Transition Study: Four Years On?The European Structured Finance Default Rate Since Mid-2007 Is Only 1.2% Sep 11

Standard & Poors, September 2011

Abstract
The recession from 2008-2009 was severe, but the default rate of European structured finance securities has remained low. Only 1.2% of European structured finance securities outstanding in mid-2007 (by original balance) have defaulted so far. By contrast, we estimate that more than 44% have now redeemed in full. In addition, the 12-month rolling default rate fell to 0.5% at the end of second-quarter 2011. However, the 12-month rolling downgrade rate increased to 12.9%, even though the number of downgrades due to poor collateral performance has remained relatively modest. Other reasons-such as a perceived increase in structured finance transactions' country risk and the implementation of our updated counterparty criteria-caused the increase there. This report is an update of our May 17,...

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Research Type: Commentary
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