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Default, Transition, and Recovery: 2021 Annual European Structured Finance Default And Rating Transition Study

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Default, Transition, and Recovery: 2021 Annual European Structured Finance Default And Rating Transition Study

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The overall credit quality of European structured finance transactions improved significantly in 2021, after dipping briefly in 2020 (see chart 1). The average change in credit quality (ACCQ; see definition in Appendix I) for European structured finance rose to +0.15 notches by year-end 2021. This metric had been positive since year-end 2015, only turning negative in January and February 2021. Since recovering from this early 2021 dip, the metric has remained positive.

Chart 1

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The downgrade rate fell significantly in 2021 to 0.96% from 3.6% in 2020, while the upgrade rate rose considerably to 7.8% from a 12-year low of 4.8% in 2020. Despite the apparent recovery reflected by upgrade rates across sectors, there were seven defaults in 2021, only one fewer than in 2020, resulting in an annual default rate of 0.19%. In 2020, there were eight defaults, which resulted in an annual default rate of 0.25%. Of the seven defaults in 2021, none were investment grade (rated 'BBB-' and above). Of the speculative-grade defaults, four were rated in the 'B' category, and three were in the 'CCC' category at the beginning of the year.

S&P Global Ratings had 3,647 ratings outstanding on European structured finance securities at the beginning of 2021 (see table 1). Given the inherent diversity across European financial systems, the performance of the various structured finance sectors remained mixed.

Table 1

European Structured Finance Transition And Default Summary
2021 versus one-year average
--2021-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 3,647 91.20 7.84 0.96 0.19 7 78.08 7.85 14.07 0.98
Sector
RMBS 1,483 87.39 12.34 0.27 0.07 1 80.38 8.34 11.29 0.31
Structured credit 1,567 97.06 2.62 0.32 0.13 2 74.54 9.25 16.22 1.30
ABS 391 85.17 14.83 0.00 0.00 0 88.49 5.08 6.43 0.22
CMBS 185 84.32 2.16 13.51 2.16 4 74.58 3.55 21.87 2.96
Single-name synthetics 21 95.24 0.00 4.76 0.00 0 81.91 3.68 14.40 0.45
Collateral country
U.K. 1,194 93.47 4.44 2.09 0.50 6 80.33 7.24 12.43 0.54
Spain 281 47.69 50.89 1.42 0.36 1 69.91 12.32 17.77 1.51
Italy 125 88.80 11.20 0.00 0.00 0 79.41 6.17 14.42 0.36
Netherlands 236 95.34 2.97 1.69 0.00 0 87.67 5.40 6.93 0.27
Germany 114 90.35 9.65 0.00 0.00 0 82.27 5.16 12.57 1.72
Portugal 50 60.00 40.00 0.00 0.00 0 76.35 9.94 13.72 0.04
Other 1,647 97.57 2.31 0.12 0.00 0 75.90 8.39 15.71 1.32
Vintage
Pre-2005 127 77.95 17.32 4.72 1.57 2 85.78 5.85 8.38 0.30
2005 126 67.46 29.37 3.17 0.00 0 74.69 8.01 17.29 1.11
2006 342 81.58 16.96 1.46 0.29 1 70.18 9.06 20.77 1.77
2007 385 88.05 11.69 0.26 0.00 0 67.14 10.94 21.93 2.01
2008 60 90.00 10.00 0.00 0.00 0 75.41 7.00 17.59 1.06
2009 20 80.00 20.00 0.00 0.00 0 75.41 9.86 14.73 0.59
2010 13 92.31 7.69 0.00 0.00 0 77.29 9.72 12.99 0.31
2011 26 88.46 11.54 0.00 0.00 0 81.74 7.94 10.32 0.00
2012 30 90.00 10.00 0.00 0.00 0 87.55 6.02 6.43 0.08
2013 33 84.85 6.06 9.09 6.06 2 90.95 6.10 2.95 0.39
2014 52 76.92 17.31 5.77 1.92 1 88.17 8.52 3.32 0.15
2015 80 96.25 3.75 0.00 0.00 0 88.55 10.52 0.93 0.07
2016 115 91.30 8.70 0.00 0.00 0 92.06 7.33 0.61 0.00
2017 443 97.74 2.26 0.00 0.00 0 94.81 4.81 0.37 0.00
2018 398 91.46 7.54 1.01 0.00 0 92.09 7.04 0.87 0.00
2019 612 95.42 3.27 1.31 0.16 1 94.01 3.32 2.67 0.08
2020 785 96.94 2.93 0.13 0.00 0 96.94 2.93 0.13 0.00
Rating category
AAA 669 99.55 0.00 0.45 0.00 0 90.26 0.00 9.74 0.11
AA 802 91.40 7.48 1.12 0.00 0 74.92 9.20 15.88 0.11
A 897 89.74 9.59 0.67 0.00 0 75.47 10.90 13.63 0.11
BBB 533 84.99 13.70 1.31 0.00 0 74.58 11.35 14.07 0.26
BB 328 89.33 10.67 0.00 0.00 0 68.69 12.92 18.38 0.56
B 312 90.38 7.69 1.92 1.28 4 67.60 14.21 18.19 2.03
CCC 80 86.25 8.75 5.00 3.75 3 67.76 11.35 20.89 10.56
CC 26 96.15 3.85 0.00 0.00 0 67.34 1.76 30.90 30.65
Rating grade
Investment-grade 2,901 91.59 7.55 0.86 0.00 0 80.39 6.78 12.84 0.14
Speculative-grade 746 89.68 8.98 1.34 0.94 7 68.09 12.49 19.42 4.63
*Including defaults. Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. RMBS-- Residential mortgage-backed securities. ABS--Asset-backed securities. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Research.

Defaults in 2021 were spread across multiple sectors, with the commercial mortgage-backed securities (CMBS) sector exhibiting the highest default rate at 2.16%, followed by the structured credit sector at 0.13%, and the residential mortgage-backed securities (RMBS) sector at 0.07%. The default rates in every sector remained below one-year averages. For the seventh consecutive year, the asset-backed securities (ABS) sector recorded zero defaults.

Downgrade rates, which represent the number of downgrades as a portion of the number of ratings outstanding, were also concentrated in the CMBS sector, which exhibited a downgrade rate of 13.5%. Single-name synthetics remained the only other sector yielding a higher downgrade rate than upgrade rate at 4.8%. That said, the sector accounted for less than 1% of European structured finance ratings outstanding at the start of 2021 (and no upgrades were recorded during the year). The elevated downgrade rate in CMBS is largely a result of the underlying properties continuing to suffer from pandemic-induced and longer-term stresses, while the exposure in other sectors was less pronounced.

Structured finance securities' performance in Europe has historically differed by sector, due in part to the collateral diversity underpinning transactions. The RMBS, ABS, and CMBS sectors specifically have inherent esoteric 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.

The ABS sector had the highest upgrade rate, which represents the number of upgrades as a portion of the number of ratings outstanding, reaching its all-time high of 14.8% in 2021. The elevated upgrades in the sector were particularly concentrated in the auto subsector, accounting for 53% of all ABS upgrades (by number of ratings).

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 again until 2015. It has since remained positive. The ABS sector recorded its highest-ever average change in credit quality in 2021 when it reached +0.47 notches in September.

Chart 2

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The average change in credit quality for the RMBS sector has remained positive since 2016, though it was well off the 2020 peaks in 2021. It reached a maximum value of +0.32 notches in July 2021, up from +0.16 notches at year-end 2020 but down from the +0.82 notches peak recorded in March 2020.

Structured credit replaced RMBS as the sector with the highest number of European structured finance ratings, accounting for 43% of all ratings at the start of 2021. The structured credit sector experienced the most immediate credit deterioration following the 2008-2009 global financial crisis, hitting the lowest credit performance level of any of the sectors at -3.27 notches in November 2009. Once back in positive territory again in 2014, the measure remained elevated. Despite having briefly turned negative at the end of 2020 (-0.01 notches), the sector quickly recovered to positive territory, though it still hovered near the zero mark, closing the year at +0.04 notches.

The CMBS sector in Europe has shown weak credit performance since late 2008, hitting a low of -2.22 notches in mid-2010. After three years of slowly improving credit performance following the financial crisis, the sector took another hit in May 2013, declining to a new low of -2.61 notches. This was due to a rise in defaults, driven by failure to meet maturity obligations. In 2021, the sector's credit quality reached its lowest point in March at -1.03 notches, and it subsequently improved to -0.36 notches by year-end.

Default Rates Decline, Albeit Marginally

The 12-month-trailing default rate for European structured finance fell to 0.19% in December 2021 from 0.25% in December 2020 (see chart 3). The investment-grade segment had a 12-month-trailing default rate of 0%, down from 0.11% a year ago. The measure captures the 12-month lag in defaults over the current number of outstanding ratings. The 12-month-trailing default rate among speculative-grade securities rose to 0.94% in 2021 from 0.79% in 2020. Despite the uptick, this measure was by no means elevated; it marked the seventh-lowest 12-month-trailing default rate in the past 10 years (120 pools).

Chart 3

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Sector comparisons

The ABS sector, which made up 11% of outstanding ratings, had no defaults in 2021. The upgrade rate nearly tripled from the year prior to 14.8%, well above the one-year average. The downgrade rate declined to 0.0% in 2021, down from 3.2% in 2020.

The credit performance of European RMBS was also among the strongest in 2021 (see chart 4). The sector accounted for the second-most ratings (narrowly trailing structured credit), at just over 41%. The upgrade rate for RMBS was 12.3%, trailing only ABS in 2021, reflecting a significant increase from 7.9% in 2020. The downgrade rate decreased to 0.3% from 1.1% in 2020, and the sector saw just one default (see chart 5).

Chart 4

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Weakness in CMBS, the sector hit the hardest by the COVID-19 pandemic, persisted in 2021. Performance across the remaining sectors was mostly stable.

The downgrade rate declined to 13.5% from 18.6% in 2020. Both of these figures are below the one-year average of 21.9%, further emphasizing the historical weakness of the sector. The upgrade rate improved to 2.2% in 2021, compared with just 0.5% in 2020. Most defaults in 2021 occurred in CMBS credits (four), yielding an annual default rate of 2.2%, down from 3.1% in 2020. The CMBS sector accounted for just over 5% of outstanding European structured finance ratings at the start of 2021.

The structured credit sector, which accounted for the largest portion of European credits in 2021 at 43%, reported two defaults. The resulting default rate of 0.13% is slightly below that of 0.17% in 2020. Downgrades and upgrades were both tempered in 2021 as the sector had a rather quiet year in terms of rating actions. The downgrade rate fell to 0.3% from 3.4% the previous year, while the upgrade rate rose slightly to 2.6% from 1.8% the year prior, but it was still much lower than the one-year average of 9.2%.

The single-name synthetics sector accounted for the smallest portion of ratings outstanding at the start of 2021, at just 0.6%. There were no defaults or upgrades for this sector during the year, but we lowered 4.8% of outstanding ratings.

Chart 5

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Vintages

Credit performance across European structured finance varies by the year of issuance, or vintage (see charts 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 2021, upgrade rates were the highest among the 2005, 2004, and 2009 vintages; the 2005 vintage had the highest upgrade rate at 29.4%. With the exception of 2013, all the vintages' upgrade rates exceeded downgrade rates in 2021, with more than half of the vintages' upgrade rates exceeding their respective long-term averages. The bulk of upgrades came from the vintages issued before 2008, which accounted for a little more than 25% of ratings outstanding at the start of 2021.

Chart 6

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Turning to downgrades, eight of the 17 vintages saw no downgrades in 2021, with the 2013 vintage exhibiting the highest proportion of downgrades at 9.1%. Meanwhile, 2014 was the only other vintage to exhibit a downgrade rate in 2021 higher than its long-term average.

The 2013 vintage also had the highest default rate at 6.1%, well above the one-year average of 0.4%. Remaining defaults occurred in the 2014, pre-2005, 2006, and 2019 vintages, with default rates of 1.9%, 1.6%, 0.3%, and 0.2%, 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.

In 2021, 80% of European structured finance securities were rated investment grade. 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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Because 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 2021 (see chart 9). Given the limited number of defaults in 2021, this pattern is more pronounced on the speculative-grade end.

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 2021--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 timeframes, 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 within rating categories. Sectors that were more adversely affected by the financial crisis (e.g., structured credit) account for a larger portion of the 'AA' category than less-affected sectors (e.g., RMBS).

Table 2

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2021 (%)
--Time horizon (years)--
1 2 3 4 5 6 7 8 9 10
AAA 0.11 0.28 0.51 0.80 1.09 1.32 1.49 1.57 1.64 1.70
AA 0.11 0.28 0.62 1.02 1.63 2.08 2.42 2.62 2.76 2.89
A 0.11 0.36 0.69 1.08 1.60 2.11 2.57 2.87 3.10 3.30
BBB 0.26 0.75 1.43 2.28 3.37 4.34 5.19 5.81 6.29 6.76
BB 0.56 1.69 3.15 4.59 5.87 6.99 8.05 8.86 9.50 10.10
B 2.03 4.74 7.53 10.15 12.27 13.44 14.21 14.82 15.16 15.35
CCC 10.56 19.04 24.98 29.01 30.64 31.72 32.47 33.02 33.50 33.59
CC 30.65 47.26 57.90 60.00 60.17 60.17 60.17 60.17 60.17 60.17
IG 0.14 0.38 0.74 1.19 1.74 2.22 2.61 2.86 3.05 3.22
SG 4.63 8.70 12.04 14.54 16.11 17.20 18.06 18.73 19.24 19.60
Overall 0.98 1.94 2.86 3.68 4.43 5.01 5.48 5.80 6.04 6.24
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Sectors In Detail: Overall Improvement In 2021, Though CMBS And Structured Credit Performance Deteriorated

RMBS

There was one default among European RMBS securities in 2021, resulting in an annual default rate of 0.1%, below the long-term average of 0.3%. The upgrade rate in 2021 climbed to 12.3%, compared to 7.9% the year before. In turn, the downgrade rate fell to 0.3%, from 1.11% in 2020. The average change in credit quality stabilized to about +0.3 notches for the past three quarters, ending the year at +0.27 notches, up from +0.16 notches at year-end 2020 (see chart 10).

