The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

ABS downgrades in the US are still above historial average, says Moody's

The frequency of US asset-backed security (ABS) downgrades fell to 7.8% in 2004 from 10.2% in 2003, but remained higher than the 5.4% historical average. The upgrade rate improved slightly to 2.1% in 2004 from 1.3% in 2003.

ABS securities backed by manufactured housing loans continued to experience a large number of downgrades, accounting for roughly 50% of all US ABS downgrades, and 27% of all structured finance downgrades worldwide in 2004. ABS securities backed by franchise loans, small business loans, aircraft and equipment leases, and tobacco settlements contributed roughly 40% of the US ABS downgrades.

ABS securities backed by autos, credit cards, and student loans continued to exhibit strong performance in 2004. No downgrades were observed for credit-card ABS securities in 2004, and 10 securities were upgraded. Auto-ABS saw 70 ratings upgraded in 2004, resulting in a 14% upgrade rate, whereas only six auto-ABSwere downgraded in 2004, making for a 1.2% downgrade rate.

By region, the US structured finance downgrade rate fell to 4.9% from 7% in 2003, while the upgrade rate rose to 4.6% from 3.1%. In Europe, the downgrade rate dropped sharply, to 3.9% from 10%, thanks to a marked improvement in European CDO deals.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree