Default, Transition, and Recovery:
2014 Annual Global Structured
Finance Default Study And Rating
Transitions
Global Fixed Income Research:
Andrew H South, Managing Director, London (44) 20-7176-3712;
andrew.south@standardandpoors.com
Zev R Gurwitz, Associate, New York (1) 212-438-7128; zev.gurwitz@standardandpoors.com
Table Of Contents
Default Rates Continue To Fall
Downgrades Still Exceed Upgrades, But By A Smaller Margin
Ratings Differentiate Cumulative Default Rates
Deterioration In Average Credit Quality Slows Further In 2014
Appendix I: Data Selection And Rating Transition Methodology
Appendix II: Default And Transition Tables
Related Criteria And Research
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2014 Annual Global Structured Finance Default
Study And Rating Transitions
Overall global structured finance credit quality declined again in 2014, with the number of rating downgrades still
exceeding the number of upgrades. However, the rate of credit deterioration continued to slow significantly, and
Standard & Poor's Ratings Services expects structured finance credit performance to improve slowly in line with the
global economic outlook.
The default rate for global structured finance securities that we rate fell for the third successive year to 4.2% in
2014—the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10.0% in 2014, while the
upgrade rate increased to 8.4%. Combining upgrades and downgrades with their severity, on aggregate we lowered
our ratings on global structured finance securities by an average of only 0.1 notches—less severe than the 0.4-notch
decline in average credit quality during 2013.
Most downgrades continued to be in the U.S.
residential mortgage-backed securities (RMBS) sector. By contrast, both
the U.S. and European structured credit sectors—including transactions such as synthetic collateralized debt
obligations (CDOs) and cash leveraged loan collateralized loan obligations (CLOs)—exhibited strong credit
performance.
Structured credit upgrades were due to robust credit trends in the underlying corporate collateral, as well
as structural amortization in cash transactions. (Watch the related CreditMatters TV segment titled, "Global Structured
Finance Default Rate Falls For Third Successive Year In 2014".)
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Overview
Defaults: Annual default rate falls for the third consecutive year
• We lowered 1,380 global structured finance ratings to 'D' in 2014, for an overall default rate of 4.2%—a
six-year low—compared with 6.1% in 2013.
• This also put the 2014 default rate below the one-year average default rate of 5.4%.
Rating transitions: Upgrade rate increased and downgrade rate decreased in 2014
• Of the 32,825 global structured finance ratings outstanding at the start of 2014, we left unchanged or raised
90.0% and lowered 10.0%. This compares with 83.6% and 16.4% respectively in 2013.
• We raised 8.4% of ratings in 2014, up from 6.7% in 2013 and higher than the long-term one-year average
upgrade rate of 4.5%.
• We lowered 10.0% of ratings in 2014, down from 16.4% in 2013 and lower than the long-term one-year
average downgrade rate of 20.7%.
• The average change in credit quality rose to -0.08 notches in 2014—the least negative year-end reading since
2006—from -0.37 notches at the end of 2013.
Sector and region breakdown: Most downgrades in U.S. RMBS; upgrades in global structured credit
• In the U.S., the RMBS asset class saw the highest downgrade rate of 13.2% in 2014, related in particular to the
prime jumbo RMBS subsector.
• In Europe, the CMBS asset class continued to see the highest downgrade rate of 36.1%, caused by ongoing
refinancing difficulties for many of the borrowers backing CMBS transactions.
• Structured credit ratings saw high upgrade rates globally, of 24.3% in the U.S. and 25.6% in Europe.
These
upgrades resulted from transaction amortization, shortening asset maturities, and strong underlying collateral
performance, particularly among leveraged loan CLOs.
Continued stabilization of the U.S housing market helped bring the U.S. RMBS downgrade rate to an eight-year low of
13.2%, although this sector still accounted for most of the global structured finance downgrades. Similarly, the
downgrade rate for U.S.
commercial mortgage-backed securities (CMBS) remained somewhat elevated at 9.1%,
despite this constituting a seven-year low.
Underlying collateral credit performance in U.S. non-mortgage consumer-related securitizations remained strong in
2014. For example, delinquency and loss rates for securitized credit card receivables reached new lows, although we
expect that these measures could deteriorate in line with loan growth and seasoning trends.
As a result, the
asset-backed securities (ABS) sector had the lowest downgrade rate of 2.3% in the U.S.
There were a large number of upgrades among U.S. structured credit transactions backed by corporate credits, such as
leveraged loans. This resulted from strong performance of speculative-grade corporate loan issuers and the
deleveraging of transactions that have concluded their reinvestment periods and have started to pay down their senior
notes.
In 2014, the number of European structured finance upgrades exceeded downgrades for the first time since 2007.
This
partly reflected stabilization in the macroeconomic and wider credit market backdrop and its effects on consumers,
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corporates, and sovereigns. While the average change in credit quality remained slightly negative—with a decline of
0.02 notches—this was the smallest net deterioration in creditworthiness for seven years. The European downgrade
rate fell to 13.6% in 2014, down from 22.0% in 2013. By contrast, the upgrade rate increased to 14.1% from 7.3% over
the same period.
In addition, the default rate decreased for the second consecutive year to a five-year low of 1.8%.
Some European structured finance downgrades were due to changes in our ratings criteria, including the application of
our updated criteria for rating single-jurisdiction securitizations above the sovereign foreign currency rating, as well as
for transactions backed by Spanish and Italian mortgage loan collateral (see "Methodology And Assumptions For
Ratings Above The Sovereign--Single-Jurisdiction Structured Finance," published on May 29, 2015 and "Italy And
Spain RMBS Methodology And Assumptions," published on Sept. 18, 2014).
Asia-Pacific structured finance securities' ratings remained relatively stable in 2014. In Japan, the downgrade rate
declined to a nine-year low of 3.2% in 2014, down from 5.1% in 2013.
The RMBS sector accounted for 90% of our
outstanding Japanese structured finance ratings at the beginning of 2014 and saw no downgrades during the year. The
downgrade rate for securities in Australia and New Zealand rose in 2014, mostly due to the downgrade of a related
loan mortgage insurance provider that provided credit support in a relatively large number of RMBS transactions.
Default Rates Continue To Fall
Higher ratings are generally associated with lower default rates, although default rates can vary over time. Charts 1
and 2 and table 1 show that annual default rates for both investment- and speculative-grade structured finance
securities have generally stabilized since their peak in 2009.
The annual default rate for 'AAA'-rated structured finance securities reached a peak of 0.51% in 2008 but has fallen
back close to zero since 2011.
The historical weighted-average one-year 'AAA' default rate is 0.09%, with a standard
deviation of 0.10 percentage points.
Rolling and average default rates over longer time horizons (e.g., three, five, and 10 years) are provided in tables 13-15
in Appendix II. For example, the rolling three-year 'AAA' default rate was 0.21% at the end of 2014, down from 0.36%
at the end of 2013, and compared with the long-term average three-year default rate of 0.32%. The five-year 'AAA'
default rate also declined further in the period ending in 2014, but the 10-year default rate is still rising.
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 1
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Chart 2
Table 1
Global Structured Finance Annual Default And Near-Default Rates, 1976-2014* (%)
1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000
2001
Default
'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
Investment-grade
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
0.1
Speculative-grade
40.0
0.0
0.0
0.0
0.0
2.6
0.8
8.7
3.0
1.3
2.6
1.3
1.2
2.8
0.2
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.2
0.1
0.3
0.1
0.1
0.4
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
Investment-grade
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
0.1
Speculative-grade
40.0
0.0
0.0
0.0
0.0
2.6
5.4
10.3
6.3
3.0
2.9
2.0
1.6
2.9
0.2
0.0
0.0
0.0
0.0
0.0
0.1
0.4
0.3
0.2
0.3
0.2
0.2
0.4
Overall
Default and
near-default§
'AAA'
Overall
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Table 1
Global Structured Finance Annual Default And Near-Default Rates, 1976-2014* (%) (cont.)
Standard
Weighted-average, deviation,
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
1976-2014 1976-2014
Default
'AAA'
0.0
0.0
0.0
0.0
0.0
0.0
0.5
0.3
0.2
0.2
Investment-grade
0.1
0.1
0.0
0.0
0.0
0.2
1.0
2.6
0.8
0.2
Speculative-grade
5.7
4.2
2.2
1.8
1.2
3.0
16.2
38.6
19.9
22.1
Overall
0.8
0.7
0.4
0.3
0.2
0.6
4.1
16.5
10.5
11.7
'AAA'
0.0
0.0
0.0
0.0
0.0
0.0
1.8
0.8
0.4
Investment-grade
0.1
0.2
0.0
0.0
0.0
0.3
6.2
8.1
1.9
Speculative-grade
8.1
5.5
3.0
2.1
1.5
3.4
36.4
56.1
Overall
1.1
0.9
0.5
0.3
0.2
0.7
12.4
26.6
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.0
0.5
0.5
21.2
11.9
8.5
17.8
10.0
11.2
6.1
4.2
5.4
4.0
0.3
0.0
0.0
0.0
0.3
0.3
1.0
0.2
0.1
0.0
1.7
1.6
28.8
36.1
24.9
12.3
9.1
25.9
13.6
15.6
19.4
13.1
6.3
4.5
8.5
6.2
Default and
near-default§
*Default rates were zero between 1976 and 1987, so these years are not shown. §Near-defaults are ratings lowered into the 'CC' or 'C' categories.
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Ratings that migrated to 'NR' during the year are
treated as migrating to their level prior to 'NR'.
Chart 3
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We calculate Gini coefficients as a means to quantify the rank-ordering power of our ratings relative to securities'
observed default propensity. We plotted the cumulative proportion of structured finance ratings (sorted from low to
high) against the cumulative proportion of defaults in a Lorenz curve—a graphical representation of the proportionality
of a distribution (see chart 3). The "random" curve in chart 3—for which the cumulative proportions of ratings and
defaults are the same, indicating no ability to rank risk—provides a benchmark for measuring the rank-ordering power
of our ratings. The "ideal" curve represents a notional "best possible" result for rank-ordering default risk.
The Gini coefficient represents the ratio of the area between the Lorenz curve and the random curve, to the area
between the ideal curve and the random curve.
In general, the higher the Gini coefficient, the greater the link between
our ratings and the securities' default propensity. We calculate the Gini coefficient using a scale from 0% to 100%. In
2014, the one-year Gini coefficient for defaults of rated global structured finance securities was 81.3%.
This value is
similar to the values of 81.1% in 2013 and 81.5% in 2012.
We also calculate sector-specific historical one-year Gini coefficients as well as coefficients over longer time horizons,
such as three and five years (see charts 4 and 5). The Gini coefficients for most asset classes had generally returned to
the 80%-100% range by the end of 2014, following a drop in 2007. Overall, the three-year Gini coefficient stayed
broadly stable at 83.0% in 2014, with the five-year Gini coefficient rising to 80.0% in 2014 from 72.0% in 2013.
Chart 4
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 5
Gini coefficient statistics are useful, but they have some significant shortcomings. For example, the "ideal" curve would
only be attained if defaults only occurred on securities rated below some critical rating threshold, with no defaults
among securities rated higher than this threshold. However, in a diverse sample of rated securities—such as the
universe of global structured finance securities—sector- and region-specific credit stresses of differing severity and
likelihood may cause higher-rated securities in more stressed areas to default, while at the same time lower-rated
securities in less stressed areas do not default. This effect would negatively affect the reported Gini coefficient, despite
being a feature of the sample composition rather than rating accuracy.
Downgrades Still Exceed Upgrades, But By A Smaller Margin
The overall downgrade rate fell in 2014, while the upgrade rate increased.
The downgrade rate for global structured
finance securities was 10.0% in 2014, down from 16.4% in 2013, while the upgrade rate rose to 8.4% from 6.7% in
2013 (see chart 6).
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Chart 6
Securities with higher ratings tended to be more stable than their lower-rated counterparts (see chart 7 and table 2).
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 7
Table 2
Global Structured Finance Rating Transitions, By Rating Category, 2014
Beginning no. of
ratings
Stable (%)
Upgrade (%)
Downgrade (%)
Near-default (%)
Default (%)
AAA
3,081
98.0
0.0
2.0
0.00
0.00
AA
4,731
78.0
15.6
6.4
0.00
0.02
A
4,926
83.4
11.5
5.1
0.00
0.00
BBB
3,958
78.4
13.0
8.6
0.03
0.00
BB
3,119
75.4
11.5
13.0
0.00
0.19
B
3,305
78.2
7.4
14.3
0.27
1.54
CCC or lower
9,705
81.6
3.4
15.0
0.75
13.62
32,825
81.6
8.4
10.0
0.25
4.20
Overall
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when
determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their
level prior to 'NR'.
The downgrade rate includes near-defaults and defaults.
Chart 8 shows the upgrade and downgrade rates for each rating category in each major global structured finance
sector during 2014. The results show generally higher downgrade rates for RMBS and lower downgrade rates for
structured credit, along with high upgrade rates for structured credit across most rating categories.
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Chart 8
Chart 9 compares rating stability with default and near-default rates for the various rating categories in 2014 and
illustrates that less-stable rating categories also tended to experience higher default rates. In other words, there is a
clear correlation between the rating level, the stability of the rating, and the frequency of defaults and near-defaults.
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Chart 9
Table 3 shows the number of ratings outstanding at the beginning of 2014 for each major sector and region and
provides rating transition rates for the year.
Table 3
Global Structured Finance Rating Transitions, By Region And Sector, 2014
Beginning no. of
ratings
Stable (%)
Upgrade (%)
Downgrade (%)
Near-default (%)
Default (%)
U.S. ABS
3,327
90.1
7.6
2.3
0.15
0.48
U.S. SC
4,773
71.8
24.3
3.9
0.48
2.07
U.S.
CMBS
2,590
82.5
8.5
9.1
0.00
5.64
U.S. RMBS
14,747
84.9
1.9
13.2
0.24
6.85
412
80.3
10.2
9.5
0.00
0.00
Region/sector
U.S. single-name synthetics
Europe ABS
716
79.1
9.4
11.6
0.00
3.35
1,729
65.2
25.6
9.3
0.35
0.64
Europe CMBS
410
57.1
6.8
36.1
1.95
9.51
Europe RMBS
Europe SC
2,193
78.4
7.6
14.0
0.23
0.87
Europe single-name
synthetics
207
72.0
18.8
9.2
0.00
0.00
Australia & New Zealand
660
89.5
2.3
8.2
0.00
0.15
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 3
Global Structured Finance Rating Transitions, By Region And Sector, 2014 (cont.)
Japan
654
Asia (non-Japan)
92.2
4.6
3.2
0.15
2.14
11
100.0
0.0
0.0
0.00
0.00
263
96.2
3.8
0.0
0.00
0.00
77
72.7
0.0
27.3
0.00
1.30
56
98.2
1.8
0.0
0.00
0.00
32,825
81.6
8.4
10.0
0.25
4.20
Canada
Latin America
Emerging Markets
Global
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when
determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their
level prior to 'NR'. The downgrade rate includes near-defaults and defaults.
SC--Structured credit.
Tables 4 and 5 show the historical performance broken down by major sectors and regions. Much of the rise in the
aggregate upgrade rate was due to both the U.S. and European structured credit sectors.
For example, we raised 25.6%
of our European structured credit ratings outstanding at the beginning of 2014 during the year, compared with only
14.3% in 2013 (see table 4). The declining downgrade rate in 2014 was largely driven by U.S. and European RMBS.
For
example, we lowered 13.2% of our U.S. RMBS ratings in 2014, compared with 23.0% in 2013 (see table 5).
Ratings volatility generally declined in 2014 for markets outside the U.S. and Europe, although there was an increase in
the downgrade rate for Australia/New Zealand, largely due to a downgrade of a single loan mortgage insurance
provider (see table 5).
Tables 4 and 5 also show standard deviations for annual upgrade and downgrade rates.
Table 4
Global Structured Finance Annual Upgrade Rates, By Region And Sector, 1976-2014 (%)
WA, Std. dev.,
Region/sector 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1976-2014 1976-2014
U.S. ABS
1.0
2.0
1.1
2.4
U.S.
SC
U.S. CMBS
0.3
0.6
0.7
1.3
3.0
3.8
7.0
10.9
5.6
9.6
13.5
21.4
U.S. RMBS
9.1
9.8
9.0
12.6
10.6
7.7
U.S.
single-name
synthetics
3.3
0.3
1.2
1.6
3.1
Europe ABS
0.0
0.0
1.5
4.8
Europe SC
0.0
2.7
0.9
Europe CMBS
0.0
2.7
1.6
Europe RMBS
5.3
4.0
Europe
single-name
synthetics
1.9
5.1
Australia &
New Zealand
2.8
Japan
Asia
(non-Japan)
Canada
Latin America
1.7
4.5
6.5
7.1
0.8
7.5
4.3
4.5
9.1
8.9
7.6
3.9
3.0
3.2
3.9
0.8
0.1
5.1
18.2
31.4
21.8
24.3
8.4
8.2
17.2
10.2
3.7
0.6
1.8
1.3
6.6
7.7
8.5
7.3
5.7
3.7
1.6
0.4
0.0
0.0
0.8
1.7
0.9
1.9
2.6
3.5
10.7
15.0
10.7
4.9
2.3
10.6
8.9
7.9
9.2
10.2
6.7
4.6
1.7
2.0
1.4
3.2
3.1
1.8
5.0
5.2
4.3
7.9
9.4
3.7
2.6
4.4
4.5
3.2
5.1
5.7
1.1
0.2
10.3
14.2
31.7
14.3
25.6
8.7
19.9
7.2
7.7
6.5
8.6
5.3
1.6
0.1
0.9
3.4
2.2
4.5
6.8
3.7
2.9
5.3
5.8
4.0
6.3
10.2
4.1
2.3
2.7
1.5
4.9
7.1
2.3
7.6
4.4
2.9
0.7
6.2
0.9
3.6
4.0
6.6
3.7
0.8
2.8
4.1
3.3
4.2
18.8
3.8
4.0
4.8
0.9
2.2
2.5
3.9
14.8
2.8
2.9
5.7
7.5
2.5
8.9
2.2
2.3
4.6
3.5
0.0
0.0
2.8
5.0
6.4
8.2
9.3
12.5
10.6
5.2
7.9
17.2
18.6
9.4
4.6
9.6
5.6
11.8
5.6
4.5
0.0
5.9
16.4
4.2
6.4
0.0
0.0
10.2
0.0
5.6
0.0
0.0
4.5
4.5
8.3
3.1
5.2
6.9
6.6
15.7
3.7
11.8
4.5
0.5
0.0
0.6
6.0
24.9
3.8
6.1
5.8
27.4
4.2
13.2
0.0
5.2
18.8
18.6
15.4
23.5
1.8
6.3
30.1
7.4
16.0
0.0
11.6
10.2
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 4
Global Structured Finance Annual Upgrade Rates, By Region And Sector, 1976-2014 (%) (cont.)
Emerging
Markets
0.0
0.0
8.3
0.0
14.3
23.8
5.1
1.9
0.0
0.0
70.0
0.0
0.0
42.9
1.8
12.8
17.7
Global
5.9
6.4
5.2
7.9
7.8
8.2
6.1
3.8
1.3
0.8
2.5
5.3
9.1
6.7
8.4
4.5
3.0
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when determining
rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The
downgrade rate includes near-defaults and defaults.
SC--Structured credit. WA--Weighted-average. Std.
dev.--Standard deviation.
Table 5
Global Structured Finance Annual Downgrade Rates, By Region And Sector, 1976-2014 (%)
WA, Std. dev.,
Region/sector 2000 2001 2002 2003 2004 ### ### 2007 2008 2009 2010 2011 2012 2013 2014 1976-2014 1976-2014
U.S. ABS
3.2
2.8
7.4
19.2
8.5
2.1
3.7
2.8
18.3
9.8
14.3
13.8
15.5
2.7
2.3
7.1
11.1
U.S.
SC
4.9
5.0
11.6
10.8
4.1
3.6
2.7
10.7
42.8
48.8
38.6
32.9
U.S. CMBS
1.5
3.9
6.1
7.7
4.4
2.3
2.2
1.9
13.5
42.7
38.8
41.1
13.5
3.9
3.9
22.8
13.5
26.9
12.9
9.1
16.5
12.4
U.S. RMBS
1.7
1.0
1.0
0.8
0.4
0.6
1.0
15.5
48.2
70.3
37.2
44.1
42.5
23.0
13.2
25.7
16.7
U.S.
single-name
synthetics
5.1
10.1
25.2
13.0
10.1
7.1
6.8
4.7
30.3
25.1
16.4
32.8
6.8
10.2
9.5
13.6
9.6
Europe ABS
0.0
0.8
3.3
2.9
3.4
0.0
3.5
0.4
4.8
15.1
12.8
23.9
31.2
21.9
11.6
10.6
8.5
Europe SC
1.1
9.6
21.7
17.5
4.1
4.2
5.5
4.4
Europe CMBS
0.0
0.0
1.1
4.6
3.4
2.3
0.7
0.5
31.1
42.2
41.7
13.4
23.2
10.6
9.3
20.5
22.7
7.5
39.0
29.0
39.2
52.2
55.1
36.1
22.9
18.3
Europe RMBS
0.0
0.4
0.7
0.3
0.0
0.3
0.2
0.3
6.1
15.2
8.4
27.7
43.6
24.5
14.0
13.9
15.2
Europe
single-name
synthetics
6.4
5.1
20.0
11.3
9.5
5.6
4.0
0.3
20.3
23.4
18.2
43.7
31.7
12.5
9.2
16.4
13.4
Australia &
New Zealand
0.3
1.4
0.5
2.5
2.3
1.4
1.2
2.6
23.6
13.2
4.3
6.4
2.1
4.1
8.2
5.7
5.2
Japan
5.3
0.7
2.8
1.7
2.0
2.2
3.7
6.6
12.7
22.1
17.8
13.8
9.6
5.1
3.2
9.7
11.0
Asia
(non-Japan)
0.0
0.0
31.8
0.0
0.0
0.0
4.2
12.7
25.5
29.1
0.0
7.9
27.8
15.4
0.0
11.8
11.2
Canada
0.0
0.0
0.0
6.4
0.4
0.0
2.2
2.1
5.0
3.8
1.4
0.3
7.7
0.4
0.0
2.2
2.1
Latin America
4.8
27.8
40.7
20.5
0.0
1.0
0.0
1.1
35.7
30.4
17.9
7.5
13.6
5.3
27.3
15.5
13.4
Emerging
Markets
0.0
0.0
8.3
25.0
0.0
0.0
0.0
3.7
61.2
41.9
8.3
7.8
1.2
0.0
0.0
13.9
16.9
Global
2.3
2.6
5.5
6.9
3.0
1.7
2.0
10.7
37.7
53.7
33.0
35.4
32.0
16.4
10.0
20.7
12.8
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Rating modifiers (+ and -) are used when determining
rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their level prior to 'NR'. The
downgrade rate includes near-defaults and defaults.
SC--Structured credit. WA--Weighted-average. Std.
dev.--Standard deviation.
The average magnitude of annual rating transitions hit record highs in 2008 and 2009, but has since declined. Although
there were still some severe ratings movements in 2014, they were relatively few in number, with only 2.1% of
downward transitions being of 10 or more notches. At the same time, approximately 62% of upgraded securities and
58% of downgraded securities experienced no more than a two-notch rating change in 2014 (see chart 10).
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 10
The year of issuance—or vintage—of structured finance securities continues to explain much of the variation in
performance. The fundamental credit characteristics and economic environment of a transaction's vintage can
influence its subsequent credit behavior. Table 6 illustrates the variation in credit performance of global structured
finance securities in 2014, by transaction vintage. Transactions issued in the years prior to 2007 generally experienced
higher downgrade and default rates in 2014 than other vintages, owing to ongoing credit deterioration among
mortgage securities and CDOs backed by these mortgage securities.
Default rates were also uncharacteristically high
for these vintages, particularly securities issued in 2003-2006.
Table 6
Global Structured Finance Rating Transitions, By Vintage, 2014
Vintage/issuance year
Pre-1990
Beginning no. of
ratings
Stable (%)
Upgrade (%)
Downgrade (%)
Near-default (%)
Default (%)
10
100.0
0.0
0.0
0.00
0.00
1990
2
100.0
0.0
0.0
0.00
0.00
1991
1
100.0
0.0
0.0
0.00
0.00
1992
4
100.0
0.0
0.0
0.00
0.00
1993
5
100.0
0.0
0.0
0.00
0.00
1994
17
82.4
0.0
17.6
5.88
0.00
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 6
Global Structured Finance Rating Transitions, By Vintage, 2014 (cont.)
1995
31
96.8
3.2
0.0
0.00
0.00
1996
36
91.7
1997
84
78.6
5.6
2.8
0.00
0.00
7.1
14.3
0.00
2.38
1998
131
76.3
12.2
11.5
0.00
3.05
1999
2000
175
83.4
3.4
13.1
0.57
6.29
180
87.2
7.2
5.6
0.00
2.22
2001
390
83.3
5.4
11.3
0.26
3.85
2002
1,171
81.0
6.0
13.0
0.34
4.70
2003
3,437
77.0
4.5
18.5
0.61
6.20
2004
5,191
81.9
4.2
13.8
0.35
5.72
2005
4,945
83.2
6.5
10.3
0.06
6.47
2006
4,273
71.8
17.4
10.8
0.30
5.36
2007
3,987
72.2
17.4
10.4
0.45
4.39
2008
674
81.2
8.2
10.7
0.00
4.15
2009
1,029
82.9
9.2
7.9
0.29
2.24
2010
1,826
92.6
4.5
2.8
0.00
0.00
2011
979
85.1
11.2
3.7
0.00
0.20
2012
1,762
93.2
5.1
1.7
0.00
0.06
2,485
96.8
2.3
0.9
0.00
0.04
32,825
81.6
8.4
10.0
0.25
4.20
2013
Overall
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when
determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their
level prior to 'NR'. The downgrade rate includes near-defaults and defaults.
Many of the positive rating actions in 2014 were on transactions collateralized by corporate debt—especially CLOs.
Most downgrades occurred in the RMBS sector (see table 7).
Table 7 also shows sector-specific default rates.
Table 7
Global Structured Finance Rating Transitions, By Subsector, 2014
Subsector
ABS 12b-1
Beginning no. of
ratings
Stable
(%)
Upgrade (%)
Downgrade (%)
Near-default (%)
Default (%)
2
100.0
0.0
0.0
0.00
0.00
ABS Aircraft
60
73.3
13.3
13.3
0.00
0.00
ABS Auto Lease
76
88.2
10.5
1.3
0.00
0.00
ABS Auto Loans
781
85.5
13.8
0.6
0.00
0.13
ABS Credit Card
247
93.9
3.6
2.4
0.00
2.43
ABS Commercial Other
58
81.0
19.0
0.0
0.00
0.00
ABS Commercial Paper
1
100.0
0.0
0.0
0.00
0.00
82
82.9
8.5
8.5
0.00
0.00
ABS Consumer Other
ABS Covered Bonds
5
100.0
0.0
0.0
0.00
0.00
ABS Equipment
126
80.2
10.3
9.5
0.00
0.79
ABS New Assets
410
93.7
2.4
3.9
0.00
2.68
5
100.0
0.0
0.0
0.00
0.00
83
78.3
1.2
20.5
0.00
0.00
ABS Franchise Loans
ABS Future Flow
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 7
Global Structured Finance Rating Transitions, By Subsector, 2014 (cont.)
ABS Manufactured Housing
212
ABS Other
94.8
0.9
4.2
0.94
3.30
205
83.4
10.2
6.3
0.00
0.98
ABS Rental Car
1
100.0
0.0
0.0
0.00
0.00
ABS RV Loans
14
85.7
0.0
14.3
0.00
14.29
359
65.2
16.4
18.4
0.00
3.34
37
100.0
0.0
0.0
0.00
0.00
1,023
91.2
7.0
1.8
0.29
0.10
ABS Timeshare
103
100.0
0.0
0.0
0.00
0.00
ABS Tobacco
274
98.2
1.8
0.0
0.00
0.00
ABS Small Business Loan
ABS Stranded Assets
ABS Student Loans
ABS Trade Receivable
10
100.0
0.0
0.0
0.00
0.00
101
100.0
0.0
0.0
0.00
0.00
SC Cash Flow Corporate Bond
CBO
16
75.0
0.0
25.0
0.00
18.75
SC Cash Flow CDO of CDO
40
52.5
42.5
5.0
0.00
5.00
ABS Wholesale
SC Cash Flow CDO of CMBS
509
69.4
9.8
20.8
3.54
15.52
4,500
71.6
25.8
2.6
0.02
0.22
28
85.7
10.7
3.6
0.00
0.00
SC Cash Flow High-Grade SF
CDO
128
67.2
29.7
3.1
1.56
0.00
SC Cash Flow Mezzanine SF
CDO
202
76.2
12.9
10.9
1.49
0.00
SC Cash Flow Trust Preferred
CDO
225
67.1
28.4
4.4
2.22
1.78
SC Equity & Hedge Fund CFO
13
92.3
7.7
0.0
0.00
0.00
SC Cash Flow Corporate Loan
CLO
SC Cash Flow Emerging Market
CDO
SC Hybrid Corporate Loan CLO
8
87.5
12.5
0.0
0.00
0.00
109
67.0
0.0
33.0
0.00
0.00
8
100.0
0.0
0.0
0.00
0.00
272
64.7
22.8
12.5
0.00
2.21
SC Synthetic CDO of CDO
30
73.3
26.7
0.0
0.00
0.00
SC Synthetic CDO of CMBS
44
88.6
0.0
11.4
0.00
6.82
SC Synthetic Corporate
High-Yield CBO
2
50.0
50.0
0.0
0.00
0.00
SC Synthetic Corporate
Investment-Grade CDO
377
51.7
46.2
2.1
0.00
0.80
3
66.7
33.3
0.0
0.00
0.00
12
75.0
25.0
0.0
0.00
0.00
5
60.0
0.0
40.0
0.00
0.00
SC Market Value, Leveraged
Fund
CDO Operating Companies
SC Other CDO
SC Synthetic Corporate Loan
CLO
SC Synthetic Emerging Market
CDO
SC Synthetic High-Grade SF CDO
SC Synthetic Mezzanine SF CDO
17
82.4
11.8
5.9
0.00
5.88
765
73.3
9.8
16.9
1.18
7.71
CMBS Commercial Real Estate
CDO
14
28.6
0.0
71.4
0.00
7.14
CMBS Credit Lease Pool
22
81.8
18.2
0.0
0.00
0.00
CMBS Conduit
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Table 7
Global Structured Finance Rating Transitions, By Subsector, 2014 (cont.)
