The overall credit quality of European structured finance transactions continued to improve in 2022, following the trend in 2021(see chart 1). The average change in credit quality (ACCQ; see definition in Appendix I) for European structured finance rose to +0.19 notches by year-end 2022, up from +0.15 notches the prior year. This metric had been positive since year-end 2015, only turning negative in January and February 2021. Since recovering from this early 2021 dip, the metric has remained positive.

The downgrade rate rose marginally in 2022 to 1.4%, up from 1.0% in 2021. Meanwhile, the upgrade rate rose considerably to 9.6% from 7.8% in 2021. There were just three defaults in European structured finance in 2022, down from seven the previous year, yielding a default rate of 0.07%, compared with 0.19% in 2021. Of the three defaults in 2022, none were investment grade (rated 'BBB-' and above). Of the speculative-grade defaults, one was rated in the 'B' category, and two were in the 'CC' category at the beginning of the year.

S&P Global Ratings had 4,426 ratings outstanding on European structured finance securities at the beginning of 2022 (see table 1). Given the inherent diversity across European financial systems, the performance of the various structured finance sectors remained mixed.

Table 1

European structured finance transition and default summary
2022 versus one-year average
		2022					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	4,426	89.0	9.6	1.4	0.1	3.0	78.5	7.9	13.6	1.0
Sector
RMBS	1,573	79.3	20.3	0.4	0.1	1.0	80.3	8.8	10.9	0.3
Structured credit	2,221	96.6	2.0	1.4	0.1	2.0	75.4	9.0	15.6	1.3
ABS	397	87.7	12.3	0.0	0.0	0.0	88.5	5.3	6.2	0.2
CMBS	216	83.8	5.6	10.6	0.0	0.0	74.8	3.6	21.7	2.9
Single-name synthetics	19	89.5	0.0	10.5	0.0	0.0	82.0	3.7	14.4	0.4
Collateral country
U.K.	1,287	81.4	16.6	2.0	0.0	0.0	80.4	7.5	12.1	0.5
Spain	251	80.5	18.7	0.8	0.4	1.0	70.2	12.5	17.3	1.5
Italy	95	85.3	14.7	0.0	0.0	0.0	79.5	6.3	14.2	0.4
Netherlands	251	82.9	15.1	2.0	0.0	0.0	87.5	5.8	6.7	0.3
Germany	126	84.9	15.1	0.0	0.0	0.0	82.3	5.3	12.4	1.7
Portugal	53	52.8	47.2	0.0	0.0	0.0	75.8	10.8	13.4	0.0
Other	2,363	95.9	2.9	1.3	0.1	2.0	76.8	8.2	15.1	1.3
Vintage
Pre-2005	100	91.0	5.0	4.0	0.0	0.0	85.8	5.8	8.4	0.3
2005	116	78.4	18.1	3.4	0.0	0.0	74.7	8.1	17.2	1.1
2006	302	75.5	21.2	3.3	0.3	1.0	70.2	9.2	20.5	1.7
2007	354	79.1	19.2	1.7	0.3	1.0	67.3	11.1	21.6	2.0
2008	50	76.0	20.0	4.0	0.0	0.0	75.4	7.1	17.4	1.0
2009	19	94.7	5.3	0.0	0.0	0.0	75.6	9.8	14.5	0.6
2010	11	100.0	0.0	0.0	0.0	0.0	77.4	9.7	12.9	0.3
2011	16	87.5	12.5	0.0	0.0	0.0	81.8	8.0	10.2	0.0
2012	23	100.0	0.0	0.0	0.0	0.0	87.8	5.9	6.3	0.1
2013	26	92.3	7.7	0.0	0.0	0.0	91.0	6.1	2.9	0.4
2014	47	91.5	2.1	6.4	2.1	1.0	88.3	8.3	3.4	0.2
2015	46	84.8	15.2	0.0	0.0	0.0	88.4	10.7	0.9	0.1
2016	62	62.9	3.2	33.9	0.0	0.0	90.7	7.1	2.1	0.0
2017	296	89.9	9.8	0.3	0.0	0.0	94.2	5.4	0.4	0.0
2018	300	90.7	7.0	2.3	0.0	0.0	91.8	7.0	1.1	0.0
2019	461	92.4	7.4	0.2	0.0	0.0	93.6	4.4	2.0	0.1
2020	564	81.6	18.1	0.4	0.0	0.0	90.5	9.3	0.2	0.0
2021	1,633	96.4	3.4	0.1	0.0	0.0	96.4	3.4	0.1	0.0
Rating category
AAA	831	100.0	0.0	0.0	0.0	0.0	90.5	0.0	9.5	0.1
AA	989	88.7	10.9	0.4	0.0	0.0	75.5	9.3	15.2	0.1
A	995	84.6	13.9	1.5	0.0	0.0	75.8	11.0	13.1	0.1
BBB	642	81.6	13.7	4.7	0.0	0.0	74.8	11.4	13.7	0.2
BB	452	88.5	10.0	1.5	0.0	0.0	69.6	12.8	17.6	0.5
B	420	89.3	10.0	0.7	0.2	1.0	68.9	14.0	17.1	1.9
CCC	71	93.0	4.2	2.8	0.0	0.0	68.1	11.3	20.7	10.4
CC	26	88.5	3.8	7.7	7.7	2.0	68.0	1.8	30.2	29.9
Rating grade
Investment-grade	3,457	88.9	9.7	1.4	0.0	0.0	80.7	6.9	12.4	0.1
Speculative-grade	969	89.2	9.4	1.4	0.3	3.0	69.0	12.4	18.7	4.5
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Defaults in 2022 were from the structured credit(two defaults) and RMBS (one default) sectors, yielding default rates of 0.09% and 0.06%, respectively. The default rates in every sector remained below their respective one-year averages. For the eighth consecutive year, the asset-backed securities (ABS) sector had zero defaults. Additionally, 2022 was the first year since 2006 to record zero defaults in the CMBS sector.

Downgrade rates, which represent the number of downgrades as a proportion of the number of ratings outstanding, were concentrated in the CMBS sector, which had a downgrade rate of 10.7%. Single-name synthetics remained the only other sector yielding a higher downgrade rate than upgrade rate, at 10.5%. However, the sector accounted for less than 1% of European structured finance ratings outstanding at the start of 2022 (and no upgrades were recorded during the year).

The elevated downgrade rate in CMBS largely resulted from the underlying loans approaching maturity amid challenging refinancing options in a high interest rate environment. For more, see "European CMBS Faces Crunch Time With Loan Maturities Amid Higher Interest Rates," Feb. 23 2023.

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

The RMBS sector had the highest upgrade rate, which represents the number of upgrades as a proportion of the number of ratings outstanding, at 20.3%, up from 12.3% in 2021. The elevated upgrades in the sector were particularly concentrated in the nonconforming subsector, accounting for 29% of all RMBS upgrades (by number of ratings).

The credit quality of RMBS transactions has improved well beyond its long-term average upgrade rate of 8.8%.

The average change in credit quality for the RMBS sector has remained positive since 2016, though it was well off the 2020 peaks in 2022. It reached a maximum value of +0.45 notches in December 2022, up from +0.28 notches at year-end 2021, but down from the +0.82 notches peak in March 2020.

Structured credit remained the sector with the highest number of European structured finance ratings, accounting for 50% of all ratings at the start of 2022. The structured credit sector had the most immediate credit deterioration following the 2008-2009 global financial crisis, hitting the lowest credit performance level of any of the sectors at -3.27 notches in November 2009.

Once back in positive territory again in 2014, the measure remained elevated. Despite having briefly turned negative at the end of 2020 (-0.01 notches), the sector quickly recovered to positive territory, though it still hovered near the zero mark, closing the year at +0.02 notches.

The CMBS sector in Europe has had weak credit performance since late 2008, hitting a low of -2.22 notches in mid-2010. After three years of slowly improving credit performance following the financial crisis, the sector took another hit in May 2013, declining to a new low of -2.61 notches. This was the result of a rise in defaults, driven by failure to meet maturity obligations. In 2022, the sector's credit quality largely recovered, having closed the year at -0.06 notches, up from -0.36 notches at the end of 2021.

Default Rates Decline, Albeit Marginally

The 12-month-trailing default rate for European structured finance fell to 0.07% in December 2022 from 0.19% in December 2021 (see chart 2). The investment-grade segment continued to have a 12-month-trailing default rate of 0%. The measure captures the 12-month lag in defaults over the current number of outstanding ratings at the beginning of 2022. The 12-month-trailing default rate among speculative-grade securities fell significantly to 0.31% in 2022 from 0.94% in 2021. This measure marked the seventh lowest 12-month-trailing default rate since 2006 (192 pools).

Sector comparisons

The ABS sector, which made up 9% of outstanding ratings, had no defaults in 2022. The upgrade rate fell marginally in 2022, to 12.3%, down from 14.8% the prior year, but remained well above the one-year average of 5.3%. The downgrade rate remained at 0.0% in 2022.

The credit performance of European RMBS was also among the strongest in 2022 (see chart 4). The sector accounted for the second-most ratings at about 36%(trailing structured credit at 50%). The upgrade rate for RMBS was 20.3%, reflecting a significant increase from 12.3% in 2021. The downgrade rate increased slightly to 0.4%, up from 0.3% in 2021 and the sector had just one default in 2022 (see chart 5).

After being the sector hardest hit by the COVID-19 pandemic, the CMBS sector's recovery has now been further challenged by high interest rates amid the timing of upcoming maturities. As a result, the European CMBS sector continued to have a higher downgrade rate than its other sector peers at 10.6%. However, this figure represents a decline from 13.5% at the end of 2021, and 18.6% at the end of 2020.

All these figures are below the one-year average downgrade rate of 21.7%, further emphasizing the historical weakness of the sector. The upgrade rate improved to 5.6% in 2022, compared with 2.2% in 2021. Interestingly, there were no defaults in the CMBS sector in 2022, after having led European structured finance in defaults in 2021 with four. The CMBS sector accounted for just under 5% of outstanding European structured finance ratings at the start of 2022.

The structured credit sector, which accounted for the largest portion of European credits in 2022 at 50%, reported two defaults. The resulting default rate of 0.09% is slightly below that of 0.13% in 2021. Downgrades and upgrades were both tempered in 2022, as the sector had another quiet year in terms of rating actions. The downgrade rate rose to 1.4% from 0.3% the previous year, though remained well below the one-year average of 15.6%. Meanwhile, the upgrade rate decreased slightly to 2.0% from 2.6% the year prior.

The single-name synthetics sector accounted for the smallest portion of ratings outstanding at the start of 2022, at just 0.4%. There were no defaults or upgrades for this sector during the year, but we lowered 10.5% of outstanding ratings.

Vintages

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

In 2022, upgrade rates were the highest among the 2005, 2006, 2007, 2008, and 2020 vintages; the 2006 vintage had the highest upgrade rate at 21.2%. With the exception of 2014, and 2016, all the vintages' downgrade rates were short of the corresponding upgrade rates in 2022, with nearly two thirds of the vintages' upgrade rates exceeding their respective long-term averages. The bulk of upgrades came from the vintages issued in 2006, and 2007, which accounted for a little less than 15% of ratings outstanding at the start of 2022.

Turning to downgrades, six of the 18 vintages had no downgrades in 2022, with the 2016 vintage having the highest proportion of downgrades at 33.9%. Meanwhile, 2014, 2018, and 2020 were the only other vintages with a downgrade rate in 2022 higher than its long-term average.

The 2014 vintage had the highest default rate at 2.1%, well above the one-year average of 0.2%. Remaining defaults occurred in the 2006 and 2007 vintages, with default rates of 0.3% each.

Rating categories

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

In 2022, 78% of European structured finance securities were rated investment grade. Downgrades were recorded at each investment-grade rating category excluding 'AAA'. There were three times as many investment-grade downgrades compared with speculative grade (see chart 8). A similar trend was true for investment-grade upgrades.

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

For European structured finance, higher-rated securities have generally been associated with lower one-year weighted-average default rates between 1983 and 2022 (see chart 9). Given the limited number of defaults in 2022, this pattern is more pronounced on the speculative-grade end.

To further explore the extent to which our structured finance ratings have successfully rank-ordered securities' creditworthiness over time, we can calculate cumulative default rates by rating category for various time horizons, on the same basis as in our corporate default and transition studies.

This approach constructs average multiyear cumulative default rates by first aggregating across static pools the period-to-period one-year marginal default rates that are conditional on the securities' survival (that is, nondefault) in the prior one-year period (see Appendix I for more details). This approach differs from the calculations we use in constructing the weighted-average multiyear default and transition rates elsewhere in this study, which are not conditional on survival.

The cumulative default rates (conditional on survival) based on our full data history for European structured finance--from the beginning of 1983 to the end of 2022--show that lower ratings have generally been associated with higher default rates and vice versa (see table 2). In other words, ratings appear to have successfully rank-ordered creditworthiness over each time horizon.

For some timeframes, there has been a limited distinction in cumulative default rates between the 'AA' and 'A' rating categories. This is partly because of a different mix of sectors within rating categories. Sectors that were more adversely affected by the financial crisis (e.g., structured credit) account for a larger portion of the 'AA' category than less-affected sectors (e.g., RMBS).

Table 2

European structured finance cumulative default rates, conditional on survival, 1983-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.11	0.27	0.50	0.79	1.07	1.29	1.46	1.54	1.61	1.66
AA	0.10	0.27	0.59	0.99	1.58	2.01	2.34	2.53	2.66	2.78
A	0.11	0.34	0.67	1.04	1.54	2.02	2.45	2.73	2.93	3.12
BBB	0.25	0.72	1.38	2.22	3.27	4.20	5.01	5.60	6.05	6.48
BB	0.53	1.63	3.04	4.44	5.67	6.74	7.73	8.49	9.07	9.62
B	1.92	4.52	7.21	9.73	11.74	12.83	13.54	14.08	14.36	14.50
CCC	10.43	18.80	24.65	28.62	30.20	31.24	31.96	32.49	32.93	33.03
CC	29.93	46.18	56.67	58.97	59.28	59.45	59.45	59.45	59.45	59.45
IG	0.13	0.37	0.72	1.15	1.69	2.15	2.53	2.77	2.95	3.11
SG	4.46	8.40	11.67	14.10	15.62	16.65	17.47	18.09	18.54	18.86
Overall	0.95	1.89	2.78	3.58	4.30	4.86	5.32	5.63	5.85	6.03
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Sectors In Detail: Overall Improvement In 2022, Though CMBS And Structured Credit Performance Deteriorated

RMBS

There was one default among European RMBS securities in 2022, resulting in an annual default rate of 0.1%, below the long-term average of 0.3%. The upgrade rate in 2022 climbed to 20.3%, compared with 12.3% the year before. In turn, the downgrade rate rose slightly to 0.4%, from 0.3% in 2021. The average change in credit quality climbed to about +0.5 notches by the end of the year, up from +0.3 notches at the end of 2021.

