The overall credit quality of European structured finance transactions continued to improve in 2023, following the trend set in March 2021 (see chart 1). The average change in credit quality (ACCQ; see definition in Appendix I) for European structured finance rose to +0.20 notches by year-end 2023, from +0.19 notches a year earlier. This metric had been largely positive since year-end 2015, only briefly turning negative in January and February 2021.

The 2023 downgrade rate remained at 1.4% in 2023, the same as in 2022. Meanwhile, the upgrade rate rose by more than two percentage points, to 11.7% from 9.6% the previous year. There were five defaults in European structured finance in 2023, yielding a default rate of 0.11%. This compares to three defaults and a default rate of 0.07% in 2022.

Of the five defaults in 2023, one was investment grade (rated 'BBB-' and above) and rated 'A'. Of the speculative-grade defaults, two were rated in the 'CCC' category and two in the 'CC' category at the beginning of the year.

S&P Global Ratings had 4,684 ratings outstanding on European structured finance securities at the beginning of 2023 (see table 1). Given the inherent diversity across European financial systems, the performance of the various structured finance sectors remained mixed.

Table 1

European structured finance transition and default summary
2023 versus one-year average
		--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
Sector
RMBS	1,640	78.6	19.9	1.5	0.1	1	80.3	9.2	10.6	0.3
Structured credit	2,434	94.7	4.9	0.3	0.2	4	76.2	8.8	15.0	1.2
ABS	377	81.7	17.2	1.1	0.0	0	88.2	5.7	6.0	0.2
CMBS	215	69.3	17.7	13.0	0.0	0	74.7	3.9	21.5	2.9
Single-name synthetics	18	100.0	0.0	0.0	0.0	0	82.0	3.6	14.3	0.4
Collateral country
U.K.	1,314	77.8	18.9	3.3	0.0	0	80.3	7.9	11.8	0.5
Spain	235	74.5	25.5	0.0	0.0	0	70.3	12.9	16.8	1.4
Italy	78	67.9	32.1	0.0	0.0	0	79.4	6.6	14.1	0.3
Netherlands	262	78.2	19.8	1.9	0.4	1	87.1	6.4	6.5	0.3
Germany	123	86.2	10.6	3.3	0.0	0	82.4	5.4	12.2	1.7
Portugal	48	77.1	22.9	0.0	0.0	0	75.8	11.0	13.1	0.0
Other	2,624	94.2	5.4	0.4	0.2	4	77.6	8.0	14.4	1.2
Vintage
Pre-2005	83	71.1	27.7	1.2	0.0	0	85.8	5.9	8.4	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
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. RMBS--Residential mortgage-backed securities. ABS--Asset-backed securities. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Defaults in 2023 came from the structured credit (four defaults) and residential mortgage-backed securities (RMBS; one default) sectors, yielding default rates of 0.16% and 0.06%, respectively. The default rates in every sector remained below their respective one-year averages.

For the ninth consecutive year, the asset-backed securities (ABS) sector recorded zero defaults. Additionally, there were no defaults in the commercial mortgage-backed securities (CMBS) sector for the second year in a row, with 2022 marking the first year without CMBS defaults since 2006.

Downgrade rates, which represent the number of downgrades as a proportion of the number of ratings outstanding, were mixed in 2023: some sectors increased, while others declined. Downgrades remained concentrated in the CMBS sector, which exhibited a downgrade rate of 13.0%, up from 10.6% in 2022.

The elevated downgrade rate in CMBS was largely a result of borrowers' growing expenses over the last four years. High operating expenses have reduced net cash flow and weakened debt service coverage ratios and borrowers' ability to refinance mortgages (see "European CMBS Creak Under Rising Cost Burden," Aug. 29, 2023). RMBS and ABS were the only other sectors with a higher downgrade rate than in 2022, while the downgrade rates for structured credit and single-name synthetics improved.

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

Despite the varying performance of underlying collateral at different points in time, European structured finance credit quality in aggregate is not immune to global economic events. The sectors with a higher concentration of ratings weigh on the overall European total.

The RMBS sector had the highest upgrade rate, which represents the number of upgrades as a portion of the number of ratings outstanding, at 19.9%, down slightly from 20.3% in 2022. The elevated upgrades in the sector were particularly concentrated in the nonconforming subsector--where 24.9% of outstanding ratings were upgraded in 2023, accounting for 39% of all RMBS upgrades (by number of ratings).

The credit quality of RMBS transactions has improved well beyond its long-term average: the upgrade rate last year was more than double the long-term average of 9.2%. RMBS upgrades in 2023 partially owed to upgrades of certain financial institutions acting as counterparties, the ratings on which had capped the ratings on some senior tranches. Meanwhile, stable performance and higher credit enhancement due to decreasing leverage influenced upgrades more broadly.

The ACCQ for the RMBS sector has remained positive since mid-2016. While it was well below its March 2020 peak of +0.82 notches in 2023, it ended the year at +0.33 notches after ticking up to +0.49 notches in January (from +0.45 notches at end-2022).

Structured credit remained the sector with the highest number of European structured finance ratings, accounting for 52% of all ratings at the start of 2023. The sector's ACCQ ended the year at +0.08 notches, up from +0.04 at the start of the year.

The structured credit sector experienced the most immediate credit deterioration following the 2008-2009 global financial crisis, hitting the lowest credit performance level of any of the sectors at -3.27 notches in November 2009. After the sector's credit performance turned positive in 2014, the measure remained elevated--other than the end of 2020 to mid-2021, when it fell to a trough of -0.04 notches in February 2021.

2023 marked a strong recovery for the European CMBS sector, as the upgrade rate increased to 17.7% from 5.6% in 2022. ACCQ ended the year at +0.29 notches, down marginally from +0.36 notches in October (an all-time high over the 23-year horizon of this report), but up from -0.09 notches at the start of the year.

The CMBS sector in Europe has shown weak credit performance since late 2008, hitting a low of -2.22 notches in mid-2010. After three years of slowly improving credit performance following the financial crisis, the sector took another hit in May 2013, declining to a new low of -2.61 notches. This owed to higher defaults, driven by unmet maturity obligations.

S&P Global Ratings believes that higher-for-longer interest rates are weighing on CMBS, but not in a uniform way. We take a more negative view of the office and retail subsectors, although we believe that most borrowers are in a good position to refinance.

While the global financial crisis was the last time that commercial real estate (CRE) markets experienced a similar decline in values, leverage on CRE loans was much higher then. Most loans were originated at 80% leverage or more, leaving borrowers little incentive to participate in a workout and the loans with little room to withstand market value declines. We believe that the situation is fundamentally different today (see "European CMBS Can Ride The Refinance Wave," April 11, 2024).

Default Rates Rise, Albeit Marginally

The 12-month-trailing default rate for European structured finance rose marginally to 0.11% in December 2023 from 0.07% in December 2022 (see chart 2). The measure captures the 12-month lag in defaults over the current number of outstanding ratings at the beginning of 2023.

Following 23 consecutive months of a 0.0% 12-month-trailing investment-grade default rate, it rose to 0.03% in April 2023 due to one investment-grade default and remained there through December. The 12-month-trailing default rate among speculative-grade securities ticked up to 0.38% as of December 2023, from 0.31% in 2022. Just a few months before, in September 2022, the 12-month-trailing speculative-grade default rate bottomed out at 0% for the first time since early 2006.

Sector comparisons

The ABS sector, which made up 8% of outstanding ratings, had no defaults for the ninth consecutive year in 2023. The upgrade rate rose by nearly five percentage points to 17.2%, over 3x higher than its one-year average of 5.7%. The downgrade rate was 1.1% in 2023, following two years without downgrades.

The credit performance of European RMBS was also among the strongest in 2023 (see chart 4). The sector accounted for the second-most ratings at about 35% (trailing structured credit at 52%). The upgrade rate for RMBS was 19.9% in 2023, the highest among sectors, but slightly below the 2022 upgrade rate of 20.3%. Meanwhile, the downgrade rate ticked up to 1.5%, from 0.4% in 2022. As in 2022, there was one default in European RMBS in 2023. (see chart 5).

The sector hardest hit by the COVID-19 pandemic, CMBS has been further challenged--notably in 2022--by high interest rates given the timing of upcoming maturities. The sector's situation improved significantly in 2023, with a positive ACCQ since February 2023, and upgrades outnumbering downgrades, despite downgrades increasing.

The downgrade rate increased to 13.0%, up from 10.6% at the end of 2022, and was the highest downgrade rate in 2023 by far. On the other hand, the upgrade rate surged to 17.7% from 5.6% a year earlier. Given historical weakness in the CMBS sector, the 2023 downgrade rate was 8.5 percentage points below its historical average, and the upgrade rate 13.8 percentage points above.

Furthermore, there were no defaults in 2023, in line with the previous year's tally, and well below the long-term average default rate of 2.9%.

The structured credit sector, which accounted for 52% of European credits in 2023, recorded four defaults, compared with two in 2022. This resulted in a default rate of 0.16%, up from 0.09% in 2022 but significantly below the one-year average of 1.2%.

Despite the higher default count, the sector's overall credit trends were more positive than in the previous year: the upgrade rate more than doubled to 4.9%, from 2.0%; and the downgrade rate dropped to 0.3%, from 1.4% in 2022.

The single-name synthetics sector accounted for the smallest portion of ratings outstanding at the start of 20232, at just 0.4%. There were no defaults or rating actions for this sector during the year.

Vintages

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

In 2023, upgrade rates were the highest among the 2006, 2007, 2008, 2011, and 2017 vintages, all of which had upgrade rates of over 20%. The highest upgrade rate was for the 2006 vintage, at 30.9%. Every vintage's downgrade rates were less than the corresponding upgrade rates, except 2014, where the downgrade rate was about twice the upgrade rate.

Nearly 80% of the vintages' 2023 upgrade rates exceeded their respective long-term averages. The bulk of 2023 upgrades came from the vintages issued in 2006, 2007, and 2021, which accounted for nearly half of ratings outstanding at the start of the year.

As for downgrades, 10 of the 20 vintages saw no downgrades in 2023, and the 2014 vintage had the highest proportion of downgrades at 6.5%. Meanwhile, 2014, 2018, 2019, 2020, and 2021 were the only other vintages with downgrade rates in 2023 higher than their long-term average.

Default rates in 2023 were lower than their historical averages for all vintages except for 2008, which at 2.4% was well above its one-year average of 1.1%. The other defaults occurred in the 2006 and 2007 vintages, with default rates of 0.7% and 0.6%, respectively.

Rating categories

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

In 2023, 78% of European structured finance securities were rated investment grade. There were 2.4x as many investment-grade downgrades compared with speculative grade (see chart 8); however, this is due to the size of the respective universes, as there are 3.5x as many investment-grade ratings as there are speculative-grade.

The investment-grade downgrade rate was therefore lower than its speculative-grade counterpart (1.2% and 1.8%, respectively). Meanwhile, the investment-grade upgrade rate of 13.1% was nearly double the speculative-grade upgrade rate of 7.1%.

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

For European structured finance, higher-rated securities have generally been associated with lower one-year weighted-average default rates between 1983 and 2023 (see chart 9). Given the limited number of defaults in 2023, this pattern is more pronounced for speculative-grade ratings.

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

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

The cumulative default rates (conditional on survival) based on our full data history for European structured finance--from the beginning of 1983 to the end of 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.

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

Table 2

European structured finance cumulative default rates, conditional on survival, 1983-2023 (%)
	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	12.18	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.

Sectors In Detail: Overall Improvement In 2023, Though CMBS And Structured Credit Deteriorated

RMBS

There was one default among European RMBS securities in 2023, resulting in an annual default rate of 0.1%, below the long-term average of 0.3%. The upgrade rate in 2023 remained elevated at 19.9%, albeit slightly lower than the prior year's 20.3%. In turn, the downgrade rate picked up to 1.5%, up from 0.4% in 2022. The ACCQ dipped to about +0.3 notches by the end of the year, from +0.5 notches at the end of 2022.

The European RMBS 12-month-trailing default rate remained relatively stable throughout the year. It ended the year at 0.06%--where it also started the year--after inching up slightly to 0.12% between May and October (see chart 11). Historically, it has been below the 12-month-trailing default rate for all of European structured finance.