CMBS Dependent
CMBS Floaters
75
90.7
2.7
6.7
0.00
0.00
195
93.8
2.6
3.6
0.00
3.59
1,609
78.8
9.3
11.9
0.00
7.27
CMBS Large Loan
35
94.3
0.0
5.7
0.00
0.00
CMBS Other
67
80.6
1.5
17.9
0.00
4.48
CMBS Re-REMIC
21
100.0
0.0
0.0
0.00
0.00
CMBS Single Borrower
411
88.8
5.1
6.1
0.00
2.43
CMBS Small Loan Pool
38
60.5
2.6
36.8
0.00
0.00
RMBS 1st Lien High LTV
91
83.5
0.0
16.5
0.00
5.49
143
95.1
0.0
4.9
0.70
0.70
CMBS Fusion
RMBS 2nd Lien High Combined
LTV
RMBS Alt-A
1,736
79.0
1.7
19.3
0.12
11.92
RMBS Apartment Loan
65
100.0
0.0
0.0
0.00
0.00
RMBS Buy-To-Let
55
100.0
0.0
0.0
0.00
0.00
192
87.5
2.1
10.4
0.00
4.69
37
91.9
8.1
0.0
0.00
0.00
372
87.1
2.2
10.8
0.00
0.00
RMBS Credit Default Swap
8
100.0
0.0
0.0
0.00
0.00
RMBS Document Deficient
96
76.0
9.4
14.6
0.00
5.21
RMBS Home Equity Line of
Credit
110
85.5
13.6
0.9
0.00
0.00
RMBS Negative Amortization
130
87.7
0.0
12.3
0.00
10.77
RMBS Closed End 2nd
RMBS Condo Investment Loan
RMBS Covered Bonds
RMBS NIMS
RMBS Nonconforming
RMBS Nonperforming
10
20.0
60.0
20.0
0.00
20.00
590
82.4
14.6
3.1
0.00
0.51
9
88.9
0.0
11.1
0.00
11.11
RMBS Other
435
88.7
3.2
8.0
0.23
5.75
RMBS Outside Guidelines
262
90.5
3.1
6.5
0.00
4.20
RMBS Prime Jumbo
5,110
77.6
2.8
19.6
0.63
6.95
RMBS Reperforming
555
87.0
1.6
11.4
0.18
4.68
RMBS REREMIC
1,801
91.5
4.0
4.5
0.17
1.72
RMBS Subprime
6,290
88.8
1.1
10.1
0.00
5.31
653
78.3
12.4
9.3
0.00
0.00
32,825
81.6
8.4
10.0
0.25
4.20
Single Name Synthetics
Overall
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Rating modifiers (+ and -) are used when
determining rating transitions such as upgrades and downgrades. Ratings that migrated to 'NR' during the year are treated as migrating to their
level prior to 'NR'. The downgrade rate includes near-defaults and defaults.
SC--Structured credit.
Ratings Differentiate Cumulative Default Rates
Cumulative and vintage-based default rates—as well as the time to default—are alternative ways to approach the
assessment of default performance. Higher-rated securities usually take longer to default, while lower-rated securities
typically default sooner. However, this behavior may not always be evident in observed default data if the sample size
is small, especially among securities that were highly rated before defaulting.
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 8 provides the distribution of times to default, which indicates the number of years between the original rating
date and the default date for each defaulted security, segmented by the original rating.
Table 8
Global Structured Finance Distribution Of Time-To-Default From Original Rating Date, 1988-2014 (%)
Proportion of defaults occurring, by number of years since original rating
Original
rating
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
AAA
0.0
2.1
7.9
15.0
17.0
17.6
16.5
12.3
4.9
3.8
0.8
0.4
0.5
0.3
0.1
0.1
0.0
0.3
0.2
0.0
0.0
0.0
AA+
0.0
0.1
7.3
25.7
22.2
15.3
13.5
10.3
4.0
1.2
0.2
0.1
0.0
0.1
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
AA
0.0
1.4
9.6
24.4
19.3
14.5
12.0
8.6
4.9
2.4
1.2
0.8
0.4
0.1
0.1
0.1
0.0
0.0
0.0
0.1
0.0
0.0
AA-
0.1
2.1
11.8
32.6
19.3
13.8
10.5
5.0
2.6
1.2
0.5
0.1
0.1
0.2
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0
A+
0.0
1.6
14.5
33.6
19.5
11.0
8.9
4.8
3.3
1.8
0.9
0.1
0.0
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
A
0.1
2.2
12.1
23.4
15.6
14.2
10.4
7.6
5.9
3.7
2.4
1.4
0.5
0.1
0.1
0.2
0.0
0.0
0.0
0.0
0.0
0.0
A-
0.1
2.2
15.5
27.1
13.1
14.2
12.3
7.3
4.0
2.2
1.1
0.5
0.3
0.1
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
BBB+
0.0
3.6
19.8
27.8
14.7
11.6
7.1
4.8
4.8
3.4
1.3
0.7
0.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
BBB
0.1
2.2
14.8
18.2
14.6
14.5
11.4
8.3
6.2
4.6
2.8
1.5
0.5
0.1
0.0
0.1
0.1
0.0
0.0
0.0
0.0
0.0
BBB-
0.0
2.9
20.7
21.2
15.3
15.1
11.0
6.1
3.6
1.8
1.4
0.7
0.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
BB+
0.0
5.9
24.4
19.9
16.8
14.8
7.7
4.3
2.6
1.8
1.4
0.4
0.1
0.1
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
BB
0.1
1.8
13.7
16.9
16.0
13.5
12.0
8.6
5.2
5.3
3.4
2.5
0.7
0.2
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
BB-
0.0
1.2
8.9
16.4
16.4
17.2
12.0
7.7
4.1
5.4
4.8
2.9
2.1
0.2
0.8
0.0
0.0
0.0
0.0
0.0
0.0
0.0
B+
0.0
0.5
4.3
16.5
19.9
17.6
10.1
9.0
4.8
8.8
5.1
2.1
0.8
0.5
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
B
0.2
1.9
14.5
19.0
19.6
13.4
8.9
7.2
4.8
4.0
3.9
2.1
0.4
0.1
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
B-
0.0
0.2
7.2
17.9
18.2
14.9
12.7
8.0
8.5
6.5
3.7
1.0
0.7
0.0
0.2
0.2
0.0
0.0
0.0
0.0
0.0
0.0
CCC+
0.0
0.0
9.1
63.6
18.2
0.0
9.1
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
CCC
9.5
4.8
7.1
23.8
4.8
9.5
7.1
7.1
16.7
4.8
4.8
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
CCC-
13.4
11.9
32.8
29.9
9.0
1.5
1.5
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
CC
57.1
21.4
21.4
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
0.0
0.0
0.0
0.0
0.1
2.2
13.8
22.3
16.8
14.3
11.1
7.6
4.7
3.3
1.9
1.1
0.4
0.1
0.1
0.1
0.0
0.0
0.0
0.0
0.0
0.0
Overall
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 9 further breaks down the cumulative lifetime default rates by vintage for investment- and speculative-grade
original ratings. Overall lifetime default rates for investment- and speculative-grade securities were 27% and 55%,
respectively, through the end of 2014. As shown in chart 11, speculative-grade default rates were notably higher for the
2004-2007 vintages.
Table 9
Global Structured Finance Cumulative Default Rates, By Vintage, 1976-2014
Cumulative
default rate
(%)
Cumulative
IG default
rate (%)
1976 and
earlier
0.0
0.0
1977
0.0
0.0
1978
0.0
0.0
Vintage
year
Cumulative
SG default
rate (%)
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Number
of new
ratings
2
Number
Number
of new IG of new SG
ratings
ratings
Total
number
of
defaults
Total
number
of IG
defaults
Total
number
of SG
defaults
2
0
0
0
0
2
2
0
0
0
0
14
14
0
0
0
0
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Table 9
Global Structured Finance Cumulative Default Rates, By Vintage, 1976-2014 (cont.)
1979
0.0
0.0
31
31
0
0
0
0
1980
0.0
0.0
24
24
0
0
0
0
1981
0.0
0.0
26
26
0
0
0
0
1982
0.0
0.0
48
48
0
0
0
0
1983
2.8
2.9
106
105
1
3
3
0
1984
0.6
0.6
167
167
0
1
1
0
1985
0.0
0.0
303
303
0
0
0
0
1986
0.2
0.2
478
476
2
1
1
0
1987
0.2
0.2
662
662
0
1
1
0
1988
0.7
0.7
0.0
699
698
1
5
5
0
1989
1.4
1.2
33.3
584
581
3
8
7
1
1990
2.9
2.9
0.0
716
715
1
21
21
0
1991
2.7
2.5
50.0
950
946
4
26
24
2
1992
0.8
0.7
10.5
1,191
1,172
19
10
8
2
1993
1.2
0.7
7.7
1,204
1,126
78
14
8
6
1994
2.7
1.2
18.1
1,229
1,124
105
33
14
19
1995
3.1
1.4
20.9
1,436
1,307
129
45
18
27
1996
4.3
2.9
16.8
1,552
1,403
149
66
41
25
1997
7.1
5.7
22.1
1,854
1,700
154
131
97
34
1998
8.6
6.7
22.3
2,242
1,977
265
192
133
59
1999
8.1
5.7
31.7
2,524
2,294
230
204
131
73
2000
8.0
4.4
36.9
2,815
2,506
309
225
111
114
2001
8.7
5.3
28.2
4,542
3,872
670
394
205
189
2002
10.8
7.5
28.6
6,933
5,854
1,079
747
438
309
2003
14.5
8.1
49.1
9,533
8,045
1,488
1,382
652
730
2004
25.1
18.0
69.7
13,683
11,800
1,883
3,431
2,119
1,312
2005
48.3
42.4
81.6
17,417
14,793
2,624
8,417
6,277
2,140
2006
62.5
60.5
75.9
20,084
17,536
2,548
12,545
10,611
1,934
2007
57.9
56.2
70.0
15,760
13,778
1,982
9,128
7,741
1,387
2008
13.1
10.3
36.3
3,685
3,280
405
484
337
147
2009
7.0
3.6
22.2
2,298
1,880
418
160
67
93
2010
0.9
0.4
7.7
2,525
2,356
169
22
9
13
2011
0.2
0.0
2.7
1,252
1,142
110
3
0
3
2012
0.1
0.0
1.0
1,851
1,656
195
2
0
2
2013
0.0
0.0
0.3
2,504
2,113
391
1
0
1
2014
0.0
0.0
0.0
2,306
1,887
419
0
0
0
30.1
26.6
54.5
125,232
109,401
15,831
37,702
29,080
8,622
Overall
0.0
0.0
IG--Investment-grade. SG--Speculative-grade. 'AAA' ratings from the same transaction are treated as a single rating in the calculation of this
table.
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Chart 11
Cumulative default rates (CDRs)—aggregated across many years—provide another way to summarize the default
behavior of static pools of ratings. Table 10 shows the cumulative default rates for global structured finance using this
methodology over horizons of up to 10 years. We calculate the CDRs by dividing the number of ratings in a static pool
that defaulted at the end of a specific time horizon by the number of ratings that survived (i.e., did not default) up to
that point, i.e., calculating the default rate "conditional on survival". We assign all ratings in the study to one or more
static pools according to their age and we use the number of ratings to weight each static pool.
After creating the
pools, we average and weight the first-year default rates for all the pools, then we do the same for the second-year
default rates, and so on. The CDRs equal one minus the product of the proportion of survivors.
The results of this analysis suggest that lower ratings are generally associated with higher default rates—and vice
versa—across different time horizons.
Table 10
Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2014 (%)
Time horizon (years)
1
2
3
4
AAA
0.09
0.43
1.01
1.82
2.68
3.40
3.87
4.15
4.33
4.41
AA
0.28
2.36
5.72
8.84
11.57
13.77
15.26
16.13
16.65
16.96
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5
6
7
8
9
10
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 10
Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2014
(%) (cont.)
A
0.53
3.74
8.07
11.78
15.06
17.86
19.93
21.37
22.32
22.95
BBB
1.24
6.66
13.10
18.89
24.00
28.16
31.24
33.54
35.19
36.34
BB
2.73
11.10
18.90
26.50
32.74
37.85
41.75
44.73
47.23
49.21
6.52
18.56
28.82
39.33
47.86
53.43
57.87
61.22
63.89
65.62
31.66
49.94
62.95
70.43
74.42
76.45
78.36
80.05
81.01
81.32
B
CCC/C
Investment-grade
0.47
2.86
6.08
9.03
11.66
13.82
15.33
16.35
17.01
17.41
Speculative-grade
17.77
31.60
42.07
49.88
55.37
59.19
62.20
64.52
66.39
67.75
5.35
10.83
15.84
19.84
22.95
25.29
26.95
28.12
28.94
29.47
Overall
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Deterioration In Average Credit Quality Slows Further In 2014
Positive performance in sectors such as structured credit helped slow the rate of decline in average credit quality for
global structured finance in 2014. The credit quality of global structured finance securities was generally stable until
2007, but fell significantly between 2007 and 2010. While ratings have still been declining on average since then, the
rate of downward transitions has slowed significantly, with investment-grade ratings beginning to show modest
increases in credit quality on a 12-month rolling basis from late 2014 (see charts 12 and 13).
Taking into account both the magnitude and frequency of rating changes, the average credit rating for all structured
finance securities declined by 3.5 notches during 2009 and 1.4 notches in 2010. The rate of decline had moderated to
only 0.9 notches in 2012, 0.4 notches in 2013, and 0.1 notches in 2014.
In 2014, there was continued divergence in performance between different asset classes within structured finance, with
global RMBS and CMBS turning in average declines in credit quality of 0.3 and 0.1 notches, respectively.
By contrast,
the average increase in credit quality in the ABS sector was 0.1 notches, and in structured credit it was 0.5 notches for
the 12 months ended Dec. 31, 2014. Chart 12 shows the average change in credit quality for each sector in each
12-month period.
This calculation considers our entire portfolio of structured finance ratings (both public and
confidential) and gives equal weight to each rating outstanding at the beginning of each 12-month period.
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 12
Chart 13 shows the average change in credit quality for structured finance securities in each rating grade. Ratings on
investment-grade securities saw essentially no change in average credit quality in 2014 (actually a small rise),
compared with a 0.2-notch decrease for speculative-grade securities.
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Chart 13
Table 11 provides descriptive statistics for the changes in average credit quality shown in charts 12 and 13.
Table 11
Descriptive Statistics For 12-Month Changes In Global Structured Finance Credit Quality, Jan. 1995-Dec. 2014
(No. Of Notches)
By rating grade
By rating category
Overall Investment-grade Speculative-grade
2014
(0.08)
0.02
2013
(0.37)
2012
Average
AAA
AA
A
(0.19) (0.09)
0.02
0.07
BBB
By sector
BB
B ABS
Sructured
credit CMBS
RMBS
0.06 (0.07) (0.11)
0.1
0.5
(0.1)
(0.3)
(0.38)
(0.36) (0.77) (0.44) (0.24) (0.15) (0.29) (0.31)
0.0
0.4
(0.4)
(0.7)
(0.91)
(1.08)
(0.76) (1.20) (1.47) (0.80) (0.75) (0.95) (0.86) (0.2)
0.2
(0.8)
(1.4)
(0.56)
(0.59)
(0.60) (0.44) (0.65) (0.61) (0.67) (0.73) (0.65) (0.1)
(0.5)
(0.3)
(0.7)
Minimum
(3.78)
(4.25)
(3.00) (2.80) (5.11) (4.82) (4.90) (4.67) (3.83) (0.7)
(3.9)
(2.9)
(4.9)
Maximum
0.19
0.20
0.17 (0.00)
0.25
0.37
0.34
0.28
0.19
0.3
0.5
0.5
0.4
Standard
deviation
1.03
1.13
0.83
1.36
1.29
1.29
1.20
1.01
0.2
1.0
0.8
1.3
0.71
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Ratings that migrated to 'NR' during the year are
treated as migrating to their level prior to 'NR'.
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Appendix I: Data Selection And Rating Transition Methodology
This section discusses the data and methodology, and explains the terminology we use in this report.
This long-term global structured finance default and rating transition study uses our database of long-term issue credit
ratings. The analysis excludes public information ("pi") ratings. We also do not include issuer credit ratings or
short-term issue ratings, such as those on asset-backed commercial paper conduits.
Our ongoing enhancement of the database used to generate this study could lead to outcomes that differ to some
degree from those reported in previous studies. However, each study includes statistics for previous years, ensuring
that the study is self-consistent and effectively supersedes all previous versions.
Issues included in this study
The study analyzes the rating histories of 125,121 global structured finance instruments that Standard & Poor's rated
that were first rated from 1974 until Dec.
31, 2014. The term "structured finance" in this report refers to ABS, CMBS,
RMBS, structured credit, and single-name synthetic transactions. For some analyses, we break down these asset
classes further into sub-asset classes.
ABS includes underlying collateral types such as credit card receivables, student loans, and auto loans and leases.
The
sector also includes manufactured housing, franchise loans, 12b-1 transactions, and corporate securitizations. We
include transactions backed by loans to small and mid-sized enterprises (SMEs) in the ABS asset class, even though
these transactions are sometimes referred to as SME CLOs.
RMBS includes transactions backed by subprime mortgage loans, as well as home equity loan transactions. Structured
credit includes both cash and synthetic CDOs, as well as market-value CDOs and other leveraged funds.
CMBS
includes Re-REMICS and commercial real estate (CRE) CDOs primarily collateralized by commercial real estate loans
or CMBS.
Single-name synthetic transactions are also referred to as repackaged transactions (or "repacks"), especially in Europe.
The definition of a repack in this instance is an issue backed by a single credit, where the rating on the note is directly
linked to that on the underlying credit.
In this study, we include a subset of the covered bonds that we rate, namely those that we deem to be so-called
"structured" (rather than "legislation-enabled") programs. These are generally backed by mortgage loan collateral and
included in the RMBS sector in this report.
Structured finance region
This study presents rating transitions for global structured finance transactions. In some analyses we segment default
and transition statistics by region.
In defining a transaction's region, we use the location where we perform surveillance
as the primary way to determine its region. We may also consider the transaction's issuer country (unless this is a
tax-haven country such as the Cayman Islands) and/or its domicile of assets. In some cases, the domicile of assets
may fail to provide additional insights into the region, especially when a transaction's domicile of assets includes more
than one country.
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Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
The "Asia (non-Japan)" region includes transactions in Hong Kong, Singapore, Korea, and Taiwan, as well as in other
countries in the region. The "emerging markets" region includes emerging market countries that are not included in
other regions, such as Turkey and South Africa.
Data
This report analyzes the full-year 2014 global structured finance rating transitions, as well as average one-year and
multiyear transitions and lifetime transitions. Transitions for 2014 are based on a static pool comprising all ratings
outstanding on Jan. 1, 2014.
We compile average one-year and multiyear transitions by averaging the results of similar
analyses for distinct static pools of all ratings outstanding on Jan. 1 of preceding years, back to 1976. We base the
lifetime transitions on the set of all global structured finance ratings we originally assigned, and their transitions up
until the end of 2014.
Rating transition
Our rating transition statistics use a "static pool" approach.
To calculate the transition statistics over a given time
period (or "transition window"), we consider the static pool of ratings outstanding at the beginning that time period.
The transition statistics for that static pool of ratings are then based on the movements in ratings between the start and
end of the transition window. For instance, we calculate the 2014 transition rates by determining the ratings on each
security outstanding at the start of 2014 and determining the ratings on those same securities at the end of 2014. We
then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportion of securities in
the static pool whose ratings moved up, down, or remained that same respectively over the transition window.
During
this process, we count each security only once, even the security experienced more than one rating change during the
transition window being observed. In other words, we use a security's rating at the start and end of the transition
window to calculate the transition rates, disregarding any interim rating changes.
Weighted-average transition
For weighted-average transition rates, we calculate the individual transition rates of different static pools. We then
create a single averaged matrix, weighted by the number of ratings in each static pool.
We use this technique, for
example, to determine the average one-year transition rates by analyzing different static pools over different one-year
periods.
Transition window
A transition window refers to a period over which we observe a security's rating behavior. For example, in this study,
the 2014 transition window begins at the start of 2014 and ends at the end of 2014, for the 2014 transition statistics.
For historical averages, transition windows used to compile the average transition rates correspond to calendar years.
For lifetime transitions, we give each rating under consideration its own transition window, from original rating date to
the end of 2014.
Rating modifiers
We use rating modifiers ('+' and '-') to calculate the upgrade, downgrade, and stability rates quoted in the text
throughout this study and in some of the tables (as noted in the footnotes for each table). However, most of the
transition matrices in this report use the less granular full rating categories for practical reasons.
In other words, we
count transitions such as 'AA' to 'AA+' as an upgrade and 'BBB+' to 'BBB-' as a downgrade, in the text. In the
corresponding transition matrix, these transitions appear as stable ratings such as 'AA' to 'AA', or 'BBB' to 'BBB'.
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Rating discontinuance or withdrawal
We may discontinue ratings when, for example, a rated obligation's payments have been made in full in accordance
with its terms or when a rated issue matures. Ratings may also be withdrawn, for example, because of a lack of
sufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to 'NR' (not
rated). When we withdraw or discontinue ratings within the transition window under consideration we may either
derive our reported statistics by classifying the rating transition as a move to 'NR', or—for some other analyses—we
may classify the transition as a move to the last "non-NR" rating before withdrawal.
In the text of this report, when we
refer to upgrade and downgrade rates, for example, we use the latter approach. In the tables and charts, we clarify the
approach used in the footnotes. We do not include a security with a withdrawn rating at the beginning of a transition
window in the transition and default rate calculations for that period.
Treatment of 'AAA' ratings
In this study, we consider the ratings history of all securities whose original rating was below the 'AAA' level.
However,
we generally consider only unique ratings in a given structured finance transaction at the 'AAA' level. Therefore, we
treat ratings from the same transaction that we originally rated 'AAA' as a single rating, and we include only the rating
with the longest expected maturity in the calculation of rating transitions. Exceptions to this approach are highlighted
in the footnotes to relevant tables and charts (e.g., table 19).
Near-defaults
In this study, we classify rating transitions as "near-defaults" when we lowered the rating to 'CC' or 'C' during the
transition window under consideration.
If a security's rating is already 'CC' or 'C' at the beginning of a transition
window, we don't include it in the near-default category because that event did not take place during the transition
window analyzed. We consider securities rated 'CC' or 'C' to be highly vulnerable to nonpayment risk.
Credit quality
Certain analyses in this study refer to average changes in credit quality of a set of structured finance securities over a
given transition window. We define the average change in credit quality as the average number of rating notches by
which ratings changed during the stated transition window, where we take the average across all ratings in the set
under consideration (e.g., a particular asset class).
In this averaging, we count downgrades as a negative number of
notches, whereas we count upgrades as a positive number. We consider stable ratings to have undergone a transition
of zero notches. We believe this measure acts as a useful summary of the performance of, for example, a given asset
class, since it combines the relative number of ratings undergoing transition with the severity of that transition.
Appendix II: Default And Transition Tables
Tables 12-26 provide various default and transition rates for global structured securities.
Table 12
Global Structured Finance One-Year Default Rates, 1976-2014 (%)
One-year period ending
at year-end
AAA
AA
A
BBB
BB
B
CCC/C
Investment-grade
Speculative-grade
Overall
1976
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1977
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
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Table 12
Global Structured Finance One-Year Default Rates, 1976-2014 (%) (cont.)
1978
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
40.00
0.22
1989
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
0.00
0.00
0.00
0.00
0.00
5.88
0.00
0.00
2.56
0.02
1994
0.00
0.00
0.00
0.00
0.00
1.82
0.00
0.00
0.78
0.02
1995
0.00
0.00
0.00
0.31
0.93
0.93
52.63
0.01
8.73
0.32
1996
0.00
0.00
0.09
0.00
1.15
0.00
31.03
0.01
3.03
0.15
1997
0.00
0.00
0.00
0.00
0.00
0.00
24.14
0.00
1.33
0.08
1998
0.00
0.00
0.77
0.13
0.85
2.19
25.81
0.14
2.58
0.30
1999
0.00
0.00
0.06
0.00
0.00
1.38
21.88
0.01
1.33
0.12
2000
0.00
0.00
0.00
0.07
0.47
1.85
5.26
0.01
1.18
0.11
2001
0.05
0.00
0.09
0.42
0.65
2.79
26.87
0.10
2.76
0.37
2002
0.00
0.04
0.14
0.52
1.87
8.27
26.36
0.12
5.67
0.78
2003
0.00
0.00
0.07
0.53
0.92
2.29
32.83
0.12
4.17
0.68
2004
0.00
0.00
0.00
0.14
0.68
2.19
13.88
0.03
2.22
0.36
2005
0.00
0.00
0.00
0.06
0.19
1.34
16.04
0.02
1.78
0.28
2006
0.00
0.00
0.00
0.08
0.26
0.48
18.46
0.02
1.25
0.21
2007
0.04
0.06
0.11
0.61
2.38
1.42
24.24
0.21
3.02
0.62
2008
0.51
0.61
1.05
2.02
4.75
11.85
57.20
1.01
16.25
4.12
2009
0.28
1.42
3.06
6.17
10.07
20.79
56.25
2.59
38.59
16.51
2010
0.25
0.59
0.72
1.81
2.94
6.81
27.26
0.79
19.87
10.49
2011
0.16
0.14
0.05
0.52
1.25
7.40
30.62
0.20
22.12
11.74
2012
0.00
0.14
0.06
0.25
0.82
1.87
31.01
0.11
21.24
11.15
2013
0.03
0.06
0.10
0.19
0.65
1.45
18.32
0.09
11.93
6.06
2014
0.00
0.02
0.00
0.00
0.19
1.54
13.62
0.01
8.55
4.20
Average
0.03
0.08
0.16
0.35
2.08
2.17
14.20
0.14
5.67
1.77
Median
0.00
0.00
0.00
0.00
0.00
0.48
5.26
0.00
1.33
0.11
Std. dev.
0.10
0.26
0.53
1.05
8.08
4.10
17.09
0.45
10.04
3.96
Minimum
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
0.51
1.42
3.06
6.17
50.00
20.79
57.20
2.59
40.00
16.51
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 12
Global Structured Finance One-Year Default Rates, 1976-2014 (%) (cont.)
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 13
Global Structured Finance Three-Year Default Rates, 1976-2014 (%)
Three-year period
ending at year-end
AAA
AA
A
BBB
BB
B
CCC/C
Investment-grade
Speculative-grade
Overall
1978
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
0.00
2.99
0.00
0.00
0.00
0.00
0.00
0.56
0.00
0.56
1989
0.00
1.57
0.00
0.00
0.00
0.00
0.00
0.34
0.00
0.34
1990
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
40.00
0.22
1991
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
0.00
0.11
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.03
1994
0.00
0.00
0.00
1.72
0.00
20.00
0.00
0.02
7.69
0.05
1995
0.00
0.00
1.77
4.17
7.69
11.76
44.44
0.34
17.95
0.47
1996
0.00
0.06
1.50
1.62
17.74
5.45
33.33
0.29
13.95
0.57
1997
0.00
0.00
0.10
0.92
3.74
7.48
68.42
0.06
15.08
0.59
1998
0.00
0.00
0.09
0.23
4.02
5.63
55.17
0.03
8.82
0.43
1999
0.00
0.00
0.30
0.19
1.50
6.90
44.83
0.06
6.26
0.44
2000
0.00
0.00
0.83
0.80
1.13
6.93
41.94
0.21
5.46
0.56
2001
0.06
0.14
0.45
1.04
2.95
6.63
34.38
0.24
5.54
0.67
2002
0.09
0.32
0.72
3.67
7.73
10.16
21.05
0.69
9.14
1.43
2003
0.08
0.33
0.65
2.60
7.75
25.83
35.82
0.57
16.41
2.21
2004
0.00
0.28
0.90
2.94
5.97
20.60
35.45
0.72
13.19
2.19
2005
0.00
0.24
0.64
1.86
3.99
7.16
41.13
0.56
8.32
1.63
2006
0.00
0.00
0.06
0.74
2.29
6.08
33.12
0.19
6.00
1.07
2007
0.01
0.03
0.07
0.99
1.84
3.99
38.68
0.27
5.35
1.04
2008
0.09
0.13
0.95
4.86
7.64
7.49
36.15
1.49
9.02
2.64
2009
2.02
11.33
19.17
27.67
31.39
40.67
44.76
14.95
34.95
17.88
2010
5.32
20.74
25.57
31.43
43.74
62.60
79.27
20.31
56.25
27.63
2011
2.92
9.44
13.86
22.13
36.77
58.30
83.10
11.64
67.58
33.26
2012
0.76
1.95
2.68
8.04
14.13
29.58
69.42
3.12
53.74
28.86
2013
0.36
0.72
0.93
2.79
6.73
19.72
63.07
1.12
46.97
25.25
2014
0.21
0.41
0.52
1.21
4.20
9.28
51.04
0.56
36.49
19.34
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 13
Global Structured Finance Three-Year Default Rates, 1976-2014 (%) (cont.)
Average
0.32
1.37
1.94
3.29
Median
0.00
0.00
0.07
0.74
Std. dev.
1.03
4.06
5.51
7.45
Minimum
0.00
0.00
0.00
0.00
Maximum
5.32
20.74
25.57
7.11
31.43
10.06
25.80
1.58
13.09
4.58
1.84
5.63
33.12
12.69
15.57
27.03
0.19
6.00
0.47
4.39
18.53
9.55
0.00
0.00
0.00
0.00
0.00
0.00
50.00
62.60
83.10
20.31
67.58
33.26
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 14
Global Structured Finance Five-Year Default Rates, 1976-2014 (%)
Five-year period ending
at year-end
AAA
AA
A
BBB
BB
B
CCC/C
Investment-grade
Speculative-grade
Overall
1980
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
0.00
4.17
0.00
0.00
0.00
0.00
0.00
1.21
0.00
1.20
1989
0.00
4.40
0.00
0.00
0.00
0.00
0.00
0.97
0.00
0.97
1990
0.00
2.99
0.00
0.00
0.00
0.00
0.00
0.56
0.00
0.56
1991
0.00
1.57
0.00
0.00
0.00
0.00
0.00
0.34
0.00
0.34
1992
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
40.00
0.22
1993
0.00
0.16
0.00
0.00
0.00
0.00
0.00
0.04
0.00
0.04
1994
0.00
0.12
0.90
0.00
0.00
0.00
0.00
0.07
0.00
0.07
1995
0.00
0.75
2.26
3.85
0.00
0.00
0.00
0.45
0.00
0.45
1996
0.00
0.89
2.25
15.52
40.00
20.00
0.00
0.74
23.08
0.81
1997
0.00
0.45
2.40
6.25
15.38
11.76
44.44
0.61
20.51
0.75
1998
0.00
0.45
1.71
2.16
17.74
9.09
33.33
0.45
15.50
0.76
1999
0.00
0.00
0.10
1.83
8.41
15.89
71.05
0.10
21.03
0.84
2000
0.00
0.00
0.09
0.47
5.75
12.50
55.17
0.04
12.67
0.62
2001
0.00
0.00
0.30
0.58
3.38
11.64
55.17
0.09
9.87
0.68
2002
0.00
0.21
1.34
3.85
7.91
12.77
54.84
0.58
12.14
1.35
2003
0.09
0.37
1.01
9.13
10.81
14.64
43.75
1.24
13.51
2.23
2004
0.12
0.51
1.15
9.49
11.99
15.24
23.68
1.53
13.67
2.60
2005
0.11
0.60
1.65
5.63
9.95
28.97
43.28
1.23
19.24
3.09
2006
0.00
0.72
1.59
5.04
8.38
25.07
47.27
1.28
16.90
3.13
2007
0.00
0.51
1.08
4.04
5.78
10.70
53.21
1.14
11.60
2.59
2008
0.01
0.07
0.40
4.23
3.87
9.97
42.59
1.11
9.04
2.31
2009
0.22
0.64
2.15
7.95
10.02
22.14
45.28
2.65
17.05
4.83
2010
1.39
5.90
12.19
22.37
33.82
50.83
51.54
10.22
40.63
14.85
2011
6.96
25.25
31.88
41.68
50.77
69.72
70.86
26.31
57.73
30.92
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Table 14
Global Structured Finance Five-Year Default Rates, 1976-2014 (%) (cont.)
