Last year interrupted four consecutive years of a declining global structured finance default rate as the headline figure nearly tripled to 1.3%, from 0.5% the year prior (see chart 1). However, this was still lower than the 2020 default rate of 1.4%. This was also the sixth year the default rate held under 2% since the 2008-2009 global financial crisis (GFC).

S&P Global Ratings had 33,851 ratings outstanding on global structured finance securities at the start of 2023. The sector's global average change in credit quality (ACCQ) (see definition in Appendix I) remained positive despite the rising default rate, ending the year at +0.20 notch and marking 30 consecutive months of positive 12-month-trailing ACCQ readings (see chart 1).

The upgrade rate (the proportion of upgrades among all ratings outstanding) rose to a five-year high of 12.4% in 2023 from 9.1% the year before, keeping well above the one-year average of 4.1%. The downgrade rate (measured as the proportion of downgrades, including defaults, among all ratings outstanding) ended its five-year declining trend, increasing to 3.3%, from 2.3% the year prior.

By region-sector combination, the European commercial-backed securities sector (CMBS) sector exhibited the highest downgrade rate for the fourth consecutive year. All subsectors except U.S. single-name synthetics, European structured credit, Japanese structured finance, and "other" had higher downgrade rates than in the year prior. However, downgrade rates were well below their respective long-term averages across the board, with U.S. CMBS the only sector coming close to its long-term average (11.9%) with a downgrade rate of 9.4% in 2023.

In the U.S., upgrade rates rose in the residential mortgage-backed securities (RMBS), asset-backed securities (ABS), and single-name synthetics sectors in 2023. Global credit quality has recovered over the past 10 quarters after having declined in the first two quarters of 2021. There was just one default outside the U.S. and Europe.

Credit Performance: The Upgrade Rate Rose To A Five-Year High

The overall credit performance (as measured by the ACCQ) of global structured finance securities we rate remained positive through 2023, continuing its trend since mid-2021:

• We raised 12.4% of our ratings on global structured finance securities that were active at the beginning of the year, down from the historical high of 13.1% in 2018 but well above the 9.1% in 2022.
• The annual default rate rose but remained low at 1.3% in 2023, from 0.5% in 2022.
• Downgrades climbed to 3.3% from 2.3% the previous year.

The ACCQ for global structured finance was +0.20 rating notch at the end of 2023, up from +0.17 rating notch at the end of 2022. This measure has tracked positive since July 2021 and showed an inverse trend relative to the default rate, which rose in 2023 after three years of decline. The ACCQ is now negatively correlated against the default rate (over the trailing 120 months, or 10 years) by only 67%, compared with 91% at the end of 2022--perhaps indicating diverging trends within structured finance (see chart 1).

On a 12-month-trailing basis, the default rate had been on a broad downtrend since mid-2016, with a small bump in late 2020, but changed course in 2023 by rising sharply to 1.3%, from 0.5% in 2022 (see chart 2). It had held relatively steady until October 2023, when it jumped to 1.0%, from 0.52% the month prior.

The 12-month-trailing default rate for investment-grade ratings ('BBB-' or higher) started the year flat but ended the year at 0.02%, with five defaults from the 'A' and 'BBB' rating categories. The speculative-grade ('BB+' or lower) 12-month-trailing default rate was elevated at 4.3% in 2023, up from 1.5% the year prior. Both investment- and speculative-grade structured finance securities' default rates ticked up particularly over the last quarter, with the speculative-grade rate at 3.3% and the investment-grade rate at 0.01% at the end of the third quarter. The speculative-grade default rate reached a post-GFC low of 1.3% in October 2022 but has since been rising.

Region and sector comparisons

Structured finance credit performance in 2023 was positive across most sectors and regions, barring CMBS and single-name synthetics globally and overall structured finance in "other emerging markets," where downgrades outpaced upgrades. There were no rating actions on Japanese structured finance issues through 2023, same as in the two years prior.

Globally, the European CMBS sector had the highest downgrade rate, at 13.0%, followed by the U.S. CMBS sector at 9.4%, both holding well below their respective one-year average downgrade rates (see chart 3 and table 1). In fact, downgrade rates across all sectors held below their one-year averages, despite most sectors facing elevated downgrades relative to 2022. U.S. single-name synthetics, European structured credit, Japan, and "other" were the only exceptions, as their downgrade rates decreased from 2022. U.S. CMBS was the only sector-region combination where downgrades outpaced upgrades.

Upgrades were the most prominent in the European RMBS sector, with an upgrade rate of 19.94% in 2023, well above the one-year average of 9.2%. Upgrade rates in 2023 rose above their respective one-year averages for half of the region-sector combinations we analyze. U.S. RMBS followed very closely with an upgrade rate of 19.90%. U.S. and European ABS, European CMBS, and Australasia sectors also had double-digit upgrade rates.

The U.S. RMBS sector had the highest annual default rate in 2023, at 2.9%, followed by the U.S. CMBS sector at 1.3%; however, these were still below their one-year averages of 4.7% and 3.1%, respectively (see chart 4). The next-highest annual default rate in 2023 was in the U.S. ABS sector, at 0.4%. The U.S. RMBS sector also accounted for the most defaults by number (with 373).

The only non-U.S. defaults came from European RMBS, structured credit, and Latin America, while there were no defaults among U.S. single-name synthetics--the only such sector in the U.S. The default rate was below the long-term average for all region-sector groupings except U.S. ABS, which matched its long-term average in 2023 (see table 1).

Table 1 shows a summary of 2023 credit performance for global structured finance, segmented in various ways, compared with the 1976-2023 one-year weighted average statistics.

Regions.  By region, the U.S. had the highest upgrade rate in 2023, at 12.7%, well above its one-year average of 3.7%, propelled by upgrades in the RMBS and ABS sectors (see table 1). In all regions except "other emerging markets" and Japan (which had no upgrades or downgrades in 2023), upgrades outpaced downgrades in 2023 (Asia excluding Japan had no rated securities at the start of 2023).

The downgrade rate was the highest in Latin America, at 4.2%, but this was down from 7.9% in 2022 and still below its one-year average of 12.3% as conditions in the region improved during the year. The relatively small population of outstanding ratings at the start of 2023 (380) largely explains the rapid change in the downgrade rate. The upgrade rate in Latin America rose to 7.1% in 2023 from 6.6% the year prior.

The ACCQ across regions outside Japan and other emerging markets broadly increased. These regions reported an upgrade rate of 12.5% and a downgrade rate of 3.3%. There was one default from outside the U.S. and Europe in 2023, and the regions with no defaults accounted for a total of 2,033 rated securities at the start of the year.

Sectors.  By sector, RMBS had the highest upgrade rate globally in 2023, at 18.8%, well above its one-year average of 3.0%, followed closely by ABS at 15.3% (long-term average of 5.8%). While upgrades outpaced downgrades in the structured credit sector, its upgrade rate of 2.5% was below its one-year average of 7.4%.

Downgrades outpaced upgrades only in the CMBS and single-name synthetics sectors. CMBS had a downgrade rate of 9.6% in 2023, below the one-year average of 12.4%. Meanwhile, single-name synthetics had a downgrade rate of 3.2%, above the 2.9% upgrade rate though significantly below the one-year average downgrade rate of 12.8%.

ABS was the only sector to record a default rate higher than its one-year average, at 0.34% in 2023, compared with the long-term average of 0.32%. RMBS recorded the highest default rate, at 2.3%, followed by CMBS at 1.2%.

Rating categories

The 'A', 'BBB', 'BB', and 'B' rating categories all recorded upgrade rates exceeding 20% in 2023, with the 'BBB' category recording the highest upgrade rate at 24.4%, much higher than its long-term average of 9.4%. Meanwhile, the 'CC' category exhibited the highest downgrade rate in 2023, at 19.3%.

The overall investment-grade upgrade rate was 11.7% in 2023, above the one-year average of 3.8%, while the downgrade rate of 1.5% was also well below the one-year average of 10.4%. The investment-grade default rate was 0.02% in 2023, up from 0.0% in 2022 though still well below its one-year average of 0.24%.

Apart from the 'CC' rating category, downgrades were highest in the 'B' rating category, at 7.0%, followed by 'CCC' at 5.1%. Defaults were highest in the 'CC' and 'CCC' rating categories, at 19.3% and 4.0%, respectively. The overall speculative-grade upgrade rate was 14.0% in 2023, while the downgrade rate was 7.6% and the default rate was 4.3%--all improvements compared with their respective one-year averages.

Table 1

Global structured finance transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	33,851	84.3	12.4	3.32	1.30	441	80.8	4.1	15.1	3.6
Region
U.S.	26,754	83.5	12.7	3.8	1.63	435	80.6	3.7	15.7	4.0
Europe	4,684	86.9	11.7	1.4	0.11	5	78.8	8.1	13.2	0.9
Australasia	1,657	86.7	12.6	0.7	0.00	0	90.4	6.1	3.5	0.1
Japan	307	100.0	0.0	0.0	0.00	0	89.4	5.4	5.2	0.8
Canada	40	97.5	2.5	0.0	0.00	0	92.5	6.0	1.5	0.1
Latin America	380	88.7	7.1	4.2	0.26	1	78.3	9.4	12.3	0.7
Other emerging markets	29	96.6	0.0	3.4	0.00	0	73.0	12.6	14.4	0.1
Asia (excl. Japan)	0	0.0	0.0	0.0	0.00	0	83.9	4.0	12.0	1.9
Sector
RMBS	16,513	76.9	18.8	4.2	2.26	374	80.0	3.0	16.9	4.4
Structured credit	8,751	96.9	2.5	0.7	0.14	12	76.8	7.4	15.8	2.8
ABS	5,243	83.2	15.3	1.4	0.34	18	89.5	5.8	4.8	0.3
CMBS	2,915	88.9	1.4	9.6	1.23	36	82.0	5.5	12.4	3.0
Single-name synthetics	309	93.9	2.9	3.2	0.32	1	81.8	5.4	12.8	0.6
Others	120	100.0	0.0	0.0	0.00	0	77.1	3.6	19.2	0.0
Region and sector
U.S. RMBS	12,987	75.0	19.90	5.1	2.87	373	79.6	2.6	17.7	4.7
U.S. structured credit	6,307	97.7	1.5	0.8	0.13	8	77.2	6.8	16.0	3.4
U.S. ABS	4,505	82.7	15.72	1.6	0.40	18	89.3	5.8	4.8	0.4
U.S. CMBS	2,683	90.5	0.04	9.4	1.34	36	82.4	5.70	11.9	3.1
U.S. single-name synthetics	152	96.7	3.29	0.00	0.00	0	81.3	5.9	12.8	0.7
Europe RMBS	1,640	78.6	19.94	1.5	0.06	1	80.3	9.2	10.6	0.3
Europe structured credit	2,434	94.7	4.9	0.3	0.16	4	76.2	8.8	15.0	1.2
Europe ABS	377	81.7	17.2	1.1	0.00	0	88.2	5.7	6.0	0.2
Europe CMBS	215	69.3	17.7	13.0	0.00	0	74.7	3.9	21.5	2.9
Australasia	1,657	86.7	12.6	0.7	0.00	0	90.4	6.1	3.5	0.1
Japan	307	100.0	0.0	0.0	0.00	0	89.4	5.4	5.2	0.8
Other	587	92.3	4.8	2.9	0.17	1	83.5	5.9	10.6	0.3
Vintage
Pre-2000	96	81.3	10.4	8.3	5.2	5	96.1	1.9	2.0	0.3
2000	42	88.1	2.4	9.5	9.5	4	90.4	3.7	5.9	0.8
2001	93	77.4	17.2	5.4	1.1	1	88.8	5.0	6.2	1.0
2002	269	86.2	9.3	4.5	0.0	0	86.5	5.7	7.8	1.2
2003	1,012	86.9	6.5	6.6	1.3	13	85.9	3.3	10.8	1.4
2004	2,293	85.7	7.2	7.1	1.4	33	82.5	3.3	14.2	2.4
2005	2,208	83.2	11.5	5.3	2.1	47	73.6	3.8	22.6	5.6
2006	1,916	80.9	10.3	8.8	8.0	153	61.6	4.2	34.1	9.7
2007	1,678	81.4	8.8	9.8	8.0	135	58.2	5.0	36.9	10.5
2008	185	83.2	10.3	6.5	3.8	7	73.9	5.7	20.3	4.3
2009	106	95.3	3.8	0.9	0.0	0	84.2	5.6	10.2	1.3
2010	109	91.7	3.7	4.6	0.9	1.0	88.5	6.5	5.0	0.3
2011	53	75.5	9.4	15.1	0.0	0.0	86.9	8.8	4.3	0.2
2012	149	85.9	4.0	10.1	5.4	8.0	90.0	7.0	2.9	0.1
2013	641	93.6	1.1	5.3	0.6	4.0	93.1	5.2	1.6	0.1
2014	525	92.2	4.4	3.4	1.3	7	92.4	5.3	2.3	0.3
2015	534	94.0	4.1	1.9	1.3	7.0	91.1	7.4	1.5	0.1
2016	475	87.4	7.8	4.8	1.1	5.0	89.7	8.0	2.3	0.1
2017	1,329	82.7	13.2	4.1	0.2	2.0	89.2	7.9	2.9	0.0
2018	2,515	83.7	12.2	4.1	0.3	7.0	89.0	8.341	2.6	0.1
2019	2,579	77.6	21.0	1.4	0.0	1.0	84.0	14.5	1.5	0.0
2020	2,972	78.0	21.5	0.5	0.0	0	85.1	14.7	0.3	0.0
2021	7,812	86.0	13.3	0.8	0.0	0	91.0	8.6	0.4	0.0
2022	4,260	88.4	11.1	0.5	0.0	1	88.4	11.1	0.5	0.0
Rating category
AAA	8,373	99.5	0.0	0.45	0.0	0	93.2	0.0	6.8	0.1
AA	6,082	87.4	11.0	1.5	0.0	0	79.1	8.1	12.8	0.2
A	4,909	76.9	20.9	2.2	0.1	4	75.6	9.2	15.2	0.4
BBB	4,444	72.9	24.4	2.7	0.0	1	71.9	9.4	18.8	0.9
BB	3,186	72.8	22.8	4.3	0.1	4	66.3	9.7	24.0	1.9
B	2,535	71.8	21.2	7.0	0.7	19	61.1	7.9	30.9	4.2
CCC	2,756	90.3	4.5	5.1	4.0	110	70.0	2.9	27.1	14.4
CC	1,566	79.8	0.8	19.3	19.3	303	60.8	1.4	37.9	37.9
C	0	0.0	0.0	0.0	0.0	0	59.8	2.1	38.1	38.1
Rating grade
Investment-grade	23,808	86.8	11.7	1.5	0.0	5.0	85.8	3.8	10.4	0.24
Speculative-grade	10,043	78.5	13.97	7.6	4.3	436	65.5	5.3	29.2	13.7
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. Source: S&P Global Ratings Credit Research & Insights.

Vintages

Structured finance credit performance remains differentiated by the year of issuance--or vintage--of securities. The fundamental credit characteristics and economic conditions surrounding a transaction's vintage can influence its subsequent credit behavior.

All but three (2005, 2006, 2019) of the vintages recorded higher upgrade rates in 2023 than in 2022. The 2020 vintage had the highest upgrade rate, at 21.5%. Of the vintages with more than 1,000 outstanding ratings at the start of the year, all but two (2005 and 2006) had higher upgrade rates in 2023 than in 2022.

Over half of the post-GFC (2010-2022) vintages--2011 and all vintages from 2017 to 2022--reported upgrade rates higher than the pre-2010 vintages in 2023 (9.1% average), with 14.2% of all securities first rated in 2010 or later (with ratings outstanding at the start of 2023) upgraded in 2023, up from 13.7% in 2022.

Nearly all of the vintages from 2009 and before reported downgrade rates higher than those of the post-GFC vintages put together (1.7%), with the exception of 2009, while all but two (2011 and 2012) of the post-GFC vintages reported lower downgrade rates than the pre-2010 average (7.3%). For the 2016 vintage, the downgrade rate improved significantly, to 4.8% in 2023 from 10.9% the year before (see chart 5).

The 2000 vintage recorded the highest default rate, at 9.5%, but this may be attributed to the low number of outstanding ratings from the vintage at the start of 2023 (42). Of the vintages with more than 1,000 outstanding ratings at the start of the year, the 2006 and 2007 vintages had the highest default rates, both at 8.0%; these two vintages accounted for 65% of all defaults in 2023. The 2005-2008 vintages exhibited the highest one-year average default rates, given their performance during the financial crisis.

Ratings Performance: Ratings Have Historically Differentiated Default Rates

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

Across global structured finance, upgrade and downgrade rates in 2023 were generally differentiated by the ratings at the beginning of the year. Downgrade rates were generally higher for lower rating categories, ranging from 19.3% for securities rated 'CC' to 0.5% for securities rated 'AAA' (see chart 7). Downgrade rates across all structured finance securities were well below their one-year averages at every rating category. Upgrade rates increased across the ratings spectrum, except in the 'CCC' and 'CC' rating categories, in 2023 compared with 2022.

We typically expect default rates to be lower for higher-rated securities, provided that observations are made over sufficiently long time horizons and large samples. Over shorter time frames or smaller samples, this relationship may not always hold, and default rates can also vary over time.

For global structured finance, higher-rated securities were clearly associated with lower weighted average one-year default rates between 1976 and 2023 (see chart 8). Default rates in 2023 were generally higher at lower rating categories. There were five defaults from the four investment-grade rating categories in 2023. Securities we rated in the 'BB' category at the beginning of the year had a default rate of 0.13%, contrasting with a default rate of 19.3% for those in the 'CC' category.

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

The cumulative default rates (conditional on survival) based on our full data history--from the beginning of 1976 to the end of 2023--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.

Table 2

Global structured finance cumulative default rates, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.06	0.31	1.01	2.21	3.49	4.46	5.14	5.62	5.98	6.27
AA	0.22	1.59	3.80	5.86	7.58	8.99	10.06	10.93	11.66	12.33
A	0.39	2.63	5.63	8.32	10.55	12.38	13.88	15.14	16.22	17.18
BBB	0.94	4.83	9.49	13.72	17.23	20.05	22.18	23.84	25.14	26.21
BB	1.90	7.43	12.81	17.75	21.71	24.82	27.19	29.03	30.56	31.79
B	4.20	12.46	19.67	26.31	31.09	34.23	36.70	38.64	40.25	41.41
CCC	14.43	26.94	36.19	41.64	44.94	47.43	49.27	50.69	51.79	52.79
CC	37.85	55.86	66.88	72.24	75.38	77.16	78.32	79.12	79.67	80.03
IG	0.24	1.39	3.13	5.03	6.77	8.13	9.15	9.92	10.52	11.02
SG	13.71	24.74	33.00	38.56	42.28	44.91	46.87	48.38	49.58	50.55
Overall	3.57	7.15	10.46	13.23	15.42	17.07	18.28	19.19	19.90	20.47
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Default rates calculated on a rolling basis for a given horizon (for example, five years) further demonstrate that this ratings-based rank ordering has generally remained in place over time, even as absolute default rates have fluctuated with differing levels of credit stress. For example, the five-year-trailing 'AAA' default rate for global structured finance was 0.07% at the end of 2023, marginally higher than 0.06% the year before. This was the third consecutive year that this metric has increased. By contrast, the five-year-trailing 'B' default rate was 5.8%, down from 6.1% at the end of 2022 and well off the peak of 81.7% in 2012 (see chart 9).

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

In 2023, the one-year Gini coefficient for defaults of rated global structured finance securities was 91.0%, up from 84.3% the previous year. The three-year Gini coefficient also increased, coming in at 85.1% for 2023, compared with 75.9% in 2022. The five-year Gini coefficient at the end of 2023 was 78.6%, up from 77.6% in 2022 (see chart 10).

This follows the pronounced dip in Gini coefficients amid the 2008-2009 financial crisis. During this period, a relatively large number of defaults in certain sectors--such as U.S. RMBS and U.S. structured credit--coincided with fewer defaults among lower-rated securities from other sectors, lowering the Gini coefficients.

Finally, we also calculated sector-specific historical one-year Gini coefficients. For all sectors, the Gini coefficients have returned to 80%-100% since the end of 2011, following a drop in 2007 (see chart 11). The Gini coefficient for global RMBS crossed the 85% mark for the first time since 2010, at about 87.5%, up from 71.7% the previous year. The CMBS and structured credit sectors reported lower Gini coefficients than in 2022, with the figure for CMBS falling to 87% from 97%, while structured credit fell to 90% from 99%.

The Gini coefficient metric is useful but has some significant shortcomings. For example, a value of 100% would be attained only if all defaults occurred among securities rated below some critical rating threshold, with no defaults among securities rated higher than this threshold. However, in a diverse sample of rated securities--such as global structured finance securities--sector- and region-specific credit stresses of differing severity and likelihood may cause higher-rated securities in more stressed sectors or regions to default, while at the same time lower-rated securities in less stressed sectors or regions do not default. This effect would lower the reported Gini coefficient, despite reflecting the sample composition rather than a decline in ratings' accuracy.

Regions And Sectors In Detail

U.S. RMBS

In 2023, the overall ACCQ for U.S. RMBS continued its recovery, ending the year at +0.36 notch, an all-time high (chart 12). On a 12-month-trailing basis, the U.S. RMBS default rate increased significantly to 2.9%, from 1.0% in 2022 (see chart 13). Of the 12,987 securities outstanding within the U.S. RMBS sector at the start of 2023, 373 defaulted (see table 3).

The subprime subsector, which accounts for the largest share of U.S. RMBS securities, at 28.0%, had a default rate of 5.8% in 2023, up from 1.0% the previous year. The subprime downgrade rate more than doubled to 9.3% in 2023 from 4.3% in 2022. Meanwhile, the subprime upgrade rate was lower than the downgrade rate at 8.0%, compared with 9.3% in 2023.

Among the subsectors with more than 1,000 outstanding ratings at the start of the year, the alt-A sector (representing 12.3% of U.S. RMBS ratings at the start of the year) recorded the highest default rate within U.S. RMBS at 7.5%.

The sharp increase in defaults in U.S. RMBS, particularly in the subprime and alt-A subsectors (combined, to 7.5% in 2023 from 2.2% in 2022) was largely attributable to S&P Global Ratings' lowering of 'CC' rated classes to 'D', due to the overall weak performance of collateral, severe liquidity erosion in the form of missed interest payments or interest shortfalls, and weak deal mechanics.

For the prime subsector, which accounts for the second-largest portion of U.S. RMBS (25%), the default rate fell by more than half, to 0.4% in 2023 from 1.0% the year before. Downgrade activity increased in 2023, with the downgrade rate rising to 3.1% from 2.1%. However, the upgrade rate increased to 7.5% from 1.7%.

Among the remaining U.S. RMBS subsectors, overall credit quality improved in 2023. Although the closed-end second subsector recorded the highest downgrade rate among U.S. RMBS subsectors, at 15.2%, this was still lower than its long-term one-year average of 33.8%. The sector also accounted for less than 0.3% of outstanding U.S. RMBS ratings at the beginning of 2023.

The upgrade rate for overall U.S. RMBS increased sharply to 19.9% in 2023 from 11.5% the year prior. Upgrades came primarily from the U.S. RMBS "other" subsector, which experienced a 47.6% upgrade rate last year. Meanwhile, the U.S. RMBS outside guidelines sector and U.S. RMBS reperforming sector also contributed to the increase, posting upgrade rates of 19.0% and 10.0%, respectively.

The increase in upgrades primarily stemmed from an update to our market outlook as it relates to the 'B' projected archetypal loss level, which lowered our 'B' foreclosure frequency to 2.50% from 3.25%, reflecting the level prior to the COVID-19 pandemic. The updated market outlook indicated our benign view of the mortgage and housing market, as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting.

In addition to the updated market outlook, a growing percentage of credit support and lower default expectations for the remaining collateral, as combined loan-to-value ratios decreased, also supported the upgrades.

Credit performance was mixed across transaction vintages in U.S. RMBS, even as more vintages (20 of 23) recorded either better upgrade rates or lower downgrade rates than in 2022. Pre-GFC vintages from 2001 through 2007 accounted for all but two of the defaults in 2023 (the remaining two were from the 2008 vintage). Vintages prior to 2000 also recorded two defaults in 2023. The 2007 vintage exhibited the highest default rate in 2023, at 11.6%, and the highest downgrade rate, at 12.6%. The 2019 vintage recorded the highest upgrade rate in 2023, at 70.9%.

The vast majority (99%) of U.S. RMBS defaults in 2023 were from the 'CCC' and 'CC' rating categories, which constituted about 30% of our U.S. RMBS ratings at the beginning of 2023. The 'CCC' and 'CC' rating categories were the only categories with increasing default rates in 2023. However, the scale of these increases was such that in their wake, the speculative-grade default rate increased to 5.8% in 2023 from 1.9% in 2022. All of these default rates were well below their respective one-year averages, which are elevated by the extreme peaks of the financial crisis.

Table 3

U.S. RMBS transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	12,987	75.0	19.9	5.1	2.9	373	79.6	2.6	17.7	4.7
Subsector
U.S. RMBS subprime	3,630	82.7	8.0	9.3	5.8	212	76.6	2.6	20.8	5.2
U.S. RMBS prime	3,301	89.4	7.5	3.1	0.4	14	86.1	2.5	11.4	2.3
U.S. RMBS re-REMIC	186	88.7	5.4	5.9	2.2	4	85.1	3.8	11.1	2.3
U.S. RMBS alt-A	1,591	82.3	7.9	9.9	7.5	119	67.2	1.8	30.9	9.4
U.S. RMBS reperforming	239	80.3	10.0	9.6	3.3	8	81.5	3.6	14.9	3.9
U.S. RMBS outside guidelines	96	76.0	19.8	4.2	1.0	1	79.5	4.2	16.4	4.3
U.S. RMBS closed end 2nd	33	75.8	9.1	15.2	15.2	5	63.2	3.0	33.8	14.0
U.S. RMBS other	3,911	51.9	47.6	0.5	0.3	10	81.4	3.4	15.2	4.9
Vintage
Pre-2000	35	85.7	5.7	8.6	5.7	2	97.5	1.4	1.1	0.2
2000	12	100.0	0.0	0.0	0.0	0	93.9	2.4	3.7	0.5
2001	64	84.4	9.4	6.3	0.0	0	90.7	4.5	4.7	0.9
2002	205	87.8	6.8	5.4	0.0	0	85.8	5.8	8.4	1.4
2003	893	86.6	6.4	7.1	1.3	12	85.6	2.4	12.0	1.6
2004	2,125	85.6	7.0	7.4	1.6	33	82.5	2.3	15.2	2.8
2005	1,930	82.6	11.8	5.6	2.3	45	72.4	2.9	24.7	6.7
2006	1,428	81.4	7.1	11.4	10.6	151	55.9	1.7	42.4	13.3
2007	1,104	81.5	5.9	12.6	11.6	128	50.4	1.1	48.5	15.6
2008	50	92.0	4.0	4.0	4.0	2	67.6	1.1	31.3	9.8
2009	33	93.9	3.0	3.0	0.0	0	83.9	3.8	12.2	1.8
2010	57	86.0	7.0	7.0	0.0	0	89.7	6.4	3.9	0.5
2011	9	77.8	22.2	0.0	0.0	0	78.0	6.2	15.8	1.2
2012	23	100.0	0.0	0.0	0.0	0	96.9	2.5	0.7	0.3
2013	321	99.4	0.6	0.0	0.0	0	98.9	1.1	0.0	0.0
2014	275	95.3	4.7	0.0	0.0	0	98.1	1.7	0.2	0.0
2015	179	98.3	1.7	0.0	0.0	0	98.8	1.2	0.0	0.0
2016	86	76.7	23.3	0.0	0.0	0	90.5	6.5	3.1	0.0
2017	131	37.4	62.6	0.0	0.0	0	78.8	13.7	7.5	0.0
2018	290	30.0	70.0	0.0	0.0	0	82.1	17.7	0.2	0.0
2019	591	29.1	70.9	0.0	0.0	0	58.3	40.7	1.0	0.0
2020	727	44.2	55.8	0.0	0.0	0	66.9	33.1	0.0	0.0
2021	1,308	59.9	40.1	0.0	0.0	0	78.4	21.6	0.0	0.0
2022	1,111	74.6	25.4	0.0	0.0	0	74.6	25.4	0.0	0.0
Rating category
AAA	2,070	99.8	0.0	0.2	0.0	0	92.3	0.0	7.7	0.0
AA	1,724	86.4	10.6	3.0	0.0	0	79.1	5.2	15.6	0.3
A	1,150	57.7	39.0	3.2	0.0	0	71.4	6.7	21.9	0.7
BBB	1,581	45.0	51.5	3.5	0.0	0	66.6	7.4	25.9	1.6
BB	1,245	49.8	46.2	4.0	0.1	1	60.0	8.7	31.3	2.9
B	1,330	59.8	33.6	6.6	0.2	2	56.3	6.8	36.8	4.5
CCC	2,435	92.3	4.3	3.4	3.4	82	71.8	1.7	26.5	13.7
CC	1,452	79.3	0.8	19.8	19.8	288	60.2	1.5	38.3	38.3
C	0	0.0	0.0	0.0	0.0	0	0.0	0.0	100.0	100.0
Rating grade
Investment-grade	6,525	75.6	22.2	2.3	0.0	0	85.8	2.2	12.1	0.3
Speculative-grade	6,462	74.5	17.6	7.9	5.8	373	64.4	3.8	31.8	15.8
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. Source: S&P Global Ratings Credit Research & Insights.

U.S. structured credit

The ACCQ for U.S. structured credit remained steady but positive in 2023, at +0.02 notch in the final month of 2023, the same as at the end of 2022. The U.S. structured credit 12-month-trailing default rate briefly rose to 0.20% in September 2023 but ended the year at 0.13%, same as the previous year (see chart 15). The subsector's downgrade rate rose to 0.8% in 2023 from 0.2% in 2022 but remained well below the one-year average of 16.0%. The upgrade rate held steady at 1.5% in 2023.

The U.S. structured credit default rate spiked in 2011 following the defaults of a large number of ratings on collateralized debt obligation (CDO) tranches backed by other structured finance securities, notably U.S. subprime RMBS. At that time, these securities had, in our view, minimal realistic prospects of repayment, and many were unlikely to receive any future principal payments due to the ongoing collateral deterioration of the RMBS and other securities backing the transactions.

The overall U.S. structured credit sector remains polarized between collateralized loan obligations (CLOs), which have historically performed very well, and other transactions that performed poorly after 2007 but now constitute only a small portion of our active ratings. CLOs grew to 98.8% of the U.S. structured credit sector at the beginning of 2023 (see table 4). The subsector's downgrade rate quadrupled to 0.8% in 2023 from 0.2% in 2022. There were eight CLO defaults in 2023--compared with four in 2022--yielding an annual default rate of 0.1%, on par with the one-year average.

Other U.S. structured credit makes up about 1.2% of overall U.S. structured credit ratings and had no defaults in 2023. This subsector exhibited a downgrade rate of 3.0% and an upgrade rate of 1.5% in 2023.

The U.S. structured credit CDO subsector made up the lowest share of outstanding ratings at the beginning of 2023, at just 0.16%, but observed a 10% upgrade rate and no defaults or downgrades in 2023.

Considering only vintages with more than 30 ratings outstanding at the beginning of 2023, the highest upgrade rate was in the 2017 vintage, at 8.3%. CLO transactions in particular in this vintage are now amortizing, increasing the relative credit enhancement for the rated securities and therefore raising their creditworthiness, all else being equal. Only the 2021 vintage recorded a higher-than-average downgrade rate, while only the 2018 vintage recorded a lower-than-average upgrade rate.

Of the eight defaults in U.S. structured credit in 2023, all were on securities that we rated in the 'CCC' category or below at the beginning of the year.

Table 4

U.S. structured credit transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	6,307	97.7	1.5	0.8	0.1	8	77.2	6.8	16.0	3.4
Subsector
U.S. structured credit CLO	6,230	97.7	1.5	0.8	0.1	8	84.8	9.9	5.4	0.1
U.S. structured credit SF CDO	10	90.0	10.0	0.0	0.0	0	57.6	2.0	40.4	13.3
U.S. structured credit other	67	95.5	1.5	3.0	0.0	0	79.1	5.3	15.5	1.7
Vintage
Pre-2000	8	75.0	0.0	25.0	0.0	0	94.9	1.3	3.8	0.5
2000	5	100.0	0.0	0.0	0.0	0	88.7	3.6	7.8	0.8
2001	0	0.0	0.0	0.0	0.0	0	87.7	3.3	8.9	0.9
2002	0	0.0	0.0	0.0	0.0	0	84.3	3.7	12.0	1.4
2003	2	100.0	0.0	0.0	0.0	0	79.7	6.3	14.0	1.7
2004	6	100.0	0.0	0.0	0.0	0	73.2	7.2	19.6	2.9
2005	17	100.0	0.0	0.0	0.0	0	67.2	7.8	25.0	5.0
2006	4	100.0	0.0	0.0	0.0	0	59.5	10.3	30.1	7.6
2007	1	100.0	0.0	0.0	0.0	0	55.6	13.4	31.0	8.7
2008	3	66.7	33.3	0.0	0.0	0	66.6	14.9	18.5	2.3
2009	0	0.0	0.0	0.0	0.0	0	59.7	25.7	14.7	2.3
2010	0	0.0	0.0	0.0	0.0	0	89.0	5.1	6.0	0.4
2011	0	0.0	0.0	0.0	0.0	0	85.3	14.6	0.1	0.0
2012	3	33.3	0.0	66.7	33.3	1	91.5	7.7	0.8	0.0
2013	5	80.0	0.0	20.0	20.0	1	93.5	5.6	0.9	0.1
2014	17	29.4	17.6	52.9	35.3	6	93.3	3.0	3.7	0.4
2015	9	33.3	55.6	11.1	0.0	0	94.2	3.7	2.1	0.0
2016	8	87.5	12.5	0.0	0.0	0	96.9	1.9	1.2	0.0
2017	313	89.8	8.3	1.9	0.0	0	91.8	5.0	3.3	0.0
2018	1,167	95.5	2.4	2.1	0.0	0	94.1	2.7	3.2	0.0
2019	338	98.2	1.2	0.6	0.0	0	97.7	0.7	1.6	0.0
2020	602	98.7	1.3	0.0	0.0	0	99.3	0.7	0.0	0.0
2021	2,969	99.3	0.7	0.1	0.0	0	99.5	0.5	0.0	0.0
2022	830	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating category
AAA	1,608	99.9	0.0	0.1	0.0	0	90.4	0.0	9.6	0.5
AA	1,341	97.2	2.8	0.0	0.0	0	75.7	12.4	11.9	0.5
A	1,127	97.3	2.7	0.0	0.0	0	76.4	10.1	13.5	0.5
BBB	1,096	98.9	1.0	0.1	0.0	0	73.1	9.2	17.7	0.6
BB	805	97.5	1.2	1.2	0.0	0	71.5	9.7	18.8	0.8
B	290	89.3	2.4	8.3	0.0	0	62.4	14.1	23.4	1.4
CCC	30	70.0	0.0	30.0	13.3	4	60.6	10.9	28.5	11.1
CC	10	60.0	0.0	40.0	40.0	4	61.1	0.2	38.7	38.7
Rating grade
Investment-grade	5,172	98.4	1.5	0.1	0.0	0	81.6	6.1	12.3	0.5
Speculative-grade	1,135	94.4	1.5	4.1	0.7	8	65.1	8.7	26.2	11.5
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. SF--Structured finance. Source: S&P Global Ratings Credit Research & Insights.

