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Default, Transition, and Recovery:

2018 Annual Sovereign Default And Rating TransitionStudyMarch 15, 2019

Key Takeaways

- One sovereign defaulted in 2018, which was the lowest number since 2015. It was theseventh straight year with at least one sovereign default but marked a significantdecrease from the high of six in 2017.

- For the first time in eight years, sovereign upgrades outnumbered downgrades.

- The ratio of downgrades to upgrades improved for the second consecutive year.However, the average number of notches for downgrades increased to 1.22 in 2018 from1.18 in 2017, and the average number of notches for upgrades fell to 1.07 from 1.15.

- Of the 130 active sovereign ratings at the end of 2018, 55% were investment grade--animprovement from 53% the previous year.

- The Gini coefficients for the one-, three-, five-, and 10-year horizons are 91%, 78%, 73%,and 72%, respectively, suggesting a strong relationship between sovereign ratings anddefaults.

Just one sovereign rated by S&P Global Ratings defaulted in 2018, marking a dramatic decreasefrom the high of six defaults among five sovereigns in 2017. The default of Barbados in June made2018 the seventh straight year with at least one sovereign default--the second-longest streak onrecord.

Rating actions on sovereigns were more positive in 2018 than in 2017, with more upgrades thandowngrades for the first time since 2010 and the lowest number of downgrades since 2007.Economic reasons triggered most upgrades, while downgrade causes were more diverse. Regionaldifferences were evident: European sovereigns accounted for most of the upgrades for the year, asthey did in 2017, while Latin America had half of the downgrades. The Middle East and Africa hadthree upgrades and no downgrades, in a reversal from 2017.

However, during the past 10 years, the average sovereign credit rating has fallen to 'BBB-' from'BBB', and on a GDP-weighted basis, the average is now 'A', down from 'A+' at the end of 2008. Thepercentage of high-investment-grade ('AA' category and 'AAA') ratings is near its lowest on record,

Default, Transition, and Recovery:

2018 Annual Sovereign Default And Rating TransitionStudyMarch 15, 2019

GLOBAL FIXED INCOME RESEARCH

Lawrence R Witte, CFA

San Francisco

(1) 415-371-5037

[email protected]

RESEARCH CONTRIBUTORS

Abhik Debnath

CRISIL Global Analytical Center, anS&P Global Ratings affiliate, Mumbai

Sundaram Iyer

Mumbai

[email protected]

www.spglobal.com/ratingsdirect March 15, 2019 1

mailto: [email protected]




at 22% (last year was slightly lower). In addition, investment-grade ratings ('BBB-' or higher) makeup just 55% of the total--an improvement from 2012 but lower than 62% in 2000.Correspondingly, 45% of ratings are speculative grade ('BB+' or lower), which is just slightly belowthe peak of 48% in 2017 but higher than 38% in 2000.

While credit quality has improved overall in the past two years, ratings have shown divergingtrends, with an increase in ratings in the 'B' category and lower. At the start of 2019, the number ofratings in the 'B' category and below was 42, representing 32% of sovereign ratings; both figuresare the highest on record. The distribution of outlooks further suggests that the currentdistribution of ratings in the lower categories will continue over at least the next 18 months, withpotential for slight improvement.

Ratings Distribution

S&P Global Ratings maintained 130 sovereign ratings as of Jan. 1, 2019. This was one more thanat the start of 2018, after new ratings were assigned to Benin and Uzbekistan and Barbadosdefaulted. At the end of 2018, 10 of the 129 ratings from the start of the year were lower, 14 werehigher, and 105 were unchanged.

Sovereign rating distribution has been trending lower since the late 1980s, when countries withsmaller and less diversified economies began to seek credit ratings. The percentage ofspeculative-grade ratings increased significantly to 37% in 1999 from 3% in 1990, mostly as aresult of newly assigned speculative-grade ratings, as opposed to downgrades of formerlyinvestment-grade sovereigns. Over this period, the number of speculative-grade ratings rose to 30from one, while the number of investment-grade ratings increased to 52 from 30 (see chart 1). Thenumber of rated sovereigns has grown as more governments access the international bondmarkets. S&P Global Ratings has rated 143 sovereigns with foreign currency ratings since 1975.

Chart 1


Default, Transition, and Recovery: 2018 Annual Sovereign Default And Rating Transition Study

During 2000-2009, growth in speculative-grade ratings continued to outpace growth ininvestment-grade ratings. Speculative-grade ratings increased to 53 in 2009 from 33 in 2000,while investment-grade ratings grew to 70 from 54. In 2009, 43% of ratings were speculativegrade. During 2010-2018, the number and percentage of speculative-grade ratings increased to59 and 45%, respectively, while the same figures for investment-grade ratings declined to 71 and55%. In 2018, two speculative-grade sovereigns, Russia and Cyprus, were upgraded to 'BBB-', thelowest investment-grade rating. No investment-grade ratings were lowered to speculative grade.

By 2011, the number of rated sovereigns stabilized at about 130. Five years earlier, there were 112sovereign ratings. Another such increase is unlikely, given the relatively small and static numberof nations in the world. For that reason, the profile of sovereign ratings will change almostexclusively with the movement of existing ratings.

As of year-end 2018, 16 local currency sovereign ratings were higher than the correspondingforeign currency credit ratings (see table 1), reflecting S&P Global Ratings' view that a sovereignhas flexibility in servicing its local currency debt based on the unique powers it enjoys within itsown borders, particularly in its control of domestic financial and monetary systems. This studyfocuses on foreign currency ratings unless otherwise noted.

Table 1

Sovereigns With Different Foreign Currency And Local Currency Ratings As Of Dec. 31,2018

CountryForeign currency ratings(long-term/outlook/short-term)

Local currency ratings(long-term/outlook/short-term)

Barbados SD/--/SD B-/Stable/B

Chile A+/Stable/A-1 AA-/Stable/A-1+

Colombia BBB-/Stable/A-3 BBB/Stable/A-2

Czech Republic AA-/Stable/A-1+ AA/Stable/A-1+

Guatemala BB-/Stable/B BB/Stable/B

Malaysia A-/Stable/A-2 A/Stable/A-1

Mexico BBB+/Stable/A-2 A-/Stable/A-2

Mozambique SD/--/SD B-/Stable/B

New Zealand AA/Stable/A-1+ AA+/Stable/A-1+

Peru BBB+/Stable/A-2 A-/Stable/A-2

Poland A-/Stable/A-2 A/Stable/A-1

Russia BBB-/Stable/A-3 BBB/Stable/A-2

South Africa BB/Stable/B BB+/Stable/B

Thailand BBB+/Stable/A-2 A-/Stable/A-2

Turkey B+/Stable/B BB-/Stable/B

Venezuela SD/--/D CCC-/Negative/C

SD--Selective default. Source: S&P Global Fixed Income Research.



Chart 2

Regional Rating Distribution

S&P Global Ratings segments most of the sovereigns it rates into six regions: the Middle East andNorth Africa; sub-Saharan Africa; Latin America; Asia-Pacific; the eurozone; and Central andEastern Europe and the Commonwealth of Independent States (CIS)--the former Soviet republics.We further designate 20 nations, which come from all of the categories except the eurozone, asemerging markets, and 15 rated sovereigns--including the U.S., the U.K., and Canada--are notdesignated in any of these categories.

Table 2

Sovereigns By Region

Middle East andAfrica Latin America

Central and EasternEurope and CIS Asia-Pacific Eurozone

Emergingmarkets

Abu Dhabi Argentina Albania Australia Austria Argentina

Bahrain Aruba Azerbaijan Bangladesh Belgium Brazil

Egypt Bahamas Belarus China Cyprus China

Iraq Barbados Bosnia and Herzegovina Cook Islands Estonia* Colombia

Jordan Belize Bulgaria Fiji Finland Egypt

Kuwait Bermuda Croatia Hong Kong France Hungary

Lebanon Bolivia Czech Republic India Germany India

Morocco Brazil Estonia* Indonesia Greece Indonesia



Table 2

Sovereigns By Region (cont.)

Middle East andAfrica Latin America

Central and EasternEurope and CIS Asia-Pacific Eurozone

Emergingmarkets

Oman Chile Georgia Japan Ireland Lebanon

Qatar Colombia Hungary Korea Italy Malaysia

Ras Al Khaimah Costa Rica Kazakhstan Malaysia Latvia* Mexico

Saudi Arabia Curacao Latvia* Mongolia Lithuania* Pakistan

Sharjah DominicanRepublic

Lithuania* New Zealand Luxembourg Philippines

Angola Ecuador Macedonia Pakistan Malta Poland

Botswana El Salvador Montenegro Papua NewGuinea

Netherlands Qatar

Burkina Faso Guatemala Poland Philippines Portugal Russia

Cameroon Honduras Romania Singapore SlovakRepublic

Saudi Arabia

Cape Verde Jamaica Russia Sri Lanka Slovenia* South Africa

Congo Mexico Serbia Taiwan Spain Thailand

Congo, D.R. Montserrat Slovakia Thailand Turkey

Ethiopia Nicaragua Slovenia* Vietnam

Ghana Panama Tajikistan

Kenya Paraguay Turkey

Mozambique Peru Ukraine

Nigeria Suriname

Rwanda Trinidad andTobago

Senegal Turks and Caicos

South Africa Uruguay

Uganda Venezuela

Zambia

*Included in two European regions. CIS--Commonwealth of Independent States, the alliance of 12 of the former republics of the Soviet Union.Source: S&P Global Fixed Income Research.

The Middle East and Africa (combining all sovereign ratings in the continent) and Latin Americahave added the most speculative-grade ratings over the past decade. While there are morespeculative-grade ratings in Asia-Pacific and Europe, the increases in those regions haven'tsignificantly affected the overall quality of sovereign ratings.

Most new sovereign ratings since 1998 have also come from the Middle East, Africa, and LatinAmerica. The number of sovereign ratings in Central and Eastern Europe and the CIS has alsoincreased substantially on a percentage basis, though there aren't as many of them. Asia-Pacifichas added fewer ratings still, and the eurozone has retained its tally of 19 ratings since 1998. Theoverall effect has been a reduction in the general credit quality of sovereigns.



Middle East and Africa

The Middle East and Africa had two sovereign ratings in 1995 (see chart 3). The tally increased toeight ratings in 1998, four of which were investment grade. The number of ratings has increasedsteadily since then, and the portion that are speculative grade has stayed fairly consistent. At theend of 2018, there were 29 ratings in the region, 21 of which were speculative grade.

Chart 3

Latin America

Latin America had one rating--'AA'--in 1982, and there was only one speculative-grade rating, ineither the 'BB' or 'B' category, from 1983-1991 (see chart 4). The number of Latin Americansovereign ratings increased steadily from 1993-2001, with more than three-quarters speculativegrade. Latin American sovereign ratings have tended to be fairly low. They've improved since 2003,but even at their best, they were just below 50% speculative grade in 2015. At the end of 2018,56% (15) of Latin American foreign currency sovereign ratings were speculative grade, a decreasefrom 16 in 2017.



Chart 4

Asia-Pacific

S&P Global Ratings has assigned 18 of the 21 ratings it maintains on Asia-Pacific sovereigns since1988, and most of these ratings are investment grade. The region had only investment-graderatings until 1991 (see chart 5). Speculative-grade ratings became more prevalent and haveaveraged 44% of all ratings since 1999. There have also been at least six ratings in the 'AA'category or 'AAA' in the region since 2005. At the end of 2018, there were 21 rated Asia-Pacificsovereigns, 38% of which were speculative grade.



Chart 5

Central and Eastern Europe and the CIS

S&P Global Ratings assigned its first sovereign ratings in Central and Eastern Europe and the CISin 1993 (see chart 6). At least a third of the sovereign ratings in this region have been speculativegrade since then. The highest percentage of speculative-grade ratings was 67% in 1994, and thepercentage has been at least 50% since 2010. At the end of 2018, 52% of ratings in the regionwere speculative grade, and 'B' category ratings were the most common. A year earlier, the largestspeculative grade category was 'BB'. There were also two 'AA' category ratings in 2018.



Chart 6

Eurozone

Among our regional categories, the eurozone contains the fewest ratings, and the number has notchanged since 1997 (see chart 7). Eurozone ratings are also the highest, with an average of just6% of ratings in the speculative-grade category since 1997. In addition, more eurozone sovereignratings are in the 'AA' category or 'AAA' than in other regions, despite the smaller number ofratings. The highest number of speculative-grade ratings in the region was three, from 2012-2016.The number declined by one in both 2017 and 2018, leaving just one speculative-grade rating inthe eurozone, on Greece.



Chart 7

Emerging markets

After stabilizing at about 20 ratings in the late 1990s, the tally of emerging market ratings hasremained fairly evenly split between investment grade and speculative grade (see chart 8).Emerging markets make up a fluid category that S&P Global Ratings modifies as economicconditions change. For instance, Venezuela was considered an emerging market in 2018 but is nolonger.

The number and percentage of investment-grade ratings grew steadily from 2004-2014, fallingback in 2015 and 2016 and settling at 13 investment-grade ratings at the end of 2018. There hasnot been a 'AAA' rating among the current ratings categorized in this group, although Venezuelawas included in emerging markets last year and was rated 'AAA' up to 1982. 'BBB' category ratingshave been the most numerous since 2008. Notably, the average credit quality of emerging marketsdidn't decline as a result of the financial crisis; rather, it dropped more recently with an increase in'BB' ratings in 2015.



Chart 8

Rating Movement In 2018

Sovereign upgrades surpassed downgrades in 2018 for the first time in eight years and the secondtime in the past 11 (see chart 9). There were 14 upgrades and 10 downgrades in the year, incontrast with the 22 downgrades and 13 upgrades in 2017. Rating actions were more frequentamong speculative-grade ratings, which accounted for 79% of the total in 2018 despite making uponly 46% of all ratings at the start of the year. Among speculative-grade ratings, rating activitywas almost evenly split, with nine upgrades and 10 downgrades. All five investment-grade ratingchanges were positive.



Chart 9

We track rating movement according to the number of ratings that changed in 2018, as opposed tothe number of times a rating changed. For example, for the purposes of this study, a rating thatwas lowered twice in 2018 translates to one lower rating at the end of the year than at thebeginning. Similarly, if we lowered a rating but later raised it to the former rating, the studywouldn't consider this a rating action, because there was no net rating change. In 2018, mostrating movement was moderate--no more than two notches--and only two sovereign ratings hadmultiple one-notch changes.

Table 3 counts the magnitude of the sovereign rating changes in 2018. The largest rating actionwas a five-notch downgrade of Barbados, to 'SD' (selective default) from 'CCC+' on June 6.Nicaragua was downgraded by one notch twice, ending 2018 at 'B-', from 'B+' at the start of theyear. Greece was upgraded on two occasions, finishing the year at 'B+' after starting 2018 at 'B-'.Argentina was downgraded by one notch in 2018, a year after being one of just two sovereigns tobe upgraded by more than one notch in 2017.

Table 3

Main Causes Of Sovereign Rating Changes (2018)

Number ofnotches Finances Economy Debt Political Legal Default

(5) Barbados

(2) Nicaragua Turkey

(1) Brazil,Zambia

Argentina, Bolivia Costa Rica,Papua NewGuinea

Sri Lanka



Table 3

Main Causes Of Sovereign Rating Changes (2018) (cont.)

Number ofnotches Finances Economy Debt Political Legal Default

1 Russia Croatia, Cyprus, Egypt, Ghana,Israel, Latvia, Lithuania,Mongolia, Poland, Spain

El Salvador Congo-Brazzaville

2 Greece

Note: Negative numbers signify downgrades. Source: S&P Global Fixed Income Research.

Economic reasons were the most common trigger of rating actions in 2018, spurring 10 one-notchupgrades and three downgrades (two of one notch and one of two notches). Debt structure andburden led to two downgrades and one upgrade. Political causes led to two downgrades. Financialcauses were behind two upgrades and two downgrades. There was one upgrade for legal reasons.Finally, the one default is considered a downgrade.

Chart 10

Since 1975, 79% of sovereign rating actions have been one notch. The majority of all sovereignrating actions and one-notch rating actions have been upgrades (see chart 11). However, mostrating actions of more than one notch have been downgrades, so the aggregate ratingmovement--as measured by the cumulative number of notches changed--has been decidedlynegative.

In 2018, the average notch change was less positive than in 2017. The average upgrade was 1.07notches, down from 1.15 notches in 2017, while the average downgrade was 1.22 notches, higherthan 1.18 notches in 2017.



Chart 11

The largest rating change ever over one year was a series of four downgrades to the Republic ofKorea (South Korea) in 1997, to 'B+' from 'AA-', a 10-notch drop overall. This was during the Asianfinancial crisis, and South Korea was one of the nations hardest hit. Since then, we've raised ourrating on South Korea nine times, and it's now 'AA'.