The European RMBS 12-month-trailing default rate remained stable at 0% for most of 2022, but ended the year at 0.6% (see chart 11). Historically, it has been below the 12-month-trailing default rate for all of European structured finance.

Upgrades were primarily of credits in Portugal, which had a 49.0% upgrade rate in 2022, and of speculative-grade credits, specifically in the 2020 vintage (see table 3).

All of the downgrades were of Dutch and Spanish securities, with downgrade rates of 4.2% and 0.9%, respectively. They were primarily limited to pre-2009 vintages; the 2008 vintage had the highest downgrade rate at 4.7%. The only default was from the Spanish RMBS subsector, yielding a default rate of 0.5%.

Downgrades occurred primarily in the investment-grade space, which accounted for five of the seven downgrades in 2022. The 'CC' rating category had the highest downgrade rate at 100.0%, as the only outstanding security at the start of the year from this category defaulted.

Table 3

European RMBS transition and default summary
2022 versus one-year average
		2022					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	1,573	79.3	20.3	0.4	0.1	1.0	80.3	8.8	10.9	0.3
Subsector
Nonconforming	511	82.00	18.00	0.00	0.00	0.00	77.08	10.93	11.99	0.11
Spanish	214	79.44	19.63	0.93	0.47	1.00	69.28	14.29	16.43	1.43
U.K. prime	88	88.64	11.36	0.00	0.00	0.00	89.96	2.89	7.15	0.00
Dutch prime	119	92.44	3.36	4.20	0.00	0.00	90.15	5.03	4.82	0.00
Italian	63	84.13	15.87	0.00	0.00	0.00	76.29	8.79	14.91	0.33
Portuguese	47	51.06	48.94	0.00	0.00	0.00	68.95	14.46	16.59	0.06
German	11	81.82	18.18	0.00	0.00	0.00	86.94	5.89	7.17	0.54
Other	520	73.85	26.15	0.00	0.00	0.00	82.05	8.13	9.82	0.20
Vintage
Pre-2005	52	90.4	9.6	0.0	0.0	0.0	86.4	7.1	6.5	0.0
2005	89	78.7	21.3	0.0	0.0	0.0	79.0	8.3	12.7	0.1
2006	247	75.3	23.9	0.8	0.0	0.0	76.0	9.1	14.9	0.3
2007	275	74.5	24.4	1.1	0.4	1.0	72.9	10.0	17.1	1.0
2008	43	72.1	23.3	4.7	0.0	0.0	76.7	6.6	16.7	0.6
2009	5	80.0	20.0	0.0	0.0	0.0	69.2	10.6	20.2	0.7
2010	8	100.0	0.0	0.0	0.0	0.0	90.0	4.1	6.0	0.4
2011	12	83.3	16.7	0.0	0.0	0.0	83.1	7.2	9.7	0.0
2012	8	100.0	0.0	0.0	0.0	0.0	85.4	7.7	6.8	0.0
2013	5	100.0	0.0	0.0	0.0	0.0	90.0	9.3	0.7	0.0
2014	14	92.9	7.1	0.0	0.0	0.0	83.2	15.2	1.6	0.0
2015	6	100.0	0.0	0.0	0.0	0.0	83.5	16.0	0.4	0.2
2016	19	100.0	0.0	0.0	0.0	0.0	86.6	13.4	0.0	0.0
2017	55	98.2	1.8	0.0	0.0	0.0	83.7	16.3	0.0	0.0
2018	62	90.3	9.7	0.0	0.0	0.0	85.1	14.9	0.0	0.0
2019	132	85.6	14.4	0.0	0.0	0.0	90.8	8.7	0.4	0.0
2020	210	59.0	41.0	0.0	0.0	0.0	77.2	22.6	0.2	0.0
2021	331	87.0	13.0	0.0	0.0	0.0	87.0	13.0	0.0	0.0
Rating category
AAA	269	100.0	0.0	0.0	0.0	0.0	93.5	0.0	6.5	0.1
AA	346	78.3	21.7	0.0	0.0	0.0	74.3	10.0	15.7	0.0
A	469	76.1	23.0	0.9	0.0	0.0	74.7	12.6	12.7	0.0
BBB	191	64.9	34.6	0.5	0.0	0.0	76.5	14.3	9.2	0.1
BB	126	69.8	29.4	0.8	0.0	0.0	69.0	15.2	15.8	0.3
B	123	74.8	25.2	0.0	0.0	0.0	76.4	13.5	10.1	1.0
CCC	48	95.8	4.2	0.0	0.0	0.0	77.6	9.5	12.9	8.5
CC	1	0.0	0.0	100.0	100.0	1.0	51.5	15.2	33.3	27.3
Rating grade
Investment-grade	1,275	80.1	19.5	0.4	0.0	0.0	81.6	7.9	10.5	0.0
Speculative-grade	298	75.8	23.5	0.7	0.3	1.0	73.1	13.8	13.2	1.8
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Structured credit

The annual default rate among European structured credit ratings held steady at 0.1% in 2022. Following a five-year expansion period that began in 2014, the average change in credit quality remained positive until year-end 2020, hovering just above zero notches until it contracted into negative territory at the beginning of 2021. The measure remained negative until July 2021, and has since held steady, ending 2022 at +0.02 notches (see chart 12).

The 2022 upgrade rate of 2.0% was slightly below the 2.6% exhibited in 2021. Meanwhile, the 2022 downgrade rate climbed to 1.4%, after having reached an all-time low of 0.3% in 2021.

The 12-month-trailing default rate for European structured credit dropped to 0.09% in 2022, down from 0.13% at year-end 2021 (see chart 13). Historically, the 12-month-trailing default rate for structured credit had generally exceeded the overall European structured finance 12-month-trailing default rate. However, this trend has changed in recent years as the sector stability rates (unchanged ratings) have risen.

Credit performance in the European structured credit sector has historically diverged between collateralized loan obligations (CLOs)--which have been relatively stable--and other types of structured credit transactions, including collateralized debt obligations (CDOs). Following three years of more uniform credit performance across the structured credit subsectors, diverging performance emerged once again in 2020, and continued into 2021 and 2022.

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

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

The overall default rate of 0.07% within European structured finance credits were largely the result of two defaults from non-CLO instruments, particularly from the 2006 and 2014 vintages (see table 4). Leveraged loan CLOs accounted for 88% of the European structured credit ratings in 2022, while CDOs made up just 1.1%. The one CDO default resulted in a 4.2% default rate for the sector. The other default was from the 'other' structured credit subsector, yielding a 0.4% default rate.

The upgrade rate fell to 2.0% for European structured credit, with many upgrades from the 2015 and 2017 vintages. All rating categories reported upgrades in 2022.

There were no downgrades among CLOs in 2022 or2021, while 2022 downgrades declined among CDOs. The downgrade rate for the 'other' subsector climbed to 11.8% in 2022, up from just 0.8% in 2021. Downgrades were concentrated in the 2016 vintage, which reported a 77.8% downgrade rate, and they were primarily among investment-grade ratings.

Table 4

European structured credit transition and default summary
2022 versus one-year average
		2022					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	2,221	96.6	2.0	1.4	0.1	2	75.4	9.0	15.6	1.3
Subsector
Leveraged loan CLOs	1,951	98.3	1.7	0.0	0.0	0	78.4	13.0	8.6	0.1
Structured finance CDOs	24	75.0	16.7	8.3	4.2	1	70.3	6.2	23.5	3.1
Other	246	85.4	2.8	11.8	0.4	1	75.0	6.9	18.2	1.5
Vintage
Pre-2005	7	100.0	0.0	0.0	0.0	0	82.7	6.2	11.1	0.6
2005	10	80.0	20.0	0.0	0.0	0	69.6	9.3	21.1	1.8
2006	30	76.7	13.3	10.0	3.3	1	65.2	11.7	23.0	2.3
2007	53	96.2	1.9	1.9	0.0	0	64.1	14.6	21.3	1.9
2008	6	100.0	0.0	0.0	0.0	0	72.8	8.1	19.1	1.6
2009	11	100.0	0.0	0.0	0.0	0	80.4	11.4	8.2	0.8
2010	1	100.0	0.0	0.0	0.0	0	66.0	18.1	16.0	0.0
2011	2	100.0	0.0	0.0	0.0	0	74.0	9.2	16.8	0.0
2012	9	100.0	0.0	0.0	0.0	0	82.7	7.1	10.2	0.4
2013	10	100.0	0.0	0.0	0.0	0	93.1	3.4	3.5	0.3
2014	15	93.3	0.0	6.7	6.7	1	90.7	3.8	5.5	0.3
2015	22	68.2	31.8	0.0	0.0	0	92.6	6.3	1.1	0.0
2016	27	22.2	0.0	77.8	0.0	0	95.3	1.0	3.7	0.0
2017	225	87.6	12.0	0.4	0.0	0	96.8	2.8	0.4	0.0
2018	164	99.4	0.6	0.0	0.0	0	98.8	1.2	0.0	0.0
2019	228	99.1	0.9	0.0	0.0	0	97.2	0.7	2.1	0.0
2020	256	99.2	0.0	0.8	0.0	0	99.4	0.3	0.3	0.0
2021	1,145	99.7	0.1	0.2	0.0	0	99.7	0.1	0.2	0.0
Rating category
AAA	398	100.0	0.0	0.0	0.0	0	86.4	0.0	13.6	0.2
AA	519	97.1	2.9	0.0	0.0	0	74.3	10.2	15.4	0.2
A	398	96.5	2.8	0.8	0.0	0	74.4	11.6	14.0	0.2
BBB	331	89.7	2.7	7.6	0.0	0	70.9	11.9	17.2	0.2
BB	270	98.9	1.1	0.0	0.0	0	70.1	13.3	16.5	0.3
B	268	97.8	1.9	0.4	0.4	1	66.1	17.6	16.3	0.5
CCC	12	83.3	8.3	8.3	0.0	0	68.1	12.7	19.2	8.0
CC	25	92.0	4.0	4.0	4.0	1	70.7	1.2	28.0	28.0
Rating grade
Investment-grade	1,646	96.2	2.1	1.7	0.0	0	77.7	7.4	14.8	0.2
Speculative-grade	575	97.7	1.7	0.5	0.3	2	68.6	13.5	17.9	4.4
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance. Source: S&P Global Ratings Credit Research & Insights.

ABS

The European ABS sector's credit performance continued to improve in 2022. Despite the average change in credit quality falling to +0.24 notches in 2022 from +0.40 notches at the end of 2021, it still remains well above historical levels. It's also noteworthy to mention that this figure reached an all-time high of +0.46 notches in October of 2021, so this normalization is to be expected.

The average change in credit quality has remained positive for more than seven years (see chart 14). Meanwhile, the upgrade rate fell from an all-time high of 14.8% in 2021 to 12.3% in 2022. The downgrade rate floored at 0% in 2021 and remained there in 2022. For the eighth consecutive year, there were no defaults in European ABS.

The 12-month default rate in European ABS has historically remained lower than the aggregate European structured finance default rate. The notable exception was in 2014, when there was a pronounced uptick in defaults for the corporate securitization subsector, leading to an overall European ABS default rate of 2.6% for that year (see chart 15). The 12-month-trailing default rate has been 0% since 2015.

European ABS accounted for just under 9% of all outstanding European structured finance credits in 2022. Along with no defaults in 2022, there were also no downgrades.

European ABS securities rated in the 'B' category at the start of 2022 had the highest upgrade rate at 27.3%. Most rating categories reported upgrade rates higher than their respective one-year averages, with the exception of the 'CCC' and 'CC'categories (which had no upgrades in 2022).

Table 5

European ABS transition and default summary
2022 versus one-year average
		2022					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	397	87.7	12.3	0.0	0.0	0	88.5	5.3	6.2	0.2
Subsector
Auto	249	84.7	15.3	0.0	0.0	0	90.3	7.3	2.3	0.2
Corporate securitizations	53	94.3	5.7	0.0	0.0	0	82.3	3.0	14.7	0.8
Other consumer	23	87.0	13.0	0.0	0.0	0	87.0	7.1	5.9	0.1
Credit card	26	100.0	0.0	0.0	0.0	0	95.8	1.9	2.3	0.0
Other	46	89.1	10.9	0.0	0.0	0	87.0	4.8	8.2	0.0
Vintage
Pre-2005	12	100.0	0.0	0.0	0.0	0	91.9	3.2	5.0	0.2
2005	6	100.0	0.0	0.0	0.0	0	85.0	3.5	11.5	0.1
2006	10	100.0	0.0	0.0	0.0	0	80.7	5.5	13.8	0.4
2007	3	100.0	0.0	0.0	0.0	0	78.0	5.4	16.6	1.5
2008	1	100.0	0.0	0.0	0.0	0	85.6	5.9	8.5	0.2
2009	1	100.0	0.0	0.0	0.0	0	83.1	5.2	11.6	0.0
2010	1	100.0	0.0	0.0	0.0	0	86.4	7.1	6.6	0.0
2011	1	100.0	0.0	0.0	0.0	0	86.9	7.9	5.2	0.0
2012	5	100.0	0.0	0.0	0.0	0	95.3	2.4	2.4	0.0
2013	8	100.0	0.0	0.0	0.0	0	91.8	6.9	1.3	0.0
2014	16	100.0	0.0	0.0	0.0	0	92.7	5.3	2.1	0.0
2015	16	100.0	0.0	0.0	0.0	0	88.9	10.1	0.9	0.0
2016	16	87.5	12.5	0.0	0.0	0	88.7	10.0	1.3	0.0
2017	11	90.9	9.1	0.0	0.0	0	93.0	6.1	0.9	0.0
2018	46	76.1	23.9	0.0	0.0	0	85.5	14.5	0.0	0.0
2019	61	83.6	16.4	0.0	0.0	0	87.0	12.5	0.5	0.0
2020	87	81.6	18.4	0.0	0.0	0	85.1	14.9	0.0	0.0
2021	96	90.6	9.4	0.0	0.0	0	90.6	9.4	0.0	0.0
Rating category
AAA	134	100.0	0.0	0.0	0.0	0	97.2	0.0	2.8	0.0
AA	60	75.0	25.0	0.0	0.0	0	79.6	10.4	10.0	0.0
A	77	83.1	16.9	0.0	0.0	0	85.6	8.3	6.2	0.0
BBB	66	84.8	15.2	0.0	0.0	0	86.1	6.6	7.3	0.1
BB	29	82.8	17.2	0.0	0.0	0	73.8	11.3	14.8	0.2
B	22	72.7	27.3	0.0	0.0	0	69.7	13.1	17.2	2.7
CCC	9	100.0	0.0	0.0	0.0	0	74.8	9.9	15.3	11.5
CC	0	0.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating grade
Investment-grade	337	88.7	11.3	0.0	0.0	0	89.7	4.8	5.5	0.0
Speculative-grade	60	81.7	18.3	0.0	0.0	0	72.9	11.6	15.5	2.8
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

CMBS

European CMBS credit performance improved in 2022. As the annual default rate fell to 0% from 2.2% in 2021, the downgrade rate also fell to 10.6% in 2022 from 13.5% in 2021, below the one-year weighted average of 21.7%. Meanwhile, the upgrade rate rose to 5.6% in 2022 from 2.2% in 2021, well above the one-year average of 3.6%. The average change in credit quality among European structured finance CMBS transactions was negative for more than a decade before turning positive in September 2019. The measure ended 2022 at -0.06 notches, much improved from -0.36 notches at the end of 2021 (see chart 16).