Chart 10

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The European RMBS 12-month-trailing default rate remained stable at 0.07% for most of 2021 and ended the year there (see chart 11). Historically, it has been below the 12-month-trailing default rate for all of European structured finance.

Chart 11

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Upgrades were primarily of credits in Spain and Portugal, and of speculative-grade credits, specifically in the pre-2008 vintages (see table 3).

All of the downgrades were of Spanish securities. They were primarily limited to pre-2008 vintages; the 2005 vintage had the highest downgrade rate at 1.1%. The 2020 vintage had a downgrade rate of 0.5%.

Downgrades occurred evenly in the speculative-grade and investment-grade spaces, with two apiece. The 'CCC' rating category had the highest downgrade rate at 2.0%. All rating categories had downgrade rates below that of their respective one-year averages.

Table 3

European RMBS Transition And Default Summary
2021 versus one-year average
--2021-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 1,483 87.4 12.3 0.3 0.1 1 80.4 8.3 11.3 0.3
Subsector
Nonconforming 524 96.6 3.4 0.0 0.0 0 76.9 10.6 12.5 0.1
Spanish 237 45.1 53.2 1.7 0.4 1 68.9 14.1 17.1 1.5
U.K. prime 82 98.8 1.2 0.0 0.0 0 90.0 2.8 7.2 0.0
Dutch prime 135 100.0 0.0 0.0 0.0 0 90.1 5.1 4.8 0.0
Italian 88 86.4 13.6 0.0 0.0 0 76.1 8.7 15.2 0.3
Portuguese 49 59.2 40.8 0.0 0.0 0 69.5 13.4 17.1 0.1
German 13 100.0 0.0 0.0 0.0 0 87.0 5.8 7.2 0.5
Other 355 98.3 1.7 0.0 0.0 0 82.7 6.8 10.6 0.2
Vintage
Pre-2005 73 74.0 26.0 0.0 0.0 0 86.4 7.1 6.5 0.0
2005 94 60.6 38.3 1.1 0.0 0 79.0 8.1 12.9 0.1
2006 268 78.7 20.5 0.7 0.4 1 76.1 8.7 15.3 0.3
2007 300 86.3 13.7 0.0 0.0 0 72.8 9.4 17.7 1.0
2008 52 94.2 5.8 0.0 0.0 0 76.8 6.2 17.0 0.6
2009 6 83.3 16.7 0.0 0.0 0 69.1 10.5 20.4 0.7
2010 9 88.9 11.1 0.0 0.0 0 89.9 4.1 6.0 0.4
2011 20 85.0 15.0 0.0 0.0 0 83.1 7.1 9.8 0.0
2012 9 77.8 22.2 0.0 0.0 0 85.2 7.8 6.9 0.0
2013 5 100.0 0.0 0.0 0.0 0 89.9 9.4 0.7 0.0
2014 15 86.7 13.3 0.0 0.0 0 82.9 15.4 1.7 0.0
2015 29 100.0 0.0 0.0 0.0 0 83.3 16.2 0.4 0.2
2016 55 96.4 3.6 0.0 0.0 0 86.0 14.0 0.0 0.0
2017 80 95.0 5.0 0.0 0.0 0 81.4 18.6 0.0 0.0
2018 93 97.8 2.2 0.0 0.0 0 84.0 16.0 0.0 0.0
2019 160 98.8 1.3 0.0 0.0 0 93.0 6.4 0.6 0.0
2020 215 94.9 4.7 0.5 0.0 0 94.9 4.7 0.5 0.0
Rating category
AAA 258 100.0 0.0 0.0 0.0 0 93.4 0.0 6.6 0.1
AA 344 87.2 12.8 0.0 0.0 0 74.1 9.5 16.5 0.0
A 460 90.0 10.0 0.0 0.0 0 74.6 12.1 13.3 0.0
BBB 159 73.6 25.2 1.3 0.0 0 76.8 13.7 9.5 0.1
BB 107 72.9 27.1 0.0 0.0 0 69.0 14.6 16.4 0.4
B 102 81.4 17.6 1.0 0.0 0 76.5 12.9 10.6 1.1
CCC 51 88.2 9.8 2.0 2.0 1 76.5 9.8 13.6 9.0
CC 2 50.0 50.0 0.0 0.0 0 53.1 15.6 31.3 25.0
Rating grade
Investment-grade 1,221 89.2 10.6 0.2 0.0 0 81.6 7.5 10.9 0.0
Speculative-grade 262 79.0 20.2 0.8 0.4 1 72.9 13.3 13.8 1.9
*Including defaults. Securities whose ratings migrated to 'NR' (not rated) 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 0.1% in 2021 from 0.2% in 2020. Following a five-year expansion period that began in 2014, the average change in credit quality remained positive until year-end 2020, hovering just above zero notches until it contracted into negative territory at the beginning of 2021. The measure remained negative until July 2021, and then it recovered to +0.04 notches by year-end (see chart 12).

The 2021 upgrade rate of 2.6% bucked a trend of year-on-year declines since the peak in 2016. The 2021 downgrade rate reached an all-time low of 0.3% .

Chart 12

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The 12-month-trailing default rate for European structured credit dropped to 0.13%, down from 0.17% at year-end 2020 (see chart 13). Historically, the 12-month-trailing default rate for structured credit had generally exceeded the overall European structured finance 12-month-trailing default rate. However, this trend has changed in recent years as the sector stability rates (unchanged ratings) have risen.

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, diverging performance emerged once again in 2020 and continued into 2021.

Before the financial crisis, CDOs were the more commonly issued product within structured credit. Many of these were backed by RMBS, which 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 RMBS, which, in turn, backed 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 0.19% within European structured finance credits was the result of two defaults from pre-2005 structured finance CDOs (see table 4). Leveraged loan CLOs accounted for 82% of the European structured credit ratings in 2021, while CDOs made up just 2.1%. The two defaults resulted in a 6.1% default rate for the sector. Each default emanated from the pre-2005 vintage and the 'CCC' rating category.

The upgrade rate rose to 2.6% for European structured credit, and many of these upgrades came from the pre-2010 vintages. All rating categories except 'CC' reported upgrades in 2021.

Downgrades declined across the board in 2021, with an overall rate of 0.3%. Leveraged loan CLOs had a downgrade rate of 0%, down from 3% in 2020. Downgrades were concentrated in pre-2007 vintages, and they were primarily among speculative-grade ratings.

Table 4

European Structured Credit Transition And Default Summary
2021 versus one-year average
--2021-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 1,567 97.1 2.6 0.3 0.1 2 74.5 9.2 16.2 1.3
Subsector
Leveraged loan CLOs 1,281 99.5 0.5 0.0 0.0 0 76.2 14.2 9.6 0.1
Structured finance CDOs 33 87.9 3.0 9.1 6.1 2 70.3 6.2 23.5 3.1
Other 253 86.2 13.0 0.8 0.0 0 74.9 6.9 18.2 1.5
Vintage
Pre-2005 12 58.3 25.0 16.7 16.7 2 82.6 6.2 11.1 0.6
2005 12 91.7 8.3 0.0 0.0 0 69.6 9.3 21.1 1.8
2006 43 86.0 7.0 7.0 0.0 0 65.2 11.7 23.1 2.3
2007 56 92.9 7.1 0.0 0.0 0 63.9 14.6 21.4 1.9
2008 7 57.1 42.9 0.0 0.0 0 72.8 8.1 19.2 1.7
2009 11 72.7 27.3 0.0 0.0 0 80.0 11.6 8.4 0.8
2010 2 100.0 0.0 0.0 0.0 0 65.8 18.1 16.1 0.0
2011 3 100.0 0.0 0.0 0.0 0 73.7 9.3 17.0 0.0
2012 9 88.9 11.1 0.0 0.0 0 82.0 7.3 10.6 0.4
2013 11 90.9 9.1 0.0 0.0 0 93.0 3.4 3.6 0.3
2014 18 72.2 27.8 0.0 0.0 0 90.4 4.1 5.5 0.0
2015 22 95.5 4.5 0.0 0.0 0 93.8 5.0 1.2 0.0
2016 35 91.4 8.6 0.0 0.0 0 98.8 1.0 0.2 0.0
2017 334 99.1 0.9 0.0 0.0 0 98.1 1.5 0.4 0.0
2018 196 98.0 2.0 0.0 0.0 0 98.7 1.3 0.0 0.0
2019 333 98.8 1.2 0.0 0.0 0 96.6 0.6 2.8 0.0
2020 463 99.6 0.4 0.0 0.0 0 99.6 0.4 0.0 0.0
Rating category
AAA 255 100.0 0.0 0.0 0.0 0 86.0 0.0 14.0 0.2
AA 342 98.8 1.2 0.0 0.0 0 73.2 10.6 16.2 0.2
A 325 92.9 6.5 0.6 0.0 0 73.4 12.0 14.6 0.2
BBB 251 96.4 3.6 0.0 0.0 0 70.0 12.2 17.7 0.2
BB 177 99.4 0.6 0.0 0.0 0 68.6 14.0 17.4 0.4
B 176 97.7 2.3 0.0 0.0 0 63.2 19.1 17.7 0.5
CCC 17 70.6 11.8 17.6 11.8 2 68.1 12.7 19.2 8.0
CC 24 100.0 0.0 0.0 0.0 0 70.0 1.1 28.9 28.9
Rating grade
Investment-grade 1,173 96.9 2.9 0.2 0.0 0 77.0 7.7 15.4 0.2
Speculative-grade 394 97.5 1.8 0.8 0.5 2 67.3 14.0 18.7 4.5
*Including defaults. Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. CLOs--Collateralized loan obligations. CDOs--Collateralized debt obligations. Source: S&P Global Ratings Research.
ABS

The European ABS sector's credit performance improved significantly in 2021. The average change in credit quality rose to +0.37 notches in 2021 from +0.15 notches in 2020, having reached an all-time high +0.47 notches in the year. The average change in credit quality has remained positive for more than six years (see chart 14). Similarly, the upgrade rate rose to an all-time high of 14.8% in 2021, up from 5.2% in 2020. The downgrade rate floored at 0%, down from 3.2% the year before. For the seventh consecutive year, there were no defaults in European ABS.

Chart 14

image

The 12-month default rate in European ABS has historically remained lower than the aggregate European structured finance default 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 0% since 2015.

Chart 15

image

European ABS accounted for just under 11% of all outstanding European structured finance credits in 2021. Along with no defaults in 2021, there were also no downgrades.

European ABS securities rated in the 'BBB' category at the start of 2021 had the highest upgrade rate at 31.6%. Most rating categories reported upgrade rates higher than their respective one-year averages, with the exception of the 'B' and 'CCC' categories.

