articles Ratings /ratings/en/research/articles/230526-default-transition-and-recovery-2022-annual-global-leveraged-loan-clo-default-and-rating-transition-study-12741307 content esgSubNav
In This List
COMMENTS

Default, Transition, and Recovery: 2022 Annual Global Leveraged Loan CLO Default And Rating Transition Study

COMMENTS

Legacy U.K. Buy-To-Let RMBS: Crunch Time For Arrears And Losses

COMMENTS

FAQ: Applying Our Integrated Analytical Approach For Climate Transition Assessments

COMMENTS

Analytical Approach: Climate Transition Assessments

COMMENTS

Default, Transition, and Recovery: Defaults Drop In June


Default, Transition, and Recovery: 2022 Annual Global Leveraged Loan CLO Default And Rating Transition Study

image

Defaults among collateralized loan obligations (CLOs) rated by S&P Global Ratings rose by one in 2022, with defaults of six tranches. These defaults included four tranches that were rated in the 'CCC' or 'CC' categories at the start of 2022, as well as two that were not rated at that time. All six defaults were of U.S. CLOs issued in 2013 or 2014, and these CLOs experienced credit deterioration through multiple periods of distress, including during the 2016 downturn in the oil and gas sector and at the onset of the COVID-19 pandemic. But even as rising interest rates and slowing economic growth began to test borrowers in 2022, CLO credit showed signs of resilience. Even though the share of CLOs being upgraded was smaller in 2022 than in 2021, CLO upgrades continued to outnumber downgrades.

S&P Global Ratings' CLO ratings remained effective indicators of default risk last year: Each of the defaulting instruments had been downgraded to the 'CCC' or 'CC' categories prior to 2022 (see chart 1). Furthermore, none of the defaulters was originally rated higher than 'BB'.

Chart 1

image

The Default Rate Dips

The overall global CLO default rate fell to 0.05% in 2022 from 0.08% in 2021 and remained below 0.10% for the fourth consecutive year. The CLO default rate fell even as the speculative-grade ('BB+' or lower) corporate default rate ticked up slightly, to 1.92% in 2022 from 1.68% in 2021 (see chart 2).

Chart 2

image

CLOs were somewhat insulated from corporate defaults in 2022 since the corporate defaults were largely of issuers rated below the level at which most CLO managers tend to invest. More than 60% of the corporate entities that defaulted in 2022 were rated 'CCC+' or lower, and CLO managers tend to limit their credit exposures to minimize exposure to issuers rated below the 'B' category. While corporate credit quality also showed some broad improvements in 2022--for example, upgrades exceeded downgrades for the full year--corporate defaults started to increase at the 'B' category, which is much more broadly held within CLOs. The corporate 'B' category default rate was 1.09% in 2022, doubling from the prior year while staying below its long-term weighted average of 3.07%.

CLO tranche defaults tend to lag corporate defaults. To some extent, this is a natural consequence of the CLO structure, where the CLO may defer interest on the junior tranches. While this feature may allow a CLO to weather a period of credit stress, it can also make it increasingly difficult for the deferring notes to fully repay during the amortization period. Nonetheless, over the past 25 years, CLO tranches have consistently shown lower default rates than corporate entities.

The CLO tranche defaults in 2022 were all from junior tranches of U.S. CLOs originated in 2013 or 2014. Five were initially rated in the 'B' category, and one was initially rated 'BB'. Each of the six CLO tranches had shown credit deterioration in prior years, and by 2020, each had been downgraded to 'CCC+' or lower. (See table 10 in Appendix II for a list of all CLO defaults included in this study.)

Historically, CLO default rates are lower than the default rates in some other structured finance sectors, like residential mortgage-backed securities. Annual CLO default rates have generally been steady throughout the sector's history, with the annual default rate remaining below 0.5% (see chart 3). There were no defaults of investment-grade ('BBB-' or higher) CLOs in 2022, and no U.S. or European leveraged loan CLO tranche originally rated 'AAA' has ever defaulted.

Chart 3

image

CLO Ratings Showed A High Degree Of Stability In 2022

  • CLO ratings were largely stable in 2022: Of the 7,868 CLO ratings outstanding globally at the start of 2022, 98.3% were unchanged during the year--above the long-term average of 82.3%.
  • The CLO upgrade rate fell to 1.58% in 2022 from 4.09% in 2021 as credit quality began to wane, with borrowers facing higher interest rates and slowing economic growth.
  • The downgrade rate for CLOs (excluding defaults) continued to decline, falling to 0.08% in 2022 from 0.18% in 2021.
  • CLO upgrades have now outnumbered downgrades in 11 of the past 12 years.
  • The average change in credit quality over a 12-month horizon remained modestly positive in 2022 even as it slowed, ending the year at +0.03 notches, down from +0.08 notches at the end of 2021 (see chart 4). (The average change in credit quality incorporates both the magnitude and frequency of rating actions by measuring the average number of notches by which ratings changed during the transition window. For more information on the average change in credit quality, see Appendix I.)

Chart 4

image

Just 10 CLO tranches were downgraded or defaulted in 2022, down from 16 in 2021 and from more than 500 in 2020. All of the CLO downgrades last year were from the 'CCC' and 'CC' rating categories (see chart 5). These downgrade rates include tranches downgraded within a rating category.

There were no downgrades of CLO tranches rated in the 'B' category or higher during the year. This was also the eighth consecutive year without a downgrade of a CLO tranche rated 'AAA'.

The 'CCC' category had the highest upgrade rate of any rating category (9.8%), followed by the 'B' category (4.2%). More tranches are rated in the 'AA' and 'A' categories, and these categories accounted for more upgrades during the year, even though they each had a lower upgrade rate (around 2%). Historically, CLO upgrades are primarily driven by senior note amortization. The pace of CLO upgrades in recent years has been slower than normal, partially reflecting a wave of CLO reset activity in 2020 and 2021, which forestalled transactions from reaching their amortization periods.

Chart 5

image

Only U.S. CLO tranches were downgraded during the year. The U.S. downgrade rate (including defaults) fell to 0.17% in 2022 from 0.32% in 2021. There were no downgrades of European CLOs for the second year running.

Table 1 compares 2022 credit performance for global CLOs (with breakouts for region, vintage, and rating) with one-year weighted average statistics for 1997-2022.

Table 1

Global CLO transition and default summary, 2022 versus one-year average
--2022-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%)
Overall 7,868 98.3 1.6 0.1271 0.0508 4 82.3 11.2 6.5 0.08
Region
U.S. 5,917 98.3 1.5 0.17 0.07 4 83.5 10.7 5.8 0.07
Europe 1,951 98.3 1.7 0.0 0.00 0 78.4 13.0 8.6 0.11
Generation
1.0 1 100.0 0.0 0.0 0.0 0 72.3 17.5 10.2 0.1
2.0 7,867 98.3 1.6 0.127 0.051 4 95.3 3.1 1.6 0.0
Vintage
Pre-2005 0 N/A N/A N/A N/A N/A 82.9 9.2 7.9 0.3
2005 0 N/A N/A N/A N/A N/A 71.9 17.4 10.7 0.0
2006 0 N/A N/A N/A N/A N/A 68.9 20.0 11.0 0.1
2007 1 100.0 0.0 0.0 0.0 0 67.0 22.1 10.9 0.0
2008 0 N/A N/A N/A N/A N/A 65.6 20.0 14.4 0.3
2009 0 N/A N/A N/A N/A N/A 73.2 18.6 8.2 0.0
2010 0 N/A N/A N/A N/A N/A 83.7 11.4 4.9 0.0
2011 0 N/A N/A N/A N/A N/A 84.4 15.1 0.5 0.0
2012 3 100.0 0.0 0.0 0.0 0 92.0 7.6 0.4 0.0
2013 5 100.0 0.0 0.0 0.0 0 94.0 5.3 0.7 0.0
2014 27 59.3 3.7 37.0 14.8 4 93.8 2.9 3.3 0.2
2015 32 75.0 25.0 0.0 0.0 0 94.5 3.5 1.9 0.0
2016 15 73.3 26.7 0.0 0.0 0 97.6 1.4 1.0 0.0
2017 570 89.1 10.9 0.0 0.0 0 93.2 4.3 2.5 0.0
2018 1,401 98.2 1.8 0.0 0.0 0 94.5 2.5 3.0 0.0
2019 708 98.9 1.1 0.0 0.0 0 97.7 0.6 1.7 0.0
2020 982 99.4 0.6 0.0 0.0 0 99.6 0.4 0.0 0.0
2021 4,124 99.8 0.2 0.0 0.0 0 99.8 0.2 0.0 0.0
Rating category
AAA 1,938 100.0 0.0 0.0 0.0 0 93.3 0.0 6.7 0.0
AA 1,682 98.0 2.0 0.0 0.0 0 78.9 17.3 3.9 0.0
A 1,340 98.0 2.0 0.0 0.0 0 79.7 14.5 5.8 0.0
BBB 1,281 98.3 1.7 0.0 0.0 0 80.1 12.4 7.4 0.01
BB 1,008 98.7 1.3 0.0 0.0 0 79.9 10.9 9.3 0.02
B 572 95.8 4.2 0.0 0.0 0 78.0 15.0 7.1 0.06
CCC 41 70.7 9.8 19.5 4.88 2 59.3 34.5 6.2 1.40
CC 6 66.7 0.0 33.3 33.33 2 65.8 4.4 29.8 29.82
Rating grade
Investment grade 6,241 98.7 1.3 0.0 0.0 0 83.9 10.2 5.9 0.00
Speculative grade 1,627 96.9 2.5 0.6 0.2 4 76.8 14.7 8.5 0.38
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Turning The Page To CLO 2.0s

CLO transactions are commonly segmented into "1.0" and "2.0" generations, generally referring to transactions originated before and after the 2008-2009 financial crisis, respectively. In this study, we consider CLO 2.0 transactions to be those issued since the beginning of 2010, and we consider CLO 1.0 transactions to be those issued in 2009 or earlier.

The book of CLO 1.0 is now closed, as there was just one rated CLO 1.0 tranche outstanding at the beginning of 2022, and it was redeemed during the year.

In all, we rated 5,797 tranches of CLO 1.0 transactions globally, and 62 of these subsequently defaulted. Over the entire span of the rating histories, CLO 1.0 tranches had a default rate of 1.07%.

We've rated a total of 16,413 CLO 2.0 tranches from 2010 through the end of 2022. The first defaults of rated CLO 2.0 tranches occurred in 2021 (with five), followed by six more in 2022.

Table 2

CLO default summary by original rating
--CLO 1.0-- --CLO 2.0--
Count of original ratings Count of default Currently rated Count of original ratings Count of default Currently rated
Global
AAA 2,021 0 0 4,277 0 2,002
AA 843 1 0 3,647 0 1,841
A 1,039 5 0 2,880 0 1,470
BBB 1,079 13 0 2,633 0 1,435
BB 776 39 0 2,201 3 1,231
B 39 4 0 775 8 477
Total 5,797 62 0 16,413 11 8,456
U.S.
AAA 1,540 0 0 3,545 0 1,568
AA 616 1 0 2,864 0 1,307
A 790 5 0 2,372 0 1,135
BBB 783 9 0 2,156 0 1,120
BB 565 22 0 1,758 3 923
B 28 3 0 384 8 184
Total 4,322 40 0 13,079 11 6,237
Europe
AAA 481 0 0 732 0 434
AA 227 0 0 783 0 534
A 249 0 0 508 0 335
BBB 296 4 0 477 0 315
BB 211 17 0 443 0 308
B 11 1 0 391 0 293
Total 1,475 22 0 3,334 0 2,219
Data through Dec. 31, 2022. CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Chart 6

image

Credit performance continues to differ by the year of issuance--or "vintage"--of the CLO securities. For the purposes of this study, we classify a security's vintage based on the date when we first assigned a rating. Usually this is close to the security's original issuance date. However, in some cases, we may first assign a rating to a security some time after closing. The performance and subsequent credit behavior of a CLO can be influenced by the fundamental credit characteristics and economic environment of the transaction's vintage.

All of the downgrades in 2022 came from tranches of the 2014 vintage that are currently in their amortization periods. Few tranches of vintages from before 2014 remained outstanding at the end of 2022: just two from the 2012 vintage and three from the 2013 vintage. All tranches of vintages from before 2012 transitioned to not rated (NR) by the end of 2022.

Chart 7

image

The Number Of CLOs Continues To Grow

The number of rated CLO tranches globally grew to 8,456 at the end of 2022 from 7,868 at the end of 2021. About 79.3% of tranches at the start of 2022 were investment grade (see chart 8).

Since the beginning of 2018, the number of rated CLOs has grown sharply, more than doubling in that time frame. As a result, the majority of outstanding CLOs are from recent vintages. Over 60% of the rated CLO tranches that are currently outstanding were issued in 2021 or 2022.

The increase in the number of CLOs slowed sharply in 2022 as financing conditions tightened and leveraged loan issuance cratered. Nevertheless, the tally of rated CLOs outstanding continued to rise.

Chart 8

image

Differences Between The Performance Of CLO Ratings And Corporate Ratings

Corporate credit performance may broadly affect CLOs. However, the impact of corporate rating actions on CLO ratings is not necessarily direct or immediate. CLO structures contribute, in part, to these differences.

The CLOs included in this study are largely backed by pools of broadly syndicated loans to a diversified mix of companies, primarily rated speculative-grade companies. We do not include asset-backed securities transactions that are backed by loans to small and midsize enterprises. But we do include middle-market CLO transactions, which are CLOs collateralized largely by loans to smaller corporate obligors, typically with EBITDA of less than US$50 million.

The annual global default rate for speculative-grade CLO tranches has remained below the corresponding rate for speculative-grade corporate entities. The annual global default rate for speculative-grade CLOs was highest in 2002, when it was 2.53%. But there were just 79 speculative-grade CLO tranches that were rated at the beginning of that year. Since 2002, the annual default rate for speculative-grade CLOs globally has stayed below 1%. This is well below the long-term average annual default rate of close to 4% for speculative-grade corporate entities (see chart 9).

Chart 9

image

An increase in CLO defaults tends to lag an increase in corporate defaults. For instance, the speculative-grade CLO default rate dipped in 2022 (to 0.25% from 0.38% in 2021) even as the speculative-grade corporate default rate rose slightly (to 1.92% from 1.68%). During the financial crisis, the annual global speculative-grade corporate default rate reached a high of 10% at the end of 2009, while the annual global speculative-grade default rate for CLO tranches reached peaks that were lower and later, at 0.63% in 2011 and 0.82% in 2014.

CLO defaults tend to lag corporate defaults in part because CLO structures have the ability to defer interest payments on junior tranches. While these deferrals act as temporary shock absorbers and enable CLOs to navigate periods of market stress, the deferred payments also accrue to the principal balance of the notes, making it more difficult to fully repay the outstanding amount of the deferring notes by maturity. In these cases, CLO tranches could be rated in the 'CCC' or 'CC' categories but not be downgraded to 'D' until a payment default on the CLO tranche occurs.

But CLOs have also exhibited lower default rates than corporate issuers over longer horizons. For example, after the financial crisis, the trailing-three-year speculative-grade corporate default rate peaked at 14.7% in September 2011, while the trailing-three-year speculative-grade CLO default rate reached a lower high of 2.3% that November (see chart 10). During the credit stress of 2020, the trailing-36-month speculative-grade corporate default rate peaked in November at 8.8% before subsiding; the trailing-36-month speculative-grade CLO default rate only reached 1.5% in March 2022--its highest level since July 2019--before falling and closing the year at 1.2%.

Chart 10

image

The pool of global corporate entities we rate is diverse by sector and, in the case of European CLOs, country-related risks. While the underlying collateral pool in any given CLO is also diverse, the mix of country, sector, and even individual obligor exposures compared across different CLOs' collateral pools can have significant overlap, especially for European CLOs. This makes the joint default or joint survival of CLO tranches more likely, and it could be a factor behind the very low default rates to date for CLOs: If the peak losses experienced in collateral pools so far were insufficient to cause a tranche default in one transaction, then they would likely be insufficient to do so in most other transactions.

On the other hand, in a scenario with a more substantial downturn, a large uptick in defaults among corporate obligors favored by CLO managers could have a greater effect on our CLO ratings and lead to higher default rates.

While CLOs have had lower average downgrade and default rates than corporate issuers, the credit performance of CLOs has also varied more widely than that of corporate entities from year to year, with lower minimum transition rates, higher maximums, and larger standard deviations (see chart 11).

Chart 11

image

For example, in the wake of the financial crisis, the global downgrade rate reached 23% in 2009 for speculative-grade corporate issuers and 35.5% for corporate issuers rated 'B-'. The downgrade rate for speculative-grade CLOs rose to an even higher level the following year, nearing 51% in 2010. But deteriorating collateral performance wasn't the only driver of CLO downgrades that year. A criteria change played a major role as well: In September 2009, S&P Global Ratings revised its CLO methodology to require increased enhancement to reach a given rating level. This contributed to many of the CLO downgrades during this period, especially for 'AA' and 'AAA' rated tranches. Since 2010, the CLO downgrade rate has remained markedly lower, even as the 'B-' downgrade rate exceeded 25% in 2016 and 2020.

