There were four defaults among financial services issuers in 2021. Three of these issuers were rated by S&P Global Ratings at the start of the year. The year 2021 marked the lowest annual default total since 2013 (see chart 1). The default rate for 2021 was 0.14%, down from 0.23% in 2020. Defaults occurred only among speculative-grade ratings for the fifth straight year, and the speculative-grade default rate was 0.57%, down from 0.94%. Credit quality improved as financial services companies benefitted from the economic and business recovery from COVID-19 in 2021. Upgrades rose to 6.78%, up from 1.76% in 2020; downgrades fell to 3.55%, down from 10.63%; and the ratio of downgrades to upgrades fell to 0.52 to one from 6.03 to one in 2020.

In this study, we review the defaults, rating transitions, and ratings performance of financial services broadly, in the following sectors:

• Banks: bank holding companies, bank subsidiaries, savings and loans, credit unions, and government-related entities in this sector;
• Nonbank financial institutions (NBFIs): a loose grouping of highly diverse companies, including broker-dealers, asset managers, finance companies, financial market infrastructure companies, and other financial entities that share some common features; and
• Insurance: life insurance, health insurance, property/casualty insurance, reinsurance, bond insurance, mortgage insurance, insurance brokers, and title insurance, as well as insurance-related service providers.

We calculated default and transition rates based on the number of issuers in the sample period. The default rates we refer to as weighted averages in this study use the number of issuers at the beginning of each year as the basis for each year's weight (see Appendix II for terms and definitions).

Our findings show that S&P Global Ratings' credit ratings continue to serve as effective indicators of relative credit risk for financial services companies. We identified a clear negative correspondence between ratings and defaults: The higher the issuer credit rating, the lower the observed default frequency.

One we show the relationship between ratings and defaults with the Gini ratio, which is a measure of the rank-ordering power of ratings over a given time horizon (see table 1). This measure shows the ratio of actual rank-ordering performance to theoretically perfect rank ordering. In 2021, the one-year Gini coefficient for financial services fell to 89.5%, down from 94.8% in 2020 (see chart 2), the three-year rose to 95.5%, up from 93.5%, for five years the Gini rose to 92.6% from 91.7%, and for seven the Gini rose to 89.5%, up from 88.1%. These weighted-average Gini ratios are weighted by yearly issuer counts since 1981 (see Appendix II for details).

Comparing financial and nonfinancial annual average Gini coefficients from 1981 to 2021 (see table 1), we see that both sectors see the rank ordering of defaults and ratings breaks down over time, with a one-year Gini for financials of 80.15% over one year compared with 58.32% over seven years. The change in Gini over time is slightly lower for nonfinancials, with a one year of 80.65%, compared with a seven-year Gini of 66.43%.

Table 1

Gini Coefficients For Financial And Nonfinancial Issuer Ratings (1981-2021)
		--Time horizon--
		One-year	Three-year	Five-year	Seven-year
Financials	Weighted average	80.1	70.3	63.1	58.3
	Average	83.6	76.7	69.1	63.1
	Standard deviation	20.0	15.0	16.9	16.8
Nonfinancials	Weighted average	80.7	72.6	68.8	66.4
	Average	84.5	76.7	72.6	69.6
	Standard deviation	6.0	5.2	5.4	5.1
Financials includes bank, NBFI, and insurance sectors Nonfinancial includes all nonfinancial corporates. Note: Numbers in parentheses are standard deviations. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Defaults In 2021

• The speculative-grade default rate for financial services fell to 0.57%, down from 0.94% in 2020, the lowest rate since 2005.
• There were four defaults in total, three of which were rated at the start of the year.
• The only publicly rated default to occur in 2021 (Alpha Holding S.A. de C.V.) was due to missed interest payments on its US$300 million senior notes.
• Among the entities that defaulted in 2021, the average time to default was 7 years from the initial rating, down from an average of 9.4 years for the issuers that defaulted in 2020.

Table 2

Global Financial Services Default Summary
Year	Total defaults	Rated defaults	Investment-grade defaults	Speculative-grade defaults	Default rate (%)	Investment-grade default rate (%)	Speculative-grade default rate (%)
1981		0	0	0	0.0	0.0	0.0
1982	2	2	0	2	1.6	0.0	12.5
1983	2	2	1	1	1.3	0.7	5.3
1984		0	0	0	0.0	0.0	0.0
1985	1	1	0	1	0.5	0.0	3.4
1986	1	0	0	0	0.0	0.0	0.0
1987		0	0	0	0.0	0.0	0.0
1988	6	5	0	5	1.2	0.0	7.6
1989	10	10	3	7	2.1	0.7	11.1
1990	5	4	0	4	0.8	0.0	6.9
1991	10	10	0	10	1.8	0.0	13.9
1992	11	9	0	9	1.4	0.0	13.0
1993	2	2	0	2	0.3	0.0	3.4
1994	1	1	1	0	0.1	0.1	0.0
1995	4	4	0	4	0.4	0.0	6.6
1996	1	0	0	0	0.0	0.0	0.0
1997	3	3	2	1	0.3	0.2	1.5
1998	10	10	1	9	0.8	0.1	8.6
1999	7	6	4	2	0.5	0.3	1.5
2000	12	10	3	7	0.7	0.2	3.8
2001	24	13	2	11	0.9	0.2	5.6
2002	14	9	1	8	0.6	0.1	3.8
2003	7	6	1	5	0.4	0.1	1.9
2004	6	4	1	3	0.3	0.1	1.1
2005	2	1	0	1	0.1	0.0	0.36
2006	2	2	0	2	0.1	0.0	0.69
2007	3	3	0	3	0.2	0.0	0.97
2008	26	21	13	8	1.1	0.8	2.45
2009	33	28	9	19	1.4	0.5	5.69
2010	17	13	0	13	0.7	0.0	3.76
2011	8	8	1	7	0.4	0.1	1.93
2012	8	5	0	5	0.3	0.0	1.30
2013	4	3	0	3	0.2	0.0	0.68
2014	6	3	0	3	0.1	0.0	0.61
2015	15	12	0	12	0.6	0.0	2.33
2016	16	16	1	15	0.7	0.1	2.70
2017	7	7	0	7	0.3	0.0	1.26
2018	9	6	0	6	0.3	0.0	1.10
2019	10	9	0	9	0.4	0.0	1.68
2020	5	5	0	5	0.2	0.0	0.94
2021	4	3	0	3	0.1	0.0	0.57
Includes the bank, NBFI, and insurance sectors. Total defaults includes companies that were no longer rated one year prior to default. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 3

2021 Global Rated Financial Services Defaults*
Company name	Reason for default	Country	Industry	Debt amount outstanding (Mil.$)	Default date	Rating 1 year prior to default	Rating 3 years prior to default	First rating	Date of first rating
Alpha Holding S.A. de C.V.	Missed Interest	Mexico	NBFI	300	07/20/2021	B-	B-	B-	12/05/2017
*This total excludes confidentially rated defaults. Source: S&P Global Ratings Research; S&P Global Market Intelligence's CreditPro®

Financial services defaults in 2021 continued to occur more infrequently than those of nonfinancial companies. The financial services default rate declined to 0.14% in 2021, much lower than the 1.15% default rate for nonfinancial corporates (see chart 3). There were two defaults each among banks and nonbank financial institutions, resulting in 2021 default rates of 0.24% and 0.2%, respectively. There were no insurance defaults in 2021.

Defaults across the board were lower in 2021 than long-term averages since 1981, as well as more recent ten-year averages (see table 4). The 10-year average for banks, nonbanks, and insurance companies are 0.38%, 0.7%, and 0.07%, respectively. For nonfinancials, the number is 1.8%.

Table 4

Global Annual Default Rates By Sector (%)
	Bank	NBFI	Insurance	Nonfinancial
1981	0.00	0.00	0.00	0.16
1982	0.00	3.13	2.94	1.18
1983	0.00	0.00	4.76	0.71
1984	0.00	0.00	0.00	1.06
1985	0.00	0.00	1.54	1.23
1986	0.00	0.00	0.00	2.11
1987	0.00	0.00	0.00	1.18
1988	2.01	0.00	0.00	1.45
1989	1.83	7.69	0.63	1.71
1990	1.36	0.00	0.00	3.41
1991	2.30	0.00	1.46	3.84
1992	2.23	0.00	0.74	1.54
1993	0.30	0.00	0.32	0.74
1994	0.00	0.00	0.29	0.85
1995	0.23	1.87	0.26	1.34
1996	0.00	0.00	0.00	0.76
1997	0.00	1.38	0.22	0.81
1998	1.19	1.83	0.00	1.52
1999	0.18	0.63	0.67	2.85
2000	0.00	0.60	1.48	3.23
2001	0.91	3.49	0.17	4.99
2002	0.75	0.51	0.50	4.92
2003	0.00	1.40	0.50	2.64
2004	0.13	0.00	0.49	1.02
2005	0.00	0.45	0.00	0.85
2006	0.00	0.00	0.28	0.64
2007	0.00	1.15	0.00	0.47
2008	0.93	3.02	0.50	2.18
2009	1.39	3.86	0.48	5.72
2010	0.24	2.96	0.25	1.52
2011	0.12	1.25	0.36	1.01
2012	0.12	0.90	0.12	1.58
2013	0.24	0.29	0.00	1.46
2014	0.12	0.53	0.00	0.95
2015	1.24	0.00	0.12	1.72
2016	0.79	1.86	0.12	2.71
2017	0.23	0.86	0.12	1.61
2018	0.12	1.07	0.00	1.35
2019	0.46	0.85	0.12	1.67
2020	0.23	0.42	0.12	3.82
2021	0.24	0.20	0.00	1.15
Average	0.49	1.03	0.48	1.85
Weighted average	0.46	1.07	0.27	1.94
Median	0.18	0.51	0.17	1.46
Standard deviation	0.68	1.52	0.89	1.30
Minimum	0.00	0.00	0.00	0.16
Maximum	2.30	7.69	4.76	5.72
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Financial Services Rating Trends In 2021

Credit quality improved in 2021, with upgrades rising to 6.78%, up from 1.76% in 2020, and downgrades falling to 3.55%, from 10.63%. In general, financial services tends to see more downgrades than upgrades, with 29 out of the past 41 years, with a downgrade-to-upgrade ratio above one downgrade for every upgrade. However, recent trends have been reversed, with five of the past six years showing more upgrades than downgrades; 2020 was the exception. Credit stability has also increased recently. For the past three years stability rates have been 80%, a level they have not reached since 1985.

Table 5

Summary Of Annual Financial Services Companies Rating Action Trends (%)
Year	Issuers as of Jan. 1 (#)	Upgrades	Downgrades §	Defaults	Withdrawn ratings	Changed ratings	Unchanged ratings	Downgrade-to-upgrade ratio
1981	121	10.74	10.74	0.00	2.48	23.97	76.03	1.00
1982	124	7.26	17.74	1.61	1.61	28.23	71.77	2.44
1983	157	5.10	11.46	1.27	4.46	22.29	77.71	2.25
1984	188	5.32	16.49	0.00	1.06	22.87	77.13	3.10
1985	220	6.82	6.82	0.45	2.73	16.82	83.18	1.00
1986	321	6.85	10.59	0.00	4.67	22.12	77.88	1.55
1987	374	6.68	14.71	0.00	2.94	24.33	75.67	2.20
1988	427	9.60	12.88	1.17	3.98	27.63	72.37	1.34
1989	485	6.39	10.72	2.06	2.68	21.86	78.14	1.68
1990	533	2.81	23.83	0.75	1.69	29.08	70.92	8.47
1991	570	3.51	24.04	1.75	2.98	32.28	67.72	6.85
1992	643	6.53	14.93	1.40	2.33	25.19	74.81	2.29
1993	707	9.48	8.77	0.28	3.54	22.07	77.93	0.93
1994	788	7.61	12.18	0.13	3.43	23.35	76.65	1.60
1995	926	6.48	13.17	0.43	2.48	22.57	77.43	2.03
1996	1013	9.67	7.80	0.00	6.22	23.69	76.31	0.81
1997	1127	7.28	6.03	0.27	7.28	20.85	79.15	0.83
1998	1302	6.84	12.67	0.77	9.91	30.18	69.82	1.85
1999	1322	6.58	9.30	0.45	8.09	24.43	75.57	1.41
2000	1393	7.61	8.90	0.72	7.25	24.48	75.52	1.17
2001	1420	4.37	12.11	0.92	7.96	25.35	74.65	2.77
2002	1465	6.08	18.70	0.61	6.76	32.15	67.85	3.08
2003	1519	6.78	11.52	0.39	6.32	25.02	74.98	1.70
2004	1590	9.12	4.97	0.25	6.79	21.13	78.87	0.54
2005	1645	16.84	4.92	0.06	6.81	28.63	71.37	0.29
2006	1724	17.29	2.38	0.12	7.02	26.80	73.20	0.14
2007	1850	17.95	4.70	0.16	6.05	28.86	71.14	0.26
2008	1959	7.45	14.60	1.07	6.23	29.35	70.65	1.96
2009	2006	3.39	20.29	1.40	9.12	34.20	65.80	5.99
2010	1940	7.32	9.02	0.67	6.29	23.30	76.70	1.23
2011	1948	11.14	17.45	0.41	6.98	35.99	64.01	1.57
2012	1950	5.44	13.23	0.26	6.87	25.79	74.21	2.43
2013	1982	9.74	9.03	0.15	5.75	24.67	75.33	0.93
2014	2050	8.63	9.22	0.15	5.51	23.51	76.49	1.07
2015	2134	6.28	11.53	0.56	5.81	24.18	75.82	1.84
2016	2179	6.33	8.49	0.73	6.88	22.44	77.56	1.34
2017	2176	8.13	7.44	0.32	7.90	23.81	76.19	0.92
2018	2140	8.60	6.50	0.28	6.21	21.59	78.41	0.76
2019	2149	7.82	3.02	0.42	5.40	16.66	83.34	0.39
2020	2154	1.76	10.63	0.23	5.62	18.25	81.75	6.03
2021	2140	6.78	3.55	0.14	5.42	15.89	84.11	0.52
Weighted average		8.02	10.10	0.48	6.23	24.83	75.17	1.78
Average		7.72	11.15	0.56	5.35	24.78	75.22	1.96
Median		6.85	10.72	0.41	5.81	24.18	75.82	1.55
Standard deviation		3.40	5.20	0.53	2.19	4.45	4.45	1.81
Minimum		1.76	2.38	0.00	1.06	15.89	64.01	0.14
Maximum		17.95	24.04	2.06	9.91	35.99	84.11	8.47
Includes banks, NBFI and insurance sectors. *This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to 'D', shown separately in the default column. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Banks

Banks comprised the largest of the three financial services sectors in 2021, with 845 issuers at the start of the year. During the year there was also a large increase in upgrades (to 7.46% from 1.16%) and a large decrease in downgrades (4.73% from 12.2%). The default rate edged up, to 0.24% from 0.23%, and the stability rate was slightly higher, at 82.96% (see Appendix I for detailed statistics by sector).

European banks led downgrades in 2021 followed by the emerging and frontier market region. In Europe, the pandemic heightened the risk exposure of the banking sector as the low interest rate environment resulted in weaker revenues, profitability, and asset quality. Among emerging and frontier markets, inflationary pressures prompted central banks to move toward monetary policy normalization, leading to higher credit costs.

NBFI

Nonbank financial institutions are the smallest of the three sectors, with 488 issuers at the start of 2021. However, they experienced the most upgrades as a percentage of the population, with 8.2% (up from 1.04%), and experienced the biggest drop in downgrades, down to 4.3% from the very high 17.95% in 2020. Defaults fell to 0.2% from 0.42%, and the unchanged rate rose to 80.74%.

Insurance

Insurance is the second largest sub-sector, starting 2021 with 807 issuers. Insurance issuers saw the fewest downgrades among financial services in 2021, with 1.86% lowered (down from 4.67%), and 4.2% raised, up from 2.83%. Insurance also tends to have the highest stability rates, with 87.36% of ratings unchanged during the year, above the historical average of 78.63%.

The 'A' Category Accounts For The Largest Share Of Financial Services Companies

Investment-grade issuers account for a larger proportion of financial corporates than nonfinancial. As of Jan. 1, 2022, S&P Global Ratings rated 76% of financial issuers investment grade ('BBB-' or higher), compared with just 38% of nonfinancial issuers. Financial services accounts for 2,127 rated issuers globally while nonfinancial corporates account for 5,136 rated issuers.

At the start of 2021, there were 2,140 financial services issuers, divided into three quarters investment grade and one quarter speculative grade. There are three 'AAA' issuers, down from a high of 112 in 1995. Most defaults have occurred among speculative-grade issuers, and financial services in the U.S. and emerging and frontier market regions each have a higher portion of issuers rated speculative-grade than in either Europe or the other developed region. In the U.S., 20% of financial services are speculative-grade, reflecting the larger proportion of speculative-grade NBFIs. Just 13% of financial services ratings in Europe (and 9% in the other developed region) are speculative-grade (see chart 6).

Meanwhile, 44% of emerging and frontier market financial services' issuers are speculative grade, in part because of the lower sovereign ratings within this region. The majority of emerging market sovereigns are rated speculative grade. While the sovereign rating does not act as a ceiling for other ratings, for an entity to be rated higher than its sovereign, the entity would need to show sufficient creditworthiness to withstand a sovereign default.

Number Of Rated NBFIs Continues To Grow

Since 2008, the number of NBFI issuers within financial services has grown (as of the start of 2022) from to 515 from 298, while over the same period, the number of banks has contracted slightly to 825 from 857 (see chart 7). As banks have adjusted to rising capital and new regulatory requirements since the global financial crisis, the NBFI sector has shown continued growth as new nonbank lenders, finance companies, and business development companies enter the market.

NBFIs tend to be unregulated or more lightly regulated than banks and, by and large, do not benefit from government support. As a result, they tend to be rated lower than regulated banks and insurance companies. At the end of 2021, 38% of NBFIs were rated speculative grade, compared with 28% of banks and just 13% of insurers (see chart 8). The share of banks rated investment grade climbed to 72% as of end-2021 from 68% in 2016. Credit quality in the banking sector has shown continued improvement in the past several years as banks have strengthened balance sheets and expanded bail-in eligible capital reserves (see chart 8).

2021 Transition Rates And Ratings Performance

An analysis of transition rates in 2021 suggests that ratings behavior continues to be consistent with long-term trends, showing a negative correspondence between ratings and the observed frequency of default. Investment-grade financial services issuers globally tend to exhibit greater ratings stability (as measured by the frequency of rating transitions) than their speculative-grade counterparts (see table 6). For instance, 95.90% of issuers rated 'A' at the beginning of 2021 were still rated 'A' as of Dec. 31, 2021, whereas the comparable share for issuers rated 'B' was only 76.95%.

Table 6

2021 One-Year Financial Services Companies Transition Rates By Region (%)
From / to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
Global
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	92.06	4.21	0.00	0.00	0.00	0.00	0.00	3.74
A	0.00	0.37	95.90	0.87	0.00	0.00	0.00	0.00	2.86
BBB	0.00	0.00	3.36	89.58	1.68	0.17	0.00	0.00	5.21
BB	0.00	0.00	0.00	1.55	89.92	1.94	0.00	0.00	6.59
B	0.00	0.00	0.00	0.41	6.17	76.95	1.65	1.23	13.58
CCC/C	0.00	0.00	0.00	0.00	0.00	9.09	72.73	0.00	18.18
U.S. and tax havens
AAA
AA	0.00	93.00	1.00	0.00	0.00	0.00	0.00	0.00	6.00
A	0.00	0.00	98.21	0.72	0.00	0.00	0.00	0.00	1.08
BBB	0.00	0.00	2.86	88.57	0.95	0.00	0.00	0.00	7.62
BB	0.00	0.00	0.00	0.00	90.16	0.00	0.00	0.00	9.84
B	0.00	0.00	0.00	0.00	4.65	79.07	0.00	0.00	16.28
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	33.33	0.00	66.67
Europe
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	87.50	11.11	0.00	0.00	0.00	0.00	0.00	1.39
A	0.00	0.39	94.98	1.16	0.00	0.00	0.00	0.00	3.47
BBB	0.00	0.00	9.09	83.64	0.91	0.00	0.00	0.00	6.36
BB	0.00	0.00	0.00	2.78	88.89	5.56	0.00	0.00	2.78
B	0.00	0.00	0.00	0.00	12.50	58.33	4.17	4.17	20.83
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
Emerging and frontier markets
AAA
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	1.45	94.93	0.72	0.00	0.00	0.00	0.00	2.90
BBB	0.00	0.00	1.72	91.42	3.00	0.43	0.00	0.00	3.43
BB	0.00	0.00	0.00	1.90	89.87	1.90	0.00	0.00	6.33
B	0.00	0.00	0.00	0.75	7.52	78.20	2.26	1.50	9.77
CCC/C	0.00	0.00	0.00	0.00	0.00	12.50	75.00	0.00	12.50
Other developed
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	96.97	0.00	0.00	0.00	0.00	0.00	0.00	3.03
A	0.00	0.00	94.16	0.73	0.00	0.00	0.00	0.00	5.11
BBB	0.00	0.00	0.00	97.92	0.00	0.00	0.00	0.00	2.08
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	70.00	0.00	0.00	30.00
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

No 'AAA' rated financial services companies were downgraded in 2021. However, the number of 'AAA' rated financial services companies has been dwindling in recent years. For example, at the start of 2008, the number of 'AAA' rated financial services issuers totaled 74 globally. But by the beginning of 2021, just three 'AAA' rated financial services issuers remained:

• Nederlandse Waterschapsbank N.V. (Netherlands), which has an extremely strong capital base, very strong asset quality, and almost certain likelihood of extraordinary support from the Dutch Ministry of Finance;
• Public Sector Pension Investment Board (Canada), in addition to the stand-alone credit profile of 'aaa', the 'AAA' issuer rating reflects our opinion of a moderately high likelihood that the Canadian government would provide extraordinary support in the event of financial distress; and
• Zuercher Kantonalbank (Switzerland), which benefits from its close ties, including full ownership and a statutory guarantee, to the financially strong Canton of Zurich.

Annual Default Rates And Ratings Performance

All our ratings performance studies have found a clear correlation between ratings and defaults: The higher the rating, the lower the observed frequency of default, and vice versa. Over each time span, lower ratings correspond to higher default rates. We found that the same was true when we broke out the data by rating as well as by region. As the Gini ratios show, the ability of financial services ratings to serve as effective measures of relative risk remains intact, particularly across larger pools of issuers.

Many default studies, including this one, also look at transition rates, which gauge the degree to which ratings change--either up or down--over a particular time. Transition studies have repeatedly confirmed that higher ratings tend to be more stable and that speculative-grade ratings generally experience more volatility.