Upgrades were widespread, with upgrade rates ranging from 21.15% to 26.19% for most geographies. The exceptions were Germany (0%), Dutch prime (5.0%), and other (16.33%). Upgrades were concentrated in investment-grade, which represents 81% of European RMBS, with an upgrade rate at 21.5%. Older vintages tended to have higher upgrade rates, with the pre-2005 vintage recording a 42.5% upgrade rate in 2023 (see table 3).

Upgrades clearly dominated RMBS rating activity in 2023, as the upgrade rate for total European RMBS stood at 19.9%, compared with a downgrade rate of just 1.5%. These downgrades took place among nonconforming and 'other' securities, with downgrade rates of 2.7% and 1.6%, respectively.

Downgrades were spread across vintages, occurring at both the older (2008 and earlier) and younger end (2019-2021) of the spectrum. There was only one default, which came from the nonconforming subsector, yielding a default rate of 0.19%.

Downgrades occurred primarily in the investment-grade space (71%), but this is largely due to the number of outstanding ratings versus that of speculative-grade securities. The investment-grade downgrade rate of 1.3% was one percentage point below that of speculative-grade rated securities (2.3%).

The 'BB' rating category had the highest downgrade rate at 2.4%, while the 'AA' category had the most total downgrades (seven). Meanwhile, the single default was from the 'CCC' category.

Table 3

European RMBS transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	1,640	78.6	19.9	1.5	0.1	1	80.3	9.2	10.6	0.3
Subsector
Nonconforming	514	72.4	24.9	2.7	0.2	1.0	76.9	11.5	11.6	0.1
Spanish	197	75.6	24.4	0.0	0.0	0.0	69.5	14.6	15.9	1.4
U.K. prime	87	77.0	23.0	0.0	0.0	0.0	89.8	3.1	7.1	0.0
Dutch prime	100	95.0	5.0	0.0	0.0	0.0	90.3	5.0	4.7	0.0
Italian	52	78.8	21.2	0.0	0.0	0.0	76.3	9.0	14.7	0.3
Portuguese	42	73.8	26.2	0.0	0.0	0.0	69.1	14.8	16.2	0.1
German	11	100.0	0.0	0.0	0.0	0.0	87.0	5.9	7.1	0.5
Other	637	82.1	16.3	1.6	0.0	0.0	82.1	8.8	9.2	0.2
Vintage
Pre-2005	40	57.5	42.5	0.0	0.0	0	86.3	7.2	6.4	0.0
2005	86	70.9	26.7	2.3	0.0	0	78.8	8.6	12.6	0.1
2006	227	62.6	37.4	0.0	0.0	0	75.7	9.9	14.5	0.3
2007	258	69.8	26.7	3.5	0.0	0	72.8	10.5	16.7	0.9
2008	35	74.3	22.9	2.9	2.9	1	76.6	6.9	16.5	0.6
2009	4	75.0	25.0	0.0	0.0	0	69.3	10.7	20.0	0.7
2010	5	100.0	0.0	0.0	0.0	0	90.0	4.1	5.9	0.3
2011	8	62.5	37.5	0.0	0.0	0	82.9	7.5	9.6	0.0
2012	2	100.0	0.0	0.0	0.0	0	85.5	7.7	6.8	0.0
2013	3	100.0	0.0	0.0	0.0	0	90.0	9.2	0.7	0.0
2014	9	88.9	11.1	0.0	0.0	0	83.3	15.1	1.6	0.0
2015	4	100.0	0.0	0.0	0.0	0	83.7	15.9	0.4	0.2
2016	8	87.5	12.5	0.0	0.0	0	86.6	13.4	0.0	0.0
2017	13	100.0	0.0	0.0	0.0	0	84.1	15.9	0.0	0.0
2018	58	91.4	8.6	0.0	0.0	0	86.0	14.0	0.0	0.0
2019	76	86.8	9.2	3.9	0.0	0	90.3	8.8	0.9	0.0
2020	192	88.0	10.4	1.6	0.0	0	80.6	18.8	0.6	0.0
2021	324	79.9	18.2	1.9	0.0	0	83.5	15.6	0.9	0.0
2022	288	90.3	9.7	0.0	0.0	0	90.3	9.7	0.0	0.0
Rating category
AAA	279	100.0	0.0	0.0	0.0	0	93.7	0.0	6.3	0.1
AA	382	84.8	13.4	1.8	0.0	0	74.8	10.2	15.0	0.0
A	478	58.2	40.6	1.3	0.0	0	74.0	13.8	12.2	0.0
BBB	195	76.4	21.5	2.1	0.0	0	76.5	14.5	9.0	0.1
BB	123	82.9	14.6	2.4	0.0	0	69.6	15.2	15.2	0.3
B	132	81.8	15.9	2.3	0.0	0	76.7	13.6	9.7	1.0
CCC	51	96.1	2.0	2.0	2.0	1	78.7	9.1	12.2	8.1
CC	0	0.0	0.0	0.0	0.0	0	51.5	15.2	33.3	27.3
Rating grade
Investment-grade	1,334	77.2	21.5	1.3	0.0	0	81.4	8.4	10.2	0.0
Speculative-grade	306	84.6	13.1	2.3	0.3	1	73.6	13.7	12.7	1.7
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. RMBS--Residential mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Structured credit

The annual default rate among European structured credit ratings nearly doubled to 0.2% in 2023, up from 0.1% in 2022, putting an end to a three-year decline. The ACCQ picked up, reaching +0.08 notches at year-end 2023, from +0.02 notches at year-end 2022. The sector's ACCQ had been positive between 2014 and year-end 2020, hovering just above zero notches, before turning negative for part of 2021 (see chart 12).

The sector's credit quality improved in 2023 compared to the prior year. The upgrade rate more than doubled to 4.9% from 2.0%, while the downgrade rate dropped to 0.16% from 1.31%.

The 12-month-trailing default rate for European structured credit climbed to 0.16% in 2023, up from 0.09% at year-end 2022. It peaked in August 2023 at 0.22% (see chart 13). Historically, the 12-month-trailing default rate for structured credit had generally exceeded the overall European structured finance 12-month-trailing default rate. However, this trend has changed in recent years, as the sector's stability rates (reflecting unchanged ratings) have risen.

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

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

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

The overall default rate of 0.16% within European structured finance credits was driven by four defaults from CDO instruments, two each from the 2006 and 2007 vintages (see table 4). This resulted in a default rate of 19% (equal to the downgrade rate) for this subsector, given its small size at the beginning of 2023--with just 21 rated securities, accounting for less than 1% of rated European structured credit securities at the beginning of 2023.

Leveraged loan CLOs accounted for 91% of European structured credit ratings in 2023. There were no downgrades among CLOs in 2023, in line with the previous two years.

The downgrade rate for the 'other' subsector dropped to 2.1% in 2023, from 11.8% in 2022. Downgrades were concentrated in the 2006 to 2008 vintages. Investment-grade and speculative-grade each contributed four downgrades in 2023.

The upgrade rate rose to 4.9% for European structured credit, with upgrades occurring across vintages. All rating categories 'B' and above reported upgrades in 2023.

Table 4

European structured credit transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	2,434	94.7	4.9	0.3	0.16	4	76.2	8.8	15.0	1.2
Subsector
Leveraged loan CLOs	2,219	95.8	4.2	0.0	0.0	0	80.1	12.1	7.8	0.1
Structured finance CDOs	21	76.2	4.8	19.0	19.0	4	70.3	6.2	23.5	3.1
Other	194	85.1	12.9	2.1	0.0	0	75.0	6.9	18.1	1.5
Vintage
Pre-2005	4	75.0	25.0	0.0	0.0	0	82.7	6.2	11.1	0.6
2005	8	100.0	0.0	0.0	0.0	0	69.6	9.3	21.1	1.8
2006	27	85.2	3.7	11.1	7.4	2	65.3	11.7	23.0	2.3
2007	34	76.5	11.8	11.8	5.9	2	64.2	14.5	21.3	1.9
2008	6	50.0	33.3	16.7	0.0	0	72.8	8.1	19.1	1.6
2009	11	81.8	18.2	0.0	0.0	0	80.4	11.5	8.1	0.8
2010	1	100.0	0.0	0.0	0.0	0	65.9	18.1	16.1	0.0
2011	2	100.0	0.0	0.0	0.0	0	74.2	9.1	16.7	0.0
2012	1	100.0	0.0	0.0	0.0	0	82.7	7.1	10.2	0.4
2013	5	100.0	0.0	0.0	0.0	0	93.2	3.3	3.5	0.3
2014	7	100.0	0.0	0.0	0.0	0	90.7	3.8	5.4	0.3
2015	21	71.4	28.6	0.0	0.0	0	91.6	7.3	1.1	0.0
2016	27	100.0	0.0	0.0	0.0	0	95.5	1.0	3.5	0.0
2017	200	77.5	22.5	0.0	0.0	0	94.8	4.8	0.4	0.0
2018	162	79.6	20.4	0.0	0.0	0	95.5	4.5	0.0	0.0
2019	207	98.6	1.4	0.0	0.0	0	97.5	0.8	1.7	0.0
2020	192	98.4	1.6	0.0	0.0	0	99.2	0.5	0.2	0.0
2021	1,133	98.3	1.7	0.0	0.0	0	99.0	0.9	0.1	0.0
2022	386	99.7	0.3	0.0	0.0	0	99.7	0.3	0.0	0.0
Rating category
AAA	440	100.0	0.0	0.0	0.0	0	86.9	0.0	13.1	0.2
AA	568	92.3	7.7	0.0	0.0	0	75.2	10.1	14.7	0.2
A	416	91.1	8.7	0.2	0.2	1	75.2	11.5	13.3	0.2
BBB	365	92.9	6.3	0.8	0.0	0	71.9	11.6	16.6	0.2
BB	311	95.5	4.2	0.3	0.0	0	71.5	12.9	15.6	0.3
B	300	98.7	1.3	0.0	0.0	0	68.9	16.2	14.9	0.5
CCC	11	90.9	0.0	9.1	9.1	1	68.2	12.7	19.2	8.0
CC	23	91.3	0.0	8.7	8.7	2	71.4	1.2	27.4	27.4
Rating grade
Investment-grade	1,789	94.0	5.8	0.2	0.1	1	78.4	7.4	14.2	0.2
Speculative-grade	645	96.7	2.6	0.6	0.5	3	69.8	13.0	17.2	4.2
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance. Source: S&P Global Ratings Credit Research & Insights.

ABS

The European ABS sector's credit performance continued to improve in 2023. The ACCQ rose to +0.40 notches at year-end 2023, from +0.24 notches at the end of 2022, and has been positive since the end of 2015 (see chart 14).

The upgrade rate reached an all-time high of 17.2% in 2023, up from 12.3% in 2022. The downgrade rate increased slightly to 1.1% in 2023 after bottoming out at 0% in 2021 and 2022. And for the ninth consecutive year, there were no defaults in European ABS.

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

European ABS securities rated in the 'A' category at the start of 2023 had the highest upgrade rate at 33.8%, followed by the 'AA' category with 30.2%. Meanwhile, those rated 'BB' had the highest downgrade rate at 6.9%. Most rating categories reported upgrade rates higher than their respective one-year averages, with the exception of the 'CCC' and 'CC' categories. All rating categories except 'CC' (0%) reported downgrade rates below their one-year averages.