The 12-month-trailing default rate for European CMBS hovered between 2.1% and 2.2% for the first half of the year, before bottoming out to 0% in September (see chart 17). Before the financial crisis, the overall European structured finance and European CMBS 12-month-trailing default rates were nearly the same. After the crisis, CMBS defaults rose, bringing the 12-month-trailing default rate for the sector above that of European structured finance.

The CMBS sector represents one of the smallest shares of European structured finance by number of ratings, accounting for just 4.9% of the total at the beginning of 2022. There were no defaults in CMBS in 2022.

The U.K. and "other" CMBS subsectors were the only ones to report downgrades in 2022, with rates of 14.5% and 1.7%, respectively. There were no outstanding multi-country credits at the start of the year in this sector.

Considering only vintages with a significant number of ratings outstanding, the one-year average downgrade and default rates have been highest in the pre-2008 vintages. These vintages had greater exposure to lower lending standards before the financial crisis and to subsequent falling real estate values, and many loans have now reached maturity with borrowers unable to refinance, leading to loan defaults. By contrast, post-2007 vintages exhibit stronger credit performance, with no defaults in 2022.

Table 6

European CMBS transition and default summary
2022 versus one-year average
		2022					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	216	83.8	5.6	10.6	0.0	0	74.8	3.6	21.7	2.9
Subsector
U.K.	152	83.6	2.0	14.5	0.0	0	75.9	4.4	19.7	2.4
German	6	100.0	0.0	0.0	0.0	0	68.4	3.4	28.2	4.7
Multi-country	0	0.0	0.0	0.0	0.0	0	72.7	2.4	24.9	3.5
Other	58	82.8	15.5	1.7	0.0	0	78.2	2.8	19.0	2.3
Vintage
Pre-2005	29	86.2	0.0	13.8	0.0	0	89.6	5.3	5.2	0.3
2005	9	55.6	0.0	44.4	0.0	0	77.0	5.0	18.0	1.8
2006	15	60.0	6.7	33.3	0.0	0	68.1	2.2	29.8	4.4
2007	6	100.0	0.0	0.0	0.0	0	59.2	1.7	39.0	6.1
2008	0	0.0	0.0	0.0	0.0	0	67.6	0.0	32.4	2.7
2009	2	100.0	0.0	0.0	0.0	0	69.4	11.1	19.4	0.0
2010	1	100.0	0.0	0.0	0.0	0	43.2	1.1	55.7	3.4
2011	1	100.0	0.0	0.0	0.0	0	56.5	21.7	21.7	0.0
2012	1	100.0	0.0	0.0	0.0	0	81.8	6.1	12.1	0.0
2013	3	33.3	66.7	0.0	0.0	0	69.5	6.8	23.7	6.8
2014	2	0.0	0.0	100.0	0.0	0	84.6	2.6	12.8	2.6
2015	2	100.0	0.0	0.0	0.0	0	90.3	7.8	1.9	0.0
2016	0	0.0	0.0	0.0	0.0	0	50.0	0.0	50.0	0.0
2017	5	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
2018	28	64.3	10.7	25.0	0.0	0	84.1	3.4	12.4	0.0
2019	40	90.0	7.5	2.5	0.0	0	88.6	2.3	9.1	0.8
2020	11	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
2021	61	95.1	4.9	0.0	0.0	0	95.1	4.9	0.0	0.0
Rating category
AAA	30	100.0	0.0	0.0	0.0	0	87.4	0.0	12.6	0.0
AA	61	88.5	4.9	6.6	0.0	0	78.5	4.5	17.0	0.1
A	50	72.0	12.0	16.0	0.0	0	74.3	6.2	19.5	0.2
BBB	40	87.5	7.5	5.0	0.0	0	73.7	5.9	20.4	0.8
BB	27	77.8	0.0	22.2	0.0	0	67.2	4.4	28.5	2.0
B	6	66.7	0.0	33.3	0.0	0	56.3	1.5	42.2	9.9
CCC	2	50.0	0.0	50.0	0.0	0	48.4	0.4	51.2	38.1
CC	0	0.0	0.0	0.0	0.0	0	38.3	0.0	61.7	61.7
Rating grade
Investment-grade	181	85.6	6.6	7.7	0.0	0	79.1	3.9	17.1	0.2
Speculative-grade	35	74.3	0.0	25.7	0.0	0	59.5	2.6	37.8	12.3
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Appendix I: Terminology, Data Selection, And Calculation Approaches

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

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

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

Issues included in this study

The study analyzes the rating histories of 24,223 European structured finance instruments that S&P Global Ratings first rated between 1982 and Dec. 31, 2022. The term "structured finance" in this report refers to ABS, CMBS, RMBS, structured credit, and single-name synthetic transactions. For some analyses, we break down these sectors into subsectors.

Sector definitions

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

RMBS includes transactions backed by residential mortgage loans.

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

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

Single-name synthetic transactions are also referred to as "repackaged transactions" (or "repacks"), especially in Europe. The definition of a repack in this instance is an issue backed by a single credit, where the rating on the note is directly linked to that on the underlying credit.

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

Region definitions

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

Vintage definition

We classify securities' vintages based on the date when we first assigned a rating. Usually this is close to the security's original issuance date. However, in some cases, we may first assign a rating to a security later after closing.

Rating transitions

Our rating transition statistics use a "static pool" approach. To calculate the transition statistics over a given period (or "transition window"), we consider the static pool of ratings outstanding at the beginning of that period. We base the transition statistics for that static pool of ratings on the movements in ratings between the start and end of the transition window.

For instance, we calculate the 2022 transition rates by determining the ratings on each security at the start of 2022 and determining the ratings on those same securities at the end of 2022. We then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportion of securities in the static pool with ratings that moved up, down, or remained the same, respectively, over the transition window. During this process, we count each security only once, even if the security experienced more than one rating change during the observed transition window. In other words, we use the ratings on a security at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes.

Rating modifiers

We use rating modifiers ('+' and '-') to calculate the upgrade, downgrade, and stability rates in the text, tables, and charts throughout this study. However, the transition matrices in Appendix II show only the full rating categories for practical reasons. In other words, we generally count transitions such as to 'AA+' from 'AA' as an upgrade and to 'BBB-' from 'BBB+' as a downgrade. However, in the corresponding transition matrices, these transitions would appear in the cells corresponding to a stable rating category classification, such as to 'AA' from 'AA' or to 'BBB' from 'BBB'.

Rating discontinuance or withdrawal

We may discontinue ratings when, for example, a rated obligation's payments have been made in full in accordance with its terms or when a rated issue matures. Ratings may be withdrawn because of insufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to not rated (NR).

When we withdraw or discontinue ratings within a transition window, we may derive our reported statistics either by classifying the rating transition as a move to not rated (the "NR-included" approach) or--for some other analyses--classify the transition as a move to the last non-NR rating before withdrawal or discontinuance (the "NR-adjusted" approach). In the text of this study, when we refer to upgrade and downgrade rates, for example, we use the latter approach. In the tables and charts, we clarify the approach we used in the footnote. We do not include a security with a withdrawn rating at the beginning of a transition window in the transition and default rate calculations for that period.

Treatment of 'AAA' ratings

We include the ratings history of all securities with original ratings of 'AAA', which we call the "uncollapsed" approach. This represents a change in methodology from editions of the study prior to 2018. In previous editions, for each structured finance transaction, we generally included only one of the securities that we originally rated 'AAA', calling this the "collapsed" approach. This was because historically, some transactions had a disproportionate number of 'AAA' rated tranches that were likely to exhibit similar or identical credit performance. By including only one such security per transaction, we aimed to avoid overweighting their behavior in aggregate performance statistics.

However, we now include all securities' rating histories, regardless of the original ratings, for completeness and consistency with our other reporting on ratings performance in regulatory submissions. Appendix III shows the effects on some example summary statistics of altering the treatment of 'AAA' ratings.

Treatment of 'D' ratings

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

In practice, however, some securities downgraded to 'D' may later be assigned other ratings. This can occur, for example, if the defaulted security is subsequently restructured to different terms, such as a lower coupon. In these cases, we treat the security's post-default ratings history as if it were for a new security, beginning from the date that the rating changed from 'D'. Where we segment statistics by vintage, however, we base the vintage on the date we originally assigned a rating to the security.

Average change in credit quality calculation

Certain analyses in this study refer to the "average change in credit quality" of a set of structured finance securities over a given transition window. We define the average change in credit quality as the average number of rating notches by which ratings changed during the stated transition window, where we take the average across all ratings in the set under consideration (for example, a particular sector). In this averaging, we count downgrades as a negative number of notches and upgrades as a positive number. We consider stable ratings to have undergone a transition of zero notches. We believe this measure is a useful summary of the credit performance of a given sector because it combines the relative number of ratings undergoing transition with the severity of that transition.

Weighted-average transition and default rate calculation

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

Average cumulative default rate calculation

In this study, we also calculate and present average cumulative default rates for different time horizons. For example, table 2 shows that the one-year average cumulative default rate for 'BBB' rated European structured finance is 0.25%, and the three-year average is 1.38%.

We first consider the static pool of ratings at the beginning of each calendar year. For each static pool, we calculate the marginal default rates for each calendar year after the static pool's formation. These one-year marginal default rates are "conditional on survival." The marginal default rate for the third year is the number of defaults during the third year divided by the number of ratings from the static pool that had "survived" (that is, not moved to 'D') by the beginning of the third year.

We then average the marginal default rates for each time horizon across static pools, weighting by the number of surviving ratings at the beginning of each time horizon, to give an average marginal default rate per time horizon, as well as average marginal survival rates (equal to one minus the average marginal default rate). Finally, we calculate the average cumulative default rate of each time horizon as one minus the product of marginal survival rates up to that time horizon.

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

Appendix II: Detailed Default And Transition Statistics

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

European structured finance

Table 7

European structured finance cumulative default rates, conditional on survival, 1983-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.1	0.3	0.5	0.8	1.1	1.3	1.5	1.5	1.6	1.7
AA	0.1	0.3	0.6	1.0	1.6	2.0	2.3	2.5	2.7	2.8
A	0.1	0.3	0.7	1.0	1.5	2.0	2.5	2.7	2.9	3.1
BBB	0.2	0.7	1.4	2.2	3.3	4.2	5.0	5.6	6.1	6.5
BB	0.5	1.6	3.0	4.4	5.7	6.7	7.7	8.5	9.1	9.6
B	1.9	4.5	7.2	9.7	11.7	12.8	13.5	14.1	14.4	14.5
CCC	10.4	18.8	24.7	28.6	30.2	31.2	32.0	32.5	32.9	33.0
CC	29.9	46.2	56.7	59.0	59.3	59.5	59.5	59.5	59.5	59.5
IG	0.1	0.4	0.7	1.2	1.7	2.1	2.5	2.8	2.9	3.1
SG	4.5	8.4	11.7	14.1	15.6	16.7	17.5	18.1	18.5	18.9
Overall	1.0	1.9	2.8	3.6	4.3	4.9	5.3	5.6	5.8	6.0
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 8