Chart 12

image

Amid slowing economic growth and rising interest rates, the upgrade rate fell in 2022 for both CLOs and corporate issuers. The CLO upgrade rate dropped to 1.6% from 4.1%, while the corporate upgrade rate fell by two percentage points, to 8.3%. CLO upgrade rates have been lower than corporate upgrade rates in recent years--a change from 2011-2016, when they consistently surpassed the corporate rates. This wave of upgrades in 2011-2016 largely owed to structural deleveraging among CLO transactions that exited their reinvestment periods, supported by stable underlying corporate credit performance (see chart 13).

Chart 13

image

Rated CLOs Have Had Relatively Few Defaults Over Time

While growth in the number of CLOs has picked up in recent years, their rating history goes back to the 1990s. In that time, CLOs globally have shown strong credit performance with relatively few defaults.

Between 1996 and the beginning of 2022, we assigned over 22,000 ratings to CLO tranches. The majority of these tranches have since been paid in full, and the ratings on them have been withdrawn. About 0.33% of these ratings were lowered to 'D' (see table 3). (Further details on CLO tranches downgraded to 'D' are in table 10 of Appendix II, and tranches rated 'CC' as of year-end 2022 are listed in table 11 of Appendix II.)

Table 3

Global CLO lifetime transition and default summary, 1996-2022
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Withdrawals (%)
Overall 22,210 78.8 14.9 6.3 0.33 73 61.6
Region
U.S. 17,401 79.2 15.7 5.2 0.3 51 63.9
Europe 4,809 77.6 12.0 10.4 0.5 22 53.4
Generation
1.0 5,797 41.2 41.6 17.2 1.1 62 98.9
2.0 16,413 92.1 5.4 2.4 0.1 11 48.4
Vintage
Pre-2005 1,676 57.1 24.6 18.3 2.3 38 97.7
2005 757 35.7 47.3 17.0 0.4 3 99.6
2006 1,505 35.7 48.9 15.4 0.8 12 99.2
2007 1,521 33.9 51.7 14.3 0.3 4 99.7
2008 311 32.8 32.8 34.4 1.6 5 98.4
2009 27 25.9 51.9 22.2 0.0 0 100.0
2010 39 56.4 33.3 10.3 0.0 0 100.0
2011 158 51.9 46.8 1.3 0.0 0 100.0
2012 629 74.9 24.6 0.5 0.0 0 99.7
2013 1,105 78.1 20.5 1.4 0.3 3 99.5
2014 886 86.0 8.9 5.1 0.9 8 97.2
2015 586 89.4 7.2 3.4 0.0 0 96.6
2016 767 94.8 3.1 2.1 0.0 0 99.0
2017 1,690 83.3 9.9 6.7 0.0 0 71.0
2018 1,786 89.2 4.3 6.5 0.0 0 26.8
2019 1,580 95.7 0.8 3.5 0.0 0 66.3
2020 1,837 99.0 0.5 0.5 0.0 0 57.7
2021 4,136 99.7 0.3 0.0 0.0 0 1.2
2022 1,214 100.0 0.0 0.0 0.0 0 0.1
Rating category
AAA 6,298 96.0 0.0 4.0 0.0 0 68.2
AA 4,490 75.8 22.6 1.6 0.0 1 59.0
A 3,919 70.4 26.9 2.7 0.1 5 62.4
BBB 3,712 69.0 21.6 9.3 0.4 13 61.0
BB 2,977 68.1 13.8 18.1 1.4 42 57.2
B 814 86.7 2.6 10.7 1.5 12 39.9
CCC 0 N/A N/A N/A N/A N/A N/A
CC 0 N/A N/A N/A N/A N/A N/A
Rating grade
Investment grade 18,419 80.2 15.6 4.2 0.1 19 63.3
Speculative grade 3,791 72.1 11.4 16.5 1.4 54 53.5
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR when determining stable, upgrade, downgrade, and default rates. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

All of S&P Global Ratings Credit Research & Insights' default studies have found a clear correlation between ratings and defaults: The higher the rating, the lower the observed frequency of default, and vice versa. In a given year, the CLOs that begin the year at the lowest rating levels show the highest observed rates of default.

Table 4

Global CLO one-year default rates, 1997-2022 (%)
Year AAA AA A BBB BB B CCC CC
1997 -- -- -- N/A N/A N/A N/A N/A
1998 -- -- -- -- -- N/A N/A N/A
1999 -- -- -- -- -- -- N/A N/A
2000 -- -- -- -- -- -- N/A N/A
2001 -- -- -- -- -- -- N/A N/A
2002 -- -- -- -- -- -- 100.00 N/A
2003 -- -- -- -- -- -- N/A N/A
2004 -- -- -- -- -- -- -- N/A
2005 -- -- -- -- -- -- -- N/A
2006 -- -- -- -- -- -- -- N/A
2007 -- -- -- -- -- -- -- N/A
2008 -- -- -- -- -- -- -- N/A
2009 -- -- -- -- -- -- -- 37.50
2010 -- -- -- 0.12 0.15 -- -- 15.38
2011 -- -- -- -- 0.15 -- 0.31 30.77
2012 -- -- -- -- -- 0.26 0.24 --
2013 -- -- -- -- -- -- 0.46 23.53
2014 -- -- -- -- -- -- 1.79 63.64
2015 -- -- -- -- -- -- 1.42 N/A
2016 -- -- -- -- -- -- 7.69 40.00
2017 -- -- -- -- -- 0.35 11.43 66.67
2018 -- -- -- -- -- -- 30.00 50.00
2019 -- -- -- -- -- -- 33.33 66.67
2020 -- -- -- -- -- 0.33 -- --
2021 -- -- -- -- -- -- 3.33 20.00
2022 -- -- -- -- -- -- 4.88 33.33
Weighted average -- -- -- 0.01 0.02 0.06 1.40 29.82
Median -- -- -- -- -- -- 0.39 33.33
Standard deviation -- -- -- 0.02 0.04 0.11 23.33 22.89
Minimum -- -- -- -- -- -- -- --
Maximum -- -- -- 0.12 0.15 0.35 100.00 66.67
CLO--Collateralized loan obligation. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

To assess the extent to which our ratings have rank-ordered securities' creditworthiness over time, we calculate cumulative default rates by rating category for various time horizons. This approach constructs average multiyear cumulative default rates by first aggregating across static pools the period-to-period one-year marginal default rates conditional on the securities' survival (i.e., nondefault) in the prior one-year period (see Appendix I for more details). This approach differs from the calculations we use in constructing the weighted average multiyear default and transition rates included elsewhere in this study, where default rates are not conditional on survival.

The cumulative default rates (conditional on survival) based on our full annual data history--from the beginning of 1997 to the end of 2022--show lower ratings have generally been associated with higher default rates, and vice versa.

In other words, ratings appear to have successfully rank-ordered creditworthiness over each time horizon. For example, the cumulative average default rate over a one-year horizon for CLOs rated 'CC' is 29.8%, while the default rate drops to 1.4% for the 'CCC' category and to zero for the 'A' category (see table 5).

These long-term relationships also broadly hold when transition rates are calculated over longer time horizons and when broken out by region, although we do see some exceptions, such as when the number of defaults is low or when the underlying number of issuers is very small. Investment-grade issuers seldom default, so the number of defaults among these rating categories is particularly low. This small sample size can, at times, result in historical default rates that seem counterintuitive, such as the slightly higher cumulative default rates for 'AA' category CLOs than for 'A' category CLOs over a seven-year horizon or longer. These default rates do not imply, however, that 'AA' category CLOs are riskier than 'A' category CLOs, but rather that both are highly unlikely to default.

Table 5

Global CLO cumulative default rates, conditional on survival, 1997-2022 (%)
--Time horizon (years)--
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.00 0.01 0.01 0.02 0.03 0.04 0.05 0.05 0.05 0.05
A 0.00 0.01 0.02 0.03 0.04 0.04 0.04 0.04 0.04 0.04
BBB 0.01 0.01 0.02 0.05 0.08 0.15 0.24 0.33 0.45 0.57
BB 0.02 0.10 0.18 0.27 0.40 0.57 0.81 1.16 1.57 2.16
B 0.06 0.28 0.67 1.09 1.64 2.24 2.63 3.08 3.40 3.67
CCC 1.40 3.00 4.75 6.50 8.00 9.03 10.06 10.73 11.17 11.23
CC 29.82 44.60 51.28 53.23 54.23 54.23 54.23 54.23 54.23 54.23
Investment grade 0.00 0.00 0.01 0.02 0.03 0.05 0.07 0.09 0.12 0.14
Speculative grade 0.38 0.79 1.21 1.63 2.07 2.47 2.88 3.31 3.70 4.13
Overall 0.08 0.17 0.27 0.37 0.47 0.57 0.68 0.79 0.89 1.01
CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Regions In Detail

U.S. CLOs

CLO defaults and downgrades in 2022 were exclusively among U.S. tranches. The asset quality of these defaulters had weakened during the COVID-19 pandemic, as well as during the period of elevated defaults and distress in 2016 that was triggered by oil and gas price volatility. Even with the defaults in 2022, the CLO default rate remained relatively low at 0.07%, and the downgrade rate fell by half to 0.10%.

Mounting credit headwinds and limited amortization of CLO tranches slowed the pace of upgrades during the year. The U.S. CLO upgrade rate dropped to 1.5% from 5.0% in 2021. However, even with this decline, upgrades continued to exceed downgrades and defaults, combined. Moreover, the overall change in credit quality for U.S. CLOs was marginally positive in 2022 at +0.02 notches, down from +0.10 notches in 2021 (see chart 14).

Chart 14

image

There have historically been very few defaults among U.S. CLOs; the annual default rate reached a high of 0.44% back in 2002. The 2022 default rate of 0.07% is roughly in line with the historical average. The potential remains for there to be future defaults, however, as last year's downgrades brought two U.S. tranches to the lowest rating level, 'CC' (see table 11 in Appendix II).

Chart 15

image

Chart 16

image

Table 6

U.S. CLO transition and default summary, 2022 versus one-year average
--2022-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%)
Overall 5,917 98.3 1.5 0.17 0.07 4 83.5 10.7 5.8 0.07
Generation
1.0 0 N/A N/A N/A N/A N/A 73.6 17.1 9.4 0.1
2.0 5,917 98.3 1.5 0.2 0.1 4 94.7 3.5 1.9 0.0
Vintage
Pre-2005 0 N/A N/A N/A N/A N/A 84.1 9.1 6.8 0.2
2005 0 N/A N/A N/A N/A N/A 71.6 18.1 10.3 0.0
2006 0 N/A N/A N/A N/A N/A 69.5 20.1 10.4 0.1
2007 0 N/A N/A N/A N/A N/A 68.2 21.5 10.3 0.0
2008 0 N/A N/A N/A N/A N/A 68.9 20.1 10.9 0.5
2009 0 N/A N/A N/A N/A N/A 70.7 21.3 8.0 0.0
2010 0 N/A N/A N/A N/A N/A 87.0 13.0 0.0 0.0
2011 0 N/A N/A N/A N/A N/A 84.6 15.4 0.0 0.0
2012 3 100.0 0.0 0.0 0.0 0 92.0 7.6 0.4 0.0
2013 5 100.0 0.0 0.0 0.0 0 93.6 5.7 0.8 0.0
2014 25 56.0 4.0 40.0 16.0 4 93.6 2.9 3.5 0.2
2015 21 95.2 4.8 0.0 0.0 0 94.4 3.4 2.1 0.0
2016 15 73.3 26.7 0.0 0.0 0 97.0 1.8 1.2 0.0
2017 357 89.9 10.1 0.0 0.0 0 91.7 4.9 3.4 0.0
2018 1,253 98.0 2.0 0.0 0.0 0 93.9 2.8 3.3 0.0
2019 496 98.6 1.4 0.0 0.0 0 97.7 0.7 1.7 0.0
2020 744 99.2 0.8 0.0 0.0 0 99.5 0.5 0.0 0.0
2021 2,998 99.7 0.3 0.0 0.0 0 99.7 0.3 0.0 0.0
Rating category
AAA 1,542 100.0 0.0 0.0 0.0 0 94.2 0.0 5.8 0.0
AA 1,216 98.4 1.6 0.0 0.0 0 79.3 17.5 3.3 0.0
A 1,047 98.2 1.8 0.0 0.0 0 81.2 13.5 5.3 0.0
BBB 1,010 98.5 1.5 0.0 0.0 0 81.2 11.9 6.9 0.0
BB 744 98.7 1.3 0.0 0.0 0 80.9 10.1 9.0 0.0
B 312 92.9 7.1 0.0 0.0 0.0 77.8 15.8 6.4 0.1
CCC 41 70.7 9.8 19.5 4.9 2.0 57.2 38.1 4.7 1.1
CC 5 60.0 0.0 40.0 40.0 2 58.5 6.1 35.4 35.4
Rating grade
Investment grade 4,815 98.9 1.1 0.0 0.0 0 85.0 9.8 5.2 0.0
Speculative grade 1,102 95.8 3.3 0.9 0.4 4.0 77.6 14.2 8.1 0.4
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 7

U.S. CLO lifetime transition and default summary, 1996-2022
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Withdrawals (%)
Overall 17,401 79.2 15.7 5.2 0.3 51 63.9
Generation
1.0 4,322 44.0 43.9 12.2 0.9 40 99.1
2.0 13,079 90.8 6.3 2.8 0.1 11 52.2
Vintage
Pre-2005 1,381 59.4 26.6 14.0 1.7 24 98.3
2005 601 37.4 51.2 11.3 0.0 0 100.0
2006 1,090 36.8 51.6 11.7 0.9 10 99.1
2007 1,021 36.0 54.7 9.3 0.1 1 99.9
2008 207 38.6 42.5 18.8 2.4 5 97.6
2009 22 27.3 54.5 18.2 0.0 0 100.0
2010 33 60.6 39.4 0.0 0.0 0 100.0
2011 154 51.9 48.1 0.0 0.0 0 100.0
2012 629 74.9 24.6 0.5 0.0 0 99.7
2013 988 76.3 22.1 1.6 0.3 3 99.4
2014 839 85.7 8.9 5.4 1.0 8 97.0
2015 481 88.8 7.1 4.2 0.0 0 98.1
2016 591 93.4 4.1 2.5 0.0 0 98.6
2017 1,267 81.2 10.3 8.5 0.0 0 76.2
2018 1,594 88.1 4.6 7.3 0.0 0 27.3
2019 1,265 95.8 0.9 3.3 0.0 0 73.5
2020 1,392 98.9 0.6 0.5 0.0 0 56.9
2021 3,010 99.5 0.5 0.0 0.0 0 1.4
2022 836 100.0 0.0 0.0 0.0 0 0.1
Rating category
AAA 5,085 97.4 0.0 2.6 0.0 0 69.2
AA 3,480 75.3 23.7 1.0 0.0 1 62.4
A 3,162 70.9 27.4 1.7 0.2 5 63.9
BBB 2,939 69.9 22.8 7.3 0.3 9 61.6
BB 2,323 68.2 15.1 16.7 1.1 25 59.2
B 412 77.7 3.6 18.7 2.7 11 52.7
CCC 0 N/A N/A N/A N/A N/A N/A
CC 0 N/A N/A N/A N/A N/A N/A
Rating grade
Investment grade 14,666 81.0 16.1 2.9 0.1 15 64.9
Speculative grade 2,735 69.6 13.3 17.0 1.3 36 58.2
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR when determining stable, upgrade, downgrade, and default rates. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.
European CLOs

In 2022, ratings on European CLOs were more stable (and saw fewer negative rating actions) than CLOs in the U.S. Indeed, for the second straight year, there were no downgrades or defaults among European CLOs. In contrast to U.S. CLOs, European CLOs saw their upgrade rate rise by a percentage point, to 1.74%--their highest upgrade rate since 2019.

The overall average change in credit quality was slightly positive for the year, at +0.03 notches--up from +0.01 notches in 2021 (see chart 17).

Chart 17

image

The European CLO sector experienced its first defaults back in 2015, and the default rate swiftly climbed to 0.81% in 2016. The defaults in 2016 included those of tranches from three separate transactions, two of which were redeemed or terminated early. Since then, defaults have steadily fallen (see chart 18).

Even with European CLOs' zero default rate in each of the last two years, defaults are unlikely to remain at such a low level. However, with no European CLOs rated below 'B-' at the end of 2022, there appears to be little default pressure on the horizon. While no European CLO 2.0s have defaulted to date, U.S. CLO 2.0s have a default rate of 0.08% since inception.

Ratings for CLO 2.0s have largely remained stable, so far. The upgrade rate for European CLO 2.0s since inception (1.9%) has exceeded the downgrade rate (0.9%).

While there have yet to be any downgrades of 'AAA' rated CLO tranches from the post-2009 vintages in the U.S., there have been a few such downgrades in Europe. These occurred back in 2011 and 2012, with the downgrades of five 'AAA' rated tranches. Unlike most CLOs in this study, these CLOs relied on the balance sheet of the sponsor and faced heightened credit exposure to a single country. These downgraded tranches were largely of CLOs from Ireland and Spain, two countries that experienced sovereign rating downgrades during this period.