Table 5

European ABS transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	377	81.7	17.2	1.1	0.0	0	88.2	5.7	6.0	0.2
Subsector
Auto	246	77.2	22.4	0.4	0.0	0	89.5	8.3	2.2	0.2
Corporate securitizations	50	94.0	0.0	6.0	0.0	0	82.6	2.9	14.5	0.7
Other consumer	14	78.6	21.4	0.0	0.0	0	86.9	7.2	5.8	0.1
Credit card	25	100.0	0.0	0.0	0.0	0	95.9	1.9	2.2	0.0
Other	42	83.3	16.7	0.0	0.0	0	86.7	5.3	8.1	0.0
Vintage
Pre-2005	11	90.9	0.0	9.1	0.0	0	91.9	3.1	5.0	0.2
2005	6	100.0	0.0	0.0	0.0	0	85.1	3.5	11.4	0.1
2006	9	100.0	0.0	0.0	0.0	0	80.9	5.5	13.6	0.4
2007	3	66.7	33.3	0.0	0.0	0	76.9	6.7	16.4	1.4
2008	1	100.0	0.0	0.0	0.0	0	85.6	5.8	8.5	0.2
2009	1	100.0	0.0	0.0	0.0	0	83.2	5.2	11.6	0.0
2010	1	100.0	0.0	0.0	0.0	0	86.3	7.3	6.3	0.0
2011	1	100.0	0.0	0.0	0.0	0	86.9	7.8	5.2	0.0
2012	5	80.0	20.0	0.0	0.0	0	95.1	2.6	2.3	0.0
2013	8	100.0	0.0	0.0	0.0	0	91.9	6.8	1.3	0.0
2014	13	84.6	0.0	15.4	0.0	0	92.5	5.1	2.4	0.0
2015	16	100.0	0.0	0.0	0.0	0	89.3	9.8	0.9	0.0
2016	13	100.0	0.0	0.0	0.0	0	89.2	9.6	1.2	0.0
2017	6	100.0	0.0	0.0	0.0	0	93.2	5.9	0.8	0.0
2018	30	93.3	6.7	0.0	0.0	0	86.2	13.8	0.0	0.0
2019	34	70.6	29.4	0.0	0.0	0	84.7	14.9	0.4	0.0
2020	79	72.2	27.8	0.0	0.0	0	81.2	18.8	0.0	0.0
2021	93	78.5	21.5	0.0	0.0	0	84.7	15.3	0.0	0.0
2022	47	78.7	19.1	2.1	0.0	0	78.7	19.1	2.1	0.0
Rating category
AAA	126	100.0	0.0	0.0	0.0	0	97.2	0.0	2.8	0.0
AA	53	69.8	30.2	0.0	0.0	0	79.3	11.1	9.6	0.0
A	74	64.9	33.8	1.4	0.0	0	85.0	8.9	6.1	0.0
BBB	63	77.8	22.2	0.0	0.0	0	85.5	7.5	7.0	0.1
BB	29	72.4	20.7	6.9	0.0	0	73.8	11.9	14.3	0.2
B	24	79.2	16.7	4.2	0.0	0	70.6	13.5	15.9	2.4
CCC	8	100.0	0.0	0.0	0.0	0	76.3	9.4	14.4	10.8
CC	0	0.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating grade
Investment-grade	316	82.3	17.4	0.3	0.0	0	89.4	5.2	5.4	0.0
Speculative-grade	61	78.7	16.4	4.9	0.0	0	73.3	11.9	14.8	2.6
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. ABS--Asset-backed securities. Source: S&P Global Ratings Credit Research & Insights.

CMBS

European CMBS credit performance improved in 2023 as upgrades outnumbered downgrades, in sharp contrast with 2022. The annual default rate remained 0%, the same as in 2022. The upgrade rate jumped by more than 12 percentage points to 17.7% in 2023. The downgrade rate also increased, up 2.4 percentage points, to 13.0%.

These values indicate a significant improvement in credit performance in comparison to their long-term averages: the upgrade rate stands 13.8 percentage points above its one-year average, while the downgrade rate stands 8.5 percentage points below its one-year average. The 0% default rate compares with a historical average of 2.9%.

The ACCQ among European structured finance CMBS transactions ended the year at +0.29 notches. It tipped positive in March 2023 after turning neutral in February and before that was negative since September 2008 (with the exception of September 2019; see chart 16).

The 12-month-trailing default rate for European CMBS has been 0% since September 2022. Before the financial crisis, the overall European structured finance and European CMBS 12-month-trailing default rates were nearly the same. After the crisis, CMBS defaults rose, bringing the 12-month-trailing default rate for the sector above that of European structured finance.

The CMBS sector represents one of the smallest shares of European structured finance by number of ratings, accounting for just 4.6% of the total at the beginning of 2023. There were no defaults in CMBS in 2023.

The German CMBS sector reported a downgrade rate of 66.7% in 2023; however, this is due to its small number of rated credits, with just six outstanding at the start of the year. There were no outstanding multicountry credits at the start of the year in this sector.

All of 2023's CMBS downgrades stem from vintages 2018 and later, a break from historical trends where downgrades were more pronounced in earlier vintages. Considering only vintages with a significant number of ratings outstanding, the one-year average downgrade and default rates have been highest in the pre-2008 vintages.

These vintages had greater exposure to lower lending standards before the financial crisis and to subsequent falling real estate values, and many loans have now reached maturity with borrowers unable to refinance, leading to loan defaults.

Table 6

European CMBS transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	215	69.3	17.7	13.0	0.0	0	74.7	3.9	21.5	2.9
Subsector
U.K.	149	83.2	6.7	10.1	0.0	0	76.1	4.4	19.5	2.4
German	6	33.3	0.0	66.7	0.0	0	68.3	3.4	28.4	4.7
Multi-country	0	0.0	0.0	0.0	0.0	0	72.7	2.4	24.9	3.5
Other	60	38.3	46.7	15.0	0.0	0	77.3	3.9	18.9	2.2
Vintage
Pre-2005	28	82.1	17.9	0.0	0.0	0	89.5	5.4	5.1	0.3
2005	9	100.0	0.0	0.0	0.0	0	77.1	4.9	17.9	1.8
2006	15	100.0	0.0	0.0	0.0	0	68.2	2.2	29.6	4.4
2007	6	83.3	16.7	0.0	0.0	0	59.3	1.8	38.9	6.0
2008	0	0.0	0.0	0.0	0.0	0	67.6	0.0	32.4	2.7
2009	2	100.0	0.0	0.0	0.0	0	71.1	10.5	18.4	0.0
2010	1	100.0	0.0	0.0	0.0	0	43.8	1.1	55.1	3.4
2011	1	100.0	0.0	0.0	0.0	0	58.3	20.8	20.8	0.0
2012	1	100.0	0.0	0.0	0.0	0	82.4	5.9	11.8	0.0
2013	3	100.0	0.0	0.0	0.0	0	71.0	6.5	22.6	6.5
2014	2	100.0	0.0	0.0	0.0	0	85.0	2.5	12.5	2.5
2015	0	0.0	0.0	0.0	0.0	0	90.3	7.8	1.9	0.0
2016	0	0.0	0.0	0.0	0.0	0	50.0	0.0	50.0	0.0
2017	5	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
2018	23	65.2	0.0	34.8	0.0	0	81.5	3.0	15.5	0.0
2019	34	58.8	23.5	17.6	0.0	0	82.5	6.6	10.8	0.6
2020	11	54.5	45.5	0.0	0.0	0	85.7	14.3	0.0	0.0
2021	61	60.7	16.4	23.0	0.0	0	77.9	10.7	11.5	0.0
2022	13	30.8	69.2	0.0	0.0	0	30.8	69.2	0.0	0.0
Rating category
AAA	31	83.9	0.0	16.1	0.0	0	87.3	0.0	12.7	0.0
AA	60	66.7	21.7	11.7	0.0	0	78.2	5.0	16.8	0.0
A	45	64.4	22.2	13.3	0.0	0	74.1	6.5	19.4	0.2
BBB	42	71.4	16.7	11.9	0.0	0	73.7	6.2	20.2	0.8
BB	24	62.5	20.8	16.7	0.0	0	67.1	4.7	28.2	1.9
B	9	66.7	22.2	11.1	0.0	0	56.4	1.7	41.9	9.8
CCC	3	66.7	33.3	0.0	0.0	0	48.5	0.7	50.9	37.8
CC	1	100.0	0.0	0.0	0.0	0	39.6	0.0	60.4	60.4
Rating grade
Investment-grade	178	70.2	16.9	12.9	0.0	0	78.9	4.1	17.0	0.2
Speculative-grade	37	64.9	21.6	13.5	0.0	0	59.6	2.9	37.5	12.1
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Appendix I: Terminology, Data Selection, And Calculation Approaches

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

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

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

Issues included in this study

The study analyzes the rating histories of 25,400 European structured finance instruments that S&P Global Ratings first rated between 1982 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 into subsectors.

Sector definitions

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

RMBS includes transactions backed by residential mortgage loans.

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

CMBS also includes resecuritizations of real estate mortgage investment conduits, 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. We define a repack in this instance as an issue backed by a single credit, where the rating on the note is directly linked to that on the underlying credit.

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

Region definitions

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

Vintage definition

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

Rating transitions

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

For instance, we calculate the 2023 transition rates by determining the ratings on each security 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 proportion of securities in the static pool with ratings that moved up, down, or remained the same, respectively, over the transition window.

During this process, we count each security only once, even if the security experienced more than one rating change during the observed transition window. In other words, we use the ratings on a security at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes.

Rating modifiers

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

Rating discontinuance or withdrawal

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

When we withdraw or discontinue ratings within a transition window, we may derive our reported statistics either by classifying the rating transition as a move to not rated (the NR-included approach) or--for some other analyses--classify the transition as a move to the last non-NR rating before withdrawal or discontinuance (the NR-adjusted approach).

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

Treatment of 'AAA' ratings

We include the ratings history of all securities with original ratings of 'AAA', which we call the "uncollapsed" approach. This represents a change in methodology from editions of the study prior to 2018. In previous editions, for each structured finance transaction, we generally included only one of the securities that we originally rated 'AAA', calling this the "collapsed" approach.

This was because historically, some transactions had a disproportionate number of 'AAA' rated tranches that were likely to exhibit similar or identical credit performance. By including only one such security per transaction, we aimed to avoid overweighting their behavior in aggregate performance statistics.

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

Treatment of 'D' ratings

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

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

Average change in credit quality calculation

Certain analyses in this study refer to the ACCQ of a set of structured finance securities over a given transition window. We define the ACCQ as the average number of rating notches by which ratings changed during the stated transition window, where we take the average across all ratings in the set under consideration (for example, a particular sector).

In this averaging, we count downgrades as a negative number of notches and upgrades as a positive number. We consider stable ratings to have undergone a transition of zero notches. We believe this measure is a useful summary of the credit performance of a given sector because it combines the relative number of ratings undergoing transition with the severity of that transition.

Weighted-average transition and default rate calculation

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

Average cumulative default rate calculation

In this study, we also calculate and present average cumulative default rates for different time horizons. For example, table 2 shows that the one-year average cumulative default rate for 'BBB' rated European structured finance is 0.24%, and the three-year average is 1.35%.

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

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

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

Appendix II: Detailed Default And Transition Statistics

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

European structured finance

Table 7

European structured finance cumulative default rates, conditional on survival, 1983-2023 (%)
	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	12.18	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 8

European structured finance one-year default rates, 1983-2023 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1983	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1984	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1985	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1986	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1987	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.22	0.00	16.67	0.00	0.00	0.00	0.00	33.33	0.00	N/A	N/A
1999	0.19	0.00	9.09	0.00	0.00	0.00	0.00	0.00	0.00	N/A	100.00
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.10	0.10	0.00	0.00	0.00	0.00	0.68	0.00	0.00	N/A	N/A
2002	0.37	0.13	4.08	0.00	0.00	0.00	0.75	2.15	50.00	33.33	N/A
2003	0.33	0.00	4.42	0.00	0.00	0.00	0.00	0.00	0.00	30.00	66.67
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2006	0.06	0.00	0.99	0.00	0.00	0.00	0.00	0.00	0.00	8.33	100.00
2007	0.16	0.14	0.53	0.10	0.27	0.00	0.21	0.00	6.25	0.00	N/A
2008	0.53	0.52	0.76	0.55	0.32	0.50	0.70	0.15	2.67	6.25	0.00
2009	1.04	0.24	5.21	0.08	0.29	0.58	0.22	0.57	3.76	13.71	11.11
2010	1.82	0.20	6.44	0.00	0.24	0.26	0.49	1.59	3.34	11.42	16.49
2011	2.10	0.24	6.26	0.28	0.08	0.00	0.63	1.41	2.86	11.38	21.09
2012	2.34	0.20	7.01	0.09	0.14	0.12	0.55	1.05	2.68	7.66	54.84
2013	2.45	0.07	7.35	0.00	0.00	0.13	0.11	0.95	2.49	13.13	48.57
2014	1.64	0.00	5.10	0.00	0.00	0.00	0.00	0.00	2.92	9.78	45.83
2015	0.67	0.00	2.24	0.00	0.00	0.00	0.00	0.00	1.45	4.47	17.14
2016	1.33	0.03	4.59	0.00	0.00	0.00	0.14	0.23	1.02	11.85	31.71
2017	1.04	0.00	3.97	0.00	0.00	0.00	0.00	0.25	0.75	14.11	10.81
2018	0.72	0.00	2.98	0.00	0.00	0.00	0.00	0.00	0.00	12.64	8.57
2019	0.75	0.00	3.44	0.00	0.00	0.00	0.00	0.00	0.00	13.79	26.67
2020	0.25	0.11	0.79	0.00	0.00	0.00	0.65	0.00	0.40	2.38	8.00
2021	0.19	0.00	0.94	0.00	0.00	0.00	0.00	0.00	1.28	3.75	0.00
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
Std. dev.	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. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 9

