Key Takeaways
- After no defaults among International Public Finance (IPF) issuers in 2022, two confidentially rated entities defaulted in 2023.
- Aggregate IPF credit quality slipped in 2023, given 30 downgrades and 29 upgrades, compared with only eight downgrades and 38 upgrades in 2022.
- The ratings continue to be effective indicators of relative credit risk. The one-year weighted average Gini coefficient for IPF was 89.3%, the three-year was 84.7%, and the five-year was 81.5%.
The international public finance (IPF) sector is divided into two main categories: local and regional governments (LRGs), like states, provinces, regions, cities, and towns; and non-LRGs, like non-U.S. universities, hospital systems, transportation systems, and housing providers. At the end of 2023, S&P Global Ratings rated 272 LRG issuers and 140 non-LRG issuers. The IPF sector is also divided regionally: Europe, the Middle East, and Africa (EMEA; 224 issuers), Canada (71), Asia-Pacific (65), and Latin America (52).
Overall credit quality of IPF entities somewhat weakened in 2023. The upgrades in 2023 fell to 29 from 38 in 2022, and downgrades (excluding defaults) rose to 30 from only eight in 2022 (see chart 1).
There were two defaults among IPF entities rated by S&P Global Ratings in 2023 (both confidential), up from none in 2022. Since 1999, the number of IPF defaults was on average two per year, with the spike to seven in 2020.
Chart 1
Rating Distributions
The number of IPF ratings has increased from two in 1975 to 412 by the end of 2023, gathering pace in late 1990s (see chart 2). Since that time, the number of ratings grew almost threefold. There were no speculative-grade IPF ratings until 1996, but they reached a peak of 31% at the start of 2008, and fell steadily after the global financial crisis to 13% as of the end of 2023.
As of the end 2023,10% of issuers were 'AAA' rated, followed by 'AA' (38%), and 'A' (31%). The number of 'AAA' rated issuers increased by two to 41 by the end of 2023. In the last decade, the number of 'AAA' rated IPFs was gradually declining, while it rose in the past two years with the 2023 level the same as that in 2009.
Sixty four percent of speculative-grade issuers (34 entities) were in the 'BB' rating category, while 11% were in 'B', and 25% in 'CCC' categories.
Chart 2
Comparing investment- and speculative-grade entities, IPF issuers in Canada, EMEA, and Asia-Pacific were almost entirely investment grade (100%, 97%, and 95%, respectively), compared with 15% in Latin America, all of which at the 'BBB' level. The 'AAA' rated issuers are mostly in EMEA and Canada (11% and 21% of total, respectively), followed by Asia-Pacific (3%; see chart 3). There are no 'A' and above rated IPF issuers in Latin America. Most of IPF entities in Latin America are at the speculative-grade level: the region contains 29 out of 34 'BB' rated issuers globally, three out of six 'B' rated issuers, and two out of 13 'CCC' rated issuers.
Chart 3
Rating Changes
The stability rate (the proportion of ratings that were the same at the start and end of the year) edged down to 82.13% in 2023 from 83.06% in 2022, compared with the historical weighted average of 79.98%. However, the stability rate remains higher than those of other sectors.
The IPF entities' credit quality deteriorated in 2023, as downgrades rose to 7% from 1.9% in 2022, slightly higher than the historical weighted average of 6.7%. Meanwhile, the share of upgrades fell to 7% of total ratings in 2023 from 8.94% in 2022, lower than the historical weighted average of 7.84% since 1975 (see table 1). This shift toward net downgrades has raised the ratio of downgrades to upgrades to 1.0x in 2023 from 0.21x in 2022, higher than the historical weighted average ratio of 0.86x.
There were two confidential LRG defaults in 2023, leading to a 0.24% default rate, up from none in 2022, but this is still below the historical weighted average of 0.3%.
Table 1
| Summary of annual IPF rating changes (%)* | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Issuers as of Jan. 1 | Upgrades (%) | Downgrades (%) § | Defaults (%) | Withdrawn ratings (%) | Changed ratings (%) | Unchanged ratings (%) | Downgrade/upgrade ratio | ||||||||||
| 2018 | 412 | 10.9 | 6.1 | 0.2 | 6.3 | 23.5 | 76.5 | 0.6 | ||||||||||
| 2019 | 424 | 8.3 | 6.8 | 0.2 | 4.2 | 19.6 | 80.4 | 0.8 | ||||||||||
| 2020 | 424 | 0.2 | 8.0 | 1.7 | 4.0 | 13.9 | 86.1 | 34.0 | ||||||||||
| 2021 | 420 | 8.1 | 3.8 | 0.5 | 4.8 | 17.1 | 82.9 | 0.5 | ||||||||||
| 2022 | 425 | 8.9 | 1.9 | 0.0 | 6.1 | 16.9 | 83.1 | 0.2 | ||||||||||
| 2023 | 414 | 7.0 | 7.0 | 0.2 | 3.6 | 17.9 | 82.1 | 1.0 | ||||||||||
| Weighted average (1975-2023) | 7.8 | 6.7 | 0.3 | 5.1 | 20.0 | 80.0 | 0.9 | |||||||||||
| Average (1975-2023) | 5.7 | 5.0 | 0.2 | 2.9 | 13.7 | 86.3 | 1.9 | |||||||||||
| Median (1975-2023) | 6.6 | 3.9 | 0.0 | 2.9 | 14.7 | 85.3 | 0.7 | |||||||||||
| Standard deviation (1975-2023) | 6.0 | 5.2 | 0.4 | 2.8 | 9.6 | 9.6 | 5.9 | |||||||||||
| Minimum (1975-2023) | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 66.7 | 0.0 | |||||||||||
| Maximum (1975-2023) | 33.3 | 20.0 | 1.7 | 8.5 | 33.3 | 100.0 | 34.0 | |||||||||||
| *This table compares the net change in ratings from the first to the last day of each year. All intermediate ratings are disregarded. §Excludes downgrades to defaults, shown separately in the default column. IPF--International public finance. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®. | ||||||||||||||||||
We see a greater divergence in credit quality among LRGs than among non-LRG entities. Of the 271 rated LRG at the start of 2023, 8.86% were upgraded, compared with 3.5% of the 143 non-LRGs. Meanwhile, 5.17% of LRGs were downgraded in 2023, compared with 10.49% of non-LRGs (see table 2 and chart 4).
Table 2
| IPF rating actions 2023 | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Region | Issuers as of Jan. 1, 2023 | Upgrades(%) | Downgrades (%) | Defaults (%) | Withdrawn (%) | Unchanged ratings (%) | Downgrade/Upgrade Ratio | |||||||||
| Global IPF | 414 | 7.0% | 7.0% | 0.2% | 3.6% | 82.1% | 100.0% | |||||||||
| Global LRG | 271 | 8.9% | 5.2% | 0.4% | 3.3% | 82.3% | 58.3% | |||||||||
| Global Non-LRG | 143 | 3.5% | 10.5% | 0.0% | 4.2% | 81.8% | 300.0% | |||||||||
| APAC | 65 | 0.0% | 6.2% | 0.0% | 4.6% | 89.2% | 0.0% | |||||||||
| Canada | 71 | 2.8% | 4.2% | 0.0% | 0.0% | 93.0% | 150.0% | |||||||||
| EMEA | 225 | 8.0% | 5.3% | 0.0% | 4.0% | 82.7% | 66.7% | |||||||||
| Latin America | 53 | 17.0% | 18.9% | 1.9% | 5.7% | 56.6% | 111.1% | |||||||||
| IPF--International public finance. LRG --Local and regional governments. APAC--Asia-Pacific. EMEA--Europe, Middle East, and Africa. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||
Moreover, there was some regional divergence in credit quality during 2023. Only the issuers in EMEA and Latin America saw an increase in the number of upgrades: 8% and 17%, respectively, in 2023 versus 3.5% and 6.8% in 2022. At the same time, the downgrade ratio rose in both two regions, reaching 5.3% in EMEA in 2023 from 2.6% in 2022, and to 18.9% in Latin America from 1.7%. In Asia-Pacific and Canada, the number of upgrades plunged in relative terms. However, the base is quite low, which indicates a small number of IPF ratings in these regions were revised in absolute terms. The Canadian IPF entities' credit quality deteriorated in 2023, with 2.8% of upgrades (sharply down from 33% in 2022) against 4.2% of downgrades (none in 2022). This led the downgrade-to-upgrade ratio to rise to 1.5x in 2023 from 0x in 2022. However, this decline should be qualified, as the high upgrade rate in 2022 was largely the result of our upward revision of our institutional framework assessment for Canadian municipalities. Nevertheless, Canada saw the highest stability rate, at 93%. Asia-Pacific had no upgrades and 6.15% of downgrades, and the second-highest stability rate at 89.23%.
Most of upgrades occurred in developed Europe (predominantly in Switzerland) and Canada. The number of downgrades was higher than upgrades, mostly because we lowered the ratings on Argentine provinces following a downward revision of the transfer and convertibility assessment of the sovereign and the downgrade of several U.K.-based non-LRGs.
Chart 4
Rating Outlooks Imply Some Rating Volatility And Increasing Negative Bias
At the end of 2023, the number of IPF issuers with stable outlooks fell to 317 from 330 at the beginning of 2022, positive outlooks slipped to 30 from 31, while negative outlooks went up to 62 from 50 (see chart 5). The latter showed that the positive rating momentum among IPFs has weakened. However, the ratings with stable outlooks are still high at 77.5% of total ratings, compared with 80.2% in 2022. The balance of outlooks is gradually turning negative for LRGs, driven largely by structural challenges for public finances in Argentina and France--which together account for more than half of negative outlooks on LRGs. The latter stemmed from negative outlooks on the respective sovereign ratings. U.K.-based non-LRGs (social housing) accounted for 68% of negative outlooks in the non-LRG sector.
Chart 5
Rating Transitions Demonstrate The Strength Of Our Rating System
Consistent with other studies of S&P Global Ratings, IPF ratings over time show a negative correlation between higher ratings and incidents of default, as well as a positive correlation between higher ratings and rating stability. Over one year (see table 3), no investment-grade issuers have defaulted, while the higher the speculative grade rating, the lower the default rate, at 0.8% for 'BB', 2% for 'B', and 11.2% for 'CCC/C'. For stability rates, the higher the rating, the more stable over a year on average, with 'AAA' ratings stable 94.8% of the time, followed by 'AA' ratings (93.4%), and 'A' ratings (90.0%).
Since most of the observed IPF ratings have been high investment-grade, as we descend the ratings, we can see some idiosyncrasies due to smaller populations. For example, 81.9% of 'BBB' ratings were stable over one year, compared with 85.9% of 'BB' ratings. The population of 'BBB' ratings and 'BB' ratings are currently the same, but 'BB' have historically been much more common than 'BBB' ratings.
As expected, over longer time horizons, the stability of ratings decreases. The stability of 'AAA' ratings falls from 94.6% over one year and to 74.8% over five years, for example. For the longest time frame, which in this study is 15 years, the shift is dramatic, with 39.7% of 'AAA' ratings stable on average.
Table 3
| IPF one-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 94.8 | 4.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | |||||||||||
| AA | 1.2 | 93.4 | 2.3 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 2.9 | |||||||||||
| A | 0.0 | 3.6 | 90.0 | 1.9 | 0.0 | 0.0 | 0.0 | 0.0 | 4.5 | |||||||||||
| BBB | 0.0 | 0.0 | 4.4 | 81.9 | 3.7 | 0.0 | 0.0 | 0.0 | 9.9 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 2.7 | 3.7 | 1.8 | 0.4 | 0.8 | 8.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 8.3 | 70.9 | 5.8 | 2.0 | 13.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 19.6 | 60.7 | 11.2 | 8.4 | |||||||||||
| Rating three years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 84.4 | 11.6 | 0.1 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 3.7 | |||||||||||
| AA | 3.4 | 82.1 | 5.9 | 0.8 | 0.1 | 0.0 | 0.0 | 0.0 | 7.8 | |||||||||||
| A | 0.0 | 10.6 | 72.4 | 4.6 | 0.2 | 0.0 | 0.0 | 0.0 | 12.3 | |||||||||||
| BBB | 0.0 | 0.0 | 11.2 | 56.2 | 8.1 | 0.5 | 0.0 | 0.2 | 23.8 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 6.2 | 67.4 | 3.7 | 0.5 | 3.0 | 19.3 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 19.8 | 33.2 | 8.9 | 8.7 | 29.4 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 2.4 | 51.8 | 14.5 | 16.9 | 14.5 | |||||||||||
| Rating five years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 74.8 | 18.2 | 0.6 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 5.8 | |||||||||||
| AA | 5.3 | 72.8 | 8.1 | 1.5 | 0.2 | 0.0 | 0.0 | 0.0 | 12.1 | |||||||||||
| A | 0.1 | 17.3 | 57.1 | 6.2 | 0.2 | 0.1 | 0.0 | 0.0 | 19.1 | |||||||||||
| BBB | 0.0 | 0.0 | 15.2 | 41.2 | 10.4 | 0.7 | 0.1 | 0.7 | 31.7 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 7.6 | 54.6 | 4.0 | 0.3 | 5.1 | 28.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.8 | 22.6 | 20.8 | 5.8 | 11.7 | 38.3 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 15.1 | 30.1 | 12.3 | 21.9 | 20.5 | |||||||||||
| Rating 10 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 54.2 | 34.8 | 1.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 9.4 | |||||||||||
| AA | 9.1 | 53.2 | 9.6 | 4.4 | 0.6 | 0.1 | 0.0 | 0.0 | 23.0 | |||||||||||
| A | 1.2 | 28.2 | 31.2 | 6.0 | 0.5 | 0.0 | 0.0 | 0.0 | 32.8 | |||||||||||
| BBB | 0.0 | 1.2 | 11.4 | 26.3 | 10.6 | 2.0 | 0.0 | 1.2 | 47.3 | |||||||||||
| BB | 0.0 | 0.0 | 0.3 | 8.2 | 33.3 | 3.6 | 0.1 | 11.7 | 42.8 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 3.0 | 21.5 | 9.3 | 3.0 | 12.6 | 50.7 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 12.0 | 14.0 | 8.0 | 4.0 | 32.0 | 30.0 | |||||||||||
| Rating 15 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 39.7 | 46.9 | 2.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 11.4 | |||||||||||
| AA | 11.5 | 41.2 | 8.9 | 6.2 | 1.1 | 0.1 | 0.0 | 0.2 | 30.8 | |||||||||||
| A | 2.0 | 28.4 | 23.1 | 4.3 | 0.2 | 0.0 | 0.0 | 0.0 | 41.9 | |||||||||||
| BBB | 0.0 | 0.9 | 10.4 | 17.4 | 9.8 | 0.3 | 0.0 | 0.0 | 61.3 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 11.6 | 21.8 | 4.0 | 0.0 | 16.1 | 46.5 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 1.6 | 20.3 | 1.1 | 2.7 | 16.6 | 57.8 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 20.0 | 30.0 | 10.0 | 0.0 | 23.3 | 16.7 | |||||||||||
| NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 4 shows transitions over time in the LRG segment. LRGs account for about two-thirds of the IPF sector, but represent all IPF defaults but one in the observed period. The LRG segment also contains a more diverse ratings distribution, with most speculative-grade IPF ratings found among LRGs.