Following several years of strong issuance, the population of currently outstanding European CLOs has become more concentrated in CLOs that were either issued or refinanced in 2021 and 2022. While the newly issued CLOs have some time before they reach their amortization periods, many of the CLOs that refinanced in 2021 or 2022 are already near theirs.

Chart 18

image

Chart 19

image

Table 8

European CLO transition and default summary, 2022 versus one-year average
--2022-- --One-year average--
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%)
Overall 1,951 98.3 1.74 0.0 0.00 0 78.4 13.0 8.6 0.11
Generation
1.0 1 100.0 0.0 0.0 0.0 0 68.9 18.6 12.5 0.2
2.0 1,950 98.3 1.7 0.0 0.0 0 98.3 1.2 0.5 0.0
Vintage
Pre-2005 0 N/A N/A N/A N/A N/A 78.5 9.8 11.7 0.6
2005 0 N/A N/A N/A N/A N/A 72.8 15.0 12.1 0.2
2006 0 N/A N/A N/A N/A N/A 67.5 19.9 12.6 0.0
2007 1 100.0 0.0 0.0 0.0 0 64.7 23.3 12.1 0.1
2008 0 N/A N/A N/A N/A N/A 59.1 19.8 21.1 0.0
2009 0 N/A N/A N/A N/A N/A 81.8 9.1 9.1 0.0
2010 0 N/A N/A N/A N/A N/A 60.0 0.0 40.0 0.0
2011 0 N/A N/A N/A N/A N/A 70.0 0.0 30.0 0.0
2012 0 N/A N/A N/A N/A N/A 0.0 0.0 0.0 0.0
2013 0 N/A N/A N/A N/A N/A 98.1 1.9 0.0 0.0
2014 2 100.0 0.0 0.0 0.0 0 97.0 3.0 0.0 0.0
2015 11 36.4 63.6 0.0 0.0 0 94.9 4.1 1.0 0.0
2016 0 N/A N/A N/A N/A N/A 99.8 0.0 0.2 0.0
2017 213 87.8 12.2 0.0 0.0 0 97.0 2.7 0.4 0.0
2018 148 100.0 0.0 0.0 0.0 0 99.6 0.4 0.0 0.0
2019 212 99.5 0.5 0.0 0.0 0 98.0 0.2 1.8 0.0
2020 238 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
2021 1,126 100.0 0.0 0.0 0.0 0 100.0 0.0 0.0 0.0
Rating category
AAA 396 100.0 0.0 0.0 0.0 0 88.9 0.0 11.1 0.0
AA 466 97.0 3.0 0.0 0.0 0 77.5 16.7 5.7 0.0
A 293 97.3 2.7 0.0 0.0 0 74.3 18.0 7.7 0.0
BBB 271 97.4 2.6 0.0 0.0 0 76.4 14.1 9.5 0.0
BB 264 98.9 1.1 0.0 0.0 0 76.8 13.2 10.0 0.0
B 260 99.2 0.8 0.0 0.0 0 78.3 13.5 8.2 0.1
CCC 0 N/A N/A N/A N/A N/A 62.3 29.4 8.3 1.8
CC 1 100.0 0.0 0.0 0.0 0 84.4 0.0 15.6 15.6
Rating grade
Investment grade 1,426 98.0 2.0 0.0 0.0 0 79.7 11.8 8.4 0.0
Speculative grade 525 99.0 1.0 0.0 0.0 0 74.9 15.9 9.2 0.4
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 9

European CLO lifetime transition and default summary, 2001-2022
Ratings (no.) Stable (%) Upgrades (%) Downgrades (%)* Defaults (%) Defaults (no.) Withdrawals (%)
Overall 4,809 77.6 12.0 10.4 0.5 22 53.4
Generation
1.0 1,475 33.2 34.8 32.0 1.5 22 98.5
2.0 3,334 97.3 1.9 0.9 0.0 0 33.4
Vintage
Pre-2005 295 46.4 15.3 38.3 4.7 14 95.3
2005 156 28.8 32.1 39.1 1.9 3 98.1
2006 415 32.8 41.9 25.3 0.5 2 99.5
2007 500 29.6 45.8 24.6 0.6 3 99.4
2008 104 21.2 13.5 65.4 0.0 0 100.0
2009 5 20.0 40.0 40.0 0.0 0.0 100.0
2010 6 33.3 0.0 66.7 0.0 0.0 100.0
2011 4 50.0 0.0 50.0 0.0 0.0 100.0
2012 0 0.0
2013 117 93.2 6.8 0.0 0.0 0 100.0
2014 47 91.5 8.5 0.0 0.0 0 100.0
2015 105 92.4 7.6 0.0 0.0 0 89.5
2016 176 99.4 0.0 0.6 0.0 0 100.0
2017 423 89.6 9.0 1.4 0.0 0 55.3
2018 192 98.4 1.6 0.0 0.0 0 22.9
2019 315 95.2 0.3 4.4 0.0 0 37.1
2020 445 99.6 0.0 0.4 0.0 0 60.2
2021 1,126 100.0 0.0 0.0 0.0 0 0.7
2022 378 100.0 0.0 0.0 0.0 0 0.0
Initial rating category
AAA 1,213 90.1 0.0 9.9 0.0 0 64.2
AA 1,010 77.5 18.6 3.9 0.0 0 47.1
A 757 68.4 24.8 6.7 0.0 0 55.7
BBB 773 65.7 17.3 16.9 0.5 4 58.7
BB 654 67.9 9.2 22.9 2.6 17 50.3
B 402 96.0 1.5 2.5 0.2 1 26.9
CCC 0 0
CC 0 0
Rating grade
Investment grade 3,753 77.3 13.6 9.1 0.1 4 56.8
Speculative grade 1,056 78.6 6.3 15.2 1.7 18 41.4
*Including defaults. Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR when determining stable, upgrade, downgrade, and default rates. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Appendix I: Terminology, Data Selection, And Calculation Approaches

This appendix explains the data, calculations, and terminology we use in this report.

This global CLO default and rating transition study uses our database of long-term global scale issue credit ratings. We do not include national or regional scale ratings. The analysis also excludes public information (pi) ratings, issuer credit ratings, and short-term issue ratings.

Our ongoing enhancement of the database used to generate this study may lead to changes in the reported statistics from one edition of the study to the next. However, each study includes statistics for previous years, ensuring that each study is self-consistent and effectively supersedes any previous editions.

Issues included in this study

This study analyzes over 22,000 rating histories of CLO securities that S&P Global Ratings first rated in the U.S. or Europe from 1996 until Dec. 31, 2022. The term "CLO" refers to cash flow collateralized loan obligations backed by loans to large corporates. Most transactions in this sector are overseen by a collateral manager and are backed by a portfolio of broadly syndicated leveraged loans. We do not include transactions backed by loans to small and midsize enterprises. We include the ratings on combination (or "combo") notes separately from, and in addition to, any ratings on these notes' underlying components.

Region definitions

This study presents rating transitions for global CLO transactions. In some analyses, we segment default and transition statistics by region. Our primary way of defining a transaction's region is to use the location where we perform surveillance. We may also consider the transaction's issuer country (unless it is a tax haven such as the Cayman Islands) and/or the domicile(s) of the underlying assets.

Vintage definition

In this report, we classify a security's vintage based on the date on which we first assigned it a rating. Usually this is close to the security's original issuance date. However, in some cases our first assignment of a rating to a security is some time after closing.

We also segment CLO transactions into "1.0" and "2.0" generations, generally referring to transactions originated before and after the 2008-2009 financial crisis, respectively. For the purposes of this study, we consider CLO 2.0 transactions to be those issued since the beginning of 2010, and we consider CLO 1.0 transactions to be those issued in 2009 or earlier.

Rating transitions

Our rating transition statistics use a "static pool" approach. To calculate the transition statistics over a given period (or "transition window"), we consider the static pool of ratings outstanding at the beginning of that period. The transition statistics for that static pool of ratings are then based on the movements in ratings between the start and end of the transition window.

For instance, we calculated the 2022 transition rates by determining the ratings on each security outstanding at the start of 2022 and determining the ratings on those same securities at the end of 2022. We then calculate statistics such as upgrade, downgrade, and stability rates, equivalent to the proportion of securities in the static pool with ratings that moved up, down, or remained the same, respectively, over the transition window. During this process, we count each security only once, even if the security experienced more than one rating change during the transition window being observed. In other words, we use the rating on a given security at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes.

Rating modifiers

We use rating modifiers ('+' and '-') to calculate the upgrade, downgrade, and stability rates quoted in the text, tables, and charts throughout this study. However, the transition matrices in Appendix II show only the less-granular full rating categories for practical reasons. In other words, while we count transitions such as to 'AA+' from 'AA' as an upgrade and to 'BBB-' from 'BBB+' as a downgrade in the transition statistics, in the corresponding transition matrices, these transitions would appear in the cells corresponding to a stable rating category classification, such as 'AA' to 'AA' or 'BBB' to 'BBB'.

Rating discontinuance or withdrawal

We may discontinue ratings when, for example, a rated obligation's payments have been made in full in accordance with its terms or when a rated issue matures. Ratings may also be withdrawn because of a lack of sufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to not rated (NR).

When we withdraw or discontinue ratings within the transition window under consideration, we may either derive our reported statistics by classifying the rating transition as a move to NR (the "NR-included" approach) or--for some other analyses--we may classify the transition as a move to the last non-NR rating before withdrawal or discontinuance (the "NR-adjusted" approach). In the text of this report, when we refer to upgrade and downgrade rates, for example, we use the latter approach. In the tables and charts, we clarify the approach used in the footnotes. We do not include a security with a withdrawn rating at the beginning of a transition window in the transition and default rate calculations for that period.

Treatment of 'AAA' ratings

In this study, we include the rating histories of all securities in the relevant sector or region. This approach contrasts with the approach we used in some previous editions of our wider global structured finance default and transition study. In those studies, we included the rating histories of all securities where the original rating was below the 'AAA' level. However, for each structured finance transaction, we generally included only one of the securities that we originally rated 'AAA'.

Treatment of 'D' ratings

Counts of defaults and default rate statistics in this report are based on securities with ratings we lowered to 'D'. For the purposes of this report, when the rating on a security has moved to 'D', we consider this a terminal state and do not include such a security in any transition windows that start on a subsequent date. In practice, however, some securities with ratings that have migrated to 'D' may later be assigned different ratings.

This can occur, for example, if the defaulted security is subsequently restructured to different terms, such as a lower coupon. In these cases, we treat the security's post-default rating history as if it were for a new security, beginning from the date that the rating changed from 'D'. Where we segment statistics by vintage, however, we continue to base the vintage on the date we originally assigned a rating to the security.

Average change in credit quality calculation

Certain analyses in this study refer to the "average change in credit quality" of a set of structured finance securities over a given transition window. We define the average change in credit quality as the average number of notches by which ratings changed during the stated transition window, where we take the average across all ratings in the set under consideration (e.g., a particular region or sector). We count downgrades as a negative number of notches and upgrades as a positive number. We consider stable ratings to have undergone a transition of zero notches. We believe this measure acts as a useful summary of the credit performance of, for example, a given sector, since it combines the relative number of ratings undergoing transition with the severity of that transition.

Weighted average transition and default rate calculation

For weighted average transition rates (including default rates), we calculate the individual transition rates for different static pools. We then calculate a single averaged transition rate, weighted by the number of ratings in each static pool. We use this technique to determine, for example, the five-year weighted average transition rates, by analyzing different static pools over different five-year periods and aggregating.

Average cumulative default rate calculation

In this study, we also calculate average cumulative default rates for different time horizons. For example, table 5 shows that the five-year average cumulative default rate for 'BBB' rated global CLOs has been 0.08% and that the 10-year average has been 0.57%.

We first consider the static pool of ratings at the beginning of each calendar year. For each static pool, we calculate the marginal default rates for each calendar year after the static pool's formation. These one-year marginal default rates are "conditional on survival." For example, the marginal default rate for the third year is the number of defaults during the third year divided by the number of ratings from the static pool that had "survived" (i.e., not moved to 'D') by the beginning of the third year.

We then average the marginal default rates for each time horizon across static pools, weighting by the number of surviving ratings at the beginning of each time horizon, to give an average marginal default rate per time horizon, as well as average marginal survival rates (equal to one minus the average marginal default rate).

Finally, the average cumulative default rate of each time horizon is calculated as one minus the product of marginal survival rates up to that time horizon.

This approach differs from the calculations we use in constructing the weighted average multiyear default and transition rates included elsewhere in this study (and as described above), where default rates are not conditional on survival.

Appendix II: List Of Global CLO Defaults And Near Defaults

Tables 10 and 11 detail all the global CLO securities on which we moved our ratings to 'D' and those rated 'CC', respectively.

Table 10

Global CLO tranches with ratings lowered to 'D', 2001-2022
Date rating lowered to 'D' Transaction Tranche Region Vintage Original rating
09/17/02 KBC - Orion Commercial Loan Master Trust D-1 U.S. 1999 BB
09/17/02 KBC - Orion Commercial Loan Master Trust D-2 U.S. 1999 BB
11/04/09 Pine CCS Ltd A-1 U.S. 2008 A-
11/04/09 Pine CCS Ltd A-2 U.S. 2008 A-
12/17/09 Kingfisher Capital CLO Ltd. A U.S. 2008 BBB+
10/15/10 Landmark II CDO Ltd. B U.S. 2002 AA
10/26/10 Verano CCS Ltd Sr Notes U.S. 2008 A-
10/26/10 Spruce CCS Ltd Sr Nts U.S. 2008 A
11/08/10 GE Commercial Loan Trust Series 2006-1 Pfd Tr Crt U.S. 2006 BB
04/19/11 Sandelman Finance 2006-1 Ltd E U.S. 2006 BB
10/25/11 Landmark II CDO Ltd. C U.S. 2002 BBB
10/25/11 Landmark II CDO Ltd. D U.S. 2002 BB
10/25/11 GE Commercial Loan Trust Series 2006-2 D U.S. 2006 BBB-
10/25/11 GE Commercial Loan Trust Series 2006-2 Pfd Trust U.S. 2006 BB
10/25/11 GE Commercial Loan Trust Series 2006-3 C U.S. 2006 A
10/25/11 GE Commercial Loan Trust Series 2006-3 D U.S. 2006 BBB-
10/25/11 GE Commercial Loan Trust Series 2006-3 Pfd Tr Cer U.S. 2006 BB
05/29/12 Rosedale CLO II Ltd E U.S. 2007 BB
11/27/13 Katonah V, Ltd D U.S. 2003 BB
11/27/13 Longhorn CDO III Ltd E U.S. 2003 BB
04/02/14 Stanfield Carrera CLO, Ltd. C-1 U.S. 2002 BBB
04/02/14 Stanfield Carrera CLO, Ltd. C-2 U.S. 2002 BBB
04/02/14 Stanfield Carrera CLO, Ltd. D-1 U.S. 2002 BB
04/02/14 Stanfield Carrera CLO, Ltd. D-2 U.S. 2002 BB
05/02/14 Premium Loan Trust I Ltd C U.S. 2004 BBB
05/02/14 Premium Loan Trust I Ltd D U.S. 2004 BB
07/18/14 Foxe Basin CLO 2003, Ltd. D U.S. 2003 BB
08/12/14 Highland Loan Funding V Ltd. C-1 U.S. 2001 BBB
08/12/14 Highland Loan Funding V Ltd. C-2 U.S. 2001 BBB
08/12/14 Highland Loan Funding V Ltd. D U.S. 2001 BB+
11/26/15 Leopard CLO I B.V. E-1 Europe 2003 BB
11/26/15 Leopard CLO I B.V. E-2 Europe 2003 BB
08/04/16 North Westerly CLO I B.V. IV-A Europe 2003 BB-
08/04/16 North Westerly CLO I B.V. IV-B Europe 2003 BB-
08/10/16 Avoca CLO II B.V. C-1 Europe 2004 BBB
08/10/16 Avoca CLO II B.V. C-2 Europe 2004 BBB
08/10/16 Avoca CLO II B.V. D Europe 2004 BB
08/10/16 Avoca CLO II B.V. R Combo Europe 2004 BB
08/10/16 Avoca CLO II B.V. T Combo Europe 2004 BB+
10/13/16 Leopard CLO II B.V. D Europe 2004 BB
02/13/17 Leveraged Finance Europe Capital III B.V. D Europe 2004 BBB-
03/22/17 Avoca CLO III PLC E Europe 2005 BB
05/15/17 Leopard CLO III B.V. E1 Europe 2005 BB-
05/15/17 Leopard CLO III B.V. E2 Europe 2005 BB-
09/26/17 North Westerly CLO II B.V. D-1 Europe 2004 BB-
09/26/17 North Westerly CLO II B.V. D-2 Europe 2004 BB-
11/07/17 Airlie CLO 2006-II Ltd D U.S. 2006 BB
02/13/18 BACCHUS 2007-1 PLC E Europe 2007 BB-
04/06/18 Avoca CLO IV PLC E Def Europe 2006 BB
04/06/18 Avoca CLO V PLC F Europe 2006 B
11/21/18 Leveraged Finance Europe Capital III B.V. E Europe 2004 BB-
01/31/19 Global Leveraged Capital Credit Opportunity Fund I E-1 U.S. 2006 BB
01/31/19 Global Leveraged Capital Credit Opportunity Fund I E-2 U.S. 2006 BB
10/15/19 Munda CLO I B.V. E Europe 2007 BB-
03/23/20 Strawinsky I PLC D Europe 2007 BBB
08/10/21 Mountain Hawk II CLO, Ltd. E U.S. 2013 BB
08/10/21 Flagship VII LTD F U.S. 2014 B
12/28/21 WhiteHorse VII, Ltd. B-3L U.S. 2013 B
12/28/21 Blue Ridge CLO Ltd. I D U.S. 2014 BB
12/28/21 Blue Ridge CLO Ltd. I E U.S. 2014 B
02/14/22 BNPP IP CLO 2014-1, Ltd. D U.S. 2014 BB
02/14/22 BNPP IP CLO 2014-1, Ltd. E U.S. 2014 B
03/10/22 Blue Ridge CLO Ltd. II E U.S. 2014 B
03/17/22 OFSI Fund VI, Ltd. E U.S. 2014 B
03/17/22 GLG Ore Hill CLO 2013-1, Ltd. F U.S. 2013 B
08/15/22 B&M CLO 2014-1 Ltd. E U.S. 2014 B
As of Dec. 31, 2022. CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 11

Global CLO tranches with ratings at 'CC'
Date rating lowered to 'CC' Transaction Tranche Region Vintage Original rating
05/17/21 Halcyon Loan Advisors Funding 2012-1 Ltd. D U.S. 2012 BB
05/17/21 Halcyon Loan Advisors Funding 2013-1 Ltd. D U.S. 2013 BB
05/18/21 Hull Street CLO Ltd. F U.S. 2014 B
05/31/22 Hull Street CLO Ltd. E U.S. 2014 BB
11/10/22 BNPP IP CLO 2014-II Ltd. E U.S. 2014 BB
As of Dec. 31, 2022. CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Appendix III: Detailed Default And Transition Statistics

Tables 12-31 provide more detailed default and transition rate statistics for global CLOs.