European structured finance rating transitions, 2023 and multi-year 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	75.82	8.81	5.37	0.18	0.00	0.51
B	0.04	0.08	0.22	1.60	8.04	78.20	9.60	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	12.80	58.82	13.41	8.92	0.35	0.02	1.58
B	0.07	0.23	0.71	3.78	13.04	63.79	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	9.83	6.61	5.12	0.56	0.01	1.38
BB	0.79	1.39	4.90	14.83	47.89	15.33	11.14	0.69	0.03	3.02
B	0.12	0.49	1.46	6.07	15.04	54.73	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	10.11	7.49	6.07	0.72	0.01	2.23
BB	1.13	2.30	6.60	15.40	41.30	15.72	11.91	1.10	0.05	4.49
B	0.21	0.92	2.46	7.91	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	14.97	37.59	15.35	12.14	1.23	0.08	5.80
B	0.35	1.41	3.47	9.08	16.44	44.28	11.86	0.94	0.02	12.15
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 whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

Table 10

European structured finance rating transitions, 2023 and multi-year 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	7.34	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	10.67	42.07	12.15	7.79	0.26	0.00	1.58	22.74
B	0.06	0.20	0.40	2.89	10.30	47.48	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	8.25	5.87	4.02	0.44	0.00	1.38	35.55
BB	0.28	0.83	3.44	10.62	25.80	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	32.69
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	6.24	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	5.06	8.75	23.65	8.29	1.00	0.00	9.87	41.12
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	1.87	4.65	6.66	10.23	10.89	8.42	0.92	0.00	5.80	50.12
B	0.27	0.71	2.12	5.08	7.65	16.52	5.92	0.76	0.00	12.15	48.82
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.

European RMBS

Table 11

European RMBS cumulative default rates, conditional on survival, 1988-2023 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.06	0.09	0.10	0.10	0.10	0.10	0.11	0.11	0.11	0.11
AA	0.01	0.04	0.08	0.10	0.12	0.15	0.22	0.24	0.26	0.28
A	0.01	0.05	0.11	0.15	0.20	0.31	0.41	0.48	0.55	0.60
BBB	0.06	0.18	0.43	0.70	0.95	1.24	1.54	1.70	1.87	1.98
BB	0.33	0.94	1.72	2.27	2.84	3.24	3.66	4.07	4.17	4.17
B	0.95	2.07	3.21	4.23	5.20	6.01	6.22	6.28	6.35	6.44
CCC	8.08	14.42	17.49	19.01	19.77	20.10	20.10	20.10	20.10	20.10
CC	27.27	42.42	51.52	54.75	54.75	54.75	54.75	54.75	54.75	54.75
IG	0.04	0.08	0.15	0.21	0.27	0.36	0.45	0.50	0.55	0.58
SG	1.74	3.38	4.64	5.52	6.27	6.82	7.11	7.34	7.42	7.45
Overall	0.29	0.57	0.81	0.99	1.15	1.30	1.42	1.49	1.54	1.58
IG--Investment-grade. SG--Speculative-grade. RMBS--Residential mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 12

European RMBS one-year default rates, 1988-2023 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1988	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1996	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00	N/A	N/A
1997	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1998	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2008	0.06	0.06	0.00	0.14	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2009	0.86	0.03	8.06	0.00	0.00	0.00	0.19	0.93	6.41	47.62	N/A
2010	0.66	0.19	3.56	0.00	0.21	0.21	0.68	1.29	3.10	13.56	N/A
2011	0.61	0.24	2.67	0.51	0.00	0.00	0.00	0.82	1.33	14.29	N/A
2012	0.23	0.00	1.26	0.00	0.00	0.00	0.00	0.37	0.60	9.76	0.00
2013	0.77	0.00	3.24	0.00	0.00	0.00	0.00	1.04	1.70	15.15	33.33
2014	0.85	0.00	3.44	0.00	0.00	0.00	0.00	0.00	2.03	15.63	60.00
2015	0.09	0.00	0.38	0.00	0.00	0.00	0.00	0.00	0.35	1.61	0.00
2016	0.19	0.00	0.75	0.00	0.00	0.00	0.00	0.00	0.00	2.50	40.00
2017	0.44	0.00	1.69	0.00	0.00	0.00	0.00	0.00	0.86	6.85	33.33
2018	0.12	0.00	0.54	0.00	0.00	0.00	0.00	0.00	0.00	1.59	25.00
2019	0.07	0.00	0.32	0.00	0.00	0.00	0.00	0.00	0.00	1.85	0.00
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2021	0.07	0.00	0.38	0.00	0.00	0.00	0.00	0.00	0.00	1.96	0.00
2022	0.06	0.00	0.34	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
2023	0.06	0.00	0.33	0.00	0.00	0.00	0.00	0.00	0.00	1.96	N/A
Weighted average	0.29	0.04	1.74	0.06	0.01	0.01	0.06	0.33	0.95	8.08	27.27
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.96	25.00
Std. dev.	0.26	0.05	1.77	0.09	0.04	0.04	0.13	0.38	1.42	11.61	32.11
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	0.86	0.24	8.06	0.51	0.21	0.21	0.68	1.29	6.41	47.62	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. RMBS--Residential mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 13

European RMBS rating transitions, 2023 and multi-year 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	2.88	95.29	1.83	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	10.25	88.91	0.84	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	1.54	17.44	80.00	1.03	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	2.44	9.76	85.37	2.44	0.00	0.00	0.00	0.00
B	0.00	0.00	2.27	3.79	6.82	85.61	1.52	0.00	0.00	0.00
CCC	0.00	0.00	1.96	0.00	0.00	0.00	96.08	0.00	0.00	1.96
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	93.67	4.20	1.72	0.19	0.06	0.10	0.00	0.00	0.00	0.06
AA	3.68	86.52	8.55	0.79	0.22	0.13	0.09	0.00	0.00	0.01
A	0.40	5.55	90.02	2.91	0.90	0.20	0.02	0.00	0.00	0.01
BBB	0.06	0.94	9.88	81.98	5.45	1.57	0.05	0.00	0.00	0.06
BB	0.20	0.03	1.34	10.58	74.89	11.07	1.50	0.07	0.00	0.33
B	0.11	0.11	0.33	2.02	7.49	84.21	4.55	0.22	0.00	0.95
CCC	0.00	0.00	0.11	0.56	0.90	6.06	83.61	0.67	0.00	8.08
CC	0.00	0.00	0.00	0.00	3.03	6.06	6.06	51.52	6.06	27.27
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	87.83	6.51	4.62	0.58	0.18	0.15	0.03	0.00	0.00	0.09
AA	6.73	76.54	13.71	1.93	0.63	0.26	0.15	0.00	0.00	0.04
A	1.04	9.54	82.41	4.60	1.65	0.64	0.08	0.00	0.00	0.05
BBB	0.23	2.67	16.87	67.21	9.05	3.42	0.37	0.00	0.00	0.18
BB	0.41	0.64	4.17	17.16	55.02	18.08	3.39	0.14	0.03	0.95
B	0.19	0.23	0.69	5.13	12.81	71.41	6.98	0.42	0.00	2.12
CCC	0.00	0.12	0.00	1.19	1.90	11.43	69.76	0.71	0.12	14.76
CC	0.00	0.00	0.00	0.00	6.06	9.09	12.12	24.24	6.06	42.42
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	82.52	7.82	7.84	1.00	0.30	0.32	0.09	0.00	0.00	0.11
AA	8.72	68.95	17.64	2.92	0.97	0.55	0.14	0.01	0.00	0.09
A	1.97	11.56	77.10	5.48	2.56	1.09	0.13	0.00	0.00	0.11
BBB	0.57	4.58	20.84	56.96	10.49	5.32	0.79	0.02	0.00	0.43
BB	0.64	1.81	7.16	19.74	41.92	22.29	4.39	0.21	0.07	1.77
B	0.28	0.53	1.38	8.42	15.92	60.96	8.63	0.53	0.00	3.36
CCC	0.00	0.13	0.13	2.27	2.65	15.03	60.35	0.63	0.25	18.56
CC	0.00	0.00	0.00	3.13	3.13	12.50	15.63	9.38	6.25	50.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	78.02	8.35	10.94	1.49	0.39	0.52	0.18	0.00	0.00	0.11
AA	10.09	62.83	20.79	3.58	1.57	0.82	0.18	0.03	0.00	0.11
A	2.64	13.28	73.29	5.57	3.13	1.71	0.22	0.01	0.00	0.15
BBB	1.20	5.69	22.96	51.02	10.23	7.05	1.13	0.00	0.00	0.72
BB	0.96	3.28	9.69	20.07	34.44	23.06	5.56	0.41	0.15	2.39
B	0.42	1.01	2.92	11.07	17.53	53.27	8.79	0.46	0.00	4.52
CCC	0.00	0.00	0.67	2.43	3.91	17.68	53.44	0.54	0.27	21.05
CC	0.00	0.00	0.00	6.67	0.00	16.67	16.67	0.00	6.67	53.33
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	74.51	8.29	13.57	2.06	0.53	0.68	0.25	0.00	0.00	0.11
AA	11.01	57.78	23.76	3.77	2.20	1.06	0.26	0.03	0.00	0.13
A	3.15	14.86	70.11	5.58	3.36	2.19	0.51	0.01	0.00	0.22
BBB	1.80	6.38	24.41	47.50	8.98	8.37	1.55	0.04	0.00	0.99
BB	1.56	4.15	11.88	19.99	30.27	22.20	6.09	0.57	0.23	3.05
B	0.66	1.68	4.68	12.49	18.45	47.75	8.25	0.35	0.00	5.69
CCC	0.00	0.29	1.02	2.90	4.93	19.30	47.90	0.15	0.29	23.22
CC	0.00	0.00	0.00	7.14	3.57	14.29	14.29	0.00	7.14	53.57
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	68.90	9.31	17.85	2.19	0.62	0.50	0.50	0.00	0.00	0.13
AA	9.86	51.04	32.17	3.27	1.87	0.79	0.61	0.04	0.00	0.35
A	4.26	15.05	66.13	6.86	2.38	3.21	1.22	0.05	0.00	0.85
BBB	1.39	5.84	24.78	47.30	8.71	7.14	2.33	0.07	0.00	2.45
BB	1.88	2.79	13.31	17.66	27.86	23.03	6.71	0.16	0.64	5.96
B	2.58	3.18	7.39	13.14	14.86	38.66	7.82	0.00	0.00	12.37
CCC	0.00	0.28	0.56	0.00	6.72	20.45	35.01	0.00	0.56	36.41
CC	0.00	0.00	0.00	0.00	0.00	9.09	0.00	0.00	18.18	72.73
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. RMBS--Residential mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 14

