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- あきひろ いんそん
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4 Global Structured Finance 'AAA' And Investment-Grade Annual Default Rate (%) Investment-grade default rate Investment-grade default and near-default rate 'AAA' default rate 'AAA' default and near-default rate Wt. avg. ( )
5 Global Structured Finance Speculative-Grade Annual Default Rate (%) 60 Default rate Default and near-default rate Wt. avg. ( ) 表 1: Global Structured Finance Annual Default Rates, (%)* (Default rates are zero between ) Default rate AAA Investment-grade Speculative-grade All Default and near-default AAA Investment-grade Speculative-grade All Wt. avg. Std. dev. Default rate AAA Investment-grade Speculative-grade All Default and near-default AAA Investment-grade Speculative-grade All *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Std. dev. Standard deviation.
6 Global Structured Finance 2009 Gini Coefficient Lorenz Curve Ideal Curve Random Curve Cumulative proportion of defaults (%) CCC- CC 2010 BBB- BB A- BBB BBB+ B B+ BB+ BB- CCC+ B- CCC A A+ AA AA Cumulative proportion of rated universe (%) AA+ AAA
7 Global Structured Finance One-Year Gini Coefficients (%) Global SF Global ABS Global CDO Global CMBS (Ending 12-month) Global RMBS SF Structured Finance. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities Global Structured Finance One-, Three-, And Five-Year Gini Coefficients (%) 100 One-year Three-year Five-year Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 (Ending period) 2010
8 Global Structure Finance 2009 Transition By Rating Upgrade and downgrade rates (%) Upgrade Downgrade (%) AAA AA A BBB BB B CCC or lower All 表 2:Global Structured Finance 2009 Transition By Rating* Rating at Beginning no. beginning of year of ratings Stable (%) Upgrade (%) Downgrade (%) Near default (%) Default (%) AAA 11, AA 11, A 10, BBB 10, BB 6, B 5, CCC or lower 16, Total 73, *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+" and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults.
9 Global Structured Finance 2009 Transition Rate By Sector And Rating Upgrade Downgrade (%) ABS AAA ABS AA ABS A ABS BBB ABS BB ABS B ABS CCC CDO AAA CDO AA CDO A CDO BBB CDO BB CDO B CDO CCC CMBS AAA CMBS AA CMBS A CMBS BBB CMBS BB CMBS B CMBS CCC RMBS AAA RMBS AA RMBS A RMBS BBB RMBS BB RMBS B RMBS CCC SF AAA SF AA SF A SF BBB SF BB SF B SF CCC (Sector/rating) ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities. SF Structured Finance Global Structured Finance 2009 Stability (And Upgrade) And Default Rates Near-default (left scale) Default (left scale) Default rate (%) Stable/upgrade (right scale) Stability/upgrade rate (%) AAA AA A BBB BB B (Rating)
10 表 3:Global Structured Finance 2009 Rating Transition By Region And Sector* Beginning no. Region/sector of ratings Stable (%) Upgrade (%) Downgrade (%) Near default (%) Default (%) U.S. ABS 3, U.S. CDO 9, U.S. CMBS 7, U.S. RMBS 39, U.S. single-name synthetics European ABS 1, European CDO 4, European CMBS European RMBS 2, European single-name synthetics Asia (non-japan) Australia/New Zealand 1, Canada Japan 1, Latin America/emerging markets Total 73, *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+" and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults. RMBS includes subprime mortgage transactions and ABS includes manufactured housing deals. CDO includes cash, synthetic, and market-value CDOs, as well as leveraged funds. ABS Assetbacked securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgagebacked securities. CMBS includes Re-REMICS and CRE CDOs primarily collateralized by commercial real estate or CMBS. Global Structured Finance Annual Rating Transitionn Upgrade and downgrade rates (%) Upgrade Downgrade (%) Avg. of
11 表 4:Global Structured Finance Annual Upgrade Transition By Region And Sector, * Upgrade % Avg. of Std. Region/sector dev. U.S. ABS U.S. CDO U.S. CMBS U.S. RMBS U.S. single-name synthetics European ABS European CDO European CMBS European RMBS European single-name synthetics Asia (non-japan) Australia/New Zealand Canada Japan Latin America/emerging markets Global *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+"and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults. RMBS includes subprime mortgage transactions and ABS includes manufactured housing deals. CDO includes cash, synthetic, and market-value CDOs as well as leveraged funds. ABS Assetbacked securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgagebacked securities. Std. dev. Standard deviation. CMBS includes Re-REMICS and CRE CDOs primarily collateralized by commercial real estate or CMBS. 表 5:Global Structured Finance Annual Downgrade Transition By Region And Sector, * Downgrade % Avg. of Std. Region/sector dev. U.S. ABS U.S. CDO U.S. CMBS U.S. RMBS U.S. single-name synthetics European ABS European CDO European CMBS European RMBS European single-name synthetics Asia (non-japan) Australia/New Zealand Canada Japan Latin America/emerging markets Global *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+" and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults. RMBS includes subprime mortgage transactions and ABS includes manufactured housing deals. CDO includes cash, synthetic, and market-value CDOs as well as leveraged funds. ABS Assetbacked securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgagebacked securities. Std. dev. Standard deviation. CMBS includes Re-REMICS and CRE CDOs primarily collateralized by commercial real estate or CMBS.
12 Distribution Of 2009 Global Structured Finance Rating Transition Severity Upgrade and downgrade rates (%) Upgrade Downgrade (% of transitions) plus (No. of notches) 2010
13 表 6:Global Structured Finance 2009 Rating Transition By Issuance (Vintage) Year* Issuance Beginning no. of year ratings Stable (%) Upgrade (%) Downgrade (%) Near default (%) Default (%) Pre , , , , , , , , All 73, *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+" and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults.
14 表 7:Global Structured Finance 2009 Rating Transition By Subsectors With Significant Rating Volatility* (Sorted by high-to-low default rate %) Beginning no. of Subsector ratings Stable (%) Upgrade (%) Downgrade (%) Near default (%) Default (%) ABS 12b Aircraft Auto lease Auto loans Credit card Commercial other Commercial paper Consumer other Covered bond Equipment New assets Franchise loans Future flow Manufactured housing Nonperforming Other Rental car RV loans Small business loans Stranded assets Student loans Timeshare Tobacco Trade receivables Wholesale CDO Cash flow CBO Cash flow CDO of CDO Cash flow CDO of CMBS Cash flow CLO 4, Cash flow emerging market CDO Cash flow high-grade CDO of ABS Cash flow mezzanine CDO of ABS 1, Cash flow trust-preferred Equity and hedge fund CFO Hybrid CBO Hybrid CDO of CDO Hybrid CDO of CMBS Hybrid CLO Hybrid high-grade CDO of ABS Hybrid mezzanine CDO of ABS Market value, leverage fund, and SIV-lite Operating companies Other Synthetic CDO of CDO Synthetic CDO of CMBS Synthetic corporate high-yield CBO Synthetic corporate 2, investment-grade CDO Synthetic CLO Synthetic emerging market CDO Synthetic high-grade CDO of ABS Synthetic mezzanine CDO of ABS CMBS Conduit 3, CRE CDO Credit lease pool Dependent Floater
15 表 7:Global Structured Finance 2009 Rating Transition By Subsectors With Significant Rating Volatility* (Sorted by high-to-low default rate %) Beginning no. of Subsector ratings Stable (%) Upgrade (%) Downgrade (%) Near default (%) Default (%) Fusion 3, Large loan Other Re-REMIC Single borrower Small loan pool RMBS First-lien high LTV Second-lien high combined LTV Alt-A 12, Closed-end secnd Covered bonds Credit default swap Document deficient Home equity line of credit High LTV Home improvement NIMS 1, Nonperforming Other Outside guidelines Prime 9, Reperforming 1, Re-REMIC Subprime 15, Single name synthetics 