RPT 2023-03 10229476

2022 Transition and Default Studies
March 2023
Contacts
Ratings Performance Analytics Corporate Finance U.S. Public Finance (USPF) & Global Infrastructure and
David Li Global Corporate Finance Default Rates Project Finance (GIG)
Senior Director Global Corporate Finance Transition Rates USPF Default Rates
+1 646 582-4512 North American Corporate Finance Transition Rates USPF Transition Rates
david.li@fitchratings.com EMEA Corporate Finance Transition Rates USPF Sector-Specific Transition Rates
APAC Corporate Finance Transition Rates GIG Default Rates
Jake Han LATAM Corporate Finance Transition Rates GIG Transition Rates
Director, RPA EM–DM Corporate Finance Transition Rates
+1 646 582-4808 Closed-End Fund Transition Rates International Public Finance (IPF)
jake.han@fitchratings.com IPF Default Rates
IPF Transition Rates
Angela Kim Structured Finance (SF) IPF LC Transition Rates
Analyst, RPA Global SF Impairment Rates
+1 646 582-4510 Global SF Transition Rates Short-Term Ratings
angela.kim@thefitchgroup.com North America SF Transition Rates Short-Term Transition Rates
EMEA SF Transition Rates
APAC SF Transition Rates Viability Ratings
Covered Bond Transition Rates Viability Rating Transition Rates
Sovereign Gini Coefficients

Sovereign Default Rates Gini Coefficients by Sector
Sovereign Transition Rates Gini Coefficient Methodology
Sovereign LC Transition Rates
Supranational Transition Rates Transition and Default Methodology
Transition & Default Study Methodology
Back to Table of Contents
Fitch Global Corporate Finance Average Cumulative Default Rates: 1990–2022

(%) Year One Year Two Year Three Year Four Year Five Year Six Year Seven Year Eight Year Nine Year Ten
AAA 0.11 0.23 0.35 0.48 0.61 0.75 0.89 1.03 1.19 1.35
AA 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.06 0.06 0.08
A 0.04 0.14 0.23 0.32 0.42 0.53 0.71 0.86 1.05 1.21
BBB 0.12 0.33 0.58 0.86 1.17 1.49 1.73 1.99 2.27 2.58
BB 0.57 1.64 2.78 3.73 4.52 5.29 5.96 6.54 6.94 7.48
B 2.11 5.11 7.73 9.78 10.90 11.48 12.22 12.84 13.14 13.06
CCC to C 22.97 30.35 35.17 36.22 37.86 39.21 41.49 41.85 41.79 41.03
Investment Grade 0.08 0.21 0.37 0.53 0.70 0.89 1.06 1.22 1.40 1.59
Speculative Grade 2.60 4.86 6.80 8.16 9.20 9.99 10.82 11.39 11.67 11.97
All Global Corporate Finance 0.76 1.44 2.04 2.46 2.81 3.10 3.40 3.63 3.79 3.95
Fitch Global Corporate Finance Average Cumulative Default Rates: 1990–2022

Modifier Level
AAA 0.11 0.23 0.35 0.48 0.61 0.75 0.89 1.03 1.19 1.35
AA+ - - - - - - - - - -
AA - - - - - - - - - -
AA– 0.08 0.08 0.08 0.08 0.09 0.09 0.09 0.09 0.10 0.14
A+ - 0.06 0.10 0.14 0.19 0.24 0.30 0.34 0.38 0.39
A 0.07 0.19 0.34 0.49 0.65 0.82 1.03 1.26 1.56 1.79
A– 0.05 0.14 0.22 0.26 0.36 0.45 0.71 0.87 1.05 1.27
BBB+ 0.07 0.13 0.25 0.44 0.60 0.92 1.06 1.18 1.32 1.53
BBB 0.07 0.29 0.53 0.78 1.15 1.45 1.73 2.05 2.34 2.61
BBB– 0.23 0.57 1.01 1.42 1.82 2.18 2.51 2.87 3.31 3.83
BB+ 0.25 1.23 2.27 3.13 3.80 4.42 5.09 5.84 6.56 7.49
BB 0.48 1.45 2.19 3.55 4.73 5.59 6.16 6.55 6.85 7.10
BB– 1.04 2.32 4.01 4.62 5.18 6.04 6.79 7.37 7.50 7.88
B+ 1.53 3.89 6.15 7.86 9.14 9.54 10.30 10.83 11.17 11.01
B 2.05 5.26 8.52 11.27 12.48 13.17 14.07 14.82 15.41 15.96
B– 3.12 6.75 8.92 10.35 11.10 11.78 12.18 12.68 12.50 11.60
CCC to C 22.97 30.35 35.17 36.22 37.86 39.21 41.49 41.85 41.79 41.03
All Global Corporate Finance 0.76 1.44 2.04 2.46 2.81 3.10 3.40 3.63 3.79 3.95
Note: Corporate Finance includes financial and non-financial issuers.
Fitch Global Corporate Finance Three-Year Default Statistics

Ten-Year Average of Three-Year Cumulative Default Rates: Major Rating Categories
(%) AAA AA A BBB BB B
2011-2020 - - 0.03 0.19 1.69 8.14
Most Recent Three-Year Cumulative Default Rates

(%) AAA AA A BBB BB B
2020 - - - 0.31 3.35 8.65
2019 - - - 0.31 1.76 12.25
Ten-Year Average of Three-Year Cumulative Default Rates — Modifier Level

(%) AAA AA+ AA AA– A+ A A– BBB+ BBB BBB– BB+ BB BB– B+
2011-2020 - - - - - - 0.07 0.08 0.15 0.35 0.78 0.94 3.60 5.84
Most Recent Three-Year Cumulative Default Rates

(%) AAA AA+ AA AA– A+ A A– BBB+ BBB BBB– BB+ BB BB– B+
2020 - - - - - - - - 0.42 0.51 0.55 0.85 8.57 7.14
2019 - - - - - - - - - 0.94 0.52 0.93 3.74 7.53
Fitch Market Sector and Regional Default Rates
Fitch Global Financial Institutiona Average Cumulative Default Rates: 1990–2022
AAA 0.13 0.27 0.41 0.56 0.72 0.88 1.04 1.22 1.40 1.59
AA 0.06 0.06 0.06 0.06 0.07 0.07 0.07 0.07 0.07 0.10
A 0.06 0.16 0.26 0.36 0.45 0.56 0.77 0.96 1.17 1.36
BBB 0.13 0.42 0.77 1.08 1.49 1.92 2.25 2.62 3.02 3.41
BB 0.55 1.61 2.72 3.58 4.16 4.79 5.40 6.02 6.56 7.27
B 0.96 2.14 2.99 4.06 4.91 5.57 6.30 6.89 7.26 7.30
CCC to C 14.63 16.84 17.79 19.15 20.41 21.62 23.05 24.92 25.75 25.57
All Financial Institutions a
0.38 0.73 1.05 1.35 1.62 1.89 2.17 2.43 2.66 2.87
a
Includes banks, finance and insurance companies.
Fitch Global Non-Financial Corporate Average Cumulative Default Rates: 1990–2022

AAA - - - - - - - - - -
AA - - - - - - - - - -
A 0.01 0.09 0.18 0.25 0.38 0.48 0.62 0.71 0.85 0.98
BBB 0.11 0.27 0.47 0.72 0.95 1.21 1.40 1.58 1.77 2.03
BB 0.59 1.66 2.82 3.82 4.74 5.60 6.30 6.86 7.18 7.62
B 2.80 6.95 10.74 13.51 14.92 15.54 16.31 16.97 17.28 17.18
CCC to C 27.26 37.55 44.93 46.45 48.49 50.38 53.72 53.30 52.82 52.21
All Non-Financial Corporates 1.14 2.15 3.02 3.59 4.04 4.37 4.71 4.91 5.02 5.14
Fitch North American Corporate Finance Average Cumulative Default Rates: 1990–2022
AAA 0.27 0.56 0.86 1.18 1.50 1.84 2.19 2.55 2.92 3.31
AA 0.03 0.03 0.03 0.03 0.03 0.04 0.04 0.04 0.04 0.08
A 0.04 0.14 0.24 0.33 0.47 0.59 0.78 0.92 1.11 1.27
BBB 0.17 0.44 0.81 1.21 1.52 1.86 2.12 2.41 2.72 3.08
BB 0.62 1.74 2.93 3.89 4.66 5.45 6.00 6.70 7.29 7.99
B 1.93 5.20 8.11 10.08 10.78 11.22 11.99 12.70 13.68 14.54
CCC to C 24.80 32.85 39.34 42.79 46.21 48.02 51.43 52.32 51.90 50.94
All North America Corporate Finance 0.70 1.33 1.92 2.37 2.72 3.01 3.33 3.62 3.89 4.15
Fitch EMEA Corporate Finance Average Cumulative Default Rates: 1990–2022

AAA - - - - - - - - - -
AA 0.08 0.09 0.09 0.09 0.09 0.09 0.09 0.10 0.10 0.10
A 0.07 0.20 0.32 0.43 0.53 0.65 0.87 1.08 1.32 1.54
BBB 0.08 0.27 0.44 0.57 0.86 1.22 1.47 1.75 2.01 2.34
BB 0.38 0.93 1.60 2.32 2.85 3.45 4.07 4.84 5.43 6.23
B 1.51 3.60 5.44 7.09 8.47 9.52 10.37 10.89 10.97 10.54
CCC to C 16.87 20.77 23.63 23.57 23.22 22.18 22.58 21.78 20.00 20.11
All EMEA Corporate Finance 0.55 1.05 1.48 1.83 2.14 2.43 2.72 2.94 3.05 3.17
Fitch APAC Corporate Finance Average Cumulative Default Rates: 1990–2022
AAA - - - - - - - - - -
AA - - - - - - - - - -
A - - - - - - 0.06 0.06 0.07 0.07
BBB 0.03 0.07 0.07 0.08 0.21 0.32 0.39 0.42 0.46 0.50
BB 0.73 2.31 3.65 4.26 4.45 4.54 4.68 4.74 4.80 4.69
B 4.15 8.46 10.80 12.35 12.97 12.75 14.14 14.67 13.43 13.26
CCC to C 40.00 48.15 46.67 46.15 45.71 48.28 52.38 50.00 47.37 41.18
All APAC Corporate Finance 0.74 1.34 1.66 1.79 1.83 1.78 1.84 1.84 1.73 1.64
Fitch LATAM Corporate Finance Average Cumulative Default Rates: 1990–2022

AAA - - - - - - - - - -
AA - - - - - - - - - -
A - - - - - - - - - -
BBB 0.09 0.23 0.44 0.79 1.32 1.75 2.05 2.35 2.77 3.12
BB 0.70 2.12 3.75 5.22 6.79 8.16 9.44 9.83 9.76 9.99
B 2.91 6.90 10.89 14.16 15.72 15.98 16.17 16.83 16.62 15.33
CCC to C 22.80 33.33 39.17 37.88 38.46 42.51 45.70 45.97 48.51 49.00
All LatAm Corporate Finance 1.90 3.62 5.18 6.25 7.24 8.00 8.63 8.94 9.09 9.18
B B–
8.48 11.48
B B–
9.09 11.22
16.35 12.50
Fitch Global Corporate Finance One-Year Transition Matrix: 2022 Cohort

No. (%) AAA AA A BBB BB B CCC to C D WD
24 AAA 100.00 - - - - - - - -
150 AA - 93.33 2.00 - - - - - 4.67
780 A - 0.38 93.46 2.69 - - - - 3.46
1,368 BBB - - 2.34 89.47 0.80 - - 0.15 7.24
768 BB - - - 4.30 80.73 2.47 0.39 0.26 11.85
634 B - - - 0.32 3.63 76.50 3.31 2.37 13.88
79 CCC to C - - - - - 12.66 54.43 17.72 15.19
Fitch Global Corporate Finance Transition Matrices: 1990–2022

Average Annual
897 AAA 89.07 4.91 0.22 - - - - 0.11 5.69
6,310 AA 0.13 86.34 8.48 0.32 0.02 0.02 - 0.05 4.66
20,458 A 0.005 1.47 89.10 4.91 0.34 0.04 0.03 0.04 4.06
24,103 BBB 0.004 0.09 2.62 87.97 3.18 0.29 0.09 0.12 5.63
10,272 BB - 0.02 0.08 6.47 77.74 5.77 1.00 0.57 8.34
7,816 B - - 0.15 0.24 6.60 75.83 4.58 2.11 10.48
1,206 CCC to C - - - 0.17 1.33 16.58 46.60 22.97 12.35
Average Two-Year
873 AAA 79.61 7.90 0.69 - - - - 0.23 11.57
6,160 AA 0.21 75.21 14.53 1.02 0.13 - 0.02 0.05 8.83
19,678 A 0.01 2.52 79.61 8.58 0.67 0.15 0.03 0.14 8.31
22,735 BBB 0.01 0.16 4.71 77.57 5.12 0.79 0.26 0.33 11.07
9,504 BB - 0.05 0.16 11.85 60.88 8.46 1.48 1.64 15.48
7,182 B - - 0.22 0.50 11.21 57.50 5.29 5.11 20.16
1,127 CCC to C - - - 0.18 3.55 22.80 24.40 30.35 18.72
Average Three-Year
853 AAA 70.34 10.79 1.17 0.12 - - - 0.35 17.23
6,015 AA 0.30 65.69 19.22 1.76 0.20 0.03 0.02 0.05 12.73
18,883 A 0.01 3.41 71.25 11.11 1.07 0.27 0.02 0.23 12.63
21,451 BBB 0.01 0.21 6.20 68.90 6.15 1.25 0.34 0.58 16.34
8,841 BB - 0.07 0.37 15.10 48.60 9.51 1.56 2.78 22.00
6,635 B - - 0.30 1.18 13.37 44.39 4.72 7.73 28.32
1,032 CCC to C - - - 1.55 3.97 23.45 14.05 35.17 21.80
Average Four-Year
833 AAA 61.82 12.48 1.92 0.24 - - - 0.48 23.05
5,877 AA 0.36 58.28 22.17 2.28 0.32 0.05 - 0.05 16.49
18,065 A 0.01 3.99 64.09 12.83 1.52 0.34 0.08 0.32 16.84
20,155 BBB 0.02 0.24 7.30 61.58 6.66 1.67 0.40 0.86 21.28
8,214 BB - 0.06 0.60 17.52 39.16 9.69 1.40 3.73 27.84
6,115 B - - 0.33 2.01 14.55 35.00 3.55 9.78 34.78
947 CCC to C - - 0.11 2.96 3.59 21.86 10.03 36.22 25.24
Average Five-Year
818 AAA 53.91 13.45 2.69 0.73 - - - 0.61 28.61
5,735 AA 0.38 51.96 24.38 2.81 0.45 0.05 - 0.05 19.91
17,284 A 0.01 4.44 57.65 14.31 1.75 0.50 0.09 0.42 20.82
18,875 BBB 0.03 0.23 8.07 55.22 7.01 1.97 0.43 1.17 25.88
7,590 BB - 0.04 0.69 19.22 32.49 8.67 1.25 4.52 33.12
5,617 B - - 0.39 3.17 13.78 28.43 2.67 10.90 40.66
906 CCC to C - - 0.22 3.64 3.31 19.65 7.28 37.86 28.04
Average Ten-Year
743 AAA 24.63 12.92 7.40 2.69 - - - 1.35 51.01
5,053 AA 0.26 29.33 28.24 5.78 1.27 0.22 0.02 0.08 34.81
13,354 A - 4.58 34.66 17.22 2.55 0.94 0.20 1.21 38.63
12,818 BBB 0.05 0.34 8.81 35.12 5.83 1.99 0.30 2.58 44.98
4,970 BB - 0.06 1.41 19.32 15.19 6.26 0.87 7.48 49.42
3,813 B - - 0.29 6.45 8.73 10.86 1.65 13.06 58.96
624 CCC to C - - 0.32 4.65 5.13 9.62 0.32 41.03 38.94
Fitch Global Corporate Finance Transition Matrices: 1990–2022

Average Annual
No. (%) AAA AA+ AA AA– A+ A A– BBB+ BBB BBB– BB+ BB BB– B+ B B– CCC to C D WD
897 AAA 89.07 2.90 1.67 0.33 0.11 0.11 - - - - - - - - - - - 0.11 5.69
642 AA+ 0.93 77.57 11.21 3.89 0.31 0.62 0.16 - - - - - - - - - - - 5.30
1,747 AA 0.06 2.46 75.33 10.70 4.18 0.63 0.11 0.11 0.06 0.11 - - 0.06 - - - - - 6.18
3,921 AA– 0.03 0.08 3.34 80.92 8.77 2.01 0.48 0.15 0.23 - - - - - - 0.03 - 0.08 3.88
5,427 A+ - 0.04 0.11 4.51 79.36 8.66 1.57 0.64 0.41 0.13 - 0.04 - - - - 0.02 - 4.51
7,670 A 0.01 - 0.13 0.37 4.49 81.17 7.65 1.40 0.59 0.21 0.14 0.07 0.03 0.01 0.05 - 0.01 0.07 3.61
7,361 A– - - 0.05 0.07 0.61 5.49 78.26 8.41 1.51 0.58 0.12 0.07 0.48 - 0.05 - 0.05 0.05 4.18
8,058 BBB+ - - 0.01 0.07 0.24 0.53 5.98 77.87 7.50 1.40 0.47 0.14 0.20 0.02 0.06 0.01 0.05 0.07 5.36
8,628 BBB - - 0.03 0.09 0.05 0.17 0.58 7.30 77.12 6.64 1.07 0.67 0.14 0.09 0.08 0.03 0.13 0.07 5.73
7,417 BBB- 0.01 0.01 0.01 0.03 0.05 0.03 0.16 0.82 9.91 74.94 5.19 1.23 0.86 0.22 0.28 0.11 0.08 0.23 5.82
3,647 BB+ - 0.05 - - 0.05 0.05 0.05 0.22 1.29 13.08 65.37 6.80 2.66 1.12 0.63 0.33 0.60 0.25 7.43
3,351 BB - - - - - - - 0.18 0.42 2.60 10.86 65.29 7.34 2.21 0.72 0.84 0.87 0.48 8.21
3,274 BB– - - - - - - 0.06 0.09 0.24 0.46 2.72 11.18 61.18 7.27 3.79 0.89 1.59 1.04 9.50
2,943 B+ - - - - - - 0.07 0.03 0.17 0.14 0.24 1.87 12.10 60.01 8.94 3.74 1.36 1.53 9.82
2,980 B - - - - - 0.13 0.07 - 0.07 0.10 0.03 0.57 2.25 10.91 59.26 9.87 4.63 2.05 10.07
1,893 B– - - - - - 0.16 0.05 - 0.11 0.11 0.05 0.11 0.53 2.85 13.58 57.69 9.51 3.12 12.15
1,206 CCC to C - - - - - - - 0.08 - 0.08 - 0.08 1.24 0.66 3.48 12.44 46.60 22.97 12.35
Average Three-Year
853 AAA 70.34 3.75 4.92 2.11 0.70 0.35 0.12 - 0.12 - - - - - - - - 0.35 17.23
632 AA+ 2.37 49.05 15.98 9.34 6.33 2.53 0.16 0.47 0.16 - - - - - - - - - 13.61
1,681 AA - 5.53 43.72 18.32 11.12 2.91 0.77 0.65 0.42 0.59 0.06 0.18 - - - - - - 15.70
3,702 AA– 0.08 0.43 6.48 56.43 14.72 6.48 1.76 1.24 0.68 0.08 0.14 0.05 0.03 0.03 0.03 - 0.03 0.08 11.24
5,051 A+ - 0.04 0.69 9.27 51.85 15.96 5.17 1.98 1.17 0.42 0.24 0.20 0.12 0.04 0.04 0.06 - 0.10 12.67
7,073 A - 0.01 0.37 1.23 8.86 54.87 14.28 4.59 1.47 0.72 0.48 0.17 0.61 0.03 0.13 0.03 0.04 0.34 11.76
6,759 A– 0.01 - 0.09 0.28 2.49 10.83 49.58 14.96 4.20 2.12 0.55 0.47 0.24 0.16 0.19 0.10 - 0.22 13.51
7,228 BBB+ - - 0.08 0.25 0.48 1.99 11.47 48.92 13.59 3.92 1.37 0.54 0.33 0.12 0.61 0.14 0.26 0.25 15.68
7,700 BBB 0.01 - 0.05 0.09 0.13 0.58 2.52 14.91 47.74 10.92 2.91 1.26 0.78 0.48 0.36 0.25 0.34 0.53 16.13
6,523 BBB- 0.03 0.05 0.06 0.05 0.15 0.25 0.72 3.08 19.19 43.86 7.30 3.07 1.53 1.00 0.60 0.28 0.44 1.01 17.34
3,220 BB+ - 0.16 - 0.03 0.25 0.12 0.19 1.12 5.19 20.22 31.37 9.47 4.78 2.98 1.24 0.75 0.87 2.27 19.01
2,879 BB - - - - 0.03 0.07 0.21 0.31 1.84 9.24 14.21 29.66 9.83 3.65 2.36 1.15 2.01 2.19 23.24
2,742 BB– - - - - - 0.04 0.18 0.40 1.39 3.79 6.35 13.89 26.51 9.74 5.07 2.52 1.90 4.01 24.22
2,488 B+ - - - - - 0.04 0.08 0.20 0.64 1.09 2.25 6.35 14.83 24.00 9.28 4.66 2.57 6.15 27.85
2,522 B - - - - - 0.16 0.20 0.04 0.08 0.67 0.56 2.14 6.66 14.63 22.76 10.15 6.30 8.52 27.12
1,625 B– - - - - - 0.25 0.25 0.12 0.06 0.43 0.25 1.29 2.65 6.03 18.71 24.62 5.54 8.92 30.89
1,032 CCC to C - - - - - - - 0.10 0.10 1.36 1.45 0.58 1.94 2.71 7.36 13.37 14.05 35.17 21.80
Average Five-Year
818 AAA 53.91 4.28 5.87 3.30 0.86 1.47 0.37 0.12 0.61 - - - - - - - - 0.61 28.61
621 AA+ 2.74 29.47 17.07 11.11 9.02 8.53 1.29 0.81 0.32 - - - - - - - - - 19.65
1,631 AA 0.06 5.89 26.61 23.11 8.83 6.93 2.51 1.10 0.92 0.67 0.12 0.18 - - - - - - 23.05
3,483 AA– 0.11 0.75 6.63 41.86 15.96 9.30 2.96 1.87 1.06 0.23 0.46 0.14 - - 0.09 - - 0.09 18.49
4,705 A+ - 0.04 1.40 9.97 36.51 17.24 7.29 3.68 1.42 0.74 0.55 0.40 0.13 - 0.04 0.13 0.09 0.19 20.17
6,425 A - 0.02 0.68 2.07 9.67 37.56 15.97 6.44 2.65 1.14 0.56 0.44 0.93 0.16 0.23 0.06 0.09 0.65 20.68
6,154 A– 0.02 - 0.16 0.68 3.90 12.37 33.02 16.04 5.85 3.17 0.96 0.68 0.44 0.18 0.44 0.18 0.10 0.36 21.47
6,379 BBB+ - - 0.05 0.31 1.03 3.12 12.40 32.56 14.19 5.91 1.54 1.14 0.50 0.39 0.61 0.27 0.56 0.60 24.82
6,795 BBB 0.04 - 0.01 0.09 0.26 1.00 3.90 16.63 32.89 10.52 3.41 1.60 1.12 1.04 0.54 0.35 0.26 1.15 25.15
5,701 BBB- 0.04 0.09 0.05 0.09 0.16 0.49 1.40 5.81 18.75 27.77 7.12 3.21 2.00 1.49 0.72 0.58 0.47 1.82 27.94
2,843 BB+ - 0.07 - - 0.28 0.28 0.53 1.86 8.65 17.94 17.94 8.51 4.05 2.99 1.65 1.34 0.53 3.80 29.58
2,429 BB - - - 0.04 0.12 0.12 0.12 0.54 4.90 10.70 12.47 15.44 7.41 3.50 2.43 1.28 1.77 4.73 34.42
2,318 BB– - - - - - 0.13 0.39 0.69 2.72 7.72 7.16 9.49 15.31 7.12 3.71 2.67 1.60 5.18 36.11
2,078 B+ - - - - - 0.10 0.14 0.53 1.35 3.08 2.79 7.03 10.68 13.47 6.11 3.61 1.83 9.14 40.13
2,116 B - - - - - 0.09 0.38 0.24 0.90 1.56 1.13 4.63 6.38 10.92 10.96 7.14 3.26 12.48 39.93
1,423 B– - - - - - 0.14 0.35 0.21 0.14 0.91 0.70 1.90 3.79 7.10 15.25 12.86 3.02 11.10 42.52
906 CCC to C - - - - - - 0.22 - - 3.64 0.88 0.88 1.55 2.54 7.06 10.04 7.28 37.86 28.04
Average Ten-Year
743 AAA 24.63 3.63 4.17 5.11 3.23 3.23 0.94 1.35 1.35 - - - - - - - - 1.35 51.01
588 AA+ 1.02 9.01 9.52 10.03 9.35 16.67 4.59 5.27 0.85 1.19 0.51 0.34 - - - 0.17 - - 31.46
1,524 AA 0.26 1.97 9.71 19.16 11.55 11.35 4.00 3.22 0.92 0.33 0.66 0.39 0.13 0.07 0.13 0.13 0.07 - 35.96
2,941 AA– 0.10 0.71 5.85 22.14 12.04 11.70 4.73 3.26 1.70 1.19 0.82 0.37 0.20 0.14 - 0.03 - 0.14 34.89
3,812 A+ - 0.10 1.23 7.71 18.65 14.30 9.23 6.22 2.83 1.26 0.76 0.71 0.26 0.16 0.24 0.26 0.18 0.39 35.49
4,962 A - 0.10 1.01 2.70 6.87 15.48 13.89 9.07 4.11 2.10 1.13 0.52 0.93 0.38 0.46 0.12 0.14 1.79 39.20
4,580 A– - 0.04 0.07 1.59 4.02 8.06 14.61 13.62 7.01 4.45 1.46 0.94 0.81 0.46 0.35 0.35 0.28 1.27 40.61
4,386 BBB+ 0.02 - 0.02 0.57 1.66 4.04 9.07 16.12 12.27 6.77 2.01 1.28 0.89 0.48 0.32 0.14 0.41 1.53 42.41
4,830 BBB 0.10 - 0.10 0.17 0.31 1.28 5.61 12.57 16.21 8.30 2.65 1.41 1.30 0.75 0.54 0.60 0.27 2.61 45.22
3,602 BBB- - - 0.03 0.08 0.36 0.61 2.72 7.52 12.30 12.63 4.50 2.69 1.28 1.72 1.00 0.69 0.22 3.83 47.81
1,815 BB+ - - - 0.06 0.17 0.55 1.16 3.31 9.26 10.91 7.66 4.85 2.09 2.15 2.09 1.10 0.39 7.49 46.78
1,620 BB - - - 0.06 0.12 0.43 0.93 1.79 6.73 8.46 6.23 5.93 4.01 3.21 1.60 0.93 1.73 7.10 50.74
1,535 BB– - - - 0.07 0.07 0.33 0.39 1.95 6.64 8.27 4.69 5.34 4.82 3.84 2.48 1.56 0.52 7.88 51.14
1,344 B+ - - - - 0.15 0.07 0.07 0.74 3.13 4.46 2.98 2.98 4.54 3.42 2.68 2.60 1.71 11.01 59.45
1,460 B - - - - - 0.07 0.27 0.41 3.63 3.08 0.89 2.40 4.11 4.45 3.97 1.44 1.23 15.96 58.08
1,009 B– - - - - 0.10 0.10 - 0.89 1.19 0.89 0.69 3.87 3.77 3.67 6.14 5.35 2.18 11.60 59.56
624 CCC to C - - - - - 0.16 0.16 0.32 2.88 1.44 0.32 2.24 2.56 2.56 4.17 2.88 0.32 41.03 38.94
Fitch Global Corporate Finance One-Year Transition Matrix: 2022 Cohort

24 AAA 100.00 - - - - - - - - - - - - - - - - - -
5 AA+ - 100.00 - - - - - - - - - - - - - - - - -
36 AA - - 94.44 - - - - - - - - - - - - - - - 5.56
109 AA– - - 0.92 91.74 2.75 - - - - - - - - - - - - - 4.59
190 A+ - - - 1.05 85.79 7.89 1.05 - - - - - - - - - - - 4.21
300 A - - - 0.33 2.00 86.33 5.33 2.67 - - - - - - - - - - 3.33
290 A– - - - - - 4.83 87.59 3.79 0.69 - - - - - - - - - 3.10
430 BBB+ - - - - - 0.23 6.98 86.51 3.26 0.70 - - - - - - - - 2.33
480 BBB - - - - - - 0.21 5.83 79.79 3.13 0.42 - - - - - - 0.21 10.42
458 BBB- - - - - - - - 1.75 10.04 77.51 1.31 0.66 - - - - - 0.22 8.52
222 BB+ - - - - - - - - 0.90 13.06 72.97 1.35 1.35 - - - - - 10.36
252 BB - - - - - - - - - 0.79 7.94 71.03 4.76 - 0.40 0.40 - 0.40 14.29
294 BB– - - - - - - - - - - 0.34 5.78 75.85 2.72 3.06 - 1.02 0.34 10.88
244 B+ - - - - - - - - - - - - 7.79 48.77 11.07 17.62 0.41 2.05 12.30
244 B - - - - - - - - - 0.82 - - 1.64 5.74 51.23 19.26 4.51 1.64 15.16
146 B– - - - - - - - - - - - - - 2.05 6.16 67.12 6.16 4.11 14.38
79 CCC to C - - - - - - - - - - - - - - 2.53 10.13 54.43 17.72 15.19
Fitch Global Corporate Finance Three-Year Transition Matrix: 2020 Cohort

20 AAA 100.00 - - - - - - - - - - - - - - - - - -
5 AA+ 20.00 60.00 20.00 - - - - - - - - - - - - - - - -
25 AA - 8.00 72.00 8.00 - - - - - - - - - - - - - - 12.00
108 AA– - - 10.19 73.15 12.04 - - - - - - - - - - - - - 4.63
178 A+ - - 1.69 6.18 69.10 11.24 1.12 - - - - - - - - - - - 10.67
329 A - - - 0.61 9.73 66.57 13.37 1.82 0.30 0.61 - - - - - - - - 6.99
311 A– - - - - - 7.72 59.16 15.76 2.25 1.29 - - - - - 0.32 - - 13.50
423 BBB+ - - - - - 0.24 10.17 61.70 12.06 0.71 0.71 - 0.24 - - - - - 14.18
478 BBB - - - - - - 1.05 13.18 50.63 10.88 5.65 0.21 0.21 - - - - 0.42 17.78
395 BBB- - - - - - - - 1.52 16.96 51.65 7.59 2.53 0.51 0.25 - - - 0.51 18.48
183 BB+ - - - - - - - - 4.37 14.75 32.24 10.38 6.56 0.55 - - - 0.55 30.60
234 BB - - - - - - - - - 5.56 11.97 34.19 15.81 2.56 0.85 1.28 - 0.85 26.92
210 BB– - - - - - - - - - 0.48 1.43 6.67 35.71 5.24 7.62 4.76 2.38 8.57 27.14
224 B+ - - - - - - - - - 0.89 - 4.02 6.25 19.20 11.61 20.98 - 7.14 29.91
198 B - - - - - - - - - - - 0.51 3.03 7.58 18.18 16.67 5.56 9.09 39.39
98 B– - - - - - - - - - 2.04 1.02 - 2.04 1.02 2.04 24.49 8.16 11.22 47.96
85 CCC to C - - - - - - - - - - - - 7.06 1.18 2.35 2.35 17.65 51.76 17.65
Fitch Global Corporate Finance Five-Year Transition Matrix: 2018 Cohort

15 AAA 93.33 - - - - - - - - - - - - - - - - - 6.67
6 AA+ 33.33 50.00 16.67 - - - - - - - - - - - - - - - -
23 AA - 8.70 47.83 26.09 - - - - - - - - - - - - - - 17.39
108 AA– - - 10.19 61.11 16.67 - 0.93 - - - - - - - - - - - 11.11
167 A+ - - 1.80 4.79 53.89 19.16 0.60 - 1.20 - - - - - - - - - 18.56
298 A - - 1.01 0.67 13.09 48.66 16.11 3.36 0.34 0.67 0.34 - - - - 0.34 - - 15.44
327 A– - - - - 0.31 16.82 42.20 14.98 3.67 0.61 - - - - - - - 0.61 20.80
427 BBB+ - - - - 0.70 1.64 12.41 48.24 10.07 3.75 0.70 - 0.23 - - - - - 22.25
379 BBB - - - - - - 2.11 16.89 44.06 9.23 6.86 0.26 - - - - - - 20.58
416 BBB- - - - - - - 0.72 4.81 17.79 32.69 6.73 3.37 1.68 - 0.72 3.85 - 0.96 26.68
242 BB+ - - - - - - 0.41 0.83 5.79 9.09 14.46 13.22 8.26 2.89 1.65 5.79 - 2.48 35.12
176 BB - - - - - - - 1.14 0.57 8.52 11.93 18.75 15.91 1.70 2.27 1.14 - 1.70 36.36
181 BB– - - - - - - - - - 4.42 3.87 4.42 18.23 7.18 1.66 8.84 - 4.97 46.41
171 B+ - - - - - - - - 0.58 1.17 1.17 4.09 7.60 9.94 4.68 6.43 1.17 13.45 49.71
149 B - - - - - - - - - - 0.67 2.01 2.68 7.38 6.71 10.07 7.38 22.82 40.27
90 B– - - - - - - - - - - - 6.67 2.22 3.33 2.22 13.33 7.78 13.33 51.11
49 CCC to C - - - - - - - - - - - - 2.04 - - - 6.12 53.06 38.78
Fitch Global Corporate Finance Ten-Year Transition Matrix: 2013 Cohort

15 AAA 73.33 - - - - - - - - - - - - - - - - - 26.67
8 AA+ 12.50 37.50 12.50 - 12.50 - - - - - - - - - - - - - 25.00
17 AA - - 23.53 23.53 5.88 - - - - - - - - - - - - - 47.06
92 AA– - - 9.78 46.74 19.57 4.35 2.17 - - - - - - - - - - - 17.39
198 A+ - - 2.53 10.61 27.78 17.17 5.56 4.55 1.01 - 0.51 - - - - - - - 30.30
315 A - - 1.59 1.27 11.43 25.08 13.97 9.52 1.59 0.95 0.63 - - - - - - 0.95 33.02
277 A– - - - - 2.17 12.64 20.22 15.52 5.05 1.08 0.36 0.72 0.36 - - - - - 41.88
374 BBB+ - - - 0.27 0.53 1.60 12.30 22.99 9.63 2.67 0.80 1.60 2.94 0.27 - - - 0.53 43.85
422 BBB - - - - - 0.24 4.27 13.74 17.30 9.24 2.61 0.95 2.61 0.47 - 2.61 - 0.95 45.02
360 BBB- - - - - - 0.28 2.22 4.72 16.67 14.72 7.22 3.61 1.94 0.56 0.56 2.50 - 0.56 44.44
184 BB+ - - - - - - - 1.63 9.24 9.78 10.33 5.98 4.35 0.54 1.09 0.54 - 5.43 51.09
156 BB - - - - - 0.64 - 1.92 4.49 8.33 5.13 5.77 5.13 3.21 1.92 1.28 - 2.56 59.62
132 BB– - - - - - - 0.76 - 2.27 9.09 3.79 4.55 5.30 1.52 1.52 1.52 - 11.36 58.33
125 B+ - - - - - - - - - 2.40 4.80 0.80 4.00 2.40 0.80 4.00 0.80 11.20 68.80
167 B - - - - - - 0.60 - - - 0.60 2.99 2.99 4.79 1.80 0.60 1.80 19.76 64.07
91 B– - - - - - - - - - - - 2.20 5.49 3.30 1.10 3.30 5.49 14.29 64.84
43 CCC to C - - - - - - - - - - - - - - - - - 51.16 48.84
Fitch Global Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

23 AAA 100.00 - - - - - - - -
127 AA - 92.91 2.36 - - - - - 4.72
515 A - 0.58 93.98 2.33 - - - - 3.11
486 BBB - - 4.94 88.27 0.21 - - 0.41 6.17
243 BB - - - 2.06 81.07 1.23 - 0.82 14.81
175 B - - - - 3.43 83.43 4.57 - 8.57
18 CCC to C - - - - - 22.22 61.11 11.11 5.56
a
Fitch Global Financial Institutionsa Average Annual Transition Matrix: 1990-2022

775 AAA 89.55 4.26 0.26 - - - - 0.13 5.81
4,985 AA 0.14 87.06 7.68 0.28 0.02 0.02 - 0.06 4.73
12,780 A 0.01 1.95 89.15 3.93 0.35 0.03 0.01 0.06 4.51
9,296 BBB - 0.22 3.74 85.64 3.41 0.40 0.10 0.13 6.37
3,848 BB - 0.05 0.13 6.86 77.21 5.59 1.22 0.55 8.39
2,926 B - - 0.14 0.17 6.97 79.70 3.62 0.96 8.44
410 CCC to C - - - - 2.44 20.24 48.54 14.63 14.15
a
Fitch Global Financial Institutionsa Average Annual Transition Matrix: 1990-2022

775 AAA 89.55 2.97 1.16 0.13 0.13 0.13 - - - - - - - - - - - 0.13 5.81
462 AA+ 1.08 76.41 11.47 4.55 0.22 0.22 - - - - - - - - - - - - 6.06
1,293 AA 0.08 2.55 74.17 11.29 3.94 0.54 0.08 0.08 - 0.08 - - 0.08 - - - - - 7.12
3,230 AA– 0.03 0.03 3.50 82.38 7.80 1.76 0.40 0.12 0.25 - - - - - - 0.03 - 0.09 3.59
3,924 A+ - 0.05 0.13 5.28 79.26 7.67 1.38 0.59 0.31 0.05 - 0.03 - - - - - - 5.28
4,866 A 0.02 - 0.16 0.41 5.90 81.07 6.66 1.11 0.45 0.21 0.06 0.04 - - - - 0.02 0.10 3.78
3,990 A– - - 0.10 0.08 0.80 6.72 77.02 7.34 1.53 0.63 0.13 - 0.85 - 0.10 - - 0.08 4.64
3,404 BBB+ - - 0.03 0.18 0.44 0.76 7.58 74.71 7.55 1.35 0.76 0.15 0.09 0.06 0.06 - - - 6.29
3,284 BBB - - 0.06 0.24 0.09 0.18 0.94 8.62 73.26 7.43 1.43 0.76 0.06 0.09 0.06 0.06 0.24 0.12 6.33
2,608 BBB- - 0.04 0.04 0.04 0.08 0.04 0.23 1.15 10.62 71.89 5.33 1.30 1.38 0.35 0.42 0.23 0.04 0.31 6.52
1,424 BB+ - 0.14 - - - 0.14 0.07 0.28 1.40 13.27 64.61 6.53 3.23 1.47 0.91 0.14 0.70 0.42 6.67
1,159 BB - - - - - - - 0.26 0.35 3.02 10.44 66.01 6.82 1.90 0.78 0.69 1.55 0.52 7.68
1,265 BB– - - - - - - 0.16 0.16 0.24 0.32 3.79 9.64 61.42 6.96 3.32 0.79 1.50 0.71 10.99
1,065 B+ - - - - - - 0.09 - 0.19 - - 0.56 15.21 61.88 7.89 5.73 0.94 0.85 6.67
980 B - - - - - - 0.20 - - 0.10 - 0.71 2.14 11.73 59.80 10.92 4.49 0.92 8.98
881 B– - - - - - - 0.11 - - 0.23 0.11 0.11 0.68 2.95 14.42 64.36 5.90 1.14 9.99
410 CCC to C - - - - - - - - - - - - 2.44 0.73 2.68 16.83 48.54 14.63 14.15
a
Fitch Global Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

23 AAA 100.00 - - - - - - - - - - - - - - - - - -
3 AA+ - 100.00 - - - - - - - - - - - - - - - - -
31 AA - - 96.77 - - - - - - - - - - - - - - - 3.23
93 AA– - - 1.08 90.32 3.23 - - - - - - - - - - - - - 5.38
159 A+ - - - 1.26 84.28 9.43 1.26 - - - - - - - - - - - 3.77
211 A - - - 0.47 2.37 81.99 7.58 3.79 - - - - - - - - - - 3.79
145 A– - - - - - 7.59 88.28 2.07 0.69 - - - - - - - - - 1.38
189 BBB+ - - - - - 0.53 11.64 85.71 1.06 - - - - - - - - - 1.06
161 BBB - - - - - - 0.62 7.45 78.88 2.48 - - - - - - - 0.62 9.94
136 BBB- - - - - - - - 2.94 3.68 83.09 - 0.74 - - - - - 0.74 8.82
82 BB+ - - - - - - - - - 6.10 81.71 1.22 - - - - - - 10.98
65 BB - - - - - - - - - - 3.08 69.23 3.08 - - - - 1.54 23.08
96 BB– - - - - - - - - - - - 3.13 80.21 - 3.13 - - 1.04 12.50
82 B+ - - - - - - - - - - - - 4.88 32.93 13.41 45.12 - - 3.66
59 B - - - - - - - - - - - - 3.39 1.69 32.20 37.29 11.86 - 13.56
34 B– - - - - - - - - - - - - - 8.82 2.94 73.53 2.94 - 11.76
18 CCC to C - - - - - - - - - - - - - - 11.11 11.11 61.11 11.11 5.56
a
Fitch Global Financial Institutionsa Three-Year Transition Matrix: 2020 Cohort

20 AAA 100.00 - - - - - - - - - - - - - - - - - -
4 AA+ - 75.00 25.00 - - - - - - - - - - - - - - - -
20 AA - - 80.00 10.00 - - - - - - - - - - - - - - 10.00
95 AA– - - 10.53 71.58 13.68 - - - - - - - - - - - - - 4.21
146 A+ - - 2.05 6.85 67.12 12.33 1.37 - - - - - - - - - - - 10.27
229 A - - - 0.44 12.23 63.76 14.85 1.75 - 0.44 - - - - - - - - 6.55
145 A– - - - - - 11.03 60.69 13.79 0.69 0.69 - - - - - - - - 13.10
179 BBB+ - - - - - 0.56 15.08 63.69 10.61 1.12 - - - - - - - - 8.94
172 BBB - - - - - - 1.16 16.28 43.60 9.30 11.63 - 0.58 - - - - 0.58 16.86
120 BBB- - - - - - - - 2.50 15.00 55.83 8.33 2.50 - - - - - 0.83 15.00
70 BB+ - - - - - - - - - 12.86 34.29 11.43 10.00 - - - - 1.43 30.00
72 BB - - - - - - - - - 5.56 9.72 33.33 22.22 - 1.39 - - 1.39 26.39
79 BB– - - - - - - - - - - - 5.06 49.37 7.59 7.59 1.27 - 7.59 21.52
88 B+ - - - - - - - - - - - 2.27 3.41 13.64 11.36 46.59 - - 22.73
46 B - - - - - - - - - - - - 4.35 4.35 15.22 23.91 15.22 2.17 34.78
27 B– - - - - - - - - - - - - 3.70 3.70 - 51.85 3.70 - 37.04
16 CCC to C - - - - - - - - - - - - - 6.25 6.25 - 50.00 6.25 31.25
a
Fitch Global Financial Institutionsa Five-Year Transition Matrix: 2018 Cohort

14 AAA 100.00 - - - - - - - - - - - - - - - - - -
5 AA+ 20.00 60.00 20.00 - - - - - - - - - - - - - - - -
16 AA - - 56.25 31.25 - - - - - - - - - - - - - - 12.50
90 AA– - - 11.11 63.33 17.78 - 1.11 - - - - - - - - - - - 6.67
118 A+ - - 2.54 6.78 59.32 16.95 0.85 - - - - - - - - - - - 13.56
202 A - - 1.49 0.99 16.34 49.01 16.83 2.48 - 0.50 - - - - - - - - 12.38
170 A– - - - - 0.59 24.71 40.59 10.59 2.94 - - - - - - - - - 20.59
184 BBB+ - - - - 1.63 2.72 14.67 51.63 8.15 5.43 0.54 - - - - - - - 15.22
125 BBB - - - - - - 3.20 16.80 36.80 4.80 16.80 - - - - - - - 21.60
148 BBB- - - - - - - 0.68 6.76 16.89 27.70 6.08 3.38 2.03 - - 10.81 - 0.68 25.00
101 BB+ - - - - - - - 1.98 3.96 5.94 11.88 13.86 10.89 3.96 1.98 13.86 - 1.98 29.70
69 BB - - - - - - - 1.45 - 11.59 10.14 13.04 20.29 1.45 4.35 - - 1.45 36.23
69 BB– - - - - - - - - - 8.70 4.35 4.35 26.09 1.45 1.45 8.70 - - 44.93
55 B+ - - - - - - - - - - 1.82 3.64 16.36 9.09 5.45 7.27 - 7.27 49.09
40 B - - - - - - - - - - - 2.50 7.50 12.50 10.00 22.50 12.50 5.00 27.50
47 B– - - - - - - - - - - - 4.26 2.13 4.26 4.26 21.28 12.77 4.26 46.81
10 CCC to C - - - - - - - - - - - - - - - - 10.00 - 90.00
a
Fitch Global Financial Institutionsa Ten-Year Transition Matrix: 2013 Cohort