Some issuers default after S&P Global Ratings no longer rates them. We make our best effort to capture such defaults in the database, and we include an entity in the annual default rate calculations if it was rated as of Jan. 1 in the year of default. If, however, S&P Global Ratings withdrew the rating prior to Jan. 1 of the year of default, we do not include the issuer in the default rate calculation in that year. Although defaulters that are not rated (NR) are not always captured in the default rate calculations for the year of default, we do capture them in the longer-term cumulative default rate statistics, which are tied back to the year in which defaulters were last rated.

The path to default for financial services has been more gradual in recent years

Financial services entities typically exhibit lower average default rates and account for fewer defaults annually than nonfinancial entities. However, the path to default for financial issuers can be relatively swift. Financial services companies are typically more confidence-sensitive than nonfinancial companies, and the loss of confidence from stakeholders (such as counterparties or funding sources) can contribute to a rapid decline in liquidity and credit quality.

From 1981-2021, financial services companies that defaulted had a median rating of 'BBB-' seven years prior to default, and the median rating remained investment grade (at 'BBB-') until just over five years prior to default. From that point, the defaulters experienced a relatively steep descent into default, with the median rating dropping to 'B+' one year prior to default.

In contrast, financial entities that defaulted over the past 12 quarters (2019-2021) experienced a much more gradual path to default from a much lower rating level. These issuers had a median rating of 'B' seven years prior to default, and this median fell to 'B-' over 3.5 years prior to default (see chart 9). Notably, the trailing-12-quarter median default rate for financial entities is based on a much smaller subsample of just 19 issuers, while the full history (1981-2021) covers 314 issuers.

In general, financial services entities with higher initial ratings, should they default, tend to show a longer time between the initial rating and the eventual default. The time to default for a defaulting issuer generally correlates with the initial rating. For example, for the entire pool of defaulters (1981-2021), the average time to default for financial entities that were originally rated in the 'AA' category was 13.74 years from initial rating, while those initially rated in the 'B' category experienced an average time to default of 4.08 years (see table 7). Note that the standard deviation of the time to default is also generally smaller for lower ratings.

We treat cases where an issuer emerges from a prior default (including from distressed exchanges), as a separate entity, with a new initial rating that is first recorded after the default event.

Table 7

Time To Default From Original Rating For Global Financial Services Defaulters (1981-2021)
Original rating	Defaults	Average years from original rating*	Median years from original rating	Standard deviation of years from original rating
AAA	5	15.44	7.61	11.88
AA	19	13.74	10.15	9.10
A	30	8.82	6.84	6.32
BBB	57	7.70	5.76	5.46
BB	66	6.01	4.27	5.54
B	100	4.08	2.86	3.88
CCC/C	37	2.85	1.25	3.76
Or Dec. 31, 1980, whichever is later. Include the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

While no financial services issuer has ever defaulted from the 'AAA' rating level over a one-year horizon, throughout the 41-year span of our study, there have been five financial services entities that eventually defaulted after receiving an initial rating of 'AAA'. These defaulters include Ally Financial Inc., formerly known as GMAC Financial, a subsidiary of General Motors Corp. The issuer credit rating on this company was lowered to 'SD' from 'CC' following a distressed debt exchange in December 2008. While this issuer was initially rated 'AAA', it was downgraded to 'AA+' in 1981, more than 27 years in advance of its eventual default in 2008. While GMAC Financial was an NBFI at the time of default, the reorganized entity, Ally Financial Inc., has since become a bank holding company.

The four other 'AAA' rated defaulters were from the insurance sector. This group includes three North American life insurers (Mutual Benefit Life Insurance Co., Executive Life Insurance Co. CA, and Confederation Life Insurance Co.) that defaulted from 1992-1994 because of a combination of illiquid assets and insufficient liquidity to meet maturing liabilities. These companies had asset portfolios with heavy concentrations of high-yield bonds, real estate investments, or commercial real estate loans, which lost value and were increasingly illiquid following the 1991-1992 U.S. recession. As policyholders lost confidence in these insurers, they accelerated withdrawals, which exacerbated the companies' inability to meet liabilities.

The remaining defaulter was bond insurer Ambac Assurance Corp., which was downgraded to 'SD' in 2009 due to being financially weakened through exposure to the U.S. subprime housing sector.

These insurers' defaults occurred as their asset values fell or as liabilities climbed following recession periods. S&P Global Ratings subsequently made adjustments to global insurance criteria to address the issues that caused these failures, including through the introduction of the capital model in 1994 and, more recently, through updates to most of the criteria for financial services companies following the global financial crisis.

Since 2011, S&P Global Ratings has further updated and revised the methodology and assumptions that it applies to determine the ratings on financial services companies. Rating methodologies and assumptions were revised in 2011 and 2019 (including a capital model update) for bond insurance, in 2013 and 2019 for insurance companies (including life, health, and property/casualty), in 2014 for NBFIs, and in 2015 and 2019 for mortgage insurance.

For banks, S&P Global Ratings updated its rating methodology and assumptions in 2011. The revised criteria also consider the relationship of the banking industry in a country to its financial system as a whole. The banking industry country risk assessment (BICRA) criteria were also updated in 2011, providing a framework to compare global banking systems, including the role of government supervision, regulation, and system wide support programs. The BICRA is the starting point for the issuer credit rating on a bank.

S&P Global Ratings published proposed criteria revisions for the BICRA and the financial institutions ratings methodology in 2021, and if adopted, these changes will result in further updates to the global framework for rating financial institutions.

Fewer defaults are observed among higher-rated entities

The lower frequency of default among higher-rated entities and higher rate of default among lower-rated entities remains true over time (see chart 10).

The relationship between default rates and ratings is most apparent through the cumulative rates, with the lowest rating categories exhibiting default rates far in excess of those in the investment-grade categories. The lowest investment-grade rating category, 'BBB', has a one-year weighted long-term average default rate (since 1981) of 0.22%. The average default rate more than doubles to 0.58% for the 'BB' category and rises further to 2.48% for the 'B' category and 17.23% for the 'CCC'/'C' category.

The only rating category that exhibited defaults in 2021 was 'B', resulting in a rise in its default rate to 1.23% in 2021 (from 1.2% in 2020). Despite the increase in the default rate for the 'B' category, it is still lower than the weighted long-term average default rate of 2.48%.

For financial services, the pool of issuers rated in each speculative-grade rating category is often relatively small, particularly for the 'CCC'/'C' category. As of Jan. 1, 2022, speculative-grade ratings accounted for only 24%, and the 'CCC'/'C' category accounted for a little less than a 1% share of the total number of financial services issuers . Given the small base of ratings (particularly in earlier years), the default rate for entities rated 'CCC'/'C' can swing to extremes. The 'CCC'/'C' default rate has climbed as high as 100% (in 1982, when there was only one financial issuer rated 'CCC'/'C' at the beginning of the year) and fallen as low as 0% (as in 2021). (see table 8).

Table 8

Global Financial Services Annual Default Rates By Rating Category (%)
	AAA	AA	A	BBB	BB	B	CCC/C
1981	0.00	0.00	0.00	0.00	0.00	0.00	0.00
1982	0.00	0.00	0.00	0.00	0.00	25.00	100.00
1983	0.00	0.00	0.00	3.85	6.25	0.00	n/a
1984	0.00	0.00	0.00	0.00	0.00	0.00	n/a
1985	0.00	0.00	0.00	0.00	5.00	0.00	n/a
1986	0.00	0.00	0.00	0.00	0.00	0.00	0.00
1987	0.00	0.00	0.00	0.00	0.00	0.00	0.00
1988	0.00	0.00	0.00	0.00	2.56	17.39	0.00
1989	0.00	0.00	0.74	4.08	0.00	11.76	62.50
1990	0.00	0.00	0.00	0.00	2.63	13.33	20.00
1991	0.00	0.00	0.00	0.00	4.88	15.79	41.67
1992	0.00	0.00	0.00	0.00	0.00	5.88	66.67
1993	0.00	0.00	0.00	0.00	2.94	0.00	14.29
1994	0.00	0.00	0.38	0.00	0.00	0.00	0.00
1995	0.00	0.00	0.00	0.00	0.00	20.00	0.00
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00
1997	0.00	0.00	0.00	1.00	0.00	5.26	0.00
1998	0.00	0.00	0.00	0.40	1.64	17.07	33.33
1999	0.00	0.28	0.40	0.41	0.00	4.76	0.00
2000	0.00	0.00	0.40	0.40	0.00	4.41	44.44
2001	0.00	0.00	0.21	0.37	5.56	3.85	20.00
2002	0.00	0.00	0.00	0.35	0.85	4.17	18.18
2003	0.00	0.00	0.00	0.29	0.00	2.04	13.04
2004	0.00	0.00	0.18	0.00	0.70	0.94	4.35
2005	0.00	0.00	0.00	0.00	0.65	0.00	0.00
2006	0.00	0.00	0.00	0.00	0.60	0.90	0.00
2007	0.00	0.00	0.00	0.00	1.20	0.82	0.00
2008	0.00	0.50	0.70	1.35	1.65	2.36	11.76
2009	0.00	0.00	0.25	1.46	0.55	9.38	26.09
2010	0.00	0.00	0.00	0.00	2.63	0.79	24.14
2011	0.00	0.00	0.00	0.21	0.00	3.31	11.76
2012	0.00	0.00	0.00	0.00	0.50	0.63	13.64
2013	0.00	0.00	0.00	0.00	0.00	1.10	5.26
2014	0.00	0.00	0.00	0.00	0.00	0.48	5.88
2015	0.00	0.00	0.00	0.00	0.00	2.62	23.08
2016	0.00	0.00	0.00	0.17	0.00	3.33	33.33
2017	0.00	0.00	0.00	0.00	0.00	1.22	16.67
2018	0.00	0.00	0.00	0.00	0.00	1.22	18.75
2019	0.00	0.00	0.00	0.00	0.00	1.56	41.67
2020	0.00	0.00	0.00	0.00	0.00	1.20	66.67
2021	0.00	0.00	0.00	0.00	0.00	1.23	0.00
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	0.00	0.50	0.74	4.08	6.25	25.00	100.00
Weighted long-term average	0.00	0.03	0.08	0.22	0.58	2.48	17.23
Median	0.00	0.00	0.00	0.00	0.00	1.23	13.34
Standard deviation	0.00	0.09	0.19	0.90	1.71	6.40	23.62
Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

By contrast, the relationship is slightly more discontinuous when we examine rating transitions across modifiers (the plus or minus after a rating) or by sector, but these variations are likely a result of sample size considerations, and we do not consider them significant (see table 9 for default rates by rating modifier and Appendix I for default rates by sector).

Additionally, when examining default rates by rating modifier, we see a few higher-than-expected default rates for some investment-grade ratings in certain years. For instance, in 1983, the default rate for 'BBB-' rated financial issuers climbed to 16.67%. Notably, this rate reflected the default of just one issuer, and the default rate for the 'BBB' category as a whole in 1983 was just 3.8%.

Since 1981, no financial services issuers rated 'AAA' or 'AA+' have defaulted over a one-year horizon.

However, over this period, three financial services issuers rated either 'AA' or 'AA-' defaulted:

• General American Life Insurance Co.: After aggressively growing its Guaranteed Investment Contract (GIC) product line in prior years, the company did not have sufficient liquidity and was taken under administrative supervision in 1999, following a spike in surrender rates on these GICs.
• Lehman Brothers Inc.: The company filed for Chapter 11 bankruptcy protection in 2008 following the deterioration of its U.S. subprime housing assets.
• BluePoint Re: This company was taken over by its regulatory authority in 2008 as projected losses mounted on subprime and second-lien residential mortgage-backed security and asset-backed security collateralized debt obligations that it had reinsured.

More recently however, there have been no defaults from financial services issuers rated 'BBB+' or higher from 2010 through 2021.

Table 9

Global Financial Services Annual Default Rates By Rating Modifier (%)
	AAA	AA+	AA	AA-	A+	A	A-	BBB+	BBB	BBB-	BB+	BB	BB-	B+	B	B-	CCC/C
1981	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	0.00
1982	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100	100.00
1983	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	16.67	14.29	0.00	0.00	0.00	0.00	N/A	N/A
1984	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1985	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.11	0.00	0.00	0.00	0.00	0.00	N/A
1986	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00
1987	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
1988	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	6.25	9.09	0.00	50	0.00
1989	0.00	0.00	0.00	0.00	0.00	0.00	2.94	6.67	5.00	0.00	0.00	0.00	0.00	0.00	12.50	100.00	62.50
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	8.33	0.00	0.00	0.00	16.67	25	20.00
1991	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.76	0.00	0.00	0.00	28.57	25.00	41.67
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	33	66.67
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.09	0.00	0.00	0.00	0.00	14.29
1994	0.00	0.00	0.00	0.00	1.16	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.09	28.57	50.00	0.00
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.28	1.59	0.00	0.00	0.00	0.00	0.00	0.00	33.33	0.00
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	1.28	0.00	5.26	0.00	11.54	33.33	0	33.33
1999	0.00	0.00	0.00	0.61	0.00	0.54	0.76	0.00	1.23	0.00	0.00	0.00	0.00	9.09	0.00	0.00	0.00
2000	0.00	0.00	0.00	0.00	0.00	0.61	0.75	0	0.00	1.33	0.00	0.00	0.00	6.45	3.85	0	44.44
2001	0.00	0.00	0.00	0.00	0.00	0.59	0.00	0.00	0.97	0.00	0.00	2.63	17.86	0.00	6.90	7.69	20.00
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	1.25	2.50	0.00	0.00	6.06	0.00	8	18.18
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.83	0.00	0.00	0.00	0.00	0.00	7.14	0.00	13.04
2004	0.00	0.00	0.00	0.00	0.00	0.54	0.00	0	0.00	0.00	0.00	1.75	0.00	2.50	0.00	0	4.35
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.44	0.00	0.00	0.00	0.00
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	1.69	0.00	0.00	0.00	0.00	3	0.00
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.92	1.89	1.89	0.00	0.00	0.00
2008	0.00	0.00	0.59	0.53	0.47	0.37	1.29	1	2.29	1.65	4.55	0.00	0.00	0.00	3.70	4	11.76
2009	0.00	0.00	0.00	0.00	0.00	0.69	0.00	0.56	0.62	3.60	0.00	1.96	0.00	9.09	13.33	5.13	26.09
2010	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	3.03	2.13	2.60	0.00	0.00	2	24.14
2011	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.71	0.00	0.00	0.00	1.89	4.92	2.70	11.76
2012	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	1.82	1.59	0.00	0	13.64
2013	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.64	5.26
2014	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	1.47	0.00	0	5.88
2015	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	5.41	0.96	1.96	23.08
2016	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.56	0.00	0.00	0.00	0.00	1.23	1.04	10	33.33
2017	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.94	1.43	16.67
2018	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	2.27	1	18.75
2019	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.45	41.67
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0	0.00	0.00	0.00	0.00	0.00	0.00	1.82	1	66.67
2021	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.27	0.00	2.78	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	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	0.00	0.00	0.59	0.61	1.16	0.69	2.94	6.67	5.00	16.67	14.29	9.09	17.86	11.54	33.33	100.00	100.00
Weighted long-term average	0.00	0.00	0.03	0.04	0.03	0.10	0.10	0.09	0.24	0.38	0.68	0.43	0.63	1.82	2.29	3.75	17.23
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.27	13.34
Standard deviation	0.00	0.00	0.09	0.12	0.19	0.20	0.52	1.06	0.90	2.65	3.52	1.71	2.96	3.37	8.42	25.07	23.62
N/A--Not applicable. Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Average Transition Tables And Cumulative Default Rates

This study--in line with previous default studies--confirms that over the long term (1981-2021), higher ratings are more stable than lower ratings. For financial services entities, the highest rating categories, 'AAA', 'AA', and 'A', each displayed stability rates of 87% or higher for a one-year time horizon. Of these three rating categories, the 'A' category had the highest rate of stability, at 89.39%, meaning that 89.39% of 'A' rated issuers remained within that rating category over a one-year horizon. The stability rate was just slightly lower for the 'AAA' and 'AA' categories, although these categories also showed very high stability rates of 87.08% and 87.6%, respectively. In comparison, ratings in the 'B' category had a notably lower stability rate of 76.37% over a one-year horizon (see table 10).

When we examine rating transitions by modifier, the general relationship between rating and stability tends to hold (see table 11). For example, 'A+' rated issuers were still rated 'A+' one year later 79.39% of the time, and 'A-' rated issuers were still rated 'A-' one year later 78.64% of the time.

These long-term relationships also broadly hold when transition rates are calculated over longer time horizons and when broken out by region (see table 12), though we do see some exceptions, largely due to sample size considerations, which we do not consider significant.

Over the long term (1981-2021), heightened ratings stability is broadly consistent with higher ratings. A key observation when analyzing transition matrices that present averages computed over multiple static pools is that the standard deviations associated with each transition point in the matrix are large relative to the averages (outside of stability rates).

Table 10

Global Average Transition Rates For Financial Services (1981-2021) (%)
From/to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
One-year
AAA	87.08	9.50	0.34	0.08	0.08	0.04	0.08	0.00	2.79
	(10.09)	(9.83)	(0.98)	(0.37)	(0.38)	(0.24)	(0.48)	(0.00)	(2.62)
AA	0.44	87.57	7.72	0.33	0.02	0.02	0.03	0.03	3.84
	(0.56)	(6.29)	(5.55)	(0.63)	(0.08)	(0.07)	(0.16)	(0.11)	(1.88)
A	0.02	1.99	89.39	3.49	0.17	0.06	0.01	0.08	4.79
	(0.13)	(1.70)	(4.24)	(2.55)	(0.44)	(0.14)	(0.04)	(0.18)	(2.00)
BBB	0.00	0.18	4.22	84.85	3.08	0.36	0.11	0.22	6.98
	(0.00)	(0.50)	(2.89)	(4.96)	(2.39)	(0.76)	(0.25)	(0.50)	(2.00)
BB	0.00	0.08	0.16	5.60	77.37	4.84	0.62	0.58	10.75
	(0.00)	(0.26)	(0.65)	(4.11)	(7.48)	(3.13)	(1.54)	(1.19)	(4.85)
B	0.00	0.03	0.08	0.36	6.22	76.37	3.05	2.48	11.42
	(0.00)	(0.20)	(0.58)	(0.79)	(4.26)	(7.29)	(3.37)	(3.34)	(3.83)
CCC/C	0.00	0.00	0.00	0.00	1.20	16.83	45.69	17.23	19.04
	(0.00)	(0.00)	(0.00)	(0.00)	(3.91)	(11.95)	(19.29)	(16.61)	(11.71)
Three-year
AAA	64.96	23.99	1.61	0.34	0.21	0.08	0.17	0.21	8.42
	(16.43)	(16.60)	(2.21)	(1.13)	(0.57)	(0.35)	(0.59)	(0.55)	(5.96)
AA	1.05	67.91	17.91	1.56	0.17	0.14	0.03	0.18	11.06
	(1.01)	(11.33)	(8.39)	(1.63)	(0.33)	(0.34)	(0.09)	(0.28)	(4.18)
A	0.05	4.73	72.25	7.29	0.90	0.20	0.09	0.34	14.17
	(0.17)	(3.47)	(8.09)	(2.90)	(1.22)	(0.44)	(0.20)	(0.51)	(4.62)
BBB	0.00	0.50	10.29	63.02	4.98	0.89	0.28	1.01	19.03
	(0.00)	(1.09)	(5.89)	(8.53)	(2.77)	(0.98)	(0.62)	(1.35)	(4.46)
BB	0.00	0.11	0.67	12.84	47.49	7.70	0.78	2.43	27.97
	(0.00)	(0.36)	(1.46)	(6.33)	(10.78)	(3.77)	(1.46)	(3.70)	(6.94)
B	0.00	0.00	0.27	1.45	12.61	47.96	3.37	7.43	26.91
	(0.00)	(0.00)	(0.89)	(2.35)	(6.37)	(10.06)	(2.78)	(6.69)	(6.05)
CCC/C	0.00	0.00	0.21	0.42	1.48	25.74	9.92	25.53	36.71
	(0.00)	(0.00)	(3.29)	(2.66)	(3.63)	(14.89)	(9.90)	(16.67)	(15.43)
Five-year
AAA	47.73	31.44	4.37	0.59	0.21	0.21	0.13	0.55	14.76
	(17.06)	(17.82)	(3.75)	(1.49)	(0.54)	(0.56)	(0.42)	(0.91)	(8.10)
AA	1.28	54.14	23.49	2.66	0.31	0.24	0.05	0.46	17.37
	(1.15)	(11.86)	(7.86)	(2.15)	(0.46)	(0.55)	(0.19)	(0.77)	(4.98)
A	0.09	6.05	60.08	8.86	1.44	0.27	0.15	0.65	22.40
	(0.22)	(3.95)	(9.21)	(2.78)	(1.36)	(0.40)	(0.29)	(0.76)	(5.85)
BBB	0.00	0.84	12.90	48.50	5.10	0.99	0.36	1.87	29.45
	(0.00)	(1.77)	(5.88)	(8.31)	(2.57)	(0.83)	(0.62)	(1.91)	(5.27)
BB	0.00	0.20	1.40	14.77	30.51	7.49	0.54	4.28	40.80
	(0.00)	(0.61)	(2.53)	(5.82)	(8.31)	(3.81)	(1.59)	(5.41)	(6.65)
B	0.00	0.07	0.49	2.61	13.35	32.61	2.40	10.61	37.87
	(0.00)	(0.60)	(1.19)	(3.21)	(6.41)	(9.71)	(1.88)	(8.05)	(7.90)
CCC/C	0.00	0.00	0.22	0.45	3.81	19.28	2.91	28.03	45.29
	(0.00)	(0.00)	(3.39)	(1.45)	(5.90)	(11.71)	(5.43)	(16.28)	(14.46)
10-year
AAA	22.11	38.34	8.80	2.10	0.13	0.30	0.09	0.99	27.14
	(12.19)	(17.03)	(5.13)	(2.68)	(0.38)	(0.67)	(0.32)	(1.22)	(8.87)
AA	0.99	31.93	28.89	4.49	0.36	0.34	0.03	1.09	31.89
	(0.94)	(6.93)	(5.98)	(2.35)	(0.38)	(0.41)	(0.08)	(1.17)	(5.00)
A	0.11	7.15	40.63	9.21	1.75	0.48	0.12	1.58	38.98
	(0.35)	(2.95)	(6.60)	(2.57)	(1.22)	(0.43)	(0.22)	(1.18)	(5.54)
BBB	0.00	1.44	13.47	28.74	3.64	1.12	0.41	4.06	47.12
	(0.00)	(2.76)	(3.32)	(6.73)	(1.68)	(0.51)	(0.60)	(2.32)	(5.18)
BB	0.00	0.07	3.00	14.34	12.51	6.07	0.11	8.53	55.36
	(0.00)	(0.33)	(3.37)	(4.47)	(7.08)	(3.15)	(0.28)	(8.35)	(6.85)
B	0.00	0.00	1.13	5.13	9.42	15.00	0.68	14.89	53.75
	(0.00)	(0.00)	(2.40)	(5.30)	(4.10)	(7.33)	(1.66)	(10.03)	(10.08)
CCC/C	0.00	0.00	0.31	0.93	4.97	7.76	0.31	31.68	54.04
	(0.00)	(0.00)	(4.00)	(2.22)	(6.10)	(8.73)	(1.34)	(18.48)	(16.05)
Includes the bank, NBFI, and insurance sectors. Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 11

