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Default, Transition, and Recovery: 2020 Annual European Structured Finance Default And Rating Transition Study

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U.S. CMBS Update Q3 2021: Issuance Picks Up, Leverage Remains Elevated

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Weekly European CLO Update


Default, Transition, and Recovery: 2020 Annual European Structured Finance Default And Rating Transition Study

The overall credit quality of European structured finance transactions deteriorated in 2020, after four years of impressive credit performance (see chart 1). The average change in credit quality (ACCQ; see definition in Appendix I) for European structured finance fell to +0.04 notches by the end of December 2020. This metric has been positive since the end of 2015, indicating that ratings have been drifting higher on average over this period. However, after reaching a historical high of +0.37 notches in 2019, the metric sharply declined in 2020, indicating that ratings have drifted lower over the past year.

Chart 1

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The downgrade rate rose to 3.6% in 2020 from 1.6% in 2019, while the upgrade rate fell sharply to 4.8% from a historical high of 20.1%. Despite deteriorating credit performance, the annual default rate fell to 0.24% in 2020, down from 0.75% in 2019.

S&P Global Ratings had 3,266 ratings outstanding on European structured finance securities at the beginning of 2020 (see table 1). Given the inherent diversity across European financial systems, the performance of the various structured finance sectors remained mixed as ever. Despite emerging pockets of credit deterioration across Europe brought on by the global recession in 2020, there were just eight defaults, resulting in an annual default rate of 0.24%. In 2019, there were 24 defaults, giving an annual default rate of 0.75%. Of the eight defaults in 2020, three were investment grade (rated 'BBB-' and above), with all three credits rated 'BBB'. The remaining five defaults were speculative grade (rated 'BB+' and below).

Table 1

European Structured Finance Transition And Default Summary
2020 versus one-year average
2020 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 3266 91.55 4.84 3.61 0.24 8 77.70 7.82 14.48 1.00
Sector
RMBS 1447 91.02 7.88 1.11 0.00 0 80.10 8.21 11.69 0.31
Structured credit 1196 94.73 1.84 3.43 0.17 2 73.93 9.37 16.70 1.33
ABS 407 91.65 5.16 3.19 0.00 0 88.70 4.65 6.65 0.23
CMBS 195 81.03 0.51 18.46 3.08 6 74.41 3.57 22.01 2.96
Single-name synthetics 21 42.86 0.00 57.14 0.00 0 81.77 3.71 14.52 0.45
Collateral country
U.K. 1178 92.02 2.38 5.60 0.51 6 79.91 7.34 12.75 0.55
Spain 274 79.56 18.25 2.19 0.00 0 70.68 10.96 18.36 1.53
Italy 127 91.34 3.15 5.51 0.00 0 79.23 6.08 14.69 0.37
Netherlands 234 86.75 13.25 0.00 0.00 0 87.41 5.42 7.17 0.28
Germany 134 96.27 3.73 0.00 0.00 0 82.18 5.09 12.73 1.71
Portugal 50 94.00 0.00 6.00 0.00 0 76.62 9.36 14.02 0.04
Other 979 95.10 1.53 3.37 0.20 2 72.85 9.83 17.32 1.46
Vintage
Pre-2005 148 89.86 2.70 7.43 0.00 0 85.83 5.78 8.39 0.29
2005 157 84.71 8.92 6.37 0.64 1 74.77 7.80 17.43 1.12
2006 376 86.97 8.78 4.26 0.00 0 70.01 8.94 21.05 1.77
2007 431 88.40 6.50 5.10 0.93 4 66.80 10.93 22.26 2.03
2008 61 96.72 0.00 3.28 0.00 0 75.35 6.81 17.82 1.09
2009 30 93.33 6.67 0.00 0.00 0 75.97 8.74 15.29 0.61
2010 15 93.33 0.00 6.67 0.00 0 77.03 9.52 13.45 0.32
2011 30 96.67 0.00 3.33 0.00 0 81.60 7.87 10.52 0.00
2012 42 97.62 0.00 2.38 0.00 0 87.61 5.82 6.58 0.08
2013 42 90.48 0.00 9.52 4.76 2 91.09 6.10 2.82 0.27
2014 67 88.06 2.99 8.96 1.49 1 88.63 8.16 3.22 0.08
2015 163 88.96 9.20 1.84 0.00 0 88.08 10.93 0.99 0.08
2016 139 97.12 2.16 0.72 0.00 0 92.13 7.20 0.67 0.00
2017 516 94.57 3.88 1.55 0.00 0 94.05 5.48 0.47 0.00
2018 426 94.60 3.76 1.64 0.00 0 92.40 6.80 0.81 0.00
2019 623 92.62 3.37 4.01 0.00 0 92.62 3.37 4.01 0.00
Rating category
AAA 618 99.03 0.00 0.97 0.00 0 90.08 0.00 9.92 0.12
AA 700 92.43 5.86 1.71 0.00 0 74.30 9.24 16.46 0.11
A 849 93.76 4.83 1.41 0.00 0 74.91 10.97 14.12 0.12
BBB 462 88.10 6.93 4.98 0.65 3 74.25 11.32 14.43 0.27
BB 275 78.55 6.55 14.91 0.00 0 68.01 12.82 19.18 0.58
B 248 84.27 8.87 6.85 0.40 1 66.64 14.38 18.98 2.05
CCC 89 89.89 4.49 5.62 2.25 2 67.96 11.06 20.91 10.58
CC 25 92.00 0.00 8.00 8.00 2 66.45 1.69 31.86 31.60
Rating grade
Investment-grade 2,629 93.6 4.3 2.0 0.1 3 80.0 6.8 13.2 0.1
Speculative-grade 637 82.9 6.9 10.2 0.8 5 67.6 12.4 20.0 4.7
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Defaults in 2020 were limited to the CMBS and structured credit sectors at 3.1% and 0.17%, respectively. The default rates in every sector remained below one-year averages. For the sixth consecutive year, the asset-backed securities (ABS) sector recorded no defaults.

Downgrade rates, which represent the number of downgrades as a portion of the number of ratings outstanding, were mainly concentrated in the CMBS and structured credit sectors at 18.5% and 3.4%, respectively. The highest downgrade rate of 2020 belonged to the single-named synthetics sector, which accounted for less than 1% of European structured finance ratings outstanding at the start of 2020. Rising downgrade rates in both the CMBS and structured credit sector were primarily driven by pandemic-related lockdowns, while the exposure in other sectors was less pronounced, due in part to policy support.

The residential mortgage-backed securities (RMBS) sector had the highest upgrade rate, which represents the number of upgrades as a portion of the number of ratings outstanding, at 7.9% in 2020. RMBS accounted for 44.4% of outstanding ratings in 2020, the highest of all sectors. Elevated upgrades in the sector were particularly concentrated in Spain, which stemmed from transactions that were characterized by historically low arrears, marginal default rates, the senior notes' amortization, and recent buildup of the reserve funds.

Chart 2

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Structured finance securities' performance in Europe has historically differed by sector, due in part to the collateral diversity unpinning transactions. The RMBS, ABS, and CMBS sectors specifically have inherent isosteric economic and consumer exposure. Despite the varying performance of underlying collateral at different points in time, European structured finance credit quality in aggregate is not immune to global economic events. The sectors with a higher concentration of ratings weigh on the overall European total.

During the financial crisis, all European structured finance sectors experienced credit deterioration. The RMBS sector fell into negative territory of the ACCQ in late 2008, falling to a low in 2012 before slowly climbing back into positive territory in mid-2016 and peaking at +0.82 notches in March 2020. RMBS credit quality quickly deteriorated during COVID-19 lockdown measures. However, the deterioration of the average change in credit quality accelerated primarily from a falloff in upgrades, which were at an all-time high in 2019, not from a prominent spike in downgrades.

The credit quality of ABS transactions has been less volatile, owing to the higher level of diversity in underlying collateral compared with the RMBS and CMBS sectors. The average change in credit quality for ABS turned negative in mid-2008 and did not return to positive territory again until 2015. Since then, the measure has remained steadily positive, and ABS is the only sector to report improving credit quality in 2020 among European structured finance.

The structured credit sector experienced the most immediate credit deterioration following the financial crisis, hitting the lowest credit performance level of any of the sectors at -3.26 notches in October 2009. Once reaching positive territory again in 2014, the measure remained elevated, only to end 2020 in negative territory. However, this time, it was driven by elevated downgrades in the sector, which outpaced upgrades for the first time since 2011.

The CMBS sector in Europe has shown weak credit performance since late 2008, hitting a low of -2.22 notches in mid-2010. After four years of slowly improving credit performance due to lack of trust in the sector following the financial crisis, the sector took a hit again in June 2013, declining to a new low of -2.6 notches, due to a rise in defaults driven by failure to meet maturity obligations.

Default Rates Resilient Despite Credit Deterioration

The 12-month-trailing default rate for European structured finance fell to 0.15% in December 2020 (see chart 3). The investment-grade segment had a 12-month-trailing default rate of 0%. The measure captures the 12-month lag in defaults over the current number of outstanding ratings, as the investment-grade defaults occurred in the second half of 2020, the 12-month-trailing default rate will reflect those defaults by year-end 2021. The 12-month-trailing default rate among speculative-grade securities fell to 0.79%, one of the lowest on record for the measure.

Chart 3

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Sector comparisons

The credit performance of European RMBS was among the strongest in 2020 (see chart 4). The sector accounted for the most ratings, at just over 44%. The upgrade rate for RMBS was 7.9%, and though this was the highest of any sector in 2020, it was a sharp decline from 37.6% in 2019. The downgrade rate increased to 1.1%, though no defaults were reported (see chart 5).

The ABS sector, which made up 13% of ratings, also had no defaults in 2020. The upgrade rate fell to 5.2%, though this was still above the one-year average. The downgrade rate rose slightly to 3.9% in 2020, up from 2.4%.

Chart 4

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CMBS, the sector hit the hardest by the pandemic, showed some of the weakest performance in 2020. Downgrades were almost exclusively in U.K. retail and hospitality subsectors, while the remainder of the sectors' performance was mostly stable.

The downgrade rate rose to 18%, double the 9% rate in 2019. The upgrade rate was just 0.5% in 2020, compared with 7.3% in 2019. Most defaults in 2020 occurred in CMBS credits, giving an annual default rate of 3.1%, compared with 4% in 2019. We lowered six ratings to 'D', of which three were due to restructuring. The other three were ratings from legacy deals issued before the financial crisis, one of which was a failure to repay at maturity, and none of these were due to the pandemic. The CMBS sector accounted for 6% of outstanding European structured finance ratings at the start of 2020.

The structured credit sector, which accounted for the second-largest portion of European credits in 2020 at 37%, reported two defaults. The resulting default rate of 3.4% is slightly above that of 1.5% in 2019. Downgrades were slightly elevated in 2020 at a rate of 3.4%, well below the one-year average. The upgrade rate fell to 1.8%, much lower than the one-year average of 9.4%.

The single-name synthetics sector accounted for the smallest portion of ratings outstanding at the start of 2020, at just 0.6%. There were no defaults or upgrades for this sector during the year, and there was a significant number of downgrades with a rate of 57%.

Chart 5

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Vintages

Credit performance across European structured finance continues to vary by the year of issuance, or vintage (see chart 6 and 7). The fundamental credit characteristics and economic conditions of a transaction's vintage often influence credit behavior and performance over time, due to structural and environmental differences.

In 2020, upgrade rates were the highest among the 2005, 2006, and 2015 vintages, with the 2015 vintage having the highest upgrade rate at 9.2%. Roughly half the vintages had upgrade rates higher than downgrade rates in 2020, while nearly all of these were below the long-term averages. The bulk of upgrades came from the vintages issued before 2020, which accounted for about a quarter of ratings outstanding at the start of 2020.

Chart 6

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Turning to downgrades, vintages 2010 through 2014 had higher rates compared with the others. In 2020, downgrade rates were at or below the one-year averages for all vintages beginning in 2013, while for most vintages before that they were above the averages.

The 2013 vintage had the highest default rate at 4.8%, well above the one-year average of 0.3%. Remaining defaults occurred in the 2005, 2007, and 2013 vintages, with 0.6%, 0.9%, and 1.5% rates, respectively.

Chart 7

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Rating categories

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

Most European structured finance securities are rated investment grade, making up over 80% of the total ratings in 2020. Downgrades were recorded at each investment-grade rating category, though there were fewer investment-grade downgrades compared with speculative grade (see chart 8). Also, there were more upgrades of investment-grade ratings than speculative-grade ratings. There was exceptional stability across the rating spectrum, with all rating categories having higher stability rates than their one-year averages.

Chart 8

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

For European structured finance, higher-rated securities have generally been associated with lower one-year weighted average default rates between 1983 and 2020 (see chart 9). Given the limited number of defaults in 2020, this pattern is more visual on the speculative-grade end. The three investment-grade defaults were concentrated in the 'BBB' rating category, which at 0.7% in 2020 was above its one-year average of 0.3%.

Chart 9

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To further explore the extent to which our structured finance ratings have successfully rank-ordered securities' creditworthiness over time, we can calculate cumulative default rates by rating category for various time horizons, on the same basis as in 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). This approach differs from the calculations we use in constructing the weighted average multiyear default and transition rates elsewhere in this study, which are not conditional on survival.

The cumulative default rates (conditional on survival) based on our full data history for European structured finance--from the beginning of 1983 to the end of 2020--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 rank-ordered creditworthiness over each time horizon.

For some time frames, there has been a limited distinction in cumulative default rates between the 'AA' and 'A' rating categories. This is partly due to a different mix of sectors at different rating categories, with sectors that were more adversely affected by the 2009 financial crisis (for example, structured credit) accounting for a larger portion of the 'AA' category than less affected sectors (for example, RMBS).

Table 2

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.12 0.28 0.52 0.81 1.11 1.34 1.51 1.60 1.68 1.73
AA 0.11 0.29 0.63 1.05 1.68 2.15 2.50 2.71 2.86 3.01
A 0.12 0.37 0.72 1.13 1.67 2.21 2.72 3.05 3.30 3.53
BBB 0.27 0.76 1.47 2.36 3.50 4.52 5.42 6.09 6.61 7.12
BB 0.58 1.75 3.27 4.77 6.13 7.33 8.46 9.36 10.05 10.72
B 2.05 4.84 7.74 10.52 12.80 14.08 14.96 15.68 16.14 16.40
CCC 10.58 19.13 25.13 29.24 30.91 32.03 32.81 33.40 33.91 34.03
CC 31.60 48.73 59.68 61.89 62.07 62.07 62.07 62.07 62.07 62.07
IG 0.14 0.39 0.76 1.22 1.80 2.29 2.70 2.97 3.17 3.36
SG 4.75 8.91 12.36 14.95 16.60 17.76 18.70 19.44 20.01 20.44
Overall 1.00 1.99 2.93 3.77 4.54 5.15 5.65 5.99 6.24 6.45
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Sectors In Detail: CMBS and Structured Credit Lead 2020 Performance Deterioration

RMBS

There were no defaults among European RMBS securities in 2020, resulting in an annual default of 0% for the first time since 2007. Despite no defaults, the rate of upgrades decreased, and downgrade rose. The upgrade rate in 2020 fell to 7.9%, compared with 37.6% the year before. In turn, the downgrade rate rose to 1.1%, up from 0.1% in 2019. The average change in credit quality fell dramatically in 2020 at +0.16 notches, compared with +0.74 at the end of 2019 (see chart 10).

Chart 10

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The European RMBS 12-month-trailing default rate reached its lowest level of zero at the end of 2020, having spent most of the year at 0.07% (see chart 11). Historically, the 12-month-trailing default rate for European RMBS has held below the 12-month-trailing default rate for all of European structured finance.

Chart 11

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Upgrades were of credits in both Spain and Germany and of speculative-grade credits, specifically in the post-2016 vintages (see table 3).

The rise in downgrades stemmed from Portugal, Spain, and Italy. Downgrades were primarily limited to pre-2012 vintages, with the 2010 vintage having the highest downgrade rate at 11.1%. The 2019 vintage had a downgrade rate of 1.2%.

While most of the downgrades occurred in the speculative-grade space, each investment-grade rating category reported downgrades in 2020. Of investment-grade European RMBS, the 'BBB' rating category had the highest downgrade rate at 2.1%. All rating categories had downgrade rates below that of the respective one-year averages.

Table 3

European RMBS Transition And Default Summary
2020 versus one-year average
2020 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 1,447 91.0 7.9 1.1 0.0 0 80.1 8.2 11.7 0.3
Subsector
Nonconforming 556 93.7 5.6 0.7 0 0 76.0 11.0 13.1 0.1
Spanish 242 79.3 18.2 2.5 0 0 69.9 12.3 17.8 1.5
U.K. prime 69 100.0 0.0 0.0 0 0 89.9 2.8 7.3 0.0
Dutch prime 141 90.8 9.2 0.0 0 0 89.7 5.3 5.0 0.0
Italian 89 94.4 4.5 1.1 0 0 75.9 8.5 15.6 0.4
Portuguese 49 93.9 0.0 6.1 0 0 69.7 12.6 17.7 0.1
German 15 86.7 13.3 0.0 0 0 86.9 5.9 7.3 0.5
Other 286 92.3 7.0 0.7 0 0 81.8 7.1 11.1 0.2
Vintage
Pre-2005 87 94.3 2.3 3.4 0.0 0 86.5 7.0 6.5 0.0
2005 114 87.7 10.5 1.8 0.0 0 79.2 7.6 13.2 0.2
2006 292 89.7 9.2 1.0 0.0 0 76.0 8.3 15.8 0.3
2007 326 90.8 8.3 0.9 0.0 0 72.2 9.3 18.5 1.0
2008 53 98.1 0.0 1.9 0.0 0 76.3 6.2 17.5 0.6
2009 9 100.0 0.0 0.0 0.0 0 69.0 10.5 20.6 0.7
2010 9 88.9 0.0 11.1 0.0 0 89.9 4.1 6.1 0.4
2011 24 95.8 0.0 4.2 0.0 0 83.1 6.9 10.0 0.0
2012 16 100.0 0.0 0.0 0.0 0 85.4 7.6 7.1 0.0
2013 5 100.0 0.0 0.0 0.0 0 89.7 9.5 0.7 0.0
2014 22 95.5 4.5 0.0 0.0 0 82.8 15.5 1.7 0.0
2015 72 94.4 5.6 0.0 0.0 0 82.2 17.3 0.5 0.2
2016 58 98.3 1.7 0.0 0.0 0 84.5 15.5 0.0 0.0
2017 93 83.9 16.1 0.0 0.0 0 77.6 22.4 0.0 0.0
2018 100 94.0 6.0 0.0 0.0 0 77.6 22.4 0.0 0.0
2019 167 87.4 11.4 1.2 0.0 0 87.4 11.4 1.2 0.0
Rating category
AAA 259 99.6 0.0 0.4 0.0 0 93.3 0.0 6.7 0.1
AA 332 91.3 8.4 0.3 0.0 0 73.4 9.3 17.3 0.0
A 470 93.6 6.2 0.2 0.0 0 73.9 12.3 13.9 0.0
BBB 141 83.0 14.9 2.1 0.0 0 76.9 13.4 9.7 0.1
BB 89 77.5 16.9 5.6 0.0 0 68.7 14.1 17.2 0.4
B 101 77.2 17.8 5.0 0.0 0 76.3 12.7 11.0 1.1
CCC 53 94.3 5.7 0.0 0.0 0 76.1 9.8 14.2 9.2
CC 2 100.0 0.0 0.0 0.0 0 53.3 13.3 33.3 26.7
Rating grade
Investment-grade 1,202 93.0 6.5 0.5 0.0 0 81.4 7.4 11.2 0.0
Speculative-grade 245 81.2 14.7 4.1 0.0 0 72.7 13.0 14.4 1.9
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.
Structured credit

The annual default rate among European structured credit ratings fell to 0.2% in 2020 from 1.5% in 2019. Following a five-year expansion in the average change in credit quality through the end of 2016, the measure contracted into negative territory at -0.1 notches at the end of 2020 (see chart 12).

The upgrade rate was just 1.8% in 2020. The annual upgrade rate for the sector has continued to decline since the previous high of 28.8% in 2016. The downgrade rate reached the highest level in five years at 3.4% in 2020.

Chart 12

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The 12-month-trailing default rate for European structured credit dropped to 0.17%, down from 1.5% at the end of 2019 (see chart 13). Historically, the 12-month-trailing default rate for structured credit has generally been higher than the overall European structured finance 12-month-trailing default rate.

Chart 13

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Credit performance in the European structured credit sector has historically diverged between collateralized loan obligations (CLOs)--which have performed very well--and other types of structured credit transactions, including collateralized debt obligations (CDOs). Following three years of more uniform credit performance across the structured credit subsectors, in 2020 diverging performance emerged once again.

Before the 2008 financial crisis, CDOs were the more commonly issued product within structured credit. Many of these were backed by RMBS that had loose documentation on the underlying subprime mortgage loans. In the fallout of the financial crisis, many borrowers became unable to maintain monthly mortgage payments on loans backing CDOs, sparking higher default rates. CDOs backed by ABS, while exhibiting ratings volatility amid the financial crisis, had a significantly lower number of defaults.

Subsequently, CLOs backed by corporate credit in the form of leveraged loans, which came with the additional security of stricter covenant enforcement, emerged as the more viable option in the structured credit sector.

The overall default rate of 0.2% within European structured finance credits was the result of a default each from the leveraged loan CLO sector and the CDO sector (see table 4). Leveraged loan CLOs accounted for 74% of the European structured credit ratings in 2020, resulting in an annual default rate of 0.1%. CDOs made up just 3.4% of the European structured credit total in 2020, and one default led to a 2.4% default rate for the sector. Each default emanated from 2007 speculative-grade vintages.

The upgrade rate fell to just 1.8% for European structured credit, many of which came from the pre-2009 vintages. Almost each rating category reported upgrades in 2020 except for 'CC' ratings.

Downgrades rose across the board in 2020, with an overall rate of 3.4%. Leveraged loan CLOs had a downgrade rate of 3% compared with 0.1% in 2019. Downgrades were concentrated in post-2013 vintages, primarily speculative grade.

Table 4

European Structured Credit Transition And Default Summary
2020 versus one-year average
2020 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 1,196 94.7 1.8 3.4 0.2 2 73.9 9.4 16.7 1.3
Subsector
Leveraged loan CLOs 881 96.0 1.0 3.0 0.1 1 74.4 15.3 10.3 0.2
Structured finance CDOs 41 82.9 14.6 2.4 2.4 1 70.2 6.2 23.5 3.0
Other 274 92.3 2.6 5.1 0.0 0 74.9 6.6 18.4 1.5
Vintage
Pre-2005 13 84.6 15.4 0.0 0.0 0 82.8 6.1 11.1 0.6
2005 20 85.0 10.0 5.0 0.0 0 69.6 9.2 21.2 1.8
2006 49 87.8 10.2 2.0 0.0 0 65.1 11.8 23.1 2.3
2007 64 87.5 1.6 10.9 3.1 2 63.9 14.7 21.4 1.9
2008 7 85.7 0.0 14.3 0.0 0 73.1 7.7 19.2 1.7
2009 18 88.9 11.1 0.0 0.0 0 82.1 8.7 9.1 0.9
2010 3 100.0 0.0 0.0 0.0 0 64.9 18.1 17.1 0.0
2011 3 100.0 0.0 0.0 0.0 0 73.3 9.4 17.3 0.0
2012 10 100.0 0.0 0.0 0.0 0 82.1 6.7 11.2 0.4
2013 13 100.0 0.0 0.0 0.0 0 93.0 3.3 3.7 0.3
2014 18 83.3 5.6 11.1 0.0 0 91.6 2.7 5.7 0.0
2015 39 84.6 7.7 7.7 0.0 0 93.8 5.0 1.3 0.0
2016 43 97.7 0.0 2.3 0.0 0 99.3 0.6 0.2 0.0
2017 361 97.5 0.8 1.7 0.0 0 97.8 1.7 0.5 0.0
2018 199 98.5 1.5 0.0 0.0 0 99.0 1.0 0.0 0.0
2019 336 94.3 0.0 5.7 0.0 0 94.3 0.0 5.7 0.0
Rating category
AAA 185 100.0 0.0 0.0 0.0 0 85.7 0.0 14.3 0.2
AA 246 97.6 2.0 0.4 0.0 0 72.4 10.8 16.8 0.2
A 263 95.8 2.7 1.5 0.0 0 72.6 12.2 15.1 0.3
BBB 198 94.4 3.0 2.5 0.0 0 69.2 12.6 18.2 0.3
BB 130 83.1 1.5 15.4 0.0 0 67.7 14.1 18.2 0.4
B 127 93.7 0.8 5.5 0.8 1 61.2 19.8 18.9 0.5
CCC 26 80.8 3.8 15.4 3.8 1 68.6 12.3 19.1 8.0
CC 21 100.0 0.0 0.0 0.0 0 69.0 1.2 29.8 29.8
Rating grade
Investment-grade 892 96.9 2.0 1.1 0.0 0 76.3 7.8 15.8 0.2
Speculative-grade 304 88.5 1.3 10.2 0.7 2 66.7 14.0 19.3 4.7
*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 Ratings Research.
ABS

The European ABS sector's credit performance deteriorated slightly in 2020. The average change in credit quality fell to +0.15 notches in 2020 from +0.17 notches in 2019 (see chart 14). Similarly, the upgrade rate fell to 5.2% in 2020, compared with 9.8% in 2019. The downgrade rate rose to 3.2%, up from 2.1% the year before. There were no defaults in European ABS for the sixth consecutive year.

Chart 14

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The 12-month default rate in European ABS has historically remained lower than the aggregate European structured finance rate. The notable exception was in 2014, when there was a pronounced uptick in defaults for the corporate securitization subsector, leading to an overall European ABS default rate of 2.6% for that year (see chart 15). The 12-month trailing default rate has been zero since 2015.

Chart 15

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European ABS accounted for just above 12% of all outstanding European structured finance credits in 2020. Despite no defaults in 2020, the downgrade rates rose to 3.2%, up from 2.4% the year before. Downgrades remain high among corporate securitizations, and in 2020, 10 tranches of corporate securitizations were downgraded.

Seven vintages reported downgrade rates in 2020. The 2006 vintage had the highest downgrade rate (after pre-2005) at 15.4%, while the pre-2005 vintages had a downgrade rate of 29.4%. The most recent vintage to report a downgrade rate was 2019 at 1.4%.

European ABS securities rated in the 'B' category at the start of 2020 had the highest upgrade rate at 18.8%. Most rating categories reported upgrade rates lower than respective one-year averages. Downgrades in the ABS sector came from the 'A', 'BB', and 'B' rating categories. The 'BB' and 'B' rating categories had downgrade rates above respective one-year averages.