Table 4
| LRG one-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 94.7 | 3.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | |||||||||||
| AA | 1.4 | 93.5 | 1.8 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 3.0 | |||||||||||
| A | 0.0 | 4.4 | 88.2 | 2.1 | 0.1 | 0.0 | 0.0 | 0.0 | 5.1 | |||||||||||
| BBB | 0.0 | 0.0 | 3.7 | 83.1 | 3.8 | 0.0 | 0.0 | 0.0 | 9.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 2.6 | 85.8 | 1.9 | 0.4 | 0.9 | 8.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 8.4 | 71.1 | 5.9 | 2.0 | 12.6 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.2 | 61.5 | 10.6 | 7.7 | |||||||||||
| Rating three years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 84.1 | 11.2 | 0.1 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 4.3 | |||||||||||
| AA | 3.9 | 82.2 | 4.7 | 1.0 | 0.1 | 0.0 | 0.0 | 0.0 | 8.1 | |||||||||||
| A | 0.0 | 12.4 | 67.6 | 5.5 | 0.3 | 0.0 | 0.0 | 0.0 | 14.3 | |||||||||||
| BBB | 0.0 | 0.0 | 9.5 | 59.0 | 8.2 | 0.5 | 0.0 | 0.3 | 22.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 6.4 | 67.0 | 3.8 | 0.5 | 3.1 | 19.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 19.9 | 33.4 | 9.0 | 8.8 | 28.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 2.5 | 53.8 | 15.0 | 16.3 | 12.5 | |||||||||||
| Rating five years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 74.4 | 17.3 | 0.8 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 6.9 | |||||||||||
| AA | 6.1 | 72.9 | 6.4 | 1.7 | 0.3 | 0.0 | 0.0 | 0.0 | 12.6 | |||||||||||
| A | 0.0 | 18.9 | 51.1 | 7.9 | 0.2 | 0.1 | 0.0 | 0.0 | 21.8 | |||||||||||
| BBB | 0.0 | 0.0 | 13.5 | 44.2 | 10.6 | 0.7 | 0.1 | 0.7 | 30.1 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 7.8 | 54.0 | 4.2 | 0.3 | 5.3 | 28.3 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.8 | 22.8 | 21.0 | 5.9 | 11.8 | 37.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 15.7 | 31.4 | 12.9 | 21.4 | 18.6 | |||||||||||
| Rating 10 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 53.6 | 33.1 | 1.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 11.3 | |||||||||||
| AA | 10.4 | 52.1 | 8.2 | 5.4 | 0.7 | 0.1 | 0.0 | 0.0 | 23.1 | |||||||||||
| A | 0.8 | 26.6 | 26.4 | 7.5 | 0.7 | 0.0 | 0.0 | 0.0 | 38.0 | |||||||||||
| BBB | 0.0 | 1.3 | 9.8 | 29.3 | 11.6 | 2.2 | 0.0 | 1.3 | 44.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.3 | 8.5 | 32.5 | 3.7 | 0.1 | 12.0 | 42.8 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 3.0 | 21.7 | 9.3 | 3.0 | 12.7 | 50.3 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 12.8 | 14.9 | 8.5 | 4.3 | 31.9 | 27.7 | |||||||||||
| Rating 15 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 37.5 | 46.6 | 2.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.4 | |||||||||||
| AA | 12.8 | 39.4 | 7.9 | 7.5 | 1.3 | 0.2 | 0.0 | 0.3 | 30.7 | |||||||||||
| A | 1.4 | 28.2 | 18.6 | 5.6 | 0.3 | 0.0 | 0.0 | 0.0 | 45.9 | |||||||||||
| BBB | 0.0 | 0.0 | 9.1 | 19.9 | 11.2 | 0.3 | 0.0 | 0.0 | 59.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 11.9 | 21.2 | 4.1 | 0.0 | 16.5 | 46.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 1.6 | 20.5 | 1.1 | 2.7 | 16.8 | 57.3 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 21.4 | 32.1 | 10.7 | 0.0 | 21.4 | 14.3 | |||||||||||
| NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
For the most part, non-LRG ratings behave similarly to LRG ratings, except for the small number of speculative-grade ratings (peaking at 8% of all non-LRG ratings in January 2008 and dropping to 2.8% at the start of 2023).
Table 5
| Non-LRG one-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.1 | 4.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.6 | 93.3 | 3.6 | 0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 2.4 | |||||||||||
| A | 0.0 | 2.2 | 92.8 | 1.5 | 0.0 | 0.0 | 0.0 | 0.0 | 3.5 | |||||||||||
| BBB | 0.0 | 0.0 | 12.3 | 68.5 | 2.7 | 0.0 | 0.0 | 0.0 | 16.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.0 | 87.9 | 0.0 | 0.0 | 0.0 | 9.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 66.7 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 33.3 | 33.3 | |||||||||||
| Rating three years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 86.4 | 13.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 1.7 | 81.6 | 9.8 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 6.6 | |||||||||||
| A | 0.0 | 7.2 | 81.2 | 3.1 | 0.0 | 0.0 | 0.0 | 0.0 | 8.6 | |||||||||||
| BBB | 0.0 | 0.0 | 30.8 | 23.1 | 6.2 | 0.0 | 0.0 | 0.0 | 40.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.4 | 74.6 | 0.0 | 0.0 | 0.0 | 22.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| Rating five years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 77.4 | 22.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 2.5 | 72.4 | 13.7 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 10.6 | |||||||||||
| A | 0.4 | 13.6 | 70.5 | 2.4 | 0.2 | 0.0 | 0.0 | 0.0 | 12.8 | |||||||||||
| BBB | 0.0 | 0.0 | 36.2 | 5.2 | 8.6 | 0.0 | 0.0 | 0.0 | 50.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.9 | 66.7 | 0.0 | 0.0 | 0.0 | 29.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| Rating 10 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 57.1 | 42.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 3.9 | 57.3 | 15.1 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 23.0 | |||||||||||
| A | 2.6 | 33.5 | 47.0 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 15.8 | |||||||||||
| BBB | 0.0 | 0.0 | 25.5 | 0.0 | 2.0 | 0.0 | 0.0 | 0.0 | 72.5 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 59.3 | 0.0 | 0.0 | 0.0 | 40.7 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| Rating 15 years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 51.5 | 48.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 5.0 | 49.8 | 13.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 31.5 | |||||||||||
| A | 4.0 | 29.4 | 39.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 27.7 | |||||||||||
| BBB | 0.0 | 7.1 | 19.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 73.8 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 46.2 | 0.0 | 0.0 | 0.0 | 53.8 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 50.0 | |||||||||||
| NR--Not rated. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
LRG ratings across regions vary greatly in size and rating distribution. Table 6 shows one-year transition rates across the four regions. Canadian, EMEA, and Asia-Pacific LRGs are almost entirely at investment-grade, while those in Latin America are almost entirely at speculative-grade.
Table 6
| LRG one-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Canada LRG rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.9 | 2.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | |||||||||||
| AA | 1.7 | 96.8 | 0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.6 | |||||||||||
| A | 0.0 | 6.3 | 92.1 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | |||||||||||
| BBB | 0.0 | 0.0 | 16.7 | 66.7 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Asia-Pacific LRG rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 93.2 | 4.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | |||||||||||
| AA | 1.1 | 93.4 | 1.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.8 | |||||||||||
| A | 0.0 | 3.0 | 91.1 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 4.8 | |||||||||||
| BBB | 0.0 | 0.0 | 6.0 | 69.2 | 0.0 | 0.0 | 0.0 | 0.0 | 24.8 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 48.4 | 0.0 | 0.0 | 0.0 | 51.6 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 6.7 | 40.0 | 0.0 | 0.0 | 53.3 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Latin American LRG rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 87.1 | 7.9 | 0.0 | 0.0 | 0.0 | 5.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 1.6 | 88.3 | 2.0 | 0.2 | 1.1 | 6.8 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 5.6 | 72.6 | 5.6 | 3.2 | 12.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.8 | 70.8 | 10.8 | 4.6 | |||||||||||
| EMEA LRG rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 94.6 | 4.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | |||||||||||
| AA | 1.3 | 92.1 | 2.3 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 3.7 | |||||||||||
| A | 0.0 | 3.9 | 84.7 | 3.6 | 0.2 | 0.0 | 0.0 | 0.0 | 7.5 | |||||||||||
| BBB | 0.0 | 0.0 | 4.9 | 84.7 | 2.8 | 0.0 | 0.0 | 0.0 | 7.6 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 5.8 | 82.5 | 1.5 | 0.9 | 0.3 | 8.9 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 12.2 | 71.7 | 6.7 | 0.6 | 8.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 30.8 | 46.2 | 10.3 | 12.8 | |||||||||||
| NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 7
| Non-LRG one-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.1 | 4.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.6 | 93.3 | 3.6 | 0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 2.4 | |||||||||||
| A | 0.0 | 2.2 | 92.8 | 1.5 | 0.0 | 0.0 | 0.0 | 0.0 | 3.5 | |||||||||||
| BBB | 0.0 | 0.0 | 12.3 | 68.5 | 2.7 | 0.0 | 0.0 | 0.0 | 16.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.0 | 87.9 | 0.0 | 0.0 | 0.0 | 9.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 66.7 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 33.3 | 33.3 | |||||||||||
| Canada entity rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.0 | 5.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.7 | 96.0 | 2.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.1 | |||||||||||
| A | 0.0 | 2.7 | 93.7 | 1.4 | 0.0 | 0.0 | 0.0 | 0.0 | 2.3 | |||||||||||
| BBB | 0.0 | 0.0 | 7.7 | 76.9 | 7.7 | 0.0 | 0.0 | 0.0 | 7.7 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 66.7 | 0.0 | 0.0 | 0.0 | 33.3 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Asia-Pacific entity rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.9 | 94.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.5 | |||||||||||
| A | 0.0 | 0.0 | 50.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Latin American entity rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 97.8 | 0.0 | 0.0 | 0.0 | 2.2 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 66.7 | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| EMEA entity rating one-year later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 95.0 | 5.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.4 | 91.3 | 5.4 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 2.7 | |||||||||||
| A | 0.0 | 2.0 | 92.6 | 1.5 | 0.0 | 0.0 | 0.0 | 0.0 | 3.8 | |||||||||||
| BBB | 0.0 | 0.0 | 13.3 | 66.7 | 1.7 | 0.0 | 0.0 | 0.0 | 18.3 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 13.3 | 66.7 | 0.0 | 0.0 | 0.0 | 20.0 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 33.3 | 33.3 | |||||||||||
| N/A--Not available. NR--Not rated. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Two Defaults Occurred In 2023
Both defaults were confidentially rated, up from zero in 2022. Historically, as seen in table 8, defaults over all time horizons mostly occur among the lowest speculative-grade rated entities. At the moment of the default, the ratings were speculative-grade, and there have only been three defaults among issuers that have had investment-grade ratings initially since 1999.
Table 8
| LRG cumulative yearly average default rate without rating modifiers (1975 - 2023)* | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (years)-- | ||||||||||||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | |||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB | 0.0 | 0.1 | 0.3 | 0.4 | 0.7 | 1.0 | 1.2 | 1.2 | 1.2 | 1.2 | 1.2 | 1.2 | 1.2 | 1.2 | 1.2 | |||||||||||||||||
| BB | 0.9 | 2.1 | 3.2 | 4.4 | 5.3 | 6.3 | 7.3 | 8.4 | 9.6 | 10.6 | 11.3 | 12.0 | 12.1 | 12.3 | 12.5 | |||||||||||||||||
| B | 2.0 | 5.0 | 8.6 | 11.5 | 12.5 | 13.3 | 13.9 | 15.3 | 16.8 | 18.3 | 20.0 | 21.7 | 23.6 | 25.3 | 25.8 | |||||||||||||||||
| CCC/C | 10.6 | 12.8 | 12.8 | 12.8 | 21.4 | 30.1 | 37.5 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | |||||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.3 | 0.3 | 0.3 | |||||||||||||||||
| Speculative grade | 1.7 | 3.4 | 5.1 | 6.6 | 7.9 | 9.2 | 10.4 | 11.6 | 12.8 | 13.9 | 14.8 | 15.7 | 16.3 | 16.9 | 17.2 | |||||||||||||||||
| All rated | 0.4 | 0.9 | 1.3 | 1.7 | 2.1 | 2.4 | 2.8 | 3.1 | 3.4 | 3.7 | 3.9 | 4.2 | 4.4 | 4.5 | 4.6 | |||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
There has only been one non-LRG default: Mostransavto in 2008.
Table 9
| Non-LRG cumulative yearly average default rate without rating modifiers (1975 - 2023)* | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (years)-- | ||||||||||||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||
| AAA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| AA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| A | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| BBB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| BB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| B | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||
| CCC/C | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | 33.33 | |||||||||||||||||
| Speculative grade | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | 1.39 | |||||||||||||||||
| All rated | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | |||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
There have been several instances of clustered defaults among IPF issuers, usually related to specific periods of financial instability in a specific country: Russia in 1999, Mexico in 2012, and Argentina in 2020.
Table 10
| IPF defaults | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Local and regional government selective defaults | Date of default | Emergence date | Months in default | Rating one year before default | Rating at emergence from default | |||||||
| LRG 1* | Jan 25, 1999 | - | - | BB- | - | |||||||
| LRG 2* | Jan 25, 1999 | Oct 9, 2001 | 32.46 | - | CCC+ | |||||||
| LRG 3* | Feb 22, 1999 | Jan 11, 2000 | 10.61 | BB- | CCC- | |||||||
| LRG 4* | Mar 28, 2001 | Jul 26, 2002 | 15.93 | - | BB | |||||||
| Buenos Aires (Province of) | Dec 3, 2001 | Oct 9, 2006 | 58.19 | BB | B+ | |||||||
| Mendoza (Province of) | Dec 3, 2001 | Sep 7, 2004 | 33.15 | BB- | CCC+ | |||||||
| Buenos Aires (City of) | Apr 11, 2002 | Mar 21, 2003 | 11.30 | B+ | CCC+ | |||||||
| LRG 5* | May 4, 2002 | - | - | B+ | - | |||||||
| LRG 6* | Jan 15, 2003 | - | - | CC | - | |||||||
| Moscow Oblast | Dec 18, 2008 | - | - | BB | - | |||||||
| LRG 7* | Nov 5, 2009 | - | - | CC | - | |||||||
| Lviv (City of) | Jan 28, 2010 | Jan 28, 2010 | 0.00 | B | CCC+ | |||||||
| LRG 8* | Nov 5, 2010 | Dec 6, 2010 | 1.02 | BB | B- | |||||||
| LRG 9* | Feb 3, 2012 | Feb 13, 2012 | 0.33 | BB- | B- | |||||||
| LRG 10* | Feb 28, 2012 | - | - | NR | - | |||||||
| LRG 11* | Jul 9, 2012 | Jun 23, 2014 | 23.46 | BB | B- | |||||||
| LRG 12* | Sep 26, 2012 | Jan 31, 2013 | 4.17 | BB- | B- | |||||||
| LRG 13* | Oct 31, 2012 | - | - | NR | - | |||||||
| LRG 14* | Oct 31, 2012 | - | - | BB | - | |||||||
| LRG 15* | Dec 24, 2012 | - | - | NR | - | |||||||
| LRG 16* | Jan 8, 2013 | Mar 18, 2013 | 2.27 | BB- | B- | |||||||
| LRG 17* | May 10, 2013 | May 15, 2013 | 0.16 | BB- | B- | |||||||
| Crimea (Autonomous Republic of) | April 1, 2014 | - | - | B | - | |||||||
| Kyiv (City of) | Oct 6, 2015 | Dec 22, 2015 | 2.53 | CC | CCC+ | |||||||
| LRG 18* | Jan 21, 2016 | - | - | NR | - | |||||||
| Rio de Janeiro (State of) | Sep 19, 2016 | - | - | BB | - | |||||||
| LRG 19* | Sep 20, 2018 | Nov 5, 2018 | 1.51 | B+ | CCC- | |||||||
| LRG 20* | Dec 19, 2018 | Mar 1, 2019 | 2.37 | - | CCC- | |||||||
| Minas Gerais (State of) | Feb 25, 2019 | Oct 27, 2022 | 44.03 | B- | CCC+ | |||||||
| LRG 21* | Mar 21, 2019 | Sep 4, 2020 | 17.51 | - | B- | |||||||
| Buenos Aires (Province of) | May 15, 2020 | Sep 6, 2021 | 15.74 | B | CCC+ | |||||||
| Mendoza (Province of) | Jun 19, 2020 | Jun 11, 2021 | 11.73 | B | CCC+ | |||||||
| Province of Rio Negro | Jul 8, 2020 | Dec 28, 2020 | 5.68 | B | CCC+ | |||||||
| Salta (Province of) | Aug 7, 2020 | Feb 25, 2021 | 6.64 | B | CCC+ | |||||||
| Entre Rios (Province of) | Sep 8, 2020 | Mar 18, 2021 | 6.28 | B- | CCC+ | |||||||
| La Rioja (Province of) | Sep 24, 2020 | Sep 29, 2021 | 12.16 | B- | CCC+ | |||||||
| Neuquen (Province of) | Nov 26, 2020 | Dec 9, 2020 | 0.43 | B- | CCC+ | |||||||
| Cordoba (Province of) | Jan 11, 2021 | Jan 27, 2021 | 0.53 | B- | CCC+ | |||||||
| Jujuy (Province of) | Mar 22, 2021 | Mar 23, 2021 | 0.03 | CCC+ | CCC+ | |||||||
| LRG 22* | Jan 26, 2023 | Feb 15, 2023 | 0.66 | BB- | CCC- | |||||||
| LRG 23* | Mar 22, 2023 | Oct 30, 2023 | 7.29 | - | CCC+ | |||||||
| Non-LRG defaults | ||||||||||||
| Date of default | Emergence date | Months in default | Rating one year before default | Rating at emergence from default | ||||||||
| Mostransavto | Dec 24, 2008 | Dec 29, 2008 | 0.16 | CCC+ | CC | |||||||
| *Confidential rating. LRG--Local and regional government. Default implies default (D) or selective default (SD). IPF--International public finance. NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||
Gini Ratios And Lorenz Curves
In addition to examining the absolute performance of IPF ratings, we also assess their relative performance. One technique we use to measure relative performance is the Gini coefficient, a key measure of the relative ability of ratings to differentiate risk.
The Gini coefficient is a summary statistic of the Lorenz curve, which is a graphical representation of the proportionality of a distribution. The Lorenz curve is built by plotting the cumulative proportion of issuers by rating category (from lowest to highest) against the cumulative proportion of defaulters by rating category (see charts 6 and 7). For example, if 'CCC' issuers represented 1% of the total issuers (x-axis) and 10% of the defaulters (y-axis), that would be the first point on the curve. A Gini coefficient of 1 indicates perfect rank ordering, and a Gini coefficient of zero means the rank ordering is random.
We believe comparing Lorenz curves and Gini coefficients is useful. Lorenz curves for IPF closely resemble the ideal Lorenz curves (see charts 6, 7, and 13-18). For more detail regarding the derivation and construction of Lorenz curves and Gini coefficients, see "Gini coefficient calculation" in the appendix.
Chart 6 shows the one-year weighted average Lorenz curve for LRGs. The points along the Lorenz curve represent different ratings, starting with the 'CCC' and lower categories on the far left. The first point indicates the obligations rated 'CCC' and lower represent 35.48% of defaults within one year. As the ratings rise, the cumulative percentage of defaults for each rating increases in the 'B' category and then reaches 100% at the 'BB' rating. From that point, there are no defaults at higher ratings. The 2023 one-year Gini coefficient was 89.3%.
Chart 6
Chart 7
Table 11 provides the coordinates in the LRG Lorenz graph. The lowest value in the left column shows the cumulative proportion of defaults at the 'CCC' through 'C' categories, or 35.48%, and the number to the right is the cumulative proportion of the rated universe, 1.4%. This means 35.48% of the defaults came from 1.4% of the ratings, all of which were in the 'CCC' or lower categories. Moving up the table, once ratings reach 'BB', representing 19.01% of all ratings, 100% of defaults have occurred.
Table 11
| LRG one-year Lorenz Curve values | ||||||
|---|---|---|---|---|---|---|
| Cumulative proportion of defaults ( %) | Cumulative proportion of rated universe (%) | |||||
| AAA | 100.00 | 100.00 | ||||
| AA+ | 100.00 | 89.50 | ||||
| AA | 100.00 | 77.75 | ||||
| AA- | 100.00 | 63.88 | ||||
| A+ | 100.00 | 53.52 | ||||
| A | 100.00 | 44.24 | ||||
| A- | 100.00 | 39.64 | ||||
| BBB+ | 100.00 | 36.13 | ||||
| BBB | 100.00 | 33.33 | ||||
| BBB- | 100.00 | 30.14 | ||||
| BB+ | 100.00 | 24.83 | ||||
| BB | 100.00 | 19.01 | ||||
| BB- | 83.87 | 12.74 | ||||
| B+ | 64.52 | 7.41 | ||||
| B | 61.29 | 5.04 | ||||
| B- | 61.29 | 2.98 | ||||
| CCC/C | 35.48 | 1.41 | ||||
| LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||
Table 12
| Non-LRG one-year Lorenz Curve values | ||||||
|---|---|---|---|---|---|---|
| Cumulative proportion of defaults (%) | Cumulative proportion of rated universe (%) | |||||
| AAA | 100.00 | 100.00 | ||||
| AA+ | 92.69 | 100.00 | ||||
| AA | 81.41 | 100.00 | ||||
| AA- | 70.55 | 100.00 | ||||
| A+ | 49.74 | 100.00 | ||||
| A | 28.42 | 100.00 | ||||
| A- | 16.27 | 100.00 | ||||
| BBB+ | 7.47 | 100.00 | ||||
| BBB | 5.56 | 100.00 | ||||
| BBB- | 4.53 | 100.00 | ||||
| BB+ | 3.71 | 100.00 | ||||
| BB | 1.29 | 100.00 | ||||
| BB- | 0.46 | 100.00 | ||||
| B+ | 0.31 | 100.00 | ||||
| B | 0.21 | 100.00 | ||||
| B- | 0.15 | 100.00 | ||||
| CCC/C | 0.15 | 100.00 | ||||
| LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||
LRG And Sovereign Ratings
Some LRG ratings are tied to their respective sovereign ratings. LRG ratings may be capped at the sovereign rating, particularly in the following scenarios: if the LRG is not expected to maintain stronger credit characteristics than the sovereign in a stress scenario, if the issuer does not operate under an institutional framework that is predictable and stable and limits the risk of the sovereign's intervention, and if the issuer does not have the ability to mitigate intervention from the sovereign.
In the 'AAA' to 'B' categories, LRG ratings and sovereign ratings remain at almost the same proportions from one to 15 years. However, 'AAA' LRG ratings are much more fluid than sovereign ratings at the highest level. After one year, 94.71% of 'AAA' LRG ratings maintain that rating, similar to 96.93% of sovereign ratings. By the 15th year, just 37.53% of 'AAA' LRGs maintain that rating, far lower than 66.28% among sovereigns (see chart 8).
For 'B' ratings, 71.11% of LRGs remain in that category after one year, compared with 87.47% of sovereigns. By the 10th year, just 9.33% of LRGs maintain that rating, compared with 41.27% of sovereigns (see chart 9). The steadily decreasing percentage is largely the result of the withdrawal of ratings.
Chart 8
Chart 9
Rating Distributions
The number of LRGs was relatively stable in the last 20 years. There were 272 entities at the end of 2023, compared with 271 in 2022 and 306 in 2014. In the sector, 81.6% of entities are rated investment-grade, compared with 74.5% 10 years earlier. LRGs are one of the few sectors that experienced a number of upgrades at the highest rating category ('AAA'). There were three upgrades to 'AAA' among LRGs in 2023 (see chart 10), two of which were in Switzerland: the Canton of St. Gallen was upgraded on stronger financial management, and the city of Zurich on very strong financials. One additional upgrade to 'AAA' was the Swedish region of Skane thanks to improved budgetary control. At the same time, Australian Capital Territory was downgraded to 'AA+' from 'AAA' on protracted fiscal recovery.