European structured finance one-year default rates, 1983-2022 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1983	0.0	0.0	N/A	0.0	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1984	0.0	0.0	N/A	0.0	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1985	0.0	0.0	N/A	0.0	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1986	0.0	0.0	N/A	0.0	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.0	0.0	N/A	0.0	0.0	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.0	0.0	N/A	0.0	0.0	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.0	0.0	N/A	0.0	0.0	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.0	0.0	N/A	0.0	0.0	0.0	N/A	N/A	N/A	N/A	N/A
1991	0.0	0.0	N/A	0.0	0.0	N/A	0.0	N/A	N/A	N/A	N/A
1992	0.0	0.0	N/A	0.0	0.0	0.0	0.0	N/A	N/A	N/A	N/A
1993	0.0	0.0	N/A	0.0	0.0	0.0	N/A	N/A	N/A	N/A	N/A
1994	0.0	0.0	N/A	0.0	0.0	0.0	0.0	N/A	N/A	N/A	N/A
1995	0.0	0.0	0.0	0.0	0.0	0.0	0.0	N/A	0.0	N/A	N/A
1996	0.0	0.0	0.0	0.0	0.0	0.0	0.0	N/A	0.0	N/A	N/A
1997	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	N/A	N/A
1998	0.2	0.0	16.7	0.0	0.0	0.0	0.0	33.3	0.0	N/A	N/A
1999	0.2	0.0	9.1	0.0	0.0	0.0	0.0	0.0	0.0	N/A	100.0
2000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	N/A	N/A
2001	0.1	0.1	0.0	0.0	0.0	0.0	0.7	0.0	0.0	N/A	N/A
2002	0.4	0.1	4.1	0.0	0.0	0.0	0.8	2.2	50.0	33.3	N/A
2003	0.3	0.0	4.4	0.0	0.0	0.0	0.0	0.0	0.0	30.0	66.7
2004	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
2005	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
2006	0.1	0.0	1.0	0.0	0.0	0.0	0.0	0.0	0.0	8.3	100.0
2007	0.2	0.1	0.5	0.1	0.3	0.0	0.2	0.0	6.3	0.0	N/A
2008	0.5	0.5	0.8	0.5	0.3	0.5	0.7	0.1	2.7	6.3	0.0
2009	1.0	0.2	5.2	0.1	0.3	0.6	0.2	0.6	3.8	13.7	11.1
2010	1.8	0.2	6.4	0.0	0.2	0.3	0.5	1.6	3.3	11.4	16.5
2011	2.1	0.2	6.3	0.3	0.1	0.0	0.6	1.4	2.9	11.4	21.1
2012	2.3	0.2	7.0	0.1	0.1	0.1	0.6	1.1	2.7	7.7	54.8
2013	2.5	0.1	7.4	0.0	0.0	0.1	0.1	0.9	2.5	13.1	48.6
2014	1.6	0.0	5.1	0.0	0.0	0.0	0.0	0.0	2.9	9.8	45.8
2015	0.7	0.0	2.2	0.0	0.0	0.0	0.0	0.0	1.5	4.5	17.1
2016	1.3	0.0	4.6	0.0	0.0	0.0	0.1	0.2	1.0	11.8	31.7
2017	1.0	0.0	4.0	0.0	0.0	0.0	0.0	0.3	0.8	14.1	10.8
2018	0.7	0.0	3.0	0.0	0.0	0.0	0.0	0.0	0.0	12.6	8.6
2019	0.7	0.0	3.4	0.0	0.0	0.0	0.0	0.0	0.0	13.8	26.7
2020	0.2	0.1	0.8	0.0	0.0	0.0	0.6	0.0	0.4	2.4	8.0
2021	0.2	0.0	0.9	0.0	0.0	0.0	0.0	0.0	1.3	3.8	0.0
2022	0.1	0.0	0.3	0.0	0.0	0.0	0.0	0.0	0.2	0.0	7.7
Weighted-average	1.0	0.1	4.5	0.1	0.1	0.1	0.2	0.5	1.9	10.4	29.9
Median	0.1	0.0	2.6	0.0	0.0	0.0	0.0	0.0	0.3	9.8	16.8
Std. dev.	0.7	0.1	3.8	0.1	0.1	0.1	0.3	6.5	9.4	8.8	31.2
Minimum	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
Maximum	2.5	0.5	16.7	0.5	0.3	0.6	0.8	33.3	50.0	33.3	100.0
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 9

European structured finance rating transitions, 2022 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2022
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	3.03	96.66	0.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.63	92.76	0.60	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.16	1.56	9.97	88.16	0.00	0.16	0.00	0.00	0.00	0.00
BB	0.00	0.00	2.21	5.31	91.81	0.66	0.00	0.00	0.00	0.00
B	0.00	0.24	1.19	1.43	4.76	91.67	0.24	0.24	0.00	0.24
CCC	0.00	0.00	0.00	1.41	0.00	2.82	94.37	1.41	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	3.85	88.46	0.00	7.69
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	90.49	5.25	2.23	0.84	0.40	0.27	0.40	0.01	0.00	0.11
AA	4.97	83.52	6.94	2.30	0.85	0.52	0.77	0.03	0.00	0.10
A	0.83	5.45	86.06	4.49	1.83	0.57	0.61	0.05	0.00	0.11
BBB	0.24	1.19	6.55	80.94	5.66	2.71	2.35	0.10	0.00	0.25
BB	0.22	0.17	1.16	7.94	74.96	9.19	5.63	0.19	0.00	0.53
B	0.04	0.09	0.19	1.62	8.38	77.11	10.21	0.43	0.01	1.92
CCC	0.02	0.02	0.00	0.35	1.19	6.37	76.86	4.76	0.00	10.43
CC	0.00	0.00	0.00	0.00	0.12	0.61	1.09	68.00	0.24	29.93
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	82.12	8.58	4.87	1.61	0.74	0.46	1.29	0.06	0.00	0.28
AA	8.91	71.51	10.91	3.84	1.53	0.79	2.07	0.16	0.00	0.28
A	2.05	9.13	75.63	6.68	3.32	1.35	1.35	0.14	0.00	0.35
BBB	0.64	2.63	10.72	67.18	8.72	5.10	3.94	0.33	0.00	0.73
BB	0.54	0.61	3.00	12.99	57.51	13.97	9.35	0.37	0.02	1.65
B	0.08	0.23	0.63	3.89	13.47	62.24	13.95	0.88	0.02	4.63
CCC	0.00	0.03	0.03	0.83	2.61	10.00	61.41	6.16	0.02	18.91
CC	0.00	0.00	0.00	0.13	0.25	1.38	1.26	50.00	0.25	46.73
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	75.38	11.04	7.15	2.18	1.15	0.68	1.80	0.12	0.00	0.51
AA	11.45	63.05	13.69	4.78	2.01	1.29	2.90	0.24	0.00	0.61
A	3.45	10.65	68.73	8.05	4.27	2.00	1.90	0.25	0.00	0.69
BBB	1.24	4.12	12.56	57.91	10.07	6.82	5.28	0.57	0.01	1.42
BB	0.82	1.36	4.80	15.01	46.77	15.83	11.53	0.72	0.03	3.13
B	0.13	0.48	1.45	6.23	15.33	53.34	14.41	1.15	0.02	7.46
CCC	0.00	0.09	0.24	1.37	3.70	10.65	53.13	5.83	0.03	24.95
CC	0.00	0.00	0.13	0.26	0.39	1.56	0.91	38.31	0.26	58.18
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	70.65	12.34	8.97	2.67	1.51	0.98	1.91	0.17	0.00	0.80
AA	13.36	57.05	15.67	5.10	2.34	1.79	3.31	0.35	0.00	1.02
A	4.64	11.66	63.98	8.78	4.68	2.52	2.26	0.39	0.00	1.09
BBB	2.08	5.10	13.43	52.09	10.35	7.71	6.22	0.74	0.01	2.27
BB	1.15	2.25	6.58	15.63	40.35	15.99	12.27	1.12	0.06	4.60
B	0.22	0.89	2.44	8.07	16.08	47.42	13.51	1.11	0.02	10.24
CCC	0.02	0.12	0.50	1.84	4.73	11.00	48.30	4.26	0.03	29.18
CC	0.00	0.00	0.27	0.27	0.54	1.88	0.67	34.36	0.27	61.74
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	67.84	12.71	10.19	3.13	1.74	1.16	1.97	0.16	0.00	1.10
AA	14.49	53.41	16.99	5.04	2.67	2.15	3.33	0.28	0.00	1.64
A	5.68	11.83	61.24	9.15	4.57	2.93	2.57	0.42	0.00	1.61
BBB	2.83	5.56	13.56	49.14	9.95	8.05	6.77	0.73	0.02	3.38
BB	1.67	3.10	7.87	14.87	36.88	15.76	12.52	1.26	0.08	5.98
B	0.37	1.39	3.45	9.30	16.47	42.94	12.42	0.97	0.02	12.67
CCC	0.04	0.21	0.71	2.50	5.38	11.26	44.88	4.00	0.04	30.99
CC	0.00	0.00	0.28	0.14	0.98	1.82	0.56	32.87	0.28	63.08
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	64.55	12.25	12.64	3.55	1.76	1.12	2.13	0.12	0.00	1.86
AA	14.66	48.48	19.10	5.31	3.00	2.24	3.67	0.16	0.00	3.38
A	7.75	12.64	54.29	9.50	4.37	3.68	3.24	0.49	0.00	4.04
BBB	3.48	4.92	13.59	46.14	8.67	7.32	7.07	0.92	0.04	7.86
BB	2.64	2.80	7.20	13.23	32.91	15.56	11.67	1.46	0.20	12.33
B	1.02	1.78	4.36	8.98	15.02	33.07	13.08	1.08	0.03	21.58
CCC	0.05	0.26	0.93	2.66	6.03	10.32	39.94	4.71	0.05	35.05
CC	0.00	0.00	0.39	0.00	1.16	0.96	0.00	25.05	0.00	72.45
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 10

European structured finance rating transitions, 2022 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2022
AAA	84.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	15.8
AA	2.4	84.2	0.3	0.0	0.0	0.0	0.0	0.0	0.0	0.0	13.0
A	0.0	6.2	82.3	0.6	0.0	0.0	0.0	0.0	0.0	0.0	10.9
BBB	0.2	1.2	9.8	81.5	0.0	0.2	0.0	0.0	0.0	0.0	7.2
BB	0.0	0.0	1.8	5.3	84.7	0.7	0.0	0.0	0.0	0.0	7.5
B	0.0	0.2	1.0	1.2	4.8	88.3	0.2	0.2	0.0	0.2	3.8
CCC	0.0	0.0	0.0	1.4	0.0	1.4	87.3	1.4	0.0	0.0	8.5
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	84.6	0.0	7.7	7.7
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	74.4	4.9	2.0	0.8	0.4	0.3	0.4	0.0	0.0	0.1	16.8
AA	4.2	70.5	6.4	2.2	0.8	0.5	0.7	0.0	0.0	0.1	14.6
A	0.7	5.0	74.6	4.2	1.8	0.5	0.6	0.0	0.0	0.1	12.5
BBB	0.1	1.0	6.0	70.5	5.4	2.6	2.2	0.1	0.0	0.2	11.8
BB	0.2	0.1	0.9	7.4	65.2	8.9	5.4	0.2	0.0	0.5	11.3
B	0.0	0.1	0.2	1.3	7.6	67.4	9.4	0.4	0.0	1.9	11.5
CCC	0.0	0.0	0.0	0.3	1.0	5.8	63.9	4.3	0.0	10.4	14.2
CC	0.0	0.0	0.0	0.0	0.1	0.4	1.0	60.5	0.0	29.9	8.2
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	52.1	7.4	4.1	1.3	0.6	0.4	1.1	0.0	0.0	0.3	32.7
AA	5.8	48.1	9.5	3.3	1.3	0.7	1.7	0.1	0.0	0.3	29.2
A	1.3	7.2	54.5	5.9	3.1	1.2	1.2	0.1	0.0	0.3	25.1
BBB	0.3	1.8	8.7	48.0	7.8	4.7	3.4	0.3	0.0	0.7	24.2
BB	0.3	0.3	2.2	10.8	40.4	12.6	8.2	0.3	0.0	1.7	23.2
B	0.1	0.2	0.4	3.0	10.6	45.2	11.9	0.8	0.0	4.6	23.2
CCC	0.0	0.0	0.0	0.6	1.9	8.1	40.2	5.3	0.0	18.9	25.0
CC	0.0	0.0	0.0	0.1	0.3	0.9	1.1	37.8	0.0	46.7	13.1
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	34.4	8.7	5.6	1.5	0.8	0.5	1.3	0.1	0.0	0.5	46.4
AA	5.4	32.0	10.9	3.7	1.6	1.0	2.1	0.2	0.0	0.6	42.5
A	1.7	6.8	39.9	6.6	3.8	1.7	1.5	0.2	0.0	0.7	37.0
BBB	0.5	2.5	8.7	32.3	8.5	6.0	4.1	0.5	0.0	1.4	35.4
BB	0.3	0.8	3.4	10.8	25.1	13.2	9.4	0.6	0.0	3.1	33.3
B	0.1	0.4	0.9	4.4	10.2	31.8	10.9	1.1	0.0	7.5	32.9
CCC	0.0	0.1	0.2	0.7	2.2	7.0	26.4	4.4	0.0	25.0	34.0
CC	0.0	0.0	0.0	0.3	0.4	0.9	0.6	23.4	0.0	58.2	16.2
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	21.5	8.8	6.5	1.6	1.0	0.7	1.0	0.1	0.0	0.8	57.8
AA	4.5	20.4	11.5	3.5	1.6	1.3	1.9	0.3	0.0	1.0	54.0
A	1.7	5.8	29.2	6.6	3.9	2.0	1.5	0.3	0.0	1.1	47.9
BBB	0.7	2.5	7.7	21.7	8.0	6.4	4.5	0.6	0.0	2.3	45.6
BB	0.4	1.4	4.2	9.3	15.4	12.3	9.3	0.9	0.0	4.6	42.3
B	0.2	0.5	1.5	5.1	8.8	22.3	8.6	1.0	0.0	10.2	41.6
CCC	0.0	0.1	0.2	0.7	2.3	5.7	17.8	2.3	0.0	29.2	41.6
CC	0.0	0.0	0.0	0.3	0.3	1.1	0.3	17.7	0.0	61.7	18.7
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	12.8	7.9	6.7	1.6	1.0	0.7	0.8	0.1	0.0	1.1	67.3
AA	3.2	12.6	11.3	2.7	1.6	1.4	1.4	0.2	0.0	1.6	63.9
A	1.5	4.6	21.5	6.3	3.3	2.1	1.4	0.3	0.0	1.6	57.4
BBB	0.9	2.1	6.3	15.2	6.9	6.3	4.5	0.5	0.0	3.4	54.1
BB	0.4	1.8	4.5	6.5	9.7	11.2	8.7	0.9	0.0	6.0	50.3
B	0.3	0.7	2.1	5.1	7.4	15.5	6.2	0.8	0.0	12.7	49.2
CCC	0.0	0.1	0.2	0.8	2.1	4.4	12.0	1.7	0.0	31.0	47.6
CC	0.0	0.0	0.0	0.1	0.4	0.8	0.0	15.4	0.0	63.1	20.1
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	2.2	2.5	3.8	0.6	0.3	0.2	0.1	0.0	0.0	1.9	88.4
AA	1.0	3.0	5.7	1.1	0.5	0.3	0.4	0.1	0.0	3.4	84.5
A	0.4	1.9	7.3	3.0	1.2	1.0	0.7	0.1	0.0	4.0	80.4
BBB	0.1	0.7	3.8	4.8	2.6	2.6	1.9	0.3	0.0	7.9	75.3
BB	0.1	0.4	2.0	1.9	2.1	4.8	3.1	0.6	0.0	12.3	72.5
B	0.5	0.6	1.2	2.1	2.8	5.5	1.9	0.3	0.0	21.6	63.7
CCC	0.0	0.0	0.0	0.0	0.3	0.9	1.4	1.2	0.0	35.0	61.2
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	6.0	0.0	72.4	21.6
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