European RMBS rating transitions, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	80.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	19.71
AA	2.62	77.75	1.83	0.00	0.00	0.00	0.00	0.00	0.00	0.00	17.80
A	0.00	9.00	80.96	0.84	0.00	0.00	0.00	0.00	0.00	0.00	9.21
BBB	0.00	1.03	16.41	72.82	1.03	0.00	0.00	0.00	0.00	0.00	8.72
BB	0.00	0.00	0.81	9.76	77.24	2.44	0.00	0.00	0.00	0.00	9.76
B	0.00	0.00	0.76	3.79	6.82	81.82	1.52	0.00	0.00	0.00	5.30
CCC	0.00	0.00	0.00	0.00	0.00	0.00	94.12	0.00	0.00	1.96	3.92
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	77.48	3.88	1.53	0.13	0.06	0.10	0.00	0.00	0.00	0.06	16.76
AA	3.38	74.44	8.13	0.72	0.22	0.13	0.00	0.00	0.00	0.01	12.96
A	0.37	5.14	80.76	2.75	0.88	0.20	0.01	0.00	0.00	0.01	9.89
BBB	0.05	0.82	9.54	73.59	5.15	1.54	0.05	0.00	0.00	0.06	9.21
BB	0.20	0.03	1.14	10.49	69.33	10.84	1.47	0.03	0.00	0.33	6.15
B	0.11	0.11	0.22	1.87	7.31	79.66	4.11	0.22	0.00	0.95	5.43
CCC	0.00	0.00	0.00	0.56	0.79	5.95	79.57	0.67	0.00	8.08	4.38
CC	0.00	0.00	0.00	0.00	3.03	6.06	6.06	51.52	0.00	27.27	6.06
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	56.52	5.75	3.95	0.39	0.17	0.15	0.00	0.00	0.00	0.09	32.99
AA	5.39	54.21	12.78	1.74	0.58	0.26	0.01	0.00	0.00	0.04	24.99
A	0.84	7.95	64.78	4.18	1.59	0.63	0.04	0.00	0.00	0.05	19.95
BBB	0.16	2.14	14.99	51.53	8.36	3.32	0.32	0.00	0.00	0.18	18.98
BB	0.24	0.54	3.73	15.98	45.35	17.33	3.29	0.07	0.00	0.95	12.52
B	0.15	0.23	0.42	4.51	11.57	62.85	6.17	0.42	0.00	2.12	11.54
CCC	0.00	0.12	0.00	1.07	1.43	10.71	62.02	0.71	0.00	14.76	9.17
CC	0.00	0.00	0.00	0.00	6.06	9.09	9.09	24.24	0.00	42.42	9.09
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	38.53	6.51	6.62	0.64	0.26	0.30	0.00	0.00	0.00	0.11	47.02
AA	6.07	37.94	15.87	2.61	0.83	0.54	0.00	0.00	0.00	0.09	36.07
A	1.46	8.36	51.80	4.71	2.44	1.07	0.06	0.00	0.00	0.11	29.99
BBB	0.43	3.36	16.74	35.13	9.32	5.10	0.69	0.02	0.00	0.43	28.77
BB	0.28	1.45	6.56	17.29	29.55	20.66	4.18	0.14	0.00	1.77	18.11
B	0.24	0.53	1.05	6.89	13.41	49.33	7.33	0.53	0.00	3.36	17.33
CCC	0.00	0.13	0.13	1.52	1.77	13.38	49.87	0.63	0.00	18.56	14.02
CC	0.00	0.00	0.00	3.13	3.13	12.50	9.38	9.38	0.00	50.00	12.50
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	24.91	6.66	9.18	1.02	0.32	0.47	0.02	0.00	0.00	0.11	57.32
AA	5.84	26.01	17.91	3.02	1.37	0.79	0.02	0.00	0.00	0.11	44.94
A	1.66	8.34	41.29	4.49	2.96	1.61	0.12	0.01	0.00	0.15	39.36
BBB	0.82	3.49	16.39	24.37	8.54	6.58	1.01	0.00	0.00	0.72	38.06
BB	0.41	2.87	8.51	16.43	20.41	20.59	4.94	0.33	0.00	2.39	23.13
B	0.38	0.84	2.66	8.62	13.98	39.16	7.18	0.46	0.00	4.52	22.18
CCC	0.00	0.00	0.67	0.94	2.43	14.98	41.57	0.54	0.00	21.05	17.81
CC	0.00	0.00	0.00	6.67	0.00	16.67	6.67	0.00	0.00	53.33	16.67
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	14.79	6.20	11.33	1.42	0.41	0.59	0.02	0.00	0.00	0.11	65.13
AA	5.14	16.36	19.50	3.10	1.96	1.00	0.06	0.00	0.00	0.13	52.76
A	1.69	7.86	32.38	4.14	3.11	2.04	0.32	0.01	0.00	0.22	48.23
BBB	1.16	3.28	15.11	17.56	6.90	7.64	1.37	0.04	0.00	0.99	45.95
BB	0.69	3.35	10.02	13.75	14.58	19.08	5.26	0.50	0.00	3.05	29.74
B	0.62	1.41	4.06	9.14	14.08	31.38	6.40	0.35	0.00	5.69	26.88
CCC	0.00	0.29	0.87	0.73	2.61	15.24	35.12	0.15	0.00	23.22	21.77
CC	0.00	0.00	0.00	7.14	3.57	14.29	0.00	0.00	0.00	53.57	21.43
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	2.81	4.30	8.24	0.74	0.23	0.30	0.07	0.00	0.00	0.13	83.16
AA	2.32	4.41	14.27	1.81	1.08	0.51	0.26	0.00	0.00	0.35	74.99
A	0.95	4.29	16.71	3.40	1.71	1.78	0.67	0.05	0.00	0.85	69.59
BBB	0.45	2.07	10.68	7.00	4.76	4.78	1.68	0.07	0.00	2.45	66.06
BB	0.64	1.66	9.66	5.64	5.53	14.06	4.78	0.05	0.00	5.96	52.01
B	1.55	2.66	5.84	8.25	9.36	17.27	4.12	0.00	0.00	12.37	38.57
CCC	0.00	0.28	0.00	0.00	3.64	11.20	16.53	0.00	0.00	36.41	31.93
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	72.73	27.27
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. RMBS--Residential mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

European structured credit

Table 15

European structured credit cumulative default rates, conditional on survival, 1987-2023 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.21	0.55	1.02	1.64	2.22	2.64	2.91	3.03	3.08	3.09
AA	0.17	0.48	1.03	1.61	2.54	3.15	3.53	3.70	3.77	3.84
A	0.24	0.66	1.18	1.73	2.49	3.05	3.51	3.70	3.73	3.81
BBB	0.22	0.68	1.27	2.05	3.12	3.84	4.45	4.86	5.16	5.60
BB	0.32	0.77	1.50	2.32	2.93	3.47	4.12	4.73	5.29	5.89
B	0.46	1.45	2.54	3.66	4.84	5.19	5.49	5.76	6.00	6.16
CCC	8.00	15.27	20.89	25.12	26.82	27.97	28.84	29.46	29.95	30.14
CC	27.43	43.36	53.89	56.56	57.23	57.77	58.16	58.58	59.06	59.06
IG	0.21	0.58	1.10	1.73	2.53	3.08	3.48	3.69	3.78	3.90
SG	4.18	7.81	10.81	13.00	14.13	14.86	15.51	16.05	16.52	16.86
Overall	1.21	2.39	3.54	4.55	5.43	6.03	6.49	6.77	6.96	7.13
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Credit Research & Insights.

Table 16

European structured credit one-year default rates, 1987-2023 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1987	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2002	1.08	0.25	5.97	0.00	0.00	0.00	1.23	3.17	100.00	33.33	N/A
2003	1.03	0.00	6.20	0.00	0.00	0.00	0.00	0.00	0.00	31.58	66.67
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2006	0.08	0.00	1.24	0.00	0.00	0.00	0.00	0.00	0.00	4.76	100.00
2007	0.24	0.25	0.00	0.21	0.44	0.00	0.33	0.00	0.00	0.00	N/A
2008	0.82	0.83	0.71	0.98	0.52	1.02	0.70	0.00	0.00	13.64	0.00
2009	1.20	0.42	3.90	0.12	0.55	1.32	0.11	0.36	0.93	9.44	5.88
2010	2.75	0.14	6.98	0.00	0.20	0.15	0.31	1.42	0.74	10.85	16.67
2011	2.99	0.19	6.17	0.00	0.00	0.00	0.88	0.62	0.52	9.81	20.47
2012	3.89	0.33	8.32	0.35	0.35	0.17	0.52	0.48	0.60	5.99	56.76
2013	3.02	0.12	7.08	0.00	0.00	0.21	0.26	0.31	0.98	7.16	49.47
2014	0.97	0.00	2.48	0.00	0.00	0.00	0.00	0.00	0.83	2.11	37.84
2015	0.28	0.00	0.76	0.00	0.00	0.00	0.00	0.00	0.00	1.65	4.17
2016	1.40	0.00	4.18	0.00	0.00	0.00	0.00	0.00	0.00	10.36	14.29
2017	0.45	0.00	1.53	0.00	0.00	0.00	0.00	0.54	0.00	3.45	7.69
2018	0.68	0.00	2.30	0.00	0.00	0.00	0.00	0.00	0.00	9.30	4.00
2019	1.47	0.00	5.48	0.00	0.00	0.00	0.00	0.00	0.00	25.00	13.64
2020	0.17	0.00	0.66	0.00	0.00	0.00	0.00	0.00	0.79	4.35	0.00
2021	0.13	0.00	0.51	0.00	0.00	0.00	0.00	0.00	0.00	11.76	0.00
2022	0.09	0.00	0.35	0.00	0.00	0.00	0.00	0.00	0.37	0.00	4.00
2023	0.16	0.06	0.47	0.00	0.00	0.24	0.00	0.00	0.00	9.09	8.70
Weighted average	1.21	0.21	4.18	0.21	0.17	0.24	0.22	0.32	0.46	8.00	27.43
Median	0.09	0.00	1.24	0.00	0.00	0.00	0.00	0.00	0.00	8.13	8.19
Std. dev.	1.01	0.17	2.81	0.17	0.16	0.32	0.32	0.69	19.96	9.51	27.56
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	3.89	0.83	8.32	0.98	0.55	1.32	1.23	3.17	100.00	33.33	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Ratings Credit Research & Insights.

Table 17

European structured credit rating transitions, 2023 and multi-year 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	3.17	96.83	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.25	93.51	0.00	0.00	0.00	0.00	0.00	0.00	0.24
BBB	0.00	0.00	4.66	95.34	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.32	1.29	98.39	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.33	99.67	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	90.91	0.00	0.00	9.09
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.30	0.00	8.70
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	86.87	6.16	2.69	1.67	0.88	0.55	0.96	0.02	0.00	0.21
AA	6.20	81.20	5.24	3.42	1.40	0.90	1.41	0.05	0.00	0.17
A	1.19	6.57	81.22	5.23	2.85	1.00	1.58	0.13	0.00	0.24
BBB	0.27	1.57	6.08	78.35	4.98	3.29	5.04	0.20	0.00	0.22
BB	0.16	0.27	1.22	7.45	76.67	5.57	8.14	0.21	0.00	0.32
B	0.00	0.09	0.17	1.54	10.16	76.16	11.04	0.40	0.00	0.46
CCC	0.02	0.00	0.00	0.31	1.36	7.01	77.69	5.61	0.00	8.00
CC	0.00	0.00	0.00	0.00	0.00	0.27	0.93	71.37	0.00	27.43
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	75.67	10.14	4.99	2.92	1.52	0.95	3.11	0.14	0.00	0.56
AA	11.16	67.47	8.18	5.05	2.22	1.23	3.91	0.30	0.00	0.49
A	3.03	10.50	67.67	7.62	4.90	1.91	3.37	0.34	0.00	0.66
BBB	0.81	3.34	9.63	63.69	7.56	5.64	7.92	0.72	0.00	0.69
BB	0.41	0.73	2.91	12.68	60.84	8.59	12.59	0.45	0.00	0.79
B	0.00	0.25	0.75	3.48	16.64	61.62	14.96	0.81	0.00	1.49
CCC	0.00	0.02	0.04	0.73	2.97	10.69	62.91	7.36	0.00	15.27
CC	0.00	0.00	0.00	0.14	0.00	0.82	0.96	54.26	0.00	43.82
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	67.02	13.68	6.37	3.76	2.24	1.27	4.33	0.29	0.00	1.05
AA	14.58	57.47	10.61	5.85	2.74	1.71	5.51	0.46	0.00	1.06
A	5.49	11.18	58.96	9.65	5.78	2.62	4.50	0.61	0.00	1.21
BBB	1.74	5.40	10.27	53.52	9.39	7.13	10.02	1.22	0.00	1.30
BB	0.71	1.54	4.74	14.74	50.43	9.98	15.36	0.93	0.00	1.56
B	0.03	0.48	1.73	5.87	18.43	54.29	15.37	1.12	0.00	2.68
CCC	0.00	0.07	0.22	1.26	4.22	10.87	55.46	7.00	0.00	20.90
CC	0.00	0.00	0.14	0.14	0.28	0.85	0.43	42.96	0.00	55.19
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	61.67	15.84	7.04	4.34	2.84	1.65	4.50	0.44	0.00	1.68
AA	17.32	50.88	12.14	5.99	2.84	2.32	6.14	0.69	0.00	1.68
A	7.66	11.03	53.52	11.12	6.07	2.75	5.10	0.94	0.00	1.81
BBB	3.14	6.76	10.16	46.96	10.49	7.66	11.17	1.55	0.00	2.11
BB	1.13	2.44	6.51	15.48	43.56	10.98	16.06	1.41	0.00	2.44
B	0.11	0.90	2.63	7.72	18.98	49.51	14.98	1.23	0.00	3.93
CCC	0.02	0.09	0.42	1.84	5.30	10.91	51.14	5.12	0.00	25.15
CC	0.00	0.00	0.29	0.00	0.59	1.03	0.15	38.73	0.00	59.20
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	59.62	16.40	7.15	4.78	3.07	1.78	4.51	0.40	0.00	2.29
AA	19.28	47.46	12.63	5.83	2.97	2.62	6.04	0.52	0.00	2.65
A	9.66	10.52	50.68	11.63	5.72	3.02	5.16	0.98	0.00	2.62
BBB	4.44	7.38	9.66	43.64	10.87	7.63	11.72	1.43	0.00	3.24
BB	1.83	3.60	7.87	14.66	39.51	11.42	16.43	1.58	0.00	3.09
B	0.23	1.36	3.52	9.19	19.63	45.61	14.26	0.98	0.00	5.22
CCC	0.04	0.11	0.58	2.56	5.97	10.97	47.99	4.88	0.00	26.88
CC	0.00	0.00	0.30	0.00	0.91	1.06	0.00	36.47	0.00	61.25
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	60.98	12.53	8.23	5.58	2.93	1.68	4.37	0.28	0.00	3.42
AA	23.45	41.88	11.30	6.09	3.49	2.80	6.17	0.25	0.00	4.58
A	14.48	13.38	42.79	9.52	5.19	3.42	5.46	0.94	0.00	4.80
BBB	6.95	7.49	10.13	38.86	8.83	7.33	12.12	1.61	0.00	6.68
BB	3.69	4.59	8.15	15.06	32.93	12.25	14.44	2.06	0.00	6.83
B	0.37	1.96	5.56	10.63	20.69	34.50	16.14	1.59	0.00	8.57
CCC	0.11	0.13	0.83	3.16	6.40	10.76	42.59	5.17	0.00	30.86
CC	0.00	0.00	0.38	0.00	1.13	0.56	0.00	26.64	0.00	71.29
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Credit Research & Insights.

