.46 9.10 7.04 0.00 2.32 21.75
BB 0.13 0.52 2.08 7.48 37.88 5.53 12.95 6.15 0.00 3.04 24.25
B 0.04 0.25 0.84 4.05 10.55 29.11 15.55 7.75 0.00 5.35 26.52
CCC 0.00 0.02 0.15 1.14 4.01 6.99 31.91 10.03 0.00 21.41 24.34
CC 0.00 0.00 0.00 0.04 0.11 0.10 0.01 26.99 0.00 63.74 9.02
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 43.09 7.75 2.12 1.55 1.72 1.14 2.83 2.88 0.00 2.89 34.04
AA 11.25 24.72 5.45 2.45 1.82 1.68 4.62 4.23 0.00 4.40 39.37
A 2.92 7.80 25.87 8.16 3.63 2.47 5.28 6.23 0.00 3.83 33.82
BBB 0.78 2.43 5.39 24.75 7.79 4.74 9.50 8.70 0.00 4.75 31.16
BB 0.20 0.68 2.32 6.74 24.13 6.16 13.05 6.08 0.00 6.29 34.34
B 0.06 0.34 1.00 4.06 8.00 17.32 13.40 5.48 0.00 10.68 39.66
CCC 0.00 0.04 0.38 1.62 4.04 5.87 17.89 5.81 0.00 29.00 35.34
CC 0.00 0.00 0.00 0.04 0.10 0.09 0.00 7.33 0.00 81.25 11.21
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 34.40 7.69 1.88 1.45 1.71 1.18 2.82 2.24 0.00 5.24 41.39
AA 9.54 15.67 4.73 2.04 1.78 1.74 4.17 3.32 0.00 7.55 49.47
A 3.48 6.24 17.61 7.32 3.28 2.41 5.38 4.93 0.00 7.60 41.75
BBB 0.77 2.44 3.94 15.95 7.21 4.47 8.91 7.24 0.00 9.55 39.53
BB 0.18 0.86 2.28 4.94 15.50 6.15 11.64 5.00 0.00 10.23 43.24
B 0.21 0.24 1.01 3.92 5.42 9.72 10.81 3.30 0.00 15.58 49.81
CCC 0.00 0.14 0.38 1.56 3.11 4.23 9.53 4.12 0.00 32.60 44.33
CC 0.00 0.00 0.00 0.01 0.07 0.05 0.00 4.24 0.00 83.30 12.32
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 28.62 6.41 1.50 1.24 1.55 1.13 2.44 1.43 0.00 7.05 48.62
AA 7.59 10.72 3.28 1.62 1.51 1.67 3.29 2.43 0.00 10.39 57.49
A 3.21 5.14 12.73 5.79 2.58 2.16 5.36 3.30 0.00 11.12 48.62
BBB 0.92 1.96 2.80 11.45 5.89 3.51 8.08 5.38 0.00 14.18 45.85
BB 0.15 0.83 1.94 3.45 10.52 6.21 9.11 4.00 0.00 14.05 49.73
B 0.12 0.35 1.20 2.93 3.54 5.12 8.26 2.96 0.00 19.27 56.25
CCC 0.01 0.08 0.34 1.03 1.93 2.74 5.09 2.97 0.00 35.30 50.50
CC 0.00 0.00 0.00 0.00 0.06 0.01 0.00 2.39 0.00 85.23 12.31
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 11.74 0.36 0.31 0.25 0.20 0.28 0.32 0.22 0.00 10.63 75.69
AA 0.56 1.27 0.30 0.28 0.28 0.31 0.68 0.73 0.00 22.07 73.52
A 0.35 0.52 1.44 0.52 0.55 0.45 2.11 1.14 0.00 21.01 71.92
BBB 0.12 0.20 0.30 0.57 0.42 0.52 1.86 1.39 0.00 30.15 64.47
BB 0.00 0.02 0.14 0.34 0.74 0.88 1.56 1.92 0.00 29.00 65.39
B 0.00 0.00 0.00 0.14 0.14 0.57 2.51 1.00 0.00 51.61 44.02
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 74.45 25.55
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.49 4.51
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Source: S&P Global Fixed Income Research.
U.S. ABS

Table 21

U.S. ABS Cumulative Default Rates, Conditional On Survival, 1983-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.01 0.02 0.03 0.03 0.04 0.05 0.05 0.06
AA 0.01 0.08 0.20 0.37 0.60 0.89 1.08 1.17 1.27 1.40
A 0.09 0.28 0.56 0.88 1.15 1.39 1.64 1.84 1.95 2.04
BBB 0.28 0.74 1.54 2.61 3.56 4.38 4.97 5.58 6.02 6.38
BB 1.23 3.38 5.90 7.76 9.52 11.52 13.51 14.89 15.67 16.15
B 3.91 9.51 13.07 14.99 16.47 18.27 19.87 21.46 23.73 25.75
CCC 10.02 17.37 23.98 29.44 34.17 37.57 39.97 42.30 44.36 46.01
CC 16.88 26.76 34.78 39.84 43.25 43.25 43.25 43.25 43.25 43.25
IG 0.05 0.15 0.30 0.50 0.69 0.85 0.98 1.09 1.16 1.22
SG 5.48 10.45 14.63 17.57 20.04 22.22 24.13 25.69 27.01 28.03
Overall 0.38 0.77 1.16 1.51 1.81 2.07 2.28 2.45 2.56 2.66
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 22

U.S. ABS One-Year Default Rates, 1983-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1983 0.00 0.00 N/A N/A 0.00 0.00 N/A N/A N/A N/A N/A
1984 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A
1985 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.38 0.35 2.00 0.00 0.00 1.77 0.00 2.22 0.00 N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.32 0.12 5.73 0.00 0.00 0.23 0.83 2.47 5.88 37.50 N/A
2002 1.30 0.25 28.16 0.00 0.34 0.40 1.49 5.62 51.35 54.55 N/A
2003 0.98 0.21 19.12 0.00 0.00 0.09 2.05 10.29 16.67 55.26 8.33
2004 0.98 0.08 15.91 0.00 0.00 0.00 0.48 6.00 18.06 30.77 33.33
2005 0.71 0.00 9.83 0.00 0.00 0.00 0.00 0.00 1.04 13.19 64.52
2006 0.59 0.00 9.86 0.00 0.00 0.00 0.00 0.00 0.00 19.69 71.43
2007 0.66 0.03 11.71 0.00 0.00 0.00 0.30 0.00 3.08 20.97 78.57
2008 0.11 0.00 2.30 0.00 0.00 0.00 0.00 0.00 0.00 6.25 33.33
2009 0.28 0.05 4.44 0.00 0.00 0.00 0.41 1.37 1.45 11.22 0.00
2010 0.38 0.12 3.62 0.00 0.00 0.09 0.70 0.00 0.00 13.27 20.00
2011 0.35 0.00 3.37 0.00 0.00 0.00 0.00 1.01 2.47 7.69 7.69
2012 0.20 0.00 2.03 0.00 0.00 0.00 0.00 0.00 2.48 2.40 15.38
2013 0.36 0.00 3.19 0.00 0.00 0.00 0.00 0.00 0.00 0.80 15.79
2014 0.37 0.00 3.19 0.00 0.00 0.00 0.00 0.00 0.00 2.42 15.29
2015 0.27 0.00 2.42 0.00 0.00 0.00 0.00 0.00 0.00 2.63 11.84
2016 0.11 0.00 1.10 0.00 0.00 0.00 0.00 0.00 0.00 1.18 4.60
2017 0.18 0.00 1.78 0.00 0.00 0.00 0.00 0.00 0.85 0.94 7.50
2018 0.13 0.00 1.36 0.00 0.00 0.00 0.00 0.00 0.95 0.00 6.41
Weighted-average 0.38 0.05 5.48 0.00 0.01 0.09 0.28 1.23 3.91 10.02 16.88
Median 0.11 0.00 2.16 0.00 0.00 0.00 0.00 0.00 0.00 9.46 15.34
Std. dev. 0.33 0.08 6.81 0.00 0.06 0.30 0.48 2.41 10.93 17.87 25.12
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 1.30 0.35 28.16 0.00 0.34 1.77 2.05 10.29 51.35 55.26 78.57
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 23

U.S. ABS Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 99.66 0.00 0.14 0.00 0.00 0.20 0.00 0.00 0.00 0.00
AA 13.86 84.81 1.25 0.00 0.00 0.08 0.00 0.00 0.00 0.00
A 9.69 8.26 80.73 0.00 1.21 0.11 0.00 0.00 0.00 0.00
BBB 4.40 3.85 9.89 81.87 0.00 0.00 0.00 0.00 0.00 0.00
BB 3.13 2.50 6.88 23.75 61.88 1.25 0.00 0.63 0.00 0.00
B 1.90 0.95 3.81 4.76 9.52 76.19 1.90 0.00 0.00 0.95
CCC 0.00 0.00 1.02 0.00 0.00 0.00 90.82 8.16 0.00 0.00
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.59 0.00 6.41
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 96.44 2.55 0.70 0.23 0.04 0.03 0.00 0.00 0.00 0.00
AA 6.40 88.33 3.24 1.34 0.59 0.08 0.00 0.01 0.00 0.01
A 2.45 5.09 87.25 3.91 0.57 0.44 0.17 0.03 0.00 0.09
BBB 2.94 2.00 4.46 85.36 2.19 1.96 0.72 0.09 0.00 0.28
BB 0.46 1.05 3.33 5.26 77.06 7.51 3.44 0.67 0.00 1.23
B 0.33 0.05 1.68 1.09 1.58 76.74 12.77 1.85 0.00 3.91
CCC 0.00 0.00 0.17 0.00 0.00 0.35 81.70 7.75 0.00 10.02
CC 0.00 0.16 0.00 0.00 0.00 0.00 0.00 82.97 0.00 16.88
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 93.25 4.39 1.28 0.71 0.23 0.11 0.02 0.00 0.00 0.00
AA 11.10 81.08 4.36 1.56 1.06 0.52 0.25 0.01 0.00 0.08
A 4.74 8.26 78.10 6.41 0.62 0.98 0.53 0.08 0.00 0.29
BBB 6.60 3.70 6.42 74.35 3.20 3.39 1.44 0.14 0.00 0.76
BB 1.15 2.71 6.28 7.10 62.24 10.78 4.68 1.60 0.00 3.46
B 0.52 0.06 3.17 1.90 2.54 58.10 20.81 3.23 0.00 9.68
CCC 0.00 0.00 0.31 0.00 0.00 0.74 67.99 13.04 0.00 17.92
CC 0.00 0.36 0.00 0.00 0.00 0.00 0.00 71.58 0.00 28.06
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 90.50 5.96 1.82 0.89 0.41 0.29 0.11 0.00 0.00 0.01
AA 13.76 76.50 4.57 2.20 1.17 1.15 0.41 0.03 0.00 0.20
A 6.23 10.04 72.87 7.35 0.76 1.20 0.77 0.20 0.00 0.58
BBB 9.78 4.18 5.83 68.58 3.33 3.85 2.46 0.39 0.00 1.60
BB 2.67 4.44 7.34 6.72 54.56 9.94 6.17 2.04 0.00 6.13
B 0.80 0.06 3.65 2.91 3.03 48.92 22.57 4.27 0.00 13.79
CCC 0.00 0.00 0.33 0.00 0.00 1.06 56.35 16.73 0.00 25.53
CC 0.00 0.63 0.00 0.00 0.00 0.00 0.00 60.92 0.00 38.45
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 88.39 7.15 2.28 0.99 0.53 0.43 0.21 0.01 0.00 0.02
AA 14.53 73.93 4.87 2.71 1.20 1.61 0.72 0.03 0.00 0.40
A 7.00 11.04 70.33 7.22 0.91 1.30 0.93 0.36 0.00 0.92
BBB 11.14 4.37 4.92 65.85 3.44 4.01 3.03 0.49 0.00 2.75
BB 3.60 4.97 6.81 6.27 51.38 9.74 6.44 2.42 0.00 8.36
B 1.34 0.20 2.89 4.30 2.89 42.27 24.13 5.24 0.00 16.73
CCC 0.00 0.00 0.35 0.00 0.14 1.05 46.74 19.62 0.00 32.10
CC 0.00 0.51 0.00 0.00 0.00 0.00 0.00 51.41 0.00 48.07
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 86.56 8.32 2.51 1.10 0.59 0.53 0.31 0.04 0.00 0.03
AA 13.92 72.42 5.93 2.91 1.35 1.72 0.99 0.07 0.00 0.68
A 7.52 11.78 69.16 6.39 1.05 1.47 0.96 0.41 0.00 1.24
BBB 11.00 4.79 4.61 64.09 3.43 4.26 3.41 0.58 0.00 3.82
BB 3.26 5.05 6.84 5.90 49.46 9.74 6.52 2.64 0.00 10.59
B 1.35 0.22 2.02 6.06 2.69 35.33 26.20 6.29 0.00 19.84
CCC 0.00 0.00 0.38 0.00 0.23 0.99 38.16 21.71 0.00 38.54
CC 0.00 0.32 0.00 0.00 0.00 0.00 0.00 42.17 0.00 57.51
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 84.66 8.38 3.07 1.45 0.79 0.88 0.59 0.12 0.00 0.06
AA 11.36 65.93 7.67 5.47 1.95 1.72 2.99 0.59 0.00 2.31
A 9.05 10.73 69.33 4.35 1.05 1.19 0.84 0.75 0.00 2.71
BBB 11.50 6.52 4.26 59.20 2.83 3.40 2.85 1.08 0.00 8.36
BB 2.90 4.64 5.51 4.35 46.05 4.06 6.24 2.83 0.00 23.42
B 2.31 0.15 0.00 2.77 2.47 22.65 16.64 9.55 0.00 43.45
CCC 0.00 0.00 0.14 0.00 0.00 0.98 14.06 21.80 0.00 63.01
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.19 0.00 93.81
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 24