2012
12.21
33.19
39.64
48.92
62.90
82.14
94.66
32.85
74.88
41.41
2013
6.82
17.57
22.89
33.83
50.06
74.14
92.73
19.65
79.29
42.71
2014
1.44
4.21
5.52
13.55
22.97
43.90
77.37
5.77
62.90
34.82
Average
0.84
3.02
3.79
6.87
12.28
15.46
28.58
3.18
16.32
5.58
Median
0.00
0.45
0.40
1.83
5.75
9.97
23.68
0.56
11.60
0.76
Std. dev.
2.56
7.34
9.11
12.07
17.85
22.49
31.22
7.60
22.15
12.02
Minimum
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
12.21
33.19
39.64
48.92
62.90
82.14
94.66
32.85
79.29
42.71
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 15
Global Structured Finance 10-Year Default Rates, 1976-2014 (%)
10-year period ending
at year-end
AAA
AA
A
BBB
BB
B
CCC/C
Investment-grade
Speculative-grade
Overall
1985
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
0.00
4.17
0.00
0.00
0.00
0.00
0.00
1.21
0.00
1.20
1994
0.00
4.40
0.00
0.00
0.00
0.00
0.00
0.97
0.00
0.97
1995
0.00
2.99
0.00
0.00
0.00
0.00
0.00
0.56
0.00
0.56
1996
0.00
1.96
0.00
0.00
0.00
0.00
0.00
0.43
0.00
0.42
1997
0.00
0.23
0.00
0.00
50.00
0.00
0.00
0.06
40.00
0.27
1998
0.00
0.80
0.00
0.00
0.00
0.00
0.00
0.20
0.00
0.20
1999
0.00
0.60
5.41
0.00
33.33
0.00
0.00
0.37
12.50
0.40
2000
0.09
1.50
2.54
11.54
50.00
0.00
0.00
0.79
14.29
0.81
2001
0.12
1.54
2.63
18.97
40.00
20.00
0.00
1.09
23.08
1.15
2002
0.04
0.71
2.77
8.33
15.38
23.53
44.44
0.80
25.64
0.98
2003
0.00
0.51
2.46
2.70
19.35
12.73
41.67
0.60
18.60
0.97
2004
0.00
0.00
0.39
7.03
10.28
21.50
73.68
0.39
24.60
1.24
2005
0.00
0.00
1.12
5.59
11.49
20.00
62.07
0.47
19.28
1.33
2006
0.00
0.06
2.66
1.94
16.17
17.67
58.62
0.57
19.17
1.70
2007
0.00
0.31
1.60
11.29
14.97
18.61
58.06
1.26
18.51
2.41
2008
0.13
0.56
1.86
13.09
13.75
19.34
43.75
1.85
17.05
3.08
2009
0.23
1.20
3.26
13.73
15.30
20.79
28.95
2.62
17.92
3.97
2010
0.62
2.09
3.99
9.44
16.15
38.39
47.76
2.70
26.66
5.17
2011
0.63
2.43
4.14
10.08
19.16
40.81
54.55
3.22
29.39
6.31
2012
0.84
2.60
4.29
11.63
18.15
32.57
70.19
4.06
27.65
7.33
2013
0.98
2.47
4.53
13.47
25.23
44.62
62.78
5.01
35.38
9.59
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 15
Global Structured Finance 10-Year Default Rates, 1976-2014 (%) (cont.)
2014
1.71
5.91
12.26
25.21
41.10
62.58
65.57
10.79
50.73
16.82
Average
0.18
1.23
1.86
5.47
13.66
13.10
23.74
1.33
14.02
2.23
Median
0.00
0.58
0.76
0.97
12.62
0.00
0.00
0.57
15.67
0.97
Std. dev.
0.39
1.56
2.62
6.92
15.71
17.02
28.81
2.20
14.46
3.67
Minimum
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
1.71
5.91
12.26
25.21
50.00
62.58
73.68
10.79
50.73
16.82
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 16
Global Structured Finance Rating Transitions, 2014 (%)
From/to
Beginning
no. of
ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR Upgrade/stable/NR Downgrade
Global structured finance
AAA
3081 75.92
0.97
0.10
0.13
0.13
0.03
0.06
0.00 0.00
0.00 22.65
98.57
1.43
AA
4731
6.89 73.37
3.47
0.36
0.30
0.06
0.19
0.00 0.00
0.02 15.35
95.60
4.40
A
4926
0.73
6.35 77.63
2.23
0.85
0.35
0.41
0.00 0.00
0.00 11.45
96.16
3.84
BBB
3958
0.25
1.31
5.31 75.77
4.07
1.24
0.96
0.03 0.00
0.00 11.07
93.71
6.29
BB
3119
0.19
0.32
1.28
5.07 73.10
7.69
2.31
0.00 0.00
0.19
9.84
89.80
10.20
B
3305
0.06
0.06
0.51
1.00
3.24 77.49
8.99
0.27 0.00
1.54
6.84
89.20
10.80
CCC
6131
0.02
0.02
0.07
0.10
0.49
2.01 83.93
1.09 0.00
7.65
4.63
91.26
8.74
CC
3574
0.00
0.00
0.00
0.03
0.00
0.14
3.39 69.78 0.00
23.87
2.80
76.13
23.87
558 70.61
0.54
0.36
0.18
0.00
0.00
0.00
0.00 0.00
0.00 28.32
98.92
1.08
C
0
Global ABS
AAA
AA
1237
2.99 75.18
1.13
0.16
0.00
0.00
0.00
0.00 0.00
0.00 20.53
98.71
1.29
A
1276
0.55
6.19 78.53
1.33
0.16
0.55
0.00
0.00 0.00
0.00 12.70
97.96
2.04
BBB
561
0.00
1.25
4.10 77.54
1.43
1.25
0.00
0.00 0.00
0.00 14.44
97.33
2.67
BB
192
0.00
0.00
3.13
8.33 76.04
2.08
0.00
0.00 0.00
0.00 10.42
97.92
2.08
B
184
0.00
0.00
2.17
2.72
1.63 82.61
1.09
1.63 0.00
1.63
6.52
95.65
4.35
CCC
183
0.00
0.00
1.09
1.64
1.09
1.64 81.42
1.09 0.00
8.74
3.28
90.16
9.84
84
0.00
0.00
0.00
0.00
0.00
0.00
0.00 67.86 0.00
28.57
3.57
71.43
28.57
1.84
0.00
0.13
0.39
0.00
0.00
0.00 0.00
0.00 38.16
97.63
2.37
1246 21.83 62.68
0.40
0.00
0.16
0.08
0.00
0.00 0.00
0.00 14.85
99.36
0.64
0.10
0.10
0.21
0.10
0.00 0.00
0.00 16.06
99.48
0.52
CC
C
0
Global structured credit
AAA
AA
760 59.47
A
959
2.40 16.58 64.44
BBB
989
0.20
2.53 13.85 65.82
0.71
0.51
0.40
0.00 0.00
0.00 15.98
98.38
1.62
BB
905
0.00
0.22
2.21 12.60 66.41
3.20
0.33
0.00 0.00
0.22 14.81
96.24
3.76
B
568
0.00
0.00
0.18
4.23 13.56 63.20
4.05
0.00 0.00
0.70 14.08
95.25
4.75
CCC
936
0.00
0.00
0.00
0.11
2.03
9.19 66.45
3.10 0.00
6.84 12.29
90.06
9.94
CC
185
0.00
0.00
0.00
0.54
0.00
0.00
77.84
22.16
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0.00 68.65 0.00
22.16
8.65
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 16
Global Structured Finance Rating Transitions, 2014 (%) (cont.)
C
0
Global CMBS
AAA
247 68.83
0.40
0.00
0.00
0.00
0.00
0.00
0.00 0.00
0.00 30.77
99.60
0.40
AA
330
1.82 65.76
1.52
0.00
0.00
0.00
0.00
0.00 0.00
0.00 30.91
98.48
1.52
A
420
1.43
5.95 68.57
1.43
0.48
0.24
0.00
0.00 0.00
0.00 21.90
97.86
2.14
BBB
503
1.19
1.59
4.57 71.57
1.19
1.39
0.00
0.00 0.00
0.00 18.49
97.42
2.58
BB
472
0.85
0.85
1.48
2.97 71.40
4.87
0.85
0.00 0.00
0.64 16.10
93.64
6.36
B
654
0.15
0.31
1.22
0.15
2.14 73.09
8.41
0.61 0.00
4.13
9.79
86.85
13.15
CCC
621
0.00
0.16
0.16
0.16
1.13
3.86 58.94
0.81 0.00
26.09
8.70
73.11
26.89
CC
5
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 100.00
0.00
0.00
100.00
C
0
AAA
1499 87.39
0.80
0.07
0.13
0.07
0.07
0.13
0.00 0.00
0.00 11.34
98.73
1.27
AA
1799
0.61 80.99
7.56
0.83
0.67
0.11
0.50
0.00 0.00
0.06
8.67
90.27
9.73
A
2052
0.00
2.39 84.21
4.14
1.80
0.34
0.93
0.00 0.00
0.00
6.19
92.79
7.21
BBB
1717
0.12
0.70
1.57 82.12
7.75
1.75
1.98
0.06 0.00
0.00
3.96
88.47
11.53
BB
1471
0.14
0.27
0.48
0.75 77.36 12.51
4.42
0.00 0.00
0.07
4.01
83.00
17.00
B
1882
0.05
0.00
0.21
0.16
0.53 83.00 11.53
0.11 0.00
0.90
3.51
87.46
12.54
CCC
4378
0.02
0.00
0.02
0.02
0.05
0.23 91.30
0.71 0.00
5.19
2.47
94.11
5.89
CC
3299
0.00
0.00
0.00
0.00
0.00
0.15
3.67 69.99 0.00
23.73
2.46
76.27
23.73
Global RMBS
C
0
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 17
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%)
From/to
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
Upgrade/stable/NR
Downgrade
Global structured finance
AAA
80.24
2.64
1.22
0.86
0.58
0.71
0.64
0.17
0.00
0.09
12.85
93.09
6.91
AA
3.81
74.40
3.58
2.23
1.67
1.96
3.23
0.86
0.01
0.28
7.97
86.19
13.81
A
0.93
3.67
72.49
3.99
2.48
2.29
4.20
1.65
0.00
0.53
7.77
84.86
15.14
BBB
0.47
0.94
2.86
69.25
4.66
4.21
6.32
3.06
0.00
1.24
6.99
80.51
19.49
BB
0.12
0.16
0.80
3.38
63.85
7.90
10.32
5.21
0.01
2.73
5.52
73.82
26.18
B
0.02
0.04
0.16
0.56
2.77
60.13
17.43
8.41
0.02
6.52
3.94
67.62
32.38
CCC
0.01
0.01
0.01
0.08
0.55
1.74
53.89
17.02
0.01
22.53
4.15
60.44
39.56
CC
0.00
0.00
0.00
0.01
0.01
0.13
0.38
54.48
0.00
43.02
1.97
56.98
43.02
C
0.00
0.00
0.00
0.00
0.00
0.00
2.11
0.00
58.95
36.84
2.11
63.16
36.84
77.57
2.44
0.90
0.29
0.03
0.02
0.01
0.00
0.00
0.00
18.73
96.30
3.70
AA
2.81
75.05
4.22
1.32
0.51
0.11
0.02
0.02
0.00
0.03
15.92
93.78
6.22
A
1.10
3.28
77.27
3.60
0.59
0.36
0.16
0.02
0.00
0.13
13.48
95.14
4.86
BBB
2.15
1.22
2.54
75.31
2.84
1.89
0.73
0.10
0.00
0.26
12.96
94.18
5.82
Global ABS
AAA
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 17
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
BB
0.31
0.60
1.85
2.85
65.62
9.34
3.95
0.66
0.00
1.10
13.73
84.96
15.04
B
0.06
0.00
1.62
0.60
2.34
65.32
15.63
2.10
CCC
0.00
0.00
0.14
0.20
0.14
1.23
72.63
7.56
0.00
4.87
7.45
77.40
22.60
0.00
15.25
2.86
77.20
22.80
CC
0.00
0.00
0.00
0.00
0.00
0.00
0.00
63.01
0.27
32.05
4.66
67.67
32.33
C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
100.00
2.13
1.76
1.20
0.82
1.12
0.82
0.00
0.40
13.66
86.09
13.91
Global structured credit
AAA
72.43
5.66
AA
5.62
66.34
5.51
3.87
1.87
1.21
2.27
1.78
0.00
0.64
10.90
82.86
17.14
A
0.92
6.44
64.58
6.89
3.77
1.84
2.33
2.27
0.00
0.72
10.25
82.19
17.81
BBB
0.22
1.07
5.17
63.49
6.31
4.07
7.05
3.18
0.00
0.79
8.67
78.61
21.39
BB
0.02
0.15
1.13
6.78
61.38
5.84
12.19
3.15
0.00
0.82
8.53
78.00
22.00
B
0.02
0.07
0.30
2.29
11.00
49.26
20.05
5.10
0.00
1.40
10.51
73.45
26.55
CCC
0.01
0.02
0.00
0.26
2.07
5.74
59.02
9.53
0.00
10.33
13.04
80.14
19.86
CC
0.00
0.00
0.00
0.01
0.03
0.03
0.09
57.45
0.00
37.81
4.58
62.19
37.81
C
0.00
78.33
1.84
0.91
0.72
0.47
0.28
0.02
0.00
0.00
0.04
17.39
95.71
4.29
AA
6.74
74.08
2.85
2.09
1.56
1.18
0.14
0.00
0.00
0.06
11.31
92.13
7.87
A
2.02
5.21
73.61
4.02
2.53
2.31
0.54
0.00
0.00
0.08
9.67
90.51
9.49
BBB
0.63
1.49
3.96
73.34
5.21
4.44
2.26
0.02
0.00
0.43
8.23
87.64
12.36
BB
0.25
0.17
0.45
3.03
74.22
8.60
6.49
0.12
0.06
1.69
4.90
83.03
16.97
B
0.04
0.04
0.12
0.19
1.50
72.59
15.43
0.19
0.00
7.05
2.85
77.33
22.67
CCC
0.02
0.04
0.07
0.05
0.37
1.08
54.14
0.94
0.00
39.13
4.16
59.93
40.07
CC
0.00
0.00
0.00
0.00
0.00
0.00
0.00
45.45
0.00
51.95
2.60
48.05
51.95
C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
100.00
Global CMBS
AAA
Global RMBS
AAA
83.43
1.80
1.14
0.85
0.65
1.00
0.82
0.09
0.00
0.05
10.17
93.60
6.40
AA
3.11
76.65
2.94
2.00
1.87
2.66
4.64
0.91
0.00
0.27
4.95
84.71
15.29
A
0.67
2.70
72.27
3.18
2.93
3.34
7.57
2.60
0.00
0.76
3.99
79.63
20.37
BBB
0.11
0.71
1.82
67.95
4.36
4.95
9.01
4.83
0.00
1.91
4.36
74.95
25.05
BB
0.03
0.11
0.65
1.96
59.92
8.38
12.25
9.05
0.00
4.28
3.37
66.05
33.95
B
0.01
0.03
0.06
0.35
1.47
56.74
18.02
13.05
0.00
7.52
2.74
61.40
38.60
CCC
0.00
0.00
0.01
0.02
0.12
0.53
51.52
22.39
0.02
24.04
1.35
53.55
46.45
CC
0.00
0.00
0.00
0.01
0.01
0.15
0.44
53.81
0.00
44.22
1.37
55.78
44.22
C
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
100.00
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 35
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 18
Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Collapsed (%)
From/to
Beginning
no. of
ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR Upgrade/stable/NR Downgrade
Global structured finance
AAA
32316
8.30
3.38
2.53
1.76
1.28
1.64
3.15
0.60 0.00
8.40
68.96
77.26
22.74
AA
26748
1.20 10.18
3.27
1.85
2.52
3.19
6.12
1.84 0.00 27.64
42.19
53.57
46.43
A
25875
0.59
1.67 10.57
1.81
1.50
2.05
6.25
2.86 0.00 32.02
40.67
53.50
46.50
BBB
24462
0.31
0.43
1.17
8.39
1.53
1.90
3.81
3.43 0.00 43.68
35.34
45.64
54.36
BB
10338
0.03
0.21
0.29
0.94 10.11
3.29
3.47
1.90 0.00 50.08
29.69
41.27
58.73
5237
0.02
0.04
0.25
0.17
0.40
8.00
2.54
1.99 0.00 62.96
23.64
32.52
67.48
213
0.00
0.00
0.00
1.88
0.00
0.94
4.69
0.47 0.00 56.34
35.68
43.19
56.81
42
0.00
0.00
0.00
0.00
0.00
2.38
0.00
9.52 0.00 66.67
21.43
33.33
66.67
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00
0.00 100.00
100.00
0.00
AAA
7063
8.07
3.44
1.06
0.65
0.37
0.54
0.40
0.34 0.00
0.27
84.86
92.94
7.06
AA
2506
0.68 29.45
7.50
0.88
0.12
0.48
1.44
0.28 0.00
2.27
56.90
87.03
12.97
A
4991
0.22
3.31 18.79
1.88
0.46
0.42
0.46
0.22 0.00
3.07
71.17
93.49
6.51
BBB
2661
0.15
1.69
1.50 15.45
1.39
2.86
1.88
0.38 0.00
6.91
67.79
86.58
13.42
BB
696
0.00
0.57
2.16
1.72 15.23
1.29
1.58
0.57 0.00 11.64
65.23
84.91
15.09
B
B
CCC
CC
C
Global ABS
100
0.00
0.00
2.00
1.00
2.00 27.00
2.00
0.00 0.00 14.00
52.00
84.00
16.00
CCC
32
0.00
0.00
0.00
0.00
0.00
0.00
3.13
3.13 0.00 65.63
28.13
31.25
68.75
CC
11
0.00
0.00
0.00
0.00
0.00
0.00
0.00 36.36 0.00 27.27
36.36
72.73
27.27
C
0
Global structured credit
AAA
7931
8.93
2.64
0.67
0.66
0.69
0.82
1.12
0.11 0.00 11.10
73.27
82.20
17.80
AA
5568
2.82 14.39
1.81
0.61
0.86
0.65
1.63
0.59 0.00 19.74
56.90
74.10
25.90
A
4292
0.93
3.38 16.29
2.75
1.10
1.05
3.03
0.86 0.00 21.48
49.14
69.73
30.27
BBB
4075
0.12
0.42
1.91 16.79
3.39
1.72
4.34
1.18 0.00 29.06
41.08
60.32
39.68
BB
2138
0.00
0.19
0.28
1.87 25.54
7.67
6.50
1.17 0.00 20.72
36.06
63.94
36.06
480
0.00
0.00
0.21
0.42
0.83 34.17
5.42
0.83 0.00 18.96
39.17
74.79
25.21
B
CCC
70
0.00
0.00
0.00
0.00
0.00
1.43
4.29
0.00 0.00 44.29
50.00
55.71
44.29
CC
5
0.00
0.00
0.00
0.00
0.00 20.00
0.00
0.00 0.00 40.00
40.00
60.00
40.00
C
0
AAA
1574 11.50
1.59
2.22
2.10
2.03
3.75
1.72
0.00 0.00
4.19
70.90
82.40
17.60
AA
2469
1.62
8.79
2.47
2.63
2.67
4.66
3.60
0.04 0.00
8.38
65.13
75.54
24.46
A
2690
0.41
1.86
8.74
2.42
2.16
4.05
3.49
0.04 0.00 13.75
63.09
74.09
25.91
BBB
3386
0.24
0.44
1.39
8.12
1.59
2.86
3.48
0.15 0.00 24.10
57.62
67.81
32.19
BB
1961
0.15
0.56
0.41
1.02 11.93
3.06
2.75
0.05 0.00 47.27
32.79
46.86
53.14
B
1396
0.07
0.14
0.72
0.36
0.64 10.24
2.94
0.07 0.00 69.27
15.54
27.72
72.28
45
0.00
0.00
0.00
0.00
0.00
4.44
0.00 0.00 71.11
22.22
28.89
71.11
Global CMBS
CCC
CC
2.22
0
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 18
Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Collapsed (%) (cont.)
C
0
Global RMBS
AAA
14731
8.19
3.80
4.24
2.82
2.04
2.45
5.93
1.08 0.00 11.81
57.65
65.84
34.16
AA
15714
0.68
6.03
3.06
2.31
3.52
4.38
9.05
2.87 0.00 38.28
29.81
36.52
63.48
A
13186
0.68
0.46
5.79
1.18
1.72
2.68 10.37
5.24 0.00 51.67
20.21
27.13
72.87
BBB
13880
0.42
0.21
0.70
4.44
0.86
1.60
4.16
5.60 0.00 60.92
21.09
26.85
73.15
BB
5479
0.00
0.05
0.02
0.27
2.85
1.95
2.83
3.03 0.00 67.84
21.15
24.35
75.65
B
3223
0.00
0.00
0.00
0.03
0.19
2.58
1.99
3.07 0.00 68.94
23.21
26.00
74.00
CCC
46
0.00
0.00
0.00
0.00
0.00
0.00
8.70
0.00 0.00 71.74
19.57
28.26
71.74
CC
26
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 88.46
11.54
11.54
88.46
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00
0.00 100.00
100.00
0.00
C
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 19
Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Not Collapsed (%)
From/to
Beginning
no. of
ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR Upgrade/stable/NR Downgrade
3.05
2.10
1.63
1.14
1.30
4.17
0.75 0.00 11.74
68.39
74.12
25.88
Global structured finance
AAA
127306
5.73
AA
26748
1.20 10.18
3.27
1.85
2.52
3.19
6.12
1.84 0.00 27.64
42.19
53.57
46.43
A
25876
0.59
1.67 10.57
1.81
1.50
2.05
6.25
2.86 0.00 32.02
40.67
53.51
46.49
BBB
24463
0.31
0.43
1.17
8.39
1.53
1.90
3.81
3.43 0.00 43.68
35.35
45.64
54.36
BB
10340
0.03
0.21
0.29
0.94 10.11
3.29
3.47
1.91 0.00 50.07
29.69
41.27
58.73
5237
0.02
0.04
0.25
0.17
0.40
8.00
2.54
1.99 0.00 62.96
23.64
32.52
67.48
219
0.00
0.00
0.00
1.83
0.00
0.91
4.57
0.46 0.00 57.08
35.16
42.47
57.53
50
0.00
0.00
0.00
0.00
0.00
2.00
0.00
8.00 0.00 72.00
18.00
28.00
72.00
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00
0.00 100.00
100.00
0.00
16213
8.26
3.52
0.84
0.41
0.26
0.42
0.35
0.30 0.00
0.15
85.49
93.75
6.25
7.50
0.88
0.12
0.48
1.44
0.28 0.00
2.27
56.90
87.03
12.97
B
CCC
CC
C
Global ABS
AAA
AA
2506
0.68 29.45
A
4991
0.22
3.31 18.79
1.88
0.46
0.42
0.46
0.22 0.00
3.07
71.17
93.49
6.51
BBB
2661
0.15
1.69
1.50 15.45
1.39
2.86
1.88
0.38 0.00
6.91
67.79
86.58
13.42
BB
696
0.00
0.57
2.16
1.72 15.23
1.29
1.58
0.57 0.00 11.64
65.23
84.91
15.09
B
100
0.00
0.00
2.00
1.00
2.00 27.00
2.00
0.00 0.00 14.00
52.00
84.00
16.00
CCC
32
0.00
0.00
0.00
0.00
0.00
0.00
3.13
3.13 0.00 65.63
28.13
31.25
68.75
CC
11
0.00
0.00
0.00
0.00
0.00
0.00
0.00 36.36 0.00 27.27
36.36
72.73
27.27
C
0
Global structured credit
AAA
2.88
0.67
0.85
0.86
0.87
0.99
0.12 0.00 15.16
67.80
77.60
22.40
AA
12653
5568
9.80
2.82 14.39
1.81
0.61
0.86
0.65
1.63
0.59 0.00 19.74
56.90
74.10
25.90
A
4292
0.93
3.38 16.29
2.75
1.10
1.05
3.03
0.86 0.00 21.48
49.14
69.73
30.27
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 19
Global Structured Finance Original-To-Current Rating Transitions, 'AAA' Ratings Not Collapsed (%) (cont.)
BBB
4076
0.12
0.42
1.91 16.78
3.39
1.72
4.34
1.18 0.00 29.05
41.09
60.33
39.67
BB
2138
0.00
0.19
480
0.00
0.00
0.28
1.87 25.54
7.67
6.50
1.17 0.00 20.72
36.06
63.94
36.06
0.21
0.42
0.83 34.17
5.42
0.83 0.00 18.96
39.17
74.79
25.21
70
0.00
0.00
0.00
0.00
0.00
1.43
4.29
0.00 0.00 44.29
50.00
55.71
44.29
CC
5
C
0
0.00
0.00
0.00
0.00
0.00 20.00
0.00
0.00 0.00 40.00
40.00
60.00
40.00
AAA
5872 18.17
1.98
2.06
1.92
1.23
1.69
0.60
0.00 0.00
1.86
70.50
88.68
11.32
AA
2469
1.62
8.79
2.47
2.63
2.67
4.66
3.60
0.04 0.00
8.38
65.13
75.54
24.46
A
2690
0.41
1.86
8.74
2.42
2.16
4.05
3.49
0.04 0.00 13.75
63.09
74.09
25.91
BBB
3386
0.24
0.44
1.39
8.12
1.59
2.86
3.48
0.15 0.00 24.10
57.62
67.81
32.19
BB
1961
0.15
0.56
0.41
1.02 11.93
3.06
2.75
0.05 0.00 47.27
32.79
46.86
53.14
B
1396
0.07
0.14
0.72
0.36
0.64 10.24
2.94
0.07 0.00 69.27
15.54
27.72
72.28
46
0.00
0.00
0.00
0.00
0.00
2.17
4.35
0.00 0.00 69.57
23.91
30.43
69.57
B
CCC
Global CMBS
CCC
CC
0
C
0
Global RMBS
AAA
91291
3.98
3.03
2.51
1.93
1.34
1.50
5.58
0.98 0.00 14.12
65.03
69.02
30.98
AA
15714
0.68
6.03
3.06
2.31
3.52
4.38
9.05
2.87 0.00 38.28
29.81
36.52
63.48
A
13187
0.68
0.45
5.79
1.18
1.72
2.68 10.37
5.24 0.00 51.66
20.22
27.14
72.86
BBB
13880
0.42
0.21
0.70
4.44
0.86
1.60
4.16
5.60 0.00 60.92
21.09
26.85
73.15
BB
5481
0.00
0.05
0.02
0.27
2.85
1.95
2.83
3.05 0.00 67.82
21.16
24.36
75.64
B
3223
0.00
0.00
0.00
0.03
0.19
2.58
1.99
3.07 0.00 68.94
23.21
26.00
74.00
CCC
51
0.00
0.00
0.00
0.00
0.00
0.00
7.84
0.00 0.00 74.51
17.65
25.49
74.51
CC
34
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00 91.18
8.82
8.82
91.18
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 0.00
0.00 100.00
100.00
0.00
C
'AAA' ratings from the same transaction are treated individually in the calculation of this table.
Table 20
Global Structured Finance Weighted-Average Multi-Year Rating Transitions, 1976-2014 (%)
From/to
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
80.24
2.64
1.22
0.86
0.58
0.71
0.64
0.17
0.00
0.09
12.85
AA
3.81
74.40
3.58
2.23
1.67
1.96
3.23
0.86
0.01
0.28
7.97
A
0.93
3.67
72.49
3.99
2.48
2.29
4.20
1.65
0.00
0.53
7.77
BBB
0.47
0.94
2.86
69.25
4.66
4.21
6.32
3.06
0.00
1.24
6.99
BB
0.12
0.16
0.80
3.38
63.85
7.90
10.32
5.21
0.01
2.73
5.52
B
0.02
0.04
0.16
0.56
2.77
60.13
17.43
8.41
0.02
6.52
3.94
CCC
0.01
0.01
0.01
0.08
0.55
1.74
53.89
17.02
0.01
22.53
4.15
CC
0.00
0.00
0.00
0.01
0.01
0.13
0.38
54.48
0.00
43.02
1.97
C
0.00
0.00
0.00
0.00
0.00
0.00
2.11
0.00
58.95
36.84
2.11
One-year
AAA
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 20
Global Structured Finance Weighted-Average Multi-Year Rating Transitions, 1976-2014
(%) (cont.)