Chart 10
The number of non-LRG issuers grew to 140 in 2023 from 89 in 2013. Ninety eight percent of the issuers are at investment-grade with most at 'AA' (40 entities) and 'A' (83 entities) ratings. This is slightly higher than 96% 10 years ago. Between 2013 and 2023, the number of 'AAA' non-LRG issuers dropped from six to five (see chart 11). There were no fallen angels in 2023. One entity was a rising star (a speculative-grade issuer at the start of the year was upgraded to investment-grade): U.K.-based social housing provider Swan Housing Association Ltd. This was because Swan became part of Sanctuary Housing Group, which has a much stronger credit profile and is highly likely to provide extraordinary support to Swan.
The number of speculative-grade non-LRGs is limited to three entities in the 'BB' rating category. Since the beginning of 2010, there were no non-LRGs rated at 'CCC+' and below.
Chart 11
Appendix I: Methodology And Definitions
This IPF default and rating transition study uses an internal database of long-term local currency issuer credit ratings. It covers LRGs and other IPF entities outside the U.S. and uses public and confidential ratings. For LRGs with national scale ratings only--mainly those in Mexico and Russia (historical data until the withdrawal of our ratings on Russian entities in April 2022)--we use the equivalent local currency rating in S&P Global Ratings' global scale. This study uses LRG issuer ratings and not the ratings on specific issues of debt by these governments. We do not make any adjustment for the size of the government or for the amount of debt issued by each government.
Our ongoing improvements to the database used to generate this study could lead to outcomes that differ to some degree from those reported in previous studies. However, this poses no continuity problem because each study reports statistics back to Dec. 31, 1974. Therefore, each annual default study is self-contained and effectively supersedes all previous versions. There are no changes in methodology in this study from the IPF default and rating transition study of 2022, which was published last year. The inclusion of non-LRG ratings within IPF began in the 2017 study and continues this year.
Issuers included in this study
This study analyzes the rating histories of IPF entities that S&P Global Ratings rated as of Dec. 31, 1974, or that were first rated between that date and Dec. 31, 2023. This includes defaults on an LRG's commercial debt, including bank and bond debt. We have included both public and confidential ratings when tallying the number of defaults. Even if a rating was withdrawn in a particular year and the entity went on to default on commercial debt during that year or in a subsequent year, we included the default in our statistics for that year.
For confidential ratings, we preserve anonymity by referring to the entities, typically LRGs, as "LRG 1," "LRG 2," etc. (see table 10). When ratings are withdrawn at the request of a particular LRG, we indicate this by the abbreviation "NR," signifying that the LRG is not rated.
Issuers with withdrawn ratings
S&P Global Ratings withdraws ratings when an entity's entire debt is paid off or when the program or programs rated are terminated and the relevant debt extinguished. Others are withdrawn because of a lack of cooperation, particularly when an entity fails to provide all the information needed to continue surveillance on the ratings, or at the entity's request.
Definition of default
An obligor rated 'D' (default) or 'SD' (selective default) is in payment default on one or more of its financial obligations (rated or unrated) unless S&P Global Ratings believes that such payments will be made within five business days in the absence of a stated grace period or within the earlier of the stated grace period or 30 calendar days. S&P Global Ratings also lowers a rating to 'D' when an issuer takes an action that could jeopardize payments on a financial obligation, including the rare instance of a public finance entity filing for bankruptcy.
A 'D' rating is assigned when S&P Global Ratings believes that the default will be a general default and that the obligor will fail to pay all or substantially all of its obligations as they come due. S&P Global Ratings assigns an 'SD' rating when it is believed that the obligor has selectively defaulted on a specific issue or class of obligations but will continue to meet its payment obligations on other issues or classes of obligations in a timely manner. A selective default includes the completion of a distressed exchange offer, whereby one or more financial obligations are either repurchased for an amount of cash or replaced by other instruments having a total value that is less than par.
We deem 'D' and 'SD' ratings to be defaults for the purposes of this study. A default is assumed to take place on the earliest of the date the rating was revised to 'D' or 'SD', the date a debt payment was missed, the date a distressed exchange offer was announced, or the date the debtor filed for or was forced into bankruptcy. When an issuer defaults, it is not uncommon for the 'D' rating to be subsequently withdrawn. For the purposes of this study, if an issuer defaults, we end the obligor's rating history at 'D'. If any defaulting entity reemerges from bankruptcy or otherwise restructures its defaulted debt instruments, thereby reestablishing regular, timely payment of all its debts, we reenter this obligor into the database as a new obligor. The rating history on the obligor after the default event is included in all calculations as entirely separate from the experience leading up to its earlier default.
Static pool methodology
We conduct our default studies on the basis of groupings called static pools. For the purposes of this study, we form static pools by grouping obligors by rating category at the beginning of each year, quarter, or month that the database covers. Each static pool is followed from that point forward. All issuer credit ratings included in the study are assigned to one or more static pools. When an issuer defaults, we assign that default to all of the static pools to which the issuer belonged.
We use the static pool methodology to avoid certain pitfalls in estimating default rates, such as by ensuring that default rates account for rating migration and can be calculated across multiple-period time horizons. Some methods for calculating default and rating transition rates might charge defaults against only the initial rating, ignoring more recent rating changes that supply more current information. Other methods may calculate default rates using only the most recent year's default and rating data, which may yield comparatively low default rates during periods of high rating activity because they ignore prior years' default activity.
The pools are static in the sense that they remain constant over time. Each static pool can be interpreted as a buy-and-hold portfolio. Because errors, if any, are corrected by every new update and because the criteria for inclusion or exclusion of bonds in the default study are subject to minor revisions as time goes by, it is not possible to compare static pools across different studies. Therefore, every update revises results to the same starting date of Dec. 31, 1974, so as to avoid continuity problems.
Ratings that have been withdrawn--that is, revised to not rated--are surveilled with the aim of capturing a potential default. Because static pools include only entities with active ratings as of the beginning date of a given pool, we exclude withdrawn ratings, as well as ratings on bonds that have defaulted, from subsequent static pools. If the rating on an entity's bond series is withdrawn after the start date of a particular static pool and there is a subsequent default, we will include that series in that static pool as a default and categorize it in the rating category of which it was a member at that time.
For instance, the 1975 static pool consists of all debt rated as of 12:00:01 a.m. on Jan. 1, 1975. Adding debt first rated in 1975 to the outstanding debt of the 1975 static pool forms the 1976 static pool. All rating changes that took place as of 12:00:01 a.m. on Jan. 1, 1976, are reflected in the newly formed 1976 static pool. We used the same method to form static pools for 1977-2023.
Consider the following example: A parity debt rating of 'BB' is assigned in mid-1986 and is lowered to 'B' in 1988, followed by a default in 1993. This hypothetical rating would be included in the 1987 and 1988 pools as 'BB' and in the 1989-1993 pools as 'B'. All pools that include this obligation would capture its 1993 default. It would not be part of the 1986 pool because it was not rated as of the first day of that year. Yet each of the pools in which this debt was included (1987-1993) would record its 1993 default at the appropriate time horizon.
Default rate calculations
We calculated annual default rates for each static pool, first in units and later as percentages with respect to the number of issuers in each rating category. We combined these percentages to obtain cumulative default rates for the 48 years the study covers (see tables 8-9 and 25-28).
Issuer-weighted default rates. All default rates that appear in this study are based on the number of issuers rather than the dollar amounts affected by defaults or rating changes. Although dollar amounts provide information about the portion of the market that is affected by defaults or rating changes, issuer-weighted averages are more useful measures of the performance of ratings. Many practitioners use statistics from this default study to estimate "probability of default" and "probability of rating transition." It is important to note that our ratings do not imply a specific probability of default.
Average cumulative default rate calculation. The cumulative default rates in this study average the experience of all static pools by first calculating marginal default rates for each possible time horizon and for each static pool, weight-averaging the marginal default rates conditional on survival (survivors being non-defaulters), and then accumulating the average conditional marginal default rates. We calculated conditional default rates by dividing the number of issuers in a static pool that defaulted at a specific time horizon by the number of debt issues that survived (did not default) to that point in time. Weights are based on the number of issues in each static pool. Cumulative default rates are one minus the product of the proportion of survivors (non-defaulters).
For instance, the weighted average first-year default rate for entities rated in the 'BB' category was 0.81%, meaning that an average of 99.19% made payments in accordance with their terms for the first year (see table 3). Similarly, the second- and third-year conditional marginal averages were 1.3% (98.7% of those parity obligations that did not default in the first year did not default in the second year) and 1.1% (98.9% of those entities that did not default by the second year did not default in the third year either), respectively. Multiplying 98.7% by 98.9% results in a 97.6% survival rate at the end of the second year, or a two-year cumulative average default rate of 2.13%. Multiplying 98.9% by 98.7% results in a 97.71% survival rate at the end of the third year, or a three-year cumulative average default rate of 2.9%. (The table is based on numbers calculated to four decimals. Calculations using numbers rounded to two decimals, as presented here, may yield slightly different results.)
Cumulative default rate calculation. We use cumulative default rates to average the experience of all static pools in a select period by calculating marginal default rates for each possible time horizon and for each static pool. The marginal default rates are then turned into survival rates by subtracting the marginal default rates from 1. To get the cumulative default rates for a horizon, the survival rates for all previous horizons are multiplied and then subtracted from 1.
In the context of LRG ratings, we treat governments that selectively default as complete defaults. In this analysis, when the LRG emerges from selective default, we then treat it as a new entity altogether. At some point, the cumulative default rate stops increasing as the time horizon lengthens, because no additional defaults are captured by the longer horizon.
Cumulative default rates differ from transition-to-default rates in that defaults are counted only once, as opposed to averaging default observations, which we do when we calculate transition rates for periods longer than 24 months. In addition, we use all annual static pools in the period, not just the static pools that have enough years to complete the horizon.
Transition analysis
Transition rates compare issuer ratings at the beginning of a period with the ratings at the end of the period. To compute one-year rating transition rates by rating category, we compared the rating on each parity obligation at the end of a particular year with the rating at the beginning of the same year. An obligation that remained rated for more than one year was counted as many times as the number of years it was rated. For instance, an obligation continuously rated from the middle of 1987 to the middle of 1991 would appear in the four consecutive one-year transition matrices from 1988-1991. If the rating on the obligation was withdrawn in the middle of 1991, it would be included in the column representing transitions to not rated in the 1991 transition matrix. Similarly, if it defaulted in the middle of 1991, it would be included in the column representing transitions to 'D' in the 1991 one-year transition matrix.
All 1975 static pool members still rated on Jan. 1, 2024, had 48 one-year transitions, while those first rated on Jan. 1, 2023, had only one. Longer time horizons, of three or more years, have fewer transitions. Various tables in this report display the transitions for international LRG ratings over several time horizons. Each transition matrix displays all rating movements between letter categories from the beginning of the period through the end.
The only ratings considered in these calculations are those on entities at the beginning of each static pool and those at the end. All rating changes that occur in between are ignored. For example, if an entity was rated 'A' on Jan. 1, 2021, and was downgraded to 'BBB' in the middle of the year and then upgraded to 'A' later in the year (with no other subsequent rating changes), this entity would be included only in the percentage of issuers that began the year as 'A' that ended the year as 'A'. This also applies to transition matrices that span longer time horizons. If an obligation defaults or the rating is withdrawn in the middle of the year, then we consider it to be either rated 'D' or not rated as of Dec. 31 of that particular year.
Multiyear transitions. Multiyear transitions were also calculated for periods of two to 20 years. In this case, we compared the rating at the beginning of the multiyear period with the rating at the end. For example, five-year transition matrices were the result of comparing ratings at the beginning of the years 1974-2018 with the ratings at the end of the years 1979-2020. Otherwise, the methodology was identical to that used for single-year transitions. We calculated average transition matrices on the basis of the multiyear matrices just described. These average matrices are a true summary, the ratios of which represent the historical incidence of the ratings listed in the first column changing to the ones listed in the top row over the course of the multiyear period.
Transition matrices that present averages over multiple time horizons are also calculated as issuer-weighted averages.
Comparing transition rates with default rates. Rating transition rates may be compared with the marginal and cumulative default rates described in the previous sections. For example, the one-year default rate column of table 4 is equivalent to the one-year column in table 8.
Initial-to-last transition and default rates. These transition rates compare debt ratings from the time of first rating to the last rating, regardless of the time elapsed in the interim. They provide a road map to all of the historically observed ratings held by non-U.S. LRGs during their lifetimes.
Gini coefficient calculations
The Gini coefficient, developed by Corrado Gini, is a summary statistic of the Lorenz curve and shows the accuracy of ratings' rank ordering. The Lorenz curve was developed by Max O. Lorenz as a graphical representation of the proportionality of a distribution. For this study, the Lorenz curve is built by plotting the cumulative proportion of parity obligations by rating category (from lowest to highest) with the cumulative proportion of defaulters by rating category. For example, if 'C' parity obligations represented 1% of the total parity obligations (x-axis) and 20% of the defaulters (y-axis), then the coordinate (1, 20) would be the first point on the curve.