Table 18

European structured credit rating transitions, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	90.45	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.55
AA	2.99	96.13	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.88
A	0.00	6.01	88.70	0.00	0.00	0.00	0.00	0.00	0.00	0.24	5.05
BBB	0.00	0.00	4.66	91.51	0.00	0.00	0.00	0.00	0.00	0.00	3.84
BB	0.00	0.00	0.32	0.96	97.43	0.00	0.00	0.00	0.00	0.00	1.29
B	0.00	0.00	0.00	0.00	0.33	98.67	0.00	0.00	0.00	0.00	1.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	81.82	0.00	0.00	9.09	9.09
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.61	0.00	8.70	8.70
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	71.38	5.88	2.60	1.59	0.80	0.51	0.84	0.02	0.00	0.21	16.18
AA	5.26	68.98	4.88	3.19	1.30	0.83	1.36	0.05	0.00	0.17	13.97
A	0.93	6.13	68.86	4.93	2.77	0.91	1.49	0.12	0.00	0.24	13.63
BBB	0.13	1.41	5.45	67.26	4.76	3.10	4.73	0.18	0.00	0.22	12.74
BB	0.09	0.11	0.87	6.63	65.80	5.37	7.82	0.20	0.00	0.32	12.80
B	0.00	0.06	0.14	1.11	8.88	63.73	10.41	0.40	0.00	0.46	14.82
CCC	0.02	0.00	0.00	0.22	1.17	6.38	62.43	4.97	0.00	8.00	16.82
CC	0.00	0.00	0.00	0.00	0.00	0.13	0.80	63.65	0.00	27.43	7.99
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	47.91	9.01	4.46	2.42	1.21	0.77	2.58	0.12	0.00	0.56	30.98
AA	6.85	45.47	6.78	4.22	1.84	0.99	3.38	0.28	0.00	0.49	29.71
A	1.90	8.54	45.78	6.59	4.63	1.64	3.06	0.28	0.00	0.66	26.92
BBB	0.33	2.18	7.46	44.21	6.63	5.05	6.74	0.56	0.00	0.69	26.14
BB	0.17	0.32	1.84	9.66	41.86	7.50	10.92	0.32	0.00	0.79	26.62
B	0.00	0.19	0.40	2.15	12.07	39.50	12.47	0.75	0.00	1.49	30.98
CCC	0.00	0.02	0.02	0.40	2.14	8.40	38.30	6.26	0.00	15.27	29.20
CC	0.00	0.00	0.00	0.14	0.00	0.55	0.82	41.90	0.00	43.82	12.77
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	29.82	11.28	5.10	2.60	1.55	0.90	3.21	0.24	0.00	1.05	44.25
AA	5.89	27.70	7.98	4.22	1.99	1.18	4.04	0.40	0.00	1.06	45.53
A	2.55	7.22	29.76	7.82	5.06	2.04	3.63	0.49	0.00	1.21	40.20
BBB	0.63	3.02	6.12	27.71	7.62	5.95	7.67	0.99	0.00	1.30	39.00
BB	0.22	0.73	2.67	8.85	25.20	7.79	12.41	0.73	0.00	1.56	39.84
B	0.03	0.27	0.85	3.39	10.25	24.74	10.38	1.05	0.00	2.68	46.35
CCC	0.00	0.04	0.11	0.51	2.54	6.72	24.50	5.28	0.00	20.90	39.39
CC	0.00	0.00	0.00	0.14	0.28	0.43	0.43	27.74	0.00	55.19	15.79
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	17.52	12.02	4.84	2.36	1.73	1.01	2.55	0.36	0.00	1.68	55.92
AA	4.72	16.27	8.16	3.56	1.62	1.40	3.49	0.61	0.00	1.68	58.48
A	2.44	5.06	19.99	8.21	4.64	1.77	3.39	0.74	0.00	1.81	51.95
BBB	0.87	2.97	4.14	17.50	7.92	5.84	7.63	1.25	0.00	2.11	49.76
BB	0.31	1.09	3.07	6.98	15.20	7.86	11.98	1.11	0.00	2.44	49.97
B	0.04	0.36	1.08	3.64	7.04	15.73	7.80	1.12	0.00	3.93	59.26
CCC	0.02	0.07	0.13	0.60	2.62	4.88	15.86	2.77	0.00	25.15	47.90
CC	0.00	0.00	0.00	0.00	0.29	0.44	0.15	21.65	0.00	59.20	18.26
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	9.91	11.01	3.76	1.90	1.48	0.84	1.77	0.26	0.00	2.29	66.78
AA	2.99	9.10	7.35	2.47	1.28	1.22	2.44	0.42	0.00	2.65	70.08
A	2.09	2.90	14.06	7.83	3.55	1.56	2.44	0.71	0.00	2.62	62.24
BBB	1.03	2.23	2.27	11.50	7.46	5.27	6.99	0.98	0.00	3.24	59.03
BB	0.38	1.62	2.99	3.93	8.65	7.41	11.07	1.16	0.00	3.09	59.71
B	0.08	0.26	1.17	3.48	4.77	8.40	4.80	0.68	0.00	5.22	71.14
CCC	0.04	0.09	0.11	0.71	2.27	3.23	10.08	2.18	0.00	26.88	54.39
CC	0.00	0.00	0.00	0.00	0.30	0.30	0.00	18.69	0.00	61.25	19.45
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	1.15	1.07	0.83	0.59	0.21	0.13	0.14	0.05	0.00	3.42	92.41
AA	0.75	0.83	1.95	0.56	0.18	0.20	0.43	0.08	0.00	4.58	90.43
A	0.39	0.94	2.46	1.80	0.39	0.42	0.67	0.24	0.00	4.80	87.87
BBB	0.07	0.19	0.61	2.74	1.21	1.18	2.34	0.59	0.00	6.68	84.39
BB	0.08	0.08	0.05	0.57	0.95	1.34	2.53	0.88	0.00	6.83	86.69
B	0.00	0.05	0.05	0.05	0.53	0.11	0.79	0.53	0.00	8.57	89.31
CCC	0.03	0.00	0.00	0.03	0.03	0.19	0.56	1.47	0.00	30.86	66.84
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.50	0.00	71.29	21.20
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Credit Research & Insights.

European ABS

Table 19

European ABS cumulative default rates, conditional on survival, 1987-2023 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.05	0.05	0.05	0.05
AA	0.00	0.00	0.00	0.08	0.08	0.08	0.08	0.08	0.08	0.08
A	0.00	0.04	0.07	0.11	0.27	0.47	0.60	0.73	0.86	1.01
BBB	0.10	0.24	0.45	0.82	1.38	1.90	2.38	2.76	3.17	3.52
BB	0.22	0.45	2.68	4.55	4.84	4.84	4.84	4.84	4.84	4.84
B	2.45	4.72	7.25	8.38	8.38	8.38	8.38	8.38	8.38	8.38
CCC	10.79	21.56	24.93	24.93	24.93	24.93	24.93	24.93	24.93	24.93
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IG	0.02	0.06	0.11	0.20	0.34	0.50	0.64	0.75	0.86	0.97
SG	2.60	5.15	7.64	9.00	9.16	9.16	9.16	9.16	9.16	9.16
Overall	0.20	0.42	0.63	0.80	0.94	1.09	1.23	1.33	1.43	1.54
IG--Investment-grade. SG--Speculative-grade. ABS--Asset-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 20

European ABS one-year default rates, 1987-2023 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1987	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1988	0.00	0.00	N/A	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1989	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1990	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	0.00	0.00	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
2000	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2006	0.16	0.00	11.11	0.00	0.00	0.00	0.00	0.00	N/A	100.00	N/A
2007	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2008	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2009	0.72	0.15	10.81	0.00	0.00	0.00	0.63	0.00	25.00	60.00	N/A
2010	0.16	0.00	2.27	0.00	0.00	0.00	0.00	0.00	0.00	50.00	N/A
2011	0.51	0.19	4.00	0.00	0.00	0.00	0.99	3.23	0.00	50.00	N/A
2012	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2013	0.20	0.00	1.47	0.00	0.00	0.00	0.00	0.00	3.70	0.00	0.00
2014	2.60	0.00	20.63	0.00	0.00	0.00	0.00	0.00	21.05	40.91	N/A
2015	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2016	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2017	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2018	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2019	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2020	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2021	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2022	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2023	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
Weighted average	0.20	0.02	2.60	0.00	0.00	0.00	0.10	0.22	2.45	10.79	0.00
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Std. dev.	0.44	0.04	5.13	0.00	0.00	0.00	0.21	0.67	7.27	29.35	0.00
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	2.60	0.19	20.63	0.00	0.00	0.00	0.99	3.23	25.00	100.00	0.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. ABS--Asset-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 21