Average One-Year Transition Rates For Global Financial Services By Rating Modifier (1981-2021) (%)
Rating	AAA	AA+	AA	AA-	A+	A	A-	BBB+	BBB	BBB-	BB+	BB	BB-	B+	B	B-	CCC/C	D	NR
AAA	87.08	7.18	1.65	0.68	0.08	0.21	0.04	0.00	0.08	0.00	0.04	0.04	0.00	0.00	0.04	0.00	0.08	0.00	2.79
	(10.09)	(8.85)	(2.21)	(1.12)	(0.53)	(0.68)	(0.20)	(0.00)	(0.37)	(0.00)	(0.32)	(0.21)	(0.00)	(0.00)	(0.24)	(0.00)	(0.48)	(0.00)	(2.62)
AA+	1.75	79.11	12.02	3.28	0.70	0.35	0.21	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.59
	(2.74)	(14.73)	(10.01)	(4.83)	(3.10)	(1.09)	(0.62)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(3.00)
AA	0.42	1.33	80.02	9.61	2.92	1.02	0.36	0.27	0.15	0.06	0.03	0.03	0.00	0.00	0.00	0.00	0.09	0.03	3.65
	(0.79)	(2.08)	(12.26)	(8.61)	(3.70)	(1.78)	(0.86)	(0.67)	(0.60)	(0.30)	(0.15)	(0.15)	(0.00)	(0.00)	(0.00)	(0.00)	(0.37)	(0.13)	(2.52)
AA-	0.06	0.13	3.68	79.36	9.63	1.84	0.54	0.21	0.10	0.00	0.00	0.00	0.00	0.02	0.02	0.00	0.00	0.04	4.35
	(0.21)	(0.38)	(4.90)	(9.09)	(6.08)	(3.10)	(0.87)	(0.70)	(0.34)	(0.00)	(0.00)	(0.00)	(0.00)	(0.11)	(0.11)	(0.00)	(0.00)	(0.15)	(2.45)
A+	0.00	0.07	0.36	4.75	79.39	8.10	1.43	0.46	0.33	0.08	0.02	0.08	0.00	0.02	0.00	0.00	0.00	0.03	4.90
	(0.00)	(0.29)	(0.67)	(4.06)	(7.85)	(4.70)	(1.89)	(0.69)	(0.66)	(0.42)	(0.17)	(0.53)	(0.00)	(0.17)	(0.00)	(0.00)	(0.00)	(0.16)	(2.45)
A	0.01	0.06	0.18	0.47	6.56	78.86	6.37	1.59	0.57	0.24	0.04	0.04	0.00	0.01	0.04	0.00	0.01	0.10	4.84
	(0.08)	(0.27)	(0.56)	(0.77)	(3.61)	(7.01)	(4.12)	(2.00)	(0.83)	(0.59)	(0.24)	(0.14)	(0.00)	(0.09)	(0.21)	(0.00)	(0.07)	(0.22)	(2.81)
A-	0.05	0.02	0.07	0.23	0.49	7.94	78.64	5.31	1.48	0.59	0.15	0.10	0.11	0.07	0.03	0.00	0.02	0.10	4.63
	(0.52)	(0.11)	(0.20)	(0.61)	(0.71)	(5.18)	(7.48)	(3.13)	(1.87)	(1.15)	(0.57)	(0.30)	(0.40)	(0.25)	(0.16)	(0.00)	(0.11)	(0.36)	(2.28)
BBB+	0.00	0.00	0.09	0.15	0.36	0.72	8.02	75.53	6.81	1.36	0.40	0.23	0.11	0.06	0.09	0.02	0.11	0.09	5.85
	(0.00)	(0.00)	(0.39)	(0.55)	(0.62)	(1.86)	(5.25)	(7.96)	(4.57)	(2.07)	(0.96)	(0.84)	(0.86)	(0.79)	(0.66)	(0.11)	(0.51)	(0.44)	(3.22)
BBB	0.00	0.02	0.07	0.10	0.17	0.31	1.06	9.77	73.54	5.28	1.42	0.53	0.26	0.19	0.10	0.02	0.10	0.24	6.82
	(0.00)	(0.38)	(0.39)	(0.60)	(0.59)	(0.93)	(1.57)	(6.03)	(8.33)	(4.77)	(1.84)	(0.91)	(0.92)	(0.57)	(0.44)	(0.12)	(0.30)	(0.61)	(2.89)
BBB-	0.00	0.03	0.03	0.03	0.06	0.19	0.19	1.15	10.05	70.41	5.68	1.56	0.51	0.48	0.10	0.13	0.13	0.38	8.87
	(0.00)	(0.18)	(0.17)	(0.32)	(0.46)	(0.82)	(0.74)	(1.54)	(5.01)	(7.59)	(4.54)	(2.55)	(1.38)	(1.58)	(0.54)	(0.94)	(0.34)	(1.11)	(3.54)
BB+	0.00	0.00	0.00	0.11	0.11	0.17	0.11	0.34	1.47	10.91	63.43	7.52	2.60	0.90	0.34	0.28	0.51	0.68	10.51
	(0.00)	(0.00)	(0.00)	(0.56)	(0.44)	(1.15)	(1.02)	(1.03)	(2.89)	(6.34)	(9.30)	(7.53)	(2.62)	(1.40)	(0.92)	(0.65)	(1.96)	(2.06)	(5.78)
BB	0.00	0.00	0.06	0.06	0.00	0.06	0.00	0.25	0.56	2.34	9.99	64.16	7.40	1.54	0.99	0.19	0.86	0.43	11.10
	(0.00)	(0.00)	(0.40)	(0.36)	(0.00)	(1.12)	(0.00)	(0.92)	(1.98)	(4.10)	(6.72)	(11.12)	(7.59)	(2.73)	(2.23)	(0.94)	(2.62)	(1.17)	(6.38)
BB-	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.06	0.17	0.46	2.45	7.53	67.39	6.84	2.45	0.86	0.51	0.63	10.66
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.76)	(0.53)	(2.28)	(3.72)	(6.23)	(12.85)	(5.38)	(3.47)	(2.84)	(1.72)	(2.42)	(6.86)
B+	0.00	0.00	0.00	0.00	0.00	0.00	0.07	0.00	0.07	0.28	0.49	2.24	11.62	61.20	7.77	2.59	1.19	1.82	10.64
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.89)	(0.00)	(0.30)	(1.28)	(1.83)	(3.57)	(7.34)	(9.44)	(5.81)	(3.10)	(2.64)	(2.92)	(5.40)
B	0.00	0.00	0.00	0.07	0.00	0.07	0.00	0.07	0.07	0.27	0.20	0.20	1.55	9.43	63.07	8.42	2.43	2.29	11.86
	(0.00)	(0.00)	(0.00)	(0.51)	(0.00)	(0.51)	(0.00)	(0.49)	(0.32)	(0.56)	(0.98)	(1.59)	(2.98)	(7.58)	(9.23)	(6.78)	(3.30)	(4.90)	(5.67)
B-	0.00	0.00	0.00	0.00	0.00	0.10	0.00	0.10	0.21	0.00	0.10	0.21	0.42	2.29	13.33	60.83	6.77	3.75	11.88
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(1.89)	(0.00)	(1.63)	(1.06)	(0.00)	(0.63)	(1.17)	(0.99)	(4.10)	(9.07)	(12.25)	(9.93)	(7.48)	(5.71)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.20	0.40	0.60	1.20	1.60	14.03	45.69	17.23	19.04
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(2.26)	(2.59)	(2.09)	(3.89)	(4.08)	(10.95)	(19.29)	(16.61)	(11.71)
Includes the banks, NBFI, and insurance sectors. Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 12

Average One-Year Financial Services Transition Rates by Major Region (1981-2021) (%)
Rating	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
U.S.
AAA	88.17	8.88	0.33	0.07	0.13	0.07	0.07	0.00	2.30
	(13.41)	(12.99)	(1.38)	(0.37)	(0.61)	(0.37)	(0.37)	(0.00)	(2.49)
AA	0.53	87.81	7.24	0.36	0.04	0.04	0.06	0.06	3.86
	(0.73)	(7.70)	(6.27)	(0.81)	(0.16)	(0.14)	(0.26)	(0.23)	(2.31)
A	0.03	2.17	89.23	3.41	0.25	0.10	0.02	0.11	4.67
	(0.19)	(1.99)	(5.02)	(3.02)	(0.63)	(0.28)	(0.09)	(0.31)	(2.71)
BBB	0.00	0.26	3.91	85.22	2.64	0.56	0.21	0.34	6.88
	(0.00)	(0.68)	(2.45)	(6.05)	(2.77)	(1.16)	(0.39)	(0.79)	(2.77)
BB	0.00	0.24	0.36	7.22	73.43	5.92	1.24	0.95	10.65
	(0.00)	(0.73)	(1.01)	(6.36)	(9.90)	(4.57)	(2.42)	(1.67)	(5.79)
B	0.00	0.07	0.21	0.56	5.99	74.96	4.16	2.96	11.07
	(0.00)	(0.49)	(1.05)	(1.44)	(5.39)	(11.07)	(5.10)	(4.57)	(6.66)
CCC/C	0.00	0.00	0.00	0.00	2.48	12.38	39.11	28.71	17.33
	(0.00)	(0.00)	(0.00)	(0.00)	(6.08)	(14.80)	(22.69)	(25.69)	(16.45)
Europe
AAA	86.10	9.72	0.34	0.17	0.00	0.00	0.17	0.00	3.52
	(10.33)	(9.61)	(1.38)	(1.18)	(0.00)	(0.00)	(1.02)	(0.00)	(5.16)
AA	0.30	86.28	9.20	0.44	0.00	0.00	0.00	0.00	3.78
	(0.96)	(8.10)	(7.53)	(1.07)	(0.00)	(0.00)	(0.00)	(0.00)	(2.62)
A	0.02	2.22	88.22	3.82	0.15	0.00	0.00	0.05	5.53
	(0.07)	(2.37)	(5.46)	(3.94)	(0.44)	(0.00)	(0.00)	(0.14)	(2.66)
BBB	0.00	0.22	6.72	79.43	3.49	0.17	0.09	0.04	9.83
	(0.00)	(2.18)	(4.25)	(8.10)	(4.58)	(0.54)	(0.37)	(0.23)	(4.87)
BB	0.00	0.00	0.32	6.74	70.30	4.82	0.64	0.00	17.17
	(0.00)	(0.00)	(1.75)	(7.06)	(14.05)	(5.50)	(3.79)	(0.00)	(11.90)
B	0.00	0.00	0.00	1.67	10.03	67.89	1.34	2.01	17.06
	(0.00)	(0.00)	(0.00)	(5.23)	(8.49)	(15.75)	(3.08)	(5.10)	(14.86)
CCC/C	0.00	0.00	0.00	0.00	0.00	15.38	48.72	20.51	15.38
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(28.69)	(47.63)	(28.28)	(32.36)
Emerging and frontier markets
AAA	86.36	4.55	0.00	0.00	0.00	0.00	0.00	0.00	9.09
	(35.13)	(21.32)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(29.42)
AA	0.61	88.48	7.88	0.00	0.00	0.00	0.00	0.00	3.03
	(2.94)	(12.89)	(11.22)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(5.53)
A	0.00	0.79	92.74	4.14	0.00	0.06	0.00	0.00	2.27
	(0.00)	(1.10)	(5.00)	(4.82)	(0.00)	(0.24)	(0.00)	(0.00)	(1.66)
BBB	0.00	0.03	2.17	88.22	4.31	0.15	0.00	0.12	5.00
	(0.00)	(0.16)	(2.77)	(6.73)	(5.26)	(1.15)	(0.00)	(0.54)	(2.38)
BB	0.00	0.00	0.00	4.29	81.51	4.40	0.34	0.45	9.02
	(0.00)	(0.00)	(0.00)	(4.09)	(7.18)	(3.39)	(1.12)	(1.64)	(6.10)
B	0.00	0.00	0.00	0.14	5.98	79.27	2.37	1.86	10.39
	(0.00)	(0.00)	(0.00)	(0.39)	(5.70)	(6.74)	(3.80)	(3.44)	(4.02)
CCC/C	0.00	0.00	0.00	0.00	0.00	21.01	52.14	6.61	20.23
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(16.91)	(19.56)	(11.08)	(12.54)
Other developed
AAA	82.53	13.54	0.44	0.00	0.00	0.00	0.00	0.00	3.49
	(17.17)	(16.46)	(2.70)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(8.49)
AA	0.41	89.31	6.28	0.00	0.00	0.00	0.00	0.00	4.00
	(1.69)	(8.04)	(6.30)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(4.06)
A	0.00	1.60	90.50	2.61	0.07	0.04	0.00	0.07	5.11
	(0.00)	(2.20)	(7.33)	(4.82)	(0.49)	(0.24)	(0.00)	(1.17)	(4.15)
BBB	0.00	0.16	6.64	83.56	1.54	0.32	0.00	0.24	7.53
	(0.00)	(2.09)	(9.16)	(9.86)	(3.53)	(1.57)	(0.00)	(0.83)	(4.86)
BB	0.00	0.00	0.00	7.03	76.36	2.56	0.64	0.64	12.78
	(0.00)	(0.00)	(0.00)	(9.11)	(15.84)	(4.30)	(2.34)	(2.81)	(11.84)
B	0.00	0.00	0.00	0.00	7.44	61.16	3.31	7.44	20.66
	(0.00)	(0.00)	(0.00)	(0.00)	(13.29)	(27.21)	(6.88)	(13.37)	(25.75)
CCC/C	0.00	0.00	0.00	0.00	3.45	10.34	44.83	24.14	17.24
	(0.00)	(0.00)	(0.00)	(0.00)	(18.94)	(22.44)	(43.01)	(30.04)	(26.73)
Includes the bank, NBFI, and insurance sectors. Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Lower Ratings Are Consistent With Higher Default Vulnerability

Lower ratings continue to exhibit higher default rates over each time span (for example, as in the one- to 15-year time horizons shown in table 13). This generally holds true across regions as well, though some exceptions occur when the number of defaults is low or when the underlying population of issuers is very small--such as among the highest and lowest rating categories, or at the rating modifier level (see tables 14 and 15).

Investment-grade issuers seldom default, so the number of defaults among these rating categories is particularly low. This small sample size can result in historical default rates that appear counterintuitive. The cumulative default rates by rating modifier do not imply, for example, that 'AAA' rated companies are riskier than 'AA+' rated companies over a horizon of less than 10 years, but rather that both are highly unlikely to default. By rating modifier, each of the ratings from 'AAA' to 'A-' exhibits a 15-year cumulative default rate below 2.0%.

Table 13

Global Financial Services Average Cumulative Default Rates (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.04	0.21	0.38	0.55	0.72	0.81	0.89	0.93	0.98	1.02	1.06	1.11	1.16	1.20
AA	0.03	0.10	0.17	0.31	0.45	0.59	0.69	0.79	0.88	0.96	1.03	1.09	1.15	1.22	1.27
A	0.08	0.18	0.32	0.47	0.60	0.74	0.90	1.02	1.12	1.23	1.33	1.40	1.48	1.56	1.66
BBB	0.22	0.58	0.96	1.36	1.69	1.98	2.24	2.49	2.77	3.00	3.27	3.55	3.85	4.18	4.50
BB	0.58	1.42	2.31	3.12	3.84	4.56	5.11	5.46	5.77	6.03	6.36	6.62	6.72	6.78	6.83
B	2.48	5.10	7.12	8.57	9.76	10.84	11.56	12.31	13.09	13.83	14.65	15.21	15.67	16.17	16.55
CCC/C	17.23	22.31	25.07	27.02	28.36	29.06	30.04	31.34	31.92	32.54	32.54	32.88	33.65	34.49	34.95
Investment grade	0.10	0.26	0.46	0.67	0.86	1.04	1.20	1.35	1.48	1.61	1.74	1.85	1.97	2.10	2.22
Speculative grade	2.23	4.01	5.46	6.58	7.52	8.38	9.03	9.59	10.09	10.56	11.04	11.42	11.70	11.97	12.18
All rated	0.48	0.93	1.35	1.71	2.02	2.32	2.56	2.76	2.95	3.13	3.30	3.45	3.59	3.73	3.87
Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 14

Global Financial Services Average Cumulative Default Rates By Rating Modifier (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.04	0.21	0.38	0.55	0.72	0.81	0.89	0.93	0.98	1.02	1.06	1.11	1.16	1.20
AA+	0.00	0.07	0.07	0.07	0.07	0.07	0.07	0.16	0.25	0.34	0.43	0.53	0.63	0.74	0.85
AA	0.03	0.06	0.15	0.38	0.60	0.80	1.00	1.17	1.31	1.41	1.48	1.56	1.63	1.71	1.80
AA-	0.04	0.13	0.22	0.33	0.45	0.60	0.65	0.70	0.76	0.81	0.87	0.91	0.94	0.98	0.98
A+	0.03	0.05	0.16	0.23	0.31	0.37	0.45	0.54	0.61	0.69	0.77	0.85	0.94	1.04	1.18
A	0.10	0.24	0.38	0.55	0.65	0.83	1.02	1.12	1.27	1.42	1.49	1.57	1.65	1.74	1.83
A-	0.10	0.25	0.43	0.60	0.83	1.02	1.22	1.38	1.45	1.56	1.71	1.77	1.84	1.88	1.92
BBB+	0.09	0.26	0.45	0.71	0.87	1.04	1.29	1.49	1.71	1.91	2.20	2.43	2.67	2.94	3.24
BBB	0.24	0.65	0.92	1.26	1.61	2.06	2.29	2.54	2.81	2.97	3.15	3.39	3.60	3.72	3.84
BBB-	0.38	0.95	1.78	2.47	2.97	3.25	3.55	3.88	4.23	4.62	4.98	5.38	5.89	6.61	7.24
BB+	0.68	1.09	1.82	2.54	3.16	3.82	4.47	4.73	4.92	5.13	5.46	5.71	5.84	5.84	5.84
BB	0.43	1.34	2.15	2.51	3.13	3.63	3.90	4.28	4.70	4.93	5.18	5.46	5.46	5.46	5.46
BB-	0.63	1.85	2.98	4.35	5.27	6.28	7.02	7.42	7.75	8.12	8.52	8.81	8.97	9.16	9.38
B+	1.82	4.12	6.08	7.10	7.74	8.24	8.56	8.79	9.04	9.32	9.77	10.10	10.45	10.84	11.05
B	2.29	4.59	6.32	7.60	8.71	10.26	11.17	12.60	14.21	15.67	16.03	16.03	16.03	16.03	16.03
B-	3.75	7.36	9.93	12.32	14.53	15.84	16.94	17.53	17.97	18.48	20.67	22.50	23.91	25.52	26.84
CCC/C	17.23	22.31	25.07	27.02	28.36	29.06	30.04	31.34	31.92	32.54	32.54	32.88	33.65	34.49	34.95
Investment grade	0.10	0.26	0.46	0.67	0.86	1.04	1.20	1.35	1.48	1.61	1.74	1.85	1.97	2.10	2.22
Speculative grade	2.23	4.01	5.46	6.58	7.52	8.38	9.03	9.59	10.09	10.56	11.04	11.42	11.70	11.97	12.18
All rated	0.48	0.93	1.35	1.71	2.02	2.32	2.56	2.76	2.95	3.13	3.30	3.45	3.59	3.73	3.87
Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 15

Global Financial Services Average Cumulative Default Rates By Major Region (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
U.S.
AAA	0.00	0.07	0.26	0.46	0.66	0.85	0.92	0.99	1.05	1.12	1.18	1.25	1.32	1.39	1.46
AA	0.06	0.14	0.27	0.46	0.66	0.87	1.03	1.20	1.32	1.45	1.56	1.64	1.72	1.81	1.90
A	0.11	0.30	0.56	0.83	1.07	1.32	1.55	1.73	1.89	2.08	2.25	2.39	2.53	2.64	2.78
BBB	0.34	0.94	1.59	2.20	2.71	3.13	3.55	3.96	4.40	4.75	5.08	5.37	5.68	6.05	6.40
BB	0.95	2.54	4.35	5.90	7.03	8.52	9.54	10.37	11.06	11.70	12.46	13.06	13.27	13.39	13.51
B	2.96	6.87	10.02	11.85	13.56	15.11	15.90	16.52	17.33	18.06	18.85	19.20	19.58	19.99	20.21
CCC/C	28.71	35.29	38.85	40.93	42.51	43.62	45.30	46.99	46.99	46.99	46.99	46.99	46.99	46.99	46.99
Investment grade	0.15	0.41	0.73	1.06	1.35	1.63	1.87	2.09	2.30	2.49	2.67	2.82	2.97	3.13	3.29
Speculative grade	3.50	6.39	8.87	10.57	11.97	13.46	14.44	15.27	15.95	16.56	17.27	17.74	17.99	18.19	18.34
All rated	0.61	1.22	1.83	2.33	2.76	3.19	3.52	3.81	4.07	4.31	4.55	4.73	4.89	5.05	5.21
Other developed
AAA	0.00	0.00	0.44	0.88	1.33	1.77	2.22	2.67	2.67	2.67	2.67	2.67	2.67	2.67	2.67
AA	0.00	0.07	0.07	0.14	0.22	0.30	0.30	0.30	0.39	0.47	0.57	0.66	0.77	0.88	0.88
A	0.07	0.07	0.07	0.07	0.12	0.17	0.33	0.44	0.51	0.57	0.57	0.57	0.57	0.57	0.57
BBB	0.24	0.50	0.85	1.21	1.40	1.60	1.60	1.60	1.60	1.60	1.74	1.88	2.04	2.21	2.21
BB	0.64	1.64	2.33	3.05	3.80	4.19	4.61	4.61	4.61	4.61	4.61	4.61	4.61	4.61	4.61
B	7.44	12.88	15.85	20.11	22.46	25.01	25.01	25.01	25.01	25.01	25.01	25.01	25.01	25.01	25.01
CCC/C	24.14	27.93	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72	31.72
Investment grade	0.09	0.16	0.26	0.38	0.48	0.59	0.69	0.76	0.81	0.87	0.93	0.99	1.06	1.13	1.13
Speculative grade	3.89	6.17	7.61	9.12	10.17	11.00	11.29	11.29	11.29	11.29	11.29	11.29	11.29	11.29	11.29
All rated	0.37	0.61	0.81	1.03	1.21	1.37	1.48	1.55	1.59	1.65	1.70	1.76	1.83	1.90	1.90
Europe
AAA	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
AA	-	0.03	0.07	0.14	0.22	0.30	0.34	0.38	0.42	0.42	0.42	0.42	0.42	0.42	0.42
A	0.05	0.10	0.16	0.19	0.23	0.28	0.34	0.37	0.39	0.42	0.42	0.42	0.42	0.46	0.50
BBB	0.04	0.14	0.14	0.19	0.19	0.42	0.60	0.80	1.02	1.26	1.61	2.08	2.60	3.06	3.56
BB	-	-	-	-	0.85	0.85	0.85	0.85	0.85	0.85	0.85	0.85	0.85	0.85	0.85
B	2.01	3.10	3.89	4.33	4.81	4.81	4.81	4.81	4.81	4.81	4.81	4.81	4.81	4.81	4.81
CCC/C	20.51	36.41	47.01	57.61	57.61	57.61	57.61	57.61	57.61	57.61	57.61	57.61	57.61	57.61	57.61
Investment grade	0.03	0.09	0.12	0.17	0.21	0.29	0.37	0.43	0.49	0.54	0.59	0.67	0.75	0.83	0.93
Speculative grade	1.46	2.46	3.17	3.82	4.53	4.53	4.53	4.53	4.53	4.53	4.53	4.53	4.53	4.53	4.53
All rated	0.14	0.26	0.35	0.43	0.52	0.59	0.67	0.72	0.78	0.83	0.88	0.95	1.03	1.11	1.20
Emerging and frontier markets
AAA	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
AA	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
A	-	-	-	-	-	-	0.11	0.23	0.36	0.52	0.52	0.52	0.52	0.52	0.52
BBB	0.12	0.28	0.49	0.76	1.00	1.32	1.56	1.78	2.03	2.30	2.70	3.15	3.69	4.34	5.14
BB	0.45	0.92	1.39	1.84	2.38	2.71	3.01	3.08	3.15	3.15	3.15	3.15	3.15	3.15	3.15
B	1.86	3.54	4.82	5.92	6.74	7.50	8.26	9.17	10.00	10.82	11.74	12.50	13.06	13.69	14.22
CCC/C	6.61	9.95	12.03	14.16	15.49	15.96	16.46	17.57	18.90	20.30	20.30	21.08	22.74	24.53	25.50
Investment grade	0.08	0.18	0.31	0.48	0.64	0.84	1.04	1.22	1.42	1.65	1.92	2.22	2.59	3.05	3.63
Speculative grade	1.35	2.48	3.38	4.19	4.90	5.41	5.91	6.40	6.86	7.28	7.66	8.02	8.36	8.75	9.04
All rated	0.70	1.31	1.83	2.32	2.75	3.11	3.46	3.80	4.14	4.47	4.79	5.13	5.48	5.90	6.31
Includes the bank, NBFI, and insurance sectors. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Gini Ratios And Lorenz Curves

A quantitative analysis of the performance of S&P Global Ratings' credit ratings shows that ratings on financial services issuers correlate with the level of default risk across several time horizons. To measure ratings performance, we plotted the cumulative share of defaulters against the cumulative share of issuers by rating in a Lorenz curve to visually render the accuracy of the rank ordering (see Appendix III). Over the long term, the global weighted-average one-year Gini coefficient for banks is 83.34%, followed by insurance (74.64%) and NBFIs (73.98%), (see table 16).