Table 5

European ABS Transition And Default Summary
2021 versus one-year average
--2021-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 391 85.2 14.8 0.0 0.0 0 88.5 5.1 6.4 0.2
Subsector
Auto 219 85.8 14.2 0.0 0.0 0 90.8 6.7 2.5 0.2
Corporate securitizations 53 86.8 13.2 0.0 0.0 0 82.0 2.9 15.1 0.8
Other consumer 35 62.9 37.1 0.0 0.0 0 87.0 7.0 6.0 0.1
Credit card 39 100.0 0.0 0.0 0.0 0 95.7 2.0 2.3 0.0
Other 45 84.4 15.6 0.0 0.0 0 86.7 5.0 8.4 0.0
Vintage
Pre-2005 12 100.0 0.0 0.0 0.0 0 91.9 3.1 5.0 0.2
2005 7 100.0 0.0 0.0 0.0 0 84.9 3.5 11.5 0.1
2006 10 100.0 0.0 0.0 0.0 0 80.5 5.6 13.9 0.4
2007 3 100.0 0.0 0.0 0.0 0 76.8 6.6 16.6 1.4
2008 1 100.0 0.0 0.0 0.0 0 85.6 5.9 8.6 0.2
2009 1 100.0 0.0 0.0 0.0 0 83.1 5.3 11.7 0.0
2010 1 100.0 0.0 0.0 0.0 0 86.2 7.4 6.4 0.0
2011 2 100.0 0.0 0.0 0.0 0 86.8 7.9 5.3 0.0
2012 11 100.0 0.0 0.0 0.0 0 95.2 2.4 2.4 0.0
2013 10 90.0 10.0 0.0 0.0 0 91.6 7.0 1.4 0.0
2014 16 87.5 12.5 0.0 0.0 0 92.5 5.4 2.1 0.0
2015 27 100.0 0.0 0.0 0.0 0 88.5 10.5 1.0 0.0
2016 25 80.0 20.0 0.0 0.0 0 88.8 9.9 1.3 0.0
2017 24 87.5 12.5 0.0 0.0 0 93.2 5.9 0.9 0.0
2018 74 70.3 29.7 0.0 0.0 0 87.1 12.9 0.0 0.0
2019 73 80.8 19.2 0.0 0.0 0 88.4 10.9 0.7 0.0
2020 94 88.3 11.7 0.0 0.0 0 88.3 11.7 0.0 0.0
Rating category
AAA 134 100.0 0.0 0.0 0.0 0 97.0 0.0 3.0 0.0
AA 53 79.2 20.8 0.0 0.0 0 79.8 9.7 10.4 0.0
A 75 78.7 21.3 0.0 0.0 0 85.6 8.0 6.4 0.0
BBB 76 68.4 31.6 0.0 0.0 0 85.8 6.7 7.5 0.1
BB 27 81.5 18.5 0.0 0.0 0 73.2 10.9 15.9 0.2
B 19 89.5 10.5 0.0 0.0 0 69.3 11.6 19.1 3.0
CCC 7 100.0 0.0 0.0 0.0 0 73.0 10.7 16.4 12.3
CC 0 0.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
Rating grade
Investment-grade 338 84.9 15.1 0.0 0.0 0 89.6 4.7 5.7 0.0
Speculative-grade 53 86.8 13.2 0.0 0.0 0 72.2 11.0 16.8 3.0
*Including defaults. Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. ABS--Asset-backed securities. Source: S&P Global Ratings Research.
CMBS

European CMBS credit performance improved in 2021. As the annual default rate fell to 2.2% from 3.1% in 2020, the downgrade rate also fell to 13.5% in 2021 from 18.6% in 2020, below the one-year weighted average of 21.9%. Meanwhile, the upgrade rate rose to 2.2% in 2021 from 0.5% in 2020, but it remained lower than the one-year average of 3.6%. The average change in credit quality among European structured finance CMBS transactions was negative for more than a decade before turning positive in September 2019. The measure ended 2021 at -0.36 notches (see chart 16).

Chart 16

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The 12-month-trailing default rate for European CMBS hovered between 2.1% and 2.2% for most of the year, ending the year at 2.2% (see chart 17). Before the financial crisis, the overall European structured finance and European CMBS 12-month-trailing default rates were nearly the same. 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 5.1% of the total. There were four defaults in CMBS in 2021, all of which were in the U.K. The resulting default rate for the U.K. CMBS subsector was 3.0%, 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 2021, with rates of 1.5% and 3.9%, respectively. There were no outstanding German credits at the start of the year in this sector.

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 in 2021.

Defaults within European CMBS in 2021 were only from speculative-grade rating categories, all of which occurred in the 'B' rating category. The resulting investment-grade default rate for the sector was 0% in 2021. The speculative-grade default rate remained just below its one-year average of 12.5%, at 11.1%.

Table 6

European CMBS Transition And Default Summary
2021 versus one-year average
--2021-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades* (%) Defaults (%)
Overall 185 84.3 2.2 13.5 2.2 4 74.6 3.6 21.9 3.0
Subsector
U.K. 134 83.6 1.5 14.9 3.0 4 75.6 4.5 20.0 2.5
German 0 0.0 0.0 0.0 0.0 0 68.3 3.4 28.3 4.7
Multi-country 0 0.0 0.0 0.0 0.0 0 72.7 2.4 24.9 3.5
Other 51 86.3 3.9 9.8 0.0 0 78.4 2.5 19.2 2.3
Vintage
Pre-2005 30 86.7 0.0 13.3 0.0 0 89.6 5.3 5.1 0.3
2005 11 72.7 0.0 27.3 0.0 0 77.1 5.0 17.9 1.8
2006 21 100.0 0.0 0.0 0.0 0 68.1 2.2 29.8 4.4
2007 7 100.0 0.0 0.0 0.0 0 59.1 1.7 39.1 6.1
2008 0 0.0 0.0 0.0 0.0 0 67.6 0.0 32.4 2.7
2009 2 100.0 0.0 0.0 0.0 0 67.6 11.8 20.6 0.0
2010 1 100.0 0.0 0.0 0.0 0 42.5 1.1 56.3 3.4
2011 1 100.0 0.0 0.0 0.0 0 54.5 22.7 22.7 0.0
2012 1 100.0 0.0 0.0 0.0 0 81.3 6.3 12.5 0.0
2013 7 57.1 0.0 42.9 28.6 2 71.4 3.6 25.0 7.1
2014 3 0.0 0.0 100.0 33.3 1 86.8 2.6 10.5 2.6
2015 2 0.0 100.0 0.0 0.0 0 90.1 7.9 2.0 0.0
2016 0 0.0 0.0 0.0 0.0 0 50.0 0.0 50.0 0.0
2017 5 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
2018 35 82.9 5.7 11.4 0.0 0 88.9 1.7 9.4 0.0
2019 46 82.6 0.0 17.4 2.2 1 88.0 0.0 12.0 1.1
2020 13 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
Rating category
AAA 22 86.4 0.0 13.6 0.0 0 87.2 0.0 12.8 0.0
AA 58 82.8 1.7 15.5 0.0 0 78.2 4.5 17.3 0.1
A 35 82.9 8.6 8.6 0.0 0 74.3 6.1 19.6 0.2
BBB 34 85.3 0.0 14.7 0.0 0 73.4 5.9 20.7 0.8
BB 17 100.0 0.0 0.0 0.0 0 66.9 4.5 28.6 2.0
B 14 64.3 0.0 35.7 28.6 4 56.2 1.5 42.2 9.9
CCC 5 100.0 0.0 0.0 0.0 0 48.4 0.4 51.2 38.2
CC 0 0.0 0.0 0.0 0.0 0 38.3 0.0 61.7 61.7
Rating grade
Investment-grade 149 83.9 2.7 13.4 0.0 0 78.9 3.8 17.2 0.2
Speculative-grade 36 86.1 0.0 13.9 11.1 4 59.3 2.7 38.0 12.5
*Including defaults. Securities whose ratings migrated to 'NR' (not rated) 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 23,830 European structured finance instruments that S&P Global Ratings first rated between 1982 and Dec. 31, 2021. 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 when we first assigned a rating. Usually this is close to the security's original issuance date. However, in some cases, we may first assign a rating to a security later 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. We base the transition statistics for that static pool of ratings on the movements in ratings between the start and end of the transition window.

For instance, we calculate the 2021 transition rates by determining the ratings on each security at the start of 2021 and determining the ratings on those same securities at the end of 2021. 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 observed transition window. 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, we generally 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 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 a transition window, 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 we used in the footnote. 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 call 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', calling 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

We base counts of defaults and default rate statistics 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 other 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 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 because 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 0.3%, and the three-year average is 1.43%.

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, we calculate the average cumulative default rate of each time horizon 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, 1983-2021 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.11 0.28 0.51 0.80 1.09 1.32 1.49 1.57 1.64 1.70
AA 0.11 0.28 0.62 1.02 1.63 2.08 2.42 2.62 2.76 2.89
A 0.11 0.36 0.69 1.08 1.60 2.11 2.57 2.87 3.10 3.30
BBB 0.26 0.75 1.43 2.28 3.37 4.34 5.19 5.81 6.29 6.76
BB 0.56 1.69 3.15 4.59 5.87 6.99 8.05 8.86 9.50 10.10
B 2.03 4.74 7.53 10.15 12.27 13.44 14.21 14.82 15.16 15.35
CCC 10.56 19.04 24.98 29.01 30.64 31.72 32.47 33.02 33.50 33.59
CC 30.65 47.26 57.90 60.00 60.17 60.17 60.17 60.17 60.17 60.17
IG 0.14 0.38 0.74 1.19 1.74 2.22 2.61 2.86 3.05 3.22
SG 4.63 8.70 12.04 14.54 16.11 17.20 18.06 18.73 19.24 19.60
Overall 0.98 1.94 2.86 3.68 4.43 5.01 5.48 5.80 6.04 6.24
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 8

European Structured Finance One-Year Default Rates, 1983-2021 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1983 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1984 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1985 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1986 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1987 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 N/A 0.00 N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.22 0.00 16.67 0.00 0.00 0.00 0.00 33.33 0.00 N/A N/A
1999 0.19 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 N/A 100.00
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.10 0.10 0.00 0.00 0.00 0.00 0.68 0.00 0.00 N/A N/A
2002 0.37 0.13 4.08 0.00 0.00 0.00 0.75 2.15 50.00 33.33 N/A
2003 0.33 0.00 4.42 0.00 0.00 0.00 0.00 0.00 0.00 30.00 66.67
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2006 0.06 0.00 0.99 0.00 0.00 0.00 0.00 0.00 0.00 8.33 100.00
2007 0.16 0.14 0.53 0.10 0.27 0.00 0.21 0.00 6.25 0.00 N/A
2008 0.53 0.52 0.76 0.55 0.32 0.50 0.70 0.15 2.67 6.25 0.00
2009 1.04 0.24 5.21 0.08 0.29 0.58 0.22 0.57 3.76 13.71 11.11
2010 1.82 0.20 6.44 0.00 0.24 0.26 0.49 1.59 3.34 11.42 16.49
2011 2.10 0.24 6.26 0.28 0.08 0.00 0.63 1.41 2.86 11.38 21.09
2012 2.34 0.20 7.01 0.09 0.14 0.12 0.55 1.05 2.68 7.66 54.84
2013 2.45 0.07 7.35 0.00 0.00 0.13 0.11 0.95 2.49 13.13 48.57
2014 1.64 0.00 5.10 0.00 0.00 0.00 0.00 0.00 2.92 9.78 45.83
2015 0.67 0.00 2.24 0.00 0.00 0.00 0.00 0.00 1.45 4.47 17.14
2016 1.33 0.03 4.59 0.00 0.00 0.00 0.14 0.23 1.02 11.85 31.71
2017 1.04 0.00 3.97 0.00 0.00 0.00 0.00 0.25 0.75 14.11 10.81
2018 0.72 0.00 2.98 0.00 0.00 0.00 0.00 0.00 0.00 12.64 8.57
2019 0.75 0.00 3.44 0.00 0.00 0.00 0.00 0.00 0.00 13.79 26.67
2020 0.25 0.11 0.79 0.00 0.00 0.00 0.65 0.00 0.40 2.38 8.00
2021 0.19 0.00 0.94 0.00 0.00 0.00 0.00 0.00 1.28 3.75 0.00
Weighted average 0.98 0.14 4.63 0.11 0.11 0.11 0.26 0.56 2.03 10.56 30.65
Median 0.10 0.00 2.98 0.00 0.00 0.00 0.00 0.00 0.40 10.58 17.14
Standard deviation 0.72 0.11 3.82 0.10 0.09 0.14 0.27 6.62 9.52 8.77 31.68
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 2.45 0.52 16.67 0.55 0.32 0.58 0.75 33.33 50.00 33.33 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 9