Two-year
AAA
63.22
3.96
1.98
1.45
0.99
1.06
1.89
0.51
0.00
0.44
24.51
AA
5.69
54.03
4.99
3.06
2.56
3.03
5.73
2.65
0.02
2.37
15.88
A
1.83
5.31
50.92
5.24
3.41
3.50
6.31
4.11
0.00
3.76
15.61
BBB
1.00
1.58
4.15
46.56
5.67
5.47
8.32
6.51
0.00
6.70
14.04
BB
0.22
0.48
1.27
4.84
41.55
9.27
12.28
7.70
0.03
11.23
11.12
B
0.05
0.09
0.35
1.08
3.95
38.36
19.06
10.38
0.00
18.90
7.77
CCC
0.01
0.01
0.05
0.21
0.99
2.52
31.06
17.20
0.01
40.43
7.52
CC
0.00
0.00
0.00
0.02
0.02
0.22
0.46
31.47
0.00
64.59
3.22
C
0.00
0.00
0.00
0.00
0.00
2.11
0.00
0.00
44.21
49.47
4.21
Three-year
AAA
49.17
4.58
2.43
1.73
1.20
1.22
2.40
1.05
0.00
1.01
35.21
AA
6.34
39.44
5.44
3.37
2.90
3.58
6.43
3.70
0.02
5.83
22.94
A
2.34
5.48
35.44
5.54
3.70
4.03
7.02
5.27
0.00
8.27
22.90
BBB
1.43
1.83
4.24
30.60
5.63
5.56
8.80
8.10
0.00
13.41
20.40
BB
0.31
0.68
1.42
5.04
27.34
8.28
12.13
9.03
0.02
19.62
16.13
B
0.08
0.11
0.45
1.25
3.82
25.52
16.73
10.78
0.01
30.34
10.91
CCC
0.01
0.01
0.11
0.32
1.13
2.27
17.63
13.33
0.00
55.15
10.05
CC
0.00
0.00
0.00
0.03
0.03
0.23
0.47
15.10
0.00
80.24
3.91
C
0.00
0.00
0.00
0.00
0.00
2.47
0.00
0.00
34.57
58.02
4.94
38.24
4.57
2.60
1.83
1.27
1.38
2.42
1.22
0.00
1.86
44.61
AA
6.45
28.65
5.24
3.27
3.03
3.92
6.86
4.03
0.02
9.24
29.28
A
2.69
5.01
24.63
5.01
3.53
4.11
7.50
6.13
0.00
12.38
29.02
BBB
1.56
1.83
3.80
20.05
4.90
4.97
8.38
9.11
0.00
19.75
25.65
BB
0.35
0.73
1.39
4.38
18.56
7.01
10.41
9.13
0.02
28.24
19.79
B
0.13
0.13
0.43
1.23
3.30
17.42
12.41
9.45
0.00
42.70
12.79
CCC
0.02
0.03
0.09
0.33
0.87
1.65
9.84
9.00
0.00
67.19
10.98
CC
0.00
0.00
0.00
0.03
0.02
0.15
0.40
6.87
0.00
88.88
3.65
C
0.00
0.00
0.00
0.00
0.00
3.03
0.00
0.00
21.21
69.70
6.06
Four-year
AAA
Five-year
AAA
30.09
4.14
2.48
1.81
1.25
1.40
2.27
1.12
0.00
2.78
52.66
AA
6.15
20.83
4.74
2.99
3.02
4.02
6.52
3.93
0.02
12.47
35.32
A
2.86
4.32
16.97
4.19
3.10
3.96
7.67
6.20
0.00
16.35
34.36
BBB
1.51
1.78
3.19
13.13
3.91
4.16
7.44
9.05
0.00
25.77
30.04
BB
0.32
0.69
1.23
3.66
12.94
5.82
8.30
8.36
0.02
35.99
22.67
B
0.14
0.14
0.38
0.95
2.83
12.10
8.39
7.88
0.00
53.02
14.17
CCC
0.01
0.02
0.05
0.20
0.41
0.87
5.85
5.33
0.00
76.97
10.29
CC
0.00
0.00
0.00
0.06
0.01
0.06
0.35
3.81
0.00
92.25
3.45
C
0.00
0.00
0.00
0.00
0.00
3.85
0.00
0.00
0.00
88.46
7.69
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
One-year period
ending at
year-end
Beginning no.
of ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1976
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1977
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1978
3
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
10
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
25
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
49
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
69
92.75
5.80
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.45
1983
98
98.98
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.02
1984
170
97.65
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.35
1985
310
99.03
0.32
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.65
1986
556
98.92
0.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.90
1987
899
98.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.67
1988
1,336
96.56
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.44
1989
1,769
96.16
0.34
0.06
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.45
1990
2,011
94.78
0.40
0.00
0.05
0.00
0.00
0.00
0.00
0.00
0.00
4.77
1991
2,238
93.03
1.21
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.76
1992
2,503
92.33
0.88
0.08
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.71
1993
2,829
95.65
0.14
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.17
1994
3,299
93.57
0.06
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.37
1995
3,784
93.74
0.16
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.10
1996
4,306
87.92
0.16
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
11.89
1997
4,540
91.04
0.31
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.66
1998
4,975
88.40
1.59
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.01
1999
5,312
87.46
0.30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.24
2000
5,733
84.63
0.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.25
2001
6,155
87.31
0.15
0.11
0.03
0.00
0.00
0.03
0.00
0.00
0.05
12.32
2002
6,952
83.62
0.70
0.23
0.22
0.00
0.06
0.03
0.00
0.00
0.00
15.15
2003
7,731
80.21
0.53
0.41
0.21
0.03
0.00
0.00
0.00
0.00
0.00
18.61
2004
8,748
78.40
0.40
0.05
0.06
0.03
0.01
0.00
0.00
0.00
0.00
21.06
2005
10,072
83.63
0.75
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.59
2006
12,189
86.53
0.40
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.06
2007
14,624
87.41
0.87
0.27
0.10
0.08
0.12
0.06
0.00
0.00
0.04
11.04
2008
16,335
68.76
4.93
3.84
3.16
2.06
3.55
1.89
1.29
0.00
0.51
10.01
2009
12,411
66.15
5.41
2.91
2.82
2.68
2.95
5.08
0.48
0.00
0.28
11.25
2010
8,827
71.45
7.73
2.99
1.55
0.75
0.59
0.78
0.16
0.00
0.25
13.75
2011
7,033
64.25
11.29
3.36
0.98
1.48
1.49
0.38
0.13
0.00
0.16
16.48
2012
5,223
54.15
13.88
6.57
4.79
1.63
0.92
0.23
0.00
0.00
0.00
17.84
From 'AAA' rating
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 40
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
2013
3,613
61.61
4.95
3.79
2.13
1.25
0.77
0.53
0.00
0.00
0.03
24.94
2014
3,081
75.92
0.97
0.10
0.13
0.13
0.03
0.06
0.00
0.00
0.00
22.65
Average
87.96
1.67
0.64
0.42
0.26
0.27
0.23
0.05
0.00
0.03
8.48
Median
92.33
0.32
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.71
Std. dev.
12.24
3.21
1.50
1.05
0.64
0.77
0.86
0.22
0.00
0.10
7.21
Minimum
54.15
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
13.88
6.57
4.79
2.68
3.55
5.08
1.29
0.00
0.51
24.94
From 'AA' rating
1976
0
1977
0
1978
0
1979
6
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
21
4.76
95.24
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
26
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
43
0.00
93.02
6.98
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
72
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
91
0.00
96.70
3.30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
134
0.00
97.01
0.75
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.24
1987
255
0.78
95.69
0.00
0.00
2.75
0.00
0.00
0.00
0.00
0.00
0.78
1988
444
0.00
96.85
0.00
2.25
0.00
0.00
0.00
0.00
0.00
0.00
0.90
1989
628
2.23
95.54
0.96
0.64
0.00
0.00
0.00
0.00
0.00
0.00
0.64
1990
833
0.00
75.03
21.25
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.72
1991
935
0.00
94.87
1.18
0.21
0.00
0.32
0.00
0.00
0.00
0.00
3.42
1992
1,236
0.49
95.23
1.38
0.16
0.00
0.00
0.00
0.00
0.00
0.00
2.75
1993
1,551
1.55
94.33
0.77
0.00
0.13
0.00
0.00
0.00
0.00
0.00
3.22
1994
1,764
5.67
83.96
3.51
0.68
0.06
0.45
0.11
0.00
0.00
0.00
5.56
1995
1,782
3.48
88.55
0.22
0.22
0.00
0.00
0.00
0.00
0.00
0.00
7.52
1996
1,784
1.46
86.55
0.28
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.72
1997
1,779
2.92
90.16
0.17
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.75
1998
1,946
1.85
87.92
0.41
0.00
0.00
0.00
0.00
0.00
0.00
0.00
9.82
1999
2,149
2.05
83.25
0.23
0.05
0.00
0.00
0.00
0.00
0.00
0.00
14.43
2000
2,166
9.93
75.25
0.18
0.00
0.00
0.00
0.14
0.00
0.00
0.00
14.50
2001
2,153
12.59
78.17
0.46
0.28
0.09
0.00
0.00
0.00
0.00
0.00
8.41
2002
2,507
8.54
77.90
2.71
0.84
0.44
0.04
0.08
0.00
0.00
0.04
9.41
2003
3,307
11.01
74.87
2.24
1.21
0.36
0.30
0.00
0.00
0.00
0.00
10.01
2004
4,535
8.40
78.17
1.06
0.31
0.13
0.02
0.00
0.00
0.00
0.00
11.91
2005
6,884
7.77
82.35
0.68
0.12
0.01
0.00
0.00
0.00
0.00
0.00
9.06
2006
10,264
4.45
88.17
1.07
0.19
0.00
0.00
0.00
0.00
0.00
0.00
6.12
2007
14,548
2.53
88.07
2.00
1.13
0.51
0.35
0.74
0.01
0.00
0.06
4.59
2008
16,892
0.85
61.88
4.14
3.88
3.33
6.20
11.99
2.85
0.08
0.61
4.19
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 41
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
2009
11,824
0.53
50.54
6.66
6.15
5.72
5.90
11.98
4.14
0.00
1.42
6.96
2010
7,120
1.56
69.97
7.71
5.06
2.53
2.21
2.47
0.58
0.00
0.59
7.33
2011
6,411
4.02
68.77
7.32
2.93
2.18
2.93
1.37
0.42
0.00
0.14
9.90
2012
5,873
5.24
58.74
8.70
6.59
4.70
2.91
1.19
0.02
0.00
0.14
11.77
2013
5,207
5.17
69.48
4.13
1.54
1.31
0.94
0.69
0.02
0.00
0.06
16.67
2014
4,731
6.89
73.37
3.47
0.36
0.30
0.06
0.19
0.00
0.00
0.02
15.35
Average
3.24
84.60
2.61
0.97
0.68
0.63
0.86
0.22
0.00
0.09
6.10
Median
1.95
88.00
1.01
0.17
0.00
0.00
0.00
0.00
0.00
0.00
5.84
Std. dev.
3.56
12.87
4.08
1.77
1.42
1.53
2.78
0.83
0.01
0.27
5.09
Min
0.00
50.54
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
12.59
100.00
21.25
6.59
5.72
6.20
11.99
4.14
0.08
1.42
16.67
From 'A' rating
1976
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1977
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1978
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1980
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
6
0.00
0.00
83.33
16.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
9
0.00
0.00
88.89
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
1986
19
0.00
0.00
78.95
15.79
0.00
0.00
0.00
0.00
0.00
0.00
5.26
1987
19
0.00
0.00
94.74
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.26
1988
29
0.00
0.00
96.55
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.45
1989
45
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
111
0.00
0.90
97.30
1.80
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
354
0.00
0.00
95.76
3.39
0.00
0.28
0.00
0.00
0.00
0.00
0.56
1992
533
0.00
0.00
97.37
0.00
0.00
0.00
0.38
0.00
0.00
0.00
2.25
1993
793
0.00
0.00
95.08
1.77
0.88
0.00
0.00
0.00
0.00
0.00
2.27
1994
935
1.28
8.77
82.03
1.60
0.00
0.21
1.28
0.00
0.00
0.00
4.81
1995
1,023
1.17
0.78
79.37
1.17
0.10
0.00
0.00
0.00
0.00
0.00
17.40
1996
1,071
0.47
0.75
89.64
0.28
0.09
0.00
0.00
0.00
0.00
0.09
8.68
1997
1,352
0.22
0.52
90.24
2.44
0.07
0.00
0.00
0.00
0.00
0.00
6.51
1998
1,563
0.45
1.22
86.50
0.26
0.00
0.00
0.00
0.00
0.00
0.77
10.81
1999
1,775
0.39
1.63
87.04
0.39
0.00
0.00
0.00
0.00
0.00
0.06
10.48
2000
2,083
3.26
3.41
79.02
1.54
0.14
0.00
0.05
0.00
0.00
0.00
12.58
2001
2,307
2.43
4.59
81.97
2.17
0.26
0.17
0.09
0.04
0.00
0.09
8.19
2002
2,896
1.35
4.52
82.91
3.14
0.90
0.17
0.41
0.03
0.00
0.14
6.42
2003
4,059
1.97
5.59
72.88
9.88
0.94
0.39
0.17
0.02
0.00
0.07
8.08
2004
5,228
2.33
5.07
80.47
0.78
0.31
0.34
0.08
0.00
0.00
0.00
10.62
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 42
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
2005
7,261
2.05
6.61
83.09
0.51
0.07
0.03
0.01
0.00
0.00
0.00
7.63
2006
10,113
1.27
4.23
87.16
1.09
0.12
0.05
0.01
0.00
0.00
0.00
6.08
2007
13,747
0.76
2.71
80.51
3.42
2.66
1.98
1.93
0.04
0.00
0.11
5.87
2008
14,550
0.23
1.01
59.37
4.54
3.53
3.76
16.37
6.16
0.00
1.05
3.99
2009
10,822
0.15
1.23
48.04
7.06
6.10
8.09
12.25
7.24
0.00
3.06
6.77
2010
7,052
0.31
1.96
62.83
9.70
6.23
3.97
4.15
1.18
0.00
0.72
8.95
2011
6,052
0.41
5.77
67.43
5.82
3.93
4.59
2.79
0.79
0.00
0.05
8.41
2012
5,393
1.04
8.94
60.43
6.30
5.21
3.23
2.67
0.11
0.00
0.06
12.02
2013
5,049
0.99
5.57
72.23
3.80
2.00
0.99
0.63
0.08
0.00
0.10
13.61
2014
4,926
0.73
6.35
77.63
2.23
0.85
0.35
0.41
0.00
0.00
0.00
11.45
Average
0.60
2.11
83.05
2.76
0.88
0.73
1.12
0.40
0.00
0.16
8.19
Median
0.22
0.78
86.50
1.17
0.00
0.00
0.00
0.00
0.00
0.00
6.08
Std. dev.
0.84
2.72
18.96
4.12
1.74
1.71
3.28
1.51
0.00
0.53
15.81
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
3.26
8.94
100.00
16.67
6.23
8.09
16.37
7.24
0.00
3.06
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'BBB' rating
1976
0
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
1
1986
0
1987
3
1988
3
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
16
43.75
0.00
37.50
18.75
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
19
0.00
0.00
0.00
73.68
0.00
0.00
0.00
0.00
0.00
0.00
26.32
1991
26
0.00
0.00
0.00
96.15
3.85
0.00
0.00
0.00
0.00
0.00
0.00
1992
58
0.00
0.00
1.72
82.76
1.72
1.72
6.90
0.00
0.00
0.00
5.17
1993
96
0.00
0.00
0.00
94.79
3.13
2.08
0.00
0.00
0.00
0.00
0.00
1994
185
0.00
0.00
1.62
95.14
0.54
0.00
0.54
0.54
0.00
0.00
1.62
1995
327
0.61
0.92
1.83
88.69
3.36
0.00
1.22
0.00
0.00
0.31
3.06
1996
429
0.47
0.70
2.56
83.68
6.76
0.93
0.47
0.00
0.00
0.00
4.43
1997
516
0.00
0.00
1.55
94.77
0.58
0.00
0.00
0.00
0.00
0.00
3.10
1998
753
0.00
0.00
1.46
94.29
0.93
0.13
0.13
0.13
0.00
0.13
2.79
1999
1,062
0.09
0.56
1.22
91.90
1.41
0.00
0.09
0.00
0.00
0.00
4.71
2000
1,391
0.65
3.38
2.80
78.79
1.51
6.69
0.22
0.00
0.00
0.07
5.90
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
2001
1,653
0.79
3.33
2.84
83.67
1.27
0.67
0.97
0.06
0.00
0.42
5.99
2002
2,520
0.36
1.39
3.10
83.29
3.25
1.23
1.35
0.04
0.08
0.52
5.40
2003
3,808
0.50
2.49
4.07
79.07
2.65
1.81
0.47
0.13
0.00
0.53
8.27
2004
5,811
0.57
1.96
3.36
81.21
1.24
0.71
0.52
0.02
0.00
0.14
10.29
2005
7,941
1.07
1.65
4.28
84.18
0.98
0.20
0.14
0.00
0.00
0.06
7.43
2006
10,879
1.11
0.65
2.73
87.28
1.08
0.28
0.22
0.00
0.00
0.08
6.57
2007
14,438
0.66
0.44
1.51
73.13
5.15
5.98
6.21
0.15
0.00
0.61
6.16
2008
14,472
0.05
0.12
0.87
56.56
4.71
4.47
16.09
11.19
0.00
2.02
3.92
2009
10,506
0.22
0.05
0.79
42.09
7.92
9.62
17.01
11.10
0.00
6.17
5.04
2010
6,581
0.21
0.36
1.98
54.70
10.35
9.09
10.58
2.77
0.00
1.81
8.16
2011
5,414
0.09
1.24
5.13
62.21
8.42
6.30
4.86
1.87
0.00
0.52
9.36
2012
4,449
0.02
2.11
8.90
57.83
8.45
7.53
4.45
0.18
0.00
0.25
10.27
2013
4,300
0.44
1.72
5.95
69.56
5.58
3.02
1.63
0.02
0.00
0.19
11.88
2014
3,958
0.25
1.31
5.31
75.77
4.07
1.24
0.96
0.03
0.00
0.00
11.07
Average
1.79
0.84
3.56
75.31
3.07
2.20
2.59
0.97
0.00
0.48
9.20
Median
0.21
0.44
1.83
82.76
1.72
0.71
0.47
0.00
0.00
0.07
5.40
Std. dev.
8.08
1.03
6.86
23.47
2.98
3.03
4.65
2.88
0.01
1.20
18.23
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
43.75
3.38
37.50
100.00
10.35
9.62
17.01
11.19
0.08
6.17
100.00
From 'BB' rating
1976
0
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
8
0.00
0.00
0.00
0.00
12.50
0.00
37.50
0.00
0.00
50.00
0.00
1989
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
3
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
0.00
0.00
66.67
1991
2
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
5
0.00
0.00
0.00
0.00
80.00
20.00
0.00
0.00
0.00
0.00
0.00
1993
13
0.00
0.00
0.00
0.00
92.31
0.00
7.69
0.00
0.00
0.00
0.00
1994
62
0.00
0.00
0.00
0.00
80.65
3.23
12.90
3.23
0.00
0.00
0.00
1995
107
0.00
0.00
0.00
0.00
96.26
0.00
0.93
0.00
0.00
0.93
1.87
1996
174
0.00
0.00
0.00
0.00
90.23
3.45
2.30
1.15
0.00
1.15
1.72
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1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
1997
266
0.00
0.00
0.00
0.38
95.86
1.13
0.00
0.00
0.00
0.00
2.63
1998
354
0.00
0.00
0.00
0.56
95.20
1.13
0.28
0.00
0.00
0.85
1.98
1999
509
0.00
0.00
0.20
2.55
92.73
1.18
0.39
0.39
0.00
0.00
2.55
2000
634
0.16
0.47
2.05
5.68
81.86
3.47
0.95
0.16
0.00
0.47
4.73
2001
774
0.00
0.13
2.45
6.59
81.91
2.97
1.94
0.00
0.00
0.65
3.36
2002
1,122
0.00
0.00
1.07
4.99
80.93
2.05
2.32
1.34
0.62
1.87
4.81
2003
1,730
0.06
0.17
2.43
6.47
74.97
5.61
3.06
0.40
0.00
0.92
5.90
2004
2,354
0.30
0.64
2.04
4.38
79.65
1.61
1.78
0.13
0.00
0.68
8.79
2005
3,212
0.28
0.22
1.56
5.70
84.81
1.56
0.50
0.09
0.00
0.19
5.11
2006
4,683
0.11
0.02
0.56
3.07
88.64
1.24
0.70
0.00
0.00
0.26
5.40
2007
6,266
0.27
0.11
0.08
1.39
73.40
8.31
9.24
0.34
0.00
2.38
4.48
2008
7,816
0.00
0.01
0.03
0.59
53.48
6.13
15.24
17.40
0.00
4.75
2.38
2009
6,494
0.06
0.03
0.20
0.42
34.54
10.01
25.53
16.17
0.02
10.07
2.96
2010
4,997
0.24
0.10
0.36
1.70
51.81
13.51
19.69
4.78
0.00
2.94
4.86
2011
4,174
0.00
0.24
1.39
5.17
53.26
14.95
12.15
4.12
0.00
1.25
7.47
2012
3,546
0.08
0.20
1.64
10.83
47.74
16.24
11.79
0.62
0.00
0.82
10.04
2013
3,249
0.00
0.46
1.32
5.48
68.76
9.23
3.91
0.12
0.00
0.65
10.06
2014
3,119
0.19
0.32
1.28
5.07
73.10
7.69
2.31
0.00
0.00
0.19
9.84
Average
0.06
0.10
0.60
2.29
77.35
4.35
5.58
1.63
0.02
2.61
5.41
Median
0.00
0.00
0.03
0.56
81.86
1.61
1.78
0.00
0.00
0.47
2.63
Std. dev.
0.10
0.17
0.84
2.90
22.91
5.55
8.87
4.23
0.11
9.01
11.83
Min
0.00
0.00
0.00
0.00
12.50
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.30
0.64
2.45
10.83
100.00
20.00
37.50
17.40
0.62
50.00
66.67
0.00
From 'B' rating
1976
0
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
1
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1990
2
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
1991
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1992
5
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 45
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
1993
17
0.00
0.00
0.00
5.88
5.88
82.35
0.00
0.00
0.00
5.88
0.00
1994
55
0.00
0.00
0.00
1.82
5.45
1995
107
0.00
0.00
0.00
0.00
0.00
80.00
5.45
0.00
0.00
1.82
5.45
87.85
10.28
0.00
0.00
0.93
0.93
1996
160
0.63
0.00
0.63
0.00
0.00
96.88
0.00
1.25
0.00
0.00
0.63
1997
232
0.00
0.00
0.00
0.00
0.43
94.83
1.72
0.86
0.00
0.00
2.16
1998
274
0.00
0.00
1999
362
0.00
0.00
0.00
0.00
1.82
94.16
0.73
0.36
0.00
2.19
0.73
0.00
0.00
1.10
95.30
1.10
0.55
0.00
1.38
0.55
2000
433
0.00
0.00
0.00
2.31
5.31
83.60
3.23
0.23
0.00
1.85
3.46
2001
573
2002
762
0.00
0.00
0.00
0.35
5.41
84.82
2.97
0.17
0.00
2.79
3.49
0.00
0.00
0.00
0.39
3.54
75.20
10.10
1.44
0.00
8.27
1.05
2003
1,047
0.00
0.00
0.00
2.29
4.49
79.66
5.16
0.67
0.00
2.29
5.44
2004
1,645
0.12
0.43
0.18
1.34
3.10
77.87
4.50
0.49
0.30
2.19
9.48
2005
2,082
0.05
0.00
0.24
0.86
5.24
84.87
1.87
0.29
0.00
1.34
5.24
2006
2,711
0.00
0.00
0.00
0.44
3.17
89.89
2.91
0.11
0.00
0.48
2.99
2007
3,167
0.06
0.00
0.03
0.06
1.45
85.00
10.33
0.03
0.00
1.42
1.61
2008
5,348
0.02
0.02
0.00
0.00
0.56
45.51
16.75
24.31
0.04
11.85
0.93
2009
5,839
0.00
0.00
0.00
0.00
0.10
23.03
29.95
24.83
0.00
20.79
1.28
2010
5,109
0.00
0.04
0.04
0.22
1.72
56.92
25.25
6.56
0.00
6.81
2.45
2011
4,854
0.00
0.00
0.12
0.87
4.31
44.89
25.28
12.83
0.00
7.40
4.31
2012
4,010
0.00
0.02
0.55
1.12
6.76
48.45
31.62
1.75
0.00
1.87
7.86
2013
3,580
0.03
0.11
0.50
0.81
3.38
70.56
14.80
0.34
0.00
1.45
8.02
2014
3,305
0.06
0.06
0.51
1.00
3.24
77.49
8.99
0.27
0.00
1.54
6.84
Average
0.04
0.03
0.11
0.76
2.56
77.27
8.19
2.98
0.01
3.25
4.80
Median
0.00
0.00
0.00
0.28
2.46
82.98
3.87
0.31
0.00
1.68
2.30
Std. dev.
0.12
0.09
0.20
1.27
2.26
20.41
9.87
6.91
0.06
4.67
9.63
Min
0.00
0.00
0.00
0.00
0.00
23.03
0.00
0.00
0.00
0.00
0.00
Max
0.63
0.43
0.63
5.88
6.76
100.00
31.62
24.83
0.30
20.79
50.00
From 'CCC' rating
1976
0
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1988
2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 46
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
1989
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1990
3
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1991
3
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1992
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1993
9
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1994
12
0.00
0.00
0.00
0.00
0.00
0.00
41.67
0.00
33.33
0.00
25.00
1995
31
0.00
0.00
0.00
0.00
0.00
0.00
29.03
6.45
6.45
48.39
9.68
1996
25
0.00
0.00
0.00
0.00
0.00
0.00
44.00
28.00
4.00
20.00
4.00
1997
16
0.00
0.00
0.00
0.00
0.00
0.00
43.75
43.75
0.00
6.25
6.25
1998
14
0.00
0.00
0.00
0.00
0.00
0.00
78.57
7.14
0.00
14.29
0.00
1999
17
0.00
0.00
0.00
0.00
0.00
0.00
70.59
11.76
0.00
17.65
0.00
2000
20
0.00
0.00
0.00
0.00
5.00
0.00
70.00
15.00
0.00
5.00
5.00
2001
43
0.00
0.00
0.00
0.00
0.00
2.33
60.47
0.00
0.00
34.88
2.33
2002
75
0.00
1.33
0.00
0.00
0.00
1.33
53.33
10.67
0.00
32.00
1.33
2003
106
0.00
0.00
0.94
0.00
0.00
0.00
66.04
5.66
0.00
12.26
15.09
2004
143
0.00
0.00
0.00
0.70
0.70
5.59
65.03
5.59
0.00
15.38
6.99
2005
192
0.00
0.00
0.00
0.00
1.56
10.94
67.19
1.56
0.00
10.94
7.81
2006
183
0.55
0.00
0.00
0.55
1.09
4.37
62.84
6.56
0.00
16.94
7.10
2007
221
0.00
0.45
0.45
0.00
0.00
2.26
67.87
1.36
0.00
24.89
2.71
2008
2,419
0.00
0.00
0.00
0.04
0.00
0.04
16.25
21.12
0.00
62.13
0.41
2009
8,610
0.01
0.00
0.00
0.00
0.00
0.01
18.25
27.33
0.00
53.67
0.73
2010
8,059
0.00
0.01
0.00
0.04
0.30
1.17
58.20
23.02
0.00
15.56
1.71
2011
6,856
0.00
0.00
0.00
0.15
0.82
2.19
40.72
41.88
0.00
12.02
2.23
2012
4,685
0.00
0.00
0.04
0.13
1.56
3.52
69.16
12.06
0.00
9.95
3.59
2013
4,974
0.00
0.00
0.00
0.06
0.44
1.47
88.26
0.99
0.00
5.63
3.16
2014
5,060
0.02
0.02
0.08
0.08
0.45
1.50
88.34
0.61
0.00
5.67
3.22
Average
0.02
0.06
0.05
0.06
0.43
1.31
60.70
9.66
1.56
15.12
11.01
Median
0.00
0.00
0.00
0.00
0.00
0.00
65.54
5.63
0.00
11.48
3.19
Std. dev.
0.10
0.26
0.19
0.16
1.01
2.41
26.57
12.75
6.38
17.06
22.28
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.55
1.33
0.94
0.70
5.00
10.94
100.00
43.75
33.33
62.13
100.00
From 'CC'/'C' rating
1976
0
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
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JUNE 22, 2015 47
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 21
Global Structured Finance Weighted-Average One-Year Rating Transitions, 1976-2014 (%) (cont.)
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1996
4
0.00
0.00
0.00
0.00
0.00
0.00
1997
13
0.00
0.00
0.00
0.00
0.00
0.00
1998
17
0.00
0.00
0.00
0.00
0.00
1999
15
0.00
0.00
0.00
0.00
2000
18
0.00
0.00
0.00
2001
24
0.00
0.00
0.00
2002
35
0.00
0.00
2003
159
0.00
2004
174
0.00
2005
232
2006
0.00
0.00
71.43
28.57
0.00
0.00
0.00
100.00
0.00
7.69
46.15
0.00
46.15
0.00
0.00
5.88
58.82
0.00
35.29
0.00
0.00
0.00
6.67
66.67
0.00
26.67
0.00
0.00
0.00
0.00
11.11
83.33
0.00
5.56
0.00
0.00
0.00
0.00
12.50
75.00
0.00
12.50
0.00
0.00
5.71
0.00
0.00
8.57
40.00
0.00
14.29
31.43
0.00
0.00
0.00
0.00
0.00
13.84
38.36
0.00
46.54
1.26
0.00
0.00
0.00
0.00
0.57
36.78
45.40
0.00
12.64
4.60
0.00
0.00
0.00
0.00
0.00
0.43
42.67
33.19
0.00
20.26
3.45
207
0.00
0.00
0.00
0.00
0.48
0.48
33.33
35.75
0.00
19.81
10.14
2007
208
0.00
0.00
0.00
0.00
0.00
0.00
37.98
34.62
0.00
23.56
3.85
2008
350
0.00
0.00
0.00
0.00
0.00
0.00
31.43
43.43
0.00
23.14
2.00
2009
7,764
0.00
0.00
0.00
0.00
0.00
0.01
7.26
30.20
0.18
59.11
3.23
2010
12,427
0.00
0.00
0.00
0.01
0.09
0.35
12.42
49.34
0.11
34.84
2.84
2011
11,794
0.00
0.00
0.00
0.06
0.34
1.02
13.67
40.73
0.13
41.44
2.62
2012
10,682
0.00
0.00
0.00
0.02
0.25
1.25
9.58
42.56
0.13
40.25
5.96
2013
6,647
0.00
0.02
0.00
0.03
0.17
0.51
13.95
52.67
0.00
27.82
4.84
2014
4,645
0.00
0.00
0.00
0.06
0.15
1.12
17.16
54.47
0.00
22.28
4.76
Average
0.00
0.00
0.00
0.29
0.07
0.29
16.12
43.53
0.03
34.18
5.48
Median
0.00
0.00
0.00
0.00
0.00
0.00
12.46
42.99
0.00
27.24
3.04
Std. dev.
0.00
0.00
0.00
1.28
0.14
0.42
12.92
20.33
0.06
22.65
8.79
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.56
0.00
Max
0.00
0.02
0.00
5.71
0.48
1.25
42.67
83.33
0.18
100.00
31.43
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 48
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
Two-year period
ending at
year-end
Beginning no.
of ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1977
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1978
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
3
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
10
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
25
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
49
89.80
8.16
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.04
1983
69
91.30
4.35
1.45
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.90
1984
98
94.90
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.10
1985
170
95.88
0.59
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.53
1986
310
98.06
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.94
1987
556
96.40
0.00
0.00
0.00
0.18
0.00
0.00
0.00
0.00
0.00
3.42
1988
899
93.44
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.56
1989
1,336
91.77
0.37
0.07
0.00
0.00
0.00
0.00
0.00
0.00
0.00
7.78
1990
1,769
90.56
0.79
0.00
0.06
0.00
0.00
0.00
0.00
0.00
0.00
8.59
1991
2,011
87.62
1.19
0.00
0.05
0.00
0.00
0.00
0.00
0.00
0.00
11.14
1992
2,238
84.94
1.88
0.09
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.09
1993
2,503
87.65
1.00
0.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.23
1994
2,829
88.58
0.07
0.00
0.07
0.00
0.00
0.00
0.00
0.00
0.00
11.28
1995
3,299
87.63
0.24
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.12
1996
3,784
81.42
0.34
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
18.21
1997
4,306
78.89
0.46
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
20.62
1998
4,540
79.58
1.70
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
18.72
1999
4,975
76.72
1.55
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
21.73
2000
5,312
72.06
0.38
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
27.56
2001
5,733
72.06
0.17
0.16
0.03
0.00
0.00
0.03
0.00
0.00
0.05
27.49
2002
6,155
71.78
0.67
0.28
0.13
0.08
0.03
0.05
0.00
0.00
0.08
26.90
2003
6,952
65.30
0.60
0.70
0.49
0.23
0.07
0.01
0.01
0.00
0.00
32.57
2004
7,731
60.26
0.69
0.31
0.17
0.14
0.17
0.05
0.00
0.00
0.00
38.21
2005
8,748
63.83
0.70
0.09
0.02
0.06
0.02
0.00
0.00
0.00
0.00
35.28
2006
10,072
70.33
0.69
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
28.94
2007
12,189
74.72
0.51
0.11
0.03
0.00
0.02
0.01
0.00
0.00
0.02
24.59
2008
14,624
61.51
4.62
3.29
2.63
1.50
2.34
1.59
1.16
0.00
0.49
20.87
2009
16,335
45.58
4.72
3.40
4.25
3.29
3.55
11.61
2.37
0.00
2.30
18.93
2010
12,411
46.97
9.45
4.12
3.12
2.37
2.88
5.94
1.80
0.00
1.60
21.76
2011
8,827
46.11
13.64
4.70
1.89
2.01
1.98
1.39
0.71
0.00
0.50
27.06
2012
7,033
32.90
16.37
9.40
5.06
2.23
1.91
1.09
0.13
0.00
0.21
30.70
2013
5,223
31.32
14.70
8.41
5.49
3.03
2.07
0.94
0.02
0.00
0.13
33.89
From 'AAA' rating
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 49
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
2014
3,613
47.08
4.95
3.16
2.10
1.83
1.11
0.61
0.00
0.00
0.08
39.08
Average
77.82
2.51
1.05
0.68
0.45
0.42
0.61
0.16
0.00
0.14
16.15
Median
83.18
0.64
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.65
Std. dev.