14 AAA 78.57 - - - - - - - - - - - - - - - - - 21.43
4 AA+ - 75.00 25.00 - - - - - - - - - - - - - - - -
8 AA - - 37.50 12.50 12.50 - - - - - - - - - - - - - 37.50
86 AA– - - 9.30 50.00 19.77 2.33 1.16 - - - - - - - - - - - 17.44
139 A+ - - 2.88 10.07 31.65 16.55 5.04 5.04 - - 0.72 - - - - - - - 28.06
190 A - - 2.63 2.11 17.37 26.32 12.11 6.32 0.53 1.05 0.53 - - - - - - - 31.05
167 A– - - - - 2.99 17.37 20.96 11.98 3.59 0.60 - 1.20 - - - - - - 41.32
157 BBB+ - - - 0.64 1.27 3.18 12.74 14.01 9.55 1.27 1.91 2.55 6.37 0.64 - - - - 45.86
174 BBB - - - - - - 4.02 17.24 12.64 6.90 2.30 1.15 4.60 1.15 - 6.32 - - 43.68
130 BBB- - - - - - - 4.62 3.85 10.77 15.38 9.23 0.77 2.31 0.77 0.77 6.15 - - 45.38
68 BB+ - - - - - - - 1.47 14.71 11.76 16.18 4.41 8.82 - 1.47 1.47 - 2.94 36.76
48 BB - - - - - 2.08 - - 2.08 8.33 8.33 8.33 4.17 4.17 4.17 4.17 - 2.08 52.08
47 BB– - - - - - - - - 6.38 14.89 2.13 - 10.64 - 2.13 2.13 - 10.64 51.06
38 B+ - - - - - - - - - 5.26 - - 2.63 5.26 - 13.16 2.63 2.63 68.42
58 B - - - - - - 1.72 - - - - 3.45 5.17 5.17 3.45 1.72 1.72 12.07 65.52
42 B– - - - - - - - - - - - 4.76 9.52 4.76 2.38 7.14 7.14 4.76 59.52
11 CCC to C - - - - - - - - - - - - - - - - - 54.55 45.45
a
Fitch Global Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

1 AAA 100.00 - - - - - - - -
23 AA - 95.65 - - - - - - 4.35
265 A - - 92.45 3.40 - - - - 4.15
882 BBB - - 0.91 90.14 1.13 - - - 7.82
525 BB - - - 5.33 80.57 3.05 0.57 - 10.48
459 B - - - 0.44 3.70 73.86 2.83 3.27 15.90
61 CCC to C - - - - - 9.84 52.46 19.67 18.03
Fitch Global Non-Financial Corporate Average Annual Transition Matrix: 1990-2022

122 AAA 86.07 9.02 - - - - - - 4.92
1,325 AA 0.08 83.62 11.47 0.45 - - - - 4.38
7,678 A - 0.66 89.02 6.55 0.31 0.07 0.07 0.01 3.31
14,807 BBB 0.01 0.01 1.91 89.43 3.04 0.23 0.08 0.11 5.17
6,424 BB - - 0.05 6.24 78.05 5.88 0.87 0.59 8.31
4,890 B - - 0.16 0.29 6.38 73.52 5.15 2.80 11.70
796 CCC to C - - - 0.25 0.75 14.70 45.60 27.26 11.43
Fitch Global Non-Financial Corporate Average Annual Transition Matrix: 1990-2022

122 AAA 86.07 2.46 4.92 1.64 - - - - - - - - - - - - - - 4.92
180 AA+ 0.56 80.56 10.56 2.22 0.56 1.67 0.56 - - - - - - - - - - - 3.33
454 AA - 2.20 78.63 9.03 4.85 0.88 0.22 0.22 0.22 0.22 - - - - - - - - 3.52
691 AA– - 0.29 2.60 74.10 13.31 3.18 0.87 0.29 0.14 - - - - - - - - - 5.21
1,503 A+ - - 0.07 2.53 79.64 11.24 2.06 0.80 0.67 0.33 - 0.07 - - - - 0.07 - 2.53
2,804 A - - 0.07 0.29 2.03 81.35 9.38 1.89 0.82 0.21 0.29 0.11 0.07 0.04 0.14 - - - 3.32
3,371 A– - - - 0.06 0.39 4.03 79.74 9.67 1.48 0.53 0.12 0.15 0.03 - - - 0.12 0.03 3.65
4,654 BBB+ - - - - 0.09 0.37 4.81 80.19 7.46 1.44 0.26 0.13 0.28 - 0.06 0.02 0.09 0.13 4.68
5,344 BBB - - 0.02 - 0.02 0.17 0.36 6.49 79.49 6.16 0.84 0.62 0.19 0.09 0.09 0.02 0.06 0.04 5.35
4,809 BBB- 0.02 - - 0.02 0.04 0.02 0.12 0.64 9.52 76.59 5.12 1.19 0.58 0.15 0.21 0.04 0.10 0.19 5.45
2,223 BB+ - - - - 0.09 - 0.04 0.18 1.21 12.96 65.86 6.97 2.29 0.90 0.45 0.45 0.54 0.13 7.92
2,192 BB - - - - - - - 0.14 0.46 2.37 11.09 64.92 7.62 2.37 0.68 0.91 0.50 0.46 8.49
2,009 BB– - - - - - - - 0.05 0.25 0.55 2.04 12.15 61.03 7.47 4.08 0.95 1.64 1.24 8.56
1,878 B+ - - - - - - 0.05 0.05 0.16 0.21 0.37 2.61 10.33 58.95 9.53 2.61 1.60 1.92 11.61
2,000 B - - - - - 0.20 - - 0.10 0.10 0.05 0.50 2.30 10.50 59.00 9.35 4.70 2.60 10.60
1,012 B– - - - - - 0.30 - - 0.20 - - 0.10 0.40 2.77 12.85 51.88 12.65 4.84 14.03
796 CCC to C - - - - - - - 0.13 - 0.13 - 0.13 0.63 0.63 3.89 10.18 45.60 27.26 11.43
Fitch Global Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

1 AAA 100.00 - - - - - - - - - - - - - - - - - -
2 AA+ - 100.00 - - - - - - - - - - - - - - - - -
5 AA - - 80.00 - - - - - - - - - - - - - - - 20.00
16 AA– - - - 100.00 - - - - - - - - - - - - - - -
31 A+ - - - - 93.55 - - - - - - - - - - - - - 6.45
89 A - - - - 1.12 96.63 - - - - - - - - - - - - 2.25
145 A– - - - - - 2.07 86.90 5.52 0.69 - - - - - - - - - 4.83
241 BBB+ - - - - - - 3.32 87.14 4.98 1.24 - - - - - - - - 3.32
319 BBB - - - - - - - 5.02 80.25 3.45 0.63 - - - - - - - 10.66
322 BBB- - - - - - - - 1.24 12.73 75.16 1.86 0.62 - - - - - - 8.39
140 BB+ - - - - - - - - 1.43 17.14 67.86 1.43 2.14 - - - - - 10.00
187 BB - - - - - - - - - 1.07 9.63 71.66 5.35 - 0.53 0.53 - - 11.23
198 BB– - - - - - - - - - - 0.51 7.07 73.74 4.04 3.03 - 1.52 - 10.10
162 B+ - - - - - - - - - - - - 9.26 56.79 9.88 3.70 0.62 3.09 16.67
185 B - - - - - - - - - 1.08 - - 1.08 7.03 57.30 13.51 2.16 2.16 15.68
112 B– - - - - - - - - - - - - - - 7.14 65.18 7.14 5.36 15.18
61 CCC to C - - - - - - - - - - - - - - - 9.84 52.46 19.67 18.03
Fitch Global Non-Financial Corporate Three-Year Transition Matrix: 2020 Cohort

- AAA - - - - - - - - - - - - - - - - - - -
1 AA+ 100.00 - - - - - - - - - - - - - - - - - -
5 AA - 40.00 40.00 - - - - - - - - - - - - - - - 20.00
13 AA– - - 7.69 84.62 - - - - - - - - - - - - - - 7.69
32 A+ - - - 3.13 78.13 6.25 - - - - - - - - - - - - 12.50
100 A - - - 1.00 4.00 73.00 10.00 2.00 1.00 1.00 - - - - - - - - 8.00
166 A– - - - - - 4.82 57.83 17.47 3.61 1.81 - - - - - 0.60 - - 13.86
244 BBB+ - - - - - - 6.56 60.25 13.11 0.41 1.23 - 0.41 - - - - - 18.03
306 BBB - - - - - - 0.98 11.44 54.58 11.76 2.29 0.33 - - - - - 0.33 18.30
275 BBB- - - - - - - - 1.09 17.82 49.82 7.27 2.55 0.73 0.36 - - - 0.36 20.00
113 BB+ - - - - - - - - 7.08 15.93 30.97 9.73 4.42 0.88 - - - - 30.97
162 BB - - - - - - - - - 5.56 12.96 34.57 12.96 3.70 0.62 1.85 - 0.62 27.16
131 BB– - - - - - - - - - 0.76 2.29 7.63 27.48 3.82 7.63 6.87 3.82 9.16 30.53
136 B+ - - - - - - - - - 1.47 - 5.15 8.09 22.79 11.76 4.41 - 11.76 34.56
152 B - - - - - - - - - - - 0.66 2.63 8.55 19.08 14.47 2.63 11.18 40.79
71 B– - - - - - - - - - 2.82 1.41 - 1.41 - 2.82 14.08 9.86 15.49 52.11
69 CCC to C - - - - - - - - - - - - 8.70 - 1.45 2.90 10.14 62.32 14.49
Fitch Global Non-Financial Corporate Five-Year Transition Matrix: 2018 Cohort

1 AAA - - - - - - - - - - - - - - - - - - 100.00
1 AA+ 100.00 - - - - - - - - - - - - - - - - - -
7 AA - 28.57 28.57 14.29 - - - - - - - - - - - - - - 28.57
18 AA– - - 5.56 50.00 11.11 - - - - - - - - - - - - - 33.33
49 A+ - - - - 40.82 24.49 - - 4.08 - - - - - - - - - 30.61
96 A - - - - 6.25 47.92 14.58 5.21 1.04 1.04 1.04 - - - - 1.04 - - 21.88
157 A– - - - - - 8.28 43.95 19.75 4.46 1.27 - - - - - - - 1.27 21.02
243 BBB+ - - - - - 0.82 10.70 45.68 11.52 2.47 0.82 - 0.41 - - - - - 27.57
254 BBB - - - - - - 1.57 16.93 47.64 11.42 1.97 0.39 - - - - - - 20.08
268 BBB- - - - - - - 0.75 3.73 18.28 35.45 7.09 3.36 1.49 - 1.12 - - 1.12 27.61
141 BB+ - - - - - - 0.71 - 7.09 11.35 16.31 12.77 6.38 2.13 1.42 - - 2.84 39.01
107 BB - - - - - - - 0.93 0.93 6.54 13.08 22.43 13.08 1.87 0.93 1.87 - 1.87 36.45
112 BB– - - - - - - - - - 1.79 3.57 4.46 13.39 10.71 1.79 8.93 - 8.04 47.32
116 B+ - - - - - - - - 0.86 1.72 0.86 4.31 3.45 10.34 4.31 6.03 1.72 16.38 50.00
109 B - - - - - - - - - - 0.92 1.83 0.92 5.50 5.50 5.50 5.50 29.36 44.95
43 B– - - - - - - - - - - - 9.30 2.33 2.33 - 4.65 2.33 23.26 55.81
39 CCC to C - - - - - - - - - - - - 2.56 - - - 5.13 66.67 25.64
Fitch Global Non-Financial Corporate Ten-Year Transition Matrix: 2013 Cohort

1 AAA - - - - - - - - - - - - - - - - - - 100.00
4 AA+ 25.00 - - - 25.00 - - - - - - - - - - - - - 50.00
9 AA - - 11.11 33.33 - - - - - - - - - - - - - - 55.56
6 AA– - - 16.67 - 16.67 33.33 16.67 - - - - - - - - - - - 16.67
59 A+ - - 1.69 11.86 18.64 18.64 6.78 3.39 3.39 - - - - - - - - - 35.59
125 A - - - - 2.40 23.20 16.80 14.40 3.20 0.80 0.80 - - - - - - 2.40 36.00
110 A– - - - - 0.91 5.45 19.09 20.91 7.27 1.82 0.91 - 0.91 - - - - - 42.73
217 BBB+ - - - - - 0.46 11.98 29.49 9.68 3.69 - 0.92 0.46 - - - - 0.92 42.40
248 BBB - - - - - 0.40 4.44 11.29 20.56 10.89 2.82 0.81 1.21 - - - - 1.61 45.97
230 BBB- - - - - - 0.43 0.87 5.22 20.00 14.35 6.09 5.22 1.74 0.43 0.43 0.43 - 0.87 43.91
116 BB+ - - - - - - - 1.72 6.03 8.62 6.90 6.90 1.72 0.86 0.86 - - 6.90 59.48
108 BB - - - - - - - 2.78 5.56 8.33 3.70 4.63 5.56 2.78 0.93 - - 2.78 62.96
85 BB– - - - - - - 1.18 - - 5.88 4.71 7.06 2.35 2.35 1.18 1.18 - 11.76 62.35
87 B+ - - - - - - - - - 1.15 6.90 1.15 4.60 1.15 1.15 - - 14.94 68.97
109 B - - - - - - - - - - 0.92 2.75 1.83 4.59 0.92 - 1.83 23.85 63.30
49 B– - - - - - - - - - - - - 2.04 2.04 - - 4.08 22.45 69.39
32 CCC to C - - - - - - - - - - - - - - - - - 50.00 50.00
Fitch North America Corporate Finance One-Year Transition Matrix: 2022 Cohort
13 AAA 100.00 - - - - - - - -
63 AA - 98.41 - - - - - - 1.59
300 A - 0.67 93.00 1.67 - - - - 4.67
591 BBB - - 3.05 92.39 0.17 - - - 4.40
264 BB - - - 9.09 85.98 0.76 - - 4.17
218 B - - - 0.92 5.05 75.23 2.75 2.29 13.76
24 CCC to C - - - - - 8.33 62.50 12.50 16.67
Average Annual: 1990–2022

373 AAA 88.74 5.09 0.27 - - - - 0.27 5.63
3,115 AA 0.16 85.33 8.86 0.22 0.03 - - 0.03 5.36
9,739 A 0.01 1.57 88.59 4.68 0.55 0.09 0.05 0.04 4.40
12,136 BBB 0.01 0.13 2.27 88.78 2.83 0.40 0.12 0.17 5.29
3,716 BB - 0.05 0.05 7.91 75.11 5.81 1.24 0.62 9.20
2,544 B - - 0.31 0.43 7.19 73.00 5.31 1.93 11.83
508 CCC to C - - - 0.39 1.38 14.57 47.83 24.80 11.02
Fitch North America Financial Institutionsa One-Year Transition Matrix: 2022 Cohort
12 AAA 100.00 - - - - - - - -
60 AA - 98.33 - - - - - - 1.67
182 A - 1.10 92.86 2.20 - - - - 3.85
163 BBB - - 8.59 87.12 - - - - 4.29
42 BB - - - - 97.62 - - - 2.38
10 B - - - - - 80.00 - - 20.00
- CCC to C - - - - - - - - -

273 AAA 89.01 4.76 0.37 - - - - 0.37 5.49
2,428 AA 0.16 85.79 7.58 0.08 0.04 - - 0.04 6.30
5,232 A 0.02 2.52 88.15 3.04 0.69 0.08 0.02 0.06 5.43
3,334 BBB - 0.42 3.21 86.20 2.58 0.69 0.21 0.24 6.45
868 BB - 0.23 0.12 8.29 70.74 4.84 2.19 0.81 12.79
288 B - - - - 11.46 63.89 6.94 1.74 15.97
92 CCC to C - - - - 3.26 11.96 41.30 26.09 17.39
a
Fitch North America Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort
1 AAA 100.00 - - - - - - - -
3 AA - 100.00 - - - - - - -
118 A - - 93.22 0.85 - - - - 5.93
428 BBB - - 0.93 94.39 0.23 - - - 4.44
222 BB - - - 10.81 83.78 0.90 - - 4.50
208 B - - - 0.96 5.29 75.00 2.88 2.40 13.46
24 CCC to C - - - - - 8.33 62.50 12.50 16.67

100 AAA 88.00 6.00 - - - - - - 6.00
687 AA 0.15 83.70 13.39 0.73 - - - - 2.04
4,507 A - 0.47 89.11 6.59 0.40 0.11 0.09 0.02 3.22
8,802 BBB 0.01 0.02 1.91 89.75 2.92 0.30 0.09 0.15 4.85
2,848 BB - - 0.04 7.79 76.44 6.11 0.95 0.56 8.11
2,256 B - - 0.35 0.49 6.65 74.16 5.10 1.95 11.30
416 CCC to C - - - 0.48 0.96 15.14 49.28 24.52 9.62
Fitch EMEA Corporate Finance One-Year Transition Matrix: 2022 Cohort

11 AAA 100.00 - - - - - - - -
56 AA - 89.29 5.36 - - - - - 5.36
270 A - 0.37 91.48 5.19 - - - - 2.96
417 BBB - - 2.40 80.82 1.20 - - 0.48 15.11
255 BB - - - 2.35 67.06 5.10 1.18 - 24.31
301 B - - - - 2.33 82.72 3.65 1.33 9.97
13 CCC to C - - - - - 30.77 30.77 30.77 7.69
Average Annual: 1990-2022

516 AAA 90.31 3.68 0.19 - - - - - 5.81
2,408 AA 0.08 87.42 8.85 0.50 - - - 0.08 3.07
7,323 A - 1.32 88.80 5.80 0.20 - 0.01 0.07 3.78
6,446 BBB - 0.09 3.34 85.81 3.92 0.26 0.06 0.08 6.44
3,169 BB - - 0.16 6.12 77.78 6.25 0.60 0.38 8.71
3,301 B - - 0.09 0.18 5.42 80.40 3.00 1.51 9.39
326 CCC to C - - - - 1.23 22.39 43.87 16.87 15.64
Fitch EMEA Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

11 AAA 100.00 - - - - - - - -
47 AA - 89.36 6.38 - - - - - 4.26
217 A - 0.46 93.55 3.69 - - - - 2.30
166 BBB - - 4.22 81.33 0.60 - - 1.20 12.65
102 BB - - - 3.92 61.76 2.94 - - 31.37
134 B - - - - 3.73 84.33 5.97 - 5.97
6 CCC to C - - - - - 66.67 16.67 - 16.67

497 AAA 90.74 3.02 0.20 - - - - - 6.04
2,048 AA 0.10 88.04 7.96 0.54 - - - 0.10 3.27
5,571 A - 1.65 89.30 4.94 0.16 - - 0.09 3.86
3,227 BBB - 0.19 4.80 82.24 4.87 0.43 0.06 0.09 7.31
1,624 BB - - 0.18 6.53 76.29 7.45 0.80 0.68 8.07
1,953 B - - 0.15 0.20 5.63 82.85 2.71 0.97 7.48
195 CCC to C - - - - 1.54 29.23 44.10 9.23 15.90
a
Fitch EMEA Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
9 AA - 88.89 - - - - - - 11.11
53 A - - 83.02 11.32 - - - - 5.66
251 BBB - - 1.20 80.48 1.59 - - - 16.73
153 BB - - - 1.31 70.59 6.54 1.96 - 19.61
167 B - - - - 1.20 81.44 1.80 2.40 13.17
7 CCC to C - - - - - - 42.86 57.14 -

19 AAA 78.95 21.05 - - - - - - -
360 AA - 83.89 13.89 0.28 - - - - 1.94
1,752 A - 0.29 87.21 8.56 0.34 - 0.06 - 3.54
3,219 BBB - - 1.86 89.38 2.98 0.09 0.06 0.06 5.56
1,545 BB - - 0.13 5.70 79.35 4.98 0.39 0.06 9.39
1,348 B - - - 0.15 5.12 76.85 3.41 2.30 12.17
131 CCC to C - - - - 0.76 12.21 43.51 28.24 15.27
Fitch APAC Corporate Finance One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
31 AA - 90.32 - - - - - - 9.68
187 A - - 97.33 0.53 - - - - 2.14
224 BBB - - 0.45 95.09 1.34 - - - 3.13
80 BB - - - - 83.75 - - - 16.25
61 B - - - - 1.64 54.10 3.28 9.84 31.15
11 CCC to C - - - - - 9.09 9.09 45.45 36.36

7 AAA 28.57 71.43 - - - - - - -
779 AA 0.13 87.42 5.65 0.13 - 0.13 - - 6.55
2,837 A - 1.69 91.29 3.38 - - - - 3.63
3,187 BBB - - 3.36 88.64 1.76 0.06 0.03 0.03 6.12
1,378 BB - - 0.07 6.10 79.83 4.14 0.94 0.73 8.20
699 B - - 0.14 - 6.58 70.53 4.29 4.15 14.31
65 CCC to C - - - - 4.62 10.77 24.62 40.00 20.00
Fitch APAC Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
20 AA - 85.00 - - - - - - 15.00
107 A - - 97.20 - - - - - 2.80
108 BBB - - - 98.15 - - - - 1.85
29 BB - - - - 96.55 - - - 3.45
6 B - - - - 16.67 83.33 - - -
2 CCC to C - - - - - - - 100.00 -

4 AAA - 100.00 - - - - - - -
501 AA 0.20 89.82 6.79 0.20 - 0.20 - - 2.79
1,668 A - 1.38 91.79 3.12 - - - - 3.72
1,800 BBB - - 3.61 89.61 1.00 - - - 5.78
598 BB - - 0.17 7.69 83.44 1.51 1.00 0.17 6.02
172 B - - 0.58 - 12.21 75.00 1.74 1.16 9.30
13 CCC to C - - - - 15.38 - 30.77 46.15 7.69
a
Fitch APAC Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
11 AA - 100.00 - - - - - - -
80 A - - 97.50 1.25 - - - - 1.25
116 BBB - - 0.86 92.24 2.59 - - - 4.31
51 BB - - - - 76.47 - - - 23.53
55 B - - - - - 50.91 3.64 10.91 34.55
9 CCC to C - - - - - 11.11 11.11 33.33 44.44

3 AAA 66.67 33.33 - - - - - - -
278 AA - 83.09 3.60 - - - - - 13.31
1,169 A - 2.14 90.59 3.76 - - - - 3.51
1,387 BBB - - 3.03 87.38 2.74 0.14 0.07 0.07 6.56
780 BB - - - 4.87 77.05 6.15 0.90 1.15 9.87
527 B - - - - 4.74 69.07 5.12 5.12 15.94
52 CCC to C - - - - 1.92 13.46 23.08 38.46 23.08
Fitch LATAM Corporate Finance One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
- AA - - - - - - - - -
23 A - - 91.30 4.35 - - - - 4.35
136 BBB - - 2.21 94.12 1.47 - - - 2.21
169 BB - - - 1.78 91.72 2.37 - 1.18 2.96
54 B - - - - 7.41 72.22 3.70 - 16.67
31 CCC to C - - - - - 9.68 74.19 6.45 9.68

1 AAA - 100.00 - - - - - - -
8 AA - 50.00 25.00 - - - - - 25.00
559 A - 0.36 90.88 5.01 - - - - 3.76
2,334 BBB - - 1.46 88.82 4.93 0.13 0.04 0.09 4.54
2,009 BB - - - 4.63 81.09 6.07 1.24 0.70 6.27
1,272 B - - - 0.16 8.49 72.56 7.39 2.91 8.49
307 CCC to C - - - - 0.65 14.98 52.12 22.80 9.45
Fitch LATAM Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
- AA - - - - - - - - -
9 A - - 88.89 - - - - - 11.11
49 BBB - - 6.12 93.88 - - - - -
70 BB - - - 1.43 92.86 - - 2.86 2.86
25 B - - - - - 80.00 - - 20.00
10 CCC to C - - - - - - 100.00 - -

1 AAA - 100.00 - - - - - - -
8 AA - 50.00 25.00 - - - - - 25.00
309 A - 0.65 89.32 5.18 - - - - 4.85
935 BBB - - 2.25 87.70 5.99 - - 0.11 3.96
758 BB - - - 5.28 81.66 5.67 1.19 0.26 5.94
513 B - - - 0.19 7.80 78.17 5.85 0.39 7.60
110 CCC to C - - - - 1.82 13.64 64.55 10.91 9.09
a
Fitch LATAM Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - -
- AA - - - - - - - - -
14 A - - 92.86 7.14 - - - - -
87 BBB - - - 94.25 2.30 - - - 3.45
99 BB - - - 2.02 90.91 4.04 - - 3.03
29 B - - - - 13.79 65.52 6.90 - 13.79
21 CCC to C - - - - - 14.29 61.90 9.52 14.29

- AAA - - - - - - - - -
- AA - - - - - - - - -
250 A - - 92.80 4.80 - - - - 2.40
1,399 BBB - - 0.93 89.56 4.22 0.21 0.07 0.07 4.93
1,251 BB - - - 4.24 80.74 6.31 1.28 0.96 6.47
759 B - - - 0.13 8.96 68.77 8.43 4.61 9.09
197 CCC to C - - - - - 15.74 45.18 29.44 9.64
Fitch Developed Market Corporate Finance One-Year Transition Matrix: 2022 Cohort
24 AAA 100.00 - - - - - - - -
143 AA - 94.41 1.40 - - - - - 4.20
649 A - 0.46 92.45 3.08 - - - - 4.01
1,008 BBB - - 3.08 91.17 0.60 - - 0.20 4.96
424 BB - - - 7.08 85.85 1.42 0.24 - 5.42
383 B - - - 0.52 3.39 79.90 2.09 1.83 12.27
39 CCC to C - - - - - 17.95 46.15 20.51 15.38

897 AAA 89.07 4.91 0.22 - - - - 0.11 5.69
6,232 AA 0.13 86.36 8.44 0.32 0.02 0.02 - 0.05 4.67
18,423 A 0.01 1.58 88.64 4.98 0.35 0.05 0.03 0.05 4.32
18,859 BBB 0.01 0.12 2.79 87.74 2.79 0.34 0.10 0.13 5.99
5,711 BB - 0.04 0.11 7.63 75.73 5.25 1.03 0.58 9.63
3,711 B - - 0.24 0.38 6.74 73.16 4.96 2.24 12.29
653 CCC to C - - - 0.31 1.99 14.55 45.48 26.34 11.33
Fitch Developed Market Financial Institutions a One-Year Transition Matrix: 2022 Cohort
23 AAA 100.00 - - - - - - - -
123 AA - 93.50 1.63 - - - - - 4.88
454 A - 0.66 93.39 2.64 - - - - 3.30
341 BBB - - 6.74 89.44 - - - 0.59 3.23
88 BB - - - 4.55 90.91 - - - 4.55
30 B - - - - 3.33 83.33 - - 13.33
4 CCC to C - - - - - 75.00 - 25.00 -

775 AAA 89.55 4.26 0.26 - - - - 0.13 5.81
4,929 AA 0.14 87.04 7.67 0.28 0.02 0.02 - 0.06 4.77
11,530 A 0.01 2.10 88.79 3.80 0.36 0.03 0.01 0.07 4.83
6,648 BBB - 0.30 4.15 84.75 2.72 0.51 0.12 0.15 7.30
1,711 BB - 0.12 0.18 8.18 73.70 4.27 1.64 0.82 11.10
519 B - - 0.19 0.19 10.79 65.13 5.97 3.28 14.45
137 CCC to C - - - - 5.11 16.06 38.69 24.09 16.06
a
Fitch Developed Market Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort
1 AAA 100.00 - - - - - - - -
20 AA - 100.00 - - - - - - -
195 A - - 90.26 4.10 - - - - 5.64
667 BBB - - 1.20 92.05 0.90 - - - 5.85
336 BB - - - 7.74 84.52 1.79 0.30 - 5.65
353 B - - - 0.57 3.40 79.60 2.27 1.98 12.18
35 CCC to C - - - - - 11.43 51.43 20.00 17.14

122 AAA 86.07 9.02 - - - - - - 4.92
1,303 AA 0.08 83.81 11.36 0.46 - - - - 4.30
6,893 A - 0.71 88.39 6.95 0.33 0.07 0.07 0.01 3.45
12,211 BBB 0.01 0.02 2.06 89.36 2.83 0.25 0.09 0.12 5.27
4,000 BB - - 0.08 7.40 76.60 5.68 0.78 0.48 9.00
3,192 B - - 0.25 0.41 6.08 74.47 4.79 2.07 11.94
516 CCC to C - - - 0.39 1.16 14.15 47.29 26.94 10.08
Fitch Emerging Market Corporate Finance One-Year Transition Matrix: 2022 Cohort
- AAA - - - - - - - - -
7 AA - 71.43 14.29 - - - - - 14.29
131 A - - 98.47 0.76 - - - - 0.76
360 BBB - - 0.28 84.72 1.39 - - - 13.61
344 BB - - - 0.87 74.42 3.78 0.58 0.58 19.77
251 B - - - - 3.98 71.31 5.18 3.19 16.33
40 CCC to C - - - - - 7.50 62.50 15.00 15.00

- AAA - - - - - - - - -
78 AA - 84.62 11.54 - - - - - 3.85
2,035 A - 0.44 93.27 4.32 0.25 - - - 1.72
5,244 BBB - - 1.98 88.81 4.60 0.13 0.04 0.08 4.37
4,561 BB - - 0.04 5.02 80.25 6.42 0.96 0.57 6.73
4,105 B - - 0.07 0.12 6.48 78.25 4.24 2.00 8.84
553 CCC to C - - - - 0.54 18.99 47.92 18.99 13.56
Fitch Emerging Market Financial Institutions a One-Year Transition Matrix: 2022 Cohort
- AAA - - - - - - - - -
4 AA - 75.00 25.00 - - - - - -
61 A - - 98.36 - - - - - 1.64
145 BBB - - 0.69 85.52 0.69 - - - 13.10
155 BB - - - 0.65 75.48 1.94 - 1.29 20.65
145 B - - - - 3.45 83.45 5.52 - 7.59
14 CCC to C - - - - - 7.14 78.57 7.14 7.14

- AAA - - - - - - - - -
56 AA - 89.29 8.93 - - - - - 1.79
1,250 A - 0.56 92.48 5.12 0.32 - - - 1.52
2,648 BBB - - 2.72 87.88 5.14 0.11 0.04 0.08 4.04
2,137 BB - - 0.09 5.80 80.02 6.64 0.89 0.33 6.22
2,407 B - - 0.12 0.17 6.15 82.84 3.12 0.46 7.15
273 CCC to C - - - - 1.10 22.34 53.48 9.89 13.19
a
Fitch Emerging Market Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort
- AAA - - - - - - - - -
3 AA - 66.67 - - - - - - 33.33
70 A - - 98.57 1.43 - - - - -
215 BBB - - - 84.19 1.86 - - - 13.95
189 BB - - - 1.06 73.54 5.29 1.06 - 19.05
106 B - - - - 4.72 54.72 4.72 7.55 28.30
26 CCC to C - - - - - 7.69 53.85 19.23 19.23

- AAA - - - - - - - - -
22 AA - 72.73 18.18 - - - - - 9.09
785 A - 0.25 94.52 3.06 0.13 - - - 2.04
2,596 BBB - - 1.23 89.75 4.04 0.15 0.04 0.08 4.70
2,424 BB - - - 4.33 80.45 6.23 1.03 0.78 7.18
1,698 B - - - 0.06 6.95 71.73 5.83 4.18 11.25
280 CCC to C - - - - - 15.71 42.50 27.86 13.93
Fitch Global Closed-End Fund One-Year Transition Matrix: 2022 Cohort
No. (%) AAA AA A BBB BB B CCC CC and Below WD PIF
- AAA - - - - - - - - - -
142 AA - 92.25 - - - - - - 0.70 7.04
92 A - - 92.39 - - - - - - 7.61
1 BBB - - - 100.00 - - - - - -
- BB - - - - - - - - - -
- B - - - - - - - - - -
- CCC - - - - - - - - - -
Fitch Global Closed-End Fund Transition Matrix: 2005-2022

Average Annual
4,468 AAA 80.95 4.19 0.69 - - - - - 1.88 12.29

939 AA 0.32 74.87 8.31 1.92 - - - - 6.60 7.99
767 A - - 83.83 0.13 - - - - 5.74 10.30
36 BBB - - - 27.78 - - - - 44.44 27.78
- BB - - - - - - - - - -
- B - - - - - - - - - -
- CCC - - - - - - - - - -
Fitch Global Closed-End Fund Transition Matrix: 2005-2022

Average Annual
No. (%) AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC CC and Below WD PIF
4,468 AAA 80.95 - 4.19 - - 0.69 - - - - - - - - - - - - 1.88 12.29

- AA+ - - - - - - - - - - - - - - - - - - - -
939 AA 0.32 - 74.87 - - 8.31 - - 1.92 - - - - - - - - - 6.60 7.99
- AA- - - - - - - - - - - - - - - - - - - - -
253 A+ - - - - 72.33 12.25 - - - - - - - - - - - - 0.79 14.62
514 A - - - - - 83.46 - - 0.19 - - - - - - - - - 8.17 8.17
- A- - - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - - -
36 BBB - - - - - - - - 27.78 - - - - - - - - - 44.44 27.78
- BBB- - - - - - - - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Closed-End Fund One-Year Transition Matrix: 2022 Cohort

- AAA - - - - - - - - - - - - - - - - - - - -
- AA+ - - - - - - - - - - - - - - - - - - - -
142 AA - - 92.25 - - - - - - - - - - - - - - - 0.70 7.04
- AA- - - - - - - - - - - - - - - - - - - - -
- A+ - - - - - - - - - - - - - - - - - - - -
92 A - - - - - 92.39 - - - - - - - - - - - - - 7.61
- A- - - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - - -
1 BBB - - - - - - - - 100.00 - - - - - - - - - - -
- BBB- - - - - - - - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Closed-End Fund Three-Year Transition Matrix: 2020 Cohort

284 AAA - - 39.79 - - 17.61 - - - - - - - - - - - - 22.18 20.42

- AA+ - - - - - - - - - - - - - - - - - - - -
82 AA - - 8.54 - - 18.29 - - 1.22 - - - - - - - - - 53.66 18.29
- AA- - - - - - - - - - - - - - - - - - - - -
- A+ - - - - - - - - - - - - - - - - - - - -
34 A - - - - - 47.06 - - - - - - - - - - - - 41.18 11.76
- A- - - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - - -
- BBB - - - - - - - - - - - - - - - - - - - -
- BBB- - - - - - - - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Closed-End Fund Five-Year Transition Matrix: 2018 Cohort

312 AAA - - 25.96 - - 13.78 - - - - - - - - - - - - 21.15 39.10

- AA+ - - - - - - - - - - - - - - - - - - - -
86 AA - - 8.14 - - 12.79 - - - - - - - - - - - - 51.16 27.91
- AA- - - - - - - - - - - - - - - - - - - - -
- A+ - - - - - - - - - - - - - - - - - - - -
34 A - - - - - 47.06 - - - - - - - - - - - - 44.12 8.82
- A- - - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - - -
- BBB - - - - - - - - - - - - - - - - - - - -
- BBB- - - - - - - - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Closed-End Fund Ten-Year Transition Matrix: 2013 Cohort

295 AAA - - 12.54 - - 10.85 - - - - - - - - - - - - 6.10 70.51

- AA+ - - - - - - - - - - - - - - - - - - - -
29 AA - - 13.79 - - - - - - - - - - - - - - - 34.48 51.72
- AA- - - - - - - - - - - - - - - - - - - - -
- A+ - - - - - - - - - - - - - - - - - - - -
27 A - - - - - 59.26 - - - - - - - - - - - - 25.93 14.81
- A- - - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - - -
- BBB - - - - - - - - - - - - - - - - - - - -
- BBB- - - - - - - - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Structured Financea Average Cumulative Impairment Rates: 1990-2022
AAA 0.79 2.66 4.44 5.67 6.53 7.11 7.54 7.87 8.21 8.51
AA 1.25 4.52 7.42 9.75 11.51 13.01 14.26 15.33 16.36 17.39
A 2.23 6.57 10.53 14.14 17.07 19.55 21.63 23.53 25.19 26.81
BBB 4.52 11.34 17.26 22.05 25.80 28.49 30.57 32.42 34.11 35.83
BB 8.66 15.58 21.19 25.57 29.38 32.82 35.91 38.67 41.49 44.00
B 14.66 24.08 30.37 35.23 39.36 42.70 45.60 48.47 51.44 54.89
CCC 37.36 48.75 53.58 56.49 58.78 60.69 62.25 64.68 68.00 73.27
All Structured Finance 4.24 8.31 11.60 14.11 16.03 17.47 18.56 19.46 20.28 21.02
Includes asset-backed, commercial mortgage-backed, residential mortgage-backed and structured credit securities.
a
Fitch Global Structured Financea Average Cumulative Impairment Rates: 1990-2022

AAA 0.79 2.66 4.44 5.67 6.53 7.11 7.54 7.87 8.21 8.51
AA+ 1.32 5.63 9.31 11.20 12.38 13.33 14.16 14.92 15.78 16.51
AA 1.11 3.84 6.29 8.42 10.11 11.54 12.81 13.89 14.92 15.96
AA- 1.84 6.82 11.24 15.26 18.21 20.74 22.46 23.89 25.02 26.38
A+ 2.01 7.05 11.34 15.06 17.76 19.91 21.46 22.66 23.65 24.51
A 1.87 5.26 8.38 11.37 13.79 16.00 18.00 19.91 21.61 23.34
A- 4.17 12.47 20.34 27.12 33.06 37.36 40.36 42.78 44.55 45.84
BBB+ 4.86 13.67 22.03 28.79 33.56 36.70 38.41 40.10 41.74 43.19
BBB 3.98 9.86 14.65 18.56 21.72 24.17 26.22 28.07 29.75 31.53
BBB- 6.17 14.93 23.12 29.69 34.94 38.15 40.52 42.29 43.79 45.19
BB+ 8.76 19.60 27.85 34.02 38.13 41.15 43.58 45.44 47.11 48.50
BB 8.82 15.08 20.01 23.80 27.22 30.44 33.46 36.23 39.21 41.93
BB- 7.50 14.46 21.95 28.78 35.38 40.90 44.65 47.90 50.27 52.10
B+ 12.81 21.20 30.30 38.85 45.29 50.88 54.47 57.16 59.41 61.63
B 14.63 23.04 28.49 32.58 36.09 38.91 41.46 44.08 46.92 50.42
B- 15.72 31.13 41.08 48.99 55.99 61.33 65.75 69.54 72.58 74.89
CCC 37.36 48.75 53.58 56.49 58.78 60.69 62.25 64.68 68.00 73.27
All Structured Finance 4.24 8.31 11.60 14.11 16.03 17.47 18.56 19.46 20.28 21.02
a
Fitch Global ABS Average Cumulative Impairment Rates: 1990-2022

AAA 0.004 0.02 0.05 0.13 0.26 0.39 0.49 0.58 0.64 0.68
AA 0.01 0.12 0.51 0.97 1.39 1.86 2.32 2.62 2.90 3.28
A 0.10 0.33 0.65 1.07 1.50 1.93 2.29 2.64 2.99 3.30
BBB 0.31 1.08 1.99 2.72 3.24 3.64 3.92 4.22 4.48 4.73
BB 2.03 5.48 8.18 10.08 11.18 12.22 13.40 14.37 15.33 16.49
B 8.19 14.26 18.59 22.03 24.37 25.82 27.43 29.56 33.02 37.07
CCC 32.83 47.26 58.02 63.29 67.08 68.28 68.18 68.50 68.78 69.39
All ABS 0.50 0.99 1.44 1.84 2.20 2.52 2.80 3.04 3.27 3.48
Fitch Global CMBS Average Cumulative Impairment Rates: 1991–2022

AAA 0.01 0.04 0.09 0.21 0.39 0.56 0.70 0.81 0.95 1.08
AA 0.11 0.39 0.92 2.14 3.74 5.10 5.93 6.59 7.11 7.62
A 0.26 1.02 2.59 4.83 6.92 8.52 9.73 10.80 11.76 12.55
BBB 0.76 3.01 6.99 11.23 14.46 16.82 18.58 19.89 21.07 22.08
BB 2.53 7.72 14.78 21.03 25.78 29.93 33.33 36.31 39.03 41.24
B 10.13 23.25 33.35 41.03 47.47 52.71 57.07 60.74 63.94 66.90
CCC 32.83 46.55 52.09 55.62 58.11 60.12 61.83 63.70 67.02 71.85
All CMBS 2.67 5.56 8.53 11.41 13.89 15.94 17.58 18.95 20.17 21.21
Fitch Global RMBS Average Cumulative Impairment Rates: 1990–2022

AAA 1.06 3.51 5.74 7.15 8.05 8.62 9.00 9.30 9.61 9.89
AA 1.67 5.93 9.39 11.87 13.59 15.07 16.36 17.53 18.70 19.91
A 3.24 9.68 15.09 19.90 23.74 27.05 29.85 32.45 34.65 36.86
BBB 6.74 16.39 23.86 29.62 34.12 37.33 39.90 42.29 44.44 46.68
BB 11.30 18.86 24.25 28.32 32.27 35.91 39.27 42.27 45.50 48.38
B 16.70 25.12 30.28 34.35 37.85 40.72 43.19 45.73 48.47 51.97
CCC 37.96 48.80 53.56 56.46 58.84 60.92 62.58 65.35 68.98 74.84
All RMBS 5.13 9.94 13.56 16.14 18.02 19.38 20.37 21.18 21.91 22.59
Fitch Global Structured Credit Average Cumulative Impairment Rates: 1994–2022

AAA 0.39 1.72 4.04 7.08 9.94 11.97 13.61 14.84 15.60 16.03
AA 1.48 5.92 10.92 15.43 18.69 20.86 22.57 23.87 24.84 25.60
A 4.09 10.70 17.67 23.03 26.82 29.33 31.23 32.68 34.01 35.28
BBB 4.51 11.54 18.59 23.99 28.03 30.86 33.15 34.97 36.40 37.85
BB 7.48 15.32 21.07 25.01 27.80 30.34 32.70 35.03 37.17 38.97
B 14.45 22.97 28.41 32.40 35.70 38.08 40.41 42.64 45.09 47.78
CCC 41.19 52.80 55.56 56.93 57.53 57.86 58.57 59.31 60.92 63.61
All Structured Credit 5.14 10.41 15.49 19.92 23.42 25.88 27.92 29.57 30.89 31.99
Fitch North America Structured Financea Average Cumulative Impairment Rates: 1990–2022
AAA 0.85 2.88 4.79 6.11 7.00 7.60 8.03 8.37 8.70 9.00
AA 1.47 5.36 8.73 11.35 13.28 14.88 16.19 17.28 18.30 19.33
A 2.61 7.70 12.29 16.43 19.75 22.51 24.82 26.94 28.75 30.49
BBB 5.24 13.11 19.84 25.24 29.38 32.34 34.56 36.54 38.31 40.08
BB 9.66 17.13 23.09 27.72 31.81 35.47 38.71 41.51 44.35 46.81
B 15.69 25.54 31.99 36.92 41.12 44.50 47.38 50.23 53.13 56.47
CCC 38.49 49.84 54.58 57.45 59.72 61.59 63.10 65.52 68.87 74.31
All North America SF 4.65 9.10 12.65 15.33 17.35 18.84 19.95 20.85 21.65 22.37
a
Fitch EMEA Structured Financea Average Cumulative Impairment Rates: 1996–2022

AAA 0.06 0.22 0.43 0.71 0.97 1.20 1.39 1.53 1.67 1.77
AA 0.23 0.70 1.23 1.87 2.45 3.07 3.55 4.00 4.42 4.85
A 0.36 0.95 1.65 2.44 3.17 3.82 4.34 4.82 5.25 5.69
BBB 0.80 2.24 3.75 5.21 6.51 7.52 8.45 9.26 9.97 10.72
BB 2.35 5.69 8.73 10.87 12.49 14.27 15.99 17.99 20.07 22.17
B 5.41 9.94 13.56 16.16 18.08 19.67 21.45 23.18 25.47 28.56
CCC 20.89 32.23 38.33 41.78 44.31 46.69 48.97 51.64 54.50 57.18
All EMEA SF 1.23 2.46 3.54 4.48 5.27 5.96 6.57 7.12 7.61 8.03
a
Fitch APAC Structured Financea Average Cumulative Impairment Rates: 1998–2022
AAA - - - - - - - - - -
AA - - - 0.27 0.67 1.05 1.12 1.20 1.29 1.38
A - 0.33 0.69 1.08 1.33 1.61 1.71 1.81 1.93 2.07
BBB 0.21 1.34 3.11 4.65 5.79 6.40 7.03 7.48 8.08 8.92
BB 1.16 2.95 5.45 7.04 8.31 8.81 9.25 9.78 10.57 11.69
B 5.38 11.94 14.01 15.79 17.45 18.30 18.89 19.52 20.50 22.04
CCC 47.56 68.29 71.95 71.95 71.95 71.95 71.95 71.95 71.95 73.75
All APAC SF 0.55 1.17 1.72 2.20 2.61 2.89 3.10 3.31 3.57 3.89
a
Fitch Global Structured Financea One-Year Transition Matrix: 2022 Cohort
10,180 AAA 87.69 0.07 0.10 0.01 - - - - 0.05 12.08