Table 5

European ABS Transition And Default Summary
2020 versus one-year average
2020 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 407 91.6 5.2 3.2 0.0 0 88.7 4.7 6.7 0.2
Subsector
Auto 192 94.3 5.7 0.0 0.0 0 91.1 6.2 2.7 0.2
Corporate securitizations 62 82.3 0.0 17.7 0.0 0 81.8 2.6 15.6 0.8
Other consumer 59 94.9 3.4 1.7 0.0 0 87.5 6.4 6.1 0.1
Credit card 44 88.6 11.4 0.0 0.0 0 95.6 2.0 2.4 0.0
Other 50 92.0 6.0 2.0 0.0 0 87.0 4.5 8.5 0.0
Vintage
Pre-2005 17 70.6 0.0 29.4 0.0 0 91.8 3.2 5.0 0.2
2005 9 88.9 0.0 11.1 0.0 0 84.8 3.6 11.7 0.1
2006 13 84.6 0.0 15.4 0.0 0 80.3 5.6 14.0 0.4
2007 9 100.0 0.0 0.0 0.0 0 77.8 5.5 16.7 1.5
2008 1 100.0 0.0 0.0 0.0 0 85.5 5.9 8.6 0.2
2009 1 100.0 0.0 0.0 0.0 0 83.0 5.3 11.7 0.0
2010 2 100.0 0.0 0.0 0.0 0 86.2 7.1 6.6 0.0
2011 2 100.0 0.0 0.0 0.0 0 86.7 8.0 5.3 0.0
2012 15 93.3 0.0 6.7 0.0 0 95.0 2.5 2.5 0.0
2013 17 100.0 0.0 0.0 0.0 0 91.7 6.9 1.4 0.0
2014 19 94.7 0.0 5.3 0.0 0 92.6 5.2 2.2 0.0
2015 47 83.0 17.0 0.0 0.0 0 87.7 11.3 1.0 0.0
2016 38 94.7 5.3 0.0 0.0 0 89.6 9.0 1.4 0.0
2017 57 93.0 3.5 3.5 0.0 0 93.8 5.1 1.0 0.0
2018 86 91.9 8.1 0.0 0.0 0 94.3 5.7 0.0 0.0
2019 74 95.9 2.7 1.4 0.0 0 95.9 2.7 1.4 0.0
Rating category
AAA 146 100.0 0.0 0.0 0.0 0 97.0 0.0 3.0 0.0
AA 58 86.2 13.8 0.0 0.0 0 79.8 9.3 10.9 0.0
A 75 92.0 6.7 1.3 0.0 0 85.8 7.7 6.5 0.0
BBB 76 94.7 5.3 0.0 0.0 0 86.9 5.3 7.9 0.1
BB 31 74.2 3.2 22.6 0.0 0 72.6 10.4 17.0 0.3
B 16 50.0 18.8 31.3 0.0 0 67.2 11.7 21.1 3.3
CCC 5 100.0 0.0 0.0 0.0 0 71.3 11.3 17.4 13.0
CC 0 0.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
Rating grade
Investment-grade 355 94.9 4.8 0.3 0.0 0 89.9 4.2 5.9 0.0
Speculative-grade 52 69.2 7.7 23.1 0.0 0 71.0 10.8 18.1 3.3
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.
CMBS

European CMBS credit performance declined in 2020. Although the annual default rate fell to 3.1% from 4.0% in 2019, the downgrade rate rose to 18.5% in 2020 from 9.0% in 2019, which was still below the one-year weighted average of 22%. The upgrade rate fell to 0.5% in 2020, one of the lowest on record since 2006 at 7.3% in 2019. The average change in credit quality among European structured finance CMBS transactions was negative after it turned positive for the first time in over a decade in September 2019, ending 2020 at -0.65 notches (see chart 16).

Chart 16

image

The 12-month-trailing default rate for European CMBS continued to trend downward, before rebounding in the final quarter of the year, though it still was below 2018 levels (see chart 17). Before the financial crisis, the overall European structured finance and European CMBS 12-month-trailing default rates were in line with each other. After the crisis, CMBS defaults rose, bringing the 12-month-trailing default rate for the sector above that of European structured finance.

Chart 17

image

The CMBS sector represents one of the smallest shares of European structured finance by number of ratings, accounting for just 5.9% of the total. There were six defaults in CMBS in 2020, all of which were in the U.K. The resulting default rate for the U.K. CMBS subsector was 4.5%, above its one-year average of 2.5% (see table 6).

The U.K. and "other" CMBS subsectors were the only ones to report downgrades in 2020, with rates of 9.4% and 23.3%. Conditions in Germany generally improved compared with 2018, and German CMBS had 100% ratings stability in 2019 and 2020.

Considering only vintages with a significant number of ratings outstanding, the one-year average downgrade and default rates have been highest in the pre-2008 vintages. These vintages had greater exposure to lower lending standards before the financial crisis and to subsequent falling real estate values, and many loans have now reached maturity with borrowers unable to refinance, leading to loan defaults. By contrast, post-2007 vintages exhibit stronger credit performance, with no defaults for 2020.

Defaults within European CMBS in 2020 were from both the investment-grade and speculative-grade rating categories, with three each. The resulting investment-grade default rate for the sector was 1.9% in 2020, well above the one-year average of 0.2%. The speculative-grade default rate remained below its one-year average at 8.6%.

Table 6

European CMBS Transition And Default Summary
2020 versus one-year average
2020 One-year average
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 195.0 81.0 0.5 18.5 3.1 6.0 74.4 3.6 22.0 3.0
Subsector
U.K. 133.0 75.9 0.8 23.3 4.5 6.0 75.3 4.5 20.1 2.5
German 9.0 100.0 0.0 0.0 0.0 0.0 68.6 3.4 28.1 4.6
Multi-country 0.0 0.0 0.0 0.0 0.0 0.0 72.7 2.4 24.9 3.5
Other 53.0 90.6 0.0 9.4 0.0 0.0 78.0 2.4 19.5 2.4
Vintage
Pre-2005 31.0 90.3 0.0 9.7 0.0 0.0 89.6 5.4 5.0 0.3
2005 12.0 66.7 0.0 33.3 8.3 1.0 77.2 5.0 17.8 1.8
2006 22.0 50.0 4.5 45.5 0.0 0.0 67.9 2.2 30.0 4.4
2007 13.0 84.6 0.0 15.4 15.4 2.0 59.2 1.7 39.0 6.0
Post-2007 117.0 85.5 0.0 14.5 2.6 3.0 77.3 3.8 18.8 1.2
Rating category
AAA 28.0 82.1 0.0 17.9 0.0 0.0 87.2 0.0 12.8 0.0
AA 59.0 83.1 0.0 16.9 0.0 0.0 78.0 4.6 17.4 0.1
A 38.0 86.8 0.0 13.2 0.0 0.0 74.2 6.0 19.9 0.2
BBB 35.0 82.9 2.9 14.3 8.6 3.0 73.2 6.0 20.8 0.8
BB 24.0 66.7 0.0 33.3 0.0 0.0 66.4 4.5 29.1 2.0
B 4.0 100.0 0.0 0.0 0.0 0.0 56.5 1.6 41.9 9.4
CCC 5.0 80.0 0.0 20.0 20.0 1.0 48.2 0.4 51.3 38.3
CC 2.0 0.0 0.0 100.0 100.0 2.0 38.3 0.0 61.7 61.7
Rating grade
Investment-grade 160.0 83.8 0.6 15.6 1.9 3.0 78.8 3.8 17.3 0.2
Speculative-grade 35.0 68.6 0.0 31.4 8.6 3.0 59.2 2.7 38.2 12.4
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Appendix I: Terminology, Data Selection, And Calculation Approaches

This appendix explains the terminology, data selection, and calculation approaches we use in this study.

This European structured finance default and rating transition study uses our database of long-term global scale issue credit ratings. We do not include national and regional scale ratings, which are not comparable between countries. The analysis also excludes public information ratings, issuer credit ratings, and short-term issue ratings, such as those on asset-backed commercial paper conduits.

Our ongoing enhancement of the database used to generate this study occasionally leads to changes in the reported statistics from one edition 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 3,266 European structured finance instruments that S&P Global Ratings first rated between 1982 and Dec. 31, 2020. 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 into subsectors.

Sector definitions

ABS includes collateral types such as credit card receivables, auto loans, and leases, as well as corporate securitizations.

RMBS includes transactions backed by residential mortgage loans.

Structured credit includes CLOs, both cash and synthetic CDOs backed by exposures to corporate credit or other structured finance securities, and market-value CDOs and other leveraged funds. We include transactions backed by loans to small and midsize enterprises in structured credit, rather than in the ABS sector.

CMBS also includes resecuritizations of real estate mortgage investment conduits (re-REMICS), as well as some CDOs primarily collateralized by commercial real estate loans.

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.

We no longer include structured covered bonds, which we previously treated as a separate sector.

Region definitions

This study presents rating transitions for European structured finance transactions. In defining a transaction's region, we primarily use the location where we perform surveillance. We may also consider the transaction's issuer country (unless this is a tax haven such as the Cayman Islands) or its domicile of assets. In some cases, the domicile of assets may fail to provide insights into the region, especially when a transaction is backed by assets from more than one country.

Vintage definition

We classify securities' vintages based on the date on which 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 period (or "transition window"), we consider the static pool of ratings outstanding at the beginning of that 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 2020 transition rates by determining the ratings on each security at the start of 2020 and determining the ratings on those same securities at the end of 2020. We then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportion of securities in the static pool with ratings that moved up, down, or remained the 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 the ratings on a security 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 in the text, tables, and charts throughout this study. However, the transition matrices in Appendix II show only the full rating categories for practical reasons. In other words, in general we count transitions such as to 'AA+' from 'AA' as an upgrade and to 'BBB-' from 'BBB+' as a downgrade. However, in the corresponding transition matrices, these transitions would appear in the cells corresponding to a stable rating category classification, such as to 'AA' from 'AA' or to 'BBB' from '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 because of insufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to not rated (NR).

When we withdraw or discontinue ratings within the transition window under consideration, we may derive our reported statistics either by classifying the rating transition as a move to not rated (the "NR-included" approach) or--for some other analyses--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 study, 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

We include the ratings history of all securities with original ratings of 'AAA', which we term the "uncollapsed" approach. This represents a change in methodology from editions of the study prior to 2018. In previous editions, for each structured finance transaction, we generally included only 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 the original ratings, for completeness and consistency with our other reporting on ratings performance in regulatory submissions. Appendix III shows the effects on some example summary statistics of altering the treatment of 'AAA' ratings.

Treatment of 'D' ratings

Counts of defaults and default rate statistics are based on securities we downgraded to 'D' (default). For the purposes of this study, when the rating on a security has moved to 'D', we consider this a terminal state and do not include such a security in any transition windows that start on a subsequent date.

In practice, however, some securities downgraded to 'D' may later be assigned different ratings. 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 ratings history as if it were for 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 sector). In this averaging, we count downgrades as a negative number of notches and upgrades as a positive number. We consider stable ratings to have undergone a transition of zero notches. We believe this measure is a useful summary of the credit performance of 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 static pools over different five-year periods and aggregating.

Average cumulative default rate calculation

In this study, we also calculate and present average cumulative default rates for different time horizons. For example, table 2 shows that the one-year average cumulative default rate for 'BBB' rated European structured finance is 0.2% and the three-year average is 1.35%.

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." 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" (that is, 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 of each time horizon is calculated as one minus the product of marginal survival rates up to that time horizon.

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

Appendix II: Detailed Default And Transition Statistics

Tables 7-26 provide various default and transition rate statistics for European structured finance and its major sectors.

European structured finance

Table 7

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.1 0.3 0.5 0.8 1.1 1.3 1.5 1.6 1.7 1.7
AA 0.1 0.3 0.6 1.1 1.7 2.2 2.5 2.7 2.9 3.0
A 0.1 0.4 0.7 1.1 1.7 2.2 2.7 3.1 3.3 3.5
BBB 0.3 0.8 1.5 2.4 3.5 4.5 5.4 6.1 6.6 7.1
BB 0.6 1.8 3.3 4.8 6.1 7.3 8.5 9.4 10.1 10.7
B 2.1 4.8 7.7 10.5 12.8 14.1 15.0 15.7 16.1 16.4
CCC 10.6 19.1 25.1 29.2 30.9 32.0 32.8 33.4 33.9 34.0
CC 31.6 48.7 59.7 61.9 62.1 62.1 62.1 62.1 62.1 62.1
IG 0.1 0.4 0.8 1.2 1.8 2.3 2.7 3.0 3.2 3.4
SG 4.8 8.9 12.4 15.0 16.6 17.8 18.7 19.4 20.0 20.4
Overall 1.0 2.0 2.9 3.8 4.5 5.2 5.7 6.0 6.2 6.5
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 8

European Structured Finance One-Year Default Rates, 1983-2020 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1983 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1984 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1985 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1986 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1987 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1988 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1989 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1990 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1991 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1992 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1993 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1994 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1995 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1996 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1997 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
1998 0.2 0.0 16.7 0.0 0.0 0.0 0.0 33.3 33.3 0.0 0.0
1999 0.2 0.0 9.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 100.0
2000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2001 0.1 0.1 0.0 0.0 0.0 0.0 0.7 0.0 0.0 0.0 0.0
2002 0.4 0.1 4.1 0.0 0.0 0.0 0.8 2.2 2.2 33.3 0.0
2003 0.3 0.0 4.4 0.0 0.0 0.0 0.0 0.0 0.0 30.0 66.7
2004 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2005 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2006 0.1 0.0 1.0 0.0 0.0 0.0 0.0 0.0 0.0 8.3 100.0
2007 0.2 0.1 0.5 0.1 0.3 0.0 0.2 0.0 0.0 0.0 0.0
2008 0.5 0.5 0.8 0.5 0.3 0.5 0.7 0.1 0.1 6.3 0.0
2009 1.0 0.2 5.2 0.1 0.3 0.6 0.2 0.6 0.6 13.8 11.1
2010 1.8 0.2 6.5 0.0 0.2 0.3 0.5 1.6 1.6 11.5 16.5
2011 2.1 0.2 6.3 0.3 0.1 0.0 0.6 1.4 1.4 11.3 21.1
2012 2.3 0.2 7.0 0.1 0.1 0.1 0.6 1.1 1.1 7.7 54.5
2013 2.4 0.1 7.3 0.0 0.0 0.1 0.1 1.0 1.0 12.9 48.6
2014 1.6 0.0 5.1 0.0 0.0 0.0 0.0 0.0 0.0 9.7 45.8
2015 0.7 0.0 2.2 0.0 0.0 0.0 0.0 0.0 0.0 4.4 17.1
2016 1.3 0.0 4.6 0.0 0.0 0.0 0.1 0.2 0.2 11.7 31.7
2017 1.0 0.0 4.0 0.0 0.0 0.0 0.0 0.3 0.3 13.9 10.8
2018 0.7 0.0 2.8 0.0 0.0 0.0 0.0 0.0 0.0 11.8 8.6
2019 0.7 0.0 3.4 0.0 0.0 0.0 0.0 0.0 0.0 13.2 26.7
2020 0.2 0.1 0.8 0.0 0.0 0.0 0.6 0.0 0.0 2.2 8.0
Weighted-average 0.9 0.1 4.7 0.1 0.1 0.1 0.3 0.6 2.1 10.6 31.6
Median 0.1 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Std. dev. 0.7 0.1 3.6 0.1 0.1 0.1 0.3 5.4 5.4 8.2 26.8
Minimum 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Maximum 2.4 0.5 16.7 0.5 0.3 0.6 0.8 33.3 33.3 33.3 100.0
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Research.