European ABS rating transitions, 2023 and multi-year 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	20.75	79.25	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.70	18.92	77.03	0.00	0.00	1.35	0.00	0.00	0.00	0.00
BBB	0.00	3.17	12.70	84.13	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	10.34	3.45	86.21	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	4.17	12.50	79.17	0.00	4.17	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	97.19	2.15	0.49	0.09	0.02	0.02	0.04	0.00	0.00	0.00
AA	6.88	88.04	4.52	0.35	0.07	0.00	0.14	0.00	0.00	0.00
A	1.15	5.77	89.43	3.11	0.28	0.17	0.07	0.00	0.00	0.00
BBB	0.34	0.63	3.75	90.77	3.37	0.82	0.14	0.10	0.00	0.10
BB	0.22	0.00	1.08	5.86	82.65	8.24	1.74	0.00	0.00	0.22
B	0.00	0.00	0.41	3.67	6.12	81.22	5.31	0.41	0.41	2.45
CCC	0.00	0.00	0.00	1.44	0.72	2.88	83.45	0.72	0.00	10.79
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	94.62	3.67	1.16	0.34	0.07	0.05	0.09	0.00	0.00	0.00
AA	12.13	80.43	6.28	0.72	0.14	0.00	0.29	0.00	0.00	0.00
A	2.55	9.99	81.00	4.89	0.97	0.40	0.14	0.04	0.00	0.04
BBB	0.79	1.49	5.55	84.43	4.86	1.98	0.50	0.15	0.00	0.25
BB	0.46	0.00	2.31	7.64	72.45	12.04	4.40	0.00	0.23	0.46
B	0.00	0.45	3.17	6.79	5.88	69.68	8.14	0.45	0.45	4.98
CCC	0.00	0.00	0.00	4.58	2.29	3.82	65.65	1.53	0.00	22.14
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	92.48	4.93	1.64	0.49	0.21	0.09	0.14	0.00	0.00	0.00
AA	15.40	75.47	7.02	1.06	0.53	0.08	0.45	0.00	0.00	0.00
A	3.66	12.74	74.84	6.17	1.29	0.78	0.37	0.07	0.00	0.07
BBB	1.23	1.95	6.46	80.32	5.64	2.46	1.23	0.21	0.05	0.46
BB	0.74	0.25	2.73	9.18	65.51	14.39	4.22	0.00	0.25	2.73
B	0.00	1.51	5.03	6.53	7.04	62.81	8.04	0.50	0.50	8.04
CCC	0.00	0.82	2.46	4.92	4.10	4.92	53.28	2.46	0.00	27.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	90.85	5.92	1.87	0.61	0.41	0.15	0.19	0.00	0.00	0.00
AA	16.35	73.03	7.86	0.94	0.79	0.31	0.63	0.00	0.00	0.08
A	4.33	13.83	71.01	7.45	1.52	1.03	0.65	0.08	0.00	0.11
BBB	1.49	2.13	6.56	77.53	6.35	2.83	1.87	0.27	0.11	0.85
BB	1.06	0.27	1.86	9.84	63.30	15.69	2.66	0.27	0.27	4.79
B	0.00	2.78	5.56	7.22	7.78	57.78	8.33	0.00	0.56	10.00
CCC	0.00	2.61	4.35	5.22	5.22	6.09	44.35	3.48	0.00	28.70
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	89.44	6.87	1.99	0.70	0.50	0.25	0.25	0.00	0.00	0.00
AA	16.87	71.60	8.31	1.07	0.99	0.33	0.74	0.00	0.00	0.08
A	4.77	14.43	67.97	8.76	1.80	1.06	0.86	0.08	0.00	0.27
BBB	1.56	2.17	7.01	75.03	7.06	3.28	1.95	0.33	0.17	1.45
BB	1.16	0.29	1.16	10.43	62.32	15.65	2.90	0.29	0.29	5.51
B	0.00	4.27	4.27	7.93	7.32	56.10	8.54	0.00	0.61	10.98
CCC	0.00	4.55	6.36	5.45	6.36	7.27	35.45	4.55	0.00	30.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	85.08	9.86	2.70	0.86	0.86	0.29	0.29	0.00	0.00	0.06
AA	11.18	74.41	6.67	4.84	1.72	0.65	0.43	0.00	0.00	0.11
A	4.73	14.44	63.45	9.80	3.72	1.30	1.30	0.10	0.00	1.16
BBB	1.06	1.91	8.41	70.11	6.64	5.02	1.48	0.78	0.35	4.24
BB	0.00	0.79	1.18	9.84	61.81	14.17	4.33	0.00	0.39	7.48
B	0.00	3.70	1.85	11.11	10.19	47.22	6.48	1.85	0.93	16.67
CCC	0.00	8.11	10.81	0.00	6.76	1.35	24.32	4.05	0.00	44.59
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. ABS--Asset-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 22

European ABS rating transitions, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	65.87	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	34.13
AA	13.21	58.49	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	28.30
A	2.70	14.86	55.41	0.00	0.00	1.35	0.00	0.00	0.00	0.00	25.68
BBB	0.00	3.17	11.11	74.60	0.00	0.00	0.00	0.00	0.00	0.00	11.11
BB	0.00	0.00	10.34	3.45	72.41	0.00	0.00	0.00	0.00	0.00	13.79
B	0.00	0.00	0.00	4.17	8.33	79.17	0.00	4.17	0.00	0.00	4.17
CCC	0.00	0.00	0.00	0.00	0.00	0.00	37.50	0.00	0.00	0.00	62.50
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	75.55	1.82	0.49	0.04	0.02	0.02	0.04	0.00	0.00	0.00	22.01
AA	4.80	66.69	4.24	0.35	0.07	0.00	0.14	0.00	0.00	0.00	23.71
A	0.80	4.44	75.33	2.97	0.14	0.10	0.07	0.00	0.00	0.00	16.13
BBB	0.19	0.53	2.88	77.12	3.13	0.77	0.14	0.05	0.00	0.10	15.10
BB	0.22	0.00	0.87	5.21	68.33	8.03	1.08	0.00	0.00	0.22	16.05
B	0.00	0.00	0.41	3.27	5.71	68.98	4.90	0.41	0.00	2.45	13.88
CCC	0.00	0.00	0.00	1.44	0.72	2.16	70.50	0.72	0.00	10.79	13.67
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	53.76	2.55	1.00	0.23	0.05	0.05	0.07	0.00	0.00	0.00	42.30
AA	5.63	43.75	5.63	0.58	0.14	0.00	0.29	0.00	0.00	0.00	43.97
A	1.11	5.32	54.38	4.56	0.65	0.25	0.14	0.00	0.00	0.04	33.55
BBB	0.25	0.84	3.07	57.56	4.46	1.78	0.35	0.05	0.00	0.25	31.38
BB	0.23	0.00	1.39	5.79	45.37	11.11	3.47	0.00	0.00	0.46	32.18
B	0.00	0.45	1.81	5.43	3.62	45.25	6.79	0.45	0.00	4.98	31.22
CCC	0.00	0.00	0.00	4.58	1.53	2.29	47.33	0.76	0.00	22.14	21.37
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	35.17	2.82	1.27	0.33	0.16	0.09	0.09	0.00	0.00	0.00	60.06
AA	4.75	27.17	5.66	0.68	0.38	0.08	0.45	0.00	0.00	0.00	60.83
A	0.81	4.21	37.24	5.47	0.85	0.55	0.22	0.00	0.00	0.07	50.57
BBB	0.36	0.62	2.46	41.47	4.77	2.00	1.08	0.05	0.00	0.46	46.75
BB	0.25	0.00	0.99	5.71	29.53	12.16	2.73	0.00	0.00	2.73	45.91
B	0.00	1.01	1.51	4.52	3.02	28.14	6.53	0.50	0.00	8.04	46.73
CCC	0.00	0.82	2.46	4.92	1.64	2.46	32.79	0.82	0.00	27.05	27.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	23.22	2.60	1.14	0.41	0.34	0.15	0.12	0.00	0.00	0.00	72.03
AA	2.67	16.90	5.27	0.16	0.24	0.31	0.63	0.00	0.00	0.08	73.74
A	0.72	2.62	25.57	6.38	1.03	0.68	0.38	0.00	0.00	0.11	62.50
BBB	0.32	0.43	1.49	30.31	4.91	2.08	1.65	0.05	0.00	0.85	57.90
BB	0.27	0.00	0.53	2.66	20.48	11.97	0.53	0.27	0.00	4.79	58.51
B	0.00	1.67	1.67	4.44	3.33	16.11	6.67	0.00	0.00	10.00	56.11
CCC	0.00	1.74	2.61	5.22	0.87	2.61	24.35	0.87	0.00	28.70	33.04
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	15.29	2.24	0.83	0.45	0.38	0.25	0.15	0.00	0.00	0.00	80.41
AA	1.56	11.28	4.86	0.00	0.08	0.33	0.74	0.00	0.00	0.08	81.07
A	0.55	1.60	16.54	7.35	1.17	0.47	0.43	0.00	0.00	0.27	71.61
BBB	0.22	0.28	1.06	21.08	5.28	2.34	1.61	0.06	0.00	1.45	66.63
BB	0.29	0.00	0.29	1.16	14.20	10.72	0.58	0.29	0.00	5.51	66.96
B	0.00	1.83	1.83	1.83	2.44	9.76	6.71	0.00	0.00	10.98	64.63
CCC	0.00	1.82	2.73	5.45	0.91	2.73	16.36	0.91	0.00	30.00	39.09
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	2.70	1.02	0.67	0.19	0.38	0.10	0.00	0.00	0.00	0.06	94.88
AA	0.00	3.66	0.54	2.90	0.00	0.22	0.43	0.00	0.00	0.11	92.15
A	0.00	0.00	1.98	4.10	2.22	0.43	0.39	0.00	0.00	1.16	89.72
BBB	0.00	0.00	0.35	3.18	3.67	2.54	0.85	0.00	0.00	4.24	85.16
BB	0.00	0.00	0.39	0.79	1.57	1.97	1.18	0.00	0.00	7.48	86.61
B	0.00	0.00	0.00	0.00	0.00	2.78	2.78	0.00	0.00	16.67	77.78
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	44.59	55.41
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. ABS--Asset-backed securities. Source: S&P Global Ratings Credit Research & Insights.

European CMBS

Table 23

European CMBS cumulative default rates, conditional on survival, 1990-2023 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.15	0.48	0.97	1.58	2.20	2.78	3.24	3.83	4.34
AA	0.05	0.10	0.36	1.27	2.44	3.70	4.87	5.89	6.75	7.57
A	0.18	0.83	1.92	3.50	5.32	7.31	9.29	10.80	12.09	13.05
BBB	0.78	2.56	5.14	8.23	11.95	15.84	18.92	21.41	23.07	24.27
BB	1.93	7.06	12.50	18.13	23.81	28.91	32.80	35.03	36.76	38.12
B	9.77	21.77	33.64	44.64	51.94	55.81	58.81	61.06	61.70	61.70
CCC	37.83	59.36	72.68	78.70	80.86	81.86	81.86	81.86	81.86	81.86
CC	60.42	80.21	91.20	91.20	91.20	91.20	91.20	91.20	91.20	91.20
IG	0.23	0.85	1.87	3.31	5.04	6.87	8.49	9.78	10.83	11.66
SG	12.10	22.78	31.96	39.38	44.89	48.75	51.59	53.41	54.47	55.17
Overall	2.85	5.70	8.52	11.29	13.85	16.13	18.00	19.39	20.43	21.22
IG--Investment-grade. SG--Speculative-grade. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 24

European CMBS one-year default rates, 1990-2023 (%)
Year	Overall	IG	SG	AAA	AA	A	BBB	BB	B	CCC	CC
1990	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1991	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1992	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1993	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1994	0.00	0.00	N/A	0.00	N/A	N/A	N/A	N/A	N/A	N/A	N/A
1995	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1996	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1997	0.00	0.00	N/A	0.00	N/A	0.00	0.00	N/A	N/A	N/A	N/A
1998	0.00	0.00	N/A	0.00	0.00	0.00	0.00	N/A	N/A	N/A	N/A
1999	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2000	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2001	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2002	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2003	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A	N/A
2004	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00
2005	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	0.00
2006	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A	N/A
2007	0.43	0.12	4.35	0.00	0.00	0.00	0.55	0.00	30.00	0.00	N/A
2008	0.54	0.29	3.57	0.00	0.00	0.00	1.33	1.39	16.67	N/A	N/A
2009	0.98	0.11	9.57	0.00	0.00	0.00	0.50	1.49	17.39	100.00	N/A
2010	2.41	0.65	8.41	0.00	0.55	1.29	1.12	3.31	11.70	36.36	N/A
2011	4.08	0.31	12.72	0.00	0.00	0.00	1.38	4.76	13.46	46.88	N/A
2012	4.40	0.74	11.43	0.00	0.00	0.46	2.46	4.23	12.61	44.44	N/A
2013	7.80	0.26	17.32	0.00	0.00	0.53	0.00	3.16	7.41	50.68	100.00
2014	7.69	0.00	14.23	0.00	0.00	0.00	0.00	0.00	6.20	33.77	100.00
2015	7.03	0.00	13.30	0.00	0.00	0.00	0.00	0.00	8.89	19.72	62.50
2016	9.94	0.60	19.39	0.00	0.00	0.00	1.89	2.63	8.93	30.16	87.50
2017	10.89	0.00	23.33	0.00	0.00	0.00	0.00	0.00	3.45	50.00	14.29
2018	8.38	0.00	21.43	0.00	0.00	0.00	0.00	0.00	0.00	50.00	16.67
2019	3.93	0.00	14.00	0.00	0.00	0.00	0.00	0.00	0.00	28.57	83.33
2020	3.09	1.86	9.09	0.00	0.00	0.00	8.57	0.00	0.00	25.00	100.00
2021	2.16	0.00	11.11	0.00	0.00	0.00	0.00	0.00	28.57	0.00	N/A
2022	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	N/A
2023	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Weighted average	2.85	0.23	12.10	0.00	0.05	0.18	0.78	1.93	9.77	37.83	60.42
Median	0.00	0.00	8.41	0.00	0.00	0.00	0.00	0.00	6.80	31.96	62.50
Std. dev.	3.35	0.36	7.78	0.00	0.11	0.27	1.67	1.51	9.38	26.24	44.77
Minimum	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Maximum	10.89	1.86	23.33	0.00	0.55	1.29	8.57	4.76	30.00	100.00	100.00
IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 25