Table 16

Global Average Gini Coefficients For Financials By Sector (1981-2021)
		--Time horizon--
Sector		One-year	Three-year	Five-year	Seven-year
Banks	Weighted average	83.34	75.95	71.85	68.17
	Average	89.04	82.98	77.77	72.50
	Standard deviation	(11.46)	(16.17)	(19.13)	(21.71)
NBFI	Weighted average	73.98	66.16	60.07	55.70
	Average	81.82	75.07	66.41	60.13
	Standard deviation	(19.33)	(19.26)	(24.74)	(24.35)
Insurance	Weighted average	74.64	57.20	44.39	40.25
	Average	81.54	72.32	59.04	53.30
	Standard deviation	(22.70)	(23.37)	(25.14)	(27.00)
Note: Numbers in parentheses are standard deviations. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

As expected, the Gini coefficients decline over time because longer time horizons allow for greater opportunity for credit degradation among higher-rated entities. For example, in the one-year global Lorenz curve, 82.81% of defaults occurred in the speculative-grade category, while speculative-grade ratings constituted only 18% of all financial services ratings. In the five-year Lorenz curve, speculative-grade issuers constituted 64% of defaulters and only 16.7% of the entire sample.

If the rank ordering of ratings had little predictive value, the cumulative share of defaulting corporate entities and the cumulative share of all entities at each rating would be nearly the same, producing a Gini ratio of zero (see charts 11-13). The quick deterioration of Gini ratios also reflects issuers' vulnerability to a loss of confidence, even among highly rated entities (as also shown in the path to default in chart 3). Among the three financial services sectors, insurance companies exhibit Gini ratios that are lower over the three-year horizon and longer, which reflects, in part, the four insurance companies that had previously been rated 'AAA' and eventually defaulted.

Appendix I: Detailed Default And Transition Statistics By Financial Services Sector

Bank rating action trends and ratings performance

Table 17

Summary Of Annual Bank Rating Action Trends (%)
Year	Issuers as of Jan. 1 (#)	Upgrades	Downgrades §	Defaults	Withdrawn Ratings	Changed Ratings	Unchanged ratings	Downgrade-to-upgrade ratio
1981	55	9.09	9.09	0.00	0.00	18.18	81.82	1.00
1982	58	5.17	18.97	0.00	0.00	24.14	75.86	3.67
1983	82	7.32	14.63	0.00	4.88	26.83	73.17	2.00
1984	98	4.08	25.51	0.00	1.02	30.61	69.39	6.25
1985	116	7.76	7.76	0.00	1.72	17.24	82.76	1.00
1986	190	6.32	11.58	0.00	3.68	21.58	78.42	1.83
1987	212	5.66	19.34	0.00	3.77	28.77	71.23	3.42
1988	249	13.25	12.45	2.01	4.42	32.13	67.87	0.94
1989	273	6.96	13.92	1.83	3.66	26.37	73.63	2.00
1990	294	1.70	33.67	1.36	2.38	39.12	60.88	19.80
1991	305	2.95	26.89	2.30	3.93	36.07	63.93	9.11
1992	314	6.69	12.42	2.23	2.87	24.20	75.80	1.86
1993	332	12.65	10.84	0.30	4.22	28.01	71.99	0.86
1994	357	7.84	8.68	0.00	3.92	20.45	79.55	1.11
1995	441	5.90	10.88	0.23	3.40	20.41	79.59	1.85
1996	475	7.37	6.74	0.00	7.58	21.68	78.32	0.91
1997	522	5.17	7.28	0.00	7.85	20.31	79.69	1.41
1998	589	5.77	16.13	1.19	14.94	38.03	61.97	2.79
1999	571	5.08	8.23	0.18	8.76	22.24	77.76	1.62
2000	617	9.08	6.32	0.00	6.32	21.72	78.28	0.70
2001	657	5.18	6.24	0.91	9.13	21.46	78.54	1.21
2002	669	7.32	13.75	0.75	6.13	27.95	72.05	1.88
2003	703	9.53	4.27	0.00	5.41	19.20	80.80	0.45
2004	754	12.47	2.52	0.13	6.63	21.75	78.25	0.20
2005	776	21.91	4.25	0.00	9.15	35.31	64.69	0.19
2006	787	23.38	0.89	0.00	7.50	31.77	68.23	0.04
2007	822	23.48	3.65	0.00	5.72	32.85	67.15	0.16
2008	857	7.35	15.40	0.93	5.37	29.05	70.95	2.10
2009	861	2.32	24.27	1.39	9.06	37.05	62.95	10.45
2010	823	7.41	9.60	0.24	6.93	24.18	75.82	1.30
2011	803	17.43	25.90	0.12	6.72	50.19	49.81	1.49
2012	809	4.57	17.80	0.12	7.42	29.91	70.09	3.89
2013	824	6.80	13.23	0.24	4.25	24.51	75.49	1.95
2014	856	7.13	12.62	0.12	4.09	23.95	76.05	1.77
2015	885	5.65	17.06	1.24	5.76	29.72	70.28	3.02
2016	884	7.01	11.76	0.79	7.01	26.58	73.42	1.68
2017	852	10.92	9.04	0.23	7.98	28.17	71.83	0.83
2018	836	10.53	7.66	0.12	4.19	22.49	77.51	0.73
2019	866	9.58	2.54	0.46	5.43	18.01	81.99	0.27
2020	861	1.16	12.20	0.23	4.88	18.47	81.53	10.50
2021	845	7.46	4.73	0.24	4.62	17.04	82.96	0.63
Average		8.40	12.21	0.49	5.43	26.53	73.47	2.65
Weighted average		9.03	11.15	0.46	6.23	26.86	73.14	2.38
Median		7.32	11.58	0.18	5.37	24.51	75.49	1.62
Standard deviation		5.19	7.37	0.68	2.79	7.10	7.10	3.73
Minimum		1.16	0.89	0.00	0.00	17.04	49.81	0.04
Maximum		23.48	33.67	2.30	14.94	50.19	82.96	19.80
*This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to 'D', shown separately in the default column. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Table 18

Global 2021 One-Year Transition Rates For Banks By Region (%)
From / to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
Global
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	88.68	11.32	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.75	95.90	1.49	0.00	0.00	0.00	0.00	1.87
BBB	0.00	0.00	4.20	88.11	1.75	0.00	0.00	0.00	5.94
BB	0.00	0.00	0.00	2.54	91.53	1.69	0.00	0.00	4.24
B	0.00	0.00	0.00	0.00	4.81	80.77	2.88	1.92	9.62
CCC/C	0.00	0.00	0.00	0.00	0.00	13.33	73.33	0.00	13.33
U.S. and tax havens
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	95.83	2.08	0.00	0.00	0.00	0.00	2.08
BBB	0.00	0.00	4.11	83.56	0.00	0.00	0.00	0.00	12.33
BB	0.00	0.00	0.00	0.00	90.91	0.00	0.00	0.00	9.09
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CCC/C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Europe
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	80.65	19.35	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.88	97.35	0.88	0.00	0.00	0.00	0.00	0.88
BBB	0.00	0.00	8.86	83.54	1.27	0.00	0.00	0.00	6.33
BB	0.00	0.00	0.00	4.55	86.36	4.55	0.00	0.00	4.55
B	0.00	0.00	0.00	0.00	0.00	66.67	0.00	11.11	22.22
CCC/C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Emerging and frontier markets
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	1.82	94.55	1.82	0.00	0.00	0.00	0.00	1.82
BBB	0.00	0.00	1.83	91.74	3.67	0.00	0.00	0.00	2.75
BB	0.00	0.00	0.00	2.30	93.10	1.15	0.00	0.00	3.45
B	0.00	0.00	0.00	0.00	5.15	80.41	3.09	1.03	10.31
CCC/C	0.00	0.00	0.00	0.00	0.00	14.29	71.43	0.00	14.29
Other developed
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	94.55	1.82	0.00	0.00	0.00	0.00	3.64
BBB	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
N/A--Not applicable. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 19

Global Average Transition Rates For Banks (1981-2021) (%)
From/to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
One-year
AAA	83.23	10.84	0.82	0.20	0.20	0.00	0.00	0.00	4.70
	(14.86)	(12.86)	(2.38)	(1.72)	(1.16)	(0.00)	(0.00)	(0.00)	(6.52)
AA	0.27	86.60	8.97	0.36	0.00	0.00	0.00	0.00	3.80
	(0.61)	(7.90)	(7.37)	(0.86)	(0.00)	(0.00)	(0.00)	(0.00)	(2.69)
A	0.02	1.99	88.42	4.28	0.23	0.05	0.00	0.04	4.97
	(0.24)	(1.94)	(6.20)	(4.22)	(0.80)	(0.16)	(0.00)	(0.13)	(2.90)
BBB	0.00	0.24	4.06	84.87	3.53	0.37	0.02	0.13	6.78
	(0.00)	(0.67)	(4.01)	(6.56)	(3.51)	(1.21)	(0.09)	(0.50)	(2.63)
BB	0.00	0.11	0.08	5.96	77.87	5.35	0.57	0.54	9.52
	(0.00)	(0.42)	(0.98)	(4.87)	(9.08)	(4.84)	(1.83)	(1.63)	(5.43)
B	0.00	0.00	0.05	0.20	6.48	78.59	3.04	2.63	9.01
	(0.00)	(0.00)	(0.66)	(0.78)	(5.91)	(9.39)	(5.23)	(4.95)	(4.27)
CCC/C	0.00	0.00	0.00	0.00	0.78	21.96	49.80	11.37	16.08
	(0.00)	(0.00)	(0.00)	(0.00)	(4.31)	(19.29)	(25.74)	(17.52)	(16.05)
Three-year
AAA	57.91	24.23	2.46	1.44	0.62	0.00	0.00	0.00	13.35
	(18.79)	(15.49)	(5.66)	(3.26)	(2.43)	(0.00)	(0.00)	(0.00)	(11.92)
AA	0.68	65.25	20.99	1.75	0.14	0.08	0.00	0.03	11.09
	(0.87)	(12.65)	(10.11)	(2.19)	(0.46)	(0.46)	(0.00)	(0.22)	(5.35)
A	0.03	4.93	69.75	9.03	1.36	0.27	0.06	0.19	14.36
	(0.29)	(4.08)	(9.54)	(4.79)	(2.35)	(0.60)	(0.27)	(0.48)	(5.40)
BBB	0.00	0.63	9.74	63.03	5.86	0.89	0.30	0.71	18.84
	(0.00)	(1.32)	(7.79)	(10.70)	(4.65)	(1.86)	(0.98)	(1.57)	(6.43)
BB	0.00	0.17	0.38	14.24	47.94	9.44	0.51	2.23	25.11
	(0.00)	(0.69)	(2.39)	(7.59)	(11.60)	(6.14)	(1.84)	(4.75)	(8.37)
B	0.00	0.00	0.00	0.86	13.89	51.66	3.94	6.91	22.74
	(0.00)	(0.00)	(0.00)	(2.16)	(9.94)	(13.37)	(4.56)	(10.10)	(8.77)
CCC/C	0.00	0.00	0.00	0.00	0.84	34.31	11.30	18.41	35.15
	(0.00)	(0.00)	(0.00)	(0.00)	(4.45)	(22.85)	(14.61)	(19.36)	(20.82)
Five-year
AAA	40.82	26.80	6.60	2.06	0.82	0.21	0.00	0.00	22.68
	(18.55)	(13.63)	(8.09)	(3.70)	(3.07)	(1.17)	(0.00)	(0.00)	(17.42)
AA	0.79	50.67	26.94	3.47	0.32	0.12	0.03	0.18	17.48
	(0.91)	(13.34)	(9.62)	(2.98)	(0.78)	(0.75)	(0.31)	(1.11)	(6.47)
A	0.01	6.43	56.59	11.35	2.18	0.35	0.07	0.39	22.63
	(0.07)	(4.66)	(10.07)	(4.93)	(2.73)	(0.61)	(0.21)	(0.72)	(6.54)
BBB	0.00	1.08	12.43	47.77	6.42	1.26	0.39	1.39	29.25
	(0.00)	(1.80)	(8.26)	(10.68)	(4.92)	(1.38)	(0.94)	(2.29)	(7.97)
BB	0.00	0.05	1.42	15.91	30.68	9.52	0.47	4.12	37.83
	(0.00)	(0.26)	(3.21)	(7.60)	(9.92)	(6.38)	(2.17)	(7.00)	(9.33)
B	0.00	0.13	0.00	2.32	14.92	36.60	2.85	9.88	33.29
	(0.00)	(1.06)	(0.00)	(3.63)	(9.90)	(14.37)	(3.11)	(12.54)	(11.50)
CCC/C	0.00	0.00	0.00	0.00	3.11	25.33	4.44	23.56	43.56
	(0.00)	(0.00)	(0.00)	(0.00)	(6.91)	(17.98)	(9.29)	(21.24)	(21.63)
10-year
AAA	17.09	23.84	14.35	5.49	0.21	0.00	0.00	0.00	39.03
	(10.63)	(8.20)	(7.94)	(6.86)	(1.64)	(0.00)	(0.00)	(0.00)	(16.41)
AA	0.32	30.14	30.62	5.96	0.23	0.13	0.00	0.45	32.16
	(0.58)	(10.13)	(7.51)	(4.13)	(0.56)	(0.28)	(0.00)	(2.13)	(5.95)
A	0.00	7.44	35.82	12.33	2.23	0.60	0.00	0.94	40.64
	(0.00)	(3.82)	(5.21)	(5.71)	(2.49)	(0.73)	(0.00)	(1.22)	(5.88)
BBB	0.00	1.62	12.33	27.40	4.90	1.37	0.68	3.36	48.33
	(0.00)	(2.78)	(5.64)	(9.34)	(3.81)	(0.72)	(1.15)	(2.88)	(9.40)
BB	0.00	0.00	3.02	14.00	13.71	8.40	0.07	7.32	53.48
	(0.00)	(0.00)	(3.86)	(7.97)	(10.93)	(6.42)	(0.27)	(10.46)	(10.26)
B	0.00	0.00	0.31	4.06	11.77	18.23	0.94	14.48	50.21
	(0.00)	(0.00)	(1.07)	(4.97)	(5.70)	(11.17)	(1.25)	(15.97)	(12.77)
CCC/C	0.00	0.00	0.00	1.30	5.84	14.94	0.65	22.73	54.55
	(0.00)	(0.00)	(0.00)	(3.96)	(12.47)	(16.30)	(4.70)	(24.22)	(22.03)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 20

Average One-Year Transition Rates For Global Banks By Rating Modifier (1981-2021) (%)
Rating	AAA	AA+	AA	AA-	A+	A	A-	BBB+	BBB	BBB-	BB+	BB	BB-	B+	B	B-	CCC/C	D	NR
AAA	83.23	7.77	2.66	0.41	0.20	0.41	0.20	0.00	0.20	0.00	0.20	0.00	0.00	0.00	0.00	0.00	0.00	0.00	4.70
	(14.9)	(9.4)	(6.5)	(1.3)	(1.2)	(1.9)	(1.0)	(0.0)	(1.7)	(0.0)	(1.2)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(6.5)
AA+	2.00	75.00	15.25	3.50	0.75	0.75	0.25	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.50
	(4.3)	(19.7)	(16.6)	(7.8)	(2.5)	(2.6)	(1.4)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(5.3)
AA	0.17	1.65	76.82	11.89	3.91	1.39	0.17	0.43	0.00	0.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.39
	(0.9)	(4.4)	(18.6)	(13.6)	(6.7)	(2.9)	(0.7)	(1.4)	(0.0)	(0.9)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(4.0)
AA-	0.00	0.00	3.90	79.29	9.26	2.52	0.48	0.19	0.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	4.28
	(0.0)	(0.0)	(5.7)	(11.2)	(7.7)	(4.6)	(1.1)	(1.3)	(0.6)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(3.0)
A+	0.00	0.08	0.32	5.08	76.99	9.92	1.57	0.32	0.40	0.12	0.04	0.12	0.00	0.04	0.00	0.00	0.00	0.00	5.00
	(0.0)	(0.4)	(0.7)	(5.6)	(12.2)	(8.7)	(2.6)	(0.7)	(0.9)	(0.7)	(0.3)	(1.0)	(0.0)	(0.3)	(0.0)	(0.0)	(0.0)	(0.0)	(3.7)
A	0.00	0.03	0.09	0.47	6.85	76.66	7.54	2.25	0.50	0.28	0.03	0.00	0.00	0.03	0.03	0.00	0.00	0.06	5.16
	(0.0)	(0.3)	(0.5)	(1.3)	(6.5)	(9.5)	(5.7)	(3.2)	(1.2)	(0.8)	(0.2)	(0.0)	(0.0)	(0.2)	(0.2)	(0.0)	(0.0)	(0.2)	(3.9)
A-	0.08	0.00	0.08	0.27	0.43	8.77	75.89	6.39	1.79	0.97	0.27	0.12	0.16	0.04	0.00	0.00	0.00	0.04	4.71
	(0.9)	(0.0)	(0.3)	(0.9)	(0.9)	(8.2)	(12.2)	(5.8)	(3.2)	(2.3)	(1.1)	(0.5)	(0.6)	(0.2)	(0.0)	(0.0)	(0.0)	(0.2)	(3.2)
BBB+	0.00	0.00	0.13	0.17	0.22	0.65	7.70	75.57	6.92	1.42	0.56	0.34	0.09	0.09	0.09	0.04	0.04	0.09	5.89
	(0.0)	(0.0)	(0.7)	(0.6)	(0.9)	(2.5)	(6.7)	(11.3)	(6.2)	(3.1)	(1.6)	(1.4)	(0.7)	(1.3)	(0.4)	(0.2)	(0.2)	(0.3)	(4.1)
BBB	0.00	0.05	0.10	0.10	0.05	0.30	1.36	10.08	73.70	5.44	1.51	0.65	0.25	0.15	0.10	0.00	0.00	0.15	5.99
	(0.0)	(0.8)	(0.6)	(0.5)	(0.3)	(1.6)	(2.7)	(7.7)	(11.3)	(7.1)	(2.6)	(1.4)	(1.4)	(1.0)	(0.7)	(0.0)	(0.0)	(0.8)	(3.5)
BBB-	0.00	0.06	0.00	0.06	0.06	0.24	0.18	1.04	10.23	69.69	6.25	1.78	0.49	0.49	0.06	0.18	0.00	0.18	9.00
	(0.0)	(0.4)	(0.0)	(0.6)	(0.8)	(0.7)	(1.0)	(2.2)	(7.4)	(11.1)	(6.8)	(3.3)	(1.1)	(2.2)	(0.8)	(2.5)	(0.0)	(0.7)	(4.8)
BB+	0.00	0.00	0.00	0.23	0.00	0.11	0.00	0.56	1.47	13.09	60.16	8.58	2.37	0.90	0.45	0.45	0.68	0.56	10.38
	(0.0)	(0.0)	(0.0)	(1.0)	(0.0)	(0.9)	(0.0)	(1.7)	(4.9)	(9.1)	(12.8)	(10.0)	(3.5)	(1.8)	(1.4)	(1.2)	(3.0)	(1.8)	(7.3)
BB	0.00	0.00	0.00	0.12	0.00	0.12	0.00	0.12	0.12	1.71	10.61	64.76	8.90	1.71	0.85	0.37	0.61	0.24	9.76
	(0.0)	(0.0)	(0.0)	(0.7)	(0.0)	(3.5)	(0.0)	(0.7)	(0.7)	(3.8)	(7.7)	(13.8)	(10.0)	(4.2)	(3.4)	(1.9)	(2.4)	(1.1)	(7.7)
BB-	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.22	0.44	2.75	7.14	68.79	7.36	2.75	0.88	0.44	0.77	8.46
	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.8)	(3.4)	(4.5)	(8.2)	(17.4)	(7.1)	(4.3)	(4.2)	(1.9)	(4.2)	(7.6)
B+	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.14	0.27	0.68	1.77	12.41	62.35	6.96	3.00	0.82	2.18	9.41
	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.6)	(2.0)	(2.6)	(3.9)	(10.4)	(13.6)	(7.3)	(4.8)	(3.3)	(4.4)	(7.2)
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.15	0.30	0.15	1.83	11.59	62.50	10.82	1.83	1.83	8.99
	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.9)	(1.5)	(2.8)	(4.3)	(11.6)	(14.8)	(11.4)	(5.6)	(7.4)	(6.8)
B-	0.00	0.00	0.00	0.00	0.00	0.17	0.00	0.00	0.00	0.00	0.00	0.34	0.34	2.90	13.97	62.52	7.16	4.09	8.52
	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(2.4)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(1.9)	(1.1)	(5.5)	(10.7)	(15.3)	(12.9)	(7.9)	(5.6)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.39	0.00	0.39	1.57	1.57	18.82	49.80	11.37	16.08
	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(0.0)	(3.6)	(0.0)	(2.4)	(5.1)	(5.5)	(18.5)	(25.7)	(17.5)	(16.0)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 21