Table 9

European Structured Finance Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2020
AAA 99.03 0.81 0.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.29 97.71 0.86 0.14 0.00 0.00 0.00 0.00 0.00 0.00
A 0.24 1.30 97.29 0.94 0.24 0.00 0.00 0.00 0.00 0.00
BBB 0.65 0.65 4.11 93.29 0.22 0.43 0.00 0.00 0.00 0.65
BB 0.36 0.36 0.00 4.00 86.91 8.00 0.36 0.00 0.00 0.00
B 0.00 0.40 0.00 2.42 4.44 92.34 0.00 0.00 0.00 0.40
CCC 0.00 0.00 0.00 0.00 0.00 4.49 89.89 3.37 0.00 2.25
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.00 0.00 8.00
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 90.08 5.49 2.33 0.87 0.41 0.28 0.42 0.01 0.00 0.12
AA 5.07 82.48 7.49 2.49 0.93 0.57 0.83 0.03 0.00 0.11
A 0.86 5.38 85.54 4.81 1.97 0.62 0.66 0.05 0.00 0.12
BBB 0.26 1.17 6.35 80.49 6.02 2.86 2.47 0.11 0.00 0.27
BB 0.24 0.18 1.12 7.95 73.56 10.02 6.14 0.21 0.00 0.58
B 0.05 0.08 0.13 1.73 8.72 75.39 11.37 0.47 0.02 2.05
CCC 0.02 0.02 0.00 0.34 1.17 6.32 76.73 4.82 0.00 10.58
CC 0.00 0.00 0.00 0.00 0.13 0.65 0.91 66.45 0.26 31.60
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 81.44 8.91 5.05 1.67 0.77 0.48 1.33 0.06 0.00 0.29
AA 9.09 69.97 11.65 4.10 1.64 0.85 2.22 0.17 0.00 0.30
A 2.08 9.25 74.55 7.14 3.55 1.45 1.45 0.15 0.00 0.37
BBB 0.65 2.51 10.62 66.47 9.18 5.37 4.10 0.35 0.00 0.75
BB 0.55 0.58 2.92 13.01 55.90 14.82 10.04 0.40 0.02 1.76
B 0.08 0.22 0.54 4.09 13.86 60.09 15.25 0.94 0.02 4.90
CCC 0.00 0.03 0.03 0.82 2.58 9.85 61.20 6.21 0.02 19.25
CC 0.00 0.00 0.00 0.13 0.27 1.48 1.08 47.45 0.27 49.33
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 74.48 11.45 7.40 2.26 1.19 0.71 1.86 0.12 0.00 0.52
AA 11.53 61.33 14.57 5.05 2.14 1.37 3.10 0.25 0.00 0.65
A 3.55 10.59 67.48 8.60 4.58 2.15 2.04 0.27 0.00 0.73
BBB 1.24 3.92 12.28 57.27 10.58 7.13 5.49 0.61 0.01 1.48
BB 0.82 1.30 4.66 14.78 45.26 16.70 12.34 0.77 0.04 3.34
B 0.14 0.44 1.41 6.43 15.54 51.04 15.75 1.24 0.02 8.00
CCC 0.00 0.07 0.25 1.41 3.69 10.49 52.90 5.82 0.04 25.33
CC 0.00 0.00 0.14 0.14 0.42 1.68 0.84 35.71 0.28 60.78
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 69.56 12.82 9.29 2.77 1.56 1.01 1.97 0.18 0.00 0.83
AA 13.12 55.38 16.69 5.39 2.50 1.91 3.55 0.38 0.00 1.08
A 4.80 11.29 62.68 9.39 5.07 2.74 2.45 0.42 0.00 1.15
BBB 2.04 4.78 12.79 51.72 10.87 8.06 6.53 0.79 0.01 2.42
BB 1.15 2.04 6.38 15.03 38.78 17.13 13.24 1.21 0.06 4.97
B 0.24 0.77 2.42 8.19 16.19 44.64 15.05 1.22 0.02 11.25
CCC 0.00 0.11 0.48 1.84 4.73 10.89 48.16 4.26 0.04 29.50
CC 0.00 0.00 0.29 0.00 0.59 1.77 0.59 31.96 0.29 64.51
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 66.47 13.26 10.62 3.26 1.82 1.21 2.05 0.16 0.00 1.15
AA 13.82 51.89 18.17 5.34 2.85 2.30 3.60 0.30 0.00 1.75
A 5.88 11.45 59.58 9.83 5.00 3.23 2.83 0.46 0.00 1.74
BBB 2.76 5.11 12.73 48.72 10.54 8.45 7.22 0.79 0.02 3.65
BB 1.63 2.65 7.53 14.18 35.15 17.08 13.75 1.39 0.09 6.55
B 0.39 1.10 3.27 9.13 16.65 39.90 14.19 1.10 0.02 14.27
CCC 0.00 0.17 0.66 2.45 5.51 11.07 44.88 4.08 0.04 31.14
CC 0.00 0.00 0.31 0.00 0.93 1.56 0.31 30.06 0.31 66.51
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 63.47 12.29 13.11 3.68 1.87 1.20 2.27 0.13 0.00 1.98
AA 12.29 49.50 18.27 5.63 3.32 2.55 4.34 0.19 0.00 3.91
A 6.88 12.33 53.05 9.60 4.71 4.15 3.96 0.61 0.00 4.71
BBB 2.54 3.68 12.38 47.49 8.69 7.56 7.87 1.07 0.05 8.68
BB 2.26 1.42 4.51 11.22 35.32 16.49 13.52 1.81 0.22 13.22
B 1.27 1.27 2.66 6.64 13.46 33.85 15.02 1.62 0.06 24.15
CCC 0.08 0.19 0.93 2.18 5.10 8.67 39.36 5.45 0.00 38.04
CC 0.00 0.00 0.00 0.00 0.77 0.00 0.00 22.39 0.00 76.83
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 Ratings Research.

Table 10

European Structured Finance Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2020
AAA 79.94 0.81 0.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.09
AA 0.57 85.29 0.86 0.14 0.00 0.00 0.00 0.00 0.00 0.00 13.14
A 0.24 1.06 85.16 0.94 0.24 0.00 0.00 0.00 0.00 0.00 12.37
BBB 0.65 0.65 3.90 85.50 0.22 0.43 0.00 0.00 0.00 0.65 8.01
BB 0.36 0.36 0.00 3.64 80.00 8.00 0.36 0.00 0.00 0.00 7.27
B 0.00 0.40 0.00 2.42 4.44 86.29 0.00 0.00 0.00 0.40 6.05
CCC 0.00 0.00 0.00 0.00 0.00 4.49 82.02 3.37 0.00 2.25 7.87
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.00 0.00 8.00 0.00
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 74.32 5.13 2.13 0.80 0.38 0.26 0.37 0.01 0.00 0.12 16.48
AA 4.31 69.94 6.94 2.34 0.86 0.53 0.76 0.03 0.00 0.11 14.18
A 0.67 4.87 74.23 4.54 1.90 0.57 0.62 0.05 0.00 0.12 12.43
BBB 0.15 1.03 5.80 70.14 5.70 2.76 2.33 0.10 0.00 0.27 11.72
BB 0.16 0.08 0.86 7.49 64.12 9.71 5.88 0.19 0.00 0.58 10.93
B 0.05 0.06 0.11 1.42 7.91 65.90 10.53 0.47 0.00 2.05 11.50
CCC 0.02 0.02 0.00 0.27 1.00 5.79 63.91 4.33 0.00 10.58 14.10
CC 0.00 0.00 0.00 0.00 0.13 0.39 0.91 58.52 0.00 31.60 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
Two-year weighted-average
AAA 52.14 7.68 4.27 1.37 0.63 0.40 1.10 0.05 0.00 0.29 32.06
AA 5.86 47.57 10.09 3.55 1.40 0.72 1.87 0.15 0.00 0.30 28.50
A 1.32 7.23 53.86 6.29 3.33 1.31 1.31 0.12 0.00 0.37 24.85
BBB 0.29 1.73 8.65 47.62 8.23 5.00 3.51 0.27 0.00 0.75 23.96
BB 0.27 0.34 2.13 10.95 39.48 13.47 8.77 0.29 0.00 1.76 22.53
B 0.07 0.19 0.34 3.12 10.82 43.67 13.04 0.89 0.00 4.90 22.98
CCC 0.00 0.02 0.02 0.54 1.83 7.93 40.23 5.34 0.00 19.25 24.85
CC 0.00 0.00 0.00 0.13 0.27 0.94 0.94 34.54 0.00 49.33 13.84
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 34.32 9.06 5.82 1.60 0.88 0.54 1.36 0.10 0.00 0.52 45.81
AA 5.40 31.34 11.64 3.94 1.66 1.06 2.24 0.22 0.00 0.65 41.85
A 1.76 6.78 38.86 7.06 4.08 1.86 1.63 0.22 0.00 0.73 37.01
BBB 0.51 2.37 8.54 31.76 8.85 6.35 4.34 0.49 0.00 1.48 35.32
BB 0.28 0.79 3.20 10.68 24.06 14.03 10.07 0.60 0.00 3.34 32.94
B 0.12 0.32 0.87 4.47 10.13 30.16 11.86 1.17 0.00 8.00 32.91
CCC 0.00 0.04 0.16 0.69 2.17 6.91 26.38 4.42 0.00 25.33 33.90
CC 0.00 0.00 0.00 0.14 0.42 0.98 0.56 19.75 0.00 60.78 17.37
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 21.50 9.17 6.77 1.70 1.05 0.72 1.09 0.15 0.00 0.83 57.04
AA 4.43 19.82 12.17 3.65 1.70 1.37 2.04 0.32 0.00 1.08 53.41
A 1.73 5.81 28.21 7.09 4.19 2.17 1.67 0.33 0.00 1.15 47.65
BBB 0.69 2.34 7.32 21.38 8.34 6.78 4.79 0.62 0.00 2.42 45.32
BB 0.35 1.19 3.92 8.97 14.78 13.25 10.02 0.95 0.00 4.97 41.60
B 0.19 0.47 1.50 5.07 8.53 21.19 9.62 1.13 0.00 11.25 41.05
CCC 0.00 0.06 0.20 0.72 2.28 5.60 17.83 2.25 0.00 29.50 41.56
CC 0.00 0.00 0.00 0.00 0.29 1.03 0.29 14.14 0.00 64.51 19.73
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 12.96 8.22 7.02 1.70 1.04 0.74 0.80 0.11 0.00 1.15 66.27
AA 3.07 12.34 12.01 2.92 1.70 1.44 1.55 0.23 0.00 1.75 62.99
A 1.56 4.63 20.63 6.78 3.65 2.28 1.53 0.33 0.00 1.74 56.86
BBB 0.79 1.92 5.94 15.17 7.24 6.67 4.79 0.54 0.00 3.65 53.28
BB 0.34 1.44 4.12 6.19 9.74 12.25 9.55 1.03 0.00 6.55 48.80
B 0.28 0.49 1.83 4.82 7.13 15.06 7.11 0.87 0.00 14.27 48.13
CCC 0.00 0.10 0.19 0.79 2.07 4.23 12.07 1.66 0.00 31.14 47.74
CC 0.00 0.00 0.00 0.00 0.31 0.78 0.00 11.53 0.00 66.51 20.87
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 2.15 2.58 3.98 0.70 0.27 0.23 0.13 0.03 0.00 1.98 87.94
AA 0.73 2.63 5.99 1.26 0.61 0.37 0.49 0.07 0.00 3.91 83.95
A 0.27 1.63 6.32 3.16 1.36 1.26 0.83 0.18 0.00 4.71 80.28
BBB 0.02 0.50 3.43 4.77 2.80 2.78 2.18 0.39 0.00 8.68 74.46
BB 0.02 0.10 1.04 1.85 2.16 5.80 3.70 0.73 0.00 13.22 71.39
B 0.52 0.35 0.17 1.33 2.02 5.66 2.02 0.46 0.00 24.15 63.32
CCC 0.00 0.00 0.00 0.00 0.35 0.89 0.97 0.78 0.00 38.04 58.97
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.25 0.00 76.83 18.92
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 Ratings Research.
European RMBS

Table 11

European RMBS Cumulative Default Rates, Conditional On Survival, 1988-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.04 0.06 0.06 0.06 0.06 0.06 0.07 0.07 0.07 0.07
AA 0.02 0.05 0.10 0.12 0.13 0.17 0.25 0.28 0.30 0.33
A 0.01 0.05 0.12 0.17 0.24 0.38 0.52 0.61 0.73 0.80
BBB 0.07 0.19 0.41 0.71 0.99 1.33 1.69 1.88 2.09 2.23
BB 0.37 1.06 1.90 2.53 3.21 3.76 4.35 4.90 5.04 5.04
B 1.01 2.20 3.51 4.74 6.03 7.22 7.58 7.71 7.90 8.18
CCC 9.12 16.37 20.05 21.87 22.95 23.48 23.48 23.48 23.48 23.48
CC 26.67 41.33 49.71 49.71 49.71 49.71 49.71 49.71 49.71 n/a
IG 0.03 0.08 0.14 0.21 0.28 0.38 0.49 0.54 0.60 0.65
SG 1.88 3.64 5.04 6.04 6.99 7.77 8.22 8.59 8.73 8.79
Overall 0.30 0.59 0.84 1.04 1.22 1.40 1.55 1.63 1.70 1.74
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 12

European RMBS One-Year Default Rates, 1988-2020 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1988 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2008 0.06 0.06 0.00 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2009 0.86 0.03 8.06 0.00 0.00 0.00 0.19 0.93 6.41 47.62 0.00
2010 0.66 0.19 3.56 0.00 0.21 0.21 0.68 1.29 3.10 13.56 0.00
2011 0.61 0.24 2.67 0.51 0.00 0.00 0.00 0.82 1.33 14.29 0.00
2012 0.23 0.00 1.26 0.00 0.00 0.00 0.00 0.37 0.60 9.76 0.00
2013 0.73 0.00 3.06 0.00 0.00 0.00 0.00 1.05 1.69 13.64 33.33
2014 0.85 0.00 3.44 0.00 0.00 0.00 0.00 0.00 2.02 15.38 60.00
2015 0.09 0.00 0.38 0.00 0.00 0.00 0.00 0.00 0.34 1.59 0.00
2016 0.19 0.00 0.75 0.00 0.00 0.00 0.00 0.00 0.00 2.47 40.00
2017 0.44 0.00 1.69 0.00 0.00 0.00 0.00 0.00 0.85 6.76 33.33
2018 0.12 0.00 0.53 0.00 0.00 0.00 0.00 0.00 0.00 1.56 25.00
2019 0.07 0.00 0.32 0.00 0.00 0.00 0.00 0.00 0.00 1.82 0.00
2020 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted-average 0.30 0.03 1.88 0.04 0.02 0.01 0.07 0.37 1.01 9.18 26.67
Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Std. dev. 0.27 0.05 1.69 0.09 0.04 0.04 0.12 0.35 1.28 9.24 14.72
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 0.86 0.24 8.06 0.51 0.21 0.21 0.68 1.29 6.41 47.62 60.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Research.

