2017 Annual Global Structured Finance Default …...Default, Transition, and Recovery: 2017 Annual Global Structured Finance Default Study And Rating Transitions May 25, 2018 (Editor's

Default, Transition, and Recovery:

2017 Annual Global Structured Finance DefaultStudy And Rating TransitionsMay 25, 2018

(Editor's Note: In this study, we include the ratings history of all securities whose original rating was 'AAA'. This represents achange in methodology compared with previous editions of our global structured finance default and rating transitions study. Forfurther details, see "Treatment of 'AAA' ratings" in Appendix I and example summary statistics in Appendix III.)

In 2017, the global structured finance default rate declined to a 10-year low, while the downgraderate fell to its lowest level since 2006. Overall credit quality increased for the second successiveyear, and the upgrade rate remained close to recent highs.

S&P Global Ratings had more than 38,500 ratings outstanding on global structured financesecurities at the beginning of 2017. Of these securities, 2.1% defaulted during the year—thelowest annual figure since 2007. The downgrade rate fell to 5.0% in 2017 from 6.7% in 2016,reaching an 11-year low. Meanwhile, the upgrade rate decreased to 9.1% in 2017, from 10.9% in2016. Combining upgrades and downgrades with their severity, we raised our ratings on globalstructured finance securities by an average of 0.10 notches on aggregate, compared with a0.15-notch increase in average credit quality during 2016.

By far the most downgrades continued to be in the U.S. residential mortgage-backed securities(RMBS) sector, but the European commercial mortgage-backed securities (CMBS) and U.S.single-name synthetics sectors saw higher downgrade rates, which express the number ofdowngrades as a proportion of the number of ratings outstanding. By contrast, a variety of sectorsexhibited strong credit performance, with the highest upgrade rate of 33.2% in the EuropeanRMBS sector, mainly due to corresponding upgrades for related transaction counterparties orsovereigns. Overall, there were double-digit upgrade rates in each of the asset-backed securities(ABS), CMBS, and structured credit sectors globally.

Default, Transition, and Recovery:

2017 Annual Global Structured Finance DefaultStudy And Rating TransitionsMay 25, 2018

GLOBAL FIXED INCOME RESEARCH

Andrew H South

London

(44) 20-7176-3712

[email protected]

Zev R Gurwitz

New York

(1) 212-438-7128

[email protected]

www.spglobal.com/ratingsdirect May 25, 2018 1

mailto: [email protected]




Key Takeaways

Defaults: Annual default rate declines to a 10-year low

- We lowered 817 global structured finance ratings to 'D' in 2017, for an overall defaultrate of 2.1%—down from 3.0% in 2016.

- This put the 2017 default rate well below the one-year average default rate of 3.9%.

Rating transitions: Upgrade and downgrade rates both declined in 2017

- Of the 38,539 global structured finance ratings outstanding at the start of 2017, we leftunchanged or raised 95.0% and lowered 5.0%. This compares with 93.3% and 6.7%,respectively, in 2016.

- We raised 9.1% of ratings in 2017, down from 10.9% in 2016.

- The 2017 downgrade rate of 5.0% was much lower than the long-term one-year averagedowngrade rate of 16.6%.

- The average change in credit quality was +0.10 notches in 2017—down from +0.15notches in 2016 but still in positive territory at year-end for only the second time since2006.

Sector and region breakdown: Most downgrades in U.S. RMBS; upgrades spread acrossmany sectors

- In the U.S., the RMBS sector accounted for by far the majority of downgrades anddefaults, with a downgrade rate of 6.8% and a default rate of 3.2%.

- In Europe, CMBS was the weakest sector, with a downgrade rate of 21.9%.

- By contrast, ABS ratings saw a high upgrade rate of 12.0% globally, and only eightdefaults.

Credit Performance—Default Rate Reaches 10-Year Low

By most metrics, the overall credit performance of global structured finance securities that werate was positive in 2017. During the year, we raised 9.1% of our ratings on global structuredfinance securities that were outstanding at the beginning of the year (see chart 1). Although thiswas down from 10.9% in 2016, it still strongly exceeded the downgrade rate for only the secondtime since 2006. The downgrade rate of 5.0% constituted an 11-year low.

The 12-month trailing average change in credit quality (see definition in Appendix I) for globalstructured finance was +0.10 rating notches at the end of 2017. This measure had been negativefor several years since mid-2007, indicating that, on average, ratings were drifting lower, butturned positive in early 2016 (see chart 1).

The default rate of 2.1% in 2017 was lower than in the previous year and well below the one-yearweighted-average default rate of 3.9%. Viewing the default rate on a 12-month trailing basisreveals the broader downtrend had reversed, with a significant uptick in the default rate during


Default, Transition, and Recovery: 2017 Annual Global Structured Finance Default Study And Rating Transitions

the second half of 2015, but default rates have declined again more recently (see chart 2). Thedefault rate for investment-grade ratings rose slightly to 14.6 basis points (bps) in 2017, from 12.5bps in 2016, although this was equivalent to only 33 defaults among 22,678 investment-graderatings outstanding at the beginning of the year. The speculative-grade default rate was 4.9%. Theannual default rates for both investment- and speculative-grade structured finance securitieshave generally stabilized since their peaks in 2009.

Chart 1



Chart 2

Region and sector comparisons

Structured finance credit performance in 2017 diverged significantly between sectors and regions.Globally, the ABS sector had the highest upgrade rate of 12.0% and a downgrade rate of only1.9%, with ratings rising by an average of 0.26 notches over the year.

The region-sector combination with the highest upgrade rate was European RMBS, where weraised nearly one-third of the ratings that were outstanding at the beginning of the year, largelydue to country and counterparty risk considerations. By contrast, U.S. RMBS saw an upgrade rateof only 5.7%. That said, most areas had upgrade and downgrade rates, respectively, well aboveand below the one-year weighted-average in each case (see chart 3).

The European CMBS sector had the highest downgrade rate of 21.9% and a relatively low upgraderate of 5.5%. The second-highest downgrade rate of 7.7% was in the U.S. single-name syntheticssector. That said, even in these two sectors the downgrade rate in 2017 was lower than theone-year weighted-average. However, the nature of the performance deterioration differedbetween the two sectors, with European CMBS also recording the highest default rate (10.9%),while there were only two defaults among U.S. single-name synthetics for a default rate of 0.7%(see chart 4).

Outside the U.S. and Europe, the number of upgrades generally far exceeded the number ofdowngrades in 2017 and there were no defaults among nearly 1,700 securities outstanding at thebeginning of the year. There was a relative concentration of downgrades in emerging markets,many of which were linked to our lowering of the South African sovereign rating in November 2017.



Chart 3

Chart 4



Vintages

Credit performance continues to be differentiated by the year of issuance—or vintage—ofstructured finance securities. The fundamental credit characteristics and economic environmentof a transaction's vintage can influence its subsequent credit behavior.

Segmenting global structured finance credit performance by transaction vintage reveals that theupgrade rate in 2017 was highest for the 2009 vintage (see chart 5). In 2017, downgrade rates werehighest in the 2000, 2001, and 2003 vintages, with most in U.S. RMBS. By contrast, the downgraderate has normalized for the 2005-2007 vintages that saw the weakest credit performance duringthe financial crisis, and was well below the one-year weighted-average in 2017. The 2005-2007vintages also exhibit the highest one-year average default rates, given their performance duringthe financial crisis, but default rates for these vintages in 2017 were much lower and on par withother vintages (see chart 6).

Chart 5



Chart 6

Table 1 shows a summary of 2017 credit performance for global structured finance segmented invarious ways and compared with the 1976-2017 one-year weighted-average statistics.

Table 1

Global Structured Finance Transition And Default Summary

2017 One-year average

Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 38,539 85.9 9.1 5.0 2.1 817 80.0 3.4 16.6 3.9

Region

U.S. 32,762 87.3 7.4 5.3 2.4 774 79.9 3.0 17.1 4.3

Europe 4,110 73.9 22.3 3.8 1.0 43 77.1 7.3 15.6 1.0

Australasia 869 86.0 13.3 0.7 0.0 0 91.7 4.0 4.2 0.1

Japan 545 95.6 4.2 0.2 0.0 0 88.4 5.8 5.7 0.9

Canada 138 86.2 13.8 0.0 0.0 0 92.4 6.0 1.6 0.1

Latin America 72 75.0 18.1 6.9 0.0 0 72.6 11.4 15.9 1.0

Other emergingmarkets

39 56.4 10.3 33.3 0.0 0 73.2 12.4 14.4 0.1

Asia (excl. Japan) 4 100.0 0.0 0.0 0.0 0 83.9 4.1 12.0 1.9

Sector

RMBS 24,444 86.0 7.9 6.1 2.8 680 79.7 2.1 18.3 4.7

Structured credit 5,621 87.7 10.1 2.2 0.5 28 72.8 8.5 18.8 3.3

ABS 5,127 86.1 12.0 1.9 0.2 8 90.5 3.9 5.6 0.4



Table 1

Global Structured Finance Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

CMBS 3,016 81.7 11.7 6.6 3.3 99 81.1 5.9 13.0 3.2

Single-namesynthetics

331 84.9 7.9 7.3 0.6 2 81.0 5.6 13.4 0.6

Region and sector

U.S. RMBS 21,291 87.5 5.7 6.8 3.2 672 79.3 1.8 18.9 5.0

U.S. structuredcredit

4,008 91.0 7.4 1.6 0.5 21 73.1 7.8 19.1 4.1

U.S. ABS 4,525 86.4 12.3 1.3 0.2 8 90.2 3.9 5.9 0.4

U.S. CMBS 2,654 82.5 12.2 5.4 2.7 71 81.3 6.2 12.5 3.4

U.S. single-namesynthetics

284 83.5 8.8 7.7 0.7 2 80.3 6.1 13.5 0.7

Europe RMBS 1,830 65.6 33.2 1.2 0.4 8 80.6 6.2 13.1 0.3

Europe structuredcredit

1,545 79.8 16.7 3.5 0.5 7 72.4 9.8 17.8 1.4

Europe ABS 456 87.1 7.9 5.0 0.0 0 88.8 4.1 7.1 0.3

Europe CMBS 256 72.7 5.5 21.9 10.9 28 74.0 3.5 22.5 2.9

Australasia 869 86.0 13.3 0.7 0.0 0 91.7 4.0 4.2 0.1

Japan 545 95.6 4.2 0.2 0.0 0 88.4 5.8 5.7 0.9

Other 276 79.3 13.4 7.2 0.0 0 85.3 6.2 8.6 0.4

Vintage

Pre-2000 379 89.4 4.0 6.6 1.1 4 96.1 1.9 2.0 0.3

2000 131 80.2 6.9 13.0 1.5 2 90.4 3.8 5.8 0.8

2001 269 81.8 8.2 10.0 3.0 8 88.9 4.9 6.2 1.0

2002 824 86.7 8.0 5.3 1.5 12 86.4 5.7 7.9 1.2

2003 3,624 83.5 6.3 10.2 2.1 77 85.9 3.2 10.9 1.3

2004 5,881 84.8 7.3 7.8 3.3 196 82.2 2.9 14.9 2.5

2005 5,421 82.5 10.3 7.2 4.2 225 72.8 3.0 24.2 5.9

2006 3,903 82.9 11.9 5.3 3.5 135 60.0 3.6 36.4 10.2

2007 4,164 81.5 13.9 4.7 2.6 107 55.7 4.6 39.7 11.2

2008 525 81.1 12.2 6.7 3.2 17 72.5 5.8 21.7 4.4

2009 909 83.6 14.3 2.1 0.8 7 83.7 5.3 11.1 1.4

2010 1,137 91.6 5.0 3.4 2.1 24 88.9 5.9 5.1 0.4

2011 331 87.3 12.1 0.6 0.3 1 86.6 9.3 4.1 0.1

2012 885 89.8 9.3 0.9 0.1 1 91.1 7.3 1.6 0.1

2013 2,532 94.0 5.6 0.4 0.0 0 93.2 6.0 0.8 0.0

2014 2,657 89.5 8.9 1.7 0.0 0 93.0 6.0 1.1 0.0

2015 2,524 87.4 11.9 0.7 0.0 1 91.3 8.1 0.6 0.0



Table 1

Global Structured Finance Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2016 2,443 96.1 3.3 0.6 0.0 0 96.1 3.3 0.6 0.0

Rating category

AAA 7,265 99.5 0.0 0.5 0.0 1 92.7 0.0 7.3 0.1

AA 6,125 85.9 11.1 3.0 0.1 5 77.0 7.8 15.2 0.3

A 5,154 78.2 17.9 3.9 0.2 12 74.4 8.1 17.5 0.5

BBB 4,134 76.3 18.4 5.3 0.4 15 70.9 7.9 21.2 1.1

BB 3,146 77.1 14.9 8.0 1.1 35 64.4 8.0 27.6 2.3

B 3,199 79.3 12.9 7.8 1.4 44 57.7 6.2 36.1 5.0

CCC 8,054 90.9 2.6 6.5 5.6 454 66.7 2.5 30.8 16.3

CC 1,462 78.8 4.0 17.2 17.2 251 56.0 1.4 42.6 42.6

Rating grade

Investment-grade 22,678 86.8 10.4 2.8 0.1 33 85.4 3.1 11.4 0.3

Speculative-grade 15,861 84.7 7.2 8.1 4.9 784 62.2 4.3 33.5 15.8

*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global FixedIncome Research.

Ratings Performance—Ratings Have Historically Differentiated DefaultRates

Our structured finance ratings express an opinion of securities' creditworthiness, for which thecenterpiece is an assessment of default likelihood, rather than the likelihood of upgrade ordowngrade. That said, our ratings do also consider credit stability as a secondary factor.

Across global structured finance, upgrade and downgrade rates in 2017 were generallydifferentiated by securities' ratings at the beginning of the year. Broadly speaking, downgraderates were higher for lower rating categories, with a downgrade rate of 0.5% for securities rated'AAA' at the beginning of the year compared with 17.2% for those rated 'CC' (see chart 7). The 'B'and 'CCC' rating categories bucked this trend slightly, with downgrade rates of 7.8% and 6.5%,respectively, slightly lower than the 'BB' downgrade rate of 8.0%.

Based on a longer time horizon, the observed weighted-average one-year downgrade rates forglobal structured finance are generally aligned with rating categories, except at the 'CCC' ratingcategory (see chart 7). Upgrade rates have historically been more consistent across most ratingcategories.



Chart 7

In contrast to credit stability, default likelihood is the primary factor in our assessment ofcreditworthiness that the ratings reflect. As such, we would typically expect default rates to belower for higher-rated securities, provided that observations are made over sufficiently long timehorizons and large samples. Over shorter timeframes or smaller samples, this relationship maynot always hold, and default rates can also vary over time.

For global structured finance, higher-rated securities have clearly been associated with lowerweighted-average one-year default rates between 1976 and 2017 (see chart 8). Default rates in2017 were generally higher at lower ratings, as expected. For example, the default rate forsecurities that we rated in the 'A' category at the beginning of the year was 0.2%, contrasting witha 1.4% default rate for the 'B' rating category, and 17.2% for 'CC'.



Chart 8

In order to further explore the extent to which our structured finance ratings have successfullyrank-ordered securities' creditworthiness over time, we can calculate cumulative default rates byrating category for various time horizons on the same basis as in our corporate default andtransition studies. This approach constructs average multi-year cumulative default rates by firstaggregating across static pools the period-to-period one-year marginal default rates that areconditional on the securities' survival (i.e., non-default) in the prior one-year period (see Appendix Ifor more details). We note that this approach differs from the calculations we use in constructingthe weighted-average multi-year default and transition rates included elsewhere in this study,where default rates are not conditional on survival.

The cumulative default rates (conditional on survival) based on our full data history—from thebeginning of 1976 to the end of 2017—show that lower ratings have generally been associatedwith higher default rates and vice versa (see table 2). In other words, ratings appear to havesuccessfully ranked-ordered creditworthiness over each time horizon.

Table 2

Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2017 (%)

Time horizon (years)

1 2 3 4 5 6 7 8 9 10

AAA 0.06 0.33 1.08 2.36 3.74 4.78 5.53 6.06 6.46 6.72

AA 0.26 1.96 4.72 7.35 9.60 11.49 12.96 14.15 15.11 15.92

A 0.46 3.17 6.85 10.23 13.11 15.57 17.65 19.39 20.86 22.18

BBB 1.09 5.69 11.23 16.37 20.76 24.43 27.29 29.54 31.31 32.78

BB 2.27 9.01 15.71 22.01 27.29 31.63 35.08 37.79 40.09 42.02

B 4.96 15.01 23.96 32.58 39.12 43.71 47.62 50.79 53.63 55.82



Table 2

Global Structured Finance Cumulative Default Rates, Conditional On Survival, 1976-2017(%) (cont.)


1 2 3 4 5 6 7 8 9 10

CCC 16.34 31.22 42.80 49.73 53.85 56.62 58.31 59.37 60.26 60.93

CC 42.61 62.31 74.06 79.35 82.06 83.69 84.64 85.13 85.39 85.39

IG 0.27 1.56 3.52 5.68 7.67 9.25 10.45 11.35 12.05 12.58

SG 15.83 28.78 38.67 45.45 50.06 53.35 55.84 57.78 59.55 61.00

Overall 3.91 7.85 11.52 14.59 17.03 18.85 20.17 21.14 21.88 22.44

IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Fixed Income Research.

Default rates calculated on a rolling basis for a given horizon (e.g., five years) further demonstratethat this ratings-based rank ordering has generally remained in place over time, even as absolutedefault rates have fluctuated with differing levels of credit stress. For example, the five-yeartrailing 'AAA' default rate for global structured finance was 0.37% at the end of 2017, down from0.41% at the end of 2016 and a peak of 17.43% at the end of 2012. By contrast, the five-yeartrailing 'BBB' default rate was 1.65% at the end of 2017, down from 2.83% in 2016 and a peak of48.84% in 2012 (see chart 9).

Chart 9

We also calculate Gini coefficients as a means to quantify the rank-ordering power of our ratingsin relation to securities' observed default propensity. The Gini coefficient is a summary metric thatcan range between zero and 100%—the closer to 100%, the higher the rank ordering power of theratings under observation (see Appendix I for more details).



In 2017, the one-year Gini coefficient for defaults of rated global structured finance securities was74.6%—down from 82.3% the previous year. The decline was due to defaults in the RMBS sector.Looking at longer timeframes, the three-year and five-year Gini coefficients were more stablecompared with the end of 2016, at 78.7% and 83.8%, respectively (see chart 10). This follows thepronounced dip in Gini coefficient values several years ago, related to the 2008-2009 financialcrisis. During this period, a relatively large number of defaults in certain sectors—such as U.S.RMBS and U.S. structured credit—coincided with fewer defaults in lower-rated securities fromother sectors, putting downward pressure on the Gini coefficients.

Chart 10

Finally, we also calculated sector-specific historical one-year Gini coefficients. For most sectors,the Gini coefficients have returned to the 80%-100% range since the end of 2011, following a dropin 2007 (see chart 11). However, the Gini coefficient for global RMBS remained lower and declinedfurther during 2017 to end the year at 65.4%. Although nearly 90% of the global RMBS defaults in2017 were from the 'CCC' and 'CC' rating categories, there were still some defaults at higher ratinglevels, putting downward pressure on the Gini coefficient for this sector.



Chart 11

The Gini coefficient metric is useful, but also has some significant shortcomings. For example, avalue of 100% would only be attained if all defaults occurred only on securities rated below somecritical 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 structuredfinance securities—sector- and region-specific credit stresses of differing severity and likelihoodmay cause higher-rated securities in more stressed areas to default, while at the same timelower-rated securities in less stressed areas do not default. This effect would place downwardpressure on the reported Gini coefficient, despite being a feature of the sample composition ratherthan reflecting a decline in ratings' accuracy.

Regions And Sectors In Detail

U.S. RMBS

In 2017, the upgrade rate in U.S. RMBS declined to 5.7%, from 8.6% in 2016. However, thedowngrade and default rates also declined compared with the previous year, to 6.8% and 3.2%,respectively (see chart 12). Incorporating both the magnitude and frequency of rating actions, theoverall average change in credit quality for U.S. RMBS was -0.05 notches for the year. This was areturn to a mildly negative year-end figure, following the first positive figures for the sector inmany years at the end of 2016.

On a 12-month trailing basis, the U.S. RMBS default rate continued its long-term downward trendto finish the year at 3.2%—the lowest level since December 2008 (see chart 13).

Prime transactions saw the highest downgrade and default rates, and these now constitute thelargest subsector of U.S. RMBS that we rate, by number of ratings (see table 3). This put the U.S.



prime RMBS default rate above its one-year average in 2017, while in all other subsectors the2017 default rates were below their one-year averages. The highest upgrade rate of nearly 19%was in the reperforming subsector.

Over time, credit performance has become more consistent across transaction vintages in U.S.RMBS. For example, in all but one of the 2001 to 2007 pre-crisis vintages, the 2017 downgraderate was in the 4%-8% range. By contrast, the one-year weighted-average downgrade rate rangedfrom 4.7% for the 2001 vintage to 52.8% for the 2007 vintage, reflecting the much weaker creditperformance of the 2007 vintage in previous years (see table 3). We note that, relative to thesurrounding vintages, the 2009 and 2010 vintages had a large number of ratings outstanding atthe beginning of 2017. This is due to the trend toward issuance of resecuritized real estatemortgage investment conduit (re-REMIC) transactions in those years, which repackaged andeffectively added credit enhancement to securities from earlier transactions that had exhibitedweak credit performance.

The vast majority of U.S. RMBS defaults in 2017 were from the 'CCC' and 'CC' rating categories,which constituted more than 40% of our U.S. RMBS ratings universe at the beginning of 2017.

Chart 12



Chart 13

Table 3

U.S. RMBS Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 21,291 87.5 5.7 6.8 3.2 672 79.3 1.8 18.9 5.0

Subsector

U.S. RMBS prime 6,792 87.2 3.3 9.5 4.6 312 85.9 2.4 11.7 2.3

U.S. RMBSsubprime

6,658 90.9 4.3 4.8 1.6 104 75.8 1.5 22.7 5.7

U.S. RMBS alt-A 3,564 84.6 7.4 8.0 3.9 139 65.8 1.3 32.9 9.8

U.S. RMBSre-REMIC

1,659 86.4 9.5 4.2 2.3 38 85.2 3.1 11.6 2.4

U.S. RMBSreperforming

490 75.3 18.8 5.9 2.0 10 81.3 2.7 16.0 4.0

U.S. RMBSoutside guidelines

280 78.9 17.5 3.6 2.5 7 79.1 2.7 18.1 4.6

U.S. RMBS closedend 2nd

214 82.7 16.4 0.9 0.0 0 62.5 2.5 35.0 14.3

U.S. RMBS other 1,634 87.9 6.7 5.4 3.8 62 82.5 0.7 16.8 5.5

Vintage

Pre-2000 173 90.8 3.5 5.8 0.6 1 97.5 1.4 1.1 0.2

2000 63 81.0 3.2 15.9 0.0 0 93.9 2.5 3.6 0.5

2001 162 82.1 9.9 8.0 0.0 0 90.8 4.5 4.7 0.9



Table 3

U.S. RMBS Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2002 630 87.0 7.3 5.7 1.1 7 85.6 5.8 8.5 1.4

2003 3,259 83.8 5.4 10.9 2.2 73 85.6 2.3 12.2 1.5

2004 5,281 86.1 5.6 8.3 3.4 182 82.1 1.6 16.3 2.9

2005 4,542 84.7 7.8 7.5 4.6 211 71.3 1.8 26.9 7.1

2006 2,371 90.3 5.1 4.6 4.0 95 53.4 0.7 45.9 14.4

2007 1,680 92.3 2.9 4.9 3.7 62 46.7 0.6 52.8 16.9

2008 140 93.6 0.7 5.7 5.7 8 65.1 0.9 34.0 10.4

2009 631 82.1 15.4 2.5 1.1 7 83.5 3.4 13.1 2.0

2010 737 89.7 6.0 4.3 3.3 24 90.8 5.3 3.9 0.5

2011 14 85.7 7.1 7.1 7.1 1 76.3 2.9 20.8 1.2

2012 45 97.8 0.0 2.2 2.2 1 98.3 0.7 1.0 0.5

2013 496 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0

2014 561 99.6 0.4 0.0 0.0 0 99.8 0.2 0.0 0.0

2015 362 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0

2016 144 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0

Rating category

AAA 2,365 99.0 0.0 1.0 0.0 1 92.1 0.0 7.9 0.0

AA 2,801 89.7 4.9 5.4 0.2 5 77.4 5.0 17.6 0.3

A 2,087 83.7 9.3 7.0 0.6 12 71.1 5.1 23.8 0.7

BBB 1,751 76.0 15.2 8.8 0.8 14 67.1 4.6 28.4 1.8

BB 1,616 76.7 12.6 10.8 1.7 27 58.7 5.4 35.9 3.4

B 1,976 80.6 10.3 9.1 0.7 13 52.6 4.1 43.3 5.3

CCC 7,397 92.6 2.1 5.3 5.0 371 68.3 1.1 30.6 15.9

CC 1,298 78.1 4.2 17.6 17.6 229 54.8 1.6 43.6 43.6

Rating grade




U.S. structured credit

From 2011 to 2016, the U.S. structured credit sector saw high upgrade rates of consistently morethan 10% per year, but in 2017 the upgrade rate declined to 7.4%. This figure was down from14.2% in the previous year (see chart 14). The U.S. structured credit downgrade rate has generallybeen declining from year to year since 2009, and remained close to recent lows at 1.6% in 2017.



The average change in credit quality continued to be positive in 2017, ending the year at +0.18notches, slightly lower than the value at the end of 2016. U.S. structured credit ratings haveconsistently been trending higher on this 12-month trailing basis since late 2012.

In line with the low downgrade rate for U.S. structured credit, the 2017 default rate was only0.5%—slightly up from 0.4% in 2016 but still low compared with the post-crisis period in2008-2012 (see chart 15). We note that the U.S. structured credit default rate spiked considerablyhigher in 2011 when we moved to 'D' a large number of ratings on collateralized debt obligation(CDO) tranches backed by other structured finance securities, notably U.S. subprime RMBS. Atthat time, these securities had, in our view, little realistic prospects of repayment, and many wereunlikely to receive any future principal payments due to the ongoing collateral deterioration of theRMBS and other securities backing the transactions.

The overall U.S. structured credit sector remains polarized between collateralized loan obligations(CLOs)—which have historically performed very well—and some other types of structured credittransactions that performed poorly after 2007, but now constitute only a small portion of ouroutstanding ratings. For example, in 2017, CLOs constituted more than 85% of the U.S. structuredcredit sector and had a downgrade rate of only 0.2% and one default, compared with 20 defaultsacross the now much smaller structured finance CDO and other structured credit subsectors (seetable 4). In fact, the one-year average default rate for CLOs remains only 0.1%, compared with13.0% for structured finance CDOs. As CLOs have evolved to become the largest subsector withinU.S. structured credit, so the aggregate performance statistics for the sector as a whole have alsoimproved significantly.

Considering only vintages with more than 30 ratings outstanding at the beginning of 2017, thehighest upgrade rate was in the 2005 vintage, where CLO transactions in particular are nowamortizing, increasing the relative credit enhancement for the rated securities and thereforeraising their creditworthiness, all else being equal.

Finally, all the 2017 defaults in U.S. structured credit were on securities that we rated in the 'B' orlower categories at the beginning of the year.

Chart 14



Chart 15

Table 4

U.S. Structured Credit Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 4,008 91.0 7.4 1.6 0.5 21 73.1 7.8 19.1 4.1

Subsector

U.S. structuredcredit CLO

3,423 93.5 6.3 0.2 0.0 1 78.5 14.2 7.3 0.1

U.S. structuredcredit SF CDO

250 77.6 11.2 11.2 7.6 19 56.5 1.9 41.6 13.0

U.S. structuredcredit other

332 75.6 16.3 8.1 0.3 1 82.0 5.3 12.7 1.3

Vintage

Pre-2000 19 100.0 0.0 0.0 0.0 0 94.8 1.4 3.9 0.5

2000 7 100.0 0.0 0.0 0.0 0 88.6 3.6 7.8 0.8

2001 3 100.0 0.0 0.0 0.0 0 87.8 3.4 8.9 0.9

2002 20 70.0 5.0 25.0 25.0 5 84.4 3.7 11.9 1.4

2003 41 70.7 19.5 9.8 2.4 1 79.6 6.4 14.0 1.7

2004 41 68.3 22.0 9.8 7.3 3 73.3 7.1 19.6 2.9

2005 78 65.4 28.2 6.4 0.0 0 67.1 7.9 25.0 5.0

2006 263 76.8 16.7 6.5 2.7 7 59.7 10.3 30.0 7.5

2007 566 84.6 11.5 3.9 0.9 5 55.8 13.3 30.9 8.5



Table 4

U.S. Structured Credit Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2008 32 75.0 25.0 0.0 0.0 0 66.9 14.5 18.6 2.3

2009 15 80.0 20.0 0.0 0.0 0 60.0 25.5 14.5 2.3

2010 18 100.0 0.0 0.0 0.0 0 88.8 4.9 6.2 0.4

2011 26 69.2 30.8 0.0 0.0 0 84.8 15.1 0.1 0.0

2012 228 81.1 18.9 0.0 0.0 0 92.0 7.6 0.3 0.0

2013 826 97.0 2.9 0.1 0.0 0 94.8 4.8 0.3 0.0

2014 754 95.6 3.7 0.7 0.0 0 96.9 2.7 0.4 0.0

2015 469 95.1 4.9 0.0 0.0 0 97.1 2.9 0.0 0.0

2016 602 98.2 1.8 0.0 0.0 0 98.2 1.8 0.0 0.0

Rating category

AAA 1,068 100.0 0.0 0.0 0.0 0 88.6 0.0 11.4 0.5

AA 773 88.5 11.4 0.1 0.0 0 68.7 15.4 16.0 0.7

A 597 86.3 12.7 1.0 0.0 0 70.2 12.1 17.7 0.7

BBB 547 88.7 10.8 0.5 0.0 0 66.4 11.4 22.2 0.8

BB 539 92.0 7.4 0.6 0.0 0 65.7 12.2 22.0 1.0

B 253 91.7 5.5 2.8 0.4 1 56.9 16.2 26.9 1.7

CCC 184 74.5 8.7 16.8 4.3 8 60.6 10.6 28.8 11.0

CC 47 66.0 8.5 25.5 25.5 12 60.9 0.2 38.9 38.9

Rating grade



*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance.Source: S&P Global Fixed Income Research.