2,389 AA 21.05 65.84 1.21 0.04 - - - - 2.30 9.54
3,519 A 7.05 14.32 63.88 1.17 0.17 0.09 0.03 0.03 3.27 10.00
2,971 BBB 0.81 5.89 16.96 61.26 1.92 0.24 0.17 - 6.83 5.92
2,104 BB 0.48 1.00 10.79 12.50 58.08 2.28 0.52 0.76 7.56 6.04
1,342 B - - 0.22 6.11 11.25 67.88 4.69 2.09 4.32 3.43
388 CCC - - - - 2.84 4.90 62.11 17.01 4.90 8.25
a
Fitch Global Structured Financea Transition Matrices: 1990-2022

Average Annual
404,505 AAA 80.02 1.12 0.92 0.87 0.54 0.47 0.91 0.79 0.38 13.97
81,942 AA 8.39 69.90 3.98 2.68 1.62 1.08 1.02 1.25 0.70 9.38
98,567 A 2.13 5.85 70.74 4.61 2.20 1.65 1.34 2.23 0.62 8.63
95,173 BBB 0.47 1.39 5.92 67.30 5.19 3.80 2.58 4.52 1.07 7.75
61,007 BB 0.15 0.33 2.00 7.47 63.34 6.69 3.90 8.66 1.31 6.14
48,138 B 0.06 0.05 0.31 1.49 7.89 61.02 8.94 14.66 1.00 4.59
31,420 CCC 0.04 - 0.06 0.17 1.51 4.99 52.62 37.36 0.69 2.56
Average Two-Year
394,325 AAA 61.67 1.73 1.54 1.52 0.84 0.78 1.48 2.66 0.77 27.01
79,553 AA 10.90 48.61 4.86 3.84 2.57 2.33 1.93 4.52 1.21 19.23
95,048 A 4.18 6.78 50.11 5.40 3.01 2.78 2.18 6.57 1.13 17.87
92,202 BBB 1.39 2.62 6.93 45.37 5.66 5.05 3.72 11.34 1.96 15.97
58,903 BB 0.47 1.04 4.28 8.84 42.48 6.85 4.74 15.58 2.51 13.20
46,796 B 0.20 0.21 1.32 2.99 10.44 39.35 9.58 24.08 1.78 10.05
31,032 CCC 0.08 0.03 0.32 1.09 4.00 6.52 32.84 48.75 1.20 5.15
Average Three-Year
384,957 AAA 46.98 2.00 1.94 1.90 1.07 1.06 1.44 4.44 1.16 38.01
77,320 AA 11.17 34.00 4.80 4.14 2.88 3.11 2.82 7.42 1.63 28.02
91,895 A 4.90 6.46 35.30 5.19 3.16 3.12 2.93 10.53 1.55 26.87
89,293 BBB 2.13 2.85 6.47 30.68 5.36 4.60 4.26 17.26 2.72 23.69
56,167 BB 0.86 1.65 5.13 8.27 29.35 6.15 4.55 21.19 3.11 19.75
45,318 B 0.35 0.42 2.39 3.50 10.32 26.62 8.35 30.37 2.38 15.29
30,611 CCC 0.14 0.14 1.04 1.91 5.46 6.63 21.83 53.58 1.59 7.67
Average Four-Year
376,264 AAA 35.29 2.08 2.20 2.13 1.29 1.34 1.36 5.67 1.50 47.13
75,105 AA 10.46 23.65 4.58 3.90 2.93 3.27 3.84 9.75 2.00 35.62
88,681 A 5.18 5.55 24.76 4.63 3.11 2.95 3.10 14.14 1.93 34.65
86,346 BBB 2.53 2.70 5.51 20.81 4.77 4.03 3.98 22.05 3.36 30.26
53,342 BB 1.34 2.03 5.12 7.19 20.23 5.28 4.14 25.57 3.50 25.60
43,822 B 0.52 0.70 2.87 3.59 9.39 17.52 6.97 35.23 2.96 20.25
30,190 CCC 0.25 0.28 2.05 2.47 6.47 6.00 14.13 56.49 1.96 9.89
Average Five-Year
368,631 AAA 25.75 2.00 2.33 2.18 1.48 1.50 1.27 6.53 1.80 55.15
73,024 AA 8.98 16.10 4.31 3.64 3.02 3.30 4.44 11.51 2.42 42.29
85,533 A 4.99 4.55 16.97 3.85 2.94 2.76 3.13 17.07 2.28 41.46
83,730 BBB 2.72 2.30 4.50 13.91 4.01 3.35 3.51 25.80 3.88 36.02
50,537 BB 1.51 1.71 4.55 6.11 14.19 4.19 3.53 29.38 3.85 30.98
42,219 B 0.62 0.91 2.79 3.11 8.01 11.74 5.25 39.36 3.45 24.75
29,574 CCC 0.33 0.46 2.81 2.99 6.65 4.79 9.03 58.78 2.25 11.91
Average Ten-Year
338,317 AAA 2.87 1.00 2.01 1.96 2.15 1.08 0.60 8.51 3.18 76.65
62,515 AA 2.15 2.53 2.74 1.91 3.15 2.52 2.67 17.39 4.26 60.66
67,583 A 1.42 1.27 3.05 1.44 1.55 1.32 1.41 26.81 3.64 58.09
69,847 BBB 1.06 0.58 1.59 2.25 1.71 0.88 1.10 35.83 4.84 50.17
37,943 BB 0.99 0.67 1.65 1.78 1.84 1.02 1.09 44.00 3.80 43.16
32,049 B 0.37 0.37 1.15 1.40 1.56 1.36 0.86 54.89 4.23 33.79
20,595 CCC 0.66 0.56 2.94 1.53 1.38 0.65 0.90 73.27 2.88 15.24
a
Fitch Global ABS One-Year Transition Matrix: 2022 Cohort

1,465 AAA 76.11 0.14 - 0.07 - - - - 0.07 23.62

396 AA 22.22 58.59 0.25 - - - - - - 18.94
702 A 1.42 10.97 71.79 0.57 0.14 - - 0.14 0.14 14.81
352 BBB 0.28 1.42 11.93 69.89 2.27 1.70 0.85 - - 11.65
231 BB - - - 8.66 73.59 3.03 0.87 0.43 0.43 12.99
95 B - - 1.05 - 5.26 67.37 5.26 12.63 3.16 5.26
29 CCC - - - - - 6.90 55.17 20.69 - 17.24
Fitch Global ABS Transition Matrices: 1990-2022

Average Annual
49,341 AAA 79.97 0.57 0.31 0.41 0.11 0.06 0.01 0.004 0.67 17.88
8,540 AA 11.18 67.92 1.92 1.05 0.44 0.16 0.02 0.01 0.63 16.65
20,490 A 1.03 4.70 77.36 3.03 0.60 0.48 0.09 0.10 0.54 12.07
13,088 BBB 0.18 0.49 3.90 73.41 3.48 1.38 0.41 0.31 2.51 13.94
3,550 BB - 0.08 1.38 5.41 65.86 7.46 2.48 2.03 1.35 13.94
1,904 B 0.16 0.05 0.05 1.21 2.57 65.02 5.88 8.19 6.36 10.50
594 CCC - - - - 0.84 1.35 54.71 32.83 2.53 7.74
Average Two-Year
47,876 AAA 62.04 0.86 0.46 0.77 0.25 0.19 0.05 0.02 1.28 34.08
8,144 AA 11.97 46.54 2.70 1.55 1.02 0.54 0.17 0.12 1.19 34.20
19,788 A 2.68 5.21 59.08 4.26 1.28 1.04 0.24 0.33 1.05 24.84
12,736 BBB 0.66 1.10 4.35 52.32 4.07 2.17 0.80 1.08 4.73 28.71
3,319 BB 0.03 0.45 3.13 6.42 41.82 7.98 2.83 5.48 3.07 28.77
1,809 B 0.28 0.06 0.33 1.66 2.60 43.45 5.64 14.26 12.16 19.57
565 CCC - - 0.18 - 1.42 1.95 32.57 47.26 4.78 11.86
Average Three-Year
46,323 AAA 47.73 0.96 0.57 0.92 0.36 0.37 0.09 0.05 1.76 47.21
7,715 AA 8.94 32.50 2.86 1.75 1.18 0.97 0.26 0.51 1.56 49.48
19,070 A 2.50 4.36 44.39 4.66 1.79 1.34 0.39 0.65 1.64 38.28
12,368 BBB 0.83 0.83 3.41 36.97 3.82 2.50 0.80 1.99 6.61 42.22
3,092 BB 0.13 0.71 3.91 5.37 25.26 7.70 2.39 8.18 4.98 41.36
1,689 B 0.30 0.06 0.59 1.24 2.07 28.30 5.98 18.59 17.82 25.04
524 CCC - - 0.19 - 1.15 2.48 17.37 58.02 7.25 13.55
Average Four-Year
44,637 AAA 37.65 0.99 0.67 0.97 0.41 0.56 0.10 0.13 2.11 56.40
7,229 AA 6.40 23.41 3.17 1.76 0.95 1.09 0.37 0.97 1.94 59.94
18,291 A 1.74 3.82 33.38 4.46 1.91 1.61 0.43 1.07 2.28 49.30
11,992 BBB 0.43 0.43 2.74 26.36 3.51 2.71 0.59 2.72 7.87 52.64
2,846 BB 0.21 0.53 3.65 3.94 13.95 7.13 1.72 10.08 7.24 51.55
1,593 B 0.25 0.13 0.44 0.82 1.69 15.44 6.34 22.03 22.98 29.88
504 CCC - - 0.20 - 0.99 2.38 7.74 63.29 9.33 16.07
Average Five-Year
42,918 AAA 29.99 0.95 0.76 0.98 0.37 0.71 0.09 0.26 2.40 63.50
6,743 AA 5.50 16.86 3.50 1.88 0.98 1.19 0.37 1.39 2.28 66.04
17,536 A 1.61 3.32 24.46 3.96 1.62 1.68 0.46 1.50 2.82 58.57
11,509 BBB 0.14 0.36 2.15 18.24 2.66 2.75 0.43 3.24 9.51 60.51
2,718 BB 0.07 0.04 3.27 3.05 8.39 5.33 1.40 11.18 9.35 57.91
1,502 B 0.27 0.20 0.27 0.47 1.46 7.59 6.13 24.37 26.90 32.36
486 CCC - - 0.21 0.21 0.82 1.85 2.06 67.08 10.08 17.70
Fitch Global CMBS One-Year Transition Matrix: 2022 Cohort
2,890 AAA 91.49 0.14 0.03 - - - - - - 8.34

549 AA 4.37 89.44 1.64 - - - - - 0.18 4.37
652 A 0.61 2.61 88.04 3.68 - 0.15 - - - 4.91
838 BBB 0.60 0.36 1.79 90.57 3.34 0.12 0.24 - - 2.98
432 BB - - 0.23 2.08 85.19 6.71 1.16 0.46 - 4.17
369 B - - - - 0.54 81.84 14.09 1.36 - 2.17
184 CCC - - - - - 0.54 72.83 22.83 - 3.80
Fitch Global CMBS Transition Matrices: 1991-2022

Average Annual
42,871 AAA 85.56 0.62 0.49 0.27 0.13 0.03 0.01 0.01 0.40 12.50
12,235 AA 10.47 74.99 3.01 1.66 1.25 0.51 0.15 0.11 0.53 7.32
14,453 A 3.59 5.56 75.65 3.47 1.85 1.63 0.38 0.26 0.33 7.30
17,797 BBB 1.13 1.12 4.34 76.56 4.25 3.39 1.43 0.76 0.34 6.67
11,977 BB 0.45 0.30 1.07 4.56 73.96 8.23 3.68 2.53 0.35 4.87
10,948 B 0.16 0.02 0.21 0.37 2.88 71.31 11.71 10.13 0.24 2.98
4,459 CCC 0.22 - 0.36 0.22 1.12 3.30 57.19 32.83 0.56 4.19
Average Two-Year
39,981 AAA 71.44 1.03 0.93 0.58 0.32 0.10 0.05 0.04 0.78 24.74
11,686 AA 15.08 55.28 4.72 3.17 2.59 1.18 0.59 0.39 1.16 15.84
13,801 A 7.18 6.96 56.18 4.83 3.41 3.09 1.48 1.02 0.68 15.17
16,959 BBB 2.95 2.33 5.81 56.28 5.51 5.76 3.74 3.01 0.73 13.88
11,545 BB 1.22 0.59 2.06 6.49 53.74 10.61 6.70 7.72 0.74 10.13
10,579 B 0.48 0.09 0.47 0.93 4.07 51.01 12.90 23.25 0.55 6.25
4,275 CCC 0.37 - 0.70 0.56 2.06 4.61 34.43 46.55 1.12 9.59
Average Three-Year
37,268 AAA 57.98 1.18 1.20 0.79 0.49 0.21 0.18 0.09 1.15 36.73
11,198 AA 17.24 40.25 4.95 3.86 3.11 1.82 1.64 0.92 1.70 24.52
13,203 A 9.94 7.08 41.56 4.85 3.67 3.41 2.95 2.59 0.99 22.94
16,171 BBB 4.84 3.17 6.25 40.67 5.23 5.32 5.50 6.99 1.11 20.92
11,113 BB 1.75 0.82 2.74 7.55 39.22 9.69 7.00 14.78 1.04 15.41
10,216 B 0.94 0.17 0.62 1.15 4.40 37.71 11.17 33.35 0.81 9.69
4,137 CCC 0.75 0.07 0.82 0.77 2.20 4.23 21.73 52.09 1.72 15.62
Average Four-Year
34,764 AAA 44.97 1.13 1.34 0.85 0.63 0.28 0.35 0.21 1.49 48.75
10,738 AA 18.25 28.59 4.42 3.77 2.84 1.92 2.56 2.14 2.16 33.34
12,621 A 12.32 6.57 29.93 4.44 3.53 2.97 3.57 4.83 1.27 30.56
15,431 BBB 6.63 3.72 6.18 28.62 4.47 4.28 5.79 11.23 1.50 27.57
10,673 BB 2.24 1.11 3.42 8.04 27.94 8.15 6.38 21.03 1.31 20.38
9,859 B 1.24 0.22 0.66 1.32 4.50 27.18 9.70 41.03 1.08 13.07
4,078 CCC 1.08 0.10 0.66 0.78 1.94 3.07 13.49 55.62 2.21 21.06
Average Five-Year
32,571 AAA 33.38 0.95 1.35 0.81 0.67 0.31 0.48 0.39 1.76 59.91
10,327 AA 17.77 19.53 3.70 3.26 2.49 1.72 2.69 3.74 2.60 42.50
12,075 A 13.67 5.81 20.80 3.76 3.06 2.53 3.30 6.92 1.55 38.59
14,816 BBB 8.13 3.85 5.75 19.51 3.71 3.46 5.09 14.46 1.86 34.19
10,268 BB 2.65 1.39 3.88 7.87 19.63 6.57 5.77 25.78 1.59 24.87
9,534 B 1.33 0.24 0.67 1.33 4.36 19.30 7.93 47.47 1.33 16.03
4,030 CCC 0.94 0.02 0.57 0.55 1.29 1.89 8.09 58.11 2.43 26.10
Fitch Global RMBS One-Year Transition Matrix: 2022 Cohort

4,436 AAA 88.57 0.02 0.20 - - - - - 0.02 11.18

912 AA 41.12 42.32 2.08 0.11 - - - - 2.85 11.51
1,758 A 13.20 22.58 48.12 0.57 0.28 0.11 0.06 - 5.29 9.78
1,426 BBB 1.19 11.64 30.43 37.45 1.47 - - - 12.62 5.19
1,163 BB 0.86 1.81 19.43 19.52 37.06 1.03 0.34 1.12 13.07 5.76
644 B - - 0.31 12.73 21.43 50.62 0.93 1.71 8.54 3.73
172 CCC - - - - 6.40 8.14 52.33 10.47 11.05 11.63
Fitch Global RMBS Transition Matrices: 1990-2022

Average Annual
293,225 AAA 79.55 1.22 1.03 0.98 0.66 0.60 1.23 1.06 0.31 13.35
52,940 AA 8.03 69.22 4.73 3.15 1.83 1.30 1.36 1.67 0.63 8.09
54,715 A 2.36 6.66 67.35 5.66 2.69 2.04 2.06 3.24 0.66 7.27
54,860 BBB 0.37 1.87 7.17 62.75 6.02 4.48 3.41 6.74 0.90 6.29
39,529 BB 0.09 0.39 2.51 8.97 59.70 6.06 4.01 11.30 1.68 5.28
30,789 B 0.02 0.06 0.34 2.02 10.58 57.01 8.36 16.70 0.94 3.97
24,148 CCC - - 0.01 0.14 1.65 5.39 52.46 37.96 0.66 1.72
Average Two-Year
288,789 AAA 60.88 1.89 1.73 1.73 0.96 0.95 1.90 3.51 0.65 25.80
52,028 AA 10.35 48.35 5.42 4.32 2.75 2.82 2.48 5.93 1.06 16.52
52,957 A 4.35 7.46 46.14 6.10 3.40 3.32 3.04 9.68 1.17 15.34
53,434 BBB 1.24 3.34 8.01 40.45 6.12 5.52 4.34 16.39 1.57 13.02
38,366 BB 0.33 1.33 5.40 10.10 39.26 5.45 4.36 18.86 3.18 11.73
30,145 B 0.12 0.29 1.78 4.03 13.83 34.88 9.15 25.12 1.59 9.22
23,976 CCC 0.02 0.03 0.25 1.23 4.57 6.98 33.51 48.80 1.13 3.47
Average Three-Year
285,443 AAA 46.10 2.20 2.20 2.15 1.19 1.23 1.78 5.74 1.01 36.41
51,251 AA 10.74 34.02 5.22 4.60 3.09 3.73 3.45 9.39 1.46 24.30
51,498 A 4.95 7.16 31.45 5.52 3.52 3.75 3.89 15.09 1.53 23.14
52,035 BBB 1.88 3.44 7.25 26.44 5.66 4.89 4.76 23.86 2.19 19.63
36,580 BB 0.73 2.15 6.34 8.97 27.09 4.61 4.14 24.25 3.77 17.94
29,401 B 0.19 0.57 3.33 4.68 13.46 22.71 7.97 30.28 2.01 14.79
23,738 CCC 0.03 0.16 1.14 2.24 6.34 7.22 22.79 53.56 1.44 5.06
Average Four-Year
282,608 AAA 34.37 2.30 2.50 2.39 1.44 1.55 1.63 7.15 1.34 45.32
50,452 AA 10.02 23.81 4.94 4.32 3.26 3.86 4.76 11.87 1.80 31.36
50,000 A 5.15 6.01 21.49 4.74 3.51 3.47 4.01 19.90 1.83 29.89
50,530 BBB 2.12 3.10 5.90 17.62 5.05 4.25 4.34 29.62 2.76 25.24
34,701 BB 1.29 2.66 6.12 7.39 18.94 3.97 3.77 28.32 4.05 23.50
28,583 B 0.35 0.97 4.03 4.74 12.03 14.48 6.47 34.35 2.41 20.17
23,400 CCC 0.12 0.34 2.48 2.96 7.68 6.69 15.06 56.46 1.74 6.48
Average Five-Year
280,221 AAA 24.81 2.22 2.64 2.46 1.70 1.73 1.50 8.05 1.65 53.24
49,638 AA 8.34 16.47 4.68 4.03 3.49 3.95 5.59 13.59 2.23 37.62
48,446 A 4.60 4.78 14.46 3.82 3.45 3.24 4.15 23.74 2.14 35.62
49,284 BBB 2.07 2.40 4.71 11.78 4.30 3.44 3.82 34.12 3.07 30.29
32,630 BB 1.43 2.13 5.15 6.00 13.71 3.13 3.12 32.27 4.27 28.81
27,572 B 0.48 1.28 3.92 3.99 10.09 9.71 4.62 37.85 2.80 25.27
22,854 CCC 0.26 0.58 3.47 3.64 8.05 5.48 9.85 58.84 2.01 7.81
Fitch Global Structured Credit One-Year Transition Matrix: 2022 Cohort

1,389 AAA 89.20 - - - - - - - 0.22 10.58

532 AA 3.01 87.22 - - - - - - 5.26 4.51
407 A 0.49 3.19 79.61 0.74 - - - - 5.16 10.81
355 BBB 0.28 0.28 3.66 79.15 - - - - 6.48 10.14
278 BB - - - 2.52 91.01 - - - 2.16 4.32
234 B - - - - 2.56 93.59 - - - 3.85
3 CCC - - - - - 66.67 33.33 - - -
Fitch Global Structured Credit Transition Matrices: 1994-2022
Average Annual
19,066 AAA 74.98 2.06 1.73 1.59 0.84 0.58 0.44 0.39 0.68 16.71
8,224 AA 4.69 68.79 2.81 2.80 2.03 1.47 1.20 1.48 1.52 13.21
8,901 A 0.84 4.03 68.37 3.65 3.45 1.93 1.37 4.09 1.06 11.20
9,427 BBB 0.22 0.40 4.46 67.77 4.54 4.01 2.95 4.51 1.44 9.70
5,951 BB 0.03 0.18 0.91 4.59 64.61 7.31 4.45 7.48 0.69 9.75
4,497 B 0.07 0.04 0.44 0.73 3.91 61.71 7.40 14.45 0.98 10.25
2,219 CCC 0.09 - - 0.32 0.99 5.05 44.52 41.19 0.81 7.03
Average Two-Year
17,677 AAA 51.34 3.13 2.70 2.40 1.70 1.23 1.56 1.72 1.44 32.77
7,692 AA 7.11 42.39 3.59 3.99 2.93 2.65 2.18 5.92 2.34 26.90
8,494 A 1.67 5.89 44.11 4.69 3.94 2.94 2.50 10.70 1.72 21.84
9,072 BBB 0.35 1.08 6.28 44.21 5.45 5.00 4.10 11.54 2.65 19.33
5,673 BB 0.16 0.35 1.87 6.52 41.79 8.06 4.44 15.32 1.22 20.27
4,263 B 0.02 0.05 0.61 1.27 5.58 40.25 6.12 22.97 1.83 21.30
2,216 CCC 0.23 0.09 0.36 0.86 2.30 6.45 22.65 52.80 1.22 13.04
Average Three-Year
15,921 AAA 34.87 3.45 3.05 3.00 2.38 1.92 2.25 4.04 2.09 42.94
7,153 AA 7.19 25.78 3.61 3.87 2.88 3.03 2.88 10.92 2.82 37.02
8,116 A 2.06 5.93 28.19 4.90 3.19 2.85 2.78 17.67 2.34 30.09
8,718 BBB 0.42 1.55 6.54 28.53 5.93 4.52 3.87 18.59 3.30 26.75
5,382 BB 0.33 0.48 2.49 6.71 26.68 8.38 3.53 21.07 1.75 28.58
4,012 B 0.02 0.10 0.75 1.72 5.88 26.35 4.99 28.41 2.64 29.14
2,212 CCC 0.23 0.14 0.59 0.90 3.07 5.74 12.75 55.56 1.67 19.35
Average Four-Year
14,253 AAA 22.71 3.50 3.14 3.56 2.77 2.08 2.34 7.08 2.65 50.16
6,683 AA 5.73 14.75 3.59 3.20 2.69 3.35 2.71 15.43 3.32 45.22
7,761 A 1.87 5.09 17.12 4.63 2.71 2.64 2.80 23.03 2.76 37.37
8,392 BBB 0.45 1.70 5.85 17.72 5.45 4.12 3.31 23.99 3.92 33.48
5,122 BB 0.43 0.47 2.75 5.88 16.40 7.13 3.34 25.01 2.30 36.29
3,787 B - 0.13 0.90 2.01 5.41 16.16 3.91 32.40 3.54 35.54
2,208 CCC 0.14 0.14 0.54 1.00 3.22 4.89 6.93 56.93 2.17 24.05
Average Five-Year
12,919 AAA 12.93 3.33 3.40 3.55 2.59 2.08 2.08 9.94 3.12 56.98
6,313 AA 3.39 6.70 3.23 3.09 2.33 2.98 2.57 18.69 3.69 53.33
7,468 A 1.38 3.92 9.49 3.95 2.53 2.54 2.53 26.82 3.04 43.79
8,120 BBB 0.47 1.63 4.29 10.44 4.72 3.44 3.09 28.03 4.46 39.45
4,921 BB 0.41 0.51 2.72 4.86 9.21 5.67 2.78 27.80 2.78 43.26
3,611 B 0.03 0.17 0.80 2.19 4.43 9.03 2.69 35.70 4.29 40.68
2,204 CCC - 0.14 0.64 1.23 3.22 3.63 3.81 57.53 2.68 27.13
Fitch Global Structured Financea Transition Matrices: 1990-2022

Average Annual
No. (%) AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC CC and Below WD
404,505 AAA 80.02 0.07 0.97 0.08 0.03 0.86 0.02 0.02 0.82 0.03 0.01 0.53 0.005 0.002 0.47 0.003 0.91 0.79 0.38
12,544 AA+ 12.45 61.73 2.23 0.42 0.42 2.54 0.14 0.10 2.17 0.22 0.03 1.83 0.06 0.02 1.11 0.02 1.29 1.32 0.53
58,053 AA 8.38 2.46 67.34 0.59 0.31 3.64 0.16 0.10 2.43 0.18 0.08 1.43 0.03 0.04 0.92 0.03 0.81 1.11 0.75
11,345 AA- 3.90 2.57 4.30 66.62 1.14 2.39 0.81 0.19 1.97 0.56 0.07 1.51 0.10 0.03 1.36 0.11 1.81 1.84 0.63
14,744 A+ 2.24 1.85 4.48 2.58 63.67 2.14 0.74 0.60 2.67 0.42 0.12 1.54 0.06 0.05 1.28 0.10 1.51 2.01 0.52
69,383 A 2.30 0.68 4.50 0.67 1.96 68.62 0.55 0.41 3.68 0.35 0.09 2.05 0.08 0.04 1.48 0.10 1.21 1.87 0.72
14,440 A- 1.18 0.91 1.07 0.78 1.96 3.77 67.45 2.12 2.50 1.75 0.55 1.89 0.20 0.10 1.41 0.48 1.83 4.17 0.24
14,027 BBB+ 0.75 0.36 0.86 0.61 1.82 2.91 2.79 61.27 2.35 1.87 1.22 2.47 0.33 0.21 2.59 0.61 2.06 4.86 1.43
63,587 BBB 0.45 0.21 0.98 0.32 0.67 5.07 0.71 2.05 64.28 0.82 0.42 4.35 0.25 0.14 3.30 0.32 2.87 3.98 1.17
17,559 BBB- 0.31 0.06 0.18 0.39 0.69 1.16 0.92 1.46 3.73 64.08 1.79 3.38 1.57 0.48 2.50 1.26 1.95 6.17 0.46
7,841 BB+ 0.19 0.03 0.37 0.33 0.94 1.77 1.01 2.63 3.58 4.27 55.27 2.28 1.06 1.10 3.43 1.56 2.41 8.76 0.64
46,443 BB 0.16 0.02 0.22 0.06 0.17 1.42 0.31 0.47 6.05 0.97 1.65 60.92 0.39 0.35 5.58 0.68 4.32 8.82 1.56
6,723 BB- 0.06 - 0.07 0.01 0.36 0.12 0.18 0.30 0.85 2.71 4.27 5.37 61.89 1.22 3.51 3.21 2.75 7.50 0.36
3,600 B+ 0.19 - 0.03 0.03 0.22 0.14 0.11 0.78 0.53 0.72 3.72 6.00 5.53 52.22 3.72 3.56 3.92 12.81 0.69
37,203 B 0.05 0.01 0.04 0.003 0.05 0.26 0.04 0.09 1.42 0.21 0.56 7.22 0.70 1.41 57.48 1.04 9.01 14.63 1.08
7,335 B- 0.05 - 0.01 0.01 - 0.03 0.01 - 0.08 - 0.18 0.78 0.31 1.60 2.52 63.22 11.04 15.72 0.70
31,420 CCC 0.04 - - - - 0.06 - - 0.16 0.01 0.03 1.46 0.03 0.05 4.78 0.17 52.62 37.36 0.69
Average Three-Year
384,957 AAA 46.98 0.14 1.73 0.13 0.07 1.83 0.04 0.02 1.81 0.07 0.01 1.05 0.01 0.01 1.02 0.03 1.44 4.44 1.16
12,048 AA+ 12.57 23.64 3.43 0.33 0.55 4.36 0.17 0.12 3.55 0.41 0.02 3.38 0.02 0.02 3.29 0.14 3.24 9.31 1.47
55,095 AA 11.82 3.09 30.98 0.71 0.39 3.99 0.18 0.14 3.65 0.33 0.09 2.58 0.07 0.04 2.85 0.10 2.48 6.29 1.74
10,177 AA- 6.00 2.51 4.31 30.79 1.29 3.61 0.84 0.25 3.20 0.87 0.10 2.74 0.18 0.13 2.81 0.48 4.13 11.24 1.29
13,830 A+ 4.67 1.86 4.39 2.13 25.71 2.70 0.56 0.49 4.63 0.65 0.15 2.02 0.07 0.12 2.36 0.14 3.26 11.34 1.45
65,037 A 5.21 1.11 4.65 0.90 2.51 33.10 0.51 0.58 3.97 0.42 0.13 2.77 0.11 0.05 2.94 0.18 2.72 8.38 1.73
13,028 A- 3.62 0.83 1.53 1.05 2.26 4.57 31.12 1.24 3.03 1.44 1.57 2.76 0.52 0.09 2.56 0.70 3.65 20.34 0.74
13,453 BBB+ 2.76 0.51 1.08 0.69 1.84 2.50 2.22 23.00 2.62 1.22 1.52 3.03 0.38 0.28 3.62 0.86 3.59 22.03 3.45
60,068 BBB 2.11 0.52 2.09 0.54 1.15 5.22 0.87 2.86 27.45 0.79 0.48 4.48 0.28 0.17 3.77 0.46 4.50 14.65 2.94
15,772 BBB- 1.66 0.84 0.82 0.54 0.86 1.65 0.98 1.66 3.31 27.42 1.50 3.37 1.33 0.58 2.95 1.67 3.90 23.12 1.24
7,044 BB+ 1.48 0.98 1.05 0.95 1.39 1.32 1.38 2.10 3.19 3.36 19.43 2.43 0.70 0.62 3.46 2.17 2.81 27.85 2.03
43,482 BB 0.76 0.21 1.00 0.30 0.57 4.34 0.49 0.96 6.52 1.01 1.92 27.50 0.34 0.28 4.78 0.55 4.82 20.01 3.50
5,641 BB- 0.89 0.04 0.20 0.85 0.67 1.95 1.67 1.15 2.34 2.64 2.71 3.94 27.99 1.17 4.47 4.61 4.64 21.95 1.37
3,317 B+ 0.90 0.12 0.21 0.03 1.06 1.99 1.45 1.09 2.17 1.51 2.44 4.16 2.47 19.93 3.65 5.00 5.46 30.30 2.08
35,704 B 0.31 0.03 0.38 0.08 0.35 1.97 0.25 0.34 2.88 0.68 1.29 9.88 0.68 1.24 23.03 1.16 8.28 28.49 2.48
6,297 B- 0.29 - 0.05 0.05 - 0.22 0.03 0.08 0.27 0.14 0.46 1.19 0.68 2.32 2.89 27.16 10.31 41.08 1.97
30,611 CCC 0.14 - 0.14 - 0.01 1.02 0.01 0.01 1.88 0.01 0.09 5.30 0.07 0.13 6.28 0.22 21.83 53.58 1.59
Average Five-Year
368,631 AAA 25.75 0.14 1.74 0.12 0.09 2.20 0.04 0.02 2.11 0.06 0.02 1.46 0.01 0.01 1.45 0.03 1.27 6.53 1.80
11,627 AA+ 8.07 9.16 2.38 0.48 0.51 4.37 0.18 0.10 2.92 0.36 0.01 3.40 0.01 0.03 4.38 0.04 5.94 12.38 2.33
51,990 AA 9.77 1.79 14.39 0.49 0.34 3.39 0.16 0.14 3.36 0.25 0.07 2.89 0.08 0.04 2.95 0.10 3.78 10.11 2.54
9,407 AA- 5.79 1.40 3.60 12.96 1.30 3.73 0.62 0.24 2.36 0.71 0.09 2.21 0.16 0.04 2.46 0.53 6.19 18.21 1.84
13,037 A+ 3.75 1.24 3.54 1.20 9.72 2.49 0.20 0.25 3.94 0.66 0.06 1.42 0.08 0.11 2.27 0.08 3.85 17.76 2.49
60,586 A 5.30 0.77 2.99 0.70 1.61 15.79 0.37 0.34 2.98 0.32 0.12 2.78 0.11 0.06 2.71 0.12 2.88 13.79 2.46
11,910 A- 4.74 0.91 1.69 0.86 1.44 3.70 12.80 0.59 2.54 0.72 1.46 2.31 0.26 0.04 2.04 0.37 3.64 33.06 1.15
12,919 BBB+ 2.58 0.39 0.82 0.48 1.35 1.88 1.04 8.70 2.02 0.89 0.71 2.16 0.23 0.21 2.51 0.55 3.29 33.56 4.74
56,536 BBB 2.71 0.52 1.60 0.40 0.85 3.42 0.56 2.12 11.48 0.50 0.37 3.72 0.23 0.13 2.90 0.25 3.62 21.72 4.15
14,275 BBB- 2.91 0.49 0.91 0.61 0.97 1.56 0.87 1.50 2.37 11.34 0.60 2.49 0.53 0.39 2.23 1.06 3.26 34.94 2.02
6,502 BB+ 1.81 0.35 0.68 0.45 1.18 1.78 1.49 1.38 3.05 2.12 6.63 2.05 0.32 0.29 2.46 1.40 2.68 38.13 3.21
39,338 BB 1.42 0.24 1.28 0.23 0.56 3.94 0.34 0.80 4.64 0.75 1.20 13.36 0.19 0.20 3.18 0.45 3.46 27.22 4.11
4,697 BB- 1.83 1.30 0.23 0.13 0.70 1.00 0.60 0.53 1.89 2.36 2.58 3.39 10.77 0.98 3.39 2.92 5.32 35.38 2.55
3,124 B+ 1.38 0.67 0.77 0.45 0.29 0.61 0.38 0.32 0.86 1.25 1.82 4.23 1.76 8.19 2.34 2.08 4.13 45.29 3.97
33,590 B 0.57 0.13 0.66 0.14 0.35 2.77 0.17 0.34 2.88 0.35 0.68 7.92 0.38 0.79 9.76 0.68 5.02 36.09 3.53
5,505 B- 0.53 - 0.11 0.09 0.09 0.47 0.02 0.15 0.33 0.16 0.44 1.07 0.62 1.00 2.34 11.08 7.32 55.99 2.69
29,574 CCC 0.33 - 0.45 0.01 0.03 2.74 0.03 0.03 2.92 0.04 0.13 6.43 0.09 0.16 4.50 0.14 9.03 58.78 2.25
Average Ten-Year
338,317 AAA 2.87 0.08 0.89 0.03 0.09 1.88 0.03 0.01 1.94 0.01 0.01 2.13 0.003 0.01 1.06 0.02 0.60 8.51 3.18
10,173 AA+ 1.65 0.59 1.29 0.16 0.37 4.58 - 0.02 2.61 0.01 0.01 4.42 0.02 - 3.40 0.04 2.64 16.51 3.55
44,284 AA 2.35 0.43 2.12 0.13 0.23 1.73 0.08 0.09 1.61 0.07 0.03 3.01 0.04 0.01 2.39 0.03 2.75 15.96 4.65
8,058 AA- 1.69 0.25 1.45 0.62 0.62 2.94 0.26 0.25 1.34 0.19 0.06 1.87 - 0.01 1.64 0.19 2.28 26.38 2.99
11,429 A+ 0.69 0.30 0.82 0.18 0.81 1.30 0.24 0.67 0.90 0.17 0.07 0.94 0.02 0.04 1.18 0.04 1.43 24.51 4.53
46,343 A 1.60 0.28 0.84 0.21 0.67 2.59 0.10 0.13 1.17 0.09 0.09 1.62 0.03 0.03 1.24 0.05 1.40 23.34 3.73
9,811 A- 1.44 0.30 0.51 0.12 0.44 1.38 0.58 0.17 0.84 0.32 0.17 1.10 0.05 0.01 1.21 0.18 1.47 45.84 2.18
11,380 BBB+ 0.79 0.04 0.27 0.18 0.57 0.79 0.25 0.71 0.83 0.19 0.14 0.82 0.08 0.02 0.76 0.08 1.38 43.19 5.83
46,224 BBB 0.86 0.06 0.50 0.08 0.32 1.18 0.17 0.43 1.88 0.16 0.19 1.84 0.04 0.06 0.84 0.05 1.05 31.53 4.97
12,243 BBB- 2.03 0.09 0.26 0.07 0.16 0.95 0.20 0.38 0.68 0.83 0.26 0.63 0.07 0.03 0.48 0.16 1.03 45.19 3.41
5,825 BB+ 1.67 0.07 0.46 0.12 0.31 1.05 0.22 0.43 1.00 0.29 0.29 1.10 0.09 0.10 0.67 0.10 1.03 48.50 4.31
28,149 BB 0.79 0.12 0.44 0.12 0.22 1.25 0.13 0.25 1.36 0.14 0.16 1.64 0.05 0.11 0.83 0.12 1.01 41.93 3.82
3,969 BB- 1.41 0.03 0.43 0.13 0.48 1.28 0.30 0.48 1.06 0.60 0.48 1.51 0.35 0.10 0.71 0.08 1.79 52.10 2.92
2,846 B+ 0.49 - 0.21 - - 0.60 - 0.04 1.09 0.39 0.49 2.25 0.04 0.46 1.12 0.60 1.34 61.63 4.39
24,647 B 0.37 0.03 0.37 0.02 0.15 1.21 0.03 0.14 1.32 0.09 0.27 1.14 0.11 0.14 0.91 0.09 0.79 50.42 4.65
4,556 B- 0.33 - 0.07 0.13 - 0.24 0.02 0.02 0.37 0.09 0.15 0.79 0.09 0.22 0.40 1.40 0.97 74.89 1.87
20,595 CCC 0.66 0.02 0.50 0.04 0.02 2.85 0.06 0.06 1.39 0.07 0.08 1.28 0.01 0.04 0.55 0.06 0.90 73.27 2.88
a
Fitch Global Structured Financea One-Year Transition Matrix: 2022 Cohort

10,180 AAA 87.69 0.01 0.06 - - 0.10 - - 0.01 - - - - - - - - - 0.05

291 AA+ 39.86 47.42 0.34 - - - - - - - - - - - - - - - -
1,483 AA 23.67 7.75 51.65 0.13 - 1.28 - - 0.07 - - - - - - - - - 3.71
615 AA- 5.85 2.93 8.46 78.21 0.33 1.14 0.16 - - - - - - - - - - - -
524 A+ 1.15 6.11 7.06 2.48 65.65 0.76 - - 0.38 - - - - - - - - - 0.19
2,229 A 10.86 2.65 12.16 0.31 3.72 53.30 0.04 0.04 0.72 0.04 - 0.22 - - 0.13 - 0.04 0.04 5.11
766 A- - 7.83 2.48 0.78 2.61 6.14 73.24 - 2.35 0.39 - 0.13 - - - - - - -
313 BBB+ 3.83 3.19 1.60 7.67 5.75 10.54 3.19 55.27 - - 0.32 0.32 - - - - 0.32 - -
1,706 BBB 0.70 - 4.45 1.41 1.11 18.93 0.82 2.34 49.59 0.12 0.06 1.93 - - 0.29 0.06 0.23 - 11.90
952 BBB- - - - 3.78 4.94 3.57 0.63 2.10 9.87 67.75 - 1.79 0.42 - 0.11 - - - -
462 BB+ - - - 4.33 6.93 14.07 4.98 1.08 6.06 2.81 51.95 0.22 - - 0.22 - - - -
1,136 BB 0.88 - 0.09 - 0.09 3.96 3.52 0.70 15.58 0.26 3.26 46.04 - - 2.20 0.35 0.97 1.32 14.00
506 BB- - - - - 3.95 - 0.20 2.17 3.16 0.40 3.16 16.01 64.03 0.20 0.99 2.37 - 0.20 -
143 B+ - - - - - - - 14.69 1.40 - 18.88 9.79 2.80 46.85 - 0.70 - - 2.10
652 B - - - - - 0.46 - - 9.05 - 0.92 13.65 0.31 0.77 52.15 2.15 2.91 3.99 8.44
547 B- - - - - - - - - - - 0.37 0.91 0.37 5.48 12.07 70.93 8.04 0.37 -
388 CCC - - - - - - - - - - - 2.58 0.26 0.26 3.87 0.77 62.11 17.01 4.90
a
Fitch Global Structured Financea Three-Year Transition Matrix: 2020 Cohort
8,693 AAA 54.69 0.01 0.22 0.07 0.03 0.12 0.01 - 0.05 - - 0.03 - - 0.01 - 0.01 - 0.92
221 AA+ 44.34 8.60 0.45 - 0.45 0.45 - - - - - 1.36 - - - - - - -
1,582 AA 19.53 9.10 15.80 1.39 0.06 1.33 - - 0.32 - - 0.32 - - - - 0.06 0.06 6.57
412 AA- 6.07 2.43 3.88 69.66 0.24 4.85 1.70 - 0.97 - - - - - 0.24 - 0.24 0.24 -
427 A+ 8.90 4.45 2.81 2.11 34.19 5.15 0.23 - - - - - - - 0.23 - - - 1.41
2,219 A 8.92 0.41 6.31 0.27 5.05 23.75 0.23 0.09 1.08 0.09 - 0.77 - - 0.32 0.05 0.32 0.18 10.64
568 A- 3.52 0.18 1.23 1.76 3.35 3.70 61.97 0.53 6.69 1.23 0.18 0.70 - - 0.18 - 0.70 0.70 -
294 BBB+ 12.24 1.36 2.72 0.68 8.50 5.44 3.06 26.53 3.06 0.34 0.34 0.68 - - 0.34 - 0.34 0.34 4.76
1,860 BBB 5.81 0.59 6.40 0.16 0.97 13.55 0.91 2.63 18.17 0.81 0.16 1.88 0.05 - 0.97 0.22 0.65 0.38 17.26
793 BBB- 2.90 8.20 1.77 0.13 1.01 1.64 0.76 2.14 3.03 46.28 0.13 3.53 1.77 - 1.51 1.26 3.40 1.39 0.25
339 BB+ 4.13 13.57 1.47 0.59 1.47 0.29 0.88 0.88 2.36 1.47 31.27 0.88 - - 1.77 0.88 0.29 0.29 -
2,004 BB 0.85 0.80 2.10 1.80 1.50 9.33 0.20 0.50 13.27 0.35 3.69 13.57 0.20 - 1.95 0.30 1.80 2.25 23.25
482 BB- 2.07 - - 9.54 2.28 3.11 - - 0.62 0.21 2.49 6.02 34.65 0.41 2.90 7.88 6.02 1.87 -
133 B+ 1.50 - - - 18.80 30.83 19.55 0.75 0.75 - 1.50 1.50 1.50 8.27 - 2.26 0.75 - 2.26
924 B - - 0.11 2.16 5.41 3.79 4.33 1.19 6.06 - 0.54 5.52 0.22 0.54 16.34 4.11 4.11 11.15 15.91
439 B- - - - - - - - - - - 0.68 0.91 1.14 13.67 7.74 36.90 16.63 7.29 -
421 CCC - - - - - 0.48 - - 3.09 - 0.71 3.09 0.24 0.48 3.56 0.95 19.00 35.63 18.53
a
Fitch Global Structured Financea Five-Year Transition Matrix: 2018 Cohort