Chart 12
To determine the relative performance represented by the Lorenz curve, we compare it with the random curve and the ideal curve. If the ratings' rank ordering only randomly approximated default risk, the Lorenz curve would fall along the diagonal, and its Gini coefficient would be zero.
If ratings were perfectly rank ordered so that all defaults occurred only among the lowest-rated obligations and all obligations with the lowest rating defaulted, the curve would be the ideal curve, and the Gini coefficient would be 1.
The Gini coefficient is a ratio of two areas, as illustrated in chart 17, and is derived by dividing area B by the total area A plus area B. In other words, the Gini coefficient captures the extent to which actual ratings accuracy diverges from the random scenario and approaches the ideal.
The Gini coefficient can be calculated for different lengths of time--for example, one year or three years; or for a single period, such as the year ended 2023; or by aggregating a series of one-year periods. To calculate the one-year Gini for 2023, we identified the parity obligation ratings at the beginning of the year and determined which did and did not default during the year. Then we calculated the proportion of parity obligations at each rating and the proportion of defaulters at each rating, based on the ratings at the beginning of the period. The aggregate Gini for 1975-2023 combines data for each of the 48 one-year periods. The same parity obligation may be counted multiple times in the aggregate Gini coefficient.
Time samples
This update limits the reporting of default rates to the 15-year time horizon. However, the data were gathered for 48 years, and all calculations are based on the rating experience of that period. In addition, average default statistics become less reliable at longer time horizons as the sample size becomes smaller and the cyclical nature of default rates has a bigger effect on averages.
Default patterns share broad similarities across all static pools, suggesting that S&P Global Ratings' rating standards have been consistent over time. Adverse conditions tend to coincide with default upswings for all pools. Speculative-grade issuers have been hit the hardest by these upswings, but investment-grade default rates also increase in stressful periods.
Table 13
| LRG three-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 84.1 | 11.2 | 0.1 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 4.3 | |||||||||||
| AA | 3.9 | 82.2 | 4.7 | 1.0 | 0.1 | 0.0 | 0.0 | 0.0 | 8.1 | |||||||||||
| A | 0.0 | 12.4 | 67.6 | 5.5 | 0.3 | 0.0 | 0.0 | 0.0 | 14.3 | |||||||||||
| BBB | 0.0 | 0.0 | 9.5 | 59.0 | 8.2 | 0.5 | 0.0 | 0.3 | 22.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 6.4 | 67.0 | 3.8 | 0.5 | 3.1 | 19.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 19.9 | 33.4 | 9.0 | 8.8 | 28.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 2.5 | 53.8 | 15.0 | 16.3 | 12.5 | |||||||||||
| Canada LRG rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 87.6 | 8.8 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.1 | |||||||||||
| AA | 4.9 | 91.0 | 2.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.7 | |||||||||||
| A | 0.0 | 17.4 | 77.1 | 0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 4.6 | |||||||||||
| BBB | 0.0 | 0.0 | 50.0 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Asia-Pacific LRG rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 81.9 | 13.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.9 | |||||||||||
| AA | 3.1 | 82.2 | 4.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 10.1 | |||||||||||
| A | 0.0 | 9.4 | 76.2 | 2.7 | 0.0 | 0.0 | 0.0 | 0.0 | 11.7 | |||||||||||
| BBB | 0.0 | 0.0 | 16.8 | 31.8 | 0.0 | 0.0 | 0.0 | 0.0 | 51.4 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 22.2 | 0.0 | 0.0 | 0.0 | 77.8 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Latin American LRG rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0 | |||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 67.7 | 16.1 | 1.8 | 0.0 | 0.9 | 13.5 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.9 | 71.5 | 4.4 | 0.5 | 3.7 | 16.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 12.6 | 37.2 | 11.7 | 12.1 | 26.4 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 54.8 | 19.0 | 21.4 | 4.8 | |||||||||||
| EMEA LRG rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 83.1 | 11.6 | 0.0 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 4.761904762 | |||||||||||
| AA | 3.7 | 78.7 | 5.7 | 1.6 | 0.1 | 0.0 | 0.0 | 0.0 | 10.1 | |||||||||||
| A | 0.0 | 10.5 | 58.6 | 9.3 | 0.5 | 0.0 | 0.0 | 0.0 | 21.1 | |||||||||||
| BBB | 0.0 | 0.0 | 12.0 | 61.6 | 6.4 | 0.0 | 0.0 | 0.0 | 20.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 14.0 | 58.3 | 2.5 | 0.6 | 1.6 | 22.9 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 31.3 | 31.3 | 6.3 | 5.1 | 26.1 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 5.3 | 52.6 | 10.5 | 10.5 | 21.1 | |||||||||||
| NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 14
| Non-LRG three-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 86.4 | 13.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 1.7 | 81.6 | 9.8 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 6.6 | |||||||||||
| A | 0.0 | 7.2 | 81.2 | 3.1 | 0.0 | 0.0 | 0.0 | 0.0 | 8.6 | |||||||||||
| BBB | 0.0 | 0.0 | 30.8 | 23.1 | 6.2 | 0.0 | 0.0 | 0.0 | 40.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.4 | 74.6 | 0.0 | 0.0 | 0.0 | 22.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| Canada entity rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 88.9 | 11.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 2.0 | 87.3 | 7.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.6 | |||||||||||
| A | 0.0 | 8.1 | 82.3 | 3.5 | 0.0 | 0.0 | 0.0 | 0.0 | 6.1 | |||||||||||
| BBB | 0.0 | 0.0 | 23.1 | 30.8 | 23.1 | 0.0 | 0.0 | 0.0 | 23.1 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 0.0 | 66.7 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Asia-Pacific entity rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | 3.0 | 85.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 11.1 | |||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Latin American entity rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 94.9 | 0.0 | 0.0 | 0.0 | 5.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| EMEA entity rating three-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 86.0 | 14.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0 | |||||||||||
| AA | 1.2 | 77.0 | 13.8 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 7.4 | |||||||||||
| A | 0.0 | 6.8 | 81.0 | 2.9 | 0.0 | 0.0 | 0.0 | 0.0 | 9.3 | |||||||||||
| BBB | 0.0 | 0.0 | 32.7 | 21.2 | 1.9 | 0.0 | 0.0 | 0.0 | 44.2 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 14.3 | 35.7 | 0.0 | 0.0 | 0.0 | 50.0 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| N/A--Not available. NR--Not rated. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 15
| LRG five-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 74.4 | 17.3 | 0.8 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 6.9 | |||||||||||
| AA | 6.1 | 72.9 | 6.4 | 1.7 | 0.3 | 0.0 | 0.0 | 0.0 | 12.6 | |||||||||||
| A | 0.0 | 18.9 | 51.1 | 7.9 | 0.2 | 0.1 | 0.0 | 0.0 | 21.8 | |||||||||||
| BBB | 0.0 | 0.0 | 13.5 | 44.2 | 10.6 | 0.7 | 0.1 | 0.7 | 30.1 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 7.8 | 54.0 | 4.2 | 0.3 | 5.3 | 28.3 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.8 | 22.8 | 21.0 | 5.9 | 11.8 | 37.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 15.7 | 31.4 | 12.9 | 21.4 | 18.6 | |||||||||||
| Canada LRG rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 80.1 | 13.6 | 1.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.5 | |||||||||||
| AA | 7.4 | 85.5 | 3.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.3 | |||||||||||
| A | 0.0 | 28.0 | 63.0 | 1.4 | 0.0 | 0.0 | 0.0 | 0.0 | 7.6 | |||||||||||
| BBB | 0.0 | 0.0 | 83.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Asia-Pacific LRG rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 71.4 | 20.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.9 | |||||||||||
| AA | 5.3 | 72.5 | 6.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 15.4 | |||||||||||
| A | 0.0 | 15.8 | 63.9 | 2.2 | 0.0 | 0.0 | 0.0 | 0.0 | 18.0 | |||||||||||
| BBB | 0.0 | 0.0 | 26.0 | 13.0 | 0.0 | 0.0 | 0.0 | 0.0 | 61.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 5.3 | 0.0 | 0.0 | 0.0 | 94.7 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| Latin American LRG rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 53.7 | 21.7 | 2.5 | 0.5 | 2.5 | 19.2 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 4.8 | 59.1 | 5.3 | 0.5 | 6.6 | 23.7 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 15.8 | 26.2 | 8.9 | 15.8 | 33.2 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 43.8 | 18.8 | 28.1 | 9.4 | |||||||||||
| EMEA LRG rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 72.6 | 17.9 | 0.6 | 1.2 | 0.0 | 0.0 | 0.0 | 0.0 | 7.8 | |||||||||||
| AA | 5.8 | 68.0 | 7.3 | 2.8 | 0.5 | 0.0 | 0.0 | 0.0 | 15.5 | |||||||||||
| A | 0.0 | 14.3 | 39.5 | 13.8 | 0.4 | 0.2 | 0.0 | 0.0 | 31.9 | |||||||||||
| BBB | 0.0 | 0.0 | 16.8 | 46.0 | 7.2 | 0.0 | 0.0 | 0.0 | 30.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 16.5 | 43.1 | 1.3 | 0.0 | 2.0 | 37.0 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 1.7 | 32.8 | 16.7 | 2.9 | 8.0 | 37.9 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 28.9 | 21.1 | 7.9 | 15.8 | 26.3 | |||||||||||
| NR--Not rated. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 16
| Non-LRG five-year rating transitions without modifiers (1975-2023) | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 77.4 | 22.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 2.5 | 72.4 | 13.7 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 10.6 | |||||||||||
| A | 0.4 | 13.6 | 70.5 | 2.4 | 0.2 | 0.0 | 0.0 | 0.0 | 12.8 | |||||||||||
| BBB | 0.0 | 0.0 | 36.2 | 5.2 | 8.6 | 0.0 | 0.0 | 0.0 | 50.0 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 3.9 | 66.7 | 0.0 | 0.0 | 0.0 | 29.4 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| Canada entity five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 87.5 | 12.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 3.1 | 80.7 | 9.4 | 0.9 | 0.0 | 0.0 | 0.0 | 0.0 | 5.8 | |||||||||||
| A | 0.0 | 13.1 | 75.6 | 2.3 | 0.0 | 0.0 | 0.0 | 0.0 | 9.1 | |||||||||||
| BBB | 0.0 | 0.0 | 23.1 | 7.7 | 38.5 | 0.0 | 0.0 | 0.0 | 30.8 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Asia-Pacific entity rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | 3.4 | 79.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 17.2 | |||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| Latin American entity rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| AA | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BBB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 93.9 | 0.0 | 0.0 | 0.0 | 6.1 | |||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||
| EMEA entity rating five-years later (%) | ||||||||||||||||||||
| Rating | AAA | AA | A | BBB | BB | B | CCC/C | D | NR | |||||||||||
| AAA | 75.9 | 24.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||
| AA | 1.9 | 65.6 | 19.7 | 0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 11.9 | |||||||||||
| A | 0.6 | 14.1 | 68.1 | 2.6 | 0.3 | 0.0 | 0.0 | 0.0 | 14.4 | |||||||||||
| BBB | 0.0 | 0.0 | 40.0 | 4.4 | 0.0 | 0.0 | 0.0 | 0.0 | 55.6 | |||||||||||
| BB | 0.0 | 0.0 | 0.0 | 14.3 | 21.4 | 0.0 | 0.0 | 0.0 | 64.3 | |||||||||||
| B | ||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||
| N/A--Not available. NR--Not rated. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||
Table 17
| LRG average one-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one-year later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 94.7 | 3.2 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | |||||||||||||||||||||
| AA+ | 4.2 | 89.4 | 4.0 | 0.2 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | |||||||||||||||||||||
| AA | 0.0 | 6.0 | 86.8 | 4.3 | 0.2 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.6 | |||||||||||||||||||||
| AA- | 0.0 | 0.1 | 7.5 | 80.9 | 6.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.7 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 0.1 | 8.0 | 81.3 | 4.1 | 0.6 | 0.0 | 0.0 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.3 | |||||||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.3 | 14.2 | 74.0 | 2.4 | 2.7 | 0.3 | 0.3 | 0.0 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.6 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.8 | 14.7 | 75.7 | 3.5 | 0.8 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.2 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.0 | 13.0 | 70.5 | 7.7 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.2 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.9 | 8.9 | 67.7 | 11.5 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 10.6 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.5 | 10.2 | 71.7 | 6.1 | 1.5 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 9.7 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 7.2 | 74.4 | 7.7 | 1.6 | 0.0 | 0.2 | 0.2 | 0.0 | 0.0 | 7.9 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 11.0 | 74.3 | 5.8 | 0.0 | 0.0 | 0.2 | 0.2 | 1.1 | 7.3 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.5 | 8.7 | 72.8 | 4.3 | 0.3 | 0.8 | 1.0 | 1.5 | 10.2 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.3 | 17.1 | 52.0 | 10.3 | 3.4 | 0.0 | 0.6 | 14.3 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | 14.5 | 53.3 | 12.5 | 6.6 | 0.0 | 11.2 | |||||||||||||||||||||