U.S. ABS Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 69.40 0.00 0.14 0.00 0.00 0.14 0.00 0.00 0.00 0.00 30.33
AA 10.43 76.88 1.25 0.00 0.00 0.08 0.00 0.00 0.00 0.00 11.35
A 7.38 8.04 69.71 0.00 1.21 0.11 0.00 0.00 0.00 0.00 13.55
BBB 2.93 3.85 9.89 70.70 0.00 0.00 0.00 0.00 0.00 0.00 12.64
BB 1.88 2.50 6.88 23.75 58.75 1.25 0.00 0.63 0.00 0.00 4.38
B 0.95 0.95 3.81 4.76 9.52 71.43 1.90 0.00 0.00 0.95 5.71
CCC 0.00 0.00 1.02 0.00 0.00 0.00 87.76 8.16 0.00 0.00 3.06
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.31 0.00 6.41 1.28
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 77.58 2.34 0.69 0.20 0.04 0.02 0.00 0.00 0.00 0.00 19.12
AA 5.19 75.25 3.01 1.14 0.53 0.08 0.00 0.01 0.00 0.01 14.79
A 1.93 4.58 75.27 3.83 0.54 0.41 0.17 0.03 0.00 0.09 13.15
BBB 2.64 1.80 4.22 73.82 2.15 1.94 0.71 0.09 0.00 0.28 12.36
BB 0.32 0.98 3.05 5.02 64.89 7.33 3.33 0.67 0.00 1.23 13.19
B 0.11 0.05 1.58 1.09 1.58 70.65 12.77 1.85 0.00 3.91 6.41
CCC 0.00 0.00 0.17 0.00 0.00 0.35 78.79 7.46 0.00 10.02 3.21
CC 0.00 0.16 0.00 0.00 0.00 0.00 0.00 80.44 0.00 16.88 2.52
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 57.76 3.70 1.12 0.58 0.21 0.09 0.02 0.00 0.00 0.00 36.51
AA 6.77 57.00 3.77 1.09 0.88 0.52 0.25 0.01 0.00 0.08 29.65
A 2.89 6.18 55.21 6.03 0.53 0.83 0.51 0.08 0.00 0.29 27.45
BBB 5.34 2.79 5.17 52.64 2.98 3.28 1.42 0.14 0.00 0.76 25.48
BB 0.71 1.90 4.53 5.61 39.46 10.18 4.50 1.60 0.00 3.46 28.06
B 0.12 0.06 2.71 1.61 2.36 47.61 20.40 3.23 0.00 9.68 12.22
CCC 0.00 0.00 0.31 0.00 0.00 0.68 62.67 12.30 0.00 17.92 6.12
CC 0.00 0.36 0.00 0.00 0.00 0.00 0.00 66.37 0.00 28.06 5.22
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 41.55 4.54 1.45 0.61 0.31 0.26 0.11 0.00 0.00 0.01 51.16
AA 6.61 43.81 3.62 1.48 0.87 1.14 0.41 0.03 0.00 0.20 41.84
A 2.57 5.81 39.97 6.56 0.59 0.92 0.71 0.20 0.00 0.58 42.08
BBB 6.68 2.11 3.76 37.45 2.92 3.61 2.37 0.39 0.00 1.60 39.12
BB 1.45 2.40 3.73 4.05 23.41 8.84 5.97 2.04 0.00 6.13 41.99
B 0.19 0.06 2.84 2.41 2.66 35.25 21.40 4.21 0.00 13.79 17.19
CCC 0.00 0.00 0.33 0.00 0.00 0.93 49.54 15.34 0.00 25.53 8.33
CC 0.00 0.63 0.00 0.00 0.00 0.00 0.00 52.73 0.00 38.45 8.19
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 29.89 4.93 1.68 0.56 0.33 0.37 0.21 0.01 0.00 0.02 62.01
AA 5.65 34.87 3.49 1.66 0.84 1.53 0.72 0.02 0.00 0.40 50.82
A 2.09 4.94 29.32 5.95 0.66 0.82 0.86 0.34 0.00 0.92 54.11
BBB 6.27 1.18 2.31 27.31 2.80 3.65 2.79 0.49 0.00 2.75 50.46
BB 1.25 1.55 2.34 2.88 14.38 8.15 6.15 2.34 0.00 8.36 52.59
B 0.47 0.20 1.75 3.76 2.08 26.28 22.24 4.77 0.00 16.73 21.71
CCC 0.00 0.00 0.35 0.00 0.14 0.91 38.82 17.87 0.00 32.10 9.81
CC 0.00 0.51 0.00 0.00 0.00 0.00 0.00 42.16 0.00 48.07 9.25
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 21.68 5.28 1.70 0.53 0.33 0.43 0.30 0.04 0.00 0.03 69.69
AA 5.02 28.19 3.99 1.59 0.87 1.54 0.95 0.07 0.00 0.68 57.09
A 2.48 4.46 21.17 4.86 0.67 0.83 0.86 0.37 0.00 1.24 63.06
BBB 4.76 1.21 1.73 19.63 2.63 3.75 3.06 0.57 0.00 3.82 58.83
BB 0.45 1.07 1.92 2.19 8.80 7.77 6.17 2.41 0.00 10.59 58.62
B 0.37 0.22 0.52 5.31 1.72 18.64 23.43 5.24 0.00 19.84 24.70
CCC 0.00 0.00 0.23 0.00 0.23 0.84 29.55 20.03 0.00 38.54 10.59
CC 0.00 0.32 0.00 0.00 0.00 0.00 0.00 31.95 0.00 57.51 10.22
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 4.73 2.98 1.01 0.34 0.25 0.47 0.49 0.09 0.00 0.06 89.58
AA 1.83 9.21 3.06 2.83 0.75 1.27 2.72 0.59 0.00 2.31 75.41
A 0.65 2.67 3.83 1.64 0.43 0.52 0.52 0.60 0.00 2.71 86.44
BBB 0.10 1.65 0.82 4.27 1.50 2.58 2.24 0.99 0.00 8.36 77.49
BB 0.00 0.73 0.73 0.51 1.16 1.96 5.29 1.96 0.00 23.42 64.25
B 0.92 0.15 0.00 2.31 1.39 2.62 12.79 6.93 0.00 43.45 29.43
CCC 0.00 0.00 0.14 0.00 0.00 0.28 4.08 21.38 0.00 63.01 11.11
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.09 0.00 93.81 3.09
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Source: S&P Global Fixed Income Research.
U.S. CMBS

Table 25

U.S. CMBS Cumulative Default Rates, Conditional On Survival, 1986-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.03 0.08 0.20 0.36 0.51 0.62 0.75 0.89 0.99 1.10
AA 0.07 0.43 1.19 2.03 2.88 3.74 4.62 5.29 6.02 6.64
A 0.07 0.59 1.98 3.76 5.45 6.96 8.13 9.20 10.03 10.77
BBB 0.39 2.12 5.51 9.33 12.69 15.22 17.20 18.70 19.92 20.97
BB 1.67 6.56 13.90 21.16 27.16 32.27 36.31 39.52 42.27 44.41
B 6.96 18.10 29.58 39.84 48.23 54.57 59.56 63.67 66.94 68.84
CCC 37.79 57.55 65.78 70.01 71.98 73.45 74.48 75.41 76.06 76.69
CC 47.83 82.61 93.48 93.48 93.48 93.48 93.48 93.48 93.48 93.48
IG 0.12 0.64 1.74 3.01 4.18 5.14 5.94 6.60 7.16 7.66
SG 11.25 21.77 30.93 38.70 44.78 49.60 53.39 56.49 59.05 60.82
Overall 3.32 6.73 10.14 13.25 15.77 17.77 19.33 20.57 21.58 22.35
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 26

U.S. CMBS One-Year Default Rates, 1986-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1993 0.27 0.00 7.69 0.00 0.00 0.00 0.00 0.00 14.29 0.00 N/A
1994 0.19 0.00 3.57 0.00 0.00 0.00 0.00 0.00 7.69 0.00 N/A
1995 0.14 0.00 1.79 0.00 0.00 0.00 0.00 0.00 0.00 16.67 N/A
1996 0.52 0.00 4.40 0.00 0.00 0.00 0.00 0.00 0.00 50.00 N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1999 0.07 0.00 0.32 0.00 0.00 0.00 0.00 0.00 0.00 14.29 N/A
2000 0.06 0.00 0.27 0.00 0.00 0.00 0.00 0.00 0.66 0.00 0.00
2001 0.34 0.00 1.48 0.00 0.00 0.00 0.00 0.00 1.65 25.00 0.00
2002 0.98 0.00 4.46 0.00 0.00 0.00 0.00 3.13 4.00 29.17 0.00
2003 0.90 0.25 3.21 0.00 0.00 0.19 0.74 0.00 3.69 17.07 N/A
2004 0.39 0.03 1.60 0.00 0.00 0.00 0.10 0.18 1.57 13.56 100.00
2005 0.38 0.02 1.51 0.00 0.00 0.00 0.10 0.15 1.76 11.39 N/A
2006 0.21 0.00 0.90 0.00 0.00 0.00 0.00 0.12 0.44 15.15 N/A
2007 0.16 0.00 0.70 0.00 0.00 0.00 0.00 0.00 0.12 16.67 N/A
2008 0.29 0.01 1.20 0.00 0.00 0.00 0.07 0.09 0.72 22.78 N/A
2009 2.41 0.52 7.98 0.20 0.37 0.39 1.63 3.54 7.21 24.19 0.00
2010 10.23 0.49 24.09 0.07 0.42 0.26 1.90 7.42 16.64 48.28 0.00
2011 13.57 0.12 31.98 0.00 0.00 0.00 0.62 3.76 26.02 59.39 29.31
2012 7.05 0.03 17.73 0.00 0.00 0.00 0.16 1.71 5.87 36.15 72.92
2013 4.90 0.10 12.55 0.00 0.00 0.22 0.39 1.04 3.53 25.71 100.00
2014 3.70 0.00 10.09 0.00 0.00 0.00 0.00 0.72 3.85 23.16 N/A
2015 4.33 0.04 11.87 0.00 0.00 0.00 0.21 0.70 5.80 33.52 N/A
2016 2.63 0.15 7.20 0.00 0.53 0.28 0.00 0.72 3.90 29.32 N/A
2017 2.68 0.06 8.14 0.00 0.00 0.00 0.28 1.93 6.67 34.26 N/A
2018 1.82 0.00 6.67 0.00 0.00 0.00 0.00 1.58 4.95 36.62 N/A
Weighted-average 3.32 0.12 11.25 0.03 0.07 0.07 0.39 1.67 6.96 37.79 47.83
Median 0.29 0.00 3.57 0.00 0.00 0.00 0.00 0.14 3.53 22.97 0.00
Std. dev. 3.15 0.13 7.82 0.04 0.13 0.10 0.48 1.74 6.03 16.11 44.76
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 13.57 0.52 31.98 0.20 0.53 0.39 1.90 7.42 26.02 59.39 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 27