Table 13

European RMBS Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2020
AAA 99.61 0.00 0.39 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.90 98.80 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.21 1.70 98.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 2.13 10.64 86.52 0.71 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 11.24 85.39 3.37 0.00 0.00 0.00 0.00
B 0.00 0.99 0.00 2.97 9.90 86.14 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 5.66 94.34 0.00 0.00 0.00
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 93.27 4.47 1.83 0.20 0.06 0.11 0.00 0.00 0.00 0.06
AA 3.53 85.16 9.87 0.91 0.26 0.15 0.11 0.00 0.00 0.02
A 0.43 4.99 90.00 3.29 1.03 0.23 0.02 0.00 0.00 0.01
BBB 0.07 0.81 8.90 82.50 5.89 1.72 0.05 0.00 0.00 0.07
BB 0.22 0.04 0.96 9.76 74.37 12.50 1.70 0.07 0.00 0.37
B 0.13 0.13 0.04 1.89 7.15 84.19 5.13 0.25 0.00 1.09
CCC 0.00 0.00 0.00 0.53 0.94 6.82 81.68 0.80 0.00 9.22
CC 0.00 0.00 0.00 0.00 3.33 6.67 3.33 53.33 6.67 26.67
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 87.07 6.92 4.90 0.62 0.19 0.16 0.03 0.00 0.00 0.10
AA 6.51 74.07 15.91 2.25 0.74 0.30 0.18 0.00 0.00 0.05
A 1.07 9.06 81.80 5.29 1.90 0.74 0.09 0.00 0.00 0.05
BBB 0.23 2.15 15.58 68.02 9.71 3.71 0.40 0.00 0.00 0.19
BB 0.46 0.54 3.56 15.91 54.15 20.31 3.82 0.15 0.04 1.07
B 0.22 0.22 0.22 5.05 12.38 71.15 7.86 0.48 0.00 2.42
CCC 0.00 0.00 0.00 1.15 2.01 12.66 65.76 0.86 0.14 17.41
CC 0.00 0.00 0.00 0.00 7.14 10.71 7.14 25.00 7.14 42.86
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 81.44 8.31 8.31 1.06 0.32 0.34 0.10 0.00 0.00 0.11
AA 8.12 66.00 20.44 3.39 1.12 0.64 0.17 0.02 0.00 0.10
A 1.93 10.88 76.28 6.39 2.98 1.27 0.15 0.00 0.00 0.13
BBB 0.55 3.54 19.30 58.18 11.29 5.80 0.85 0.02 0.00 0.47
BB 0.68 1.44 5.84 18.45 41.10 25.21 4.96 0.24 0.08 2.00
B 0.33 0.37 1.22 8.42 15.19 60.07 9.91 0.61 0.00 3.88
CCC 0.00 0.00 0.16 2.50 2.66 16.25 55.00 0.78 0.31 22.34
CC 0.00 0.00 0.00 0.00 3.85 15.38 11.54 7.69 7.69 53.85
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 76.73 8.85 11.57 1.58 0.42 0.55 0.19 0.00 0.00 0.12
AA 8.72 59.90 24.06 4.17 1.82 0.95 0.21 0.04 0.00 0.12
A 2.59 12.38 72.19 6.64 3.71 2.03 0.26 0.01 0.00 0.18
BBB 0.91 4.32 20.79 52.97 11.17 7.80 1.25 0.00 0.00 0.80
BB 0.97 2.24 8.14 18.30 34.12 26.49 6.37 0.46 0.17 2.74
B 0.51 0.66 2.70 11.01 16.27 52.32 10.50 0.56 0.00 5.46
CCC 0.00 0.00 0.35 2.08 3.47 18.40 48.44 0.69 0.35 26.22
CC 0.00 0.00 0.00 0.00 0.00 18.18 13.64 0.00 9.09 59.09
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 73.04 8.78 14.34 2.18 0.56 0.72 0.26 0.00 0.00 0.12
AA 8.77 55.16 27.44 4.39 2.54 1.22 0.30 0.04 0.00 0.15
A 3.01 13.33 69.15 6.85 4.07 2.69 0.62 0.01 0.00 0.26
BBB 1.19 4.57 21.38 50.39 10.09 9.48 1.75 0.04 0.00 1.11
BB 1.18 1.95 9.37 18.10 31.22 26.38 7.24 0.68 0.27 3.62
B 0.81 0.98 3.88 12.05 16.63 47.22 10.60 0.46 0.00 7.36
CCC 0.00 0.00 0.40 1.59 3.78 19.92 44.42 0.20 0.40 29.28
CC 0.00 0.00 0.00 0.00 0.00 15.79 10.53 0.00 10.53 63.16
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 66.48 9.55 19.75 2.27 0.68 0.56 0.56 0.00 0.00 0.15
AA 7.91 51.76 32.40 3.68 2.05 0.98 0.71 0.05 0.00 0.46
A 4.49 15.54 60.54 8.63 3.04 4.52 1.87 0.08 0.00 1.30
BBB 0.68 3.47 22.26 50.55 9.13 8.23 2.76 0.08 0.00 2.85
BB 0.74 0.41 5.51 17.58 32.37 26.87 7.81 0.25 0.82 7.64
B 4.42 1.47 0.74 7.62 12.53 46.19 7.13 0.00 0.00 19.90
CCC 0.00 0.00 0.00 0.00 8.60 22.04 25.27 0.00 0.00 44.09
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
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 Ratings Research.

Table 14

European RMBS Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2020
AAA 80.69 0.00 0.39 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.92
AA 0.90 84.04 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.76
A 0.21 1.49 85.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.77
BBB 0.00 2.13 10.64 79.43 0.71 0.00 0.00 0.00 0.00 0.00 7.09
BB 0.00 0.00 0.00 10.11 82.02 3.37 0.00 0.00 0.00 0.00 4.49
B 0.00 0.99 0.00 2.97 9.90 80.20 0.00 0.00 0.00 0.00 5.94
CCC 0.00 0.00 0.00 0.00 0.00 5.66 90.57 0.00 0.00 0.00 3.77
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00
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 77.48 4.13 1.63 0.13 0.06 0.11 0.00 0.00 0.00 0.06 16.39
AA 3.30 74.38 9.38 0.84 0.26 0.15 0.00 0.00 0.00 0.02 11.68
A 0.40 4.63 80.69 3.11 1.01 0.23 0.01 0.00 0.00 0.01 9.92
BBB 0.05 0.72 8.59 74.10 5.56 1.68 0.05 0.00 0.00 0.07 9.17
BB 0.22 0.04 0.92 9.69 69.30 12.24 1.66 0.04 0.00 0.37 5.51
B 0.13 0.13 0.04 1.77 6.98 79.69 4.63 0.25 0.00 1.09 5.30
CCC 0.00 0.00 0.00 0.53 0.80 6.68 78.21 0.80 0.00 9.22 3.74
CC 0.00 0.00 0.00 0.00 3.33 6.67 3.33 53.33 0.00 26.67 6.67
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 56.58 6.11 4.20 0.42 0.18 0.16 0.00 0.00 0.00 0.10 32.26
AA 5.31 54.27 14.83 2.02 0.67 0.30 0.02 0.00 0.00 0.05 22.53
A 0.87 7.57 64.24 4.80 1.83 0.72 0.04 0.00 0.00 0.05 19.87
BBB 0.16 1.74 13.83 52.31 8.98 3.61 0.35 0.00 0.00 0.19 18.83
BB 0.27 0.50 3.40 14.99 45.20 19.46 3.71 0.08 0.00 1.07 11.32
B 0.18 0.22 0.18 4.52 11.24 62.80 6.94 0.48 0.00 2.42 11.02
CCC 0.00 0.00 0.00 1.01 1.44 11.80 59.14 0.86 0.00 17.41 8.35
CC 0.00 0.00 0.00 0.00 7.14 10.71 3.57 25.00 0.00 42.86 10.71
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 38.77 6.92 7.03 0.68 0.28 0.32 0.00 0.00 0.00 0.11 45.89
AA 5.77 38.77 18.36 3.02 0.96 0.62 0.00 0.00 0.00 0.10 32.39
A 1.41 8.12 50.79 5.50 2.84 1.25 0.07 0.00 0.00 0.13 29.90
BBB 0.40 2.64 15.67 36.30 10.01 5.56 0.75 0.02 0.00 0.47 28.19
BB 0.28 1.20 5.48 16.41 29.57 23.37 4.72 0.16 0.00 2.00 16.81
B 0.28 0.37 1.03 6.83 12.76 49.04 8.42 0.61 0.00 3.88 16.78
CCC 0.00 0.00 0.16 1.56 1.72 14.22 46.09 0.78 0.00 22.34 13.13
CC 0.00 0.00 0.00 0.00 3.85 15.38 3.85 7.69 0.00 53.85 15.38
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 25.09 7.05 9.73 1.08 0.33 0.50 0.02 0.00 0.00 0.12 56.09
AA 5.21 26.69 20.66 3.51 1.59 0.92 0.02 0.00 0.00 0.12 41.28
A 1.54 8.30 39.97 5.36 3.52 1.92 0.15 0.01 0.00 0.18 39.05
BBB 0.62 2.71 15.22 25.71 9.31 7.29 1.12 0.00 0.00 0.80 37.22
BB 0.38 1.86 7.17 15.31 20.54 23.66 5.65 0.38 0.00 2.74 22.31
B 0.46 0.61 2.40 8.31 13.11 39.32 8.57 0.56 0.00 5.46 21.21
CCC 0.00 0.00 0.35 1.04 1.91 15.28 37.33 0.69 0.00 26.22 17.19
CC 0.00 0.00 0.00 0.00 0.00 18.18 4.55 0.00 0.00 59.09 18.18
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 15.03 6.56 11.99 1.50 0.43 0.62 0.03 0.00 0.00 0.12 63.71
AA 4.26 17.12 22.43 3.61 2.26 1.15 0.07 0.00 0.00 0.15 48.96
A 1.50 7.95 30.93 5.08 3.79 2.51 0.40 0.01 0.00 0.26 47.57
BBB 0.79 2.44 13.85 19.11 7.75 8.66 1.55 0.04 0.00 1.11 44.69
BB 0.32 1.58 8.05 12.90 15.48 22.76 6.24 0.59 0.00 3.62 28.46
B 0.75 0.87 3.30 8.34 13.04 32.50 8.17 0.46 0.00 7.36 25.20
CCC 0.00 0.00 0.40 0.60 1.59 15.54 30.88 0.20 0.00 29.28 21.51
CC 0.00 0.00 0.00 0.00 0.00 15.79 0.00 0.00 0.00 63.16 21.05
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 2.88 4.68 9.14 0.88 0.26 0.34 0.08 0.00 0.00 0.15 81.58
AA 0.98 4.06 15.95 2.40 1.42 0.63 0.35 0.00 0.00 0.46 73.74
A 0.23 3.64 15.09 4.83 2.39 2.70 1.04 0.08 0.00 1.30 68.69
BBB 0.00 0.96 9.07 7.55 5.55 5.75 2.03 0.08 0.00 2.85 66.16
BB 0.08 0.25 3.94 5.75 5.51 18.82 6.08 0.08 0.00 7.64 51.85
B 2.21 1.47 0.74 5.65 7.62 23.10 4.18 0.00 0.00 19.90 35.14
CCC 0.00 0.00 0.00 0.00 4.84 10.75 8.06 0.00 0.00 44.09 32.26
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
N/A--Not applicable. Source: S&P Global Ratings Research.
European structured credit