U.S. ABS

Credit performance for the U.S. ABS sector remained positive in 2023. The annual ACCQ for 2023 continued its upward trajectory, peaking at +0.39 notch in January before ending the year at +0.35 notch, down slightly from +0.38 notch in 2022 (see chart 16). The 12-month-trailing default rate has historically remained very low but increased to 0.4% in 2023, the highest since 2011, from 0.04% a year prior (see chart 17).

The U.S. ABS sector is the third-largest structured finance sector in the U.S. by number of outstanding ratings--behind RMBS and structured credit--accounting for 16.9% of U.S. securities at the start of 2023. The majority of these securities fall within the student loan and auto subsectors (see table 5). The U.S. ABS upgrade rate was 15.7% in 2023, up from 13.7% in 2022 and well above the one-year average of 5.8%. The downgrade rate increased to 1.6% in 2023 from 0.9% in 2022 but remained well below its one-year average of 4.8%. The annual default rate for ABS was 0.40% in 2023--a tenfold increase year over year and level with its historical average.

The only U.S. ABS defaults in 2023 occurred in the student loan and manufactured housing subsectors, from the rating categories 'B' and below (see table 5). The default rate in the student loan subsector was 0.7%, while in the manufactured housing subsector, it was 11.1% in 2023.

The speculative-grade downgrade rate of 11.7% far exceeded the investment-grade downgrade rate of 0.5%. ABS manufactured housing and nontraditional ABS accounted for the highest downgrade rates in U.S. ABS, at 11.1% (all defaults) and 7.6%, respectively. These sectors accounted for 2% and 6% of U.S. ABS ratings outstanding at the start of the year, respectively. The downgrade rates of all U.S. ABS subsectors remained below their one-year averages with the exception of ABS nontraditional.

The U.S. ABS auto subsector experienced another wave of upgrades in 2023, yielding the highest upgrade rate of all the U.S. ABS subsectors, at 29.9%, the same as in the year prior and well above the one-year average of 15.0%. Several other subsectors experienced upgrade rates above their respective one-year averages, with the exception of credit card and timeshare ABS (which had no upgrades in 2023) and tobacco settlement ABS.

Table 5

U.S. ABS transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	4,505	82.7	15.7	1.6	0.40	18	89.3	5.8	4.8	0.4
Subsector
U.S. ABS student loans	1,399	91.8	7.0	1.2	0.71	10	92.5	2.9	4.6	0.09
U.S. ABS auto	1,348	69.7	29.9	0.4	0.0	0	83.9	15.0	1.1	0.01335
U.S. ABS nontraditional	250	78.8	13.6	7.6	0.0	0	90.9	4.5	4.6	0.0
U.S. ABS tobacco settlement	414	93.7	6.0	0.2	0.0	0	85.7	6.2	8.2	0.0
U.S. ABS credit card	58	100.0	0.0	0.0	0.0	0	95.7	2.8	1.5	0.1
U.S. ABS manufactured housing	72	61.1	27.8	11.1	11.1	8	82.4	2.7	14.9	2.4
U.S. ABS timeshare	169	100.0	0.0	0.0	0.0	0	97.8	1.3	0.9	0.0
U.S. ABS other	795	81.5	16.1	2.4	0.0	0	88.8	3.8	7.3	0.8
Vintage
Pre-2000	33	72.7	18.2	9.1	9.1	3	94.4	1.3	4.3	0.7
2000	18	72.2	5.6	22.2	22.2	4	88.0	2.3	9.7	1.3
2001	13	46.2	46.2	7.7	7.7	1	89.2	2.9	7.9	0.8
2002	50	82.0	18.0	0.0	0.0	0	90.5	3.1	6.4	0.4
2003	78	96.2	1.3	2.6	1.3	1	92.6	2.7	4.8	0.0
2004	79	94.9	5.1	0.0	0.0	0	90.4	4.5	5.2	0.1
2005	92	95.7	3.3	1.1	0.0	0	88.7	4.8	6.5	0.1
2006	109	96.3	3.7	0.0	0.0	0	85.8	5.0	9.2	0.3
2007	129	91.5	1.6	7.0	3.1	4	83.6	4.8	11.6	0.3
2008	29	51.7	20.7	27.6	13.8	4	84.7	7.5	7.7	0.5
2009	13	100.0	0.0	0.0	0.0	0	92.5	5.7	1.8	0.0
2010	21	95.2	0.0	4.8	4.8	1	90.9	6.5	2.6	0.0
2011	10	100.0	0.0	0.0	0.0	0	88.7	10.9	0.4	0.0
2012	33	87.9	12.1	0.0	0.0	0	88.7	10.9	0.4	0.0
2013	53	88.7	7.5	3.8	0.0	0	88.2	11.3	0.5	0.0
2014	57	91.2	8.8	0.0	0.0	0	87.1	12.5	0.4	0.0
2015	107	92.5	7.5	0.0	0.0	0	84.8	14.2	1.1	0.0
2016	147	90.5	9.5	0.0	0.0	0	85.5	13.6	0.9	0.0
2017	191	86.4	10.5	3.1	0.0	0	82.9	15.2	1.9	0.0
2018	269	88.8	10.4	0.7	0.0	0	81.7	17.5	0.7	0.0
2019	529	85.1	14.0	0.9	0.0	0	82.4	16.9	0.8	0.0
2020	695	80.4	18.7	0.9	0.0	0	81.2	18.6	0.2	0.0
2021	931	72.6	26.1	1.3	0.0	0	79.7	19.6	0.8	0.0
2022	819	82.4	16.6	1.0	0.0	0	82.4	16.6	1.0	0.0
Rating category
AAA	1,467	100.0	0.0	0.0	0.0	0	96.8	0.0	3.2	0.0
AA	1,172	76.4	23.1	0.5	0.0	0	84.0	11.8	4.3	0.0
A	993	77.7	21.6	0.7	0.0	0	84.5	11.1	4.4	0.1
BBB	464	69.6	28.4	1.9	0.0	0	80.9	13.2	6.0	0.2
BB	168	63.1	29.8	7.1	0.0	0	71.4	16.2	12.4	0.9
B	75	56.0	30.7	13.3	4.0	3	71.3	8.7	20.0	3.2
CCC	88	61.4	19.3	19.3	6.8	6	76.6	2.4	20.9	7.8
CC	78	87.2	1.3	11.5	11.5	9	87.0	0.7	12.3	12.3
Rating grade
Investment-grade	4,096	84.4	15.1	0.5	0.0	0	90.5	5.6	3.9	0.0
Speculative-grade	409	66.0	22.2	11.7	4.4	18	74.4	9.2	16.4	4.4
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. Source: S&P Global Ratings Credit Research & Insights.

U.S. CMBS

In U.S. CMBS, the ACCQ remained negative at the end of 2023 at -0.33 notch. It had remained negative for 52 consecutive months as of year-end, marking the longest such streak since 2014, when the metric had remained negative for 70 months. This figure worsened from the previous year's close of -0.10 notch (see chart 18). The 12-month-trailing default rate for U.S. CMBS rose to 1.3% in 2023 from 0.3% the previous year (see chart 19).

The upgrade rate was negligible at 0.04%, a significant decrease from 5.8% in 2022. The downgrade rate increased further to 9.4% in 2023 from 8.2% in 2022, though it remained below the one-year average of 11.9%.

A total of 36 defaults occurred within U.S. CMBS in 2023--four times the nine defaults in 2022 (see table 6). The defaults were spread across the single-borrower (16), conduit/fusion (11), and large loans/floaters (nine) subsectors, yielding default rates of 1.5%, 0.7%, and 9.6%, respectively. The 2012, 2015, and 2018 vintages led defaults in 2023, each contributing seven.

The large loan/floater downgrade rate was the highest, at 28.7%, though down from 29.1% the previous year, while the single-borrower downgrade rate swelled to 17.1% in 2023 from 12.2% in 2022. Higher downgrade activity in the single-borrower subsector was largely due to the ongoing uncertainty surrounding future office demand and the impact it has on fundamentals, valuations, and credit. The magnitude of occupancy changes, prospects for retenanting, land value, and lease rollover are among the key factors analysts are watching.

The U.S. CMBS conduit/fusion downgrade rate was 3.3%, slightly below 3.5% in 2022. Downgrade rates for the conduit/fusion and CMBS "other" subsectors remained below their respective one-year averages, while the downgrade rate for the single-borrower and large loans/floaters subsectors rose well above their long-term averages. Downgrades were largely spread across vintages, but the 2011 vintage recorded the highest downgrade rate, at 88.9%.

All of the CMBS upgrades were in the "other" subsector, which recorded an upgrade rate of 1.9%, down from 8.8% in 2022 and below the long-term average of 3.7%.

Table 6

U.S. CMBS transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	2,683	90.5	0.0	9.4	1.3	36	82.4	5.7	11.9	3.1
Subsector
U.S. CMBS conduit/fusion	1,501	96.7	0.0	3.3	0.7	11	81.7	5.9	12.4	3.6
U.S. CMBS single borrower	1,035	82.9	0.0	17.10	1.5	16	90.9	4.2	4.9	0.2
U.S. CMBS large loan/floaters	94	71.3	0.0	28.7	9.6	9	81.1	8.2	10.7	1.6
U.S. CMBS other	53	98.1	1.9	0.0	0.0	0	75.4	3.7	20.9	5.1
Vintage
Pre-2000	0	0.0	0.0	0.0	0.0	0	87.4	9.0	3.6	0.6
2000	1	100.0	0.0	0.0	0.0	0	83.0	8.9	8.2	2.0
2001	5	80.0	20.0	0.0	0.0	0	83.4	9.1	7.5	2.1
2002	1	100.0	0.0	0.0	0.0	0	84.6	9.5	5.9	1.7
2003	2	100.0	0.0	0.0	0.0	0	86.9	7.3	5.9	1.7
2004	10	100.0	0.0	0.0	0.0	0	85.9	5.1	9.0	2.9
2005	33	93.9	0.0	6.1	6.1	2	80.0	3.9	16.1	4.3
2006	5	100.0	0.0	0.0	0.0	0	73.1	2.7	24.2	7.0
2007	3	66.7	0.0	33.3	33.3	1	65.3	3.8	30.9	8.6
2008	0	0.0	0.0	0.0	0.0	0	61.7	5.4	32.8	8.6
2009	9	100.0	0.0	0.0	0.0	0	85.8	7.8	6.4	0.5
2010	3	100.0	0.0	0.0	0.0	0	87.7	7.0	5.3	0.6
2011	9	11.1	0.0	88.9	0.0	0	81.1	10.1	8.8	1.1
2012	60	78.3	0.0	21.7	11.7	7	87.5	3.3	9.2	0.7
2013	181	82.9	0.0	17.1	1.7	3	91.3	4.1	4.6	0.3
2014	84	91.7	0.0	8.3	1.2	1	89.4	3.6	7.1	1.3
2015	135	93.3	0.0	6.7	5.2	7	93.5	2.7	3.8	0.8
2016	139	83.5	0.0	16.5	3.6	5	92.1	1.4	6.5	0.6
2017	315	86.7	0.0	13.3	0.6	2	92.2	2.1	5.7	0.3
2018	334	79.6	0.0	20.4	2.1	7	90.0	0.9	9.1	0.8
2019	517	96.3	0.0	3.7	0.2	1	95.3	1.8	2.9	0.0
2020	149	96.6	0.0	3.4	0.0	0	98.9	0.0	1.1	0.0
2021	495	95.6	0.0	4.4	0.0	0	92.3	5.5	2.2	0.0
2022	193	98.4	0.0	1.6	0.0	0	98.4	0.0	1.6	0.0
Rating category
AAA	1,198	97.8	0.0	2.2	0.0	0	97.5	0.0	2.5	0.0
AA	465	95.3	0.0	4.7	0.0	0	82.4	10.8	6.8	0.1
A	322	84.8	0.0	15.2	0.9	3	78.9	11.5	9.6	0.1
BBB	281	84.0	0.4	15.7	0.4	1	76.8	10.3	12.9	0.4
BB	154	73.4	0.0	26.6	1.3	2	74.5	7.6	17.9	1.7
B	166	73.5	0.0	26.5	8.4	14	70.9	4.4	24.8	6.8
CCC	97	72.2	0.0	27.8	16.5	16	52.4	2.9	44.7	37.4
CC	0	0.0	0.0	0.0	0.0	0	52.2	0.0	47.8	47.8
C	0	0.0	0.0	0.0	0.0	0	0.0	0.0	100.0	100.0
Rating grade
Investment-grade	2,266	93.7	0.0	6.2	0.2	4	87.7	5.8	6.5	0.1
Speculative-grade	417	73.1	0.0	26.9	7.7	32	68.6	5.3	26.0	11.0
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. Source: S&P Global Ratings Credit Research & Insights.

Europe

Credit performance across European structured finance sectors has historically been more positive than that of U.S. counterparts, and the same held true in 2023. Although the ACCQ rose to +0.20 notch from +0.19 notch the previous year, it was still far off the peak of +0.41 notch in February and March 2020 (see chart 20). The 12-month-trailing default rate increased from 0.07% at the start of the year to 0.11% at the end (see chart 21).

The annual default rate for European structured finance in 2023 (0.1%) remained below the one-year average of 0.9% (see table 7). The overall upgrade rate grew to 11.7% in 2023 from 9.6% in 2022 and remained above its one-year average of 8.1%. The overall downgrade rate for European structured finance was 1.4% in 2023, the same as in 2022 and well below the one-year average of 13.2%.

The European structured finance sector consists of a diverse array of subsectors. In terms of defaults, the structured credit CDO subsector was the worst performing in 2023 (same as in 2022 and 2021), with a default rate of 19.0%, well above the one-year average of 5.2%. There were four defaults from the European structured credit CDO sector and one from RMBS nonconforming, yielding default rates of 19.0% and 0.2%, respectively. Meanwhile, there were no defaults within European ABS, CMBS, or single-name synthetics in 2023.

One of the defaults was from the 'A' rating category, while the rest were from the 'CCC' and 'CC' categories. There were two defaults from the 'CC' rating category, leading to an 8.3% default rate in 2023, lower than its one-year average rate of 29.3%. The 'CCC' category exhibited a 2.7% default rate with two defaults, while the 'A' category default rate was 0.1%.

Downgrades rose across a few European sectors in 2023 (RMBS nonconforming, RMBS other, CDO, CMBS, ABS auto, and ABS other). Downgrades were most prominent in the European structured credit CDO and CMBS subsectors in 2023, which recorded downgrade rates of 19.0% and 13.0%, respectively. European single-name synthetics recorded the most improved downgrade rate, to 0% in 2023 from 10.5% in 2022, while the CDO subsector's downgrade rate had the worst deterioration, climbing to 19.0% from 8.3%. The European ABS downgrade rate increased to 1.1% in 2023 from 0.0% in 2022.

Most European subsectors reported upgrade rates higher than their respective one-year averages, with the exceptions of the European structured credit CLO, structured credit CDO, credit card ABS, and single-name synthetics subsectors. European RMBS upgrades marginally declined in comparison to 2022, to 19.9% from 20.3%, largely due to the RMBS nonconforming subsector's 24.9% upgrade rate. The European structured credit CLO upgrade rate was well below its one-year average of 12.1%, coming in at 4.2% in 2023. Within European ABS, nontraditional ABS, auto ABS, and consumer ABS upgrade rates were also above their one-year averages, at 33.3%, 22.4%, and 21.4%, respectively.

Upgrades were spread across the vintages in 2023. The majority of downgrades in European structured finance occurred within the investment-grade segment, even as the 'CC' rating category had the highest downgrade rate, at 8.3%. The downgrade rate of 1.8% for the 'BBB' rating category was the highest among the investment-grade rating categories. Overall investment- and speculative-grade upgrade rates diverged at 13.1% and 7.1%, respectively.

Table 7

European structured finance transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	4,684	86.9	11.7	1.4	0.1	5	78.8	8.1	13.2	0.9
Subsector
Europe RMBS prime	552	81.3	18.7	0.0	0.0	0	82.0	7.5	10.5	0.4
Europe RMBS nonconforming	514	72.4	24.9	2.7	0.2	1	76.9	11.5	11.6	0.1
Europe RMBS other	574	81.5	16.7	1.7	0.0	0	79.9	11.9	8.2	0.1
Europe structured credit CLO	2,219	95.8	4.2	0.0	0.0	0	80.1	12.1	7.8	0.1
Europe structured credit SF CDO	21	76.2	4.8	19.0	19.0	4	67.7	6.1	26.2	5.2
Europe structured credit other	194	85.1	12.9	2.1	0.0	0	74.9	6.8	18.3	1.3
Europe CMBS	215	69.3	17.7	13.0	0.0	0	74.7	3.9	21.5	2.9
Europe ABS auto	246	77.2	22.4	0.4	0.0	0	89.5	8.3	2.2	0.2
Europe ABS nontraditional	3	66.7	33.3	0.0	0.0	0	71.6	7.2	21.1	0.0
Europe ABS consumer	14	78.6	21.4	0.0	0.0	0	86.9	7.2	5.8	0.1
Europe ABS credit card	25	100.0	0.0	0.0	0.0	0	95.9	1.9	2.2	0.0
Europe ABS other	89	89.9	6.7	3.4	0.0	0	86.2	4.0	9.8	0.4
Europe single-name synthetics	18	100.0	0.0	0.00	0.0	0	82.0	3.6	14.3	0.4
Vintage
Pre-2000	11	81.8	18.2	0.0	0.0	0	90.6	2.5	6.9	0.1
2000	4	100.0	0.0	0.0	0.0	0	91.1	5.1	3.8	0.3
2001	9	66.7	33.3	0.0	0.0	0	87.5	5.2	7.3	0.3
2002	4	50.0	25.0	25.0	0.0	0	88.3	5.8	5.9	0.4
2003	16	62.5	37.5	0.0	0.0	0	86.0	6.5	7.5	0.4
2004	39	71.8	28.2	0.0	0.0	0	80.9	7.5	11.6	0.3
2005	111	77.5	20.7	1.8	0.0	0	74.7	8.2	17.1	1.1
2006	278	68.0	30.9	1.1	0.7	2	70.2	9.5	20.3	1.7
2007	317	72.2	23.7	4.1	0.6	2	67.4	11.3	21.3	2.0
2008	42	71.4	23.8	4.8	2.4	1	75.4	7.3	17.3	1.1
2009	18	83.3	16.7	0.0	0.0	0	75.7	9.9	14.4	0.6
2010	8	100.0	0.0	0.0	0.0	0	77.5	9.6	12.9	0.3
2011	12	75.0	25.0	0.0	0.0	0	81.7	8.1	10.1	0.0
2012	9	88.9	11.1	0.0	0.0	0	87.8	5.9	6.3	0.1
2013	19	100.0	0.0	0.0	0.0	0	91.1	6.1	2.9	0.4
2014	31	90.3	3.2	6.5	0.0	0	88.3	8.2	3.5	0.2
2015	41	85.4	14.6	0.0	0.0	0	88.3	10.8	0.9	0.1
2016	48	97.9	2.1	0.0	0.0	0	91.0	7.0	2.0	0.0
2017	224	79.9	20.1	0.0	0.0	0	93.0	6.7	0.3	0.0
2018	273	82.4	14.7	2.9	0.0	0	90.4	8.2	1.4	0.0
2019	351	89.5	8.0	2.6	0.0	0	92.9	5.0	2.1	0.0
2020	474	88.8	10.5	0.6	0.0	0	90.1	9.6	0.3	0.0
2021	1,611	92.1	6.7	1.2	0.0	0	94.3	5.1	0.7	0.0
2022	734	93.5	6.4	0.1	0.0	0	93.5	6.4	0.1	0.0
Rating category
AAA	876	99.4	0.0	0.6	0.0	0	90.7	0.0	9.3	0.1
AA	1,066	87.1	11.6	1.3	0.0	0	76.0	9.4	14.6	0.1
A	1,013	72.5	26.2	1.4	0.1	1	75.7	11.6	12.7	0.1
BBB	679	85.6	12.7	1.8	0.0	0	75.2	11.5	13.3	0.2
BB	487	89.3	8.6	2.1	0.0	0	70.5	12.6	16.9	0.5
B	466	92.3	6.7	1.1	0.0	0	70.4	13.5	16.1	1.8
CCC	73	94.5	2.7	2.7	2.7	2	68.4	11.2	20.5	10.3
CC	24	91.7	0.0	8.3	8.3	2	68.7	1.8	29.6	29.3
Rating grade
Investment-grade	3,634	85.7	13.1	1.2	0.0	1	80.9	7.1	12.1	0.1
Speculative-grade	1,050	91.0	7.1	1.8	0.4	4	69.9	12.1	18.0	4.3
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. SF--Structured finance. Source: S&P Global Ratings Credit Research & Insights.

Outside U.S. and Europe

Outside the U.S. and Europe, the ACCQ remained positive even as it fell in 2023, coming in at +0.15 notch, down from +0.16 notch in 2022 (see chart 22). With one default in 2023, the 12-month-trailing default rates for all regions outside the U.S. and Europe reached 0.04% by the end of the year.

Structured finance ratings outside the U.S. and Europe accounted for 7.1% of outstanding ratings at the start of 2023. The upgrade rate slowed to 9.8% in 2023 from 9.9% the previous year but was still well above its one-year average of 6.0%. The downgrade rate dipped to 1.2% from 1.6% and was still well below its one-year average of 4.7%.

The majority of ratings outstanding at the start of the year were concentrated in Australasia, Japan, and Latin America, specifically within the RMBS sector. Downgrades in 2023 were primarily concentrated in Latin America, with a downgrade rate of 4.2%, well below the one-year average of 12.3% (see table 8). There were no downgrades in Canada or Japan in 2023. Further downgrades occurred only in the emerging markets and Australasia RMBS sectors, with downgrade rates of 3.4% and 0.8%, respectively. Downgrades were largely concentrated among issuers rated in the 'BB' and 'B' categories at the beginning of the year.

The highest upgrade rate outside the U.S. and Europe in 2023 was in Australasia RMBS, at 12.8%, compared with a one-year average of 5.9%. Upgrades were also elevated in the Australasia ABS sector, with an upgrade rate of 11.5%. Meanwhile, there were no upgrades recorded in Japan.

Table 8

Other region structured finance transition and default summary
		2023					One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	2,413	89.0	9.8	1.2	0.04	1	89.3	6.0	4.7	0.4
Subsector
Australasia RMBS	1,537	86.5	12.8	0.8	0.0	0	91.5	5.9	2.6	0.0
Australasia ABS	113	88.5	11.5	0.0	0.0	0	87.3	9.0	3.7	0.0
Australasia other	7	100.0	0.0	0.0	0.0	0	85.5	4.6	9.9	0.7
Japan RMBS	305	100.0	0.0	0.0	0.0	0	91.9	7.7	0.4	0.0
Japan other	2	100.0	0.0	0.0	0.0	0	87.7	3.7	8.6	1.4
Canada CMBS	0	0.0	0.0	0.0	0.0	0	91.6	7.7	0.7	0.0
Canada other	40	97.5	2.5	0.0	0.0	0	94.2	2.9	2.9	0.3
Latin america	380	88.7	7.1	4.2	0.3	1	78.3	9.4	12.3	0.7
Emerging markets	29	96.6	0.0	3.4	0.0	0	73.0	12.6	14.4	0.1
Asia (excluding Japan)	0	0.0	0.0	0.0	0.0	0	83.9	4.0	12.0	1.9
Vintage
Pre-2000	1	100.0	0.0	0.0	0.0	0	95.7	2.2	2.1	0.1
2000	1	100.0	0.0	0.0	0.0	0	95.4	3.2	1.5	0.1
2001	0	0.0	0.0	0.0	0.0	0	96.1	2.5	1.4	0.0
2002	4	100.0	0.0	0.0	0.0	0	92.9	4.6	2.4	0.1
2003	9	77.8	0.0	22.2	0.0	0	91.9	5.8	2.3	0.1
2004	22	77.3	4.5	18.2	0.0	0	90.8	5.7	3.6	0.0
2005	23	87.0	4.3	8.7	0.0	0	85.7	6.1	8.2	0.4
2006	46	82.6	10.9	6.5	0.0	0	82.2	8.4	9.4	1.3
2007	42	85.7	7.1	7.1	0.0	0	81.7	6.5	11.8	1.5
2008	38	100.0	0.0	0.0	0.0	0	85.5	3.1	11.4	2.2
2009	20	100.0	0.0	0.0	0.0	0	93.7	4.2	2.1	0.1
2010	20	100.0	0.0	0.0	0.0	0	93.1	4.0	2.8	0.0
2011	13	100.0	0.0	0.0	0.0	0	94.6	2.7	2.7	0.1
2012	19	94.7	5.3	0.0	0.0	0	94.1	4.2	1.8	0.0
2013	54	98.1	1.9	0.0	0.0	0	91.5	5.8	2.7	0.0
2014	57	98.2	1.8	0.0	0.0	0	92.1	6.1	1.9	0.0
2015	61	100.0	0.0	0.0	0.0	0	89.3	8.6	2.1	0.0
2016	47	97.9	2.1	0.0	0.0	0	86.6	12.0	1.4	0.0
2017	134	97.8	2.2	0.0	0.0	0	89.8	9.4	0.8	0.0
2018	179	95.5	4.5	0.0	0.0	0	87.3	12.0	0.7	0.0
2019	249	93.2	6.4	0.4	0.0	0	84.8	13.9	1.3	0.0
2020	321	85.4	14.3	0.3	0.0	0	84.3	14.5	1.2	0.2
2021	487	70.4	29.0	0.6	0.0	0	83.3	15.8	0.9	0.0
2022	566	96.6	1.6	1.8	0.2	1	96.6	1.6	1.8	0.2
Rating category
AAA	1,151	99.9	0.0	0.1	0.0	0	98.9	0.0	1.1	0.0
AA	246	78.0	22.0	0.0	0.0	0	78.8	13.2	8.0	0.1
A	252	73.8	25.4	0.8	0.0	0	76.6	15.3	8.1	0.2
BBB	218	82.1	17.9	0.0	0.0	0	76.3	15.3	8.5	0.2
BB	309	79.3	15.9	4.9	0.3	1	77.6	12.9	9.5	0.1
B	203	81.8	14.8	3.4	0.0	0	76.9	11.6	11.5	0.8
CCC	33	84.8	3.0	12.1	0.0	0	51.5	11.3	37.2	23.2
CC	1	100.0	0.0	0.0	0.0	0	47.3	6.8	45.9	44.6
C	0	0.0	0.0	0.0	0.0	0	0.0	0.0	100.0	100.0
Rating grade
Investment-grade	1,867	91.4	8.4	0.2	0.0	0	90.8	5.4	3.8	0.1
Speculative-grade	546	80.6	14.7	4.8	0.2	1	73.2	12.2	14.6	4.2
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Appendix I: Terminology, Data Selection, And Calculation Approaches

This appendix details the data selection, calculations, and terminology we use in this report.

This global 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, such as those we may assign in Argentina, Brazil, Mexico, Taiwan, and Japan, which are not comparable between countries. The analysis also excludes public information ("pi") ratings, issuer credit ratings, and short-term issue ratings, such as those on asset-backed commercial paper conduits.

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

Issues included in this study

This study analyzes the rating histories of 258,966 global structured finance instruments that S&P Global Ratings first rated between 1973 and Dec. 31, 2023. The term "structured finance" in this report refers to ABS, CMBS, RMBS, structured credit, and single-name synthetic transactions. For some analyses, we break down these sectors further into subsectors.

Sector definitions

ABS includes underlying collateral types such as credit card receivables, student loans, and auto loans and leases. The sector also includes manufactured housing, franchise loans, 12b-1 transactions, and corporate securitizations.

RMBS includes transactions backed by subprime mortgage loans, as well as home equity loan transactions and re-REMICS.

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

CMBS also includes 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.

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

Regional definitions

This study presents rating transitions for global structured finance transactions. In some analyses, we segment default and transition statistics by region. In defining a transaction's region, we 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 additional insights into the region, especially when a transaction is backed by assets from more than one country.

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

Vintage definition

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

Rating transitions

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

For instance, we calculate the 2023 transition rates by determining the ratings on each security outstanding at the start of 2023 and determining the ratings on those same securities at the end of 2023. We then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportions of securities in the static pool with ratings that moved up, down, or remained the same, respectively, over the transition window. During this process, we count each security only once, even if the security experienced more than one rating change during the transition window being observed. In other words, we use the ratings at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes.

Rating modifiers

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

Rating discontinuance or withdrawal

We may discontinue ratings when, for example, a rated obligation's payments have been made in full in accordance with its terms or when a rated issue matures. Ratings may also be withdrawn because of a lack of sufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to not rated (NR). When we withdraw or discontinue ratings within the transition window under consideration, we may either derive our reported statistics by classifying the rating transition as a move to NR (the "NR-included" approach) or--for some other analyses--we may classify the transition as a move to the last rating before withdrawal or discontinuance (the "NR-adjusted" approach).

In the text of this report, when we refer to upgrade and downgrade rates, for example, we use the latter approach. In the tables and charts, we clarify the approach used in the footnotes. We do not include a security with a withdrawn rating at the beginning of a transition window in the transition and default rate calculations for that period.

Treatment of 'AAA' ratings

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

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

Treatment of 'D' ratings

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

Average change in credit quality calculation

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

Weighted average transition and default rate calculation

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

Average cumulative default rate calculation

In this report, we also calculate and present average cumulative default rates for different time horizons. For example, table 2 shows that the one-year average cumulative default rate for 'A' rated global structured finance has been 0.39% and the three-year average has been 5.63%.

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

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

Gini coefficient calculation

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

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

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

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

Appendix II: Detailed Default And Transition Statistics

Tables 9-63 provide various default and transition rate statistics for global structured finance securities and major structured finance subsectors.