| B- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 10.3 | 19.8 | 37.1 | 13.8 | 6.9 | 12.1 | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.2 | 61.5 | 10.6 | 7.7 | |||||||||||||||||||||
| NR--Not rated (withdrawn). Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 18
| Non-LRG average one-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one-year later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 95.1 | 4.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA+ | 2.3 | 94.1 | 2.7 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.5 | |||||||||||||||||||||
| AA | 0.0 | 3.3 | 87.7 | 3.3 | 1.9 | 0.0 | 0.0 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.3 | |||||||||||||||||||||
| AA- | 0.0 | 0.0 | 3.0 | 87.6 | 5.7 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.0 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 4.1 | 83.8 | 8.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.1 | |||||||||||||||||||||
| A | 0.0 | 0.0 | 0.4 | 0.0 | 8.5 | 77.5 | 10.2 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.0 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 | 7.6 | 78.9 | 5.3 | 0.6 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.3 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 18.9 | 59.5 | 8.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.5 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.0 | 10.0 | 55.0 | 5.0 | 5.0 | 0.0 | 5.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 15.0 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.3 | 0.0 | 0.0 | 68.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 25.0 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.1 | 89.4 | 2.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.4 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 25.0 | 62.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.5 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B- | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 33.3 | 33.3 | |||||||||||||||||||||
| N/A--Not available. NR--Not rated (withdrawn). LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 19
| LRG average five-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating five-years later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 74.4 | 11.6 | 5.7 | 0.0 | 0.5 | 0.0 | 0.3 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.9 | |||||||||||||||||||||
| AA+ | 16.4 | 59.7 | 10.5 | 2.3 | 1.0 | 0.6 | 0.1 | 0.1 | 0.1 | 0.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 8.2 | |||||||||||||||||||||
| AA | 2.3 | 21.2 | 49.6 | 9.0 | 4.6 | 0.8 | 0.1 | 0.4 | 0.6 | 1.3 | 0.0 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 9.8 | |||||||||||||||||||||
| AA- | 0.3 | 4.8 | 26.8 | 33.2 | 10.9 | 1.0 | 0.3 | 0.7 | 0.3 | 0.4 | 0.0 | 0.3 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.6 | |||||||||||||||||||||
| A+ | 0.0 | 0.3 | 4.3 | 22.8 | 34.8 | 6.3 | 1.0 | 1.5 | 1.8 | 2.3 | 0.0 | 0.2 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 24.3 | |||||||||||||||||||||
| A | 0.0 | 0.3 | 1.4 | 10.8 | 28.6 | 24.7 | 4.5 | 1.4 | 0.3 | 3.8 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 23.7 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 3.7 | 11.1 | 24.4 | 31.3 | 12.4 | 1.8 | 2.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.4 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 2.9 | 16.3 | 20.9 | 18.0 | 4.7 | 2.3 | 2.9 | 0.0 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 31.4 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.3 | 4.3 | 13.4 | 30.6 | 12.4 | 5.9 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 28.0 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 2.1 | 6.3 | 13.3 | 27.7 | 11.4 | 3.0 | 1.8 | 0.3 | 0.9 | 0.3 | 0.3 | 1.5 | 30.7 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 3.5 | 14.7 | 29.6 | 12.9 | 6.6 | 1.5 | 0.3 | 0.0 | 0.0 | 4.8 | 25.8 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 0.5 | 1.5 | 19.0 | 32.6 | 8.9 | 3.2 | 0.0 | 0.7 | 0.7 | 4.7 | 27.4 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.5 | 6.4 | 14.5 | 31.1 | 4.4 | 1.2 | 1.7 | 0.3 | 6.7 | 32.3 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 0.0 | 0.7 | 4.6 | 11.3 | 12.6 | 5.3 | 8.6 | 6.6 | 1.3 | 6.6 | 41.7 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.7 | 5.8 | 16.1 | 8.8 | 5.1 | 8.8 | 5.1 | 10.2 | 39.4 | |||||||||||||||||||||
| B- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.0 | 0.0 | 1.9 | 3.9 | 8.7 | 7.8 | 9.7 | 1.9 | 13.6 | 21.4 | 30.1 | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.3 | 4.3 | 7.1 | 5.7 | 14.3 | 11.4 | 12.9 | 21.4 | 18.6 | |||||||||||||||||||||
| NR--Not rated (withdrawn). Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 20
| Non-LRG average five-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating five-years later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 77.4 | 19.4 | 3.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA+ | 9.6 | 76.5 | 6.6 | 4.2 | 0.6 | 0.0 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 | |||||||||||||||||||||
| AA | 0.6 | 13.4 | 54.7 | 9.3 | 5.2 | 2.3 | 1.2 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.8 | |||||||||||||||||||||
| AA- | 0.0 | 1.5 | 10.2 | 50.6 | 18.1 | 3.6 | 0.9 | 0.3 | 0.3 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.9 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 1.9 | 16.6 | 46.0 | 17.0 | 9.4 | 0.0 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 8.7 | |||||||||||||||||||||
| A | 1.3 | 0.0 | 0.6 | 9.7 | 29.9 | 26.6 | 12.3 | 0.6 | 0.6 | 0.6 | 0.0 | 0.0 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.9 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 2.8 | 19.4 | 15.3 | 31.9 | 8.3 | 2.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 19.4 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 3.6 | 32.1 | 21.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 42.9 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.3 | 0.0 | 6.7 | 0.0 | 26.7 | 6.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 46.7 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 13.3 | 6.7 | 0.0 | 0.0 | 0.0 | 13.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 66.7 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 70.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 29.4 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.3 | 53.3 | 13.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.0 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B- | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | |||||||||||||||||||||
| N/A--Not available. NR--Not rated (withdrawn). LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 21
| LRG average 15-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating 15-years later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 37.5 | 27.1 | 17.8 | 1.6 | 2.2 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 13.4 | |||||||||||||||||||||
| AA+ | 25.1 | 14.2 | 17.1 | 6.8 | 1.2 | 2.7 | 0.9 | 1.8 | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 30.1 | |||||||||||||||||||||
| AA | 10.1 | 23.2 | 14.5 | 5.3 | 3.9 | 3.5 | 1.5 | 3.9 | 1.5 | 2.4 | 0.0 | 0.0 | 0.2 | 0.4 | 0.0 | 0.0 | 0.0 | 0.7 | 28.7 | |||||||||||||||||||||
| AA- | 5.3 | 16.5 | 13.9 | 6.1 | 7.6 | 1.3 | 0.5 | 3.5 | 3.8 | 4.3 | 0.0 | 3.3 | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.4 | |||||||||||||||||||||
| A+ | 0.6 | 11.0 | 14.2 | 10.4 | 9.1 | 1.3 | 0.0 | 0.0 | 3.5 | 3.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 46.2 | |||||||||||||||||||||
| A | 3.5 | 2.9 | 5.3 | 15.3 | 6.5 | 7.6 | 8.2 | 2.9 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 47.1 | |||||||||||||||||||||
| A- | 0.7 | 2.1 | 2.9 | 12.1 | 12.9 | 11.4 | 8.6 | 0.0 | 0.7 | 3.6 | 0.7 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 43.6 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 9.6 | 5.5 | 12.3 | 5.5 | 0.0 | 2.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 64.4 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | 2.5 | 6.3 | 8.8 | 1.3 | 1.3 | 8.8 | 2.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 67.5 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.8 | 0.8 | 0.8 | 7.5 | 6.8 | 14.3 | 9.8 | 3.8 | 3.0 | 0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 51.9 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.0 | 12.6 | 10.2 | 7.2 | 3.6 | 1.2 | 0.0 | 0.0 | 0.0 | 23.4 | 29.9 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.6 | 7.4 | 7.8 | 13.5 | 6.1 | 1.3 | 3.9 | 1.3 | 0.0 | 12.6 | 43.5 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | 0.6 | 3.0 | 7.7 | 2.4 | 1.2 | 2.4 | 0.0 | 0.0 | 14.9 | 66.7 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | 7.3 | 11.0 | 3.7 | 1.2 | 1.2 | 0.0 | 2.4 | 17.1 | 54.9 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | 1.4 | 5.8 | 1.4 | 10.1 | 0.0 | 0.0 | 0.0 | 2.9 | 8.7 | 68.1 | |||||||||||||||||||||
| B- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.6 | 2.9 | 0.0 | 0.0 | 0.0 | 0.0 | 2.9 | 32.4 | 41.2 | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.1 | 14.3 | 17.9 | 14.3 | 0.0 | 0.0 | 3.6 | 7.1 | 0.0 | 21.4 | 14.3 | |||||||||||||||||||||
| NR--Not rated (withdrawn). Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 22
| Non-LRG average 15-year transition rates with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating 15-years later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 51.5 | 31.8 | 16.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA+ | 19.0 | 55.2 | 10.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 15.5 | |||||||||||||||||||||
| AA | 1.5 | 29.2 | 20.0 | 9.2 | 6.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.8 | |||||||||||||||||||||
| AA- | 0.0 | 3.4 | 9.3 | 24.6 | 23.7 | 0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 38.1 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 8.5 | 21.1 | 25.4 | 14.1 | 7.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 23.9 | |||||||||||||||||||||
| A | 9.1 | 0.0 | 5.2 | 26.0 | 18.2 | 5.2 | 11.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 24.7 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 24.1 | 27.6 | 0.0 | 3.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 44.8 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 8.7 | 8.7 | 21.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 60.9 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 12.5 | 12.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 75.0 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 80.0 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 83.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | |||||||||||||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| B- | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 50.0 | |||||||||||||||||||||
| N/A--Not available. NR--Not rated (withdrawn). LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 23
| LRG 2023 transition matrix with rating modifiers | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one-year later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 97.1 | 2.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA+ | 5.7 | 90.6 | 3.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA | 0.0 | 0.0 | 92.7 | 2.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.9 | |||||||||||||||||||||
| AA- | 0.0 | 0.0 | 4.8 | 95.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 9.1 | 86.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 4.5 | |||||||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 17.6 | 82.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | 83.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 28.6 | 71.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 11.1 | 66.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 22.2 | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | 83.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 25.0 | 58.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 16.7 | |||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 25.0 | 66.7 | 0.0 | 0.0 | 0.0 | 0.0 | 8.3 | 0.0 | |||||||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 42.9 | 14.3 | 14.3 | 0.0 | 0.0 | 0.0 | 28.6 | |||||||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 50.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| B- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| CCC/C | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | 0.0 | |||||||||||||||||||||
| NR--Not rated (withdrawn). Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 24
| Non-LRG 2023 transition matrix with rating modifiers | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rating one-year later (%) | ||||||||||||||||||||||||||||||||||||||||
| Rating | AAA | AA+ | AA | AA- | A+ | A | A- | BBB+ | BBB | BBB- | BB+ | BB | BB- | B+ | B | B- | CCC/C | D | NR | |||||||||||||||||||||
| AAA | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA+ | 0.0 | 92.3 | 7.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA | 0.0 | 0.0 | 90.0 | 10.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 93.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.3 | |||||||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 2.7 | 78.4 | 16.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.7 | |||||||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 8.7 | 87.0 | 4.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.2 | 71.0 | 12.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 12.9 | |||||||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 66.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BBB- | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| BB | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| B+ | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| B | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| B- | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| CCC/C | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| N/A--Not available. NR--Not rated (withdrawn). LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||||||||