European Structured Finance Rating Transitions, 2021 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2021
AAA 99.55 0.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 3.99 94.89 1.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.78 6.24 92.31 0.67 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.94 9.76 87.99 1.31 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 1.22 8.54 90.24 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.32 4.17 93.91 0.32 0.00 0.00 1.28
CCC 0.00 0.00 0.00 0.00 1.25 3.75 90.00 1.25 0.00 3.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 3.85 96.15 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 90.26 5.38 2.29 0.86 0.41 0.27 0.41 0.01 0.00 0.11
AA 5.06 82.92 7.24 2.40 0.89 0.55 0.80 0.03 0.00 0.11
A 0.86 5.40 85.79 4.65 1.91 0.59 0.64 0.05 0.00 0.11
BBB 0.25 1.18 6.43 80.67 5.87 2.80 2.44 0.11 0.00 0.26
BB 0.23 0.18 1.11 8.07 74.16 9.59 5.90 0.20 0.00 0.56
B 0.05 0.08 0.12 1.63 8.61 76.17 10.85 0.45 0.02 2.03
CCC 0.02 0.02 0.00 0.34 1.20 6.41 76.65 4.80 0.00 10.56
CC 0.00 0.00 0.00 0.00 0.13 0.63 1.01 67.34 0.25 30.65
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 81.78 8.74 4.96 1.64 0.76 0.46 1.32 0.06 0.00 0.28
AA 9.00 70.72 11.29 3.98 1.59 0.83 2.15 0.16 0.00 0.29
A 2.06 9.10 75.18 6.90 3.45 1.40 1.41 0.15 0.00 0.36
BBB 0.66 2.55 10.56 66.86 8.95 5.26 4.07 0.34 0.00 0.75
BB 0.56 0.60 2.90 13.07 56.65 14.43 9.68 0.38 0.02 1.71
B 0.08 0.23 0.60 4.01 13.68 61.09 14.62 0.90 0.02 4.78
CCC 0.00 0.03 0.03 0.81 2.64 10.07 61.05 6.23 0.02 19.12
CC 0.00 0.00 0.00 0.13 0.26 1.43 1.17 48.70 0.26 48.05
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 74.95 11.23 7.27 2.22 1.17 0.69 1.83 0.12 0.00 0.51
AA 11.60 62.07 14.14 4.92 2.07 1.33 3.00 0.24 0.00 0.63
A 3.51 10.80 67.94 8.32 4.42 2.07 1.97 0.26 0.00 0.71
BBB 1.23 4.04 12.54 57.41 10.33 7.00 5.41 0.59 0.01 1.44
BB 0.82 1.35 4.70 15.24 45.91 16.11 11.88 0.74 0.03 3.21
B 0.13 0.45 1.43 6.32 15.54 52.18 15.00 1.18 0.02 7.74
CCC 0.00 0.07 0.24 1.37 3.74 10.70 52.74 5.85 0.03 25.25
CC 0.00 0.00 0.13 0.27 0.40 1.61 0.81 36.91 0.27 59.60
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 70.15 12.56 9.11 2.72 1.53 0.99 1.94 0.18 0.00 0.82
AA 13.35 56.17 16.15 5.24 2.42 1.84 3.41 0.36 0.00 1.05
A 4.73 11.41 63.44 9.07 4.86 2.61 2.35 0.41 0.00 1.11
BBB 2.07 4.99 13.08 51.85 10.60 7.90 6.40 0.76 0.01 2.34
BB 1.14 2.18 6.42 15.54 39.68 16.40 12.66 1.16 0.06 4.75
B 0.23 0.86 2.43 8.21 16.10 46.18 14.15 1.15 0.02 10.68
CCC 0.02 0.11 0.52 1.88 4.76 11.08 47.93 4.24 0.04 29.43
CC 0.00 0.00 0.28 0.14 0.56 1.96 0.70 33.29 0.28 62.80
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 67.26 12.95 10.37 3.19 1.77 1.18 2.01 0.16 0.00 1.12
AA 14.32 52.54 17.55 5.18 2.76 2.22 3.44 0.29 0.00 1.70
A 5.80 11.65 60.45 9.46 4.79 3.06 2.68 0.44 0.00 1.67
BBB 2.78 5.40 13.16 48.90 10.22 8.28 7.00 0.75 0.02 3.50
BB 1.66 3.00 7.72 14.68 36.05 16.28 13.00 1.31 0.08 6.21
B 0.36 1.29 3.45 9.46 16.54 41.27 13.17 1.01 0.02 13.43
CCC 0.02 0.18 0.72 2.48 5.43 11.36 44.58 4.02 0.04 31.18
CC 0.00 0.00 0.29 0.00 0.88 1.76 0.44 31.62 0.29 64.71
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 63.81 12.52 12.88 3.61 1.80 1.15 2.19 0.13 0.00 1.91
AA 13.31 48.23 19.60 5.61 3.15 2.39 3.92 0.17 0.00 3.62
A 7.47 12.46 53.13 9.87 4.66 3.90 3.58 0.55 0.00 4.40
BBB 3.10 4.24 12.89 46.54 8.78 7.59 7.51 0.99 0.04 8.31
BB 2.55 2.14 5.76 12.53 33.66 16.02 12.60 1.57 0.21 12.97
B 1.18 1.68 3.24 7.86 13.96 33.08 13.87 1.39 0.04 23.71
CCC 0.06 0.24 0.95 2.66 5.90 9.90 39.70 4.98 0.03 35.57
CC 0.00 0.00 0.24 0.00 0.97 0.72 0.00 23.43 0.00 74.64
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' (not rated) 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, 2021 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2021
AAA 67.86 0.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.69
AA 3.12 68.70 1.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27.06
A 0.67 5.91 75.47 0.67 0.00 0.00 0.00 0.00 0.00 0.00 17.28
BBB 0.00 0.75 8.63 69.04 1.31 0.00 0.00 0.00 0.00 0.00 20.26
BB 0.00 0.00 0.61 8.23 67.99 0.00 0.00 0.00 0.00 0.00 23.17
B 0.00 0.00 0.00 0.32 3.85 74.04 0.00 0.00 0.00 1.28 20.51
CCC 0.00 0.00 0.00 0.00 1.25 3.75 71.25 1.25 0.00 3.75 18.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 3.85 96.15 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 74.16 5.03 2.09 0.79 0.37 0.26 0.36 0.01 0.00 0.11 16.81
AA 4.30 69.86 6.71 2.25 0.83 0.51 0.74 0.03 0.00 0.11 14.66
A 0.68 4.90 74.27 4.39 1.84 0.54 0.60 0.05 0.00 0.11 12.61
BBB 0.15 1.03 5.87 70.05 5.56 2.70 2.30 0.10 0.00 0.26 11.99
BB 0.16 0.07 0.84 7.53 64.28 9.30 5.64 0.18 0.00 0.56 11.45
B 0.05 0.06 0.11 1.34 7.83 66.07 10.04 0.45 0.00 2.03 12.04
CCC 0.02 0.02 0.00 0.27 1.03 5.89 63.61 4.30 0.00 10.56 14.31
CC 0.00 0.00 0.00 0.00 0.13 0.38 1.01 59.67 0.00 30.65 8.17
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 52.11 7.55 4.19 1.34 0.62 0.39 1.09 0.05 0.00 0.28 32.38
AA 5.80 47.93 9.78 3.44 1.35 0.69 1.81 0.15 0.00 0.29 28.76
A 1.30 7.14 54.32 6.08 3.24 1.26 1.27 0.12 0.00 0.36 24.90
BBB 0.29 1.75 8.60 47.92 8.05 4.89 3.46 0.26 0.00 0.75 24.04
BB 0.27 0.34 2.11 10.88 40.03 13.06 8.45 0.28 0.00 1.71 22.86
B 0.06 0.19 0.36 3.05 10.72 44.38 12.50 0.86 0.00 4.78 23.09
CCC 0.00 0.02 0.02 0.53 1.90 8.09 39.92 5.33 0.00 19.12 25.06
CC 0.00 0.00 0.00 0.13 0.26 0.91 1.04 36.23 0.00 48.05 13.38
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 34.30 8.89 5.71 1.57 0.86 0.53 1.33 0.10 0.00 0.51 46.19
AA 5.43 31.60 11.30 3.83 1.61 1.03 2.17 0.21 0.00 0.63 42.19
A 1.74 6.86 39.34 6.83 3.95 1.79 1.57 0.21 0.00 0.71 37.00
BBB 0.51 2.41 8.69 31.89 8.67 6.22 4.26 0.47 0.00 1.44 35.45
BB 0.29 0.81 3.27 10.91 24.35 13.52 9.69 0.57 0.00 3.21 33.37
B 0.12 0.32 0.86 4.42 10.29 30.70 11.30 1.11 0.00 7.74 33.14
CCC 0.00 0.03 0.16 0.68 2.24 7.03 26.00 4.44 0.00 25.25 34.17
CC 0.00 0.00 0.00 0.27 0.40 0.94 0.54 21.61 0.00 59.60 16.64
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted-average
AAA 21.43 8.98 6.63 1.67 1.02 0.70 1.07 0.15 0.00 0.82 57.53
AA 4.50 20.06 11.80 3.54 1.65 1.32 1.97 0.31 0.00 1.05 53.80
A 1.72 5.78 28.62 6.83 4.01 2.07 1.60 0.32 0.00 1.11 47.93
BBB 0.72 2.42 7.49 21.41 8.17 6.60 4.67 0.59 0.00 2.34 45.58
BB 0.35 1.29 4.01 9.17 14.97 12.65 9.58 0.90 0.00 4.75 42.32
B 0.18 0.51 1.55 5.14 8.63 21.49 9.04 1.06 0.00 10.68 41.72
CCC 0.02 0.05 0.25 0.69 2.34 5.70 17.37 2.27 0.00 29.43 41.88
CC 0.00 0.00 0.00 0.14 0.28 1.12 0.28 16.08 0.00 62.80 19.30
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 12.82 8.02 6.85 1.66 1.01 0.72 0.78 0.11 0.00 1.12 66.91
AA 3.15 12.30 11.64 2.81 1.65 1.39 1.49 0.22 0.00 1.70 63.65
A 1.56 4.64 21.02 6.51 3.48 2.16 1.45 0.31 0.00 1.67 57.20
BBB 0.82 1.99 6.09 15.05 7.06 6.47 4.60 0.51 0.00 3.50 53.91
BB 0.42 1.67 4.30 6.33 9.54 11.55 9.02 0.98 0.00 6.21 49.98
B 0.26 0.60 2.02 5.10 7.29 14.87 6.56 0.81 0.00 13.43 49.06
CCC 0.02 0.09 0.24 0.77 2.07 4.35 11.73 1.69 0.00 31.18 47.86
CC 0.00 0.00 0.00 0.00 0.29 0.88 0.00 13.68 0.00 64.71 20.44
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 2.17 2.53 3.89 0.66 0.26 0.22 0.12 0.03 0.00 1.91 88.20
AA 0.85 2.85 5.99 1.18 0.56 0.34 0.43 0.06 0.00 3.62 84.11
A 0.33 1.72 6.84 3.08 1.31 1.11 0.74 0.16 0.00 4.40 80.33
BBB 0.04 0.63 3.62 4.84 2.73 2.67 2.02 0.36 0.00 8.31 74.77
BB 0.02 0.17 1.40 1.98 2.14 5.19 3.38 0.64 0.00 12.97 72.12
B 0.50 0.38 0.25 1.56 2.31 5.76 1.93 0.42 0.00 23.71 63.18
CCC 0.00 0.00 0.00 0.00 0.34 0.86 0.95 0.98 0.00 35.57 61.31
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.07 0.00 74.64 20.29
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
NR--Not rated. N/A--Not applicable. Source: S&P Global Ratings Research.
European RMBS

Table 11

European RMBS Cumulative Default Rates, Conditional On Survival, 1988-2021 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.06 0.09 0.11 0.11 0.11 0.11 0.12 0.12 0.12 0.12
AA 0.01 0.04 0.09 0.11 0.13 0.16 0.24 0.26 0.28 0.31
A 0.01 0.05 0.12 0.16 0.22 0.35 0.47 0.56 0.65 0.72
BBB 0.07 0.19 0.45 0.74 1.01 1.33 1.66 1.84 2.04 2.17
BB 0.35 1.02 1.86 2.45 3.09 3.54 4.04 4.53 4.65 4.65
B 1.05 2.28 3.52 4.65 5.78 6.79 7.07 7.16 7.29 7.49
CCC 8.96 16.02 19.43 21.07 21.82 22.26 22.26 22.26 22.26 22.26
CC 25.00 38.64 46.31 46.31 46.31 46.31 46.31 46.31 46.31 46.31
IG 0.04 0.09 0.17 0.23 0.29 0.39 0.49 0.54 0.60 0.64
SG 1.88 3.64 4.98 5.91 6.75 7.41 7.78 8.09 8.20 8.24
Overall 0.31 0.60 0.86 1.04 1.21 1.38 1.52 1.60 1.66 1.70
RMBS--Residential mortgage-backed securities. IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 12

European RMBS One-Year Default Rates, 1988-2021 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1988 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 N/A 0.00 N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A
1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2008 0.06 0.06 0.00 0.14 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2009 0.86 0.03 8.06 0.00 0.00 0.00 0.19 0.93 6.41 47.62 N/A
2010 0.66 0.19 3.56 0.00 0.21 0.21 0.68 1.29 3.10 13.56 N/A
2011 0.61 0.24 2.67 0.51 0.00 0.00 0.00 0.82 1.33 14.29 N/A
2012 0.23 0.00 1.26 0.00 0.00 0.00 0.00 0.37 0.60 9.76 0.00
2013 0.77 0.00 3.24 0.00 0.00 0.00 0.00 1.04 1.70 15.15 33.33
2014 0.85 0.00 3.44 0.00 0.00 0.00 0.00 0.00 2.03 15.63 60.00
2015 0.09 0.00 0.38 0.00 0.00 0.00 0.00 0.00 0.35 1.61 0.00
2016 0.19 0.00 0.75 0.00 0.00 0.00 0.00 0.00 0.00 2.50 40.00
2017 0.44 0.00 1.69 0.00 0.00 0.00 0.00 0.00 0.86 6.85 33.33
2018 0.12 0.00 0.54 0.00 0.00 0.00 0.00 0.00 0.00 1.59 25.00
2019 0.07 0.00 0.32 0.00 0.00 0.00 0.00 0.00 0.00 1.85 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
2021 0.07 0.00 0.38 0.00 0.00 0.00 0.00 0.00 0.00 1.96 0.00
Weighted average 0.31 0.04 1.88 0.06 0.01 0.01 0.07 0.35 1.05 8.96 25.00
Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.23 12.50
Standard deviation 0.27 0.05 1.83 0.09 0.04 0.04 0.13 0.39 1.47 12.10 22.04
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
RMBS--Residential mortgage-backed securities. IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 13