19.76
4.31
2.27
1.48
0.94
0.94
2.10
0.51
0.00
0.45
12.38
Minimum
31.32
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
16.37
9.40
5.49
3.29
3.55
11.61
2.37
0.00
2.30
39.08
83.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'AA' rating
1977
0
1978
0
1979
0
1980
6
16.67
1981
21
4.76
95.24
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
26
0.00
96.15
3.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
43
0.00
93.02
4.65
2.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
72
0.00
95.83
4.17
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
91
0.00
95.60
0.00
3.30
0.00
0.00
0.00
0.00
0.00
0.00
1.10
1987
134
0.00
91.04
0.75
0.00
4.48
0.00
0.00
0.00
0.00
0.00
3.73
1988
255
0.78
91.37
0.00
3.92
0.00
0.00
1.18
0.00
0.00
1.57
1.18
1989
444
4.50
92.12
0.90
0.90
0.00
0.00
0.00
0.00
0.00
0.00
1.58
1990
628
2.23
66.88
24.68
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.21
1991
833
0.00
69.63
22.21
0.24
0.00
0.36
0.00
0.00
0.00
0.00
7.56
1992
935
0.64
88.77
2.57
0.21
0.11
0.43
0.00
0.00
0.00
0.00
7.27
1993
1,236
2.43
88.83
1.46
0.16
0.73
0.16
0.00
0.00
0.00
0.00
6.23
1994
1,551
7.93
76.92
4.32
0.77
0.06
0.52
0.32
0.00
0.00
0.00
9.16
1995
1,764
7.77
73.07
2.32
0.62
0.40
0.00
0.68
0.00
0.00
0.00
15.14
1996
1,782
4.60
75.65
0.51
0.22
0.00
0.00
0.00
0.00
0.00
0.00
19.02
1997
1,784
4.32
77.19
0.45
0.00
0.00
0.00
0.00
0.00
0.00
0.00
18.05
1998
1,779
3.99
78.02
0.51
0.00
0.00
0.00
0.00
0.00
0.00
0.00
17.48
1999
1,946
3.39
71.17
0.31
0.00
0.00
0.00
0.00
0.00
0.00
0.00
25.13
2000
2,149
11.45
59.56
0.23
0.09
0.00
0.00
0.14
0.00
0.00
0.00
28.52
2001
2,166
19.07
57.39
0.28
0.28
0.09
0.00
0.00
0.00
0.00
0.14
22.76
2002
2,153
17.79
58.38
2.74
0.84
0.33
0.05
0.19
0.00
0.00
0.19
19.51
2003
2,507
15.36
54.37
3.55
1.40
0.68
1.16
0.08
0.00
0.00
0.12
23.29
2004
3,307
14.18
53.64
2.06
0.70
0.57
0.73
0.67
0.00
0.00
0.12
27.34
2005
4,535
14.82
59.10
1.26
0.33
0.18
0.07
0.00
0.00
0.00
0.00
24.26
2006
6,884
11.26
69.42
1.32
0.32
0.06
0.01
0.00
0.00
0.00
0.00
17.61
2007
10,264
6.25
78.35
1.56
0.61
0.16
0.13
0.08
0.00
0.00
0.03
12.83
2008
14,548
2.67
58.19
3.78
3.68
2.85
5.43
10.03
3.19
0.04
1.19
8.94
2009
16,892
0.87
32.45
5.22
3.85
4.23
5.36
16.96
10.96
0.08
10.83
9.18
2010
11,824
1.07
35.54
9.13
6.75
5.84
6.60
12.36
4.96
0.00
5.35
12.42
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 50
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
2011
7,120
3.30
47.54
11.35
5.80
3.92
4.56
4.51
2.29
0.00
1.03
15.70
2012
6,411
5.91
2013
5,873
6.39
40.26
8.49
7.22
6.57
5.85
5.05
0.53
0.00
0.33
19.79
38.19
10.20
6.74
5.36
3.93
2.66
0.03
0.00
0.32
26.17
2014
5,207
7.84
50.05
6.07
1.75
1.27
1.08
1.33
0.02
0.00
0.10
30.52
Average
5.78
71.21
4.02
1.52
1.08
1.04
1.61
0.63
0.00
0.61
12.50
Median
4.32
73.07
2.06
0.33
0.06
0.00
0.00
0.00
0.00
0.00
12.42
Std. dev.
5.80
19.67
5.74
2.21
1.95
2.02
3.87
2.08
0.02
2.02
9.87
Min
0.00
32.45
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
19.07
100.00
24.68
7.22
6.57
6.60
16.96
10.96
0.08
10.83
30.52
0.00
From 'A' rating
1977
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1978
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1980
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1981
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
6
0.00
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1986
9
0.00
0.00
88.89
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
1987
19
0.00
0.00
73.68
15.79
0.00
0.00
0.00
0.00
0.00
0.00
10.53
1988
19
0.00
0.00
89.47
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.53
1989
29
0.00
0.00
96.55
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.45
1990
45
0.00
2.22
95.56
2.22
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
111
0.00
0.90
89.19
7.21
0.00
0.90
0.00
0.00
0.00
0.00
1.80
1992
354
0.00
0.00
92.94
1.69
0.00
0.28
1.69
0.00
0.00
0.00
3.39
1993
533
0.00
0.00
92.12
1.88
0.00
0.00
0.38
0.00
0.00
0.00
5.63
1994
793
1.51
10.21
75.16
2.90
0.00
0.25
2.02
0.38
0.00
0.00
7.57
1995
935
2.03
8.66
62.46
2.03
0.11
0.00
0.43
0.21
0.00
1.07
22.99
1996
1,023
1.66
1.56
76.74
0.88
0.10
0.10
0.00
0.10
0.00
0.10
18.77
1997
1,071
0.56
1.40
80.21
1.12
0.19
0.00
0.00
0.00
0.00
0.09
16.43
1998
1,352
0.81
1.41
76.18
2.66
0.00
0.00
0.00
0.00
0.00
0.30
18.64
1999
1,563
0.45
2.75
72.94
0.58
0.00
0.00
0.00
0.00
0.00
0.83
22.46
2000
1,775
3.89
4.85
63.94
1.63
0.17
0.06
0.00
0.00
0.00
0.06
25.41
2001
2,083
6.53
5.57
61.40
2.64
0.38
0.34
0.38
0.00
0.00
0.34
22.42
2002
2,307
4.42
7.07
64.89
3.73
0.74
0.35
0.95
0.26
0.00
0.39
17.21
2003
2,896
4.18
7.18
55.46
11.05
1.73
0.69
1.14
0.17
0.00
0.35
18.06
2004
4,059
4.39
7.54
54.20
9.19
0.96
0.30
0.67
0.02
0.00
0.44
22.30
2005
5,228
5.05
10.48
61.55
0.82
0.42
0.42
0.10
0.00
0.00
0.02
21.14
2006
7,261
3.42
10.01
68.70
1.13
0.15
0.10
0.04
0.00
0.00
0.03
16.43
2007
10,113
1.95
6.74
71.77
2.37
1.53
0.93
0.69
0.01
0.00
0.04
13.96
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
2008
13,747
0.74
2.89
49.87
4.38
3.80
3.55
13.65
8.32
0.00
2.79
2009
14,550
0.24
1.57
2010
10,822
0.34
1.45
2011
7,052
0.65
2012
6,052
2013
2014
10.01
29.71
5.15
4.63
6.71
13.59
13.79
0.01
17.07
7.54
29.26
10.41
7.71
9.06
13.20
7.69
0.00
8.34
12.53
4.42
41.97
10.55
7.05
6.52
6.51
3.84
0.00
1.59
16.89
2.05
9.34
42.04
6.13
5.57
5.92
8.23
1.31
0.00
0.20
19.23
5,393
2.34
8.79
41.98
7.29
5.95
3.99
3.80
0.15
0.00
0.35
25.37
5,049
1.78
8.30
54.96
4.34
2.55
1.27
1.29
0.08
0.00
0.12
25.31
Average
1.29
3.30
68.96
3.15
1.15
1.10
1.81
0.96
0.00
0.91
17.38
Median
0.39
1.51
72.35
1.79
0.00
0.03
0.00
0.00
0.00
0.02
15.20
Std. dev.
1.77
3.75
26.45
3.92
2.17
2.28
3.88
2.85
0.00
3.04
21.77
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
6.53
10.48
100.00
15.79
7.71
9.06
13.65
13.79
0.01
17.07
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'BBB' rating
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
1
1987
0
1988
3
0.00
0.00
0.00
1989
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
16
43.75
0.00
37.50
12.50
0.00
0.00
0.00
0.00
0.00
0.00
6.25
1991
19
0.00
0.00
0.00
68.42
5.26
0.00
0.00
0.00
0.00
0.00
26.32
1992
26
0.00
0.00
3.85
88.46
0.00
3.85
0.00
0.00
0.00
0.00
3.85
1993
58
0.00
0.00
1.72
77.59
5.17
0.00
8.62
0.00
0.00
1.72
5.17
1994
96
0.00
0.00
3.13
87.50
3.13
1.04
3.13
0.00
0.00
0.00
2.08
1995
185
0.00
1.62
4.86
84.32
1.62
0.00
0.54
0.00
0.00
1.08
5.95
1996
327
1.22
1.53
3.67
70.64
8.56
2.14
1.83
0.61
0.00
0.61
9.17
1997
429
0.70
0.47
3.26
78.55
6.76
0.93
0.23
0.23
0.00
0.00
8.86
1998
516
0.00
0.58
2.71
87.40
1.74
0.19
0.00
0.00
0.00
0.19
7.17
1999
753
0.13
0.66
3.05
84.20
2.26
0.13
0.27
0.00
0.00
0.27
9.03
2000
1,062
1.41
4.33
3.95
68.08
2.17
7.82
0.28
0.00
0.00
0.28
11.68
2001
1,391
3.24
5.61
3.67
64.41
1.22
7.19
1.08
0.00
0.00
0.72
12.87
2002
1,653
2.24
4.30
4.78
68.18
2.78
1.03
1.33
0.67
0.00
1.21
13.49
2003
2,520
1.23
3.45
5.75
61.27
3.21
3.33
2.30
0.83
0.00
1.75
16.87
2004
3,808
1.50
4.15
5.72
58.01
2.55
1.81
1.47
0.16
0.00
1.18
23.45
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
2005
5,811
2.07
3.60
7.37
62.21
1.67
0.77
0.79
0.12
0.00
0.36
21.05
2006
7,941
2.64
2.44
6.37
69.15
1.78
0.50
0.67
0.03
0.00
0.24
16.18
2007
10,879
1.88
0.99
4.13
66.38
4.07
3.71
3.63
0.01
0.00
0.59
14.62
2008
14,438
0.62
0.37
1.86
44.43
4.52
4.61
12.43
13.33
0.00
7.92
9.90
2009
14,472
0.18
0.07
1.13
26.26
5.49
6.41
12.65
17.71
0.00
22.95
7.15
2010
10,506
0.30
0.17
0.86
21.94
10.21
11.63
19.63
11.46
0.00
13.43
10.37
2011
6,581
0.14
1.12
3.92
32.88
12.10
9.89
12.05
7.19
0.00
4.66
16.05
2012
5,414
0.42
2.77
8.85
37.94
8.64
8.68
10.44
2.40
0.00
1.50
18.36
2013
4,449
0.85
3.78
10.14
37.65
9.53
8.59
6.52
0.13
0.00
0.74
22.07
2014
4,300
0.58
2.37
7.95
52.28
6.77
3.79
2.93
0.07
0.00
0.37
22.88
3.52
1.59
7.39
57.52
3.97
3.15
3.67
1.96
0.00
2.21
15.03
Median
0.60
0.83
3.88
65.39
2.95
1.43
1.20
0.02
0.00
0.48
11.02
Std. dev.
10.03
1.75
13.48
27.29
3.43
3.58
5.24
4.61
0.00
4.98
18.14
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
43.75
5.61
66.67
100.00
12.10
11.63
19.63
17.71
0.00
22.95
100.00
Average
From 'BB' rating
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
8
0.00
0.00
0.00
0.00
12.50
0.00
12.50
0.00
0.00
50.00
25.00
1990
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1991
3
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
0.00
0.00
66.67
1992
2
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
5
0.00
0.00
0.00
20.00
80.00
0.00
0.00
0.00
0.00
0.00
0.00
1994
13
0.00
0.00
0.00
0.00
84.62
0.00
15.38
0.00
0.00
0.00
0.00
1995
62
0.00
0.00
0.00
0.00
75.81
1.61
0.00
0.00
3.23
11.29
8.06
1996
107
0.00
0.00
0.00
0.00
87.85
1.87
1.87
0.00
0.00
3.74
4.67
1997
174
0.00
0.00
0.00
0.57
85.06
4.02
0.57
3.45
0.00
1.15
5.17
1998
266
0.00
0.00
0.00
1.13
90.60
1.88
0.75
0.00
0.00
1.13
4.51
1999
354
0.00
0.00
0.00
2.54
87.57
2.82
0.56
0.56
0.00
0.85
5.08
2000
509
0.00
0.98
2.55
8.45
74.26
2.95
1.96
0.98
0.00
0.39
7.47
2001
634
0.47
3.15
3.94
8.83
65.46
4.42
2.52
0.00
0.00
1.89
9.31
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
2002
774
0.13
1.94
4.39
9.04
61.11
3.36
2.58
2.20
0.90
4.65
9.69
2003
1,122
0.00
1.16
2.85
7.13
58.73
5.61
3.74
2.32
0.00
4.01
14.44
2004
1,730
0.46
1.33
3.58
6.65
56.07
4.80
3.24
0.75
0.29
2.66
20.17
2005
2,354
0.64
1.44
2.34
9.60
62.70
2.46
1.66
0.21
0.00
1.49
17.46
2006
3,212
0.56
0.50
2.52
8.47
71.82
2.27
0.68
0.19
0.00
0.75
12.24
2007
4,683
0.64
0.19
0.51
4.23
69.21
6.56
5.59
0.06
0.00
1.94
11.06
2008
6,266
0.21
0.05
0.10
1.87
50.51
7.12
9.46
11.35
0.00
12.03
7.31
2009
7,816
0.03
0.03
0.12
0.68
23.35
6.50
14.11
17.27
0.00
33.55
4.38
2010
6,494
0.05
0.09
0.32
0.54
15.06
11.26
26.50
17.05
0.00
22.77
6.36
2011
4,997
0.00
0.44
1.10
3.42
26.74
16.55
20.51
10.73
0.00
9.11
11.41
2012
4,174
0.17
0.65
2.08
11.04
25.83
16.34
19.60
5.68
0.00
3.52
15.09
2013
3,546
0.17
0.93
2.68
11.51
30.15
16.95
14.55
0.62
0.00
2.57
19.88
2014
3,249
0.25
0.77
2.12
6.99
49.46
12.34
6.19
0.09
0.00
1.32
20.47
Average
0.13
0.46
1.04
4.09
62.59
4.39
5.49
2.45
0.15
5.69
13.53
Median
0.00
0.01
0.05
1.50
67.33
2.64
1.92
0.08
0.00
1.41
7.77
Std. dev.
0.21
0.74
1.43
5.03
29.90
5.27
7.47
4.95
0.61
11.17
20.72
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.64
3.15
4.39
20.00
100.00
16.95
26.50
17.27
3.23
50.00
100.00
From 'B' rating
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
1
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
1991
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1992
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1993
5
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
1994
17
0.00
0.00
0.00
11.76
17.65
41.18
0.00
0.00
0.00
11.76
17.65
1995
55
0.00
0.00
0.00
1.82
5.45
76.36
7.27
0.00
0.00
1.82
7.27
1996
107
0.93
0.00
0.00
0.00
0.00
84.11
3.74
6.54
0.00
2.80
1.87
1997
160
0.63
0.00
0.63
0.00
0.63
90.63
2.50
0.63
0.00
1.25
3.13
1998
232
0.00
0.00
0.00
0.00
2.16
89.22
1.29
0.86
0.00
3.45
3.02
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 54
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
1999
274
0.00
0.00
0.00
1.09
2.19
87.96
1.46
1.46
0.00
4.38
1.46
2000
362
0.00
0.00
0.28
2.76
6.35
77.62
3.59
1.10
0.00
3.59
4.70
2001
433
0.00
0.46
0.92
3.46
9.47
67.67
4.39
0.46
0.00
5.08
8.08
2002
573
0.00
0.00
0.17
3.14
7.16
56.89
13.26
0.87
0.00
13.26
5.24
2003
762
0.00
0.13
0.52
2.76
4.46
55.12
6.69
1.84
0.00
18.11
10.37
2004
1,047
0.10
0.76
0.57
2.87
4.78
55.30
6.11
1.05
0.00
4.68
23.78
2005
1,645
0.30
0.24
0.67
2.07
8.15
61.64
4.86
0.43
0.00
4.62
17.02
2006
2,082
0.05
0.05
0.62
1.49
7.30
74.02
4.37
0.34
0.00
2.26
9.51
2007
2,711
0.15
0.04
0.11
0.59
4.17
79.38
8.26
0.22
0.00
2.07
5.02
2008
3,167
0.09
0.03
0.00
0.09
2.21
58.26
17.62
8.30
0.06
10.51
2.81
2009
5,348
0.00
0.00
0.00
0.00
0.45
16.83
12.30
18.61
0.00
50.11
1.70
2010
5,839
0.00
0.02
0.00
0.00
0.26
10.12
20.72
23.10
0.00
42.95
2.83
2011
5,109
0.00
0.08
0.16
0.94
3.23
23.86
26.64
19.16
0.00
19.89
6.05
2012
4,854
0.02
0.10
0.64
1.67
7.29
22.04
31.83
13.43
0.00
12.94
10.03
2013
4,010
0.02
0.17
0.87
2.27
6.81
32.59
35.86
1.85
0.00
5.19
14.36
2014
3,580
0.06
0.11
0.87
1.51
4.61
55.25
18.77
0.47
0.00
3.66
14.69
Average
0.09
0.09
0.28
1.61
4.19
60.64
9.26
4.03
0.00
8.98
10.82
Median
0.00
0.00
0.11
1.09
4.17
58.26
4.86
0.86
0.00
4.38
6.05
Std. dev.
0.22
0.18
0.34
2.43
4.13
25.85
10.38
6.91
0.01
12.64
13.28
Min
0.00
0.00
0.00
0.00
0.00
10.12
0.00
0.00
0.00
0.00
0.00
Max
0.93
0.76
0.92
11.76
17.65
100.00
35.86
23.10
0.06
50.11
50.00
From 'CCC' rating
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1989
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1990
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1991
3
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1992
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1993
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1994
9
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
44.44
0.00
33.33
1995
12
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
33.33
33.33
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Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
1996
31
0.00
0.00
0.00
0.00
0.00
0.00
16.13
3.23
3.23
64.52
12.90
1997
25
0.00
0.00
0.00
0.00
0.00
0.00
24.00
28.00
0.00
40.00
8.00
1998
16
0.00
0.00
0.00
0.00
0.00
0.00
37.50
37.50
0.00
18.75
6.25
1999
14
0.00
0.00
0.00
0.00
0.00
0.00
57.14
7.14
0.00
35.71
0.00
2000
17
0.00
0.00
0.00
0.00
5.88
0.00
58.82
11.76
0.00
17.65
5.88
2001
20
0.00
0.00
0.00
0.00
5.00
5.00
55.00
10.00
0.00
20.00
5.00
2002
43
0.00
0.00
0.00
0.00
0.00
2.33
51.16
2.33
0.00
39.53
4.65
2003
75
0.00
0.00
0.00
0.00
0.00
0.00
29.33
6.67
0.00
40.00
24.00
2004
106
0.00
0.94
0.00
0.00
0.00
1.89
51.89
11.32
0.00
16.04
17.92
2005
143
0.00
0.00
0.70
1.40
2.10
9.09
45.45
0.70
0.00
27.27
13.29
2006
192
0.52
0.00
0.00
1.04
1.04
11.98
44.27
6.25
0.00
19.27
15.63
2007
183
0.55
0.00
0.55
0.00
2.19
4.92
48.63
2.73
0.00
28.96
11.48
2008
221
0.00
0.00
0.45
0.45
0.00
2.71
55.20
3.62
0.00
33.48
4.07
2009
2,419
0.00
0.00
0.00
0.04
0.00
0.04
3.64
14.14
0.00
81.27
0.87
2010
8,610
0.00
0.01
0.00
0.00
0.08
0.06
8.32
16.90
0.00
73.21
1.43
2011
8,059
0.00
0.00
0.04
0.25
0.89
1.85
21.19
35.91
0.00
37.00
2.87
2012
6,856
0.00
0.00
0.06
0.25
1.58
3.40
25.22
31.34
0.00
33.53
4.62
2013
4,685
0.00
0.00
0.09
0.26
1.60
3.74
59.38
8.92
0.00
19.55
6.47
2014
4,974
0.02
0.02
0.10
0.24
0.70
1.87
77.91
1.33
0.00
11.36
6.45
Average
0.04
0.04
0.07
0.15
0.78
1.81
44.16
8.88
1.77
25.57
16.73
Median
0.00
0.00
0.00
0.00
0.00
0.00
45.45
3.62
0.00
20.00
6.47
Std. dev.
0.14
0.18
0.18
0.34
1.52
3.01
25.80
11.50
8.55
22.38
22.59
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.55
0.94
0.70
1.40
5.88
11.98
100.00
37.50
44.44
81.27
100.00
From 'CC'/'C' rating
1977
0
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
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Table 22
Global Structured Finance Weighted-Average Two-Year Rating Transitions, 1976-2014 (%) (cont.)
1993
0
1994
0
1995
0
1996
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
71.43
28.57
1997
4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
1998
13
0.00
0.00
0.00
0.00
0.00
0.00
7.69
30.77
0.00
61.54
0.00
1999
17
0.00
0.00
0.00
0.00
0.00
0.00
5.88
47.06
0.00
47.06
0.00
2000
15
0.00
0.00
0.00
0.00
0.00
0.00
6.67
60.00
0.00
33.33
0.00
2001
18
0.00
0.00
0.00
0.00
0.00
0.00
5.56
83.33
0.00
11.11
0.00
2002
24
0.00
0.00
0.00
8.33
0.00
0.00
0.00
29.17
0.00
20.83
41.67
2003
35
0.00
0.00
0.00
5.71
0.00
0.00
2.86
37.14
0.00
22.86
31.43
2004
159
0.00
0.00
0.00
0.00
0.00
1.26
11.32
35.22
0.00
47.17
5.03
2005
174
0.00
0.00
0.00
0.00
0.00
1.15
29.89
39.66
0.00
21.26
8.05
2006
232
0.00
0.00
0.00
0.00
0.86
0.86
24.57
26.72
0.00
34.91
12.07
2007
207
0.00
0.00
0.00
0.00
0.00
0.48
20.77
30.92
0.00
35.27
12.56
2008
208
0.00
0.00
0.00
0.00
0.00
0.00
30.77
32.69
0.00
29.81
6.73
2009
350
0.00
0.00
0.00
0.00
0.00
0.00
18.57
38.57
0.00
39.43
3.43
2010
7,764
0.00
0.00
0.00
0.00
0.01
0.09
2.87
26.97
0.18
66.01
3.86
2011
12,427
0.00
0.00
0.00
0.07
0.24
1.01
7.08
26.34
0.12
60.29
4.85
2012
11,794
0.00
0.00
0.00
0.15
0.66
1.77
6.83
16.33
0.12
66.64
7.50
2013
10,682
0.00
0.01
0.05
0.06
0.44
1.26
6.44
28.39
0.00
54.44
8.91
2014
6,647
0.00
0.02
0.00
0.08
0.21
1.43
10.19
37.25
0.00
42.56
8.27
Average
0.00
0.00
0.00
0.76
0.13
0.49
10.42
32.98
0.02
45.58
9.63
Median
0.00
0.00
0.00
0.00
0.00
0.00
6.83
30.92
0.00
42.56
6.73
Std. dev.
0.00
0.00
0.01
2.25
0.25
0.63
9.76
18.55
0.05
21.88
11.72
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
0.00
Max
0.00
0.02
0.05
8.33
0.86
1.77
30.77
83.33
0.18
100.00
41.67
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
Three year period
ending at
year-end
Beginning no.
of ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1978
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
3
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
10
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
25
96.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.00
1983
49
87.76
6.12
2.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.08
From 'AAA' rating
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
1984
69
85.51
4.35
1.45
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.70
1985
98
91.84
1.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
7.14
1986
170
94.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.88
1987
310
94.19
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
5.81
1988
556
90.65
0.00
0.00
0.00
0.00
0.00
0.18
0.00
0.00
0.00
9.17
1989
899
86.76
0.56
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.68
1990
1,336
85.48
0.67
0.00
0.07
0.00
0.00
0.00
0.00
0.00
0.00
13.77
1991
1,769
83.15
1.24
0.00
0.06
0.00
0.00
0.00
0.00
0.00
0.00
15.55
1992
2,011
79.26
1.69
0.10
0.05
0.00
0.00
0.00
0.00
0.00
0.00
18.90
1993
2,238
80.25
1.47
0.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
18.10
1994
2,503
80.06
0.40
0.40
0.12
0.04
0.00
0.04
0.00
0.00
0.00
18.94
1995
2,829
82.43
0.25
0.00
0.04
0.04
0.00
0.00
0.00
0.00
0.00
17.25
1996
3,299
75.02
0.33
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
24.61
1997
3,784
72.28
0.69
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
27.01
1998
4,306
67.81
1.60
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
30.56
1999
4,540
68.28
1.43
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
30.29
2000
4,975
61.27
1.23
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
37.51
2001
5,312
60.26
0.40
0.13
0.04
0.00
0.00
0.04
0.00
0.00
0.06
39.08
2002
5,733
58.22
0.40
0.28
0.07
0.07
0.03
0.05
0.00
0.00
0.09
40.78
2003
6,155
55.09
0.49
0.63
0.41
0.19
0.05
0.03
0.03
0.00
0.08
42.99
2004
6,952
46.20
0.73
0.50
0.27
0.29
0.27
0.17
0.01
0.00
0.00
51.54
2005
7,731
47.10
0.80
0.27
0.13
0.18
0.18
0.05
0.00
0.00
0.00
51.29
2006
8,748
50.90
0.58
0.13
0.06
0.05
0.00
0.03
0.00
0.00
0.00
48.25
2007
10,072
58.32
0.53
0.09
0.01
0.00
0.02
0.01
0.00
0.00
0.01
41.01
2008
12,189
55.01
4.01
2.35
1.53
0.61
0.40
0.77
0.30
0.00
0.09
34.93
2009
14,624
42.05
4.10
3.02
3.68
2.65
2.71
8.49
2.08
0.00
2.02
29.21
2010
16,335
32.48
7.09
3.93
3.60
2.68
3.20
9.14
4.99
0.00
5.32
27.57
2011
12,411
30.69
11.96
4.79
2.66
2.85
3.26
5.41
3.88
0.00
2.92
31.58
2012
8,827
23.03
16.44
8.30
4.94
2.63
2.42
2.23
0.70
0.00
0.76
38.54
2013
7,033
18.03
14.15
10.05
5.74
3.27
2.96
1.73
0.13
0.00
0.36
43.58
2014
5,223
23.72
12.46
7.75
5.07
3.62
2.87
1.19
0.02
0.00
0.21
43.08
Average
69.28
2.63
1.25
0.77
0.52
0.50
0.80
0.33
0.00
0.32
23.60
Median
75.02
0.69
0.09
0.03
0.00
0.00
0.00
0.00
0.00
0.00
24.61
Std. dev.
24.26
4.32
2.54
1.64
1.10
1.08
2.18
1.07
0.00
1.03
16.35
Minimum
18.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
16.44
10.05
5.74
3.62
3.26
9.14
4.99
0.00
5.32
51.54
16.67
83.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'AA' rating
1978
0
1979
0
1980
0
1981
6
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
1982
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
26
0.00
96.15
3.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
43
0.00
86.05
9.30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.65
1986
72
0.00
95.83
0.00
4.17
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
91
0.00
87.91
0.00
3.30
6.59
0.00
0.00
0.00
0.00
0.00
2.20
1988
134
0.00
82.84
0.75
7.46
0.00
0.00
1.49
0.00
0.00
2.99
4.48
1989
255
8.63
83.92
1.57
1.57
0.00
0.00
0.39
0.00
0.00
1.57
2.35
1990
444
4.50
61.71
24.77
0.00
0.00
0.00
0.00
0.00
0.00
0.00
9.01
1991
628
1.59
63.38
25.00
0.96
0.00
0.48
0.00
0.00
0.00
0.00
8.60
1992
833
0.72
65.55
22.09
0.24
0.12
0.48
0.00
0.00
0.00
0.00
10.80
1993
935
3.10
81.93
1.60
0.21
0.86
0.53
0.11
0.00
0.00
0.11
11.55
1994
1,236
9.79
69.66
4.05
1.05
0.00
0.73
1.13
0.24
0.00
0.00
13.35
1995
1,551
10.32
65.18
2.97
0.77
0.45
0.00
0.77
0.06
0.06
0.00
19.41
1996
1,764
7.60
61.51
1.93
0.45
0.06
0.28
0.45
0.34
0.06
0.06
27.27
1997
1,782
7.35
66.89
0.73
0.17
0.00
0.00
0.00
0.00
0.00
0.00
24.86
1998
1,784
5.10
66.59
0.73
0.06
0.00
0.00
0.00
0.00
0.00
0.00
27.52
1999
1,779
4.38
61.72
0.34
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.56
2000
1,946
12.90
46.97
0.00
0.21
0.00
0.00
0.15
0.00
0.00
0.00
39.77
2001
2,149
19.50
43.88
0.19
0.51
0.05
0.00
0.00
0.00
0.00
0.14
35.74
2002
2,166
21.33
41.92
1.43
0.92
0.18
0.05
0.14
0.00
0.00
0.32
33.70
2003
2,153
17.65
39.15
3.07
1.39
0.60
1.02
0.05
0.14
0.00
0.33
36.60
2004
2,507
12.60
37.50
2.71
1.20
0.88
1.12
1.00
0.00
0.00
0.28
42.72
2005
3,307
16.42
37.59
2.09
0.57
0.64
0.82
0.54
0.00
0.00
0.24
41.09
2006
4,535
16.96
46.28
1.46
0.31
0.22
0.20
0.02
0.00
0.00
0.00
34.55
2007
6,884
11.77
59.79
1.32
0.54
0.17
0.22
0.09
0.00
0.00
0.03
26.07
2008
10,264
5.76
62.97
3.07
2.66
1.71
1.99
2.26
1.10
0.00
0.13
18.36
2009
14,548
1.99
32.20
4.57
3.72
3.75
4.69
14.46
9.15
0.04
11.33
14.08
2010
16,892
1.00
23.18
6.55
4.54
3.63
5.59
13.53
8.07
0.08
20.74
13.10
2011
11,824
1.51
24.93
9.18
5.42
4.99
7.52
10.01
9.46
0.00
9.44
17.54
2012
7,120
4.49
26.31
10.25
7.53
7.26
7.28
8.31
2.32
0.00
1.95
24.30
2013
6,411
5.83
26.75
8.80
6.83
6.75
6.41
7.14
0.50
0.00
0.72
30.26
2014
5,873
7.29
26.48
10.18
5.82
4.61
4.00
4.29
0.03
0.00
0.41
36.88
Average
6.96
60.47
4.84
1.84
1.28
1.28
1.95
0.92
0.01
1.49
18.95
Median
5.43
62.34
2.01
0.67
0.09
0.12
0.10
0.00
0.00
0.01
17.95
Std. dev.