Table 15

European Structured Credit Cumulative Default Rates, Conditional On Survival, 1987-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.20 0.55 1.03 1.64 2.25 2.68 2.96 3.09 3.14 3.16
AA 0.15 0.45 1.00 1.62 2.64 3.30 3.72 3.93 4.01 4.10
A 0.22 0.66 1.19 1.79 2.63 3.26 3.80 4.04 4.07 4.18
BBB 0.17 0.59 1.24 2.09 3.26 4.06 4.76 5.24 5.60 6.14
BB 0.37 0.87 1.67 2.54 3.19 3.78 4.50 5.21 5.90 6.62
B 0.54 1.71 2.94 4.19 5.51 5.89 6.22 6.53 6.92 7.23
CCC 7.98 15.27 20.93 25.24 26.96 28.14 29.06 29.73 30.30 30.44
CC 29.90 47.15 58.41 60.91 61.11 61.11 61.11 61.11 61.11 61.11
IG 0.18 0.55 1.10 1.75 2.62 3.21 3.66 3.89 4.00 4.14
SG 4.64 8.58 11.76 14.05 15.22 15.96 16.65 17.24 17.81 18.23
Overall 1.30 2.56 3.76 4.82 5.76 6.39 6.89 7.20 7.40 7.59
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 16

European Structured Credit One-Year Default Rates, 1987-2020 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1988 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2002 1.07 0.25 5.97 0.00 0.00 0.00 1.23 3.17 100.00 33.33 0.00
2003 1.02 0.00 6.20 0.00 0.00 0.00 0.00 0.00 0.00 31.58 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 0.08 0.00 1.24 0.00 0.00 0.00 0.00 0.00 0.00 4.76 100.00
2007 0.24 0.25 0.00 0.21 0.44 0.00 0.34 0.00 0.00 0.00 0.00
2008 0.82 0.83 0.71 0.99 0.53 1.02 0.71 0.00 0.00 13.64 0.00
2009 1.21 0.42 3.93 0.12 0.55 1.32 0.11 0.36 0.94 9.54 5.88
2010 2.75 0.14 7.06 0.00 0.20 0.15 0.31 1.44 0.76 10.97 16.67
2011 2.98 0.19 6.15 0.00 0.00 0.00 0.87 0.63 0.52 9.70 20.47
2012 3.91 0.33 8.38 0.36 0.35 0.17 0.51 0.50 0.62 6.01 56.46
2013 3.05 0.12 7.14 0.00 0.00 0.21 0.26 0.32 0.98 7.14 49.47
2014 0.97 0.00 2.49 0.00 0.00 0.00 0.00 0.00 0.83 2.10 37.84
2015 0.28 0.00 0.76 0.00 0.00 0.00 0.00 0.00 0.00 1.63 4.17
2016 1.40 0.00 4.16 0.00 0.00 0.00 0.00 0.00 0.00 10.20 14.29
2017 0.45 0.00 1.52 0.00 0.00 0.00 0.00 0.54 0.00 3.36 7.69
2018 0.68 0.00 2.28 0.00 0.00 0.00 0.00 0.00 0.00 8.99 4.00
2019 1.46 0.00 5.42 0.00 0.00 0.00 0.00 0.00 0.00 23.64 13.64
2020 0.17 0.00 0.66 0.00 0.00 0.00 0.00 0.00 0.79 3.85 0.00
Weighted-average 2.47 0.16 5.77 0.23 0.20 0.26 0.25 0.37 0.55 7.97 29.79
Median 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Std. dev. 1.05 0.17 2.70 0.18 0.16 0.28 0.29 0.60 17.12 8.75 23.41
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 3.91 0.83 8.38 0.99 0.55 1.32 1.23 3.17 100.00 33.33 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Research.

Table 17

European Structured Credit Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2020
AAA 99.61 0.00 0.39 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.90 98.80 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.21 1.70 98.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 2.13 10.64 86.52 0.71 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 11.24 85.39 3.37 0.00 0.00 0.00 0.00
B 0.00 0.99 0.00 2.97 9.90 86.14 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 5.66 94.34 0.00 0.00 0.00
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 85.72 6.70 2.92 1.83 0.95 0.59 1.03 0.02 0.00 0.23
AA 6.78 78.84 5.99 3.89 1.60 1.03 1.60 0.06 0.00 0.20
A 1.32 6.98 79.20 5.95 3.21 1.14 1.79 0.15 0.00 0.26
BBB 0.31 1.72 6.41 76.23 5.62 3.64 5.60 0.22 0.00 0.25
BB 0.19 0.29 1.41 8.35 73.18 6.48 9.49 0.25 0.00 0.37
B 0.00 0.07 0.22 1.97 12.45 70.19 14.05 0.51 0.00 0.55
CCC 0.02 0.00 0.00 0.31 1.34 6.88 77.90 5.59 0.00 7.97
CC 0.00 0.00 0.00 0.00 0.00 0.29 0.88 69.03 0.00 29.79
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 73.99 10.85 5.32 3.15 1.62 1.03 3.30 0.15 0.00 0.60
AA 12.03 64.19 9.11 5.61 2.47 1.37 4.35 0.34 0.00 0.54
A 3.30 11.21 64.45 8.51 5.48 2.15 3.77 0.38 0.00 0.75
BBB 0.89 3.57 10.01 60.85 8.35 6.17 8.62 0.80 0.00 0.74
BB 0.45 0.77 3.30 13.77 56.41 9.64 14.26 0.51 0.00 0.89
B 0.00 0.23 0.88 4.27 19.54 54.08 18.36 0.99 0.00 1.64
CCC 0.00 0.02 0.04 0.74 2.93 10.41 63.29 7.28 0.00 15.29
CC 0.00 0.00 0.00 0.15 0.00 0.91 0.91 50.23 0.00 47.79
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 65.33 14.40 6.67 3.99 2.35 1.34 4.54 0.30 0.00 1.09
AA 15.43 54.27 11.51 6.32 2.98 1.86 6.00 0.50 0.00 1.14
A 5.91 11.79 55.47 10.55 6.37 2.91 4.97 0.68 0.00 1.34
BBB 1.88 5.72 10.37 50.75 10.17 7.64 10.74 1.34 0.00 1.40
BB 0.74 1.59 5.21 15.50 46.45 10.85 16.91 1.02 0.00 1.72
B 0.04 0.48 1.99 6.81 20.66 47.77 18.03 1.31 0.00 2.91
CCC 0.00 0.05 0.23 1.29 4.19 10.70 55.85 6.87 0.00 20.83
CC 0.00 0.00 0.16 0.16 0.31 0.94 0.47 38.11 0.00 59.84
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 59.85 16.62 7.35 4.56 2.98 1.73 4.70 0.46 0.00 1.75
AA 18.10 47.67 13.08 6.41 3.05 2.50 6.66 0.74 0.00 1.79
A 8.25 11.56 49.82 11.99 6.67 3.04 5.64 1.03 0.00 2.00
BBB 3.35 7.03 10.12 44.14 11.31 8.11 11.95 1.70 0.00 2.29
BB 1.17 2.54 7.07 16.05 39.43 11.89 17.63 1.55 0.00 2.66
B 0.13 0.88 3.07 8.66 21.24 42.81 17.45 1.43 0.00 4.33
CCC 0.00 0.05 0.44 1.90 5.37 10.92 51.38 4.93 0.00 25.03
CC 0.00 0.00 0.33 0.00 0.66 0.98 0.16 33.77 0.00 64.10
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 57.34 17.34 7.53 5.06 3.26 1.89 4.74 0.42 0.00 2.41
AA 19.57 44.48 13.67 6.22 3.20 2.84 6.61 0.56 0.00 2.85
A 10.42 10.85 46.74 12.55 6.33 3.36 5.74 1.10 0.00 2.91
BBB 4.77 7.55 9.30 40.56 11.86 8.07 12.73 1.58 0.00 3.57
BB 1.95 3.81 8.53 14.83 34.83 12.55 18.33 1.76 0.00 3.41
B 0.22 1.25 4.05 10.14 21.93 38.57 16.77 1.16 0.00 5.92
CCC 0.00 0.10 0.62 2.69 6.21 10.94 47.93 4.73 0.00 26.78
CC 0.00 0.00 0.34 0.00 1.03 0.86 0.00 31.34 0.00 66.44
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 59.77 12.73 8.24 5.84 3.07 1.80 4.63 0.30 0.00 3.63
AA 17.15 42.88 11.78 6.86 4.19 3.47 7.74 0.31 0.00 5.62
A 10.47 12.61 41.78 9.87 6.32 4.34 7.17 1.23 0.00 6.21
BBB 4.44 5.05 8.00 39.71 9.80 8.06 14.74 2.02 0.00 8.19
BB 2.99 2.25 4.81 10.41 34.80 14.51 18.75 2.75 0.00 8.73
B 0.40 1.31 4.32 8.13 16.27 33.43 21.39 2.41 0.00 12.35
CCC 0.09 0.17 0.95 2.43 4.99 7.64 41.48 5.99 0.00 36.27
CC 0.00 0.00 0.00 0.00 0.79 0.00 0.00 22.13 0.00 77.08
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 Ratings Research.

Table 18

European Structured Credit Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2020
AAA 89.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.81
AA 0.00 92.68 0.41 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.91
A 0.00 0.38 89.35 1.14 0.00 0.00 0.00 0.00 0.00 0.00 9.13
BBB 0.00 0.00 1.52 92.42 0.00 0.00 0.00 0.00 0.00 0.00 6.06
BB 0.00 0.77 0.00 0.77 87.69 4.62 0.00 0.00 0.00 0.00 6.15
B 0.00 0.00 0.00 0.00 0.79 94.49 0.00 0.00 0.00 0.79 3.94
CCC 0.00 0.00 0.00 0.00 0.00 3.85 76.92 11.54 0.00 3.85 3.85
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00
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 70.50 6.40 2.82 1.74 0.86 0.55 0.90 0.02 0.00 0.23 15.98
AA 5.72 66.44 5.58 3.64 1.48 0.95 1.54 0.06 0.00 0.20 14.39
A 1.03 6.49 67.09 5.61 3.11 1.04 1.69 0.13 0.00 0.26 13.55
BBB 0.15 1.57 5.70 65.11 5.35 3.43 5.25 0.21 0.00 0.25 12.97
BB 0.10 0.12 0.99 7.58 62.08 6.26 9.13 0.23 0.00 0.37 13.13
B 0.00 0.04 0.18 1.42 10.81 56.61 13.25 0.51 0.00 0.55 16.64
CCC 0.02 0.00 0.00 0.22 1.14 6.25 62.74 4.96 0.00 7.97 16.69
CC 0.00 0.00 0.00 0.00 0.00 0.15 0.88 60.91 0.00 29.79 8.26
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 46.95 9.63 4.75 2.61 1.28 0.84 2.74 0.13 0.00 0.60 30.47
AA 7.32 42.33 7.56 4.69 2.05 1.10 3.76 0.31 0.00 0.54 30.35
A 2.08 9.05 43.31 7.35 5.18 1.85 3.44 0.32 0.00 0.75 26.68
BBB 0.36 2.37 7.73 41.52 7.28 5.53 7.36 0.63 0.00 0.74 26.47
BB 0.17 0.36 2.09 10.75 37.55 8.43 12.39 0.36 0.00 0.89 27.01
B 0.00 0.15 0.46 2.63 13.97 30.88 15.31 0.92 0.00 1.64 34.05
CCC 0.00 0.02 0.02 0.40 2.08 8.22 38.75 6.20 0.00 15.29 29.01
CC 0.00 0.00 0.00 0.15 0.00 0.61 0.91 37.14 0.00 47.79 13.39
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 29.30 11.88 5.34 2.76 1.63 0.95 3.38 0.25 0.00 1.09 43.42
AA 6.18 25.45 8.66 4.56 2.16 1.28 4.39 0.44 0.00 1.14 45.73
A 2.75 7.51 27.80 8.57 5.57 2.27 4.02 0.55 0.00 1.34 39.61
BBB 0.68 3.22 6.13 25.60 8.18 6.38 8.27 1.09 0.00 1.40 39.07
BB 0.20 0.81 2.92 9.63 22.30 8.46 13.69 0.81 0.00 1.72 39.47
B 0.04 0.28 0.96 3.90 11.23 18.75 12.18 1.23 0.00 2.91 48.53
CCC 0.00 0.02 0.11 0.52 2.47 6.66 25.09 5.15 0.00 20.83 39.14
CC 0.00 0.00 0.00 0.16 0.31 0.47 0.47 21.89 0.00 59.84 16.85
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 17.01 12.62 5.07 2.48 1.82 1.06 2.67 0.38 0.00 1.75 55.14
AA 4.89 14.15 8.79 3.83 1.75 1.51 3.77 0.65 0.00 1.79 58.87
A 2.62 5.13 18.28 8.92 5.11 1.96 3.76 0.81 0.00 2.00 51.40
BBB 0.93 3.13 3.93 15.50 8.47 6.21 8.21 1.37 0.00 2.29 49.97
BB 0.32 1.19 3.29 7.52 12.72 8.51 13.17 1.22 0.00 2.66 49.40
B 0.04 0.38 1.26 4.16 7.65 10.93 9.13 1.30 0.00 4.33 60.81
CCC 0.00 0.02 0.14 0.62 2.59 4.93 16.49 2.52 0.00 25.03 47.65
CC 0.00 0.00 0.00 0.00 0.33 0.49 0.16 15.74 0.00 64.10 19.18
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 9.86 11.67 3.98 2.02 1.57 0.89 1.88 0.28 0.00 2.41 65.44
AA 3.07 7.90 7.95 2.65 1.37 1.33 2.66 0.45 0.00 2.85 69.76
A 2.31 2.79 13.24 8.55 3.94 1.74 2.71 0.79 0.00 2.91 61.02
BBB 1.09 2.35 1.94 10.24 8.06 5.61 7.68 1.09 0.00 3.57 58.38
BB 0.40 1.79 3.20 4.18 7.50 8.25 12.36 1.29 0.00 3.41 57.63
B 0.04 0.27 1.33 4.00 5.16 5.87 5.74 0.80 0.00 5.92 70.86
CCC 0.00 0.07 0.12 0.76 2.33 3.28 10.66 1.90 0.00 26.78 54.09
CC 0.00 0.00 0.00 0.00 0.34 0.34 0.00 12.67 0.00 66.44 20.21
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 1.22 1.12 0.85 0.63 0.23 0.14 0.16 0.05 0.00 3.63 91.96
AA 0.92 0.76 2.42 0.64 0.22 0.25 0.57 0.10 0.00 5.62 88.49
A 0.50 1.16 2.10 1.79 0.52 0.54 0.89 0.31 0.00 6.21 85.98
BBB 0.04 0.24 0.59 2.71 1.37 1.34 2.93 0.74 0.00 8.19 81.86
BB 0.00 0.07 0.04 0.68 1.25 1.85 3.35 1.18 0.00 8.73 82.85
B 0.00 0.00 0.00 0.00 0.40 0.20 1.41 0.80 0.00 12.35 84.84
CCC 0.00 0.00 0.00 0.00 0.00 0.13 0.43 0.87 0.00 36.27 62.30
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.35 0.00 77.08 18.58
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 Ratings Research.
European ABS