European RMBS Rating Transitions, 2021 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2021
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 6.40 93.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.43 7.83 91.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 1.89 18.24 78.62 1.26 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 1.87 23.36 74.77 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.98 8.82 90.20 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 1.96 3.92 92.16 0.00 0.00 1.96
CC 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 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 93.40 4.38 1.79 0.20 0.06 0.11 0.00 0.00 0.00 0.06
AA 3.68 85.59 9.35 0.87 0.25 0.14 0.10 0.00 0.00 0.01
A 0.43 5.09 90.12 3.13 0.98 0.22 0.02 0.00 0.00 0.01
BBB 0.07 0.84 9.13 82.40 5.77 1.67 0.05 0.00 0.00 0.07
BB 0.21 0.04 0.99 10.31 74.49 11.91 1.63 0.07 0.00 0.35
B 0.12 0.12 0.04 1.78 7.25 84.45 4.94 0.24 0.00 1.05
CCC 0.00 0.00 0.00 0.51 1.01 6.69 82.07 0.76 0.00 8.96
CC 0.00 0.00 0.00 0.00 3.13 6.25 6.25 53.13 6.25 25.00
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 87.33 6.78 4.81 0.61 0.19 0.16 0.03 0.00 0.00 0.09
AA 6.54 75.07 15.06 2.13 0.70 0.29 0.17 0.00 0.00 0.05
A 1.06 8.89 82.40 5.01 1.81 0.70 0.08 0.00 0.00 0.05
BBB 0.24 2.30 15.67 68.05 9.52 3.63 0.40 0.00 0.00 0.19
BB 0.44 0.55 3.65 16.24 54.77 19.45 3.68 0.15 0.04 1.03
B 0.21 0.25 0.30 5.03 12.29 71.57 7.56 0.46 0.00 2.32
CCC 0.00 0.00 0.00 1.08 2.16 12.42 66.94 0.81 0.13 16.46
CC 0.00 0.00 0.00 0.00 6.67 10.00 10.00 26.67 6.67 40.00
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 81.80 8.14 8.16 1.04 0.31 0.34 0.10 0.00 0.00 0.11
AA 8.60 66.74 19.45 3.24 1.08 0.61 0.16 0.02 0.00 0.10
A 1.92 11.56 76.24 6.01 2.82 1.20 0.14 0.00 0.00 0.12
BBB 0.56 3.89 20.25 57.43 10.95 5.60 0.83 0.02 0.00 0.46
BB 0.69 1.52 6.28 19.54 41.24 23.80 4.72 0.23 0.08 1.90
B 0.31 0.40 1.24 8.38 15.62 60.46 9.36 0.57 0.00 3.66
CCC 0.00 0.00 0.15 2.32 2.76 16.26 56.46 0.73 0.29 21.04
CC 0.00 0.00 0.00 3.57 3.57 14.29 10.71 10.71 7.14 50.00
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 77.13 8.69 11.37 1.55 0.41 0.54 0.19 0.00 0.00 0.11
AA 9.66 60.58 22.82 3.95 1.73 0.91 0.20 0.03 0.00 0.12
A 2.61 12.85 72.57 6.17 3.47 1.89 0.24 0.01 0.00 0.17
BBB 1.11 4.96 21.80 51.94 10.77 7.46 1.20 0.00 0.00 0.76
BB 0.96 2.67 8.73 19.46 34.17 24.80 6.02 0.44 0.16 2.59
B 0.47 0.75 2.86 11.17 16.90 52.54 9.77 0.52 0.00 5.02
CCC 0.00 0.00 0.79 2.68 3.62 18.90 48.82 0.63 0.31 24.25
CC 0.00 0.00 0.00 3.85 0.00 19.23 15.38 0.00 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
Five-year weighted-average
AAA 73.56 8.60 14.07 2.14 0.55 0.70 0.26 0.00 0.00 0.12
AA 9.70 55.96 26.14 4.15 2.42 1.17 0.28 0.04 0.00 0.14
A 3.10 13.83 69.66 6.31 3.79 2.48 0.57 0.01 0.00 0.24
BBB 1.46 5.40 22.48 49.24 9.66 9.00 1.67 0.04 0.00 1.06
BB 1.39 3.15 10.47 18.80 30.78 24.43 6.73 0.63 0.25 3.36
B 0.72 1.23 4.50 12.74 17.30 47.03 9.47 0.41 0.00 6.60
CCC 0.00 0.00 1.05 2.45 3.85 20.45 44.41 0.17 0.35 27.27
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
10-year weighted-average
AAA 67.00 9.90 18.99 2.24 0.66 0.53 0.53 0.00 0.00 0.14
AA 8.19 49.30 34.84 3.65 1.99 0.89 0.70 0.05 0.00 0.40
A 4.32 15.05 62.03 8.65 3.04 4.07 1.63 0.07 0.00 1.14
BBB 0.73 4.00 23.29 49.31 9.27 7.89 2.67 0.08 0.00 2.75
BB 0.81 0.81 7.14 19.00 30.12 26.08 8.09 0.20 0.74 7.01
B 3.83 1.57 1.22 8.54 13.41 44.25 8.19 0.00 0.00 18.99
CCC 0.00 0.00 0.00 0.00 8.81 21.59 28.19 0.00 0.44 40.97
CC 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 66.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 14

European RMBS Rating Transitions, 2021 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2021
AAA 73.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.74
AA 5.23 69.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.58
A 0.43 7.39 83.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.13
BBB 0.00 1.89 17.61 71.07 1.26 0.00 0.00 0.00 0.00 0.00 8.18
BB 0.00 0.00 0.93 22.43 64.49 0.00 0.00 0.00 0.00 0.00 12.15
B 0.00 0.00 0.00 0.98 7.84 83.33 0.00 0.00 0.00 0.00 7.84
CCC 0.00 0.00 0.00 0.00 1.96 3.92 78.43 0.00 0.00 1.96 13.73
CC 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 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 77.40 4.04 1.60 0.13 0.06 0.11 0.00 0.00 0.00 0.06 16.60
AA 3.40 74.12 8.89 0.80 0.25 0.14 0.00 0.00 0.00 0.01 12.38
A 0.40 4.73 80.84 2.95 0.96 0.22 0.01 0.00 0.00 0.01 9.87
BBB 0.05 0.75 8.82 74.02 5.45 1.64 0.05 0.00 0.00 0.07 9.15
BB 0.21 0.04 0.92 10.21 69.24 11.66 1.59 0.04 0.00 0.35 5.74
B 0.12 0.12 0.04 1.66 7.05 79.83 4.46 0.24 0.00 1.05 5.43
CCC 0.00 0.00 0.00 0.51 0.88 6.57 77.90 0.76 0.00 8.96 4.42
CC 0.00 0.00 0.00 0.00 3.13 6.25 6.25 53.13 0.00 25.00 6.25
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 56.53 5.99 4.11 0.41 0.17 0.16 0.00 0.00 0.00 0.09 32.54
AA 5.32 54.28 14.04 1.92 0.64 0.29 0.02 0.00 0.00 0.05 23.45
A 0.86 7.45 64.72 4.54 1.74 0.69 0.04 0.00 0.00 0.05 19.90
BBB 0.17 1.86 13.92 52.35 8.80 3.52 0.34 0.00 0.00 0.19 18.85
BB 0.26 0.52 3.46 15.29 45.71 18.64 3.57 0.07 0.00 1.03 11.45
B 0.17 0.25 0.25 4.48 11.11 63.03 6.68 0.46 0.00 2.32 11.24
CCC 0.00 0.00 0.00 0.94 1.62 11.61 59.65 0.81 0.00 16.46 8.91
CC 0.00 0.00 0.00 0.00 6.67 10.00 6.67 26.67 0.00 40.00 10.00
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 38.70 6.79 6.89 0.67 0.27 0.31 0.00 0.00 0.00 0.11 46.26
AA 6.05 38.38 17.50 2.89 0.91 0.59 0.00 0.00 0.00 0.10 33.58
A 1.41 8.40 51.09 5.16 2.69 1.18 0.06 0.00 0.00 0.12 29.88
BBB 0.42 2.82 16.24 35.65 9.72 5.37 0.72 0.02 0.00 0.46 28.58
BB 0.30 1.29 5.86 17.33 29.51 22.05 4.49 0.15 0.00 1.90 17.10
B 0.26 0.40 1.06 6.84 13.15 48.94 7.94 0.57 0.00 3.66 17.17
CCC 0.00 0.00 0.15 1.45 1.74 14.37 47.02 0.73 0.00 21.04 13.50
CC 0.00 0.00 0.00 3.57 3.57 14.29 3.57 10.71 0.00 50.00 14.29
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 25.00 6.93 9.56 1.06 0.33 0.49 0.02 0.00 0.00 0.11 56.50
AA 5.65 26.36 19.64 3.33 1.51 0.87 0.02 0.00 0.00 0.12 42.51
A 1.57 8.30 40.23 4.98 3.29 1.79 0.14 0.01 0.00 0.17 39.52
BBB 0.76 3.04 15.80 25.04 8.98 6.96 1.07 0.00 0.00 0.76 37.57
BB 0.40 2.27 7.62 16.03 20.57 22.13 5.34 0.36 0.00 2.59 22.69
B 0.42 0.70 2.58 8.64 13.43 38.83 7.98 0.52 0.00 5.02 21.88
CCC 0.00 0.00 0.79 0.94 2.05 15.75 37.80 0.63 0.00 24.25 17.80
CC 0.00 0.00 0.00 3.85 0.00 19.23 3.85 0.00 0.00 53.85 19.23
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 14.93 6.43 11.76 1.47 0.43 0.61 0.03 0.00 0.00 0.12 64.23
AA 4.68 16.68 21.46 3.41 2.16 1.10 0.07 0.00 0.00 0.14 50.30
A 1.59 7.93 31.27 4.67 3.51 2.31 0.37 0.01 0.00 0.24 48.10
BBB 0.95 2.77 14.36 18.48 7.42 8.22 1.48 0.04 0.00 1.06 45.23
BB 0.59 2.52 8.83 13.16 15.26 20.98 5.80 0.55 0.00 3.36 28.93
B 0.67 1.13 3.79 9.11 13.25 31.47 7.32 0.41 0.00 6.60 26.25
CCC 0.00 0.00 0.87 0.70 1.75 15.91 31.64 0.17 0.00 27.27 21.68
CC 0.00 0.00 0.00 0.00 0.00 18.18 0.00 0.00 0.00 59.09 22.73
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 2.96 4.57 8.78 0.79 0.25 0.32 0.08 0.00 0.00 0.14 82.11
AA 1.52 4.49 15.68 2.08 1.24 0.56 0.30 0.00 0.00 0.40 73.72
A 0.47 3.85 15.94 4.41 2.28 2.30 0.89 0.07 0.00 1.14 68.65
BBB 0.05 1.35 9.74 7.61 5.35 5.40 1.92 0.08 0.00 2.75 65.75
BB 0.07 0.47 5.19 6.27 5.53 16.44 5.80 0.07 0.00 7.01 53.17
B 2.09 1.57 1.05 6.45 8.71 23.34 4.88 0.00 0.00 18.99 32.93
CCC 0.00 0.00 0.00 0.00 4.85 10.57 9.69 0.00 0.00 40.97 33.92
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 33.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
RMBS--Residential mortgage-backed securities. NR--Not rated. N/A--Not applicable. Source: S&P Global Ratings Research.
European structured credit

Table 15

European Structured Credit Cumulative Default Rates, Conditional On Survival, 1987-2021 (%)
Time horizon (years)
1 2 3 4 5 6 7 8 9 10
AAA 0.23 0.58 1.07 1.70 2.30 2.73 3.02 3.14 3.19 3.21
AA 0.19 0.52 1.10 1.72 2.69 3.34 3.74 3.93 4.01 4.09
A 0.25 0.71 1.27 1.85 2.66 3.27 3.77 3.99 4.02 4.12
BBB 0.24 0.73 1.34 2.16 3.30 4.08 4.74 5.19 5.53 6.03
BB 0.36 0.85 1.63 2.47 3.09 3.65 4.33 4.98 5.61 6.30
B 0.51 1.63 2.80 3.98 5.24 5.59 5.88 6.15 6.46 6.70
CCC 8.02 15.32 20.96 25.23 26.95 28.13 29.02 29.67 30.22 30.33
CC 28.88 45.61 56.55 58.94 59.13 59.13 59.13 59.13 59.13 59.13
IG 0.22 0.62 1.17 1.82 2.66 3.25 3.68 3.89 4.00 4.13
SG 4.53 8.39 11.51 13.75 14.89 15.62 16.27 16.82 17.34 17.71
Overall 1.30 2.56 3.76 4.80 5.72 6.34 6.82 7.11 7.31 7.49
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 16

European Structured Credit One-Year Default Rates, 1987-2021 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1987 0.00 0.00 N/A N/A 0.00 N/A N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1995 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1996 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1997 0.00 0.00 N/A 0.00 0.00 N/A 0.00 N/A N/A N/A N/A
1998 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2002 1.08 0.25 5.97 0.00 0.00 0.00 1.23 3.17 100.00 33.33 N/A
2003 1.03 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 0.33 0.00 0.00 0.00 N/A
2008 0.82 0.83 0.71 0.98 0.52 1.02 0.70 0.00 0.00 13.64 0.00
2009 1.20 0.42 3.90 0.12 0.55 1.32 0.11 0.36 0.93 9.44 5.88
2010 2.75 0.14 6.98 0.00 0.20 0.15 0.31 1.42 0.74 10.85 16.67
2011 2.99 0.19 6.17 0.00 0.00 0.00 0.88 0.62 0.52 9.81 20.47
2012 3.89 0.33 8.32 0.35 0.35 0.17 0.52 0.48 0.60 5.99 56.76
2013 3.02 0.12 7.08 0.00 0.00 0.21 0.26 0.31 0.98 7.16 49.47
2014 0.97 0.00 2.48 0.00 0.00 0.00 0.00 0.00 0.83 2.11 37.84
2015 0.28 0.00 0.76 0.00 0.00 0.00 0.00 0.00 0.00 1.65 4.17
2016 1.40 0.00 4.18 0.00 0.00 0.00 0.00 0.00 0.00 10.36 14.29
2017 0.45 0.00 1.53 0.00 0.00 0.00 0.00 0.54 0.00 3.45 7.69
2018 0.68 0.00 2.30 0.00 0.00 0.00 0.00 0.00 0.00 9.30 4.00
2019 1.47 0.00 5.48 0.00 0.00 0.00 0.00 0.00 0.00 25.00 13.64
2020 0.17 0.00 0.66 0.00 0.00 0.00 0.00 0.00 0.79 4.35 0.00
2021 0.13 0.00 0.51 0.00 0.00 0.00 0.00 0.00 0.00 11.76 0.00
Weighted average 1.30 0.22 4.53 0.23 0.19 0.25 0.24 0.36 0.51 8.02 28.88
Median 0.08 0.00 1.53 0.00 0.00 0.00 0.00 0.00 0.00 8.23 10.66
Standard deviation 1.03 0.17 2.86 0.18 0.16 0.33 0.33 0.71 20.80 9.76 28.68
Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Maximum 3.89 0.83 8.32 0.98 0.55 1.32 1.23 3.17 100.00 33.33 100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 17