European RMBS

Table 11

European RMBS cumulative default rates, conditional on survival, 1988-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.06	0.09	0.11	0.11	0.11	0.11	0.12	0.12	0.12	0.12
AA	0.01	0.04	0.09	0.10	0.12	0.16	0.23	0.25	0.27	0.29
A	0.01	0.05	0.11	0.15	0.21	0.33	0.44	0.51	0.60	0.65
BBB	0.06	0.18	0.44	0.72	0.98	1.28	1.60	1.77	1.95	2.07
BB	0.34	0.98	1.79	2.36	2.96	3.38	3.84	4.28	4.39	4.39
B	1.00	2.18	3.36	4.43	5.46	6.35	6.58	6.65	6.75	6.87
CCC	8.45	15.05	18.21	19.71	20.38	20.77	20.77	20.77	20.77	20.77
CC	27.27	42.42	52.02	55.45	55.45	55.45	55.45	55.45	55.45	55.45
IG	0.04	0.08	0.16	0.22	0.28	0.37	0.47	0.52	0.57	0.61
SG	1.81	3.51	4.81	5.71	6.49	7.08	7.40	7.67	7.76	7.80
Overall	0.30	0.58	0.84	1.02	1.18	1.34	1.46	1.54	1.59	1.63
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 12

European RMBS one-year default rates, 1988-2022 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1988	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2008	0.06	0.06	0.00	0.14	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2009	0.86	0.03	8.06	0.00	0.00	0.00	0.19	0.93	6.41	47.62	N/A
2010	0.66	0.19	3.56	0.00	0.21	0.21	0.68	1.29	3.10	13.56	N/A
2011	0.61	0.24	2.67	0.51	0.00	0.00	0.00	0.82	1.33	14.29	N/A
2012	0.23	0.00	1.26	0.00	0.00	0.00	0.00	0.37	0.60	9.76	0.00
2013	0.77	0.00	3.24	0.00	0.00	0.00	0.00	1.04	1.70	15.15	33.33
2014	0.85	0.00	3.44	0.00	0.00	0.00	0.00	0.00	2.03	15.63	60.00
2015	0.09	0.00	0.38	0.00	0.00	0.00	0.00	0.00	0.35	1.61	0.00
2016	0.19	0.00	0.75	0.00	0.00	0.00	0.00	0.00	0.00	2.50	40.00
2017	0.44	0.00	1.69	0.00	0.00	0.00	0.00	0.00	0.86	6.85	33.33
2018	0.12	0.00	0.54	0.00	0.00	0.00	0.00	0.00	0.00	1.59	25.00
2019	0.07	0.00	0.32	0.00	0.00	0.00	0.00	0.00	0.00	1.85	0.00
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2021	0.07	0.00	0.38	0.00	0.00	0.00	0.00	0.00	0.00	1.96	0.00
2022	0.06	0.00	0.34	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Weighted-average	0.30	0.04	1.81	0.06	0.01	0.01	0.06	0.34	1.00	8.45	27.27
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.96	25.00
Std. dev.	0.27	0.05	1.80	0.09	0.04	0.04	0.13	0.38	1.44	11.88	32.11
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	0.86	0.24	8.06	0.51	0.21	0.21	0.68	1.29	6.41	47.62	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 13

European RMBS rating transitions, 2022 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2022
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	4.62	95.38	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	10.66	89.13	0.21	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	3.66	25.65	70.68	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	7.94	17.46	73.81	0.79	0.00	0.00	0.00	0.00
B	0.00	0.00	4.07	4.88	13.01	78.05	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	2.08	0.00	2.08	95.83	0.00	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	93.53	4.29	1.75	0.20	0.06	0.11	0.00	0.00	0.00	0.06
AA	3.72	86.06	8.91	0.83	0.23	0.14	0.10	0.00	0.00	0.01
A	0.41	5.34	90.07	3.00	0.94	0.21	0.02	0.00	0.00	0.01
BBB	0.06	0.92	9.64	82.04	5.59	1.62	0.05	0.00	0.00	0.06
BB	0.20	0.03	1.29	10.62	74.46	11.43	1.56	0.07	0.00	0.34
B	0.12	0.12	0.23	1.93	7.52	84.14	4.71	0.23	0.00	1.00
CCC	0.00	0.00	0.00	0.60	0.95	6.43	82.86	0.71	0.00	8.45
CC	0.00	0.00	0.00	0.00	3.03	6.06	6.06	51.52	6.06	27.27
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	87.58	6.65	4.72	0.59	0.19	0.15	0.03	0.00	0.00	0.09
AA	6.69	75.83	14.31	2.03	0.67	0.28	0.16	0.00	0.00	0.04
A	1.08	9.09	82.53	4.78	1.73	0.67	0.08	0.00	0.00	0.05
BBB	0.23	2.58	16.13	67.66	9.30	3.53	0.38	0.00	0.00	0.18
BB	0.43	0.64	4.04	16.76	54.68	18.75	3.54	0.14	0.04	0.99
B	0.20	0.24	0.45	5.02	12.64	71.53	7.25	0.45	0.00	2.23
CCC	0.00	0.00	0.00	1.26	2.02	11.99	68.31	0.76	0.13	15.53
CC	0.00	0.00	0.00	0.00	6.25	9.38	12.50	25.00	6.25	40.63
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	82.16	7.98	8.00	1.02	0.31	0.33	0.09	0.00	0.00	0.11
AA	8.61	67.98	18.47	3.08	1.02	0.58	0.15	0.02	0.00	0.09
A	1.92	11.33	76.96	5.72	2.68	1.14	0.13	0.00	0.00	0.11
BBB	0.58	4.26	20.42	57.28	10.72	5.46	0.81	0.02	0.00	0.45
BB	0.66	1.66	6.70	19.59	41.58	23.09	4.57	0.22	0.07	1.84
B	0.30	0.51	1.27	8.45	15.76	60.71	8.96	0.55	0.00	3.51
CCC	0.00	0.00	0.13	2.29	2.70	15.79	58.57	0.67	0.27	19.57
CC	0.00	0.00	0.00	3.33	3.33	13.33	13.33	10.00	6.67	50.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	77.57	8.52	11.16	1.52	0.40	0.53	0.18	0.00	0.00	0.11
AA	10.10	61.48	21.80	3.77	1.65	0.87	0.19	0.03	0.00	0.11
A	2.62	13.48	72.58	5.84	3.28	1.79	0.23	0.01	0.00	0.16
BBB	1.16	5.35	22.79	51.14	10.43	7.22	1.16	0.00	0.00	0.74
BB	0.99	3.01	9.41	20.14	33.93	23.72	5.75	0.42	0.15	2.48
B	0.44	0.88	2.87	11.12	17.48	52.82	9.18	0.49	0.00	4.72
CCC	0.00	0.00	0.73	2.47	3.92	18.43	51.09	0.58	0.29	22.50
CC	0.00	0.00	0.00	7.14	0.00	17.86	14.29	0.00	7.14	53.57
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	74.02	8.45	13.83	2.10	0.54	0.69	0.25	0.00	0.00	0.11
AA	10.58	56.77	24.85	3.95	2.30	1.11	0.27	0.03	0.00	0.13
A	3.12	14.28	70.06	5.90	3.55	2.32	0.54	0.01	0.00	0.23
BBB	1.73	5.98	23.53	48.19	9.27	8.64	1.60	0.04	0.00	1.02
BB	1.48	3.71	11.32	19.50	30.38	23.21	6.38	0.60	0.24	3.19
B	0.70	1.55	4.65	12.72	17.93	47.23	8.78	0.38	0.00	6.06
CCC	0.00	0.31	1.10	3.15	4.41	20.16	45.51	0.16	0.31	24.88
CC	0.00	0.00	0.00	3.85	3.85	15.38	15.38	0.00	7.69	53.85
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	68.02	9.58	18.38	2.21	0.64	0.52	0.52	0.00	0.00	0.14
AA	8.99	50.03	33.70	3.43	1.94	0.84	0.65	0.04	0.00	0.37
A	4.25	15.03	64.33	7.67	2.68	3.62	1.40	0.06	0.00	0.98
BBB	0.98	4.90	24.01	48.38	9.05	7.49	2.50	0.07	0.00	2.62
BB	1.31	1.91	10.32	18.26	28.88	24.52	7.34	0.18	0.72	6.56
B	3.00	2.30	5.30	11.52	14.17	40.55	8.18	0.00	0.00	14.98
CCC	0.00	0.00	0.34	0.00	7.51	20.48	32.42	0.00	0.68	38.57
CC	0.00	0.00	0.00	0.00	0.00	16.67	0.00	0.00	0.00	83.33
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 14

European RMBS rating transitions, 2022 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2022
AAA	78.44	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	21.56
AA	3.76	77.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	19.08
A	0.00	10.02	78.89	0.21	0.00	0.00	0.00	0.00	0.00	0.00	10.87
BBB	0.00	2.62	25.13	60.73	0.00	0.00	0.00	0.00	0.00	0.00	11.52
BB	0.00	0.00	6.35	17.46	63.49	0.79	0.00	0.00	0.00	0.00	11.90
B	0.00	0.00	3.25	4.07	13.01	73.98	0.00	0.00	0.00	0.00	5.69
CCC	0.00	0.00	0.00	2.08	0.00	2.08	91.67	0.00	0.00	0.00	4.17
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	77.42	3.96	1.57	0.13	0.06	0.11	0.00	0.00	0.00	0.06	16.70
AA	3.42	74.27	8.47	0.76	0.23	0.14	0.00	0.00	0.00	0.01	12.70
A	0.38	4.96	80.75	2.83	0.92	0.21	0.01	0.00	0.00	0.01	9.92
BBB	0.05	0.81	9.32	73.61	5.28	1.59	0.05	0.00	0.00	0.06	9.22
BB	0.20	0.03	1.15	10.52	69.00	11.19	1.53	0.03	0.00	0.34	6.00
B	0.12	0.12	0.19	1.77	7.33	79.55	4.24	0.23	0.00	1.00	5.44
CCC	0.00	0.00	0.00	0.60	0.83	6.31	78.69	0.71	0.00	8.45	4.40
CC	0.00	0.00	0.00	0.00	3.03	6.06	6.06	51.52	0.00	27.27	6.06
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	56.45	5.87	4.03	0.40	0.17	0.15	0.00	0.00	0.00	0.09	32.84
AA	5.40	54.00	13.34	1.82	0.61	0.28	0.01	0.00	0.00	0.04	24.50
A	0.87	7.65	64.79	4.34	1.66	0.66	0.04	0.00	0.00	0.05	19.95
BBB	0.17	2.11	14.37	51.91	8.60	3.43	0.33	0.00	0.00	0.18	18.90
BB	0.25	0.57	3.79	15.73	45.22	17.97	3.44	0.07	0.00	0.99	11.98
B	0.16	0.24	0.36	4.46	11.46	62.90	6.40	0.45	0.00	2.23	11.34
CCC	0.00	0.00	0.00	1.14	1.52	11.24	60.48	0.76	0.00	15.53	9.34
CC	0.00	0.00	0.00	0.00	6.25	9.38	9.38	25.00	0.00	40.63	9.38
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	38.62	6.65	6.75	0.65	0.27	0.31	0.00	0.00	0.00	0.11	46.64
AA	6.03	38.22	16.61	2.74	0.87	0.56	0.00	0.00	0.00	0.09	34.87
A	1.42	8.25	51.58	4.91	2.56	1.12	0.06	0.00	0.00	0.11	29.98
BBB	0.45	3.11	16.39	35.42	9.52	5.24	0.70	0.02	0.00	0.45	28.70
BB	0.29	1.40	6.22	17.38	29.58	21.40	4.35	0.15	0.00	1.84	17.38
B	0.25	0.51	1.10	6.89	13.31	49.09	7.60	0.55	0.00	3.51	17.19
CCC	0.00	0.00	0.13	1.48	1.75	14.04	48.58	0.67	0.00	19.57	13.77
CC	0.00	0.00	0.00	3.33	3.33	13.33	6.67	10.00	0.00	50.00	13.33
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	24.94	6.79	9.37	1.04	0.32	0.48	0.02	0.00	0.00	0.11	56.92
AA	5.83	26.13	18.76	3.18	1.44	0.83	0.02	0.00	0.00	0.11	43.69
A	1.61	8.41	40.68	4.71	3.11	1.70	0.13	0.01	0.00	0.16	39.48
BBB	0.79	3.26	16.20	24.48	8.70	6.75	1.04	0.00	0.00	0.74	38.04
BB	0.42	2.63	8.26	16.45	20.11	21.17	5.10	0.34	0.00	2.48	23.04
B	0.40	0.79	2.60	8.65	13.95	38.75	7.50	0.49	0.00	4.72	22.15
CCC	0.00	0.00	0.73	0.87	2.32	15.53	39.77	0.58	0.00	22.50	17.71
CC	0.00	0.00	0.00	7.14	0.00	17.86	3.57	0.00	0.00	53.57	17.86
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	14.82	6.32	11.55	1.44	0.42	0.60	0.02	0.00	0.00	0.11	64.70
AA	4.97	16.48	20.40	3.24	2.05	1.04	0.07	0.00	0.00	0.13	51.61
A	1.61	7.82	31.73	4.37	3.29	2.16	0.34	0.01	0.00	0.23	48.45
BBB	1.11	3.04	14.77	17.93	7.13	7.89	1.42	0.04	0.00	1.02	45.66
BB	0.64	2.99	9.53	13.40	14.83	19.94	5.50	0.52	0.00	3.19	29.47
B	0.66	1.41	3.99	9.25	13.57	31.13	6.81	0.38	0.00	6.06	26.76
CCC	0.00	0.31	0.94	0.79	2.36	15.75	33.07	0.16	0.00	24.88	21.73
CC	0.00	0.00	0.00	3.85	3.85	15.38	0.00	0.00	0.00	53.85	23.08
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	2.88	4.43	8.49	0.77	0.24	0.31	0.07	0.00	0.00	0.14	82.67
AA	1.99	4.54	14.97	1.92	1.14	0.54	0.28	0.00	0.00	0.37	74.25
A	0.73	4.15	16.51	3.84	1.97	2.03	0.77	0.06	0.00	0.98	68.97
BBB	0.22	1.70	10.20	7.32	5.02	5.07	1.80	0.07	0.00	2.62	65.98
BB	0.36	1.25	7.52	6.03	5.61	15.16	5.25	0.06	0.00	6.56	52.21
B	1.73	2.07	4.26	7.49	9.10	19.35	4.49	0.00	0.00	14.98	36.52
CCC	0.00	0.00	0.00	0.00	3.75	10.58	13.31	0.00	0.00	38.57	33.79
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.33	16.67
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