6,303 AAA 36.44 0.02 0.30 0.10 0.05 0.17 0.02 - 0.06 - - 0.05 - - 0.06 - 0.02 - 1.16
226 AA+ 29.65 3.98 - - - 0.88 - - - - - 1.33 - - - - - - 0.44
1,453 AA 15.42 1.93 8.19 1.10 - 0.96 - - 0.34 - - 0.34 - - 0.34 - 0.07 0.07 5.37
317 AA- 8.83 0.32 6.94 52.37 0.32 6.62 2.21 - 1.26 - - 0.32 - - 0.63 - 0.63 0.32 -
334 A+ 9.28 2.99 1.50 1.50 20.66 1.80 - - 2.10 - - - - 0.30 0.30 0.30 - - 1.80
2,467 A 9.12 0.24 2.43 0.49 1.54 12.97 0.16 - 1.42 - - 0.45 - - 0.49 - 0.16 0.32 11.84
574 A- 3.48 0.87 1.22 0.52 2.09 4.36 39.90 0.17 6.79 1.05 5.40 0.70 - - 0.17 - 1.39 1.22 0.52
289 BBB+ 3.11 1.38 2.42 0.69 4.15 1.73 1.38 13.15 4.15 0.69 2.08 1.38 - - 0.35 0.35 - 0.69 1.73
1,715 BBB 6.76 0.47 4.26 0.12 1.46 6.24 0.58 0.64 7.64 0.35 0.06 2.10 0.06 - 0.70 0.06 0.41 0.76 23.97
489 BBB- 0.61 0.41 1.02 0.41 1.84 2.25 0.82 0.61 0.82 39.47 0.41 4.91 2.66 - 2.25 2.66 6.13 3.89 0.41
188 BB+ 5.32 2.13 - - 6.38 4.79 - 2.13 1.06 3.72 11.70 2.13 - 0.53 3.72 1.60 0.53 1.60 0.53
2,369 BB 4.18 0.21 4.52 0.21 0.76 10.55 0.21 0.34 8.91 0.21 1.06 7.01 0.17 - 1.69 0.68 1.22 3.04 22.12
286 BB- 10.49 19.23 0.35 - 2.10 0.35 - 0.35 - 0.35 - 0.35 22.38 - 3.15 8.39 11.89 4.55 0.35
97 B+ 19.59 12.37 12.37 12.37 3.09 1.03 3.09 - 1.03 1.03 - 1.03 - 4.12 - 3.09 1.03 2.06 1.03
1,223 B 1.06 1.80 0.82 2.45 2.21 10.06 0.25 0.25 6.38 - 0.65 4.17 - 0.25 6.13 1.55 2.94 14.64 18.07
258 B- 0.78 - - - - - - 0.39 0.78 - 1.16 0.78 1.16 5.43 1.55 18.22 22.09 15.50 -
807 CCC 0.50 - 0.25 - 0.25 2.85 0.50 0.25 5.08 - 0.87 4.46 0.74 0.50 2.73 0.50 7.68 36.31 16.98
a
Fitch Global Structured Financea Ten-Year Transition Matrix: 2013 Cohort

6,562 AAA 5.32 0.06 0.73 0.03 0.20 0.40 0.03 - 0.11 - - 0.02 - - 0.35 0.08 0.02 0.23 2.26
128 AA+ 5.47 - 2.34 - 0.78 - - - 0.78 - - - - - 1.56 0.78 - 1.56 1.56
1,906 AA 2.68 0.31 1.15 0.42 0.26 1.52 0.05 0.05 0.89 0.05 - 0.58 - - 0.05 - - 0.89 14.01
337 AA- 11.87 1.48 0.30 1.48 5.04 1.48 0.30 0.30 0.30 - - 0.30 - - - 0.89 0.59 0.30 0.30
285 A+ 5.61 1.05 2.46 - 1.75 2.46 0.35 - 0.35 - - - - - 1.05 0.35 - 0.70 1.40
2,878 A 2.15 0.28 1.22 0.21 1.32 3.09 0.10 0.03 0.80 - 0.17 0.42 - - 0.24 - 0.07 1.91 9.03
196 A- 3.57 1.02 0.51 1.02 3.57 5.10 4.59 - 0.51 2.55 1.02 0.51 - - 0.51 1.53 0.51 2.04 2.55
309 BBB+ 0.97 0.65 0.32 - 2.27 0.65 0.97 1.29 0.97 0.32 - 1.62 - - 0.32 0.32 - 1.29 20.39
2,435 BBB 1.23 0.16 1.27 - 0.78 3.37 0.21 0.12 3.70 0.08 0.21 1.56 0.08 0.04 0.74 0.04 0.49 3.00 15.28
346 BBB- 2.31 - 0.58 0.29 1.45 3.18 0.58 0.87 1.73 1.73 1.45 1.16 0.58 - 0.87 1.16 3.47 6.07 3.18
109 BB+ - 1.83 - - 0.92 3.67 - - 0.92 - 0.92 0.92 - - - - 0.92 3.67 14.68
1,953 BB 0.97 0.26 1.08 0.26 0.92 3.33 0.15 0.05 3.89 0.10 0.15 2.76 0.05 0.10 1.13 0.15 0.87 7.27 14.18
73 BB- - - - - - 2.74 - 5.48 - - 1.37 1.37 1.37 1.37 - - - 6.85 23.29
65 B+ - - 1.54 - - - - - - - 1.54 - - - - - 1.54 7.69 40.00
2,808 B 1.10 0.04 1.39 0.07 0.50 3.21 0.07 0.14 3.95 0.04 0.25 2.56 0.04 0.07 1.18 0.25 1.35 17.45 16.24
137 B- 0.73 - - - - - 0.73 0.73 1.46 - - - - - - 0.73 0.73 24.09 3.65
3,288 CCC 2.71 0.06 1.09 0.09 0.12 5.57 0.15 0.18 3.13 0.03 0.09 1.79 0.03 - 0.91 0.06 1.16 38.96 7.12
a
Fitch Global ABS Average Annual Transition Matrix: 1990-2022
49,341 AAA 79.97 0.08 0.37 0.13 0.04 0.24 0.03 0.02 0.34 0.05 0.01 0.10 - - 0.06 0.01 0.01 0.004 0.67
836 AA+ 19.02 50.36 3.83 0.60 0.60 0.24 0.24 0.36 0.72 0.48 0.12 0.96 - - 0.36 - - - 0.36
6,392 AA 11.83 1.20 66.85 1.38 0.59 0.75 0.27 0.02 0.66 0.20 0.09 0.22 0.09 0.02 0.11 - 0.02 - 0.70
1,312 AA- 3.05 1.91 3.96 63.03 1.30 1.98 0.69 0.08 0.84 0.69 0.15 0.08 - - 0.15 0.08 0.08 0.08 0.46
5,011 A+ 0.52 1.02 3.87 1.02 72.04 1.90 0.14 0.16 3.81 0.38 0.04 0.10 - 0.02 0.16 - 0.08 0.04 0.96
14,115 A 1.27 0.20 4.04 0.37 1.28 77.22 0.69 0.30 1.08 0.15 0.04 0.48 0.16 0.02 0.55 0.03 0.08 0.13 0.40
1,364 A- 0.51 0.22 0.81 0.29 0.95 5.13 64.52 5.87 2.71 5.06 0.29 0.73 0.37 0.07 0.15 0.15 0.22 - 0.44
2,780 BBB+ 0.25 0.04 0.65 0.04 0.83 2.16 2.52 65.40 2.12 2.81 0.58 0.54 0.40 0.07 0.32 - 0.40 0.18 6.37
8,821 BBB 0.16 0.01 0.39 0.08 0.27 3.11 0.35 3.68 71.77 0.99 0.58 1.24 0.35 0.09 0.73 0.49 0.32 0.27 1.44
1,487 BBB- 0.20 - 0.13 - 0.07 1.68 0.13 0.81 2.96 57.43 10.15 3.43 1.34 0.54 2.82 0.27 1.01 0.74 1.68
889 BB+ - - 0.34 - 0.22 0.67 - 1.69 2.92 2.25 62.88 4.39 1.35 1.57 1.35 0.22 1.01 0.67 1.12
2,226 BB - - - - 0.09 1.57 0.13 0.22 4.36 1.03 1.35 63.12 1.03 1.53 5.66 0.63 3.19 2.20 1.21
435 BB- - - - - - 0.23 - - 0.92 0.46 2.30 4.83 54.94 6.44 7.36 0.69 1.84 3.91 2.53
210 B+ - - - - - - - - 0.95 0.95 1.43 2.38 2.86 38.10 28.57 2.38 8.10 3.81 4.76
1,375 B 0.22 - 0.07 - - 0.07 - 0.07 0.95 0.29 0.22 1.82 0.44 0.73 61.89 3.71 4.73 8.22 5.09
319 B- - - - - - - - - 0.31 - - 0.31 - 0.63 0.31 55.80 9.40 10.97 12.85
594 CCC - - - - - - - - - - - 0.34 0.51 0.51 0.84 - 54.71 32.83 2.53
Fitch Global ABS One-Year Transition Matrix: 2022 Cohort

1,465 AAA 76.11 - 0.14 - - - - - 0.07 - - - - - - - - - 0.07

30 AA+ 26.67 46.67 - - - - - - - - - - - - - - - - -
351 AA 22.51 2.28 56.13 - - 0.28 - - - - - - - - - - - - -
15 AA- 6.67 13.33 6.67 66.67 - - - - - - - - - - - - - - -
95 A+ - 2.11 10.53 2.11 68.42 - - - - - - - - - - - - - 1.05
549 A 1.82 0.36 10.20 - 0.91 72.13 - 0.18 0.18 0.18 - - - - - - - 0.18 -
58 A- - 1.72 5.17 1.72 3.45 5.17 56.90 - 1.72 - - 1.72 - - - - - - -
52 BBB+ 1.92 - 5.77 - 5.77 5.77 9.62 57.69 - - - - - - - - 1.92 - -
254 BBB - - 0.79 - 0.79 9.06 0.79 1.18 71.26 0.39 0.39 1.97 - - 1.97 0.39 0.79 - -
46 BBB- - - - - 2.17 6.52 - - 2.17 65.22 - 4.35 - - - - - - -
111 BB+ - - - - - - - 1.80 0.90 4.50 78.38 - - - - - - - -
107 BB - - - - - - - 1.87 8.41 0.93 2.80 65.42 - - 4.67 0.93 1.87 0.93 0.93
13 BB- - - - - - - - - - - - 7.69 69.23 - - 7.69 - - -
12 B+ - - - - - - - - - - 8.33 - - 66.67 - - - - 25.00
78 B - - - - - 1.28 - - - - - 3.85 1.28 1.28 65.38 - 5.13 15.38 -
5 B- - - - - - - - - - - - - - - - 80.00 20.00 - -
29 CCC - - - - - - - - - - - - - 3.45 3.45 - 55.17 20.69 -
Fitch Global ABS Three-Year Transition Matrix: 2020 Cohort
1,686 AAA 37.19 - 0.47 - 0.06 0.12 - - 0.12 - - 0.06 - - 0.06 - - - 0.47
48 AA+ 16.67 8.33 - - 2.08 - - - - - - - - - - - - - -
425 AA 10.12 0.24 25.18 0.71 - - - - 0.24 - - 0.24 - - - - - - 0.47
13 AA- 23.08 7.69 15.38 15.38 - - - - - - - - - - - - - - -
114 A+ 7.89 0.88 2.63 - 34.21 1.75 - - - - - - - - 0.88 - - - 4.39
622 A 2.57 - 2.73 0.16 0.64 43.57 0.48 0.16 1.45 0.32 - 0.64 - - - 0.16 0.32 0.16 0.32
43 A- - - 2.33 - - 6.98 37.21 6.98 - - - - - - - - 4.65 - -
63 BBB+ 4.76 1.59 4.76 1.59 3.17 1.59 1.59 14.29 - - - - - - - - 1.59 - 20.63
276 BBB 0.72 - 5.43 - 0.36 3.26 0.36 0.72 32.97 0.72 0.36 2.17 - - 3.26 0.36 0.36 1.09 1.81
37 BBB- - 2.70 - - - 8.11 2.70 - - 8.11 2.70 - - - - - - - 2.70
132 BB+ - - 0.76 - - - 1.52 - - 0.76 45.45 - - - - - - - -
102 BB 0.98 - - - 0.98 - - 0.98 3.92 0.98 0.98 25.49 - - 2.94 - 10.78 2.94 3.92
12 BB- - - - - - 8.33 - - 8.33 - - - 41.67 - - 8.33 - - -
5 B+ - - - - - - - - - - 20.00 - - - - - - - 60.00
89 B - - - - - - - - - - - - - 2.25 43.82 - - 23.60 4.49
2 B- - - - - - - - - - - - - - - - 100.00 - - -
20 CCC - - - - - 5.00 - - - - - - - 5.00 5.00 - 45.00 20.00 5.00
Fitch Global ABS Five-Year Transition Matrix: 2018 Cohort

1,720 AAA 24.83 - 0.47 - 0.06 0.12 - - 0.12 - - 0.06 - - 0.23 - - - 0.29
57 AA+ - - - - - - - - - - - - - - - - - - 1.75
433 AA 7.16 0.23 15.94 - - - - - 0.23 - - 0.23 - - 1.15 - - - 0.46
12 AA- - - 8.33 8.33 - - - - - - - - - - - - - - -
125 A+ - 0.80 3.20 - 18.40 1.60 - - 5.60 - - - - - 0.80 - - - 3.20
602 A 0.83 0.17 0.66 0.33 0.66 31.23 0.33 - 1.00 - - - - - 1.16 - 0.17 - 0.50
114 A- - - - - - - 7.89 0.88 - - 27.19 - - - - - 1.75 0.88 0.88
126 BBB+ - - 0.79 - - 0.79 2.38 3.17 - - 4.76 1.59 - - - - - - 3.17
244 BBB - 0.41 3.69 - 0.82 2.46 - - 12.70 0.82 0.41 1.23 - - 1.64 - - 0.82 0.82
42 BBB- - - 2.38 - - - - - - 7.14 - - - - - - - - -
17 BB+ - 5.88 - - 5.88 - - 5.88 - 5.88 11.76 - - - - - - - -
89 BB - - - - - 1.12 - - 3.37 1.12 - 12.36 1.12 - 11.24 - 1.12 3.37 1.12
10 BB- - - - - - 10.00 - - - - - - - - - - - - 10.00
9 B+ - - - - - - - - - - - - - - - - - - 11.11
68 B 1.47 - - - - 1.47 - - - - - - - 2.94 14.71 - - 30.88 2.94
15 B- - - - - - - - - - - - - - - - 13.33 46.67 13.33 -
10 CCC - - - - - 10.00 - - - - - - 20.00 10.00 10.00 - 20.00 10.00 10.00
Fitch Global ABS Ten-Year Transition Matrix: 2013 Cohort

1,824 AAA 12.12 - 1.21 - 0.05 0.11 - - 0.11 - - - - - 1.26 0.05 0.05 0.71 1.37
12 AA+ - - - - - - - - 8.33 - - - - - - - - 16.67 -
164 AA 0.61 - 0.61 - 0.61 1.22 - 0.61 0.61 - - - - - - - - - 3.05
60 AA- 1.67 - - 1.67 1.67 3.33 1.67 - - - - - - - - - 1.67 1.67 -
140 A+ 4.29 - 2.86 - - 2.86 - - 0.71 - - - - - 2.14 - - 0.71 -
514 A 1.95 - 0.58 - 0.39 3.70 0.39 0.19 - - 0.78 - - - 0.97 - - 0.97 0.39
48 A- 2.08 - 2.08 - 2.08 16.67 10.42 - - 2.08 4.17 - - - - - - 2.08 2.08
156 BBB+ - - - - - - - - - 0.64 - 1.92 - - - - - - 37.82
272 BBB 1.10 - 1.10 - 0.37 5.51 0.37 0.37 4.04 - - 1.10 0.37 - 0.74 - 2.21 1.47 9.93
53 BBB- - - 1.89 - - 13.21 - - 5.66 - - - - - 1.89 1.89 - 3.77 9.43
23 BB+ - - - - - - - - - - - - - - - - - - 56.52
109 BB - - - - - 11.93 - - 5.50 - - 0.92 - 0.92 3.67 - - 2.75 12.84
20 BB- - - - - - - - - - - - - - - - - - 10.00 80.00
26 B+ - - 3.85 - - - - - - - - - - - - - - - 96.15
74 B - - - - - - - - - - - - - - - - 1.35 27.03 39.19
6 B- - - - - - - - - - - - - - - - - - 16.67 66.67
25 CCC - - - - - - - - - - - - - - - - - 52.00 8.00
Fitch Global CMBS Average Annual Transition Matrix: 1991-2022
42,871 AAA 85.56 0.05 0.51 0.06 0.03 0.44 0.01 0.002 0.16 0.11 - 0.13 - - 0.02 0.01 0.01 0.01 0.40
1,749 AA+ 25.56 55.92 1.77 0.29 0.34 1.66 0.06 0.29 0.74 0.57 - 1.37 - - 0.17 0.11 - 0.11 0.97
6,649 AA 10.09 4.32 68.70 0.53 0.26 3.04 0.15 0.09 1.31 0.45 0.06 1.16 0.02 - 0.45 0.06 0.18 0.11 0.57
3,837 AA- 4.25 1.62 4.04 79.59 0.31 1.98 0.39 0.05 0.83 0.47 0.03 1.15 0.05 - 0.44 0.16 0.16 0.13 0.26
1,688 A+ 9.12 3.14 7.29 5.86 54.80 2.78 0.53 0.24 1.42 0.53 0.24 2.07 - 0.06 1.48 0.47 0.59 0.41 0.36
7,449 A 3.72 0.63 3.66 1.19 3.56 67.82 0.42 0.24 2.97 0.86 0.09 1.89 0.08 0.04 1.02 0.60 0.40 0.24 0.46
5,316 A- 1.66 0.49 1.00 0.75 1.35 4.08 81.17 0.49 1.71 0.83 0.02 1.32 0.06 0.04 0.55 0.88 0.28 0.23 0.13
2,916 BBB+ 2.06 0.75 1.30 0.86 1.54 3.05 4.32 67.08 2.02 1.30 0.55 2.13 0.17 0.10 1.89 1.95 1.41 0.62 0.31
7,361 BBB 1.39 0.23 0.61 0.27 0.56 3.50 1.15 3.31 69.30 1.63 0.27 3.78 0.18 0.11 1.73 1.34 1.34 0.72 0.34
7,520 BBB- 0.52 0.08 0.20 0.15 0.35 0.85 0.52 1.12 3.16 76.94 0.69 3.11 1.02 0.03 1.46 1.90 1.53 0.85 0.35
2,436 BB+ 0.57 0.08 0.57 0.04 0.41 1.15 0.78 1.52 2.55 4.84 69.21 2.34 0.94 0.45 1.81 4.02 1.81 2.01 0.57
6,327 BB 0.60 - 0.25 0.02 - 0.93 0.09 0.30 2.61 1.55 2.75 67.19 0.57 0.43 5.25 3.15 5.20 2.40 0.38
3,214 BB- 0.06 - 0.03 0.03 - 0.06 0.12 0.06 0.47 0.93 1.43 2.61 77.82 0.87 2.74 4.95 2.12 3.17 0.12
1,513 B+ 0.26 - - 0.07 0.20 0.07 - 0.07 0.13 0.33 1.65 2.71 3.24 70.85 2.38 6.35 4.23 5.29 0.40
4,863 B 0.23 - 0.02 - - 0.35 - 0.04 0.56 0.04 0.27 2.84 0.29 1.73 66.69 3.99 11.39 6.31 0.35
4,572 B- 0.04 - - - - 0.04 - - 0.04 - 0.13 0.59 0.04 0.26 1.25 65.90 14.52 15.79 0.07
4,459 CCC 0.22 - - - - 0.36 - - 0.22 - 0.04 1.03 0.04 0.04 2.67 0.58 57.19 32.83 0.56
Fitch Global CMBS One-Year Transition Matrix: 2022 Cohort

2,890 AAA 91.49 0.03 0.10 - - 0.03 - - - - - - - - - - - - -

9 AA+ 22.22 66.67 11.11 - - - - - - - - - - - - - - - -
90 AA 23.33 2.22 53.33 1.11 - 1.11 - - - - - - - - - - - - 1.11
450 AA- 0.22 - 3.11 93.11 - 1.56 0.22 - - - - - - - - - - - -
13 A+ - 7.69 - - 46.15 15.38 - - 15.38 - - - - - - - - - -
128 A 3.13 1.56 8.59 0.78 0.78 64.06 0.78 - 3.91 - - - - - 0.78 - - - -
511 A- - - 0.39 - 0.39 2.15 91.78 - 2.74 0.59 - - - - - - - - -
76 BBB+ 1.32 - 1.32 - - 1.32 - 88.16 - - 1.32 1.32 - - - - - - -
244 BBB 1.64 - 0.82 - - 3.69 - - 86.48 0.41 - 2.87 - - - - 0.82 - -
518 BBB- - - - - - 0.58 0.39 0.19 0.58 91.89 - 2.90 0.77 - 0.19 - - - -
59 BB+ - - - - 1.69 - - - - 1.69 91.53 1.69 - - 1.69 - - - -
120 BB - - - - - - - - 4.17 0.83 - 73.33 - - 6.67 2.50 4.17 0.83 -
253 BB- - - - - - - - - - 0.79 - 0.40 88.54 0.40 1.98 4.35 - 0.40 -
4 B+ - - - - - - - - - - - - - 100.00 - - - - -
84 B - - - - - - - - - - - - - - 73.81 5.95 10.71 3.57 -
281 B- - - - - - - - - - - - 0.36 0.36 - - 82.21 15.30 0.71 -
184 CCC - - - - - - - - - - - - - - 0.54 - 72.83 22.83 -
Fitch Global CMBS Three-Year Transition Matrix: 2020 Cohort
2,504 AAA 74.28 0.04 0.44 0.24 0.08 0.24 0.04 - 0.08 - - 0.08 - - - - - - -
9 AA+ 11.11 22.22 11.11 - - - - - - - - 33.33 - - - - - - -
104 AA 14.42 0.96 33.65 11.54 - 3.85 - - 2.88 - - 1.92 - - - - - 0.96 0.96
347 AA- 1.44 - 3.75 80.12 - 5.76 2.02 - 1.15 - - - - - 0.29 - 0.29 0.29 -
12 A+ - 8.33 - 8.33 25.00 25.00 8.33 - - - - - - - - - - - -
140 A 5.00 2.14 7.86 - 0.71 35.71 0.71 - 2.86 - - 5.00 - - 2.14 - 2.86 2.14 -
430 A- 0.93 - 0.70 - 0.47 2.33 77.44 - 8.37 1.63 0.23 0.93 - - 0.23 - 0.47 0.93 -
71 BBB+ 1.41 - 1.41 - - 1.41 - 81.69 - - - 2.82 - - 1.41 - - 1.41 -
182 BBB 2.75 - 1.10 - - 3.30 - - 64.29 0.55 1.10 2.75 0.55 - - 1.65 4.40 1.65 -
487 BBB- - - 0.21 - 0.21 1.03 0.41 0.21 0.41 72.69 - 5.54 2.87 - 2.46 2.05 5.54 2.26 -
48 BB+ - - - - - - - - - - 68.75 6.25 - - 12.50 6.25 2.08 2.08 -
139 BB - - - - - 0.72 - - 2.16 1.44 - 35.97 1.44 - 7.91 4.32 11.51 18.71 -
253 BB- - - - - 0.40 - - - - 0.40 - 0.79 58.10 0.40 4.74 14.23 11.46 3.56 -
2 B+ - - - - - - - - - - - - - 50.00 - - 50.00 - -
120 B - - - - - - - - 0.83 - - - - - 22.50 10.00 17.50 35.00 -
235 B- - - - - - - - - - - - 0.43 - - 0.43 51.91 31.06 13.62 -
59 CCC - - - - - - - - - - - - - - - - 16.95 69.49 -
Fitch Global CMBS Five-Year Transition Matrix: 2018 Cohort

1,943 AAA 56.66 - 0.57 0.31 0.10 0.31 0.05 - 0.10 - - 0.10 - - - - - - -
5 AA+ - 20.00 - - - - - - - - - 60.00 - - - - - - -
103 AA 8.74 - 20.39 9.71 - 2.91 - - 2.91 - - 1.94 - - - - - 0.97 0.97
251 AA- 3.98 - 7.17 64.54 - 8.37 2.79 - 1.59 - - 0.40 - - 0.80 - 0.80 0.40 -
21 A+ 57.14 - - - 9.52 4.76 - - - - - - - - - - - - -
196 A 11.22 1.02 4.08 - - 16.33 - - 1.02 - - 3.06 - - 1.02 - 1.02 2.04 -
351 A- 2.85 0.28 1.71 - - 5.70 61.54 - 10.54 1.71 - 1.14 - - 0.28 - 1.71 1.71 -
59 BBB+ 1.69 - 3.39 - - 1.69 - 55.93 8.47 - - 3.39 - - 1.69 1.69 - 3.39 -
122 BBB 4.10 - 1.64 - - 4.10 - - 31.15 - - 4.10 0.82 - - 0.82 4.10 - -
351 BBB- 0.28 - 0.57 - 0.28 1.71 0.57 - 0.85 53.56 - 6.84 3.70 - 3.13 3.70 8.55 5.41 -
39 BB+ - - - - - - - - - 12.82 41.03 7.69 - - 15.38 7.69 2.56 7.69 -
195 BB - - - - - 0.51 - - 1.54 1.03 - 19.49 1.03 - 4.62 2.05 8.21 18.97 0.51
168 BB- - - - - - - - - - - - 0.60 38.10 - 5.36 14.29 20.24 7.74 -
4 B+ - - - - - - - - - - - - - - - - 25.00 50.00 -
158 B - - - - - - - - 0.63 - - - - - 13.92 6.96 12.66 36.71 -
146 B- - - - - - - - - - - - - - - 0.68 30.14 34.25 26.03 -
81 CCC - - - - - - - - - - - - - - - - 4.94 46.91 -
Fitch Global CMBS Ten-Year Transition Matrix: 2013 Cohort

1,635 AAA 1.22 - 0.06 0.06 0.12 0.06 0.06 - 0.12 - - 0.06 - - - - - - -
28 AA+ - - - - - - - - - - - - - - - - - - -
245 AA 0.82 - 2.86 2.45 - 0.82 - - 1.22 - - 1.22 - - - - - 1.22 1.22
42 AA- 2.38 - - - - 2.38 - - 2.38 - - 2.38 - - - - 2.38 - -
40 A+ - - 2.50 - 2.50 2.50 - - - - - - - - - - - 2.50 5.00
352 A - 0.28 0.85 - - 2.27 - - 0.57 - - 0.85 - - 0.57 - 0.28 3.13 1.42
82 A- - - - - - 2.44 2.44 - 1.22 4.88 - 1.22 - - 1.22 - 1.22 3.66 -
53 BBB+ - - - - - - - 7.55 - - - 3.77 - - 1.89 1.89 - 7.55 1.89
304 BBB 0.33 - - - - - - - 1.32 - - 0.33 0.33 - - - 0.99 4.61 1.64
193 BBB- 0.52 - - - 0.52 - - - - 2.59 - 2.07 1.04 - 1.04 0.52 5.70 9.84 0.52
33 BB+ - - - - - - - - - - 3.03 - - - - - - 12.12 6.06
332 BB - - - - - - - - 0.60 0.60 - 0.90 - - 0.30 - 1.51 17.77 1.51
17 BB- - - - - - - - - - - - - - - - - - 5.88 -
16 B+ - - - - - - - - - - - - - - - - - 18.75 -
271 B - - - - - - - - - - - - - - 0.74 1.11 1.48 30.26 2.95
66 B- - - - - - - - - 1.52 - - - - - - - - 33.33 -
560 CCC - - - - - - - - - - - - - - 0.18 - 0.54 53.75 3.21
Fitch Global RMBS Average Annual Transition Matrix: 1990-2022
293,225 AAA 79.55 0.05 1.12 0.06 0.01 1.01 0.01 0.004 0.98 0.004 - 0.66 0.001 - 0.60 - 1.23 1.06 0.31
8,566 AA+ 9.74 64.80 1.98 0.28 0.43 3.09 0.11 - 2.59 0.05 0.02 2.03 0.02 0.02 1.49 - 1.68 1.70 0.35
39,036 AA 8.17 1.95 67.47 0.42 0.25 4.52 0.12 0.08 3.03 0.09 0.01 1.69 0.01 0.02 1.10 0.003 1.01 1.43 0.68
5,338 AA- 4.25 3.17 4.74 60.25 1.57 2.64 1.05 0.22 2.96 0.43 - 2.14 0.13 0.06 2.15 0.02 3.39 3.35 0.67
6,769 A+ 2.04 2.10 4.27 2.87 61.34 2.14 1.11 1.03 2.30 0.38 0.10 2.29 0.04 0.04 2.08 0.03 2.84 3.62 0.16
42,004 A 2.59 0.91 5.03 0.69 1.64 66.28 0.55 0.47 4.84 0.30 0.06 2.54 0.02 0.01 1.92 0.03 1.72 2.55 0.81
5,942 A- 1.09 1.70 1.35 0.94 2.51 3.52 56.65 2.93 3.28 1.95 1.01 2.34 0.17 0.10 2.29 0.08 3.62 7.69 0.15
7,031 BBB+ 0.47 0.40 0.84 0.84 2.33 3.20 2.32 57.46 2.63 1.92 1.85 3.06 0.36 0.23 3.73 0.28 2.80 8.56 0.10
41,240 BBB 0.39 0.26 1.29 0.41 0.81 5.98 0.68 1.27 61.81 0.57 0.37 5.31 0.20 0.12 4.25 0.06 3.70 5.30 1.16
6,589 BBB- 0.14 0.08 0.12 0.87 1.20 1.64 1.76 1.84 4.08 52.01 1.34 3.90 2.40 0.90 3.54 0.64 2.22 13.80 0.14
3,584 BB+ 0.03 - 0.25 0.70 1.59 2.85 1.59 3.99 4.63 4.58 43.89 1.79 1.09 1.45 4.74 0.25 2.59 14.84 0.56
34,061 BB 0.10 0.03 0.23 0.07 0.21 1.57 0.40 0.52 7.03 0.90 1.24 59.81 0.18 0.26 5.58 0.16 4.22 10.67 1.88
1,884 BB- 0.05 - 0.21 - 1.22 0.16 0.42 0.80 1.86 7.70 10.35 9.55 36.94 0.58 4.14 1.65 3.03 15.82 0.27
1,419 B+ 0.21 - 0.07 - 0.14 0.28 0.28 1.90 0.85 1.06 7.12 11.13 9.37 35.38 1.83 0.49 2.40 21.00 0.21
28,594 B 0.01 0.01 0.04 0.003 0.05 0.24 0.05 0.10 1.63 0.25 0.67 8.42 0.81 1.35 56.19 0.33 8.67 16.33 0.99
776 B- 0.13 - 0.13 0.13 - - 0.13 - 0.26 - 0.26 2.19 1.93 3.35 8.89 48.84 7.99 22.55 0.13
24,148 CCC - - - - - 0.01 - - 0.14 0.01 0.02 1.62 0.02 0.03 5.30 0.05 52.46 37.96 0.66
Fitch Global RMBS One-Year Transition Matrix: 2022 Cohort

4,436 AAA 88.57 - 0.02 - - 0.20 - - - - - - - - - - - - 0.02

148 AA+ 64.19 21.62 - - - - - - - - - - - - - - - - -
626 AA 39.30 4.15 37.22 0.16 - 2.72 - - 0.16 - - - - - - - - - 4.15
138 AA- 24.64 10.87 26.81 30.43 1.45 - - - - - - - - - - - - - -
292 A+ 2.05 9.59 8.90 2.05 65.07 0.68 - - - - - - - - - - - - -
1,288 A 17.55 4.27 15.61 0.39 1.71 41.69 - - 0.78 - - 0.39 - - 0.16 - 0.08 - 7.22
178 A- - 33.15 7.30 2.25 8.43 18.54 26.40 - - - - - - - - - - - -
121 BBB+ 8.26 8.26 0.83 19.83 12.40 22.31 3.31 20.66 - - - - - - - - - - -
1,092 BBB 0.64 - 6.59 2.11 1.37 26.28 0.73 0.64 38.28 - - 1.92 - - - - - - 16.48
213 BBB- - - - 16.90 21.60 13.15 1.88 2.82 16.90 19.72 - - - - - - - - -
225 BB+ - - - 8.89 13.78 28.89 10.22 1.33 11.56 1.33 18.67 - - - - - - - -
847 BB 1.18 - 0.12 - 0.12 5.31 4.72 0.59 19.13 0.12 0.71 40.14 - - 1.42 - 0.47 1.53 17.95
91 BB- - - - - 21.98 - 1.10 12.09 17.58 - 4.40 18.68 24.18 - - - - - -
85 B+ - - - - - - - 24.71 2.35 - 30.59 16.47 1.18 23.53 - 1.18 - - -
486 B - - - - - 0.41 - - 12.14 - 1.23 17.70 0.21 0.41 46.30 1.85 1.23 2.26 11.32
73 B- - - - - - - - - - - 1.37 2.74 1.37 - 38.36 56.16 - - -
172 CCC - - - - - - - - - - - 5.81 0.58 - 7.56 0.58 52.33 10.47 11.05
Fitch Global RMBS Three-Year Transition Matrix: 2020 Cohort
2,835 AAA 55.38 - - - - 0.07 - - - - - - - - - - 0.04 - 2.40

137 AA+ 63.50 7.30 - - - 0.73 - - - - - - - - - - - - -
617 AA 36.30 1.94 8.75 0.32 0.16 2.76 - - 0.16 - - 0.32 - - - - 0.16 - 13.94
45 AA- 37.78 17.78 2.22 8.89 2.22 - - - - - - - - - - - - - -
263 A+ 10.65 6.46 3.42 1.90 36.88 6.46 - - - - - - - - - - - - 0.38
1,156 A 14.97 0.43 9.17 0.26 1.47 14.62 0.09 - 0.95 - - 0.52 - - 0.35 - 0.09 - 17.56
79 A- 20.25 1.27 3.80 10.13 18.99 7.59 2.53 - - - - - - - - - - - -
132 BBB+ 24.24 2.27 3.03 - 15.91 10.61 5.30 8.33 0.76 - 0.76 - - - - - - - 0.76
1,212 BBB 8.25 0.91 8.42 0.17 0.91 19.06 0.33 0.25 10.07 0.17 - 1.98 - - 0.74 - 0.25 0.08 24.01
161 BBB- 14.29 39.75 8.07 - 4.35 3.11 1.86 1.24 0.62 2.48 - 0.62 - - - - - - 0.62
145 BB+ 9.66 31.72 2.07 1.38 3.45 0.69 0.69 2.07 5.52 1.38 5.52 - - - - - - - -
1,598 BB 0.94 1.00 2.63 2.25 1.81 11.64 0.25 0.38 16.08 0.06 0.31 11.01 - - 1.56 - 0.56 1.00 28.41
136 BB- 7.35 - - 33.82 7.35 10.29 - - 1.47 - 2.94 2.94 - - 1.47 0.74 - - -
118 B+ 1.69 - - - 21.19 34.75 22.03 0.85 0.85 - 0.85 1.69 1.69 5.93 - 2.54 - - -
690 B - - 0.14 2.90 7.25 5.07 5.80 1.59 7.97 - 0.72 6.81 0.29 0.14 12.17 3.48 2.46 5.80 20.58
10 B- - - - - - - - - - - 10.00 - - - 40.00 40.00 - - -
338 CCC - - - - - 0.30 - - 3.85 - 0.59 3.85 0.30 0.30 4.14 0.59 17.75 31.07 22.78
Fitch Global RMBS Five-Year Transition Matrix: 2018 Cohort

1,771 AAA 38.11 0.06 - - - 0.17 - - - - - - - - - - 0.06 - 3.67

141 AA+ 45.39 5.67 - - - 1.42 - - - - - - - - - - - - -
723 AA 23.51 0.97 3.87 0.14 - 1.52 - - 0.14 - - 0.28 - - - - 0.14 - 9.54
50 AA- 36.00 2.00 6.00 4.00 2.00 - - - - - - - - - - - - - -
158 A+ 11.39 5.70 0.63 1.27 27.85 1.90 - - - - - - - 0.63 - 0.63 - - 0.63
1,489 A 13.23 0.13 2.89 0.54 1.14 6.58 0.13 - 1.81 - - 0.34 - - 0.20 - 0.07 0.27 17.60
90 A- 11.11 4.44 1.11 2.22 13.33 5.56 3.33 - - - - - - - - - - - -
66 BBB+ 12.12 6.06 6.06 - 16.67 4.55 1.52 1.52 1.52 - - - - - - - - - -
1,196 BBB 9.20 0.59 4.85 0.17 1.34 8.03 0.33 0.08 5.02 0.08 - 2.34 - - 0.67 - 0.17 0.92 31.52
73 BBB- 2.74 2.74 2.74 2.74 10.96 6.85 2.74 2.74 - 1.37 - - - - - - - - 2.74
105 BB+ 9.52 2.86 - - 9.52 7.62 - 2.86 1.90 - 1.90 0.95 - - 0.95 - - - -
1,954 BB 5.07 0.26 5.48 0.20 0.82 12.64 0.20 0.31 10.44 0.05 0.20 5.99 - - 1.07 0.61 0.61 1.64 25.95
104 BB- 28.85 52.88 0.96 - 5.77 - - 0.96 - 0.96 - - - - - - - - -
77 B+ 24.68 15.58 15.58 15.58 3.90 1.30 3.90 - 1.30 - - 1.30 - 2.60 - 3.90 - - -
965 B 1.24 2.28 1.04 3.11 2.80 12.64 0.31 0.21 7.98 - 0.83 5.08 - - 4.46 0.83 1.66 10.26 22.28
18 B- 5.56 - - - - - - 5.56 11.11 - 5.56 5.56 - - 11.11 5.56 - - -
707 CCC 0.57 - 0.28 - 0.28 3.11 0.57 0.28 5.66 - 0.99 4.81 0.57 0.42 2.97 0.42 7.78 35.79 19.09
Fitch Global RMBS Ten-Year Transition Matrix: 2013 Cohort

2,924 AAA 3.39 0.14 0.85 0.03 0.34 0.79 0.03 - 0.10 - - - - - - 0.14 - 0.07 3.93
83 AA+ 8.43 - 3.61 - 1.20 - - - - - - - - - 2.41 1.20 - - 2.41
1,428 AA 3.36 0.42 0.98 0.14 0.28 1.75 0.07 - 0.91 0.07 - 0.56 - - 0.07 - - 0.98 18.14
188 AA- 20.21 2.66 0.53 2.13 8.51 1.06 - 0.53 - - - - - - - 1.60 - - -
84 A+ 11.90 3.57 2.38 - 4.76 2.38 1.19 - - - - - - - - 1.19 - - 1.19
1,861 A 2.79 0.38 1.56 0.32 1.93 3.33 0.05 - 1.13 - 0.05 0.48 - - - - 0.05 2.10 12.74
54 A- 11.11 3.70 - 3.70 11.11 - 1.85 - - - - - - - - 5.56 - - 5.56
78 BBB+ 3.85 2.56 1.28 - 8.97 2.56 3.85 - 1.28 - - - - - - - - - 2.56
1,657 BBB 1.45 0.24 1.27 - 1.03 4.04 0.24 0.12 4.16 - 0.18 2.05 - 0.06 0.97 0.06 0.18 3.32 19.13
69 BBB- 10.14 - 1.45 1.45 5.80 5.80 2.90 2.90 2.90 - 4.35 - - - - 2.90 1.45 - 5.80
32 BB+ - 6.25 - - 3.13 12.50 - - 3.13 - - 3.13 - - - - 3.13 - -
1,338 BB 1.35 0.37 1.49 0.30 1.27 3.89 0.22 0.07 5.08 - 0.22 3.74 0.07 0.07 1.27 0.22 0.90 5.83 16.97
23 BB- - - - - - 8.70 - 17.39 - - 4.35 4.35 4.35 4.35 - - - - -
12 B+ - - - - - - - - - - 8.33 - - - - - 8.33 16.67 -
2,283 B 1.36 0.04 1.66 0.09 0.57 3.85 0.09 0.13 4.82 0.04 0.31 3.15 0.04 0.09 1.36 0.18 1.45 16.64 17.08
34 B- - - - - - - 2.94 2.94 2.94 - - - - - - 2.94 2.94 - -
2,516 CCC 3.54 0.08 1.43 0.08 0.04 7.27 0.16 0.20 4.05 - 0.12 2.19 0.04 - 1.15 0.08 1.35 36.69 7.71
Fitch Global Structured Credit Average Annual Transition Matrix: 1994-2022
19,066 AAA 74.98 0.41 1.24 0.41 0.36 1.17 0.19 0.22 1.08 0.30 0.10 0.65 0.09 0.04 0.51 0.03 0.44 0.39 0.68
1,393 AA+ 8.76 56.93 3.37 1.36 0.36 1.58 0.43 0.29 2.23 0.72 0.07 1.65 0.43 0.07 0.36 - 1.29 1.29 1.22
5,974 AA 4.20 5.09 65.50 0.94 0.47 1.62 0.28 0.27 1.67 0.45 0.55 1.31 0.12 0.20 1.16 0.17 1.07 1.34 1.47
857 AA- 1.52 4.20 3.27 53.79 1.87 3.27 1.40 0.82 2.57 1.52 0.58 1.40 0.23 - 2.33 0.47 1.98 2.80 2.33
1,276 A+ 1.02 2.12 4.23 2.90 54.94 2.19 1.41 0.55 1.72 0.63 0.31 2.51 0.47 0.16 1.18 0.39 1.33 3.37 0.86
5,807 A 0.88 0.29 2.88 0.55 3.87 65.68 0.41 0.43 2.48 0.55 0.38 2.51 0.31 0.24 1.17 0.21 1.27 3.24 1.21
1,818 A- 0.61 0.11 0.61 0.66 2.70 2.64 64.85 1.43 2.09 1.27 0.77 2.97 0.61 0.28 1.98 0.83 1.71 7.32 0.72
1,299 BBB+ 0.38 - 0.46 0.08 1.77 2.62 2.54 60.05 2.08 0.85 0.69 4.16 0.38 0.62 2.85 0.69 3.08 4.39 0.54
6,165 BBB 0.21 0.10 0.18 0.11 0.42 3.67 0.83 3.49 64.07 1.25 0.68 3.08 0.50 0.44 2.48 0.67 2.79 4.35 1.77
1,963 BBB- 0.15 - 0.36 - 0.76 0.36 0.25 2.04 5.30 60.37 1.22 2.65 1.07 0.82 2.75 1.68 3.36 5.09 1.02
932 BB+ - - 0.32 - 0.54 0.32 0.32 1.18 2.90 3.54 55.36 2.04 0.97 0.97 4.61 1.39 4.61 10.73 0.64
3,829 BB 0.03 - 0.13 0.08 0.21 0.81 0.03 0.37 3.97 0.65 3.63 59.13 1.59 0.39 6.06 1.23 4.44 6.74 0.81
1,190 BB- 0.08 - - - 0.08 0.17 - 0.25 0.25 0.42 3.03 6.39 60.92 1.26 3.19 1.93 4.37 7.31 0.34
458 B+ - - - - 0.66 - - - 0.66 0.87 1.09 2.62 2.40 49.34 2.62 4.37 5.68 16.38 1.31
2,371 B 0.08 - 0.08 - 0.25 0.42 0.04 0.04 1.01 - 0.04 4.89 0.34 1.81 51.62 2.02 10.67 14.93 1.35
1,668 B- 0.06 - - - - - - - 0.06 - 0.30 0.72 0.36 4.62 3.48 63.97 3.24 13.25 0.36
2,219 CCC 0.09 - - - - - - - 0.32 - 0.09 0.90 - 0.14 4.33 0.59 44.52 41.19 0.81
Fitch Global Structured Credit One-Year Transition Matrix: 2022 Cohort

1,389 AAA 89.20 - - - - - - - - - - - - - - - - - 0.22

104 AA+ 10.58 82.69 - - - - - - - - - - - - - - - - -
416 AA 1.20 18.99 69.23 - - - - - - - - - - - - - - - 6.73
12 AA- - 8.33 - 83.33 - - - - - - - - - - - - - - -
124 A+ - 0.81 0.81 4.03 66.94 - - - - - - - - - - - - - -
264 A 0.76 - 1.14 0.38 20.83 65.53 - - - - - - - - - - - - 7.95
19 A- - - 5.26 5.26 5.26 - 63.16 - 15.79 - - - - - - - - - -
64 BBB+ - - - - - 3.13 1.56 79.69 - - - - - - - - - - -
116 BBB 0.86 - - 0.86 1.72 3.45 3.45 25.86 31.03 - - - - - - - - - 19.83
175 BBB- - - - - - - - 7.43 30.86 55.43 - - - - - - - - -
67 BB+ - - - - - - - - 1.49 5.97 85.07 - - - - - - - -
62 BB - - - - - - - 1.61 1.61 - 45.16 40.32 - - - - - - 9.68
149 BB- - - - - - - - - - - 8.05 41.61 46.31 - - - - - -
42 B+ - - - - - - - - - - - - 7.14 83.33 - - - - -
4 B - - - - - - - - - - - - - 50.00 50.00 - - - -
188 B- - - - - - - - - - - 0.53 1.06 - 15.96 20.21 59.57 - - -
3 CCC - - - - - - - - - - - - - - - 66.67 33.33 - -
Fitch Global Structured Credit Three-Year Transition Matrix: 2020 Cohort
1,668 AAA 41.79 - - - - - - - - - - - - - - - - - 0.24