Average One-Year Transition Rates by Major Region For Banks (1981-2021)
Rating	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
U.S.
AAA	74.19	15.05	2.15	0.00	1.08	0.00	0.00	0.00	7.53
	(26.83)	(21.55)	(4.13)	(0.00)	(6.03)	(0.00)	(0.00)	(0.00)	(15.86)
AA	0.08	85.56	8.98	0.59	0.00	0.00	0.00	0.00	4.79
	(0.42)	(11.86)	(9.18)	(1.47)	(0.00)	(0.00)	(0.00)	(0.00)	(5.01)
A	0.03	2.20	87.80	4.16	0.38	0.10	0.00	0.03	5.29
	(0.39)	(2.89)	(8.32)	(6.11)	(1.28)	(0.33)	(0.00)	(0.23)	(4.92)
BBB	0.00	0.33	3.63	85.16	2.56	0.60	0.00	0.33	7.40
	(0.00)	(0.82)	(3.78)	(8.00)	(3.84)	(1.93)	(0.00)	(1.26)	(4.48)
BB	0.00	0.59	0.39	7.89	70.81	6.90	1.58	0.79	11.05
	(0.00)	(2.50)	(2.20)	(8.00)	(15.29)	(9.10)	(3.52)	(2.26)	(9.87)
B	0.00	0.00	0.46	0.46	8.80	63.43	8.80	6.48	11.57
	(0.00)	(0.00)	(2.02)	(2.13)	(13.03)	(22.01)	(11.64)	(10.86)	(18.57)
CCC/C	0.00	0.00	0.00	0.00	3.85	9.62	38.46	26.92	21.15
	(0.00)	(0.00)	(0.00)	(0.00)	(9.02)	(21.12)	(33.49)	(26.11)	(22.08)
Europe
AAA	85.63	9.06	0.31	0.31	0.00	0.00	0.00	0.00	4.69
	(15.44)	(12.25)	(2.29)	(2.51)	(0.00)	(0.00)	(0.00)	(0.00)	(8.62)
AA	0.30	85.86	10.22	0.36	0.00	0.00	0.00	0.00	3.27
	(1.31)	(10.10)	(9.75)	(1.06)	(0.00)	(0.00)	(0.00)	(0.00)	(3.25)
A	0.03	2.28	87.11	4.57	0.22	0.00	0.00	0.06	5.74
	(0.14)	(2.85)	(7.65)	(5.50)	(0.82)	(0.00)	(0.00)	(0.19)	(3.40)
BBB	0.00	0.29	6.01	79.40	4.55	0.15	0.07	0.00	9.53
	(0.00)	(2.87)	(4.42)	(11.32)	(7.15)	(0.52)	(0.43)	(0.00)	(6.10)
BB	0.00	0.00	0.00	7.87	70.79	4.94	0.90	0.00	15.51
	(0.00)	(0.00)	(0.00)	(8.76)	(16.24)	(6.75)	(5.27)	(0.00)	(11.15)
B	0.00	0.00	0.00	2.19	12.41	64.96	0.73	2.92	16.79
	(0.00)	(0.00)	(0.00)	(6.55)	(14.14)	(22.48)	(4.28)	(7.80)	(20.67)
CCC/C	0.00	0.00	0.00	0.00	0.00	22.22	59.26	14.81	3.70
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(40.46)	(49.20)	(37.98)	(20.19)
Emerging and frontier markets
AAA	92.31	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.69
	27.74	0.00	0.00	0.00	0.00	0.00	0.00	0.00	27.74
AA	0.00	87.65	9.88	0.00	0.00	0.00	0.00	0.00	2.47
	(0.00)	(17.34)	(17.32)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(7.18)
A	0.00	0.99	92.30	4.72	0.00	0.00	0.00	0.00	1.99
	(0.00)	(1.82)	(8.21)	(7.84)	(0.00)	(0.00)	(0.00)	(0.00)	(2.12)
BBB	0.00	0.05	1.80	88.39	5.14	0.21	0.00	0.05	4.35
	(0.00)	(0.29)	(3.74)	(8.44)	(6.31)	(1.82)	(0.00)	(0.23)	(2.64)
BB	0.00	0.00	0.00	4.67	81.89	5.27	0.41	0.59	7.16
	(0.00)	(0.00)	(0.00)	(4.51)	(8.52)	(4.67)	(1.63)	(2.37)	(5.92)
B	0.00	0.00	0.00	0.12	5.68	81.60	2.33	2.03	8.24
	(0.00)	(0.00)	(0.00)	(0.45)	(6.55)	(7.16)	(3.50)	(3.95)	(4.30)
CCC/C	0.00	0.00	0.00	0.00	0.00	24.62	53.27	7.54	14.57
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(19.02)	(24.23)	(13.38)	(15.37)
Other developed
AAA	82.54	15.87	1.59	0.00	0.00	0.00	0.00	0.00	0.00
	(33.91)	(32.26)	(12.72)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)
AA	0.57	90.03	5.84	0.00	0.00	0.00	0.00	0.00	3.56
	(2.71)	(8.59)	(7.06)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(5.08)
A	0.00	1.33	90.59	3.63	0.07	0.07	0.00	0.00	4.30
	(0.00)	(2.63)	(8.85)	(7.34)	(0.45)	(0.43)	(0.00)	(0.00)	(3.87)
BBB	0.00	0.29	7.61	84.48	1.29	0.43	0.00	0.00	5.89
	(0.00)	(2.83)	(12.70)	(13.27)	(5.31)	(1.75)	(0.00)	(0.00)	(6.06)
BB	0.00	0.00	0.00	11.29	73.39	0.81	0.00	0.00	14.52
	(0.00)	(0.00)	(0.00)	(15.01)	(24.43)	(3.37)	(0.00)	(0.00)	(17.63)
B	0.00	0.00	0.00	0.00	18.52	62.96	3.70	0.00	14.81
	(0.00)	(0.00)	(0.00)	(0.00)	(30.73)	(39.42)	(10.78)	(0.00)	(30.73)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
	n/a	n/a	n/a	n/a	n/a	n/a	n/a	n/a	n/a
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 22

Average Cumulative Default Rates For Global Banks (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.00	0.03	0.09	0.17	0.26	0.32	0.39	0.39	0.42	0.42	0.42	0.42	0.42	0.42
A	0.04	0.10	0.19	0.27	0.37	0.47	0.56	0.64	0.72	0.79	0.82	0.86	0.90	0.97	1.04
BBB	0.13	0.40	0.68	1.01	1.26	1.55	1.83	2.08	2.32	2.58	2.92	3.28	3.64	3.99	4.36
BB	0.54	1.30	2.14	2.94	3.75	4.47	4.80	4.93	4.99	5.14	5.22	5.31	5.31	5.31	5.31
B	2.63	5.04	6.64	8.06	9.26	10.21	11.16	12.21	13.35	14.29	15.32	16.08	16.63	17.23	17.72
CCC/C	11.37	15.57	18.09	20.67	22.47	22.94	23.44	24.52	25.12	25.74	25.74	26.40	27.79	29.23	29.98
Investment grade	0.06	0.17	0.31	0.46	0.60	0.75	0.88	1.00	1.11	1.21	1.32	1.43	1.54	1.66	1.78
Speculative grade	1.96	3.57	4.81	5.96	6.98	7.77	8.35	8.89	9.41	9.89	10.33	10.71	11.02	11.35	11.59
All rated	0.46	0.88	1.24	1.59	1.90	2.17	2.38	2.57	2.75	2.91	3.07	3.22	3.36	3.51	3.65
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 23

Average Cumulative Default Rates For Global Banks By Rating Modifier (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA+	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.00	0.00	0.00	0.09	0.18	0.36	0.45	0.45	0.55	0.55	0.55	0.55	0.55	0.55
AA-	0.00	0.00	0.05	0.15	0.25	0.36	0.36	0.42	0.42	0.42	0.42	0.42	0.42	0.42	0.42
A+	0.00	0.00	0.09	0.13	0.18	0.18	0.18	0.23	0.28	0.33	0.39	0.45	0.51	0.58	0.73
A	0.06	0.16	0.23	0.30	0.33	0.48	0.60	0.64	0.73	0.77	0.77	0.82	0.88	0.93	0.93
A-	0.04	0.12	0.24	0.37	0.60	0.74	0.89	1.04	1.15	1.26	1.32	1.32	1.32	1.39	1.46
BBB+	0.09	0.27	0.31	0.42	0.42	0.47	0.72	0.92	1.13	1.28	1.61	1.95	2.40	2.79	3.11
BBB	0.15	0.36	0.48	0.77	1.02	1.48	1.69	1.91	2.14	2.40	2.67	2.96	3.07	3.18	3.30
BBB-	0.18	0.63	1.43	2.13	2.72	3.10	3.50	3.86	4.14	4.56	5.00	5.49	6.03	6.60	7.38
BB+	0.56	0.80	1.52	2.03	2.43	2.86	3.01	3.01	3.01	3.01	3.01	3.01	3.01	3.01	3.01
BB	0.24	1.13	1.65	2.07	3.10	3.58	3.58	3.78	3.78	3.78	3.78	4.05	4.05	4.05	4.05
BB-	0.77	1.95	3.23	4.75	5.78	7.05	7.92	8.11	8.33	8.81	9.07	9.07	9.07	9.07	9.07
B+	2.18	4.34	5.86	6.51	7.21	7.77	8.38	8.83	9.30	9.30	9.30	9.30	9.30	9.30	9.30
B	1.83	3.91	4.78	5.93	6.76	7.65	8.86	11.01	13.42	15.72	16.09	16.09	16.09	16.09	16.09
B-	4.09	7.18	9.72	12.42	14.67	16.19	17.32	17.94	18.62	19.38	22.72	25.48	27.60	29.91	31.81
CCC/C	11.37	15.57	18.09	20.67	22.47	22.94	23.44	24.52	25.12	25.74	25.74	26.40	27.79	29.23	29.98
Investment grade	0.06	0.17	0.31	0.46	0.60	0.75	0.88	1.00	1.11	1.21	1.32	1.43	1.54	1.66	1.78
Speculative grade	1.96	3.57	4.81	5.96	6.98	7.77	8.35	8.89	9.41	9.89	10.33	10.71	11.02	11.35	11.59
All rated	0.46	0.88	1.24	1.59	1.90	2.17	2.38	2.57	2.75	2.91	3.07	3.22	3.36	3.51	3.65
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 24

Time To Default From Original Rating For Global Bank Defaulters (1981-2021)
Original rating	Defaults	Average years from original rating*	Median years from original rating	Standard deviation of years from original rating
AAA
AA	5	12.10	7.81	9.34
A	8	12.24	6.37	10.08
BBB	22	8.66	7.49	5.68
BB	31	7.16	5.49	6.67
B	48	3.65	2.25	4.06
CCC/C	15	4.42	2.16	5.10
Or Dec. 31, 1980, whichever is later. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Nonbank financial institutions rating action trends and ratings performance

Table 25

Summary Of Annual NBFI Rating Action Trends (%)
Year	Issuers as of Jan. 1 (#)	Upgrades	Downgrades	Defaults §	Withdrawn ratings	Changed ratings	Unchanged ratings	Downgrade-to-upgrade ratio
1981	32	12.5	18.75	0	6.25	37.5	62.5	1.5
1982	32	9.38	21.88	3.13	6.25	40.63	59.38	2.33
1983	33	0	12.12	0	6.06	18.18	81.82	N/A
1984	37	10.81	10.81	0	0	21.62	78.38	1
1985	39	7.69	5.13	0	10.26	23.08	76.92	0.67
1986	43	11.63	11.63	0	6.98	30.23	69.77	1
1987	48	12.5	18.75	0	0	31.25	68.75	1.5
1988	50	8	16	0	8	32	68	2
1989	52	7.69	7.69	7.69	1.92	25	75	1
1990	54	5.56	14.81	0	1.85	22.22	77.78	2.67
1991	59	3.39	16.95	0	1.69	22.03	77.97	5
1992	60	6.67	23.33	0	5	35	65	3.5
1993	67	7.46	7.46	0	1.49	16.42	83.58	1
1994	88	4.55	15.91	0	6.82	27.27	72.73	3.5
1995	107	6.54	11.21	1.87	0.93	20.56	79.44	1.71
1996	128	5.47	2.34	0	8.59	16.41	83.59	0.43
1997	145	6.21	6.9	1.38	6.9	21.38	78.62	1.11
1998	164	3.05	14.02	1.83	8.54	27.44	72.56	4.6
1999	158	4.43	7.59	0.63	17.09	29.75	70.25	1.71
2000	167	8.38	8.98	0.6	7.78	25.75	74.25	1.07
2001	172	3.49	9.3	3.49	6.98	23.26	76.74	2.67
2002	195	8.21	13.33	0.51	5.64	27.69	72.31	1.63
2003	215	6.05	6.51	1.4	12.56	26.51	73.49	1.08
2004	218	5.05	4.59	0	10.09	19.72	80.28	0.91
2005	221	12.22	4.07	0.45	9.05	25.79	74.21	0.33
2006	235	14.89	0.85	0	14.04	29.79	70.21	0.06
2007	261	14.56	8.43	1.15	6.13	30.27	69.73	0.58
2008	298	9.73	16.11	3.02	9.4	38.26	61.74	1.66
2009	311	1.93	16.08	3.86	12.54	34.41	65.59	8.33
2010	304	5.92	5.26	2.96	9.54	23.68	76.32	0.89
2011	321	9.35	14.95	1.25	9.35	34.89	65.11	1.6
2012	333	4.2	8.41	0.9	10.21	23.72	76.28	2
2013	339	9.14	9.73	0.29	7.96	27.14	72.86	1.06
2014	379	8.18	10.29	0.53	10.82	29.82	70.18	1.26
2015	399	5.76	9.27	0	5.51	20.55	79.45	1.61
2016	431	7.42	7.89	1.86	6.96	24.13	75.87	1.06
2017	465	9.46	7.31	0.86	8.82	26.45	73.55	0.77
2018	467	8.14	7.28	1.07	9.42	25.91	74.09	0.89
2019	469	7.25	4.69	0.85	5.76	18.55	81.45	0.65
2020	479	1.04	17.95	0.42	6.26	25.68	74.32	17.2
2021	488	8.2	4.3	0.2	6.56	19.26	80.74	0.53
Average		7.37	10.7	1.03	7.22	26.32	73.68	2.1
Weighted average		7.25	9.39	1.07	8.19	25.9	74.1	2.41
Median		7.46	9.3	0.51	6.98	25.79	74.21	1.26
Standard deviation		3.4	5.41	1.52	3.72	5.96	5.96	2.88
Minimum		0	0.85	0	0	16.41	59.38	0.06
Maximum		14.89	23.33	7.69	17.09	40.63	83.59	17.2
N/A--Not applicable. *This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to 'D', shown separately in the default column. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Table 26

Global 2021 One-Year Transition Rates For NBFI By Region (%)
From / to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
Global
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	94.17	1.94	0.00	0.00	0.00	0.00	3.88
BBB	0.00	0.00	2.55	91.72	1.91	0.64	0.00	0.00	3.18
BB	0.00	0.00	0.00	0.00	85.86	3.03	0.00	0.00	11.11
B	0.00	0.00	0.00	1.28	8.97	74.36	1.28	1.28	12.82
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	66.67	0.00	33.33
U.S. and tax havens
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	96.67	0.00	0.00	0.00	0.00	0.00	3.33
BBB	0.00	0.00	3.77	90.57	1.89	0.00	0.00	0.00	3.77
BB	0.00	0.00	0.00	0.00	87.80	0.00	0.00	0.00	12.20
B	0.00	0.00	0.00	0.00	8.33	86.11	0.00	0.00	5.56
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	33.33	0.00	66.67
Europe
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	90.32	6.45	0.00	0.00	0.00	0.00	3.23
BBB	0.00	0.00	12.50	81.25	0.00	0.00	0.00	0.00	6.25
BB	0.00	0.00	0.00	0.00	90.91	9.09	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	21.43	50.00	7.14	0.00	21.43
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
Emerging and frontier markets
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.00	92.50	2.50	1.25	0.00	0.00	3.75
BB	0.00	0.00	0.00	0.00	80.95	4.76	0.00	0.00	14.29
B	0.00	0.00	0.00	4.17	12.50	70.83	0.00	4.17	8.33
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
Other developed
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	91.67	0.00	0.00	0.00	0.00	0.00	8.33
BBB	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	62.50	0.00	0.00	37.50
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
N/A--Not applicable. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 27

Global Average Transition Rates For NBFI (1981-2021) (%)
From/to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
One-year
AAA	89.32	6.20	0.00	0.21	0.00	0.00	0.00	0.00	4.27
	(17.91)	(16.48)	(0.00)	(2.69)	(0.00)	(0.00)	(0.00)	(0.00)	(6.74)
AA	0.60	89.57	6.16	0.20	0.00	0.00	0.00	0.10	3.38
	(1.88)	(9.53)	(7.47)	(1.02)	(0.00)	(0.00)	(0.00)	(0.49)	(4.34)
A	0.05	1.21	88.37	3.88	0.00	0.05	0.05	0.15	6.25
	(0.39)	(3.20)	(5.89)	(3.43)	(0.00)	(0.33)	(0.34)	(0.77)	(4.98)
BBB	0.00	0.13	2.56	87.18	2.83	0.40	0.09	0.49	6.32
	(0.00)	(1.56)	(2.43)	(6.90)	(3.64)	(1.07)	(0.74)	(1.34)	(3.52)
BB	0.00	0.00	0.07	3.20	78.83	4.70	0.41	0.68	12.12
	(0.00)	(0.00)	(0.51)	(4.74)	(8.60)	(5.11)	(1.59)	(1.56)	(7.76)
B	0.00	0.00	0.00	0.44	5.81	73.24	3.79	2.64	14.08
	(0.00)	(0.00)	(0.00)	(1.95)	(4.64)	(9.35)	(4.27)	(5.12)	(7.02)
CCC/C	0.00	0.00	0.00	0.00	0.63	10.76	41.77	23.42	23.42
	(0.00)	(0.00)	(0.00)	(0.00)	(3.00)	(13.26)	(19.74)	(22.61)	(20.52)
Three-year
AAA	70.26	17.24	0.00	0.22	0.00	0.00	0.00	0.00	12.28
	(27.11)	(27.30)	(0.00)	(2.71)	(0.00)	(0.00)	(0.00)	(0.00)	(9.91)
AA	1.53	71.57	14.92	0.87	0.22	0.00	0.00	0.33	10.57
	(2.78)	(17.60)	(12.81)	(2.79)	(0.85)	(0.00)	(0.00)	(1.00)	(7.58)
A	0.16	2.75	68.75	9.54	0.27	0.22	0.11	0.59	17.62
	(0.78)	(4.51)	(10.83)	(5.49)	(1.13)	(0.62)	(0.81)	(1.56)	(10.60)
BBB	0.00	0.26	6.64	66.75	4.80	1.02	0.05	1.94	18.54
	(0.00)	(2.10)	(4.59)	(10.88)	(4.54)	(1.67)	(0.29)	(3.40)	(6.60)
BB	0.00	0.00	0.32	7.38	50.48	6.43	0.95	3.02	31.43
	(0.00)	(0.00)	(1.47)	(6.68)	(12.22)	(5.09)	(3.26)	(5.05)	(11.37)
B	0.00	0.00	0.00	1.62	10.81	42.93	3.64	9.19	31.82
	(0.00)	(0.00)	(0.00)	(4.38)	(6.70)	(11.45)	(3.34)	(8.93)	(11.27)
CCC/C	0.00	0.00	0.00	0.00	0.67	16.67	5.33	34.00	43.33
	(0.00)	(0.00)	(0.00)	(0.00)	(3.08)	(13.32)	(14.58)	(24.03)	(27.97)
Five-year
AAA	53.70	26.96	0.00	0.22	0.00	0.00	0.00	0.00	19.13
	(28.71)	(30.45)	(0.00)	(2.72)	(0.00)	(0.00)	(0.00)	(0.00)	(11.01)
AA	2.18	56.61	21.45	1.21	0.24	0.00	0.00	0.36	17.94
	(3.19)	(20.98)	(14.85)	(3.93)	(0.77)	(0.00)	(0.00)	(1.05)	(10.99)
A	0.30	3.26	55.53	11.66	0.73	0.36	0.18	1.27	26.71
	(1.11)	(3.50)	(11.81)	(5.77)	(2.13)	(0.80)	(0.87)	(2.17)	(12.99)
BBB	0.00	0.48	7.69	52.24	4.89	0.78	0.00	3.70	30.23
	(0.00)	(2.94)	(5.11)	(11.51)	(3.87)	(1.51)	(0.00)	(4.86)	(8.00)
BB	0.00	0.00	0.56	9.32	33.24	5.84	0.28	5.08	45.67
	(0.00)	(0.00)	(3.08)	(6.30)	(11.20)	(3.56)	(1.94)	(6.40)	(11.17)
B	0.00	0.00	0.00	2.25	10.66	27.25	2.37	12.80	44.67
	(0.00)	(0.00)	(0.00)	(6.41)	(6.86)	(10.65)	(3.09)	(10.16)	(14.20)
CCC/C	0.00	0.00	0.00	1.46	1.46	13.14	0.73	32.85	50.36
	(0.00)	(0.00)	(0.00)	(3.58)	(4.63)	(10.53)	(3.00)	(23.86)	(26.53)
10-year
AAA	25.73	44.24	0.45	0.00	0.00	0.00	0.00	0.00	29.57
	(23.94)	(31.89)	(1.30)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(16.95)
AA	3.09	25.77	29.04	3.44	0.00	0.17	0.00	0.86	37.63
	(4.52)	(15.65)	(15.11)	(6.68)	(0.00)	(1.01)	(0.00)	(1.74)	(17.47)
A	0.41	4.87	36.28	7.95	1.70	0.57	0.08	3.57	44.56
	(1.27)	(3.72)	(12.29)	(4.04)	(2.76)	(0.95)	(0.41)	(3.32)	(12.51)
BBB	0.00	0.73	7.36	29.82	3.09	1.45	0.00	8.09	49.45
	(0.00)	(4.39)	(5.66)	(10.57)	(2.47)	(1.98)	(0.00)	(6.62)	(8.36)
BB	0.00	0.00	1.00	13.34	11.62	3.59	0.29	9.04	61.12
	(0.00)	(0.00)	(3.16)	(6.08)	(6.91)	(5.52)	(1.06)	(7.00)	(11.21)
B	0.00	0.00	0.60	2.80	5.00	11.80	0.20	16.00	63.60
	(0.00)	(0.00)	(5.84)	(7.27)	(5.82)	(4.15)	(0.79)	(13.85)	(14.78)
CCC/C	0.00	0.00	0.00	1.08	2.15	2.15	0.00	37.63	56.99
	(0.00)	(0.00)	(0.00)	(2.43)	(5.33)	(5.52)	(0.00)	(21.63)	(18.93)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 28