U.S. CMBS Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 98.84 1.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.60 98.17 0.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.15 5.48 92.51 0.86 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.28 1.67 2.51 93.04 1.39 0.56 0.56 0.00 0.00 0.00
BB 0.00 0.63 1.27 1.58 92.09 1.27 1.58 0.00 0.00 1.58
B 0.00 1.32 0.99 1.32 2.31 87.79 1.32 0.00 0.00 4.95
CCC 0.00 0.00 1.41 2.82 1.41 7.04 50.70 0.00 0.00 36.62
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 97.38 0.80 0.73 0.57 0.33 0.15 0.01 0.00 0.00 0.03
AA 7.75 85.69 1.91 1.68 1.50 1.23 0.16 0.00 0.00 0.07
A 2.81 6.53 82.41 3.40 2.03 2.18 0.58 0.00 0.00 0.07
BBB 1.04 2.16 4.54 81.12 4.61 3.85 2.28 0.02 0.00 0.39
BB 0.38 0.78 0.78 3.36 79.38 7.25 6.24 0.11 0.06 1.67
B 0.08 0.37 0.43 0.53 2.06 75.70 13.75 0.12 0.00 6.96
CCC 0.02 0.13 0.13 0.22 0.67 1.80 58.61 0.63 0.00 37.79
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.17 0.00 47.83
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Two-year weighted-average
AAA 94.96 1.36 1.39 1.14 0.67 0.28 0.11 0.00 0.00 0.08
AA 14.91 72.42 3.10 2.97 2.96 2.67 0.53 0.00 0.00 0.43
A 5.97 11.98 66.55 5.32 3.76 4.31 1.47 0.06 0.00 0.59
BBB 2.35 4.41 8.38 64.29 6.74 6.23 5.37 0.10 0.00 2.13
BB 0.88 1.59 1.53 6.27 62.16 10.37 10.32 0.26 0.06 6.56
B 0.19 0.78 0.84 1.03 3.84 56.89 18.10 0.18 0.00 18.15
CCC 0.03 0.34 0.30 0.44 1.20 3.24 36.11 0.78 0.00 57.56
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.39 0.00 82.61
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Three-year weighted-average
AAA 93.53 1.81 1.64 1.36 0.81 0.39 0.26 0.00 0.00 0.21
AA 20.16 62.99 3.92 3.68 3.52 3.20 1.31 0.02 0.00 1.21
A 9.32 15.27 55.16 6.33 4.56 4.63 2.53 0.20 0.00 1.99
BBB 3.90 6.51 10.78 52.10 7.51 6.54 6.89 0.21 0.00 5.55
BB 1.40 2.19 2.29 8.61 49.73 10.77 10.64 0.33 0.06 13.98
B 0.34 1.22 1.11 1.32 4.87 44.77 16.45 0.12 0.00 29.81
CCC 0.05 0.79 0.55 0.69 1.53 3.73 26.40 0.33 0.00 65.93
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Four-year weighted-average
AAA 92.79 2.20 1.60 1.33 0.78 0.56 0.38 0.00 0.00 0.36
AA 23.46 57.02 4.60 4.02 3.25 3.16 2.41 0.02 0.00 2.07
A 11.98 16.71 47.93 7.04 4.81 4.10 3.41 0.22 0.00 3.80
BBB 5.32 8.06 11.83 44.11 7.77 6.02 7.22 0.18 0.00 9.50
BB 1.82 2.68 2.91 9.80 41.13 10.31 9.48 0.23 0.06 21.58
B 0.47 1.45 1.22 1.45 5.36 36.08 13.33 0.06 0.00 40.58
CCC 0.07 1.16 0.73 0.89 1.55 3.61 21.40 0.04 0.00 70.57
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Five-year weighted-average
AAA 92.38 2.48 1.50 1.26 0.74 0.72 0.40 0.00 0.00 0.53
AA 25.90 52.72 5.15 4.07 3.01 3.30 2.86 0.00 0.00 2.98
A 14.62 17.24 42.72 7.37 4.67 3.84 3.87 0.08 0.00 5.59
BBB 6.54 9.57 12.20 38.04 7.85 5.63 6.95 0.12 0.00 13.10
BB 2.13 3.14 3.41 10.43 33.94 9.71 8.86 0.15 0.07 28.18
B 0.54 1.51 1.31 1.56 5.58 28.57 11.23 0.04 0.00 49.67
CCC 0.11 1.41 0.84 0.89 1.41 3.17 18.78 0.00 0.00 73.40
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
10-year weighted-average
AAA 91.42 3.15 1.41 1.05 0.77 0.45 0.29 0.00 0.00 1.45
AA 32.49 44.58 5.67 3.31 2.29 2.28 1.60 0.00 0.00 7.78
A 20.17 16.27 34.40 7.48 4.14 3.08 2.14 0.00 0.00 12.33
BBB 10.49 12.64 10.17 27.94 6.00 4.54 4.73 0.02 0.00 23.47
BB 3.11 5.00 4.71 8.51 18.12 5.45 6.60 0.11 0.00 48.39
B 0.91 1.42 1.79 1.56 5.16 13.44 5.02 0.00 0.00 70.70
CCC 0.74 0.74 1.10 0.37 1.10 2.45 11.66 0.00 0.00 81.84
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.50 0.00 12.50
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 28

U.S. CMBS Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 82.44 1.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.40
AA 1.60 78.03 0.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.14
A 1.15 4.32 78.39 0.58 0.00 0.00 0.00 0.00 0.00 0.00 15.56
BBB 0.00 1.39 2.51 76.32 1.11 0.56 0.56 0.00 0.00 0.00 17.55
BB 0.00 0.32 0.32 1.27 67.09 0.95 1.58 0.00 0.00 1.58 26.90
B 0.00 1.32 0.66 1.32 0.99 66.01 1.32 0.00 0.00 4.95 23.43
CCC 0.00 0.00 1.41 2.82 1.41 7.04 40.85 0.00 0.00 36.62 9.86
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 82.88 0.76 0.72 0.56 0.30 0.15 0.01 0.00 0.00 0.03 14.58
AA 6.82 74.49 1.89 1.67 1.49 1.23 0.16 0.00 0.00 0.07 12.17
A 2.27 6.15 73.94 3.33 2.00 2.17 0.58 0.00 0.00 0.07 9.49
BBB 0.78 1.89 4.31 73.44 4.52 3.81 2.27 0.02 0.00 0.39 8.57
BB 0.28 0.60 0.70 3.28 74.27 7.19 6.17 0.11 0.06 1.67 5.66
B 0.06 0.27 0.35 0.44 1.91 72.25 13.66 0.12 0.00 6.96 3.99
CCC 0.02 0.13 0.13 0.22 0.63 1.72 53.68 0.63 0.00 37.79 5.05
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 47.83 2.17
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Two-year weighted-average
AAA 67.18 1.23 1.36 1.12 0.62 0.26 0.10 0.00 0.00 0.08 28.06
AA 11.37 52.69 2.89 2.86 2.96 2.67 0.52 0.00 0.00 0.43 23.62
A 4.13 10.31 51.86 4.93 3.66 4.28 1.45 0.06 0.00 0.59 18.74
BBB 1.57 3.35 7.37 50.63 6.28 6.03 5.30 0.10 0.00 2.13 17.23
BB 0.63 0.93 1.13 5.78 53.51 10.14 10.07 0.26 0.06 6.56 10.92
B 0.15 0.47 0.55 0.74 3.29 50.96 17.68 0.18 0.00 18.15 7.84
CCC 0.03 0.27 0.25 0.37 0.94 2.90 27.15 0.78 0.00 57.56 9.74
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.04 0.00 82.61 4.35
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Three-year weighted-average
AAA 53.95 1.47 1.57 1.29 0.71 0.34 0.25 0.00 0.00 0.21 40.20
AA 13.80 37.20 3.35 3.42 3.49 3.19 1.25 0.02 0.00 1.21 33.08
A 6.03 12.11 36.01 5.43 4.28 4.50 2.46 0.20 0.00 1.99 26.98
BBB 2.46 4.55 8.80 34.91 6.52 6.06 6.50 0.21 0.00 5.55 24.45
BB 0.89 1.13 1.51 7.47 38.85 10.31 9.87 0.33 0.06 13.98 15.60
B 0.25 0.67 0.62 0.82 3.93 37.50 15.64 0.12 0.00 29.81 10.66
CCC 0.05 0.57 0.43 0.52 1.03 3.06 14.82 0.33 0.00 65.93 13.27
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Four-year weighted-average
AAA 42.72 1.60 1.47 1.21 0.65 0.50 0.32 0.00 0.00 0.36 51.16
AA 14.37 26.26 3.56 3.53 3.14 3.10 2.24 0.02 0.00 2.07 41.71
A 7.13 12.19 25.85 5.33 4.23 3.80 3.17 0.22 0.00 3.80 34.28
BBB 2.92 5.29 8.91 24.87 6.12 5.19 6.32 0.18 0.00 9.50 30.71
BB 1.06 1.26 1.79 8.04 29.04 9.42 8.18 0.21 0.06 21.58 19.36
B 0.32 0.75 0.58 0.76 4.05 28.25 12.11 0.06 0.00 40.58 12.54
CCC 0.07 0.73 0.50 0.59 0.85 2.65 8.03 0.04 0.00 70.57 15.98
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Five-year weighted-average
AAA 33.39 1.61 1.28 1.07 0.58 0.65 0.32 0.00 0.00 0.53 60.59
AA 13.51 17.94 3.61 3.32 2.73 3.16 2.58 0.00 0.00 2.98 50.17
A 7.68 11.29 18.16 4.77 3.73 3.33 3.46 0.08 0.00 5.59 41.93
BBB 3.08 5.89 8.40 17.39 5.50 4.42 5.61 0.12 0.00 13.10 36.49
BB 1.01 1.44 1.96 7.99 21.32 8.30 6.99 0.11 0.07 28.18 22.62
B 0.32 0.75 0.56 0.70 3.93 20.60 9.56 0.04 0.00 49.67 13.87
CCC 0.09 0.76 0.47 0.53 0.57 1.92 4.44 0.00 0.00 73.40 17.81
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
10-year weighted-average
AAA 3.36 0.39 0.14 0.10 0.19 0.28 0.06 0.00 0.00 1.45 94.03
AA 1.78 2.81 1.23 0.75 0.69 1.07 0.69 0.00 0.00 7.78 83.21
A 1.57 2.73 2.49 1.77 1.32 1.27 0.69 0.00 0.00 12.33 75.83
BBB 1.32 2.24 2.00 2.92 1.63 1.54 1.46 0.00 0.00 23.47 63.42
BB 0.50 1.51 1.67 3.07 4.07 2.88 2.46 0.00 0.00 48.39 35.45
B 0.35 0.61 0.61 0.46 1.88 4.33 2.42 0.00 0.00 70.70 18.63
CCC 0.00 0.12 0.00 0.25 0.12 0.98 0.98 0.00 0.00 81.84 15.71
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 87.50
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
N/A--Not applicable. Source: S&P Global Fixed Income Research.
Europe

Table 29

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.12 0.29 0.54 0.85 1.16 1.40 1.58 1.68 1.75 1.81
AA 0.12 0.31 0.68 1.13 1.82 2.34 2.74 2.99 3.16 3.33
A 0.13 0.39 0.76 1.20 1.81 2.43 3.02 3.42 3.72 4.00
BBB 0.26 0.80 1.55 2.52 3.76 4.90 5.93 6.70 7.29 7.80
BB 0.62 1.86 3.51 5.16 6.69 8.07 9.42 10.54 11.52 12.38
B 2.24 5.35 8.69 12.01 14.89 16.61 17.68 18.35 18.75 18.95
CCC 10.73 19.43 25.52 29.66 31.10 31.91 32.45 32.78 32.92 32.92
CC 32.77 50.48 61.95 64.21 64.42 64.42 64.42 64.42 64.42 64.42
IG 0.15 0.41 0.80 1.29 1.91 2.45 2.90 3.21 3.43 3.63
SG 4.94 9.30 12.95 15.75 17.53 18.78 19.80 20.59 21.26 21.88
Overall 1.04 2.06 3.04 3.93 4.75 5.39 5.93 6.29 6.55 6.78
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 30