Table 25
| LRG cumulative yearly average default rate with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (years)-- | ||||||||||||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.4 | 0.6 | 0.6 | 0.6 | |||||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB- | 0.0 | 0.3 | 0.5 | 0.8 | 1.4 | 2.1 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4 | |||||||||||||||||
| BB+ | 0.0 | 0.5 | 1.7 | 3.1 | 4.7 | 5.7 | 6.9 | 8.6 | 10.3 | 11.4 | 12.5 | 13.4 | 13.9 | 14.5 | 15.1 | |||||||||||||||||
| BB | 1.1 | 2.4 | 3.1 | 3.8 | 4.3 | 5.3 | 6.2 | 6.5 | 7.1 | 8.0 | 8.7 | 9.4 | 9.4 | 9.4 | 9.4 | |||||||||||||||||
| BB- | 1.5 | 3.6 | 5.0 | 6.4 | 7.2 | 8.1 | 9.1 | 10.4 | 11.8 | 12.5 | 12.9 | 13.4 | 13.4 | 13.4 | 13.4 | |||||||||||||||||
| B+ | 0.6 | 0.6 | 3.7 | 4.9 | 6.3 | 6.3 | 7.0 | 7.8 | 7.8 | 8.6 | 8.6 | 8.6 | 11.6 | 15.9 | 15.9 | |||||||||||||||||
| B | 0.0 | 6.0 | 9.4 | 9.4 | 9.4 | 10.2 | 11.0 | 11.0 | 14.2 | 17.6 | 19.4 | 20.3 | 21.3 | 21.3 | 21.3 | |||||||||||||||||
| B- | 6.9 | 10.3 | 14.7 | 23.7 | 25.6 | 27.4 | 27.4 | 31.5 | 32.6 | 32.6 | 36.6 | 42.5 | 44.1 | 44.1 | 46.5 | |||||||||||||||||
| CCC/C | 10.6 | 12.8 | 12.8 | 12.8 | 21.4 | 30.1 | 37.5 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | |||||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 0.3 | 0.3 | 0.3 | |||||||||||||||||
| Speculative grade | 1.7 | 3.4 | 5.1 | 6.6 | 7.9 | 9.2 | 10.4 | 11.6 | 12.8 | 13.9 | 14.8 | 15.7 | 16.3 | 16.9 | 17.2 | |||||||||||||||||
| All rated | 0.4 | 0.9 | 1.3 | 1.7 | 2.1 | 2.4 | 2.8 | 3.1 | 3.4 | 3.7 | 3.9 | 4.2 | 4.4 | 4.5 | 4.6 | |||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
Table 26
| Non-LRG cumulative yearly average default rate with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (years)-- | ||||||||||||||||||||||||||||||||
| Rating | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||
| B- | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||
| CCC/C | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | |||||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| Speculative grade | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | 1.4 | |||||||||||||||||
| All rated | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | |||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
Table 27
| LRG cumulative average default rate with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (months)-- | ||||||||||||||||||||||||||
| Rating | M1 | M2 | M3 | M4 | M5 | M6 | M7 | M8 | M9 | M10 | M11 | M12 | ||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BB | 0.0 | 0.1 | 0.1 | 0.2 | 0.3 | 0.3 | 0.4 | 0.5 | 0.6 | 0.7 | 0.8 | 0.9 | ||||||||||||||
| BB- | 0.1 | 0.2 | 0.3 | 0.4 | 0.5 | 0.6 | 0.7 | 0.9 | 1.0 | 1.2 | 1.4 | 1.6 | ||||||||||||||
| B+ | 0.0 | 0.0 | 0.1 | 0.1 | 0.2 | 0.3 | 0.5 | 0.8 | 0.9 | 1.0 | 1.0 | 1.1 | ||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.3 | 0.4 | 0.4 | 0.6 | 0.9 | 1.2 | ||||||||||||||
| B- | 0.3 | 0.5 | 0.8 | 1.3 | 1.7 | 2.0 | 2.5 | 3.2 | 4.0 | 4.7 | 5.2 | 5.7 | ||||||||||||||
| CCC/C | 1.6 | 3.0 | 4.3 | 5.4 | 6.7 | 7.7 | 8.3 | 8.8 | 9.2 | 9.6 | 10.0 | 10.4 | ||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Speculative grade | 0.1 | 0.3 | 0.4 | 0.5 | 0.7 | 0.8 | 1.0 | 1.1 | 1.3 | 1.4 | 1.6 | 1.7 | ||||||||||||||
| All rated | 0.0 | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.3 | 0.3 | 0.4 | 0.4 | 0.4 | ||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||
Table 28
| Non-LRG cumulative average default rate with rating modifiers (1975 - 2023) | ||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| --Time horizon (months)-- | ||||||||||||||||||||||||||
| Rating | M1 | M2 | M3 | M4 | M5 | M6 | M7 | M8 | M9 | M10 | M11 | M12 | ||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BBB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| BB- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| B+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| B | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| B- | 0.0 | 0.0 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||
| CCC/C | 3.0 | 6.1 | 9.1 | 12.1 | 15.2 | 18.2 | 21.2 | 24.2 | 27.3 | 30.3 | 33.3 | 36.4 | ||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||
| Speculative grade | 0.1 | 0.2 | 0.4 | 0.5 | 0.6 | 0.7 | 0.8 | 1.0 | 1.1 | 1.2 | 1.3 | 1.5 | ||||||||||||||
| All rated | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | ||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. N/A--Not applicable. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||
Table 29
| LRG local currency 'BB' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static Pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/1996 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||||||||||
| 1/1/1997 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||||||||||
| 1/1/1998 | 8 | 0.0 | 25.0 | 25.0 | 50.0 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | 62.5 | ||||||||||||||||||
| 1/1/1999 | 4 | 0.0 | 0.0 | 50.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | ||||||||||||||||||
| 1/1/2000 | 4 | 0.0 | 50.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | 75.0 | ||||||||||||||||||
| 1/1/2001 | 26 | 7.7 | 15.4 | 15.4 | 15.4 | 15.4 | 15.4 | 15.4 | 15.4 | 15.4 | 19.2 | 19.2 | 30.8 | 30.8 | 30.8 | 30.8 | ||||||||||||||||||
| 1/1/2002 | 32 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.1 | 3.1 | 15.6 | 18.8 | 18.8 | 18.8 | 18.8 | ||||||||||||||||||
| 1/1/2003 | 48 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.1 | 2.1 | 12.5 | 14.6 | 14.6 | 14.6 | 14.6 | 14.6 | ||||||||||||||||||
| 1/1/2004 | 58 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.7 | 1.7 | 13.8 | 15.5 | 15.5 | 15.5 | 15.5 | 15.5 | 15.5 | ||||||||||||||||||
| 1/1/2005 | 68 | 0.0 | 0.0 | 0.0 | 1.5 | 1.5 | 2.9 | 2.9 | 13.2 | 14.7 | 14.7 | 14.7 | 14.7 | 14.7 | 14.7 | 14.7 | ||||||||||||||||||
| 1/1/2006 | 71 | 0.0 | 0.0 | 1.4 | 1.4 | 2.8 | 2.8 | 12.7 | 14.1 | 14.1 | 14.1 | 14.1 | 14.1 | 14.1 | 14.1 | 14.1 | ||||||||||||||||||
| 1/1/2007 | 80 | 0.0 | 1.3 | 1.3 | 2.5 | 2.5 | 11.3 | 12.5 | 12.5 | 13.8 | 13.8 | 13.8 | 13.8 | 13.8 | 13.8 | 13.8 | ||||||||||||||||||
| 1/1/2008 | 88 | 1.1 | 1.1 | 2.3 | 2.3 | 9.1 | 10.2 | 10.2 | 11.4 | 11.4 | 11.4 | 11.4 | 11.4 | 11.4 | 11.4 | 11.4 | ||||||||||||||||||
| 1/1/2009 | 76 | 0.0 | 1.3 | 1.3 | 9.2 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 10.5 | 11.8 | ||||||||||||||||||
| 1/1/2010 | 73 | 1.4 | 1.4 | 9.6 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 11.0 | 12.3 | |||||||||||||||||||
| 1/1/2011 | 65 | 0.0 | 7.7 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 9.2 | 10.8 | ||||||||||||||||||||
| 1/1/2012 | 63 | 6.3 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 11.1 | |||||||||||||||||||||
| 1/1/2013 | 56 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 1.8 | 3.6 | ||||||||||||||||||||||
| 1/1/2014 | 51 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | |||||||||||||||||||||||
| 1/1/2015 | 53 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.9 | ||||||||||||||||||||||||
| 1/1/2016 | 62 | 1.6 | 1.6 | 1.6 | 3.2 | 3.2 | 3.2 | 3.2 | 4.8 | |||||||||||||||||||||||||
| 1/1/2017 | 57 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 | ||||||||||||||||||||||||||
| 1/1/2018 | 50 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | |||||||||||||||||||||||||||
| 1/1/2019 | 49 | 0.0 | 0.0 | 0.0 | 0.0 | 2.0 | ||||||||||||||||||||||||||||
| 1/1/2020 | 41 | 0.0 | 0.0 | 0.0 | 2.4 | |||||||||||||||||||||||||||||
| 1/1/2021 | 37 | 0.0 | 0.0 | 2.7 | ||||||||||||||||||||||||||||||
| 1/1/2022 | 34 | 0.0 | 2.9 | |||||||||||||||||||||||||||||||
| 1/1/2023 | 30 | 3.3 | ||||||||||||||||||||||||||||||||
| Cumulative default rate* | 0.9 | 2.1 | 3.2 | 4.4 | 5.3 | 6.3 | 7.3 | 8.4 | 9.6 | 10.6 | 11.3 | 12.0 | 12.1 | 12.3 | 12.5 | |||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 0.9 | 1.3 | 1.1 | 1.2 | 1.0 | 1.1 | 1.0 | 1.2 | 1.3 | 1.0 | 0.8 | 0.8 | 0.2 | 0.2 | 0.2 | |||||||||||||||||||
| Cumulative average | 0.9 | 2.1 | 3.2 | 4.4 | 5.3 | 6.3 | 7.3 | 8.4 | 9.6 | 10.6 | 11.3 | 12.0 | 12.1 | 12.3 | 12.5 | |||||||||||||||||||
| Standard deviation | 1.9 | 10.8 | 17.5 | 21.9 | 29.2 | 33.8 | 33.9 | 34.0 | 34.0 | 33.8 | 33.4 | 33.3 | 33.8 | 34.2 | 34.6 | |||||||||||||||||||
| Median | 0.0 | 0.0 | 1.3 | 1.8 | 2.7 | 9.2 | 9.9 | 11.0 | 12.6 | 13.8 | 14.6 | 14.7 | 15.1 | 15.5 | 17.1 | |||||||||||||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 | 3.6 | 9.2 | 10.5 | 10.5 | 11.4 | |||||||||||||||||||
| Maximum | 7.7 | 50.0 | 75.0 | 75.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 30
| Non-LRG local currency 'BB' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static Pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/2004 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2005 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2006 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2007 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2008 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2009 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2010 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2011 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||
| 1/1/2012 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| 1/1/2013 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||
| 1/1/2014 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||
| 1/1/2015 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||
| 1/1/2016 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||
| 1/1/2017 | 6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||
| 1/1/2018 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||
| 1/1/2019 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||||
| 1/1/2020 | 4 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||||
| 1/1/2021 | 4 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||||||
| 1/1/2022 | 3 | 0.0 | 0.0 | |||||||||||||||||||||||||||||||
| 1/1/2023 | 4 | 0.0 | ||||||||||||||||||||||||||||||||
| Cumulative default rate* | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Cumulative average | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Standard deviation | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Maximum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. LRG--Local and regional governments. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 31
| LRG local currency 'B' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static Pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/1996 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/1997 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/1998 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/1999 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2000 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2001 | 7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2002 | 8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2003 | 12 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 8.3 | 8.3 | 8.3 | 8.3 | 8.3 | 8.3 | 8.3 | 16.7 | 16.7 | 16.7 | ||||||||||||||||||
| 1/1/2004 | 21 | 0.0 | 0.0 | 0.0 | 0.0 | 4.8 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 9.5 | 14.3 | 14.3 | 14.3 | 14.3 | ||||||||||||||||||
| 1/1/2005 | 25 | 0.0 | 0.0 | 0.0 | 0.0 | 4.0 | 4.0 | 4.0 | 4.0 | 4.0 | 4.0 | 8.0 | 8.0 | 8.0 | 8.0 | 8.0 | ||||||||||||||||||
| 1/1/2006 | 27 | 0.0 | 0.0 | 0.0 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 3.7 | 7.4 | 7.4 | 7.4 | 7.4 | 7.4 | 11.1 | ||||||||||||||||||
| 1/1/2007 | 25 | 0.0 | 0.0 | 4.0 | 4.0 | 4.0 | 4.0 | 4.0 | 8.0 | 8.0 | 8.0 | 8.0 | 8.0 | 8.0 | 20.0 | 20.0 | ||||||||||||||||||
| 1/1/2008 | 27 | 0.0 | 3.7 | 7.4 | 7.4 | 11.1 | 11.1 | 14.8 | 14.8 | 14.8 | 14.8 | 14.8 | 14.8 | 25.9 | 29.6 | 29.6 | ||||||||||||||||||
| 1/1/2009 | 27 | 0.0 | 3.7 | 3.7 | 7.4 | 7.4 | 11.1 | 14.8 | 14.8 | 14.8 | 14.8 | 14.8 | 25.9 | 29.6 | 29.6 | 29.6 | ||||||||||||||||||
| 1/1/2010 | 28 | 0.0 | 0.0 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 14.3 | 17.9 | 17.9 | 17.9 | |||||||||||||||||||
| 1/1/2011 | 28 | 0.0 | 0.0 | 0.0 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 3.6 | 14.3 | 17.9 | 17.9 | 17.9 | ||||||||||||||||||||
| 1/1/2012 | 20 | 0.0 | 0.0 | 5.0 | 10.0 | 10.0 | 10.0 | 10.0 | 10.0 | 30.0 | 35.0 | 35.0 | 35.0 | |||||||||||||||||||||
| 1/1/2013 | 21 | 4.8 | 9.5 | 14.3 | 14.3 | 14.3 | 14.3 | 14.3 | 33.3 | 38.1 | 38.1 | 38.1 | ||||||||||||||||||||||
| 1/1/2014 | 18 | 5.6 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | 11.1 | |||||||||||||||||||||||
| 1/1/2015 | 14 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||
| 1/1/2016 | 13 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||
| 1/1/2017 | 20 | 0.0 | 0.0 | 5.0 | 35.0 | 40.0 | 40.0 | 40.0 | ||||||||||||||||||||||||||
| 1/1/2018 | 23 | 4.3 | 8.7 | 39.1 | 47.8 | 47.8 | 47.8 | |||||||||||||||||||||||||||
| 1/1/2019 | 21 | 0.0 | 33.3 | 42.9 | 42.9 | 42.9 | ||||||||||||||||||||||||||||
| 1/1/2020 | 19 | 31.6 | 36.8 | 36.8 | 36.8 | |||||||||||||||||||||||||||||
| 1/1/2021 | 12 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||||||