Global structured finance

Table 9

Global structured finance cumulative default rates, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.06	0.31	1.01	2.21	3.49	4.46	5.14	5.62	5.98	6.27
AA	0.22	1.59	3.80	5.86	7.58	8.99	10.06	10.93	11.66	12.33
A	0.39	2.63	5.63	8.32	10.55	12.38	13.88	15.14	16.22	17.18
BBB	0.94	4.83	9.49	13.72	17.23	20.05	22.18	23.84	25.14	26.21
BB	1.90	7.43	12.81	17.75	21.71	24.82	27.19	29.03	30.56	31.79
B	4.20	12.46	19.67	26.31	31.09	34.23	36.70	38.64	40.25	41.41
CCC	14.43	26.94	36.19	41.64	44.94	47.43	49.27	50.69	51.79	52.79
CC	37.85	55.86	66.88	72.24	75.38	77.16	78.32	79.12	79.67	80.03
IG	0.24	1.39	3.13	5.03	6.77	8.13	9.15	9.92	10.52	11.02
SG	13.71	24.74	33.00	38.56	42.28	44.91	46.87	48.38	49.58	50.55
Overall	3.57	7.15	10.46	13.23	15.42	17.07	18.28	19.19	19.90	20.47
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 10

Global structured finance cumulative default rates by rating modifier, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.06	0.31	1.01	2.21	3.49	4.46	5.14	5.62	5.98	6.27
AA+	0.15	1.01	2.61	4.19	5.58	6.78	7.73	8.51	9.14	9.70
AA	0.22	1.60	3.85	6.07	7.90	9.42	10.54	11.46	12.24	12.98
AA-	0.32	2.72	5.93	8.36	10.31	11.70	12.83	13.70	14.38	14.96
A+	0.26	2.20	4.79	6.67	8.06	9.26	10.23	11.08	11.85	12.51
A	0.42	2.47	5.33	8.24	10.64	12.50	14.11	15.47	16.63	17.67
A-	0.48	3.68	7.67	10.92	13.79	16.42	18.34	19.88	21.09	22.21
BBB+	0.82	4.76	9.04	12.24	15.06	17.39	19.21	20.75	22.00	23.16
BBB	0.86	4.19	8.38	12.69	16.18	18.92	21.13	22.84	24.22	25.33
BBB-	1.22	6.33	12.43	17.64	21.96	25.54	27.88	29.50	30.63	31.52
BB+	1.46	6.26	10.65	14.40	17.31	19.31	20.74	21.90	22.90	23.74
BB	2.35	9.03	15.47	21.39	26.02	29.75	32.64	34.79	36.49	37.82
BB-	1.42	5.16	9.24	13.29	16.95	19.98	22.26	24.20	25.96	27.44
B+	2.01	6.70	12.02	16.80	20.77	23.91	26.27	28.21	29.80	30.91
B	5.86	18.02	26.93	35.17	40.65	44.06	46.82	48.88	50.57	51.77
B-	3.31	8.50	14.51	20.02	24.25	26.95	29.01	30.69	32.12	33.17
CCC+	9.20	18.95	24.89	28.96	31.09	32.50	33.48	34.03	34.35	34.44
CCC	13.83	26.51	36.17	41.95	45.53	48.28	50.34	51.98	53.31	54.57
CCC-	20.85	32.86	39.91	43.20	44.78	45.81	46.54	46.99	47.29	47.46
CC	37.85	55.86	66.88	72.24	75.38	77.16	78.32	79.12	79.67	80.03
IG	0.24	1.39	3.13	5.03	6.77	8.13	9.15	9.92	10.52	11.02
SG	13.71	24.74	33.00	38.56	42.28	44.91	46.87	48.38	49.58	50.55
Overall	3.57	7.15	10.46	13.23	15.42	17.07	18.28	19.19	19.90	20.47
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 11

Global structured finance one-year default rates, 1976-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1976	0.00	0.00	N/A	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A
1977	0.00	0.00	N/A	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A
1978	0.00	0.00	N/A	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A
1979	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1980	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1981	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1982	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1983	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1985	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1986	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1987	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A
1988	0.11	0.00	40.00	0.00	0.00	0.00	0.00	50.00	N/A	0.00	N/A
1989	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1991	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1993	0.01	0.00	2.56	0.00	0.00	0.00	0.00	0.00	5.88	0.00	N/A
1994	0.01	0.00	0.78	0.00	0.00	0.00	0.00	0.00	1.82	0.00	N/A
1995	0.12	0.01	8.66	0.00	0.00	0.00	0.31	0.93	0.93	45.45	33.33
1996	0.06	0.01	3.09	0.00	0.00	0.09	0.00	1.17	0.00	18.52	100.00
1997	0.04	0.00	1.52	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.45
1998	0.12	0.05	2.43	0.00	0.00	0.70	0.13	0.84	2.21	12.50	33.33
1999	0.05	0.00	1.33	0.00	0.00	0.06	0.00	0.00	1.39	15.79	30.77
2000	0.05	0.00	1.18	0.00	0.00	0.00	0.07	0.47	1.85	4.55	6.25
2001	0.16	0.04	2.76	0.01	0.00	0.09	0.42	0.65	2.79	31.91	15.00
2002	0.36	0.05	5.66	0.00	0.04	0.14	0.52	1.87	8.27	29.55	13.64
2003	0.34	0.06	4.17	0.00	0.00	0.07	0.52	0.92	2.29	34.78	15.69
2004	0.20	0.02	2.24	0.00	0.00	0.00	0.14	0.72	2.19	14.72	11.11
2005	0.17	0.01	1.77	0.00	0.00	0.00	0.06	0.19	1.33	11.44	23.53
2006	0.13	0.01	1.24	0.00	0.00	0.00	0.08	0.26	0.47	17.13	18.28
2007	0.39	0.12	3.00	0.01	0.06	0.11	0.61	2.37	1.41	22.22	24.18
2008	2.64	0.70	15.97	0.33	0.66	1.04	2.00	4.78	11.77	57.15	27.11
2009	10.74	1.54	34.58	0.22	1.37	2.88	5.71	9.14	16.03	49.04	64.57
2010	8.34	0.53	17.50	0.14	0.50	0.71	1.84	2.59	5.25	16.08	38.30
2011	10.28	0.14	21.41	0.10	0.12	0.07	0.43	1.02	5.46	13.46	51.93
2012	11.46	0.10	23.06	0.04	0.13	0.05	0.32	0.66	1.46	19.60	44.79
2013	6.92	0.07	14.52	0.00	0.05	0.07	0.22	0.64	1.32	8.90	37.59
2014	4.28	0.01	9.22	0.00	0.04	0.00	0.02	0.17	1.33	7.43	28.07
2015	3.96	0.06	8.75	0.00	0.11	0.08	0.08	0.48	1.43	8.89	27.38
2016	3.01	0.12	6.91	0.00	0.27	0.07	0.19	0.22	1.26	5.91	30.58
2017	2.11	0.14	4.94	0.01	0.08	0.23	0.36	1.11	1.37	5.64	17.17
2018	1.87	0.01	4.71	0.00	0.00	0.00	0.06	0.26	1.05	6.24	14.06
2019	1.87	0.06	5.11	0.00	0.10	0.04	0.15	0.42	1.47	8.00	8.06
2020	1.37	0.06	3.88	0.00	0.05	0.02	0.27	0.30	1.01	7.17	5.37
2021	0.65	0.00	1.89	0.00	0.00	0.00	0.03	0.22	0.62	3.90	2.01
2022	0.47	0.00	1.51	0.00	0.00	0.00	0.00	0.03	0.38	3.15	2.70
2023	1.30	0.02	4.34	0.00	0.00	0.08	0.02	0.13	0.75	3.99	19.35
Weighted average	3.57	0.24	13.71	0.06	0.22	0.39	0.94	1.90	4.20	14.43	37.85
Median	0.12	0.00	2.88	0.00	0.00	0.00	0.07	0.28	1.37	8.00	24.18
Standard deviation	3.00	0.25	9.28	0.06	0.24	0.45	0.99	7.94	3.44	14.66	20.67
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.01
Maximum	11.46	1.54	40.00	0.33	1.37	2.88	5.71	50.00	16.03	57.15	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 12

Global structured finance rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.55	0.38	0.05	0.00	0.01	0.00	0.01	0.00	0.00	0.00
AA	6.10	92.72	1.04	0.08	0.02	0.03	0.02	0.00	0.00	0.00
A	1.39	12.34	84.40	1.41	0.24	0.08	0.06	0.00	0.00	0.08
BBB	0.27	2.12	11.81	83.64	1.73	0.34	0.07	0.00	0.00	0.02
BB	0.00	0.19	2.67	13.09	80.38	3.30	0.25	0.00	0.00	0.13
B	0.00	0.00	0.24	2.21	14.48	78.50	3.79	0.04	0.00	0.75
CCC	0.00	0.00	0.04	0.07	0.25	3.96	91.18	0.51	0.00	3.99
CC	0.00	0.00	0.00	0.00	0.00	0.19	0.64	79.82	0.00	19.35
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	93.18	1.96	1.09	0.85	0.65	0.94	1.15	0.13	0.00	0.06
AA	5.17	83.55	3.17	1.90	1.41	1.51	2.50	0.57	0.01	0.22
A	1.52	5.19	80.06	4.03	2.11	1.89	3.64	1.18	0.00	0.39
BBB	0.64	1.59	4.71	75.90	4.59	3.81	5.56	2.25	0.00	0.94
BB	0.18	0.47	1.56	5.24	70.09	8.03	8.95	3.57	0.01	1.90
B	0.06	0.15	0.37	1.32	4.47	65.80	17.93	5.69	0.01	4.20
CCC	0.01	0.02	0.03	0.15	0.53	1.87	71.31	11.64	0.01	14.43
CC	0.00	0.01	0.01	0.02	0.06	0.20	1.08	60.77	0.00	37.85
C	0.00	0.00	0.00	0.00	0.00	0.00	2.06	0.00	59.79	38.14
Two-year weighted average
AAA	87.19	3.15	1.73	1.35	1.01	1.31	3.45	0.50	0.00	0.31
AA	9.29	71.26	4.65	2.71	2.08	2.25	4.33	1.83	0.01	1.60
A	3.50	8.30	66.01	5.61	2.98	2.79	5.13	3.05	0.00	2.64
BBB	1.64	3.42	7.20	59.76	6.02	4.93	7.22	4.95	0.00	4.86
BB	0.49	1.27	3.33	7.83	52.98	10.26	10.38	5.95	0.02	7.49
B	0.13	0.40	1.03	2.80	6.82	49.31	18.45	8.50	0.00	12.56
CCC	0.02	0.05	0.10	0.38	1.06	3.12	56.64	11.53	0.01	27.11
CC	0.00	0.01	0.02	0.04	0.10	0.34	2.12	41.22	0.00	56.15
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	47.42	50.52
Three-year weighted average
AAA	82.74	4.09	2.23	1.67	1.22	1.40	4.25	1.38	0.00	1.01
AA	12.23	62.58	5.44	3.24	2.39	2.81	4.93	2.52	0.01	3.86
A	5.30	9.96	56.40	6.38	3.49	3.26	5.70	3.80	0.00	5.72
BBB	2.76	4.62	8.25	48.91	6.50	5.43	7.85	6.02	0.00	9.65
BB	0.93	2.24	4.35	8.76	42.62	10.71	10.83	6.44	0.02	13.11
B	0.26	0.84	1.73	3.76	7.50	39.62	18.64	7.54	0.00	20.11
CCC	0.03	0.10	0.21	0.63	1.44	3.72	47.48	9.61	0.00	36.78
CC	0.00	0.01	0.03	0.05	0.14	0.42	3.03	28.56	0.00	67.74
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	35.05	62.89
Four-year weighted average
AAA	79.38	4.84	2.69	1.99	1.43	1.56	4.18	1.70	0.00	2.22
AA	14.24	56.13	5.90	3.52	2.70	3.29	5.46	2.70	0.01	6.04
A	6.77	10.75	49.74	6.53	3.72	3.53	6.14	4.24	0.00	8.57
BBB	3.68	5.49	8.57	41.73	6.35	5.55	7.94	6.56	0.00	14.13
BB	1.39	3.00	4.92	8.74	36.11	10.53	10.68	6.18	0.01	18.42
B	0.43	1.32	2.17	4.21	7.40	33.01	18.18	5.94	0.00	27.33
CCC	0.07	0.17	0.36	0.88	1.70	3.92	41.43	8.57	0.00	42.92
CC	0.00	0.02	0.04	0.07	0.19	0.53	3.68	21.50	0.00	73.96
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	22.68	75.26
Five-year weighted average
AAA	77.08	5.39	3.01	2.24	1.56	1.66	3.90	1.63	0.00	3.53
AA	15.75	51.47	6.12	3.61	2.98	3.67	5.76	2.65	0.01	7.97
A	8.04	11.15	45.13	6.37	3.73	3.65	6.74	4.14	0.00	11.04
BBB	4.42	6.21	8.59	37.12	5.96	5.44	7.86	6.45	0.00	17.94
BB	1.79	3.62	5.46	8.59	31.66	10.00	10.32	5.63	0.02	22.90
B	0.61	1.70	2.50	4.49	7.35	28.12	17.29	5.17	0.00	32.78
CCC	0.10	0.26	0.51	1.07	1.90	4.03	36.58	8.54	0.00	47.01
CC	0.01	0.03	0.06	0.09	0.24	0.65	3.97	16.86	0.00	78.09
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	10.31	87.63
10-year weighted average
AAA	71.12	7.15	3.97	2.82	2.08	2.07	3.36	0.84	0.00	6.59
AA	18.70	39.39	6.09	3.58	3.45	4.32	8.17	1.40	0.00	14.91
A	10.30	10.60	35.65	5.31	3.24	3.40	8.51	2.39	0.00	20.59
BBB	5.62	6.33	7.73	29.07	4.69	4.57	7.70	3.56	0.00	30.73
BB	2.41	4.24	5.29	7.56	21.85	6.94	9.25	3.71	0.02	38.73
B	1.17	2.18	2.74	3.95	5.58	16.16	12.68	4.45	0.00	51.08
CCC	0.18	0.56	0.75	1.28	1.96	3.21	19.26	8.95	0.00	63.85
CC	0.02	0.08	0.09	0.13	0.38	0.69	3.06	8.65	0.00	86.89
C	0.00	0.00	0.00	0.00	2.06	0.00	0.00	0.00	10.31	87.63
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 13

Global structured finance rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	84.39	0.37	0.05	0.00	0.01	0.00	0.01	0.00	0.00	0.00	15.17
AA	4.95	85.19	1.00	0.08	0.02	0.03	0.02	0.00	0.00	0.00	8.71
A	1.08	10.41	77.29	1.41	0.24	0.08	0.06	0.00	0.00	0.08	9.35
BBB	0.20	2.09	11.34	78.44	1.69	0.34	0.07	0.00	0.00	0.02	5.81
BB	0.00	0.19	2.32	12.34	73.41	3.23	0.25	0.00	0.00	0.13	8.13
B	0.00	0.00	0.16	2.21	13.85	71.68	3.63	0.04	0.00	0.75	7.69
CCC	0.00	0.00	0.00	0.00	0.18	3.92	84.65	0.33	0.00	3.99	6.93
CC	0.00	0.00	0.00	0.00	0.00	0.13	0.64	79.05	0.00	19.35	0.83
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	79.60	1.89	1.07	0.82	0.63	0.92	1.14	0.13	0.00	0.06	13.75
AA	4.40	74.11	3.05	1.82	1.37	1.48	2.47	0.56	0.01	0.22	10.51
A	1.20	4.78	71.29	3.92	2.06	1.85	3.60	1.18	0.00	0.39	9.72
BBB	0.52	1.40	4.38	68.05	4.45	3.71	5.49	2.24	0.00	0.94	8.82
BB	0.13	0.40	1.32	4.91	63.01	7.80	8.78	3.55	0.01	1.90	8.19
B	0.05	0.13	0.32	1.20	4.20	60.13	17.48	5.66	0.01	4.20	6.63
CCC	0.01	0.02	0.03	0.13	0.49	1.80	66.65	11.13	0.01	14.43	5.32
CC	0.00	0.00	0.01	0.01	0.06	0.18	1.06	58.50	0.00	37.85	2.32
C	0.00	0.00	0.00	0.00	0.00	0.00	2.06	0.00	57.73	38.14	2.06
Two-year weighted average
AAA	61.57	2.84	1.59	1.24	0.92	1.22	3.24	0.46	0.00	0.31	26.61
AA	6.21	54.34	4.24	2.45	1.96	2.14	4.18	1.80	0.01	1.60	21.07
A	2.20	6.72	50.17	5.18	2.81	2.67	4.96	2.99	0.00	2.64	19.67
BBB	1.11	2.56	5.98	45.60	5.54	4.64	6.91	4.86	0.00	4.86	17.93
BB	0.31	0.93	2.48	6.56	40.61	9.39	9.81	5.76	0.02	7.49	16.64
B	0.07	0.31	0.77	2.31	5.79	39.59	17.19	8.09	0.00	12.56	13.33
CCC	0.01	0.03	0.08	0.30	0.89	2.78	49.03	10.76	0.00	27.11	9.01
CC	0.00	0.01	0.01	0.02	0.07	0.29	2.02	37.38	0.00	56.15	4.05
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	43.30	50.52	4.12
Three-year weighted average
AAA	47.11	3.42	1.93	1.43	1.05	1.22	3.79	1.23	0.00	1.01	37.82
AA	6.49	39.86	4.63	2.76	2.16	2.60	4.60	2.45	0.01	3.86	30.57
A	2.55	6.96	34.93	5.52	3.13	3.02	5.36	3.70	0.00	5.72	29.12
BBB	1.53	2.97	6.02	29.99	5.55	4.86	7.26	5.83	0.00	9.65	26.33
BB	0.48	1.44	2.85	6.47	26.37	9.08	9.80	6.05	0.01	13.11	24.35
B	0.13	0.52	1.17	2.76	5.67	27.01	16.44	6.94	0.00	20.11	19.25
CCC	0.01	0.06	0.15	0.45	1.09	3.03	37.68	8.62	0.00	36.78	12.13
CC	0.00	0.01	0.01	0.03	0.09	0.33	2.77	23.55	0.00	67.74	5.46
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	28.87	62.89	6.19
Four-year weighted average
AAA	35.91	3.76	2.19	1.60	1.15	1.28	3.53	1.47	0.00	2.22	46.88
AA	6.05	29.35	4.66	2.77	2.34	2.93	4.91	2.56	0.01	6.04	38.38
A	2.66	6.40	24.36	5.17	3.13	3.13	5.60	4.05	0.00	8.57	36.93
BBB	1.60	3.01	5.40	19.78	4.90	4.62	6.98	6.24	0.00	14.13	33.36
BB	0.56	1.68	2.84	5.60	17.57	8.10	9.11	5.63	0.01	18.42	30.48
B	0.20	0.77	1.37	2.75	4.90	18.63	15.00	5.13	0.00	27.33	23.92
CCC	0.03	0.10	0.24	0.56	1.13	2.88	30.09	7.37	0.00	42.92	14.68
CC	0.00	0.01	0.01	0.05	0.11	0.41	3.21	15.68	0.00	73.96	6.57
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	14.43	75.26	8.25
Five-year weighted average
AAA	27.33	3.84	2.29	1.67	1.15	1.26	3.11	1.34	0.00	3.53	54.49
AA	5.42	21.64	4.41	2.61	2.46	3.11	4.93	2.42	0.01	7.97	45.00
A	2.71	5.61	16.84	4.56	2.88	3.05	5.94	3.88	0.00	11.04	43.49
BBB	1.54	2.96	4.58	13.03	4.05	4.12	6.54	5.98	0.00	17.94	39.27
BB	0.55	1.75	2.84	4.62	11.62	7.01	8.18	4.88	0.01	22.90	35.65
B	0.23	0.94	1.42	2.61	4.26	12.62	13.13	4.14	0.00	32.78	27.87
CCC	0.03	0.13	0.30	0.60	1.11	2.67	24.17	7.18	0.00	47.01	16.80
CC	0.00	0.02	0.02	0.06	0.13	0.49	3.23	10.46	0.00	78.09	7.48
C	0.00	0.00	0.00	0.00	0.00	2.06	0.00	0.00	0.00	87.63	10.31
10-year weighted average
AAA	5.74	3.15	1.97	1.32	0.92	0.99	2.06	0.35	0.00	6.59	76.89
AA	1.71	4.91	2.08	1.57	2.04	2.67	5.57	0.87	0.00	14.91	63.67
A	0.73	2.04	3.38	1.75	1.24	1.75	5.72	1.70	0.00	20.59	61.11
BBB	0.42	1.00	1.49	2.28	1.35	1.59	3.95	2.18	0.00	30.73	55.01
BB	0.15	0.74	1.12	1.26	1.70	2.02	3.76	1.73	0.00	38.73	48.78
B	0.18	0.63	0.82	0.95	1.21	2.46	5.45	2.21	0.00	51.08	35.00
CCC	0.03	0.17	0.29	0.47	0.59	1.10	6.71	6.62	0.00	63.85	20.16
CC	0.00	0.07	0.04	0.09	0.18	0.45	1.59	2.02	0.00	86.89	8.66
C	0.00	0.00	0.00	0.00	2.06	0.00	0.00	0.00	0.00	87.63	10.31
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

U.S. RMBS

Table 14

U.S. RMBS cumulative default rates, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.28	1.19	2.73	4.43	5.74	6.67	7.32	7.82	8.21
AA	0.26	2.51	6.20	9.38	11.95	14.07	15.76	17.17	18.35	19.44
A	0.65	5.31	11.35	16.15	19.97	23.24	26.03	28.44	30.54	32.46
BBB	1.59	8.89	17.06	23.61	28.79	33.05	36.32	38.89	40.93	42.67
BB	2.89	11.66	19.06	25.46	30.51	34.52	37.50	39.83	41.76	43.30
B	4.46	13.95	21.55	28.77	33.88	37.09	39.65	41.59	43.35	44.68
CCC	13.74	26.39	36.15	41.99	45.63	48.43	50.53	52.21	53.58	54.90
CC	38.30	55.54	65.74	71.68	75.17	77.11	78.39	79.26	79.87	80.28
IG	0.28	1.95	4.46	7.03	9.39	11.26	12.68	13.75	14.60	15.30
SG	15.76	28.22	37.28	43.47	47.55	50.42	52.56	54.22	55.59	56.74
Overall	4.71	9.43	13.76	17.29	20.07	22.17	23.73	24.90	25.82	26.57
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 15

U.S. RMBS cumulative default rates by rating modifier, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.28	1.19	2.73	4.43	5.74	6.67	7.32	7.82	8.21
AA+	0.15	1.39	3.82	6.16	8.31	10.12	11.55	12.72	13.62	14.42
AA	0.27	2.46	6.13	9.39	11.92	14.06	15.73	17.18	18.42	19.61
AA-	0.55	6.53	14.64	20.20	24.43	27.43	29.95	31.90	33.38	34.60
A+	0.33	3.69	8.14	11.18	13.47	15.51	17.22	18.77	20.24	21.61
A	0.76	5.33	11.47	17.00	21.26	24.68	27.80	30.51	32.85	34.93
A-	0.93	8.37	17.05	22.98	28.21	33.11	36.64	39.40	41.55	43.43
BBB+	1.20	7.78	14.57	19.14	23.13	26.35	28.96	31.13	32.92	34.72
BBB	1.54	8.09	16.00	23.12	28.46	32.76	36.33	39.18	41.51	43.40
BBB-	2.20	12.18	22.77	30.56	36.93	42.41	45.83	48.13	49.72	50.94
BB+	2.07	9.17	14.46	18.34	21.43	23.74	25.23	26.53	27.67	28.59
BB	3.52	13.89	23.10	31.24	37.43	42.38	46.14	48.88	51.08	52.77
BB-	2.07	7.84	12.02	16.22	20.23	23.41	25.58	27.64	29.28	30.64
B+	1.75	6.16	11.16	15.28	19.08	22.39	24.84	26.93	28.82	30.20
B	6.78	21.24	30.91	40.14	46.02	49.56	52.39	54.43	56.20	57.53
B-	1.93	5.60	10.91	16.11	20.37	22.88	24.89	26.46	27.94	29.08
CCC+	66.67	66.67	66.67	66.67	66.67	66.67	66.67	66.67	66.67	66.67
CCC	13.72	26.37	36.13	41.98	45.62	48.42	50.52	52.20	53.57	54.89
CCC-	100.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	38.30	55.54	65.74	71.68	75.17	77.11	78.39	79.26	79.87	80.28
IG	0.28	1.95	4.46	7.03	9.39	11.26	12.68	13.75	14.60	15.30
SG	15.76	28.22	37.28	43.47	47.55	50.42	52.56	54.22	55.59	56.74
Overall	4.71	9.43	13.76	17.29	20.07	22.17	23.73	24.90	25.82	26.57
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 16

U.S. RMBS one-year default rates, 1976-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1976	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1977	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1978	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1979	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1980	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1981	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1982	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1983	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1985	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1986	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1987	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A
1988	0.12	0.00	40.00	0.00	0.00	0.00	0.00	50.00	N/A	0.00	N/A
1989	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1991	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1995	0.14	0.01	11.17	0.00	0.00	0.00	0.57	1.37	1.23	51.85	33.33
1996	0.04	0.00	2.41	0.00	0.00	0.00	0.00	0.91	0.00	5.26	100.00
1997	0.05	0.00	2.55	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.45
1998	0.09	0.01	3.99	0.00	0.00	0.00	0.32	0.62	3.66	20.00	33.33
1999	0.05	0.00	2.19	0.00	0.00	0.00	0.00	0.00	2.37	20.00	25.00
2000	0.07	0.01	2.39	0.00	0.00	0.00	0.20	1.23	3.00	9.09	7.14
2001	0.11	0.00	4.11	0.00	0.00	0.00	0.00	1.20	3.28	42.11	16.67
2002	0.09	0.00	2.59	0.00	0.00	0.00	0.00	0.81	3.29	13.04	13.33
2003	0.19	0.02	3.35	0.00	0.00	0.08	0.36	0.15	1.34	64.15	12.50
2004	0.11	0.01	1.55	0.00	0.00	0.00	0.12	0.68	1.69	37.50	20.00
2005	0.09	0.01	1.03	0.00	0.00	0.00	0.10	0.32	1.38	53.85	0.00
2006	0.09	0.02	0.84	0.00	0.00	0.00	0.14	0.41	0.59	43.24	0.00
2007	0.48	0.16	4.02	0.00	0.02	0.17	0.93	4.07	1.91	50.57	0.00
2008	3.24	0.36	22.18	0.00	0.13	0.61	2.33	6.82	15.63	64.89	0.00
2009	15.21	2.22	44.14	0.21	1.90	5.26	10.90	15.23	19.29	57.01	82.23
2010	10.91	0.80	19.42	0.21	0.80	1.47	3.36	1.97	2.47	14.98	44.47
2011	10.20	0.15	18.53	0.10	0.17	0.07	0.50	0.23	1.30	9.62	43.84
2012	16.68	0.13	27.33	0.06	0.25	0.05	0.39	0.42	0.34	20.03	45.97
2013	10.28	0.11	17.00	0.00	0.10	0.07	0.33	0.73	0.79	7.49	38.36
2014	6.27	0.03	10.26	0.00	0.08	0.00	0.04	0.09	0.66	6.16	28.37
2015	6.11	0.15	10.06	0.00	0.24	0.19	0.12	0.72	0.87	8.57	27.98
2016	4.66	0.26	7.83	0.00	0.51	0.12	0.36	0.21	1.06	5.24	31.89
2017	3.16	0.36	5.21	0.04	0.18	0.57	0.80	1.68	0.66	5.02	17.64
2018	2.94	0.03	5.11	0.00	0.00	0.00	0.13	0.15	0.70	5.77	15.00
2019	3.00	0.17	5.44	0.00	0.22	0.13	0.43	0.36	0.57	7.44	7.74
2020	2.57	0.14	4.58	0.00	0.12	0.07	0.54	0.48	1.26	7.05	5.10
2021	0.95	0.02	1.72	0.00	0.00	0.00	0.08	0.00	0.24	2.94	1.98
2022	0.99	0.00	1.92	0.00	0.00	0.00	0.00	0.08	0.35	3.06	2.60
2023	2.87	0.00	5.77	0.00	0.00	0.00	0.00	0.08	0.15	3.37	19.83
Weighted average	4.71	0.28	15.76	0.03	0.26	0.65	1.59	2.89	4.46	13.74	38.30
Median	0.09	0.00	2.97	0.00	0.00	0.00	0.12	0.27	0.83	7.44	19.83
Standard deviation	4.06	0.34	10.55	0.04	0.31	0.82	1.86	8.17	4.07	21.02	23.90
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	16.68	2.22	44.14	0.21	1.90	5.26	10.90	50.00	19.29	64.89	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 17

U.S. RMBS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.81	0.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	3.94	94.20	1.80	0.00	0.00	0.00	0.06	0.00	0.00	0.00
A	0.26	31.22	65.91	2.35	0.26	0.00	0.00	0.00	0.00	0.00
BBB	0.06	3.92	23.85	69.20	2.40	0.51	0.06	0.00	0.00	0.00
BB	0.00	0.16	5.54	28.11	62.49	3.53	0.08	0.00	0.00	0.08
B	0.00	0.00	0.08	3.53	23.98	68.72	3.53	0.00	0.00	0.15
CCC	0.00	0.00	0.00	0.00	0.16	4.15	92.32	0.00	0.00	3.37
CC	0.00	0.00	0.00	0.00	0.00	0.21	0.62	79.34	0.00	19.83
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	92.3	1.6	1.2	1.0	0.8	1.3	1.6	0.1	0.0	0.0
AA	3.2	82.2	2.6	2.2	2.0	2.5	4.4	0.7	0.0	0.3
A	1.1	4.3	73.8	4.0	3.0	3.3	7.7	2.2	0.0	0.7
BBB	0.3	1.7	3.9	69.3	4.9	5.2	9.1	3.9	0.0	1.6
BB	0.1	0.5	1.9	4.9	62.6	9.1	12.0	6.1	0.0	2.9
B	0.0	0.1	0.3	1.4	4.0	60.2	21.2	8.3	0.0	4.5
CCC	0.0	0.0	0.0	0.1	0.3	1.3	71.8	12.7	0.0	13.7
CC	0.0	0.0	0.0	0.0	0.1	0.2	1.2	60.2	0.0	38.3
C	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
Two-year weighted average
AAA	85.53	2.58	1.70	1.54	1.20	1.77	4.82	0.57	0.00	0.28
AA	5.88	68.79	3.70	3.04	2.74	3.46	7.00	2.88	0.00	2.51
A	2.40	6.90	56.38	5.04	3.80	4.30	9.97	5.89	0.00	5.33
BBB	0.85	3.59	5.61	50.25	5.78	5.73	10.47	8.78	0.00	8.93
BB	0.33	1.31	3.91	6.53	44.11	10.38	11.59	10.10	0.00	11.74
B	0.08	0.28	0.99	2.85	5.82	43.61	19.86	12.46	0.00	14.06
CCC	0.02	0.03	0.08	0.26	0.64	2.20	57.81	12.38	0.01	26.57
CC	0.00	0.01	0.02	0.04	0.09	0.35	2.44	41.20	0.00	55.86
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	80.57	3.33	2.13	1.88	1.43	1.83	5.86	1.79	0.00	1.19
AA	8.07	59.19	4.20	3.57	3.07	4.12	7.52	4.01	0.00	6.25
A	3.67	8.55	44.21	5.45	4.31	4.86	10.33	7.18	0.00	11.44
BBB	1.54	4.60	6.41	37.57	5.71	5.94	10.54	10.41	0.00	17.27
BB	0.63	2.44	4.66	6.86	33.54	10.23	11.46	10.75	0.00	19.43
B	0.18	0.71	1.74	3.70	6.34	33.86	20.52	10.96	0.00	22.00
CCC	0.03	0.07	0.16	0.42	0.90	2.79	48.57	10.28	0.00	36.78
CC	0.00	0.01	0.03	0.05	0.12	0.44	3.52	29.14	0.00	66.69
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	76.72	4.06	2.58	2.28	1.68	2.00	5.66	2.29	0.00	2.73
AA	9.72	51.49	4.47	3.87	3.55	4.76	8.19	4.38	0.01	9.57
A	4.71	9.28	35.38	5.38	4.52	5.32	10.77	8.19	0.01	16.43
BBB	2.26	5.30	6.53	28.80	5.22	5.92	10.22	11.64	0.00	24.11
BB	1.07	3.17	4.79	6.47	26.57	9.79	11.40	10.36	0.00	26.37
B	0.34	1.22	2.13	3.89	6.07	27.24	20.73	8.53	0.00	29.86
CCC	0.06	0.11	0.28	0.59	1.11	3.03	42.29	9.13	0.00	43.41
CC	0.01	0.02	0.04	0.07	0.17	0.57	4.30	21.33	0.00	73.50
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	74.04	4.67	2.92	2.59	1.84	2.08	5.20	2.20	0.00	4.45
AA	11.02	45.79	4.54	4.00	3.98	5.28	8.66	4.35	0.00	12.38
A	5.63	9.41	29.28	5.06	4.57	5.47	11.81	8.18	0.01	20.58
BBB	2.95	5.89	6.28	23.19	4.74	5.68	9.94	11.68	0.00	29.64
BB	1.53	3.69	5.03	5.99	21.61	9.35	11.25	9.43	0.00	32.12
B	0.54	1.57	2.34	3.99	5.82	22.43	20.17	7.32	0.00	35.83
CCC	0.10	0.17	0.40	0.73	1.29	3.16	37.02	9.13	0.00	47.99
CC	0.01	0.03	0.06	0.09	0.23	0.71	4.65	16.19	0.00	78.05
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	66.90	7.03	3.99	3.26	2.52	2.59	4.31	1.01	0.00	8.39
AA	13.73	30.61	3.84	3.45	4.50	6.47	12.79	1.96	0.00	22.66
A	6.37	6.62	18.31	3.08	3.48	4.79	15.53	4.19	0.00	37.63
BBB	3.43	4.31	4.01	15.36	3.29	4.29	10.42	5.99	0.00	48.91
BB	1.99	3.17	3.48	3.73	12.40	5.66	10.89	5.61	0.00	53.08
B	1.07	1.96	2.11	2.78	3.57	12.05	14.70	6.00	0.00	55.76
CCC	0.18	0.48	0.61	0.88	1.12	2.03	16.66	9.81	0.00	68.24
CC	0.03	0.10	0.10	0.16	0.39	0.79	3.64	7.50	0.00	87.31
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 18

U.S. RMBS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	97.49	0.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.32
AA	3.65	84.40	1.68	0.00	0.00	0.00	0.06	0.00	0.00	0.00	10.21
A	0.09	24.61	59.74	2.35	0.26	0.00	0.00	0.00	0.00	0.00	12.96
BBB	0.00	3.92	22.83	64.52	2.28	0.51	0.06	0.00	0.00	0.00	5.88
BB	0.00	0.16	4.82	26.59	55.58	3.53	0.08	0.00	0.00	0.08	9.16
B	0.00	0.00	0.08	3.53	23.46	61.28	3.23	0.00	0.00	0.15	8.27
CCC	0.00	0.00	0.00	0.00	0.16	4.11	86.04	0.00	0.00	3.37	6.32
CC	0.00	0.00	0.00	0.00	0.00	0.14	0.62	78.72	0.00	19.83	0.69
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	80.48	1.60	1.15	1.00	0.79	1.29	1.60	0.10	0.00	0.03	11.97
AA	2.81	75.56	2.57	2.10	1.95	2.45	4.34	0.72	0.00	0.26	7.24
A	0.87	4.01	68.63	3.95	2.92	3.22	7.68	2.20	0.00	0.65	5.86
BBB	0.28	1.50	3.69	64.23	4.79	5.11	9.06	3.93	0.00	1.59	5.82
BB	0.12	0.46	1.58	4.64	57.62	8.78	11.86	6.06	0.00	2.89	5.99
B	0.02	0.10	0.29	1.29	3.82	55.71	20.75	8.25	0.00	4.46	5.30
CCC	0.01	0.01	0.03	0.10	0.31	1.26	68.15	12.18	0.01	13.74	4.20
CC	0.00	0.00	0.01	0.01	0.05	0.19	1.21	58.44	0.00	38.30	1.77
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	62.92	2.37	1.61	1.43	1.11	1.67	4.54	0.51	0.00	0.28	23.56
AA	4.34	56.87	3.51	2.88	2.65	3.31	6.85	2.82	0.00	2.51	14.27
A	1.62	5.89	47.26	4.75	3.63	4.15	9.69	5.77	0.00	5.33	11.91
BBB	0.59	2.84	4.91	41.42	5.38	5.39	10.16	8.61	0.00	8.93	11.77
BB	0.25	1.13	3.05	5.73	35.83	9.44	11.11	9.77	0.00	11.74	11.94
B	0.05	0.25	0.82	2.52	5.24	35.95	18.57	11.83	0.00	14.06	10.72
CCC	0.01	0.02	0.06	0.22	0.60	2.11	52.00	11.71	0.01	26.57	6.69
CC	0.00	0.00	0.01	0.02	0.06	0.31	2.33	38.26	0.00	55.86	3.15
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	48.90	2.87	1.92	1.65	1.24	1.60	5.23	1.56	0.00	1.19	33.83
AA	4.91	43.15	3.80	3.27	2.89	3.83	7.25	3.90	0.00	6.25	20.75
A	2.03	6.65	32.24	4.84	3.94	4.59	9.91	7.00	0.00	11.44	17.36
BBB	0.90	3.32	5.17	26.14	4.89	5.33	10.05	10.13	0.00	17.27	16.80
BB	0.38	1.91	3.41	5.56	23.00	8.51	10.64	10.19	0.00	19.43	16.96
B	0.10	0.50	1.37	3.01	5.35	24.04	18.36	10.14	0.00	22.00	15.14
CCC	0.01	0.04	0.12	0.35	0.80	2.57	41.15	9.48	0.00	36.78	8.68
CC	0.00	0.01	0.02	0.03	0.08	0.36	3.23	25.24	0.00	66.69	4.36
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	37.80	3.29	2.23	1.91	1.37	1.65	4.82	1.96	0.00	2.73	42.23
AA	4.92	32.30	3.86	3.38	3.25	4.28	7.76	4.20	0.01	9.57	26.47
A	2.17	6.49	21.40	4.45	3.92	4.87	10.16	7.93	0.01	16.43	22.18
BBB	1.11	3.44	4.79	15.84	3.99	4.94	9.44	11.19	0.00	24.11	21.15
BB	0.56	2.27	3.31	4.83	14.85	7.31	10.15	9.59	0.00	26.37	20.74
B	0.17	0.88	1.65	2.93	4.71	16.14	17.62	7.50	0.00	29.86	18.55
CCC	0.03	0.06	0.21	0.48	0.94	2.67	33.72	8.21	0.00	43.41	10.27
CC	0.00	0.01	0.02	0.05	0.11	0.45	3.76	16.69	0.00	73.50	5.41
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	29.10	3.53	2.39	2.04	1.39	1.60	4.23	1.83	0.00	4.45	49.44
AA	4.66	24.23	3.69	3.34	3.56	4.58	7.98	4.09	0.00	12.38	31.48
A	2.15	5.81	13.94	3.91	3.72	4.84	10.92	7.84	0.01	20.58	26.28
BBB	1.17	3.40	4.09	9.32	3.20	4.31	8.86	11.03	0.00	29.64	24.97
BB	0.65	2.33	3.33	4.03	9.33	6.21	9.54	8.40	0.00	32.12	24.06
B	0.22	1.15	1.71	2.80	4.15	10.70	16.02	6.03	0.00	35.83	21.39
CCC	0.03	0.10	0.29	0.58	1.04	2.66	27.64	8.10	0.00	47.99	11.57
CC	0.00	0.02	0.03	0.07	0.14	0.56	3.81	11.02	0.00	78.05	6.31
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	5.94	3.61	2.37	1.74	1.22	1.29	2.83	0.47	0.00	8.39	72.14
AA	2.11	5.47	1.86	2.19	3.34	4.46	9.72	1.43	0.00	22.66	46.77
A	0.72	1.99	2.37	1.41	1.82	3.05	11.75	3.34	0.00	37.63	35.93
BBB	0.34	0.92	1.05	1.21	1.27	1.67	6.62	3.94	0.00	48.91	34.06
BB	0.13	0.92	1.03	0.94	1.37	1.87	5.63	2.91	0.00	53.08	32.12
B	0.14	0.77	0.98	0.99	1.10	2.26	7.36	3.16	0.00	55.76	27.48
CCC	0.03	0.21	0.35	0.59	0.73	1.29	8.29	7.90	0.00	68.24	12.35
CC	0.00	0.09	0.05	0.11	0.22	0.54	1.89	2.15	0.00	87.31	7.64
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

