KBRA releases research that analyzes its cumulative default rates (KCDR) by rating category across 1-, 3-, 5-, and 10-year horizons, using data from 2011 through 2025. As part of KBRA’s broader review of ratings performance, the report expands on the perspectives in our Global Rating Stability and Transition Study: 2011-2025, providing insight into cumulative default experience across sectors, geographies, and market environments.
Key Takeaways
- KBRA’s observed KCDRs were broadly consistent with the expected relationship between rating level, time horizon, and default risk.
- Investment-grade (IG) ratings showed meaningfully lower cumulative default rates than non-IG ratings. At the aggregate level, the 10-year KCDR for non-IG ratings was nearly 18x the comparable IG result.
- Corporate, financial, and government (CFG) defaults were concentrated primarily in select corporate and financial institution observations, including aviation-related exposures.
- Structured finance (SF) defaults were concentrated mainly in commercial mortgage-backed securities (CMBS), with limited instances in asset-backed securities (ABS), very few instances in residential mortgage-backed securities (RMBS), and no instances in structured credit. Within CMBS, defaults occurred mainly in conduit transactions and predominantly among mezzanine and subordinate classes initially rated in the BBB, BB, and B categories, reflecting post-COVID performance stress for certain commercial real estate (CRE) types. ABS defaults were limited to select subsectors.
Click here to view the report.
Related Publications
- KBRA Global Rating Stability and Transition Study: 2011-2025
- Private and Public Ratings: Comparable Stability Across KBRA’s Ratings Universe
- Private Credit SF: How KBRA Ratings Stack Up
About KBRA
KBRA, one of the major credit rating agencies, is registered in the U.S., EU, and the UK. KBRA is recognized as a Qualified Rating Agency in Taiwan, and is also a Designated Rating Organization for structured finance ratings in Canada. As a full-service credit rating agency, investors can use KBRA ratings for regulatory capital purposes in multiple jurisdictions.
Doc ID: 1016152
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