Table 19

European ABS Cumulative Default Rates, Conditional On Survival, 1987-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.06 0.06 0.06
AA 0.00 0.00 0.00 0.09 0.09 0.09 0.09 0.09 0.09 0.09
A 0.00 0.04 0.08 0.12 0.30 0.53 0.67 0.83 0.99 1.16
BBB 0.11 0.28 0.52 0.95 1.61 2.23 2.82 3.29 3.78 4.22
BB 0.27 0.56 3.38 5.72 6.07 6.07 6.07 6.07 6.07 6.07
B 3.33 6.39 9.76 11.24 11.24 11.24 11.24 11.24 11.24 11.24
CCC 13.04 25.86 29.66 29.66 29.66 29.66 29.66 29.66 29.66 29.66
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
IG 0.02 0.06 0.12 0.22 0.39 0.57 0.74 0.87 1.00 1.13
SG 3.27 6.50 9.64 11.33 11.53 11.53 11.53 11.53 11.53 11.53
Overall 0.23 0.47 0.70 0.90 1.07 1.23 1.40 1.52 1.65 1.77
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 20

European ABS One-Year Default Rates, 1987-2020 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1988 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2006 0.16 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2009 0.72 0.15 10.81 0.00 0.00 0.00 0.65 0.00 25.00 60.00 0.00
2010 0.16 0.00 2.27 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00
2011 0.52 0.19 4.00 0.00 0.00 0.00 1.06 3.23 0.00 50.00 0.00
2012 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2013 0.21 0.00 1.47 0.00 0.00 0.00 0.00 0.00 3.70 0.00 0.00
2014 2.63 0.00 20.63 0.00 0.00 0.00 0.00 0.00 21.05 40.91 0.00
2015 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2016 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2017 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2018 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2019 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2020 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted-average 0.31 0.02 2.87 0.00 0.00 0.00 0.11 0.27 3.33 13.04 0.00
Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Std. dev. 0.47 0.04 4.32 0.00 0.00 0.00 0.21 0.55 5.53 23.10 0.00
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 2.63 0.19 20.63 0.00 0.00 0.00 1.06 3.23 25.00 100.00 0.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Research.

Table 21

European ABS Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2020
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 8.62 91.38 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.33 2.67 94.67 1.33 0.00 0.00 0.00 0.00 0.00 0.00
BBB 3.95 0.00 1.32 94.74 0.00 0.00 0.00 0.00 0.00 0.00
BB 3.23 0.00 0.00 0.00 80.65 16.13 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 18.75 0.00 81.25 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 0.00 100.00 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 96.96 2.36 0.53 0.05 0.02 0.02 0.05 0.00 0.00 0.00
AA 5.76 88.49 5.13 0.39 0.08 0.00 0.16 0.00 0.00 0.00
A 1.06 5.09 89.97 3.34 0.30 0.15 0.08 0.00 0.00 0.00
BBB 0.33 0.38 2.75 91.37 3.85 0.93 0.16 0.11 0.00 0.11
BB 0.27 0.00 0.00 5.85 81.38 10.11 2.13 0.00 0.00 0.27
B 0.00 0.00 0.56 4.44 5.56 78.33 7.22 0.00 0.56 3.33
CCC 0.00 0.00 0.00 1.74 0.87 3.48 80.00 0.87 0.00 13.04
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 94.08 4.06 1.34 0.30 0.08 0.05 0.10 0.00 0.00 0.00
AA 10.74 80.74 7.19 0.83 0.17 0.00 0.33 0.00 0.00 0.00
A 2.31 9.42 81.35 5.24 1.06 0.39 0.16 0.04 0.00 0.04
BBB 0.57 0.92 4.70 84.85 5.62 2.29 0.57 0.17 0.00 0.29
BB 0.29 0.00 0.29 7.83 71.59 13.62 5.51 0.00 0.29 0.58
B 0.00 0.61 2.44 8.54 4.27 65.85 10.98 0.00 0.61 6.71
CCC 0.00 0.00 0.00 5.45 2.73 4.55 59.09 1.82 0.00 26.36
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 91.61 5.51 1.91 0.47 0.24 0.10 0.16 0.00 0.00 0.00
AA 13.62 75.89 8.07 1.21 0.61 0.09 0.52 0.00 0.00 0.00
A 3.28 12.26 75.20 6.47 1.42 0.81 0.40 0.08 0.00 0.08
BBB 0.83 1.31 5.96 80.33 6.44 2.86 1.43 0.24 0.06 0.54
BB 0.31 0.00 0.31 9.40 65.83 15.05 5.33 0.00 0.31 3.45
B 0.00 2.00 2.67 8.00 5.33 60.00 10.67 0.00 0.67 10.67
CCC 0.00 0.93 2.80 5.61 4.67 5.61 46.73 2.80 0.00 30.84
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 89.64 6.69 2.22 0.60 0.47 0.16 0.22 0.00 0.00 0.00
AA 13.92 73.79 9.10 1.09 0.91 0.36 0.73 0.00 0.00 0.09
A 4.03 13.49 71.26 7.52 1.68 1.09 0.71 0.08 0.00 0.13
BBB 1.05 1.61 6.57 77.19 6.76 3.22 2.17 0.31 0.12 0.99
BB 0.33 0.00 0.33 10.00 64.33 15.33 3.33 0.00 0.33 6.00
B 0.00 2.90 2.17 9.42 7.25 53.62 10.87 0.00 0.72 13.04
CCC 0.00 2.94 4.90 5.88 4.90 5.88 39.22 3.92 0.00 32.35
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 87.84 7.87 2.42 0.72 0.58 0.29 0.29 0.00 0.00 0.00
AA 12.92 73.58 9.74 1.25 1.16 0.39 0.87 0.00 0.00 0.10
A 4.55 13.92 68.53 8.58 1.93 1.14 0.96 0.09 0.00 0.31
BBB 1.11 1.83 6.95 74.90 7.14 3.47 2.29 0.39 0.20 1.70
BB 0.35 0.00 0.35 9.79 63.29 15.73 3.50 0.00 0.35 6.64
B 0.00 4.62 2.31 9.23 8.46 50.00 10.77 0.00 0.77 13.85
CCC 0.00 4.21 6.32 6.32 5.26 6.32 31.58 5.26 0.00 34.74
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 84.26 9.96 3.13 0.87 1.02 0.34 0.34 0.00 0.00 0.08
AA 11.45 73.60 6.15 5.03 2.23 0.84 0.56 0.00 0.00 0.14
A 4.95 13.69 65.00 8.85 2.85 1.57 1.57 0.12 0.00 1.40
BBB 1.21 1.73 7.94 69.97 6.47 4.49 1.81 0.86 0.43 5.09
BB 0.00 0.00 1.61 8.60 65.05 12.37 5.38 0.00 0.54 6.45
B 0.00 0.00 0.00 4.65 16.28 51.16 11.63 4.65 2.33 9.30
CCC 0.00 0.00 11.76 0.00 0.00 0.00 5.88 0.00 0.00 82.35
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
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 Ratings Research.

Table 22

European ABS Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2020
AAA 68.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.51
AA 1.72 62.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 36.21
A 1.33 1.33 73.33 1.33 0.00 0.00 0.00 0.00 0.00 0.00 22.67
BBB 3.95 0.00 0.00 77.63 0.00 0.00 0.00 0.00 0.00 0.00 18.42
BB 3.23 0.00 0.00 0.00 67.74 16.13 0.00 0.00 0.00 0.00 12.90
B 0.00 0.00 0.00 18.75 0.00 62.50 0.00 0.00 0.00 0.00 18.75
CCC 0.00 0.00 0.00 0.00 0.00 0.00 40.00 0.00 0.00 0.00 60.00
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 75.85 1.99 0.53 0.00 0.02 0.02 0.05 0.00 0.00 0.00 21.53
AA 4.18 67.27 4.81 0.39 0.08 0.00 0.16 0.00 0.00 0.00 23.11
A 0.72 3.84 76.15 3.19 0.15 0.08 0.08 0.00 0.00 0.00 15.80
BBB 0.16 0.33 2.03 77.52 3.57 0.88 0.16 0.05 0.00 0.11 15.17
BB 0.27 0.00 0.00 5.05 66.49 9.84 1.33 0.00 0.00 0.27 16.76
B 0.00 0.00 0.56 3.89 5.56 63.89 6.67 0.00 0.00 3.33 16.11
CCC 0.00 0.00 0.00 1.74 0.87 2.61 73.04 0.87 0.00 13.04 7.83
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 54.03 2.82 1.16 0.18 0.05 0.05 0.08 0.00 0.00 0.00 41.64
AA 5.29 44.55 6.45 0.66 0.17 0.00 0.33 0.00 0.00 0.00 42.56
A 1.02 4.93 55.08 4.89 0.70 0.23 0.16 0.00 0.00 0.04 32.96
BBB 0.23 0.52 2.47 57.77 5.16 2.07 0.40 0.06 0.00 0.29 31.04
BB 0.29 0.00 0.00 5.51 43.19 12.46 4.35 0.00 0.00 0.58 33.62
B 0.00 0.61 2.44 6.71 2.44 39.02 9.15 0.00 0.00 6.71 32.93
CCC 0.00 0.00 0.00 5.45 1.82 2.73 50.00 0.91 0.00 26.36 12.73
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 35.43 3.15 1.49 0.29 0.18 0.10 0.10 0.00 0.00 0.00 59.24
AA 4.68 28.19 6.50 0.78 0.43 0.09 0.52 0.00 0.00 0.00 58.80
A 0.81 4.09 37.86 5.70 0.93 0.57 0.24 0.00 0.00 0.08 49.72
BBB 0.30 0.48 2.15 41.24 5.42 2.32 1.25 0.06 0.00 0.54 46.25
BB 0.31 0.00 0.00 5.64 27.27 12.23 3.45 0.00 0.00 3.45 47.65
B 0.00 1.33 2.00 5.33 2.67 25.33 8.67 0.00 0.00 10.67 44.00
CCC 0.00 0.93 2.80 5.61 1.87 2.80 35.51 0.93 0.00 30.84 18.69
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 23.20 2.93 1.40 0.38 0.38 0.16 0.14 0.00 0.00 0.00 71.40
AA 2.91 17.74 6.10 0.18 0.27 0.36 0.73 0.00 0.00 0.09 71.61
A 0.71 2.82 25.97 6.43 1.13 0.71 0.42 0.00 0.00 0.13 61.68
BBB 0.31 0.37 1.55 29.63 5.15 2.36 1.92 0.06 0.00 0.99 57.66
BB 0.33 0.00 0.00 2.67 19.00 10.67 0.67 0.00 0.00 6.00 60.67
B 0.00 2.17 2.17 5.80 3.62 13.77 8.70 0.00 0.00 13.04 50.72
CCC 0.00 1.96 2.94 5.88 0.98 2.94 27.45 0.98 0.00 32.35 24.51
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 14.81 2.56 1.10 0.43 0.43 0.29 0.17 0.00 0.00 0.00 80.20
AA 1.83 11.76 5.69 0.00 0.10 0.39 0.87 0.00 0.00 0.10 79.27
A 0.57 1.84 16.67 7.18 1.23 0.48 0.48 0.00 0.00 0.31 71.25
BBB 0.20 0.33 1.11 20.51 5.24 2.36 1.90 0.07 0.00 1.70 66.58
BB 0.35 0.00 0.35 1.05 13.64 9.79 0.70 0.00 0.00 6.64 67.48
B 0.00 2.31 2.31 2.31 3.08 6.92 8.46 0.00 0.00 13.85 60.77
CCC 0.00 2.11 3.16 6.32 1.05 3.16 18.95 1.05 0.00 34.74 29.47
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 2.53 1.28 0.91 0.23 0.45 0.11 0.00 0.00 0.00 0.08 94.42
AA 0.00 3.07 0.70 3.21 0.00 0.28 0.56 0.00 0.00 0.14 92.04
A 0.00 0.00 2.33 3.79 1.81 0.52 0.47 0.00 0.00 1.40 89.69
BBB 0.00 0.00 0.43 3.28 3.54 2.07 1.04 0.00 0.00 5.09 84.56
BB 0.00 0.00 0.54 1.08 1.61 1.08 1.61 0.00 0.00 6.45 87.63
B 0.00 0.00 0.00 0.00 0.00 0.00 6.98 0.00 0.00 9.30 83.72
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.35 17.65
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
N/A--Not applicable. Source: S&P Global Ratings Research.
European CMBS

Table 23

European CMBS Cumulative Default Rates, Conditional On Survival, 1990-2020 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.19 0.54 1.13 1.75 2.34 2.82 3.42 3.95
AA 0.00 0.00 0.23 1.16 2.42 3.76 5.02 6.12 7.07 8.06
A 0.10 0.59 1.54 3.01 4.78 6.78 8.85 10.58 12.19 13.53
BBB 0.57 2.40 5.05 8.22 12.12 16.26 19.61 22.41 24.35 25.82
BB 1.87 7.23 13.01 19.01 25.14 30.75 35.11 37.75 39.93 41.90
B 9.63 21.95 34.22 45.71 53.73 58.32 62.41 66.53 68.45 68.45
CCC 38.67 60.68 74.48 81.05 83.80 85.38 85.38 85.38 85.38 85.38
CC 61.70 80.85 91.49 91.49 91.49 91.49 91.49 91.49 91.49 91.49
IG 0.15 0.69 1.64 3.03 4.80 6.69 8.38 9.78 10.96 11.93
SG 12.39 23.47 33.07 40.89 46.89 51.28 54.71 57.16 58.76 59.96
Overall 2.89 5.79 8.67 11.48 14.15 16.54 18.54 20.08 21.27 22.23
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 24