6.54
23.83
6.83
2.38
2.24
2.29
3.94
2.56
0.02
4.22
14.19
Min
0.00
23.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
21.33
100.00
25.00
7.53
7.26
7.52
14.46
9.46
0.08
20.74
42.72
From 'A' rating
1978
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1979
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
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Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
1980
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1981
1
0.00
1982
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
6
0.00
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1987
9
0.00
0.00
88.89
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
1988
19
0.00
0.00
68.42
15.79
0.00
0.00
0.00
0.00
0.00
0.00
15.79
1989
19
0.00
0.00
89.47
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.53
1990
29
0.00
3.45
89.66
3.45
0.00
0.00
0.00
0.00
0.00
0.00
3.45
1991
45
0.00
2.22
93.33
2.22
0.00
0.00
0.00
0.00
0.00
0.00
2.22
1992
111
0.00
0.90
82.88
0.90
0.00
0.90
5.41
0.00
0.00
0.00
9.01
1993
354
0.00
0.00
89.27
1.69
0.56
0.28
1.69
0.00
0.00
0.00
6.50
1994
533
2.25
14.45
65.48
3.00
0.00
0.19
1.50
0.00
0.38
0.00
12.76
1995
793
2.40
10.09
52.84
2.65
0.13
0.00
0.50
0.13
0.13
1.77
29.38
1996
935
1.93
8.02
61.82
0.96
0.64
0.11
0.11
0.32
0.00
1.50
24.60
1997
1,023
1.86
1.66
68.23
0.88
0.20
0.10
0.00
0.10
0.00
0.10
26.88
1998
1,071
1.21
2.05
64.71
1.12
0.09
0.00
0.00
0.00
0.00
0.09
30.72
1999
1,352
0.67
2.74
62.57
2.88
0.00
0.00
0.00
0.00
0.00
0.30
30.84
2000
1,563
4.16
5.95
49.26
0.96
0.06
0.13
0.06
0.00
0.00
0.83
38.58
2001
1,775
7.38
6.70
45.75
1.92
0.45
0.34
0.39
0.00
0.00
0.45
36.62
2002
2,083
7.44
7.25
46.38
2.98
0.43
0.53
0.77
0.48
0.00
0.72
33.03
2003
2,307
5.90
7.24
41.05
9.28
1.43
0.95
1.39
0.69
0.00
0.65
31.43
2004
2,896
4.70
6.15
39.33
9.88
1.42
0.62
1.28
0.41
0.00
0.90
35.32
2005
4,059
7.66
9.44
38.11
7.44
0.86
0.32
0.71
0.00
0.00
0.64
34.81
2006
5,228
5.80
12.95
46.75
1.22
0.31
0.40
0.25
0.00
0.00
0.06
32.27
2007
7,261
3.88
10.99
54.99
1.75
0.99
0.63
0.40
0.00
0.00
0.07
26.29
2008
10,113
1.55
6.02
51.67
4.71
3.65
3.06
6.64
2.60
0.00
0.95
19.15
2009
13,747
0.56
2.62
25.66
4.60
4.23
5.68
11.89
12.13
0.00
19.17
13.46
2010
14,550
0.33
1.44
18.45
7.00
5.91
6.74
12.12
11.59
0.00
25.57
10.85
2011
10,822
0.39
1.99
20.84
8.67
6.01
7.60
10.77
12.16
0.00
13.86
17.71
2012
7,052
1.49
5.15
27.47
8.78
6.07
6.71
11.67
4.01
0.00
2.68
25.98
2013
6,052
2.92
7.52
30.17
5.78
5.67
5.80
9.73
1.17
0.00
0.93
30.30
2014
5,393
2.93
8.46
31.34
6.55
5.28
3.95
4.97
0.11
0.00
0.52
35.90
Average
1.82
3.93
57.07
3.16
1.20
1.22
2.22
1.24
0.01
1.94
26.18
Median
0.56
2.22
54.99
1.75
0.09
0.11
0.11
0.00
0.00
0.07
25.98
Std. dev.
2.42
4.21
30.32
3.74
2.06
2.28
3.95
3.32
0.06
5.51
25.59
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
7.66
14.45
100.00
15.79
6.07
7.60
12.12
12.16
0.38
25.57
100.00
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
From 'BBB' rating
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
1
1988
0
1989
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
16
43.75
0.00
37.50
12.50
0.00
0.00
0.00
0.00
0.00
0.00
6.25
1992
19
0.00
0.00
0.00
68.42
0.00
5.26
0.00
0.00
0.00
0.00
26.32
1993
26
0.00
0.00
3.85
88.46
3.85
0.00
0.00
0.00
0.00
0.00
3.85
1994
58
0.00
0.00
1.72
70.69
5.17
1.72
3.45
0.00
3.45
1.72
12.07
1995
96
0.00
3.13
9.38
72.92
3.13
0.00
3.13
0.00
0.00
4.17
4.17
1996
185
1.08
2.16
6.49
71.35
1.62
0.54
0.54
0.00
0.00
1.62
14.59
1997
327
1.53
1.83
3.98
64.83
8.26
2.14
1.22
0.92
0.00
0.92
14.37
1998
429
0.70
0.93
4.43
70.63
7.93
0.70
0.00
0.47
0.00
0.23
13.99
1999
516
0.19
1.36
4.65
76.36
1.74
0.19
0.19
0.00
0.00
0.19
15.12
2000
753
1.86
5.98
5.98
56.57
2.39
8.50
0.40
0.00
0.00
0.80
17.53
2001
1,062
4.43
6.87
4.61
53.67
1.69
7.91
1.13
0.00
0.00
1.04
18.64
2002
1,391
6.18
5.18
4.53
50.18
2.30
1.51
5.03
0.50
0.00
3.67
20.92
2003
1,653
2.96
4.78
6.59
48.03
2.72
2.60
2.78
1.27
0.00
2.60
25.65
2004
2,520
2.02
3.69
5.40
43.02
2.94
3.06
2.86
0.99
0.00
2.94
33.10
2005
3,808
2.39
4.57
8.17
40.47
2.94
1.42
1.52
0.32
0.00
1.86
36.34
2006
5,811
4.22
4.20
8.60
46.14
2.31
0.81
1.55
0.21
0.00
0.74
31.23
2007
7,941
3.43
2.78
6.65
51.66
2.98
2.75
2.72
0.08
0.00
0.99
25.97
2008
10,879
1.76
0.89
3.89
44.23
4.73
5.01
9.49
5.97
0.00
4.86
19.17
2009
14,438
0.60
0.23
1.75
21.44
4.45
4.83
9.72
16.52
0.00
27.67
12.79
2010
14,472
0.23
0.15
0.93
13.66
6.86
7.65
13.06
15.73
0.00
31.43
10.28
2011
10,506
0.06
0.41
1.18
15.06
8.86
7.80
13.30
15.04
0.00
22.13
16.17
2012
6,581
0.38
1.75
4.76
21.46
9.28
8.80
14.42
6.94
0.00
8.04
24.18
2013
5,414
1.07
3.58
8.59
24.92
8.27
8.29
12.01
2.07
0.00
2.79
28.41
2014
4,449
1.30
4.09
9.28
28.10
8.29
8.32
7.17
0.27
0.00
1.21
31.96
Average
5.44
2.17
10.60
42.77
3.80
3.33
3.91
2.49
0.13
4.50
20.85
Median
1.30
1.75
4.76
46.14
2.94
2.14
1.55
0.21
0.00
1.21
17.53
Std. dev.
11.53
2.15
17.55
26.01
3.05
3.30
4.80
5.08
0.66
8.44
18.75
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Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
43.75
6.87
66.67
88.46
9.28
8.80
14.42
16.52
3.45
31.43
100.00
From 'BB' rating
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
8
0.00
0.00
0.00
0.00
0.00
0.00
12.50
0.00
0.00
50.00
37.50
1991
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1992
3
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
0.00
0.00
66.67
1993
2
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1994
5
0.00
0.00
0.00
20.00
60.00
0.00
20.00
0.00
0.00
0.00
0.00
1995
13
0.00
0.00
0.00
0.00
76.92
0.00
0.00
0.00
0.00
7.69
15.38
1996
62
0.00
0.00
0.00
0.00
67.74
3.23
0.00
0.00
0.00
17.74
11.29
1997
107
0.00
0.00
0.00
0.93
81.31
1.87
0.00
2.80
0.00
3.74
9.35
1998
174
0.00
0.00
0.00
1.72
78.74
5.17
1.72
1.72
0.00
4.02
6.90
1999
266
0.00
0.00
0.00
3.38
82.71
2.63
0.75
0.75
0.00
1.50
8.27
2000
354
0.28
1.41
3.39
10.17
66.95
2.82
2.54
1.41
0.00
1.13
9.89
2001
509
0.79
3.73
4.91
11.39
56.58
3.73
1.96
0.59
0.00
2.95
13.36
2002
634
0.79
5.21
5.68
9.46
45.27
3.47
1.42
2.52
1.10
7.73
17.35
2003
774
0.52
2.07
3.62
7.49
42.51
6.07
2.84
3.10
0.00
7.75
24.03
2004
1,122
0.27
1.34
2.14
6.06
41.98
4.46
4.37
2.14
0.45
5.97
30.84
2005
1,730
0.64
2.43
2.54
10.46
40.40
4.86
2.83
0.46
0.00
3.99
31.39
2006
2,354
0.89
1.74
3.19
11.89
48.98
2.51
1.49
0.30
0.00
2.29
26.72
2007
3,212
1.06
0.75
2.68
9.15
59.25
3.02
2.49
0.28
0.00
1.84
19.49
2008
4,683
0.47
0.19
0.64
4.19
51.38
7.50
8.50
5.19
0.00
7.64
14.31
2009
6,266
0.27
0.02
0.11
1.68
23.64
6.05
10.36
17.43
0.00
31.39
9.06
2010
7,816
0.01
0.06
0.18
0.64
10.21
7.45
15.55
16.01
0.00
43.74
6.15
2011
6,494
0.02
0.12
0.31
0.99
9.73
8.10
16.82
16.32
0.00
36.77
10.83
2012
4,997
0.12
0.54
1.44
5.26
16.41
14.03
20.21
9.63
0.00
14.13
18.23
2013
4,174
0.19
0.98
2.54
9.80
16.79
14.42
20.10
4.72
0.00
6.73
23.72
2014
3,546
0.37
1.44
3.47
9.81
21.69
15.00
14.33
0.68
0.00
4.20
29.02
0.23
0.76
1.27
4.64
52.85
4.01
5.54
2.97
0.05
9.07
18.61
Average
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 62
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
Median
0.01
0.02
0.11
1.72
51.38
3.02
1.96
0.59
0.00
3.99
13.36
Std. dev.
0.32
1.27
1.73
5.29
32.26
4.45
7.19
5.17
0.22
13.74
21.33
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
1.06
5.21
5.68
20.00
100.00
15.00
20.21
17.43
1.10
50.00
100.00
From 'B' rating
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1992
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1993
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1994
5
0.00
0.00
0.00
0.00
0.00
20.00
0.00
0.00
0.00
20.00
60.00
1995
17
0.00
0.00
0.00
11.76
17.65
41.18
0.00
0.00
0.00
11.76
17.65
1996
55
1.82
0.00
0.00
1.82
5.45
74.55
1.82
0.00
0.00
5.45
9.09
1997
107
0.93
0.00
0.00
0.00
0.93
75.70
3.74
5.61
0.00
7.48
5.61
1998
160
0.63
0.00
0.63
0.00
1.88
83.75
1.88
1.25
0.00
5.63
4.38
1999
232
0.00
0.00
0.00
0.86
3.02
82.33
1.29
1.72
0.00
6.90
3.88
2000
274
0.00
0.00
0.36
4.74
9.12
67.88
2.92
1.82
0.00
6.93
6.20
2001
362
0.00
0.83
0.83
4.42
11.60
59.94
4.97
1.10
0.00
6.63
9.67
2002
433
0.00
0.46
1.62
7.62
10.16
52.89
5.31
1.15
0.00
10.16
10.62
2003
573
0.00
0.35
0.87
2.97
5.06
37.52
6.98
1.22
0.00
25.83
19.20
2004
762
0.39
0.00
0.26
1.44
2.76
36.22
6.82
2.36
0.00
20.60
29.13
2005
1,047
0.29
0.48
0.86
2.29
7.64
38.49
6.40
0.96
0.00
7.16
35.43
2006
1,645
0.18
0.30
1.28
2.49
9.91
51.19
5.41
0.30
0.00
6.08
22.86
2007
2,082
0.29
0.14
0.82
1.44
8.12
68.59
4.66
0.34
0.00
3.99
11.62
2008
2,711
0.18
0.04
0.07
0.70
4.39
58.24
17.59
4.83
0.07
7.49
6.38
2009
3,167
0.06
0.00
0.00
0.09
1.55
25.39
13.77
14.94
0.00
40.67
3.54
2010
5,348
0.00
0.00
0.00
0.00
0.49
7.54
9.65
17.39
0.00
62.60
2.34
2011
5,839
0.00
0.02
0.02
0.09
0.39
5.98
10.45
20.07
0.00
58.30
4.69
2012
5,109
0.00
0.06
0.33
1.19
3.56
13.78
24.94
16.05
0.00
29.58
10.51
2013
4,854
0.06
0.19
0.78
2.53
5.77
15.43
30.02
10.65
0.00
19.72
14.85
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Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
2014
4,010
0.05
0.25
1.27
2.12
5.31
26.43
32.79
1.65
0.00
9.28
20.85
Average
0.20
0.13
0.42
2.02
4.78
43.46
7.98
4.31
0.00
15.51
21.19
Median
0.00
0.00
0.17
1.32
3.98
45.59
5.14
1.24
0.00
7.48
11.12
Std. dev.
0.42
0.21
0.51
2.81
4.56
25.22
9.43
6.36
0.02
17.07
23.32
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.34
Max
1.82
0.83
1.62
11.76
17.65
83.75
32.79
20.07
0.07
62.60
100.00
From 'CCC' rating
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1990
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1991
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1992
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1993
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1994
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1995
9
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
0.00
44.44
33.33
1996
12
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
33.33
33.33
1997
31
0.00
0.00
0.00
0.00
0.00
0.00
12.90
3.23
0.00
67.74
16.13
1998
25
0.00
0.00
0.00
0.00
0.00
0.00
24.00
20.00
0.00
48.00
8.00
1999
16
0.00
0.00
0.00
0.00
0.00
0.00
31.25
31.25
0.00
31.25
6.25
2000
14
0.00
0.00
0.00
0.00
7.14
0.00
42.86
7.14
0.00
35.71
7.14
2001
17
0.00
0.00
0.00
0.00
5.88
0.00
41.18
17.65
0.00
29.41
5.88
2002
20
0.00
0.00
5.00
0.00
0.00
5.00
55.00
10.00
0.00
20.00
5.00
2003
43
0.00
0.00
0.00
0.00
0.00
0.00
27.91
2.33
0.00
41.86
27.91
2004
75
0.00
0.00
0.00
0.00
0.00
1.33
22.67
6.67
0.00
41.33
28.00
2005
106
0.00
0.00
0.94
0.00
0.00
3.77
37.74
11.32
0.00
22.64
23.58
2006
143
0.70
0.00
0.70
2.80
2.80
6.99
23.08
5.59
0.00
34.97
22.38
2007
192
0.52
0.00
0.52
0.52
2.60
6.25
35.94
3.13
0.00
27.08
23.44
2008
183
0.55
0.00
0.55
0.55
1.09
5.46
42.62
1.64
0.00
33.88
13.66
2009
221
0.00
0.00
0.45
0.45
0.00
2.71
32.58
10.86
0.00
48.87
4.07
2010
2,419
0.00
0.00
0.00
0.04
0.00
0.04
1.86
13.39
0.00
83.71
0.95
2011
8,610
0.00
0.00
0.00
0.00
0.14
0.17
2.95
13.72
0.01
81.16
1.85
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Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
2012
8,059
0.00
0.00
0.09
0.25
0.97
1.69
13.79
21.45
0.00
57.25
4.52
2013
6,856
0.00
0.00
0.09
0.45
1.50
2.83
21.30
20.03
0.00
47.33
6.48
2014
4,685
0.02
0.04
0.13
0.53
1.71
2.97
52.66
6.47
0.00
26.32
9.16
Average
0.07
0.00
0.33
0.22
0.92
1.51
37.61
7.92
0.00
32.93
18.50
Median
0.00
0.00
0.00
0.00
0.00
0.00
33.33
6.03
0.00
33.61
11.41
Std. dev.
0.19
0.01
0.99
0.56
1.85
2.25
24.55
8.56
0.00
24.14
18.36
Min
0.00
0.00
0.00
0.00
0.00
0.00
1.86
0.00
0.00
0.00
0.00
Max
0.70
0.04
5.00
2.80
7.14
6.99
100.00
31.25
0.01
83.71
66.67
From 'CC'/'C' rating
1978
0
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
0
1996
0
1997
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
71.43
28.57
1998
4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
1999
13
0.00
0.00
0.00
0.00
0.00
0.00
7.69
30.77
0.00
61.54
0.00
2000
17
0.00
0.00
0.00
0.00
0.00
0.00
5.88
47.06
0.00
47.06
0.00
2001
15
0.00
0.00
0.00
0.00
0.00
0.00
6.67
53.33
0.00
40.00
0.00
2002
18
0.00
0.00
0.00
11.11
0.00
0.00
0.00
11.11
0.00
22.22
55.56
2003
24
0.00
0.00
0.00
8.33
0.00
0.00
0.00
25.00
0.00
25.00
41.67
2004
35
0.00
0.00
0.00
5.71
0.00
0.00
0.00
31.43
0.00
22.86
40.00
2005
159
0.00
0.00
0.00
0.00
0.00
1.26
8.81
29.56
0.00
53.46
6.92
2006
174
0.00
0.00
0.00
0.00
0.57
1.15
16.09
32.18
0.00
31.61
18.39
2007
232
0.00
0.00
0.00
0.00
0.43
0.86
14.22
21.98
0.00
48.28
14.22
2008
207
0.00
0.00
0.00
0.00
0.00
0.48
16.43
29.47
0.00
38.16
15.46
2009
208
0.00
0.00
0.00
0.00
0.00
0.00
20.67
29.81
0.00
40.38
9.13
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Table 23
Global Structured Finance Weighted-Average Three-Year Rating Transitions, 1976-2014 (%) (cont.)
2010
350
0.00
0.00
0.00
0.00
0.00
0.00
8.86
35.71
0.00
48.57
6.86
2011
7,764
0.00
0.00
0.00
0.00
0.03
0.06
1.43
8.57
0.18
85.25
4.48
2012
12,427
0.00
0.00
0.04
0.14
0.39
1.10
3.14
9.80
0.11
77.32
7.97
2013
11,794
0.00
0.03
0.10
0.14
0.70
1.48
4.57
10.61
0.00
72.21
10.16
2014
10,682
0.00
0.01
0.02
0.16
0.52
1.54
4.77
20.15
0.00
61.89
10.95
Average
0.00
0.00
0.01
1.42
0.15
0.44
6.62
23.70
0.02
52.62
15.02
Median
0.00
0.00
0.00
0.00
0.00
0.00
5.32
27.23
0.00
48.42
9.65
Std. dev.
0.00
0.01
0.03
3.34
0.25
0.60
6.50
14.85
0.05
22.26
16.17
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
Max
0.00
0.03
0.10
11.11
0.70
1.54
20.67
53.33
0.18
100.00
55.56
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
Four year period
ending at
year-end
Beginning no.
of ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1979
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1980
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
3
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
10
90.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.00
1983
25
92.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.00
1984
49
79.59
6.12
2.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.24
1985
69
81.16
1.45
4.35
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.04
1986
98
88.78
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.22
1987
170
91.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.82
1988
310
86.13
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.87
1989
556
82.73
0.72
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
16.55
1990
899
79.98
0.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
19.35
1991
1,336
77.47
0.75
0.00
0.07
0.00
0.00
0.00
0.00
0.00
0.00
21.71
1992
1,769
74.73
1.47
0.17
0.00
0.00
0.00
0.00
0.00
0.00
0.00
23.63
1993
2,011
74.89
1.34
0.15
0.05
0.00
0.00
0.00
0.00
0.00
0.00
23.57
1994
2,238
73.73
0.71
0.63
0.04
0.04
0.00
0.04
0.00
0.00
0.00
24.80
1995
2,503
74.99
0.56
0.32
0.08
0.08
0.00
0.04
0.00
0.00
0.00
23.93
1996
2,829
69.25
0.28
0.00
0.07
0.00
0.00
0.04
0.00
0.00
0.00
30.36
1997
3,299
66.08
0.73
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
33.16
1998
3,784
62.50
0.87
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
36.60
1999
4,306
57.97
1.18
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
40.83
2000
4,540
52.38
1.15
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
46.48
2001
4,975
51.10
0.84
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
48.02
From 'AAA' rating
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Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
2002
5,312
48.76
0.28
0.15
0.02
0.06
0.04
0.04
0.00
0.00
0.09
50.56
2003
5,733
44.08
0.28
0.52
0.16
0.16
0.05
0.03
0.03
0.00
0.09
54.60
2004
6,155
38.52
0.55
0.42
0.28
0.24
0.21
0.18
0.03
0.00
0.11
59.45
2005
6,952
35.43
0.78
0.40
0.19
0.29
0.30
0.19
0.01
0.00
0.00
62.41
2006
7,731
35.97
0.57
0.18
0.16
0.16
0.10
0.16
0.00
0.00
0.00
62.71
2007
8,748
40.96
0.45
0.14
0.07
0.05
0.01
0.03
0.00
0.00
0.01
58.29
2008
10,072
41.39
3.83
2.00
0.92
0.21
0.21
0.42
0.13
0.00
0.01
50.88
2009
12,189
38.76
3.41
2.78
2.89
2.16
1.86
3.38
1.10
0.00
0.47
43.19
2010
14,624
30.84
5.63
3.41
3.18
2.10
2.50
6.93
3.84
0.00
4.33
37.25
2011
16,335
21.59
8.71
4.22
3.09
2.63
3.52
7.76
4.98
0.00
8.78
34.73
2012
12,411
15.35
13.04
6.69
4.58
3.05
3.21
5.27
2.74
0.00
5.33
40.74
2013
8,827
12.74
13.55
8.67
5.29
3.17
3.38
2.68
0.61
0.00
1.13
48.77
2014
7,033
13.81
11.92
9.00
5.28
3.64
3.44
2.12
0.13
0.00
0.47
50.21
Average
61.80
2.27
1.29
0.74
0.50
0.52
0.81
0.38
0.00
0.58
31.11
Median
67.66
0.72
0.14
0.03
0.00
0.00
0.00
0.00
0.00
0.00
31.76
Std. dev.
26.26
3.76
2.43
1.57
1.07
1.15
1.97
1.12
0.00
1.80
19.17
Minimum
12.74
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
13.55
9.00
5.29
3.64
3.52
7.76
4.98
0.00
8.78
62.71
From 'AA' rating
1979
0
1980
0
1981
0
1982
6
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1983
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
26
0.00
96.15
3.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
43
0.00
86.05
2.33
6.98
0.00
0.00
0.00
0.00
0.00
0.00
4.65
1987
72
0.00
87.50
0.00
4.17
6.94
0.00
0.00
0.00
0.00
0.00
1.39
1988
91
0.00
75.82
0.00
14.29
0.00
0.00
2.20
0.00
0.00
4.40
3.30
1989
134
10.45
73.88
3.73
2.99
0.00
0.00
0.75
0.00
0.00
2.99
5.22
1990
255
8.24
61.18
15.29
0.00
0.00
0.00
0.39
0.00
0.00
1.57
13.33
1991
444
3.60
57.21
25.68
0.45
0.00
0.68
0.00
0.00
0.00
0.00
12.39
1992
628
2.07
59.87
24.36
0.32
0.16
0.64
0.96
0.00
0.00
0.00
11.62
1993
833
3.48
60.38
21.85
0.24
0.00
0.60
0.12
0.00
0.00
0.12
13.21
1994
935
12.73
62.25
2.99
0.75
0.00
0.21
1.39
0.32
0.00
0.11
19.25
1995
1,236
11.97
56.80
2.83
0.81
0.49
0.00
1.21
0.16
0.16
0.49
25.08
1996
1,551
9.99
53.51
2.51
0.58
0.06
0.32
0.45
0.45
0.06
0.19
31.85
1997
1,764
9.98
54.08
2.10
0.40
0.06
0.23
0.11
0.57
0.00
0.28
32.20
1998
1,782
7.41
57.24
0.79
0.22
0.00
0.00
0.00
0.00
0.00
0.00
34.34
1999
1,784
5.16
51.96
0.50
0.06
0.00
0.00
0.00
0.00
0.00
0.00
42.32
2000
1,779
13.10
37.77
0.06
0.22
0.00
0.00
0.00
0.00
0.00
0.00
48.85
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JUNE 22, 2015 67
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
2001
1,946
20.71
32.48
0.10
0.26
0.00
0.00
0.00
0.00
0.00
0.15
46.30
2002
2,149
21.17
30.71
0.84
0.51
0.14
0.05
0.19
0.00
0.00
0.28
46.11
2003
2,166
18.42
27.29
1.80
1.11
0.37
0.55
0.00
0.14
0.00
0.46
49.86
2004
2,153
12.17
26.34
2.60
1.02
0.84
1.02
0.88
0.14
0.00
0.46
54.53
2005
2,507
12.21
25.89
2.47
0.84
1.04
0.96
0.96
0.00
0.00
0.40
55.25
2006
3,307
16.54
27.88
1.69
0.48
0.51
0.76
0.73
0.00
0.00
0.36
51.04
2007
4,535
15.74
37.73
1.50
0.55
0.31
0.42
0.13
0.00
0.00
0.04
43.57
2008
6,884
10.87
49.33
2.11
1.82
0.70
0.70
0.80
0.78
0.00
0.04
32.86
2009
10,264
4.36
35.71
4.46
4.00
3.43
4.78
10.73
5.29
0.00
2.54
24.70
2010
14,548
1.86
23.64
5.63
4.19
3.49
5.02
11.60
7.39
0.04
18.94
18.22
2011
16,892
1.03
16.43
6.46
3.78
3.48
5.26
9.13
9.67
0.08
28.04
16.65
2012
11,824
2.20
14.06
7.39
5.45
6.27
8.03
12.50
6.72
0.00
14.12
23.27
2013
7,120
4.54
16.73
9.42
6.67
7.16
7.51
10.20
1.71
0.00
3.26
32.79
2014
6,411
6.08
19.05
8.53
5.83
5.79
6.15
8.72
0.45
0.00
1.01
38.39
Average
7.46
51.97
4.97
2.09
1.25
1.33
2.25
1.02
0.01
2.43
25.23
Median
6.08
53.51
2.47
0.58
0.06
0.23
0.39
0.00
0.00
0.19
24.70
Std. dev.
6.54
26.59
6.96
3.06
2.23
2.38
4.01
2.44
0.03
6.12
18.36
Min
0.00
14.06
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
21.17
100.00
25.68
14.29
7.16
8.03
12.50
9.67
0.16
28.04
55.25
From 'A' rating
1979
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1980
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1981
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1982
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1983
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
6
0.00
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1988
9
0.00
0.00
88.89
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
1989
19
5.26
0.00
78.95
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.79
1990
19
0.00
0.00
84.21
5.26
0.00
0.00
0.00
0.00
0.00
0.00
10.53
1991
29
0.00
3.45
86.21
3.45
0.00
0.00
0.00
0.00
0.00
0.00
6.90
1992
45
0.00
2.22
82.22
2.22
0.00
0.00
0.00
0.00
0.00
0.00
13.33
1993
111
0.00
0.90
74.77
0.90
0.00
0.90
5.41
0.00
0.00
0.00
17.12
1994
354
3.39
9.32
68.08
3.39
0.28
0.28
0.28
0.00
1.13
0.28
13.56
1995
533
3.56
13.70
50.47
2.25
0.19
0.00
0.38
0.00
0.00
1.88
27.58
1996
793
2.14
9.21
54.35
0.76
0.63
0.13
0.13
0.25
0.00
2.27
30.14
1997
935
1.71
6.74
54.12
0.86
0.75
0.11
0.11
0.21
0.00
1.60
33.80
1998
1,023
2.05
2.05
53.76
0.78
0.20
0.10
0.00
0.10
0.00
0.10
40.86
1999
1,071
0.56
3.36
51.82
1.12
0.09
0.00
0.00
0.00
0.00
0.09
42.95
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JUNE 22, 2015 68
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
2000
1,352
4.66
5.47
39.13
0.44
0.00
2.44
0.00
0.00
0.00
0.30
47.56
2001
1,563
7.87
7.36
33.14
1.02
0.32
0.13
0.26
0.00
0.00
1.15
48.75
2002
1,775
8.79
7.72
32.90
2.31
0.34
0.39
0.39
0.51
0.00
0.79
45.86
2003
2,083
7.63
6.82
28.04
6.19
0.82
0.77
0.91
1.01
0.00
0.86
46.95
2004
2,307
5.37
6.29
27.65
7.72
1.26
0.56
1.43
1.08
0.00
1.13
47.51
2005
2,896
7.15
6.25
27.31
6.98
1.07
0.62
1.10
0.24
0.00
1.38
47.89
2006
4,059
9.63
9.44
27.67
5.12
0.54
0.25
0.64
0.00
0.00
0.86
45.85
2007
5,228
5.91
13.08
33.91
1.87
1.17
0.84
0.69
0.00
0.00
0.10
42.43
2008
7,261
3.47
9.49
42.91
3.80
2.60
1.97
1.89
0.92
0.00
0.48
32.46
2009
10,113
1.11
5.01
26.05
5.12
4.39
6.07
11.73
9.96
0.00
7.58
22.98
2010
13,747
0.49
2.23
16.45
5.77
5.11
5.93
10.85
11.20
0.00
25.51
16.48
2011
14,550
0.41
1.48
13.17
5.51
4.56
5.54
8.30
13.26
0.00
33.40
14.37
2012
10,822
0.94
2.02
14.93
6.39
4.35
6.10
13.54
8.92
0.00
19.52
23.29
2013
7,052
2.16
4.17
19.74
6.66
5.88
6.07
12.89
3.40
0.00
4.10
34.93
2014
6,052
3.45
6.74
22.72
5.06
5.04
5.30
10.31
0.93
0.00
1.49
38.96
Average
2.44
4.01
47.23
2.53
1.10
1.24
2.26
1.44
0.03
2.91
34.81
Median
1.03
2.79
41.02
1.50
0.19
0.12
0.12
0.00
0.00
0.19
32.90
Std. dev.
2.97
4.06
31.99
2.58
1.81
2.16
4.26
3.47
0.19
7.44
28.15
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
9.63
13.70
100.00
7.72
5.88
6.10
13.54
13.26
1.13
33.40
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
From 'BBB' rating
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
1
1989
0
1990
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
16
43.75
0.00
37.50
12.50
0.00
0.00
0.00
0.00
0.00
0.00
6.25
1993
19
0.00
0.00
0.00
73.68
0.00
0.00
0.00
0.00
0.00
0.00
26.32
1994
26
0.00
0.00
3.85
76.92
7.69
0.00
0.00
0.00
0.00
0.00
11.54
1995
58
0.00
5.17
10.34
50.00
5.17
0.00
1.72
0.00
0.00
12.07
15.52
1996
96
1.04
4.17
10.42
61.46
1.04
1.04
2.08
0.00
0.00
6.25
12.50
1997
185
1.62
2.70
7.03
64.32
1.08
0.54
0.54
0.00
0.00
1.62
20.54
1998
327
1.22
2.14
5.20
56.27
9.17
1.53
0.92
0.92
0.00
1.53
21.10
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JUNE 22, 2015 69
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
1999
429
0.93
1.86
6.06
60.37
7.46
0.70
0.23
0.23
0.00
0.47
21.68
2000
516
2.13
7.75
8.53
52.71
1.16
1.36
0.39
0.19
0.00
0.19
25.58
2001
753
6.11
9.16
6.11
39.84
2.12
8.10
1.06
0.00
0.00
1.33
26.16
2002
1,062
7.91
6.40
4.24
41.81
2.26
0.85
5.56
0.47
0.00
4.14
26.37
2003
1,391
5.46
5.25
6.04
33.86
2.37
2.66
2.52
0.72
0.00
8.27
32.85
2004
1,653
3.33
3.51
6.47
32.00
1.88
2.36
3.27
1.27
0.00
4.30
41.62
2005
2,520
2.46
3.89
7.02
29.52
3.10
1.94
2.50
0.95
0.00
4.13
44.48
2006
3,808
2.86
5.12
7.67
27.26
2.89
1.34
2.05
0.45
0.00
2.63
47.74
2007
5,811
5.01
4.46
8.31
31.66
2.43
2.22
3.17
0.29
0.00
1.77
40.68
2008
7,941
3.12
2.72
5.98
37.25
3.77
4.28
5.26
3.03
0.03
3.70
30.85
2009
10,879
1.54
0.61
3.45
20.99
4.20
4.49
9.90
15.97
0.00
16.77
22.10
2010
14,438
0.53
0.24
1.30
11.55
5.28
5.86
10.26
15.76
0.00
33.71
15.51
2011
14,472
0.03
0.24
0.88
9.67
5.86
5.31
8.08
14.86
0.01
41.13
13.92
2012
10,506
0.10
0.59
1.39
11.81
5.74
6.17
11.61
10.92
0.00
29.66
22.02
2013
6,581
0.71
2.11
4.60
14.01
7.76
7.83
14.44
5.27
0.00
11.03
32.23
2014
5,414
1.42
3.49
7.43
19.01
6.80
7.68
11.86
1.85
0.00
3.92
36.55
Average
6.08
2.75
11.27
33.40
3.43
2.55
3.75
2.81
0.00
7.25
26.70
Median
1.58
2.42
6.08
31.83
2.66
1.44
2.07
0.37
0.00
3.16
23.84
Std. dev.
11.63
2.63
17.71
23.13
2.82
2.73
4.44
5.22
0.01
11.13
19.56
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
43.75
9.16
66.67
76.92
9.17
8.10
14.44
15.97
0.03
41.13
100.00
From 'BB' rating
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1988
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1991
8
0.00
0.00
0.00
0.00
0.00
0.00
12.50
0.00
0.00
50.00
37.50
1992
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1993
3
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
0.00
0.00
66.67
1994
2
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1995
5
0.00
0.00
0.00
20.00
40.00
0.00
0.00
0.00
0.00
20.00
20.00
1996
13
0.00
0.00
0.00
0.00
61.54
0.00
0.00
0.00
0.00
15.38
23.08
1997
62
0.00
0.00
0.00
1.61
62.90
0.00
1.61
0.00
0.00
17.74
16.13
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Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
1998
107
0.00
0.00
0.00
1.87
74.77
1.87
1.87
0.93
0.00
6.54
1999
174
0.00
0.00
2000
266
0.38
1.13
2001
354
1.13
2002
509
2003
2004
12.15
0.00
4.60
70.69
5.75
1.72
2.30
0.00
5.17
9.77
3.76
12.41
60.90
2.26
2.63
1.13
0.00
1.88
13.53
5.65
6.50
14.12
44.92
3.67
3.11
0.85
0.00
3.11
16.95
1.18
6.29
7.07
11.39
36.94
3.73
1.57
1.18
1.38
8.06
21.22
634
2.68
4.42
3.00
7.57
30.91
5.05
0.79
2.68
0.00
10.41
32.49
774
0.65
1.42
2.20
7.11
30.36
5.30
3.75
2.71
0.00
9.17
37.34
2005
1,122
0.45
1.43
2.32
7.31
32.62
4.10
4.19
2.05
0.00
6.77
38.77
2006
1,730
0.92
2.37
3.01
11.39
29.13
3.82
2.25
0.40
0.00
5.03
41.68
2007
2,354
1.32
2.08
3.48
12.06
39.68
2.59
1.66
0.30
0.00
3.19
33.64
2008
3,212
0.81
0.72
2.99
8.50
48.07
5.64
4.11
2.24
0.00
3.92
23.01
2009
4,683
0.41
0.11
0.51
3.18
23.87
5.77
8.46
17.13
0.00
24.49
16.08
2010
6,266
0.16
0.06
0.14
1.26
10.66
6.91
13.39
16.13
0.00
40.39
10.88
2011
7,816
0.00
0.06
0.17
0.75
6.81
5.73
9.67
12.53
0.00
55.41
8.87
2012
6,494
0.03
0.09
0.25
0.86
8.56
7.04
11.69
10.84
0.00
45.66
14.98
2013
4,997
0.06
0.68
1.82
4.86
11.33
11.65
18.89
7.18
0.00
18.69
24.83
2014
4,174
0.38
1.34
2.92
7.86
12.22
12.96
17.82
3.76
0.00
10.13
30.59
Average
0.38
0.99
1.43
4.95
41.79
3.35
4.35
3.01
0.05
12.90
26.79
Median
0.02
0.06
0.15
2.53
35.13
3.13
1.80
0.89
0.00
6.66
20.61
Std. dev.
0.62
1.74
2.02
5.55
32.19
3.58
5.67
4.99
0.26
16.18
25.60
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
2.68
6.29
7.07
20.00
100.00
12.96
18.89
17.13
1.38
55.41
100.00
From 'B' rating
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1993
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1994
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1995
5
0.00
0.00
0.00
0.00
0.00
20.00
0.00
0.00
0.00
20.00
60.00
1996
17
0.00
0.00
0.00
11.76
11.76
47.06
0.00
0.00
0.00
11.76
17.65
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Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
1997
55
1.82
0.00
0.00
1.82
7.27
67.27
0.00
0.00
0.00
5.45
16.36
1998
107
0.93
0.00
0.00
0.00
1.87
69.16
1.87
5.61
0.00
13.08
7.48
1999
160
0.63
0.00
0.63
0.00
4.38
76.25
1.25
2.50
0.00
9.38
5.00
2000
232
0.00
0.00
0.43
4.74
9.91
62.07
2.59
2.16
0.00
9.05
9.05
2001
274
0.00
1.09
1.09
6.93
14.96
48.54
4.38
1.82
0.00
9.49
11.68
2002
362
0.28
0.55
1.93
9.12
11.60
45.58
5.52
1.10
0.00
11.60
12.71
2003
433
0.46
1.15
3.23
6.00
6.70
33.26
5.31
1.39
0.00
13.39
29.10
2004
573
0.52
0.17
0.35
0.87
2.79
25.83
6.28
1.40
0.00
27.92
33.86
2005
762
0.52
0.00
0.00
1.05
3.41
26.25
6.04
1.97
0.00
23.36
37.40
2006
1,047
0.29
0.38
1.43
2.39
9.17
29.04
5.73
1.05
0.00
8.50
42.02
2007
1,645
0.43
0.49
1.52
2.61
10.64
46.44
4.56
0.18
0.00
8.15
24.98
2008
2,082
0.34
0.24
0.77
1.49
8.07
54.42
13.40
1.78
0.00
6.34
13.16
2009
2,711
0.11
0.00
0.07
0.70
3.17
25.93
11.03
16.34
0.00
35.67
6.97
2010
3,167
0.06
0.00
0.00
0.09
1.14
11.24
12.16
13.80
0.00
57.12
4.39
2011
5,348
0.00
0.00
0.02
0.00
0.36
4.51
4.26
13.67
0.00
73.67
3.52
2012
5,839
0.00
0.02
0.02
0.17
0.45
4.32
7.78
11.08
0.00
69.33
6.85
2013
5,109
0.16
0.10
0.22
1.57
2.90
10.22
22.22
10.96
0.00
37.84
13.84
2014
4,854
0.04
0.21
1.05
2.33
4.16
12.51
25.88
7.54
0.00
26.43
19.86
Average
0.29
0.19
0.55
2.33
4.99
35.65
6.10
4.10
0.00
20.76
25.04
Median
0.11
0.00
0.07
1.05
3.41
33.26
4.56
1.78
0.00
11.76
16.36
Std. dev.
0.42
0.34
0.83
3.24
4.59
22.68
6.92
5.29
0.00
21.11
23.25
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.52
Max
1.82
1.15
3.23
11.76
14.96
76.25
25.88
16.34
0.00
73.67
100.00
From 'CCC' rating
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1991
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1992
3
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1993
3
0.00
0.00
0.00
0.00
0.00
0.00
66.67
0.00
0.00
0.00
33.33
1994
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1995
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
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Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
1996
9
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
0.00
44.44
33.33
1997
12
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
33.33
33.33
1998
31
0.00
0.00
0.00
0.00
0.00
0.00
12.90
0.00
0.00
70.97
16.13
1999
25
0.00
0.00
0.00
0.00
0.00
0.00
20.00
24.00
0.00
48.00
8.00
2000
16
0.00
0.00
0.00
0.00
0.00
0.00
25.00
31.25
0.00
31.25
12.50
2001
14
0.00
0.00
0.00
0.00
7.14
0.00
28.57
7.14
0.00
50.00
7.14
2002
17
0.00
0.00
5.88
0.00
0.00
5.88
35.29
0.00
0.00
41.18
11.76
2003
20
0.00
0.00
0.00
0.00
0.00
0.00
30.00
10.00
0.00
25.00
35.00
2004
43
0.00
0.00
0.00
0.00
0.00
0.00
23.26
2.33
0.00
44.19
30.23
2005
75
0.00
0.00
1.33
0.00
0.00
1.33
12.00
4.00
0.00
49.33
32.00
2006
106
0.00
0.00
0.94
0.94
0.00
6.60
21.70
13.21
0.00
30.19
26.42
2007
143
0.70
0.00
1.40
1.40
1.40
6.99
16.78
2.10
0.00
41.26
27.97
2008
192
0.52
0.00
0.00
0.52
1.56
6.25
31.25
2.08
0.00
31.25
26.56
2009
183
0.55
0.00
0.55
0.55
0.55
4.92
32.24
6.01
0.00
40.44
14.21
2010
221
0.00
0.00
0.45
0.45
0.00
2.71
18.55
11.76
0.00
61.54
4.52
2011
2,419
0.00
0.00
0.00
0.04
0.08
0.00
1.49
10.91
0.00
86.32
1.16
2012
8,610
0.00
0.00
0.00
0.02
0.09
0.23
1.70
5.02
0.00
90.21
2.73
2013
8,059
0.00
0.01
0.02
0.42
0.78
1.35
12.07
13.46
0.00
66.35
5.52
2014
6,856
0.04
0.03
0.10
0.48
1.36
2.29
19.44
14.12
0.00
54.19
7.95
Average
0.07
0.00
0.43
0.19
0.52
1.54
29.25
6.30
0.00
37.58
24.13
Median
0.00
0.00
0.00
0.00
0.00
0.00
23.26
2.33
0.00
41.18
16.13
Std. dev.
0.20
0.01
1.21
0.36
1.46
2.48
25.31
8.21
0.00
26.81
24.16
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.70
0.03
5.88
1.40
7.14
6.99
100.00
31.25
0.00
90.21
100.00
From 'CC'/'C' rating
1979
0
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
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Table 24
Global Structured Finance Weighted-Average Four-Year Rating Transitions, 1976-2014 (%) (cont.)
1995
0
1996
0
1997
0
1998
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
71.43
28.57
1999
4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
2000
13
0.00
0.00
0.00
0.00
0.00
0.00
7.69
30.77
0.00
61.54
0.00
2001
17
0.00
0.00
0.00
0.00
0.00
0.00
5.88
41.18
0.00
52.94
0.00
2002
15
0.00
0.00
0.00
13.33
0.00
0.00
0.00
0.00
0.00
40.00
46.67
2003
18
0.00
0.00
0.00
11.11
0.00
0.00
0.00
11.11
0.00
22.22
55.56
2004
24
0.00
0.00
0.00
8.33
0.00
0.00
0.00
12.50
0.00
25.00
54.17
2005
35
0.00
0.00
0.00
5.71
0.00
0.00
0.00
20.00
0.00
34.29
40.00
2006
159
0.00
0.00
0.00
0.00
0.63
1.26
3.77
24.53
0.00
58.49
11.32
2007
174
0.00
0.00
0.00
0.00
0.00
1.15
10.92
27.01
0.00
40.23
20.69
2008
232
0.00
0.00
0.00
0.00
0.00
0.86
12.07
20.26
0.00
49.57
17.24
2009
207
0.00
0.00
0.00
0.00
0.00
0.48
13.53
26.57
0.00
42.03
17.39
2010
208
0.00
0.00
0.00
0.00
0.00
0.00
9.13
28.37
0.00
49.04
13.46
2011
350
0.00
0.00
0.00
0.00
0.00
0.00
6.86
4.00
0.00
81.71
7.43
2012
7,764
0.00
0.00
0.00
0.00
0.01
0.05
0.37
1.37
0.18
92.84
5.18
2013
12,427
0.00
0.03
0.06
0.13
0.39
0.77
1.74
6.39
0.00
80.61
9.88
2014
11,794
0.00
0.03
0.06
0.20
0.71
1.47
3.26
7.47
0.00
74.86
11.94
Average
0.00
0.00
0.01
2.28
0.10
0.36
4.42
15.38
0.01
57.46
19.97
Median
0.00
0.00
0.00
0.00
0.00
0.00
3.26
12.50
0.00
52.94
13.46
Std. dev.
0.00
0.01
0.02
4.44
0.23
0.53
4.79
12.91
0.04
23.09
18.53
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
Max
0.00
0.03
0.06
13.33
0.71
1.47
13.53
41.18
0.18
100.00
55.56
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
Five-year period
ending at
year-end
Beginning no.
of ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1980
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1981
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1982
3
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1983
10
80.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
20.00
1984
25
76.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
24.00
1985
49
73.47
2.04
6.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
18.37
1986
69
76.81
0.00
0.00
4.35
0.00
0.00
0.00
0.00
0.00
0.00
18.84
1987
98
83.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
16.33
From 'AAA' rating
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
170
80.59
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
19.41
1989
310
77.10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
22.90
1990
556
75.72
0.72
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
23.56
1991
899
70.08
0.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
29.25
1992
1,336
69.54
0.82
0.07
0.00
0.00
0.00
0.00
0.00
0.00
0.00
29.57
1993
1,769
71.00
1.30
0.23
0.00
0.00
0.00
0.00
0.00
0.00
0.00
27.47
1994
2,011
69.52
0.70
0.55
0.10
0.00
0.00
0.00
0.00
0.00
0.00
29.14
1995
2,238
70.78
0.71
0.54
0.04
0.04
0.00
0.04
0.00
0.00
0.00
27.84
1996
2,503
61.81
0.56
0.28
0.04
0.04
0.04
0.04
0.00
0.04
0.00
37.16
1997
2,829
60.83
0.57
0.00
0.07
0.00
0.00
0.00
0.04
0.00
0.00
38.49
1998
3,299
57.26
0.73
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
41.98
1999
3,784
53.94
0.66
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
45.38
2000
4,306
43.50
0.88
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
55.60
2001
4,540
43.79
0.75
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
55.46
2002
4,975
41.31
0.36
0.04
0.00
0.02
0.00
0.00
0.00
0.00
0.00
58.27
2003
5,312
36.37
0.32
0.15
0.06
0.08
0.02
0.04
0.02
0.00
0.09
62.86
2004
5,733
31.24
0.31
0.31
0.17
0.16
0.19
0.07
0.03
0.00
0.12
67.38
2005
6,155
29.63
0.58
0.32
0.18
0.21
0.24
0.18
0.05
0.00
0.11
68.48
2006
6,952
26.17
0.49
0.24
0.19
0.13
0.17
0.26
0.01
0.00
0.00
72.34
2007
7,731
27.80
0.40
0.13
0.12
0.16
0.12
0.16
0.00
0.00
0.00
71.13
2008
8,748
27.07
3.32
1.54
0.59
0.11
0.13
0.25
0.09
0.00
0.01
66.88
2009
10,072
31.23
2.30
2.32
2.11
1.22
0.80
0.81
0.66
0.00
0.22
58.32
2010
12,189
29.63
4.36
2.78
2.49
1.62
1.76
3.48
2.05
0.00
1.39
50.45
2011
14,624
21.08
6.76
3.62
2.78
2.32
3.08
5.61
4.20
0.00
6.96
43.59
2012
16,335
10.73
9.49
5.52
4.40
2.77
3.28
6.62
2.98
0.00
12.21
42.00
2013
12,411
8.77
10.55
6.53
4.50
3.34
3.67
5.54
1.77
0.00
6.82
48.51
2014
8,827
10.47
10.96
7.65
4.76
3.42
3.56
2.95
0.42
0.00
1.44
54.39
Average
54.10
1.75
1.11
0.77
0.45
0.49
0.74
0.35
0.00
0.84
39.39
Median
60.83
0.66
0.07
0.03
0.00
0.00
0.00
0.00
0.00
0.00
38.49
Std. dev.
25.71
3.01
2.14
1.53
0.99
1.11
1.78
0.94
0.01
2.56
19.87
Minimum
8.77
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
10.96
7.65
4.76
3.42
3.67
6.62
4.20
0.04
12.21
72.34
From 'AA' rating
1980
0
1981
0
1982
0
1983
6
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1984
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
21
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
26
0.00
96.15
3.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
43
0.00
81.40
2.33
6.98
4.65
0.00
0.00
0.00
0.00
0.00
4.65
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 75
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
72
0.00
73.61
0.00
18.06
0.00
0.00
2.78
0.00
0.00
4.17
1.39
1989
91
16.48
64.84
6.59
2.20
0.00
0.00
1.10
0.00
0.00
4.40
4.40
1990
134
10.45
55.22
6.72
0.75
0.00
0.00
0.75
0.00
0.00
2.99
23.13
1991
255
6.67
56.08
16.08
0.78
0.00
1.18
0.39
0.00
0.00
1.57
17.25
1992
444
3.83
55.41
25.23
0.45
0.23
0.90
0.00
0.00
0.00
0.00
13.96
1993
628
5.57
54.30
24.36
0.16
0.00
0.80
1.11
0.00
0.00
0.16
13.54
1994
833
8.64
51.86
16.57
1.44
0.00
0.12
0.48
0.00
0.00
0.12
20.77
1995
935
13.90
49.95
2.03
0.96
0.11
0.00
0.64
0.11
0.11
0.75
31.44
1996
1,236
11.41
43.85
2.51
0.65
0.00
0.32
0.65
0.73
0.00
0.89
39.00
1997
1,551
11.80
46.49
2.64
0.45
0.06
0.26
0.13
0.64
0.00
0.45
37.07
1998
1,764
9.41
45.98
1.42
0.45
0.06
0.23
0.06
0.45
0.00
0.45
41.50
1999
1,782
6.62
44.05
0.67
0.22
0.00
0.00
0.00
0.00
0.00
0.00
48.43
2000
1,784
12.11
30.61
0.22
0.28
0.00
0.00
0.00
0.00
0.00
0.00
56.78
2001
1,779
21.30
23.61
0.17
0.17
0.00
0.00
0.00
0.00
0.00
0.00
54.75
2002
1,946
21.17
21.69
0.57
0.21
0.05
0.10
0.10
0.00
0.00
0.21
55.91
2003
2,149
16.43
20.20
1.26
0.74
0.09
0.14
0.00
0.23
0.00
0.37
60.54
2004
2,166
10.20
17.36
1.66
0.83
0.60
0.78
0.46
0.14
0.00
0.51
67.45
2005
2,153
10.40
18.49
2.28
0.79
0.79
0.84
0.88
0.09
0.00
0.60
64.84
2006
2,507
11.73
18.11
2.11
0.52
0.60
0.80
0.92
0.00
0.00
0.72
64.50
2007
3,307
14.67
20.47
1.54
0.70
0.45
0.79
1.00
0.00
0.00
0.51
59.87
2008
4,535
13.67
28.91
1.70
1.26
0.60
0.71
0.44
0.66
0.00
0.07
52.00
2009
6,884
8.53
31.36
3.70
3.17
2.83
3.40
3.59
2.41
0.00
0.64
40.37
2010
10,264
3.64
27.44
5.40
4.24
3.28
5.17
9.20
6.11
0.00
5.90
29.62
2011
14,548
1.40
17.01
5.38
3.49
3.53
5.08
7.71
9.30
0.04
25.25
21.80
2012
16,892
1.36
9.29
5.24
3.78
4.42
5.54
9.80
6.48
0.08
33.19
20.81
2013
11,824
2.44
9.15
6.41
4.63
5.82
7.81
13.36
4.38
0.00
17.57
28.43
2014
7,120
4.72
11.83
8.34
5.67
6.11
6.97
11.36
1.32
0.00
4.21
39.47
Average
8.08
44.52
4.91
2.00
1.07
1.31
2.09
1.03
0.01
3.30
31.68
Median
8.59
43.95
2.30
0.75
0.06
0.24
0.47
0.00
0.00
0.48
30.53
Std. dev.
6.32
28.13
6.60
3.45
1.87
2.24
3.75
2.27
0.02
7.63
22.38
Min
0.00
9.15
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
21.30
100.00
25.23
18.06
6.11
7.81
13.36
9.30
0.11
33.19
67.45
From 'A' rating
1980
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1981
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1982
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1983
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1984
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1985
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1987
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 76
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
6
0.00
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1989
9
0.00
0.00
88.89
0.00
0.00
0.00
0.00
0.00
0.00
0.00
11.11
1990
19
5.26
0.00
78.95
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.79
1991
19
0.00
0.00
78.95
5.26
0.00
0.00
0.00
0.00
0.00
0.00
15.79
1992
29
0.00
3.45
72.41
3.45
0.00
0.00
0.00
0.00
0.00
0.00
20.69
1993
45
0.00
2.22
73.33
2.22
0.00
0.00
0.00
0.00
0.00
0.00
22.22
1994
111
3.60
5.41
61.26
1.80
0.00
0.00
0.00
0.00
3.60
0.90
23.42
1995
354
4.80
7.91
48.31
2.82
0.85
0.00
0.28
0.00
0.00
2.26
32.77
1996
533
3.19
11.63
43.15
0.94
0.19
0.19
0.19
0.00
0.00
2.25
38.27
1997
793
2.02
7.57
47.67
0.76
0.50
0.13
0.13
0.13
0.00
2.40
38.71
1998
935
1.82
5.88
42.46
0.64
0.75
0.11
0.11
0.11
0.00
1.71
46.42
1999
1,023
1.08
3.03
43.21
0.78
0.20
0.10
0.00
0.10
0.00
0.10
51.42
2000
1,071
4.86
5.04
33.15
0.28
0.09
0.84
0.00
0.00
0.00
0.09
55.65
2001
1,352
8.58
6.80
24.48
0.44
0.30
2.44
0.07
0.00
0.00
0.30
56.58
2002
1,563
8.96
7.23
23.29
1.79
0.32
0.13
0.26
0.13
0.00
1.34
56.56
2003
1,775
8.51
6.03
21.35
2.65
0.51
0.34
0.39
0.73
0.00
1.01
58.48
2004
2,083
5.04
5.52
17.95
4.61
0.62
0.48
0.86
1.34
0.00
1.15
62.41
2005
2,307
7.33
5.11
18.16
4.98
1.13
0.35
1.30
0.91
0.00
1.65
59.08
2006
2,896
9.70
6.22
17.85
4.49
0.55
0.35
0.83
0.24
0.00
1.59
58.18
2007
4,059
10.30
8.72
17.10
4.51
1.31
0.57
0.76
0.00
0.00
1.08
55.65
2008
5,228
5.47
11.25
25.98
2.31
1.86
1.59
1.70
0.50
0.00
0.40
48.95
2009
7,261
2.89
7.41
23.30
4.63
3.75
5.76
7.85
5.51
0.00
2.15
36.76
2010
10,113
0.91
3.92
17.45
5.77
4.99
6.50
11.50
10.20
0.00
12.19
26.56
2011
13,747
0.47
1.85
11.60
4.35
3.88
5.14
7.57
13.49
0.00
31.88
19.76
2012
14,550
0.84
1.36
9.37
3.96
3.18
4.50
10.54
8.73
0.00
39.64
17.88
2013
10,822
1.05
2.10
11.10
4.72
3.90
5.06
13.61
6.59
0.00
22.89
28.98
2014
7,052
2.27
4.25
14.73
5.50
4.95
5.47
12.73
2.79
0.00
5.52
41.78
Average
2.83
3.71
40.92
2.11
0.97
1.14
2.02
1.47
0.10
3.79
40.95
Median
1.08
3.45
25.98
1.79
0.20
0.11
0.07
0.00
0.00
0.40
38.27
Std. dev.
3.33
3.51
32.89
2.08
1.54
2.04
4.11
3.31
0.61
9.11
28.64
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
10.30
11.63
100.00
5.77
4.99
6.50
13.61
13.49
3.60
39.64
100.00
From 'BBB' rating
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 77
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
0
1989
1
1990
0
1991
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
3
33.33
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
16
43.75
0.00
37.50
12.50
0.00
0.00
0.00
0.00
0.00
0.00
6.25
1994
19
0.00
0.00
0.00
68.42
0.00
0.00
0.00
0.00
0.00
0.00
31.58
1995
26
0.00
7.69
11.54
53.85
3.85
0.00
3.85
0.00
0.00
3.85
15.38
1996
58
1.72
3.45
8.62
39.66
1.72
1.72
1.72
0.00
0.00
15.52
25.86
1997
96
3.13
5.21
10.42
54.17
0.00
1.04
1.04
0.00
0.00
6.25
18.75
1998
185
2.16
3.78
9.19
55.68
1.08
0.54
0.54
0.00
0.00
2.16
24.86
1999
327
1.53
2.45
5.81
48.93
7.34
1.53
1.22
1.22
0.00
1.83
28.13
2000
429
3.26
7.46
9.09
37.76
6.99
2.33
0.23
0.47
0.00
0.47
31.93
2001
516
8.53
12.40
8.33
32.36
1.36
0.58
0.39
0.00
0.00
0.58
35.47
2002
753
10.49
7.30
4.12
30.28
1.33
1.06
6.24
0.40
0.00
3.85
34.93
2003
1,062
6.40
6.03
5.56
27.31
2.07
2.73
1.69
0.66
0.00
9.13
38.42
2004
1,391
3.52
4.53
5.68
20.85
1.58
2.08
3.24
0.86
0.00
9.49
48.17
2005
1,653
3.33
4.42
6.65
21.05
1.33
1.51
2.66
0.97
0.00
5.63
52.45
2006
2,520
2.82
4.76
6.51
18.53
1.90
1.59
1.94
1.11
0.00
5.04
55.79
2007
3,808
3.13
5.41
6.72
16.15
2.02
1.76
2.57
0.47
0.00
4.04
57.72
2008
5,811
4.85
4.20
7.14
23.13
2.37
2.89
3.55
1.50
0.03
4.23
46.10
2009
7,941
2.83
2.25
4.97
19.44
3.68
4.05
7.77
13.16
0.00
7.95
33.89
2010
10,879
0.92
0.52
2.43
11.85
4.64
5.38
10.39
15.80
0.00
22.37
25.70
2011
14,438
0.04
0.48
1.02
8.01
4.49
3.95
6.49
15.09
0.00
41.68
18.74
2012
14,472
0.14
0.39
0.99
7.81
3.76
4.21
7.23
9.27
0.00
48.92
17.29
2013
10,506
0.34
0.54
1.77
8.37
4.46
4.97
10.48
7.93
0.00
33.83
27.31
2014
6,581
1.12
1.90
4.04
10.48
6.17
7.28
13.11
3.95
0.00
13.55
38.38
6.83
3.41
11.66
25.06
2.49
2.05
3.45
2.91
0.00
9.61
32.52
Median
2.83
3.45
6.51
20.85
1.90
1.59
1.94
0.47
0.00
4.23
31.58
Std. dev.
11.73
3.21
18.03
19.38
2.24
1.97
3.82
5.04
0.01
13.38
20.97
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
43.75
12.40
66.67
68.42
7.34
7.28
13.11
15.80
0.03
48.92
100.00
Average
From 'BB' rating
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1989
1
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1991
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1992
8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
50.00
50.00
1993
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1994
3
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
0.00
0.00
66.67
1995
2
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
0.00
50.00
1996
5
0.00
0.00
0.00
20.00
0.00
0.00
0.00
0.00
0.00
40.00
40.00
1997
13
0.00
0.00
0.00
0.00
53.85
0.00
0.00
0.00
0.00
15.38
30.77
1998
62
0.00
0.00
0.00
1.61
58.06
1.61
3.23
0.00
0.00
17.74
17.74
1999
107
0.00
0.00
0.00
3.74
70.09
2.80
0.93
0.00
0.00
8.41
14.02
2000
174
0.57
0.57
5.17
13.22
48.28
2.30
4.60
2.30
0.00
5.75
17.24
2001
266
1.50
6.77
7.89
16.17
37.97
3.76
2.63
0.75
0.00
3.38
19.17
2002
354
2.26
8.76
8.19
10.73
26.84
4.52
2.82
0.85
1.98
7.91
25.14
2003
509
3.34
5.11
3.34
7.86
24.17
5.30
1.18
1.18
0.00
10.81
37.72
2004
634
0.63
1.42
2.52
7.10
21.77
3.94
1.26
2.37
0.00
11.99
47.00
2005
774
0.65
1.29
3.10
8.66
23.77
4.26
3.10
2.33
0.00
9.95
42.89
2006
1,122
0.89
1.43
2.41
8.47
23.26
3.39
2.67
1.87
0.00
8.38
47.24
2007
1,730
0.87
2.83
3.35
11.16
21.10
3.01
1.91
0.81
0.00
5.78
49.19
2008
2,354
1.06
2.08
3.78
11.09
34.37
3.23
2.42
0.89
0.00
3.87
37.21
2009
3,212
0.62
0.44
2.46
6.60
24.91
5.64
7.66
16.78
0.00
10.02
24.88
2010
4,683
0.30
0.11
0.38
2.14
11.68
6.68
11.96
15.12
0.00
33.82
17.81
2011
6,266
0.00
0.14
0.18
1.07
6.80
5.06
8.87
13.49
0.00
50.77
13.63
2012
7,816
0.01
0.05
0.15
0.60
6.26
5.05
6.53
6.99
0.00
62.90
11.46
2013
6,494
0.03
0.14
0.18
1.29
6.50
6.01
9.42
7.41
0.00
50.06
18.96
2014
4,997
0.14
0.78
1.82
4.00
8.28
10.81
15.63
5.06
0.00
22.97
30.50
Average
0.48
1.18
1.66
5.02
29.31
2.87
3.22
2.90
0.07
15.92
37.38
Median
0.01
0.11
0.18
2.14
23.77
3.01
1.91
0.81
0.00
8.41
30.77
Std. dev.
0.80
2.24
2.40
5.76
28.31
2.79
4.18
4.88
0.38
18.89
27.82
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
3.34
8.76
8.19
20.00
100.00
10.81
15.63
16.78
1.98
62.90
100.00
From 'B' rating
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
0
1989
0
1990
0
1991
0
1992
0
1993
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1994
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1995
2
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
0.00
50.00
1996
5
0.00
0.00
0.00
0.00
0.00
20.00
0.00
0.00
0.00
20.00
60.00
1997
17
0.00
0.00
0.00
5.88
11.76
35.29
0.00
0.00
0.00
11.76
35.29
1998
55
1.82
0.00
0.00
1.82
9.09
60.00
0.00
0.00
0.00
9.09
18.18
1999
107
0.93
0.00
0.00
0.00
4.67
63.55
1.87
5.61
0.00
15.89
7.48
2000
160
0.63
0.00
1.25
5.63
10.63
57.50
1.25
3.13
0.00
12.50
7.50
2001
232
0.00
1.29
1.29
7.76
15.52
41.81
4.31
2.16
0.00
11.64
14.22
2002
274
0.36
0.73
2.92
12.04
14.23
34.31
5.84
1.46
0.00
12.77
15.33
2003
362
0.83
1.38
3.59
7.18
6.08
25.97
4.42
1.10
0.00
14.64
34.81
2004
433
0.92
0.23
0.23
0.92
2.77
22.63
4.62
1.62
0.00
15.24
50.81
2005
573
0.52
0.17
0.17
0.87
2.97
19.90
5.06
1.22
0.00
28.97
40.14
2006
762
0.66
0.00
0.00
1.18
5.38
19.82
5.64
1.57
0.00
25.07
40.68
2007
1,047
0.29
0.38
1.43
2.48
9.93
25.21
4.58
0.57
0.00
10.70
44.41
2008
1,645
0.49
0.73
1.52
2.43
10.40
38.78
8.02
0.67
0.00
9.97
26.99
2009
2,082
0.24
0.19
0.62
1.30
5.72
27.62
9.22
18.92
0.00
22.14
14.02
2010
2,711
0.11
0.00
0.11
0.44
2.07
11.36
11.62
15.68
0.00
50.83
7.78
2011
3,167
0.00
0.06
0.03
0.00
0.85
6.50
5.75
11.15
0.00
69.72
5.94
2012
5,348
0.00
0.00
0.02
0.07
0.41
3.40
3.31
5.96
0.00
82.14
4.67
2013
5,839
0.02
0.03
0.05
0.17
0.36
3.15
6.10
7.07
0.00
74.14
8.91
2014
5,109
0.04
0.14
0.51
1.17
2.54
8.12
18.99
7.57
0.00
43.90
17.01
Average
0.36
0.24
0.63
2.33
5.24
28.41
4.57
3.88
0.00
24.60
29.74
Median
0.18
0.02
0.08
1.05
3.82
25.59
4.50
1.52
0.00
14.94
22.59
Std. dev.
0.46
0.42
1.00
3.27
5.01
19.40
4.59
5.33
0.00
24.16
23.62
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.67
Max
1.82
1.38
3.59
12.04
15.52
63.55
18.99
18.92
0.00
82.14
100.00
From 'CCC' rating
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
0
1989
0
1990
0
1991
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1992
2
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
0.00
0.00
0.00
1993
3
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1994
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1995
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1996
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
1997
9
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
0.00
44.44
33.33
1998
12
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
33.33
33.33
1999
31
0.00
0.00
0.00
0.00
0.00
0.00
9.68
3.23
0.00
70.97
16.13
2000
25
0.00
0.00
0.00
0.00
0.00
0.00
16.00
24.00
0.00
48.00
12.00
2001
16
0.00
0.00
0.00
0.00
0.00
0.00
12.50
31.25
0.00
43.75
12.50
2002
14
0.00
0.00
7.14
0.00
0.00
0.00
28.57
0.00
0.00
57.14
7.14
2003
17
0.00
0.00
0.00
0.00
0.00
0.00
11.76
0.00
0.00
47.06
41.18
2004
20
0.00
0.00
0.00
0.00
0.00
0.00
25.00
5.00
0.00
25.00
45.00
2005
43
0.00
0.00
0.00
0.00
0.00
0.00
13.95
0.00
0.00
48.84
37.21
2006
75
0.00
0.00
1.33
0.00
0.00
2.67
9.33
1.33
0.00
52.00
33.33
2007
106
0.00
0.00
0.94
0.00
0.00
7.55
19.81
10.38
0.00
33.96
27.36
2008
143
0.70
0.00
0.70
1.40
0.70
6.99
13.99
0.00
0.00
44.76
30.77
2009
192
0.52
0.00
0.00
0.52
1.56
5.73
25.52
3.13
0.00
36.46
26.56
2010
183
0.00
0.00
0.55
0.55
0.55
2.73
16.94
7.10
0.00
54.64
16.94
2011
221
0.00
0.00
0.00
0.45
0.45
0.90
17.19
7.24
0.00
68.33
5.43
2012
2,419
0.00
0.00
0.00
0.04
0.04
0.00
0.91
1.45
0.00
96.20
1.36
2013
8,610
0.00
0.00
0.00
0.00
0.07
0.12
1.34
3.33
0.00
91.94
3.21
2014
8,059
0.00
0.01
0.02
0.31
0.66
1.12
11.39
9.84
0.00
70.12
6.53
Average
0.05
0.00
0.45
0.14
0.17
1.16
24.56
4.47
0.00
40.29
28.72
Median
0.00
0.00
0.00
0.00
0.00
0.00
17.07
0.67
0.00
44.60
26.96
Std. dev.
0.17
0.00
1.47
0.32
0.37
2.31
25.35
7.91
0.00
29.00
25.84
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
0.70
0.01
7.14
1.40
1.56
7.55
100.00
31.25
0.00
96.20
100.00
From 'CC'/'C' rating
1980
0
1981
0
1982
0
1983
0
1984
0
1985
0
1986
0
1987
0
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 25
Global Structured Finance Weighted-Average Five-Year Rating Transitions, 1976-2014 (%) (cont.)
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
0
1996
0
1997
0
1998
0
1999
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
71.43
28.57
2000
4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
2001
13
0.00
0.00
0.00
0.00
0.00
0.00
7.69
23.08
0.00
69.23
0.00
2002
17
0.00
0.00
0.00
11.76
0.00
0.00
0.00
0.00
0.00
52.94
35.29
2003
15
0.00
0.00
0.00
13.33
0.00
0.00
0.00
0.00
0.00
40.00
46.67
2004
18
0.00
0.00
0.00
11.11
0.00
0.00
0.00
0.00
0.00
22.22
66.67
2005
24
0.00
0.00
0.00
8.33
0.00
0.00
0.00
4.17
0.00
33.33
54.17
2006
35
0.00
0.00
0.00
5.71
0.00
0.00
0.00
17.14
0.00
37.14
40.00
2007
159
0.00
0.00
0.00
0.00
0.00
1.26
3.14
16.35
0.00
66.04
13.21
2008
174
0.00
0.00
0.00
0.00
0.00
1.15
9.77
24.71
0.00
40.80
23.56
2009
232
0.00
0.00
0.00
0.00
0.00
0.86
9.91
17.67
0.00
52.59
18.97
2010
207
0.00
0.00
0.00
0.00
0.00
0.48
3.86
25.12
0.00
48.79
21.74
2011
208
0.00
0.00
0.00
0.00
0.00
0.00
7.69
4.33
0.00
73.56
14.42
2012
350
0.00
0.00
0.00
0.00
0.00
0.00
1.71
4.86
0.00
84.00
9.43
2013
7,764
0.00
0.00
0.00
0.00
0.01
0.00
0.18
0.71
0.00
93.60
5.50
2014
12,427
0.01
0.02
0.04
0.16
0.29
0.68
1.34
4.38
0.00
82.08
11.01
Average
0.00
0.00
0.00
3.15
0.02
0.28
2.83
8.91
0.00
60.48
24.33
Median
0.00
0.00
0.00
0.00
0.00
0.00
0.76
4.35
0.00
59.49
20.35
Std. dev.
0.00
0.01
0.01
5.05
0.07
0.46
3.77
9.86
0.00
22.93
19.60
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
Max
0.01
0.02
0.04
13.33
0.29
1.26
9.91
25.12
0.00
100.00
66.67
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%)
Rating at the end of one year
10-year period ending
at year-end
Beginning no. of
ratings
AAA
AA
A
BBB
BB
B
CCC
CC
C
D
NR
1985
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1986
1
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'AAA' rating
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JUNE 22, 2015 82
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
1987
3
33.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
66.67
1988
10
20.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
80.00
1989
25
16.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
84.00
1990
49
46.94
0.00
4.08
0.00
0.00
0.00
0.00
0.00
0.00
0.00
48.98
1991
69
57.97
0.00
2.90
0.00
0.00
0.00
0.00
0.00
0.00
0.00
39.13
1992
98
52.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
47.96
1993
170
51.76
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
48.24
1994
310
49.35
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
50.65
1995
556
47.66
0.18
0.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
51.98
1996
899
44.72
0.22
0.11
0.00
0.00
0.00
0.00
0.00
0.00
0.00
54.95
1997
1,336
45.21
0.22
0.15
0.07
0.00
0.00
0.00
0.00
0.00
0.00
54.34
1998
1,769
43.53
0.06
0.17
0.06
0.00
0.00
0.00
0.00
0.00
0.00
56.19
1999
2,011
40.97
0.25
0.05
0.05
0.00
0.00
0.00
0.00
0.00
0.00
58.68
2000
2,238
24.62
0.18
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.09
75.11
2001
2,503
20.70
0.16
0.00
0.00
0.04
0.00
0.00
0.00
0.00
0.12
78.99
2002
2,829
19.34
0.18
0.00
0.07
0.00
0.00
0.00
0.00
0.00
0.04
80.38
2003
3,299
18.98
0.03
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
80.96
2004
3,784
16.57
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
83.43
2005
4,306
13.68
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
86.32
2006
4,540
12.11
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
87.86
2007
4,975
10.69
0.14
0.06
0.00
0.00
0.02
0.00
0.00
0.00
0.00
89.09
2008
5,312
5.01
1.84
0.87
0.38
0.08
0.04
0.13
0.04
0.00
0.13
91.49
2009
5,733
4.57
0.47
1.10
1.24
0.52
0.21
0.16
0.23
0.00
0.23
91.28
2010
6,155
4.24
0.89
1.17
0.67
0.55
0.29
0.45
0.23
0.00
0.62
90.89
2011
6,952
3.44
1.21
1.35
0.50
0.60
0.91
0.47
0.40
0.00
0.63
90.48
2012
7,731
3.52
2.06
1.46
0.88
0.60
0.66
0.44
0.34
0.00
0.84
89.21
2013
8,748
2.09
3.86
3.26
1.97
1.23
1.26
0.67
0.29
0.00
0.98
84.39
2014
10,072
2.51
4.51
3.96
2.99
2.29
2.35
1.68
0.31
0.00
1.71
77.69
Average
30.39
0.55
0.70
0.30
0.20
0.19
0.13
0.06
0.00
0.18
67.31
Median
20.35
0.10
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
78.34
Std. dev.
26.22
1.12
1.24
0.68
0.49
0.51
0.34
0.12
0.00
0.39
24.64
Minimum
2.09
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Maximum
100.00
4.51
4.08
2.99
2.29
2.35
1.68
0.40
0.00
1.71
91.49
83.33
0.00
16.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
From 'AA' rating
1985
0
1986
0
1987
0
1988
6
0.00
1989
21
71.43
9.52
19.05
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
21
66.67
14.29
19.05
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
26
53.85
23.08
19.23
0.00
0.00
0.00
3.85
0.00
0.00
0.00
0.00
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1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
1992
43
34.88
32.56
18.60
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.95
1993
72
20.83
51.39
9.72
0.00
0.00
0.00
0.00
0.00
0.00
4.17
13.89
1994
91
20.88
46.15
5.49
0.00
0.00
0.00
0.00
0.00
0.00
4.40
23.08
1995
134
17.91
33.58
4.48
0.75
0.00
0.00
0.00
0.00
0.00
2.99
40.30
1996
255
14.12
33.33
5.88
0.39
0.00
0.00
0.39
0.00
0.00
1.96
43.92
1997
444
5.18
32.43
8.33
0.68
0.00
0.00
0.23
0.00
0.00
0.23
52.93
1998
628
9.24
28.18
4.94
0.48
0.00
0.00
0.16
0.16
0.00
0.80
56.05
1999
833
8.40
19.57
3.48
0.72
0.24
0.12
0.12
0.24
0.00
0.60
66.51
2000
935
7.49
10.05
0.75
0.53
0.00
0.00
0.00
0.21
0.00
1.50
79.47
2001
1,236
6.80
9.39
0.49
0.32
0.16
0.08
0.08
0.57
0.00
1.54
80.58
2002
1,551
5.87
6.90
0.45
0.19
0.00
0.06
0.00
0.13
0.00
0.71
85.69
2003
1,764
6.75
6.24
0.23
0.11
0.00
0.06
0.00
0.11
0.00
0.51
86.00
2004
1,782
3.54
5.84
0.17
0.06
0.28
0.06
0.00
0.11
0.00
0.00
89.96
2005
1,784
2.52
4.99
0.39
0.06
0.28
0.00
0.00
0.00
0.00
0.00
91.76
2006
1,779
2.53
4.50
0.45
0.11
0.28
0.28
0.00
0.00
0.00
0.06
91.79
2007
1,946
2.93
5.14
0.72
0.10
0.10
0.36
0.26
0.05
0.00
0.31
90.03
2008
2,149
2.51
4.47
0.84
0.33
0.19
0.37
0.65
0.00
0.00
0.56
90.09
2009
2,166
2.82
3.23
1.48
0.46
0.42
0.60
1.11
0.00
0.00
1.20
88.69
2010
2,153
2.97
2.79
1.76
0.60
0.70
0.56
1.25
0.14
0.00
2.09
87.13
2011
2,507
2.43
2.27
1.79
0.56
0.72
1.83
1.44
0.76
0.00
2.43
85.76
2012
3,307
2.15
3.05
1.57
1.54
1.84
2.27
2.45
1.57
0.00
2.60
80.95
2013
4,535
0.62
2.54
2.25
2.58
4.15
5.76
6.02
1.39
0.00
2.47
72.24
2014
6,884
0.55
3.18
2.47
2.91
4.92
6.62
11.65
2.32
0.00
5.91
59.46
Average
13.92
17.85
4.97
1.12
0.53
0.70
1.10
0.29
0.00
1.37
58.16
Median
5.87
9.39
1.79
0.33
0.00
0.06
0.08
0.00
0.00
0.71
72.24
Std. dev.
19.86
19.53
6.46
3.19
1.22
1.68
2.53
0.58
0.00
1.58
34.16
Min
0.00
2.27
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
71.43
83.33
19.23
16.67
4.92
6.62
11.65
2.32
0.00
5.91
91.79
From 'A' rating
1985
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1986
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1987
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1988
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1989
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1990
1
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1991
2
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1992
3
0.00
0.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1993
6
0.00
0.00
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
1994
9
0.00
11.11
44.44
0.00
0.00
0.00
0.00
0.00
0.00
0.00
44.44
1995
19
5.26
21.05
26.32
0.00
0.00
0.00
0.00
0.00
0.00
0.00
47.37
1996
19
0.00
5.26
42.11
5.26
0.00
0.00
0.00
0.00
0.00
0.00
47.37
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. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
1997
29
0.00
3.45
37.93
3.45
0.00
0.00
0.00
0.00
0.00
0.00
55.17
1998
45
0.00
2.22
40.00
2.22
0.00
0.00
0.00
0.00
0.00
0.00
55.56
1999
111
0.00
0.90
23.42
0.90
0.00
0.00
0.00
0.00
0.00
5.41
69.37
2000
354
1.13
3.11
12.43
0.56
0.56
0.28
0.56
0.00
0.00
2.54
78.81
2001
533
0.94
3.38
8.63
0.38
0.19
0.00
0.19
0.00
0.00
2.63
83.68
2002
793
2.14
2.14
7.94
0.50
0.13
0.00
0.13
0.00
0.00
2.77
84.24
2003
935
4.06
2.57
6.52
0.53
0.11
0.11
0.00
0.00
0.00
2.46
83.64
2004
1,023
1.96
2.83
5.08
0.59
0.10
0.00
0.10
0.00
0.00
0.39
88.95
2005
1,071
1.03
2.43
4.76
0.09
0.09
0.00
0.09
0.19
0.00
1.12
90.20
2006
1,352
0.96
1.92
3.77
0.15
0.00
0.00
0.15
0.15
0.00
2.66
90.24
2007
1,563
0.83
2.37
3.97
0.38
0.00
0.00
0.00
0.26
0.00
1.60
90.60
2008
1,775
1.30
1.92
4.28
0.62
0.28
0.23
0.28
0.39
0.00
1.86
88.85
2009
2,083
4.08
1.58
2.98
0.53
0.91
0.38
0.53
0.67
0.00
3.26
85.07
2010
2,307
1.91
1.52
2.69
0.91
0.87
0.82
0.65
0.56
0.00
3.99
86.09
2011
2,896
1.21
2.00
2.59
2.11
1.00
1.00
0.79
1.04
0.00
4.14
84.12
2012
4,059
0.84
2.49
3.15
2.51
0.81
1.55
2.64
2.09
0.00
4.29
79.63
2013
5,228
0.36
1.21
3.31
1.24
1.86
3.58
10.00
4.09
0.00
4.53
69.82
2014
7,261
0.28
0.99
3.13
1.47
2.08
3.24
13.87
6.34
0.00
12.26
56.36
Average
0.94
2.55
25.20
0.81
0.30
0.37
1.00
0.53
0.00
1.86
66.43
Median
0.32
1.92
5.80
0.44
0.00
0.00
0.00
0.00
0.00
0.76
81.63
Std. dev.
1.38
4.13
34.19
1.22
0.55
0.90
3.06
1.38
0.00
2.62
32.08
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
5.26
21.05
100.00
5.26
2.08
3.58
13.87
6.34
0.00
12.26
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
From 'BBB' rating
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
1
1995
0
1996
3
33.33
66.67
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1997
3
33.33
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
66.67
1998
16
18.75
0.00
0.00
6.25
0.00
0.00
0.00
0.00
0.00
0.00
75.00
1999
19
5.26
5.26
5.26
10.53
0.00
0.00
0.00
0.00
0.00
0.00
73.68
2000
26
3.85
3.85
0.00
7.69
0.00
0.00
0.00
0.00
0.00
11.54
73.08
2001
58
6.90
5.17
0.00
3.45
0.00
0.00
0.00
0.00
0.00
18.97
65.52
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT
JUNE 22, 2015 85
1406997 | 301945678
. Default, Transition, and Recovery: 2014 Annual Global Structured Finance Default Study And Rating Transitions
Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
2002
96
10.42
0.00
0.00
3.13
0.00
0.00
0.00
0.00
0.00
8.33
78.13
2003
185
13.51
3.24
1.08
2.16
0.00
0.00
0.00
0.00
0.00
2.70
77.30
2004
327
3.98
1.53
0.92
3.36
0.00
0.00
0.31
0.00
0.00
7.03
82.87
2005
429
2.10
1.40
1.63
3.50
0.47
1.17
0.23
0.00
0.00
5.59
83.92
2006
516
1.74
2.52
1.16
2.52
0.78
1.74
1.74
0.00
0.00
1.94
85.85
2007
753
1.73
2.39
1.46
3.19
0.66
1.33
1.46
0.27
0.00
11.29
76.23
2008
1,062
2.45
2.64
2.26
4.33
0.75
1.41
0.85
0.28
0.00
13.09
71.94
2009
1,391
2.23
3.31
2.37
3.95
0.50
1.01
0.93
0.86
0.00
13.73
71.10
2010
1,653
2.12
2.36
2.66
3.93
1.09
0.97
1.33
1.09
0.00
9.44
75.02
2011
2,520
0.75
1.39
1.83
3.06
1.79
1.47
1.59
0.95
0.00
10.08
77.10
2012
3,808
0.42
0.74
0.97
2.86
1.23
1.31
2.36
2.57
0.00
11.63
75.89
2013
5,811
0.26
1.00
1.05
3.05
1.12
1.57
5.44
6.78
0.00
13.47
66.27
2014
7,941
0.14
0.63
1.07
2.32
1.35
1.54
6.28
7.82
0.00
25.21
53.65
Average
7.16
5.20
1.19
3.46
0.49
0.68
1.13
1.03
0.00
8.20
71.46
Median
2.34
1.94
1.06
3.16
0.23
0.48
0.27
0.00
0.00
8.89
75.01
Std. dev.
10.19
14.56
1.30
2.49
0.58
0.71
1.78
2.24
0.00
7.03
19.20
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Max
33.33
66.67
5.26
10.53
1.79
1.74
6.28
7.82
0.00
25.21
100.00
From 'BB' rating
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1994
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1995
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1996
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1997
8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
50.00
50.00
1998
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1999
3
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
33.33
66.67
2000
2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
50.00
50.00
2001
5
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
40.00
60.00
2002
13
0.00
7.69
7.69
0.00
0.00
0.00
0.00
0.00
0.00
15.38
69.23
2003
62
6.45
8.06
0.00
9.68
1.61
0.00
0.00
0.00
0.00
19.35
54.84
2004
107
0.00
0.00
2.80
3.74
4.67
0.93
1.87
0.00
0.00
10.28
75.70
2005
174
0.00
0.57
2.30
3.45
2.30
0.57
1.15
0.00
0.00
11.49
78.16
2006
266
0.75
1.50
1.13
1.50
1.88
0.38
1.13
0.00
0.00
16.17
75.56
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Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
2007
354
0.56
1.69
2.82
2.54
5.08
0.85
0.56
0.00
0.00
14.97
70.90
2008
509
0.39
1.18
4.13
5.30
5.30
1.77
0.59
0.39
0.00
13.75
67.19
2009
634
0.32
1.74
3.31
7.10
4.73
1.58
0.95
1.42
0.00
15.30
63.56
2010
774
0.26
1.42
2.20
5.04
5.43
3.10
2.97
3.75
0.00
16.15
59.69
2011
1,122
0.27
1.07
1.60
2.94
4.10
3.74
3.21
2.50
0.00
19.16
61.41
2012
1,730
0.23
0.52
0.92
1.68
3.41
2.31
3.53
3.58
0.00
18.15
65.66
2013
2,354
0.21
0.34
0.47
1.06
2.12
2.12
5.86
6.71
0.00
25.23
55.86
2014
3,212
0.09
0.31
0.47
0.87
2.12
2.24
5.20
4.61
0.00
41.10
43.00
Average
0.43
1.19
1.36
2.04
1.94
0.89
1.23
1.04
0.00
18.63
71.25
Median
0.00
0.33
0.47
0.97
1.75
0.19
0.28
0.00
0.00
15.77
66.93
Std. dev.
1.36
2.25
1.92
2.71
2.11
1.17
1.79
1.92
0.00
15.61
18.15
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
43.00
Max
6.45
8.06
7.69
9.68
5.43
3.74
5.86
6.71
0.00
50.00
100.00
From 'B' rating
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
0
1996
0
1997
0
1998
1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1999
2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
2000
2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
2001
5
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
20.00
80.00
2002
17
0.00
11.76
0.00
0.00
0.00
5.88
0.00
0.00
0.00
23.53
58.82
2003
55
7.27
3.64
1.82
5.45
7.27
10.91
0.00
0.00
0.00
12.73
50.91
2004
107
0.00
0.00
0.00
0.00
2.80
3.74
0.00
0.93
0.00
21.50
71.03
2005
160
0.00
0.00
0.63
0.63
0.00
2.50
1.25
0.63
0.00
20.00
74.38
2006
232
1.29
0.00
0.00
1.72
0.86
3.02
0.43
0.43
0.00
17.67
74.57
2007
274
1.09
0.00
0.00
1.09
1.46
4.38
1.46
0.36
0.00
18.61
71.53
2008
362
0.83
0.00
0.00
0.28
2.76
4.42
3.04
0.55
0.00
19.34
68.78
2009
433
0.69
0.00
0.00
0.69
3.46
6.70
3.46
0.69
0.00
20.79
63.51
2010
573
0.35
0.00
0.35
0.70
2.44
5.06
3.66
1.22
0.00
38.39
47.82
2011
762
0.00
0.00
0.13
0.39
2.10
4.59
3.15
1.31
0.00
40.81
47.51
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Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
2012
1,047
0.00
0.00
0.00
0.57
2.01
4.20
2.67
2.58
0.00
32.57
55.40
2013
1,645
0.18
0.12
0.12
0.73
1.22
3.04
3.22
7.05
0.00
44.62
39.70
2014
2,082
0.05
0.14
0.48
0.34
0.67
2.31
3.75
4.47
0.00
62.58
25.22
Average
0.69
0.92
0.21
0.74
1.59
3.57
1.54
1.19
0.00
23.13
66.42
Median
0.00
0.00
0.00
0.39
1.22
3.74
1.25
0.55
0.00
20.00
68.78
Std. dev.
1.75
2.93
0.46
1.30
1.88
2.83
1.58
1.90
0.00
16.69
21.35
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
25.22
Max
7.27
11.76
1.82
5.45
7.27
10.91
3.75
7.05
0.00
62.58
100.00
From 'CCC' rating
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
0
1996
2
0.00
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
50.00
1997
2
0.00
0.00
0.00
0.00
0.00
0.00
50.00
0.00
0.00
0.00
50.00
1998
3
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
1999
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
2000
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
2001
3
0.00
0.00
0.00
0.00
0.00
0.00
33.33
0.00
0.00
0.00
66.67
2002
9
0.00
0.00
0.00
0.00
0.00
0.00
11.11
0.00
0.00
44.44
44.44
2003
12
0.00
0.00
0.00
0.00
0.00
0.00
8.33
0.00
0.00
41.67
50.00
2004
31
0.00
0.00
0.00
0.00
0.00
0.00
3.23
0.00
0.00
74.19
22.58
2005
25
0.00
0.00
0.00
0.00
0.00
0.00
4.00
0.00
0.00
56.00
40.00
2006
16
0.00
0.00
0.00
6.25
0.00
0.00
6.25
0.00
0.00
50.00
37.50
2007
14
0.00
0.00
0.00
0.00
0.00
0.00
7.14
0.00
0.00
64.29
28.57
2008
17
0.00
0.00
0.00
0.00
0.00
5.88
0.00
0.00
0.00
47.06
47.06
2009
20
0.00
0.00
0.00
0.00
0.00
5.00
0.00
5.00
0.00
35.00
55.00
2010
43
0.00
0.00
0.00
0.00
0.00
0.00
2.33
0.00
0.00
55.81
41.86
2011
75
0.00
0.00
0.00
1.33
0.00
0.00
1.33
0.00
0.00
60.00
37.33
2012
106
0.00
0.00
0.00
0.94
0.00
1.89
0.94
0.00
0.00
59.43
36.79
2013
143
0.00
0.70
0.00
0.00
1.40
0.70
2.80
0.00
0.00
58.74
35.66
2014
192
0.00
0.00
0.00
1.04
0.00
0.52
3.65
5.73
0.00
56.77
32.29
Average
0.00
0.04
0.00
0.50
0.07
0.74
13.22
0.56
0.00
37.02
47.85
Median
0.00
0.00
0.00
0.00
0.00
0.00
4.00
0.00
0.00
47.06
44.44
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Table 26
Global Structured Finance Weighted-Average 10-Year Rating Transitions, 1976-2014 (%) (cont.)
Std. dev.
0.00
0.16
0.00
1.45
0.32
1.73
17.25
1.70
0.00
Min
0.00
0.00
0.00
0.00
0.00
Max
0.00
0.70
0.00
6.25
1.40
27.19
17.79
0.00
0.00
0.00
0.00
0.00
22.58
5.88
50.00
5.73
0.00
74.19
100.00
From 'CC'/'C' rating
1985
0
1986
0
1987
0
1988
0
1989
0
1990
0
1991
0
1992
0
1993
0
1994
0
1995
0
1996
0
1997
0
1998
0
1999
0
2000
0
2001
0
2002
0
2003
0
2004
7
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
71.43
28.57
2005
4
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
2006
13
0.00
0.00
0.00
7.69
0.00
0.00
0.00
0.00
0.00
69.23
23.08
2007
17
0.00
0.00
0.00
11.76
0.00
0.00
0.00
0.00
0.00
52.94
35.29
2008
15
0.00
0.00
0.00
13.33
0.00
0.00
0.00
0.00
0.00
40.00
46.67
2009
18
0.00
0.00
0.00
5.56
5.56
0.00
0.00
0.00
0.00
22.22
66.67
2010
24
0.00
0.00
0.00
4.17
4.17
0.00
0.00
4.17
0.00
33.33
54.17
2011
35
0.00
0.00
0.00
0.00
2.86
0.00
0.00
2.86
0.00
42.86
51.43
2012
159
0.00
0.00
0.00
0.00
1.26
0.00
0.00
0.00
0.00
77.36
21.38
2013
174
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
66.09
33.91
2014
232
0.00
0.00
0.00
0.00
0.00
0.00
0.43
0.86
0.00
72.84
25.86
Average
0.00
0.00
0.00
3.86
1.26
0.00
0.04
0.72
0.00
58.94
35.18
Median
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
66.09
33.91
Std. dev.
0.00
0.00
0.00
5.09
2.01
0.00
0.13
1.44
0.00
22.78
18.59
Min
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
22.22
0.00
Max
0.00
0.00
0.00
13.33
5.56
0.00
0.43
4.17
0.00
100.00
66.67
'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
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