European Structured Credit Rating Transitions, 2021 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2021
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.58 99.42 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.31 2.15 96.92 0.62 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 3.59 96.41 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.56 99.44 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 1.70 98.30 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 5.88 76.47 5.88 0.00 11.76
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 86.04 6.55 2.86 1.78 0.93 0.58 1.02 0.02 0.00 0.23
AA 6.63 79.46 5.79 3.77 1.55 0.99 1.56 0.06 0.00 0.19
A 1.30 6.80 79.83 5.73 3.12 1.09 1.73 0.14 0.00 0.25
BBB 0.30 1.72 6.32 76.67 5.44 3.59 5.51 0.21 0.00 0.24
BB 0.18 0.30 1.34 8.22 74.09 6.21 9.07 0.24 0.00 0.36
B 0.00 0.07 0.20 1.83 11.97 71.78 13.16 0.47 0.00 0.51
CCC 0.02 0.00 0.00 0.31 1.37 7.03 77.64 5.61 0.00 8.02
CC 0.00 0.00 0.00 0.00 0.00 0.28 0.85 69.99 0.00 28.88
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted-average
AAA 74.46 10.65 5.24 3.07 1.60 1.00 3.26 0.15 0.00 0.58
AA 11.85 64.95 8.88 5.48 2.41 1.33 4.24 0.33 0.00 0.53
A 3.25 10.92 65.40 8.27 5.34 2.08 3.66 0.37 0.00 0.72
BBB 0.87 3.57 9.88 61.34 8.17 6.09 8.56 0.78 0.00 0.74
BB 0.45 0.80 3.17 13.72 57.35 9.40 13.74 0.49 0.00 0.86
B 0.00 0.22 0.83 4.08 18.98 55.95 17.35 0.94 0.00 1.66
CCC 0.00 0.02 0.04 0.73 2.99 10.71 62.83 7.36 0.00 15.30
CC 0.00 0.00 0.00 0.15 0.00 0.88 0.88 51.69 0.00 46.39
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 65.89 14.14 6.59 3.89 2.31 1.32 4.48 0.30 0.00 1.08
AA 15.21 55.16 11.24 6.20 2.91 1.82 5.84 0.49 0.00 1.12
A 5.82 11.49 56.59 10.30 6.21 2.81 4.83 0.66 0.00 1.30
BBB 1.84 5.71 10.30 51.24 9.97 7.61 10.66 1.30 0.00 1.37
BB 0.74 1.64 5.03 15.57 47.47 10.54 16.35 0.99 0.00 1.66
B 0.04 0.49 1.89 6.54 20.15 49.64 17.13 1.25 0.00 2.87
CCC 0.00 0.04 0.22 1.27 4.26 10.92 55.37 6.95 0.00 20.95
CC 0.00 0.00 0.15 0.15 0.30 0.91 0.46 39.67 0.00 58.36
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 60.65 16.26 7.23 4.45 2.91 1.69 4.62 0.45 0.00 1.73
AA 17.91 48.74 12.73 6.28 2.97 2.43 6.44 0.72 0.00 1.76
A 8.06 11.24 51.21 11.74 6.46 2.93 5.44 1.00 0.00 1.92
BBB 3.27 7.04 10.03 44.81 11.06 8.11 11.81 1.64 0.00 2.23
BB 1.14 2.56 6.81 16.16 40.97 11.44 16.89 1.49 0.00 2.54
B 0.12 0.99 2.88 8.44 20.34 45.41 16.36 1.34 0.00 4.14
CCC 0.02 0.05 0.43 1.87 5.39 11.05 51.08 4.98 0.00 25.12
CC 0.00 0.00 0.31 0.00 0.63 1.10 0.16 35.69 0.00 62.11
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 58.48 16.86 7.36 4.91 3.16 1.83 4.63 0.41 0.00 2.35
AA 19.83 45.26 13.26 6.11 3.12 2.75 6.34 0.55 0.00 2.78
A 10.22 10.67 48.21 12.21 6.11 3.22 5.51 1.05 0.00 2.80
BBB 4.62 7.59 9.48 41.30 11.52 8.09 12.44 1.52 0.00 3.44
BB 1.89 3.80 8.23 15.15 36.57 12.06 17.37 1.67 0.00 3.25
B 0.21 1.50 3.87 10.07 21.06 40.91 15.69 1.08 0.00 5.62
CCC 0.02 0.09 0.60 2.64 6.16 11.22 47.75 4.76 0.00 26.75
CC 0.00 0.00 0.33 0.00 0.98 0.98 0.00 33.39 0.00 64.32
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 59.96 12.89 8.32 5.73 3.00 1.74 4.52 0.29 0.00 3.55
AA 19.37 42.09 11.99 6.85 3.93 3.20 7.05 0.29 0.00 5.23
A 12.35 12.96 41.57 10.05 5.99 3.94 6.41 1.11 0.00 5.62
BBB 5.79 5.97 8.39 38.81 9.58 8.11 13.86 1.85 0.00 7.64
BB 3.64 3.36 6.29 12.09 33.80 13.44 16.93 2.41 0.00 8.05
B 0.45 2.01 5.14 9.91 17.21 33.16 19.08 2.16 0.00 10.88
CCC 0.07 0.17 0.92 2.98 5.88 9.20 41.62 5.47 0.00 33.69
CC 0.00 0.00 0.25 0.00 1.00 0.25 0.00 23.19 0.00 75.31
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' (not rated) 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, 2021 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2021
AAA 57.65 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 42.35
AA 0.58 67.84 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.58
A 0.31 2.15 67.08 0.62 0.00 0.00 0.00 0.00 0.00 0.00 29.85
BBB 0.00 0.00 3.19 67.73 0.00 0.00 0.00 0.00 0.00 0.00 29.08
BB 0.00 0.00 0.00 0.56 67.80 0.00 0.00 0.00 0.00 0.00 31.64
B 0.00 0.00 0.00 0.00 1.70 73.30 0.00 0.00 0.00 0.00 25.00
CCC 0.00 0.00 0.00 0.00 0.00 5.88 58.82 5.88 0.00 11.76 17.65
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 70.20 6.25 2.76 1.69 0.85 0.54 0.89 0.02 0.00 0.23 16.57
AA 5.60 66.42 5.39 3.52 1.43 0.91 1.50 0.06 0.00 0.19 14.96
A 1.02 6.33 67.03 5.40 3.03 1.00 1.63 0.13 0.00 0.25 14.18
BBB 0.15 1.54 5.62 64.97 5.20 3.39 5.18 0.20 0.00 0.24 13.50
BB 0.10 0.12 0.95 7.33 62.27 5.99 8.72 0.22 0.00 0.36 13.96
B 0.00 0.03 0.17 1.32 10.45 57.36 12.42 0.47 0.00 0.51 17.27
CCC 0.02 0.00 0.00 0.22 1.17 6.41 62.33 4.97 0.00 8.02 16.86
CC 0.00 0.00 0.00 0.00 0.00 0.14 0.85 62.16 0.00 28.88 7.97
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 46.96 9.46 4.68 2.54 1.27 0.81 2.71 0.12 0.00 0.58 30.86
AA 7.21 42.95 7.37 4.58 2.00 1.08 3.67 0.30 0.00 0.53 30.32
A 2.04 8.83 43.90 7.14 5.04 1.78 3.33 0.31 0.00 0.72 26.90
BBB 0.36 2.33 7.62 41.91 7.16 5.45 7.29 0.61 0.00 0.74 26.53
BB 0.18 0.35 2.01 10.47 38.24 8.21 11.92 0.35 0.00 0.86 27.41
B 0.00 0.14 0.43 2.53 13.71 32.58 14.47 0.87 0.00 1.66 33.62
CCC 0.00 0.02 0.02 0.40 2.15 8.43 38.17 6.25 0.00 15.30 29.25
CC 0.00 0.00 0.00 0.15 0.00 0.59 0.88 39.03 0.00 46.39 12.96
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 29.35 11.67 5.28 2.69 1.60 0.93 3.32 0.25 0.00 1.08 43.83
AA 6.07 26.07 8.46 4.47 2.11 1.26 4.29 0.43 0.00 1.12 45.72
A 2.69 7.32 28.49 8.34 5.44 2.20 3.90 0.53 0.00 1.30 39.81
BBB 0.67 3.18 6.06 26.03 8.09 6.35 8.16 1.06 0.00 1.37 39.03
BB 0.21 0.78 2.82 9.39 22.81 8.21 13.22 0.78 0.00 1.66 40.13
B 0.04 0.26 0.91 3.74 11.15 20.08 11.57 1.17 0.00 2.87 48.20
CCC 0.00 0.02 0.11 0.51 2.56 6.73 24.36 5.22 0.00 20.95 39.52
CC 0.00 0.00 0.00 0.15 0.30 0.46 0.46 24.01 0.00 58.36 16.26
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 16.93 12.34 4.97 2.42 1.78 1.04 2.62 0.37 0.00 1.73 55.81
AA 4.78 14.63 8.56 3.74 1.70 1.47 3.66 0.64 0.00 1.76 59.05
A 2.55 4.95 18.75 8.67 4.94 1.89 3.62 0.79 0.00 1.92 51.91
BBB 0.91 3.07 3.87 15.69 8.35 6.19 8.07 1.32 0.00 2.23 50.31
BB 0.30 1.14 3.19 7.32 13.03 8.16 12.60 1.16 0.00 2.54 50.54
B 0.04 0.39 1.18 3.94 7.45 11.79 8.51 1.22 0.00 4.14 61.33
CCC 0.02 0.02 0.14 0.61 2.66 4.92 15.79 2.59 0.00 25.12 48.13
CC 0.00 0.00 0.00 0.00 0.31 0.47 0.16 18.08 0.00 62.11 18.87
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 9.58 11.33 3.87 1.95 1.52 0.86 1.82 0.27 0.00 2.35 66.45
AA 2.98 7.95 7.71 2.59 1.34 1.29 2.56 0.44 0.00 2.78 70.37
A 2.21 2.70 13.40 8.25 3.79 1.67 2.60 0.75 0.00 2.80 61.83
BBB 1.05 2.27 1.91 10.15 7.89 5.58 7.42 1.05 0.00 3.44 59.24
BB 0.40 1.71 3.07 4.07 7.19 7.83 11.70 1.22 0.00 3.25 59.56
B 0.04 0.29 1.29 3.79 4.99 5.66 5.29 0.75 0.00 5.62 72.28
CCC 0.02 0.07 0.11 0.74 2.35 3.29 10.07 1.98 0.00 26.75 54.62
CC 0.00 0.00 0.00 0.00 0.33 0.33 0.00 15.22 0.00 64.32 19.80
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 1.19 1.09 0.86 0.61 0.22 0.13 0.14 0.05 0.00 3.55 92.16
AA 0.85 0.78 2.23 0.62 0.21 0.23 0.49 0.10 0.00 5.23 89.26
A 0.46 1.07 2.43 1.82 0.46 0.50 0.79 0.28 0.00 5.62 86.56
BBB 0.06 0.22 0.56 2.74 1.31 1.29 2.68 0.68 0.00 7.64 82.82
BB 0.00 0.09 0.03 0.62 1.11 1.60 2.99 1.05 0.00 8.05 84.46
B 0.00 0.00 0.00 0.00 0.37 0.15 1.04 0.75 0.00 10.88 86.81
CCC 0.00 0.00 0.00 0.00 0.00 0.14 0.31 1.09 0.00 33.69 64.77
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.24 0.00 75.31 19.45
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
NR--Not rated. N/A--Not applicable. Source: S&P Global Ratings Research.
European ABS

Table 19

European ABS Cumulative Default Rates, Conditional On Survival, 1987-2021 (%)
--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 0.29 0.50 0.64 0.79 0.94 1.10
BBB 0.10 0.26 0.49 0.89 1.49 2.06 2.60 3.02 3.48 3.88
BB 0.25 0.51 3.12 5.33 5.66 5.66 5.66 5.66 5.66 5.66
B 3.02 5.80 8.88 10.24 10.24 10.24 10.24 10.24 10.24 10.24
CCC 12.30 24.57 28.30 28.30 28.30 28.30 28.30 28.30 28.30 28.30
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 0.11 0.21 0.37 0.54 0.70 0.82 0.95 1.07
SG 3.03 6.01 8.93 10.51 10.70 10.70 10.70 10.70 10.70 10.70
Overall 0.22 0.45 0.67 0.86 1.02 1.18 1.33 1.44 1.56 1.68
ABS--Asset-backed securities. IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 20