European structured credit

Table 15

European structured credit cumulative default rates, conditional on survival, 1987-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.22	0.56	1.05	1.67	2.26	2.68	2.96	3.08	3.13	3.15
AA	0.18	0.50	1.07	1.67	2.62	3.24	3.63	3.81	3.89	3.96
A	0.24	0.68	1.22	1.79	2.57	3.15	3.63	3.83	3.86	3.95
BBB	0.23	0.70	1.29	2.08	3.17	3.91	4.54	4.97	5.28	5.74
BB	0.34	0.81	1.57	2.39	3.00	3.53	4.18	4.80	5.37	5.99
B	0.50	1.58	2.74	3.91	5.14	5.51	5.82	6.11	6.38	6.57
CCC	8.00	15.27	20.88	25.12	26.81	27.96	28.84	29.46	29.97	30.09
CC	28.02	44.29	55.00	57.47	57.82	58.01	58.01	58.01	58.01	58.01
IG	0.22	0.60	1.13	1.77	2.59	3.16	3.57	3.78	3.88	4.00
SG	4.35	8.12	11.19	13.39	14.51	15.23	15.87	16.40	16.87	17.20
Overall	1.25	2.48	3.64	4.67	5.56	6.17	6.64	6.92	7.11	7.28
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 16

European structured credit one-year default rates, 1987-2022 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1987	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2002	1.07	0.25	5.97	0.00	0.00	0.00	1.23	3.17	100.00	33.33	N/A
2003	1.02	0.00	6.20	0.00	0.00	0.00	0.00	0.00	0.00	31.58	66.67
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2006	0.08	0.00	1.24	0.00	0.00	0.00	0.00	0.00	0.00	4.76	100.00
2007	0.24	0.25	0.00	0.21	0.44	0.00	0.33	0.00	0.00	0.00	N/A
2008	0.82	0.83	0.71	0.98	0.52	1.02	0.69	0.00	0.00	13.64	0.00
2009	1.20	0.42	3.90	0.12	0.55	1.32	0.11	0.36	0.93	9.44	5.88
2010	2.74	0.14	6.98	0.00	0.20	0.15	0.31	1.42	0.74	10.85	16.67
2011	2.99	0.19	6.17	0.00	0.00	0.00	0.86	0.62	0.52	9.81	20.47
2012	3.88	0.33	8.32	0.35	0.35	0.17	0.51	0.48	0.60	5.99	56.76
2013	3.01	0.12	7.08	0.00	0.00	0.21	0.25	0.31	0.98	7.16	49.47
2014	0.97	0.00	2.48	0.00	0.00	0.00	0.00	0.00	0.83	2.11	37.84
2015	0.28	0.00	0.76	0.00	0.00	0.00	0.00	0.00	0.00	1.65	4.17
2016	1.40	0.00	4.18	0.00	0.00	0.00	0.00	0.00	0.00	10.36	14.29
2017	0.45	0.00	1.53	0.00	0.00	0.00	0.00	0.54	0.00	3.45	7.69
2018	0.68	0.00	2.30	0.00	0.00	0.00	0.00	0.00	0.00	9.30	4.00
2019	1.47	0.00	5.48	0.00	0.00	0.00	0.00	0.00	0.00	25.00	13.64
2020	0.17	0.00	0.66	0.00	0.00	0.00	0.00	0.00	0.79	4.35	0.00
2021	0.13	0.00	0.51	0.00	0.00	0.00	0.00	0.00	0.00	11.76	0.00
2022	0.09	0.00	0.35	0.00	0.00	0.00	0.00	0.00	0.37	0.00	4.00
Weighted-average	1.25	0.22	4.35	0.22	0.18	0.24	0.23	0.34	0.50	8.00	28.02
Median	0.09	0.00	1.38	0.00	0.00	0.00	0.00	0.00	0.00	7.16	7.69
Std. dev.	1.02	0.17	2.84	0.18	0.16	0.33	0.32	0.70	20.36	9.75	28.18
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	3.88	0.83	8.32	0.98	0.55	1.32	1.23	3.17	100.00	33.33	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 17

European structured credit rating transitions, 2022 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2022
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.96	99.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	2.01	97.99	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	2.42	97.58	0.00	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	0.00
B	0.00	0.37	0.00	0.00	1.12	98.13	0.00	0.00	0.00	0.37
CCC	0.00	0.00	0.00	0.00	0.00	8.33	83.33	8.33	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	4.00	92.00	0.00	4.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	86.44	6.35	2.78	1.74	0.90	0.56	0.99	0.02	0.00	0.22
AA	6.36	80.40	5.51	3.59	1.48	0.94	1.48	0.05	0.00	0.18
A	1.24	6.58	80.64	5.48	2.98	1.04	1.65	0.13	0.00	0.24
BBB	0.28	1.63	6.11	77.71	5.18	3.42	5.24	0.20	0.00	0.23
BB	0.17	0.28	1.28	7.81	75.40	5.89	8.61	0.23	0.00	0.34
B	0.00	0.09	0.19	1.68	11.07	73.97	12.06	0.44	0.00	0.50
CCC	0.02	0.00	0.00	0.31	1.37	7.03	77.66	5.62	0.00	8.00
CC	0.00	0.00	0.00	0.00	0.00	0.27	0.96	70.74	0.00	28.02
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	74.96	10.43	5.13	3.03	1.56	0.98	3.19	0.14	0.00	0.57
AA	11.52	66.05	8.58	5.30	2.33	1.29	4.10	0.32	0.00	0.51
A	3.13	10.67	66.52	7.98	5.13	2.00	3.52	0.35	0.00	0.69
BBB	0.84	3.42	9.70	62.69	7.84	5.84	8.21	0.75	0.00	0.71
BB	0.43	0.77	3.06	13.26	58.83	9.07	13.26	0.47	0.00	0.83
B	0.00	0.24	0.78	3.83	18.05	58.31	16.32	0.88	0.00	1.59
CCC	0.00	0.02	0.04	0.73	2.98	10.69	62.88	7.36	0.00	15.29
CC	0.00	0.00	0.00	0.14	0.00	0.85	0.85	53.20	0.00	44.95
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	66.40	13.92	6.49	3.85	2.28	1.29	4.41	0.29	0.00	1.07
AA	14.89	56.22	10.96	6.05	2.84	1.77	5.69	0.48	0.00	1.09
A	5.64	11.28	57.77	10.02	6.01	2.72	4.67	0.63	0.00	1.26
BBB	1.79	5.51	10.18	52.69	9.63	7.34	10.29	1.25	0.00	1.32
BB	0.74	1.60	4.92	15.18	48.73	10.34	15.92	0.96	0.00	1.62
B	0.04	0.47	1.80	6.24	19.41	51.70	16.34	1.19	0.00	2.81
CCC	0.00	0.07	0.22	1.26	4.24	10.89	55.40	7.01	0.00	20.91
CC	0.00	0.00	0.15	0.15	0.29	0.88	0.44	41.38	0.00	56.70
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	61.15	16.04	7.14	4.41	2.88	1.67	4.56	0.44	0.00	1.70
AA	17.57	49.84	12.44	6.14	2.91	2.38	6.29	0.70	0.00	1.72
A	7.84	11.06	52.43	11.45	6.27	2.84	5.27	0.97	0.00	1.87
BBB	3.19	6.85	9.97	46.34	10.69	7.83	11.40	1.59	0.00	2.15
BB	1.14	2.50	6.67	15.82	42.23	11.20	16.50	1.45	0.00	2.48
B	0.11	0.95	2.76	8.09	19.70	47.37	15.69	1.29	0.00	4.05
CCC	0.02	0.07	0.42	1.85	5.33	10.95	51.11	5.06	0.00	25.19
CC	0.00	0.00	0.30	0.00	0.61	1.06	0.15	37.23	0.00	60.64
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	59.17	16.57	7.23	4.85	3.11	1.80	4.55	0.40	0.00	2.31
AA	19.53	46.45	12.92	5.96	3.04	2.68	6.18	0.53	0.00	2.71
A	9.89	10.50	49.64	11.94	5.89	3.11	5.32	1.01	0.00	2.70
BBB	4.47	7.43	9.43	43.11	11.07	7.78	11.95	1.45	0.00	3.30
BB	1.85	3.68	8.04	14.91	38.24	11.70	16.82	1.62	0.00	3.15
B	0.24	1.42	3.67	9.58	20.26	43.59	14.86	1.02	0.00	5.36
CCC	0.05	0.09	0.59	2.59	6.04	11.07	47.95	4.80	0.00	26.82
CC	0.00	0.00	0.31	0.00	0.94	1.10	0.00	35.22	0.00	62.42
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	60.46	12.70	8.29	5.68	2.96	1.71	4.44	0.28	0.00	3.48
AA	21.62	41.91	11.69	6.44	3.68	2.98	6.55	0.27	0.00	4.87
A	13.50	13.18	42.19	9.83	5.58	3.65	5.89	1.01	0.00	5.18
BBB	6.51	6.78	9.22	39.11	9.13	7.66	12.82	1.71	0.00	7.06
BB	3.65	4.04	7.40	13.68	33.06	12.93	15.65	2.22	0.00	7.38
B	0.36	1.88	5.40	10.31	19.53	33.47	17.59	1.82	0.00	9.64
CCC	0.06	0.15	0.86	3.07	6.20	9.92	42.27	5.30	0.00	32.17
CC	0.00	0.00	0.40	0.00	1.21	0.40	0.00	24.80	0.00	73.19
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 18

European structured credit rating transitions, 2022 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2022
AAA	89.45	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.55
AA	0.96	90.56	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.48
A	0.00	2.01	87.69	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.30
BBB	0.00	0.00	2.42	92.15	0.00	0.00	0.00	0.00	0.00	0.00	5.44
BB	0.00	0.00	0.00	0.00	95.56	0.00	0.00	0.00	0.00	0.00	4.44
B	0.00	0.37	0.00	0.00	1.12	94.78	0.00	0.00	0.00	0.37	3.36
CCC	0.00	0.00	0.00	0.00	0.00	0.00	83.33	8.33	0.00	0.00	8.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	88.00	0.00	4.00	8.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	70.75	6.06	2.69	1.65	0.82	0.53	0.86	0.02	0.00	0.22	16.40
AA	5.38	67.58	5.13	3.35	1.37	0.87	1.43	0.05	0.00	0.18	14.65
A	0.98	6.14	67.95	5.17	2.89	0.95	1.56	0.12	0.00	0.24	14.01
BBB	0.14	1.47	5.44	66.28	4.95	3.23	4.92	0.19	0.00	0.23	13.16
BB	0.09	0.11	0.90	6.96	63.95	5.69	8.28	0.21	0.00	0.34	13.47
B	0.00	0.06	0.16	1.21	9.67	60.48	11.38	0.44	0.00	0.50	16.11
CCC	0.02	0.00	0.00	0.22	1.17	6.39	62.38	4.98	0.00	8.00	16.84
CC	0.00	0.00	0.00	0.00	0.00	0.14	0.82	63.05	0.00	28.02	7.97
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	46.92	9.27	4.58	2.51	1.24	0.80	2.65	0.12	0.00	0.57	31.34
AA	7.02	43.37	7.12	4.43	1.93	1.04	3.55	0.29	0.00	0.51	30.74
A	1.96	8.62	44.27	6.90	4.85	1.71	3.20	0.29	0.00	0.69	27.49
BBB	0.35	2.24	7.45	42.68	6.87	5.23	6.99	0.59	0.00	0.71	26.90
BB	0.18	0.34	1.94	10.10	39.06	7.93	11.50	0.34	0.00	0.83	27.79
B	0.00	0.17	0.41	2.37	13.06	34.53	13.60	0.81	0.00	1.59	33.45
CCC	0.00	0.02	0.02	0.40	2.14	8.42	38.22	6.25	0.00	15.29	29.23
CC	0.00	0.00	0.00	0.14	0.00	0.57	0.85	40.83	0.00	44.95	12.66
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	29.58	11.49	5.20	2.67	1.58	0.92	3.27	0.25	0.00	1.07	44.00
AA	5.96	26.87	8.25	4.36	2.06	1.22	4.18	0.42	0.00	1.09	45.59
A	2.61	7.21	29.18	8.13	5.26	2.12	3.77	0.51	0.00	1.26	39.94
BBB	0.65	3.07	5.99	27.24	7.81	6.13	7.88	1.02	0.00	1.32	38.89
BB	0.23	0.76	2.77	9.14	23.95	8.07	12.86	0.76	0.00	1.62	39.86
B	0.04	0.25	0.87	3.57	10.75	22.22	11.04	1.12	0.00	2.81	47.33
CCC	0.00	0.04	0.11	0.51	2.55	6.72	24.44	5.28	0.00	20.91	39.43
CC	0.00	0.00	0.00	0.15	0.29	0.44	0.44	26.07	0.00	56.70	15.91
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	17.14	12.18	4.90	2.41	1.76	1.03	2.58	0.37	0.00	1.70	55.94
AA	4.71	15.32	8.36	3.65	1.66	1.44	3.58	0.62	0.00	1.72	58.93
A	2.47	4.92	19.33	8.47	4.79	1.83	3.51	0.77	0.00	1.87	52.04
BBB	0.89	3.00	3.92	16.83	8.07	5.97	7.79	1.27	0.00	2.15	50.09
BB	0.32	1.12	3.14	7.15	13.89	8.00	12.31	1.14	0.00	2.48	50.46
B	0.04	0.38	1.13	3.78	7.26	13.35	8.17	1.17	0.00	4.05	60.68
CCC	0.02	0.04	0.13	0.60	2.63	4.88	15.78	2.70	0.00	25.19	48.02
CC	0.00	0.00	0.00	0.00	0.30	0.46	0.15	20.06	0.00	60.64	18.39
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	9.65	11.13	3.80	1.94	1.49	0.85	1.79	0.27	0.00	2.31	66.77
AA	2.94	8.38	7.51	2.53	1.30	1.25	2.49	0.43	0.00	2.71	70.45
A	2.13	2.70	13.65	8.07	3.65	1.61	2.51	0.73	0.00	2.70	62.24
BBB	1.00	2.21	1.99	10.96	7.59	5.37	7.13	1.00	0.00	3.30	59.44
BB	0.39	1.66	3.04	4.01	7.71	7.58	11.33	1.18	0.00	3.15	59.95
B	0.08	0.28	1.22	3.59	4.85	6.70	5.01	0.71	0.00	5.36	72.21
CCC	0.05	0.07	0.11	0.72	2.30	3.25	10.06	2.07	0.00	26.82	54.56
CC	0.00	0.00	0.00	0.00	0.31	0.31	0.00	17.30	0.00	62.42	19.65
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	1.16	1.07	0.85	0.60	0.22	0.13	0.14	0.05	0.00	3.48	92.31
AA	0.79	0.80	2.07	0.59	0.19	0.22	0.46	0.09	0.00	4.87	89.92
A	0.42	1.01	2.47	1.83	0.42	0.46	0.73	0.25	0.00	5.18	87.23
BBB	0.06	0.20	0.59	2.77	1.25	1.23	2.48	0.62	0.00	7.06	83.76
BB	0.06	0.08	0.06	0.59	1.04	1.46	2.75	0.95	0.00	7.38	85.64
B	0.00	0.00	0.00	0.06	0.49	0.12	0.91	0.61	0.00	9.64	88.17
CCC	0.00	0.00	0.00	0.00	0.00	0.15	0.45	1.34	0.00	32.17	65.89
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.25	0.00	73.19	20.56
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

European ABS

Table 19

European ABS cumulative default rates, conditional on survival, 1987-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.06	0.06	0.06	0.06
AA	0.00	0.00	0.00	0.08	0.08	0.08	0.08	0.08	0.08	0.08
A	0.00	0.04	0.08	0.11	0.28	0.49	0.62	0.76	0.90	1.06
BBB	0.10	0.26	0.48	0.88	1.48	2.04	2.56	2.98	3.42	3.81
BB	0.23	0.48	2.87	4.91	5.23	5.23	5.23	5.23	5.23	5.23
B	2.71	5.24	8.04	9.28	9.28	9.28	9.28	9.28	9.28	9.28
CCC	11.45	23.04	26.62	26.62	26.62	26.62	26.62	26.62	26.62	26.62
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IG	0.02	0.06	0.11	0.20	0.36	0.52	0.68	0.79	0.91	1.02
SG	2.80	5.56	8.25	9.73	9.90	9.90	9.90	9.90	9.90	9.90
Overall	0.21	0.43	0.65	0.83	0.99	1.14	1.29	1.39	1.51	1.62
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 20

European ABS one-year default rates, 1987-2022 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1987	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
2000	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2006	0.16	0.00	11.11	0.00	0.00	0.00	0.00	0.00	N/A	100.00	N/A
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2008	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2009	0.72	0.15	10.81	0.00	0.00	0.00	0.65	0.00	25.00	60.00	N/A
2010	0.16	0.00	2.27	0.00	0.00	0.00	0.00	0.00	0.00	50.00	N/A
2011	0.52	0.19	4.00	0.00	0.00	0.00	1.06	3.23	0.00	50.00	N/A
2012	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2013	0.21	0.00	1.47	0.00	0.00	0.00	0.00	0.00	3.70	0.00	0.00
2014	2.63	0.00	20.63	0.00	0.00	0.00	0.00	0.00	21.05	40.91	N/A
2015	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2016	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2017	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2018	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2019	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2021	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
Weighted-average	0.21	0.02	2.80	0.00	0.00	0.00	0.10	0.23	2.71	11.45	0.00
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Std. dev.	0.46	0.04	5.23	0.00	0.00	0.00	0.23	0.69	7.45	29.94	0.00
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	2.63	0.19	20.63	0.00	0.00	0.00	1.06	3.23	25.00	100.00	0.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 21

European ABS rating transitions, 2022 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2022
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	13.33	86.67	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.49	93.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	1.52	3.03	9.09	86.36	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	6.90	93.10	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	4.55	95.45	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	97.16	2.22	0.48	0.05	0.02	0.02	0.05	0.00	0.00	0.00
AA	6.38	88.33	4.71	0.36	0.07	0.00	0.14	0.00	0.00	0.00
A	1.12	5.43	89.78	3.17	0.29	0.14	0.07	0.00	0.00	0.00
BBB	0.36	0.56	3.57	90.72	3.57	0.87	0.15	0.10	0.00	0.10
BB	0.23	0.00	0.46	6.02	82.41	8.80	1.85	0.00	0.00	0.23
B	0.00	0.00	0.45	3.62	5.43	81.45	5.88	0.00	0.45	2.71
CCC	0.00	0.00	0.00	1.53	0.76	3.05	82.44	0.76	0.00	11.45
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	94.50	3.80	1.20	0.28	0.07	0.05	0.09	0.00	0.00	0.00
AA	11.44	80.76	6.59	0.76	0.15	0.00	0.30	0.00	0.00	0.00
A	2.59	9.69	81.13	4.99	1.00	0.37	0.15	0.04	0.00	0.04
BBB	0.74	1.32	5.43	84.28	5.17	2.11	0.53	0.16	0.00	0.26
BB	0.50	0.00	1.74	7.69	71.71	12.90	4.71	0.00	0.25	0.50
B	0.00	0.50	3.52	7.04	5.03	68.84	9.05	0.00	0.50	5.53
CCC	0.00	0.00	0.00	4.92	2.46	4.10	63.11	1.64	0.00	23.77
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	92.27	5.12	1.71	0.44	0.22	0.10	0.15	0.00	0.00	0.00
AA	14.84	75.61	7.34	1.10	0.55	0.08	0.47	0.00	0.00	0.00
A	3.50	12.48	75.08	6.32	1.33	0.76	0.38	0.08	0.00	0.08
BBB	1.15	1.70	6.16	80.21	6.05	2.64	1.32	0.22	0.05	0.49
BB	0.80	0.00	1.60	9.31	65.16	15.43	4.52	0.00	0.27	2.93
B	0.00	1.67	5.56	6.67	5.56	62.22	8.89	0.00	0.56	8.89
CCC	0.00	0.87	2.61	5.22	4.35	5.22	50.43	2.61	0.00	28.70
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	90.55	6.17	1.95	0.56	0.43	0.15	0.20	0.00	0.00	0.00
AA	16.12	72.73	8.26	0.99	0.83	0.33	0.66	0.00	0.00	0.08
A	4.19	13.87	70.86	7.64	1.57	1.02	0.67	0.08	0.00	0.12
BBB	1.38	1.95	6.71	76.76	6.83	3.04	2.01	0.29	0.11	0.92
BB	0.87	0.00	1.16	10.14	63.48	15.94	2.90	0.00	0.29	5.22
B	0.00	3.05	4.27	7.93	6.71	57.32	9.15	0.00	0.61	10.98
CCC	0.00	2.73	4.55	5.45	5.45	6.36	41.82	3.64	0.00	30.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	89.03	7.18	2.08	0.66	0.53	0.26	0.26	0.00	0.00	0.00
AA	16.05	71.81	8.76	1.13	1.04	0.35	0.78	0.00	0.00	0.09
A	4.70	14.30	67.95	8.87	1.86	1.05	0.89	0.08	0.00	0.28
BBB	1.43	1.97	7.27	74.20	7.45	3.52	2.09	0.36	0.18	1.55
BB	0.94	0.00	0.63	10.34	63.01	15.67	3.13	0.00	0.31	5.96
B	0.00	4.67	2.67	8.67	7.33	54.67	9.33	0.00	0.67	12.00
CCC	0.00	4.67	6.54	5.61	6.54	7.48	33.64	4.67	0.00	30.84
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	84.41	10.36	2.83	0.81	0.91	0.30	0.30	0.00	0.00	0.07
AA	10.90	73.74	7.15	5.04	1.88	0.70	0.47	0.00	0.00	0.12
A	4.81	14.38	63.31	9.77	3.63	1.38	1.38	0.10	0.00	1.23
BBB	1.16	1.86	8.66	68.99	6.81	5.03	1.62	0.85	0.39	4.64
BB	0.00	0.86	1.29	8.19	62.07	14.22	4.74	0.00	0.43	8.19
B	0.00	2.25	2.25	12.36	11.24	44.94	7.87	2.25	1.12	15.73
CCC	0.00	7.69	11.54	0.00	5.77	0.00	25.00	3.85	0.00	46.15
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 22

European ABS rating transitions, 2022 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2022
AAA	78.36	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	21.64
AA	8.33	65.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	26.67
A	0.00	5.19	80.52	0.00	0.00	0.00	0.00	0.00	0.00	0.00	14.29
BBB	1.52	3.03	9.09	80.30	0.00	0.00	0.00	0.00	0.00	0.00	6.06
BB	0.00	0.00	0.00	6.90	79.31	0.00	0.00	0.00	0.00	0.00	13.79
B	0.00	0.00	0.00	0.00	4.55	95.45	0.00	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	66.67	0.00	0.00	0.00	33.33
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	75.89	1.88	0.48	0.00	0.02	0.02	0.05	0.00	0.00	0.00	21.67
AA	4.49	66.96	4.42	0.36	0.07	0.00	0.14	0.00	0.00	0.00	23.55
A	0.76	4.17	75.90	3.02	0.14	0.07	0.07	0.00	0.00	0.00	15.86
BBB	0.20	0.46	2.70	76.91	3.31	0.82	0.15	0.05	0.00	0.10	15.29
BB	0.23	0.00	0.23	5.32	68.06	8.56	1.16	0.00	0.00	0.23	16.20
B	0.00	0.00	0.45	3.17	5.43	67.87	5.43	0.00	0.00	2.71	14.93
CCC	0.00	0.00	0.00	1.53	0.76	2.29	72.52	0.76	0.00	11.45	10.69
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	53.93	2.64	1.04	0.17	0.05	0.05	0.07	0.00	0.00	0.00	42.06
AA	5.38	43.94	5.91	0.61	0.15	0.00	0.30	0.00	0.00	0.00	43.71
A	1.11	5.11	54.68	4.66	0.67	0.22	0.15	0.00	0.00	0.04	33.37
BBB	0.26	0.74	2.95	56.96	4.75	1.90	0.37	0.05	0.00	0.26	31.75
BB	0.25	0.00	0.74	5.71	44.67	11.91	3.72	0.00	0.00	0.50	32.51
B	0.00	0.50	2.01	5.53	3.02	41.71	7.54	0.00	0.00	5.53	34.17
CCC	0.00	0.00	0.00	4.92	1.64	2.46	49.18	0.82	0.00	23.77	17.21
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	35.24	2.92	1.32	0.27	0.17	0.10	0.10	0.00	0.00	0.00	59.88
AA	4.66	27.15	5.92	0.71	0.39	0.08	0.47	0.00	0.00	0.00	60.62
A	0.84	4.11	37.52	5.59	0.88	0.53	0.23	0.00	0.00	0.08	50.23
BBB	0.33	0.60	2.31	41.07	5.11	2.14	1.15	0.05	0.00	0.49	46.73
BB	0.27	0.00	0.53	5.59	28.72	13.03	2.93	0.00	0.00	2.93	46.01
B	0.00	1.11	1.67	4.44	2.22	26.11	7.22	0.00	0.00	8.89	48.33
CCC	0.00	0.87	2.61	5.22	1.74	2.61	33.91	0.87	0.00	28.70	23.48
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	23.25	2.70	1.19	0.35	0.35	0.15	0.13	0.00	0.00	0.00	71.87
AA	2.81	16.94	5.54	0.17	0.25	0.33	0.66	0.00	0.00	0.08	73.22
A	0.74	2.66	25.62	6.54	1.06	0.67	0.39	0.00	0.00	0.12	62.20
BBB	0.34	0.46	1.55	29.60	5.28	2.24	1.78	0.06	0.00	0.92	57.77
BB	0.29	0.00	0.58	2.32	19.42	11.88	0.58	0.00	0.00	5.22	59.71
B	0.00	1.83	1.83	4.88	3.05	15.24	7.32	0.00	0.00	10.98	54.88
CCC	0.00	1.82	2.73	5.45	0.91	2.73	25.45	0.91	0.00	30.00	30.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	15.11	2.34	0.87	0.39	0.39	0.26	0.16	0.00	0.00	0.00	80.47
AA	1.65	11.45	5.12	0.00	0.09	0.35	0.78	0.00	0.00	0.09	80.49
A	0.57	1.66	16.49	7.41	1.22	0.45	0.45	0.00	0.00	0.28	71.47
BBB	0.24	0.30	1.13	20.32	5.54	2.50	1.73	0.06	0.00	1.55	66.63
BB	0.31	0.00	0.31	0.94	13.48	10.34	0.63	0.00	0.00	5.96	68.03
B	0.00	2.00	2.00	2.00	2.67	8.67	7.33	0.00	0.00	12.00	63.33
CCC	0.00	1.87	2.80	5.61	0.93	2.80	16.82	0.93	0.00	30.84	37.38
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	2.56	1.08	0.71	0.20	0.40	0.10	0.00	0.00	0.00	0.07	94.87
AA	0.00	3.52	0.59	3.17	0.00	0.23	0.47	0.00	0.00	0.12	91.91
A	0.00	0.00	2.05	3.99	2.10	0.46	0.41	0.00	0.00	1.23	89.76
BBB	0.00	0.00	0.39	3.17	3.79	2.47	0.93	0.00	0.00	4.64	84.61
BB	0.00	0.00	0.43	0.86	1.72	1.72	1.29	0.00	0.00	8.19	85.78
B	0.00	0.00	0.00	0.00	0.00	2.25	3.37	0.00	0.00	15.73	78.65
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	46.15	53.85
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