European CMBS One-Year Default Rates, 1990-2020 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2007 0.43 0.12 4.35 0.00 0.00 0.00 0.55 0.00 30.00 0.00 0.00
2008 0.54 0.29 3.57 0.00 0.00 0.00 1.33 1.39 16.67 0.00 0.00
2009 0.98 0.11 9.57 0.00 0.00 0.00 0.50 1.49 17.39 100.00 0.00
2010 2.42 0.65 8.41 0.00 0.56 1.29 1.12 3.31 11.70 36.36 0.00
2011 4.09 0.31 12.72 0.00 0.00 0.00 1.38 4.76 13.46 46.88 0.00
2012 4.41 0.75 11.43 0.00 0.00 0.46 2.46 4.23 12.61 44.44 0.00
2013 7.81 0.26 17.32 0.00 0.00 0.53 0.00 3.16 7.41 50.68 100.00
2014 7.51 0.00 13.87 0.00 0.00 0.00 0.00 0.00 5.43 33.77 100.00
2015 7.03 0.00 13.24 0.00 0.00 0.00 0.00 0.00 8.79 19.72 62.50
2016 9.94 0.60 19.28 0.00 0.00 0.00 1.89 2.63 8.77 30.16 87.50
2017 10.89 0.00 23.14 0.00 0.00 0.00 0.00 0.00 3.33 50.00 14.29
2018 7.82 0.00 19.72 0.00 0.00 0.00 0.00 0.00 0.00 46.43 16.67
2019 3.91 0.00 13.46 0.00 0.00 0.00 0.00 0.00 0.00 25.00 83.33
2020 3.08 1.88 8.57 0.00 0.00 0.00 8.57 0.00 0.00 20.00 100.00
Weighted-average 2.96 0.29 7.82 0.00 0.05 0.19 0.82 2.04 9.44 38.27 61.70
Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Std. dev. 3.42 0.38 7.47 0.00 0.10 0.26 1.62 1.39 7.34 24.50 35.92
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 10.89 1.88 23.14 0.00 0.56 1.29 8.57 4.76 30.00 100.00 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Research.

Table 25

European CMBS Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2020
AAA 82.14 17.86 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.00 91.53 6.78 1.69 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 0.00 86.84 7.89 5.26 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 0.00 85.71 0.00 5.71 0.00 0.00 0.00 8.57
BB 0.00 0.00 0.00 0.00 66.67 29.17 4.17 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 0.00 80.00 0.00 0.00 20.00
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 87.19 6.82 5.12 0.64 0.11 0.00 0.11 0.00 0.00 0.00
AA 3.56 81.56 10.78 3.18 0.59 0.16 0.11 0.00 0.00 0.05
A 1.01 2.75 82.02 8.77 3.95 1.20 0.10 0.00 0.00 0.19
BBB 0.46 1.08 2.52 78.41 10.49 5.60 0.62 0.00 0.00 0.82
BB 0.44 0.09 0.71 2.13 70.84 19.38 4.18 0.18 0.00 2.04
B 0.00 0.00 0.00 0.00 1.08 66.91 21.62 0.96 0.00 9.44
CCC 0.00 0.22 0.00 0.00 0.00 0.22 56.42 4.87 0.00 38.27
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 38.30 0.00 61.70
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 74.72 11.22 11.57 1.65 0.42 0.04 0.23 0.00 0.00 0.15
AA 6.01 67.48 16.48 6.57 2.23 0.84 0.28 0.00 0.00 0.11
A 2.21 4.91 68.24 12.08 7.22 3.78 0.69 0.00 0.00 0.88
BBB 1.05 1.52 4.71 62.04 14.87 10.99 2.25 0.00 0.00 2.57
BB 0.91 0.09 0.82 4.09 52.77 24.70 8.72 0.45 0.00 7.45
B 0.00 0.12 0.00 0.12 1.32 47.54 27.25 2.04 0.00 21.61
CCC 0.00 0.22 0.00 0.00 0.00 0.22 34.45 4.92 0.00 60.18
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 0.00 80.00
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 64.52 13.54 17.12 2.51 1.23 0.27 0.31 0.00 0.00 0.50
AA 7.16 58.42 18.61 8.71 3.32 2.63 0.74 0.00 0.00 0.40
A 3.00 5.69 60.16 12.63 9.39 5.49 1.75 0.00 0.00 1.90
BBB 1.38 1.54 5.52 52.94 14.80 14.01 4.35 0.16 0.00 5.31
BB 1.21 0.09 1.21 4.19 43.16 22.98 12.74 1.02 0.00 13.40
B 0.00 0.24 0.00 0.00 1.83 35.69 25.70 2.68 0.00 33.86
CCC 0.00 0.23 0.00 0.00 0.00 0.23 22.10 3.42 0.00 74.03
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.26 0.00 89.74
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 56.78 14.29 21.46 3.10 2.05 0.97 0.35 0.00 0.00 1.01
AA 7.91 52.08 20.15 9.02 4.22 3.75 1.46 0.00 0.00 1.41
A 3.46 6.25 54.88 12.30 9.65 7.37 2.54 0.10 0.00 3.46
BBB 1.61 1.66 6.12 47.74 13.00 14.02 6.93 0.32 0.00 8.59
BB 1.42 0.09 1.61 4.08 38.39 19.34 13.84 1.61 0.00 19.62
B 0.00 0.37 0.00 0.00 1.74 29.35 20.52 2.36 0.00 45.65
CCC 0.00 0.24 0.00 0.00 0.00 0.24 16.30 2.19 0.00 81.02
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.12 0.00 87.88
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 51.91 14.29 23.25 3.58 3.08 1.60 0.66 0.00 0.00 1.64
AA 8.09 47.99 21.21 8.21 4.67 5.21 1.86 0.06 0.00 2.70
A 3.80 6.66 51.85 11.87 8.12 8.33 3.90 0.16 0.00 5.31
BBB 1.75 1.70 6.79 45.10 10.74 12.44 8.27 0.60 0.00 12.60
BB 1.47 0.20 1.76 3.42 36.07 16.81 12.51 1.56 0.00 26.20
B 0.00 0.39 0.00 0.00 1.81 25.06 16.02 2.45 0.00 54.26
CCC 0.00 0.28 0.00 0.00 0.00 0.28 13.37 1.39 0.00 84.68
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.38 0.00 84.62
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 46.91 14.91 23.72 3.29 2.80 2.15 1.50 0.12 0.00 4.59
AA 9.46 41.11 20.36 6.96 5.30 5.00 2.42 0.15 0.00 9.24
A 6.12 4.80 46.40 10.77 6.27 7.13 3.10 0.15 0.00 15.26
BBB 2.34 1.84 6.88 42.13 5.82 7.59 4.11 0.78 0.00 28.51
BB 2.30 0.31 2.15 2.46 33.64 7.37 5.07 0.92 0.00 45.78
B 0.00 1.20 0.00 0.00 1.99 9.16 5.18 0.40 0.00 82.07
CCC 0.00 2.08 0.00 0.00 0.00 0.00 4.17 2.08 0.00 91.67
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
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 Ratings Research.

Table 26

European CMBS Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2020
AAA 71.43 17.86 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.71
AA 0.00 83.05 6.78 1.69 0.00 0.00 0.00 0.00 0.00 0.00 8.47
A 0.00 0.00 76.32 7.89 5.26 0.00 0.00 0.00 0.00 0.00 10.53
BBB 0.00 0.00 0.00 82.86 0.00 5.71 0.00 0.00 0.00 8.57 2.86
BB 0.00 0.00 0.00 0.00 50.00 29.17 4.17 0.00 0.00 0.00 16.67
B 0.00 0.00 0.00 0.00 0.00 75.00 0.00 0.00 0.00 0.00 25.00
CCC 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 0.00 20.00 20.00
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
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 74.84 6.63 4.02 0.64 0.11 0.00 0.11 0.00 0.00 0.00 13.64
AA 2.75 71.86 9.00 3.13 0.54 0.16 0.05 0.00 0.00 0.05 12.45
A 0.67 2.36 69.88 8.53 3.90 1.11 0.10 0.00 0.00 0.19 13.25
BBB 0.31 0.72 2.06 69.05 10.08 5.60 0.62 0.00 0.00 0.82 10.75
BB 0.18 0.00 0.44 2.13 60.62 18.58 4.00 0.18 0.00 2.04 11.82
B 0.00 0.00 0.00 0.00 0.96 58.42 19.59 0.96 0.00 9.44 10.63
CCC 0.00 0.22 0.00 0.00 0.00 0.00 50.22 4.65 0.00 38.27 6.64
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 34.04 0.00 61.70 4.26
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 52.13 9.88 8.04 1.65 0.42 0.04 0.23 0.00 0.00 0.15 27.46
AA 3.51 50.17 12.75 6.40 2.06 0.72 0.17 0.00 0.00 0.11 24.11
A 1.13 3.58 46.15 11.00 6.97 3.68 0.69 0.00 0.00 0.88 25.92
BBB 0.42 0.68 3.25 44.24 13.46 10.63 2.04 0.00 0.00 2.57 22.72
BB 0.27 0.00 0.09 3.72 33.88 21.62 7.27 0.45 0.00 7.45 25.25
B 0.00 0.12 0.00 0.12 0.96 33.25 24.01 1.92 0.00 21.61 18.01
CCC 0.00 0.00 0.00 0.00 0.00 0.00 24.16 4.70 0.00 60.18 10.96
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00 80.00 8.89
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 34.17 10.45 10.53 2.39 1.16 0.27 0.27 0.00 0.00 0.50 40.26
AA 3.32 35.62 12.20 7.85 3.15 2.35 0.63 0.00 0.00 0.40 34.48
A 1.20 3.39 30.75 10.33 8.64 5.19 1.60 0.00 0.00 1.90 36.99
BBB 0.42 0.58 3.02 29.12 12.10 13.05 3.98 0.16 0.00 5.31 32.25
BB 0.28 0.00 0.28 3.16 18.42 17.49 9.67 0.84 0.00 13.40 36.47
B 0.00 0.12 0.00 0.00 1.10 17.54 21.07 2.44 0.00 33.86 23.87
CCC 0.00 0.00 0.00 0.00 0.00 0.00 9.11 3.19 0.00 74.03 13.67
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 89.74 10.26
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 20.33 9.02 11.31 2.75 1.82 0.97 0.27 0.00 0.00 1.01 52.52
AA 2.87 25.31 11.01 7.44 3.81 3.28 1.35 0.00 0.00 1.41 43.53
A 0.97 3.25 20.17 8.74 8.18 6.50 2.29 0.10 0.00 3.46 46.34
BBB 0.38 0.64 2.47 19.50 9.08 12.19 6.28 0.27 0.00 8.59 40.60
BB 0.19 0.00 0.57 2.46 9.67 11.47 9.95 1.23 0.00 19.62 44.83
B 0.00 0.12 0.00 0.00 0.62 9.33 14.30 2.11 0.00 45.65 27.86
CCC 0.00 0.00 0.00 0.00 0.00 0.00 2.92 1.95 0.00 81.02 14.11
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.88 12.12
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 11.25 6.66 9.50 2.88 2.53 1.52 0.51 0.00 0.00 1.64 63.51
AA 1.80 18.33 9.29 5.57 3.71 4.37 1.68 0.06 0.00 2.70 52.49
A 0.78 3.07 13.17 6.98 5.67 6.30 3.44 0.16 0.00 5.31 55.13
BBB 0.27 0.66 2.36 14.08 5.64 9.53 6.96 0.49 0.00 12.60 47.40
BB 0.10 0.10 0.59 1.27 5.87 7.72 8.11 1.08 0.00 26.20 48.97
B 0.00 0.00 0.00 0.00 0.39 4.78 8.91 2.20 0.00 54.26 29.46
CCC 0.00 0.00 0.00 0.00 0.00 0.00 1.11 1.11 0.00 84.68 13.09
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.62 15.38
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 2.19 2.23 2.07 0.53 0.37 0.49 0.41 0.12 0.00 4.59 87.00
AA 0.00 9.16 3.10 0.98 1.06 0.61 0.83 0.15 0.00 9.24 74.87
A 0.00 0.31 2.79 2.94 1.16 1.16 0.85 0.15 0.00 15.26 75.37
BBB 0.00 0.71 1.35 4.61 0.35 0.99 1.42 0.43 0.00 28.51 61.63
BB 0.00 0.00 0.15 0.00 0.15 0.31 1.69 0.31 0.00 45.78 51.61
B 0.00 0.00 0.00 0.00 0.00 0.80 0.40 0.00 0.00 82.07 16.73
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.67 8.33
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
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 Ratings Research.

Appendix III: Comparison Of Alternative Treatments For 'AAA' Ratings

Of our European structured finance default and rating transition study adopt a new approach to the treatment of securities with original ratings of 'AAA'. As detailed in Appendix I, this study uses the "uncollapsed" approach, rather than the "collapsed" approach of previous studies. Charts 18-20 illustrate the resulting changes.

Chart 18

image

Chart 19

image

Chart 20

image

Related Criteria

Related Research

This report does not constitute a rating action.

Ratings Performance Analytics:Nick W Kraemer, FRM, New York + 1 (212) 438 1698;
nick.kraemer@spglobal.com
Kirsten R Mccabe, New York + 1 (212) 438 3196;
kirsten.mccabe@spglobal.com
Research Contributor:Abinash Meher, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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