European CMBS rating transitions, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	83.87	16.13	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	11.67	80.00	8.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	6.67	4.44	84.44	4.44	0.00	0.00	0.00	0.00	0.00	0.00
BBB	2.38	2.38	9.52	73.81	11.90	0.00	0.00	0.00	0.00	0.00
BB	0.00	4.17	0.00	8.33	75.00	12.50	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	11.11	88.89	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	33.33	66.67	0.00	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	87.31	6.87	4.97	0.62	0.11	0.00	0.11	0.00	0.00	0.00
AA	3.68	81.95	10.64	2.89	0.54	0.15	0.10	0.00	0.00	0.05
A	1.13	2.85	82.22	8.69	3.71	1.13	0.09	0.00	0.00	0.18
BBB	0.49	1.12	2.62	78.70	10.38	5.34	0.58	0.00	0.00	0.78
BB	0.42	0.17	0.67	2.18	71.84	18.69	3.94	0.17	0.00	1.93
B	0.00	0.00	0.00	0.00	1.16	66.74	21.28	1.05	0.00	9.77
CCC	0.00	0.22	0.00	0.00	0.00	0.43	56.74	4.78	0.00	37.83
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	39.58	0.00	60.42
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	75.00	11.32	11.28	1.59	0.41	0.04	0.22	0.00	0.00	0.15
AA	5.86	68.52	16.27	6.22	2.02	0.76	0.25	0.00	0.00	0.10
A	2.31	4.99	68.64	11.96	7.07	3.56	0.65	0.00	0.00	0.83
BBB	1.04	1.54	4.71	62.80	14.61	10.55	2.18	0.00	0.00	2.58
BB	0.86	0.17	0.77	3.85	54.15	24.38	8.30	0.43	0.00	7.10
B	0.00	0.12	0.00	0.12	1.41	47.24	27.03	2.23	0.00	21.86
CCC	0.00	0.22	0.00	0.00	0.00	0.44	35.01	4.81	0.00	59.52
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	19.15	0.00	80.85
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	64.88	13.54	16.90	2.43	1.20	0.26	0.30	0.00	0.00	0.49
AA	6.99	60.01	18.04	8.45	3.02	2.45	0.68	0.00	0.00	0.36
A	2.93	5.77	60.95	12.25	9.17	5.30	1.70	0.00	0.00	1.94
BBB	1.31	1.52	5.46	53.76	14.70	13.64	4.24	0.15	0.00	5.20
BB	1.14	0.09	1.14	4.55	44.66	22.59	12.17	0.96	0.00	12.70
B	0.00	0.24	0.00	0.00	1.78	36.09	25.21	2.84	0.00	33.85
CCC	0.00	0.22	0.00	0.00	0.00	0.44	23.08	3.30	0.00	72.97
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.51	0.00	91.49
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	57.24	14.18	21.30	3.02	2.00	0.94	0.34	0.00	0.00	0.98
AA	7.58	54.25	19.25	8.82	3.92	3.55	1.34	0.00	0.00	1.29
A	3.32	6.20	56.06	11.78	9.33	7.16	2.50	0.10	0.00	3.56
BBB	1.54	1.65	6.02	48.48	12.96	13.88	6.79	0.31	0.00	8.38
BB	1.33	0.09	1.51	5.07	39.82	19.02	13.16	1.51	0.00	18.49
B	0.00	0.36	0.00	0.00	1.68	30.69	19.86	2.53	0.00	44.89
CCC	0.00	0.22	0.00	0.00	0.00	0.44	17.78	2.00	0.00	79.56
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.51	0.00	91.49
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	52.40	14.14	23.13	3.51	3.01	1.56	0.65	0.00	0.00	1.60
AA	7.67	50.39	20.28	8.06	4.39	4.94	1.72	0.06	0.00	2.50
A	3.57	6.51	53.48	11.31	7.74	8.03	3.77	0.15	0.00	5.44
BBB	1.68	1.68	6.65	45.86	10.84	12.62	8.01	0.58	0.00	12.09
BB	1.36	0.18	1.63	5.09	37.78	16.35	11.72	1.45	0.00	24.43
B	0.00	0.36	0.00	0.00	1.69	27.78	15.34	2.54	0.00	52.29
CCC	0.00	0.22	0.00	0.00	0.00	0.45	16.14	1.12	0.00	82.06
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.89	0.00	91.11
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	46.90	15.01	24.06	3.25	2.70	2.08	1.45	0.12	0.00	4.43
AA	7.96	43.57	21.44	6.83	4.89	4.76	2.19	0.13	0.00	8.21
A	4.47	5.87	48.04	11.35	6.10	7.61	2.91	0.11	0.00	13.53
BBB	1.92	1.92	7.62	40.61	8.20	8.32	4.60	0.64	0.00	26.18
BB	1.58	0.32	2.21	2.52	31.97	10.83	6.62	1.05	0.00	42.90
B	0.00	0.48	0.00	0.00	1.76	18.37	9.58	0.32	0.00	69.49
CCC	0.00	0.44	0.00	0.00	0.00	0.44	9.33	0.44	0.00	89.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

Table 26

European CMBS rating transitions, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	61.29	16.13	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	22.58
AA	8.33	70.00	8.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00	13.33
A	6.67	4.44	75.56	4.44	0.00	0.00	0.00	0.00	0.00	0.00	8.89
BBB	2.38	2.38	9.52	64.29	11.90	0.00	0.00	0.00	0.00	0.00	9.52
BB	0.00	4.17	0.00	8.33	62.50	12.50	0.00	0.00	0.00	0.00	12.50
B	0.00	0.00	0.00	0.00	11.11	88.89	0.00	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	33.33	66.67	0.00	0.00	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	74.95	6.69	3.91	0.62	0.11	0.00	0.11	0.00	0.00	0.00	13.60
AA	2.84	72.49	9.02	2.84	0.49	0.15	0.05	0.00	0.00	0.05	12.06
A	0.81	2.49	70.36	8.46	3.67	1.04	0.09	0.00	0.00	0.18	12.90
BBB	0.34	0.78	2.18	69.43	10.00	5.34	0.58	0.00	0.00	0.78	10.58
BB	0.17	0.08	0.42	2.18	61.36	17.94	3.77	0.17	0.00	1.93	11.99
B	0.00	0.00	0.00	0.00	1.05	57.67	19.19	1.05	0.00	9.77	11.28
CCC	0.00	0.22	0.00	0.00	0.00	0.22	50.00	4.57	0.00	37.83	7.17
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	35.42	0.00	60.42	4.17
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	52.44	10.02	7.88	1.59	0.41	0.04	0.22	0.00	0.00	0.15	27.26
AA	3.54	51.54	12.89	6.06	1.87	0.66	0.15	0.00	0.00	0.10	23.19
A	1.25	3.74	46.93	10.95	6.84	3.46	0.65	0.00	0.00	0.83	25.36
BBB	0.45	0.74	3.32	45.22	13.22	10.20	1.93	0.00	0.00	2.58	22.34
BB	0.26	0.09	0.09	3.51	34.64	20.96	6.93	0.43	0.00	7.10	26.01
B	0.00	0.12	0.00	0.12	1.06	32.20	23.74	2.12	0.00	21.86	18.80
CCC	0.00	0.00	0.00	0.00	0.00	0.22	23.85	4.60	0.00	59.52	11.82
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.64	0.00	80.85	8.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	34.55	10.51	10.51	2.32	1.12	0.26	0.26	0.00	0.00	0.49	39.98
AA	3.39	37.59	12.15	7.66	2.87	2.19	0.57	0.00	0.00	0.36	33.21
A	1.13	3.59	31.77	10.02	8.42	5.01	1.51	0.00	0.00	1.94	36.60
BBB	0.40	0.61	3.08	30.17	12.03	12.53	3.84	0.15	0.00	5.20	31.99
BB	0.26	0.00	0.26	3.59	18.74	16.73	9.28	0.79	0.00	12.70	37.65
B	0.00	0.12	0.00	0.00	1.07	16.33	20.59	2.60	0.00	33.85	25.44
CCC	0.00	0.00	0.00	0.00	0.00	0.22	8.79	3.08	0.00	72.97	14.95
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.49	8.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	20.70	9.01	11.43	2.68	1.77	0.94	0.26	0.00	0.00	0.98	52.22
AA	2.85	27.80	10.81	7.37	3.55	3.12	1.24	0.00	0.00	1.29	41.99
A	0.91	3.37	21.35	8.37	7.88	6.35	2.16	0.10	0.00	3.56	45.96
BBB	0.36	0.67	2.52	20.41	9.10	11.67	6.12	0.26	0.00	8.38	40.51
BB	0.18	0.00	0.53	3.56	9.69	10.84	9.51	1.16	0.00	18.49	46.04
B	0.00	0.12	0.00	0.00	0.60	8.30	13.84	2.29	0.00	44.89	29.96
CCC	0.00	0.00	0.00	0.00	0.00	0.22	2.44	1.78	0.00	79.56	16.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.49	8.51
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	11.55	6.67	9.68	2.82	2.48	1.49	0.50	0.00	0.00	1.60	63.22
AA	1.78	20.94	9.22	5.61	3.50	4.17	1.56	0.06	0.00	2.50	50.67
A	0.73	3.13	14.50	6.71	5.39	6.07	3.23	0.15	0.00	5.44	54.65
BBB	0.26	0.68	2.41	14.61	5.81	9.11	6.70	0.47	0.00	12.09	47.85
BB	0.09	0.09	0.54	3.09	5.81	7.18	7.63	1.00	0.00	24.43	50.14
B	0.00	0.00	0.00	0.00	0.36	3.74	8.33	2.29	0.00	52.29	32.97
CCC	0.00	0.00	0.00	0.00	0.00	0.22	0.67	0.90	0.00	82.06	16.14
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.11	8.89
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	2.47	2.39	2.47	0.51	0.35	0.47	0.39	0.12	0.00	4.43	86.40
AA	0.06	10.47	2.82	1.07	0.88	0.50	0.69	0.13	0.00	8.21	75.17
A	0.06	0.89	3.97	2.96	0.84	1.01	0.62	0.11	0.00	13.53	76.01
BBB	0.00	0.81	1.40	5.41	0.58	0.93	1.16	0.35	0.00	26.18	63.18
BB	0.00	0.00	0.21	0.00	0.42	0.21	1.05	0.42	0.00	42.90	54.78
B	0.00	0.00	0.00	0.00	0.00	0.16	0.32	0.00	0.00	69.49	30.03
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	89.33	10.67
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	80.00	20.00
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. CMBS--Commercial mortgage-backed securities. Source: S&P Global Ratings Credit Research & Insights.

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

In 2008, our European structured finance default and rating transition study adopted a new approach to the treatment of securities with original ratings of 'AAA'. As detailed in Appendix I, this study uses the "uncollapsed" approach, rather than the "collapsed" approach of previous studies. Charts 18-20 illustrate the resulting changes.

Related Criteria

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

Related Research

• European CMBS Can Ride The Refinance Wave, April 11, 2024
• Default, Transition, and Recovery: 2023 Annual Global Structured Finance Default And Rating Transition Study, March 18, 2024

Credit Research & Insights:	Nick W Kraemer, FRM, New York + 1 (212) 438 1698; nick.kraemer@spglobal.com
	Sarah Limbach, Paris + 33 14 420 6708; Sarah.Limbach@spglobal.com
	Brenden J Kugle, Englewood + 1 (303) 721 4619; brenden.kugle@spglobal.com