Global CLOs

Table 12

Global CLO rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.89 99.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 1.34 98.66 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.08 0.86 99.06 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.10 0.60 99.31 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 3.50 96.50 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 9.76 80.49 4.88 0.00 4.88
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 33.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 93.26 5.28 1.33 0.11 0.02 0.00 0.00 0.00 0.00 0.00
AA 12.00 84.65 2.36 0.81 0.14 0.03 0.02 0.00 0.00 0.00
A 1.74 9.36 83.72 3.24 1.52 0.27 0.13 0.01 0.00 0.00
BBB 0.34 1.68 6.82 84.58 3.41 1.60 1.55 0.01 0.00 0.01
BB 0.08 0.13 1.23 6.77 83.26 4.54 3.85 0.11 0.00 0.02
B 0.02 0.04 0.32 2.42 10.09 81.92 5.06 0.06 0.00 0.06
CCC 0.00 0.00 0.00 1.17 7.57 19.92 68.14 1.80 0.00 1.40
CC 0.00 0.00 0.00 0.00 1.75 1.75 0.88 65.79 0.00 29.82
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 85.97 11.23 2.51 0.19 0.08 0.00 0.01 0.00 0.00 0.00
AA 23.52 69.76 4.81 1.53 0.23 0.09 0.06 0.00 0.00 0.01
A 5.61 15.51 68.45 6.74 2.92 0.49 0.23 0.03 0.00 0.01
BBB 1.31 4.41 11.40 69.22 6.90 3.52 3.19 0.05 0.00 0.01
BB 0.35 0.74 2.88 11.76 67.62 8.56 7.78 0.20 0.00 0.10
B 0.07 0.24 1.19 5.71 16.76 67.42 8.18 0.15 0.00 0.29
CCC 0.00 0.00 0.32 3.49 13.77 30.44 46.46 2.57 0.00 2.94
CC 0.00 0.00 0.00 0.00 2.78 3.70 0.93 48.15 0.00 44.44
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 80.10 16.63 2.86 0.21 0.14 0.03 0.02 0.00 0.00 0.00
AA 33.50 57.80 6.48 1.72 0.27 0.13 0.08 0.00 0.00 0.01
A 10.73 17.77 57.70 9.34 3.48 0.60 0.31 0.06 0.00 0.02
BBB 2.97 7.37 12.68 58.00 9.80 4.81 4.23 0.12 0.00 0.02
BB 0.70 1.65 4.70 13.25 57.61 11.51 10.08 0.31 0.00 0.19
B 0.36 0.66 2.37 8.97 16.75 61.22 8.66 0.30 0.00 0.72
CCC 0.15 0.19 1.21 6.27 17.59 29.15 38.34 2.62 0.00 4.47
CC 0.00 0.00 0.00 0.00 3.88 4.85 0.97 39.81 0.00 50.49
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 77.69 19.36 2.53 0.17 0.17 0.05 0.04 0.00 0.00 0.00
AA 41.99 49.27 6.68 1.50 0.26 0.18 0.10 0.00 0.00 0.02
A 16.68 18.27 50.67 10.06 3.30 0.61 0.28 0.09 0.00 0.03
BBB 5.18 9.97 12.79 51.04 10.88 5.34 4.57 0.18 0.00 0.06
BB 1.13 2.83 6.67 13.80 52.70 11.34 10.79 0.44 0.00 0.29
B 0.60 1.20 3.48 11.33 16.82 57.39 7.74 0.48 0.00 0.96
CCC 0.34 0.49 2.05 8.59 18.02 28.47 33.79 2.20 0.00 6.05
CC 0.00 0.00 0.00 0.00 4.90 4.90 0.98 36.27 0.00 52.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 79.07 18.77 1.70 0.14 0.17 0.09 0.06 0.00 0.00 0.00
AA 48.76 44.00 5.61 1.09 0.22 0.19 0.10 0.00 0.00 0.03
A 22.13 18.79 46.44 9.03 2.56 0.63 0.26 0.12 0.00 0.04
BBB 7.60 11.54 12.78 47.50 10.39 5.36 4.53 0.22 0.00 0.09
BB 1.82 4.16 8.13 13.77 49.95 10.99 10.24 0.50 0.00 0.43
B 0.81 2.05 4.81 12.77 17.41 53.44 6.79 0.62 0.00 1.30
CCC 0.54 0.83 3.03 10.51 17.85 27.87 30.02 1.91 0.00 7.43
CC 0.00 0.00 0.00 0.00 5.05 5.05 1.01 35.35 0.00 53.54
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 89.71 8.81 0.73 0.12 0.23 0.21 0.19 0.00 0.00 0.00
AA 77.56 19.29 1.67 0.71 0.18 0.23 0.25 0.00 0.00 0.09
A 45.03 25.64 24.09 2.76 1.14 0.61 0.37 0.31 0.00 0.06
BBB 15.51 16.73 18.45 31.22 7.10 5.36 4.54 0.39 0.00 0.71
BB 4.62 8.21 12.37 18.67 32.28 12.37 7.87 1.05 0.00 2.56
B 2.35 5.57 12.27 21.13 21.73 27.36 6.84 0.34 0.00 2.41
CCC 0.81 1.55 5.15 13.33 20.58 26.47 22.19 1.43 0.00 8.49
CC 0.00 0.00 0.00 0.00 6.41 6.41 1.28 33.33 0.00 52.56
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 13

Global CLO rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 88.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.30
AA 0.83 91.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.31
A 0.00 1.19 92.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.79
BBB 0.00 0.08 0.86 92.27 0.00 0.00 0.00 0.00 0.00 0.00 6.79
BB 0.00 0.00 0.10 0.60 92.66 0.00 0.00 0.00 0.00 0.00 6.65
B 0.00 0.00 0.00 0.00 3.50 91.61 0.00 0.00 0.00 0.00 4.90
CCC 0.00 0.00 0.00 0.00 0.00 9.76 68.29 4.88 0.00 4.88 12.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.00 0.00 33.33 16.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 70.71 5.25 1.31 0.10 0.02 0.00 0.00 0.00 0.00 0.00 22.60
AA 10.06 71.03 2.34 0.81 0.14 0.03 0.02 0.00 0.00 0.00 15.58
A 1.19 8.51 70.95 3.24 1.49 0.25 0.13 0.01 0.00 0.00 14.24
BBB 0.21 1.27 6.18 72.71 3.38 1.60 1.53 0.01 0.00 0.01 13.11
BB 0.01 0.09 1.05 6.16 71.93 4.48 3.85 0.10 0.00 0.02 12.31
B 0.00 0.02 0.23 2.06 9.56 69.74 4.95 0.06 0.00 0.06 13.30
CCC 0.00 0.00 0.00 0.86 7.30 19.15 60.39 1.62 0.00 1.40 9.28
CC 0.00 0.00 0.00 0.00 0.88 1.75 0.88 51.75 0.00 29.82 14.91
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 45.15 11.02 2.45 0.17 0.06 0.00 0.01 0.00 0.00 0.00 41.15
AA 14.42 44.94 4.76 1.49 0.21 0.06 0.04 0.00 0.00 0.01 34.07
A 3.22 12.00 44.75 6.67 2.87 0.45 0.20 0.03 0.00 0.01 29.78
BBB 0.59 2.73 8.80 46.78 6.71 3.48 3.10 0.03 0.00 0.01 27.76
BB 0.12 0.49 2.00 9.31 45.71 7.68 7.66 0.17 0.00 0.10 26.78
B 0.02 0.17 0.65 4.23 14.39 44.05 7.50 0.15 0.00 0.29 28.54
CCC 0.00 0.00 0.28 2.53 12.26 26.86 32.97 2.07 0.00 2.94 20.11
CC 0.00 0.00 0.00 0.00 0.93 3.70 0.93 26.85 0.00 44.44 23.15
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 29.35 15.94 2.71 0.17 0.10 0.03 0.02 0.00 0.00 0.00 51.69
AA 14.35 28.26 6.34 1.64 0.23 0.07 0.05 0.00 0.00 0.01 49.04
A 4.44 11.30 29.12 9.15 3.34 0.54 0.25 0.04 0.00 0.02 41.80
BBB 0.97 3.72 7.86 30.48 9.38 4.64 3.95 0.10 0.00 0.02 38.90
BB 0.22 0.81 2.60 8.48 29.64 9.71 9.73 0.26 0.00 0.19 38.36
B 0.06 0.33 0.83 5.34 11.52 29.81 6.79 0.28 0.00 0.72 44.33
CCC 0.00 0.10 0.87 3.94 13.65 20.99 20.94 1.90 0.00 4.47 33.14
CC 0.00 0.00 0.00 0.00 0.97 4.85 0.00 11.65 0.00 50.49 32.04
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 19.96 17.98 2.27 0.10 0.08 0.05 0.04 0.00 0.00 0.00 59.52
AA 12.34 17.04 6.41 1.35 0.20 0.08 0.05 0.00 0.00 0.02 62.52
A 5.28 8.79 18.91 9.71 3.07 0.51 0.17 0.05 0.00 0.03 53.46
BBB 1.20 3.95 5.75 19.46 10.20 4.93 4.00 0.14 0.00 0.06 50.31
BB 0.26 1.17 2.94 6.49 18.62 9.29 10.15 0.37 0.00 0.29 50.42
B 0.09 0.39 0.90 5.16 8.43 17.69 5.04 0.42 0.00 0.96 60.93
CCC 0.00 0.24 0.93 4.49 11.72 15.38 13.09 1.37 0.00 6.05 46.73
CC 0.00 0.00 0.00 0.00 0.98 2.94 0.00 3.92 0.00 52.94 39.22
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 15.69 16.51 1.35 0.06 0.05 0.06 0.05 0.00 0.00 0.00 66.24
AA 9.71 10.75 5.18 0.87 0.15 0.08 0.02 0.00 0.00 0.03 73.21
A 5.06 6.51 13.06 8.44 2.23 0.48 0.11 0.06 0.00 0.04 64.03
BBB 1.55 3.23 3.73 13.27 9.27 4.56 3.60 0.17 0.00 0.09 60.53
BB 0.25 1.45 2.66 4.01 11.54 8.74 9.16 0.41 0.00 0.43 61.37
B 0.06 0.62 1.23 4.16 5.98 7.70 3.35 0.49 0.00 1.30 75.11
CCC 0.05 0.29 0.93 4.11 8.70 10.56 7.24 0.88 0.00 7.43 59.80
CC 0.00 0.00 0.00 0.00 1.01 1.01 0.00 2.02 0.00 53.54 42.42
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 1.75 0.31 0.00 0.00 0.00 0.04 0.02 0.00 0.00 0.00 97.88
AA 1.26 0.51 0.10 0.05 0.05 0.00 0.00 0.00 0.00 0.09 97.94
A 0.73 1.05 0.86 0.36 0.13 0.12 0.04 0.03 0.00 0.06 96.62
BBB 0.09 0.30 0.64 1.11 0.91 0.70 0.83 0.15 0.00 0.71 94.57
BB 0.00 0.02 0.10 0.36 1.11 1.60 1.51 0.59 0.00 2.56 92.15
B 0.00 0.00 0.00 0.00 0.13 0.20 0.47 0.07 0.00 2.41 96.71
CCC 0.00 0.00 0.00 0.00 0.00 0.31 0.06 0.19 0.00 8.49 90.95
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.56 47.44
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 14

Global CLO 1.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 88.18 9.27 2.32 0.18 0.04 0.00 0.01 0.00 0.00 0.00
AA 19.60 74.36 4.23 1.47 0.24 0.05 0.04 0.00 0.00 0.00
A 2.91 15.06 72.67 5.81 2.78 0.50 0.24 0.01 0.00 0.00
BBB 0.53 2.80 10.93 74.93 5.29 2.77 2.72 0.03 0.00 0.01
BB 0.15 0.25 2.19 11.66 74.53 4.26 6.73 0.20 0.00 0.03
B 0.05 0.09 0.68 5.18 18.50 69.00 6.23 0.14 0.00 0.14
CCC 0.00 0.00 0.00 1.27 8.21 18.86 68.93 1.51 0.00 1.22
CC 0.00 0.00 0.00 0.00 1.90 1.90 0.95 65.71 0.00 29.52
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 77.62 17.95 3.99 0.30 0.12 0.00 0.02 0.00 0.00 0.00
AA 34.91 54.14 7.84 2.50 0.38 0.14 0.09 0.00 0.00 0.01
A 8.55 22.33 52.04 10.99 4.83 0.81 0.39 0.05 0.00 0.01
BBB 1.92 6.70 16.36 54.44 9.88 5.52 5.09 0.08 0.00 0.01
BB 0.59 1.24 4.72 18.56 54.62 7.45 12.32 0.34 0.00 0.16
B 0.14 0.45 2.23 10.73 28.18 48.86 8.86 0.14 0.00 0.41
CCC 0.00 0.00 0.34 3.71 14.66 29.65 46.85 2.15 0.00 2.64
CC 0.00 0.00 0.00 0.00 2.88 3.85 0.96 49.04 0.00 43.27
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 70.72 24.50 4.19 0.31 0.21 0.04 0.03 0.00 0.00 0.00
AA 46.01 41.00 9.67 2.58 0.41 0.19 0.12 0.00 0.00 0.02
A 15.28 22.93 41.03 13.99 5.27 0.91 0.46 0.09 0.00 0.03
BBB 4.14 10.37 16.44 42.51 13.22 6.93 6.20 0.18 0.00 0.03
BB 1.09 2.58 7.22 19.72 43.72 10.08 14.85 0.44 0.00 0.29
B 0.59 1.09 3.92 14.85 27.09 43.08 8.61 0.09 0.00 0.68
CCC 0.15 0.20 1.22 6.30 17.69 29.33 38.42 2.44 0.00 4.25
CC 0.00 0.00 0.00 0.00 3.88 4.85 0.97 39.81 0.00 50.49
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 69.40 26.58 3.45 0.22 0.23 0.07 0.05 0.00 0.00 0.00
AA 54.34 33.50 9.29 2.09 0.37 0.24 0.13 0.00 0.00 0.03
A 22.29 21.75 35.79 14.09 4.65 0.86 0.40 0.13 0.00 0.04
BBB 6.84 13.09 15.26 36.89 14.20 7.17 6.23 0.24 0.00 0.08
BB 1.65 4.12 9.51 18.86 38.63 11.44 14.84 0.56 0.00 0.39
B 0.91 1.83 5.30 17.26 24.98 40.73 7.85 0.23 0.00 0.91
CCC 0.34 0.49 2.05 8.60 18.04 28.49 33.82 2.20 0.00 5.96
CC 0.00 0.00 0.00 0.00 4.90 4.90 0.98 36.27 0.00 52.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 72.93 24.30 2.18 0.17 0.22 0.12 0.07 0.00 0.00 0.00
AA 60.66 29.78 7.40 1.44 0.30 0.24 0.13 0.00 0.00 0.04
A 28.31 21.28 33.63 11.98 3.40 0.84 0.35 0.15 0.00 0.05
BBB 9.63 14.38 14.47 35.30 13.16 6.82 5.84 0.28 0.00 0.12
BB 2.49 5.69 10.90 17.56 36.64 12.32 13.27 0.59 0.00 0.54
B 1.14 2.88 6.78 17.99 23.86 38.64 7.05 0.41 0.00 1.24
CCC 0.54 0.83 3.03 10.51 17.85 27.87 30.02 1.91 0.00 7.43
CC 0.00 0.00 0.00 0.00 5.05 5.05 1.01 35.35 0.00 53.54
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 89.49 9.03 0.72 0.12 0.23 0.21 0.19 0.00 0.00 0.00
AA 78.96 17.83 1.70 0.73 0.19 0.24 0.25 0.00 0.00 0.09
A 46.29 25.69 22.62 2.84 1.18 0.63 0.38 0.32 0.00 0.06
BBB 15.90 17.06 18.44 30.02 7.29 5.51 4.65 0.40 0.00 0.73
BB 4.77 8.48 12.68 18.85 30.63 12.76 8.12 1.06 0.00 2.64
B 2.38 5.65 12.47 21.46 21.80 26.50 6.95 0.34 0.00 2.45
CCC 0.81 1.55 5.15 13.33 20.58 26.47 22.19 1.43 0.00 8.49
CC 0.00 0.00 0.00 0.00 6.41 6.41 1.28 33.33 0.00 52.56
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 15