27 AA+ 7.41 11.11 - - - - - - - - - - - - - - - - -
436 AA 6.19 29.82 12.39 1.15 - - - - - - - - - - - - - - 3.44
7 AA- - 14.29 - 42.86 - - - - - - - - - - - - - - -
38 A+ 2.63 - - 7.89 18.42 - - - - - - - - - - - - - -
301 A 0.66 0.33 1.99 0.66 29.90 12.29 - 0.33 - - - - - - - - - - 10.30
16 A- - - - 12.50 12.50 12.50 6.25 - 12.50 - - - - - - - - - -
28 BBB+ - - - 3.57 7.14 - 3.57 - 28.57 3.57 - - - - - - - - -
190 BBB 0.53 - - 0.53 3.16 3.16 6.32 23.16 4.21 5.26 - - - - - - - - 13.16
108 BBB- - - - 0.93 - - - 12.96 19.44 5.56 - - - - - - - - -
14 BB+ - - 7.14 - - - - - - 14.29 35.71 - - - - - - - -
165 BB 0.61 - - - - - - 1.82 1.21 1.82 41.21 12.12 1.21 - - - - - 4.85
81 BB- - - - - - - - - - - 9.88 28.40 18.52 1.23 - - - - -
8 B+ - - - - - - - - - - - - - 37.50 - - - - -
25 B - - - - - - - - - - - 16.00 - 8.00 4.00 8.00 - - 4.00
192 B- - - - - - - - - - - 1.04 1.56 2.60 31.25 15.10 17.71 - - -
4 CCC - - - - - - - - - - 25.00 - - - - 50.00 25.00 - -
Fitch Global Structured Credit Five-Year Transition Matrix: 2018 Cohort

869 AAA 10.82 - - - - - - - - - - - - - - - - - 0.35

23 AA+ 13.04 - - - - - - - - - - - - - - - - - -
194 AA 7.22 10.31 0.52 2.58 - - - - - - - - - - - - - - 3.09
4 AA- - - - 25.00 - - - - - - - - - - - - - - -
30 A+ 3.33 - - 10.00 - - - - - - - - - - - - - - 3.33
180 A 0.56 0.56 2.78 1.11 9.44 1.11 - - - - - - - - - - - - 15.00
19 A- - - - 5.26 - - 5.26 - 10.53 - - - - - - - - - 10.53
38 BBB+ - - - 5.26 2.63 - - - 15.79 5.26 - - - - - - - - 2.63
153 BBB 0.65 - 2.61 - 4.58 - 3.92 6.54 1.31 1.96 - - - - - - - - 20.92
23 BBB- - - - - - - - 4.35 4.35 4.35 8.70 - - - - - - - -
27 BB+ - - - - 3.70 3.70 - - - 3.70 7.41 - - 3.70 - - - - 3.70
131 BB - - - 0.76 1.53 0.76 0.76 1.53 0.76 0.76 16.03 - 0.76 - - - - - 11.45
4 BB- - - - - - - - - - - - - - - - - - - -
7 B+ - - - - - - - - - 14.29 - - - 28.57 - - - - -
32 B - - - - - - - 3.13 - - - 6.25 - 3.13 - - - 3.13 12.50
79 B- 1.27 - - - - - - - - - 2.53 1.27 3.80 17.72 1.27 - - - -
9 CCC - - - - - - - - 11.11 - - 22.22 - - - 11.11 11.11 11.11 11.11
Fitch Global Structured Credit Ten-Year Transition Matrix: 2013 Cohort

179 AAA 5.03 - - - - - - - - - - - - - - - - - 4.47

5 AA+ - - - - - - - - - - - - - - - - - - -
69 AA - - - - - - - - - - - - - - - - - - -
47 AA- - - - - - - - - - - - - - - - - - - 2.13
21 A+ - - - - - - - - - - - - - - - - - - 4.76
151 A - - - - - - - - - - - - - - - - - - 10.60
12 A- - - - - - - 8.33 - - - - - - - - - - - 8.33
22 BBB+ - - - - - - - - 9.09 - - - - - - - - - 4.55
202 BBB 0.99 - 3.47 - 0.50 - - - 2.97 0.99 0.99 - - - - - - - 11.39
31 BBB- - - - - - - - 3.23 3.23 3.23 6.45 - - - - - - - 3.23
21 BB+ - - - - - - - - - - - - - - - - - - 4.76
174 BB 0.57 - 0.57 0.57 0.57 - - - - - - - - - - - - 1.15 17.82
13 BB- - - - - - - - - - - - - - - - - - 15.38 7.69
11 B+ - - - - - - - - - - - - - - - - - - 9.09
180 B - - 0.56 - 0.56 1.11 - 0.56 0.56 - - - - - - - - 4.44 16.11
31 B- 3.23 - - - - - - - - - - - - - - - - 32.26 3.23
187 CCC - - - 0.53 1.60 - 0.53 0.53 0.53 0.53 - 2.14 - - - - 0.53 23.53 10.70
PIF
13.97
11.36
9.21
8.10
11.41
8.65
5.65
8.63
7.64
7.44
8.37
5.89
5.27
5.08
4.71
3.74
2.56
PIF
38.01
29.99
28.47
23.25
31.29
28.03
16.38
22.81
24.69
20.62
21.28
20.15
14.77
13.99
16.20
10.81
7.67
PIF
55.15
42.94
43.37
35.56
44.90
43.82
25.68
31.89
38.75
28.95
28.53
32.44
22.14
19.21
26.78
15.51
11.91
PIF
76.65
58.11
62.28
54.96
61.14
60.81
41.70
43.09
53.79
43.06
38.20
45.51
33.76
24.88
37.74
17.95
15.24
PIF
12.08
12.37
11.73
2.93
16.22
10.59
4.05
7.99
6.04
5.04
7.36
6.78
3.16
2.80
5.21
1.46
8.25
PIF
43.83
44.34
45.45
9.47
40.52
41.55
13.38
29.25
28.44
18.92
37.46
22.31
19.92
9.77
18.51
15.03
14.25
PIF
61.56
63.72
65.86
19.24
57.49
58.37
30.14
60.55
43.38
28.43
52.13
32.93
15.73
21.65
26.33
32.17
19.58
PIF
90.19
85.16
77.07
75.07
82.46
78.94
68.88
67.64
67.64
69.36
71.56
62.31
56.16
47.69
50.11
67.15
36.74
PIF
17.88
21.77
15.00
21.42
13.75
11.53
11.51
14.35
13.69
14.59
17.32
12.67
13.56
5.71
11.49
9.40
7.74
PIF
23.62
26.67
18.80
6.67
15.79
13.84
22.41
11.54
10.24
19.57
14.41
11.21
15.38
-
6.41
-
17.24
PIF
61.45
72.92
62.82
38.46
47.37
46.30
41.86
44.44
46.01
72.97
51.52
45.10
33.33
20.00
25.84
-
15.00
PIF
73.84
98.25
74.60
83.33
66.40
62.96
60.53
83.33
74.18
90.48
64.71
64.04
80.00
88.89
45.59
26.67
10.00
PIF
82.95
75.00
92.68
86.67
86.43
89.69
56.25
59.62
71.32
62.26
43.48
61.47
10.00
-
32.43
16.67
40.00
PIF
12.50
10.06
8.47
4.09
8.59
10.10
2.97
6.58
8.23
5.17
4.31
6.34
2.40
1.78
4.91
1.31
4.19
PIF
8.34
-
17.78
1.78
15.38
15.63
1.96
5.26
3.28
2.51
1.69
7.50
3.16
-
5.95
1.07
3.80
PIF
24.48
22.22
28.85
4.90
25.00
32.86
5.35
8.45
15.93
4.11
2.08
15.83
5.93
-
14.17
2.55
13.56
PIF
41.79
20.00
51.46
9.16
28.57
59.18
10.83
18.64
49.18
10.83
5.13
42.05
13.69
25.00
29.11
8.90
48.15
PIF
98.23
100.00
88.16
88.10
85.00
89.77
81.71
75.47
90.46
75.65
78.79
76.81
94.12
81.25
63.47
65.15
42.32
PIF
13.35
9.60
7.94
6.80
9.20
7.05
6.63
6.63
6.05
7.42
8.59
4.94
5.25
6.27
3.88
3.09
1.72
PIF
11.18
14.19
12.14
5.80
11.64
10.17
3.93
4.13
4.95
7.04
5.33
6.49
-
-
4.94
-
11.63
PIF
42.12
28.47
35.17
31.11
33.84
39.53
35.44
28.03
24.42
22.98
35.86
20.09
31.62
5.93
16.81
10.00
14.50
PIF
57.93
47.52
59.89
50.00
49.37
55.07
58.89
50.00
34.70
61.64
61.90
28.45
9.62
10.39
23.01
50.00
16.41
PIF
90.18
80.72
72.27
62.77
71.43
73.08
57.41
73.08
61.50
52.17
68.75
56.65
56.52
66.67
47.04
85.29
33.82
PIF
16.71
17.59
12.12
13.65
17.71
11.43
5.89
11.78
8.92
10.75
9.55
9.72
10.00
12.01
10.38
9.59
7.03
PIF
10.58
6.73
3.85
8.33
27.42
3.41
5.26
15.63
12.93
6.29
7.46
1.61
4.03
9.52
-
2.66
-
PIF
57.97
81.48
47.02
42.86
71.05
43.52
43.75
53.57
40.53
61.11
42.86
35.15
41.98
62.50
60.00
30.73
-
PIF
88.84
86.96
76.29
75.00
83.33
69.44
68.42
68.42
57.52
78.26
74.07
64.89
100.00
57.14
71.88
72.15
22.22
PIF
90.50
100.00
100.00
97.87
95.24
89.40
83.33
86.36
78.71
80.65
95.24
78.74
76.92
90.91
76.11
61.29
58.82
Fitch North America Structured Financea Transition Matrices: 1990-2022
One-Year Transition Matrix: 2022
8,654 AAA 87.46 0.07 0.12 0.01 - - - - 0.05 12.29

1,568 AA 27.30 57.78 1.72 0.06 - - - - 3.44 9.69
2,664 A 9.01 16.18 57.24 1.31 0.23 0.08 - - 4.28 11.67
2,436 BBB 0.86 6.98 17.41 58.37 2.09 0.29 0.16 - 8.29 5.54
1,555 BB 0.64 1.35 14.15 13.63 50.55 2.83 0.71 1.03 10.16 4.95
1,002 B - - 0.30 7.88 12.67 61.98 6.09 2.79 5.49 2.79
336 CCC - - - - 2.98 4.76 59.23 19.35 5.65 8.04
Average Annual
370,241 AAA 80.11 1.05 0.93 0.92 0.58 0.50 0.99 0.85 0.35 13.72
66,780 AA 8.74 69.18 4.21 2.99 1.88 1.24 1.20 1.47 0.73 8.34
81,467 A 2.35 5.90 69.88 4.72 2.45 1.87 1.57 2.60 0.64 8.03
79,893 BBB 0.52 1.56 5.94 66.30 5.27 4.16 2.86 5.23 1.11 7.04
52,994 BB 0.17 0.37 2.14 7.76 62.15 6.85 4.15 9.67 1.42 5.33
43,723 B 0.05 0.05 0.31 1.54 8.08 60.20 9.08 15.68 1.02 3.98
29,193 CCC 0.04 - 0.06 0.15 1.54 4.94 51.84 38.42 0.71 2.30
Average Two-Year
361,587 AAA 61.84 1.61 1.54 1.61 0.88 0.83 1.59 2.87 0.71 26.52
65,212 AA 11.07 47.99 4.93 4.23 2.91 2.66 2.26 5.34 1.23 17.38
78,803 A 4.50 6.60 49.31 5.35 3.14 3.10 2.51 7.68 1.16 16.65
77,456 BBB 1.57 2.87 6.69 44.32 5.51 5.43 3.98 13.10 2.03 14.52
51,439 BB 0.52 1.15 4.54 9.00 41.56 6.75 4.91 17.14 2.70 11.73
42,722 B 0.19 0.22 1.36 3.05 10.62 38.57 9.71 25.53 1.82 8.91
28,857 CCC 0.09 0.03 0.33 1.12 4.11 6.35 32.24 49.77 1.24 4.72
Average Three-Year
353,708 AAA 47.24 1.85 1.93 2.00 1.12 1.12 1.54 4.78 1.08 37.32
63,804 AA 11.23 33.46 4.73 4.48 3.23 3.52 3.28 8.70 1.66 25.71
76,489 A 5.20 6.17 34.62 5.05 3.12 3.41 3.34 12.26 1.61 25.22
75,138 BBB 2.41 3.03 6.07 29.72 5.05 4.85 4.52 19.82 2.84 21.69
49,227 BB 0.95 1.81 5.36 8.22 28.81 5.87 4.67 23.10 3.31 17.89
41,590 B 0.35 0.44 2.45 3.53 10.44 26.07 8.42 31.98 2.43 13.88
28,489 CCC 0.15 0.15 1.08 1.95 5.58 6.40 21.41 54.52 1.64 7.11
Average Four-Year
346,495 AAA 35.59 1.93 2.20 2.23 1.36 1.41 1.45 6.09 1.41 46.32
62,384 AA 10.53 23.14 4.47 4.18 3.25 3.66 4.48 11.31 2.02 32.95
74,085 A 5.45 5.23 24.12 4.47 2.98 3.17 3.50 16.41 2.01 32.65
72,756 BBB 2.83 2.82 5.06 19.96 4.42 4.15 4.21 25.22 3.54 27.80
46,921 BB 1.48 2.21 5.21 7.02 20.05 4.95 4.20 27.73 3.71 23.44
40,412 B 0.54 0.73 2.92 3.59 9.44 17.20 7.03 36.91 3.03 18.61
28,117 CCC 0.27 0.31 2.13 2.50 6.57 5.72 13.80 57.40 2.04 9.28
Average Five-Year
340,169 AAA 26.01 1.86 2.35 2.29 1.56 1.57 1.35 6.99 1.71 54.31
61,021 AA 9.05 15.62 4.18 3.87 3.36 3.68 5.16 13.25 2.45 39.37
71,696 A 5.26 4.18 16.35 3.70 2.81 2.96 3.53 19.73 2.39 39.09
70,741 BBB 3.03 2.36 4.05 13.14 3.68 3.36 3.68 29.37 4.09 33.23
44,491 BB 1.65 1.84 4.50 5.90 14.28 3.86 3.54 31.81 4.07 28.55
39,065 B 0.66 0.94 2.81 3.02 7.99 11.64 5.31 41.11 3.56 22.96
27,569 CCC 0.35 0.49 2.91 3.03 6.71 4.52 8.73 59.67 2.35 11.24
a
Fitch North America ABS Transition Matrices: 1990-2022
1,209 AAA 72.95 0.17 - 0.08 - - - - - 26.80

259 AA 29.73 50.97 0.39 - - - - - - 18.92
543 A 1.47 10.68 67.40 0.74 0.18 - - - - 19.52
222 BBB - 0.90 11.26 71.62 3.60 2.70 0.90 - - 9.01
58 BB - - - 15.52 62.07 10.34 3.45 1.72 - 6.90
73 B - - 1.37 - 4.11 65.75 6.85 16.44 - 5.48
28 CCC - - - - - 7.14 57.14 21.43 - 14.29
Average Annual
44,901 AAA 80.53 0.53 0.33 0.44 0.11 0.07 0.02 0.00 0.59 17.38
6,845 AA 11.99 68.55 2.02 1.05 0.54 0.20 0.01 0.01 0.54 15.08
17,277 A 1.07 4.53 78.09 2.54 0.68 0.54 0.10 0.12 0.46 11.87
10,254 BBB 0.17 0.49 3.56 74.58 2.59 1.46 0.45 0.32 2.78 13.60
2,402 BB - 0.12 1.67 5.83 61.99 10.66 3.29 2.75 1.50 12.20
1,673 B 0.18 0.06 0.06 0.66 1.91 65.57 5.74 8.79 6.75 10.28
508 CCC - - - - 0.39 0.98 55.31 33.66 2.36 7.28
Average Two-Year
43,692 AAA 63.11 0.79 0.47 0.84 0.26 0.21 0.06 0.02 1.14 33.10
6,586 AA 12.89 47.97 2.88 1.49 1.25 0.64 0.17 0.15 0.96 31.61
16,734 A 2.84 5.08 60.41 3.88 0.97 1.18 0.26 0.38 0.93 24.08
10,032 BBB 0.67 1.15 3.96 53.75 3.03 2.49 0.77 1.17 5.18 27.84
2,344 BB 0.04 0.51 3.88 6.61 37.84 10.92 3.63 7.17 3.41 25.98
1,600 B 0.31 0.06 0.13 1.25 1.69 44.31 6.19 14.94 12.81 18.31
480 CCC - - 0.21 - 0.63 1.25 32.92 49.17 4.79 11.04
Average Three-Year
42,374 AAA 49.24 0.88 0.58 0.97 0.38 0.41 0.10 0.05 1.59 45.79
6,279 AA 9.71 34.03 3.11 1.74 1.42 1.16 0.25 0.61 1.21 46.76
16,159 A 2.72 4.43 46.15 4.57 1.10 1.52 0.41 0.75 1.51 36.84
9,783 BBB 0.92 0.83 3.13 38.13 2.91 2.94 0.80 2.11 7.29 40.95
2,280 BB 0.13 0.83 4.69 5.31 22.19 10.13 2.98 10.35 5.53 37.85
1,498 B 0.33 0.07 0.20 1.00 1.54 29.44 6.61 19.63 18.96 22.23
440 CCC - - 0.23 - 0.45 1.59 17.50 60.91 7.50 11.82
Average Four-Year
40,939 AAA 39.38 0.93 0.69 1.03 0.44 0.61 0.11 0.14 1.93 54.74
5,926 AA 7.29 24.86 3.37 1.91 1.13 1.33 0.39 1.15 1.45 57.12
15,512 A 1.93 4.11 35.29 4.64 1.06 1.84 0.45 1.22 2.20 47.25
9,520 BBB 0.44 0.45 2.66 27.06 2.88 3.20 0.57 2.92 8.73 51.09
2,213 BB 0.14 0.59 4.25 3.66 12.56 8.99 1.94 12.16 7.95 47.76
1,419 B 0.28 0.14 0.21 0.78 1.41 16.28 7.05 23.26 24.81 25.79
422 CCC - - 0.24 - 0.24 1.18 7.82 66.35 10.19 13.98
Average Five-Year
39,456 AAA 31.63 0.94 0.77 1.03 0.39 0.77 0.10 0.28 2.20 61.89
5,556 AA 6.35 17.84 3.91 2.09 1.17 1.44 0.40 1.64 1.69 63.48
14,887 A 1.85 3.65 26.30 4.26 0.92 1.95 0.49 1.71 2.82 56.06
9,246 BBB 0.06 0.42 2.02 18.36 2.54 3.22 0.37 3.45 10.52 59.02
2,148 BB - - 3.77 2.89 7.50 6.61 1.63 13.18 10.57 53.86
1,344 B 0.30 0.22 0.30 0.37 1.34 8.04 6.77 25.67 29.32 27.68
406 CCC - - 0.25 - - 0.74 2.22 70.44 11.33 15.02
Fitch North America CMBS Transition Matrices: 1991-2022

2,861 AAA 90.74 0.10 0.03 - - - - - - 9.12

514 AA 4.09 89.30 1.75 - - - - - - 4.86
626 A 0.48 2.40 88.02 3.35 - 0.16 - - - 5.59
810 BBB 0.49 0.37 1.73 91.23 2.96 0.12 0.25 - - 2.84
410 BB - - - 1.22 87.07 6.34 1.22 0.49 - 3.66
360 B - - - - 0.28 82.50 13.89 1.39 - 1.94
179 CCC - - - - - 0.56 73.18 22.91 - 3.35
Average Annual
40,012 AAA 86.23 0.41 0.35 0.26 0.13 0.03 0.01 0.00 0.28 12.29
10,214 AA 11.67 75.43 2.45 1.34 1.34 0.55 0.17 0.12 0.61 6.33
12,458 A 3.95 5.89 76.86 2.87 1.66 1.61 0.35 0.24 0.31 6.28
15,659 BBB 1.22 1.22 4.56 77.64 3.95 3.30 1.17 0.65 0.23 6.07
10,882 BB 0.47 0.29 1.12 4.64 75.02 8.33 3.52 2.30 0.25 4.05
10,423 B 0.14 0.02 0.20 0.36 2.87 72.17 11.48 10.01 0.21 2.53
3,997 CCC 0.23 - 0.35 0.23 1.13 3.45 57.82 32.15 0.55 4.10
Average Two-Year
37,151 AAA 72.64 0.67 0.68 0.54 0.33 0.09 0.05 0.03 0.51 24.45
9,700 AA 16.96 56.20 3.89 2.69 2.64 1.26 0.63 0.41 1.30 14.03
11,832 A 8.04 7.31 58.27 3.96 3.20 2.99 1.43 0.92 0.66 13.21
14,849 BBB 3.30 2.56 6.14 58.00 5.07 5.76 3.32 2.68 0.55 12.62
10,472 BB 1.29 0.64 2.18 6.63 55.37 10.78 6.66 7.33 0.53 8.59
10,063 B 0.49 0.08 0.47 0.94 4.06 52.20 12.70 23.16 0.50 5.40
3,818 CCC 0.42 - 0.79 0.60 2.15 4.87 35.62 44.89 1.15 9.51
Average Three-Year
34,469 AAA 59.42 0.77 0.89 0.71 0.49 0.21 0.18 0.08 0.71 36.53
9,245 AA 19.84 41.10 4.18 3.35 2.97 1.87 1.77 0.95 1.90 22.06
11,261 A 11.24 7.63 43.88 3.97 3.53 3.14 2.97 2.43 0.98 20.23
14,090 BBB 5.51 3.49 6.69 42.41 4.79 5.31 5.22 6.56 0.93 19.09
10,061 BB 1.90 0.89 2.95 7.82 40.96 9.94 7.08 14.35 0.80 13.31
9,711 B 0.98 0.18 0.61 1.17 4.43 38.95 11.16 33.27 0.75 8.51
3,683 CCC 0.84 0.08 0.92 0.87 2.39 4.59 22.89 49.93 1.79 15.69
Average Four-Year
31,998 AAA 46.37 0.79 1.04 0.75 0.62 0.26 0.35 0.18 0.92 48.73
8,825 AA 21.39 28.94 4.02 3.41 2.63 1.90 2.78 2.20 2.41 30.31
10,706 A 14.11 7.22 31.85 3.81 3.42 2.72 3.69 4.66 1.25 27.27
13,384 BBB 7.58 4.15 6.69 29.83 4.14 4.25 5.76 10.83 1.30 25.47
9,639 BB 2.44 1.22 3.73 8.44 29.36 8.50 6.61 20.75 1.04 17.91
9,359 B 1.29 0.24 0.66 1.37 4.64 28.24 9.89 41.06 1.02 11.59
3,625 CCC 1.21 0.11 0.74 0.88 2.15 3.37 14.40 53.30 2.34 21.49
Average Five-Year
29,836 AAA 34.57 0.70 1.14 0.69 0.63 0.26 0.49 0.32 1.12 60.10
8,453 AA 21.13 19.26 3.57 3.08 2.28 1.64 2.91 3.81 2.90 39.42
10,186 A 15.87 6.51 22.09 3.49 2.93 2.43 3.45 6.75 1.53 34.95
12,797 BBB 9.33 4.33 6.27 20.19 3.53 3.45 5.24 14.02 1.65 31.98
9,249 BB 2.93 1.55 4.27 8.33 20.70 6.96 6.07 25.67 1.28 22.25
9,042 B 1.40 0.25 0.70 1.39 4.52 20.12 8.27 47.67 1.28 14.39
3,578 CCC 1.06 0.03 0.64 0.61 1.45 2.10 8.66 55.90 2.60 26.94
Fitch North America RMBS Transition Matrices: 1990-2022

3,586 AAA 89.12 0.03 0.25 - - - - - 0.03 10.57

702 AA 46.44 37.61 2.42 0.14 - - - - 3.70 9.69
1,398 A 16.24 25.04 40.56 0.72 0.36 0.07 - - 6.65 10.37
1,310 BBB 1.30 12.52 28.85 37.02 1.45 - - - 13.74 5.11
1,061 BB 0.94 1.98 20.74 18.47 35.53 1.13 0.38 1.23 14.33 5.28
565 B - - 0.35 13.98 21.77 48.32 1.06 1.95 9.73 2.83
128 CCC - - - - 7.81 10.16 39.84 14.06 14.84 13.28
Average Annual
272,866 AAA 79.36 1.20 1.08 1.05 0.71 0.65 1.32 1.14 0.31 13.21
45,783 AA 8.02 68.11 5.01 3.52 2.08 1.50 1.57 1.92 0.66 7.61
46,771 A 2.57 6.55 65.38 6.12 3.03 2.36 2.41 3.78 0.73 7.08
48,386 BBB 0.39 2.04 7.00 61.05 6.30 4.85 3.78 7.62 0.97 5.99
36,577 BB 0.10 0.42 2.56 8.99 58.82 5.96 4.16 12.08 1.79 5.13
29,264 B 0.01 0.06 0.33 2.04 10.54 56.36 8.37 17.41 0.97 3.92
23,135 CCC - - 0.01 0.13 1.66 5.27 51.44 39.11 0.69 1.70
Average Two-Year
269,280 AAA 60.57 1.82 1.79 1.83 1.02 1.01 2.04 3.77 0.64 25.50
45,081 AA 10.02 46.80 5.55 4.81 3.09 3.20 2.85 6.82 1.10 15.74
45,373 A 4.53 6.96 43.59 6.37 3.70 3.75 3.53 11.28 1.29 15.00
47,075 BBB 1.35 3.54 7.41 38.29 6.22 5.84 4.72 18.52 1.69 12.42
35,516 BB 0.35 1.41 5.47 9.93 38.38 5.12 4.38 20.07 3.38 11.51
28,700 B 0.09 0.30 1.79 4.01 13.74 34.14 9.08 26.07 1.63 9.13
23,007 CCC 0.02 0.03 0.25 1.23 4.61 6.69 32.45 50.10 1.17 3.45
Average Three-Year
266,743 AAA 45.81 2.11 2.25 2.28 1.26 1.31 1.90 6.14 1.01 35.94
44,521 AA 10.18 32.52 5.20 5.04 3.47 4.18 3.95 10.79 1.53 23.13
44,278 A 4.94 6.37 28.87 5.58 3.71 4.16 4.48 17.53 1.68 22.68
45,838 BBB 2.00 3.51 6.34 24.44 5.59 5.07 5.10 26.93 2.37 18.65
33,818 BB 0.77 2.26 6.33 8.53 26.38 4.19 4.08 25.76 3.99 17.69
28,044 B 0.16 0.59 3.34 4.61 13.31 22.06 7.84 31.34 2.06 14.68
22,815 CCC 0.04 0.17 1.16 2.22 6.34 6.83 21.91 54.83 1.48 5.03
Average Four-Year
264,711 AAA 34.14 2.19 2.54 2.53 1.52 1.64 1.74 7.63 1.35 44.73
43,947 AA 9.32 22.51 4.84 4.68 3.64 4.28 5.43 13.60 1.89 29.80
43,155 A 4.98 5.06 19.04 4.64 3.61 3.79 4.57 23.01 2.00 29.30
44,497 BBB 2.19 3.04 4.87 15.93 4.85 4.31 4.59 33.38 3.01 23.83
32,035 BB 1.37 2.77 5.90 6.81 18.43 3.50 3.65 30.10 4.29 23.19
27,319 B 0.34 0.98 4.00 4.59 11.83 13.95 6.29 35.47 2.50 20.05
22,520 CCC 0.12 0.35 2.50 2.91 7.60 6.25 14.32 57.71 1.79 6.44
Average Five-Year
263,071 AAA 24.60 2.10 2.67 2.59 1.79 1.81 1.60 8.57 1.66 52.62
43,399 AA 7.56 15.41 4.49 4.30 3.88 4.36 6.35 15.51 2.37 35.76
41,986 A 4.32 3.73 12.23 3.60 3.51 3.47 4.66 27.32 2.35 34.81
43,413 BBB 2.11 2.24 3.70 10.38 4.00 3.39 3.98 38.39 3.35 28.44
30,090 BB 1.49 2.18 4.75 5.37 13.40 2.62 2.94 34.31 4.52 28.42
26,385 B 0.47 1.28 3.84 3.74 9.82 9.32 4.43 39.04 2.91 25.14
22,037 CCC 0.27 0.59 3.49 3.60 7.90 5.05 9.23 60.03 2.07 7.76
Fitch North America Structured Credit Transition Matrices: 1996-2022
998 AAA 89.68 - - - - - - - 0.30 10.02

93 AA 4.30 54.84 - - - - - - 30.11 10.75
97 A 2.06 8.25 42.27 - - - - - 21.65 25.77
94 BBB - 1.06 7.45 41.49 - - - - 23.40 26.60
26 BB - - - 7.69 61.54 - - - 23.08 7.69
4 B - - - - - 75.00 - - - 25.00
1 CCC - - - - - - 100.00 - - -
Average Annual
12,462 AAA 75.48 1.75 1.73 1.85 0.79 0.47 0.47 0.49 0.67 16.30
3,937 AA 3.89 66.55 3.38 4.55 3.30 1.83 1.68 2.36 2.18 10.29
4,961 A 0.79 4.50 66.12 3.81 5.12 2.50 1.73 6.15 1.29 8.00
5,594 BBB 0.25 0.36 5.01 64.84 4.92 5.63 3.97 6.44 1.73 6.86
3,133 BB 0.06 0.19 1.24 5.75 56.37 9.19 6.89 12.45 1.05 6.80
2,363 B 0.13 0.08 0.68 1.10 4.91 51.29 9.73 24.21 1.23 6.64
1,553 CCC 0.13 - - 0.45 1.09 5.22 41.27 45.91 0.90 5.02
Average Two-Year
11,464 AAA 51.80 2.62 2.56 2.72 1.87 1.33 1.73 2.03 1.38 31.97
3,844 AA 5.41 41.26 3.82 5.98 4.29 3.33 3.02 9.29 2.97 20.63
4,864 A 1.40 6.68 42.72 4.28 5.14 3.87 3.33 15.71 2.06 14.82
5,500 BBB 0.42 1.07 7.09 41.75 5.07 6.45 5.22 16.56 3.15 13.22
3,107 BB 0.19 0.39 2.35 8.24 34.15 8.56 6.08 24.20 1.74 14.10
2,359 B 0.04 0.04 0.81 1.61 6.74 30.35 7.04 36.33 2.29 14.75
1,552 CCC 0.32 0.13 0.39 1.16 2.51 6.44 20.68 57.09 1.42 9.86
Average Three-Year
10,122 AAA 35.01 2.87 2.88 3.48 2.80 2.36 2.68 4.91 1.99 41.02
3,758 AA 5.03 24.88 3.27 5.22 4.02 3.73 4.04 16.50 3.19 30.12
4,791 A 1.73 6.74 27.16 4.26 3.55 3.44 3.49 25.57 2.76 21.31
5,427 BBB 0.48 1.64 7.43 26.24 5.09 5.29 4.55 26.20 3.78 19.31
3,068 BB 0.46 0.59 3.13 8.18 20.66 7.99 4.47 31.88 2.35 20.31
2,337 B 0.04 0.09 0.81 2.10 6.59 18.49 5.13 42.28 3.17 21.31
1,551 CCC 0.32 0.19 0.58 1.10 3.42 5.67 11.73 59.06 2.00 15.93
Average Four-Year
8,847 AAA 22.61 3.00 3.24 4.30 3.41 2.59 2.95 9.04 2.60 46.26
3,685 AA 4.18 14.03 2.85 3.80 3.61 4.23 3.72 22.17 3.42 37.99
4,712 A 1.68 5.90 16.34 3.86 2.65 2.93 3.35 32.64 3.14 27.50
5,355 BBB 0.50 1.96 6.76 16.12 4.22 4.26 3.62 33.03 4.33 25.19
3,034 BB 0.56 0.59 3.36 7.12 13.09 6.10 3.96 36.29 2.97 25.97
2,315 B - 0.13 0.99 2.42 5.57 11.49 4.10 45.62 4.06 25.62
1,550 CCC 0.19 0.19 0.39 0.97 3.68 4.77 6.58 59.94 2.65 20.65
Average Five-Year
7,806 AAA 12.61 3.01 3.98 4.60 3.37 2.64 2.73 13.17 3.14 50.76
3,612 AA 2.85 6.31 2.38 3.24 3.05 3.82 3.38 26.05 3.49 45.43
4,637 A 1.40 4.77 9.19 3.23 2.33 2.74 3.17 37.31 3.32 32.54
5,285 BBB 0.55 2.01 5.05 9.56 3.41 3.08 3.25 37.79 4.84 30.46
3,004 BB 0.60 0.67 3.33 5.86 8.16 4.76 3.16 39.01 3.43 31.03
2,294 B - 0.17 0.70 2.70 4.40 7.11 3.01 48.08 4.88 28.95
1,548 CCC - 0.19 0.52 1.16 3.62 3.62 3.62 60.40 3.36 23.51
Fitch EMEA Structured Financea Transition Matrices: 1996-2022
1,011 AAA 82.39 0.10 - - - - - - - 17.51

771 AA 7.00 81.97 0.26 - - - - - 0.13 10.64
791 A 0.25 7.46 82.68 0.51 - - - 0.13 - 8.98
432 BBB 0.46 0.93 16.20 75.46 1.39 - - - 0.23 5.32
495 BB - - 1.41 8.08 81.01 0.61 - - - 8.89
317 B - - - 0.95 6.62 85.49 0.63 - 0.95 5.36
49 CCC - - - - 2.04 4.08 81.63 2.04 - 10.20
Average Annual
27,090 AAA 78.08 2.24 0.93 0.31 0.25 0.17 0.10 0.07 0.73 17.11
13,761 AA 6.68 73.73 3.08 1.28 0.46 0.38 0.23 0.23 0.39 13.54
15,117 A 0.97 5.81 75.07 4.23 1.05 0.54 0.29 0.39 0.38 11.27
12,719 BBB 0.20 0.49 6.26 72.38 5.13 2.03 1.26 0.82 0.68 10.76
6,894 BB 0.03 0.12 1.13 5.60 71.32 6.11 2.36 2.06 0.29 10.98
4,036 B 0.15 - 0.35 0.99 6.14 70.24 7.11 4.09 0.52 10.41
2,087 CCC 0.05 - 0.10 0.29 1.05 5.70 64.59 21.85 0.48 5.89
Average Two-Year
26,079 AAA 58.15 3.75 1.83 0.70 0.41 0.27 0.30 0.28 1.45 32.85
12,990 AA 10.24 52.13 4.73 2.16 1.04 0.86 0.48 0.75 0.76 26.84
14,326 A 2.59 8.13 54.08 5.85 2.48 1.28 0.60 1.07 0.72 23.20
12,287 BBB 0.37 1.45 8.99 50.61 6.86 3.33 2.51 2.23 1.29 22.37
6,399 BB 0.17 0.31 2.73 8.02 49.01 8.30 3.61 5.11 0.59 22.14
3,719 B 0.27 0.08 0.89 2.26 8.95 48.80 8.31 7.88 1.05 21.51
2,038 CCC - - 0.25 0.69 2.50 9.03 43.13 33.07 0.69 10.65
Average Three-Year
25,054 AAA 42.44 4.40 2.41 0.92 0.58 0.41 0.37 0.58 2.10 45.80
12,222 AA 11.38 37.20 5.33 2.70 1.29 1.28 0.66 1.40 1.06 37.69
13,545 A 3.56 8.56 38.76 6.07 3.51 1.79 0.94 1.82 1.00 33.98
11,798 BBB 0.63 2.12 9.61 35.11 7.42 3.66 3.16 3.75 1.67 32.88
5,929 BB 0.19 0.56 3.95 9.36 33.18 9.04 3.95 7.99 0.94 30.85
3,391 B 0.32 0.18 1.83 3.27 9.64 33.94 7.96 11.32 1.50 30.02
1,987 CCC - - 0.55 1.31 3.93 10.07 29.29 39.00 0.91 14.95
Average Four-Year
24,013 AAA 30.53 4.55 2.65 1.10 0.67 0.59 0.35 0.92 2.55 56.09
11,497 AA 10.86 26.70 5.41 2.69 1.44 1.44 0.76 2.12 1.37 47.20
12,802 A 4.05 7.96 28.06 5.69 3.91 1.94 1.14 2.63 1.20 43.42
11,340 BBB 0.96 2.34 8.84 24.45 7.25 3.85 3.12 5.21 1.97 42.01
5,462 BB 0.35 0.81 5.20 9.30 21.29 8.75 4.12 10.20 1.21 38.78
3,089 B 0.29 0.39 2.46 3.98 9.55 22.14 6.77 14.21 1.81 38.39
1,940 CCC - - 1.08 2.16 5.21 10.21 19.85 42.37 0.93 18.20
Average Five-Year
23,119 AAA 21.50 4.33 2.64 1.06 0.70 0.74 0.34 1.24 2.85 64.60
10,853 AA 9.36 18.82 5.28 2.66 1.37 1.47 0.80 2.75 1.65 55.84
12,114 A 3.88 7.24 20.09 5.03 3.72 1.87 1.19 3.38 1.37 52.24
10,829 BBB 1.03 2.23 7.76 17.03 6.36 3.77 2.96 6.55 2.27 50.04
5,133 BB 0.45 0.86 5.71 8.47 13.03 7.64 3.95 12.00 1.48 46.41
2,847 B 0.25 0.53 2.88 4.67 9.10 13.52 4.99 16.58 1.90 45.59
1,872 CCC - 0.11 1.50 2.62 6.04 8.92 14.00 44.82 0.91 21.10
a
Fitch EMEA ABS Transition Matrices: 1996-2022
125 AAA 80.00 - - - - - - - - 20.00

111 AA 3.60 70.27 - - - - - - - 26.13
121 A 0.83 12.40 74.38 - - - - 0.83 - 11.57
65 BBB 1.54 4.62 20.00 66.15 - - - - - 7.69
135 BB - - - 4.44 82.22 - - - - 13.33
15 B - - - - 6.67 73.33 - - 20.00 -
1 CCC - - - - - - - - - 100.00
Average Annual
3,078 AAA 73.98 1.43 0.16 0.03 0.06 - - - 1.85 22.48

1,228 AA 6.60 66.78 1.95 1.47 0.08 - 0.08 - 1.30 21.74
2,246 A 0.85 6.54 71.64 6.81 0.13 0.09 - 0.04 1.11 12.78
1,462 BBB 0.27 0.68 6.84 66.01 9.92 1.30 0.48 0.27 2.39 11.83
635 BB - - 0.94 4.57 73.86 0.79 0.94 0.31 0.63 17.95
127 B - - - 7.09 7.87 60.63 6.30 2.36 5.51 10.24
70 CCC - - - - 1.43 2.86 55.71 24.29 4.29 11.43
Average Two-Year
2,953 AAA 51.34 2.27 0.41 0.10 0.14 - - - 3.45 42.30

1,117 AA 6.89 42.70 2.42 2.51 0.09 0.18 0.27 - 2.86 42.08
2,125 A 2.12 7.39 48.80 7.34 3.48 0.38 0.14 0.05 2.07 28.24
1,397 BBB 0.50 1.36 8.45 43.74 11.52 1.15 1.15 0.79 4.44 26.91
500 BB - 0.60 1.60 7.00 50.00 1.00 1.20 1.40 1.40 35.80
112 B - - 2.68 4.46 15.18 34.82 2.68 4.46 11.61 24.11
69 CCC - - - - 1.45 4.35 34.78 34.78 5.80 18.84
Average Three-Year
2,830 AAA 32.69 2.40 0.53 0.39 0.14 - - - 4.49 59.36

1,033 AA 4.74 28.46 2.13 2.52 0.19 0.19 0.39 0.10 3.97 57.31
2,018 A 1.54 5.20 31.17 5.60 6.69 0.55 0.40 0.05 2.87 45.94
1,344 BBB 0.45 1.34 6.70 28.35 9.60 1.04 1.04 1.41 5.73 44.35
376 BB - 0.80 2.93 7.71 32.18 1.33 1.33 2.66 2.13 48.94
102 B - - 5.88 3.92 11.76 17.65 1.96 4.90 13.73 40.20
68 CCC - - - - - 4.41 19.12 42.65 7.35 26.47
Average Four-Year
2,696 AAA 20.70 2.23 0.59 0.52 0.15 0.04 - - 5.08 70.70
945 AA 2.54 19.89 2.65 1.48 0.21 - 0.42 0.21 5.29 67.30
1,927 A 0.78 3.11 19.15 3.53 7.78 0.47 0.42 0.21 3.27 61.29
1,297 BBB 0.31 0.62 4.55 19.51 7.63 1.00 1.16 1.70 6.01 57.52
232 BB - 0.86 4.31 8.62 13.36 1.72 2.16 4.74 2.59 61.64
90 B - - 4.44 2.22 7.78 8.89 1.11 5.56 11.11 58.89
66 CCC - - - - - 4.55 9.09 48.48 6.06 31.82
Average Five-Year
2,572 AAA 12.91 1.52 0.74 0.51 0.19 0.04 0.04 - 5.56 78.50
878 AA 1.94 14.92 1.94 1.25 0.11 - 0.34 0.34 6.26 72.89
1,840 A 0.38 2.17 10.22 2.23 6.41 0.27 0.38 0.38 3.32 74.24
1,147 BBB 0.35 0.26 4.18 14.12 2.70 1.13 1.22 2.09 7.06 66.87
199 BB - 0.50 4.02 5.03 9.05 1.01 1.51 7.04 1.51 70.35
79 B - - - 2.53 5.06 3.80 1.27 6.33 7.59 73.42
64 CCC - - - 1.56 - 3.13 1.56 51.56 4.69 37.50
Fitch EMEA CMBS Transition Matrices: 1996-2022

18 AAA 88.89 5.56 - - - - - - - 5.56

33 AA 6.06 87.88 - - - - - - 3.03 3.03
24 A - - 75.00 12.50 - - - - - 12.50
26 BBB - - - 76.92 15.38 - - - - 7.69
16 BB - - 6.25 6.25 43.75 18.75 - - - 25.00
9 B - - - - 11.11 55.56 22.22 - - 11.11
5 CCC - - - - - - 60.00 20.00 - 20.00
Average Annual
2,138 AAA 74.84 4.02 2.81 0.37 0.09 - - 0.09 2.62 15.15
1,534 AA 4.11 73.01 6.65 3.39 0.78 0.39 0.07 0.13 0.20 11.28
1,542 A 0.97 3.31 67.38 8.11 3.11 2.08 0.65 0.45 0.58 13.36
1,620 BBB 0.25 0.43 2.53 69.14 6.79 4.01 3.83 1.85 0.37 10.80
766 BB 0.26 0.39 0.52 3.66 61.75 8.36 5.48 6.01 0.78 12.79
431 B 0.46 - 0.46 0.46 3.02 57.54 15.55 12.06 0.46 9.98
392 CCC 0.26 - 0.51 0.26 0.77 2.04 54.85 36.22 0.77 4.34
Average Two-Year
2,120 AAA 53.30 6.56 4.95 1.27 0.28 0.14 0.09 0.19 5.47 27.74
1,501 AA 5.33 50.77 9.73 6.46 2.47 1.00 0.53 0.40 0.47 22.85
1,518 A 1.58 4.81 42.03 11.26 5.07 4.22 1.84 1.84 0.92 26.42
1,594 BBB 0.31 0.69 3.32 44.10 8.97 6.21 7.28 5.96 0.75 22.40
750 BB 0.67 0.13 1.07 5.47 34.80 10.53 7.33 14.00 1.60 24.40
422 B 0.47 0.24 0.71 0.47 4.03 30.81 18.25 23.46 0.95 20.62
387 CCC - - - 0.26 1.03 2.84 28.17 57.62 1.03 9.04
Average Three-Year
2,102 AAA 36.68 7.14 6.14 2.09 0.62 0.33 0.24 0.38 8.28 38.11
1,472 AA 4.76 35.53 9.58 7.61 4.48 1.83 1.15 1.02 0.82 33.22
1,494 A 2.01 3.95 25.77 11.18 5.22 5.69 3.01 4.02 1.27 37.88
1,567 BBB 0.13 0.83 3.38 27.95 8.68 6.25 8.55 10.66 1.08 32.48
735 BB 0.41 0.14 0.95 5.85 17.01 9.25 6.94 22.18 2.45 34.83
411 B 0.24 - 0.97 0.73 3.41 15.82 12.41 34.55 1.46 30.41
384 CCC - - - - 0.78 1.56 14.58 67.97 1.30 13.80
Average Four-Year
2,082 AAA 25.22 5.86 5.96 2.59 0.96 0.72 0.48 0.77 10.18 47.26
1,440 AA 3.89 26.39 7.15 6.81 4.86 2.43 1.74 2.29 1.18 43.26
1,469 A 1.91 3.00 16.75 9.12 4.63 5.11 3.34 6.67 1.63 47.86
1,536 BBB 0.20 0.72 2.99 19.73 7.16 5.47 7.16 14.84 1.50 40.23
722 BB 0.42 - 0.55 5.12 8.17 6.37 5.26 27.70 3.05 43.35
406 B 0.25 - 0.74 0.49 2.22 8.62 6.65 40.89 1.72 38.42
383 CCC - - - - 0.26 0.78 7.31 73.37 1.31 16.97
Average Five-Year
2,065 AAA 17.19 4.16 4.65 2.71 1.36 1.11 0.48 1.60 11.09 55.64
1,411 AA 2.62 20.13 4.96 5.32 4.39 2.69 1.98 4.04 1.49 52.37
1,448 A 1.66 2.07 11.46 6.42 4.07 3.66 2.97 9.19 2.00 56.49
1,509 BBB 0.20 0.53 2.72 14.31 5.24 4.17 5.10 18.62 1.92 47.18
713 BB 0.14 - 0.14 4.49 3.65 4.07 4.21 31.14 3.79 48.39
398 B - - 0.25 0.25 1.76 5.28 2.01 44.97 1.76 43.72
382 CCC - - - - - 0.26 4.19 75.13 1.31 19.11
Fitch EMEA RMBS Transition Matrices: 1996-2022