S&P Global Ratings' credit ratings continue to serve as effective indicators of relative credit risk.This report uses the Gini coefficient as a measure of the relative representation of each ratingcategory within the group of sovereigns that defaulted in 1975-2018. A Gini coefficient rangesfrom zero to 1, with higher values indicating a stronger relationship between lower ratingcategories and higher default rates. (For details on the Gini methodology, see Appendix 1.)

From 1975-2018, the one-, three-, five-, and 10-year average foreign currency Gini coefficientswere 91%, 78%, 73%, and 72%, respectively (see charts 24-27). We used the number of sovereignratings at the beginning of each year as the weights for the weighted averages. Moreover, we findthat there is a strong negative correlation between higher ratings and default occurrence. In otherwords, sovereigns that have defaulted were generally rated at the lower end of our ratingsspectrum prior to doing so.



Regional Rating Movement

Middle East and Africa

Middle East and Africa ratings trended strongly downward from 2012-2017 but reversed course in2018 with three upgrades and one downgrade (see chart 12). In the previous six years, there were36 downgrades and three upgrades. Rating activity shifted after the financial crisis: In the threeyears prior to the crisis, there were 12 upgrades and no downgrades, but since 2008, there havebeen 43 downgrades and 12 upgrades. Since 2008, the number of ratings in the region hasincreased steadily, and they've mostly been speculative grade. The combination of newspeculative-grade ratings and downgrades has led to lower ratings in general.

Chart 12

Latin America

For six consecutive years, more sovereign ratings in Latin America have been lowered than raised(see chart 13). There were 40 downgrades and 13 upgrades from 2013-2018. The region enteredthe financial crisis on a streak of positive rating movement, which it was able to sustain through2008. However, Latin America then had six downgrades in 2009. There was a quick reversal in2010, with upgrades outnumbering downgrades six to two, and from 2010-2012, there were 20upgrades and 10 downgrades.



Chart 13

Asia-Pacific

Since 1991, the Asia-Pacific region has generally had positive rating movement, though there havebeen a few exceptions (see chart 14). As would be expected, the Asian financial crisis resulted inmore downgrades than upgrades. Afterward, sovereigns in the region had positive or even netrating movement every year from 1999-2007 except 2001. In 2011, we downgraded moreAsia-Pacific sovereigns than we upgraded, but then, through 2016, there were at least as manyupgrades as downgrades. In 2017 and 2018, there were two downgrades and one upgrade eachyear.



Chart 14

Central and Eastern Europe and the CIS

Central and Eastern Europe and the CIS had consistent positive rating movement from 2000-2007but then a strong negative trend from 2008-2016 (see chart 15). The downward trend reversed in2017 and 2018, with nine upgrades and one downgrade.



Chart 15

Eurozone

Eurozone sovereign ratings have moved positively in most years, with the major exception of thefinancial crisis and its aftermath. From 2009-2013, there were 36 downgrades and just fiveupgrades (see chart 16). From 2014-2018, the trend reversed, with 25 upgrades and threedowngrades. Nevertheless, the region's average credit quality is considerably lower than it wasprior to the financial crisis.



Chart 16

Emerging markets

Overall emerging market rating trends appear to match those of the Middle East and Africa, LatinAmerica, and Central and Eastern Europe and the CIS, which contain more of the lower-ratedemerging market sovereigns. Asia-Pacific has the largest number of emerging market sovereigns,but Asia-Pacific has fewer speculative-grade emerging market ratings than the three otherregions mentioned. Asia-Pacific has not experienced the strong trend of downgrades since 2012that occurred in other emerging markets.



Chart 17

Rating And Default Activity In 2018

Not surprisingly, rating movement generally occurs less frequently at higher ratings than at lowerratings. Thus, sovereigns with higher ratings tend to keep the same ratings longer thanlower-rated sovereigns. This is usually the case at both short and longer time horizons.

From 1975-2018, on average, 96.6% of sovereigns rated 'AAA' at the beginning of the year wererated 'AAA' at the end of the year. This percentage fell to 90.1% after three years, 84.5% after fiveyears, 73.8% after 10 years, and 68.6% after 15 years (see tables 4-8). Moreover, over 15 years,28% (on average) of sovereigns rated 'AAA' at the beginning of the period were rated in the 'AA'category at the end. The tables below show that ratings are generally more stable when the timehorizon is shorter and the rating is higher. Upgrades and downgrades are broadly balanced in theshorter time horizons, while upgrades are higher at longer time horizons for ratings in the 'BB'category or higher.

Table 4

Sovereign Foreign Currency Average One-Year Transition Rates (1975-2018)*

(%) --Rating one year later--

Rating as of 1st ofthe month AAA AA A BBB BB B CCC/CC SD NR

AAA 96.59 3.32 0.01 0.00 0.07 0.00 0.00 0.00 0.00

AA 2.53 93.31 2.99 0.34 0.29 0.04 0.00 0.00 0.51

A 0.00 3.70 90.68 4.98 0.41 0.00 0.00 0.00 0.24

BBB 0.00 0.00 5.30 89.32 4.72 0.48 0.16 0.00 0.02



Table 4

Sovereign Foreign Currency Average One-Year Transition Rates (1975-2018)* (cont.)



BB 0.00 0.00 0.00 6.29 86.53 5.95 0.60 0.49 0.14

B 0.00 0.00 0.00 0.02 5.23 87.74 3.00 2.82 1.20

CCC/CC 0.00 0.00 0.00 0.00 0.00 29.10 29.34 41.56 0.00

Note: Average transitions over each 12-month cohort between 1975 and 2018 annualized. *Implied senior debt rating through 1995; sovereigncredit ratings thereafter. SD--Selective default. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 5

Sovereign Foreign Currency Average Three-Year Transition Rates (1975-2018)*

(%) --Rating three years later--


AAA 90.14 8.67 0.09 0.17 0.45 0.00 0.00 0.00 0.47

AA 8.04 81.30 7.46 2.26 0.32 0.00 0.00 0.00 0.62

A 0.00 10.79 72.86 12.86 1.98 0.12 0.33 0.53 0.53

BBB 0.00 0.00 16.20 69.17 11.49 1.28 0.29 1.17 0.40

BB 0.00 0.00 0.24 17.21 65.17 13.21 0.84 2.60 0.74

B 0.00 0.00 0.00 0.35 13.46 71.11 3.16 8.42 3.51

CCC/CC 0.00 0.00 0.00 0.00 1.16 30.64 11.85 56.36 0.00


Table 6

Sovereign Foreign Currency Average Five-Year Transition Rates (1975-2018)*

(%) --Rating five years later--


AAA 84.51 12.88 0.15 0.92 0.87 0.00 0.00 0.00 0.67

AA 13.68 71.15 11.23 2.50 0.77 0.00 0.00 0.00 0.67

A 0.00 17.39 57.34 19.48 2.92 0.13 0.36 1.81 0.58

BBB 0.00 0.05 24.94 54.58 14.33 1.99 0.44 2.59 1.09

BB 0.00 0.00 1.76 21.70 54.83 14.86 1.27 4.52 1.07

B 0.00 0.00 0.05 2.84 16.37 59.13 2.36 14.06 5.20

CCC/CC 0.00 0.00 0.00 0.68 3.39 25.76 11.19 58.98 0.00




Table 7

Sovereign Foreign Currency Average 10-Year Transition Rates (1975-2018)*

(%) --Rating 10 years later--


AAA 73.80 21.25 1.27 1.39 0.55 0.59 0.00 0.00 1.16

AA 27.72 51.34 11.99 6.48 2.47 0.00 0.00 0.00 0.00

A 1.91 25.15 42.14 18.59 5.97 0.55 0.49 5.20 0.00

BBB 0.00 4.65 34.74 35.79 14.64 2.29 0.58 4.96 2.36

BB 0.00 0.00 5.07 34.27 33.88 13.69 1.46 11.18 0.46

B 0.00 0.00 0.08 7.44 24.30 36.10 1.16 24.95 5.98

CCC/CC 0.00 0.00 0.00 0.00 3.92 13.24 0.00 82.84 0.00


Table 8

Sovereign Foreign Currency Average 15-Year Transition Rates (1975-2018)*



AAA 68.55 28.00 0.80 0.00 0.53 0.93 0.00 0.00 1.18

AA 37.29 36.91 11.70 9.99 3.30 0.34 0.26 0.21 0.00

A 5.71 27.89 38.02 16.71 0.92 2.52 0.92 7.31 0.00

BBB 0.00 12.77 38.93 17.14 14.59 3.58 0.79 8.74 3.46

BB 0.00 0.00 6.75 45.18 21.20 9.10 0.37 17.40 0.00

B 0.00 0.00 0.17 12.35 21.87 31.22 0.00 34.39 0.00

CCC/CC 0.00 0.00 0.00 8.16 0.00 0.00 0.00 91.84 0.00


Another gauge of ratings stability is the average time a sovereign spends at a particular rating.Table 9 shows the average number of years that the particular rating had been effective as of Dec.31, 2018. 'AAA' ratings are much more stable than any other rating category. All rating categoriesdisplay more stability than those below them, with the exception of 'BB' category ratings, whichare slightly less stable than 'B' category ratings. In addition, the average time spent with a ratingbelow 'B-' is less than one year.

Table 9

Average Time Spent At All Ratings As Of Dec. 31, 2018

Rating Average years Issuer count

AAA 19.97 11

AA+ 4.96 4



Table 9

Average Time Spent At All Ratings As Of Dec. 31,2018 (cont.)

Rating Average years Issuer count

AA 4.11 7

AA- 3.21 7

A+ 2.76 7

A 3.68 4

A- 2.63 7

BBB+ 1.88 7

BBB 2.25 5

BBB- 2.62 12

BB+ 2.57 3

BB 2.98 4

BB- 2.58 10

B+ 2.10 12

B 1.90 18

B- 1.68 11

CCC/CC 0.50 1

Source: S&P Global Fixed Income Research.

Sovereign foreign currency rating transitions

Large rating transitions are not common among sovereigns. The more pronounced, multinotchdowngrades were on sovereigns that defaulted. For example, lowering a rating to 'SD' from 'B'within the calendar year constitutes a seven-notch downgrade. Outside of these, the majority ofdowngrades are by one or--much less often--two notches. Sovereign upgrades seldom exceed anotch over a calendar year.

Sovereign local currency rating transitions

As with foreign currency sovereign credit ratings, local currency ratings have generally been morestable at higher ratings than at lower ones.



Chart 18

Table 10

Sovereign Local Currency Average One-Year Transition Rates (1993-2018)*



AAA 95.75 4.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 1.52 91.45 5.48 0.94 0.00 0.00 0.00 0.00 0.61

A 0.00 2.55 90.58 6.10 0.37 0.18 0.00 0.00 0.22

BBB 0.00 0.00 5.34 87.05 6.83 0.64 0.12 0.00 0.02

BB 0.00 0.00 0.00 5.40 84.74 7.94 1.00 0.72 0.19

B 0.00 0.00 0.00 0.00 5.68 88.46 2.60 1.63 1.62

CCC/CC 0.00 0.00 0.00 0.00 0.00 46.83 41.53 11.64 0.00




Table 11

Sovereign Local Currency Average Five-Year Transition Rates (1993-2018)*

(%) --Rating five years later--


AAA 80.56 17.24 0.17 1.17 0.00 0.00 0.00 0.00 0.86

AA 6.47 61.96 25.59 4.34 0.79 0.00 0.00 0.00 0.85

A 0.00 13.11 58.59 19.70 4.64 0.65 0.35 1.77 1.20

BBB 0.00 0.00 19.47 51.44 20.79 5.10 0.85 1.82 0.53

BB 0.00 0.00 1.77 18.90 46.43 26.36 2.13 2.97 1.44

B 0.00 0.00 0.28 2.27 20.62 60.78 3.04 5.91 7.10

CCC/CC 0.00 0.00 0.00 5.99 0.75 56.93 7.87 28.46 0.00


Table 12

Sovereign Local Currency Average 15-Year Transition Rates (1993-2018)*



AAA 66.52 25.08 3.46 2.49 0.62 0.00 0.00 0.00 1.83

AA 3.80 30.53 31.50 21.15 4.54 2.16 1.71 4.62 0.00

A 3.63 23.01 33.75 12.12 10.27 4.94 0.46 7.10 4.71

BBB 0.00 3.17 26.70 33.93 24.59 5.60 0.00 6.01 0.00

BB 0.00 0.00 7.33 27.64 35.07 19.53 0.44 9.99 0.00

B 0.00 0.00 0.00 20.72 20.38 50.51 1.03 7.36 0.00

CCC/CC 0.00 0.00 0.00 28.13 18.75 0.00 0.00 53.13 0.00


The average magnitude of local currency sovereign rating changes has remained close to onenotch in recent years (see chart 19). The average number of notches of local currency downgradesincreased to 1.22 in 2018 from 1.21 in 2017, while the average magnitude of local currencyupgrades decreased to 1.08 in 2018 from 1.36 in 2017.



Chart 19

Sovereign defaults

Barbados was the only sovereign to default in 2018, on June 6. This followed six defaults, the moston record, in 2017. Last year was the seventh straight year with at least one default. The averagenumber of defaults since 1999 is 1.65, and from 2010-2018, the average is 2.11. By bothstandards, the number of defaults in 2018 was below average.

Since S&P Global Ratings began rating sovereigns, 20 sovereigns have defaulted, with sevendefaulting twice and three defaulting three times. Defaults of sovereign members of a monetaryunion are counted as foreign currency defaults because these members have no sovereign controlover the common currency. In line with this reasoning, the local currency ratings on eurozonesovereigns converged with the (often lower) foreign currency ratings when they joined theeurozone.

Table 13

Sovereign Foreign Currency Selective Defaults

CountrySelectivedefault date

Emergencedate

Time inselectivedefault

Rating one yearbefore selectivedefault

Rating three yearsbefore selectivedefault

Russia Jan. 27, 1999 Dec. 8, 2000 22 months BB- -

Pakistan Jan. 29, 1999 Dec. 21, 1999 11 months B+ B+

Indonesia, first default March 29, 1999 March 30,1999

One day B- BBB

Indonesia, second default Apr. 17, 2000 Oct. 2, 2000 Six months CCC+ BBB

Argentina, first default Nov. 6, 2001 June 1, 2005 54 months BB BB



Table 13

Sovereign Foreign Currency Selective Defaults (cont.)

CountrySelectivedefault date

Emergencedate




Indonesia, third default Apr. 22, 2002 Sep. 5, 2002 Four months B- CCC+

Paraguay Feb. 13, 2003 July 26, 2004 18 months B B

Uruguay May 16, 2003 June 2, 2003 One month BB- BBB-

Grenada, first default Dec. 30, 2004 Nov. 18, 2005 11 months BB- -

Venezuela, first default Jan. 18, 2005 March 3, 2005 One month B- B

Dominican Republic Feb. 1, 2005 Jun. 29, 2005 Five months CCC BB-

Belize, first default Dec. 7, 2006 Feb. 20, 2007 Three months CCC- B+

Seychelles* Aug. 7, 2008 - - B -

Ecuador Dec. 15, 2008 Jun. 15, 2009 Six months B- CCC+

Jamaica, first default Jan. 14, 2010 Feb. 24, 2010 One month B B

Greece, first default Feb. 27, 2012 May. 2, 2012 Two months BB+ A-

Belize, second default Aug. 21, 2012 March 20,2013

Seven months B- B

Grenada, second default Oct. 8, 2012 Oct. 16, 2012 One week B- B-

Greece, second default Dec. 5, 2012 Dec. 18, 2012 Two weeks CC A-

Jamaica, second default February 12,2013

March 6, 2013 22 days B- SD

Grenada, third default* March 12, 2013 - - B- B-

Cyprus June 28, 2013 July 3, 2013 Five days BB+ A+

Argentina, second default July 30, 2014 May 6, 2016 22 months B- B

Ukraine Sep. 25, 2015 Oct. 19, 2015 One month CCC B+

Mozambique, first default April 1, 2016 April 15, 2016 15 days B B+

Congo-Brazzaville, firstdefault

August 2, 2016 August 9, 2016 One week B -

Belize, third default March 17, 2017 March 23,2017

Six days B- B-

Congo-Brazzaville,second default

August 1, 2017 Sept. 5, 2015 One month B- B+

El Salvador, first default April 20, 2017 May 5, 2017 15 days B+ BB-

El Salvador, seconddefault

October 2,2017

October 3,2017

One day B+ BB-

Mozambique, seconddefault

January 18,2017

- - B- B+

Venezuela, seconddefault

November 13,2017

- - CCC CCC+

Barbados June 6, 2018 - - CCC+ B

Note: Mali defaulted in 2012; we withdrew the rating in 2008. *The rating on Seychelles was withdrawn while it was still in default. The ratingon Grenada was withdrawn while it was still in default in 2014. SD--Selective default. Source: S&P Global Fixed Income Research.