U.S. structured credit

Table 19

U.S. structured credit cumulative default rates, conditional on survival, 1985-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.45	1.49	2.52	4.53	5.98	6.80	7.14	7.36	7.47	7.53
AA	0.52	1.91	3.43	5.80	7.69	8.85	9.35	9.64	9.88	10.01
A	0.52	1.55	3.00	6.04	8.64	10.06	10.68	11.06	11.40	11.73
BBB	0.64	1.89	3.88	7.83	11.32	13.82	15.45	16.60	17.54	18.12
BB	0.76	2.43	4.95	7.82	10.28	11.70	12.82	13.72	14.49	15.19
B	1.35	4.48	8.87	12.53	14.54	15.86	17.13	18.27	18.93	19.31
CCC	11.08	21.53	28.90	32.08	33.58	34.56	35.29	35.75	36.05	36.13
CC	38.74	63.46	80.61	82.45	83.55	84.36	84.78	85.03	85.13	85.14
IG	0.51	1.67	3.04	5.64	7.74	9.02	9.67	10.09	10.40	10.61
SG	11.53	20.76	28.24	31.13	32.98	34.15	35.05	35.73	36.20	36.51
Overall	3.44	6.77	9.80	12.48	14.51	15.77	16.48	16.97	17.33	17.57
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 20

U.S. structured credit cumulative default rates by rating modifier, conditional on survival, 1985-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.45	1.49	2.52	4.53	5.98	6.80	7.14	7.36	7.47	7.53
AA+	0.53	1.16	1.72	2.56	2.81	2.93	2.98	3.04	3.13	3.16
AA	0.43	1.95	3.78	6.75	9.30	11.03	11.79	12.22	12.54	12.71
AA-	1.14	3.43	5.30	7.97	10.18	11.01	11.28	11.50	11.68	11.83
A+	0.56	1.65	3.04	4.87	5.85	6.44	6.72	6.98	7.22	7.44
A	0.48	1.38	2.60	5.80	8.85	10.30	10.85	11.18	11.50	11.74
A-	0.61	2.00	4.14	7.87	10.90	13.05	14.13	14.72	15.19	15.77
BBB+	0.82	2.58	5.01	7.53	9.05	10.26	11.24	12.06	12.51	12.80
BBB	0.64	1.72	3.33	7.83	12.26	15.27	17.18	18.45	19.51	20.17
BBB-	0.54	1.79	4.26	8.02	10.76	13.05	14.53	15.66	16.72	17.33
BB+	1.17	4.14	7.87	12.02	15.40	16.53	17.18	17.78	18.18	18.57
BB	0.59	1.80	3.80	6.35	8.62	10.29	11.59	12.68	13.51	14.26
BB-	0.69	1.95	4.22	6.32	7.97	9.13	10.51	11.37	12.61	13.74
B+	0.70	3.34	6.02	9.01	10.57	11.40	12.15	12.72	13.02	13.19
B	1.34	4.28	9.14	12.81	15.02	16.80	18.81	20.53	21.46	22.22
B-	2.22	6.27	12.61	17.30	19.76	21.28	22.40	23.77	24.82	25.16
CCC+	2.40	8.29	13.31	16.27	17.44	18.18	18.99	19.31	19.77	19.77
CCC	7.50	20.71	31.27	35.67	36.55	37.64	38.84	39.36	40.13	40.25
CCC-	13.97	25.21	32.68	35.72	37.38	38.40	39.04	39.52	39.72	39.80
CC	38.74	63.46	80.61	82.45	83.55	84.36	84.78	85.03	85.13	85.14
IG	0.51	1.67	3.04	5.64	7.74	9.02	9.67	10.09	10.40	10.61
SG	11.53	20.76	28.24	31.13	32.98	34.15	35.05	35.73	36.20	36.51
Overall	3.44	6.77	9.80	12.48	14.51	15.77	16.48	16.97	17.33	17.57
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 21

U.S. structured credit one-year default rates, 1985-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1985	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1991	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1996	0.44	0.22	100.00	0.00	0.00	7.14	0.00	100.00	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2002	0.15	0.00	1.27	0.00	0.00	0.00	0.00	0.00	1.92	12.50	0.00
2003	0.17	0.00	1.26	0.00	0.00	0.00	0.00	0.00	1.56	7.84	0.00
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.16	0.00	1.25	0.00	0.00	0.00	0.00	0.00	0.00	6.25	6.67
2006	0.10	0.00	0.87	0.00	0.00	0.00	0.00	0.00	0.00	3.45	7.04
2007	0.18	0.07	1.13	0.05	0.12	0.06	0.06	0.12	0.00	0.00	15.28
2008	4.28	3.60	8.97	3.24	3.90	3.82	4.00	5.18	7.87	17.65	28.21
2009	7.27	1.19	17.42	0.73	1.97	1.06	1.67	2.18	4.96	19.39	27.29
2010	4.70	0.36	8.88	0.05	0.25	0.45	0.95	1.63	3.71	8.49	14.78
2011	23.62	0.15	39.99	0.00	0.16	0.36	0.12	0.24	1.06	15.19	85.78
2012	3.36	0.00	7.33	0.00	0.00	0.00	0.00	0.26	0.89	12.08	12.02
2013	1.44	0.00	3.71	0.00	0.00	0.00	0.00	0.13	0.21	5.54	14.94
2014	1.77	0.00	5.21	0.00	0.00	0.00	0.00	0.28	0.48	9.51	20.96
2015	0.85	0.00	2.75	0.00	0.00	0.00	0.00	0.15	0.00	1.91	25.17
2016	0.40	0.00	1.55	0.00	0.00	0.00	0.00	0.00	0.00	3.91	19.15
2017	0.54	0.00	2.17	0.00	0.00	0.00	0.00	0.00	0.42	5.00	26.67
2018	0.48	0.00	2.08	0.00	0.00	0.00	0.00	0.00	0.00	12.16	14.71
2019	0.44	0.00	2.02	0.00	0.00	0.00	0.00	0.00	0.00	17.95	26.92
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2021	0.10	0.00	0.50	0.00	0.00	0.00	0.00	0.00	0.00	3.15	9.09
2022	0.13	0.00	0.71	0.00	0.00	0.00	0.00	0.00	0.00	10.42	27.27
2023	0.13	0.00	0.70	0.00	0.00	0.00	0.00	0.00	0.00	13.33	40.00
Weighted average	3.44	0.51	11.53	0.45	0.52	0.52	0.64	0.76	1.35	11.08	38.74
Median	0.10	0.00	1.13	0.00	0.00	0.00	0.00	0.00	0.00	7.05	15.11
Standard deviation	3.99	0.60	18.42	0.53	0.70	1.32	0.78	17.38	1.91	6.25	18.57
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	23.62	3.60	100.00	3.24	3.90	7.14	4.00	100.00	7.87	19.39	85.78
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 22

U.S. structured credit rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.88	0.12	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.72	98.28	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.09	1.69	98.23	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.64	99.36	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.87	97.89	1.24	0.00	0.00	0.00	0.00
B	0.00	0.00	0.34	0.00	1.72	93.10	4.83	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	83.33	3.33	0.00	13.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.00	0.00	40.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	90.39	3.68	1.25	0.97	0.89	0.59	0.77	1.00	0.00	0.45
AA	8.56	80.86	3.05	2.06	1.23	0.72	1.37	1.62	0.00	0.52
A	1.17	6.38	79.92	4.61	2.48	1.33	1.54	2.07	0.00	0.52
BBB	0.32	1.16	4.92	77.59	4.67	2.85	4.92	2.93	0.00	0.64
BB	0.06	0.19	1.12	5.56	75.42	5.65	8.09	3.15	0.00	0.76
B	0.05	0.08	0.46	2.14	8.62	67.07	14.92	5.33	0.00	1.35
CCC	0.00	0.02	0.01	0.56	2.68	6.06	67.88	11.71	0.00	11.08
CC	0.00	0.00	0.00	0.01	0.08	0.06	0.05	61.06	0.00	38.74
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	82.77	6.05	1.85	1.41	1.54	1.04	2.07	1.75	0.00	1.51
AA	15.80	66.55	4.26	2.46	1.62	1.16	3.35	2.85	0.00	1.95
A	3.62	9.91	65.68	6.26	3.17	1.92	3.62	4.24	0.00	1.58
BBB	1.05	2.93	7.56	62.51	6.34	3.88	7.90	5.90	0.00	1.92
BB	0.24	0.75	2.65	8.72	60.67	7.94	11.51	5.05	0.00	2.47
B	0.16	0.33	1.37	4.76	12.95	52.55	16.81	6.52	0.00	4.54
CCC	0.01	0.04	0.17	1.57	5.03	9.34	50.13	12.18	0.00	21.53
CC	0.00	0.00	0.00	0.04	0.16	0.12	0.06	36.17	0.00	63.46
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	77.48	7.86	2.23	1.60	1.77	1.16	2.70	2.61	0.00	2.59
AA	21.67	56.26	4.70	2.59	1.86	1.51	4.33	3.50	0.00	3.58
A	6.46	11.33	56.11	7.13	3.40	2.15	4.86	5.44	0.00	3.13
BBB	2.16	4.56	8.34	52.17	7.64	4.49	8.91	7.70	0.00	4.03
BB	0.49	1.42	4.08	9.85	51.76	9.47	12.30	5.49	0.00	5.14
B	0.42	0.74	2.52	6.58	13.00	45.77	16.23	5.58	0.00	9.16
CCC	0.06	0.11	0.54	2.67	6.30	9.89	42.36	9.17	0.00	28.90
CC	0.00	0.00	0.01	0.06	0.20	0.13	0.08	18.89	0.00	80.62
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	74.56	8.55	2.29	1.66	1.87	1.30	2.92	2.18	0.00	4.68
AA	26.36	49.27	4.38	2.61	2.05	1.63	4.41	3.15	0.00	6.14
A	9.72	11.67	49.86	6.84	3.39	2.26	5.23	4.70	0.00	6.33
BBB	3.24	5.93	8.47	45.80	7.65	4.74	9.12	6.88	0.00	8.17
BB	0.76	2.17	5.33	9.65	46.87	10.13	11.99	4.90	0.00	8.22
B	0.69	1.04	3.52	7.98	11.86	40.82	16.16	4.58	0.00	13.33
CCC	0.12	0.24	0.89	3.64	6.84	9.61	38.11	8.30	0.00	32.26
CC	0.00	0.00	0.02	0.06	0.25	0.12	0.08	16.94	0.00	82.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	73.62	8.15	2.24	1.66	1.89	1.38	2.97	1.85	0.00	6.25
AA	30.14	44.80	3.45	2.63	2.08	1.69	4.18	2.72	0.00	8.29
A	12.51	12.33	45.69	5.90	3.09	2.16	5.55	3.56	0.00	9.21
BBB	4.38	6.78	8.71	42.17	6.93	4.43	9.04	5.57	0.00	11.98
BB	1.06	2.80	6.19	9.97	44.43	9.34	10.82	4.34	0.00	11.05
B	0.88	1.37	4.60	8.29	11.81	37.97	14.90	4.61	0.00	15.56
CCC	0.16	0.31	1.17	4.10	6.97	9.55	36.32	7.71	0.00	33.70
CC	0.00	0.00	0.04	0.06	0.29	0.11	0.08	15.75	0.00	83.67
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	72.61	5.80	2.75	2.19	2.03	1.40	2.48	1.88	0.00	8.88
AA	40.44	29.60	2.65	3.17	2.58	1.85	4.02	2.53	0.00	13.17
A	22.18	14.00	30.86	3.50	3.54	1.99	6.26	2.89	0.00	14.77
BBB	7.43	9.50	10.90	29.47	4.97	4.36	8.08	3.29	0.00	21.99
BB	2.05	4.83	8.92	12.67	32.09	6.88	8.81	4.38	0.00	19.37
B	1.53	2.22	6.65	10.16	12.41	24.03	14.37	4.42	0.00	24.20
CCC	0.18	0.41	1.69	4.34	7.42	9.57	31.17	6.99	0.00	38.23
CC	0.00	0.00	0.03	0.00	0.28	0.06	0.06	12.68	0.00	86.90
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 23

U.S. structured credit rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	92.04	0.12	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.84
AA	1.19	94.93	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.88
A	0.09	1.33	94.59	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.99
BBB	0.00	0.00	0.64	96.72	0.00	0.00	0.00	0.00	0.00	0.00	2.65
BB	0.00	0.00	0.00	0.62	94.66	1.24	0.00	0.00	0.00	0.00	3.48
B	0.00	0.00	0.34	0.00	0.69	87.24	4.83	0.00	0.00	0.00	6.90
CCC	0.00	0.00	0.00	0.00	0.00	0.00	73.33	3.33	0.00	13.33	10.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.00	0.00	40.00	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	75.69	3.60	1.19	0.91	0.84	0.56	0.77	1.00	0.00	0.45	14.99
AA	7.13	68.59	2.99	1.96	1.17	0.70	1.32	1.61	0.00	0.52	14.00
A	0.82	5.68	67.71	4.55	2.41	1.29	1.48	2.06	0.00	0.52	13.48
BBB	0.22	0.83	4.36	67.29	4.57	2.79	4.81	2.92	0.00	0.64	11.56
BB	0.01	0.13	0.93	4.81	64.84	5.50	7.92	3.13	0.00	0.76	11.96
B	0.02	0.06	0.29	1.79	7.69	56.12	14.25	5.33	0.00	1.35	13.10
CCC	0.00	0.02	0.01	0.41	2.39	5.60	56.71	11.13	0.00	11.08	12.66
CC	0.00	0.00	0.00	0.01	0.06	0.06	0.02	55.64	0.00	38.74	5.47
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	56.05	5.66	1.60	1.24	1.41	0.98	2.01	1.74	0.00	1.51	27.79
AA	9.81	44.49	4.01	2.09	1.40	1.07	3.11	2.83	0.00	1.95	29.24
A	2.07	7.26	43.98	6.01	2.90	1.81	3.43	4.22	0.00	1.58	26.75
BBB	0.52	1.74	5.44	43.76	5.95	3.65	7.43	5.88	0.00	1.92	23.72
BB	0.10	0.42	1.67	6.19	41.15	7.02	10.73	4.95	0.00	2.47	25.30
B	0.03	0.21	0.68	3.29	9.73	33.81	14.80	6.40	0.00	4.54	26.51
CCC	0.00	0.02	0.15	1.06	3.92	7.40	30.99	9.74	0.00	21.53	25.20
CC	0.00	0.00	0.00	0.04	0.11	0.10	0.01	27.05	0.00	63.46	9.24
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	41.52	6.95	1.77	1.30	1.52	1.02	2.52	2.58	0.00	2.59	38.23
AA	9.54	27.10	4.25	1.88	1.42	1.34	3.74	3.44	0.00	3.58	43.71
A	2.57	6.75	27.37	6.60	2.94	1.93	4.36	5.26	0.00	3.13	39.09
BBB	0.70	2.08	4.59	26.76	6.84	3.98	7.80	7.41	0.00	4.03	35.81
BB	0.16	0.57	1.85	5.56	25.01	7.68	10.89	4.93	0.00	5.14	38.20
B	0.05	0.28	0.80	3.28	7.22	20.79	12.50	4.56	0.00	9.16	41.36
CCC	0.00	0.04	0.37	1.48	3.90	6.05	17.08	5.44	0.00	28.90	36.74
CC	0.00	0.00	0.00	0.04	0.10	0.08	0.00	7.53	0.00	80.62	11.63
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	32.25	6.98	1.52	1.20	1.50	1.06	2.50	2.00	0.00	4.68	46.32
AA	7.99	17.13	3.65	1.53	1.38	1.37	3.36	2.70	0.00	6.14	54.73
A	3.05	5.33	17.98	5.91	2.66	1.89	4.38	4.18	0.00	6.33	48.29
BBB	0.70	2.07	3.39	17.08	6.27	3.76	7.33	6.21	0.00	8.17	45.04
BB	0.15	0.70	1.78	3.85	15.86	7.40	9.62	4.04	0.00	8.22	48.40
B	0.16	0.19	0.78	3.12	4.41	11.81	10.23	2.78	0.00	13.33	53.20
CCC	0.00	0.13	0.32	1.41	2.97	4.03	8.70	3.71	0.00	32.26	46.47
CC	0.00	0.00	0.00	0.01	0.07	0.05	0.00	4.48	0.00	82.51	12.88
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	26.12	5.89	1.13	0.99	1.34	1.00	2.14	1.27	0.00	6.25	53.87
AA	6.19	11.23	2.43	1.17	1.15	1.28	2.59	1.94	0.00	8.29	63.74
A	2.76	4.30	12.01	4.54	2.03	1.65	4.27	2.77	0.00	9.21	56.48
BBB	0.80	1.64	2.39	11.34	4.96	2.87	6.53	4.55	0.00	11.98	52.92
BB	0.12	0.65	1.47	2.61	9.92	6.38	7.42	3.19	0.00	11.05	57.20
B	0.05	0.27	0.86	2.20	2.76	5.97	7.38	2.40	0.00	15.56	62.54
CCC	0.01	0.08	0.23	0.91	1.76	2.53	4.44	2.49	0.00	33.70	53.85
CC	0.00	0.00	0.00	0.00	0.06	0.01	0.00	2.61	0.00	83.67	13.65
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	9.93	0.84	0.11	0.12	0.15	0.22	0.26	0.18	0.00	8.88	79.30
AA	0.34	1.20	0.08	0.11	0.17	0.15	0.35	0.44	0.00	13.17	83.99
A	0.21	0.30	0.70	0.14	0.27	0.25	1.29	0.76	0.00	14.77	81.31
BBB	0.08	0.12	0.19	0.35	0.19	0.28	1.28	0.83	0.00	21.99	74.70
BB	0.00	0.01	0.08	0.19	0.40	0.49	0.89	1.08	0.00	19.37	77.50
B	0.00	0.00	0.02	0.05	0.02	0.14	1.00	0.41	0.00	24.20	74.15
CCC	0.00	0.00	0.01	0.00	0.02	0.12	0.06	0.16	0.00	38.23	61.40
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.10	0.00	86.90	13.00
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.

U.S. ABS

Table 24

U.S. ABS cumulative default rates, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.01	0.02	0.02	0.03	0.04	0.04	0.04	0.05
AA	0.00	0.05	0.13	0.25	0.40	0.62	0.78	0.88	1.00	1.14
A	0.10	0.29	0.55	0.83	1.10	1.31	1.52	1.70	1.79	1.87
BBB	0.23	0.64	1.30	2.17	2.95	3.61	4.08	4.57	4.92	5.20
BB	0.91	2.47	4.38	5.94	7.27	8.72	10.15	11.30	12.00	12.54
B	3.16	7.51	10.39	12.08	13.08	14.14	15.00	15.87	17.07	18.13
CCC	7.77	13.39	18.35	22.33	25.75	28.31	30.20	31.65	33.04	34.31
CC	12.29	20.26	26.50	30.72	34.13	36.38	39.09	42.14	44.91	48.27
IG	0.05	0.13	0.27	0.44	0.60	0.75	0.86	0.96	1.04	1.10
SG	4.42	8.37	11.73	14.18	16.14	17.82	19.31	20.58	21.68	22.64
Overall	0.36	0.72	1.08	1.40	1.68	1.93	2.12	2.29	2.42	2.53
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 25

U.S. ABS cumulative default rates by rating modifier, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.01	0.02	0.02	0.03	0.04	0.04	0.04	0.05
AA+	0.00	0.00	0.00	0.02	0.09	0.30	0.48	0.70	0.98	1.33
AA	0.01	0.09	0.23	0.42	0.65	0.91	1.10	1.17	1.20	1.23
AA-	0.00	0.04	0.08	0.16	0.20	0.24	0.29	0.29	0.38	0.54
A+	0.04	0.10	0.28	0.36	0.38	0.40	0.45	0.47	0.47	0.50
A	0.13	0.34	0.65	1.01	1.38	1.60	1.77	1.89	1.99	2.05
A-	0.04	0.29	0.46	0.58	0.65	1.30	2.56	3.86	4.32	4.72
BBB+	0.17	0.54	0.83	1.54	3.23	5.14	6.14	7.24	8.45	9.59
BBB	0.20	0.60	1.12	1.64	2.07	2.44	2.72	3.00	3.20	3.36
BBB-	0.57	1.10	3.48	7.38	9.58	10.64	11.75	13.13	13.47	13.58
BB+	1.03	1.86	3.05	3.68	4.02	4.90	6.03	6.82	6.82	7.07
BB	0.82	2.52	4.55	6.47	8.13	9.83	11.19	12.22	12.86	13.07
BB-	1.03	2.94	5.15	6.44	7.66	8.81	10.87	12.85	14.52	16.57
B+	0.88	2.93	4.33	5.33	6.63	8.01	8.62	9.31	10.86	11.77
B	3.06	6.62	9.89	12.58	13.73	14.78	16.06	17.04	17.70	18.20
B-	4.10	9.85	13.03	14.35	15.14	16.09	16.77	17.65	19.06	20.54
CCC+	2.23	4.27	7.11	10.40	14.69	18.91	21.71	22.25	22.25	22.25
CCC	6.10	11.54	15.73	19.80	22.87	24.71	26.42	28.04	29.31	30.15
CCC-	10.87	17.64	23.89	27.98	31.47	34.22	36.03	37.56	39.39	41.31
CC	12.29	20.26	26.50	30.72	34.13	36.38	39.09	42.14	44.91	48.27
IG	0.05	0.13	0.27	0.44	0.60	0.75	0.86	0.96	1.04	1.10
SG	4.42	8.37	11.73	14.18	16.14	17.82	19.31	20.58	21.68	22.64
Overall	0.36	0.72	1.08	1.40	1.68	1.93	2.12	2.29	2.42	2.53
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 26

U.S. ABS one-year default rates, 1983-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1983	0.00	0.00	N/A	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	N/A	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A
1985	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.38	0.35	2.00	0.00	0.00	1.76	0.00	2.22	0.00	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.31	0.12	5.66	0.00	0.00	0.23	0.82	2.41	5.88	37.50	N/A
2002	1.30	0.25	27.84	0.00	0.34	0.40	1.47	5.49	51.35	54.55	N/A
2003	0.97	0.21	19.12	0.00	0.00	0.09	2.03	10.29	16.67	55.26	8.33
2004	0.97	0.08	15.81	0.00	0.00	0.00	0.48	5.92	18.06	30.77	33.33
2005	0.70	0.00	9.71	0.00	0.00	0.00	0.00	0.00	1.03	13.19	64.52
2006	0.58	0.00	9.67	0.00	0.00	0.00	0.00	0.00	0.00	19.23	71.43
2007	0.64	0.03	11.21	0.00	0.00	0.00	0.29	0.00	2.90	20.47	78.57
2008	0.25	0.10	3.10	0.00	0.00	0.83	0.00	0.00	0.00	9.09	33.33
2009	0.28	0.05	4.15	0.00	0.00	0.00	0.39	1.26	1.28	11.22	0.00
2010	0.42	0.12	4.13	0.00	0.00	0.10	0.67	0.00	0.00	14.29	12.50
2011	0.43	0.00	4.07	0.00	0.00	0.00	0.00	0.92	2.80	7.52	21.74
2012	0.24	0.00	2.27	0.00	0.00	0.00	0.00	0.00	2.63	1.99	21.05
2013	0.37	0.00	2.91	0.00	0.00	0.00	0.00	0.00	0.00	0.67	15.79
2014	0.37	0.00	2.84	0.00	0.00	0.00	0.00	0.00	0.00	1.94	14.94
2015	0.27	0.00	2.15	0.00	0.00	0.00	0.00	0.00	0.00	2.17	11.54
2016	0.11	0.00	0.97	0.00	0.00	0.00	0.00	0.00	0.00	0.92	4.49
2017	0.18	0.00	1.59	0.00	0.00	0.00	0.00	0.00	0.75	0.77	7.32
2018	0.13	0.00	1.23	0.00	0.00	0.00	0.00	0.00	0.85	0.00	5.56
2019	0.09	0.00	0.85	0.00	0.00	0.00	0.00	0.00	0.00	0.98	3.19
2020	0.19	0.00	1.88	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.34
2021	0.06	0.00	0.59	0.00	0.00	0.00	0.00	0.00	0.68	0.00	2.38
2022	0.04	0.00	0.46	0.00	0.00	0.00	0.00	0.00	2.02	0.00	0.00
2023	0.40	0.00	4.40	0.00	0.00	0.00	0.00	0.00	4.00	6.82	11.54
Weighted average	0.36	0.05	4.42	0.00	0.00	0.10	0.23	0.91	3.16	7.77	12.29
Median	0.11	0.00	2.00	0.00	0.00	0.00	0.00	0.00	0.00	6.82	11.54
Standard deviation	0.31	0.08	6.31	0.00	0.05	0.31	0.44	2.23	10.02	16.84	23.33
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	1.30	0.35	27.84	0.00	0.34	1.76	2.03	10.29	51.35	55.26	78.57
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 27

U.S. ABS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	17.06	82.42	0.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	5.84	10.37	83.08	0.70	0.00	0.00	0.00	0.00	0.00	0.00
BBB	2.16	5.60	11.21	80.60	0.43	0.00	0.00	0.00	0.00	0.00
BB	0.00	1.79	5.36	12.50	76.79	3.57	0.00	0.00	0.00	0.00
B	0.00	0.00	1.33	4.00	17.33	66.67	6.67	0.00	0.00	4.00
CCC	0.00	0.00	0.00	2.27	3.41	6.82	69.32	11.36	0.00	6.82
CC	0.00	0.00	0.00	0.00	0.00	0.00	1.28	87.18	0.00	11.54
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	96.77	2.29	0.65	0.21	0.04	0.03	0.00	0.00	0.00	0.00
AA	9.11	87.43	1.84	1.08	0.45	0.07	0.00	0.00	0.00	0.00
A	3.37	5.98	86.70	2.77	0.44	0.47	0.14	0.03	0.00	0.10
BBB	3.07	2.54	5.23	84.03	2.25	1.88	0.71	0.07	0.00	0.23
BB	0.47	1.19	3.88	7.66	75.71	6.70	2.92	0.57	0.00	0.91
B	0.45	0.24	0.61	1.66	3.81	76.56	11.88	1.62	0.00	3.16
CCC	0.00	0.00	0.13	0.21	0.38	1.06	83.07	7.39	0.00	7.77
CC	0.00	0.09	0.00	0.00	0.18	0.09	0.36	86.99	0.00	12.29
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	93.87	3.94	1.20	0.66	0.21	0.10	0.02	0.00	0.00	0.00
AA	15.09	79.57	2.67	1.29	0.65	0.49	0.18	0.00	0.00	0.05
A	7.25	8.45	77.72	4.18	0.63	0.94	0.47	0.07	0.00	0.29
BBB	7.73	4.67	6.14	72.76	3.29	3.20	1.43	0.13	0.00	0.65
BB	2.16	3.54	7.84	10.03	58.76	9.79	3.92	1.43	0.00	2.51
B	0.92	0.92	1.17	2.89	5.69	59.10	18.90	2.93	0.00	7.49
CCC	0.00	0.00	0.26	0.35	0.75	1.62	71.18	12.41	0.00	13.42
CC	0.00	0.19	0.00	0.00	0.29	0.19	0.68	78.33	0.00	20.31
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	91.38	5.33	1.69	0.85	0.37	0.27	0.10	0.00	0.00	0.01
AA	18.34	74.80	3.08	1.58	0.79	0.96	0.30	0.02	0.00	0.14
A	9.64	10.03	72.13	4.73	0.80	1.19	0.73	0.18	0.00	0.57
BBB	11.84	4.82	5.85	66.28	3.46	3.67	2.42	0.33	0.00	1.33
BB	5.45	5.39	8.88	9.27	49.66	9.81	5.16	1.84	0.00	4.54
B	1.79	1.53	1.57	3.18	6.46	51.09	20.33	3.62	0.00	10.43
CCC	0.00	0.00	0.32	0.50	1.09	2.04	61.14	16.30	0.00	18.61
CC	0.00	0.32	0.00	0.00	0.21	0.21	0.74	71.09	0.00	27.42
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	89.46	6.37	2.12	0.96	0.48	0.40	0.19	0.01	0.00	0.02
AA	19.52	72.30	3.31	1.84	0.87	1.36	0.51	0.03	0.00	0.26
A	10.90	11.41	68.75	4.51	0.94	1.31	0.99	0.32	0.00	0.88
BBB	13.24	4.92	5.82	63.05	3.50	3.87	2.92	0.42	0.00	2.25
BB	7.35	6.04	8.58	8.64	45.83	9.66	5.53	2.03	0.00	6.34
B	2.28	1.40	1.72	3.40	6.48	46.01	21.68	4.52	0.00	12.49
CCC	0.00	0.00	0.57	0.52	1.19	2.23	52.99	19.35	0.00	23.15
CC	0.00	0.35	0.00	0.00	0.12	0.23	0.82	65.58	0.00	32.91
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	87.74	7.45	2.37	1.07	0.55	0.49	0.28	0.04	0.00	0.02
AA	20.01	70.55	3.78	1.89	0.92	1.63	0.71	0.08	0.00	0.44
A	11.73	12.48	66.57	4.10	1.10	1.44	1.02	0.38	0.00	1.18
BBB	12.90	5.52	6.08	61.08	3.44	4.12	3.25	0.49	0.00	3.12
BB	7.30	6.23	8.99	8.62	43.68	9.31	5.75	2.14	0.00	7.99
B	2.67	1.19	1.88	3.81	6.39	41.78	23.12	5.25	0.00	13.91
CCC	0.00	0.00	0.85	0.40	1.30	2.29	45.61	22.13	0.00	27.42
CC	0.00	0.26	0.13	0.00	0.00	0.26	0.91	61.17	0.00	37.27
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	83.70	9.77	2.84	1.38	0.72	0.88	0.56	0.11	0.00	0.05
AA	17.55	68.03	4.71	2.98	1.32	1.79	1.82	0.42	0.00	1.38
A	10.48	15.25	63.73	3.73	1.08	1.68	0.90	0.84	0.00	2.30
BBB	10.13	7.25	6.54	58.22	3.30	4.19	2.74	1.35	0.00	6.29
BB	3.94	5.70	6.86	7.28	44.60	6.64	5.96	2.91	0.00	16.11
B	5.10	0.81	1.55	3.33	5.03	25.44	21.67	11.24	0.00	25.81
CCC	0.00	0.50	1.27	0.28	1.63	2.12	20.79	28.36	0.00	45.05
CC	0.00	0.30	0.00	0.00	0.00	0.00	0.89	35.31	0.00	63.50
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 28

U.S. ABS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	65.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	34.90
AA	12.97	76.37	0.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.15
A	4.63	10.07	74.52	0.70	0.00	0.00	0.00	0.00	0.00	0.00	10.07
BBB	1.72	5.60	10.99	76.51	0.43	0.00	0.00	0.00	0.00	0.00	4.74
BB	0.00	1.79	5.36	11.31	68.45	3.57	0.00	0.00	0.00	0.00	9.52
B	0.00	0.00	1.33	4.00	14.67	58.67	6.67	0.00	0.00	4.00	10.67
CCC	0.00	0.00	0.00	0.00	1.14	6.82	67.05	6.82	0.00	6.82	11.36
CC	0.00	0.00	0.00	0.00	0.00	0.00	1.28	87.18	0.00	11.54	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	75.98	2.11	0.63	0.19	0.04	0.02	0.00	0.00	0.00	0.00	21.02
AA	7.15	75.73	1.68	0.90	0.41	0.07	0.00	0.00	0.00	0.00	14.06
A	2.61	5.49	74.63	2.71	0.42	0.44	0.14	0.03	0.00	0.10	13.43
BBB	2.64	2.32	4.97	72.63	2.21	1.85	0.70	0.07	0.00	0.23	12.37
BB	0.34	1.01	3.60	7.35	64.92	6.47	2.85	0.57	0.00	0.91	12.00
B	0.20	0.24	0.53	1.58	3.69	69.51	11.88	1.62	0.00	3.16	7.58
CCC	0.00	0.00	0.13	0.13	0.17	1.06	79.60	6.97	0.00	7.77	4.18
CC	0.00	0.09	0.00	0.00	0.18	0.09	0.36	84.01	0.00	12.29	2.98
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	55.74	3.32	1.05	0.54	0.19	0.08	0.02	0.00	0.00	0.00	39.06
AA	7.74	58.16	2.22	0.88	0.53	0.47	0.18	0.00	0.00	0.05	29.76
A	4.18	6.40	54.64	3.88	0.56	0.79	0.45	0.07	0.00	0.29	28.73
BBB	5.74	3.63	4.85	51.10	3.07	3.09	1.41	0.13	0.00	0.65	26.34
BB	1.22	2.43	5.87	8.49	39.16	9.06	3.79	1.41	0.00	2.51	26.07
B	0.29	0.75	0.75	2.38	5.19	46.76	18.28	2.76	0.00	7.49	15.35
CCC	0.00	0.00	0.26	0.26	0.31	1.58	64.91	11.54	0.00	13.42	7.72
CC	0.00	0.19	0.00	0.00	0.29	0.19	0.68	72.79	0.00	20.31	5.54
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	39.78	4.06	1.36	0.59	0.28	0.23	0.10	0.00	0.00	0.01	53.59
AA	6.78	45.56	2.36	0.94	0.59	0.91	0.30	0.02	0.00	0.14	42.40
A	3.18	5.91	38.84	4.14	0.65	0.94	0.69	0.18	0.00	0.57	44.91
BBB	7.02	2.51	3.58	35.26	3.03	3.44	2.37	0.33	0.00	1.33	41.14
BB	2.44	2.72	4.59	6.15	23.00	8.34	4.96	1.79	0.00	4.54	41.46
B	0.61	0.96	0.83	2.36	5.45	34.25	18.72	3.40	0.00	10.43	22.99
CCC	0.00	0.00	0.32	0.41	0.50	1.91	52.70	14.43	0.00	18.61	11.12
CC	0.00	0.32	0.00	0.00	0.21	0.21	0.74	63.76	0.00	27.42	7.33
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	28.59	4.40	1.57	0.56	0.31	0.32	0.19	0.01	0.00	0.02	64.03
AA	5.34	37.36	2.29	0.95	0.65	1.25	0.51	0.03	0.00	0.26	51.36
A	2.30	5.28	27.58	3.58	0.72	0.90	0.92	0.30	0.00	0.88	57.54
BBB	5.65	1.43	2.69	25.01	2.81	3.53	2.75	0.41	0.00	2.25	53.47
BB	1.67	1.58	2.48	4.28	14.35	7.35	5.26	1.85	0.00	6.34	54.83
B	0.65	0.61	0.84	2.24	4.76	26.15	18.74	3.68	0.00	12.49	29.84
CCC	0.00	0.00	0.57	0.43	0.57	1.94	43.50	17.13	0.00	23.15	12.71
CC	0.00	0.35	0.00	0.00	0.12	0.23	0.82	57.06	0.00	32.91	8.52
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	20.81	4.74	1.62	0.54	0.31	0.38	0.28	0.03	0.00	0.02	71.27
AA	5.17	31.03	2.42	0.85	0.64	1.44	0.68	0.07	0.00	0.44	57.28
A	2.53	4.90	19.25	2.87	0.76	0.87	0.92	0.32	0.00	1.18	66.40
BBB	3.91	1.44	2.33	17.43	2.56	3.62	2.97	0.48	0.00	3.12	62.15
BB	0.50	1.07	1.76	3.24	9.21	6.67	5.44	1.79	0.00	7.99	62.33
B	0.64	0.59	0.89	2.33	4.06	19.70	18.86	3.86	0.00	13.91	35.15
CCC	0.00	0.00	0.75	0.30	0.65	1.94	35.39	19.59	0.00	27.42	13.96
CC	0.00	0.26	0.13	0.00	0.00	0.26	0.91	51.30	0.00	37.27	9.87
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	4.67	3.67	0.97	0.36	0.23	0.47	0.47	0.08	0.00	0.05	89.02
AA	2.46	11.89	1.89	0.78	0.55	1.29	1.66	0.38	0.00	1.38	77.72
A	0.97	3.81	2.89	1.13	0.43	0.64	0.66	0.58	0.00	2.30	86.59
BBB	0.42	1.69	1.60	3.63	1.52	2.66	2.04	1.24	0.00	6.29	78.90
BB	0.09	0.81	0.94	1.33	1.63	2.49	4.28	1.76	0.00	16.11	70.57
B	0.89	0.30	0.44	1.63	2.59	3.92	13.54	7.17	0.00	25.81	43.71
CCC	0.00	0.14	0.64	0.14	0.50	1.49	10.18	25.46	0.00	45.05	16.41
CC	0.00	0.30	0.00	0.00	0.00	0.00	0.89	22.26	0.00	63.50	13.06
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.