European Structured Finance One-Year Default Rates, 1983-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1983 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1984 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1985 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 N/A 0.00 N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.22 0.00 16.67 0.00 0.00 0.00 0.00 33.33 0.00 N/A N/A
1999 0.19 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 N/A 100.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.10 0.10 0.00 0.00 0.00 0.00 0.68 0.00 0.00 N/A N/A
2002 0.37 0.13 4.08 0.00 0.00 0.00 0.75 2.15 50.00 33.33 N/A
2003 0.33 0.00 4.42 0.00 0.00 0.00 0.00 0.00 0.00 30.00 66.67
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2006 0.06 0.00 0.99 0.00 0.00 0.00 0.00 0.00 0.00 8.33 100.00
2007 0.16 0.14 0.53 0.10 0.27 0.00 0.21 0.00 6.25 0.00 N/A
2008 0.53 0.52 0.76 0.55 0.32 0.50 0.70 0.15 2.67 6.25 0.00
2009 1.04 0.24 5.21 0.08 0.29 0.58 0.22 0.57 3.76 13.71 11.11
2010 1.82 0.20 6.44 0.00 0.24 0.26 0.49 1.59 3.34 11.42 16.49
2011 2.10 0.24 6.26 0.28 0.08 0.00 0.63 1.41 2.86 11.38 21.09
2012 2.34 0.20 7.01 0.09 0.14 0.12 0.55 1.05 2.68 7.66 54.84
2013 2.45 0.07 7.35 0.00 0.00 0.13 0.11 0.95 2.49 13.13 48.57
2014 1.66 0.00 5.15 0.00 0.00 0.00 0.00 0.00 2.92 9.89 46.81
2015 0.68 0.00 2.26 0.00 0.00 0.00 0.00 0.00 1.46 4.54 17.14
2016 1.34 0.03 4.61 0.00 0.00 0.00 0.14 0.24 1.02 11.88 31.71
2017 1.05 0.00 3.99 0.00 0.00 0.00 0.00 0.26 0.75 14.11 10.81
2018 0.72 0.00 2.98 0.00 0.00 0.00 0.00 0.00 0.00 12.64 8.57
Weighted-average 1.04 0.15 4.94 0.12 0.12 0.13 0.26 0.62 2.24 10.73 32.77
Median 0.03 0.00 3.48 0.00 0.00 0.00 0.00 0.00 0.37 11.38 19.12
Std. dev. 0.74 0.11 3.99 0.10 0.10 0.15 0.27 7.05 10.08 9.12 33.19
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 2.45 0.52 16.67 0.55 0.32 0.58 0.75 33.33 50.00 33.33 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 31

European Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 10.76 88.92 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.63 5.94 91.98 1.46 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.19 3.35 13.75 80.86 1.86 0.00 0.00 0.00 0.00 0.00
BB 0.32 0.00 0.32 18.10 80.95 0.32 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 1.18 11.47 86.76 0.59 0.00 0.00 0.00
CCC 0.00 0.00 0.00 2.20 2.20 7.69 74.18 1.10 0.00 12.64
CC 0.00 0.00 0.00 0.00 0.00 5.71 2.86 82.86 0.00 8.57
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 89.73 5.66 2.41 0.91 0.43 0.29 0.44 0.01 0.00 0.12
AA 5.13 81.59 7.96 2.67 0.99 0.61 0.89 0.04 0.00 0.12
A 0.91 5.14 85.15 5.10 2.13 0.67 0.72 0.06 0.00 0.13
BBB 0.25 1.17 5.92 80.28 6.30 3.04 2.66 0.12 0.00 0.26
BB 0.24 0.15 1.15 7.73 73.03 10.34 6.52 0.22 0.00 0.62
B 0.05 0.07 0.14 1.73 8.88 73.97 12.42 0.49 0.02 2.24
CCC 0.02 0.02 0.00 0.36 1.21 6.53 76.18 4.95 0.00 10.73
CC 0.00 0.00 0.00 0.00 0.00 0.70 0.98 65.27 0.28 32.77
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 80.80 9.20 5.23 1.73 0.80 0.49 1.39 0.06 0.00 0.30
AA 8.83 68.85 12.39 4.39 1.76 0.91 2.38 0.18 0.00 0.32
A 2.19 8.69 73.95 7.58 3.87 1.58 1.59 0.16 0.00 0.39
BBB 0.65 2.29 9.69 66.42 9.63 5.70 4.44 0.37 0.00 0.81
BB 0.57 0.53 2.83 12.26 55.12 15.65 10.71 0.42 0.02 1.88
B 0.09 0.21 0.56 4.10 13.83 57.75 16.92 1.03 0.02 5.49
CCC 0.00 0.04 0.04 0.79 2.63 10.23 60.43 6.46 0.02 19.37
CC 0.00 0.00 0.00 0.15 0.00 1.33 1.03 45.80 0.29 51.40
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 73.48 11.88 7.70 2.35 1.24 0.73 1.94 0.13 0.00 0.55
AA 10.82 60.15 15.56 5.43 2.29 1.47 3.32 0.27 0.00 0.70
A 3.67 10.04 66.33 9.22 5.03 2.37 2.26 0.30 0.00 0.79
BBB 1.22 3.41 11.17 57.11 11.19 7.66 6.00 0.65 0.01 1.59
BB 0.82 1.03 4.26 14.01 44.19 17.81 13.40 0.84 0.04 3.60
B 0.16 0.43 1.20 6.14 15.38 48.23 17.89 1.42 0.02 9.14
CCC 0.00 0.04 0.23 1.29 3.86 10.76 52.26 6.21 0.04 25.33
CC 0.00 0.00 0.16 0.16 0.31 1.25 0.62 32.87 0.31 64.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 68.28 13.33 9.69 2.89 1.63 1.06 2.07 0.19 0.00 0.87
AA 11.77 54.52 17.83 5.78 2.68 2.05 3.79 0.40 0.00 1.17
A 4.80 10.62 61.05 10.28 5.65 3.07 2.77 0.47 0.00 1.28
BBB 1.92 4.02 11.45 51.52 11.60 8.78 7.22 0.86 0.01 2.62
BB 1.10 1.38 5.35 14.22 38.16 18.34 14.62 1.34 0.07 5.43
B 0.27 0.70 1.78 7.40 15.58 42.20 17.67 1.46 0.02 12.92
CCC 0.00 0.04 0.41 1.71 5.00 10.82 47.97 4.56 0.04 29.44
CC 0.00 0.00 0.33 0.00 0.67 1.33 0.33 28.62 0.33 68.39
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 65.05 13.78 11.07 3.41 1.90 1.26 2.15 0.17 0.00 1.20
AA 11.88 51.35 19.32 5.76 3.10 2.49 3.87 0.32 0.00 1.91
A 5.62 10.59 57.68 10.91 5.69 3.71 3.26 0.53 0.00 1.99
BBB 2.51 4.11 11.19 48.69 11.27 9.28 8.05 0.87 0.02 4.00
BB 1.51 1.94 5.82 13.10 35.09 18.29 15.34 1.56 0.10 7.25
B 0.42 0.99 2.46 7.68 15.33 37.88 17.11 1.41 0.03 16.69
CCC 0.00 0.07 0.59 2.34 5.70 10.54 44.87 4.41 0.05 31.44
CC 0.00 0.00 0.35 0.00 1.06 1.06 0.00 26.33 0.35 70.85
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 66.23 10.74 10.96 3.69 2.05 1.30 2.64 0.15 0.00 2.23
AA 11.02 51.77 15.84 5.63 3.36 2.75 5.07 0.22 0.00 4.33
A 5.98 11.97 54.06 8.88 4.66 4.19 4.42 0.76 0.00 5.08
BBB 1.61 2.93 11.09 49.57 8.31 7.64 8.67 1.25 0.06 8.88
BB 1.65 0.16 1.43 8.27 39.21 18.24 16.14 2.45 0.22 12.22
B 1.05 0.53 0.70 0.53 8.58 33.98 27.15 1.75 0.18 25.57
CCC 0.00 0.29 0.44 0.88 0.44 1.75 33.72 9.49 0.00 52.99
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.94 0.00 47.06
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 32

European Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 66.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.96
AA 8.86 70.73 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.09
A 0.52 5.31 71.67 1.25 0.00 0.00 0.00 0.00 0.00 0.00 21.25
BBB 0.00 2.97 12.64 63.57 1.86 0.00 0.00 0.00 0.00 0.00 18.96
BB 0.32 0.00 0.32 17.14 59.05 0.00 0.00 0.00 0.00 0.00 23.17
B 0.00 0.00 0.00 1.18 11.18 66.76 0.59 0.00 0.00 0.00 20.29
CCC 0.00 0.00 0.00 2.20 2.20 7.14 57.14 1.10 0.00 12.64 17.58
CC 0.00 0.00 0.00 0.00 0.00 2.86 2.86 77.14 0.00 8.57 8.57
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 74.20 5.29 2.21 0.83 0.40 0.27 0.38 0.01 0.00 0.12 16.28
AA 4.38 69.26 7.37 2.50 0.92 0.56 0.82 0.04 0.00 0.12 14.03
A 0.71 4.71 73.77 4.81 2.06 0.61 0.67 0.05 0.00 0.13 12.48
BBB 0.14 1.02 5.37 69.87 5.96 2.93 2.50 0.10 0.00 0.26 11.84
BB 0.16 0.03 0.87 7.14 63.68 10.02 6.23 0.20 0.00 0.62 11.04
B 0.05 0.05 0.12 1.39 7.96 64.49 11.47 0.49 0.00 2.24 11.73
CCC 0.02 0.02 0.00 0.28 1.07 5.96 63.19 4.41 0.00 10.73 14.31
CC 0.00 0.00 0.00 0.00 0.00 0.42 0.98 56.72 0.00 32.77 9.10
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 52.18 7.91 4.42 1.41 0.65 0.42 1.15 0.05 0.00 0.30 31.51
AA 5.70 47.09 10.72 3.79 1.50 0.76 2.00 0.16 0.00 0.32 27.97
A 1.38 6.88 53.45 6.66 3.63 1.43 1.43 0.14 0.00 0.39 24.62
BBB 0.27 1.57 7.85 47.75 8.61 5.30 3.78 0.29 0.00 0.81 23.77
BB 0.28 0.24 1.97 10.06 39.43 14.22 9.34 0.31 0.00 1.88 22.27
B 0.07 0.17 0.34 3.05 10.59 42.33 14.43 0.97 0.00 5.49 22.56
CCC 0.00 0.02 0.02 0.52 1.88 8.15 39.44 5.50 0.00 19.37 25.11
CC 0.00 0.00 0.00 0.15 0.00 0.88 1.03 31.96 0.00 51.40 14.58
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 34.66 9.35 6.05 1.66 0.92 0.56 1.41 0.11 0.00 0.55 44.73
AA 5.12 31.26 12.42 4.23 1.78 1.14 2.40 0.23 0.00 0.70 40.72
A 1.78 6.51 38.55 7.55 4.49 2.05 1.80 0.24 0.00 0.79 36.24
BBB 0.48 2.06 7.78 32.25 9.34 6.81 4.72 0.52 0.00 1.59 34.44
BB 0.25 0.48 2.74 9.86 24.60 15.08 10.90 0.65 0.00 3.60 31.84
B 0.14 0.32 0.65 4.11 9.79 29.67 13.48 1.34 0.00 9.14 31.37
CCC 0.00 0.00 0.13 0.64 2.24 6.98 25.56 4.63 0.00 25.33 34.50
CC 0.00 0.00 0.00 0.16 0.31 0.78 0.62 16.04 0.00 64.33 17.76
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 21.76 9.46 7.05 1.77 1.08 0.75 1.13 0.16 0.00 0.87 55.96
AA 4.21 19.90 13.00 3.92 1.83 1.47 2.19 0.35 0.00 1.17 51.98
A 1.72 5.54 27.95 7.71 4.66 2.44 1.88 0.37 0.00 1.28 46.44
BBB 0.59 2.01 6.71 21.99 8.90 7.34 5.26 0.67 0.00 2.62 43.91
BB 0.29 0.66 3.04 8.41 15.66 14.36 11.03 1.05 0.00 5.43 40.06
B 0.23 0.41 0.88 4.30 7.92 21.58 11.30 1.33 0.00 12.92 39.14
CCC 0.00 0.00 0.14 0.66 2.44 5.51 16.97 2.31 0.00 29.44 42.51
CC 0.00 0.00 0.00 0.00 0.33 0.83 0.33 9.98 0.00 68.39 20.13
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 13.06 8.45 7.32 1.77 1.07 0.77 0.83 0.11 0.00 1.20 65.41
AA 2.84 12.26 12.82 3.15 1.85 1.56 1.67 0.25 0.00 1.91 61.69
A 1.58 4.28 20.26 7.51 4.13 2.62 1.77 0.38 0.00 1.99 55.47
BBB 0.67 1.59 5.43 15.61 7.78 7.27 5.25 0.59 0.00 4.00 51.80
BB 0.30 1.04 2.87 5.89 10.29 13.33 10.64 1.14 0.00 7.25 47.25
B 0.37 0.39 1.10 3.71 6.53 15.52 8.67 1.12 0.00 16.69 45.90
CCC 0.00 0.02 0.14 0.82 2.27 4.16 11.27 1.66 0.00 31.44 48.23
CC 0.00 0.00 0.00 0.00 0.35 0.53 0.00 7.24 0.00 70.85 21.02
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 2.02 2.44 3.80 0.80 0.32 0.24 0.14 0.04 0.00 2.23 87.97
AA 0.66 1.95 5.21 1.25 0.60 0.35 0.56 0.07 0.00 4.33 85.02
A 0.28 1.56 6.22 3.19 1.48 1.46 0.95 0.22 0.00 5.08 79.55
BBB 0.02 0.27 2.99 4.71 2.93 3.08 2.41 0.44 0.00 8.88 74.28
BB 0.03 0.03 0.19 1.56 2.10 8.02 4.65 0.95 0.00 12.22 70.24
B 0.53 0.00 0.53 0.00 0.88 5.25 3.15 0.18 0.00 25.57 63.92
CCC 0.00 0.00 0.00 0.00 0.00 0.29 0.88 0.44 0.00 52.99 45.40
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.82 0.00 47.06 44.12
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Source: S&P Global Fixed Income Research.
Other regions