Average One-Year Transition Rates For Global NBFI By Rating Modifier (1981-2021) (%)
Rating	AAA	AA+	AA	AA-	A+	A	A-	BBB+	BBB	BBB-	BB+	BB	BB-	B+	B	B-	CCC/C	D	NR
AAA	89.32	5.56	0.43	0.21	0	0	0	0	0.21	0	0	0	0	0	0	0	0	0	4.27
	-17.91	-16.23	-2.9	-2.69	0	0	0	0	-2.69	0	0	0	0	0	0	0	0	0	-6.74
AA+	1.13	88.68	6.42	1.51	0.38	0	0	0	0	0	0	0	0	0	0	0	0	0	1.89
	-4.03	-19.05	-13.2	-7.62	-2.51	0	0	0	0	0	0	0	0	0	0	0	0	0	-5.14
AA	0.99	2.32	81.13	7.28	1.99	0.66	0.33	0.33	0	0	0	0	0	0	0	0	0	0	4.97
	-3.94	-6.43	-16.59	-11.62	-4.36	-2.38	-2.03	-2.89	0	0	0	0	0	0	0	0	0	0	-7.52
AA-	0	0.23	3.41	80.91	9.32	2.27	0.23	0.23	0	0	0	0	0	0	0	0	0	0.23	3.18
	0	-1.44	-8.47	-17.44	-10.69	-6.29	-0.94	-1.37	0	0	0	0	0	0	0	0	0	-1.15	-5.95
A+	0	0	0.31	2.96	80.5	8.27	0.47	0.47	0.31	0	0	0	0	0	0	0	0	0.16	6.55
	0	0	-1.38	-7.36	-13.36	-7.92	-1.82	-1.5	-1.34	0	0	0	0	0	0	0	0	-0.9	-7.11
A	0	0	0	0.24	5.2	80.97	4.96	1.77	0.47	0.12	0	0	0	0	0	0	0	0	6.26
	0	0	0	-1.5	-7.92	-12.26	-6.94	-3.46	-2.06	-1.09	0	0	0	0	0	0	0	0	-5.21
A-	0.17	0	0	0.35	0.17	7.12	76.04	7.81	1.39	0.35	0	0	0	0	0.17	0	0.17	0.35	5.9
	-1.88	0	0	-1.44	-1.16	-8.59	-13.43	-9.31	-2.68	-2.23	0	0	0	0	-1.21	0	-1.32	-2.1	-8.24
BBB+	0	0	0	0.27	0.4	0.4	5.65	76.88	9.41	1.61	0.13	0.13	0.13	0	0.13	0	0.27	0.27	4.3
	0	0	0	-2.33	-1.27	-2.81	-4.38	-13.91	-9.38	-4.45	-0.5	-0.8	-0.64	0	-1.02	0	-1.96	-2.1	-6.82
BBB	0	0	0	0.11	0.34	0	0.57	8.62	76.55	5.17	0.8	0.34	0.34	0.23	0	0.11	0	0.46	6.32
	0	0	0	-2.42	-2.36	0	-2.37	-7.92	-12.65	-6.91	-2.9	-1.95	-1.83	-0.95	0	-0.58	0	-1.84	-4.91
BBB-	0	0	0	0	0.15	0.15	0	0.46	8.49	73.15	4.94	1.85	0.62	0.62	0	0.15	0	0.77	8.64
	0	0	0	0	-1.14	-1.77	0	-1.21	-7.29	-11.9	-6.31	-5	-4.65	-2.42	0	-0.98	0	-2.49	-7.37
BB+	0	0	0	0	0.24	0	0	0	0.97	5.81	70.22	8.23	1.45	0.97	0.24	0	0.24	0.73	10.9
	0	0	0	0	-1.65	0	0	0	-3.51	-11.22	-12.45	-9.07	-3.39	-3.64	-1.09	0	-1.19	-2.56	-9.55
BB	0	0	0	0	0	0	0	0.44	0.89	2	7.11	66.67	7.11	1.33	0.89	0	0.67	0.67	12.22
	0	0	0	0	0	0	0	-2.72	-6.89	-5.23	-8.67	-15.81	-9.39	-3.5	-5.72	0	-3.22	-2.55	-11.5
BB-	0	0	0	0	0	0	0	0	0.17	0.5	0.66	5.94	69.97	6.44	1.98	0.5	0.33	0.66	12.87
	0	0	0	0	0	0	0	0	-1.05	-2.49	-2.45	-8.31	-15.11	-7.51	-4.79	-2.34	-2.11	-1.7	-10.2
B+	0	0	0	0	0	0	0	0	0	0.44	0	0.89	12.44	59.56	9.78	1.78	1.33	0.89	12.89
	0	0	0	0	0	0	0	0	0	-4.84	0	-3.82	-10.47	-13.75	-7.99	-4.62	-2.96	-2.55	-8.55
B	0	0	0	0	0	0	0	0	0	0.46	0	0.23	0.68	9.11	58.09	7.97	4.56	3.87	15.03
	0	0	0	0	0	0	0	0	0	-1.14	0	-1.33	-2.3	-8.78	-13.4	-7.23	-5.32	-7.63	-10.69
B-	0	0	0	0	0	0	0	0	0.4	0	0.4	0	0.4	0.81	10.93	61.94	6.88	3.64	14.57
	0	0	0	0	0	0	0	0	-2.87	0	-2.25	0	-2.25	-2.37	-12.88	-18.67	-11.77	-11.03	-11.99
CCC/C	0	0	0	0	0	0	0	0	0	0	0	0	0.63	0.63	1.27	8.86	41.77	23.42	23.42
	0	0	0	0	0	0	0	0	0	0	0	0	-3	-4	-3.66	-13.53	-19.74	-22.61	-20.52
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 29

Average One-Year Transition Rates by Major Region For NBFI (1981-2021)
Rating	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
U.S.
AAA	89.36	6.99	0.00	0.30	0.00	0.00	0.00	0.00	3.34
	(23.75)	(21.66)	(0.00)	(3.22)	(0.00)	(0.00)	(0.00)	(0.00)	(6.79)
AA	0.62	90.44	6.03	0.00	0.00	0.00	0.00	0.21	2.70
	(3.04)	(13.94)	(10.40)	(0.00)	(0.00)	(0.00)	(0.00)	(1.26)	(8.08)
A	0.10	1.33	88.69	4.69	0.00	0.10	0.10	0.20	4.79
	(0.68)	(3.87)	(8.91)	(5.53)	(0.00)	(0.58)	(0.63)	(1.25)	(5.30)
BBB	0.00	0.29	2.87	86.25	2.67	0.67	0.19	0.57	6.49
	(0.00)	(2.29)	(3.52)	(9.46)	(5.10)	(1.90)	(1.17)	(1.61)	(5.23)
BB	0.00	0.00	0.17	3.66	77.18	6.79	0.70	1.05	10.45
	(0.00)	(0.00)	(1.48)	(7.18)	(13.73)	(8.65)	(2.94)	(3.09)	(8.86)
B	0.00	0.00	0.00	0.66	5.32	75.75	4.49	2.99	10.80
	(0.00)	(0.00)	(0.00)	(3.28)	(6.66)	(12.53)	(5.29)	(7.07)	(8.40)
CCC/C	0.00	0.00	0.00	0.00	1.20	13.25	39.76	30.12	15.66
	(0.00)	(0.00)	(0.00)	(0.00)	(4.85)	(16.43)	(28.15)	(29.72)	(26.66)
Europe
AAA	91.46	3.66	0.00	0.00	0.00	0.00	0.00	0.00	4.88
	(14.92)	(10.78)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(11.97)
AA	0.31	88.54	6.81	0.62	0.00	0.00	0.00	0.00	3.72
	(1.33)	(12.08)	(9.53)	(2.94)	(0.00)	(0.00)	(0.00)	(0.00)	(5.78)
A	0.00	1.44	86.86	2.67	0.00	0.00	0.00	0.00	9.03
	(0.00)	(4.27)	(8.41)	(4.53)	(0.00)	(0.00)	(0.00)	(0.00)	(8.94)
BBB	0.00	0.00	4.06	83.39	3.32	0.00	0.00	0.00	9.23
	(0.00)	(0.00)	(6.64)	(14.95)	(5.48)	(0.00)	(0.00)	(0.00)	(11.63)
BB	0.00	0.00	0.00	2.88	74.04	7.69	0.00	0.00	15.38
	(0.00)	(0.00)	(0.00)	(8.59)	(24.46)	(10.76)	(0.00)	(0.00)	(22.54)
B	0.00	0.00	0.00	0.00	7.63	74.05	2.29	1.53	14.50
	(0.00)	(0.00)	(0.00)	(0.00)	(6.46)	(21.41)	(3.48)	(2.91)	(20.15)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	33.33	50.00	16.67
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(43.03)	(47.14)	(43.03)
Emerging and frontier markets
AAA	85.71	14.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00
	(37.80)	(37.80)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)
AA	5.88	88.24	0.00	0.00	0.00	0.00	0.00	0.00	5.88
	(24.25)	(33.21)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(24.25)
A	0.00	0.00	92.21	5.84	0.00	0.00	0.00	0.00	1.95
	(0.00)	(0.00)	(11.99)	(11.14)	(0.00)	(0.00)	(0.00)	(0.00)	(6.05)
BBB	0.00	0.00	0.72	91.54	3.30	0.14	0.00	0.29	4.02
	(0.00)	(0.00)	(1.48)	(8.52)	(6.42)	(0.41)	(0.00)	(2.71)	(4.68)
BB	0.00	0.00	0.00	2.95	81.00	2.65	0.29	0.29	12.81
	(0.00)	(0.00)	(0.00)	(3.65)	(9.32)	(3.45)	(1.21)	(0.93)	(10.11)
B	0.00	0.00	0.00	0.27	6.47	71.43	2.96	1.35	17.52
	(0.00)	(0.00)	(0.00)	(1.05)	(6.34)	(13.03)	(8.27)	(2.78)	(10.98)
CCC/C	0.00	0.00	0.00	0.00	0.00	9.43	49.06	3.77	37.74
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(19.78)	(25.14)	(12.08)	(26.02)
Other developed
AAA	86.00	4.00	0.00	0.00	0.00	0.00	0.00	0.00	10.00
	(28.11)	(17.14)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(24.07)
AA	0.54	89.25	5.91	0.00	0.00	0.00	0.00	0.00	4.30
	(2.76)	(15.81)	(10.95)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(11.26)
A	0.00	1.13	87.98	2.72	0.00	0.00	0.00	0.23	7.94
	(0.00)	(3.41)	(11.55)	(4.90)	(0.00)	(0.00)	(0.00)	(3.40)	(10.56)
BBB	0.00	0.00	4.78	82.87	1.59	0.40	0.00	1.20	9.16
	(0.00)	(0.00)	(7.36)	(15.35)	(4.93)	(2.59)	(0.00)	(3.40)	(11.42)
BB	0.00	0.00	0.00	2.52	79.83	3.36	0.00	1.68	12.61
	(0.00)	(0.00)	(0.00)	(5.23)	(20.21)	(11.21)	(0.00)	(6.00)	(16.89)
B	0.00	0.00	0.00	0.00	4.05	67.57	2.70	8.11	17.57
	(0.00)	(0.00)	(0.00)	(0.00)	(8.36)	(28.94)	(7.47)	(21.18)	(26.75)
CCC/C	0.00	0.00	0.00	0.00	0.00	5.88	29.41	41.18	23.53
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(16.90)	(44.27)	(39.55)	(29.65)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 30

Average Cumulative Default Rates For NBFI (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.10	0.20	0.31	0.31	0.31	0.31	0.31	0.31	0.47	0.64	0.83	1.03	1.24	1.46	1.46
A	0.15	0.35	0.57	0.85	1.15	1.47	1.81	2.17	2.48	2.80	3.07	3.35	3.65	3.87	4.10
BBB	0.49	1.06	1.82	2.60	3.20	3.66	4.02	4.42	4.85	5.32	5.83	6.39	6.89	7.59	8.21
BB	0.68	1.70	2.82	3.77	4.34	4.76	5.33	5.58	5.71	5.86	6.19	6.55	6.75	6.75	6.75
B	2.64	6.14	8.88	10.53	11.84	13.29	13.58	13.91	14.27	14.68	14.90	15.16	15.43	15.74	15.74
CCC/C	23.42	29.41	33.44	34.82	35.52	36.27	37.04	37.87	38.84	39.88	39.88	39.88	39.88	39.88	39.88
Investment grade	0.26	0.57	0.95	1.34	1.67	1.94	2.19	2.46	2.74	3.04	3.33	3.64	3.94	4.27	4.53
Speculative grade	2.79	5.12	7.08	8.35	9.24	10.11	10.59	10.91	11.20	11.52	11.79	12.08	12.29	12.42	12.42
All rated	1.07	2.03	2.91	3.57	4.07	4.52	4.84	5.12	5.40	5.71	5.99	6.30	6.57	6.84	7.04
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 31

Average Cumulative Default Rates For NBFI By Rating Modifier (1981- 2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA+	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA-	0.23	0.46	0.71	0.71	0.71	0.71	0.71	0.71	1.08	1.48	1.90	2.35	2.81	3.32	3.32
A+	0.16	0.32	0.50	0.69	0.89	1.10	1.31	1.76	2.00	2.25	2.51	2.80	3.11	3.44	3.80
A	0.00	0.00	0.00	0.14	0.28	0.58	0.91	1.26	1.63	2.03	2.24	2.47	2.70	2.95	3.21
A-	0.35	0.90	1.48	2.10	2.77	3.24	3.73	4.00	4.29	4.60	4.94	5.32	5.74	5.74	5.74
BBB+	0.27	0.56	1.20	2.09	2.68	3.33	3.80	4.06	4.34	5.23	6.19	6.53	6.53	6.94	7.87
BBB	0.46	1.09	1.48	1.91	2.67	3.16	3.52	4.10	4.51	4.51	4.51	5.08	6.03	6.39	6.39
BBB-	0.77	1.59	2.97	4.07	4.47	4.69	4.95	5.23	5.85	6.53	7.29	8.12	8.57	10.13	11.32
BB+	0.73	1.24	2.06	2.66	2.98	2.98	3.38	3.82	3.82	3.82	4.41	5.05	5.80	5.80	5.80
BB	0.67	1.85	3.40	3.97	4.28	4.61	5.33	5.72	6.13	6.13	6.13	6.13	6.13	6.13	6.13
BB-	0.66	1.92	2.91	4.41	5.36	6.15	6.72	6.72	6.72	7.11	7.53	7.99	7.99	7.99	7.99
B+	0.89	3.25	5.25	6.89	7.49	8.15	8.15	8.15	8.15	8.15	8.70	9.31	9.96	10.68	10.68
B	3.87	7.78	11.17	12.84	14.62	17.18	17.90	18.32	19.27	20.33	20.33	20.33	20.33	20.33	20.33
B-	3.64	8.55	11.50	13.12	14.97	15.66	15.66	16.45	16.45	16.45	16.45	16.45	16.45	16.45	16.45
CCC/C	23.42	29.41	33.44	34.82	35.52	36.27	37.04	37.87	38.84	39.88	39.88	39.88	39.88	39.88	39.88
Investment grade	0.26	0.57	0.95	1.34	1.67	1.94	2.19	2.46	2.74	3.04	3.33	3.64	3.94	4.27	4.53
Speculative grade	2.79	5.12	7.08	8.35	9.24	10.11	10.59	10.91	11.20	11.52	11.79	12.08	12.29	12.42	12.42
All rated	1.07	2.03	2.91	3.57	4.07	4.52	4.84	5.12	5.40	5.71	5.99	6.30	6.57	6.84	7.04
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 32

Time To Default From Original Rating For Global NBFI Defaulters (1981-2021)
Original rating	Defaults	Average years from original rating*	Median years from original rating	Standard deviation of years from original rating
AAA	1	28.00	28.00
AA	4	15.89	19.03	10.57
A	1	10.84	10.84
BBB	20	6.80	4.35	5.87
BB	27	4.46	3.60	3.67
B	36	3.90	3.01	2.88
CCC/C	19	1.94	1.03	2.09
Or Dec. 31, 1980, whichever is later. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Insurance rating action trends and ratings performance

Table 33

Summary Of Annual Insurance Rating Action Trends (%)
Year	Issuers as of Jan. 1 (#)	Upgrades	Downgrades §	Defaults	Withdrawn ratings	Changed ratings	Unchanged ratings	Downgrade-to-upgrade ratio
1981	34	11.76	5.88	0.00	2.94	20.59	79.41	0.50
1982	34	8.82	11.76	2.94	0.00	23.53	76.47	1.33
1983	42	4.76	4.76	4.76	2.38	16.67	83.33	1.00
1984	53	3.77	3.77	0.00	1.89	9.43	90.57	1.00
1985	65	4.62	6.15	1.54	0.00	12.31	87.69	1.33
1986	88	5.68	7.95	0.00	5.68	19.32	80.68	1.40
1987	114	6.14	4.39	0.00	2.63	13.16	86.84	0.71
1988	128	3.13	12.50	0.00	1.56	17.19	82.81	4.00
1989	160	5.00	6.25	0.63	1.25	13.13	86.88	1.25
1990	185	3.78	10.81	0.00	0.54	15.14	84.86	2.86
1991	206	4.37	21.84	1.46	1.94	29.61	70.39	5.00
1992	269	6.32	15.99	0.74	1.12	24.16	75.84	2.53
1993	308	6.49	6.82	0.32	3.25	16.88	83.12	1.05
1994	343	8.16	14.87	0.29	2.04	25.36	74.64	1.82
1995	378	7.14	16.40	0.26	1.85	25.66	74.34	2.30
1996	410	13.66	10.73	0.00	3.90	28.29	71.71	0.79
1997	460	10.00	4.35	0.22	6.74	21.30	78.70	0.43
1998	549	9.11	8.56	0.00	4.92	22.59	77.41	0.94
1999	593	8.60	10.79	0.67	5.06	25.13	74.87	1.25
2000	609	5.91	11.49	1.48	8.05	26.93	73.07	1.94
2001	591	3.72	19.46	0.17	6.94	30.29	69.71	5.23
2002	601	3.99	25.96	0.50	7.82	38.27	61.73	6.50
2003	601	3.83	21.80	0.50	5.16	31.28	68.72	5.70
2004	618	6.47	8.09	0.49	5.83	20.87	79.13	1.25
2005	648	12.35	6.02	0.00	3.24	21.60	78.40	0.49
2006	702	11.25	4.56	0.28	4.13	20.23	79.77	0.41
2007	767	13.17	4.56	0.00	6.39	24.12	75.88	0.35
2008	804	6.72	13.18	0.50	5.97	26.37	73.63	1.96
2009	834	5.04	17.75	0.48	7.91	31.18	68.82	3.52
2010	813	7.75	9.84	0.25	4.43	22.26	77.74	1.27
2011	824	5.70	10.19	0.36	6.31	22.57	77.43	1.79
2012	808	6.81	10.64	0.12	4.95	22.52	77.48	1.56
2013	819	12.94	4.52	0.00	6.35	23.81	76.19	0.35
2014	815	10.43	5.15	0.00	4.54	20.12	79.88	0.49
2015	850	7.18	6.82	0.12	6.00	20.12	79.88	0.95
2016	864	5.09	5.44	0.12	6.71	17.36	82.64	1.07
2017	859	4.66	5.94	0.12	7.33	18.04	81.96	1.28
2018	837	6.93	4.90	0.00	6.45	18.28	81.72	0.71
2019	814	6.27	2.58	0.12	5.16	14.13	85.87	0.41
2020	814	2.83	4.67	0.12	6.02	13.64	86.36	1.65
2021	807	5.20	1.86	0.00	5.58	12.64	87.36	0.36
Average		6.96	9.51	0.48	4.41	21.37	78.63	1.73
Weighted average		7.22	9.24	0.27	5.43	22.17	77.83	1.64
Median		6.32	7.95	0.17	4.95	21.30	78.70	1.25
Standard deviation		2.95	5.80	0.89	2.31	6.13	6.13	1.54
Minimum		2.83	1.86	0.00	0.00	9.43	61.73	0.35
Maximum		13.66	25.96	4.76	8.05	38.27	90.57	6.50
*This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to 'D', shown separately in the default column. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Table 34

Global 2021 One-Year Transition Rates For Insurance Companies (%)
From / to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
Global
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	90.68	2.54	0.00	0.00	0.00	0.00	0.00	6.78
A	0.00	0.23	96.31	0.23	0.00	0.00	0.00	0.00	3.23
BBB	0.00	0.00	2.63	90.13	1.32	0.00	0.00	0.00	5.92
BB	0.00	0.00	0.00	2.44	95.12	0.00	0.00	0.00	2.44
B	0.00	0.00	0.00	0.00	4.92	73.77	0.00	0.00	21.31
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
U.S. and tax havens
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	89.86	1.45	0.00	0.00	0.00	0.00	0.00	8.70
A	0.00	0.00	99.00	0.50	0.00	0.00	0.00	0.00	0.50
BBB	0.00	0.00	1.19	91.67	1.19	0.00	0.00	0.00	5.95
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	2.08	72.92	0.00	0.00	25.00
CCC/C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Europe
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	89.66	6.90	0.00	0.00	0.00	0.00	0.00	3.45
A	0.00	0.00	93.91	0.00	0.00	0.00	0.00	0.00	6.09
BBB	0.00	0.00	6.67	86.67	0.00	0.00	0.00	0.00	6.67
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CCC/C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Emerging markets
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	1.54	93.85	0.00	0.00	0.00	0.00	0.00	4.62
BBB	0.00	0.00	4.55	88.64	2.27	0.00	0.00	0.00	4.55
BB	0.00	0.00	0.00	3.45	93.10	0.00	0.00	0.00	3.45
B	0.00	0.00	0.00	0.00	16.67	75.00	0.00	0.00	8.33
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
Other developed
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	0.00	93.33	0.00	0.00	0.00	0.00	0.00	0.00	6.67
A	0.00	0.00	94.83	0.00	0.00	0.00	0.00	0.00	5.17
BBB	0.00	0.00	0.00	88.89	0.00	0.00	0.00	0.00	11.11
BB	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
B	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CCC/C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 35