European ABS One-Year Default Rates, 1987-2021 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1987 0.00 0.00 N/A N/A 0.00 N/A N/A N/A N/A N/A N/A
1988 0.00 0.00 N/A N/A 0.00 N/A N/A N/A N/A N/A N/A
1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1990 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1995 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1996 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1997 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1998 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1999 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
2000 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2006 0.16 0.00 11.11 0.00 0.00 0.00 0.00 0.00 N/A 100.00 N/A
2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2009 0.72 0.15 10.81 0.00 0.00 0.00 0.63 0.00 25.00 60.00 N/A
2010 0.16 0.00 2.27 0.00 0.00 0.00 0.00 0.00 0.00 50.00 N/A
2011 0.51 0.19 4.00 0.00 0.00 0.00 0.99 3.23 0.00 50.00 N/A
2012 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2013 0.20 0.00 1.47 0.00 0.00 0.00 0.00 0.00 3.70 0.00 0.00
2014 2.60 0.00 20.63 0.00 0.00 0.00 0.00 0.00 21.05 40.91 N/A
2015 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2016 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
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 N/A
2019 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2020 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
2021 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A
Weighted average 0.22 0.02 3.03 0.00 0.00 0.00 0.10 0.25 3.02 12.30 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
Standard deviation 0.46 0.04 5.33 0.00 0.00 0.00 0.22 0.70 7.65 30.56 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 2.60 0.19 20.63 0.00 0.00 0.00 0.99 3.23 25.00 100.00 0.00
ABS--Asset-backed securities. IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 21

European ABS Rating Transitions, 2021 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2021
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 13.21 86.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 4.00 17.33 78.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 2.63 18.42 78.95 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 7.41 7.41 85.19 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 5.26 94.74 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 97.02 2.28 0.52 0.09 0.02 0.02 0.05 0.00 0.00 0.00
AA 6.04 88.45 4.91 0.38 0.08 0.00 0.15 0.00 0.00 0.00
A 1.15 5.39 89.66 3.29 0.30 0.15 0.07 0.00 0.00 0.00
BBB 0.31 0.46 3.29 91.12 3.59 0.87 0.15 0.10 0.00 0.10
BB 0.25 0.00 0.50 5.96 81.64 9.43 1.99 0.00 0.00 0.25
B 0.00 0.00 0.50 4.02 5.53 79.90 6.53 0.00 0.50 3.02
CCC 0.00 0.00 0.00 1.64 0.82 3.28 81.15 0.82 0.00 12.30
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 94.27 3.91 1.24 0.36 0.07 0.05 0.10 0.00 0.00 0.00
AA 11.01 80.90 6.84 0.79 0.16 0.00 0.31 0.00 0.00 0.00
A 2.39 9.54 81.27 5.17 1.03 0.38 0.15 0.04 0.00 0.04
BBB 0.69 0.96 4.75 85.26 5.24 2.14 0.53 0.16 0.00 0.27
BB 0.53 0.00 0.80 7.71 71.28 13.83 5.05 0.00 0.27 0.53
B 0.00 0.56 3.89 7.78 4.44 66.67 10.00 0.00 0.56 6.11
CCC 0.00 0.00 0.00 5.22 2.61 4.35 60.87 1.74 0.00 25.22
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 91.95 5.28 1.76 0.53 0.23 0.10 0.15 0.00 0.00 0.00
AA 14.40 75.64 7.65 1.15 0.58 0.08 0.49 0.00 0.00 0.00
A 3.32 12.48 75.01 6.49 1.37 0.78 0.39 0.08 0.00 0.08
BBB 0.95 1.39 5.90 80.86 6.12 2.67 1.34 0.22 0.06 0.50
BB 0.58 0.00 0.58 9.86 65.22 15.36 4.93 0.00 0.29 3.19
B 0.00 1.83 4.27 7.32 5.49 60.98 9.76 0.00 0.61 9.76
CCC 0.00 0.91 2.73 5.45 4.55 5.45 48.18 2.73 0.00 30.00
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
Four-year weighted-average
AAA 90.13 6.39 2.02 0.65 0.45 0.16 0.21 0.00 0.00 0.00
AA 15.13 73.21 8.64 1.04 0.86 0.35 0.69 0.00 0.00 0.09
A 4.09 13.67 70.95 7.73 1.62 1.05 0.69 0.08 0.00 0.12
BBB 1.15 1.62 6.52 77.55 6.75 3.06 2.02 0.29 0.12 0.92
BB 0.63 0.00 0.31 10.34 63.95 15.67 3.13 0.00 0.31 5.64
B 0.00 3.33 2.67 8.67 6.67 56.00 10.00 0.00 0.67 12.00
CCC 0.00 2.80 4.67 5.61 5.61 6.54 40.19 3.74 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
Five-year weighted-average
AAA 88.50 7.47 2.16 0.77 0.55 0.27 0.27 0.00 0.00 0.00
AA 14.79 72.50 9.17 1.18 1.09 0.36 0.82 0.00 0.00 0.09
A 4.62 14.07 68.21 8.78 1.93 1.09 0.92 0.08 0.00 0.29
BBB 1.20 1.86 6.89 75.36 7.01 3.48 2.10 0.36 0.18 1.56
BB 0.67 0.00 0.67 10.00 63.33 15.33 3.33 0.00 0.33 6.33
B 0.00 4.35 2.17 9.42 7.97 52.17 10.14 0.00 0.72 13.04
CCC 0.00 4.90 6.86 5.88 5.88 6.86 32.35 4.90 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
10-year weighted-average
AAA 83.66 10.81 2.92 0.95 0.95 0.32 0.32 0.00 0.00 0.07
AA 11.23 72.13 7.87 5.29 2.06 0.77 0.52 0.00 0.00 0.13
A 4.90 14.17 63.71 9.59 3.27 1.47 1.47 0.11 0.00 1.31
BBB 1.20 1.76 8.15 69.89 6.55 4.71 1.68 0.88 0.40 4.79
BB 0.00 0.47 1.40 8.41 62.15 13.08 5.14 0.00 0.47 8.88
B 0.00 1.61 1.61 6.45 14.52 46.77 9.68 3.23 1.61 14.52
CCC 0.00 6.67 13.33 0.00 3.33 0.00 23.33 3.33 0.00 50.00
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
Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. ABS--Asset-backed securities. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 22

European ABS Rating Transitions, 2021 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2021
AAA 76.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23.88
AA 7.55 62.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.19
A 2.67 16.00 62.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.67
BBB 0.00 1.32 13.16 60.53 0.00 0.00 0.00 0.00 0.00 0.00 25.00
BB 0.00 0.00 3.70 7.41 77.78 0.00 0.00 0.00 0.00 0.00 11.11
B 0.00 0.00 0.00 0.00 5.26 73.68 0.00 0.00 0.00 0.00 21.05
CCC 0.00 0.00 0.00 0.00 0.00 0.00 71.43 0.00 0.00 0.00 28.57
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 75.75 1.93 0.52 0.05 0.02 0.02 0.05 0.00 0.00 0.00 21.66
AA 4.30 67.09 4.60 0.38 0.08 0.00 0.15 0.00 0.00 0.00 23.40
A 0.78 4.14 75.73 3.14 0.15 0.07 0.07 0.00 0.00 0.00 15.92
BBB 0.15 0.36 2.41 77.10 3.34 0.82 0.15 0.05 0.00 0.10 15.50
BB 0.25 0.00 0.25 5.21 67.25 9.18 1.24 0.00 0.00 0.25 16.38
B 0.00 0.00 0.50 3.52 5.53 64.82 6.03 0.00 0.00 3.02 16.58
CCC 0.00 0.00 0.00 1.64 0.82 2.46 72.95 0.82 0.00 12.30 9.02
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 53.74 2.72 1.07 0.24 0.05 0.05 0.07 0.00 0.00 0.00 42.07
AA 5.35 44.03 6.13 0.63 0.16 0.00 0.31 0.00 0.00 0.00 43.40
A 1.03 5.09 54.67 4.83 0.68 0.23 0.15 0.00 0.00 0.04 33.28
BBB 0.21 0.53 2.56 57.91 4.81 1.92 0.37 0.05 0.00 0.27 31.36
BB 0.27 0.00 0.27 5.59 43.62 12.77 3.99 0.00 0.00 0.53 32.98
B 0.00 0.56 2.22 6.11 2.78 38.89 8.33 0.00 0.00 6.11 35.00
CCC 0.00 0.00 0.00 5.22 1.74 2.61 49.57 0.87 0.00 25.22 14.78
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 35.19 3.02 1.36 0.35 0.18 0.10 0.10 0.00 0.00 0.00 59.71
AA 4.69 27.65 6.17 0.74 0.41 0.08 0.49 0.00 0.00 0.00 59.75
A 0.82 4.15 37.50 5.75 0.90 0.55 0.23 0.00 0.00 0.08 50.02
BBB 0.28 0.45 2.17 41.85 5.18 2.17 1.17 0.06 0.00 0.50 46.19
BB 0.29 0.00 0.00 5.80 27.83 12.75 3.19 0.00 0.00 3.19 46.96
B 0.00 1.22 1.83 4.88 2.44 25.00 7.93 0.00 0.00 9.76 46.95
CCC 0.00 0.91 2.73 5.45 1.82 2.73 34.55 0.91 0.00 30.00 20.91
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 23.02 2.80 1.23 0.45 0.37 0.16 0.13 0.00 0.00 0.00 71.85
AA 2.85 17.37 5.79 0.17 0.26 0.35 0.69 0.00 0.00 0.09 72.43
A 0.73 2.71 25.57 6.59 1.09 0.69 0.40 0.00 0.00 0.12 62.10
BBB 0.29 0.35 1.50 30.12 5.19 2.25 1.79 0.06 0.00 0.92 57.53
BB 0.31 0.00 0.00 2.51 18.81 11.29 0.63 0.00 0.00 5.64 60.82
B 0.00 2.00 2.00 5.33 3.33 14.67 8.00 0.00 0.00 12.00 52.67
CCC 0.00 1.87 2.80 5.61 0.93 2.80 26.17 0.93 0.00 30.84 28.04
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 14.86 2.44 0.90 0.49 0.41 0.27 0.16 0.00 0.00 0.00 80.45
AA 1.72 11.52 5.35 0.00 0.09 0.36 0.82 0.00 0.00 0.09 80.04
A 0.59 1.72 16.55 7.35 1.26 0.46 0.46 0.00 0.00 0.29 71.31
BBB 0.18 0.30 1.08 20.80 5.16 2.46 1.74 0.06 0.00 1.56 66.67
BB 0.33 0.00 0.33 1.00 13.67 9.67 0.67 0.00 0.00 6.33 68.00
B 0.00 2.17 2.17 2.17 2.90 7.25 7.97 0.00 0.00 13.04 62.32
CCC 0.00 1.96 2.94 5.88 0.98 2.94 17.65 0.98 0.00 32.35 34.31
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 2.43 1.13 0.70 0.21 0.42 0.11 0.00 0.00 0.00 0.07 94.93
AA 0.00 3.35 0.65 3.48 0.00 0.26 0.52 0.00 0.00 0.13 91.61
A 0.00 0.00 2.18 3.76 1.96 0.49 0.44 0.00 0.00 1.31 89.86
BBB 0.00 0.00 0.40 3.12 3.59 2.24 0.96 0.00 0.00 4.79 84.90
BB 0.00 0.00 0.47 0.93 1.87 1.40 1.40 0.00 0.00 8.88 85.05
B 0.00 0.00 0.00 0.00 0.00 1.61 4.84 0.00 0.00 14.52 79.03
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00
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
ABS--Asset-backed securities. NR--Not rated. N/A--Not applicable. Source: S&P Global Ratings Research.
European CMBS

Table 23

European CMBS Cumulative Default Rates, Conditional On Survival, 1990-2021 (%)
--Time horizon (years)--
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.15 0.49 0.99 1.61 2.23 2.81 3.28 3.88 4.39
AA 0.05 0.11 0.38 1.36 2.58 3.90 5.12 6.19 7.10 7.99
A 0.19 0.86 1.99 3.63 5.51 7.58 9.67 11.29 12.71 13.86
BBB 0.81 2.66 5.33 8.51 12.33 16.34 19.58 22.24 24.05 25.40
BB 2.01 7.35 12.99 18.87 24.81 30.18 34.38 36.82 38.77 40.45
B 9.94 22.17 34.22 45.39 53.01 57.22 60.71 63.69 64.80 64.80
CCC 38.24 60.17 73.83 79.96 82.36 83.69 83.69 83.69 83.69 83.69
CC 61.70 80.85 91.49 91.49 91.49 91.49 91.49 91.49 91.49 91.49
IG 0.24 0.89 1.94 3.43 5.21 7.10 8.77 10.12 11.23 12.13
SG 12.45 23.42 32.82 40.47 46.21 50.35 53.52 55.65 56.99 57.99
Overall 2.96 5.91 8.83 11.69 14.33 16.68 18.64 20.11 21.23 22.11
CMBS--Commercial mortgage-backed securities. IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 24