Table 33

Other Region Structured Finance Cumulative Default Rates, Conditional On Survival, 1987-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.04 0.08 0.13 0.17 0.19 0.19 0.19 0.19 0.19 0.19
AA 0.10 0.34 0.73 0.98 1.23 1.39 1.44 1.46 1.46 1.46
A 0.28 0.69 1.09 1.45 1.76 1.88 1.96 2.04 2.08 2.11
BBB 0.21 0.71 1.58 2.60 3.46 4.02 4.25 4.39 4.42 4.42
BB 0.05 1.14 2.78 5.12 7.26 8.23 8.85 9.23 9.23 9.23
B 1.11 4.34 7.76 10.13 11.05 11.35 11.35 11.35 11.35 11.35
CCC 25.72 41.34 46.79 48.34 48.68 48.86 49.05 49.05 49.05 49.05
CC 49.25 64.18 70.15 71.64 73.22 74.89 74.89 74.89 74.89 74.89
IG 0.09 0.25 0.49 0.70 0.87 0.98 1.02 1.04 1.05 1.05
SG 5.77 10.39 13.39 15.58 17.01 17.64 17.98 18.18 18.18 18.18
Overall 0.52 1.03 1.47 1.83 2.11 2.25 2.31 2.35 2.36 2.36
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 34

Other Region Structured Finance One-Year Default Rates, 1987-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1987 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1995 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2002 0.38 0.00 14.29 0.00 0.00 0.00 0.00 0.00 7.14 55.56 50.00
2003 0.16 0.00 5.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2008 0.86 0.93 0.00 0.36 0.80 2.26 1.84 0.00 0.00 N/A N/A
2009 1.08 0.15 7.61 0.06 0.30 0.41 0.00 0.00 1.41 28.16 71.43
2010 1.47 0.00 9.67 0.00 0.00 0.00 0.00 0.52 4.05 23.64 36.36
2011 1.20 0.12 7.30 0.22 0.00 0.00 0.00 0.00 2.14 19.29 33.33
2012 1.94 0.00 14.77 0.00 0.00 0.00 0.00 0.00 0.00 39.62 75.00
2013 1.00 0.00 9.30 0.00 0.00 0.00 0.00 0.00 1.00 43.14 14.29
2014 0.74 0.00 7.92 0.00 0.00 0.00 0.00 0.00 0.00 32.50 50.00
2015 0.15 0.00 1.95 0.00 0.00 0.00 0.00 0.00 1.75 0.00 50.00
2016 0.11 0.00 1.44 0.00 0.00 0.00 0.00 0.00 0.00 5.26 100.00
2017 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2018 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
Weighted-average 0.52 0.09 5.77 0.04 0.10 0.28 0.21 0.05 1.11 25.72 49.25
Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00
Std. dev. 0.52 0.17 4.93 0.07 0.15 0.42 0.38 0.11 1.75 18.68 28.46
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 1.94 0.93 14.77 0.36 0.80 2.26 1.84 0.52 7.14 55.56 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 35

Other Region Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 99.90 0.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 5.34 89.81 4.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.58 5.26 83.68 9.47 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 8.65 90.38 0.00 0.96 0.00 0.00 0.00 0.00
BB 0.00 0.00 1.22 4.88 93.90 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 5.56 16.67 11.11 66.67 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 40.00 20.00 40.00 0.00 0.00 0.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 98.71 0.70 0.25 0.16 0.09 0.01 0.03 0.00 0.00 0.04
AA 7.52 87.51 2.91 0.99 0.21 0.31 0.44 0.01 0.00 0.10
A 2.84 7.07 83.78 4.32 0.73 0.53 0.43 0.02 0.00 0.28
BBB 0.64 1.32 6.31 85.15 3.18 1.38 1.73 0.08 0.00 0.21
BB 0.31 0.63 1.41 5.42 83.06 4.74 4.12 0.26 0.00 0.05
B 0.08 0.40 0.40 1.43 4.37 80.70 11.12 0.40 0.00 1.11
CCC 0.00 0.14 0.00 0.00 1.16 7.51 61.71 3.76 0.00 25.72
CC 0.00 0.00 0.00 0.00 1.49 2.99 2.99 41.79 1.49 49.25
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Two-year weighted-average
AAA 97.77 1.00 0.43 0.41 0.14 0.05 0.13 0.00 0.00 0.08
AA 13.37 78.82 4.20 1.26 0.45 0.40 1.10 0.05 0.00 0.34
A 6.64 11.20 72.50 5.39 1.41 0.70 1.37 0.08 0.00 0.70
BBB 1.71 2.65 10.66 74.97 3.73 2.55 2.78 0.23 0.00 0.72
BB 0.76 1.53 2.61 8.71 72.55 5.34 6.86 0.49 0.00 1.14
B 0.16 0.97 1.05 2.66 7.66 71.88 10.31 0.97 0.00 4.35
CCC 0.00 0.15 0.00 0.15 1.75 11.79 42.21 2.47 0.00 41.48
CC 0.00 0.00 0.00 0.00 2.99 5.97 4.48 20.90 1.49 64.18
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Three-year weighted-average
AAA 97.05 1.21 0.60 0.58 0.16 0.08 0.17 0.00 0.00 0.14
AA 17.00 73.26 5.10 1.44 0.55 0.39 1.47 0.05 0.00 0.74
A 10.38 12.46 65.65 5.94 1.52 0.86 1.99 0.06 0.00 1.14
BBB 2.98 3.78 12.88 68.42 4.37 2.55 3.26 0.15 0.00 1.60
BB 1.18 2.14 3.38 9.97 68.02 4.73 6.98 0.79 0.00 2.82
B 0.25 1.50 1.92 3.42 8.17 67.75 8.33 0.75 0.00 7.92
CCC 0.00 0.15 0.00 0.73 2.05 14.20 33.38 2.20 0.15 47.14
CC 0.00 0.00 0.00 0.00 4.48 5.97 4.48 14.93 0.00 70.15
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Four-year weighted-average
AAA 96.49 1.46 0.73 0.67 0.17 0.09 0.20 0.01 0.00 0.18
AA 19.06 70.12 5.85 1.53 0.47 0.40 1.49 0.07 0.00 1.02
A 13.94 12.29 60.61 6.92 1.63 0.83 2.19 0.04 0.00 1.54
BBB 4.30 4.59 13.91 64.14 4.99 2.36 2.81 0.20 0.02 2.67
BB 1.52 2.34 4.09 10.12 65.26 4.62 6.14 0.64 0.00 5.26
B 0.35 1.66 2.27 3.66 8.28 65.91 6.71 0.52 0.00 10.64
CCC 0.00 0.15 0.45 1.20 2.26 11.60 32.83 1.66 0.00 49.85
CC 0.00 0.00 0.00 0.00 4.55 6.06 4.55 13.64 0.00 71.21
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Five-year weighted-average
AAA 96.09 1.64 0.86 0.73 0.17 0.12 0.19 0.00 0.00 0.21
AA 20.24 68.35 6.20 1.58 0.49 0.40 1.30 0.12 0.00 1.30
A 17.23 11.20 57.57 7.32 1.79 0.85 2.07 0.05 0.00 1.93
BBB 5.98 5.19 13.64 61.38 5.12 2.45 2.35 0.25 0.00 3.62
BB 1.71 2.44 4.51 10.12 63.44 5.00 4.94 0.24 0.00 7.62
B 0.46 1.83 2.48 3.85 8.17 64.59 6.24 0.37 0.00 12.02
CCC 0.00 0.16 1.09 1.25 2.34 8.91 32.97 1.41 0.00 51.88
CC 0.00 0.00 0.00 0.00 3.23 6.45 4.84 12.90 0.00 72.58
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
10-year weighted-average
AAA 95.22 1.75 1.11 1.06 0.23 0.15 0.23 0.00 0.00 0.25
AA 19.87 68.00 4.96 2.28 0.73 0.44 1.57 0.04 0.00 2.10
A 19.92 11.45 53.07 6.63 2.09 1.13 2.73 0.00 0.00 2.98
BBB 10.67 5.44 13.81 52.67 5.86 3.21 2.27 0.17 0.00 5.89
BB 2.55 3.56 5.70 11.00 55.60 3.97 5.80 0.31 0.00 11.51
B 1.16 3.88 3.29 5.62 11.82 57.36 6.20 0.39 0.00 10.27
CCC 0.00 0.72 1.45 0.00 1.45 13.04 35.51 2.17 0.00 45.65
CC 0.00 0.00 0.00 0.00 0.00 23.53 11.76 0.00 0.00 64.71
C
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 36

Other Region Structured Finance Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 82.93 0.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.97
AA 5.34 74.76 4.37 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.53
A 1.58 5.26 68.95 8.95 0.00 0.00 0.00 0.00 0.00 0.00 15.26
BBB 0.00 0.00 8.65 72.12 0.00 0.00 0.00 0.00 0.00 0.00 19.23
BB 0.00 0.00 1.22 4.88 65.85 0.00 0.00 0.00 0.00 0.00 28.05
B 0.00 0.00 5.56 16.67 5.56 44.44 0.00 0.00 0.00 0.00 27.78
CCC 0.00 0.00 0.00 0.00 40.00 0.00 20.00 0.00 0.00 0.00 40.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 80.24 0.67 0.22 0.16 0.08 0.01 0.03 0.00 0.00 0.04 18.56
AA 6.69 73.74 2.75 0.90 0.21 0.31 0.44 0.01 0.00 0.10 14.85
A 2.07 6.65 68.92 3.99 0.65 0.53 0.43 0.02 0.00 0.28 16.46
BBB 0.45 1.11 5.67 70.97 2.66 1.22 1.59 0.08 0.00 0.21 16.04
BB 0.21 0.47 0.99 4.90 68.77 4.43 3.60 0.21 0.00 0.05 16.37
B 0.08 0.32 0.24 1.27 3.89 68.55 10.01 0.40 0.00 1.11 14.14
CCC 0.00 0.00 0.00 0.00 0.87 5.92 44.36 3.61 0.00 25.72 19.51
CC 0.00 0.00 0.00 0.00 1.49 0.00 2.99 37.31 1.49 49.25 7.46
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Two-year weighted-average
AAA 62.21 0.86 0.30 0.37 0.10 0.03 0.10 0.00 0.00 0.08 35.95
AA 10.42 53.79 3.58 1.00 0.43 0.39 0.96 0.05 0.00 0.34 29.04
A 4.29 9.23 46.07 3.85 1.09 0.66 1.17 0.08 0.00 0.70 32.87
BBB 0.93 1.79 8.39 49.92 2.44 2.09 2.19 0.23 0.00 0.72 31.31
BB 0.27 0.82 1.31 6.37 48.15 4.41 5.34 0.38 0.00 1.14 31.81
B 0.08 0.40 0.56 1.85 5.24 50.52 7.41 0.97 0.00 4.35 28.61
CCC 0.00 0.00 0.00 0.15 1.16 6.70 17.90 2.18 0.00 41.48 30.42
CC 0.00 0.00 0.00 0.00 2.99 0.00 4.48 13.43 1.49 64.18 13.43
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Three-year weighted-average
AAA 46.27 0.89 0.32 0.46 0.09 0.04 0.10 0.00 0.00 0.14 51.68
AA 11.23 38.89 3.92 0.90 0.39 0.35 1.08 0.05 0.00 0.74 42.45
A 5.77 8.70 30.34 3.15 0.94 0.73 1.27 0.06 0.00 1.14 47.90
BBB 1.43 2.29 8.73 34.75 2.18 1.62 2.29 0.15 0.00 1.60 44.95
BB 0.23 0.62 1.24 5.69 35.64 3.21 4.95 0.62 0.00 2.82 44.99
B 0.08 0.42 0.67 1.58 3.00 40.42 4.58 0.75 0.00 7.92 40.58
CCC 0.00 0.00 0.00 0.59 1.02 4.25 4.83 1.76 0.15 47.14 40.26
CC 0.00 0.00 0.00 0.00 2.99 0.00 4.48 4.48 0.00 70.15 17.91
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Four-year weighted-average
AAA 32.91 0.92 0.32 0.45 0.06 0.03 0.09 0.01 0.00 0.18 65.04
AA 10.62 27.62 3.92 0.68 0.19 0.29 0.79 0.07 0.00 1.02 54.80
A 7.54 7.03 18.60 2.80 0.69 0.54 1.01 0.04 0.00 1.54 60.21
BBB 2.14 2.59 7.96 23.98 2.07 0.87 1.52 0.18 0.02 2.67 56.01
BB 0.18 0.41 1.40 4.44 26.26 2.40 3.51 0.47 0.00 5.26 55.67
B 0.09 0.44 0.70 1.13 1.66 33.74 2.09 0.52 0.00 10.64 49.00
CCC 0.00 0.00 0.00 0.90 0.60 1.51 1.66 0.75 0.00 49.85 44.73
CC 0.00 0.00 0.00 0.00 1.52 0.00 3.03 3.03 0.00 71.21 21.21
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Five-year weighted-average
AAA 22.64 0.88 0.28 0.38 0.02 0.02 0.03 0.00 0.00 0.21 75.54
AA 9.63 19.01 3.40 0.46 0.08 0.19 0.31 0.12 0.00 1.30 65.50
A 9.01 4.97 10.99 2.12 0.49 0.40 0.52 0.05 0.00 1.93 69.52
BBB 2.98 2.84 6.49 16.53 1.25 0.48 0.90 0.18 0.00 3.62 64.73
BB 0.12 0.37 1.34 3.78 20.54 2.25 1.58 0.06 0.00 7.62 62.34
B 0.09 0.46 0.55 1.10 1.01 28.17 1.38 0.28 0.00 12.02 54.95
CCC 0.00 0.00 0.00 0.63 0.63 0.63 0.63 0.31 0.00 51.88 45.31
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.61 0.00 72.58 25.81
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
10-year weighted-average
AAA 4.96 0.63 0.20 0.10 0.01 0.00 0.01 0.00 0.00 0.25 93.84
AA 1.35 2.84 1.39 0.50 0.02 0.04 0.00 0.00 0.00 2.10 91.75
A 1.77 0.74 1.88 0.53 0.11 0.07 0.00 0.00 0.00 2.98 91.92
BBB 2.27 1.71 1.26 0.91 0.14 0.00 0.03 0.00 0.00 5.89 87.79
BB 0.20 0.61 1.32 2.44 2.24 0.31 0.00 0.00 0.00 11.51 81.36
B 0.19 0.78 0.97 2.13 0.58 4.46 0.00 0.00 0.00 10.27 80.62
CCC 0.00 0.00 0.00 0.00 0.00 0.72 0.00 0.00 0.00 45.65 53.62
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 64.71 35.29
C
N/A--Not applicable. Source: S&P Global Fixed Income Research.
Global RMBS