U.S. ABS

Credit performance for the U.S. ABS sector was positive in 2017, with the upgrade rate rising to anall-time high of 12.3%, from 11.3% a year earlier (see chart 16). The downgrade and default ratesremained very low at only 1.3% and 0.2%, respectively. As a result, the annual average change incredit quality for 2017 reached a new high of +0.29 notches.

The U.S. ABS default rate has historically remained very low, especially relative to some othersectors such as U.S. RMBS and U.S. structured credit. The 12-month trailing default rate peakedat only 1.6% in mid-2003, and has remained less than 0.5% since early 2008, even despite thefinancial crisis that severely affected other sectors (see chart 17, noting the separate y-axisscales).

In terms of downgrades and defaults, the U.S. ABS subsector with the weakest credit performancein 2017 was the manufactured housing segment, where we lowered 9.4% of our ratings during the



year and the default rate was 3.5%. Most of the downgrades were related to the withdrawal of ourrating on a monoline insurer that provided a full financial guarantee on payments of principal andinterest on the securities. In most other subsectors, however, there were no defaults ordowngrades at all during 2017 (see table 5).

A relatively large number of downgrades were in the 2001 and earlier vintages, where downgraderates exceeded their one-year weighted-averages. All seven U.S. ABS defaults in 2017 were onsecurities that we rated in the 'B' and lower categories at the beginning of the year.

Chart 16



Chart 17

Table 5

U.S. ABS Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 4,525 86.4 12.3 1.3 0.2 8 90.2 3.9 5.9 0.4

Subsector

U.S. ABS studentloans

1,543 91.8 7.1 1.2 0.0 0 92.6 2.2 5.3 0.1

U.S. ABS auto 1,309 76.5 23.5 0.0 0.0 0 89.1 9.5 1.4 0.0

U.S. ABS creditcard

287 95.8 4.2 0.0 0.0 0 95.6 2.8 1.6 0.1

U.S. ABSnontraditional

266 74.1 23.7 2.3 0.0 0 78.5 2.8 18.6 0.2

U.S. ABS tobaccosettlement

242 86.8 10.3 2.9 0.0 0 84.5 5.5 10.0 0.0

U.S. ABSmanufacturedhousing

170 90.6 0.0 9.4 3.5 6 82.5 2.0 15.4 2.3

U.S. ABStimeshare

100 100.0 0.0 0.0 0.0 0 96.7 1.9 1.4 0.0

U.S. ABS other 608 91.1 6.7 2.1 0.3 2 90.3 2.6 7.0 0.9

Vintage

Pre-2000 88 87.5 3.4 9.1 3.4 3 94.5 1.2 4.3 0.6

2000 29 72.4 3.4 24.1 6.9 2 87.9 2.3 9.8 1.2



Table 5

U.S. ABS Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2001 39 79.5 7.7 12.8 7.7 3 89.5 2.6 7.9 0.8

2002 82 90.2 8.5 1.2 0.0 0 90.6 2.8 6.6 0.4

2003 120 96.7 3.3 0.0 0.0 0 93.1 2.5 4.4 0.0

2004 139 91.4 7.2 1.4 0.0 0 90.2 4.5 5.3 0.1

2005 193 88.6 10.4 1.0 0.0 0 88.9 4.4 6.7 0.1

2006 225 86.2 12.9 0.9 0.0 0 83.6 5.1 11.3 0.3

2007 340 77.4 20.9 1.8 0.0 0 78.9 5.3 15.8 0.2

2008 72 79.2 9.7 11.1 0.0 0 86.0 7.9 6.1 0.2

2009 96 90.6 7.3 2.1 0.0 0 92.9 4.3 2.7 0.0

2010 147 95.2 4.8 0.0 0.0 0 90.3 6.9 2.8 0.0

2011 92 93.5 6.5 0.0 0.0 0 88.2 11.7 0.2 0.0

2012 256 95.3 3.9 0.8 0.0 0 88.8 11.0 0.2 0.0

2013 449 86.0 13.4 0.7 0.0 0 86.4 13.0 0.6 0.0

2014 577 78.7 20.8 0.5 0.0 0 85.0 14.7 0.3 0.0

2015 779 81.4 18.0 0.6 0.0 0 84.0 15.4 0.6 0.0

2016 802 93.0 6.5 0.5 0.0 0 93.0 6.5 0.5 0.0

Rating category

AAA 1,427 99.9 0.0 0.1 0.0 0 96.4 0.0 3.6 0.0

AA 1,224 84.6 14.3 1.1 0.0 0 85.1 8.3 6.6 0.0

A 813 78.4 20.4 1.2 0.0 0 84.7 8.1 7.2 0.1

BBB 612 69.4 28.6 2.0 0.0 0 83.4 10.4 6.3 0.3

BB 145 73.1 23.4 3.4 0.0 0 75.6 9.6 14.8 1.3

B 118 93.2 5.9 0.8 0.8 1 72.6 4.7 22.7 4.1

CCC 106 88.7 0.0 11.3 0.9 1 75.6 0.6 23.8 10.6

CC 80 92.5 0.0 7.5 7.5 6 81.5 0.2 18.3 18.3

Rating grade


Speculative-grade 449 85.5 9.1 5.3 1.8 8 75.3 5.3 19.4 5.8


U.S. CMBS

U.S. CMBS credit performance in 2017 was positive on aggregate, though less so than in theprevious year, with fewer upgrades and more downgrades and defaults. The upgrade rate declinedto 12.2% from 14.4% a year earlier, while the downgrade rate rose to 5.4% from 4.6%. At 2.7%, the



annual default rate was slightly up on the previous year's seven-year low of 2.6% (see chart 18).The 12-month trailing average change in credit quality decreased during 2017 to reach +0.36notches at the end of the year.

The U.S. CMBS sector saw defaults peak later than in some other sectors—such as U.S.RMBS—with the 12-month trailing default rate peaking at 15.9% in September 2011, rather thansome years earlier (see chart 19). While the U.S. CMBS default rate has fluctuated since 2014, itended 2017 at close to post-crisis lows.

In terms of downgrade and defaults, by far the weakest 2017 credit performance in U.S. CMBSwas in the conduit/fusion subsector, which accounted for nearly all the defaults with a defaultrate of 5.0%, compared with only 0.1% across other subsectors (see table 6). At this level, theconduit/fusion subsector's default rate was also above its one-year weighted-average of 3.8%,while the other U.S. CMBS subsectors saw below-average default and downgrade rates in 2017.That said, the conduit/fusion subsector also saw an unusually high upgrade rate of 18.0%, givensignificant collateral repayments and the consequent deleveraging of transaction structures.

Downgrade and default rates were highest in the 2006 vintage, which was exposed to relativelylower lending standards before the financial crisis and subsequent falling real estate values, andwhere some loans are now reaching maturity with borrowers unable to refinance, leading to loandefaults. Most U.S. CMBS defaults in 2017 occurred on securities that we rated in the 'B' and 'CCC'categories at the beginning of the year.

Chart 18



Chart 19

Table 6

U.S. CMBS Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 2,654 82.5 12.2 5.4 2.7 71 81.3 6.2 12.5 3.4

Subsector

U.S. CMBSconduit/fusion

1,394 74.5 18.0 7.5 5.0 70 80.8 6.2 13.1 3.8

U.S. CMBS singleborrower

910 93.3 4.8 1.9 0.0 0 91.9 5.6 2.6 0.0

U.S. CMBS largeloan/floaters

278 84.9 9.4 5.8 0.4 1 81.7 8.8 9.6 1.4

U.S. CMBS other 72 90.3 2.8 6.9 0.0 0 74.5 3.7 21.8 5.4

Vintage

Pre-2000 32 87.5 12.5 0.0 0.0 0 87.4 9.0 3.6 0.6

2000 16 62.5 37.5 0.0 0.0 0 82.9 8.9 8.2 2.0

2001 22 77.3 9.1 13.6 13.6 3 83.3 9.1 7.6 2.1

2002 23 95.7 4.3 0.0 0.0 0 84.5 9.5 6.0 1.7

2003 54 75.9 18.5 5.6 5.6 3 86.9 7.2 5.9 1.7

2004 140 66.4 27.1 6.4 5.7 8 86.0 4.9 9.1 2.9

2005 181 63.0 28.7 8.3 3.9 7 79.8 3.9 16.3 4.3

2006 165 61.2 20.0 18.8 12.7 21 73.1 2.6 24.3 6.9



Table 6

U.S. CMBS Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2007 391 71.6 19.9 8.4 6.1 24 65.0 3.8 31.2 8.4

2008 70 61.4 24.3 14.3 7.1 5 61.1 5.7 33.2 7.8

2009 9 100.0 0.0 0.0 0.0 0 82.0 10.7 7.3 0.7

2010 46 89.1 4.3 6.5 0.0 0 90.3 7.5 2.2 0.0

2011 44 95.5 4.5 0.0 0.0 0 86.0 12.0 2.0 0.3

2012 139 94.2 5.8 0.0 0.0 0 95.4 4.2 0.4 0.1

2013 321 93.5 5.6 0.9 0.0 0 94.8 4.8 0.4 0.0

2014 321 84.4 6.2 9.3 0.0 0 93.5 3.9 2.6 0.0

2015 392 91.3 8.2 0.5 0.0 0 95.7 4.0 0.3 0.0

2016 288 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0

Rating category

AAA 671 99.0 0.0 1.0 0.0 0 97.3 0.0 2.7 0.0

AA 418 85.9 12.9 1.2 0.0 0 80.3 12.3 7.5 0.1

A 342 83.3 14.9 1.8 0.0 0 77.7 12.5 9.8 0.1

BBB 363 77.4 19.0 3.6 0.3 1 75.6 11.1 13.3 0.4

BB 362 76.0 16.3 7.7 1.9 7 74.0 8.1 18.0 1.7

B 390 69.5 19.5 11.0 6.7 26 70.2 4.5 25.3 7.0

CCC 108 50.0 13.0 37.0 34.3 37 51.9 2.9 45.2 37.8

CC 0 0.0 0.0 0.0 0.0 0 52.2 0.0 47.8 47.8

Rating grade




Europe

Compared with some of the U.S. sectors, European structured finance credit performance hashistorically been more positive, although the sector did suffer from elevated default rates after2007 and an aggregate decline in ratings that was at its most severe in 2009.

In 2017, European structured finance credit performance was broadly positive, as in the previousyear. The upgrade rate reached an all-time high of 22.3% from 18.9% in 2016, while thedowngrade rate declined to a 10-year low of 3.8% from 4.8% (see chart 20). The average change incredit quality was +0.35 notches, which was similar to the value at year-end 2016. The defaultrate trend also indicated improving credit performance, declining to 1.0% from 1.3% a year earlier(see chart 21).



The European structured finance sector includes a diverse array of subsectors. CMBS was theworst-performing European structured finance subsector in 2017, although it is also small,constituting only about 6% of our European structured finance ratings outstanding at thebeginning of 2017. Of the 43 defaults in European structured finance in 2017, 28 (65%) were inCMBS, giving that sector a default rate of 10.9% for the year, well above its one-year average of2.9% (see table 7).

European RMBS saw an unusually high upgrade rate of more than 33% in 2017, making it thebest-performing sector in the region. A relatively large number of our RMBS ratings are currentlyconstrained by country and/or counterparty risk considerations, respectively linking them to therelevant sovereign and/or counterparty ratings. In 2017, we raised our sovereign ratings on Italyand Portugal, as well as our issuer credit ratings on certain financial institutions that act ascounterparties in a large number of RMBS transactions, leading to widespread upgrades amongcorresponding RMBS.

Subsectors that saw the most stress during the financial crisis of 2008-2009—such as structuredfinance CDOs—have now largely seen negative credit performance play out. While the structuredfinance CDO subsector has the highest one-year weighted-average downgrade rate (25.7%)among the European subsectors broken out in table 7, the 2017 downgrade rate was well belowthis average, at 3.2%.

CLOs are now one of the largest European subsectors by ratings outstanding and generallyperformed well in 2017, with a downgrade rate of 3.3% and an upgrade rate of 15.3%, as manylegacy transactions are now amortizing and de-risking. That said, the sector also exhibited sixdefaults in 2017, giving a default rate of 0.6%.

European structured finance downgrades in 2017 were concentrated in the 2005-2007 vintages,with generally higher downgrade rates at the lower rating levels. The investment-grade downgraderate was 1.9%, compared with a speculative-grade downgrade rate of 9.3%.

All of the defaults were from speculative-grade rating levels. Defaults in 2017 were largely inCMBS transactions structured shortly pre-crisis, which were most affected by the lower lendingstandards applied at the height of the credit boom and subsequent declines in real estate values,and which have now reached maturity in an environment of more subdued lending volumes andreal estate values.



Chart 20

Chart 21



Table 7

European Structured Finance Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 4,110 73.9 22.3 3.8 1.0 43 77.1 7.3 15.6 1.0

Subsector

Europe RMBSprime

903 69.7 28.3 2.0 0.6 5 82.9 4.9 12.1 0.5

Europe RMBSnonconforming

705 59.1 40.3 0.6 0.4 3 75.6 9.1 15.3 0.1

Europe RMBSother

222 69.8 30.2 0.0 0.0 0 79.7 6.9 13.4 0.2

Europe structuredcredit CLO

927 81.3 15.3 3.3 0.6 6 70.6 17.5 11.9 0.2

Europe structuredcredit SF CDO

187 75.9 20.9 3.2 0.5 1 69.8 6.0 24.1 3.0

Europe structuredcredit other

431 78.2 17.9 3.9 0.0 0 74.3 6.8 19.0 1.5

Europe CMBS 256 72.7 5.5 21.9 10.9 28 74.0 3.5 22.5 2.9

Europe ABS auto 220 93.6 6.4 0.0 0.0 0 91.1 5.8 3.1 0.3

Europe ABSnontraditional

72 65.3 2.8 31.9 0.0 0 82.2 2.7 15.1 0.9

Europe ABSconsumer

59 86.4 13.6 0.0 0.0 0 88.8 4.5 6.7 0.1

Europe ABS creditcard

49 100.0 0.0 0.0 0.0 0 95.6 1.8 2.6 0.0

Europe ABS other 56 78.6 21.4 0.0 0.0 0 86.6 4.1 9.3 0.0

Europesingle-namesynthetics

23 87.0 4.3 8.7 0.0 0 81.9 3.8 14.4 0.5

Vintage

Pre-2000 16 87.5 0.0 12.5 0.0 0 90.6 2.4 7.0 0.1

2000 5 100.0 0.0 0.0 0.0 0 91.5 5.0 3.5 0.3

2001 19 100.0 0.0 0.0 0.0 0 87.7 5.0 7.3 0.3

2002 32 62.5 31.3 6.3 0.0 0 88.6 5.6 5.8 0.3

2003 81 56.8 37.0 6.2 0.0 0 86.4 6.0 7.6 0.4

2004 199 61.8 36.2 2.0 1.5 3 81.1 6.9 12.0 0.3

2005 355 63.4 29.9 6.8 2.0 7 74.8 7.2 18.0 1.1

2006 696 64.2 30.2 5.6 1.7 12 69.7 8.2 22.2 1.9

2007 957 64.7 30.0 5.3 1.7 16 66.1 10.0 23.9 2.1

2008 140 73.6 20.0 6.4 2.9 4 74.7 6.7 18.5 0.9

2009 48 52.1 47.9 0.0 0.0 0 74.9 9.0 16.1 0.6

2010 90 91.1 4.4 4.4 0.0 0 76.6 9.5 13.9 0.3



Table 7

European Structured Finance Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

2011 56 64.3 35.7 0.0 0.0 0 81.5 7.3 11.2 0.0

2012 115 88.7 8.7 2.6 0.0 0 87.2 5.3 7.5 0.1

2013 236 93.2 5.9 0.8 0.0 0 91.5 5.8 2.7 0.2

2014 285 84.6 14.0 1.4 0.0 0 89.5 7.0 3.5 0.0

2015 356 84.0 15.2 0.8 0.3 1 90.2 8.4 1.4 0.1

2016 424 96.9 1.9 1.2 0.0 0 96.9 1.9 1.2 0.0

Rating category

AAA 713 99.4 0.0 0.6 0.0 0 89.5 0.0 10.5 0.1

AA 636 74.7 24.7 0.6 0.0 0 73.3 8.7 18.1 0.1

A 1,038 61.4 36.3 2.3 0.0 0 73.9 10.3 15.8 0.1

BBB 644 70.3 25.8 3.9 0.0 0 74.1 10.4 15.5 0.3

BB 392 63.5 27.6 8.9 0.3 1 67.2 12.2 20.5 0.6

B 402 74.9 20.9 4.2 0.7 3 64.0 14.3 21.6 2.4

CCC 248 72.6 9.7 17.7 14.1 35 67.0 11.4 21.6 10.7

CC 37 89.2 0.0 10.8 10.8 4 64.4 1.3 34.3 34.0

Rating grade



*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. SF--Structured finance.Source: S&P Global Fixed Income Research.

Other regions

Outside the U.S. and Europe, most of the structured finance ratings included in this study and stilloutstanding at the beginning of 2017 were on Japanese and Australian RMBS. However, we alsohave ratings outstanding on securities from a wide range of sectors in Canada, Latin America, andother emerging markets and parts of Asia.

This mixed collection of securities exhibited broadly positive credit performance on aggregate in2017, with the upgrade rate of 10.5% exceeding the downgrade rate of 1.5%, and no defaults (seechart 22). In general, the structured finance default rate outside Europe and the U.S. hashistorically been highest in Japan, but has since settled to a level well below the global average(see chart 23).

The two largest sectors outside the U.S. and Europe—Japanese and AustralianRMBS—performed well in 2017, with no defaults, modest downgrade rates, and a substantialupgrade rate (12.7%) in the case of Australian RMBS (see table 8). Latin American securitiesexhibited a higher downgrade rate of 6.9%. That said, we only had 72 global scale structuredfinance ratings outstanding in Latin America at the beginning of 2017.



Chart 22

Chart 23



Table 8

Other Region Structured Finance Transition And Default Summary


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Overall 1,667 88.0 10.5 1.5 0.0 0 89.2 5.5 5.3 0.5

Subsector

Australasia RMBS 787 86.8 12.7 0.5 0.0 0 93.6 3.4 3.0 0.0

Australasia ABS 70 77.1 21.4 1.4 0.0 0 87.9 7.5 4.6 0.1

Australasia other 12 83.3 8.3 8.3 0.0 0 85.6 4.6 9.8 0.7

Japan RMBS 524 96.2 3.6 0.2 0.0 0 89.9 9.6 0.4 0.0

Japan other 21 81.0 19.0 0.0 0.0 0 87.6 3.7 8.6 1.4

Canada CMBS 95 83.2 16.8 0.0 0.0 0 91.7 7.6 0.7 0.0

Canada other 43 93.0 7.0 0.0 0.0 0 94.0 2.5 3.5 0.4

Latin america 72 75.0 18.1 6.9 0.0 0 72.6 11.4 15.9 1.0

Emerging markets 39 56.4 10.3 33.3 0.0 0 73.2 12.4 14.4 0.1

Asia (ex-Japan) 4 100.0 0.0 0.0 0.0 0 83.9 4.1 12.0 1.9

Vintage

Pre-2000 5 80.0 0.0 20.0 0.0 0 95.7 2.2 2.1 0.1

2000 4 100.0 0.0 0.0 0.0 0 95.4 3.2 1.4 0.1

2001 12 100.0 0.0 0.0 0.0 0 96.1 2.5 1.4 0.0

2002 24 95.8 4.2 0.0 0.0 0 93.1 4.7 2.2 0.1

2003 35 91.4 8.6 0.0 0.0 0 91.9 6.0 2.1 0.1

2004 49 83.7 10.2 6.1 0.0 0 91.0 5.8 3.2 0.0

2005 68 94.1 4.4 1.5 0.0 0 85.4 6.3 8.3 0.4

2006 154 88.3 11.0 0.6 0.0 0 81.7 8.8 9.5 1.4

2007 203 91.1 8.4 0.5 0.0 0 81.1 6.7 12.2 1.6

2008 68 97.1 2.9 0.0 0.0 0 83.8 3.5 12.7 2.5

2009 100 100.0 0.0 0.0 0.0 0 93.0 4.9 2.1 0.1

2010 92 100.0 0.0 0.0 0.0 0 92.7 4.5 2.8 0.0

2011 92 95.7 3.3 1.1 0.0 0 93.8 3.5 2.8 0.1

2012 88 86.4 12.5 1.1 0.0 0 94.0 4.4 1.5 0.0

2013 188 86.2 13.8 0.0 0.0 0 88.4 9.1 2.5 0.0

2014 152 81.6 17.1 1.3 0.0 0 88.2 9.2 2.6 0.0

2015 161 63.4 31.7 5.0 0.0 0 81.1 15.8 3.1 0.0

2016 172 90.7 5.8 3.5 0.0 0 90.7 5.8 3.5 0.0

Rating category

AAA 1,018 100.0 0.0 0.0 0.0 0 98.7 0.0 1.3 0.0

AA 213 67.1 31.9 0.9 0.0 0 79.4 11.8 8.8 0.1

A 213 72.8 24.4 2.8 0.0 0 76.7 14.4 8.9 0.3



Table 8

Other Region Structured Finance Transition And Default Summary (cont.)


Ratings(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

Defaults(no.)

Stable(%)

Upgrades(%)

Downgrades*(%)

Defaults(%)

BBB 118 74.6 16.9 8.5 0.0 0 76.2 14.8 9.0 0.2

BB 60 65.0 26.7 8.3 0.0 0 77.8 10.8 11.4 0.1

B 41 48.8 46.3 4.9 0.0 0 75.3 9.6 15.1 1.1

CCC 4 100.0 0.0 0.0 0.0 0 48.5 10.9 40.6 25.9

CC 0 N/A N/A N/A N/A 0 41.8 7.5 50.7 49.3

Rating grade



*Including defaults. N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'.Source: S&P Global Fixed Income Research.

Appendix I: Terminology, Data Selection, And Calculation Approaches

This Appendix discusses the data and calculations, and explains the terminology we use in thisreport.

This global structured finance default and ratings transition study uses our database oflong-term, global scale issue credit ratings. We do not include national and regional scale ratings,such as those we may assign in Argentina, Brazil, Mexico, and Taiwan, for example, which are notcomparable between countries. The analysis also excludes public information ("pi") ratings, issuercredit ratings, and short-term issue ratings, such as those on asset-backed commercial paper(ABCP) conduits.

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

Issues included in this study

The study analyzes the rating histories of 228,647 global structured finance instruments that S&PGlobal Ratings first rated from 1973 until Dec. 31, 2017. The term "structured finance" in thisreport refers to ABS, CMBS, RMBS, structured credit, and single-name synthetic transactions. Forsome analyses, we break down these sectors further into subsectors.

Sector definitions

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

RMBS includes transactions backed by subprime mortgage loans, as well as home equity loan



transactions and re-REMICS. Structured credit includes CLOs, both cash and synthetic CDOsbacked by exposures to corporate credit and/or other structured finance securities, as well asmarket-value CDOs and other leveraged funds. We include transactions backed by loans to smalland mid-sized enterprises (SMEs) in the structured credit sector.

CMBS also includes re-REMICS, as well as some CDOs primarily collateralized by commercial realestate loans (CRE CDOs). Single-name synthetic transactions are also referred to as repackagedtransactions (or "repacks"), especially in Europe. The definition of a repack in this instance is anissue backed by a single credit, where the rating on the note is directly linked to that on theunderlying credit.

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

Region definitions

This study presents rating transitions for global structured finance transactions. In some analyseswe segment default and transition statistics by region. In defining a transaction's region, we usethe location where we perform surveillance as the primary way to determine its region. We mayalso consider the transaction's issuer country (unless this is a tax-haven country such as theCayman Islands) and/or its domicile of assets. In some cases, the domicile of assets may fail toprovide additional insights into the region, especially when a transaction is backed by assets frommore than one country.

In table 1 of the study, the "Asia (excl. Japan)" region includes transactions with collateral fromHong Kong, Singapore, Korea, and Taiwan, as well as other countries in the region. The "otheremerging markets" region includes emerging market countries that are not included in otherregions, such as Turkey and South Africa.

Vintage definition

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

Rating transitions

Our rating transition statistics use a "static pool" approach. To calculate the transition statisticsover a given time period (or "transition window"), we consider the static pool of ratingsoutstanding at the beginning of that time period. The transition statistics for that static pool ofratings are then based on the movements in ratings between the start and end of the transitionwindow. For instance, we calculate the 2017 transition rates by determining the ratings on eachsecurity outstanding at the start of 2017 and determining the ratings on those same securities atthe end of 2017. 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, orremained that same respectively over the transition window. During this process, we count eachsecurity only once, even if the security experienced more than one rating change during thetransition window being observed. In other words, we use a security's rating at the start and end ofthe transition window to calculate the transition rates, disregarding any interim rating changes.



Rating modifiers

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

Rating discontinuance or withdrawal

We may discontinue ratings when, for example, a rated obligation's payments have been made infull 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'srequest. In these cases, the rating may change to 'NR' (not rated). When we withdraw ordiscontinue ratings within the transition window under consideration we may either derive ourreported statistics by classifying the rating transition as a move to 'NR' (the "NR-included"approach), or—for some other analyses—we may classify the transition as a move to the last"non-NR" rating before withdrawal or discontinuance (the "NR-adjusted" approach). In the text ofthis report, when we refer to upgrade and downgrade rates, for example, we use the latterapproach. In the tables and charts, we clarify the approach used in the footnotes. We do notinclude a security with a withdrawn rating at the beginning of a transition window in the transitionand default rate calculations for that period.

Treatment of 'AAA' ratings

In this study, we include the ratings history of all securities whose original rating was 'AAA', whichwe term the "uncollapsed" approach. This represents a change in methodology compared withprevious editions of our global structured finance default and rating transitions study. In previouseditions, for each structured finance transaction, we generally only included one of the securitiesthat we originally rated 'AAA', terming this the "collapsed" approach. This was because historicallysome transactions had a disproportionate number of 'AAA'-rated tranches that were likely toexhibit similar or identical credit performance. By including only one such security per transactionwe aimed to avoid over-weighting their behavior in aggregate performance statistics. However, wenow include all securities' rating histories, regardless of their original rating, for completeness andconsistency with some of our other reporting on ratings performance, for example, in regulatorysubmissions. The effects on some example summary statistics of altering the treatment of 'AAA'ratings are shown in Appendix III.

Treatment of 'D' ratings

Counts of defaults and default rate statistics in this report are based on securities whose ratingswe lowered to 'D'. For the purposes of this report, when a security's rating has moved to 'D', weconsider this a terminal state and do not, for example, include such a security in any transitionwindows that start on a subsequent date. In practice, however, some securities whose ratingshave migrated to 'D' may later once again be assigned a different rating. This can occur, forexample, if the defaulted security is subsequently restructured to different terms, such as a lower



coupon. In these cases, we treat the security's post-default rating history as if it were a newsecurity, beginning from the date that the rating changed from 'D'. Where we segment statistics byvintage, however, we continue to base the vintage on the date we originally assigned a rating to thesecurity.

Average change in credit quality calculation

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

Weighted-average transition and default rate calculation

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

Average cumulative default rate calculation

In this report, we also calculate and present average cumulative default rates (CDRs) for differenttime horizons. For example, table 2 shows that the one-year average cumulative default rate for'A'-rated global structured finance has been 0.46% and the three-year average has been 6.85%.

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

We note that this approach differs from the calculations we use in constructing theweighted-average multi-year default and transition rates included elsewhere in this study (and asdescribed above), where default rates are not conditional on survival.

Gini coefficient calculation

We calculate Gini coefficients as one way to quantify our ratings' rank-ordering power of



creditworthiness, based on observed default rates.

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

Chart 24

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

The procedure for calculating the Gini coefficient is illustrated in chart 24. Area B is bounded bythe random curve and the Lorenz curve, while area A is bounded by the Lorenz curve and the idealcurve. The Gini coefficient is defined as area B divided by the sum of area A and area B. The Ginicoefficient can therefore range between 0% (if the Lorenz curve follows the random curve) and100% (if the Lorenz curve follows the ideal curve). In general, therefore, the higher the Ginicoefficient, the greater the link between our ratings and the securities' observed defaultpropensity.