487 AAA 78.85 - - - - - - - - 21.15

189 AA 19.05 59.79 1.06 - - - - - - 20.11
341 A 0.29 11.44 78.30 - - - - - - 9.97
101 BBB - 0.99 50.50 40.59 1.98 - - - - 5.94
94 BB - - 6.38 29.79 51.06 - - - - 12.77
64 B - - - 4.69 20.31 62.50 - - - 12.50
41 CCC - - - - 2.44 - 90.24 - - 7.32
Average Annual
15,578 AAA 80.84 1.98 0.58 0.05 0.06 0.02 0.03 0.03 0.33 16.07
6,829 AA 7.97 76.57 3.08 0.82 0.19 0.03 - 0.09 0.19 11.07
7,587 A 1.00 7.24 79.21 3.10 0.74 0.13 - 0.08 0.12 8.38
6,124 BBB 0.18 0.44 8.51 75.54 4.08 1.83 0.57 0.20 0.23 8.43
2,755 BB - - 1.92 8.89 70.74 7.62 2.43 1.49 0.11 6.79
1,378 B 0.29 - 0.58 1.60 11.97 69.01 8.71 3.27 0.07 4.50
990 CCC - - - 0.51 1.31 7.98 76.46 11.41 0.10 2.22
Average Two-Year
15,091 AAA 63.09 3.47 1.24 0.27 0.11 0.05 0.03 0.03 0.67 31.04
6,640 AA 12.61 58.63 4.79 1.17 0.56 0.35 0.02 0.11 0.35 21.43
7,246 A 3.15 10.54 61.72 4.66 1.66 0.70 0.11 0.10 0.22 17.14
6,023 BBB 0.42 1.81 12.65 56.50 5.56 3.27 1.51 0.66 0.43 17.18
2,661 BB 0.11 0.30 4.74 12.66 50.54 9.85 4.17 3.83 0.23 13.57
1,314 B 0.61 0.08 1.52 4.64 16.74 49.24 10.73 6.54 0.15 9.74
949 CCC - - 0.32 1.26 3.58 13.49 59.64 17.49 0.21 4.00
Average Three-Year
14,612 AAA 48.06 4.30 1.86 0.34 0.25 0.19 0.03 0.03 0.95 43.98
6,437 AA 14.73 44.12 5.62 1.72 0.54 0.79 0.14 0.12 0.42 31.78
6,897 A 4.89 12.19 47.60 5.35 2.51 1.17 0.26 0.14 0.25 25.63
5,875 BBB 0.94 2.94 14.21 41.33 6.52 3.66 2.30 1.12 0.49 26.49
2,580 BB 0.16 0.81 6.94 15.00 36.12 10.23 5.04 5.85 0.39 19.46
1,235 B 0.81 0.32 3.32 6.80 17.73 35.87 11.26 8.66 0.24 14.98
905 CCC - - 0.77 2.54 6.63 16.80 45.64 21.66 0.33 5.64
Average Four-Year
14,110 AAA 35.95 4.81 2.39 0.51 0.33 0.41 0.04 0.07 1.17 54.33
6,228 AA 15.09 32.80 5.88 2.01 0.75 1.01 0.24 0.18 0.47 41.57
6,540 A 6.25 12.20 37.22 5.60 3.04 1.48 0.47 0.29 0.28 33.17
5,729 BBB 1.59 3.63 13.63 30.18 6.84 3.96 2.55 1.85 0.59 35.17
2,493 BB 0.44 1.44 9.31 15.08 25.51 10.07 5.46 7.02 0.48 25.19
1,153 B 0.69 0.87 5.03 8.59 17.61 25.59 11.19 10.41 0.26 19.77
864 CCC - - 1.74 4.05 9.95 18.29 34.72 23.73 0.35 7.18
Average Five-Year
13,642 AAA 26.62 4.99 2.69 0.59 0.42 0.62 0.08 0.09 1.30 62.59
5,976 AA 14.24 24.03 6.26 2.16 0.82 1.19 0.27 0.28 0.50 50.25
6,173 A 6.50 11.91 29.21 5.51 3.19 1.70 0.84 0.47 0.32 40.35
5,581 BBB 1.72 3.67 12.27 22.18 6.83 3.98 2.76 2.40 0.70 43.49
2,375 BB 0.84 1.60 10.57 14.19 17.68 9.52 5.52 8.25 0.59 31.24
1,085 B 0.55 1.20 6.27 10.41 17.42 18.25 9.68 11.61 0.18 24.42
801 CCC - 0.25 2.75 4.87 12.23 17.48 27.09 26.22 0.37 8.74
Fitch EMEA Structured Credit Transition Matrices: 1996-2022

381 AAA 87.40 - - - - - - - - 12.60

438 AA 2.74 94.06 - - - - - - - 3.20
305 A - 1.64 91.48 0.33 - - - - - 6.56
240 BBB 0.42 - 2.50 92.50 - - - - 0.42 4.17
250 BB - - - 2.00 94.00 - - - - 4.00
229 B - - - - 2.62 93.89 - - - 3.49
2 CCC - - - - - 100.00 - - - -
Average Annual
6,296 AAA 74.35 2.68 1.56 1.08 0.89 0.67 0.35 0.21 0.51 17.71
4,170 AA 5.54 71.39 2.11 1.20 0.89 1.06 0.72 0.58 0.53 16.00
3,742 A 0.96 3.53 71.91 3.37 1.36 1.02 0.91 1.20 0.37 15.37
3,513 BBB 0.20 0.51 3.81 71.02 4.18 1.76 1.59 1.65 0.88 14.38
2,738 BB - 0.18 0.55 3.07 74.00 5.19 1.75 1.94 0.26 13.08
2,100 B - - 0.19 0.33 2.86 74.24 4.38 3.10 0.52 14.38
635 CCC - - - - 0.79 4.72 53.07 28.98 0.47 11.97
Average Two-Year
5,915 AAA 50.70 4.23 2.94 1.88 1.34 1.01 1.22 1.10 1.00 34.59
3,732 AA 9.00 43.94 3.30 2.06 1.61 1.93 1.37 2.28 0.99 33.52
3,437 A 2.15 4.98 46.55 5.03 2.44 1.77 1.37 3.40 0.84 31.45
3,273 BBB 0.27 1.19 5.22 45.89 6.23 2.96 2.60 3.91 1.77 29.94
2,488 BB 0.12 0.32 1.33 4.02 51.45 7.44 2.37 4.54 0.52 27.89
1,871 B - 0.05 0.37 0.86 4.22 53.39 4.70 5.51 1.07 29.82
633 CCC - - 0.32 0.16 1.90 6.64 28.44 41.23 0.63 20.70
Average Three-Year
5,510 AAA 34.75 4.66 3.39 2.27 1.65 1.22 1.51 2.40 1.54 46.61
3,280 AA 9.88 27.13 3.87 2.47 1.68 2.32 1.55 4.48 1.52 45.09
3,136 A 2.68 4.94 30.39 5.52 2.84 2.10 1.82 5.61 1.31 42.79
3,012 BBB 0.37 1.53 5.18 29.71 7.54 3.49 2.99 6.31 2.46 40.44
2,238 BB 0.18 0.36 1.65 4.29 35.25 8.89 2.14 6.70 0.89 39.63
1,643 B - 0.12 0.67 1.22 4.99 38.04 4.75 7.91 1.70 40.60
630 CCC - - 0.63 0.48 2.38 6.19 15.87 45.87 0.79 27.78
Average Four-Year
5,125 AAA 22.95 4.53 3.10 2.42 1.80 1.31 1.37 3.79 1.93 56.82
2,884 AA 7.94 15.92 4.44 2.50 1.63 2.32 1.49 6.87 2.15 54.75
2,866 A 2.30 4.08 18.95 5.62 2.90 2.34 2.02 7.54 1.71 52.55
2,778 BBB 0.40 1.37 4.18 17.57 7.96 4.07 2.99 8.46 3.17 49.86
2,015 BB 0.25 0.30 1.89 3.72 21.69 8.78 2.28 8.49 1.29 51.32
1,440 B - 0.14 0.76 1.39 5.28 24.03 3.61 10.28 2.50 52.01
627 CCC - - 0.96 1.12 2.23 5.42 8.13 48.48 0.96 32.70
Average Five-Year
4,840 AAA 13.47 4.03 2.64 1.98 1.49 1.28 1.16 4.98 2.27 66.69
2,588 AA 4.29 7.38 4.33 2.86 1.43 1.93 1.55 8.58 2.82 64.84
2,653 A 1.43 2.71 10.44 5.09 2.90 2.37 1.58 9.05 2.11 62.31
2,592 BBB 0.35 1.00 2.55 8.80 7.64 4.24 2.89 10.42 3.74 58.37
1,846 BB 0.11 0.27 1.79 3.03 11.11 7.31 2.11 9.97 1.73 62.57
1,285 B 0.08 0.16 1.01 1.32 4.59 12.68 2.18 12.61 3.04 62.33
625 CCC - - 0.96 1.44 2.40 3.84 4.48 49.44 0.96 36.48
Fitch Asia Pacific Structured Finance a Transition Matrices: 1998-2022
502 AAA 83.67 - - - - - - - 0.20 16.14

50 AA 34.00 44.00 - - - - - - - 22.00
57 A 1.75 22.81 50.88 1.75 - - - - 1.75 21.05
58 BBB - 1.72 18.97 46.55 - - - - 1.72 31.03
29 BB - - - 34.48 44.83 - - - 3.45 17.24
11 B - - - - 27.27 63.64 - - - 9.09
- CCC - - - - - - - - - -
Average Annual
6,847 AAA 82.04 0.37 0.18 0.06 - - - - 0.44 16.93

1,292 AA 8.44 67.18 1.24 1.16 0.39 - - - 1.32 20.28
1,275 A 2.27 6.51 69.18 2.04 0.94 0.47 0.16 - 1.18 17.25
1,401 BBB 0.36 1.00 5.21 65.17 2.07 1.78 0.79 0.21 2.14 21.27
776 BB 0.13 0.13 1.16 5.93 68.30 2.45 2.06 1.16 2.45 16.24
279 B - - 0.36 2.15 5.73 60.57 8.24 5.38 1.79 15.77
82 CCC - - - 1.22 2.44 2.44 36.59 47.56 - 9.76
Average Two-Year
6,345 AAA 65.34 0.63 0.27 0.11 - 0.02 - - 0.90 32.73

1,242 AA 9.02 44.69 2.17 1.21 0.97 0.08 - - 2.66 39.21
1,218 A 3.45 6.08 47.45 2.96 1.23 0.99 0.57 0.33 2.46 34.48
1,343 BBB 0.97 1.41 5.14 39.02 2.61 1.71 2.08 1.34 3.95 41.77
747 BB 0.27 0.40 1.47 5.89 44.44 3.08 2.95 2.95 5.09 33.47
268 B - 0.37 0.75 3.36 5.22 36.19 5.60 11.94 3.73 32.84
82 CCC - - - 2.44 2.44 2.44 6.10 68.29 - 18.29
Average Three-Year
5,891 AAA 50.11 0.75 0.36 0.10 0.02 0.02 - - 1.27 47.38
1,185 AA 6.41 30.72 2.19 1.01 0.76 0.34 0.25 - 3.71 54.60
1,165 A 3.18 4.55 31.85 3.09 0.86 1.29 0.86 0.69 3.26 50.39
1,288 BBB 0.78 1.40 3.73 25.16 2.48 1.24 1.71 3.11 4.50 55.90
716 BB 0.42 0.14 0.56 3.77 30.59 1.68 2.37 5.45 5.73 49.30
257 B - - 0.78 1.17 4.28 22.57 4.28 14.01 4.28 48.64
82 CCC - - - 2.44 - 2.44 - 71.95 - 23.17
Average Four-Year
5,460 AAA 37.03 0.81 0.37 0.09 0.04 - - - 1.67 60.00

1,115 AA 2.87 20.99 1.43 0.72 0.45 0.27 0.45 0.27 4.39 68.16
1,111 A 2.70 3.06 21.51 2.34 1.08 1.17 0.63 1.08 3.87 62.56
1,227 BBB 0.81 1.22 2.77 17.11 2.12 0.81 1.06 4.65 4.65 64.79
682 BB 0.15 - 0.15 2.49 21.26 0.88 1.17 7.04 6.01 60.85
247 B - - - - 1.62 13.77 2.02 15.79 3.24 63.56
82 CCC - - - 1.22 - 1.22 - 71.95 - 25.61
Average Five-Year
5,055 AAA 27.32 0.83 0.30 0.06 0.04 - - - 1.94 69.52

1,041 AA 1.63 15.56 0.86 0.38 0.38 0.10 0.38 0.67 4.90 75.12
1,056 A 1.89 1.99 15.53 1.04 1.14 0.85 0.47 1.33 4.07 71.69
1,174 BBB 1.02 1.36 2.04 12.18 1.53 0.68 0.51 5.79 4.51 70.36
650 BB - - 0.31 2.15 15.69 0.31 0.31 8.31 5.85 67.08
235 B - - - - - 8.94 - 17.45 2.13 71.49
82 CCC - - - - - - - 71.95 - 28.05
a
Fitch Global Covered Bond One-Year Transition Matrix: 2022 Cohort
77 AAA 97.40 - - - - - - - 2.60 -

12 AA - 100.00 - - - - - - - -
16 A - 12.50 75.00 6.25 - - - - 6.25 -
4 BBB - - - 75.00 - - - - 25.00 -
1 BB - - - 100.00 - - - - - -
- B - - - - - - - - - -
- CCC - - - - - - - - - -
Fitch Global Covered Bond Transition Matrix: 2005-2022

Average Annual
1,726 AAA 89.05 4.87 0.58 0.17 - - - - 4.69 0.64

264 AA 4.92 60.61 3.79 17.80 - - - - 11.74 1.14
199 A - 5.53 73.87 4.52 0.50 - - - 13.07 2.51
249 BBB - - 12.85 71.08 3.21 - 1.61 - 5.22 6.02
23 BB - - 4.35 21.74 34.78 13.04 - - 17.39 8.70
20 B - - - 5.00 10.00 50.00 15.00 - 20.00 -
8 CCC - - - - - 75.00 12.50 - 12.50 -
Note: Includes Multi-Issuer Cedulas Hipotecarias (MICH)
Fitch Global Covered Bond Transition Matrix: 2005-2022

Average Annual
1,726 AAA 89.05 1.27 3.01 0.58 0.12 0.41 0.06 0.12 0.06 - - - - - - - - - 4.69 0.64
96 AA+ 6.25 59.38 10.42 1.04 - 1.04 3.13 2.08 2.08 - - - - - - - - - 14.58 -
123 AA 4.07 2.44 38.21 6.50 - - 1.63 0.81 31.71 1.63 - - - - - - - - 10.57 2.44
45 AA- 4.44 4.44 28.89 42.22 6.67 - 2.22 - - 2.22 - - - - - - - - 8.89 -
45 A+ - 4.44 6.67 11.11 51.11 8.89 - - - - - - - - - - - - 15.56 2.22
102 A - - 0.98 - 15.69 57.84 2.94 0.98 4.90 - - - - - - - - - 13.73 2.94
52 A- - - - - 11.54 21.15 48.08 3.85 - 1.92 - - 1.92 - - - - - 9.62 1.92
106 BBB+ - - - - 0.94 8.49 8.49 65.09 2.83 0.94 0.94 - - - - - - - 9.43 2.83
115 BBB - - - - 0.87 6.09 4.35 17.39 51.30 2.61 4.35 0.87 0.87 - - - - - 1.74 9.57
28 BBB- - - - - - - - 21.43 7.14 50.00 - - - - - - 14.29 - 3.57 3.57
16 BB+ - - - - - 6.25 - - - 31.25 43.75 6.25 - - - - - - 6.25 6.25
3 BB - - - - - - - - - - - - - - 33.33 - - - 33.33 33.33
4 BB- - - - - - - - - - - - - - - - 50.00 - - 50.00 -
7 B+ - - - - - - - - - - 14.29 - 14.29 14.29 - 14.29 28.57 - 14.29 -
7 B - - - - - - - - - 14.29 - - - 42.86 - - 14.29 - 28.57 -
6 B- - - - - - - - - - - - - - 16.67 33.33 33.33 - - 16.67 -
8 CCC - - - - - - - - - - - - - 25.00 37.50 12.50 12.50 - 12.50 -
Fitch Global Covered Bond One-Year Transition Matrix: 2022 Cohort

77 AAA 97.40 - - - - - - - - - - - - - - - - - 2.60 -

4 AA+ - 100.00 - - - - - - - - - - - - - - - - - -
7 AA - - 100.00 - - - - - - - - - - - - - - - - -
1 AA- - - 100.00 - - - - - - - - - - - - - - - - -
8 A+ - - - 25.00 62.50 - - - - - - - - - - - - - 12.50 -
3 A - - - - 33.33 66.67 - - - - - - - - - - - - - -
5 A- - - - - 60.00 20.00 - 20.00 - - - - - - - - - - - -
2 BBB+ - - - - - - - 50.00 - - - - - - - - - - 50.00 -
- BBB - - - - - - - - - - - - - - - - - - - -
2 BBB- - - - - - - - - - 100.00 - - - - - - - - - -
1 BB+ - - - - - - - - - 100.00 - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Covered Bond Three-Year Transition Matrix: 2020 Cohort

80 AAA 83.75 - - - - - - - - - - - - - - - - - 16.25 -

4 AA+ 25.00 50.00 - - - - - - - - - - - - - - - - 25.00 -
7 AA - - 100.00 - - - - - - - - - - - - - - - - -
2 AA- - - 50.00 - - - - - - - - - - - - - - - 50.00 -
5 A+ - - - 40.00 - - - - - - - - - - - - - - 60.00 -
9 A - - - - 44.44 22.22 - - - - - - - - - - - - 33.33 -
7 A- - - - - 42.86 14.29 - 14.29 - - - - - - - - - - 28.57 -
4 BBB+ - - - - - - - 25.00 - - - - - - - - - - 75.00 -
2 BBB - - - - - - - - - 50.00 - - - - - - - - 50.00 -
1 BBB- - - - - - - - - - - - - - - - - - - 100.00 -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Covered Bond Five-Year Transition Matrix: 2018 Cohort

84 AAA 69.05 - - - - - - - - - - - - - - - - - 30.95 -

3 AA+ 33.33 33.33 - - - - - - - - - - - - - - - - 33.33 -
7 AA - - 71.43 - - - - - - - - - - - - - - - 28.57 -
2 AA- - - 50.00 - - - - - - - - - - - - - - - 50.00 -
5 A+ - - 20.00 40.00 - - - - - - - - - - - - - - 20.00 20.00
13 A - - - - 23.08 - - 7.69 - - - - - - - - - - 69.23 -
5 A- - - - - 20.00 20.00 - - - - - - - - - - - - 60.00 -
10 BBB+ - - - - 30.00 10.00 - 10.00 - - - - - - - - - - 50.00 -
2 BBB - - - - - - - - - - - - - - - - - - 50.00 50.00
1 BBB- - - - - - 100.00 - - - - - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - - -
2 B - - - - - - - - - - - - - - - - - - 100.00 -
- B- - - - - - - - - - - - - - - - - - - - -
- CCC - - - - - - - - - - - - - - - - - - - -
Fitch Global Covered Bond Ten-Year Transition Matrix: 2013 Cohort

89 AAA 40.45 - - - - - - - - - - - - - - - - - 59.55 -

6 AA+ 50.00 - - - - - - - - - - - - - - - - - 50.00 -
3 AA - - - - - - - - - - - - - - - - - - 100.00 -
8 AA- - - 12.50 - - - - - - - - - - - - - - - 87.50 -
2 A+ - - - 50.00 - - - - - - - - - - - - - - 50.00 -
9 A - - 11.11 - - - - 11.11 - - - - - - - - - - 77.78 -
4 A- - - 25.00 - - - - - - - - - - - - - - - 75.00 -
4 BBB+ - - - - - - - - - - - - - - - - - - 100.00 -
43 BBB - - - 2.33 16.28 2.33 - - - - - - - - - - - - 27.91 51.16
3 BBB- - - 33.33 - - - - 33.33 - - - - - - - - - - 33.33 -
- BB+ - - - - - - - - - - - - - - - - - - - -
2 BB - - - - - 50.00 - - - - - - - - - - - - 50.00 -
2 BB- - - - - - - - - - - - - - - - - - - 100.00 -
- B+ - - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - - -
1 B- - - - - - - - - - - - - - - - - - - 100.00 -
4 CCC - - - - - - - - - - - - - - - - - - 100.00 -
Fitch Sovereign Average Cumulative Default Rates: 1995-2022
AAA - - - - - - - - - -
AA - - - - - - - - - -
A - - - 0.33 0.70 1.12 1.57 2.09 2.69 3.32
BBB - 0.45 0.94 1.24 1.57 1.94 2.08 2.26 2.46 2.75
BB 0.22 0.46 0.72 1.01 1.33 1.68 2.65 3.42 3.64 4.24
B 1.87 4.86 8.45 11.34 12.53 13.99 14.61 15.96 17.62 17.84
CCC to C 25.45 33.33 38.46 35.29 39.39 43.75 44.83 42.31 37.50 36.36
Investment Grade - 0.14 0.29 0.45 0.63 0.84 0.97 1.12 1.30 1.49
All Sovereigns 0.96 1.76 2.56 3.11 3.53 4.00 4.31 4.65 4.97 5.19
Fitch Sovereign Average Cumulative Default Rates: 1995-2022

AAA - - - - - - - - - -
AA+ - - - - - - - - - -
AA - - - - - - - - - -
AA- - - - - - - - - - -
A+ - - - - - - - - 1.39 1.54
A - - - 1.08 2.25 3.53 4.94 6.49 6.76 8.45
A- - - - - - - - - - -
BBB+ - - 1.01 1.04 1.09 1.14 1.22 1.37 1.54 1.82
BBB - - - - - - - - - -
BBB- - 1.06 1.67 2.33 3.07 3.90 4.26 4.72 5.17 5.66
BB+ - - - - - - 0.80 1.67 1.72 1.82
BB 0.92 1.92 3.03 4.26 4.55 5.00 5.33 5.63 5.80 5.80
BB- - - - - 0.65 1.34 2.86 3.82 4.27 5.77
B+ 0.56 1.76 3.70 5.96 7.75 9.16 10.08 12.26 14.29 12.09
B 2.63 4.42 8.33 12.18 14.58 16.67 19.01 19.09 20.20 22.22
B- 2.70 10.78 16.67 18.89 17.28 17.81 14.71 16.67 18.75 20.00
CCC to C 25.45 33.33 38.46 35.29 39.39 43.75 44.83 42.31 37.50 36.36
All Sovereigns 0.96 1.76 2.56 3.11 3.53 4.00 4.31 4.65 4.97 5.19
Fitch Sovereign One-Year Transition Matrix: 2022 Cohort
10 AAA 100.00 - - - - - - - -
17 AA - 100.00 - - - - - - -
15 A - 6.67 93.33 - - - - - -
19 BBB - - 5.26 89.47 - - - - 5.26
22 BB - - - - 95.45 4.55 - - -
28 B - - - - 3.57 75.00 14.29 7.14 -
7 CCC to C - - - - - 14.29 57.14 14.29 14.29
Fitch Sovereign Transition Matrices: 1995-2022

Average Annual
349 AAA 97.71 2.29 - - - - - - -
349 AA 2.29 93.98 2.58 0.86 - 0.29 - - -
348 A - 2.87 93.10 3.45 0.29 - - - 0.29
464 BBB - - 4.31 90.09 4.74 0.22 0.22 - 0.43
460 BB - - - 6.74 86.09 6.74 0.22 0.22 -
481 B - - - - 6.24 86.28 4.37 1.87 1.25
55 CCC to C - - - - - 20.00 49.09 25.45 5.45
Average Two-Year
339 AAA 95.28 4.42 - 0.29 - - - - -
332 AA 4.82 88.25 3.92 1.81 0.90 - - - 0.30
333 A - 5.71 87.39 6.31 0.30 - - - 0.30
445 BBB - - 8.31 80.67 9.21 0.45 0.22 0.45 0.67
438 BB - - - 13.24 73.29 12.56 0.46 0.46 -
453 B - - - 0.22 11.04 75.06 6.18 4.86 2.65
48 CCC to C - - - - 2.08 29.17 25.00 33.33 10.42
Average Three-Year
329 AAA 92.71 6.38 - 0.91 - - - - -
315 AA 7.62 82.22 5.08 3.17 0.95 0.32 - - 0.63
318 A - 8.81 81.76 7.86 0.94 - 0.31 - 0.31
425 BBB - - 12.47 73.18 12.24 0.47 - 0.94 0.71
418 BB - - 0.24 18.18 62.92 17.46 0.24 0.72 0.24
426 B - - - 1.17 13.85 65.96 6.57 8.45 3.99
39 CCC to C - - - - 7.69 20.51 17.95 38.46 15.38
Average Four-Year
318 AAA 90.25 8.18 - 1.57 - - - - -
300 AA 10.67 75.67 6.00 4.33 1.67 0.67 - - 1.00
302 A - 12.25 76.82 8.61 1.32 - 0.33 0.33 0.33
403 BBB - - 15.63 67.25 14.64 0.50 - 1.24 0.74
398 BB - - 1.26 22.61 54.02 20.60 - 1.01 0.50
397 B - - - 2.27 16.12 59.45 5.29 11.34 5.54
34 CCC to C - - - - 11.76 17.65 11.76 35.29 23.53
Average Five-Year
307 AAA 87.95 9.77 - 2.28 - - - - -
285 AA 13.33 69.47 7.72 4.56 2.46 1.05 - - 1.40
286 A - 15.38 71.68 10.49 1.05 - 0.35 0.70 0.35
382 BBB - - 18.06 61.78 17.28 0.52 - 1.57 0.79
377 BB - - 2.12 26.26 48.01 21.49 0.27 1.33 0.53
367 B - - 0.27 3.27 16.62 54.50 4.90 12.53 7.90
33 CCC to C - - - 3.03 9.09 15.15 6.06 39.39 27.27
Average Ten-Year
247 AAA 76.11 17.41 2.83 3.64 - - - - -
225 AA 25.78 40.44 13.33 12.89 4.00 - - - 3.56
211 A - 22.75 59.72 6.64 5.21 1.90 0.47 3.32 -
255 BBB - 0.78 20.39 51.76 20.00 3.14 - 2.75 1.18
283 BB - - 3.89 39.58 27.56 21.55 2.47 4.24 0.71
241 B - - 0.41 9.54 15.77 36.93 2.49 17.84 17.01
22 CCC to C - - - 9.09 4.55 4.55 - 36.36 45.45
Fitch Sovereign Transition Matrices: 1995-2022

Average Annual
No. (%) AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC to C D WD
349 AAA 97.71 2.01 - 0.29 - - - - - - - - - - - - - - -
92 AA+ 8.70 81.52 7.61 2.17 - - - - - - - - - - - - - - -
147 AA - 6.80 84.35 6.80 1.36 0.68 - - - - - - - - - - - - -
110 AA- - - 10.00 80.91 4.55 - 0.91 0.91 1.82 - - - - - - 0.91 - - -
119 A+ - - - 8.40 83.19 5.04 0.84 - - 0.84 0.84 - - - - - - - 0.84
113 A - - - - 12.39 82.30 1.77 2.65 0.88 - - - - - - - - - -
116 A- - - - - - 11.21 82.76 6.03 - - - - - - - - - - -
106 BBB+ - - - - - 2.83 13.21 70.75 10.38 1.89 - - - - - - - - 0.94
164 BBB - - - - - - 1.83 13.41 73.78 8.54 1.22 - 0.61 - - - - - 0.61
194 BBB- - - - - - - - - 13.92 75.26 9.28 0.52 - - 0.52 - 0.52 - -
159 BB+ - - - - - - - - 1.89 15.09 71.07 7.55 3.14 - - 0.63 0.63 - -
109 BB - - - - - - - - 0.92 2.75 16.51 67.89 9.17 0.92 0.92 - - 0.92 -
192 BB- - - - - - - - - - - 1.04 9.38 75.00 10.94 2.60 1.04 - - -
180 B+ - - - - - - - - - - - 0.56 13.33 70.56 10.00 2.78 1.11 0.56 1.11
190 B - - - - - - - - - - - - 1.58 11.05 72.11 7.37 4.74 2.63 0.53
111 B- - - - - - - - - - - 0.90 - 0.90 1.80 16.22 65.77 9.01 2.70 2.70
55 CCC to C - - - - - - - - - - - - - - 1.82 18.18 49.09 25.45 5.45
Average Three-Year
329 AAA 92.71 5.17 0.61 0.61 - - - 0.61 0.30 - - - - - - - - - -
86 AA+ 24.42 48.84 17.44 6.98 1.16 - - - 1.16 - - - - - - - - - -
136 AA 1.47 16.18 61.03 11.03 4.41 2.21 0.74 0.74 - - 1.47 - - - - - - - 0.74
93 AA- 1.08 1.08 29.03 51.61 3.23 1.08 1.08 4.30 2.15 2.15 - - 1.08 - - 1.08 - - 1.08
111 A+ - - 0.90 19.82 62.16 13.51 - 0.90 - - 1.80 - - - - - - - 0.90
99 A - - - 5.05 28.28 50.51 4.04 5.05 5.05 1.01 - - - - - - 1.01 - -
108 A- - - - - 4.63 25.00 57.41 11.11 - 0.93 0.93 - - - - - - - -
99 BBB+ - - - - 1.01 7.07 22.22 36.36 23.23 6.06 1.01 - - - - - - 1.01 2.02
146 BBB - - - - - 3.42 9.59 19.86 39.73 15.75 8.22 1.37 0.68 - - 0.68 - - 0.68
180 BBB- - - - - - 0.56 1.67 6.11 20.56 48.89 12.78 5.00 2.22 - 0.56 - - 1.67 -
146 BB+ - - - - - - 0.68 2.74 10.96 23.29 36.99 14.38 6.16 2.05 0.68 1.37 0.68 - -
99 BB - - - - - - - - 3.03 15.15 28.28 32.32 15.15 1.01 2.02 - - 3.03 -
173 BB- - - - - - - - - 0.58 1.73 6.36 11.56 42.20 24.28 7.51 5.20 - - 0.58
162 B+ - - - - - - - - - 1.85 0.62 2.47 20.99 37.04 19.14 7.41 4.32 3.70 2.47
168 B - - - - - - - - - 0.60 0.60 0.60 7.74 16.07 46.43 10.12 7.14 8.33 2.38
96 B- - - - - - - - 1.04 - - - 2.08 3.13 6.25 26.04 26.04 9.38 16.67 9.38
39 CCC to C - - - - - - - - - - - - 7.69 2.56 2.56 15.38 17.95 38.46 15.38
Average Five-Year
307 AAA 87.95 6.51 2.61 0.65 - - - 1.63 0.65 - - - - - - - - - -
81 AA+ 35.80 25.93 22.22 11.11 1.23 - - 1.23 - - - - - - - - - - 2.47
123 AA 5.69 19.51 44.72 12.20 3.25 5.69 0.81 4.07 - - 3.25 - - - - - - - 0.81
81 AA- 2.47 6.17 40.74 22.22 6.17 1.23 3.70 6.17 - 2.47 2.47 - 1.23 1.23 - 2.47 - - 1.23
100 A+ - - 1.00 33.00 44.00 15.00 2.00 1.00 1.00 1.00 1.00 - - - - - - - 1.00
89 A - - 2.25 8.99 39.33 31.46 1.12 4.49 6.74 2.25 - - - - - - 1.12 2.25 -
97 A- - - - - 10.31 25.77 46.39 8.25 6.19 1.03 2.06 - - - - - - - -
92 BBB+ - - - - 5.43 10.87 20.65 21.74 21.74 13.04 3.26 - - - - - - 1.09 2.17
127 BBB - - - - 1.57 5.51 14.17 18.11 25.98 15.75 9.45 3.15 6.30 - - - - - -
163 BBB- - - - - - 2.45 2.45 9.20 20.25 36.81 11.66 8.59 3.68 0.61 0.61 - - 3.07 0.61
134 BB+ - - - - - 2.24 3.73 2.99 18.66 18.66 24.63 14.93 4.48 4.48 4.48 0.75 - - -
88 BB - - - - - - - 2.27 6.82 26.14 28.41 17.05 7.95 2.27 2.27 2.27 - 4.55 -
155 BB- - - - - - - - 0.65 1.29 7.10 7.74 9.03 31.61 19.35 14.19 6.45 0.65 0.65 1.29
142 B+ - - - - - - - 0.70 1.41 2.11 3.52 4.93 12.68 29.58 20.42 8.45 4.93 7.75 3.52
144 B - - - - - - - - 1.39 0.69 0.69 0.69 13.89 18.75 29.17 9.03 5.56 14.58 5.56
81 B- - - - - - 1.23 - - - 3.70 - 1.23 9.88 9.88 23.46 9.88 3.70 17.28 19.75
33 CCC to C - - - - - - - - - 3.03 3.03 6.06 - - 9.09 6.06 6.06 39.39 27.27
Average Ten-Year
247 AAA 76.11 8.91 6.88 1.62 0.81 0.40 1.62 3.24 0.40 - - - - - - - - - -
67 AA+ 49.25 4.48 19.40 14.93 - - 1.49 - 1.49 - - - - - - - - - 8.96
95 AA 18.95 10.53 25.26 3.16 5.26 10.53 4.21 7.37 4.21 2.11 6.32 - - - - - - - 2.11
63 AA- 11.11 15.87 17.46 11.11 6.35 7.94 1.59 7.94 7.94 7.94 3.17 1.59 - - - - - - -
65 A+ - 1.54 9.23 33.85 30.77 7.69 3.08 1.54 3.08 - - - 3.08 1.54 - 3.08 - 1.54 -
71 A - - 9.86 11.27 35.21 18.31 5.63 - - 1.41 4.23 - 2.82 1.41 - - 1.41 8.45 -
75 A- - - 4.00 1.33 26.67 22.67 26.67 4.00 4.00 5.33 5.33 - - - - - - - -
55 BBB+ - - - 3.64 16.36 3.64 25.45 14.55 3.64 12.73 7.27 1.82 5.45 - - - - 1.82 3.64
94 BBB - - - - 2.13 6.38 8.51 13.83 21.28 22.34 5.32 6.38 6.38 5.32 1.06 - - - 1.06
106 BBB- - - - - 0.94 7.55 1.89 10.38 25.47 21.70 13.21 6.60 4.72 - 0.94 0.94 - 5.66 -
110 BB+ - - - - 4.55 2.73 1.82 9.09 20.00 12.73 11.82 12.73 8.18 4.55 6.36 2.73 0.91 1.82 -
69 BB - - - - - - 1.45 13.04 21.74 23.19 14.49 8.70 - 2.90 1.45 5.80 1.45 5.80 -
104 BB- - - - - - - - 0.96 9.62 14.42 6.73 6.73 11.54 21.15 10.58 5.77 4.81 5.77 1.92
91 B+ - - - - - - - - 2.20 12.09 2.20 6.59 8.79 8.79 25.27 6.59 5.49 12.09 9.89
90 B - - - - - - - - 2.22 6.67 3.33 - 11.11 20.00 15.56 3.33 - 22.22 15.56
60 B- - - - - 1.67 - - - - 3.33 3.33 5.00 6.67 10.00 13.33 5.00 1.67 20.00 30.00
22 CCC to C - - - - - - - 4.55 4.55 - - 4.55 - - - 4.55 - 36.36 45.45
Fitch Sovereign One-Year Transition Matrix: 2022 Cohort
10 AAA 100.00 - - - - - - - - - - - - - - - - - -
3 AA+ - 100.00 - - - - - - - - - - - - - - - - -
6 AA - 16.67 66.67 16.67 - - - - - - - - - - - - - - -
8 AA- - - - 100.00 - - - - - - - - - - - - - - -
4 A+ - - - 25.00 75.00 - - - - - - - - - - - - - -
7 A - - - - - 100.00 - - - - - - - - - - - - -
4 A- - - - - - - 100.00 - - - - - - - - - - - -
3 BBB+ - - - - - - 33.33 66.67 - - - - - - - - - - -
10 BBB - - - - - - - 20.00 70.00 - - - - - - - - - 10.00
6 BBB- - - - - - - - - - 100.00 - - - - - - - - -
7 BB+ - - - - - - - - - - 85.71 14.29 - - - - - - -
5 BB - - - - - - - - - - - 80.00 20.00 - - - - - -
10 BB- - - - - - - - - - - - 10.00 80.00 - 10.00 - - - -
10 B+ - - - - - - - - - - - - 10.00 80.00 10.00 - - - -
9 B - - - - - - - - - - - - - - 55.56 11.11 11.11 22.22 -
9 B- - - - - - - - - - - - - - - - 66.67 33.33 - -
7 CCC to C - - - - - - - - - - - - - - - 14.29 57.14 14.29 14.29
Fitch Sovereign Three-Year Transition Matrix: 2020 Cohort

11 AAA 90.91 9.09 - - - - - - - - - - - - - - - - -
2 AA+ - 100.00 - - - - - - - - - - - - - - - - -
7 AA - 14.29 42.86 42.86 - - - - - - - - - - - - - - -
6 AA- - - 16.67 83.33 - - - - - - - - - - - - - - -
5 A+ - - - 20.00 60.00 20.00 - - - - - - - - - - - - -
6 A - - - - - 83.33 16.67 - - - - - - - - - - - -
5 A- - - - - - 20.00 60.00 20.00 - - - - - - - - - - -
3 BBB+ - - - - - - 33.33 33.33 33.33 - - - - - - - - - -
11 BBB - - - - - - - 9.09 54.55 18.18 9.09 - - - - - - - 9.09
8 BBB- - - - - - - - 12.50 - 50.00 12.50 25.00 - - - - - - -
6 BB+ - - - - - - - - - - 66.67 16.67 16.67 - - - - - -
5 BB - - - - - - - - - - - 40.00 60.00 - - - - - -
9 BB- - - - - - - - - - - - 11.11 55.56 22.22 11.11 - - - -
11 B+ - - - - - - - - - - - - 9.09 36.36 27.27 18.18 9.09 - -
12 B - - - - - - - - - - - - - 8.33 25.00 25.00 16.67 25.00 -
6 B- - - - - - - - - - - - - - - - 33.33 33.33 33.33 -
5 CCC to C - - - - - - - - - - - - - - - - 40.00 60.00 -
Fitch Sovereign Five-Year Transition Matrix: 2018 Cohort

11 AAA 90.91 9.09 - - - - - - - - - - - - - - - - -
3 AA+ - 66.67 - 33.33 - - - - - - - - - - - - - - -
5 AA - 20.00 40.00 40.00 - - - - - - - - - - - - - - -
5 AA- - - 40.00 60.00 - - - - - - - - - - - - - - -
8 A+ - - - 37.50 37.50 25.00 - - - - - - - - - - - - -
4 A - - - - - 75.00 25.00 - - - - - - - - - - - -
5 A- - - - - - 40.00 40.00 20.00 - - - - - - - - - - -
4 BBB+ - - - - - - 25.00 25.00 25.00 25.00 - - - - - - - - -
9 BBB - - - - - - 11.11 11.11 55.56 11.11 11.11 - - - - - - - -
9 BBB- - - - - - - - - 11.11 33.33 11.11 33.33 - - - - - - 11.11
5 BB+ - - - - - - - - - - 20.00 - 40.00 20.00 20.00 - - - -
8 BB - - - - - - - 12.50 - 12.50 37.50 - 25.00 - 12.50 - - - -
6 BB- - - - - - - - - - - - 33.33 50.00 - 16.67 - - - -
11 B+ - - - - - - - - - - - - 9.09 27.27 18.18 27.27 9.09 9.09 -
12 B - - - - - - - - - - - - - 16.67 8.33 25.00 25.00 25.00 -
8 B- - - - - - - - - - - - 12.50 - - 12.50 12.50 12.50 50.00 -
1 CCC to C - - - - - - - - - - - - - - - - 100.00 - -
Fitch Sovereign Ten-Year Transition Matrix: 2013 Cohort

15 AAA 66.67 20.00 6.67 6.67 - - - - - - - - - - - - - - -
1 AA+ - - - 100.00 - - - - - - - - - - - - - - -
5 AA - 20.00 20.00 40.00 - - - - - - - - - - - - - - 20.00
2 AA- - - - 50.00 - 50.00 - - - - - - - - - - - - -
8 A+ - - 12.50 25.00 25.00 25.00 12.50 - - - - - - - - - - - -
2 A - - - - 50.00 50.00 - - - - - - - - - - - - -
4 A- - - - - - 25.00 25.00 25.00 25.00 - - - - - - - - - -
4 BBB+ - - - 25.00 - - - - 25.00 - - 25.00 25.00 - - - - - -
11 BBB - - - - - 9.09 18.18 9.09 9.09 18.18 - 9.09 9.09 9.09 - - - - 9.09
11 BBB- - - - - - 9.09 - 9.09 18.18 18.18 27.27 - 9.09 - 9.09 - - - -
8 BB+ - - - - - - - 12.50 25.00 12.50 12.50 - 12.50 - 12.50 - 12.50 - -
1 BB - - - - - - - - - - - - - - - - 100.00 - -
11 BB- - - - - - - - - - 9.09 9.09 9.09 - 9.09 18.18 27.27 - 18.18 -
8 B+ - - - - - - - - - - - 12.50 - 12.50 25.00 12.50 12.50 25.00 -
8 B - - - - - - - - - - - - 25.00 25.00 12.50 - - 37.50 -
2 B- - - - - - - - - - - - - - - - - - 100.00 -
2 CCC to C - - - - - - - - - - - 50.00 - - - - - 50.00 -
Fitch Sovereign Local Currency Rating Average Cumulative Default Rates: 1995-2022
(%) Year One Year Two Year Three Year Four Year Five
AAA - - - - -
AA - - 0.36 0.76 1.20
A - - - 0.32 0.67
BBB - 0.52 0.82 0.87 0.92
BB 0.51 0.81 1.42 2.11 2.57
B 0.72 1.78 2.71 3.23 3.21
CCC to C 5.08 6.00 7.50 8.57 12.50
Investment Grade - 0.14 0.29 0.45 0.63

Speculative Grade 0.92 1.60 2.37 2.97 3.36
All Sovereigns Local
0.34 0.66 1.02 1.33 1.56
Currency Ratings
Fitch Sovereign Local Currency Rating Transition Matrices

One-Year Transition Matrix: 2022 Cohort
10 AAA 100.00 - - - - - - - -
17 AA - 100.00 - - - - - - -
15 A - 6.67 93.33 - - - - - -
18 BBB - - - 88.89 - - - - 11.11
21 BB - - - - 95.24 4.76 - - -
24 B - - - - 4.17 75.00 20.83 - -
9 CCC to C - - - - - 11.11 77.78 - 11.11

436 AAA 96.33 3.44 - 0.23 - - - - -
313 AA 0.32 94.57 4.15 0.96 - - - - -
361 A - 2.22 91.41 5.82 0.28 - - - 0.28
401 BBB - - 4.74 88.53 5.49 0.25 0.25 - 0.75
392 BB - - - 4.08 87.50 7.91 - 0.51 -
417 B - - - - 5.52 86.09 5.52 0.72 2.16
59 CCC to C - - - - - 23.73 66.10 5.08 5.08
Fitch Supranational Transition Matrices
13 AAA 100.00 - - - - - - - -
9 AA - 100.00 - - - - - - -
3 A - - 66.67 - - - - - 33.33
5 BBB - - - 60.00 - - - - 40.00
2 BB - - - - 50.00 - - - 50.00
1 B - - - - - 100.00 - - -
- CCC to C - - - - - - - - -

217 AAA 99.08 0.92 - - - - - - -
59 AA 1.69 94.92 3.39 - - - - - -
34 A - 2.94 85.29 5.88 - - - - 5.88
54 BBB - - 5.56 88.89 - - - - 5.56
19 BB - - - - 94.74 - - - 5.26
13 B - - - - - 92.31 - - 7.69
- CCC to C - - - - - - - - -
Fitch Supranational One-Year Transition Matrix: 2022 Cohort