Table 37

Global RMBS Cumulative Default Rates, Conditional On Survival, 1976-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.03 0.27 1.15 2.65 4.31 5.59 6.51 7.16 7.67 8.04
AA 0.25 2.52 6.32 9.64 12.38 14.68 16.57 18.18 19.51 20.67
A 0.62 5.11 11.07 15.99 20.07 23.75 27.07 30.00 32.50 34.75
BBB 1.58 8.89 17.16 23.96 29.56 34.40 38.35 41.49 44.00 46.08
BB 3.11 12.65 20.87 28.19 34.23 39.34 43.40 46.72 49.43 51.68
B 4.94 15.67 24.46 33.12 39.53 43.81 47.40 50.30 52.68 54.82
CCC 15.19 29.78 41.64 49.01 53.73 57.12 59.43 60.76 61.50 62.21
CC 43.02 61.71 72.30 77.96 80.84 82.58 83.65 84.12 84.42 84.42
IG 0.27 1.90 4.37 6.92 9.28 11.18 12.64 13.76 14.63 15.34
SG 17.34 31.27 41.62 48.85 53.71 57.21 59.84 61.81 63.40 64.97
Overall 4.63 9.30 13.62 17.17 19.97 22.08 23.64 24.78 25.65 26.32
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 38

Global RMBS One-Year Default Rates, 1976-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1976 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1977 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1978 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1979 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1985 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A
1988 0.12 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
1995 0.14 0.01 11.05 0.00 0.00 0.00 0.57 1.37 1.20 51.85 33.33
1996 0.04 0.00 2.39 0.00 0.00 0.00 0.00 0.91 0.00 5.26 100.00
1997 0.05 0.00 2.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45
1998 0.09 0.01 3.94 0.00 0.00 0.00 0.31 0.61 3.61 20.00 33.33
1999 0.05 0.00 2.16 0.00 0.00 0.00 0.00 0.00 2.35 20.00 25.00
2000 0.06 0.01 2.35 0.00 0.00 0.00 0.19 1.20 2.97 9.09 7.14
2001 0.11 0.00 4.04 0.00 0.00 0.00 0.00 1.17 3.26 42.11 16.67
2002 0.10 0.00 3.05 0.00 0.00 0.00 0.00 0.79 3.28 25.93 13.33
2003 0.18 0.02 3.31 0.00 0.00 0.07 0.32 0.15 1.34 64.15 12.50
2004 0.10 0.01 1.52 0.00 0.00 0.00 0.11 0.66 1.69 37.50 20.00
2005 0.09 0.01 1.00 0.00 0.00 0.00 0.09 0.31 1.37 53.85 0.00
2006 0.08 0.02 0.82 0.00 0.00 0.00 0.13 0.40 0.58 42.11 0.00
2007 0.45 0.15 3.88 0.00 0.02 0.16 0.88 3.88 1.88 47.31 0.00
2008 3.05 0.34 21.59 0.01 0.12 0.56 2.14 6.48 15.51 64.25 0.00
2009 14.32 2.04 43.53 0.19 1.70 4.73 9.81 14.42 19.09 56.93 82.19
2010 10.18 0.71 19.20 0.19 0.69 1.26 2.93 1.90 2.48 14.97 44.46
2011 9.43 0.15 18.25 0.12 0.14 0.06 0.42 0.28 1.30 9.63 43.83
2012 15.28 0.11 26.83 0.05 0.19 0.03 0.33 0.41 0.35 19.98 45.96
2013 9.29 0.09 16.61 0.00 0.09 0.05 0.30 0.75 0.88 7.55 38.35
2014 5.63 0.03 10.04 0.00 0.07 0.00 0.03 0.08 0.80 6.23 28.41
2015 5.39 0.12 9.73 0.00 0.21 0.14 0.10 0.66 0.82 8.52 27.95
2016 4.09 0.20 7.56 0.00 0.45 0.09 0.31 0.19 0.94 5.22 31.90
2017 2.78 0.27 5.06 0.03 0.16 0.42 0.69 1.49 0.68 5.03 17.68
2018 2.54 0.02 4.93 0.00 0.00 0.00 0.11 0.13 0.63 5.72 15.04
Weighted-average 4.63 0.27 17.34 0.03 0.25 0.62 1.58 3.11 4.94 15.19 43.02
Median 0.06 0.00 3.05 0.00 0.00 0.00 0.11 0.31 0.94 8.81 26.48
Std. dev. 3.95 0.33 11.07 0.04 0.29 0.78 1.79 8.67 4.32 21.76 24.62
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 15.28 2.04 43.53 0.19 1.70 4.73 9.81 50.00 19.09 64.25 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 39

Global RMBS Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 97.32 2.59 0.03 0.03 0.03 0.00 0.00 0.00 0.00 0.00
AA 10.72 86.80 1.49 0.69 0.31 0.00 0.00 0.00 0.00 0.00
A 5.72 17.07 71.29 3.90 1.42 0.51 0.08 0.00 0.00 0.00
BBB 3.32 16.38 19.99 53.09 5.10 1.83 0.17 0.00 0.00 0.11
BB 1.26 5.51 10.16 14.21 59.76 8.03 0.93 0.00 0.00 0.13
B 0.26 0.42 2.85 8.51 11.58 70.56 5.13 0.05 0.00 0.63
CCC 0.05 0.08 0.20 0.49 1.13 4.84 71.02 16.48 0.00 5.72
CC 0.00 0.10 0.00 0.10 0.10 1.10 2.49 81.08 0.00 15.04
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 92.41 1.69 1.18 0.99 0.78 1.27 1.55 0.10 0.00 0.03
AA 3.47 81.33 3.16 2.18 1.99 2.51 4.38 0.73 0.00 0.25
A 1.04 3.78 75.39 3.80 2.86 3.12 7.32 2.08 0.00 0.62
BBB 0.33 1.47 3.23 70.07 4.93 5.32 9.14 3.94 0.00 1.58
BB 0.15 0.51 1.54 3.44 62.03 9.71 12.95 6.55 0.00 3.11
B 0.04 0.11 0.33 1.13 2.72 58.13 23.32 9.27 0.00 4.94
CCC 0.01 0.02 0.03 0.12 0.32 1.03 68.50 14.76 0.01 15.19
CC 0.00 0.00 0.01 0.02 0.06 0.22 1.35 55.30 0.00 43.02
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Two-year weighted-average
AAA 85.69 2.66 1.78 1.50 1.16 1.72 4.66 0.55 0.00 0.27
AA 6.24 67.21 4.61 3.07 2.79 3.52 7.10 2.92 0.00 2.53
A 2.28 6.23 58.47 4.76 3.66 4.19 9.60 5.68 0.00 5.13
BBB 0.76 2.54 5.27 51.58 5.82 5.81 10.51 8.79 0.00 8.93
BB 0.31 1.03 2.61 5.32 43.51 10.95 12.54 10.98 0.01 12.75
B 0.09 0.27 0.62 1.98 4.30 41.15 21.60 14.15 0.00 15.84
CCC 0.01 0.03 0.08 0.23 0.54 1.65 53.27 13.85 0.01 30.32
CC 0.00 0.01 0.02 0.04 0.09 0.35 2.64 34.78 0.00 62.07
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Three-year weighted-average
AAA 80.72 3.42 2.28 1.84 1.39 1.78 5.68 1.73 0.00 1.15
AA 8.40 57.00 5.33 3.62 3.15 4.23 7.74 4.12 0.00 6.40
A 3.48 7.66 46.29 5.06 4.14 4.83 10.18 7.08 0.00 11.27
BBB 1.29 3.27 6.30 38.82 5.72 5.99 10.66 10.52 0.00 17.42
BB 0.48 1.47 3.34 6.21 32.15 10.54 12.45 11.91 0.01 21.44
B 0.17 0.45 0.88 2.56 5.02 30.70 22.18 12.74 0.00 25.29
CCC 0.02 0.06 0.12 0.30 0.69 1.98 42.69 10.61 0.00 43.52
CC 0.00 0.01 0.03 0.05 0.12 0.41 3.72 22.50 0.00 73.16
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Four-year weighted-average
AAA 76.81 4.14 2.81 2.25 1.64 1.95 5.51 2.22 0.00 2.66
AA 9.88 48.72 5.78 3.92 3.69 4.93 8.55 4.58 0.01 9.95
A 4.37 7.98 37.07 4.87 4.28 5.41 10.95 8.36 0.01 16.71
BBB 1.75 3.52 6.33 29.91 5.15 5.98 10.53 12.01 0.00 24.81
BB 0.71 1.82 3.51 5.84 24.54 9.60 12.44 11.78 0.01 29.75
B 0.24 0.63 1.11 2.81 4.80 23.22 21.84 10.18 0.00 35.18
CCC 0.04 0.08 0.17 0.35 0.74 1.89 35.30 8.18 0.00 53.25
CC 0.00 0.01 0.03 0.07 0.15 0.50 4.35 15.44 0.00 79.44
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
Five-year weighted-average
AAA 74.07 4.72 3.21 2.56 1.81 2.04 5.08 2.15 0.00 4.34
AA 10.95 42.49 6.00 4.01 4.18 5.51 9.15 4.63 0.00 13.08
A 5.17 7.41 30.25 4.49 4.31 5.69 12.41 8.65 0.01 21.62
BBB 2.14 3.62 5.80 24.08 4.39 5.67 10.48 12.43 0.00 31.41
BB 0.83 2.02 3.48 5.31 19.12 8.56 12.17 11.11 0.02 37.38
B 0.29 0.66 1.22 2.80 4.49 17.63 20.27 9.06 0.00 43.59
CCC 0.04 0.09 0.18 0.34 0.71 1.73 29.09 6.99 0.00 60.83
CC 0.00 0.02 0.05 0.08 0.19 0.52 4.03 11.55 0.00 83.56
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
10-year weighted-average
AAA 70.84 5.09 3.43 2.65 2.03 2.04 4.16 1.07 0.00 8.70
AA 14.40 29.50 4.21 2.68 3.85 5.64 11.86 2.27 0.00 25.58
A 6.16 5.06 17.42 1.87 2.23 4.10 14.99 4.98 0.00 43.19
BBB 2.52 2.44 3.42 15.73 1.68 2.65 8.44 6.97 0.00 56.14
BB 0.80 1.38 2.18 3.09 9.78 2.85 5.10 6.65 0.03 68.14
B 0.31 0.25 0.72 1.71 2.62 8.26 2.89 7.23 0.00 76.01
CCC 0.01 0.03 0.05 0.11 0.07 0.15 2.83 2.24 0.00 94.51
CC 0.00 0.00 0.00 0.15 0.08 0.04 0.15 2.93 0.00 96.65
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 40