U.S. CMBS

Table 29

U.S. CMBS cumulative default rates, conditional on survival, 1986-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.02	0.08	0.19	0.34	0.48	0.60	0.71	0.83	0.91	0.98
AA	0.06	0.38	1.04	1.76	2.52	3.30	4.10	4.71	5.30	5.79
A	0.08	0.56	1.82	3.42	4.94	6.28	7.31	8.24	8.92	9.51
BBB	0.36	1.99	5.15	8.66	11.73	14.02	15.80	17.12	18.18	19.07
BB	1.67	6.37	13.14	19.69	24.99	29.43	32.83	35.45	37.75	39.56
B	6.81	17.57	28.47	37.90	45.35	50.81	54.93	58.21	60.64	62.15
CCC	37.43	56.95	65.21	69.54	71.62	73.05	73.96	74.49	74.75	74.86
CC	47.83	82.61	93.48	93.48	93.48	93.48	93.48	93.48	93.48	93.48
IG	0.11	0.59	1.60	2.76	3.83	4.71	5.42	6.00	6.46	6.85
SG	10.96	21.09	29.79	37.00	42.49	46.71	49.88	52.32	54.24	55.57
Overall	3.10	6.27	9.45	12.33	14.67	16.50	17.91	19.01	19.87	20.50
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 30

U.S. CMBS cumulative default rates by rating modifier, conditional on survival, 1986-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.02	0.08	0.19	0.34	0.48	0.60	0.71	0.83	0.91	0.98
AA+	0.08	0.37	0.73	1.07	1.42	1.82	2.28	2.72	3.37	3.84
AA	0.05	0.36	1.12	1.78	2.45	3.08	3.72	4.15	4.52	4.86
AA-	0.07	0.42	1.19	2.35	3.62	5.04	6.47	7.60	8.61	9.45
A+	0.06	0.56	1.48	2.63	3.53	4.18	4.78	5.39	5.89	6.18
A	0.15	0.57	1.73	3.15	4.61	6.00	7.08	7.93	8.47	9.01
A-	0.04	0.55	2.16	4.29	6.33	8.16	9.50	10.81	11.84	12.79
BBB+	0.26	1.62	4.25	7.60	10.52	12.95	14.58	15.82	16.91	17.76
BBB	0.27	1.54	4.29	7.47	10.30	12.34	14.11	15.52	16.64	17.48
BBB-	0.49	2.61	6.46	10.37	13.78	16.20	18.10	19.40	20.39	21.37
BB+	1.01	4.80	11.11	17.42	22.15	25.71	28.60	30.82	32.70	34.20
BB	1.76	6.50	13.41	19.88	25.01	29.47	32.84	35.37	37.60	39.33
BB-	2.22	7.78	14.87	21.76	27.85	33.24	37.27	40.53	43.52	45.87
B+	4.36	12.91	23.26	32.71	40.28	46.19	50.72	54.47	57.34	59.27
B	5.77	16.29	27.31	36.90	44.79	50.30	54.42	57.76	60.10	61.39
B-	9.85	22.69	33.96	43.20	50.15	55.19	58.96	61.77	63.89	65.26
CCC+	26.89	48.74	59.54	65.12	68.21	70.17	71.33	72.25	72.51	72.61
CCC	29.34	49.24	58.47	64.27	67.75	70.42	72.37	73.59	74.38	74.71
CCC-	46.10	64.45	71.19	74.23	75.19	75.77	76.06	76.09	76.09	76.09
CC	47.83	82.61	93.48	93.48	93.48	93.48	93.48	93.48	93.48	93.48
IG	0.11	0.59	1.60	2.76	3.83	4.71	5.42	6.00	6.46	6.85
SG	10.96	21.09	29.79	37.00	42.49	46.71	49.88	52.32	54.24	55.57
Overall	3.10	6.27	9.45	12.33	14.67	16.50	17.91	19.01	19.87	20.50
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 31

U.S. CMBS one-year default rates, 1986-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1986	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1993	0.27	0.00	7.69	0.00	0.00	0.00	0.00	0.00	14.29	0.00	N/A
1994	0.19	0.00	3.57	0.00	0.00	0.00	0.00	0.00	7.69	0.00	N/A
1995	0.14	0.00	1.79	0.00	0.00	0.00	0.00	0.00	0.00	16.67	N/A
1996	0.52	0.00	4.40	0.00	0.00	0.00	0.00	0.00	0.00	50.00	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1999	0.07	0.00	0.32	0.00	0.00	0.00	0.00	0.00	0.00	14.29	N/A
2000	0.06	0.00	0.27	0.00	0.00	0.00	0.00	0.00	0.66	0.00	0.00
2001	0.34	0.00	1.48	0.00	0.00	0.00	0.00	0.00	1.65	25.00	0.00
2002	0.98	0.00	4.46	0.00	0.00	0.00	0.00	3.13	4.00	29.17	0.00
2003	0.90	0.25	3.21	0.00	0.00	0.19	0.74	0.00	3.69	17.07	N/A
2004	0.39	0.03	1.60	0.00	0.00	0.00	0.10	0.18	1.57	13.56	100.00
2005	0.38	0.02	1.51	0.00	0.00	0.00	0.10	0.15	1.76	11.39	N/A
2006	0.21	0.00	0.90	0.00	0.00	0.00	0.00	0.12	0.44	15.15	N/A
2007	0.16	0.00	0.70	0.00	0.00	0.00	0.00	0.00	0.12	16.67	N/A
2008	0.29	0.01	1.20	0.00	0.00	0.00	0.07	0.09	0.72	22.78	N/A
2009	2.41	0.52	7.98	0.20	0.37	0.39	1.63	3.54	7.21	24.19	0.00
2010	10.23	0.49	24.09	0.07	0.42	0.26	1.90	7.42	16.64	48.28	0.00
2011	13.57	0.12	31.98	0.00	0.00	0.00	0.62	3.76	26.02	59.39	29.31
2012	7.05	0.03	17.73	0.00	0.00	0.00	0.16	1.71	5.87	36.15	72.92
2013	4.90	0.10	12.55	0.00	0.00	0.22	0.39	1.04	3.53	25.71	100.00
2014	3.70	0.00	10.09	0.00	0.00	0.00	0.00	0.72	3.85	23.16	N/A
2015	4.33	0.04	11.87	0.00	0.00	0.00	0.21	0.70	5.80	33.52	N/A
2016	2.63	0.15	7.20	0.00	0.53	0.28	0.00	0.72	3.90	29.32	N/A
2017	2.68	0.06	8.14	0.00	0.00	0.00	0.28	1.93	6.67	34.26	N/A
2018	1.82	0.00	6.67	0.00	0.00	0.00	0.00	1.58	4.95	36.62	N/A
2019	2.38	0.00	10.66	0.00	0.00	0.00	0.00	2.38	10.44	60.47	N/A
2020	0.61	0.00	3.44	0.00	0.00	0.00	0.00	0.87	1.46	37.93	N/A
2021	2.21	0.00	11.29	0.00	0.00	0.00	0.00	3.37	3.72	43.62	N/A
2022	0.33	0.00	2.16	0.00	0.00	0.00	0.00	0.00	1.03	10.94	N/A
2023	1.34	0.18	7.67	0.00	0.00	0.93	0.36	1.30	8.43	16.49	N/A
Weighted average	3.10	0.11	10.96	0.02	0.06	0.08	0.36	1.67	6.81	37.43	47.83
Median	0.36	0.00	3.98	0.00	0.00	0.00	0.00	0.18	3.61	23.16	0.00
Standard deviation	2.95	0.12	7.32	0.03	0.12	0.18	0.44	1.67	5.73	17.02	44.76
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	13.57	0.52	31.98	0.20	0.53	0.93	1.90	7.42	26.02	60.47	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 32

U.S. CMBS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	97.83	1.67	0.33	0.00	0.08	0.00	0.08	0.00	0.00	0.00
AA	0.00	95.27	3.01	1.08	0.22	0.43	0.00	0.00	0.00	0.00
A	0.00	0.00	85.71	8.70	2.80	0.93	0.93	0.00	0.00	0.93
BBB	0.00	0.00	0.00	85.77	10.68	2.49	0.71	0.00	0.00	0.36
BB	0.00	0.00	0.00	0.00	75.97	18.83	3.90	0.00	0.00	1.30
B	0.00	0.00	0.00	0.00	0.00	77.11	14.46	0.00	0.00	8.43
CCC	0.00	0.00	0.00	0.00	0.00	0.00	83.51	0.00	0.00	16.49
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	97.51	0.87	0.65	0.50	0.30	0.14	0.02	0.00	0.00	0.02
AA	6.55	87.25	2.18	1.50	1.27	1.05	0.14	0.00	0.00	0.06
A	2.49	5.96	83.18	3.75	1.97	1.99	0.57	0.00	0.00	0.08
BBB	0.94	2.07	4.11	81.82	4.86	3.72	2.11	0.02	0.00	0.36
BB	0.35	0.81	0.72	3.11	79.38	7.79	6.02	0.10	0.05	1.67
B	0.07	0.37	0.40	0.50	1.92	76.00	13.82	0.11	0.00	6.81
CCC	0.02	0.13	0.13	0.21	0.65	1.72	59.12	0.60	0.00	37.43
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	52.17	0.00	47.83
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Two-year weighted average
AAA	95.18	1.50	1.24	1.02	0.61	0.26	0.10	0.00	0.00	0.08
AA	12.60	75.59	3.51	2.67	2.51	2.28	0.46	0.00	0.00	0.38
A	5.31	11.05	68.31	5.76	3.69	3.91	1.38	0.05	0.00	0.54
BBB	2.11	4.24	7.60	65.96	6.97	6.04	4.99	0.09	0.00	1.99
BB	0.80	1.64	1.42	5.75	62.84	11.06	9.82	0.23	0.05	6.37
B	0.18	0.81	0.81	1.00	3.57	57.86	18.06	0.16	0.00	17.55
CCC	0.03	0.32	0.31	0.45	1.17	3.18	36.63	0.74	0.00	57.17
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	17.39	0.00	82.61
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	93.71	2.02	1.50	1.23	0.75	0.36	0.24	0.00	0.00	0.19
AA	17.21	67.19	4.33	3.36	3.02	2.73	1.11	0.01	0.00	1.04
A	8.33	14.34	57.51	6.74	4.41	4.30	2.38	0.18	0.00	1.81
BBB	3.54	6.40	9.85	54.34	7.71	6.35	6.45	0.19	0.00	5.17
BB	1.28	2.45	2.16	7.83	51.09	11.53	10.14	0.29	0.06	13.17
B	0.31	1.36	1.13	1.38	4.66	46.22	16.25	0.11	0.00	28.58
CCC	0.05	0.78	0.55	0.73	1.53	3.78	26.61	0.31	0.00	65.67
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.52	0.00	93.48
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	92.88	2.50	1.48	1.21	0.73	0.52	0.34	0.00	0.00	0.35
AA	20.40	61.53	4.89	3.78	2.84	2.74	2.04	0.02	0.00	1.77
A	10.81	16.04	50.51	7.30	4.62	3.88	3.20	0.19	0.00	3.44
BBB	4.94	8.15	10.88	46.56	7.87	5.91	6.77	0.16	0.00	8.76
BB	1.73	3.32	2.88	8.91	43.15	10.91	9.07	0.20	0.06	19.77
B	0.47	1.90	1.37	1.65	5.32	38.01	12.98	0.05	0.00	38.24
CCC	0.08	1.29	0.81	1.01	1.60	3.79	21.30	0.03	0.00	70.09
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.52	0.00	93.48
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	92.48	2.82	1.39	1.12	0.69	0.65	0.36	0.00	0.00	0.49
AA	23.15	57.23	5.22	3.85	2.64	2.89	2.45	0.00	0.00	2.57
A	13.28	17.13	45.49	7.38	4.46	3.62	3.59	0.07	0.00	4.99
BBB	6.26	9.80	11.41	40.82	7.72	5.52	6.44	0.11	0.00	11.92
BB	2.11	4.24	3.51	9.50	36.92	9.90	8.40	0.13	0.06	25.23
B	0.58	2.41	1.61	1.88	5.74	31.19	10.65	0.03	0.00	45.91
CCC	0.13	1.74	0.98	1.16	1.56	3.46	18.79	0.00	0.00	72.19
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.52	0.00	93.48
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	92.74	3.11	1.16	0.82	0.61	0.32	0.22	0.00	0.00	1.03
AA	29.82	49.93	5.57	3.20	2.01	1.86	1.32	0.00	0.00	6.29
A	19.53	18.12	36.50	7.01	3.87	2.77	1.87	0.00	0.00	10.34
BBB	10.62	13.05	11.01	29.90	6.03	4.51	4.16	0.02	0.00	20.70
BB	3.52	7.45	4.94	8.18	21.13	5.70	5.76	0.08	0.00	43.24
B	1.00	2.88	2.27	2.26	5.01	14.83	4.79	0.00	0.00	66.96
CCC	0.27	2.18	0.78	0.84	1.12	2.13	15.91	0.00	0.00	76.78
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.52	0.00	93.48
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 33

U.S. CMBS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	89.15	1.67	0.33	0.00	0.08	0.00	0.08	0.00	0.00	0.00	8.68
AA	0.00	86.88	3.01	1.08	0.22	0.43	0.00	0.00	0.00	0.00	8.39
A	0.00	0.00	77.95	8.70	2.80	0.93	0.93	0.00	0.00	0.93	7.76
BBB	0.00	0.00	0.00	79.00	10.68	2.49	0.71	0.00	0.00	0.36	6.76
BB	0.00	0.00	0.00	0.00	62.34	18.83	3.90	0.00	0.00	1.30	13.64
B	0.00	0.00	0.00	0.00	0.00	71.08	14.46	0.00	0.00	8.43	6.02
CCC	0.00	0.00	0.00	0.00	0.00	0.00	81.44	0.00	0.00	16.49	2.06
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	83.89	0.83	0.64	0.49	0.28	0.13	0.01	0.00	0.00	0.02	13.70
AA	5.74	75.90	2.15	1.49	1.26	1.05	0.14	0.00	0.00	0.06	12.21
A	2.02	5.58	74.69	3.67	1.95	1.98	0.57	0.00	0.00	0.08	9.47
BBB	0.70	1.81	3.90	73.87	4.75	3.68	2.10	0.02	0.00	0.36	8.81
BB	0.26	0.62	0.65	3.04	73.82	7.71	5.93	0.10	0.05	1.67	6.15
B	0.06	0.28	0.33	0.41	1.77	71.90	13.71	0.11	0.00	6.81	4.63
CCC	0.02	0.13	0.13	0.21	0.62	1.64	54.16	0.60	0.00	37.43	5.08
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	47.83	2.17
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	68.72	1.35	1.22	1.00	0.56	0.24	0.09	0.00	0.00	0.08	26.75
AA	9.53	55.02	3.30	2.57	2.50	2.27	0.45	0.00	0.00	0.38	23.97
A	3.65	9.38	53.27	5.37	3.59	3.87	1.36	0.05	0.00	0.54	18.92
BBB	1.41	3.18	6.67	51.58	6.49	5.85	4.91	0.09	0.00	1.99	17.84
BB	0.57	0.95	1.03	5.29	52.88	10.80	9.53	0.23	0.05	6.37	12.29
B	0.14	0.49	0.53	0.69	3.01	50.25	17.61	0.16	0.00	17.55	9.57
CCC	0.03	0.26	0.24	0.37	0.93	2.81	27.51	0.74	0.00	57.17	9.94
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	13.04	0.00	82.61	4.35
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	55.28	1.61	1.44	1.17	0.67	0.32	0.23	0.00	0.00	0.19	39.09
AA	11.58	39.49	3.75	3.12	2.99	2.71	1.06	0.01	0.00	1.04	34.25
A	5.31	11.05	37.46	5.86	4.14	4.17	2.31	0.18	0.00	1.81	27.72
BBB	2.19	4.26	7.93	35.91	6.67	5.90	6.07	0.19	0.00	5.17	25.71
BB	0.79	1.16	1.36	6.71	37.93	10.92	9.38	0.29	0.06	13.17	18.23
B	0.22	0.67	0.59	0.78	3.55	36.15	15.34	0.11	0.00	28.58	14.00
CCC	0.05	0.55	0.41	0.52	1.01	2.97	14.80	0.31	0.00	65.67	13.73
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.48	6.52
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	43.51	1.78	1.37	1.10	0.62	0.46	0.29	0.00	0.00	0.35	50.53
AA	12.07	28.19	3.84	3.31	2.73	2.67	1.90	0.02	0.00	1.77	43.50
A	6.22	11.04	27.03	5.68	4.09	3.59	2.99	0.19	0.00	3.44	35.72
BBB	2.57	4.85	7.96	25.47	6.19	5.16	5.94	0.16	0.00	8.76	32.94
BB	0.92	1.28	1.61	7.08	27.81	9.77	7.86	0.18	0.06	19.77	23.64
B	0.29	0.73	0.54	0.72	3.63	26.38	11.64	0.05	0.00	38.24	17.77
CCC	0.07	0.76	0.49	0.58	0.82	2.59	7.65	0.03	0.00	70.09	16.92
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.48	6.52
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	33.33	1.76	1.19	0.96	0.55	0.59	0.28	0.00	0.00	0.49	60.85
AA	11.43	19.39	3.73	3.16	2.39	2.75	2.22	0.00	0.00	2.57	52.36
A	6.63	10.21	18.96	4.98	3.62	3.13	3.23	0.07	0.00	4.99	44.18
BBB	2.68	5.31	7.44	17.73	5.40	4.45	5.22	0.11	0.00	11.92	39.75
BB	0.87	1.40	1.74	6.92	20.06	8.27	6.73	0.10	0.06	25.23	28.62
B	0.28	0.74	0.50	0.63	3.45	18.62	8.91	0.03	0.00	45.91	20.93
CCC	0.08	0.78	0.48	0.51	0.53	1.85	4.02	0.00	0.00	72.19	19.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.48	6.52
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	2.66	0.34	0.14	0.08	0.16	0.19	0.04	0.00	0.00	1.03	95.36
AA	1.40	2.58	1.03	0.66	0.57	0.86	0.54	0.00	0.00	6.29	86.06
A	1.25	2.17	2.29	1.52	1.10	1.10	0.65	0.00	0.00	10.34	79.58
BBB	0.99	1.84	1.62	2.81	1.28	1.34	1.23	0.00	0.00	20.70	68.18
BB	0.34	1.12	1.25	2.15	3.09	2.22	1.89	0.00	0.00	43.24	44.70
B	0.20	0.41	0.35	0.28	1.15	2.92	1.62	0.00	0.00	66.96	26.12
CCC	0.00	0.06	0.04	0.04	0.02	0.15	0.17	0.00	0.00	76.78	22.75
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.48	6.52
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Europe

Table 34

European structured finance cumulative default rates, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.11	0.27	0.49	0.77	1.05	1.27	1.43	1.51	1.58	1.63
AA	0.10	0.26	0.57	0.95	1.52	1.95	2.26	2.45	2.56	2.68
A	0.11	0.33	0.65	1.01	1.48	1.94	2.35	2.62	2.80	2.97
BBB	0.24	0.70	1.35	2.16	3.18	4.09	4.86	5.42	5.85	6.25
BB	0.51	1.55	2.92	4.28	5.49	6.53	7.49	8.22	8.77	9.28
B	1.80	4.24	6.81	9.23	11.15	12.17	12.83	13.31	13.55	13.66
CCC	10.34	18.64	24.44	28.38	29.96	30.99	31.70	32.21	32.63	32.79
CC	29.31	45.27	55.59	58.08	58.67	59.13	59.48	59.85	60.28	60.28
IG	0.13	0.36	0.70	1.12	1.65	2.09	2.45	2.68	2.85	3.01
SG	4.28	8.09	11.26	13.65	15.14	16.16	16.95	17.55	17.98	18.29
Overall	0.92	1.83	2.70	3.48	4.19	4.73	5.17	5.47	5.69	5.86
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 35

European structured finance cumulative default rates by rating modifier, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.11	0.27	0.49	0.77	1.05	1.27	1.43	1.51	1.58	1.63
AA+	0.13	0.21	0.33	0.53	0.62	0.87	1.07	1.14	1.14	1.14
AA	0.09	0.31	0.72	1.18	1.93	2.53	2.96	3.24	3.43	3.61
AA-	0.08	0.14	0.33	0.61	1.03	1.12	1.19	1.22	1.22	1.24
A+	0.13	0.32	0.62	0.78	1.04	1.32	1.51	1.65	1.74	1.79
A	0.11	0.36	0.71	1.15	1.77	2.41	2.96	3.29	3.52	3.73
A-	0.08	0.27	0.50	0.85	1.16	1.33	1.59	1.78	1.94	2.11
BBB+	0.20	0.59	1.02	1.30	1.73	2.18	2.57	2.89	3.17	3.30
BBB	0.13	0.45	1.01	1.78	2.83	3.74	4.48	4.99	5.42	5.90
BBB-	0.59	1.56	2.69	4.19	5.72	7.05	8.26	9.21	9.76	10.18
BB+	0.31	1.12	1.88	2.33	2.67	3.10	3.59	3.90	4.15	4.36
BB	0.62	1.68	3.20	4.83	6.42	7.80	9.14	10.11	10.70	11.25
BB-	0.52	1.81	3.67	5.71	7.21	8.30	9.01	9.74	10.65	11.41
B+	0.80	2.60	3.73	4.76	5.94	6.58	6.91	6.91	6.91	6.91
B	2.22	4.88	8.02	10.09	11.96	12.95	13.87	14.73	15.13	15.36
B-	2.05	4.70	7.72	11.29	13.77	15.10	15.77	16.30	16.59	16.68
CCC+	2.25	5.04	7.47	11.90	13.89	15.18	15.84	16.42	16.67	16.95
CCC	8.22	15.01	18.39	21.70	23.62	24.68	24.80	24.92	25.21	25.21
CCC-	13.08	23.24	30.58	34.55	35.94	36.89	37.75	38.33	38.82	38.98
CC	29.31	45.27	55.59	58.08	58.67	59.13	59.48	59.85	60.28	60.28
IG	0.13	0.36	0.70	1.12	1.65	2.09	2.45	2.68	2.85	3.01
SG	4.28	8.09	11.26	13.65	15.14	16.16	16.95	17.55	17.98	18.29
Overall	0.92	1.83	2.70	3.48	4.19	4.73	5.17	5.47	5.69	5.86
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 36

European structured finance one-year default rates, 1983-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1983	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1985	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.22	0.00	16.67	0.00	0.00	0.00	0.00	33.33	0.00	N/A	N/A
1999	0.19	0.00	9.09	0.00	0.00	0.00	0.00	0.00	0.00	N/A	100.00
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.10	0.10	0.00	0.00	0.00	0.00	0.68	0.00	0.00	N/A	N/A
2002	0.37	0.13	4.08	0.00	0.00	0.00	0.75	2.15	50.00	33.33	N/A
2003	0.33	0.00	4.42	0.00	0.00	0.00	0.00	0.00	0.00	30.00	66.67
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2006	0.06	0.00	0.99	0.00	0.00	0.00	0.00	0.00	0.00	8.33	100.00
2007	0.16	0.14	0.53	0.10	0.27	0.00	0.21	0.00	6.25	0.00	N/A
2008	0.53	0.52	0.76	0.55	0.32	0.50	0.70	0.15	2.67	6.25	0.00
2009	1.04	0.24	5.21	0.08	0.29	0.58	0.22	0.57	3.76	13.71	11.11
2010	1.82	0.20	6.44	0.00	0.24	0.26	0.49	1.59	3.34	11.42	16.49
2011	2.10	0.24	6.26	0.28	0.08	0.00	0.63	1.41	2.86	11.38	21.09
2012	2.34	0.20	7.01	0.09	0.14	0.12	0.55	1.05	2.68	7.66	54.84
2013	2.45	0.07	7.35	0.00	0.00	0.13	0.11	0.95	2.49	13.13	48.57
2014	1.64	0.00	5.10	0.00	0.00	0.00	0.00	0.00	2.92	9.78	45.83
2015	0.67	0.00	2.24	0.00	0.00	0.00	0.00	0.00	1.45	4.47	17.14
2016	1.33	0.03	4.59	0.00	0.00	0.00	0.14	0.23	1.02	11.85	31.71
2017	1.04	0.00	3.97	0.00	0.00	0.00	0.00	0.25	0.75	14.11	10.81
2018	0.72	0.00	2.98	0.00	0.00	0.00	0.00	0.00	0.00	12.64	8.57
2019	0.75	0.00	3.44	0.00	0.00	0.00	0.00	0.00	0.00	13.79	26.67
2020	0.25	0.11	0.79	0.00	0.00	0.00	0.65	0.00	0.40	2.38	8.00
2021	0.19	0.00	0.94	0.00	0.00	0.00	0.00	0.00	1.28	3.75	0.00
2022	0.07	0.00	0.31	0.00	0.00	0.00	0.00	0.00	0.24	0.00	7.69
2023	0.11	0.03	0.38	0.00	0.00	0.10	0.00	0.00	0.00	2.74	8.33
Weighted average	0.92	0.13	4.28	0.11	0.10	0.11	0.24	0.51	1.80	10.34	29.31
Median	0.10	0.00	2.24	0.00	0.00	0.00	0.00	0.00	0.24	9.06	16.49
Standard deviation	0.70	0.10	3.77	0.10	0.09	0.14	0.27	6.38	9.21	8.76	30.77
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	2.45	0.52	16.67	0.55	0.32	0.58	0.75	33.33	50.00	33.33	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 37

European structured finance rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.43	0.57	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	4.41	94.47	1.13	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.49	8.98	89.73	0.59	0.00	0.10	0.00	0.00	0.00	0.10
BBB	0.15	0.88	9.28	88.66	1.03	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.21	1.44	3.90	93.22	1.23	0.00	0.00	0.00	0.00
B	0.00	0.00	0.64	1.29	3.00	94.42	0.43	0.21	0.00	0.00
CCC	0.00	0.00	1.37	0.00	0.00	1.37	94.52	0.00	0.00	2.74
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.67	0.00	8.33
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	90.71	5.14	2.18	0.82	0.39	0.26	0.39	0.01	0.00	0.11
AA	4.94	84.01	6.68	2.19	0.81	0.50	0.73	0.03	0.00	0.10
A	0.82	5.59	86.20	4.34	1.76	0.55	0.59	0.05	0.00	0.11
BBB	0.24	1.18	6.65	81.21	5.50	2.61	2.27	0.10	0.00	0.24
BB	0.21	0.17	1.18	7.75	75.81	8.82	5.37	0.18	0.00	0.51
B	0.04	0.08	0.22	1.60	8.04	78.20	9.59	0.42	0.01	1.80
CCC	0.02	0.02	0.02	0.35	1.17	6.31	77.08	4.71	0.00	10.34
CC	0.00	0.00	0.00	0.00	0.12	0.59	1.06	68.68	0.24	29.31
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	82.53	8.39	4.75	1.57	0.72	0.44	1.26	0.06	0.00	0.27
AA	8.82	72.40	10.49	3.68	1.46	0.76	1.98	0.15	0.00	0.27
A	2.00	9.32	75.97	6.45	3.20	1.30	1.30	0.13	0.00	0.33
BBB	0.64	2.65	10.95	67.55	8.45	4.93	3.81	0.32	0.00	0.71
BB	0.51	0.60	2.98	12.79	58.82	13.42	8.92	0.35	0.02	1.58
B	0.07	0.23	0.71	3.80	13.04	63.78	13.14	0.85	0.01	4.36
CCC	0.00	0.05	0.03	0.82	2.57	9.93	61.75	6.10	0.02	18.72
CC	0.00	0.00	0.00	0.12	0.24	1.34	1.34	50.97	0.24	45.74
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	75.84	10.84	7.02	2.14	1.13	0.67	1.76	0.12	0.00	0.50
AA	11.38	63.98	13.24	4.62	1.93	1.24	2.79	0.23	0.00	0.59
A	3.44	10.77	69.22	7.79	4.12	1.93	1.83	0.24	0.00	0.66
BBB	1.22	4.20	12.76	58.32	9.82	6.62	5.12	0.56	0.01	1.38
BB	0.79	1.39	4.90	14.82	47.89	15.33	11.14	0.69	0.03	3.02
B	0.12	0.49	1.46	6.09	15.04	54.72	13.76	1.12	0.02	7.18
CCC	0.00	0.10	0.24	1.37	3.67	10.57	53.54	5.77	0.03	24.70
CC	0.00	0.00	0.13	0.25	0.38	1.51	1.01	39.70	0.25	56.78
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	71.16	12.13	8.82	2.62	1.48	0.96	1.87	0.17	0.00	0.79
AA	13.23	58.09	15.20	4.95	2.27	1.74	3.19	0.34	0.00	0.99
A	4.59	11.58	64.76	8.50	4.52	2.44	2.18	0.38	0.00	1.05
BBB	2.08	5.17	13.52	52.60	10.10	7.50	6.07	0.72	0.01	2.23
BB	1.13	2.30	6.60	15.39	41.30	15.72	11.92	1.10	0.05	4.49
B	0.21	0.92	2.45	7.93	15.88	48.68	12.97	1.08	0.02	9.87
CCC	0.02	0.14	0.50	1.84	4.70	10.94	48.71	4.27	0.03	28.86
CC	0.00	0.00	0.26	0.26	0.52	1.82	0.78	35.58	0.26	60.52
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	68.37	12.50	10.03	3.08	1.71	1.14	1.94	0.15	0.00	1.08
AA	14.52	54.30	16.50	4.90	2.59	2.09	3.23	0.27	0.00	1.59
A	5.59	12.13	61.75	8.85	4.40	2.83	2.47	0.40	0.00	1.56
BBB	2.84	5.67	13.94	49.38	9.71	7.85	6.59	0.71	0.02	3.29
BB	1.68	3.19	7.97	14.96	37.58	15.36	12.14	1.24	0.08	5.81
B	0.35	1.41	3.47	9.10	16.43	44.27	11.86	0.94	0.02	12.14
CCC	0.03	0.23	0.70	2.45	5.38	11.15	45.26	4.02	0.03	30.75
CC	0.00	0.00	0.27	0.27	0.94	1.74	0.54	33.69	0.27	62.28
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	65.30	11.98	12.39	3.49	1.73	1.10	2.08	0.12	0.00	1.82
AA	15.88	48.87	18.37	5.08	2.86	2.11	3.47	0.15	0.00	3.19
A	8.05	12.83	55.46	9.04	4.06	3.43	2.96	0.45	0.00	3.72
BBB	3.76	5.51	14.29	45.97	8.45	7.05	6.65	0.86	0.04	7.43
BB	2.79	3.35	8.42	13.95	32.70	14.95	10.83	1.37	0.19	11.47
B	0.97	2.12	5.04	9.59	15.57	33.75	12.10	0.91	0.03	19.93
CCC	0.09	0.29	0.93	2.68	6.08	10.96	39.97	4.49	0.05	34.46
CC	0.00	0.00	0.35	0.00	1.06	1.06	0.00	26.46	0.35	70.72
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 38

European structured finance rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	82.65	0.57	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	16.78
AA	3.66	86.21	1.13	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.01
A	0.49	8.00	82.03	0.59	0.00	0.10	0.00	0.00	0.00	0.10	8.69
BBB	0.15	0.74	8.84	82.62	1.03	0.00	0.00	0.00	0.00	0.00	6.63
BB	0.00	0.21	1.03	3.70	89.12	1.23	0.00	0.00	0.00	0.00	4.72
B	0.00	0.00	0.21	1.29	2.79	92.70	0.43	0.21	0.00	0.00	2.36
CCC	0.00	0.00	0.00	0.00	0.00	1.37	84.93	0.00	0.00	2.74	10.96
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.33	0.00	8.33	8.33
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	74.60	4.81	1.99	0.75	0.36	0.25	0.35	0.01	0.00	0.11	16.79
AA	4.19	71.20	6.19	2.06	0.76	0.46	0.67	0.03	0.00	0.10	14.34
A	0.65	5.07	74.86	4.10	1.70	0.51	0.55	0.04	0.00	0.11	12.40
BBB	0.15	1.03	6.11	70.88	5.22	2.52	2.14	0.09	0.00	0.24	11.64
BB	0.14	0.08	0.89	7.25	66.32	8.55	5.13	0.16	0.00	0.51	10.97
B	0.04	0.07	0.16	1.33	7.33	69.01	8.88	0.42	0.00	1.80	10.96
CCC	0.02	0.02	0.00	0.28	1.01	5.78	64.15	4.21	0.00	10.34	14.20
CC	0.00	0.00	0.00	0.00	0.12	0.35	0.95	61.11	0.00	29.31	8.16
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	52.47	7.25	4.01	1.28	0.59	0.38	1.04	0.05	0.00	0.27	32.66
AA	5.70	49.19	9.10	3.18	1.25	0.64	1.67	0.14	0.00	0.27	28.88
A	1.27	7.32	55.07	5.69	3.00	1.17	1.17	0.11	0.00	0.33	24.86
BBB	0.28	1.82	8.95	48.66	7.60	4.59	3.24	0.24	0.00	0.71	23.91
BB	0.25	0.34	2.16	10.66	42.06	12.16	7.79	0.26	0.00	1.58	22.74
B	0.06	0.20	0.40	2.90	10.30	47.47	11.24	0.81	0.00	4.36	22.26
CCC	0.00	0.03	0.02	0.55	1.86	7.99	40.66	5.23	0.00	18.72	24.94
CC	0.00	0.00	0.00	0.12	0.24	0.85	1.09	38.81	0.00	45.74	13.14
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	34.44	8.57	5.51	1.51	0.83	0.51	1.28	0.10	0.00	0.50	46.74
AA	5.38	32.40	10.60	3.61	1.50	0.96	2.02	0.19	0.00	0.59	42.75
A	1.71	6.87	40.25	6.39	3.67	1.67	1.46	0.19	0.00	0.66	37.12
BBB	0.51	2.54	8.89	32.55	8.24	5.87	4.02	0.44	0.00	1.38	35.55
BB	0.28	0.83	3.44	10.62	25.81	12.84	9.09	0.54	0.00	3.02	33.54
B	0.11	0.37	0.83	4.31	10.06	33.03	10.36	1.06	0.00	7.18	32.70
CCC	0.00	0.07	0.15	0.69	2.22	7.00	26.81	4.40	0.00	24.70	33.95
CC	0.00	0.00	0.00	0.25	0.38	0.88	0.75	24.87	0.00	56.78	16.08
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	21.68	8.68	6.42	1.61	0.99	0.68	1.03	0.14	0.00	0.79	57.99
AA	4.55	20.95	11.12	3.36	1.55	1.25	1.85	0.29	0.00	0.99	54.10
A	1.71	5.88	29.78	6.40	3.73	1.94	1.48	0.30	0.00	1.05	47.73
BBB	0.73	2.55	7.80	22.13	7.80	6.25	4.43	0.56	0.00	2.23	45.53
BB	0.35	1.44	4.25	9.20	16.22	12.11	9.02	0.86	0.00	4.49	42.07
B	0.16	0.55	1.55	5.05	8.75	23.64	8.28	1.00	0.00	9.87	41.13
CCC	0.02	0.09	0.24	0.69	2.35	5.75	18.21	2.37	0.00	28.86	41.43
CC	0.00	0.00	0.00	0.26	0.26	1.04	0.39	19.09	0.00	60.52	18.44
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	12.97	7.74	6.62	1.60	0.98	0.70	0.75	0.10	0.00	1.08	67.46
AA	3.31	12.99	10.95	2.68	1.55	1.32	1.39	0.21	0.00	1.59	64.00
A	1.56	4.75	22.03	6.10	3.20	2.00	1.33	0.29	0.00	1.56	57.17
BBB	0.89	2.15	6.54	15.49	6.73	6.10	4.33	0.48	0.00	3.29	54.00
BB	0.44	1.88	4.65	6.66	10.22	10.90	8.42	0.92	0.00	5.81	50.11
B	0.27	0.71	2.12	5.08	7.65	16.52	5.92	0.76	0.00	12.14	48.83
CCC	0.03	0.14	0.24	0.75	2.11	4.42	12.44	1.81	0.00	30.75	47.31
CC	0.00	0.00	0.00	0.27	0.40	0.81	0.00	16.51	0.00	62.28	19.73
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	2.15	2.43	3.72	0.63	0.25	0.21	0.11	0.03	0.00	1.82	88.66
AA	1.05	3.00	5.49	1.08	0.49	0.31	0.38	0.05	0.00	3.19	84.94
A	0.49	1.97	7.62	2.84	1.14	0.95	0.60	0.13	0.00	3.72	80.52
BBB	0.18	0.86	3.98	4.84	2.52	2.46	1.77	0.31	0.00	7.43	75.65
BB	0.21	0.48	2.64	1.84	2.11	4.57	2.85	0.56	0.00	11.47	73.27
B	0.47	0.84	1.80	2.53	3.11	5.41	1.78	0.26	0.00	19.93	63.87
CCC	0.02	0.02	0.00	0.02	0.32	1.07	1.81	1.25	0.00	34.46	61.03
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.05	0.00	70.72	22.22
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.