Global Average Transition Rates For Insurance Companies (1981-2021) (%)
From/to	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
One-year
AAA	87.68	10.13	0.28	0.00	0.07	0.07	0.14	0.00	1.63
	(12.08)	(11.60)	(1.32)	(0.00)	(0.32)	(0.43)	(0.87)	(0.00)	(2.21)
AA	0.53	87.89	7.10	0.33	0.04	0.04	0.06	0.04	3.97
	(0.99)	(6.49)	(5.59)	(0.91)	(0.15)	(0.14)	(0.46)	(0.14)	(2.25)
A	0.01	2.18	90.50	2.68	0.16	0.07	0.01	0.10	4.30
	(0.06)	(2.27)	(4.58)	(2.52)	(0.49)	(0.23)	(0.06)	(0.25)	(1.83)
BBB	0.00	0.13	5.46	83.44	2.53	0.32	0.26	0.18	7.67
	(0.00)	(0.69)	(3.35)	(4.95)	(2.58)	(0.99)	(0.74)	(0.66)	(2.98)
BB	0.00	0.09	0.47	8.03	74.13	3.78	1.04	0.57	11.90
	(0.00)	(0.83)	(2.02)	(8.77)	(12.46)	(4.32)	(3.00)	(2.07)	(7.14)
B	0.00	0.13	0.26	0.66	6.18	75.26	1.97	1.84	13.68
	(0.00)	(1.01)	(2.34)	(2.60)	(7.50)	(11.40)	(3.84)	(4.49)	(6.47)
CCC/C	0.00	0.00	0.00	0.00	3.49	12.79	40.70	23.26	19.77
	(0.00)	(0.00)	(0.00)	(0.00)	(11.48)	(21.87)	(31.98)	(27.68)	(27.97)
Three-year
AAA	65.65	26.13	1.84	0.00	0.14	0.14	0.28	0.35	5.45
	(18.41)	(17.54)	(2.76)	(0.00)	(0.55)	(0.62)	(1.03)	(0.89)	(5.81)
AA	1.23	69.23	16.13	1.56	0.17	0.22	0.06	0.26	11.13
	(2.00)	(11.27)	(7.19)	(2.11)	(0.49)	(0.57)	(0.19)	(0.43)	(4.10)
A	0.05	4.98	75.36	5.16	0.60	0.12	0.11	0.41	13.21
	(0.15)	(4.64)	(9.08)	(3.19)	(1.22)	(0.62)	(0.23)	(0.91)	(4.11)
BBB	0.00	0.43	13.20	60.92	3.72	0.80	0.37	0.94	19.61
	(0.00)	(1.49)	(5.63)	(8.13)	(3.02)	(0.95)	(1.10)	(1.75)	(4.58)
BB	0.00	0.10	1.85	16.51	42.56	5.13	1.23	2.15	30.46
	(0.00)	(0.86)	(4.02)	(11.21)	(14.56)	(4.39)	(3.91)	(4.74)	(10.59)
B	0.00	0.00	1.41	2.82	11.91	45.61	1.41	6.11	30.72
	(0.00)	(0.00)	(4.69)	(7.12)	(10.52)	(12.65)	(2.29)	(8.08)	(11.07)
CCC/C	0.00	0.00	1.18	2.35	4.71	17.65	14.12	30.59	29.41
	(0.00)	(0.00)	(10.97)	(10.78)	(10.35)	(22.59)	(18.53)	(29.70)	(30.13)
Five-year
AAA	48.16	34.49	5.03	0.21	0.07	0.28	0.21	0.92	10.62
	(18.81)	(17.89)	(4.95)	(0.73)	(0.43)	(0.85)	(0.70)	(1.41)	(8.14)
AA	1.49	56.39	21.16	2.29	0.32	0.39	0.07	0.71	17.18
	(2.21)	(11.37)	(6.89)	(2.40)	(0.61)	(0.81)	(0.20)	(0.94)	(4.27)
A	0.11	6.31	64.51	5.81	0.88	0.18	0.22	0.77	21.22
	(0.60)	(5.66)	(10.99)	(3.22)	(1.34)	(0.52)	(0.62)	(1.30)	(5.18)
BBB	0.00	0.66	16.34	47.65	3.20	0.69	0.50	1.63	29.33
	(0.00)	(2.09)	(5.35)	(6.56)	(2.25)	(0.79)	(1.23)	(2.47)	(5.30)
BB	0.00	0.79	2.37	18.60	26.83	4.62	1.01	3.72	42.05
	(0.00)	(2.29)	(4.78)	(9.32)	(9.39)	(3.81)	(3.31)	(6.65)	(11.96)
B	0.00	0.00	2.67	4.01	13.17	29.77	1.15	9.16	40.08
	(0.00)	(0.00)	(6.86)	(7.81)	(10.82)	(10.44)	(2.19)	(9.95)	(13.52)
CCC/C	0.00	0.00	1.19	0.00	9.52	13.10	2.38	32.14	41.67
	(0.00)	(0.00)	(11.04)	(0.00)	(15.60)	(18.96)	(7.05)	(27.92)	(29.30)
10-year
AAA	22.66	41.36	9.56	1.63	0.14	0.50	0.14	1.63	22.38
	(14.45)	(16.27)	(6.81)	(2.67)	(0.48)	(1.17)	(0.54)	(1.81)	(10.69)
AA	1.21	34.39	27.42	3.42	0.54	0.54	0.05	1.67	30.76
	(1.72)	(7.27)	(5.90)	(2.51)	(0.71)	(0.73)	(0.15)	(1.22)	(5.11)
A	0.17	7.36	47.07	5.99	1.21	0.33	0.27	1.83	35.77
	(1.14)	(4.66)	(10.52)	(2.94)	(1.73)	(0.39)	(0.47)	(1.80)	(6.25)
BBB	0.00	1.49	18.17	30.29	1.98	0.57	0.18	3.20	44.12
	(0.00)	(3.97)	(5.98)	(4.59)	(2.22)	(0.40)	(0.64)	(4.27)	(4.08)
BB	0.00	0.31	5.13	16.17	10.89	3.73	0.00	10.58	53.19
	(0.00)	(1.38)	(6.91)	(7.49)	(6.69)	(3.53)	(0.00)	(14.76)	(16.96)
B	0.00	0.00	4.47	12.14	9.27	10.22	0.64	14.38	48.88
	(0.00)	(0.00)	(9.38)	(16.13)	(10.72)	(8.46)	(4.93)	(12.20)	(18.79)
CCC/C	0.00	0.00	1.33	0.00	6.67	0.00	0.00	42.67	49.33
	(0.00)	(0.00)	(11.73)	(0.00)	(12.62)	(0.00)	(0.00)	(30.69)	(28.49)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 36

Average One-Year Transition Rates For Global Insurance Companies By Rating Modifier (1981-2021) (%)
Rating	AAA	AA+	AA	AA-	A+	A	A-	BBB+	BBB	BBB-	BB+	BB	BB-	B+	B	B-	CCC/C	D	NR
AAA	87.68	7.51	1.70	0.92	0.07	0.21	0.00	0.00	0.00	0.00	0.00	0.07	0.00	0.00	0.07	0.00	0.14	0.00	1.63
	(12.08)	(11.45)	(1.90)	(1.64)	(0.43)	(0.91)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.32)	(0.00)	(0.00)	(0.43)	(0.00)	(0.87)	(0.00)	(2.21)
AA+	1.83	77.94	12.27	3.79	0.78	0.26	0.26	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.87
	(2.82)	(18.92)	(13.73)	(5.82)	(4.66)	(1.51)	(1.24)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(4.66)
AA	0.48	0.97	81.81	8.58	2.47	0.86	0.48	0.16	0.27	0.00	0.05	0.05	0.00	0.00	0.00	0.00	0.16	0.05	3.59
	(1.32)	(1.78)	(12.10)	(9.39)	(3.13)	(1.56)	(1.54)	(0.53)	(1.15)	(0.00)	(0.27)	(0.24)	(0.00)	(0.00)	(0.00)	(0.00)	(0.81)	(0.25)	(2.85)
AA-	0.13	0.22	3.54	79.12	10.04	1.12	0.67	0.22	0.13	0.00	0.00	0.00	0.00	0.04	0.04	0.00	0.00	0.04	4.66
	(0.46)	(0.60)	(5.16)	(10.38)	(7.96)	(2.65)	(1.46)	(0.77)	(0.59)	(0.00)	(0.00)	(0.00)	(0.00)	(0.24)	(0.24)	(0.00)	(0.00)	(0.24)	(3.29)
A+	0.00	0.07	0.40	4.86	81.12	6.58	1.52	0.56	0.26	0.07	0.00	0.07	0.00	0.00	0.00	0.00	0.00	0.03	4.46
	(0.00)	(0.26)	(1.97)	(3.43)	(8.25)	(4.48)	(2.30)	(1.20)	(1.07)	(0.25)	(0.00)	(0.27)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.33)	(2.59)
A	0.03	0.10	0.32	0.54	6.62	80.53	5.56	0.86	0.67	0.22	0.06	0.10	0.00	0.00	0.06	0.00	0.03	0.16	4.12
	(0.18)	(0.58)	(1.74)	(1.14)	(4.23)	(8.39)	(3.67)	(1.93)	(1.22)	(1.02)	(0.71)	(0.32)	(0.00)	(0.00)	(0.40)	(0.00)	(0.16)	(0.41)	(2.93)
A-	0.00	0.03	0.07	0.17	0.60	7.38	81.50	3.91	1.24	0.30	0.07	0.10	0.10	0.10	0.03	0.00	0.00	0.10	4.31
	(0.00)	(0.24)	(0.30)	(0.69)	(1.21)	(4.66)	(8.06)	(2.94)	(2.68)	(1.04)	(0.26)	(0.46)	(0.47)	(0.33)	(0.24)	(0.00)	(0.00)	(0.37)	(2.66)
BBB+	0.00	0.00	0.06	0.06	0.55	0.98	9.57	74.85	5.46	1.17	0.31	0.12	0.12	0.06	0.06	0.00	0.12	0.00	6.50
	(0.00)	(0.00)	(0.28)	(0.47)	(1.35)	(3.09)	(6.71)	(9.86)	(4.80)	(1.93)	(1.54)	(0.56)	(1.83)	(0.28)	(1.45)	(0.00)	(1.34)	(0.00)	(3.67)
BBB	0.00	0.00	0.08	0.08	0.23	0.53	0.92	10.08	71.30	5.11	1.68	0.46	0.23	0.23	0.15	0.00	0.31	0.23	8.40
	(0.00)	(0.00)	(0.67)	(1.25)	(0.82)	(1.57)	(1.74)	(7.07)	(11.02)	(4.80)	(3.63)	(1.81)	(1.01)	(0.89)	(0.73)	(0.00)	(0.94)	(0.78)	(5.24)
BBB-	0.00	0.00	0.12	0.00	0.00	0.12	0.35	1.88	10.92	69.72	5.16	0.94	0.47	0.35	0.23	0.00	0.47	0.47	8.80
	(0.00)	(0.00)	(0.55)	(0.00)	(0.00)	(0.55)	(0.91)	(2.63)	(6.14)	(9.45)	(6.30)	(3.03)	(1.54)	(2.25)	(0.82)	(0.00)	(1.35)	(3.71)	(6.01)
BB+	0.00	0.00	0.00	0.00	0.21	0.43	0.43	0.21	1.91	11.28	63.62	4.89	4.04	0.85	0.21	0.21	0.43	0.85	10.43
	(0.00)	(0.00)	(0.00)	(0.00)	(1.05)	(3.72)	(2.92)	(1.75)	(4.10)	(9.63)	(17.62)	(8.74)	(6.78)	(4.16)	(1.11)	(1.11)	(1.88)	(3.85)	(8.41)
BB	0.00	0.00	0.28	0.00	0.00	0.00	0.00	0.28	1.14	4.27	12.25	59.54	4.27	1.42	1.42	0.00	1.71	0.57	12.82
	(0.00)	(0.00)	(2.40)	(0.00)	(0.00)	(0.00)	(0.00)	(1.42)	(5.12)	(9.39)	(11.61)	(17.27)	(6.76)	(3.47)	(4.36)	(0.00)	(5.85)	(2.79)	(10.77)
BB-	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.42	0.00	0.42	5.88	13.03	55.46	5.88	2.52	1.68	1.26	0.00	13.45
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(3.77)	(0.00)	(4.62)	(10.46)	(13.58)	(21.83)	(12.87)	(7.14)	(3.91)	(6.30)	(0.00)	(15.60)
B+	0.00	0.00	0.00	0.00	0.00	0.00	0.41	0.00	0.00	0.00	0.82	6.12	7.76	60.82	6.53	2.86	2.04	2.45	10.20
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(4.56)	(0.00)	(0.00)	(0.00)	(4.30)	(11.05)	(10.08)	(20.73)	(9.62)	(5.67)	(7.25)	(7.07)	(9.95)
B	0.00	0.00	0.00	0.26	0.00	0.26	0.00	0.26	0.26	0.26	0.26	0.26	2.06	6.17	69.67	4.88	1.03	1.29	13.11
	(0.00)	(0.00)	(0.00)	(2.08)	(0.00)	(2.08)	(0.00)	(2.96)	(1.61)	(1.61)	(1.15)	(0.90)	(5.15)	(10.98)	(14.84)	(5.31)	(3.14)	(2.89)	(10.32)
B-	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.79	0.79	0.00	0.00	0.00	0.79	2.38	15.08	50.79	4.76	2.38	22.22
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(6.39)	(3.12)	(0.00)	(0.00)	(0.00)	(5.20)	(5.60)	(16.77)	(16.44)	(9.13)	(10.70)	(20.69)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.33	1.16	1.16	2.33	9.30	40.70	23.26	19.77
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(10.71)	(4.76)	(4.76)	(6.97)	(20.78)	(31.98)	(27.68)	(27.97)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 37

Average One-Year Transition Rates by Major Region For Insurance Companies (1981-2021) (%)
Rating	AAA	AA	A	BBB	BB	B	CCC/C	D	NR
U.S.
AAA	88.99	8.92	0.27	0.00	0.09	0.09	0.09	0.00	1.55
	(13.00)	(12.33)	(1.63)	(0.00)	(0.43)	(0.54)	(0.54)	(0.00)	(2.59)
AA	0.67	88.24	6.78	0.34	0.06	0.06	0.09	0.06	3.70
	(1.25)	(7.47)	(5.63)	(0.91)	(0.24)	(0.20)	(0.63)	(0.21)	(2.64)
A	0.02	2.32	90.13	2.74	0.23	0.10	0.02	0.14	4.30
	(0.10)	(2.70)	(5.46)	(2.74)	(0.63)	(0.36)	(0.10)	(0.31)	(2.48)
BBB	0.00	0.19	4.69	84.78	2.69	0.46	0.42	0.23	6.54
	(0.00)	(0.93)	(3.68)	(6.94)	(3.33)	(1.44)	(0.97)	(0.90)	(3.84)
BB	0.00	0.16	0.49	10.02	72.09	4.27	1.48	0.99	10.51
	(0.00)	(1.23)	(2.06)	(12.06)	(13.96)	(5.48)	(3.86)	(2.71)	(7.95)
B	0.00	0.17	0.33	0.50	5.67	78.33	2.17	1.67	11.17
	(0.00)	(1.18)	(2.65)	(2.56)	(8.80)	(12.11)	(4.39)	(4.64)	(8.20)
CCC/C	0.00	0.00	0.00	0.00	2.99	13.43	38.81	28.36	16.42
	(0.00)	(0.00)	(0.00)	(0.00)	(12.08)	(25.40)	(32.91)	(30.72)	(25.21)
Europe
AAA	84.62	13.33	0.51	0.00	0.00	0.00	0.51	0.00	1.03
	(19.11)	(17.43)	(2.25)	(0.00)	(0.00)	(0.00)	(3.22)	(0.00)	(3.44)
AA	0.31	86.25	8.23	0.52	0.00	0.00	0.00	0.00	4.69
	(1.34)	(11.49)	(10.98)	(2.03)	(0.00)	(0.00)	(0.00)	(0.00)	(4.78)
A	0.00	2.29	90.07	3.02	0.09	0.00	0.00	0.04	4.49
	(0.00)	(2.91)	(5.60)	(4.24)	(0.48)	(0.00)	(0.00)	(0.36)	(3.12)
BBB	0.00	0.15	9.31	77.86	1.37	0.31	0.15	0.15	10.69
	(0.00)	(0.67)	(7.08)	(10.45)	(3.20)	(1.35)	(1.19)	(0.90)	(9.12)
BB	0.00	0.00	2.70	5.41	62.16	0.00	0.00	0.00	29.73
	(0.00)	(0.00)	(10.52)	(12.78)	(22.48)	(0.00)	(0.00)	(0.00)	(21.79)
B	0.00	0.00	0.00	6.45	9.68	54.84	0.00	0.00	29.03
	(0.00)	(0.00)	(0.00)	(25.37)	(23.04)	(36.21)	(0.00)	(0.00)	(35.62)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	16.67	16.67	66.67
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(41.67)	(41.67)	(52.70)
Emerging and frontier markets
AAA	50.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00
	(70.71)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(70.71)
AA	0.00	89.55	7.46	0.00	0.00	0.00	0.00	0.00	2.99
	(0.00)	(17.15)	(12.45)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(10.38)
A	0.00	0.75	93.28	3.23	0.00	0.12	0.00	0.00	2.61
	(0.00)	(1.54)	(5.34)	(4.99)	(0.00)	(0.50)	(0.00)	(0.00)	(2.02)
BBB	0.00	0.00	4.48	84.67	3.12	0.00	0.00	0.14	7.60
	(0.00)	(0.00)	(3.29)	(7.14)	(3.67)	(0.00)	(0.00)	(0.53)	(5.31)
BB	0.00	0.00	0.00	5.10	80.57	3.50	0.00	0.00	10.83
	(0.00)	(0.00)	(0.00)	(9.33)	(15.01)	(4.20)	(0.00)	(0.00)	(8.95)
B	0.00	0.00	0.00	0.00	9.01	70.27	0.90	0.90	18.92
	(0.00)	(0.00)	(0.00)	(0.00)	(11.51)	(20.28)	(2.95)	(2.95)	(20.16)
CCC/C	0.00	0.00	0.00	0.00	0.00	0.00	40.00	0.00	60.00
	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(56.57)	(0.00)	(56.57)
Other developed
AAA	81.03	16.38	0.00	0.00	0.00	0.00	0.00	0.00	2.59
	(22.19)	(22.69)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(4.77)
AA	0.18	88.43	6.94	0.00	0.00	0.00	0.00	0.00	4.45
	(0.97)	(10.18)	(9.04)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(5.32)
A	0.00	2.17	91.52	1.14	0.10	0.00	0.00	0.10	4.96
	(0.00)	(3.25)	(6.89)	(3.67)	(0.90)	(0.00)	(0.00)	(1.46)	(4.21)
BBB	0.00	0.00	5.90	81.94	2.08	0.00	0.00	0.00	10.07
	(0.00)	(0.00)	(9.18)	(12.20)	(6.08)	(0.00)	(0.00)	(0.00)	(9.26)
BB	0.00	0.00	0.00	7.14	75.71	4.29	2.86	0.00	10.00
	(0.00)	(0.00)	(0.00)	(13.98)	(24.91)	(12.94)	(7.33)	(0.00)	(11.70)
B	0.00	0.00	0.00	0.00	5.00	35.00	5.00	15.00	40.00
	(0.00)	(0.00)	(0.00)	(0.00)	(12.39)	(39.52)	(15.61)	(27.37)	(45.37)
CCC/C	0.00	0.00	0.00	0.00	9.09	18.18	63.64	0.00	9.09
	(0.00)	(0.00)	(0.00)	(0.00)	(30.49)	(34.09)	(39.76)	(0.00)	(20.45)
Note: Numbers in parentheses are weighted standard deviations, weighted by the issuer base. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 38

Average Cumulative Default Rates For Insurance Companies (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.07	0.35	0.64	0.92	1.20	1.35	1.49	1.56	1.63	1.70	1.77	1.84	1.92	1.99
AA	0.04	0.15	0.25	0.48	0.68	0.90	1.04	1.19	1.35	1.46	1.57	1.66	1.75	1.85	1.95
A	0.10	0.22	0.39	0.56	0.70	0.84	1.03	1.13	1.20	1.31	1.44	1.51	1.58	1.64	1.73
BBB	0.18	0.57	0.91	1.21	1.49	1.73	1.90	2.09	2.34	2.43	2.47	2.47	2.59	2.72	2.80
BB	0.57	1.35	2.07	2.71	3.39	4.47	5.49	6.45	7.47	8.11	8.98	9.56	9.77	10.01	10.29
B	1.84	3.70	5.75	6.97	7.94	8.81	9.54	10.08	10.38	11.05	12.14	12.54	12.99	13.50	14.09
CCC/C	23.26	29.16	30.34	31.52	32.70	33.90	36.35	38.90	38.90	38.90	38.90	38.90	38.90	38.90	38.90
Investment grade	0.09	0.26	0.46	0.67	0.87	1.06	1.23	1.37	1.49	1.60	1.70	1.76	1.85	1.93	2.02
Speculative grade	2.10	3.54	4.78	5.66	6.47	7.49	8.51	9.45	10.18	10.79	11.67	12.16	12.43	12.74	13.09
All rated	0.27	0.56	0.84	1.12	1.36	1.62	1.86	2.06	2.23	2.37	2.53	2.62	2.72	2.82	2.92
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 39

Average Cumulative Default Rates For Insurance Companies By Rating Modifier (1981-2021) (%)
	--Time horizon (years)--
Rating	Y1	Y2	Y3	Y4	Y5	Y6	Y7	Y8	Y9	Y10	Y11	Y12	Y13	Y14	Y15
AAA	0.00	0.07	0.35	0.64	0.92	1.20	1.35	1.49	1.56	1.63	1.70	1.77	1.84	1.92	1.99
AA+	0.00	0.13	0.13	0.13	0.13	0.13	0.13	0.28	0.44	0.60	0.76	0.93	1.10	1.28	1.45
AA	0.05	0.11	0.28	0.67	1.02	1.32	1.56	1.81	2.07	2.20	2.33	2.46	2.60	2.74	2.89
AA-	0.04	0.18	0.28	0.43	0.58	0.80	0.91	0.97	1.03	1.10	1.17	1.17	1.17	1.17	1.17
A+	0.03	0.03	0.14	0.22	0.30	0.39	0.52	0.57	0.63	0.68	0.74	0.81	0.88	0.96	1.04
A	0.16	0.40	0.64	0.95	1.11	1.28	1.51	1.61	1.76	1.99	2.11	2.17	2.24	2.32	2.50
A-	0.10	0.24	0.39	0.51	0.67	0.85	1.04	1.19	1.19	1.25	1.46	1.53	1.62	1.62	1.62
BBB+	0.00	0.13	0.33	0.54	0.76	0.92	1.09	1.28	1.48	1.48	1.48	1.48	1.48	1.48	1.48
BBB	0.23	0.79	1.21	1.56	1.84	2.23	2.43	2.54	2.77	2.90	3.03	3.03	3.03	3.03	3.22
BBB-	0.47	1.07	1.57	1.96	2.36	2.50	2.64	2.95	3.28	3.46	3.46	3.46	3.96	4.53	4.53
BB+	0.85	1.51	2.19	3.39	4.67	6.27	7.98	8.58	9.23	9.95	10.74	11.18	11.18	11.18	11.18
BB	0.57	1.17	1.79	1.79	1.79	2.50	2.88	3.70	5.02	5.97	7.00	7.55	7.55	7.55	7.55
BB-	0.00	1.32	2.25	2.74	3.26	3.81	4.40	6.31	7.67	7.67	8.45	9.36	10.47	11.76	13.28
B+	2.45	5.06	8.32	9.32	9.86	9.86	9.86	9.86	9.86	11.28	12.82	13.66	14.56	15.55	16.68
B	1.29	2.13	3.38	4.42	5.20	6.58	7.13	8.38	9.09	9.09	9.96	9.96	9.96	9.96	9.96
B-	2.38	5.93	7.93	10.26	12.94	14.42	17.59	17.59	17.59	17.59	17.59	17.59	17.59	17.59	17.59
CCC/C	23.26	29.16	30.34	31.52	32.70	33.90	36.35	38.90	38.90	38.90	38.90	38.90	38.90	38.90	38.90
Investment grade	0.09	0.26	0.46	0.67	0.87	1.06	1.23	1.37	1.49	1.60	1.70	1.76	1.85	1.93	2.02
Speculative grade	2.10	3.54	4.78	5.66	6.47	7.49	8.51	9.45	10.18	10.79	11.67	12.16	12.43	12.74	13.09
All rated	0.27	0.56	0.84	1.12	1.36	1.62	1.86	2.06	2.23	2.37	2.53	2.62	2.72	2.82	2.92
Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®.