| 1/1/2022 | 12 | 0.0 | 0.0 | |||||||||||||||||||||||||||||||
| 1/1/2023 | 9 | 0.0 | ||||||||||||||||||||||||||||||||
| Cumulative Default Rate* | 2.032 | 5.028 | 8.590 | 11.531 | 12.545 | 13.332 | 13.877 | 15.294 | 16.775 | 18.333 | 19.993 | 21.748 | 23.611 | 25.290 | 25.772 | |||||||||||||||||||
| Summary Statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 2.0 | 3.1 | 3.8 | 3.2 | 1.1 | 0.9 | 0.6 | 1.6 | 1.7 | 1.9 | 2.0 | 2.2 | 2.4 | 2.2 | 0.6 | |||||||||||||||||||
| Cumulative average | 2.0 | 5.0 | 8.6 | 11.5 | 12.5 | 13.3 | 13.9 | 15.3 | 16.8 | 18.3 | 20.0 | 21.7 | 23.6 | 25.3 | 25.8 | |||||||||||||||||||
| Standard deviation | 6.2 | 9.5 | 12.7 | 14.8 | 14.2 | 12.3 | 9.2 | 8.1 | 10.5 | 11.2 | 11.5 | 10.5 | 10.1 | 11.0 | 11.2 | |||||||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 3.6 | 3.6 | 3.7 | 3.6 | 3.6 | 3.6 | 7.4 | 8.0 | 8.0 | 7.7 | 7.4 | 4.0 | |||||||||||||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Maximum | 31.6 | 36.8 | 42.9 | 47.8 | 47.8 | 47.8 | 40.0 | 33.3 | 38.1 | 38.1 | 38.1 | 35.0 | 29.6 | 29.6 | 29.6 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 32
| Non-LRG local currency 'B' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static Pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/2004 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2005 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2006 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2007 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2008 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2009 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2010 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2011 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||
| 1/1/2012 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| 1/1/2013 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||
| 1/1/2014 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||
| 1/1/2015 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||
| 1/1/2016 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||
| 1/1/2017 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||
| 1/1/2018 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||
| 1/1/2019 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||||
| 1/1/2020 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||||
| 1/1/2021 | 0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||||||
| 1/1/2022 | 0 | 0.0 | 0.0 | |||||||||||||||||||||||||||||||
| 1/1/2023 | 0 | 0.0 | ||||||||||||||||||||||||||||||||
| Cumulative default rate* | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | |||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Cumulative average | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Standard deviation | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Min | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Max | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 33
| LRG local currency 'CCC/CC' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static Pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/1999 | 6 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | 16.7 | ||||||||||||||||||
| 1/1/2000 | 5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2001 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2002 | 7 | 28.6 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | ||||||||||||||||||
| 1/1/2003 | 2 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | ||||||||||||||||||
| 1/1/2004 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2005 | 2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2006 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2007 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2008 | 0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2009 | 1 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||||||||||
| 1/1/2010 | 7 | 14.3 | 14.3 | 14.3 | 14.3 | 28.6 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | 42.9 | |||||||||||||||||||
| 1/1/2011 | 3 | 0.0 | 0.0 | 0.0 | 0.0 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | ||||||||||||||||||||
| 1/1/2012 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| 1/1/2013 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||
| 1/1/2014 | 7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 57.1 | 71.4 | 71.4 | 71.4 | |||||||||||||||||||||||
| 1/1/2015 | 11 | 9.1 | 9.1 | 9.1 | 9.1 | 9.1 | 45.5 | 54.5 | 54.5 | 54.5 | ||||||||||||||||||||||||
| 1/1/2016 | 8 | 0.0 | 0.0 | 0.0 | 0.0 | 50.0 | 62.5 | 62.5 | 62.5 | |||||||||||||||||||||||||
| 1/1/2017 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||
| 1/1/2018 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||
| 1/1/2019 | 2 | 50.0 | 50.0 | 50.0 | 50.0 | 50.0 | ||||||||||||||||||||||||||||
| 1/1/2020 | 3 | 33.3 | 66.7 | 66.7 | 66.7 | |||||||||||||||||||||||||||||
| 1/1/2021 | 7 | 28.6 | 28.6 | 28.6 | ||||||||||||||||||||||||||||||
| 1/1/2022 | 12 | 0.0 | 0.0 | |||||||||||||||||||||||||||||||
| 1/1/2023 | 12 | 0.0 | ||||||||||||||||||||||||||||||||
| Cumulative default rate* | 10.6 | 12.8 | 12.8 | 12.8 | 21.4 | 30.1 | 37.5 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | |||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 10.6 | 2.5 | 0.0 | 0.0 | 9.8 | 11.1 | 10.6 | 2.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Cumulative average | 10.6 | 12.8 | 12.8 | 12.8 | 21.4 | 30.1 | 37.5 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | 39.1 | |||||||||||||||||||
| Standard deviation | 24.1 | 26.9 | 27.3 | 27.9 | 27.1 | 28.8 | 30.3 | 31.7 | 31.3 | 31.3 | 29.4 | 30.0 | 30.7 | 31.8 | 32.6 | |||||||||||||||||||
| Median | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 8.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Minimum | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| Maximum | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 34
| Non-LRG local currency 'CCC/CC' static pools and default rates | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transition to default rates (%) | --Time horizon (years)-- | |||||||||||||||||||||||||||||||||
| Static pools | Issuers | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | ||||||||||||||||||
| 1/1/1999 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2001 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2002 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2003 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2004 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2005 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2006 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2007 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2008 | 1 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||||||||||
| 1/1/2009 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||
| 1/1/2010 | 1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||
| 1/1/2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||
| 1/1/2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||
| 1/1/2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||
| 1/1/2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||
| 1/1/2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||
| 1/1/2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||||||||||||||||
| 1/1/2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||||||||||||
| 1/1/2018 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
| 1/1/2019 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
| 1/1/2020 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
| 1/1/2021 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||
| 1/1/2022 | 0 | 0 | ||||||||||||||||||||||||||||||||
| 1/1/2023 | 0 | |||||||||||||||||||||||||||||||||
| Cumulative default rate* | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | 33.333 | |||||||||||||||||||
| Summary statistics | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Y11 | Y12 | Y13 | Y14 | Y15 | |||||||||||||||||||
| Marginal average | 33.3 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||
| Cumulative average | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | 33.3 | |||||||||||||||||||
| Standard deviation | 20.0 | 20.4 | 20.9 | 21.3 | 21.8 | 22.4 | 22.9 | 23.6 | 24.3 | 25.0 | 25.8 | 26.7 | 27.7 | 28.9 | 30.2 | |||||||||||||||||||
| Median | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||
| Minimum | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||
| Maximum | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | |||||||||||||||||||
| *Calculated by multiplying non-default marginal rates and then subtracting from 1 to get the cumulative default rate. LRG--Local and regional government. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||||
Table 35
| IPF versus sovereign foreign currency default rates, 1975-2023 | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| One-year | Three-year | Five-year | Ten-year | 15-Year | ||||||||||||||||||||||||||||
| (%) | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | |||||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 | |||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 | 2.8 | 0.0 | 0.0 | 6.4 | |||||||||||||||||
| BBB | 0.0 | 0.0 | 0.1 | 0.2 | 0.0 | 1.2 | 0.5 | 0.0 | 2.9 | 0.8 | 0.0 | 5.7 | 0.0 | 0.0 | 8.2 | |||||||||||||||||
| BB | 0.8 | 0.0 | 0.3 | 7.9 | 0.0 | 1.7 | 16.3 | 0.0 | 3.3 | 29.5 | 0.0 | 9.4 | 39.8 | 0.0 | 14.2 | |||||||||||||||||
| B | 1.7 | 0.0 | 2.1 | 6.7 | 0.0 | 9.0 | 8.7 | 0.0 | 15.0 | 8.9 | 0.0 | 25.9 | 9.2 | 0.0 | 38.2 | |||||||||||||||||
| CCC/CC | 14.4 | 33.3 | 36.7 | 18.0 | 33.3 | 53.7 | 20.0 | 33.3 | 59.2 | 25.5 | 33.3 | 67.3 | 23.3 | 50.0 | 57.5 | |||||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.1 | 0.0 | 0.6 | 0.1 | 0.0 | 1.4 | 0.0 | 0.0 | 2.1 | |||||||||||||||||
| Speculative grade | 2.0 | 1.0 | 2.3 | 7.1 | 1.1 | 5.9 | 12.5 | 1.3 | 8.9 | 20.3 | 1.8 | 14.8 | 25.9 | 3.3 | 23.4 | |||||||||||||||||
| All rated | 0.2 | 0.1 | 0.8 | 0.8 | 0.1 | 2.1 | 1.1 | 0.1 | 3.2 | 1.6 | 0.1 | 5.1 | 1.6 | 0.1 | 5.9 | |||||||||||||||||
| Implied senior debt rating through 1995; sovereign credit ratings thereafter. IPF--International public finance. LRG--Local and regional government. Sov--Sovereign. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
Table 36
| IPF versus sovereign foreign currency ratings default rates with rating modifiers, 1975-2023 | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| One-year | Three-year | Five-year | Ten-year | 15-Year | ||||||||||||||||||||||||||||
| (%) | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | LRG | Non-LRG | Sov | |||||||||||||||||
| AAA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| AA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.0 | |||||||||||||||||
| AA- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||||||
| A+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.0 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 3.2 | |||||||||||||||||
| A | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 | 5.6 | 0.0 | 0.0 | 10.9 | |||||||||||||||||
| A- | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.5 | |||||||||||||||||
| BBB+ | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 | 2.1 | 0.0 | 0.0 | 6.9 | |||||||||||||||||
| BBB | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.4 | 0.0 | 0.0 | 3.1 | 0.0 | 0.0 | 5.1 | 0.0 | 0.0 | 6.4 | |||||||||||||||||
| BBB- | 0.0 | 0.0 | 0.3 | 0.3 | 0.0 | 1.3 | 1.0 | 0.0 | 2.9 | 1.7 | 0.0 | 6.8 | 0.0 | 0.0 | 7.9 | |||||||||||||||||
| BB+ | 0.0 | 0.0 | 0.0 | 1.0 | 0.0 | 1.1 | 7.3 | 0.0 | 2.1 | 22.7 | 0.0 | 6.4 | 34.6 | 0.0 | 12.8 | |||||||||||||||||
| BB | 0.9 | 0.0 | 0.0 | 11.0 | 0.0 | 0.9 | 17.2 | 0.0 | 1.5 | 25.1 | 0.0 | 3.2 | 35.2 | 0.0 | 15.5 | |||||||||||||||||
| BB- | 1.8 | 0.0 | 1.7 | 8.9 | 0.0 | 4.3 | 13.3 | 0.0 | 8.5 | 20.3 | 0.0 | 26.0 | 25.1 | 0.0 | 29.7 | |||||||||||||||||
| B+ | 0.3 | 0.0 | 0.0 | 2.0 | 0.0 | 4.8 | 4.0 | 0.0 | 10.1 | 4.1 | 0.0 | 24.1 | 8.8 | 0.0 | 36.7 | |||||||||||||||||
| B | 0.0 | 0.0 | 2.0 | 6.4 | 0.0 | 8.5 | 6.9 | 0.0 | 14.3 | 6.4 | 23.8 | 5.5 | 31.9 | |||||||||||||||||||
| B- | 3.9 | 6.9 | 16.7 | 19.2 | 23.4 | 25.5 | 26.6 | 33.0 | 35.9 | 33.6 | ||||||||||||||||||||||
| CCC/CC | 14.4 | 33.3 | 36.7 | 18.0 | 33.3 | 53.7 | 20.0 | 33.3 | 59.2 | 25.5 | 33.3 | 67.3 | 23.3 | 50.0 | 57.5 | |||||||||||||||||
| Investment grade | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.1 | 0.0 | 0.6 | 0.1 | 0.0 | 1.4 | 0.0 | 0.0 | 2.1 | |||||||||||||||||
| Speculative grade | 2.0 | 1.0 | 2.3 | 7.1 | 1.1 | 5.9 | 12.5 | 1.3 | 8.9 | 20.3 | 1.8 | 14.8 | 25.9 | 3.3 | 23.4 | |||||||||||||||||
| All rated | 0.2 | 0.1 | 0.8 | 0.8 | 0.1 | 2.1 | 1.1 | 0.1 | 3.2 | 1.6 | 0.1 | 5.1 | 1.6 | 0.1 | 5.9 | |||||||||||||||||
| Implied senior debt rating through 1995; sovereign credit ratings thereafter. IPF--International public finance. LRG--Local and regional government. Sov--Sovereign. Source: S&P Global Ratings Credit Research & Insights. | ||||||||||||||||||||||||||||||||
Chart 13
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Related Research
- 2022 Annual International Public Finance Default And Rating Transition Study
- 2023 Annual Global Sovereign Default And Rating Transition Study
- Local And Regional Governments' Workarounds Are Running Out Of Time
This report does not constitute a rating action.
| Credit Research & Insights: | Ekaterina Tolstova, Frankfurt +49 173 6591385; ekaterina.tolstova@spglobal.com |
| Nick W Kraemer, FRM, New York + 1 (212) 438 1698; nick.kraemer@spglobal.com | |
| Research Contibutor: | Vaishali Singh, Pune; vaishali.singh2@spglobal.com |
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