1, *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. "Stable" includes withdrawn ratings due to redemptions during the year. Rating modifiers ("+" and "-") are used when determining rating transitions such as upgrades and downgrades. Downgrade rate includes near-defaults ('CC' or 'C') and defaults. RMBS Residential mortgage-backed securities. Alt-A Alternative-A. CDO Collateralized debt obligation. ABS Asset-backed securities. CMBS Commercial mortgage-backed securities. LTV Loan-to-value. Re-REMIC Resecuritization of real estate mortgage investment conduit. SIV Structured investment vehicle. CBO Collateralized bond obligation. CRE Commercial real estate. 表 8:Global Structured Finance Time-To-Default Since Original Rating Date, Defaults within no. of years since origination (%) Original rating AAA AA AA AA A A A BBB BBB BBB BB BB BB B B B CCC CCC CCC CC Total
16 表 9:Global Structured Finance Cumulative Defaults ('D' Rating Only) By Year Of Issuance (Vintage), * Cumulative Cumulative Cumulative No. of No. of No. of Total Total no. Total no. Issuance default IG default SG default new new IG new SG no. of of IG of SG Year (%) (%) (%) ratings ratings ratings defaults defaults defaults ,173 1, ,221 1, ,211 1, ,414 1, ,541 1, ,841 1, ,246 1, ,536 2, ,820 2, ,573 3, ,950 5,870 1, ,546 8,068 1, ,717 11,837 1, ,442 14,819 2,623 3,467 2,103 1, ,082 17,503 2,579 6,961 5,799 1, ,603 13,605 1,998 3,837 3, ,722 3, ,257 1, All ,356 98,799 14,557 16,732 12,451 4,281 *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Defaults in this table only include 'D' rated securities. IG Investment-grade. SG Speculative-grade. Global Structured Finance Cumulative Default Rate Through 2009 By Issuance Year Cumulative investment-grade default Cumulative speculative-grade default (%) All (Issuance year) 2010
17 表 10:Global Structured Finance Cumulative Default Rates Conditional On Survival, (%)* (Standard deviations are in parentheses) 1-year 2-year 3-year 4-year 5-year 6-year 7-year 8-year 9-year 10-year AAA AA A BBB BB B CCC/C Investment-grade Speculative-grade All rated *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table.
18 Global Structured Finance Credit Quality Trend By Sector Trailing 12-month change in credit quality Global SF (left scale) ABS (left scale) CDO (left scale) CMBS (left scale) RMBS (left scale) U.S. GDP (right scale) Avg. no. of notches changed Dec-95 Jun-96 Dec-96 Jun-97 Dec-97 Jun-98 Dec-98 Jun-99 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec U.S. GDP growth rate (%) SF Structured Finance. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities Global Structured Finance Credit Quality Trend By Grade Trailing 12-month change in credit quality Avg. no. of notches changed Global structured finance (left scale) Speculative-grade (left scale) Month/year ending Investment-grade (left scale) U.S. GDP (right scale) Dec-95 Jun-96 Dec-96 Jun-97 Dec-97 Jun-98 Dec-98 Jun-99 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun U.S. GDP growth rate (%) 2010
19 表 11:Descriptive Statistics For 12-month Change In Global Structured Finance Credit Quality, January 1995-December 2009 Avg. no. of notches changed by rating Global SF Investment-grade Speculative-grade AAA AA A BBB BB B Latest 12-month (3.52) (3.95) (2.88) (2.49) (4.65) (4.36) (4.37) (4.24) (3.69) One year ago (3.16) (3.26) (2.79) (2.15) (3.85) (3.67) (3.34) (3.01) (2.53) Two years ago (0.53) (0.48) (0.83) (0.09) (0.25) (0.53) (1.01) (1.06) (0.36) Avg. (0.36) (0.36) (0.45) (0.26) (0.36) (0.38) (0.43) (0.46) (0.42) Min. (3.52) (3.95) (2.88) (3.04) (4.81) (4.36) (4.37) (4.24) (3.69) Max (0.00) St. dev Avg. no. of notches changed by sector ABS CDO CMBS RMBS Latest 12-month (0.32) (2.52) (2.36) (4.59) One year ago (0.41) (3.98) (0.31) (3.85) Two years ago 0.22 (0.25) 0.21 (0.86) Avg. (0.10) (0.49) 0.02 (0.40) Min. (0.72) (3.98) (2.36) (4.59) Max St. dev SF Structured finance. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities. Std. dev. Standard deviation.