Appendix II: Detailed Default And Transition Statistics

Tables 9-52 provide various default and transition rate statistics for global structured financesecurities and major sectors.



Global structured finance

Table 9

Global Structured Finance Cumulative Default Rates, Conditional On Survival,1976-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.06 0.33 1.08 2.36 3.74 4.78 5.53 6.06 6.46 6.72

AA 0.26 1.96 4.72 7.35 9.60 11.49 12.96 14.15 15.11 15.92

A 0.46 3.17 6.85 10.23 13.11 15.57 17.65 19.39 20.86 22.18

BBB 1.09 5.69 11.23 16.37 20.76 24.43 27.29 29.54 31.31 32.78

BB 2.27 9.01 15.71 22.01 27.29 31.63 35.08 37.79 40.09 42.02

B 4.96 15.01 23.96 32.58 39.12 43.71 47.62 50.79 53.63 55.82

CCC 16.34 31.22 42.80 49.73 53.85 56.62 58.31 59.37 60.26 60.93

CC 42.61 62.31 74.06 79.35 82.06 83.69 84.64 85.13 85.39 85.39

IG 0.27 1.56 3.52 5.68 7.67 9.25 10.45 11.35 12.05 12.58

SG 15.83 28.78 38.67 45.45 50.06 53.35 55.84 57.78 59.55 61.00

Overall 3.91 7.85 11.52 14.59 17.03 18.85 20.17 21.14 21.88 22.44


Table 10

Global Structured Finance One-Year Default Rates, 1976-2017 (%)

Year Overall IG SG AAA AA A BBB BB B CCC CC

1976 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A

1977 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A

1978 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A

1979 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1985 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A

1988 0.11 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A

1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A



Table 10

Global Structured Finance One-Year Default Rates, 1976-2017 (%) (cont.)


1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1993 0.01 0.00 2.56 0.00 0.00 0.00 0.00 0.00 5.88 0.00 N/A

1994 0.01 0.00 0.78 0.00 0.00 0.00 0.00 0.00 1.82 0.00 N/A

1995 0.12 0.01 8.66 0.00 0.00 0.00 0.31 0.93 0.93 45.45 33.33

1996 0.06 0.01 3.09 0.00 0.00 0.09 0.00 1.17 0.00 18.52 100.00

1997 0.04 0.00 1.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45

1998 0.12 0.05 2.43 0.00 0.00 0.70 0.13 0.84 2.21 12.50 33.33

1999 0.05 0.00 1.33 0.00 0.00 0.06 0.00 0.00 1.39 15.79 30.77

2000 0.05 0.00 1.18 0.00 0.00 0.00 0.07 0.47 1.85 4.55 6.25

2001 0.16 0.04 2.76 0.01 0.00 0.09 0.42 0.65 2.79 31.91 15.00

2002 0.36 0.05 5.66 0.00 0.04 0.14 0.52 1.87 8.27 29.55 13.64

2003 0.34 0.06 4.17 0.00 0.00 0.07 0.52 0.92 2.29 34.78 15.69

2004 0.20 0.02 2.24 0.00 0.00 0.00 0.14 0.72 2.19 14.72 11.11

2005 0.17 0.01 1.77 0.00 0.00 0.00 0.06 0.19 1.33 11.44 23.53

2006 0.13 0.01 1.24 0.00 0.00 0.00 0.08 0.26 0.47 17.13 18.28

2007 0.39 0.12 3.00 0.01 0.06 0.11 0.61 2.37 1.41 22.22 24.18

2008 2.64 0.70 15.97 0.33 0.66 1.04 2.00 4.78 11.77 57.15 27.11

2009 10.74 1.54 34.58 0.22 1.37 2.88 5.71 9.14 16.03 49.04 64.57

2010 8.34 0.53 17.50 0.14 0.50 0.71 1.84 2.59 5.25 16.08 38.30

2011 10.28 0.14 21.41 0.10 0.12 0.07 0.43 1.02 5.46 13.46 51.93

2012 11.47 0.10 23.06 0.04 0.13 0.05 0.32 0.66 1.46 19.59 44.79

2013 6.93 0.07 14.53 0.00 0.05 0.07 0.22 0.64 1.32 8.90 37.59

2014 4.29 0.01 9.23 0.00 0.04 0.00 0.02 0.17 1.33 7.43 28.08

2015 3.97 0.06 8.75 0.00 0.11 0.08 0.08 0.48 1.43 8.89 27.38

2016 3.02 0.12 6.91 0.00 0.27 0.07 0.19 0.22 1.26 5.91 30.58

2017 2.12 0.15 4.94 0.01 0.08 0.23 0.36 1.11 1.38 5.64 17.17

Weighted-average 3.91 0.27 15.83 0.06 0.26 0.46 1.09 2.27 4.96 16.34 42.61

Median 0.05 0.00 2.66 0.00 0.00 0.00 0.08 0.48 1.41 11.44 28.08

Std. dev. 3.21 0.27 9.98 0.06 0.25 0.48 1.07 8.59 3.71 15.59 20.34

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.25

Maximum 11.47 1.54 40.00 0.33 1.37 2.88 5.71 50.00 16.03 57.15 100.00

IG--Investment-grade. SG--Speculative-grade. N/A--Not applicable. Std. dev.--Standard deviation. Source: S&P Global Fixed Income Research.



Table 11

Global Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)

From/to AAA AA A BBB BB B CCC CC C D

2017

AAA 99.52 0.40 0.03 0.00 0.03 0.01 0.00 0.00 0.00 0.01

AA 7.46 89.91 1.55 0.42 0.18 0.34 0.05 0.00 0.00 0.08

A 2.87 7.84 85.97 2.27 0.64 0.12 0.06 0.00 0.00 0.23

BBB 0.75 4.04 10.93 79.97 3.10 0.65 0.19 0.00 0.00 0.36

BB 0.38 1.81 2.99 7.50 80.64 4.80 0.73 0.03 0.00 1.11

B 0.03 0.75 1.19 2.56 5.72 84.31 4.06 0.00 0.00 1.38

CCC 0.00 0.04 0.06 0.22 0.51 1.63 91.32 0.58 0.00 5.64

CC 0.00 0.00 0.00 0.07 0.21 0.14 3.63 78.80 0.00 17.17

C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

One-year weighted-average

AAA 92.73 2.06 1.17 0.91 0.69 1.00 1.23 0.14 0.00 0.06

AA 4.96 81.52 3.62 2.28 1.72 1.86 3.07 0.70 0.01 0.26

A 1.36 4.53 78.82 4.36 2.44 2.24 4.37 1.42 0.00 0.46

BBB 0.61 1.34 3.78 74.69 4.87 4.39 6.56 2.66 0.00 1.09

BB 0.17 0.40 1.27 4.18 68.05 8.49 10.78 4.37 0.01 2.27

B 0.06 0.14 0.32 0.97 3.36 62.26 20.95 6.97 0.01 4.96

CCC 0.01 0.02 0.03 0.15 0.52 1.50 68.25 13.19 0.01 16.34

CC 0.00 0.00 0.01 0.02 0.07 0.19 1.14 55.95 0.00 42.61

C 0.00 0.00 0.00 0.00 0.00 0.00 2.06 0.00 59.79 38.14

Two-year weighted-average

AAA 86.37 3.31 1.84 1.45 1.07 1.40 3.69 0.54 0.00 0.33

AA 9.01 67.65 5.26 3.20 2.53 2.74 5.36 2.27 0.01 1.97

A 3.07 7.56 63.66 5.99 3.36 3.29 6.20 3.69 0.00 3.17

BBB 1.47 2.61 6.12 57.94 6.23 5.54 8.51 5.87 0.00 5.71

BB 0.40 0.95 2.42 6.76 50.32 10.28 12.43 7.35 0.02 9.06

B 0.10 0.34 0.69 1.93 5.39 44.69 21.10 10.60 0.00 15.16

CCC 0.01 0.04 0.08 0.33 1.00 2.52 51.51 12.63 0.01 31.86

CC 0.00 0.01 0.02 0.04 0.10 0.31 2.18 34.63 0.00 62.71

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 47.42 50.52

Three-year weighted-average

AAA 81.65 4.28 2.38 1.78 1.31 1.49 4.55 1.48 0.00 1.08

AA 11.77 57.89 6.12 3.76 2.91 3.42 6.16 3.16 0.02 4.80

A 4.64 8.93 53.34 6.76 3.85 3.84 6.96 4.68 0.00 6.99

BBB 2.33 3.52 7.02 46.54 6.65 5.98 9.29 7.21 0.00 11.45

BB 0.66 1.42 3.21 7.92 39.38 10.25 12.92 8.07 0.02 16.14



Table 11

Global Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.18 0.50 1.01 2.60 6.04 34.28 20.98 9.63 0.00 24.78

CCC 0.02 0.08 0.15 0.51 1.30 2.82 40.69 9.54 0.00 44.89

CC 0.00 0.01 0.02 0.04 0.12 0.34 2.97 21.57 0.00 74.91

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 35.05 62.89

Four-year weighted-average

AAA 78.09 5.07 2.86 2.12 1.53 1.67 4.47 1.82 0.00 2.38

AA 13.47 50.55 6.61 4.04 3.29 4.01 6.92 3.45 0.02 7.64

A 6.00 9.23 46.14 6.73 4.04 4.19 7.62 5.33 0.00 10.70

BBB 3.04 4.07 7.03 38.97 6.41 5.96 9.47 8.00 0.00 17.05

BB 0.90 1.86 3.71 7.89 32.07 9.64 12.67 7.96 0.02 23.27

B 0.27 0.58 1.27 2.96 5.88 26.77 19.80 7.84 0.00 34.65

CCC 0.03 0.12 0.23 0.66 1.44 2.74 33.63 7.19 0.00 53.97

CC 0.00 0.01 0.03 0.05 0.15 0.36 3.06 15.07 0.00 81.27

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 22.68 75.26

Five-year weighted-average

AAA 75.65 5.62 3.20 2.38 1.67 1.77 4.18 1.75 0.00 3.78

AA 14.47 45.13 6.84 4.14 3.66 4.51 7.44 3.47 0.02 10.32

A 7.16 8.97 41.05 6.36 4.00 4.36 8.57 5.37 0.00 14.16

BBB 3.62 4.39 6.61 34.04 5.88 5.65 9.52 8.08 0.00 22.21

BB 1.09 2.22 3.90 7.41 26.81 9.00 12.12 7.51 0.02 29.90

B 0.32 0.64 1.44 3.05 5.53 20.78 18.01 7.11 0.00 43.11

CCC 0.04 0.14 0.29 0.75 1.47 2.50 27.47 6.08 0.00 61.27

CC 0.00 0.01 0.03 0.05 0.17 0.35 2.67 11.31 0.00 85.41

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 10.31 87.63

10-year weighted-average

AAA 76.53 4.90 3.04 2.31 1.65 1.53 3.03 0.81 0.00 6.20

AA 17.31 38.26 4.94 3.02 3.31 4.23 8.42 1.72 0.00 18.78

A 9.42 8.27 34.86 3.75 2.68 3.06 9.24 3.08 0.00 25.64

BBB 4.82 4.62 5.60 28.76 3.30 3.26 6.81 4.64 0.01 38.18

BB 1.61 2.42 3.36 5.94 20.79 4.83 6.24 4.33 0.02 50.47

B 0.67 0.69 1.25 2.54 4.83 15.07 4.43 4.34 0.01 66.17

CCC 0.16 0.11 0.25 0.32 0.45 1.20 10.83 5.35 0.00 81.32

CC 0.00 0.14 0.00 1.01 1.44 0.58 0.14 23.31 0.00 73.38

C 0.00 0.00 0.00 0.00 8.70 0.00 0.00 0.00 0.00 91.30

N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Fixed Income Research.



Table 12

Global Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)

From/to AAA AA A BBB BB B CCC CC C D NR

2017

AAA 67.85 0.39 0.03 0.00 0.03 0.01 0.00 0.00 0.00 0.01 31.69

AA 5.45 67.58 1.45 0.39 0.16 0.34 0.05 0.00 0.00 0.08 24.49

A 2.17 6.71 66.24 2.23 0.54 0.12 0.06 0.00 0.00 0.23 21.69

BBB 0.39 3.29 9.75 60.89 2.76 0.53 0.19 0.00 0.00 0.36 21.84

BB 0.25 1.49 2.51 6.87 60.74 4.35 0.67 0.03 0.00 1.11 21.96

B 0.03 0.47 0.97 2.38 5.35 67.96 3.97 0.00 0.00 1.38 17.51

CCC 0.00 0.04 0.05 0.21 0.46 1.55 83.62 0.57 0.00 5.64 7.86

CC 0.00 0.00 0.00 0.07 0.21 0.14 3.42 75.72 0.00 17.17 3.28

C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A


AAA 79.64 1.99 1.14 0.88 0.67 0.99 1.22 0.14 0.00 0.06 13.28

AA 4.32 72.90 3.47 2.19 1.68 1.82 3.04 0.69 0.01 0.26 9.63

A 1.08 4.21 70.79 4.25 2.39 2.20 4.33 1.42 0.00 0.46 8.87

BBB 0.51 1.16 3.51 67.50 4.73 4.28 6.47 2.65 0.00 1.09 8.10

BB 0.13 0.33 1.10 3.89 61.91 8.25 10.59 4.35 0.01 2.27 7.17

B 0.05 0.12 0.27 0.85 3.14 57.76 20.41 6.94 0.01 4.96 5.50

CCC 0.01 0.02 0.03 0.13 0.49 1.42 64.05 12.57 0.01 16.34 4.95

CC 0.00 0.00 0.01 0.01 0.06 0.17 1.12 53.66 0.00 42.61 2.35

C 0.00 0.00 0.00 0.00 0.00 0.00 2.06 0.00 57.73 38.14 2.06


AAA 61.71 2.98 1.69 1.33 0.99 1.31 3.47 0.49 0.00 0.33 25.71

AA 6.42 52.78 4.80 2.90 2.39 2.63 5.17 2.24 0.01 1.97 18.68

A 2.02 6.22 49.63 5.54 3.18 3.16 5.99 3.62 0.00 3.17 17.46

BBB 1.03 1.92 5.12 45.39 5.75 5.24 8.15 5.76 0.00 5.71 15.94

BB 0.26 0.67 1.75 5.62 40.27 9.54 11.78 7.11 0.02 9.06 13.91

B 0.06 0.26 0.49 1.49 4.51 37.63 19.67 10.09 0.00 15.16 10.63

CCC 0.01 0.03 0.07 0.26 0.83 2.19 45.20 11.65 0.01 31.86 7.90

CC 0.00 0.01 0.01 0.02 0.07 0.26 2.08 30.87 0.00 62.71 3.97

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 43.30 50.52 4.12


AAA 47.30 3.58 2.05 1.52 1.12 1.30 4.05 1.31 0.00 1.08 36.67

AA 6.96 38.31 5.25 3.23 2.65 3.20 5.76 3.08 0.02 4.80 26.76

A 2.52 6.49 34.64 5.90 3.48 3.59 6.56 4.55 0.00 6.99 25.29

BBB 1.42 2.23 5.25 30.08 5.76 5.40 8.59 6.99 0.00 11.45 22.83

BB 0.36 0.85 1.96 5.88 26.63 9.01 11.74 7.59 0.02 16.14 19.83



Table 12

Global Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


B 0.09 0.35 0.60 1.71 4.46 25.70 18.83 8.86 0.00 24.78 14.62

CCC 0.01 0.05 0.11 0.34 0.92 2.16 32.89 8.20 0.00 44.89 10.43

CC 0.00 0.01 0.01 0.02 0.07 0.27 2.72 16.84 0.00 74.91 5.15

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 28.87 62.89 6.19


AAA 36.00 3.91 2.33 1.70 1.23 1.37 3.78 1.57 0.00 2.38 45.73

AA 6.70 27.49 5.29 3.22 2.87 3.64 6.24 3.26 0.02 7.64 33.64

A 2.80 5.83 23.94 5.45 3.44 3.76 6.98 5.10 0.00 10.70 32.01

BBB 1.55 2.24 4.65 19.80 5.06 5.04 8.34 7.61 0.00 17.05 28.67

BB 0.40 0.96 1.95 5.16 17.77 7.89 10.88 7.25 0.01 23.27 24.45

B 0.13 0.36 0.66 1.74 3.83 17.54 16.93 6.78 0.00 34.65 17.37

CCC 0.02 0.07 0.12 0.36 0.83 1.80 24.93 5.50 0.00 53.97 12.40

CC 0.00 0.01 0.01 0.03 0.08 0.26 2.75 9.86 0.00 81.27 5.74

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 14.43 75.26 8.25


AAA 27.36 3.97 2.43 1.78 1.22 1.35 3.33 1.44 0.00 3.78 53.34

AA 6.07 19.57 5.03 3.03 3.06 3.93 6.40 3.17 0.02 10.32 39.39

A 2.97 4.83 16.26 4.70 3.15 3.73 7.59 5.03 0.00 14.16 37.56

BBB 1.55 2.16 3.77 13.02 4.15 4.41 7.92 7.49 0.00 22.21 33.31

BB 0.38 1.02 1.81 4.18 11.75 6.89 9.63 6.51 0.01 29.90 27.90

B 0.13 0.34 0.65 1.58 3.15 11.44 14.50 5.72 0.00 43.11 19.38

CCC 0.01 0.08 0.11 0.30 0.65 1.38 18.44 4.01 0.00 61.27 13.76

CC 0.00 0.00 0.01 0.03 0.08 0.24 2.33 5.92 0.00 85.41 5.97

C 0.00 0.00 0.00 0.00 0.00 2.06 0.00 0.00 0.00 87.63 10.31


AAA 6.54 2.49 1.80 1.27 0.86 0.89 1.99 0.31 0.00 6.20 77.66

AA 1.99 4.06 2.08 1.64 2.30 3.01 6.31 1.11 0.00 18.78 58.71

A 0.72 1.47 2.93 1.40 1.23 1.90 7.03 2.39 0.00 25.64 55.29

BBB 0.49 0.72 0.98 2.10 1.10 1.39 4.04 3.05 0.00 38.18 47.95

BB 0.13 0.49 0.59 1.12 1.71 1.81 2.81 2.17 0.00 50.47 38.70

B 0.13 0.18 0.21 0.40 0.84 1.93 2.10 1.97 0.00 66.17 26.05

CCC 0.00 0.02 0.00 0.14 0.07 0.25 1.18 2.77 0.00 81.32 14.26

CC 0.00 0.00 0.00 1.01 0.43 0.00 0.00 0.58 0.00 73.38 24.60

C 0.00 0.00 0.00 0.00 8.70 0.00 0.00 0.00 0.00 91.30 0.00

N/A--Not applicable. Source: S&P Global Fixed Income Research.



U.S. RMBS

Table 13

U.S. RMBS Cumulative Default Rates, Conditional On Survival, 1976-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.03 0.29 1.22 2.81 4.57 5.92 6.91 7.61 8.12 8.47

AA 0.29 2.92 7.35 11.24 14.48 17.21 19.39 21.19 22.62 23.83

A 0.74 6.10 13.24 19.12 24.00 28.37 32.18 35.43 38.20 40.65

BBB 1.78 10.08 19.53 27.37 33.89 39.59 44.10 47.67 50.45 52.72

BB 3.44 14.10 23.34 31.67 38.66 44.57 49.21 52.85 55.89 58.32

B 5.32 17.04 26.70 36.29 43.41 48.15 52.21 55.27 58.00 60.32

CCC 15.87 31.36 44.14 52.04 57.02 60.47 62.53 63.59 63.91 64.08

CC 43.57 62.48 73.24 79.16 82.18 83.97 84.98 85.37 85.37 85.37

IG 0.29 2.08 4.78 7.56 10.14 12.20 13.79 14.98 15.89 16.58

SG 18.31 33.13 44.23 52.04 57.30 61.06 63.87 65.94 67.97 69.69

Overall 4.97 10.01 14.66 18.47 21.48 23.71 25.35 26.53 27.41 28.08


Table 14

U.S. RMBS One-Year Default Rates, 1976-2017 (%)


1976 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A N/A N/A



1979 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1985 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A

1988 0.12 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A

1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A



Table 14

U.S. RMBS One-Year Default Rates, 1976-2017 (%) (cont.)


1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1995 0.14 0.01 11.17 0.00 0.00 0.00 0.57 1.37 1.23 51.85 33.33

1996 0.04 0.00 2.41 0.00 0.00 0.00 0.00 0.91 0.00 5.26 100.00

1997 0.05 0.00 2.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45

1998 0.09 0.01 3.99 0.00 0.00 0.00 0.32 0.62 3.66 20.00 33.33

1999 0.05 0.00 2.19 0.00 0.00 0.00 0.00 0.00 2.37 20.00 25.00

2000 0.07 0.01 2.39 0.00 0.00 0.00 0.20 1.23 3.00 9.09 7.14

2001 0.11 0.00 4.11 0.00 0.00 0.00 0.00 1.20 3.28 42.11 16.67

2002 0.09 0.00 2.59 0.00 0.00 0.00 0.00 0.81 3.29 13.04 13.33

2003 0.19 0.02 3.35 0.00 0.00 0.08 0.36 0.15 1.34 64.15 12.50

2004 0.11 0.01 1.55 0.00 0.00 0.00 0.12 0.68 1.69 37.50 20.00

2005 0.09 0.01 1.03 0.00 0.00 0.00 0.10 0.32 1.38 53.85 0.00

2006 0.09 0.02 0.84 0.00 0.00 0.00 0.14 0.41 0.59 43.24 0.00

2007 0.48 0.16 4.02 0.00 0.02 0.17 0.93 4.07 1.91 50.57 0.00

2008 3.24 0.36 22.18 0.00 0.13 0.61 2.33 6.82 15.63 64.89 0.00

2009 15.21 2.22 44.14 0.21 1.90 5.26 10.90 15.23 19.29 57.01 82.23

2010 10.91 0.80 19.42 0.21 0.80 1.47 3.36 1.97 2.47 14.98 44.47

2011 10.20 0.15 18.53 0.10 0.17 0.07 0.50 0.23 1.30 9.62 43.83

2012 16.68 0.13 27.33 0.06 0.25 0.05 0.39 0.42 0.34 20.03 45.97

2013 10.28 0.11 17.00 0.00 0.10 0.07 0.33 0.73 0.79 7.49 38.36

2014 6.27 0.03 10.26 0.00 0.08 0.00 0.04 0.09 0.66 6.16 28.37

2015 6.11 0.15 10.05 0.00 0.24 0.19 0.12 0.72 0.88 8.57 27.98

2016 4.66 0.26 7.83 0.00 0.51 0.12 0.36 0.21 1.06 5.24 31.89

2017 3.16 0.36 5.21 0.04 0.18 0.57 0.80 1.67 0.66 5.02 17.64


Median 0.06 0.00 2.57 0.00 0.00 0.00 0.12 0.37 1.15 9.09 27.98

Std. dev. 4.34 0.36 11.36 0.05 0.33 0.88 2.02 8.83 4.43 22.21 25.01

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 16.68 2.22 44.14 0.21 1.90 5.26 10.90 50.00 19.29 64.89 100.00




Table 15

U.S. RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.03 0.76 0.04 0.00 0.08 0.04 0.00 0.00 0.00 0.04

AA 3.57 91.79 2.32 0.89 0.39 0.75 0.11 0.00 0.00 0.18

A 1.92 6.52 85.10 4.26 1.25 0.29 0.10 0.00 0.00 0.57

BBB 1.09 4.28 8.74 78.30 5.14 1.31 0.34 0.00 0.00 0.80

BB 0.37 1.61 3.28 6.06 79.21 6.81 0.99 0.00 0.00 1.67

B 0.05 0.51 1.16 2.38 4.76 85.02 5.47 0.00 0.00 0.66

CCC 0.00 0.01 0.05 0.19 0.43 1.37 92.61 0.32 0.00 5.02

CC 0.00 0.00 0.00 0.00 0.00 0.15 4.08 78.12 0.00 17.64



AAA 92.13 1.65 1.20 1.05 0.83 1.35 1.66 0.10 0.00 0.03

AA 3.08 80.42 2.73 2.42 2.26 2.89 5.06 0.85 0.00 0.29

A 0.88 2.97 73.43 3.85 3.20 3.68 8.76 2.49 0.00 0.74

BBB 0.27 1.12 2.28 69.07 4.86 5.81 10.35 4.47 0.00 1.78

BB 0.10 0.34 1.23 2.76 60.96 9.59 14.28 7.31 0.00 3.44

B 0.02 0.10 0.23 0.76 2.21 56.23 25.00 10.12 0.00 5.32

CCC 0.01 0.01 0.02 0.10 0.27 0.73 68.26 14.73 0.01 15.87

CC 0.00 0.00 0.01 0.02 0.06 0.21 1.32 54.81 0.00 43.57

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 85.16 2.60 1.75 1.58 1.23 1.83 4.96 0.59 0.00 0.29

AA 5.82 65.32 3.81 3.33 3.16 4.02 8.23 3.39 0.00 2.93

A 2.03 5.15 55.01 4.61 3.97 4.86 11.47 6.79 0.00 6.11

BBB 0.67 2.07 3.85 49.84 5.44 6.13 11.89 10.00 0.00 10.11

BB 0.20 0.81 2.14 4.41 41.99 10.23 13.71 12.33 0.01 14.17

B 0.05 0.23 0.46 1.44 3.62 38.59 22.82 15.54 0.00 17.24

CCC 0.01 0.03 0.06 0.18 0.46 1.28 52.02 13.85 0.01 32.11

CC 0.00 0.00 0.02 0.04 0.09 0.33 2.56 34.05 0.00 62.91

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 80.08 3.35 2.19 1.93 1.47 1.88 6.04 1.84 0.00 1.22

AA 7.89 54.39 4.24 3.86 3.55 4.83 9.00 4.81 0.01 7.44

A 2.97 6.31 41.98 4.77 4.33 5.52 12.16 8.50 0.01 13.46

BBB 1.03 2.61 4.56 36.53 5.13 6.12 12.09 12.07 0.00 19.87

BB 0.31 1.17 2.65 5.16 30.43 9.23 13.53 13.48 0.00 24.04



Table 15

U.S. RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.09 0.33 0.65 1.89 4.20 28.14 22.93 14.07 0.00 27.69

CCC 0.01 0.04 0.08 0.22 0.54 1.45 40.79 10.28 0.00 46.59

CC 0.00 0.00 0.02 0.05 0.11 0.37 3.51 21.77 0.00 74.17

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 76.15 4.08 2.65 2.34 1.73 2.05 5.83 2.36 0.00 2.82

AA 9.41 45.41 4.41 4.10 4.11 5.62 9.96 5.37 0.01 11.60

A 3.74 6.33 32.17 4.46 4.35 6.07 13.00 9.99 0.01 19.89

BBB 1.35 2.80 4.36 27.09 4.37 5.80 11.90 13.86 0.00 28.46

BB 0.43 1.48 2.81 4.80 22.38 7.88 13.19 13.41 0.00 33.62

B 0.12 0.35 0.83 2.09 4.05 20.60 21.97 11.31 0.00 38.68

CCC 0.02 0.05 0.09 0.23 0.54 1.32 33.31 7.47 0.00 56.97

CC 0.00 0.00 0.03 0.06 0.13 0.39 3.65 14.63 0.00 81.10

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 73.43 4.68 2.99 2.65 1.90 2.13 5.36 2.27 0.00 4.59

AA 10.66 38.33 4.39 4.18 4.63 6.29 10.70 5.45 0.00 15.35

A 4.40 5.62 24.88 3.84 4.24 6.29 14.63 10.34 0.01 25.75

BBB 1.65 2.87 3.72 20.70 3.49 5.14 11.77 14.43 0.00 36.24

BB 0.55 1.71 2.82 4.17 16.45 6.49 12.54 12.73 0.00 42.55

B 0.15 0.35 0.91 2.18 3.75 14.89 19.79 10.07 0.00 47.91

CCC 0.01 0.05 0.10 0.22 0.49 1.14 26.43 6.02 0.00 65.54

CC 0.00 0.00 0.03 0.06 0.15 0.38 3.22 10.55 0.00 85.60

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 74.70 4.44 2.89 2.46 1.85 1.76 3.65 0.91 0.00 7.34

AA 16.12 28.70 2.87 2.51 4.04 5.84 11.63 2.25 0.00 26.04

A 6.39 4.51 15.83 1.37 2.13 4.13 15.78 5.33 0.00 44.53

BBB 2.54 2.61 2.28 14.51 1.18 2.20 8.35 7.61 0.00 58.71

BB 1.02 1.80 2.61 3.29 9.94 1.73 4.44 6.11 0.00 69.05

B 0.43 0.36 1.05 2.62 3.77 11.37 2.63 5.87 0.00 71.91

CCC 0.00 0.04 0.00 0.31 0.04 0.00 5.69 2.08 0.00 91.85

CC 0.00 0.00 0.00 5.69 3.25 0.00 0.00 49.59 0.00 41.46

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00




Table 16

U.S. RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 81.73 0.72 0.04 0.00 0.08 0.04 0.00 0.00 0.00 0.04 17.34

AA 2.96 75.79 2.18 0.82 0.36 0.75 0.11 0.00 0.00 0.18 16.85

A 1.44 6.04 73.07 4.22 1.05 0.29 0.10 0.00 0.00 0.57 13.22

BBB 0.57 4.17 8.17 67.39 4.40 1.03 0.34 0.00 0.00 0.80 13.14

BB 0.37 1.55 2.97 6.00 67.39 6.19 0.99 0.00 0.00 1.67 12.87

B 0.05 0.51 1.06 2.28 4.76 72.42 5.36 0.00 0.00 0.66 12.90

CCC 0.00 0.01 0.04 0.19 0.42 1.35 85.40 0.31 0.00 5.02 7.26

CC 0.00 0.00 0.00 0.00 0.00 0.15 3.85 74.88 0.00 17.64 3.47



AAA 80.36 1.61 1.18 1.03 0.81 1.33 1.64 0.10 0.00 0.03 11.90

AA 2.81 74.88 2.68 2.35 2.24 2.84 5.03 0.84 0.00 0.29 6.05

A 0.76 2.87 69.08 3.80 3.17 3.63 8.70 2.49 0.00 0.74 4.78

BBB 0.23 1.01 2.19 64.61 4.76 5.67 10.26 4.45 0.00 1.78 5.04

BB 0.10 0.33 1.10 2.67 56.83 9.29 14.07 7.28 0.00 3.44 4.90

B 0.02 0.10 0.21 0.70 2.17 52.82 24.43 10.07 0.00 5.32 4.15

CCC 0.01 0.01 0.02 0.09 0.26 0.73 65.30 14.05 0.01 15.87 3.65

CC 0.00 0.00 0.01 0.02 0.06 0.19 1.30 53.09 0.00 43.57 1.77

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 62.72 2.40 1.65 1.47 1.14 1.72 4.67 0.52 0.00 0.29 23.41

AA 4.48 55.75 3.63 3.16 3.06 3.89 8.05 3.32 0.00 2.93 11.72

A 1.46 4.55 47.65 4.40 3.81 4.72 11.15 6.66 0.00 6.11 9.49

BBB 0.47 1.63 3.44 42.10 5.10 5.82 11.54 9.81 0.00 10.11 9.98

BB 0.16 0.70 1.67 3.93 35.54 9.42 13.19 11.93 0.01 14.17 9.29

B 0.04 0.21 0.37 1.19 3.29 33.41 21.38 14.76 0.00 17.24 8.12

CCC 0.01 0.02 0.05 0.16 0.42 1.24 48.08 12.96 0.01 32.11 4.96

CC 0.00 0.00 0.01 0.02 0.06 0.28 2.45 31.29 0.00 62.91 2.97

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 48.63 2.91 1.97 1.69 1.28 1.65 5.39 1.61 0.00 1.22 33.65

AA 5.22 41.80 3.90 3.58 3.37 4.56 8.68 4.68 0.01 7.44 16.77

A 1.85 5.19 32.56 4.37 4.01 5.28 11.68 8.29 0.01 13.46 13.32

BBB 0.69 1.83 3.82 26.71 4.54 5.59 11.53 11.73 0.00 19.87 13.70

BB 0.20 0.87 1.83 4.26 22.65 8.02 12.63 12.78 0.00 24.04 12.70



Table 16

U.S. RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


B 0.05 0.28 0.48 1.38 3.53 21.92 20.95 13.02 0.00 27.69 10.70

CCC 0.01 0.03 0.05 0.18 0.47 1.37 36.31 9.16 0.00 46.59 5.82

CC 0.00 0.00 0.01 0.02 0.06 0.30 3.23 18.30 0.00 74.17 3.90

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 37.40 3.33 2.28 1.96 1.42 1.70 4.97 2.02 0.00 2.82 42.10

AA 5.42 30.57 3.94 3.67 3.83 5.18 9.46 5.15 0.01 11.60 21.16

A 2.06 4.80 21.33 3.89 3.89 5.68 12.30 9.67 0.01 19.89 16.49

BBB 0.81 1.78 3.36 16.02 3.55 5.01 11.02 13.33 0.00 28.46 16.66

BB 0.26 1.00 1.76 3.58 14.04 6.36 11.90 12.42 0.00 33.62 15.06

B 0.07 0.29 0.58 1.43 3.09 13.93 19.54 9.95 0.00 38.68 12.44

CCC 0.02 0.03 0.06 0.18 0.45 1.22 28.54 6.08 0.00 56.97 6.45

CC 0.00 0.00 0.02 0.03 0.08 0.30 3.29 10.75 0.00 81.10 4.44

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 28.66 3.56 2.45 2.09 1.43 1.64 4.36 1.88 0.00 4.59 49.34

AA 5.27 22.04 3.77 3.63 4.25 5.65 9.92 5.14 0.00 15.35 24.97

A 2.10 3.79 13.35 3.26 3.69 5.74 13.62 9.91 0.01 25.75 18.78

BBB 0.87 1.64 2.53 9.07 2.63 4.18 10.56 13.62 0.00 36.24 18.67

BB 0.28 1.02 1.58 2.72 8.01 4.92 10.82 11.33 0.00 42.55 16.78

B 0.07 0.27 0.59 1.35 2.53 8.23 16.98 8.31 0.00 47.91 13.76

CCC 0.01 0.04 0.06 0.16 0.38 1.00 21.70 4.33 0.00 65.54 6.78

CC 0.00 0.00 0.02 0.04 0.09 0.28 2.82 6.54 0.00 85.60 4.61

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 6.77 2.81 2.06 1.58 1.09 1.10 2.59 0.38 0.00 7.34 74.28

AA 2.55 4.61 1.82 2.06 3.55 4.71 10.10 1.70 0.00 26.04 42.86

A 0.65 0.98 1.90 0.87 1.51 3.10 13.69 4.55 0.00 44.53 28.22

BBB 0.35 0.27 0.30 0.70 0.54 1.04 6.14 5.31 0.00 58.71 26.63

BB 0.03 0.18 0.15 0.27 0.56 0.44 2.59 3.29 0.00 69.05 23.45

B 0.03 0.03 0.02 0.20 0.24 0.61 1.20 2.67 0.00 71.91 23.09

CCC 0.00 0.00 0.00 0.12 0.00 0.00 0.69 0.27 0.00 91.85 7.08

CC 0.00 0.00 0.00 5.69 2.44 0.00 0.00 1.63 0.00 41.46 48.78

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00




U.S. structured credit

Table 17

U.S. Structured Credit Cumulative Default Rates, Conditional On Survival, 1985-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.53 1.73 2.92 5.25 6.94 7.90 8.32 8.58 8.72 8.79

AA 0.69 2.50 4.48 7.58 10.16 11.87 12.66 13.19 13.61 13.83

A 0.71 2.04 3.89 7.69 11.00 12.88 13.76 14.32 14.80 15.34

BBB 0.81 2.37 4.83 9.69 14.08 17.34 19.58 21.25 22.76 23.83

BB 0.99 3.14 6.44 10.29 13.67 15.66 17.25 18.59 19.94 21.43

B 1.69 5.54 11.00 15.65 18.20 20.01 22.03 24.43 26.87 28.80

CCC 11.01 21.53 29.02 32.25 33.78 34.85 36.02 37.44 39.99 40.93

CC 38.89 63.86 81.37 83.29 84.49 85.49 86.27 87.14 87.77 87.77

IG 0.64 2.06 3.73 6.90 9.49 11.12 11.98 12.56 13.00 13.30

SG 13.09 23.54 32.08 35.41 37.62 39.10 40.40 41.68 42.95 44.04

Overall 4.14 8.09 11.69 14.89 17.37 18.95 19.88 20.56 21.09 21.47


Table 18

U.S. Structured Credit One-Year Default Rates, 1985-2017 (%)



1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1991 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1996 0.43 0.22 100.00 0.00 0.00 6.67 0.00 100.00 N/A N/A N/A

1997 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A



Table 18

U.S. Structured Credit One-Year Default Rates, 1985-2017 (%) (cont.)


2002 0.14 0.00 1.26 0.00 0.00 0.00 0.00 0.00 1.92 12.50 0.00

2003 0.17 0.00 1.26 0.00 0.00 0.00 0.00 0.00 1.56 7.84 0.00

2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2005 0.15 0.00 1.24 0.00 0.00 0.00 0.00 0.00 0.00 6.25 6.67

2006 0.10 0.00 0.86 0.00 0.00 0.00 0.00 0.00 0.00 3.28 7.04

2007 0.17 0.06 1.11 0.05 0.12 0.06 0.06 0.12 0.00 0.00 15.28

2008 4.28 3.59 9.05 3.19 3.87 4.03 3.93 5.13 7.69 19.08 28.21

2009 7.15 1.17 17.34 0.71 1.94 1.03 1.63 2.16 4.87 19.39 27.29

2010 4.64 0.35 8.87 0.05 0.24 0.43 0.93 1.61 3.68 8.56 14.74

2011 23.21 0.14 39.78 0.00 0.15 0.35 0.11 0.24 1.04 15.15 85.59

2012 3.30 0.00 7.24 0.00 0.00 0.00 0.00 0.25 0.87 11.85 12.28

2013 1.40 0.00 3.62 0.00 0.00 0.00 0.00 0.13 0.21 5.39 14.94

2014 1.74 0.00 5.04 0.00 0.00 0.00 0.00 0.28 0.47 9.08 20.71

2015 0.83 0.00 2.65 0.00 0.00 0.00 0.00 0.14 0.00 1.81 24.83

2016 0.39 0.00 1.47 0.00 0.00 0.00 0.00 0.00 0.00 3.54 18.37

2017 0.52 0.00 2.05 0.00 0.00 0.00 0.00 0.00 0.40 4.35 25.53


Median 0.00 0.00 1.24 0.00 0.00 0.00 0.00 0.00 0.21 5.82 15.11

Std. dev. 4.24 0.65 20.22 0.56 0.75 1.38 0.85 19.20 2.08 6.35 20.23

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 23.21 3.59 100.00 3.19 3.87 6.67 3.93 100.00 7.69 19.39 85.59


Table 19

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 9.44 90.43 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 2.01 8.54 88.78 0.67 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.18 2.01 5.48 91.96 0.00 0.18 0.18 0.00 0.00 0.00

BB 0.19 0.00 0.74 3.71 94.81 0.56 0.00 0.00 0.00 0.00

B 0.00 0.00 1.19 0.40 3.16 94.47 0.40 0.00 0.00 0.40

CCC 0.00 0.00 0.54 2.17 2.17 3.26 78.26 9.24 0.00 4.35

CC 0.00 0.00 0.00 2.13 6.38 0.00 0.00 65.96 0.00 25.53




Table 19

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)



AAA 88.63 4.37 1.52 1.15 1.04 0.69 0.90 1.17 0.00 0.53

AA 10.52 75.24 4.16 2.83 1.64 0.95 1.82 2.15 0.00 0.69

A 1.40 7.67 74.46 6.12 3.27 1.75 1.97 2.66 0.00 0.71

BBB 0.37 1.47 6.10 71.78 5.72 3.69 6.35 3.72 0.00 0.81

BB 0.07 0.25 1.47 6.99 70.50 5.17 10.43 4.12 0.00 0.99

B 0.06 0.10 0.57 2.74 9.65 61.60 16.89 6.70 0.00 1.69

CCC 0.00 0.02 0.01 0.59 2.74 5.61 68.04 11.98 0.00 11.01

CC 0.00 0.00 0.00 0.01 0.08 0.04 0.05 60.92 0.00 38.89



AAA 79.73 7.14 2.26 1.69 1.79 1.21 2.41 2.02 0.00 1.75

AA 18.83 57.74 5.77 3.36 2.16 1.52 4.38 3.71 0.00 2.54

A 4.17 11.41 57.54 8.22 4.12 2.52 4.60 5.34 0.00 2.07

BBB 1.20 3.53 9.00 54.06 7.54 4.91 10.03 7.32 0.00 2.40

BB 0.30 0.97 3.39 10.86 53.76 6.39 14.55 6.59 0.00 3.19

B 0.20 0.42 1.68 6.08 14.66 44.54 18.56 8.26 0.00 5.60

CCC 0.01 0.04 0.16 1.61 5.17 9.02 49.74 12.60 0.00 21.65

CC 0.00 0.00 0.00 0.01 0.13 0.07 0.06 35.81 0.00 63.91



AAA 73.52 9.24 2.75 1.96 2.05 1.33 3.13 3.01 0.00 2.99

AA 24.76 45.98 6.39 3.55 2.49 1.99 5.64 4.54 0.00 4.65

A 7.19 12.24 47.09 9.27 4.41 2.87 6.16 6.76 0.00 4.02

BBB 2.44 5.21 9.24 42.90 8.98 5.58 11.27 9.43 0.00 4.96

BB 0.61 1.80 5.16 11.93 43.66 7.55 15.46 7.15 0.00 6.67

B 0.54 0.94 3.15 8.43 14.83 35.36 18.26 7.08 0.00 11.41

CCC 0.07 0.11 0.55 2.74 6.56 9.79 40.94 9.76 0.00 29.48

CC 0.00 0.00 0.01 0.01 0.16 0.09 0.09 18.17 0.00 81.48



AAA 69.89 10.11 2.88 2.07 2.20 1.50 3.40 2.52 0.00 5.42

AA 28.72 38.63 6.07 3.64 2.77 2.19 5.82 4.12 0.00 8.04

A 10.54 11.69 40.80 8.94 4.39 3.01 6.74 5.85 0.00 8.03

BBB 3.65 6.41 8.54 36.18 9.13 5.91 11.63 8.48 0.00 10.08

BB 0.96 2.82 6.62 11.41 37.09 8.22 15.35 6.55 0.00 10.99



Table 19

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.92 1.34 4.53 10.14 13.64 28.14 18.33 5.91 0.00 17.06

CCC 0.13 0.26 0.98 3.72 7.21 9.81 34.94 9.11 0.00 33.83

CC 0.00 0.00 0.01 0.00 0.19 0.07 0.06 15.54 0.00 84.13



AAA 68.60 9.69 2.87 2.09 2.23 1.59 3.48 2.16 0.00 7.29

AA 30.16 35.10 5.04 3.77 2.89 2.36 5.73 3.69 0.00 11.25

A 13.01 11.33 37.12 7.92 4.09 2.91 7.30 4.51 0.00 11.81

BBB 4.88 6.57 7.73 32.92 8.57 5.63 11.69 6.98 0.00 15.02

BB 1.35 3.62 7.07 10.49 32.95 9.05 14.28 5.99 0.00 15.20

B 1.23 1.85 6.08 9.91 12.05 23.00 18.21 6.34 0.00 21.34

CCC 0.19 0.37 1.39 4.28 7.43 9.27 31.16 8.92 0.00 36.98

CC 0.00 0.00 0.01 0.00 0.20 0.06 0.04 13.65 0.00 86.03



AAA 69.52 5.38 2.81 2.26 1.97 1.39 2.73 2.30 0.00 11.64

AA 19.74 32.36 3.79 4.01 3.27 2.42 6.05 3.70 0.00 24.65

A 13.29 9.99 30.82 4.51 4.22 2.14 8.11 3.60 0.00 23.32

BBB 3.35 4.02 6.84 30.64 5.51 4.45 8.70 4.13 0.00 32.36

BB 0.47 1.83 3.18 6.94 34.86 8.51 9.66 6.18 0.00 28.37

B 1.77 1.22 1.55 1.88 2.21 25.00 12.39 7.19 0.00 46.79

CCC 0.21 0.00 0.42 0.42 0.83 0.00 14.58 9.79 0.00 73.75

CC 0.00 0.00 0.00 0.00 1.39 0.00 0.00 17.13 0.00 81.48



Table 20

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 34.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 65.92

AA 4.53 31.31 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 64.04

A 1.01 4.36 32.66 0.50 0.00 0.00 0.00 0.00 0.00 0.00 61.47

BBB 0.00 0.73 2.56 41.13 0.00 0.18 0.18 0.00 0.00 0.00 55.21

BB 0.00 0.00 0.19 2.23 48.79 0.56 0.00 0.00 0.00 0.00 48.24

B 0.00 0.00 0.79 0.00 2.37 54.15 0.40 0.00 0.00 0.40 41.90



Table 20

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


CCC 0.00 0.00 0.54 1.63 0.54 2.72 47.28 9.24 0.00 4.35 33.70

CC 0.00 0.00 0.00 2.13 6.38 0.00 0.00 61.70 0.00 25.53 4.26



AAA 75.35 4.27 1.44 1.09 0.98 0.66 0.90 1.16 0.00 0.53 13.62

AA 8.80 64.51 4.08 2.70 1.57 0.92 1.75 2.13 0.00 0.69 12.86

A 0.99 6.88 63.72 6.05 3.17 1.69 1.90 2.64 0.00 0.71 12.25

BBB 0.25 1.05 5.41 63.00 5.60 3.62 6.21 3.71 0.00 0.81 10.35

BB 0.02 0.16 1.22 6.06 61.23 5.00 10.21 4.11 0.00 0.99 11.00

B 0.02 0.08 0.36 2.30 8.59 51.86 16.07 6.70 0.00 1.69 12.34

CCC 0.00 0.02 0.01 0.45 2.45 5.14 57.52 11.38 0.00 11.01 12.02

CC 0.00 0.00 0.00 0.01 0.06 0.04 0.02 55.61 0.00 38.89 5.36



AAA 57.23 6.65 1.97 1.49 1.64 1.14 2.33 2.01 0.00 1.75 23.79

AA 12.04 41.07 5.43 2.86 1.87 1.41 4.06 3.69 0.00 2.54 25.04

A 2.43 8.66 40.99 7.88 3.77 2.38 4.36 5.30 0.00 2.07 22.15

BBB 0.59 2.14 6.64 40.27 7.11 4.62 9.44 7.30 0.00 2.40 19.49

BB 0.13 0.54 2.17 7.78 38.89 5.79 13.61 6.47 0.00 3.19 21.43

B 0.04 0.26 0.88 4.26 10.98 29.54 16.28 8.10 0.00 5.60 24.06

CCC 0.00 0.02 0.15 1.15 4.08 7.10 32.00 10.06 0.00 21.65 23.79

CC 0.00 0.00 0.00 0.01 0.09 0.07 0.01 26.90 0.00 63.91 9.01



AAA 44.39 8.01 2.19 1.60 1.78 1.18 2.92 2.98 0.00 2.99 31.96

AA 11.78 25.87 5.75 2.59 1.92 1.77 4.88 4.47 0.00 4.65 36.32

A 3.04 8.07 26.95 8.55 3.81 2.59 5.54 6.54 0.00 4.02 30.89

BBB 0.81 2.51 5.53 25.52 8.13 4.94 9.92 9.07 0.00 4.96 28.61

BB 0.21 0.73 2.44 7.05 24.91 6.49 13.83 6.44 0.00 6.67 31.23

B 0.06 0.36 1.07 4.35 8.45 17.49 14.23 5.80 0.00 11.41 36.77

CCC 0.00 0.05 0.39 1.66 4.15 5.97 17.86 5.78 0.00 29.48 34.66

CC 0.00 0.00 0.00 0.01 0.07 0.09 0.00 7.15 0.00 81.48 11.20



AAA 35.48 7.96 1.95 1.50 1.77 1.23 2.92 2.32 0.00 5.42 39.46



Table 20

U.S. Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


AA 10.07 16.49 5.04 2.17 1.90 1.85 4.44 3.54 0.00 8.04 46.46

A 3.66 6.46 18.41 7.72 3.46 2.55 5.68 5.21 0.00 8.03 38.81

BBB 0.81 2.56 4.06 16.55 7.61 4.72 9.41 7.64 0.00 10.08 36.57

BB 0.20 0.91 2.43 5.21 16.16 6.56 12.52 5.38 0.00 10.99 39.66

B 0.23 0.26 1.10 4.29 5.80 9.88 11.73 3.54 0.00 17.06 46.09

CCC 0.00 0.14 0.40 1.60 3.26 4.35 9.47 4.12 0.00 33.83 42.83

CC 0.00 0.00 0.00 0.00 0.05 0.05 0.00 4.12 0.00 84.13 11.65



AAA 29.48 6.63 1.55 1.28 1.60 1.17 2.52 1.48 0.00 7.29 47.00

AA 8.11 11.43 3.54 1.74 1.63 1.81 3.57 2.63 0.00 11.25 54.28

A 3.39 5.35 13.40 6.15 2.74 2.29 5.69 3.51 0.00 11.81 45.66

BBB 0.96 2.05 2.91 12.00 6.22 3.71 8.57 5.70 0.00 15.02 42.85

BB 0.16 0.88 2.05 3.66 11.24 6.69 9.89 4.34 0.00 15.20 45.88

B 0.10 0.39 1.28 3.21 3.81 5.37 9.08 3.21 0.00 21.34 52.22

CCC 0.01 0.09 0.32 1.06 2.08 2.87 4.93 2.92 0.00 36.98 48.75

CC 0.00 0.00 0.00 0.00 0.04 0.01 0.00 2.30 0.00 86.03 11.62



AAA 13.32 0.40 0.33 0.25 0.23 0.32 0.34 0.25 0.00 11.64 72.93

AA 0.65 1.47 0.30 0.27 0.29 0.33 0.76 0.80 0.00 24.65 70.48

A 0.40 0.59 1.64 0.56 0.63 0.50 2.34 1.25 0.00 23.32 68.77

BBB 0.15 0.22 0.33 0.62 0.44 0.58 2.08 1.53 0.00 32.36 61.69

BB 0.00 0.03 0.16 0.44 0.89 0.99 1.91 2.27 0.00 28.37 64.95

B 0.00 0.00 0.00 0.11 0.11 0.88 3.65 1.55 0.00 46.79 46.90

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 73.75 26.25

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 81.48 18.52



U.S. ABS



Table 21

U.S. ABS Cumulative Default Rates, Conditional On Survival, 1983-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.00 0.00 0.01 0.02 0.03 0.04 0.04 0.05 0.05 0.06

AA 0.01 0.08 0.21 0.41 0.68 1.02 1.25 1.34 1.45 1.60

A 0.09 0.29 0.59 0.92 1.21 1.46 1.73 1.95 2.06 2.14

BBB 0.29 0.79 1.62 2.72 3.71 4.56 5.17 5.81 6.26 6.66

BB 1.30 3.54 6.23 8.21 10.09 12.23 14.33 15.82 16.76 17.29

B 4.09 10.04 13.85 15.86 17.37 19.16 20.73 22.46 24.66 26.55

CCC 10.63 18.43 25.36 31.10 36.14 39.87 42.49 45.12 47.26 48.97

CC 18.35 29.30 38.56 45.17 50.46 50.46 50.46 50.46 50.46 50.46

IG 0.05 0.15 0.32 0.52 0.71 0.88 1.02 1.13 1.20 1.27

SG 5.76 10.99 15.43 18.56 21.20 23.52 25.52 27.23 28.64 29.66

Overall 0.39 0.79 1.19 1.55 1.86 2.13 2.34 2.51 2.63 2.72


Table 22

U.S. ABS One-Year Default Rates, 1983-2017 (%)


1983 0.00 0.00 N/A N/A 0.00 0.00 N/A N/A N/A N/A N/A

1984 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A

1985 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A

1986 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1998 0.38 0.35 2.00 0.00 0.00 1.77 0.00 2.22 0.00 N/A N/A

1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2001 0.32 0.12 5.73 0.00 0.00 0.23 0.83 2.47 5.88 37.50 N/A



Table 22

U.S. ABS One-Year Default Rates, 1983-2017 (%) (cont.)


2002 1.30 0.25 28.16 0.00 0.34 0.40 1.49 5.62 51.35 54.55 N/A

2003 0.98 0.21 19.12 0.00 0.00 0.09 2.05 10.29 16.67 55.26 8.33

2004 0.98 0.08 15.91 0.00 0.00 0.00 0.48 6.00 18.06 30.77 33.33

2005 0.71 0.00 9.83 0.00 0.00 0.00 0.00 0.00 1.04 13.19 64.52

2006 0.59 0.00 9.86 0.00 0.00 0.00 0.00 0.00 0.00 19.69 71.43

2007 0.66 0.03 11.71 0.00 0.00 0.00 0.30 0.00 3.08 20.97 78.57

2008 0.11 0.00 2.30 0.00 0.00 0.00 0.00 0.00 0.00 6.25 33.33

2009 0.28 0.05 4.44 0.00 0.00 0.00 0.41 1.37 1.45 11.22 0.00

2010 0.38 0.12 3.62 0.00 0.00 0.09 0.70 0.00 0.00 13.27 20.00

2011 0.35 0.00 3.37 0.00 0.00 0.00 0.00 1.01 2.47 7.69 7.69

2012 0.20 0.00 2.03 0.00 0.00 0.00 0.00 0.00 2.48 2.40 15.38

2013 0.36 0.00 3.19 0.00 0.00 0.00 0.00 0.00 0.00 0.80 15.79

2014 0.37 0.00 3.19 0.00 0.00 0.00 0.00 0.00 0.00 2.42 15.29

2015 0.27 0.00 2.42 0.00 0.00 0.00 0.00 0.00 0.00 2.63 11.84

2016 0.11 0.00 1.10 0.00 0.00 0.00 0.00 0.00 0.00 1.18 4.60

2017 0.18 0.00 1.78 0.00 0.00 0.00 0.00 0.00 0.85 0.94 7.50


Median 0.11 0.00 2.30 0.00 0.00 0.00 0.00 0.00 0.00 11.22 15.38

Std. dev. 0.34 0.08 6.91 0.00 0.06 0.31 0.48 2.45 11.14 17.97 25.51

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.80 0.00

Maximum 1.30 0.35 28.16 0.00 0.34 1.77 2.05 10.29 51.35 55.26 78.57


Table 23

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.93 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 11.85 87.09 0.98 0.08 0.00 0.00 0.00 0.00 0.00 0.00

A 8.49 8.98 82.16 0.12 0.25 0.00 0.00 0.00 0.00 0.00

BBB 0.33 5.23 19.93 73.04 1.47 0.00 0.00 0.00 0.00 0.00

BB 0.00 2.76 5.52 12.41 75.86 1.38 1.38 0.69 0.00 0.00

B 0.00 0.00 0.00 2.54 0.85 95.76 0.00 0.00 0.00 0.85

CCC 0.00 0.00 0.00 0.00 0.00 0.00 96.23 2.83 0.00 0.94

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.50 0.00 7.50




Table 23

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)



AAA 96.36 2.61 0.72 0.23 0.04 0.03 0.00 0.00 0.00 0.00

AA 5.79 88.63 3.40 1.46 0.64 0.08 0.00 0.01 0.00 0.01

A 2.12 4.95 87.54 4.09 0.54 0.45 0.17 0.03 0.00 0.09

BBB 2.87 1.90 4.20 85.53 2.30 2.06 0.76 0.09 0.00 0.29

BB 0.30 0.97 3.12 4.16 77.96 7.88 3.64 0.67 0.00 1.30

B 0.23 0.00 1.56 0.86 1.10 76.77 13.43 1.96 0.00 4.09

CCC 0.00 0.00 0.12 0.00 0.00 0.37 81.15 7.73 0.00 10.63

CC 0.00 0.18 0.00 0.00 0.00 0.00 0.00 81.47 0.00 18.35



AAA 93.09 4.50 1.31 0.73 0.24 0.10 0.02 0.00 0.00 0.00

AA 10.26 81.40 4.65 1.70 1.08 0.55 0.27 0.01 0.00 0.08

A 4.07 8.20 78.47 6.67 0.64 1.01 0.55 0.09 0.00 0.30

BBB 6.59 3.39 5.53 75.11 3.31 3.58 1.53 0.15 0.00 0.80

BB 0.94 2.44 5.93 5.85 63.39 11.31 4.87 1.65 0.00 3.61

B 0.37 0.00 3.15 1.61 2.04 56.90 22.20 3.46 0.00 10.27

CCC 0.00 0.00 0.26 0.00 0.00 0.79 66.60 13.29 0.00 19.05

CC 0.00 0.42 0.00 0.00 0.00 0.00 0.00 68.70 0.00 30.88



AAA 90.28 6.11 1.86 0.91 0.42 0.30 0.11 0.00 0.00 0.01

AA 12.84 76.68 4.91 2.42 1.20 1.24 0.46 0.03 0.00 0.22

A 5.36 9.76 73.54 7.67 0.79 1.25 0.79 0.21 0.00 0.61

BBB 9.63 3.94 5.02 69.16 3.46 4.07 2.61 0.42 0.00 1.69

BB 2.30 3.85 6.61 5.73 56.23 10.45 6.19 2.13 0.00 6.52

B 0.54 0.00 3.76 2.62 2.69 47.65 23.66 4.23 0.00 14.85

CCC 0.00 0.00 0.28 0.00 0.00 1.05 54.52 17.31 0.00 26.84

CC 0.00 0.51 0.00 0.00 0.00 0.00 0.00 55.78 0.00 43.70



AAA 88.16 7.30 2.32 1.01 0.54 0.44 0.21 0.01 0.00 0.02

AA 12.81 74.43 5.36 3.06 1.27 1.76 0.82 0.04 0.00 0.45

A 6.26 10.78 71.31 6.99 0.96 1.37 0.98 0.38 0.00 0.97

BBB 10.85 4.19 4.61 66.13 3.53 4.16 3.16 0.51 0.00 2.86

BB 2.82 4.56 6.21 5.50 52.73 10.37 6.48 2.50 0.00 8.85



Table 23

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.75 0.00 3.14 4.04 2.62 39.90 25.75 5.39 0.00 18.41