13 AAA 100.00 - - - - - - - - - - - - - - - - - -
5 AA+ - 80.00 20.00 - - - - - - - - - - - - - - - -
3 AA - 33.33 66.67 - - - - - - - - - - - - - - - -
1 AA- - - - 100.00 - - - - - - - - - - - - - - -
2 A+ - - - - 100.00 - - - - - - - - - - - - - -
- A - - - - - - - - - - - - - - - - - - -
1 A- - - - - - - - - - - - - - - - - - - 100.00
2 BBB+ - - - - - - - 50.00 - - - - - - - - - - 50.00
2 BBB - - - - - - - - 50.00 - - - - - - - - - 50.00
1 BBB- - - - - - - - - 100.00 - - - - - - - - - -
2 BB+ - - - - - - - - - - 50.00 - - - - - - - 50.00
- BB - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - -
1 B - - - - - - - - - - - - - - 100.00 - - - -
- B- - - - - - - - - - - - - - - - - - - -
- CCC to C - - - - - - - - - - - - - - - - - - -
Fitch Supranational Three-Year Transition Matrix: 2020 Cohort
13 AAA 100.00 - - - - - - - - - - - - - - - - - -
3 AA+ - 66.67 33.33 - - - - - - - - - - - - - - - -
2 AA - 50.00 - 50.00 - - - - - - - - - - - - - - -
2 AA- - - - - 100.00 - - - - - - - - - - - - - -
- A+ - - - - - - - - - - - - - - - - - - -
- A - - - - - - - - - - - - - - - - - - -
- A- - - - - - - - - - - - - - - - - - - -
3 BBB+ - - - - - - - 33.33 - - - - - - - - - - 66.67
1 BBB - - - - - - - - 100.00 - - - - - - - - - -
2 BBB- - - - - - - - - 50.00 - - - - - - - - - 50.00
2 BB+ - - - - - - - - - - 50.00 - - - - - - - 50.00
- BB - - - - - - - - - - - - - - - - - - -
- BB- - - - - - - - - - - - - - - - - - - -
1 B+ - - - - - - - - - - - - - - 100.00 - - - -
- B - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - -
- CCC to C - - - - - - - - - - - - - - - - - - -
Fitch Supranational Five-Year Transition Matrix: 2018 Cohort

13 AAA 100.00 - - - - - - - - - - - - - - - - - -
2 AA+ - 100.00 - - - - - - - - - - - - - - - - -
3 AA - 33.33 - 33.33 33.33 - - - - - - - - - - - - - -
1 AA- - - - - 100.00 - - - - - - - - - - - - - -
1 A+ - - - - - - - - - - - - - - - - - - 100.00
- A - - - - - - - - - - - - - - - - - - -
1 A- - - - - - - - 100.00 - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - -
2 BBB - - - - - - - - 50.00 - - - - - - - - - 50.00
2 BBB- - - - - - - - - 50.00 - - - - - - - - - 50.00
- BB+ - - - - - - - - - - - - - - - - - - -
2 BB - - - - - - - - - - 50.00 - - - - - - - 50.00
- BB- - - - - - - - - - - - - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - -
- B - - - - - - - - - - - - - - - - - - -
- B- - - - - - - - - - - - - - - - - - - -
- CCC to C - - - - - - - - - - - - - - - - - - -
Fitch Supranational Ten-Year Transition Matrix: 2013 Cohort

13 AAA 92.31 - - 7.69 - - - - - - - - - - - - - - -
1 AA+ - 100.00 - - - - - - - - - - - - - - - - -
- AA - - - - - - - - - - - - - - - - - - -
- AA- - - - - - - - - - - - - - - - - - - -
1 A+ - - - - 100.00 - - - - - - - - - - - - - -
1 A - - - - - - - - - - - - - - - - - - 100.00
- A- - - - - - - - - - - - - - - - - - - -
- BBB+ - - - - - - - - - - - - - - - - - - -
2 BBB - - - - - - - 50.00 - - - - - - - - - - 50.00
1 BBB- - - - - - - - - 100.00 - - - - - - - - - -
- BB+ - - - - - - - - - - - - - - - - - - -
- BB - - - - - - - - - - - - - - - - - - -
1 BB- - - - - - - - - - - 100.00 - - - - - - - -
- B+ - - - - - - - - - - - - - - - - - - -
1 B - - - - - - - - - - - - - - - - - - 100.00
- B- - - - - - - - - - - - - - - - - - - -
- CCC to C - - - - - - - - - - - - - - - - - - -
Fitch U.S. Public Finance Average Cumulative Default Rates: 1999–2022
AAA - - - - - - - - - -
AA - - - 0.004 0.01 0.01 0.02 0.02 0.02 0.02
A 0.01 0.03 0.05 0.06 0.07 0.06 0.07 0.08 0.11 0.14
BBB 0.02 0.03 0.08 0.20 0.41 0.61 0.79 0.96 1.03 1.04
BB 0.25 1.32 2.84 3.86 4.42 4.70 5.05 5.37 5.18 5.67
B 1.94 3.20 2.98 2.70 2.83 3.02 3.23 3.47 3.18 2.82
CCC to C 11.49 16.91 20.31 22.69 24.07 25.00 20.65 15.66 14.63 15.00
All U.S. Public Finance 0.04 0.08 0.13 0.16 0.19 0.22 0.24 0.26 0.27 0.28
Fitch U.S. Public Finance Average Cumulative Default Rates: 1999–2022

AAA - - - - - - - - - -
AA+ - - - - - - - - - -
AA - - - - - - - - - -
AA– - - - 0.01 0.02 0.03 0.05 0.05 0.06 0.05
A+ 0.03 0.06 0.08 0.06 0.05 0.04 0.05 0.07 0.09 0.09
A - - 0.03 0.06 0.08 0.08 0.09 0.11 0.15 0.20
A– - 0.02 0.04 0.08 0.09 0.09 0.07 0.07 0.10 0.14
BBB+ - - 0.04 0.13 0.35 0.50 0.62 0.70 0.75 0.80
BBB - 0.05 0.05 0.05 0.25 0.47 0.66 0.86 0.85 0.84
BBB– 0.06 0.06 0.20 0.55 0.72 0.99 1.28 1.52 1.78 1.72
BB+ - - 0.76 1.44 1.80 1.73 2.48 3.42 4.33 4.66
BB 0.46 1.47 2.39 3.43 4.35 4.76 4.80 4.94 5.12 5.91
BB– 0.58 5.49 10.83 12.84 13.04 13.85 13.45 12.38 8.05 8.33
B+ 2.35 3.61 1.30 2.78 2.94 3.28 3.57 3.77 4.17 2.27
B 1.56 1.59 2.42 2.48 2.59 2.70 2.91 3.23 2.41 2.70
B– 2.22 7.32 8.82 3.45 3.57 3.70 3.70 3.70 3.85 4.17
CCC to C 11.49 16.91 20.31 22.69 24.07 25.00 20.65 15.66 14.63 15.00
All U.S. Public Finance 0.04 0.08 0.13 0.16 0.19 0.22 0.24 0.26 0.27 0.28
Fitch U.S. Public Finance One-Year Transition Matrix: 2022 Cohort
No. (%) AAA AA A BBB BB B CCC to C D WDa
468 AAA 97.22 0.21 - - - - - - 2.56
1,713 AA 0.76 95.10 0.35 - - - - - 3.79
632 A - 1.58 92.56 0.47 0.16 - - - 5.22
229 BBB - - 7.86 83.84 3.49 - - - 4.80
80 BB - - 1.25 5.00 81.25 3.75 - - 8.75
8 B - - - - - 62.50 12.50 - 25.00
12 CCC to C - - - - - - 50.00 16.67 33.33
Securities pre-refunded or redeemed are included in the withdrawn figures.
a
Fitch U.S. Public Finance Transition Matrices: 1999–2022

Average Annual
7,989 AAA 95.48 1.20 0.05 0.01 - - - - 3.25
31,208 AA 1.21 94.38 1.27 0.04 0.01 0.003 - - 3.10
22,025 A 0.10 5.35 89.44 1.37 0.10 0.03 0.01 0.01 3.58
6,567 BBB - 0.14 6.21 85.56 2.91 0.43 0.05 0.02 4.69
1,218 BB - - 0.08 6.24 79.97 4.27 1.31 0.25 7.88
258 B - 0.39 - 1.55 7.75 64.34 8.14 1.94 15.89
148 CCC to C - - - - - 3.38 69.59 11.49 15.54
a
Average Two-Year
7,521 AAA 90.97 2.29 0.09 0.04 - - - - 6.61
29,495 AA 2.38 89.14 2.22 0.11 0.01 0.01 0.003 - 6.13
21,393 A 0.19 9.93 79.78 2.44 0.25 0.06 0.03 0.03 7.28
6,338 BBB - 0.32 11.19 72.58 5.06 0.80 0.21 0.03 9.81
1,138 BB - - 0.62 10.72 63.18 6.33 2.46 1.32 15.38
250 B - 0.40 - 5.20 11.20 44.80 5.60 3.20 29.60
136 CCC to C - - - - - 2.21 55.88 16.91 25.00
a
Average Three-Year
7,062 AAA 86.53 3.31 0.10 0.07 - - - - 9.98
27,771 AA 3.49 84.17 3.01 0.19 0.01 0.01 0.01 - 9.12
20,739 A 0.26 13.94 70.83 3.30 0.37 0.09 0.05 0.05 11.12
6,107 BBB - 0.56 15.13 60.93 6.37 1.23 0.33 0.08 15.38
1,057 BB - - 0.85 13.62 49.95 6.81 2.65 2.84 23.27
235 B - 0.43 - 8.09 14.04 32.34 5.11 2.98 37.02
128 CCC to C - - - - - 0.78 45.31 20.31 33.59
a
Average Four-Year
6,583 AAA 82.29 4.04 0.11 0.09 - - - - 13.47
26,063 AA 4.60 79.38 3.69 0.23 0.01 0.01 0.01 0.004 12.07
20,055 A 0.32 17.44 62.50 3.93 0.42 0.11 0.07 0.06 15.13
5,881 BBB - 0.73 18.14 50.89 6.99 1.46 0.48 0.20 21.10
984 BB - - 1.52 14.43 39.23 7.52 2.13 3.86 31.30
222 B - 0.45 0.45 10.36 13.96 20.27 5.41 2.70 46.40
119 CCC to C - - - - - 0.84 36.97 22.69 39.50
a
Average Five-Year
6,110 AAA 78.13 4.53 0.15 0.08 - - - - 17.10
24,338 AA 5.73 74.79 4.20 0.28 0.004 0.01 0.01 0.01 14.97
19,298 A 0.37 20.44 55.02 4.17 0.47 0.14 0.08 0.07 19.25
5,667 BBB - 1.04 20.12 42.33 7.15 1.68 0.51 0.41 26.77
905 BB - - 2.21 14.81 31.05 6.30 2.65 4.42 38.56
212 B - - 1.42 11.32 11.79 12.26 5.19 2.83 55.19
108 CCC to C - - - - - 0.93 28.70 24.07 46.30
a
Average Ten-Year
3,926 AAA 63.30 6.27 0.28 - - - - - 30.16
15,854 AA 10.56 54.81 4.81 0.47 0.04 0.02 0.01 0.02 29.27
15,095 A 0.67 26.60 27.13 3.23 0.52 0.11 0.08 0.14 41.53
4,344 BBB 0.05 3.38 18.95 16.30 4.95 0.92 0.76 1.04 53.66
494 BB - 0.20 5.06 12.35 8.91 2.02 0.40 5.67 65.38
142 B - - 6.34 4.93 0.70 3.52 3.52 2.82 78.17
80 CCC to C - - - - - - 8.75 15.00 76.25
a
Fitch U.S. Pubic Finance Transition Matrices: 1999–2022

Average Annual
No. (%) AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC to C D WDa
7,989 AAA 95.48 0.91 0.23 0.06 0.04 - 0.01 0.01 - - - - - - - - - - 3.25
7,724 AA+ 3.96 91.62 1.63 0.23 0.03 - 0.03 - - - - - - - - - - - 2.50
11,878 AA 0.51 5.86 88.27 2.05 0.20 0.07 0.03 0.02 - - - - - - - - - - 3.00
11,606 AA- 0.09 0.36 7.65 85.10 2.52 0.40 0.16 0.05 0.03 0.01 0.01 - 0.01 - 0.01 - - - 3.59
9,727 A+ 0.24 0.06 0.59 8.86 83.06 2.03 1.25 0.19 0.07 0.01 0.04 - 0.01 - - - 0.01 0.03 3.56
7,116 A - 0.06 0.27 3.02 8.60 82.07 2.01 0.51 0.34 0.14 0.04 0.03 0.03 - 0.04 - 0.01 - 2.84
5,182 A- - - 0.02 0.29 3.45 6.68 80.68 2.68 1.04 0.23 0.06 0.12 - - 0.08 - 0.02 - 4.65
2,654 BBB+ - - 0.04 0.19 0.45 2.79 8.82 77.09 4.48 1.32 0.23 0.30 0.08 0.04 0.11 0.04 - - 4.03
2,257 BBB - 0.04 - 0.09 0.22 0.53 2.61 7.58 76.56 4.43 1.33 0.71 0.22 0.13 0.18 0.04 - - 5.32
1,656 BBB- - - - - 0.06 0.18 0.48 2.54 6.16 77.05 4.65 2.11 0.72 0.30 0.42 0.18 0.18 0.06 4.89
609 BB+ - - - - - - - - 1.31 7.22 75.21 3.78 2.79 0.82 0.82 0.16 - - 7.88
438 BB - - - - - 0.23 - 0.23 0.46 4.34 4.79 71.92 5.02 1.60 1.37 0.46 0.68 0.46 8.45
171 BB- - - - - - - - - 0.58 0.58 2.34 5.85 60.82 5.26 6.43 3.51 7.60 0.58 6.43
85 B+ - - - - - - - - - - 1.18 5.88 3.53 56.47 2.35 3.53 11.76 2.35 12.94
128 B - - - 0.78 - - - - - 3.13 1.56 4.69 2.34 4.69 57.81 4.69 4.69 1.56 14.06
45 B- - - - - - - - - - - - - - - 11.11 48.89 11.11 2.22 26.67
148 CCC to C - - - - - - - - - - - - - - 2.70 0.68 69.59 11.49 15.54
a
Average Three-Year
7,062 AAA 86.53 2.49 0.52 0.30 0.08 - 0.01 0.07 - - - - - - - - - - 9.98
6,613 AA+ 11.24 76.58 4.16 0.77 0.14 0.06 0.06 0.03 - 0.03 - - - - - - - - 6.94
10,618 AA 1.75 15.35 68.22 4.49 0.93 0.14 0.12 0.08 0.01 - - - - - - - - - 8.90
10,540 AA- 0.38 1.76 18.59 61.57 4.84 1.29 0.45 0.22 0.09 0.06 0.01 - 0.01 - 0.03 - 0.02 - 10.70
9,143 A+ 0.57 0.25 2.96 20.40 57.33 3.53 3.02 0.51 0.25 0.07 0.07 - 0.01 - - - 0.02 0.08 10.93
6,688 A 0.01 0.16 1.00 8.52 19.27 54.19 5.13 1.27 0.96 0.30 0.15 0.16 0.07 0.01 0.10 - 0.03 0.03 8.61
4,908 A- - - 0.12 1.57 8.62 14.75 49.82 5.66 2.42 0.86 0.31 0.45 0.12 0.04 0.16 - 0.14 0.04 14.91
2,471 BBB+ - 0.04 0.20 0.57 1.82 6.84 17.81 45.53 8.09 2.95 0.81 0.61 0.32 0.04 0.53 0.04 0.24 0.04 13.52
2,124 BBB - 0.09 0.09 0.33 0.66 2.73 6.97 13.42 42.80 8.00 3.67 1.84 0.85 0.42 0.47 0.09 0.28 0.05 17.23
1,512 BBB- - - - 0.20 0.46 0.73 2.12 5.89 11.51 46.03 8.60 3.77 1.59 0.60 1.52 0.46 0.53 0.20 15.81
523 BB+ - - - - - - 0.96 2.10 3.63 12.24 41.87 8.60 3.82 1.34 1.15 0.76 0.76 0.76 21.99
377 BB - - - - - 0.27 0.53 0.53 3.45 7.43 7.96 34.48 6.63 3.45 3.45 3.18 2.12 2.39 24.14
157 BB- - - - - - 0.64 - - 1.91 2.55 5.73 7.01 24.84 3.18 5.73 1.91 10.19 10.83 25.48
77 B+ - - - - - - - - - 1.30 1.30 11.69 11.69 27.27 1.30 5.19 7.79 1.30 31.17
124 B - - - 0.81 - - - 1.61 1.61 11.29 2.42 5.65 1.61 7.26 21.77 4.84 1.61 2.42 37.10
34 B- - - - - - - - - - - - - 5.88 2.94 8.82 11.76 11.76 8.82 50.00
128 CCC to C - - - - - - - - - - - - - - 0.78 - 45.31 20.31 33.59
a
Average Five-Year
6,110 AAA 78.13 3.58 0.57 0.38 0.13 - 0.02 0.08 - - - - - - - - - - 17.10
5,512 AA+ 17.71 63.68 5.53 1.20 0.25 0.20 0.07 0.11 - 0.02 - - - - - - - - 11.23
9,370 AA 3.80 22.36 51.60 5.50 1.56 0.29 0.31 0.07 0.01 0.02 0.01 - - - - - - - 14.47
9,456 AA- 0.67 4.24 24.55 43.93 5.83 1.87 0.66 0.32 0.10 0.13 - - - - 0.03 - 0.02 0.02 17.65
8,489 A+ 0.77 0.49 6.46 25.76 39.04 3.65 3.18 0.95 0.22 0.19 0.06 0.02 0.01 0.02 - - 0.04 0.05 19.08
6,228 A 0.10 0.22 1.99 13.41 22.38 34.49 8.03 1.70 1.48 0.37 0.16 0.18 0.08 0.02 0.11 - 0.05 0.08 15.16
4,581 A- - 0.04 0.44 3.75 11.74 17.11 29.69 6.24 2.88 1.09 0.50 0.50 0.22 - 0.33 0.04 0.22 0.09 25.10
2,302 BBB+ - 0.13 0.35 1.13 4.00 8.73 19.29 27.02 7.08 4.17 1.43 0.56 0.17 0.04 0.56 0.13 0.43 0.35 24.41
1,980 BBB - 0.10 0.20 0.45 1.57 4.95 9.55 12.58 24.14 7.42 4.65 2.22 0.96 0.61 0.51 0.20 0.56 0.25 29.09
1,385 BBB- - - - 0.51 0.58 1.30 4.26 5.99 13.07 27.44 8.74 3.25 2.45 1.01 2.24 0.51 0.58 0.72 27.36
445 BB+ - - - - - 0.22 2.47 3.15 4.49 12.81 23.82 10.11 3.37 1.80 0.90 0.67 0.90 1.80 33.48
322 BB - - - - 0.62 - 1.24 0.62 3.42 7.45 6.21 16.46 4.35 3.73 3.11 4.35 2.80 4.35 41.30
138 BB- - - - - 0.72 0.72 - 2.90 0.72 0.72 4.35 5.07 10.87 1.45 2.90 - 7.97 13.04 48.55
68 B+ - - - - - - - 1.47 - 1.47 5.88 2.94 13.24 14.71 - 4.41 5.88 2.94 47.06
116 B - - - - - 1.72 0.86 4.31 2.59 12.07 1.72 4.31 0.86 2.59 3.45 2.59 2.59 2.59 57.76
28 B- - - - - - - - - - - - - 7.14 3.57 7.14 - 14.29 3.57 64.29
108 CCC to C - - - - - - - - - - - - - - 0.93 - 28.70 24.07 46.30
a
Average Ten-Year
3,926 AAA 63.30 4.79 0.69 0.79 0.28 - - - - - - - - - - - - - 30.16
3,105 AA+ 28.21 41.00 5.64 1.96 0.55 0.29 - 0.13 - - - - - - - - - - 22.22
6,326 AA 10.83 28.80 22.94 5.77 2.07 0.54 0.68 0.21 0.08 0.08 - 0.02 - 0.03 - - - - 27.96
6,423 AA- 1.76 11.12 25.66 18.37 5.29 2.30 0.62 0.40 0.20 0.12 0.08 0.02 - 0.02 - - 0.02 0.05 33.97
6,547 A+ 1.31 2.14 13.79 22.45 12.88 2.86 2.08 0.84 0.31 0.29 0.05 0.05 0.03 0.02 - 0.02 0.05 0.09 40.77
4,920 A 0.24 1.40 4.82 16.89 16.30 11.28 6.93 1.08 1.16 0.77 0.24 0.12 0.12 0.02 0.16 - 0.14 0.20 38.11
3,628 A- 0.08 0.41 2.01 7.64 12.73 11.49 9.70 3.75 1.65 1.38 0.69 0.50 0.08 - 0.14 - 0.06 0.14 47.55
1,740 BBB+ - 0.34 0.92 4.14 6.21 9.54 12.24 9.94 4.08 1.61 2.01 0.23 0.11 0.11 0.17 - 0.17 0.80 47.36
1,556 BBB 0.13 0.32 0.64 2.12 3.79 6.04 6.36 6.17 5.33 3.60 2.96 1.03 1.09 0.39 0.45 0.19 0.96 0.84 57.58
1,048 BBB- - - - 0.48 2.10 1.05 4.87 6.01 5.92 7.25 4.77 2.10 2.19 0.38 0.86 0.57 1.43 1.72 58.30
236 BB+ - - - 0.42 0.42 1.69 2.97 1.27 2.97 11.86 3.39 4.66 2.12 0.42 0.42 1.69 - 4.66 61.02
186 BB - - - - 2.15 2.69 1.08 1.08 4.30 6.99 2.69 4.30 3.23 0.54 - 0.54 0.54 5.91 63.98
72 BB- - - - - - 2.78 - - - - 1.39 - - - 2.78 - 1.39 8.33 83.33
44 B+ - - - - - - - - - - - - 2.27 6.82 - - 9.09 2.27 79.55
74 B - - - - 1.35 - 10.81 5.41 2.70 1.35 - - - - - - - 2.70 75.68
24 B- - - - - - - - - - - - - - - 8.33 - 4.17 4.17 83.33
80 CCC to C - - - - - - - - - - - - - - - - 8.75 15.00 76.25
a
Fitch U.S. Public Finance One-Year Transition Matrix: 2022 Cohort

468 AAA 97.22 0.21 - - - - - - - - - - - - - - - - 2.56
547 AA+ 2.19 93.05 0.73 - - - - - - - - - - - - - - - 4.02
633 AA 0.16 4.27 90.68 0.95 - - - - - - - - - - - - - - 3.95
533 AA- - 0.19 3.38 91.93 0.94 0.19 - - - - - - - - - - - - 3.38
287 A+ - - - 3.48 91.64 0.35 - - - - - - - - - - - - 4.53
204 A - - - - 9.80 80.88 1.96 - - - - - - - - - - - 7.35
141 A- - - - - - 11.35 82.27 2.13 - - 0.71 - - - - - - - 3.55
89 BBB+ - - - - - 3.37 15.73 74.16 3.37 - - - - - - - - - 3.37
67 BBB - - - - - - 1.49 7.46 85.07 4.48 - - - - - - - - 1.49
73 BBB- - - - - - - - 2.74 6.85 69.86 6.85 2.74 1.37 - - - - - 9.59
44 BB+ - - - - - - - - 2.27 6.82 77.27 2.27 - - - - - - 11.36
29 BB - - - - - 3.45 - - - - 3.45 72.41 6.90 - 6.90 - - - 6.90
7 BB- - - - - - - - - - - - - 85.71 14.29 - - - - -
2 B+ - - - - - - - - - - - - - 50.00 - - 50.00 - -
2 B - - - - - - - - - - - - - - 50.00 - - - 50.00
4 B- - - - - - - - - - - - - - - - 75.00 - - 25.00
12 CCC to C - - - - - - - - - - - - - - - - 50.00 16.67 33.33
a
Fitch U.S. Public Finance Three-Year Transition Matrix: 2020 Cohort

479 AAA 87.68 2.71 0.63 0.42 0.21 - - - - - - - - - - - - - 8.35
555 AA+ 5.05 81.08 3.60 0.36 0.18 0.36 - - - - - - - - - - - - 9.37
622 AA 0.96 7.88 74.60 4.98 0.32 - 0.32 - - - - - - - - - - - 10.93
531 AA- 0.19 0.19 8.85 72.50 3.77 0.94 0.75 0.19 - - - - - - - - - - 12.62
320 A+ - - 0.94 12.81 63.75 5.31 0.63 - - - - - - - - - - 0.94 15.63
223 A - - 0.45 1.35 18.39 59.19 5.83 0.90 - 0.90 - - - - - - - - 13.00
141 A- - - - - 0.71 15.60 61.70 3.55 2.84 - 0.71 - - - - - - - 14.89
88 BBB+ - - 1.14 1.14 - 1.14 15.91 53.41 11.36 - 1.14 - - - - - - - 14.77
73 BBB - - - - - - - 15.07 42.47 16.44 6.85 1.37 - - - - 2.74 - 15.07
65 BBB- - - - - - - 1.54 1.54 16.92 44.62 13.85 4.62 1.54 - 3.08 - - - 12.31
37 BB+ - - - - - - - - 2.70 13.51 54.05 10.81 - - - - - - 18.92
27 BB - - - - - 3.70 - 3.70 - - 7.41 51.85 14.81 - - - - - 18.52
9 BB- - - - - - - - - - - - - 22.22 11.11 11.11 22.22 - 22.22 11.11
5 B+ - - - - - - - - - - - - - 20.00 - - 20.00 - 60.00
3 B - - - - - - - - - - - - - - - 33.33 - - 66.67
5 B- - - - - - - - - - - - - - - - - - 40.00 60.00
9 CCC to C - - - - - - - - - - - - - - - - 44.44 - 55.56
a
Fitch U.S. Public Finance Five-Year Transition Matrix: 2018 Cohort

468 AAA 82.05 3.42 0.64 0.21 0.21 - - - - - - - - - - - - - 13.46
553 AA+ 6.33 73.42 3.80 0.36 0.18 0.72 - - - - - - - - - - - - 15.19
624 AA 1.12 10.58 64.74 3.69 0.80 0.16 0.32 - - - - - - - - - - - 18.59
540 AA- 0.56 0.74 13.15 55.93 4.81 2.59 0.93 0.37 - - - - - - - - - - 20.93
357 A+ - - 3.64 19.89 43.14 4.20 1.68 0.28 - - - - - - - - - 0.56 26.61
256 A - - 0.39 7.81 20.70 37.50 7.81 2.73 0.78 0.39 - 0.39 - - - - 0.39 0.39 20.70
182 A- - - - 1.10 4.95 17.03 34.07 8.24 3.30 1.10 1.10 - - - - - 0.55 - 28.57
88 BBB+ - - - 1.14 1.14 4.55 17.05 26.14 12.50 4.55 4.55 - - - - - - - 28.41
70 BBB - 1.43 - - - 1.43 1.43 14.29 25.71 14.29 8.57 - 1.43 - - - - - 31.43
70 BBB- - - - - - 1.43 2.86 1.43 17.14 22.86 5.71 2.86 1.43 - 2.86 - - 1.43 40.00
40 BB+ - - - - - - - 2.50 2.50 15.00 35.00 12.50 - - - 2.50 - 2.50 27.50
28 BB - - - - - - - - 3.57 3.57 - 25.00 14.29 3.57 3.57 7.14 - 7.14 32.14
8 BB- - - - - - - - - - - 25.00 - 12.50 - - - - 25.00 37.50
7 B+ - - - - - - - 14.29 - - - - - 14.29 - - 14.29 - 57.14
5 B - - - - - - - - - - - - - - - - - - 100.00
1 B- - - - - - - - - - - - - - - - - - - 100.00
8 CCC to C - - - - - - - - - - - - - - - - 37.50 12.50 50.00
a
Fitch U.S. Public Finance Ten-Year Transition Matrix: 2013 Cohort

454 AAA 51.98 5.29 0.44 0.88 - - - - - - - - - - - - - - 41.41
460 AA+ 13.48 48.26 7.61 1.74 0.43 0.65 - - - - - - - - - - - - 27.83
596 AA 3.19 18.46 33.05 6.88 2.18 1.34 0.67 - - - - - - - - - - - 34.23
685 AA- 1.31 5.40 16.35 24.67 6.72 2.04 0.88 0.58 0.44 - - - - - - - 0.15 0.15 41.31
421 A+ 0.71 1.66 7.84 14.49 18.29 4.28 4.99 0.95 0.48 0.24 - - - - - - 0.24 0.24 45.61
270 A 1.11 1.11 2.96 8.52 12.59 15.93 5.56 1.11 1.11 1.48 1.11 - - - - - - 0.37 47.04
254 A- - 0.39 2.36 3.54 5.91 7.87 7.48 3.94 1.97 0.39 0.79 - - - - - - - 65.35
129 BBB+ - 0.78 - 7.75 1.55 11.63 7.75 5.43 3.88 1.55 1.55 - - - 0.78 - - 3.10 54.26
83 BBB - - - 1.20 1.20 6.02 6.02 7.23 6.02 4.82 2.41 - - - - - 2.41 - 62.65
73 BBB- - - - - 2.74 1.37 4.11 4.11 4.11 9.59 10.96 4.11 - - - 1.37 - 2.74 54.79
35 BB+ - - - 2.86 - - 2.86 - 2.86 11.43 5.71 5.71 2.86 - - 2.86 - 5.71 57.14
23 BB - - - - - - - 4.35 4.35 4.35 - - 4.35 4.35 - - 4.35 - 73.91
9 BB- - - - - - - - - - - - - - - - - 11.11 - 88.89
2 B+ - - - - - - - - - - - - - - - - - - 100.00
7 B - - - - 14.29 - - - - - - - - - - - - - 85.71
1 B- - - - - - - - - - - - - - - - - - - 100.00
11 CCC to C - - - - - - - - - - - - - - - - - 27.27 72.73
a
U.S. Public Finance Transition Matrices by Sector
Education & Nonprofit Sector Transition Matrices

11 AAA 100.00 - - - - - - - -
81 AA - 98.77 1.23 - - - - - -
53 A - 1.89 94.34 1.89 - - - - 1.89
26 BBB - - - 76.92 3.85 - - - 19.23
12 BB - - - - 83.33 - - - 16.67
2 B - - - - - 100.00 - - -
2 CCC to C - - - - - - 50.00 - 50.00
a

256 AAA 97.66 0.39 - - - - - - 1.95
1,252 AA 0.40 95.77 1.44 - - - - - 2.40
1,056 A - 3.98 91.38 1.61 - - - 0.19 2.84
564 BBB - - 2.30 88.12 4.26 0.35 0.18 - 4.79
145 BB - - - 2.76 82.07 4.83 - - 10.34
29 B - - - - 6.90 72.41 13.79 - 6.90
8 CCC to C - - - - - 12.50 50.00 12.50 25.00
a
Healthcare Sector Transition Matrices

- AAA - - - - - - - - -
112 AA - 94.64 1.79 - - - - - 3.57
126 A - 2.38 92.86 0.79 0.79 - - - 3.17
124 BBB - - 3.23 90.32 4.84 - - - 1.61
55 BB - - 1.82 5.45 81.82 5.45 - - 5.45
4 B - - - - - 50.00 25.00 - 25.00
4 CCC to C - - - - - - - 50.00 50.00
a

31 AAA 74.19 16.13 6.45 - - - - - 3.23
1,590 AA 0.13 95.79 2.01 0.06 - - - - 2.01
3,237 A - 2.35 90.79 3.24 0.06 - 0.03 - 3.52
2,768 BBB - 0.04 3.25 88.33 3.65 0.40 - 0.04 4.30
653 BB - - 0.15 3.83 83.77 4.13 0.46 0.31 7.35
105 B - - - - 8.57 64.76 6.67 3.81 16.19
44 CCC to C - - - - - - 65.91 11.36 22.73
a
Community Development & Social Lending Sector Transition Matrices

19 AAA 94.74 - - - - - - - 5.26
24 AA - 91.67 - - - - - - 8.33
11 A - - 100.00 - - - - - -
5 BBB - - - 80.00 20.00 - - - -
1 BB - - - - 100.00 - - - -
1 B - - - - - 100.00 - - -
- CCC to C - - - - - - - - -
a

1,471 AAA 91.50 0.34 0.07 - - - - - 8.09
1,085 AA 3.87 93.18 0.74 0.09 - - - - 2.12
1,606 A 1.31 0.25 92.09 0.37 0.06 - - - 5.92
129 BBB - 0.78 - 86.82 2.33 0.78 - - 9.30
25 BB - - - 8.00 84.00 4.00 - - 4.00
10 B - - - - 10.00 90.00 - - -
- CCC to C - - - - - - - - -
a
Utilities Sector Transition Matrices

112 AAA 96.43 - - - - - - - 3.57
359 AA 0.56 95.26 0.56 - - - - - 3.62
160 A - 0.63 91.88 0.63 - - - - 6.88
28 BBB - - 14.29 78.57 - - - - 7.14
3 BB - - - - 100.00 - - - -
- B - - - - - - - - -
3 CCC to C - - - - - - 100.00 - -
a

1,798 AAA 96.44 0.72 - - - - - - 2.84
6,377 AA 1.49 94.20 1.33 0.03 0.02 - - - 2.93
5,002 A - 5.20 90.88 0.64 0.04 0.08 - 0.02 3.14
725 BBB - 0.41 7.72 85.38 1.24 0.69 0.14 - 4.41
113 BB - - - 10.62 81.42 4.42 - - 3.54
41 B - - - 7.32 - 65.85 7.32 - 19.51
32 CCC to C - - - - - - 93.75 3.13 3.13
a
Tax-Supported Sector Transition Matrices

326 AAA 97.55 0.31 - - - - - - 2.15
1,137 AA 0.97 94.90 0.09 - - - - - 4.05
282 A - 1.77 92.20 - - - - - 6.03
46 BBB - - 21.74 73.91 - - - - 4.35
9 BB - - - 11.11 66.67 - - - 22.22
1 B - - - - - - - - 100.00
3 CCC to C - - - - - - 66.67 - 33.33
a

4,433 AAA 96.44 1.62 0.02 0.02 - - - - 1.89
20,904 AA 1.11 94.30 1.21 0.04 0.005 0.005 - - 3.32
11,124 A 0.02 7.16 87.83 1.27 0.14 0.03 0.02 - 3.53
2,381 BBB - 0.17 10.46 81.73 2.27 0.38 0.04 - 4.96
282 BB - - - 11.70 69.15 4.26 4.61 0.35 9.93
73 B - 1.37 - 1.37 10.96 56.16 9.59 1.37 19.18
64 CCC to C - - - - - 6.25 62.50 15.63 15.63
a
Fitch Global Infrastructure and Project Finance Average Cumulative Default Rates: 2005–2022
AAA - - - - - - - - - -
AA - - - - 0.16 0.36 0.76 1.02 1.09 1.18
A - - - 0.04 0.09 0.15 0.22 0.41 0.52 0.65
BBB - 0.05 0.15 0.50 1.17 2.06 2.97 3.92 4.82 5.91
BB 0.16 0.72 1.84 3.36 4.39 5.36 6.53 6.98 7.49 8.58
B 1.15 2.07 5.96 7.46 7.98 8.05 9.80 11.36 13.64 14.61
CCC to C 18.10 34.00 41.49 47.06 51.90 56.16 57.35 59.38 58.93 52.38
All Global Infrastructure and
0.33 0.68 1.06 1.43 1.86 2.32 2.83 3.35 3.69 3.89
Project Finance
Fitch Global Infrastructure and Project Finance Average Cumulative Default Rates: 2005–2022
AAA - - - - - - - - - -
AA+ - - - - - - - - - -
AA - - - - 0.47 1.04 1.67 2.33 2.44 2.56
AA- - - - - - - 0.34 0.36 0.39 0.42
A+ - - - 0.14 0.30 0.48 0.52 0.57 0.63 0.71
A - - - - - - - 0.42 0.61 0.83
A- - - - - - - 0.20 0.22 0.25 0.28
BBB+ - - - - 0.43 1.19 2.13 3.03 4.17 5.20
BBB - - - 0.32 1.04 1.91 2.72 3.65 4.24 5.22
BBB- - 0.13 0.42 1.08 1.91 2.93 3.93 4.95 6.03 7.33
BB+ - 0.98 1.68 3.11 3.45 3.85 4.39 4.04 3.61 4.35
BB - 0.47 1.53 2.23 2.41 2.58 3.42 3.73 4.00 4.39
BB- 0.65 0.76 2.61 5.61 9.09 12.50 15.58 17.65 20.34 24.00
B+ - - 1.23 1.35 2.86 3.03 5.08 5.88 7.14 8.82
B 1.32 4.17 11.11 12.07 11.54 13.04 15.00 17.14 20.69 18.18
B- 2.33 2.50 6.76 10.14 10.61 9.68 11.11 13.04 15.38 18.18
CCC to C 18.10 34.00 41.49 47.06 51.90 56.16 57.35 59.38 58.93 52.38
All Global Infrastructure and
0.33 0.68 1.06 1.43 1.86 2.32 2.83 3.35 3.69 3.89
Project Finance
Fitch Global Infrastructure and Project Finance One-Year Transition Matrix: 2022 Cohort
1 AAA 100.00 - - - - - - - -
50 AA - 96.00 - - - - - - 4.00
157 A - 1.91 96.82 - - - - - 1.27
167 BBB - - 2.99 94.61 - - - - 2.40
80 BB - - - 3.75 80.00 2.50 - - 13.75
21 B - - - - 4.76 52.38 - 4.76 38.10
5 CCC to C - - - - - - 100.00 - -
a
Fitch Global Infrastructure and Project Finance Transition Matrices: 2005-2022

Average Annual
106 AAA 80.19 8.49 0.94 - - - - - 10.38
807 AA 0.25 92.94 3.59 0.12 - - - - 3.10
2,790 A 0.04 1.15 93.69 1.90 0.11 - - - 3.12
2,287 BBB - 0.04 1.88 90.25 3.28 0.31 0.13 - 4.11
632 BB - - - 2.85 81.80 6.33 1.42 0.16 7.44
262 B - - - - 1.15 78.24 7.63 1.15 11.83
105 CCC to C - - - - 0.95 3.81 72.38 18.10 4.76
a
Average Two-Year
105 AAA 62.86 15.24 1.90 0.95 - - - - 19.05
757 AA 0.53 86.26 6.47 0.13 0.26 - - - 6.34
2,633 A 0.08 2.13 87.50 3.27 0.15 0.15 0.08 - 6.65
2,120 BBB - 0.09 3.63 81.27 5.80 0.71 0.47 0.05 7.97
552 BB - - - 4.35 67.21 9.42 2.72 0.72 15.58
241 B - - - - 2.07 65.15 11.62 2.07 19.09
100 CCC to C - - - - 1.00 5.00 51.00 34.00 9.00
a
Average Three-Year
104 AAA 50.96 21.15 2.88 1.92 - - - - 23.08
705 AA 0.85 79.43 9.36 0.14 0.43 0.28 - - 9.50
2,480 A 0.12 3.06 81.73 4.35 0.40 0.28 0.04 - 10.00
1,956 BBB - 0.15 5.42 72.65 7.57 0.97 1.07 0.15 12.01
490 BB - - - 5.51 54.49 10.41 3.47 1.84 24.29
218 B - - - - 2.75 56.42 11.01 5.96 23.85
94 CCC to C - - - - 1.06 7.45 38.30 41.49 11.70
a
Average Four-Year
102 AAA 42.16 25.49 2.94 1.96 0.98 - - - 26.47
656 AA 1.22 72.87 11.89 0.15 0.61 0.61 - - 12.65
2,322 A 0.09 3.79 76.74 5.25 0.65 0.39 0.09 0.04 12.96
1,785 BBB - 0.17 7.17 64.48 8.68 1.23 1.51 0.50 16.25
447 BB - - - 6.49 44.07 10.96 3.13 3.36 31.99
201 B - - - - 3.48 48.26 11.94 7.46 28.86
85 CCC to C - - - - - 9.41 30.59 47.06 12.94
a
Average Five-Year
100 AAA 33.00 30.00 3.00 1.00 2.00 - - - 31.00
608 AA 1.64 66.12 14.64 - 0.49 0.82 0.16 0.16 15.95
2,169 A 0.05 4.38 72.01 6.13 0.74 0.55 0.09 0.09 15.95
1,619 BBB - 0.12 8.59 56.95 9.39 1.54 1.67 1.17 20.57
410 BB - - - 6.59 36.10 10.49 2.93 4.39 39.51
188 B - - - - 4.26 39.36 13.30 7.98 35.11
79 CCC to C - - - - - 10.13 22.78 51.90 15.19
a
Average Ten-Year
80 AAA 2.50 41.25 3.75 - - - - - 52.50
425 AA 1.41 46.35 20.94 0.47 - 1.41 - 1.18 28.24
1,381 A - 6.15 52.64 6.81 1.45 1.01 - 0.65 31.28
914 BBB - - 10.18 26.70 9.08 2.08 1.20 5.91 44.86
233 BB - - - 3.43 12.02 7.73 4.29 8.58 63.95
89 B - - - - 5.62 11.24 8.99 14.61 59.55
42 CCC to C - - - - - 11.90 4.76 52.38 30.95
a
Fitch Global Infrastructure and Project Finance Transition Matrix: 2005-2022

Average Annual
No. (%) AAA AA+ AA AA– A+ A A– BBB+ BBB BBB– BB+ BB BB– B+ B B– CCC to C D WDa
106 AAA 80.19 4.72 2.83 0.94 0.94 - - - - - - - - - - - - - 10.38
52 AA+ 3.85 71.15 7.69 - - 5.77 - - - - - - - - - - - - 11.54
297 AA - 1.35 90.91 3.03 0.67 - - - 0.34 - - - - - - - - - 3.70
458 AA– - 0.22 1.75 91.05 5.02 - 0.22 - - - - - - - - - - - 1.75
881 A+ - - 0.11 2.50 90.58 3.18 0.23 - 0.11 - - - 0.11 - - - - - 3.18
1,144 A 0.09 - 0.17 0.52 3.23 88.46 2.97 0.52 0.44 0.17 - - - - - - - - 3.41
765 A– - - - 0.13 0.52 5.36 86.01 3.66 0.78 0.65 - 0.26 - - - - - - 2.61
604 BBB+ - - 0.17 - 0.17 0.33 5.30 82.45 5.96 0.99 0.66 - - - - - - - 3.97
838 BBB - - - - - - 0.84 4.53 82.34 4.53 1.07 1.19 0.36 - 0.24 - - - 4.89
845 BBB– - - - - - - 0.12 0.24 6.98 82.49 3.67 1.07 1.07 0.24 0.24 0.12 0.36 - 3.43
241 BB+ - - - - - - - - 1.24 3.73 75.10 5.39 5.39 0.41 0.83 0.83 0.83 - 6.22
237 BB - - - - - - - 0.42 0.84 1.27 5.49 71.31 3.80 6.33 0.84 0.84 1.69 - 7.17
154 BB– - - - - - - - - - - 0.65 3.90 72.73 5.84 2.60 1.95 1.95 0.65 9.74
100 B+ - - - - - - - - - - - - 2.00 66.00 12.00 4.00 2.00 - 14.00
76 B - - - - - - - - - - - 1.32 - 7.89 60.53 14.47 5.26 1.32 9.21
86 B– - - - - - - - - - - - - - 1.16 4.65 63.95 16.28 2.33 11.63
105 CCC to C - - - - - - - - - - - 0.95 - - - 3.81 72.38 18.10 4.76
a
Fitch Global Infrastructure and Project Finance One-Year Transition Matrix: 2022 Cohort
1 AAA 100.00 - - - - - - - - - - - - - - - - - -
- AA+ - - - - - - - - - - - - - - - - - - -
21 AA - - 95.24 - - - - - - - - - - - - - - - 4.76
29 AA– - - - 96.55 - - - - - - - - - - - - - - 3.45
55 A+ - - - 5.45 94.55 - - - - - - - - - - - - - -
55 A - - - - 9.09 89.09 - - - - - - - - - - - - 1.82
47 A– - - - - - 14.89 82.98 - - - - - - - - - - - 2.13
31 BBB+ - - - - - - 16.13 77.42 - - - - - - - - - - 6.45
68 BBB - - - - - - - 4.41 95.59 - - - - - - - - - -
68 BBB– - - - - - - - - 17.65 79.41 - - - - - - - - 2.94
36 BB+ - - - - - - - - 5.56 2.78 72.22 - 5.56 - - - - - 13.89
22 BB - - - - - - - - - - 4.55 77.27 - - - - - - 18.18
22 BB– - - - - - - - - - - - - 81.82 - 9.09 - - - 9.09
11 B+ - - - - - - - - - - - - 9.09 36.36 - - - - 54.55
4 B - - - - - - - - - - - - - - 75.00 - - - 25.00
6 B– - - - - - - - - - - - - - - - 66.67 - 16.67 16.67
5 CCC to C - - - - - - - - - - - - - - - - 100.00 - -
a
Fitch Global Infrastructure and Project Finance Three-Year Transition Matrix: 2020 Cohort
2 AAA 50.00 - - - - - - - - - - - - - - - - - 50.00
- AA+ - - - - - - - - - - - - - - - - - - -
21 AA - - 76.19 14.29 - - - - - - - - - - - - - - 9.52
28 AA– - - - 96.43 - - - - - - - - - - - - - - 3.57
53 A+ - - - 1.89 83.02 1.89 - 3.77 - - - - - - - - - - 9.43
64 A - - - - 7.81 73.44 4.69 - - - - - - - - - - - 14.06
41 A– - - - - - 7.32 70.73 2.44 2.44 - - - - - - - - - 17.07
36 BBB+ - - - - - - 5.56 47.22 19.44 16.67 - - - - - - - - 11.11
74 BBB - - - - - - 5.41 6.76 62.16 5.41 4.05 1.35 - - - - - - 14.86
61 BBB– - - - - - - - - 26.23 47.54 11.48 4.92 1.64 - - - - - 8.20
18 BB+ - - - - - - - - - - 38.89 5.56 11.11 5.56 - - - - 38.89
17 BB - - - - - - - - - 5.88 11.76 41.18 17.65 - 5.88 - - - 17.65
8 BB– - - - - - - - - - - - - 25.00 - 12.50 - - - 62.50
7 B+ - - - - - - - - - - - - - 28.57 14.29 42.86 - - 14.29
5 B - - - - - - - - - - - - - - 20.00 20.00 - 20.00 40.00
5 B– - - - - - - - - - - - - - - - - 20.00 - 80.00
9 CCC to C - - - - - - - - - - - 11.11 - - - - 44.44 22.22 22.22
a
Fitch Global Infrastructure and Project Finance Five-Year Transition Matrix: 2018 Cohort
2 AAA 50.00 - - - - - - - - - - - - - - - - - 50.00
- AA+ - - - - - - - - - - - - - - - - - - -
20 AA - - 75.00 15.00 - - - - - - - - - - - - - - 10.00
25 AA– - - 4.00 84.00 - - - - - - - - - - - - - - 12.00
47 A+ - - - 8.51 68.09 2.13 - 4.26 - - - - - - - - - - 17.02
66 A - - - 1.52 13.64 57.58 6.06 1.52 - - - - - - - - - - 19.70
46 A– - - - - 6.52 17.39 43.48 2.17 6.52 - - 2.17 - - - - - - 21.74
45 BBB+ - - - - 4.44 2.22 8.89 28.89 20.00 13.33 - 2.22 - - - - - - 20.00
52 BBB - - - - - - 9.62 9.62 50.00 5.77 5.77 - - - - - - - 19.23
65 BBB– - - - - - - - 1.54 38.46 29.23 9.23 3.08 3.08 - 1.54 - - - 13.85
15 BB+ - - - - - - - - - 6.67 26.67 6.67 13.33 6.67 - - - - 40.00
11 BB - - - - - - - 9.09 - - 27.27 - - - 9.09 - - - 54.55
11 BB– - - - - - - - - - 9.09 - 9.09 - - - - - - 81.82
4 B+ - - - - - - - - - - - - - 50.00 - 50.00 - - -
6 B - - - - - - - - - - - - - - 16.67 16.67 - 33.33 33.33
4 B– - - - - - - - - - - - - - - - - 25.00 25.00 50.00
6 CCC to C - - - - - - - - - - - - - - - - 66.67 16.67 16.67
a
Fitch Global Infrastructure and Project Finance Ten-Year Transition Matrix: 2013 Cohort
9 AAA 11.11 - 11.11 44.44 - - - - - - - - - - - - - - 33.33
2 AA+ - - - - - - - - - - - - - - - - - - 100.00
11 AA - - 54.55 - - - - - - - - - - - - - - - 45.45
20 AA– - - 25.00 55.00 - - - - - - - - - - - - - - 20.00
52 A+ - - - 15.38 46.15 7.69 - 3.85 - - - - - - - - - - 26.92
51 A - - - 5.88 17.65 33.33 1.96 - - - - - - - - - - - 41.18
50 A– - - - 2.00 4.00 24.00 20.00 4.00 6.00 - 2.00 2.00 - - - - - - 36.00
36 BBB+ - - - - 5.56 11.11 16.67 16.67 13.89 - 2.78 2.78 - - - - - - 30.56
34 BBB - - - - - 2.94 5.88 2.94 23.53 5.88 - 2.94 - 2.94 - - - - 52.94
42 BBB– - - - - - 2.38 2.38 - 28.57 16.67 4.76 4.76 4.76 - - - - - 35.71
11 BB+ - - - - - - - - - - 18.18 - 9.09 - - - - - 72.73
13 BB - - - - - - - 7.69 7.69 - 15.38 - - - - - 7.69 15.38 46.15
7 BB– - - - - - - - - - 14.29 - 14.29 - - - - - - 71.43
9 B+ - - - - - - - - - - - - - 11.11 - 22.22 - 11.11 55.56
5 B - - - - - - - - - - - - - - - 20.00 20.00 20.00 40.00
5 B– - - - - - - - - - - - - - 20.00 - - 20.00 20.00 40.00
10 CCC to C - - - - - - - - - - - - - - - - 10.00 80.00 10.00
a
Fitch International Public Finance Average Cumulative Default Rates: 1995-2022
AAA - - - - - - - - - -
AA - - - - - - - - - -
A - - - - - - - - - -
BBB - - - - - - - - - -
BB - 0.44 0.80 1.08 1.21 1.37 1.60 2.13 2.43 2.81
B - 3.66 8.33 13.43 12.44 10.06 7.43 8.45 9.70 9.17
CCC to C 18.07 22.67 21.43 11.67 13.56 15.79 18.18 16.67 14.29 14.29
Investment Grade - - - - - - - - - -
All International Public Finance 0.29 0.61 0.89 1.06 1.05 0.97 0.91 0.99 1.05 1.08
Fitch International Public Finance Average Cumulative Default Rates: 1995-2022

AAA - - - - - - - - - -
AA+ - - - - - - - - - -
AA - - - - - - - - - -
AA- - - - - - - - - - -
A+ - - - - - - - - - -
A - - - - - - - - - -
A- - - - - - - - - - -
BBB+ - - - - - - - - - -
BBB - - - - - - - - - -
BBB- - - - - - - - - - -
BB+ - - - - - - - - - -
BB - 0.45 1.46 2.13 2.38 2.70 3.20 3.77 4.49 5.41
BB- - 1.01 1.11 1.28 1.43 1.53 1.69 2.80 3.12 3.49
B+ - - - - - - 1.11 1.19 1.32 1.43
B - 8.79 21.25 36.11 33.33 25.00 13.51 13.51 13.51 13.89
B- - 2.94 6.45 9.68 16.00 21.74 23.81 28.57 33.33 35.71
CCC to C 18.07 22.67 21.43 11.67 13.56 15.79 18.18 16.67 14.29 14.29
Investment Grade - - - - - - - - - -
All International Public Finance 0.29 0.61 0.89 1.06 1.05 0.97 0.91 0.99 1.05 1.08
Fitch International Public Finance One-Year Transition Matrix: 2022 Cohort
23 AAA 91.30 - - - - - - - 8.70
68 AA - 100.00 - - - - - - -
108 A - 2.78 87.96 2.78 - - - - 6.48
167 BBB - - 1.20 83.23 1.20 - - - 14.37
70 BB - - - 1.43 57.14 12.86 - - 28.57
20 B - - - - - 40.00 50.00 - 10.00
8 CCC to C - - - - - - 100.00 - -
Fitch International Public Finance Transition Matrices: 1995-2022

Average Annual
619 AAA 91.92 4.52 - - - - - - 3.55
1,235 AA 0.73 91.09 4.53 0.65 - - - - 3.00
945 A - 1.48 86.35 6.24 0.21 - - - 5.71
1,348 BBB - - 2.45 89.69 2.52 - - - 5.34
753 BB - - - 4.52 81.01 2.92 0.93 - 10.62
266 B - - - - 7.14 69.17 11.65 - 12.03
83 CCC to C - - - - 1.20 16.87 54.22 18.07 9.64
Average Two-Year
596 AAA 83.89 9.06 0.17 - - - - - 6.88
1,167 AA 1.46 81.83 7.97 1.89 0.17 - - - 6.68
837 A - 2.63 75.03 10.51 0.36 - - - 11.47
1,181 BBB - - 4.23 81.03 4.74 - 0.08 - 9.91
683 BB - - - 9.08 67.20 4.25 0.88 0.44 18.16
246 B - - - - 12.20 47.97 14.63 3.66 21.54
75 CCC to C - - - - 5.33 25.33 25.33 22.67 21.33
Average Three-Year
576 AAA 76.22 12.33 1.04 0.35 - - - - 10.07
1,104 AA 1.99 73.28 9.51 3.89 0.36 - - - 10.96
752 A - 3.99 64.76 12.90 0.40 - - - 17.95
1,008 BBB - - 5.56 75.10 6.25 - 0.20 - 12.90
623 BB - - - 12.68 55.22 4.65 0.64 0.80 26.00
228 B - - - 0.44 14.91 32.89 12.72 8.33 30.70
70 CCC to C - - - - 11.43 27.14 12.86 21.43 27.14
Average Four-Year
557 AAA 68.22 15.80 1.97 0.72 - - - - 13.29
1,045 AA 2.58 65.07 10.62 5.55 0.67 - - - 15.50
664 A - 5.12 53.92 16.27 0.45 - - - 24.25
865 BBB - - 8.09 69.48 7.05 - 0.35 - 15.03
556 BB - - - 14.93 45.32 4.86 0.18 1.08 33.63
216 B - - - 0.93 15.74 24.54 6.48 13.43 38.89
60 CCC to C - - - 1.67 16.67 21.67 15.00 11.67 33.33
Average Five-Year
538 AAA 61.15 18.22 2.97 1.12 - - - - 16.54
989 AA 2.73 57.43 11.32 7.18 0.81 - - - 20.53
583 A - 6.17 43.91 19.38 0.86 - - - 29.67
749 BBB - - 10.15 63.82 7.88 0.13 0.40 - 17.62
496 BB - - - 16.53 37.30 4.64 - 1.21 40.32
193 B - - - 1.04 17.62 19.69 4.15 12.44 45.08
59 CCC to C - - - 5.08 15.25 16.95 13.56 13.56 35.59
Average Ten-Year
469 AAA 27.29 28.36 6.40 2.13 - - - - 35.82
716 AA 1.40 27.51 12.43 16.34 0.84 - - - 41.48
379 A - 9.23 13.98 22.16 4.22 0.26 - - 50.13
249 BBB - - 15.66 48.19 8.03 1.20 - - 26.91
249 BB - - - 19.68 16.87 3.21 - 2.81 57.43
120 B - - - 7.50 13.33 11.67 4.17 9.17 54.17
42 CCC to C - - - 21.43 19.05 - - 14.29 45.24
Fitch International Public Finance Transition Matrices: 1995-2022

Average Annual
619 AAA 91.92 4.36 0.16 - - - - - - - - - - - - - - - 3.55
166 AA+ 4.22 70.48 17.47 3.61 - - 1.81 - - - - - - - - - - - 2.41
538 AA - 2.60 84.39 7.62 1.49 0.37 - 0.19 - - - - - - - - - - 3.35
531 AA- 0.38 - 2.82 84.56 6.21 1.69 0.19 0.19 1.13 - - - - - - - - - 2.82
315 A+ - - - 4.13 77.78 4.13 6.35 0.63 1.59 - 0.63 - - - - - - - 4.76
292 A - - - 0.34 5.48 77.40 8.22 1.37 1.37 0.34 - - - - - - - - 5.48
338 A- - - - - - 5.33 75.15 10.65 0.89 1.18 - - - - - - - - 6.80
328 BBB+ - - - - - - 10.06 73.78 10.06 1.22 - - - - - - - - 4.88
516 BBB - - - - - - - 6.40 77.91 8.91 0.78 - - - - - - - 6.01
504 BBB- - - - - - - - 0.20 11.31 77.58 4.37 1.39 0.20 - - - - - 4.96
288 BB+ - - - - - - - - 0.69 10.07 68.75 9.03 1.74 0.35 0.35 - 0.69 - 8.33
242 BB - - - - - - - - - 1.24 8.26 69.01 9.92 - - - 0.83 - 10.74
223 BB- - - - - - - - - - - 2.24 7.17 66.82 4.48 4.48 - 1.35 - 13.45
125 B+ - - - - - - - - - - - 0.80 12.80 65.60 4.00 2.40 1.60 - 12.80
104 B - - - - - - - - - - - - 1.92 2.88 56.73 4.81 21.15 - 12.50
37 B- - - - - - - - - - - - - - - 21.62 51.35 18.92 - 8.11
83 CCC to C - - - - - - - - - - - - 1.20 3.61 6.02 7.23 54.22 18.07 9.64
Average Three-Year
576 AAA 76.22 7.12 4.51 0.69 - 0.52 0.52 0.17 0.17 - - - - - - - - - 10.07
162 AA+ 11.73 37.04 30.25 4.32 0.62 4.94 2.47 0.62 2.47 - - - - - - - - - 5.56
472 AA 0.64 6.57 58.69 14.62 2.75 1.06 1.27 0.42 2.33 - 0.42 - - - - - - - 11.23
470 AA- - 0.43 7.87 58.94 9.57 1.70 3.19 2.55 1.49 1.28 0.43 - - - - - - - 12.55
262 A+ - - - 9.54 50.76 8.40 3.44 5.73 2.67 1.91 1.15 - - - - - - - 16.41
230 A - - - 2.17 13.48 39.57 16.52 3.48 2.61 1.30 - - - - - - - - 20.87
260 A- - - - - 0.77 10.77 51.15 14.23 3.08 3.08 - - - - - - - - 16.92
250 BBB+ - - - - - 1.20 20.00 36.80 26.00 2.40 - - - - - - - - 13.60
381 BBB - - - - - - 0.79 14.96 47.51 17.85 3.41 2.10 - - - - - - 13.39
377 BBB- - - - - - - - 2.12 25.46 48.81 6.37 3.71 1.06 - - - 0.53 - 11.94
238 BB+ - - - - - - - 0.42 4.20 21.43 30.67 9.24 8.82 0.84 0.84 - 0.84 - 22.69
205 BB - - - - - - - - - 6.83 19.02 31.22 14.15 0.49 - - 0.49 1.46 26.34
180 BB- - - - - - - - - 0.56 1.11 6.11 17.22 30.00 9.44 3.33 0.56 0.56 1.11 30.00
117 B+ - - - - - - - - - 0.85 - 5.13 16.24 23.93 4.27 3.42 2.56 - 43.59
80 B - - - - - - - - - - 1.25 2.50 7.50 1.25 12.50 10.00 26.25 21.25 17.50
31 B- - - - - - - - - - - - - - - 51.61 9.68 16.13 6.45 16.13
70 CCC to C - - - - - - - - - - 2.86 - 8.57 8.57 11.43 7.14 12.86 21.43 27.14
Average Five-Year
538 AAA 61.15 6.51 10.97 0.74 - 2.23 0.74 0.74 0.37 - - - - - - - - - 16.54
161 AA+ 14.29 19.25 31.06 7.45 1.24 7.45 3.11 2.48 1.86 - - - - - - - - - 11.80
400 AA 1.00 9.50 38.75 17.75 3.75 1.25 2.25 0.50 4.00 2.00 1.50 - - - - - - - 17.75
428 AA- - 1.17 9.58 38.55 9.81 0.93 4.21 5.37 2.10 1.40 0.47 - - - - - - - 26.40
219 A+ - - 0.91 10.05 28.31 10.05 4.11 6.85 7.31 3.20 0.46 - - - - - - - 28.77
187 A - - - 6.42 15.51 12.30 15.51 8.56 4.28 3.21 - 0.53 - - - - - - 33.69
177 A- - - - - 3.39 6.78 36.16 10.17 10.73 4.52 - 1.69 - - - - - - 26.55
193 BBB+ - - - - 0.52 3.11 29.02 15.54 24.87 6.22 - - - - - - - - 20.73
266 BBB - - - - - - 4.89 18.80 35.71 19.17 3.01 2.26 1.88 - - - - - 14.29
290 BBB- - - - - - - - 3.45 23.10 39.66 5.86 4.14 3.79 0.34 - - 1.03 - 18.62
188 BB+ - - - - - - - 0.53 6.38 20.74 14.89 4.79 7.98 2.66 1.60 - - - 40.43
168 BB - - - - - - - - - 11.90 18.45 14.88 9.52 - 1.19 - - 2.38 41.67
140 BB- - - - - - - - 0.71 0.71 5.71 11.43 14.29 17.86 7.86 0.71 0.71 - 1.43 38.57
108 B+ - - - - - - - 0.93 - - 3.70 7.41 11.11 7.41 3.70 2.78 0.93 - 62.04
60 B - - - - - - - - - 1.67 - 3.33 13.33 - 6.67 15.00 5.00 33.33 21.67
25 B- - - - - - - - - - - - - - - 36.00 4.00 16.00 16.00 28.00
59 CCC to C - - - - - - - - 1.69 3.39 5.08 3.39 6.78 8.47 6.78 1.69 13.56 13.56 35.59
Average Ten-Year
469 AAA 27.29 6.18 20.68 1.49 2.56 1.07 2.77 1.92 0.21 - - - - - - - - - 35.82
129 AA+ 3.10 6.20 28.68 13.95 4.65 9.30 11.63 4.65 0.78 - - - - - - - - - 17.05
247 AA 2.43 7.69 8.50 11.74 4.45 2.02 4.45 3.64 8.91 7.69 2.02 - - - - - - - 36.44
340 AA- - 2.35 2.35 14.41 3.53 1.18 3.82 6.18 5.88 5.59 - 0.29 - - - - - - 54.41
173 A+ - - 4.05 9.25 5.20 4.05 4.62 2.31 13.29 7.51 - 2.89 - - - - - - 46.82
108 A - - - 5.56 4.63 3.70 - 1.85 11.11 5.56 1.85 4.63 - 0.93 - - - - 60.19
98 A- - - - 6.12 - - 20.41 2.04 15.31 7.14 1.02 3.06 - - - - - - 44.90
59 BBB+ - - - - - 1.69 38.98 8.47 1.69 11.86 - - - - - - - - 37.29
87 BBB - - - - - 1.15 16.09 17.24 24.14 11.49 2.30 1.15 2.30 2.30 - - - - 21.84
103 BBB- - - - - - - - 4.85 15.53 38.83 10.68 0.97 2.91 - 0.97 - - - 25.24
89 BB+ - - - - - - - 1.12 12.36 15.73 6.74 1.12 5.62 - 1.12 - - - 56.18
74 BB - - - - - - - - 4.05 18.92 9.46 2.70 - - - - - 5.41 59.46
86 BB- - - - - - - - - 2.33 4.65 5.81 8.14 10.47 3.49 3.49 1.16 - 3.49 56.98
70 B+ - - - - - - - - 1.43 4.29 7.14 8.57 2.86 1.43 - 4.29 1.43 1.43 67.14
36 B - - - - - - - - 2.78 11.11 2.78 - 5.56 - 13.89 5.56 5.56 13.89 38.89
14 B- - - - - - - - - - - - - - - 7.14 14.29 14.29 35.71 28.57
42 CCC to C - - - - - - - 2.38 11.90 7.14 4.76 14.29 - - - - - 14.29 45.24
-
Fitch International Public Finance One-Year Transition Matrix: 2022 Cohort
23 AAA 91.30 - - - - - - - - - - - - - - - - - 8.70
4 AA+ - 100.00 - - - - - - - - - - - - - - - - -
32 AA - 6.25 90.63 3.13 - - - - - - - - - - - - - - -
32 AA- - - - 100.00 - - - - - - - - - - - - - - -
32 A+ - - - 6.25 93.75 - - - - - - - - - - - - - -
33 A - - - 3.03 3.03 87.88 - - - - - - - - - - - - 6.06
43 A- - - - - - 2.33 79.07 6.98 - - - - - - - - - - 11.63
34 BBB+ - - - - - - 5.88 88.24 5.88 - - - - - - - - - -
79 BBB - - - - - - - 3.80 75.95 - - - - - - - - - 20.25
54 BBB- - - - - - - - - - 81.48 1.85 1.85 - - - - - - 14.81
28 BB+ - - - - - - - - - 3.57 64.29 3.57 - - - - - - 28.57
18 BB - - - - - - - - - - - 55.56 - - - - - - 44.44
24 BB- - - - - - - - - - - - - 45.83 - 37.50 - - - 16.67
4 B+ - - - - - - - - - - - - - 75.00 25.00 - - - -
13 B - - - - - - - - - - - - - - - 15.38 69.23 - 15.38
3 B- - - - - - - - - - - - - - - - 66.67 33.33 - -
8 CCC to C - - - - - - - - - - - - - - - - 100.00 - -
Fitch International Public Finance Three-Year Transition Matrix: 2020 Cohort

19 AAA 84.21 5.26 - - - - - - - - - - - - - - - - 10.53
- AA+ - - - - - - - - - - - - - - - - - - -
38 AA 2.63 13.16 65.79 13.16 - - - - - - - - - - - - - - 5.26
21 AA- - - 4.76 76.19 14.29 - - - - - - - - - - - - - 4.76
22 A+ - - - 18.18 77.27 4.55 - - - - - - - - - - - - -
24 A - - - 4.17 12.50 62.50 8.33 4.17 - - - - - - - - - - 8.33
42 A- - - - - 2.38 11.90 57.14 9.52 - - - - - - - - - - 19.05
30 BBB+ - - - - - - 10.00 60.00 23.33 - - - - - - - - - 6.67
70 BBB - - - - - - - 7.14 45.71 4.29 4.29 4.29 - - - - - - 34.29
43 BBB- - - - - - - - - 20.93 48.84 4.65 - - - - - - - 25.58
26 BB+ - - - - - - - - - 19.23 26.92 15.38 - - - - - - 38.46
17 BB - - - - - - - - - 11.76 5.88 23.53 11.76 - - - - - 47.06
24 BB- - - - - - - - - - - - - 33.33 8.33 20.83 - - - 37.50
4 B+ - - - - - - - - - - - - - - 25.00 25.00 - - 50.00
8 B - - - - - - - - - - - - - - - 12.50 62.50 - 25.00
- B- - - - - - - - - - - - - - - - - - - -
10 CCC to C - - - - - - - - - - - - - - - 20.00 - 80.00 -
Fitch International Public Finance Five-Year Transition Matrix: 2018 Cohort

18 AAA 83.33 5.56 - - - - - - - - - - - - - - - - 11.11
1 AA+ - - - 100.00 - - - - - - - - - - - - - - -
33 AA 3.03 15.15 51.52 18.18 - - - - - - - - - - - - - - 12.12
19 AA- - - 15.79 57.89 15.79 - - - - - - - - - - - - - 10.53
13 A+ - - - 7.69 69.23 15.38 - - - - - - - - - - - - 7.69
18 A - - - 16.67 22.22 33.33 5.56 11.11 - - - - - - - - - - 11.11
24 A- - - - - - 4.17 62.50 12.50 - - - - - - - - - - 20.83
31 BBB+ - - - - 3.23 6.45 29.03 32.26 16.13 - - - - - - - - - 12.90
43 BBB - - - - - - - 11.63 62.79 9.30 4.65 - - - - - - - 11.63
38 BBB- - - - - - - - 2.63 13.16 36.84 - - - - - - - - 47.37
30 BB+ - - - - - - - - - 10.00 10.00 10.00 3.33 6.67 10.00 - - - 50.00
20 BB - - - - - - - - - 10.00 - - 25.00 - 10.00 - - - 55.00
9 BB- - - - - - - - - - - - - 11.11 - - - - - 88.89
10 B+ - - - - - - - - - - - - 10.00 - - 10.00 - - 80.00
12 B - - - - - - - - - - - - - - - 25.00 - 66.67 8.33
2 B- - - - - - - - - - - - - - - - - 100.00 - -
2 CCC to C - - - - - - - - - - - - 50.00 - - - 50.00 - -
Fitch International Public Finance Ten-Year Transition Matrix: 2013 Cohort
27 AAA 33.33 3.70 33.33 7.41 - - - - - - - - - - - - - - 22.22
6 AA+ - 16.67 16.67 33.33 33.33 - - - - - - - - - - - - - -
18 AA - 22.22 22.22 22.22 5.56 - - - - - - - - - - - - - 27.78
17 AA- - - 11.76 29.41 5.88 - 23.53 - - - - - - - - - - - 29.41
6 A+ - - - 16.67 16.67 16.67 33.33 - - - - - - - - - - - 16.67
5 A - - - 20.00 - - - 40.00 - - - - - - - - - - 40.00
30 A- - - - 10.00 - - 6.67 3.33 23.33 6.67 - - - - - - - - 50.00
13 BBB+ - - - - - 7.69 23.08 7.69 7.69 - - - - - - - - - 53.85
28 BBB - - - - - 3.57 10.71 3.57 17.86 14.29 - 3.57 3.57 3.57 - - - - 39.29
27 BBB- - - - - - - - 3.70 7.41 33.33 11.11 - 7.41 - 3.70 - - - 33.33
19 BB+ - - - - - - - 5.26 5.26 5.26 - 5.26 - - 5.26 - - - 73.68
13 BB - - - - - - - - - - - - - - - - - - 100.00
11 BB- - - - - - - - - - - - - 9.09 - 9.09 9.09 - - 72.73
10 B+ - - - - - - - - - - - - - - - - - - 100.00
2 B - - - - - - - - - - - - - - - - 50.00 - 50.00
5 B- - - - - - - - - - - - - - - - 20.00 - 40.00 40.00
- CCC to C - - - - - - - - - - - - - - - - - - -
Fitch International Public Finance Local Currency Average Cumulative Default Rates: 1995-2022
AAA - - - - -
AA - - - - -
A - - - - -
BBB - - - - -
BB 0.14 0.31 0.34 0.39 0.44
B - 3.85 9.22 14.63 13.74
CCC to C 28.85 38.64 38.46 24.14 28.57
Investment Grade - - - - -
All International Public

Finance Local Currency 0.36 0.69 1.02 1.21 1.21
Ratings
Fitch International Public Finance Local Currency Transition Matrices

22 AAA 90.91 - - - - - - - 9.09
70 AA - 98.57 - - - - - - 1.43
102 A - 1.96 88.24 2.94 - - - - 6.86
169 BBB - - 1.18 83.43 1.18 - - - 14.20
71 BB - - - 1.41 56.34 12.68 - - 29.58
19 B - - - - - 36.84 52.63 - 10.53
8 CCC to C - - - - - - 100.00 - -

325 AAA 90.77 7.08 - - - - - - 2.15
1,002 AA 0.70 89.92 5.09 0.80 - - - - 3.49
823 A - 1.09 85.30 7.05 0.24 - - - 6.32
1,331 BBB - - 2.33 90.01 2.25 0.08 - - 5.33
712 BB - - - 3.65 81.60 2.81 0.28 0.14 11.52
253 B - - - - 6.72 69.96 11.07 - 12.25
52 CCC to C - - - - 1.92 21.15 42.31 28.85 5.77
Fitch Corporate Finance Short-Term One-Year Transition Matrix: 2022 Cohort

No. (%) F1+ F1 F2 F3 B C D WD
201 F1+ 95.02 2.49 - - - - - 2.49
362 F1 1.11 90.88 4.70 - - - - 3.31
413 F2 - 2.66 90.31 0.97 - - 0.24 5.81
228 F3 - - 6.14 77.19 0.44 - 0.44 15.79
391 B - - 0.26 2.05 78.77 2.56 0.51 15.86
17 C - - - - 25.00 56.25 12.50 6.25
Fitch Corporate Finance Short-Term Three-Year Transition Matrix: 2020 Cohort

No. (%) F1+ F1 F2 F3 B C D WD
186 F1+ 88.71 7.53 - - - - - 3.76
378 F1 4.23 78.57 7.67 0.26 - - - 9.26
468 F2 - 4.27 67.09 7.69 3.21 - 0.21 17.52
212 F3 - - 13.21 53.77 8.02 - 0.47 24.53
369 B - - - 3.81 63.76 2.72 1.09 28.61
15 C - - - - 13.33 40.00 13.33 33.33
Fitch Financial Institution Short-Term One-Year Transition Matrix: 2022 Cohort

No. (%) F1+ F1 F2 F3 B C D WD
178 F1+ 94.38 2.81 - - - - - 2.81
277 F1 1.08 90.25 5.42 - - - - 3.25
211 F2 - 3.32 89.57 0.47 - - 0.47 6.16
138 F3 - - 7.25 79.71 0.72 - 0.72 11.59
356 B - - - 1.12 83.43 2.25 0.56 12.64
15 C - - - - 26.67 60.00 6.67 6.67
Fitch Financial Institution Short-Term Three-Year Transition Matrix: 2020 Cohort

No. (%) F1+ F1 F2 F3 B C D WD
161 F1+ 88.82 8.70 - - - - - 2.48
290 F1 5.52 78.62 6.90 - - - - 8.97
234 F2 - 3.42 69.23 6.41 6.41 - 0.43 14.10
130 F3 - - 12.31 57.69 12.31 - 0.77 16.92
326 B - - - 3.68 69.02 2.45 0.92 23.93
14 C - - - - 14.29 42.86 7.14 35.71
Fitch Non-Financial Corporate Short-Term One-Year Transition Matrix: 2022 Cohort
No. (%) F1+ F1 F2 F3 B C D WD
23 F1+ 100.00 - - - - - - -
85 F1 1.18 92.94 2.35 - - - - 3.53
202 F2 - 1.98 91.09 1.49 - - - 5.45
90 F3 - - 4.44 73.33 - - - 22.22
35 B - - 2.86 11.43 31.43 5.71 - 48.57
2 C - - - - - - 100.00 -
Fitch Non-Financial Corporate Short-Term Three-Year Transition Matrix: 2020 Cohort

No. (%) F1+ F1 F2 F3 B C D WD
25 F1+ 88.00 - - - - - - 12.00
88 F1 - 78.41 10.23 1.14 - - - 10.23
234 F2 - 5.13 64.96 8.97 - - - 20.94
82 F3 - - 14.63 47.56 1.22 - - 36.59
43 B - - - 4.88 21.95 4.88 2.44 65.85
1 C - - - - - - 100.00 -
Fitch Viablity Rating Average Cumulative Failure Rates: 2012-2022

aa - - - - -
a 0.06 0.12 0.14 0.16 0.18
bbb 0.07 0.12 0.13 0.14 0.27
bb 0.40 0.93 1.40 1.93 2.22
b 1.83 3.58 5.37 7.38 9.59
ccc 5.38 9.30 10.97 13.19 12.59
cc 8.33 9.38 13.33 20.00 25.00
c 66.67 75.00 83.33 83.33 90.91
Investment Grade 0.06 0.11 0.12 0.13 0.21

All Viability Ratings 0.70 1.27 1.78 2.36 2.89
Fitch Viability Rating Transition Matrices

No. (%) aa a bbb bb b ccc cc c f
36 aa 100.00 - - - - - - - -
163 a 1.23 93.87 2.45 - - - - - -
230 bbb - 1.30 91.74 0.87 - - - - -
182 bb - - 2.75 82.97 - - - - 0.55
156 b - - - 3.21 78.85 3.21 3.85 - 0.64
14 ccc - - - - 35.71 64.29 - - -
4 cc - - - - - 25.00 25.00 - 25.00
- c - - - - - - - - -

No. (%) aa a bbb bb b ccc cc c f
430 aa 93.26 4.42 0.23 - - - - - -
1,777 a 0.84 92.52 3.32 - - - - - 0.06
2,791 bbb - 1.97 89.14 3.48 0.04 - - - 0.07
2,004 bb - - 3.84 85.98 3.74 0.10 0.05 0.05 0.40
1,637 b - - - 5.07 83.63 2.32 0.61 0.18 1.83
186 ccc - - - 1.08 15.05 58.06 6.99 1.08 5.38
36 cc - - - - 2.78 13.89 41.67 8.33 8.33
12 c - - - - - 16.67 - 8.33 66.67
Fitch Banks Average Cumulative Default Rates: 2012-2022

AAA - - - - -
AA - - - - -
A - - - - -
BBB 0.06 0.16 0.17 0.15 0.17
BB 0.30 0.47 0.75 1.20 1.61
B 0.83 2.18 3.49 5.22 6.25
CCC to C 7.53 10.00 15.52 18.81 21.11
Investment Grade 0.03 0.07 0.08 0.07 0.08

All Banks Ratings 0.27 0.52 0.79 1.09 1.30
Note: This Bank IDR Cumulative Default Rate table is included in this tab for purposes of comparison with the Viability Rating Average Cumulative Failure Rate table.
Fitch Banks Transition Matrices

11 AAA 100.00 - - - - - - - -
87 AA - 93.10 3.45 - - - - - 3.45
261 A - 1.15 93.10 3.07 - - - - 2.68
292 BBB - - 1.71 89.04 0.34 - - 0.68 8.22
160 BB - - - 2.50 80.00 0.63 - - 16.88
130 B - - - - 4.62 80.77 6.15 - 8.46
16 CCC to C - - - - - 25.00 62.50 6.25 6.25

102 AAA 96.08 0.98 - - - - - - 2.94
908 AA 0.11 91.85 4.52 0.44 - - - - 3.08
3,135 A - 1.34 90.94 4.02 0.06 - - - 3.64
3,475 BBB - 0.03 1.38 88.66 3.97 0.09 - 0.06 5.81
1,642 BB - - 0.06 4.63 83.74 4.69 - 0.30 6.58
1,324 B - - 0.08 0.08 4.31 83.01 4.00 0.83 7.70
146 CCC to C - - - - 0.68 21.23 56.16 7.53 14.38
Note: This Bank IDR Transition Matrix is included in this tab for purposes of comparison with the Viability Rating Transition Matrix.
WD
-
2.45
6.09
13.74
10.26
-
25.00
-
WD
2.09
3.26
5.30
5.84
6.35
12.37
25.00
8.33
Fitch Global One-Year Gini Coefficients and Cap Curves a: 2022 Cohort by Broad Sector
Gini Coefficient Methodology
The Gini coefficient (also known as Accuracy Ratio) is a widely used measure of discriminatory power. In the finance industry it is often used to
summarize the ability of an internal rating model to differentiate between defaulting loans and non-defaulting loans. It is defined as the area
under the Cumulative Accuracy Profile (CAP curve) of the rating model in relation to the area under the CAP curve of a hypothetical perfectly
discriminating rating model.
In applying the Gini coefficient to its historical ratings Fitch follows the description in BIS-BCBS(2005). Classification of sectors, regions and
cohorts follows the standard methodology for the transition and default study.
Fitch’s ratings do not follow a simple fixed model. Ratings assigned by Fitch are opinions based on established criteria and methodologies that
Fitch is continuously evaluating and updating. A Gini coefficient, when being applied on Fitch’s ratings, provides a summary statistic only for a
snapshot of Fitch’s ratings. The Gini coefficient, also, only provides a measure of discrimination between defaults and non-defaults, i.e. of the
ability to differentiate relative risks. Just as Fitch’s ratings do not imply or convey a specific statistical probability of default, so the Gini
coefficient does not make a statement about the ratings’ correspondence with historical default probabilities. Furthermore, ratings are not facts,
and therefore cannot be described as being accurate or inaccurate. Correspondingly, the Gini coefficient (despite its widely used alias) does not
constitute a measure of ratings accuracy, but of a measure of degree of discrimination.
References
BIS-BCBS (2005) “Studies on the Validation of Internal Rating Systems”, Working Paper No. 14, Basel Committee on Banking Supervision,
Bank for International Settlements.
Transition and Default Methodology
To calculate transition and default rates, cohorts are created for each year. The cohorts (or alternatively static pools) are created by grouping the ratings
according to the year in which the ratings were outstanding at the beginning of the year. For example, ratings outstanding at the beginning of 2014
constitute the 2014 cohort, with the same true for additional cohorts. Issuers/issues newly rated by Fitch in any given year are included in the following
year’s cohort. For example, the performance of ratings initiated in mid-2014 would be followed as part of the 2015 and future cohorts. Respective multiple
intra-year rating movements during a given year are not counted; only the last rating change within that particular year is reflected. Ratings withdrawn or
paid in full mid-year are excluded from subsequent cohorts since they are no longer active; however, these will be accounted for in the respective PIF/WD
columns for the year in which these were recorded.
Cohorts remain fixed over time, with the rating performance of all ratings in each cohort tracked accordingly. Ratings may reside in multiple static pools,
as long as their ratings are outstanding at the beginning and end of the year or multiple-year horizons under observation. The annual performance of an
issuer rating initiated in 2009, and therefore outstanding at the beginning of 2012 and withdrawn in 2014, would be included in the 2012, 2012, 2012 and
2013 cohorts. The rating’s performance over multiple-year horizons would also be included in the two-year, three-year and four-year transition rates for
each of the cohorts noted and included in the five-year transition rates as a transition to withdrawn.
For the purposes of calculating average multiyear transition rates, the transition rates for each year are weighted by the number of ratings outstanding for
each rating category at the beginning of the year or cohort. This is done to give a fair evaluation of rating performance, since the number of issuers/issues
rated by Fitch has grown over time.
The transition table’s vertical left-hand column identifies ratings outstanding at the beginning of the period, while the horizontal axis provides information
on the migration pattern for those ratings by year’s end. The table reads from the top left-hand corner, beginning with ‘AAA’ and following the diagonal to
the right in order to examine the stability of each consecutive rating category.
Fitch’s continuing data enhancement efforts and methodology changes may result in slightly different statistics than in previously published studies.
Therefore, this most recent transition and default data supersedes all previous versions.
Definition of default is located on Fitch’s website: https://www.fitchratings.com/site/definitions
Fitch’s default rates are calculated on an issuer or security basis, where noted, as opposed to dollar amounts, capturing ratings downgraded to D and RD
(restricted default) for non-structured finance sectors. For global structured finance and covered bonds, impairments are tracked (CC, C and D) see below
Structured Finance.
First, defaults are examined by year for each cohort and individual rating category. For example, if 25 issuers defaulted in 2002, and that cohort consisted
of 2,000 issuer ratings, the resulting annual default rate for all ratings in 2002 would be 1.3%. If 10 of these defaults consisted of defaults among issuers
rated ‘BB’ at the beginning of the year and the ‘BB’ cohort at the beginning of the year totaled 500, the ‘BB’ 2002 default rate would be 2% (10/500).
From these annual default rates, Fitch derives average annual default rates by weighting each cohort’s default rates by the number of ratings outstanding in
the given cohort relative to the number of total ratings outstanding for all cohorts. Following the example above, the 2002 ‘BB’ annual default rate of 2%
might be followed by a 2003 ‘BB’ annual default rate of 1%. A straight average of these two rates would ignore potential differences in the size of the two
cohorts. Rather, weighting the results based on the relative number of ‘BB’ ratings outstanding in 2002 and 2003 gives greater emphasis to the results of
the ‘BB’ cohort with the most observations.
The same technique is used to calculate average default rates over multiple-year horizons.
Sector Specific
Corporate Finance
• The corporate finance transition and default data covers the period 1990 to the present and includes both financial and non-financial ratings.
• The data are based on public Issuer Default Ratings (IDRs). The use of IDRs was initiated in 2005. For ratings before that date, either the public
Long-Term Issuer Rating was used or if not available, the senior unsecured rating or a proxy is applied where an issuer was never assigned an Issuer
Rating or IDR.
• Subsidiaries assigned IDRs are included regardless of debt outstanding.
• The data excludes large cooperative bank group members; instead only the parent or group member rating will be captured. See Bank Rating Criteria.
• Withdrawn defaults are not captured in the data.
• Closed-end fund ratings are reported separately for analysis, capturing the public long-term issue rating from 2005 to the present.
Structured Finance
• The structured finance data covers the period 1990 to the present.
• This data incorporates various structured finance market sectors and is not limited to only ratings with an 'sf' suffix. Insured and interest only (IOs)
ratings are excluded from the data as are private or all nonpublic ratings.
• The structured finance data are based on security rating.
• For structured finance, Fitch tracks impairments, or defaults and near defaults, which includes bonds rated ‘CC’ or below. This includes not only
bonds in payment default but also bonds where a default of some kind appears probable. The possibility exists that some defaults identified in this data will
be subsequently cured.
• Covered bond programs are included under structured finance, but illustrated separately for analysis, capturing the long-term public program level
ratings from 2005 to the present.
• Servicer and originator ratings are excluded, in addition to any other non-credit ratings.
Sovereigns
• The sovereign data covers the period 1995 to the present.
• The data are based on public Long-Term IDRs (or Foreign-Currency IDRs).
• Supranationals are illustrated separately for analysis, also capturing the public Long-Term IDRs (or Foreign-Currency IDRs) from 2005 to the
present.
U.S. Public Finance

• The U.S. public finance data covers the period 1999 to the present.
• The data are based on U.S. public finance derived unenhanced security ratings. The security rating history is a consolidating proxy for the unenhanced
rating histories of the individual debt instruments to which the security is linked.
• In calculating default statistics for this study, as of 2017, no longer will defaults be included for securities that were withdrawn prior to default or
defaults that were not recognized as a Fitch-rated security default.
• Global infrastructure and project finance (GIG) are illustrated separately for analysis, capturing data from 2005 to the present. GIG also utilizes the
derived unenhanced security rating, see above.
International Public Finance
• International public finance data covers the period 1995 to the present.
• The data are based on public Long-Term IDRs (or Foreign-Currency IDRs).
Short-Term
• The short-term corporate finance transition and default data covers the period 2012 to the present and includes both financial and non-financial
ratings.
• The data are based on public Issuer Default Ratings (IDRs).
• Subsidiaries assigned IDRs are included regardless of debt outstanding.
• The data excludes large cooperative bank group members; instead only the parent or group member rating will be captured. See Bank Rating Criteria.
Viability Ratings
• Viability Ratings (VRs) are a measure of the intrinsic creditworthiness of a financial institution and reflect Fitch’s opinion on the likelihood that the
entity will fail.
• The data covers the period 2012 to the present.
References
ESMA and the FCA publish historical default rates in a central repository in accordance with Articles 11(2) of Regulation (EC) No 1060/2009 of the
European Parliament and of the Council of 16 September 2009 and The Credit Rating Agencies (Amendment etc.) (EU Exit) Regulations 2019
respectively.
DISCLAIMER & DISCLOSURES

All Fitch Ratings (Fitch) credit ratings are subject to certain limitations and disclaimers. Please read these limitations and disclaimers by
following this link: https://www.fitchratings.com/understandingcreditratings. In addition, the following https://www.fitchratings.com/rating-
definitions-document details Fitch's rating definitions for each rating scale and rating categories, including definitions relating to default.
Published ratings, criteria, and methodologies are available from this site at all times. Fitch's code of conduct, confidentiality, conflicts of
interest, affiliate firewall, compliance, and other relevant policies and procedures are also available from the Code of Conduct section of this
site. Directors and shareholders’ relevant interests are available at https://www.fitchratings.com/site/regulatory. Fitch may have provided
another permissible or ancillary service to the rated entity or its related third parties. Details of permissible or ancillary service(s) for which the
lead analyst is based in an ESMA- or FCA-registered Fitch Ratings company (or branch of such a company) can be found on the entity
summary page for this issuer on the Fitch Ratings website.
In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters
and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings
methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given
jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer,
the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public
information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters,
appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification
sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that
neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be
accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and
other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with
respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about
future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or
conditions that were not anticipated at the time a rating or forecast was issued or affirmed.
The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents
will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based
on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no
individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is
specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in,
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2022 Transition and Default Studies

Sovereign Gini Coefficients

Fitch Global Corporate Finance Average Cumulative Default Rates: 1990–2022

Fitch Global Corporate Finance Average Cumulative Default Rates: 1990–2022

Fitch Global Corporate Finance Three-Year Default Statistics

Most Recent Three-Year Cumulative Default Rates

Ten-Year Average of Three-Year Cumulative Default Rates — Modifier Level

Most Recent Three-Year Cumulative Default Rates

Fitch Global Non-Financial Corporate Average Cumulative Default Rates: 1990–2022

Fitch EMEA Corporate Finance Average Cumulative Default Rates: 1990–2022

Fitch LATAM Corporate Finance Average Cumulative Default Rates: 1990–2022

Fitch Global Corporate Finance One-Year Transition Matrix: 2022 Cohort

Fitch Global Corporate Finance Transition Matrices: 1990–2022

Fitch Global Corporate Finance Transition Matrices: 1990–2022

Fitch Global Corporate Finance One-Year Transition Matrix: 2022 Cohort

Fitch Global Corporate Finance Three-Year Transition Matrix: 2020 Cohort

Fitch Global Corporate Finance Five-Year Transition Matrix: 2018 Cohort

Fitch Global Corporate Finance Ten-Year Transition Matrix: 2013 Cohort

Fitch Global Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

Fitch Global Financial Institutionsa Average Annual Transition Matrix: 1990-2022

Fitch Global Financial Institutionsa Average Annual Transition Matrix: 1990-2022

Fitch Global Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

Fitch Global Financial Institutionsa Three-Year Transition Matrix: 2020 Cohort

Fitch Global Financial Institutionsa Five-Year Transition Matrix: 2018 Cohort

Fitch Global Financial Institutionsa Ten-Year Transition Matrix: 2013 Cohort

Fitch Global Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

Fitch Global Non-Financial Corporate Average Annual Transition Matrix: 1990-2022

Fitch Global Non-Financial Corporate Average Annual Transition Matrix: 1990-2022

Fitch Global Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

Fitch Global Non-Financial Corporate Three-Year Transition Matrix: 2020 Cohort

Fitch Global Non-Financial Corporate Five-Year Transition Matrix: 2018 Cohort

Fitch Global Non-Financial Corporate Ten-Year Transition Matrix: 2013 Cohort

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Fitch EMEA Corporate Finance One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990-2022

Fitch EMEA Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Fitch EMEA Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990-2022

Fitch APAC Corporate Finance One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Fitch APAC Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Fitch APAC Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990-2022

Fitch LATAM Corporate Finance One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Fitch LATAM Financial Institutionsa One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Fitch LATAM Non-Financial Corporate One-Year Transition Matrix: 2022 Cohort

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Average Annual: 1990–2022

Fitch Global Closed-End Fund Transition Matrix: 2005-2022

No. (%) AAA AA A BBB BB B CCC CC and Below WD PIF

4,468 AAA 80.95 4.19 0.69 - - - - - 1.88 12.29