20 表 12:Global Structured Finance On CreditWatch As Of Feb. 28, 2010 Tranche-level No. of transactions Region/sector CreditWatch developing CreditWatch negative CreditWatch Positive U.S. ABS U.S. CDO 0 2,875 2 U.S. CMBS 0 1,641 0 U.S. RMBS 0 7,419 0 U.S. single-name synthetics European ABS European CDO 9 1,118 0 European CMBS European RMBS European single-name synthetics Asia (non-japan) Australia/New Zealand Canada Japan Latin America/emerging markets Total 19 14, Transaction-level No. of transactions Region/sector CreditWatch developing CreditWatch negative CreditWatch positive U.S. ABS U.S. CDO U.S. CMBS U.S. RMBS 0 1,153 0 U.S. single-name synthetics European ABS European CDO European CMBS European RMBS European single-name synthetics Asia (non-japan) Australia/New Zealand Canada Japan Latin America/emerging markets Total 5 2, All CreditWatch placements are shown without collpasing 'AAA' rated classes. RMBS includes subprime mortgage transactions and ABS includes manufactured housing deals. CDO includes cash, synthetic, and market value CDOs as well as leveraged funds. CMBS includes Re-REMICS and CRE CDOs.
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22 付表 1:Global Structured Finance One-Year Default Rates, (%)* Rating Inv- Spec- One year ending AAA AA A BBB BB B CCC CC/C grade grade All 12/31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ Average Median Standard deviation Minimum Maximum *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. 付表 2:Global Structured Finance Three-Year Default Rates, (%)* Rating Three years Inv- Specending AAA AA A BBB BB B CCC CC/C grade grade All 12/31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/
23 付表 2:Global Structured Finance Three-Year Default Rates, (%)* 12/31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ Average Median Standard deviation Minimum Maximum *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. 付表 3:Global Structured Finance Five-Year Default Rates, (%)* Rating Five years Inv- Specending AAA AA A BBB BB B CCC CC/C grade grade All 12/31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ Average Median Standard deviation Minimum Maximum *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades.
24 付表 4:Global Structured Finance 10-Year Default Rates, (%)* Rating 10 years Inv- Specending AAA AA A BBB BB B CCC CC/C grade grade All 12/31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ Average Median Standard deviation Minimum Maximum *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. 付表 5:Standard & Poor's Global Structured Finance 2009 Rating Transition (%)* Beginning No. of From/To ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/Stable Downgrade Global SF AAA 11, AA 11, A 10, BBB 10, BB 6, B 5, CCC 9, CC 6, C Global ABS Beginning No. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/Stable Downgrade AAA 1, AA A 1, BBB 1, BB B CCC CC C 0
25 付表 5:Standard & Poor's Global Structured Finance 2009 Rating Transition (%)* Global CDO Beginning No. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/Stable Downgrade AAA 2, AA 2, A 2, BBB 2, BB 1, B CCC 1, CC 1, C 0 Global CMBS Beginning No. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/Stable Downgrade AAA 1, AA 1, A 1, BBB 1, BB 1, B 1, CCC CC C 0 Global RMBS Beginning No. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/Stable Downgrade AAA 5, AA 7, A 5, BBB 5, BB 3, B 4, CCC 7, CC 4, C 0 *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. SF Structured finance. ABS Asset-backed securities. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities. NR Not rated.