European CMBS One-Year Default Rates, 1990-2021 (%)
Year Overall IG SG AAA AA A BBB BB B CCC CC
1990 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1991 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1992 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1993 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1994 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A
1995 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A
1996 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A
1997 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A
1998 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A
1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A
2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00
2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00
2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A
2007 0.43 0.12 4.35 0.00 0.00 0.00 0.55 0.00 30.00 0.00 N/A
2008 0.54 0.29 3.57 0.00 0.00 0.00 1.33 1.39 16.67 N/A N/A
2009 0.98 0.11 9.57 0.00 0.00 0.00 0.50 1.49 17.39 100.00 N/A
2010 2.41 0.65 8.41 0.00 0.55 1.29 1.12 3.31 11.70 36.36 N/A
2011 4.08 0.31 12.72 0.00 0.00 0.00 1.38 4.76 13.46 46.88 N/A
2012 4.40 0.74 11.43 0.00 0.00 0.46 2.46 4.23 12.61 44.44 N/A
2013 7.80 0.26 17.32 0.00 0.00 0.53 0.00 3.16 7.41 50.68 100.00
2014 7.69 0.00 14.23 0.00 0.00 0.00 0.00 0.00 6.20 33.77 100.00
2015 7.03 0.00 13.30 0.00 0.00 0.00 0.00 0.00 8.89 19.72 62.50
2016 9.94 0.60 19.39 0.00 0.00 0.00 1.89 2.63 8.93 30.16 87.50
2017 10.89 0.00 23.33 0.00 0.00 0.00 0.00 0.00 3.45 50.00 14.29
2018 8.38 0.00 21.43 0.00 0.00 0.00 0.00 0.00 0.00 50.00 16.67
2019 3.93 0.00 14.00 0.00 0.00 0.00 0.00 0.00 0.00 28.57 83.33
2020 3.09 1.86 9.09 0.00 0.00 0.00 8.57 0.00 0.00 25.00 100.00
2021 2.16 0.00 11.11 0.00 0.00 0.00 0.00 0.00 28.57 0.00 N/A
Weighted average 2.96 0.24 12.45 0.00 0.05 0.19 0.81 2.01 9.94 38.24 61.70
Median 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 8.15 35.06 72.92
Standard deviation 3.41 0.37 7.76 0.00 0.11 0.28 1.72 1.56 9.46 24.74 43.65
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 1.86 23.33 0.00 0.55 1.29 8.57 4.76 30.00 100.00 100.00
CMBS--Commercial mortgage-backed securities. IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 25

European CMBS Rating Transitions, 2021 And Multi-Year Averages, NR Adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2021
AAA 86.36 13.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.72 82.76 15.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 2.86 0.00 88.57 8.57 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 0.00 85.29 14.71 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.00 64.29 7.14 0.00 0.00 28.57
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 87.21 6.84 5.09 0.64 0.11 0.00 0.11 0.00 0.00 0.00
AA 3.49 81.65 10.90 3.08 0.57 0.16 0.10 0.00 0.00 0.05
A 1.04 2.74 82.13 8.75 3.88 1.18 0.09 0.00 0.00 0.19
BBB 0.45 1.06 2.48 78.52 10.56 5.51 0.61 0.00 0.00 0.81
BB 0.44 0.09 0.70 2.10 71.28 19.09 4.12 0.18 0.00 2.01
B 0.00 0.00 0.00 0.00 1.07 66.51 21.54 0.95 0.00 9.94
CCC 0.00 0.22 0.00 0.00 0.00 0.22 56.48 4.84 0.00 38.24
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 74.77 11.27 11.50 1.62 0.41 0.04 0.23 0.00 0.00 0.15
AA 5.86 67.90 16.45 6.45 2.15 0.81 0.27 0.00 0.00 0.11
A 2.16 4.90 68.46 11.92 7.31 3.70 0.67 0.00 0.00 0.87
BBB 1.03 1.49 4.63 62.37 14.70 10.85 2.26 0.00 0.00 2.67
BB 0.89 0.09 0.80 4.00 53.07 24.71 8.62 0.44 0.00 7.38
B 0.00 0.12 0.00 0.12 1.32 47.17 27.32 2.05 0.00 21.90
CCC 0.00 0.22 0.00 0.00 0.00 0.22 34.22 4.89 0.00 60.44
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.15 0.00 80.85
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted-average
AAA 64.67 13.53 17.04 2.48 1.22 0.27 0.30 0.00 0.00 0.50
AA 7.00 59.11 18.50 8.50 3.22 2.56 0.72 0.00 0.00 0.39
A 2.94 5.68 60.48 12.44 9.30 5.39 1.76 0.00 0.00 2.01
BBB 1.36 1.52 5.45 53.09 14.82 14.08 4.29 0.16 0.00 5.24
BB 1.18 0.09 1.18 4.72 43.60 22.62 12.53 1.00 0.00 13.08
B 0.00 0.24 0.00 0.00 1.81 35.75 25.48 2.66 0.00 34.06
CCC 0.00 0.22 0.00 0.00 0.00 0.22 21.97 3.36 0.00 74.22
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.89 0.00 91.11
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 56.95 14.24 21.41 3.07 2.03 0.96 0.35 0.00 0.00 1.00
AA 7.71 52.86 20.00 8.86 4.11 3.66 1.43 0.00 0.00 1.37
A 3.39 6.28 55.36 12.06 9.52 7.22 2.54 0.10 0.00 3.54
BBB 1.59 1.64 6.05 47.96 13.00 14.11 6.84 0.32 0.00 8.49
BB 1.40 0.09 1.58 4.65 38.79 19.07 13.58 1.58 0.00 19.26
B 0.00 0.37 0.00 0.00 1.71 29.87 20.20 2.33 0.00 45.53
CCC 0.00 0.23 0.00 0.00 0.00 0.23 16.86 2.05 0.00 80.64
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
Five-year weighted-average
AAA 52.14 14.22 23.20 3.55 3.04 1.58 0.66 0.00 0.00 1.62
AA 7.89 48.92 21.04 8.01 4.56 5.08 1.81 0.06 0.00 2.63
A 3.70 6.65 52.51 11.67 8.02 8.17 3.81 0.15 0.00 5.33
BBB 1.72 1.72 6.66 45.54 10.74 12.46 8.16 0.59 0.00 12.41
BB 1.42 0.19 1.71 3.98 36.78 16.78 12.13 1.52 0.00 25.50
B 0.00 0.37 0.00 0.00 1.75 25.84 15.86 2.37 0.00 53.81
CCC 0.00 0.24 0.00 0.00 0.00 0.24 14.36 1.22 0.00 83.94
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
10-year weighted-average
AAA 46.77 15.03 23.96 3.27 2.75 2.11 1.48 0.12 0.00 4.51
AA 8.47 41.33 21.71 6.99 5.17 5.11 2.28 0.13 0.00 8.80
A 5.24 5.57 46.12 11.02 6.57 7.37 3.19 0.13 0.00 14.80
BBB 2.15 1.83 6.85 40.86 6.72 8.29 4.50 0.72 0.00 28.07
BB 1.89 0.25 2.27 2.40 30.77 9.08 6.31 0.88 0.00 46.15
B 0.00 0.83 0.00 0.00 1.66 9.67 5.80 0.28 0.00 81.77
CCC 0.00 1.33 0.00 0.00 0.00 0.00 5.33 1.33 0.00 92.00
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
Securities whose ratings migrated to 'NR' (not rated) over the period are classified based on their rating prior to 'NR'. CMBS--Commercial mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 26

European CMBS Rating Transitions, 2021 And Multi-Year Averages, NR Included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2021
AAA 72.73 13.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.64
AA 1.72 77.59 15.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.17
A 2.86 0.00 82.86 8.57 0.00 0.00 0.00 0.00 0.00 0.00 5.71
BBB 0.00 0.00 0.00 76.47 14.71 0.00 0.00 0.00 0.00 0.00 8.82
BB 0.00 0.00 0.00 0.00 76.47 0.00 0.00 0.00 0.00 0.00 23.53
B 0.00 0.00 0.00 0.00 0.00 14.29 0.00 0.00 0.00 28.57 57.14
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 74.91 6.66 4.00 0.64 0.11 0.00 0.11 0.00 0.00 0.00 13.58
AA 2.71 72.05 9.18 3.02 0.52 0.16 0.05 0.00 0.00 0.05 12.25
A 0.71 2.36 70.12 8.51 3.83 1.09 0.09 0.00 0.00 0.19 13.10
BBB 0.30 0.71 2.02 69.18 10.16 5.51 0.61 0.00 0.00 0.81 10.71
BB 0.18 0.00 0.44 2.10 60.86 18.30 3.94 0.18 0.00 2.01 12.00
B 0.00 0.00 0.00 0.00 0.95 57.28 19.41 0.95 0.00 9.94 11.48
CCC 0.00 0.22 0.00 0.00 0.00 0.00 49.67 4.62 0.00 38.24 7.25
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 52.30 9.95 8.03 1.62 0.41 0.04 0.23 0.00 0.00 0.15 27.26
AA 3.44 50.65 12.85 6.29 1.99 0.70 0.16 0.00 0.00 0.11 23.82
A 1.11 3.61 46.54 10.87 7.07 3.61 0.67 0.00 0.00 0.87 25.67
BBB 0.41 0.67 3.19 44.68 13.32 10.49 2.01 0.00 0.00 2.67 22.57
BB 0.27 0.00 0.09 3.64 33.87 21.16 7.20 0.44 0.00 7.38 25.96
B 0.00 0.12 0.00 0.12 0.96 32.61 24.07 1.93 0.00 21.90 18.29
CCC 0.00 0.00 0.00 0.00 0.00 0.00 23.56 4.67 0.00 60.44 11.33
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.64 0.00 80.85 8.51
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 34.38 10.48 10.52 2.36 1.14 0.27 0.27 0.00 0.00 0.50 40.09
AA 3.28 36.33 12.28 7.67 3.06 2.28 0.61 0.00 0.00 0.39 34.11
A 1.18 3.43 31.19 10.19 8.57 5.09 1.57 0.00 0.00 2.01 36.78
BBB 0.42 0.58 2.98 29.37 12.15 12.93 3.93 0.16 0.00 5.24 32.25
BB 0.27 0.00 0.27 3.72 18.35 17.08 9.54 0.82 0.00 13.08 36.88
B 0.00 0.12 0.00 0.00 1.09 16.67 20.89 2.42 0.00 34.06 24.76
CCC 0.00 0.00 0.00 0.00 0.00 0.00 8.52 3.14 0.00 74.22 14.13
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.11 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
Four-year weighted-average
AAA 20.57 9.02 11.36 2.72 1.80 0.96 0.27 0.00 0.00 1.00 52.30
AA 2.80 26.11 11.09 7.31 3.71 3.20 1.31 0.00 0.00 1.37 43.09
A 0.95 3.34 20.63 8.57 8.07 6.38 2.24 0.10 0.00 3.54 46.19
BBB 0.37 0.64 2.44 19.73 9.12 12.04 6.21 0.27 0.00 8.49 40.69
BB 0.19 0.00 0.56 3.07 9.58 11.26 9.77 1.21 0.00 19.26 45.12
B 0.00 0.12 0.00 0.00 0.61 8.45 14.08 2.08 0.00 45.53 29.13
CCC 0.00 0.00 0.00 0.00 0.00 0.00 2.28 1.82 0.00 80.64 15.26
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
Five-year weighted-average
AAA 11.52 6.67 9.60 2.85 2.50 1.50 0.50 0.00 0.00 1.62 63.24
AA 1.75 19.05 9.41 5.44 3.62 4.27 1.64 0.06 0.00 2.63 52.13
A 0.76 3.15 13.65 6.90 5.58 6.14 3.35 0.15 0.00 5.33 55.00
BBB 0.27 0.70 2.31 14.18 5.69 9.34 6.82 0.48 0.00 12.41 47.80
BB 0.09 0.09 0.57 1.90 5.78 7.49 7.87 1.04 0.00 25.50 49.67
B 0.00 0.00 0.00 0.00 0.37 3.87 8.61 2.12 0.00 53.81 31.21
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.49 0.97 0.00 83.94 14.60
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
10-year weighted-average
AAA 2.35 2.39 2.27 0.52 0.36 0.48 0.40 0.12 0.00 4.51 86.60
AA 0.00 9.14 2.89 0.87 0.94 0.54 0.74 0.13 0.00 8.80 75.94
A 0.00 0.53 3.19 2.99 1.00 1.00 0.73 0.13 0.00 14.80 75.65
BBB 0.00 0.78 1.31 4.70 0.52 0.98 1.31 0.39 0.00 28.07 61.95
BB 0.00 0.00 0.25 0.00 0.25 0.25 1.26 0.25 0.00 46.15 51.58
B 0.00 0.00 0.00 0.00 0.00 0.00 0.28 0.00 0.00 81.77 17.96
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.00 8.00
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
CMBS--Commercial mortgage-backed securities. NR--Not rated. N/A--Not applicable. Source: S&P Global Ratings Research.

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

Our European structured finance default and rating transition study adopts 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

The use of the term "methodology" in this article refers to data aggregation and calculation methods used in conducting the research. It does not relate to S&P Global Ratings' methodologies, which are publicly available criteria used to determine credit ratings.

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
Brenden J Kugle, Centennial + 1 (303) 721 4619;
brenden.kugle@spglobal.com
Research Contributor:Lyndon Fernandes, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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