Table 14

Sovereign Local Currency Selective Defaults

CountrySelectivedefault date Emergence date




DominicanRepublic

Apr. 9, 1999 Jun. 12, 2001 26 months BB -

Suriname Jan. 1, 2000 Feb. 2, 2001 13 months - -

Argentina Nov. 6, 2001 Jun. 1, 2005 43 months BBB- BBB-

Cameroon Sep. 1, 2004 Dec. 3, 2004 Three months - -

Grenada, firstdefault

Jan. 1, 2005 Nov. 18, 2005 11 months BB- -

Grenada, seconddefault*

Dec. 1, 2006 Apr. 2, 2007 Four months B- BB-

Ecuador Dec. 15, 2008 Jun. 15, 2009 Six months B- CCC+

Jamaica, firstdefault

Jan. 14, 2010 Feb. 24, 2010 One month B B

Greece, firstdefault

Feb. 27, 2012 May. 2, 2012 Two months BB+ A-

Greece, seconddefault*

Dec. 5, 2012 Dec. 18, 2012 Two weeks CC A-

Jamaica, seconddefault

February 12,2013

March 6, 2013 22 days B- B-

Grenada, thirddefault

March 12, 2013 - - B- B-

Cyprus June 28, 2013 July 3, 2013 Five days BB+ A+

El Salvador, firstdefault

April 20, 2017 May 5, 2017 15 days B+ BB-

El Salvador, seconddefault*

October 2, 2017 October 3, 2017 One day B+ BB-

Barbados Aug. 7, 2018 Nov. 16, 2018 Three months CCC+ B

Note: Cameroon and Grenada (excluding the third default) cured their local currency defaults before the ratings were changed. Mali defaultedin 2012; we withdrew the rating in 2008. *These defaults followed a prior default that occurred within the stated horizon. When an issuerreemerges from default, we treat it as a new issuer. Source: S&P Global Fixed Income Research.

During 1975-2018, no sovereign rated 'AAA' at the beginning of a month defaulted within theensuing 180 months (15 years). Moreover, the cumulative default rates were generally higher atlower rating levels, as one would expect. For example, from 1975-2018, the five-year averagecumulative default rate for sovereigns rated in the 'A' category was only about 1.7% (see table 15).By comparison, the five-year average cumulative default rate was 2.3% for sovereigns rated in the'BBB' category, 4.5% in the 'BB' category, 14.8% in the 'B' category, and 55.7% in the 'CCC'/'CC'categories.

The 15-year cumulative default rate averaged 3.7% for sovereigns with investment-grade ratingsand 25.1% for sovereigns with speculative-grade ratings. The same trends are generally true whencalculating default rates disaggregated by rating category, meaning by modifier rather than byrating category. Apart from the 'A+' and 'A' rating levels, which include the defaults of Greece andCyprus, the cumulative default rates for ratings with modifiers were higher at lower ratings. These



statistics, which cover many years of monthly data, suggest that foreign currency ratings havebeen strong indicators of default probability and the imminence of default.

Table 15

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers (1975-2018)*

(%) --Time horizon (years)--

Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.21

A 0.00 0.02 0.53 1.10 1.70 2.32 2.97 3.66 4.40 5.20 6.07 7.03 7.69 8.39 9.45

BBB 0.00 0.54 1.11 1.67 2.27 2.92 3.51 3.89 4.31 4.76 5.25 5.77 6.75 7.85 8.51

BB 0.48 1.58 2.44 3.16 4.46 5.84 7.35 8.97 10.42 11.63 12.78 14.01 15.00 15.82 16.44

B 2.73 5.80 8.90 12.17 14.81 17.26 19.60 21.79 23.46 24.81 25.96 27.12 28.23 29.23 30.21

CCC/CC 34.54 45.53 50.95 52.94 55.65 60.92 65.62 67.60 67.60 67.60 67.60 67.60 67.60 67.60 67.60

Investmentgrade

0.00 0.13 0.37 0.63 0.89 1.17 1.43 1.66 1.91 2.17 2.44 2.73 3.04 3.37 3.73

Speculativegrade

3.00 5.47 7.63 9.65 11.66 13.72 15.78 17.68 19.15 20.35 21.44 22.57 23.55 24.39 25.10

All rated 1.10 2.08 3.01 3.88 4.75 5.64 6.50 7.28 7.91 8.46 8.98 9.51 10.00 10.46 10.89

Note: Horizons consist of monthly cohorts for specified periods annualized. Implied senior debt rating through 1995; sovereign credit ratingsthereafter. *Default rates conditional on survival. Source: S&P Global Fixed Income Research.

Generally, the cumulative default rates by rating category have been higher for foreign currencysovereign credit ratings than for local currency sovereign credit ratings (see table 16). Thediscrepancy may be attributable to the smaller number of local currency ratings (the foreigncurrency series begins in 1975, and the local currency one begins in 1993. Local currencysovereign default rates could also be understated because it is hard to detect forced rollovers ofdomestic bank debt or coerced exchanges of local-law, local currency debt when domesticfinancial institutions hold the debt. But also, as our "Sovereign Rating Methodology" explains, weconsider that--other things being equal--the probability of default on a sovereign's local currencyobligation could be lower than on a foreign currency obligation.

Table 16

Sovereign Local Currency Cumulative Average Default Rates Without Rating Modifiers(1993-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.10 0.70 1.37 2.08 2.86 3.72

A 0.00 0.02 0.51 1.06 1.65 2.26 2.91 3.60 4.34 5.42 6.31 7.31 8.45 9.79 11.33

BBB 0.00 0.49 0.85 1.19 1.55 1.94 2.77 3.32 3.84 3.94 3.94 3.94 3.94 3.94 3.94

BB 0.71 1.48 1.94 2.38 3.07 3.82 4.48 5.38 6.22 6.79 7.44 8.19 9.07 10.12 11.34

B 1.57 2.71 3.85 4.75 5.59 6.53 7.14 7.77 8.44 9.07 9.19 9.19 9.19 9.19 9.19



Table 16

Sovereign Local Currency Cumulative Average Default Rates Without Rating Modifiers(1993-2018)* (cont.)


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

CCC/CC 12.51 16.87 20.34 22.55 27.00 33.65 39.09 42.84 42.84 42.84 42.84 42.84 42.84 42.84 42.84

Investmentgrade

0.00 0.12 0.33 0.55 0.78 1.03 1.37 1.67 1.97 2.29 2.65 3.03 3.46 3.93 4.43

Speculativegrade

1.63 2.73 3.66 4.40 5.31 6.36 7.17 8.05 8.78 9.35 9.73 10.12 10.58 11.13 11.83

All rated 0.58 1.03 1.49 1.88 2.33 2.83 3.32 3.79 4.21 4.60 4.96 5.34 5.77 6.26 6.80

Note: Horizons consist of monthly cohorts for specified periods annualized. Implied senior debt rating through 1995; sovereign credit ratingsthereafter. *Default rates conditional on survival. Source: S&P Global Fixed Income Research.

On average, there is a negative correlation between the initial rating on a sovereign and its time todefault, if default occurs. For example, for the entire pool of sovereign defaults (1975-2018), theaverage times to default for issuers that were originally rated in the 'A' and 'BBB' categories were18.47 years and 15.08 years, respectively, from the initial ratings, whereas issuers in the 'B' ratingcategory had an average time to default of only 8.11 years. When an issuer emerges from a default(including selective default), we treat it as a new entity. Similarly, we consider the first rating weassign after the default event to be the original rating on this new entity.

Tables 18 and 19 display the median, average, and standard deviations for the time to defaultfrom the original rating for foreign currency and local currency ratings. Tables 20 and 21 presentthe average and median times to default from each rating category and include both ratingoriginations and transitions to each category. In both cases, the standard deviation of the time todefault shrinks progressively as the rating gets lower. Generally speaking, the average time todefault for each rating category is longer when based on the initial rating on a sovereign than whenbased on later ratings.

Sovereigns that approach default usually experience multiple successive downgrades as thelikelihood of default increases. Table 17 shows the last date of the highest rating, the number ofintermediate rating actions (including outlook revisions) before default, and the date of thesovereign's default. Charts 20-25 depict the rating movements and show how defaultedsovereigns that were rated higher generally took longer to default than lower-rated sovereigns.

Table 17

Length Of Time To Default

GovernmentDate ofdefault

Date ofinitialrating

Highest rating/outlookbefore default

Last date ofhighest rating

Number ofintermediate rating

actions

Foreign currency sovereign credit rating defaults

Russia Jan. 27,1999

Oct. 7, 1996 BB-/Stable Jun. 8, 1998 4

Pakistan Jan. 29,1999

Nov. 21,1994

B+/Positive May. 31, 1998 4

Indonesia, first default Mar. 29,1999

Jul. 20,1992

BBB/Stable Oct. 9, 1997 7



Table 17

Length Of Time To Default (cont.)






actions

Indonesia, second default Apr. 17,2000

Mar. 30,1999

CCC+/Stable Apr. 16, 2000 0

Argentina, first default Nov. 6,2001

Aug. 25,1993

BB/Stable Nov. 13, 2000 7

Indonesia, third default Apr. 22,2001

Oct. 2, 2000 B-/Stable May. 20, 2001 2

Paraguay Feb. 13,2003

Oct. 23,1995

BB-/Stable Feb. 3, 1999 3

Uruguay May. 16,2003

Feb. 14,1994

BBB-/Stable Feb. 13, 2002 6

Grenada, first default Dec. 30,2004

Mar. 22,2002

BB-/Stable Sep. 16, 2004 2

Venezuela, first default Jan. 18,2005

Oct. 5, 1977 AAA Aug. 12, 1982 14

Dominican Republic Feb. 1,2005

Feb. 13,1997

BB-/Stable Jun. 9, 2003 5

Belize, first default Dec. 7,2006

Aug. 22,2000

BB/Stable Oct. 22, 2001 7

Seychelles* Aug. 7,2008

Sep. 14,2006

B/Stable July. 31, 2008 1

Ecuador Dec. 15,2008

Aug. 25,2000

B-/Stable Nov. 13, 2008 6

Jamaica, first default Jan. 14,2010

Nov. 9,1999

B+/Stable Jul. 27, 2003 5

Greece, first default Feb. 27,2012

Sep. 9,1988

A+/Stable Nov. 16, 2004 13

Belize, second default Aug. 21,2012

Feb. 20,2007

B/Stable Aug. 3, 2011 4

Grenada, second default Oct. 8,2012

Nov. 18,2005

B-/Stable Oct. 7, 2012 2

Greece, second default Dec. 5,2012

May. 2,2012

CCC/Stable Dec. 4, 2012 0

Jamaica, second default Feb. 12,2013

Feb. 24,2010

B-/Stable Feb. 11, 2013 0

Grenada, third default* Mar. 12,2013

Oct. 16,2012

CCC+/Negative Mar. 11, 2013 0

Cyprus Jun. 28,2013

Feb. 14,1994

AA-/Stable Nov. 8, 1998 12

Argentina, second default Jul. 30,2014

Jun. 01,2005

B+/Stable Aug. 10, 2008 8

Ukraine Sep. 25,2015

Dec. 21,2001

BB-/Stable Jun. 11, 2008 14

Mozambique, first default Apr. 1,2016

Jul. 7, 2004 B+/Stable Feb. 13, 2014 4



Table 17







actions

Congo-Brazzaville, firstdefault

Aug. 2,2016

Oct. 22,2013

B+/Stable Feb. 8, 2015 1

Belize, third default Mar. 17,2017

Mar. 20,2013

B-/Positive Nov. 13, 2016 2

Congo-Brazzaville,second default

Aug. 1,2017

Aug. 9,2016

B-/Stable Jul. 6, 2017 1

El Salvador, first default Apr. 20,2017

Aug. 26,1996

BB+/Stable May. 11, 2009 7


Oct. 2,2017

May. 5,2017

CC/Negative Oct. 1, 2017 0

Mozambique, seconddefault

Jan. 18,2017

Apr. 15,2016

B-/Stable May. 26, 2016 2

Venezuela, seconddefault

Nov. 13,2017

Mar. 3,2005

BB-/Positive Aug. 18, 2011 9

Barbados Jun. 06,2018

Dec. 17,1999

A-/Stable Aug. 4, 2004 15

Local currency sovereign credit rating defaults

Dominican Republic Apr. 9,1999

Nov. 12,1997

BB/Stable Apr. 8, 1999 0

Suriname Jan. 1,2000

Nov. 23,1999

B/Stable Dec. 31, 1999 0

Argentina Nov. 6,2001

Sep. 1,1994

BBB-/Stable Nov. 13, 2000 6

Cameroon Sep. 1,2004

Nov. 26,2003

B/Stable Aug. 31, 2004 0

Grenada, first default Jan. 1,2005

Mar. 22,2002

BB-/Stable Sep. 16, 2004 3

Grenada, second default* Dec. 1,2006

Nov. 18,2005


Ecuador Dec. 15,2008

Aug. 25,2000


Jamaica, first default Jan. 14,2010

Nov. 9,1999

BB-/Stable Jul. 27, 2003 6

Greece, first default Feb. 27,2012

Mar. 26,1997

A+/Stable Nov. 16, 2004 10

Greece, second default Dec. 5,2012

May. 2,2012

CCC/Stable Dec. 4, 2012 0

Jamaica, second default Feb. 12,2013

Feb. 24,2010

B-/Stable Feb. 11, 2013 0

Grenada, third default Mar. 12,2013

Apr. 2, 2007 B-/Stable Oct. 7, 2012 2

Cyprus Jun. 28,2013

Jul. 16,1996

AA+/Stable Nov. 8, 1998 14



Table 17







actions

El Salvador, first default Apr. 20,2017

Aug. 26,1996

BBB+/Stable Jan. 22, 2001 7


Oct. 2,2017

May. 5,2017

CC/Negative Oct. 1, 2017 0

Barbados Aug. 7,2018

Dec. 17,1999

AA-/Stable Aug. 19, 2003 17

Note: Mali defaulted in 2012; we withdrew the rating in 2008. Grenada cured its first two local currency defaults before ratings were changed.*The ratings on Seychelles and Grenada were withdrawn while they were still in default. Source: S&P Global Fixed Income Research.

Table 18

Time To Default From Original Rating--Foreign Currency Ratings

(Years) Average Median Standard deviation Number of defaults

AAA 27.29 27.29 -- 1

AA 19.37 19.37 -- 1

A 18.47 18.47 -- 1

BBB 15.08 15.08 11.86 2

BB 8.11 7.31 6.12 7

B 6.55 6.89 4.14 17

CCC/CC 0.61 0.50 0.30 4

Total 8.06 6.89 7.08 33


Table 19

Time To Default From Original Rating--Local Currency Ratings


AAA -- -- -- 0

AA 17.79 17.79 1.19 2

A 14.92 14.92 -- 1

BBB 13.92 13.92 9.52 2

BB 2.09 2.09 0.97 2

B 4.57 2.97 4.31 7

CCC/CC 2.32 0.59 3.14 3

Total 7.15 5.94 6.94 17




Table 20

Time To Default From All But Original Rating--Foreign Currency Ratings


AAA -- -- -- 0

AA 22.43 22.43 -- 1

A 9.32 8.72 6.10 1

BBB 7.49 5.92 6.48 4

BB 6.13 4.57 5.97 4

B 3.69 2.30 3.50 12

CCC/CC 1.10 0.48 1.62 5

NR 3.74 3.74 -- 1

Total 3.96 1.75 4.84 28

NR--Not rated. Source: S&P Global Fixed Income Research.

Table 21

Time To Default From All But Original Rating--Local Currency Ratings


AAA -- -- -- 0

AA 14.10 14.10 0.75 1

A 7.96 8.57 4.38 2

BBB 4.55 2.20 3.62 0

BB 5.09 4.71 4.73 3

B 2.00 0.82 2.14 2

CCC/CC 1.05 0.43 1.87 1

NR 4.50 4.50 -- 1

Total 3.85 1.89 4.34 10

NR--Not rated. Source: S&P Global Fixed Income Research.



Chart 20

Chart 21



Chart 22

Chart 23



Appendix 1: Gini Ratios

In addition to examining the absolute performance of ratings, we examine their relativeperformance. One technique we use to measure relative performance is the Gini coefficient. TheGini coefficient--a summary statistic of the Lorenz curve--is a measure of the relative ability ofratings to differentiate risk. We believe that comparing Lorenz curves and Gini coefficients isuseful. Lorenz curves for foreign currency and local currency sovereign ratings resemble the idealLorenz curves, though the small sample size results in less accurate readings than in othersectors. A larger number of data points would register a smooth line that curves, as in chart 25.Many of the other charts show lines that take sharp turns, resulting in angles rather than curves.