Other regions

Table 39

Other region structured finance cumulative default rates, conditional on survival, 1987-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.06	0.11	0.14	0.16	0.16	0.16	0.16	0.16	0.16
AA	0.09	0.30	0.64	0.87	1.08	1.22	1.26	1.27	1.27	1.27
A	0.23	0.56	0.90	1.19	1.44	1.53	1.60	1.66	1.68	1.71
BBB	0.17	0.61	1.37	2.27	3.01	3.49	3.68	3.79	3.81	3.81
BB	0.07	0.87	2.14	4.03	5.79	6.58	7.07	7.36	7.36	7.36
B	0.80	3.40	6.36	8.46	9.25	9.50	9.50	9.50	9.50	9.50
CCC	23.17	37.74	43.15	44.68	44.99	45.14	45.30	45.30	45.30	45.30
CC	44.59	58.45	64.18	65.97	67.76	69.55	69.55	69.55	69.55	69.55
IG	0.08	0.21	0.41	0.59	0.74	0.82	0.86	0.88	0.88	0.88
SG	4.25	7.90	10.42	12.32	13.55	14.07	14.34	14.48	14.48	14.48
Overall	0.44	0.87	1.25	1.55	1.78	1.90	1.95	1.98	1.98	1.98
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 40

Other region structured finance cumulative default rates by rating modifier, conditional on survival, 1987-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.06	0.11	0.14	0.16	0.16	0.16	0.16	0.16	0.16
AA+	0.00	0.30	0.74	0.85	0.85	0.85	0.85	0.85	0.85	0.85
AA	0.13	0.37	0.80	1.15	1.53	1.77	1.85	1.87	1.87	1.87
AA-	0.06	0.21	0.41	0.50	0.56	0.59	0.59	0.59	0.59	0.59
A+	0.14	0.66	0.97	1.30	1.48	1.58	1.58	1.58	1.58	1.58
A	0.11	0.36	0.72	1.02	1.31	1.44	1.54	1.65	1.65	1.68
A-	0.75	1.13	1.43	1.63	1.83	1.83	1.83	1.83	1.94	1.94
BBB+	0.43	0.69	1.51	1.97	2.35	2.55	2.55	2.65	2.77	2.77
BBB	0.09	0.39	0.93	1.80	2.59	3.11	3.40	3.51	3.51	3.51
BBB-	0.18	1.21	2.55	4.02	5.02	5.63	5.74	5.84	5.84	5.84
BB+	0.15	0.78	1.45	2.72	4.06	4.65	5.05	5.05	5.05	5.05
BB	0.00	0.59	1.69	3.37	5.07	6.01	6.73	7.16	7.16	7.16
BB-	0.15	1.70	4.37	7.88	10.48	11.07	11.07	11.37	11.37	11.37
B+	0.42	2.68	4.46	6.75	8.09	8.43	8.43	8.43	8.43	8.43
B	0.50	2.18	4.67	6.68	7.38	7.56	7.56	7.56	7.56	7.56
B-	1.73	6.18	10.88	12.94	13.45	13.71	13.71	13.71	13.71	13.71
CCC+	4.49	11.66	12.99	15.73	15.73	15.73	16.41	16.41	16.41	16.41
CCC	32.13	61.28	73.89	75.22	75.22	75.66	75.66	75.66	75.66	75.66
CCC-	26.29	33.93	35.88	36.92	37.61	37.61	37.61	37.61	37.61	37.61
CC	44.59	58.45	64.18	65.97	67.76	69.55	69.55	69.55	69.55	69.55
IG	0.08	0.21	0.41	0.59	0.74	0.82	0.86	0.88	0.88	0.88
SG	4.25	7.90	10.42	12.32	13.55	14.07	14.34	14.48	14.48	14.48
Overall	0.44	0.87	1.25	1.55	1.78	1.90	1.95	1.98	1.98	1.98
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 41

Other region structured finance one-year default rates, 1987-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1987	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2002	0.38	0.00	14.29	0.00	0.00	0.00	0.00	0.00	7.14	55.56	50.00
2003	0.16	0.00	5.26	0.00	0.00	0.00	0.00	0.00	0.00	0.00	66.67
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2008	0.87	0.93	0.00	0.36	0.80	2.27	1.85	0.00	0.00	N/A	N/A
2009	1.08	0.15	7.61	0.06	0.30	0.41	0.00	0.00	1.41	28.16	71.43
2010	1.47	0.00	9.67	0.00	0.00	0.00	0.00	0.52	4.05	23.64	36.36
2011	1.20	0.12	7.30	0.22	0.00	0.00	0.00	0.00	2.14	19.29	33.33
2012	1.94	0.00	14.77	0.00	0.00	0.00	0.00	0.00	0.00	39.62	75.00
2013	1.00	0.00	9.30	0.00	0.00	0.00	0.00	0.00	1.00	43.14	14.29
2014	0.74	0.00	7.92	0.00	0.00	0.00	0.00	0.00	0.00	32.50	50.00
2015	0.15	0.00	1.95	0.00	0.00	0.00	0.00	0.00	1.75	0.00	50.00
2016	0.11	0.00	1.44	0.00	0.00	0.00	0.00	0.00	0.00	5.26	100.00
2017	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2018	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
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	N/A	N/A
2021	0.10	0.00	0.71	0.00	0.00	0.00	0.00	0.00	0.00	10.00	0.00
2022	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2023	0.04	0.00	0.18	0.00	0.00	0.00	0.00	0.32	0.00	0.00	0.00
Weighted average	0.44	0.08	4.25	0.03	0.09	0.23	0.17	0.07	0.80	23.17	44.59
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.18
Standard deviation	0.49	0.16	4.63	0.07	0.14	0.39	0.35	0.11	1.60	17.48	32.74
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	1.94	0.93	14.77	0.36	0.80	2.27	1.85	0.52	7.14	55.56	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 42

Other region structured finance rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.91	0.09	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	13.41	86.59	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.40	13.49	85.71	0.40	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	11.93	88.07	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	6.15	89.97	3.24	0.32	0.00	0.00	0.32
B	0.00	0.00	0.00	0.00	7.88	90.15	1.97	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	3.03	87.88	9.09	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	98.89	0.61	0.21	0.14	0.08	0.01	0.03	0.00	0.00	0.03
AA	8.31	87.12	2.75	0.87	0.18	0.27	0.39	0.01	0.00	0.09
A	2.39	7.95	84.37	3.68	0.58	0.44	0.35	0.02	0.00	0.23
BBB	0.56	1.17	7.32	85.00	3.04	1.19	1.47	0.09	0.00	0.17
BB	0.21	0.43	0.96	6.45	85.19	3.69	2.83	0.18	0.00	0.07
B	0.06	0.29	0.29	1.15	5.91	82.91	8.31	0.29	0.00	0.80
CCC	0.00	0.13	0.00	0.00	1.03	7.46	64.48	3.73	0.00	23.17
CC	0.00	0.00	0.00	0.00	1.35	2.70	2.70	47.30	1.35	44.59
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Two-year weighted average
AAA	98.08	0.87	0.37	0.35	0.12	0.04	0.11	0.00	0.00	0.06
AA	14.82	77.78	4.21	1.11	0.40	0.36	0.97	0.04	0.00	0.30
A	5.68	13.00	72.82	4.91	1.24	0.57	1.13	0.07	0.00	0.57
BBB	1.51	2.52	12.69	73.98	3.79	2.23	2.43	0.22	0.00	0.62
BB	0.56	1.11	2.11	11.62	74.05	4.30	5.01	0.40	0.00	0.84
B	0.13	0.78	0.91	2.73	10.58	72.23	8.37	0.78	0.00	3.50
CCC	0.00	0.13	0.00	0.13	1.88	11.96	44.62	2.69	0.00	38.58
CC	0.00	0.00	0.00	0.00	2.74	5.48	4.11	27.40	1.37	58.90
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	97.46	1.06	0.51	0.49	0.13	0.07	0.14	0.00	0.00	0.12
AA	18.50	72.10	5.29	1.31	0.47	0.34	1.30	0.05	0.00	0.65
A	9.02	14.32	66.26	5.53	1.56	0.70	1.63	0.05	0.00	0.93
BBB	2.68	3.83	14.88	67.28	4.61	2.28	2.91	0.13	0.00	1.40
BB	1.01	1.71	3.19	13.61	68.18	3.98	5.43	0.70	0.00	2.19
B	0.22	1.37	1.87	3.74	10.86	67.22	7.26	0.65	0.00	6.83
CCC	0.00	0.14	0.00	0.70	2.24	14.31	34.78	2.24	0.14	45.44
CC	0.00	0.00	0.00	0.00	4.17	5.56	4.17	20.83	0.00	65.28
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	97.00	1.27	0.63	0.57	0.14	0.08	0.17	0.01	0.00	0.15
AA	20.29	68.91	6.21	1.49	0.49	0.35	1.30	0.06	0.00	0.89
A	12.06	13.71	62.33	6.34	1.79	0.68	1.79	0.04	0.00	1.26
BBB	4.00	4.80	15.31	63.33	5.29	2.18	2.55	0.18	0.02	2.35
BB	1.51	2.31	4.11	13.32	64.86	4.06	4.96	0.61	0.00	4.25
B	0.31	2.00	2.77	4.30	10.45	64.26	6.07	0.46	0.00	9.38
CCC	0.00	0.14	0.43	1.15	2.45	13.85	32.47	1.59	0.00	47.91
CC	0.00	0.00	0.00	0.00	4.48	5.97	4.48	13.43	0.00	71.64
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	96.67	1.42	0.73	0.61	0.14	0.10	0.16	0.00	0.00	0.17
AA	21.20	67.06	6.76	1.59	0.66	0.36	1.13	0.11	0.00	1.13
A	14.85	12.33	59.86	6.97	2.02	0.70	1.67	0.04	0.00	1.56
BBB	5.61	5.39	14.65	61.26	5.19	2.37	2.13	0.22	0.00	3.16
BB	1.95	2.90	4.90	12.41	63.06	4.15	4.05	0.30	0.00	6.26
B	0.39	2.59	3.45	5.02	9.73	61.73	6.43	0.31	0.00	10.35
CCC	0.00	0.14	1.01	1.15	2.45	13.42	32.32	1.30	0.00	48.20
CC	0.00	0.00	0.00	0.00	4.48	5.97	4.48	11.94	0.00	73.13
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	95.53	1.97	1.01	0.83	0.17	0.11	0.18	0.00	0.00	0.21
AA	21.76	63.77	7.66	2.19	1.44	0.50	1.14	0.03	0.00	1.51
A	19.91	11.29	54.15	7.89	1.81	0.85	1.86	0.00	0.00	2.24
BBB	11.25	5.54	13.49	55.37	5.22	2.61	1.89	0.12	0.00	4.50
BB	2.86	4.88	6.58	11.21	57.10	3.96	3.84	0.18	0.00	9.38
B	0.92	4.59	5.32	7.16	8.53	55.14	5.87	0.18	0.00	12.29
CCC	0.00	0.16	1.56	1.09	2.19	7.34	34.38	1.09	0.00	52.19
CC	0.00	0.00	0.00	0.00	3.23	6.45	4.84	11.29	0.00	74.19
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 43

Other region structured finance rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	71.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	28.67
AA	12.60	69.11	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	18.29
A	0.00	12.70	68.65	0.40	0.00	0.00	0.00	0.00	0.00	0.00	18.25
BBB	0.00	0.00	11.47	72.48	0.00	0.00	0.00	0.00	0.00	0.00	16.06
BB	0.00	0.00	0.00	6.15	73.46	2.59	0.32	0.00	0.00	0.32	17.15
B	0.00	0.00	0.00	0.00	6.40	73.89	1.97	0.00	0.00	0.00	17.73
CCC	0.00	0.00	0.00	0.00	0.00	3.03	48.48	6.06	0.00	0.00	42.42
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	80.54	0.58	0.19	0.13	0.07	0.01	0.03	0.00	0.00	0.03	18.42
AA	7.46	73.64	2.60	0.79	0.18	0.27	0.39	0.01	0.00	0.09	14.55
A	1.74	7.53	69.85	3.39	0.53	0.44	0.35	0.02	0.00	0.23	15.92
BBB	0.38	1.00	6.71	70.52	2.60	1.05	1.34	0.07	0.00	0.17	16.15
BB	0.14	0.32	0.67	6.06	70.34	3.40	2.48	0.14	0.00	0.07	16.37
B	0.06	0.23	0.17	0.97	4.93	69.09	7.51	0.29	0.00	0.80	15.94
CCC	0.00	0.00	0.00	0.00	0.77	5.79	44.79	3.47	0.00	23.17	22.01
CC	0.00	0.00	0.00	0.00	1.35	0.00	2.70	36.49	1.35	44.59	13.51
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	63.30	0.75	0.26	0.31	0.09	0.03	0.08	0.00	0.00	0.06	35.12
AA	11.59	53.46	3.58	0.87	0.38	0.35	0.85	0.04	0.00	0.30	28.58
A	3.62	10.71	47.04	3.58	1.01	0.54	0.96	0.07	0.00	0.57	31.90
BBB	0.82	1.74	10.13	48.53	2.67	1.82	1.92	0.20	0.00	0.62	31.55
BB	0.20	0.60	1.07	8.99	47.51	3.54	3.90	0.28	0.00	0.84	33.07
B	0.06	0.32	0.45	1.69	6.81	49.06	6.04	0.78	0.00	3.50	31.28
CCC	0.00	0.00	0.00	0.13	1.34	6.45	18.41	2.28	0.00	38.58	32.80
CC	0.00	0.00	0.00	0.00	2.74	0.00	4.11	13.70	1.37	58.90	19.18
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	48.00	0.78	0.28	0.39	0.07	0.04	0.08	0.00	0.00	0.12	50.24
AA	12.12	38.69	4.05	0.83	0.34	0.31	0.95	0.05	0.00	0.65	42.01
A	4.98	9.79	31.54	3.12	1.11	0.60	1.04	0.05	0.00	0.93	46.84
BBB	1.26	2.34	10.01	33.26	2.59	1.43	2.06	0.13	0.00	1.40	45.52
BB	0.18	0.48	1.18	8.18	32.74	2.71	3.85	0.48	0.00	2.19	48.01
B	0.07	0.36	0.58	1.51	3.88	37.17	4.03	0.65	0.00	6.83	44.93
CCC	0.00	0.00	0.00	0.56	1.26	4.07	5.05	1.82	0.14	45.44	41.65
CC	0.00	0.00	0.00	0.00	2.78	0.00	4.17	4.17	0.00	65.28	23.61
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	35.02	0.80	0.28	0.38	0.05	0.03	0.08	0.01	0.00	0.15	63.21
AA	11.14	27.75	4.16	0.74	0.25	0.26	0.69	0.06	0.00	0.89	54.07
A	6.47	7.51	20.51	2.74	1.04	0.44	0.82	0.04	0.00	1.26	59.17
BBB	1.88	2.65	8.47	22.97	2.39	0.80	1.41	0.16	0.02	2.35	56.90
BB	0.14	0.33	1.42	5.95	23.19	2.17	2.83	0.38	0.00	4.25	59.33
B	0.08	0.38	0.61	1.00	1.84	30.05	1.84	0.46	0.00	9.38	54.34
CCC	0.00	0.00	0.00	0.87	0.87	1.44	1.59	0.72	0.00	47.91	46.61
CC	0.00	0.00	0.00	0.00	1.49	0.00	2.99	2.99	0.00	71.64	20.90
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	25.06	0.78	0.25	0.32	0.02	0.02	0.02	0.00	0.00	0.17	73.35
AA	9.75	19.24	3.75	0.59	0.30	0.18	0.26	0.11	0.00	1.13	64.68
A	7.67	5.08	13.11	2.17	0.99	0.32	0.42	0.04	0.00	1.56	68.63
BBB	2.64	2.76	6.40	15.84	1.33	0.54	0.87	0.16	0.00	3.16	66.31
BB	0.10	0.35	1.45	4.25	17.77	1.90	1.30	0.05	0.00	6.26	66.57
B	0.08	0.39	0.47	0.94	1.02	24.24	1.65	0.24	0.00	10.35	60.63
CCC	0.00	0.00	0.00	0.58	0.87	0.58	0.58	0.29	0.00	48.20	48.92
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.49	0.00	73.13	25.37
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	7.08	0.66	0.23	0.11	0.00	0.00	0.00	0.00	0.00	0.21	91.70
AA	1.67	2.36	1.76	0.74	0.78	0.15	0.00	0.00	0.00	1.51	91.04
A	1.48	0.99	1.84	0.47	0.09	0.05	0.00	0.00	0.00	2.24	92.84
BBB	1.69	1.46	1.34	1.29	0.14	0.02	0.12	0.00	0.00	4.50	89.44
BB	0.12	0.37	1.46	1.89	1.65	0.18	0.00	0.00	0.00	9.38	84.95
B	0.09	0.37	0.46	1.01	0.28	2.11	0.00	0.00	0.00	12.29	83.39
CCC	0.00	0.00	0.00	0.00	0.00	0.16	0.00	0.00	0.00	52.19	47.66
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	74.19	25.81
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Global RMBS

Table 44

Global RMBS cumulative default rates, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.27	1.11	2.56	4.16	5.39	6.27	6.88	7.36	7.72
AA	0.23	2.21	5.48	8.30	10.59	12.47	13.98	15.24	16.28	17.25
A	0.55	4.48	9.59	13.69	16.97	19.79	22.22	24.33	26.18	27.87
BBB	1.43	7.99	15.35	21.28	25.97	29.84	32.82	35.16	37.01	38.59
BB	2.68	10.80	17.68	23.64	28.36	32.10	34.89	37.08	38.87	40.30
B	4.26	13.29	20.54	27.44	32.34	35.42	37.87	39.73	41.41	42.71
CCC	13.70	26.29	36.01	41.82	45.44	48.22	50.31	51.98	53.34	54.65
CC	38.29	55.52	65.72	71.66	75.14	77.09	78.37	79.23	79.84	80.26
IG	0.26	1.78	4.08	6.44	8.61	10.35	11.66	12.66	13.45	14.11
SG	15.36	27.52	36.38	42.43	46.43	49.24	51.33	52.95	54.29	55.41
Overall	4.38	8.77	12.81	16.11	18.72	20.69	22.16	23.26	24.13	24.84
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 45

Global RMBS cumulative default rates by rating modifier, conditional on survival, 1976-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.27	1.11	2.56	4.16	5.39	6.27	6.88	7.36	7.72
AA+	0.14	1.33	3.65	5.90	7.96	9.71	11.09	12.22	13.08	13.86
AA	0.24	2.19	5.45	8.36	10.62	12.54	14.05	15.36	16.48	17.55
AA-	0.38	4.51	10.11	13.94	16.84	18.89	20.63	21.99	23.03	23.92
A+	0.29	3.24	7.16	9.85	11.89	13.71	15.24	16.63	17.93	19.13
A	0.63	4.40	9.52	14.15	17.76	20.69	23.38	25.72	27.75	29.58
A-	0.77	6.95	14.18	19.12	23.50	27.63	30.64	33.09	35.12	36.92
BBB+	1.11	7.22	13.54	17.80	21.52	24.55	27.00	29.05	30.74	32.42
BBB	1.34	7.03	13.92	20.14	24.82	28.60	31.74	34.24	36.29	37.95
BBB-	2.05	11.37	21.30	28.65	34.67	39.86	43.13	45.35	46.88	48.07
BB+	1.96	8.64	13.63	17.30	20.23	22.41	23.83	25.06	26.14	27.01
BB	3.23	12.75	21.24	28.76	34.52	39.13	42.64	45.21	47.25	48.81
BB-	1.90	7.27	11.24	15.20	18.88	21.81	23.80	25.72	27.27	28.51
B+	1.68	5.92	10.72	14.68	18.33	21.52	23.87	25.88	27.71	29.05
B	6.53	20.44	29.77	38.68	44.37	47.82	50.57	52.54	54.27	55.57
B-	1.85	5.32	10.32	15.22	19.24	21.62	23.49	24.96	26.35	27.42
CCC+	7.28	9.44	11.85	13.64	13.64	13.64	13.64	13.64	13.64	13.64
CCC	13.68	26.29	36.02	41.85	45.48	48.26	50.36	52.03	53.39	54.71
CCC-	24.33	35.65	41.39	43.91	44.82	45.34	45.34	45.34	45.34	45.34
CC	38.29	55.52	65.72	71.66	75.14	77.09	78.37	79.23	79.84	80.26
IG	0.26	1.78	4.08	6.44	8.61	10.35	11.66	12.66	13.45	14.11
SG	15.36	27.52	36.38	42.43	46.43	49.24	51.33	52.95	54.29	55.41
Overall	4.38	8.77	12.81	16.11	18.72	20.69	22.16	23.26	24.13	24.84
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 46

Global RMBS one-year default rates, 1976-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1976	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1977	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1978	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1979	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1980	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1981	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1982	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1983	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1985	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1986	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1987	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A
1988	0.12	0.00	40.00	0.00	0.00	0.00	0.00	50.00	N/A	0.00	N/A
1989	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1991	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1995	0.14	0.01	11.05	0.00	0.00	0.00	0.57	1.37	1.20	51.85	33.33
1996	0.04	0.00	2.39	0.00	0.00	0.00	0.00	0.91	0.00	5.26	100.00
1997	0.05	0.00	2.52	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.45
1998	0.09	0.01	3.94	0.00	0.00	0.00	0.31	0.61	3.61	20.00	33.33
1999	0.05	0.00	2.16	0.00	0.00	0.00	0.00	0.00	2.35	20.00	25.00
2000	0.06	0.01	2.35	0.00	0.00	0.00	0.19	1.20	2.97	9.09	7.14
2001	0.11	0.00	4.04	0.00	0.00	0.00	0.00	1.17	3.26	42.11	16.67
2002	0.10	0.00	3.05	0.00	0.00	0.00	0.00	0.79	3.28	25.93	13.33
2003	0.18	0.02	3.31	0.00	0.00	0.07	0.32	0.15	1.34	64.15	12.50
2004	0.10	0.01	1.52	0.00	0.00	0.00	0.11	0.66	1.69	37.50	20.00
2005	0.09	0.01	1.00	0.00	0.00	0.00	0.09	0.31	1.37	53.85	0.00
2006	0.08	0.02	0.82	0.00	0.00	0.00	0.13	0.40	0.58	42.11	0.00
2007	0.45	0.15	3.88	0.00	0.02	0.16	0.88	3.88	1.88	47.31	0.00
2008	3.05	0.34	21.59	0.01	0.12	0.56	2.14	6.48	15.51	64.25	0.00
2009	14.32	2.04	43.53	0.19	1.70	4.73	9.81	14.42	19.10	56.93	82.19
2010	10.18	0.71	19.20	0.19	0.69	1.26	2.93	1.90	2.48	14.97	44.46
2011	9.43	0.15	18.25	0.12	0.14	0.06	0.42	0.28	1.30	9.63	43.83
2012	15.28	0.11	26.83	0.05	0.19	0.03	0.33	0.41	0.35	19.98	45.96
2013	9.29	0.09	16.61	0.00	0.09	0.05	0.30	0.75	0.88	7.55	38.35
2014	5.63	0.03	10.04	0.00	0.07	0.00	0.03	0.08	0.80	6.23	28.41
2015	5.38	0.12	9.73	0.00	0.21	0.14	0.10	0.66	0.82	8.52	27.95
2016	4.09	0.20	7.56	0.00	0.45	0.09	0.31	0.19	0.94	5.22	31.90
2017	2.78	0.27	5.06	0.03	0.16	0.42	0.69	1.50	0.67	5.03	17.68
2018	2.54	0.02	4.93	0.00	0.00	0.00	0.11	0.13	0.63	5.73	15.04
2019	2.57	0.13	5.24	0.00	0.19	0.09	0.36	0.31	0.52	7.38	7.73
2020	2.17	0.10	4.41	0.00	0.10	0.05	0.45	0.43	1.17	6.96	5.10
2021	0.79	0.01	1.65	0.00	0.00	0.00	0.07	0.00	0.22	2.92	1.97
2022	0.80	0.00	1.82	0.00	0.00	0.00	0.00	0.07	0.31	3.00	2.66
2023	2.26	0.00	5.36	0.00	0.00	0.00	0.00	0.07	0.13	3.33	19.82
Weighted average	4.38	0.26	15.36	0.03	0.23	0.55	1.43	2.68	4.26	13.70	38.29
Median	0.09	0.00	3.18	0.00	0.00	0.00	0.10	0.29	0.85	7.38	19.82
Standard deviation	3.74	0.31	10.43	0.04	0.28	0.73	1.67	8.14	4.04	20.84	23.89
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	15.28	2.04	43.53	0.19	1.70	4.73	9.81	50.00	19.10	64.25	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 47

Global RMBS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.85	0.15	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	4.62	93.71	1.63	0.00	0.00	0.00	0.04	0.00	0.00	0.00
A	0.16	23.81	74.13	1.74	0.16	0.00	0.00	0.00	0.00	0.00
BBB	0.05	3.34	22.39	71.70	2.05	0.41	0.05	0.00	0.00	0.00
BB	0.00	0.13	4.79	25.30	66.05	3.53	0.13	0.00	0.00	0.07
B	0.00	0.00	0.26	3.41	22.36	70.62	3.21	0.00	0.00	0.13
CCC	0.00	0.00	0.04	0.00	0.16	4.09	92.30	0.08	0.00	3.33
CC	0.00	0.00	0.00	0.00	0.00	0.21	0.62	79.35	0.00	19.82
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	92.66	1.64	1.14	0.96	0.76	1.22	1.50	0.09	0.00	0.03
AA	3.43	82.94	3.00	1.96	1.75	2.20	3.85	0.64	0.00	0.23
A	0.99	4.75	76.25	3.79	2.59	2.76	6.48	1.84	0.00	0.55
BBB	0.30	1.58	4.66	70.62	4.88	4.82	8.19	3.53	0.00	1.43
BB	0.13	0.45	1.81	5.35	63.76	9.07	11.16	5.59	0.00	2.68
B	0.03	0.10	0.31	1.40	4.19	61.58	20.29	7.84	0.00	4.26
CCC	0.01	0.01	0.03	0.11	0.32	1.31	71.87	12.63	0.01	13.70
CC	0.00	0.00	0.01	0.02	0.06	0.21	1.23	60.17	0.00	38.29
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Two-year weighted average
AAA	86.14	2.61	1.72	1.46	1.12	1.66	4.50	0.53	0.00	0.27
AA	6.36	69.97	4.39	2.82	2.46	3.07	6.18	2.54	0.00	2.22
A	2.33	7.69	60.09	4.91	3.43	3.70	8.40	4.96	0.00	4.49
BBB	0.80	3.52	6.94	51.99	5.99	5.43	9.43	7.87	0.00	8.02
BB	0.33	1.25	3.90	7.47	45.21	10.74	10.91	9.31	0.01	10.88
B	0.08	0.27	0.97	2.96	6.25	45.09	19.15	11.82	0.00	13.40
CCC	0.02	0.03	0.08	0.26	0.66	2.28	57.89	12.29	0.01	26.48
CC	0.00	0.01	0.02	0.04	0.09	0.36	2.45	41.20	0.00	55.84
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	81.32	3.35	2.21	1.78	1.34	1.72	5.48	1.67	0.00	1.11
AA	8.60	60.68	5.14	3.37	2.78	3.69	6.66	3.54	0.00	5.53
A	3.68	9.38	48.77	5.37	4.01	4.26	8.76	6.08	0.00	9.70
BBB	1.48	4.65	8.02	39.51	6.07	5.79	9.55	9.36	0.00	15.57
BB	0.62	2.37	4.81	7.95	34.48	10.88	10.88	9.95	0.00	18.06
B	0.18	0.69	1.71	3.92	6.89	35.28	19.89	10.42	0.00	21.01
CCC	0.03	0.07	0.16	0.43	0.92	2.88	48.66	10.21	0.00	36.65
CC	0.00	0.01	0.03	0.05	0.12	0.45	3.53	29.13	0.00	66.67
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	77.55	4.06	2.72	2.18	1.58	1.89	5.31	2.14	0.00	2.57
AA	10.24	53.27	5.62	3.69	3.25	4.28	7.27	3.88	0.00	8.49
A	4.82	10.14	40.51	5.33	4.28	4.74	9.20	6.97	0.01	14.01
BBB	2.25	5.42	8.26	30.97	5.61	5.92	9.31	10.48	0.00	21.78
BB	1.05	3.14	5.12	7.55	27.51	10.54	10.91	9.62	0.01	24.57
B	0.34	1.20	2.16	4.22	6.69	28.61	20.12	8.12	0.00	28.54
CCC	0.06	0.10	0.28	0.60	1.13	3.13	42.37	9.07	0.00	43.25
CC	0.01	0.02	0.04	0.07	0.17	0.57	4.31	21.32	0.00	73.48
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	74.89	4.65	3.11	2.49	1.75	1.97	4.89	2.07	0.00	4.19
AA	11.49	47.75	5.89	3.83	3.69	4.76	7.71	3.86	0.00	11.01
A	5.81	10.32	34.68	5.06	4.37	4.95	10.17	7.00	0.01	17.63
BBB	3.00	6.04	8.06	25.54	5.05	5.83	9.11	10.54	0.00	26.83
BB	1.52	3.68	5.48	7.03	22.64	10.07	10.82	8.78	0.01	29.97
B	0.54	1.57	2.44	4.38	6.48	23.77	19.57	6.97	0.00	34.28
CCC	0.10	0.17	0.41	0.75	1.31	3.27	37.10	9.07	0.00	47.82
CC	0.01	0.03	0.06	0.09	0.23	0.71	4.66	16.19	0.00	78.03
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	67.71	6.95	4.25	3.15	2.41	2.48	4.11	0.96	0.00	7.98
AA	13.86	33.58	5.74	3.34	4.20	5.83	11.45	1.75	0.00	20.24
A	6.89	7.64	23.22	3.42	3.33	4.55	13.86	3.71	0.00	33.38
BBB	3.73	4.53	5.77	18.07	3.68	4.45	9.66	5.45	0.00	44.67
BB	1.97	3.12	4.11	4.56	13.81	6.60	10.57	5.25	0.04	49.96
B	1.11	1.99	2.27	3.10	3.97	13.05	14.48	5.80	0.00	54.23
CCC	0.18	0.48	0.61	0.87	1.15	2.13	16.76	9.75	0.00	68.05
CC	0.03	0.10	0.10	0.16	0.39	0.79	3.64	7.51	0.00	87.29
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 48