European CMBS

Table 23

European CMBS cumulative default rates, conditional on survival, 1990-2022 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.15	0.49	0.98	1.60	2.22	2.80	3.26	3.85	4.37
AA	0.05	0.10	0.37	1.32	2.52	3.80	5.00	6.04	6.93	7.77
A	0.18	0.85	1.95	3.57	5.41	7.44	9.47	11.03	12.37	13.38
BBB	0.79	2.61	5.24	8.38	12.15	16.08	19.22	21.79	23.51	24.77
BB	1.97	7.22	12.74	18.49	24.31	29.51	33.53	35.87	37.67	39.16
B	9.87	21.95	33.98	44.98	52.40	56.39	59.57	62.07	62.85	62.85
CCC	38.07	59.67	73.27	79.31	81.50	82.62	82.62	82.62	82.62	82.62
CC	61.70	80.85	91.49	91.49	91.49	91.49	91.49	91.49	91.49	91.49
IG	0.24	0.87	1.90	3.37	5.13	6.99	8.62	9.94	11.02	11.87
SG	12.28	23.11	32.40	39.91	45.52	49.48	52.45	54.41	55.56	56.39
Overall	2.91	5.81	8.68	11.49	14.10	16.40	18.31	19.74	20.81	21.63
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 24

European CMBS one-year default rates, 1990-2022 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1990	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2007	0.43	0.12	4.35	0.00	0.00	0.00	0.55	0.00	30.00	0.00	N/A
2008	0.54	0.29	3.57	0.00	0.00	0.00	1.33	1.39	16.67	N/A	N/A
2009	0.98	0.11	9.57	0.00	0.00	0.00	0.50	1.49	17.39	100.00	N/A
2010	2.41	0.65	8.41	0.00	0.55	1.29	1.12	3.31	11.70	36.36	N/A
2011	4.08	0.31	12.72	0.00	0.00	0.00	1.38	4.76	13.46	46.88	N/A
2012	4.40	0.74	11.43	0.00	0.00	0.46	2.46	4.23	12.61	44.44	N/A
2013	7.80	0.26	17.32	0.00	0.00	0.53	0.00	3.16	7.41	50.68	100.00
2014	7.69	0.00	14.23	0.00	0.00	0.00	0.00	0.00	6.20	33.77	100.00
2015	7.03	0.00	13.30	0.00	0.00	0.00	0.00	0.00	8.89	19.72	62.50
2016	9.94	0.60	19.39	0.00	0.00	0.00	1.89	2.63	8.93	30.16	87.50
2017	10.89	0.00	23.33	0.00	0.00	0.00	0.00	0.00	3.45	50.00	14.29
2018	8.38	0.00	21.43	0.00	0.00	0.00	0.00	0.00	0.00	50.00	16.67
2019	3.93	0.00	14.00	0.00	0.00	0.00	0.00	0.00	0.00	28.57	83.33
2020	3.09	1.86	9.09	0.00	0.00	0.00	8.57	0.00	0.00	25.00	100.00
2021	2.16	0.00	11.11	0.00	0.00	0.00	0.00	0.00	28.57	0.00	N/A
2022	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
Weighted-average	2.91	0.24	12.28	0.00	0.05	0.18	0.79	1.97	9.87	38.07	61.70
Median	0.00	0.00	8.75	0.00	0.00	0.00	0.00	0.00	7.41	33.77	72.92
Std. dev.	3.38	0.37	7.78	0.00	0.11	0.27	1.69	1.54	9.43	25.67	43.65
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	10.89	1.86	23.33	0.00	0.55	1.29	8.57	4.76	30.00	100.00	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 25

European CMBS rating transitions, 2022 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2022
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.64	93.44	4.92	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.00	84.00	10.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	2.50	2.50	92.50	0.00	2.50	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.00	92.59	7.41	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	66.67	16.67	16.67	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	87.35	6.77	5.03	0.63	0.11	0.00	0.11	0.00	0.00	0.00
AA	3.44	82.01	10.71	2.98	0.56	0.15	0.10	0.00	0.00	0.05
A	1.02	2.82	82.17	8.78	3.79	1.15	0.09	0.00	0.00	0.18
BBB	0.45	1.09	2.48	78.80	10.35	5.45	0.59	0.00	0.00	0.79
BB	0.43	0.09	0.68	2.05	71.77	18.82	4.02	0.17	0.00	1.97
B	0.00	0.00	0.00	0.00	1.06	66.51	21.50	1.06	0.00	9.87
CCC	0.00	0.22	0.00	0.00	0.00	0.22	56.67	4.81	0.00	38.07
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	38.30	0.00	61.70
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	74.87	11.29	11.41	1.61	0.41	0.04	0.22	0.00	0.00	0.15
AA	5.79	68.14	16.42	6.41	2.09	0.78	0.26	0.00	0.00	0.10
A	2.17	4.96	68.56	11.96	7.19	3.64	0.66	0.00	0.00	0.85
BBB	1.01	1.52	4.60	62.61	14.70	10.71	2.22	0.00	0.00	2.63
BB	0.88	0.09	0.79	3.94	53.59	24.52	8.49	0.44	0.00	7.27
B	0.00	0.12	0.00	0.12	1.30	47.22	27.10	2.13	0.00	22.01
CCC	0.00	0.22	0.00	0.00	0.00	0.22	34.95	4.84	0.00	59.78
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	19.15	0.00	80.85
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	64.78	13.50	17.01	2.45	1.21	0.26	0.30	0.00	0.00	0.49
AA	6.88	59.68	18.17	8.55	3.12	2.53	0.70	0.00	0.00	0.38
A	2.88	5.72	60.72	12.31	9.28	5.38	1.73	0.00	0.00	1.97
BBB	1.34	1.54	5.40	53.47	14.65	13.83	4.32	0.15	0.00	5.30
BB	1.16	0.09	1.16	4.62	44.09	22.67	12.36	0.98	0.00	12.89
B	0.00	0.24	0.00	0.00	1.81	35.86	25.39	2.77	0.00	33.94
CCC	0.00	0.22	0.00	0.00	0.00	0.22	22.44	3.33	0.00	73.78
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.51	0.00	91.49
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	57.09	14.18	21.38	3.05	2.02	0.95	0.34	0.00	0.00	0.99
AA	7.61	53.56	19.61	8.89	4.00	3.61	1.39	0.00	0.00	1.33
A	3.33	6.22	55.73	11.90	9.35	7.20	2.55	0.10	0.00	3.62
BBB	1.57	1.68	6.02	48.06	13.04	14.14	6.81	0.31	0.00	8.38
BB	1.36	0.09	1.54	5.18	39.33	18.80	13.35	1.54	0.00	18.80
B	0.00	0.36	0.00	0.00	1.69	30.56	19.93	2.42	0.00	45.05
CCC	0.00	0.22	0.00	0.00	0.00	0.22	17.49	2.02	0.00	80.04
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.89	0.00	91.11
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	52.26	14.16	23.18	3.53	3.03	1.57	0.65	0.00	0.00	1.61
AA	7.71	49.66	20.69	8.06	4.46	5.03	1.77	0.06	0.00	2.57
A	3.64	6.58	53.06	11.46	7.87	8.07	3.79	0.15	0.00	5.38
BBB	1.70	1.70	6.63	45.73	10.77	12.57	8.06	0.58	0.00	12.25
BB	1.40	0.19	1.67	4.56	37.21	16.56	11.91	1.49	0.00	25.02
B	0.00	0.37	0.00	0.00	1.71	27.05	15.54	2.45	0.00	52.88
CCC	0.00	0.23	0.00	0.00	0.00	0.23	15.72	1.14	0.00	82.69
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.26	0.00	89.74
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	46.75	15.08	24.06	3.27	2.72	2.09	1.46	0.12	0.00	4.45
AA	8.14	42.34	21.85	6.85	5.04	4.91	2.26	0.13	0.00	8.47
A	4.66	5.84	46.81	11.45	6.38	7.67	3.07	0.12	0.00	13.99
BBB	2.01	1.95	7.13	40.28	7.74	8.41	4.75	0.67	0.00	27.06
BB	1.69	0.23	2.25	2.36	30.86	10.14	6.53	1.01	0.00	44.93
B	0.00	0.60	0.00	0.00	1.61	14.29	8.65	0.20	0.00	74.65
CCC	0.00	0.68	0.00	0.00	0.00	0.00	6.76	0.68	0.00	91.89
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	40.00	0.00	60.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 26

European CMBS rating transitions, 2022 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2022
AAA	93.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.67
AA	1.64	88.52	4.92	0.00	0.00	0.00	0.00	0.00	0.00	0.00	4.92
A	0.00	6.00	76.00	10.00	0.00	0.00	0.00	0.00	0.00	0.00	8.00
BBB	0.00	2.50	2.50	87.50	0.00	2.50	0.00	0.00	0.00	0.00	5.00
BB	0.00	0.00	0.00	0.00	81.48	7.41	0.00	0.00	0.00	0.00	11.11
B	0.00	0.00	0.00	0.00	0.00	66.67	16.67	16.67	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted-average
AAA	75.11	6.58	3.96	0.63	0.11	0.00	0.11	0.00	0.00	0.00	13.50
AA	2.68	72.56	9.04	2.93	0.51	0.15	0.05	0.00	0.00	0.05	12.03
A	0.69	2.45	70.25	8.55	3.74	1.06	0.09	0.00	0.00	0.18	12.98
BBB	0.30	0.74	2.03	69.54	9.96	5.45	0.59	0.00	0.00	0.79	10.60
BB	0.17	0.00	0.43	2.05	61.33	18.05	3.85	0.17	0.00	1.97	11.98
B	0.00	0.00	0.00	0.00	0.94	57.34	19.39	1.06	0.00	9.87	11.40
CCC	0.00	0.22	0.00	0.00	0.00	0.00	49.89	4.60	0.00	38.07	7.22
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	34.04	0.00	61.70	4.26
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted-average
AAA	52.39	9.99	7.97	1.61	0.41	0.04	0.22	0.00	0.00	0.15	27.23
AA	3.44	51.09	12.93	6.26	1.93	0.68	0.16	0.00	0.00	0.10	23.41
A	1.13	3.69	46.71	10.92	6.95	3.55	0.66	0.00	0.00	0.85	25.53
BBB	0.40	0.71	3.18	44.97	13.29	10.36	1.97	0.00	0.00	2.63	22.49
BB	0.26	0.00	0.09	3.59	34.15	21.02	7.09	0.44	0.00	7.27	26.09
B	0.00	0.12	0.00	0.12	0.95	32.07	23.79	2.01	0.00	22.01	18.93
CCC	0.00	0.00	0.00	0.00	0.00	0.00	23.74	4.62	0.00	59.78	11.87
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.64	0.00	80.85	8.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted-average
AAA	34.50	10.48	10.56	2.34	1.13	0.26	0.26	0.00	0.00	0.49	39.97
AA	3.28	37.04	12.15	7.74	2.96	2.26	0.59	0.00	0.00	0.38	33.60
A	1.15	3.51	31.49	10.10	8.51	5.10	1.54	0.00	0.00	1.97	36.63
BBB	0.41	0.62	2.98	29.87	12.03	12.70	3.91	0.15	0.00	5.30	32.03
BB	0.27	0.00	0.27	3.64	18.49	16.71	9.42	0.80	0.00	12.89	37.51
B	0.00	0.12	0.00	0.00	1.08	16.61	20.82	2.53	0.00	33.94	24.91
CCC	0.00	0.00	0.00	0.00	0.00	0.00	8.67	3.11	0.00	73.78	14.44
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.49	8.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted-average
AAA	20.62	8.99	11.39	2.71	1.79	0.95	0.27	0.00	0.00	0.99	52.29
AA	2.83	27.00	10.94	7.39	3.61	3.17	1.28	0.00	0.00	1.33	42.44
A	0.93	3.33	21.01	8.47	7.93	6.37	2.20	0.10	0.00	3.62	46.03
BBB	0.37	0.68	2.46	19.95	9.16	11.88	6.18	0.26	0.00	8.38	40.68
BB	0.18	0.00	0.54	3.63	9.63	10.99	9.63	1.18	0.00	18.80	45.41
B	0.00	0.12	0.00	0.00	0.60	8.33	13.89	2.17	0.00	45.05	29.83
CCC	0.00	0.00	0.00	0.00	0.00	0.00	2.47	1.79	0.00	80.04	15.70
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.11	8.89
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted-average
AAA	11.55	6.64	9.63	2.84	2.49	1.50	0.50	0.00	0.00	1.61	63.24
AA	1.71	20.06	9.31	5.54	3.54	4.23	1.60	0.06	0.00	2.57	51.37
A	0.75	3.14	14.10	6.78	5.48	6.08	3.29	0.15	0.00	5.38	54.86
BBB	0.27	0.69	2.33	14.43	5.73	9.23	6.74	0.48	0.00	12.25	47.85
BB	0.09	0.09	0.56	2.51	5.77	7.35	7.72	1.02	0.00	25.02	49.86
B	0.00	0.00	0.00	0.00	0.37	3.79	8.45	2.20	0.00	52.88	32.31
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.68	0.91	0.00	82.69	15.72
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	89.74	10.26
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted-average
AAA	2.40	2.40	2.36	0.51	0.35	0.47	0.39	0.12	0.00	4.45	86.53
AA	0.00	9.76	2.78	0.90	0.90	0.52	0.71	0.13	0.00	8.47	75.82
A	0.00	0.71	3.54	3.13	0.89	0.94	0.65	0.12	0.00	13.99	76.03
BBB	0.00	0.85	1.34	4.81	0.55	0.98	1.22	0.37	0.00	27.06	62.83
BB	0.00	0.00	0.23	0.00	0.34	0.23	1.13	0.34	0.00	44.93	52.82
B	0.00	0.00	0.00	0.00	0.00	0.00	0.40	0.00	0.00	74.65	24.95
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.89	8.11
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.00	40.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

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

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

Related Criteria

• Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
• Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
• Global Methodology And Assumptions For Corporate Securitizations, June 22, 2017
• Global Methodology For Assessing The Credit Quality Of Securitized Consumer Receivables, Oct. 9, 2014

Related Research

• European Structured Finance Weathers All The Storms, June 12, 2023
• Default, Transition, and Recovery: 2022 Annual Global Structured Finance Default And Rating Transition Study, April 20, 2023

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.

Ratings Performance Analytics:	Nick W Kraemer, FRM, New York + 1 (212) 438 1698; nick.kraemer@spglobal.com
	Brenden J Kugle, Englewood + 1 (303) 721 4619; brenden.kugle@spglobal.com
Research Contributor:	Lyndon Fernandes, CRISIL Global Analytical Center, an S&P affiliate, Mumbai