Table 40

Time To Default From Original Rating For Global Insurance Defaulters (1981-2021)
Original rating	Defaults	Average years from original rating*	Median years from original rating	Standard deviation of years from original rating
AAA	4	12.30	7.11	11.07
AA	10	13.71	10.04	9.28
A	21	7.41	6.89	3.91
BBB	15	7.49	6.58	4.65
BB	8	6.76	5.81	5.35
B	16	5.79	4.86	4.94
CCC/C	3	0.74	0.67	0.48
Or Dec. 31, 1980, whichever is later. Sources: S&P Global Ratings Research and S&P Global Market Intelligence's CreditPro®

Table 41

Issuer Credit Rating--Alpha Holding S.A. de C.V.
Date	To
15-Sep-2021	NR/--/--
20-Jul-2021	D/--/--
18-Jun-2021	CC/Watch Neg/--
22-Apr-2021	CCC/Watch Neg/--
24-Jun-2020	B-/Stable/--
27-Jan-2020	B-/Watch Pos/--
05-Dec-2017	B-/Stable/--

Appendix II: Methodology And Definitions

This long-term corporate default and rating transition study uses the CreditPro database of long-term local currency issuer credit ratings. The analysis excludes public information ("pi") ratings and ratings based on the guarantee of another company or government entity. We also do not include short-term issuer ratings. S&P Global Ratings does not require all issuers with rated debt to have an issuer credit rating. Therefore, if an issuer has rated debt but not an issuer credit rating, we assign a proxy rating so that the CreditPro corporate dataset accurately represents the complete universe of ratings. The local currency senior unsecured rating is the preferred debt-level rating used for the proxy because this rating is usually consistent with the issuer credit rating. In a small number of cases, we use the subordinated debt rating or the senior secured rating as the proxy.

An S&P Global Ratings issuer credit rating is a forward-looking opinion about an obligor's overall creditworthiness. This opinion focuses on the obligor's capacity and willingness to meet its financial commitments as they come due. It does not apply to any specific financial obligation because it does not take into account the nature and provisions of any single obligation, its standing in bankruptcy or liquidation, statutory preferences, or the legality and enforceability of the obligation. Counterparty credit ratings, corporate credit ratings, and sovereign credit ratings are all forms of issuer credit ratings. Issuer credit ratings can be either long-term or short-term.

Our ongoing enhancement of the database used to generate this study could lead to outcomes that differ to some degree from those reported in previous studies. However, this poses no continuity problem because each study reports statistics back to Dec. 31, 1980. Therefore, each is self-contained and effectively supersedes all previous versions.

Issuers included in this study

This study analyzes the rating histories of 5,437 financial services companies that S&P Global Ratings rated as of Dec. 31, 1980, or that were first rated between that date and Dec. 31, 2021. These include banks, nonbank financial institutions, and insurance companies around the world with long-term local currency ratings. In this study, the insurance industry includes life insurance, health insurance, property/casualty insurance, reinsurance, bond insurance, mortgage insurance, and title insurance. In addition to these subsectors, the insurance industry also includes insurance service providers (such as insurance brokers, health insurance and cost containment services and third-party administrators) that are rated according to corporate criteria. Structured finance vehicles, public-sector issuers, and sovereign issuers are the subjects of separate default and transition studies, and we exclude them from this study.

To avoid overcounting, we exclude subsidiaries with debt that is fully guaranteed by a parent or with default risk that is considered identical to that of a parent. The latter are companies with obligations that are not legally guaranteed by a parent but that have operating or financing activities that are so inextricably entwined with those of the parent that it would be impossible to imagine the default of one and not the other. At times, however, some of these subsidiaries might not yet have been covered by a parent's guarantee, or the relationship that combines the default risk of parent and subsidiary might have come to an end or might not have begun. We included such subsidiaries for the period during which they had a distinct and separate risk of default.

Issuers with withdrawn ratings

S&P Global Ratings withdraws ratings when an entity's entire debt is paid off or when the program or programs rated are terminated and the relevant debt extinguished. For the purposes of this study, a corporate rating may also be withdrawn as a result of mergers and acquisitions. Others are withdrawn because of a lack of cooperation, particularly when a company is experiencing financial difficulties and refuses to provide all the information needed to continue surveillance on the ratings, or at the entity's request.

Definition of default

An obligor rated 'SD' (selective default) or 'D' (default) is in default on one or more of its financial obligations, including rated and unrated financial obligations, excluding hybrid instruments classified as regulatory capital or in nonpayment according to terms. An obligor is considered to be in default unless S&P Global Ratings believes that such payments will be made within five business days of the due date in the absence of a stated grace period, or within the earlier of the stated grace period or 30 calendar days.

A 'D' rating is assigned when S&P Global Ratings believes that the default will be a general default and that the obligor will fail to pay all or substantially all of its obligations as they come due. An 'SD' rating is assigned when S&P Global Ratings believes that the obligor has selectively defaulted on a specific issue or class of obligations but will continue to meet its payment obligations on other issues or classes of obligations in a timely manner. S&P Global Ratings lowers its rating on an obligor to 'D' or 'SD' if the obligor is conducting a distressed exchange offer.

'R' (regulatory intervention) indicates that an obligor is under regulatory supervision owing to its financial condition. This does not necessarily indicate a default event, but during the period of regulatory supervision, the regulators may have the power to favor one class of obligations over others or to pay some obligations and not others. While the 'R' rating was in place during the many of the years covered in this study, it was removed from all ratings scales on July 5, 2019 (see "S&P Global Ratings Definitions," Jan. 5, 2021).

We deem 'D', 'SD', and 'R' issuer ratings to be defaults for the purposes of this study. A default is assumed to take place on the earliest of:

• The date S&P Global Ratings revised the rating(s) to 'D', 'SD', or 'R';
• The date a debt payment was missed;
• The date a distressed exchange offer was announced; or
• The date the debtor filed for, or was forced into, bankruptcy.

When an issuer defaults, it is not uncommon for S&P Global Ratings to subsequently withdraw the 'D' rating. For the purposes of this study, if an issuer defaults, we end its rating history at 'D'. If any defaulting entity reemerges from bankruptcy--or otherwise restructures its defaulted debt instruments, thereby reestablishing regular, timely payment of all its debts--we reenter this issuer into the database as a new entity. Its rating history after the default event is included in all calculations as entirely separate from its experience leading up to its earlier default.

Many practitioners use statistics from this default study to estimate the "probability of default" and "probability of rating transition." It is important to note that S&P Global Ratings' credit ratings do not imply a specific probability of default.

Regional definitions

Within this study, tables and charts often present specific geographic regions. Some countries can be included in multiple regions, and S&P Global Ratings does not have corporate ratings within every country. The regions covered in this study are:

U.S. and tax havens:  the U.S., Bermuda, and the Cayman Islands

Other developed:  Australia, Brunei Darussalam, Canada, Israel, Japan, Republic of Korea, New Zealand, and Singapore

Europe:  Austria, Belgium, British Virgin Islands, Bulgaria, Channel Islands, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Gibraltar, Greece, Guernsey, Hungary, Iceland, Ireland, Isle of Man, Italy, Jersey, Latvia, Liechtenstein, Lithuania, Luxembourg, Malta, Moldova (Republic of), Monaco, Montenegro, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, Switzerland, and the U.K.

Emerging markets:

Asia-Pacific.  Bangladesh, Bhutan, China, Fiji, Hong Kong, India, Indonesia, Macao Special Administrative Region of China, Malaysia, Mongolia, Pakistan, Papua New Guinea, Philippines, Sri Lanka, Taiwan, Thailand, and Vietnam

EMEA (Europe, Middle East, Africa).  Angola, Armenia, Azerbaijan, Bahrain, Belarus, Bosnia and Herzegovina, Bulgaria, Cote d'Ivoire, Croatia, Cyprus, Czech Republic, Egypt, Estonia, Gabon, Georgia, Ghana, Greece, Hungary, Jordan, Kazakhstan, Kenya, Kuwait, Latvia, Lebanon, Lithuania, Mauritius, Montenegro, Morocco, Namibia, Nigeria, Oman, Poland, Qatar, Republic of Moldova, Romania, Russia, Saudi Arabia, Slovakia, Slovenia, South Africa, Tunisia, Turkey, Ukraine, United Arab Emirates, and Uzbekistan

Latin America and Caribbean.  Argentina, Barbados, Belize, Bolivia, Brazil, Chile, Colombia, Costa Rica, Dominican Republic, Ecuador, El Salvador, Grenada, Guatemala, Honduras, Jamaica, Mexico, Panama, Paraguay, Peru, Trinidad and Tobago, and Uruguay

Frontier markets:

Asia-Pacific.  Cambodia and Marshall Islands

EMEA.  Liberia, Syrian Arab Republic, and Togo

Latin America and Caribbean.  Aruba, Bahamas, Curacao, Netherlands Antilles*, Turks and Caicos Islands, and Venezuela

*The Netherlands Antilles was dissolved in 2010.

Calculations

Static pool.  We conduct our default studies on the basis of groupings called static pools. For the purposes of this study, we form static pools by grouping issuers (by rating category, for example) at the beginning of each year, quarter, or month that the database covers. Each static pool is followed from that point forward. All companies included in the study are assigned to one or more static pools. When an issuer defaults, we assign that default back to all of the static pools to which the issuer belonged.

We use the static pools to avoid certain pitfalls in estimating default rates, ensuring that default rates account for rating migration and can be calculated across multiperiod time horizons. Some methods for calculating default and rating transition rates might charge defaults against only the initial rating on the issuer, ignoring more recent rating changes that supply more current information. Other methods may calculate default rates using only the most recent year's default and rating data, which may yield comparatively low default rates during periods of high rating activity because they ignore prior years' default activity.

The pools are static in the sense that their membership remains constant over time. Each static pool can be interpreted as a buy-and-hold portfolio. Because errors, if any, are corrected by every new update and because the criteria for inclusion or exclusion of companies in the default study are subject to minor revisions as time goes by, it is not possible to compare static pools across different studies. Therefore, every update revises results back to the same starting date of Dec. 31, 1980, so as to avoid continuity problems.

Entities that have had ratings withdrawn--that is, revised to not rated--are surveilled with the aim of capturing a potential default. Because static pools only include entities with active ratings as of the beginning date of a given pool, we exclude companies with withdrawn ratings, as well as those that have defaulted, from subsequent static pools. If the rating on an entity is withdrawn after the start date of a particular static pool and the entity subsequently defaults, we will include it in that static pool as a default and categorize it in the rating category of which it was a member at that time.

For instance, the 1981 static pool consists of all companies rated as of 12:00:01 a.m. on Jan. 1, 1981. Adding those companies first rated in 1981 to the surviving members of the 1981 static pool forms the 1982 static pool. All rating changes that took place are reflected in the newly formed 1982 static pool through the ratings on these entities as of 12:00:01 a.m. on Jan. 1, 1982. We used the same method to form static pools for 1983-2021. From Jan. 1, 1981, to Dec. 31, 2021, a total of 5,426 first-time-rated financial services entities were added to form new static pools, while we excluded 314 defaulting companies and 3079 companies that were no longer rated.

Consider the following example: An issuer is originally rated 'BB' in mid-1986 and is downgraded to 'B' in 1988. This is followed by a rating withdrawal in 1990 and a default in 1993. We would include this hypothetical company in the 1987 and 1988 pools with the 'BB' rating, which was the rating on the issuer at the beginning of those years. Likewise, it would be included in the 1989 and 1990 pools with the 'B' rating. It would not be part of the 1986 pool because it was not rated as of the first day of that year, and it would not be included in any pool after the last day of 1990 because the rating had been withdrawn by then. Yet each of the four pools in which this company was included (1987-1990) would record its 1993 default at the appropriate time horizon.

Default rate calculation.  We calculated annual default rates for each static pool, first in units and later as percentages with respect to the number of issuers in each rating category. We combined these percentages to obtain cumulative default rates for the 40 years the study covers (see chart 10 and tables 13-15, 22-23, 30-31, and 38-39).

Issuer-weighted default rates.  All default rates that appear in this study are based on the number of issuers rather than the dollar amounts affected by defaults or rating changes. Although dollar amounts provide information about the portion of the market that is affected by defaults or rating changes, issuer-weighted averages are more useful measures of the performance of ratings.

Average cumulative default rate calculation.  The cumulative default rates in this study average the experience of all static pools by first calculating marginal default rates for each possible time horizon and for each static pool, weight-averaging the marginal default rates conditional on survival (survivors being nondefaulters), and accumulating the average conditional marginal default rates. We calculated conditional default rates by dividing the number of issuers in a static pool that default at a specific time horizon by the number of issuers that survived (did not default) to that point in time. Weights are based on the number of issuers in each static pool. Cumulative default rates are one minus the product of the proportion of survivors (nondefaulters).

Transition analysis

Transition rates compare issuer ratings at the beginning of a period with ratings at the end of the period. To compute one-year rating transition rates by rating category, we compared the rating on each entity at the end of a particular year with the rating at the beginning of the same year. An issuer that remained rated for more than one year was counted as many times as the number of years it was rated. For instance, an issuer continually rated from the middle of 1984 to the middle of 1991 would appear in the seven consecutive one-year transition matrices from 1985 to 1991. If the rating on the issuer was withdrawn in the middle of 1991, it would be included in the column representing transitions to not rated ("NR") in the 1991 transition matrix. Similarly, if it defaulted in the middle of 1991, it would be included in the column representing transitions to 'D' in the 1991 one-year transition matrix.

All 1981 static pool members still rated on Jan. 1, 2021, had 41 one-year transitions, while companies first rated on Jan. 1, 2021, had only one. Table 6 displays the summary of one-year transitions in the investment-grade and speculative-grade rating categories in 2021. Each one-year transition matrix displays all rating movements between letter categories from the beginning of the year through year-end. For each rating listed in the matrix's leftmost column, there are nine ratios listed in the rows, corresponding to the ratings from 'AAA' to 'D', plus an entry for "NR", (see table 12).

The only ratings considered in these calculations are those on entities at the beginning of each static pool and those at the end. All rating changes that occur in between are ignored. For example, if an entity was rated 'A' on Jan. 1, 2021, and was downgraded to 'BBB' in the middle of the year and then upgraded to 'A' later in the year (with no other subsequent rating changes), this entity would be included only in the percentage of issuers that began the year at 'A' and ended the year at 'A'. This also applies to transition matrices that span longer time horizons. If an issuer defaults or if the issuer rating is withdrawn in the middle of the year, then it would be considered rated 'D' or not rated as of Dec. 31 of that particular year.

Multiyear transitions

Multiyear transitions were also calculated for periods of two up to 10 years. In this case, we compared the rating at the beginning of the multiyear period with the rating at the end. For example, three-year transition matrices were the result of comparing ratings at the beginning of the years 1981-2019 with the ratings at the end of the years 1983-2021. Otherwise, our approach was identical to that used for single-year transitions.

We calculated average transition matrices on the basis of the multiyear matrices just described. These average matrices are a true summary, the ratios of which represent the historical incidence of the ratings listed in the first column changing to the ones listed in the top row over the course of the multiyear period (see tables 10, 19, 27, and 35). Transition matrices that present averages over multiple time horizons are also calculated as issuer-weighted averages.

Rating modifiers

We use rating modifiers (plus and minus signs) to calculate upgrade and downgrade percentages, as well as the magnitude of rating changes, throughout this study. However, some transition tables may use full rating categories for practical reasons. In other words, the use of a rating category suggests that transitions to, for example, 'AA-' from 'AA' or to 'BBB-' from 'BBB+' are not considered to be rating transitions because the rating remained within the rating category.

Standard deviations

Many of the tables and charts in this study display averages of default rates, transition rates, and Gini ratios. Often these are issuer-weighted averages. Prior studies have shown that fluctuations in default rates and transitions can vary greatly depending on many circumstances specific to particular time frames, industries, and geographic regions. As a supplement to many of the averages and time series presented in this study, standard deviations are also shown to provide a gauge of the dispersion of data behind these averages.

Time sample

This update limits the reporting of default rates to the 15-year time horizon. However, the data were gathered for 40 years, and all calculations are based on the rating experience of that period. In addition, average default statistics become less reliable at longer time horizons as the sample size becomes smaller and the cyclical nature of default rates has a bigger effect on averages.

For a detailed explanation, please refer to Appendix I of "2021 Annual Global Corporate Default And Rating Transition Study" published April 13, 2022.

Appendix III: Gini Methodology

To measure relative ratings performance, we utilize the Lorenz curve as a graphical representation of the proportionality of a distribution, and we summarize this via the Gini coefficient. For this study, the Lorenz curve is plotted with the x-axis showing the cumulative share of issuers, arranged by rating, while the y-axis represents the cumulative share of defaulters, also arranged by rating. For both axes of the Lorenz curve, the observations are ordered from the low end of the ratings scale ('CCC'/'C') to the high end ('AAA').

As an example, if 'CCC'/'C' rated entities made up 10% of the total population of issuers at the start of the time frame examined (x-axis) and 50% of the defaulters (y-axis), then the coordinate (10, 50) would be the first point on the curve. If S&P Global Ratings' corporate ratings only randomly approximated default risk, the Lorenz curve would fall along the diagonal. Its Gini coefficient--which is a summary statistic of the Lorenz curve--would thus be zero. If corporate ratings were perfectly rank ordered so that all defaults occurred only among the lowest-rated entities, the curve would capture all of the area above the diagonal on the graph (the ideal curve), and its Gini coefficient would be 1 (see chart 24).

The procedure for calculating the Gini coefficients is illustrated in chart 24: Area B is bounded by the random curve and the Lorenz curve, while area A is bounded by the Lorenz curve and the ideal curve. The Gini coefficient is defined as area B divided by the total of area A plus area B. In other words, the Gini coefficient captures the extent to which actual ratings accuracy diverges from the random scenario and aspires to the ideal scenario.

Appendix IV: Defaults In Profile

In 2021, there were three defaults among companies rated by S&P Global Ratings, including two confidential issuers that defaulted on outstanding debt of US$300 million. This appendix provides a summary of the events leading up to the publicly rated default. We also list the defaulting instruments rated by S&P Global Ratings for each company.

Alpha Holding S.A. de C.V.

• US$300 million 10.00% notes due Dec. 19, 2022

On July 20, 2021, S&P Global Ratings lowered its issuer credit on Mexican lending company Alpha Holding S.A. de C.V. to 'D' from 'CC'. The company missed an interest payment on its senior notes of US$300 million.

Later, on Sept. 15, 2021, we discontinued our issuer credit ratings on the issuer according to our surveillance and withdrawal policy. Amid a Chapter 11 filing for its Colombian operations and a voluntary bankruptcy proceeding petition according to Mexico's bankruptcy law, the company announced that it had stopped its on-balance-sheet origination activities

Earlier, on June 18, 2021, we lowered our issuer credit and senior unsecured debt ratings on the company to 'CC' from 'CCC', after the announcement of the exercise of a 30-day grace period for the US$15 million cash interest payment due June 19, 2021, on its US$300 million senior secured notes due December 2022. The company said that an ad hoc group of holders of more than 50% in principal amount of the notes had appointed financial and legal advisers engaged in dialogue with Alpha Holding S.A. de C.V.

Table 42

Rating History
Date	To
15-Sept.-2021	NR/--/--
20-July-2021	D/--/--
18-June-2021	CC/Watch Neg/--
22-April-2021	CCC/Watch Neg/--
24-June-2020	B/Stable/--
27-Jan.-2020	B/Watch Pos/--
05-Dec.-2017	B/Stable/--

Related Criteria

• Banking Industry Country Risk Assessment Methodology And Assumptions, Dec. 9, 2021
• Financial Institutions Rating Methodology, Dec. 9, 2021
• S&P Global Ratings Definitions, Jan. 5, 2021
• Methodology And Assumptions For Analyzing Bond Insurance Capital Adequacy, July 1, 2019
• Insurers Rating Methodology, July 1, 2019
• Issue Credit Rating Methodology For Nonbank Financial Institutions And Nonbank Financial Services Companies, Dec. 9, 2014

Related Research

• 2021 Annual Global Corporate Default And Rating Transition Study, April 13, 2022
• What May Cause Insurance Companies To Fail--And How This Influences Our Criteria, June 13, 2013

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.

Primary Credit Analysts:	Nick W Kraemer, FRM, New York + 1 (212) 438 1698; nick.kraemer@spglobal.com
	Evan M Gunter, Montgomery + 1 (212) 438 6412; evan.gunter@spglobal.com
Research Contributor:	Tanya Dias, CRISIL Global Analytical Center, an S&P affiliate, Mumbai
Research Assistant:	Zev R Gurwitz, New York