Super structure

Despite the recent woes in the economic environment, the default risk of European structured finance securities and their ratings has so far been largely unaffected, writes S&P's Andrew South.

Given the scale and depth of the recent financial crisis and recession, European structured finance over the past two-and-a-half years has exhibited relatively weaker credit performance than at any time since the market’s inception in the late 1980s. However, in absolute terms, credit performance has remained robust, with a cumulative default rate of only 0.39% over the period. While credit performance is generally quantified by analysing the number of rating movements, some market participants may also wish to consider equivalent statistics based on issuance volumes. This approach gives...