CCC 0.00 0.00 0.30 0.00 0.08 1.07 44.86 19.57 0.00 34.12

CC 0.00 0.32 0.00 0.00 0.00 0.00 0.00 44.73 0.00 54.95



AAA 86.33 8.47 2.56 1.12 0.60 0.54 0.31 0.04 0.00 0.03

AA 11.69 72.79 6.70 3.39 1.46 1.93 1.16 0.09 0.00 0.80

A 7.05 11.32 70.17 6.09 1.12 1.46 1.02 0.44 0.00 1.32

BBB 10.91 4.69 4.33 64.02 3.49 4.43 3.56 0.61 0.00 3.97

BB 2.49 4.93 6.50 5.26 49.88 10.38 6.60 2.73 0.00 11.24

B 0.67 0.00 2.18 5.88 2.43 32.33 28.21 6.30 0.00 22.00

CCC 0.00 0.00 0.17 0.00 0.17 1.01 35.49 21.78 0.00 41.38

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 32.89 0.00 67.11



AAA 85.13 7.73 3.24 1.47 0.78 0.87 0.58 0.13 0.00 0.07

AA 11.37 67.59 6.83 4.58 1.58 1.60 3.31 0.54 0.00 2.60

A 9.41 9.73 71.40 3.41 0.92 1.00 0.76 0.55 0.00 2.81

BBB 12.18 6.31 3.36 59.50 2.73 3.04 2.76 1.15 0.00 8.97

BB 2.92 3.73 4.54 4.06 46.96 4.06 5.92 3.00 0.00 24.82

B 1.38 0.00 0.00 2.59 2.41 22.93 15.34 8.97 0.00 46.38

CCC 0.00 0.00 0.00 0.00 0.00 1.14 13.70 19.25 0.00 65.91

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.21 0.00 95.79



Table 24

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 66.50 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.43

AA 9.89 76.14 0.98 0.08 0.00 0.00 0.00 0.00 0.00 0.00 12.91

A 7.01 8.61 70.73 0.12 0.25 0.00 0.00 0.00 0.00 0.00 13.28

BBB 0.33 4.25 18.95 63.07 1.47 0.00 0.00 0.00 0.00 0.00 11.93

BB 0.00 2.07 3.45 11.72 68.28 1.38 0.00 0.69 0.00 0.00 12.41

B 0.00 0.00 0.00 2.54 0.85 82.20 0.00 0.00 0.00 0.85 13.56



Table 24

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


CCC 0.00 0.00 0.00 0.00 0.00 0.00 92.45 2.83 0.00 0.94 3.77

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.50 0.00 7.50 0.00



AAA 77.78 2.40 0.70 0.21 0.04 0.02 0.00 0.00 0.00 0.00 18.84

AA 4.75 75.11 3.16 1.23 0.57 0.08 0.00 0.01 0.00 0.01 15.08

A 1.69 4.42 75.52 4.00 0.51 0.42 0.17 0.03 0.00 0.09 13.13

BBB 2.63 1.70 3.94 73.98 2.26 2.03 0.75 0.09 0.00 0.29 12.35

BB 0.22 0.89 2.82 3.90 65.25 7.69 3.53 0.67 0.00 1.30 13.71

B 0.06 0.00 1.44 0.86 1.10 70.61 13.43 1.96 0.00 4.09 6.46

CCC 0.00 0.00 0.12 0.00 0.00 0.37 78.24 7.42 0.00 10.63 3.21

CC 0.00 0.18 0.00 0.00 0.00 0.00 0.00 78.78 0.00 18.35 2.70



AAA 58.12 3.80 1.15 0.60 0.21 0.09 0.02 0.00 0.00 0.00 36.01

AA 6.31 56.67 4.00 1.19 0.89 0.55 0.27 0.01 0.00 0.08 30.02

A 2.46 6.10 55.48 6.28 0.55 0.85 0.53 0.09 0.00 0.30 27.35

BBB 5.38 2.54 4.45 53.18 3.07 3.47 1.50 0.15 0.00 0.80 25.45

BB 0.63 1.69 4.28 4.60 39.87 10.68 4.75 1.65 0.00 3.61 28.24

B 0.06 0.00 2.66 1.42 1.92 46.88 21.77 3.46 0.00 10.27 11.56

CCC 0.00 0.00 0.26 0.00 0.00 0.73 61.38 12.50 0.00 19.05 6.08

CC 0.00 0.42 0.00 0.00 0.00 0.00 0.00 62.82 0.00 30.88 5.88



AAA 41.83 4.65 1.49 0.62 0.32 0.26 0.11 0.00 0.00 0.01 50.71

AA 6.38 43.14 3.86 1.63 0.87 1.22 0.46 0.03 0.00 0.22 42.19

A 2.20 5.63 40.32 6.84 0.62 0.96 0.75 0.21 0.00 0.61 41.87

BBB 6.74 1.93 3.13 37.76 3.03 3.82 2.52 0.42 0.00 1.69 38.98

BB 1.25 2.09 3.43 3.22 24.00 9.28 5.98 2.13 0.00 6.52 42.10

B 0.07 0.00 2.89 2.28 2.35 34.27 22.72 4.17 0.00 14.85 16.40

CCC 0.00 0.00 0.28 0.00 0.00 0.91 47.51 15.84 0.00 26.84 8.62

CC 0.00 0.51 0.00 0.00 0.00 0.00 0.00 47.30 0.00 43.70 8.48



AAA 30.11 5.03 1.71 0.57 0.34 0.38 0.21 0.01 0.00 0.02 61.62



Table 24

U.S. ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


AA 5.16 34.46 3.81 1.87 0.85 1.67 0.82 0.03 0.00 0.45 50.89

A 1.88 4.74 29.50 5.86 0.70 0.87 0.91 0.36 0.00 0.97 54.21

BBB 6.35 1.09 2.23 27.64 2.86 3.78 2.92 0.51 0.00 2.86 49.77

BB 0.94 1.39 2.10 2.41 14.75 8.67 6.17 2.41 0.00 8.85 52.32

B 0.07 0.00 1.87 3.74 1.87 25.00 24.03 4.87 0.00 18.41 20.13

CCC 0.00 0.00 0.30 0.00 0.08 0.91 36.94 18.05 0.00 34.12 9.60

CC 0.00 0.32 0.00 0.00 0.00 0.00 0.00 35.14 0.00 54.95 9.58



AAA 21.79 5.37 1.73 0.54 0.33 0.44 0.31 0.04 0.00 0.03 69.43

AA 4.26 27.93 4.47 1.85 0.90 1.72 1.10 0.08 0.00 0.80 56.89

A 2.36 4.12 21.21 4.69 0.72 0.87 0.91 0.39 0.00 1.32 63.41

BBB 4.88 1.14 1.65 19.77 2.66 3.90 3.19 0.60 0.00 3.97 58.25

BB 0.33 0.96 1.72 1.77 8.94 8.27 6.22 2.49 0.00 11.24 58.06

B 0.00 0.00 0.50 5.37 1.51 16.20 25.52 5.12 0.00 22.00 23.76

CCC 0.00 0.00 0.17 0.00 0.17 0.84 26.83 20.35 0.00 41.38 10.26

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.81 0.00 67.11 10.09



AAA 4.72 2.65 1.05 0.34 0.25 0.47 0.49 0.10 0.00 0.07 89.86

AA 1.81 9.14 3.10 3.27 0.77 1.27 3.08 0.54 0.00 2.60 74.42

A 0.63 2.36 3.57 1.22 0.45 0.53 0.48 0.43 0.00 2.81 87.53

BBB 0.07 1.80 0.67 4.49 1.50 2.33 2.16 1.08 0.00 8.97 76.94

BB 0.00 0.81 0.81 0.41 1.22 2.11 4.95 2.03 0.00 24.82 62.85

B 0.17 0.00 0.00 2.24 1.38 2.41 11.90 7.07 0.00 46.38 28.45

CCC 0.00 0.00 0.00 0.00 0.00 0.33 3.59 18.76 0.00 65.91 11.42

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.11 0.00 95.79 2.11



U.S. CMBS



Table 25

U.S. CMBS Cumulative Default Rates, Conditional On Survival, 1986-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.03 0.09 0.21 0.37 0.52 0.65 0.78 0.94 1.05 1.14

AA 0.08 0.45 1.24 2.10 2.98 3.88 4.80 5.51 6.31 6.85

A 0.07 0.60 2.02 3.86 5.60 7.17 8.39 9.53 10.39 11.10

BBB 0.40 2.16 5.64 9.58 13.04 15.66 17.73 19.32 20.54 21.55

BB 1.67 6.66 14.23 21.73 27.93 33.25 37.43 40.72 43.59 45.78

B 7.01 18.35 30.15 40.73 49.39 56.01 61.24 65.41 68.68 70.59

CCC 37.80 57.69 65.99 70.31 72.28 73.71 74.82 76.24 77.43 78.09

CC 47.83 82.61 93.48 93.48 93.48 93.48 93.48 93.48 93.48 93.48

IG 0.12 0.65 1.78 3.09 4.30 5.30 6.14 6.85 7.44 7.93

SG 11.36 22.04 31.42 39.41 45.67 50.70 54.69 57.91 60.57 62.36

Overall 3.36 6.81 10.28 13.46 16.04 18.09 19.71 21.00 22.05 22.84


Table 26

U.S. CMBS One-Year Default Rates, 1986-2017 (%)


1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A

1993 0.27 0.00 7.69 0.00 0.00 0.00 0.00 0.00 14.29 0.00 N/A

1994 0.19 0.00 3.57 0.00 0.00 0.00 0.00 0.00 7.69 0.00 N/A

1995 0.14 0.00 1.79 0.00 0.00 0.00 0.00 0.00 0.00 16.67 N/A

1996 0.52 0.00 4.40 0.00 0.00 0.00 0.00 0.00 0.00 50.00 N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1999 0.07 0.00 0.32 0.00 0.00 0.00 0.00 0.00 0.00 14.29 N/A

2000 0.06 0.00 0.27 0.00 0.00 0.00 0.00 0.00 0.66 0.00 0.00

2001 0.34 0.00 1.48 0.00 0.00 0.00 0.00 0.00 1.65 25.00 0.00

2002 0.98 0.00 4.46 0.00 0.00 0.00 0.00 3.13 4.00 29.17 0.00

2003 0.90 0.25 3.21 0.00 0.00 0.19 0.74 0.00 3.69 17.07 N/A

2004 0.39 0.03 1.60 0.00 0.00 0.00 0.10 0.18 1.57 13.56 100.00



Table 26

U.S. CMBS One-Year Default Rates, 1986-2017 (%) (cont.)


2005 0.38 0.02 1.51 0.00 0.00 0.00 0.10 0.15 1.76 11.39 N/A

2006 0.21 0.00 0.90 0.00 0.00 0.00 0.00 0.12 0.44 15.15 N/A

2007 0.16 0.00 0.70 0.00 0.00 0.00 0.00 0.00 0.12 16.67 N/A

2008 0.29 0.01 1.20 0.00 0.00 0.00 0.07 0.09 0.72 22.78 N/A

2009 2.41 0.52 7.98 0.20 0.37 0.39 1.63 3.54 7.21 24.19 0.00

2010 10.23 0.49 24.09 0.07 0.42 0.26 1.90 7.42 16.64 48.28 0.00

2011 13.57 0.12 31.98 0.00 0.00 0.00 0.62 3.76 26.02 59.39 29.31

2012 7.05 0.03 17.73 0.00 0.00 0.00 0.16 1.71 5.87 36.15 72.92

2013 4.90 0.10 12.55 0.00 0.00 0.22 0.39 1.04 3.53 25.71 100.00

2014 3.70 0.00 10.09 0.00 0.00 0.00 0.00 0.72 3.85 23.16 N/A

2015 4.33 0.04 11.87 0.00 0.00 0.00 0.21 0.70 5.80 33.52 N/A

2016 2.63 0.15 7.20 0.00 0.53 0.28 0.00 0.72 3.90 29.32 N/A

2017 2.68 0.06 8.14 0.00 0.00 0.00 0.28 1.93 6.67 34.26 N/A


Median 0.28 0.00 3.39 0.00 0.00 0.00 0.00 0.12 2.64 22.78 0.00

Std. dev. 3.20 0.13 7.98 0.04 0.13 0.10 0.48 1.77 6.15 16.18 44.76

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 13.57 0.52 31.98 0.20 0.53 0.39 1.90 7.42 26.02 59.39 100.00


Table 27

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 98.96 1.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 5.26 93.54 1.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 2.34 8.48 87.43 1.17 0.29 0.00 0.29 0.00 0.00 0.00

BBB 2.20 7.99 5.79 80.44 3.03 0.00 0.28 0.00 0.00 0.28

BB 0.83 6.63 2.49 4.14 78.45 4.42 1.10 0.00 0.00 1.93

B 0.00 3.08 2.56 4.10 7.18 73.59 2.82 0.00 0.00 6.67

CCC 0.00 1.85 0.00 0.00 3.70 7.41 52.78 0.00 0.00 34.26

CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A



AAA 97.35 0.79 0.74 0.58 0.33 0.16 0.02 0.00 0.00 0.03

AA 7.98 85.23 1.97 1.74 1.56 1.27 0.17 0.00 0.00 0.08



Table 27

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


A 2.85 6.56 82.12 3.47 2.08 2.24 0.60 0.00 0.00 0.07

BBB 1.06 2.17 4.59 80.82 4.69 3.93 2.32 0.02 0.00 0.40

BB 0.39 0.78 0.76 3.41 79.04 7.41 6.37 0.11 0.06 1.67

B 0.08 0.34 0.41 0.51 2.06 75.38 14.08 0.12 0.00 7.01

CCC 0.02 0.13 0.12 0.19 0.66 1.74 58.71 0.64 0.00 37.80

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.17 0.00 47.83

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 94.90 1.34 1.41 1.17 0.69 0.29 0.11 0.00 0.00 0.09

AA 15.22 71.70 3.16 3.08 3.07 2.77 0.55 0.00 0.00 0.45

A 6.04 11.95 66.14 5.42 3.86 4.43 1.51 0.06 0.00 0.60

BBB 2.35 4.29 8.42 63.99 6.82 6.38 5.49 0.11 0.00 2.16

BB 0.87 1.38 1.49 6.34 61.79 10.53 10.62 0.27 0.06 6.65

B 0.19 0.66 0.75 0.89 3.69 56.62 18.65 0.18 0.00 18.37

CCC 0.03 0.31 0.29 0.40 1.15 3.08 36.22 0.79 0.00 57.73

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.39 0.00 82.61

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 93.44 1.78 1.68 1.39 0.83 0.40 0.27 0.00 0.00 0.21

AA 20.32 62.35 4.00 3.79 3.64 3.31 1.35 0.02 0.00 1.24

A 9.34 15.12 54.76 6.48 4.69 4.77 2.61 0.21 0.00 2.02

BBB 3.82 6.28 10.81 51.75 7.62 6.73 7.08 0.22 0.00 5.68

BB 1.32 1.78 2.12 8.64 49.36 11.00 11.01 0.34 0.06 14.36

B 0.29 0.91 0.93 1.14 4.66 44.42 17.07 0.12 0.00 30.45

CCC 0.05 0.64 0.46 0.59 1.48 3.52 26.50 0.34 0.00 66.43

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 92.62 2.20 1.65 1.38 0.80 0.58 0.39 0.00 0.00 0.38

AA 23.60 56.30 4.70 4.14 3.36 3.27 2.49 0.02 0.00 2.12

A 12.10 16.45 47.38 7.20 4.97 4.23 3.53 0.23 0.00 3.90

BBB 5.17 7.91 11.83 43.57 7.91 6.22 7.43 0.19 0.00 9.76

BB 1.72 2.21 2.72 9.84 40.58 10.54 9.81 0.24 0.07 22.27

B 0.42 0.97 1.03 1.28 5.17 35.72 13.85 0.06 0.00 41.51

CCC 0.08 0.93 0.63 0.68 1.44 3.40 21.29 0.04 0.00 71.52

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48



Table 27

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 92.13 2.50 1.56 1.31 0.77 0.75 0.42 0.00 0.00 0.55

AA 26.06 51.88 5.29 4.20 3.12 3.42 2.96 0.00 0.00 3.08

A 14.68 16.87 42.21 7.60 4.82 3.98 4.02 0.08 0.00 5.74

BBB 6.31 9.44 12.14 37.40 8.08 5.81 7.17 0.13 0.00 13.52

BB 1.94 2.60 3.19 10.48 33.35 9.97 9.16 0.16 0.07 29.08

B 0.46 0.97 1.05 1.39 5.42 28.16 11.66 0.04 0.00 50.85

CCC 0.11 0.97 0.68 0.61 1.23 2.90 18.19 0.00 0.00 75.31

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.52 0.00 93.48

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 93.24 2.56 1.07 0.85 0.58 0.31 0.23 0.00 0.00 1.16

AA 36.00 45.55 5.06 2.80 1.80 1.94 1.29 0.00 0.00 5.56

A 22.26 17.22 36.07 7.27 3.74 2.55 1.77 0.00 0.00 9.13

BBB 11.56 13.65 11.03 29.95 5.94 4.34 4.20 0.02 0.00 19.33

BB 3.37 5.08 5.28 9.65 19.76 5.90 6.75 0.13 0.00 44.08

B 0.99 1.28 1.84 1.70 5.95 15.18 5.45 0.00 0.00 67.62

CCC 1.26 0.63 1.89 0.42 1.68 3.99 17.86 0.00 0.00 72.27

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.71 0.00 14.29

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00

N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&PGlobal Fixed Income Research.

Table 28

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 73.03 1.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.93

AA 2.63 64.59 1.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.58

A 1.46 6.73 66.37 1.17 0.29 0.00 0.29 0.00 0.00 0.00 23.68

BBB 1.10 4.96 4.96 63.91 2.75 0.00 0.28 0.00 0.00 0.28 21.76

BB 0.55 4.97 1.93 3.31 61.33 4.14 1.10 0.00 0.00 1.93 20.72

B 0.00 1.28 1.79 3.33 5.38 58.21 2.82 0.00 0.00 6.67 20.51

CCC 0.00 1.85 0.00 0.00 3.70 6.48 48.15 0.00 0.00 34.26 5.56

CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A



Table 28

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)




AAA 82.89 0.75 0.74 0.58 0.31 0.15 0.01 0.00 0.00 0.03 14.54

AA 7.01 74.36 1.95 1.74 1.55 1.27 0.17 0.00 0.00 0.08 11.87

A 2.30 6.20 73.82 3.40 2.06 2.23 0.60 0.00 0.00 0.07 9.32

BBB 0.80 1.91 4.36 73.37 4.60 3.89 2.31 0.02 0.00 0.40 8.34

BB 0.29 0.61 0.71 3.33 74.46 7.36 6.30 0.11 0.06 1.67 5.09

B 0.06 0.24 0.34 0.41 1.93 72.41 13.99 0.12 0.00 7.01 3.47

CCC 0.02 0.13 0.12 0.19 0.62 1.65 53.83 0.64 0.00 37.80 4.99

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 47.83 2.17

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 67.38 1.21 1.38 1.14 0.63 0.26 0.10 0.00 0.00 0.09 27.80

AA 11.70 52.79 2.95 2.97 3.06 2.77 0.54 0.00 0.00 0.45 22.78

A 4.20 10.37 51.89 5.03 3.76 4.39 1.49 0.06 0.00 0.60 18.20

BBB 1.59 3.34 7.45 50.68 6.38 6.18 5.42 0.11 0.00 2.16 16.70

BB 0.62 0.87 1.13 5.90 53.98 10.35 10.35 0.27 0.06 6.65 9.81

B 0.15 0.43 0.53 0.66 3.28 51.54 18.22 0.18 0.00 18.37 6.65

CCC 0.03 0.26 0.24 0.33 0.93 2.78 27.29 0.79 0.00 57.73 9.61

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.04 0.00 82.61 4.35

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 54.35 1.45 1.61 1.33 0.73 0.35 0.26 0.00 0.00 0.21 39.70

AA 14.18 37.14 3.42 3.53 3.61 3.30 1.29 0.02 0.00 1.24 32.29

A 6.19 12.24 36.06 5.57 4.40 4.63 2.54 0.21 0.00 2.02 26.16

BBB 2.49 4.58 8.93 35.06 6.65 6.23 6.67 0.22 0.00 5.68 23.47

BB 0.88 1.06 1.50 7.62 39.38 10.58 10.21 0.34 0.06 14.36 14.01

B 0.23 0.57 0.57 0.74 3.93 38.09 16.24 0.12 0.00 30.45 9.05

CCC 0.05 0.48 0.37 0.43 1.01 2.90 14.93 0.34 0.00 66.43 13.06

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 43.36 1.60 1.52 1.26 0.67 0.52 0.33 0.00 0.00 0.38 50.37

AA 14.74 26.16 3.64 3.65 3.25 3.20 2.32 0.02 0.00 2.12 40.90

A 7.36 12.37 25.99 5.46 4.37 3.92 3.28 0.23 0.00 3.90 33.12



Table 28

U.S. CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


BBB 2.97 5.37 9.10 25.06 6.27 5.36 6.52 0.19 0.00 9.76 29.39

BB 1.05 1.20 1.79 8.20 29.54 9.67 8.48 0.22 0.07 22.27 17.51

B 0.31 0.59 0.56 0.70 4.07 28.89 12.62 0.06 0.00 41.51 10.70

CCC 0.08 0.61 0.42 0.47 0.85 2.51 8.18 0.04 0.00 71.52 15.32

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 34.15 1.62 1.33 1.11 0.61 0.68 0.33 0.00 0.00 0.55 59.63

AA 13.89 17.80 3.73 3.44 2.83 3.27 2.67 0.00 0.00 3.08 49.30

A 7.95 11.44 18.22 4.91 3.86 3.44 3.59 0.08 0.00 5.74 40.76

BBB 3.15 6.01 8.58 17.52 5.65 4.58 5.80 0.13 0.00 13.52 35.06

BB 1.01 1.37 1.97 8.19 21.65 8.58 7.25 0.12 0.07 29.08 20.71

B 0.31 0.59 0.54 0.65 3.98 21.03 9.96 0.04 0.00 50.85 12.05

CCC 0.08 0.64 0.40 0.38 0.57 1.76 4.55 0.00 0.00 75.31 16.31

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.48 6.52

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 3.80 0.39 0.14 0.11 0.18 0.23 0.06 0.00 0.00 1.16 93.93

AA 1.94 2.98 1.36 0.76 0.68 0.99 0.59 0.00 0.00 5.56 85.13

A 1.73 2.82 2.70 1.87 1.39 1.12 0.72 0.00 0.00 9.13 78.52

BBB 1.48 2.36 2.13 3.19 1.85 1.67 1.56 0.00 0.00 19.33 66.44

BB 0.56 1.70 1.94 3.49 4.69 3.39 2.88 0.00 0.00 44.08 37.27

B 0.38 0.57 0.71 0.52 2.20 5.05 2.85 0.00 0.00 67.62 20.10

CCC 0.00 0.21 0.00 0.21 0.21 1.68 1.68 0.00 0.00 72.27 23.74

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.29 85.71

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


Europe

Table 29

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.12 0.30 0.55 0.87 1.19 1.43 1.62 1.73 1.81 1.87



Table 29

European Structured Finance Cumulative Default Rates, Conditional On Survival, 1983-2017 (%) (cont.)


AA 0.12 0.33 0.71 1.18 1.90 2.46 2.89 3.17 3.33 3.48

A 0.13 0.41 0.81 1.29 1.95 2.64 3.28 3.69 3.98 4.23

BBB 0.27 0.83 1.61 2.63 3.96 5.14 6.19 7.00 7.62 8.19

BB 0.64 1.94 3.68 5.43 7.07 8.54 9.96 11.11 12.06 12.96

B 2.38 5.69 9.28 12.93 16.05 17.94 19.08 19.87 20.25 20.25

CCC 10.67 19.37 25.48 29.68 31.00 31.76 32.29 32.57 32.57 32.57

CC 34.02 52.62 64.69 67.07 67.29 67.29 67.29 67.29 67.29 67.29

IG 0.15 0.43 0.83 1.34 2.00 2.56 3.03 3.35 3.58 3.77

SG 5.02 9.50 13.29 16.19 18.03 19.32 20.41 21.26 21.96 22.65

Overall 1.05 2.08 3.09 4.00 4.84 5.50 6.05 6.42 6.68 6.90


Table 30

European Structured Finance One-Year Default Rates, 1983-2017 (%)






1987 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 N/A 0.00 N/A N/A N/A N/A

1992 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1994 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A

1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1998 0.22 0.00 16.67 0.00 0.00 0.00 0.00 33.33 0.00 N/A N/A

1999 0.19 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 N/A 100.00

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2001 0.10 0.10 0.00 0.00 0.00 0.00 0.68 0.00 0.00 N/A N/A

2002 0.37 0.13 4.08 0.00 0.00 0.00 0.75 2.15 50.00 33.33 N/A

2003 0.33 0.00 4.42 0.00 0.00 0.00 0.00 0.00 0.00 30.00 66.67



Table 30

European Structured Finance One-Year Default Rates, 1983-2017 (%) (cont.)


2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2006 0.06 0.00 0.99 0.00 0.00 0.00 0.00 0.00 0.00 8.33 100.00

2007 0.16 0.14 0.53 0.10 0.27 0.00 0.21 0.00 6.25 0.00 N/A

2008 0.53 0.52 0.76 0.55 0.32 0.50 0.70 0.15 2.67 6.25 0.00

2009 1.04 0.24 5.21 0.08 0.29 0.58 0.22 0.57 3.76 13.71 11.11

2010 1.82 0.20 6.44 0.00 0.24 0.26 0.49 1.59 3.34 11.42 16.49

2011 2.10 0.24 6.26 0.28 0.08 0.00 0.63 1.41 2.86 11.38 21.09

2012 2.35 0.20 7.01 0.09 0.14 0.12 0.55 1.05 2.68 7.66 54.84

2013 2.45 0.07 7.36 0.00 0.00 0.13 0.11 0.95 2.49 13.13 48.57

2014 1.66 0.00 5.16 0.00 0.00 0.00 0.00 0.00 2.92 9.89 46.81

2015 0.68 0.00 2.26 0.00 0.00 0.00 0.00 0.00 1.46 4.54 17.14

2016 1.34 0.03 4.61 0.00 0.00 0.00 0.14 0.24 1.02 11.88 31.71

2017 1.05 0.00 3.99 0.00 0.00 0.00 0.00 0.26 0.75 14.11 10.81


Median 0.00 0.00 3.99 0.00 0.00 0.00 0.00 0.00 0.75 10.64 21.09

Std. dev. 0.75 0.11 4.08 0.10 0.10 0.15 0.27 7.21 10.28 9.41 33.66

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 2.45 0.52 16.67 0.55 0.32 0.58 0.75 33.33 50.00 33.33 100.00


Table 31

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.44 0.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 13.36 86.01 0.63 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.77 8.67 89.31 0.96 0.29 0.00 0.00 0.00 0.00 0.00

BBB 0.00 2.48 17.55 77.95 1.55 0.47 0.00 0.00 0.00 0.00

BB 0.00 0.51 4.34 17.60 72.70 4.34 0.26 0.00 0.00 0.26

B 0.00 0.25 0.25 3.48 12.19 81.09 1.99 0.00 0.00 0.75

CCC 0.00 0.00 0.00 0.00 0.40 6.45 77.82 1.21 0.00 14.11

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 89.19 0.00 10.81



AAA 89.54 5.77 2.46 0.92 0.44 0.29 0.44 0.01 0.00 0.12



Table 31

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


AA 4.94 81.35 8.22 2.76 1.02 0.63 0.92 0.04 0.00 0.12

A 0.93 5.09 84.85 5.27 2.23 0.70 0.75 0.06 0.00 0.13

BBB 0.25 1.10 5.64 80.27 6.45 3.15 2.75 0.12 0.00 0.27

BB 0.24 0.16 1.17 7.33 72.74 10.72 6.77 0.23 0.00 0.64

B 0.06 0.07 0.15 1.74 8.72 73.16 13.18 0.52 0.02 2.38

CCC 0.02 0.02 0.00 0.29 1.18 6.49 76.25 5.08 0.00 10.67

CC 0.00 0.00 0.00 0.00 0.00 0.44 0.88 64.36 0.29 34.02



AAA 80.38 9.40 5.35 1.77 0.82 0.50 1.42 0.06 0.00 0.30

AA 8.35 68.58 12.80 4.53 1.82 0.94 2.46 0.19 0.00 0.33

A 2.20 8.52 73.41 7.90 4.05 1.66 1.68 0.17 0.00 0.41

BBB 0.64 2.12 9.09 66.45 9.91 5.92 4.63 0.39 0.00 0.84

BB 0.58 0.42 2.58 11.72 54.82 16.20 11.25 0.44 0.03 1.95

B 0.10 0.18 0.55 3.81 13.52 56.72 18.16 1.11 0.02 5.82

CCC 0.00 0.04 0.04 0.71 2.66 10.18 60.43 6.71 0.02 19.22

CC 0.00 0.00 0.00 0.16 0.00 1.09 0.93 43.93 0.31 53.58



AAA 72.92 12.13 7.86 2.40 1.27 0.75 1.98 0.13 0.00 0.56

AA 9.92 60.08 16.05 5.61 2.38 1.52 3.44 0.28 0.00 0.72

A 3.57 9.81 65.44 9.75 5.34 2.53 2.41 0.32 0.00 0.84

BBB 1.16 3.03 10.34 57.24 11.58 8.02 6.29 0.68 0.01 1.66

BB 0.80 0.80 3.66 13.25 44.13 18.49 14.15 0.89 0.04 3.78

B 0.16 0.36 1.06 5.43 14.84 47.29 19.66 1.55 0.02 9.64

CCC 0.00 0.04 0.21 1.14 3.86 10.51 52.49 6.42 0.04 25.29

CC 0.00 0.00 0.17 0.17 0.33 1.00 0.50 31.11 0.33 66.39



AAA 67.57 13.62 9.89 2.96 1.67 1.08 2.12 0.19 0.00 0.89

AA 10.69 54.41 18.35 6.00 2.81 2.14 3.96 0.42 0.00 1.22

A 4.51 10.34 60.06 10.83 6.06 3.31 2.99 0.51 0.00 1.38

BBB 1.81 3.56 10.54 51.68 11.94 9.19 7.61 0.91 0.01 2.76

BB 1.07 1.14 4.60 13.20 38.19 19.04 15.52 1.43 0.07 5.74

B 0.26 0.63 1.67 6.33 14.58 41.40 19.58 1.65 0.03 13.88

CCC 0.00 0.05 0.39 1.59 5.00 10.22 48.02 4.68 0.05 30.01



Table 31

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


CC 0.00 0.00 0.35 0.00 0.71 1.06 0.18 26.68 0.35 70.67



AAA 64.29 14.10 11.30 3.47 1.94 1.29 2.20 0.17 0.00 1.23

AA 10.56 51.12 19.95 6.04 3.25 2.63 4.09 0.34 0.00 2.02

A 5.21 10.41 56.41 11.51 6.13 4.01 3.57 0.58 0.00 2.17

BBB 2.30 3.59 10.24 48.88 11.55 9.71 8.56 0.93 0.02 4.22

BB 1.45 1.57 4.84 11.70 35.31 19.04 16.58 1.66 0.11 7.73

B 0.38 0.95 2.26 6.78 14.42 36.86 18.94 1.59 0.03 17.79

CCC 0.00 0.08 0.57 2.25 5.64 9.80 44.80 4.53 0.05 32.28

CC 0.00 0.00 0.39 0.00 1.16 0.96 0.00 25.05 0.00 72.45



AAA 68.84 9.69 9.35 3.52 1.98 1.28 2.88 0.17 0.00 2.28

AA 11.05 54.10 14.07 4.97 3.07 2.67 5.57 0.22 0.00 4.28

A 6.37 12.41 55.28 8.04 4.13 3.82 4.48 0.73 0.00 4.73

BBB 1.91 3.24 11.67 52.96 7.09 6.44 7.07 1.34 0.08 8.20

BB 2.12 0.18 1.37 8.81 44.03 16.88 13.18 2.60 0.22 10.62

B 0.00 1.19 0.00 0.40 13.89 48.81 17.86 2.38 0.40 15.08

CCC 0.00 0.60 0.00 0.00 0.60 3.59 46.71 8.98 0.00 39.52

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 43.75 0.00 56.25



Table 32

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NRIncluded (%)


2017

AAA 54.00 0.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.44

AA 8.65 60.53 0.63 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.19

A 0.48 7.71 70.81 0.96 0.19 0.00 0.00 0.00 0.00 0.00 19.85

BBB 0.00 1.71 15.53 56.37 1.55 0.47 0.00 0.00 0.00 0.00 24.38

BB 0.00 0.26 3.83 16.07 49.74 3.83 0.26 0.00 0.00 0.26 25.77

B 0.00 0.00 0.25 3.48 11.44 62.94 1.74 0.00 0.00 0.75 19.40



Table 32

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NRIncluded (%) (cont.)


CCC 0.00 0.00 0.00 0.00 0.40 5.24 69.76 1.21 0.00 14.11 9.27

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 86.49 0.00 10.81 2.70



AAA 74.35 5.39 2.25 0.85 0.40 0.28 0.39 0.01 0.00 0.12 15.95

AA 4.22 69.21 7.61 2.59 0.95 0.58 0.85 0.04 0.00 0.12 13.83

A 0.72 4.67 73.87 4.98 2.15 0.64 0.70 0.05 0.00 0.13 12.08

BBB 0.15 0.95 5.11 70.10 6.09 3.03 2.59 0.11 0.00 0.27 11.60

BB 0.16 0.04 0.88 6.76 63.87 10.40 6.47 0.21 0.00 0.64 10.59

B 0.06 0.06 0.13 1.39 7.76 64.35 12.16 0.52 0.00 2.38 11.19

CCC 0.02 0.02 0.00 0.22 1.03 5.92 63.39 4.53 0.00 10.67 14.20

CC 0.00 0.00 0.00 0.00 0.00 0.29 0.88 55.67 0.00 34.02 9.13



AAA 52.60 8.07 4.52 1.45 0.67 0.42 1.17 0.05 0.00 0.30 30.73

AA 5.52 47.43 11.08 3.91 1.55 0.79 2.07 0.17 0.00 0.33 27.14

A 1.40 6.76 53.62 6.93 3.80 1.50 1.51 0.14 0.00 0.41 23.91

BBB 0.26 1.46 7.43 48.41 8.86 5.50 3.94 0.30 0.00 0.84 23.01

BB 0.28 0.14 1.75 9.64 40.25 14.83 9.81 0.33 0.00 1.95 21.01

B 0.08 0.16 0.32 2.78 10.20 42.61 15.49 1.05 0.00 5.82 21.49

CCC 0.00 0.02 0.02 0.42 1.87 8.17 39.42 5.71 0.00 19.22 25.15

CC 0.00 0.00 0.00 0.16 0.00 0.78 0.93 29.75 0.00 53.58 14.80



AAA 34.87 9.55 6.18 1.69 0.94 0.57 1.44 0.11 0.00 0.56 44.09

AA 4.99 31.47 12.82 4.38 1.84 1.18 2.49 0.24 0.00 0.72 39.87

A 1.80 6.43 38.85 7.97 4.77 2.18 1.93 0.26 0.00 0.84 34.98

BBB 0.43 1.84 7.34 32.97 9.68 7.13 4.96 0.54 0.00 1.66 33.46

BB 0.27 0.35 2.27 9.43 25.13 15.77 11.51 0.68 0.00 3.78 30.82

B 0.14 0.29 0.54 3.49 9.37 29.93 14.86 1.46 0.00 9.64 30.29

CCC 0.00 0.00 0.10 0.52 2.23 6.96 25.36 4.77 0.00 25.29 34.77

CC 0.00 0.00 0.00 0.17 0.33 0.67 0.50 13.98 0.00 66.39 17.97



AAA 21.91 9.68 7.20 1.81 1.11 0.76 1.16 0.16 0.00 0.89 55.31



Table 32

European Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NRIncluded (%) (cont.)


AA 4.14 19.98 13.47 4.09 1.91 1.53 2.29 0.36 0.00 1.22 51.01

A 1.73 5.46 27.99 8.18 5.00 2.64 2.04 0.40 0.00 1.38 45.17

BBB 0.56 1.82 6.31 22.45 9.17 7.70 5.54 0.71 0.00 2.76 42.98

BB 0.31 0.59 2.60 8.08 16.05 15.05 11.74 1.11 0.00 5.74 38.72

B 0.24 0.39 0.81 3.63 7.55 21.85 12.73 1.49 0.00 13.88 37.43

CCC 0.00 0.00 0.09 0.64 2.50 5.59 16.70 2.29 0.00 30.01 42.19

CC 0.00 0.00 0.00 0.00 0.35 0.71 0.18 7.77 0.00 70.67 20.32



AAA 13.14 8.65 7.47 1.81 1.10 0.79 0.85 0.12 0.00 1.23 64.84

AA 2.76 12.15 13.31 3.32 1.95 1.65 1.76 0.26 0.00 2.02 60.82

A 1.59 4.22 19.95 7.97 4.44 2.85 1.94 0.41 0.00 2.17 54.45

BBB 0.67 1.45 5.05 15.92 8.01 7.65 5.58 0.63 0.00 4.22 50.83

BB 0.31 1.00 2.43 5.49 10.70 14.16 11.57 1.23 0.00 7.73 45.38

B 0.35 0.38 1.05 3.12 5.98 15.53 9.87 1.27 0.00 17.79 44.65

CCC 0.00 0.03 0.08 0.78 2.46 4.24 10.76 1.50 0.00 32.28 47.88

CC 0.00 0.00 0.00 0.00 0.39 0.58 0.00 5.97 0.00 72.45 20.62



AAA 2.02 2.39 3.68 0.85 0.31 0.23 0.15 0.04 0.00 2.28 88.06

AA 0.74 1.80 4.73 1.10 0.58 0.37 0.57 0.05 0.00 4.28 85.77

A 0.30 1.60 6.12 3.15 1.35 1.52 0.85 0.17 0.00 4.73 80.22

BBB 0.02 0.24 3.21 4.76 3.02 3.23 2.52 0.45 0.00 8.20 74.36

BB 0.00 0.00 0.18 1.54 1.94 8.99 5.51 1.15 0.00 10.62 70.07

B 0.00 0.00 0.00 0.00 0.79 3.17 3.97 0.40 0.00 15.08 76.59

CCC 0.00 0.00 0.00 0.00 0.00 0.00 2.40 0.00 0.00 39.52 58.08

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 56.25 43.75



Other regions



Table 33

Other Region Structured Finance Cumulative Default Rates, Conditional On Survival,1987-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.04 0.08 0.14 0.17 0.20 0.20 0.20 0.20 0.20 0.20

AA 0.10 0.35 0.75 1.01 1.28 1.45 1.50 1.52 1.52 1.52

A 0.29 0.72 1.14 1.52 1.84 1.97 2.05 2.15 2.18 2.23

BBB 0.21 0.73 1.62 2.69 3.58 4.17 4.42 4.57 4.61 4.61

BB 0.05 1.18 2.88 5.32 7.57 8.61 9.29 9.73 9.73 9.73

B 1.13 4.46 8.05 10.54 11.54 11.88 11.88 11.88 11.88 11.88

CCC 25.91 41.61 47.29 48.94 49.30 49.49 49.71 49.71 49.71 49.71

CC 49.25 64.18 70.15 71.72 73.38 75.43 75.43 75.43 75.43 75.43

IG 0.09 0.26 0.50 0.72 0.91 1.02 1.06 1.09 1.10 1.10

SG 5.92 10.68 13.79 16.09 17.60 18.29 18.67 18.90 18.90 18.90

Overall 0.54 1.06 1.52 1.90 2.19 2.34 2.41 2.45 2.45 2.46


Table 34

Other Region Structured Finance One-Year Default Rates, 1987-2017 (%)




1989 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1992 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1993 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1994 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1995 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2002 0.38 0.00 14.29 0.00 0.00 0.00 0.00 0.00 7.14 55.56 50.00

2003 0.16 0.00 5.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67

2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Table 34

Other Region Structured Finance One-Year Default Rates, 1987-2017 (%) (cont.)


2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2008 0.86 0.93 0.00 0.36 0.80 2.26 1.84 0.00 0.00 N/A N/A

2009 1.08 0.15 7.61 0.06 0.30 0.41 0.00 0.00 1.41 28.16 71.43

2010 1.47 0.00 9.67 0.00 0.00 0.00 0.00 0.52 4.05 23.64 36.36

2011 1.20 0.12 7.30 0.22 0.00 0.00 0.00 0.00 2.14 19.29 33.33

2012 1.94 0.00 14.77 0.00 0.00 0.00 0.00 0.00 0.00 39.62 75.00

2013 1.00 0.00 9.30 0.00 0.00 0.00 0.00 0.00 1.00 43.14 14.29

2014 0.74 0.00 7.92 0.00 0.00 0.00 0.00 0.00 0.00 32.50 50.00

2015 0.15 0.00 1.95 0.00 0.00 0.00 0.00 0.00 1.75 0.00 50.00

2016 0.11 0.00 1.44 0.00 0.00 0.00 0.00 0.00 0.00 5.26 100.00

2017 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A


Median 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00

Std. dev. 0.53 0.17 4.99 0.08 0.16 0.43 0.39 0.11 1.78 18.93 28.46

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 1.94 0.93 14.77 0.36 0.80 2.26 1.84 0.52 7.14 55.56 100.00


Table 35

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 15.02 84.04 0.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 3.76 11.74 82.16 1.88 0.47 0.00 0.00 0.00 0.00 0.00

BBB 0.85 3.39 10.17 78.81 6.78 0.00 0.00 0.00 0.00 0.00

BB 3.33 1.67 5.00 15.00 73.33 1.67 0.00 0.00 0.00 0.00

B 0.00 2.44 2.44 2.44 7.32 80.49 4.88 0.00 0.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00

CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A



AAA 98.67 0.73 0.26 0.17 0.10 0.01 0.03 0.00 0.00 0.04

AA 7.59 87.44 2.86 1.01 0.21 0.32 0.46 0.01 0.00 0.10



Table 35

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


A 2.89 7.14 83.78 4.12 0.76 0.55 0.45 0.02 0.00 0.29

BBB 0.65 1.35 6.26 85.02 3.25 1.39 1.77 0.08 0.00 0.21

BB 0.33 0.65 1.42 5.45 82.57 4.96 4.30 0.27 0.00 0.05

B 0.08 0.40 0.32 1.21 4.27 80.90 11.28 0.40 0.00 1.13

CCC 0.00 0.15 0.00 0.00 0.87 7.42 61.86 3.78 0.00 25.91

CC 0.00 0.00 0.00 0.00 1.49 2.99 2.99 41.79 1.49 49.25

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 97.68 1.03 0.45 0.43 0.14 0.05 0.13 0.00 0.00 0.08

AA 13.24 78.89 4.16 1.30 0.47 0.42 1.13 0.05 0.00 0.35

A 6.78 11.02 72.58 5.19 1.46 0.73 1.44 0.09 0.00 0.73

BBB 1.73 2.64 10.58 74.97 3.66 2.60 2.86 0.24 0.00 0.74

BB 0.68 1.52 2.42 8.33 72.80 5.46 7.09 0.51 0.00 1.18

B 0.17 0.92 0.92 2.42 7.33 72.08 10.67 1.00 0.00 4.50

CCC 0.00 0.15 0.00 0.15 1.76 11.71 42.02 2.49 0.00 41.73

CC 0.00 0.00 0.00 0.00 2.99 5.97 4.48 20.90 1.49 64.18

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 96.93 1.27 0.62 0.61 0.17 0.09 0.18 0.00 0.00 0.14

AA 16.79 73.54 5.09 1.27 0.56 0.40 1.51 0.05 0.00 0.76

A 10.65 12.20 65.24 6.09 1.59 0.90 2.08 0.07 0.00 1.19

BBB 2.88 3.75 12.82 68.44 4.35 2.59 3.37 0.16 0.00 1.65

BB 0.99 1.75 3.27 9.47 68.60 4.91 7.25 0.82 0.00 2.92

B 0.26 1.05 1.39 2.96 7.85 68.88 8.54 0.78 0.00 8.28

CCC 0.00 0.15 0.00 0.75 2.11 12.05 34.19 2.26 0.15 48.34

CC 0.00 0.00 0.00 0.00 4.55 6.06 4.55 15.15 0.00 69.70

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 96.36 1.50 0.76 0.71 0.17 0.10 0.21 0.01 0.00 0.19

AA 18.98 70.29 5.82 1.36 0.49 0.40 1.54 0.07 0.00 1.06

A 14.31 12.26 60.25 6.66 1.69 0.85 2.31 0.05 0.00 1.62

BBB 4.25 4.46 13.76 64.20 4.99 2.42 2.91 0.21 0.02 2.77

BB 1.28 1.95 3.78 9.93 65.69 4.81 6.40 0.67 0.00 5.48

B 0.37 1.19 1.74 3.12 8.07 66.97 6.88 0.55 0.00 11.10

CCC 0.00 0.16 0.47 1.25 2.34 9.38 33.13 1.72 0.00 51.56

CC 0.00 0.00 0.00 0.00 3.23 6.45 4.84 14.52 0.00 70.97



Table 35

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted(%) (cont.)


C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 95.94 1.66 0.90 0.77 0.17 0.13 0.20 0.00 0.00 0.22

AA 20.43 68.77 5.59 1.42 0.51 0.41 1.37 0.13 0.00 1.37

A 17.61 11.21 57.18 7.03 1.84 0.89 2.16 0.05 0.00 2.02

BBB 5.99 5.14 13.66 60.96 5.19 2.54 2.46 0.27 0.00 3.79

BB 1.41 2.05 4.17 10.13 63.53 5.26 5.19 0.26 0.00 8.01

B 0.49 1.38 1.87 3.15 8.08 65.32 6.50 0.39 0.00 12.81

CCC 0.00 0.17 1.17 1.33 2.50 6.67 33.83 1.50 0.00 52.83

CC 0.00 0.00 0.00 0.00 1.79 7.14 5.36 14.29 0.00 71.43

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 95.69 1.47 0.93 1.06 0.20 0.15 0.24 0.00 0.00 0.25

AA 19.16 70.10 4.53 1.42 0.63 0.33 1.67 0.05 0.00 2.12

A 19.99 11.67 54.18 5.32 1.84 0.99 3.09 0.00 0.00 2.92

BBB 10.51 5.60 14.67 54.51 5.30 2.46 1.57 0.21 0.00 5.17

BB 2.89 3.55 5.78 11.83 60.18 3.81 3.02 0.39 0.00 8.54

B 1.34 3.74 2.94 5.61 13.90 65.24 1.87 0.27 0.00 5.08

CCC 0.00 0.00 0.00 0.00 5.71 48.57 22.86 0.00 0.00 22.86

CC 0.00 0.00 0.00 0.00 0.00 40.00 0.00 0.00 0.00 60.00



Table 36

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 79.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.83

AA 13.62 64.79 0.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.66

A 2.82 9.86 60.56 1.88 0.47 0.00 0.00 0.00 0.00 0.00 24.41

BBB 0.00 3.39 9.32 55.08 6.78 0.00 0.00 0.00 0.00 0.00 25.42

BB 0.00 0.00 5.00 15.00 45.00 1.67 0.00 0.00 0.00 0.00 33.33

B 0.00 0.00 0.00 2.44 7.32 29.27 4.88 0.00 0.00 0.00 56.10

CCC 0.00 0.00 0.00 0.00 0.00 0.00 75.00 0.00 0.00 0.00 25.00

CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A



Table 36

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)




AAA 80.18 0.69 0.23 0.16 0.08 0.01 0.03 0.00 0.00 0.04 18.58

AA 6.73 73.71 2.71 0.92 0.21 0.32 0.46 0.01 0.00 0.10 14.83

A 2.09 6.70 68.92 3.79 0.68 0.55 0.45 0.02 0.00 0.29 16.51

BBB 0.46 1.14 5.61 70.93 2.72 1.24 1.62 0.08 0.00 0.21 15.97

BB 0.22 0.49 0.98 4.90 68.90 4.63 3.76 0.22 0.00 0.05 15.85

B 0.08 0.32 0.16 1.05 3.87 68.90 10.15 0.40 0.00 1.13 13.94

CCC 0.00 0.00 0.00 0.00 0.58 5.97 44.54 3.64 0.00 25.91 19.36

CC 0.00 0.00 0.00 0.00 1.49 0.00 2.99 37.31 1.49 49.25 7.46

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 62.20 0.89 0.31 0.38 0.11 0.03 0.10 0.00 0.00 0.08 35.89

AA 10.40 53.94 3.55 1.03 0.44 0.40 0.99 0.05 0.00 0.35 28.86

A 4.40 9.22 46.36 3.60 1.14 0.69 1.22 0.09 0.00 0.73 32.57

BBB 0.95 1.80 8.35 50.27 2.40 2.14 2.25 0.24 0.00 0.74 30.87

BB 0.28 0.84 1.24 5.97 48.65 4.50 5.52 0.39 0.00 1.18 31.42

B 0.08 0.42 0.50 1.67 4.92 52.08 7.67 1.00 0.00 4.50 27.17

CCC 0.00 0.00 0.00 0.15 1.17 6.73 17.86 2.20 0.00 41.73 30.16

CC 0.00 0.00 0.00 0.00 2.99 0.00 4.48 13.43 1.49 64.18 13.43

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 46.22 0.93 0.34 0.48 0.09 0.05 0.10 0.00 0.00 0.14 51.65

AA 11.20 38.99 3.93 0.71 0.40 0.36 1.11 0.05 0.00 0.76 42.47

A 5.95 8.68 30.10 3.20 0.98 0.76 1.32 0.07 0.00 1.19 47.74

BBB 1.47 2.30 8.76 35.12 2.14 1.65 2.36 0.16 0.00 1.65 44.38

BB 0.23 0.64 1.17 5.38 36.43 3.33 5.15 0.64 0.00 2.92 44.09

B 0.09 0.44 0.61 1.39 2.79 42.28 4.80 0.78 0.00 8.28 38.54

CCC 0.00 0.00 0.00 0.60 1.05 4.37 4.82 1.81 0.15 48.34 38.86

CC 0.00 0.00 0.00 0.00 3.03 0.00 4.55 4.55 0.00 69.70 18.18

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 32.56 0.93 0.33 0.47 0.06 0.03 0.09 0.01 0.00 0.19 65.32

AA 10.80 27.68 3.89 0.49 0.19 0.29 0.82 0.07 0.00 1.06 54.71

A 7.77 7.23 18.38 2.68 0.71 0.56 1.06 0.05 0.00 1.62 59.94



Table 36

Other Region Structured Finance Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


BBB 2.19 2.54 8.01 24.36 2.01 0.90 1.57 0.18 0.02 2.77 55.43

BB 0.18 0.43 1.22 4.45 27.18 2.50 3.66 0.49 0.00 5.48 54.42

B 0.09 0.46 0.64 0.92 1.56 35.50 2.20 0.55 0.00 11.10 46.97

CCC 0.00 0.00 0.00 0.94 0.63 1.56 1.56 0.78 0.00 51.56 42.97

CC 0.00 0.00 0.00 0.00 1.61 0.00 3.23 3.23 0.00 70.97 20.97

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 22.08 0.89 0.30 0.40 0.02 0.02 0.03 0.00 0.00 0.22 76.04

AA 9.93 19.11 3.10 0.25 0.09 0.19 0.32 0.13 0.00 1.37 65.51

A 9.35 5.07 10.97 1.94 0.49 0.42 0.54 0.05 0.00 2.02 69.16

BBB 3.07 2.85 6.59 16.85 1.18 0.51 0.94 0.19 0.00 3.79 64.03

BB 0.13 0.38 1.15 3.97 21.47 2.37 1.67 0.06 0.00 8.01 60.77

B 0.10 0.49 0.49 0.89 0.99 30.25 1.48 0.30 0.00 12.81 52.22

CCC 0.00 0.00 0.00 0.67 0.67 0.67 0.50 0.33 0.00 52.83 44.33

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.79 0.00 71.43 26.79

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 4.33 0.56 0.16 0.11 0.01 0.00 0.01 0.00 0.00 0.25 94.57

AA 1.37 3.09 1.37 0.07 0.02 0.02 0.00 0.00 0.00 2.12 91.93

A 1.89 0.77 2.19 0.43 0.04 0.09 0.00 0.00 0.00 2.92 91.68

BBB 2.63 1.78 1.40 0.97 0.13 0.00 0.00 0.00 0.00 5.17 87.92

BB 0.26 0.79 1.05 2.50 2.76 0.39 0.00 0.00 0.00 8.54 83.71

B 0.27 1.07 1.34 2.41 0.53 6.15 0.00 0.00 0.00 5.08 83.16

CCC 0.00 0.00 0.00 0.00 0.00 2.86 0.00 0.00 0.00 22.86 74.29

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 40.00



Global RMBS

Table 37

Global RMBS Cumulative Default Rates, Conditional On Survival, 1976-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.03 0.28 1.16 2.67 4.35 5.64 6.59 7.26 7.76 8.09



Table 37

Global RMBS Cumulative Default Rates, Conditional On Survival, 1976-2017(%) (cont.)


1 2 3 4 5 6 7 8 9 10

AA 0.26 2.61 6.56 10.03 12.92 15.37 17.34 18.98 20.29 21.41

A 0.64 5.31 11.58 16.80 21.16 25.11 28.59 31.56 34.12 36.41

BBB 1.62 9.15 17.76 24.91 30.85 36.04 40.17 43.44 46.01 48.13

BB 3.22 13.20 21.89 29.72 36.29 41.84 46.24 49.71 52.59 54.92

B 5.13 16.40 25.75 35.09 42.09 46.82 50.85 53.89 56.61 58.96

CCC 15.84 31.30 44.03 51.90 56.85 60.29 62.33 63.38 63.68 63.85

CC 43.56 62.47 73.23 79.15 82.17 83.96 84.96 85.35 85.35 85.35

IG 0.27 1.93 4.45 7.05 9.46 11.41 12.92 14.05 14.92 15.59

SG 17.93 32.45 43.35 51.02 56.19 59.89 62.64 64.67 66.61 68.27

Overall 4.68 9.42 13.81 17.42 20.27 22.40 23.96 25.10 25.95 26.60


Table 38

Global RMBS One-Year Default Rates, 1976-2017 (%)





1979 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1980 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1981 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1982 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1983 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1984 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1985 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1986 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1987 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A

1988 0.12 0.00 40.00 0.00 0.00 0.00 0.00 50.00 N/A 0.00 N/A

1989 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1991 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A

1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A



Table 38

Global RMBS One-Year Default Rates, 1976-2017 (%) (cont.)


1995 0.14 0.01 11.05 0.00 0.00 0.00 0.57 1.37 1.20 51.85 33.33

1996 0.04 0.00 2.39 0.00 0.00 0.00 0.00 0.91 0.00 5.26 100.00

1997 0.05 0.00 2.52 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45

1998 0.09 0.01 3.94 0.00 0.00 0.00 0.31 0.61 3.61 20.00 33.33

1999 0.05 0.00 2.16 0.00 0.00 0.00 0.00 0.00 2.35 20.00 25.00

2000 0.06 0.01 2.35 0.00 0.00 0.00 0.19 1.20 2.97 9.09 7.14

2001 0.11 0.00 4.04 0.00 0.00 0.00 0.00 1.17 3.26 42.11 16.67

2002 0.10 0.00 3.05 0.00 0.00 0.00 0.00 0.79 3.28 25.93 13.33

2003 0.18 0.02 3.31 0.00 0.00 0.07 0.32 0.15 1.34 64.15 12.50

2004 0.10 0.01 1.52 0.00 0.00 0.00 0.11 0.66 1.69 37.50 20.00

2005 0.09 0.01 1.00 0.00 0.00 0.00 0.09 0.31 1.37 53.85 0.00

2006 0.08 0.02 0.82 0.00 0.00 0.00 0.13 0.40 0.58 42.11 0.00

2007 0.45 0.15 3.88 0.00 0.02 0.16 0.88 3.88 1.88 47.31 0.00

2008 3.05 0.34 21.59 0.01 0.12 0.56 2.14 6.48 15.51 64.25 0.00

2009 14.32 2.04 43.53 0.19 1.70 4.73 9.81 14.42 19.09 56.93 82.19

2010 10.18 0.71 19.20 0.19 0.69 1.26 2.93 1.90 2.48 14.97 44.46

2011 9.43 0.15 18.25 0.12 0.14 0.06 0.42 0.28 1.30 9.63 43.83

2012 15.28 0.11 26.83 0.05 0.19 0.03 0.33 0.41 0.35 19.98 45.96

2013 9.29 0.09 16.61 0.00 0.09 0.05 0.30 0.75 0.88 7.55 38.35

2014 5.63 0.03 10.04 0.00 0.07 0.00 0.03 0.08 0.80 6.23 28.41

2015 5.39 0.12 9.73 0.00 0.21 0.14 0.10 0.66 0.82 8.52 27.95

2016 4.09 0.20 7.56 0.00 0.45 0.09 0.31 0.19 0.94 5.22 31.90

2017 2.78 0.27 5.06 0.03 0.16 0.42 0.69 1.49 0.68 5.03 17.68


Median 0.06 0.00 2.79 0.00 0.00 0.00 0.10 0.35 1.07 9.09 27.95

Std. dev. 4.00 0.33 11.22 0.04 0.30 0.79 1.82 8.79 4.39 21.97 25.01

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 15.28 2.04 43.53 0.19 1.70 4.73 9.81 50.00 19.09 64.25 100.00


Table 39

Global RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.35 0.51 0.03 0.00 0.06 0.03 0.00 0.00 0.00 0.03

AA 4.20 91.72 2.05 0.78 0.34 0.65 0.09 0.00 0.00 0.16



Table 39

Global RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


A 1.58 7.84 85.69 3.20 0.98 0.21 0.07 0.00 0.00 0.42

BBB 0.93 4.17 11.43 76.80 4.51 1.18 0.29 0.00 0.00 0.69

BB 0.33 1.49 3.70 8.57 77.11 6.41 0.88 0.00 0.00 1.49

B 0.05 0.45 1.08 2.66 5.94 84.29 4.86 0.00 0.00 0.68

CCC 0.00 0.01 0.05 0.19 0.44 1.39 92.53 0.35 0.00 5.03

CC 0.00 0.00 0.00 0.00 0.00 0.15 4.07 78.09 0.00 17.68



AAA 92.38 1.69 1.18 1.00 0.79 1.28 1.56 0.10 0.00 0.03

AA 3.24 81.16 3.22 2.22 2.04 2.59 4.51 0.76 0.00 0.26

A 0.88 3.31 75.53 3.79 2.91 3.21 7.58 2.16 0.00 0.64

BBB 0.25 1.08 2.79 70.51 4.93 5.41 9.37 4.04 0.00 1.62

BB 0.11 0.32 1.21 3.03 62.12 9.78 13.41 6.80 0.00 3.22

B 0.03 0.10 0.22 0.82 2.35 57.60 24.10 9.66 0.00 5.13

CCC 0.01 0.01 0.02 0.10 0.27 0.77 68.33 14.64 0.01 15.84

CC 0.00 0.00 0.01 0.02 0.06 0.21 1.33 54.81 0.00 43.56

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 85.60 2.67 1.79 1.52 1.17 1.73 4.69 0.56 0.00 0.28

AA 6.04 66.70 4.67 3.13 2.87 3.61 7.35 3.02 0.00 2.61

A 2.08 5.67 58.25 4.74 3.71 4.33 9.99 5.91 0.00 5.32

BBB 0.64 2.03 4.70 51.87 5.81 5.89 10.82 9.07 0.00 9.18

BB 0.22 0.76 2.14 4.83 43.26 10.94 13.06 11.50 0.01 13.28

B 0.06 0.23 0.45 1.55 3.82 40.12 22.26 14.89 0.00 16.61

CCC 0.01 0.03 0.06 0.18 0.47 1.34 52.09 13.77 0.01 32.05

CC 0.00 0.00 0.02 0.04 0.09 0.33 2.56 34.05 0.00 62.90

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 80.59 3.42 2.30 1.86 1.40 1.80 5.72 1.74 0.00 1.16

AA 8.12 56.22 5.41 3.68 3.24 4.36 8.04 4.29 0.00 6.64

A 3.15 6.91 45.70 5.05 4.20 5.02 10.69 7.45 0.00 11.83

BBB 1.02 2.59 5.62 38.89 5.68 6.08 11.06 10.95 0.00 18.09

BB 0.32 1.10 2.66 5.66 31.70 10.36 12.99 12.60 0.01 22.59

B 0.10 0.33 0.63 2.02 4.44 29.56 22.57 13.56 0.00 26.79

CCC 0.01 0.04 0.08 0.22 0.55 1.52 40.85 10.23 0.00 46.49

CC 0.00 0.00 0.02 0.05 0.11 0.37 3.51 21.77 0.00 74.15



Table 39

Global RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 76.67 4.14 2.83 2.26 1.65 1.97 5.55 2.24 0.00 2.68

AA 9.65 47.65 5.82 3.95 3.79 5.09 8.90 4.79 0.01 10.36

A 4.09 7.06 36.06 4.81 4.34 5.64 11.54 8.84 0.01 17.62

BBB 1.40 2.84 5.58 29.75 4.97 5.96 10.94 12.60 0.00 25.96

BB 0.44 1.40 2.84 5.37 23.78 9.16 12.79 12.58 0.01 31.63

B 0.14 0.36 0.81 2.21 4.29 21.89 21.74 10.95 0.00 37.60

CCC 0.02 0.05 0.09 0.23 0.55 1.40 33.38 7.44 0.00 56.84

CC 0.00 0.00 0.03 0.06 0.13 0.39 3.65 14.64 0.00 81.09

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 73.93 4.72 3.23 2.58 1.82 2.05 5.12 2.17 0.00 4.38

AA 10.86 40.93 5.96 4.04 4.31 5.71 9.58 4.88 0.00 13.72

A 4.94 6.47 28.72 4.27 4.30 5.95 13.13 9.23 0.01 22.99

BBB 1.79 2.95 5.02 23.58 4.05 5.50 10.88 13.13 0.00 33.10

BB 0.55 1.60 2.82 4.80 18.04 7.81 12.27 11.97 0.02 40.11

B 0.17 0.36 0.90 2.24 3.98 16.00 19.67 9.81 0.00 46.86

CCC 0.01 0.05 0.10 0.22 0.51 1.23 26.50 6.00 0.00 65.38

CC 0.00 0.00 0.03 0.06 0.15 0.39 3.23 10.55 0.00 85.59

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 75.05 4.43 3.05 2.42 1.80 1.72 3.54 0.88 0.00 7.11

AA 15.72 32.06 3.91 2.43 3.78 5.40 10.70 2.07 0.00 23.93

A 6.91 5.58 18.84 1.75 2.15 4.07 14.66 4.92 0.00 41.13

BBB 2.81 2.75 3.61 16.96 1.58 2.50 7.90 7.09 0.00 54.80

BB 0.98 1.73 2.64 3.67 11.25 2.82 4.54 5.87 0.02 66.48

B 0.42 0.36 1.04 2.60 3.87 11.73 2.70 5.83 0.00 71.44

CCC 0.00 0.04 0.00 0.30 0.04 0.00 5.81 2.05 0.00 91.76

CC 0.00 0.00 0.00 5.69 3.25 0.00 0.00 49.59 0.00 41.46

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00




Table 40

Global RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 81.11 0.48 0.03 0.00 0.06 0.03 0.00 0.00 0.00 0.03 18.27

AA 3.61 75.89 1.93 0.72 0.31 0.65 0.09 0.00 0.00 0.16 16.65

A 1.23 7.35 73.03 3.16 0.81 0.21 0.07 0.00 0.00 0.42 13.71

BBB 0.49 4.02 10.84 65.87 3.87 0.93 0.29 0.00 0.00 0.69 13.00

BB 0.33 1.44 3.43 8.51 65.51 5.80 0.88 0.00 0.00 1.49 12.60

B 0.05 0.45 0.99 2.57 5.94 72.19 4.77 0.00 0.00 0.68 12.38

CCC 0.00 0.01 0.04 0.19 0.43 1.38 85.39 0.33 0.00 5.03 7.20

CC 0.00 0.00 0.00 0.00 0.00 0.15 3.84 74.87 0.00 17.68 3.46



AAA 80.51 1.65 1.16 0.97 0.77 1.26 1.55 0.09 0.00 0.03 12.01

AA 2.98 75.12 3.14 2.16 2.01 2.54 4.48 0.75 0.00 0.26 6.56

A 0.75 3.20 70.61 3.72 2.88 3.17 7.52 2.15 0.00 0.64 5.35

BBB 0.21 0.97 2.68 65.71 4.81 5.29 9.29 4.03 0.00 1.62 5.39

BB 0.11 0.31 1.08 2.94 57.85 9.49 13.22 6.78 0.00 3.22 5.02

B 0.02 0.10 0.20 0.75 2.30 54.15 23.53 9.61 0.00 5.13 4.21

CCC 0.01 0.01 0.02 0.09 0.26 0.77 65.36 13.97 0.01 15.84 3.65

CC 0.00 0.00 0.01 0.02 0.06 0.19 1.31 53.09 0.00 43.56 1.77

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 62.95 2.45 1.68 1.41 1.08 1.63 4.42 0.50 0.00 0.28 23.61

AA 4.75 56.11 4.43 2.96 2.78 3.49 7.18 2.96 0.00 2.61 12.73

A 1.54 5.00 49.77 4.49 3.57 4.20 9.71 5.79 0.00 5.32 10.60

BBB 0.46 1.62 4.20 43.43 5.43 5.60 10.50 8.89 0.00 9.18 10.69

BB 0.17 0.66 1.69 4.32 36.49 10.14 12.56 11.13 0.01 13.28 9.57

B 0.04 0.21 0.36 1.29 3.46 34.82 20.83 14.15 0.00 16.61 8.23

CCC 0.01 0.02 0.05 0.16 0.43 1.29 48.12 12.89 0.01 32.05 4.99

CC 0.00 0.00 0.01 0.02 0.06 0.28 2.45 31.29 0.00 62.90 2.98

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 48.81 2.96 2.05 1.63 1.22 1.57 5.11 1.53 0.00 1.16 33.95

AA 5.54 42.04 4.95 3.41 3.07 4.11 7.74 4.17 0.00 6.64 18.32

A 2.06 5.66 34.80 4.59 3.90 4.79 10.25 7.27 0.00 11.83 14.84

BBB 0.71 1.86 4.71 28.01 5.02 5.57 10.54 10.65 0.00 18.09 14.84

BB 0.20 0.82 1.86 4.72 23.39 9.11 12.14 11.94 0.00 22.59 13.23



Table 40

Global RMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


B 0.07 0.29 0.47 1.48 3.70 23.14 20.58 12.55 0.00 26.79 10.93

CCC 0.01 0.03 0.05 0.19 0.48 1.43 36.33 9.11 0.00 46.49 5.89

CC 0.00 0.00 0.01 0.02 0.06 0.30 3.23 18.29 0.00 74.15 3.91

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 37.50 3.37 2.43 1.89 1.36 1.63 4.72 1.92 0.00 2.68 42.49

AA 5.75 30.67 5.13 3.52 3.53 4.69 8.44 4.60 0.01 10.36 23.30

A 2.41 5.29 23.41 4.15 3.91 5.28 10.90 8.56 0.01 17.62 18.46

BBB 0.88 1.84 4.27 17.26 4.06 5.21 10.13 12.11 0.00 25.96 18.28

BB 0.25 0.94 1.81 4.07 14.68 7.57 11.54 11.64 0.00 31.63 15.87

B 0.09 0.30 0.57 1.52 3.27 14.95 19.30 9.64 0.00 37.60 12.74

CCC 0.02 0.03 0.06 0.19 0.45 1.27 28.54 6.06 0.00 56.84 6.55

CC 0.00 0.00 0.02 0.03 0.08 0.30 3.29 10.74 0.00 81.09 4.45

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 28.66 3.59 2.65 2.03 1.38 1.58 4.15 1.80 0.00 4.38 49.78

AA 5.57 21.96 5.04 3.50 3.95 5.13 8.87 4.59 0.00 13.72 27.66

A 2.59 4.25 15.08 3.55 3.78 5.44 12.20 8.84 0.01 22.99 21.27

BBB 1.01 1.74 3.38 10.25 3.08 4.56 9.76 12.40 0.00 33.10 20.73

BB 0.27 0.96 1.60 3.14 8.67 6.12 10.58 10.66 0.00 40.11 17.89

B 0.10 0.29 0.59 1.38 2.68 9.04 16.86 8.10 0.00 46.86 14.10

CCC 0.01 0.04 0.06 0.16 0.38 1.06 21.69 4.31 0.00 65.38 6.92

CC 0.00 0.00 0.02 0.04 0.09 0.28 2.82 6.54 0.00 85.59 4.62

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 6.78 2.81 2.14 1.56 1.06 1.07 2.51 0.37 0.00 7.11 74.59

AA 2.46 4.45 2.39 1.99 3.32 4.35 9.29 1.56 0.00 23.93 46.24

A 0.72 1.14 2.72 1.13 1.56 3.06 12.71 4.20 0.00 41.13 31.64

BBB 0.47 0.36 0.79 1.13 0.85 1.34 5.82 4.95 0.00 54.80 29.49

BB 0.02 0.18 0.20 0.39 0.68 1.36 2.68 3.16 0.00 66.48 24.85

B 0.03 0.03 0.02 0.20 0.24 0.66 1.23 2.65 0.00 71.44 23.50

CCC 0.00 0.00 0.00 0.11 0.00 0.00 0.84 0.27 0.00 91.76 7.03

CC 0.00 0.00 0.00 5.69 2.44 0.00 0.00 1.63 0.00 41.46 48.78

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00




Global structured credit

Table 41

Global Structured Credit Cumulative Default Rates, Conditional On Survival, 1985-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.46 1.45 2.46 4.33 5.71 6.52 6.89 7.11 7.23 7.29

AA 0.53 1.86 3.42 5.64 7.66 8.98 9.65 10.05 10.32 10.47

A 0.60 1.69 3.15 5.84 8.29 9.75 10.54 11.01 11.35 11.73

BBB 0.65 1.90 3.80 7.29 10.56 12.98 14.70 15.96 17.08 17.94

BB 0.81 2.51 5.08 8.04 10.60 12.19 13.54 14.73 15.96 17.33

B 1.36 4.48 8.64 12.27 14.55 15.92 17.38 19.13 20.87 22.40

CCC 10.14 19.56 26.32 29.87 31.35 32.33 33.29 34.25 35.68 36.20

CC 38.54 63.07 80.27 82.23 83.39 84.35 85.11 85.94 86.53 86.53

IG 0.54 1.66 3.03 5.41 7.45 8.75 9.48 9.94 10.28 10.52

SG 10.93 19.71 26.81 29.88 31.80 33.05 34.17 35.23 36.31 37.33

Overall 3.32 6.49 9.38 11.93 13.93 15.21 16.00 16.55 16.96 17.28


Table 42

Global Structured Credit One-Year Default Rates, 1985-2017 (%)



1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1991 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A N/A

1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1996 0.40 0.20 33.33 0.00 0.00 6.25 0.00 33.33 N/A N/A N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

2001 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A



Table 42

Global Structured Credit One-Year Default Rates, 1985-2017 (%) (cont.)


2002 0.41 0.04 3.10 0.00 0.00 0.00 0.27 0.83 5.45 16.67 33.33

2003 0.43 0.00 3.07 0.00 0.00 0.00 0.00 0.00 1.23 13.89 19.35

2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2005 0.10 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.00 4.04 6.35

2006 0.09 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.00 3.57 9.59

2007 0.18 0.12 0.86 0.09 0.23 0.04 0.12 0.09 0.00 0.00 15.28

2008 3.32 2.84 7.30 2.53 2.67 3.46 3.31 3.82 6.62 18.46 27.85

2009 5.41 0.89 14.72 0.51 1.36 1.12 1.03 1.53 3.76 17.18 27.29

2010 4.16 0.27 8.59 0.03 0.23 0.32 0.67 1.52 2.84 9.77 14.93

2011 17.30 0.15 31.57 0.00 0.11 0.20 0.35 0.37 0.84 13.50 82.29

2012 3.45 0.10 7.58 0.08 0.11 0.07 0.16 0.33 0.76 10.08 22.71

2013 1.88 0.04 4.75 0.00 0.00 0.08 0.08 0.18 0.50 5.91 24.78

2014 1.51 0.00 4.23 0.00 0.00 0.00 0.00 0.19 0.60 6.59 23.67

2015 0.67 0.00 2.04 0.00 0.00 0.00 0.00 0.11 0.00 1.71 21.76

2016 0.66 0.00 2.32 0.00 0.00 0.00 0.00 0.00 0.00 6.28 16.88

2017 0.50 0.00 1.87 0.00 0.00 0.00 0.00 0.14 0.25 4.00 19.18


Median 0.00 0.00 0.92 0.00 0.00 0.00 0.00 0.00 0.25 5.91 20.56

Std. dev. 3.20 0.51 8.62 0.45 0.52 1.27 0.69 6.29 2.00 6.41 17.97

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 17.30 2.84 33.33 2.53 2.67 6.25 3.31 33.33 6.62 18.46 82.29


Table 43

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.70 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 12.42 87.11 0.48 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 2.00 7.79 89.32 0.89 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.12 2.18 7.62 89.60 0.12 0.24 0.12 0.00 0.00 0.00

BB 0.14 0.14 1.10 5.38 91.86 1.24 0.00 0.00 0.00 0.14

B 0.00 0.25 0.76 1.01 5.05 91.92 0.76 0.00 0.00 0.25

CCC 0.00 0.00 0.33 1.33 1.33 5.67 81.33 6.00 0.00 4.00

CC 0.00 0.00 0.00 1.37 4.11 0.00 0.00 75.34 0.00 19.18




Table 43

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)



AAA 87.75 5.01 1.91 1.37 1.05 0.65 0.93 0.87 0.00 0.46

AA 9.22 75.89 5.02 3.39 1.64 1.06 1.86 1.38 0.00 0.53

A 1.37 7.44 75.63 6.35 3.29 1.57 1.98 1.76 0.00 0.60

BBB 0.36 1.52 6.19 73.10 5.80 3.63 6.21 2.54 0.00 0.65

BB 0.11 0.25 1.48 7.58 70.62 5.69 10.47 2.99 0.00 0.81

B 0.04 0.09 0.47 2.52 11.18 62.75 16.90 4.70 0.00 1.36

CCC 0.01 0.02 0.01 0.49 2.27 6.28 70.98 9.81 0.00 10.14

CC 0.00 0.00 0.00 0.01 0.09 0.07 0.11 61.18 0.00 38.54



AAA 78.05 8.08 3.09 2.19 1.79 1.16 2.66 1.52 0.00 1.46

AA 16.23 59.33 7.17 4.43 2.31 1.53 4.65 2.46 0.00 1.88

A 3.85 11.33 59.39 8.53 4.68 2.41 4.53 3.57 0.00 1.72

BBB 1.08 3.41 9.29 56.30 7.85 5.34 9.69 5.11 0.00 1.92

BB 0.35 0.90 3.39 11.91 53.65 7.55 14.91 4.80 0.00 2.54

B 0.14 0.34 1.45 5.56 17.17 45.42 19.45 5.93 0.00 4.54

CCC 0.01 0.04 0.12 1.32 4.43 9.87 53.75 10.77 0.00 19.68

CC 0.00 0.00 0.00 0.02 0.15 0.16 0.12 36.38 0.00 63.17



AAA 71.11 10.55 3.83 2.68 2.17 1.34 3.52 2.27 0.00 2.52

AA 20.67 48.54 8.54 4.82 2.72 1.99 6.17 3.03 0.00 3.52

A 6.59 11.95 49.51 9.97 5.19 2.91 6.06 4.57 0.00 3.26

BBB 2.17 5.06 9.54 45.69 9.48 6.31 11.19 6.65 0.00 3.90

BB 0.65 1.68 5.10 13.05 43.68 8.78 16.47 5.36 0.00 5.24

B 0.36 0.74 2.81 7.95 17.44 37.19 19.27 5.26 0.00 8.98

CCC 0.05 0.09 0.44 2.24 5.79 10.40 45.41 8.83 0.00 26.74

CC 0.00 0.00 0.02 0.02 0.21 0.16 0.11 18.99 0.00 80.49



AAA 66.96 11.78 4.12 2.95 2.43 1.57 3.78 1.95 0.00 4.46

AA 23.41 41.96 9.01 4.96 2.93 2.37 6.56 2.85 0.00 5.95

A 9.22 11.34 43.67 10.36 5.35 3.07 6.73 4.14 0.00 6.13

BBB 3.32 6.08 8.80 39.38 10.07 6.75 11.87 6.14 0.00 7.59

BB 1.01 2.56 6.51 12.52 37.34 9.65 16.79 5.09 0.00 8.54



Table 43

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.62 1.11 4.11 9.54 16.11 31.13 19.38 4.55 0.00 13.45

CCC 0.09 0.19 0.81 3.09 6.63 10.10 40.00 7.77 0.00 31.34

CC 0.00 0.00 0.04 0.00 0.25 0.15 0.07 16.21 0.00 83.29



AAA 65.41 11.64 4.18 3.10 2.52 1.69 3.83 1.67 0.00 5.96

AA 24.07 39.03 8.69 5.06 3.11 2.64 6.51 2.51 0.00 8.38

A 11.11 10.64 40.50 10.00 5.12 3.15 7.19 3.31 0.00 8.97

BBB 4.39 6.14 7.80 36.39 9.96 6.63 12.24 5.15 0.00 11.30

BB 1.47 3.34 7.00 11.03 33.59 10.56 16.50 4.76 0.00 11.74

B 0.86 1.60 5.40 9.67 14.59 26.67 19.26 4.79 0.00 17.16

CCC 0.13 0.28 1.16 3.70 6.94 9.34 36.39 7.58 0.00 34.47

CC 0.00 0.00 0.04 0.00 0.28 0.13 0.04 14.28 0.00 85.24



AAA 67.61 6.40 3.81 3.35 2.33 1.58 3.48 1.78 0.00 9.66

AA 16.91 38.03 6.21 5.07 3.60 2.97 7.75 2.26 0.00 17.20

A 11.12 10.43 34.97 5.68 4.87 2.78 8.64 2.87 0.00 18.63

BBB 2.95 3.96 7.40 35.58 6.49 5.11 9.80 3.62 0.00 25.09

BB 0.97 1.43 2.59 7.42 37.34 9.95 11.86 5.59 0.00 22.86

B 1.46 1.01 1.28 1.55 5.48 29.16 13.89 6.49 0.00 39.67

CCC 0.16 0.00 0.32 0.32 0.79 3.63 23.19 9.78 0.00 61.83

CC 0.00 0.00 0.00 0.00 1.32 0.88 0.00 17.36 0.00 80.44



Table 44

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 32.64 0.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 67.06

AA 6.21 34.00 0.48 0.00 0.00 0.00 0.00 0.00 0.00 0.00 59.31

A 1.00 4.12 41.38 0.78 0.00 0.00 0.00 0.00 0.00 0.00 52.73

BBB 0.00 0.85 4.23 45.71 0.12 0.24 0.12 0.00 0.00 0.00 48.73

BB 0.00 0.00 0.41 3.45 48.00 1.24 0.00 0.00 0.00 0.14 46.76

B 0.00 0.00 0.51 0.76 3.79 51.77 0.76 0.00 0.00 0.25 42.17



Table 44

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


CCC 0.00 0.00 0.33 1.00 0.33 4.33 57.67 6.00 0.00 4.00 26.33

CC 0.00 0.00 0.00 1.37 4.11 0.00 0.00 72.60 0.00 19.18 2.74



AAA 73.99 4.85 1.82 1.30 0.98 0.62 0.90 0.86 0.00 0.46 14.22

AA 7.71 64.62 4.81 3.19 1.55 1.01 1.80 1.37 0.00 0.53 13.42

A 1.00 6.74 64.26 6.15 3.18 1.50 1.90 1.74 0.00 0.60 12.92

BBB 0.23 1.17 5.45 63.35 5.58 3.50 5.99 2.53 0.00 0.65 11.56

BB 0.04 0.13 1.17 6.61 60.89 5.49 10.15 2.97 0.00 0.81 11.73

B 0.01 0.06 0.31 2.03 9.83 51.70 15.96 4.70 0.00 1.36 14.04

CCC 0.01 0.01 0.01 0.37 2.00 5.69 58.65 9.20 0.00 10.14 13.92

CC 0.00 0.00 0.00 0.01 0.07 0.05 0.09 55.65 0.00 38.54 5.60



AAA 54.59 7.38 2.70 1.89 1.58 1.05 2.45 1.51 0.00 1.46 25.40

AA 10.33 41.21 6.32 3.70 1.98 1.36 4.20 2.44 0.00 1.88 26.57

A 2.30 8.82 41.28 7.77 4.32 2.21 4.22 3.52 0.00 1.72 23.85

BBB 0.50 2.11 7.01 40.65 7.11 4.90 8.78 5.04 0.00 1.92 21.98

BB 0.14 0.45 2.15 8.72 38.21 6.74 13.50 4.66 0.00 2.54 22.89

B 0.03 0.22 0.73 3.76 12.59 28.63 16.57 5.80 0.00 4.54 27.13

CCC 0.00 0.02 0.11 0.90 3.40 7.67 33.55 8.70 0.00 19.68 25.96

CC 0.00 0.00 0.00 0.02 0.10 0.11 0.08 27.15 0.00 63.17 9.37



AAA 40.42 8.93 3.01 2.05 1.75 1.11 3.04 2.24 0.00 2.52 34.95

AA 9.71 25.71 6.95 3.42 2.04 1.63 4.99 2.96 0.00 3.52 39.07

A 2.93 7.87 26.90 8.61 4.47 2.50 5.19 4.38 0.00 3.26 33.90

BBB 0.73 2.63 5.89 25.69 8.10 5.39 9.32 6.34 0.00 3.90 32.02

BB 0.20 0.67 2.54 7.85 24.19 7.26 14.08 4.77 0.00 5.24 33.21

B 0.04 0.32 1.00 4.19 9.82 17.34 14.12 4.37 0.00 8.98 39.82

CCC 0.00 0.03 0.30 1.28 3.59 6.31 19.55 5.57 0.00 26.74 36.63

CC 0.00 0.00 0.00 0.02 0.11 0.11 0.03 7.61 0.00 80.49 11.62



AAA 30.47 9.05 2.75 1.90 1.77 1.16 2.85 1.78 0.00 4.46 43.81



Table 44

Global Structured Credit Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


AA 8.13 15.84 6.58 2.86 1.86 1.76 4.41 2.45 0.00 5.95 50.15

A 3.28 6.00 18.08 8.26 4.10 2.37 5.15 3.64 0.00 6.13 43.00

BBB 0.82 2.63 4.28 16.36 7.88 5.18 8.94 5.48 0.00 7.59 40.85

BB 0.23 0.91 2.65 5.96 15.36 7.35 13.10 4.14 0.00 8.54 41.78

B 0.16 0.27 1.15 4.19 6.78 10.36 11.38 2.90 0.00 13.45 49.36

CCC 0.00 0.10 0.30 1.30 3.09 4.59 11.21 3.56 0.00 31.34 44.52

CC 0.00 0.00 0.00 0.00 0.08 0.08 0.01 4.37 0.00 83.29 12.17



AAA 23.97 7.79 2.16 1.57 1.57 1.08 2.32 1.14 0.00 5.96 52.45

AA 6.17 10.29 5.34 2.12 1.56 1.67 3.31 1.82 0.00 8.38 59.34

A 3.01 4.44 12.99 7.16 3.25 2.14 4.75 2.55 0.00 8.97 50.73

BBB 0.97 2.06 2.85 11.47 6.76 4.35 8.19 4.14 0.00 11.30 47.91

BB 0.24 1.10 2.36 3.83 10.30 7.46 11.11 3.45 0.00 11.74 48.42

B 0.09 0.34 1.30 3.42 4.53 5.77 8.43 2.51 0.00 17.16 56.46

CCC 0.01 0.07 0.24 0.98 2.26 3.05 6.34 2.48 0.00 34.47 50.10

CC 0.00 0.00 0.00 0.00 0.06 0.04 0.00 2.52 0.00 85.24 12.14



AAA 10.06 0.58 0.45 0.32 0.23 0.27 0.28 0.20 0.00 9.66 77.94

AA 0.80 1.46 0.70 0.36 0.27 0.30 0.68 0.48 0.00 17.20 77.74

A 0.48 0.88 1.74 0.88 0.62 0.56 1.79 0.92 0.00 18.63 73.50

BBB 0.11 0.23 0.60 1.21 0.78 0.89 2.38 1.29 0.00 25.09 67.41

BB 0.00 0.02 0.11 0.59 1.26 1.66 2.97 2.10 0.00 22.86 68.43

B 0.00 0.00 0.00 0.09 0.27 0.82 3.47 1.37 0.00 39.67 54.30

CCC 0.00 0.00 0.00 0.00 0.00 0.16 0.00 0.00 0.00 61.83 38.01

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 80.44 19.56



Global ABS



Table 45

Global ABS Cumulative Default Rates, Conditional On Survival, 1983-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.00 0.00 0.01 0.02 0.02 0.03 0.04 0.04 0.05 0.05

AA 0.02 0.08 0.21 0.39 0.63 0.93 1.12 1.22 1.30 1.42

A 0.08 0.27 0.52 0.81 1.08 1.32 1.58 1.80 1.92 2.01

BBB 0.25 0.68 1.42 2.41 3.35 4.18 4.77 5.37 5.81 6.21

BB 1.14 3.11 5.77 7.83 9.55 11.36 13.20 14.47 15.27 15.73

B 3.96 9.65 13.39 15.44 16.86 18.56 19.95 21.49 23.52 25.29

CCC 10.94 19.15 26.07 31.51 36.27 39.83 42.53 45.10 47.22 48.93

CC 18.76 30.63 40.16 46.69 52.08 54.00 54.00 54.00 54.00 54.00

IG 0.05 0.14 0.28 0.46 0.63 0.79 0.92 1.03 1.10 1.16

SG 5.57 10.67 15.01 18.04 20.46 22.56 24.38 25.88 27.15 28.07

Overall 0.36 0.72 1.08 1.40 1.68 1.92 2.11 2.27 2.38 2.46


Table 46

Global ABS One-Year Default Rates, 1983-2017 (%)


1983 0.00 0.00 N/A N/A 0.00 0.00 N/A N/A N/A N/A N/A

1984 0.00 0.00 N/A 0.00 N/A 0.00 N/A N/A N/A N/A N/A

1985 0.00 0.00 N/A 0.00 N/A 0.00 0.00 N/A N/A N/A N/A

1986 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1990 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1993 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A N/A

1994 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1995 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1996 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

1998 0.36 0.33 2.00 0.00 0.00 1.72 0.00 2.22 0.00 N/A N/A

1999 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A N/A

2001 0.27 0.10 5.49 0.00 0.00 0.21 0.72 2.30 5.80 37.50 N/A



Table 46

Global ABS One-Year Default Rates, 1983-2017 (%) (cont.)


2002 1.02 0.19 26.78 0.00 0.29 0.37 1.28 5.15 50.67 54.55 N/A

2003 0.74 0.16 17.97 0.00 0.00 0.08 1.64 9.46 15.79 55.26 8.33

2004 0.71 0.06 14.89 0.00 0.00 0.00 0.42 5.39 17.11 30.77 33.33

2005 0.50 0.00 9.32 0.00 0.00 0.00 0.00 0.00 1.01 13.10 64.52

2006 0.43 0.00 9.63 0.00 0.00 0.00 0.00 0.00 0.00 20.31 71.43

2007 0.53 0.03 10.34 0.00 0.00 0.00 0.23 0.00 2.86 20.63 78.57

2008 0.09 0.00 1.90 0.00 0.00 0.00 0.00 0.00 0.00 6.00 33.33

2009 0.37 0.11 4.94 0.03 0.22 0.07 0.42 1.04 2.41 13.89 0.00

2010 0.33 0.10 3.21 0.00 0.00 0.07 0.55 0.00 0.00 13.33 13.33

2011 0.41 0.02 3.89 0.00 0.00 0.00 0.13 1.21 2.12 9.49 16.67

2012 0.21 0.00 2.09 0.00 0.00 0.00 0.00 0.00 2.19 2.78 13.33

2013 0.33 0.00 2.91 0.00 0.00 0.00 0.00 0.00 0.56 0.68 15.15

2014 0.63 0.00 5.47 0.00 0.00 0.00 0.00 0.00 2.37 8.16 17.78

2015 0.26 0.00 2.36 0.00 0.00 0.00 0.00 0.00 0.00 2.38 12.82

2016 0.12 0.00 1.20 0.00 0.00 0.00 0.00 0.00 0.00 1.04 5.68

2017 0.16 0.00 1.63 0.00 0.00 0.00 0.00 0.00 0.78 0.88 7.41


Median 0.09 0.00 2.09 0.00 0.00 0.00 0.00 0.00 0.28 13.10 15.15

Std. dev. 0.27 0.07 6.50 0.00 0.06 0.30 0.40 2.25 10.89 17.67 25.26

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.68 0.00

Maximum 1.02 0.33 26.78 0.03 0.29 1.72 1.64 9.46 50.67 55.26 78.57


Table 47

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.94 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 12.78 86.16 0.99 0.08 0.00 0.00 0.00 0.00 0.00 0.00

A 7.79 8.32 83.14 0.43 0.32 0.00 0.00 0.00 0.00 0.00

BBB 0.27 4.51 17.92 74.28 3.01 0.00 0.00 0.00 0.00 0.00

BB 0.00 2.40 4.79 11.98 77.25 1.80 1.20 0.60 0.00 0.00

B 0.00 0.00 0.00 2.33 2.33 94.57 0.00 0.00 0.00 0.78

CCC 0.00 0.00 0.00 0.00 0.00 1.75 94.74 2.63 0.00 0.88

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.59 0.00 7.41




Table 47

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)



AAA 96.81 2.30 0.63 0.19 0.04 0.02 0.01 0.00 0.00 0.00

AA 6.10 88.37 3.51 1.33 0.58 0.07 0.01 0.01 0.00 0.02

A 2.15 4.89 87.73 4.04 0.52 0.41 0.16 0.03 0.00 0.08

BBB 2.44 1.74 4.10 86.36 2.49 1.86 0.67 0.10 0.00 0.25

BB 0.25 0.85 2.78 4.61 78.32 8.00 3.45 0.60 0.00 1.14

B 0.21 0.00 1.44 1.03 2.01 76.39 13.12 1.80 0.05 3.96

CCC 0.00 0.00 0.11 0.11 0.06 0.46 80.81 7.50 0.00 10.94

CC 0.00 0.17 0.00 0.00 0.00 0.00 0.00 80.90 0.17 18.76

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 93.95 3.94 1.16 0.62 0.20 0.09 0.02 0.00 0.00 0.00

AA 10.81 80.97 4.81 1.59 0.96 0.49 0.26 0.02 0.00 0.09

A 4.10 8.21 78.68 6.56 0.70 0.92 0.49 0.08 0.00 0.27

BBB 5.64 3.12 5.63 76.56 3.46 3.35 1.37 0.18 0.00 0.70

BB 0.80 2.14 5.34 6.64 64.20 11.14 5.04 1.50 0.03 3.17

B 0.33 0.00 2.98 2.20 3.31 56.86 21.21 3.20 0.06 9.86

CCC 0.00 0.00 0.25 0.25 0.12 0.86 65.99 12.75 0.00 19.79

CC 0.00 0.40 0.00 0.00 0.00 0.00 0.00 67.20 0.20 32.20

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 91.53 5.33 1.64 0.79 0.35 0.25 0.10 0.00 0.00 0.01

AA 13.58 76.20 5.08 2.25 1.10 1.09 0.44 0.04 0.00 0.22

A 5.41 9.87 73.60 7.63 0.86 1.18 0.73 0.19 0.00 0.54

BBB 8.23 3.69 5.50 70.82 3.63 3.80 2.44 0.41 0.01 1.47

BB 1.95 3.33 6.09 6.77 57.34 10.45 6.06 1.95 0.04 6.02

B 0.48 0.00 3.52 3.29 4.24 47.73 22.40 3.94 0.06 14.34

CCC 0.00 0.00 0.26 0.26 0.20 1.11 54.10 16.34 0.07 27.67

CC 0.00 0.49 0.00 0.00 0.00 0.00 0.00 54.37 0.00 45.15

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 89.71 6.34 2.03 0.88 0.46 0.36 0.18 0.01 0.00 0.02

AA 13.78 73.93 5.56 2.76 1.18 1.55 0.76 0.05 0.00 0.43

A 6.32 10.87 71.15 7.23 1.00 1.31 0.94 0.33 0.00 0.85

BBB 9.31 3.97 5.32 67.68 3.80 3.88 2.97 0.50 0.03 2.53

BB 2.38 3.93 5.79 6.70 54.03 10.40 6.09 2.23 0.04 8.40



Table 47

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


B 0.66 0.00 2.99 4.58 4.38 40.31 24.24 4.91 0.07 17.86

CCC 0.00 0.00 0.28 0.28 0.21 1.13 44.75 18.51 0.00 34.82

CC 0.00 0.30 0.00 0.00 0.00 0.00 0.00 43.71 0.00 55.99

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 88.15 7.35 2.22 0.98 0.52 0.45 0.27 0.03 0.00 0.02

AA 13.03 72.25 6.78 3.01 1.36 1.67 1.06 0.10 0.00 0.73

A 7.09 11.38 69.80 6.62 1.14 1.39 1.00 0.40 0.00 1.17

BBB 9.43 4.44 5.16 65.51 3.84 4.11 3.31 0.60 0.03 3.57

BB 2.11 4.26 6.13 6.25 51.50 10.43 6.29 2.35 0.04 10.63

B 0.60 0.00 2.17 6.21 4.26 33.28 26.63 5.68 0.07 21.09

CCC 0.00 0.00 0.16 0.32 0.24 1.11 35.71 20.82 0.00 41.65

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 32.79 0.00 67.21

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 87.54 6.47 2.70 1.25 0.67 0.72 0.49 0.10 0.00 0.06

AA 14.13 67.46 6.15 4.16 1.38 1.35 2.75 0.44 0.00 2.19

A 9.45 9.85 71.01 3.79 0.97 1.00 0.84 0.50 0.00 2.58

BBB 10.77 5.75 4.20 61.66 2.97 2.94 2.54 1.04 0.07 8.08

BB 2.58 3.29 4.43 4.79 49.71 4.36 6.01 2.65 0.07 22.10

B 1.32 0.00 0.00 2.47 3.62 24.67 14.80 8.55 0.16 44.41

CCC 0.00 0.00 0.00 0.00 0.00 1.13 13.53 19.00 0.00 66.34

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.21 0.00 95.79



Table 48

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 67.03 0.00 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 32.91

AA 10.65 74.30 0.99 0.08 0.00 0.00 0.00 0.00 0.00 0.00 13.99

A 6.40 7.90 71.29 0.43 0.32 0.00 0.00 0.00 0.00 0.00 13.66

BBB 0.27 3.69 17.10 61.70 3.01 0.00 0.00 0.00 0.00 0.00 14.23

BB 0.00 1.80 2.99 11.38 69.46 1.80 0.00 0.60 0.00 0.00 11.98

B 0.00 0.00 0.00 2.33 2.33 80.62 0.00 0.00 0.00 0.78 13.95



Table 48

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


CCC 0.00 0.00 0.00 0.00 0.00 1.75 91.23 2.63 0.00 0.88 3.51

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.36 0.00 7.41 1.23



AAA 76.92 2.11 0.62 0.17 0.04 0.02 0.01 0.00 0.00 0.00 20.12

AA 4.98 73.92 3.27 1.14 0.52 0.07 0.01 0.01 0.00 0.02 16.07

A 1.68 4.29 75.23 3.95 0.47 0.37 0.16 0.03 0.00 0.08 13.73

BBB 2.20 1.54 3.75 73.87 2.40 1.83 0.66 0.09 0.00 0.25 13.41

BB 0.19 0.79 2.47 4.30 64.89 7.81 3.26 0.60 0.00 1.14 14.57

B 0.05 0.00 1.34 0.98 1.90 69.29 12.96 1.80 0.00 3.96 7.72

CCC 0.00 0.00 0.11 0.11 0.06 0.46 77.55 7.22 0.00 10.94 3.55

CC 0.00 0.17 0.00 0.00 0.00 0.00 0.00 77.80 0.17 18.76 3.10

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 56.47 3.29 1.02 0.50 0.18 0.08 0.02 0.00 0.00 0.00 38.43

AA 6.65 54.72 4.15 1.13 0.79 0.49 0.26 0.02 0.00 0.09 31.71

A 2.38 5.88 54.89 6.07 0.58 0.76 0.47 0.07 0.00 0.27 28.62

BBB 4.50 2.29 4.24 53.06 3.17 3.20 1.33 0.16 0.00 0.70 27.34

BB 0.53 1.50 3.77 5.11 39.31 10.44 4.74 1.50 0.00 3.17 29.93

B 0.06 0.00 2.53 1.87 2.64 45.07 20.39 3.20 0.00 9.86 14.38

CCC 0.00 0.00 0.25 0.25 0.06 0.80 60.29 11.95 0.00 19.79 6.62

CC 0.00 0.40 0.00 0.00 0.00 0.00 0.00 61.00 0.20 32.20 6.20

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 39.46 3.99 1.31 0.54 0.27 0.22 0.10 0.00 0.00 0.01 54.10

AA 6.54 40.62 3.99 1.52 0.79 1.07 0.44 0.04 0.00 0.22 44.76

A 2.05 5.32 39.41 6.60 0.64 0.90 0.67 0.18 0.00 0.54 43.71

BBB 5.57 1.76 3.00 37.51 3.07 3.48 2.31 0.38 0.00 1.47 41.44

BB 1.06 1.81 3.05 3.61 23.56 9.11 5.53 1.95 0.00 6.02 44.29

B 0.06 0.00 2.75 2.63 2.69 32.26 21.09 3.88 0.00 14.34 20.31

CCC 0.00 0.00 0.26 0.26 0.07 0.98 46.42 14.91 0.07 27.67 9.38

CC 0.00 0.49 0.00 0.00 0.00 0.00 0.00 45.39 0.00 45.15 8.98

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 27.15 4.27 1.48 0.50 0.30 0.32 0.18 0.01 0.00 0.02 65.78



Table 48

Global ABS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


AA 5.01 31.59 3.91 1.66 0.76 1.47 0.76 0.04 0.00 0.43 54.37

A 1.71 4.38 28.44 5.79 0.70 0.82 0.83 0.31 0.00 0.85 56.17

BBB 5.24 1.01 2.07 27.18 2.92 3.41 2.69 0.47 0.01 2.53 52.47

BB 0.79 1.17 1.85 2.38 14.45 8.44 5.33 2.16 0.00 8.40 55.01

B 0.07 0.00 1.86 3.85 2.06 23.11 22.18 4.45 0.00 17.86 24.57

CCC 0.00 0.00 0.28 0.28 0.07 0.99 36.10 16.95 0.00 34.82 10.50

CC 0.00 0.30 0.00 0.00 0.00 0.00 0.00 33.53 0.00 55.99 10.18

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 18.63 4.52 1.47 0.48 0.29 0.37 0.26 0.03 0.00 0.02 73.92

AA 3.82 24.89 4.43 1.59 0.78 1.50 1.02 0.09 0.00 0.73 61.16

A 2.10 3.72 20.13 4.79 0.68 0.80 0.85 0.34 0.00 1.17 65.41

BBB 4.04 1.02 1.48 19.23 2.76 3.50 2.89 0.54 0.00 3.57 60.98

BB 0.28 0.81 1.58 1.66 8.93 8.00 5.40 2.15 0.00 10.63 60.55

B 0.00 0.00 0.67 5.01 1.65 14.81 23.64 4.64 0.00 21.09 28.50

CCC 0.00 0.00 0.16 0.32 0.16 0.95 26.29 19.32 0.00 41.65 11.16

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21.72 0.00 67.21 11.07

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 3.94 2.19 0.89 0.30 0.22 0.39 0.39 0.08 0.00 0.06 91.53

AA 1.47 7.68 2.51 2.86 0.62 1.06 2.56 0.44 0.00 2.19 78.61

A 0.55 2.05 3.41 1.40 0.46 0.52 0.46 0.38 0.00 2.58 88.18

BBB 0.06 1.50 0.60 4.24 1.54 2.16 1.94 0.90 0.00 8.08 78.99

BB 0.00 0.72 0.72 0.50 1.22 1.86 4.58 1.79 0.00 22.10 66.52

B 0.16 0.00 0.00 2.14 1.32 2.30 11.51 6.74 0.00 44.41 31.41

CCC 0.00 0.00 0.00 0.00 0.00 0.32 3.54 18.52 0.00 66.34 11.27

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.11 0.00 95.79 2.11



Global CMBS



Table 49

Global CMBS Default Rates, Conditional On Survival, 1986-2017 (%)


1 2 3 4 5 6 7 8 9 10

AAA 0.03 0.10 0.24 0.42 0.61 0.76 0.92 1.10 1.25 1.37

AA 0.07 0.37 1.06 1.90 2.83 3.77 4.67 5.40 6.15 6.70

A 0.08 0.60 1.90 3.63 5.35 6.92 8.19 9.34 10.24 10.98

BBB 0.40 2.08 5.30 9.08 12.52 15.21 17.32 18.97 20.17 21.14

BB 1.60 6.39 13.50 20.66 26.75 31.90 35.93 39.04 41.66 43.69

B 6.82 17.71 29.10 39.31 47.51 53.68 58.59 62.52 65.61 67.42

CCC 38.17 58.68 67.48 71.75 73.63 74.97 76.00 77.34 78.45 79.07

CC 52.81 83.06 92.47 92.47 92.47 92.47 92.47 92.47 92.47 92.47

IG 0.12 0.64 1.71 3.01 4.26 5.32 6.19 6.94 7.55 8.04

SG 11.11 21.50 30.61 38.31 44.35 49.13 52.91 55.93 58.39 60.05

Overall 3.19 6.45 9.71 12.73 15.22 17.20 18.76 19.99 20.99 21.74


Table 50

Global CMBS One-Year Default Rates, 1986-2017 (%)


1986 0.00 0.00 N/A 0.00 0.00 N/A N/A N/A N/A N/A N/A

1987 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1988 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1989 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1990 0.00 0.00 N/A 0.00 0.00 0.00 N/A N/A N/A N/A N/A

1991 0.00 0.00 N/A 0.00 0.00 0.00 0.00 N/A N/A N/A N/A

1992 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A 0.00 N/A N/A

1993 0.27 0.00 7.69 0.00 0.00 0.00 0.00 0.00 14.29 0.00 N/A

1994 0.19 0.00 3.57 0.00 0.00 0.00 0.00 0.00 7.69 0.00 N/A

1995 0.14 0.00 1.79 0.00 0.00 0.00 0.00 0.00 0.00 16.67 N/A

1996 0.51 0.00 4.40 0.00 0.00 0.00 0.00 0.00 0.00 50.00 N/A

1997 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1998 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 N/A

1999 0.06 0.00 0.31 0.00 0.00 0.00 0.00 0.00 0.00 14.29 N/A

2000 0.05 0.00 0.26 0.00 0.00 0.00 0.00 0.00 0.65 0.00 0.00

2001 0.31 0.00 1.44 0.00 0.00 0.00 0.00 0.00 1.62 25.00 0.00

2002 0.87 0.00 4.19 0.00 0.00 0.00 0.00 2.89 3.83 29.17 0.00

2003 0.77 0.20 2.96 0.00 0.00 0.15 0.64 0.00 3.53 17.07 N/A

2004 0.32 0.02 1.46 0.00 0.00 0.00 0.09 0.16 1.48 13.33 50.00



Table 50

Global CMBS One-Year Default Rates, 1986-2017 (%) (cont.)


2005 0.31 0.02 1.37 0.00 0.00 0.00 0.08 0.13 1.65 11.25 0.00

2006 0.17 0.00 0.81 0.00 0.00 0.00 0.00 0.11 0.41 15.15 N/A

2007 0.17 0.01 0.77 0.00 0.00 0.00 0.06 0.00 0.45 16.44 N/A

2008 0.29 0.04 1.19 0.00 0.00 0.00 0.22 0.15 0.85 22.78 N/A

2009 2.08 0.43 7.45 0.17 0.29 0.30 1.31 3.11 6.89 25.07 0.00

2010 8.89 0.46 22.33 0.06 0.40 0.39 1.59 6.53 15.52 48.18 8.33

2011 11.86 0.19 28.82 0.11 0.00 0.00 0.67 3.59 23.21 56.97 29.31

2012 6.84 0.12 17.29 0.00 0.00 0.12 0.48 1.99 6.17 37.96 75.47

2013 5.31 0.11 13.30 0.00 0.00 0.30 0.30 1.27 3.99 29.38 100.00

2014 4.13 0.00 10.73 0.00 0.00 0.00 0.00 0.58 3.99 25.79 100.00

2015 4.41 0.04 11.61 0.00 0.00 0.00 0.18 0.61 6.03 31.18 66.67

2016 3.19 0.18 8.40 0.00 0.46 0.23 0.20 0.83 4.16 29.53 87.50

2017 3.28 0.05 9.73 0.00 0.00 0.00 0.24 1.72 6.24 39.38 14.29


Median 0.28 0.00 3.27 0.00 0.00 0.00 0.00 0.13 2.59 22.78 21.80

Std. dev. 2.93 0.12 7.48 0.04 0.12 0.11 0.40 1.60 5.66 16.24 40.43

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Maximum 11.86 0.46 28.82 0.17 0.46 0.39 1.59 6.53 23.21 56.97 100.00


Table 51

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%)


2017

AAA 99.02 0.98 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 5.00 93.96 1.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 2.23 8.19 87.10 1.74 0.50 0.00 0.25 0.00 0.00 0.00

BBB 2.18 7.51 5.57 80.87 3.15 0.24 0.24 0.00 0.00 0.24

BB 1.23 6.14 2.70 3.69 78.13 5.16 1.23 0.00 0.00 1.72

B 0.00 3.00 2.54 3.70 6.47 73.67 4.39 0.00 0.00 6.24

CCC 0.00 1.25 0.00 0.00 2.50 5.00 51.88 0.00 0.00 39.38

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.71 0.00 14.29



AAA 96.70 1.22 1.04 0.55 0.30 0.13 0.02 0.00 0.00 0.03

AA 7.56 84.80 3.11 1.89 1.37 1.04 0.15 0.00 0.00 0.07



Table 51

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


A 2.69 5.96 82.29 4.13 2.30 2.05 0.50 0.00 0.00 0.08

BBB 1.02 1.99 4.26 81.00 5.21 4.05 2.05 0.02 0.00 0.40

BB 0.40 0.75 0.81 3.22 78.82 8.25 5.99 0.11 0.05 1.60

B 0.08 0.34 0.38 0.52 1.95 75.45 14.30 0.17 0.00 6.82

CCC 0.02 0.14 0.11 0.17 0.61 1.60 58.21 0.99 0.00 38.17

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 47.19 0.00 52.81

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 93.59 2.06 2.12 1.14 0.62 0.25 0.11 0.00 0.00 0.10

AA 14.21 71.39 4.87 3.41 2.88 2.36 0.51 0.00 0.00 0.37

A 5.64 10.75 66.92 6.23 4.26 4.19 1.36 0.05 0.00 0.60

BBB 2.25 3.81 7.81 64.75 7.49 6.74 4.99 0.09 0.00 2.08

BB 0.90 1.34 1.46 5.94 61.97 11.41 10.27 0.26 0.05 6.39

B 0.18 0.67 0.72 0.94 3.44 57.39 18.61 0.32 0.00 17.73

CCC 0.03 0.30 0.27 0.36 1.08 2.84 35.41 1.06 0.00 58.66

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.37 0.00 83.63

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 91.49 2.64 2.79 1.41 0.81 0.36 0.26 0.00 0.00 0.24

AA 18.78 62.27 5.84 4.25 3.53 3.05 1.22 0.01 0.00 1.06

A 8.55 13.51 56.21 7.20 5.27 4.73 2.46 0.16 0.00 1.90

BBB 3.56 5.43 9.99 53.30 8.20 7.35 6.64 0.20 0.00 5.34

BB 1.35 1.71 2.06 7.98 50.23 11.60 10.99 0.40 0.05 13.64

B 0.28 0.91 0.90 1.18 4.36 45.76 16.97 0.29 0.00 29.36

CCC 0.05 0.60 0.42 0.54 1.38 3.28 25.40 0.47 0.00 67.86

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.36 0.00 92.64

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 90.10 3.11 3.13 1.45 0.85 0.57 0.37 0.00 0.00 0.43

AA 21.73 56.31 6.64 4.59 3.40 3.16 2.25 0.01 0.00 1.92

A 10.95 14.71 49.29 7.74 5.56 4.58 3.32 0.19 0.00 3.67

BBB 4.74 6.81 10.98 45.76 8.24 6.92 7.12 0.20 0.00 9.24

BB 1.73 2.08 2.64 9.03 42.11 10.87 9.95 0.37 0.06 21.18

B 0.40 0.99 1.00 1.33 4.80 37.61 13.65 0.22 0.00 40.00

CCC 0.07 0.87 0.58 0.63 1.36 3.18 20.26 0.10 0.00 72.94

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 92.86



Table 51

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Adjusted (%) (cont.)


C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 89.16 3.44 3.26 1.43 0.90 0.76 0.42 0.00 0.00 0.63

AA 23.91 51.99 7.25 4.54 3.26 3.47 2.67 0.01 0.00 2.91

A 13.17 15.16 44.48 7.98 5.28 4.51 3.87 0.08 0.00 5.47

BBB 5.74 8.10 11.35 40.18 8.12 6.43 6.97 0.17 0.00 12.94

BB 1.95 2.43 3.09 9.60 35.52 10.15 9.09 0.27 0.06 27.86

B 0.46 1.02 1.04 1.47 5.05 30.50 11.33 0.19 0.00 48.95

CCC 0.10 0.92 0.63 0.57 1.18 2.71 17.31 0.02 0.00 76.56

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.38 0.00 92.62

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


AAA 90.67 3.33 2.36 0.97 0.70 0.39 0.29 0.00 0.00 1.29

AA 33.63 47.25 5.81 2.83 2.00 1.95 1.24 0.01 0.00 5.28

A 20.61 15.65 39.56 7.32 3.65 2.78 1.76 0.01 0.00 8.66

BBB 10.56 12.05 10.93 34.15 5.58 4.26 3.84 0.07 0.00 18.57

BB 3.51 4.91 5.15 9.32 23.75 5.46 6.21 0.18 0.00 41.52

B 1.03 1.54 1.95 2.01 5.96 17.93 5.13 0.00 0.00 64.44

CCC 1.25 0.84 1.88 0.42 2.09 3.97 17.75 0.00 0.00 71.82

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 88.89 0.00 11.11

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00


Table 52

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included (%)


2017

AAA 70.69 0.98 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 28.33

AA 2.71 64.38 1.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.88

A 1.24 6.45 65.51 1.74 0.50 0.00 0.25 0.00 0.00 0.00 24.32

BBB 0.97 4.84 4.84 61.99 2.91 0.24 0.24 0.00 0.00 0.24 23.73

BB 0.49 4.42 2.21 2.95 58.97 4.67 1.23 0.00 0.00 1.72 23.34

B 0.00 1.15 1.62 3.00 4.85 56.35 4.16 0.00 0.00 6.24 22.63

CCC 0.00 1.25 0.00 0.00 2.50 4.38 45.00 0.00 0.00 39.38 7.50

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.71 0.00 14.29 0.00




Table 52

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)



AAA 81.89 1.17 0.94 0.55 0.27 0.13 0.02 0.00 0.00 0.03 14.99

AA 6.59 73.43 2.85 1.88 1.36 1.04 0.14 0.00 0.00 0.07 12.64

A 2.10 5.61 72.91 4.02 2.27 2.02 0.50 0.00 0.00 0.08 10.48

BBB 0.76 1.72 4.02 72.91 5.04 4.01 2.04 0.02 0.00 0.40 9.07

BB 0.29 0.58 0.72 3.15 73.41 8.11 5.90 0.11 0.05 1.60 6.07

B 0.06 0.24 0.31 0.42 1.83 71.83 14.05 0.17 0.00 6.82 4.26

CCC 0.02 0.14 0.11 0.17 0.58 1.51 53.40 0.97 0.00 38.17 4.95

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 44.38 0.00 52.81 2.81

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 65.67 1.83 1.80 1.12 0.57 0.23 0.11 0.00 0.00 0.10 28.57

AA 10.71 51.69 4.16 3.29 2.85 2.34 0.47 0.00 0.00 0.37 24.10

A 3.76 9.23 50.67 5.69 4.11 4.14 1.34 0.05 0.00 0.60 20.41

BBB 1.45 2.86 6.79 50.22 6.85 6.50 4.89 0.09 0.00 2.08 18.28

BB 0.59 0.83 1.04 5.48 52.64 10.96 9.91 0.26 0.05 6.39 11.85

B 0.14 0.42 0.51 0.67 3.03 51.19 17.95 0.31 0.00 17.73 8.04

CCC 0.03 0.23 0.22 0.30 0.87 2.56 26.76 1.05 0.00 58.66 9.32

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 0.00 83.63 5.85

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 52.16 2.09 2.20 1.34 0.71 0.32 0.24 0.00 0.00 0.24 40.70

AA 12.66 36.11 4.43 3.92 3.42 3.00 1.14 0.01 0.00 1.06 34.26

A 5.31 10.74 34.83 6.00 4.85 4.56 2.34 0.16 0.00 1.90 29.31

BBB 2.19 3.81 8.01 34.76 6.91 6.74 6.24 0.20 0.00 5.34 25.81

BB 0.81 0.98 1.37 6.93 38.20 10.76 10.02 0.38 0.05 13.64 16.86

B 0.21 0.55 0.55 0.73 3.62 37.94 15.87 0.27 0.00 29.36 10.90

CCC 0.05 0.44 0.34 0.39 0.94 2.68 14.20 0.45 0.00 67.86 12.64

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.64 7.36

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 40.87 2.12 2.18 1.31 0.71 0.52 0.30 0.00 0.00 0.43 51.57

AA 13.00 25.20 4.44 3.94 3.15 3.02 2.08 0.01 0.00 1.92 43.24

A 6.18 10.78 24.59 5.66 4.72 4.16 3.04 0.19 0.00 3.67 37.01

BBB 2.56 4.46 8.08 24.77 6.20 5.84 6.27 0.19 0.00 9.24 32.39



Table 52

Global CMBS Rating Transitions, 2017 And Multi-Year Averages, NR Included(%) (cont.)


BB 0.94 1.07 1.64 7.35 28.57 9.42 8.44 0.32 0.06 21.18 21.02

B 0.28 0.57 0.54 0.69 3.69 29.04 12.12 0.20 0.00 40.00 12.87

CCC 0.07 0.56 0.38 0.44 0.79 2.32 7.64 0.09 0.00 72.94 14.77

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.86 7.14

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 31.61 1.97 1.89 1.18 0.71 0.69 0.32 0.00 0.00 0.63 61.00

AA 12.13 17.05 4.24 3.49 2.75 3.20 2.39 0.01 0.00 2.91 51.82

A 6.59 9.99 16.89 4.93 3.95 3.71 3.40 0.08 0.00 5.47 44.99

BBB 2.68 4.99 7.64 17.39 5.31 4.83 5.66 0.16 0.00 12.94 38.40

BB 0.88 1.22 1.80 7.29 21.08 8.18 7.05 0.20 0.06 27.86 24.38

B 0.28 0.57 0.52 0.66 3.60 21.60 9.42 0.18 0.00 48.95 14.23

CCC 0.08 0.59 0.37 0.35 0.53 1.63 4.23 0.00 0.00 76.56 15.65

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.62 7.38

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


AAA 3.58 0.62 0.33 0.16 0.17 0.24 0.08 0.00 0.00 1.29 93.53

AA 1.72 3.42 1.55 0.75 0.64 0.85 0.60 0.01 0.00 5.28 85.17

A 1.47 2.37 2.70 1.89 1.27 1.04 0.70 0.01 0.00 8.66 79.90

BBB 1.29 2.07 1.94 3.08 1.56 1.48 1.47 0.02 0.00 18.57 68.52

BB 0.53 1.61 1.77 3.23 4.29 3.08 2.67 0.03 0.00 41.52 41.28

B 0.38 0.61 0.77 0.67 2.11 5.21 2.69 0.00 0.00 64.44 23.12

CCC 0.00 0.21 0.00 0.21 0.21 1.67 1.67 0.00 0.00 71.82 24.22

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 88.89

C 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


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

This edition of our global structured finance default and rating transition study adopts a newapproach to the treatment of securities whose original rating was 'AAA'. As detailed in Appendix I,this study uses the "uncollapsed" approach, rather than the "collapsed" approach used inprevious studies. Charts 25-28 illustrate the resulting changes in some example summarystatistics.



Chart 25

Chart 26



Chart 27

Chart 28



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2017 Annual Global Structured Finance Default …...Default, Transition, and Recovery: 2017 Annual Global Structured Finance Default Study And Rating Transitions May 25, 2018 (Editor's