26 付表 6:Standard & Poor's Global Structured Finance Weight Average One-Year Rating Transition, (%)* (Standard deviations are in parentheses) From/to AAA AA A BBB BB B CCC CC C D NR Global SF AAA (9.19) (1.77) (0.88) (0.77) (0.60) (0.80) (1.10) (0.27) (0.00) (0.11) (6.11) AA (3.72) (11.64) (3.98) (1.32) (1.25) (1.51) (3.00) (0.89) (0.01) (0.27) (4.58) A (0.90) (2.38) (19.49) (4.33) (1.26) (1.62) (3.58) (1.68) (0.00) (0.58) (17.38) BBB (8.87) (1.07) (7.43) (24.98) (2.19) (2.56) (4.76) (3.13) (0.02) (1.28) (19.86) BB (0.10) (0.17) (0.92) (2.51) (24.05) (4.70) (10.63) (4.97) (0.14) (12.41) (10.54) B (0.14) (0.09) (0.06) (1.41) (2.26) (19.63) (7.09) (7.34) (0.07) (5.12) (10.69) CCC (0.07) (0.24) (0.12) (0.11) (0.97) (1.63) (27.73) (11.94) (7.02) (18.36) (24.27) CC (0.00) (0.00) (0.00) (2.35) (0.00) (0.00) (0.26) (30.10) (0.00) (24.35) (19.73) C (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (9.07) (0.00) (30.62) (30.14) (0.00) Global ABS AAA (9.02) (1.78) (1.60) (0.43) (0.04) (0.02) (0.02) (0.00) (0.00) (0.01) (7.11) AA (3.01) (20.37) (19.80) (2.18) (0.79) (0.38) (0.00) (0.03) (0.00) (0.08) (7.41) A (1.16) (3.09) (13.34) (10.47) (0.34) (0.35) (0.14) (0.01) (0.00) (0.37) (6.62) BBB (2.49) (0.80) (1.33) (21.29) (2.14) (2.53) (0.77) (0.17) (0.00) (0.42) (20.48) BB (0.47) (0.82) (0.95) (1.35) (24.42) (4.84) (3.90) (0.79) (0.00) (2.10) (21.95) B (0.28) (0.00) (0.00) (0.34) (2.61 (28.82) (14.61) (3.20) (0.00) (12.97) (7.87) CCC (0.00) (0.00) (0.00) (0.00) (0.00) (3.46) (29.22) (12.42) (0.00) (17.34) (3.02) CC (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (20.07) (0.00) (19.41) (3.60) C (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) Global CDO AAA (12.04) (2.99) (1.44) (1.40) (1.07) (0.73) (1.09) (0.98) (0.00) (0.38) (5.63) AA (5.03) (14.38) (2.94) (2.60) (1.63) (1.09) (2.15) (2.07) (0.00) (0.58) (6.55) A (0.36) (1.54) (13.79) (3.91) (2.28) (1.47) (2.08) (2.90) (0.00) (1.64) (5.86) BBB (0.18) (0.33) (0.88) (17.24) (3.68) (3.02) (6.55) (4.32) (0.00) (0.89) (4.15) BB (0.03) (0.04) (0.09) (0.88) (25.92) (2.81) (9.72) (3.63) (0.00) (22.88) (4.13) B (0.00) (0.12) (0.37) (1.35) (2.88) (27.37) (18.29) (11.67) (0.00) (2.77) (10.18) CCC (0.00) (0.00) (0.00) (0.00) (0.56) (1.75) (21.00) (18.66) (0.00) (7.77) (11.32) CC (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.58) (11.36) (0.00) (10.69) (1.49) C (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