Global RMBS Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 82.22 2.37 0.03 0.03 0.03 0.00 0.00 0.00 0.00 0.00 15.31
AA 8.92 76.15 1.45 0.69 0.31 0.00 0.00 0.00 0.00 0.00 12.48
A 4.69 16.76 59.15 3.63 1.34 0.28 0.08 0.00 0.00 0.00 14.08
BBB 2.86 15.75 19.42 45.48 5.04 1.43 0.17 0.00 0.00 0.11 9.74
BB 1.06 5.18 10.03 13.88 52.46 7.30 0.93 0.00 0.00 0.13 9.03
B 0.16 0.42 2.80 8.40 11.15 60.94 5.02 0.05 0.00 0.63 10.41
CCC 0.00 0.03 0.18 0.47 1.11 4.76 67.11 16.48 0.00 5.72 4.12
CC 0.00 0.00 0.00 0.10 0.10 1.10 2.39 77.49 0.00 15.04 3.78
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 80.52 1.65 1.15 0.97 0.76 1.25 1.54 0.09 0.00 0.03 12.03
AA 3.16 75.15 3.09 2.12 1.96 2.46 4.35 0.72 0.00 0.25 6.74
A 0.89 3.66 70.23 3.72 2.82 3.07 7.27 2.08 0.00 0.62 5.65
BBB 0.28 1.35 3.11 65.20 4.81 5.19 9.06 3.93 0.00 1.58 5.50
BB 0.14 0.48 1.41 3.34 57.65 9.41 12.77 6.53 0.00 3.11 5.17
B 0.03 0.11 0.31 1.06 2.66 54.43 22.77 9.22 0.00 4.94 4.46
CCC 0.01 0.01 0.03 0.12 0.32 1.02 65.48 14.13 0.01 15.19 3.68
CC 0.00 0.00 0.01 0.02 0.06 0.21 1.33 53.54 0.00 43.02 1.81
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Two-year weighted-average
AAA 62.98 2.45 1.66 1.40 1.08 1.61 4.39 0.49 0.00 0.27 23.66
AA 4.89 56.19 4.37 2.91 2.70 3.38 6.94 2.86 0.00 2.53 13.24
A 1.69 5.51 49.45 4.50 3.51 4.06 9.33 5.57 0.00 5.13 11.25
BBB 0.55 2.10 4.72 42.89 5.43 5.50 10.20 8.62 0.00 8.93 11.07
BB 0.24 0.91 2.13 4.80 36.30 10.09 12.06 10.62 0.01 12.75 10.09
B 0.07 0.25 0.52 1.71 3.92 35.23 20.20 13.44 0.00 15.84 8.83
CCC 0.01 0.02 0.06 0.20 0.50 1.60 48.80 13.03 0.01 30.32 5.44
CC 0.00 0.00 0.01 0.02 0.06 0.30 2.52 31.94 0.00 62.07 3.07
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Three-year weighted-average
AAA 48.89 2.95 2.04 1.61 1.21 1.56 5.07 1.51 0.00 1.15 34.00
AA 5.63 42.16 4.86 3.34 2.98 3.96 7.45 4.01 0.00 6.40 19.20
A 2.22 6.22 34.47 4.57 3.83 4.61 9.77 6.91 0.00 11.27 16.12
BBB 0.84 2.41 5.24 27.53 5.00 5.46 10.16 10.23 0.00 17.42 15.70
BB 0.31 1.14 2.48 5.18 23.27 9.15 11.63 11.29 0.00 21.44 14.11
B 0.12 0.39 0.70 1.98 4.23 23.52 19.91 11.80 0.00 25.29 12.07
CCC 0.01 0.04 0.10 0.26 0.60 1.85 37.56 9.59 0.00 43.52 6.47
CC 0.00 0.01 0.02 0.03 0.08 0.33 3.41 18.90 0.00 73.16 4.07
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Four-year weighted-average
AAA 37.59 3.37 2.42 1.88 1.35 1.62 4.69 1.91 0.00 2.66 42.54
AA 5.76 30.96 5.05 3.47 3.42 4.50 8.10 4.40 0.01 9.95 24.39
A 2.53 5.96 23.44 4.15 3.82 5.05 10.34 8.09 0.01 16.71 19.90
BBB 1.05 2.40 4.84 17.05 4.13 5.16 9.74 11.55 0.00 24.81 19.26
BB 0.44 1.32 2.41 4.45 14.84 7.78 11.17 10.90 0.00 29.75 16.94
B 0.16 0.53 0.85 2.05 3.72 15.50 19.00 8.96 0.00 35.18 14.04
CCC 0.03 0.05 0.13 0.29 0.62 1.72 29.84 6.93 0.00 53.25 7.14
CC 0.00 0.01 0.02 0.04 0.09 0.40 3.81 11.34 0.00 79.44 4.84
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
Five-year weighted-average
AAA 28.71 3.59 2.64 2.02 1.37 1.57 4.12 1.78 0.00 4.34 49.86
AA 5.53 22.50 5.00 3.45 3.80 4.89 8.45 4.36 0.00 13.08 28.95
A 2.69 4.94 15.44 3.64 3.72 5.18 11.50 8.29 0.01 21.62 22.98
BBB 1.19 2.27 3.97 10.25 3.22 4.62 9.38 11.73 0.00 31.41 21.97
BB 0.45 1.33 2.20 3.57 9.07 6.52 10.47 9.89 0.00 37.38 19.11
B 0.20 0.53 0.89 1.89 3.16 9.83 16.92 7.48 0.00 43.59 15.51
CCC 0.03 0.06 0.13 0.27 0.57 1.53 23.55 5.49 0.00 60.83 7.55
CC 0.00 0.01 0.03 0.06 0.12 0.40 3.38 7.23 0.00 83.56 5.20
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
10-year weighted-average
AAA 6.38 3.09 2.28 1.59 1.12 1.16 2.78 0.49 0.00 8.70 72.41
AA 2.41 4.19 2.44 2.10 3.29 4.37 9.73 1.68 0.00 25.58 44.21
A 0.71 1.15 2.68 1.19 1.59 3.01 12.38 4.04 0.00 43.19 30.06
BBB 0.42 0.36 0.82 1.16 0.90 1.41 5.92 4.70 0.00 56.14 28.17
BB 0.03 0.16 0.20 0.42 0.68 1.40 2.88 3.57 0.00 68.14 22.52
B 0.04 0.03 0.04 0.14 0.20 0.64 1.31 3.26 0.00 76.01 18.33
CCC 0.01 0.01 0.03 0.07 0.03 0.09 0.90 0.80 0.00 94.51 3.55
CC 0.00 0.00 0.00 0.15 0.06 0.02 0.10 0.42 0.00 96.65 2.60
C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
N/A--Not applicable. Source: S&P Global Fixed Income Research.
Global structured credit

Table 41

Global Structured Credit Cumulative Default Rates, Conditional On Survival, 1985-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.45 1.41 2.40 4.21 5.55 6.34 6.70 6.91 7.02 7.08
AA 0.52 1.80 3.28 5.38 7.26 8.47 9.08 9.43 9.70 9.87
A 0.58 1.63 3.02 5.56 7.85 9.21 9.93 10.36 10.70 11.08
BBB 0.64 1.83 3.65 6.96 10.05 12.31 13.91 15.08 16.06 16.75
BB 0.78 2.40 4.83 7.60 9.95 11.40 12.65 13.74 14.78 15.88
B 1.31 4.27 8.15 11.43 13.45 14.64 15.88 17.13 18.25 19.35
CCC 10.13 19.48 26.13 29.59 31.08 32.05 32.86 33.46 34.00 34.17
CC 38.30 62.70 79.82 81.72 82.86 83.76 84.28 84.80 85.14 85.14
IG 0.52 1.61 2.93 5.21 7.14 8.37 9.06 9.50 9.81 10.04
SG 10.72 19.25 26.10 29.02 30.83 32.00 32.97 33.82 34.59 35.35
Overall 3.25 6.33 9.12 11.56 13.46 14.67 15.41 15.92 16.31 16.59
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 42

Global Structured Credit One-Year Default Rates, 1985-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1985 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1991 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1996 0.40 0.20 33.33 0.00 0.00 6.25 0.00 33.33 N/A N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2002 0.41 0.04 3.10 0.00 0.00 0.00 0.27 0.83 5.45 16.67 33.33
2003 0.43 0.00 3.07 0.00 0.00 0.00 0.00 0.00 1.23 13.89 19.35
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2005 0.10 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.00 4.04 6.35
2006 0.09 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.00 3.57 9.59
2007 0.18 0.12 0.86 0.09 0.23 0.04 0.12 0.09 0.00 0.00 15.28
2008 3.32 2.84 7.30 2.53 2.67 3.46 3.31 3.82 6.62 18.46 27.85
2009 5.40 0.89 14.72 0.51 1.36 1.12 1.03 1.53 3.76 17.18 27.29
2010 4.16 0.27 8.59 0.03 0.23 0.32 0.67 1.52 2.84 9.77 14.93
2011 17.29 0.15 31.56 0.00 0.11 0.20 0.35 0.37 0.84 13.50 82.29
2012 3.45 0.10 7.58 0.08 0.11 0.07 0.16 0.33 0.76 10.08 22.71
2013 1.88 0.04 4.75 0.00 0.00 0.08 0.08 0.18 0.50 5.91 24.78
2014 1.50 0.00 4.22 0.00 0.00 0.00 0.00 0.19 0.60 6.59 23.67
2015 0.67 0.00 2.04 0.00 0.00 0.00 0.00 0.11 0.00 1.71 21.76
2016 0.66 0.00 2.32 0.00 0.00 0.00 0.00 0.00 0.00 6.28 16.88
2017 0.50 0.00 1.87 0.00 0.00 0.00 0.00 0.14 0.25 4.00 19.18
2018 0.53 0.00 2.06 0.00 0.00 0.00 0.00 0.00 0.00 9.60 8.45
Weighted-average 3.25 0.52 10.72 0.45 0.52 0.58 0.64 0.78 1.31 10.13 38.30
Median 0.04 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.13 6.10 19.35
Std. dev. 3.15 0.50 8.48 0.44 0.51 1.25 0.67 6.18 1.96 6.27 17.75
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 17.29 2.84 33.33 2.53 2.67 6.25 3.31 33.33 6.62 18.46 82.29
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.