Global CLO 1.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 68.15 9.22 2.30 0.17 0.04 0.00 0.01 0.00 0.00 0.00 20.10
AA 16.61 67.29 4.20 1.46 0.24 0.05 0.04 0.00 0.00 0.00 10.11
A 2.02 13.95 66.18 5.80 2.73 0.45 0.23 0.01 0.00 0.00 8.62
BBB 0.32 2.14 10.01 68.40 5.26 2.76 2.69 0.01 0.00 0.01 8.39
BB 0.02 0.16 1.90 10.72 67.77 4.20 6.73 0.18 0.00 0.03 8.30
B 0.00 0.05 0.50 4.41 17.50 58.18 6.05 0.14 0.00 0.14 13.05
CCC 0.00 0.00 0.00 0.93 7.91 18.08 61.75 1.32 0.00 1.22 8.79
CC 0.00 0.00 0.00 0.00 0.95 1.90 0.95 51.43 0.00 29.52 15.24
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 45.03 17.62 3.89 0.27 0.09 0.00 0.02 0.00 0.00 0.00 33.09
AA 21.88 43.07 7.74 2.44 0.35 0.10 0.07 0.00 0.00 0.01 24.34
A 5.01 17.99 41.57 10.90 4.75 0.75 0.33 0.05 0.00 0.01 18.63
BBB 0.89 4.25 12.98 43.37 9.74 5.47 4.95 0.05 0.00 0.01 18.30
BB 0.20 0.82 3.33 14.98 42.36 6.98 12.25 0.29 0.00 0.16 18.62
B 0.05 0.32 1.23 7.95 24.32 30.14 8.14 0.14 0.00 0.41 27.32
CCC 0.00 0.00 0.29 2.69 13.04 26.14 33.66 1.66 0.00 2.64 19.88
CC 0.00 0.00 0.00 0.00 0.96 3.85 0.96 27.88 0.00 43.27 23.08
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 30.42 23.49 3.99 0.25 0.14 0.04 0.03 0.00 0.00 0.00 41.64
AA 20.18 27.35 9.48 2.45 0.35 0.11 0.08 0.00 0.00 0.02 39.99
A 6.47 15.49 27.66 13.75 5.06 0.82 0.37 0.06 0.00 0.03 30.29
BBB 1.37 5.40 10.57 27.96 12.86 6.70 5.77 0.14 0.00 0.03 29.20
BB 0.34 1.27 4.07 13.05 27.22 9.18 14.62 0.36 0.00 0.29 29.59
B 0.09 0.55 1.37 8.83 18.85 18.99 6.65 0.09 0.00 0.68 43.90
CCC 0.00 0.10 0.88 3.96 13.73 21.11 20.97 1.76 0.00 4.25 33.24
CC 0.00 0.00 0.00 0.00 0.97 4.85 0.00 11.65 0.00 50.49 32.04
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 22.56 24.69 3.11 0.14 0.12 0.07 0.05 0.00 0.00 0.00 49.26
AA 16.42 18.05 8.94 1.89 0.28 0.11 0.07 0.00 0.00 0.03 54.22
A 7.20 11.41 20.11 13.64 4.33 0.72 0.24 0.08 0.00 0.04 42.22
BBB 1.60 5.37 7.19 19.51 13.46 6.65 5.44 0.19 0.00 0.08 40.51
BB 0.38 1.70 4.27 9.30 18.57 10.07 14.22 0.46 0.00 0.39 40.66
B 0.14 0.59 1.37 7.85 12.69 12.28 4.70 0.23 0.00 0.91 59.22
CCC 0.00 0.24 0.93 4.50 11.73 15.40 13.10 1.37 0.00 5.96 46.77
CC 0.00 0.00 0.00 0.00 0.98 2.94 0.00 3.92 0.00 52.94 39.22
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 19.38 21.38 1.75 0.07 0.06 0.08 0.06 0.00 0.00 0.00 57.22
AA 12.44 13.06 6.85 1.15 0.19 0.10 0.03 0.00 0.00 0.04 66.13
A 6.59 8.17 16.08 11.22 2.97 0.63 0.14 0.08 0.00 0.05 54.08
BBB 1.98 4.17 4.44 15.47 11.80 5.82 4.64 0.22 0.00 0.12 51.35
BB 0.34 1.98 3.63 5.42 13.71 10.34 11.99 0.46 0.00 0.54 51.58
B 0.09 0.87 1.74 5.86 8.29 6.36 2.88 0.32 0.00 1.24 72.34
CCC 0.05 0.29 0.93 4.11 8.70 10.56 7.24 0.88 0.00 7.43 59.80
CC 0.00 0.00 0.00 0.00 1.01 1.01 0.00 2.02 0.00 53.54 42.42
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 1.80 0.32 0.00 0.00 0.00 0.04 0.02 0.00 0.00 0.00 97.82
AA 1.29 0.52 0.11 0.05 0.05 0.00 0.00 0.00 0.00 0.09 97.88
A 0.75 1.08 0.89 0.37 0.14 0.12 0.05 0.03 0.00 0.06 96.52
BBB 0.09 0.31 0.66 1.14 0.93 0.72 0.84 0.15 0.00 0.73 94.43
BB 0.00 0.02 0.10 0.37 1.14 1.66 1.56 0.59 0.00 2.64 91.91
B 0.00 0.00 0.00 0.00 0.14 0.20 0.48 0.07 0.00 2.45 96.66
CCC 0.00 0.00 0.00 0.00 0.00 0.31 0.06 0.19 0.00 8.49 90.95
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.56 47.44
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 16

Global CLO 2.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.89 99.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 1.34 98.66 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.08 0.86 99.06 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.10 0.60 99.31 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 3.50 96.50 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 9.76 80.49 4.88 0.00 4.88
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 99.95 0.02 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00
AA 2.53 97.44 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.33 2.48 97.06 0.14 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.10 0.20 1.42 97.27 0.95 0.07 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.10 1.00 93.56 4.87 0.46 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 2.71 93.26 4.03 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 32.56 58.72 5.23 0.00 3.49
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 33.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 99.93 0.01 0.04 0.01 0.00 0.00 0.00 0.00 0.00 0.00
AA 5.52 94.45 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.12 5.11 93.51 0.26 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.28 0.56 3.08 94.01 1.89 0.17 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.19 1.82 86.66 10.19 1.15 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 3.77 88.52 7.39 0.16 0.00 0.16
CCC 0.00 0.00 0.00 0.00 0.00 42.75 40.46 9.16 0.00 7.63
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 75.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 99.91 0.02 0.05 0.02 0.00 0.00 0.00 0.00 0.00 0.00
AA 8.23 91.72 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.88 7.72 90.10 0.30 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.44 0.93 4.65 91.20 2.47 0.27 0.03 0.00 0.00 0.00
BB 0.00 0.00 0.26 1.87 82.06 14.03 1.70 0.09 0.00 0.00
B 0.00 0.00 0.00 0.00 0.97 88.89 8.75 0.63 0.00 0.76
CCC 0.00 0.00 0.00 0.00 0.00 0.00 25.00 33.33 0.00 41.67
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 99.89 0.02 0.07 0.02 0.00 0.00 0.00 0.00 0.00 0.00
AA 10.69 89.25 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 2.94 9.73 87.17 0.16 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.63 1.44 6.06 89.66 1.82 0.32 0.07 0.00 0.00 0.00
BB 0.00 0.00 0.43 2.69 83.59 11.13 1.90 0.18 0.00 0.07
B 0.00 0.00 0.00 0.00 1.22 89.26 7.51 0.96 0.00 1.05
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted-average
AAA 99.86 0.03 0.08 0.03 0.00 0.00 0.00 0.00 0.00 0.00
AA 11.86 88.08 0.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 3.40 11.22 85.30 0.08 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.70 1.88 7.02 88.96 0.96 0.39 0.09 0.00 0.00 0.00
BB 0.00 0.00 0.58 3.47 86.19 7.35 2.00 0.27 0.00 0.13
B 0.00 0.00 0.00 0.00 1.68 89.60 6.15 1.12 0.00 1.45
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 98.01 0.40 1.20 0.40 0.00 0.00 0.00 0.00 0.00 0.00
AA 27.96 71.09 0.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 5.31 24.15 70.53 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 1.65 4.95 18.68 74.18 0.00 0.00 0.55 0.00 0.00 0.00
BB 0.00 0.00 2.99 13.17 82.63 0.60 0.00 0.60 0.00 0.00
B 0.00 0.00 0.00 0.00 17.39 82.61 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 17

Global CLO 2.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 88.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.30
AA 0.83 91.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.31
A 0.00 1.19 92.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.79
BBB 0.00 0.08 0.86 92.27 0.00 0.00 0.00 0.00 0.00 0.00 6.79
BB 0.00 0.00 0.10 0.60 92.66 0.00 0.00 0.00 0.00 0.00 6.65
B 0.00 0.00 0.00 0.00 3.50 91.61 0.00 0.00 0.00 0.00 4.90
CCC 0.00 0.00 0.00 0.00 0.00 9.76 68.29 4.88 0.00 4.88 12.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 74.07 0.02 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 25.87
AA 1.91 75.67 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.39
A 0.19 1.93 76.71 0.14 0.00 0.00 0.00 0.00 0.00 0.00 21.03
BBB 0.07 0.12 1.15 78.38 0.91 0.07 0.00 0.00 0.00 0.00 19.31
BB 0.00 0.00 0.06 0.79 76.84 4.82 0.46 0.00 0.00 0.00 17.03
B 0.00 0.00 0.00 0.00 2.59 79.89 3.99 0.00 0.00 0.00 13.53
CCC 0.00 0.00 0.00 0.00 0.00 31.98 44.19 5.23 0.00 3.49 15.12
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.56 0.00 33.33 11.11
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 45.35 0.00 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 54.62
AA 2.64 47.88 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 49.44
A 0.49 2.87 49.61 0.22 0.00 0.00 0.00 0.00 0.00 0.00 46.81
BBB 0.11 0.17 1.79 52.50 1.64 0.15 0.00 0.00 0.00 0.00 43.65
BB 0.00 0.00 0.05 1.00 50.60 8.70 0.93 0.00 0.00 0.00 38.71
B 0.00 0.00 0.00 0.00 3.10 59.88 6.77 0.16 0.00 0.16 29.94
CCC 0.00 0.00 0.00 0.00 0.00 38.17 22.14 8.40 0.00 7.63 23.66
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 75.00 25.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 27.09 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 72.89
AA 2.57 30.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 67.31
A 0.50 3.16 31.95 0.20 0.00 0.00 0.00 0.00 0.00 0.00 64.19
BBB 0.11 0.11 2.03 35.88 1.92 0.22 0.03 0.00 0.00 0.00 59.69
BB 0.00 0.00 0.03 0.43 33.89 10.64 1.12 0.09 0.00 0.00 53.81
B 0.00 0.00 0.00 0.00 0.35 46.32 7.01 0.56 0.00 0.76 45.00
CCC 0.00 0.00 0.00 0.00 0.00 0.00 16.67 25.00 0.00 41.67 16.67
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 13.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.00
AA 1.99 14.47 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.54
A 0.57 2.37 15.96 0.06 0.00 0.00 0.00 0.00 0.00 0.00 81.04
BBB 0.11 0.07 1.82 19.31 1.30 0.25 0.07 0.00 0.00 0.00 77.08
BB 0.00 0.00 0.04 0.32 18.74 7.58 1.22 0.18 0.00 0.07 71.85
B 0.00 0.00 0.00 0.00 0.26 28.03 5.68 0.79 0.00 1.05 64.19
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 3.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 96.81
AA 1.26 3.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.16
A 0.43 1.45 3.91 0.00 0.00 0.00 0.00 0.00 0.00 0.00 94.21
BBB 0.09 0.04 1.31 5.80 0.65 0.31 0.09 0.00 0.00 0.00 91.71
BB 0.00 0.00 0.00 0.18 5.61 4.37 1.43 0.27 0.00 0.13 88.02
B 0.00 0.00 0.00 0.00 0.34 10.96 4.47 0.89 0.00 1.45 81.88
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.
U.S. CLOs

Table 18

U.S. CLO cumulative default rates, conditional on survival, 1997-2022 (%)
--Time horizon (years)--
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.07 0.07
A 0.00 0.01 0.02 0.03 0.05 0.05 0.05 0.05 0.05 0.05
BBB 0.01 0.01 0.02 0.07 0.11 0.19 0.28 0.38 0.48 0.58
BB 0.02 0.13 0.24 0.36 0.54 0.73 0.96 1.21 1.44 1.82
B 0.07 0.36 0.96 1.55 2.25 2.94 3.54 4.09 4.42 4.72
CCC 1.15 2.25 3.47 4.78 5.83 6.26 6.88 7.41 7.86 7.86
CC 35.37 56.05 65.37 68.04 69.37 69.37 69.37 69.37 69.37 69.37
Investment grade 0.00 0.01 0.01 0.03 0.04 0.06 0.08 0.10 0.13 0.15
Speculative grade 0.37 0.76 1.16 1.54 1.95 2.28 2.63 2.99 3.27 3.57
Overall 0.07 0.16 0.24 0.33 0.42 0.50 0.58 0.67 0.75 0.82
CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 19

U.S. CLO rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.90 99.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 1.05 98.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.10 0.50 99.41 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.13 0.81 99.06 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 6.09 93.91 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 9.76 80.49 4.88 0.00 4.88
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 94.24 4.92 0.77 0.05 0.02 0.00 0.01 0.00 0.00 0.00
AA 12.39 84.81 2.26 0.43 0.04 0.04 0.03 0.00 0.00 0.00
A 1.54 8.86 85.01 3.35 0.92 0.23 0.09 0.01 0.00 0.00
BBB 0.37 1.64 6.37 85.77 3.25 1.22 1.37 0.01 0.00 0.01
BB 0.07 0.08 1.28 6.19 84.02 4.69 3.51 0.13 0.00 0.02
B 0.03 0.07 0.43 3.06 10.32 81.19 4.73 0.10 0.00 0.07
CCC 0.00 0.00 0.00 1.68 10.57 20.83 64.09 1.68 0.00 1.15
CC 0.00 0.00 0.00 0.00 2.44 2.44 1.22 58.54 0.00 35.37
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 88.14 10.28 1.41 0.10 0.06 0.00 0.01 0.00 0.00 0.00
AA 24.01 70.45 4.46 0.82 0.06 0.11 0.06 0.00 0.00 0.01
A 5.25 14.50 71.14 6.89 1.64 0.40 0.17 0.01 0.00 0.01
BBB 1.38 4.30 10.60 71.58 6.59 2.69 2.84 0.02 0.00 0.01
BB 0.36 0.69 2.90 10.38 69.36 8.89 7.06 0.23 0.00 0.13
B 0.11 0.33 1.67 7.02 16.20 66.96 7.10 0.22 0.00 0.37
CCC 0.00 0.00 0.47 5.38 18.81 31.30 39.13 2.77 0.00 2.13
CC 0.00 0.00 0.00 0.00 3.90 5.19 1.30 33.77 0.00 55.84
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 83.52 14.68 1.51 0.12 0.10 0.03 0.03 0.00 0.00 0.00
AA 34.31 58.96 5.46 0.91 0.10 0.16 0.10 0.00 0.00 0.02
A 9.87 17.16 61.55 8.83 1.81 0.49 0.25 0.01 0.00 0.02
BBB 2.99 7.02 12.04 61.57 9.05 3.58 3.65 0.08 0.00 0.02
BB 0.74 1.50 4.55 11.66 60.39 11.63 8.93 0.35 0.00 0.25
B 0.55 0.89 3.14 10.43 15.30 60.96 7.25 0.47 0.00 1.02
CCC 0.26 0.35 2.01 9.78 24.02 30.22 27.86 2.62 0.00 2.88
CC 0.00 0.00 0.00 0.00 5.48 6.85 1.37 21.92 0.00 64.38
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 81.85 16.53 1.26 0.12 0.13 0.06 0.04 0.00 0.00 0.00
AA 43.10 50.66 4.96 0.80 0.12 0.21 0.12 0.00 0.00 0.03
A 15.68 18.06 55.14 8.63 1.66 0.51 0.27 0.01 0.00 0.04
BBB 4.88 9.64 12.48 55.63 9.50 3.86 3.81 0.12 0.00 0.07
BB 1.15 2.57 6.35 12.13 57.09 10.78 9.03 0.50 0.00 0.39
B 0.87 1.38 4.55 12.87 14.71 57.66 5.93 0.64 0.00 1.38
CCC 0.62 0.88 3.44 12.95 23.52 28.81 24.14 1.76 0.00 3.88
CC 0.00 0.00 0.00 0.00 6.85 6.85 1.37 17.81 0.00 67.12
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 83.64 15.17 0.75 0.11 0.15 0.11 0.07 0.00 0.00 0.00
AA 50.05 45.37 3.44 0.64 0.11 0.22 0.13 0.00 0.00 0.04
A 20.90 19.46 50.84 6.78 1.20 0.50 0.28 0.00 0.00 0.05
BBB 6.98 11.40 13.06 52.53 8.59 3.68 3.51 0.14 0.00 0.12
BB 1.66 3.60 7.71 12.58 55.72 9.74 7.83 0.57 0.00 0.58
B 1.10 2.24 6.07 14.04 14.83 54.36 4.93 0.65 0.00 1.79
CCC 0.97 1.41 5.21 14.47 21.89 27.89 22.07 1.32 0.00 4.77
CC 0.00 0.00 0.00 0.00 7.04 7.04 1.41 16.90 0.00 67.61
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 92.93 5.86 0.40 0.08 0.23 0.26 0.23 0.00 0.00 0.00
AA 80.17 17.49 0.84 0.66 0.13 0.27 0.32 0.00 0.00 0.12
A 46.48 25.67 25.05 1.68 0.29 0.29 0.45 0.00 0.00 0.08
BBB 15.29 18.76 19.94 32.52 6.34 3.45 2.77 0.18 0.00 0.76
BB 4.01 8.52 13.82 19.32 36.32 9.78 5.18 0.80 0.00 2.24
B 2.97 6.26 14.87 24.10 20.10 25.95 3.18 0.10 0.00 2.46
CCC 1.04 1.99 7.39 15.64 22.94 24.74 18.77 0.47 0.00 7.01
CC 0.00 0.00 0.00 0.00 7.81 7.81 1.56 18.75 0.00 64.06
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 20

U.S. CLO rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 88.46 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.54
AA 0.82 90.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.39
A 0.00 0.86 91.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.45
BBB 0.00 0.10 0.50 92.28 0.00 0.00 0.00 0.00 0.00 0.00 7.13
BB 0.00 0.00 0.13 0.81 91.53 0.00 0.00 0.00 0.00 0.00 7.53
B 0.00 0.00 0.00 0.00 6.09 87.50 0.00 0.00 0.00 0.00 6.41
CCC 0.00 0.00 0.00 0.00 0.00 9.76 68.29 4.88 0.00 4.88 12.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 71.01 4.91 0.75 0.05 0.02 0.00 0.01 0.00 0.00 0.00 23.26
AA 10.41 70.51 2.25 0.43 0.04 0.04 0.03 0.00 0.00 0.00 16.31
A 1.00 7.89 71.31 3.35 0.89 0.19 0.08 0.01 0.00 0.00 15.28
BBB 0.25 1.16 5.70 73.26 3.22 1.21 1.36 0.01 0.00 0.01 13.81
BB 0.01 0.07 1.04 5.54 71.85 4.66 3.51 0.13 0.00 0.02 13.16
B 0.00 0.03 0.30 2.63 9.66 68.83 4.66 0.10 0.00 0.07 13.72
CCC 0.00 0.00 0.00 1.23 10.18 19.98 56.43 1.68 0.00 1.15 9.34
CC 0.00 0.00 0.00 0.00 1.22 2.44 1.22 50.00 0.00 35.37 9.76
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 45.71 10.13 1.36 0.09 0.03 0.00 0.01 0.00 0.00 0.00 42.68
AA 14.94 44.50 4.41 0.78 0.06 0.08 0.05 0.00 0.00 0.01 35.18
A 2.90 10.72 45.71 6.84 1.58 0.36 0.13 0.01 0.00 0.01 31.75
BBB 0.65 2.52 7.88 47.71 6.40 2.66 2.78 0.02 0.00 0.01 29.35
BB 0.14 0.49 1.88 7.96 45.72 7.98 6.92 0.22 0.00 0.13 28.56
B 0.04 0.22 0.85 5.17 13.53 43.70 6.39 0.22 0.00 0.37 29.51
CCC 0.00 0.00 0.40 3.95 16.84 27.67 26.48 2.53 0.00 2.13 20.00
CC 0.00 0.00 0.00 0.00 1.30 5.19 1.30 20.78 0.00 55.84 15.58
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 29.97 14.10 1.39 0.10 0.05 0.03 0.03 0.00 0.00 0.00 54.33
AA 15.18 28.01 5.34 0.82 0.08 0.09 0.06 0.00 0.00 0.02 50.40
A 3.87 10.40 30.55 8.66 1.72 0.44 0.18 0.01 0.00 0.02 44.15
BBB 0.95 3.22 7.10 31.86 8.60 3.44 3.48 0.08 0.00 0.02 41.25
BB 0.24 0.71 2.20 7.21 29.78 9.74 8.57 0.32 0.00 0.25 40.99
B 0.08 0.38 0.89 5.89 10.05 28.91 5.47 0.42 0.00 1.02 46.88
CCC 0.00 0.17 1.40 6.20 18.25 21.83 11.79 2.18 0.00 2.88 35.28
CC 0.00 0.00 0.00 0.00 1.37 6.85 0.00 5.48 0.00 64.38 21.92
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 20.47 15.32 1.08 0.08 0.04 0.06 0.04 0.00 0.00 0.00 62.90
AA 13.10 17.03 4.73 0.66 0.10 0.10 0.07 0.00 0.00 0.03 64.19
A 4.97 8.29 20.38 8.30 1.54 0.42 0.14 0.01 0.00 0.04 55.91
BBB 1.06 3.43 5.34 21.17 8.74 3.51 3.46 0.11 0.00 0.07 53.10
BB 0.23 0.97 2.36 5.44 19.12 8.71 8.36 0.45 0.00 0.39 53.96
B 0.14 0.32 1.01 5.43 7.03 16.55 3.72 0.55 0.00 1.38 63.86
CCC 0.00 0.44 1.41 6.87 14.71 15.95 5.46 1.32 0.00 3.88 49.96
CC 0.00 0.00 0.00 0.00 1.37 4.11 0.00 1.37 0.00 67.12 26.03
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 15.80 13.20 0.52 0.06 0.02 0.08 0.06 0.00 0.00 0.00 70.25
AA 10.48 10.66 3.10 0.44 0.07 0.10 0.03 0.00 0.00 0.04 75.07
A 4.79 6.85 13.88 6.23 1.05 0.37 0.10 0.00 0.00 0.05 66.68
BBB 1.32 2.91 3.83 14.67 7.31 2.97 2.87 0.12 0.00 0.12 63.89
BB 0.18 0.94 2.09 3.65 12.10 7.58 6.77 0.49 0.00 0.58 65.61
B 0.05 0.70 1.34 4.03 4.98 6.67 2.59 0.55 0.00 1.79 77.30
CCC 0.09 0.44 1.50 5.65 9.62 11.39 2.21 0.88 0.00 4.77 63.46
CC 0.00 0.00 0.00 0.00 1.41 1.41 0.00 0.00 0.00 67.61 29.58
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 1.28 0.04 0.00 0.00 0.00 0.05 0.03 0.00 0.00 0.00 98.60
AA 0.62 0.24 0.02 0.03 0.07 0.00 0.00 0.00 0.00 0.12 98.90
A 0.51 0.59 0.47 0.06 0.00 0.00 0.06 0.00 0.00 0.08 98.24
BBB 0.10 0.28 0.44 0.60 0.44 0.18 0.20 0.12 0.00 0.76 96.89
BB 0.00 0.03 0.13 0.24 0.64 1.07 0.21 0.53 0.00 2.24 94.90
B 0.00 0.00 0.00 0.00 0.00 0.21 0.21 0.10 0.00 2.46 97.03
CCC 0.00 0.00 0.00 0.00 0.00 0.38 0.09 0.00 0.00 7.01 92.51
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 64.06 35.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 21

U.S. CLO 1.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 89.45 9.01 1.40 0.10 0.03 0.00 0.01 0.00 0.00 0.00
AA 20.84 73.85 4.29 0.83 0.07 0.07 0.06 0.00 0.00 0.00
A 2.65 14.81 73.69 6.41 1.81 0.44 0.18 0.02 0.00 0.00
BBB 0.59 2.88 10.78 75.72 5.16 2.24 2.60 0.02 0.00 0.02
BB 0.14 0.17 2.48 11.42 75.31 3.59 6.58 0.26 0.00 0.05
B 0.08 0.15 0.99 7.04 18.75 69.47 3.14 0.23 0.00 0.15
CCC 0.00 0.00 0.00 1.94 12.17 19.05 64.90 1.15 0.00 0.79
CC 0.00 0.00 0.00 0.00 2.74 2.74 1.37 57.53 0.00 35.62
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 80.22 17.14 2.35 0.17 0.10 0.00 0.02 0.00 0.00 0.00
AA 36.87 53.57 7.72 1.41 0.11 0.20 0.11 0.00 0.00 0.01
A 8.31 21.50 54.23 12.00 2.91 0.71 0.30 0.02 0.00 0.02
BBB 2.13 6.90 15.93 55.95 9.71 4.46 4.86 0.04 0.00 0.02
BB 0.67 1.28 5.20 17.56 56.25 6.38 11.97 0.43 0.00 0.24
B 0.23 0.69 3.44 14.46 28.08 48.66 3.67 0.23 0.00 0.54
CCC 0.00 0.00 0.53 6.00 20.99 29.98 38.98 2.03 0.00 1.50
CC 0.00 0.00 0.00 0.00 4.11 5.48 1.37 34.25 0.00 54.79
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 74.69 22.54 2.32 0.19 0.16 0.05 0.04 0.00 0.00 0.00
AA 48.80 40.55 8.63 1.44 0.15 0.25 0.15 0.00 0.00 0.03
A 14.67 22.67 44.39 14.08 2.93 0.80 0.41 0.02 0.00 0.04
BBB 4.39 10.40 16.20 45.15 12.57 5.42 5.69 0.12 0.00 0.04
BB 1.28 2.60 7.66 18.74 46.21 8.50 14.04 0.53 0.00 0.43
B 1.00 1.61 5.68 18.88 26.78 41.44 3.45 0.15 0.00 1.00
CCC 0.26 0.35 2.03 9.89 24.27 30.54 27.89 2.29 0.00 2.47
CC 0.00 0.00 0.00 0.00 5.48 6.85 1.37 21.92 0.00 64.38
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 74.12 23.58 1.80 0.17 0.19 0.09 0.06 0.00 0.00 0.00
AA 57.74 33.07 7.30 1.17 0.18 0.31 0.18 0.00 0.00 0.04
A 21.86 21.89 39.68 12.84 2.49 0.76 0.41 0.02 0.00 0.05
BBB 6.74 13.27 15.34 40.63 12.83 5.43 5.48 0.18 0.00 0.11
BB 1.83 4.10 9.83 17.64 42.47 9.76 13.11 0.67 0.00 0.58
B 1.46 2.31 7.63 21.57 23.73 38.37 3.31 0.23 0.00 1.39
CCC 0.62 0.88 3.44 12.97 23.57 28.86 24.18 1.77 0.00 3.71
CC 0.00 0.00 0.00 0.00 6.85 6.85 1.37 17.81 0.00 67.12
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 78.07 20.32 1.01 0.15 0.20 0.15 0.10 0.00 0.00 0.00
AA 64.60 29.00 4.80 0.90 0.15 0.31 0.18 0.00 0.00 0.06
A 27.89 22.58 37.16 9.50 1.69 0.71 0.39 0.00 0.00 0.07
BBB 9.24 14.81 15.27 39.38 11.34 4.86 4.75 0.20 0.00 0.16
BB 2.46 5.36 11.15 16.94 41.51 10.55 10.55 0.70 0.00 0.80
B 1.70 3.48 9.44 21.81 22.04 36.12 3.40 0.23 0.00 1.78
CCC 0.97 1.41 5.21 14.47 21.89 27.89 22.07 1.32 0.00 4.77
CC 0.00 0.00 0.00 0.00 7.04 7.04 1.41 16.90 0.00 67.61
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 92.70 6.05 0.42 0.08 0.24 0.27 0.24 0.00 0.00 0.00
AA 82.05 15.52 0.87 0.68 0.14 0.28 0.33 0.00 0.00 0.12
A 48.15 25.70 23.24 1.75 0.31 0.31 0.47 0.00 0.00 0.08
BBB 15.80 19.28 19.98 30.96 6.58 3.58 2.85 0.19 0.00 0.79
BB 4.20 8.92 14.32 19.61 34.15 10.21 5.43 0.81 0.00 2.35
B 3.05 6.41 15.23 24.68 20.17 24.58 3.26 0.11 0.00 2.52
CCC 1.04 1.99 7.39 15.64 22.94 24.74 18.77 0.47 0.00 7.01
CC 0.00 0.00 0.00 0.00 7.81 7.81 1.56 18.75 0.00 64.06
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 22

U.S. CLO 1.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 68.89 9.00 1.38 0.09 0.03 0.00 0.01 0.00 0.00 0.00 20.61
AA 17.75 67.19 4.27 0.81 0.07 0.07 0.06 0.00 0.00 0.00 9.79
A 1.76 13.53 66.90 6.41 1.74 0.37 0.16 0.02 0.00 0.00 9.11
BBB 0.41 2.06 9.78 69.16 5.14 2.22 2.58 0.02 0.00 0.02 8.61
BB 0.02 0.14 2.05 10.36 68.18 3.59 6.58 0.26 0.00 0.05 8.77
B 0.00 0.08 0.69 6.04 17.44 59.30 3.06 0.23 0.00 0.15 13.01
CCC 0.00 0.00 0.00 1.41 11.73 18.17 58.29 1.15 0.00 0.79 8.47
CC 0.00 0.00 0.00 0.00 1.37 2.74 1.37 49.32 0.00 35.62 9.59
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 46.18 16.88 2.26 0.15 0.05 0.00 0.02 0.00 0.00 0.00 34.45
AA 23.65 43.41 7.62 1.34 0.10 0.14 0.08 0.00 0.00 0.01 23.64
A 4.71 16.71 43.48 11.95 2.81 0.64 0.23 0.02 0.00 0.02 19.44
BBB 1.03 4.18 12.24 44.73 9.60 4.43 4.77 0.04 0.00 0.02 18.98
BB 0.26 0.92 3.44 13.83 43.22 6.19 11.92 0.41 0.00 0.24 19.56
B 0.08 0.46 1.76 10.64 23.49 30.45 3.14 0.23 0.00 0.54 29.23
CCC 0.00 0.00 0.44 4.41 18.78 26.46 26.98 1.85 0.00 1.50 19.58
CC 0.00 0.00 0.00 0.00 1.37 5.48 1.37 21.92 0.00 54.79 15.07
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 31.94 21.65 2.14 0.16 0.07 0.05 0.04 0.00 0.00 0.00 43.94
AA 22.35 28.24 8.45 1.30 0.13 0.14 0.10 0.00 0.00 0.03 39.27
A 5.93 14.77 30.61 13.88 2.79 0.71 0.28 0.02 0.00 0.04 30.97
BBB 1.42 4.98 9.96 30.13 12.22 5.25 5.42 0.12 0.00 0.04 30.46
BB 0.41 1.23 3.78 12.17 28.38 8.07 13.90 0.48 0.00 0.43 31.15
B 0.15 0.69 1.61 10.67 17.88 18.19 2.15 0.15 0.00 1.00 47.51
CCC 0.00 0.18 1.41 6.27 18.45 22.07 11.74 1.94 0.00 2.47 35.48
CC 0.00 0.00 0.00 0.00 1.37 6.85 0.00 5.48 0.00 64.38 21.92
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 23.90 21.85 1.54 0.12 0.06 0.09 0.06 0.00 0.00 0.00 52.37
AA 18.27 19.15 6.97 0.97 0.14 0.14 0.10 0.00 0.00 0.04 54.23
A 7.14 11.20 23.14 12.39 2.31 0.62 0.21 0.02 0.00 0.05 42.92
BBB 1.48 4.95 6.92 22.33 11.99 4.96 4.98 0.16 0.00 0.11 42.13
BB 0.36 1.54 3.74 8.48 20.27 8.85 12.51 0.60 0.00 0.58 43.07
B 0.23 0.54 1.69 9.09 11.63 11.25 1.23 0.23 0.00 1.39 62.71
CCC 0.00 0.44 1.41 6.88 14.74 15.98 5.47 1.32 0.00 3.71 50.04
CC 0.00 0.00 0.00 0.00 1.37 4.11 0.00 1.37 0.00 67.12 26.03
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 20.30 17.70 0.70 0.09 0.03 0.11 0.07 0.00 0.00 0.00 61.00
AA 14.11 13.93 4.32 0.62 0.10 0.14 0.04 0.00 0.00 0.06 66.69
A 6.56 9.11 18.28 8.78 1.47 0.52 0.14 0.00 0.00 0.07 55.07
BBB 1.76 3.95 4.81 18.13 9.72 3.93 3.88 0.16 0.00 0.16 53.50
BB 0.27 1.40 3.11 5.36 15.83 8.95 9.29 0.58 0.00 0.80 54.42
B 0.08 1.08 2.09 6.26 7.58 5.96 0.93 0.23 0.00 1.78 74.01
CCC 0.09 0.44 1.50 5.65 9.62 11.39 2.21 0.88 0.00 4.77 63.46
CC 0.00 0.00 0.00 0.00 1.41 1.41 0.00 0.00 0.00 67.61 29.58
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 1.32 0.04 0.00 0.00 0.00 0.05 0.03 0.00 0.00 0.00 98.56
AA 0.65 0.24 0.02 0.03 0.07 0.00 0.00 0.00 0.00 0.12 98.87
A 0.53 0.61 0.49 0.06 0.00 0.00 0.06 0.00 0.00 0.08 98.17
BBB 0.10 0.29 0.46 0.62 0.46 0.19 0.19 0.12 0.00 0.79 96.79
BB 0.00 0.03 0.14 0.25 0.67 1.12 0.22 0.53 0.00 2.35 94.69
B 0.00 0.00 0.00 0.00 0.00 0.21 0.21 0.11 0.00 2.52 96.95
CCC 0.00 0.00 0.00 0.00 0.00 0.38 0.09 0.00 0.00 7.01 92.51
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 64.06 35.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 23

U.S. CLO 2.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.90 99.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 1.05 98.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.10 0.50 99.41 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.13 0.81 99.06 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 6.09 93.91 0.00 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 9.76 80.49 4.88 0.00 4.88
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 3.00 97.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.39 2.67 96.77 0.17 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.12 0.24 1.42 97.03 1.12 0.08 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.12 1.16 92.41 5.75 0.56 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 3.83 90.21 5.96 0.00 0.00 0.00
CCC 0.00 0.00 0.00 0.00 0.00 32.56 58.72 5.23 0.00 3.49
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 0.00 33.33
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 6.39 93.61 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 1.30 5.49 92.91 0.30 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.32 0.65 3.10 93.53 2.20 0.20 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.22 2.02 84.61 11.80 1.35 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 4.99 84.25 10.33 0.22 0.00 0.22
CCC 0.00 0.00 0.00 0.00 0.00 42.75 40.46 9.16 0.00 7.63
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 0.00 75.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 9.40 90.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 2.12 8.26 89.27 0.34 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.50 1.04 4.69 90.59 2.83 0.31 0.03 0.00 0.00 0.00
BB 0.00 0.00 0.30 1.98 79.78 15.91 1.94 0.10 0.00 0.00
B 0.00 0.00 0.00 0.00 1.14 85.04 11.93 0.85 0.00 1.04
CCC 0.00 0.00 0.00 0.00 0.00 0.00 25.00 33.33 0.00 41.67
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 12.04 87.96 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 3.25 10.35 86.22 0.18 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.71 1.55 6.12 89.12 2.07 0.36 0.08 0.00 0.00 0.00
BB 0.00 0.00 0.49 2.84 81.73 12.51 2.15 0.20 0.00 0.08
B 0.00 0.00 0.00 0.00 1.37 86.20 9.81 1.25 0.00 1.37
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 13.10 86.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 3.75 11.80 84.36 0.09 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.78 2.05 7.02 88.54 1.07 0.44 0.10 0.00 0.00 0.00
BB 0.00 0.00 0.65 3.62 84.96 8.09 2.23 0.30 0.00 0.15
B 0.00 0.00 0.00 0.00 1.82 87.29 7.68 1.40 0.00 1.82
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 28.37 71.63 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 5.50 25.00 69.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 1.66 4.97 18.78 74.03 0.00 0.00 0.55 0.00 0.00 0.00
BB 0.00 0.00 2.99 13.17 82.63 0.60 0.00 0.60 0.00 0.00
B 0.00 0.00 0.00 0.00 17.39 82.61 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 24

U.S. CLO 2.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 88.46 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.54
AA 0.82 90.79 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.39
A 0.00 0.86 91.69 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.45
BBB 0.00 0.10 0.50 92.28 0.00 0.00 0.00 0.00 0.00 0.00 7.13
BB 0.00 0.00 0.13 0.81 91.53 0.00 0.00 0.00 0.00 0.00 7.53
B 0.00 0.00 0.00 0.00 6.09 87.50 0.00 0.00 0.00 0.00 6.41
CCC 0.00 0.00 0.00 0.00 0.00 9.76 68.29 4.88 0.00 4.88 12.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 60.00 0.00 40.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 73.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.45
AA 2.24 74.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23.56
A 0.22 2.03 75.89 0.17 0.00 0.00 0.00 0.00 0.00 0.00 21.69
BBB 0.08 0.14 1.12 77.86 1.08 0.08 0.00 0.00 0.00 0.00 19.65
BB 0.00 0.00 0.07 0.90 75.39 5.68 0.56 0.00 0.00 0.00 17.40
B 0.00 0.00 0.00 0.00 3.66 76.18 5.90 0.00 0.00 0.00 14.27
CCC 0.00 0.00 0.00 0.00 0.00 31.98 44.19 5.23 0.00 3.49 15.12
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.56 0.00 33.33 11.11
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 45.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.00
AA 2.99 45.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 51.02
A 0.57 3.02 48.57 0.25 0.00 0.00 0.00 0.00 0.00 0.00 47.59
BBB 0.12 0.20 1.77 51.91 1.90 0.17 0.00 0.00 0.00 0.00 43.92
BB 0.00 0.00 0.06 1.12 48.64 10.06 1.09 0.00 0.00 0.00 39.02
B 0.00 0.00 0.00 0.00 4.12 56.21 9.47 0.22 0.00 0.22 29.77
CCC 0.00 0.00 0.00 0.00 0.00 38.17 22.14 8.40 0.00 7.63 23.66
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 75.00 25.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 26.28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 73.72
AA 2.86 27.62 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 69.52
A 0.54 3.33 30.46 0.23 0.00 0.00 0.00 0.00 0.00 0.00 65.44
BBB 0.13 0.09 2.04 34.92 2.20 0.25 0.03 0.00 0.00 0.00 60.33
BB 0.00 0.00 0.03 0.43 31.69 12.02 1.28 0.10 0.00 0.00 54.45
B 0.00 0.00 0.00 0.00 0.38 42.14 9.56 0.76 0.00 1.04 46.12
CCC 0.00 0.00 0.00 0.00 0.00 0.00 16.67 25.00 0.00 41.67 16.67
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 12.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 87.60
AA 2.14 12.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.32
A 0.61 2.43 14.85 0.07 0.00 0.00 0.00 0.00 0.00 0.00 82.04
BBB 0.12 0.04 1.83 18.59 1.47 0.28 0.08 0.00 0.00 0.00 77.60
BB 0.00 0.00 0.04 0.32 17.17 8.49 1.38 0.20 0.00 0.08 72.31
B 0.00 0.00 0.00 0.00 0.23 24.40 7.41 1.03 0.00 1.37 65.56
CCC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 2.57 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 97.43
AA 1.28 2.38 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 96.34
A 0.48 1.31 3.09 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.12
BBB 0.10 0.05 1.17 5.17 0.73 0.34 0.10 0.00 0.00 0.00 92.35
BB 0.00 0.00 0.00 0.15 4.42 4.76 1.59 0.30 0.00 0.15 88.64
B 0.00 0.00 0.00 0.00 0.28 7.96 5.59 1.12 0.00 1.82 83.24
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.55 0.00 0.00 0.00 99.45
BB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.60 0.00 0.00 99.40
B 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.
European CLOs

Table 25

European CLO cumulative default rates, conditional on survival, 2002-2022 (%)
--Time horizon (years)--
1 2 3 4 5 6 7 8 9 10
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.09 0.19 0.35 0.52
BB 0.00 0.00 0.00 0.00 0.00 0.10 0.40 1.01 1.84 2.98
B 0.06 0.13 0.13 0.21 0.49 0.91 0.91 1.17 1.48 1.68
CCC 1.75 4.05 6.46 8.76 10.84 12.61 14.19 15.04 15.46 15.63
CC 15.63 15.63 15.63 15.63 15.63 15.63 15.63 15.63 15.63 15.63
Investment grade 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.04 0.08 0.12
Speculative grade 0.40 0.84 1.32 1.82 2.34 2.90 3.44 4.02 4.65 5.38
Overall 0.11 0.23 0.37 0.51 0.66 0.81 0.98 1.16 1.36 1.58
CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 26

European CLO rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.86 99.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 2.39 97.61 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 2.21 97.79 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.38 99.62 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 88.92 6.87 3.80 0.36 0.05 0.00 0.00 0.00 0.00 0.00
AA 10.69 84.13 2.67 2.06 0.46 0.00 0.00 0.00 0.00 0.00
A 2.46 11.15 79.14 2.87 3.64 0.45 0.29 0.00 0.00 0.00
BBB 0.26 1.82 8.40 80.47 3.96 2.92 2.14 0.03 0.00 0.00
BB 0.11 0.28 1.09 8.49 81.01 4.11 4.88 0.04 0.00 0.00
B 0.00 0.00 0.12 1.29 9.69 83.21 5.64 0.00 0.00 0.06
CCC 0.00 0.00 0.00 0.44 3.29 18.62 73.93 1.97 0.00 1.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.38 0.00 15.63
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 76.29 15.51 7.44 0.60 0.17 0.00 0.00 0.00 0.00 0.00
AA 21.85 67.41 5.98 3.93 0.79 0.00 0.03 0.00 0.00 0.00
A 6.91 19.10 58.95 6.24 7.43 0.81 0.46 0.11 0.00 0.00
BBB 1.07 4.77 14.15 61.13 7.97 6.37 4.41 0.14 0.00 0.00
BB 0.31 0.89 2.82 15.90 62.44 7.58 9.94 0.12 0.00 0.00
B 0.00 0.07 0.28 3.26 17.81 68.26 10.19 0.00 0.00 0.14
CCC 0.00 0.00 0.11 0.88 6.79 29.24 56.63 2.30 0.00 4.05
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.87 0.00 16.13
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 64.97 25.26 8.85 0.61 0.31 0.00 0.00 0.00 0.00 0.00
AA 30.79 53.90 9.93 4.46 0.86 0.03 0.03 0.00 0.00 0.00
A 13.71 19.86 44.32 11.13 9.27 0.99 0.49 0.23 0.00 0.00
BBB 2.89 8.52 14.83 46.06 12.29 8.94 6.20 0.27 0.00 0.00
BB 0.58 2.07 5.14 17.99 49.36 11.15 13.51 0.21 0.00 0.00
B 0.00 0.23 0.94 6.26 19.42 61.71 11.28 0.00 0.00 0.16
CCC 0.00 0.00 0.22 1.86 9.53 27.82 51.48 2.63 0.00 6.46
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.33 0.00 16.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 59.56 31.69 8.04 0.39 0.32 0.00 0.00 0.00 0.00 0.00
AA 38.32 44.67 12.39 3.83 0.73 0.06 0.00 0.00 0.00 0.00
A 20.10 18.97 35.54 14.88 8.86 0.96 0.32 0.36 0.00 0.00
BBB 6.15 11.01 13.81 36.11 15.36 10.14 7.06 0.36 0.00 0.00
BB 1.09 3.58 7.59 18.63 40.01 12.96 15.88 0.26 0.00 0.00
B 0.09 0.86 1.47 8.45 20.78 56.90 11.12 0.17 0.00 0.17
CCC 0.00 0.00 0.33 3.18 11.17 28.04 45.78 2.74 0.00 8.76
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.76 0.00 17.24
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 59.53 34.19 5.77 0.24 0.27 0.00 0.00 0.00 0.00 0.00
AA 44.50 39.48 12.79 2.56 0.60 0.07 0.00 0.00 0.00 0.00
A 26.26 16.58 31.83 16.50 7.08 1.05 0.21 0.50 0.00 0.00
BBB 9.59 11.99 11.87 31.49 16.10 10.71 7.80 0.46 0.00 0.00
BB 2.28 5.74 9.29 17.11 33.77 14.47 17.02 0.32 0.00 0.00
B 0.28 1.68 2.43 10.38 22.26 51.73 10.29 0.56 0.00 0.37
CCC 0.00 0.11 0.33 5.59 12.83 27.85 39.91 2.63 0.00 10.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.14 0.00 17.86
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 77.34 20.15 2.01 0.30 0.20 0.00 0.00 0.00 0.00 0.00
AA 68.82 25.35 4.47 0.91 0.34 0.11 0.00 0.00 0.00 0.00
A 40.53 25.55 21.03 6.11 3.79 1.59 0.12 1.28 0.00 0.00
BBB 16.15 10.81 14.12 27.43 9.30 10.92 9.70 0.99 0.00 0.58
BB 6.15 7.42 8.76 17.05 22.19 18.85 14.57 1.67 0.00 3.34
B 1.16 4.26 7.36 15.50 24.81 30.04 13.76 0.78 0.00 2.33
CCC 0.36 0.72 0.90 8.96 16.13 29.75 28.67 3.23 0.00 11.29
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 27

European CLO rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 89.65 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.35
AA 0.86 94.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.51
A 0.00 2.39 93.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.44
BBB 0.00 0.00 2.21 92.25 0.00 0.00 0.00 0.00 0.00 0.00 5.54
BB 0.00 0.00 0.00 0.00 95.83 0.00 0.00 0.00 0.00 0.00 4.17
B 0.00 0.00 0.00 0.00 0.38 96.54 0.00 0.00 0.00 0.00 3.08
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 69.36 6.74 3.78 0.36 0.05 0.00 0.00 0.00 0.00 0.00 19.71
AA 8.92 72.74 2.64 2.06 0.46 0.00 0.00 0.00 0.00 0.00 13.18
A 1.85 10.70 69.66 2.84 3.64 0.45 0.29 0.00 0.00 0.00 10.57
BBB 0.06 1.65 7.85 70.81 3.92 2.92 2.11 0.00 0.00 0.00 10.67
BB 0.00 0.14 1.09 8.00 72.17 3.97 4.88 0.00 0.00 0.00 9.76
B 0.00 0.00 0.12 1.06 9.40 71.34 5.46 0.00 0.00 0.06 12.57
CCC 0.00 0.00 0.00 0.33 3.18 17.96 66.05 1.53 0.00 1.75 9.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 56.25 0.00 15.63 28.13
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 42.60 15.02 7.30 0.51 0.17 0.00 0.00 0.00 0.00 0.00 34.39
AA 12.67 46.41 5.93 3.91 0.74 0.00 0.03 0.00 0.00 0.00 30.32
A 4.37 16.53 41.37 6.10 7.43 0.78 0.46 0.11 0.00 0.00 22.87
BBB 0.39 3.41 11.95 43.56 7.79 6.29 4.20 0.07 0.00 0.00 22.33
BB 0.04 0.46 2.36 13.35 45.65 6.77 9.86 0.04 0.00 0.00 21.47
B 0.00 0.07 0.28 2.49 16.01 44.70 9.56 0.00 0.00 0.14 26.75
CCC 0.00 0.00 0.11 0.55 5.91 25.74 41.95 1.42 0.00 4.05 20.26
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 41.94 0.00 16.13 41.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 26.52 24.10 8.54 0.46 0.31 0.00 0.00 0.00 0.00 0.00 40.08
AA 11.54 29.12 9.70 4.37 0.74 0.03 0.03 0.00 0.00 0.00 44.47
A 6.42 14.43 24.12 10.82 8.96 0.91 0.49 0.15 0.00 0.00 33.69
BBB 1.03 5.40 10.38 25.87 11.98 8.63 5.52 0.15 0.00 0.00 31.04
BB 0.17 1.12 3.81 12.27 29.22 9.61 13.18 0.08 0.00 0.00 30.54
B 0.00 0.23 0.70 4.31 14.25 31.48 9.24 0.00 0.00 0.16 39.62
CCC 0.00 0.00 0.22 1.10 7.89 19.93 32.42 1.53 0.00 6.46 30.45
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.67 0.00 16.67 56.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 17.63 29.55 7.42 0.19 0.26 0.00 0.00 0.00 0.00 0.00 44.94
AA 9.80 17.04 11.98 3.67 0.54 0.03 0.00 0.00 0.00 0.00 56.94
A 6.34 10.51 13.88 14.48 8.26 0.84 0.28 0.20 0.00 0.00 45.21
BBB 1.68 5.63 7.06 13.89 14.96 9.54 5.75 0.24 0.00 0.00 41.26
BB 0.35 1.75 4.62 9.51 17.19 10.95 15.31 0.13 0.00 0.00 40.18
B 0.00 0.52 0.69 4.66 11.03 19.83 7.50 0.17 0.00 0.17 55.43
CCC 0.00 0.00 0.33 1.53 8.00 14.68 22.56 1.42 0.00 8.76 42.72
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.34 0.00 17.24 72.41
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 15.09 30.63 4.88 0.03 0.14 0.00 0.00 0.00 0.00 0.00 49.22
AA 7.18 11.03 12.06 2.29 0.40 0.00 0.00 0.00 0.00 0.00 67.03
A 5.95 5.36 10.30 15.75 6.16 0.84 0.13 0.25 0.00 0.00 55.28
BBB 2.28 4.27 3.40 8.84 15.48 9.63 5.93 0.33 0.00 0.00 49.83
BB 0.46 2.87 4.23 5.01 9.97 11.97 15.84 0.18 0.00 0.00 49.48
B 0.09 0.47 1.03 4.40 7.86 9.64 4.77 0.37 0.00 0.37 71.00
CCC 0.00 0.11 0.22 2.19 7.57 9.54 13.49 0.88 0.00 10.75 55.26
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 17.86 75.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 3.56 1.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.09
AA 3.40 1.41 0.40 0.11 0.00 0.00 0.00 0.00 0.00 0.00 94.68
A 1.41 2.51 2.08 1.28 0.55 0.49 0.00 0.12 0.00 0.00 91.56
BBB 0.06 0.35 1.22 2.61 2.27 2.21 2.67 0.23 0.00 0.58 87.80
BB 0.00 0.00 0.00 0.67 2.27 2.94 4.75 0.74 0.00 3.34 85.29
B 0.00 0.00 0.00 0.00 0.39 0.19 0.97 0.00 0.00 2.33 96.12
CCC 0.00 0.00 0.00 0.00 0.00 0.18 0.00 0.54 0.00 11.29 87.99
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 28

European CLO 1.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 83.55 10.24 5.64 0.50 0.08 0.00 0.00 0.00 0.00 0.00
AA 16.29 75.75 4.05 3.19 0.71 0.00 0.00 0.00 0.00 0.00
A 3.62 15.74 69.99 4.23 5.35 0.66 0.42 0.00 0.00 0.00
BBB 0.37 2.58 11.33 72.87 5.62 4.15 3.04 0.05 0.00 0.00
BB 0.15 0.41 1.57 12.18 72.89 5.69 7.06 0.05 0.00 0.00
B 0.00 0.00 0.22 2.46 18.14 68.31 10.75 0.00 0.00 0.11
CCC 0.00 0.00 0.00 0.44 3.29 18.62 73.93 1.97 0.00 1.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.38 0.00 15.63
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 68.17 20.90 9.93 0.77 0.23 0.00 0.00 0.00 0.00 0.00
AA 29.65 55.67 8.15 5.41 1.09 0.00 0.04 0.00 0.00 0.00
A 9.21 24.52 46.22 8.31 9.91 1.08 0.61 0.14 0.00 0.00
BBB 1.38 6.17 17.46 50.53 10.32 8.25 5.71 0.18 0.00 0.00
BB 0.41 1.17 3.71 20.66 51.17 9.70 13.05 0.15 0.00 0.00
B 0.00 0.11 0.45 5.26 28.33 49.16 16.46 0.00 0.00 0.22
CCC 0.00 0.00 0.11 0.88 6.79 29.24 56.63 2.30 0.00 4.05
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.87 0.00 16.13
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 56.33 31.60 10.97 0.73 0.38 0.00 0.00 0.00 0.00 0.00
AA 38.51 42.23 12.46 5.63 1.09 0.04 0.04 0.00 0.00 0.00
A 16.91 23.63 32.13 13.76 11.46 1.22 0.61 0.28 0.00 0.00
BBB 3.50 10.27 17.04 35.65 14.88 10.82 7.51 0.32 0.00 0.00
BB 0.71 2.54 6.29 21.78 38.48 13.40 16.55 0.25 0.00 0.00
B 0.00 0.34 1.34 8.96 27.55 45.46 16.13 0.00 0.00 0.22
CCC 0.00 0.00 0.22 1.86 9.53 27.82 51.48 2.63 0.00 6.46
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.33 0.00 16.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 52.32 37.48 9.40 0.42 0.38 0.00 0.00 0.00 0.00 0.00
AA 45.21 34.66 14.65 4.54 0.86 0.08 0.00 0.00 0.00 0.00
A 23.44 21.37 25.46 17.43 10.38 1.13 0.38 0.42 0.00 0.00
BBB 7.10 12.63 15.07 27.19 17.74 11.71 8.16 0.41 0.00 0.00
BB 1.27 4.16 8.83 21.42 30.56 14.97 18.48 0.30 0.00 0.00
B 0.11 1.12 1.91 10.99 26.79 44.17 14.46 0.22 0.00 0.22
CCC 0.00 0.00 0.33 3.18 11.17 28.04 45.78 2.74 0.00 8.76
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.76 0.00 17.24
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 54.31 38.73 6.42 0.23 0.31 0.00 0.00 0.00 0.00 0.00
AA 50.08 31.89 14.39 2.89 0.68 0.08 0.00 0.00 0.00 0.00
A 29.43 17.87 24.26 18.52 7.95 1.18 0.24 0.56 0.00 0.00
BBB 10.65 13.28 12.40 24.71 17.89 11.89 8.67 0.51 0.00 0.00
BB 2.54 6.41 10.37 18.86 26.39 16.07 19.01 0.36 0.00 0.00
B 0.34 2.02 2.92 12.46 26.49 42.31 12.35 0.67 0.00 0.45
CCC 0.00 0.11 0.33 5.59 12.83 27.85 39.91 2.63 0.00 10.75
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.14 0.00 17.86
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 77.46 20.22 1.87 0.25 0.20 0.00 0.00 0.00 0.00 0.00
AA 68.93 25.34 4.37 0.91 0.34 0.11 0.00 0.00 0.00 0.00
A 40.70 25.66 20.69 6.14 3.81 1.60 0.12 1.29 0.00 0.00
BBB 16.16 10.81 14.13 27.38 9.30 10.93 9.71 0.99 0.00 0.58
BB 6.15 7.42 8.76 17.05 22.19 18.85 14.57 1.67 0.00 3.34
B 1.16 4.26 7.36 15.50 24.81 30.04 13.76 0.78 0.00 2.33
CCC 0.36 0.72 0.90 8.96 16.13 29.75 28.67 3.23 0.00 11.29
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 0.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 29

European CLO 1.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
AA N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BBB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 65.45 10.05 5.60 0.50 0.08 0.00 0.00 0.00 0.00 0.00 18.33
AA 13.55 67.57 4.02 3.19 0.71 0.00 0.00 0.00 0.00 0.00 10.96
A 2.72 15.08 64.26 4.18 5.35 0.66 0.42 0.00 0.00 0.00 7.33
BBB 0.09 2.35 10.59 66.42 5.57 4.15 2.99 0.00 0.00 0.00 7.83
BB 0.00 0.20 1.57 11.47 66.90 5.48 7.06 0.00 0.00 0.00 7.31
B 0.00 0.00 0.22 2.02 17.58 56.55 10.41 0.00 0.00 0.11 13.10
CCC 0.00 0.00 0.00 0.33 3.18 17.96 66.05 1.53 0.00 1.75 9.20
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 56.25 0.00 15.63 28.13
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 40.80 20.28 9.78 0.69 0.23 0.00 0.00 0.00 0.00 0.00 28.22
AA 17.12 42.15 8.07 5.37 1.01 0.00 0.04 0.00 0.00 0.00 26.24
A 5.82 21.37 36.50 8.13 9.91 1.03 0.61 0.14 0.00 0.00 16.49
BBB 0.51 4.42 14.92 39.84 10.09 8.15 5.44 0.09 0.00 0.00 16.54
BB 0.05 0.61 3.10 17.41 40.56 8.63 12.94 0.05 0.00 0.00 16.65
B 0.00 0.11 0.45 4.03 25.53 29.68 15.45 0.00 0.00 0.22 24.52
CCC 0.00 0.00 0.11 0.55 5.91 25.74 41.95 1.42 0.00 4.05 20.26
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 41.94 0.00 16.13 41.94
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 24.81 30.18 10.66 0.58 0.38 0.00 0.00 0.00 0.00 0.00 33.40
AA 14.34 24.96 12.24 5.52 0.94 0.04 0.04 0.00 0.00 0.00 41.93
A 7.89 17.38 19.82 13.39 11.09 1.13 0.61 0.19 0.00 0.00 28.51
BBB 1.24 6.49 12.16 22.34 14.51 10.46 6.68 0.18 0.00 0.00 25.93
BB 0.20 1.37 4.67 14.92 24.77 11.52 16.14 0.10 0.00 0.00 26.29
B 0.00 0.34 1.01 6.16 20.27 20.16 13.21 0.00 0.00 0.22 38.63
CCC 0.00 0.00 0.22 1.10 7.89 19.93 32.42 1.53 0.00 6.46 30.45
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.67 0.00 16.67 56.67
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 17.57 34.98 8.78 0.23 0.31 0.00 0.00 0.00 0.00 0.00 38.13
AA 11.45 15.10 14.23 4.36 0.64 0.04 0.00 0.00 0.00 0.00 54.19
A 7.37 11.98 12.07 16.96 9.68 0.99 0.33 0.23 0.00 0.00 40.39
BBB 1.94 6.45 7.88 12.21 17.28 11.01 6.64 0.28 0.00 0.00 36.31
BB 0.41 2.03 5.38 11.02 14.97 12.64 17.82 0.15 0.00 0.00 35.58
B 0.00 0.67 0.90 6.05 14.24 13.79 9.75 0.22 0.00 0.22 54.15
CCC 0.00 0.00 0.33 1.53 8.00 14.68 22.56 1.42 0.00 8.76 42.72
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.34 0.00 17.24 72.41
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 15.92 34.73 5.54 0.04 0.15 0.00 0.00 0.00 0.00 0.00 43.62
AA 7.96 10.74 13.64 2.59 0.45 0.00 0.00 0.00 0.00 0.00 64.61
A 6.68 5.69 10.20 17.68 6.91 0.94 0.14 0.28 0.00 0.00 51.48
BBB 2.54 4.75 3.50 8.58 17.20 10.70 6.59 0.37 0.00 0.00 45.78
BB 0.51 3.20 4.73 5.54 9.25 13.27 17.69 0.20 0.00 0.00 45.60
B 0.11 0.56 1.23 5.27 9.32 6.96 5.72 0.45 0.00 0.45 69.92
CCC 0.00 0.11 0.22 2.19 7.57 9.54 13.49 0.88 0.00 10.75 55.26
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7.14 0.00 17.86 75.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 3.58 1.36 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.06
AA 3.40 1.42 0.40 0.11 0.00 0.00 0.00 0.00 0.00 0.00 94.67
A 1.41 2.52 2.09 1.29 0.55 0.49 0.00 0.12 0.00 0.00 91.53
BBB 0.06 0.35 1.22 2.62 2.27 2.21 2.67 0.23 0.00 0.58 87.79
BB 0.00 0.00 0.00 0.67 2.27 2.94 4.75 0.74 0.00 3.34 85.29
B 0.00 0.00 0.00 0.00 0.39 0.19 0.97 0.00 0.00 2.33 96.12
CCC 0.00 0.00 0.00 0.00 0.00 0.18 0.00 0.54 0.00 11.29 87.99
CC 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 30

European CLO 2.0 rating transitions, 2022 and multiyear averages, NR adjusted (%)
From/to AAA AA A BBB BB B CCC CC C D
2022
AAA 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.86 99.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 2.39 97.61 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 2.21 97.79 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.38 99.62 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 99.62 0.15 0.15 0.08 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.48 99.38 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 1.40 98.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 1.43 98.57 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.23 99.20 0.57 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.37 99.63 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 99.45 0.11 0.33 0.11 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.00 98.80 0.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 2.82 97.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 2.96 97.04 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 0.65 98.54 0.81 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.73 99.27 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 99.24 0.15 0.46 0.15 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.29 98.42 0.29 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.20 3.97 95.83 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.22 4.37 95.41 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 1.13 97.74 1.13 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.52 99.48 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 98.96 0.21 0.63 0.21 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.60 98.00 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.55 4.95 94.51 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.60 5.65 93.75 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 1.55 97.83 0.62 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 0.75 99.25 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 98.56 0.29 0.86 0.29 0.00 0.00 0.00 0.00 0.00 0.00
AA 1.73 97.69 0.58 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.38 6.13 93.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.41 7.05 92.53 0.00 0.00 0.00 0.00 0.00 0.00
BB 0.00 0.00 0.00 2.17 96.96 0.87 0.00 0.00 0.00 0.00
B 0.00 0.00 0.00 0.00 1.12 98.88 0.00 0.00 0.00 0.00
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 58.33 8.33 25.00 8.33 0.00 0.00 0.00 0.00 0.00 0.00
AA 0.00 33.33 66.67 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
BBB 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Securities whose ratings migrated to NR over the period are classified based on their rating prior to NR. CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Table 31

European CLO 2.0 rating transitions, 2022 and multiyear averages, NR included (%)
From/to AAA AA A BBB BB B CCC CC C D NR
2022
AAA 89.65 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.35
AA 0.86 94.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.51
A 0.00 2.39 93.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.44
BBB 0.00 0.00 2.21 92.25 0.00 0.00 0.00 0.00 0.00 0.00 5.54
BB 0.00 0.00 0.00 0.00 95.83 0.00 0.00 0.00 0.00 0.00 4.17
B 0.00 0.00 0.00 0.00 0.38 96.54 0.00 0.00 0.00 0.00 3.08
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
One-year weighted average
AAA 77.16 0.15 0.15 0.08 0.00 0.00 0.00 0.00 0.00 0.00 22.46
AA 0.48 82.16 0.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.22
A 0.00 1.40 81.14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.47
BBB 0.00 0.00 1.32 81.25 0.00 0.00 0.00 0.00 0.00 0.00 17.43
BB 0.00 0.00 0.00 0.23 83.96 0.57 0.00 0.00 0.00 0.00 15.24
B 0.00 0.00 0.00 0.00 0.37 87.65 0.00 0.00 0.00 0.00 11.98
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Two-year weighted average
AAA 47.75 0.00 0.22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 52.03
AA 0.80 57.77 0.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 41.22
A 0.00 1.97 55.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 42.03
BBB 0.00 0.00 1.87 56.16 0.00 0.00 0.00 0.00 0.00 0.00 41.97
BB 0.00 0.00 0.00 0.33 61.95 0.81 0.00 0.00 0.00 0.00 36.91
B 0.00 0.00 0.00 0.00 0.55 69.09 0.00 0.00 0.00 0.00 30.36
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Three-year weighted average
AAA 33.28 0.00 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.57
AA 0.86 44.99 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 54.15
A 0.20 1.98 42.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.56
BBB 0.00 0.22 1.97 42.58 0.00 0.00 0.00 0.00 0.00 0.00 55.24
BB 0.00 0.00 0.00 0.45 48.98 1.13 0.00 0.00 0.00 0.00 49.44
B 0.00 0.00 0.00 0.00 0.26 57.81 0.00 0.00 0.00 0.00 41.93
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Four-year weighted average
AAA 17.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.05
AA 1.00 27.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.60
A 0.27 1.92 24.45 0.00 0.00 0.00 0.00 0.00 0.00 0.00 73.35
BBB 0.00 0.30 1.79 24.70 0.00 0.00 0.00 0.00 0.00 0.00 73.21
BB 0.00 0.00 0.00 0.31 30.75 0.62 0.00 0.00 0.00 0.00 68.32
B 0.00 0.00 0.00 0.00 0.37 39.93 0.00 0.00 0.00 0.00 59.70
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Five-year weighted average
AAA 8.91 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.09
AA 1.15 13.26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 85.59
A 0.00 2.68 11.11 0.00 0.00 0.00 0.00 0.00 0.00 0.00 86.21
BBB 0.00 0.00 2.49 11.20 0.00 0.00 0.00 0.00 0.00 0.00 86.31
BB 0.00 0.00 0.00 0.43 16.09 0.87 0.00 0.00 0.00 0.00 82.61
B 0.00 0.00 0.00 0.00 0.56 23.03 0.00 0.00 0.00 0.00 76.40
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
10-year weighted average
AAA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
AA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
A 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
BBB 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00
BB N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CCC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
C N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
CLO--Collateralized loan obligation. N/A--Not applicable. NR--Not rated. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro.

Related Criteria

Related Research

This report does not constitute a rating action.

Credit Research & Insights:Evan M Gunter, Montgomery + 1 (212) 438 6412;
evan.gunter@spglobal.com
Nick W Kraemer, FRM, New York + 1 (212) 438 1698;
nick.kraemer@spglobal.com
Research Contributor:Lyndon Fernandes, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.

 

Create a free account to unlock the article.

Gain access to exclusive research, events and more.

Already have an account?    Sign in