Chart 24 shows the one-year Lorenz curve for sovereign foreign currency ratings. The points alongthe Lorenz curve represent different ratings, starting with bonds in the 'CCC' and lower categorieson the far left. The first point indicates that the one-year transition to default was 46% at 'CCC'and lower ratings. As the ratings rise, the number of defaults decreases, yielding points thatcontinue to climb through the remainder of the speculative-grade scale before turning sharply tothe right upon reaching 100% at the 'BB-' rating. As investment-grade ratings continue to rise, thevertical distance representing defaults does not change, while the proportion of ratings in theuniverse increases dramatically. Because there are no defaults at any rating higher than 'BB-', thechart shows a strong relationship between speculative-grade ratings and defaults.

Chart 24

The Lorenz curve for sovereigns shows an extremely strong relationship between ratings at thebeginning of a year and the default experience of the group of ratings. The left side of the Lorenzcurve travels vertically toward 100% before slightly turning at 'CCC'/'C' at 46%, meaning that 46%of defaults within a one-year time horizon were for bonds that began the period in the 'CCC' rating



category or lower. Meanwhile, 100% of defaults occurred among bonds rated 'BB+' or lower(speculative grade) at the start of the one-year period.

The table below further illustrates the information in the Lorenz graph. The lowest value in the leftcolumn shows the cumulative proportion of defaults at the 'CCC'/'C' category, or 46.07%, and thenumber to the right is the cumulative proportion of the rated universe--much lower, at 1.23%. Thismeans that 46.07% of the defaults came from just 1.23% of the ratings, all of which were in the'CCC' or lower category. Moving up the table, one can observe that once ratings reach 'B+',representing 19.62% of all ratings, 92.68% of defaults have occurred at 'B+' or lower ratings.

Table 22

Sovereign One-Year Lorenz Curve Values

(%) Y-axis: cumulative proportion of defaults X-axis: cumulative proportion of ratings

AAA 100.00 100.00

AA+ 100.00 79.76

AA 100.00 74.52

AA- 100.00 69.48

A+ 100.00 65.44

A 100.00 62.25

A- 100.00 56.55

BBB+ 100.00 51.36

BBB 100.00 47.52

BBB- 100.00 42.84

BB+ 100.00 36.29

BB 99.19 31.56

BB- 98.64 25.85

B+ 92.68 19.62

B 88.35 12.24

B- 75.07 5.40

CCC/CC 46.07 1.23




Chart 25

Chart 26



Chart 27

The sovereign foreign currency Gini coefficients for the one-, three-, five-, and 10-year horizonsare 91%, 78%, 73%, and 72%, respectively. The sovereign local currency Gini coefficients for theone-, three-, five-, and 10-year horizons are 83%, 70%, 65%, and 59%, respectively (see charts28-31). This indicates that foreign currency Gini coefficients are better indicators of futuredefaults than local currency Gini coefficients.



Chart 28

Chart 29



Chart 30

Chart 31



Appendix 2: Methodology And Definitions

This study is based on long-term sovereign credit ratings. The methodology tracks ratingmigrations over time and includes revisions to 'SD' (selective default). An 'SD' rating is morecommon for sovereign issuers than a 'D' rating because defaulting sovereigns often continue toservice some of their debt. This study is based on issuer ratings as opposed to issue ratings. Inother words, we look at the sovereign ratings on the central governments themselves, not theratings on the individual securities these governments might have issued.

Our metrics treat all issuers equally and are not adjusted for size or influence. Therefore, for thepurposes of this study, a default by Argentina counts the same as a default by Mali, even thoughthe latter has a much smaller economy. Our study tracks defaults on a sovereign's commercialdebt, including both bonds and bank loans.

Withdrawn ratings (as indicated with the abbreviation "NR," which stands for "not rated") areincluded up until the date of withdrawal. We record defaults after the date of withdrawal if weobtain knowledge of those defaults. As of Dec. 31, 2018, S&P Global Ratings had withdrawn 12public sovereign ratings, for Benin, Cambodia, Gabon, Grenada, Guernsey, Isle of Man, KyrgyzRepublic, Libya, Madagascar, Mali, Seychelles, and Tunisia. (We reinstated the rating on Benin inJuly 2018 and on Guernsey in October 2014.) There are a total of 171 rating records for sovereigns,including those of defaulted ratings.

S&P Global Ratings generally defines "default" as the failure to meet a principal or interestpayment on the due date contained in the original terms of a debt issue (see "Methodology:Timeliness Of Payments: Grace Periods, Guarantees, And Use Of 'D' And 'SD' Ratings," Oct. 24,2013). However, questions can arise when applying this definition to sovereign obligations. Weconsider a sovereign to be in default under any of the following circumstances:

- For local currency and foreign currency bonds, notes, and bills issued by the centralgovernment and held outside the public sector of the country, a sovereign default occurs whenthe central government either fails to pay scheduled debt service on the due date or tenders anexchange offer of new debt with less favorable terms than the original issue.

- For private-sector bank loans incurred by the central government, a sovereign default occurswhen the central government either fails to pay scheduled debt service on the due date ornegotiates with the bank creditors a rescheduling of principal or interest at less favorableterms than in the original loan.

Emergence from default also can be a complicated analytical issue for sovereigns. Sovereignsoften undertake debt restructurings through exchange offers that, we find, rarely close the bookson the restructured debt. We have observed that for a number of reasons, from difficulty incontacting all debtholders to holdouts seeking payment in accordance with original terms,participation in sovereign distressed debt exchanges usually does not reach 100%. This stands incontrast with debt restructurings in the U.S. and in many other jurisdictions, where all obligationsare typically addressed in bankruptcy reorganization. An entity reorganizing outside of bankruptcygenerally must continue payments on the holdouts' debt or face the prospect of an involuntarybankruptcy filing.

Less common among sovereign defaults is the repudiation of debt, which most often follows arevolutionary change of regime (as occurred in Russia in 1917, China in 1949, and Cuba in 1960).S&P Global Ratings takes no position on the propriety of government debt defaults, repudiations,and the like. S&P Global Ratings also does not take a position on the course of negotiations (or theabsence thereof) between creditors and the government about working out debt that is repudiated



or on the parameters of any settlements between creditors and governments that could occur.Instead, our ratings are opinions on the probability of default on a forward-looking basis. Weanalyze historical defaults to form our own view about the extent to which they could affect thelikelihood of the sovereign defaulting in the future.

In general, S&P Global Ratings' sovereign ratings apply only to debt that the present governmentacknowledges as its own. If there is no resolution of a default through the courts or by the partiesinvolved, S&P Global Ratings eventually withdraws the defaulted ratings based on the diminishedprospects for resolution and the lack of relevance of the defaulted ratings in the context of themarket. For example, S&P Global Ratings has no rating on direct and guaranteed debt of thegovernment of China issued prior to the founding of the People's Republic of China in 1949because S&P Global Ratings first rated China in 1992, long after the new government repudiatedpre-1949 debt. The default is included in this study, which covers defaults by rated and unratedissuers.

The data set includes sovereign ratings that were withdrawn following a default. In those cases, ifthe sovereign was rated again, a new record would have been established, and the new ratingwould not be connected to the defaulted rating. This creates more than one record for defaultedsovereigns. Therefore, there are 171 foreign currency records for 143 sovereigns that we haverated, since some of the ratings were reestablished following defaults.

Static pool methodology

S&P Global Fixed Income Research conducts its default studies on the basis of groupings calledstatic pools. For the purposes of this study, we form static pools by grouping issuers by ratingcategory at the beginning of each year, quarter, or month that the database covers. Each staticpool is followed from that point forward. All issuers included in the study are assigned to one ormore static pools. When an issuer defaults, we assign that default back to all of the static pools towhich the issuer belonged.

We use the static pool methodology to avoid certain pitfalls in estimating default rates. This is toensure that default rates account for rating migration and to allow for default rates to becalculated across multiperiod time horizons. Some methods for calculating default and ratingtransition rates might charge defaults against only the initial rating on the issuer, ignoring morerecent rating changes that supply more current information. Other methods may calculate defaultrates using only the most recent year's default and rating data, which may yield comparatively lowdefault rates during periods of high rating activity because they ignore prior years' default activity.

The pools are static in the sense that their membership remains constant over time. Each staticpool can be interpreted as a buy-and-hold portfolio. Because errors, if any, are corrected by everynew update and because the criteria for inclusion or exclusion of sovereigns in the default studyare subject to minor revisions as time goes by, it is not possible to compare static pools acrossdifferent studies. Therefore, every new update revises results back to the same starting date ofDec. 31, 1975, so as to avoid continuity problems.

For instance, the 1976 static pool consists of all sovereigns rated as of 12:01 a.m. on Jan. 1, 1976.Adding those sovereigns first rated in 1976 to the surviving members of the 1976 static pool formsthe 1977 static pool. All rating changes that took place are reflected in the newly formed 1977static pool through the ratings on these entities as of 12:01 a.m. on Jan. 1, 1977. We used thesame method to form static pools for 1978-2018.

Consider the following example for annual static pools: A sovereign is originally rated 'BB' inmid-1986 and is downgraded to 'B' in 1988. This is followed by a default in 1993. We would include



this hypothetical issuer in the 1987 and 1988 pools with the 'BB' rating, which was the rating atthe beginning of those years. Likewise, it would be included in the 1989-1993 pools with the 'B'rating. Yet each of the seven pools in which this sovereign was included (1987-1993) would recordits 1993 default at the appropriate time horizon.

Default rate calculations

Cumulative default rates average the experience of all static pools in a select period by calculatingmarginal weighted-average default rates conditional on survival (survivors being nondefaulters)for each possible time horizon and accumulating marginal default rates. We calculateconditional-on-survival default rates by dividing the number of issuers in a static pool that defaultwithin a specific time horizon by the number of issuers that had survived (had not defaulted) up tothat point in time. In the context of sovereign ratings, we treat the selective defaults ofgovernments as complete defaults. We base weights on the number of issuers in each static pooland base these calculations on monthly start dates for 12-month increments.

Transition analysis

Transition rates compare issuer ratings at the beginning of a period with ratings at the end of theperiod. To compute one-year rating transition rates by rating category, we compared the rating oneach entity at the end of a particular year with the rating at the beginning of the same year. Anissuer that remained rated for more than one year was counted as many times as the number ofyears it was rated. For instance, an issuer continually rated from the middle of 1984 to the middleof 1991 would appear in the seven consecutive one-year transition matrices from 1985-1991. Ifthe rating on the issuer was withdrawn in the middle of 1991, it would be included in the columnrepresenting transitions to "NR" in the 1991 transition matrix. Similarly, if it defaulted in themiddle of 1991, it would be included in the column representing transitions to 'D' in the 1991one-year transition matrix.

All 1975 static pool members still rated on Jan. 1, 2019, had 44 one-year transitions, whilesovereigns first rated on Jan. 1, 2018, had only one. Table 25 displays the summary of one-yeartransitions in the investment-grade and speculative-grade rating categories. Each one-yeartransition matrix displays all rating movements between letter categories from the beginning ofthe year through year-end. For each rating listed in the matrix's leftmost column, there are nineratios listed in the rows, corresponding to the ratings from 'AAA' to 'SD', plus an entry for "NR."

The only ratings considered in these calculations are those on entities at the beginning of eachstatic pool and those at the end. All rating changes that occur in between are ignored. Forexample, if an entity was rated 'A' on Jan. 1, 2015, and was downgraded to 'BBB' in the middle ofthe year and then upgraded to 'A' later in the year (with no other subsequent rating changes), thisentity would be included only in the percentage of issuers that began the year as 'A' that ended theyear as 'A'. This also applies to transition matrices that span longer time horizons. If an issuerdefaults, we consider the rating as of Dec. 31 of that particular year to be 'D'. Similarly, if wewithdraw our rating on an issuer, we consider the issuer to be not rated as of Dec. 31 of that year.

Multiyear transitions. Multiyear transitions were also calculated for periods of two to 15 years. Inthis case, we compared the rating at the beginning of the multiyear period with the rating at theend. For example, three-year transition matrices were the result of comparing ratings at thebeginning of the years 1975-2016 with the ratings at the end of the years 1977-2018. Otherwise,the methodology was identical to that used for single-year transitions.



We calculated average transition matrices on the basis of the multiyear matrices described. Theseaverage matrices are a true summary, the ratios of which represent the historical incidence of theratings listed in the first column changing to the ones listed in the top row over the course of themultiyear period. Transition matrices that present averages over multiple time horizons are alsocalculated as issuer-weighted averages.

For inclusion in the matrix, the issuer must be in at least one year. In the case of the three-yearmatrix, we must have rated the sovereign by Jan. 1, 2013; in the case of the 15-year matrix, wemust have rated it by Jan. 1, 2001. Thus, there are progressively fewer observations the longer thetransition period is, given the growth of sovereign ratings and, of course, given that there will befewer static pools for each added set of 12 monthly cohorts in the matrix.

Rating modifiers

Our calculations of upgrade and downgrade percentages, as well as the magnitude of ratingchanges, consider the specific rating as opposed to the rating category. (For example, 'A-', 'A', and'A+' are the ratings that fall within the 'A' rating category.) However, for practical reasons, sometransition tables may use rating categories. Doing so means that actions such as a downgrade to'AA-' from 'AA' or an upgrade to 'BBB+' from 'BBB-' are not considered to be transitions becausethe ratings remained within the same rating category.

Appendix 3: Additional Exhibits

Table 23

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers (1975-2018)


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.21

A 0.00 0.02 0.53 1.10 1.70 2.32 2.97 3.66 4.40 5.20 6.07 7.03 7.69 8.39 9.45

BBB 0.00 0.54 1.11 1.67 2.27 2.92 3.51 3.89 4.31 4.76 5.25 5.77 6.75 7.85 8.51

BB 0.48 1.58 2.44 3.16 4.46 5.84 7.35 8.97 10.42 11.63 12.78 14.01 15.00 15.82 16.44

B 2.73 5.80 8.90 12.17 14.81 17.26 19.60 21.79 23.46 24.81 25.96 27.12 28.23 29.23 30.21

CCC/CC 34.54 45.53 50.95 52.94 55.65 60.92 65.62 67.60 67.60 67.60 67.60 67.60 67.60 67.60 67.60

Note: Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. Horizons consist ofmonthly cohorts for specified periods annualized. Source: S&P Global Fixed Income Research.

Table 24

Sovereign Local Currency Cumulative Average Default Rates Without RatingModifiers (1993-2018)


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Table 24

Sovereign Local Currency Cumulative Average Default Rates Without RatingModifiers (1993-2018) (cont.)


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.10 0.70 1.37 2.08 2.86 3.72

A 0.00 0.02 0.51 1.06 1.65 2.26 2.91 3.60 4.34 5.42 6.31 7.31 8.45 9.79 11.33

BBB 0.00 0.49 0.85 1.19 1.55 1.94 2.77 3.32 3.84 3.94 3.94 3.94 3.94 3.94 3.94

BB 0.71 1.48 1.94 2.38 3.07 3.82 4.48 5.38 6.22 6.79 7.44 8.19 9.07 10.12 11.34

B 1.57 2.71 3.85 4.75 5.59 6.53 7.14 7.77 8.44 9.07 9.19 9.19 9.19 9.19 9.19

CCC/CC 12.51 16.87 20.34 22.55 27.00 33.65 39.09 42.84 42.84 42.84 42.84 42.84 42.84 42.84 42.84

Note: Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. Horizons consist ofmonthly cohorts for specified periods annualized. Source: S&P Global Fixed Income Research.

Table 25

Sovereign Foreign Currency Average One-Year Transition Rates With Rating Modifiers (1975-2018)*

--Rating one year later (%)--

Ratingas of1st ofthemonth

Observationssince 1975 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B-

AAA 6,681 96.59 2.87 0.45 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.00

AA+ 1,739 6.90 82.75 7.07 1.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 1,672 0.00 6.46 84.39 7.00 0.60 0.48 0.12 0.60 0.00 0.00 0.00 0.36 0.00 0.00 0.00 0.00

AA- 1,341 0.00 0.00 9.77 79.94 8.20 0.22 0.67 0.22 0.00 0.22 0.60 0.00 0.00 0.15 0.00 0.00

A+ 1,061 0.00 0.00 0.09 13.95 71.25 9.61 2.73 1.23 0.19 0.85 0.09 0.00 0.00 0.00 0.00 0.00

A 1,892 0.00 0.00 0.00 1.27 11.73 77.96 5.66 1.37 0.85 1.06 0.11 0.00 0.00 0.00 0.00 0.00

A- 1,723 0.00 0.00 0.00 0.00 1.04 11.49 77.37 6.33 0.46 1.74 0.75 0.17 0.00 0.00 0.00 0.00

BBB+ 1,272 0.00 0.00 0.00 0.00 0.00 2.83 15.33 69.18 9.28 2.12 0.79 0.31 0.08 0.00 0.00 0.00

BBB 1,554 0.00 0.00 0.00 0.00 0.00 0.00 2.19 17.89 66.47 10.94 1.03 0.13 0.00 0.58 0.26 0.13

BBB- 2,176 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.10 15.53 73.53 6.48 2.53 0.32 0.09 0.18 0.14

BB+ 1,568 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.57 20.60 66.26 10.14 0.89 0.19 0.06 0.00

BB 1,894 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.84 14.73 71.22 10.56 1.48 0.74 0.16

BB- 2,069 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.21 10.83 72.35 11.60 1.40 0.53

B+ 2,448 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.04 0.04 1.10 11.19 66.75 16.09 2.74

B 2,271 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.75 15.19 68.47 7.62

B- 1,384 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.11 16.76 65.90

CCC+ 227 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.96 5.29 32.60

CCC 102 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.94 19.61

CCC- 37 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.70



Table 25

Sovereign Foreign Currency Average One-Year Transition Rates With Rating Modifiers(1975-2018)* (cont.)




CC 43 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. Average transitions over each 12-month cohort between 1975 and 2018 annualized.SD--Selective default. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 26

Sovereign Foreign Currency Average Five-Year Transition Rates With Rating Modifiers (1975-2018)*

--Rating five years later (%)--

Ratingas of1st ofthemonth AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC SD NR

AAA 84.51 8.42 2.81 1.66 0.00 0.10 0.05 0.67 0.00 0.25 0.00 0.87 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.67

AA+ 27.15 43.10 21.81 5.08 0.00 0.00 0.00 0.20 0.72 0.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.69

AA 7.96 17.10 41.56 17.25 6.77 3.42 4.16 0.89 0.45 0.00 0.00 0.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.70 10.29 27.37 28.87 13.59 5.09 5.59 1.10 1.80 3.20 0.00 2.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 2.82 10.12 30.94 17.53 12.12 2.12 3.18 6.59 7.65 1.29 1.76 0.00 0.24 0.00 0.00 0.00 0.24 0.00 0.00 3.41 0.00

A 0.00 0.00 2.03 13.41 23.46 31.82 8.54 4.94 4.65 6.27 1.39 0.93 0.12 0.00 0.17 0.00 0.17 0.12 0.00 0.41 1.57 0.00

A- 0.00 0.00 0.00 3.31 5.58 25.72 33.80 14.84 6.69 3.82 1.76 1.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.10 1.69

BBB+ 0.00 0.00 0.00 0.22 7.97 7.97 21.55 24.80 16.84 13.36 4.26 1.35 0.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.79 0.11

BBB 0.00 0.00 0.00 0.00 4.30 9.23 16.42 16.97 17.36 9.62 9.23 5.71 2.81 1.02 2.66 0.00 0.00 0.00 0.00 0.00 2.58 2.11

BBB- 0.00 0.00 0.00 0.00 0.29 4.66 9.61 17.39 19.99 25.00 10.14 5.72 0.06 0.00 1.12 0.65 0.83 0.12 0.00 0.06 3.54 0.83

BB+ 0.00 0.00 0.00 0.00 0.00 0.76 4.03 2.28 15.97 24.79 16.50 18.78 9.43 0.91 0.76 2.43 1.29 0.00 0.00 0.00 2.05 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 1.00 1.82 3.77 12.74 17.89 32.14 16.64 8.47 0.75 0.50 0.00 0.00 0.75 0.13 2.82 0.56

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.01 1.32 5.04 8.83 22.38 20.11 12.86 7.76 8.32 0.32 1.13 0.00 0.19 8.26 2.46

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.11 0.43 0.64 3.25 1.44 2.88 13.15 29.87 25.56 10.06 0.80 0.69 0.21 0.80 8.79 1.33

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.18 0.18 1.26 0.54 2.64 12.95 16.97 24.82 11.87 1.14 0.18 0.36 0.12 14.69 12.11

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.70 1.28 1.40 2.68 10.37 16.55 21.68 17.60 2.80 0.00 0.23 0.12 24.36 0.23

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.08 1.08 0.00 4.30 6.45 11.29 13.44 4.84 10.75 2.15 0.00 44.62 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.36 1.79 0.00 0.00 0.00 0.00 67.86 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. Average transitions over each 60-month cohort between 1975 and 2018 annualized. SD--Selective default. NR--Not rated.Source: S&P Global Fixed Income Research.



Table 27

Sovereign Foreign Currency Average 15-Year Transition Rates With Rating Modifiers (1975-2018)*

--Rating 15 years later (%)--


AAA 68.55 15.59 7.44 4.98 0.80 0.00 0.00 0.00 0.00 0.00 0.00 0.43 0.10 0.53 0.40 0.00 0.00 0.00 0.00 0.00 0.00 1.18

AA+ 41.98 19.37 15.53 12.46 3.58 0.51 1.37 3.58 1.45 0.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 34.70 11.65 4.83 11.28 11.40 1.24 0.25 6.07 3.97 8.30 2.97 2.60 0.00 0.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 27.68 14.12 3.11 5.93 16.38 9.04 4.24 0.85 3.11 2.82 1.98 7.06 0.00 0.00 0.56 0.00 0.85 0.85 0.00 0.00 1.41 0.00

A+ 11.56 4.02 5.28 6.28 6.78 22.11 17.84 6.53 1.51 13.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.03 0.00

A 6.84 4.22 14.99 11.64 7.13 8.44 22.13 9.32 0.15 4.08 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.06 0.00

A- 0.00 0.00 3.50 29.65 24.13 1.66 6.26 11.97 0.37 5.16 1.84 0.00 0.92 2.58 3.87 1.10 2.76 0.00 0.00 0.00 4.24 0.00

BBB+ 0.00 0.00 8.63 28.63 7.45 22.35 16.08 12.94 0.00 0.00 3.53 0.39 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 11.03 11.38 16.21 8.45 16.03 4.48 1.21 3.62 2.76 6.21 3.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.24 7.93

BBB- 0.00 0.00 0.00 0.00 3.56 14.13 18.23 11.97 4.21 7.01 9.39 8.41 1.08 0.11 1.62 5.07 0.65 0.11 0.00 0.76 12.08 1.62

BB+ 0.00 0.00 0.00 0.00 6.06 10.21 0.00 14.51 21.69 24.56 2.87 0.80 1.28 3.51 1.59 2.55 0.00 0.00 0.00 0.00 10.37 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 1.44 7.91 17.27 27.34 0.58 10.07 11.51 4.03 4.75 1.29 1.01 0.00 0.00 0.00 12.81 0.00

BB- 0.00 0.00 0.00 0.00 2.56 0.00 0.00 10.99 5.13 1.83 7.88 9.89 20.88 1.65 3.85 4.03 0.00 0.00 0.00 0.00 31.32 0.00

B+ 0.00 0.00 0.00 0.00 0.38 0.00 0.00 3.21 2.27 8.32 8.32 12.67 4.16 14.56 1.70 3.59 0.00 0.00 0.00 0.00 40.83 0.00

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.82 7.03 9.90 4.69 1.56 18.75 9.11 8.85 0.00 0.00 0.00 0.00 38.28 0.00

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.77 11.86 6.32 8.70 8.70 15.81 13.83 17.00 0.00 0.00 0.00 0.00 15.02 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.39 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 89.61 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. Average transitions over each 180-month cohort between 1975 and 2018 annualized. SD--Selective default. NR--Notrated. Source: S&P Global Fixed Income Research.

Table 28

Sovereign Local Currency Average One-Year Transition Rates With Rating Modifiers (1993-2018)*




AAA 5,368 95.75 2.94 1.17 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 1,069 5.61 78.67 9.64 3.37 0.19 0.00 0.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 1,541 0.00 2.99 84.49 9.09 0.71 0.71 0.91 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 1,330 0.00 0.00 5.94 79.40 11.95 0.30 0.90 1.28 0.00 0.23 0.00 0.00 0.00 0.00 0.00 0.00



Table 28

Sovereign Local Currency Average One-Year Transition Rates With Rating Modifiers(1993-2018)* (cont.)




A+ 1,484 0.00 0.00 0.81 6.81 75.88 11.93 2.76 1.08 0.07 0.07 0.00 0.00 0.13 0.13 0.00 0.34

A 1,695 0.00 0.00 0.00 0.71 10.91 72.92 11.56 2.77 0.83 0.18 0.12 0.00 0.00 0.00 0.00 0.00

A- 1,724 0.00 0.00 0.00 0.00 0.41 14.04 71.40 9.86 1.28 1.45 0.70 0.12 0.00 0.00 0.00 0.12

BBB+ 1,654 0.00 0.00 0.00 0.00 0.00 1.09 11.55 70.68 10.58 3.33 1.39 0.67 0.18 0.00 0.24 0.24

BBB 1,117 0.00 0.00 0.00 0.00 0.00 0.00 1.43 11.82 68.76 15.04 1.52 0.90 0.27 0.00 0.18 0.00

BBB- 1,462 0.00 0.00 0.00 0.00 0.00 0.00 0.07 1.71 11.01 70.59 11.22 3.21 0.75 0.75 0.21 0.21

BB+ 1,513 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 1.12 13.62 68.67 11.57 3.30 0.00 0.59 0.00

BB 1,160 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.69 16.12 61.38 14.31 2.33 1.81 1.12

BB- 1,620 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.36 8.02 71.42 12.90 2.96 0.86

B+ 1,920 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.36 1.51 11.30 66.61 16.35 2.71

B 2,060 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.19 1.46 12.52 70.39 8.79

B- 1,281 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.94 3.36 16.32 67.76

CCC+ 231 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.43 6.93 42.42

CCC 104 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.88 38.46

CCC- 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50

CC 35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 34.29 17.14

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. Average transitions over each 12-month cohort between 1993 and 2018 annualized.SD--Selective default. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 29

Sovereign Local Currency Average 15-Year Transition Rates With Rating Modifiers (1993-2018)*



AAA 66.52 15.36 7.00 2.72 2.57 0.39 0.51 1.83 0.00 0.66 0.00 0.62 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.83

AA+ 0.22 6.19 15.04 8.19 13.72 11.73 6.64 15.71 6.19 11.50 1.55 0.44 0.00 0.00 0.44 0.00 0.66 0.66 0.00 0.00 1.11 0.00

AA 3.19 6.39 18.56 10.78 15.17 4.39 11.18 0.40 6.39 11.98 4.79 4.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.59 0.00

AA- 8.72 4.10 12.31 8.72 25.13 0.77 5.90 7.95 2.05 0.00 0.00 1.79 0.00 0.00 5.38 1.54 1.54 2.31 0.00 0.51 11.28 0.00

A+ 11.72 7.23 30.42 2.99 2.49 7.23 15.46 8.23 0.00 3.49 6.48 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.24 0.00

A 0.00 0.00 1.25 10.66 2.82 20.69 6.58 4.08 0.31 4.39 5.33 7.52 3.45 4.08 1.25 0.00 0.00 0.00 0.00 0.00 8.46 19.12

A- 0.00 0.00 2.43 14.43 4.70 13.57 23.48 7.83 1.91 4.52 7.30 2.26 0.00 0.17 1.74 6.26 1.04 0.00 0.00 0.00 8.35 0.00



Table 29

Sovereign Local Currency Average 15-Year Transition Rates With Rating Modifiers (1993-2018)* (cont.)



BBB+ 0.00 0.00 3.72 1.57 3.15 21.89 15.31 4.01 12.73 12.45 6.87 9.16 5.72 1.86 0.00 1.57 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 4.87 3.98 15.04 13.27 43.36 6.64 3.54 0.00 2.65 1.33 5.31 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.65 0.00 0.00 8.79 2.61 0.98 13.36 8.79 5.86 27.04 6.19 1.63 0.00 0.00 0.00 0.00 0.00 24.10 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 14.90 5.56 15.91 13.89 3.54 21.21 12.12 2.53 0.51 4.55 0.00 0.00 0.00 0.00 5.30 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 1.92 4.60 12.64 5.36 6.13 15.33 12.26 11.88 8.05 12.26 0.00 0.00 0.00 1.53 8.05 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.82 11.48 2.87 6.15 8.20 16.80 8.61 8.20 8.61 8.61 0.00 0.00 0.00 0.00 19.67 0.00

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.61 17.68 4.88 1.22 6.10 26.22 11.59 15.85 0.00 0.00 0.00 0.00 15.85 0.00

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.44 17.74 5.24 2.82 3.63 25.00 12.90 25.81 0.00 0.00 0.00 0.00 2.42 0.00

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.81 15.12 36.63 1.16 2.91 16.28 0.00 12.21 0.00 0.00 3.49 0.00 6.40 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 13.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 86.84 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 43.48 4.35 0.00 47.83 4.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00


Table 30

Foreign Currency 'A' Static Pools And Default Rates (1992-2018)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

01/01/1992 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1993 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1994 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1995 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1996 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1997 9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1998 9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/1999 9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11

01/01/2000 11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 18.18 18.18

01/01/2001 12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.33 16.67 16.67 16.67

01/01/2002 14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 14.29 14.29 14.29 14.29

01/01/2003 17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 11.76 11.76 11.76 11.76 11.76



Table 30

Foreign Currency 'A' Static Pools And Default Rates (1992-2018) (cont.)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

01/01/2004 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.00 10.00 10.00 10.00 10.00 10.00 15.00

01/01/2005 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.76 9.52 9.52 9.52 9.52 9.52 9.52

01/01/2006 21 0.00 0.00 0.00 0.00 0.00 0.00 4.76 9.52 9.52 9.52 9.52 9.52 9.52

01/01/2007 23 0.00 0.00 0.00 0.00 0.00 4.35 8.70 8.70 8.70 8.70 8.70 8.70

01/01/2008 20 0.00 0.00 0.00 0.00 5.00 10.00 10.00 10.00 10.00 10.00 10.00

01/01/2009 20 0.00 0.00 0.00 5.00 10.00 10.00 10.00 10.00 10.00 10.00

01/01/2010 21 0.00 0.00 0.00 4.76 4.76 4.76 4.76 4.76 4.76

01/01/2011 21 0.00 0.00 4.76 4.76 4.76 4.76 4.76 4.76

01/01/2012 15 0.00 0.00 0.00 0.00 0.00 0.00 0.00

01/01/2013 14 0.00 0.00 0.00 0.00 0.00 0.00

01/01/2014 12 0.00 0.00 0.00 0.00 0.00

01/01/2015 15 0.00 0.00 0.00 0.00

01/01/2016 16 0.00 0.00 0.00

01/01/2017 16 0.00 0.00

01/01/2018 17 0.00

Cumulativedefaultrate*

0.00 0.02 0.53 1.10 1.70 2.32 2.97 3.66 4.40 5.20 6.07 7.03 7.69 8.39 9.45

Note: Implied senior debt rating through 1995; sovereign credit ratings thereafter. *From the rating category row in table 23. Source: S&P Global FixedIncome Research.

Table 31

Foreign Currency 'BBB' Static Pools And Default Rates (1992-2018)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1992 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

1/1/1993 6 0.00 0.00 0.00 0.00 0.00 0.00 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67 16.67

1/1/1994 8 0.00 0.00 0.00 0.00 0.00 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50

1/1/1995 7 0.00 0.00 0.00 0.00 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29

1/1/1996 4 0.00 0.00 0.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00 25.00

1/1/1997 9 0.00 0.00 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11

1/1/1998 16 0.00 0.00 0.00 0.00 0.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 12.50

1/1/1999 16 0.00 0.00 0.00 0.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 12.50 12.50

1/1/2000 16 0.00 0.00 0.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25



Table 31

Foreign Currency 'BBB' Static Pools And Default Rates (1992-2018) (cont.)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/2001 16 0.00 0.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25

1/1/2002 16 0.00 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25

1/1/2003 13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

1/1/2004 12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

1/1/2005 13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69

1/1/2006 13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69

1/1/2007 13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69

1/1/2008 14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14

1/1/2009 17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88

1/1/2010 18 0.00 0.00 5.56 5.56 5.56 5.56 5.56 5.56 11.11

1/1/2011 19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26

1/1/2012 24 0.00 4.17 4.17 4.17 4.17 4.17 8.33

1/1/2013 23 0.00 0.00 0.00 0.00 0.00 0.00

1/1/2014 26 0.00 0.00 0.00 0.00 0.00

1/1/2015 25 0.00 0.00 0.00 0.00

1/1/2016 24 0.00 0.00 0.00

1/1/2017 22 0.00 0.00

1/1/2018 24 0.00


0.00 0.54 1.11 1.67 2.27 2.92 3.51 3.89 4.31 4.76 5.25 5.77 6.75 7.85 8.51


Table 32

Foreign Currency 'BB' Static Pools And Default Rates (1992-2018)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1992 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00

1/1/1993 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 25.00 25.00

1/1/1994 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.67 16.67 16.67 16.67 33.33 33.33 33.33 33.33

1/1/1995 8 0.00 0.00 0.00 0.00 0.00 0.00 12.50 12.50 25.00 25.00 25.00 25.00 25.00 25.00 25.00

1/1/1996 10 0.00 0.00 0.00 0.00 0.00 10.00 10.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00 30.00

1/1/1997 13 0.00 0.00 7.69 7.69 15.38 15.38 30.77 30.77 30.77 30.77 30.77 30.77 30.77 30.77 30.77



Table 32

Foreign Currency 'BB' Static Pools And Default Rates (1992-2018) (cont.)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1998 18 0.00 11.11 11.11 16.67 16.67 22.22 22.22 22.22 22.22 22.22 22.22 22.22 22.22 22.22 22.22

1/1/1999 18 0.00 0.00 5.56 5.56 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11 11.11

1/1/2000 15 0.00 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67 6.67

1/1/2001 14 7.14 7.14 7.14 7.14 7.14 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29 14.29

1/1/2002 16 0.00 0.00 0.00 6.25 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50 12.50

1/1/2003 17 0.00 5.88 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 11.76 17.65

1/1/2004 17 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 5.88 11.76 11.76

1/1/2005 19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 5.26

1/1/2006 19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 5.26 10.53 10.53

1/1/2007 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.55 4.55 13.64 13.64

1/1/2008 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.35 4.35 13.04 13.04

1/1/2009 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.70 8.70

1/1/2010 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.70 8.70

1/1/2011 23 0.00 4.35 4.35 4.35 4.35 4.35 13.04 13.04

1/1/2012 22 0.00 0.00 0.00 0.00 0.00 4.55 4.55

1/1/2013 26 0.00 0.00 0.00 0.00 3.85 7.69

1/1/2014 24 0.00 0.00 0.00 4.17 8.33

1/1/2015 20 0.00 0.00 0.00 0.00

1/1/2016 21 0.00 0.00 0.00

1/1/2017 22 0.00 0.00

1/1/2018 20 0.00


0.48 1.58 2.44 3.16 4.46 5.84 7.35 8.97 10.42 11.63 12.78 14.01 15.00 15.82 16.44


Table 33

Foreign Currency 'B' Static Pools And Default Rates (1995-2018)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1995 4 0.00 0.00 0.00 0.00 25.00 25.00 25.00 25.00 25.00 25.00 50.00 50.00 50.00 50.00 50.00

1/1/1996 5 0.00 0.00 0.00 20.00 20.00 20.00 20.00 20.00 20.00 40.00 40.00 40.00 40.00 40.00 40.00

1/1/1997 4 0.00 0.00 25.00 25.00 25.00 25.00 25.00 25.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00



Table 33

Foreign Currency 'B' Static Pools And Default Rates (1995-2018) (cont.)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1998 5 0.00 20.00 20.00 20.00 20.00 20.00 20.00 60.00 60.00 60.00 60.00 60.00 60.00 60.00 60.00

1/1/1999 7 0.00 0.00 0.00 0.00 0.00 0.00 28.57 28.57 28.57 28.57 28.57 28.57 28.57 28.57 28.57

1/1/2000 14 0.00 0.00 0.00 7.14 7.14 21.43 21.43 21.43 21.43 21.43 28.57 28.57 28.57 28.57 28.57

1/1/2001 20 0.00 5.00 10.00 10.00 20.00 20.00 20.00 25.00 25.00 30.00 30.00 30.00 30.00 30.00 30.00

1/1/2002 15 0.00 6.67 6.67 13.33 13.33 13.33 13.33 13.33 20.00 20.00 20.00 20.00 20.00 26.67 26.67

1/1/2003 16 12.50 12.50 12.50 18.75 18.75 18.75 18.75 25.00 25.00 25.00 25.00 25.00 31.25 31.25 31.25

1/1/2004 19 0.00 5.26 10.53 10.53 10.53 10.53 15.79 15.79 15.79 15.79 15.79 21.05 21.05 21.05 21.05

1/1/2005 21 4.76 9.52 9.52 9.52 9.52 14.29 14.29 19.05 19.05 19.05 23.81 28.57 28.57 28.57

1/1/2006 23 0.00 0.00 0.00 0.00 4.35 4.35 13.04 13.04 17.39 17.39 21.74 26.09 26.09

1/1/2007 25 0.00 4.00 4.00 8.00 8.00 16.00 16.00 20.00 20.00 24.00 24.00 24.00

1/1/2008 29 6.90 6.90 10.34 10.34 20.69 20.69 24.14 24.14 27.59 27.59 27.59

1/1/2009 28 0.00 3.57 3.57 10.71 10.71 14.29 17.86 21.43 21.43 21.43

1/1/2010 27 0.00 0.00 7.41 7.41 11.11 11.11 14.81 14.81 14.81

1/1/2011 32 0.00 6.25 9.38 12.50 15.63 18.75 18.75 18.75

1/1/2012 33 6.06 9.09 12.12 15.15 18.18 21.21 21.21

1/1/2013 30 3.33 6.67 10.00 13.33 16.67 16.67

1/1/2014 32 0.00 3.13 9.38 15.63 15.63

1/1/2015 34 0.00 5.88 11.76 14.71

1/1/2016 37 5.41 10.81 13.51

1/1/2017 37 5.41 8.11

1/1/2018 36 0.00


2.73 5.80 8.90 12.17 14.81 17.26 19.60 21.79 23.46 24.81 25.96 27.12 28.23 29.23 30.21


Table 34

Foreign Currency 'CCC'/'CC' Static Pools And Default Rates (1999-2018)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/1999 3 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

1/1/2000 1 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

1/1/2001 0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A



Table 34

Foreign Currency 'CCC'/'CC' Static Pools And Default Rates (1999-2018) (cont.)


Date

Numberof

issuers 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1/1/2002 3 33.33 33.33 33.33 33.33 33.33 33.33 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67

1/1/2003 4 0.00 0.00 25.00 25.00 25.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00

1/1/2004 3 0.00 33.33 33.33 33.33 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67 66.67

1/1/2005 4 25.00 25.00 25.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00

1/1/2006 4 25.00 25.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00

1/1/2007 2 0.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00

1/1/2008 0 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

1/1/2009 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

1/1/2010 3 33.33 33.33 33.33 33.33 33.33 66.67 66.67 66.67 66.67

1/1/2011 0 N/A N/A N/A N/A N/A N/A N/A N/A

1/1/2012 1 100.00 100.00 100.00 100.00 100.00 100.00 100.00

1/1/2013 2 100.00 100.00 100.00 100.00 100.00 100.00

1/1/2014 1 100.00 100.00 100.00 100.00 100.00

1/1/2015 2 50.00 50.00 100.00 100.00

1/1/2016 2 0.00 50.00 50.00

1/1/2017 3 100.00 100.00

1/1/2018 4 25.00


34.54 45.53 50.95 52.94 55.65 60.92 65.62 67.60 67.60 67.60 67.60 67.60 67.60 67.60 67.60

Note: Implied senior debt rating through 1995; sovereign credit ratings thereafter. *From the rating category row in table 23. Source: S&P Global Fixed Income Research.

Table 35

Sovereign Foreign Currency Cumulative Average Default Rates With Rating Modifiers(1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.39

A+ 0.00 0.00 0.54 1.88 3.28 3.51 3.51 4.69 5.78 5.78 5.78 5.78 5.78 7.04 8.58

A 0.00 0.00 0.22 0.83 1.51 2.81 4.28 5.25 6.39 8.23 10.20 11.38 12.72 13.46 13.46

A- 0.00 0.06 0.88 0.95 0.95 0.95 0.95 0.95 0.95 0.95 1.05 2.36 2.70 3.00 5.01

BBB+ 0.00 0.42 0.60 0.60 0.60 0.60 0.60 0.60 0.60 2.44 4.48 6.85 9.60 12.20 12.20



Table 35

Sovereign Foreign Currency Cumulative Average Default Rates With Rating Modifiers(1975-2018)* (cont.)


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

BBB 0.00 0.66 1.48 2.26 2.26 2.26 2.26 2.68 4.00 4.00 4.00 4.00 5.30 5.75 5.75

BBB- 0.00 0.52 1.12 1.82 3.19 4.66 5.96 6.53 6.53 6.53 6.53 6.53 6.53 7.47 8.79

BB+ 0.19 1.42 1.42 1.42 1.80 2.74 3.71 4.81 6.95 8.38 9.65 11.06 12.59 14.23 15.97

BB 0.10 0.75 1.43 2.14 2.56 3.21 4.09 4.89 4.89 4.89 5.08 6.28 7.59 8.30 8.30

BB- 1.05 2.45 4.14 5.42 8.31 10.87 13.58 16.63 19.01 21.34 23.52 24.61 24.61 24.61 24.61

B+ 0.64 2.08 4.17 7.02 9.35 12.10 15.60 19.30 20.30 21.39 22.86 23.51 23.93 25.05 27.58

B 2.10 5.54 9.44 12.87 15.90 18.10 19.64 21.06 23.41 25.80 27.40 29.94 32.63 34.30 34.30

B- 7.34 12.75 16.40 20.27 22.87 25.14 26.54 27.09 28.82 28.97 28.97 28.97 28.97 28.97 28.97

CCC+ 19.21 23.50 29.27 32.58 37.10 45.96 53.92 57.27 57.27 57.27 57.27 57.27 57.27 57.27 57.27

CCC 37.50 66.96 75.00 75.00 75.00 75.00 75.00 75.00 75.00 75.00 75.00 75.00 75.00 75.00 N.A.

CCC- 78.95 94.74 94.74 94.74 94.74 94.74 94.74 94.74 94.74 94.74 N.A. N.A. N.A. N.A. N.A.

CC 100.00 N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A.

Investmentgrade

0.00 0.13 0.37 0.63 0.89 1.17 1.43 1.66 1.91 2.17 2.44 2.73 3.04 3.37 3.73

Speculativegrade

3.00 5.47 7.63 9.65 11.66 13.72 15.78 17.68 19.15 20.35 21.44 22.57 23.55 24.39 25.10

All rated 1.10 2.08 3.01 3.88 4.75 5.64 6.50 7.28 7.91 8.46 8.98 9.51 10.00 10.46 10.89

*Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. N.A.--Not available (noobservations for this horizon). Source: S&P Global Fixed Income Research.

Table 36

Sovereign Foreign Currency Cumulative Average Default Rates With Rating Modifiers (1975-2018)*

(%) --Time horizon (months)--

Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

A+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.13 0.26 0.40

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.09 0.19 0.23 0.28 0.33

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.19 0.38 0.58 0.83 0.96 1.09 1.16 1.22 1.29

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.10 0.10 0.10 0.16 0.21 0.26 0.32 0.37 0.43 0.48 0.53

BB- 0.00 0.00 0.00 0.05 0.09 0.14 0.19 0.28 0.43 0.62 0.86 1.05 1.15 1.25 1.34 1.44 1.54 1.64 1.74 1.84

B+ 0.00 0.00 0.04 0.04 0.04 0.08 0.20 0.32 0.40 0.48 0.56 0.64 0.73 0.81 0.89 0.97 1.10 1.22 1.39 1.56

B 0.08 0.16 0.25 0.37 0.58 0.80 1.01 1.22 1.44 1.66 1.88 2.10 2.41 2.72 2.99 3.26 3.53 3.81 4.04 4.27



Table 36

Sovereign Foreign Currency Cumulative Average Default Rates With Rating Modifiers (1975-2018)* (cont.)

(%) --Time horizon (months)--

Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

B- 0.40 1.06 1.66 2.27 2.81 3.42 4.11 4.73 5.43 5.99 6.62 7.34 7.84 8.27 8.78 9.37 9.89 10.42 10.80 11.18

CCC+ 1.23 2.77 4.63 6.82 9.03 10.95 12.56 14.19 15.84 17.51 18.53 19.21 19.91 20.26 20.61 20.61 20.61 20.61 20.97 21.70

CCC 4.46 8.93 13.39 16.96 22.32 25.89 28.57 31.25 32.14 33.93 35.71 37.50 40.18 43.75 46.43 49.11 51.79 54.46 58.04 60.71

CCC- 13.16 23.68 34.21 42.11 47.37 55.26 60.53 65.79 71.05 73.68 76.32 78.95 81.58 84.21 86.84 89.47 92.11 94.74 94.74 94.74

CC 25.58 41.86 55.81 69.77 79.07 83.72 88.37 90.70 93.02 95.35 97.67 100.00 N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A.

Investmentgrade

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.03 0.05 0.06

Speculativegrade

0.26 0.52 0.78 1.04 1.30 1.55 1.80 2.04 2.29 2.52 2.76 3.00 3.23 3.46 3.68 3.89 4.10 4.31 4.50 4.70

All rated 0.10 0.19 0.29 0.38 0.48 0.57 0.66 0.75 0.84 0.93 1.01 1.10 1.19 1.27 1.35 1.43 1.51 1.60 1.68 1.76

*Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. N.A.--Not available (no observations for this horizon). Source: S&P GlobalFixed Income Research.

Table 37

Sovereign Local Currency Cumulative Average Default Rates With Rating Modifiers(1993-2018)*

(%) --Time horizon (annualized months)--

Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.09

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.05 2.35

AA- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.29 2.20 4.33 6.66 7.93 7.93

A+ 0.00 0.00 0.37 1.27 2.19 2.35 2.35 3.07 4.27 5.23 5.23 5.23 5.23 5.23 7.80

A 0.00 0.00 0.25 0.96 1.79 3.41 5.29 6.58 7.54 8.79 10.07 10.07 10.07 10.07 10.07

A- 0.00 0.06 0.90 0.97 0.97 0.97 0.97 0.97 0.97 2.01 3.41 6.10 8.96 12.14 13.80

BBB+ 0.00 0.31 0.44 0.44 0.44 0.44 0.44 0.62 1.77 1.96 1.96 1.96 1.96 1.96 1.96

BBB 0.00 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28 0.28

BBB- 0.00 0.86 1.81 2.87 4.05 5.35 8.13 9.75 9.75 9.75 9.75 9.75 9.75 9.75 9.75

BB+ 0.20 1.21 1.21 1.21 1.45 2.41 2.49 2.59 3.82 5.20 6.78 8.54 10.56 12.82 15.37

BB 1.52 1.96 1.96 1.96 1.96 1.96 3.05 4.47 4.47 4.47 4.47 4.47 4.47 4.47 4.47

BB- 0.61 1.38 2.62 3.82 5.53 6.67 7.68 9.23 10.42 10.42 10.42 10.42 10.42 10.42 10.42

B+ 0.46 1.11 1.33 1.33 1.33 1.42 1.93 1.93 2.47 4.27 4.61 4.61 4.61 4.61 4.61

B 0.98 1.64 2.96 4.14 5.38 7.05 8.03 9.13 9.85 9.85 9.85 9.85 9.85 9.85 9.85

B- 4.17 6.87 9.24 11.24 12.88 13.98 13.98 14.76 15.56 15.56 15.56 15.56 15.56 15.56 15.56

CCC+ 4.88 7.56 12.97 16.35 23.34 34.46 44.15 51.02 51.02 51.02 51.02 51.02 51.02 51.02 51.02

CCC 21.10 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46 30.46



Table 37

Sovereign Local Currency Cumulative Average Default Rates With Rating Modifiers(1993-2018)* (cont.)

(%) --Time horizon (annualized months)--

Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

CCC- 5.26 5.26 5.26 N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A.

CC 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54 40.54

Investmentgrade

0.00 0.12 0.33 0.55 0.78 1.03 1.37 1.67 1.97 2.29 2.65 3.03 3.46 3.93 4.43

Speculativegrade

1.63 2.73 3.66 4.40 5.31 6.36 7.17 8.05 8.78 9.35 9.73 10.12 10.58 11.13 11.83

All rated 0.58 1.03 1.49 1.88 2.33 2.83 3.32 3.79 4.21 4.60 4.96 5.34 5.77 6.26 6.80

*Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. Horizons consist of monthlycohorts for specified periods annualized. N.A.--Not available (no observations for this horizon). Source: S&P Global Fixed Income Research.

Table 38

Sovereign Foreign Currency Average Three-Year Transition Rates With Rating Modifiers (1975-2018)*



AAA 90.14 6.45 1.41 0.81 0.00 0.05 0.05 0.17 0.00 0.00 0.00 0.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.47

AA+ 20.11 57.07 15.23 4.88 0.00 0.18 0.00 0.54 0.00 0.36 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.63

AA 0.94 17.19 59.64 15.04 1.95 1.34 1.34 0.94 0.34 0.87 0.00 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 3.22 22.78 47.76 14.14 3.13 3.98 0.25 1.27 2.79 0.68 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 6.61 28.60 33.48 15.17 2.49 2.49 3.36 3.25 1.08 1.84 0.00 0.22 0.22 0.00 0.33 0.33 0.00 0.00 0.54 0.00

A 0.00 0.00 0.00 7.05 25.29 45.77 8.19 4.75 3.71 3.39 0.93 0.16 0.11 0.00 0.05 0.00 0.00 0.05 0.00 0.33 0.22 0.00

A- 0.00 0.00 0.00 0.65 3.95 24.06 50.26 12.10 2.46 1.75 0.39 1.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.91 1.49

BBB+ 0.00 0.00 0.00 0.00 3.58 7.73 21.77 36.29 18.00 10.08 0.94 0.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.66 0.09

BBB 0.00 0.00 0.00 0.00 0.55 4.42 13.73 18.29 34.02 12.91 8.35 2.21 1.24 1.45 0.35 0.07 0.69 0.00 0.00 0.00 1.52 0.21

BBB- 0.00 0.00 0.00 0.00 0.00 1.23 3.91 11.87 24.10 38.75 9.71 5.65 1.18 0.57 0.77 0.21 0.00 0.10 0.00 0.05 1.18 0.72

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.85 2.41 5.46 33.12 31.28 18.51 3.40 0.57 1.70 0.71 0.43 0.00 0.00 0.00 1.56 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.58 2.13 9.26 20.54 40.28 18.01 5.47 0.92 0.75 0.00 0.00 0.00 0.06 1.50 0.52

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.00 4.38 20.43 36.65 14.92 7.19 4.59 1.19 0.11 0.32 0.27 4.43 1.51

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.09 0.74 1.66 3.92 13.59 38.88 24.97 7.92 0.69 1.47 0.64 0.83 4.05 0.55

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.97 0.51 9.78 19.91 37.78 11.86 1.27 0.41 0.36 0.00 8.55 8.60

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.56 1.30 4.16 8.14 27.94 36.54 3.05 0.65 0.19 0.37 16.93 0.19

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.98 0.98 11.71 15.61 15.12 13.66 4.88 1.46 0.00 35.61 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.08 1.30 0.00 0.00 0.00 0.00 76.62 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.03 0.00 0.00 0.00 0.00 0.00 0.00 96.97 0.00



Table 38

Sovereign Foreign Currency Average Three-Year Transition Rates With Rating Modifiers (1975-2018)* (cont.)



CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00


Table 39

Sovereign Foreign Currency Average 10-Year Transition Rates With Rating Modifiers (1975-2018)*



AAA 73.80 12.40 6.25 2.60 0.84 0.12 0.31 1.19 0.20 0.00 0.00 0.55 0.00 0.59 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.16

AA+ 37.18 24.66 24.12 10.53 0.00 0.46 0.15 0.92 0.53 1.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 23.52 24.98 11.62 8.71 15.39 1.55 1.36 2.23 2.42 3.68 0.00 4.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 15.36 10.91 7.07 26.88 3.99 11.83 9.06 1.69 2.46 6.61 3.69 0.46 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 8.67 2.13 22.91 1.47 8.18 11.29 16.69 1.47 6.55 15.88 0.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.26 0.00

A 0.16 2.21 11.61 18.88 16.43 8.85 16.19 7.90 1.26 0.32 1.03 1.90 1.11 1.03 0.24 0.00 0.24 0.32 0.00 0.55 9.79 0.00

A- 0.00 0.00 1.39 13.42 17.20 13.42 16.00 5.17 9.24 12.43 7.75 3.08 0.89 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 2.25 3.21 1.93 16.53 26.48 15.41 3.05 13.80 6.58 2.25 0.64 0.00 3.37 0.96 2.41 0.00 0.00 0.00 1.12 0.00

BBB 0.00 0.00 0.99 9.68 3.72 13.90 14.14 9.93 9.31 7.94 6.70 8.68 0.74 0.37 0.87 1.74 0.00 0.00 0.00 0.00 3.72 7.57

BBB- 0.00 0.00 0.00 0.00 1.73 19.77 9.80 15.35 13.96 14.40 9.80 5.72 0.87 0.43 0.26 0.00 0.00 0.00 0.00 0.00 7.89 0.00

BB+ 0.00 0.00 0.00 0.00 3.59 3.08 8.92 8.92 6.15 17.44 7.08 10.87 13.95 4.51 1.74 6.46 0.62 0.00 0.00 0.00 6.67 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.75 17.40 19.66 7.39 14.79 14.97 8.57 2.71 0.99 0.63 0.00 0.00 0.00 5.14 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.40 1.92 12.00 10.28 5.65 17.44 9.07 5.34 4.44 6.45 0.71 1.71 0.40 0.40 22.38 1.41

B+ 0.00 0.00 0.00 0.00 0.00 0.19 0.00 0.00 6.39 5.43 3.72 3.34 9.72 22.21 11.44 8.10 0.00 1.05 0.38 0.10 22.78 5.15

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.85 1.09 2.67 2.96 14.91 16.49 11.55 6.52 0.10 1.18 0.00 0.10 28.63 9.97

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.13 2.45 7.72 25.24 13.37 5.46 5.27 17.14 0.00 0.00 0.00 0.00 22.22 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.61 0.00 0.00 0.00 1.65 5.79 0.00 0.00 0.00 0.00 85.95 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 41.86 0.00 0.00 0.00 0.00 0.00 58.14 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00




Table 40

Sovereign Foreign Currency Ratings One-Year Transition Matrix (2018)*


Ratingas of1st oftheyear AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC SD NR

AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 0.00 12.50 87.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 0.00 28.57 71.43 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 22.22 77.78 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 50.00 25.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 25.00 8.33 0.00 0.00 0.00 0.00 0.00 0.00

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.31 7.69 0.00 0.00 0.00 0.00 0.00 0.00

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 27.27 63.64 0.00 0.00 0.00 0.00 0.00 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 25.00 0.00 0.00 0.00 25.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. SD--Selective default. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 41

Sovereign Foreign Currency Ratings Three-Year Transition Matrix (2016-2018)*



AAA 84.62 7.69 7.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 60.00 0.00 40.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 83.33 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 16.67 50.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Table 41

Sovereign Foreign Currency Ratings Three-Year Transition Matrix (2016-2018)* (cont.)



A+ 0.00 0.00 0.00 16.67 66.67 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 33.33 0.00 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 14.29 28.57 57.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 25.00 62.50 0.00 0.00 0.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 16.67 0.00 0.00 50.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 40.00 20.00 10.00 0.00 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.43 0.00 0.00 14.29 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 20.00 40.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00 11.11 55.56 11.11 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 38.46 30.77 7.69 0.00 0.00 0.00 0.00 7.69 7.69

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 53.85 15.38 0.00 0.00 0.00 0.00 15.38 7.69

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45 27.27 9.09 0.00 0.00 0.00 18.18 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


Table 42

Sovereign Foreign Currency Ratings 10-Year Transition Matrix (2008-2018)*



AAA 57.89 15.79 10.53 0.00 5.26 0.00 5.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26

AA+ 0.00 33.33 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 25.00 0.00 75.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 16.67 33.33 0.00 0.00 16.67 0.00 16.67 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 0.00 0.00 60.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 0.00

A 0.00 0.00 9.09 27.27 0.00 9.09 18.18 9.09 0.00 0.00 0.00 9.09 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00

A- 0.00 0.00 0.00 0.00 0.00 0.00 50.00 25.00 0.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 20.00 0.00 40.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 0.00



Table 42

Sovereign Foreign Currency Ratings 10-Year Transition Matrix (2008-2018)* (cont.)



BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00

BBB- 0.00 0.00 0.00 0.00 0.00 28.57 0.00 14.29 0.00 42.86 0.00 0.00 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 33.33 11.11 0.00 11.11 11.11 11.11 0.00 0.00 0.00 0.00 0.00 11.11 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 60.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 11.11 0.00 11.11 0.00 11.11 22.22 0.00 0.00 0.00 0.00 0.00 11.11 11.11

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 9.09 63.64 0.00 0.00 0.00 0.00 0.00 9.09 9.09

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 15.38 23.08 23.08 0.00 0.00 0.00 0.00 0.00 23.08 7.69

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 0.00 25.00 0.00 0.00 0.00 0.00 50.00 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


Table 43

Sovereign Foreign Currency Ratings Original-To-Last Transition Matrix

(%)

Ratingas ofJanuary1st Total AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B-

AAA 20 50.00 15.00 15.00 5.00 5.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 3 0.00 0.00 33.33 33.33 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 5 20.00 0.00 20.00 20.00 20.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 3 0.00 33.33 33.33 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 9 0.00 0.00 11.11 0.00 11.11 22.22 33.33 11.11 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00

A- 8 0.00 0.00 0.00 0.00 0.00 0.00 25.00 25.00 0.00 0.00 12.50 0.00 0.00 12.50 0.00 0.00

BBB+ 2 0.00 0.00 0.00 50.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 8 0.00 0.00 0.00 25.00 25.00 12.50 0.00 0.00 0.00 12.50 0.00 0.00 0.00 12.50 0.00 0.00

BBB- 9 0.00 0.00 0.00 11.11 0.00 11.11 0.00 0.00 0.00 22.22 11.11 11.11 0.00 0.00 11.11 0.00

BB+ 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 16.67 16.67 16.67 0.00 0.00 0.00 0.00 0.00

BB 10 0.00 0.00 0.00 0.00 0.00 0.00 10.00 10.00 0.00 10.00 0.00 10.00 20.00 20.00 0.00 0.00

BB- 16 0.00 0.00 0.00 0.00 6.25 0.00 0.00 0.00 6.25 12.50 0.00 0.00 25.00 6.25 6.25 6.25



Table 43

Sovereign Foreign Currency Ratings Original-To-Last Transition Matrix (cont.)

(%)

Ratingas ofJanuary1st Total AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B-

B+ 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.55 9.09 22.73 31.82 13.64

B 17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.88 0.00 0.00 11.76 0.00 29.41 0.00

B- 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.00 5.00 0.00 5.00 0.00 10.00 15.00 20.00

CCC+ 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 0.00 0.00 0.00 12.50 37.50

CCC 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Note: Original-to-last transition rates compare the issuer rating at the time of first rating with the last rating, regardless of the time elapsed in the interim.Implied senior debt ratings through 1995; sovereign credit ratings thereafter. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 44

Sovereign Local Currency Average One-Year Transition Rates With Rating Modifiers (1993-2018)*



AAA 95.75 2.94 1.17 0.13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 5.61 78.67 9.64 3.37 0.19 0.00 0.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.25

AA 0.00 2.99 84.49 9.09 0.71 0.71 0.91 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 5.94 79.40 11.95 0.30 0.90 1.28 0.00 0.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 0.81 6.81 75.88 11.93 2.76 1.08 0.07 0.07 0.00 0.00 0.13 0.13 0.00 0.34 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.71 10.91 72.92 11.56 2.77 0.83 0.18 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 0.41 14.04 71.40 9.86 1.28 1.45 0.70 0.12 0.00 0.00 0.00 0.12 0.00 0.00 0.00 0.00 0.00 0.64

BBB+ 0.00 0.00 0.00 0.00 0.00 1.09 11.55 70.68 10.58 3.33 1.39 0.67 0.18 0.00 0.24 0.24 0.00 0.00 0.00 0.00 0.00 0.06

BBB 0.00 0.00 0.00 0.00 0.00 0.00 1.43 11.82 68.76 15.04 1.52 0.90 0.27 0.00 0.18 0.00 0.09 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.07 1.71 11.01 70.59 11.22 3.21 0.75 0.75 0.21 0.21 0.00 0.14 0.00 0.14 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.07 1.12 13.62 68.67 11.57 3.30 0.00 0.59 0.00 0.13 0.26 0.00 0.46 0.20 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.69 16.12 61.38 14.31 2.33 1.81 1.12 0.52 0.00 0.00 0.00 1.55 0.17

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.36 8.02 71.42 12.90 2.96 0.86 0.43 0.74 0.00 0.31 0.62 0.37

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.36 1.51 11.30 66.61 16.35 2.71 0.00 0.00 0.00 0.21 0.47 0.47

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.19 1.46 12.52 70.39 8.79 1.80 0.24 0.00 0.00 1.02 3.59

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.94 3.36 16.32 67.76 5.46 1.01 0.16 0.47 4.37 0.16

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.43 6.93 42.42 36.36 7.79 0.00 0.87 5.19 0.00



Table 44

Sovereign Local Currency Average One-Year Transition Rates With Rating Modifiers (1993-2018)* (cont.)



CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.88 38.46 1.92 25.96 11.54 1.92 17.31 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00 0.00 75.00 0.00 12.50 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 34.29 17.14 0.00 0.00 0.00 11.43 37.14 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. Average transitions over each 12-month cohort between 1993 and 2018 annualized. SD--Selective default. NR--Not rated.Source: S&P Global Fixed Income Research.

Table 45

Sovereign Local Currency Average Three-Year Transition Rates With Rating Modifiers (1993-2018)*



AAA 87.32 7.68 3.41 0.69 0.00 0.06 0.04 0.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.59

AA+ 15.93 47.36 12.31 15.20 0.31 1.65 1.45 2.38 0.00 0.62 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.79

AA 1.04 5.07 67.84 15.75 2.16 1.87 2.69 1.27 1.34 0.97 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 1.00 15.17 45.44 23.71 5.06 5.89 2.24 0.33 1.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 2.66 19.16 40.90 20.86 7.91 2.29 2.14 0.07 0.52 1.26 0.00 0.00 0.15 1.26 0.22 0.22 0.00 0.00 0.37 0.00

A 0.00 0.00 0.00 2.08 19.85 43.35 15.44 9.96 5.61 1.58 1.07 0.19 0.13 0.00 0.06 0.00 0.00 0.06 0.00 0.38 0.25 0.00

A- 0.00 0.00 0.00 0.67 9.15 24.63 36.92 13.62 3.67 4.14 0.40 3.40 0.40 0.00 0.40 0.00 0.00 0.00 0.00 0.07 0.93 1.60

BBB+ 0.00 0.00 0.00 0.00 2.86 4.78 19.67 38.14 12.82 11.03 5.98 1.26 0.66 0.00 0.80 1.06 0.00 0.13 0.00 0.13 0.47 0.20

BBB 0.00 0.00 0.00 0.00 0.00 0.58 6.21 16.99 38.35 19.22 13.11 2.52 1.17 0.19 0.00 0.00 0.00 0.00 0.00 0.00 0.29 1.36

BBB- 0.00 0.00 0.00 0.00 0.00 1.49 1.65 5.79 14.55 41.07 15.21 6.20 5.29 1.40 3.88 0.91 0.50 0.00 0.00 0.08 1.98 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 1.18 3.85 6.51 16.57 42.38 18.05 7.47 0.15 1.78 0.74 0.00 0.00 0.00 0.00 1.33 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.54 3.45 7.58 21.40 19.10 20.83 8.83 2.21 10.36 1.63 0.00 0.00 0.00 2.21 0.86

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.07 2.92 2.49 11.32 39.03 19.16 10.68 4.99 1.42 1.42 0.00 0.64 2.85 1.99

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.37 0.49 1.70 3.16 14.91 42.60 25.02 6.57 0.91 0.97 0.00 0.18 0.97 2.13

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.34 1.43 2.80 9.87 16.54 41.19 12.84 2.34 0.80 0.00 0.11 2.74 9.01

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.53 0.74 4.64 3.06 5.38 25.84 43.04 4.43 0.74 0.21 0.42 10.76 0.21

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.31 0.93 0.93 8.80 27.31 28.24 12.96 4.63 2.78 0.00 11.11 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.44 0.00 6.10 2.44 26.83 19.51 0.00 0.00 13.41 0.00 29.27 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00



Table 45

Sovereign Local Currency Average Three-Year Transition Rates With Rating Modifiers (1993-2018)* (cont.)



CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 34.62 34.62 0.00 0.00 0.00 0.00 0.00 30.77 0.00


Table 46

Sovereign Local Currency Average 10-Year Transition Rates With Rating Modifiers (1993-2018)*



AAA 74.50 12.60 4.33 2.87 1.65 0.16 0.43 1.62 0.27 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.57

AA+ 6.91 12.94 23.76 10.11 10.99 10.82 0.35 7.09 4.79 12.23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 4.57 5.29 31.41 10.11 20.46 6.14 6.62 2.89 3.01 4.57 0.00 4.93 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 9.59 0.15 7.37 30.09 13.27 6.49 10.77 2.95 1.92 8.70 6.49 0.74 0.00 0.00 0.29 0.00 0.44 0.44 0.00 0.00 0.29 0.00

A+ 0.21 2.92 20.02 17.62 8.24 12.83 13.45 7.51 3.96 3.23 4.48 0.21 0.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.38 0.00

A 0.00 0.00 5.41 6.79 9.44 16.76 17.82 4.88 5.09 3.92 0.85 6.47 2.12 1.38 0.53 0.00 0.00 0.11 0.00 0.74 11.24 6.47

A- 0.00 0.00 1.50 5.46 4.60 23.98 21.41 9.42 5.67 10.92 9.64 1.71 0.43 0.00 2.25 0.64 0.64 0.96 0.00 0.21 0.54 0.00

BBB+ 0.00 0.00 0.86 3.76 20.17 14.06 4.08 3.33 8.80 10.84 19.64 8.58 3.86 1.72 0.32 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 4.65 0.00 20.74 12.79 37.40 2.91 1.55 10.47 4.65 3.29 0.97 0.58 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.37 0.37 3.66 7.86 19.56 22.30 2.01 3.29 7.86 0.00 5.12 13.53 0.55 0.00 0.00 0.00 13.53 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 5.93 12.63 11.11 11.87 17.17 11.11 15.40 5.68 2.90 3.54 0.00 0.00 0.00 0.00 2.65 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 3.11 5.29 15.09 4.20 14.93 0.47 14.77 9.64 12.13 13.69 3.42 0.00 0.00 0.00 3.27 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.48 9.86 0.39 2.32 2.51 8.51 31.33 10.06 10.64 0.58 3.29 3.48 0.00 10.83 2.71

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.14 4.41 1.80 5.07 0.00 9.80 32.68 6.21 19.93 0.82 1.31 0.00 0.00 4.25 12.58

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.76 4.54 5.17 1.77 3.28 21.44 9.84 11.48 14.12 0.76 0.76 0.00 0.13 15.51 10.47

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.72 0.99 8.42 14.36 27.48 3.71 0.74 8.91 15.84 1.98 0.00 0.00 0.00 14.85 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.81 0.00 0.00 0.00 0.00 0.00 0.00 1.92 25.00 0.00 0.00 0.00 2.88 65.38 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.52 0.00 3.45 0.00 1.72 27.59 3.45 29.31 0.00 0.00 0.00 0.00 0.00 18.97 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.53 0.00 0.00 5.26 78.95 0.00 0.00 0.00 0.00 0.00 0.00 5.26 0.00




Table 47

Sovereign Local Currency Ratings One-Year Transition Matrix (2018)*


Ratingas of1st oftheyear AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B-

AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 0.00 14.29 85.71 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 0.00 30.00 70.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 20.00 80.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.00 90.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 60.00 0.00 20.00 0.00 0.00 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.29 57.14 28.57 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.71 14.29 0.00 0.00

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 25.00 8.33

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 92.31 7.69

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 23.08 69.23

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

*Implied senior debt rating through 1995; sovereign credit ratings thereafter. SD--Selective default. NR--Not rated. Source: S&P Global Fixed IncomeResearch.

Table 48

Sovereign Local Currency Ratings Three-Year Transition Matrix (2016-2018)*



AAA 84.62 7.69 7.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA+ 0.00 66.67 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 71.43 28.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00



Table 48

Sovereign Local Currency Ratings Three-Year Transition Matrix (2016-2018)* (cont.)



AA- 0.00 0.00 25.00 50.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 0.00 16.67 66.67 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 50.00 16.67 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A- 0.00 0.00 0.00 0.00 14.29 28.57 57.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB+ 0.00 0.00 0.00 0.00 0.00 0.00 28.57 28.57 14.29 0.00 14.29 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 60.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 33.33 16.67 0.00 16.67 8.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 80.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 25.00 25.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00 11.11 55.56 11.11 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 38.46 30.77 7.69 0.00 0.00 0.00 0.00 7.69 7.69

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.69 53.85 23.08 0.00 0.00 0.00 0.00 7.69 7.69

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 45.45 45.45 9.09 0.00 0.00 0.00 0.00 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


Table 49

Sovereign Local Currency Ratings 10-Year Transition Matrix (2009-2018)*



AAA 55.00 20.00 10.00 0.00 5.00 0.00 5.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.00

AA+ 0.00 50.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 20.00 20.00 60.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 0.00 0.00 14.29 42.86 0.00 0.00 14.29 0.00 14.29 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A+ 0.00 0.00 18.18 0.00 18.18 9.09 18.18 9.09 9.09 0.00 9.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 0.00

A 0.00 0.00 0.00 11.11 0.00 22.22 22.22 0.00 0.00 0.00 0.00 11.11 0.00 11.11 0.00 0.00 0.00 0.00 0.00 0.00 11.11 11.11

A- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00



Table 49

Sovereign Local Currency Ratings 10-Year Transition Matrix (2009-2018)* (cont.)



BBB+ 0.00 0.00 0.00 0.00 0.00 28.57 14.29 0.00 28.57 0.00 14.29 0.00 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 80.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 0.00 0.00 0.00 0.00 0.00 16.67 0.00 0.00 0.00 50.00 0.00 0.00 16.67 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 11.11 11.11 11.11 11.11 22.22 0.00 0.00 0.00 0.00 0.00 0.00 11.11 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 25.00 50.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.29 0.00 0.00 14.29 0.00 0.00 42.86 0.00 0.00 0.00 14.29 0.00 0.00 14.29

B+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 18.18 45.45 18.18 0.00 0.00 0.00 0.00 0.00 9.09

B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9.09 18.18 18.18 18.18 9.09 0.00 0.00 0.00 0.00 9.09 18.18

B- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 25.00 25.00 0.00 0.00 0.00 0.00 25.00 0.00

CCC+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CCC- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


Table 50

Sovereign Local Currency Ratings Original-To-Last Transition Matrix

(%)

Ratingas ofJan. 1 Total AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC D NR

AAA 25 44.00 16.00 12.00 4.00 8.00 0.00 4.00 0.00 4.00 4.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.00

AA+ 6 0.00 0.00 0.00 33.33 0.00 33.33 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.67 0.00

AA 7 0.00 0.00 42.86 14.29 28.57 0.00 14.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA- 4 0.00 0.00 0.00 25.00 0.00 0.00 25.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00

A+ 6 0.00 16.67 16.67 0.00 0.00 0.00 33.33 0.00 16.67 16.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 5 0.00 0.00 0.00 0.00 20.00 20.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00

A- 11 0.00 0.00 0.00 9.09 0.00 18.18 9.09 9.09 0.00 9.09 18.18 0.00 0.00 0.00 9.09 0.00 0.00 0.00 0.00 0.00 9.09 9.09

BBB+ 8 0.00 0.00 0.00 12.50 12.50 12.50 0.00 25.00 0.00 12.50 12.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 0.00

BBB 4 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 25.00 0.00 25.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB- 6 0.00 0.00 0.00 0.00 0.00 0.00 16.67 0.00 0.00 33.33 0.00 16.67 0.00 16.67 0.00 0.00 0.00 0.00 0.00 0.00 16.67 0.00

BB+ 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.50 12.50 12.50 12.50 25.00 12.50 0.00 12.50 0.00 0.00 0.00 0.00 0.00 0.00

BB 9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.22 22.22 33.33 11.11 0.00 0.00 0.00 0.00 11.11 0.00



Table 50

Sovereign Local Currency Ratings Original-To-Last Transition Matrix (cont.)

(%)

Ratingas ofJan. 1 Total AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC CCC- CC D NR

BB- 6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 16.67 16.67 0.00 0.00 0.00 0.00 0.00 16.67 16.67

B+ 19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.26 21.05 15.79 21.05 21.05 0.00 0.00 0.00 0.00 5.26 10.53

B 14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 0.00 0.00 0.00 42.86 14.29 0.00 0.00 0.00 0.00 21.43 14.29

B- 11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 18.18 9.09 27.27 9.09 0.00 9.09 0.00 27.27 0.00

CCC+ 5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 0.00 0.00 0.00 0.00 20.00 40.00 0.00 0.00 0.00 0.00 20.00 0.00

CCC 3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 33.33 0.00 0.00 0.00 0.00 0.00 33.33 0.00

CCC- 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CC 1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00

Note: Original-to-last transition rates compare the issuer rating at the time of first rating with the last rating, regardless of the time elapsed in the interim. Implied senior debt ratings through 1995; sovereigncredit ratings thereafter. NR--Not rated. Source: S&P Global Fixed Income Research.

Table 51

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Middle East And Africa (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

B 1.75 3.08 4.45 5.30 6.27 7.37 8.64 10.15 11.96 14.19 16.91 19.33 19.33 19.33 19.33

CCC/CC 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73 15.73

Investmentgrade

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Speculativegrade

1.58 2.50 3.43 3.99 4.60 5.28 6.03 6.88 7.83 8.92 10.17 11.23 11.23 11.23 11.23

All rated 0.93 1.46 1.99 2.30 2.65 3.02 3.44 3.91 4.42 5.01 5.68 6.25 6.25 6.25 6.25

*Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. Horizons consist of monthlycohorts for specified periods annualized. Source: S&P Global Fixed Income Research.



Table 52

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Latin America (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.08 8.13

BBB 0.00 0.72 1.76 2.92 4.23 5.72 7.42 9.40 11.68 14.27 17.21 20.40 23.88 27.06 27.06

BB 0.28 1.21 2.84 4.69 7.97 11.38 14.98 18.18 20.65 22.45 24.57 27.05 29.00 30.58 31.75

B 5.47 12.00 18.94 26.21 31.07 35.73 39.49 43.58 47.04 49.45 50.28 50.68 51.82 52.94 55.60

CCC/CC 35.80 55.03 66.50 70.63 76.14 82.02 88.36 92.60 92.60 92.60 92.60 92.60 92.60 92.60 92.60

Investmentgrade

0.00 0.40 0.98 1.60 2.27 3.02 3.85 4.77 5.80 6.94 8.21 9.62 11.16 12.89 14.84

Speculativegrade

4.47 8.79 13.23 17.51 21.62 25.70 29.53 33.16 35.86 37.77 39.28 40.84 42.37 43.66 45.12

All rated 2.83 5.73 8.79 11.81 14.77 17.80 20.73 23.59 25.85 27.58 29.06 30.61 32.18 33.62 35.24


Table 53

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Asia-Pacific (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 1.20 2.89 4.66 6.54 8.53 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92

BB 0.00 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10

B 0.81 2.67 3.88 5.20 5.43 5.43 5.43 5.43 5.43 5.43 5.43 5.43 5.43 5.43 5.43

CCC/CC 67.24 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97 68.97

Investmentgrade

0.00 0.22 0.53 0.84 1.17 1.51 1.75 1.75 1.75 1.75 1.75 1.75 1.75 1.75 1.75

Speculativegrade

2.16 3.19 3.79 4.42 4.53 4.53 4.53 4.53 4.53 4.53 4.53 4.53 4.53 4.53 4.53

All rated 0.74 1.24 1.64 2.07 2.32 2.56 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72




Table 54

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Central And Eastern Europe And CIS (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BB 0.37 1.31 1.56 1.56 1.56 1.56 1.56 2.85 4.79 7.05 7.89 7.89 7.89 7.89 7.89

B 0.23 0.75 2.39 4.17 6.07 7.07 7.99 8.56 8.56 8.56 10.69 14.06 17.57 20.28 20.28

CCC/CC 44.74 65.79 65.79 65.79 65.79 81.58 81.58 81.58 81.58 81.58 81.58 81.58 81.58 81.58 81.58

Investmentgrade

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Speculativegrade

1.06 2.20 2.96 3.64 4.37 5.16 6.03 7.01 8.10 9.35 10.75 12.30 14.00 15.38 15.38

All rated 0.50 1.03 1.38 1.68 2.01 2.35 2.73 3.13 3.58 4.07 4.61 5.22 5.90 6.47 6.47

*Default rates conditional on survival. Implied senior debt rating through 1995; sovereign credit ratings thereafter. Horizons consist of monthlycohorts for specified periods annualized. CIS--Commonwealth of Independent States. Source: S&P Global Fixed Income Research.

Table 55

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Eurozone (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.50

A 0.00 0.08 1.86 3.91 6.07 8.29 10.58 12.98 15.56 18.35 21.39 24.77 27.14 29.36 30.82

BBB 0.00 1.06 1.33 1.33 1.33 1.33 1.33 1.33 1.33 1.33 1.33 1.33 3.45 6.29 9.17

BB 3.16 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20

B 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70 3.70

CCC/CC 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76 61.76

Investmentgrade

0.00 0.15 0.55 0.97 1.41 1.86 2.32 2.81 3.31 3.84 4.39 4.97 5.59 6.23 6.92

Speculativegrade

9.06 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79 13.79

All rated 0.47 0.84 1.23 1.63 2.05 2.48 2.94 3.41 3.90 4.42 4.96 5.53 6.13 6.76 7.43




Table 56

Sovereign Foreign Currency Cumulative Average Default Rates Without RatingModifiers: Emerging Markets (1975-2018)*


Rating 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BBB 0.00 0.48 1.14 1.84 2.58 3.36 3.91 3.91 3.91 3.91 3.91 3.91 3.91 3.91 3.91

BB 0.56 2.13 3.11 3.93 4.76 5.63 6.52 7.45 7.69 7.69 7.69 7.69 7.69 7.69 7.69

B 2.14 5.72 8.57 11.57 13.41 15.07 16.83 18.69 20.64 20.81 20.81 20.81 20.81 20.81 20.81

CCC/CC 63.22 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37 64.37

Investmentgrade

0.00 0.31 0.74 1.19 1.67 2.18 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54

Speculativegrade

3.16 5.42 7.01 8.54 9.68 10.78 11.92 13.12 13.90 13.95 13.95 13.95 13.95 13.95 13.95

All rated 1.46 2.68 3.65 4.61 5.40 6.20 6.94 7.54 7.93 7.96 7.96 7.96 7.96 7.96 7.96


Table 57

Ratings On Other Sovereigns, Including The U.S., The U.K., And Canada, As Of Dec. 31,2018



U.S. AA+/Stable/A-1+ AA+/Stable/A-1+

U.K. AA/Negative/A-1+ AA/Negative/A-1+

Canada AAA/Stable/A-1+ AAA/Stable/A-1+

Denmark AAA/Stable/A-1+ AAA/Stable/A-1+

Norway AAA/Stable/A-1+ AAA/Stable/A-1+

Sweden AAA/Stable/A-1+ AAA/Stable/A-1+

Switzerland AAA/Stable/A-1+ AAA/Stable/A-1+

Iceland A/Stable/A-1 A/Stable/A-1

Israel AA-/Stable/A-1+ AA-/Stable/A-1+

Liechtenstein AAA/Stable/A-1+ AAA/Stable/A-1+

Andorra BBB/Stable/A-2 BBB/Stable/A-2

Benin B+/Stable/B B+/Stable/B

Guernsey AA-/Negative/A-1+ AA-/Negative/A-1+

Jersey AA-/Negative/A-1+ AA-/Negative/A-1+



Table 57

Ratings On Other Sovereigns, Including The U.S., The U.K., And Canada, As Of Dec. 31,2018 (cont.)



Uzbekistan BB-/Stable/B BB-/Stable/B

Note: The sovereign ratings on Cambodia, Gabon, Grenada, Isle of Man, Kyrgyzstan, Libya, Madagascar, Mali, Seychelles, and Tunisia werewithdrawn. Source: S&P Global Fixed Income Research.

Related Criteria And Research

Related Criteria

- Sovereign Rating Methodology, Dec. 18, 2017

Related Research

- Middle East And North Africa Sovereign Rating Trends 2019, Jan. 15, 2019

- Americas Sovereign Rating Trends 2019, Jan. 14, 2019

- Asia-Pacific Sovereign Rating Trends 2019, Jan. 14, 2019

- Central And Eastern Europe And CIS Sovereign Rating Trends 2019, Jan. 14, 2019

- Emerging Markets Sovereign Rating Trends 2019, Jan. 14, 2019

- Eurozone Sovereign Rating Trends 2019, Jan. 14, 2019

- Global Sovereign Rating Trends 2019, Jan. 14, 2019

- Sub-Saharan Africa Sovereign Rating Trends 2019, Jan. 14, 2019

The use of the term "methodology" in this article refers to data aggregation and calculation methods used in conductingthe research. It does not relate to S&P Global Ratings' methodologies, which are publicly available criteria used todetermine credit ratings.

This report does not constitute a rating action.





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