Table 43

Global Structured Credit Rating Transitions, 2018 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2018
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 5.18 94.82 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.53 3.32 95.09 1.06 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.15 0.88 2.35 96.32 0.15 0.15 0.00 0.00 0.00 0.00
BB 0.18 0.00 0.18 2.52 96.04 1.08 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.96 1.28 96.15 0.96 0.64 0.00 0.00
CCC 0.00 0.00 0.00 0.56 2.26 1.69 84.75 1.13 0.00 9.60
CC 0.00 0.00 0.00 0.00 0.00 4.23 0.00 87.32 0.00 8.45
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 87.98 4.92 1.87 1.35 1.03 0.64 0.92 0.85 0.00 0.45
AA 9.11 76.41 4.90 3.29 1.59 1.03 1.81 1.34 0.00 0.52
A 1.35 7.32 76.24 6.19 3.19 1.52 1.92 1.70 0.00 0.58
BBB 0.35 1.51 6.09 73.76 5.64 3.53 6.03 2.46 0.00 0.64
BB 0.11 0.24 1.44 7.41 71.47 5.54 10.11 2.89 0.00 0.78
B 0.04 0.09 0.46 2.47 10.79 64.03 16.28 4.54 0.00 1.31
CCC 0.01 0.02 0.01 0.49 2.27 6.22 71.15 9.70 0.00 10.13
CC 0.00 0.00 0.00 0.01 0.09 0.10 0.11 61.39 0.00 38.30
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 78.61 7.88 3.02 2.14 1.74 1.13 2.59 1.48 0.00 1.42
AA 16.19 60.26 6.92 4.27 2.22 1.48 4.48 2.37 0.00 1.81
A 3.80 11.26 60.44 8.25 4.51 2.31 4.35 3.43 0.00 1.65
BBB 1.06 3.40 9.27 57.40 7.58 5.16 9.34 4.93 0.00 1.85
BB 0.34 0.87 3.31 11.68 55.28 7.30 14.22 4.58 0.00 2.43
B 0.13 0.35 1.42 5.39 16.57 47.65 18.51 5.66 0.00 4.32
CCC 0.01 0.04 0.13 1.33 4.38 9.80 54.17 10.66 0.00 19.48
CC 0.00 0.00 0.00 0.05 0.17 0.19 0.12 36.62 0.00 62.85
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 71.93 10.25 3.74 2.61 2.11 1.30 3.42 2.21 0.00 2.44
AA 21.13 49.44 8.18 4.61 2.60 1.90 5.89 2.89 0.00 3.37
A 6.62 12.16 50.69 9.56 4.95 2.78 5.78 4.36 0.00 3.11
BBB 2.15 5.13 9.81 46.86 9.13 6.07 10.73 6.38 0.00 3.74
BB 0.64 1.68 5.05 13.07 45.48 8.44 15.61 5.07 0.00 4.97
B 0.35 0.73 2.74 7.66 17.15 39.78 18.22 4.96 0.00 8.41
CCC 0.04 0.09 0.44 2.28 5.72 10.51 45.90 8.69 0.00 26.32
CC 0.00 0.00 0.02 0.05 0.23 0.17 0.11 19.35 0.00 80.07
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 67.91 11.44 4.03 2.86 2.36 1.53 3.67 1.89 0.00 4.32
AA 24.35 42.81 8.60 4.71 2.77 2.24 6.21 2.69 0.00 5.62
A 9.51 11.72 44.82 9.97 5.06 2.90 6.35 3.90 0.00 5.79
BBB 3.34 6.35 9.34 40.65 9.61 6.41 11.26 5.83 0.00 7.20
BB 0.99 2.53 6.58 12.86 39.39 9.22 15.69 4.75 0.00 7.99
B 0.61 1.10 3.90 9.37 16.48 34.24 17.89 4.18 0.00 12.23
CCC 0.08 0.18 0.78 3.09 6.50 10.44 41.20 7.57 0.00 30.17
CC 0.00 0.00 0.05 0.01 0.27 0.16 0.09 17.09 0.00 82.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 66.26 11.37 4.10 3.03 2.46 1.65 3.72 1.62 0.00 5.79
AA 26.20 39.19 8.24 4.76 2.91 2.46 6.07 2.34 0.00 7.81
A 11.75 11.26 41.35 9.58 4.81 3.00 6.74 3.11 0.00 8.41
BBB 4.51 6.72 8.58 37.35 9.48 6.31 11.56 4.85 0.00 10.65
BB 1.45 3.43 7.47 12.01 35.18 9.96 15.25 4.40 0.00 10.86
B 0.81 1.54 5.30 10.04 15.61 29.21 17.73 4.33 0.00 15.42
CCC 0.12 0.26 1.12 3.66 6.93 10.05 37.74 7.34 0.00 32.79
CC 0.00 0.00 0.05 0.00 0.30 0.14 0.06 15.13 0.00 84.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 66.93 7.13 4.35 3.57 2.50 1.62 3.42 1.70 0.00 8.76
AA 18.13 36.98 6.77 5.76 3.84 3.05 7.40 2.51 0.00 15.56
A 11.80 10.98 34.80 6.15 5.04 3.04 8.44 3.02 0.00 16.73
BBB 2.78 4.23 7.82 33.41 7.37 6.22 11.50 3.64 0.00 23.03
BB 0.86 1.45 2.90 7.49 33.21 10.97 14.36 5.41 0.00 23.36
B 0.87 0.60 0.98 1.20 4.40 21.10 20.94 6.20 0.00 43.72
CCC 0.04 0.09 0.22 0.44 0.44 1.72 23.13 7.49 0.00 66.43
CC 0.00 0.00 0.00 0.00 0.23 0.15 0.00 4.81 0.00 94.81
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.

Table 44

Global Structured Credit Rating Transitions, 2018 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2018
AAA 50.51 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 49.49
AA 3.58 54.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 42.29
A 0.13 2.39 60.34 0.80 0.00 0.00 0.00 0.00 0.00 0.00 36.34
BBB 0.00 0.88 2.06 60.44 0.15 0.00 0.00 0.00 0.00 0.00 36.47
BB 0.18 0.00 0.18 1.98 56.40 0.54 0.00 0.00 0.00 0.00 40.72
B 0.00 0.00 0.00 0.96 1.28 52.88 0.64 0.64 0.00 0.00 43.59
CCC 0.00 0.00 0.00 0.00 1.69 1.69 57.63 1.13 0.00 9.60 28.25
CC 0.00 0.00 0.00 0.00 0.00 2.82 0.00 80.28 0.00 8.45 8.45
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted-average
AAA 73.58 4.76 1.79 1.28 0.96 0.61 0.88 0.85 0.00 0.45 14.85
AA 7.59 64.31 4.69 3.10 1.51 0.98 1.74 1.33 0.00 0.52 14.23
A 0.97 6.61 64.14 5.98 3.08 1.45 1.84 1.69 0.00 0.58 13.65
BBB 0.22 1.17 5.36 63.27 5.43 3.40 5.81 2.45 0.00 0.64 12.26
BB 0.05 0.12 1.14 6.46 60.73 5.33 9.80 2.86 0.00 0.78 12.71
B 0.01 0.06 0.30 2.00 9.50 51.75 15.37 4.54 0.00 1.31 15.17
CCC 0.01 0.01 0.01 0.37 2.00 5.64 58.63 9.10 0.00 10.13 14.10
CC 0.00 0.00 0.00 0.01 0.07 0.07 0.09 55.84 0.00 38.30 5.63
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 53.49 7.19 2.64 1.84 1.54 1.03 2.38 1.47 0.00 1.42 27.00
AA 10.04 40.12 6.10 3.57 1.90 1.31 4.04 2.35 0.00 1.81 28.76
A 2.22 8.59 40.48 7.51 4.16 2.12 4.06 3.38 0.00 1.65 25.83
BBB 0.49 2.07 6.88 39.90 6.87 4.73 8.46 4.86 0.00 1.85 23.88
BB 0.14 0.42 2.08 8.45 37.23 6.46 12.87 4.44 0.00 2.43 25.46
B 0.03 0.22 0.71 3.67 12.10 28.17 15.77 5.53 0.00 4.32 29.49
CCC 0.00 0.02 0.11 0.89 3.34 7.57 33.56 8.64 0.00 19.48 26.39
CC 0.00 0.00 0.00 0.05 0.12 0.14 0.08 27.39 0.00 62.85 9.38
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 39.45 8.68 2.94 1.99 1.70 1.07 2.95 2.17 0.00 2.44 36.61
AA 9.36 24.82 6.66 3.27 1.95 1.56 4.76 2.82 0.00 3.37 41.44
A 2.82 7.64 26.22 8.25 4.27 2.38 4.95 4.18 0.00 3.11 36.19
BBB 0.72 2.57 5.76 25.04 7.79 5.18 8.94 6.08 0.00 3.74 34.18
BB 0.19 0.65 2.46 7.60 23.43 6.91 13.34 4.52 0.00 4.97 35.92
B 0.05 0.31 0.99 4.04 9.31 17.07 13.26 4.12 0.00 8.41 42.44
CCC 0.00 0.03 0.29 1.26 3.50 6.21 19.61 5.53 0.00 26.32 37.25
CC 0.00 0.00 0.00 0.05 0.14 0.11 0.03 7.96 0.00 80.07 11.64
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 29.74 8.80 2.69 1.84 1.72 1.13 2.76 1.72 0.00 4.32 45.28
AA 7.77 15.22 6.22 2.71 1.75 1.67 4.17 2.32 0.00 5.62 52.54
A 3.13 5.78 17.56 7.87 3.87 2.23 4.86 3.44 0.00 5.79 45.47
BBB 0.80 2.56 4.18 15.87 7.50 4.92 8.48 5.20 0.00 7.20 43.29
BB 0.21 0.88 2.54 5.70 14.72 6.92 12.23 3.87 0.00 7.99 44.95
B 0.16 0.26 1.10 3.96 6.32 10.02 10.41 2.67 0.00 12.23 52.86
CCC 0.00 0.09 0.29 1.27 2.95 4.44 11.31 3.54 0.00 30.17 45.93
CC 0.00 0.00 0.00 0.01 0.10 0.08 0.01 4.65 0.00 82.33 12.82
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 23.44 7.57 2.12 1.53 1.52 1.04 2.25 1.11 0.00 5.79 53.63
AA 5.83 9.81 4.99 1.99 1.45 1.55 3.09 1.70 0.00 7.81 61.77
A 2.87 4.26 12.58 6.78 3.04 2.01 4.45 2.39 0.00 8.41 53.21
BBB 0.94 2.01 2.76 11.05 6.40 4.11 7.72 3.90 0.00 10.65 50.46
BB 0.22 1.07 2.29 3.66 9.63 6.92 10.25 3.18 0.00 10.86 51.92
B 0.10 0.32 1.24 3.26 4.23 5.41 7.61 2.29 0.00 15.42 60.11
CCC 0.01 0.06 0.26 0.97 2.11 2.93 6.57 2.55 0.00 32.79 51.75
CC 0.00 0.00 0.00 0.00 0.08 0.04 0.00 2.71 0.00 84.33 12.85
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted-average
AAA 8.81 0.55 0.45 0.32 0.21 0.24 0.27 0.17 0.00 8.76 80.23
AA 0.70 1.27 0.81 0.38 0.26 0.28 0.62 0.46 0.00 15.56 79.66
A 0.42 0.77 1.58 0.83 0.55 0.49 1.72 0.88 0.00 16.73 76.04
BBB 0.10 0.20 0.51 1.16 0.70 0.77 2.15 1.16 0.00 23.03 70.22
BB 0.00 0.03 0.10 0.47 1.03 1.35 2.37 1.75 0.00 23.36 69.54
B 0.00 0.00 0.00 0.11 0.22 0.54 2.34 0.82 0.00 43.72 52.26
CCC 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.13 0.00 66.43 33.39
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.11 0.00 94.81 5.08
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
N/A--Not applicable. Source: S&P Global Fixed Income Research.
Global ABS

Table 45

Global ABS Cumulative Default Rates, Conditional On Survival, 1983-2018 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.01 0.02 0.02 0.03 0.04 0.04 0.05 0.05
AA 0.02 0.08 0.19 0.36 0.56 0.81 0.99 1.07 1.15 1.26
A 0.08 0.25 0.50 0.77 1.02 1.26 1.50 1.70 1.82 1.91
BBB 0.24 0.65 1.35 2.31 3.21 4.02 4.58 5.15 5.57 5.93
BB 1.06 2.96 5.47 7.39 9.00 10.69 12.43 13.60 14.27 14.67
B 3.78 9.14 12.64 14.59 15.97 17.64 19.07 20.48 22.51 24.37
CCC 10.32 18.05 24.63 29.78 34.21 37.43 39.82 42.11 44.14 45.77
CC 17.30 27.99 36.27 41.35 44.94 45.63 45.63 45.63 45.63 45.63
IG 0.04 0.13 0.27 0.44 0.61 0.77 0.89 0.99 1.06 1.12
SG 5.27 10.12 14.21 17.06 19.33 21.29 23.01 24.39 25.55 26.46
Overall 0.35 0.70 1.05 1.37 1.64 1.88 2.06 2.21 2.32 2.41
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Table 46

Global ABS One-Year Default Rates, 1983-2018 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1983 0.00 0.00 N/A N/A 0.00 0.00 N/A N/A N/A N/A N/A
1984 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A
1985 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.36 0.33 2.00 0.00 0.00 1.72 0.00 2.22 0.00 N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.27 0.10 5.49 0.00 0.00 0.21 0.72 2.30 5.80 37.50 N/A
2002 1.02 0.19 26.78 0.00 0.29 0.37 1.28 5.15 50.67 54.55 N/A
2003 0.74 0.16 17.97 0.00 0.00 0.08 1.64 9.46 15.79 55.26 8.33
2004 0.71 0.06 14.89 0.00 0.00 0.00 0.42 5.39 17.11 30.77 33.33
2005 0.50 0.00 9.32 0.00 0.00 0.00 0.00 0.00 1.01 13.10 64.52
2006 0.43 0.00 9.63 0.00 0.00 0.00 0.00 0.00 0.00 20.31 71.43
2007 0.53 0.03 10.34 0.00 0.00 0.00 0.23 0.00 2.86 20.63 78.57
2008 0.09 0.00 1.90 0.00 0.00