Global RMBS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	88.51	0.12	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.37
AA	4.32	82.02	1.54	0.00	0.00	0.00	0.04	0.00	0.00	0.00	12.07
A	0.05	19.25	66.21	1.74	0.16	0.00	0.00	0.00	0.00	0.00	12.58
BBB	0.00	3.29	21.42	65.90	1.95	0.41	0.05	0.00	0.00	0.00	6.99
BB	0.00	0.13	4.06	24.03	58.26	3.40	0.13	0.00	0.00	0.07	9.92
B	0.00	0.00	0.13	3.41	21.77	63.48	2.95	0.00	0.00	0.13	8.13
CCC	0.00	0.00	0.00	0.00	0.16	4.05	86.12	0.08	0.00	3.33	6.26
CC	0.00	0.00	0.00	0.00	0.00	0.14	0.62	78.73	0.00	19.82	0.69
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	80.66	1.60	1.12	0.93	0.74	1.21	1.49	0.09	0.00	0.03	12.14
AA	3.10	75.68	2.93	1.90	1.73	2.16	3.82	0.63	0.00	0.23	7.82
A	0.82	4.43	70.43	3.71	2.56	2.72	6.43	1.84	0.00	0.55	6.50
BBB	0.25	1.43	4.40	65.22	4.75	4.70	8.12	3.52	0.00	1.43	6.19
BB	0.12	0.42	1.53	5.13	58.66	8.78	11.00	5.57	0.00	2.68	6.11
B	0.03	0.10	0.29	1.32	4.04	57.01	19.80	7.80	0.00	4.26	5.36
CCC	0.01	0.01	0.03	0.11	0.31	1.30	68.23	12.09	0.01	13.70	4.21
CC	0.00	0.00	0.01	0.01	0.05	0.20	1.22	58.43	0.00	38.29	1.79
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	63.21	2.39	1.61	1.35	1.04	1.56	4.23	0.47	0.00	0.27	23.86
AA	4.83	56.95	4.14	2.66	2.38	2.94	6.04	2.49	0.00	2.22	15.36
A	1.63	6.55	49.70	4.60	3.27	3.57	8.17	4.86	0.00	4.49	13.16
BBB	0.56	2.80	6.09	42.45	5.56	5.12	9.15	7.72	0.00	8.02	12.51
BB	0.24	1.07	3.07	6.59	36.63	9.82	10.46	9.01	0.00	10.88	12.21
B	0.06	0.25	0.79	2.61	5.61	37.30	17.89	11.22	0.00	13.40	10.88
CCC	0.01	0.02	0.06	0.23	0.61	2.18	52.06	11.63	0.01	26.48	6.72
CC	0.00	0.00	0.01	0.02	0.06	0.31	2.34	38.25	0.00	55.84	3.16
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	49.15	2.88	1.98	1.56	1.17	1.51	4.89	1.46	0.00	1.11	34.29
AA	5.48	43.04	4.63	3.08	2.61	3.42	6.42	3.45	0.00	5.53	22.33
A	2.19	7.21	34.87	4.74	3.67	4.02	8.40	5.93	0.00	9.70	19.27
BBB	0.90	3.39	6.45	27.06	5.22	5.22	9.10	9.10	0.00	15.57	18.00
BB	0.37	1.85	3.59	6.46	23.52	9.18	10.11	9.43	0.00	18.06	17.42
B	0.11	0.50	1.35	3.18	5.76	25.24	17.77	9.64	0.00	21.01	15.44
CCC	0.01	0.04	0.12	0.36	0.81	2.65	41.20	9.42	0.00	36.65	8.74
CC	0.00	0.01	0.02	0.03	0.08	0.37	3.24	25.22	0.00	66.67	4.38
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	37.95	3.29	2.34	1.82	1.30	1.56	4.52	1.84	0.00	2.57	42.82
AA	5.47	32.08	4.82	3.22	2.98	3.85	6.88	3.73	0.00	8.49	28.49
A	2.46	6.94	24.00	4.38	3.74	4.35	8.67	6.75	0.01	14.01	24.70
BBB	1.17	3.53	6.00	16.72	4.34	4.99	8.60	10.08	0.00	21.78	22.79
BB	0.55	2.28	3.63	5.63	15.27	8.07	9.72	8.90	0.00	24.57	21.37
B	0.18	0.88	1.69	3.19	5.15	17.21	17.08	7.14	0.00	28.54	18.95
CCC	0.03	0.06	0.21	0.48	0.95	2.75	33.76	8.16	0.00	43.25	10.35
CC	0.00	0.01	0.02	0.05	0.11	0.46	3.76	16.68	0.00	73.48	5.42
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	29.15	3.51	2.55	1.96	1.32	1.51	3.97	1.72	0.00	4.19	50.12
AA	5.14	23.81	4.74	3.20	3.30	4.13	7.09	3.64	0.00	11.01	33.94
A	2.54	6.16	16.31	3.87	3.60	4.39	9.38	6.71	0.01	17.63	29.39
BBB	1.31	3.50	5.16	10.17	3.47	4.52	8.12	9.95	0.00	26.83	26.98
BB	0.65	2.37	3.75	4.66	9.74	6.96	9.18	7.81	0.00	29.97	24.92
B	0.24	1.16	1.81	3.09	4.61	11.66	15.53	5.74	0.00	34.28	21.88
CCC	0.03	0.10	0.29	0.58	1.05	2.74	27.67	8.05	0.00	47.82	11.67
CC	0.00	0.02	0.03	0.07	0.14	0.57	3.80	11.02	0.00	78.03	6.32
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	6.10	3.56	2.46	1.68	1.17	1.23	2.69	0.45	0.00	7.98	72.68
AA	2.15	5.26	2.61	2.12	3.11	4.02	8.69	1.28	0.00	20.24	50.55
A	0.82	2.24	3.79	1.58	1.78	2.87	10.46	2.96	0.00	33.38	40.13
BBB	0.45	1.09	1.82	1.66	1.52	1.88	6.15	3.59	0.00	44.67	37.16
BB	0.16	0.95	1.55	1.20	1.64	2.53	5.53	2.72	0.00	49.96	33.74
B	0.18	0.82	1.13	1.22	1.35	2.73	7.23	3.05	0.00	54.23	28.05
CCC	0.03	0.21	0.35	0.59	0.74	1.34	8.33	7.86	0.00	68.05	12.49
CC	0.00	0.09	0.05	0.11	0.22	0.54	1.89	2.15	0.00	87.29	7.65
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Global structured credit

Table 49

Global structured credit cumulative default rates, conditional on survival, 1985-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.40	1.27	2.17	3.81	5.02	5.73	6.05	6.24	6.33	6.38
AA	0.42	1.47	2.72	4.48	6.02	6.97	7.42	7.66	7.84	7.94
A	0.46	1.32	2.49	4.66	6.59	7.69	8.24	8.55	8.78	9.01
BBB	0.54	1.57	3.16	6.07	8.74	10.64	11.92	12.82	13.54	14.05
BB	0.63	1.96	3.97	6.24	8.14	9.29	10.26	11.06	11.75	12.41
B	1.05	3.53	6.81	9.60	11.32	12.32	13.27	14.11	14.63	14.94
CCC	10.27	19.68	26.37	29.87	31.41	32.43	33.19	33.69	34.04	34.15
CC	37.86	61.86	78.53	80.44	81.52	82.32	82.75	83.02	83.14	83.15
IG	0.44	1.38	2.53	4.53	6.20	7.25	7.81	8.15	8.39	8.57
SG	9.56	17.28	23.52	26.20	27.84	28.88	29.70	30.33	30.79	31.11
Overall	2.81	5.52	8.01	10.19	11.85	12.90	13.52	13.95	14.25	14.45
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 50

Global structured credit cumulative default rates by rating modifier, conditional on survival, 1985-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.40	1.27	2.17	3.81	5.02	5.73	6.05	6.24	6.33	6.38
AA+	0.43	0.96	1.45	2.12	2.33	2.48	2.60	2.67	2.74	2.75
AA	0.35	1.54	3.07	5.31	7.42	8.83	9.50	9.86	10.10	10.25
AA-	0.69	2.00	3.19	4.77	6.26	6.75	6.91	7.02	7.11	7.18
A+	0.47	1.33	2.39	3.59	4.36	4.91	5.19	5.37	5.51	5.64
A	0.41	1.22	2.32	4.73	7.10	8.28	8.84	9.16	9.39	9.57
A-	0.60	1.60	3.07	5.65	7.74	9.19	10.00	10.41	10.72	11.14
BBB+	0.61	1.88	3.58	5.20	6.23	7.04	7.67	8.20	8.48	8.67
BBB	0.50	1.35	2.66	6.10	9.69	12.14	13.77	14.85	15.72	16.40
BBB-	0.56	1.74	3.76	6.65	8.75	10.38	11.47	12.26	13.02	13.47
BB+	0.83	3.01	5.62	8.52	10.83	11.62	12.13	12.63	12.98	13.34
BB	0.57	1.55	3.21	5.30	7.19	8.67	9.90	10.91	11.68	12.39
BB-	0.56	1.62	3.60	5.41	6.74	7.63	8.71	9.50	10.59	11.63
B+	0.50	2.66	4.61	6.69	7.97	8.64	9.18	9.56	9.76	9.87
B	1.36	3.89	7.84	10.90	12.94	14.29	15.88	17.26	18.07	18.67
B-	1.38	4.19	8.54	12.07	14.07	15.18	15.97	17.00	17.78	18.10
CCC+	2.00	6.83	10.68	14.26	15.71	16.64	17.41	17.83	18.22	18.31
CCC	6.67	17.26	25.16	29.58	30.99	32.28	33.17	33.60	34.28	34.36
CCC-	12.97	23.38	30.62	33.95	35.52	36.52	37.26	37.79	38.09	38.21
CC	37.86	61.86	78.53	80.44	81.52	82.32	82.75	83.02	83.14	83.15
IG	0.44	1.38	2.53	4.53	6.20	7.25	7.81	8.15	8.39	8.57
SG	9.56	17.28	23.52	26.20	27.84	28.88	29.70	30.33	30.79	31.11
Overall	2.81	5.52	8.01	10.19	11.85	12.90	13.52	13.95	14.25	14.45
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 51

Global structured credit one-year default rates, 1985-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1985	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1991	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1996	0.41	0.21	100.00	0.00	0.00	6.67	0.00	100.00	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2002	0.31	0.04	2.30	0.00	0.00	0.00	0.30	0.86	3.77	15.79	0.00
2003	0.34	0.00	2.45	0.00	0.00	0.00	0.00	0.00	1.27	14.29	8.00
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.10	0.00	0.95	0.00	0.00	0.00	0.00	0.00	0.00	4.49	6.35
2006	0.09	0.00	0.94	0.00	0.00	0.00	0.00	0.00	0.00	3.75	9.59
2007	0.19	0.12	0.87	0.09	0.24	0.04	0.13	0.09	0.00	0.00	15.28
2008	3.34	2.86	7.23	2.58	2.69	3.33	3.40	3.84	6.77	17.19	27.85
2009	5.50	0.90	14.77	0.52	1.38	1.12	1.07	1.54	3.81	17.18	27.29
2010	4.23	0.28	8.60	0.03	0.23	0.33	0.71	1.53	2.87	9.73	14.97
2011	17.66	0.16	31.71	0.00	0.11	0.21	0.38	0.38	0.85	13.53	82.46
2012	3.53	0.10	7.65	0.08	0.11	0.07	0.17	0.34	0.77	10.22	22.62
2013	1.93	0.04	4.83	0.00	0.00	0.08	0.09	0.19	0.51	6.03	24.78
2014	1.53	0.00	4.32	0.00	0.00	0.00	0.00	0.20	0.61	6.87	23.90
2015	0.68	0.00	2.10	0.00	0.00	0.00	0.00	0.11	0.00	1.80	22.02
2016	0.67	0.00	2.42	0.00	0.00	0.00	0.00	0.00	0.00	6.86	17.33
2017	0.51	0.00	1.96	0.00	0.00	0.00	0.00	0.14	0.27	4.35	19.72
2018	0.54	0.00	2.16	0.00	0.00	0.00	0.00	0.00	0.00	10.63	10.17
2019	0.70	0.00	3.04	0.00	0.00	0.00	0.00	0.00	0.00	21.98	20.83
2020	0.04	0.00	0.18	0.00	0.00	0.00	0.00	0.00	0.32	2.50	0.00
2021	0.10	0.00	0.50	0.00	0.00	0.00	0.00	0.00	0.00	4.17	2.86
2022	0.12	0.00	0.59	0.00	0.00	0.00	0.00	0.00	0.17	8.33	11.11
2023	0.14	0.01	0.62	0.00	0.00	0.06	0.00	0.00	0.00	12.20	18.18
Weighted average	2.81	0.44	9.56	0.40	0.42	0.46	0.54	0.63	1.05	10.27	37.86
Median	0.10	0.00	0.94	0.00	0.00	0.00	0.00	0.00	0.00	6.86	16.31
Standard deviation	3.02	0.48	17.92	0.42	0.48	1.21	0.64	17.37	1.67	6.31	17.04
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	17.66	2.86	100.00	2.58	2.69	6.67	3.40	100.00	6.77	21.98	82.46
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 52

Global structured credit rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	99.90	0.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.15	97.85	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.06	2.91	96.96	0.00	0.00	0.00	0.00	0.00	0.00	0.06
BBB	0.00	0.00	1.64	98.36	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.09	0.99	98.03	0.90	0.00	0.00	0.00	0.00
B	0.00	0.00	0.17	0.00	1.01	96.48	2.35	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	85.37	2.44	0.00	12.20
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	81.82	0.00	18.18
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	89.53	4.28	1.59	1.15	0.92	0.57	0.81	0.75	0.00	0.40
AA	7.73	80.80	3.87	2.55	1.27	0.83	1.45	1.08	0.00	0.42
A	1.16	6.42	80.17	4.97	2.59	1.23	1.59	1.41	0.00	0.46
BBB	0.30	1.28	5.30	77.74	4.79	2.93	5.03	2.09	0.00	0.54
BB	0.08	0.22	1.16	6.15	75.61	5.62	8.22	2.30	0.00	0.63
B	0.03	0.08	0.36	1.93	9.17	69.98	13.82	3.58	0.00	1.05
CCC	0.01	0.02	0.01	0.47	2.23	6.37	71.03	9.60	0.00	10.27
CC	0.00	0.00	0.00	0.01	0.09	0.08	0.12	61.84	0.00	37.86
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	81.02	6.99	2.63	1.89	1.55	1.01	2.31	1.33	0.00	1.27
AA	14.11	66.68	5.60	3.45	1.81	1.21	3.68	1.95	0.00	1.49
A	3.33	9.91	66.62	6.79	3.68	1.88	3.60	2.85	0.00	1.32
BBB	0.94	2.94	8.19	63.57	6.59	4.30	7.76	4.15	0.00	1.56
BB	0.29	0.76	2.71	9.86	60.65	8.13	11.88	3.73	0.00	1.99
B	0.10	0.30	1.16	4.32	14.33	55.46	16.24	4.52	0.00	3.58
CCC	0.01	0.04	0.13	1.27	4.30	9.99	54.28	10.38	0.00	19.62
CC	0.00	0.00	0.00	0.04	0.17	0.22	0.13	37.54	0.00	61.90
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	75.03	9.16	3.24	2.15	1.90	1.18	3.10	2.01	0.00	2.22
AA	19.09	56.59	6.72	3.71	2.13	1.57	4.93	2.43	0.00	2.82
A	6.06	11.22	57.10	7.95	4.15	2.28	4.90	3.75	0.00	2.59
BBB	2.00	4.77	8.99	52.77	8.10	5.26	9.24	5.62	0.00	3.27
BB	0.55	1.47	4.26	11.28	51.34	9.57	13.24	4.17	0.00	4.12
B	0.29	0.64	2.31	6.36	14.76	48.41	16.08	4.07	0.00	7.09
CCC	0.04	0.10	0.43	2.19	5.58	10.15	46.78	8.36	0.00	26.37
CC	0.00	0.00	0.02	0.07	0.24	0.19	0.11	20.73	0.00	78.63
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	71.53	10.21	3.46	2.33	2.13	1.38	3.32	1.72	0.00	3.93
AA	22.98	49.87	7.06	3.80	2.28	1.85	5.18	2.26	0.00	4.72
A	8.91	11.39	51.24	8.25	4.24	2.39	5.34	3.36	0.00	4.88
BBB	3.15	6.10	9.08	46.46	8.44	5.60	9.72	5.14	0.00	6.31
BB	0.86	2.26	5.65	11.36	45.91	10.32	13.22	3.88	0.00	6.54
B	0.49	0.99	3.29	7.89	14.17	43.53	15.92	3.44	0.00	10.28
CCC	0.09	0.19	0.72	3.03	6.29	9.94	42.60	7.16	0.00	29.97
CC	0.00	0.00	0.04	0.06	0.31	0.19	0.09	18.57	0.00	80.74
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	70.31	10.07	3.47	2.44	2.19	1.48	3.35	1.46	0.00	5.23
AA	26.00	45.89	6.67	3.77	2.35	1.99	4.97	1.93	0.00	6.43
A	11.38	11.63	47.62	7.83	3.94	2.43	5.55	2.62	0.00	7.00
BBB	4.32	6.85	9.10	43.02	8.09	5.40	9.83	4.19	0.00	9.21
BB	1.28	3.04	6.66	11.37	43.01	9.89	12.53	3.52	0.00	8.70
B	0.66	1.35	4.31	8.57	14.31	40.34	14.86	3.39	0.00	12.21
CCC	0.12	0.25	0.98	3.58	6.60	9.90	40.40	6.68	0.00	31.50
CC	0.00	0.00	0.06	0.06	0.37	0.18	0.08	17.25	0.00	82.01
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	69.75	7.50	4.19	3.05	2.26	1.48	2.96	1.44	0.00	7.38
AA	33.55	34.63	5.89	4.26	2.87	2.15	4.94	1.66	0.00	10.06
A	19.18	13.65	35.44	5.59	4.05	2.44	6.14	2.17	0.00	11.34
BBB	7.12	8.72	10.71	33.02	6.16	5.26	9.32	2.70	0.00	17.00
BB	2.52	4.74	8.64	13.41	32.49	8.44	10.64	3.64	0.00	15.47
B	1.15	2.11	6.37	10.25	14.91	27.32	15.14	3.49	0.00	19.26
CCC	0.15	0.32	1.44	3.93	7.03	9.82	35.13	6.31	0.00	35.87
CC	0.00	0.00	0.05	0.00	0.35	0.09	0.06	13.53	0.00	85.92
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 53

Global structured credit rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	91.70	0.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.20
AA	1.73	95.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.99
A	0.06	2.59	92.95	0.00	0.00	0.00	0.00	0.00	0.00	0.06	4.33
BBB	0.00	0.00	1.64	95.41	0.00	0.00	0.00	0.00	0.00	0.00	2.94
BB	0.00	0.00	0.09	0.72	95.43	0.90	0.00	0.00	0.00	0.00	2.87
B	0.00	0.00	0.17	0.00	0.50	92.95	2.35	0.00	0.00	0.00	4.03
CCC	0.00	0.00	0.00	0.00	0.00	0.00	75.61	2.44	0.00	12.20	9.76
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.76	0.00	18.18	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
One-year weighted average
AAA	74.55	4.14	1.52	1.09	0.85	0.54	0.78	0.75	0.00	0.40	15.37
AA	6.44	68.51	3.70	2.40	1.20	0.79	1.40	1.07	0.00	0.42	14.06
A	0.84	5.80	67.75	4.81	2.51	1.18	1.52	1.40	0.00	0.46	13.74
BBB	0.19	1.00	4.68	67.01	4.63	2.83	4.85	2.07	0.00	0.54	12.18
BB	0.03	0.12	0.92	5.36	64.89	5.45	7.97	2.29	0.00	0.63	12.33
B	0.01	0.06	0.24	1.56	8.12	58.45	13.12	3.58	0.00	1.05	13.83
CCC	0.01	0.01	0.01	0.34	1.95	5.82	58.15	9.01	0.00	10.27	14.43
CC	0.00	0.00	0.00	0.01	0.07	0.07	0.09	56.23	0.00	37.86	5.68
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	53.91	6.40	2.28	1.54	1.38	0.93	2.15	1.33	0.00	1.28	28.81
AA	8.71	44.61	4.94	2.83	1.55	1.08	3.33	1.94	0.00	1.50	29.51
A	1.98	7.65	44.19	6.16	3.45	1.74	3.41	2.86	0.00	1.34	27.21
BBB	0.45	1.84	6.06	43.65	6.07	4.01	7.22	4.20	0.00	1.60	24.91
BB	0.12	0.39	1.71	7.17	41.14	7.12	10.76	3.61	0.00	2.00	25.97
B	0.02	0.20	0.58	2.93	10.51	35.45	14.00	4.45	0.00	3.59	28.27
CCC	0.00	0.02	0.11	0.83	3.28	7.67	33.01	8.47	0.00	19.67	26.93
CC	0.00	0.00	0.00	0.04	0.12	0.13	0.08	28.21	0.00	61.90	9.52
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	38.45	7.87	2.55	1.62	1.53	0.98	2.68	1.98	0.00	2.22	40.12
AA	8.17	27.19	5.47	2.64	1.60	1.29	3.98	2.37	0.00	2.82	44.46
A	2.51	6.85	27.83	6.89	3.58	1.95	4.19	3.59	0.00	2.59	40.02
BBB	0.66	2.32	5.08	26.83	6.95	4.51	7.67	5.35	0.00	3.27	37.35
BB	0.18	0.61	2.06	6.48	24.92	7.66	11.26	3.71	0.00	4.12	39.01
B	0.04	0.28	0.82	3.32	8.16	21.91	11.73	3.37	0.00	7.09	43.29
CCC	0.00	0.04	0.28	1.15	3.41	6.19	19.22	5.33	0.00	26.37	38.00
CC	0.00	0.00	0.00	0.04	0.13	0.11	0.03	9.09	0.00	78.63	11.95
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	28.37	8.07	2.30	1.46	1.55	1.03	2.50	1.57	0.00	3.93	49.23
AA	6.74	16.82	5.12	2.18	1.43	1.37	3.47	1.95	0.00	4.72	56.19
A	2.78	5.16	18.34	6.54	3.26	1.82	4.06	2.96	0.00	4.88	50.21
BBB	0.74	2.29	3.66	17.01	6.65	4.32	7.29	4.58	0.00	6.31	47.14
BB	0.19	0.80	2.13	4.72	15.53	7.46	10.23	3.17	0.00	6.54	49.22
B	0.12	0.25	0.88	3.26	5.23	12.97	9.33	2.21	0.00	10.28	55.48
CCC	0.01	0.11	0.26	1.15	2.82	4.23	10.84	3.36	0.00	29.97	47.25
CC	0.00	0.00	0.00	0.01	0.10	0.08	0.01	5.77	0.00	80.74	13.29
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	21.83	7.01	1.75	1.19	1.35	0.94	2.02	1.00	0.00	5.23	57.68
AA	4.96	10.55	4.03	1.57	1.16	1.25	2.51	1.40	0.00	6.43	66.15
A	2.47	3.73	12.44	5.53	2.49	1.60	3.61	2.01	0.00	7.00	59.12
BBB	0.85	1.78	2.36	11.19	5.61	3.54	6.54	3.37	0.00	9.21	55.53
BB	0.19	0.92	1.90	2.96	9.44	6.62	8.39	2.57	0.00	8.70	58.30
B	0.06	0.27	0.95	2.59	3.38	6.69	6.47	1.82	0.00	12.21	65.56
CCC	0.02	0.08	0.19	0.85	1.92	2.70	6.15	2.34	0.00	31.50	54.25
CC	0.00	0.00	0.00	0.00	0.08	0.03	0.00	3.79	0.00	82.01	14.09
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	7.52	0.89	0.29	0.23	0.16	0.19	0.22	0.14	0.00	7.38	82.98
AA	0.47	1.20	0.72	0.26	0.17	0.17	0.37	0.30	0.00	10.06	86.29
A	0.26	0.50	1.26	0.69	0.30	0.30	1.05	0.56	0.00	11.34	83.73
BBB	0.08	0.14	0.31	1.06	0.49	0.54	1.57	0.73	0.00	17.00	78.08
BB	0.02	0.03	0.07	0.30	0.56	0.74	1.36	1.00	0.00	15.47	80.46
B	0.00	0.02	0.03	0.05	0.18	0.13	0.93	0.44	0.00	19.26	78.97
CCC	0.01	0.00	0.01	0.01	0.02	0.14	0.21	0.55	0.00	35.87	63.18
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.56	0.00	85.92	13.52
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.

Global ABS

Table 54

Global ABS cumulative default rates, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.01	0.01	0.02	0.03	0.03	0.04	0.04	0.04
AA	0.01	0.06	0.13	0.24	0.39	0.58	0.73	0.82	0.92	1.04
A	0.09	0.26	0.49	0.73	0.98	1.17	1.37	1.54	1.63	1.71
BBB	0.19	0.54	1.12	1.88	2.58	3.20	3.62	4.05	4.37	4.63
BB	0.73	2.03	3.84	5.38	6.59	7.82	9.05	10.01	10.59	11.04
B	2.80	6.69	9.39	11.03	11.95	12.92	13.67	14.44	15.47	16.38
CCC	7.67	13.42	18.17	21.83	24.91	27.22	28.97	30.26	31.50	32.66
CC	12.96	21.43	27.77	31.95	35.36	37.67	40.25	43.15	45.76	48.88
IG	0.04	0.12	0.24	0.40	0.54	0.68	0.79	0.88	0.95	1.00
SG	4.02	7.70	10.84	13.14	14.91	16.41	17.73	18.83	19.78	20.61
Overall	0.33	0.66	0.98	1.27	1.52	1.74	1.92	2.07	2.18	2.27
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 55

Global ABS cumulative default rates by rating modifier, conditional on survival, 1983-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.01	0.01	0.02	0.03	0.03	0.04	0.04	0.04
AA+	0.00	0.00	0.00	0.02	0.08	0.29	0.46	0.67	0.94	1.26
AA	0.02	0.09	0.23	0.40	0.61	0.85	1.02	1.09	1.11	1.14
AA-	0.00	0.03	0.06	0.13	0.16	0.20	0.24	0.24	0.32	0.44
A+	0.03	0.08	0.24	0.31	0.33	0.35	0.39	0.41	0.41	0.44
A	0.12	0.32	0.59	0.89	1.23	1.44	1.62	1.75	1.85	1.92
A-	0.04	0.23	0.35	0.45	0.50	0.97	1.89	2.82	3.15	3.44
BBB+	0.14	0.43	0.65	1.21	2.81	4.51	5.51	6.55	7.70	8.69
BBB	0.16	0.49	0.95	1.45	1.84	2.20	2.47	2.70	2.89	3.05
BBB-	0.50	0.97	2.94	5.79	7.34	8.19	8.94	9.88	10.11	10.19
BB+	0.77	1.39	2.51	3.01	3.41	4.26	5.32	5.97	5.97	6.17
BB	0.67	2.10	3.99	5.84	7.33	8.73	9.88	10.73	11.27	11.44
BB-	0.81	2.47	4.76	6.41	7.47	8.47	10.26	11.96	13.40	15.15
B+	1.07	3.19	4.45	5.65	6.70	7.82	8.31	8.86	10.09	10.80
B	2.59	5.67	8.79	11.11	12.18	13.17	14.22	15.01	15.54	15.94
B-	3.82	9.17	12.23	13.56	14.31	15.21	15.85	16.68	18.01	19.39
CCC+	2.04	4.23	6.84	9.55	12.69	15.75	18.05	18.42	18.42	18.42
CCC	6.84	13.05	17.23	21.10	24.01	25.76	27.39	28.93	30.14	30.94
CCC-	10.45	17.06	23.06	26.86	30.09	32.62	34.27	35.66	37.34	39.13
CC	12.96	21.43	27.77	31.95	35.36	37.67	40.25	43.15	45.76	48.88
IG	0.04	0.12	0.24	0.40	0.54	0.68	0.79	0.88	0.95	1.00
SG	4.02	7.70	10.84	13.14	14.91	16.41	17.73	18.83	19.78	20.61
Overall	0.33	0.66	0.98	1.27	1.52	1.74	1.92	2.07	2.18	2.27
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 56

Global ABS one-year default rates, 1983-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1983	0.00	0.00	N/A	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	N/A	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A
1985	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1990	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1993	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
1994	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.35	0.33	1.89	0.00	0.00	1.72	0.00	2.08	0.00	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2001	0.27	0.10	5.14	0.00	0.00	0.21	0.67	2.08	5.80	30.00	N/A
2002	1.05	0.19	25.87	0.00	0.29	0.37	1.18	4.72	50.65	43.75	50.00
2003	0.78	0.15	17.99	0.00	0.00	0.08	1.61	8.75	14.29	52.50	27.78
2004	0.70	0.06	14.00	0.00	0.00	0.00	0.41	5.23	14.77	29.85	30.43
2005	0.49	0.00	8.83	0.00	0.00	0.00	0.00	0.00	0.92	12.26	64.52
2006	0.42	0.00	9.02	0.00	0.00	0.00	0.00	0.00	0.00	19.70	71.43
2007	0.52	0.03	9.73	0.00	0.00	0.00	0.21	0.00	2.41	20.16	78.57
2008	0.20	0.08	2.57	0.00	0.00	0.58	0.00	0.00	0.00	8.74	33.33
2009	0.38	0.13	4.66	0.03	0.21	0.15	0.38	0.98	2.15	13.89	0.00
2010	0.36	0.10	3.57	0.00	0.00	0.08	0.49	0.00	0.00	14.29	9.52
2011	0.47	0.02	4.43	0.00	0.00	0.00	0.12	1.11	2.34	9.29	25.00
2012	0.24	0.00	2.28	0.00	0.00	0.00	0.00	0.00	2.29	2.35	19.05
2013	0.33	0.00	2.68	0.00	0.00	0.00	0.00	0.00	0.53	0.58	15.15
2014	0.63	0.00	4.79	0.00	0.00	0.00	0.00	0.00	2.21	6.06	17.39
2015	0.26	0.00	2.05	0.00	0.00	0.00	0.00	0.00	0.00	1.76	12.50
2016	0.12	0.00	1.03	0.00	0.00	0.00	0.00	0.00	0.00	0.74	5.56
2017	0.16	0.00	1.43	0.00	0.00	0.00	0.00	0.00	0.64	0.72	7.23
2018	0.12	0.00	1.04	0.00	0.00	0.00	0.00	0.00	0.76	0.00	5.56
2019	0.08	0.00	0.72	0.00	0.00	0.00	0.00	0.00	0.00	0.95	3.19
2020	0.17	0.00	1.54	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.34
2021	0.09	0.00	0.74	0.00	0.00	0.00	0.00	0.00	0.49	1.67	2.38
2022	0.04	0.00	0.30	0.00	0.00	0.00	0.00	0.00	1.06	0.00	0.00
2023	0.34	0.00	2.65	0.00	0.00	0.00	0.00	0.00	1.70	4.92	11.54
Weighted average	0.33	0.04	4.02	0.00	0.01	0.09	0.19	0.73	2.80	7.67	12.96
Median	0.12	0.00	1.89	0.00	0.00	0.00	0.00	0.00	0.51	4.92	13.83
Standard deviation	0.26	0.07	5.82	0.00	0.06	0.28	0.35	1.92	9.65	14.48	23.40
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	1.05	0.33	25.87	0.03	0.29	1.72	1.61	8.75	50.65	52.50	78.57
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 57

Global ABS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	17.35	82.16	0.48	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	5.58	10.97	82.72	0.64	0.00	0.09	0.00	0.00	0.00	0.00
BBB	1.80	5.05	10.99	81.80	0.36	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.99	3.97	7.62	85.43	1.99	0.00	0.00	0.00	0.00
B	0.00	0.00	0.57	2.27	9.66	81.82	3.41	0.57	0.00	1.70
CCC	0.00	0.00	0.00	1.64	2.46	4.92	77.05	9.02	0.00	4.92
CC	0.00	0.00	0.00	0.00	0.00	0.00	1.28	87.18	0.00	11.54
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	97.08	2.06	0.59	0.21	0.03	0.02	0.00	0.00	0.00	0.00
AA	9.21	87.20	2.01	1.08	0.41	0.06	0.01	0.01	0.00	0.01
A	3.17	5.84	87.01	2.90	0.41	0.42	0.13	0.02	0.00	0.09
BBB	2.52	2.19	5.06	85.23	2.45	1.64	0.63	0.08	0.00	0.19
BB	0.40	0.95	3.20	6.93	78.29	6.45	2.54	0.52	0.00	0.73
B	0.36	0.20	0.53	1.71	4.65	77.82	10.51	1.38	0.03	2.80
CCC	0.00	0.00	0.11	0.26	0.45	2.31	82.31	6.89	0.00	7.67
CC	0.00	0.09	0.00	0.00	0.18	0.26	0.35	86.08	0.09	12.96
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Two-year weighted average
AAA	94.49	3.50	1.09	0.63	0.18	0.09	0.02	0.00	0.00	0.00
AA	15.40	79.13	2.87	1.32	0.59	0.44	0.18	0.01	0.00	0.06
A	6.75	8.49	78.11	4.42	0.66	0.84	0.41	0.06	0.00	0.26
BBB	6.32	4.06	6.41	74.80	3.52	2.93	1.26	0.17	0.00	0.54
BB	1.78	2.85	6.63	9.46	62.79	9.29	3.77	1.33	0.02	2.08
B	0.77	0.80	1.22	3.08	7.21	60.81	16.76	2.55	0.03	6.75
CCC	0.00	0.00	0.23	0.55	0.86	3.71	69.76	11.35	0.00	13.54
CC	0.00	0.19	0.00	0.00	0.28	0.56	0.66	76.69	0.09	21.52
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	92.29	4.70	1.52	0.84	0.31	0.23	0.09	0.00	0.00	0.01
AA	18.78	74.26	3.29	1.60	0.74	0.86	0.30	0.03	0.00	0.14
A	8.98	10.12	72.50	5.15	0.84	1.09	0.66	0.16	0.00	0.51
BBB	9.65	4.29	6.56	68.70	3.82	3.34	2.16	0.32	0.01	1.14
BB	4.48	4.41	7.73	9.28	54.10	9.51	4.71	1.74	0.02	4.02
B	1.54	1.42	1.72	3.41	8.05	52.51	18.35	3.26	0.04	9.70
CCC	0.00	0.04	0.41	0.69	1.26	4.85	59.19	14.84	0.04	18.67
CC	0.00	0.31	0.00	0.00	0.20	0.61	0.72	69.36	0.00	28.79
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	90.61	5.61	1.88	0.96	0.42	0.33	0.17	0.01	0.00	0.01
AA	19.96	71.81	3.55	1.83	0.83	1.23	0.50	0.04	0.00	0.26
A	10.13	11.39	69.10	5.22	0.98	1.22	0.91	0.28	0.00	0.77
BBB	10.81	4.43	6.69	65.53	4.08	3.50	2.60	0.41	0.02	1.95
BB	6.11	4.99	7.53	8.94	50.17	9.60	4.94	1.88	0.02	5.82
B	1.99	1.42	1.91	3.69	8.31	47.04	19.75	4.01	0.04	11.84
CCC	0.00	0.13	0.73	0.73	1.41	5.19	51.14	17.75	0.00	22.93
CC	0.00	0.34	0.00	0.00	0.11	0.67	0.78	63.79	0.00	34.30
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	89.13	6.53	2.09	1.06	0.47	0.42	0.24	0.03	0.00	0.02
AA	20.47	70.13	4.00	1.89	0.88	1.46	0.67	0.08	0.00	0.42
A	10.90	12.34	66.87	5.09	1.14	1.33	0.95	0.33	0.00	1.04
BBB	10.54	4.90	7.00	63.58	4.13	3.75	2.85	0.50	0.02	2.72
BB	6.14	5.21	7.93	9.02	47.73	9.46	5.21	1.89	0.03	7.39
B	2.33	1.34	1.94	4.09	8.27	42.76	21.45	4.61	0.04	13.18
CCC	0.00	0.22	1.08	0.63	1.57	5.44	43.98	20.26	0.00	26.82
CC	0.00	0.25	0.12	0.00	0.00	0.75	0.87	59.25	0.00	38.76
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	85.73	8.49	2.48	1.35	0.62	0.73	0.46	0.09	0.00	0.05
AA	18.00	68.14	4.67	3.16	1.26	1.58	1.59	0.36	0.00	1.25
A	9.87	14.64	63.89	5.03	1.32	1.55	0.89	0.71	0.00	2.08
BBB	8.33	6.23	7.65	60.61	3.98	4.04	2.38	1.18	0.04	5.57
BB	3.31	4.87	6.33	8.11	47.37	7.22	5.69	2.52	0.04	14.54
B	4.39	0.95	1.46	3.88	7.57	28.45	19.54	9.80	0.06	23.87
CCC	0.00	0.84	1.67	0.26	1.80	3.41	21.98	26.03	0.00	44.02
CC	0.00	0.27	0.00	0.00	0.00	1.09	0.82	33.42	0.00	64.40
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 58

Global ABS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	64.34	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	35.66
AA	13.08	75.14	0.48	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.30
A	4.39	10.42	73.03	0.64	0.00	0.09	0.00	0.00	0.00	0.00	11.43
BBB	1.44	5.05	10.63	75.86	0.36	0.00	0.00	0.00	0.00	0.00	6.67
BB	0.00	0.99	3.97	6.95	70.20	1.99	0.00	0.00	0.00	0.00	15.89
B	0.00	0.00	0.57	2.27	7.39	64.77	3.41	0.57	0.00	1.70	19.32
CCC	0.00	0.00	0.00	0.00	0.82	4.92	60.66	4.92	0.00	4.92	23.77
CC	0.00	0.00	0.00	0.00	0.00	0.00	1.28	87.18	0.00	11.54	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	75.31	1.89	0.58	0.18	0.03	0.02	0.00	0.00	0.00	0.00	21.98
AA	7.19	74.50	1.83	0.91	0.37	0.06	0.01	0.01	0.00	0.01	15.10
A	2.44	5.27	74.35	2.82	0.38	0.38	0.13	0.02	0.00	0.09	14.11
BBB	2.15	2.00	4.69	72.72	2.35	1.58	0.62	0.07	0.00	0.19	13.63
BB	0.30	0.81	2.92	6.59	65.06	6.22	2.42	0.50	0.00	0.73	14.46
B	0.16	0.20	0.46	1.62	4.15	67.86	10.42	1.38	0.00	2.80	10.94
CCC	0.00	0.00	0.11	0.19	0.26	1.97	77.06	6.48	0.00	7.67	6.26
CC	0.00	0.09	0.00	0.00	0.18	0.09	0.35	82.92	0.09	12.96	3.33
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	54.38	2.93	0.95	0.52	0.16	0.07	0.02	0.00	0.00	0.00	40.97
AA	7.96	56.11	2.40	0.92	0.48	0.43	0.18	0.01	0.00	0.06	31.44
A	3.79	6.15	54.08	4.03	0.56	0.70	0.40	0.06	0.00	0.26	29.97
BBB	4.61	3.09	4.81	51.22	3.19	2.76	1.20	0.15	0.00	0.54	28.42
BB	0.99	1.97	4.87	7.76	39.29	8.51	3.54	1.27	0.00	2.08	29.72
B	0.24	0.66	0.77	2.52	5.56	44.86	15.96	2.41	0.00	6.75	20.26
CCC	0.00	0.00	0.23	0.47	0.43	2.46	61.65	10.50	0.00	13.54	10.73
CC	0.00	0.19	0.00	0.00	0.28	0.19	0.66	70.96	0.09	21.52	6.11
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	37.75	3.54	1.20	0.60	0.24	0.19	0.09	0.00	0.00	0.01	56.38
AA	6.88	43.00	2.52	0.96	0.55	0.82	0.30	0.03	0.00	0.14	44.79
A	2.85	5.52	38.13	4.33	0.66	0.86	0.60	0.15	0.00	0.51	46.40
BBB	5.59	2.15	3.70	35.32	3.15	3.01	2.06	0.30	0.00	1.14	43.57
BB	1.99	2.22	3.89	5.76	22.99	7.95	4.32	1.62	0.00	4.02	45.23
B	0.52	0.90	0.82	2.43	5.24	32.17	16.67	3.07	0.00	9.70	28.46
CCC	0.00	0.04	0.41	0.61	0.61	2.45	49.37	13.09	0.04	18.67	14.72
CC	0.00	0.31	0.00	0.00	0.20	0.20	0.72	61.78	0.00	28.79	7.99
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	25.99	3.79	1.37	0.59	0.27	0.27	0.16	0.01	0.00	0.01	67.54
AA	5.17	34.59	2.42	0.91	0.59	1.14	0.50	0.03	0.00	0.26	54.39
A	2.04	4.75	26.83	3.94	0.73	0.83	0.82	0.26	0.00	0.77	59.05
BBB	4.49	1.23	2.77	24.92	3.00	3.03	2.38	0.37	0.01	1.95	55.85
BB	1.39	1.29	2.12	3.80	14.15	7.16	4.41	1.66	0.00	5.82	58.21
B	0.57	0.65	0.85	2.27	4.50	24.17	16.83	3.28	0.00	11.84	35.04
CCC	0.00	0.09	0.64	0.64	0.64	2.10	40.68	15.56	0.00	22.93	16.72
CC	0.00	0.34	0.00	0.00	0.11	0.22	0.78	55.04	0.00	34.30	9.19
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	18.00	4.03	1.38	0.56	0.27	0.32	0.23	0.03	0.00	0.02	75.16
AA	4.74	28.27	2.50	0.79	0.57	1.29	0.65	0.08	0.00	0.42	60.71
A	2.21	4.29	18.48	3.36	0.76	0.78	0.83	0.28	0.00	1.04	67.98
BBB	3.10	1.19	2.32	17.19	2.71	3.13	2.52	0.43	0.00	2.72	64.69
BB	0.44	0.88	1.53	2.80	9.02	6.56	4.59	1.53	0.00	7.39	65.28
B	0.56	0.65	0.90	2.15	3.79	17.96	17.18	3.40	0.00	13.18	40.22
CCC	0.00	0.09	0.81	0.54	0.72	2.07	32.79	17.74	0.00	26.82	18.42
CC	0.00	0.25	0.12	0.00	0.00	0.25	0.87	49.19	0.00	38.76	10.56
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	3.92	3.03	0.81	0.31	0.20	0.38	0.38	0.07	0.00	0.05	90.84
AA	2.12	10.42	1.66	0.89	0.47	1.12	1.45	0.32	0.00	1.25	80.30
A	0.81	3.18	2.71	1.40	0.59	0.58	0.59	0.49	0.00	2.08	87.56
BBB	0.33	1.32	1.40	3.22	1.61	2.36	1.69	0.97	0.00	5.57	81.54
BB	0.07	0.68	0.82	1.17	1.49	2.28	3.66	1.46	0.00	14.54	73.83
B	0.76	0.25	0.38	1.40	2.23	3.56	11.84	6.17	0.00	23.87	49.52
CCC	0.00	0.13	0.58	0.13	0.45	1.41	9.25	23.14	0.00	44.02	20.89
CC	0.00	0.27	0.00	0.00	0.00	0.00	0.82	20.38	0.00	64.40	14.13
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Global CMBS

Table 59

Global CMBS default rates, conditional on survival, 1986-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.09	0.22	0.38	0.56	0.70	0.83	0.97	1.08	1.18
AA	0.06	0.32	0.91	1.62	2.41	3.24	4.01	4.62	5.20	5.68
A	0.09	0.58	1.75	3.29	4.81	6.16	7.25	8.19	8.90	9.50
BBB	0.38	1.94	4.89	8.27	11.33	13.69	15.50	16.85	17.88	18.73
BB	1.59	6.11	12.50	18.78	23.97	28.25	31.50	33.94	36.02	37.65
B	6.65	17.04	27.59	36.69	43.71	48.72	52.49	55.45	57.59	58.90
CCC	37.79	57.86	66.59	70.93	72.94	74.29	75.12	75.60	75.84	75.94
CC	52.85	82.71	93.19	93.19	93.19	93.19	93.19	93.19	93.19	93.19
IG	0.11	0.59	1.56	2.72	3.83	4.76	5.52	6.13	6.61	7.01
SG	10.77	20.68	29.16	36.13	41.41	45.39	48.36	50.60	52.33	53.53
Overall	2.98	6.01	9.04	11.80	14.07	15.85	17.21	18.26	19.07	19.67
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 60

Global CMBS default rates by rating modifier, conditional on survival, 1986-2023
	Time horizon (years)
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.03	0.09	0.22	0.38	0.56	0.70	0.83	0.97	1.08	1.18
AA+	0.08	0.34	0.69	1.07	1.42	1.84	2.25	2.64	3.22	3.65
AA	0.04	0.28	0.88	1.52	2.31	3.08	3.78	4.31	4.75	5.17
AA-	0.06	0.39	1.16	2.29	3.51	4.84	6.16	7.19	8.12	8.88
A+	0.07	0.61	1.56	2.70	3.59	4.24	4.84	5.49	6.01	6.32
A	0.14	0.57	1.58	3.00	4.53	6.05	7.27	8.18	8.82	9.40
A-	0.03	0.58	2.12	4.16	6.14	7.82	9.10	10.35	11.38	12.29
BBB+	0.30	1.57	4.07	7.22	9.97	12.29	13.86	15.06	16.11	16.91
BBB	0.27	1.48	4.02	7.12	10.03	12.25	14.04	15.42	16.48	17.26
BBB-	0.53	2.65	6.32	10.18	13.62	16.18	18.18	19.63	20.61	21.58
BB+	0.99	4.59	10.45	16.21	20.58	23.95	26.71	28.73	30.42	31.77
BB	1.61	6.15	12.63	18.97	24.17	28.55	31.90	34.33	36.34	37.93
BB-	2.15	7.59	14.40	21.17	27.23	32.40	36.07	39.04	41.73	43.83
B+	4.24	12.55	22.42	31.43	38.65	44.17	48.38	51.78	54.40	56.17
B	5.57	15.61	26.27	35.32	42.61	47.58	51.36	54.47	56.55	57.66
B-	9.56	21.90	32.91	42.12	48.76	53.40	56.79	59.25	61.05	62.14
CCC+	26.53	48.23	59.19	64.79	67.91	69.88	71.00	71.91	72.17	72.26
CCC	30.36	51.76	61.89	67.48	70.62	72.98	74.64	75.67	76.35	76.63
CCC-	46.44	65.09	72.15	75.30	76.26	76.82	77.09	77.12	77.12	77.12
CC	52.85	82.71	93.19	93.19	93.19	93.19	93.19	93.19	93.19	93.19
IG	0.11	0.59	1.56	2.72	3.83	4.76	5.52	6.13	6.61	7.01
SG	10.77	20.68	29.16	36.13	41.41	45.39	48.36	50.60	52.33	53.53
Overall	2.98	6.01	9.04	11.80	14.07	15.85	17.21	18.26	19.07	19.67
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 61

Global CMBS one-year default rates, 1986-2023
(%)	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1986	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1993	0.27	0.00	7.69	0.00	0.00	0.00	0.00	0.00	14.29	0.00	N/A
1994	0.19	0.00	3.57	0.00	0.00	0.00	0.00	0.00	7.69	0.00	N/A
1995	0.14	0.00	1.79	0.00	0.00	0.00	0.00	0.00	0.00	16.67	N/A
1996	0.51	0.00	4.40	0.00	0.00	0.00	0.00	0.00	0.00	50.00	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
1999	0.06	0.00	0.31	0.00	0.00	0.00	0.00	0.00	0.00	14.29	N/A
2000	0.05	0.00	0.26	0.00	0.00	0.00	0.00	0.00	0.65	0.00	0.00
2001	0.31	0.00	1.44	0.00	0.00	0.00	0.00	0.00	1.62	25.00	0.00
2002	0.87	0.00	4.19	0.00	0.00	0.00	0.00	2.89	3.83	29.17	0.00
2003	0.77	0.20	2.96	0.00	0.00	0.15	0.64	0.00	3.53	17.07	N/A
2004	0.32	0.02	1.46	0.00	0.00	0.00	0.09	0.16	1.48	13.33	50.00
2005	0.31	0.02	1.37	0.00	0.00	0.00	0.08	0.13	1.65	11.25	0.00
2006	0.17	0.00	0.81	0.00	0.00	0.00	0.00	0.11	0.41	15.15	N/A
2007	0.17	0.01	0.77	0.00	0.00	0.00	0.06	0.00	0.45	16.44	N/A
2008	0.29	0.04	1.19	0.00	0.00	0.00	0.22	0.15	0.85	22.78	N/A
2009	2.08	0.43	7.45	0.17	0.29	0.30	1.31	3.11	6.89	25.07	0.00
2010	8.89	0.46	22.33	0.06	0.40	0.39	1.59	6.53	15.52	48.18	8.33
2011	11.85	0.19	28.82	0.11	0.00	0.00	0.67	3.59	23.21	56.97	29.31
2012	6.84	0.12	17.29	0.00	0.00	0.12	0.48	1.99	6.17	37.96	75.47
2013	5.31	0.11	13.30	0.00	0.00	0.30	0.30	1.27	3.99	29.38	100.00
2014	4.13	0.00	10.73	0.00	0.00	0.00	0.00	0.58	3.99	25.79	100.00
2015	4.41	0.04	11.61	0.00	0.00	0.00	0.18	0.61	6.03	31.18	66.67
2016	3.18	0.18	8.40	0.00	0.46	0.23	0.20	0.83	4.16	29.53	87.50
2017	3.28	0.05	9.73	0.00	0.00	0.00	0.24	1.72	6.24	39.38	14.29
2018	2.23	0.00	7.95	0.00	0.00	0.00	0.00	1.48	4.62	40.40	16.67
2019	2.46	0.00	10.92	0.00	0.00	0.00	0.00	2.15	10.00	56.00	83.33
2020	0.78	0.13	3.82	0.00	0.00	0.00	0.77	0.78	1.44	36.36	100.00
2021	2.19	0.00	11.22	0.00	0.00	0.00	0.00	3.05	5.22	41.41	N/A
2022	0.30	0.00	1.96	0.00	0.00	0.00	0.00	0.00	0.99	10.61	N/A
2023	1.23	0.16	6.90	0.00	0.00	0.81	0.31	1.08	7.87	16.00	0.00
Weighted average	2.98	0.11	10.77	0.03	0.06	0.09	0.38	1.59	6.65	37.79	52.85
Median	0.31	0.00	4.00	0.00	0.00	0.00	0.00	0.16	3.68	25.00	22.99
Standard deviation	2.70	0.11	6.89	0.03	0.11	0.16	0.39	1.50	5.28	16.73	41.24
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	11.85	0.46	28.82	0.17	0.46	0.81	1.59	6.53	23.21	56.97	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 62

Global CMBS rating transitions, 2023 and multiyear averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	97.48	2.03	0.33	0.00	0.08	0.00	0.08	0.00	0.00	0.00
AA	1.33	93.55	3.61	0.95	0.19	0.38	0.00	0.00	0.00	0.00
A	0.81	0.54	85.68	8.11	2.43	0.81	0.81	0.00	0.00	0.81
BBB	0.31	0.31	1.23	84.26	10.80	2.16	0.62	0.00	0.00	0.31
BB	0.00	0.54	0.00	1.08	76.76	17.30	3.24	0.00	0.00	1.08
B	0.00	0.00	0.00	0.00	0.56	78.09	13.48	0.00	0.00	7.87
CCC	0.00	0.00	0.00	0.00	0.00	1.00	83.00	0.00	0.00	16.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	96.91	1.26	0.91	0.48	0.27	0.12	0.02	0.00	0.00	0.03
AA	6.36	86.64	3.17	1.63	1.14	0.88	0.12	0.00	0.00	0.06
A	2.40	5.49	83.22	4.32	2.16	1.83	0.49	0.00	0.00	0.09
BBB	0.92	1.91	3.90	81.83	5.32	3.83	1.88	0.02	0.00	0.38
BB	0.36	0.77	0.77	3.01	79.19	8.49	5.67	0.10	0.05	1.59
B	0.07	0.36	0.38	0.53	1.84	76.01	13.99	0.17	0.00	6.65
CCC	0.01	0.13	0.11	0.19	0.60	1.60	58.63	0.94	0.00	37.79
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	47.15	0.00	52.85
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Two-year weighted average
AAA	93.97	2.15	1.88	1.01	0.56	0.23	0.10	0.00	0.00	0.09
AA	12.00	74.92	4.97	2.99	2.39	1.97	0.43	0.00	0.00	0.32
A	5.04	10.07	68.80	6.44	4.06	3.73	1.25	0.04	0.00	0.57
BBB	2.05	3.80	7.17	66.42	7.58	6.39	4.58	0.08	0.00	1.94
BB	0.84	1.57	1.42	5.51	62.97	11.79	9.52	0.23	0.05	6.12
B	0.17	0.81	0.79	1.06	3.35	58.48	18.02	0.30	0.00	17.02
CCC	0.03	0.30	0.27	0.40	1.08	2.92	35.89	1.01	0.00	58.08
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	17.19	0.00	82.81
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Three-year weighted average
AAA	91.95	2.77	2.51	1.26	0.74	0.33	0.23	0.00	0.00	0.22
AA	16.18	66.68	5.87	3.81	2.97	2.56	1.02	0.01	0.00	0.90
A	7.70	12.95	58.67	7.30	4.94	4.30	2.26	0.14	0.00	1.74
BBB	3.36	5.62	9.21	55.47	8.24	6.93	6.09	0.18	0.00	4.91
BB	1.33	2.32	2.12	7.40	51.79	11.99	10.13	0.35	0.05	12.53
B	0.29	1.34	1.14	1.46	4.35	47.32	16.14	0.27	0.00	27.69
CCC	0.04	0.72	0.50	0.66	1.40	3.47	25.68	0.51	0.00	67.02
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.77	0.00	93.23
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Four-year weighted average
AAA	90.64	3.26	2.81	1.28	0.78	0.51	0.32	0.00	0.00	0.39
AA	19.06	61.15	6.50	4.19	2.90	2.70	1.88	0.01	0.00	1.62
A	9.85	14.45	52.13	7.71	5.15	4.19	3.04	0.17	0.00	3.31
BBB	4.62	7.11	10.20	48.25	8.19	6.56	6.53	0.17	0.00	8.37
BB	1.79	3.14	2.80	8.39	44.36	11.14	9.16	0.31	0.05	18.87
B	0.44	1.88	1.40	1.75	4.95	39.61	12.78	0.21	0.00	36.99
CCC	0.07	1.17	0.73	0.90	1.47	3.48	20.52	0.16	0.00	71.50
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.77	0.00	93.23
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Five-year weighted average
AAA	89.91	3.57	2.88	1.24	0.81	0.67	0.36	0.00	0.00	0.56
AA	21.46	57.05	6.88	4.16	2.78	2.97	2.24	0.01	0.00	2.46
A	11.93	15.42	47.59	7.75	4.84	4.07	3.47	0.07	0.00	4.86
BBB	5.80	8.50	10.78	43.05	7.87	6.11	6.28	0.15	0.00	11.49
BB	2.16	3.98	3.38	8.91	38.71	10.07	8.31	0.22	0.05	24.20
B	0.54	2.38	1.67	2.01	5.31	33.30	10.39	0.19	0.00	44.20
CCC	0.12	1.58	0.88	1.04	1.43	3.19	18.15	0.07	0.00	73.54
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.84	0.00	93.16
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
10-year weighted average
AAA	89.39	4.04	2.89	0.98	0.74	0.42	0.30	0.01	0.00	1.24
AA	27.11	49.92	7.49	3.49	2.36	2.13	1.34	0.01	0.00	6.15
A	17.30	16.16	39.41	7.47	4.16	3.36	1.95	0.01	0.00	10.19
BBB	9.66	11.25	10.67	33.08	6.20	4.88	3.93	0.08	0.00	20.25
BB	3.48	6.94	4.73	7.70	24.38	5.97	5.50	0.15	0.00	41.17
B	0.96	2.99	2.43	2.58	4.70	17.89	4.86	0.02	0.00	63.57
CCC	0.24	2.03	0.72	0.77	1.07	2.01	15.22	0.02	0.00	77.92
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.14	0.00	92.86
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 63

Global CMBS rating transitions, 2023 and multiyear averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	88.37	2.03	0.33	0.00	0.08	0.00	0.08	0.00	0.00	0.00	9.11
AA	0.95	84.82	3.61	0.95	0.19	0.38	0.00	0.00	0.00	0.00	9.11
A	0.81	0.54	77.84	8.11	2.43	0.81	0.81	0.00	0.00	0.81	7.84
BBB	0.31	0.31	1.23	77.16	10.80	2.16	0.62	0.00	0.00	0.31	7.10
BB	0.00	0.54	0.00	1.08	63.78	17.30	3.24	0.00	0.00	1.08	12.97
B	0.00	0.00	0.00	0.00	0.56	72.47	13.48	0.00	0.00	7.87	5.62
CCC	0.00	0.00	0.00	0.00	0.00	1.00	81.00	0.00	0.00	16.00	2.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	82.88	1.21	0.83	0.48	0.25	0.12	0.02	0.00	0.00	0.03	14.20
AA	5.52	75.03	2.95	1.62	1.13	0.88	0.12	0.00	0.00	0.06	12.69
A	1.88	5.13	73.77	4.21	2.14	1.81	0.49	0.00	0.00	0.09	10.50
BBB	0.68	1.65	3.68	73.38	5.15	3.79	1.87	0.02	0.00	0.38	9.39
BB	0.26	0.59	0.67	2.94	72.91	8.34	5.57	0.10	0.05	1.59	6.99
B	0.06	0.27	0.31	0.44	1.70	71.32	13.73	0.17	0.00	6.65	5.35
CCC	0.01	0.13	0.11	0.19	0.57	1.51	53.61	0.93	0.00	37.79	5.15
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	44.56	0.00	52.85	2.59
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Two-year weighted average
AAA	66.98	1.91	1.61	0.99	0.52	0.21	0.09	0.00	0.00	0.09	27.60
AA	8.92	54.04	4.37	2.89	2.37	1.95	0.40	0.00	0.00	0.32	24.75
A	3.33	8.47	51.99	5.92	3.92	3.69	1.23	0.04	0.00	0.57	20.84
BBB	1.30	2.76	6.19	51.03	6.92	6.16	4.47	0.08	0.00	1.94	19.15
BB	0.54	0.90	0.96	5.03	51.68	11.23	9.15	0.23	0.05	6.12	14.11
B	0.13	0.47	0.52	0.72	2.81	49.87	17.35	0.29	0.00	17.02	10.82
CCC	0.03	0.23	0.22	0.33	0.87	2.57	26.80	1.00	0.00	58.08	9.88
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.98	0.00	82.81	5.21
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Three-year weighted average
AAA	53.11	2.18	1.99	1.19	0.65	0.30	0.21	0.00	0.00	0.22	40.15
AA	10.57	38.67	4.61	3.51	2.87	2.51	0.95	0.01	0.00	0.90	35.40
A	4.61	9.85	36.25	6.16	4.55	4.14	2.14	0.14	0.00	1.74	30.41
BBB	1.95	3.63	7.22	35.48	6.92	6.35	5.71	0.18	0.00	4.91	27.65
BB	0.73	1.06	1.26	6.28	36.83	10.92	9.23	0.33	0.05	12.53	20.79
B	0.20	0.63	0.57	0.78	3.29	35.85	14.97	0.26	0.00	27.69	15.77
CCC	0.04	0.50	0.37	0.47	0.92	2.72	13.93	0.50	0.00	67.02	13.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.23	6.77
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Four-year weighted average
AAA	41.14	2.22	1.98	1.16	0.65	0.46	0.27	0.00	0.00	0.39	51.72
AA	10.85	27.57	4.52	3.59	2.68	2.57	1.74	0.01	0.00	1.62	44.84
A	5.29	9.80	25.76	5.77	4.41	3.81	2.77	0.17	0.00	3.31	38.91
BBB	2.24	4.12	7.18	25.12	6.19	5.55	5.73	0.16	0.00	8.37	35.34
BB	0.83	1.14	1.49	6.57	26.83	9.41	7.79	0.27	0.05	18.87	26.76
B	0.26	0.69	0.53	0.72	3.30	26.26	11.13	0.20	0.00	36.99	19.93
CCC	0.06	0.68	0.44	0.52	0.74	2.36	7.04	0.15	0.00	71.50	16.52
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.23	6.77
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
Five-year weighted average
AAA	31.06	2.04	1.70	1.03	0.64	0.61	0.28	0.00	0.00	0.56	62.07
AA	10.15	19.07	4.20	3.23	2.35	2.73	2.01	0.01	0.00	2.46	53.80
A	5.54	9.07	17.81	4.96	3.68	3.36	3.05	0.07	0.00	4.86	47.59
BBB	2.30	4.49	6.73	17.56	5.17	4.63	5.09	0.13	0.00	11.49	42.42
BB	0.76	1.25	1.60	6.37	19.38	7.82	6.48	0.16	0.05	24.20	31.93
B	0.25	0.68	0.48	0.64	3.10	18.69	8.34	0.18	0.00	44.20	23.45
CCC	0.07	0.70	0.43	0.46	0.48	1.68	3.66	0.06	0.00	73.54	18.91
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.16	6.84
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
10-year weighted average
AAA	2.56	0.55	0.31	0.11	0.16	0.20	0.06	0.01	0.00	1.24	94.81
AA	1.20	3.55	1.29	0.65	0.56	0.75	0.52	0.01	0.00	6.15	85.31
A	1.02	1.87	2.44	1.64	0.98	1.02	0.59	0.01	0.00	10.19	80.23
BBB	0.83	1.61	1.50	2.91	1.10	1.18	1.12	0.04	0.00	20.25	69.46
BB	0.30	1.00	1.12	1.91	2.73	1.92	1.68	0.03	0.00	41.17	48.13
B	0.18	0.39	0.35	0.34	1.03	2.78	1.44	0.00	0.00	63.57	29.92
CCC	0.00	0.05	0.03	0.03	0.02	0.14	0.16	0.00	0.00	77.92	21.64
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	92.86	7.14
C	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 64

U.S. prime RMBS lifetime transition and default summary, 1978-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	41,723	71.97	0.00	28.03	10.47	4,367.00	83.30
AA	3,711	23.47	35.57	40.96	17.84	662.00	75.86
A	1,927	7.16	31.81	61.03	40.79	786.00	53.71
BBB	1,826	7.06	28.75	64.18	50.44	921.00	45.24
BB	1,674	7.65	23.72	68.64	56.99	954.00	40.14
B	1,711	13.73	16.66	69.61	60.90	1,042.00	37.23
CCC	6	50.00	0.00	50.00	50.00	3.00	50.00
CC	5	20.00	0.00	80.00	80.00	4.00	20.00
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	49,187	63.36	5.00	31.64	13.69	6,736.00	80.17
Speculative-grade	3,396	10.81	20.08	69.11	58.98	2,003.00	38.66
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 65

U.S. nonconforming RMBS lifetime transition and default summary, 2017-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	431	100.00	0.00	0.00	0.00	0.00	21.58
AA	302	57.62	42.38	0.00	0.00	0.00	18.21
A	260	53.46	46.54	0.00	0.00	0.00	20.38
BBB	247	51.82	48.18	0.00	0.00	0.00	21.05
BB	253	56.92	42.69	0.40	0.00	0.00	21.34
B	278	59.71	30.58	9.71	0.00	0.00	17.99
CCC	0	N/A	N/A	N/A	N/A	N/A	N/A
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	1,240	70.32	29.68	0.00	0.00	0.00	20.40
Speculative-grade	531	58.38	36.35	5.27	0.00	0.00	19.59
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 66

U.S. re-performing RMBS lifetime transition and default summary, 1989-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	601	70.22	0.00	29.78	6.66	40.00	83.53
AA	257	19.46	17.51	63.04	33.46	86.00	46.69
A	247	11.34	12.15	76.52	52.63	130.00	32.39
BBB	334	11.08	2.99	85.93	66.17	221.00	20.66
BB	50	10.00	6.00	84.00	76.00	38.00	22.00
B	10	0.00	0.00	100.00	100.00	10.00	0.00
CCC	3	0.00	0.00	100.00	100.00	3.00	0.00
CC	6	0.00	0.00	100.00	100.00	6.00	0.00
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	1,439	37.32	5.91	56.78	33.15	477.00	53.58
Speculative-grade	69	7.25	4.35	88.41	82.61	57.00	15.94
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 67

U.K. prime RMBS lifetime transition and default summary, 1987-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	834	83.09	0.00	16.91	0.00	0.00	97.84
AA	283	67.49	12.37	20.14	0.00	0.00	95.05
A	186	63.98	13.98	22.04	0.00	0.00	93.01
BBB	262	67.94	19.47	12.60	0.00	0.00	94.66
BB	22	72.73	27.27	0.00	0.00	0.00	59.09
B	11	63.64	36.36	0.00	0.00	0.00	18.18
CCC	3	100.00	0.00	0.00	0.00	0.00	0.00
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	1,565	75.46	7.16	17.38	0.00	0.00	96.23
Speculative-grade	36	72.22	27.78	0.00	0.00	0.00	41.67
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 68

U.K. buy-to-let RMBS lifetime transition and default summary, 1997-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	228	72.37	0.00	27.63	0.44	1.00	60.53
AA	161	53.42	28.57	18.01	0.62	1.00	45.34
A	141	40.43	52.48	7.09	0.71	1.00	41.13
BBB	117	46.15	50.43	3.42	0.85	1.00	38.46
BB	67	50.75	37.31	11.94	1.49	1.00	41.79
B	38	47.37	50.00	2.63	0.00	0.00	28.95
CCC	6	100.00	0.00	0.00	0.00	0.00	50.00
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	647	55.95	27.67	16.38	0.62	4.00	48.53
Speculative-grade	111	52.25	39.64	8.11	0.90	1.00	37.84
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 69

U.K. nonconforming RMBS lifetime transition and default summary, 1996-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	798	77.44	0.00	22.56	0.25	2.00	86.47
AA	274	31.75	30.66	37.59	0.73	2.00	62.04
A	284	37.32	52.11	10.56	0.70	2.00	64.08
BBB	275	33.09	50.91	16.00	0.73	2.00	63.64
BB	158	34.81	31.01	34.18	1.90	3.00	60.76
B	48	60.42	16.67	22.92	0.00	0.00	39.58
CCC	17	76.47	23.53	0.00	0.00	0.00	52.94
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	1,631	55.30	22.81	21.89	0.49	8.00	74.62
Speculative-grade	223	43.50	27.35	29.15	1.35	3.00	55.61
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 70

Dutch prime RMBS lifetime transition and default summary, 1995-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	299	90.64	0.00	9.36	0.00	0.00	90.30
AA	132	56.06	22.73	21.21	0.76	1.00	84.09
A	111	41.44	43.24	15.32	0.90	1.00	81.98
BBB	102	41.18	36.27	22.55	0.00	0.00	84.31
BB	20	35.00	30.00	35.00	0.00	0.00	70.00
B	2	100.00	0.00	0.00	0.00	0.00	100.00
CCC	0	N/A	N/A	N/A	N/A	N/A	N/A
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	644	67.24	17.86	14.91	0.31	2.00	86.65
Speculative-grade	22	40.91	27.27	31.82	0.00	0.00	72.73
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 71

Spanish prime RMBS lifetime transition and default summary, 1994-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	205	58.05	0.00	41.95	0.00	0.00	73.17
AA	52	21.15	25.00	53.85	3.85	2.00	57.69
A	131	16.03	41.98	41.98	9.92	13.00	61.07
BBB	99	17.17	38.38	44.44	19.19	19.00	49.49
BB	49	22.45	32.65	44.90	24.49	12.00	38.78
B	3	0.00	33.33	66.67	66.67	2.00	0.00
CCC	37	18.92	8.11	72.97	72.97	27.00	13.51
CC	3	0.00	33.33	66.67	66.67	2.00	0.00
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	487	34.50	21.77	43.74	6.98	34.00	63.45
Speculative-grade	92	19.57	22.83	57.61	46.74	43.00	26.09
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 72

Australian prime RMBS lifetime transition and default summary, 1988-2023
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
AAA	1,832	98.80	0.00	1.20	0.00	0.00	74.78
AA	806	39.70	31.14	29.16	0.00	0.00	78.78
A	256	44.53	54.69	0.78	0.00	0.00	36.33
BBB	176	47.73	52.27	0.00	0.00	0.00	30.11
BB	153	50.98	49.02	0.00	0.00	0.00	27.45
B	61	62.30	37.70	0.00	0.00	0.00	27.87
CCC	0	N/A	N/A	N/A	N/A	N/A	N/A
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
C	0	N/A	N/A	N/A	N/A	N/A	N/A
Investment-grade	3,070	75.83	15.73	8.44	0.00	0.00	70.07
Speculative-grade	214	54.21	45.79	0.00	0.00	0.00	27.57
RMBS--Residential mortgage-backed securities. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

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

As detailed in Appendix I, this study uses the "uncollapsed" approach to the treatment of securities with original ratings of 'AAA', rather than the "collapsed" approach, which was used in studies published before 2018. Charts 25-28 illustrate the resulting differences in some example summary statistics.

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Credit Research & Insights:	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