27 付表 6:Standard & Poor's Global Structured Finance Weight Average One-Year Rating Transition, (%)* (Standard deviations are in parentheses) From/to AAA AA A BBB BB B CCC CC C D NR Global CMBS AAA (7.79) (1.97) (0.65) (0.94) (0.75) (0.46) (0.03) (0.00) (0.00) (0.04) (7.01) AA (6.28) (10.80) (1.54) (2.36) (2.23) (2.63) (0.24) (0.00) (0.00) (0.08) (4.83) A (1.99) (5.54) (13.62) (2.13) (2.42) (4.00) (0.75) (0.00) (0.00) (0.08) (9.77) BBB (0.55) (1.39) (2.87) (13.37) (7.25) (7.72) (2.81) (0.03) (0.00) (0.35) (4.30) BB (0.35) (0.19) (0.43) (2.82) (9.51) (4.62) (7.01) (0.26) (0.44) (0.97) (1.65) B (0.06) (0.00) (0.04) (0.33) (3.45) (13.48) (9.41) (0.07) (0.00) (3.72) (4.91) CCC (0.38) (0.35) (0.65) (0.54) (3.08) (3.15) (15.63) (0.62) (0.00) (13.03) (8.96) CC (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (49.16) (0.00) (20.41) (51.64) C (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) Global RMBS AAA (10.59) (1.72) (0.81) (0.73) (0.66) (1.37) (2.29) (0.26) (0.00) (0.07) (8.12) AA (5.50) (12.51) (4.64) (1.05) (1.22) (1.84) (4.13) (1.19) (0.00) (0.31) (4.48) A (2.08) (3.77) (14.29) (6.12) (1.28) (1.89) (5.74) (2.76) (0.00) (1.00) (4.67) BBB (9.69) (2.05) (8.11) (21.86) (2.15) (2.99) (6.42) (5.22) (0.00) (2.44) (6.29) BB (0.15) (0.25) (2.06) (5.21) (26.72) (7.61) (11.31) (8.19) (0.00) (13.01) (2.95) B (0.19) (0.16) (0.10) (2.60) (3.27) (27.98) (6.76) (9.95) (0.00) (6.80) (22.19) CCC (0.00) (0.77) (0.00) (0.01) (0.00) (0.22) (29.75) (15.84) (8.45) (24.35) (25.22) CC (0.00) (0.00) (0.00) (3.44) (0.00) (0.00) (0.01) (34.80) (0.00) (30.10) (20.88) C (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) (0.00) *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. Each period's outstanding number of unique ratings is used for weighted average statistics. SF Structured finance. ABS Asset-backed securities. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities. NR Not rated. 付表 7:Standard & Poor's Global Structured Finance Original-To-Current Rating Transition, (%)* 'AAA' ratings collapsed Beginning From/to no. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/stable Downgrade Global SF AAA 28, AA 24, A 23, BBB 22, BB 9, B 4, CCC CC C 0
28 付表 7:Standard & Poor's Global Structured Finance Original-To-Current Rating Transition, (%)* 'AAA' ratings collapsed Beginning From/to no. of ratings AAA AA A BBB BB B CCC CC C D NR Upgrade/stable Downgrade Global ABS AAA 6, AA 1, A 3, BBB 2, BB B CCC CC 0 C 0 Global CDO AAA 7, AA 4, A 3, BBB 3, BB 1, B CCC CC C 0 Global CMBS AAA 1, AA 2, A 2, BBB 3, BB 1, B 1, CCC CC 0 C 0 Global RMBS AAA 12, AA 14, A 12, BBB 13, BB 5, B 3, CCC CC C 0 *'AAA' ratings from the same transaction are treated as a single rating in the calculation of this table. Full rating categories are used when determining rating transitions such as upgrades and downgrades. SF Structured finance. ABS Asset-backed securities. ABS Asset-backed securities. CDO Collateralized debt obligation. CMBS Commercial mortgage-backed securities. RMBS Residential mortgage-backed securities. NR Not rated.
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